scholarly journals Dynamic of Risk Management and Intermediate Functions of Commercial Banks: The Supply Side Evidence from Nigeria

2021 ◽  
Vol 04 (08) ◽  
Author(s):  
Akani Elfreda Nwakaego ◽  
Keyword(s):  
Risk Management ◽  
Significant Relationship ◽  
Unit Root ◽  
Commercial Banks ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Causality Test ◽  
Panel Unit Root ◽  
Domestic Credit ◽  
The Relationship

This study investigated the relationship between risk management and financial intermediation of quoted commercial banks in Nigeria. Panel data were sourced from the Nigeria Stock Exchange for a period that spans 2009 to 2018. Financial intermediation was measured domestic credit of the commercial banks. Domestic credit was modelled as the function of Risk diversification, Basel compliance, risk transfer, credit securitization and risk retention and risk evaluation. Multiple regressions were formulated to ascertain the relationship between risk management and capital investment decision of commercial banks. Panel Unit root test was utilised to establish the stationarity of the data. Panel cointegration, and granger causality test analyse the data. The panel unit root test proved presence of unit root at first difference and concluded that the variables were integrated in the order of 1(I). The study found that, there is a significant relationship between risk management and domestic credit decision, of the quoted commercial banks. The panel cointegrations show the presence of long run relationship between the endogenous variables and the exogenous variables while the granger causality test found uni-directional causality among the variables. From the findings, the study concludes that risk management have significant relationship with domestic credit decisions of the commercial banks. The study recommends that to mitigate the riskiness of banking operations, more avenues for risk diversification should be explored. Although Basel compliance enhances domestic credit decision, its implementation should be done cautiously and in consideration of the intricacies and peculiarities of the Nigerian banking space, as it impinges on most domestic credit decisions.

scholarly journals The Role of Foreign Direct Investment Inflows in Economic Growth in Malaysia

2021 ◽  
Vol 4 (2) ◽  
pp. g11-17
Author(s):  
Tien Siew
Keyword(s):  
Economic Growth ◽  
Unit Root ◽  
Direct Investment ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Least Square ◽  
Causality Test ◽  
Fdi Inflows ◽  
Ordinary Least Square ◽  
The Relationship

The purpose of this study is to investigate the relationship between the inflows of Foreign Direct Investment (FDI) and economic growth in Malaysia. The sample collected for this empirical study covered 30 years of data from 1991 to 2020. The secondary data was collected annually and a total of 30 observations were taken for each variable. Ordinary Least Square (OLS) regression, unit root test, several diagnostic tests and Granger causality test were used in this research to investigate the relationship between FDI inflows and economic growth. Eviews 11 was used to analyze the time series data throughout all the tests. The result showed that the inflows of FDI has a significant negative relationship with economic growth and there is no causal relationship between FDI and Gross Domestic Product (GDP). Keywords: Economic growth, FDI inflows, Granger Causality Test, Ordinary Least Square regression, Unit Root Test

scholarly journals Impact of External Debt on Various Macro Economic Variables: Indian Evidence

2019 ◽  
pp. 1-16
Author(s):  
Khalid Ashraf Chisti ◽  
Tayibah Shabir
Keyword(s):  
Significant Relationship ◽  
Unit Root ◽  
Null Hypothesis ◽  
External Debt ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Economic Variables ◽  
Causality Test ◽  
Level Of Significance ◽  
The Impact

The paper tries to investigate the impact of external debt on time series quarterly data spanning from 2007:02-2017:03, on various macro-economic variables and to study the existence of relationship and causality between them in India. In order to derive the results various econometric tools such as ADF unit root test, Granger Causality test and Regression Analysis have been employed in the study. The null hypothesis for the study were that External debt does not granger cause various macro-economic variables which was accepted at 5% level of significance and External debt does not have statistically significant relationship with various macro-economic variables, which was accepted in case of all variables except Inflation. Thus, it was found that no granger causal relationship was found between external debt and macro-economic variables and vice-versa. There exists no statistically significant relationship between external debt and RGDP, G-Revenue, Export, and G-Spending and they have almost no impact on the external debt. However, in case of Inflation there exists a positive statistically significant relationship that has 10.27% impact on external debt. It was concluded that External debt does not play a significant role in the economic development of India for the period of the study.

scholarly journals Monetary Policy and Return on Equity of Quoted Insurance Firms: A Time Series Study from Nigeria

2018 ◽  
Vol 2 (1) ◽  
pp. 62-76
Author(s):  
Macfubara, Minafuro Suzane ◽  
Norteh Dumbor ◽  
Gberesuu, Barida Barry
Keyword(s):  
Monetary Policy ◽  
Unit Root ◽  
Unit Root Test ◽  
Policy Instruments ◽  
Granger Causality Test ◽  
Insurance Companies ◽  
Causality Test ◽  
Return On Equity ◽  
Independent Variables ◽  
Insurance Firms

The financial system is the transmission channel of monetary policy. This study examines the effect of monetary policy on the performance of insurance firms in Nigeria from 1990 – 2017. The objective is to investigate the existing relationship between monetary policy instruments and the performance indicators of insurance companies. Secondary data were sourced from Stock Exchange factbook, Central Bank of Nigeria (CBN) Statistical Bulletin. Multiple linear regressions were formulated to examine the effect of the independent variables on the dependent variable. Return on equity was modeled as a function of treasury bill rate, monetary policy rate, interest rate, growth of money supply and exchange rate.  R2, T-Statistics, β Coefficient, F-Statistics and Durbin Watson were used to examine the extent to which the independent variables affect the dependent variables while augmented dickey fuller unit root test, granger causality test, cointgration test and error correction models was used to ascertain the dynamic relationship between monetary policy variables and return on equity of the insurance firms. Findings revealed that, all the explanatory variables have positive effect on return on equity except treasury bill rate.  The unit root test found that the variables are stationary at first difference, the cointgration test found the presence of long run relationship while the granger causality test found a uni-directional causality. The study concludes that monetary policy has moderate effect on the return on equity of the insurance firms. We recommend that management of insurance companies should devise measures of managing the negative effects of the monetary policy instruments to enhance the performance of the insurance companies.

scholarly journals Dynamic linkage between nifty-fifty and sectorial indices of national stock exchange

2020 ◽  
Vol 3 (2) ◽  
pp. 17-27
Author(s):  
Kamaljit Singh ◽  
Vinod Kumar
Keyword(s):  
Causal Relationship ◽  
Granger Causality ◽  
Unit Root ◽  
Service Sector ◽  
Banking Sector ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Financial Service ◽  
Causality Test

The main objective of this paper is to analyze the trend and pattern of the Nifty-Fifty and sectorial indices. An attempt has been also made to find out the causal relationship among the Nifty-Fifty and NSE sectorial Indices. The unit root test and Granger-causality test has been applied to check the causal relationship between Nifty-Fifty and sectorial indices. The finding of the study shows that the financial service sector had performed better and followed by the banking sector among all the indices while the Pharma sector and the Realty sector were Under-performed in comparison to other indices. The Nifty-Fifty has been found less volatile in comparison to other sectorial indices however Realty sector indices show the highest volatility during the study period.

scholarly journals ANALISA HUBUNGAN ANTARA PRODUK DOMESTIK BRUTO DAN EKSPOR INDONESIA (UJI KAUSALITAS GRANGER)

2020 ◽  
Vol 3 (2) ◽  
pp. 299-305
Author(s):  
Debora Silvia Hutagalung ◽  
◽  
Junaidi Siahaan ◽  
Keyword(s):  
Gross Domestic Product ◽  
Granger Causality ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Domestic Product ◽  
Trade Theory ◽  
Causality Test ◽  
Macroeconomic Theory ◽  
The Relationship ◽  
Domestic Products

This study entitled "Analysis of The Relationship Between Gross Domestic Product and Indonesian Exports (Granger causality test)”. This research was conducted because of the dualism of the theory between the two variables. In macroeconomic theory, the relationship between Gross Domestic Product is one of the similarities, because exports contribute to Gross Domestic Products on the demand side, while neoclassical trade theory emphasizes causality related to household production and assistance for exports.The purpose of this study is to determine the relationship between Gross Domestic Product and exports. This study uses several analytical methods: Unit Root Test, CointegrationTest, Granger Causality Test using the E-views program7 and using Quarterly data.The results of the estimation of this study are the estimation of the relationship in GDP and exports, or in other words the Gross Domestic Product affects Indonesia's exports. This is concluded based on the estimation results that can be seen from the statistical F value that is greater than the f-table (8.958205> 3.841466) on the Null hypothesis. GDP is not an Export Granger with a 95% confidence level. This means, GDP affects exports When GDP can affect the level of exports in the intervals of 2000 to 2012.Keywords:Gross Domestic Product(GDP), Exports, Granger Causality Test

scholarly journals PENGUJIAN KAUSALITAS ANTARA VARIABEL MAKROEKONOMI DENGAN RETURN PASAR DI BURSA EFEK INDONESIA : SEBUAH PENDEKATAN VECTOR AUTO

Media Ekonomi ◽  
2017 ◽  
Vol 19 (3) ◽  
pp. 23
Author(s):  
Anggi Hapsari Nurullita
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Causality Test ◽  
Market Return ◽  
Vector Auto Regression ◽  
Auto Regression

<p>Indicators of macroeconomic have major impact on capital markets in general and stocks in particular. Influence of these indicators can be positive or negative. Vector Auto Regression (VAR) is a method of analysis used to predict the time series variable and analyze the dynamic impact factor interference in a system variable. VAR analysis is very useful to assess the linkages between economic variables. This research aims to see the influence of iIndicators of macroeconomic such as the exchange rate (EXCHANGE), interest rate Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG) in Indonesian Stock Exchange in the period 2004:1-2011:10. Data obtained from the Monthly Stock Price Index Statistics JSX. This research appllying several stages of testing as follows: unit root test, the optimal lag test, Granger causality test and Vector Auto Regression model (VAR). The results of unit root test in this study suggests that the data used for processing in the first degree and VAR Granger test because only the stationary stock index return variable in zero degree (level). On the test results suggested the optimal lag is the lag 3. On the Granger causality test is known that the Granger test variable rate (EXCHANGE) has a one-way impact or the exchange rate (EXCHANGE) affect market return (REIHSG) interest rate of Bank Central of Indonesia Certificates (SBI) and the rate of inflation (INFLATION) has a two direction or impact mutual Causality. These results indicate that there is a weak Granger causality between interest rates Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG).<br />Keywords: Vector Auto Regressive (VAR), Macroeconomic, Granger Causality, IHSG stock return</p>

scholarly journals ENERGY ACCESS AND HOUSEHOLD INCOME IN SUBSAHARAN AFRICAN COUNTRIES

2019 ◽  
Vol 17 (30) ◽  
Author(s):  
Musibau Ojo Adejumo ◽  
Ajide Bello Kazeem
Keyword(s):  
Unit Root ◽  
Household Income ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Energy Access ◽  
African Countries ◽  
Causality Test ◽  
Explanatory Variables ◽  
Long Run ◽  
Panel Granger Causality

This study empirically examined the energy access andhousehold income in Sub-Saharan African countries between1990 and 2015. The study employed five variables:energy access, per capita income, energy price, FDI andtrade openness, as well as panel unit root test using twocriteria to test stationarity. Panel cointegration test wasalso conducted to test long-run cointegration between thevariables employed. Panel granger causality test was employedto check the degree of causality between the dependentand explanatory variables and Auto RegressiveDistributive Lag method of estimation was employed tocheck the long-run and short-run relationships between thevariables. The results of the panel unit root test from theLLC and IPS methods show that the order of integrationsis mixed with some of the variables being stationary atlevels (household income, Foreign Direct Investment andTrade Openness) and first difference (Energy Access andFuel Price) at the same time. The result of Pedroni cointegrationtest indicated the bivariate long-run cointegrationequation between the variables employed except forEA and GDPPC. The panel granger causality test revealedthat there is causality between these three variables (EA,GDPPC and FUELP) and the direction of causality onlyflows from these variables to energy access. The ARDLresult revealed that all explanatory variables accountedfor 60% variation of energy access in SSA. However,the study made the following policy implications: energypolicy needs to be orientated in favor of expanding thesupply of energy to reach an enhanced degree of sustainableeconomic growth and development, and governmentsin this region can subsidize energy products to increaseits consumption and promote the welfare of their citizens.

scholarly journals Coal consumption and economic growth nexus: Evidence from bootstrap panel Granger causality test

2017 ◽  
Vol 64 (3) ◽  
pp. 255-271 ◽  
Author(s):  
Emmanuel Anoruo
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
African Countries ◽  
Coal Consumption ◽  
Causality Test ◽  
Growth Series ◽  
Panel Granger Causality

This paper explores the causal relationship between coal consumption and economic growth for a panel of 15 African countries using bootstrap panel Granger causality test. Specifically, this paper uses the Phillips-Perron unit root test to ascertain the order of integration for the coal consumption and economic growth series. A bootstrap panel Granger causality test is employed to determine the direction of causality between coal consumption and economic growth. The results provide evidence of unidirectional causality from economic growth to coal consumption. This finding implies that coal conservation measures may be implemented with little or no adverse impact on economic growth for the sample countries as a group.

scholarly journals Impact of Foreign Direct Investment on Economic Growth of Nepal

2019 ◽  
Vol 33 (2) ◽  
pp. 73-80
Author(s):  
Shiva Prasad Pokharel ◽  
Bishnu Prasad Pokharel
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Gross Domestic Product ◽  
Granger Causality ◽  
Unit Root ◽  
Direct Investment ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Capital Formation ◽  
Causality Test

 This paper aims to investigate the impact of Foreign Direct Investment (FDI) on the economic growth of Nepal for the period 2008/09 to 2017/18 A.D. yearly data. It evaluated the Gross Domestic Product (GDP) performance and the trends of FDI and Gross Fix Capital Formation (GFCF) in Nepal. To demonstrate the relationship between Nepalese Gross Domestic Product (GDP) and Foreign Direct Investment (FDI) and Gross Fix Capital Formation (GFCF) Multiple-Regression-Model has been applied along with various econometrics techniques such as Unit-Root Test, Granger-Causality Test and Ordinary Least Square (OLS). GDP in this model is used as dependent variable whereas FDI and GFCF are measured as independent variables. According to the results, Unit Root Test indicated that all the variables included in the model were not stationary at level except FDI, whereas GDP and GFCF are stationary at first difference. The model is overall significant with the positive and significant relationship of GDP, FDI and GFCF. Result also indicate a good fit for the model with R2=86%. The Granger Causality Test revealed that there was no causality between the variables since all p-value obtained are more than 5%. Based on the empirical result of this paper, policy recommendation proposed that for Nepal to generate more foreign direct investment, hard work should be made at solving problems of government involvement in business; relative closed economy; corruption; weak public institutions; and poor external image, and political instability.

scholarly journals Relationship of agricultural production and agricultural credit guarantee scheme fund in nigeria: a causality analysis.

2013 ◽  
Vol 1 (1) ◽  
pp. 100-105
Author(s):  
OYINBO OYAKHILOMEN ◽  
REKWOT G ◽  
ADEGBOYE G ATIM
Keyword(s):  
Unit Root ◽  
Agricultural Production ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Causality Analysis ◽  
Causality Test ◽  
Agricultural Credit ◽  
Credit Guarantee ◽  
The Past ◽  
Relationship Of

This study was carried out to examine the causality of agricultural production and the Agricultural Credit Guarantee Scheme Fund(ACGSF) in Nigeria. ADF unit root test, unrestricted VAR and granger causality test were employed in the analysis of the dataset and result showed that there is no causality between agricultural production and value of agricultural credit guaranteed but a unidirectional causality from agricultural production to the number of agricultural credit guaranteed existed. This implies that we can better predict the outcome of agricultural production in Nigeria using the past values of the number of agricultural credit guaranteed.

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