scholarly journals Do Exports lead Economic Output in Five Asian Countries? A Cointegration and Granger Causality Analysis

2016 ◽  
Vol 6 (2) ◽  
pp. 30
Author(s):  
Jiayi Huang ◽  
Miguel D. Ramirez
Keyword(s):  
Granger Causality ◽  
The Philippines ◽  
Cointegration Analysis ◽  
Annual Data ◽  
Data Set ◽  
Economic Output ◽  
Long Run ◽  
Cointegration Tests ◽  
Causality Tests ◽  
Granger Causality Tests

This paper examines the relationship between exports and economic output for five major Asian economies using annual data in an expanded data set and employing unit root and cointegration analysis. It employs a Vector Error Correction Model (VECM) that treats all variables in the modified production function as potentially endogenous and then determines via weak exogeneity tests whether some of the key variables can be treated as exogenous (omitted from the system). Johansen cointegration tests find a positive long-run relationship between exports and economic output for the Philippines, Singapore, and Thailand. Cointegration tests find a negative long-run relationship between exports and economic output for India. The Block Granger causality tests and impulse response functions for the Philippines and Singapore find stronger causality from exports to economic output rather than the reverse. Granger causality tests in level form also find significant causality from exports to economic output. No causality exists between exports and economic output in the case of India. Exports seem to promote economic growth in three of the four countries that have cointegrated data, which supports the exports-led growth hypothesis found in some of the extant literature. The paper does not find cointegration for China because the variables are integrated of different orders from I(0) to I(2). 

Saving-Investment Connection: Evidence from the Asean Countries

2001 ◽  
Vol 45 (1) ◽  
pp. 46-53 ◽  
Author(s):  
Emmanuel Anoruo
Keyword(s):  
Granger Causality ◽  
The Philippines ◽  
Long Run ◽  
Cointegration Tests ◽  
Augmented Dickey Fuller ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Asean Countries ◽  
Vector Error Correction Models ◽  
Long Run Equilibrium

The relationship between saving and investment has been sharply debated in the literature following the pioneering work of Feldstein and Horioka (1980). This paper extends this debate to the ASEAN countries by using cointegration procedure in time-series analysis. Specifically, three analyses are conducted. First, saving and investment are tested to determine the order of integration using both the Dickey–Fuller (DF) and augmented Dickey–Fuller (ADF) approaches. Second, the long-run equilibrium relationship between saving and investment is explored by utilizing the cointegration tests proposed by Johansen and Juselius (1990). Third, Granger–causality tests based on vector error-correction models (VECM) are undertaken to ascertain the direction of causality between the two series. The results indicate that saving and investment are integrated of order one [1(1)]. Based on the cointegration results, saving and investment are found to share long-run equilibrium association. The Granger-causality tests reveal that investment causes saving in the cases of Indonesia and Singapore. For the Philippines, causality runs from saving to investment. As for Malaysia and Thailand, the results suggest bi-directional causality between saving and investment.

THE LINKAGE BETWEEN EXPORT AND INCOME: FURTHER EVIDENCE FROM BANGLADESH

2011 ◽  
Vol 56 (01) ◽  
pp. 79-95 ◽  
Author(s):  
RUHUL A. SALIM ◽  
MOHAMMAD A. HOSSAIN
Keyword(s):  
Granger Causality ◽  
Granger Causality Test ◽  
Cointegration Analysis ◽  
Income Growth ◽  
Causality Test ◽  
Long Run ◽  
Export Expansion ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Growth Hypothesis

This article empirically re-examines the export-led growth hypothesis in the context of Bangladesh using the quarterly data from 1973:1 to 2005:4. The standard time series econometric techniques, such as cointegration and Granger causality tests within the error correction modelling (ECM) are used for this purpose. The results from cointegration analysis suggest that there is stable long-run relationship between exports and income and the results from Granger causality test based on the ECM shows unidirectional causal relationship between exports and income. Thus, these results validate the country's export expansion programs to achieve long-run income growth.

Population composition and financial markets: evidence from Japan

2018 ◽  
Vol 35 (4) ◽  
pp. 505-524
Author(s):  
Hiroyuki Kawakatsu ◽  
Mikiko Oliver
Keyword(s):  
Financial Markets ◽  
Granger Causality ◽  
Annual Data ◽  
Population Composition ◽  
Content Type ◽  
Long Run ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Market Variables ◽  
Post War

Purpose This study aims to examine the relation between population composition and financial market variables in post-war Japan. Design/methodology/approach Cointegration and Granger causality tests are applied to annual data for the period 1948-2015. Findings Accounting for nonstationarity, this study finds long-run equilibrium relations between real financial price (stock and house) indices and the proportion of population in the prime earning (45-64) or retirement (65+) age. Granger causality tests that account for possibly nonstationary variables find some evidence of dynamic causation running from the 45-64 cohort to the real financial price indices. No such evidence is found for the 65+ cohort. Originality/value This study complements the existing literature primarily based on US data with analysis of Japanese data that has some unique population composition features.

scholarly journals The Effect of Higher Education on Growth: A Cointegration Analysis

2013 ◽  
Author(s):  
Murat Mustafa Kutlutürk ◽  
Hakan Kasım Akmaz ◽  
Ahmet Çetin
Keyword(s):  
Higher Education ◽  
Granger Causality ◽  
Cointegration Analysis ◽  
Annual Data ◽  
Causality Test ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Relationship

In this study the relationship between higher education and economic growth was investigated using annual data between 1988 and 2012 for Turkey. To see short and long run effects of higher education on growth the Autoregressive Distributed Lag (ARDL) testing approach was used. In this investigation ratio of higher education graduates in employment was used as an explanatory variable. Zivot and Andrews test was implemented for the variables. The long and short run effects of higher education on growth was found significant. Granger causality test was implemented and one way Granger causality from higher education to growth was determined.

GDP, energy consumption and financial development in Italy

2018 ◽  
Vol 12 (1) ◽  
pp. 28-43 ◽  
Author(s):  
Cosimo Magazzino
Keyword(s):  
Energy Consumption ◽  
Granger Causality ◽  
Financial Development ◽  
Oil Prices ◽  
Content Type ◽  
Real Gdp ◽  
Long Run ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Toda And Yamamoto

Purpose This study aims to explore the relationship among energy consumption, real income, financial development and oil prices in Italy over the period 1960-2014. Design/methodology/approach Different econometric techniques – such as the General Methods of Moment (GMM) or the AutoRegressive Distributed Lags (ARDL) bounds test – are usually used in the empirical analysis. Moreover, both the Toda and Yamamoto causality tests and the Granger causality tests are applied to the data. Findings The results of unit root and stationarity tests show that the variables are non-stationary at levels, but stationary in first-differences form, or I(1). The ARDL bounds F-test reveals an evidence of a long-run relationship among the four variables at 1% significance level. Moreover, an increase in real GDP and oil prices has a significant effect on energy consumption in the long run. The coefficients of estimated error correction term are also negative and statistically significant. In addition, the paper explores the causal relationship between the variables by using a VAR framework, with Toda and Yamamoto but also Granger causality tests, within both multivariate and bivariate systems. The findings indicate that energy consumption is affected by real GDP. Originality/value The study also filled the literature gap of applying ARDL technique to examine this relevant issue for Italy.

THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL

2006 ◽  
Vol 09 (08) ◽  
pp. 1377-1396 ◽  
Author(s):  
BENJAMIN M. TABAK
Keyword(s):  
Exchange Rates ◽  
Granger Causality ◽  
Stock Prices ◽  
Traditional Approach ◽  
Practical Applications ◽  
Dynamic Relationship ◽  
Long Run ◽  
Cointegration Tests ◽  
Causality Tests ◽  
International Investors

This paper studies the dynamic relationship between stock prices and exchange rates in the Brazilian economy. We use recently developed unit root and cointegration tests, which allow endogenous breaks, to test for a long run relationship between these variables. We performed linear, and nonlinear causality tests after considering both volatility and linear dependence. We found that there is no long run relationship, but there is linear Granger causality from stock prices to exchange rates, in line with the portfolio approach: stock prices lead exchange rates with a negative correlation. Furthermore, we found evidence of nonlinear Granger causality from exchange rates to stock prices, in line with the traditional approach: exchange rates lead stock prices. We believe these findings have practical applications for international investors and in the design of exchange rate policies.

scholarly journals Infrastructure Investment as a Panacea for Sustainable Economic Growth in Nigeria: A Granger Causality Tests Analysis

2019 ◽  
pp. 1-8
Author(s):  
Cyprian Clement Abur
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Job Creation ◽  
Infrastructure Investment ◽  
Test Results ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Sustainable Economic Growth

This paper employed Granger causality tests amid infrastructure spending, economic growth, and employment in Nigeria for the period 1960-2017 using vector autoregression (VAR) model. The result showed a strong causality between infrastructure investment and economic growth in Nigeria. Findings of the study shows a strong underlying relationship between e infrastructure investment and job creation. Economic growth seems to be the key drivers of government jobs and that the private sector jobs drives growth, however, public jobs have not been able to translates into additional jobs in the economy. The bounds test results specify the presence of long-run equilibrium relationship between infrastructure investment, economic growth, job creation and output thereby providing a theoretical underpinning for the empirical results.

Sulfur Emissions and Economic Growth in the Philippines: A Bivariate Causality and Cointegration Analysis

2012 ◽  
Vol 3 (1) ◽  
Author(s):  
Klarizze Puzon
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Causal Relationship ◽  
Granger Causality ◽  
The Philippines ◽  
Cointegration Analysis ◽  
Test Results ◽  
Cointegration Tests ◽  
Using Data ◽  
Sulfur Emissions

This paper studies the time series properties of sulfur emissions and economic growth. To identify the direction of the causal relationship between the two variables, it conducts causality and cointegration tests using data from 1950 to 2000. The test results imply that there is unidirectional causality running from sulfur emissions to GDP in the Philippines.   Keywords - cointegration, Granger causality, sulfur emissions, economic growth

TOURISM AND GROWTH IN SINGAPORE: NEW EXTENSION FROM BOUNDS TEST TO LEVEL RELATIONSHIPS AND CONDITIONAL GRANGER CAUSALITY TESTS

2011 ◽  
Vol 56 (03) ◽  
pp. 441-453 ◽  
Author(s):  
SALIH TURAN KATIRCIOǦLU
Keyword(s):  
Granger Causality ◽  
Real Income ◽  
Income Growth ◽  
Annual Data ◽  
Equilibrium Relationship ◽  
Equilibrium Level ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Bounds Test

This paper empirically investigates the tourism-led growth (TLG) hypothesis in the case of Singapore by employing the bounds test to cointegration, error correction models and Granger causality tests using annual data from 1960 to 2007. Results confirm the existence of long-term equilibrium relationship between international tourism and economic growth in the case of Singapore; real income growth converges to its long-term equilibrium level significantly by 51.4% in the TLG model. The major finding of this study is that the TLG hypothesis is confirmed for the Singaporean economy in the long-term as a result of conditional Granger causality tests.

Sign in / Sign up

Export Citation Format

Share Document