scholarly journals EXAMINING THE TWIN DEFICIT HYPOTHESIS: EVIDENCE FROM SELECTED SADC COUNTRIES (1980-2011)

2019 ◽  
Vol 2 (1) ◽  
pp. 1-16
Author(s):  
REGINALD CHAONEKA
Keyword(s):  
Granger Causality ◽  
Current Account ◽  
Causal Relation ◽  
Granger Causality Test ◽  
Series Data ◽  
Current Account Balance ◽  
Fiscal Consolidation ◽  
Causality Test ◽  
Fiscal Balance ◽  
The Current Account

This paper investigates the existence of a causal relationship between fiscal balance and current account balance over the period 1980-2011, for nine SADC countries individually. The analysis is conducted within the framework of Granger causality test and Vector Auto Regression (VAR) approach on time series data for each individual country estimates. The Granger causality test results confirm the twin-deficit relationship, with a causal relation from fiscal deficits to external deficits for two countries: Malawi and Zambia together with SADC group average; inverse link operating from external balance to fiscal balance for another two countries: Zimbabwe and Swaziland. Existence of bi-directional causality was confirmed for Botswana and Ricardian Equivalence Hypothesis was confirmed for Mozambique. Results for Angola, South Africa and Seychelles were ambiguous hence inconclusive. The results point to the existence of a direct causal link from fiscal deficit to external deficit. There are indications that fiscal tightening (budget cuts) tends to correct the current account deficit directly. There is need for government to develop new exports, primary products beneficiation (value addition), use of nanotechnology and nurturing new export industries as a long-term measure.In Zimbabwe and to some extent Swaziland the current account can be used to address the budget balance. Countries such as Malawi and Zambia, which have shown evidence of the twin deficit, imply that policymakers must consider fiscal consolidation. Fiscal consolidation has proved to be effective;however half-hearted fiscal adjustments are doomed to fail. The relationship between the twomacroeconomic variables changes over time depending on the dynamics of the economy. Again, given the intricacies that are innate in mixed economies, it may not be possible to authenticate a tight and steady connection between the two deficits. Government Organizations.

scholarly journals Uncertainty Due to Infectious Diseases and Stock–Bond Correlation

Econometrics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 17
Author(s):  
Konstantinos Gkillas ◽  
Christoforos Konstantatos ◽  
Costas Siriopoulos
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Infectious Diseases ◽  
Granger Causality ◽  
Predictive Value ◽  
High Frequency ◽  
Causal Relation ◽  
Granger Causality Test ◽  
Causality Test ◽  
Non Linear

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of artificial neural networks so as to investigate the predictability of this type of uncertainty on realized stock–bond correlation and jumps. Our findings reveal that uncertainty-due-to-infectious-diseases has significant predictive value on the changes of the stock–bond relation.

Dynamism of Monetary Transmission Mechanism in Nigeria: Interest Rate and Market Capitalization Causality Evidence

2018 ◽  
Vol 2 (1) ◽  
pp. 81-91
Author(s):  
Prince Umor C. Agundu ◽  
Waleru Henry Akani
Keyword(s):  
Interest Rate ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Transmission Mechanism ◽  
Monetary Transmission ◽  
Coefficient Of Determination ◽  
Series Data ◽  
Causality Test ◽  
Market Capitalization ◽  
Monetary Transmission Mechanism

The potency of monetary transmission channels anchors the process by which interest rate movements and other cardinal aggregates influence critical financial fundamentals in an economy. This study, thus, examines dynamism of the monetary transmission mechanism with focus on the causality of interest rate and market capitalization in the Nigerian economy. Time series data covering a period of 36 years (1981 - 2015) were extracted from publications of monetary authorities and related agencies, including annual reports of Deposit Money Banks (DMBs) in the country. Facilitated by E-Views software, the analytical proceedings generated the required statistical outcomes in terms of coefficient of correlation (r), coefficient of determination (R2), t-statistic, and F-statistic. Granger causality test was also conducted to clearly establish the direction of causality between the focal variables. Essentially, the null hypothesis is rejected as probability of the F-statistic is less than the specified 0.05 level of significance. The granger causality test statistics run from four interest rate components to the operational capital market fundamental (with F-statistics of 5.758, 5.540, 4.209,and5.656; as well as  probability values of 0.008, 0.009, 0.002, and 0.009 respectively). In view of the analytical outcomes, it is recommended that interest rate components be efficiently synergized to boost investors’ confidence and further drive monetary policy dynamics towards greater financial system vitality and sustainability in Nigeria.

scholarly journals Granger Causality Between Local Government Expenditure and Economic Growth in Indonesia

2018 ◽  
Vol 3 (4) ◽  
pp. 80-86
Author(s):  
Sri Kurniawati
Keyword(s):  
Economic Growth ◽  
Local Government ◽  
Granger Causality ◽  
Government Expenditure ◽  
Granger Causality Test ◽  
Reciprocal Relationship ◽  
Series Data ◽  
Causality Test ◽  
West Kalimantan ◽  
Integration Test

Objective - This study examines the causal relationship between government expenditure and economic growth in West Kalimantan between 2009 and 2015. This research resulted in the enactment of Wagner's Law and/or Keynes's Theory in West Kalimantan leading the local government to take the right policies as an effort towards improving economic development. Methodology/Technique - By using panel data that combines time series data and cross-site data, it will be estimated by the Granger causality test which begins with a stationary test and co-integration test. Based on the co-integration tests, the results suggest that there is a long-term relationship between government expenditure and economic growth. Meanwhile, based on the Granger causality test, there is no reciprocal relationship between government expenditure and economic growth. Findings - A direct relationship in the form of the influence of government expenditure on economic growth in West Kalimantan. Novelty - These results are in line with the Keynes's Theory through its national income function. Type of Paper: Empirical Keywords: Government Expenditure; Economic Growth; Co-integration; Causality. JEL Classification: F40, F43, F49.

scholarly journals Exchange rate and Export of Bangladesh: Does Marshall-Lerner condition holds?

2022 ◽  
Vol 10 (1) ◽  
pp. 09-16
Author(s):  
Shovon Roy ◽  
Jonaed
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Error Correction Model ◽  
Series Data ◽  
Causality Test ◽  
Correction Model ◽  
Short Run ◽  
The Exchange Rate

Export is expected to have a favorable impact on GDP growth, and the exchange rate is expected to have a major impact on export and thus export earnings. The relationship between exchange rate and export is a hotly debated topic in macroeconomics, and the goal of this research is to see if the Marshall-Lerner condition holds incase of Bangladesh that is if devaluation of domestic currency increase export earnings. Explanatory variables of the model in the study are the exchange rate, foreign income (WGDP), and domestic income (DGDP). Cointegration approaches; Error Correction model, Granger Causality test are used in this study to estimate the long and short-run impacts. With time series data from 1973Q3 to 2018Q2, we used the Error Correction Model and the Granger Causality Test. The findings of VECM support short-run exchange rate and export adjustments. The bidirectional causality between exchange rate and export is established using the Granger causality test.

scholarly journals Impact of Interest Rate on Household Consumption in Tanzania

2021 ◽  
pp. 44-62
Author(s):  
Daud Mkali Fadhil ◽  
Naifin A. Rajab
Keyword(s):  
Interest Rate ◽  
Causal Relationship ◽  
Granger Causality ◽  
Time Series Data ◽  
Negative Relationship ◽  
Granger Causality Test ◽  
Household Consumption ◽  
Least Square ◽  
Series Data ◽  
Causality Test

This study seeks to determine the exact impact of interest rate on household consumption in Tanzania and identify the direction of causality between the variables. Although there have been few studies which explore the issue of interest rate and consumption, their method, time scope and geographical location has been different. This study aim to examine the relationship between interest rate on deposit and household expenditure in Tanzania using the annual time series data from the period 1990–2017 and employing Dynamic Ordinary Least Square (DOLS) and Granger causality test for testing causal relationship between  the variables. The result revealed that there is a negative relationship between interest rate on deposit and consumption for the Tanzania. Additionally, it is observed from the estimate results that interest rate had an insignificant effect on consumption. Furthermore, the granger causality test results have shown that there is bidirectional causal relationship between interest rate and consumption. Furthermore, the result also shows that income and consumption are positively related and statistical significant at 5%. In addition, the findings supported Keynesian's Absolute Income hypothesis which emphasis consumption being a positive function of disposable income. The study recommends that there is the need for government to take urgent steps to implement policies like poverty reduction strategies, agriculture policy and Five Years Development Plans in order to improve the income base of most of households.

scholarly journals An Econometric Analysis on Remittance and Economic Growth in Bangladesh

2020 ◽  
pp. 214-218
Author(s):  
Md Shafiul Islam
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Granger Causality ◽  
Time Series Data ◽  
Granger Causality Test ◽  
Causal Link ◽  
Series Data ◽  
Causality Test ◽  
External Finance ◽  
The Relationship

In Bangladesh, migrant worker’s remittances constitute one of the most significant sources of external finance. This paper investigates the existence of relation between remittance inflow and GDP and the causal link between them in Bangladesh by employing the Granger causality test under a VECM framework. Using time series data over a 38 year period, we found that growth in remittances does lead to economic growth in Bangladesh. In addition to the relationship, this paper also points out some issues that are working as impediments in getting remittance and give some recommendations to overcome those impediments.

Has Social Mobilization Caused Political Instability in Africa? A Granger-Causality Test

1993 ◽  
Vol 22 (1) ◽  
pp. 33-54
Author(s):  
Bedford N. Umez
Keyword(s):  
Time Series ◽  
Granger Causality ◽  
Time Series Data ◽  
Political Instability ◽  
Granger Causality Test ◽  
Social Mobilization ◽  
Series Data ◽  
African Countries ◽  
Causality Test ◽  
Empirical Results

A Granger-causality test is used to examine whether social mobilization causes political instability. This test allows serious problems encountered in correlation-based analyses to be overcome. Time-series data from seven African countries are used. The empirical results (which vary by country) generally suggest that there is usually a feedback relationship between social mobilization and political instability.

scholarly journals Temperature and Humidity Do Not Influence Global COVID-19 Incidence as Inferred from Causal Models

2020 ◽  
Author(s):  
Raghav Awasthi ◽  
Aditya Nagori ◽  
Pradeep Singh ◽  
Ridam Pal ◽  
Vineet Joshi ◽  
...  
Keyword(s):  
Granger Causality ◽  
Disease Transmission ◽  
Time Series Data ◽  
Granger Causality Test ◽  
Causal Models ◽  
Series Data ◽  
Causal Association ◽  
Causality Test ◽  
Temperature And Humidity ◽  
Convergent Cross Mapping

AbstractThe relationship between meteorological factors such as temperature and humidity with COVID-19 incidence is still unclear after 6 months of the beginning of the pandemic. Some literature confirms the association of temperature with disease transmission while some oppose the same. This work intends to determine whether there is a causal association between temperature, humidity and Covid-19 cases. Three different causal models were used to capture stochastic, chaotic and symbolic natured time-series data and to provide a robust & unbiased analysis by constructing networks of causal relationships between the variables. Granger-Causality method, Transfer Entropy method & Convergent Cross-Mapping (CCM) was done on data from regions with different temperatures and cases greater than 50,000 as of 13th May 2020. From the Granger-Causality test we found that in only Canada, the United Kingdom, temperature and daily new infections are causally linked. The same results were obtained from Convergent Cross Mapping for India. Again using Granger-Causality test, we found that in Russia only, relative humidity is causally linked to daily new cases. Thus, a Generalized Additive Model with a smoothing spline function was fitted for these countries to understand the directionality. Using the combined results of the said models, we were able to conclude that there is no evidence of a causal association between temperature, humidity and Covid-19 cases.

scholarly journals NILAI TUKAR RUPIAH DAN NET EKSPOR INDONESIA 2000 – 2017 (GRANGER CAUSALITY TEST)

2020 ◽  
Vol 1 (1) ◽  
pp. 9-24
Author(s):  
Try Beta Anggraini ◽  
Yefriza Yefriza
Keyword(s):  
Exchange Rate ◽  
Granger Causality ◽  
Time Series Data ◽  
Secondary Data ◽  
Granger Causality Test ◽  
Series Data ◽  
Causality Test ◽  
Augmented Dickey Fuller ◽  
Net Export ◽  
Adf Test

The aims of this research is to find out the relationship of rupiah exchange rate and net export Indonesia. This research covers the periode for 2000.Q1-2017.Q4, used secondary data which were analyzed using Granger Causality Test and Augmented Dickey Fuller (ADF) and existing data processed by using computer program of Eviews 9.0. The stationary properties of the time series data are examined by using Augmented Dickey-Fuller (ADF) test. Granger Causality test is applied to find out long-run relationship along with causality among the variables. The result of the data analysis show that there is no causality between rupiah exchange rate and net xport. Granger Causality test showed that there is unidirectional causality between net export to rupiah exchange rate. It is mean that net export  effect rupiah exchange rate, but rupiah exchange rate does not effect net export. Keywords: Causality, Net Export, Exchange Rate

scholarly journals DYNAMIC MODELING OF TIME SERIES DATA USING BEKK-GARCH MODEL

2020 ◽  
Vol 17 (36) ◽  
pp. 1186-1198
Author(s):  
Mustofa USMAN ◽  
N INDRYANI ◽  
WARSONO A. ◽  
AMANTO WAMILIANA
Keyword(s):  
Time Series ◽  
Granger Causality ◽  
Impulse Response ◽  
Time Series Data ◽  
Granger Causality Test ◽  
Share Price ◽  
Series Data ◽  
P Value ◽  
Test Statistics ◽  
Causality Test

The Vector Autoregressive Moving Average (VARMA) model is one of the models that is often used in modeling multivariate time series data. In time-series data of economics, especially data return, they usually have high fluctuations in some periods, so the return volatility is unstable. In modeling data return of share prices ADRO and ITMG, the behavior of high volatility will be considered. This study aims to find the best model that fits the data return of share price of the energy companies of PT Adaro Energy Tbk (ADRO) and PT Indo Tambangraya Megah Tbk (ITMG), to analyze the behavior of impulse response of the variables data return ADRO and ITMG, to analyze the granger causality test, and to forecast the next 12 periods. Based on the selection of the best model using the criteria of AICC, HQC, AIC, and SBC, it was found that the VARMA (2.2) -GARCH (1.1) model is the best one for the data in this study. The model VARMA(2,2)-GARCH (1,1) is then written as a univariate model. For the univariate ADRO model, the test statistics F = 4,73 and P-value = 0,0084, which indicates the model is very significant; and for the univariate ITMG model, the test statistics is F = 5,82 and P-value 0,0001, which indicates the model is significant. Based on the best model selected, the impulse response, Granger causality test, and forecasting for the next 12 periods are discussed.

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