scholarly journals Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR) Analysis

2013 ◽  
Vol 2 (4) ◽  
pp. 318-340 ◽  
Author(s):  
Florence Bouvet ◽  
Ryan Brady ◽  
Sharmila King
Keyword(s):  
Vector Autoregressive ◽  
Var Analysis

scholarly journals The Effects of Foreign Resource Inflow and Savings on the Economic Growth of South Africa: A VAR Analysis

2014 ◽  
Vol 6 (3) ◽  
pp. 232-241
Author(s):  
Temitope L. A.
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
South African ◽  
Impulse Response Function ◽  
Vector Autoregressive ◽  
Var Analysis ◽  
Long Run ◽  
Domestic Savings ◽  
Low Levels ◽  
Using Data

This study adopts both the Vector Autoregressive (VAR) analysis and the Impulse-Response Function (IRF) to examine the importance and the effects of domestic savings and foreign direct investment (FDI) on South African economy, using data spanning over the period 1975 to 2011. While the level of domestic savings is quite low, compared to other emerging economies, South Africa has also been struggling to attract inflow of foreign resources. The form of savings in South Africa is different from the western way of savings; hence the low levels of domestic savings. The variables considered were tested for stationarity and they were all stationary before proceeding to test for cointegration and then estimate and VAR. The cointegration test revealed that there was at least one cointegrating equation; which signifies that there exists a long-run relationship among the variables. The results from the VAR Granger test of causality depicted that domestic savings lead economic growth, while economic growth leads investment. This result of the IRF also showed that while increased domestic savings is important to improve the level of economic growth in South Africa, it also leads FDI. This means that the economic environment needs to be suitable in order to attract foreign investments. The results obtained are reliable and stable as the model passes a battery of diagnostic tests. The study proposes some recommendations for policy.

scholarly journals Foreign direct investment (FDI) and economic growth in China: vector autoregressive (VAR) analysis

2020 ◽  
Vol 80 ◽  
pp. 01002
Author(s):  
Pengfei Liu ◽  
Han-Sol Lee
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Direct Investment ◽  
Chinese Economy ◽  
Series Data ◽  
Var Model ◽  
Fdi Inflows ◽  
Vector Autoregressive ◽  
Var Analysis ◽  
The Impact

This study examines the impact of foreign direct investment (FDI) on economic growth in China based on time series data for the period 1981-2018. For an empirical study, we used vector autoregressive (VAR) analysis. Before building our VAR model, we performed tests for unit root, normality, and heteroscedasticity to certify the data quality. The optimal lag 3 was selected using the Akaike information criterion (AIC), Schwartz (SC), and Hannan-Quinn (HQ) criteria. The Granger causality test is additionally performed. Based on the VAR model, we determined the impulse responses and variance decomposition of log FDI and log GDP in China. The results showed a positive and consistent impact of log FDI on China’s economic growth. The impact in the short-term is insignificant, as it is likely that there are multiple factors drive economic growth of China besides FDI inflows. However, the impact of FDI increases to a significant level in the long-term. Which indicates that FDI is one of the main factors to enhance Chinese economy. In conclusion, we suggest a policy implication how to sustain and promote the existing positive effects of FDI inflows on Chinese economy.

Fraud and Bank Performance in Nigeria – Var Granger Causality Analysis

e-Finanse ◽  
2020 ◽  
Vol 16 (1) ◽  
pp. 20-26
Author(s):  
Taiwo A. Muritala ◽  
Muftau A. Ijaiya ◽  
Olatanwa H. Afolabi ◽  
Abdulrasheed B. Yinus
Keyword(s):  
Control Systems ◽  
Granger Causality ◽  
Internal Control ◽  
Banking Sector ◽  
Bank Performance ◽  
Causality Analysis ◽  
Vector Autoregressive ◽  
Granger Causality Analysis ◽  
Long Run ◽  
Multivariate Cointegration

AbstractThis paper examines the causality between fraud and bank performance in Nigeria over the period 2000-2016 for quarterly financial data using Johansen’s Multivariate Cointegration Model and Vector Autoregressive (VAR) Granger Causality analysis. The results show a long-run relationship between the variables. Bank performance was found to be linked to Granger fraud variables and vice versa at 10% significant level. This study reveals that there was a direct causal relationship between bank performance and fraud because increase in fraudulent activities in the banking sector leads to reduction in bank performance. Hence, this study recommends that internal control systems of banks should be strengthened so as to detect and prevent fraud. In this way, bank assets would be protected.

Tracking the Transmission Channels of Fiscal Deficit and Food Inflation Linkages: A Structural VAR Approach

2020 ◽  
pp. 165-172
Keyword(s):  
Positive Impact ◽  
Structural Var ◽  
Fiscal Deficit ◽  
Agricultural Industry ◽  
Vector Autoregressive ◽  
Transmission Channels ◽  
Government Deficit ◽  
Import And Export ◽  
The Impact ◽  
Food Inflation

This empirical analysis aspired to unearth the transmission channels of fiscal deficit and food inflation linkages in the Indian perspective by reasonably exerting the data for 1991 to 2017. The precise results of structural vector autoregressive (SVAR) analysis proffered that there were three different mechanisms of transmission such as consumption, general inflation, and import channels that led to food inflation in response to the high fiscal deficit. The first channel revealed that government deficit spending had a positive impact on income which further led to food inflation through surging the household consumption expenditure. It was concluded that fiscal deficit passed through general inflation finally leading to a food price surge in the economy and seemed to work as cost-push inflation for the food and agricultural industry. The outcome also revealed that the impact of fiscal deficit passed to food inflation through external linkages such as import and export.

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