Pairwise Granger Causality Test Research Articles

Effect of Climatic and Non-Climatic Factors on Cassava Yields in Togo: Agricultural Policy Implications

This paper examines the effects of climatic and non-climatic factors on cassava yields in Togo using an Autoregressive Distributed Lag (ARDL) modelling approach and pairwise Granger Causality tests. Secondary data on production statistics, rural population, climate variables, prices and nominal exchange rate for the period 1978–2009 are used. Results for estimated short- and long-run models indicate that cassava yield is affected by both ‘normal’ climate variables and within-season rainfall variability. An inverse relationship is found between area harvested and yield of cassava, but a significant positive and elastic effect of labour availability on yield in the long run. Increasing within-lean-season rainfall variability and high lean-season mean temperature are detrimental to cassava yields, while increasing main-season rainfall and mean-temperature enhance cassava yields. Through Granger Causality tests, a bilateral causality is found between area harvested and yield of cassava, and four unidirectional causalities from labour availability, real producer price ratio between yam and cassava, main-season rainfall and lean-season mean temperature to cassava yields. Based on the findings from this study, investment in low-cost irrigation facilities and water harvesting is recommended to enhance the practice of supplemental irrigation. Research efforts should as well be made to breed for drought, heat and flood tolerance in cassava. In addition, coupling area expansion with increasing availability of labour is advised, through the implementation of measures to minimize rural–urban migration.

FAKTOR – FAKTOR DOMESTIK DAN EKSTERNAL YANG MEMPENGARUHI HARGA STYRENE BUTADIENE LATEX (SBL) DI INDONESIA

This study investigates the causal links between price of styrene butadiene latex (SBL) another domestic & external variables such as price of Styrene Butadiene Latex in China (SBLC), Crude Oil Price (OIL), Coated Paper Price in Indonesia (CPPI), supply (SUPP), demand (DMD), Herfindahl-Hirschman Index (HHI), price of styrene (STY) and price of butadiene (BTD) during the period 1995 – 2011 on the basis of monthly. Furthermore, the Johansen VAR-based cointegration technique was applied to examine the sensitivity of price of SB Latex to changes in China styrene butadiene latex price (SBLC), crude oil price (OIL), Indonesia coated paper price (CPPI), supply, demand, Herfindahl-Hirschman Index (HHI), price of styrene and price of butadiene in the long run on while the short-run dynamics was checked by using a vector error correction model (VECM) include unit root test, pairwise Granger causality test,impulse response function (IRF) and forecast variance decomposition (FVD). Results from Augmented Dickey Fuller (ADF) or unit root test showed evidence stationarities whole variables of first difference (I). The Granger pairwise causality test revealed a bilateral causality reach 38.89 %, directional reach 22.22 % from Johansen test found out seven cointegration of price of SBL. Keywords: Cointegration, Granger Causality, VECM, demand SBL and Crude Oil Price.

An Analysis on the Unemployment Rate in the Philippines: A Time Series Data Approach

This study aims to formulate a mathematical model for forecasting and estimating unemployment rate in the Philippines. Also, factors which can predict the unemployment is to be determined among the considered variables namely Labor Force Rate, Population, Inflation Rate, Gross Domestic Product, and Gross National Income. Granger-causal relationship and integration among the dependent and independent variables are also examined using Pairwise Granger-causality test and Johansen Cointegration Test. The data used were acquired from the Philippine Statistics Authority, National Statistics Office, and Bangko Sentral ng Pilipinas. Following the Box-Jenkins method, the formulated model for forecasting the unemployment rate is SARIMA (6, 1, 5) × (0, 1, 1)4 with a coefficient of determination of 0.79. The actual values are 99 percent identical to the predicted values obtained through the model, and are 72 percent closely relative to the forecasted ones. According to the results of the regression analysis, Labor Force Rate and Population are the significant factors of unemployment rate. Among the independent variables, Population, GDP, and GNI showed to have a granger-causal relationship with unemployment. It is also found that there are at least four cointegrating relations between the dependent and independent variables.

Analysis of macroeconomic factors causing non-performing loans in India

In last six years after the global financial crises Indian banking sector is seeing a phenomenal rise in the level of non-performing loans. It has moved back to the level of 2004-2005 from the lowest level of 2008-2009. In this perspective, this paper investigates the trends in NPL in Indian banks and main macroeconomic factors that may be causing the surge in the level of NPL. The correlation analysis along with pairwise Granger causality test followed by panel regression allows evaluating the impact of selected macroeconomic variables on the NPL. The result indicates that the GDP growth, change in exchange rate and global volatility have major effects on the NPL level of the Indian banking sector. The paper has been organised in four parts: introduction and literature review, methodology, results and conclusion and policy implication. The first section looks at the different studies undertaken at different countries and specifically in India for non-performing loans. The methodology section deals with the different statistical methods used for the analysis of data and the rationale behind choosing those methods. The next section shows and analyses the results. The last section provides the conclusion derived from data analysis and some policy implication.

External Debt and Nigerian Economic Growth Connection: Evidence from Autoregressive Distributed Lag Approach

External Debt and Nigerian Economic Growth Connection: Evidence from Autoregressive Distributed Lag Approach ONAKOYA, Adegbemi Babatunde FCA PhD, OGUNADE, Ayomide Olayinka Abstract This study examined the impact of external debt in bridging the gap resource required for economic growth in Nigeria. After preliminary evaluation of the data which indicated the non-normality of all the variables, the research deployed the Autoregressive Bounds testing method Distributed Lag (ARDL) method using the Ordinary Least Squares technique. Evidence of long run association was reported. The follow-up error correction mechanism found out that 45 present of disequilibrium errors are corrected after short run shock. External debt is negatively related to economic growth. On the average, one per cent increase in export will decrease the real GDP by 0.25 per cent in the long run. Although statistically significant at 1 per cent it did not fill savings and/or external finance gap. Furthermore, the pairwise granger causality test showed that external debt does not cause economic growth at 5% level of significance. The study recommended that adequatemeasures be put in place to ensure that borrowed funds are expended on development-promoting capital projects. In addition, appropriate institutional checks and balances on government fiscal performances are prerequisite for analyzing and managing public investment projects Full Text: PDF DOI: 10.15640/jeds.v5n1a7

Modelling and forecasting inflation in Uganda (2005-2014)

The study was set to fit appropriate auto-regressive integrated moving average (ARIMA) and vector auto-regressive (VAR) models for forecasting Uganda's core inflation; to compare their forecasting capabilities and establish whether the forecasts produced were significantly different. The study employed Box and Jenkins (1976) and Sims (1980) modelling techniques on monthly time series data for core inflation index, broad money supply (M2), nominal official exchange rate and short-term 91-day Treasury bill rates for the period July 2005 to December 2014. The appropriate ARIMA model was evaluated and found to be ARIMA(3, 1, 3). Pairwise Granger causality test confirmed that money supply, nominal Ushs/USD exchange rate and short-term Treasury bill rate caused core inflation. Thus, the appropriate restricted VAR (VECM) model was estimated and found to produce more accurate core inflation forecast for longer time horizons while ARIMA was better for shorter forecast horizons. However, the forecasts from both models were not significantly different.

Causal Relationship between Gold, Crude Oil & US Dollar Rates and S&P BSE 100 in India: An Experimental Study

In the present globalized business scenario, volatility in gold price, international crude oil price, and US Dollar exchange rate are likely to stimulate uncertainty in stock market conditions globally. The degree of uncertainty in stock market is high in the case of developing nations like India. Therefore, the study of causal relationship of gold, crude oil, and US Dollar rates with the stock market indices (S&P BSE 100) in India is more appropriate. The researchers have analyzed these macroeconomic variables along with the S&P BSE 100 with the help of econometric tools viz. Augmented Dickey-Fuller Test for Unit-Root, Johansen Co-Integration Test, Pairwise Granger Causality Tests, Vector Auto Regression Modeling, Variance Decomposition test, and Impulse responses analysis. The econometric research software called EVIEWS 6 was used to apply all those tools successfully. The result shows that there is a high impression in the Indian stock market due to the volatility happens in the described macroeconomic factors.

The dynamic interactions of world natural gas markets

The aim of this study is to analyse the short and long-term interactions between the natural gas markets in the context of Europe, Japan and the US that are the main constituents of natural gas consumption in the world and between the natural gas and oil markets. Within the framework of this study co-integration test is performed and the variable groups that have long-term relationships with each other are presented. Finally, the pairwise Granger causality test is performed in order to examine the short-term causality relationships and the results of uni-directional, bi-directional and non-casual relationships are found. Keywords: energy market, natural gas, liberalization, cointegration, causality JEL Classification: C10, F14, L95

Spatial Price Linkages of Brown Cowpea (Vigna unguiculata) in Nigerian National Markets

The study was undertaken to examine the existence and the level of market integration among selected cowpea markets in Nigeria. Co-integration and Granger causality tests were used to measure market integration and leading markets between producing and consuming regions. Result of the co-integration test using Johansen likelihood procedure to determine the number of co-integrating relations indicates that the wholesale prices of brown cowpea in the selected markets in Nigeria are co-integrated. The pairwise Granger causality test shows that Umuahia–Monday, Umuahia–Giwa, Giwa–Bodija and Bodija–Giwa market pairs rejected the null hypothesis of no causaality. Moreover, there is a bidirectional Granger causality between Giwa and Bodija markets at 5 per cent significant level. Thus, Giwa and Bodija are the markets occupying the dominant position in the Nigerian brown cowpea price formation and transmission. Few of the markets are spatially linked by trade, so there is low market integration between the regional brown cowpea markets in Nigeria.

Causal Relationship between Gold, Crude Oil & US Dollar Rates and S&P BSE 100 in India: An Experimental Study

In the present globalized business scenario, volatility in gold price, international crude oil price, and US Dollar exchange rate are likely to stimulate uncertainty in stock market conditions globally. The degree of uncertainty in stock market is high in the case of developing nations like India. Therefore, the study of causal relationship of gold, crude oil, and US Dollar rates with the stock market indices (S&P BSE 100) in India is more appropriate. The researchers have analyzed these macroeconomic variables along with the S&P BSE 100 with the help of econometric tools viz. Augmented Dickey-Fuller Test for Unit-Root, Johansen Co-Integration Test, Pairwise Granger Causality Tests, Vector Auto Regression Modeling, Variance Decomposition test, and Impulse responses analysis. The econometric research software called EVIEWS 6 was used to apply all those tools successfully. The result shows that there is a high impression in the Indian stock market due to the volatility happens in the described macroeconomic factors.

Trading Volume and Stock Returns Volatility: Evidence from Industrial Firms of Oman

This study analyzes the relationship between trading volume and stock return volatility for industrial firms listed on Muscat securities market. Several tests were utilized to include: Brailsford model, vector autoregressive model (VAR), and the pairwise Granger causality test. The empirical results provide evidence of a significant positive effect for return volatility on trading volume. Likewise, the VAR model provides evidence of a significant positive effect of trading volume on stock returns. On the other hand, the pairwise Granger causality test reveals that trading volume Granger-cause stock return. The previous findings are inconsistent with the weak-form of the efficient market hypothesis.

Real Exchange Rate Volatility, Economic Growth and International Trade in an Emerging Market Economy: Evidence from Nigeria

This study examined the long-run and short-run impacts of real exchange rate volatility and the level of economic growth on international trade in Nigeria using a vector error correction model on time series annual data from 1971 to 2012. The results revealed that in both short-run and long-run, exports and imports were chiefly influenced by real exchange rate, real exchange rate volatility, foreign income, gross domestic product, terms of trade and changes in exchange rate policies. The findings further revealed that exchange rate volatility depressed exports and imports in the long-run. The result from pair wise Granger causality test revealed unidirectional causality running from export to exchange rate volatility and from exchange rate volatility to import and a unidirectional causality flow from RGDP to imports and exports. This is an indication of poor performance of the export sector and the over dependence of the country on imported goods. The statistical significance of both real foreign income and real gross domestic product were indications that tariff measures would be ineffective and as a result the study believed that effective import substitution industrialization would significantly reduce pressure on the external sector and will actually increase economic activities and hence economic growth The study recommends the use of supportive fiscal and monetary policies that will provide a set of incentives aimed at removing anti-export bias barriers so as to promote exports, particularly non-oil exports and discourage import of consumer goods to stabilize the foreign exchange rate.

Empirical Analysis of the Relationship between Foreign Direct Investment and Economic Growth in Developing Countries- Evidence from Nigeria

This study examines the effect of Foreign Direct Investment (FDI) on economic growth of Nigeria. The main objective of the study is to explore and quantify the contribution of Foreign Direct inflows to economic growth in Nigeria and other macro-economic variable(s). The model built for the study proxy real gross domestic product as the endogenous variable measuring economic growth as a function of Foreign Direct Investment,Domestic capital, Government Expenditure, real exchange rate and Inflation rate as the exogenous variables in the first model while unemployment was expressed as a function of Foreign Direct Investment, Governmentexpenditure and real GDP. Annual time series data was gathered from Central Bank of Nigeria Statistical bulletin, National Bureau of Statistics (NBS) and the World Economic Outlook spanning 1970 to 2013. The study used econometric techniques of Augmented Dickey-Fuller (ADF) unit root test, pairwise granger causality test,Johansen co-integration test and error correction model (ECM) for empirical analysis. The results of unit rootrevealed that, all the variables in the model were integrated at first difference while pairwise granger causality revealed a unidirectional relationship between Foreign Direct Investment (FDI) and Economic growth (GDP) in Nigeria and no causal relationship between Foreign Direct Investment and unemployment rate. The co-integration test shows that, long-run equilibrium relationship exists among the variables captured in model but model 2 revealed no hypothesized co-integrating equation. FDI had positive but not statistically significantrelationship with Nigerians economy growth in both the short and long run. The findings from the error correction method show that, the distortion in will adjust itself to equilibrium at 0.3% in each period which is very slow in adjusting to equilibrium in case of any distortion. The study recommends that, the government need to aggressively initiate policies to channel the Nation's domestic savings for investment purposes and enact policies to train human capital to argument increasing FDI into the country to stimulate the economy towards rapid and sustained economic growth.

Does Trade Openness Make Sense? Investigation of Nigeria Trade Policy

The empirically examined whether trade openness makes sense, using Nigeria trade policy as yardstick. Considering the framework of the traditional trade theories which postulate that trade has positive impact on economic growth, the study employed Autoregressive Conditional Heteroscedasticity (ARCH), Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Pairwise-Granger causality methodology using secondary data from 1984 to 2013. Results show that trade openness has a significant impact on economic growth. This implies that trade openness make sense in Nigeria given that most of the period under investigation ranged from when Nigeria adopted unrestricted trade policies. The control variables (interest rate and exchange rate) have significant positive effect on economic growth in Nigeria. The pairwise Granger causality test shows that there is a unidirectional causality between economic growth and trade openness at lag one only.

Public Expenditure and Economic Growth in Nigeria : A Granger Causality Approach 1983 - 2012

This paper examines the impact of government expenditure on the Nigerian economy for the period 1983 - 2012. The government expenditure components used as the explanatory variables in the model are: expenditures on Health, Education, Defense, Agriculture and Transportation and Communication. The Gross Domestic Product (GDP) was used as a parameter for measuring economic growth. In order to establish the link between Government expenditure and economic growth in Nigeria, secondary data were collected from the Central Bank of Nigeria (CBN) statistical bulletin. The Augmented Dickey-Fuller (Stationarity) unit root test revealed that there is no unit root in the variables. The Johansen cointegration test result confirms that a long run relationship exists between the Gross Domestic Product (GDP) and government expenditure on Health, Education, Defense, Agriculture and Transportation and Communication. The pairwise granger causality test reveals that dual causalities exists between Government expenditure on health and the GDP, expenditure on education and GDP, expenditure on Agriculture and GDP and expenditure on Transport and Communication and GDP while the Gross Domestic Product causes Defense expenditure. This study concludes that a significant relationship exists between government expenditure and the Gross Domestic Product. It recommends strict monitoring of the expenditure on defense and the provision of modern equipments for the navy, the army and the air force as this would help in fighting the increasing rate of insurgency in the North. There is also need for the increased funding to these critical sectors of the economy in order to facilitate economic growth and the attainment of the millennium development goals.

Does oil price uncertainty transmit to the Thai stock market?

This study investigates the impact of oil price uncertainty on the Stock Exchange of Thailand. Monthly data from May 1987 to December 2013 are applied to the two-stage procedure. In the first step, a bivariate generalized autoregressive conditional heteroskedastic (GARCH) model is estimated to obtain the volatility series of stock market index and oil price. In the second step, the pairwise Granger causality tests are performed to determine the direction of volatility transmission between oil to stock markets. It is found that movement in real oil price does not adversely affect real stock market return, but stock price volatility does affect real stock return. In the sense of causality, there exists a positive one-directional volatility transmission running from oil to stock market. Oil price change and its uncertainty also adversely affect two main sub-index returns. These important findings give some implications for risk management and policy measures.

Stock Exchange Development and Economic Growth: Empirical Evidence from Jordan

The present study examined the relationship between Amman stock exchange development measured by MarketCapitalization Ratio (MCR) and Value Traded Ratio (VTR) and Jordan economic growth measured by GrossDomestic Product Growth (GDPG) for the period 1978–2012. The study used Vector Error Correction Model(VECM) to examine the hypotheses. The study indicated that there is a positive and significant relationshipbetween Amman stock exchange development and Jordan economic growth. In addition, the pairwise Grangercausality test shows that there is a unidirectional causality running from market capitalization ratio and valuetraded ratio to economic growth.

Martingales in Daily Foreign Exchange Rates: Evidence from Six Currencies against the Lebanese Pound

The purpose of this paper is to test whether the Lebanese foreign exchange rate market is weak form efficient by studying the stochastic behavior of six foreign currencies against the Lebanese pound on a daily basis. Efficiency requires that the data meet more than one condition. The first condition is the presence of a unit root process. The second one is that increments are random and uncorrelated. The third is the long term persistence of shocks. The fourth is the absence of breaks in the samples. The last one is the insignificance of pair-wise Granger causality tests. These five conditions describe a statistical behavior known as a martingale. All five conditions are found to apply to the six data series. Non-normality, conditional heteroscedasticity, other non-linear dependencies, and contemporaneous cross-correlations of the log returns of the exchange rates are features that are present in the data but that do not invalidate the general designation of a martingale. Finally, the descriptive statistics of the six series under consideration are quite similar to those of other major currencies, even when compared for different time periods, implying that daily foreign exchange rates share quasi the same characteristics globally.

Banks and Economic Growth in Nigeria: A Re-Examination of the Financial Repression Hypothesis

This study examines the relationship between banks and economic growth in Nigeria with emphasis on the financial repression hypothesis. The study seeks to establish among others, the relationship between banking sector development in Nigeria and economic growth; the impact of regulation of banks on economic growth; the applicability of the financial repression hypothesis to Nigeria; and the direction of causality between banks and economic growth over a period of forty-one years divided into three regulatory regimes (intensive regulation regime (1970-1985), deregulation regime (1986-1995) and guided deregulation regime (1996-2010)). Regression analysis of the ordinary least square method was used to estimate the models and the significance of the estimated parameters. The Pairwise Granger Causality test was adopted to determine the direction of causality. The results show that banks have significant positive impacts on growth in Nigeria under all the regulatory regimes. However, the impact is felt most under the regime of deregulation. The conclusion is that although banks have positive impacts on growth in Nigeria, banks cannot be said to be the propelling force for economic growth. This study recommends the continuation of the current policy of guided deregulation; adoption of entrepreneur friendly policies in lending by banks; and periodic review of various regulations affecting banks in Nigeria. Normal 0 false false false EN-US X-NONE AR-SA

The Causal Relationship between the Bond Market Development and Economic Growth in Africa: Case Study of South Africa

The paper empirically examines the causal relationship between bond market development and economic growth in Africa with South Africa as a case study over a period from 1995 to 2012. Quarterly data applying the Engle Granger cointegration method and the pairwise granger causality test was used. Empirical results reveal that there is a relationship between economic activity and bond market capitalization. Our results imply that African governments should put in place policies which will promote the development of the bond market as one of the ways to mobilise domestic resources and promote economic growth. DOI: 10.5901/mjss.2014.v5n3p126