Developments in the Study of Cointegrated Economic Variables

Granger, Clive W. J.

doi:10.1111/j.1468-0084.1986.mp48003002.x

Cited by 1,910 publications

(394 citation statements)

References 18 publications

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“…Theory of co-integration gives a way to reconcile findings of non-stationarity with the possibility of testing relationship among the levels of economic variables (Granger, 1986). In this study, we employed system based reduced rank regression approach proposed by Johansen (1991Johansen ( , 1995 test which has the advantage that both estimation and hypothesis testing are performed in a unified framework (Engle & Granger, 1987).…”

Section: Analytical Frameworkmentioning

confidence: 99%

Transmission of Global Food Prices to Domestic Prices: Evidence from Sri Lanka

Sivarajasingham¹,

Applanaidu²,

Hassan³

2015

ASS

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Food prices have been increasing sharply since 2003. In the globalized world, the transmission of global food price increases to domestic market determines the decision of economic agents and policy makers of a domestic economy. The recent growth of global food prices affects the welfare of poor consumers and producers. In Sri Lanka, large segment of the population spends more than 50 percent of their income on food. Thus, this study investigates and assesses how international food price surge affects domestic inflation process in Sri Lanka. The empirical statistical results are derived by using a battery of parametric and non-parametric econometric techniques using monthly data of price series for the period from 2003M1 to 2013M12. The co-integration analysis results confirm that global food prices, domestic prices are co-integrated. Therefore, Sri Lankan government needs to develop a safety net program for the poor and a longer term poverty reduction strategy. Policy attention needs to shift towards efforts to increase food production. The results of this study have various policy implications for monetary policy, food and agricultural policy and trade policy for Sri Lanka.

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Section: Analytical Frameworkmentioning

confidence: 99%

Transmission of Global Food Prices to Domestic Prices: Evidence from Sri Lanka

Sivarajasingham¹,

Applanaidu²,

Hassan³

2015

ASS

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“…In order to test the above hypotheses the usual Wald F-statistic test is utilized, wh ich has the following form: H 0 : PUB does not Granger cause RGDP, i.e., { 11 α , 12 α ,…… 1k α }= 0, if F c < critical value of F H 1 : PUB does Granger cause RGDP, i.e., { 11 α , 12 α ,…… 1k α }≠ 0, if F c > critical value of F and H 0 : RGDP does not Granger cause PUB, i.e., { 21 β , 22 β ,…. 2k β }= 0, if F c < critical value of F H 1 : RGDP does Granger cause PUB, i.e., X has a corresponding impact on current variable Y or whether the relation works in the opposite direction.…”

Section: Specification Of Modelmentioning

confidence: 99%

Public Debt and Economic Growth in Nigeria: Evidence from Granger Causality

Egbetunde¹

2012

ECONOMICS

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The paper examined the causal nexus between public debt and economic growth in Nigeria between 1970 and 2010 using a Vector Autoregressive (VAR). The variab les used in the study were tested for stationarity using the Augmented Dickey Fuller and Philip Perron test. The result showed that the variables are stationary at first differencing. Co-integration test was also performed and the result revealed the presence of co-integration between public debt and economic growth. The co-integration results show that public debt and economic growth have long run relationship. The findings of the VA R model revealed that there is a bi-directional causality between public debt and economic gro wth in Nigeria. The paper concluded that public debt and economic growth have long run relationship, and they are positively related if the government is sincere with the loan obtained and use it for the development of the economy rather than channel the funds to their personal benefit.

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“…Causality between variables in time series multivariate analysis was initially investigated by Granger [11,14]. In general it provides richer information than the single or univariate equation model because several endogenous and exogenous variables could be tested simultaneously.…”

Section: Granger's Causalitymentioning

confidence: 99%

“…Further investigation of interest to the current study that utilizes the information given in Table 3(a) through Table 3(c) is to derive Granger's causality test. According to Rosilawati Amiruddin et al [10] the works of Granger [11], Hendry [12], Engle and Granger [6] and Johansen and Juselius [13] on the extension of cointegration technique had opened up new avenues for evidence of causalities in one and bi-directional which were once uncertain due to spurious regression results.…”

Section: Aquaculture Error Correction Modelmentioning

confidence: 99%

Causalities between Price, Pond Area and Employment in Aquaculture Production

Mustapha¹,

Aziz²,

Hashim³

2013

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The role of aquaculture industry is becoming more prominent in order to supplement marine capture in meeting the food need for the growing Malaysian population. In an attempt to minimize depletion of marine fisheries, only traditional vessels are allowed to fish along the coastal area while bigger vessels are relegated to deep-sea fishing. During the 9th Malaysian Plan (2006)(2007)(2008)(2009)(2010) aquaculture has been recognized as the engine of growth in the national food sector's development strategy. Future fisheries policy is expected to focus more on aquaculture production, marketing and technological improvement as an alternative to marine capture. This paper investigates the causalities between the selected freshwater fish prices, aquaculture area and production. The study aspires to establish whether or not market price is a key contributor to a rise in the aquaculture area and production. Aquaculture firms comprising the individual culturists are generally motivated by the economic potential of the industry which is reflected in excess of price over cost of production. Our hypothesis is that government policy and initiation rather than prices had give rise to greater participation of culturists and hence augmented the level of employment. However, production increase has a negative implication on environment degradation. Thus there is a conflicting view as regards to the employment opportunity generated by aquaculture undertakings and the need for sustainable development arising from this growing industry. Multivariate time series analysis was used in this investigation.

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Developments in the Study of Cointegrated Economic Variables

Cited by 1,910 publications

References 18 publications

Transmission of Global Food Prices to Domestic Prices: Evidence from Sri Lanka

Transmission of Global Food Prices to Domestic Prices: Evidence from Sri Lanka

Public Debt and Economic Growth in Nigeria: Evidence from Granger Causality

Causalities between Price, Pond Area and Employment in Aquaculture Production

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