• The Journal of Asian Finance, Economics and Business
• /
• 제7권12호
• /
• pp.677-682
• /
• 2020

To investigate the nexus between urban population, gross capital formation, and economic growth in the Kingdom of Saudi Arabia, yearly data was collected from the World Bank for the period 1974- 2018. Basic statistics test and correlation matrix was used to investigate the causal effect among the tested parameters, followed by Augmented Dickey-Fuller (ADF) stationary test, co-integration analysis by Johansen test after that Vector Auto-Correction Model for both short-run and long-run and finally the Granger-Causality tests. Result of unit root test analysis shows that the urban population became stationary at I (0) level while economic growth and gross capital formation became stationary at I (1). Johansen co-integration analysis indicates that there is presence of both long-run and short-run relationship between the three variables in the Kingdom of Saudi Arabia. The result of the VECM Model reflects that both economic growth and gross capital formation have a negative impact on urban population in the short run. According to the Granger-Causality tests, there is unidirectional causality with the urban population by both gross capital formation and economic growth. Also, the result of the Granger Causality tests show that there is unidirectional causality between economic growth and gross capital formations.

• The Journal of Asian Finance, Economics and Business
• /
• 제7권11호
• /
• pp.607-617
• /
• 2020

This study investigates the causal relationship between public and private external debt and economic growth in developing countries. Our model includes 18 selected Asian developing and transition economies from 1995 thru 2019. We employ the dynamic heterogeneous panel data methods, pooled mean group (PMG), robust cross-sectional augmented autoregressive distributed lag (CS-ARDL), and pairwise panel causality test. The results of PMG and CS-ARDL show the existence of causality between external debt and economic growth both in the short-run and long-run. The pairwise Granger causality test found the bidirectional causal relationship runs from total external debt, public external debt, and private external debt to economic growth and economic growth to external debt. The results showed first the existence of causality in the short-run and long-run between external debt and economic growth and the second, bi-directional causality that runs from external debt to economic growth and economic growth to external debt. Both the dynamic models and robust estimator found the same inferences about the impact of main variables on economic growth in Asian developing and transition economies. The findings of this study suggest to assure debt management, investment in productive sectors, increase domestic savings, decrease external dependency, and focus on international trade.

• Industrial Engineering and Management Systems
• /
• 제14권1호
• /
• pp.104-110
• /
• 2015

Every year governments spend their national budget on public health in order to reduce financial burden of individuals on health. Although it has been widely believed that the increase of public expenditure on health decreases private health expenditure, it has not been proved by analysis with real data. For better understanding, we conducted an empirical study on the real data of 17 OECD countries-Australia, Austria, Canada, Denmark, Finland, Germany, Iceland, Ireland, Japan, Korea, New Zealand, Norway, Portugal, Spain, Sweden, the United Kingdom, and the United States. The panel Granger-causality test is used to verify the cause-and-effect relationship between the two expenditures. As a result, public expenditure on health has a 3 to 4 year-lagged negative effect on private health expenditure in the cases of the 16 countries except for the United States.

• East Asian Economic Review
• /
• 제22권2호
• /
• pp.217-239
• /
• 2018

This paper tests empirically the causal relationship between bank loans and the monetary base before and after the adoption of inflation targeting in seven Asia-Pacific countries using Toda-Yamamoto Granger non causality test and the bootstrap test for causality. The most striking finding is that the bank loans Granger cause the monetary base during the inflation targeting period in all the countries, except Japan, which was under the influence of the quantitative easing, whereas the causality appeared diverse before the inflation targeting regime. This result implies the need for the policy makers to take the endogenous nature of the money supply into account in the modern economy.

• 응용통계연구
• /
• 제34권5호
• /
• pp.837-848
• /
• 2021

본 연구에서는 Pfister 등 (2019)에서 제시된 시계열 데이터에 대해서 시간이 지나도 불변하는 인과성(invariant causality)을 갖는 변수를 찾는 방법에 대해서 설명하고자 한다. 시계열에서 주로 이용되는 Granger causality 방법은 인과 관계를 찾기 보다는 선행한 사건과 추후에 일어나는 사건과의 연관성을 찾는 방법이며, 때로는 허위 연관성의 결과를 산출하기도 한다. Chow 검정은 고정된 모형에 대해서 특정 시점 전후의 차이를 검정하는데 이용된다. 기존 방법은 높은 설명을 갖는 모형을 찾는데 중점을 두었는데, 이러한 모형은 환경의 변화에 따라 같은 모형이 유지되지 않을 가능성이 있다. Pfister 등 (2019)에서 제시된 모형은 설명변수와 종속변수 간의 조건부 관계를 찾는데 중점을 두고 있기 때문에, 환경의 변화에도 불변하는 인과성을 찾는데 유용하게 이용될 수 있다. 특히, 거시 경제 데이터는 측정하기 어려운 많은 변수로 인해 설명력이 높은 모형을 찾는 것이 어렵기 때문에, 기존 방법을 이용하기 보다는 Pfister 등 (2019)의 모형을 적용하는 것이 의미가 있다. 본 연구에서는 Pfister 등 (2019)가 제시한 방법을 이용하여 원 달러 환율에 불변하는 인과성을 갖는 거시경제 변수를 찾고자 한다.

• 한국국방경영분석학회지
• /
• 제34권1호
• /
• pp.79-98
• /
• 2008

R&D 투자와 경제성장간의 관계에 대한 많은 기존 논의들은 R&D 투자가 경제성장에 대해 강한 양(+)의 관계가 존재함을 제시하고 있다. 그러나 투자와 성장사이의 강한 결합관계가 반드시 일방적 인과관계를 의미하는 것은 아니기 때문에 인과관계의 방향에 대한 보다 심층적인 연구가 필요하다. 특히 급변하는 안보환경 속에서 국방 R&D 투자가 증대되고 있음을 고려해 볼 때 국방 R&D 투자와 타 부문 R&D 투자 및 경제성장과의 결합관계에 대한 논의에 앞서 각 변수들 간의 인과관계에 대한 연구가 선행되어야 하나, 현재까지 국방 R&D 투자와 타 부문 간의 인과관계를 연구한 실적이 전무한 실정이다. 따라서 국방 R&D 투자와 다른 변수들과의 인과관계 분석을 통하여 국방 R&D 투자정책에 관한 정책적 시사점을 제시하였다는데 본 논문의 의미를 두고자 한다.

• 한국정보시스템학회지:정보시스템연구
• /
• 제29권1호
• /
• pp.289-301
• /
• 2020

Purpose This study analyzes whether Internet search of cryptocurrency has a causal relationship to return and volatility of cryptocurrency. Design/methodology/approach Google Trend was used as a measure of the level of Internet search, and the parametric tests of Granger causality in the 1st moment and the 2nd moment were adopted as the analysis method. We used Bitcoin's dollar-based price, which is the No. 1 market value among cryptocurrency. Findings The results showed that the Internet search measured by Google Trends has a causal relationship to cryptocurrency in both average and volatility, while there is a difference in causality and its degree according to the search area and category that Google Trend user should set. Because the Granger causality is based on the improvement of prediction, the analysis results of this study indicate that Internet search can be used as a leading indicator in predicting return and volatility of cryptocurrency.

• 재무관리논총
• /
• 제9권1호
• /
• pp.221-244
• /
• 2003

This study is aimed to investigate the effects of foreign exchange rates on stock market returns. For the United States, the United Kingdom, Germany, Japan and Korea, the cross-correlation precedence of foreign exchange rate on stock market is found in the case of Germany and Korea. But that of stock market is not observed in any case. We performed three kinds of causality and exogeneity test of Granger test, Sims test and Geweke-Meese-Dent test. The analyses on the full period show the time-lag causal, exogeneous relation of foreign exchange rates with Granger, Sims and GMD test for Korea. The United Kingdom presents the significance with Granger and Sims test while Germany reveals the time-lag relation with Granger and GMD test. When we divide the period into two parts with the Louvre Accord, the first part give the less degree of time-lag relation. But in the second period the three kinds of causality and exogeneity test propose consistent time-lag relation with foreign exchange rates on stock markets for the United Kingdom and Korea with the three test methods. And Granger's test prove German foreign exchange market have a time-lag relation on stock market.

• 한국항해항만학회지
• /
• 제42권5호
• /
• pp.357-364
• /
• 2018

Colombo noticeably became the most economical gateway to the Indian subcontinent, in terms of cost as well as time. The Colombo Port Expansion Project (CPEP) started commencement with the purpose of accommodating mega ships, under the long-term strategies of making Colombo the hub of South Asia. In this context, the purpose of this study is to investigate the causal relationship between Indian ports' originated container traffic, and total transshipments of the port of Colombo, and also to identify the nature of the causality between the two variables, evaluating Granger causality test results. It finds unidirectional causality from total transshipments of Colombo to Indian ports' originated transshipments in the port of Colombo. It suggested that ongoing port expansion projects, opening up for new markets and attracting new shipping lines in the port of Colombo, have generated significant impact on Indian ports' container traffic, via the port of Colombo. Findings would be valuable for future forecasting of container traffic in Colombo port and the policy-making process in the port as well.

• Journal of the Korean Data and Information Science Society
• /
• 제15권2호
• /
• pp.485-493
• /
• 2004

This paper considers the test of money and income causality. Jeong (1991, 2003) developed a nonparametric causality test based on the kernel estimation method. We apply the nonparametric test to USA data of money and income. We also compare the test results with ones of the conventional parametric test.