The growth of exports and manufacturing in South Africa from 1947 to 1987

This paper establishes the direction of causality between export growth and manufacturing output growth in the period 1947 to 1987. Total exports and manufacturing output demonstrated bidirectional causality for the entire period, yet from 1947 to 1970 there was found to be no relationship between them. A test for the direction of causality between merchandise exports and manufacturing output found that causation ran from manufacturing output to exports from 1947 to 1970. In the period 1968 to 1987, bidirectional causation was established between merchandise exports and manufacturing output     

The Revenue–Expenditure Nexus: The Experience of 13 African Countries

Abstract: The aim of this paper is to investigate the causal relationship between government revenue and government expenditure for 13 African countries within a multivariate framework using a modified version of the Granger causality test due to Toda and Yamamoto (1995) . The empirical evidence suggests that there was a bi‐directional causality running between expenditure and revenue for Mauritius, Swaziland and Zimbabwe; no causality in any direction for Botswana, Burundi and Rwanda; unidirectional causality running from revenue to expenditure for Ethiopia, Ghana, Kenya, Nigeria, Mali and Zambia; and a uni‐directional causality running from expenditure to revenue for Burkina Faso only.     

INSTITUTIONS,BANKING DEVELOPMENT,AND ECONOMIC GROWTH

Does the institutional environment affect the causal relationship between banking development and economic growth? In the theoretical section of this paper, we develop an endogenous growth model where the institutional environment is captured through two indicators: judicial system efficiency and easiness of informal trade. We show that an improvement in the institutional environment has two effects. First, it intensifies the causality direction from banking to economic growth through a reduction in defaulting loans. Second, it reduces the interest rate spread. In the empirical section of the paper, we find bidirectional causality when analyzing 22 Middle Eastern and North African countries over the period 1984–2004. The first causality, which runs from banking development to economic growth, is more intense in countries with more developed institutional environment. The second causality runs from economic growth to banking and indicates that a more developed economy has a more developed banking system.     

Causal Relationship between Domestic Savings and Economic Growth: Evidence from Seven African Countries

This paper utilizes cointegration and the vector error‐correction model (VECM) to explore the causal relationship between economic growth and growth rate of domestic savings for Congo, Côte d’Ivoire, Ghana, Kenya, South Africa, and Zambia. Specifically, three analyses were undertaken. First, the time series properties of economic growth and domestic savings were ascertained with the help of the augmented Dickey–Fuller unit root procedure. Second, the long‐run relationship between economic growth and growth rate of domestic savings was examined in the context of the Johansen and Juselius (1990) framework. Finally, a Granger‐causality test was undertaken to determine the direction of causality between economic growth and growth rate of domestic savings. The results indicate one order of integration [I(1)] for each of the series. The results of the cointegration tests suggest that there is a long‐run relationship between economic growth and growth rate of savings. The results from the Granger‐causality tests indicate that contrary to the conventional wisdom, economic growth prima facie causes growth rate of domestic savings for most of the countries under consideration.     

Divorce and female labor force participation: Evidence from times-series data and cointegration

The divorce rate in the United States has increased over the last 40 years. This increase was accompanied both by growing female labor force participation and rising female income. These changes were accompanied by a significant reduction in the birth rate for married women. This article uses time-series data and cointegration techniques to determine the direction of causality between these variables. Analysis of the impulse functions show that the divorce rate will increase if either female labor force participation or income increases. Positive innovations to the divorce rate increase the labor force participation rate of married women. Rising levels of income lead to greater female participation in the labor market.     

Public expenditure and revenue in China,1990-2009

This study examines the long-ran equilibrium relationship between government expenditure and government revenue in China from 1990 to2009, using co-integration techniques. Meanwhile, it examines the direction of causality relationship between the variables through Granger causalitytest. Empirical findings show that there is a long run equilibrium relationship between govenunent exponditure and revenue. Granger causality test indi-cate there is no hi-directional causal relationship between the two variables.     

Solde Budgétaire,Croissance et Emploi en Côte d’Ivoire

Abstract: The objectives of the present paper were to determine how the fiscal balance, the level of employment and the economic growth evolved overtime in Côte d’Ivoire and to determine the direction of causality in the Granger sense between the fiscal balance, employment and growth. The data used for the study cover the period from 1976 to 2002. The empirical results suggest high positive correlation between the FDI, employment and GDP variables. A positive but weak correlation is found between the fiscal balance and growth. There is no cointegration relation between growth and the fiscal balance as well as between this later variable and the employment variable. With respect to causality, the results suggest a unidirectional causality from the fiscal balance towards growth. These results call for caution in the implementation of economic policies that focus too much on the fiscal balance to pull growth.     

Stock Markets,Banks and Long Run Economic Growth: A Panel Cointegration-Based Analysis

The aim of this paper is to investigate the long run relationship between the development of banks and stock markets and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence to test the number of cointegrating vectors among these three variables for 5 developing countries. In addition, we test the direction of potential causality between financial and economic development. Our results conclude to the existence of a single cointegrating vector between financial development and growth and of causality going from financial development to economic growth. We find little evidence of reverse causation as well as bi-directional causality. We interpret this as evidence supporting the significance of financial development for economic development although banks and stock markets may have different effects depending on the level of economic development.     

Economic research and economic growth: Evidence from East Asian economies

Based upon page counts of articles published in 60 quality economics journals, the role of economic research is examined for five East Asian economies. In Hong Kong, causality runs bi-directionally between research productivity and economic growth; in Japan, the causal effects tend to be one direction from economic growth to research publications; in Korea and Taiwan, causality runs the other way around from publications to growth; and in Singapore, the causal effects are small and insignificant. Socioeconomic differences in each economy help to explain the various causal directions found.     

Supply‐leading versus Demand‐following Hypothesis: Empirical Evidence from Three SSA Countries

Abstract: This study investigates empirically the direction of causality between financial development and economic growth in three sub‐Saharan African countries — Kenya, South Africa and Tanzania. The study seeks to answer one critical question: Does financial development in sub‐Saharan African countries exhibit a supply‐leading or demand‐following response? Using three proxies of financial development against real GDP per capita (a proxy for economic growth), the study finds that the direction of causality between financial development and economic growth is sensitive to the choice of measurement for financial development. In addition, the strength and clarity of the causality evidence is found to vary from country to country and over time. On balance, a demand‐following response is found to be stronger in Kenya and South Africa, whilst in Tanzania a supply‐leading response is found to be dominant. The study therefore recommends that for Kenya and South Africa the real sector of the economy should be developed further in order to sustain the development of the financial sector. However, for Tanzania, there is need for further development of the financial sector in order to make the economy more monetized.     

Tail Causality between Crude Oil Price and RMB Exchange Rate

In this paper we assess the causal relationship between international crude oil price changes and the RMB exchange rate using daily information from 21 July 2005 to 5 April 2017. In addition to linear causality tests, we employ quantile causality test to identify prior imperceptible causality in quantiles. We find a causal relationship from crude oil price to exchange rate at each quantile interval, but the reverse only appears in tail. This may help to explain why a traditional linear test fails to capture the causality from exchange rate to crude oil price as the quantile causalities in tails are canceled out by each other. Moreover, using RMB as the settlement currency in crude oil trade can weaken the prior significant causal relationships between crude oil price and exchange rate, whereas the reform of exchange rate marketization reignites the tail causalities from exchange rate to crude oil price. These findings recommend a wider use of domestic currencies in crude oil trade to avoid risk from the crude oil market.     

Banking Sector Development and Energy Consumption in Nigeria: Exploring the Causal Relationship and its Implications

This study examines the causal relationship between banking sector development and energy consumption in Nigeria over the period 1971–2013 incorporating crude oil price and indicators of economic performance. An autoregressive distributed lag bounds testing approach to cointegration provides evidence of long‐run relationship among the variables. The long‐run and short‐run estimates suggest that a non‐linear inverted U‐shaped relationship exists between banking sector development and energy consumption in Nigeria, indicating that initially, energy consumption increases as the banking sector develops and then declines as the banking sector matures to generate efficiency in energy consumption. In addition, this study explores the direction of causality between the variables using the Toda–Yamamoto Granger causality test procedure. The results suggest that a unidirectional causality runs from crude oil price to banking sector development, from banking sector development to energy consumption and from energy consumption to economic growth. It may therefore be necessary for policy makers in Nigeria to incorporate banking sector development in the energy and sustainable economic policies.     

Money,income, and exchange rate regimes: Evidence from the U.K.

This study examines the money-income correlation in the U.K. using monthly data over both fixed and flexible exchange rate regimes. Most previous studies find unidirectional causality running from income to money. The results presented here indicate that money and income are independent over the fixed rate period, while unidirectional causality runs from money to income over the flexible rate period. There are two major reasons for the difference between the results reported here and those provided by other studies. First, unlike the current study, previous studies employing U.K. data have tested for Granger causality using bivariate or trivariate tests which suffer from an omitted variables bias. Second, unlike many previous studies, the current study does not mix data from different exchange rate regimes.     

The government revenue and government expenditure nexus: empirical evidence from nine Asian countries

The nexus between government revenue and government expenditure has been an important topic in public economics. In this paper, we investigate evidence for cointegration and causality between government revenue and government expenditure for nine Asian countries. We use the recently developed bounds testing approach to cointegration and the conventional F-test to examine Granger causality. Our empirical results suggest that for three out of the nine countries government revenue and government expenditure are cointegrated. Our results on the direction of causation are mixed: (a) for Indonesia, Singapore, Sri Lanka in the short-run and for Nepal in both the short- and long-run we find support for the tax-and-spend hypothesis; (b) Indonesia and Sri Lanka are in conformity with the spend-and-tax hypothesis in the long-run; and (c) for other countries there is evidence of neutrality.     

Exchange Rate Policy and Currency Substitution: The Case of Africa's Emerging Economies

This paper examines the dynamic of currency substitution (CS) in Egypt and South Africa. The study also assesses the causal relationships of this phenomenon. There are three main CS‐related differences between the two countries. These are (1) the orientation of economic policy, (2) the degree and level of CS, and (3) the trend of CS. During the study period 1991‐2001, Egypt used the exchange rate as an anchor to its economic programme. While in the case of South Africa, the authorities directly targeted inflation. During this period, CS in Egypt started at a substantial level and experienced a steady decline. Conversely, CS in South Africa started at an insignificant level, but observed an uninterrupted increase. The results suggest that the elasticity of CS, with respect to exchange rate, of South Africa is 2.3 times that of Egypt, and that the speed of adjustment in South Africa is 5 times faster than in Egypt. Granger‐causality tests indicate a unidirectional relationship from the exchange rate to CS, in both Egypt and South Africa. The test for the interest rate differential and CS indicate that causality runs from the former to the latter in South Africa, but it runs in the opposite direction in Egypt. The study suggests that despite the cost of the exchange rate anchoring policy, it is more suitable to a high CS environment. Inflation targeting policy can be effective in achieving its objective as long as the CS is insignificant.     

Does decentralization reduce income inequality? Only in rich states

We investigate the relationship between fiscal decentralization and income inequality using data from U.S. states over three and a half decades. Our study contributes to the literature in several ways in terms of empirical methodology and specification. First, we take into account integration and cointegration properties of the data and estimate the cointegrating relationship between fiscal decentralization and income inequality using Fully Modified Ordinary Least Squares, following Pedroni (2000). Second, we investigate the direction of the causality. Finally, and perhaps most importantly, we investigate if the relationship between fiscal decentralization and income inequality is conditional on income in each state. We find that fiscal decentralization does reduce income inequality, but only in rich states. We also find that causality runs from fiscal decentralization to income inequality, not the other way around.     

中国经常项目顺差的影响因素研究——基于双缺口模型的实证分析

文章在双缺口模型的基础上,进一步分拆模型去寻找影响私人部门储蓄-投资缺口进而影响我国经常账户余额的因素。并且对人均GDP、政府部门的财政余额、对私人部门投放的信贷余额、一国的实际利率以及抚养比率这五项指标进行协整检验和格兰杰因果检验;并建立VAR模型,分析其脉冲响应函数和方差分解结果。实证结果揭示了以上因素对我国经常项目余额的长期影响方向和短期变动的特点。     

全球主要石油市场间的信息溢出效应分析

本文选取了全球主要的石油市场组合,以均值、方差、分位数为代理变量,运用Granger因果检验方法研究了市场的信息溢出效应。在过滤掉了均值因果关系后,着重分析了不同市场组合的波动溢出效应,判断了市场间的信息流向。在波动溢出分析的基础上,又进一步检验了极端上涨和极端下跌时的风险溢出关系,提出了非对称风险溢出的概念,并将其应用于石油市场。实证结果表明信息大多从信息效率高的市场流向信息效率低的市场,上涨侧的信息传递速度比下跌侧更高,强风险溢出证据是普遍的。对波动溢出与风险溢出的比较表明,风险溢出继承了波动溢出的大多数特征,表明方差Granger因果关系的存在是风险溢出的主要原因,二者的差异表明高阶矩存在的因果关系也可以导致风险溢出。     

THE ROLE OF COMMODITY PRICES IN MACROECONOMIC POLICY IN SOUTH AFRICA

This paper examines whether commodity prices can be used as signal for informing macroeconomic policy in South Africa using the new approach for testing Granger causality developed by Toda and Yamamoto (1995 ). Evidence of causality from average gold price to interest rate, money, exchange rate and the consumer price index was observed. Again, evidence of causality was observed from metals price index to interest rate, money and exchange rate. The results suggest there is merit in using South Africa's average gold price and the metals price index of the International Monetary Fund as informational variables in setting monetary policy.     

Testing price-exchange rate noncausality: Results from a vector error correction model

Previous tests of the martingale property of the exchange rate have examined the random walk property of the exchange rate or have tested for Granger causality of the exchange rate by macroeconomic variables. Interestingly, if purchasing power parity (PPP) holds in the long run, causality tests should be conducted by estimating a vector error correction model which includes price levels. This paper conducts exchange rate causality tests employing vector error correction models and finds evidence that the Swiss exchange rate is Granger caused by lagged deviations in PPP and, hence, is Granger caused by prices.