Dynamic Causal Relationships among Macroeconomic Variables in Developing Economies: A Panel Co-Integration/Vector Correction Approach

10.6148/IJITAS.2011.04.01.02

Warattaya Chinnakum；Songsak Sriboonchitta；Peter Calkins

Causal relationship ； Macroeconomic activity ； Developing economies ； Panel co-integration

International Journal of Intelligent Technologies and Applied Statistics

4卷1期（2011 / 03 / 01）

19 - 43

英文

This paper applies ”developed-country” empirical tests to a large, geographically-dispersed sample of 95 developing countries for the period 1996-2008. The goal is to identify, measure, sign and directionalize the dynamic casual relationships linking gross domestic product, money, the interest rate, the price level, the exchange rate, population and the savings rate. Panel co-integration with vector correction reveals statistically significant long-term equilibrium relationships among all variables except population and the savings rate, implying that the main sources of determined output come from the demand side. Results from the error correction model suggest that after a fiscal shock, gross domestic product reverts to its equilibrium within 20 quarters. In contrast, the money supply requires only 8 quarters to revert to equilibrium. The evidence implies that the money supply could potentially be used as one indicator of future movements in gross domestic product in a developing economy. Comparisons of the results from the present study with those from OECD economies suggest that macro-economics has reached a point where differences between ”developed” and ”developing” economies may be less than those within each bloc.