运用Johansen协整检验和向量误差修正(VEC)模型检验希腊一般政府收入与一般政府总支出之间的Granger因果关系

Michel Guirguis
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引用次数: 3

摘要

在本文中,我们根据希腊一般政府收入和一般政府总支出的自然对数年回报来研究宏观经济变量的影响。本文运用向量误差修正模型(VEC)、格兰杰因果关系和约翰森协整检验来检验一般政府收入与一般政府总支出之间的长期关系。通过使用(VEC)模型,我们发现,62%的非均衡或错误期限或调整到长期均衡的速度每年都通过政府总收入的变化得到纠正。误差项占非均衡或向长期均衡调整速度的56%,每年通过政府总支出的变化来纠正。这两个变量的调整速度都不会太快。此外,我们利用约翰森协整检验,发现一般政府收入与一般政府总支出之间存在显著的长期关系。最后,在5%显著性水平下,我们发现一般政府支出的自然对数年回报与一般政府总收入的自然对数年回报存在显著的格兰杰因果关系,反之则不存在格兰杰因果关系。我们使用的数据是从1980年1月1日到2018年1月1日的自然对数年回报率,总共有39个观测值。这些数据来自国际货币基金组织的统计部门。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
An Application of a Johansen Cointegration Test and a Vector Error Correction, (VEC) Model to Test the Granger Causality between General Government Revenues and General Government Total Expenditures in Greece
In this article, we are investigating the effects of macroeconomic variables in terms of natural logarithmic yearly returns of general government revenues and general government total expenditures of Greece. We have applied a Vector Error Correction model, (VEC) a Granger causality and Johansen cointegration test to check for long – term relationship between general government revenues and general government total expenditures. By using a (VEC), model we have found that 62% of the disequilibrium or error term or speed of adjustment towards long-run equilibrium is corrected each year by changes in general government revenues. Error term accounted as 56% of the disequilibrium or speed of adjustment towards long – run equilibrium is corrected each year by changes in general total government expenditures. The speed of adjustment is not too fast for both variables. Moreover, we have found statistically significant long – run relationship between the general government revenues and general government total expenditures by using Johansen cointegration test. Finally, at the 5% significance level, we have found significant causality that the natural logarithmic yearly returns of the general government expenditures is a Granger causality of the natural logarithmic yearly returns of the general government total revenues and not vice versa. The data that we have used are natural logarithmic yearly returns starting from 01/01/1980 to 01/01/2018, which total to 39 observations. The data was obtained from the Statistical Department of the International Monetary Fund.
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