Tang, Chor Foon (2010): Savings-led growth theories: A time series analysis for Malaysia using the bootstrapping and time-varying causality techniques. Forthcoming in: International Journal of Economic Research
Download (93kB) | Preview
The purpose of this study is to empirically investigate the vindication of savings-led growth hypothesis for the Malaysian economy with the long run TYDL version of Granger causality – Toda and Yamamoto (1995) and Dolado and Lütkepohl (1996). This study used the quarterly sample from 1970:Q1 to 2008:Q4. The recursive regression procedure will also incorporate into the TYDL causality test to measure the stability of the savings-led growth hypothesis in the long run. Our empirical results support that the savings-led growth hypothesis is long run phenomenon and stable over time. Therefore, the Malaysian dataset supports the endogenous growth theory.
|Item Type:||MPRA Paper|
|Original Title:||Savings-led growth theories: A time series analysis for Malaysia using the bootstrapping and time-varying causality techniques|
|Keywords:||Causality; Malaysia; Recursive regression; Savings-growth; Stability|
|Subjects:||O - Economic Development, Technological Change, and Growth > O1 - Economic Development > O16 - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E21 - Consumption; Saving; Wealth
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C21 - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
|Depositing User:||Chor Foon Tang|
|Date Deposited:||22. Dec 2010 00:38|
|Last Modified:||01. Mar 2013 01:29|
Aghion, Philippe, Diego Comin, Peter Howitt, and Isabel Tecu (2009), When does domestic saving matter for economic growth? Harvard Business School Working Paper 09-080, Havard University.
Agrawal, P. (2001) The Relation between Saving and Growth: Cointegration and Causality Evidence from Asia. Applied Economics, 33, 499-513.
Baharumshah, A.Z. and Thanoon, M.A. (2003) Determinants of gross national saving in Malaysia: A macroeconomic analysis 1960-2000. Savings and Development, 27(4), pp. 421-440.
Baharumshah, A.Z., Thanoon, M.A., and Rashid, S. (2003) Saving Dynamics in the Asian Countries. Journal of Asian Economics, 13(6), 827-845.
Bierens, H.J. (1997) Nonparametric cointegration analysis. Journal of Econometrics, 7(2), pp. 379-404.
Boo, M.C. and Normee, C.S. (2004) Effect of foreign capital inflow and domestic savings on Malaysia’s economic growth: Time series evidence. In The 16th Malaysian Economic Association Convention, 9 December 2004, Malaysia.
Davidson, R. and MacKinnon, J.G. (2004) Econometric Theory and Methods. Oxford University Press, Oxford.
Dolado, J.J. and Lütkepohl, H. (1996) Making Wald tests work for cointegrated VAR system. Econometric Reviews, 15(4), pp. 369-386.
Domar, E.D. (1946) Capital expansion, rate of growth, and employment. Econometrica, 14(2), pp. 137-147.
Granger, C.W.J. (1969) Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, pp. 428-438.
Granger, C.W.J. (1988) Some recent development in the concept of causality. Journal of Econometrics, 39(1-2), pp. 199-211.
Granger, C.W.J. and Newbold, P. (1974) Spurious regressions in econometrics. Journal of Econometrics, 2, pp. 111-120.
Geweke, J., Meese, R. and Dent, W. (1983) Comparing alternative tests of causality in temporal systems. Journal of Econometrics, 21, pp. 161-194.
Hacker, R.S. and Hatemi-J, A. (2006) Tests for causality between integrated variables using asymptotic and bootstrap distributions: Theory and application. Applied Economics, 38, pp. 1489-1500.
Harrod, R.F. (1939) An essay in dynamic theory. Economic Journal, 49(193), pp. 14-33.
Holmes, J.M. and Hutton, P.A. (1990) On the causal relationship between government expenditure and national income. Reviews of Economics Statistics, 72(1), pp. 87-95.
Hsiao, C. (1981) Autoregressive modeling and money-income causality detection. Journal of Monetary Economics, 7, pp. 85-106.
Johansen, S. and Juselius, K. (1990) Maximum likelihood estimation and inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), pp. 169-210.
Lee, J. and Strazicich, M.C. (2001) Break point estimation and spurious rejections with endogenous unit root tests. Oxford Bulletin of Economics and Statistics, 63(5), pp. 535-558.
Lee, J. and Strazicich, M.C. (2003) Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), pp. 1082-1089.
Lee, J. and Strazicich, M.C. (2004) Minimum LM unit root test with one structural break. Department of Economics, Appalachian State University, Boone, NC.
Lumsdaine, R.L. and Papell, D.H. (1997) Multiple trend breaks and the unit-root hypothesis. Review of Economics and Statistics, 79(2), pp. 212-218.
Lütkepohl, H. (2005), New Introduction to multiple time series analysis. Springer-Verlag, Germany.
Mantalos, P. (2000) A graphical investigation of the size and power of the Granger causality tests in integrated-cointegrated VAR systems. Studies in Non-linear Dynamics and Econometrics, 4, pp. 17-33.
Nelson, C.R. and Plosser, C.I. (1982) Trends and random walks in macroeconomic time series: Some evidence and implications. Journal of Monetary Economics, 10(2), 139-162.
Perron, P. (1989) The great crash, the oil price shock and the unit root hypothesis. Econometrica, 57(6), pp. 1361-1401.
Pesaran, M.H., Shin, Y. and Smith, R.J. (2001) Bounds testing approaches to the analysis of the level relationships. Journal of Applied Econometrics, 16, pp. 289-326.
Phillips, P.C.B. (1986) Understanding spurious regression in econometrics. Journal of Econometrics, 33(3), pp. 311-340.
Romer, P. (1986) Increasing returns and long-run growth. Journal of Political Economy, 94(5), pp. 1002 -1037.
Sen, A. (2003) On unit-root tests when the alternative is a trend-break stationary process. Journal of Business and Economic Statistics, 21(1), pp. 174-184.
Solow, R. (1956) A contribution to the theory of economic growth. Quarterly Journal of Economics, 70, pp. 65-94.
Tang, C.F. (2008a) An empirical modelling on savings behaviour in Malaysia. Labuan Bulletin of International Business and Finance, 6, pp. 57-76.
Tang, C.F. (2008b) Wagner’s law versus Keynesian hypothesis: New evidence from recursive regression-based causality approaches. ICFAI Journal of Public Finance, 6(4), pp. 29-38.
Tang, C.F. (2009) Does causality technique matter to savings-growth nexus in Malaysia? Malaysian Management Journal, 13(1-2), pp. 1-10.
Tang, C.F. and Chua, S.Y. (2009) The savings-growth nexus in Malaysia: Evidence from nonparametric analysis. ICFAI Journal of Financial Economics, 7(3 & 4), pp. 1-12.
Toda, H.Y. and Yamamoto, T. (1995) Statistical inference in vector autoregressions with possibly integrated process. Journal of Econometrics, 66(1-2), pp. 225-250.
World Bank (1993) The East Asian Miracle: Economic Growth and Public Policy. New York: Oxford University Press.
Yamada, H. and Toda, H.Y. (1998) Inference in possibly integrated vector autoregressive models: Some finite sample evidence. Journal of Econometrics, 86(1), pp. 55-95.
Zapata, H.O. and Rambaldi, A.N. (1997) Monte Carlo evidence on cointegration and causation. Oxford Bulletin of Economics and Statistics, 59(2), pp. 285-298.
Zhou, S. (2001) The power of cointegration tests versus data frequency and time spans. Southern Economic Journal, 67(4), pp. 906-921.
Zivot, E. and Andrews, D.W.K. (1992) Further evidence of the greater crash, the oil price shock and the unit-root hypothesis. Journal of Business and Economic Statistics, 10(3), pp. 251-270.
Available Versions of this Item
Savings-led growth theories: A time series analysis for Malaysia using the bootstrapping and time-varying causality techniques. (deposited 08. Dec 2010 23:18)
- Savings-led growth theories: A time series analysis for Malaysia using the bootstrapping and time-varying causality techniques. (deposited 22. Dec 2010 00:38) [Currently Displayed]