Granger Causal Linkages Between Economic Growth and Fixed Capital Formation in South Africa: A Frequency Domain Analysis

Year 2023, , 225 - 234, 30.09.2023

Fela Özbey

https://doi.org/10.18506/anemon.1333770

Abstract

The purpose of this study is to examine the Granger causal linkages between gross fixed capital formation (GFCF) growth and economic growth in South Africa. To provide a more comprehensive analysis of the Granger causality (GC) relationships between these macroeconomic indicators, this study investigates these causalities in the frequency domain. The methodology is based on decomposing time series into weighted sinusoidal components and performing separate GC tests for each component. Test results reveal that there is feedback between capital formation and economic growth in South Africa in the frequency domain, even at the 1% significance level. Furthermore, the test results indicate that the GC from fixed capital formation to economic growth is detected in lower frequencies compared to the GC from economic growth to capital formation. This means that the severity of the GC from economic growth to capital formation is stronger than the reverse direction GC in South Africa.

Keywords

Frequency Domain Granger Causality, Hodrick-Prescott Filter, Bootstrap, Economic Growth, Capital Formation

Güney Afrika'da Ekonomik Büyüme ve Sabit Sermaye Oluşumu Arasındaki Granger Nedensel İlişkiler: Bir Frekans Alanı Analizi

Abstract

Bu çalışmanın amacı, Güney Afrika'da sabit sermaye oluşumu ile ekonomik büyüme arasındaki Granger nedensellik ilişkilerinin araştırılmasıdır. Bu makroekonomik göstergeler arasındaki Granger nedensel ilişkilerin daha kapsamlı bir analizini sağlamak için, nedensellikler frekans alanında araştırılmıştır. Yöntem, zaman serilerinin ağırlıklı sinüzoidal bileşenlerine ayrıştırılarak her bir bileşen için ayrı ayrı Granger nedensellik testinin gerçekleştirilmesine dayanmaktadır. Test sonuçları, Güney Afrika'da ekonomik büyüme ile sermaye oluşumu arasında, %1 önem düzeyinde dahi, frekans alanında çift yönlü bir Granger nedenselliğin olduğunu göstermektedir. Ayrıca, çalışma sabit sermaye oluşumundan ekonomik büyümeye olan Granger nedenselliğinin, ekonomik büyümeden sermaye oluşumuna olan Granger nedenselliğe kıyasla daha düşük frekanslarda mevcudiyet gösterdiğini de ortaya koymaktadır. Bu sonuçlar, Güney Afrika'da ekonomik büyümeden sermaye oluşumuna olan Granger nedenselliğin sermaye oluşumundan ekonomik büyümeye olan Granger nedensellikten daha güçlü olduğunu ifade etmektedir.

Keywords

Frekans Alanında Granger Nedensellik, Hodrick-Prescott Filtresi, Bootstrap, Ekonomik Büyüme, Sermaye Oluşumu

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