| 摘要: | The purpose of this research is to explore relationships among real gross domestic product (GDP), consumer price index (CPI), money supply (M2), exchange rate between USD and BRL (EX), export (EXP), import (IM), money market rate (INT), and oil price (WTOILP) for Brazil with the focus on real GDP growth, inflation, and demand management policies. This research is interesting in the sense that Brazil is one of BRICs and has recently experienced a transition from an oil-importing country to an oil-exporting country.
The data are collected at the quarterly interval from the Taiwan Economic Journal (TEJ), spanning from 1998.Q1 to 2011.Q3. The eight variables are found to be I (1) series using ADF and PP unit root tests and to be cointegrated using the Johansen method. Then the Granger causality test is performed in the context of the estimated vector error correction model.
Evidences show that inflation, exchange rate depreciation, and oil price growth unidirectionally Granger caused economic growth, whereas money supply growth bidirectionally Granger caused economic growth. Evidences further indicate that inflation was rather exogenous in the sense that it was not Granger caused by any of the other variables. A unidirectional causality is found from oil price growth to export, import and exchange rate depreciation. A unidirectional causality is also found from money supply growth to import, exchange rate depreciation, money market rate changes, and oil price growth. Money supply growth is found to be unidirectionally Granger caused by real GDP growth and inflation.
The block exogeneity Wald test shows that money supply growth had weakest exogeneity among the eight variables because monetary responses to inflation and real GDP growth while market interest rate changes and exchange rate depreciation had stronger exogeneity suggesting Brazilian adoption of interest rate policy and exchange rate policy in affecting its economic activities because both showed stronger exogeneity.
The purpose of this research is to explore relationships among real gross domestic product (GDP), consumer price index (CPI), money supply (M2), exchange rate between USD and BRL (EX), export (EXP), import (IM), money market rate (INT), and oil price (WTOILP) for Brazil with the focus on real GDP growth, inflation, and demand management policies. This research is interesting in the sense that Brazil is one of BRICs and has recently experienced a transition from an oil-importing country to an oil-exporting country.
The data are collected at the quarterly interval from the Taiwan Economic Journal (TEJ), spanning from 1998.Q1 to 2011.Q3. The eight variables are found to be I (1) series using ADF and PP unit root tests and to be cointegrated using the Johansen method. Then the Granger causality test is performed in the context of the estimated vector error correction model.
Evidences show that inflation, exchange rate depreciation, and oil price growth unidirectionally Granger caused economic growth, whereas money supply growth bidirectionally Granger caused economic growth. Evidences further indicate that inflation was rather exogenous in the sense that it was not Granger caused by any of the other variables. A unidirectional causality is found from oil price growth to export, import and exchange rate depreciation. A unidirectional causality is also found from money supply growth to import, exchange rate depreciation, money market rate changes, and oil price growth. Money supply growth is found to be unidirectionally Granger caused by real GDP growth and inflation.
The block exogeneity Wald test shows that money supply growth had weakest exogeneity among the eight variables because monetary responses to inflation and real GDP growth while market interest rate changes and exchange rate depreciation had stronger exogeneity suggesting Brazilian adoption of interest rate policy and exchange rate policy in affecting its economic activities because both showed stronger exogeneity. |
