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Econometric Investigation Of Relationships Among Export, Fdi And Growth In India: An Application Of Toda-Yamamoto-Dolado-Lutkephol Granger Causality Test

Author

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  • Kishor K Guru-Gharana

    (Texas A & M University-Commerce, USA)

Abstract

Most of the study of causal relationship of GDP or growth with Trade and Foreign Direct Investment in the context of India rely on cross country comparisons, or simple correlations/regressions disregarding nonstationarity properties, or at most on VAR or VECM or Johansen-Juselius cointegration technique of testing for Granger causality. The potential biases, pitfalls, influence of nuisance parameters and asymptotic unreliability of these techniques have been well documented in the literature and also briefly mentioned in this paper. Therefore, this paper employs the more recent and robust Toda-Yamamoto-Dolado-Lutkephol augmented VAR(p) technique for testing Granger causality among these three time series. This technique has been shown to provide more robust and asymptotically reliable results under wide variety of situations regarding the cointegration relationships among the time series. This study also focuses on the post liberalization period and clearly shows that the post- liberalization period significantly differs from the pre-liberalization period in the GDP-Export-FDI nexus. We find strong support for Export-led and Foreign Direct Investment led growth hypotheses only in the post liberalization period.

Suggested Citation

  • Kishor K Guru-Gharana, 2012. "Econometric Investigation Of Relationships Among Export, Fdi And Growth In India: An Application Of Toda-Yamamoto-Dolado-Lutkephol Granger Causality Test," Journal of Developing Areas, Tennessee State University, College of Business, vol. 46(2), pages 231-247, July-Dece.
    • Handle: RePEc:jda:journl:vol.46:year:2012:issue2:pp:231-247
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    Citations

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    Cited by:

    1. Ayhan Orhan & Melek Emikönel & Murat Emikönel & Rui Alexandre Castanho, 2022. "Reflections of the “Export-Led Growth” or “Growth-Led Exports” Hypothesis on the Turkish Economy in the 1999–2021 Period," Economies, MDPI, vol. 10(11), pages 1-18, October.
    2. Ademola Obafemi Young, 2024. "Intensive and Extensive Margins of Export Diversification as Strategies for Sustainable Economic Growth: Evidence from the Nigerian Economy," Foreign Trade Review, , vol. 59(2), pages 187-224, May.
    3. Teti̇k, Metin, 2020. "Testing of leader-follower interaction between fed and emerging countries’ central banks," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    4. Kishor K. Guru-Gharana & Matiur Rahman & Anisul M. Islam, 2021. "Japan s Stock Market Performance: Evidence from Toda-Yamamoto and Dolado-Lutkepohl Tests for Multivariate Granger Causality," International Journal of Economics and Financial Issues, Econjournals, vol. 11(3), pages 107-122.

    More about this item

    Keywords

    Export-Led-Growth; FDI; Applied Econometrics; Granger Causality;
    All these keywords.

    JEL classification:

    • O4 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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