Domestic Saving and Foreign Investment in Australia: A Granger Causality Test
This paper investigates the nature of the causal relationship between domestic saving and foreign investment in Australia using the Granger no-causality test procedure developed by Toda and Yamamoto (1995). The findings in the paper suggest that foreign investment has Granger-caused domestic saving in Australia but that no causality was found from saving to foreign investment. Therefore, the results reported in the paper reject the arguments by FitzGerald (1993) and support, indirectly, the Pitchford (1990) hypothesis in relation to the foreign debt debate in Australia and are consistent with the results of Layton and Makin (1993). [F21, F30]
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Volume (Year): 12 (1998)
Issue (Month): 4 ()
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- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- J. D. Pitchford, 1989. "A Sceptical View of Australia's Current Account and Debt Problem," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 22(2), pages 5-14.
- Cumberworth, Matthew & Milbourne, Ross, 1996. "External Debt and Liabilities: Evidence from a Cross Section of Countries," The Economic Record, The Economic Society of Australia, vol. 72(218), pages 201-13, September.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
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