Financial innovation and economic growth in Bangladesh

Qamruzzaman, Md.; Jianguo, Wei

doi:10.1186/s40854-017-0070-0

Financial Innovation

Table 8 VECM Granger Causality Test Results

From: Financial innovation and economic growth in Bangladesh

	Short-run Causality					Lagged Error Correction Coefficient
Dependent Variables	Independent Variables					Lagged Error Correction Coefficient
Model 1: VECM with (GDPPC, GEXP, CPI, M2/M1, TO)
	∆lnGDPPC	∆ln GEXP	∆ln CPI	∆ln M2/M1	∆ln TO	ECT (−1)
∆ln GDPPC		0.16 (0.001)^**	0.49 (0.75)	0.016 (0.002)^**	0.16 (0.012)^*	−0.75 (0.002)^**
∆ln GEXP	8.41 (0.043)^*		5.71 (0.174)	2.840.041)^*	0.64 (0.221)	−0.05 (0.00)^**
∆ln CPI	5.63 (0.121)	7.46 (0.122)		0.008 (0.001)^**	5.81 (0.015)^*	0.04 (0.152)
∆ln M2 M1	0.66 (0.021)^*	1.25 (0.041)^*	2.61 (0.002)^**		0.49 (0.004)^**	−0.48 (0.002)^**
∆ln TO	1.06 (0.004)^**	3.12 (0.001)^**	0.28 (0.012)^**	0.006 (0.001)^**		−0.33 (0.005)^**
Model 2: VECM with (GDPPC, GEXP, CPI, DCB, TO)
	∆lnGDPPC	∆ln GEXP	∆ln CPI	∆ln TO	∆ln DCB	ECT(−1)
∆ln GDPPC		0.32 (0.003)^**	0.67 (0.170)	0.24 (0.024)^*	0.37 (0.009)^**	−.025 (0.002)^**
∆ln GEXP	2.01 (0.012)^*		2.23 (0.154)	2.37 (0.017)^*	2.74 (0.001)^**	−0.54 (0.045)^*
∆ln CPI	4.76 (0.118)	5.34 (0.024)^*		5.99 (0.185)	1.51 (0.003)^**	0.12 (0.41)
∆ln TO	0.42 (0.019)^*	1.39 (0.002)^**	1.24 (0.127)		0.07 (0.321)	−0.02 (0.006)^**
∆ln DCB	6.09 (0.021)^*	4.19 (0.005)^**	7.21 (0.003)^**	4.64 (0.42)		−0.10 (0.012)^*
Model 3: VECM with (GDPPC, GEXP, CPI, GCF, TO)
	∆lnGDPPC	∆ln GEXP	∆ln CPI	∆ln TO	∆ln GCF	ECT (−1)
∆ln GDPPC		1.48 (0.017)^*	3.37 (0.178)	0.15 (0.001)^**	0.22 (0.003)^**	−0.37 (.025)^**
∆ln GEXP	4.44 (0.12)		3.58 (0.002)^**	0.24 (0.021)^*	2.29 (0.012)^*	−0.12 (0.035)^*
∆ln CPI	6.15 (0.029)^*	3.23 (0.017)^*		2.27 (0.005)^**	3.40 (0.001)^**	−0.33 (0.159)
∆ln TO	6.36 (0.004)^**	9.93 (0.001)^**	7.55 (0.002)^**		0.35 (0.042)	−0.11 (001)^**
∆ln GCF	0.01 (0.001)^**	5.56 (0.012)^*	1.02 (0.145)	0.57 (0.002)^**		−0.14 (0.002)^**

Note: 1. CPI: Consumer Price Index, M2/M1: Broad-to-Narrow Money, GEXP: Government Expenditure, GCF: Gross Capital Formation, DCB: Domestic Credit to Private Sector, TO: Trade Openness and GDPPC: Gross Domestic Product Per Capita. Variables are positively defined (see Table 1)
Note 2: Values reported () in brackets are the associated probability of coefficients
Note 3: (^*) & (^**) significance at 5% and 1%, respectively
Note 4: Values reported here are the natural logs of the variables. We use natural log forms in our estimation
Note 5: Δ denotes the first order difference operator
Note 6: VECM is the Vector Error Correction Model and ECT Stands for Error Correction Term

Back to article page