Financial deepening and economic growth in Mozambique
Autor(a) principal: | |
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Data de Publicação: | 2007 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/674 |
Resumo: | In this empirical research, based on Mozambican time series data, we examine the causality between financial deepening and economic growth, in a multivariate VAR structure over a period covering 24 years, from 1980 to 2003. Financial deepening is measured by the ratio of bank deposit liabilities to nominal GDP and is modeled with real per capita income as a proxy of economic development. Specifically, three analyses were undertaken. First, the time series properties of the variables were ascertained with the help of augmented Dickey-Fuller (ADF) unit root procedure. Second, the long run relationship between the variables was examined in the context of VAR and VECM framework, developed by Johansen and Juselius (1990). Finally, weak exogeneity test and Granger-causality tests were undertaken to determine the direction of causality between economic development and financial deepening. The results of the ADF tests indicate that all variable contain a unit root in their level but are stationary at their first differences. The cointegration test suggests that there is a long-run relationship between economic growth and financial deepening and weak exogeneity tests and Granger-causality tests indicate that economic development is causally dependent of financial deepening in Mozambique. |
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Financial deepening and economic growth in MozambiqueEconomic DevelopmentEconomic GrowthDesenvolvimento EconómicoCrescimento EconómicoIn this empirical research, based on Mozambican time series data, we examine the causality between financial deepening and economic growth, in a multivariate VAR structure over a period covering 24 years, from 1980 to 2003. Financial deepening is measured by the ratio of bank deposit liabilities to nominal GDP and is modeled with real per capita income as a proxy of economic development. Specifically, three analyses were undertaken. First, the time series properties of the variables were ascertained with the help of augmented Dickey-Fuller (ADF) unit root procedure. Second, the long run relationship between the variables was examined in the context of VAR and VECM framework, developed by Johansen and Juselius (1990). Finally, weak exogeneity test and Granger-causality tests were undertaken to determine the direction of causality between economic development and financial deepening. The results of the ADF tests indicate that all variable contain a unit root in their level but are stationary at their first differences. The cointegration test suggests that there is a long-run relationship between economic growth and financial deepening and weak exogeneity tests and Granger-causality tests indicate that economic development is causally dependent of financial deepening in Mozambique.Neste trabalho de pesquisa empírica, baseado em séries temporais analisamos, num quadro estrutural multivariado, a causalidade entre o desenvolvimento financeiro e o crescimento económico em Moçambique durante um período de 24 anos, de 1980 a 2003. O desenvolvimento do sistema financeiro é medido pelo rácio dos depósitos bancários sobre o PIB nominal e o desenvolvimento económico é medido pelo PIB per capita. Mais especificamente são efectuadas três análises: a primeira, com o auxílio do teste ADF de raízes unitárias, analisa as propriedades das séries temporais, no intuito de detectar se as séries têm raízes unitárias em nível, e se são estacionárias em primeiras diferenças; a segunda examina, no quadro do VAR e do Modelo Vectorial de Correcção de Erros (VECM) desenvolvido por Johansen e Juselius (1990), a relação de longo prazo entre as variáveis; finalmente a terceira analisa os resultados dos testes de exogeneidade fraca e de causalidade (Granger), no sentido de determinar a relação de causalidade entre o desenvolvimento financeiro e o crescimento económico. Os resultados dos testes ADF indicam que todas as variáveis têm raiz unitária em nível mas são estacionárias na primeira diferenciação. Os testes de co-integração sugerem que existe uma relação estável de longo prazo entre o desenvolvimento financeiro e o crescimento económico. E os testes de exogeneidade fraca e de causalidade (Granger) indicam que o crescimento económico está dependente do desenvolvimento do sistema financeiro em Moçambique.2008-06-12T14:30:02Z2008-01-01T00:00:00Z20082007-08info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/octet-streamhttp://hdl.handle.net/10071/674engEmídio, Salvador Vítor de Jesusinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:41:35Zoai:repositorio.iscte-iul.pt:10071/674Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:19:21.272466Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Financial deepening and economic growth in Mozambique |
title |
Financial deepening and economic growth in Mozambique |
spellingShingle |
Financial deepening and economic growth in Mozambique Emídio, Salvador Vítor de Jesus Economic Development Economic Growth Desenvolvimento Económico Crescimento Económico |
title_short |
Financial deepening and economic growth in Mozambique |
title_full |
Financial deepening and economic growth in Mozambique |
title_fullStr |
Financial deepening and economic growth in Mozambique |
title_full_unstemmed |
Financial deepening and economic growth in Mozambique |
title_sort |
Financial deepening and economic growth in Mozambique |
author |
Emídio, Salvador Vítor de Jesus |
author_facet |
Emídio, Salvador Vítor de Jesus |
author_role |
author |
dc.contributor.author.fl_str_mv |
Emídio, Salvador Vítor de Jesus |
dc.subject.por.fl_str_mv |
Economic Development Economic Growth Desenvolvimento Económico Crescimento Económico |
topic |
Economic Development Economic Growth Desenvolvimento Económico Crescimento Económico |
description |
In this empirical research, based on Mozambican time series data, we examine the causality between financial deepening and economic growth, in a multivariate VAR structure over a period covering 24 years, from 1980 to 2003. Financial deepening is measured by the ratio of bank deposit liabilities to nominal GDP and is modeled with real per capita income as a proxy of economic development. Specifically, three analyses were undertaken. First, the time series properties of the variables were ascertained with the help of augmented Dickey-Fuller (ADF) unit root procedure. Second, the long run relationship between the variables was examined in the context of VAR and VECM framework, developed by Johansen and Juselius (1990). Finally, weak exogeneity test and Granger-causality tests were undertaken to determine the direction of causality between economic development and financial deepening. The results of the ADF tests indicate that all variable contain a unit root in their level but are stationary at their first differences. The cointegration test suggests that there is a long-run relationship between economic growth and financial deepening and weak exogeneity tests and Granger-causality tests indicate that economic development is causally dependent of financial deepening in Mozambique. |
publishDate |
2007 |
dc.date.none.fl_str_mv |
2007-08 2008-06-12T14:30:02Z 2008-01-01T00:00:00Z 2008 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/674 |
url |
http://hdl.handle.net/10071/674 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
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info:eu-repo/semantics/openAccess |
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openAccess |
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application/pdf application/octet-stream |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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