In the context of this study, Causality test is performed to identify the presence and direction of causality among the variables specified in the model. This helps in identifying variables that are endogenously determined and conditional on the other explanatory variables in the model. Table 5. Results of Granger causality Pair wise Granger Causality Tests Date: 05/28/14 Time: 10:09 Sample: 1 56 Lags: 3 Null Hypothesis: Obs F-Statistic Prob. does not Granger Cause LNEXCHRATE_VOL 52 1.91475 0.1407 LNEXCHRATE_VOL does not Granger Cause LNEXP 3.01940 0.0394 DLNRGDP does not Granger Cause LNEXCHRATE_VOL 52 0.90146 0.4479 LNEXCHRATE_VOL does not Granger DLNRGDP 0.8646 DLNINV does not Granger Cause LNEXCHRATE_VOL 52 0.4122 LNEXCHRATE_VOL does not Granger Cause DLNINV 0.1938 DLNCPI does not Granger Cause LNEXCHRATE_VOL 52 2.24151 0.0964 LNEXCHRATE_VOL does not Granger Cause DLNCPI 0.24375 0.8653 DC_BAL does not Granger Cause LNEXCHRATE_VOL 52 0.89225 0.4525 LNEXCHRATE_VOL does not Granger Cause DC_BAL 0.88197 0.4576 The Granger causality result between exchange rate volatility and exports indicate a unidirectional causality that moves from exchange rate volatility to exports confirming that exchange rate volatility influences exports. In the same vein, unidirectional causality running from exchange rate volatility to real gross domestic product is also observed in the relationship between the two variables. Further still, we find unidirectional causality in the relationship between exchange rate volatility and the consumer price index that moves from lncpi to lnexchrate_vol
In the context of this study, Causality test is performed to identify the presence and direction of causality among the variables specified in the model. This helps in identifying variables that are endogenously determined and conditional on the other explanatory variables in the model. Table 5. Results of Granger causality Pair wise Granger Causality Tests Date: 05/28/14 Time: 10:09 Sample: 1 56 Lags: 3 Null Hypothesis: Obs F-Statistic Prob. does not Granger Cause LNEXCHRATE_VOL 52 1.91475 0.1407 LNEXCHRATE_VOL does not Granger Cause LNEXP 3.01940 0.0394 DLNRGDP does not Granger Cause LNEXCHRATE_VOL 52 0.90146 0.4479 LNEXCHRATE_VOL does not Granger DLNRGDP 0.8646 DLNINV does not Granger Cause LNEXCHRATE_VOL 52 0.4122 LNEXCHRATE_VOL does not Granger Cause DLNINV 0.1938 DLNCPI does not Granger Cause LNEXCHRATE_VOL 52 2.24151 0.0964 LNEXCHRATE_VOL does not Granger Cause DLNCPI 0.24375 0.8653 DC_BAL does not Granger Cause LNEXCHRATE_VOL 52 0.89225 0.4525 LNEXCHRATE_VOL does not Granger Cause DC_BAL 0.88197 0.4576 The Granger causality result between exchange rate volatility and exports indicate a unidirectional causality that moves from exchange rate volatility to exports confirming that exchange rate volatility influences exports. In the same vein, unidirectional causality running from exchange rate volatility to real gross domestic product is also observed in the relationship between the two variables. Further still, we find unidirectional causality in the relationship between exchange rate volatility and the consumer price index that moves from lncpi to lnexchrate_vol
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