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Granger causality between government revenues and expenditures in Korea

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  • Granger causality between government revenues and expenditures in Korea
  • Park, Wan Kyu
  • Chung-Ang University(Economic Research Institute)


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Title Granger causality between government revenues and expenditures in Korea
Similar Titles
Material Type Articles
Author(English)

Park, Wan Kyu

Publisher

[Seoul]:Chung-Ang University(Economic Research Institute)

Date 1998-06
Journal Title; Vol./Issue Journal of Economic Development:vol. 23(no. 1)
Subject Country South Korea(Asia and Pacific)
Language English
File Type Link
Subject Economy < Financial Policy
Economy < Economic Conditions
Holding Chung-Ang University

Abstract

This paper investigates the Granger causal relationship between government revenues and expenditures in Korea over the period 1964 to 1992. With due consideration of stationarity of the variables; selection criteria of optimal lag length; and assumptions of error structure such as normality, homoscedasticity and independence, both parametric and nonparametric tests are performed. The multiple rank F test is employed as a nonparametric test. We find that in order for the nonparametric test to be superior to the parametric test, at least one of the error structure assumptions should be violated in the parametric test and at the same time all those assumptions must be satisfied in the nonparametric test. In this context, the nonparametric test is not a substitute for but a complement to the parametric test when testing for Granger causality. We find that in the Korean data both parametric and nonparametric test results support the unidirectional causal relationship from government revenues to expenditures.