Spillover of Panel Causality Granger for Monetary Variables in Some Countries Emerging Market
Didit Supriyadi; Endang Mahpudin

Universitas Pendidikan Indonesia

Abstract

This paper aims to propose the modeling of the panel data analytic framework, in which the analytical framework can be used as a simple analysis tool in panel data modeling. With the advent of modeling proposals using this panel data, it will be able to contribute to the debate issues, especially those related to monetary economic analysis in developing countries. This paper uses data analysis over the period 2012 to 2017, for monthly data in six developing countries. With the integrated proposal model contained in this paper shows that inter-variables together are significantly related, but in one one, only Inflation variables that do not show significant numbers, the rest of the other significant variables. With the advanced test of causality, visible among the variables in the emerging market country has no causality relationship. This shows that the monetary economic situation in developing countries is not influenced by the monetary variables of developing countries as well.

Keywords: Developing country, granger causality, monetary policy

Topic: Financial Management and Accounting