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ANALYZING THE CAUSAL RELATIONSHIP BETWEEN THE VARIABLES IN THE TIME SERIES OF AGRICULTURAL INVESTMENT
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Abstract: The study aims at determining the causal relationship between agricultural investment, exchange rates, agricultural income and the value of agricultural exports, as well as testing the stability of the time series of these variables and determining the most important variables that have a direct and indirect effect on agricultural investment during the period (1998 - 2016). The results indicated that the time series values for all model variables are unstable at their level and at the first difference and stabilized at their second difference which means that they are integral to the second class during the study period. The study showed a causal relationship (Unidirectional Causality) from exchange rates to the agricultural investment at a time lag of two years, from the agricultural investment to the agricultural export value and from exchange rates to the agricultural income. The results also showed a bilaterally causality of the agricultural investment to the agricultural income and from agricultural income to the agricultural investment. The total effect (Direct and indirect) amounted to about 0.607, 0.384, and 0.637 for the exchange rate, agricultural income, respectively, on the agricultural investment.
The study recommends directing the research to apply these methods when studying and analyzing the behavior of time series to ensure the stability of the time series and the causal relationships between the variables before starting the analysis where the forecasting become to be accurate for the decision makers to formulate future plans.
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| Publication year |
2018
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| Organization Name |
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| serial title |
المجلة المصرية للاقتصاد الزراعي- الجمعية المصرية للاقتصاد الزراعي
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| Author(s) from ARC |
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| Publication Type |
Journal
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