Work detail

Forecasting Capability of the GDP Components: Granger Causality Approach

Author: Bc. Jan Michalec
Year: 2016 - summer
Leaders: doc. Ing. Tomáš Cahlík CSc.
Consultants:
Work type: Bachelors
Language: English
Pages: 57
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/165429/
Abstract: This work aims to provide with the procedure of bivariate causality testing based on Granger
(1969). We focused on exploration of forecasting capability of GDP components on output
itself. We examine, which of five components defined in accordance with the expenditure
approach can be useful in forecasting economic growth. Overall, the causal relationship is
examined on national accounts data from three member states of the European Union: Austria,
France and Germany. For the sake of general inference, the Granger causality tests are executed
on panel data, too. We concluded, that consumption and investment possess ability to forecast
economic growth. In contrast, GDP was found to be useful in forecasting government
expenditures.

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