Causality Analysis on Macroeconomic Variables: GDP and Four Key Factors

摘要

Causal relationships between different economic variables are of great significance. Granger causality (GC) is one of the most popular methods to explore causal influence in complex systems. It has been widely applied to economic variables. In 2011, Hu et. al pointed out shortcomings and/or limitations of GC by using a series of illustrative examples and showed that GC is only a causality definition in the sense of Granger and does not reflect real causality at all, and meanwhile proposed a new causality (NC) shown to be more reasonable and understandable than GC. It is a common belief that the factors related to one country's economic growth mainly include consumption, investment, imports and exports. In this paper, we select these five economic variables from five countries, America, France, Spain, Australia and China. We then apply GC and NC method to these data and find that i) the causal influence from consumption among all factors to GDP is the largest in all selected countries. ii) our results imply that NC method is more exact to reveal the causal influence between different economic variables than GC method. So, we believe that NC method will replaced GC method and will be widely applied to economics and many other fields.