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A Vector Autoregression (VAR) Model of the Multiplier-accelerator in the Philippine Economy

出版	UST Graduate School, 2007
URL	http://books.google.com.hk/books?id=P8_itAEACAAJ&hl=&source=gbs_api

註釋The possibility that the multiplier-accelerator principle with real money stock can explain business cycle in the Philippine economy is one of the focal points of this study. Aside from testing the validity of the said principle, this study dwells on the issue of the potential presence of unit roots on the data that has severe implications on the result of the model. Likewise, the thrust of this study is to determine the co-movements among different real macroeconomic variables such as personal consumption, gross domestic product to represent business cycle phenomenon. Since it is perceived that the model development and its traditional formal statistical tests such as the t-test and F-test are insufficient to conclude on the appropriateness and accuracy, this study also developed an ex-post forecast to model for the reason of establishing its predictive power of replicating historical data. The findings of the augmented Dickey-Fuller test show that the variables included in this study have unit roots in level terms, but at the difference terms, the unit roots have been removed. The Johansen test reveals the variables are cointegrated which makes it suitable for the formulation of the Vector Error Correction (VEC) model. The results of the VEC model show the applicability of the multiplier principle in the Philippine economy, however, the accelerator principle is not proven. The causalities among the endogenous variables were established using the Pirwise Granger causality test, which the autoregressive roots derived from the model depicts the time path of the economy which is stable, converging but oscillating. The ex post frecast simulation carried out in each equation demonstrates a very good performance of the VEC model in tracking out historical behavior of the variable.