Auteurs
SAYAH Fatima and KHERBOUCHE Mustapha
Titre du l'article
Causality Testing and Co-integration between Inflation Rates and
Economic Growth in Algeria
Date de publication
April 2016.
Nom du journal
International Journal of Engineering Research and
Management (IJERM ) Inde.
Numéro de série ou de collection
Issue-04
Numéro du volume
volume-03, Issue-04, April 2016.pp. 82-84.
Identification
ISSN: 2349-2058
Type
article
Langue de l'article
Anglais
Mots clé
inflation, economic growth, the Co-integration, Causality Test,
Algeria
Résumé
Abstract— the main purpose of this study is to examine the
relationship between inflation rates and economic growth in Algeria
during the period 1991-2013, using the methodology of the
Co-integration, causality test. The research found that the time series of
the inflation rate and the GDP is non-stationary, and to make it
stationary the first differences are applied. So the time series is
integrated of the first orders and through the use of Johanson test we
found that there is relationship co-integration between inflation rates
and economic growth in Algeria, and causal relationship in one
direction between them.
) M R E J I ( t n e m e g a n a M d n A h c r a e s e R g n i r e e n i g n E f o l a n r u o J l a n o it a n r e t n I 9 4 3 2 : N S S I - 2058 ,Volume-03,I ssu -e04 ,Apri l2016 2 8 www.jierm.com t c a r ts b A
—
t hemainpurposeo fthi sstudy i sto examinethe n e e w t e b p i h s n o it a l e r inlfaiton rates and economic growth in a i r e g l A duringtheperiod1991-2013, uisngthemethodologyo f o C e h t -integraiton ,causaltiytest .Theresearchfoundtha tthe n o n s i P D G e h t d n a e t a r n o it a lf n i e h t f o s e i r e s e m it -staitonary , o t d n a make tis taitonaryt he ifrs tdifference sareappiled .Sot he e m it serie ssii ntegratedoft he ifrs torder sandt hrought heuseo f n o s n a h o J tes twef oundthatt herei srelaitonship oc -integraiton n e e w t e b inlfaiton ratesand economicgrowth in Algeria ,and n o it c e r i d e n o n i p i h s n o it a l e r l a s u a c betweent hem. Index Terms— inlfaiton, economic growth , the o C -integraiton ,CausaltiyTest ,Algeria .I INTRODUCTION Inlfaitoni sacomplexeconomicphenomenon, i sdeifneda s a o t s d a e l h c i h w s e c ir p f o l e v e l l a r e n e g e h t n i e si r d e n i a ts u s a e h t f o r e w o p g n is a h c r u p e h t n i e n il c e d consume r.High e t a r e d o m n e v e , e c n a m r o fr e p c i m o n o c e s t c e ff a s i n o it a lf n i n o it p m u s n o c d n a t n e m ts e v n I t r o ts i d n a c n o it a lf n i f o s l e v e l . s n o is i c e d e h t f o e n O g n i p o l e v e d d n a d e si l a ir ts u d n i ,s e ir t n u o c y n a m e k i L c il o p c i m o n o c e o r c a m s e v it c e j b o c is a b t n a tr o p m i ts o m ie ssit o o s , n o it a lf n i w o l h ti w r e h t e g o t h t w o r g c i m o n o c e h g i h n i a ts u s e b n a c n o it a lf n i d li m d n a h t w o r g c i m o n o c e f o l e v e l t h g ir e h t . y m o n o c e e h t n o s t c a p m i e l b a r o v a f g n i v a h s a d e w e i v e g u h s a h a ir e g l A r a l u c it r a p n I . s e d a c e d w e f t s a l e h t n i o t s e it il i b is s o p boos t ti seconomic growth ,including huge n g i e r o f -exchange reserve sdeirved rfom the hydrocarbon y fi s r e v i d o t e r o f e r e h t si n o it p o c i g e t a rt s l a n o it a n e h T . r o t c e s n o n e h t h ti w g n it r a ts y m o n o c e e h t -oi lsector ,wtihsrtuctura l ff e y r o t a l u g e r e c n a h n e o t s m r o f e r iciencyandmaintainopen r o t c e s e t a v ir p c i m a n y d e r o m a f o t n e m p o l e v e d e h t r o f st e k r a m . d e c n a v d a t o n e v a h y ll a c ir i p m e o t e r o f e r e h t s i r e p a p s i h t f o e s o p r u p e h T c i m o n o c e d n a n o it a lf n i n e e w t e b p i h s n o it a l e r e h t e n i m r e t e d c e h t e n i m a x e o t d n a a ir e g l A n i h t w o r g ausa lrelaitonship .s e l b a ir a v o w t e s e h t n e e w t e b .I I REVIEWOFRELATEDLITERATURE c i m o n o c e d n a n o it a lf n i n e e w t e b p i h s n o it a l e r e c n e ts i x e e h T c i m o n o c e e h t n i d e t a g it s e v n i n e e b y l e v is n e t x e s a h h t w o r g . w e i v e r f e ir b a s t n e s e r p n o it c e s si h T . . e r u t a r e ti l ) 5 9 9 1 ( w o rr a B invesitgated an empiirca lresearch on the e c n a m r o fr e p c i m o n o c e d n a n o it a lf n i n e e w t e b n o it a l e r o t 0 6 9 1 m o rf 1990 .The tsudyexplains t ha ta counrtygrow 1 2 l i r p A d e v i e c e r t p i r c s u n a M , 16 20 a m it a F h e y a S , Asistsan tProfessor,Facutlyo feconomics ,Universtiy e rt n e C fo reilzane, Algeire a h p a t s u M e h c u o b r e h K , PhDStudent ,Facutlyofe conomics ,Universtiy e ir e g l A , n e c m e l T f o s e s u y d u ts e h T . y l d i p a r e r o m w o r g l a ti p a c n a m u h s ti f i r e ts a f e h t e r u s a e m o t s e l b a ir a v l a t n e m u rt s n i e h t causaitonbetween l a c ir i p m e e h t f o g n i d n if r o j a m e h T . h t w o r g d n a n o it a lf n i e r a h t w o r g n o n o it a lf n i f o t c e ff e d e t a m it s e e h t t a h t si s is y l a n A e r a s t n e m u rt s n i e l b is u a l p e m o s n e h w e v it a g e n y lt n a c if i n g is .s e r u d e c o r p l a c it si t a ts e h t n i d e s u 1 ( y lr e t s a E d n a o n u r B 995 )examined the determinant so f s e ir t n u o c 6 2 f o n o it a lf n i I P C l a u n n a g n i s u h t w o r g c i m o n o c e d o ir e p e h t g n ir u d s e s ir c n o it a lf n i d e c n e ir e p x e h c i h w t a h t s t s e g g u s s i s y l a n a l a c ir i p m e e h t . 2 9 9 1 d n a 1 6 9 1 n e e w t e b e w t e b p i h s n o it a l e r e v it a g e n l a r o p m e t a s t s i x e e r e h t en .l e v e l d l o h s e r h t s i h t d n o y e b h t w o r g c i m o n o c e d n a n o it a lf n i d n a n o it a lf n i n e e w t e b p i h s n o it a l e r e h t d e r o l p x e ) 7 0 0 2 ( d e a a S a t a d l a u n n a g n is u , ti a w u K f o t x e t n o c e h t n i h t w o r g c i m o n o c e e h T . 5 0 0 2 o t 5 8 9 1 f o d o ir e p e h t r o f I P C d n a P D G l a e r n o t e s s e r d e t a m it s e ul to fthe relaitonship show sa long-run and n i P D G l a e r d n a I P C n e e w t e b p i h s n o it a l e r e s r e v n i g n o rt s .t i a w u K p i h s n o it a l e r e h t h c r a e s e r o t s i y d u ts s i h T ) 9 0 0 2 ( o a i X . J 8 7 9 1 m o rf a n i h C f o h t w o r g c i m o n o c e d n a n o it a lf n i n e e w t e b o c g n is u 7 0 0 2 o t -integraiton and erro rcorreciton model s s tl u s e r e h T . ts e T y ti l a s u a C r e g n a r G e h t h ti w g n i y n a p m o c c a o t e t a l e r y l e v it is o p n o it a lf n i n u r g n o l e h t n i t a h t w o h s i b n i h t w o r g c i m o n o c e -drieciton. a f o ) t o n r o ( e c n e ts i x e e h t e n i m a x e ) 0 1 0 2 ( i b o m i h C . P . O a lf n I n e e w t e b p i h s n o it a l e r iton and economic growth in e h t s i y d u ts s i h t n i d e y o l p m e y g o l o d o h t e m e h T . a ir e g i N d e w o h s s tl u s e r e h T . ts e t y ti l a s u a c r e g n a r G d n a n o it a r g e t n i o c 0 7 9 1 ,s d o ir e p e h t r o f t a h t -2005,t here wa snoco-integraitng f h t w o r g c i m o n o c e d n a n o it a lf n I n e e w t e b p i h s n o it a l e r o r . a t a d a ir e g i N f o t c a p m i e h t d e t a g it s e v n i y d u ts s i h T ) 4 1 0 2 ( a r e h e B . J f o e c n e ts i x e e h t d e h si l b a ts e d n a h t w o r g c i m o n o c e n o n o it a lf n i n a is A h t u o S f o t x e t n o c e h t n i p i h s n o it a l e r h t w o r g n o it a lf n i n o n o it a lf n i f o t c a p m i e h t e n i m a x e o t r e d r o n I . s e ir t n u o c n o c e omicgrowth,f ort hepeirod1980-2012 .The tsudyf ound d n a n o it a lf n i n e e w t e b n o it a l e rr o c e v it is o p h g i h s i e r e h t t a h t n o it a r g e t n i o c e h T . s e ir t n u o c e h t l l a r o f h t w o r g c i m o n o c e r o f t si x e p i h s n o it a l e r n u r g n o l s i e r e h t t a h t t s e g g u s t l u s e r h t ,r e v e w o H . a is y a l a M er es toft hecountire shavenol ongr un .s e l b a ir a v o w t e h t n e e w t e b p i h s n o it a l e r s e t a g it s e v n i r e p a p s i h T ) 4 1 0 2 ( e k a y a n h t a R . M , e k e li h t a y a J . B tr o h s e h t -run and the long-run relaitonship between the r e it r u o c n a is A e e r h t f o n o it a lf n i e h t d n a h t w o r g c i m o n o c e s 0 8 9 1 d o ir e p e h t r e v o -2010 .The methodology used in the l a e v e r s tl u s e r e h T . ts e t y ti l a s u a c d n a n o it a r g e t n i o c s i y d u ts p i h s n o it a l e r t n a c if i n g is d n a e v it a g e n n u r g n o l a s i e r e h t t a h t e h T . a k n a L i r S n i n o it a lf n i d n a h t w o r g c i m o n o c e e h t n e e w t e b u s e r y ti l a s u a c lstr evealt hatt herei saunidriecitona lcausaltiy . a n i h C n i n o it a lf n i e h t o t h t w o r g c i m o n o c e e h t m o rf s n u r t a h t .I II METHODOLOGY y ti r a n o it a ts . 1 :g
n
it
s
e
T
y
ti
l
a
s
u
a
C
a
n
d
C -i
o
n
t
e
g
r
a
it
o
n
b
e
t
w
e
e
n
I
n
lf
a
it
o
n
s
e
t
a
R
a
n
d
E
c
o
n
o
m
i
c
G
r
o
w
t
h
i
n
A
l
g
e
ir
a
SayehFaitma ,KherboucheMustapha
o C d n a g n it s e T y ti l a s u a C -integraitonbetweeninlfaitonratesandeconomicgrowthinAlgeria e h t , d e s u e r a a t a d s e ir e s e m it n e h w , si s y l a n a c ir t e m o n o c e n I n o it a l e r e h t t s e t o t n i p e ts l a c it si t a ts y r a n i m il e r p ship the e d i v o r p s ts e t t o o r ti n U . s e ir e s l a u d i v i d n i h c a e f o y ti r a n o it a ts n o N . a t a d e h t f o y ti r a n o it a ts t u o b a n o it a m r o f n i -tsaitonartiy e h t m o rf d e v ir e d s tl u s e R . st o o r t i n u n i a t n o c d l u o w a t a d e s u e w f i st l u s e r ’ s u o ir u p S ‘ e c u d o r p d l u o w s l e d o m n o is s e r g e r e h t datawtihou tcheckingt hei rtsaitonartiyproperite .s ][ 4 e h t d n if o t d e m r o fr e p y ll a it i n i si t s e t st o o r ti n u e h T e r o f e r e h T d e t n e m g u A . s e ir e s e m it h c a e e h t f o s e it r e p o r p y r a n o it a ts y e k c i D -Fulle rTe ts( ADF )andPhiilp sandPerron(PP )uni t d e s u e r a s ts e t t o o r fort ha tpurpose[ 1,7 .] y e k c i D d e t n e m g u A e h t e z il it u l li w t s e t y ti r a n o it a ts e h T -Fulle r a s i h c i h w ) 1 8 9 1 ( r e ll u F d n a y e k c i D ( e u q i n h c e t ) F D A ( o t u a l a r e n e g -regres ison mode lformulated in the following ) 1 8 9 1 ( r e ll u F d n a y e k c i D ( n o it a u q e n o is s e r g e r l e d o m e h T hypothese sofi nteres tare :TheSeiresi s HO :Non-tsaitonary HA :Staitonary w a r d o t s e u l a v l a c it ir C o t d e r a p m o c s i s c it si t a t S F D A 9 7 9 1 , r e ll u F d n a y e k c i D e e s ( y ti r a n o it a t S t u o b a s n o is u l c n o c ) s e u l a v l a c it ir c e h t r o f [ 2.] . 2 eT h CointegraitonTe ts: s e h T econd tsep sit het esitngoft hepresenceo rotherwsieo f f o r e d r o e m a s e h t f o s e ir e s e h t n e e w t e b n o it a r g e t n i o c e h T . n o it a u q e n o it a r g e t n i o c a g n i m r o f h g u o r h t n o it a r g e t n i e h t n i ,f i t a h t si n o it a r g e t n i o c d n i h e b a e d i c is a b glon -run,t wo c e v o m s e ir e s e r o m r o loselyt ogether ,event hought heseire s s i m e h t n e e w t e b e c n e r e ff i d e h t , d e d n e rt e r a s e v l e s m e h t a g n i n if e d s a s e ir e s e s e h t d r a g e r o t e l b is s o p s i t I . t n a ts n o c g n o l -runequiilbirumr elaitonship ,a sthedifferencebetween r g e t n i o c f o k c a l A . y r a n o it a ts s i m e h t aitons uggesstt hats uch g n o l o n e v a h s e l b a ir a v -runr elaitonship:i npirncipalt heycan r e h t o h c a e m o rf y a w a r a f y li r a rt i b r a r e d n a w [ 6] g n is u y b d e ts e t e b n a c s e l b a ir a v e h t mulitvairatec ointegraiton h c e t nique .Thi s pape remploy sJohansen’ scointegraiton t .tes [ 8] .3 CausaltiyT : ets y r a s s e c e n s i ti , s e ir e s e h t n e e w t e b y ti l a s u a c e h t ts e t o t r e d r o n I o c d n a y r a n o it a ts e r a s e ir e s o w t e h t t a h t y fi r e v o t -integrated . ] 5 [ The CausaltiyTes tcan beadopted to futrhe rdetec tthe a lf n i n e e w t e b s p i h s n o it a l e r f o e r u t a n iton and economic e h t f o n o it a m r o f n i t n a tr o p m i e d i v o r p t s e T y ti l a s u a C . h t w o r g f o e g d e l w o n k e h T . s e l b a ir a v e h t n e e w t e b n o it c e ri d l a s u a c c i m o n o c e e h t e k a m n a c n o it c e ri d l a s u a c e h t g n i w o n k s ti f o r p e h t e z i m i x a m o t d e ll o rt n o c y l e v it c e ff e e r o m s e l b a ir a v p e h t f o ubilc .[ 3] . V I RESULTSANDDISCUSSION , ts e t t o o r ti n U e h t f o s tl u s e r e h t s s u c si d l l a h s e w n o it c e s si h t n I .t s e t y ti l a s u a C d n a , ts e t n o it a r g e t n i o C . y ti r a n o it a ts r o f d e k c e h c e r e w a t a d s e ir e s e m it l a n i g ir o e h T : w o l e b n w o h s s a y ti r a n o it a ts n o n s l a e v e r 1 . g i F 0 4 8 2 1 6 1 0 2 4 2 8 2 2 3 2 9 94 96 98 00 02 04 06 08 10 12 F N I 4 -2 -0 2 4 6 8 2 9 94 96 98 00 02 04 06 08 10 12 B I P g i F ure1 .itmeplo to fgrowthandi nlfaiton e h T ADFtetsa ss hownTab .1a nd Tab .2 r eveaslt hef actt ha t d n a t o o r t i n u a s a h s e ir e s e h t , d e t p e c c a s i s e s e h t o p y h o r e z e h t t s ri f y b y r a n o it a ts s e m o c e b t I . sl e v e l t a y r a n o it a ts n o n s i ti a h t ,s e c n e r e ff i d r e d r o tsit heinlfaitonandeconomicgrowth , r e d r o e m a s e h t r o f d e t a r g e t n i e r a .ie.I ( 1) e h T : 1 . b a T ADFte tsr esutl sofinlfaiton e h T : 2 . b a T ADFtetsr esulsteconomicgrowth e b y a m s e ir e s e s e h t t a h t t c e p x e n a c e w t l u s e r si h t n o d e s a B o C -integrateda swel.l e l b a T n i t l u s e r e h T -3 show stha tthe nul lhypotheis so fno o c -integraiton r(=0 )on rtace tes tbetween inlfaiton and h t w o r g c i m o n o c e couldno tber ejecteda t5% ,Howeve,rt he o c o n f o s is e h t o p y h l l u n -integraiton r(≤1 )couldber ejecteda t o c e n o y l n o s i e r e h t t a h t g n i n a e m % 5 -integraiton .Suggesitng d n a n o it a lf n i n e e w t e b p i h s n o it a l e r s i e r e h t t a h t economic h t w o r g int hel ongr un .
) M R E J I ( t n e m e g a n a M d n A h c r a e s e R g n i r e e n i g n E f o l a n r u o J l a n o it a n r e t n I 9 4 3 2 : N S S I - 2058 ,Volume-03,I ssu -e04 ,Apri l2016 4 8 www.jierm.com .t s e t n o it a r g e t n i o c s ’ n e s n a h o j f o s tl u s e R : 3 . b a T d n a n o it a lf n i r o f st s e t y ti l a s u a c e h T economicgrowthi sgiven t a h t d e v r e s b o e b n a c tI . 4 e l b a T n i there sia c ausalr elaitonship m e h t n e e w t e b H. owever ,ou rresutl sshow tha ta u - ni l a n o it c e ri d causaltiy exits sonly rfom economic growth to n a h t s s e l ) 1 0 . 0 ( e u l a v y ti li b a b o r p e h t e c n is , n o it a lf n i , s u h T . ) 5 0 . 0 ( economicgrowthcausesi nlfaitoni nalgeira. ts e T y ti l a s u a C r e g n a r G : 4 e l b a T CONCLUSION e h t f o s c i m a n y d n u r t r o h s e h t s e t a g it s e v n i y d u ts s i h T l e r aitonship between economic growth and inlfaiton in a ir e g l A fort hepeirod o f1991- 2013 i nt he rfamework fo w o h s st l u s e r e h T . ts e t y ti l a s u a c ; ts e t n o it a r g e t n i o c s ’ n e s n a h o J o l a s i e r e h t t a h t ngr unr elaitonshipbetweeneconomicgrowth n i n o it a lf n i d n a Algeira .Aunidriecitona lcausaltiyrunning n o it a lf n i m o rf t oeconomicgrowthwa sdetectedi nAlgeira . h c i h w s e ir t n u o c e h t e m it e h t f o t s o m , n o is u l c n o c n I are d n a h t w o r g c i m o n o c e h g i h e l b a ts h ti w d e z ir e t c a r a h c tsablitiy r e ff u s t o n o d n o it i d n o c c i m o n o c e o r c a m rfomi nlfaitonbu tThe t n e ts is n o c s i h c i h w e t a r h t w o r g a d n if o t si m e h t r o f e g n e ll a h c . e t a r n o it a lf n i e l b a ts a h ti w REFERENCES ] 1 [ D .A .Dickeya ndW .A .Fulle,r“ LikeilhoodRaitoStatsiitcs ” ,t o o R t i n U a h ti w s e ir e S e m i T e v is s e r g e r o t u A r o f a c i r t e m o n o c E ,Vol .49 ,No .4 ,1981 ,pp .1057-1072 . 7 1 5 2 1 9 1 / 7 0 3 2 . 0 1 :i o d ] 2 [ E .Mohamed“SimulaitngTimeSeire sTesitngUisngSAS® - Par tITheAugmentedDickey-Fulle r(ADF )Tets,”L3 s n o it a c i n u m m o C -ETIS ,Retson ,VA .Pape r205-2009 ] 3 [ iJng Xiao“The Relaitonship between Inlfaiton and 8 7 9 1 m o rf y d u t S l a c ir i p m E : a n i h C f o h t w o r G c i m o n o c E 7 0 0 2 o t ,”Matse’r sTheis sAugus t2009,pp .54- .6 5 ] 4 [ K .Datta da n C .K .Mukhopadhyay ,“Relaitonshipbetween d n a n o it a lf n I Economic Growth in Malayisa - An w e i v e R c ir t e m o n o c E ,”2011Internaitona lConferenceon © ) 1 1 0 2 ( 4 .l o v R D E P I h c r a e s e R e c n a n i F d n a s c i m o n o c E . e r o p a g n i S , s s e r P T I S C A I ) 1 1 0 2 ( ] 5 [ Mahmoud and A . J . Saleh and A . AI-Hhosban , d n a e t a r t s e r e t n i n e e w t e b y ti l a s u a c d n a p i h s n o it a l e r “ n a d r o J f o e s a c e t a r n o it a lf n i ,”interdsicipilnaryj ourna lo f r a r o p m e t n o c y research in buisness ,Vo.l6 No.4Augus t 4 5 . p p , 4 1 0 2 - .6 5 ] 6 [ O.E .P .Chimobi“ TheEsitmaitono fLongr unRelaitonship n i t r o p x E d n a t n e m ts e v n I , h t w o r G c i m o n o c E n e e w t e b d n a s s e n is u B f o l a n r u o J l a n o it a n r e t n I ” , a ir e g i N 0 1 0 2 l ir p A ; 4 . o N , 5 . l o V t n e m e g a n a M , 5pp.2 -1 2 22. ] 7 [ P .C .B .Phliilp sandP .Perron ,“Tesitngf o rAUni tRooti n ” , n o is s e r g e R s e ir e S e m i T Biometrika ,Vol .75 ,No .2 , 6 3 3 . p p , 8 8 9 1 -346 .do:i10.1093/biome/t75.2.335. ] 8 [ P.M .B .Jayathliekeand ,R .M .K .T.Rathnayake“ Tesitng n o it a lf n I n e e w t e b k n i L e h t and Economic Growth : a is A m o rf e c n e d i v E , ”ModernEconomy ,2013 ,4 ,87- 92 d e h si l b u P 1 1 0 2 4 . 3 1 0 2 . e m / 6 3 2 4 . 0 1 / g r o .i o d . x d // : p tt h ) e m /l a n r u o j/ g r o . p ri c s. w w w // : p tt h ( 3 1 0 2 y r a u r b e F e n il n O
