A Causality Analysis between the Baltic Dry Index and Economic Indicators of the BRIC countries

• Main Authors: Chih-hsin Lo, 羅治信
• Other Authors: Chien-wen Shen
• Format: Others
• Language: en_US
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/m26ux7

碩士 === 國立高雄第一科技大學 === 運籌管理所 === 96 === The purpose of this study is to examine the causality between the Baltic Dry Index and economic indicators (including real GDP and industrial production index) of the BRIC countries (Brazil, Russia, India and China) for the period from 1996 to 2007. The CUSUM test, ADF test, co-integration test, VECM and Granger’s causality test are applied to investigate the structural change point of each series, long-run, short-run equilibrium relationship and causal relationship between Baltic Dry Index and economic indicators of the BRIC countries. The overall results show that the Baltic Dry Index has long-run equilibrium relationships with Brazil’s industrial production index and China’s GDP. The existence of short-run equilibrium relationship was found between the BDI and China’s GDP. The outcomes of Granger test reveal that there is a unidirectional causality runs from the BDI to China’s industrial production index and there is a bidirectional causality with feedback runs between the BDI and China’s GDP.