THE METHODOLOGY OF TESTING THE CAUSALITY BETWEEN THE ROMANIAN MUTUAL FUNDS MARKET AND THE ECONOMY’S DYNAMICS

• Main Author: Ioana RADU
• Format: Article
• Language: English
• Published: Romanian Foundation for Business Intelligence 2013-06-01
• Series: Network Intelligence Studies
• Subjects: Investment market; Economic growth; Causality; Granger; Romania
• Online Access: http://seaopenresearch.eu/Journals/articles/NIS_1_11.pdf

The paper tests and evaluates the causality between the dynamics of the Romanian mutual fund market and the economy. Using the Granger causality test, a regression analysis has been developed on quarterly data during 2004Q3 – 2012Q2 for the Romanian economy. Based on this relationship, we can emphasize that the controversial debate upon the economic growth and the mutual fund market has became a complex research subject. Therefore, due to its complexity, the timeliness and the continuous growth of the investment funds area, this paper complements the existing literature by identifying the causal linkage between the mutual fund market and the economy. The paper is organized as it follows. First part presents the main premises that have emphasized our research. Second part presents a brief literature review and extracts the studies that appreciate best the relationship between the analyzed variables. Next section is set on defining the potential correlation between the analyzed variables. Then, section 4 tests the causality by using the R facility. The last part concludes.