توسعه مالی و رشد اقتصادی: شواهدی از پانل ریشه واحد و تست های هم انباشتگی

In this paper we investigate the long run relationship between financial depth and economic growth, trying to utilize the data in the most efficient manner via panel unit root tests and panel cointegration analysis. In addition, we use threshold cointegration tests, and dynamic panel data estimation for a panel-based vector error correction model. The long run relationship is estimated using fully modified OLS. For 10 developing countries, the empirical results provide clear support for the hypothesis that there is a single equilibrium relation between financial depth, growth and ancillary variables, and that the only cointegrating relation implies unidirectional causality from financial depth to growth.

A large and expanding literature tries to shed some light on the roles of policy or “ancillary” variables in the determination of economic growth. Most of this literature has mainly focused on the role of macroeconomic stability, inequality, income and wealth, institutional development, ethnic and religious diversity and financial market imperfections. For an extensive survey of this literature, see Levine (1997). Among these factors the role of financial markets in the growth process has received recently considerable attention. In this framework, financial development is considered by many economists to be of paramount importance for output growth. In particular, government restrictions on the banking system (such as interest rate ceiling, high reserve requirements and directed credit programs) hinder financial development and reduce output growth, see McKinnon (1973) and Shaw (1973).

In this paper we have combined cross-sectional and time series data to examine the relationship between financial development and growth in ten developing countries. Previous studies have used either cross-sectional or time series data but both approaches have drawbacks. Using cross-sectional data leaves open the question of spurious correlation arising from non-stationarity, and does not permit an examination of the direction of causality. Using time series data, may yield unreliable results due to short time spans of typical data sets. We have made use of panel unit root tests, and panel cointegration analysis to conclude that there is fairly strong evidence in favor of the hypothesis that long run causality runs from financial development to growth, that the relationship is significant, and that there is no evidence of bi-directional causality. We have used fully modified OLS to estimate the cointegrating relation, a method that deals with the problem of endogeneity of regressors. Time series evidence is also supportive to the idea that there exists a unique cointegrating vector between growth, financial development and ancillary variables (investment share and inflation). The empirical evidence also points to the direction that there is no short run causality between financial deepening and output, so the effect is necessarily long run in nature. The important policy implication is that policies aiming at improving financial markets will have a delayed effect on growth, but this effect is significant.