Multi-scale causality between saving and growth: evidence from China

ABSTRACT

In this article, we use a wavelet-based Granger causality approach to examine the multi-scale causality between saving and growth for China. We show that significant causality runs from saving to growth for most timescales, whereas multi-scale causality from growth to saving is not statistically significant. Our subsample results suggest that economic systems have remarkable effects on the multi-scale causality. Overall, our study provides a novel perspective to deeply explore the relationships between macroeconomic variables.

KEYWORDS:

• Saving
• growth
• multi-scale causality
• wavelet transform

JEL CLASSIFICATION:

• E21
• E23
• O11
• P21

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

¹ We perform the BDS test based on the estimated residuals.

² As recommended by Diks and Panchenko (2006), the lag length is set to 1.

Additional information

Funding

This work was supported by the National Natural Science Foundation of China under grant number 71473036.