Granger-Causality analysis of Ghana Universities Staff Superannuation Scheme (GUSSS), KNUST
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Date
2014-10-29
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Abstract
The Ghana Universities Sta Superannuation Scheme (GUSSS) like any other
pension scheme has income and expenditure patterns. However, whether in
ows
Granger-cause out
ows or out
ows Granger-cause in
ows is unknown. This study
investigates the state of the scheme, stability and long-term behaviors of the
scheme, analyze the Granger-causality of in
ows and out
ows of funds and struc-ture of the scheme. In line with this objectives, secondary data of monthly in
ows
and out
ows of funds for the period 2003 to 2009 were collected. The data was
tted to vector autoregressive (VAR) model of order one(1) and the model param-eters were estimated by ordinary least squares(OLS) methods. It was found that
the model variables were stationary after rst di erencing. The system matrix
was also found the be stable. The Granger-causality test showed that out
ows
Granger-cause in
ows which means that out
ows of funds in the previous month
has in
uence on the in
ows of funds in the current month. Again, the impulse
response analysis showed that when one standard deviation shock was put to
the error term, the model variables initially
uctuated around the zero mean
but remained steady and positive in the long-run. We therefore recommend that
optimal investment portfolios must be adopted.
Description
A thesis submitted to the Department of Mathematics, Kwame Nkrumah University of Science and Technology in partial fulfillment of the requirement for the Degree of Master of Science Industrial Mathematics College of Science/Institute of Distance Learning