Efficiency of Scientific and Technological Innovation, Financial Development, and Economic Development within the Guangdong Greater Bay Area: Empirical Analysis of the Panel Vector Autoregressive Model

This study examines the dynamic relationship between the efficiency of scientific and technological innovation (STI), financial development, and economic development within the Guangdong–Hong Kong–Macao Greater Bay Area urban agglomeration from 2008 to 2018 using panel data and the panel vector autoregressive model. The generalized method of moments estimation findings indicate that economic and financial developments have strong explanatory power. Economic development significantly enhances the efficiency of scientific and technological innovation, while lagging financial development significantly impacts economic development. Granger causality analysis reveals that financial development drives economic development unilaterally, and economic development, in turn, promotes the efficiency of scientific and technological innovation. Impulse response function analysis indicates that financial and economic developments respond positively to their shocks. In contrast, scientific and technological innovation efficiency responds positively but weakly over the medium and long term. Financial development has a long-term positive effect on economic development, whereas economic development has a negative short-term impact on financial development, which becomes positive in the long term. Financial development also positively affects the efficiency of scientific and technological innovation in the long term. In contrast, the efficiency of scientific and technological innovation has a short-term negative but long-term positive effect on financial development. Variance decomposition confirms the significant contribution of financial development to economic development and the reciprocal promotion between economic development and financial and STI sectors. Therefore, it is suggested that the financial integration of the Guangdong–Hong Kong–Macao Greater Bay Area be strengthened, the leading role of scientific and technological innovation should be emphasized, and the experiences of international bay areas should be drawn on.