Dissertations / Theses on the topic 'ARDL: autoregressive distributed lag'

This thesis aims to investigate the impact of state fragility on capital inflows and economic growth in Nigeria over the period 1980-2015. In line with existing studies, it adopts an augmented neoclassical growth model where capital is divided into domestic and foreign capital inflows (FDI, ODA and Remittances). Using an autoregressive distributed lag (ARDL) bounds testing approach to co-integration, significant long-run relationship was confirmed between state fragility, capital flows and economic growth. The results reveal domestic capital to be very significant and contribute positively to economic growth. Similarly it was observed that remittances remain a very crucial form of capital flow to Nigeria and that the presence of state fragility makes it more significant. For ODA a positive contribution to economic growth was observed, however, the presence of state fragility renders it insignificant. In the case of FDI, the study found a negative relationship between FDI and economic growth albeit insignificant. However, the presence of state fragility makes it significant but still negative. A negative relationship was also observed between state fragility and economic growth. These findings, implies that while the issue of state fragility needs to be addressed and concerted efforts put into building state resilience, not just for the direct impact of state fragility on the economy, but also its impact on the economy through other channels such as capital flows.

The main purpose of the study is to examine the cointegration relationships among economic growth, foreign direct investment and financial sector development in 4 East Asian countries, namely Korea, Malaysia, the Philippines and Thailand between the years 1971-2008 by autoregressive distributed lag (ARDL) approach. In the existing literature, there is no study examining the causal relationships among economic growth, foreign direct investment and financial sector development by applying ARDL methodology for these East Asian countries. The contribution of this study to the literature, the cointegration relationships are constructed to observe the direct linkage among these variables by ARDL approach. If cointegration relationships exist among these variables, then the effect of each regressor on the dependent variable is also investigated. The results of the study indicate that foreign direct investment and financial sector development could be long run forcing variables of economic growth. Additionally, economic growth and financial sector development could be long run forcing variables of foreign direct investment. However, there is not sufficient evidence that economic growth and foreign direct investment together are long run key determinants of financial sector development in a country as obtained in this study.

Mestrado em Economia<br>Throughout history, countries from all over the world have devoted a considerable amount of resources to produce security. This evidence has motivated a growing number of studies that examine the determinants of the demand for military expenditure. Albeit the difficulty to develop a general theoretical framework and the inexistence of a standard empirical approach to model the demand for military expenditure, it is an important issue to understand which factors may influence the military expenditure demand function of a country. The aim of this dissertation is to find out the main variables affecting the Portuguese military expenditure taking into account a comprehensive set of economic, strategic and political determinants. For this goal, a military expenditures demand model is constructed for the period 1960–2010 employing the Autoregressive Distributed Lag (ARDL) bound testing cointegration approach. The results suggest that the Portuguese defence spending is determined by the country´s economic performance, allies‟ defence speeding and security considerations. As far as the domestic political environment is concerned, the dominant ideology of the party in power seems to be insignificant, while the transition to a democratic regime is considered a relevant determinant with a negative effect on the military expenditure.<br>Ao longo da história, países de todo o mundo têm empenhado uma quantidade considerável de recursos para produzir segurança. Esta constatação tem motivado um número crescente de estudos sobre as possíveis variáveis explicativas da despesa militar. Apesar da dificuldade em estabelecer um quadro teórico de referência e da inexistência de uma abordagem empírica padronizada para determinar a procura de despesa militar, revela-se importante compreender quais as variáveis que influenciam a despesa militar de um país. O objetivo deste trabalho é aferir quais as principais fatores que poderão determinar a despesa militar de Portugal, tendo em conta um amplo conjunto de variáveis de natureza económica, estratégica e política. A prossecução deste objetivo assenta na construção de uma equação de procura para a despesa militar portuguesa, para o período compreendido entre 1960 e 2010, através de um modelo uniequacional ARDL. Os resultados obtidos sugerem que a despesa militar em Portugal é determinada pelo desempenho económico, pelo gasto militar de países aliados e por considerações relativas à perceção das condições de segurança. No que respeita à influência do ambiente político, a ideologia dominante do partido em funções no Governo surge como não significante, ao passo que a transição para um regime democrático é considerada uma variável relevante, com um efeito negativo sobre as despesas militares.

Macroeconomic indicators are amongst the most important and used tools for investors as they provide an outlook for the economy and thus improve the assessment of investments e.g. for asset allocation. The purpose of this thesis is to investigate the short- and long-run relationship between the US stock market index S&amp;P500 and six selected macroeconomic indicators during different time regimes during 2000-2016. The chosen indicators are Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index and the ISM Manufacturing index as they measure different parts of the economy and are commonly used by investors. We achieve the purpose by using the Autoregressive Distributed Lags model (ARDL) as it has several advantages in relation to comparable time series models. The results show that all indicators except Personal spending are significant in the long-run on the 1-percent level, in at least one time-regime. All indicators have significant results also in the short-run except the Money Supply (M1), depending on which time period that is under investigation. Our conclusion is that our chosen indicators have different characteristics depending on the current dynamics of the stock market, economic state and other related markets. The practical implication for investors is that different indicators are of limited use depending on the current market dynamics and investors must evaluate the underlying premises of the development of the indicator rather than interpreting a specific datapoint.<br>Makroekonomiska indikatorer är bland de mest viktiga och använda verktygen av investerare eftersom man kan få en överblick av den ekonomiska utvecklingen och således förbättra beslutsunderlaget vid till exempel tillgångsallokering. Syftet med denna avhandling är att undersöka de kort- och långsiktiga förhållandena mellan det amerikanska aktiemarknadsindexet S&amp;P500 och sex utvalda makroekonomiska indikatorer under olika tidsperioder mellan 2000-2016. De valda indikatorerna är Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index och ISM Manufacturing index eftersom de mäter olika delar av ekonomin och används kontinuerligt av investerare. Vi uppnår syftet genom att använda en Autoregressive Distributed Lags (ARDL) modell då den har flertalet fördelar i förhållande till jämförbara tidsseriemodeller. Resultaten visar att alla indikatorer utom Personal spending är signifikant på lång sikt på enprocentsnivån, över olika tidsperioder. Alla indikatorer har även signifikanta resultat på kort sikt förutom M1 Money supply, beroende på vilken tidsperiod som studeras. Vår slutsats är att dem valda indikatorerna har olika egenskaper beroende på den aktuella dynamiken i aktiemarknaden, ekonomin eller andra relaterade marknader. Den praktiska konsekvensen för investerare är att eftersom olika indikatorer är av begränsad användning beroende på den rådande marknadsdynamiken, måste investeraren noggrant utvärdera de underliggande villkoren för utvecklingen av en unik indikator snarare än att endast tolka en unik datapunkt.

Until very recently, most emerging market economies have achieved higher growth rates for the last decade. It is controversial whether this good economic environment is due to domestic reforms or due to favorable external factors. In this framework, the main aim of this study is to investigate the structure and sources of business cycles in emerging market economies and to determine how these cycles differ than those in developed countries. The role of external and domestic factors on business cycles are analyzed by applying not only the conventional panel data estimations but also common correlated effects panel mean group method which is introduced by Peseran (2006). Besides, the convergence of business cycles in emerging market economies to the business cycles in developed countries is discussed based on factor analysis. The major results indicate the common global factors are the leading source of the business cycles both in emerging market economies and developed countries. However, domestic determinants of fluctuations differ across two groups of countries. In addition, results show that in the last two decades fluctuations in emerging market economies have started to be more dependent on the fluctuations in developed countries.

In this study, the effects of CBRT monetary policy decisions on the consumer, automobile, housing and commercial loans of the banks during the period from the early of 2004 to the middle of 2011 are examined. In order to perform this study, it is benefited from weekly weighted average loan interest rate data of the banks, which is the data having the highest frequency that could be obtained from the electronic data distribution system of CBRT. Monetary policy instruments of Central Bank may change in the course of time or monetary policy could be executed by more than one instrument. Therefore, as the political interest rate would be insufficient in the calculation of the effect of monetary policy on loan interest rates of the banks, Government Dept Securities&rsquo<br>premiums are used instead of the political interest rates in this study to make it reflect the policies of central bank more clearly as a whole. Among the Government Dept Securities that have different maturity structure, benchmark bonds that are adapted to the expected political interest rate changes and that react to the unexpected interest rate changes at the high rate (reaction coefficient 0.983) are used. In order to weight the cointegration relation between interest rates, unrestricted error correction model is established and it is determined by Bound Test that there is a long-term relation between each interest rate and interest rate of benchmark bond. After a cointegration relation is determined among the serials, autoregressive distributed lag model is used to determine the level of transitivity and it is determined that monetary policy decisions affect the banking interest rate at 77% level and by 13 weeks delay on average.

La question principale de ce travail de recherche est de déterminer le type du régime de croissance économique des pays dits « avancés ». Pour ce faire, j’étudie le schéma d’accumulation du capital au travers du comportement d’investissement des entreprises non financières, afin d’en établir les conséquences en termes de stabilité économique. Je défends l'idée d'une instauration depuis les années 1980 d'un régime de croissance basé, entre autres, sur le capital intangible et financier, dont j'étudie les caractéristiques et les conséquences sur l'économie. A partir de cette hypothèse, je propose de réviser la théorie du profit d’Adrian Wood (1975) à l’aune de ces transformations institutionnelles récentes, afin d’éclairer les dynamiques méso économiques d’accumulation de capital au sein des grandes firmes multinationales. Cette nouvelle vision de la firme financiarisée et mondialisée, est ensuite confrontée à la théorie d’instabilité financière de Hyman Minsky afin d’apporter des éléments de réponse à la problématique de départ. La croissance induite par ces nouveaux comportements d’investissement et de financement peut-elle s’inscrire dans l’approche minskyenne d’une croissance intrinsèquement instable ? La démarche consiste à établir un lien entre, d’une part, les stratégies d’accumulation du capital global (fixe, financier et intangible) et le levier d’endettement des entreprises avec, d’autre part, les conséquences macroéconomiques de la dynamique d’endettement sur la croissance globale<br>The main goal of this thesis was to determine the macroeconomic growth regime of advanced economies. Hence, I addressed the non-financial corporation’s capital accumulation schemes in order to establish their macrodynamics as regard to stability issues. It has been argued that the financialization phenomenon has deeply transformed the growth path by changing NFCs’ habits of investment. Following two major institutional mutations, big multinational firms adapted their investment funding process according to the transformation of the international financial system. They increasingly engaged into financial activities to guaranty a better access to capital next to a better short-run profitability for the sake of shareholders’ value maximization. Their financial holding entities, acting as cash hubs, invested in the excess securities resulting from banks’ new paradigm in dealing with debt, i.e. “generate and distribute”. From another stand, another institutional change affected the production process towards the paradigm of “downsize and distribute”. At the end of the day, to stand steady over these two mutating legs (namely production and its funding) NFCs had to keep control over both. From one side, they engaged into intangibles to lead the global value chain and control production, and from the other, into financial investment to optimize their funding capacity

This study empirically examines the relationship between financial development and economic growth in Nigeria. It employs statistical techniques such as the Autoregressive Distributed Lag approach as well as a short and long run Granger Causality test on time series data spanning from 1960-2016. Empirical results reveal that the financial development indicators have a long run relationship with economic growth in Nigeria and the existence of unidirectional and bidirectional Granger causality was also discovered. This study recommends that policy should be geared towards promoting financial development in the country as well as encouraging more financial depth and openness – in order to foster economic growth in Nigeria.

This study aims to identify the effects of oil income on economic growth in Iran over the period 1955-2014. The empirical literature indicates that countries with natural resources are growing more slowly than their counterparts. However, the results from this literature are far from conclusive, particularly in regard to the role played by oil-rich countries. Needless to say, this role depends on other factors as well, including the political situation in the country, the quality of institutions, and the efficacy of the financial system. Some empirical research has found that natural resources, particularly oil, can have a positive impact on the output of a country. although natural resources are not a factor of production in growth theories, studies have used different growth frameworks in order to discover whether having natural resources is a blessing or a curse. In line with recent studies, this work uses an augmented neoclassical growth model to develop a theoretical framework where oil enters the long-term output of the country through saving and investment. Overall, the results suggests that oil income has a positive impact on the level of output per capita in Iran. The findings of the econometric results are in line with the historical analysis of the study. Since different methods and proxies were used, a total of eight models were estimated. Interestingly, when PRIVY is used as an index of financial development, the result of the study changes and oil no longer has a significant impact on the economy. However, this can be translated to an inefficient allocation of credit to the private sector.

Tourism is currently the third largest industry within South Africa. Many African countries, including South Africa, have the potential to achieve increased economic growth and development with the aid of the tourism sector. As tourism is a great earner of foreign exchange and also creates employment opportunities, especially low–skilled employment, it is identified as a sector that can aid developing countries to increase economic growth and development. Accurate forecasting of tourism demand is important due to the perishable nature of tourism products and services. Little research on forecasting tourism demand in South Africa can be found. The aim of this study is to forecast tourism demand (international tourist arrivals) to South Africa by making use of different causal models and to compare the forecasting accuracy of the causal models used. Accurate forecasts of tourism demand may assist policy–makers and business concerns with decisions regarding future investment and employment. An overview of South African tourism trends indicates that although domestic arrivals surpass foreign arrivals in terms of volume, foreign arrivals spend more in South Africa than domestic tourists. It was also established that tourist arrivals from Africa (including the Middle East), form the largest market of international tourist arrivals to South Africa. Africa is, however, not included in the empirical analysis mainly due to data limitations. All the other markets namely Asia, Australasia, Europe, North America, South America and the United Kingdom are included as origin markets for the empirical analysis and this study therefore focuses on intercontinental tourism demand for South Africa. A review of the literature identified several determinants of tourist arrivals, including income, relative prices, transport cost, climate, supply–side factors, health risks, political stability as well as terrorism and crime. Most researchers used tourist arrivals/departures or tourist spending/receipts as dependent variables in empirical tourism demand studies. The first approach used to forecast tourism demand is a single equation approach, more specifically an Autoregressive Distributed Lag Model. This relationship between the explanatory variables and the dependent variable was then used to ex post forecast tourism demand for South Africa from the six markets identified earlier. Secondly, a system of equation approach, more specifically a Vector Autoregressive Model and Vector Error Correction Model were estimated for each of the identified six markets. An impulse response analysis was undertaken to determine the effect of shocks in the explanatory variables on tourism demand using the Vector Error Correction Model. It was established that it takes on average three years for the effect on tourism demand to disappear. A variance decomposition analysis was also done using the Vector Error Correction Model to determine how each variable affects the percentage forecast variance of a certain variable. It was found that income plays an important role in explaining the percentage forecast variance of almost every variable. The Vector Autoregressive Model was used to estimate the short–run relationship between the variables and to ex post forecast tourism demand to South Africa from the six identified markets. The results showed that enhanced marketing can be done in origin markets with a growing GDP in order to attract more arrivals from those areas due to the high elasticity of the real GDP per capita in the long run and its positive impact on tourist arrivals. It is mainly up to the origin countries to increase their income per capita. Focussing on infrastructure development and maintenance could contribute to an increase in future tourist arrivals. It is evident that arrivals from Europe might have a negative relationship with the number of hotel rooms available since tourists from this region might prefer accommodation with a safari atmosphere such as bush lodges. Investment in such accommodation facilities and the marketing of such facilities to Europeans may contribute to an increase in arrivals from Europe. The real exchange rate also plays a role in the price competitiveness of the destination country. Therefore, in order for South Africa to be more price competitive, inflation rate control can be a way to increase price competitiveness rather than to have a fixed exchange rate. Forecasting accuracy was tested by estimating the Mean Absolute Percentage Error, Root Mean Square Error and Theil’s U of each model. A Seasonal Autoregressive Integrated Moving Average (SARIMA) model was estimated for each origin market as a benchmark model to determine forecasting accuracy against this univariate time series approach. The results showed that the Seasonal Autoregressive Integrated Moving Average model achieved more accurate predictions whereas the Vector Autoregressive model forecasts were more accurate than the Autoregressive Distributed Lag Model forecasts. Policy–makers can use both the SARIMA and VAR model, which may generate more accurate forecast results in order to provide better policy recommendations.<br>Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2011.

Thesis (MScEng (Industrial Engineering))--University of Stellenbosch, 2011.<br>ENGLISH ABSTRACT: In terms of its contribution to the agricultural economic activity in Namibia, the small stock industry is the most important sector, second only to the beef industry. This sector makes a significant contribution to the agricultural business in Namibia due to the sector’s exports, its provision of employment, use of natural resources, contribution to GDP and to consumer spending as well as food security. Agricultural activities in Namibia contributed 5.5 percent to Namibia’s GDP, while 70 percent of the population relies on agriculture for employment and day-to-day living. Livestock farming in Namibia is free ranging on natural pastures and therefore produces high-quality meat that is in high demand in both the national and international markets. Small stock production in Namibia is unstable due to the high variability of weather patterns, changes in economic and social environments, unpredictable droughts as well as political and structural changes. Due to the decline in mutton production over the last years, research in the supply economics of the mutton industry in Namibia is important. The purpose of this study is to investigate the relationships between the various price and non-price factors contributing to the supply dynamics within the mutton industry in Namibia. Two hypotheses are tested with the aid of econometric modelling techniques on monthly time series data. The Autoregressive Distributed Lag approach to co-integration was used to determine the long-run and short-run supply response elasticities towards economic and climatology factors. Results showed a significant long-run relationship between the average Namibian mutton producer price and mutton supply. Results revealed that a one percent increase in the mutton producer price leads to a 1.97 percent increase in mutton supply. Beef producer price, a substitute product to mutton, showed a significant negative long-run effect towards mutton production whereas rainfall showed a meaningful positive long-run contribution to mutton supply. These supply shifters towards mutton production also showed significant short-run elasticities. Results further revealed that the system takes nearly two months to recover to the long-run supply equilibrium, should any disturbances occur within the supply system. The study showed that price-related and climatological factors play a major role in the Namibian mutton production industry. Industry stakeholders and policy makers should therefore incorporate these significant relationships between supply shifters and production output into future decisions and marketing policies to secure a healthy, growing and sustainable mutton industry in Namibia.<br>AFRIKAANSE OPSOMMING: In terme van bydrae tot die landboubedryf in Namibië is die kleinveebedryf die tweede belangrikste sektor, net kleiner as die land se grootveebedryf. Die sektor maak ‘n betekenisvolle bydrae tot die landboubedryf in Namibië deur middel van werkskepping, die gebruik van natuurlike hulpbronne, bydrae tot Bruto Binnelandse Produk, uitvoere, verbruikersbesteding sowel as voedselsekerheid. Landbou-aktiwiteite dra by tot 5,5 persent van die Bruto Binnelandse Produk van ‘n land waar meer as 70 persent van die bevolking afhanklik is van landbou om ‘n bestaan te kan maak. Veeboerdery in Namibië geskied ekstensief op natuurlike veld wat lei tot die produksie van ‘n hoë kwaliteit produk, wat hoog in aanvraag is in plaaslike en internasionale markte. Kleinvee produksie in Namibië is onstabiel as gevolg van fluktuasies in weerpatrone, veranderings in ekonomiese en sosiale omgewings, onvoorspelbare droogtes asook politieke- en struktuurveranderinge. As gevolg van die huidige afname in skaapvleis produksie is navorsing in die aanbodkantekonomie van die skaapvleisbedryf belangrik in Namibië. Die doel van hierdie studie is om die verwantskap te ondersoek tussen verskeie prys en nie-prys faktore wat bydra tot die aanboddinamika van die skaapvleisbedryf. Twee hipoteses word getoets met behulp van ekonometriese modelleringstegnieke op maandelikse tydreeksdata. ‘n Outoregressiewe verspreide sloeringbenadering tot ko-integrasie is gebruik om die langtermyn en korttermyn elastisiteite tussen ekonomiese en klimaatsfaktore vir die aanbod van skaapvleis te bepaal. Resultate dui op ‘n betekenisvolle langtermyn verwantskap tussen die gemiddelde Namibiese produsente prys en skaapvleis produksie. Resultate wys daarop dat ‘n een persent styging in skaapvleis produsente prys ‘n 1,97 persent styging in skaapvleis aanbod het. Die beesvleis produsente prys, ‘n substituut vir skaapvleis, het ‘n beduidende negatiewe effek getoon oor die langtermyn op skaapvleis produksie. Reënval het ‘n beduidende positiewe bydrae getoon ten opsigte van skaapvleis aanbod. Hierdie aanbodsfaktore het betekenisvolle korttermyn elastisiteite getoon. Resultate het ook getoon dat die stelsel twee maande neem om te herstel tot die langtermyn aanbodsewewig, sou daar enige drastiese veranderings in die stelsel plaasvind. Die studie het getoon dat prysverwante en klimaatsfaktore ‘n uiters prominente rol speel met betrekking tot skaapvleisproduksie in Namibië. Bedryfsaandeelhouers en politieke leiers sal hierdie betekenisvolle verwantskappe tussen produksie faktore en aanbod uitset in ag moet neem in toekomstige beplanning en bemarkingsbeleid om ‘n gesonde, groeiende en volhoubare skaapvleisbedryf in Namibië te verseker.

Government fiscal and monetary policy has long been based on the theory that was neither proven nor refuted since its origination. The original form of the Phillips curve has undergone significant modifications but its relevance remains questionable. This thesis examines the correlation between inflation and unemployment observed in the Czech Republic and Germany over the last twenty years. The validity of the theory is tested by advanced methods of time series analysis in the R environment. All the variables are gradually tested which results in the assessment of the correlation between the time series. The outcome of the testing is presented for both countries and a comparison at international level is drawn. Is is discovered that both of the countries have dependencies in their data. Czech republic has significant dependency in both ways, for Germany is the dependency significantly weaker and only in one way.

Malaysia is one of the countries in the world that has adopted a unique system of governance that involves monarchy, democracy and federal system. Nevertheless, all the thirteen states are governed by employing a federal governance structure headed by the Prime Minister. Given the federal structure of Malaysian economy, it is logical to expect the variations in the socio-economic development across the states. It is interesting and also important to understand the force behind the variations across the performance of the states. This thesis first identifies the significant factors that influence the variation in economic growth across the states, which is the core factor determining socio-economic development. Next, the thesis highlights the influence of the federal system on the development expenditure of the states, which is crucial for socio-economic development. Finally, the thesis examines the impact of decentralisation on transferring the Malaysian economy from the middle-income country to high-income country. The following paragraphs briefly explain how the above three main analyses have been carried out in this thesis. In Chapter 2, the study contributes to the aim of regional development policy in reducing regional disparities, by examining the spatial balance in socio-economic development across the states of Malaysia based on few selected socio-economic indicators. Besides, the study has attempted to understand the issues in the development gaps across the Malaysian states by evaluating the factors that explained the variation in economic growth. Though the pattern in the spatial socio-economic imbalance demonstrates a decreasing trend, the development index reveals that performance of less developed states remained behind that of the developed states for more than a decade. Based on three-stage least squares (3SLS) estimation technique, all independent variables in the main equation are significant to explain the development gaps within the states that covers the period between 2005 and 2015. The significant factors in explaining the variation in growth across the Malaysian states are relating to agriculture, manufacturing, human capital, population growth, Chinese ethnic, institutional factors and natural resources. In Chapter 3, the study examines whether there is convergence in development expenditure across Malaysian states and investigates the importance of decentralisation in affecting the pattern of development expenditure during the short run and long run. The convergence analysis involved the data of annual growth for the short run, and average three-year and five-year growth for the long run from 2000 to 2015. The study uses panel data approaches of pooled OLS, fixed effects and random effects estimation procedures. The findings provide empirical evidence on the development expenditure convergence within the states during both short run and long run. It is also found that all fiscal decentralisation indicators (state per capita revenue, state-sourced per capita revenue, state-sourced revenue as a share of total revenue and state-sourced capacity as a share of the national average) are imperative in influencing the fiscal behaviour of state governments in Malaysia. The assistance from the federal government through transfer payment is needed to strengthen the expenditure capacity of Malaysian states. In Chapter 4, the study inspects the role of fiscal decentralisation as a solution for escaping from the middle-income trap. The study employed annual time series data from 1985 to 2015. The Autoregressive Distributed Lag (ARDL) bounds test reveals the presence of long run relationship between the levels of the dependent variable (economic growth) and the regressors (the participation of federal, state and local governments in the economy, labour force and net exports). The results of the study offer a possible solution that could help Malaysia to escape from the stagnant economic growth. It is found that fiscal decentralisation has a growth effect on Malaysian economy though the benefits of decentralisation are realised differently at different levels of government. The positive impact of revenue decentralisation is realised at the state but not the local level. In contrast, the opposite results are reported in the case of expenditure decentralisation. The benefits of expenditure decentralisation are accomplished at local but not the state level.

Liberalisation of trade is deepening, and so have the incentive schemes put in place by a number of countries to promote it. International trade promotion agencies in developing countries are actively promoting their countries as the best, with which to trade. With international trade emerging as a favourite source of revenue and technology transfer for most countries, profound questions about the impact of trade liberalisation to economic growth are addressed in this study. The main purpose of this study is to empirically assess the relationship between trade liberalisation and economic growth in Zimbabwe using annual time series data from 1980 to 2017. Autoregressive distributed lag (ARDL) bounds testing approach to cointegration and Error Correction Mechanism (ECM) are applied in order to investigate the long run and short run impact of trade liberalisation on economic growth. The results proved the existence of a positive long-run relationship between trade liberalisation and economic growth. The study therefore concludes that policy makers and government negotiators in Zimbabwe should introduce policies that promote openness through the removal of barriers to trade and export promotion in order to promote overall growth of the economy.<br>Economics<br>M. Com (Economics)

Thesis (M. Commerce (Economics)) -- University of Limpopo, 2016<br>The purpose of this paper is to ascertain the impact of the real effective exchange rate on South Africa‟s trade balance and whether the J-curve phenomenon and the Marshal-Lerner condition are satisfied in the economy. Using data spanning the period 1980Q1 – 2014Q4, the Autoregressive Distributed Lag (ARDL) bounds test as well as the Johansen cointegration test were employed to test for the long run cointegrating relationship between the variables. The ARDL approach was employed to estimate both the long run and short run models as well as to ascertain whether the Marshal – Learner condition as well as the J-curve phenomenon are satisfied in the RSA economy. The results from the cointegration tests show that there is a stable long run equilibrium relationship between the trade balance, real effective exchange rate, domestic GDP, money supply, terms of trade and foreign reserves. The results from the Autoregressive Distributed Lag long run model show that a depreciation of the ZAR improves the trade balance, thus confirming the MarshalLerner condition. The results further reveal that domestic GDP and money supply both have a significant negative impact on the trade balance in the long run with the terms of trade reported positive as well. Foreign reserves were not found to significantly affect the trade balance in the long run. In the short run, the ARDL error correction model shows that a ZAR depreciation leads to a deterioration of the trade balance, thus confirming the J-curve effect for the RSA economy. The terms of trade effect was reported positive in the short run, thus confirming the Harberger-LaursenMetzler effect (HLME) in the process. Money supply, domestic GDP and foreign reserves are also found to have a significant negative impact on the trade balance in the short run. Finally, the error correction model reveals that about 26% of the disequilibrium in the trade balance model is corrected in each quarter.

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2014.<br>Dornbusch’s exchange rate overshooting hypothesis has guided monetary policy conduct for many years though empirical evidence on its validity is mixed. This study re-examines the validity of the overshooting hypothesis by using the autoregressive distributed lag (ARDL) procedure. Specifically, the study investigates whether the overshooting hypothesis holds for the United States Dollar/Zambian Kwacha (USD-ZMK) exchange rate. In addition, the study tests if there is a long-run equilibrium relationship between the USD-ZMK exchange rate and the macroeconomic fundamentals (money supply, real Gross Domestic Product (GDP), interest rates and inflation rates). The study uses monthly nominal USD/ZMK exchange rates and monetary fundamentals data from January 2000 to December 2012. The study finds no evidence of exchange rate overshooting. The result also show that there is no long run equilibrium relationship between the exchange rate and the differentials of macroeconomic fundamentals. The implication is that macroeconomic fundamentals are insignificant in determining the exchange rate fluctuations in the long run. This finding is inconsistent with the monetary model of exchange rate determination, which asserts that there is a long-run relationship between the exchange rate and macroeconomic fundamentals.

Thesis (M.Com. (Economics)) -- University of Limpopo, 2020<br>The remarkable increase in FDI flows to developing countries over the last decade has focused attention on whether this source of financing enhances overall development and growth in the economy. To attain foreign direct investment and sustainable economic growth of a country, balanced budget is not only important but necessary. The aim of the study was to examine the nexus between foreign direct investment (FDI) inflows and budget deficit in a panel of five Southern African Development Community (SADC) countries (Malawi, South Africa, Tanzania, Namibia, and Zambia). The study employed the Panel Auto Regressive Distributed Lag (PARDL) model in examining the relationship between budget deficit and FDI. The panel unit root tests results showed different orders of integration (at levels and first-order) giving way to the use of PARDL. Co-integration test results confirmed a long-run relationship in the budget deficit FDI series. In the long run, there is a significant negative relationship between budget deficit and FDI. The speed of adjustment is 36%, implying that the system would converge faster to equilibrium. Furthermore, Granger causality test results indicated a bi-directional causal link on the interest rate – inflation and interest rate – FDI models. However, there is a unidirectional causality running from budget deficit to FDI; interest rate to the budget deficit and FDI to inflation. It is recommended that government should attract more foreign direct investment so as to minimise budget deficit and this could speed up the development of SADC countries. Key Terms: Foreign direct investment, budget deficit, Autoregressive-Distributed Lag, panel data, Granger causality.

Foreign remittance is the main external source of finance for Sri Lanka. It contributes immensely towards the country’s economy and makes up around 8 per cent of the GDP. However, there is a lack of study on foreign remittance in the Sri Lankan context, which hinders the potential of creating a comprehensive policy on remittance. Hence, this thesis has analysed the motives for foreign remittance and its determinants, the impact of foreign remittance on financial development, alongside its influence on poverty and income inequality in Sri Lanka. The objective of this research was to provide relevant information to the policy makers to guide them in enhancing the benefits to Sri Lanka from foreign remittance. The study used the autoregressive distributed lag (ARDL) and autoregressive (AR) models, Granger causality, impulse response analysis, variance decomposition and recursive estimation for analysing research data. At first, the motive for foreign remittance and its nature (static or dynamic) was examined to investigate the relevance of the prevalent notion that remittance motive is static in nature. Based on recursive estimation, the study found that remittance to Sri Lanka was dominated by altruistic motive until 1992 and by self-interest motive thereafter. Therefore, the findings disproved that the motive for remittance is static and confirmed its dynamic nature. This highlighted the need to assess the motive for foreign remittance at an individual country level and adjust migration and remittance policies accordingly since the motives keep changing over time and require continuous monitoring. The next stage in this study involved determining the key factors of foreign remittance to Sri Lanka by using factor analysis and ARDL model. Through the analysis, it was found that the per capita GDP and government stability are long-run determinants of remittance and have a positive impact on it. In addition, accountability and socio-economic status were identified as short-run determinants. The findings showed the importance and implications of push factors over pull factors to determine the inflow of remittance. It demonstrated that the Sri Lankan migrants, unlike altruistically driven migrants, are highly attentive to economic and political stability, and send more money when the economic and political conditions of the home country are favourable for investment. The undertaken research also examined the impact of foreign remittance on financial development in Sri Lanka using ARDL model. It used four proxies to represent financial development: money, deposits, credit and assets. The analysis revealed a significant impact of remittance on money and credit in Sri Lanka. Furthermore, it showed that the nexus between remittance and financial development supports a complementary hypothesis. This highlighted the likelihood of remittance to enhance the credit availability, promote investment and thereby enhance the economic growth of the country. Finally, the study examined the causal relationships between foreign remittance and poverty, and foreign remittance and income inequality in Sri Lanka with autoregressive model. The analysis showed that foreign remittance has a significant impact on moderate poverty reduction. Apart from the AR model, the Granger causality analysis verified the above-mentioned relationships between foreign remittance and poverty in Sri Lanka. However, the results of the study found no evidence to prove a significant impact or a causal relationship between foreign remittance and income inequality in Sri Lanka, unlike in some developing countries. All the findings from this research contribute to both the theoretical and the empirical literature. They provide relevant information that are invaluable for migration and remittance policy development, which can enable Sri Lanka to create an investment- friendly environment to attract more remittance by reducing the country’s financial risk and by enhancing its economic stability. In addition, since Sri Lankan employment migrants are motivated by self-interest the findings would help the financial institutions to customise their services to migrants, to further enhance their investment motive.

Dissertação de Mestrado em Economia apresentada à Faculdade de Economia<br>Evidence from countries transitioning to market economy regarding income inequality and growth relationship is scarce and inconclusive. The paper sets to analyse the phenomenon in 10 countries from Central and Eastern Europe (CEE) that accessed European Union in 2004 and 2007, highlighting two aspects: (1) the link between income inequality and economic growth; (2) the redistributive policies governments have taken to balance economic growth with income inequality levels. Different income inequality – growth transmission mechanisms are reviewed, and an overview of policies during the transition to a market economy and during the global financial crisis is given. Unified credit market imperfection and fiscal policy inequality – growth nonlinear models are tested empirically using auto distributive lag regression with market income data from 1995 to 2017 for CEE as an idiosyncratic region and disaggregated by average income inequality into two country groups. Empirical results are not robust but suggest that income inequality affects economic growth through various channels, and income inequality measures focusing on changes in the middle-income have strong explanatory power. Government expenditure and urbanisation have negative effects on growth, but the region is not idiosyncratic in respect due to different regional policies during the transition. Results from the policy literature overview suggest that the liberal and productivist welfare policies governments have undertaken during recessions of market transition in the 1990s and global economic crisis in 2008–2010 have been accompanied by redistributive policies, depending on budget availability, but have failed to support vulnerable groups, as well as have been transferred not accounting for specific circumstances of recipient countries. Governments should undertake a social investment policy approach to tackle inequalities and promote inclusive growth for sustained long-run growth.<br>A evidência dos países em transição para economias de mercado no que toca à relação da desigualdade de rendimentos com o crescimento económico é preocupante e inconclusivo. A tese assenta na análise do fenómeno da desigualdade em dez países da Europa Central e Oriental (CEE), que aderiram à União Europeia em 2004 e 2007. Destacam-se dois aspetos: (1) a ligação entre a desigualdade económica e o crescimento económico; e (2) as políticas redistributivas que os governos adotaram na tentativa de equilibrar o crescimento económico com os níveis de desigualdade de rendimentos. São revistos os mecanismos de transmissão da desigualdade de rendimentos ao crescimento económico e é dada uma visão geral das políticas aplicadas durante a transição para a economia do mercado e durante a crise financeira global. As imperfeições do mercado de crédito e desigualdade da política orçamental são analisadas através de modelos não lineares de crescimento e são testadas empiricamente utilizando a técnica econométrica do modelo de distribuição autorregressiva desfasada, para o os dados do rendimento no período de 1995 a 2017, para a CEE como região idiossincrática e desagregados pela desigualdade média do rendimento em dois grupos de países. Os gastos do governo e a urbanização têm um efeito negativo sobre o crescimento económico, mas a região não é idiossincrática relativamente a esse fenómeno, esse fenómeno pode ser o resultado de diferentes políticas regionais durante levadas acabo durante a fase de transição. Os resultados empíricos sugerem que a desigualdade do rendimento afeta o crescimento económico em vários aspetos. As medidas de desigualdade de rendimento, focando-se nas mudanças no rendimento médio, têm um forte poder explicativo. Os resultados da revisão da literatura sugerem que as políticas liberais e produtivistas do bem-estar dos governos, empreendidas durante as recessões da transição dos mercados em 1990 e a crise económica global de 2008-2010, foram acompanhadas por políticas redistributivas, dependentes das disponibilidades orçamentais, mas falharam no apoio aos grupos vulneráveis, bem como foram feitas transferências sem considerar as circunstâncias específicas dos países. Para um crescimento sustentado a longo prazo, os governos devem empreender uma abordagem política de investimento social para combater as desigualdades e promover um crescimento inclusivo.

A presente dissertação pretende investigar a relação entre o desenvolvimento do setor bancário e o desenvolvimento do mercado acionista no contexto do sistema financeiro Português, no período entre 1978 e 2017. O setor bancário e o mercado acionista são, frequentemente, vistos como rivais, com alguns teóricos sugerindo que um deles desempenha um papel dominante na promoção do crescimento económico. Recentemente, o debate sobre o paradigma de superioridade alterou-se para a noção de interação entre bancos e mercados no sistema financeiro. Estimamos quatro modelos lineares, que incluem uma proxy para o desenvolvimento do setor bancário (crédito ao setor privado) e uma proxy para o desenvolvimento do mercado acionista (capitalização de mercado acionista). Também foram incluídas duas variáveis macroeconómicas de controlo (agregado monetário M3 e taxa de juro nominal de curto prazo). Utilizando o estimador autorregressivo de desfasamentos distribuídos (ARDL), encontramos uma relação positiva de longo e curto prazo entre o desenvolvimento do setor bancário e o desenvolvimento do mercado acionista, o qual sugere que no curto prazo a evolução do setor bancário estimula a evolução do mercado acionista e no longo prazo a evolução do mercado acionista estimula a evolução do setor bancário. Em outras palavras, o setor bancário e o mercado acionista coevoluem entre si, em vez de competirem. Como o sistema financeiro Português assenta, claramente, no setor bancário, recomendamos que sejam feitos esforços em direção a um desenvolvimento mais rápido e eficiente do mercado acionista Português. Deste modo, o sistema financeiro Português poderá retirar melhor proveito desta relação de coevolução.<br>This paper aims to assess the relationship between bank development and stock market development in the Portuguese financial system context, from 1978 to 2017. Banks and stock market are often viewed as competitors, with some theorists suggesting that one plays a dominant role in foster economic growth. Recently, there has been a paradigm shift in the debate, from superiority to the interaction between banks and markets in a financial system. We estimate four linear models, which includes one proxy for the bank development (credit to private sector) and one proxy for the stock market development (stock market capitalization). We also included two macroeconomic control variables (monetary aggregate M3 and nominal short-term interest rate). Using autoregressive distributed lag (ARDL) estimator, we find a positive long-run and short-run relationship between bank development and stock market development, which suggests that in short-term bank evolution stimulates stock market evolution and in long-term stock market evolution stimulates bank evolution. In the other words, banks and markets coevolve with each other rather than compete. As the Portuguese financial system is clearly bank-based, we recommend that efforts should be made toward the efficiently and faster development of Portuguese stock market. Thus, Portuguese financial system can take better benefit from this coevolve relationship.

The thesis examined the comprehensive causal relationship between the banking sector, stock market development and economic growth in a multi-variate framework using Zimbabwean time series data from 1988 to 2015. Three banking sector development proxies (total financial sector credit, banking credit to private sector and broad money M3) and three stock market development proxies (stock market capitalization, value traded and turnover ratio) were employed to estimate both long and short run relationships between banking sector, stock market and economic growth in Zimbabwe. The study employs the vector error correction model (VECM) as the main estimation technique and the autoregressive distributed lag (ARDL) approach as a robustness testing technique. Results showed that in Zimbabwe a significant causal relationship from banking sector and stock market development to economic growth exists in the long run without any feedback effects. In the short run, however, a negative yet statistically significant causal relationship runs from economic growth to banking sector and stock market development in Zimbabwe. The study further concludes that there is a unidirectional causal relationship running from stock market development to banking sector development in Zimbabwe in both short and long run periods. Nonetheless this relationship between banking sector and stock markets has been found to be more significant in the short run than in the long run. The thesis adopts the complementary view and recommends for the spontaneity implementation of monetary policies as the economy grows. Monetary authorities should thus formulate policies to promote both banks and stock markets with corresponding growth in Zimbabwe’s economy.<br>Business Management<br>M. Com. (Business Management)