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1
Cernohorska, Libena. "The relationship between M3 and consumer price index in the Czech Republic." New Trends and Issues Proceedings on Humanities and Social Sciences 4, no. 10 (January 12, 2018): 23–32. http://dx.doi.org/10.18844/prosoc.v4i10.3059.
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The aim of this paper is to analyse the influence of monetary aggregate M3 on consumer price index (CPI) in the Czech Republic. Co-integration of this selected indicator M3 is demonstrated in relation to the development of CPI using the Engle – Granger co-integration test. These tests are applied to selected statistical data from 2003 to 2016. First step is to determine the optimum delay using Akaike criteria for all-time series analysed. Then the presence of a unit root is analysed using the Dickey–Fuller test. Based on the test results, time series is excluded, which appears to be stationary. If the conditions are met, testing then continued with the Engle–Granger test to detect cointegration relations, which would determine a longterm relationship between selected variables. Based on these tests, it is found that at a significance level of 0.05 doesn’t exist cointegration relationship between M3 and CPI in the Czech Republic. Conclusions resulting from the verification of the hypotheses are supported with graphical visualisation of data from which it is apparent that these hypotheses can be rejected. Keywords: Akaike crieteria, Dickey–Fuller test, Engle–Granger cointegration test, CPI, M3.
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Cernohorska, Libena. "The relationship between M3 and consumer price index in the Czech Republic." New Trends and Issues Proceedings on Humanities and Social Sciences 4, no. 10 (January 12, 2018): 226–36. http://dx.doi.org/10.18844/prosoc.v4i10.3081.
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This paper aimed at analysing the influence of monetary aggregate M3 on consumer price index (CPI) in the Czech Republic. Cointegrating this selected indicator M3 is demonstrated in relation to the development of CPI using the Engle – Granger cointegration test. These tests are applied to selected statistical data from the years 2003 to 2016. After using the Akaike criteria for all-time series, we analysed a unit root using the Dickey–Fuller test. If the time series are non-stacionary, testing is then continued with the Engle–Granger test to detect cointegration relations. Based on these tests, it is found that at a significance level of 0.05, a cointegration relationship between M3 and CPI in the Czech Republic does not exist. Conclusions resulting from the verification of the hypotheses are supported with graphical visualisation of data from which it is apparent that these hypotheses can be rejected. Keywords: M3; Czech Republic ; CPI ; Akaike criteria
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Li, Ping. "An Empirical Study on Impact of Bilateral Exchange Rate to Trade between Shandong Province of China and Japan." E3S Web of Conferences 189 (2020): 03030. http://dx.doi.org/10.1051/e3sconf/202018903030.
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This study explores the impact of bilateral exchange rate on the export and import between Shandong province of China and Japan under supply chains and vertical integration cooperative pattern from regional view. Based on the data over 1998–2017 periods, ADF test, Engle-Granger (EG) test and Granger Causality Test are employed. The results indicate that bilateral exchange rate (RMB/100Yen) is positive to the export trade from Shandong province to Japan, but there is no evidence bilateral exchange rate has effect on the import of Shandong province from Japan. The supply chains and vertical integration cooperative pattern are used to explain the result
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Emenike, Kalu Onwukwe, Ugwueze Christian Amu, and Ezeji Emmanuel Chigbu. "Sensitivity of Capital Market Development to Public Debt in Nigeria." Binus Business Review 7, no. 3 (November 30, 2016): 213. http://dx.doi.org/10.21512/bbr.v7i3.1491.
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This article investigated the sensitivity of capital market development to public debt in Nigeria using descriptive statistic, regression analysis, and the Engle-Granger co integration techniques for the period ranging from 1981 to 2014. The estimates from the descriptive analysis showed that both the market capitalization and public debt series were not normally distributed at 5% significance level. The ADF unit root test showed that the market capitalization and public debt series were integrated of order one (i.e., I (1)). The results from the regression model provide evidence to show that capital market development is not sensitive to domestic debt at any conventional level, but it is sensitive to external debt at 10% significance level. The estimates of the Engle-Granger co integration tests show that capital market development is not co integrated with public debt. It is recommended that capital market and debt management authorities should formulate policies will enhance linkage between the markets.
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Natsir, Khairina, Yusbardini Yusbardini, and Nurainun Bangun. "ANALISIS KAUSALITAS ANTARA IHSG, INDEKS DOW JONES INDUSTRIAL AVERAGE DAN NILAI TUKAR RUPIAH/US$." Jurnal Muara Ilmu Ekonomi dan Bisnis 3, no. 2 (September 30, 2019): 229. http://dx.doi.org/10.24912/jmieb.v3i2.3398.
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Penelitian ini bertujuan untuk menginvestigasi hubungan kausalitas antara IHSG, nilai tukar rupiah/US$ dan Indeks Global yang diwakili oleh Indeks Dow Jones Industrial Average. Penelitian mengambil sampel nilai-nilai variabel yang diteliti dengan periode data bulanan dalam periode Juli 2005-Desember 2018. Alat analisis menggunakan uji Engle-Granger untuk menginvestigasi hubungan kausalitas. Hasil Uji kausalitas Granger memperlihatkan terdapat hubungan dua arah atau saling mempengaruhi antara IHSG dengan nilai rupiah/US$. Selain itu ditemukan pula bahwa pergerakan Indeks Dow Jones Industrial secara signifikan mempengaruhi kepada pergerakan IHSG dan nilai tukar rupiah/US$, tetapi sebaliknya pergerakan yang terjadi pada IHSG dan nilai tukar tidak mampu mempengaruhi gerakan indeks Dow Jones Industrial. Hasil Uji kointegrasi Johansen memperlihatkan bahwa semua variabel penelitian mempunyai hubungan keseimbangan jangka panjang yang signifikan. This study aims to investigate the causality relationship between the CSPI, the exchange rate of rupiah / US $ and the Global Index represented by the Dow Jones Industrial Average. The study sampled variable values studied with monthly data periods in the period July 2005-December 2018. The analysis tool uses the Engle-Granger test to investigate causality relationships. Granger causality test results show there is a two-way relationship or influence each other between the CSPI with the value of rupiah / US $. In addition it was also found that the movement of the Dow Jones Industrial Index significantly affected the movement of the JCI and the exchange rate of the rupiah / US $, but conversely the movements that occurred on the JCI and the exchange rate were unable to influence the movement of the Dow Jones Industrial index. Johansen's cointegration test results show that all research variables have a significant long-term balance relationship.
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Černohorská, Liběna, and Darina Kubicová. "Risks and the influence of negative interest rates on economic activity: a case study of Sweden, Denmark, and Switzerland." Banks and Bank Systems 15, no. 1 (February 27, 2020): 30–41. http://dx.doi.org/10.21511/bbs.15(1).2020.04.
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The purpose of this paper is to analyze the impact of negative interest rates on economic activity in a selected group of countries, in particular Sweden, Denmark, and Switzerland, for the period 2009–2018. The central banks of these countries were among the first to implement negative interest rates to revive the economic growth. Therefore, this study analyzed long- and short-term relationships between interest rates announced by central banks and gross domestic product and blue chip stock indices. Time series analysis was conducted using Engle-Granger cointegration analysis and Granger causality testing to identify long- and short-term relationship. The first step, using the Akaike criteria, was to determine the optimal delay of the entire time interval for the analyzed periods. Time series that seem to be stationary were excluded based on the results of the Dickey-Fuller test. Further testing continued with the Engle-Granger test if the conditions were met. It was designed to identify co-integration relationships that would show correlation between the selected variables. These tests showed that at a significance level of 0.05, there is no co-integration between any time series in the countries analyzed. On the basis of these analyses, it was determined that there were no long-term relationships between interest rates and GDP or stock indices for these countries during the monitored time period. Using Granger causality, the study only confirmed short-term relationship between interest rates and GDP for all examined countries, though not between interest rates and the stock indices. Acknowledgment The paper has been created with the financial support of The Czech Science Foundation GACR 18-05244S – Innovative Approaches to Credit Risk Management.
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RODRIGUES, PAULO M. M. "NEAR SEASONAL INTEGRATION." Econometric Theory 17, no. 1 (February 2001): 70–86. http://dx.doi.org/10.1017/s0266466601171033.
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This paper presents asymptotic results for the seasonal unit root test proposed by Hylleberg, Engle, Granger and Yoo (1990, Journal of Econometrics 44, 215–238) in a near integration context. The findings are important in that they provide the asymptotic power functions of the Hylleberg et al. statistics when the characteristic roots of a seasonal process are local to unity. These conclusions extend the available asymptotic results for this test and serve as a framework for the potential development of more powerful test procedures.
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Breitung, Jörg, and Philip Hans Franses. "ON PHILLIPS–PERRON-TYPE TESTS FOR SEASONAL UNIT ROOTS." Econometric Theory 14, no. 2 (April 1998): 200–221. http://dx.doi.org/10.1017/s0266466698142032.
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In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range (0,π]. Monte Carlo simulations suggest that the test may have more power than the parametric test of Hylleberg et al. (1990). On the other hand, the semiparametric version suffers from severe size distortions in some situations.
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Asuamah Yeboah, Samuel. "Modelling inflation-interest rate nexus for Ghana." International Journal of Financial, Accounting, and Management 2, no. 3 (September 15, 2020): 227–41. http://dx.doi.org/10.35912/ijfam.v2i3.257.
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Purpose: The research assesses the interest rates-inflation association in the case of Ghana between 2007 and 2013. Monthly and quarterly data were used. Research Methodology: The model of the vector error correction and Johansen were used to investigate the long-term and short-term association in the model estimated respectively. The vector autoregression (VAR) test was used to model the joint dynamics between the variables. GRETL software was used in these tests. Granger predictive test was done with the EViews software. Results: The findings of the result confirm both long-run and a short-run association in the model and as well as neutral granger predictive causality. Limitations: Though the Johansen test is more appropriate for multivariate modelling, Engle-Granger test is considered to be more robust in most cases and as such future studies should consider using the two models in a comparative study to assess whether the current conclusions can collaborate. Contribution: The paper contributes to knowledge in the field of inflation and Interest rates association, in relation to the financial markets. Future Research models that account for structural breaks and panel works are worth doing. Keywords: Fisher effect, Treasury bill rates long run, Johansen model
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Mustafa, A. M. M. "The Impact of Infrastructure on Tourism: The Case of Sri Lanka." Asian Social Science 15, no. 7 (June 30, 2019): 174. http://dx.doi.org/10.5539/ass.v15n7p174.
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This study examines the impact of infrastructure on tourism development in Sri Lanka with greater emphasis on road network. The time period used in this study are ranging from year 2005 to year 2017. The annual time series data are analyzed by using statistical package, E-Views 10 after the preliminary calculations by using Microsoft Excel. The unit root of the variables is tested by ADF test to test the stationarity of the time series data used in the model of this study. Co-integration is tested with the use of Engle–Granger. The relationship of causality between the variables is found by test of Granger Causality. The results show that infrastructure has significant short run as well long run positive impact on tourism. Two-way causal relationship is found between tourism sector and infrastructure. Further, this study recommends that the government should play its role in improving the infrastructure facilities to increase tourist’s arrival in Sri Lanka.
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Tariq Islam, Qamarullah Bin. "Causal Analysis Between Liquidity and Profitability: Is There Any Difference Between Public and Private Commercial Banks in Bangladesh?" Journal of Banking and Financial Economics 2/2020, no. 14 (December 29, 2020): 38–46. http://dx.doi.org/10.7172/2353-6845.jbfe.2020.2.3.
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This paper analyzes the causal relationship between liquidity and profitability for public and private commercial banks in Bangladesh. The augmented Dickey-Fuller test of stationarity is carried out first. As they are found to be integrated of the same order, the Engle-Granger test of cointegration is applied. Finally, the Granger causality test is applied to check if there is any causal relationship between liquidity and profitability for public and private commercial banks in Bangladesh from 2001 to 2019. Another aim of the paper is to see if there is any difference in the causal relationship between these two bank typologies. The results show that there is unidirectional causality from profitability to liquidity for public banks while no causal relationship is evident for private commercial banks in Bangladesh. The findings further confirm that different bank typologies behave differently in Bangladesh and hence policy makers should keep this in mind during policy formulation.
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Myszczyszyn, Janusz. "Cointegration analysis between economic growth and the number of granted patents based on the example of the German economy." Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu 64, no. 9 (2020): 87–99. http://dx.doi.org/10.15611/pn.2020.9.07.
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The main purpose of the article was to use the Granger cointegration test to confirm the long-term relationship between the level of economic growth in Germany and the number of granted patents, including the so-called economically valuable patents. The empirical analysis was based on available statistical data on the level of economic growth (seven time series) and the number of patents received and valuable patents in the period 1872-1913. In addition to estimates of Pearson’s correlation coefficients, tests for checking the unit root: ADF and KPSS, were used. They indicated that all the analysed time series are integrated in the first stage I(1), which enabled the use of the Engle-Granger cointegration test. The obtained research results did not confirm the long-term correlation between the level of economic growth in Germany and the number of granted patents, including the so-called economically valuable patents.
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Myszczyszyn, Janusz. "Cointegration analysis between economic growth and the number of granted patents based on the example of the German economy." Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu 64, no. 9 (2020): 87–99. http://dx.doi.org/10.15611/pn.2020.9.07.
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The main purpose of the article was to use the Granger cointegration test to confirm the long-term relationship between the level of economic growth in Germany and the number of granted patents, including the so-called economically valuable patents. The empirical analysis was based on available statistical data on the level of economic growth (seven time series) and the number of patents received and valuable patents in the period 1872-1913. In addition to estimates of Pearson’s correlation coefficients, tests for checking the unit root: ADF and KPSS, were used. They indicated that all the analysed time series are integrated in the first stage I(1), which enabled the use of the Engle-Granger cointegration test. The obtained research results did not confirm the long-term correlation between the level of economic growth in Germany and the number of granted patents, including the so-called economically valuable patents.
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Luo, Yulin, and Tianming Huang. "Regional Economic Prediction Model and Empirical Research Based on Big Data Technology." E3S Web of Conferences 253 (2021): 02003. http://dx.doi.org/10.1051/e3sconf/202125302003.
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In order to test the prediction effect of big data technology on regional economy, this paper uses Engle-Granger test to explore the relationship between house prices in Xiangyang City and big data represented by search index. This paper selects the house price data from April 2015 to February 2020, and uses the Baidu Index with a correlation coefficient greater than 0.5 to build a search index, so as to test it empirically. The empirical results show that big data has a strong prediction for house prices in small and medium-sized cities, and the search index constructed by the weight of correlation coefficient is better.
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E. B., Udah, and Ebi Bassey. "Infrastructure, Human Capital and Industrialization in Nigeria." Nile Journal of Business and Economics 3, no. 6 (August 19, 2017): 58. http://dx.doi.org/10.20321/nilejbe.v3i6.102.
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The objective of this paper had been to shed light on the importance of infrastructure and human capital on industrialization in Nigeria using time series data from 1970 to 2014. The methodology adopted in this paper was first to trace the historical background of the data using such tests as mean, minimum and maximum values, standard deviation, skewness, kurtosis and Jarque-Bera tests. Second, in order to smoothen the data and reduce white noise, the paper adopted Augmented Dickey-Fuller and Phillips-Perron tests for unit root and for co-integration, the paper used Engle-Granger two-step procedure and Johansen method. The paper captured the interrelationship among the variables with Pairwise Granger causality test. Thirdly, the paper proceeded to use Ordinary Least Squares (OLS) estimation technique. The co-integration tests using Engle-Granger two-step and Johansen methods showed that the series are co-integrated, thus, the use of OLS satisfies the Best Linear Unbiased Estimator (BLUE) with minimum variance property. The parsimonious results suggest that gross domestic investment, electricity supply and trade openness are the required elements to accelerate the pace of industrialization in Nigeria. This implied that providing adequate and stable supply of electricity, deepening public and private investments as well as opening the economy to the vagaries of international trade has short and long-termed lasting effect on industrial development. The policy perspective is that government should prioritize the generation and distribution of electricity, increase the quantum of investments in road infrastructure and opening of the economy in order to accelerate the pace of industrialization.
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Wang, Qun Wei, Cheng Ling Cai, and Dan Lu. "Economic Growth, Energy Consumption and Carbon Emissions in China: A Cointegration Analysis." Applied Mechanics and Materials 291-294 (February 2013): 1616–19. http://dx.doi.org/10.4028/www.scientific.net/amm.291-294.1616.
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This paper studies the relationships between economic growth, energy consumption and carbon dioxide emissions using an autoregressive distributed lag (ARDL) procedure and Engle-Granger causality test in China over the period 1965-2011. The empirical results show that GDP, energy and carbon emissions have appeared to be cointegrated. Moreover, there exists unidirectional causality from energy consumption to economic growth and carbon emissions to economic growth in short run. It has also been found that energy consumption and carbon emissions promote economic growth in long run. Some policy implications have been proposed finally.
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Yardimcioglu, Mahmut, and Ahmet Ilhan. "A Study Regarding the Advances of Political Stability and Economic Development Experienced in Turkey during the Periods of 1980-2015." International Journal of Economics and Finance 8, no. 10 (September 23, 2016): 167. http://dx.doi.org/10.5539/ijef.v8n10p167.
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In this study, the causality relationship between the political stability and gross domestic product (GDP) in Turkey with the annual data for the period 1980-2015 has been analyzed. The cointegration and Engle-Granger causality tests have been applied in the study. As the Series were cointegrated, the Error Correction Method has been used in order to carry out the causality test. According to the analysis results, the cointegration test suggests the presence of a long-term relationship between political stability and gross domestic product (GDP). As for the Error Correction Model, it reveals the presence of one-way causal relationship from political stability to GDP.
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Karki, Dipendra. "The Dynamic Relationship between Tourism and Economy: Evidence from Nepal." Journal of Business and Management 5 (December 1, 2018): 16–22. http://dx.doi.org/10.3126/jbm.v5i0.27384.
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The objective of this paper is to analyse the role of tourism in the Nepalese economic growth. I use a trivariate model of real Gross Domestic Product (GDP), international tourist arrivals and real effective exchange rate to investigate the long-run and short-run relationship between tourism and economic growth. The Augmented Dickey-Fuller ( ADF) test is used to determine the order of integration of the series, and I employ the Engle- Granger cointegration procedure to test for the presence of long-run relationship. By using annual macroeconomic data for Nepal for the period of 1962-2011, results reveal that there is a cointegrating relationship between tourism and economic growth.
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Prorok, Vesna, and Slađana Paunović. "COINTEGRATION BETWEEN STOCK MARKET INDICES AND NOMINAL EXCHANGE RATES: EVIDENCE FROM TRANSITION COUNTRIES." ЗБОРНИК РАДОВА ЕКОНОМСКОГ ФАКУЛТЕТА У ИСТОЧНОМ САРАЈЕВУ 1, no. 10 (December 7, 2015): 35. http://dx.doi.org/10.7251/zrefis1510035p.
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This paper analyzes the interdependence between stock market indices and exchange rates in four transition countries: Croatia, Serbia, Hungary and the Czech Republic. The analysis is based on monthly data for the nominal exchange stock market indices and nominal exchange rates over the period from March 2010 to March 2015. The main objective of this work is to determine whether the exchange rates had a significant impact on future trends in the capital markets and vice versa. Empirical analysis has shown that the series are stationary in the first differences, and using both Engle-Granger cointegration and Granger causality test it has been shown, as well, that there is neither long-run nor short-run relationship between these two variables. In other words, it means that prediction of movement of one variable cannot be based on past values of other variable
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Oliveira Neto, José Carneiro da Cunha, Otávio Ribeiro de Medeiros, and Thiago Bergmann de Queiroz. "Governança Corporativa e Velocidade de Incorporação de Informações: Lead-Lag entre o IGC e o IBrX." Brazilian Review of Finance 10, no. 1 (April 21, 2012): 149. http://dx.doi.org/10.12660/rbfin.v10n1.2012.3048.
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Based on intraday data with a frequency of 15 minutes, the present study investigates the relationship between the high corporate governance market (IGC) and the traditional market (IBrX). The hypothesis tested is that a higher level of corporate governance reduces the cost associated to incorporating new information to asset prices, and so firms with higher governance incorporate information faster. The co-integration relationship between the time series was tested using the Engle-Granger method in two stages. The vector error correction model (VECM) and the Granger causality test do not permit the rejection of the hypothesis of faster incorporation of information for the high governance market prices. To estimate the VECM we used a bivariate GARCH BEKK model. The results suggest that the IGC finds its equilibrium price more rapidly and that the IBrX converges to the equilibrium relationship determined by the IGC.
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Amalu, Henry Ikechukwu, Thaddeus Nnaemeka Ukwueze, Loenard U. Olife, and Favour Friday Irokwe. "Product Tax Revenue and Economic Growth in Nigeria: An Engle-Granger Approach, Evidence From 1981 - 2019." Journal of Advanced Research in Economics and Administrative Sciences 1, no. 2 (November 8, 2020): 66–76. http://dx.doi.org/10.47631/jareas.v1i2.111.
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Purpose: Product tax is an essential tool for governments, serving both as a revenue generator and fiscal policy instrument. The paper examines short-run and long-run relationships shared by product taxes and economic growth in Nigeria for the period, 1981 to 2019. Approach/Methodology/Design: The study checks the stationarity properties of the series by testing them for unit roots using Augmented Dickey Fuller (ADF) method and Philip-Perron unit root test. Both unit root tests indicate that the series is stationary at first difference. In view of this, the study deploys a cointegration technique, Engle-Granger two-step procedure to determine the long-run and short-run links shared by the variables of interest. The Error Correction Mechanism (ECM) estimation and the Granger causality estimations for speed of adjustment and causality of the variables were also used. Findings: The results reveal that product tax revenues and economic growth cointegrate in the long-run; while product tax revenues exert a significant positive effect on economic growth both in the short-term and long-term. The outcome of the Error Correction Mechanism (ECM) estimation shows a swift speed of adjustment to a new long-run equilibrium after a shock. The outcome of the Granger causality estimations indicates a uni-directional causality from economic growth to revenues from product taxes. Practical Implications: This study is significant at this point when the country is facing increasing economic challenges. It will be useful to policy makers who might want to explore the possibility of using product tax as a fiscal policy tool, and a source of revenue to augment the declining revenue of the government from other sources. Originality/value: The paper explores short-run and long-run relationships shared between product taxes and economic growth in Nigeria using a two-step procedure of Engle and Granger, and it verifies causality link between the later and the former.
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U. J., Afangideh, Garbobiya T. S., Umar F. B., and Usman N. "The Impact of Inflation on Financial Sector Development: Evidence from Nigeria." International Journal of Economics and Finance 12, no. 2 (January 29, 2020): 56. http://dx.doi.org/10.5539/ijef.v12n2p56.
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This paper examines the Impact of inflation on financial sector development in Nigeria using quarterly data from 2002-2017. Financial sector development is proxied using money supply as a share of GDP (M2/GDP).The Auto-Regressive Distributive lag (ARDL) model is employed to carry out the estimation given the weakness of the Engle-Granger residual-based cointegration technique to test the long-run and short-run effects of the impacts of inflation on financial sector development. The results of the estimation reveal that there is a positive and statistically significant relationship between inflation and financial sector development in Nigeria. There is need to test for threshold effects of inflation on financial development in Nigeria.
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TAYYAR, Ahmet Emrah. "FOREIGN DIRECT INVESMENT OUTFLOWS AND ENVIRONMENTAL POLLUTION: HIDDEN COINTEGRATION ANALYSIS FOR TURKEY." IEDSR Association 6, no. 11 (February 24, 2021): 165–82. http://dx.doi.org/10.46872/pj.235.
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The relationship between foreign direct investment, which is a type of cross-border and long-term investment, and environmental quality is a current issue that is heavily debated. Foreign direct invesments can ensure economic growth and development of countries, while also causing a change in environmental quality. In the research conducted, it is seen that changes in carbon dioxide emissions with foreign direct capital inflows are mainly investigated from the point of view of the host countries. However, foreign direct invesment outflows may have an impact on the environmental quality of the home country. Because foreign direct invesment outflows can enable the transfer of more environmentally friendly techonogies to the country and strengthen management skills. The impact of foreign direct investment outflows on the home country's environmental pollution is shaped by many factors (scale, technique, and composition effects). In addition to these effects, it is necessary to pay attention to the regional and sectoral distribution of capital outflows. The main aim of this study is to examine the links between Turkey's foreign direct invesment outflows and carbon dioxide emissions for the period 1990-2018. For this reason, a unit root test was applied to variables whose natural logarithm was taken. Tests showed that all series are stable of the same degree. Engle&Granger(1987) and Granger&Yoon(2002) tests were used to determine the cointegration relationship between variables. The crouching error correction model(CECM) was applied to determine the causality relationship. According to the results of the analysis; i) In terms of the Engle&Granger(1987) test, there was no long-term relationship between variables. ii) According to the Granger&Yoon(2002) test, it was determined that there is a bidirectional hidden cointegration relationship between the positive shocks of carbon dioxide emissions and negative shocks of foreign direct invesment outflows. iii) There is a bidirectional asymmetric causality relationship between the positive shocks of carbon dioxide emissions and the negative shocks of foreign direct invesment outflows. iv) It is observed that 1% negative shocks in foreign direct invesment outflows reduce positive shocks in carbon dioxide emissions by 0,26%. As a result, since negative situations in foreign direct invesment outflows have an effect on improving the quality of the environment, the environmental dimension should be taken into account in the policies to be made.
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Qazi, Laila Taskeen, Atta Ur Rahman ., and Saleem Gul. "Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange." Pakistan Development Review 54, no. 3 (September 1, 2015): 215–44. http://dx.doi.org/10.30541/v54i3pp.215-244.
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Pairs Trading refers to a statistical arbitrage approach devised to take advantage from short term fluctuations simultaneously depicted by two stocks from long run equilibrium position. In this study a technique has been designed for the selection of pairs for pairs trading strategy. Engle-Granger 2-step Cointegration approach has been applied for identifying the trading pairs. The data employed in this study comprised of daily stock prices of Commercial Banks and Financial Services Sector. Restricted pairs have been formed out of highly liquid log share price series of 22 Commercial Banks and 19 Financial Services companies listed on Karachi Stock Exchange. Sample time period extended from November 2, 2009 to June 28, 2013 having total 911 observations for each share prices series incorporated in the study. Out of 231 pairs of commercial banks 25 were found cointegrated whereas 40 cointegrated pairs were identified among 156 pairs formed in Financial Services Sector. Furthermore a Cointegration relationship was estimated by regressing one stock price series on another, whereas the order of regression is accessed through Granger Causality Test. The mean reverting residual of Cointegration regression is modeled through the Vector Error Correction Model in order to assess the speed of adjustment coefficient for the statistical arbitrage opportunity. The findings of the study depict that the cointegrated stocks can be combined linearly in a long/short portfolio having stationary dynamics. Although for the given strategy profitability has not been assessed in this study yet the VECM results for residual series show significant deviations around the mean which identify the statistical arbitrage opportunity and ensure profitability of the pairs trading strategy. JEL classifications: C32, C53, G17 Keywords: Pairs Trading, Statistical Arbitrage, Engle-Granger 2-step Cointegration Approach, VECM.
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Jurkėnaitė, Nelė, and Dimitrios Paparas. "Towards better understanding of vegetable market functioning: The Lithuanian cases of fresh tomatoes and cucumbers." Outlook on Agriculture 49, no. 2 (August 1, 2019): 163–71. http://dx.doi.org/10.1177/0030727019866208.
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The efficiency of the European Union vegetable market depends on the ability of Member States to identify and solve market functioning problems of particular agricultural commodities. The goal is to investigate the vertical price transmission along the fresh tomato and cucumber supply chains in Lithuania. The article contributes to the scarce research on the Lithuanian vegetable market, enriching the previous studies with fresh tomato and cucumber cases. The study employs unit root tests, the Johansen and the Engle–Granger co-integration tests, describes error correction model coefficients and provides results of the Granger causality test and momentum threshold autoregressive test for asymmetry. Results of price transmission analysis show the presence of the long-run asymmetry within the studied value chains suggesting that the markets are not efficient; however, the market of cucumbers returns to an equilibrium quicker. Finally, the study confirms that in both cases, there are long-term relationships between retail and farm prices, while the causality is running from farm to retail level in both markets.
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Ramenah, Harry, Philippe Casin, Moustapha Ba, Michel Benne, and Camel Tanougast. "Accurate determination of parameters relationship for photovoltaic power output by augmented dickey fuller test and engle granger method." AIMS Energy 6, no. 1 (2018): 19–48. http://dx.doi.org/10.3934/energy.2018.1.19.
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Muhammad, Sagheer, Adnan Akhtar, and Nasir Sultan. "Shock Dependence and Volatility Transmission Between Crude Oil and Stock Markets: Evidence from Pakistan." Lahore Journal of Business 5, no. 1 (September 1, 2016): 1–14. http://dx.doi.org/10.35536/ljb.2016.v5.i1.a1.
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This paper investigates shock dependence and volatility transmission between the crude oil and equity markets, based on crude oil returns and stock index returns for the period 2 January 2009 to 27 January 2014. We employ the bivariate BEKK-GARCH (1, 1) model developed by Engle and Kroner (1995) as well as the Engle and Granger (1987) cointegration and unit root tests. These parameterization tools are more flexible and innovative than other specifications, which often give counter-intuitive results. The results of the cointegration test reject the notion of a long-run relationship between the crude oil market and stock market. The results of the BEKK-GARCH model suggest that shocks and volatility created in the oil market have a significant effect on the Pakistan Stock Exchange. They also reveal bidirectional shock persistence and a unidirectional volatility spillover between crude oil prices and Pakistani equity prices. These empirical findings can help predict price movements in each market efficiently. The empirical results are also important for policymakers involved in shock prevention and for portfolio managers seeking optimal portfolio allocation.
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AFZAL, MOHAMMAD. "LONG-RUN RELATIONSHIP BETWEEN IMPORTS AND EXPORTS: EVIDENCE FROM ASIAN COUNTRIES." Singapore Economic Review 53, no. 02 (August 2008): 261–78. http://dx.doi.org/10.1142/s0217590808002938.
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We used Engle–Granger cointegration test to investigate and compare the long-run performance of imports and exports in Pakistan, India, Sri Lanka, Korea and Thailand. Graphical analysis demonstrates an inherent tendency of imports and exports to move together in the long run. Cointegration and error correction results support the graphical analysis that these countries do not violate on the average the international budget constraint, and trade disequilibrium is a short-run phenomenon that is sustainable in the long run. Macroeconomic policies in the sample countries have been adequately effective to affect long-run equilibrium between imports and exports. The international events had differential impact on each country of our sample.
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Kustiari, Reni, Wahyuning Kusuma Sejati, and Riva Yulmahera. "Integrasi Pasar dan Pembentukan Harga Cabai Merah di Indonesia." Jurnal Agro Ekonomi 36, no. 1 (October 30, 2018): 39. http://dx.doi.org/10.21082/jae.v36n1.2018.39-53.
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<strong>English</strong><br />Red chili is one of the essential horticultural commodities because it is the main cooking spice for the Indonesian people. This paper discusses the integration of the red chili market in Indonesia using monthly price data for the period 2011-2016. Market integration is analyzed using Johansen cointegration models. The Engle-Granger (EG) causality test results show that producer prices and wholesale prices affect consumer prices, there is a one-way causal relationship. Therefore, the causality approach accepts the Law of One Price (LOP) hypothesis of red chili price. The results of the co-integration model show that the market for red chili is well integrated. Furthermore, variance decomposition analysis shows that Medan is the market leader for chili in Indonesia.<br /><br /><br /><strong>Indonesian</strong><br />Cabai merah adalah salah satu komoditas hortikultura yang penting karena merupakan bumbu masak utama bagi masyarakat Indonesia. Makalah ini membahas integrasi pasar cabai merah di Indonesia dengan menggunakan data harga bulanan periode 2011-2016. Integrasi pasar dianalisis dengan menggunakan Johansen kointegrasi model. Hasil uji kausalitas Engle-Granger (EG) menunjukkan bahwa harga produsen dan harga grosir mempengaruhi harga konsumen, ada hubungan kausal satu cara. Oleh karena itu, pendekatan kausalitas menerima hipotesis Hukum Satu Harga (LOP) komoditas cabai merah. Hasil dari model co-integration menunjukkan bahwa pasar cabai merah terintegrasi dengan baik. Selanjutnya, analisis variance decomposition menunjukkan bahwa Medan adalah pasar acuan (price leader) untuk harga cabai di indonesia.
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Setyowati, Eni. "FAKTOR-FAKTOR YANG MEMPENGARUHI NILAI TUKAR RUPIAH TERHADAP DOLAR AMERIKA DENGAN MODEL KOREKSI KESALAHAN ENGLE-GRANGER (PENDEKATAN MONETER)." Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan 4, no. 2 (May 2, 2017): 162. http://dx.doi.org/10.23917/jep.v4i2.4026.
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Exchange rate measures the value of a certain foreign exchange from other foreign exchange's perspective. As the condition of economic changes, the exchange rate ma change substantially. The decrease of the value of a foreign exchange is called depreciation and the increase value of a foreign exchange is called appreciation.The equilibrium exchange rate will change along with the change of demand and supply. Factors causing the change of demand and supply curve among others are the amount of money supply, relative gross domestic product (GDP) and the level of relative interest rate.The research is aimed to analyze the influence of variables of Indonesian money supply, American money supply, Indonesian real Gross Domestic Product, American real Gross Domestic Product, deposits interest rate and LIBOR (London Interbank Offer Rates on SDR Deposit) both in short and long terms.One of the ways to analyze the influence of short term and long term is by developing the dynamic model. In this research, the analyzes of dynamic model was conducted with ENGEL-GRANGER ERROR CORRECTION MODEL approach which was developed by ENGEL-GRANGER (1987) based on GRANGER REPRESENTATION THEOREM.The ECM analyzes was chosen not only because of its ability to solve the problem of time series which is not stationer, and spurious regression and spurious correlation in the economic analyses but also its ability to discuss the consistence of empiric model with economic theory. Beside, ECM concept is also thought to be more realistic in observing the development of economics variables from the result of the analyzes during the time of observation. It was known that long-term exchange rate is influenced by Indonesia real Gross Domestic Product and the number of Indonesian money supply. The variable of Indonesian real Gross Domestic showed the significant result and the signal test was convenient with the theory. The variable which influence" short term exchange rate are the amount of Indonesian money supply, Indonesian real Gross Domestic Product, and Indonesian deposit interest rate. The three variables showed the significant result and the signal test was convenient with the theory.
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Amfo-Antiri, George, and Edward Quansah. "Cointegration of Stock Prices and Domestic Portfolio Diversification Opportunities: Evidence from the Ghana Stock Exchange." Applied Economics and Finance 4, no. 5 (August 28, 2017): 78. http://dx.doi.org/10.11114/aef.v4i5.2475.
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This paper employed Engle-Granger test of cointegration and the Bound Test to explore potential domestic portfolio diversification opportunities that are available for individual investors, institutional and other portfolio managers from constructing domestic portfolios. Daily stock prices for the period 1st August, 2011 to July 29th, 2016 have been employed as well as monthly stock return from the Ghana Stock exchange. The result from the cointegration analysis indicated that most equity stocks listed on the Ghana Stock Exchange are not cointegrated with each other in the long run. In addition, majority of the stock returns are statistically insensitive to the GSE– Composite index during the period under consideration. The empirical evidence indicates that domestic investors can benefit from constructing portfolios that consist of equities from the financial sector and other non-financial sectors which are not cointegrated.
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Donggori, Mitha Febby R., Adi Setiawan, and Hanna Arini Parhusip. "Model Koreksi Kesalahan pada Data Runtun Waktu Indeks Harga Konsumen Kota-kota di Papua." d'CARTESIAN 3, no. 1 (March 30, 2014): 81. http://dx.doi.org/10.35799/dc.3.1.2014.4011.
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Abstract The Consumer Price Index is used as a measure of inflation. Consumer Price Index data is time series data are often not stationary, causing decision-making related to the data becomes invalid. Consumer Price Index has a different rate of change in each region, as well as for the city of Jayapura, Sorong and Manokwari in Papua. In this paper, Error Correction Model is used to correct short-term imbalances and establish a long term relationship models Consumer Price Index cities - cities in Papua. We use time period : January 2009 to May 2013. To test stationarity of the data, we use Phillips - Perron unit root test. Engle - Granger cointegration test is performed to determine whether there is a long-term relationship among cities in Papua. Furthermore, the model established by using the Error Correction Method by Domowitz - Elbadawi to correct short- term imbalances and establish long-term relationships model. The obtained Error Correction Models were compared to the results obtained with the bootstrap method . . Keywords : consumer price index, stationarity test, co integration test, error correction model, the bootstrap method Abstrak Indeks Harga Konsumen digunakan sebagai tolok ukur inflasi. Data Indeks Harga Konsumen merupakan data runtun waktu yang seringkali tidak stasioner sehingga menyebabkan pengambilan keputusan yang berkaitan dengan data menjadi tidak valid. Indeks Harga Konsumen memiliki tingkat perubahan yang berbeda di setiap daerah, begitu juga untuk kota Jayapura, Sorong dan Manokwari di Papua. Model koreksi kesalahan digunakan untuk mengoreksi ketidakseimbangan jangka pendek dan membentuk model hubungan jangka panjang Indeks Harga Konsumen kota – kota di Papua pada makalah ini. Periode waktu yang diamati adalah bulan Januari 2009 sampai dengan bulan Mei 2013. Uji stasioneritas data dengan uji akar unit Phillips-Perron, uji kointegrasi Engle-Granger yang dilakukan untuk mengetahui ada tidaknya hubungan jangka panjang di antara kota – kota tersebut. Lebih lanjut, dibentuk model koreksi kesalahan dengan metode Domowitz-Elbadawi untuk mengoreksi ketidakseimbangan jangka pendek dan membentuk model hubungan jangka panjang. Model koreksi kesalahan yang diperoleh dibandingkan dengan hasil yang diperoleh dengan metode bootstrap. Kata kunci: indeks harga konsumen, uji stasioneritas, uji kointegrasi, model koreksi kesalahan, metode bootstrap
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Yacoub, Yarlina, and Nindya Lestari. "Causality of Economic Growth and Openness in ASEAN-5." GATR Journal of Business and Economics Review 4, no. 1 (March 13, 2019): 01–09. http://dx.doi.org/10.35609/jber.2019.4.1(1).
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Objective - This study aims to determine the relationship between FDI and trade and its effect on economic growth in ASEAN-5 countries using the Engel-Granger causality method. Methodology/Technique - The study uses OLS panel regression analysis to identify the relationship between the variables in each country. The results of the Engel-Granger causality test indicate that there is a two-way relationship between economic growth and FDI, and economic growth and international trade. Findings - When tested together through panel regression, it is concluded that the best model is a random effect method (REM) in which FDI and international trade significantly influence economic growth in the same direction. However, the relationship between FDI and international trade and its effect on economic growth in Indonesia, the Philippines and Thailand was negative, whilst in Malaysia and Singapore the relationship has a directional trend. Novelty - To reinforce the FDI inflows, authorities should continue the progressive reduction of barriers, and increase the sophistication of quality exports to compete in the global market. This paper is the first of its kind to analyze the role of both FDI and exports in the ASEAN5 economies using panel analysis. Type of Paper: Empirical. Keywords: Economic Growth; FDI; Openness; Engle-Granger Causality. JEL Classification: F02, F10, F41. DOI: https://doi.org/10.35609/jber.2019.4.1(1)
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Hechmy, Badry. "Can conventional energy be replaced by renewable energy without harming economic growth in non-oil-MENA? Evidence from Granger causality in VECM." World Journal of Entrepreneurship, Management and Sustainable Development 15, no. 2 (July 5, 2019): 159–68. http://dx.doi.org/10.1108/wjemsd-11-2018-0098.
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Purpose The purpose of this paper is to examine the relationship between renewable energy consumption and economic growth in non-oil countries in the Middle East and North Africa (non-oil-MENA) during the period from 2000 to 2014. The Pedroni (2000) test shows that there is a long-term cointegration relationship between those variables; however, the Granger causality test in the vector error correction model (VECM) shows that this relationship is bidirectional in the short and long term. Thus, to ensure sustainable economic growth without pollution and to reduce dependence on abroad, renewable energies can be chosen as substitutes for conventional energies in the non-oil-MENA countries. Design/methodology/approach First, LLC and IPS unit root tests are used to test the variables stationarity; and, second, Pedroni panel cointegration and Engle–Granger causality by VECM analysis are used to check the relationship between the studied variables. Findings Empirical results show that the renewable energy consumption and economic growth are cointegrated and that there are two-way causal relationships between them in the long and in the short term. These countries must therefore encourage the consumption of renewable energy instead of traditional energy to reduce their dependence on energy from abroad and CO2 pollution. Originality/value The originality of this work lies in the measurements of the study variables and the empirical investigation methods used.
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Mongale, Itumeleng Pleasure, and Joel Hinaunye Eita. "Commodity prices and stock market performance in South Africa." Corporate Ownership and Control 11, no. 4 (2014): 370–75. http://dx.doi.org/10.22495/cocv11i4c3p7.
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As an export based economy, commodity prices and stock market performances are always a course for concern in the South African economy. This paper investigates the effects of the commodity prices and selected macroeconomic variables on stock market performance. The paper uses quarterly time series data and the estimation covers the period 1994 to 2013. Using Engle-Granger two steps econometric technique, the underlying series are tested for univariate characteristics of the variables unit root by employing the Augmented Dickey-Fuller, Phillips-Perron and Kwiatkowski-Phillips-Schmidt-Shin test statistics. The findings show that an increase in commodity prices is associated with an increase in stock market performance and there is a positive association between stock market and macroeconomic such as money supply and exchange rate in South Africa.
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Jamei, Naseem H., Mira Nurmakhanova, Shahbaz Mustafa, Alloysius Egbulonu, and Wagdi Hadidan. "The long run relationship between fish production, marine trade balance and foreign direct investment." Maritime Business Review 5, no. 3 (April 20, 2020): 271–80. http://dx.doi.org/10.1108/mabr-01-2020-0008.
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Purpose This paper aims to focus on testing the long-run relationship between fish production and two main variables, the foreign direct investment inflow and the marine trade balance in Oman, which is one of the Arab Gulf countries, during the period 1985-2016. Design/methodology/approach This study uses what known as the two-step Engle–Granger cointegration test to give evidence for the long-run relationship among the variables. Findings The results show that there are a negative long- and short-run relations between fish production and marine trade balance; moreover, any shocks will be corrected within two periods at the most. Originality/value This study is one of few studies in using the econometric models to study the impact of fish production on marine trade balance and foreign direct investment.
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Cookey, Boma Clement, and Okorie Stanley. "Globalization and Economic Growth: Evidence from Nigerian Economy 1980 – 2017." GIS Business 14, no. 3 (June 26, 2019): 66–79. http://dx.doi.org/10.26643/gis.v14i3.2153.
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This study examined the effect of globalization on growth of Nigerian Economy from 1980 to 2017. The used secondary data sourced mainly from the Central Bank of Nigeria Statistical bulletin and the SWISS Economic Institute (KOF). A multiple regression model which has economy growth, proxy by real gross domestic product as the dependent variable and globalization disaggregated into overall globalization, economic globalization, social globalization, and political globalization as the independent variables was estimated using Engle-Granger (1979) Error correction model approach. The unit root test shows that all the variables are integrated of order 1(1), while the co-integration test result revealed that the variables are co-integrated. Estimates from the error correction models show that overall globalization had positive and significant effect on economic growth, while political globalization had positive, but insignificant impact on economic growth. It was therefore recommended that government should create conducive macro-economic environment and invest in critical infrastructure to position the economy for positive globalization effects.
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Leung, Tim, and Hung Nguyen. "Constructing cointegrated cryptocurrency portfolios for statistical arbitrage." Studies in Economics and Finance 36, no. 4 (October 7, 2019): 581–99. http://dx.doi.org/10.1108/sef-08-2018-0264.
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Purpose This paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of trading strategies for the cryptocurrency portfolios. Design/methodology/approach The authors apply a series of statistical methods, including the Johansen test and Engle–Granger test, to derive a linear combination of cryptocurrencies that form a mean-reverting portfolio. Trading systems are designed and different trading strategies with stop-loss constraints are tested and compared according to a set of performance metrics. Findings The paper finds cointegrated portfolios involving four cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), Bitcoin Cash (BCH) and Litecoin (LTC), and the corresponding trading strategies are shown to be profitable under different configurations. Originality/value The main contributions of the study are the use of multiple altcoins in addition to bitcoin to construct a cointegrated portfolio, and the detailed comparison of the performance of different trading strategies with and without stop-loss constraints.
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HALAÇ, Umut, and Fatma Deniz ŞAŞMAZ. "YAPISAL KIRILMA ALTINDA SANAYİ ÜRETİMİ VE İSTİHDAM İLİŞKİSİ." Business & Management Studies: An International Journal 5, no. 3 (December 19, 2017): 684–702. http://dx.doi.org/10.15295/bmij.v5i3.151.
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Sürdürülebilir ekonomik büyümeyi hedefleyen ekonomilerin en önemli konularından biri olan sanayileşmenin üretimi arttırma yoluyla istihdamı olumlu etkilediği düşünülmektedir. Bu çalışmada Türkiye’de 2005:01 ve 2017:06 dönemleri arasında sanayi üretimi ile toplam istihdam, sanayi istihdamı ve genç istihdam değişkenleri arasındaki uzun dönemli ilişki yapısı aylık veriler kullanılarak incelenmiştir. Ele alınan dönem yapısal değişikler içeren bir dönem olduğu için serilerin durağanlığı hem standart Genişletilmiş Dickey Fuller birim kök testi hem de yapısal kırılmalı Zivot-Andrews birim kök testi ile test edilmiştir. Eşbütünleşme ilişkisinin tahmin edilmesinde de hem Engle Granger eşbütünleşme testi hem de yapısal kırılmaları dikkate alan Gregory-Hansen eşbütünleşme testi kullanılmıştır. Elde edilen bulgulara göre, değişkenler arasında uzun dönemli bir ilişki mevcut değildir. Çalışmanın sonuçları göstermektedir ki Türkiye için incelenen dönemde sanayi üretimi ve istihdam arasındaki bağ ortadan kalmıştır yani sanayi üretimi artsa bile bu artış istihdam yaratmaktan uzaktır.
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Aguilera Alvial, C. "Real estate boom in Chile and fundamentals on house prices." Finance, Markets and Valuation 6, no. 1 (2020): 1–26. http://dx.doi.org/10.46503/bbhd9810.
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This article studies the fundamentals of housing prices based on the Real Index of Housing Prices (IRPV), given that in recent times in Chile there has been a sustained increase in price levels and seeks to find evidence on the existence of a possible speculative bubble in the real estate market. Following the methodology of various Chilean and international authors, the Engle & Granger Co-integration methodology was applied. Furthermore, the results of the previous methodology were compared using the Johansen Co-integration test. Then a method to find structural breaks is applied. As a result, evidence is found to not reject the existence of a bubble in the real estate market. It is found that only interest rates co-integrate in the long term with the evolution of house prices, while the other fundamentals present a spurious relationship.
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Martínez-Fernández, Valentín-Alejandro, Pablo Castellanos, and Óscar Juanatey-Boga. "Advertising investment as a tool for boosting consumption: testing Galbraith's hypothesis for Spain." Revista de Economia Contemporânea 18, no. 3 (December 2014): 435–52. http://dx.doi.org/10.1590/141598481836.
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The recession that most of the world economies have been facing in the last years has caused a great interest in the study of its macroeconomic effects. In this context, a debate has resurged regarding the advertising investment, as for its potential capacity to impel the consumer spending and to impact positively on the economic recovery. This idea, sustained in the so-called Galbraith's hypothesis, constitutes the core of this paper, where the main objective is to test that hypothesis by means of an empirical analysis. In this study, we focus on the Spanish case and the data correspond to the period 1976 -2010. A cointegration analysis is carried out, using two different approaches (Engle-Granger test and Gregory-Hansen test, respectively), to determine if there is any relationship between the advertising investment and six macromagnitudes (GDP, National Income, Consumption, Savings and Fixed Capital Formation), as well as the registered unemployment rate. Based on the results obtained, we conclude that Galbraith's hypothesis is not fulfilled for the Spanish case.
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Dastgerdi, Hamidreza Ghorbani. "Inflation Theories and Inflation Persistence in Iran." Zagreb International Review of Economics and Business 23, no. 2 (November 1, 2020): 1–20. http://dx.doi.org/10.2478/zireb-2020-0011.
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AbstractThis study focuses on: (1) finding the causes of inflation which follows the inflation theories such as Demand-Pull, Cost-Push and Structural inflation.(2) measuring the degree of inflation persistence in order to evaluate the ability of monetary policies to control inflation. Engle- Granger test and the Autoregressive Distributed Lag are applied to analyze the response of inflation to its determinants. The Grid bootstrap Method and Impulse Response Functions measure the inflation persistence. The results suggest that controlling the money supply is a key factor in controlling inflation. The appreciation of Rial exchange rate is an important factor of low inflation. It is increased as a result of Budget deficit while decreased due to oil price and real GDP. Inflation persistence follows the structural changes and finally permanent shocks die out after some horizons. Therefore, monetary authorities control inflation but their policies are yet far from optimal level.
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Khanom, Ms Sharmina. "Economic Transformation in Bangladesh and the Income Velocity of Broad Money: An Econometric Analysis." Journal of Social Sciences Research, no. 52 (January 25, 2019): 408–17. http://dx.doi.org/10.32861/jssr.52.408.417.
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This study has undertaken an econometric analysis of economic transformation and income velocity of broad money. To find out the relevant determinants of income velocity of money this paper used time series data on year basis. This paper focus to discover the key determinants of the velocity of money in Bangladesh using the Augmented Dicky Fuller (ADF) unit root test to inspect the stationary, Engle-Granger residual-based cointegration approach to demonstrate the co-integrating association among variables. The main conclusions of this paper are: (i) relationship exists between the velocity of money and financial development. Other important variables that determine GDP growth show a negative relationship with the velocity of money but maintain a positive relationship with the deposit interest rate. Finally, this study concludes by giving some policy recommends for Bangladesh with respect to the velocity of broad money and the monetary policy.
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Castro, Tomas del Barrio, and Denise R. Osborn. "TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES." Econometric Theory 24, no. 4 (April 4, 2008): 1093–129. http://dx.doi.org/10.1017/s0266466608080420.
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This paper examines the implications of applying the Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238) (HEGY) seasonal root tests to a process that is periodically integrated. As an important special case, the random walk process is also considered, where the zero-frequency unit root t-statistic is shown to converge to the Dickey–Fuller distribution and all seasonal unit root statistics diverge. For periodically integrated processes and a sufficiently high order of augmentation, the HEGY t-statistics for unit roots at the zero and semiannual frequencies both converge to the same Dickey–Fuller distribution. Further, the HEGY joint test statistic for a unit root at the annual frequency and all joint test statistics across frequencies converge to the square of this distribution. Results are also derived for a fixed order of augmentation. Finite-sample Monte Carlo results indicate that, in practice, the zero-frequency HEGY statistic (with augmentation) captures the single unit root of the periodic integrated process, but there may be a high probability of incorrectly concluding that the process is seasonally integrated.
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Amor, Hadj, and Araj El. "Long term dynamic of real exchange rate, trade liberalization and financial integration: The case of south-east Mediterranean countries." Panoeconomicus 56, no. 1 (2009): 73–93. http://dx.doi.org/10.2298/pan0901073a.
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The purpose of this paper is to estimate the effects of the trade liberalization and of the international financial integration on the long-term behavior of Real Exchange Rate (RER) for the South East Mediterranean countries. So the following question: how does the new trade and financial context affect the Equilibrium RER? We refer to the econometric technique of time series analysis, (the unit root tests of Dickey-Fuller (1979) and we apply the cointegration test of Engle and Granger (1987) of single equation for six South East Mediterranean countries (Algeria, Egypt, Lebanon, Morocco, Tunisia and Turkey) over the period of 1979-2004. Our estimates suggest that, for the six countries, long-term RER behavior depends essentially on economic specificity of each country and in particular on their degree of financial integration and trade opening. Our results also show that the evolution of the RER misalignment during our sample period, seem to be for some countries persistant and recurrent, but with decrease.
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GHARNIT, SAID, Mohamed Bouzahzah, and Jihad Ait Soussane. "Foreign direct investment and pollution havens: evidence from African countries." Archives of Business Research 7, no. 12 (January 3, 2020): 244–52. http://dx.doi.org/10.14738/abr.712.7531.
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This study examines the relationship between foreign direct investment (FDI) inflows and carbon dioxide emissions (CE) in order to investigate the validity of the pollution haven hypothesis for 54 African countries, using cointegration approach with dynamic panel data over the period 1960-2018. Based on the panel cointegration analysis, it was concluded that the variables are cointegrated. Moreover, the Dynamic Ordinary Least Square (DOLS) and Fully Modified Ordinary Least Square (FMOLS) results showed that foreign direct investment inflows have a long-run positive relationship with carbon dioxide emissions. Furthermore, according to Granger-Engle causality test results, FDI inflows and carbon dioxide emissions have a positive causal relationship, for both short-run and long-run. Thus, the results of this study validate the pollution haven hypothesis in the African countries. Nevertheless, it is recommended to keep attracting foreign direct investment inflows alongside of implementing mechanisms and instruments for reducing the CO2 emissions under strong environmental policies.
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Syrovátka, Pavel. "Analysis of price interactions between Czech and world wheat markets." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 58, no. 6 (2010): 533–42. http://dx.doi.org/10.11118/actaun201058060533.
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The paper is focused on the analysis of the price interactions between the Czech and world markets for the wheat. The long-term interactions of the wheat market prices were tested by means of the co-integration analysis (Engle-Granger test). The dynamic autoregressive model developed by the author was used for evaluation of the short-term price interactions. Monthly time series of the market prices from January 1995 till April 2010 were obtained from the Czech Statistical Office and the International Monetary Fund. The results of the co-integration analysis showed, that the price dynamics in the world wheat market does not have a long-term impact on the level of prices in the Czech market for the given commodity. According to the constructed and statistically verified model, the short-term price interactions between the studied markets are not strong too. The value of the determination index (0.5063) implies other factors forming the price dynamics of the Czech wheat market.
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Shuaibu, Mohammed, and Mutiu Abimbola Oyinlola. "An Empirical Analysis of Nigeria’s Current Account Sustainability." Margin: The Journal of Applied Economic Research 11, no. 1 (February 2017): 54–76. http://dx.doi.org/10.1177/0973801016676015.
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This study reexamines the sustainability of the current account in Nigeria over four decades using time-series analysis on annual data from 1981 to 2013. We focus on two analytical distinctions to the inter-temporal budget constraint (IBC) hypothesis in relation to previous studies. First, we extend the standard bivariate approach to a multivariate framework that accounts for the roles of oil price variations and financial deepening, which have important implications for resource allocation. Second is the use of the Toda–Yamamoto modified Wald (MWALD)-based causality test that is also carried out to arbitrage between the results with and without a structural break. It employs both the conventional unit root test (augmented Dickey–Fuller [ADF] and Phillips–Perron [PP]) and the unit root test with a structural break (Perron, 2006; Zivot & Andrews, 1992). It also carries out the conventional residual-based cointegration test (Engle & Granger, 1987) and the residual-based cointegration test with a structural break (Gregory & Hansen, 1995). Findings suggest that there is current account sustainability in Nigeria and structural changes were not very potent during the period under consideration. This implies that the Nigerian economy complied with the IBC hypothesis, suggesting that exports could actually finance imports. JEL Classification: F30, F32
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Umar, H. S., S. I. Audu, and C. N. Okoye. "Long-run and short-run responses of agricultural sector growth to its determinants in Nigeria." Agro-Science 20, no. 1 (March 24, 2021): 46–50. http://dx.doi.org/10.4314/as.v20i1.8.
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The study examined the long-run and short-run responses of agricultural sector growth to its determinants in Nigeria using time series data (1981 2015). Dynamic Ordinary Least Square (DOLS) method was employed in the analysis of the data. Jarque-Bera Normality Test, Breusch-Godfrey serial correlation LM test, Engle Granger 2-Step Test for Co-Integration and CUSUM of Squares Test were used to test for normality, serial correlation and structural dynamic stability of the data. The trend of agricultural sector growth revealed that sustained growth of the sector has been experienced since 2001 up till 2015. The results revealed that agricultural sector growth was positively and significantly influenced by capital expenditure in the sector, which was proxy by Total Government Agricultural Expenditure (TGAE), in the long-run; while in the short-run, the sector growth was positively and significantly influenced by labour employment. It is therefore recommended that for sustained agricultural sector growth and development in the country, increased capital expenditure in the sector should be pursued with sustained vigour. Since agriculture sector shows immediate and significant response to employment, it should be made attractive to youth employment by provision of incentive. This would ensure dual gain of tackling unemployment problem in the country and ensure agricultural sector growth.
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Çiğdem, Gülgün. "A Paradox: An Empiric Approach to Inflation-Interest Rates Relationship: Evidence from Turkey." Research in Applied Economics 11, no. 3 (September 9, 2019): 49. http://dx.doi.org/10.5296/rae.v11i3.15171.
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In today’s world where the independence of central banks is questioned and the recessionary process is discussed, serious debates are experienced between economists and policy makers regarding the paradoxical relationship between two important macro-economic variables; Is inflation the cause of interest rate or is interest rate the cause of inflation? Determination of the causality and its direction is very crucial for the economies which are trying to extricate themselves from the high inflation – high interest rate spiral. The researchers searching for an answer to these discussions have conducted various analyses to test the validity of the Fisher Effect. In these analyses, inflation rate and nominal interest rate -as per the hypothesis- were considered as the variables. However, economic agents make their decisions depending on real values rather than nominal values. The purpose of this study is to provide a real and up-to-date approach to these debates which actually began in 1700s and have been ongoing in the triangle of financial markets-central banks-policy makers. For this purpose, the monthly averages regarding the 2011:01-2019:06 period of Turkey were calculated based on the Weighted Average Cost of Funding (WACF) daily data of The Central Bank of the Republic of Turkey (CBRT) and subjected to the cointegration analyses with the annual CPI figures. While Engle-Granger Test was used to test the long-term relationship, Granger Causality Test was performed to determine the relationship and its direction in the short term through VECM. As a result of the analysis, bilateral causality among variables was determined in the short term. In other words, inflation is a cause of interest rate and interest rate is a cause of inflation. This study makes a contribution to the literature since no study, which detected a bilateral correlation, has been found.