Abstract: Maternal health outcome is one of the major population development challenges in Sub-Saharan Africa. The region has the highest maternal mortality ratio, despite the progressive economic growth in the region during the global economic crisis. It has been hypothesized that increase in economic growth will reduce the level of maternal mortality. The purpose of this study is to investigate the existence of the negative relationship between health outcome proxy by maternal mortality ratio and economic growth in Sub-Saharan Africa. The study used the Pooled Mean Group estimator of ARDL Autoregressive Distributed Lag (ARDL) and the Kao test for cointegration to examine the short-run and long-run relationship between maternal mortality and economic growth. The results of the cointegration test showed the existence of a long-run relationship between the variables considered for the study. The long-run result of the Pooled Mean group estimates confirmed the hypothesis of an inverse relationship between maternal health outcome proxy by maternal mortality ratio and economic growth proxy by Gross Domestic Product (GDP) per capita. Thus increasing economic growth by investing in the health care systems to reduce pregnancy and childbirth complications will help reduce maternal mortality in the sub-region.
Abstract: This study examined cointegration and causal relationships between economic growth and regular domestic and international passenger air transport in Brazil. Total passengers embarked and disembarked were used as a proxy for air transport activity and gross domestic product (GDP) as a proxy for economic development. The test spanned the period from 2000 to 2015 for domestic passenger traffic and from 1995 to 2015 for international traffic. The results confirm the hypothesis that there is cointegration between passenger traffic series and economic development, showing a bi-directional Granger causal relationship between domestic traffic and economic development and unidirectional influence by economic growth on international passenger air transport demand. Variance decomposition of the series showed that domestic air transport was far more important than international transport to promoting economic development in Brazil.
Abstract: This paper examines the relationship between manufacturing growth and economic growth in South Africa using quarterly data ranging from 2001 to 2014. The paper employed the Johansen cointegration to test the Kaldor’s hypothesis. The Johansen cointegration results revealed that there is a long run relationship between GDP, manufacturing, service and employment. The Granger causality results revealed that there is a unidirectional causality running from manufacturing growth to GDP growth. The overall findings of the study confirm that Kaldor’s first law of growth is applicable in South African economy. Therefore, investment strategies and policies should be alignment towards promoting growth in the manufacturing sector in order to boost the economic growth of South Africa.
Abstract: This paper examines the Granger causal nexus between financial development and energy consumption in the group of 35 Financial Action Task Force (FATF) Countries over the period 1988-2012. The study uses two financial development indicators such as private sector credit and stock market capitalization and seven energy consumption indicators such as coal, oil, gas, electricity, hydro-electrical, nuclear and biomass. Using panel cointegration tests, the study finds that financial development and energy consumption are cointegrated, indicating the presence of a long-run relationship between the two. Using a panel vector error correction model (VECM), the study detects both bidirectional and unidirectional causality between financial development and energy consumption. The variation of this causality is due to the use of different proxies for both financial development and energy consumption. The policy implication of this study is that economic policies should recognize the differences in the financial development-energy consumption nexus in order to maintain sustainable development in the selected 35 FATF countries.
Abstract: The objective of this study is to examine the relative effectiveness of monetary and fiscal policy in Algeria using the econometric modelling techniques of cointegration and vector error correction modelling to analyse and draw policy inferences. The chosen variables of fiscal policy are government expenditure and net taxes on products, while the effect of monetary policy is presented by the inflation rate and the official exchange rate. From the results, we find that in the long-run, the impact of government expenditures is positive, while the effect of taxes is negative on growth. Additionally, we find that the inflation rate is found to have little effect on GDP per capita but the impact of the exchange rate is insignificant. We conclude that fiscal policy is more powerful then monetary policy in promoting economic growth in Algeria.
Abstract: This study investigates the relationship between external debt and military spending in case of India over the period of 1970–2012. In doing so, we have applied the structural break unit root tests to examine stationarity properties of the variables. The Auto-Regressive Distributed Lag (ARDL) bounds testing approach is used to test whether cointegration exists in presence of structural breaks stemming in the series. Our results indicate the cointegration among external debt, military spending, debt servicing, and economic growth. Moreover, military spending and debt servicing add in external debt. Economic growth helps in lowering external debt. The Vector Error Correction Model (VECM) analysis and Granger causality test reveal that military spending and economic growth cause external debt. The feedback effect also exists between external debt and debt servicing in case of India.
Abstract: This paper applies recursive cointegration analysis to
examine the dynamic changes in Feldstein-Horioka saving-investment
(S-I) coefficients across China and the ASEAN-5 countries over time.
To the extent that the S-I coefficients measure international capital
mobility, the main empirical results are as follows. The recursive trace
statistics show that the investment- savings nexus varies in these six
countries. There is no cointegration between investment and savings in
three countries (China, Malaysia, and Singapore), which means that
the mobility of the capital markets in the three is high and that
domestic investment in them will be financed by the global pool of
capital. As to the other three countries (Indonesia, Thailand, and
Philippines), there is cointegration between investment and savings for
part of the sample period in the three, including before 2002 for
Thailand, before 2001 for Indonesia, and before 2002 for Philippines.
This shows these three countries achieved highly mobile and open
capital markets later.
Abstract: Main purpose of this study is to identify the impact of
government expenditure on economic growth in Asian Countries.
Consequently, main objective is to analyze whether government
expenditure causes economic growth in Asian countries vice versa
and then scrutinizing long-run equilibrium relationship exists
between them. The study completely based on secondary data. The
methodology being quantitative that includes econometrical
techniques of cointegration, panel fixed effects model and granger
causality in the context of panel data of Asian countries; Singapore,
Malaysia, Thailand, South Korea, Japan, China, Sri Lanka, India and
Bhutan with 44 observations in each country, totaling to 396
observations from 1970 to 2013. The model used is the random
effects panel OLS model. As with the above methodology, the study
found the fascinating outcome. At first, empirical findings exhibit a
momentous positive impact of government expenditure on Gross
Domestic Production in Asian region. Secondly, government
expenditure and economic growth indicate a long-run relationship in
Asian countries. In conclusion, there is a unidirectional causality
from economic growth to government expenditure and government
expenditure to economic growth in Asian countries. Hence the study
is validated that it is in line with the Keynesian theory and Wagner’s
law as well. Consequently, it can be concluded that role of
government would play a vital role in economic growth of Asian
Countries. However; if government expenditure did not figure out
with the economy’s needs it might be considerably inspiration the
economy in a negative way so that society bears the costs.
Abstract: In developing countries, one of the most important
restrictions about the economic growth is the lack of national savings
which are supposed to finance the investments. In order to overcome
this restriction and achieve the higher rate of economic growth by
increasing the level of output, countries choose the external
borrowing. However, there is a dispute in the literature over the
correlation between external debt and economic growth. The aim of
this study is to examine the effects of external debt on Turkish
economic growth by using VAR analysis with the quarterly data over
the period of 2002:01-2014:04. In this respect, Johansen
Cointegration Test, Impulse- Response Function and Variance
Decomposition Tests will be used for analyses. Empirical findings
show that there is no cointegration in the long run.
Abstract: This study is carried out to provide an insight into the analysis of the impact of selected macro-economic variables on gross fixed capital formation in Libya using annual data over the period (1970-2010). The importance of this study comes from the ability to show the relative important factors that impact the Libyan gross fixed capital formation. This understanding would give indications to decision makers on which policy they must focus to stimulate the economy. An Autoregressive Distributed Lag (ARDL) modeling process is employed to investigate the impact of the Gross Domestic Product, Monetary Base and Trade Openness on Gross Fixed Capital Formation in Libya. The results of this study reveal that there is an equilibrium relationship between capital formation and its determinants. The results also indicate that GDP and trade openness largely explain the pattern of capital formation in Libya. The findings and recommendations provide vital information relevant for policy formulation and implementation aimed to improve capital formation in Libya.
Abstract: The study is aimed to test causal relationship between
growth and unemployment, using time series data for Pakistan from
1972 to 2006. Growth is considered to be a pathway to decrease the
level of unemployment. Unemployment is a social and political
issue. It is a phenomenon where human resources are wasted leading
to deacceleration in growth. Johanson Cointegration shows that there
is long run relationship between growth and unemployment. For
short run dynamics and causality, the study utilizes Vector Error
Correction Model (VECM). The results of VECM indicate that there
is short and long run causal relation between growth and
unemployment including capital, labor and human capital as
explanatory variables.
Abstract: This study employs auto-regressive distributed lag (ARDL) bounds approach to cointegration for long run and errorcorrection modeling (ECM) for short run analysis to examine the relationship between revenue gap and economic growth for Pakistan using annual time series data over the period 1980 to 2008. The short and long run results indicate that revenue gap is statistical significant and negatively effect economic growth. The significant and negative coefficient of error correction term in ECM indicates that after a shock, the long rum equilibrium will again converge towards equilibrium about 10.406 percent within a year.
Abstract: This study empirically examines the long run equilibrium relationship between South Africa’s exports and imports using quarterly data from 1985 to 2012. The theoretical framework used for the study is based on Johansen’s Maximum Likelihood cointegration technique which tests for both the existence and number of cointegration vectors that exists. The study finds that both the series are integrated of order one and are cointegrated. A statistically significant cointegrating relationship is found to exist between exports and imports. The study models this unique linear and lagged relationship using a Vector Error Correction Model (VECM). The findings of the study confirm the existence of a long run equilibrium relationship between exports and imports.
Abstract: In this paper real money demand function is analyzed
within multivariate time-series framework. Cointegration approach is
used (Johansen procedure) assuming interdependence between
money demand determinants, which are nonstationary variables. This
will help us to understand the behavior of money demand in Croatia,
revealing the significant influence between endogenous variables in
vector autoregrression system (VAR), i.e. vector error correction
model (VECM). Exogeneity of the explanatory variables is tested.
Long-run money demand function is estimated indicating slow speed
of adjustment of removing the disequilibrium. Empirical results
provide the evidence that real industrial production and exchange
rate explains the most variations of money demand in the long-run,
while interest rate is significant only in short-run.
Abstract: Tourism industry is an important sector in Malaysia economy and this motivates the examination of long-run relationships between tourist arrivals from three selected European countries in Malaysia and four possible determinants; relative prices, exchange rates, transportation cost and relative prices of substitute destination. The study utilizes data from January 1999 to September 2008 and employs standard econometric techniques that include unit root test and cointegration test. The estimated demand model indicates that depreciation of local currency and increases in prices at substitute destination have positive impact on tourist arrivals while increase in transportation cost has negative impact on tourist arrivals. In addition, the model suggests that higher rate of increase in local prices relative to prices at tourist country of origin may not deter tourists from coming to Malaysia
Abstract: The main purpose of this paper is to investigate thelong-run equilibrium and short-run dynamics of international housing prices when macroeconomic variables change. We apply the Pedroni’s, panel cointegration, using the unbalanced panel data analysis of 33 countries over the period from 1980Q1 to 2013Q1, to examine the relationships among house prices and macroeconomic variables. Our empirical results of panel data cointegration tests support the existence of a cointegration among these macroeconomic variables and house prices. Besides, the empirical results of panel DOLS further present that a 1% increase in economic activity, long-term interest rates, and construction costs cause house prices to respectively change 2.16%, -0.04%, and 0.22% in the long run.Furthermore, the increasing economic activity and the construction cost would cause strongerimpacts on the house prices for lower income countries than higher income countries.The results lead to the conclusion that policy of house prices growth can be regarded as economic growth for lower income countries. Finally, in America region, the coefficient of economic activity is the highest, which displays that increasing economic activity causes a faster rise in house prices there than in other regions. There are some special cases whereby the coefficients of interest rates are significantly positive in America and Asia regions.
Abstract: Co-integration models the long-term, equilibrium relationship of two or more related financial variables. Even if cointegration is found, in the short run, there may be deviations from the long run equilibrium relationship. The aim of this work is to forecast these deviations using neural networks and create a trading strategy based on them. A case study is used: co-integration residuals from Australian Bank Bill futures are forecast and traded using various exogenous input variables combined with neural networks. The choice of the optimal exogenous input variables chosen for each neural network, undertaken in previous work [1], is validated by comparing the forecasts and corresponding profitability of each, using a trading strategy.
Abstract: This paper fist examines three set of bivariate cointegrations between any two of current accounts, stock markets, and currency exchange markets in ten Asian countries. Furthermore, we examined the effect of country characters on this bivariate cointegration. Our findings suggest that for three sets of cointegration test, each sample country at least exists one cointegration. India consistently exhibited a bi-directional causal relationship between any two of three indicators. Unlike Pan et al. (2007) and Phylaktis and Ravazzolo (2005), we found that such cointegration is influenced by three characteristics: capital control; flexibility in foreign exchange rates; and the ratio of trade to GDP. These characteristics are the result of liberalization in each Asian country. This implies that liberalization policies are effective on improving the cointegration between any two of financial markets and current account for ten Asian countries.
Abstract: This study examines causal link between energy use and economic growth for five South Asian countries over period 1971-2006. Panel cointegration, ECM and FMOLS are applied for short and long run estimates. In short run unidirectional causality from per capita GDP to per capita energy consumption is found, but not vice versa. In long run one percent increase in per capita energy consumption tend to decrease 0.13 percent per capita GDP. i.e. Energy use discourage economic growth. This short and long run relationship indicate energy shortage crisis in South Asia due to increased energy use coupled with insufficient energy supply. Beside this long run estimated coefficient of error term suggest that short term adjustment to equilibrium are driven by adjustment back to long run equilibrium. Moreover, per capita energy consumption is responsive to adjustment back to equilibrium and it takes 59 years approximately. It specifies long run feedback between both variables.
Abstract: This paper focuses on sovereign credit risk meaning a
hot topic related to the current Eurozone crisis. In the light of the
recent financial crisis, market perception of the creditworthiness of
individual sovereigns has changed significantly. Before the outbreak
of the financial crisis, market participants did not differentiate
between credit risk born by individual states despite different levels
of public indebtedness. In the proceeding of the financial crisis, the
market participants became aware of the worsening fiscal situation in
the European countries and started to discriminate among
government issuers. Concerns about the increasing sovereign risk
were reflected in surging sovereign risk premium. The main of this
paper is to shed light on the characteristics of the sovereign risk with
the special attention paid to the mutual relation between credit spread
and the CDS premium as the main measures of the sovereign risk
premium.