Abstract: The concurrent era is characterised by strengthened interactions among financial markets and increased capital mobility globally. In this frames we examine the effects the international financial integration process has on the European bond markets. We perform a comparative study of the interactions of the European and international bond markets and exploit Cointegration analysis results on the elimination of stochastic trends and the decomposition of the underlying long run equilibria and short run causal relations. Our investigation provides evidence on the relation between the European integration process and that of globalisation, viewed through the bond markets- sector. Additionally the structural formulation applied, offers significant implications of the findings. All in all our analysis offers a number of answers on crucial queries towards the European bond markets integration process.
Abstract: This paper examines whether or not immigration has a positive influence on the duration of unemployment, in a macroeconomic perspective. We analyse also whether the degree of labor market integration can influence migration. The integration of immigrants into the labor market is a recurrence theme in the work on the economic consequences of immigration. However, to our knowledge, no researchers have studied the impact of immigration on unemployment duration, and vice versa. With two methodology of research (panel estimations (OLS and 2SLS) and panel cointegration techniques), we show that migration seems to influence positively the short-term unemployment and negatively long-term unemployment, for 14 OECD destination countries. In addition, immigration seems to be conditioned by the structural and institutional characteristics of the labour market.
Abstract: The study investigates the causal link between trade
openness and economic growth for four South Asian countries for
period 1972-1985 and 1986-2007 to examine the scenario before and
after the implementation of SAARC. Panel cointegration and
FMOLS techniques are employed for short run and long run
estimates. In 1972-85 short run unidirectional causality from GDP to
openness is found whereas, in 1986-2007 there exists bi-directional
causality between GDP and openness. The long run elasticity
magnitude between GDP and openness contains negative sign in
1972-85 which shows that there exists long run negative relationship.
While in time period 1986-2007 the elasticity magnitude has positive
sign that indicates positive causation between GDP and openness. So
it can be concluded that after the implementation of SAARC overall
situation of selected countries got better. Also long run coefficient of
error term suggests that short term equilibrium adjustments are driven
by adjustment back to long run equilibrium.
Abstract: The objective of this study is to examine the validity of Wagner-s law and relationship between economic growth, population and export for Pakistan. The ARDL Bounds cointegration and ECM are utilized for long and short run equilibrium for the period of 1972-2007. Population has considerable role in an economy and exports are the main source to raise the GDP. With the increase in GDP, the government expenditures may or may not increase. The empirical results indicate that the Wagner-s Law does hold, as economic growth is significantly and positively correlated with government expenditures. However, population and exports have also significant and positive impact on government expenditures both in short and long run. 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 70.82 percent within a year.
Abstract: Availability and mobilization of revenue is the main
essential with which an economy is managed and run. While
planning or while making the budgets nations set revenue targets to
be achieved. But later when the accounts are closed the actual
collections of revenue through taxes or even the non-tax revenue
collection would invariably be different as compared to the initial
estimates and targets set to be achieved. This revenue-gap distorts the
whole system and the economy disturbing all the major macroeconomic
indicators. This study is aimed to find out short and long
term impact of revenue gap on budget deficit, debt burden and
economic growth on the economy of Pakistan. For this purpose the
study uses autoregressive distributed lag approach to cointegration
and error correction mechanism on three different models for the
period 1980 to 2009. The empirical results show that revenue gap has
a short and long run relationship with economic growth and budget
deficit. However, revenue gap has no impact on debt burden.
Abstract: This paper is to explore the relationship and the level
of stock market integration of the Asian countries, primarily
concentrating on Malaysia, Thailand, Indonesia, and South Korea,
with the world from January 1997 to December 2009. The degree of
short-run and long-run stock market integration of those Asian
countries are analyzed in order to determine the significance of series
of regional and world financial crises, liberalization policies and
other financial reforms in influencing the level of stock market
integration. To test for cointegration, this paper applies coefficient
correlation, univariate regression analyses, cointegration tests, and
vector autoregressive models (VAR) by using the four Asian stock
markets main indices and the MSCI World index. The empirical
findings from this work reveal that there is no long-run stock market
integration for the four countries and the world market. However,
there is short run integration.
Abstract: In this paper bi-annual time series data on unemployment rates (from the Labour Force Survey) are expanded to quarterly rates and linked to quarterly unemployment rates (from the Quarterly Labour Force Survey). The resultant linked series and the consumer price index (CPI) series are examined using Johansen’s cointegration approach and vector error correction modeling. The study finds that both the series are integrated of order one and are cointegrated. A statistically significant co-integrating relationship is found to exist between the time series of unemployment rates and the CPI. Given this significant relationship, the study models this relationship using Vector Error Correction Models (VECM), one with a restriction on the deterministic term and the other with no restriction.
A formal statistical confirmation of the existence of a unique linear and lagged relationship between inflation and unemployment for the period between September 2000 and June 2011 is presented. For the given period, the CPI was found to be an unbiased predictor of the unemployment rate. This relationship can be explored further for the development of appropriate forecasting models incorporating other study variables.
Abstract: This study examines the relationships between foreign
aid, levels of schooling and democracy for Pakistan using the ARDL
cointegration approach. The results of study provide strong evidence
for fairly robust long run as well as short run relationships among
these variables for the period 1973-2008. The results state that
foreign aid and primary school enrollments have negative impact on
democracy index and high school enrollments have positive impact
on democracy index in Pakistan. The study suggests for promotion of
education levels and relies on local resources instead of foreign aid
for a good quality of political institutions in Pakistan.
Abstract: The interrelationship between international stock
markets has been a key study area among the financial market
researchers for international portfolio management and risk
measurement. The characteristics of security returns and their
dynamics play a vital role in the financial market theory. This study
is an attempt to find out the dynamic linkages among the equity
market of USA and emerging markets of Pakistan and India using
daily data covering the period of January 2003–December 2009. The
study utilizes Johansen (Journal of Economic Dynamics and Control,
12, 1988) and Johansen and Juselius (Oxford Bulletin of Economics
and Statistics, 52, 1990) cointegration procedure for long run
relationship and Granger-causality tests based on Toda and
Yamamoto (Journal of Econometrics, 66, 1995) methodology.
No cointegration was found among stock markets of USA, Pakistan
and India, while Granger-causality test showed the evidence of
unidirectional causality running from New York stock exchange to
Bombay and Karachi stock exchanges.
Abstract: A free-trade agreement is found to increase Thailand-s
agricultural imports from New Zealand, despite the short span of
time for which the agreement has been operational. The finding is
described by autoregressive estimates that correct for possible unit
roots in the data. The agreement-s effect upon imports is also
estimated while considering an error-correction model of imports
against gross domestic product.