Abstract: This study evaluated the effect of exchange rate volatility on the manufacturing sector of Nigeria. The flow and stock market theories of exchange rate determination was adopted considering macroeconomic determinants such as balance of trade, trade openness, and net international investment. Furthermore, the influence of changes in parallel exchange rate, official exchange rate and real effective exchange rate was modeled on the manufacturing sector output. Vector autoregression techniques and vector error correction mechanism were adopted to explore the macroeconomic determinants of exchange rate fluctuation in Nigeria and to examine the influence of exchange rate volatility on the manufacturing sector output in Nigeria. The exchange rate showed an unstable and volatile movement in Nigeria. Official exchange rate significantly impacted on the manufacturing sector of Nigeria and shock to previous manufacturing sector output caused 60.76% of the fluctuation in the manufacturing sector output in Nigeria. Trade balance, trade openness and net international investments did not significantly determine exchange rate in Nigeria. However, own shock accounted for about 95% of the variation of exchange rate fluctuation in the short-run and long-run. Among other macroeconomic variables, net international investment accounted for about 2.85% variation of the real effective exchange rate fluctuation in the short-run and in the long-run. Monetary authorities should maintain stability of the exchange rates through proper management so as to encourage local production and government should formulate and implement policies that will develop other sectors of the economy as this will widen the country’s revenue base, reduce our over reliance on oil sector for our foreign exchange earnings and in turn reduce the shocks on our domestic economy.
Abstract: The purpose of this paper is to investigate the relationship among the key macroeconomic variables and Islamic stock market in India. This study is based on the time series data of financial years 2009-2015 to explore the consistency of relationship between macroeconomic variables and Shariah Indices. The ADF (Augmented Dickey–Fuller Test Statistic) and PP (Phillips–Perron Test Statistic) tests are employed to check stationarity of the data. The study depicts the long run relationship between Shariah indices and macroeconomic variables by using the Johansen Co-integration test. BSE Shariah and Nifty Shariah have uni-direct Granger causality. The outcome of VECM is significantly confirming the applicability of best fitted model. Thus, Islamic stock indices are proficiently working for the development of Indian economy. It suggests that by keeping eyes on Islamic stock market which will be more interactive in the future with other macroeconomic variables.
Abstract: In this study, attempt has been made to investigate the
relationship specifically the causal relation between fund unit prices
of Islamic equity unit trust fund which measure by fund NAV and the
selected macro-economic variables of Malaysian economy by using
VECM causality test and Granger causality test. Monthly data has
been used from Jan, 2006 to Dec, 2012 for all the variables. The
findings of the study showed that industrial production index,
political election and financial crisis are the only variables having
unidirectional causal relationship with fund unit price. However the
global oil price is having bidirectional causality with fund NAV.
Thus, it is concluded that the equity unit trust fund industry in
Malaysia is an inefficient market with respect to the industrial
production index, global oil prices, political election and financial
crisis. However the market is approaching towards informational
efficiency at least with respect to four macroeconomic variables,
treasury bill rate, money supply, foreign exchange rate, and
corruption index.
Abstract: As the Malaysian residential electricity consumption continued to increase rapidly, effective energy policies, which address factors affecting residential electricity consumption, is urgently needed. This study attempts to investigate the relationship between residential electricity consumption (EC), real disposable income (Y), price of electricity (Pe) and population (Po) in Malaysia for 1978-2011 period. Unlike previous studies on Malaysia, the current study focuses on the residential sector, a sector that is important for the contemplation of energy policy. The Phillips-Perron (P-P) unit root test is employed to infer the stationarity of each variable while the bound test is executed to determine the existence of co-integration relationship among the variables, modelled in an Autoregressive Distributed Lag (ARDL) framework. The CUSUM and CUSUM of squares tests are applied to ensure the stability of the model. The results suggest the existence of long-run equilibrium relationship and bidirectional Granger causality between EC and the macroeconomic variables. The empirical findings will help policy makers of Malaysia in developing new monitoring standards of energy consumption. As it is the major contributing factor in economic growth and CO2 emission, there is a need for more proper planning in Malaysia to attain future targets in order to cut emissions.
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: In this paper we propose and examine an Adaptive
Neuro-Fuzzy Inference System (ANFIS) in Smoothing Transition
Autoregressive (STAR) modeling. Because STAR models follow
fuzzy logic approach, in the non-linear part fuzzy rules can be
incorporated or other training or computational methods can be
applied as the error backpropagation algorithm instead to nonlinear
squares. Furthermore, additional fuzzy membership functions can be
examined, beside the logistic and exponential, like the triangle,
Gaussian and Generalized Bell functions among others. We examine
two macroeconomic variables of US economy, the inflation rate and
the 6-monthly treasury bills interest rates.
Abstract: In this paper we apply an Adaptive Network-Based
Fuzzy Inference System (ANFIS) with one input, the dependent
variable with one lag, for the forecasting of four macroeconomic
variables of US economy, the Gross Domestic Product, the inflation
rate, six monthly treasury bills interest rates and unemployment rate.
We compare the forecasting performance of ANFIS with those of the
widely used linear autoregressive and nonlinear smoothing transition
autoregressive (STAR) models. The results are greatly in favour of
ANFIS indicating that is an effective tool for macroeconomic
forecasting used in academic research and in research and application
by the governmental and other institutions
Abstract: In this paper we present, propose and examine
additional membership functions for the Smoothing Transition
Autoregressive (STAR) models. More specifically, we present the
tangent hyperbolic, Gaussian and Generalized bell functions.
Because Smoothing Transition Autoregressive (STAR) models
follow fuzzy logic approach, more fuzzy membership functions
should be tested. Furthermore, fuzzy rules can be incorporated or
other training or computational methods can be applied as the error
backpropagation or genetic algorithm instead to nonlinear squares.
We examine two macroeconomic variables of US economy, the
inflation rate and the 6-monthly treasury bills interest rates.
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.