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This study aims to test hypothesis of Environmental Kuznets Curve (EKC) in Algeria using the Autoregressive Distributed Lag (ARDL) bounds testing methodology. The objectives include examining the long-term relationship between economic growth and CO2 emissions, investigating the impact of structural breaks on this relationship’s stability, and offering policy recommendations informed by the findings. The research utilizes annual data related CO2 emissions and GDP per capita from 1962 to 2014 in Algeria. The data are analyzed through the ARDL bounds test to ascertain the existence of a long-term equilibrium relationship. The study incorporates structural breaks to account for potential changes in the economic-environmental relationship over time. The findings confirm the presence of an EKC pattern in Algeria, showing a reverse U-shaped nexus between economic growth and CO2 emissions. The Inclusion of structural breaks in the analysis led to the stability of the model compared to the case of their absence that led to a variability in the model coefficients. Thus, it provides a more accurate and reliable understanding of this relationship. The threshold at which economic growth starts to decrease CO2 emissions, is identified at a GDP per capita of approximately $4125.58 (constant 2010 $), which Algeria reached in 2005. Furthermore, if disequilibrium between CO2 emissions and economic growth is occurred due to a possible short-term shock, the return toward the steady state requires three years approximately. While the results validate the EKC hypothesis for Algeria, the paper is limited to the period from 1962 to 2014 and may not capture more recent economic and environmental changes. Furthermore, the study aims to enrich the EKC literature in Algeria, which is characterized by scarcity, by using the recent ARDL bounds test methodology and addressing basic assumptions that were violated in previous studies. This study highlights the importance of considering structural breaks in environmental- economic analyses to avoid biased estimations and incorrect policy recommendations. Future research should explore additional determinants of CO2 emissions, such as biofuel use, advanced technologies, environmental awareness, urbanization, foreign direct investment, and employment. Policymakers should promote clean energy and sustainable economic practices to ensure continued environmental improvements alongside economic growth.

The aim of this study is to investigate and evaluate the impact of public spending on inflation in Algeria from 1973 to 2022. The data used are obtained from the official website of world Bank (WDI) and the Finance Ministry of Algeria. This study is conducted by applying the Auto-Regressive Distributed Lag model (ARDL)-(bounds testing approach) using eviews13 software. The time series of the data were subjected to statistical tests by applying the Augmented Dickey-Fuller (ADF) test. The cointegration tests were also applied for a common relationship and the Model Stability: The Bounds Test for confirming the existence of a stable long-term relationship, the Breusch-Godfrey serial correlation LM test to test the absence of serial correlation, Test Breusch-Pagan-Godfrey to test the Heteroskedasticity; and the CUSUM and CUSUM Squares test for the stability of the model as well as the estimation of the model’s short- and long-term parameters. The results obtained confirm the hypothesis posed in the introduction on the existence of a cointegration relationship between public expenditure and inflation the indicate that there exists a cointegration relationship between public expenditure and inflation, such that a 1% increase in public spending leads to a 0.23% rise in the inflation rate. It is important to mention that this percentage is relatively low compared to the short term, having reached 2%. As regards the other control variables, we found a positive and statistically significant correlation between the inflation rate and the percentage of broad money to GDP and the percentage of imports to GDP. However, we found an inverse relationship between the inflation rate and GDP per capita at constant 2015 prices, which serves as a measure of inverse economic growth. Based on these results, we can suggest Moving forward, policymakers in Algeria must prioritize measures aimed at curbing inflation while ensuring sustainable economic growth. This may involve reassessing public spending priorities, implementing effective monetary policies, and enhancing fiscal discipline. Furthermore, fostering economic diversification and promoting investment in sectors with high growth potential can contribute to reducing reliance on public expenditure as a driver of inflation.

Despite the importance of financial development-international trade nexus and its implication for growth, studies have yet to look at the impact of new financial development indicators developed by the International Monetary Fund on international trade performance in Nigeria. This is one of the few attempts made to examine the elasticity of trade to financial development, given the inconclusive findings that permeate the literature. Therefore, this paper investigates the effect of financial development on aggregate trade performance in Nigeria using annual data from 1980 to 2021. The empirical framework is based on the ARDL approach to cointegration and error correction model. The findings revealed that (i) The ARDL bound test revealed the existence of a long-run equilibrium association between the variables; (ii) We find that a unit improvement in financial development induces a 1.1%-1.2% increase in trade performance in the short-run short term and a 9.7% in the long-run; (iii) The results show that a 1% increase in the exchange rate (depreciation) leads to a 0.01% improvement in trade performance in the short-term. The findings have important policy implications. The paper concludes that financial development contributes to trade performance.

Policymakers and academics are interested in identifying mechanisms that promote environmental sustainability due to their relationship with climate change. This research evaluates the channels that transmit the effect of technology and financial efficiency on environmental quality. The relationship is moderated by real production per capita, foreign direct investment, natural resource rents, and institutional quality in the context of the Environmental Kuznets Curve. The research covers the 1996–2021 period for a sample of 88 economies classified into three groups according to the World Bank Atlas Method. We use second-generation cointegration techniques with structural breaks and quantile regression models. The findings offer sufficient evidence to conclude that the impact of technology and financial efficiency on environmental quality is heterogeneous throughout the distribution. Our findings suggest that technology is more associated with maximizing production than mitigating or restoring environmental deterioration. A policy implication derived from our research is to encourage the generation of carbon-free technology and promote financial efficiency in upper-middle-income countries to achieve environmental sustainability.

The present study focuses on evaluating the validity of the Relative Purchasing Power Parity (RPPP) theory for India and its four major trading partner nations namely the United States, China, the United Arab Emirates, and Saudi Arabia using monthly time series spanning January 2001 to March 2021. For the purpose of empirical analysis, standard Augmented Dickey Fuller (ADF) and Phillips-Perron (PP) unit root tests, as well as the Johansen-Juselius cointegration technique, have been applied. Firstly, the stationarity of the real exchange rate has been investigated using standard unit root tests. The findings indicate that each country’s real exchange rate is nonstationary signifying the absence of strong PPP. Thereafter, the weak form of PPP was tested in the second stage using the Johansen cointegration test. The findings of the cointegration test confirm the presence of a long-run relationship among bilateral exchange rates, domestic price levels, and foreign price levels for all countries undertaken except for the UAE. Since three economies from among the total four trading partners’ country-pair support the existence of PPP, it can be said that PPP holds for the Indian rupee exchange rate for the economies so considered. The study further signals that India’s trade with the UAE could lead to arbitrage opportunities.

This paper revisits the ambiguous effect of financial development on income inequality in emerging countries by investigating the presence of cointegration between concepts in Romania. Since financial deepening seems to be beneficial in the income-disparities fight in advanced countries, opposite findings are found in the case of less developed or transition ones. Therefore, we employ a time-series model that accounts for inequality, financial deepening and economic growth as the main variables spanning more than 30 years of Romanian history. On average, a higher degree of financial development harms income distribution in the long term, while economic productivity manifests a non-significant influence on inequality. These outcomes are robust to other novel measures of finance that account for the global dimension of financial development: financial institutions, markets and private sector credits. To control for the potential bias of inequality’s transmission channels, we include a proxy for inflation in our specification. By capturing the impact of financial expansion on inequality in the presence of inflationary pressure, our results reflect the sensitivity of the low-income groups to this phenomenon. In this regard, policymakers should pay attention to inflation-targeting strategies to support the condition of poor individuals who often cannot take advantage of the benefits of financial development.

Historically, Brazil has always stood out in exports of commodities, especially the agricultural ones. Currently, among the commodities exported by the country, stand out the products of the soy complex, (soybean, soymeal and oil). Given the tax structure of the country, there is a predominance in soybean exports. This work initially presents an overview of the international soybean market, involving production, export, import and crushing of this commodity. Also, data on soybean production, area and productivity in Brazil by regions are presented. Next, the issue of logistics for soybean exports is addressed, and the routes for soybean exports were mapped and the Decomposition Method X13-ARIMA-SEATS was applied to remove the seasonality from the series of road freight and heavy vehicle flows on the highways of São Paulo and Paraná. Finally, an Engle- Granger cointegration model was estimated to estimate the long-term elasticities between the value of road freight and international oil and soybean prices.

Purpose: Academics, policymakers, regulators and other stakeholders have expressed interest in the relationship between inclusive financial systems and financial stability so as to ensure sustainable development. However, results of prior studies on the interactions between financial inclusion and financial stability have yielded mixed results across countries and regions. Herein, we examined causality between financial inclusion and stability of the financial sector in twenty-four Sub-Saharan African (SSA) economies, using data spanning 2000 to 2019, to address gaps in the existing literature. Design/Methodology/Approach: We used a principal component analysis to develop a composite financial inclusion index. Thereafter, we evaluated the data’s stationarity properties using various unit root tests. Lastly, we applied ARDL to analyse the short and long-run cointegrating relationships between financial inclusion and financial stability, and confirmed causality of the two factors using Granger testing. Findings: This study established a significant long-run relationship and bidirectional causality between financial inclusion and financial stability, thus implying complementarity. Therefore, governments and oversight bodies should account for the synergy between an inclusive financial sector and financial stability when formulating financial and macroeconomic policies and regulations in the SSA countries. Implications/Originality/Value: We underscore the importance of financial market stability in fostering financial inclusion of all members of society, particularly during periods of crisis.

The informal sector is characterized by limited relations with the tax authorities, which reduces the tax base. As a result, governments are forced to resort to other sources of financing, including public debt policy. This study provides an opportunity to analyze the relationship between the development of informal activities, changes in the general price level, and tax revenues in the case of Côte d’Ivoire. To this end, we empirically address this issue with the help of a linear econometric time series model over the period 1987-2020, using cointegration techniques. On the basis of the prediction of the linear model, the empirical results reveal that the Ivorian state would be rational if the policy of financing the economy were based on increasing the general price level to the detriment of taxes because of the extent of the development of informal activities. In addition, the Ganger causality test shows two significant unidirectional causalities. One from the informal sector to tax revenues and the other from price increases to tax revenues.

Abstract Sustainable economic growth and environmental degradation are two concerns confronting humanity. Saudi Arabia has seen a dramatic rise in its atmospheric carbon emissions during the last three decades. From 1995 to 2020, this research uses the decoupling index and vector error correction model technique to reveal the variables influencing CO2 emissions in Saudi Arabia. This research aims to empirically analyze the causal factors that link carbon emissions, energy use, economic growth, and internet usage. The big priority of this research is to use various techniques and methodologies to examine the cointegration and long- and short-run relationships between macroeconomic variables and stock price. According to the augmented Dickey–Fuller unit root test results, the main series is stationary in the first difference but non-stationary at the level. According to Johansen’s cointegration study, both relations between the variables exist in the Kingdom of Saudi Arabia. The VEC model’s outcome shows that internet use significantly contributes to rising greenhouse gas emissions. When creating strategies for economic growth to achieve sustainable development, policymakers must consider climate change. This may be accomplished by implementing a new policy to switch from conventional to renewable energy sources, emphasizing increased energy efficiency, or reorganizing the energy sector to influence the rise in greenhouse gas emissions.

The world has relied heavily on non-renewable sources in energy production for a long time. Although renewable energy investment is costly, especially for developing countries, the energy continuity provided by these sustainable sources can lower investment costs dramatically in the long run. Improvement of factors like economic growth and social welfare are believed to increase awareness of sustainable energy production. In this context, this paper examines the relationship between renewable energy production and the economic growth of Germany, and France, which are low energy-dependent countries, and Turkey, which is heavily dependent on external sources in terms of energy. The paper uses annual data between 1970-2018. The stationarity of variables was tested with methods developed by Zivot and Andrews (1992), and Enders and Lee (2012). Cointegration analysis with structural breaks developed by Gregory and Hansen (1996) was used to evaluate the relationship between variables. The results from the regime shift model indicate that structural reforms caused a significant regime shift in the relationship between energy production and economic growth in Germany and Turkey whereas the reforms did not lead to such a shift in France. The results of the causality analysis indicate a unidirectional causality from GDP to RN for Turkey and Germany.

This article examines the long-run equilibrium relationships between the Australian coking coal export and selected variables. Upon testing appropriate co-integration and vector errorcorrection models, we detected that the exchange rate of A$/US$, Australian coking coal price and world supply of coking coal have negative impact on Australian coking coal export in the long-run as well as short-run. On the other hand, world demand of coking coal and USA coking coal price have positive relationships with the Australian coking coal export in the long-run and short-run. All these relationships are statistically significant at the 1% level.

Background: Financial inclusion and its relationship with remittances has been widely an area of investigation among researchers. Aim: The study investigates the asymmetric effects of remittance inflows on financial inclusion (FI) in Jordan. Setting: Annual time series data (1990–2022) constitute 33 observations. Method: This study uses the nonlinear autoregressive distributed lag (NARDL) model. Results: The empirical evidence showed a long-run equilibrium relationship among the model’s variables. Furthermore, the standard Wald test provides evidence of the asymmetric long-run and short-run effects of remittance inflows on FI and, hence, the nonlinear relationship. Conclusion: The Jordanian government should promote efforts to simulate the inflow of remittances to the country. This study uncovered the vital relationship between FI and remittance inflows and its important role in enhancing financial sector development. Contirbution: This study contributes to the existing literature on the remittances-FI nexus. First, it uncovered the vital and important relationship between FI and remittance inflows, and its crucial role in enhancing financial sector development. Second, unlike previous studies that used linear ARDL or traditional estimation methods, it applied the NARDL approach to test for the existence of a nonlinear relationship between the model’s variables. Third, it suggests that policymakers in Jordan government should put effort into stimulating the inflow of remittances to promote FI and, hence, economic growth and development.

AbstractDespite the generally swift economic growth in the Arab Gulf countries, they still face a national problem with the unemployment of nationals. Given the relatively large inflow of foreign labor across these countries, it is essential to study the association between foreign labor and economic growth in the short and long terms. This paper examines the relationship between economic growth and demand for labor in Oman, considering separately skilled and unskilled labor as well as hydrocarbon GDP and nonhydrocarbon GDP. Additionally, the study conducts formal tests to determine the direction of short-term and long-term Granger causality among all variables, at both aggregated and disaggregated levels. A total of 18 Auto-Regressive Distributed Lag (ARDL) models are applied to examine these relationships. In the long term, results indicate that both skilled and unskilled labor have a positive effect on GDP. However, these relationships are negative in the short term due to adjustment to a new country and productivity reasons. Moreover, it is found that once economic conditions flourish, there is an increased demand for skilled and unskilled expatriate labor. When looking at non-oil activities, a positive relationship between nonhydrocarbon GDP and total expatriate labor is evident. Specifically, the relationships between nonhydrocarbon GDP and unskilled expatriate labor are highly significant indicating a bidirectional relationship. Ultimately, such verdicts provide an insightful guide to policymakers in Oman and the Arab Gulf countries on labor market correlations and dynamics so as to initiate effective labor market reforms and promote jobs for nationals.

AbstractOwing to the significant role of financial sector reforms in economic growth, several studies have examined its transmission channels. This paper focuses on the stock market channel by investigating the impact of financial sector reforms on stock market growth in Ghana from 1990 to 2019. A multidimensional index was constructed to measure the financial sector reforms. Employing fully modified least squares (FMOLS) and error-correction models, the findings reveal that financial sector reforms promote stock market growth in Ghana in the long run. By disaggregating the financial sector reforms, the findings reveal that competitive reform has the highest impact followed by behavioural and privatisation reforms respectively. Finally, the findings reveal a bi-causal relationship between financial sector reforms and stock market growth. The paper thus implores the Securities and Exchange Commission (SEC) to reinforce its supervisory role, policy implementation, and investor protection laws to ensure greater compliance with the reforms. In addition, macroeconomic policies that are helpful to the growth of the capital market must be deepened to stimulate expected growth in the Ghanaian stock market.

Broiler chicken eggs are one of the main and strategic foods for the people of Indonesia and contribute to regional and national inflation. Broiler egg production in Indonesia differs between regions. Areas with a surplus of eggs tend to have lower prices than areas with a deficit. This research is to measure the transmission of broiler egg prices between markets in surplus and deficit areas, using weekly price time series data for the period January 2018-December 2021. Areas of surplus broiler eggs, East Java Province (the highest broiler egg production in Indonesia) which become one of the main suppliers to the Province of East Nusa Tenggara as a deficit area. Using the Johannsen cointegration test it is found that there is no cointegration or there is no relationship between the surplus and deficit regions in the long term but not in the short term. Factors of marketing infrastructure, market information systems, and geographical conditions can be obstacles to the absence of cointegration. The VAR (Vector Auto-Regressive) Vector Error Correction model (VECM) test, found that price transmission occurred between surplus and deficit areas, meaning that between the two regions, there was market integration prior to Covid. The transmission has weakened, and due to the Covid situation, there have been restrictions on the movement of people and goods. The government and other market players need to study the response of the broiler egg market, in the short and long term so that market players can make the right policies.

Abstract A way of reducing global warming and tackling Ghana’s energy sector crisis, known as Dumsor, is through renewable energy usage. Nevertheless, the advancement of the renewable energy industry is contingent on economic growth, the availability of financial resources, and energy prices. The paper explores the long-run impact of financial development on renewable energy consumption while controlling for energy prices and economic growth. Consistent with the aim of the paper, the ARDL bounds testing, Bayer-Hank, Gregory and Hansen cointegration, VECM, FMOLS, CCR and DOLS tests are employed. The empirical analysis supports cointegration between variables. Moreover, the findings indicated that financial development drives renewable energy use in Ghana, whereas energy costs and economic growth have a negative effect. This study offers a substantial addition to renewable energy literature and paves the way for policymakers to pursue alternative energy sources to help satiate the nation’s growing energy needs.

In the study, the impact of five macroeconomic factors on the capital market of the Republic of Serbia was explored. The focus was on factors that have been identified as significant for the development of the capital market but with differing opinions regarding their direction of influence. Specifically, the focus was on GDP, inflation, money supply, interest rate, and exchange rate. The research results indicate that the Belex15 index does not show long-term cointegration with GDP, IPC (inflation), and M3 (money supply). However, there is a significant influence of previous interest rate values and the exchange rate on the capital market of the Republic of Serbia. More precisely, there is a positive impact on interest rates and a negative impact on the exchange rate.

This paper is aimed at examining the fact whether foreign direct investment (FDI) and exports do contribute to economic growth in the thirteen European Union (EU) new member states (namely Bulgaria, Croatia, Cyprus, Czech, Estonia, Hungary, Latvia, Lithuania, Malta, Poland, Romania, Slovakia, Slovenia) during the period from 2005 to 2020 or not. Various statistical tests were performed in order to examine the relationship and causality among the three observed series, including unit-root tests, the Kao and Pedroni cointegration tests, and finally the modified causality test. The obtained results are mixed. Although cointegration was established between FDI, exports and growth, the estimation of the long-term coefficients varied to such an extent that only ambiguous conclusions about the effect of FDI and exports on the growth of the real gross domestic product (GDP) could be reached. The research results imply the fact that positive effects of FDI and exports are neither automatic nor equal in all the countries, but the same rather depend on the many factors and conditions that the governments of the selected states should consider when designing policy measures for attracting FDI and promoting exports.

This paper examines the impact of the selected factors on the real exports of goods and services in the several euro area (the eurozone) peripheral economies. There are five countries in the sample (Italy, Spain, Portugal, Ireland, and Greece). The time period from 2000 to 2019 is considered. The research is aimed at providing robust estimates of the long-term relationship between the real exports of these countries and the selected explanatory variables using panel data analysis. The coefficients of the cointegration export equation were estimated using the FMOLS and DOLS estimators. Using the FMOLS estimator, the estimated coefficient of the real effective exchange rate is negative (-0.80) and of the variable foreign demand is positive (2.25). The coefficient of the real effective exchange rate confirms the fact that, from the point of view of the eurozone peripheral members, the overestimated real value of the euro has a disincentive effect on their real exports. The estimated coefficient of foreign demand suggests that the real export of goods and services (volumes) of the eurozone peripheral members increases by 2.25% when the real Gross Domestic Product (GDP) of the EU increases by 1%. The real export elasticity of the eurozone periphery countries is higher for foreign demand (income elasticity) than for relative price changes (price elasticity). Reductions in wages and prices in peripheral countries have led to redistributive effects in favor of the core.

The topic of public debt sustainability is an important one, and the rapid increase of public debt for the E.U. countries following the Covid-19 pandemic raised the importance of this topic. In the article, we analyzed the way in which the economic growth and the public budget deficit influence the public debt for the E.U. states. A multifactor regression model based on panel data was used, and the result indicated that there is a valid relationship between these variables, and this suggests a certain form of sustainability of public finances and public debt for these states. Therefore, there is a negative relationship between economic growth and public debt and there is a positive relationship between public budget deficit and public debt.

We examine the impact of the COVID-19 pandemic on the interlinkages between the Indian stock market and some of the largest indices across the world. We compare the co-movements of these stock markets to identify the possibilities for international portfolio diversification. We use the Johansen cointegration technique and Vector Error Correction Mechanism to understand the nature of long-run and short-run cointegration. We also apply the Impulse Response Function to understand the time effects of the shock. The results of the Johansen cointegration test indicate that there is an increased level of cointegration among the stock market indices post the pandemic. Our results of VEC Block Exogeneity Wald Tests indicate that in the preCovid time, there were linkages between the stock markets of India and the U.K., Japan, and Hongkong. However, the post-pandemic results indicate the shock transmission effects from India to two very important European indices, i.e., the U.K. and Euronext stock exchanges, and to the stock market of Japan. We also observe transmission effects from the USA to India post-Covid period.

This paper aims to test the long-run and short-run relationships between the Indian and Chinese metal futures markets using the weekly closing prices of three nonferrous metals, that is, copper, aluminium, and zinc, for the period of 2009–2020. The empirical results show no cointegration for any of the three metals. The Granger causality test suggests a unidirectional relationship from India to China for copper futures and bidirectional causality for aluminium and zinc futures markets. This paper contributes to the literature by studying the relationship between the mentioned two emerging markets, which are top producers and consumers in commodities and have growing futures markets. The results have important implications for investors, portfolio makers, and policymakers of emerging economies.

This paper is driven by the importance of OPEC and the mixed literature about its behaviour. The aim is to understand the debated structure of OPEC and determine using econometric tools and applying market sharing models whether the organization behaves like a cartel or is wrongly accused of being so using the annual data for 2004-2019 period. Application of Herfindahl-Hirschman Index shows a shift in its behaviour from competitive to moderately concentrated marketplace from 2013. Crude oil output coordination of member nations with OPEC is established using cointegration test. Besides this, Granger causality test suggests that Iraq’s crude oil production causes price of oil which is further confirmed by applying market share model where Iraq acts as a price setter.

The purpose is to examine the long-term relationship & cointegration among gross domestic product (GDP), gross capital formation (GFC), and gross national savings (GNS) at the current price level in Oman. The study has taken secondary data from the last 10 years (2010–2021). The study design is longitudinal. The studies applied the correlogram test to check whether the series are stationary or not. and also, the Granger causality test to find the direction of the GDP, GFC, and GNS. This study further used the Eagle Granger residual-based cointegration test and DOLS approaches to identify the long-run cointegration between GDP and its independent variable. With the application of the correlogram test, it has been found that GDP and GFC are stationary at their current levels, whereas GNS is stationary at the first difference. The study reported that there is no significant relationship between saving, capital formation, and economic growth at current prices. However, the finding also that there is no long-run cointegration between GDP at current prices and GNS and GFC. As the study is based on the current price which affects nominal GDP, not real GDP. It has been suggested to increase the saving to achieve a constant growth rate.

In this article, the integration processes between Azerbaijan, Ukraine and Georgia are considered through the indicators of integratedness of Azerbaijan’s GDP and the trade turnover of this country with the other two. All the time series considered are non-stationary. Therefore, the construction of a model of correlation-regression analysis will lead to the obtainment of shifted estimates of the coefficients. So, there are problems of correct modeling of the corresponding time series, the components of which lead to a deviation from stationarity. The publication uses an econometric integration methodology for modeling the relationship between the non-stationary time series. The modeling correctly used econometric methods, all the necessary step-by-step statistical procedures to determine the order of integration of the non-stationary time series – to identify and evaluate the parameters of the model and to check its adequacy and accuracy of both the short-term and the long-term forecast values using the tools of Excel and the EViews 8 package. An analysis of empirical tests for their deviation from the trend was carried out. The speeds of elimination of the imbalance and the visible convergences of the corrective system from the equilibrium trajectory are determined. A dynamic model of the long-term equilibrium is built, allowing to qualitatively forecast the state of foreign trade integration of the three countries under consideration and analyze the openness of the Azerbaijani economy in the regional aspect. As a result of the constructed model, econometric substantiated recommendations have been developed that allow for a dynamic analysis of effective State regulation of export-import operations between these countries to balance mutual trade.

The imbalance between supply and demand of ornamental plants in the market cause fluctuations that lead to price volatility. This study aimed to analyze the price volatility of ornamental plants with high economic value, such as orchids, adenium, aglaonema, anthurium, and palm. This study also analyzed the long-term and short-term relationship between the production and prices of these ornamental plants. The data used were the productions and prices of orchid, adenium, aglaonema, anthurium, and palm at the producer level from 2012 to 2020 obtained from the Agriculture Office of Batu Municipality. Volatility analysis was carried out using the ARCH/GARCH method, the long-term relationship was analyzed using the Johansen cointegration test, and the short-term relationship was carried out using the Error Correction model. The results of volatility analysis showed that all the ornamental plants studied had low price volatility. In addition, the productions and prices of the ornamental plants were cointegrated in the long run, but only the orchid had a short-term relationship with an adjustment period of 2.6 months.

This article develops and tests a primary conceptual model of the direct effects of business environment on supply chain integration (SCI) and an alternative moderation model to better understand the role of the environment in developing integration and financial performance improvement. Structural equation modeling and moderated regression are used to analyze the survey data collected from manufacturing firms in China. The results reveal significant positive relationships between environmental dynamism and all three dimensions of SCI, and between environmental hostility and internal integration. The results also indicate that internal integration fully mediates the relationships between environmental hostility and both customer and supplier integration. Supplier integration is significantly and positively associated with financial performance, whereas internal and customer integration are not significantly associated with performance. Importantly, through the test of an alternative model, environmental hostility and environmental dynamism are shown to affect SCI directly, rather than moderating the SCI-performance relationship. This article provides useful guidelines for managers to develop integrated supply chains to improve the financial performance under dynamic and hostile environments. [ABSTRACT FROM AUTHOR]

Purpose – The purpose of this paper is to look at the contemporaneous movement of the stock market indices of the five most COVID-infected countries, namely, the USA, Brazil, Russia, India and UK after the first wave along with market indices of the three least affected countries, namely, Hong Kong, South Korea and New Zealand during the first wave. Design/methodology/approach – Data have been collected from the website of Yahoo finance on daily closing values of five indices. Augmented Dickey–Fuller test with its three forms has been applied to check the stationarity of the select five indices at the level and at the first difference before the pandemic, during the pandemic and post-first wave of the pandemic. Johansen cointegration test is applied to find out that there is no cointegration among the select five indices. Findings – The five countries do neither fall in the same economic and political zone nor do they have the same economic status. But during the period of pandemic and the new-normal period, the cointegration is very distinct. The developing and developed nations thus stood at an indifferentiable stage of the economic crisis which is well reflected in their stock markets. However, the least three COVID-affected countries do not show any cointegration during the pandemic time. Originality/value – The comovement even seen during the normal time in the other studies is not compared to a similar period in earlier years. But, in this study to look into the exclusive effect of COVID pandemic, the period most affected with it is compared with the period after it and that in the immediate past year had no effect.

Purpose – Transparent and fair price discovery is essential to commodity market participants in the trade value chain for competitive benefit. The purpose of this paper is to investigate the price discovery of Indian cardamom at e-auction, spot and futures markets in addition to the existence of the day of the week effect at e-auction apart from exploring a novel price risk management framework. Design/methodology/approach – This study used Johansen co-integration, vector error correction model, Granger causality and regression with dummy variables to understand a day of the week effect in high-value agri-commodity of cardamom e-auction prices. These price data were based on authenticated sources of Spices Board India and Multi Commodity Exchange of India Ltd. Findings – The statistical results indicate price discovery exists in the e-auction market and it leads to spot and futures prices. cardamom e-auction prices are negatively related to cardamom futures and positively related to spot prices. It also finds the non-existence of the day of the week effect in the high-value cardamom e-auction system in India. The study revealed that a cardamom e-auction is more active in price discovery than a cardamom futures contract. Research limitations/implications – These results shall facilitate policymakers to explore intervention of online forward market mechanism at the national level to ensure price discovery and market efficiency. However, the study did not explore reasons for the non-equilibrium of a cardamom futures contract with spot and e-auction market. Practical implications – The results of this study are useful in understanding the price discovery of cardamom e-auction and its role in the spot and futures market. Cardamom price discovery depends upon the e-auction system; any change of auction policy shall be binding on Indian cardamom prices. The introduction of an online forward market mechanism as described in the paper shall facilitate price risk management apart from improving the efficiency of price discovery. Originality/value – This is the first study considering cardamom e-auction, spot and futures prices in the price discovery process in India. Statistical results of a day of the week effect clearly show no significant volatility of cardamom prices during the week. Besides, this study did not find the role of cardamom futures contracts intended to serve the economic function of price discovery and price risk management. Hence, suggests policy intervention for implementing an online Forward Market mechanism for Indian cardamom to ensure market efficiency and manage price risk.

In this article, the authors carried out an empirical analysis of the validity of purchasing power parity (PPP) in Slovenia, Croatia, the Czech Republic, Slovakia and Austria. The results provide mixed support for PPP, which is typical for extransition economies. In the first phase of the empirical part of the research, the authors tested the stationarity of the real exchange rate in a logarithm, while in the second phase, the cointegration of nominal exchange rate, domestic and foreign price levels was tested.The Vector Error Correction Model (VECM) was used in the third phase to test if the signs of variables are in accordance with economics and econometrics theories, while in the final phase, restrictions were imposed for the symmetry and proportionality of coefficients. Slovenia is subject to limitations on the symmetry and proportionality of coefficients, which means the validity of both the absolute and relative versions of the PPP theory. Croatia is subject to a limitation on symmetry, but not to a limit on the proportionality of coefficients, which means the validity of the relative version of the PPP theory. In the case of the Czech Republic, Slovakia and Austria, restrictions on the symmetry and proportionality of the coefficients do not apply, which consequently constitutes an invalidity of both versions. However, to the authors’ knowledge, and taking into account Liu (1992), who states that it is more important to check the presence of co-integration than to check the symmetry and proportionality of the coefficients, since there is a cointegratation between the nominal exchange rate, foreign prices and domestic prices, the theory of PPP is valid for all the selected countries. The empirical results suggest that all the real exchange rate time series are stationary, additionally, cointegration exists among all the variables for all countries, and the signs of coefficients are statistically significant for all variables in all countries, however, the coefficient restrictions are only statistically significant in Slovenia and Croatia.

Abstract This study explains the effects of crude oil prices on copper and maize prices. Vector autoregressive and vector error correction models are used to study the relationship between oil prices and prices of copper and maize. The commodity price data used consist of average monthly prices of each of the commodities: crude oil, copper and maize for the months January 1982 to June 2021. For robustness, the analysis was also run on a sample of the same data for the period January 2000 to June 2021. A long-run relationship was found between crude oil and copper prices on the one hand and maize prices on the other for the 1982 to 2021 period at the 5% significance level. The same was not true for the shorter sample (2000 to 2021). Granger causality flowing from crude oil prices alone to copper and maize prices was not found. Recommendations that are useful for energy, mining, agriculture and general development policy and practice are made. The findings are also useful for bilateral and multilateral aid discussions. The limitations of the study and recommendations for future scholarship are also made.

The present study examined the presence of Environmental Kuznets Curve hypothesis in the context of India. The study employed the autoregressive distributed lag model over the period 1971 to 2016. The negative square of GDP indicates that the existence of the EKC hypothesis in India. This confirms that the negative sign of the square GDP coefficient suggests that the presence of the EKC hypothesis in India. The statistical significance of the error correction term ECTt-1 with an appropriate sign (-) is an indication of the speed of adjustment towards the long-run equilibrium after disequilibrium in the short run.

In Indonesia, poverty is still considered a serious problem, even though the number of poor people continues to decline significantly. The research aimed to investigate whether there was cointegration between the role of Small and Medium Enterprises (SMEs), economic growth, and poverty alleviation or not in Indonesia. Secondary data were compiled from annual data in 2000-2019. Data analysis applied the cointegration test and Vector Error Correction Model (VECM) test. The results show a one-way causality between poverty and economic growth, urbanization and economic growth, the role of SMEs and economic growth, and the role of SMEs and poverty. In addition, the results of the VECM analysis suggest that the role of SMEs has a positive effect on poverty in the first year. It means that it takes a year to find out the impact of the increasing role of SMEs on poverty at the later stage. The research has several implications for government, namely: (i) compiling work programs that touch the community directly and strengthen the development of local wisdom products, (ii) conducting more intense training, (iii) emphasizing on improving the quality and standards of local wisdom products, and (iv) building rural infrastructure that can facilitate the economic processes in the village.

This paper investigates the impacts of Central Bank Indicators on Bitcoin/TL prices as a Commodity by using the ARDL Bounds Test. In the article, monthly data between 2017:09 - 2019:12 is used. The Central Bank Indicators are explained by M2 money supply, one-month interest rates of bank deposits, one-week repo interest rate, 10-year government bond. In the paper, Bitcoin's prices are considered as a Commodity in TL. The stationary behavior of variables is investigated by using the ADF test and it is found that all the variables are stationary in first differences for the trend and constant model. But the price of Bitcoin in TL is stationary in level for the constant model. Thus, to discover the long-run relationship between variables, the ARDL test is applied. As a result of the ARDL test, it is found that there is a long-run relationship between all the Central Bank indicators and Bitcoin/TL prices. According to obtained results, while the M2 money supply and Turkey's 10-year government bonds (%) move together with Bitcoin prices; the one-week repo interest rate as a political rate, and one-month interest rates of the deposit move in opposite directions with Bitcoin prices in a long-run.

This paper investigates the joint impact of interest rate and exchange rate volatility on the performance of the informal sector in Nigeria, focusing on Small and Medium-sized Enterprises (SMEs). The annual time-series data on the exchange and interest rates for the period 1981-2018 were obtained from where exchange and interest rates volatility data were computed. The data analysis was carried out using descriptive statistics, correlation, a unit root test, an Autoregressive Distributed Lag (ARDL) bound test for cointegration and the ARCH regression model. The results obtained by the ARDL bound test confirmed the presence of the long-term relationship between interest and exchange rates volatility and SMEs’ performance, which suggests that all the variables of interest move together in the long run. Moreover, the ARCH regression model showed a positive impact of exchange and interest rates volatility on SMEs’ performance. However, only exchange rate volatility was significant. Thus, policy makers should pursue the interest rate and exchange rate regimes that will encourage massive investments in SMEs. This, in turn, would increase the performance of SMEs. Also, the monetary authorities should implement the policies aimed at curtailing incessant volatility in the exchange rate and the interest rate so as to protect SMEs from the external perturbations of the movements of the exchange rate and the interest rate.

In this paper, the adequacy of foreign exchange reserves in the Republic of Serbia (RS) and the factors that influence their accumulation is analyzed by means of an econometric model. The relevant variables, such as the Gross Domestic Product (GDP), the Real Effective Exchange Rate (REER) and monetary aggregate M2/GDP are included in the analysis. The unit root tests applied in the research led to the conclusion that the timeseries were integrated of the order I(1). The cointegration test revealed that there was one cointegration equation. The regression model was estimated using the quarterly data for the period from 2002q1 to 2020q3. The estimated cointegration coefficients showed that the economic activity approximated in terms of the GDP had a significant influence on foreign exchange reserves accumulation, which is only followed by appreciation pressure on the dinar (approximated by the REER index) and money supply growth (estimated through the monetary aggregate M2/GDP). In addition to conventional factors, the analysis also points out specific factors and their impact on foreign exchange reserve accumulation in RS. The results of the research study show that foreign exchange reserves in RS are greater than the levels suggested by standard optimality criteria. The findings also suggest that it is necessary to take into account the dividends realized by foreign investors, as well as some segments of portfolio investment in assessing the specific indicator of the adequate level of foreign exchange reserves.

The spread of the COVID-19 and the drop in oil prices caused financial turmoil during the first quarter of 2020. This paper aims to examine the relationship between the COVID-19 pandemic, oil prices, and the exchange rates to the U. S. dollar during that period in five emerging economies: two oil-importers and three oil-exporters. The results of the autoregressive distributed lag analyses reveal a positive co-movement between the fatality rates and the exchange rates of three of those countries. The study also found a negative relationship between oil prices and the exchange rates of the five countries.

The study aims to see whether the long-run relation between inequality and import demand exists in Turkey. The Autoregressive Distributed Lag (ARDL) cointegration technique is used in this study to estimate the long-run relationships between real imports, income, relative price, real exports, and inequality for the period 1982-2015. The results revealed that the income elasticity of imports is greater than one as the literature suggests. The sign of the coefficient of relative price and its magnitude is also compatible with the literature, while it is not statistically significant. However, the results further reflect that inequality is positively associated with real imports in Turkey contrary to assumptions of the relation between inequality and imports that is found to be negative for lower income countries in some studies. Short-run coefficients reflect that real income and relative prices are associated with real imports, whereas exports and not surprisingly, inequality variables are not in the short-run. The coefficient of income parameter is less in magnitude in the short-run but still greater than one. However, the sign of the coefficient of the relative price turns out to be positive in the short-run. [ABSTRACT FROM AUTHOR]

Abstract Tourism has become the world’s third-largest export industry after fuels and chemicals, and ahead of food and automotive products. From last few years, there has been a great surge in international tourism, culminates to 7% share of World’s total exports in 2016. To this end, the study attempts to examine the relationship between inbound tourism, financial development and economic growth by using the panel data over the period 1995–2015 for five BRICS (Brazil, Russia, India, China and South Africa) countries. The results of panel ARDL cointegration test indicate that tourism, financial development and economic growth are cointegrated in the long run. Further, the Granger causality analysis demonstrates that the causality between inbound tourism and economic growth is bi-directional, thus validates the ‘feedback-hypothesis’ in BRICS countries. The study suggests that BRICS countries should promote favorable tourism policies to push up the economic growth and in turn economic growth will positively contribute to international tourism.

Since the late 90's, the existence and direction of causality between the capital market and foreign exchange market have attracted significant attention of theoretical and empirical researchers. This is because both of these financial variables have an indisputable role in the development of each country's economy. In this paper we use Johansen procedure and Granger causality test to examine the existence and direction of short-run and long-run dynamics between the leading stock market index BELEX15 and RSD/EUR exchange rate in Serbia. Using ADF test we find that both series are integrated of order one, and since the value of Johansen trace statistics confirmed the existence of cointegration, we have proceeded with estimation of the VECM model. According to our VECM model, the BELEX15 index adjusts to the long-run equilibrium relationship at a rate of 11.72% in each period, while the exchange rate adjusts to the long-run equilibrium relationship at a rate of 2.73%. We also find that there is unidirectional causality and that the market index influences the exchange rate movements in the short-run in terms of Granger.

The study examines the relationship between exports, imports and economic growth in India, spanning the period from 1980-2019. The study findings confirmed the long-run relationship among exports, imports and economic growth and also reported that there is a unidirectional causality from economic growth to exports; exports to economic growth; exports to imports; imports to economic growth in the short-run. In the long-run, author confirmed that there is a bidirectional causality relationship between economic growth and exports; and exports and imports. Finally, the study results indicate that both exports and imports increase economic growth in India.

This study empirically investigates the contributions of three crude oil-based exchange-traded funds (ETFs) in the price discovery process. Using daily data on the crude oil spot, near month crude oil futures, and three crude-oil-based ETFs, we analyze the price discovery contributions of the five-price series. We use two information share measures, namely the generalized information share (GIS) measure (Lien and Shrestha, 2014) and the permanent-temporary decomposition (PT/GG) measure (Gonzalo and Granger, 1995). We find that the futures market dominates the price discovery process. However, we also find that the crude-oil-based ETFs significantly contribute to the price discovery process. Thus, we find that additional ETFs play a significant role in price discovery. Therefore, they are not redundant in terms of their price discovery contributions.

This study investigates the relationship between public debt and economic growth using panel data from 10 European Countries. Using a panel ARDL approach, the results show that public debt, government consumption, and the real exchange rate are negatively associated with economic growth both in the short- and long-run. Furthermore, investment and the real interest rate were found to be positively associated with economic growth both in the short- and long-run. Inflation and trade openness were found to have mixed results: both were negatively associated with economic growth in the long run while in the short run the relationship was positive and consistent across groups with a few exceptions. Second, the study results also showed that debt is nonlinear at the 70% threshold only in the long-run while in the short run the results were consistently negative and across groups. The study results have significant policy implications for the Stability and Growth Pact of the Euro area. It is recommended that member states should ensure fiscal sustainability by balancing their fiscal budgets to effectively reduce the accumulation of public debt as well as implementing structural reforms that will improve the efficiency of investment as well as macroeconomic stability.

Purpose – This study reexamines the sustainability of fiscal policy in Sweden. Design/methodology/approach – To test the sustainability of fiscal policy, two approaches are used; the methodology of Kejriwal and Perron (2010), testing for multiple structural changes in a cointegrated regression model and time-varying cointegration test of Bierens and Martins (2010), and Martins (2015). Findings – Using the first approach of testing for multiple structural changes in a cointegrated regression model, the results indicate that government spending and revenue are cointegrated with two breaks. An estimation of a two-break long-run model shows that the slope coefficient increases from 0.678 to 0.892 from the first to the second regime, implying that fiscal deficits were weakly sustainable in the first two regimes, from 1800 to 1943, and from 1944 to 1974. Further, results from time-varying cointegration test indicate that cointegration between spending and revenue in Sweden is time-varying. Fiscal deficits were found to be unsustainable for the periods 1801–1811, 1831–1838, 1853–1860 , 1872–1882, 1897–1902, 1929–1940 and 1976–1982 and weakly sustainable over the rest of the study period. Research limitations/implications – A number of implications arise from this study: (1) Accounting for breaks in cointegration analysis and in the estimation of the level relationship between spending and revenue is very important because ignoring breaks may lead to an overestimated slope coefficient and hence a bias on the magnitude of fiscal deficit sustainability. (2) In testing for cointegration between spending and revenue, assuming a constant cointegrating slope when it is actually time-varying can also be misleading because deficits can be sustainable for a period of time and unsustainable over another period. Originality/value – The contribution of this study is three-fold; first, the study uses a long series of annual data spanning over a period of two centuries, from 1800 to 2011. Second, because of the importance of structural change in economics, to examine the existence of a level relationship between spending and revenue, the study uses the methodology of Kejriwal and Perron (2010) to test for multiple structural changes in a cointegrated regression model, as well as time-varying cointegration of Bierens and Martins (2010) and Martins (2015).

This study aims to examine the stock market cointegration between Indonesia Stock Exchange (IDX), Malaysian Stock Exchange (Bursa Malaysia) and Singapore Stock Exchange (SGX). The weekly stock indexes covering January 2013 to December 2018 are analyzed using the Johansen testing approach with the Vectorautoregresiv (VAR) framework. This study uses a pair-case and multivariate manner. The results show that multivariate analysis does not show any cointegration between Indonesia, Malaysia, and the Singapore Stock Exchange. However, cointegration exists between the Malaysian and Singapore capital markets. These results confirm that the same results of bivariate analysis do not always support multivariate testing.

This article reviews several hypotheses that aim at explaining the development of German merchandise exports. Based on cointegration estimation techniques, we examine different determinants for their ability to explain German exports during the period 1992–2016. The estimation results indicate that, in addition to the traditional determinants (world demand and price competitiveness), other determinants, such as energy prices and the increasing fragmentation of production processes, are also crucial in explaining German exports.

Purpose - This paper aims to examine the effect of both inflation rate and interest rate on stock prices using quarterly data on non-financial firms listed in DJIA30 and NASDAQ100 for the period 1999-2016. The stock duration model is used to measure the sensitivity in variations in inflation rates and interest rates on stock prices. Design/methodology/approach - The authors use standard statistical tools that include Johansen cointegration test, linearity, normality tests, cointegration regression, Granger causality and vector error correction model. Findings - The results of panel Johansen cointegration analysis show that cointegration exists between the stock prices, the changes in stock prices due to inflation rates and the changes in stock prices due to real interest rates. The results of cointegration regression show that inflation rates are negatively associated with stock prices, the real interest rates and stock prices are positively associated, changes in real interest rates and inflation rates Granger cause significant changes in stock prices, significant speed of adjustment to long run equilibrium between observed stock prices and real interest rates and significant speed of adjustment to long run equilibrium between changes in stock prices due to real interest rates and changes in inflation rates. Originality/value - This paper contributes to the empirical literature in three ways. The paper examines the effects of inflation and interest rates on stock prices differently from other related studies by separating inflation from real interest rates. The paper examines the causality between stock prices, interest and inflation rates. This paper offers significant updated validity to extended literature that a negative association exists between stock prices and inflation rates. This validity can be considered as an existence a theory of stock prices, inflation rates and interest rates.

In this study, we empirically analyze the contribution of futures markets to the price discovery process for seven agricultural commodities using the generalized information share proposed by Lien and Shrestha (2014) and component share based on the permanent-temporary decomposition proposed by Gonzalo and Granger (1995). We find that most of the price discovery takes place in the futures markets with the exception of cocoa. Our results show that futures markets play an important role in price discovery process. These results are important to academicians, practitioners, policymakers as well as business leaders.