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The role of existing interconnections between renewable energy on the one hand and economic growth on the other is an emphasis on many studies, but within the scope of Bulgaria, the specificity of these relations requires an in-depth review of the growing importance of renewable energies. The main factors to be surveyed are: consumption of renewable energy, production of renewable energy and per capita GDP. The interaction of these variables is analyzed to show the direction and importance of the relationship. The analyzes include the vector autoregression model and a number of cointegration and causality tests. The period covers the years after the collapse of the socialist system and the integration of modern energy use, as well as the specific crisis moments that changed and reduced the prospects for sustainable growth, part of which are also the alternatives for the extraction of natural energy resources.

Bu çalışmada, Türkiye’nin petrol ve doğal gaz ithalat talebinin uzun dönemli gelir ve fiyat esnekliklerinin tahmin edilmesi amaçlanmıştır. Bu çerçevede, enerji ithalatı, GSYİH ve enerji fiyatlarının olduğu zaman serisi modelleri tahmin edilmiştir. Eşbütünleşme ilişkisinin varlığı, Johansen eşbütünleşme yaklaşımı ile Otoregresif Gecikmesi Dağıtılmış (ARDL) modeli üzerinden yapılan sınır testi ile araştırılmıştır. Elde edilen sonuçlara göre her iki modelde de değişkenler arasında anlamlı bir eşbütünleşme ilişkisinin olduğu görülmektedir. Petrol ve doğal gaz ithalat talebinin gelir esnekliği, istatiksel olarak anlamlı olup Johansen yaklaşımına göre sırasıyla 0.474 ve 1.549 iken, ARDL yaklaşımına göre sırasıyla 0.504 ve 1.147 olarak bulunmuştur. Dolayısıyla, Türkiye'de petrol talebi gelir esnek değilken, doğal gaz talebi gelir esnektir. Petrol talebinin fiyat esnekliği, ARDL sınır testi sonuçlarına göre istatistiksel olarak anlamlı bulunmasına rağmen katsayısal olarak oldukça düşük (−0.06) bulunmuştur. Doğal gaz talebinin fiyat esnekliği ise talep kanuna ilişkin önsel beklentilerin aksine Johansen ve ARDL yaklaşımlarına göre sırasıyla, 0.575 ve 0.423 olarak elde edilmiştir. Pozitif ve anlamlı doğal gaz fiyat esnekliğine dair kanıtlar, Türkiye'de doğal gazın bir Giffen malı olarak kabul edilebileceğini göstermektedir. Ayrıca, doğal gaz ithalat talebinin gelir esnekliğinin petrol talebinden daha yüksek olması Türkiye'nin reel gelirindeki artışın petrol ithalatına kıyasla doğal gaz ithalat talebini daha yüksek oranda arttırdığını ima etmektedir., This study aims to estimate long-run income and price elasticities of Turkey’s import demand for oil and natural gas. In this context, time series models composed of the variables oil and natural imports, GDP and oil and natural gas prices are estimated. The existence of the cointegration relationship is investigated with Johansen cointegration approach and the Autoregressive Distributed Lag (ARDL) bound testing model. Both methodologies confirm the presence of a long run relationship among the variables for both oil and natural gas import demand equations. According to Johansen approach, income elasticity of oil and natural gas import demand is statistically significant and obtained as 0.474 and 1.549, respectively. The respective parameters are estimated as 0.504 and 1.147 based on ARDL approach. Hence, one can conclude that the demand for oil is not income elastic, whereas the demand for natural gas is elastic with respect to income in Turkey. The price elasticity of oil demand is found be negative and statistically significant according to ARDL model, though it is inelastic. Price elasticity of oil import demand according to Johansen cointegration is close to zero similar to ARDL results but it is statistically insignificant. In contrast with the prior expectation, price elasticity of natural gas is estimated as 0.575 and 0.423, respectively, according to Johansen and ARDL approaches. The evidence on the positive and significant natural gas price elasticity implies that natural gas in Turkey can be considered as a Giffen good. Income elasticity of natural gas import demand is higher than that of oil import demand, is implied that an increase in real income in Turkey give rise to higher rate of increase on natural gas imports compared to oil imports.

The study examined the impact of external debt on economic growth in Nigeria using Extended Hausman Rodrick Valesco growth diagnostic framework and Three Gap Model. Annual time series data sourced from the Central Bank of Nigeria statistical bulletin between 1981-2018 was regressed using the Augmented Dickey Fuller test (ADF) to check the stationary properties of the series, and the Engel-Granger Co-integration test to estimate the long-run relationship of the variables. The results show that external debt had negative impact on the Nigerian economy.Keywords. External debt, Economic growth, Economic development, Johansen Cointegration, Time series models, Nigeria.JEL. F34, F43, F63, C01.

Using time series data for Portugal between 1973 and 2016, this paper examines to what extent, inward FDI contributes to income inequality and poverty in the long-run. It was found that increased flows of inward FDI are associated with a less unequal income distribution and lower poverty rates. The results further suggest that, in the Portuguese case there is mutual causality between inward FDI and poverty in the long run, i.e., FDI significantly reduces poverty, and lower levels of poverty lead to higher inward FDI flows. In the case of inequality, the evidence shows that FDI does not contribute to higher (or lower) income inequality. Instead, more unequal income distributions significantly and negatively impact on inward FDI in the long run. Finally, human capital emerged as a key determinant to mitigate income inequality and circumvent poverty, contributing, indirectly, to fostering additional FDI inflows. Such results call for integrated public policy interventions that emphasize social and institu- tional dimensions. info:eu-repo/semantics/publishedVersion

The pursue of this article is to scrutinise the long-haul relationship between stock returns of the KSE 100 index and monetary indicators such as rate of exchange, inflation, and interest rates. Month-to-month data from the KSE 100 index and monetary variables were extracted for the period January 1992 to November 2015. We transformed the data series into a stationary form by employing the augmented Dickey– Fuller method. The Johansen cointegration approach reinforces the long-haul association between equity prices and monetary indicators, for instance the rate of exchange, inflation, and interest rates. Results of the Granger and Toda and Yamamoto causalities demonstrate the unidirectional causal relationship between interest rate and KSE 100 index; the one-way causation existed from interest rate to equity returns for the KSE100 index. The analysis of the impulse response function concludes that the changes in the KSE 100 index happened due to its own shocks. However, changes in exchange and inflation rates were experienced because of the interest rate. The outcome of variance decomposition demonstrated that most of the changes in the KSE 100 index are because of its own shocks. Thus, it is concluded that the predictability of the equity prices for the KSE 100 heavily relied on exchange rate, inflation, and interest rate variations.

The study investigates the direction of causal relationships among emissions, energy consumption and economic growth in Nigeria using annual time series data for the period 1970-2013. The Johansen maximum likelihood cointegration tests indicate an existence of a unique cointegrating vector, and the normalized long run estimates shows that fossil fuel enhances carbon emissions whereas, clean energy source (electricity) mitigate the atmospheric concentration of CO2 emissions. Similarly, the Wald exogeneity Granger causality test indicates an existence of unidirectional causation running from fossil fuel to CO2 emissions and GDP per capita. Alternatively, non-fossil energy (electric power) causes more proportionate change in GDP per capita but our result could not establish any causal link between electric power and carbon emissions. Finally, charting a channel towards ensuring sustainable environment and economic development involves a progressive substitutability of clean energy sources for fossil consumption.

Bain (1956)'in ele aldığından günümüze değin firmaların sektöre girişi ve bu girişleri engelleyen faktörler endüstriyel iktisat teorisinin önemli bir unsuru olmuştur. Bain 'in teorik çalışmaları Orr'un giriş modelini oluşturmasını sağlamıştır. Orr modelinde firmanın bir piyasaya girişini etkileyen faktörleri ele almıştır. Orr'dan sonra yapılan bütün ampirik uygulamalar Orr modelini kendilerine referans almışlardır.Bu çalışmada da Orr modeli referans alınarak Türkiye'de NACE 2 iktisadi sınıflandırmada yer alan 21 sektör için firmanın giriş tercihini etkileyen faktörler ele alınmaktadır. 2010-2018 dönemi için aylık verilerle iki ayrı model oluşturulmaktadır. Bu modellerde yer alan sektörden çıkışların, getirilerin, istihdamın, kredi düzeylerinin, kredi faiz oranlarının, reel kurun, petrol fiyatının ve üretici fiyat endeksinin firmaların piyasaya girişini nasıl etkilediklerini Johansen ve Gregory-Hansen Eşbütünleşme analizleri ile incelenmektedir. Eşbütünleşme analizlerinden sonra da bu faktörlerin giriş engeli teşkil edip etmediği Eşbütünleşme tahmincileri ile analiz edilmektedir. Since Bain (1956) discusses the entry of firms into the sector; the entry and the factors that impede entry are one of important elements of industrial economic theory. Bain's theoretical work has allowed Orr to form an entry model. In the Orr model, the factors that affect the firm's entry into a market are discussed. All empirical applications after Orr have taken the Orr model as their reference.In this study, the economic factors affecting company's entry choice are discussed for 21 sectors of NACE 2 economic classification in Turkey as taking Orr model consideration. For the period of 2010-2018, two separate models are formed with monthly data. Johansen and Gregory-Hansen cointegration analyzes how the exits, returns, employment, credit levels, credit interest rates, real exchange rate, oil price and producer price index affect firms' entry choice into the market. After cointegration analysis, it is analyzed whether these factors constitute an entry barrier with cointegration estimators. 194

This research paper presents the empirical evidence on the relationship between the price of gold and stock price indices for the Gulf Cooperation Council (GCC) stock markets over the period beginning January 2010 and ending in December 2016 using Johansen Cointegration and VAR Based Granger Causality tests. The study is based on secondary data from GCC individual stock market. The international gold prices and six daily stock price indices; Bahrain Stock Exchange (BSE), Kuwait Stock Exchange (KSE), Qatar Stock Exchange (QSE), Saudi Stock Exchange (SSE), Muscat Securities Market (MSM), Dubai Stock Exchange (DSE) and Abu Dhabi Stock Exchange (ADSE) are used. Over the period examined, gold prices and stock price indices are co-integrated and there are multiple Granger Causality between the different GCC stock markets.

Kripto para birimleri teknolojinin gelişmesiyle birlikte son yıllarda önem kazanmış ve daha çok kullanılır hale gelmiştir. Merkezi bir otoriteye bağlı olmayan ve kriptografik sistemler ile güvenliği sağlanan bu para birimlerinden en bilineni Bitcoin’dir. Bu çalışmada, başlıca kripto para birimleri ve işleyiş süreçleri incelenmiştir. Buna ek olarak Bitcoin’in döviz, hisse senedi emtia piyasaları ve faiz ile olan ilişkisi ele alınmıştır. Çalışmada kullanılan veri setinin frekansı aylık olup Mart-2012 ile Mayıs-2018 dönemini kapsamaktadır. Zaman serisi yöntemlerinden Johansen Eşbütünleşme ve Granger Nedensellik analizleri uygulanmıştır. Çalışmanın sonuçlarına göre, Bitcoin fiyatlarının artan bir trende ve yüksek bir volatiliteye sahip olduğu görülmektedir. Faiz değişkeni ile Bitcoin fiyatları arasında diğer analizler ve Granger nedensellik testi sonuçlarına göre istatistiksel olarak anlamlı bir ilişki vardır. Crypto currencies have become more important and widely used in recent years with the development of technology. Bitcoin is the most known of these currencies that are not connected to a central authority and secured with cryptographic systems. In this study, the major cryptographic currencies and their operating processes are examined. Besides, the association between Bitcoin prices and foreign exchange, stock, commodity markets and interest rates has been discussed

Bu çalışma temel Borsa İstanbul endeksleri ile kurumsal yönetim endeksi (XKURY) arasındaki volatilite yayılımı ve uzun dönemli ilişkiyi test etmektedir. Endeksler arasındaki uzun dönemli ilişki Johansen Eşbütünleşme testi ile sınanmış ve zaman serilerinin durağanlığı ADF ve PP birim kök testleri ile tespit edilmiştir. Çalışma sonuçlarına göre, en yüksek getiriye sahip endeks XKURY ve en yüksek volatiliteye sahip endeks BİST 30 olarak belirlenmiştir. XKURY, BİST100, BİST50 ve BİST30 endeksleri arasındaki eşbütünleşme ilişkileri ayrı olarak tahmin edilmiştir. Tahmin sonuçlarına göre, en yüksek ayarlama (yakınsama) hızına sahip değişkenler XKURY ve BİST50'dir. Granger nedensellik sonuçlarına göre, XKURY, BİST100'ün Granger nedeni değilken, BİST100 XKURY Granger nedenidir. Diğer değişkenler arasında iki yönlü bir nedensellik vardır. Nedenselliğin yönünün en güçlü olduğu ilişki BİST30’un XKURY üzerine olan ilişkisi üzerinedir. Kurumsal yönetim endeksine dâhil olan şirketler göreceli daha yüksek getiriye ve daha düşük volatiliteye sahiptir. This study tests the volatility spread and long-term relationship between Borsa Istanbul indexes and Corporate Governance Index (XKURY). The long-run relationship between the indexes is analyzed by the Johansen Cointegration test and the stationarity of time series is investigated by ADF and PP unit root tests. According to the study results, the index with the highest return is XKURY and the index with the highest volatility is BIST 30. The cointegration relations between XKURY, BIST100, BIST50 and BIST30 indexes are separately estimated. According to the estimation results, the variables with the highest speed of adjustment (cointegration) are XKURY and BIST50. According to the results of Granger Causality, XKURY is not the Granger cause of BIST100 but BIST100 is the Granger cause of XKURY. Among other variables, there is a two-way causality. Firms included in the corporate governance index have relatively higher return and lower volatility.

The belief that the stock market provides a hedge against inflation has been put to test by many researchers over the past few decades. The present study aims at testing the Fisher effect in the Indian context. We have used monthly data, from July 2006 to June 2016, of the National Stock Exchange sectoral indices and consumer price index. The ordinary least square regression and Johansen cointegration approach have been used to test whether or not Indian sectoral indices provide a hedge against inflation in the short and long run respectively. The weak exogenity test under VECM has been used to establish the hedge hypothesis in the Indian stock market. The present study has established results in support of the hedge hypothesis that the stock market provides a hedge against inflation.

This study aims to investigate the long-term relationship between gold prices per ounce and crude oil prices and Borsa İstanbul 100 Index. To this end, data of 3703 days between the years of 1997 and 2014 has been studied. “Augmented Dickey-Fuller and Philips Perron Unit Root Tests” revealed that the variables were stationary at first difference, yet it was found through “Johansen Cointegration” analysis that there exists an vector showing a long term relationship between the variables. However, the coefficient of the vector error correction term reflecting on the long-term relationship between the variables provided above was statistically insignificant and the variables did not have the long-term balance relationship. These findings support the fact that, as a means of investment, gold is used as an alternative to shares

Real exchange rate is one of the most important economic variables, especially in today's conditions of integration processes, the removal of trade barriers and increasing direct competition between countries. Real exchange rate affects economy, through its impact on key economic variables, such as employment, inflation and especially economic growth. Changes in the real exchange rate affect the competitiveness of domestic products, resulting in increased exports or imports, affecting trade balance e growth. Also changes in the real exchange rate affect investment and capital accumulation, which are directly linked with economic growth. The aim of this paper is to study the possible impact of the real exchange rate on economic growth in Albania, to answer the question whether the real exchange rate can be used as an instrument of policy. Johansen cointegration method and Vector Error Correction Model is used in this paper to identify the longterm and short-term impact of real exchange rate on economic growth in Albania. Results of the study indicate that the real exchange rate has no significant impact on the Albanian economy, suggesting that policies to promote economic growth, both in the short and long term should not rely on this variable.

FDI inflows play an important role in bringing growth and development to emerging economies. Pakistan is also heavily dependent on FDI inflows for achieving a high growth rate but the main obstacle being faced by Pakistan is increasing number of terrorist activities. Although there is a vast literature available which throws light on FDI lead economic growth relation based on terrorism but this study will surely add new dimensions to the ever increasing research on overseas investment in developing countries, specifically Muslim countries, by correlating religious sectarianism with FDI and economic growth. The present study analyses the effect of religious sectarianism on the relationship between FDI inflows and economic growth in Pakistan for the period of 1989-2016. For measuring sectarian terrorism, data of sectarian violence in Pakistan is taken for carrying out the empirical analysis. This study explores an empirical relationship by testing a two-way causality between FDI inflows and economic growth of Pakistan, using the techniques of Johansen Cointegration and VECM model. For testing two way causality, two separate models are constructed; in the first model FDI inflows is taken as a dependent variable with economic growth and sectarian terrorism as independent variables. In second model, economic growth is taken as a dependent variable and FDI inflows along-with sectarian terrorism are taken as independent variables. ADF and KPSS tests have been applied to check the stationarity status of variables included in dataset. Later Johansen Cointegration test has been applied twice for checking the strength of Cointegration. The results of VECM and system equation model show that the first model is more practical as the F-statistic is strong in case of first model as compared to second model 2 but the purpose is achieved and a two-way causality has been confirmed by empirical analysis. Wald test and Granger Causality tests have been applied to check the exogeniety and causality respectively. The results show that FDI is not weakly exogenous whereas the second model concludes that GDP is weakly exogenous. The same results are confirmed by Granger Causality test.

Cari açık son yıllarda Türkiye‟nin en önemli yapısal sorunlarından biridir. Cari açığın GSYiH' ya oranının yüksek olması kriz göstergesi olarak nitelendirilmekte ve bu nedenle cari açık ve büyüme arasındaki ilişki literatürde sıkça tartışılmaktadır. Dolayısıyla büyüme kaynaklı cari açığın sürdürülebilirliğinin analiz edilmesi ve buna dayanarak önerilecek çözüm politikaları oldukça önem taşımaktadır. Bu çalışmada Türkiye‟de cari açığın sürdürülebilirliği 2000M1-2016M12 dönemi aylık veriler ile cari açığın büyüme ile olan nedensellik ilişkisi 2000Q12016Q4 dönemi çeyreklik verilerle ekonometrik olarak analiz edilmiştir. ilk olarak serilerin durağanlaştırılması için ADF, PP ve KPSS birim kök testleri uygulanmış ve değişkenlerin düzey değerinde değil farkı alındığında durağan oldukları görülmüştür. Yani seriler I (1) seviyesinde durağandır. Cari Açığın Ekonomik Büyüme ile ilişkisi Granger (1969) nedensellik testi ile incelenmiştir. Daha sonra seriler arasındaki eşbütünleşme ilişkisi VAR temelli Johansen (1988) yöntemi ile incelenmiş ve değişkenler arasında bir eşbütünleşme ilişkisi saptanmıştır. Analiz sonucuna eşbütünleşme katsayısı 0.74 olmasından dolayı cari açığın düşük formda sürdürülebilir olduğu tespit edilmiştir. Kısa dönem analiz katsayısı negatif ve istatistiksel olarak anlamlı bulunmuştur. Yani modelin hata düzeltme mekanizması çalışmaktadır. The current account deficit is one of the most important structural problems of Turkey in recent years. The high ratio of current account deficit to GDP is considered a crisis indicator. For this reason, the relationship between current account deficit and growth is frequently discussed in the literature. Therefore, analyzing the sustainability of current account deficits and suggesting solutions policy based on this is very important. In this study, the sustainability of current account deficit in Turkey has been analyzed with monthly data for the period 2000M1-2016M12. The causality relationship between growth and the current account deficit is analyzed econometrically by the quartile data for the period 2000Q1-2016Q4. First, the ADF, PP and KPSS unit root tests were applied to stabilize the series. Variables were found to be stationary when the first difference is taken, not at the level value. That is, the series are at the level of I (1). The causality relationship between the economic growth and the current account was examined with the Granger (1969) causality test. Then, the cointegration relation between the series was examined by the VAR based Johansen (1988) method and a cointegration relation was determined between the variables. As a result of the analysis, the cointegration coefficient was 0.74, indicating that the current deficit can be sustained in low form. The short term analysis coefficient was found to be negative and statistically significant. That is, the error correction term works.

FDI inflows play an important role in bringing growth and development to emerging economies. Pakistan is also heavily dependent on FDI inflows for achieving a high growth rate but the main obstacle being faced by Pakistan is increasing number of terrorist activities. Although there is a vast literature available which throws light on FDI lead economic growth relation based on terrorism but this study will surely add new dimensions to the ever increasing research on overseas investment in developing countries, specifically Muslim countries, by correlating religious sectarianism with FDI and economic growth. The present study analyses the effect of religious sectarianism on the relationship between FDI inflows and economic growth in Pakistan for the period of 1989-2016. For easuring sectarian terrorism, data of sectarian violence in Pakistan is taken for carrying out the empirical analysis. This study explores an empirical relationship by testing a two-way causality between FDI inflows and economic growth of Pakistan, using the techniques of Johansen Cointegration and VECM model. For testing two way causality, two separate models are constructed; in the first model FDI inflows is taken as a dependent variable with economic growth and sectarian terrorism as independent variables. In second model, economic growth is taken as a dependent variable and FDI inflows along-with sectarian terrorism are taken as independent variables. ADF and KPSS tests have been applied to check the stationarity status of variables included in dataset. Later Johansen Cointegration test has been applied twice for checking the strength of Cointegration. The results of VECM and system equation model show that the first model is more practical as the F-statistic is strong in case of first model as compared to second model 2 but the purpose is achieved and a two-way causality has been confirmed by empirical analysis. Wald test and Granger Causality tests have been applied to check the exogeniety and causality respectively. The results show that FDI is not weakly exogenous whereas the second model concludes that GDP is weakly exogenous. The same results are confirmed by Granger Causality test.

The main objective of the present analysis is to explore and quantify the contribution of agricultural exports to economic growth in Pakistan. We have estimated the relationship between Gross domestic product (GDP) and agricultural and non agricultural exports for Pakistan employing Johansen co-integration technique for the period 1972 - 2008. The findings of the study show that the agricultural exports have negative and significant effect on economic growth while agricultural exports elasticity is 0.58. Moreover there is bidirectional causality in agricultural exports and real GDP. It is suggested that non agricultural exports should be promoted.

El turismo es uno de los factores más importantes en la productividad de una economía con significativos efectos multiplicadores la misma. El objetivo de esta investigación es analizar los efectos de la actividad turística sobre el crecimiento económico uruguayo, en particular la actividad turística asociada a los visitantes argentinos, principal origen del turismo en Uruguay, utilizando para ello información trimestral para el período 1987.I-2006.IV. El análisis de cointegración muestra la existencia de una relación de largo plazo entre el PIB per cápita, el gasto de los turistas argentinos y el tipo de cambio bilateral entre Uruguay y Argentina. Por su parte, el test de causalidad a la Granger confirma que la dirección de la causalidad es, precisamente, desde el gasto real de los turistas al PIB per cápita. Argentine is the principal source of tourism in the Uruguayan case. Its effects in the economic growth is analyzed in the present paper by using quarterly data from 1987.I to 2006.IV. Co-integration analysis shows the existence of one cointegrated vector among real per capita GDP, Argentinean tourism expenditure, and real exchange rate between Uruguay and Argentine. Granger-causality test suggests that causality positively goes in one way from expenditure to real per capita GDP.

Tourism is one of the most important factors in the productivity of the Mexican economy with significant multiplier effects on economic activity. This paper investigates possible causal relationships between tourism expenditure, real exchange rate and economic growth by using quarterly data. Johansen co-integration analysis shows the existence of one cointegrated vector among real GDP, tourism expenditure, and real exchange rate where the corresponding elasticities are positive. The tourism-led growth hypothesis is confirmed through cointegration and causality testing. Expenditure is weakly exogenous to real GDP producing a more than proportional effect in growth (it means real GDP increases 60% more when expenditure in tourism is increased). Short-run Granger causality shows that causality goes from expenditure to GDP, and there is a bidirectional short-run causality between real exchange rate and real GDP. Impulse response analysis shows that a shock in expenditure produce a continuous positive effect on growth while a shock in real exchange rate produces first a negative effect and then a positive one.

This paper aims to assess the robustness of currency crisis dating methods. Hence, we reproduce a broad set of the ten most representative indicators from the literature, and develop two new crisis indicators derived from Cointegration and ARDL Bounds tests for the Turkish economy which underwent several currency crises over the last 30 years. Contrary to early studies (Edison, 2003; Perez, 2005; Lestano and Jacobs, 2007), we indicate that different crisis indicators produce similar results, at the same threshold level, in identifying the Turkish currency crises of post-liberalization period.

One of the major sectors that have been experiencing rapidly increasing economic growth in Mexico is the Tourism sector. This research study aims to inquire into the contribution of tourism development on economic growth in Mexico, where number of tourist arrivals is dependent on exchange rate and GDP per capita. To make this research study more precise, we use the GDP per capita of Brazil, Canada, Colombia and United States of America separately which are among the top 10 tourist countries who visits Mexico for tourism (WTO, 2014). After running the stationarity test, we ran the Johansen cointegration test to know if there is a long run relationship among the three variables. We found out that all the results for the four countries indicate two cointegration vectors using the trace test. After knowing the cointegration of the vectors, we ran the VECM to investigate the long run causality of the series. The Error Correction Term shows that there is a long run causality running from exchange rate and GDP per capita of USA to the number of tourist arrivals in Mexico while the Error Correction Term shows that there is no long run causality running from exchange rate and the GDP per capita of Brazil, Canada and Colombia to the number of tourist arrivals in Mexico. After knowing the causality of the variables, we ran the residual diagnostic test of autocorrelation, heteroscedasticity and histogram and normality where we found out the absence of autocorrelation, heteroscedasticity and residuals were normal distributed for all the countries and variables. Keywords: Tourism, Economic growth, Johansen Cointegration, VECM, Residual diagnostics test. ÖZ: Meksika‟da turizm sektörü son zamanlarda en hızlı büyüme gösteren ekonomik sektör olarak karşımıza çıkmaktadır. Bu araştırmada amaçlanan turizm sektöründeki kalkınmanın Meksika‟nın ekonomik büyümesi üzerindeki etkisi, gelen turist sayısının döviz kuru ve kişi başına düşen gelir konseptlerine bağlı olduğu bilgisi dikkate alınarak analiz edilmiştir. Bu çalışmayı daha da derinleştirmek maksadı ile Meksika‟ya en çok turist gönderen 10 ülke arasında yer alan Brezilya, Kanada, Kolombiya, ve ABD gibi ülkelerin kişi başına düşen milli gelirleri çalışmaya ayrı ayrı dahil edilmiştir (DTÖ, 2014). Durağanlık testi akabinde, Johansen eş bütünleşim testi, üç değişken arasında uzun dönem ilişki bulunup bulunmadığını görebilmek için yapılmıştır. Dört ülke için bulgu testi sonrasında iki eş bütünleşim vektörünün var olduğu sonucuna ulaşılmıştır. Vektörlerin eş bütünleşim varlığı sonucunda serilerin uzun dönem nedensellik ilişkisnin testi için Vektör Hata Düzeltme Modeli uygulanmıştır. Hata düzeltme terimi döviz kuru ve kişi başına düşen milli gelirin ABD için uzun dönemli nedensellik ilişkisine işaret etmektedir. Aynı hata terimi döviz kuru ve kişi başına düşen gelirin Brezilya, Kolombiya ve Kanada‟dan gelen turistler için uzun dönem nedensellik ilişkisine işaret etmemektedir. Değişkenler arasındaki nedensellik bilgisi ışığında yapılan hata payı diagnostik testi neticesinde otokorelasyon, değişen varyans, histogram ve normallik araştırılmış, tüm ülkeler ve değişkenler için otokorelasyon, değişen varyans ve hata paylarının normal dağıldığı sonucuna ulaşılmıştır. Anahtar Kelimeler: Turizm, Ekonomik Büyüme, Johansen Eş bütünleşme modeli, Vektör Hata Düzeltme Modeli, Hata Payı Diagnostik Testi. Master of Science in Economics. Thesis (M.S.)--Eastern Mediterranean University, Faculty of Business and Economics, Dept. of Economics, 2016. Supervisor: Prof. Dr. Vedat Yorucu.

Bu çalışmanın amacı Türkiye’de 1960-2012 dönemi için beşeri sermaye ve ekonomik büyüme arasındaki ilişkiyi incelemektedir. Çalışmada Johansen eşbütünleşme yöntemi ve Dolado-Lütkepohl Granger nedensellik testinden faydalanılmıştır. Beşeri sermaye göstergeleri olarak, yüksek eğitim kurumlarından diploma alanların toplam sayısı, mesleki ve teknik okullardan diploma alanların toplam sayısı ve toplam doktor sayısı kullanılmıştır. Johansen eşbütünleşme testi sonucu beşeri sermaye ve ekonomik büyümenin uzun dönemde eşbütünleşme ilişkisine sahip olduğunu göstermektedir. Dolado-Lütkepohl Granger nedensellik testi bulgularına göre, mesleki ve teknik okullardan diploma alanların toplam sayısından kişi başı reel GSYİH’ya doğru, toplam doktor sayısından kişi başına reel GSYİH’ doğru ve kişi başı reel GSYİH’den yüksek eğitim kurumlarından diploma alanların sayısına doğru tek yönlü nedensellik ilişkisi belirlenmiştir. The purpose of this study is to examine the relationship betwen human capital and economic growth in Turkey over the period from 1960 to 2012. In the study, Johansen cointegration method and Dolada-Lütkepohl Granger causality test are utilized. As human capital indicators, the total number of graduated in higher education institution, the total number of graduated in vocational and technical schools variables and total number of doctors are used. The Johansen cointegration test result shows that there is a cointegration relationship between human capital and economic growth. According to findings of Dolada-Lütkepohl Granger causality test, there is determined uni-directional causal relationship running from the total number of graduated in vocational and technical schools to real per capita GDP, from total number of doctors to real per capita GDP and from real per capita GDP to the total number of graduated in higher education institution.

Thesis (MCom (Risk management))--North-West University, Potchefstroom Campus, 2012. Maize traders on the South African Futures Exchange (SAFEX) strive to determine future price movements by tracking the following influential price indicators: domestic fundamental factors, the USA yellow maize prices, and the ZAR/USD exchange rate. This study investigates whether there were certain periods where the CBOT yellow maize prices influenced the SAFEX yellow maize prices more than in other periods, as well as whether fundamental factors can be used as a price indicator in the periods where CBOT had a less significant effect on the SAFEX prices. Therefore, this study examined the approach of determining the future price movements of yellow maize prices in South Africa by establishing the volatility spill–over effect between the two markets in two seasonal regimes and comparing the results. After an extensive empirical study and a supporting literature overview of the fundamental factors that influence the South African and USA maize markets, the volatility spill–over effect between SAFEX and CBOT was determined. This led the study to conclude the following: There are certain periods where the CBOT yellow maize prices influenced the SAFEX yellow maize prices more than in other periods. Consequently, in the periods where CBOT did have a less significant influence on the SAFEX prices, fundamental factors could be used as an alternative price indicator. Traders on the SAFEX market can therefore use the CBOT yellow maize prices as a reliable price indicator in the South African harvesting season; whereas, in the planting season, the CBOT prices in collaboration with fundamental analysis should be used. Masters

This work examines a topic of interconnections within food, biofuel and fossil fuel markets. The first part provides a general description of biofuel types, related policy measures and a development of relevant legal framework in selected regions. Second part describes an analysis of long and short-term causal relationships between commodities. Furthermore, an impact of Energy Policy Act of 2005 on these relationships is examined. The analysis incorporates Johansen cointegration, error correction model, vector autoregression and Granger causality. A number of equilibrium relationships are found across the examined markets suggesting an interconnection of the studied markets. The results of the impact of EPA are inconclusive due to limitations of employed models.

Thesis (MCom (Risk management))--North-West University, Potchefstroom Campus, 2012. The 2008 financial crisis caused a great increase in volatility in world stock markets, creating the need to develop alternative diversification strategies to minimise decreasing portfolio value. This study proposes a possible diversification instrument, which utilises the dual–listed stock price volatility in the London Securities Exchange (LSE) to determine Johannesburg Securities Exchange (JSE) stock price movements. This implies that the ability to determine possible buy opportunities on the JSE can be identified by examining volatility movements on the LSE. By using the price differences in the Anglo American Plc. dual–listed stock prices on the LSE to measure the volatility spillover impact on the JSE, evidence of both co–movement and volatility spillover effects between the two markets was found. The evidence indicates that the LSE does have an influential effect on the JSE, which justifies the use of LSE dual–listed stock price movements as a partial indicator for determining JSE dual–listed stock price movements. This study illustrates the possibility of exploiting the volatility spillover effects between international markets to enhance international portfolio diversification in times of great market fluctuations. Masters

"It is the part of a wise man to keep himself today for tomorrow, and not venture all his eggs in one basket." - Don Quixote (Part I, Book III, Chapter 9) by Miguel de Cervantes Saavedra [1547-1616] This research aimed to investigate whether it is possible for investors to diversify their investment and reduce the risk of investment by investing in the selected European countries. Stock market cointegration and international diversification is a widely accepted topic among the scholars and academics in recent years. This current study is motivated from the significant amount of interesting studies in this field. A combination of not perfectly positively correlated instruments gives the investor an opportunity to gain from portfolio diversification. Similarly, Investors can attain diversification benefit if one country’s stock market is not cointegrated with other country’s stock market. Six European countries and a time frame of ten years (January, 2001 to December, 2010) have been taken into consideration for the purpose of this research. The countries are UK, Denmark, Germany, Spain, Poland, and Czech Republic. The time period of the study is divided into two sub period to observe the recent crisis effect on these selected countries. A quantitative approach is adopted in the research. We used an econometric model for this research which is Johansen and Juselius multivariate cointegration approach. The evidence from the study suggest that although cointegration exists among the selected countries in some extent, investors can still get some diversification opportunity by investing in the emerging countries (Czech Republic and Poland). This study is unique in the sense that in our research, we wanted to fill the research gap by combining new and old EU member countries with the latest time period of study and also considered the recent crisis effect. This study has a number of implications on portfolio managers, policy makers, and academic scholars.

An important aspect of macroeconomic policy is to monitor the time path of the current account, which can be considered as a measure of national net indebtedness. If current account defi cit is stationary, the external debt is sustainable. In this paper we test the long-run relationship between imports and exports in sixteen transition European countries, using quarterly data from different years in the 1990s to the end of 2006. In order to test the possible cointegration between exports and import in the sample countries, we apply the Johansen approach. We find existence of cointegration in 10 out of 16 analyzed countries. However, restrictions on long run coefficient suggest that current account deficit is sustainable only in 5 countries., Nadgledanje vremenske putanje tekućeg računa bilance plaćanja, kojeg možemo smatrati mjerom neto zaduženosti privrede, važan je aspekt makroekonomske politike. Naime, ako je tekući račun stacionaran, vanjski dug je održiv. U ovom radu testiramo dugoročni odnos uvoza i izvoza roba i usluga za šesnaest europskih tranzicijskih zemalja koristeći tromjesečne podatke od devedesetih godina prošlog stoljeća do kraja 2006. Koristi se Johansenova kointegracija da bi se detektiralo postojanje kointegracije između uvoza i izvoza u zemljama iz uzorka. Kod deset zemalja potvrđeno je postojanje kointegracijskog odnosa između uvoza i izvoza. Međutim, uvođenjem restrikcija na dugoročne parametre, zaključuje se da je defi cit tekućeg računa bilance plaćanja održiv u svega pet zemalja.

ÖZET SAVUNMA HARCAMALARI İLE ENFLASYON ARASINDAKİ İLİŞKİ: TÜRKİYE İÇİN AMPRİK BİR ÇALIŞMA Günana, Tayfun Yüksek Lisans Tezi, îşletme Fakültesi Tez Yöneticisi: Yrd.Doç.Dr. Levent Akdeniz Temmuz 2004 Bu çalışma, Jbhansen ko-entegresyon analizini ve Granger Nedensellik testini kullanarak, 1950-2001 yılları arasında Türkiye'de savunma harcamaları ile enflayon arasindaki ilişkiyi ortaya koymaya çalışmaktadır. Tez içerisinde bu konu ile ilgili literatürde yer alan değişik görüşler ortaya konmuş ve savunma harcamaları ile enflasyon arasındaki ilişkinin yönü ve yapısı hakkında bir fikir birliğine varılamadığı görülmüştür. Yapılan çalışmanın neticesinde, savunma harcamaları ile enflasyonun birbirleri üzerinde hem uzun dönemde, hem de kısa dönemde önemli etkilerinin olduğu görülmüştür. Başka bir deyişle, Türkiye'de, savunma harcamaları ile enflasyon arasında bir Granger geri besleme süreci mevcuttur. Anahtar Kelimeler. Savunma harcamaları, enflasyon, bütçe açığı, para arzı büyümesi, Johansen Ko-entegresyon analizi, Direkt Granger Nedenselliği. iv ABSTRACT THE RELATIONSHIP BETWEEN DEFENSE SPENDING AND INFLATION: AN EMPRICAL ANALYSIS FOR TURKEY Günana, Tayfun M.BA., Department of Management Supervisor: Asst. Prof. Levent Akdeniz July 2004 This study estimates the relationship between defense expenditures and inflation in Turkey over the period of 1950-2001 by employing a Johansen Cointegration analysis and Granger Causality test The different views mat appear in the literature on mis relationship are identified and it is concluded that there is no agreement as to the exact nature of the relationship between defense spending and inflation. The results of this study indicate that defense expenditures and inflation have a significant effect on each other both in the long and in the short run. In other words, there is Granger feedback (X

Fisher effect which can be defined as a positive relation between nominal interest rate and inflation rate without any impact upon real interest rates is something that holders of savings and investments, as well as implementers of monetary policy, pay attention to. In this study, the seasonal series between 1989:Q1 and 2011:Q4 are used to test the validity of Fisher Hypothesis for Turkish economy by Johansen cointegration analysis and VAR method. It is concluded that in the long term, Fisher impact is valid for Turkish economy.

The study examines the existence of a long run effect of fuel subsidy reform on environmental quality in Nigeria for the period of 1970-2012 using the Johansen and the Engle–Granger two step co-integration procedure techniques. The study developed a three case scenarios including: (i) A case of subsidy payment, (ii) a case of effective subsidy and, (iii) a case of no subsidy payment. Findings from the study supported evidence of a long run sustainable equilibrium model. Also, our estimation results showed that the first and the last case scenario do not significantly influence environmental quality. This implies that subsidy payment in Nigeria does not enhance access and consumption of liquid fuel. On the other hand, the interaction of sound regulatory framework with subsidy payment (the case of effective subsidy) significantly exerts a responsive influence on environmental quality.