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The purpose of this paper is to provide an analytical analysis of cointegration between Europe and the other significant trading partners, namely US, China, Japan and Australia, for the period from January 1, 2010 to December 30, 2016. This captures the impact of the sovereign European debt crisis and the Greek crisis. A range of parametric techniques were adopted including Johansen cointegration analysis, Vector Error Correction Model and Granger causality. The results of the crisis Granger causality test during the European sovereign crisis implies the highest influence to be that of the US and Japanese stock market over the other four markets. Overall, found that the Asia-Pacific region plus the US stay closely related to each other, while European countries influence all the studied markets except each other. For the post-crisis sub-period, the Granger causality is slightly different. It is observable that the UK and Germany are influencing all the markets. This is probably due to the recent Brexit referendum outcome and potential consequences not only for the EU, but also for the rest of the world too. Overall, the Granger outcome shows the dependence between Europe and other global markets, but there is no European interdependence during the sovereign debt crisis period. It may be concluded that there is a separation of Asian markets from the European markets and even though cointegration exists, the relationship is rather weak.

This paper aims to study and compare the efficiency in futures markets for soybean crop between Buenos Aires (MATBA) and Chicago (CME–CBOT) for the years 1994 through 2015. There are numerous studies that analyze this phenomenon independently, but few of them have done a comparative analysis between marke- ts. Therefore, the main objective of this research — in addition to individually analyzing the efficiency in futures market in each country — is to be able to detect the existence of a relationship between the two markets. In this article we show that, in addition for market efficiency in all cases, market efficiency in MatBa was derived from the efficiency in CME–CBOT. This means that relevant information is transmitted from the Chicago market to the one in Buenos Aires. By using a cointegration approach based on Johansen (1995) we estimated the models with monthly and daily data.

This study examines the relative relevance of domestic investment (DI) and foreign direct investment (FDI) on economic performance in Nigeria (1980-2014). In an attempt to achieve this broad objective, annual time series data sourced from the Central Bank of Nigeria (CBN)’s Statistical Bulletin, which was estimated using Vector Error Correction (VEC) technique, among others. The results, inter alia, show that both DI and FDI had significant effect on Nigeria’s economic performance; however, the influence of the former was observed to be far greater than the latter with marked difference both in terms of the level of significance and size. Thus, the study recommends, among others, the need for government to create the ambience that will enable domestic investors to thrive, on one hand, and be complemented by foreign investment, on the other.

Foreign direct investment (FDI) in the words of Rutherford (1992) spurs economic growth in less developed countries; which is in alignment with the modernization theory. However, the dependency theorist contends that dependence on foreign investment is expected to affect growth and income distribution negatively. It on this premise, that this study is conducted base on this argument to empirically analyze the linkage between foreign direct investment, domestic investment and economic growth for the case of Nigeria. To this end, annual time series data for the period of 1980 to 2015 was employed. The study employs Johansen multivariate cointegration test and Vector Error Correction model (VECM) as estimation techniques. The Johansen cointegration result of the study reveals that, foreign direct investment (FDI) domestic investment (DI) and economic growth have a long-run equilibrium relationship. According to the VECM result and the speed of adjustment of the variables towards their long-run equilibrium path was 52.55%. Furthermore, Granger Causality test reveals a uni-directional causality running from FDI to economic growth that is, FDI is an important predictor of economic growth. This goes to validate the FDI lead growth hypothesis for Nigeria.

This paper examines the cointegration between sectoral indices in Bursa Malaysia and the selected macroeconomic variables, namely, oil price (OP), gold price (GP), and exchange rate (ER), during the period 1995- 2014. The underlying series are tested by using Unit Root Test, Johansen Cointegration, Vector Error Correction Model (VECM) and Vector Autoregression (VAR). The results indicate that sectoral indices, specifically in technology sector, have long run cointegration with macroeconomic variable as resulted from the analysis of Johansen-Juselius (1990), Multivariate Cointegration and Vector Error Correction Model. Meanwhile, the short run cointegration between macroeconomic variable and several sectoral indices have also been observed in Bursa Malaysia.

Since the endogenous growth model appeared in the economic theory, taxation has been considered as one of the key determinants of the economic growth. In the public finance theory, taxation is considered to have a negative impact on economic growth, which is explained by implications of tax revenues distortions on the economic activity. This assumption has been investigated by many empirical studies. The aim of this paper is to analyse the impact of personal income taxation on economic conditions in Croatia in the long-run. After providing a brief insight into the economic and the public finance theory regarding taxation and economic growth, previous relevant research is presented. The empirical analysis of the impact of personal income taxation on economic conditions in Croatia is conducted using the Johansen cointegration approach. The existence of cointegration is examined and the error correction model is estimated using monthly data from January 2000 to March 2016. The results of the research show that personal income taxation in Croatia has a significant negative impact on the economic growth in the long-run, which is in line with the economic theory and relevant empirical research.

The study employed vector error correction model to examine the long run relationship between climate change and cereal production using time series data (1962-2014) in Ethiopia. The cointegrating equation shows that the parameters included in the model are jointly significant at 1% significant level. The study revealed that a 10% percent increase in CO2 emission would have 2.75 % cereal production loss in the country. However, land and fertilizer were found to have positive and significant long-term impact on cereal production in the country. The forecasted cereal production - using contingent equation – shows that cereal production is expected to grow annually by 2.8%, on average, for the next 10 years. As a concluding remark, efforts towards reducing CO2 should be strengthened to further enhance the cereal production growth in the country. Moreover, providing fertilizer for the farmers with a reasonable price on due time is decisive to benefit from intensive agriculture

This research aims to analyze the dynamic impact of international trade openness on poverty in Indonesia. Previous research shows different effects in every country. The data used are export import value, GDP, income per capita, open unemployment rate, and poverty rate during 1978-2015. VECM analysis shows that in short run, trade openness does not have any significant impact on poverty. However, in long run, it has significant impact in reducing poverty. IRF analysis concludes that poverty rate gave a positive response in the first two years, but negative in the third to every trade openness variable shock. Poverty rate shows the biggest negative response in the fifth year. According to FEVD analysis, trade openness does not give big contribution in affecting poverty rate during the first three years, but starts to show effect in the following seven, with the biggest in the ninth year.

Local economic development (LED) is envisioned to improve local economic challenges. Unfortunate the City of Cape Town local municipality is dominated by poverty, inequality, stagnant economic growth and unemployment. Despite these challenges, researchers contend that tourism is a vehicle to local economic development. Thus, the purpose of the paper was to examine the influence of tourism on LED in the Cape town city municipality from 1994-2018. In achieving this purpose, the study used a Vector Error Correction Model (VECM) time series analysis and the Granger Causality analysis. The results show a positive relationship between exports, number of tourists and local economic development. Contrawise, tourism receipts are negatively related to local economic development. Notable is that local economic development and tourism receipts have a positive relationship in the short-run. The study therefore recommends the enforcement of a tourism policy that specifically benefits the residents more than the business people and entrepreneurs.

Purpose: In this research, an attempt has been conducted to explore the relation between Islamic banking development and economic growth of Indonesia over the periods of 2003–2014 Methodology: Two models have been formulated which are financing and deposit models to indicate the relation. The analysis are using unit root test, co-integration test, and Granger causality test within the context of VECM framework. For this purpose, financing and deposit are used as a measure of Islamic Banking development, while gross domestic product (GDP) and gross fixed capital formation (GFCF) used the indicators of economic growth. Findings: The results show that there is bi-directional causality between financing and GDP also deposit and GDP reflecting the bi-directional causality between Islamic banking development and economic growth. Further results show that there is significant short-run and long-run causality running from Islamic banking development to economic growth so as short-run and long-run causality running from economic growth to Islamic banking development Originality/contributions: This is the first study to used Islamic banks in Indonesia that are listed in Bank of Indonesia in 2003-2014.

Price transmission studies have become increasingly important in Sub-Saharan Africa over the past decades because of its nature of providing clear and insightful information into these markets. In this study, the price transmission mechanism is described with an agricultural product within the dairy industry, namely pasteurized liquid milk. The aim of this study was to investigate and analyze the nature of the price transmission mechanism for pasteurized liquid milk in South Africa. The study used secondary time series data that covered a sample size of 17 years (2000–2016) for pasteurized liquid milk. The Granger causality test and the Vector Error Correction Model were used for data analysis. The Granger causality tests suggest that a bidirectional causal relationship exists between processor and farmgate prices, and also between retail and processor prices. On the other hand, retail prices were found to have a unidirectional causality effect on farmgate prices. The VECM results showed asymmetric price transmission, implying that retailers and processors react quicker to a price increase than to a price decrease. A price monitoring policy is suggested to be put in place in order to protect the consumers from unfair prices passed on by the retailers.

Discussions on Reserve Adequacy Assessment on a country-specific basis have been scant in the literature despite its significance. This situation has led to calls for the discussions on reserves holdings and adequacy levels to be more rooted in the country's Article IV consultation report.In this study, we examined if reserves build-up by the central bank of Ghana meets the specific metrics of theoretical reserve models such as the reserves to M2 growth metrics and the Greenspan-Guidotti rule metrics. We also determined whether the reserves build-ups correctly adjust to economic and policy variables and whether these adjustments are consistent with the predictions of empirical theories and findings. We again examined whether exchange rate depreciations contribute to positive reserves accumulation by the central bank of Ghana.Using Vector Error Correction Model, this research has rejected the short-run matching of the reserves stock of the central bank of Ghana to the theoretical standard metrics of 20% of broad money and 100% of short-term debts. These results have implications on the future credit ratings of the country and could also make future borrowing more expensive. Also, the impulse response functions showed a mixed result of the adjustments in reserves build-up to the predictions of empirical theories and findings. Additionally, the analysis proved the long-run test of restriction of exchange rate depreciation on positive reserves build-up of the central bank. However, the short-run adjustments of the exchange rates on reserves rejected this relationship. Furthermore, the decomposition analyses showed that short-run variations in reserves are explained by external forces, whereas the long-run variations are explained through the financial sector and partly by external forces. Therefore, an econometric specification of reserves beyond three months must specify in the model both the financial sector and external sector variables.

Traditionally, cost-benefit analyses (CBAs) focus on the direct costs of animal disease, including animal mortality, morbidity, and associated response costs. However, such approaches often fail to capture the wider, dynamic market impacts that could arise. The duration of these market dislocations could last well after an initial disease outbreak. More generally, current approaches also muddle definitions of indirect costs, confusing debate on the scope of the totalities of disease-induced economic impacts. The aim of this work was to clarify definitions of indirect costs in the context of animal diseases and to apply this definition to a time series methodological framework to estimate the indirect costs of animal disease control strategies, using a foot and mouth disease (FMD) outbreak in Scotland as a case study. Time series analysis is an econometric method for analyzing statistical relationships between data series over time, thus allowing insights into how market dynamics may change following a disease outbreak. First an epidemiological model simulated FMD disease dynamics based on alternative control strategies. Output from the epidemiological model was used to quantify direct costs and applied in a multivariate vector error correction model to quantify the indirect costs of alternative vaccine stock strategies as a result of FMD. Indirect costs were defined as the economic losses incurred in markets after disease freedom is declared. As such, our definition of indirect costs captures the knock-on price and quantity effects in six agricultural markets after a disease outbreak. Our results suggest that controlling a FMD epidemic with vaccination is less costly in direct and indirect costs relative to a no vaccination (i.e., “cull only”) strategy, when considering large FMD outbreaks in Scotland. Our research clarifies and provides a framework for estimating indirect costs, which is applicable to both exotic and endemic diseases. Standard accounting CBAs only capture activities in isolation, ignore linkages across sectors, and do not consider price effects. However, our framework not only delineates when indirect costs start, but also captures the wider knock-on price effects between sectors, which are often omitted from CBAs but are necessary to support decision-making in animal disease prevention and control strategies.

This paper uses Google search information to estimate a Vector Error Correction Model (VECM) that allows to evaluate the relationship between the interest in Netflix and interest in illegal sources of films and series in Brazil. The results indicate that in the long run, the interest in Netflix significantly and negatively affects the interest in online series and movie downloads. The results show that, in the short run, the increases in the interest in Netflix significantly reduces the interest in online series and movies, while Netflix, while negatively affected by the interest in online movies, benefits from the interest in online series, which may be indicate that the streaming channel benefits from free sample effects. The paper concludes that Netflix had a negative impact on the digital piracy of audiovisual products in Brazil. [ABSTRACT FROM AUTHOR]

The profit from international diversification to eliminate risks has caused investors to spread their capital to different international stock exchanges. The dynamic relations among stock exchanges indicate the presence of one or two-way relations among the stock exchanges. This happens because of the interdependence and integration that takes place among stock exchanges, such as interdependence among Asian markets. This research aims to analyze and discuss co-integration and co-movement between Asian stock price index and Indonesia. The research design used Vector Error Correction Model. The results of this research prove that in the short-term, there is a relationship between Kuala Lumpur Composite Index, Stock Exchange of Thailand Index, and Hang Seng Index against Jakarta Composite Index. In the results of co-integration test, there are co-integration and co-movement between the capital markets of Malaysia, Thailand, South Korea, Japan, Singapore, and Hong Kong with Indonesia capital market. [ABSTRACT FROM AUTHOR]

Sharp upturns in international food prices in 2007-08 and 2010-11 have motivated a close scrutiny of their volatility, transmission and supply chains. While global food prices have remained tame since 2012, the uptick in prices of major food groups in the second half of 2019 is expected to add to the upside risks of domestic food prices across emerging market economies (EMEs), which are already witnessing high food inflation pressures due to internal supply shock conditions. Against this backdrop, this study intends to re-examine whether global food prices hold any implications for domestic prices in EMEs which have higher shares of food in their overall consumption baskets. Using data from January 2007 to July 2019, the study finds that short-term elasticities, in the range of 0.02-0.16, are lower than long-term elasticities. Moreover, there are large cross-country divergences in long-term transmission elasticities. [ABSTRACT FROM AUTHOR]

The impact of globalization made it more complex for the investors to make investment decisions. The portfolio creation and management became more challenging. The financial crisis has revealed the influence of financial contagion in stock markets across the globe and has gained attention of researchers and academia. The literature identifies the cointegration among the markets as the most significant reason for the spread of contagion in the markets. This scenario increases the risk of investing in global markets and results in a steep fall in the benefits gained by the investor attributing to portfolio diversification. This study examines the presence of cointegrating relationships among four major emerging Asian markets. A Johansen cointegration test is applied and a vector error correction model is estimated on the indices values of 4 markets vis. China, India, Indonesia and South Korea. Johansen cointegration test confirms the presence of a significant cointegrating vector among the markets. Estimates of vector error correction model establish a long-run association among China, India and South Korea. The study also identifies that the Chinese market is a profitable choice for international investors in their portfolio diversification strategies over the short-run. [ABSTRACT FROM AUTHOR]

This paper investigates the long-run and short-run impacts of government spending on inflation in three Asian emerging economies of India, China and Indonesia by applying the cointegration and Vector Error Correction Model to time series data from 1970 to 2010. The results confirm a cointegrating causal link between government spending and inflation in the long run in these countries, regardless of their institutional governance differences. In the short run, government spending (as a percentage of GDP) appears to have a negative impact on inflation in China, while a positive impact in Indonesia and India. The implication is that governments of emerging economies should be prudent with their decisions on government spending. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Central China Normal University is the property of Huazhong Normal University and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

We propose a nested multi-population mortality projection model in which the forces of mortality are modelled via an extended version of the Cairns–Blake–Dowd model for middle and higher ages, and the resulting model parameters are forecast using a vector error correction model. Dependencies between different populations are accounted for by the joint parameter dynamics through lag coefficients (short-term predictability between the marginals), cointegration relations (long-run equilibriums), and error terms (correlated shocks). Bayesian inference assures integrated estimation and prediction of all hierarchical parameters in one step and allows for quantifying the underlying joint uncertainty. Our hierarchical set-up—yet flexible and easily interpretable—leads to a wider range of biologically plausible forecasts including, e.g., long-lasting, possibly varying discrepancies or phases of temporal divergence. We study two empirical examples in European mortality which suggest that the common a priori coherence assumption in actuarial projection models is too restrictive. [ABSTRACT FROM AUTHOR]

This paper investigates the asymmetries in arbitrage trading with onshore and offshore renminbi spot rates, focusing on the time-varying driving factors behind the deviations of the two rates from their long-run equilibrium. Fundamentally, offshore and onshore renminbi rates represent the same economic quantity and hence should be driven by the same pricing mechanism. However, the two exchange rates deviate remarkably from each other, creating arbitrage opportunities over many days. For the empirical analysis, I build a three-regime threshold vector error correction model with offshore and onshore spot rates and further regime-dependent explanatory variables. The model is estimated in different periods in order to consider the impact of appreciation and depreciation expectations on possible arbitrage trading. The estimation results suggest that directional expectations, global risk sentiment and local as well as global liquidity conditions dominate the adjustment process in the absence of arbitrage trading when the offshore rate is stronger than its onshore counterpart. However, the error correction mechanism of the offshore (onshore) rate towards its equilibrium with the onshore (offshore) rate is driven by the arbitrage trading due to a relatively weaker (stronger) offshore (onshore) rate in the upper regime in times of appreciation (depreciation) expectations. [ABSTRACT FROM AUTHOR]

The paper studies the efficiency and price discovery in the Indian gold futures market. The relationship of domestic and international spot prices with the gold futures prices is examined to determine the direction of information flow between these markets. Market microstructure and impact of various policy changes on India's gold market is analysed. A long run cointegration relationship exists between the futures and domestic spot market. We find that the daily price discovery takes place in the futures market but not the spot market. The futures do not serve as an efficient hedge for the domestic spot price. [ABSTRACT FROM AUTHOR]

Price transmission studies have become increasingly important in Sub-Saharan Africa over the past decades because of its nature of providing clear and insightful information into these markets. In this study, the price transmission mechanism is described with an agricultural product within the dairy industry, namely pasteurized liquid milk. The aim of this study was to investigate and analyze the nature of the price transmission mechanism for pasteurized liquid milk in South Africa. The study used secondary time series data that covered a sample size of 17 years (2000-2016) for pasteurized liquid milk. The Granger causality test and the Vector Error Correction Model were used for data analysis. The Granger causality tests suggest that a bidirectional causal relationship exists between processor and farmgate prices, and also between retail and processor prices. On the other hand, retail prices were found to have a unidirectional causality effect on farmgate prices. The VECM results showed asymmetric price transmission, implying that retailers and processors react quicker to a price increase than to a price decrease. A price monitoring policy is suggested to be put in place in order to protect the consumers from unfair prices passed on by the retailers. [ABSTRACT FROM AUTHOR]

Copyright of Economía, Sociedad y Territorio is the property of El Colegio Mexiquense and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This paper examines contemporaneous and Granger causality among US corn futures and seven cash prices from major producing states for January 2006–March 2011. Causal flows from futures to cash prices are identified with contemporaneous and in-sample Granger causality tests but not with the out-of-sample Granger causality test. While no interstate in-sample or out-of-sample Granger causality is found, contemporaneous causal linkages are revealed. No causality from cash to futures prices is determined. [ABSTRACT FROM AUTHOR]

Volatility and imperfect price transmission in food markets always impress the welfare of producers and consumers, especially in the developing countries. Therefore, the purpose of this study was to investigate the price relationship in vertical market levels (i.e. farm gate, wholesale and retail) of rice as a staple food for Iranians, using the Vector Error Correction Model (VECM) and the Generalized AutoRegressive Conditional Heteroskedastic (GARCH). The data used was based on monthly observations of prices in Kamfiroz Rice Market from April 1997 to March 2015. Results showed that the direction of Granger causality and partial price transmission were from farm gate to retail market as well as from wholesale to farm gate level and retail market to wholesale, such that, if wholesale prices increase by 1%, farm gate prices will increase about 0.37%. Also, if retail prices increase by 1%, then wholesale prices will increase by about 0.36%. In addition, if farm gate prices increase by 1%, then retail prices will decrease by about 0.08%. Results also implied that retail and wholesale price volatilities have positive spillover effects on the volatility of farm gate prices (i.e. 0.50 and 0.31, respectively). In addition, retail prices are more sensitive to wholesale prices and more volatile (i.e. 0.56) than the others. Finally, in order to increase the transparency of information and increase the efficiency of price transmission in Kamfiroz Rice Market, it was suggested that marketing cooperatives of this product be increased and supported more. [ABSTRACT FROM AUTHOR]

This paper uses country-level data of European Economic Area countries between 1989 and 2016 to examine the interactions between economic growth, innovation, and financial market activities, with specific reference to the bond and insurance markets. Our intent is to know whether causality runs among these variables both ways, or not at all. Using a vector error correction model, the study finds that financial market activities and economic growth determine innovation activities in these countries. Additionally, the study also finds bidirectional Granger causality between financial market activities and economic growth, as well as between innovation activities and economic growth. [ABSTRACT FROM AUTHOR]

Copyright of Itobiad: Journal of the Human & Social Science Researches / İnsan ve Toplum Bilimleri Araştırmaları Dergisi is the property of Itobiad: Journal of the Human & Social Science Researches and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Economic & Managerial Researshes is the property of Faculty of Economic Sciences, Commercial & Managerial Sciences and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The European Union has set the target that by 2020 harmful emissions and energy consumption should be reduced by 20% compared to the 1990s. This paper examines the impacts of environmental quality on two parameters of national competitiveness (exports and GDP per capita). The study focuses on the EU-15 countries and covers the period from 1960 to 2013. Even though the analyzed economies are developed countries which are the leaders in environment protection, they are still also the leading emitters of greenhouse gases. The paper uses traditional econometric techniques to test the relations between energy use, CO2 emissions, exports and GDP. The results show that the variables are co-integrated. In addition, energy-led growth hypothesis is valid in most of the analyzed economies. The results have also shown that increased CO2 emissions reduce economic activity and export performance. Finally, we will conclude that there are two tasks for future policy makers: first, to strengthen renewable-energy goals, and second, to adjust the economic structure towards less harmful emissions. In such circumstances, we could expect the economies to further develop clean technologies and to obtain their benefits for national competitiveness. [ABSTRACT FROM AUTHOR]

This study aims to examine the effect of monetary policy to the inflation rate in Indonesia from January 2011 to December 2015 via conventional and sharia systems. Vector Error Correction Model (VECM) is adopted for that purpose. The result shows that in the long run, conventional monetary policy transmission has an effect on inflation rate in Indonesia. Interbank money market variable has negative and significant influence on the inflation rate. While the loan to deposit ratio variable does not. On the Islamic side, the results show that in the long run, Islamic monetary policy transmission has a negative effect on inflation in Indonesia and Islamic money market has significant positive effect. [ABSTRACT FROM AUTHOR]