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Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregres-sive models
... To check stationarity, we use the unit root test of Dickey & Fuller (1979). In addition, we test for cointegration using Johansen's (1991Johansen's ( , 1995 trace and the maximum eigenvalue statistics. ...
... Consequently, we test for cointegration using tests developed by Johansen (1991Johansen ( , 1995 and ...
This paper investigates external shocks and asset price's impact on the slowdown of business and household credit in Morocco using two disequilibrium models to estimate credit supply and demand. The results show that banks' fly to quality, driven by a simultaneous decline in interest margins and borrower creditworthiness, is a key factor behind the slowdown of credit supply. On the demand side, slower growth and saturated housing demand have contributed to reduced borrowing and repayment capacity of borrowers. Furthermore, external shocks are transmitted to credit supply through foreign deposits and households' credit demand through remittances. Additionally, stocks and residential real estate asset prices are closely tied to credit demand. These findings suggest that addressing bank credit barriers could stimulate economic growth. To do so, policymakers may consider employing unconventional monetary policy tools to effectively manage the transmission channels of external shocks and asset prices to bank credit dynamics.
... Once the variables are stationary at level then the next task is to apply VAR analysis, since the variables are nonstationary at level then the study can apply the co-integration test. There are many tests in the for co-integration, but this study applied the Johansen test for co-integration among the variables because it has advantages in considering the possibility of multiple co-integration vectors (Johansen, 1991). The equation Yt = β1+ β2Xt + utn can write as ut = Yt -β1 -β2Xt and if linear combination of (Yt-β1 -β2Xt) is I(0) or stationary, then the variables Yt and Xt are co integrated ...
... Since theJohansen (1988Johansen ( , 1991 procedure allows testing for the presence of more than one cointegration vector and permits to estimate the model without priority restricting the variables as endogenous and exogenous, the number of error correction terms in each model is equivalent to the number of cointegrating vectors. However, if the single equation based Engel-Granger two step procedure will have a single error correction term in each model (i.e. the weighted average error correction term) ...
Over the previous several decades, Ethiopia's economy has been troubled by an ongoing budget deficit. Taking the problem into consideration, this paper used vector auto-regression model estimation techniques to shed light on the drivers, trends, and threshold levels of budget deficit in Ethiopia from 1979/80 to 2021/2022. The model estimation revealed that current account balance, consumer price index, and domestic borrowing have a positive effect on budget deficits, whereas institutional quality, financial deepening, and real gross domestic product havenegative effect in the long run. In the short run, domestic borrowing positively affects budget deficit whereas borrowing, institutional quality, and real gross domestic product affect negatively. The findings of the threshold study indicate that the projected threshold level of budget deficits is 3%. Any ratio of budget deficits over this threshold, on the other hand, has a positive impact on the current account balance, while any rate below this threshold has a negative impact. In order to lower the government budget deficit, it is advised that sensible economic policies be adopted, such as a simple and effective tax system, import substitution, and export promotion.
... The estimation of the above model is done in the following three steps: First, the stationarity and order of integration of selected variables are studied involving the augmented Dickey-Fuller (ADF) unitroot test. Second, in the event of the same order of integration, I (1), of all the variables, the long-run associations of the different specifications of variables are assessed involving the Johansen (1991Johansen ( , 1995 multivariate approach to cointegration (CI). Third, in the event of longrun associations, the impacts of trade, investment in physical as well as human capital, and policy variables on income are explored, involving the error correction (EC) representation of the CI relation. ...
... However, the variables become stationary upon first differencing. At the outset, the test for the longrun association of the variables involving the Johansen (1991Johansen ( , 1995 multivariate CI test is done. This test is performed considering the assumption of "linear deterministic trend (restricted)," and the results are presented in Table 2. Estimation 1 for testing CI includes income, export, exchange rate, public spending on education, and health care. ...
Trade and investment are crucial drivers of economic growth. Successful execution of trade and investment policy can elevate a developing country to a sustained growth path and make it self-reliant. Bangladesh implemented a trade liberalization policy in the 1980s, deviating much from its conservative trade policy. This article assesses the impacts of trade, investment in physical as well as human capital, and a few trade policy variables on income surge for the liberalized regime. The econometric analysis finds that export, import, and domestic investment stimulate income. The impact of foreign investment is not conducive. Public spending on education also contributes to the income surge. Among the policy variables, trade openness and currency depreciation produce a beneficial impact. Population growth retards economic growth. The baseline results hold in the estimations involving several specifications of variables and testified as robust. The article views that a comprehensive approach to trade and investment policy would ensure the comparative advantage of trade and the well-being of Bangladesh.
... However, empirical studies in the Indian context have not considered the presence of structural breaks in the equilibrium relationships among macroeconomic fundamentals which may significantly affect the stability of the long-run relationships and performance of the model. Maki (2012) states that when we test the long-run relationships using standard cointegration approach, for instance, Engle and Granger (1987) and Johansen (1991), the test performs poorly and cannot sufficiently find a cointegration relationship. In the Indian context, earlier literature has not considered the existence of multiple structural breaks while estimating cointegrating vectors for money demand. ...
... The traditional Johansen cointegration tests examine the presence of long-run cointegrating relationships between variables (Engle and Granger 1987;Johansen 1991;Pesaran et al. 2001;Bayer and Hanck 2013). However, the standard cointegration tests fail to establish a cointegrating relationship among variables under the presence of structural breaks. ...
One of the most widely researched macroeconomic relationships is money demand stability, which helps monetary authorities understand what motivates economic agents hold real money balances and whether it can predict inflation. However, endogenous structural shocks to macroeconomic fundamentals have often been criticized for distorting the equilibrium relationship among economic variables. These shocks usually stem from socioeconomic and political changes, behavior of economic agents, and random shocks. We examine the presence of cointegrating relationships between money demand and scale and opportunity cost variables while allowing for multiple endogenous structural breaks in the cointegrating vectors in the Indian context for the period 1996:Q2–2021:Q2. We utilize the Narayan and Popp (J Appl Stat 37(9):1425–1438, 2010) test to identify the break dates in each series and then employ the Maki (Econ Model 29(5):2011–2015, 2012) cointegration approach to establish the presence of long-run relationships between money demand and its covariates. Our study finds the presence of stable long-run relationships in the money demand function, implying that monetary authorities may target narrow and broad monetary aggregates as an indicator or treat them as an information variable to anchor the inflation expectations of economic agents under the current flexible inflation-targeting framework.
... As per the objective of the study and the analytical framework presented through Equation (1)-(4), we intend to test the long-run associations of a few combinations of the real exchange rate with government consumption, investment spending, trade openness, money supply, and private consumption spending, this involves the Johansen (1991Johansen ( , 1995 approach to cointegration 6 . It is well-known that this approach to the cointegration test is meaningful on the variables having the order of integration I(1). ...
... Accordingly, it explores the real exchange rate dynamics with government consumption spending, investment spending, private consumption spending, and a few control variables, namely, trade openness, money supply. Based on Johansen's (1991Johansen's ( , 1995 approach to cointegration, followed by its error correction models, significant real exchange rate dynamics with the selected predictors are found. The spending stimuli are not equally effective in putting forth real exchange rate variations. ...
The fiscal policy's impact on the real exchange rates is highly controversial in theory and practice but noteworthy for macroeconomic policy. This issue is more pertinent in developing countries with an active fiscal policy or wider fiscal space but is explored less. To our knowledge, the fiscal policy impact on the real exchange rate in India is not documented. Against this backdrop, this study explores this in India involving disaggregated data of government consumption and investment spending and a few related variables like trade openness, private consumption spending, and money supply for the period 1996:1–2023:1. The results corroborate long-run associations of real exchange rate and some combinations of the selected other variables. The real exchange rate dynamics estimated through the cointegrated vector autoregressive model followed by an impulse response analysis have shown that government investment spending causes a real appreciation. In contrast, government and private consumption spending exert pressure to depreciate the real exchange rate. Trade openness is another potent predictor of the real exchange rate. On the other hand, no significant impact of the money supply on the real exchange rate is noticed. The results accentuate effective fiscal allocation may be a policy tool for stabilizing the Indian rupee. The unique findings on the Indian economy may also help understand the fiscal effect of real exchange rates in other developing countries.
... The stationary linear combination is called the co integrating equation. The study used the VAR -based co integration tests using the methodology developed by Johansen (1991) ...
This research study uses monthly time series data from Jan 2004 to Oct 2023, to examine the relationship between the price of gold and the Nifty stock market. To assess their link, the study used the Unit Root Test, Correlation Test, Granger Causality Test, and Johansson's Co-integration Test. The analysis concludes that there is no short-term causal link between the price of gold and the price of stocks. Nonetheless, the co-integration of the gold price and stock market price indicates a long-term equilibrium relationship and their mutual movement. The test also demonstrates the stability of the coefficient and validates the existence of a long-term relationship between the price of gold and stock market prices. The price of gold can be predicted using the price of stocks. The price of gold can be predicted using the price of stocks. According to the report, in order to increase the value of their investments in India, foreign investors should adhere to a portfolio stock selection strategy given the integration between the price of gold and the stock market. But in the near term, these opportunities' reach is constrained.
... The study recommended that the Central Bank, in collaboration with the commercial banks, should control inflation by maintaining the interest rate at a reasonable level. Using annual data from 1980 to 2019, Ezeanyeji, Imoagwu and Ejefobihi (2021) 12 performed an error correction model (ECM) estimation to investigate the role of monetary policy in controlling inflation in Nigeria. Variables include exchange rate, inflation rate, money supply (% of GDP), Treasury bill rate and monetary policy rate. ...
... These models capture the long-term dependencies between stock prices to forecast volatility. For instance, PAC models predict volatility by testing cointegrating relationships among multiple time series [18], while stochastic volatility models assume random fluctuations in stock prices and predict future volatility by calculating the variance of historical volatility [19]. ...
This article discusses the application of machine learning (ML) in time series analysis within the financial sector, focusing on the stock market, bond market, and foreign exchange market. Time-series data encompasses attributes such as stock prices, exchange rates, and interest rates. Traditional machine learning methods, such as autoregressive and moving average models, demonstrate effectiveness in stock market trend forecasting. Deep learning methods, such as long short-term memory (LSTM) networks, excel in handling nonlinear relationships and high-dimensional data. However, challenges such as overfitting, parameter selection, and model interpretation persist. In the bond market, term structure models such as the Nelson-Siegel and Svensson modes are widely used, while linear models like regime-switching models are employed to detect anomalies in the data. Machine learning techniques, such as neural networks, decision trees, and support vector machines, are increasingly employed in yield curve modeling and trading volume analysis. In the foreign exchange market, methods like the random walk and stochastic volatility models are used for exchange rate prediction, while multivariate time series models and deep techniques, such as cointegration models, are employed in correlation analysis. Time-series analysis aids investment decision-making, risk management, and understanding market dynamics. While traditional methods currently dominate the field, new technologies may enhance analysis effectiveness and decision-making accuracy.
... Eşitlikte П=αxβ α ve β biçiminde kxr matrisi yer almaktadır. Burada α ayarlama hızıını β eşbütünleşme vektörünü ifade etmektedir (Johansen, 1991). ...
Abstract
One of the main goals of countries is to maximize their economic growth. However, when countries realize their economic growth target, they do not take environmental problems into account since their only goal is growth at the beginning. For this reason, environmental problems have started to increase day by day. With this increase, the emergence of problems such as global warming and climate change has led researchers to focus on environmental problems. In this context, in this study, the relationship between environmental pollution, economic growth, energy consumption and manufacturing industry in Turkey is discussed in the 1990-2014 period. Carbon dioxide emissions were used as indicators of environmental pollution, gross domestic product for economic growth, and industrial production index data for manufacturing industry. In addition, the current study tests the Environmental Kuznets hypothesis. Augmented Dickey Fuller and Philips-Perron unit root tests, Johansen Co-integration and FMOLS and CCR tests were applied as econometric analysis in the study. According to the results obtained, it is understood that the effects of economic growth, energy consumption and the manufacturing industry on environmental pollution are positive. In addition, it has been concluded that the Environmental Kuznets hypothesis is valid for Turkey, that is, the Environmental Kuznets Curve in Turkey is in an inverted U shape.
Özet
Ülkelerin temel amaçlarından birisi ekonomik büyümelerini maksimum seviyeye çıkarmaktır. Fakat ülkeler, ekonomik büyüme hedefini gerçekleştirirken başlangıçta tek amaçları büyüme olduğundan dolayı çevresel problemleri dikkate almazlar. Bu sebeple de çevresel sorunlar her geçen gün artmaya başlamıştır. Bu artış ile birlikte küresel ısınma, iklim değişikliği gibi problemlerin ortaya çıkması araştırmacıların çevresel sorunlar üzerinde yoğunlaşmasına neden olmuştur. Bu bağlamda çalışmada Türkiye özelinde çevre kirliliği, ekonomik büyüme, enerji tüketimi ve imalat sanayi arasındaki ilişki 1990-2014 dönemi içerisinde ele alınmıştır. Çevre kirliliği göstergesi olarak karbondioksit emisyonu, ekonomik büyüme için gayri safi yurtiçi hâsıla ve imalat sanayi için sanayi üretim endeksi verileri kullanılmıştır. Ayrıca mevcut çalışma Çevresel Kuznets hipotezini test etmektedir. Çalışmada ekonometrik analiz olarak Augmented Dickey Fuller ve Philips-Perron birim kök testleri, Johansen Eşbütünleşme ve FMOLS ve CCR testleri uygulanmıştır. Elde edilen sonuçlara göre ekonomik büyüme, enerji tüketimi ve imalat sanayinin çevre kirliliği üzerindeki etkisinin pozitif yönlü olduğu anlaşılmaktadır. Ayrıca Türkiye için Çevresel Kuznets hipotezinin geçerli olduğu yani Türkiye’de Çevresel Kuznets Eğrisinin ters U şeklinde olduğu sonucuna ulaşılmıştır.
... "VAR in differences" can cover the scenario when one variable is stationary, and the other is not. In this study, the Johansen test is used to test the cointegration relationship [55]. ...
The COVID-19 pandemic has compelled multinational corporations to diversify their global supply chain risk and to relocate their factories to Southeast Asian countries beyond China. Such recent phenomena provide a good opportunity to understand the factors that influenced offshore decisions in the last two decades. We propose a new conceptual framework based on econometric approaches to examine the relationships between these factors. Firstly, the Vector Auto Regression (VAR) for multi-way cointegration analysis by a Johansen test as well as the embedding Granger causality analysis to examine offshore decisions--innovation, technology readiness, infrastructure, foreign direct investment (FDI), and intermediate imports. Secondly, a Quantile Vector Autoregressive (QVAR) model is used to assess the dynamic connectedness among Southeast Asian countries based on the offshore factors. This study explores a system-wide experiment to evaluate the spillover effects of offshore decisions. It reports a comprehensive analysis using time-series data collected from the World Bank. The results of the cointegration, causality, and dynamic connectedness analyses show that a subset of Southeast Asian countries have spillover effects on each other. These countries present a multi-way cointegration and dynamic connectedness relationship. The study contributes to policymaking by providing a data-driven innovative approach through a new conceptual framework.
... За подробно описание на методологията вж.Johansen (1991; 46 Детерминистичният тренд е вид тренд, който е постоянен (в положителна или отрицателна посока) и независим във времето (т.е. от предишните си стойности) в един нестационарен процес. ...
This dissertation represents a multifactorial study of the drivers behind changes in housing prices and an assessment of the risk for housing bubble formation in Bulgaria. Based on a broad review of price dependencies observed on the developed and emerging housing markets from the region and the world, a methodology that takes into account local specifics has been developed. The study conducted for Bulgaria covers a total of 35 statistical indicators with historical data for the period 2005-2022, clustered into 7 main groups, including price indices, supply factors, demand factors, macroeconomic indicators, financial channel (internal and external), demographics and survey expectations (consumer and of the construction business). The analysis of the existing interrelationship between them and the housing price index (HPI) reveals the factors with the most significant influence on the latter, which in turn as variables constitute an econometric model. Applying the model allows estimating the deviations of housing prices in Bulgaria from their equilibrium levels. Conclusions are drawn from the empirical study concerning the cyclical nature of housing prices in the country and the current risk of an existing housing bubble after the last one observed during the Global Financial Crisis (2007-2008).
... After all variables used are stationary at the same level, the next step is to do the Johansen co-integration test to determine whether or not all variables used have a long-run relationship. Based on Johansen (1991) and with reference to Table 2, it can be said that when r=0, the Trace Statistics value is 43.7924 which is larger than the Critical Value 29.7971. The Maxima-Eigen's number is 27.3991 and greater than the Critical Value of 21.1316, indicating that the observed variable has a long-run relationship or is co-integrated in the short-run. ...
This study examines the effect of foreign debt on the economic growth. Using a time series Indonesian data over 1981-2017, we employ the Error Correction Model based on the debt overhang theory. Foreign debt was found to produce negative and significant effect on the economic growth both in the short-and long-run. The paper further found that Foreign Direct Investment (FDI) improves the economic growth. Foreign debt that continues to increase drastically in the long-run could slow down the economic growth which may indicate the economy experiencing a debt overhang. It is thus imperative for the government to ensure the debt ratio remain below a certain threshold. Further, foreign debt should be prioritized to develop infrastructure with a broad multiplier effect and the FDI likewise prioritized for labor-intensive sectors.
... The cointegration test was carried out using the ARDL approach developed by [45] which follows the ARDL bounds testing approach to cointegration introduced by [46] and later refined by [45]. Alimi et al. [47] argued that the ARDL approach to cointegration provides more reliable results for small sample sizes, such as in our case, compared to traditional methods such as [48,49]. Another advantage of the ARDL bounds testing is that the unrestricted model of ECM determines appropriate lags that capture the data-generating process in a comprehensive manner, providing an overall structure for the measurements [50]. ...
This study aims to compare the effectiveness of renewable energy and circular economy practices in reducing environmental damage and poverty in China and the European Union (EU) by using the Autoregressive Distributed Lag (ARDL) approach and the Vector Error Correction Model (VECM) technique. Analyzing data from 1995 to 2022, we compared the effectiveness of these approaches in both regions. This study offers several fresh perspectives on the fight against environmental damage and poverty, differentiating itself from existing research in a few key ways. In fact, most studies focus on a single region’s approach to sustainability. However, this research directly compares China and the European Union (EU), highlighting how factors like economic structure and development stages influence the effectiveness of renewable energy and circular economy practices. Also, this study shows how renewable energy and circular practices can simultaneously tackle both environmental damage (emissions) and social issues (poverty). Our findings reveal that factors like poverty, fossil fuel reliance, economic growth, and international trade all contribute to rising carbon emissions in both China and the EU, though their influence varies. Interestingly, China experienced greater success in curbing emissions through solar power, circular economy measures, and wind power compared to the EU. Additionally, the impact of these strategies on poverty reduction differed significantly between the two regions. Based on these results, we recommend that policy makers in both regions develop tailored strategies for tackling carbon emissions and poverty. Prioritizing renewable energy sources and circular practices is key, as they can simultaneously reduce emissions and alleviate poverty. However, it is crucial to focus on approaches that work best in each specific region, considering social, economic, and environmental factors. This study suggests that a one-size-fits-all approach will not work for fighting climate change and poverty. While renewable energy and circular economies are effective, China saw greater success with solar and wind power compared to the EU. Policy makers need to design strategies specific to their region’s economic, social, and environmental context. Further research can refine these approaches, and public education is crucial to promote sustainable behavior and empower policy makers. It is also needed to refine and improve the implementation of these strategies. Finally, public awareness and education are essential to promote sustainable behavior and empower policy makers in their fight against climate change and poverty. This study highlights the importance of a region-specific approach to energy transition and poverty alleviation. By comparing China and the EU, we gain valuable insights into the effectiveness of different strategies in tackling these interconnected challenges. The findings provide valuable guidance for policy makers looking to create a more sustainable and equitable future.
... The method centers around the determination of the number of cointegration relationships q, which is such that 0 ≤ q < g. In particular, Johansen (1991) proposes two statistical tests with the same null hypothesis that are called trace and eigenvalues tests. The trace tests are conducted in a sequence until the number of cointegration relationships q is established (the same procedure is followed for the eigenvalues tests). ...
A growing number of contributions in the literature have identified a puzzle in the European carbon allowance (EUA) market. Specifically, a persistent cost-of-carry spread (C-spread) over the risk-free rate has been observed. We are the first to explain the anomalous C-spread with the credit spread of the corporates involved in the emission trading scheme. We obtain statistical evidence that the C-spread is cointegrated with both this credit spread and the risk-free interest rate. This finding has a relevant policy implication: the most effective solution to solve the market anomaly is including the EUA in the list of European Central Bank eligible collateral for refinancing operations. This change in the ECB monetary policy operations would greatly benefit the carbon market and the EU green transition.
... Other regression strategies can also be used in time series models. As regards non-stationary time series, their cointegration (and integration) might be investigated (Dickey & Fuller, 1979;Engle & Granger, 1987;Johansen, 1991;Maddala & Kim, 1998). ...
This paper employs the econometric models of relationships over time to evaluate the change in the unit prices of apartments on the local secondary markets in Warsaw and Szczecin, depending on various socioeconomic factors. Indicators reflecting the influence of socioeconomic aspects in these cities and the lagged values of housing prices, acting as so-called anchors in this model, were used as the independent variables.
The results obtained from this analysis indicate that it is the lagged prices of housing that have the strongest influence on the formation of price levels in the market. The study confirms the presence of the so-called price anchoring effect, which can be understood as the tendency of market participants to accept prices at levels that can be justified not only by socio-economic factors, but also by the price levels established in their minds.
The main purpose of the research presented here is to show that there is no close relationship between quoted housing prices and their objective factors. The quality of models reflecting these relationships clearly improves when lagged housing prices are introduced as the explanatory variables, which may confirm the price anchoring effect derived from behavioral economics, meaning that the heuristics of anchoring and adjustment can be applied to the analysis of the behavior of a collective of individuals - many market participants.
... Johansen'in metodolojisi Vektör Oto Regresyon (VAR) metoduna dayanmaktadır. Durağan olmayan birinci dereceden bütünleşik p dereceden bir VAR modelini aşağıdaki gibi yazılabilir (Johansen, 1991); = µ + 1 −1 + ⋯ + − + Daha önce de belirtildiği gibi, Johansen yönteminde birden çok eşbütünleşme yapısının olabileceği öngörülerek çoklu eşbütünleşme yapısı test edilmektedir. Bu kapsamda denklemde, ikiden fazla değişkenin olması durumunda Johansen yaklaşımı tercih edilmektedir. ...
The book examines the relationship between digital banking, financial inclusion and economic growth.
... As a preliminary step, we check the stationarity of the series of endogenous variables for each of the 24 h using the KPSS test (Kwiatkowski et al., 1992). If they are both individually non-stationary but integrated of order one, the Johansen cointegration test (Johansen, 1991(Johansen, , 1995, which involves the sequential implementation of two tests (trace and maximum eigenvalue tests), is used to test for the presence of cointegration. A VEC model is specified for cases in which the variables are then shown to be cointegrated. ...
The energy transition is driving a significant transformation in the electricity sector, with a focus on demand-side engagement. Using the VAR-VEC model methodology, we explore hourly consumer responsiveness to electricity prices for two distinct consumer groups differentiated by their pricing schemes within the Spanish retail market. The research reveals that consumers under real-time pricing adapt their consumption patterns in response to expected retail price fluctuations, particularly during peak hours. These findings offer valuable insights for policymakers evaluating time-differentiated pricing policies. Additionally, retailers can benefit by incorporating these results into wholesale market bidding strategies and retail market planning.
... In order to establish a long-term relationship between capital inflows, financial development, and the shadow economy, as described in equation (3) (2022), and Shahbaz & Rahman (2010) utilized the Autoregressive Distributed Lag (ARDL) approach to estimate both long-run and short-run effects, considering variables that are either integrated of order 0 (I(0)) or integrated of order 1 (I(1)). In contrast, the CCR and FMOLS approaches are specifically designed to estimate cointegrating relationships between I(1) variables and are efficient when estimating multiple cointegrating vectors in a single step, as demonstrated by Johansen (1991) and Gonzalo (1994). Additionally, they address the issue of endogeneity between the regressors, which is commonly found in cointegrated connections. ...
... In order to establish a long-term relationship between capital inflows, financial development, and the shadow economy, as described in equation (3) (2022), and Shahbaz & Rahman (2010) utilized the Autoregressive Distributed Lag (ARDL) approach to estimate both long-run and short-run effects, considering variables that are either integrated of order 0 (I(0)) or integrated of order 1 (I(1)). In contrast, the CCR and FMOLS approaches are specifically designed to estimate cointegrating relationships between I(1) variables and are efficient when estimating multiple cointegrating vectors in a single step, as demonstrated by Johansen (1991) and Gonzalo (1994). Additionally, they address the issue of endogeneity between the regressors, which is commonly found in cointegrated connections. ...
... Engle and Granger (1987) two steps estimation approach, gives only one co-integrating vector. It was modified by Johanson (1988Johanson ( , 1991 Johanson and Juselius (1990) by suggesting maximum likelihood procedure for number of co-integrating vectors. It also includes testing procedures for linear restrictions on the co-integrating parameters, for any set of variables. ...
... Classical references here are Diebold and Rudebusch (1991), Hassler and Wolters (1994), and Lee and Schmidt (1996) among many others. On the other hand, the classical framework of cointegration (Johansen, 1991(Johansen, , 1996 is once more specified for the nonstationary I(1) series with I(0) equilibrium errors. In that sense, our work is more general and flexible than these classical approaches. ...
This paper focuses on the analysis of persistence in the unemployment and inflation rates in a group of 38 OECD countries as well as on the relationship between the two variables. For this purpose, fractional integration is used. The results indicate that the two individual variables are highly persistent, especially the unemployment rate, and evidence of mean reversion is only found in the cases of Colombia and Costa Rica for unemployment and in Norway for inflation. Conducting the analysis on the difference between the two variables, the order of integration is significantly smaller in a number of cases, and reversion to the mean takes place in the cases of Austria, Switzerland, Costa Rica, Israel, and Turkey. Policy recommendations derived from the results are presented in the concluding section of the article.
... Even while the asset market connection in India has been the subject of a few studies (Bhunia, 2013;Sobti, 2018;Hung, 2021;Saji, 2021b), a huge gap still remains, especially about the methodology used. For instance, even if the cointegration and This Journal is licensed under a Creative Commons Attribution 4.0 International License causality approach have become well accepted in time-series analysis, research on commodity-finance market linkage in India mainly rests on the Johansen (1991) cointegration approach, which has been often criticized for its sensitivity to the lag length. Comparably, the lack of an attempt to address the problem of structural break is another significant drawback of the earlier studies. ...
This paper explores the price relations between the Crude oil, Gold, US dollar, and equities during several economic episodes. The long- and short-term causal relationships between asset markets are examined in this study. The research uses a ‘Vector Error Correction Model (VECM)’ and an ‘Autoregressive Distributed Lag (ARDL)’ bounds test to examine monthly data from April 1999 to March 2022. The results demonstrate the weak connections between asset markets throughout the different sample periods. Furthermore, the integration of most markets is uneven and changes over time. The currency and equity markets are adjusting to the long-run equilibrium only at a slow pace. We suggest that systematic risk factors must be taken into account while jointly modeling market linkages. This study improves on previous research in the subject by demonstrating the time-varying effects of asset price links on portfolio optimizations in different economic episodes.
... Various cointegration tests were developed in the following years. For example, Johansen (1991) cointegration test is a system-based test. Boswijk (1994) introduced a new cointegration test based on the error correction model and applied with F statistics. ...
Coal, the fundamental element of the industrial revolution, is widely used for energy production in many countries. The use of coal in energy production continues in countries that have coal reserves, as well as in countries that are rapidly transitioning to renewable energy production. The aim of this study is to investigate the causal relationship between coal production and general energy consumption in Russia and Türkiye, which are among the countries that consume heavy coal. In the article, the relationship between the variables in these countries was tested with Granger causality analysis. According to the results of the analysis, it was determined that there was a one-sided causality relationship from coal production to energy consumption in Russia. When the findings of the study were examined from the perspective of Türkiye, no causality relationship was found between the variables.
... The significance of cointegration test lies in its ability to facilitate the establishment of a meaningful and consistent association between variables, even in the absence of direct causal linkage. Table 3 demonstrates the results of the Johansen cointegration test [14], which indicates the long-term relationships between PHE and other macroeconomic variables (as eq.1). The results of the test show that there is significant long-run co-movement among public healthcare expenditure and the macroeconomic variables such as total social sector expenditure, per capita GSDP, total revenue receipts, states' own tax and non-tax revenue, internal debt, fiscal deficit and central grants to states, implying that the public health expenditure would be sustained in the long-run with increase or decrease in total social sector expenditure, expansion of revenue generation, lower fiscal deficit and internal debt of the states. ...
Background: Healthcare expenditure plays a crucial role in determining the quality and accessibility of healthcare services within a country. The Indian government has made efforts to improve healthcare infrastructure and services for which, they need fiscal space through government revenue and expenditure account. Objectives: The present study tries to examine the impact of macroeconomic factors such as economic growth, revenue and expenditure account, internal debt, and deficit on public health expenditure for the northeastern states of India from 1990-91 to 2019-20. Methods: The trends of the variables and sigma convergence analysis have been employed to check the movement of the states over time. Further, the vector error correction model has been used to examine the long-and short-run impact of the macroeconomic variables on public healthcare expenditure. Results: The study observed that an increase in total social sector expenditure and revenue receipts also has favourable impact on the growth of public health expenditure for the northeastern states in both the long run and short run.
... To achieve the goal of this study, Autoregressive Distributed Lag (ARDL) methodology will be employed to evaluate the association between economic growth and financial intermediation. In the last few decades various tests have been employed for cointegration which includes residual based test (Engle & Granger, 1987), maximum likelihood based test (Johansen, 1988), (Johansen, 1991), (Johansen, 1995) and (Johansen & Juselius, 1990). However, previous models of cointegration faced certain limitations specifically in context of variable integration order. ...
This paper explores the relationship between economic growth and financial intermediation in Pakistan. By utilizing data from 1996 to 2022, presence of cointegration in the long run is investigated by employing the auto regressive distributed lag (ARDL) bounds testing approach, whereas error correction model (ECM) is used to depict short run linkages. The augmented dickey fuller (ADF) test verifies the stationarity properties of the series. The results show that financial intermediation promotes economic growth both in short run as well as in long run and confirm the view of Schumpeter regarding finance growth nexus. The findings also reveal that investment and human development also significantly contribute to productivity and economic expansion whereas public expenditure exhibits a positive but insignificant effect due to crowding out effects. The study found that despite improvements in Pakistan's financial structure, sustainable economic growth requires an enabling investment climate and robust governance which can be achieved by implementing suitable reforms for development of a well-organized financial sector.
... The use of co integration process were help us to give the meaningful relationship between variables". According to Johansen and Juselius [18], "if one series co-integrates this means that error inthe regression model is stationary although the dependent and independents variables are nonstationary it is concluded the existence of long run relationship". ...
This paper investigates the relationship between exchange rates and trade performance in Tanzania using a Vector Error Correction Model (VECM) analysis. The background discusses the importance of exchange rates in international trade and how fluctuating exchange rates can impact trade performance. The methodology section explains the research design, model specification, and estimation techniques employed, such as unit root tests, co-integration analysis, and VECM. The findings highlight a long-run positive relationship between exchange rates, foreign direct investment, GDP, and labor forces with trade performance, while inflation rate shows a negative impact. Granger causality tests reveal causal relationships between different variables and trade performance. The conclusions suggest policy recommendations for the government to enhance trade performance through fiscal and monetary policies and encourage further research in the field.
... [7,37] It has been suggested for pairs trading in particular, with mixed results. [12,51] 12 The Johansen test [39,40] is an alternative to test for cointegration and also allows for more than one cointegrating relationship. However, it relies on asymptotic properties, and small sample sizes tend to produce unreliable results. ...
The use of statistical arbitrage in financial markets, and here the trading of 'pairs' in particular, is a well-established field in both theory and practice. The methods to detect and exploit suspected relative mispricing between assets range from basic distance measures to complex machine learning-based pattern recognition. In-depth analyses focusing on the German stock market are surprisingly rare. This paper applies a full range of approaches - including a proposed 'ensemble' method - to this liquid and easily accessible market over the period 2000 through 2023. It is shown that some strategies deliver impressive average portfolio returns of approximately 60 bps (30 bps) per month relative to employed (committed) capital, although conservative transaction costs can erode this advantage. The intended absence of the strategies' exposure to systemic market risk factors is confirmed empirically. Sensitivity analyses prove the robustness of the results and provide prompts for strategy refinements.
... Thirdly, Johansen's cointegration test was conducted to ascertain the presence of cointegration among the variables after it was determined that the variables were integrated in the same order I(1) and selected the optimal lags (Johansen, 1991;Johansen & Juselius, 1990). ...
Objective: the current study aims to empirically examine the dynamic impacts of ecosystem, with a particular focus on some agricultural indicators such as agricultural value added, crop production index, and livestock production index on CO2 emissions using annual time series data from 1990 to 2021. In order to enhance agricultural practices and develop successful sustainable agriculture policies in Egypt's agriculture sector. Method: A literature review involving numerous studies has revealed that agriculture is a significant contributor to the emission of CO2 into the atmosphere, hence exacerbating the phenomenon of global warming. These studies utilized many methodologies, including ARDL, DOLS, FMOLS, CCR, and Johansen, to accomplish their objectives. These methodologies were applied to annual data from multiple countries. Therefore, this study used Johansen's cointegration test to fulfill their objectives. Results and Discussion: The findings indicate that a 1% rise in agriculture value added and crop production index is found to be associated with a long-run decrease in carbon dioxide emissions of around 0.48% and 0.78%, respectively. A bidirectional causal relationship existed between carbon dioxide emissions and livestock production. Additionally, livestock production has a causal effect on crop production and conversely, crop production influences livestock production. Research Implications: Enhancing agricultural productivity and environmental sustainability can be achieved by adopting climate-smart practices in the agriculture sector, at both local and global levels. Originality/Value: This research study makes a valuable contribution to the existing body of literature by examining the significant and causal connections between environmental degradation and agriculture in the long term. This research demonstrates its significance and worth through its potential to aid policymakers in Egypt and other developing countries in formulating and executing efficient policies designed to address environmental degradation.
... The appropriate test for more than one long-run relationship among the series is the Johansen test for cointegration (Soren Johansen, 1992; Søren Johansen, 1991. In statistics, it allows testing many k, I(1) times series. ...
The study intends to demonstrate the relationship between the three sectors of an
adequate sustainable development in SSA (Agriculture, Finance, and Environment) by analyzing the causality among those three sectors, and secondly by measuring the crucial moderating and mediating role of Financial Development sector in mitigating the negative effect of climate changes on agriculture. Thirdly, it is through the assessment of their interaction effects on bank stability factors for the short and long-run. Fourthly and finally, this study checked the impact of only one sector -the agriculture production- on the bank sustainability via risk and profit factors. The study used data from 1970 to 2018 from 350 banks from 40 countries with different econometrics techniques and models (GMM, ZScore, DFE, and VCEM) and different non-linear techniques such as SEM and Impulse- Response Function analysis. The results of the first analysis revealed that the three dimensions of African sustainable development goals have mutual causal effects: that there is interdependences and bidirectional causal effects among these three sustainable factors. For the second analysis, the results showed that financial development factors play a vital role of moderating and mediating the effect agriculture production on the environment. These effects were confirmed by the individual factor influence as well as join factor effects. Thirdly, their interactions effects influence bank sustainability in two ways: first, they increase bank returns and reduce bank risk, while secondly, these interactions significantly sustain bank stability; notably, the interactions between these factors more strongly support bank stability than individual factors effects observed alone. On the one side, the final analysis demonstrated that agricultural production increases bank stability and profitability via its impact on bank returns, and on the other side reduces bank risk through decreases in non-performing loans.
The study investigates the causal relationship between Value added tax and inflation in Ethiopia using quarterly
time-series data from 2004 to 2014. Data for this study was sourced from the National bank of Ethiopia (NBE)
and the Central Statistical Agency of Ethiopia (CSA). The data is verified for unit root using the Augmented
Dickey-Fuller (ADF) test and the Philips-Perron (PP) unit root test, and the result confirms that variables of the
study are stationary in their first differences. The Pairwise Granger causality analysis revealed that VAT Granger
causes inflation. The result from the VECM has shown that the speed of adjustment is negative 0.4790. This
result infers that 47.9 percent of disturbances are corrected each quarter in the inflation (LOGCPI) equation. The
sign of error correction term when VAT is dependent variable is negative but not significant at 5% level of
significance ( -1.67359 and 0.1058, error correction term and t-probability respectively) showing only
unidirectional causality running from Value added tax(VAT) to the price level in Ethiopia in long run. The
coefficient of VAT from Wald coefficient restriction tests is different from zero indicating the causality from VAT
to inflation in Ethiopia in the short run. This also indicates that causality running from lagged variables of Value
added tax to the lagged level of price. The study concluded that there is a casual relationship between VAT and
inflation in Ethiopia in both the short run and the long run during the period under investigation. The policy
implication is that a very comprehensive post VAT cost-benefit analysis needs to be carried out in the process of
public revenue generation. It follows that attention should be given to social welfare and communal desire
alongside public income generation.
Keywords: VAT, Inflation, Granger Causality Analysis, Ethiopia
In this paper, we introduce the concept of statistical arbitrage through the definition of a mean-reverting trading strategy that captures persistent anomalies in long-run relationships among assets. We model the statistical arbitrage proceeding in three steps: (1) to identify mispricings in the chosen market, (2) to test mean-reverting statistical arbitrage, and (3) to develop statistical arbitrage trading strategies. We empirically investigate the existence of statistical arbitrage opportunities in crude oil markets. In particular, we focus on long-term pricing relationships between the West Texas Intermediate crude oil futures and a so-called statistical portfolio, composed by other two crude oils, Brent and Dubai. Firstly, the cointegration regression is used to track the persistent pricing equilibrium between the West Texas Intermediate crude oil price and the statistical portfolio value, and to identify mispricings between the two. Secondly, we verify that mispricing dynamics revert back to equilibrium with a predictable behaviour, and we exploit this stylized fact by applying the trading rules commonly used in equity markets to the crude oil market. The trading performance is then measured by three specific profit indicators on out-of-sample data.
This study aims to measure the sustainable development index (SDI) in Pakistan and to explore the role of foreign direct investment (FDI) for sustainable development (SD). For measuring SDI thirteen traditional indicators of SDI, are utilized. After normalizing each variable and considering its relationship with SD, the index is constructed by averaging. Then time series analysis from 1980-2016, is used to find out the relationship between FDI and SDI along with exploring the strength of the relationship by decomposing SDI into major components of economic, social and environmental. The study concludes that SD in Pakistan is not impressive while showing stagnant and volatile performance. It is further observed that relevance of FDI is slightly optimistic not only with SD but also with its components. This study also highlights that FDI could only be positive if utilized under controlled atmosphere of pro-sustainable public policies and affirms prudent utilization of FDI for SD.
This study provides insight into how the Nikkei 225, the Nikkei Volatility Index, gold and Brent crude oil prices, and the exchange rate are related in the long run through the cointegration approach of the Autoregressive Distributed Lag (ARDL) bounds test. For a concrete cointegration result, this study employs both the frequentist and Bayesian estimation approaches. The ARDL results confirm the cointegration relationship between the Nikkei 225, the Nikkei Average Volatility Index, Brent crude oil and gold prices, and the nominal exchange rate between 2008 and 2018. The main findings of this study are (1) Brent crude oil prices play an essential role in explaining the long-term Nikkei index movement. A rise in the price of Brent crude oil increases the cost of production for Japanese firms and hinders their performance. As a result, the Nikkei 225 deteriorates; (2) a depreciation of the Japanese yen can improve stock market performance through the trade channel; (3) higher stock market uncertainties measured by the Nikkei Average Volatility Index hamper the stock market performance.; (4) gold is an asset that investors could use for speculation to store their wealth highly uncertain periods after the global financial crisis. Finally, the error correction model suggests the speed of the correction in the short run is also sensible, around 15%.
Risk Management: Financial and Econometrics Models for Credit Risk Management.
The poor capital expenditure implementation caused by scarce resources, risks related to multilateral loans and Euro-dollar deficit financing of federal government of Nigeria (FGN) amidst tightened global financial conditions motivated this study. The study examined the effect of revenue and budget risk factors on capital expenditure of federal government of Nigeria for the period 1993-2022. Specifically, it investigated the effect of oil revenue on the capital expenditure of FGN; examined the relationship between non-oil revenue and capital expenditure of FGN; evaluated the effect of oil price volatility on capital expenditure of FGN; and assessed the influence of external debt transaction risks on capital expenditure of FGN. The study employed an ex-post facto research design with bounds test and autoregressive distributed lag regression test to produce results on secondary data. The results indicated significant effect of oil revenue from upstream activities on federal government’s capital expenditure (FGCE), while oil revenue from downstream activities proxied with petroleum profit tax had a positive and insignificant effect on FGCE. The non-oil revenue explained a large proportion of the determining factor of FGCE in the long run; company income tax and custom duty collections had positive and significant effects on FGCE, but the effect of value added tax was insignificant on FGCE. More so, the long run estimate of the model reported that Brent UK crude oil price volatility, OPEC spot rate crude oil volatility and West Texas Intermediate crude oil price volatility failed to report significant effect on the federal government capital expenditure in Nigeria. This showed that the oil price volatility is a short run phenomenon that would fade out in short period; hence, the reason for high speed of adjustment of the error correction term. As regards the effect of external debt transaction risks on FGCE, external debt interest servicing cost had a positive effect on FGCE and was statistically significant at 5% level. Global interest rate volatility and the exchange rate risk had positive but statistically insignificant effects on FGCE. The study concluded that revenue and budget risk factors affected the capital expenditure of federal government of Nigeria. The study recommends that government should be tactful in its efforts at fiscal policy synchronisation in line with the suggestions of fiscal synchronisation theory. There is also need to monitor federal government’s capital expenditure pattern and revenues in critical revenue generating agencies with a commitment to sustaining fiscal adjustments, ensuring sustainable debt servicing levels, creating fiscal space for capital and infrastructural development.
This study empirically examines the causal relationship between trade openness and economic prosperity in South Africa with quarterly data from 1970 to 2017. The analysis is disaggregated into pre-1994 and post-1994 to capture the economic situation of South Africa during and after apartheid regimes. The long-run equilibrium is suggested between trade openness and economic prosperity using the Johansen cointegration process, during and after apartheid regimes. The Granger causality test suggested a unidirectional relationship running from economic prosperity to trade openness in the post-apartheid era but no causal relationship during the apartheid regime in South Africa. The vector error correction model (VECM) for short-run equilibrium suggests a positive relationship between trade openness and economic growth during the apartheid and post-apartheid era in South Africa. Therefore, the study suggests further trade liberalisation mechanisms in South Africa to enhance the export of excess domestic production, importation of capital goods and scarce skills and further development of technical know-how of local labour.
This paper attempts to describe the transitional context of Tunisia, emphasizing the role of innovation in order to overcome the economic recession. Innovation can be found in this context of political instability and economic recession as a tool to overcome these obstacles and find a path toward economic performance. This passage, however, requires tools and resources. We use time series econometrics to analyse the causal relationship between innovation and recessions through the study of the causal relationships between requests for patents and the volume of exports and between the amount of migrant remittances, foreign direct investment and tourism revenue in Tunisia during the period 1970-2014.The number of patent applications adjusts more slowly than does the number of exports. In other words, in the case of Tunisia, the demand for patents has caused the development of exports rather than the other way around.
This study proposes to empirically analyse the relationship between patents and economic growth by adopting the VAR panel approach. Indeed, to verify whether, for the southern Mediterranean countries (Morocco, Algeria, Tunisia and Egypt) and over the period 1980 to 2021, the development of technological knowledge has been predominant in economic expansion, we test the growth rates of the following two variables: gross domestic product (GDP) and the number of patents filed in the region by residents. The results indicate a statistically significant positive effect between patents filed in the previous period and today's economic growth.
This study explores whether hedge funds’ investment behavior can predict variations in productivity levels using a structural vector autoregressive model (SVAR) and a vector error correction model (VECM). As informed traders in the stock market with superior skills, hedge funds may quickly capture news shocks regarding future production growth in advance. With quarterly series of TFP provided by John Fernald (2014) and hedge fund index ( HFI ) returns obtained from the Credit Suisse/Tremont database, I find a contemporaneous correlation coefficient of 0.9791 between two endogenous variables over the sample period from 1Q:1994 to 2Q:2023, indicating a high degree of similarity in their movements. A Granger Causality Test rejects the hypothesis, “ ΔLn( HFI ) does not Granger Cause Δ TFP ”, suggesting that the information inferred from the hedge fund index are valuable in predicting future economic productivity. Finally, the forecast error variance decompositions using the VECM model indicate that over 65% of the variation in Δ TFP even after 20 quarters can be attributed to a shock to the Δ Ln ( HFI ) .
In the last three decades, watermelon has become one of the most important engines of economic growth in Iran. Increasing the productivity of production factors in this sector has led to an increase in economic growth, and watermelon export is considered as one of the key factors in the realization of this economic growth. This export plays a special role in Iran's economic growth and development due to the high dependence of watermelon production on domestic sources and its relatively lower added value compared to other economic sectors. Therefore, the main goal of this research is to investigate the impact of watermelon export on the growth of the agricultural sector in Iran with regard to monetary policies. Considering the high importance of the added value of this sector in the economy, it is suggested that incentive policies to increase watermelon exports, remove export barriers, target marketing programs, expand global trade and regional cooperation should be considered. These measures can help to increase the export of watermelon and thus to the economic growth of the agricultural sector. In the current research, the analytical programs of Eviews software and the VAR model have been used. The results of the analysis show that exchange rate fluctuations have a negative effect on the export value of watermelon. Also, the examination of other variables of the model shows that the exchange rate and the domestic producer price of watermelon have a positive effect on the export value of this product. With these analyzes and results, it is possible to improve the effect of monetary policies and currency fluctuations on watermelon exports and the agricultural economy of Iran and make better decisions in this field.
In the fast-evolving landscape of business and marketing, Digital Innovation Hubs (DIHs) have emerged as transformative catalysts, reshaping collaboration dynamics. The innovation hub, like incubators, R&D labs, and impact hubs, designates a physical space dedicated to fostering innovation within an organization or community. Defining an innovation hub proves challenging, as it is often linked to an open co-working space with a stylish design and tools for creative thinking. However, it extends beyond being merely a physical space for idea generation. A well-designed physical space facilitates in-person collaboration, while a digital platform enables global collaboration, transcending geographic constraints. Innovation hubs embody a distinctive entrepreneurial culture marked by a global perspective and values that often prioritize social behavior. Particularly in regions with conservative politics and cultural norms, these hubs can function as a secure environment for embracing culturally unfamiliar behaviors and mindsets. A Digital Innovation Hub (DIH) serves as an all-encompassing structure, empowering organizations to enhance competitiveness through the optimization of processes and the innovation of products and services using innovative digital technologies. Received: 25 December 2023 / Accepted: 25 February 2024 / Published: 23 April 2024
The main objective of this paper is to give an overview of the risks of implementing circular economy practices in Albanian SMEs. The methodology used for research and design in this paper will be based on a literature review, that involves systematically searching, analyzing, and synthesizing existing scholarly articles, books, and other sources related to implementing circular economy practices in SMEs. In conclusion, the adoption of circular economy principles by SMEs in Albania has the potential to improve economic and environmental sustainability but on the other hand, there are inherent risks associated with transitioning to a circular economy model for SMEs. Our research helps to focus attention on the problems of implementing circular practices in Albanian SMEs and possible interventions by the authorities in the form of regulation. Received: 25 December 2023 / Accepted: 25 February 2024 / Published: 23 April 2024
This study focuses on the purchasing power between the dollar and the yuan and its usefulness in forecasting changes in exchange rates in the long run. In particular, PPP theory helps to clarify the inclination of countries with high inflation to incur a depreciation of their exchange rates. The theoretical part highlights the deviations from theory, its causes and its interconnections with other theories that analyse the relationship between exchange rates and other macroeconomic variables. Then, the validity of the theory for the USD / JPY exchange rate is examined from 1980 to 2013. The test found proof in support of the theory at 1% confidence level. Substantial emphasis is given on the effects of the asset price bubble in Japan during 1986 - 1992 and the US economic crisis of 2008 and more specifically on the behaviour of the parity during such a period of increased uncertainty. Received: 25 December 2023 / Accepted: 25 February 2024 / Published: 23 April 2024
The Study used the cointegration test and VECM to test the relationship between central and state government's tax revenue and expenditure in India over the period 1970 to 2022BE, for examining four major hypotheses in public finance i.e. tax-spend hypothesis, spend-tax hypothesis, fiscal synchronization, and institutional separation hypothesis. The unit root test based on Phillips-Perron (PP) test shows that the variables are non-stationary in level but stationary in the first difference. Johansen's cointegration method is to identify one cointegrating vector between Tax revenue and expenditure, which suggests that there is a long-run relationship. The result of the vector error correction models evinces that there is one-way causality running from tax revenue to expenditure both in the short-run and long-run supporting the "tax-spend hypothesis. Therefore, the reverse-causality is not found in the analysis either for the short-run or long-run. The study not supported the spend-tax hypothesis, fiscal synchronization hypothesis, and institutional separation hypothesis in India. The study helps in the effective allocation of resources, which depends on the tax base and tax rate. Hence, the study gives insights to center and state governments regarding an increase in tax base and decrease in tax rates, which help to control the fiscal deficit in India. If the economy achieves enhanced economic growth it will be possible to raise revenue from domestic sources.
The study uses the cointegration test and Vector Error Correction Models (VECM)to test the relationship between central and state government's tax revenue and expenditure in India over the period 1970 to 2022. The study examines four major hypotheses in public finance: tax-spend hypothesis, spend-tax hypothesis, fiscal synchronization, and institutional separation hypothesis. The result of the VECM shows that there is one-way causality running from tax revenue to expenditure both in the short-run and long-run. The results offer support for the "tax-spend hypothesis" but not the other hypotheses. The results imply that the Union and State governments can increase the tax base and decrease the tax rates so as to contain the fiscal deficit in India.
Gıda endüstrisi uluslararası alanda ve ülkelerin ekonomilerinde önde gelen imalat endüstrilerinden biridir. İnsanların yaşamlarını sürdürmeleri için temel ihtiyaçlarını kapsayan bir endüstri olması da bu önemliliği daha da artırmaktadır. Bu kapsamda, Türk imalat endüstrisinin gıda, içecek ve tütün sektöründe yer alıp borsada işlem gören 23 işletmenin etkinlikleri iki aşamalı ağ veri zarflama analizi (Network DEA) yöntemiyle incelenmiştir. Çalışma, işletmelerin finansal verileri referans alınarak 2017/12-2023/06 dönemlerini kapsamaktadır. İki aşamalı etkinlik analizinin birinci aşamasında üretim etkinliği ve ikinci aşamasında da piyasa etkinliği hesaplanmıştır. Üretim etkinliği sonuçları değerlendirildiğinde etkinlik ortalamaları en yüksek çıkan işletmeler sırasıyla ULUUN, BANVT ve DARDL’dir. İkinci aşamada incelenen piyasa etkinlik skorları genel olarak üretim etkinliği skorları ile karşılaştırıldığında oldukça düşük oluşmuştur. Piyasa etkinliği analizindeki etkinliği en yüksek işletmeler KENT, ERSU ve PINSU’dur. Çalışmanın ikinci analiz kısmında, elde edilen üretim ve piyasa etkinliklerinin Üretici Fiyat Endeksi (ÜFE) ile uzun dönemli ilişkisinin tespiti için, Johansen eş bütünleşme testi ve Granger nedensellik testi uygulanmıştır. Bunun sonucunda, etkinlik skorları ile ÜFE arasında uzun dönemli bir eş bütünleşme ilişkisinin olduğu tespit edilmiştir. Nedensellik testi, ÜFE ve piyasa etkinliği arasında, üretim etkinliği ile piyasa etkinliği arasında nedensellik olduğunu ortaya koymuştur.
This paper analysis of the impact of markups and wages of enterprises on changes in the level of were assessed using the VECM model, the impulse responses, and the variance decomposition. The results indicate that industrial sector, including the mining and quarrying section, showed the highest dynamics of changes in markups and wages. In the years 2005–2022, the impact of markups on changes in CPI was stronger, although it was losing importance, with a weaker but a greater importance of markups, with the impact of wages weaker by half, but growing over time. The paper extends the state of theoretical and empirical studies on the determinants of and endogenous shocks from the COVID-19 pandemic and the war in Ukraine, and changes in demand and supply impulses. The results of this study may be valuable as a contribution to the literature on inflation and its forecasts, and for monetary policy makers.
JEL codes: E52, E58, E63, E66. Keywords: infaltion expectations, inflation, arkups, wages.
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