FDIC Coverage on bank failures: Cointegration analysis using annual data, 1942–91

1997 ◽  
Vol 3 (1) ◽  
pp. 71-80 ◽  
Author(s):  
Ira S. Saltz
Keyword(s):  
Cointegration Analysis ◽  
Bank Failures ◽  
Annual Data

The Nexus between Financial Development and Human Development: The Case of Developing Countries

2020 ◽  
Vol 8 (2) ◽  
pp. 68
Author(s):  
Bilgehan Tekin
Keyword(s):  
Developing Countries ◽  
Private Sector ◽  
Human Development ◽  
Financial Development ◽  
Cointegration Analysis ◽  
Annual Data ◽  
Causality Analysis ◽  
Development Index ◽  
Development Levels ◽  
The Relationship

The purpose of this study to examine the relationship between financial development and human development in the health and welfare dimensions of developing countries. This study aims to determine whether the financial developments of the countries have an effect on the basic human development of the individuals and whether human development indicators have an impact on financial development. In this study, the relationship between financial development and human development has been tried to be revealed by using data obtained from developing countries. Financial development levels of the countries were measured with the developed financial development index. The index is calculated by using M3 / GDP, private sector loans / GDP and loans to banks from private sector / GDP ratios. The human development index is calculated by considering various health indicators and GNP per capita. The data includes annual data for the period 1970-2016. Pedroni and Kao cointegration analysis and Dumitrescu & Hurlin panel causality analysis were performed in the study. According to the results of the study, the cointegration relationship was determined between the two variables. There is also a two-way causality between the variables.

KOINTEGRASI EKSPOR IMPOR INDONESIA, 1970 - 2013

2014 ◽  
Vol 8 (2) ◽  
pp. 229-246
Author(s):  
Azis Muslim
Keyword(s):  
Structural Break ◽  
Trade Deficit ◽  
Budget Constraint ◽  
Cointegration Analysis ◽  
Annual Data ◽  
Short Term ◽  
Data Period

Penelitian ini bertujuan untuk mengetahui apakah terdapat kointegrasi antara ekspor dan impor di Indonesia. Metode yang digunakan dalam penelitian ini adalah Uji Kointegrasi Gregory-Hansen dengan pertimbangan adanya structural break berdasarkan pada data tahunan ekspor impor Indonesia dari tahun 1970 sampai dengan 2013. Hasil penelitian memperlihatkan bahwa tidak terjadi kointegrasi antara ekspor dan impor. Hal ini berarti bahwa Indonesia menghadapi masalah neraca pembayaran, serta defisit perdagangan yang terjadi bukan merupakan fenomena jangka pendek. This research aims to investigate empirically the existence of Indonesian export import cointegration. This Research used the Gregory-Hansen cointegration analysis due to structural break based on Indonesia Export import annual data (period of 1970-2013 ). The results showed that there is no-cointegration of Indonesia export and import which means that Indonesia is facing international budget constraint and trade deficit isn’t a short term phenomenon.

Research Note: Tourism as a Factor of Growth – the Case of Brazil

2011 ◽  
Vol 17 (6) ◽  
pp. 1375-1386 ◽  
Author(s):  
Juan Gabriel Brida ◽  
Lionello F. Punzo ◽  
Wiston Adrián Risso
Keyword(s):  
Dynamic Panel Data ◽  
Cointegration Analysis ◽  
Quality Data ◽  
International Tourism ◽  
Annual Data ◽  
Data Sets ◽  
Real Rate ◽  
Specific Test ◽  
The Real ◽  
Long Run

International tourism is recognized to contribute to long-run growth through a whole list of diverse channels. This belief that tourism can cause long-run growth is known in the literature as the ‘tourism-led growth hypothesis’. This case study of Brazil can be taken as a specific test for such a hypothesis. In the paper, two different econometric methodologies are applied to two distinct data sets, showing that the results are independent of either data or methodology. On the one hand, annual data from 1965 to 2007 for Brazil as a whole are used for a cointegration analysis to look for the existence of a long-run relationship among variables of economic growth, international tourism earnings and the real exchange rate. On the other hand, high-quality data for the 27 Brazilian states, though for a shorter period (from 1990 to 2005), enable the use of the dynamic panel data model proposed by Arellano and Bond (1991). The authors show that the long-run elasticities between real per capita GDP with respect to tourism receipts and the real rate of exchange are 0.13 and 0.30, respectively. Finally, they compare their results with those of similar studies.

scholarly journals The Effect of Higher Education on Growth: A Cointegration Analysis

2013 ◽  
Author(s):  
Murat Mustafa Kutlutürk ◽  
Hakan Kasım Akmaz ◽  
Ahmet Çetin
Keyword(s):  
Higher Education ◽  
Granger Causality ◽  
Cointegration Analysis ◽  
Annual Data ◽  
Causality Test ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Relationship

In this study the relationship between higher education and economic growth was investigated using annual data between 1988 and 2012 for Turkey. To see short and long run effects of higher education on growth the Autoregressive Distributed Lag (ARDL) testing approach was used. In this investigation ratio of higher education graduates in employment was used as an explanatory variable. Zivot and Andrews test was implemented for the variables. The long and short run effects of higher education on growth was found significant. Granger causality test was implemented and one way Granger causality from higher education to growth was determined.

scholarly journals Causal nexus between fiscal deficit and economic growth

2016 ◽  
Vol 4 (8) ◽  
pp. 1-19
Author(s):  
Ravinthirakumaran Navaratnam ◽  
Kasavarajah Mayandy
Keyword(s):  
Economic Growth ◽  
Sri Lanka ◽  
South Asian ◽  
Negative Impact ◽  
Positive Impact ◽  
Cointegration Analysis ◽  
Annual Data ◽  
Fiscal Deficit ◽  
Asian Countries ◽  
The Impact

The impact of fiscal deficit on economic growth is one of the most widely debated issues among economists and policy makers in both developed and developing countries in the recent period. This paper seeks to examine the impact of fiscal deficit on economic growth in selected South Asian countries, namely, Bangladesh, India, Nepal, Pakistan and Sri Lanka using time series annual data over the period 1980 to 2014. The paper uses cointegration analysis, error correction modelling and Granger causality test under a Vector Autoregression (VAR) framework. The results from this study confirmed that the fiscal deficit has a negative impact on economic growth in the South Asian countries considered in this study except Nepal, which confirmed the positive impact. The results also highlighted that the direction of causality for the SAARC countries is mixed where fiscal deficit causes economic growth for Bangladesh, Nepal and Pakistan, but the reverse is true for India and Sri Lanka.  

scholarly journals Aggregate Outbound Tourism Demand in South Africa: an Econometric Analysis

2013 ◽  
Vol 5 (5) ◽  
pp. 260-267 ◽  
Author(s):  
Emmanuel Ziramba
Keyword(s):  
South Africa ◽  
Income Elasticity ◽  
Cointegration Analysis ◽  
Annual Data ◽  
Tourism Demand ◽  
Relative Prices ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run

This paper, with the use of annual data covering the period 1975 to 2008, seeks to identify the determinants of outbound tourism demand (outbound tourist outflows) in South Africa. We employ cointegration analysis by utilising an autoregressive distributed lag (ARDL) approach proposed by Pesaran et al. (2001) to make inferences about the long run and short run relationships. The results indicate that in the long run, outbound tourism demand is influenced by the real domestic income and the relative prices. Our results indicate that outbound tourism demand is a luxury good with an income elasticity of 3.5. In the short run, only relative prices have an impact on outbound tourism demand in South Africa. Outbound tourism demand was found to be price inelastic in both periods.

Robustness of firm-specific and macroeconomic determinants of exploration investments

2016 ◽  
Vol 32 (2) ◽  
pp. 137-159
Author(s):  
Tarek Eldomiaty ◽  
Ibrahim Safwat Lotfy ◽  
Mohamed Rashwan ◽  
Mohamed Bahaa El Din
Keyword(s):  
Value At Risk ◽  
Oil And Gas ◽  
Capital Expenditure ◽  
Oil And Gas Industry ◽  
Performance Measure ◽  
Cointegration Analysis ◽  
Annual Data ◽  
Performance Measurements ◽  
Gas Industry ◽  
Content Type

Purpose The uncertainty that surrounds oil and gas exploration environments call for an examination at different angles. In terms of robustness, the purpose of this paper is to focus on three performance measurements: the amount of exploration investments, the growth rate of exploration investments, and the value at risk (VaR) of exploration investments. Design/methodology/approach The study utilizes the properties of discriminant analysis for deriving Z-score models that can be used for monitoring firms’ performance. A cointegration analysis is utilized as well in order to examine the level of cointegration between predictors of each performance measure. The sample includes annual data for 41 firms (local and multinational) working in the oil and gas industry in Egypt for the period 2009-2014. Findings The results show that amount and growth of exploration investment are quite robust performance measures in the oil and gas industry; VaR of exploration investment is sporadic as it firm-specific; and GDP, capital expenditure and operating expenditure are quite relevant for managing and monitoring growth of exploration investments. Originality/value The study offers robust evidence that amount and growth of exploration investment are quiet relevant for measuring firm performance in the oil and gas industry.

scholarly journals Do Exports lead Economic Output in Five Asian Countries? A Cointegration and Granger Causality Analysis

2016 ◽  
Vol 6 (2) ◽  
pp. 30
Author(s):  
Jiayi Huang ◽  
Miguel D. Ramirez
Keyword(s):  
Granger Causality ◽  
The Philippines ◽  
Cointegration Analysis ◽  
Annual Data ◽  
Data Set ◽  
Economic Output ◽  
Long Run ◽  
Cointegration Tests ◽  
Causality Tests ◽  
Granger Causality Tests

This paper examines the relationship between exports and economic output for five major Asian economies using annual data in an expanded data set and employing unit root and cointegration analysis. It employs a Vector Error Correction Model (VECM) that treats all variables in the modified production function as potentially endogenous and then determines via weak exogeneity tests whether some of the key variables can be treated as exogenous (omitted from the system). Johansen cointegration tests find a positive long-run relationship between exports and economic output for the Philippines, Singapore, and Thailand. Cointegration tests find a negative long-run relationship between exports and economic output for India. The Block Granger causality tests and impulse response functions for the Philippines and Singapore find stronger causality from exports to economic output rather than the reverse. Granger causality tests in level form also find significant causality from exports to economic output. No causality exists between exports and economic output in the case of India. Exports seem to promote economic growth in three of the four countries that have cointegrated data, which supports the exports-led growth hypothesis found in some of the extant literature. The paper does not find cointegration for China because the variables are integrated of different orders from I(0) to I(2). 

scholarly journals How the Income Elasticity of Meat Consumption differs between social groups? A case of the UK and the Czech Republic

2021 ◽  
Vol 13 (4) ◽  
pp. 101-117
Author(s):  
Jindřich Špička ◽  
Jane Eastham ◽  
Markéta Arltová
Keyword(s):  
Czech Republic ◽  
Low Income ◽  
Income Elasticity ◽  
Meat Consumption ◽  
Cointegration Analysis ◽  
Income Country ◽  
Annual Data ◽  
The Czech Republic ◽  
Income Groups ◽  
The Uk

The purpose of the article is to show different consumer behaviour between ten different income levels (deciles) and different countries and to examine the elasticity distance between income deciles in the UK (a high-income country) and the Czech Republic (a low-income country) within the context of meat consumption. The official statistic services provided data in the Czech Republic (Czech Statistical Office, 2020) and the UK (Office for National Statistics, 2020). Data on the Czech Republic come from the household budget surveys (HBS). In contrast, corresponding data on UK consumers was drawn from the Living Costs and Food survey, which succeeded the National food survey and household expenditure survey. Both sets of data were set according to households’ structure from the EU-SILC Survey (national module of the European Union – Statistics on Income and Living Conditions). To estimate the income elasticity of meat in the Czech Republic and the United Kingdom in different consumer income groups, a time series cointegration analysis was applied to analyse the annual data for 2000-2017. The Törnquist equation and the difference between income elasticity in monetary and natural expression show saturation and preference of high quality meat in the higher-income consumers in the UK than the same groups in the Czech Republic and overall increasing demand for quality in other income groups. The results support the theory of nutrition transitions. The value of the research is that it would enable the exploration of the potential impact and nature of fiscal interventions for improving diets whilst enabling food producers to forecast meat consumption within the different customer segments.

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