An asymmetric analysis of the role of exports and imports in consumption-based carbon emissions in the G7 economies: evidence from nonlinear panel autoregressive distributed lag model

2021 ◽  
Author(s):  
Najibullah ◽  
Javed Iqbal ◽  
Misbah Nosheen ◽  
Muhammad Waqas Khan ◽  
Ehtsham Ul Haq Raja ◽  
...  
Keyword(s):  
Carbon Emissions ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Lag Model

scholarly journals On the Predictability of China Macro Indicator with Carbon Emissions Trading

Energies ◽  
2021 ◽  
Vol 14 (5) ◽  
pp. 1271
Author(s):  
Qian Chen ◽  
Xiang Gao ◽  
Shan Xie ◽  
Li Sun ◽  
Shuairu Tian ◽  
...  
Keyword(s):  
Carbon Emissions ◽  
Underlying Mechanism ◽  
Mixed Data ◽  
Data Sampling ◽  
Carbon Emissions Trading ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Mixed Data Sampling ◽  
Lag Model

Accurate and timely macro forecasting requires new and powerful predictors. Carbon emissions data with high trading frequency and short releasing lag could play such a role under the framework of mixed data sampling regression techniques. This paper explores the China case in this regard. We find that our multiple autoregressive distributed lag model with mixed data sampling method setup outperforms either the auto-regressive or autoregressive distributed lag benchmark in both in-sample and out-of-sample nowcasting for not only the monthly changes of the purchasing managers’ index in China but also the Chinese quarterly GDP growth. Moreover, it is demonstrated that such capability operates better in nowcasting than h-step ahead forecasting, and remains prominent even after we account for commonly-used macroeconomic predictive factors. The underlying mechanism lies in the critical connection between the demand for carbon emission in excess of the expected quota and the production expansion decision of manufacturers.

scholarly journals Stress tests in Hungarian banking after 2008

2021 ◽  
Vol 71 (3) ◽  
pp. 451-463
Author(s):  
Zoltán Pollák ◽  
Dávid Popper
Keyword(s):  
Capital Adequacy ◽  
Stress Tests ◽  
Macroeconomic Factors ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Default Rates ◽  
Lag Model ◽  
Credit Portfolio

Abstract The 2008 crisis highlighted the importance of using stress tests in banking practice. The role of these stress tests is to identify and precisely estimate the effect of possible future changes in market conditions on capital adequacy and profitability. This paper seeks to show a possible methodology to calculate the stressed point-in-time probability of default (PD) parameter. The presented approach contains a linear autoregressive distributed lag model to determine the connection between the logit of default rates and the relevant macroeconomic factors, and uses migration matrices to calculate PDs from the forecasted default rates. The authors illustrate the applications of this methodology using the Hungarian real credit portfolio data.

scholarly journals The Impact of Financial Development on Carbon Emission: Evidence from China

2020 ◽  
Vol 12 (17) ◽  
pp. 6959 ◽  
Author(s):  
Mingyuan Guo ◽  
Yanfang Hu
Keyword(s):  
Financial Development ◽  
Carbon Emissions ◽  
Term Effect ◽  
Short Term ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Lag Model ◽  
The Impact

This paper studies the impact of financial development on carbon emissions in China from 1997 to 2016. First, this paper uses the entropy method to construct a synthetical index to measure the financial development. Meanwhile, a two-dimensional panel framework is introduced to group provinces in the panel analysis. The estimation results of the time series autoregressive distributed lag model show that for China as a whole, there is a weak carbon emissions reduction effect of financial development, whether it is a long-term effect or a short-term effect. The estimation results of the panel autoregressive distributed lag model also support that an increase in financial development suppresses carbon emissions. Although financial development inhibits carbon emissions both in the short run and in the long run, the absolute value of the long-term coefficient of financial development is significantly greater than that of the short-term coefficient.

scholarly journals The Autoregressive Distributed Lag Model to Analyze Soybean Prices in Indonesia

2018 ◽  
Vol 150 ◽  
pp. 05035 ◽  
Author(s):  
Mahjus Ekananda ◽  
T. Suryanto
Keyword(s):  
Short Term ◽  
Variable Volume ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Ardl Approach ◽  
Soybean Price ◽  
Lag Model

The main objective of this study was to observe factors that affecting domestic soybean prices, including government intervention through BULOG. By using Bound Testing Cointegration method with ARDL approach. In the short term the world soybean price variables in the t-period and exchange rate affect the domestic soybean prices positively and significantly. The variable volume of soybean imports, GDP, and the role of BULOG as sole importer in the t-period does not affect the domestic soybean price significantly. In the long run, the t-period import tariff has a negative and significant effect.

scholarly journals The Role of Stock Markets in Promoting Economic Growth in Malaysia: Islamic vis-vis Conventional

2015 ◽  
Vol 1 (1) ◽  
pp. 001 ◽  
Author(s):  
Muhamad Abduh ◽  
Raditya Sukmana
Keyword(s):  
Economic Growth ◽  
Stock Markets ◽  
Composite Index ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Lag Model ◽  
Data Coverage ◽  
The Relationship

The purpose of this study is to evaluate the dynamic effects of both Islamic and conventional stock markets development on the economic growth, particularly in Malaysia. The model estimation used to explain the relationship is the autoregressive distributed lag model with the variable of FTSE BM Emas Shariah Index to represent Islamic securities and FTSE BM Composite Index to represent the conventional. The data coverage is from Q1:2000 to Q4:2011. The result shows that there is no evidence of co-integration between the conventional markets and economic growth while there is a co-integration found between Islamic markets and economic growth. Moreover, the relationship between the development of the Islamic stock markets and economic growth occurs to be bidirectional.

scholarly journals Technology Gap and the Role of National Innovation System in a Balance of Payments Constrained Growth Model: Empirical Evidence From Nigeria

SAGE Open ◽  
2019 ◽  
Vol 9 (1) ◽  
pp. 215824401982884 ◽  
Author(s):  
Yohanna Panshak ◽  
Irfan Civcir ◽  
Hüseyin Ozdeser
Keyword(s):  
Innovation System ◽  
Sustainable Growth ◽  
Technological Gap ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Lag Model ◽  
Export Quality

This study empirically seeks to connect more strongly the post-Keynesian macroeconomic idea anchored on the balance of payment (BOP) constraint with the evolutionary microeconomic idea related to the dynamics of technological gap in shaping export quality and long-run growth. It employs autoregressive distributed lag model to examine the validity of Thirlwall’s “Law” on the Nigerian economy from 1981 to 2017. The study found that new version of the model improves significantly in explaining long-run growth of the economy. Therefore, it recommends, among others, a cautious reduction of various components of imports especially final consumption, increasing the export share of commodities with high demand in the international market as well as increasing government spending on R&D to enhance export quality for a sustainable growth of the economy.

scholarly journals The Determinants of Tourist Expenditure Per Capita in Thailand: Potential Implications for Sustainable Tourism

2021 ◽  
Vol 13 (12) ◽  
pp. 6550
Author(s):  
Wanvilai Chulaphan ◽  
Jorge Fidel Barahona
Keyword(s):  
Natural Resources ◽  
Sustainable Tourism ◽  
Least Square ◽  
Mass Tourism ◽  
Tourist Destinations ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Lag Model ◽  
Per Capita

Tourism authorities in Thailand have consistently pursued profit-seeking mass tourism, resulting in the detriment of the natural resources in major tourist destinations. In response, sustainable tourism projects centered on preserving the environment have been established but neglect the financial needs of tour operators. The objective of this study was to investigate the determinants of tourist expenditure per capita in Thailand using a dataset consisting of 31 countries from 2010 to 2017. The analysis was based on an autoregressive distributed lag model (ARDL) and used a panel estimated generalized least square (ELGS). Generating such knowledge is essential for tourist authorities to develop profitable and sustainable tourism projects in tourist destinations whose natural resources have been affected by profit-seeking tourism. The tourism expenditure per capita is positively affected by word of mouth, income, and the rising prices in other major tourist destinations in Asia. However, it was negatively affected by relative levels of price and corruption. Sustainable tourism projects can be used to develop activities that will help distinguish Thailand from other tourism destinations in Asia. However, in implementing these sustainable tourism initiatives, the mark-up should be minimized to keep tourist prices in Thailand competitive.

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