Does the J-curve hypothesis hold for a small open economy? Evidence from time-varying coefficients of a distributed-lag model for Tunisia

2017 ◽  
Vol 152 ◽  
pp. 107-115 ◽  
Author(s):  
Mohamed Mehdi Jelassi ◽  
Jamel Trabelsi ◽  
Maryem Turki
Keyword(s):  
Open Economy ◽  
Small Open Economy ◽  
Time Varying ◽  
Varying Coefficients ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
J Curve ◽  
Lag Model ◽  
Time Varying Coefficients

scholarly journals Validation of J-Curve Hypothesis in the Nigerian Non Oil Sector

2015 ◽  
Vol 8 (1) ◽  
pp. 15
Author(s):  
Jude O. Obasanmi ◽  
Fidelis O. Nedozi
Keyword(s):  
Exchange Rate ◽  
Unit Root Test ◽  
Policy Makers ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
J Curve ◽  
Oil Export ◽  
Lag Model ◽  
Oil Sector ◽  
The Impact

J-Curve is a term used to describe the impact of currency devaluation on a country’s balance of trade. In carrying out the study, two objectives stated which are; the validation of the j-curve hypothesis in the short (SR) and long runs (LR). Also, the researcher used the OLS in addition to distributed lag model because exchange rate devaluation does not take effect immediately giving room for lag model effect. The study span from 1985-2014. The study adopted its model from Rose and Yellen (1989) and Rose (1990). The unit root test was used to determine the stationarity of the data. From the results, the OLS result showed delayed J-curve hypothesis. Under the distributed lag (DL), the result shows obedience to the J-curve hypothesis. It is concluded that, policy makers should implement the theory only when the aggregate exchange rate differential between export (non oil) and import (all) is continuously greater than one or equal to one in favour of export (non oil export). One of the recommendations of the study is that policy makers should know that in the current competitive globe, no importing economy will relax to see its economy be a dumping ground (import bias), so superior trade policies should be advocated and implemented. The sustenance of development is one of Nigeria’s challenges. The major policy implication of the study is that Nigeria should diversify the economy, deepen its non oil export and improve its infrastructural base.

scholarly journals Impact of Chinese, Korean and Japanese Innovation Spillover on Labour Productivity in South African Manufacturing

2018 ◽  
Vol 10 (5(J)) ◽  
pp. 16-28
Author(s):  
Brian Tavonga Mazorodze ◽  
Devi Datt Tewari
Keyword(s):  
Endogenous Growth ◽  
Open Economy ◽  
Manufacturing Sector ◽  
Labour Productivity ◽  
Principal Component ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Lag Model ◽  
International Boundaries

Open economy endogenous growth theories consider physical intermediate imports as a channel through which innovation spreads across international boundaries. We build from this literature and contribute by considering trade in services as the channel through which innovation from China, Korea and Japan influences labour productivity in South Africa’s manufacturing sector between 1995Q1 – 2017Q4. Unlike previous studies, we also compute a composite innovation index using the principal component analysis. Results from the autoregressive distributed lag model are supportive of open economy endogenous growth theories for Japan and Korea. However, for China, the effect is significantly negative adding further concerns over its predatory presence in South Africa.  

scholarly journals Tax Elasticity Estimates for Capital Stocks in Canada

2020 ◽  
Vol 20 (77) ◽  
Author(s):  
Jean-François Wen ◽  
Fatih Yilmaz ◽  
Danea Trejo
Keyword(s):  
Open Economy ◽  
Tax Policy ◽  
Small Open Economy ◽  
Service Industries ◽  
User Cost ◽  
Tax Rate ◽  
Distributed Lag ◽  
Point Reduction ◽  
Distributed Lag Model ◽  
Long Run

The paper provides estimates of the long-run, tax-adjusted, user cost elasticity of capital (UCE) in a small open economy, exploiting three sources of variation in Canadian tax policy: across provinces, industries, and years. Estimates of the UCE with Canadian data are less prone to the endogeneity problems arising from the effects of tax policy changes on the interest rate or on the price of capital equipment. Reductions in the federal corporate income tax rate during the early 2000s for service industries but not for manufacturing, which already benefited from a preferential tax rate, contribute to the identification of the UCE. To capture the long-run relationship between the capital stock and the user cost of capital, an error correction model (ECM) is estimated. Supplementary results are obtained from a distributed lag model in first differences (DLM). With the ECM, our baseline UCE for machinery and equipment (M&E) is -1.312. The corresponding semi-elasticity of the stock of M&E with respect to the METR is about -0.2, suggesting, for example, that a 5 percentage point reduction in the METR, say from 15 to 10 percent, would in the long run generate an increase of 1.0 percent in the stock of M&E. The UCE for non-residential construction is statistically insignificantly different from zero.

scholarly journals The VIT Transform Approach to Discrete-Time Signals and Linear Time-Varying Systems

Eng ◽  
2021 ◽  
Vol 2 (1) ◽  
pp. 99-125
Author(s):  
Edward W. Kamen
Keyword(s):  
Discrete Time ◽  
Initial Conditions ◽  
Linear Time ◽  
Order Term ◽  
Initial Time ◽  
Time Varying ◽  
Varying Coefficients ◽  
Time Signals ◽  
Time Varying Systems ◽  
Time Varying Coefficients

A transform approach based on a variable initial time (VIT) formulation is developed for discrete-time signals and linear time-varying discrete-time systems or digital filters. The VIT transform is a formal power series in z−1, which converts functions given by linear time-varying difference equations into left polynomial fractions with variable coefficients, and with initial conditions incorporated into the framework. It is shown that the transform satisfies a number of properties that are analogous to those of the ordinary z-transform, and that it is possible to do scaling of z−i by time functions, which results in left-fraction forms for the transform of a large class of functions including sinusoids with general time-varying amplitudes and frequencies. Using the extended right Euclidean algorithm in a skew polynomial ring with time-varying coefficients, it is shown that a sum of left polynomial fractions can be written as a single fraction, which results in linear time-varying recursions for the inverse transform of the combined fraction. The extraction of a first-order term from a given polynomial fraction is carried out in terms of the evaluation of zi at time functions. In the application to linear time-varying systems, it is proved that the VIT transform of the system output is equal to the product of the VIT transform of the input and the VIT transform of the unit-pulse response function. For systems given by a time-varying moving average or an autoregressive model, the transform framework is used to determine the steady-state output response resulting from various signal inputs such as the step and cosine functions.

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.

scholarly journals Estimating latent group structure in time-varying coefficient panel data models

2019 ◽  
Author(s):  
Jia Chen
Keyword(s):  
Panel Data ◽  
Data Models ◽  
Panel Data Models ◽  
Time Varying ◽  
Clustering Method ◽  
Varying Coefficient ◽  
Varying Coefficients ◽  
Time Varying Coefficients ◽  
Latent Group ◽  
Group Structures

Summary This paper studies the estimation of latent group structures in heterogeneous time-varying coefficient panel data models. While allowing the coefficient functions to vary over cross-sections provides a good way to model cross-sectional heterogeneity, it reduces the degree of freedom and leads to poor estimation accuracy when the time-series length is short. On the other hand, in a lot of empirical studies, it is not uncommon to find that heterogeneous coefficients exhibit group structures where coefficients belonging to the same group are similar or identical. This paper aims to provide an easy and straightforward approach for estimating the underlying latent groups. This approach is based on the hierarchical agglomerative clustering (HAC) of kernel estimates of the heterogeneous time-varying coefficients when the number of groups is known. We establish the consistency of this clustering method and also propose a generalised information criterion for estimating the number of groups when it is unknown. Simulation studies are carried out to examine the finite-sample properties of the proposed clustering method as well as the post-clustering estimation of the group-specific time-varying coefficients. The simulation results show that our methods give comparable performance to the penalised-sieve-estimation-based classifier-LASSO approach by Su et al. (2018), but are computationally easier. An application to a panel study of economic growth is also provided.

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