Sustainability assessment of crops' production in India: empirical evidence from ARDL-ECM approach

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Rita Rani Chopra
Keyword(s):  
Land Use ◽  
Error Correction ◽  
Sustainability Assessment ◽  
Annual Rainfall ◽  
Maximum Temperature ◽  
Content Type ◽  
Irrigated Area ◽  
Long Run ◽  
Short Run ◽  
The Impact

PurposeThe study aims to evaluate the long- vs short-run relationships between crops' production (output) and crops' significant inputs such as land use, agricultural water use (AWU) and gross irrigated area in India during the period 1981–2018.Design/methodology/approachThe study applied the autoregressive distributed lag (ARDL) bounds testing approach to estimate the co-integration among the variables. The study uses the error correction model (ECM), which integrates the short-run dynamics with the long-run equilibrium.FindingsThe ARDL bounds test of co-integration confirms the strong evidence of the long-run relationship among the variables. Empirical results show the positive and significant relationship of crops' production with land use and gross irrigated area. The statistically significant error correction term (ECT) validates the speed of adjustment of the empirical models in the long-run.Research limitations/implicationsThe study suggests that the decision-makers must understand potential trade-offs between human needs and environmental impacts to ensure food for the growing population in India.Originality/valueFor a clear insight into the impact of climate change on crops' production, the current study incorporates the climate variables such as annual rainfall, maximum temperature and minimum temperature. Further, the study considered agro-chemicals, i.e. fertilizers and pesticides, concerning their negative impacts on increased agricultural production and the environment.

scholarly journals Price Transmission and Factors Influencing the Price of Onions in Tanzania

2020 ◽  
pp. 67-76
Author(s):  
Yohana James Mgale
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Price Transmission ◽  
Adjustment Cost ◽  
Producer Price ◽  
Correction Model ◽  
Factors Affecting ◽  
Long Run ◽  
Short Run ◽  
The Impact

This article analyzes the transmission of prices between marketing agents and the factors affecting onion prices at the consumer level. The Error Correction Model-Engle Granger (ECM-EG) was used to test the price transmission by including the impact of the rise and fall of producer, wholesale and retail prices in past periods. The Error Correction Model (ECM) was applied to the factors affecting onion prices. The test results showed that price transmission was asymmetrical in the short and long-run. With regard to factors, the results show that consumer price in the short-run was influenced by wholesale prices, producer prices and the price of fuel while in the long-run it was influenced by wholesale prices, producer price, price of fuel and consumer prices in the previous period (t-1). These results suggest the existence of a short-term adjustment cost and a long-term market power which distorts price transmission.

Macroeconomic shocks, fragility and home financing in Malaysia: can rental index be the answer?

2018 ◽  
Vol 9 (1) ◽  
pp. 17-44 ◽  
Author(s):  
Rosylin Mohd Yusof ◽  
Farrell Hazsan Usman ◽  
Akhmad Affandi Mahfudz ◽  
Ahmad Suki Arif
Keyword(s):  
Interest Rates ◽  
Islamic Banks ◽  
Macroeconomic Shocks ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
Rental Rate ◽  
Conventional Banks ◽  
The Impact ◽  
Conventional And Islamic Banks

Purpose This study aims to investigate the interactions among macroeconomic variable shocks, banking fragility and home financing provided by conventional and Islamic banks in Malaysia. Identifying the causes of financial instability and the effects of macroeconomic shocks can help to foil the onset of future financial turbulence. Design/methodology/approach The autoregressive distributed lag bound-testing cointegration approach, impulse response functions (IRFs) and forecast error variance decomposition are used in this study to unravel the long-run and short-run dynamics among the selected macroeconomic variables and amount of home financing offered by both conventional and Islamic banks. In addition, the study uses Granger causality tests to investigate the short-run causalities among the selected variables to further understand the impact of one macroeconomic shock to Islamic and conventional home financing. Findings This study provides evidence that macroeconomic shocks have different long-run and short-run effects on amount of home financing offered by conventional and Islamic banks. Both in the long run and short run, home financing provided by Islamic banks is more linked to real sector economy and thus is more stable as compared to home financing provided by conventional banks. The Granger causality test reveals that only gross domestic product (GDP), Kuala Lumpur Syariah Index (KLSI)/Kuala Lumpur Composite Index (KLCI) and house price index (HPI) are found to have a statistically significant causal relationship with home financing offered by both conventional and Islamic banks. Unlike the case of Islamic banks, conventional home financing is found to have a unidirectional causality with interest rates. Research limitations/implications This study has focused on analyzing the macroeconomic shocks on home financing. However, this study does not assess the impact of financial deregulation and enhanced information technology on amount of financing offered by both conventional and Islamic banks. In addition, it is not within the ambit of this present study to examine the effects of agency costs and information asymmetry. Practical implications The analysis of cointegration and IRFs exhibits that in the long run and short run, home financing provided by Islamic banks are more linked to real sector economy like GDP and House Prices (HPI) and therefore more resilient to economic vulnerabilities as compared to home financing provided by conventional banks. However, in the long run, both conventional and Islamic banks are more susceptible to fluctuations in interest rates. The results of the study suggest that monetary policy ramifications to improve banking fragility should focus on stabilizing interest rates or finding an alternative that is free from interest. Social implications Because interest plays a significant role in pricing of home loans, the potential of an alternative such as rental rate is therefore timely and worth the effort to investigate further. Therefore, Islamic banks can explore the possibility of pricing home financing based on rental rate as proposed in this study. Originality/value This paper examines the unresolved issues in Islamic home financing where Islamic banks still benchmark their products especially home financing, to interest rates in dual banking system such as in the case of Malaysia. To the best of the authors’ knowledge, studies conducted in this area are meager and therefore is imperative to be examined.

scholarly journals Are some taxes better for growth in Pakistan? A time series analysis

2018 ◽  
Vol 45 (10) ◽  
pp. 1439-1452 ◽  
Author(s):  
Kashif Munir ◽  
Maryam Sultan
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
International Trade ◽  
Sales Tax ◽  
Tax Base ◽  
Content Type ◽  
Long Run ◽  
Indirect Taxes ◽  
Short Run ◽  
The Impact

Purpose The purpose of this paper is to analyze the impact of taxes on economic growth in the long run as well as in the short run. Design/methodology/approach The study uses simple time series model, where real GDP is dependent variable and different forms of taxes are explanatory variables under ARDL framework from 1976 to 2014 at annual frequency for Pakistan. Findings Direct taxes have positive relation with economic growth in the long run. Sales tax, tax on international trade (tariffs) and other indirect taxes have positive impact on economic growth of Pakistan in the long run as well as in the short run. However, sales tax and other indirect taxes impact negatively on economic growth in the short run after one year because people realize decline in their real income. Practical implications Government should increase direct taxes by increasing tax base. Indirect taxes usually indicate negative impact after one and two years; therefore, government should decrease its reliance on indirect taxes. Government should promote tax awareness among the people which increase the tax morale of people and increase the tax base. Originality/value Taxes are disaggregated into direct and indirect taxes, while indirect taxes have been further disaggregated into excise duty, sales tax, surcharges, tax on international trade and other indirect taxes. This study provides useful insight for policy makers in designing taxes and their effect on growth.

Does Ban on Futures trading (de)stabilise spot volatility?

2019 ◽  
Vol 9 (2) ◽  
pp. 145-166 ◽  
Author(s):  
Neharika Sobti
Keyword(s):  
Granger Causality ◽  
Price Discovery ◽  
Futures Trading ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Spot Volatility ◽  
Non Parametric

Purpose The purpose of this paper is to ascertain the possible consequences of ban on futures trading of agriculture commodities in India by examining three critical issues: first, the author explores whether price discovery dominance changes between futures and spot in the pre-ban and post-relaunch phase both in the long run and short run. Second, the author examines the impact of ban and relaunch of futures trading on its underlying spot volatility for five sample cases of agriculture commodities (Wheat, Sugar, Soya Refined Oil, Rubber and Chana) using both parametric and non-parametric tests. Third, the author revisits the destabilization hypothesis in the light of ban on futures trading by examining the impact of unexpected component of liquidity of futures on spot volatility. Design/methodology/approach The author uses widely adopted methodology of co-integration to examine long-run relationship between spot and futures, while the short-run relationship is investigated using vector error correction model (VECM) and Granger causality to test price discovery in the pre-ban and post-relaunch phases. The second objective is explored using a combination of parametric and non-parametric tests such as Welch one-way ANOVA and Kruskal–Wallis test, respectively, to gauge the impact of ban on futures trading on spot volatility along with post hoc tests to investigate pairwise comparison of spot volatility among three phases (pre-ban, ban and post-relaunch) using Dunn Test. In addition, extensive robustness test is undertaken by adopting augmented E-GARCH model to ascertain the impact of ban and relaunch of futures trading on spot volatility. The third objective is investigated using Granger causality test between spot volatility and unexpected component of liquidity of futures estimated using Hodrick and Prescott (HP) filter to re-visit the destabilization hypothesis. Findings The author found extensive evidence for the dominance of futures market in the price discovery of agriculture commodities both in the pre-ban and post-relaunch phases in India. The ban on futures trading is found to have a destabilizing impact on spot volatility as evident from the findings of Wheat, Sugar and Rubber. In addition, it is observed that spot volatility was highest during the ban phase as compared to the pre-ban and post-relaunch phases for all four commodities barring Chana. The author found that destabilisation hypothesis holds true during the pre ban phase, while weakening of destabilization hypothesis is observed in the post-relaunch phase as unexpected futures liquidity has no role in driving the spot volatility. Originality/value This study is a novel attempt to empirically examine the potential impact of ban and relaunch of futures trading of agriculture commodities on two key market quality dimensions – price discovery and spot volatility. In addition, destabilization hypothesis is revisited to investigate the impact of futures trading on spot volatility during the pre-ban and post-relaunch period.

An empirical note on entrepreneurship and unemployment

2016 ◽  
Vol 5 (1) ◽  
pp. 73-81 ◽  
Author(s):  
Nicholas Apergis ◽  
James E Payne
Keyword(s):  
Error Correction ◽  
Panel Cointegration ◽  
Personal Income ◽  
Entrepreneurial Activity ◽  
Cross Sectional ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
Per Capita ◽  
Capita Personal Income

Purpose – The purpose of this paper is to extend the existing literature on the causal dynamics between entrepreneurship and the unemployment rate (UR) in the use of the Kauffman Foundation index of entrepreneurial activity. Design/methodology/approach – Recently developed panel unit root tests with recognition of cross-sectional dependence and panel cointegration/error correction modeling techniques are applied to US States. Findings – The results indicate that the rate of entrepreneurship, the UR, and real per capita personal income are cointegrated. The panel error correction model reveals that bidirectional causality exists among the variables in both the short run and long run. With respect to entrepreneurship, an increase in the UR increases the rate of entrepreneurship, in turn, an increase in the rate of entrepreneurship lowers the UR. Moreover, the results also show a positive bidirectional relationship between the rate of entrepreneurship and real per capita personal income. Originality/value – Unlike other standard measures of entrepreneurship, this is the first empirical study of the causal dynamics between entrepreneurship and the UR using the Kauffman Foundation index of entrepreneurial activity.

scholarly journals The long run relationship between fish production, marine trade balance and foreign direct investment

2020 ◽  
Vol 5 (3) ◽  
pp. 271-280
Author(s):  
Naseem H. Jamei ◽  
Mira Nurmakhanova ◽  
Shahbaz Mustafa ◽  
Alloysius Egbulonu ◽  
Wagdi Hadidan
Keyword(s):  
Foreign Direct Investment ◽  
Trade Balance ◽  
Direct Investment ◽  
Design Methodology ◽  
Fish Production ◽  
Content Type ◽  
Gulf Countries ◽  
Long Run ◽  
Short Run ◽  
The Impact

Purpose This paper aims to focus on testing the long-run relationship between fish production and two main variables, the foreign direct investment inflow and the marine trade balance in Oman, which is one of the Arab Gulf countries, during the period 1985-2016. Design/methodology/approach This study uses what known as the two-step Engle–Granger cointegration test to give evidence for the long-run relationship among the variables. Findings The results show that there are a negative long- and short-run relations between fish production and marine trade balance; moreover, any shocks will be corrected within two periods at the most.  Originality/value This study is one of few studies in using the econometric models to study the impact of fish production on marine trade balance and foreign direct investment.

The long run impact of immigration on labor market in an advanced economy

2015 ◽  
Vol 42 (4) ◽  
pp. 356-367
Author(s):  
Faridul Islam ◽  
Saleheen Khan
Keyword(s):  
Labor Market ◽  
Gdp Per Capita ◽  
Advanced Economy ◽  
Content Type ◽  
Dynamic Relationship ◽  
Long Run ◽  
The Usa ◽  
Short Run ◽  
Per Capita ◽  
The Impact

Purpose – The purpose of this paper is to examine the dynamic relationship among immigration rate, GDP per capita, and and real wage rates in the USA. Design/methodology/approach – The paper implements the Johansen-Juselius (1990, 1992) cointegration technique to test for a long-run relationship; and for short-run dynamics the authors apply Granger causality tests under the vector error-correction model. Findings – The results show that the long-run causality runs from GDP per capita to immigration, not vice versa. Growing economy attracts immigrants. The authors also find that immigration flow depresses average weekly earnings of the natives in the long-run. Originality/value – The authors are not aware of any study on the USA addressing the impact of immigrants on labor market using a tripartite approach by explicitly incorporating economic growth. It is therefore important to pursue a theoretically justified empirical model in search of a relation to resolve on apparent immigration debate.

Reconsidering the role of Tobin’s Q

2015 ◽  
Vol 32 (2) ◽  
pp. 222-234 ◽  
Author(s):  
Mark J. Holmes ◽  
Nabil Maghrebi
Keyword(s):  
Error Correction ◽  
Tobin’S Q ◽  
Tobin's Q ◽  
Content Type ◽  
Investment Expenditure ◽  
Long Run ◽  
The Impact ◽  
The Relationship ◽  
Long Run Equilibrium ◽  
Real Investment

Purpose – The purpose of this study is to investigate nonlinearities in the behavior of investment expenditure. Conventional wisdom suggests that Tobin’s Q criterion is an important explanation of investment behaviour that bridges the financial and real sides of the economy. However, the empirical evidence in support of Q as a means of explaining aggregate business investment is rather weak. We answer a number of questions about the relationship between investment expenditure and Q. In particular, is the relationship governed by non-linearities? If so, what is the nature of the non-linearities present? Design/methodology/approach – The rationale for paying closer attention to non-linearities is based on the presence of information asymmetries and possible dependence of adjustments on non-linearities with respect to factors such as fixed costs, threshold effects and irreversibility, which are entertained in the investment literature. Using the non-linear vector error-correction model procedure advocated by Hansen and Seo, we show that in the context of the US economy, investment has a long-run relationship with Q that is based on threshold error correction. Findings – There are asymmetries present with respect to error correction or the speed of adjustment towards long-run equilibrium. We find that investment expenditure only responds significantly to long-run disequilibrium from Q during a particular regime. Such a regime is characterised by long-run disequilibrium based on high or rising investment expenditure compared with a relatively weak stock market. Originality/value – The authors provide new insights into the relationship between Tobin’s Q and real investment. In contrast to previous work, they find that error correction based on the adjustment of real investment is regime-specific and function of the size of departures from long-run equilibrium. The tests also allow for the identification of periods when error correction has occurred. Not only are these insights significant for future research on financial crises, market volatility and the impact of debt, but for policymaking purposes as well.

scholarly journals Assessing the influence of exchange rate on agricultural commodity export price: evidence from Vietnamese coffee

2020 ◽  
Vol 22 (2) ◽  
pp. 297-309
Author(s):  
Trung Tuyen Dang ◽  
Caihong Zhang ◽  
Thi Hong Nguyen ◽  
Ngoc Trung Nguyen
Keyword(s):  
Exchange Rate ◽  
Granger Causality ◽  
Export Price ◽  
Agricultural Commodity ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Commodity Export ◽  
Short Run ◽  
The Impact

PurposeThe purpose of this paper is to evaluate the influence of VND/USD exchange rate on Vietnamese coffee export price (PVN).Design/methodology/approachThe study uses cointegration test, Granger causality test and vector autoregression (VAR) model.FindingsThe results reveal that there is no co-integrating equation between two variables. It means the exchange rate does not have an effect on PVN in the long run. Furthermore, there is one Granger causality relationship between VND/USD exchange rate and PVN in the short run, but not vice versa. The study suggests that the first previous period of PVN is the most closely related variable which has the greatest impact on the variation of PVN among the selected variables, meanwhile the effect of VND/USD exchange rate on it, contrarily, is positive and very trivial.Originality/valueIn overall, the impact of VND/USD exchange rate on Vietnamese coffee export price (PVN) has been analyzed deeply in this research by applying new approaches.

Impact of terrorism on stock markets across the world and stock returns

2019 ◽  
Vol 26 (3) ◽  
pp. 793-807 ◽  
Author(s):  
Laila Memdani ◽  
Guruprasad Shenoy
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Performance Measure ◽  
Short Term ◽  
Content Type ◽  
Global Indices ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Affected Country

Purpose The purpose of this paper is to study the following: short-run and long-run associations between the terror-affected country’s stock market index and other global countries’ equity indices and gold; the volatility of stock market indices when one of the countries is affected by a terrorist attack; and the linkages between terrorism and the returns in the selected stock markets. Design/methodology/approach To study the impact of the Taj attack on other global indices, the authors selected top five countries’ stock market indices, namely, FTSE, DJI, NIKKEI, SSEC and DAX. The short-run and long-run associations are also compared with gold. The authors used the autoregressive distributed lag model, LM test and bounds test for analyzing the short-run and long-run impact; ARCH family models to study the volatility impact; and the MAR model to study the impact on returns. Findings The authors found that all the global indices had a short-run association with the terror-affected country’s benchmark index, i.e. BSE. Gold moved as expected, with it having a short-run impact on the terror-affected country. All the global indices except DJI have volatility of share price movement either positively or negatively. As the benchmark of the terror-affected country fell, NIKKEI, HSI, IXIC, DAX and CAC also fell; that is, it had a positive influence on the terror-affected country’s index. Post the Mumbai attacks, DJI, NIKKEI, SSEC, DAX, BSE and CAC performed well in performance measure returns compared with the pre-attack period. Whereas, FTSE and GOLD performed well in performance measure returns in the pre-attack period compared with the post-attack period. GOLD proved that it is the best avenue to invest in, as it has only a short-term association with the terror-affected country’s index. Research limitations/implications The authors studied the short-run and long-run associations with only five countries’ benchmark indices. Practical implications The authors found that all the global indices had long- and short-run associations with the terror-affected country’s benchmark index, i.e. BSE. Global indices like DJI, NIKKEI, SSEC, DAX and FTSE had a short-term association with the affected country’s index. Gold moved as expected, with it having a short-run impact on the terror-affected country. All the global indices except DJI have volatility of share price movement either positively or negatively. As the benchmark of the terror-affected country fell, NIKKEI, HSI, IXIC, DAX, TSX, BVSP and CAC also fell; i.e., it had a positive influence on the terror-affected country’s index. Post the Mumbai attacks, DJI, NIKKEI, SSEC, DAX, BSE and CAC performed well in performance measure returns compared with the pre-attack period. Whereas, FTSE and GOLD performed well in performance measure returns in the pre-attack period compared with the post-attack period. GOLD proved that it is the best avenue to invest in, as it has only a short-term association with the terror-affected country’s index. In all the relationships were mixed with respect to terror attacks, and GOLD took the lead run out of all the associations it had in the 16-year time span from 2000 to 2016. Social implications The research has got an important implication to the investors. It shows that patience is the key, as all the indices had only short-term associations with the BSE. It implies that investors’ returns will be negative in the short run, but if they continue investing, in the long run, the impact of terrorism tapers out and the returns will increase. Originality/value There is a lot of research done on the impact of the US attacks on the stock markets of other countries, but on the impact of the Taj attack in India, there is hardly any research.

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