Financial Deepening and Economic Growth in Jamaica

2017 ◽  
Vol 18 (1) ◽  
pp. 1-18 ◽  
Author(s):  
Alton Best ◽  
Brian M. Francis ◽  
C. Justin Robinson
Keyword(s):  
Economic Growth ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Annual Data ◽  
Financial Deepening ◽  
The Real ◽  
Long Run ◽  
Out Of Sample

The paper empirically examines the question of whether bank liquid reserves to bank assets ratio and domestic credit to private sector as a percentage of GDP strengthens financial deepening on the real sector and hence catalyzes economic growth in Jamaica. A Granger causality approach is employed within a multivariate framework. Cointegration is used to examine the short- and long-run relationships within the model. Innovative accounting techniques (impulse response function and variance decomposition) are also utilized to determine the out-of-sample relation between financial deepening and economic growth. The empirical analysis is conducted with annual data from 1980 to 2014 with three proxies for financial deepening. The empirical evidence suggests a ‘supplying-leading’ relationship in both the short and long run. These results are confirmed by the innovation accounting techniques (impulse response function and the variance decomposition). Our findings imply that Jamaica should first concentrate on developing its financial sectors which has the potential to spur higher levels of economic growth in the real sectors of the economy.

scholarly journals Oil Consumption in Transport and Economic Growth Nexus: Empirical Evidence from Cameroon

2018 ◽  
Vol 14 (10) ◽  
pp. 409
Author(s):  
Youssouf Nvuh Njoya ◽  
Mouhamed Mbouandi Njikam
Keyword(s):  
Economic Growth ◽  
Error Correction ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Error Correction Model ◽  
Annual Data ◽  
Oil Consumption ◽  
Correction Model ◽  
Long Run

This paper focuses on casting light on the causal relationship between oil consumption in transport and economic growth in Cameroon. This paper uses an annual data covering the period 1975-2014, which is a five-step modern time series techniques. They include the Unit root tests, co-integration analysis, and Granger-causality based on error correction model. As a robustness test, we made use of the impulse response function and variance decomposition to portray the correlations between variables. The main result highlighted in the present paper point out the presence of a long-run equilibrium relationship between oil consumption in transport and economic growth. The error correction model shows that an estimated 1% increase in economic growth causes a rise in oil consumption in transport by 1.29 % in the long run. Another results show that there exists bidirectional causality in the long-run relationship and there was no causality in the short-run relationship at the 5% level of significance. The decomposition of the variance and impulse response function indicates a dissymmetric of the variance of the prediction error and the dynamic properties of the system. This study provides a basis for the discussion of energy consumption in transport policies in order to maintain a sustainable economic growth in Cameroon.

Interest Rate–Economic Growth Nexus Under Currency Board Operations

2021 ◽  
Vol 8 (1) ◽  
pp. 13-24
Author(s):  
Martinianus Tshimologo Tibinyane ◽  
Teresia Kaulihowa
Keyword(s):  
Economic Growth ◽  
Interest Rate ◽  
Impulse Response ◽  
Response Function ◽  
Open Economy ◽  
Small Open Economy ◽  
Impulse Response Function ◽  
Policy Instrument ◽  
Variance Decomposition ◽  
Currency Board

This paper analyses the effect of the prime interest rate as a monetary policy instrument to stimulate economic growth in Namibia, a small open economy that is constrained by currency board operations. A Vector Autoregressive Model (VAR) was used for the period 1980–2019. The result shows that Namibia’s prime interest rate has no significant effect on economic growth. This finding remains robust and consistent when impulse response function and variance decomposition are employed. The impulse response function indicates a shock on the prime interest rate exhibits an inverse relationship. However, this effect is insignificant in both short and long-run scenarios. The variance decomposition indicates that the prime interest rate has a strongly exogenous impact, implying it has a weak influence on GDP growth. Policy implication indicates that small open economies under currency board operations need to identify different policy responses to circumvent external shocks and addresses their development needs.

scholarly journals The Impact of Agricultural Exports on Economic Growth in Nigeria

2016 ◽  
Vol 64 (2) ◽  
pp. 691-700 ◽  
Author(s):  
Nahanga Verter ◽  
Věra Bečvářová
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Agricultural Trade ◽  
Variance Decomposition ◽  
Ols Regression ◽  
Agricultural Exports ◽  
The Impact

Agriculture is the backbone of Nigeria’s socioeconomic development. This paper investigates the impact of agricultural exports on economic growth in Nigeria using OLS regression, Granger causality, Impulse Response Function and Variance Decomposition approaches. Both the OLS regression and Granger causality results support the hypothesis that agricultural exports- led economic growth in Nigeria. The results, however, show an inverse relationship between the agricultural degree of openness and economic growth in the country. Impulse Response Function results fluctuate and reveal an upward and downward shocks from agricultural export to economic growth in the country. The Variance Decomposition results also show that a shock to agricultural exports can contribute to the fluctuation in the variance of economic growth in the long run. For Nigeria to experience a favourable trade balance in agricultural trade, domestic processing industries should be encouraged while imports of agricultural commodities that the country could process cheaply should be discouraged. Undoubtedly, this measure could drastically reduce the country’s overreliance on food imports and increase the rate of agricultural production for self-sufficiency, exports and its contribution to the economic growth in the country.

scholarly journals ANALISIS DAMPAK KEBIJAKAN MONETER TERHADAP VARIABEL MAKROEKONOMI DI INDONESIA TAHUN 1983.1 - 2003.2

2005 ◽  
Vol 7 (2) ◽  
Author(s):  
Umi Julaihah ◽  
Insukindro Insukindro
Keyword(s):  
Economic Growth ◽  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Macroeconomic Variables ◽  
Price Puzzle

The objectives of this study are to analyze the effect of monetary policy on Indonesian economy and which monetary instruments can explain the variability of macroeconomic variables better.We apply Vector Error Correction Model on quarterly Indonesian economic data during period of 1983.1 - 2003.2. We observe monetary policy variables namely base money, SBI interest rate, one month commercial bank deposit interest rate, and macroeconomic variables namely consumer price index, gross domestic product, and exchange rate (rupiah/dollar). The model approach provide us two quantitative measurements, (i) impulse response function that can trace the response of one endogenous variable caused by shock/ innovation of other variables in the model; (ii) variance decomposition to show the relative contribution of certain endogenous variable variability.The result of impulse response function shows that economic growth did not response the shock of base money while on the other hand the base money has significant effect on inflation. This leaves a price puzzle and liquidity puzzle. The use of SBI as policy variable gives better result than base money as price puzzle and liquidity puzzle vanish. The result of variance decomposition shows that base money contributes only 5% on inflation but it did not give any contribution on economic growth fluctuation. While SBI has better capability in explaining the economic growth fluctuation until 14%. The interesting result is policy variables (base money and SBI) have best contribution in explain the fluctuation on exchange rate. These findings assert that policy shock is well responded by exchange rate rather than other economic variables.Keywords: monetary policy, impulse response function, variance decomposition.JEL : C32, E52, F31, F43

Global Patents on 3D Printing: Revelations Based on Vector Autoregression Analysis for Three Decades

2016 ◽  
Vol 13 (06) ◽  
pp. 1750004 ◽  
Author(s):  
Rohit S. Kannattukunnel
Keyword(s):  
3D Printing ◽  
Impulse Response ◽  
Response Function ◽  
Time Series Data ◽  
Vector Autoregression ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Series Data ◽  
Vec Model ◽  
The Government

Engineers and designers from automotive and aerospace sectors have been using 3D printing (3DP) for decades to build prototypes. However, 3DP became popular only recently. This paper is divided into three sections. Section 1 is introductory in nature, which deals with current trends, the modeling process of printing and deliberation on different categories of 3DP. Section 2 deals with the research methodology. An exquisite technique to study innovation dealing with time series data, called the vector autoregression (VAR), is performed to analyze the world patent data on 3DP, based on the information provided by the Government of UK and the International Monetary Fund (IMF). Section 3 attempts to forecast future trends on 3DP by using two techniques viz. impulse response function and variance decomposition. The VAR analysis performed revealed that GDP is not directly instrumental in the advancement in patenting of 3DP technology. Results captured by way of impulse response function suggest that when a shock is given to PR itself, it decreases sharply, whereas when a shock is given to investment, PR undergoes a steady decline. Thus, if there is any adverse shock imparted on investments, it directly reduces the patent ratio. Lastly, when an impulse is given to GDP, PR continuously increases, which implies that increase in GDP causes hike in investment which ultimately increases PR. The results of variance decomposition indicate that in the initial periods, PR itself explains the maximum variance, followed by the GDP and to the least by investment. The changes observed with the trend of explanatory character of variance imply that more investments in technology are instrumental in increasing patent ratio in the G7 countries as per the vector error correction (VEC) model developed here. Though during the nascent stage of emerging technologies investment in technology may not necessarily increase the patent ratio, the result obtained brings to light interesting insights.

scholarly journals ANALISIS DAMPAK INVESTASI TERHADAP PEREKONOMIAN DAERAH: STUDI KASUS INVESTASI PERTAMBANGAN MINERAL LOGAM PROVINSI PAPUA

2020 ◽  
Vol 2 (1) ◽  
pp. 11-28
Author(s):  
Fadhila Achmadi Rosyid
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Vector Autoregression ◽  
Impulse Response Function ◽  
Variance Decomposition

Sektor pertambangan salah satunya dicirikan sebagai kegiatan yang padat modal. Biaya modal atau investasi dikeluarkan oleh pemilik Ijin Usaha Pertambangan mulai dari tahap penyelidikan umum sampai dengan beroperasinya kegiatan penambangan. Aktivitas investasi secara umum akan berdampak kepada masyarakat sekitar ataupun daerah karena meningkatkan kegiatan ekonomi dan kesempatan kerja, meningkatkan pendapatan nasional, dan meningkatkan taraf kemakmuran masyarakat. Dalam hal investasi di bidang pertambangan, penelitian ini akan mengevaluasi pengaruh investasi sektor pertambangan logam terhadap perekonominan di Provinsi Papua. Analisis dilakukan dengan metode Vector Autoregression (VAR) dengan memperhatikan Impulse Response Function (IRF) dan Variance Decomposition (VD) terhadap variabel-variabel sebagai berikut; investasi, pertumbuhan PDRB umum provinsi Papua, PDRB sektor pertambangan, PDRB sektor pertanian, PDRB sektor konstruksi, serta tenaga kerja pada sektor tersebut. Hasilnya menunjukkan investasi sektor pertambangan logam memberikan dampak yang positif terhadap PDRB total Provinsi Papua, PDRB sektor pertambangan dan pertanian, serta nilai tambah dalam hal tenaga kerja di sektor pertambangan. Respon negatif diberikan oleh PDRB sektor konstruksi karena peningkatan investasi dan PDRB sektor pertambangan. Sektor konstruksi diindikasi hanya memberikan dampak keterkaitan yang rendah kepada sektor yang lain dilihat dari kontribusi PDRB sektor tersebut terhadap pembentukan PDRB sektor pertanian yang rendah dan respon yang rendah dari PDRB sektor pertambangan.

scholarly journals DETERMINANTS OF REAL EXCHANGE RATE IN ETHIOPIA

2016 ◽  
Vol 4 (6) ◽  
pp. 183-210
Author(s):  
Nandeeswara Rao ◽  
TassewDufera Tolcha
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Impulse Response ◽  
Variance Decomposition ◽  
Capital Inflow ◽  
Terms Of Trade ◽  
Nominal Exchange Rate ◽  
The Real ◽  
Long Run ◽  
Short Run

Real exchange rate has direct effects on trade particularly on international trade and has indirect effects on productions and employments, so it is crucial to understand the factors which determine its variations. This study analyses the main determinants of the real exchange rate and the dynamic adjustment of the real exchange rate following shocks to those determinants using yearly Ethiopian time series data covering the period 1971 to 2010. It begins with a review of literatures on Exchange rate, real exchange rate, determinants of the real exchange rate and provides an updated background on the exchange rate system in Ethiopia. An empirical model linking the real exchange rate to its theoretical determinants is then specified. This study had employed the cointegration and vector autoregression (VAR) analysis with impulse response and variance decomposition analyses to provide robust long run effects and short run dynamic effects on the real exchange rate. Share of investment, foreign exchange reserve, capital inflow and government consumption of non-tradable goods were the variable that have been found to have a long run relationship with the real exchange rate. The estimate of the speed of adjustment coefficient found in this study indicates that about a third of the variation in the real exchange rate from its equilibrium level is corrected within a year. The regression result of VECM reveals that terms of trade, nominal exchange rate, and one period lag of capital flow were the variables significantly affects the real exchange rate in the short run. However, the impulse response and variance decomposition analysis shows a better picture of the short run dynamics. The their analysis provided evidence that the Shocks to terms of trade, nominal exchange rate, capital inflow and share of investment have persistent effects on the real exchange rate in the short run. In general the regression results of both long run and short run models mostly suggest that the fluctuations of real exchange rates are predominantly responses to monetary policies shocks rather than fiscal policy shocks.

scholarly journals Pengaruh Inflasi, Nilai Tukar Rupiah, Jumlah Uang yang beredar dan Jakarta Islamic Index (JII) terhadap Nilai Aktiva Bersih Reksadana Syariah

2017 ◽  
Vol 1 (1) ◽  
pp. 15-33
Author(s):  
Ulul Albab Badru Zaman
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Microsoft Excel ◽  
Vector Autoregressive

Penelitian ini bertujuan untuk mengetahui Pengaruh Inflasi, Nilai Tukar Rupiah, Jumlah Uang Beredar dan Jakarta Islamic Index (JII) terhadap Nilai Aktiva Bersih Reksadana Syariah selama periode Januari 2012-Desember 2015. Data yang digunakan dalam penelitian ini adalah data bulanan dari masing-masing variabel. Metode analisis yang digunakan dalam penelitian ini adalah Vector Autoregressive (VAR) dengan menggunakan Microsoft Excel 2010 dan Eviews versi 9.0. Hasil penelitian ini menemukan bahwa: (1) Berdasarkan uji Kausalitas Granger, tidak ada variabel yang menunjukkan hubungan kausalitas dua arah dengan NAB Reksadana Syariah. Akan tetapi, hanya variabel Kurs yang masih menunjukkan hubungan kausalitas satu arah dengan NAB Reksadana Syariah. (2) Berdasarkan uji Impulse Response Function, NAB Reksadana Syariah menunjukkan respons yang tidak stabil terhadap guncangan pada variabel Nilai Tukar Rupiah, Jumlah Uang Beredar dan Jakarta Islamic Index (JII) Akan tetapi, guncangan pada masing-masing variabel cenderung direspons secara positif oleh variabel NAB Reksadana Syariah. (3) Berdasarkan uji Variance Decomposition, variabel yang memberikan pengaruh guncangan terbesar yaitu variabel NAB Reksadana Syariah itu sendiri diikuti dengan Jakarta Islamic Index (JII), Jumlah Uang Beredar, Nilai Tukar Rupiah dan Inflasi.

scholarly journals PENGARUH PERTAMBAHAN KASUS COVID-19 ANTARA PROVINSI DKI JAKARTA DAN JAWA TIMUR MENGGUNAKANVECTOR AUTOREGRESSIVE

2021 ◽  
Vol 2020 (1) ◽  
pp. 146-151
Author(s):  
Adina Astasia ◽  
Surya Wagito ◽  
Fitri Bunga Adelia ◽  
You Ari Faeni
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Vector Autoregressive

Pertambahan kasus covid-19 di Jakarta dan Jawa Timur menjunjukkan tren yang saling berkesinambungan. Mobilitas penduduk yang tinggi merupakan salah satu faktor yang mempengaruhi penyebaran penyakit di berbagai wilayah. Charu (2017) melakukan studi mengenai penyebaran penyakit influenza di Amerika Serikat selama 2002-2010 dengan hasil bahwa setiap epidemi dapat dikaitkan dengan peristiwa penularan jarak jauh yang akan memicu transmisi selanjutnya. Penelitian ini bertujuan untuk mengetahui efek dinamika pertambahan kasus covid-19 di Jakarta dan Jawa Timur. Variabel yang digunakan pada penelitian ini adalah data pertambahan kasus covid-19 di Jakarta dan Jawa Timur dari @kawalcovid-19. Metode Vector Autoregressive (VAR) dengan Impulse Response Function (IRF) dan Variance Decomposition (VDC) dipilih karena mampu menjelaskan respon yang terjadi di suatu wilayah terhadap shock di wilayah itu sendiri dan wilayah lain. Penelitian ini membuktikan adanya pengaruh positif dan signifikan pertambahan kasus covid-19 di Jakarta terhadap pertambahan kasus covid-19 di Jawa Timur.

Environmental Pollution and Economic Growth

2014 ◽  
Vol 535 ◽  
pp. 340-345 ◽  
Author(s):  
Meng Li ◽  
Dan Wang
Keyword(s):  
Economic Growth ◽  
Environmental Pollution ◽  
Impulse Response ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Important Variable ◽  
Western China ◽  
Response Analysis ◽  
Lag Effect ◽  
The One

This paper utilize generalized impulse response function of the VAR model and variance decomposition method to investigate the effects of long-term dynamic characteristics between environmental pollution indicators and GDP per capita in 11 provinces of western China in the 1992-2010.Impulse response analysis showed that:on the one hand economic growth is a major cause of environmental pollution.Environmental pollution on the other hand, economic growth, there are also a reverse effect.however, this force has a certain lag effect. Variance decomposition results show that although environmental pollutionis an important variable to forecast economic growth, the economic growth has little contribution to explain various types of environmental pollution predictor.

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