An Analysis of the Importance of Terms of Trade in South Africa Using Impulse Response Function

2020 ◽  
pp. 097215092091655
Author(s):  
Temitope L. A. Leshoro
Keyword(s):  
South Africa ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Output Growth ◽  
Terms Of Trade ◽  
Export Market ◽  
Stable States ◽  
Long Run ◽  
Negative Shock

The understanding of the terms of trade is essential as its worsening can cause severe disruptions in any economy. South Africa, as a developing nation and a net importer, coupled with its low contribution to the global export market, is not spared the effects of the volatility of export prices. It is therefore important to observe the effects of a negative shock in the commodity terms of trade on selected key macroeconomic variables. Using quarterly data from the period 1988: Q2 to 2019: Q3, the study adopted the Monte Carlo impulse response function and variance decomposition analyses to examine the path of a given variable that resulted from a negative shock in the terms of trade. The results showed that all the variables responded, as expected, to the shock in the commodity terms of trade, both in the short and long run, and that they all returned to stable states. The study further showed the importance of output growth, exchange rate and investment in explaining the commodity terms of trade decomposition. The study concludes by providing some policy recommendations.

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.

scholarly journals Linkages between Trade Openness, Productivity and Industrialization in Nigeria: A Co-integration Test

2017 ◽  
Vol 8 (2) ◽  
pp. 78
Author(s):  
Ilemona Adofu ◽  
Innocent Okwanya
Keyword(s):  
Total Factor Productivity ◽  
Impulse Response ◽  
Response Function ◽  
Trade Openness ◽  
Impulse Response Function ◽  
Policy Implications ◽  
Industrial Output ◽  
Factor Productivity ◽  
Long Run ◽  
Integration Test

This study examines the effect of trade openness and total factor productivity on industrial output in Nigeria. The data used for this analysis covers the period 1981-2015. The paper employs the VAR model in estimating the effect of trade openness on industrial output. The impulse response function and the variance decomposition are used to examine the response of industrial output to shocks in trade openness and total factor productivity. The results show that trade openness has a positive increasing effect on industrial output in Nigeria while the effect of total factor productivity on industrial output is found to be insignificant. The impulse response function shows over the long run period tfP negative effect on industrial output in Nigeria. The findings of this study certainly have important policy implications: it suggests that policies geared towards increasing trade openness should be encouraged as this tends to improve industrial output. This study contributes to economics literature by looking at the degree to which trade openness and total factor productivity influence industrial output in Nigeria.

scholarly journals Investigating the Relationship between Composite, Islamic, and Conventional Indexes in Indonesia

2021 ◽  
Vol 1 (2) ◽  
pp. 82-101
Author(s):  
Ikram Nur Muharam ◽  
Muhamad Abduh
Keyword(s):  
Financial Markets ◽  
Impulse Response ◽  
Response Function ◽  
Financial Market ◽  
Composite Index ◽  
Impulse Response Function ◽  
Long Run ◽  
Short Run ◽  
The Relationship

Apart from the question of whether all indexes in financial markets are driven by similar factors, this study examines the long and short-run relationships between the composite index (JKSE), Islamic index (JII), and pure non-Islamic index (NST7) in the Indonesia financial market. The results show that there is at least one cointegrated equation among the JKSE, JII, and NST7. Furthermore, the output from VECM shows that only the JII has a significant long-run relationship with the JKSE. In the case of short-run relationships, the JII and NST7 do not significantly affect the JKSE, while the JII was significantly influenced by the JKSE. Otherwise, the Impulse Response Function shows that a shock on the JII will negatively affect both the JKSE and the NST7, while a shock on the NST7 is not very influential on the JKSE or the JII.

Fractional Vector-Order h-Realisation of the Impulse Response Function

2020 ◽  
Vol 14 (2) ◽  
pp. 108-113
Author(s):  
Ewa Pawłuszewicz
Keyword(s):  
Control Systems ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Linear Control ◽  
Linear Control Systems

AbstractThe problem of realisation of linear control systems with the h–difference of Caputo-, Riemann–Liouville- and Grünwald–Letnikov-type fractional vector-order operators is studied. The problem of existing minimal realisation is discussed.

scholarly journals The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies

2021 ◽  
Vol 13 (2) ◽  
pp. 676
Author(s):  
Ramiz ur Rehman ◽  
Muhammad Zain ul Abidin ◽  
Rizwan Ali ◽  
Safwan Mohd Nor ◽  
Muhammad Akram Naseem ◽  
...  
Keyword(s):  
South Africa ◽  
Function Analysis ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Individual Country ◽  
Brics Countries ◽  
Long Run ◽  
Integration Test ◽  
Short Run ◽  
Equity Indices

This study investigates the integration of environmental, social, and governance (ESG) equity indices with conventional indices in Brazil, Russia, India, China, and South Africa (BRICS) individually and across all BRICS countries to better understand regional economic cooperation. Accordingly, we look at daily returns from 13 July 2013 to 28 February 2018 for the Morgan Stanley Capital International (MSCI) ESG indices and MSCI composite indices of the respective countries. To analyze the integration between the ESG equity indices of the sampled countries with their regional and across regional conventional counterparts, the Johansen Co-integration test is employed in this study. Further, the vector error correction model (VECM) is applied to test the causality between the sampled time-series. The impulse response function analysis further explains the impulse responses of each country’s MSCI ESG returns to one standard deviation of innovations to MSCI composite returns of the same country and across countries. Finally, the extent of the MSCI composite returns’ impact on the MSCI ESG returns in the same country indices, and cross-regional indices is examined with variance decomposition analysis. The results suggest that all ESG equity indices are integrated with conventional indices in all BRICS countries. Furthermore, there is a short-or long-run causality between MSCI ESG and MSCI composite equity indices of China and South Africa. Moreover, the study finds only short-run causality between conventional and non-conventional equity indices of Brazil and Russia, whereas we find only long-run causality between India’s non-conventional and conventional equity indices. Finally, the study finds that the all-individual country MSCI ESG equity indices shows a long-run causality with MSCI composite equity indices of all other BRICS countries. The findings also confirm the economic and financial cooperation between the BRICS countries.

scholarly journals Convolution-based time-domain simulation for fluidelastic instability in tube arrays

2021 ◽  
Author(s):  
Mingjie Zhang ◽  
Ole Øiseth
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Time Domain ◽  
Impulse Response Function ◽  
Time Domain Simulation ◽  
Unit Step ◽  
Tube Arrays ◽  
Unit Impulse ◽  
The Time Domain ◽  
Unit Impulse Response

AbstractA convolution-based numerical algorithm is presented for the time-domain analysis of fluidelastic instability in tube arrays, emphasizing in detail some key numerical issues involved in the time-domain simulation. The unit-step and unit-impulse response functions, as two elementary building blocks for the time-domain analysis, are interpreted systematically. An amplitude-dependent unit-step or unit-impulse response function is introduced to capture the main features of the nonlinear fluidelastic (FE) forces. Connections of these elementary functions with conventional frequency-domain unsteady FE force coefficients are discussed to facilitate the identification of model parameters. Due to the lack of a reliable method to directly identify the unit-step or unit-impulse response function, the response function is indirectly identified based on the unsteady FE force coefficients. However, the transient feature captured by the indirectly identified response function may not be consistent with the physical fluid-memory effects. A recursive function is derived for FE force simulation to reduce the computational cost of the convolution operation. Numerical examples of two tube arrays, containing both a single flexible tube and multiple flexible tubes, are provided to validate the fidelity of the time-domain simulation. It is proven that the present time-domain simulation can achieve the same level of accuracy as the frequency-domain simulation based on the unsteady FE force coefficients. The convolution-based time-domain simulation can be used to more accurately evaluate the integrity of tube arrays by considering various nonlinear effects and non-uniform flow conditions. However, the indirectly identified unit-step or unit-impulse response function may fail to capture the underlying discontinuity in the stability curve due to the prespecified expression for fluid-memory effects.

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