scholarly journals Investigating the relationship between changes in oil prices and unemployment rate in Nigeria: linear and nonlinear autoregressive distributed lag approaches

2020 ◽  
Vol 6 (1) ◽  
Author(s):  
Isiaka Akande Raifu ◽  
Alarudeen Aminu ◽  
Abiodun O. Folawewo
Keyword(s):  
Unemployment Rate ◽  
Oil Prices ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Linear And Nonlinear ◽  
The Relationship ◽  
Nonlinear Autoregressive

Asymmetric relationship between tourist arrivals and employment

2020 ◽  
pp. 135481662091000
Author(s):  
Jitendra Sharma ◽  
Subrata Kumar Mitra
Keyword(s):  
Sri Lanka ◽  
Relative Stability ◽  
Annual Data ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Desirable Outcome ◽  
The Impact ◽  
The Relationship ◽  
Nonlinear Autoregressive ◽  
Reference Country

This article explores the relationship between the arrival of tourists and its impact on tourism-related employment. Considering the impact of tourist arrival on employment being asymmetric, we have analyzed the relationship using the nonlinear autoregressive distributed lag method proposed by Shin et al. The article analyzed how arrivals impact on employment taking Sri Lanka as a reference country and have used annual data of the variables obtained from the Sri Lanka Tourism Development Authority. It is found that for an increase in the tourist arrival by 1000, the tourism-related job employment rises by 83.8. On the contrary, with the decline in tourist arrival by the same number, the corresponding reduction in job employment is 29.8. The relatively lower reduction in employment with the fall of tourist arrival provides relative stability of employment to the tourism workforce and is a socially desirable outcome.

scholarly journals Symmetric and asymmetric effects of financial development on carbon dioxide emissions in Nigeria: Evidence from linear and nonlinear autoregressive distributed lag analyses

2020 ◽  
Vol 38 (5) ◽  
pp. 2059-2078 ◽  
Author(s):  
Philip C Omoke ◽  
Silva Opuala-Charles ◽  
Chinazaekpere Nwani
Keyword(s):  
Carbon Dioxide ◽  
Financial Development ◽  
Carbon Dioxide Emissions ◽  
Asymmetric Effects ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Linear And Nonlinear ◽  
The Impact ◽  
Nonlinear Autoregressive

This study examines the impact of financial development on carbon dioxide emissions in Nigeria over the period 1971–2014. Income per capita, energy consumption, exchange rate and urbanization are incorporated in the analysis. The empirical analysis based on linear and nonlinear autoregressive distributed lag techniques provides evidence of long-run relationship among the variables in Nigeria. The results in general show that financial development has significant asymmetric effects on carbon dioxide emissions in Nigeria. Both short-run and long-run analyses show that the impact of positive changes in financial development on carbon dioxide emissions is significantly different from that of negative changes. The results suggest that in Nigeria positive shocks in financial development have significant reducing effect on carbon dioxide emissions, while negative shocks in financial development have significant increasing effect on carbon dioxide emissions. The empirical results also show that the response of carbon dioxide emissions to negative shocks in financial development is stronger. Based on these findings, this study concludes that mitigation policies would need to incorporate strategies to strengthen the depth of financial intermediation in the Nigerian economy.

scholarly journals Are Cryptocurrencies a Backstop for the Stock Market in a COVID-19-Led Financial Crisis? Evidence from the NARDL Approach

2021 ◽  
Vol 9 (3) ◽  
pp. 33
Author(s):  
Ahmed Jeribi ◽  
Sangram Keshari Jena ◽  
Amine Lahiani
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Safe Haven ◽  
Crisis Period ◽  
Fund Managers ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
The Relationship ◽  
Nonlinear Autoregressive

The study investigates the safe haven properties and sustainability of the top five cryptocurrencies (Bitcoin, Ethereum, Dash, Monero, and Ripple) and gold for BRICS stock markets during the COVID-19 crisis period from 31 January 2020 to 17 September 2020 in comparison to the precrisis period from 1 January 2016 to 30 January 2020, in a nonlinear and asymmetric framework using Nonlinear Autoregressive Distributed Lag (NARDL) methodology. Our results show that the relationship dynamics of stock market and cryptocurrency returns both in the short and long run are changing during the COVID-19 crisis period, which justifies our study using the nonlinear and asymmetric model. As far as a sustainable safe haven is concerned, Dash and Ripple are found to be a safe haven for all the five markets before the pandemic. However, all five cryptocurrencies are found to be a safe haven for three emerging markets, such as Brazil, China, and Russia, during the financial crisis. In a comparative framework, gold is found to be a suitable safe haven only for Brazil and Russia. The results have implications for index fund managers of BRICS markets to include Dash and Ripple in their portfolio as safe haven assets to protect its value during a stock market crisis.

scholarly journals A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index

Energies ◽  
2020 ◽  
Vol 13 (15) ◽  
pp. 4011
Author(s):  
David E. Allen ◽  
Michael McAleer
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Stationary Time Series ◽  
Bounds Testing ◽  
Jones Index ◽  
Distributed Lag ◽  
Price Series ◽  
Autoregressive Distributed Lag ◽  
West Texas ◽  
Nonlinear Autoregressive

The paper features an examination of the link between the behaviour of oil prices and DowJones Index in a nonlinear autoregressive distributed lag nonlinear autoregressive distributed lag (NARDL) framework. The attraction of NARDL is that it represents the simplest method available of modelling combined short- and long-run asymmetries. The bounds testing framework adopted means that it can be applied to stationary and non-stationary time series vectors, or combinations of both. The data comprise a monthly West Texas Intermediate (WTI) crude oil series from Federal Reserve Bank of St Louis (FRED), commencing in January 2000 and terminating in February 2019, and a corresponding monthly DOW JONES index adjusted-price series obtained from Yahoo Finance. Both series are adjusted for monthly USA CPI values to create real series. The results of the analysis suggest that movements in the lagged real levels of monthly WTI crude oil prices have very significant effects on the behaviour of the DOW JONES Index. They also suggest that negative movements have larger impacts than positive movements in WTI prices, and that long-term multiplier effects take about 9 to 12 months to take effect.

Asymmetric and nonlinear dynamics in trade flows sustainability: Serbia and Romania

2021 ◽  
Vol 71 (1) ◽  
pp. 161-180
Author(s):  
Mile Bošnjak
Keyword(s):  
Trade Flows ◽  
Model Specification ◽  
Development Pattern ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Nonlinear Form ◽  
Sustainable Equilibrium ◽  
The Relationship ◽  
Nonlinear Autoregressive

AbstractThe research examines the sustainability of trade flows for two European post-communist economies: Serbia and Romania. We analysed two nonlinear forms of the relationship between exports and imports that cannot be explained by frequently applied linear model specifications. Newly developed nonlinear autoregressive distributed lag approach revealed the asymmetric and nonlinear long-run equilibrium between Serbian exports and imports. Nonlinearity tests indicated and the SETAR model specification confirmed threshold nonlinearity form in the Serbian trade flows pattern. Serbian trade flows still approach its sustainable equilibrium but the development pattern is promising. The results for Romania revealed another nonlinear form of the relationship between exports and imports, indicating a dependent cointegration. The paper provides robust results and supports the hypothesis that the relationship between exports and imports can be nonlinear and symmetric.

Oil and agricultural commodity prices in Nigeria

2019 ◽  
Vol 13 (2) ◽  
pp. 377-401 ◽  
Author(s):  
Ismail Olaleke Fasanya ◽  
Temitope Festus Odudu ◽  
Oluwasegun Adekoya
Keyword(s):  
Structural Breaks ◽  
Structural Changes ◽  
Commodity Prices ◽  
Oil Prices ◽  
Oil Price ◽  
Agricultural Commodity ◽  
Content Type ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
The Relationship

Purpose This paper aims to model the relationship between oil price and six major agricultural commodity prices using monthly data from January 1997 to December 2016. Design/methodology/approach The authors use both the linear autoregressive distributed lag by Pesaran et al. (2001) and the nonlinear autoregressive distributed lag by Shin et al. (2014), and they also account for structural breaks using the Bai and Perron (2003) test that allows for multiple structural changes in regression models. Findings These findings are discernible from the authors’ analyses. First, the linear analysis indicates a significant positive effect of oil prices on the agricultural commodity prices, which supports evidence on the non-neutrality hypothesis. Second, oil price asymmetries seem to matter more when dealing with agricultural commodity prices, except for groundnut. Third, it may be necessary to pre-test for structural breaks when modelling the relationship between oil price and agricultural prices regardless of the commodity being analysed. Fourth, the asymmetric effect for the agricultural commodity prices is non-neutral to oil prices, except for rice in the case of structural breaks. Originality/value This paper contributes to the on-going debate on the oil–agricultural commodity nexus using the recent technique of asymmetry and also considering the role structural breaks play in the relationship between oil price and agricultural commodity prices.

Is the Relationship Between Government Spending and Private Consumption in Egypt Symmetric?

2020 ◽  
Vol 14 (3) ◽  
pp. 285-308
Author(s):  
Imadeddin Ahmed Almosabbeh
Keyword(s):  
Government Spending ◽  
Private Consumption ◽  
Jel Classification ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Ardl Approach ◽  
The Relationship ◽  
Cointegration Relationship ◽  
Nonlinear Autoregressive

The aim of this study, using Egyptian data from 1970 to 2016, is to explore the relationship between government spending and private consumption spending and to understand whether the relationship between the two is symmetric. The study uses the autoregressive distributed lag (ARDL) approach to explore a cointegration relationship between the two variables, and the nonlinear autoregressive distributed lag (NARDL) approach to test the hypothesis of a symmetric relationship between the two variables. By applying the ARDL approach, the study concludes that the effect of government spending on consumption spending is not significant in the long term. By applying the NARDL approach, the study concludes that: the hypothesis of the presence of a symmetric relationship is not accepted, there is a crowding-out relationship from the positive shocks of government spending and the substitutability coefficient between the two types of spending is 0.8699. JEL Classification: E12, E21, F62, H50

Impact of Environmental Tax on Comparative Advantage of Food and Food Products: A Study of G20 Countries in Light of Environmentally Sensitive Goods

2021 ◽  
pp. 001946622110352
Author(s):  
Alisha Mahajan ◽  
Kakali Majumdar
Keyword(s):  
Comparative Advantage ◽  
Food Products ◽  
Environmental Taxes ◽  
Environmental Tax ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Environmentally Sensitive ◽  
The Relationship

Many countries are under constant fear that environmental policies might negatively influence the international competitiveness of polluting industries. In this study, we aim to evaluate the relationship and impact of the environmental tax on comparative advantage of trade in food and food products industry, considered to be one of the highly environmentally sensitive industries. This study also investigates, whether this relationship differs among countries covered in G20, with the help of correlation analysis. We select panel autoregressive distributed lag approach for this study as it can analyse long-run as well as short-run association even when the variables are stationary at different orders of integration. Using panel data from G20 countries over the period of 21 years that is from 1994 to 2015, it is concluded that when we allow environmental taxes to interact with the revealed comparative advantage (RCA) of G20 nations, the overall impact of the environmental tax on the RCA is negative in the long period. It is therefore suggested that countries should follow Porter hypothesis to stimulate innovations resulting from strict environmental regulations that affect the environment in least possible manner. JEL Codes: C01, C23, C33, F18, O57, Q5

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