scholarly journals EVALUATION OF THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAPS AND EURO AND USD EXCHANGE RATES: THE CASE OF TURKEY

2020 ◽  
Vol 8 (2) ◽  
pp. 1113-1130
Author(s):  
Turgay MÜNYAS
Keyword(s):  
Exchange Rates ◽  
Credit Default Swap ◽  
Cointegration Analysis ◽  
Causality Test ◽  
Vector Error Correction ◽  
Credit Default ◽  
Augmented Dickey Fuller ◽  
Stationarity Tests ◽  
The Relationship

The aim of this study is to evaluate the relationship between Turkey's Credit Default Swap (CDS) premiums and the USD and Euro exchange rates. In order to measure this relationship, time series analyses were used for the period January 3rd, 2005 to December 31st, 2019. Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) tests were performed for stationarity tests. Then, Johansen cointegration analysis was used to determine long-term relationships. The vector error correction model was used to determine short-term relationships, and the Granger causality test was used to determine causality directions. CDS was used as the dependent variable, and the USD and EURO exchange rates were used as the independent variables. As a result of the study, it was found that the USD rate and EURO rate variables have a long-term relationship with CDS. CDS increases by 38.8% when the USD rate increases by 1%, and CDS increases by 24.2% when the Euro rate increases by 1%. When we look at the coefficient values, it is seen that the effect of the USD rate on CDS is higher compared to that of the Euro rate. In addition, a bidirectional causality relationship was found between the variables.

scholarly journals Exports and Economic Growth: The Arab Experience

2000 ◽  
Vol 39 (2) ◽  
pp. 153-169 ◽  
Author(s):  
Mohammed Ibrahim EL-Sakka ◽  
Naief hamad Al-Murairi
Keyword(s):  
Economic Growth ◽  
Theoretical Background ◽  
Arab Countries ◽  
Annual Data ◽  
Causality Test ◽  
Long Run ◽  
Augmented Dickey Fuller ◽  
Stationarity Tests ◽  
The Relationship ◽  
Cointegration Relationship

This paper aims at analysing the relationship between exports and economic growth in the Arab countries using annual data for the period 1970-1999. Section two of this study presents a theoretical background of the relationship between exports and economic growth. Literature review is found in Section 3. In Section 4, the methodological issues of studying this relationship are discussed. Results of stationarity tests using Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) as well as Bivariate Johansen-Juseluis tests for cointegration are presented in Section 5. Stationarity tests suggest that time series are non-stationary in their levels and seem to be stationary in their first differences. Testing for long-run cointegration relationship using Johansen-Juseluis approach, it is found that in general there is no cointegration relationship between exports and GDP. For this reason, we abandoned the error correction model and tested for causality using different versions of Granger’s causality test. We found mixed results about the causal relationship between exports and GDP in Arab countries.

scholarly journals Determining a Dynamic Relationship Between Stock Prices and Exchange Rates: An Empirical Study on Eurasia

2010 ◽  
Author(s):  
Bekir Elmas ◽  
Ömer Esen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Prices ◽  
Traditional Approach ◽  
Cointegration Test ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
The Relationship

The stock price has a close relationship with some macroeconomic variables. As examples of the main macroeconomic variables can be shown that exchange rates, inflation, interest rate, growth rates. This paper empirically examined the relationship between the local stock market indexes and exchange rate (USD) in six Eurasian countries namely Turkey, Germany, France, Netherlands, Russia, France and India. The paper set out by testing existence of a long-term relationship between considered two variables using the Engle-Granger (1987), Johansen (1988, 1995) and Johansen-Juselius (1990) cointegration methods. Results of Engle- Granger cointegration test showed that there is no cointegration linkage between two variables under consideration. Furthermore, The Johansen cointegration test found that there is a long-term relationship between two variables (variables in the two countries). Under the VAR (Vector Autoregressive) and VEC (Vector Error Correction) models appllied the Granger causality test, revealed an unidirectional casual relationship between two variables in each of the six countries. In addition as regards the relationship While there is a unidirectional causal relationship running from exchange rate to stock market for four countries. However this relation is casual running from stock market to exchange rate for other two countries. According to the direction of the relationship these results that relationship between stock prices and exchange rate in four countries supports for the “Traditional Approach”. Furthermore, this relation also supports for the “Portfolio Approach” for other two countries.

scholarly journals Analysis Relationship of Imported Rice with Rice Production, Imported and Domestic Rice Prices with VECM

2020 ◽  
Vol 16 (3) ◽  
pp. 337
Author(s):  
Abyan Rai ◽  
Sasmito Hadi Wibowo
Keyword(s):  
Descriptive Analysis ◽  
Rice Production ◽  
Causality Test ◽  
Vector Error Correction ◽  
Vector Error ◽  
Rice Consumption ◽  
Rice Prices ◽  
Relationship Of ◽  
The Relationship

Rice is the main food for most Indonesians. With much natural resources, Indonesia can naturally fulfill its own rice consumption needs. However, Indonesia actually relies on imports to meet consumption needs. Even Indonesia continues to import while rice production is volatility surplus to maintain domestic rice prices. Based on these problems, this study aims to analyze the relationship of volume of imported rice with rice production, domestic rice prices, and prices of imported rice. The method used is descriptive analysis and Vector Error Correction Model (VECM). In the long-term, rice production and domestic rice prices have significant effect on Indonesia's rice import volume. In short-term, rice production and domestic rice prices have significant effect on Indonesian rice import volume. The results of the causality test show that there is a two-way relationship between Indonesian rice import volume and Indonesian production rice. Meanwhile, a one-way relationship occurs when imported rice volumes influenced by prices of domestic rice.

scholarly journals Short And Long Term Effects Of Tourism Gdp Performance In Malaysia

2021 ◽  
pp. 1333-1341
Keyword(s):  
Foreign Direct Investment ◽  
Direct Investment ◽  
Vector Error Correction Model ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Stationary Test ◽  
The Relationship

This study applies observational investigation and concentrates on two primary variables which foreign direct investment and tourism. Information from 1991 to 2019 was gathered from World Bank to focus the relationship among the variables. The tests used to decipher this result are Stationary Test, Co-integration Test, Vector Error Correction Model and Granger Causality test. First, the Stationary Test focused on the Augmented Dickey Fuller (ADF) test was measuring about the time series data’s stationary property. Next, the method used to assess the existence of the relationship between two foreign direct investment variables and tourism is the Co-integrated Test. The Vector Error Correction Model (VECM) includes a bug fix model that should focus on the core behavior of that model. VECM specifies a simulated model that changes simultaneously towards its long-term estimates. It shows that disequilibrium disease will join in to make it work longer. VECM similarly observed the relationship between the variables over time. Finally, the Granger Causality Test was performed to look at the causal relationship between the two variables which is the relationship between foreign direct investment and tourism

scholarly journals Terrorism and Macroeconomy: A Review of The Eurasian Economies

2017 ◽  
Author(s):  
Özge Korkmaz
Keyword(s):  
Unemployment Rate ◽  
Inflation Rate ◽  
Causal Link ◽  
Cointegration Analysis ◽  
Causality Test ◽  
Per Capita Gdp ◽  
Export Rate ◽  
Per Capita ◽  
The Relationship

The relationship between terrorist incidents, inflation rate, unemployment rate, per capita GDP, export rate and import rate for Eurasian countries Ukraine, Moldova, Georgia, Kyrgyzstan, Kazakhstan, Tajikistan, Azerbaijan, Armenia and Belarus for the period 1994-2015. For this purpose, the Westerlund cointegration analysis and have been using the causality test introduced by Holtz-Eakin, Newey and Rosen. As a result of the analyzes, it is observed that there is a long-term relationship between the export rate and the terrorist incidents and the export rate is the reason for the terrorist incidents. At the same time, it has been found that there is no long-term interaction and causal link between all other variables and terrorist incidents considered in the study.

scholarly journals Poverty and Economic Growth in Mexico

2018 ◽  
Vol 7 (10) ◽  
pp. 183 ◽  
Author(s):  
Jorge Garza-Rodriguez
Keyword(s):  
Economic Growth ◽  
Poverty Reduction ◽  
Cointegration Analysis ◽  
Causality Test ◽  
Cross Sectional ◽  
Vector Error Correction ◽  
Long Run ◽  
Short Run ◽  
Development Literature ◽  
The Relationship

The relationship between poverty and economic growth has been widely discussed in the economic development literature during the past few decades. However, most of this research has been based on cross-sectional studies and very few studies have used time-series techniques to analyze this important issue. At the same time, there are also only a few studies analyzing this issue for the case of Mexico. Therefore, the objective of this paper was to analyze the relationship between poverty and economic growth in Mexico, using a cointegration analysis with structural change for the period 1960–2016. The Gregory-Hansen cointegration test confirmed the existence of a long-term equilibrium relationship between poverty reduction and economic growth, both in the short run and in the long run. Using a Vector Error Correction Model (VECM), we find that, in the long run, a 1% increase in economic growth leads to a 2.4% increase in per capita consumption (and therefore poverty reduction). This estimate is similar to those obtained in other studies for the case of Mexico and for other developing countries. Also, using the Granger causality test, it was found that there is a bidirectional causality relationship between poverty reduction and economic growth in Mexico.

Investment Analysis of Electricity Industry Based on Cointegration Model

2012 ◽  
Vol 433-440 ◽  
pp. 2400-2405
Author(s):  
Xiao Ying He ◽  
Hui Zhou
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Empirical Studies ◽  
Electricity Consumption ◽  
Annual Data ◽  
Causality Test ◽  
Vector Error Correction ◽  
Vector Error ◽  
The Relationship

By undertaking the cointegration theory with annual data over the period 1978-2008 in China, empirical studies on the relationship among power investment, electricity consumption and economic growth is carried out, and long-term equilibrium model and short-term vector error correction model are established; Granger causality test indicates that power investment is not the Granger causality of electricity consumption, while there exists bidirectional Granger causalities between electricity consumption and economic growth.

Empirical Research of the Relationship between Energy Consumption and Economic Growth in Beijing

2014 ◽  
Vol 962-965 ◽  
pp. 2220-2224
Author(s):  
Jie Yang
Keyword(s):  
Economic Growth ◽  
Energy Consumption ◽  
Causal Relationship ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Integration Test ◽  
The Relationship

This paper investigates the dynamic causal relationship between energy consumption and economic growth in Beijing over the period 1980-2012. The Johansen co-integration test, Granger causality test and the vector error correction model (VECM) are used to calculate the causal relationship between energy consumption and economic growth. The conclusion is that there exists a co-integration relationship between energy consumption and economic growth, and this relationship is a one way relationship from economic growth to energy consumption. Further, using VECM, the long-term and short-term elasticity from economy to energy consumption are 0.43 and 0.14 separately. Statistical analysis shows that, from 1980 to 2011, every 1% growth in GDP annually would drive energy consumption increasing rate by 0.43% correspondently.

Financial Inclusion and CO2 Emissions in Asia: Implications for Environmental Sustainability

2021 ◽  
Author(s):  
Shahzad Hussain ◽  
Tanveer Ahmad ◽  
Syed Jawad Hussain Shahzad
Keyword(s):  
Carbon Emissions ◽  
Environmental Sustainability ◽  
Principal Component ◽  
Financial Inclusion ◽  
Causality Test ◽  
Policy Makers ◽  
Long Term Impact ◽  
Sustainable Economic Growth ◽  
The Relationship

Abstract We examine the relationship between financial inclusion and carbon emissions. For this purpose, we develop a composite indicator of financial inclusion based on a broad set of attributes through principal component analysis (PCA) for 26 countries in the Asia region. Our robust panel regression analysis reveals a significant positive long-term impact of financial inclusion on carbon emissions. The pairwise causality test reveals unidirectional long-term causality running from financial inclusion to carbon emissions. The study suggests that policy makers may design policies that integrate accessible financial systems into climate change adaptation strategies in order to neutralize the side effect of financial inclusion deteriorating environmental quality and inclusive sustainable economic growth. JEL ClassificationO16; O44, Q54

scholarly journals Macroeconomic Variables and Foreign Direct Investment Inflows in Turkey

2019 ◽  
Vol 8 (2) ◽  
Author(s):  
Saliha Meftah ◽  
Abdelkader Nassour
Keyword(s):  
Foreign Direct Investment ◽  
Direct Investment ◽  
Short Term ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
Causality Relationship

Foreign direct investment (FDI) is an essential factor in the development of a country. This study aims to examine what factors influence foreign direct investment. By using the vector error correction model, the research shows that there is a long-term causality relationship between exchange rates and inflation with FDI. However, in the short term, there are no variables that affect FDI. Besides, the Granger causality test shows causality in the direction of GDP and FDI, while other variables do not have causality. This research has implications for policymakers to pay attention to macroeconomic variables in increasing the flow of foreign direct investment.

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