Correlation in Commodity Futures and Equity Markets Around the World: Long-Run Trend and Short-Run Fluctuation

2011 ◽  
Author(s):  
Xiaoming Li ◽  
Bing Zhang ◽  
Zhijie Du
Keyword(s):  
Equity Markets ◽  
Commodity Futures ◽  
Long Run ◽  
The World ◽  
Short Run

An Econometric Analysis on the Relationship between Globalisation and Inequality in South Africa

2020 ◽  
Vol 11 (1) ◽  
pp. 89-89
Author(s):  
Jacques de Jongh
Keyword(s):  
South Africa ◽  
Well Being ◽  
Causality Analysis ◽  
Global Integration ◽  
Development Indicators ◽  
Long Run ◽  
The World ◽  
Distribution Of Resources ◽  
Short Run ◽  
The Impact

Globalisation has had an unprecedented impact on the development and well-being of societies across the globe. Whilst the process has been lauded for bringing about greater trade specialisation and factor mobility many have also come to raise concerns on its impact in the distribution of resources. For South Africa in particular this has been somewhat of a contentious issue given the country's controversial past and idiosyncratic socio-economic structure. Since 1994 though, considerable progress towards its global integration has been made, however this has largely coincided with the establishment of, arguably, the highest levels of income inequality the world has ever seen. This all has raised several questions as to whether a more financially open and technologically integrated economy has induced greater within-country inequality (WCI). This study therefore has the objective to analyse the impact of the various dimensions of globalisation (economic, social and political) on inequality in South Africa. Secondary annual time series from 1990 to 2018 were used sourced from the World Bank Development indicators database, KOF Swiss Economic Institute and the World Inequality database. By using different measures of inequality (Palma ratios and distribution figures), the study employed two ARDL models to test the long-run relationships with the purpose to ensure the robustness of the results. Likewise, two error correction models (ECM) were used to analyse the short-run dynamics between the variables. As a means of identifying the casual effects between the variables, a Toda-Yamamoto granger causality analysis was utilised. Keywords: ARDL, Inequality, Economic Globalisation; Social Globalisation; South Africa

Determinants of Total Factor Productivity in Mexico, Indonesia, Nigeria, and Turkey (1980–2014)

2018 ◽  
Vol 4 (2) ◽  
pp. 192-217 ◽  
Author(s):  
Phillip Akanni Olomola ◽  
Tolulope Temilola Osinubi
Keyword(s):  
Human Capital ◽  
Total Factor Productivity ◽  
Negative Relationship ◽  
Annual Data ◽  
Factor Productivity ◽  
Distributed Lag ◽  
Long Run ◽  
The World ◽  
Government Stability ◽  
Short Run

This study analyzed the macroeconomic and institutional determinants of total factor productivity (TFP) in the MINT (Mexico, Indonesia, Nigeria, and Turkey) countries during the period 1980–2014. Annual data covering the period between 1980 and 2014 were used. Data on real gross domestic product (real GDP), labor force, gross fixed capital formation, foreign direct investment (FDI), human capital, and inflation were sourced from the World Development Indicators published by the World Bank. Also, data on corruption, government stability, and law and order were obtained from the database of International Country Risk Guide. Panel autoregressive distributed lag (PARDL) regression technique was used to estimate the model. Results showed that TFP growth rate declined on average by 1.4 per cent and 1.8 per cent in Mexico and Turkey, respectively, while Indonesia and Nigeria did not experience productivity growth on the average. Results also showed that in the long run, human capital and government stability had positive and significant effects on TFP, while FDI and corruption had negative but significant effects on TFP. In the short run, there existed a significant negative relationship between TFP and inflation. However, the effects of human capital and corruption on TFP were positive and significant. The study concluded that human capital and corruption were key drivers of TFP in the MINT countries both in the long run and short run.

scholarly journals China integrates Asia with the world: an empirical study

2014 ◽  
Vol 7 (2) ◽  
pp. 70-89 ◽  
Author(s):  
Soumyananda Dinda
Keyword(s):  
Economic Integration ◽  
Data Availability ◽  
Trade Integration ◽  
Policy Makers ◽  
Content Type ◽  
Promotion Policies ◽  
Long Run ◽  
The World ◽  
The Usa ◽  
Short Run

Purpose – The aim of this paper was to focus on China’s economic integration with Asia region and the world. It also attempts to find the long-run relation with short-run dynamics of China’s trade in Asia and the world. Design/methodology/approach – The augmented Dickey–Fuller and Phillips–Perron methods are applied to test the time-series properties of the variables. Co-integration technique is used to detect the economic integration of China’s export to the USA and its import from Asian nations using monthly aggregate data from December 2005 to July 2010. Findings – This study observed that empirically China’s export to the USA depends on exchange rate and China’s import from Asia depends on China’s export to the USA. China has double role in international trade – China acts as an attractor of all inputs from Asia, and China exports the final products in international market. This study also reveals that the speed of China’s import from Asia is faster than that of China’s export to the USA. Research limitations/implications – This study has some limitation in terms of data availability, and choice of methodology like the Gravity model Practical implications – The results imply that China’s trade should be treated as an engine of growth in the Asian developing countries and the trade promotion policies should be encouraged. The emerging China will create other opportunities through trade integration with Asia and the world. Social implications – These empirical findings will help policy-makers formulate their policy and design the mechanism for application as per their targets. Originality/value – China is economically integrated with the region and the world. The paper contributes to measure the speed of China’s export and import in short run within Asia and the world. These empirical findings will help policy-makers to formulate their policy and design the mechanism for application as per their targets.

scholarly journals Roles of Political and Economic Environments on Agricultural Commodity Import Demand in Developing Economy: A Case Study of Rice Sub-Sector in Nigeria

2015 ◽  
Vol 7 (12) ◽  
pp. 84
Author(s):  
Sunday B. Akpan ◽  
Glory E. Emmanuel ◽  
Inimfon V. Patrick
Keyword(s):  
Exchange Rate ◽  
Capacity Utilization ◽  
Import Demand ◽  
Nominal Exchange Rate ◽  
Domestic Production ◽  
World Price ◽  
Long Run ◽  
The World ◽  
Short Run ◽  
Industrial Capacity

<p>Nigeria is currently the largest importer of milled rice in the world. The country has implemented several trade policies, set up institutions and incentives to boost domestic production with the intention to meet both domestic and international demands. Despite these attempts and favorable climatic, manpower and edaphic conditions in the country, Nigeria still spent millions of dollars on annual basis on rice imports. Based on this assertion, the study rather examined the roles of political and economic environments on rice import demand from 1960 to 2014 in Nigeria. Time series data were obtained from FAO, Central Bank of Nigeria and National Bureau of Statistics as well as World Bank. Augmented Dickey-Fuller-GLS unit root test showed that all series were integrated of order one. The long-run and short-run elasticity of rice import demand were determined using the techniques of co-integration and error correction models. The trend in rice import revealed that, the country had witnessed significant average positive exponential growth rate of about 15.975% in rice import from 1960 to 2014. The empirical results revealed that, the long run import demand function of rice responded negatively to the world price, industrial capacity utilization, nominal exchange rate, and the value of gross domestic production; whereas, it reacted positively to period of civilian rule, nominal value of external reserve, period of liberalization and the net volume of credit to the entire economy. The symmetric adjustment coefficient of rice import demand to a long run equilibrium stood at 39.65% per annum. In the short run, rice import had a significant negative and elastic relationship with the domestic and world price of rice; while it has significant positive inelastic association with external reserve and net credit to the economy. Based on these results; it is recommended that, the Nigeria government should designed programmes and incentives to boost industrial capacity utilization in the country. Markets determine nominal exchange rate should prevail in the economy. The country should regulate its foreign reserve policy by setting a threshold, above which excess deposit should be plough back to the domestic economy inform of investments rather than support excessive importation.</p>

Financial instability, integration and volatility of emerging South Asian stock markets

2017 ◽  
Vol 6 (2) ◽  
pp. 177-190 ◽  
Author(s):  
Rakesh Kumar ◽  
Raj S. Dhankar
Keyword(s):  
Stock Returns ◽  
South Asian ◽  
Stock Markets ◽  
Equity Markets ◽  
International Market ◽  
Portfolio Diversification ◽  
Financial Instability ◽  
Content Type ◽  
Long Run ◽  
Short Run

Purpose The purpose of this paper is to examine the short- and long-run spillover effect of international financial instability on emerging South Asian stock markets. The paper also investigates the financial integration regionally. Design/methodology/approach Granger causality test is used for short-run causal relations. Since results of preliminary test highlight the significant autocorrelations in stock returns, GARCH class models with extreme shocks in international financial market are utilized to test the long-run spillover impact on stock returns. Findings Results indicate significant short- and long-run spillover impacts of international financial instability on the stock returns. They highlight the significant co-integration of South Asian stock markets with the international market. Significant correlations in stock returns and volatility reveal the degree of regional integration to be high between India, Pakistan and Sri Lanka. Research limitations/implications Business, political and market conditions of South Asian stock markets are fundamentally different from each other. These economies were liberalized at different time, which in turn may affect the degree of integration with international equity markets and regionally alike. Practical implications Financial liberalization has linked the South Asian stock markets to the rest of the world. Stock prices move in the same line with the emergence of global expected and unexpected economic shocks. The benefits that arise from the diversification of funds will be eradicated in the long run. Investors with long investment horizons will not actually benefit from portfolio diversification in South Asian equity markets. The Bangladesh stock market does not respond to volatility in international market in the short run and may be a good destination for short-term investment. Originality/value Pioneer efforts are made by utilizing a novel approach with the use of net volatility change in world financial instability for measuring the short- and long-run impacts. Given the emergence of South Asian stock markets, new insights into their vulnerability to world financial shocks provide interesting findings for portfolio diversification.

scholarly journals Asymmetric Price Transmission of World Prices to Kenyan Tea Market

2020 ◽  
Author(s):  
Vincent Ngeno
Keyword(s):  
Price Transmission ◽  
Asymmetric Adjustment ◽  
Close Link ◽  
Empirical Results ◽  
Current Period ◽  
Long Run ◽  
Asymmetric Price Transmission ◽  
The World ◽  
Domestic Prices ◽  
Short Run

Abstract The use of asymmetrical threshold cointegration test is adopted in this study to investigate whether any significant relationship or asymmetric adjustment exists in transmission of prices between the world tea market and domestic prices in Kenya. The empirical results obtained are as follows. First, we verify a close link between the Kenya’s tea price and its international counterparts under the current period of market liberalization. Second, empirical results demonstrate that in both long run and short run, the price transmission between world tea market and Kenyan domestic market are nonlinear and asymmetric, suggesting long run and short run dynamic inefficiencies and presence of transaction costs.JEL classification: C32, Q13, Q17

scholarly journals COVID-19 and Government Responses

2020 ◽  
Author(s):  
Susumu Annaka
Keyword(s):  
Negative Correlation ◽  
Turnaround Time ◽  
Strong Positive Correlation ◽  
National Data ◽  
Long Run ◽  
The World ◽  
Short Run ◽  
Spanish Flu ◽  
Pharmaceutical Interventions ◽  
Cross National

The coronavirus disease (COVID-19), the worst pandemic since the Spanish flu, has spread rapidly across the world. This study investigates this pandemic from the perspective of government responses. The analyses are not limited to the effect of non-pharmaceutical interventions (NPIs) on deaths, but also cover the effect of confirmed COVID-19 cases and deaths on NPIs using daily cross-national data. This paper also shows the precise timing in which NPIs have a reduced effect on deaths. The results indicate that confirmed cases are more positively correlated with NPIs than deaths, and NPIs show a strong positive correlation with deaths in the short run and a negative correlation in the long run. The turnaround time is about 25 days. This means that NPIs take about one month to reduce the number of deaths.

scholarly journals Asymmetrical Linkages between Foreign Exchange and Stock Markets: Empirical Evidence through Linear and Non-Linear ARDL

2018 ◽  
Vol 11 (3) ◽  
pp. 51 ◽  
Author(s):  
Rabia Luqman ◽  
Rehana Kouser
Keyword(s):  
Time Series Data ◽  
Equity Markets ◽  
Series Data ◽  
Policy Makers ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Non Linear ◽  
Short Run ◽  
Daily Time

The symmetrical relationship between currency and equity markets has gained much attention among academicians and policy makers in the recent era. Many studies conducted on this relationship have concluded that there is short-run relationship between these variables and found less evidence about a long-run relationship. Moreover, all previous studies supposed the linear or symmetrical relationship between these variables. In this study, we use daily time series data from G8+5 countries and Pakistan for 2000–2016 and apply linear and non-linear autoregressive distributed lag (ARDL) to check the symmetrical and asymmetrical relationship between currency and equity markets. Results have shown that there are asymmetrical linkages between the currency and equity markets.

INFLATION TARGETING, PATTERN OF TRADE, AND ECONOMIC DYNAMICS

2018 ◽  
Vol 23 (07) ◽  
pp. 2748-2786
Author(s):  
Juin-jen Chang ◽  
Wen-ya Chang ◽  
Hsueh-fang Tsai ◽  
Ping Wang
Keyword(s):  
Capital Accumulation ◽  
Inflation Targeting ◽  
Bilateral Trade ◽  
Inflation Target ◽  
Temporary Change ◽  
Long Run ◽  
The World ◽  
Short Run ◽  
World Distribution ◽  
Domestic Inflation

This paper develops an analytically tractable, two-country, two-traded-good dynamic general-equilibrium model of money to examine the long-run and short-run effects of a temporary change in the domestic inflation target on the trade pattern, the terms of trade, the foreign exchange rate, and the capital accumulation of each country and of the world economy. We find that such a temporary monetary innovation can generate permanent effects on the world distribution of capital and the pattern of trade, resulting in nonneutrality in an otherwise money-neutral cash-in-advance setting. This change also leads to very rich transitional dynamics that we fully characterize analytically. In particular, endogenous responses in transition can be monotone or nonmonotone and can exhibit over-shooting. Our analytic findings and quantitative results help explain some noticeable changes in the capital accumulation, output, and bilateral trade of several countries adopting inflation targeting. Since the permanent effects of a temporary change in the domestic inflation target on the pattern of international trade and the performance of the macroeconomy are driven by a new channel through the world distribution of capital, we add new insights to the literature.

scholarly journals Kajian Tentang Perjanjian FTA antara AFTA dan Cina

2004 ◽  
Vol 4 (2) ◽  
pp. 123-139
Author(s):  
Young Kyu Jeong
Keyword(s):  
Economic Development ◽  
Crude Oil ◽  
Development Strategy ◽  
Foreign Investment ◽  
Large Margin ◽  
Economic Development Strategy ◽  
Long Run ◽  
The World ◽  
Short Run ◽  
Oil Gas

This study analyses the prospects, changes and characteristics of economics cooperation between AFTA and China after the period from 1980’s. Gross trade and direct investments are studies here, as well as tariff such as per categornes, field, in order to understand AFTA China’s economics cooperation.According to FTA between AFTA and China, Crude oil, gas and other products took up the greatest portion of AFTA exports until the 2008 (in the short run), since the mid-2003, exports have grown by a large margin owing to the nation’s exportoriented economic development strategy. But, in the long run, foreign investment in the world concentrate upon China

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