Inter-linkages between India and World Stock Markets and European Debt Crisis

2015 ◽  
Vol 4 (3and4) ◽  
Author(s):  
Mohit Kumar
Keyword(s):  
Impulse Response ◽  
Debt Crisis ◽  
Policy Implications ◽  
Response Analysis ◽  
Causality Test ◽  
Indian Economy ◽  
Impulse Response Analysis ◽  
Long Run ◽  
Integration Test ◽  
European Debt Crisis

This paper examines the inter-linkages and long run co-integration of Indian economy with other economies of the world (US, Europe, Other Emerging markets, and World economy) using standard indices of MSCI over the period April, 2001 to March, 2013. We also investigate Indian economys response to recent global turbulence European Debt crisis (EDC). We use Granger causality test, Johansen co-integration test and Impulse response analysis of Vector auto-regression framework to test various hypotheses. There is no contagious effect of EDC on Indian economy. During post-EDC, the Indian economy is granger caused by US and world economies. Further during the pre as well as post- EDC period, no cointegrating relationship has been found. This low level of co integration, despite presence of short run causal relationship, shows that global shocks might destabilize Indian economy in long run. Especially, Impulse response analysis revealed that Indian economy seems to be affected from the shocks created in the European markets and such shock persists in Indian economy for more than 10 months. These results have important policy implications. The policy makers need to understand that although there is no contagious effect of EDC on Indian economy but interdependency can destabilize Indian economy for much longer period.

scholarly journals Exports as a Determinant of Inflation in Kenya: Disaggregated Econommetric Analysis

2017 ◽  
Vol 13 (10) ◽  
pp. 417
Author(s):  
Evans Ovamba Kiganda ◽  
Scholastica Adhiambo ◽  
Nelson Obange
Keyword(s):  
Time Series ◽  
Central Bank ◽  
Granger Causality ◽  
Impulse Response ◽  
Response Analysis ◽  
Vector Autoregressive ◽  
Impulse Response Analysis ◽  
Long Run ◽  
The Government ◽  
The Relationship

The purpose of this study was to examine exports as a determinant of inflation in Kenya: A disaggregated econometric analysis with specific objectives of establishing the relationship between domestic exports and inflation in Kenya and determining the relationship between re - exports and inflation in Kenya. This was occasioned by inconclusive and incomprehensive analysis on the relationship between exports and inflation given mixed results and failure by scholars to disaggregate total exports into domestic exports and re-exports. Correlation research design was employed using monthly time series obtained from Central Bank of Kenya (CBK) data spanning 132 months from January 2005 to December 2015.Vector Autoregressive (VAR) techniques of cointegration, Granger causality and impulse response analysis were employed. Results indicated a significant positive and negative long run relationship between domestic exports and re- exports with inflation in Kenya respectively that were supported by the impulse response analysis. A unidirectional causality running from domestic exports to inflation and re-exports to inflation was also established. The study concluded that domestic exports and re-exports determine inflation in Kenya with domestic exports having greater influence and therefore recommended that the government of Kenya needs to advocate for a trade policy that aims at reducing exports of domestically produced products and increase re-exports. This will ensure that only surplus is exported to reduce shortage of domestically produced commodities hence a reduction in price for the products.

scholarly journals Economic Growth And Unemployment: An Empirical Assessment of Okun’s Law In The Case of Liberia

2021 ◽  
Author(s):  
Kaiballah Conteh
Keyword(s):  
Economic Growth ◽  
Unit Root Test ◽  
Policy Implications ◽  
Causality Test ◽  
Flexible Labor ◽  
Long Run ◽  
Integration Test ◽  
Augmented Dickey Fuller ◽  
Auto Regressive ◽  
The Government

The aim of this research is to look at the relationship between economic growth and unemployment in Liberia from 2001 to 2019. To investigate the association between unemployment and Gross Domestic Product (GDP), the unit root test, the Augmented Dickey-Fuller (ADF) Co-integration test, and the Standard Granger Causality test were used. The Auto Regressive Distribution Lag (ARDL) bounds test is used to decide if the variables have a long run linkage. The ARDL model findings indicate that there is no long-run association between unemployment and economic growth. The findings of this analysis have especially significant policy implications for Liberian economic policymakers. The observational findings revealed a negligible association between unemployment and economic growth in both the long and short term. The Liberian government should redirect its spending toward activities that directly and indirectly promote the creation of employment and decent jobs, a conducive environment and flexible labor market policies or legislation that are not impediments to job creation should be created, and finally, the government should prioritize industries that promote labor intensive.

Determinants Of The Trade Balance In The Turkish Economy

2017 ◽  
Vol 1 (2) ◽  
pp. 160
Author(s):  
Ali Ari ◽  
Raif Cergibozan
Keyword(s):  
Exchange Rate ◽  
Impulse Response ◽  
Trade Balance ◽  
Real Effective Exchange Rate ◽  
Response Analysis ◽  
Impulse Response Analysis ◽  
Long Run ◽  
Turkish Economy ◽  
Effective Exchange ◽  
Effective Exchange Rate

<p class="AbstractText">The Turkish economy has a long-run problem of trade deficits. Several efforts and different policies over the last 50 years could not find any permanent remedy to this problem which is an important source of external vulnerability for the Turkish economy. Thus, this study aims to shed light on the trade balance dynamics in Turkey via Johansen cointegration test, vector error correction model, and impulse-response analysis, for the period 1987–2015. Estimation results indicate that in the long-run an increase in real effective exchange rate improves trade balance, while an increase in Turkish (foreign) income improves (deteriorates) trade balance. In the short-run, real effective exchange rate has no impact on trade balance, while an increase in domestic and foreign income negatively affects the Turkish trade balance. The impulse-response analysis also shows that the J-curve hypothesis does not hold for the Turkish case. </p>

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 Determinants of tax evasion in Greece: Econometric analysis of co-integration and causality, variance decomposition and impulse response analysis

2021 ◽  
pp. 29-57
Author(s):  
Anastasiou Athanasios ◽  
Kalligosfyris Charalampos ◽  
Kalamara Eleni
Keyword(s):  
Impulse Response ◽  
Tax Evasion ◽  
Estimation Error ◽  
Variance Decomposition ◽  
Response Analysis ◽  
Annual Data ◽  
Impulse Response Analysis ◽  
Long Run ◽  
The Government ◽  
Adf Test

The purpose of this paper is tο examine the causality relationships and the degree of interdependence, between the level of tax evasion in Greece and a set of deterministic factors, using annual data for the period 1995 - 2018. The research methodology employed includes testing for stationarity with the Augmented Dickey-Fuller (ADF) test, cointegration test according to Engle-Granger approach, estimation Error Correction Models (ECM) to investigate the short-run and long-run relationships, variance decomposition and impulse response analysis. The results indicate a significant interdependence, which is an important tool for pursuing a targeted and effective policy to fight tax evasion. More specifically, the survey showed that the level of tax rates, the level of unemployment, the Rule of Laws index, the level of GDP, the level of non-performing loans, the government efficiency, the corruption perception index and the level of final consumption expenditure, affect the size of tax evasion in Greece, significantly. In addition, the results of variance decomposition and impulse response analysis, support the above findings, providing a quantitative representation of the causality relationships between the factors under investigation and tax evasion.

scholarly journals Nexus Between Financial Development, FDI, Globalization, Energy Consumption and Environment: Evidence From BRI Countries

2021 ◽  
Vol 9 ◽  
Author(s):  
Jie Lu ◽  
Muhammad Imran ◽  
Abdul Haseeb ◽  
Shah Saud ◽  
Mengyun Wu ◽  
...  
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Energy Consumption ◽  
Financial Development ◽  
Direct Investment ◽  
Policy Implications ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
Belt And Road

This study explores the nexus between foreign direct investment, financial development, energy consumption, economic growth and globalization for a selected panel of Belt and Road Initiative (BRI) countries over the period 1990–2016. After employing appropriate panel unit root tests, the Westerlund co-integration test, the DSUR long-run panel estimation approach and the Dumitrescu-Hurlin panel causality test, the results reveal a significant long-run relationship among the analyzed variables. The DSUR results show that energy consumption is boosted by 0.023 and 0.790% when a 1% rise occurs in foreign direct investment and economic growth. A 1% increase in financial development and globalization reduces energy consumption by 0.049 and 0.621%, respectively. We also found bidirectional relationships of energy consumption with financial development and foreign direct investment with globalization for the selected sample of our study. A unidirectional causal relationship exists, moving from energy consumption towards both financial development and foreign direct investment. An increase in FDI, the introduction of energy-efficient technology, and development of the financial sector lead to sustainable economic growth. The findings reveal the need to formulate policies that promote energy efficiency among Belt and Road (BR) countries. The policy implications of this study are presented in the Conclusion.

Same Story, Different Place?

2018 ◽  
Author(s):  
Viral V. Acharya ◽  
Tim Eisert ◽  
Christian Eufinger ◽  
Christian Hirsch
Keyword(s):  
Banking Sector ◽  
Debt Crisis ◽  
Banking System ◽  
Policy Implications ◽  
Balance Sheets ◽  
System P ◽  
Loan Supply ◽  
European Banking ◽  
European Debt Crisis

This chapter compares the recapitalizations of the Japanese banking sector in the 1990s with those in the ongoing European debt crisis. The analysis points to four main policy implications. First, recapitalizing banks by insuring or purchasing troubled assets alone is not likely to solve the problem of banks’ weak capitalization, as this measure is not able to adjust the extent of the recapitalization to the banks’ specific needs. Second, the amount of the recapitalization should be based on actual capital shortages and not risk-weighted assets to avoid banks decreasing their loan supply. Third, banks should face restrictions regarding the amount of dividends they are allowed to pay out. Finally, banks must be induced to clean up their balance sheets and reduce the amount of bad (non-performing) loans to rebuild confidence in the European banking system.

scholarly journals Banking Sector Development, Inflation and Economic Growth in Asian Countries: A Panel Causality and Co-Integration Approach

2018 ◽  
Vol 8 (4) ◽  
pp. 384
Author(s):  
Muhammad Imran Nazir ◽  
Rehana Tabassam ◽  
Ifran Khan ◽  
Muhammad Rizwan Nazir
Keyword(s):  
Economic Growth ◽  
Banking Sector ◽  
Vital Role ◽  
Least Square ◽  
Policy Implications ◽  
Asian Countries ◽  
Ordinary Least Square ◽  
Long Run ◽  
Banking Sector Development ◽  
Integration Test

This study investigates the causal relationship between banking sector development, inflation, and economic growth for six Asian countries (Bangladesh, China, India, Malaysia, Pakistan and Sri Lanka) over the period of 1970-2016. Using a Pedroni panel, Kao co-integration test, Panel Granger causality-based Error Correction Model, Dynamic ordinary least square (DOLS), and Fully modified ordinary least square (FMOLS), this study finds that the development of the banking sector generally has a positive relationship with economic growth in the long-run. This results show that in the long-run, monetary policy play a vital role in the economic growth. This study also confirmed the response causality between the indicators of banking sector development and economic growth. Based on the empirical findings, this research provides important policy implications to the banking sector and economic supervisory bodies in order to achieve the long run economic growth.

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