scholarly journals The governance of federal debt in the United States of America

2017 ◽  
Vol 7 (1) ◽  
pp. 91-98
Author(s):  
Gisele Mah
Keyword(s):  
Federal Government ◽  
Government Spending ◽  
Impulse Response Function ◽  
The United States ◽  
Medium Term ◽  
Interest Payment ◽  
Long Run ◽  
Us Government ◽  
Short Run ◽  
Federal Debt

The United State of America has been experiencing high debt to GDP ratio of more than 100% and these Public debts are detrimental. The main purpose of this study was to examine the shocks of the variables on others in the USA economy by using quarterly data. The variance decomposition and the Generalised Impulse Response Function techniques were employed to analyse the data. The result revealed that high variation of shocks in real federal debt is explained by their own innovations in the short run, by CPI followed by real federal debt its self. In the long run, this leads to CPI and real government spending. The GIRF reveals that in the short run, real federal debt responds negatively to shocks from CPI, real federal interest payment and real federal government tax receipts and positively to real federal debt and real government spending. In medium term, only real federal government tax receipts are negative while the others are positive. In the long run, the response are all positive to shock from the independent variables. The results lead to the recommendation that the US government should focus on real federal debt in the short run. In the medium term, US government should focus on increasing real government spending and reducing only real federal government tax receipts. In the long run the target should real be federal debt, CPI, real federal interest payment, real government spending and real federal government tax receipts.

scholarly journals Market Power, NAIRU, and the Phillips Curve

2020 ◽  
Vol 2020 ◽  
pp. 1-18
Author(s):  
Derek Zweig
Keyword(s):  
Interest Rates ◽  
Phillips Curve ◽  
Functional Form ◽  
The United States ◽  
Medium Term ◽  
Natural Rate ◽  
Natural Rate Of Unemployment ◽  
Long Run ◽  
Weak Evidence ◽  
Short Run

We explore the relationship between unemployment and inflation in the United States (1949-2019) through both Bayesian and spectral lenses. We employ Bayesian vector autoregression (“BVAR”) to expose empirical interrelationships between unemployment, inflation, and interest rates. Generally, we do find short-run behavior consistent with the Phillips curve, though it tends to break down over the longer term. Emphasis is also placed on Phelps’ and Friedman’s NAIRU theory using both a simplistic functional form and BVAR. We find weak evidence supporting the NAIRU theory from the simplistic model, but stronger evidence using BVAR. A wavelet analysis reveals that the short-run NAIRU theory and Phillips curve relationships may be time-dependent, while the long-run relationships are essentially vertical, suggesting instead that each relationship is primarily observed over the medium-term (2-10 years), though the economically significant medium-term region has narrowed in recent decades to roughly 4-7 years. We pay homage to Phillips’ original work, using his functional form to compare potential differences in labor bargaining power attributable to labor scarcity, partitioned by skill level (as defined by educational attainment). We find evidence that the wage Phillips curve is more stable for individuals with higher skill and that higher skilled labor may enjoy a lower natural rate of unemployment.

The Impact of Monetary and Fiscal Policies on the Stock Market in the United States (U.S); Evidence from Linear ARDL Framework

2020 ◽  
Vol 11 (1) ◽  
pp. 132-132
Author(s):  
Aref Emamian
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Real Effective Exchange Rate ◽  
Annual Data ◽  
Fiscal Policies ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
The Impact

This study examines the impact of monetary and fiscal policies on the stock market in the United States (US), were used. By employing the method of Autoregressive Distributed Lags (ARDL) developed by Pesaran et al. (2001). Annual data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, the results show that both policies play a significant role in the stock market. We find a significant positive effect of real Gross Domestic Product and the interest rate on the US stock market in the long run and significant negative relationship effect of Consumer Price Index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Keywords: ARDL, monetary policy, fiscal policy, stock market, United States

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.

Fish Exports and Economic Growth: The Pakistan’s Experience

2019 ◽  
Vol 20 (2) ◽  
pp. 279-296 ◽  
Author(s):  
Syed Tehseen Jawaid ◽  
Mohammad Haris Siddiqui ◽  
Zeeshan Atiq ◽  
Usman Azhar
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Positive Impact ◽  
Impulse Response Function ◽  
Policy Implications ◽  
Sensitivity Analyses ◽  
Series Data ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run

This study attempts to explore first time ever the relationship between fish exports and economic growth of Pakistan by employing annual time series data for the period 1974–2013. Autoregressive distributed lag and Johansen and Juselius cointegration results confirm the existence of a positive long-run relationship among the variables. Further, the error correction model reveals that no immediate or short-run relationship exists between fish exports and economic growth. Different sensitivity analyses indicate that initial results are robust. Rolling window analysis has been applied to identify the yearly behaviour of fish exports, and it remains negative from 1979 to 1982, 1984 to 1988, 1993 to 1999, 2004 and from 2010 to 2013, and it shows positive impact from 1989 to 1992, 2000 to 2003 and from 2005 to 2009. Furthermore, the variance decomposition method and impulse response function suggest the bidirectional causal relationship between fish exports and economic growth. The findings are beneficial for policymakers in the area of export planning. This study also provides some policy implications in the final section.

scholarly journals Profitability Variables and Bank Size Effects on Corporate Zakat: Evidence from Indonesian Islamic Banks

2019 ◽  
Vol 4 (1) ◽  
pp. 55-66
Author(s):  
Muhammad Anif Afandi
Keyword(s):  
Impulse Response Function ◽  
Islamic Banks ◽  
Vector Error Correction ◽  
Independent Variables ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
Operational Activities ◽  
Conventional Banks ◽  
Research Period

Islamic banks carry out their operational activities based on Islamic principles. Thus, they are not only required to pay taxes but also zakat of 2.5 percent with several conditions. Theoretically, zakat has an impact on Islamic banks larger expenditures compared to conventional banks which are not obliged to. This research examines and analyzes the extent to which profitability variables which are ROA, ROE, and BOPO, and bank size which is represented by total assets, can affect corporate zakat expenditure by Islamic Commercial Banks (BUS) in Indonesia. To do so, the Panel Vector Error Correction Model (PVECM) is used to analyze the subject matters which the period covers from 2012 to 2017. This work finds that in the short-run, all the independent variables were insignificant. However, in the long-run only ROE and BOPO which were significant. The results of the Impulse Response Function (IRF) analysis showed that the dependent variable responds to the shock of its independent variables with fluctuating and even negative trend. In addition, the results of Variance Decomposition (VDC) analysis showed that the contribution of profitability variables and bank size tended to decrease toward the formation of corporate zakat expenditure by BUS until the end of the research period. Keywords: Corporate Zakat Expenditure, Islamic Banks, Profitability, Bank Size, PVECM

scholarly journals INFLASI DARI SUDUT PANDANG MONETER DAN FISKAL (STUDI KASUS SUMATERA BARAT)

2019 ◽  
Vol 1 (1) ◽  
pp. 131
Author(s):  
Zul Azhar ◽  
Alpon Satrianto ◽  
Nofitasari Nofitasari
Keyword(s):  
Interest Rate ◽  
Money Supply ◽  
Government Spending ◽  
Descriptive Research ◽  
Distributed Lag ◽  
Long Run ◽  
Negative Effect ◽  
Short Run ◽  
The Interest Rate ◽  
Positive Effect

This study aims to analyze the effect of money supply M2, interest rate, government spending and local tax on the inflation in West Sumatera. This type of research is descriptive research and secondary datain the form of time-series from quartely 1 2007 to 2017 quartely 4 using the method of Autoregresive Distributed Lag analysis. The results of this study indicate that money supply in the long run have a significant and positive effect on inflation West Sumatera. In the short run  and long run the interest rate has a significant and positive effect on inflation in West Sumatera. Government spending in the Long run has a significant and negative effect on inflation in West Sumatera. Based on the result of this study can be concluded that there is inflation in West Sumatera is monetery of phenomenon in the long run. 

scholarly journals Determinants of Islamic Rural Bank Financing in Indonesia

JEJAK ◽  
2017 ◽  
Vol 10 (2) ◽  
pp. 273-288
Author(s):  
Arif Widodo ◽  
Istianah Asas
Keyword(s):  
Exchange Rate ◽  
Global Financial Crisis ◽  
Positive Impact ◽  
Impulse Response Function ◽  
Third Party ◽  
Correction Model ◽  
Macroeconomic Variables ◽  
Bank Financing ◽  
Long Run ◽  
Short Run

This research is designed to empirically investigate the determinants of Islamic rural banking financing in Indonesia after 2008 global financial crisis covering period 2009.1-2014.12. The methods applied in this research are Error Correction Model (ECM) and VAR/VECM. The results of ECM model demonstrate that the variable third party funds (DPK) and non-performing financing can significantly affect Islamic rural banking financing both in the short run and long run, while Return on Asset (ROA) and Profit-and-loss sharing does not have a significant influence. Islamic rural bank financing, however, was influenced by inflation and exchange rate as the proxy of macroeconomic variables in the short and long run. Furthermore, Impulse Response Function (IRF) and variance decomposition results show that Profit-and-loss sharing (PLS) has the largest positive impact to financing (39.08%), followed by third party fund (19.6%) and inflation (8.9%). While, the variables that contribute to reduce financing are non-performing financing (9.02%), followed by ROA (7.76%) and exchange rate (2.48%).

scholarly journals Impact of Public Debt, Deficit and Debt Financing on Private Investment in a Large Country: Evidence from the United States

2020 ◽  
Vol 6 (2) ◽  
pp. 139-161
Author(s):  
Amir Kia
Keyword(s):  
Public Debt ◽  
Public Investment ◽  
Government Expenditure ◽  
Private Investment ◽  
Adjustment Costs ◽  
The United States ◽  
Direct Impact ◽  
Large Country ◽  
Long Run ◽  
Short Run

This paper analyses the direct impact of fiscal variables on private investment. The current literature ignores one or more fiscal variables and, in many cases, the foreign financing of debt. In this paper, an aggregate investment function for an economy in which firms incur adjustment costs in their investment process is developed. The developed model incorporates the direct impact of government expenditure, public debt and investment, deficits and foreign-financed debt on private investment. The model is tested on US data. It is found that public investment does not have any impact on private investment, but government expenditure, deficit, debt and foreign-financed debt crowd out private investment over the long run. However, deficit crowds in the private investment over the short run.

Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Ricardo Quineche
Keyword(s):  
Stock Returns ◽  
The United States ◽  
Labor Income ◽  
Left Tail ◽  
Long Run ◽  
Short Run ◽  
Excess Stock Returns ◽  
Aggregate Wealth ◽  
Risk Free Rate ◽  
The Right

Abstract This paper empirically examines the long-run relationship between consumption, asset wealth and labor income (i.e., cay) in the United States through the lens of a quantile cointegration approach. The advantage of using this approach is that it allows for a nonlinear relationship between these variables depending on the level of consumption. We estimate the coefficients using a Phillips–Hansen type fully modified quantile estimator to correct for the presence of endogeneity in the cointegrating relationship. To test for the null of cointegration at each quantile, we apply a quantile CUSUM test. Results show that: (i) consumption is more sensitive to changes in labor income than to changes in asset wealth for the entire distribution of consumption, (ii) the elasticity of consumption with respect to labor income (asset wealth) is larger at the right (left) tail of the consumption distribution than at the left (right) tail, (iii) the series are cointegrated around the median, but not in the tails of the distribution of consumption, (iv) using the estimated cay obtained for the right (left) tail of the distribution of consumption improves the long-run (short-run) forecast ability on real excess stock returns over a risk-free rate.

The Linkage between Chittagong Stock Market and Dhaka Stock Market

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Muhammad Shahidullah Tasfiq ◽  
◽  
Nasrin Jahan
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Price ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
Variance Decomposition Analysis

This paper aims at determining the relationship between the two domestic stock markets of Bangladesh – the Chittagong Stock Market (CSE) and the Dhaka Stock Market (DSE). The daily stock price indices that represent the performance of the two stock markets are collected. In order to find out the interdependent relationship, the Engle-Granger Cointegration test, Granger Causality test, Impulse Response Function, and Variance Decomposition Analysis are employed in this paper. The main finding of this study is that both the stock markets are related in the long run. However, there is a one-way short-run effect from the DSE on the CSE market. The CSE market quickly responds to the shock in the DSE market. But, the DSE market is not responsive to the CSE market. The variance decomposition analysis shows that most of the shocks in the CSE market are explained by its own market. On the other hand, a small number of shocks in the DSE market are explained by the CSE market as well as its own market.

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