scholarly journals An ECM Approach for Long Run Relationship Between Real Exchange Rate and Output Growth: Evidence from Bangladesh

2015 ◽  
Vol 63 (2) ◽  
pp. 105-110 ◽  
Author(s):  
Khnd Md Mostafa Kamal
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Time Series Data ◽  
Output Growth ◽  
Series Data ◽  
Data Series ◽  
Currency Exchange ◽  
Long Run ◽  
Short Run

Currency exchange rate is an important aspect in modern economy which indicates the strength of domestic currency with respect to international currency. This study uses 42 years’ (1972 to 2013) time series data for Bangladesh in order to empirically determine whether the real exchange rate has significant impact on output growth for Bangladesh by using error correction model (ECM).The time series econometrics properties of the data series have been thoroughly investigated to apply ECM approach. The empirical evidence suggests mixed results; in the short run low exchange rate has positive significant effect while in the long run output growth is positively affected high exchange rate pass through.Dhaka Univ. J. Sci. 63(2):105-110, 2015 (July)

Impact of Globalization on Industrial Development in Vietnam: Evidence from Time Series Analysis

2019 ◽  
pp. 5-22
Author(s):  
Van Nguyen Thi Cam
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Direct Investment ◽  
Industrial Development ◽  
Time Series Data ◽  
Industrial Sector ◽  
Series Data ◽  
Long Run ◽  
Short Run ◽  
Balance Of Trade

This study aims at investigating the impact of globalization on industrial development in Vietnam. Empirical analysis is done by using time series data for the period from 1995 to 2015. The paper tested the stationary, cointegration of time series data and utilized error correction modeling technique to determine the short-term relationships among industry value added, globalization, foreign direct investment, balance of trade, exchange rate and reserves variables. The results show that globalization, measured by the KOF index, promotes industrial development and that Vietnam has gained from integrating into the global economy. The overall index of globalization has positively and significantly impacted on the industrial development in Vietnam in the short run as well as in the long run. The results also indicate that foreign direct investment has had a massive effect on the development of the Vietnamese industrial sector in the long run. The study further reveals that balance of trade has affected industrial development positively in the long run. Moreover, the exchange rate was found to be positively influential toward industrial development in the long run but it has had a negative effect on the industrial sector in the short run. In addition, reserves have negatively affected industrial performance in the long run but have had an insignificant impact in the short run.

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

scholarly journals Political Stability and its Impact on Economic Growth of Pakistan (1988-2018): A Time Series Analysis

2020 ◽  
Vol 6 (1) ◽  
pp. 273-282
Author(s):  
Majid Hussain Phul ◽  
Muhammad Saleem Rahpoto ◽  
Ghulam Muhammad Mangnejo
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Time Series Data ◽  
Political Stability ◽  
Series Data ◽  
Explanatory Variables ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Positive Effect

This research paper empirically investigates the outcome of Political stability on economic growth (EG) of Pakistan for the period of 1988 to 2018. Political stability (PS), gross fixed capital formation (GFCF), total labor force (TLF) and Inflation (INF) are important explanatory variables. Whereas for model selection GDPr is used as the dependent variable. To check the stationary of time series data Augmented Dickey Fuller (ADF) unit root (UR) test has been used,  and whereas to find out the long run relationship among variables, OLS method has been used. The analysis the impact of PS on EG (EG) in the short run, VAR model has been used. The outcomes show that all the variables (PS, GFCF, TLF and INF) have a significantly positive effect on the EG of Pakistan in the long run period. But the effect of PS on GDP is smaller. Further, in this research we are trying to see the short run relationship between GDP and other explanatory variables. The outcomes show that PS does not have such effect on GDP in the short run analysis. While GFCF, TLF and INF have significantly positive effect on GDP of Pakistan in the short run period.

Asset Quality and Deposit Money Banks Performance in Nigeria

2019 ◽  
Vol 1 (1) ◽  
pp. 38-47
Author(s):  
Mbatabbey Joy Ogboru
Keyword(s):  
Time Series ◽  
Financial Stability ◽  
Deposit Insurance ◽  
Time Series Data ◽  
Annual Reports ◽  
Series Data ◽  
Bank Performance ◽  
Long Run ◽  
Short Run ◽  
Asset Quality

This study investigate the relationship between asset quality and deposit money banks performance in Nigeria over a period of 30 years ranging from 1986 to 2016, utilizing time series data collected from the Nigeria deposit insurance corporation annual reports and accounts, CBN financial stability report and CBN statistically bulletin for various years. The variables of study includes return on asset (ROA) proxy for Deposit Money Bank performance in Nigeria, ratio of non-performing loan to total loan (NPL), ratio of liquid assets to total assets (LAT) and ratio of liquid assets to short term liabilities (LAS) as measures of asset quality. The study utilizes both the descriptive and econometric techniques to analyze the time series data. The result shows that there is a short run relationship between asset quality and deposit money bank performance in Nigeria. Also, the co-integration result reveals the presence of a long run relationship between asset quality and deposit money bank performance in Nigeria while the granger causality result shows evidence of causality between asset quality and deposit money bank performance in Nigeria. Based on this we conclude by saying that maintaining sound assets quality position is critical to the long term performance, survival and sustainability of DMBs in Nigeria.

scholarly journals IMPACT OF TRADE ON ECONOMIC GROWTH OF PAKISTAN: AN ARDL TO CO-INTEGRATION APPROACH

2016 ◽  
Vol 55 (2) ◽  
pp. 47-58
Author(s):  
Nooreen Mujahid ◽  
Azeema Begum ◽  
Muhammad Noman
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Exchange Rate ◽  
Time Series Data ◽  
Policy Option ◽  
Stationary Time Series ◽  
Series Data ◽  
Long Run ◽  
Import And Export ◽  
The Relationship

This paper explores the relationship between export growth and economic growth in the case of Pakistan by employing time series data for the period 1971- 2013. This study has incorporated variables like GDP (Gross Domestic Product) exports, imports and Foreign Direct Investment (FDI). We have applied ARDL to co-integration and Error Correction Model (ECM). The study provides the evidence of stationary time series variables, the existence of the long - run relationship between them, and the result of ECM revealed short rum equilibrium adjustment. Pakistan has many options for enhancing the export of the country. There is a dire need to minimize trade barriers and restrictions such as import and export quotas. Government of Pakistan had introduced Structural Reforms for liberalization, privatization and de-regulation which will actually shifted the trend of trade at a significant level in the end of 1980s. Low levels of interest rate can help exportable industries in which investments are needed to promote and enhance the exports. Stable exchange rate is the first and the best policy option for increasing the export and managing the imports. There is a cause and effect relationship between exchange rate and FDI. Pakistan has to immediately find the policies and processes that support logistics and facilitates trade.

scholarly journals Relationship between Crime and Economic Conditions in Sindh: A Time Series Approach from 1984-2015

2020 ◽  
Vol 5 (2) ◽  
pp. p1
Author(s):  
Irfan Hussain Khan ◽  
Khan Alyas ◽  
Nighat Hanif ◽  
Ansa Zaiba
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Policy Formation ◽  
Economic Conditions ◽  
Series Data ◽  
Productive Capacity ◽  
Statistical Process ◽  
Long Run ◽  
Short Run ◽  
Reported Crime

Using the time series data from 1984 to 2015, this study attempts to explore Sindh economic situation and the relationship between criminal activities. Three Variables are used for economic conditions, such as crime rate, dropout ratio and unemployment. We check their relationship with the reported crime. Enhanced Dicky Fuller test for unit root process indicates that all variables are stationary at the first level. For long-term relationships, Johanson-Cointegration technology has been applied. The results of the statistical process show that dropout ratio and unemployment are closely related to crime.VCM has been applied to check the short-run relationship between the variables. VCM results suggested that the model we estimate is divergent. Divergent model mean that there is no adjustment from long-run to short-run between variables as they are going away, if we increase the lag length, the model can become divergent but due to crime data unavailability it was difficult to increase the observations and the lags as well. Study gives evidence that economic conditions have significant impact on crimes and increasing dropout which is Positive related with crime in Sindh. It is also shown that the crime is influenced by economic condition. Government is capable to reduce that threat through effective target policies and legislation. The empirical results of this study will enhance understanding of the role of public sector policy formation in promoting national productive capacity by uplifting the positive effect of the Sindh economy.

scholarly journals Aggregation, asymmetry, and common factors for Bangladesh’s exchange rate–trade balance relation

2021 ◽  
Author(s):  
Rabeya Khatoon ◽  
Md Emran Hasan ◽  
Md Wahid Ferdous Ibon ◽  
Shahidul Islam ◽  
Jeenat Mehareen ◽  
...  
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Trade Balance ◽  
Time Series Data ◽  
Government Support ◽  
Series Data ◽  
Aggregate Analysis ◽  
Long Run ◽  
J Curve ◽  
Rate Relationship

AbstractWe present an application of the recent CS-ARDL methodology in the context of a country’s trade balance–exchange rate relationship. The trade balance is expected to deteriorate first before improving in response to currency depreciation and vice versa, widely known as the J-curve effect satisfying the Marshall–Lerner condition in the long run. Combining bilateral and aggregate analysis in one setting by constructing specific panel data with one reference country, we find that aggregate analysis is sensitive to our allowance for heterogeneity. Estimates using the aggregate time series data show evidence favoring the J-curve relation, whereas the aggregate analysis resulting from the panel time series data shows that currency appreciation improves trade balance in Bangladesh in the long run, which goes against the Marshall–Lerner condition. With the reference of the existing commodity-level literature, we argue that this atypical scenario lines with the realities of a ‘small’ economy like Bangladesh, where her exporters attempt to maintain their market share with some government support. The study provides essential policy suggestions by identifying the significant contributors to Bangladesh’s trade balance–exchange rate relationship: China, Japan, and Singapore.

Asymmetric effects of oil price changes on the Nigerian exchange rate

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Patrick Onodje ◽  
Temitope Ahmdalat Oke ◽  
Oluwatimilehin Aina ◽  
Nazeer Ahmed
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Oil Price ◽  
Series Data ◽  
Price Changes ◽  
Content Type ◽  
Asymmetric Effects ◽  
Wald Tests ◽  
Long Run ◽  
Short Run

Purpose The purpose of this paper is to examine the effect of crude oil prices on the Nigerian exchange rate with emphasis on discriminating between the effects of positive and negative changes in oil price on exchange rate. Design/methodology/approach The authors used monthly time series data from 1996:1 to 2019:6 and adopted two oil price measures, namely, Brent crude and West Texas Intermediary prices. For analysis, the authors used stepwise least squares to estimate a non-linear ARDL (NARDL) model and Wald tests to determine cointegration and the presence of asymmetric effects. Findings The findings showed that positive and negative Brent crude price changes significantly affect exchange rates differently in nominal terms, both in the long-run and short-run. However, the differences were purely in terms of effect size because the exchange rate decreased for both negative and positive oil price changes. Originality/value Whilst empirical research on asymmetries in the effect of oil price on exchange rate abounds, little evidence exists in Nigeria’s case. Although some studies previously tested for asymmetric oil price effects on the Nigerian currency, the approach used did not estimate long and short-run effects or test of long-run and short-run asymmetries. This paper fills this methodological gap using monthly using the NARDL approach. The NARDL approach provided the advantage of estimating effects for the long-run and short-run and testing for asymmetries in both time spans.

scholarly journals Linear and Nonlinear Dynamics of the Turkish Trade Balance

2016 ◽  
Vol 8 (2) ◽  
pp. 70 ◽  
Author(s):  
Huseyin Karamelikli
Keyword(s):  
United States ◽  
United Kingdom ◽  
Exchange Rate ◽  
Trade Balance ◽  
Bilateral Trade ◽  
Time Series Data ◽  
Series Data ◽  
Long Run ◽  
J Curve ◽  
Short Run

<p>This study empirically analyses bilateral trade of Turkey with her main trade partners using monthly time series data over the period of 2000 to 2015. J-curve theory and short-run dynamics of bilateral trade is tested by linear ARDL and Non-linear ARDL approaches. The empirical results indicate that there is no J-curve effect during short-run for United States and for France; it symmetrically exists to Germany and asymmetrically to United Kingdom. Also long-run relationship between exchange rate and trade balance has mixed results. Asymmetric long-run relationship between exchange rate and trade balance for United States exists where it is symmetrically most appropriate for Germany. In the other hand this study failed to verify any long-run relationship between exchange rate and trade balance for France and for United Kingdom.</p>

scholarly journals Impact of Price and Price Variability on Acreage Allocation in Rice and Wheat Production in Bangladesh

2012 ◽  
Vol 10 (1) ◽  
pp. 23-30
Author(s):  
Basanta Kumar Barmon ◽  
Muntasir Chaudhury
Keyword(s):  
Growth Rate ◽  
Time Series ◽  
Time Series Data ◽  
Wholesale Price ◽  
Series Data ◽  
Wheat Crop ◽  
Price Variability ◽  
Wheat Production ◽  
Long Run ◽  
Short Run

The present study was conducted to estimate the impacts of price and price variability on acreage allocation of rice and wheat production in Bangladesh. Time series data of price and acreage allocation of rice and wheat production during 1983-84 to 2007-08, collected from Bangladesh Bureau of Statistics (BBS) were used in this study. Compound growth rate and Nerlovian models were used. The study indicated that the wholesale price of rice and wheat had significant impact on the allocation of land for rice and wheat production. Significant price variability was found both in case of rice and wheat crop in short-run (SR) and long-run (LR). The values of Nerlovian coefficients of adjustment were found low, which means that although the farmers were adjusting to the changing levels of price, price variability, yield, etc the adjustment was not rapid. Therefore, it may be concluded that the price of rice and wheat should be adjusted rapidly along with allocation of rice and wheat production in Bangladesh.DOI: http://dx.doi.org/10.3329/agric.v10i1.11061The Agriculturists 2012; 10(1): 23-30

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