scholarly journals Revisiting Banking Stability Using a New Panel Cointegration Test

2021 ◽  
Vol 9 (2) ◽  
pp. 21
Author(s):  
Hassan B. Ghassan ◽  
Zakaria Boulanouar ◽  
Kabir M. Hassan
Keyword(s):  
Cross Section ◽  
Serial Correlation ◽  
Panel Cointegration ◽  
Cointegration Test ◽  
Current Version ◽  
Medium Term ◽  
Long Run ◽  
Panel Cointegration Test ◽  
Banking Stability ◽  
Score Index

Using a new panel cointegration test that considers serial correlation and cross-section dependence on a mixed and heterogenous sample of Saudi banks, we revisit the cointegrating equation of the z-score index of banking stability. Our results show that even when we consider the cross-section dependency and serial correlation of the errors, there is a possibility of a long-run relationship, which holds in our sample of banks. Furthermore, in the medium term, we found some banks to be integrated, whereas others were non-cointegrated. We interpret this to suggest that some banks contribute to banking stability, whereas others do not. In other words, there exists at least one bank that acts as a destabilizer and the challenge for financial regulators is to identify which banks these are. However, the current version of the Hadri et al. test does not allow for the identification of the non-cointegrated banks. If the test was able to do that, the regulatory authorities would be able to develop corrective policies/measures specifically tailored to the non-cointegrated units.

Panel Data Analysis of Financial Development, Trade Openness, and Economic Growth: Evidence from BRICS Countries

2018 ◽  
Vol 4 (1) ◽  
pp. 1-18 ◽  
Author(s):  
Ritu Rani ◽  
Naresh Kumar
Keyword(s):  
Economic Growth ◽  
Trade Openness ◽  
Panel Cointegration ◽  
Least Square ◽  
Cointegration Test ◽  
Ordinary Least Square ◽  
Brics Countries ◽  
Long Run ◽  
Panel Granger Causality ◽  
Panel Cointegration Test

The purpose of this article is to investigate the possible cointegration and direction of causality between foreign direct investment (FDI) inflow, trade openness, and economic growth in BRICS countries using panel data from 1993 to 2015. Besides these variables, money supply and domestic credit (DC) to private players are also added in the model to examine the impact of financial openness on economic growth. The Pedroni’s panel cointegration test is used to examine the existence of long-run relationship, and coefficients of cointegration are examined by fully modified ordinary least square (FMOLS) and dynamic ordinary least square (DOLS). Further panel Granger causality test is used to examine the direction of causality among the competing variables. The results of Pedroni’s panel cointegration test indicate that there exists a long-run relationship among the variables under considerations in BRICS countries. The coefficient of FMOLS and DOLS indicates that trade openness has a positive impact on economic growth in BRICS countries while FDI inflow has a negative impact in these nations. In addition, the results of panel Granger causality confirmed bidirectional causality between FDI inflow and economic growth in the short run. The study recommends that BRICS countries should liberalize trade openness as it strengthens the position of member countries in the world economy.

scholarly journals The Corruption-Terrorism Nexus: A Panel Data Approach

2016 ◽  
Vol 8 (11) ◽  
pp. 111 ◽  
Author(s):  
Nahil Boussiga ◽  
Malek Ghdamsi
Keyword(s):  
Panel Cointegration ◽  
Political Stability ◽  
Cointegration Test ◽  
Correction Model ◽  
Major Threat ◽  
Long Run ◽  
Cointegration Tests ◽  
Panel Cointegration Test ◽  
The Relationship ◽  
Control Of Corruption

<p>Corruption has been increasingly recognized as the major threat to economic development, political stability and peace. It is also acknowledged by international community as the breeding ground for terrorism. This paper examines the relationship between corruption and terrorism in the long run. Previous studies examining the link between these two phenomena used only time series cointegration tests. In this paper, we make use of a dataset for a panel of 123 developed and developing countries over the period 2003-2014. We use Pedroni’s residual-based panel cointegration test and the error correction model-based panel cointegration test developed by Westerlund. In order to obtain more robust results, we use two different measures of corruption which are Corruption Perceptions Index (CPI) and Worldwide Control of Corruption Indicator (CC). The results of both tests reject the null hypothesis of no cointegration. we conclude that corruption and terrorism converge. Our findings corroborate results of previous studies.</p>

International Tourism and Opportunities for Economic Development in India

2017 ◽  
pp. 34-74
Author(s):  
Manoj Kumar
Keyword(s):  
Policy Making ◽  
Positive Impact ◽  
Panel Cointegration ◽  
Cointegration Test ◽  
International Tourism ◽  
Demand Model ◽  
Long Run ◽  
International Tourist ◽  
Panel Cointegration Test ◽  
Relationship Of

This chapter sought to find the long-run relationships between international tourist arrivals in India with economic variables such as GDP, transportation costs and the exchange rate for the period from 2002-2015. The cointegration techniques used was based on Panel Cointegration Test as well as both the OLS estimator and DOLS estimators were used to find long-run relationship of the international tourism demand model for India. The long-run results indicate that growth in income (GDP) of India's major tourist source markets has a positive impact on international visitor arrivals to India. Finally when the value of India's currency strong than the value of these country's currency increasing 1% then the number of international visitor arrivals to India decreasing 0.003% to 0.006%. Furthermore mostly findings were consistent with economic theory and the implications of the model can be use for policy making.

A long run initial yield for offices: a panel cointegration test

2002 ◽  
Vol 19 (1) ◽  
pp. 1-12 ◽  
Author(s):  
Seow Eng Ong ◽  
Lan Yuan Lim ◽  
Shi Ming Yu ◽  
Amy Khor
Keyword(s):  
Panel Cointegration ◽  
Cointegration Test ◽  
Initial Yield ◽  
Long Run ◽  
Panel Cointegration Test

scholarly journals The Impact of Austerity Measures on Government Borrowing in GIIPS

2016 ◽  
Vol 8 (12) ◽  
pp. 106 ◽  
Author(s):  
Imre Ersoy ◽  
Talha Yanmaz
Keyword(s):  
Empirical Analysis ◽  
Rate Increase ◽  
Panel Cointegration ◽  
Government Debt ◽  
Cointegration Test ◽  
Tax Rate ◽  
Economic Agents ◽  
Panel Cointegration Test ◽  
Using Data ◽  
The Impact

The article investigates the effects of austerity measures on government debt in Greece, Ireland, Italy, Portugal and Spain (GIIPS) by employing panel cointegration test and using data between 1998 and 2014. The result of empirical analysis shows that tax rate increase on personal income did not result with decrease in government debt. Interest rate and wage that are control variables are also positively related with government debt levels. The result of this empirical analysis suggests that the impact of austerity measures on government borrowing in GIIPS is positive, despite the expectations of certain economic agents.

Investigation of the Foreign Direct Investment and Environmental Pollution Nexus for Developing Countries

2021 ◽  
pp. 320-338
Author(s):  
Orkun Çelik ◽  
Özge Korkmaz ◽  
Zafer Adalı
Keyword(s):  
Developing Countries ◽  
Foreign Direct Investment ◽  
Environmental Pollution ◽  
Direct Investment ◽  
Panel Cointegration ◽  
Cointegration Test ◽  
Annual Data ◽  
Pollution Haven ◽  
Panel Cointegration Test

In theory, the foreign direct investment and environmental pollution nexus is explained by three hypotheses. Firstly, pollution haven hypothesis assumes that there is a positive nexus between these variables. Secondly, pollution halo hypothesis supposes that there is negative connection between these variables. Lastly, neutrality hypothesis asserts the non-existence of the connection between these variables. In recent years, many researchers have frequently tested whether these hypotheses are valid for different countries. In this study, applying Westerlund panel cointegration test, the authors aim to explore the nexus between foreign direct investment and environmental pollution for 23 developing countries after global crisis. For this aim, they use annual data covering the period 2009-2019. According to the obtained empirical findings, the presence of the long-term nexus between foreign direct investment and environmental pollution is not detected for 23 developing countries. Accordingly, the authors can say that there is neutrality hypothesis.

Investigating energy consumption and economic growth for BRICS-T countries

2019 ◽  
Vol 16 (4) ◽  
pp. 184-195 ◽  
Author(s):  
Durmuş Çağrı Yıldırım ◽  
Seda Yıldırım ◽  
Isıl Demirtas
Keyword(s):  
Economic Growth ◽  
Energy Consumption ◽  
Energy Savings ◽  
Panel Cointegration ◽  
Cointegration Test ◽  
Real Output ◽  
Content Type ◽  
Natural Logarithm ◽  
Panel Cointegration Test ◽  
The Relationship

Purpose The purpose of this paper is to explore the relationship between energy consumption and economic growth for Brazil, Russia, China, India, South Africa and Turkey (BRICS-T) countries. In this context, this study investigates energy consumption and real output in BRICS-T countries through panel cointegration. Design/methodology/approach The data include energy consumption and real output for BRICS-T countries and period of 1990–2014. The variables are transformed into natural logarithm. To analyze these data, this study employed Pedroni cointegration test, the second-generation panel cointegration test, Westerlund and Edgerton (2008) test and FMOLS test. Findings Results indicate that there is a bi-directional causality relationship between energy consumption and economic growth for BRICS-T countries. An increase in GDP leads to an increase in energy consumption and an increase in energy consumption leads to an increase in GDP. Research limitations/implications This study used data that include the period of 1990–2014 for BRICS-T countries. So, further studies can use different periods of data or different countries. Originality/value This study provides important evidence that countries with strong growth performance need to follow bi-directional energy policies to increase both energy investments and ensure energy savings.

scholarly journals The Interaction between Stock Prices and Commodity Prices: East Europe and Central Asia Countries

2015 ◽  
Author(s):  
Mustafa Ildırar ◽  
Erhan İşcan
Keyword(s):  
Stock Prices ◽  
Sharp Increase ◽  
Commodity Prices ◽  
Panel Cointegration ◽  
Commodity Price ◽  
Developed Countries ◽  
Upward Trend ◽  
East Europe ◽  
Long Run ◽  
Panel Cointegration Test

The sharp increase in commodity prices since 2000s has important effects on many economic variables. Especially the upward trend in commodity prices had substantial effects on stock prices. The literature has continuing and growing interest to the dynamics of commodity price and their significant impact on economic and financial developments. There is growing evidence that commodity prices, stock prices moved together, and that the correlations between them have increased. Many studies investigated the interaction between stock prices and real and commodity prices and find strong interaction for developed countries. However, the effect of the commodity prices on stock markets in relatively less investigated for ECA countries. The purpose of this study is to investigate the long-run relationship between commodity prices and stock prices in ECA countries can by using a panel cointegration test.

scholarly journals Testing monetary exchange rate models with the Westerlund panel cointegration test

Economica ◽  
2020 ◽  
Vol 7 (2) ◽  
pp. 172-179
Author(s):  
Andrea Szabó
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Empirical Support ◽  
Panel Cointegration ◽  
Empirical Literature ◽  
Long Run ◽  
Cointegration Tests ◽  
Panel Cointegration Test ◽  
Exchange Rate Models ◽  
Monetary Models

Time series testing of long-run monetary models of exchange rate determination in most cases fails to support the conjectures of the theory. The empirical literature increasingly uses the panel technique when testing monetary exchange rate models because the power of the panel unit root and panel cointegration tests seems higher than the pure time series tests. In this paper we examine the validity of the monetary exchange rate models over the period 1996Q1-2011Q4 for US dollar exchange rates of 15 OECD countries using Westerlund’s 2007 panel cointegration tests. We found moderate empirical support for monetary exchange rate models.

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