scholarly journals A cointegration analysis between macroeconomic variables and fiscal deficit in Pakistan

2018 ◽  
Vol 2 (1) ◽  
pp. 37-46
Author(s):  
Mian Nasir Uddin ◽  
Muhammad Tariq ◽  
Saleem Khan
Keyword(s):  
Exchange Rate ◽  
Capital Formation ◽  
Cointegration Analysis ◽  
Gdp Per Capita ◽  
Fiscal Deficit ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Integration Test ◽  
Per Capita ◽  
The Government

This paper estimates the short and long run association between selected macroeconomic variables and fiscal deficit in Pakistan for the period of 1985 to 2016. Macroeconomic variables such as exports, exchange rate, GDP per capita, inflation, gross capital formation have strong implications for the fiscal deficit. This study checks the data for stationarity using the Augmented Dickey Fuller test. Johansen Co-integration test and Vector Error Correction Method are used to investigate both the short and long run relationships. Results indicated the existence of both short run and long run relationship between the macroeconomic variables and fiscal deficit. The findings of the study revealed that exports, exchange rate, GDP per capita, inflation, gross capital formation are important determinants of fiscal deficit in Pakistan. The study suggested that the government may focus on these factors to overcome fiscal deficit in Pakistan.

scholarly journals Relationship Between Trade Openness, Capital Formation and Economic Growth: A Panel Data Analysis for African Countries

2017 ◽  
Author(s):  
Ahmet Ay ◽  
Fahri Kurşunel ◽  
Mahamane Moutari Abdou Baoua
Keyword(s):  
Economic Growth ◽  
Panel Data Analysis ◽  
Trade Openness ◽  
Capital Formation ◽  
Gdp Per Capita ◽  
Equatorial Guinea ◽  
African Countries ◽  
Long Run ◽  
Integration Test ◽  
Per Capita

The more a country is open to trade, the more it attracts investors and the faster its economy develops. However, some study showed that sometime it can be the opposite of all this. In this context, the main purpose of this study is to investigate the relationship between trade openness, capital formation and economic growth in African countries. To do so, we collected data of GDP per capita, trade (% of GDP), Gross national expenditure and capital formation variables. The method applied is panel cointegration and causality by using time series of 38 African countries for the period of 1990-2014. According to the results there is long run relationship between all the variables and the cross sectional co-integration test result indicates that there is more cointegration in Comoros, Equatorial Guinea, Niger and Guinea-Bissau. With highest GDP per capita, Equatorial Guinea has more long-run relationship between trade openness, capital formation and economic growth. However, one of the poorest countries in the world (Niger), has also efficient long run relationship between the variables. The panel causality test results suggest that there is unidirectional causal relationship from trade openness to economic growth. There is also bidirectional causality link between capital formation and economic growth. In the same context, causal link exists from capital formation to trade openness. The study suggests that African countries must increase the investment promotions in order to increase the capital formation and trade openness then to boost economic growth.

Cointegration-causality analysis between terrorism and key macroeconomic indicators

2014 ◽  
Vol 41 (8) ◽  
pp. 664-682 ◽  
Author(s):  
Aisha Ismail ◽  
Shehla Amjad
Keyword(s):  
Research Work ◽  
Cointegration Analysis ◽  
Gdp Per Capita ◽  
Gdp Growth ◽  
Data Set ◽  
Content Type ◽  
Long Run ◽  
Macroeconomic Indicators ◽  
Per Capita ◽  
The Relationship

Purpose – The purpose of this paper is two folds: first, to analyze the long-run relationship between terrorism and key macroeconomic indicators (GDP growth, GDP per capita, inflation and unemployment) and second, to determine the direction of causality between these variables in Pakistan. Design/methodology/approach – The relationship between terrorism and various macroeconomic indicators is analyzed by applying Johansen cointegration analysis. Furthermore, the causality between terrorism and macroeconomic indicators is tested by applying Toda Yamamoto Granger causality test. Findings – The results show that there exists a long-run relationship between terrorism and key macroeconomic indicators. Furthermore, the results suggest that there exists a bi-directional causality between terrorism and inflation. The causality between GDP per capita, unemployment, GDP growth and terrorism is unidirectional. Originality/value – There is a lack of research work conducted to analyze the long-run relationship and direction of causation between terrorism and various macroeconomic indicators specifically for Pakistan. The current paper fills the gap in the literature by using sophisticated econometric techniques and recent data set to provide the evidence of the relationship between terrorism and various macroeconomic indicators.

scholarly journals Impact of Fiscal Deficit and Government Debt on Interest Rate in Pakistan

2019 ◽  
pp. 1-17
Author(s):  
Najia Shakir ◽  
Sami Ullah ◽  
Salim Ullah Khan ◽  
Muhammad Qasim
Keyword(s):  
Interest Rate ◽  
Money Supply ◽  
Government Debt ◽  
Gdp Per Capita ◽  
Fiscal Deficit ◽  
Per Capita ◽  
The Government ◽  
The Interest Rate ◽  
Relationship Of ◽  
The Relationship

The current study was conducted in the year 2014 in Pakistan to investigate the impact of fiscal deficit and government debt on the interest rate.  Data on selected macroeconomic variables like fiscal deficit, government debt, GDP per capita, money supply and volume of trade etc. from the year 1990 to 2012.  The study also has tried to find out that how the interest rate in the country is affected by the government debt and fiscal deficit. Augmented Dickey-Fuller test was run to address the stationary issue in the data, and then Ordinary Least Square (OLS) model test was run to check the relationship among the variables. Two models were set in the study. In the first model, the relationship of GDP per capita, money supply, total debt servicing and volume of trade showed a significant relationship with the fiscal deficit, while in the second model the relationship of inflation, fiscal deficit, money supply, government debt and public debt showed a significant relationship with the interest rate. Policy makers are advised to focus on the increase of DGP/Capita and export volume. In order to sustain the rate of inflation, the government may regulate the money supply and public borrowing.

scholarly journals The Effects of Primary Budget Deficits on Economic Growth: Evidence from Kenya

2021 ◽  
pp. 36-52
Author(s):  
Patrick Mugendi Mugo ◽  
Wafula Masai ◽  
Kennedy Osoro
Keyword(s):  
Economic Growth ◽  
Budget Deficit ◽  
Golden Rule ◽  
Cointegration Analysis ◽  
Gdp Per Capita ◽  
Budget Deficits ◽  
Long Run ◽  
Fixed Capital Formation ◽  
Short Run ◽  
Per Capita

Aims: The paper attempts to examine the effects of primary budget deficits on economic growth. It reviews the nature and direction of causality between primary budget deficit and economic growth. In the recent years, these have been debated both in developed and developing countries. In contributing to this ongoing debate, the study analyzes the case for Kenya from 1980 to 2016. The evidence is intended to provide policy insights for macroeconomic stability and sustained  economic growth for shared prosperity in Kenya. Study Design: The study employs quantitative time-series research design by utilizing Stata econometrics software. Place and Duration of Study: Sample: Evidence from Kenya, from 1980 to 2016. Methodology: The study employs unit root tests, Johansen cointegration analysis, a dynamic vector error correction model and a multivariate Toda-Yamamoto Granger-causality representation. Results: The findings establish that the primary budget deficit, gross fixed capital formation, real interest rate, terms of trade, inflation growth and financial innovation have significant effects on GDP per capita growth in Kenya. Primary budget deficit has a strong and significant effect on GDP per capita growth both in short-run and long run. In the short-run, the results revealed that the primary budget deficit had a positive effect on economic growth which turned negative in the long-run. There was a unidirectional causality running from primary budget deficit to economic growth.  Conclusion: The study concludes that both in the short run and long run, primary budget deficit has strong and significant causal effects on economic growth in Kenya. The evidence underscores the need for the authorities to reduce high primary budget deficits, interest payments and domestic borrowings and strictly apply the golden rule of public finances to boost long term inclusive growth, in Kenya. 

Is Fiscal Deficit Essential for Stimulating Economic Growth in Developing Economies? Theory and Empirical Evidence from India

2021 ◽  
Keyword(s):  
Economic Growth ◽  
Developing Economies ◽  
Negative Impact ◽  
Gdp Growth ◽  
Fiscal Deficit ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Government ◽  
The Impact

The primary purpose of this paper was to assess the impact of fiscal deficit on the economic growth of the Indian economy and find out the causality between fiscal deficit and economic growth from 1981-82 to 2019-20. To analyse the long-run relationship between the variables Johansen Co-integration test was used; after verifying the existence of long-run relationship among variables, the Vector Error Correction Model (VECM) was used, and the Granger Causality test was also used for investigating the direction of causality between pair of variables. The findings of the study supported the ideology of classical economists in which they neglected the government intervention for the growth and development of an economy. The results showed that in long run, fiscal deficit had a significant negative impact on economic growth as one percent increase in fiscal deficit demoted the GDP growth rate by 0.075 percent, whereas in the short run, the impact was also found negative, but it was significant only one lag. Simultaneously, there was unidirectional causality found from fiscal deficit to GDP growth.

scholarly journals Personal remittances, banking sector development and economic growth in Israel: A trivariate causality test

2015 ◽  
Vol 13 (1) ◽  
pp. 1014-1027
Author(s):  
Kunofiwa Tsaurai
Keyword(s):  
Economic Growth ◽  
Banking Sector ◽  
Gdp Per Capita ◽  
Series Data ◽  
Long Run ◽  
Banking Sector Development ◽  
Integration Test ◽  
Short Run ◽  
Causality Relationship ◽  
Per Capita

The current study investigates the causal relationship between personal remittances and economic growth using Israel time series data from 1975 to 2011. In a bid to contain the omission-of-variable bias not addressed in many past studies on this topic, this study included banking sector development as a third variable in the relationship between personal remittances and economic growth to create a tri-variate causality framework. Personal remittances as a ratio of GDP, domestic credit to private sector by banks as a ratio of GDP and GDP per capita were used as proxies for personal remittances, banking sector development and economic growth respectively for the purposes of this study. It used the Johansen co-integration test to examine the existence of the long run relationship and vector error correction model (VECM) to determine the direction of causality between personal remittances, banking sector development and economic growth both in the long and short run. The findings reveal that: (1) there is a significant long run causality relationship running from GDP per capita and banking sector development towards personal remittances, (2) there is an insignificant long run causality relationship running from personal remittances and GDP per capita towards banking sector development, (3) there is no long run causality relationship running from personal remittances and banking sector development towards GDP per capita and there is no short run causality relationship between the three variables that were under study in Israel. The author therefore recommends the authorities of Israel to speed up the implementation of banking sector development and economic growth programmes in order to increase the quantity of personal remittances inflows

scholarly journals Determinants of Export Competitiveness of Agricultural Products in Malaysia

2021 ◽  
Vol 22 (2) ◽  
pp. 618-636
Author(s):  
Siew-Ling Liew ◽  
Mohammad Affendy Arip ◽  
Chin-Hong Puah
Keyword(s):  
Comparative Advantage ◽  
Capital Formation ◽  
Agricultural Products ◽  
Gdp Per Capita ◽  
Agricultural Commodities ◽  
Cointegration Tests ◽  
Labour Participation ◽  
Export Competitiveness ◽  
Per Capita ◽  
The Government

This study intends to evaluate the export competitiveness of agricultural products using the data of 186 agricultural commodities in Malaysia for the period ranging from 1988 to 2014. Besides, this study engages in the total export of the world with Standard International Trade Classification Revision Three-SITC Revision 3 (5-digits code) to analyse the index of comparative advantage of agricultural commodities in Malaysia. In addition, the study employs Balassa (1965) index of Revealed Comparative Advantage (RCA) to measure competitiveness. The findings show that 56 commodities have comparative advantage. Apart from that, this study also empirically examines the determinants of competitiveness which are commodities price, GDP per capita, labour participation and capital formation. The results of cointegration tests estimation indicates that there is a long-run relationship between the variables under study. The outcomes denote that price of commodities, GDP per capita and crises in 2008 have negative association while labour participation and capital formation are positively relatedly to competitiveness. The results also specify that there is a short-run dynamic impact on competitiveness with the variables. This study suggests that the government should consider intensifying the current economic policy through focusing on downstream products by taking the benefit of its comparative advantage in upstream industries to increase competitiveness.

scholarly journals An Analysis of Factors Influencing Indonesia’s Leading Agricultural Commodities Export to India

2021 ◽  
Vol 36 (1) ◽  
pp. 135
Author(s):  
Ibnu Muchtar Rosyidi ◽  
Heru Irianto ◽  
Sutrisno Hadi Purnomo
Keyword(s):  
Exchange Rate ◽  
Export Performance ◽  
Export Price ◽  
Negative Influence ◽  
Positive Influence ◽  
Gdp Per Capita ◽  
Agricultural Commodities ◽  
Agricultural Export ◽  
Per Capita ◽  
The Government

Indonesia's trade balance to India had been decreasing since 2013. That has been affected by the downward trend in agricultural export value of Indonesia. This problem has raised Government’s attention to increase the export performance. This research aimed to analyze the determinants of Indonesia’s leading agricultural commodities export to India. Panel data regression model was explored to analyze secondary data of the range year 2001 to 2017. The factors examined in this study were India’s real Gross Domestic Product (GDP) per capita, Rupiah exchange rate, export price of Indonesia agricultural commodities and India’s import tariff. Model testing used the Chow, Hausman and Lagrange tests to compare and select the best model. The determinant of the variables testing used statistical and classical assumption tests. The results showed that India’s real GDP per capita has positive influence to the export value which means an increase in the purchasing power of trading partners would increase the value of exports. The Rupiah exchange rate has negative influence to the export value which means that the depreciation of rupiah to dollar causes a decrease in the export value. The export price of Indonesia’s agricultural commodities have positive influence on the export value, however the tariff has no effect. The policy that can be suggested to the government is to provide support and encourage domestic producers to increase exports to India.

Revisiting the Dynamic Relationship between Macroeconomic Fundamentals and Stock Prices: An Evidence from Indian Stock Market

2015 ◽  
Vol 5 (3) ◽  
Author(s):  
Deepa Mangala ◽  
Anita Rani
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Stock Prices ◽  
Inflation Rate ◽  
Treasury Bills ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Integration Test ◽  
Indian Stock Market

The relationship between stock prices and macroeconomic variables varies across countries, time periods, data sets used, and the frequency of data used. Thus, an in-depth study to re-investigate the relationship between selected macroeconomic variables i.e. inflation rate, exchange rate, index of industrial production, gold price, money supply and yields on treasury bills, and Indian stock market for the period of April 2005 to March 2014 has been carried out. In this study Johansens co-integration test, vector error correction model (VECM), impulse response functions (IRFs), and variance decomposition (VDCs) test have been applied. The results of Johansen co-integration test indicates a significant negative relationship between exchange rate, inflation rate, and index of industrial production with stock prices whereas there exists a significantly positive relationship of money supply and yield on treasury bills with stock prices. Vector error correction model helps to determine both short and long run causal relationship between macroeconomic variables and stock price. The results found short run causality runs from exchange rate to Nifty, Nifty to money supply, and inflation rate whereas long run causality found from Nifty to short term interest rate and money supply.

scholarly journals The Impact of Human Capital Development on Economic Growth in Ethiopia: Evidence from ARDL Approach to Co-Integration

2014 ◽  
Vol 1 (3) ◽  
pp. 127-136 ◽  
Author(s):  
Kidanemariam Gidey Gebrehiwot
Keyword(s):  
Economic Growth ◽  
Human Capital ◽  
Gdp Per Capita ◽  
School Enrolment ◽  
Real Gdp ◽  
Long Run ◽  
Real Gdp Per Capita ◽  
Short Run ◽  
Per Capita ◽  
The Government

The main objective of the study was to investigate the long run and short run impact of human capital on economic growth in Ethiopia (using real GDP per capita, as a proxy for economic growth) over the period 1974/75-2010/2011. The ARDL Approach to Co-integration and Error Correction Model are applied in order to investigate the long-run and short run impact of Human capital on Economic growth. The finding of the Bounds test shows that there is a stable long run relationship between real GDP per capita, education human capital, health human capital, labor force, gross capital formation, government expenditure and official development assistance. The estimated long run model revels that human capital in the form of health (proxied by the ratio of public expenditure on health to real GDP) is the main contributor to real GDP per capita rise followed by education human capital (proxied by secondary school enrolment). Such findings are consistent with the endogenous growth theories which argue that an improvement in human capital (skilled and healthy workers) improves productivity. In the short run, the coefficient of error correction term is -0.7366 suggesting about 73.66 percent annual adjustment towards long run equilibrium. This is another proof for the existence of a stable long run relationship among the variables. The estimated coefficients of the short-run model indicate that education is the main contributor to real GDP per capita change followed by gross capital formation (one period lagged value) and government expenditure (one period lagged value). But, unlike its long run significant impact, health has no significant short run impact on the economy. Even its one period lag has a significant negative impact on the economy. The above results have an important policy implication. The findings of this paper imply that economic performance can be improved significantly when the ratio of public expenditure on health services to GDP increases and when secondary school enrolment improves. Such improvements have a large impact on human productivity which leads to improved national output per capita. Hence policy makers and / or the government should strive to create institutional capacity that increase school enrolment and improved basic health service by strengthening the infrastructure of educational and health institutions that produce quality manpower. In addition to its effort, the government should continue its leadership role in creating  enabling environment that encourage better investment in human capital (education and health) by the private sector.  

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