scholarly journals Spot and Derivative Contract Prices: Articulation of Relationships of Cardamom through ARDL Method

2019 ◽  
Vol 8 (3S2) ◽  
pp. 73-77
Keyword(s):  
Spot Price ◽  
Short Term ◽  
Commodity Exchange ◽  
Speed Of Adjustment ◽  
Ardl Bounds Test ◽  
Long Run ◽  
Period Derivative ◽  
Short Run ◽  
Bounds Test ◽  
The Relationship

India is known as land of spices and boast of a long history in spices trading. Cardamom derivative contract is listed for trading on Multi commodity Exchange in India. This paper endeavors to find out relationship between spot and derivative contract of cardamom. The relationship is also tested between derivative price of cardamom and spot price. Two period derivative contracts, near month contract and next contract of cardamom are used for the study. Long run relationship is examined through ARDL Bounds test. ECM is applied to find out short term relationship and speed of adjustment towards long run. Long run relationship was found between spot and derivative as well as between derivative and spot. Long run relationship was established in both period contracts. Short run relationship was also established and speed of adjustment is higher in near month contract.

scholarly journals Effect of Money Supply on Inflation in Nepal: Empirical Evidence from ARDL Bounds Test

2021 ◽  
Vol 2 (1) ◽  
pp. 84-98
Author(s):  
Uttam Lal Joshi
Keyword(s):  
Money Supply ◽  
Correction Term ◽  
Policy Makers ◽  
Ardl Bounds Test ◽  
Long Run ◽  
Short Run ◽  
Bounds Test ◽  
Monetary And Fiscal Policy ◽  
Relationship Of ◽  
The Impact

This study explores the long-run and short-run relationship of money supply and inflation in the context of Nepal. Data are extracted from Economic Survey of Nepal since 1964/65 to 2018/19 to obtain the relationship. ARDL Bounds test is used for cointegration test where the dependent variable is inflation and money supply and Indian inflation are taken as independent variables to estimate the model. Result shows the long-run cointegration between the variables reveals long-run relationship and the error correction term is found to be negative (-0.98) and significant (p=0.02). The study suggests that policy makers can reduce the impact of money supply on inflation and should focus on the control of inflation adopting monetary and fiscal policy mechanism. Creeping inflation in the pace of economic growth is desirable and successful cure of inflation will help in stability and growth of the country.  

scholarly journals International Application Model Short-Long Term Between GDP and Consumption : Case Study Indonesia

ECONOMICS ◽  
2018 ◽  
Vol 6 (1) ◽  
pp. 81-90
Author(s):  
Teguh Sugiarto ◽  
Ludiro Madu ◽  
Ahmad Subagyo ◽  
◽  
Keyword(s):  
Causal Relationship ◽  
Short Term ◽  
Causality Test ◽  
Ardl Model ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Term Change ◽  
Short Run ◽  
The Relationship

SUMMARY More recently, significant fluctuations in the Indonesian economy justify the need to pay more attention to this issue. In this case, the main purpose of this research is to know the relationship between two issues related to Indonesian macro economy called consumption and GDP for data period during 1967 until 2014. This study investigates the relationship between GDP variables and Indonesian consumption consumption variables using the test ARDL, cointegration and Granger causality. The result of the research can be concluded that, there is long-run equilibrium relationship between GDP and consumption with long-term ARDL model, 10% change of consumption will produce long-term change of 44% in GDP. It is not surprising that there is no short-run equilibrium relationship between GDP and consumption. 10% of consumption will result in a short-term ARDL model change of 95% in GDP. The variables and consumption of GDP are cointegrated in the long run significantly at lag interval 10, whereas the use of lag interval 1 and 5 is not credited in the long run. Using a cointegration test with lag interval 1, 5 and 10 indicates significant for all usage slowness. So it can be summarized in the context of GDP and coordinated short-term economic consumption for all the prevailing interval lags. concluded that long-term causality test results between GDP variables and significant consumption with time intervals 5 and 10. intervals 1, 15 and 20 have no long-term causality relationship between GDP variables and consumption variables. a short-term causal model. With lagging intervals of 1, 5, 10 and 15, there is a short-term causal relationship between the variable GDP and consumption. As for the use of delay interval 20 there is no causal relationship in the short term between the variable GDP and consumption in Indonesia.

scholarly journals Repercussions of Sustainable Agricultural Productivity, Foreign Direct Investment, Renewable Energy, and Environmental Decay: Recent Evidence from Latin America and the Caribbean

2021 ◽  
Vol 9 ◽  
Author(s):  
Sobia Naseem ◽  
Wang Hui ◽  
Muddassar Sarfraz ◽  
Muhammad Mohsin
Keyword(s):  
Renewable Energy ◽  
Energy Consumption ◽  
Latin American ◽  
Environmental Sustainability ◽  
Renewable Energy Consumption ◽  
Speed Of Adjustment ◽  
Long Run ◽  
Short Run ◽  
The Relationship ◽  
Latin American And Caribbean

This research aimed to assess and implement the long- and short-run relationship of agriculture and environmental sustainability with control variables. Purposely, this research consolidated theoretical and conceptual principles to create a systematic structure in agriculture for the development of both sectors, i.e., agricultural and the environment. On this ground statement, this research was motivated to contemplate the relationship between carbon dioxide emission, agricultural production, gross domestic product, renewable energy consumption, and foreign direct investment using annual data series of Latin American and Caribbean countries from 1971 to 2018. Autoregressive distributed lag (ARDL) was used as an econometric methodology to examine the relationship among the variables. Agriculture is the most vulnerable sector in Latin American and Caribbean countries, and the economy is heavily dependent on it. The main results of this research indicated that agriculture and CO2 emissions were positively related to each other for the long and short run, which means that agricultural activities increased the CO2 emission levels. At the same time, the control variables showed mixed associations with environmental degradation as gross domestic product (GDP) was positively significant and renewable energy consumption was negatively significant. The error correction (ECt−1) term was negatively significant, confirming the long-run relationship and the speed of adjustment from short- to long-run equilibrium. Agricultural production and GDP led to increments in CO2 emissions, while renewable energy consumption negatively contributed to toxic emissions. The speed of adjustment in Latin American and Caribbean countries was nippy. It required 2.933 periods for the transformation from the short periodic phase to the long term. A comprehensive approach is the research debate rigorously and holistically based on divergent sectors of an economy and their relationship with environmental sustainability. The econometric method, symbolic system, and conceptual existence were designed originally.

scholarly journals Tourism and economic growth in Greece: An ARDL bound testing approach in a Kaldorian framework

2020 ◽  
Vol 70 (2) ◽  
pp. 215-227
Author(s):  
Konstantinos Spinthiropoulos ◽  
Christos Nikas ◽  
Eleni Zafeiriou
Keyword(s):  
Economic Growth ◽  
Testing Procedure ◽  
Bounds Testing ◽  
Speed Of Adjustment ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Tourism Sector ◽  
Short Run ◽  
The Relationship

AbstractThe purpose of the study is to examine the relationship between tourism development and economic growth in Greece, using the Autoregressive Distributed Lag (ARDL)-Bounds testing procedure. The present paper attempts to examine the relevance of the tourism led growth hypothesis according to the Kaldorian theory. The analysis was carried out for the period from 1963 to 2016 and involves the short-run as well as the log-run impact. As a proxy for the output of the tourism sector, its receipts are employed, while as an index for economic growth, the GDP is employed. The empirical results show that the economy of Greece can recover and return to the long-run equilibrium with a speed of adjustment 7.17% per year.

Electricity consumption and economic growth in ASEAN

2017 ◽  
Vol 5 (2) ◽  
pp. 16
Author(s):  
Ahmad Ghazali Ismail ◽  
Arlinah Abd Rashid ◽  
Azlina Hanif
Keyword(s):  
Economic Growth ◽  
Energy Use ◽  
Electricity Consumption ◽  
Panel Estimation ◽  
Real Gdp ◽  
Long Run ◽  
Bidirectional Relationship ◽  
Short Run ◽  
Using Data ◽  
The Relationship

The relationship and causality direction between electricity consumption and economic growth is an important issue in the fields of energy economics and policies towards energy use. Extensive literatures has discussed the issue, but the array of findings provides anything but consensus on either the existence of relations or direction of causality between the variables. This study extends research in this area by studying the long-run and causal relations between economic growth, electricity consumption, labour and capital based on the neo-classical one sector aggregate production technology mode using data of electricity consumption and real GDP for ASEAN from the year 1983 to 2012. The analysis is conducted using advanced panel estimation approaches and found no causality in the short run while in the long-run, the results indicate that there are bidirectional relationship among variables. This study provides supplementary evidences of relationship between electricity consumption and economic growth in ASEAN.

ANALISIS PENGARUH EKSPOR TERHADAP PERTUMBUHAN EKONOMI INDONESIA

2017 ◽  
Vol 11 (1) ◽  
pp. 1-20
Author(s):  
Ari Mulianta Ginting
Keyword(s):  
Economic Growth ◽  
Export Performance ◽  
Descriptive Analysis ◽  
Correction Model ◽  
Administration System ◽  
Long Run ◽  
Short Run ◽  
Available Information ◽  
Increasing Trends ◽  
The Relationship

Ekspor merupakan salah satu faktor terjadinya peningkatan pertumbuhan ekonomi suatu negara, sejalan dengan hipotesis export-led growth (ELG). Penelitian ini menganalisis perkembangan ekspor dan pertumbuhan ekonomi Indonesia periode kuartal I 2001 sampai dengan kuartal IV 2015. Penelitian ini menggunakan analisis deskriptif dalam menggambarkan perkembangan pertumbuhan ekonomi serta ekspor dan analisis kuantitatif metode Error Correction Model (ECM) dalam menganalisis efek jangka panjang dan jangka pendek dari ekspor terhadap pertumbuhan ekonomi. Pada periode penelitian, data yang ada menunjukkan bahwa ekspor dan pertumbuhan ekonomi Indonesia sama-sama mengalami peningkatan. Hasil regresi ECM menunjukkan bahwa ekspor memiliki pengaruh yang positif dan signifikan secara statistik terhadap pertumbuhan ekonomi Indonesia, yang mendukung hipotesis bahwa ELG berlaku untuk Indonesia. Berdasarkan hasil penelitian ini, maka untuk mendorong pertumbuhan ekonomi Indonesia diperlukan peningkatan kinerja ekspor Indonesia. Peningkatan kinerja ekspor Indonesia dapat dilakukan dengan berbagai cara, salah satunya adalah dengan perbaikan sistem administrasi ekspor, peningkatan riset dan pengembangan produk Indonesia, peningkatan sarana dan prasarana infrastruktur, stabilitas nilai tukar dan perluasan pasar non tradisional, termasuk perbaikan struktur ekspor komoditas. Export is one of the factors behind the economic growth which is in line with the export-led growth hypotesis (ELG). This research analyzes the relationship between economic growth and export of Indonesia during first quarter of 2001 until fourth quarter of 2015. It employs descriptive analysis to describe export movement and economic growth during the study period and ECM model to analyze the long run and the short run effects of export on the economic growth. The available information indicated that, during the study period, both export and economic growth showed similar increasing trends. The result of the ECM model revealed that export had a positive and statistically significant relationship with the economic growth, supporting the hypotesis of ELG in Indonesia. Hence, to accelerate economic growth, efforts are required to boost the export performance in Indonesia. The Export performance can be increased by several way, such as improving the export administration system, increasing the research and development of Indonesian products, improving the facilities and infrastructure, exchange rate stability and the non-tradisional markets expansion, and including improvement of the export commodity structure.

scholarly journals Shades between Black and Green Investment: Balance or Imbalance?

2021 ◽  
Vol 13 (9) ◽  
pp. 5024
Author(s):  
 Vítor Manuel de Sousa Gabriel ◽  
María Mar Miralles-Quirós ◽  
José Luis Miralles-Quirós
Keyword(s):  
Risk Factor ◽  
Oil Prices ◽  
Oil Price ◽  
Short Term ◽  
Environmental Indices ◽  
Long Run ◽  
Green Investment ◽  
Bounds Test

This paper analyses the links established between environmental indices and the oil price adopting a double perspective, long-term and short-term relationships. For that purpose, we employ the Bounds Test and bivariate conditional heteroscedasticity models. In the long run, the pattern of behaviour of environmental indices clearly differed from that of the oil prices, and it was not possible to identify cointegrating vectors. In the short-term, it was possible to conclude that, in contemporaneous terms, the variables studied tended to follow similar paths. When the lag of the oil price variable was considered, the impacts produced on the stock market sectors were partially of a negative nature, which allows us to suppose that this variable plays the role of a risk factor for environmental investment.

Determinants of Treasury-LIBOR Swap Spreads

2005 ◽  
Vol 08 (04) ◽  
pp. 687-705 ◽  
Author(s):  
D. K. Malhotra ◽  
Vivek Bhargava ◽  
Mukesh Chaudhry
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Default Risk ◽  
Yield Curve ◽  
Short Term ◽  
Long Run ◽  
Interest Rate Volatility ◽  
Short Run ◽  
Using Data ◽  
Swap Spreads

Using data from the Treasury versus London Interbank Offer Swap Rates (LIBOR) for October 1987 to June 1998, this paper examines the determinants of swap spreads in the Treasury-LIBOR interest rate swap market. This study hypothesizes Treasury-LIBOR swap spreads as a function of the Treasury rate of comparable maturity, the slope of the yield curve, the volatility of short-term interest rates, a proxy for default risk, and liquidity in the swap market. The study finds that, in the long-run, swap spreads are negatively related to the yield curve slope and liquidity in the swap market. We also find that swap spreads are positively related to the short-term interest rate volatility. In the short-run, swap market's response to higher default risk seems to be higher spread between the bid and offer rates.

The relationship between financial development and economic growth in Eswatini (formerly Swaziland)

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Siphe-okuhle Fakudze ◽  
Asrat Tsegaye ◽  
Kin Sibanda
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Financial Development ◽  
Granger Causality Test ◽  
Causality Test ◽  
Content Type ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Relationship

PurposeThe paper examined the relationship between financial development and economic growth for the period 1996 to 2018 in Eswatini.Design/methodology/approachThe Autoregressive Distributed Lag bounds test (ARDL) was employed to determine the long-run and short-run dynamics of the link between the variables of interest. The Granger causality test was also performed to establish the direction of causality between financial development and economic growth.FindingsThe ARDL results revealed that there is a long-run relationship between financial development and economic growth. The Granger causality test revealed bidirectional causality between money supply and economic growth, and unidirectional causality running from economic growth to financial development. The results highlight that economic growth exerts a positive and significant influence on financial development, validating the demand following hypothesis in Eswatini.Practical implicationsPolicymakers should formulate policies that aims to engineer more economic growth. The policies should strike a balance between deploying funds necessary to stimulate investment and enhancing productivity in order to enliven economic growth in Eswatini.Originality/valueThe study investigates the finance-growth linkage using time series analysis. It determines the long-run and short-run dynamics of this relationship and examines the Granger causality outcomes.

Impact of Environmental Tax on Comparative Advantage of Food and Food Products: A Study of G20 Countries in Light of Environmentally Sensitive Goods

2021 ◽  
pp. 001946622110352
Author(s):  
Alisha Mahajan ◽  
Kakali Majumdar
Keyword(s):  
Comparative Advantage ◽  
Food Products ◽  
Environmental Taxes ◽  
Environmental Tax ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Environmentally Sensitive ◽  
The Relationship

Many countries are under constant fear that environmental policies might negatively influence the international competitiveness of polluting industries. In this study, we aim to evaluate the relationship and impact of the environmental tax on comparative advantage of trade in food and food products industry, considered to be one of the highly environmentally sensitive industries. This study also investigates, whether this relationship differs among countries covered in G20, with the help of correlation analysis. We select panel autoregressive distributed lag approach for this study as it can analyse long-run as well as short-run association even when the variables are stationary at different orders of integration. Using panel data from G20 countries over the period of 21 years that is from 1994 to 2015, it is concluded that when we allow environmental taxes to interact with the revealed comparative advantage (RCA) of G20 nations, the overall impact of the environmental tax on the RCA is negative in the long period. It is therefore suggested that countries should follow Porter hypothesis to stimulate innovations resulting from strict environmental regulations that affect the environment in least possible manner. JEL Codes: C01, C23, C33, F18, O57, Q5

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