scholarly journals THE SYNCHRONISATION BETWEEN FINANCIAL AND BUSINESS CYCLES: A CROSS SPECTRAL ANALYSIS VIEW

2020 ◽  
Vol 26 (4) ◽  
pp. 907-919 ◽  
Author(s):  
Marinko Škare ◽  
Małgorzata Porada-Rochoń
Keyword(s):  
Spectral Analysis ◽  
Business Cycles ◽  
Housing Price ◽  
Medium Term ◽  
Long Period ◽  
Real Gdp ◽  
Long Run ◽  
Cyclical Component ◽  
The Uk ◽  
The Relationship

Our study bridges the gap between in previous research on the synchronization between financial and business cycles over a long period. Using the data for the UK from 1270 to 2016 we analyze the synchronization between financial and business cycles using spectral Granger causality (Breitung & Candelon, 2006). Our paper brings several important findings to the discussion on the financial and business cycle link. Our paper is the first one (to the best of our knowledge) that use data over a long period spanning several centuries. We use spectral analysis and advanced spectral analysis (SSA) and (MSSA) to study the relationship between financial and business cycles in the long run. Paper results show financial and business cycles series moves along over the medium-term spectrum. We find a strong link between the cyclical component in the output (real GDP series) and the cyclical component in the financial series (housing price, credit).

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.

scholarly journals Was the Gibson Paradox for real? A Wicksellian study of the relationship between interest rates and prices

2014 ◽  
Vol 21 (2) ◽  
pp. 139-163 ◽  
Author(s):  
Jagjit S. Chadha ◽  
Morris Perlman
Keyword(s):  
Interest Rates ◽  
Positive Relationship ◽  
Formal Model ◽  
Natural Rate ◽  
Market Rate ◽  
Long Run ◽  
Advanced Economies ◽  
The Uk ◽  
Gibson Paradox ◽  
The Relationship

We examine the relationship between prices and interest rates for seven advanced economies in the period up to 1913, emphasising the UK. There is a significant long-run positive relationship between prices and interest rates for the core commodity standard countries. Keynes ([1930] 1971) labelled this positive relationship the ‘Gibson Paradox’. A number of theories have been put forward as possible explanations of the paradox but they do not fit the long-run pattern of the relationship. We find that a formal model in the spirit of Wicksell (1907) and Keynes ([1930] 1971) offers an explanation for the paradox: where the need to stabilise the banking sector's reserve ratio, in the presence of an uncertain ‘natural’ rate, can lead to persistent deviations of the market rate of interest from its ‘natural’ level and consequently long-run swings in the price level.

Appendix A: Key Forecast Assumptions

2010 ◽  
Vol 214 ◽  
pp. F23-F27
Keyword(s):  
Financial Markets ◽  
Production Functions ◽  
Medium Term ◽  
Long Run ◽  
The World ◽  
Net Assets ◽  
Trade Competitiveness ◽  
The Uk ◽  
Forecast Assumptions ◽  
Factor Inputs

The forecasts for the world and the UK economy reported in this Review are produced using NIESR's model, NiGEM. The NiGEM model has been in use at the National Institute for forecasting and policy analysis since 1987, and is also used by a group of about fifty model subscribers, mainly in the policy community. Most countries in the OECD are modelled separately, and there are also separate models of China, India, Russia, Hong Kong, Taiwan, Brazil, South Africa, Estonia, Latvia, Lithuania, Slovenia, Romania and Bulgaria. The rest of the world is modelled through regional blocks so that the model is global in scope. All models contain the determinants of domestic demand, export and import volumes, prices, current accounts and net assets. Output is tied down in the long run by factor inputs and technical progress interacting through production functions, but is driven by demand in the short to medium term. Economies are linked through trade, competitiveness and financial markets and are fully simultaneous. Further details on the NiGEM model are available on http://nimodel.niesr.ac.uk/.

Does Population Aging Affect Income Inequality?

2021 ◽  
pp. 320-335
Author(s):  
Gürçem Özaytürk ◽  
Ali Eren Alper ◽  
Fındık Özlem Alper
Keyword(s):  
Income Inequality ◽  
Pension System ◽  
Positive Impact ◽  
Population Aging ◽  
The Elderly ◽  
Dependency Ratio ◽  
Long Run ◽  
The Usa ◽  
The Uk ◽  
The Relationship

This study analyzes the relationship between the elderly dependency ratio and income inequality over the period 1972-2019 in countries such as the USA, Japan, the UK, France, Germany, Canada, and Italy, which rank top in the population aging, using the Fourier-Shin cointegration test. According to the results, the rise in the elderly dependency ratio of all countries included in the analysis, except for France, has a positive impact on income inequality. The result implying that the rise in the elderly dependency ratio increases the income inequality and renders some policy recommendations possible. Accordingly, the provision of adequate childcare programs and family aids can result in greater labor force participation in the short- and long-run. In addition, a pension system can be developed to lower the elderly dependency ratio, more money can be saved for the retirement period, and working domains can be developed for the post-retirement period.

scholarly journals An International Look at the Growth of Modern Finance

2013 ◽  
Vol 27 (2) ◽  
pp. 73-96 ◽  
Author(s):  
Thomas Philippon ◽  
Ariell Reshef
Keyword(s):  
Unit Cost ◽  
The United States ◽  
Income Share ◽  
Financial Deregulation ◽  
Skill Intensity ◽  
Real Gdp ◽  
Long Run ◽  
Real Gdp Per Capita ◽  
Per Capita ◽  
The Relationship

We study the rise of finance across a set of now-industrial economies. The long-run pattern of the growth of the income share of finance from the nineteenth century to current times in the United States is similar to some economies, but not all economies reach the same size and instead reach a plateau. The relationship between financial output and income is nonhomothetic and changes three times in this sample. Most of the increase in real GDP per capita from 1870 occurred while financial output and the income share of finance were smaller than their size in 1980. After 1980 the elasticity of income with respect to financial output falls significantly. We find considerable heterogeneity in the size of finance in recent times. There is no evidence for an increase in the unit cost of financial intermediation. We find that information technology and financial deregulation can help explain the increase in relative skill intensity and in relative wages in finance, while common trends, which may be related to financial globalization, also play a role.

Summary of Key Forecast Assumptions

2010 ◽  
Vol 211 ◽  
pp. F17-F21
Keyword(s):  
Financial Markets ◽  
Production Functions ◽  
Medium Term ◽  
Long Run ◽  
The World ◽  
Net Assets ◽  
Trade Competitiveness ◽  
The Uk ◽  
Forecast Assumptions ◽  
Factor Inputs

The forecasts for the world and the UK economy reported in this Review are produced using NIESR's model, NiGEM. The NiGEM model has been in use at the National Institute for forecasting and policy analysis since 1987, and is also used by a group of about 50 model subscribers, mainly in the policy community. Most countries in the OECD are modelled separately, and there are also separate models of China, India, Russia, Hong Kong, Taiwan, Brazil, South Africa, Estonia, Latvia, Lithuania, Slovenia, Romania and Bulgaria. The rest of the world is modelled through regional blocks so that the model is global in scope. All models contain the determinants of domestic demand, export and import volumes, prices, current accounts and net assets. Output is tied down in the long run by factor inputs and technical progress interacting through production functions, but is driven by demand in the short- to medium-term. Economies are linked through trade, competitiveness and financial markets and are fully simultaneous. Further details on the NiGEM model are available on http://nimodel.niesr.ac.uk/.

Appendix A: Key Forecast Assumptions

2011 ◽  
Vol 215 ◽  
pp. F25-F29
Keyword(s):  
Financial Markets ◽  
Production Functions ◽  
Medium Term ◽  
Long Run ◽  
The World ◽  
Net Assets ◽  
Trade Competitiveness ◽  
The Uk ◽  
Forecast Assumptions ◽  
Factor Inputs

The forecasts for the world and the UK economy reported in this Review are produced using NIESR's model, NiGEM. The NiGEM model has been in use at the National Institute for forecasting and policy analysis since 1987, and is also used by a group of about 50 model subscribers, mainly in the policy community. Most countries in the OECD are modelled separately, and there are also separate models of China, India, Russia, Hong Kong, Taiwan, Brazil, South Africa, Estonia, Latvia, Lithuania, Slovenia, Romania and Bulgaria. The rest of the world is modelled through regional blocks so that the model is global in scope. All models contain the determinants of domestic demand, export and import volumes, prices, current accounts and net assets. Output is tied down in the long run by factor inputs and technical progress interacting through production functions, but is driven by demand in the short- to medium-term. Economies are linked through trade, competitiveness and financial markets and are fully simultaneous. Further details on the NiGEM model are available on http://nimodel.niesr.ac.uk/.

Have UK and Eurozone Business Cycles Become More Correlated?

2002 ◽  
Vol 182 ◽  
pp. 58-71 ◽  
Author(s):  
Michael Massmann ◽  
James Mitchell
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Industrial Production ◽  
Production Data ◽  
Alternative Measures ◽  
The Business Cycle ◽  
The Uk ◽  
The Relationship ◽  
Historical Levels ◽  
Sustained Increase

Recent estimates suggest that the UK business cycle is closer to the Eurozone business cycle than it was in the early 1990s. This paper investigates whether this phenomenon has been accompanied by increased correlation between UK and Eurozone business cycles. Considering a range of alternative measures of the business cycle we find, using 40 years of monthly industrial production data, no clear evidence for a sustained increase in correlation between UK and Eurozone business cycles. Instead, in the 1990s, the correlation between UK and Eurozone business cycles has been volatile relative to historical levels. It is only recently, i.e. since 1997, that the UK has become more correlated with the Eurozone, although the level of correlation is lower than against non-Eurozone countries. Importantly, the strength of these relationships is sensitive to how the business cycle is measured. Care should therefore be exercised when using business cycles estimates to test the relationship between UK and Eurozone business cycles.

scholarly journals GDP and population growth: Evidence of fractional cointegration with historical data from 1820 onwards

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Luis Gil-Alana ◽  
Cecilia Font ◽  
Águeda Gil-López
Keyword(s):  
Historical Data ◽  
Fractional Integration ◽  
Content Type ◽  
Group Of Seven ◽  
Long Run ◽  
Equilibrium Relationship ◽  
The Usa ◽  
Using Data ◽  
The Uk ◽  
The Relationship

PurposeUsing data from 1820 onwards in a group of seven countries, namely, Australia, Chile, Denmark, France, the UK, Italy and the USA, the authors investigate if there is a long-run equilibrium relationship between the two variables (GDP and population).Design/methodology/approachUsing fractional integration and cointegration methods, this paper deals with the analysis of the relationship between GDP and population using historical data.FindingsThe authors’ results show first that the two series are highly persistent, presenting orders of integration close to or above 1 in practically all cases. Testing cointegration between the two variables, the results are quite variable depending on the methodology and the bandwidth numbers used, but if cointegration takes places, it only occurs in the cases of France, Italy and the UK.Research limitations/implicationsThe fact that the orders of integration of all series is close to 1 indicate high levels of persistence with shocks having permanent effects and requiring strong measures to recover the original trends.Practical implicationsAny shock affecting the series will have a permanent nature, persisting forever.Originality/valueUpdated time series techniques based on concepts such as fractional integration and cointegration are used.

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