scholarly journals International Real Estate Review

2021 ◽  
Vol 24 (2) ◽  
pp. 221-251
Author(s):  
Henry Koon Nam Lee ◽  
Keyword(s):  
Emerging Market ◽  
Residential Property ◽  
Developed Economies ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Expected Inflation ◽  
Long Run ◽  
Cointegration Tests ◽  
Residential Properties ◽  
Show Evidence

Using a non-causality approach based on the conventional approach of Fama and Schwert (1977), cointegration method in Johansen (1988), and autoregressive distributed lag (ARDL) cointegration technique in Pesaran et al. (2001) and Granger et al. (2000), this study examines the inflation hedging effectiveness of residential property in three of the largest emerging market (EM) economies: China, India and Russia. While the results of the Fama and Schwert (1977) regression indicate that residential properties in China and Russia provide a short-term hedge against expected inflation, this is not the case for those in India against both expected and unexpected inflation. Consistent with the results of the developed economies, the Johansen and ARDL cointegration results provide strong evidence to support the hypothesis that inflation and the residential properties in the three largest EM economies are cointegrated. This implies that the residential properties in these three countries provide a long-term hedge for inflation. In addition, the causality results show evidence that inflation has a lead effect on residential property prices in India over the long run. The empirical results of the cointegration tests confirm that residential properties could be considered as a reliable hedge against inflation for EMs in the long run and suggest that investors should overweigh their investment in residential property assets during periods of persistent inflation in EMs.

The inflation-hedging characteristics of Malaysian residential property

2014 ◽  
Vol 7 (1) ◽  
pp. 61-75 ◽  
Author(s):  
Chyi Lin Lee
Keyword(s):  
Emerging Market ◽  
Ordinary Least Squares ◽  
Residential Property ◽  
Content Type ◽  
Expected Inflation ◽  
Hedging Effectiveness ◽  
Long Run ◽  
Different Types ◽  
Short Run ◽  
Inflation Hedging

Purpose – This study aims to extend the current literature by examining the inflation-hedging effectiveness of Malaysian residential property in the short run and long run. Malaysia is an emerging market and has some unique characteristics. Therefore, a dedicated study in this market is critical. Design/methodology/approach – The analysis of this study involves two stages. The first stage is to estimate the inflation-hedging ability of Malaysian residential property in the short run. The Fama and Schwert model was employed. Thereafter, the long-run inflation-hedging effectiveness was assessed by using a dynamic ordinary least squares (DOLS) model. Findings – The Fama and Schwert tests reveal that Malaysian residential property does provide some satisfactory hedge against the expected inflation component over the short run. However, variations are evident among different types of residential property. The DOLS results provide strong evidence to support that housing is an effective hedge against the expected inflation in the long run, whereas no comparable evidence is found for the unexpected inflation component. Practical implications – The findings enable more informed and practical investment decision-making regarding the role of housing in inflation risk management. Originality/value – This paper is the first study to offer empirical evidence of the inflation-hedging attributes of Malaysian residential property. Moreover, the inflation-hedging effectiveness of different types of residential property is also compared for the first time.

scholarly journals Interest Rates, Roundaboutness, and Business Cycles: An Empirical Study

2019 ◽  
Vol 22 (3) ◽  
pp. 311-335
Author(s):  
Mark Gertsen
Keyword(s):  
Interest Rates ◽  
Early Stage ◽  
Natural Rate ◽  
Developed Economies ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Show Evidence ◽  
Natural Rate Of Interest ◽  
Lag Model

I show evidence of Austrian boom-bust dynamics in historical data on the production structure of 28 developed economies. I employ an autoregressive distributed lag model to find that policy-induced deviations from the natural rate of interest increases roundaboutness. This could instigate an unsustainable boom. Additionally, I find that early-stage industries have higher cyclical sensitivity than late-stage industries, consistent with Austrian time-value dynamics in the structure of production.

Wagner versus Keynes: the causal nexus between Government Expenditures and Economic Growth: An Empirical study of Burkina Faso

2016 ◽  
Vol 3 (2) ◽  
pp. 74-101 ◽  
Author(s):  
Isaac Kwesi Ampah ◽  
Balázs Kotosz
Keyword(s):  
Burkina Faso ◽  
Developing Economies ◽  
Government Expenditures ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Spending Patterns ◽  
Cointegration Tests ◽  
Causality Tests ◽  
Causal Nexus

AbstractThe spending patterns of governments in the world especially developing economies have changed significantly over the last several decades. The main objective of this paper is analysing the relationship between government expenditures and growth in Burkina Faso’s economy. The study focuses on testing the various versions of Wagner’s hypothesis using the Burkina Faso data between 1960-2015 by an Autoregressive-Distributed Lag (ARDL) model. Cointegration tests, the long-run parameters and causality tests found valid Keynesian and Wagnerian relationship, but results are sensitive to the variable definition; the use of relative and absolute measures, local and international currency leads to a different conclusion.

scholarly journals A Cointegration of the Exchange Rate and Macroeconomic Fundamentals: The Case of the Indonesian Rupiah vis-á-vis Currencies of Primary Trade Partners

2019 ◽  
Vol 12 (2) ◽  
pp. 87 ◽  
Author(s):  
Agus Salim ◽  
Kai Shi
Keyword(s):  
Exchange Rate ◽  
Emerging Market ◽  
Exchange Rate Volatility ◽  
Trade Surplus ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Macroeconomic Fundamentals ◽  
The Exchange Rate ◽  
Trade Partners

Since the appearance of persistent research finding a disconnection between the exchange rate and its macroeconomic fundamentals, the empirical debate has not stopped. Studies employ various methods to explain the presence of the exchange rate disconnect puzzle, including applying models to the case of emerging market economies. However, the exchange rate has different determinants in some countries. To revisit this puzzle in an emerging market currency, we analyzed the cointegration of the exchange rate of the Indonesian Rupiah vis-á-vis currencies of primary trade partners and its macroeconomic fundamentals. The empirical results based on Autoregressive Distributed Lag (ARDL) and Nonlinear Autoregressive Distributed Lag (NARDL) models show that the fundamental variables consistently drive the exchange rate. The trade surplus as an extended nonlinear variable revealed high feedback to the exchange rate volatility in the long-run.

Macro-Economic Disequilibrium and Educational Development in Nigeria between 1980-2017

2019 ◽  
Vol 10 (08) ◽  
pp. 20592-21600
Author(s):  
Gbadebo Salako ◽  
Adejumo Musibau Ojo ◽  
Jaji Ayobami Francis
Keyword(s):  
Time Series Data ◽  
Educational Development ◽  
Negative Relationship ◽  
Series Data ◽  
Explanatory Variables ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Stationarity Test ◽  
Level I

This study empirically investigates the effects of macroeconomic disequilibrium on educational development in Nigeria. The study employed time series data between 1980 and 2017. Autoregressive Distributed Lag method of estimation was employed. The result revealed that the variables stationarity test were mixed between the first difference I(I) and level I(0). The cointegration result shows that there exist long run relationship between the variables. The result revealed that Balance of payment, Poverty, Debt rate inflation and unemployment exhibited negative relationship with educational development. The estimation result showed that all explanatory variables account for 88% variation of educational development in Nigeria. It is therefore recommended that government should fast track policies that can stabilize inflation and exchange rate in the country. Also, Policies must be formulated to reduce poverty and unemployment.

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

An Empirical Analysis of Aggregate Import Demand Function for India

2017 ◽  
Vol 17 (4) ◽  
pp. 20170049
Author(s):  
Bibhuti Ranjan Mishra ◽  
Asit Mohanty
Keyword(s):  
Foreign Exchange ◽  
Demand Function ◽  
Import Demand ◽  
Likelihood Method ◽  
Domestic Activity ◽  
Relative Prices ◽  
Distributed Lag ◽  
Long Run ◽  
Cointegration Tests ◽  
The Stability

This paper examines the behaviour of Indian aggregate imports during the period 1980–81 to 2013–14. The stability of aggregate import demand function is examined using five types of cointegration tests including the ARDL bounds test. In order to estimate the long-run elasticities, we have applied three alternative fully efficient cointegrating regressions, autoregressive distributed lag (ARDL) model and Johansen maximum likelihood method. Our results reveal cointegration relationship between import demand, relative prices of import, domestic activity and foreign exchange reserves. Results evince that, in the long-run, the response of import demand to relative import prices is negative and less than unity, whereas it’s response to domestic activity/income is positive and more than unity. The foreign exchange reserve has a positive effect on imports.

scholarly journals The Determinants of Food Prices in Pakistan

2012 ◽  
Vol 17 (1) ◽  
pp. 101-128 ◽  
Author(s):  
Henna Ahsan ◽  
Zainab Iftikhar ◽  
M. Ali Kemal
Keyword(s):  
Active Role ◽  
Food Prices ◽  
Significant Variable ◽  
Demand And Supply ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Lag Model

Controlling prices is one of the biggest tasks that macroeconomic policymakers face. The objective of this study is to analyze the demand- and supply-side factors that affect food prices in Pakistan. We analyze their long-run relationship using an autoregressive distributed lag model for the period 1970–2010. Our results indicate that that the most significant variable affecting food prices in both the long and short run is money supply. We also find that subsidies can help reduce food prices in the long run but that their impact is very small. Increases in world food prices pressurize the domestic market in the absence of imports, which cause domestic food prices to rise. If, however, we import food crops at higher international prices, this can generate imported inflation. The error correction is statistically significant and shows that market forces play an active role in restoring the long-run equilibrium.

scholarly journals Does the Export-Led Growth Hypothesis Hold for Services Exports in Emerging Economies?

2021 ◽  
Vol 14 (27) ◽  
pp. 63-75
Author(s):  
Okpeku Lilian ONOSE ◽  
◽  
Osman Nuri ARAS ◽  
Keyword(s):  
Economic Growth ◽  
Emerging Economies ◽  
Emerging Countries ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Per Capita ◽  
Positive Effect ◽  
Growth Hypothesis

The export-led growth hypothesis states a positive relationship between the growth of exports and long-run economic growth. This study examines the validity of the export-led growth hypothesis of services exports in 5 emerging economies, including Brazil, India, Nigeria, China, and South Africa (BINCS), for the period of 1980-2019. The study employs the panel mean group autoregressive distributed lag (ARDL) procedure to identify a causal relationship between services exports and gross domestic product (GDP) per capita. The findings show that the export-led growth hypothesis in services only has a positive effect on economic growth in the short run while other variables, including foreign direct investment (FDI), gross capital formation, and labour, increase economic growth in the long run. Hence, the emerging countries should focus more on internal investment to boost growth in the long and short run.

scholarly journals Tax revenue and private domestic investment

2019 ◽  
Vol 1 (2) ◽  
pp. 25-32
Author(s):  
Richard Umeokwobi ◽  
Emeka Nkoro
Keyword(s):  
Ordinary Least Squares ◽  
Tax Revenue ◽  
Domestic Investment ◽  
Secondary Sources ◽  
Used Oil ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Oil Revenue ◽  
Long Run ◽  
The Impact

This paper investigated the impact of tax revenue on private domestic investment in Nigeria from 1980 to 2018 using the modified ordinary least squares- Autoregressive distributed lag (ARDL). The paper used oil revenue, non-oil revenue, and Corporate Income Tax (CIT) as the independent variables while Private Domestic Investment (PDI) is the dependent variable. Oil revenue and non-oil revenue were used as a proxy for oil and non-oil tax. These data were obtained from secondary sources- central Bank of Nigeria, World Bank database and Federal Inland Revenue service statistical bulletin. The result showed that a long-run relationship exists between the aforementioned variables. Also, the paper revealed that oil and non-oil do not have a significant impact on PDI but CIT has a positive and significant impact on PDI. The paper recommends that proper measures/reforms should be put in place in order to reduce the impact of tax on private domestic investment in Nigeria.

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