scholarly journals Agricultural price transmission across space and time: The case of cowpea and yam markets in Nigeria

2021 ◽  
Vol 16 (1) ◽  
pp. 14-26
Author(s):  
Onyinyechukwu Onubogu ◽  
◽  
Adewale Dipeolu ◽  
Keyword(s):  
Unit Root Test ◽  
Decomposition Analysis ◽  
Price Transmission ◽  
Food Crisis ◽  
Causality Test ◽  
Space And Time ◽  
Long Run ◽  
Integration Test ◽  
Retail Prices ◽  
Variance Decomposition Analysis

The transmission of price changes to markets has attracted renewed interest since the international food price spikes of 2007 to 2011. In response to this, this paper investigates the long-run behaviour of Nigerian cowpeas and yam tuber retail prices across space and time from 2000 to 2015. We employed the augmented Dickey-Fuller unit root test, the Johansen co-integration test, the Granger causality test, the vector error-correction model (VECM) and variance decomposition analysis. The Johansen co-integration test confirmed the presence of a long-run relationship across the markets, while the VECM revealed that the speed of adjustment to equilibrium after price shocks in the yam and cowpea markets varied across space (market) and period (time), with the food crisis in the period pre-2007 to 2011 fastest and the food crisis in the period 2007 to 2011 slowest. We are of the opinion that the presence of a long-run relationship in Nigerian cowpea and yam markets is a call for participants to explore opportunities for gainful trade.

scholarly journals COINTEGRATING RELATION BETWEEN EXCHANGE RATE AND GOLD PRICE

2017 ◽  
Vol 5 (10) ◽  
pp. 263-269
Author(s):  
Ranjusha ◽  
Devasia ◽  
Nandakumar
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Gold Price ◽  
Series Data ◽  
Annual Data ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Relationship

The very purpose of this paper is to analyse the relationship between gold price and Rupee – Dollar exchange rate in India. The study utilises the annual data of exchange Rate (ER) and Gold Price (GP) from 1970 to 2015 to determine the relationship. Different econometric tools like Unit root test, Johansen co integration test, Vector error correction model, Granger causality test are used for detecting the long run relation, if any between the mentioned variables. The result shows that there exists a long run cointegrating relation between the variables. That is we can stabilise the Gold Price movement by controlling the exchange rate fluctuations. Likewise it also shows that Exchange rate doesn’t Granger cause to Gold price and vice versa. It means that the time series data of one vasriable cannot be used to predict another.

The Linkage between Chittagong Stock Market and Dhaka Stock Market

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Muhammad Shahidullah Tasfiq ◽  
◽  
Nasrin Jahan
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Price ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
Variance Decomposition Analysis

This paper aims at determining the relationship between the two domestic stock markets of Bangladesh – the Chittagong Stock Market (CSE) and the Dhaka Stock Market (DSE). The daily stock price indices that represent the performance of the two stock markets are collected. In order to find out the interdependent relationship, the Engle-Granger Cointegration test, Granger Causality test, Impulse Response Function, and Variance Decomposition Analysis are employed in this paper. The main finding of this study is that both the stock markets are related in the long run. However, there is a one-way short-run effect from the DSE on the CSE market. The CSE market quickly responds to the shock in the DSE market. But, the DSE market is not responsive to the CSE market. The variance decomposition analysis shows that most of the shocks in the CSE market are explained by its own market. On the other hand, a small number of shocks in the DSE market are explained by the CSE market as well as its own market.

scholarly journals Market Integration and Price Transmission in the Vertical Supply Chain of Rice: An Evidence from Bangladesh

Agriculture ◽  
2020 ◽  
Vol 10 (7) ◽  
pp. 271
Author(s):  
Limon Deb ◽  
Yoonsuk Lee ◽  
Sang Hyeon Lee
Keyword(s):  
Supply Chain ◽  
Market Integration ◽  
Threshold Effect ◽  
Price Transmission ◽  
Causality Test ◽  
Threshold Autoregressive ◽  
Market Participants ◽  
Long Run ◽  
Short Run ◽  
Retail Prices

As a staple food, rice has an enormous market in Bangladesh in terms of market participants and the volume of the product. As the price of rice is always a sensitive factor for producers, poor consumers and policy makers, this paper investigates market integration and price transmission along the vertical supply chain of rice. Johansen’s test of co-integration confirmed that farm, wholesale and retail prices are co-integrated in the long-run. A causality test revealed that prices were found to be at wholesale levels for both the upstream and downstream markets. The asymmetry error correction model (ECM) has discovered short-run and long-run asymmetry in price transmission in the vertical supply chain where both producers and consumers were being affected due to positive and negative asymmetry. Threshold autoregressive (TAR) and momentum threshold autoregressive (M-TAR) models have confirmed threshold co-integration as well as threshold effect on asymmetry in price transmission. The results highlight the inevitability of policy implementations and increased public interventions to reduce asymmetry for engendering greater pricing efficiency in Bangladesh rice markets.

scholarly journals Co-integration of Groundnut Markets in India with Special Reference to Karnataka State

2020 ◽  
pp. 14-22
Author(s):  
Akshata Nayak ◽  
H. Lokesha ◽  
C. P. Gracy
Keyword(s):  
Market Integration ◽  
Unit Root Test ◽  
Groundnut Oil ◽  
Step Method ◽  
Causality Test ◽  
Price Series ◽  
Long Run ◽  
Oil Markets ◽  
Integration Test ◽  
The Government

Aims: Market integration is an indicator that explains how different markets are related to each other. The main aim of the paper is to examine the market integration of groundnut seed and oil markets in India.  Study Design: This paper examines the market integration in six major groundnut oil markets and four groundnut pod markets using monthly wholesale prices of groundnut. Methodology: Test for stationarity was done using Dickey Fuller Test. The Engle-Granger two-step method is used to test for co-integration between the variables. Johansen co-integration test was applied to analyse the long run equilibrium among the groundnut markets. Results: Unit root test indicated that the price series in each location are non-stationary at their levels and stationary at their first differences. The Granger causality test indicated that all the market pairs are well co-integrated, some of the markets have bidirectional relationship and some have unidirectional relationship at five per cent level of significance, which implies that the groundnut prices have an equally long run association. Conclusion: In overall, the study suggests that regional markets for groundnut in India are strongly co-integrated. Therefore, the Government can stabilize the price in one key market and rely on commercialization to produce a similar outcome in other markets. This reduces the cost of stabilization considerably.

scholarly journals The Effect of Liquidity on Financial Performance: Evidence from Turkish Retail Industry

2016 ◽  
Vol 8 (4) ◽  
pp. 63 ◽  
Author(s):  
Kartal Demirgünes
Keyword(s):  
Financial Performance ◽  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Retail Industry ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
Dynamic Ols ◽  
Retail Merchandising

The aim of this study is to analyse the effect of liquidity on financial performance (<em>in terms of</em> profitability) by using a time-series data of Turkish retail industry (consisting of Borsa Istanbul (BIST) listed retail merchandising firms) in the period of 1998.Q1-2015.Q3. The stationarity of series and the co-integration relationship between them are tested by the unit root test of Carrioni-i-Silvestre et al. (2009) and the co-integration test of Maki (2012), respectively. Co-integration coefficients are estimated by Stock and Watson (1993) dynamic OLS method. Finally, causal relationships between the series are tested by Hacker and Hatemi (2012) bootstrap causality test. Results of Maki (2012) test show that the series are co-integrated in the long-run. While long-run parameters estimated posit a significantly positive relationship between financial performance and liquidity, causality test does not indicate any direction of causality between the series.

The Dynamic Relationship between Export, Import and Inflation: Empirical Evidence from India

2018 ◽  
Vol 66 (3-4) ◽  
pp. 294-311
Author(s):  
Malayaranjan Sahoo ◽  
Narayan Sethi
Keyword(s):  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Dynamic Relationship ◽  
Long Run ◽  
Integration Test ◽  
Causality Tests ◽  
Competitive Prices ◽  
Variance Decomposition Analysis ◽  
The Government ◽  
The Relationship

This article aims to examine the relationship between inflation, export, import and foreign direct investment (FDI) in India from1975 to 2017. The study employed Johansen co-integration test to find out the long-run relationship among the variables and further variance decomposition analysis (VDA) and impulse response function (IRF) through vector autoregression (VAR) used to find out the dynamic relationship. Both VDA and IRF results indicate that export has positive or greater influence in inflation in India than other variables like import and FDI. The pair-wise granger causality approach finds that there is unidirectional causality running between exports and inflation and not vice versa, whereas inflation granger causes import. Toda Yamamoto causality also has shown similar result. Both the causality tests revealed that no causal relationships exist between inflation and FDI in India during the study period. As the exports of India have been continuously declining for past few years, the outcomes of this study are the true depiction of India’s economic situation. So, the government should provide a competitive environment and incentives to the local industry to produce at competitive prices to the international market.

scholarly journals Economic Growth And Unemployment: An Empirical Assessment of Okun’s Law In The Case of Liberia

2021 ◽  
Author(s):  
Kaiballah Conteh
Keyword(s):  
Economic Growth ◽  
Unit Root Test ◽  
Policy Implications ◽  
Causality Test ◽  
Flexible Labor ◽  
Long Run ◽  
Integration Test ◽  
Augmented Dickey Fuller ◽  
Auto Regressive ◽  
The Government

The aim of this research is to look at the relationship between economic growth and unemployment in Liberia from 2001 to 2019. To investigate the association between unemployment and Gross Domestic Product (GDP), the unit root test, the Augmented Dickey-Fuller (ADF) Co-integration test, and the Standard Granger Causality test were used. The Auto Regressive Distribution Lag (ARDL) bounds test is used to decide if the variables have a long run linkage. The ARDL model findings indicate that there is no long-run association between unemployment and economic growth. The findings of this analysis have especially significant policy implications for Liberian economic policymakers. The observational findings revealed a negligible association between unemployment and economic growth in both the long and short term. The Liberian government should redirect its spending toward activities that directly and indirectly promote the creation of employment and decent jobs, a conducive environment and flexible labor market policies or legislation that are not impediments to job creation should be created, and finally, the government should prioritize industries that promote labor intensive.

Evolution of the Relationship between Economic Development and Water Pollution in Shanghai

2014 ◽  
Vol 962-965 ◽  
pp. 2031-2039 ◽  
Author(s):  
Kai Yao Wu ◽  
Dan Ni Wu
Keyword(s):  
Water Pollution ◽  
Economic Growth ◽  
Water Environment ◽  
Decomposition Analysis ◽  
Response Analysis ◽  
Causality Test ◽  
Temporal Dimension ◽  
Integration Test ◽  
Variance Decomposition Analysis

In this paper, according to 1990-2011 Shanghai water pollution data, using co-integration test, error correction model, Granger causality test, impulse response analysis and variance decomposition analysis, from the perspective of temporal dimension, we explore the long-term equilibrium and dynamic mechanism between water pollution and economic growth in Shanghai. We have found that: the index of water pollution in Shanghai grow fast in particular wastewater emissions, economic growth depends on water environment pollution, and economic growth bring enlarging water environment pressure at the same time.

scholarly journals Fiscal Policy and Environment: A Long-Run Multivariate Empirical Analysis of Ecological Footprint in Pakistan.

2021 ◽  
Author(s):  
Samia Zahra ◽  
Dilawar Khan ◽  
Muhammad Nouman
Keyword(s):  
Fiscal Policy ◽  
Diagnostic Tests ◽  
Ecological Footprint ◽  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Fishing Ground ◽  
Ardl Model ◽  
Long Run ◽  
Integration Test ◽  
Variance Decomposition Analysis

Abstract Despite differences in carbon emissions shares and differences in ecological footprint patterns of each nation, these differences are guaranteed to show similar features in long run, thus making it a global issue.An increase in economic growth contributes to an increase in waste production with an impact on environmental degradation and climate change. An ecological footprint is a relatively comprehensive measure than previously used CO2 emission as an environmental proxy as it includes comprehensive multi-facets environmental indicators because ecological footprint includes built-up land, CO2 emission, cropland, fishing ground, grazing land, and forest products which has included all environmental dimensions. This research has focused to empirically investigate the long-run impact of fiscal policy on the ecological footprint in Pakistan keeping different socio-economic factors into consideration. Per annum, time-series data have been collected between 1976 and 2018. The Augmented Dickey-Fuller test has been employed to determine the unit root of the data. To investigate the long-run association between fiscal policy and ecological footprint, modern econometric techniques such as Johansen co-integration test, ARDL Bounds test, different diagnostic tests, and variance decomposition analysis are used. Johnson co-integration test depicts significant long-run co-integration between fiscal policy, ecological footprint, and its major socio-economic determinants in Pakistan. Conclusion of ARDL model shows that 1% increase in public development expenditures, total population, GDP, and energy consumption increase 0.19, 2.17, 1.16, and 2.17% ecological footprint respectively in Pakistan between 1976 and 2018 and vice versa. However, it is also derived that a 1% increase in public tax and non-tax revenue and public current expenditures (in health, education, and other social sectors) shrink 0.36 and 0.013% ecological footprint in the long-run in Pakistan. The stability, reliability, and credibility of the ARDL model are found correct based on different diagnostic tests. Variance decomposition analysis also depicts fiscal policy significantly cause ecological footprint in Pakistan.

scholarly journals A LONG RUN RELATIONSHIP BETWEEN GOLD PRICE AND INFLATION- EVIDENCE FROM THE INDIAN EXPERIENCE

2015 ◽  
Vol 3 (6) ◽  
pp. 100-107
Author(s):  
Anjali ◽  
K.T. Thomachan
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Gold Price ◽  
Causality Test ◽  
Monthly Data ◽  
Long Run ◽  
Indian Experience ◽  
Integration Test ◽  
Augmented Dickey Fuller

The study examines the long run relationship between gold price and inflation from the Indian experience.  The main objective of the study is to identify whether there is long run relationship between the gold price and inflation.  For the investigation three year monthly data from July 2011 to June 2014.  The study is conducted by Augmented Dickey Fuller Unit Root Test, Johansen Co-integration Test and Granger Causality Test and finally came to the conclusion that there is no long run relationship between gold price and inflation.

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