Determinants of Cashew Nut Exports of Guinea-Bissau

This study examines the impacts of income, exchange rate, and conflicts on Cashew nuts exports of Guinea-Bissau. The main results obtained by analyzing the impulse response function and variance decomposition showed that, in the short term, exchange rates shocks don’t explain the external demand for this commodity. External demand for cashew nuts responds to changes in global income and Civil Conflicts. However, in the long run, these variables have no impact on cashew nuts exports.

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Demand for Cashew Nut Exports of Guinea-Bissau (1990-2011): VAR Model Application

10.21203/rs.3.rs-610432/v1 ◽

2021 ◽

Author(s):

Julio Vicente Cateia

Keyword(s):

Civil War ◽

Impulse Response Function ◽

Export Demand ◽

Domestic Price ◽

Guinea Bissau ◽

Cashew Nut ◽

Long Run ◽

External Demand ◽

Domestic Prices ◽

World Income

Abstract This study aimed to estimate via VAR the reaction of the export demand for Guinea-Bissau Cashew nuts to the shocks of world income, exchange rate and of the foreign and domestic prices and of the effects of the Civil War, which occurred in the country from 1990 to 2011. The main results obtained by analyzing the impulse response function and variance decomposition, showed that changes in domestic price and exchange rates don’t explain the external demand for this commodity. External demand responds to changes in global income and foreign price. Moreover, the Civil War of 1998 influenced the foreign demand. In the long run, external demand for cashew nuts doesn’t react to shocks in any of the variables in the model.

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Non-Performing Loans, Banking System and Macroeconomy

Studia Universitatis Babe-Bolyai Oeconomica ◽

10.2478/subboec-2018-0009 ◽

2018 ◽

Vol 63 (2) ◽

pp. 67-86

Author(s):

Akinola Morakinyo ◽

Colette Muller ◽

Mabutho Sibanda

Keyword(s):

Exchange Rate ◽

Serial Correlation ◽

Banking System ◽

Impulse Response Function ◽

Credit Market ◽

Variance Decomposition ◽

Structural Var ◽

Long Run ◽

Correlation Tests ◽

The Exchange Rate

Abstract The study builds on previous studies of the consequences of non-performing loans on an economy. Using a seven-by-seven matrix in the impulse response function (IRF) of the structural autoregressive model, we find a long-run impact of an impulse to non-performing loans on the banking system and the macroeconomy in Nigeria. Conversely, non-performing loans also respond to the innovation of all macro-banking variables aside from the exchange rate and the growth rate to GDP. Also, the level of non-performing loans grows in influence in relation to the changes to the exchange rate using the variance decomposition tool of Structural VAR. Hence, a prominent role is assigned to the level of NPLs in linking the friction in the credit market to the susceptibility of both the banking system and the macroeconomy. This study passes the serial correlation tests and the three tests of normality.

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Transmission Mechanism of Exchange Rate Pass-Through to Domestic Price: The Case of Afghanistan

Asian Social Science ◽

10.5539/ass.v16n4p1 ◽

2020 ◽

Vol 16 (4) ◽

pp. 1

Author(s):

Ajmal Arian ◽

Arabi U.

Keyword(s):

Exchange Rate ◽

Impulse Response Function ◽

Import Price ◽

Variance Decomposition ◽

Long Run ◽

Effective Exchange ◽

Short Run ◽

Pass Through ◽

Exchange Rate Pass Through ◽

Effective Exchange Rate

This article investigates the mechanism of exchange rate pass-through to the prices in the context of the Islamic Republic of Afghanistan’s economy. This study explored the magnitude and speed of the pass-through effect on the prices by analyzing quarterly data from 2003 Q1 to 2019 Q2 considering five variables (viz., world food price index, foreign reserves, money supply, import price, and nominal effective exchange rate) based on the Vector Autoregression Model (VAR) with the cointegration and innovation accounting tools such has impulse response function and variance decomposition. The findings of the study suggest that the exchange rate pass-through in Afghanistan is incomplete. The import price is highly responsive in the short-run and moderately responsive an increasingly smooth movement in the long-run. However, CPI in the short-run with swift positive respond but the long-run smooth increasing movement. Furthermore, variance decomposition evidence shows that import price is affected by FR, NEER, CPI, and MS in both short-run and long-run, but the CPI strongly lagged by its variance, WFP, NEER, import price, and MS.

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AN ANALYSIS OF STOCK MARKET INTEGRATION IN THE ASIAN DEVELOPED AND EMERGING MARKETS

Humanities & Social Sciences Reviews ◽

10.18510/hssr.2021.93116 ◽

2021 ◽

Vol 9 (3) ◽

pp. 1175-1190

Author(s):

Sadiq Rehman ◽

Asif Ali Abro ◽

Ahmed Raza Ul Mustafa ◽

Najeeb Ullah ◽

Sanam Wagma Khattak

Keyword(s):

Stock Market ◽

Emerging Markets ◽

Stock Markets ◽

Impulse Response Function ◽

Variance Decomposition ◽

Short Term ◽

Emerging Stock Markets ◽

Long Run ◽

Integration Test ◽

Short Run

Purpose of the study: This study investigates Short-run, Long-run, and Casual relationships in the Asian Developed and Emerging stock market indices for the period of 19 years weekly data of stock market indices of Asian Developed and Emerging Markets which are Japan (Nikkei 225), South Korea (KOSPI), Pakistan (KSE 100), China (SSE Composite), Sri Lanka (ASPI), India (BSE 200) and Malaysia (KLSE composite) from January 2001 to December 2019. Methodology: To analyze long-run and short-run relationships among the Asian developed and emerging stock markets, this study practices Descriptive Statistics, Correlation Matrix, Unit Root Test, Johansen Co-Integration Test, Vector Error Correction Model, Granger Causality test, Variance Decomposition and Impulse Response Function (IRF). Main findings: By employing the ADF and P.P. tests, the results specify that the entire variables' data are non-stationary and stationary in exact order, which is 1st difference. The Johnson Co-integration test found one cointegration relationship, where the results are consistent with Granger causality, Variance Decomposition, and Impulse Response Function (IRF). Application of the study: As the current research has focused on finding out the comovements in the Asian developed and emerging markets. So, the applications are that the survey found short-run and long-run relationships in these countries' stock markets. The study's originality: The current study has selected seven Asian developed and emerging stock markets and weekly updated time series data to investigate short-term and long-term linkages. So, this study found long-run comovements in these stock indices, which contributes to the literature. In addition, these stock markets have limited diversification benefits for international investors, while short-term diversification benefits may exist.

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Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

Economics Research International ◽

10.1155/2014/746956 ◽

2014 ◽

Vol 2014 ◽

pp. 1-14 ◽

Cited By ~ 1

Author(s):

Guangfeng Zhang

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Correction Model ◽

Exchange Rate Dynamics ◽

Long Run ◽

Exchange Rate Movements ◽

Short Run ◽

Us Dollar ◽

Linear And Nonlinear ◽

Japanese Yen

This paper revisits the association between exchange rates and monetary fundamentals with the focus on both linear and nonlinear approaches. With the monthly data of Euro/US dollar and Japanese yen/US dollar, our linear analysis demonstrates the monetary model is a long-run description of exchange rate movements, and our nonlinear modelling suggests the error correction model describes the short-run adjustment of deviations of exchange rates, and monetary fundamentals are capable of explaining exchange rate dynamics under an unrestricted framework.

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Exchange rate and monetary fundamentals: Long run relationship revisited

Panoeconomicus ◽

10.2298/pan1501033b ◽

2015 ◽

Vol 62 (1) ◽

pp. 33-54

Author(s):

Niyati Bhanja ◽

Arif Dar ◽

Aviral Tiwari

Keyword(s):

Exchange Rate ◽

Maximum Likelihood ◽

Exchange Rates ◽

Integration Method ◽

Nominal Exchange Rate ◽

Monetary Model ◽

Integration Approach ◽

Long Run ◽

Monetary Approach ◽

Likelihood Approach

This study re-examines the long run validity of the monetary approach to exchange rate determination for India. In particular, the long run association of bilateral nominal exchange rate of Indian rupee vis-?-vis USD, Pound-sterling, Yen and Euro against the corresponding monetary fundamentals that the model underlines has been tested using Johansen-Juselius maximum likelihood framework and Gregory-Hansen co-integration approach. Irrespective of the exchange rates the study finds a co-integrating relationship among the variables using Johansen-Juselius maximum likelihood approach. The Gregory-Hansen co-integration method allows for one break determined endogenously in three specifications also confirms the long run relationship. Our results, hence, suggest that the monetary model is a valid theory of long run equilibrium condition for the rupee-dollar, rupee-pound, rupee-yen and rupee-euro exchange rates.

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Determinants of Islamic Rural Bank Financing in Indonesia

JEJAK ◽

10.15294/jejak.v10i2.11293 ◽

2017 ◽

Vol 10 (2) ◽

pp. 273-288

Author(s):

Arif Widodo ◽

Istianah Asas

Keyword(s):

Exchange Rate ◽

Global Financial Crisis ◽

Positive Impact ◽

Impulse Response Function ◽

Third Party ◽

Correction Model ◽

Macroeconomic Variables ◽

Bank Financing ◽

Long Run ◽

Short Run

This research is designed to empirically investigate the determinants of Islamic rural banking financing in Indonesia after 2008 global financial crisis covering period 2009.1-2014.12. The methods applied in this research are Error Correction Model (ECM) and VAR/VECM. The results of ECM model demonstrate that the variable third party funds (DPK) and non-performing financing can significantly affect Islamic rural banking financing both in the short run and long run, while Return on Asset (ROA) and Profit-and-loss sharing does not have a significant influence. Islamic rural bank financing, however, was influenced by inflation and exchange rate as the proxy of macroeconomic variables in the short and long run. Furthermore, Impulse Response Function (IRF) and variance decomposition results show that Profit-and-loss sharing (PLS) has the largest positive impact to financing (39.08%), followed by third party fund (19.6%) and inflation (8.9%). While, the variables that contribute to reduce financing are non-performing financing (9.02%), followed by ROA (7.76%) and exchange rate (2.48%).

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The long-run effects of geopolitical risk on foreign exchange markets: evidence from some ASEAN countries

International Journal of Emerging Markets ◽

10.1108/ijoem-08-2020-1001 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Hon Chung Hui

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Foreign Exchange ◽

Risk Index ◽

Foreign Exchange Markets ◽

Content Type ◽

Long Run ◽

Exchange Markets ◽

Exchange Rate Models ◽

Asean Countries

PurposeThe purpose of this paper is to analyse the long-run relationship between geopolitical risk and exchange rates in four ASEAN countries.Design/methodology/approachWe augment theoretical nominal exchange rate models available in the literature with the geopolitical risk index developed by Caldara and Iacoviello (2019), and then estimate these models using the ARDL approach to Cointegration.FindingsOur analysis uncovers evidence of Cointegration in the exchange rate models when the MYR-USD, IDR-USD, THB-USD and PHP-USD exchange rates are used as dependent variable. Next, geopolitical risk is a significant long-run driver for these exchange rates. Third, in all countries higher geopolitical risk leads to a depreciation of domestic currency.Research limitations/implicationsThere are implications for entrepreneurs, central banks, portfolio managers and arbitrageurs who actively trade in financial markets. Financial market players can benefit from a better understanding of how geopolitical events affect the portfolio of financial assets across various countries, while entrepreneurs can work out hedging strategies.Originality/valueThis is a contribution to the study of interlinkages between political risk and foreign exchange markets. It is the first study to adopt the geopolitical risk index of Caldara and Iacoviello (2019) to the study the foreign exchange markets of ASEAN countries.

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The Linkage between Chittagong Stock Market and Dhaka Stock Market

10.54728/2112091639050770 ◽

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.

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Financial Deepening and Economic Growth in Jamaica

Global Business Review ◽

10.1177/0972150916666744 ◽

2017 ◽

Vol 18 (1) ◽

pp. 1-18 ◽

Cited By ~ 7

Author(s):

Alton Best ◽

Brian M. Francis ◽

C. Justin Robinson

Keyword(s):

Economic Growth ◽

Impulse Response ◽

Response Function ◽

Impulse Response Function ◽

Variance Decomposition ◽

Annual Data ◽

Financial Deepening ◽

The Real ◽

Long Run ◽

Out Of Sample

The paper empirically examines the question of whether bank liquid reserves to bank assets ratio and domestic credit to private sector as a percentage of GDP strengthens financial deepening on the real sector and hence catalyzes economic growth in Jamaica. A Granger causality approach is employed within a multivariate framework. Cointegration is used to examine the short- and long-run relationships within the model. Innovative accounting techniques (impulse response function and variance decomposition) are also utilized to determine the out-of-sample relation between financial deepening and economic growth. The empirical analysis is conducted with annual data from 1980 to 2014 with three proxies for financial deepening. The empirical evidence suggests a ‘supplying-leading’ relationship in both the short and long run. These results are confirmed by the innovation accounting techniques (impulse response function and the variance decomposition). Our findings imply that Jamaica should first concentrate on developing its financial sectors which has the potential to spur higher levels of economic growth in the real sectors of the economy.

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