scholarly journals Linkages between External Reserves and Economic Performance in Nigeria, 1981-2018: Bounds Test and ARDL Approaches

2020 ◽  
pp. 44-62
Author(s):  
Ifeanyi A. Ojiako
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Foreign Exchange ◽  
Economic Performance ◽  
Unit Roots ◽  
Series Data ◽  
Foreign Reserves ◽  
Test Technique ◽  
Long Run ◽  
Bounds Test

Aims: This study seeks to explore a two-way relationship between Nigeria’s economic performance, measured by the GDP, and her stock of foreign reserves over time. Study Design: It uses secondary data - documented time series of Nigeria’s gross domestic product (GDP) and foreign exchange reserves (FER) – collected from various volumes of the Central Bank of Nigeria (CBN) Statistical Bulletin. The annual time series data cover a period of 38 years, from 1981-2018. Methodology: The time series properties of the variables were verified using the Augmented Dickey-Fuller (ADF) unit roots’ test procedure. Also, the Bounds test technique was used to test for cointegration while the autoregressive distributed-lag (ARDL) and error correction models were estimated to analyze short- and long-run relationships between the variables. Relevant diagnostic tests were carried out to validate the resultant model estimates. Results: Results of unit roots’ test reveal both GDP and foreign reserves as I(1) series. Bounds test for the GDP model revealed an observed F-statistic (.421) that is less than the critical lower bound F-statistic (4.94) at P=.05 and cointegrating relationship was not confirmed. However, Bounds test for the foreign reserves revealed an observed F-statistic (6.445) lager than the critical upper bound F-statistic (5.73) at P=.05 and cointegration was established leading to specification of a long-run error correction model (ECM). Result of ARDL model estimation shows that only one-year-lag of GDP was significant (P=.05) and positive in explaining variations in the current GDP. Previous year’s values of both GDP and foreign reserves have positive influence on the long-run foreign exchange with over 81.8% explanatory power. The adjustment coefficient of the error correction equation is highly significant (P=.001) with the desired negative sign, implying that previous periods’ errors are correctable by adjustments in the subsequent periods, and convergence is attainable. Granger-Causality test result revealed a unidirectional causality that runs from GDP to the external reserves. Conclusion: The study establishes a long-run relationship between stock of foreign reserves and economic performance in Nigeria. The finding corroborates the view that a booming economy has the propensity to attract foreign direct investment thereby boosting the stock of the country’s foreign reserves. To attract more FDI in the critical sectors of the Nigerian economy, the government should create enabling and investment-friendly environment, implement policies and programmes capable of amplify ease-of-doing-business, and boost investors’ confidence in the economy.

scholarly journals The Long-Run and Short-Run Impacts of Investment, Export, Money Supply, and Inflation on Economic Growth In Indonesia

2019 ◽  
Vol 22 (1) ◽  
Author(s):  
Erni Panca Kurniasih
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Error Correction ◽  
Money Supply ◽  
Time Series Data ◽  
Error Correction Model ◽  
Series Data ◽  
Correction Model ◽  
Long Run ◽  
Short Term Investment

ABSTRACTThe development of investment and exports in Indonesia shows an increase, as well as money supply, while the inflation rate shows a decline, but this is not always followed by increasing economic growth. This study aims to explain the relationship between investment, export, money supply and inflation with the economic growth in Indonesia. The data used was time series data from the first quarter in 2001 to the fourth quarter in 2014 and was analyzed using multiple regression models with Error Correction Model (ECM) and classical assumptions. The study findings show that in short-term investment, export, money supply and inflation are not significant to economic growth. In long-run, investment has negative and significant effect on the economic growth, while export, money supply and inflation have positive and significant effect on the economic growth in Indonesia. Bank Indonesia must applied a tight money policy consistently to achieve the long-term inflation target ABSTRAKPerkembangan investasi dan ekspor di Indonesia menunjukkan peningkatan, demikian pula jumlah uang beredar, sementara tingkat inflasi menunjukkan penurunan, namun hal tersebut tidak selalu diikuti dengan meningkatnya pertumbuhan ekonomi. Studi ini bertujuan untuk menjelaskan hubungan antara investasi, ekspor neto, jumlah uang beredar dan inflasi terhadap pertumbuhan ekonomi di Indonesia. Data yang digunakan adalah data time series dari kuartal pertama tahun 2001 hingga kuartal keempat tahun 2014 dan dianalisa dengan menggunakan model regresi berganda dengan Error Correction Model (ECM). Hasil studi menunjukkan  bahwa investasi, ekspor, jumlah uang beredar dan inflasi tidak signifikan terhadap pertumbuhan ekonomi di Indonesia dalam jangka pendek. Investasi berpengaruh negatif dan signifikan terhadap pertumbuhan ekonomi di Indonesia dalam jangka panjang, sedangkan ekspor , jumlah uang beredar dan inflasi berpengaruh positif dan  signifikan terhadap pertumbuhan ekonomi di Indonesia. Bank Indonesia harus menerapkan kebijakan moneter yang ketat secara konsisten pada pencapaian sasaran inflasi jangka menenngah 

Does corruption matter for economic development? Long run evidence from Bangladesh

2017 ◽  
Vol 44 (3) ◽  
pp. 350-361 ◽  
Author(s):  
Mohammad Habibullah Pulok ◽  
Moin Uddin Ahmed
Keyword(s):  
Time Series ◽  
Economic Development ◽  
Negative Impact ◽  
Public Awareness ◽  
Test Method ◽  
Series Data ◽  
Content Type ◽  
Ardl Bounds Test ◽  
Long Run ◽  
Bounds Test

Purpose Despite remarkable economic growth in the last two decades, corruption is a “way of life” in Bangladesh. The purpose of this paper is to investigate the long run relationship between economic development and corruption in Bangladesh over 1984-2013. Design/methodology/approach This study employs autoregressive distributed lag (ARDL) bounds test method to examine the long run relationship or cointegration between corruption and per capita real GDP in Bangladesh using annual time series data. International Country Risk Guide’s (ICRG) corruption index is used as the proxy to measure the degree of corruption. Findings The results of ARDL bounds test confirm that there exists a long run association between corruption and economic development in Bangladesh. Findings from the long run estimation provide evidence of negative impact of corruption on economic development. The negative value of the error correction term in the short model reinforces the existence of long run relationship. Originality/value Using multivariate time series approach, this paper contributes to corruption literature by investigating the long run relation between corruption and economic development in Bangladesh. Bangladesh would be able to accelerate its economic development further by reducing the level of corruption through institutional reforms and raising public awareness. Most importantly, government should focus on identifying and abolishing laws and programmes promoting corruption.

scholarly journals INTERAKSI ASPEK PERMODALAN, RISIKO PEMBIAYAAN, DAN INDIKATOR MAKROEKONOMI DALAM MEMPENGARUHI PROFITABILITAS BPRS DI INDONESIA PERIODE 2014-2018

2020 ◽  
Vol 5 (3) ◽  
pp. 401
Author(s):  
Feri Irawan
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Error Correction ◽  
Error Correction Model ◽  
Series Data ◽  
Short Term ◽  
Correction Model ◽  
Long Run ◽  
Short And Long Term

<p align="center"><strong><em>ABSTRACT</em></strong></p><p><em>This study aims to analyze the effect of capital aspects (CAR), financing risk (NPF) and macroeconomic variables including economic growth, inflation and the BI Rate on profitability (ROE) in the short and long term. By using time series data for the monthly period from 2013-2018 and the Error-Correction Model (ECM) and cointegration approach, it is found that CAR and NPF do not have a significant effect on ROE in the short and long term. Economic growth, inflation and the BI Rate in the short term do not have a significant effect on ROE, in the long run economic growth, inflation and the BI Rate have a significant effect on ROE. In the short term, economic growth, inflation and the BI Rate disturb the balance of profitability, but in the long run it returns to its equilibrium level. It is necessary to integrate the BPRS policy strategy in managing capital and risk with government policies related to economic growth and inflation.</em></p><p><em> </em></p><p align="center"><strong><em>ABSTRACT</em></strong></p><p><em>Penelitian bertujuan menganalisis pengaruh aspek permodalan (CAR), risiko pembiayaan (NPF) dan variabel makroekonomi yang meliputi pertumbuhan ekonomi, inflasi dam BI Rate  terhadap profitabilitas (ROE) dalam jangka pendek dan jangka panjang. Dengan menggunakan data time series periode bulanan dari tahun 2013-2018 dan pendekatan Error-Correction Model  (ECM) dan kointegrasi, ditemukan bahwa CAR dan NPF tidak berpengaruh secara signifikan terhadap ROE dalam jangka pendek dan jangka panjang. Pertumbuhan ekonomi, inflasi dan BI Rate dalam jangka pendek tidak berpengaruh signifikan terhadap ROE, dalam jangka panjang pertumbuhan ekonomi, inflasi dan BI Rate berpengaruh signfikan terhadap ROE. Pada jangka pendek, pertumbuhan ekonomi, inflasi dan BI Rate menggangu keseimbangan profitabilitas namun dalam jangka panjang kembali pada tingkat keseimbangannya. Diperlukan pengintegrasi strategi kebijakan BPRS dalam mengelola permodalan dan risiko dengan kebijakan pemerintah terkait dengan pertumbuhan ekonomi dan inflasi.</em><em></em></p><p align="right"> </p>

scholarly journals Estimation of peach supply response in Colombia using a Vector Error Correction Model

ENTRAMADO ◽  
2021 ◽  
Vol 17 (1) ◽  
pp. 250-260
Author(s):  
Susan Elsa  Cancino ◽  
Giovanni Orlando Cancino-Escalante
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Time Series Data ◽  
Series Data ◽  
Correction Coefficient ◽  
Vector Error Correction ◽  
Supply Response ◽  
Vector Error ◽  
Long Run ◽  
Augmented Dickey Fuller

An empirical study of peach supply response to own-price and yield in Colombia using time series data from 2000 to 2018 was undertaken. A quantitative, correlational and non-experimental research design was selected and the Johansen´s co-integration as well as the vector error correction framework were employed. The Augmented Dickey-Fuller test showed that the time series were integrated of order one and the Johansen´s co-integration confirmed the existence of a long-term relationship between the variables. Moreover, the short and long run coefficients for own-price and yield were statistically significant and presented the expected signs, however, estimated own-price elasticity was below unit suggesting it is not an important factor in peach supply response. Furthermore, the vector error correction coefficient (-0.32) was negative and in line with theory, which showed that in the long-run, the model converges towards equilibrium, however at a relatively slow pace. Therefore, it can be concluded that, overall, the proposed model contributes to the understanding of the dynamics in peach output supply.

scholarly journals Analyzing The Macroeconomic and Fundamental Determinants of Non-Performing Financing of Bank Muamalat Indonesia

2020 ◽  
Vol 11 (1) ◽  
pp. 49-78
Author(s):  
Pungky Lela Saputri ◽  
Ratno Agriyanto ◽  
Mujiyono Abdillah
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Time Series Data ◽  
Error Correction Model ◽  
Capital Adequacy ◽  
Series Data ◽  
Islamic Banking ◽  
Correction Model ◽  
Long Run ◽  
Short Run

Abstract: This study analyzes the macroeconomic and fundamentals of Islamic banking factors towards the non-performing financing (NPF) of Bank Muamalat Indonesia in the long run and short-run period 2005-2018. The data used in this study are quarterly time-series data of Bank Muamalat Indonesia Financial Report as the source of fundamentals of Islamic banking data and Bank Indonesia Monetary Policy Review as the source of macroeconomic data period 2005 - 2018. The analytical method used is the Error Correction Model (ECM). This study shows that in the long run, inflation, central bank (Bank Indonesia/BI) Rate, and capital adequacy ratio (CAR) significantly affect the NPF; meanwhile, the financing to deposit (FDR) ratio does not affect NPF. In the short term context, only CAR has a significant effect, yet inflation, BI Rate, and FDR have no significant impact on NPF. Thus, the novelty can present the result of analysis of factors that affect NPF in the long run and short run. The limitation of the study is the use of time-series data that are very likely to spurious regression.Abstrak: Penelitian ini bertujuan untuk menganalisis pengaruh faktor makroekonomi dan fundamental perbankan syariah terhadap NPF Bank Muamalat Indonesia dalam jangka panjang dan jangka pendek periode 2005-2018. Data yang digunakan dalam penelitian ini yaitu data runtun waktu Laporan Keuangan Triwulan Bank Muamalat Indonesia sebagai sumber data fundamental perbankan syariah dan Tinjauan Kebijakan Moneter Bank Indonesia sebagai sumber data makroekonomi periode 2005 – 2018. Faktor makroekonomi diwujudkan dalam variabel Inflasi dan BI Rate. Faktor fundamental perbankan syariah diwujudkan dalam variabel CAR dan FDR. Alat analisis yang digunakan yaitu Error Correction Model (ECM). Hasil analisis menunjukkan dalam jangka panjang Inflasi, BI Rate, dan CAR dengan nilai signifikansi 0.0026, 0.0001, dan 0.0032 berpengaruh signifikan dan FDR dengan nilai signifikansi 0.6940 tidak berpengaruh signifikan terhadap NPF. Dalam jangka pendek hanya CAR dengan nilai signifikansi 0.0056 yang berpengaruh signifikan sedangkan Inflasi, BI Rate, dan FDR dengan nilai signifikansi 0.0666, 0.9532, and 0.2065 berpengaruh tidak signifikan terhadap NPF. Kebaharuan penelitian ini yaitu penelitian ini mampu menyajikan hasil analisis faktor-faktor yang mempengaruhi NPF dalam jangka panjang dan jangka pendek. Meski begitu, terdapat juga limitasi pada penelitian ini yaitu penggunaan data time series yang rawan terkena regresi lancung.

scholarly journals Political Stability and its Impact on Economic Growth of Pakistan (1988-2018): A Time Series Analysis

2020 ◽  
Vol 6 (1) ◽  
pp. 273-282
Author(s):  
Majid Hussain Phul ◽  
Muhammad Saleem Rahpoto ◽  
Ghulam Muhammad Mangnejo
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Time Series Data ◽  
Political Stability ◽  
Series Data ◽  
Explanatory Variables ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Positive Effect

This research paper empirically investigates the outcome of Political stability on economic growth (EG) of Pakistan for the period of 1988 to 2018. Political stability (PS), gross fixed capital formation (GFCF), total labor force (TLF) and Inflation (INF) are important explanatory variables. Whereas for model selection GDPr is used as the dependent variable. To check the stationary of time series data Augmented Dickey Fuller (ADF) unit root (UR) test has been used,  and whereas to find out the long run relationship among variables, OLS method has been used. The analysis the impact of PS on EG (EG) in the short run, VAR model has been used. The outcomes show that all the variables (PS, GFCF, TLF and INF) have a significantly positive effect on the EG of Pakistan in the long run period. But the effect of PS on GDP is smaller. Further, in this research we are trying to see the short run relationship between GDP and other explanatory variables. The outcomes show that PS does not have such effect on GDP in the short run analysis. While GFCF, TLF and INF have significantly positive effect on GDP of Pakistan in the short run period.

scholarly journals How applicable is export-led growth and import-led growth hypotheses to South African economy?

2015 ◽  
Vol 4 (2) ◽  
pp. 15-24
Author(s):  
Ntebogang Dinah Moroke ◽  
Molebogeng Manoto
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Adverse Effect ◽  
Time Series ◽  
South African ◽  
Time Series Data ◽  
Series Data ◽  
Long Run ◽  
Reserve Bank ◽  
Equilibrium Relationship

This paper investigated exports, imports and the economic growth nexus in the context of South Africa. The paper sets out to examine if long-run and causal relationships exist between these variables. Quarterly time series data ranging between 1998 and 2013 obtained from the South African Reserve Bank and Quantec databases was employed. Initial data analysis proved that the variables are integrated at their levels. The results further indicated that exports, imports and economic growth are co-integrated, confirming an existence of a long-run equilibrium relationship. Granger causal results were shown running from exports and imports to GDP and from imports to exports, validating export-led and import-led growth hypotheses in South Africa. A significant causality running from imports to exports, suggests that South Africa imported finished goods in excess. If this is not avoided, lots of problems could be caused. A suggestion was made to avoid such problematic issues as they may lead to replaced domestic output and displacement of employees. Another dreadful ramification may be an adverse effect on the economy which may further be experienced in the long-run.

Examining the Long Run Effects of Export, Import and FDI Inflows on the FDI Outflows from India: A Causality Analysis

2009 ◽  
Vol 10 (1) ◽  
pp. 65-88
Author(s):  
Nandita Dasgupta
Keyword(s):  
Time Series ◽  
Data Analysis ◽  
Driving Force ◽  
Time Series Data ◽  
Series Data ◽  
Causality Analysis ◽  
Fdi Inflows ◽  
Long Run ◽  
Time Series Data Analysis ◽  
Trade And Investment

The objective of this paper is to examine the effects of international trade and investment related macro economic variables, namely, exports, imports and FDI inflows on the outflows of FDI from India over 1970 through 2005. Using time series data analysis, the empirical part of the paper finds unidirectional Granger Causality from export and import to FDI outflows but no such causality exists from FDI inflows to the corresponding outflows from India. Results confirm the assumption that lagged imports and exports are a driving force of ing front.

On the Constancy of Hedonic Wine Price Coefficients over Time

2019 ◽  
Vol 14 (2) ◽  
pp. 182-207 ◽  
Author(s):  
Benoît Faye ◽  
Eric Le Fur
Keyword(s):  
Time Series ◽  
Literature Review ◽  
Time Series Data ◽  
Hedonic Model ◽  
Series Data ◽  
Extensive Literature ◽  
Long Run ◽  
The Stability ◽  
Over Time ◽  
Jel Classifications

AbstractThis article tests the stability of the main hedonic wine price coefficients over time. We draw on an extensive literature review to identify the most frequently used methodology and define a standard hedonic model. We estimate this model on monthly subsamples of a worldwide auction database of the most commonly exchanged fine wines. This provides, for each attribute, a monthly time series of hedonic coefficients time series data from 2003 to 2014. Using a multivariate autoregressive model, we then study the stability of these coefficients over time and test the existence of structural or cyclical changes related to fluctuations in general price levels. We find that most hedonic coefficients are variable and either exhibit structural or cyclical variations over time. These findings shed doubt on the relevance of both short- and long-run hedonic estimations. (JEL Classifications: C13, C22, D44, G11)

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