integration test
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2021 ◽  
Author(s):  
Yüksel Akay Ünvan ◽  
Ulviyya Nahmatli

Export promotion tools aim to increase exports and support the entrepreneur in reaching new foreign markets. The positive impact of incentives, especially on financial issues, on exports both before and after shipment is undeniable. Founded in 1987, Turkish Exim bank is Turkey’s official export credit institution. By observing macro-economic balances, Exim bank ensures that exporters, export-oriented production manufacturers and entrepreneurs operating abroad are supported by credit, guarantee and insurance programs to increase their competitiveness. The study aims to examine the causal relationship between imports, exports and Exim bank loans in the Turkish economy. In the study, stationarity with the extended Dickey-Fuller unit root test, long-term relationship with the Johansen co-integration test, and then causality with the Granger test were investigated. The causality relationship was analyzed using import, export and Eximbank loans data for the periods 2003–2020.


2021 ◽  
Vol 16 (6) ◽  
pp. 665-669
Author(s):  
Gabriel Onuche Odekina ◽  
Adedayo Funmi Adedotun ◽  
Oluwaseun Ayodeji Odusanya

With the outbreak of COVID-19, a lot of studies have been carried out in various science disciplines to either reduce the spread or control the increasing trend of the disease. Modeling the outbreak of a pandemic is pertinent for inference making and implementation of policies. In this study, we adopted the Vector autoregressive model which takes into account the dependence that exists between both multivariate variables in modeling and forecasting the number of confirmed COVID-19 cases and deaths in Nigeria. A co-integration test was carried out prior to the application of the Vector Autoregressive model. An autocorrelation test and a test for heteroscedasticity were further carried out where it was observed that there exists no autocorrelation at lag 3 and 4 and there exists no heteroscedasticity respectively. It was observed from the study that there is a growing trend in the number of COVID-19 cases and deaths. A Vector Autoregressive model of lag 4 was adopted to make a forecast of the number of cases and death. The forecast also reveals a rising trend in the number of infections and deaths. The government therefore needs to put further measures in place to curtail the spread of the virus and aim towards flattening the curve.


2021 ◽  
Vol 29 (2) ◽  
pp. 278-298
Author(s):  
Maneesh Kumar Pandey ◽  
Irina G. Sergeeva ◽  
Vishal Gudla

The year 2020, so far, has been relentlessly wreaking havoc on the very concept of life and work as we know them. This unprecedented event has been unfolding multiple worst-case scenarios on all fronts of our society and has eclipsed almost every other natural disasters of the modern world and pushing humanity on the verge of tipping point. Up to now, more than 29 million people have been infected and more than 1000 thousand have lost their lives because of COVID-19. So far, this epidemic has not only taken human lives but also snatched the livelihood of millions of people worldwide. Because of this epidemic, the world has been experiencing a kind of regressive mindset, where countries are looking inward, and all kinds of political, social, and economic relations are in a very confused state on account of this ongoing assault on them. Consequently, this epidemic has triggered a high level of skepticism in investors about the certainty of the rapid healing of the social and economic condition which is hindering the quick and healthy recovery of financial markets in most of the pandemic ridden countries of the world. The purpose of this study was to examine the causal relationship among various factors such as crude oils price, exchange rate, and stock market performance during Covid-19 in the context of financial market performance in India. Several methodologies have been applied during this study such Johansen co-integration test, vector autoregression model, and Granger causality test. The results have supported a significant causality among crude oil prices and the exchange rate on stock market performance.


2021 ◽  
pp. 001946622110624
Author(s):  
Ranjan Aneja ◽  
Megha Mathpal

The purpose of this study is to analyse the long-run causal relationship among the per capita electricity consumption ( PCEC) and per capita gross domestic product ( PCGDP), urban population ( UP) and employment ( EMP) pattern in India over the period of 1991–2018. To analyse the long-run association Johansen co-integration test has been used. The results of the Granger-causality test imply that there exists a bidirectional causal relationship between the PCEC and PCGDP whereas there exist unidirectional causality from EMP and UP to PCGDP. Jel Codes: L52, C53, P1


2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shelly Singhal ◽  
Sangita Choudhary ◽  
Pratap Chandra Biswal

Purpose The purpose of this paper is to examine the long-run association and short-run causality among oil price, exchange rate and stock market in Norwegian context. Design/methodology/approach This work uses auto regressive distributed lag (ARDL) bound co-integration test to examine the long-run association among international crude oil, exchange rate and Norwegian stock market. Further to test the causality, Toda–Yamamoto Granger causality test is used. Daily data ranging from 1 January, 2011 to 31 December, 2018 is used in this study. Findings Findings of this study suggest the existence of long-run equilibrium relationship among oil price, exchange rate and Norwegian stock market when oil price is taken as dependent variable. Further, this study observes the bi-directional causality between Norwegian stock market and exchange rate and unidirectional causality between oil and Norwegian stock market (from oil to stock market). Originality/value To the best of the authors’ knowledge, this the first study in context of Norway to explore the long-run association and causal relationships among international crude oil price, exchange rate and stock market index. Particularly, association of exchange rate and stock market largely remains unexplored for Norwegian economy. Further, majority of studies conducted in Norwegian setup have considered the period up to year 2010 and association of these variables is found to be time varying. Finally, this study uses ARDL bound co-integration test and Toda–Yamamoto Granger causality test. These methodologies have been used in literature in context of other countries like India and Mexico but not yet applied to study the Norwegian case.


2021 ◽  
Vol 9 (3) ◽  
Author(s):  
Garishma Gulyani ◽  
Priyanka Gupta ◽  
Ramanpreet Singh

The present research study examines the impact of Stock marketson Gold prices using daily data for pre and during COVID-19 period (January-October 2020). This study uses Unit root test, Granger causality test, GARCH method and Johansen’s co-integration test to evaluate difference in the Volatility as well as the relationship between them. The findings show that no causal relationship exists between Gold Prices and Stock market prices in the short run. The result of the Johansen Co-integration test for the long-run relationship between theGold price and Nifty Indices showno co-integration at all, but low co-integration inshort-run cannot be ruled out. With this study, an attempt has been made to reveal the relationship that exists between Gold and stock markets with empirical findings using the time series analysis which reveals the original side of work during the pandemic. The ARCH and GARCH coefficient explain significantly the persistence of information on stock return volatility. The present study recommends that the integration between Gold and Stock market price entails the need for investors globally to follow a portfolio stock selection strategy to add value from the investments in India.These findings have important implication for the investors seeking portfolio diversification.


2021 ◽  
Author(s):  
Vijaya Kumar M ◽  
Balu B

Abstract This study investigated the effect of human capital underutilization on the economic growth of India. It has used time-series data accessed from the International Labor Organization (ILO) and World Bank database. This paper estimated the relationship between the underutilization of human capital on economic growth by applying the econometric tests like Augmented Dickey-Fuller (ADF) Test, Johansen Integration Test, and the Autoregressive Distributed Lag (ARDL) model. The results revealed that in the long run human capital underutilization has a negative relationship on GDP and labor productivity and it does not in the short run. The study recommends that specific policy legislations in the Indian labor markets are required for addressing the problem of human capital underutilization and thereby accelerating the economic growth and productivity for the current and future generations.


2021 ◽  
Vol 5 (2) ◽  
pp. 109-123
Author(s):  
Muhammad Asif Ali ◽  
Muhammad Asif Ali ◽  
Dr. Naveed Hussain Shah

This study investigates the relationship between futures prices and their underlying spot prices of the stocks trading on Pakistan stock market. Data on the monthly closing prices of future contracts and their underlying stocks of 30 companies for the period January 2004 to June 2014 have been taken for analysis. Descriptive statistics, Augmented Dicky Fuller test for unit root testing, Johnson Co-integration test, Granger causality test and Vector Error Correction Model are used. The results confirms significant long term relationship between futures prices and the associated Spot prices in case of 26 companies. The report of Granger causality test indicates that a Bi-directional causality lack to exist in case of each security, VECM shows that Spot prices for current month are effected by previous month prices in case of 7 companies, while futures prices of current month are affected by previous month prices in case of 4 companies. VECM illustrates that the volatility shocks in spot market are less effected by futures market, however the volatility shocks in corresponding futures market were strongly and significantly affected by spot market volatility.


Author(s):  
Mayowa Gabriel Ajao ◽  
Jude Osazuwa Ejokehuma

This study investigates the effect of ownership structure on the financial performance of listed manufacturing firms in three Sub-Saharan Africa countries (Nigeria, Kenya and South–Africa) based on the critical mass indices of their respective bourse. Relevant data from the financial reports of sampled firms were analyzed using the co-integration test and the system-GMM for a period 2010-2019 using Return on Asset, and Tobin-Q as dependent variables while government ownership, block ownership and institutional ownership concentrations were explanatory variables. The empirical results revealed that all the explanatory variables have significant effect on the performance indicators (ROA, TOBIN Q). The result of robustness checks also revealed that both government and institutional ownership concentrations have predominately negative effect on financial performance for the respective countries while block ownership concentration is largely positive for most of the manufacturing firms. The study recommends that policy makers should create favorable policies to encourage balanced investment from all categories of investors and ensure only few owners who have the wherewithal to diversify and attract skills and competencies to improve firm performance. Government should also retain some ownership in foreign and local firms to enhance shareholders’ confidence


2021 ◽  
Author(s):  
Chinonye Emmanuel Onwuka

Abstract This study empirically examined the relationship between poverty, income inequality and economic growth in Nigeria. The study used time series data from National Bureau of Statistics (NBS) and Central Bank of Nigeria (CBN) Statistical Bulletin between the periods from 1981 to 2019. The study employed the use of Augmented Dickey Fuller test, Co integration test and Error Correction technique. The unit root test results indicated that all the variables were stationary at first difference and co-integration test confirmed a long run relationship among the variables. The error correction model shows that about 96 percent of the discrepancy between the actual and the equilibrium value of economic growth is corrected or eliminated each year. The coefficient of determination (R2) is 0.68 which shows that about 68 percent variations in the economic growth were explained by the independent variables . Furthermore, the Breusch-Godfrey Serial Correlation LM Test shows that the probability of the chi-square (2) is 0.2775 and this is greater than 0.05 at 5% significance level. This therefore confirms the absence of serial correlation. Also, the Breusch-Pagan-Godfrey Heteroscadaticity test indicates that the probability of chi-square (5) is 0.1242 and this is greater than 0.05 at 5% significant level. This also confirms the absence of heteroscedasticity in the model. From the study, the findings revealed that income inequality has a negative relationship with economic growth in the country while poverty was found to be positively related to economic growth. Similarly, the findings also revealed that poverty and income inequality has an insignificant effect on economic growth in Nigeria. Based on the findings, it can be concluded that poverty and income inequality has not significant relationship with economic growth in Nigeria. Thus, the study concludes that there is need for government of the country to come up with an all-inclusive policy and programme that will be targeted to the poor and give them ample opportunities to improve their welfare.


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