Augmented Dicky Fuller Research Articles

Do Quality Standards Affect the Growth of the Fisheries Sector in Cameroon?

This article aim’s to assess the effect of quality standards on the growth of the fisheries sector in Cameroon. Cobb-Douglas function, the Autoregressive Distributed Lag (ARDL) estimation method and the stationary test (Augmented Dicky Fuller and Phillip Perron tests) were employed. In the light of the results obtained, we noted that in the short term, the quality standards are negatively and significantly correlated with the growth of the fisheries sector in Cameroon, but in the long term, we observed a positive correlation. Indeed, a 10% strengthening of quality standards is accompanied by a decrease in the growth of the Cameroonian fisheries sector of about 8.61%. Faced with the demanding nature of quality standards and with a view to making the fisheries sector efficient and attractive in the long term, we recommend that the public authorities implement a national strategy based on effective and relevant management of human and financial resources, aimed at supporting fisher folk on one hand, and on the other hand, improving the quality of institutions.

Relationship Between Spot Prices and Futures Prices: Evidence From Karachi Stock Exchange

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.

The effect of the COVID-19 outbreak on hospitality and tourism stock returns in Thailand

ABSTRACT This study examines the volatility transmission effects between stock returns and the growth rate of total confirmed COVID-19 cases by using daily data of the hospitality and tourism industry taken from the Stock Exchange of Thailand (SET) index. Augmented Dicky–Fuller (ADF), Phillips–Perron (PP), Kwiatkowski–Phillips–Schmidt–Shin (KPSS), Elliott–Rothenberg–Stock (ERS) and Ng–Perron (NP) unit root tests were used to test, for both series are stationary. The BEKK-GARCH methodology was employed to formulate conditional variance-covariance equations. The results reveal that the pandemic interacts negatively with stock returns from the hospitality and tourism industry. Stock market returns are significantly negatively associated with daily growth in total confirmed COVID-19 cases.

Exchange Rates Management and Disaggregated Manufacturing Sector Output in Nigeria (1986-2019)

This study investigated the effect of exchange rates management on manufacturing sector in Nigeria from 1986-2019. Secondary data used in the analysis were sourced from Central Bank of Nigeria Statistical Bulletin, (2020) and World Development Indicators, (2020). Stationarity and orders of integration of the variables were examined with both Augmented-Dicky-Fuller (ADF) and Philip-Perron (PP) unit root tests. Having disaggregated manufacturing sector output into oil and non-oil source, two different models emerged. The results of Autoregressive Distributed Lag (ARDL) Bound test for co-integration revealed that the variables under oil sector model were co-integrated, while there was no evidence of co-integration in non-oil model. ARDL technique of estimation results showed that, both in the short-run and long-run, real exchange rates negatively and significantly impacted on oil manufacturing sector, while real interest rates negatively and significantly influenced the sector in the short-run. In the non-oil model, it was found that, both in the short-term and long-term, while real exchange rates negatively and significantly impacted on the sector, inflation produced positive and significant effect. Authority in Nigeria should improve on trade competitiveness of Nigeria with other countries via empowering the domestic currency to improve on domestic manufacturing sector performance.

OIL PRICE VOLATILITY AND INFLATION LEVEL IN NIGERIA: AN EXPONENTIAL GARCH APPROACH

Over the years, expenditures of public and private sectors are regulated by the activities in the oil and gas industry. The budget of Nigeria is hinged on the international price of crude oil and any shock on oil price affects the general activities in the country. With quarterly data from the period of 1981Q1 to 2020Q2, the study uses an exponential generalized autoregressive conditional heteroscedasticity approach to examine oil price volatility and inflation level in Nigeria. An augmented Dicky-Fuller unit root test and bound test cointegration approach were used to test for stationarity and existence of long run association among the variables respectively. The study found that negative shocks in real oil price affects the volatility of the inflation level. Also, it was observed that aside real oil price volatility, interest rate and real gross domestic product volatilities affect the volatility of the inflation level. The study therefore recommends among other things that policies meant for diversification of Nigerian economy in areas like industries and agriculture should be adopted to reduce high volatility of the inflation level.

The Nexus Between Monetary Policy and Economic Growth in Pakistan: Empirical Evidence Based on Bound Test Approach

The objective of this research is to examine the monetary policy's impact on economic growth. Variables of study are Gross domestic product, Inflation, rate of interest, Exchange rate, Money supply, Investment, and Consumer Price Index and time series data is collected from. Gross domestic product is a dependent variable and all other variables are independent and have a great effect on the explanatory variable. In this study, the Augmented dicky fuller test is used to check out the stationarity of our selected variables and after that autoregressive distributed lag model co-integration technique is applied to estimate the parameters of the model. The result shows that inflation, interest rate, and consumer price index show a negative impact on gross domestic product. While other variables such as exchange rate, money supply, and investment show a positive impact on GDP. The study recommended that the desired level of output and employment can be attained by adopting sufficient strategies that reduce inflation in the economy.

Analysis of carrot production development in Karo Regency North Sumatera

This research was conducted to predict the value of carrot production in Karo Regency North Sumatera in 2020-2021 by using Autoregression Moving Average model through some testing stages: 1). stationarity of carrot production data for 2017-2019. In this study, the data were declared stationary through a differentiation process (1 st difference) with an Augmented Dicky-Fuller (ADF) value of < 0.05. 2). Furthermore, testing the model through the value of Autocorrelation Function (ACF) and Partial Correlation Function which decreased sharply (Cut Off) at the 2 nd lag, so that the possible models compiled were AR1, AR2, MA1 and MA2. 3). It was decided to use the MA1 model, then it was obtained the results of carrot production in Karo Regency, North Sumatera 2020-2021 with a positive trend, which revealed the increasing of carrot production. The highest prediction occurred in December 2021, amounting to 8,580.67841 tons.

Role of Private Investment in Economic Growth in Pakistan: A Time Series Analysis (1980-2017)

The paper examines the impact of private investment on Pakistan's economic growth through a time series analysis for the period 1980-2017. Economic growth is represented with real per-capita GDP, private sector credit as an envoy of private investment (DCPS), and other variables are foreign direct investment, the discount rate, and the inflation rate. The stationarity properties of the data are investigated through Augmented Dicky Fuller test (ADF), and ARDL co-integration technique is used to estimate the equation. The findings show a significant and negative association between LDPS and real GDP: that 1% increase (or decrease) in domestic credit to private sector, on average, causes a 0.7% decrease (or increase) in real per-capita GDP in the long-run. It is also found that discount rate and GDP deflator have a negative impact on economic growth. The study concluded that private investment has negative impact on economic growth in Pakistan. It recommends to build a favourable economic environment, and incentivize FDI in Pakistan due to its positive and significant impact on GDP.

Globalization Nexus Terrorism: Evidence from Pakistan

The current study investigates nexuses between globalization and terrorism in context of Pakistan. Time series data utilized for time period 1981 to 2017. The data has been taken from the World Governance Indicator (WGI) and Swiss global index (KOF). Augmented Dicky fuller (ADF) test was applied to check out stationary of all variables such as terrorism, globalization, remittances, foreign direct investment and trade. The results of ADF test indicated that all variables were stationary at first difference. For empirical analysis Johnson co-integration and VAR model under causality were applied. The co-integration result shows all variables terrorism, globalization, FDI, remittances and trade are not co-integrated. Vector Auto Regression (VAR) Model under causality test shows that Globalization is causing factor of terrorism. While, other controlling variables such as remittances cause globalization, foreign direct investment and trade.

Do macroeconomic indicators determine income inequality in selected African countries?

This study investigates the effect of macroeconomic variables on income distribution in Africa using panel data from 2001 to 2016. This is motivated by the high degree of income inequality and poverty in the region. Twenty‐eight (28) African countries were selected to capture every region. The selection of countries and the choice of this period were informed by data availability. The variables of interest were income inequality obtained from the Standardized World Income Inequality Database (SWIID), while the Gross Domestic Product, Inflation, and Unemployment were obtained from the World Bank database. A dynamic panel model using the Generalized Method of Moment (GMM) estimator was used to control for both individual and time‐specific effects. The Heterogeneous aspect of the Augmented Dicky‐Fuller (ADF), the Levine‐Lin‐Chu test and, the Im‐Pesaran‐Shin (IPS) panel units root process were utilized to test for the stationarity of the panel data. The results of the General Method of Moment (GMM) indicate a significant negative relationship between income inequality and economic growth. The study rejected the existence of the Kuznets curve hypothesis, and concludes that Inflation rate, Wage rate and labour force impact negatively income inequality, while unemployment and education impact positively.

Male and Female Employment in Agriculture and Agricultural Productivity in Nigeria

The contribution of women to labour in African agriculture is quoted regularly in the range of 60–80%. Using available statistical data, to compare the level of employment and productivity of both male and female on an individual basis, and consequently proffer ways of improve that with a lower turn-out is the one major aim of the study. The contribution of females in the agricultural sector is substantially lower in Nigeria (37%), and some other developing countries. In order to get appropriate estimation of the model, the Augmented Dicky-Fuller and the Phillips-Perron test are used to check the variables level of stationarity. This also helps to explain the existing relationship between and among the following variable: employment in agriculture, male, employment in agriculture, female, trade and inflation. The result informs the need to enhance the employment of female in the Nigerian economy for higher agricultural productivity. Therefore the study suggests that policies geared towards female empowerment in agriculture and services alongside other concerned sectors should be promoted.

Capital Account Liberalization and Capital Movement in China

Capital account liberalization has always been at the core of economic policymaking. China is a country which has chosen to go gradual in opening up the capital account. The present research seeks to manoeuvre aspects of capital account liberalization for the Chinese economy. An empirical investigation is run for ascertaining the particular influence capital controls has had on foreign direct investment in China which has outpaced other capital flows in the past decades. The model applied involves foreign direct investment inflows as the dependent variable while four variables are independent. The stationarity of the univariate series is checked with the use of Augmented Dicky Fuller test. The study concludes with theoretical understanding that full liberalization of the current account in China has overall benefited the economy. The outcome of the study suggests that there is no significant bearing of current account liberalization on foreign direct inflows.

An empirical nexus between exchange rate and China's outward foreign direct investment: Implications for Pakistan under the China Pakistan economic corridor project

This study spotlights the determinants of Chinese outward foreign direct investment in Pakistan under the China Pakistan Economic Corridor using time series data. The stationarity was checked through augmented dicky fuller tests, and an auto-regressive distributive lag bounds test confirm long-run association among exchange rate, inflation, corruption, law & order situation, and Chinese outward foreign direct investment. The study conducted auto-regressive distributive lag (ARDL) for the short-run and long-run equilibrium covering annual time series data from 1990 to 2017. The empirical results indicate that exchange rates, inflation, and corruption have a negative and statistically significant effect on China's outward foreign direct investment in the host country. In contrast, law and order situations have an insignificant association with outward foreign direct investment. The findings further demonstrate that the error correction term is negative and highly significant at a 1 % level of significance. This is another indication of a stable long-run association among the variables. The estimated error correction term coefficient is −0.102, recommends that the short-run disequilibrium can be corrected at the speed of 10 %. Moreover, in the short run, corruption, inflation, and law and order are significantly affecting outward foreign direct investment. At the same time, export has no significant impact on outward foreign direct investment in the short run.

Impact of GDP, Inflation, Population Growth and FDI on Unemployment: A study on Bangladesh Economy

Unemployment is a major problem in almost all of the countries of south Asia. Unemployment has become the consistent crucial problem in Bangladesh. Economic conditions, demographic structure, women contribution, movement of rural to urban are the major causes of unemployment in Bangladesh. Economic growth and unemployment have a negative relation in Bangladesh. This study is performed to see the impact of some crucial macroeconomic factors on the increasing growth rate of unemployment in Bangladesh. For conducting the study, data set of GDPs, inflation, population growth, FDI during the period of 1995-2019 of Bangladesh has been used. To find out the impact of inflation, economic growth, population growth and FDI on unemployment rate this study used the Augmented Dickey Fuller test for Unit Root to check whether variables are stationary or non-stationary. Gross Domestic Product (GDP) and Inflation, FDI are stationary on level and intercept and unemployment is stationary on first difference. From the augmented dicky fuller test, co linearity and co integration test, least square method it is observed that there is long run relationship exists among the factors and unemployment in Bangladesh. Economic factors like GDP and, FDI have significant influence on unemployment problem in Bangladesh. Theoretically there has a positive relation between unemployment and economic growth. Granger causality test confirms the unidirectional influences come from the unemployment rate to the economic factors as well. This study will help policy makers to modify policy to reduce the unemployment rate in Bangladesh.

Can Zero-Coupon Bond Yield Curve Predict Economic Growth? – The Case of China

Since China's economic reform in 1978, the country's economic system has foreseen rapid evolvements, particularly in issuing debt securities by the Chinese central government to financing its drastic economic growth (Loo & Lqbal, 2019). This research study examines the zero-coupon bond yield curve's predictive power on China's GDP growth rate by adopting the Nelson-Siegel (1987) dynamic yield curve model. This research study adopts various approaches to refining the Nelson-Siegel (1987) model to enhance its predictive power on future economic activities, drawing upon the modifications undertaken by Diebold & Li's (2006) study to examining the constructed yield curve in accordance with the three latent factors of level, slope and curvature of the entire yield curve. A 67 period of zero-coupon bond yields is gathered between Q3 2002 and Q1 2019 quarterly from zero-coupon bond maturities of 1, 3, 5, 10, 20, and 30 years, finding that all types of zero-coupon bond maturities to exhibit similar yield curve movements across short, intermediary and long term durations. A multiple regression model was used to examine the correlation coefficient between the three latent factors and China's GDP, finding a significant relationship in the slope factor. A relationship was also found between the level and slope factors with a significance of 0.854, whereby the average rates between the two variables were calculated under the augmented Dicky Fuller test to ensure all factors are at stationary states to enhance the accuracy of future testing. The researcher also performed a least-squares equation (OLS) test to addressing the identified multicollinearity problem aforementioned, finding the R-squared value of 29.6%. Which suggested the level and curvature factors of the constructed yield curve would accurately explain 29.6% of China's GDP growth rates. To further examine the predictive power of the constructed yield curve in accordance to Nelson-Siegel's (1987) dynamic model, an out-of-sample forecasting method is employed with the out-of-sample size of 40 periods between Q3 2002 and Q2 2012 against 27 periods between Q3 and Q1 2019. The out-of-sample regression test founded an R squared value of 11.4,% suggesting that in sample forecasts contained higher predictive power to China's GDP growth based on the constructed yield curve. Furthermore, the out-of-sample forecast results show no significant relationship between the level and curvature factors, further reaffirming the argument that the yield curve in sample forecasts would better predict future economic activities. The research findings were consistent with findings from other studies conducted by Diebold & Li (2006); Hvozdenska (2015), and Campbell & Thompson (2008), whereby the spread of the yield curve constructed by the Nelson-Siegel (1987) dynamic model showed a strong relationship between China's GDP growth and the produced yield curve, representing strong predictive power and offers valuable insights to addressing the identified research gap where minimal research studies have explored the predictive power of China's zero-coupon bond yields in relation to the macroeconomic outlook. Keywords: Nelson-Siegel model, Yield curve, Zero-coupon bond, Maturity, Regression, Dynamic model. DOI: 10.7176/JEP/11-24-02 Publication date: December 31 st 2020

Expiration-Day Effects on Index Futures: Evidence from Indian Market

Nifty Bank Index has started trading in futures and options (F&O) segment from 13^th June 2005 in National Stock Exchange. The purpose of the study is to enhance the literature by examining expiration effect on the price volatility and price reversal of Underlying Index in India. Historical data used for the current study primarily comprise of daily close prices of Nifty Bank which is the only equity sectoral index in India which is traded in derivatives market and its Future contract value is derived from the underlying CNX Bank Index during the period 1^st January 2010 till 31^st March 2020. To check stationarity of the data, Augmented Dicky Fuller test was used. The study employed ARMA- EGARCH model for analysing the data. The empirical results revealed that there is no effect on the mean returns of underlying Index and EGARCH (1,1) model furthermore shows there is existence of leverage effect in the Bank Index i.e., negative shocks causes more fluctuations in the Index than positive news of similar magnitude. The outcome of the study specifies that there is no effect on volatility on the underlying sectoral index due to expiration days and also observed no price reversal effect once the expiration days are over.

Non-Oil Exports and Manufacturing Sector Growth in an Oil-Rich Country in Africa

Purpose: This paper presents an analysis of the effect of non-oil exports on the manufacturing sector growth in an oil-rich country in Africa – Nigeria from 1986 to 2018. In clear terms, we evaluated how manufacturing sector capacity utilization is affected by non-oil exports.&#x0D; Methods: The Ordinary Least Square (OLS) estimation technique was applied in estimating the model and was lagged by two years. The long-run relationship was determined using the traditional Johansen co-integration methodology. How manufacturing sector growth is affected by non-oil exports was evaluated using the Granger Causality technique. The Augmented Dicky-Fuller (ADF) and Phillips-Perron tests were applied to check the stationarity properties of the data.&#x0D; Results: The growth in the manufacturing sector in Nigeria has not been significantly affected by non-oil export despite the various non-oil export promotion strategies initiated by the government.&#x0D; Implication: A major implication of the finding is that the cost and access to financial services for non-oil exporters should be reduced or relaxed by the Central Bank of Nigeria. High-interest rates charged by commercial banks and little disbursement characterized by the volume of commercial banks credit affect manufacturing firms concerning acquiring modern plants and machinery which results in a poor quality of non-oil exports.

The Impact of Educational Expenditure on Ethiopian Economic Growth: Application of Vector Auto Regressive Model (VAR).

This study has been attempted to investigate the fundamental impact of educational expenditure on the economic growth of Ethiopia. The nature of data was dynamic in nature and it covers the time ranges of 1975/76-2011/12, implies that the study adopts time series data analysis and the data was collected from secondary sources. To analyze the data, both descriptive and inferential approaches was utilized. The study employed the Solow growth model as a bench mark to specify the econometric model. The model was specified by considering real gross domestic product as a dependent variable subject to gross capital formation, labor force, educational expenditure, export and inflation as an independent variable. Both Vector Auto Regressive (VAR) and Vector Error Correction model was undertaken as an analytical procedure. The Augmented Dicky-Fuller (ADF) test was used to test the stationary nature of variables, so that all variables are stationary at level and first difference except inflation at its level form. The variables were co-integrated and confirmed the existence of long run interdependency. The result of the study was evaluated from both short run and long run aspects. It revealed that all variables were statistically significant except levels of export in the long run. Therefore, educational expenditure (our target variable), inflation and gross capital formation significantly and positively affects growth in long run aspects of the VAR system. However, labor force negatively affects growth. In the short run, only educational expenditure and inflation affects growth positively and significantly. Thus, the responsible bodies should be able to improve the level of investment in the educational sector and focus on skill and ingenuity to increase productivity at the margin. Keywords : educational expenditure, stationary, impulse response, Vector Auto Regressive. DOI: 10.7176/JESD/11-21-02 Publication date: November 30 th 2020

POPULATION DENSITY, CO2 EMISSION AND ENERGY CONSUMPTION IN PAKISTAN: A MULTIVARIATE ANALYSIS

The objective of the research is to re-examine the influences of population density, energy consumption on CO2 emission in Pakistan. In addition, the effect of the growth and trade is also discovered in the study using Fully Modified Least Square (FMOLS) method from 1990 to 2014. Further, robust analysis is carried by utilizing Dynamic Ordinary Least Square (DOLS) method. Initially, unit root test is tested by Augmented Dicky Fuller test and Phillips-Perron (PP) test, and long run relationship is studied by Johansen Cointegration test. The outcomes of the research show the influential contribution of population density, energy consumption on environmental decay in Pakistan. Likewise, the other elements, which plays significant role in pollution, are growth and trade. The results of the robustness check also endorse population density and energy consumption are contributing CO2 emission in Pakistan. Therefore, the study recommends that population control should be the target of the government and limit and introduce environmentally friendly sources of energy.

Financial Integration, Domestic Investment and Growth of Pakistan Economy

This study, in the context of Pakistan, analyzes to which extent the financial integration and domestic investment are responsible for the phenomenal growth rate of Pakistan economy. The relationship is based on time series data covering a period from 1980 to 2018. In analytical techniques, the Augmented Dicky-Fuller unit root test for the stationarity of data, Johansen Co-integration for co-integrating factor, and Vector Error Correction Model (VECM) for phenomenal relation between domestic investment, financial integration and growth of Pakistan economy were applied. The results obtained through regression analysis were statistically significant and showed the effective role of the causality of domestic investment and that of financial integration on the economic growth rate of Pakistan economy. The effect of political and economic stability captured through the dummy variable also shows an impressive role in the growth of Pakistan's economy. The study recommends that sturdy efforts are required of the government of Pakistan for target investment especially in the agriculture and manufacturing sector for a more fruitful outcome.