Cointegration Analysis Research Articles

Export And Economic Growth in Tanzania: Co-Integration and Causality Analysis

Purpose: This study examines the co-integration and causal relationship between exports and economic growth in Tanzania using time series data from 1998 to 2018. Design/Methodology/Approach: Gross Domestic Product (GDP) was employed to measure economic growth, while exports of all products (from agricultural, industrial, and mineral products) were extracted from country trade statistics and employed as the independent variables. Data analysis was done after some tests, such as stationary tests, co-integration, regression analysis, and Granger causality. The stationary test result suggested using unrestricted vector autoregressive (VAR) analysis, followed by the Granger causality test. Findings: It revealed that those exports significantly influence Tanzania’s economic growth, which implies that an increase in exports provides the market for domestically produced goods and services and thus promotes more production and economic growth. The study further confirms that economic growth does not significantly influence exports from the country. However, it was further revealed that the causality between export and economic growth is not bi-directional. Research Limitation: Historical data may not reflect current economic conditions. Hence, there were restricted degrees of freedom when adopting complex modelling. Practical Implication: Promoting more exports will encourage domestic producers to increase production, eventually fuel economic growth. Social Implication: The study recommends that policymakers develop strategies for increasing the diversity of exported products and local production capacity. Originality/Value: The novelty lies in integrating Granger causality testing with cointegration analysis for Tanzania's trade context. These novelty aspects contribute to methodological advancement and practical understanding of Tanzania's economic dynamics, providing valuable insights for policy formulation and future research.

Renewable energy consumption, institutional quality and life expectancy in EU countries: a cointegration analysis

BackgroundAlthough some socioeconomic, environmental, and political factors could impact life expectancy, the economic literature loses sight of the relationship between the widespread adoption of renewable energy technologies and their potential effect on global life expectancy. An insightful analysis of the socio-economic and environmental benefits associated with renewable sources forms the foundation for investigating the broader implications for public health and well-being. Using panel data from 27 European countries over the period 2000–2020, this study examines the effects of renewable energy consumption on human life expectancy as well as how institutional quality and investment in renewable energy projects might promote better health outcomes.MethodsThe methodological approach is carefully selected to address salient estimation issues and includes a qualitative sequential methodology involving empiric analysis that provides coherence and viability for our study, but also quantitative methods, including factor analysis, panel fully modified least squares (FMOLS), unit root tests, and cointegration techniques.ResultsWe find that renewable energy consumption and institutional quality can improve life expectancy in EU countries. Furthermore, the empirical evidence indicates that sustaining longevity as a new government strategy requires strong institutional quality, capable of influencing the status of renewable energy and promoting long-term sustainability.ConclusionsOur findings bear essential policy implications regarding sustaining longevity as new government strategies and exploring the scale of the target to increase healthy life expectancy. The entire EU health policy and the government's recommitment to narrowing the gap in healthy life expectancy should be focused on improving institutional quality and reducing carbon emissions through promoting projects capable of increasing renewable energy consumption. The results suggest that, on average, a 1% change in renewable energy consumption leads to a 0.331 change in life expectancy, and a 1% change in institutional quality leads to a 0.316 change in life expectancy.

Linkage between Crude Oil, Gold, INR-USD Reference Rate and Sensex amidst Covid-19 Pandemic: A Cointegration and Causality Analysis

The objective of the study is to assess the influence of tax digitalization on taxpayers’ voluntary compliance among medium-sized taxpayers in Tanzania by employing the relevant economic theories guiding the study. The study employs a mixed research approach, survey research design, which was conducted through interviews with 150 taxpayers in Tanzania. The analysis of the logistic regression model will involve a Cronbach’s coefficient test for reliability of the scale and a comprehensive literature review for validity of the content. The results of the research reveal that voluntary tax compliance is directly affected by tax digitalization. So, the government must reinforce the examination of tax payments, tax declarations, and tax repayments of companies. Moreover, the study concluded that voluntary tax compliance has a significant impact on increased government revenue.

Price interactions between capture fisheries and aquaculture: Evidence from India

Fish is probably the only major food product in the modern human food system for which wild harvests are still important in the market supply despite the rapid growth in production of farmed fish/aquaculture. The issue of substitution, or competitive interaction, between capture fisheries and aquaculture is of immense interest due to its role in determining market prices, livelihoods, and welfare in the two sectors. This is particularly true for a developing country like India where fisheries and aquaculture play an important role in livelihood creation, export revenues, and food security. India has also witnessed a remarkable increase in inland aquaculture production which is now the largest contributor to the country’s total fish production. In this article, we employ recursive cointegration analysis and time-varying copula estimations to analyze a novel dataset to describe the evolution in the relationship between the prices of inland capture fisheries and aquaculture products in India over time. Our results suggest an increased degree of market integration for inland fish products in India over time, though the degree of integration is lower for the capture fisheries products compared to the aquaculture products.

Impact of Oil Prices on BIST City Indices: Regional Differences in Company Performance

This article examines the impact of WTI crude oil prices on nine city indices traded on the BIST, using daily data from 2014 to 2024. The study employs unit root tests, cointegration analysis, and FMOLS estimation to investigate the long-term relationship between oil prices and city indices. The results indicate that oil prices and city indices exhibit a symmetrical and significant relationship in the long run, with different degrees of impact across city indices. The XSANT Index, comprising companies in and around Antalya province, is the most influenced by crude oil prices, whereas the XSIST Index, comprising companies in Istanbul province, is the least affected. The findings have important implications for investors and policymakers who need to monitor oil price fluctuations and their effects on financial market indices.

Long-run Relationship Between Türkiye and SHANGHAI Cooperation Organization Stock Markets: Cointegration Analysis

This study investigates the presence of long-run cointegration relationships between the Turkish Stock Market and the stock markets of the Shanghai Cooperation Organisation (SCO) member countries. In a period of stagnation in the EU membership negotiations, Türkiye's shift towards Eastern markets is noteworthy. Using a dataset covering the period from January 2014 to December 2023, this research applies various econometric analysis techniques such as Augmented Dickey-Fuller test, Johansen Cointegration Test and Granger Causality Test to examine the dynamic relationships between these markets. The findings from these analyses indicate that there is a significant long-run cointegration relationship between Borsa Istanbul and Moscow and Shanghai Stock Exchanges. This highlights the opportunities for strategic investment and portfolio diversification in these regions

Determinants of Abortion Behavior of the Population of Russian Regions

Induced abortion remains among main methods of birth control. This method, called "abortive (abortion) behavior", is one of the reasons for the low birth rate in Russia in the late 20th century and the first quarter of the 20th century. The relevance of this study is due to the need, firstly, to constantly focus public discourse on abortive behavior as a threat to Russia's demographic security and, secondly, to search for reserves for Russia's demographic development in the context of a decrease in the number of women of reproductive age. This article, written by an economist, is devoted to the determinants of the abortion rate in Russia and its regions. To econometrically test the author's assumptions about the determinants from official statistics, a panel of 82 regions for 2000-2022 was formed. Some determinants turned out to be non-stationary. To test the idea of a long-term, equilibrium relationship between the non-stationary abortion rate (the number of abortions per 1,000 women aged 15–49) and non-stationary determinants, a cointegration analysis was used. The result is a cointegrating equation for the abortion rate, which showed that conservatives, if not catalysts, of the abortion rate were the growth in the share of the population with less than a college education and (to a lesser extent) the growth in the incidence of major disease classes, while the inhibitor was the growth in total living space per capita. Among the determinants selected by the author, there are stationary ones. Having transformed the abortion rate into a stationary variable by taking the first difference, the author regressed it on these determinants to identify the short-term relationship between them. Per capita consumer spending had the greatest short-term effect. As it increased, the abortion rate decreased. Per capita cash income, the volume of paid services to the population, the share of the population with cash income below the poverty line and the share of alcohol in consumer spending turned out to be stimulators of abortion behavior in the short term.

Industrial policy and complexity economics

Mainstream theory underlying industrial policy highlights the neoclassical and structuralist approaches. The discussion on structuralist theories readily segues to complexity economics where industrial policy foments structural transformation by creating reinforcing feedback loops, particularly among manufacturing, exports, and investment. Empirical evidence is provided by applying panel cointegration analysis to investigate coevolution patterns among the following variables: investment-GDP ratio, exports-GDP ratio and manufacturing-GDP ratio. Econometric estimates show that there is indeed a long-run relationship that is bidirectional among the three variables. However, this is only a necessary condition for reinforcing feedback loops to materialize. Idiosyncratic factors in each country determine whether industrial policy has led to growth-oriented feedback loops. In the Philippines, despite interventions to boost manufacturing, no growthoriented loop was established because of inadequate investment, particularly in infrastructure. Moreover, exports were hampered by the poor record in latching on to regional production networks. The Republic of Korea has had more success than Malaysia because it strengthened its innovation system. The missing link in Malaysia is own-technology creation.

Impact of human capital development and economic growth in Nigeria

This study examined the impact of human capital development and economic growth in Nigeria using time series spanning from 1986 to 2021 which were sourced from the Central Bank of Nigeria (CBN) Statistical Bulletin and from the Statistical and Nigeria Education Management Information System, Educational planning, Research and Development office of the Federal Ministry of Education, Abuja. It was set out to explore the relationship between human capital indicators (primary school enrolment, government expenditure on education and government expenditure on health) and economic growth (gross domestic product). The study employed Autoregressive Distributed Lag (ARDL) bounds testing approach to Co-integration analysis to estimate the relationship among the variables used in the study. The study established long-run co-integration among the variables. The findings from the study revealed that there is strong positive long-run relationship among primary school enrolment, government expenditure on education, government expenditure on health and economic growth though not statistically significant while only government expenditure on education and economic growth is statistically significant. In line with the findings, the study recommended that government and all stakeholders should make conscious effort to curb the menace of increasing out of school children which is regarded as “a time bomb” in order to increase primary school enrolment in Nigeria. Government should also improve her expenditure on education in providing educational infrastructure, training and retraining of teachers at all levels in the country so as to sustain long-run economic growth. Furthermore, effort should be made towards increasing budgetary allocation to health sector for continuous growth sustainability.

Exploring the Relationship Between GDP, Carbon Dioxide Emissions, Energy Consumption, Population, and Renewable Energy Production Using Canada as a Model Country

This study explores the complex relationships between population growth, gross domestic productivity (GDP), carbon dioxide (CO2) emissions, primary energy consumption, and renewable energy (RE) production in Canada from 1950 to 2021. Using time-series econometric techniques, including Ordinary Least Squares (OLS), Vector Autoregressive (VAR) models, and cointegration analysis, the research investigates how these variables interact over time and their implications for environmental sustainability and economic development. The results indicate that population and GDP growth significantly increase primary energy consumption and CO2 emissions, emphasizing the need for cleaner energy sources. While the positive correlation between population growth and renewable energy production presents opportunities for reducing carbon footprints and fostering economic resilience, there are also risks of overexploitation of renewable resources if energy demand outpaces sustainable supply. The study highlights the importance of sustainable resource management and policy frameworks to ensure that economic growth does not compromise environmental integrity. These findings provide critical insights for policymakers in balancing economic development with environmental sustainability, advocating for increased investment in renewable energy and implementing energy-efficient practices. Future research should expand this analysis to other countries and explore the differentiated impact of various renewable energy sources on economic and environmental outcomes.

Central bank balance sheet and inflation in a euroised small open economy: a cointegrated SVAR analysis

Central bank balance sheet and inflation in a euroised small open economy: a cointegrated SVAR analysis

Remittances and Economic Growth in North Africa: A Panel Cointegration Analysis

Remittances and Economic Growth in North Africa: A Panel Cointegration Analysis

Macroeconomic Determinants of BIST100: A Study Using Fourier and Asymmetric Causality Methods

This study examines the relationship between the Borsa Istanbul (BIST) 100 index, a key indicator in the Turkish financial markets, and selected macroeconomic variables, including gold prices, inflation, money supply and the VIX fear index. Fourier-based asymmetric causality tests and cointegration analysis are used to assess the long-run and short-run effects of these variables on the BIST 100 index. The results show a strong negative relationship between gold prices and the BIST 100 index, while inflation has a positive impact on the stock market. Although the money supply does not have a direct effect on the markets, it can promote optimism when considered alongside inflation and other economic activity. The VIX index has no significant effect on the BIST 100. These findings underscore the importance of understanding the role of macroeconomic variables in stock market dynamics, providing both investors and policymakers with critical insights for making strategic decisions.

A STAR-based Cointegration Analysis of Globalization and Air Transport in Türkiye

This study employs the smooth transition autoregressive (STAR) model-based cointegration tests developed by Kapetanios et al. (2006) and Maki (2010) to investigate the long-term relationship between air transport and globalization, including its economic, social, and political dimensions in Türkiye. STAR models reflect the smooth nature of real-world processes and can capture the complex and nonlinear relationships between variables that linear models struggle to represent effectively. We offer a novel methodological approach to examine the relationship between air transport and globalization in Türkiye, providing valuable insights for policymakers and researchers. Our empirical results reveal a long-term equilibrium relationship between air transport and overall globalization and the economic and political dimensions of the globalization index. These results imply that both variables move together in the long run. However, no cointegration was found between air transport and the social dimension of globalization.

Spatial integration of major wholesale potato markets of India: A cointegration analysis

Spatial integration of major wholesale potato markets of India: A cointegration analysis

Energy Price Impact on BRIC Stock Markets: A Granger Causality Analysis

Energy prices and the stock market are two of the crucial factors in the evolving landscape of global finance, particularly in major emerging economies. However, research on how energy price changes impact stock markets in BRIC countries remains limited, despite their diverse roles in global energy markets and economies. This study investigates the causal dynamics between energy prices and stock market performance in BRIC countries, aiming to uncover short-term fluctuations and long-run relationships in these major emerging economies. Utilizing daily data from 2013 to 2023, stationarity tests, cointegration analysis, and Granger causality tests are employed to examine these relationships. Key findings reveal weak evidence of a long-run equilibrium between energy prices and stock market indices, challenging previous assumptions about their cointegration. More significantly, the findings uncovered a strong unidirectional Granger causality from oil prices to all BRIC stock market indices, while gas prices show a more selective influence. Notably, no evidence of reverse causality from stock markets to energy prices was found, highlighting the exogenous nature of global energy prices in relation to BRIC stock markets. This study uniquely analyzes oil and gas price effects on BRIC stock markets, offering insights for investors and policymakers amid increasing commodity-financial market integration. Doi: 10.28991/ESJ-2024-08-06-015 Full Text: PDF

Investigation of Pollution Haven Hypothesis for China: A Fourier ADL Cointegration Analysis

Purpose: This study tests the Pollution Paradise Hypothesis by examining the role of FDI and economic growth on China's load factor over the period 1979-2021. The main objective of this study is to assess the environmental impact of FDI and economic growth in China. Design/Methodology: Various econometric analyses have been carried out to examine FDI, economic growth indicators and the freight capacity factor. In this context, conventional ADF and Fourier ADF unit root tests were applied to the freight capacity factor, FDI and economic growth series and then to the shocks to these series. Findings: In conclusion, it is emphasised that in order to achieve sustainable development goals in China, policy makers should adopt more effective environmental sustainability policies, taking into account the impact on FDI and economic growth. Limitations: It tests the Pollution Paradise hypothesis by examining the role of FDI and economic growth on the load factor in China. The research is therefore specific to China. Originality/Value: This study aims to contribute to the literature by assessing the environmental impact of FDI in China in a more holistic way, and from a perspective that has not been analysed before.

The Influence of Tourism on the UAE’s Energy-Related Climate Goals: Cointegration Analysis

ABSTRACT Recently, one of the most important highlighted topics is the vulnerability and interaction of tourism and climate change. In this context, the present paper focuses on how variations in tourism development impact carbon dioxide (CO2) emissions, which are the main contributors to global warming and climate change by using the Fourier Autoregressive Distributed Lagged (FADL) approach and the impact of the number of tourists and tourism expenditures on CO2 was analyzed with two separate Bootstrap Quantile regressions in the case of the United Arab Emirates (UAE) spanning 1995–2022. The study further applied the Fourier Toda Yamamoto Causality analysis. The results indicate that both the number of tourists and their spending positively impact CO2 and these two models verify one another. The number of tourists, tourism spending, and CO2 have a one-way causal relationship.

Effect of Food Exports on Economic Growth: Fresh Insights from Italy

This paper aims to explore the relationship between food exports and economic growth in Italy. To achieve this objective, we utilize annual data spanning from 1990 to 2021, employing cointegration analysis and the ARDL Model. The empirical findings reveal a positive impact of food exports on long-term economic growth. However, despite this positive correlation, our examination of stylized facts uncovers a downward trend in the share of food exports over the analysis period. While acknowledging the role of food exports as a contributor to economic growth, this underscores the need for the Italian authorities to acknowledge the sector’s significance and implement new economic policies and trade reforms to fortify this area of economic activity.

An Empirical Investigation of the Twin Deficit Problem and the Feldstein-Horeka Hypothesis: A Case Study of Jordan

This study explores the correlation between budget deficits and current account deficits, as stated by the twin deficit hypothesis, in the specific setting of Jordan’s economy. The Keynesian view proposes that budget deficits lead to current account deficits, whereas the Ricardian equivalence theory disputes this idea. Additionally, the research examines the Feldstein-Horioka hypothesis from 1980 about the connection between saving and investment. By using cointegration analysis, this study demonstrates a lasting connection between budget deficits and current account deficits, providing evidence for the Keynesian perspective. The findings support the twin deficit theory’s applicability to Jordan’s economic situation and strengthen the Keynesian view on the relationship between the current account, budget deficit, and investment. Moreover, the existence of a negative correlation coefficient of less than 1 linking investment and saving supports the Feldstein-Horioka hypothesis, pointing to Jordan’s inclusion in international capital markets.