Cointegration Relationship Research Articles

The relationship of economic growth, income inequality and poverty: a study on developing countries

This study aims to examine the relationship between income inequality, poverty and economic growth in selected eight developing countries determined by the World Bank's Atlas method between 2000 and 2020. The problem of the study is the increasing and deepening income inequality and poverty in developing countries in recent years. In this context, panel data analysis was chosen to reveal the relationship between income inequality, poverty and economic growth in developing countries, and a wide data set such as gini coefficient, head number index, per capita national income, democracy index, human development index and misery index was used. Income inequality, poverty and economic growth were analyzed with three different models) and compared with each other. Considering the results of the analysis, the Durbin-Hausman cointegration test was conducted to reveal the existence of a long-term relationship between the variables, and the existence of a long-term cointegration relationship between the variables was determined. According to the results of Dumitrescu Hurlin causality test, a bidirectional causality relationship was found between the variables. According to panel regression analysis, it was determined that while per capita increases in national income increase income inequalities, increases in democracy and per capita income reduce poverty, and increases in democracy index increase per capita income. According to the results, various social, economic and political policies have been proposed to reduce income inequality and poverty and increase economic growth.

On the factors influencing the ecological footprint: using an asymmetric quantile regression approach

PurposeIn the new global economy, environmental degradation is still among the crucial struggles braving policymakers. The intention of the current analysis, therefore, is to investigate the asymmetric impact of energy use, trade openness, population changes and urbanization, on the ecological footprint (EF) in four ASEAN countries by using time span data extending from 1972 to 2018.Design/methodology/approachThe stationarity of the variables was first demonstrated by using a quantile autoregression unit root test. Then the cointegration relationship among quantiles was verified. In the third step, this study investigated the pattern of causality in quantiles which allowed them to model any locational asymmetry in such a relationship. In the final part of the paper, the asymmetric quantile approaches the methods adopted to address the ways in which the considered variables impacted on the EF.FindingsThe outcomes demonstrated that the estimated coefficient of the variables was generally found significant and in line with the expected impact sign. Likewise, locational asymmetry was detected from the fact that the considered variables at the upper tails did not operate in the same way as those in the lower ones. In this case, the results suggest that a rise in energy consumption, as well as a negative shock to economic growth and/or trade openness, all diminish environmental quality. In contrast, promoting economic growth, a positive shock to trade openness, and human capital reduce environmental degradation.Originality/valueAs far as is known, the current study among the early attempt to explore the asymmetric impact of trade openness, energy use, population changes and urbanization, on the EF in the ASEAN countries.

Portfolio diversification possibilities of cryptocurrency: global evidence

ABSTRACT This article explores the cointegration, co-movement, and causality relationships amongst the equity, debt, and cryptocurrency markets to determine the risk diversification possibilities of an investment portfolio. We employ daily data extracted from the Bloomberg data terminal from 2 August 2017 to 2 June 2022 to investigate the short- and long-run relationships between these markets. Indices from the U.S.A., Europe, China, Australia, and Japan are selected as the proxies for the analysis. The autoregressive distributed lag (ARDL) model, followed by unit root testing in the presence of structural breaks, indicates no long-run relationship among six financial variables and the cryptocurrency market. Although the Toda Yamamoto causality test does reveal unidirectional causality running from European and Chinese markets to the cryptocurrency market, we find no evidence to prove the existence of any bidirectional causality between markets. Furthermore, we use the R-squared metrics to analyse the market behaviour and co-movement between the cryptocurrency market and other financial markets. The test findings exhibit a lower level of co-movement behaviour. Our overall results suggest potential portfolio diversification possibilities between cryptocurrency and financial markets based on Modern Portfolio Theory (MPT).

Environmental impact of foreign direct investment in Turkey: does the quality of institutions matter? Evidence from time series analysis using the Fourier extension.

Since the 1980s, Turkey has experienced a significant increase in both foreign direct investment (FDI) and its ecological footprint (EFP). While FDI is widely acknowledged as a pivotal driver of economic growth, its impact on environmental degradation is multifaceted and debated. Moreover, a country's institutional framework plays a key role in shaping this relationship. Yet, the influence of institutional structures on the FDI-environment nexus is often neglected in current literature. In this study, we investigate the environmental implications of FDI in Turkey from 1984 to 2018, employing time series analysis with a Fourier extension and accounting for institutional quality. Fourier function models give more effective results in modeling structural breaks. We first use Fourier techniques to assess the unit root and cointegration relationship. Upon establishing cointegration, we employ the DOLS estimator, extended with Fourier terms, to determine the long-term coefficients. We then assess the causal relationship between the variables using the Fourier causality test. Our findings indicate that while FDI exacerbates environmental degradation (supporting the pollution haven hypothesis), the interaction term of FDI-institutional quality mitigates this degradation (supporting the pollution halo hypothesis). Given these empirical findings, this study suggests that strengthening Turkey's institutional quality has the potential to amplify the environmental advantages of FDI, alongside its economic benefits.

Applicability Analysis of Purchasing Power Parity to RMB Exchange Rate

This paper takes purchasing power parity(PPP) theory and RMB exchange rate as the research object. First, it uses policy analysis method, deviation degree method, real exchange rate method, and definition method to study the applicability of purchasing power parity theory in my country. Then, it selects monthly data from January 1994 to December 2022, and uses Johansen cointegration test method to test the multivariate cointegration relationship between the exchange rate of US dollar against RMB and the Sino-US price index. According to the research findings, a cointegration relationship exists among the three variables, but the experimental results are inconsistent with the theory. The final conclusion is that purchasing power parity still can't explain our country's exchange rate changes very well, but the feasibility of PPP in our country has been enhanced.

The Impact of the Natural Resources Rents on the Economic Growth: The Case of Qatar

This study aimed to measure the impact of natural resource returns on the economic growth in Qatar, in an attempt to find out whether the resource curse is valid in this country which is abundant in natural resources, especially oil and gas. For this purpose, ARDL model and the time series for the period (1985-2017) were used. The experimental results of the study showed a co-integration relationship between the returns of natural resources and the economic growth in Qatar. The empirical findings of the study show that the natural resources have a negative and significant impact on the economic growth in the long run. Therefore, we can say that the risks of the resource curse apply to Qatar.

The Nexus between Foreign Direct Investment and Electricity Consumption in South Africa

The study investigates the nexus between foreign direct investment inflows and electricity consumption in South Africa. The study utilized borrowed time series data sourced from the World Bank and South African Reserve Bank spanning from 1970 to 2020. The study employs a Fully Modified Ordinary Least Squares (FMOLS) and Dynamic Ordinary Least Squares (DOLS) models to investigate the nexus between foreign direct investment inflows and electricity consumption in South Africa. The results of the Johansen cointegration test revealed the presence of cointegration relationships between the variables in the study. The results of the FMOLS and DOLS revealed negative statistically significant and insignificant relationship between electricity consumption and foreign direct investment inflows in South Africa, respectively. Other results revealed that economic growth has a positive statistically significant relationship with foreign direct investment inflows. The Granger causality results revealed unidirectional causality running from economic growth to foreign direct investment inflows. The study recommends that the government and policymakers must revise policies on electricity consumption and economic growth to attract foreign direct investment inflows in South Africa.

Financial inclusion and environmental pollution in Türkiye: Fresh evidence from load capacity curve using AARDL method.

Sustainability is an important concept for the whole world. Generally, in order to measure the sustainability of the environment, carbon dioxide emissions and ecological footprint indicators are used. However, these variables do not reflect the supply side of natural resources. Therefore, load capacity factor is an important environmental indicator for a sustainability. Environmental assessment based on the load capacity factor is more meaningful. Besides, improved access to financial services can contribute to environmental sustainability. The effect of financial inclusion on the load capacity factor in Türkiye has not been examined in the current literature. In this context, this study analyzes the impact of financial inclusion, hydropower energy consumption, and life expectancy at birth on environmental sustainability from a different perspective by focusing on load capacity factor. To this end, this study used the newly developed Augmented ARDL method to determine the cointegration relationship between the series and measure the values of the long-term coefficients. Based on the Augmented ARDL method, there is a cointegration relationship between the series. In the long run, hydropower energy consumption reduces pollution, while financial inclusion decreases load capacity factor. The effect of life expectancy at birth on pollution is not significant. Moreover, the results reveal that the load capacity curve hypothesis is valid in Türkiye. As a result, the Turkish government should promote renewable energy sources, especially hydropower energy consumption, align financial services with pollution reduction measures, and contribute to the creation of an environmentally conscious society.

Nexus between renewable energy and economic growth in G7 countries: New insight from nonlinear time series and panel cointegration analysis

This study aims to investigate the impact of renewable energy consumption on the economic growth of G7 countries and explore the potential nonlinear relationship between the two variables. Initially, the NARDL model is employed to analyze the G7 countries, allowing for the control of nonlinear relationships and considering asymmetric effects. The findings of the NARDL model reveal an asymmetric long run cointegration relationship between renewable energy consumption and economic growth in Canada and the US, while other countries show different dynamics. Subsequently, a causal dynamic impact analysis is conducted to gain further insights into the relationship between renewable energy consumption and economic growth. In the next step, the advantage of panel data analysis is utilized to investigate the overall impact across all G7 countries. For this purpose, the study extends the NARDL model to the PNARDL (Panel Nonlinear Autoregressive Distributed Lag) model, which facilitates the control of asymmetric effects and nonlinearity in the panel data model. In this context, this study is one of the first studies to control the nonlinearity in panel data analysis. The results from the PNARDL model demonstrate that renewable energy has a positive long-term relationship with economic growth in G7 countries; however, this relationship is statistically insignificant.

Testing the Cointegrating Relationship between Foreign Exchange Rate Volatility and Government Health Expenditure

This paper examined the relationship between government health care expenditure and foreign exchange rate volatility in Nigeria for the period 1993-2022. We employed the multivariate cointegration technique proposed by Johansen and found the existence of at least one cointegrating vector describing a long run relationship between government health care expenditure and foreign exchange rate volatility. It is therefore suggested that an appreciable proportion of the national budget be allocated to the health care services to have a more robust health care programmes capable of fostering health development in Nigeria. The research was conducted with an objective to understand the dynamics between healthcare expenditures and the volatility in foreign exchange rate with a focus on Nigeria, enabling better policy making. The overall conclusion is that the Nigerian government health expenditure is largely dependent that its healthcare policy is not stable and sufficient is not largely dependent on volatility foreign exchange rate. However, government health expenditure is a concern for Nigeria.

Research on Co-movement Between China and USA Stock Market under the Impact of COVID-19

The worldwide economic market has fluctuated wildly due to COVID-19, therefore revealing the co-movement of international stock markets should reduce its destructive force and shock. Based on the "Economic Basic Hypothesis" and "Market Contagion Hypothesis," this work uses VECM and GARCH models to examine international market volatility using the Shanghai Composite Index (SSEC), Shenzhen Composite Index (SZSE), and S&P 500 index. The total trading data of three indexes are divided into 2 periods, with September 01, 2019 as the cut-off point. The period 1 is from January 5, 2015 to August 30, 2019 and the period 2 is from September 3, 2019 to December 30, 2022. The study shows that: 1) During the COVID-19, the short-term return of both stock markets has declined and volatility has increased; 2) there is no reliable co-integration relationship between S&P 500, SSEC and SZSE which also declaims no long-run equilibrium between two markets; 3) before and during the COVID-19, the close to close return rate of America stock market guided the return rate of China stock market; 4) both S&P 500, SSEC shows an asymmetric effect and the leverage effect is distinct; 5) the co-movement was stronger when the rate of return was relatively high; 6) volatility spillover effect of China to USA stock market was significant.

Fiscal deficit in sub-saharan Africa: A new intuition from the institution and political drivers.

Motivated by the growing fiscal deficits in sub-Saharan Africa, this study examines fiscal deficit's economic, political, and institutional drivers using a panel of twenty-three sub-Saharan African countries. Panel spatial consistent correlation, dynamic fixed effects autoregressive distributed lag, and feasible generalised ordinary least squares were used as the estimation techniques. Our findings reveal that while per capita income, trade openness, population, and religious tension increase the size of fiscal deficit, bureaucracy quality, government stability, Law and order, and military in politics reduce the extent of fiscal deficit. However, corruption control, democratic accountability, and internal conflict have weaker statistical evidence. Furthermore, the study established evidence of long-run co-integration relationships among institutional factors, economic factors, and fiscal deficits in SSA. Per capita income has a significant positive influence in the short run but a negative effect in the long run. Population and religious tension positively impact fiscal deficit in both periods. However, democratic accountability, government stability, and the military in politics significantly negatively impact fiscal deficit in the long run. This study concludes that beyond economic factors, institutional and political factors are significant drivers of fiscal deficit in sub-Saharan Africa. Therefore, strengthening the institutional quality and creating a stable political environment would lessen the accumulation of fiscal deficit.

THE INFLUENCE OF SHORT-TERM AND LONG-TERM FACTORS ON THE DEVELOPMENT OF KEY SECTORS OF THE SOCIO-ECONOMIC SPHERE OF THE ALTAI KRAI

A prerequisite for the stable progressive development of the economy at any level is the predictability of the behavior of its elements. In modern conditions, the economy of the region can be affected by both external factors and internal changes.
 The purpose of the study is to identify short-term and long-term factors affecting the development of key indicators of socio-economic development for the region. The article presents the results of modeling the influence of these factors on the indicators of the main economic sectors of the region and the social sphere.
 The obtained results are provided by the application of econometric methodology. In particular, the methods of checking for a unit root are used, taking into account possible nonlinearity, seasonality and the presence of structural breaks, Granger causality, nonlinear cointegration relationship.
 Thus, the hypothesis of a nonlinear long-term relationship between nominal accrued wages and the consumer price index has been confirmed, a long-term relationship between the coefficients of natural and migration growth, a causal relationship between the development of the main sectors of the economy of the region with the external price environment has been revealed.
 Further steps are proposed to develop the results obtained, in particular, in the development, modification and control of the implementation of strategic planning documents of the region.

Renewable energy generation, agricultural value added and globalization in relation to environmental degradation in the five most populous countries in Asia

This study aims to examine the impact of globalization, renewable energy generation, and agricultural value addition on the ecological footprint (EF) and carbon emissions (CO2) of selected five most populous countries in Asia during the period 1975–2020. The Westerlund cointegration test supports long-term cointegration relationships among the considered variables in selected countries. The long-term elasticity results of the mean group, augmented mean group, and common correlated effects mean group estimators clearly show that agricultural value added and globalization make significant contributions to the ecological footprint and carbon emissions of the five most populous countries in Asia. However, renewable energy generation significantly reduces the ecological footprint and carbon emissions. Moreover, the impact of gross domestic product (GDP) on ecological footprint and carbon emissions is significantly positive while the impact of GDP2 on ecological footprint and carbon emissions is significantly negative, thus validating the inverted U-shaped Environmental Kuznets Curve hypothesis for specific Asian densely populated countries. The results of the causality test indicated a two-way causality between renewable energy generation and ecological footprint, supporting the feedback hypothesis. There is also a two-way causal relationship between agricultural value added and ecological footprint. Overall, these empirical results show that renewable energy plays a prominent role in combating environmental pollution in selected densely populated Asian countries. Thus, these countries should achieve their sustainable development goals by cultivating existing renewable energy generation policies. Moreover, specific densely populated countries in Asia should encourage clean energy production and consumption in the agricultural sector, and increased investment in renewable energy can improve environmental quality and agricultural production.

Evaluation of China-ASEAN trade status and trade potential: An empirical study based on a gravity model.

The objective of this study was to identify factors influencing the development of China-ASEAN trade- from the total economic volume of both sides, distance, the population size of ASEAN countries, the construction of a free trade area, and the signing of the Belt and Road initiative, resource endowment per capita, the exchange rate between RMB and ASEAN countries, and the land area of ASEAN countries-to develop a conceptual framework for China-ASEAN trade potential. This study uses panel data from 2001 to 2021 that is evenly distributed among 10 ASEAN countries to serve as the dataset. Firstly, the unit roots are checked and the cointegration relationships are examined, focusing on the heterogeneity test. Based on the classical trade gravity model, the innovative trade gravity model with key influencing factors is constructed. On the basis of the classical trade gravity model, an innovative trade gravity model of key influencing factors is constructed. The trade potential model is used to calculate the direct trade potential coefficient between China and ASEAN countries, which points out the direction for the sustainability of bilateral trade. This study finds that among the factors affecting China-ASEAN bilateral trade, the total economic output of both sides, distance, population size of ASEAN countries, the construction of the FTA, and the signing of the Belt and Road Initiative all have a positive impact on bilateral trade. Three influencing factors, namely per capita resource endowment, exchange rate between RMB and ASEAN countries, and the size of ASEAN countries, have a negative impact on bilateral trade, but to a lesser extent. The trade potential between China and Vietnam falls into the category of potential re-modelling, indicating that both sides are currently utilizing their trade potential to the greatest extent possible, that trade growth space is limited, and that new trade opportunities must be discovered. The trade potential index between China and nine ASEAN countries, excluding Vietnam, is in the potential-exploiting category, indicating that the potential has not been fully utilized by both sides and that there is still room for growth in the scale of trade between the two countries. With the shift of the world's economic center of gravity in the direction of Asia following COVID-19, China and ASEAN countries should seize the opportunity to strengthen their comprehensive strength and economic aggregates and further develop China's constructive role in the regional organization. The signing of the Belt and Road Initiative and the construction of a free trade zone has had a positive effect on the development of bilateral trade. Propose that: positive trade factors should continue to be strengthened, trade barriers should be removed, and new dynamics of bilateral trade growth should be enhanced.

A predictive modeling for health expenditure using neural networks strategies

The rising cost of healthcare has become a global concern and is a significant challenge for low and middle-income countries, including Jordan. This study aims to develop new neural network models for predicting total health expenditure (EH) in Jordan over the period of 1990–2021. In the first part, the input factors will be selected by examining the relationship between EH and its determinants using various econometric models, including Auto-regressive Distributed Lag Models (ARDL), Error Correction Model (ECM), diagnostic tests, and causality tests. In the second part of the study, we used the selected variables with two neural network models, the Adaptive Neuro-Fuzzy Inference System (ANFIS) and the Hybrid Neural Fuzzy Inference System (HyFIS), to predict the output variable (EH). The input variables are the number of physicians (NM), the number of beds in hospitals (NB), the population size (POP), and the consumer price index (CPI). The findings of this research show that the EH and its determinants exhibit a short and long-run equilibrium link as well as a logical cointegration relationship according to the ARDL boundary test. The results also find that the HyFIS model is more accurate compared to the ANFIS model in predicting total health expenditure. The results also showed that the (HyFIS) model provides the best prediction of health spending compared to the (ANFIS) model based on the error criteria including five measures: mean error (ME), root mean squared error (RMSE), mean absolute error (MAE), mean percentage error (MPE), and mean absolute percentage error (MAPE).

전력 수요 시계열 분석과 장기예측

This study considers the time series characteristics in residential electricity demand function and forecasts long-run electricity demand in Korea. It is widely known that electricity demand and its determinants are unit root processes, so that estimating and forecasting the electricity demand function based on cointegration relationship are common in empirical analyses. We apply unit root tests on monthly time series data for the period 2006:01-2022:12. Korea has experienced the rapid development and social changes over this period, which provides convincing evidence of the possibility of structural changes. The unit root test of Dickey, Fuller (1979) tends to be biased in favor of non-rejection of the unit root null hypothesis if the process considered is trend-stationary with a slope change. What we found is that electricity demand and its determinants are trend-stationary processes allowing for a slope change, whereby there is no need to invoke either cointegration regression model or error-correction model under the unit root assumption. We apply a regression model with a structural change to estimate the residential electricity demand function and forecast the long-run electricity demand for the period 2023-2050.

Government Spending And Economic Growth Nexus In Sub-Saharan Africa: An Econometric Analysis

Proponents of larger governments argue that government programmes provide essential public goods like education and infrastructure, which, in turn, stimulate the economy. On the other hand, individuals who advocate for more limited government assert that an increase in public spending will be detrimental to economic expansion due to the fact that many functions of government are inefficient and not in the public interest. Secondary data from World development indicator variables spanning from 1985 to 2021 were analysed. The dependent variable for the study was GDP per capita and the independent variables were institutional quality, government expenditure, capital stock and trade openness. The model used for the study are Pearson correlation, Pesaran's , Friedman's and Frees' cross sectional dependency test, IPS and CIPS unit root test, Pooled Mean Group and Dynamic Fixed Effect regression to test for the long-run cointegration and short-run relationship in 32 African countries. The results of the study suggest that there exists a long-run and short-run relationship between government expenditure and economic growth. Additionally, the study emphasises the importance of institutional quality as a significant determinant of this relationship. Therefore, it is recommended that all accessible government funds be allocated towards the objective of establishing durable and self-sufficient infrastructure.

가구수 변화가 주택가격에 미치는 영향에 관한 연구

This paper empirically investigates the effect of the number of households on housing sales prices from a long-run perspective using the DOLS(Dynamic Ordinary Least Squares) model. Estimation results show that most of the variable estimators included in the DOLS model are consistent with the theoretical sign and are statistically significant at the 1% significance level. First, it is found that a cointegration relationship exists between housing prices, the number of households, the population, the average wage of regular workers, and the interest rate of mortgage loans. Second, the growth rate coefficient of the number of households representing the number of households showed a positive(+) value, and the t-value was greater than 2, so it was statistically significant at the 1% significance level. This means that a 1% increase in the number of households will increase housing prices by 0.18% in the long run. Therefore, for housing policies to show significant effectiveness in stabilizing housing prices, It is necessary to proactively implement housing policies by developing a prediction and evaluation simulation model based on close monitoring of the trend of growth rate of households.

RENEWABLE ENERGY AND THE STATE OF ENVIRONMENTAL QUALITY IN NIGERIA

The study aimed at examining the effect of renewable energy on quality of the environment in Nigeria from 1980 to 2019. The ARDL bound test of cointegration shows the presence of a cointegration relationship among the analyzed variables. In the long run renewable energy is related negatively with to CO2 emissions, meaning that an increase in renewable energy enhances the quality of the environment by reducing the number of CO2 emissions in the long run while in the short-run renewable energy is positively related to carbon emissions, meaning that increases in the number of renewable energy deteriorate the quality of environment in the short run. The Granger causality test proposed by Toda and Yamamota (1995) reveals that a bidirectional causal relationship exists between renewable energy and the number of CO2 emissions, meaning that changes in renewable energy affect the quality of environment and at the same time changes in the quality of environment affect the renewable energy in Nigeria. Policymakers should implement a multilateral mechanism to ensure energy efficiency and to promote the use of renewable energy.