Cointegration Relationship Research Articles

Tax Buoyancy in Indonesia: An Evaluation of Tax Structure and Policy Reforms

This study investigates tax buoyancies in Indonesia. It analyzes the cointegration relationship between the regional gross domestic product (RGDP), along with several control variables, and tax revenues. Focusing on personal income tax (PIT), corporate income tax (CIT), and value-added tax (VAT), it employs a dynamic analysis from 2015 to 2021. This research utilizes the Wald test to evaluate long-term buoyancies and the PMG-ARDL model to assess tax dynamics and cointegration coefficients. The results revealed tax revenues’ consistent tendency toward equilibrium in the long term, with fluctuations across Indonesian provinces. PIT displayed the highest buoyancy and adjustment speed, followed by VAT and CIT. This analysis highlights tax types’ diverse responses to underlying factors, offering crucial insights into fiscal dynamics. The research illuminates the intricate relationship between economic indicators and tax categories, providing valuable lessons for future policies, especially concerning structural changes like tax amnesty programs and tax rate modifications.

The Impact Of Islamic Financing Products On Islamic Banks Profitability: Case Of Al Rayan Bank (Qatar)

This study aims to determine the effect of islamic financing products on Islamic banks profitability of Al Rayan Islamic Bank. This research uses Quarterly data of Al Rayan Bank for 2011Q1-2023Q1.The variables used in this study are independent variables, Musharaka, Murabaha, Istisna’a and Ijarah financing. While the dependent variable is, the Islamic bank's profitability measured by (ROE).The study used ARDL Model to analyze the short and long-term relationships between variables. Data collected were analyzed by using EViews10 software. ARDL bounds test findings shown that there is a cointegration relationship between bank profitability and Islamic financing Products variables in the long run. The results of the long-run analysis show that Musharaka financing has a positive and significant effect on ROE at the 5% level. Murabaha financing has a negative and significant effect on ROE. Meanwhile, the Istisna’a and Ijarah variables have no significant effect on ROE. The short run dynamics show that there is a negative and significant effect of Murabaha and Ijarah financing on the profitability of the Islamic bank, while lagged value of Murabaha LMUR(-1) has a positive and significant effect on the profitability index of the Islamic bank. Simultaneously, there is no relationship and effect of Musharaka and Istisna’a on the profitability of the Islamic bank in the short term

Türkiye'de Makroekonomik Faktörlerin Nominal Döviz Kuru Üzerindeki Doğrusal ve Doğrusal Olmayan Etkileri

This study examines the symmetrical and asymmetrical relationships between nominal exchange rates and some key macroeconomic indicators in Türkiye using ARDL and NARDL approaches. According to the findings, there is an asymmetric cointegration relationship between the variables, but this relationship is not symmetrical. Inflation is the most remarkable indicator of the exchange rate. While all variables have asymmetric effects in the long run, only exports have asymmetric effects in the short run. The effect of export increases on the exchange rate is more dominant than decreases. Positive shocks between Türkiye and the US interest rate decrease the nominal exchange rate. In general, the effects of positive shocks are more dominant than negative shocks.

Study on the Relationship Between the Number of Adverse Drug Reactions of Essential Drugs and Visits: Based on Vector Autoregressive Model.

To analyse the relationship between the adverse drug reactions (ADRs) of essential drugs and visits, based on the recorded annual increase in ADRs associated with essential medicines in China, to provide a reliable theoretical basis for further analysis and optimization of the safety of essential drugs. The data of adverse reactions of essential drugs in China from 2011 to 2020, time series analysis was conducted, and vector autoregressive (VAR) model was established. The relationship between the number of ADRs and visits was explored empirically through Granger causality test, impulse response function and variance decomposition. There was a long-term cointegration relationship and one-way causality between the number of visits and ADRs caused by essential medicines. In the initial stage, the ADR response to the number of visits increased sharply, but with an increase in the number of lag periods, the impact remained basically stable, even showing a slight decreasing trend. The number of visits impacts ADRs caused by essential medicines, but this impact remains basically stable after reaching a certain level.

Modeling Finance–Growth Nexus in MENA Region Economies: A Panel Data Analysis

The primary objective of this paper is to examine the relationship between finance and economic growth in a cohort of 16 economies within the MENA region spanning a four-decade period from 1980 to 2021. This study employs panel unit root and panel co-integration analyses to investigate this long-term nexus. The fully modified and dynamic Ordinary Least Squares (OLS) approaches are utilized to estimate the long-run coefficients. The findings underscore the existence of cross-sectional interdependence among these nations. Furthermore, Pedroni’s panel co-integration research robustly supports the idea of a long-term co-integrating relationship between financial development and economic growth. Our long-run panel estimations reveal a positive and statistically significant impact of financial development on GDP per capita income growth. In addition to this broad analysis, this paper conducts a detailed time-series examination focused on a specific country to validate the robustness of the results. These findings further substantiate the favorable influence of financial development on income growth in the majority of MENA nations. Notably, private sector participation in these economies is found to be alarmingly low. As a result, a significant policy implication of this study underscores the urgent need for policymakers to prioritize measures conducive to private sector expansion. Moreover, enhancing financial inclusion, addressing the crowd-out effect, and tackling non-performing loans are critical areas requiring attention within the MENA region. Furthermore, our research highlights the potential benefits of developing stock markets as part of an optimal strategy to enhance both economic and income growth rates. In conclusion, this study contributes valuable insights into the finance–growth nexus in the MENA region, emphasizing the importance of financial development as a driver of economic prosperity and the need for targeted policy initiatives to support private sector growth and financial stability.

Does the Democracy and Economic Growth Affect Human Development in Indonesia?

Democracy and economic growth can be improvement of human development progress. The interaction between democracy and economic growth and human development achievements has profound implications for the development of societies and countries. This article will contribute to a better understanding of the complicated interplay between democracy, economic growth and human development. The study employs the autoregressive distributed (ARDL) to prove the relationship between democracy, economic growth and human development in Indonesia for the period 1990-2021. There is long-run cointegration relationship between democracy and economic growth on human development in Indonesia during the sample period. Where, economic growth contibutes positively to HDI and is statistically significant and democracy not significant impact to human development in Indonesia. In the short-run, democracy and economic growth have a positive and significant impact on human development in Indonesia. where democracy has greater implications for human development than economic growth. Diagnostic tests for serial correlation, functional form, normality and heteroscedasticity of the models were conducted, and the results are valid for meaningful interpretation.

Long-term and short-term dynamic relationships on the country Stock Market Index due to the impact of explosion of Ammonium Nitrate (NH4NO3) in Beirut, Lebanon: An event study analysis on the Stock Market Index of countries in The Middle East and the country Stock Market Index in Indonesia

Objectives ─ This research aims to examine the long-term and short-term dynamic relationships of the major stock market indices in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia (TASI), and Indonesia (IHSG) due to the impact of the ammonium nitrate explosion. (NH4NO3) in Beirut, Lebanon. Method ─ This research used samples after the explosion of ammonium nitrate (NH4NO3) in Beirut, Lebanon, from 10 August 2020 to 17 December 2020. Long-term and short-term dynamic relationships due to the impact of the ammonium nitrate (NH4NO3) explosion in Beirut, Lebanon were tested using the Johansen Cointegration Test and Granger Causality Test methods. Findings ─ The results show that: (1) There is a cointegration relationship in the return of the country stock market index in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia (TASI), and Indonesia (IHSG) after the explosion; (2) there is no bi-directional causality relationship or unidirectional relationship between benchmark variables, that is Return BLOM Stock Index (BLSI) with the Return TA-35 (TA35), Return Amman SE General (AMGNRLX), Return Tadawul All Share Index (TASI), and Return Indeks Harga Saham Gabungan (IHSG) variable after the explosion event. Originality ─ This paper presents a novelty with a study of events that link human events and capital market indices.

Factors Affecting Exchange Rate Variability in Sri Lanka: An Autoregressive Distributed Lag Approach

A free float in the exchange rate has been recorded in the Sri Lankan rupee over the past few years affecting the Sri Lankan economy to a significant extent. This study intended to examine the factors affecting the exchange rate variability in Sri Lanka during the period from 1991 to 2020. For the study secondary data were obtained from the World Bank and the Central Bank of Sri Lanka. The exchange rate was considered as the dependent variable while inflation rate, merchandise trade, Gross Domestic Product (GDP) growth, foreign direct investments, balance of payments and external debt were considered as independent variables. Augmented Dickey Fuller (ADF) test was used to examine the stationary of the time series data, and Autoregressive Distributed Lag (ARDL) was adopted to figure out the long-run and short-run relationship between the variables. The results of ARDL bound test confirmed that there is a co-integration relationship between the variables, and the results of the error correction model revealed the significant impact of inflation rate, merchandise trade, Gross Domestic Product growth, foreign direct investments, balance of payments and external debt on exchange rate in both short run and long run. In the short run, balance of payment and GDP have no significant impact on the changes in exchange rate, and the results confirmed that there is a Exchange rate indicates negative relationships with external debt, inflation, and merchandise trade. Finally, the results confirmed the exchange rate is in a negative relationship with FDI and GDP in the long run.

Exploration on terrorism, ecological footprint and environmental sustainability in countries with the most terrorism antecedent: Accessing evidence from panel fourier analysis

Amidst increased concerns for global security and ecological balance, the intricate interconnectedness between terrorism and environmental sustainability has attracted significant attention in the existing literature. To this end, the present study explores the interaction among environmental degradation, terrorism, and foreign direct investments in 17 countries with the most terrorism antecedents over the 2002–2018 period through the Panel Fourier cointegration test and the Panel Fourier Toda-Yamamoto causality test. The present study also leverages recent and robust panel analysis for evidence-based results and inferences for policy formulation. The panel Fourier cointegration test presents the cointegration relationship between the outline variables under review. Empirical findings highlight that terrorism does not have a significant influence on the ecological footprint. However, foreign direct investment has a positive influence on the ecological footprint. These findings have implications for environmental sustainability and foreign direct investment inflows in the bloc investigated. More insights are discussed in the concluding section with policy caveats.

The heterogeneous role of economic and financial uncertainty in green bond market efficiency

Purpose This paper aims to explore the quantile-specific short- and long-term effects of economic policy uncertainty (EPU) on the efficiency of the green bond market. Design/methodology/approach This study examines the long-term cointegration relationship and the short-term fluctuation relationship of EPU, WTI crude oil price (WTI) and European Union Allowances price (EUA) with the green bond market efficiency (GBE) using the quantile autoregressive distributed lag method. Additionally, the authors analyze the differences before and after the Covid-19 pandemic. Findings EPU has a significant positive impact on the GBE before the outbreak. However, during the crisis period, the impact of EPU and WTI was greatly weakened, whereas the impact of EUA was strengthened. Practical implications This paper demonstrates the dynamics of GBE and its influencing factors under different periods. The findings provide insights for market participants and policymakers to gain a clearer understanding of the green bond market. Originality/value This paper extends the study of green bonds by quantifying the GBE and elucidating the nonlinear relationship between efficiency and independent variables at different quantiles over different periods.

The impact of exchange rates on stock market performance of the Emerging 7

Purpose The purpose of this research is to study the relationship between exchange rate fluctuations and stock market returns of the seven highest economic performing emerging countries (E7).Design/methodology/approach The study is conducted using the daily data for exchange rates and stock market returns in each of the E7 countries from January 1, 2019, to January 1, 2022. The study employs the ordinary least squares, autoregressive distributed lag error correction regression and generalized autoregressive conditional heteroskedasticity (GARCH (1,1)) regression models to fully investigate the impact of exchange rate on stock markets. For further investigation, the GARCH (1,1) model is run twice for each country with and without the inclusion of exchange rate to determine its effect on the volatility of stock returns.Findings The findings support the presence of cointegration relationship between the variables for all countries. The results reveal significant positive long-run relationship between exchange rates and stock market returns in all countries except for Indonesia, which evidenced a significant negative impact. The results of the GARCH (1,1) add that the inclusion of exchange rate in the model accounts for a slight change in the volatility of stock returns.Originality/value The research provides empirical evidence that appreciating currencies are perceived positively by investors leading to better performing capital markets. The outcomes of this study may assist policy makers in understanding to what degree changes in exchange rates can influence capital markets, as well as narrow the gap in literature regarding which theory is more relevant in explaining how exchange rate fluctuations impact market values.

Compliance relationship analysis between environmental governance attention and environmental quality in the Beijing–Tianjin–Hebei region

This study analyzes the changes and allocation characteristics of environmental governance attention in the Beijing–Tianjin–Hebei region based on the government work report from 2002 to 2020 and explores the compliance relationship between environmental governance attention and environmental quality. The results show that the allocation of local government environmental governance attention shows high consistency with that of the central government, and the overall environmental governance attention shows a fluctuating upward trend. There is a long-term stable co-integrated relationship between environmental governance attention and environmental quality in the Beijing–Tianjin–Hebei region, as well as a two-way Granger causality relationship in the short term. The non-linear influence of environmental governance attention on the environmental quality in the Beijing–Hebei–Tianjin region can be described using the LSTR2 model. During 2004–2016, environmental governance attention often had non-linear effects on the environmental quality. Since 2016, there has been a stable linear relationship between environmental governance attention and environmental quality. Finally, some policy suggestions on improving the local performance evaluation system and establishing a collaborative environment system for the Beijing–Tianjin–Hebei region have been put forward for the government.

Is peer-to-peer demand cointegrated at the listing level?

In this paper, we analyse the long-run equilibrium demand of the peer-to-peer sharing economy. Our panel data demand model relates occupancy rates to relative prices of Airbnb and HomeAway listings, prices of competitors (hotels and apartments) and a proxy for income of tourists visiting the Canary Islands (Spain). We use a fractional heterogeneous panel data model which allows for a more general persistence and cointegration relationship and incorporates individual and interactive fixed effects. We find some evidence for (fractional) cointegration in P2P at the listing level. Regarding elasticities, classic cointegration methods give larger estimates for individual slopes and mean group coefficients than the fractional integrated heterogeneous model. Finally, own-price elasticities are inelastic, and the cross-price elasticity indicates that P2P listings and hotels are substitute goods. Income elasticity is lower than 1 and is not statistically significant, indicating that the demand for tourism in the Canary Islands is not sensitive to the economic conditions in the origin countries.

Determinants of Energy Consumption in Central Asian Countries: Panel Data Analysis

Central Asian countries (Kazakhstan, Kyrgyz Republic, Tajikistan, Turkmenistan and Uzbekistan) have been witnessing important developments in the field of economic development since gaining their independence. The increase in energy consumption, in particular, plays an important role in the development of the country's economy by triggering the development of many factors. The main purpose of this study is to empirically analyze the determinants of energy consumption in Central Asian countries. Panel data analysis covering the years 1992-2021 was used in the study. Since there are many determinants of energy consumption, the factors of economic growth, foreign direct investments and energy prices are considered appropriate in this study and it is aimed to examine the interaction of these factors with each other. The test technique used to detect the cointegration relationship in the study confirmed the cointegration relationship between the series. In other words, there is a long-term relationship between the series considered in Central Asian countries. When the estimation results are evaluated, it is seen that the results differ for each country group. It is seen that the economic growth variable, as a determinant of energy consumption, is significant in Kazakhstan, Uzbekistan and Tajikistan, the foreign direct investments series is significant in Uzbekistan and Kazakhstan, and is insignificant in Tajikistan and the Kyrgyz Republic. The results obtained for the Kyrgyz Republic were found to be insignificant for all three series.

Determinants and Prediction of CO2 Emissions in Tunisia: LMDI Decomposition Approach of an Error Correction Model

In order to be able to meet the commitments with regard to its Nationally Determined Planned Contribution submitted to COP 21, Tunisia is committed to effectively reducing its CO2 emissions. Our study detects the main potential factors responsible for the increase in carbon dioxide emissions in Tunisia using the decomposition method (Logarithmic Mean Divisia Index: LMDI). Then, an analysis of the long-term relationship between CO2 emissions and these main factors is established through an error correction model. The forecast of this cointegration relationship by 2030 shows that Tunisia has significant potential for reducing CO2 emissions, especially through the phenomenon of reduction in energy intensity. However, political intervention beyond energy control is necessary in order to achieve Tunisia's environmental objectives.

Renewable Energy Consumption, Energy Efficiency, Trade, Economic Development and FDI on Climate Change in Vietnam

This study aimed to investigate the impact of green energy consumption, energy efficiency, foreign direct investment, economic growth, and trade (import and export) on greenhouse gas emissions( GHG) in Vietnam between 1990 and 2019. This study investigates the long-term cointegration relationship to find out the impact of renewable energy consumption, energy efficiency, trade, economic development, and foreign direct investment on climate change in Vietnam. The research results show a long-term relationship between the above variables and the reduction of greenhouse gas emissions. These findings highlight the profound importance of renewable energy consumption for ecologically sustainable development in Vietnam and serve as an important resource for other countries worldwide. world when it comes to ecological security. This study recommends the use of environmentally friendly and energy-saving technologies, the use of renewable energy to mitigate climate change and the implementation of the most recent government policies to neutralise greenhouse gas emissions to achieve sustainable development goals.

Assessing the Impact of Oil Price Volatility on Food Prices in Saudi Arabia: Insights From Nonlinear Autoregressive Distributed Lags (NARDL) Analysis

Abstract This research investigates the impact of oil price fluctuations on food prices in Saudi Arabia between 1979 and 2020 using Nonlinear Autoregressive Distributed Lags (NARDL) methodology. The study employs Augmented Dickey Fuller (ADF) and Phillips Perron (PP) tests to determine the integration order of the variables and Bounds testing to confirm the existence of long run cointegration relationships between each variable. The results indicate that oil shocks influence food prices through several mechanisms. Firstly, the cost of energy increases due to the rise in oil prices, affecting the agricultural commodity market, including farm equipment, food processing, packaging, and distribution costs. Secondly, the demand for agricultural commodities to produce biofuels affects food availability and thus food prices. Thirdly, as an oil-based economy, the oil price shock affects food prices through its impact on government spending, which affects aggregate demand and liquidity. Therefore, Saudi Arabia should adopt appropriate policies to mitigate the impact of oil price shocks on food prices, including investing in renewable energy sources, diversifying its economy, and improving food production and supply chain efficiency. Additionally, implementing appropriate fiscal policies to ensure sufficient budget allocation for food support programs is crucial. However, Investing in groundwater exploration can contribute significantly to the development of Saudi agriculture and to gradually achieving food self-sufficiency.

Nuclear Energy and Financial Development for a Clean Environment: Examining the N-Shaped Environmental Kuznets Curve Hypothesis in Top Nuclear Energy-Consuming Countries

This research aims to reassess the impact of nuclear energy consumption and financial development on environmental quality using annual data from 1993 to 2019 for 11 countries with the highest nuclear energy consumption. Additionally, the study seeks to test the validity of the N-shaped EKC hypothesis. The findings of this study indicate a long-term cointegration relationship between the variables. According to the PCSE model results, increased nuclear energy consumption among the top 11 countries leads to decreased carbon emissions. Furthermore, the study reveals an N-shaped relationship between economic growth and environmental degradation. There is a strong recommendation for enhancing investments and grants directed towards research and development endeavours to identify and implement innovative solutions to reduce carbon emissions and improve environmental quality, particularly in less technologically advanced countries. Such efforts could include allocating more substantial funding to new technologies and encouraging collaborations between academic institutions and industry. Furthermore, considering regulatory adjustments like the liberalization of the energy market with the pro-ecological initiatives mainly carried out by public utilities is crucial as part of a comprehensive strategy to address environmental challenges.

THE NEXUS BETWEEN CHILD ABUSE AND ECONOMIC CONDITIONS: EMPIRICAL EVIDENCE FROM MALAYSIA

This research attempts to examine the impact of economic conditions on number of child abuse cases in Malaysia. Yearly time series data has been included in data collection from year 1988 until 2019. To achieve the objective of the study, an estimation method of Autoregressive Distributed Lagged (ARDL) has been employed. The ARDL methodology consists of two steps analysis; first, ARDL Bound test which to determine the existence of cointegration relationship between child abuse and economics condition and second, ARDL Level Relation test with purpose to identify the cointegration relationship does significant in the long run. The findings have found cointegration relationship among the variables. However, only inflation (INF), unemployment (UEM), and minimum wage (MIN) appear significant to affect number of child abuse cases in Malaysia in the long run. The results suggest except poverty (POV), the number of child abuse cases in Malaysia are fully adjusted by the movement in INF, UEM and MIN. Overall, output from this study provide recommendation for policy-makers in readjusting the existing policies so that they able to curb the rising number of child abuse as well as to promotes economic growth and peaceful environment in Malaysia.

Türkiye’de Mali Sürdürülebilirliğin Analizi Bootstrap Fourier ARDL Yaklaşımı

Fiscal sustainability is one of the most important indicators of whether the public budget is within fiscal discipline. The sustainability of the public budget within the discipline affects many macroeconomic variables, such as inflation, economic growth, and income distribution. In this study, fiscal sustainability, one of the important determinants of macroeconomic factors, has been analysed by the Bootstrap Fourier ARDL cointegration method for the period 2006:01-2021:12 in Türkiye. A long-run cointegration relationship has been found between the variables. After determining the cointegration relationship, the long-run coefficient, short-run coefficient, and error correction model coefficient have been calculated. At a 5% significance level, the long-run coefficient was 0.36, the short-run coefficient was 0.21 and the error correction model coefficient was -0.54. As a result of the empirical findings, fiscal sustainability in Türkiye has been found to be weak in the relevant period.