Dynamic Panel Analysis Research Articles

What drives tax morale in selected North African economies? Empirical evidence from Algeria, Morocco and Tunisia using simulated ARDL and GMM quantile regressions

This study attempts to analyze the driving factors of tax morale in selected North African countries over the period 1984-2022. For this purpose, we use simulated ARDL and Frequency Domain Causality for time-series analysis and GMM-QR for dynamic panel analysis. According to long-run empirical estimations, educational growth positively contributes to enhancing tax morals in Algeria, Morocco, and Tunisia, whereas GDP and corruption contribute negatively. However, this relationship fluctuates in the short term. In addition, all independent variables positively and significantly maintain causality for tax morals. Furthermore, the dynamic estimation confirms the above relationship in the long-run in the panel. Although education and GDP maintained the same relationship in the GMM-QR estimation, corruption levels remained insignificant during the quantile period. Considering the pioneering study of the area, this study suggests some key factors that should be given more attention for enhancing tax morals in the region and ultimately improving the tax-to-GDP ratio.

동태적 관점에서 본 환경정책과 생산성의 관계: 제조업을 중심으로

This study analyzed the effect of increasing environmental policy stringency on a firm's TFP from a dynamic perspective. For the analysis, the TFP of Korean manufacturing firms was estimated from 2006 to 2018, and the OECD's environmental policy stringency index was used. The baseline model was set to represent that one-year lag of environmental policy stringency affects TFP. And environmental policy stringency was considered by dividing it into Korea's environmental policy stringency and relative environmental policy stringency. The analysis model took a dynamic perspective by considering the persistence of TFP shock and the persistence of environmental policy stringency. Dynamic panel analysis was conducted to consider the persistence of TFP shocks, and the Porter hypothesis was tested by changing the time lags of environmental policy stringency. As results, it was found that the increase in one-year lag of environmental policy stringency decreased firm's TFP. This was shown in Korea's environmental policy stringency as well as in the relative environmental policy stringency. However, the increases in two-year and three-year lags of environmental policy stringency were shown to lead to productivity improvement, showing that the Porter hypothesis was supported after two periods. This result supports the Porter hypothesis as a more long-term phenomenon.

Maternal Mental Health Spillovers From Child Illness and Disability: A Dynamic Panel Analysis

ObjectivesThere is growing recognition of the consequences of a person’s health and illness experience for the health and wider welfare of those close to them. However, estimation of these health spillovers is challenging. This study adopts a longitudinal approach to examine maternal mental health spillovers associated with various forms of child illness and disability. MethodsDynamic panel models are used in estimating maternal mental health spillovers related to 7 subcategories of chronic child illness and disability. In particular, we use longitudinal data from the Growing Up in Ireland study and a system generalized method of moments approach. We also consider heterogeneity in these spillovers by the severity of the child’s illness/disability and by household deprivation. ResultsWe find that a child’s experience of chronic nervous system conditions and chronic mental and behavioral disorders are associated with 10.8 and 5.1 percentage point increases in the probability of maternal depression, respectively. Similar associations were not observed for other health conditions. Spillover magnitude is also found to be strongly related to illness/disability severity. Finally, subsample analyses reveal a larger association between severe child illness and maternal depression among deprived households. ConclusionsThis analysis, in observing health spillovers related to certain disease categories but not others, draws further attention to their context specificity. Our findings also further corroborate calls for inclusion of caregiver and family member outcomes in the economic evaluation of child health services and support consensus guidelines for collection of these outcomes alongside patient outcomes in clinical trials.

Nonlinearities in the Intellectual Property-Manufacturing Growth Nexus in the Post-TRIPS Era: Evidence from a Dynamic Panel Analysis

AbstractDiscussions around the importance of intellectual property (IP) intensified at the height of the COVID-19 pandemic as countries raced to secure IP-protected goods (e.g., vaccines and medical equipment) necessary to respond quickly and adequately to the threat of the virus’ spread. Building on the growing strand of the literature that reexamines IP’s effect on an array of social and economic outcomes, this paper examines the relationship between quantitative (patents and trademarks) and qualitative (IP protection) measures of IP, on the one hand, and manufacturing growth, on the other hand, accounting for the presence of nonlinearities. Using a two-step system generalized method of moments (SGMM) approach on a panel dataset of 81 countries spanning the post-1995 TRIPS Agreement period, our estimates show that these alternative measures of IP have differential and nonlinear effects on manufacturing growth. In particular, patents have a positive significant marginal effect on manufacturing growth past a minimum scale, whereas trademarks do not have a significant effect. In contrast, stronger IPR protection has a positive effect only up to a critical level of IPR protection, implying that “too much” IPR protection can stifle growth-inducing competing innovation. The paper concludes with a brief discussion on the mechanisms through which IP may contribute to manufacturing growth, and on some policies, which may help realize this potential. Broadly, this paper speaks to academic and policy discussions surrounding optimal IP enforcement and the benefits and consequences of IP.

Housing Price-Vacancy Dynamics—An Empirical Study of the Hong Kong Housing Market

This study uses time series regression models and dynamic panel models of five-class housing to investigate the dynamics of the housing price-vacancy relationship in Hong Kong, offering insights distinct from previous cross-sectional analyses that take new housing completions as a supply proxy, without considering vacant homes as a source of housing supply. Two major contributions emerge: first, the results support the hypothesis that housing vacancies exert a negative impact on housing prices, holding other factors constant. Second, new builds supply is found to have a positive effect on housing prices, which is in line with many previous studies, but it contradicts the prediction. The results challenge the use of land supply or new housing completions as the proxy of housing supply and put forward a novel suggestion of including vacant homes in the housing price analysis. Advanced approaches to collecting housing vacancy data are also discussed. These findings have significant implications for policymakers, urban planners, and real estate investors, providing valuable insights for crafting targeted interventions and informing investment decisions. This is one of the first time series and dynamic panel analyses of housing vacancy’s effect on prices.

Financial System Development and Environmental Quality: A System-GMM Dynamic Panel Analysis

Financial System Development and Environmental Quality: A System-GMM Dynamic Panel Analysis

AGRICULTURE AND GREENHOUSE GAS EMISSION – RESULTS OF ECONOMETRIC ANALYSIS

Agriculture represents the “cause” and the “victim” of climate change. Almost 30 percent of greenhouse gas emissions come from the agricultural sector. They contribute to global warming and therefore significantly affect the sustainability of agricultural production systems. The aim of the paper is to determine which factors have the greatest influence on the greenhouse gas emission from agriculture. For this purpose, a dynamic panel analysis for 26 members of the European Union in the period from 2013 to 2021 in the paper is conducted. The results of the analysis suggest that the capacity for biofuel production, organic agricultural production and greenhouse gas emissions from the previous period have the greatest impact on the same emissions from agriculture. The results of this research can serve policy makers in formulating strategies for the development of food systems that will pollute the environment to a lesser extent and use available resources more rationally.

Do different household models affect poverty? A dynamic panel analysis in 28 European countries

ABSTRACT The increase in the number of single-parent households and divorces, the decrease in marriages and the increasing relevance of household models with more than two cohabiting adults represent a recent social trend that emerges in modern societies. In this paper, we investigate how the evolution in the incidence of different household models affects household poverty in Europe. Using a panel of 28 European countries over a 14-year period (2005 to 2018), we implement both panel fixed- and random-effects models and the system-GMM dynamic panel method by estimating short- and long-run coefficients. Our analysis points out that household’s dissolution and the share of single-parent households with children are positively correlated with the risk of poverty; extended households play a role in insuring against poverty. Moreover, we find that households’ poverty is persistent over time with a speed of adjustment equal to 0.5 and a median time lag of one year. Our results also suggest that family policies represent an effective tool against the effects of social exclusion, becoming more evident in the long run.

Impacts of Healthcare Spending, Labor Force Participation Rate and Human Development on Economic Productivity in Short and Long-Term: A Dynamic Panel Analysis

Impacts of Healthcare Spending, Labor Force Participation Rate and Human Development on Economic Productivity in Short and Long-Term: A Dynamic Panel Analysis

Mineral resource rents, fintech technological innovation, digital transformation, and environmental quality in BRI countries: An insight using panel NL-ARDL

The prime objective of the current study is to investigate the impact of mineral resource rents, fintech technological innovation, and digital transformation on the environmental quality of 50 BRI countries. The panel data from the twenty years from 2000 to 2019 of the sample countries are used in the analysis of this study. The study has employed the Panel NL-ARDL to achieve the research objectives. Meanwhile, the current study has employed conventional unit root tests based on Augmented Dickey-Fuller (ADF) unit root tests, such as the LLC and IPS tests. This study employs the method of heterogeneous dynamic panel analysis. The results obtained from the FMOLS regression analysis provide a detailed comprehension of the complex connections between Mineral Resource Rent, Fintech, Digital Transformation, and CO₂ emissions; these findings indicate that countries with advanced financial technology or heavy reliance on Mineral resources are more likely to observe the favorable impacts of digital transformation on the environment. The study results imply that policymakers should investigate all-encompassing policies that exploit these interactions, recognizing that a complete approach can produce substantial and enduring environmental advantages. The interaction variables (NRRDTT and FNTINDTT) demonstrate the negative coefficients that emphasize the combined impact of Mineral resource rent, Finetch, and digital transformation. Policymakers in resource-dependent economies should consider strategies incorporating digitalization and financial technology to optimize their potential impact on environmental sustainability.

Is There a Link between Remittances, Capital Formation, Structural Transformation and Economic Growth? A Dynamic Panel Analysis for Latin America under the PVAR Approach

Is There a Link between Remittances, Capital Formation, Structural Transformation and Economic Growth? A Dynamic Panel Analysis for Latin America under the PVAR Approach

Institutions and economic growth: the role of financial inclusion, public spending on education and the military

PurposeThe paper aims to investigate the relationship between institutions and economic growth in developing countries, considering the role of financial inclusion, education spending and military spending.Design/methodology/approachThe study employs dynamic panel analysis, specifically two-step system generalized method of moments (GMM), on a sample of 61 developing countries over the period 2009–2020.FindingsThe results confirm that weak institutional quality, weak financial inclusion and increased military spending are barriers to economic growth, conversely, increased spending on education and gross capital formation contribute to economic growth in developing countries. Regarding the specific institutional factor, we find that corruption, ineffective government, voice and accountability and weak rule of law contribute negatively to growth.Practical implicationsThe study calls for strengthening institutions so that the financial system supports economic growth and suggests increasing spending on education to improve access to and the quality of human capital, which is an important determinant of economic growth.Originality/valueThe study contributes to scarce literature by empirically analyzing the relationship between institutions and economic growth by considering the role of financial inclusion, public spending on education and military spending, factors that have been ignored in previous studies. In addition, the study identifies the institutional dimension that contributes to reduced economic growth in developing countries.

What Type of Fiscal Rule Promotes the Fiscal Soundness?

Empirical studies on the impact of fiscal institutions such as fiscal rule and the establishment of independent fiscal institutions on fiscal performance have often overlooked the endogeneity issues. This study utilizes the system GMM model in dynamic panel analysis to control for the endogeneity inherent in fiscal institutions. This study is distinctive from the previous researches in the following aspects: ① It indices the levels of fiscal rules and independent fiscal institutions, ② Furthermore, it includes an interaction term between the level of fiscal rule and the level of independent fiscal institutions, ③ It analyzes the type of fiscal rules that affects fiscal soundness effectively. The study finds the followings: First, the level of fiscal rules has a positive (+) impact on the fiscal balance. Second, among fiscal rule types, the level of expenditure rule has a positive (+) impact on the fiscal balance. Third, the interaction term between the level of expenditure rule and the level of independent fiscal institutions has a positive (+) impact on the fiscal balance. The implications of this study are as follows: Countries with strict fiscal rules tend to reduce fiscal deficits, and among various fiscal rule types, expenditure rule has a significant impact on fiscal soundness improvement. Moreover, it was confirmed that countries with well-established expenditure rule experience an increased impact on fiscal soundness when activating independent fiscal institutions.

Dynamic panel analysis of the EU's fiscal reaction function with threshold effects

AbstractThis study contributes to the ongoing reform of the EU's economic governance, particularly about fiscal performance. We opt for a fiscal reaction function of the cyclically adjusted primary balance. Given concerns over underlying endogeneity and heterogeneity across countries we employ a threshold dynamic analysis. The findings confirm that the fiscal policy in the EU has been procyclical overall. However, we identify two regimes of output gap. Fiscal policy has been countercyclical for EU member states in the higher output gap regime while EU member states follow a procyclical fiscal policy in the lower regime. We reveal also that the endogenous debt‐to‐GDP ratio threshold is at 75.6% for the EU and 78.7% for the Euro area, which notably exceeds the EU Treaty's reference value of 60%. Fiscal rules and fiscal councils mitigate procyclical fiscal policies, being more effective for low debt countries. In terms of policy implications, the identified fiscal thresholds and variability across countries warrant a higher degree of fiscal coordination in the EU, particularly in the Euro area.

The impact of recapitalisations and bank competition on Greek bank net interest margins

PurposeThis study investigates the reasons behind the very high net interest margins in the Greek banking industry compared to the euro-area, focussing on the association between bank competition and recapitalisations.Design/methodology/approachThe author conducts a dynamic panel analysis covering the period from the early 2000s to 2021, that controls for possible endogeneity and treats for heterogeneity. The author also employs local projections impulse response functions that control for structural changes in Greek banking.FindingsThe author finds that low bank competition has contributed to high net interest margins in Greece. Interestingly, the impact of recapitalisations conditional to low bank competition has had a significant further impact on increasing net interest margins, which is a noteworthy case due to several Greek bank recapitalisations in the last ten years. The author’s findings are supported by local projections impulse response functions.Originality/valueTo mitigate distortions in bank competition, the author argues to accelerate steps toward the direction of the banking union and a common bank regulation framework in the euro-area.

The Integration of Student Management and Civic Teaching Work in Colleges and Universities in the Background of Internet

Abstract This paper analyzes the correlation between Civics teaching and student management in colleges and universities by establishing a multiple linear regression model to study the influence of Civics teaching on student management. Based on the questionnaire data, it analyzes the level of civics teaching and student management in 20 colleges and universities in City A. Based on the balanced panel data, it conducts benchmark regression analysis and dynamic panel analysis on the data of Civics education and student management and investigates the effect of the integration of college and university student management with the Civics teaching work. The results show that in the dynamic panel analysis, the estimated coefficients of the core explanatory variable of Civic and political education in each column are 0.028, 0.032, 0.033, 0.038, with positive significant coefficients, indicating that Civic and political education activities help to improve the level of management of students in regional colleges and universities. This study tests the positive influence of the integration of Civic and Political teaching work on student management and provides a certain reference value for colleges and universities to improve the level of student management.

Digital Gender Gap, Gender Equality and National Institutional Freedom: A Dynamic Panel Analysis

Digital Gender Gap, Gender Equality and National Institutional Freedom: A Dynamic Panel Analysis

Stock Market - Economic Growth Nexuses: Evidence from Asian Stock Markets

Purpose: The main purpose of this study is to examine the relationship between stock market development and economic growth in Asian countries focusing on causality direction.Methodology: The study based top 10 stock exchanges in the Asian region and the secondary data mainly collected from World Development Indicators of the World Bank over the period of 1990-2020. Generalized Method of Moment (GMM) Dynamic Panel analysis along with panel unit root and cointegration tests were employed to accomplish the objectives of the study.Findings: The cointegration test emphasizes the existence of long-term relationship between stock market development and economic growth while the GMM dynamic panel analysis confirms the positive relationship between stock market development and economic growth of top 10 stock exchanges in the Asian Region. Moreover, reverse causality which runs from economic growth to stock market development has also been confirmed by the GMM dynamic panel analysis. Consequently, bi-directional causality between stock market development and economic growth exists in the top 10 Asian stock exchanges confirming both Finance-Led Growth Hypothesis and Growth-Led Finance Hypothesis. Hence, stock market and growth-oriented policies are recommended to be implemented to optimize the mutual benefits.Originality: One of the key significances of the study is that the study has constructed a composite index to measure stock market development rather than rely on conventional measures.

Does Economic Growth Attract FDI Inflows? A Dynamic Panel Analysis

Economic growth is deemed to be a conducive factor in attracting foreign direct investment (FDI) as it often confers location advantage to host countries and fosters business confidence. This paper examines the short-run and the long-run effects of economic growth on FDI inflows. The empirical analysis is conducted through the Generalized Method of Moments (GMM) System estimator for dynamic panel models. The main results show significant positive effects of economic growth on FDI inflows, and they indicate that the magnitudes of these effects are statistically comparable over time and do not diminish with higher economic growth levels. They also reveal important variations in the magnitude of these effects across geo-economic regions and over pertinent economic variables such as economic development level, international trade and foreign investment openness, and endowment in natural resources. These findings underscore the significance of developing growth-enhancing policies that are designed on the basis of the economic and geo-economic characteristics of host countries. Such policies could be coupled with international trade and foreign investment openness directions to stimulate stronger responses of FDI inflows to economic growth and mitigate the implications of unfavorable global and regional political conditions.

Household Income Diversification Strategies, Welfare and Child Nutrition in Uganda: A Dynamic Panel Analysis 2005–2020

Many of the studies on households and people’s welfare dynamics in Uganda have been preoccupied with poverty lines and welfare indices estimation, particularly at the macro level. Little attention has been paid to the impact of livelihood diversification strategies on household welfare and health outcomes (i.e. child nutrition) for both rural and urban dwellers. Thus, this study examines the impact of livelihood (i.e. income) diversification strategies on household welfare and child nutrition. Eight waves of the Uganda National Panel Survey (2005/06–2019/20) dataset collected by the Uganda Bureau of Statistics (UBOS) with the support of the World Bank are utilised for this purpose. An instrumental variable approach implemented through a two-stage residual inclusion (2SRI) technique is applied in which alternative correlated random effects (CRE) and fixed effects models are estimated, these two techniques enabled us to address the endogeneity problem associated with livelihood diversification by including a generalised residual among the regressors and also including appropriate list of instruments in the latter. The findings from the study show that indeed diversified households enjoy higher levels of consumption and thus livelihood diversification strategies are welfare-improving. Second, livelihood diversification is also found to improve child nutrition status. By and large, the results point to the fact that households should at least run a diversified means of livelihood since this offers a feasible way of shielding households against risks and also coping and adapting to shocks among rural and urban poor households.