Engle-Granger Cointegration Test Research Articles

The Examination of the Relationship Between Bitcoin (BTC) Trading Volume in Türkiye and Google Trends Data on Bitcoin Searches in Google Search Engine

Bitcoin and cryptocurrencies have recently rekindled discussions in financial circles, both due to their technologies and price movements. The increasing inclination of investors who seek returns and embrace risk towards cryptocurrency markets is evident, driven by sudden price fluctuations. The potential of cryptocurrencies to serve as alternatives to traditional investment instruments continues to be debated within the financial framework. Researchers are persistently exploring financial instruments associated with the price fluctuations of Bitcoin and cryptocurrencies. This study investigates the interest in Bitcoin in Türkiye within the scope of Bitcoin trading volume and the "Bitcoin" search results on Google Trends. Bitcoin trade volume of BTCTurk and Paribu, two cryptocurrency exchanges operating in Türkiye, and Bitcoin search data on Google were included in the study. In this context, the long-term relationship between Bitcoin trading volume and Google Trends results is examined using the Engle-Granger cointegration test, and the existence of causality is explored through the Toda-Yamamoto causality test. According to the findings of the study, a cointegration relationship among the variables is identified. It is revealed that there is no bidirectional causality between Bitcoin trading volume and Google Trends search results. However, it is established that Google Trends is the cause of Bitcoin trading volume.

Impact of Capital Expenditure on Economic Growth: A Study of Nepal

In countries like Nepal, government spending objectives range from promoting market-driven stability to intervening for alleviating suffering and preventing business loss, reflecting the tension between laissez-faire and interventionist approaches in economic development. The study explores government expenditure's role in Nepal's economic growth using econometric models like the Engle-Granger Cointegration Test and Error Correction Model. Recurrent, capital, and total expenditures are compared with GDP as indicators of Nepal's economic growth, showing significant positive relationships. The Unit Root Test indicates all variables becoming stationary after differencing once. The Johansen Test reveals 2 co-integrating equations, indicating enduring relationships among variables. Co-integrating Relation analysis demonstrates RE, CE, TE, and C's significant impact on GDP, with a low Durbin-Watson statistic suggesting possible autocorrelation. The Error Correction Term analysis highlights the significance of D(RE), D(CE), D(TE), and C, while ECT(-1) is significant at a 10% level. While the model explains a significant portion of GDP variation, additional factors must be considered for policymaking.

From growth to green: Navigating the complexities of economic development, energy sources, health spending, and carbon emissions in Malaysia

This study analyzes the impact of economic expansion, fossil fuel consumption, renewable energy adoption, and health expenditure on carbon dioxide (CO2) emissions in Malaysia from 1990 to 2021. The autoregressive distributed lag (ARDL) method is used to examine short and long-term consequences. The ARDL bounds test revealed evidence of cointegration among the variables in the long run which is verified by the Johansen cointegration test and Engle-Granger cointegration test. The empirical results suggest that increased economic expansion and fossil fuel usage are associated with higher CO2 emissions. In contrast, renewable energy use and health expenditure are linked with lower CO2 emissions in the long term. The Toda-Yamamoto causality test is also employed to investigate causal relationships between variables. The study recommends that the Malaysian government invest in green technology and promote policies that encourage sustainable practices. A green growth approach can ensure economic growth, mitigate environmental challenges, and achieve sustainable development goals. Health initiatives should also be prioritized to promote economic growth while mitigating environmental damage. This approach can reduce the country's reliance on fossil fuels, create new employment opportunities, and contribute to the overall well-being of the population. In conclusion, Malaysia's economic growth has led to an increase in energy demand and CO2 emissions. However, adopting a green growth approach by investing in renewable energy, sustainable practices, and health initiatives can pave the way for a sustainable and prosperous future.

Achieving sustainable development through economic growth, energy consumption, and agricultural productivity in China

AbstractLarge amount of carbon emission is the main hazard to environment and human health. The aim of this research is to investigate the impact of economic growth, forest zone, agricultural productivity, and energy consumption on environmental pollution in China using time series data from 1980 to 2020. The underline research utilized dynamic ordinary least‐squares (DOLS) method, Johansen and Engle–Granger cointegration tests, and the autoregressive‐distributed lag (ARDL) technique to analyze the varying data set. To compare findings, fully modified ordinary least squares (FMOLS) and canonical cointegrating regression (CCR) estimators are estimated. Energy use and population raise CO2 emissions with 1% economic development. Long‐term CO2 emissions may be reduced by 1% agriculture production and forestry zone growth. The Granger causality test showed causation between all variables. Results reveal that China might achieve sustainable development goals by cutting down CO2 emissions and mitigate global climate change. The underline research presents policy recommendations for attaining environmental sustainability in China through green investment by reducing carbon emissions. These policies highlight promoting use of renewable energy, financing green technological progression in agricultural productivity, and the ecological feasibility of China's forests.

The Determinants of Forest Products Footprint: A New Fourier Cointegration Approach

This study aims to determine the factors that affect the forest products footprint (FPF) in Brazil during the period 1965–2018 by proposing a new cointegration test which augments the Engle-Granger cointegration test with a Fourier function (Fourier Engle-Granger) and allows multiple structural breaks in the long-run relationship. Since the results of the unit root tests show that all variables are nonstationary, we applied the Fourier Engle-Granger cointegration test and revealed that there was a long-term relationship between the forest products’ footprint, energy consumption, gross domestic product, and trade openness. Although energy consumption was found to have a decreasing effect on FPF, the remaining variables were found to have a healing effect on FPF. Policymakers in Brazil should consider shifting energy consumption to clean energy sources and sustain international trade and economic growth in the current form to consider the FPF.

Determinants of Inflation in Nepal

By establishing a monetary and financial environment in which markets may operate without being concerned about irregular changes in the purchasing power of money, long-term economic growth can be achieved. The major goals of this study were to look at the inflation fluctuations in Nepal, to display the weighted structure of the CPI there, and to investigate the factors that affect inflation. The stationarity of the time series data was examined using the ADF test, and the cointegration between the variables was examined using the Engle-Granger test. The OLS method was used to estimate the long-run model. For the model's short run dynamism, the ECM model was also used. Throughout the research years, the inflation tendency has experienced significant swings. . Inflation peaked at 132.8 million in the fiscal year 1920, and it peaked at 4.1 in the fiscal year 1975. The ADF test result reveals that all variables become stationary only after the first difference, or I (1), for all variables utilized in this investigation. The long run OLS model is free from spurious regression, according to the Engle-Granger cointegration test, which shows that variables are cointegrated. The long-run OLS model demonstrates that government spending and Indian inflation have a positive and considerable impact on Nepalese inflation. For instance, an increase of 1% in the Indian consumer price index, government spending, and the currency rate results in increases of 0.70, 0.12, and 0.16 percent in the NCPI, respectively. According to the results of the ECM model, government spending and the Indian consumer price index have a positive and considerable impact on the consumer price index in Nepal in the short term. When government spending and the Indian consumer price index both grow by 1%, the corresponding increases in Nepal's consumer price index are 0.69 and 0.13 percent, respectively. While in the near term, the exchange rate has little impact on the consumer price index for Nepal. The NCPI and other explanatory variables are convergent into long-run equilibrium, according to the coefficient of ECM (-1), which is negative and significant at the 1% level.

Asymmetric Price Transmission Analysis of the International Soybean Market

This study analyzed the asymmetric price transmission in the international soybean market, using data from the US (Chicago Futures), European (Rotterdam), Brazilian (Paranaguá), Argentinian (Rosario Futures and Rosario Spot), and Chinese (Spot and Futures) markets. The study looked at the price transmission between these markets over a period of almost 10 years, from September 2009 to May 2019. The Phillips-Perron unit root test was used to determine the order of integration of the time series. The Engle-Granger cointegration test failed to find any evidence of cointegration between the Chinese and Argentinian markets with any others of the international markets. The lack of cointegration was associated with highly government intervened markets. The cointegration and threshold test proposed by Enders and Siklos, succeeded in rejecting the Null hypothesis and finding cointegration among the series after structural breaks had been taken into account. The BDS test for nonlinearity showed that most of the time series were nonlinear, which prompted the investigation to look into nonlinear modelling. To evaluate asymmetric price transmission, the study used the Threshold autoregressive (TAR) model and the momentum threshold model (MTAR). The Argentine and Chinese markets were primarily suspected of exhibiting asymmetric price transmission due to structural government intervention. However, the test results failed to reject the null hypothesis and revealed asymmetric price transmission between these markets and the international market. As expected, the results found no evidence of asymmetric price transmission in the Paranaguá, Rotterdam, and Chicago markets. Hence, it can be concluded that symmetric price transmission is more prevalent in the global soybean market than asymmetric price transmission.

Nexus between economic growth, energy use, urbanization, agricultural productivity, and carbon dioxide emissions: New insights from Bangladesh

• Improving environmental quality through reducing emissions is the central pillar of climate change mitigation and achieving sustainable development goals. • The empirical findings reveal that economic growth, energy use, urbanization, and reduced agricultural productivity increase CO 2 emissions in Bangladesh. • Several unit root tests (ADF, DF-GLS, and P-P), cointegration test (ARDL bounds test, Johansen cointegration test, and Engle-Granger cointegration test), and cointegration models (DOLS, FMOLS, CCR) have been utilized to confirm the accuracy of the results. • The findings of the study offer policymakers more detailed and helpful information for establishing successful policies in the areas of low-carbon economies, renewable energy, sustainable urban development, and climate-smart agriculture that would reduce emissions in Bangladesh. Greenhouse gases (GHGs) emissions, notably carbon dioxide (CO 2 ) emissions are causing global climate change, which poses enormous hazards to human life, the environment, development, and sustainability. Bangladesh is predominantly an agricultural country experiencing continuous economic growth and rapid urbanization which is causing higher energy consumption and CO 2 emissions. The present study empirically explores the nexus between economic growth, energy use, urbanization, agricultural productivity, and CO 2 emissions in Bangladesh. Time series data from 1972 to 2018 were utilized by employing the Dynamic Ordinary Least Squares (DOLS) approach. The Autoregressive Distributed Lag (ARDL) bounds test revealed evidence of cointegration among the variables in the long run which has been verified by the Johansen cointegration test and Engle-Granger cointegration test. The empirical findings reveal that economic growth, energy use, urbanization, and reduced agricultural productivity increase CO 2 emissions in Bangladesh. The estimated results are robust to alternative estimators such as fully modified least squares (FMOLS), and canonical cointegrating regression (CCR). In addition, the pairwise Granger causality test is utilized to capture the causal linkage between the variables. This study adds to the current body of knowledge by shining light on the factors that contribute to environmental degradation in Bangladesh. This article put forward policy recommendations aimed at sustainable development by establishing strong regulatory policy instruments to reduce environmental degradation.

Sukuk ve Ekonomik Büyüme İlişkisi: Türkiye Üzerine Bir Uygulama

Amaç: Bu çalışmanın amacı Türkiye’de katılım bankaları tarafından ihraç edilen sukuklar ile ekonomik büyüme arasındaki ilişkinin incelenmesidir. 
 
 Yöntem: Bu çalışmada yöntem olarak Engle-Granger eş-bütünleşme ve Grenger nedensellik yaklaşımlarından faydalanılmıştır. Türkiye’deki tüm katılım bankalarının ihraç etmiş olduğu sukuk ve reel GSYH rakamları 2013Q4-2021Q3 dönemi için analiz edilmiştir. 
 
 Bulgular: Yapılan Engle-Granger eş-bütünleşme testinin sonucunda sukuk ihracı ile reel GSYH arasında uzun dönemli istatistiksel olarak anlamlı bir eş- bütünleşme ilişkisi bulunamamıştır. Bununla beraber Grenger nedensellik testi sonuçlarına göre reel GSYH’dan sukuk ihraçlarına doğru tek yönlü Grenger nedensellik ilişkisi bulunmuştur. 
 
 Sonuç: Bu çalışmanın sonucuna göre Türkiye’de katılım bankaları tarafından piyasaya sunulan sukuklar ile ekonomik büyüme arasında eş-bütünleşme ilişkisi yoktur. Diğer bir deyişle değişkenler arasında uzun dönemli bir denge ilişkisinin bulunmadığı sonucuna ulaşılmıştır. Ayrıca ekonomik büyümeden sukuk ihracına doğru tespit edilen tek yönlü Grenger nedensellik ilişkisi katılım bankalarının sukuk enstrümanı ile ekonomik büyümeye katkı sunamadıklarını aksine ekonomik büyümeden istifade ettiklerini göstermektedir. Çalışmanın sonuçları beklenen sonuçların tersi yöndedir. 
 
 Özgünlük: Çalışmanın özgünlüğü, değişkenler arasındaki ilişkiyi Türkiye bağlamında Engle-Grenger Eşbütünleşme ve Grenger nedensellik yaklaşımını kullanarak inceleyen ilk çalışma olmasıdır.

The Nexus Between COVID-19 Government Responses and Aviation Stock Prices in Turkey: OxCGRT Stringency Index-Based Analysis

Air transportation is the significant mode of transmission, enabling the worldwide spread of infectious diseases through the mobility of infected persons. Therefore, governments applied the most comprehensive restrictions and preventions in civil aviation during COVID-19. The industry is one of the most economically impacted due to travel, and flight restrictions. This paper aims to investigate the long- and short-term nexuses between government responses to COVID-19 and the aviation stock prices traded in Borsa Istanbul. The OxCGRT stringency Turkey index is used to measure the Turkish government responses and policies to COVID-19. In the study, the daily data of Turkish Airlines, Pegasus Airlines, Do&Co Catering, TAV Airport Holding, Celebi Ground Handling stock prices, and the OxCGRT stringency Turkey index for the 24.01.2020-11.11.2021 period were used, and Granger causality and Engle-Granger cointegration tests were applied to reveal the nexuses. In conclusion, there is a cointegration nexus and one-way causality from the index to all Turkish aviation stock prices, except the Celebi Ground Handling stock prices. The contribution of this study is that it is probably the first one in Turkey to reveal the nexus between the government's policy and responses to COVID-19 and aviation stock prices.

ANALISIS KURVA PHILLIPS DI INDONESIA

This research aims to investigate whether the relationship between unemployment and inflation in Indonesia is by the Phillips curve theory. This research is quantitative. The estimation method used is ECM Two-Step Engle-Granger. in the long term, it is estimated using Ordinary Least Square (OLS), while in the short term it is estimated using the Error Correction Model (ECM). The cointegration test uses the Engle-Granger cointegration test. The data used are secondary level data, wage rate data as a proxy for inflation, and unemployment rates from 1991-2020 obtained from the world bank. The findings of this study are that in the short term, the unemployment rate is negatively related to inflation but is not significant, meaning that a trade-off between the unemployment rate and inflation occurs but the effect is not significant. In other words, in Indonesia, the relationship between the unemployment rate and inflation follows the Phillips Curve theory, but in the long run, there is a positive relationship between the unemployment rate and inflation but it is not significant.

Identifying long-run and short-run relationships in the European Union softwood market

We analyzed the relationship of the softwood market in chosen EU countries. The long-run relationship was tested using the multivariate Johansen procedure and bivariate Engle-Granger cointegration test. Precedence and causality of markets in the short-run were tested using the weak exogeneity test for cointegrated markets and the Granger causality test for not cointegrated. The material consists of quarterly sawlog and pulpwood delivery prices (spruce and pine) covering 2005 to 2020. Using the Zivot-Andrew and Chow test, we identify a structural break in price series between 2007 and 2009 (breakpoints differ between markets) accruing during the great financial crisis. Results indicated that seven of seventeen sawlogs and nine of fifteen pulpwood markets were cointegrated. Long-term cointegration relationship was stated between neighboring markets: Austria, Czechia, Germany, Slovakia, and in the case of pulpwood, additionally between Finland and Germany and Czechia. In short-run causality analysis, sawlog markets in Austria, Germany, and Finland were identified as leaders and Czechia, Estonia, Poland, and Slovakia as followers. In pulpwood markets, leading prices were identified in Austria, Czechia, and Germany, and following prices in Poland, Sweden and Lithuania.

İmalat Sanayii Banka Kredileri ile İmalat Sanayii Yİ-ÜFE Arasındaki İlişki: Kredi-Enflasyon Sarmalı

It has been observed that the manufacturing industry D-PPI rates, interest rates applied commercial loans (TL) by the banking sector, bank loans extended to the manufacturing industry and NPLs of these loans have increased since 2020. In terms of the sustainability of the manufacturing industry, which has an important place in Turkey’s economic development, the manufacturing industry D-PPI ratios and bank loans extended to the manufacturing industry are of great importance. In this research, it is aimed to investigate the relationship between the manufacturing industry D-PPI rates, the weighted average of the interest rates applied to commercial loans (TL) by the banking sector, bank loans extended to the manufacturing industry and NPLs of these loans. For this purpose, the Engle-Granger cointegration test and the Granger causality test were applied to the variables in question and the relationships between the variables were analyzed. As a result of the analyzes, it has been detected that all variables are mutually cointegrated in the long term and there is a mutual relationship between the non-performing manufacturing industry loans with the manufacturing industry D-PPI rate and the interest rate applied to commercial loans (TL). In addition, it has been determined that there is a one-way causality relationship from bank loans extended to the manufacturing industry to the manufacturing industry D-PPI rate, the interest rate applied to commercial loans (TL) and non-performing manufacturing industry loans. In the research, it was concluded that the manufacturing industry inflation and loans have become a spiral, and policy recommendations have been made for the banking sector and decision-makers.

World pandemic uncertainty and German stock market: evidence from Markov regime-switching and Fourier based approaches.

This study aims to examine the impact of the world pandemic uncertainty index on the German stock market index (DAX index) for the 1996Q1 to 2020Q3 period while controlling real effective exchange rate, industrial production index, and consumer price index. The present study performs the Fourier Augmented Dickey-Fulle Unit Root, Fourier Engle-Granger Cointegration, Bayer-Hanck Cointegration, and Markov switching regression tests. The outcomes disclose that there is a long-run cointegration association between the stock market index and world pandemic uncertainty index, real effective exchange rate, industrial production index, and consumer price index in Germany, indicating that the combination of these factors significantly affects the German stock market index in the long-run. Moreover, in both high and low volatile regimes, the world pandemic uncertainty index and real effective exchange rate negatively affect the German stock market index while industrial production and consumer price indices impact positively.

Market integration and price transmission in the regional grain markets in Ethiopia

ABSTRACT Persistent increases in basic food prices have become a critical challenge in Ethiopia since 2006. This paper assesses whether the structure of the grain market has contributed to the price increases. Traders having market power could create commodity price stickiness, implying that what goes up does not come down, leading to price increases. The study examines price linkages between principal grain markets in Ethiopia, using monthly prices from the wheat, maize, and teff markets. The Engle-Granger cointegration test is used to check for cointegration, while the Threshold Autoregressive Model is employed to investigate potential asymmetric price transmission. The findings indicate that major grain markets in Ethiopia are well integrated. Moreover, the threshold cointegration model reveals that they are characterized by symmetric adjustment. Hence, I argue that there is insufficient evidence to support the claim that market structure contributes to the price increase in Ethiopian grain markets.

Can We Increase Health Expenditure Per Capita Through Higher Economic Growth? Empirical Evidence from Turkey

Many researchers indicate that health expenditures positively contribute to economic growth and prosperity, emphasizing that when healthy individuals are more efficient, they make a huge contribution to human capital, which in turn improves productivity. There is also a relationship between economic growth and health expenditures, meaning that health expenditure is a function of income and higher income leads to an increase in spending on health. In this study, we assess whether economic growth has an impact on healthcare expenditure by focusing on an emerging market economy. Therefore, the main objective of this paper is to test the impact of economic performance on health expenditure per capita for Turkey in the period of 1999-2018. In the analysis, the unit root properties are tested by using RALS (Residual Augmented Least Squares) ADF and traditional Augmented Dickey Fuller (ADF) unit root tests. In order to examine the long-run relationship between economic growth and health expenditure per capita, we employ the RALS Engle-Granger and traditional Engle-Granger cointegration tests. The findings of our analysis support the evidence of a long-run impact of economic growth on healthcare expenditure per capita for Turkey in the relevant period.

Import Behavior Analysis of Air Cargo: Focusing on Machinery, Transport Equipment and Miscellaneous Manufactured Products

Purpose This paper aims to analyze the import behavioral pattern of air cargo and its determinants using exchange rate and domestic industrial production. Design/Methodology/Approach This paper utilizes a cointegration procedure, error correction equation, forward rolling regression, and impulse response function. We use monthly data for real effective exchange rates, export values, and the domestic industrial production index for the period of January 2009 to December 2020. Sectoral import statistics used in this study are taken from the Korea International Trade Association database for three digit SITC items. Findings The unitroot and the Engle-Granger cointegration tests show that all six variables are non-stationary at levels, but stationary after differencing, and that our model is stationary. The error correction terms, which range from 0.168 to 0.277, are significantly negative. These results imply that the disequilibrium of air cargo import need four or six months for long-run equilibrium at a tolerable pace. The rolling regression indicates that the paths of SITC776 and SITC764 are different from those of SITC728 and SITC874. The impulse response technique shows that both the real effective exchange rate and domestic industrial prodution affect the imports of the four products positively. Research Implications The empirical results that air cargo imports respond to the economic variables such as exchange rate and economic business in line with expectations suggest that air cargo imports are predictable. In addition, the fact that the adjustment speed toward the trend is fast means that the stable growth of the air cargo import are guaranteed. However, we notice that the negative effects of the exchange rate decay slowly.

Dynamics of inflation in Russia and the USA (2000–2021)

The subject matter of this research paper is price inflation in Russia and the United States as measured by the consumer price index from January of 2000 up to December of 2021 (264 monthly observations for each country). The research objective is to test the hypothesis of non-stationarity of inflation in both countries and the hypothesis of statistical independence of inflation in Russia from inflation in the United States. Within the first hypothesis we performed the unit root test with one structural break and estimated a long-memory parameter and persistence level of inflation. In both countries inflation appeared to be non-stationary, highly persistent and having a long memory. Within the second hypothesis Granger pair causality and Engle-Granger cointegration tests were performed. Inflation in Russia was not Granger-caused by US inflation, and both were not cointegrated. The major goal of monetary policy of the Bank of Russia and the Federal Reserve System is low and stable inflation. To achieve this goal both regulators use a variety of tools the primary one being change of targets for short-term interest rates on interbank money market to affect spending decisions and prices. But the tool is double edged sword. Low and stable inflation comes at the expense of economic growth.

Dynamic impacts of economic growth, energy use, urbanization, agricultural productivity, and forested area on carbon emissions: New insights from Kazakhstan

The study aims to investigate the dynamic impacts of economic growth, energy use, urbanization, agricultural productivity, and forested area on carbon dioxide (CO2) emissions in Kazakhstan. Time series data from 1996 to 2020 were utilized by employing the Dynamic Ordinary Least Squares (DOLS) approach. The Autoregressive Distributed Lag (ARDL) bounds test revealed evidence of cointegration among the variables in the long run which has been verified by the Johansen cointegration test and Engle-Granger cointegration test. The empirical findings revealed that a 1% increase in economic growth, energy use, and urbanization cause an increase in CO2 emissions by 0.14%, 0.81%, and 1.28% in Kazakhstan. Conversely, a 1% increase in agricultural productivity and the forested area may lead to CO2 emissions reduction by 0.34% and 2.59%, respectively in the long run. The estimated results are robust to alternative estimators such as fully modified least squares (FMOLS) and canonical cointegrating regression (CCR). In addition, the pairwise Granger causality test was utilized to capture the causal linkage between the variables. This article put forward policy recommendations in the areas of low-carbon economy, renewable energy, sustainable urban development, climate-smart agriculture,

The Linkage between Chittagong Stock Market and Dhaka Stock Market

This paper aims at determining the relationship between the two domestic stock markets of Bangladesh – the Chittagong Stock Market (CSE) and the Dhaka Stock Market (DSE). The daily stock price indices that represent the performance of the two stock markets are collected. In order to find out the interdependent relationship, the Engle-Granger Cointegration test, Granger Causality test, Impulse Response Function, and Variance Decomposition Analysis are employed in this paper. The main finding of this study is that both the stock markets are related in the long run. However, there is a one-way short-run effect from the DSE on the CSE market. The CSE market quickly responds to the shock in the DSE market. But, the DSE market is not responsive to the CSE market. The variance decomposition analysis shows that most of the shocks in the CSE market are explained by its own market. On the other hand, a small number of shocks in the DSE market are explained by the CSE market as well as its own market.