Johansen Cointegration Test Research Articles

Egyptian Ecosystem's Impacts on Climate Change: A Case Study of Some Agricultural Indicators

Objective: the current study aims to empirically examine the dynamic impacts of ecosystem, with a particular focus on some agricultural indicators such as agricultural value added, crop production index, and livestock production index on CO2 emissions using annual time series data from 1990 to 2021. In order to enhance agricultural practices and develop successful sustainable agriculture policies in Egypt's agriculture sector. Method: A literature review involving numerous studies has revealed that agriculture is a significant contributor to the emission of CO2 into the atmosphere, hence exacerbating the phenomenon of global warming. These studies utilized many methodologies, including ARDL, DOLS, FMOLS, CCR, and Johansen, to accomplish their objectives. These methodologies were applied to annual data from multiple countries. Therefore, this study used Johansen's cointegration test to fulfill their objectives. Results and Discussion: The findings indicate that a 1% rise in agriculture value added and crop production index is found to be associated with a long-run decrease in carbon dioxide emissions of around 0.48% and 0.78%, respectively. A bidirectional causal relationship existed between carbon dioxide emissions and livestock production. Additionally, livestock production has a causal effect on crop production and conversely, crop production influences livestock production. Research Implications: Enhancing agricultural productivity and environmental sustainability can be achieved by adopting climate-smart practices in the agriculture sector, at both local and global levels. Originality/Value: This research study makes a valuable contribution to the existing body of literature by examining the significant and causal connections between environmental degradation and agriculture in the long term. This research demonstrates its significance and worth through its potential to aid policymakers in Egypt and other developing countries in formulating and executing efficient policies designed to address environmental degradation.

Cointegration analysis of GDP indicators per capita between the Republic of Azerbaijan and Turkey on purchasing power parity

The article analyses the interrelationships between the main components of socio-economic development levels in Turkey and the Republic of Azerbaijan. The purpose of this work is to construct a cross-country regression model of per capita economic growth in Turkey and the Republic of Azerbaijan and to conduct a cross-country comparative analysis of the main components of inclusive growth under the strong influence of both countries. The aim of this research is to enable empirical study of the joint movement of both indicators, determine cause-effect relationships and co-integration dependence, establish long-term integration relationships, and take necessary steps and measures for a positive outcome. The level of economic development was measured using GDP per capita with purchasing power parity (PPP). The study analyses the dynamic interaction of indicators using data from January 1992 to December 2022. Econometric methodology was employed, including the extended Dickey-Fuller test to detect a single root, and the Granger test. The Johansen test, Error correction model, and ARDL model standard diagnostic tests were used to examine the cointegration relationship. Stationarity, causality, and cointegration tests were conducted on the entire sample at a significance level of 10%.

Causal Relationship Between Economic Growth and Government Tax Revenue: A Case of Nigeria (1970-2021)

This paper aims at elucidating the mystery surrounding the belief that, high and vibrant economic activities and economic growth are a prima-facie and a leading indicator for high tax revenue as a source of income for the Federal government in Nigeria. The effects of economic growth on government tax revenue are therefore empirically investigated from 1970-2021. The short-run and long-run relationships between the economic growth in Nigeria and its tax revenue are thus explored in this study. Although, theoretical and empirical reports found that there is a causal relationship between economic growth and tax revenue; this study thus further investigated this relationship by applying Johansen's cointegration test, autoregressive distributed lag (ARDL), and Vector Error Correction Model (VECM) to establish the short and long-run relationships that may exist between economic growth and government tax revenue. However, the findings of this study clearly showed that there is an independent relationship between economic growth and government tax revenue with a 76% speed of adjustment. Thus, there is a unidirectional relationship between economic growth and total government tax revenue with a 74.76% speed of adjustment in the short run to reach an equilibrium level in the long run. This implies that there is fiscal independence between economic growth and tax revenue. The empirical analysis also provides evidence of a long-run equilibrium relationship. Based on the findings that GDP, exchange rate, and production capacity strongly and positively affect the performance of tax revenue in Nigeria. The study recommends among others that appropriate fiscal policies be put in place to moderate the fluctuations in exchange rates of the Naira against other foreign currencies and that the government should support innovative activities by youths through the creation of innovative labs. This would help to create more job opportunities for the youths and also encourage public and private partnerships between the state governments and private investors to improve the economic activities of the country, which will in turn bring about increased tax revenue. Keywords: Economic Growth, Tax Revenue, Tax Policy, GDP,

An Analysis of the Relationship between Business Confidence and Macroeconomic Factors: Türkiye Case

Investor sentiment plays an important role in the all level of economic activities. Confidence as an indicator of investor sentiment has become an important and interesting concept in recent years. Confidence indicators are a way in assessing economic developments in the short term. The aim of this study is to analyze the long and short term relationship between the Real Sector Confidence Index and macroeconomic/financial variables for the period of January 2007 – December 2021. The Johansen Cointegration Test results prove a long-term cointegration relationship. Vector Error Correction Models for both macroeconomic and financial variables are statistically significant at the 5% level. In the short run, Manufacturing Capacity Utilization Ratio, Official Reserves, Domestic Debt Stocks, Real Exchance Rate, US Dollar/TRL Buying Rate, Non-Residents’ Stock Portfolio and Volatility Index have a statistically significant effect on the changes in Real Sector Confidence Index. Thus, this study informs investors to predict the effects of changes in the confidence index on financial instruments bilaterally and contribute to their investment decision.

Revisiting the Nexus between Renewable Energy Consumption and Economic Growth in Nigeria: The VECM Approach

The research investigates the effect of renewable energy consumption on economic growth as well as analyzing the dynamic relationship between both variables from 1990 to 2022. Annual secondary data covering the period between 1990 and 2022 were used in the study. Data on real gross domestic product, renewable energy consumption (% of total final energy consumption), gross capital formation (% of GDP), labor force, total and trade (% of GDP) were sourced from World Development Indicator. The study applies Johansen co-integration test and Vector Error Correction Model (VECM) to examine the effect of renewable energy consumption on economic growth and other explanatory variables as well as using pairwise granger causality test to examine the causal relationship between both variables. The empirical evidence revealed long-term relationship between renewable energy consumption and economic growth. Evidence shows that there is no causality either unidirectional or bi-directional between both variables. In short run, renewable energy consumption revealed a significant positive impact on economic growth. This shows that renewable energy may stimulate economic growth, particularly as it has a greater short-term impact on economic growth than capital formation. The key policy implication drawn from the results indicate the need for investment in renewable energy technologies and infrastructure, which can help to increase the availability and affordability of renewable energy, improve workforce development in Nigeria renewable energy sector.

Linking and Delinking Aspects of Economic Growth and Employment in the Indian Economy: Granger Causality Approach

The purpose of this paper is to provide an overview of various economic growth and employment approaches that have been popular throughout economic history, with a focus on linking and delinking aspects of GDP and employment in the Indian economy. The semi-log quadratic model was used for the trends of GDP and employment across the selected countries. For the determination of the linkages between the variables, the Granger causality test promulgated by Engel and Granger (1987), and the maximum likelihood-based technique of Johansen and Julius (1990) and Johansen (1992) were used in the study. The results found that employment and GDP are two different aspects of an economy not only in the Indian economy but across the majority of the world economies. The results of model specification proved the presence of both long-run and short-run relationships between GDP and employment by the Johansen co-integration test in the Indian economy over the period. It has been found that the increase in GDP is negatively influencing the employment level by the VECM model as a 1 per cent increase in GDP results in 0.28 per cent of job losses in the Indian economy. This study aims to provide an overview of several approaches to economic growth and employment that have been popular throughout economic history up to the present, with an emphasis on linking and delinking aspects of economic growth and employment. In the context of an economy, economic growth and employment are two distinct aspects that should be tackled with separate economic strategies.

Influence of China’s Lighting Industry on Urban Nighttime Tourism Economic Development: Based on Co-Integration Test and Granger Causality Test

With the upgrading of residents’ consumption and the diversification of the consumption structure, China’s urban night-time tour economy has developed rapidly and become a new bright spot of urban development. As an important constituent part of urban night landscapes, the lighting industry is closely related to the development of nighttime tour economy. To further explore the influence of the lighting industry on urban night-time tour economy, the short-term and long-term cointegration relationship between the lighting industry and urban night-time tour economy was analysed by the cointegration test, and the causal relationship between the two was explored through the Granger causality test. The ADF unit root test revealed that the lighting industry and urban night-time tour belonged to second-order single integration; the Johansen cointegration test exhibited a co-integration relationship between the lighting industrial and urban night-time tour; the regression coefficient of the lighting industry (independent variable) was 0.788, showing a significance level of 0.01 (t=22.470, P=0.000<0.01); the error correction coefficient was –0.489, showing a significance level of 0.01 (t= –3.912, P=0.001<0.01). When the short-term fluctuation of the night-time tour economy deviated from the long-term equilibrium, the lighting industry would pull the night-time tour economy from an unbalanced state back to an equilibrium state with the adjustment power of –0.489. The lighting industry was only the one-way Granger result of urban night-time tour. The research results have important reference value for figuring out how China’s lighting industry can promote the development of urban night-time tour economy, guiding it to achieve high-quality development, and enhancing the strong support from the lighting industry for development of night-time tour economy.

The effects of the fourth industrial revolution on employment in South Africa: Variance decomposition analysis

This study investigates the effect of the fourth industrial revolution on levels of employment in South Africa. The fourth industrial revolution is proxied by ICT development with the components of mobile telephony, fixed-line telephony and internet penetration. The data used in this study were obtained from the World Bank's World Development Indicator database spanning from 1980 to 2019, while the labour market data was obtained from Statistics South Africa for the same time period. The study employed the Johansen Cointegration test and variance decomposition techniques to determine existence of long run equilibrium and possible shocks impact respectively. The results indicated that there exists a long run relationship between employment levels and the hypothesised determinants. The ICT revealed a positive relationship with employment in both the short and long run which is an indication of importance of fourth industrial revolution to employment in modern society. Policy recommendation were provided for the South African policy-makers in line with further deployment of ICT tools that promote employment.

Stock Market Integration among Trading Partners

This study makes an attempt to analyse the dynamics of integrating relationship shared by Indian and Chinese stock market for the period ranging from January 01, 2002 to June 30, 2021. Prominent stock indices namely BSE SENSEX index of Bombay Stock Exchange Limited, India and Shanghai Stock Exchange Composite Index (SCI) of Shanghai Stock Exchange Limited, China were considered. Johansen Cointegration test was used to analyse the long term integration shared by the stock markets. Granger causality test was employed to know the causal relation shared by the stock markets. Presence of long term integration and unidirectional causal relation between the stock markets was found. It may be inferred that investment diversification among these markets may not provide fruitful returns to the investors in long run. Presence of causality from BSESENSEX to SCI and absence of causality from SCI to BSESENSEX suggests significant flow of information from Indian stock market to the Chinese stock market but not vice-versa. Findings of the study also suggests that extent of connectedness shared by the Indian and Chinese market does not vary too much with time. The findings revealed that although the financial markets of trading partners share significant integration but the intensity of trade does not impact the extent of financial linkages shared by the nations. These implications may provide significant insights to the investors, fund’s managers, policymakers and other market players.

A Comparative Analysis between Intrinsic and Extrinsic Drivers of Inflation

In most economies, particularly in developing countries, addressing inflation remains a significant macroeconomic challenge. This study seeks to examine the factors, both internal and external, that contribute to inflationary trends in South Africa. To achieve this objective, the authors employ the Johansen cointegration test, vector error correction approach, impulse response function, and variance decomposition on quarterly time series data spanning from 1994 to 2022. The findings of the study provide compelling evidence suggesting that both internal and external factors play a statistically significant role in influencing inflation. However, external forces exert a greater impact on the inflationary pressures witnessed in South Africa when compared to internal factors. Notably, factors such as trade openness, exchange rates, and imported prices contribute significantly to the elevated inflation rate in South Africa. On the other hand, internal factors like sustainable government expenditure, interest rates, and net export prices prove effective in mitigating the inflation rate.

Are Trade Openness Drivers Relevant to Carbon Dioxide Emission? A Study of Emerging Economies

This research is focused on an in-depth analysis of the trade drivers that influence trade openness and their impact on carbon dioxide emissions, with a concentrated examination of emerging economies from 1995 to 2020. This examination is contextualized within the scope of various trade and environmental theoretical frameworks. In our analysis, we employed a range of advanced panel regression methods, including stepwise regression for model selection, as well as Fully Modified Ordinary Least Squares (FMOLS), Panel Ordinary Least Squares (Panel OLS), and Fixed Effects Model (FEM). The long-term patterns were evaluated using Johansen co-integration tests. Additionally, the study delves into the causal links between carbon dioxide emissions and the key drivers of trade, employing Granger causality tests for this purpose. Our findings disclose a complex web of relationships, both in the short and long term, between trade openness and carbon dioxide emissions, influenced by several key factors: (i) net inflows of foreign direct investment, (ii) trade reserves, (iii) per capita income, (iv) exchange rates, and (v) gross national savings.

Analysis of the Relationship between Futures Prices and Mandi Spot Prices of Spices in India

For this study, we used secondary data and applied various statistical methods, including the compound growth rate, ADF test, seasonality analysis, Johansen's cointegration test, and the Granger Causality Test. The findings revealed a positive trend in the prices of selected spices, indicating a significant growth rate for both prices and arrivals. Seasonality in prices was observed, particularly during the peak season. The price series were found to be cointegrated at a significance level of 1 per cent, and a uni-directional causality was identified in both spices. It suggested that futures prices played a dominant role in the price discovery process. It was recommended to improve warehouse structures and storage chambers to enhance the retention capacity of farmers, thereby emphasizing the importance of proper storage facilities.

Parametric test based on the bootstrapping approach for the MANOVA under a Behrens-Fisher problem

This article presents a comparison of multivariate normal mean vectors under covariance positive definite matrices. We introduce an improved parametric bootstrap (IPB) approach for addressing the multivariate Behrens-Fisher problem, specifically focusing on cases with unequal covariance matrices. Additionally, we evaluate the performance of the IPB test by comparing it with three existing tests: the parametric bootstrap (PB) test, the generalized variable (GV) test, and the Johansen test. Through Monte Carlo simulation, our results demonstrate that both the IPB test and the PB test exhibit superior control over Type I error rates compared to the GV and Johansen tests. Notably, the IPB test outperforms the PB test in terms of controlling Type I error rates. Consequently, our study concludes that the IPB test represents a preferred statistical method for testing the equality of mean vectors in the multivariate Behrens-Fisher problem.

Exchange Rate And National Output Performances: The Implication On Nigeria’s Economy

The study investigated the effect of exchange rate on economic growth in Nigeria using annual time series data from 1970 to 2021. The data were obtained from Statistical Bulletin published by the Central Bank of Nigeria 2021. The empirical studies reviewed had divergent views on the impact of exchange rate on economic growth in Nigeria. The study began with the test of unit root using Augmented Dickey-Fuller (ADF) and Philip-Peron (PP) unit root tests, followed by Johansen cointegration test, vector error correction model (VECM). The VECM indicated that exchange rate appreciation contracts output. The granger causality tests revealed that exchange rate and economic growth reinforce one another. However, based on these findings, it becomes imperative to build adequate foreign reserve to cushion-off trade shocks, promote import substitute industries, diversification of economy and enhance export oriented industries and reduction in cost of borrowing to enable domestic firms to benefit from the theoretical advantages of exchange rate variation. These measures promote the performances of macroeconomic variables in Nigeria. 
 

Financial Development and Income Inequality in Nigeria: An Empirical Investigation

This study investigates the impact of financial development on income inequality in Nigeria using secondary data from the World Development Indicators database and the Standardized World Income Inequality Database (SWIIDspanning from 1990- 2021. The methodology employed includes the ADF test for unit root, the Johansen Test for Co-integration, the Ordinary Least Square(OLS) Technique, and diagnostic tests like the normality test, Stability test, Granger causality test.The explanatory variables were financial deepening (FID), credit to the private sector (CPS), bank capital to asset ratio (BCAR), population growth (POP), and trade openness (TOP) while the dependent variable is the Gini coefficient (GINI) proxy for financial development. The unit root test result shows that the variables are in the same order of stationarity, they were all stationary at first difference. The Johansen Test for Co-integration shows that there is a long-run relationship between the variables in the model. The OLS results of the analysis show that financial deepening (FID) and bank capital to asset ratio (BCAR) have a negative relationship with income inequality in Nigeria with financial deepening having a significant relationship with income inequality; and bank capital to asset ratio have an insignificant relationship with inequality. The results also show that Credit to the private sector (CPS), population growth (POP), and trade openness (TOP) maintain a positive and insignificant relationship with income inequality in Nigeria. Based on the findings,the study recommends that policymakers should focus on several key strategies, capable of promoting financial deepening through initiatives like expanding banking services to underserved areas.

PEMODELAN ANTAR VARIABEL EKONOMI SECARA SIMULTAN MENGGUNAKAN PENDEKATAN VECTOR ERROR CORRECTION MODEL (VECM)

The movement of the Jakarta Composite Index (IHSG) is influenced by internal factors such as inflation, the BI Rate, exchange rate, and external factors consisting of world gold prices and world crude oil prices. The six economic variables have a relationship simultaneously. Vector Error Correction Model (VECM) is a Vector Autoregressive (VAR) which has non-stationary but has a long-term cointegration. The purpose of this study is to analyze the cointegration among economic variables and determine the model of economic variables. Data for the variables is monthly data for the period January 2012 to December 2021 which has fulfilled stationarity at first level of difference. The optimum lag chosen is lag 1 so that the model to be used is VECM(1) and the resulting VAR system has less than one modulus for the VAR to be stable. Johansen's cointegration test yielded 5 cointegrations, so each short-term period adjusts simultaneously and tends to adjust with each other to achieve long-term equilibrium. The Mean Absolute Percentage Error (MAPE) value in the evaluation of model accuracy ranges below 10%, so the model’s performance is very good.

Carbon Conscious Consumption: Impact of expenditure and renewable energy in Malaysia

This study aims to assess the impact of domestic consumption and renewable energy on environmental pollutants, with national income (GDP) included as a control variable. Employing the auto-regressive distributed lag (ARDL) econometric technique, the analysis spans time series data from 1990 to 2020. The bound F-test and Johansen cointegration tests validate that domestic consumption substantially contributes to environmental pollution. By addressing existing gaps in knowledge, this research provides valuable insights for shaping sustainable energy policies tailored to the unique circumstances of Malaysia.

Effect of Monetary Policy on Macro Economic Variables of Nepal

This study examines the effect of monetary policy on macroeconomic variables such as gross domestic product, real interest rate, inflation, unemployment and balance of payment etc. All the variables are intertwined with each other, and one way or the other it affects each other in both short run and long run. It is secondary research with causal comparative research design. It has quantitative nature and time series data are extracted from year 1990 to 2017 of six different macro-economic variables for the study. Statistical tools and applied econometrics namely, descriptive statistics, ADF, Johansen cointegration test, Engle- Granger error correction model are applied. The result from the statistical analysis shows that instruments of monetary policy has influence on the selected macroeconomic variables to some extent and satisfies to be relatively effective. Findings of the study reveals that there is long-run relationship between monetary policy and the selected macroeconomic variables in the Nepalese economy significantly from the error correction mechanism.

Cointegration Analysis of Macro Economic Factors, Index FTSE, on the Indonesian Stock Exchange Period 2017-2022

This research was explain about analyzing and knowing the development of the global exchange stock price FTSE index by analyzing to the Indonesia’s Stock Exchange (BEI) and to determine cointegration between FTSE 100, data Inflation, USD/IDR exchange Rates, and Interest Rate. Combined to IHSG. Data collection method was data from 5 years starting from 2017 to 2022 on a monthly basis. The sampling method is nonprobability sampling with a sampling technique, namely purposive sampling. The analysis was carried out using the Johansen Cointegration Test and VECM test which processed by Eviews 10 software. Results showed no significancy short-term relationship between FTSE 100, Inflation, USD/IDR Exchange Rates, Interest Rate and Composite Stock Price Index (IHSG ). But, on the other side have a significant long-term relationship between them.

Understanding the Growth Implications of Debt Servicing in Nigeria

This study examined the effect of external debt servicing on economic growth in Nigeria. The specific objectives are to determine the effects of multilateral debt service, total debt service and external debt stocks on gross domestic product (GDP) growth. Time series data required for the investigation were sourced from the World Development Indicators and International Debt Statistics. The data analysis techniques include descriptive statistics, unit root tests, Johansen cointegration test and parsimonious error correction model (ECM) in addition to the post- estimation tests. The unit root results showed that all the variables are stationary at first difference. In other words, this finding revealed that the variables are integrated into order one [I(1)]. Evidence of two cointegrating equations was established from the Johansen cointegration test results, which implies that GDP growth has a long-run relationship with multilateral debt service, total debt service and external debt stocks. The parsimonious ECM showed that multilateral debt service has a negative and significant effect on GDP growth. This implies that an increase in multilateral debt service is detrimental to economic growth. The results further showed that total debt service and external debt stocks negatively and significantly impacted GDP growth. This finding indicates that Nigeria has not productively utilized the growing stocks of foreign loans to enhance its contributions to economic growth. The error correction parameter (-0.432) is negative and significant, which suggests that short-run disequilibrium can adjust to a long-run equilibrium position at a speed of 43.2 per cent. Based on the findings, this study concludes that debt servicing undermines the growth of the Nigerian economy. Thus, it is recommended that among others the government should gradually reduce its debt stock to reduce the total debt service obligations and make more resources available for economic grow