Long-term Equilibrium Relationship Research Articles

Impact of oil price, economic globalization, and inflation on economic output: Evidence from Latin American oil-producing countries using the quantile-on-quantile approach

This research examines the impact of oil prices, economic globalization, and inflation on the economic output in oil-producing countries in Latin America. We employ advanced time series techniques to achieve precision in findings and reliability of policy inferences. We use cointegration techniques with and without structural breaks because oil prices are highly volatile, and the economies analyzed are unstable in the face of political and social changes. Additionally, we performed a sensitivity analysis using standard quantile and the newly developed quantile-on-quantile regressions to measure the impacts of the covariates on real per capita output. Finally, we use causality Fourier techniques to identify the direction of causal relationships between the series. We found that the oil price, economic globalization, inflation, and output have a long-term equilibrium relationship in the presence of structural breaks. Likewise, quantile models show that the impacts of inflation, economic globalization, and oil prices on economic output are extensively non-linear across the quantile distribution. We found a negative connection between inflation and economic output in the surveyed territories. We propose that those responsible for energy policy in the countries studied should rethink crude oil policies to maximize the benefits of oil exploitation under stagnant globalization and growing inflation.

Deep reinforcement learning for pairs trading: Evidence from China black series futures

Pair trading is one of the main methods of statistical arbitrage, mainly by taking advantage of the temporary price anomalies between related financial products with long-term equilibrium relationships to obtain arbitrage opportunities. In this paper, based on the co-integration method for the selection of allotment, the deep reinforcement learning method is integrated. The deep reinforcement learning method establishes an autonomous learning model and develops paired trading rules under different cycles. At the same time, the deep neural network model is used to implement the learning and training algorithm. This paper uses the data of Shanghai Commodity Exchange and Dalian Commodity Exchange on black futures, and the period is from January 2, 2014 to December 31, 2021. Three different periods were set for five models, namely simple threshold method (ST), simple threshold method based on pairwise cointegration (CA-ST), simple threshold method based on tripartite Cointegration (CA-ST-ALL), deep reinforcement learning method (DRL), and Deep reinforcement learning method based on pairwise cointegration (CA-DRL), and economic indicators were compared. The final results show that, combining the results of the three time periods, the deep reinforcement learning method based on pairwise cointegration performs better regarding return and risk control, validating the feasibility of deep reinforcement learning in China's future market.

Study on the relationship between informatization and marine eco-efficiency in China–taking 11 coastal provinces as examples

This article focuses on 11 coastal provinces in China and selects relevant data from 2008 to 2021. The improved entropy method is used to calculate the level of informationization development in each province. The Malmquist index is used to calculate the marine ecological efficiency of each province. The panel vector autoregression (PVAR) model is established to study the dynamic relationship between informationization and marine ecological efficiency. The results show that: (1) There is a long-term equilibrium relationship between informationization and marine ecological efficiency, and informationization is a Granger cause of marine ecological efficiency at the 5% significance level. (2) Overall, informationization has a promoting effect on marine ecological efficiency, but with a certain lag; the improvement of marine ecological efficiency also benefits the development of informationization. (3) There is a bidirectional relationship between informationization and marine ecological efficiency, and informationization has become the main influencing factor of marine ecological efficiency.

IMPACT OF EXCHANGE RATE VOLATILITY ON ECONOMIC GROWTH: 1981-2019 (ARDL MODEL)

This research investigates the relationship between exchange rates and economic growth in Nigeria during the period from 1981 to 2019. The research conducted an analysis of Nigerian data using the Ordinary Least Square (OLS) technique and identified that Exchange Rates have a favourable impact on Economic Growth. This paper affirmed the regression's validity with stationary residuals and found no long-term equilibrium using Bound Cointegration. The ARDL modelling revealed short-term connections between exchange rates and economic growth. Positive correlations were observed between exchange rates, GDP per capita growth, interest rates, and total exports, while negative relationships were noted with inflation and total imports, highlighting the importance of exchange rate stability in sustaining economic growth. This research provides a novel viewpoint on the connection between exchange rates and economic growth in Nigeria during the period from 1981 to 2019. It uncovers that more than 98% of the fluctuations in exchange rates can be accounted for by the included variables. The noteworthy discovery of the absence of a long-term equilibrium relationship within the specified time frame sets this study apart. Furthermore, it underscores the crucial role of exchange rate stability in promoting enduring economic growth, emphasising the necessity for well-designed policies that consider the intricate economic landscape.

The Role of Higher Education and Financial Development on Economic Growth: Evidence on North Cyprus

This research aims to examine the effects of the development in the higher education and financial sector on economic growth in the case of North Cyprus. Findings of time series data show that there is a long-term equilibrium relationship between real income and its elements such as labor, capital, higher education, and financial growth. Results show that both capital and labor have a statistically significant effect on economic growth. Additionally, development in the financial sector is a significant contributor to economic growth, however, higher education shows evidence of greater contribution to economic growth in North Cyprus. It draws attention that the higher education sector has a greater impact on economic development than the financial sector. In this context, government authorities should support both the financial and higher education sectors in order to accelerate their contribution to economic development. Policymakers needed to concentrate more on the higher education sector in Northern Cyprus.

Foreign direct investment on economic growth in Nepal: A sector specific analysis

This paper investigates the impact of Foreign Direct Investment (FDI) on the economic development of Nepal through a comprehensive and sector-specific analysis. With a growing interest in attracting foreign investments to foster economic growth, this study aims to provide nuanced insights into the diverse effects of FDI across various sectors in the context of Nepal. Utilizing a robust methodology that incorporates quantitative and qualitative approaches, the research examines key economic indicators and sectoral performance data over a specified period. This paper employs a sophisticated econometric framework that includes unit root tests to assess the stationarity properties of the time series data, ensuring the reliability of subsequent econometric models. The ECM and ARDL models facilitate the examination of both short-term and long-term dynamics between FDI and economic development variables, ARDL Bound test, is applied to investigate the existence of cointegration among the variables, providing insights into the long-term equilibrium relationship. Additionally, Granger causality tests are conducted to discern the directionality of causal relationships, helping to discern whether FDI leads to economic development or vice versa. The empirical results reveal compelling insights into the relationship between FDI and economic development in Nepal. Robustness checks further validate the reliability of the findings, enhancing the overall robustness and credibility of the study's empirical results. The comprehensive analysis provides valuable insights for policymakers and stakeholders aiming to formulate targeted strategies for fostering sustainable economic development in Nepal through FDI.

A comprehensive study to estimate income and price elasticities of household electricity consumption using Auto-metrics

This study focuses on understanding family electricity consumption behaviors in response to income and price changes from 1994 to 2022 across 12 prominent European countries. We employ a unique econometric approach, Auto-selection Models, to analyze the nuances of energy demand elasticity. Our methodology includes the use of saturation techniques, which are highly effective in identifying anomalies and discontinuities in the data, ensuring the reliability of our results. The Auto-metrics method streamlines the model selection process and enhances the accuracy of elasticity predictions. We use Error Correction Models (ECMs) for each country to examine the long-term equilibrium relationships among key variables such as energy consumption, household income, electricity prices, and weather patterns, taking into account any observed anomalies and significant structural changes. The findings reveal varying levels of income and price elasticity across the countries, reflecting their unique economic and climatic conditions. The study's results hold significant implications for policymaking. By recognizing and adapting to the varied characteristics of electricity demand elasticity, energy policies can be more accurately tailored at both the national and European Union levels.

Opportunities and Challenges: Adopting “Blue-Green Economy” Terms to Achieve SDGs

Sustainable development and the blue-green economy are intimately linked and collaborate. Like other nations, Indonesia follows Blue-Green economic principles to reach the Sustainable Development Goals (SDGs). This study intends to investigate Indonesia's capacity and challenges in achieving the Sustainable Development Goals (SDGs) through implementing the Blue-Green economic concept and suggest solutions to address these barriers. Indonesia has adopted a substantial approach to attain sustainable development objectives by implementing a blue-green economic policy. This is primarily due to the country's status as a growing archipelago with a heightened susceptibility to natural disasters that affect all facets of society, the economy, and advancement. Indonesia is crucial in the global geopolitical scene because of its plentiful, untapped maritime resources. Implementing the Blue Economy in Indonesia offers a great chance to accomplish the 17 Sustainable Development Goals. Prior studies focused solely on the blue or green economy and strategies for attaining sustainable development goals in Indonesia. This research is innovative as it integrates the blue-green economic idea. The study discovered that obstacles can be surmounted by implementing solutions to address legislative, governance, legal, and economic challenges. Efficiently developing the public sector is crucial. This involves applying technology advancements, managing information effectively, coordinating with stakeholders, seeking international collaborations, and adopting global best practices. It aims to determine how sustainable development indicators, specifically in Indonesia, impact economic growth indicators such as gross domestic product. Time series analysis is utilized to depict the relationship between variables. The ARDL model research shows a long-term equilibrium relationship between different measures of sustainable development and economic growth in Indonesia. Indicators of sustainable development have been seen to influence economic growth in Iraq. The analysis demonstrates that sustainable development has fueled economic growth in Indonesia from 2014 to 2024.

The Determinants of Prices of Fan Tokens as a New Sports Finance Tool

In the Covid-19 era, the income sources of sports clubs decreased, but the importance of fan tokens as new communication, management, and income source for sports clubs increased with Blockchain technology. For this reason, the relationships between fan token prices and club success, transaction volume, and attractiveness factors were examined and the important determinants of fan token prices were tried to be revealed. To determine the most suitable methods for panel data model, first of all, cross-section dependence, homogeneity, and unit root tests were carried out. Then the durbin test was performed and it was concluded that the variables were cointegrated. Finally, the coefficients were examined with the PMG/ARDL test and it was observed that the most important determinants of fan token prices were club success and transaction volume, respectively. While these factors affect fan token prices positively, the effect of the attractiveness factor is seen as less important and negative compared to other factors. In addition, in the error correction model established, the existence of a long-term equilibrium relationship between the variables was confirmed. It was concluded that the short-term deviations returned to the equilibrium after approximately 21 days.

Modeling Bank Financial Intermediation Functions: Theoretical and Empirical Evidence from Nigeria

This research examined the modeling of the financial intermediation functions of banks in Nigeria. The effectiveness of financial intermediation was determined by its impact on economic growth in Nigeria. Secondary time series data were collected to determine the association between variables. The study adopted an ex post facto research design and used ordinary least squares regression tests that reveal the predictive power of the model as well as the relative statistics of the short-term variables, while testing for the existence of a long-term equilibrium relationship, based on the multivariate cointegration technique performed. The results of the study suggest that there are both short-term and long-term relationships between financial intermediation and economic growth in Nigeria. Specifically, CBCPS has a positive relationship with GDP, while MS and MLR have a positive and significant relationship with GDP in the long run. The study recommends, inter alia, that monetary authorities, in particular the Central Bank of Nigeria, has to use measures to force banks to reduce their interest rates on loans. This will increase investment and enhance the overall performance of the economy's productive sectors.

Estimating the Impact of Monetary Stability and Commercial Exposure on the Agricultural Sector’s Production of Vegetable Oils in Iraq for the Period 2003-2020

This manuscript aims to estimate the impact of monetary stability and commercial exposure on the agricultural sector's production of vegetable oils in Iraq for the period 2003-2020. We assume that monetary stability and commercial exposure impact the quantity of vegetable oil production. Use descriptive analytical approach and use econometric techniques estimate the impact utilizing unit root testing with the extended Dickey-Fuller (ADF) time series test. The variables became stationary after taking their first difference. According to Johansen, co-integration was observed when co-integration was tested as the vector error correction model (VECM) was applied. There is a long-term equilibrium relationship between the independent monetary stability variable (X1), the independent trade exposure variable (X2), and the dependent variable of the quantity of vegetable oil production (Q). That is, there is a long-term equilibrium relationship that goes from (X1) and (X2) to (Q). The results indicate that there is a significant positive relationship (positive effect) between monetary stability (X1) and the agricultural production of vegetable oils (Q) in the long term. There is an inverse significant relationship (reverse effect) of commercial exposure (X2) on agricultural production of vegetable oils (Q) in the long term. The quality of the model's performance and its safety from standard problems were confirmed. The manuscript recommends that the government of Iraq get up prioritize supporting the vegetable oils sector by developing a strategy that works to increase production and includes providing financial and in-kind support and preparing infrastructure for the agricultural sector to reflect the increase in the production of vegetable oils because they are considered a cash crop and essential for achieving food security.

Is There a Trade-off Between Economic Growth, Foreign Direct Investment, International Trade and Environmental Degradation? A Comparison Between Asian Developed and Developing Countries

Against the backdrop of impressive economic growth, the attractive foreign direct investment (FDI) and international trade of Asian countries, this study attempts to examine whether trade-offs between three aspects of economic growth, FDI, international trade and environmental degradation. Panel Autoregressive Distributed Lag (P-ARDL) model with pooled mean group estimates has been applied on panel data from 1996 to 2019. Panel Vector Error Correction model (VECM) Granger causality test is also used to identify multidimensional causal relationships between variables. The research results confirm the existence of a long-term equilibrium relationship between environmental degradation (CO2 emission) and the combination of economic growth, FDI and trade openness. In the short run, income positively affects CO2 emission while negative impacts and lower income elasticity have been found in the long run, implying that CO2 emission decreases and reverses its direction when income rises. Contrasting results collected from two groups of developed versus developing countries, the author reveals a linear relationship with a positive direction between economic growth and environmental degradation in developing countries while opposite results have been shown in developed nations, which supports the environmental Kuznets curve hypothesis in Asian countries. This study also provides sound proof for the ‘pollution haven hypothesis’ and the scale effects on FDI attraction and international trade. By applying relatively new estimators in the field of econometrics to compare the differences between Asian developed and developing countries, the research highlights the appropriate policies contributing to sustainable economic growth, attractive FDI and growing green trade with minimum adverse effects on the environment. JEL Codes: C33, F18, F21, F43, O44, Q40, Q51, Q53

Assessing the price levels of medical service and influential factors: evidence from China

BackgroundMedical service prices play a crucial role in cost containment in China. This study aimed to assess the change in medical service price levels at the macro level and the relationship with relevant macroeconomic factors.MethodsData from the 2022 China Statistics Yearbook, the 2022 China Health Statistics Yearbook, and the 2020 China National Health Accounts Report were used. Time trends of health price levels, utilization, and health expenditure were examined. A time-series regression model was employed to measure the impact of service utilization and medical service prices on total medical service expenditure growth from 2000 to 2021. The Johansen cointegration test was conducted to test the cointegrating relationship between medical service price levels and total medical service expenditure, average wage of employees and CPI. The Granger causality test was performed to observe the direction of causality.ResultsDescriptive analyses showed consistent growth in utilization and medical service price levels from 2000 to 2021. The time-series model indicated that medical service expenditure was influenced by the rise in inpatient admissions and price levels of medical service and medicine. The Johansen cointegration test identified a long-term equilibrium relationship between medical service price levels and total medical service expenditure, average wage and CPI. The change in medical service price levels was the Granger cause of the change in medical service expenditure, but it had no impact on average wage and CPI. However, the change in medical service price levels was influenced by these three macroeconomic factors.ConclusionsThe growth of medical service expenditure in China was driven by inpatient use and price level. There was a long-term equilibrium relationship between medical service price levels and relevant macroeconomic factors. However, medical service price levels only affected medical service expenditure and have no impact on average wage and CPI. It is necessary to improve the value transmission mechanism of medical service prices.

The Application of Multimodal Teaching Model Based on VAR Model in English Teaching in Colleges and Universities

Abstract In this paper, a multimodal teaching model based on vector autoregressive (VAR) model is constructed for English teaching in colleges and universities, and the model is optimized and improved. The VAR model can predict the potential future paths of the specified variables in the model, and thus measure the long-term equilibrium relationship of multiple variables in English teaching in colleges and universities. This model was empirically studied in the multimodal teaching of four listening, speaking, reading and writing aspects. The results of the study show that the students in the experimental group significantly improved their performance in the listening test, in which the average scores of Groups A, B, and C were 18.49, 20.265, and 21.99, respectively, with a p-value of 0.000, which is lower than the 0.05 level of significance. Most of the students think that the multimodal English film and video clip teaching mode helps improve English thinking ability and fluency of oral expression. Regarding reading comprehension, the average score of the experimental class reaches 20.89 while the control class is 16.8, with a p-value of 0.001, indicating that the practical class is significantly better than the control class. Regarding writing instruction, most students also preferred multimodal instruction and recognized its positive effects. The application of multimodal teaching mode based on VAR model in English teaching in colleges and universities is practical and can significantly improve students’ listening, speaking, reading and writing abilities.

Uticaj otvorenosti trgovine na ekonomski rast unutar zemalja BRIKS-a - pristup ARDL panela

This paper investigates the connection between trade openness and economic growth in the BRICS countries (Brazil, Russia, India, China, and South Africa) using an autoregressive distributed lag (ARDL) panel approach. The study aims to shed light on the importance of international trade in fostering economic growth, particularly for developing countries. We assess the long-term equilibrium relationship between trade openness and economic growth in the BRICS context using a comprehensive panel dataset and advanced econometric techniques. The findings indicate a positive and significant impact of trade openness on economic growth, emphasizing the need for policies promoting trade liberalization and attracting foreign direct investment. This study contributes to the existing literature by offering empirical insights into the specific dynamics of trade openness and economic growth within the BRICS countries.

The nature of agricultural imports in Iraq and their impact in economic growth during the period 1990-2022

The research aims to determine the impact of agricultural imports and some other variables in economic growth, in which the values of agricultural imports X1, the foreign exchange rate X2, the inflation rate X3, and the population X4 were adopted as independent variables in order to measure their impact on the dependent variable of economic growth in Iraq Y. The standard model was estimated through testing the stability of the data series and for all variables and it was found that the variables have settled at the first level of the data and the first difference to them. Therefore the ARDL model was chosen to indicate the balanced relationship between imports and economic growth in the short and long term, and it was shown through the results of the research that there is a common long-term complementary relationship between economic growth and import components included in the standard model. The results confirmed that Iraq is one of the countries that have gone through difficult economic conditions and a state of political instability, turmoil, wars and economic blockade. Which caused a slowdown in its economic growth rates. The results of the unit root test showed that most of them are stable after taking the first difference, and the study found a joint integration and a long-term equilibrium relationship between the components of imports and economic growth. The results of the study showed that the impact of agricultural imports is significant and positive in economic growth. But their value indicates that the local market is not satisfied with the total agricultural products and this was consistent with economic theory and consistent with the objectives of the research. We recommend employing import revenues in a way that serves economic growth and reduce excessive imports of consumer and luxury goods. In order to be more positive in influencing economic growth, and facilitating import restrictions of raw materials and machinery to serve agricultural production capacities with attention to the agricultural sector and work to develop its production quantitatively and qualitatively and commensurate with the needs of the Iraqi economy. And research for other sources that contribute to increasing national income and thus raising the rate of economic growth.

Determinants of NEPSE Index: Insights from ARDL Modeling

Background: The stock market, acting as an economic barometer, crucially influences a nation's development by gauging its financial stability. In contrast, sustainable stock market indices have become vital in assessing listed companies' long-term viability and ESG performance.
 Objectives: The research aims to uncover the influence of various macroeconomic factors (GDP growth, inflation, broad money supply) and bank-specific indicators (bank stability, funding risk, interest rate) on the NEPSE index.
 Methods: This study delves into the determinants shaping the NEPSE index in Nepal, utilizing the autoregressive distributed lag (ARDL) model with annual time series data spanning from 1995 to 2022. The NEPSE index, as a measure of sustainable stock market performance, becomes crucial in understanding market dynamics. This study analyzes the impact of GDP growth, inflation, broad money supply (M2), and bank-specific indicators on the NEPSE index.
 Results: The study found that the NEPSE index is positively influenced by GDP growth, broad money supply (M2), and bank stability (BSTAB). Policymakers are urged to focus on fostering GDP growth, implementing effective monetary policies, and enforcing robust banking regulations to create a conducive market atmosphere, thereby inspiring investor trust. Conversely, the study demonstrates that inflation and funding risk (FRISK) exert a negative and significant impact on the NEPSE index. Hence, policymakers and central banks are advised to closely monitor and manage these variables to ensure stability and investor confidence, thereby nurturing a healthy stock market environment.
 Conclusion: There is a long-term equilibrium relationship between selected variables and the NEPSE index. Macroeconomic policies and bank-specific quality play an important role in the sustainable NEPSE index.
 Implications: The outcomes of this research underscore the importance of maintaining stable inflation rates and effectively managing funding risks and interest rates. By doing so, regulators can facilitate a stable and conducive environment for stock market investments, encouraging economic growth and investor participation. These insights are invaluable for shaping effective policies and regulations, promoting a vibrant stock market, and fostering economic stability in Nepal.

Gold Price and Inflation Relationship in India: Empirical Study

Abstract: This empirical study investigates the complex relationship between gold prices and inflation in India, a country where gold is deeply entrenched not only as an economic asset but also as a cultural symbol. Recognizing gold's unique position in the Indian context, this research explores how global economic trends and domestic cultural practices converge to influence gold prices. The study utilizes examining key economic indicators such as crude oil prices, exchange rates, trade and fiscal deficits, and their interplay with gold prices. Employing unit root tests like KPSS and Ng-Perron, followed by Johansen’s cointegration analysis and Granger causality tests, the research uncovers significant long-term equilibrium relationships and directional influences among these variables. The findings reveal the multifaceted nature of gold in India, influenced by both global economic conditions and socio-cultural factors, offering insights crucial for policymakers and investors alike. This study contributes to a deeper understanding of the gold market in India, highlighting its role as an inflation hedge and its cultural significance, thereby enriching the broader discourse on gold in the global economic landscape.

주택시장과 거시경제변수들 간의 장기적 균형관계 연구

This paper was empirically conducted to compare the explanatory power of the Vector Error Correction Model (VECM) and Vector Autoregressive Model (VAR Model) in predicting the long-term equilibrium relationship between housing prices and macroeconomic variables. The analysis period spans from January 1987 to July 2023. The analysis results are as follows. First, it is found that there exists one cointegration relationship among housing prices, stock prices, liquidity, 5-year yield of government housing bonds, and income. Therefore, the VECM model can be applied to analyze the long- and short-term equilibrium relationship. Secondly, the estimation results of the VECM model revealed the presence of the following long-term relationships: a negative (-) relationship between housing prices and stock prices, a positive (+) relationship with liquidity, a negative (-) relationship with the 5-year yield of government housing bonds, and a positive (+) relationship with income. This aligns with the expected theoretical signs. Thirdly, the Root Mean Square Error (RMSE) and Theil's Inequality Coefficient, which indicate the predictive and explanatory power of the VECM and VAR models, respectively, showed that the VECM model outperformed the VAR model with smaller values for both metrics. Therefore, when a cointegration relationship exists between housing prices and macroeconomic variables, it is necessary to apply the VECM model rather than the VAR model for analysis.

Foreign Direct Investment, Non-Renewable Energy and Economic Growth: An Empirical Analysis from South Africa

Purpose This study aims to examine the connection between foreign direct investment, non-renewable energy, and economic growth in South Africa. Methodology The data was collected from the World Bank’s website from 1990 to 2020. The VECM and Granger causality approaches were employed to evaluate the connection between Economic growth, FDI, and Non-renewable energy. Findings The findings show that a long-term equilibrium relationship exists among the variables. Further, the result of the Vector Error Correction Model (VECM), shows a coefficient value of 0.0038 indicating the short-term adjustment speed of the system towards its long-run equilibrium. The result of Granger causality shows no bidirectional Granger causality among any of the variables. There is a Unidirectional Causality between GDPC and NRENW. Conclusion The study concluded that non-renewable energy can enhance economic growth in these countries, but it can aggravate the degradation of the environment. Essentially, foreign direct investment (FDI) significantly and negatively affects growth, suggesting that FDI entry into African nations negatively affects the environment.