Nonlinear Autoregressive Distributed Lag Research Articles

Asymmetric Effects of Economic Policy Uncertainty on Food Security in Nigeria

This study investigates the asymmetric effects of economic policy uncertainty (EPU) on food security in Nigeria, utilizing annual time series data from 1970 to 2021. The study used descriptive statistics, unit root tests, the nonlinear autoregressive distributed lag (NARDL) model and its associated Bounds tests to analyze the data. The analysis reveals that adult population, environmental degradation, exchange rate uncertainty (EXRU), financial deepening, food security (FS), government expenditure in agriculture uncertainty (GEAU), inflation, and interest rate uncertainty (INRU) exhibit positive mean values over the period, with varying degrees of volatility. Cointegration tests indicate a long-term relationship between EPU variables (GEAU, INRU, and EXRU) and food security. The study finds that cumulative positive and negative EPU variables have significant effects on food security in the short run. Specifically, negative GEAU, positive INRU, positive and negative EXRU have significant effects in the short run. In the long run, negative GEAU, positive and negative EXRU have significant effects on food security. Additionally, the research highlights asymmetric effects, showing that the influence of GEAU and EXRU on food security differs in the short- and long-run. The study underscores the importance of increased government expenditure on agriculture, control of exchange rate and interest rate uncertainty, and the reduction in economic policy uncertainty to mitigate risks in the agricultural sector and enhance food security. Recommendations include strategies to stabilize exchange rates to safeguard food supply and overall food security.

Is There J-Curve Phenomenon and Asymmetric Effects of Exchange Rate on Trade Balance in East Java?

This study aims to analyze the effect of exchange rate asymmetry on the trade balance between East Java Province and the largest trading partner countries (China, Japan, and the United States) in the short-run and long-run and to detect the J-Curve phenomenon. This study uses the Nonlinear Autoregressive Distributed-Lag (NARDL) method with 2010Q1 - 2023Q1 time-series data. The results of the study show that in the short-run, both the appreciation (NEG) and depreciation (POS) of the exchange rate have no effect on East Java's trade balance in all models. However, in the long-run, exchange rate appreciation and depreciation have a significant negative effect on East Java's trade balance across all models. Based on the estimation results, it can be concluded that there is no J-Curve phenomenon in East Java's trade balance with trading partner countries. Because in the asymmetry model, the J-Curve phenomenon can occur if depreciation or appreciation has a significant positive effect and is cointegrated in the long-run, regardless of the short-run coefficient being positive or negative and significant or not significant. From these conditions, it can be concluded that the trade industry in East Java is called inelastic. That is, price changes do not affect demand for export and import volumes. Therefore, the policy of depreciating the Rupiah exchange rate is not the best strategy to be implemented as an export promotion for East Java because only a few sectors benefit.

Asymmetric Effects of Weather-Integrated Human Brucellosis Forecasting System Using a New Nonlinear Autoregressive Distributed Lag Model

Human brucellosis (HB) remains a significant public health concern in China. This study aimed to investigate the long- and short-term asymmetric impacts of meteorological variables on HB and develop an early prediction system. Monthly data on HB incidence and meteorological variables were collected from 2005 to 2020. The study employed the autoregressive distributed lag (ARDL) and nonlinear ARDL (NARDL) to analyze the long- and short-term effects of climate variables on HB. Subsequently, the data were split into training (from January 2005 to December 2019) and testing parts (from January to December 2020) to develop and validate the forecasting accuracy of both models. During 2005–2020, there were 34,993 HB cases (2.03 per 100,000 persons) and there was an overall rising trend (average annual percentage change = 21.18%, 95%CI 18.36%–26.01%) in HB incidence, peaked in May and troughed in December per year. A 1 m/s increment and decrement in differenced (Δ) average wind velocity (AWV) contributed to 73.8% and 87.5% increases in ΔHB incidence, respectively (Wald long-run asymmetry test (WLR) = 1.17, P=0.25). A 1 hr increment and decrement in Δ(average relative humidity) contributed to both 3.1% increases in ΔHB incidence (Wald short-run asymmetry test = 3.01, P=0.003). Average temperature (AT) (P<0.001) and average air pressure (P=0.012) played a long-run linear impact on HB. Δ(aggregate precipitation) (WLR = 1.76, P=0.08) and Δ(aggregate sunshine hours) (WLR = 0.07, P=0.94) did not have a significant long-term asymmetric impact on Δlog(HB). ΔΔAT(+) and ΔΔAWV(−) at a 1-month lag had a meaningful short-run effect on Δlog(HB). In the forecasting aspect, the NARDL produced significantly smaller error rates compared to the ARDL. Weather variability played significant long- and short-run asymmetric roles in HB incidence. The NARDL by integrating climatic variables could accurately capture the dynamic structure of HB epidemic, meaning that meteorological variables should be integrated into the public health intervention plan for HB.

The asymmetric impact of government expenditure on economic growth: Evidence from a NARDL model

Since the 2011 Revolution, Tunisia has faced significant economic development challenges. Government spending plays a crucial role in fostering economic growth. This study focuses on Tunisia from 1980 to 2022, considering factors like foreign direct investment (FDI), trade openness, capital, and labor. It particularly examines spending in four government sectors: agriculture, education, health, and military. Using the Non-linear Autoregressive Distributed Lag (NARDL) model, the study investigates how these sectoral government expenditures relate to Tunisia's gross domestic product (GDP). The findings suggest that the relationship between these factors and GDP is complex. For instance, increases in trade openness and FDI generally lead to GDP growth. Similarly, changes in the labor force impact GDP differently in the short and long term, with negative and positive changes eventually benefiting the economy, but positive changes can initially decrease GDP. The study also finds that government spending on agriculture and health positively affects GDP, whereas spending on military and education has a negative impact. To enhance government spending and stimulate economic growth in Tunisia, the study recommends addressing corruption, inefficiency, and waste. It emphasizes the importance of directing public funds towards infrastructure, particularly in the education and military sectors, to improve welfare and support productive activities.

Remittances, exports, ODA, and economic growth in Bangladesh: A time series analysis

ABSTRACT This empirical study has explored the symmetric and asymmetric associations among GDP, remittances, Official Development Assistance (ODA), and exports by employing both the Autoregressive Distributed Lag (ARDL) and the Non-Linear Autoregressive Distributed Lag (NARDL) frameworks from 1986–2021. The ARDL model has found the positive impact of ODA and exports on economic growth, whereas remittance has a negative impact on growth. The NARDL framework has also supported the findings of the ARDL method. This study also provides policy recommendations to help achieve steady economic growth in the context of Bangladesh’s economy.

Unraveling Korea’s Energy Challenge: The Consequences of Carbon Dioxide Emissions and Energy Use on Economic Sustainability

This research delves into the effects of carbon dioxide emissions and energy consumption on economic growth in Korea from 1980 to 2022, employing a sophisticated nonlinear autoregressive distributed lag model. The study unveils pivotal findings, most notably the positive association between carbon dioxide emissions and economic growth, suggesting that periods of economic expansion in Korea have been accompanied by surges in emissions. Furthermore, the investigation highlights a significant, albeit asymmetrical, positive impact of primary energy consumption on economic growth, illuminating the critical role of energy in the nation’s economic trajectory. The analysis also identifies essential economic determinants—namely, the labor force, gross fixed capital formation, and net inflows of foreign direct investment—underscoring their pivotal contributions to economic proliferation. The reliability of these insights is corroborated through advanced econometric techniques, including fully modified ordinary least squares and dynamic ordinary least squares methods. A noteworthy discovery emerges from the Toda–Yamamoto causality test, revealing bidirectional Granger causality between carbon dioxide emissions and economic growth, as well as between energy consumption and economic growth. Moreover, it uncovers a unidirectional causality flowing from labor, capital formation, and foreign direct investment towards economic growth. These findings elucidate the complex interplay between environmental and economic elements, highlighting the critical need for sustainable energy policies and proactive environmental stewardship in Korea. By advocating for a synthesis of economic advancement and environmental sustainability, this study presents indispensable insights for policymakers. It calls for a judicious approach to balancing Korea’s economic ambitions with its ecological responsibilities, thereby charting a sustainable path forward for the nation. Through its comprehensive analysis, this research contributes valuable perspectives to the discourse on economic development and environmental sustainability, offering guidance for Korea’s strategic planning and policy formulation.

Asymmetric Analysis of the Impact of Taxation on Unemployment in Uganda

Uganda, like most developing countries, has one of the highest tax rates not only in Africa but also in the world. This explains the numerous challenges faced in mobilizing sufficient revenues to fight poverty and improve people’s economic welfare. We, therefore, use a more recent nonlinear autoregressive distributed lag model (NARDL) to analyze the impact of higher taxes on the unemployment rate in Uganda. Results indicate that total Unemployment in Uganda is a negative function of both an increase in tax and a negative change in tax. Specifically, if taxes increase, then unemployment decreases by almost 3.9%, and if taxes decrease, then unemployment increases by about 4.9%. Also, the unemployment level decreased by 0.06% with a decrease in the gross capital formation (GFKF). Finally, unemployment also decreases with a rise in GDP and decreases with a decrease in GDP. In a nutshell, Uganda lacks the possibility of making the economy more productive and thus only relies on taxing an already overtaxed economy. Overtaxing an economy kills the possibility of ever building a formidable capital base that can stimulate economic growth and reduce poverty and unemployment. The government, therefore, should cut taxes and level the playing field regarding tax policies for foreign and home-grown investors. Finally, policymakers should also aim to unlock the potential of the informal sector not only to create jobs but also to widen the tax base

Asymmetric role of green energy, innovation, and technology in mitigating greenhouse gas emissions: evidence from India.

The primary cause of environmental degradation, which poses a danger to the long-term viability of the ecosystem, is the emission of greenhouse gases (GHG). For this reason, the Glasgow Climate Pact (COP26) established a decarbonization goal in response to this ecological concern, for which all economic players have a responsibility. India is among the participants who have a target set for them to decarbonize their economies by the year 2060 via the use of green energy and the advancement of science and innovation. Nevertheless, the asymmetrical effect of green energy, technology, and innovation on India's decarbonization program was not sufficiently explored in the prior study; hence, this research aims to fill this literature vacuum by considering India's GHG emissions from 1990 to 2020 by leveraging the non-linear autoregressive distributed lag (NARDL) model. The findings reveal the asymmetric influences of variables of interest on GHG emissions during the short and long term and under positive and negative shocks. Regarding the positive shock, long-term findings demonstrate that innovation and technical know-how grow GHG emissions and accelerate environmental degradation. However, a negative shock in innovations and technological know-how is opposed to a positive shock and improving environmental conditions. Further, positive shocks in green energy boost environmental effectiveness by reducing GHG secretions in India. In contrast, the negative shock in green energy deteriorates the environment by triggering GHG releases. These factual findings compel the Indian government to prioritize green technologies in addition to green energy generation to decouple economic growth from greenhouse gas emissions and meet rising energy demands.

Asymmetric effects of oil prices on inflation in Côte d’Ivoire

This study examines the asymmetric effects of both international and local oil prices on the inflation rate in Côte d’Ivoire over the period 2005–2022. A nonlinear autoregressive distributed lag (NARDL) model is used to account for the asymmetric effects and analyse both long run and short run effects of oil prices on inflation. The results indicate that in the long run, an increase in international and local oil prices results in an increase in inflation rate, with higher effect for local oil prices. In addition, long run effects of a negative oil price variation on inflation have a greater magnitude than that of a positive one. The effects on inflation of Brent and diesel are statistically symmetrical. It is also found that the inflationary effects of diesel prices are greater than those of other petroleum products. Policy recommendations are provided based on the empirical results of the paper.

The asymmetric effect of investor herding on the asset price bubble - evidence from the Chinese stock market

ABSTRACT This paper aims at exploring the asymmetric effect of the investor herding behaviour on the price bubble in the Chinese stock market. We first use the backward sup ADF (BSADF) statistic and the time-varying coefficient CCK (TVC-CCK) model to dynamically measure the stock market bubble and the investor herding. Then, we adopt the nonlinear autoregressive distributed lag (NARDL) model to analyse the asymmetric impacts of the positive and negative changes of the herding behaviour on the market bubble under different market conditions from the long and short run. The empirical results show that for the Chinese stock market, the investor herding has different influence mechanisms on the price bubble under different market states, and the effects of the positive and negative herding are asymmetric in the both long term and short term. In the bull market, the continuous rise of the herding plays a fuelling role in the formation of the bubble, and the weakening of the herding can significantly curb its expansion in the long run. However, in the bear market, the aggravation of the herding plays an ‘accelerator’ role in the collapse of the bubble, and the decline of the herding can’t significantly prevent this collapse.

Oil price shocks pass‐through to domestic prices in Nigeria

AbstractThe study investigated the potential non‐linear impacts of fluctuations in oil prices on domestic prices in Nigeria. Utilising the non‐linear autoregressive distributed lag (NARDL) model, the study revealed the presence of asymmetry in the behaviour of domestic prices. Both forms of oil price shocks were observed to have a negative influence on domestic prices in the short term, with only positive oil price shocks demonstrating statistical significance. However, in the long run, a distinct pattern emerged where a decrease in oil prices significantly affected domestic prices. Additionally, analysis of VAR impulse response showed a consistently negative reaction of domestic prices to oil price shocks, falling below the steady‐state equilibrium. The study concluded that changes in oil prices, in conjunction with other macroeconomic variables, affected the prices of domestic goods in Nigeria, whether in the short or long term. This underscored the complexity of Nigeria's economic landscape. Consequently, it is advisable to prudently invest excess revenue generated from rising oil prices to mitigate the adverse impacts of negative oil shocks on the economy.

Asymmetric Effect of Income on the Healthcare Expenditure in Türkiye

This paper examines the dynamics between income and health spending in Türkiye from 1988 to 2020, employing autoregressive distributed lag (ARDL) and nonlinear ARDL (NARDL) methodologies. One of the key findings of this study is the presence of an asymmetric relationship between variations in income and overall healthcare expenditure. This means that changes in income levels do not have uniform effects on health expenditure, and the direction of these effects depends on whether income is rising or falling. Interestingly, the research reveals that both increases and decreases in income lead to a rise in total health expenditure. However, the impact of income declines on health expenditure is more pronounced. In other words, when people experience a decrease in income, they tend to allocate a larger portion of their reduced resources to health-related expenses. This highlights the significant financial strain that income reductions can place on individuals and households when it comes to healthcare costs. This pattern of asymmetric effects also extends to government or compulsory health expenditures. When income falls, the government's role in funding health expenses becomes more prominent, as individuals rely more on public healthcare services during economic downturns. Furthermore, the study sheds light on the intriguing relationship between income shifts and voluntary or out-of-pocket health expenses. Positive income shifts are found to be associated with a reduction in voluntary health expenditure. This suggests that as people experience an improvement in their financial situation, they may opt for less costly or more efficient healthcare services, leading to a decrease in out-of-pocket expenses. Conversely, when income levels decrease, individuals may find themselves with limited options, potentially resorting to more expensive private healthcare services or bearing a greater burden of out-of-pocket expenses. This finding underscores the financial vulnerability that can accompany negative income shifts.

Evaluating the waste management greenhouse gas emissions effects of domestic material biomass and raw material productivity consumption in Denmark

The planet is currently grappling with ecological upheaval as a consequence of the relentless surge in global warming. In response, the Danish government has undertaken a commitment to environmental decarbonization, setting a goal for the year 2030. This study contributes to these efforts by assessing the extent to which domestic material biomass and raw material productivity consumption impact ecological sustainability in Denmark. This assessment is based on data spanning from 1990 to 2020. Furthermore, the study takes into consideration the additional effects of economic advancement and domestic consumption of fossil fuels. These factors are addressed using a nonlinear auto-regressive distributed lag approach, which captures their respective positive and negative influences. The outcomes of the study affirm that positive (negative) shifts in domestic consumption of biomass and raw materials productivity contribute to increased (decreased) ecological sustainability in Denmark. Similarly, positive (negative) shifts in economic growth and domestic consumption of fossil fuels lead to decreased (increased) environmental sustainability. These conclusions are further substantiated by the causality results in the frequency domain. Drawing from these empirical findings, the study presents various strategies aimed at advancing diverse sustainable development goals, offering potentially beneficial avenues for Denmark's progress.

Green growth path dependence momentum under the prism of COP26: the role of financial deepening, ICT development, and export diversification.

Financial deepening is important in resource allocation for more productive enterprises, leading to sustainable green growth. Moreover, rapid development in the digital economy and export diversification significantly affect green growth. From this perspective, our study explores the impact of financial deepening, ICT development, and export diversification on green growth in China's economies from 1996 to 2021. The study explores the linkage between financial deepening, ICT development, export diversification, and green growth by employing the nonlinear autoregressive distributed lag (NARDL) approach. The results obtained in the long run are as follows: positive shock in financial deepening brings positive change in green growth, whereas negative shock in financial deepening reduces green growth. In the long run, positive shock in ICT enhances green growth, but negative shock in ICT does not impact green growth. Moreover, positive shock in export diversification brings positive change in green growth, whereas negative shock in export diversification reports an insignificant impact on green growth. Based on findings, it is suggested that financial deepening, ICT development, and export diversification are conducive to sustainable green growth.

The Impact of Crime against a Person on Domestic Investment in Dubai

The rise in crime against a person in rapidly growing cities poses significant risks to societies and economies, affecting both microeconomic and macroeconomic aspects. This trend could potentially deter economic performance and domestic investment. Consequently, this study aims to analyze the impact of crime against a person on domestic investment in Dubai spanning 1989–2021. Dubai is considered an emerging economy and a highly competitive global city. It is also acknowledged as one of the world’s smart cities. This study employed the novel nonlinear autoregressive distributed lag (NARDL) approach to investigate the impact of both the escalation and contraction of crime against a person on domestic investment in Dubai. The findings exhibit that the fluctuation in crime against a person has an asymmetrical impact on domestic investment. In addition, estimations of the positive and negative long-run asymmetric coefficients indicate that crime against a person has a negative impact on domestic investment in Dubai.

How does trade policy uncertainty affect green innovation in the USA and China? A nonlinear perspective.

Green innovations are the most critical factor in promoting environmental sustainability worldwide. Trade can speed up the adoption of green innovations by facilitating the transfer of information, skills, and technology. However, trade policy uncertainty can create significant challenges for businesses investing in eco-innovations, leading to increased risk, reduced investment, and slower progress toward sustainable technologies. Recently, a growing number of researchers have shown their interest in finding the factors that can impact green innovations, but none have investigated the influence of trade policy uncertainty on green innovations in the USA and China. In addition, none of the past studies has relied on the nonlinear assumption. This analysis fills these gaps by examining the nonlinear impacts of trade policy uncertainty on eco-innovations in China and the USA over 2000Q1-2021Q4 by employing a nonlinear ARDL model. The finding reveals that a positive shock in trade policy uncertainty results in a decrease in green innovation in the USA and China, while a negative shock in trade policy uncertainty leads to an increase in green innovation in the USA over the long run. The nonlinear models also indicate that a positive shock in trade policy uncertainty harms green innovation in both the USA and China in the short run. The robustness of these results is confirmed by the NQARDL model, which confirms that an upsurge in trade policy uncertainty lowers green innovation in most quantiles in the USA and China in the short and long run. Conversely, negative shocks in trade policy uncertainty stimulate green innovation at most quantiles in both China and the USA, in the short and long run. Thus, policymakers need to consider the potential impact of trade policies on eco-innovations and work to create stable and predictable trade environments that support the growth of renewable technologies and other sustainable solutions.

The transition to renewable energies in Tunisia: The asymmetric impacts of technological innovation, government stability, and democracy

The current study is concerned with the analysis of the determinants of the transition to green energies in Tunisia with a focus on institutional and technological factors. In fact, it affords a deep assessment of the asymmetric effects of technological innovation, government stability, and democracy along with economic growth and non renewable energy on clean energy in Tunisia. The analysis actually covers the 1984/2020 period. Therefore, to perform such analysis the Nonlinear Autoregressive Distributed Lag (NARDL) approach along with the spectral causality is used. Actually, the political context is of great importance in Tunisia, because this country has been going through a political transitional stage since the 2010 revolution. The main upshots bring out that a positive variation in government stability has no significant effect on clean energy, however a negative variation decreases renewable energy by 0.521% and 0.535% in both the long and short run, respectively. Similarly, a negative variation in democracy reduces green energies. Moreover, regarding technological innovation, the results suggest that a positive shock boosts green energy while a negative one lessens it in the long run. Furthermore, a positive variation of the Gross Domestic Product (GDP) positively affects green energy while a negative variation has a negative impact, in the long run. Finally, a positive shock on fossil fuel consumption decreases renewable energies and a negative shock positively affects them, in the long run. Moreover, the results of the causality confirm the presence of a one way causal link from renewable energy to government stability and GDP. In addition, there is bidirectional causality between democracy and renewable energy. Finally, there is a one way causal link from technological innovation and fossil fuel energy to green energy. Therefore, it is crucial that the political parties integrate environmental issues and mainly renewable energies in their political agenda. In addition, policymakers should encourage the creation of research centers devoted to renewable energies, which represent a link between scientific research and green energy industry.

Revisiting the debt–growth nexus in sub-Saharan Africa: fresh evidence from panel nonlinear ARDL approach

PurposeWhile some countries have used debt to drive economic growth, the asymmetric effect on sub-Saharan African (SSA) countries has received little attention in the empirical literature. This paper therefore examines the asymmetric effect of external debts on economic growth.Design/methodology/approachThe panel nonlinear autoregressive distributed lag (NARDL) approach was employed in the study for 29 sub-Saharan African countries from 1990 to 2021. The cross-sectional dependence test was used to determine the presence of cross-sectional dependence, while the second-generation panel unit root tests was used to examine the unit-root properties.FindingsThe empirical results show that external debt has an asymmetric effect on economic growth in both the short and long run. In the long run, a positive shock in external debts of 1% triggers an upturn in economic growth by 0.216% while a negative shock triggers 0.354% decline in economic growth. This implies that the negative shock of external debts has a much stronger impact on economic growth than the positive shock. In the short run, a positive shock in external debts by 1% triggers a decline in economic growth by 0.641%, while a negative shock of 1% triggers a fall in economic growth of 0.170%.Originality/valueThe paper used the NARDL model to examine the asymmetric impact of external debt on the economic growth of SSA countries, which has not been extensively studied. It is recommended that governments in the selected countries in sub-Saharan Africa should drive economic growth by promoting domestic revenue mobilization since external debts impede economic growth.

War‐associated geopolitical risks and uncertainty: Implications for real wages

AbstractThis paper studies the effects of geopolitical risks and uncertainty on real wages. Employing UK data from 2000: Q1 to 2022: Q2 and a partial Nonlinear‐Autoregressive Distributed Lag (NARDL) framework, we find that war‐associated geopolitical risks and uncertainty have a statistically significant though mild positive impact on real wages. We find that domestic factors including economic policy uncertainty, productivity, economic growth, unemployment, inflation expectations and unionization play a stronger role in affecting real wages. Our findings suggest that the direct effects of war‐associated geopolitical risks and uncertainty on real wages are temporary. From a policy perspective, the course of real wages will depend more on inflation expectations, productivity and most importantly unionization. We conclude that if real wages in the UK are to rise on a consistent basis then workers and particularly unions will have to gain more bargaining leverage.

A nonlinear autoregressive distributed lag approach to remittances and access to financial inclusion in Jordan

A nonlinear autoregressive distributed lag approach to remittances and access to financial inclusion in Jordan