Nonlinear Autoregressive Distributed Lag Research Articles

Health care expenditure, economic growth, and population ageing in Japan: empirical evidence using the nonlinear ARDL approach

ABSTRACT In Japan, health care expenditure (HCE) has increased with the rapid ageing of the population. It raises concerns on how the public health care insurance system should be sustained in the future, since the dependence on public burdens is growing under the government’s difficult financial conditions. This study investigates the cointegration relationship between HCE, GDP, and the population ageing rate (AGE) in Japan for the period 1960–2019 by using the nonlinear ARDL approach. The results revealed that per capita HCE may increase more significantly during an economic downturn than during an economic improvement in the long-run. Moreover, an increase in AGE has a positive effect on per capita HCE. These findings show the need to achieve stable economic growth and seriously address the issue of ageing for policymakers in Japan.

Asymmetric shocks of the COVID-19 pandemic on the Australian stock market: Evidence from multiple threshold nonlinear ARDL (MTNARDL) approach

This study investigates the asymmetric effects of the COVID-19 pandemic on the Australian stock market using a novel methodology (multiple threshold nonlinear ARDL). We find that, in the short-term, the pandemic's impact is statistically insignificant for moderate levels of pandemic intensity (30–70% range). However, for both more severe outbreaks (above 70%) and less intense initial stages (below 30%), the pandemic shows short-term negative effects. Interestingly, these adverse effects become consistent across all intensity levels in the long-term. Additionally, our analysis reveals counterintuitive relationships between daily economic activity and stock market performance at different pandemic intensity thresholds.

Achieving climate sustainability in the Republic of Congo: The role of economic growth, biomass energy consumption, rule of law and government effectiveness- a NARDL Approach

This study explores the relationship between economic growth (GDP), biomass energy consumption (BEC), Rule of Law, and Government Effectiveness on climate change (CO2 emissions) in the Republic of Congo from 1990 to 2020. We employed a nonlinear autoregressive distributed Lag (NARDL) model to analyse data from World Bank databases. Higher GDP leads to lower CO2 emissions in the long run. Increased BEC also reduces emissions, but a decrease can have a small negative impact. Interestingly, a stronger Rule of Law and Government Effectiveness is associated with higher CO2 emissions in the short run, potentially due to relaxed environmental regulations. However, a stronger Rule of Law and Government Effectiveness leads to lower emissions in the long run, suggesting a potential shift towards sustainable practices. These findings provide valuable insights for policymakers aiming to achieve economic growth and climate stability in the Republic of Congo.

Nonstationary Time Series Models Using ARDL and NARDL Estimation

The paper features an examination of the link between the behavior of the Money supply and Bank deposit in both an autoregressive distributed lag ARDL, plus a nonlinear autoregressive distributed lag NARDL framework. The regression relationship between any two nonstationary time series suffer from the problem of superior regression and the results may be incorrect and unreliable, and to overcome this problem the aim of this paper was find a balanced relationship in the long - run between the variables of Money supply and Bank deposits using the method of cointegration by focusing on the behavior of the residuals of the cointegration model based on monthly data for a time series for the period (2010-2015). The time series stationary test was done by conducting the Unit Root Test based on the Philips-Perron test to find out the stationary of the variables and then detect the existence of the cointegration using the bounds testing, the tests showed the nonstationary of the time series at level I(0) and their become stationary after taking the first differences I(1). Bounds test showed the existence of cointegration .The Error correction model for the ARDL model was the best, despite the convergence of most of the test results for the two models, but the ARDL model was the more accurate with the speed of adjustment in the short -run to return to long-run equilibrium, as it reached (37%) and a period of two months for the ARDL model, while the percentage for the NARDL model was equal to (28%) and a period of time of approximately three and a half months.

Understanding the Nexus between Oil Price Volatility and Trade Balance in GCC Countries: A Comparative Investigation of Panel Linear and Nonlinear ARDL Models

Understanding the Nexus between Oil Price Volatility and Trade Balance in GCC Countries: A Comparative Investigation of Panel Linear and Nonlinear ARDL Models

Asymmetric impact of energy consumption & financial development on environment using ARDL approach: Case of ASEAN countries

Current research explores the adverse impact of energy consumption and economic development in the ASEAN region. The choice of the region stems from the fact that the human development index of the region ranges widely from 0.93 of Singapore to that of Myanmar, which is 0.58. besides that, the region's Ecological Footprint is increasing with time. Another aspect of the region stems from the fact that, on average, the region has had an ecological deficit since the 1970s. This research examines the origins of environmental degradation in South Asia by analyzing the lopsided impact of urbanization and economic expansion on economic growth and energy use. This study applies the non-linear autoregressive distributive lag (NARDL) method to examine the asymmetry that results from both the positive and negative disruptions of financial development and energy consumption, using an annual dataset spanning 1980 to 2021. According to the NARDL model's findings, both positive and negative shocks in energy consumption significantly contribute to increasing environmental degradation over the long run and decreasing the density of CO2 emissions in the short run. While several factors can cause short-term changes in CO2 emissions, only an adverse shift in financial development can have a lasting and major effect on global emissions. In addition, the ARDL model's findings suggest that less environmental deterioration occurs due to economic progress, but CO2 emissions increase due to rising energy consumption. This article argues that governments should try to achieve high economic success through energy consumption and economic growth that is less taxing on the environment.

The Asymmetric Effects of Global Energy and Food Prices, Exchange Rate Dynamics, and Monetary Policy Conduct on Inflation in Indonesia

This research analyzes the asymmetric effects of global energy and food prices and monetary variables, including the exchange rate and money supply, on the consumer price index (CPI). The model is intended to differentiate the influence of increases and decreases in global energy and food prices, exchange rates, and money supply which cause inflation/deflation from changes in the CPI. The analysis uses the Nonlinear Autoregressive Distributed Lag (NARDL) and Quantile Regression models on data from January 2001 to February 2023. The study results show that the decline in global energy prices significantly reduces the CPI in the long run. Energy subsidies allow increases in international energy prices not to increase the CPI significantly. Meanwhile, the increase in global food prices causes inflation in the short run. The exchange rate has the most significant effect on the CPI. Depreciation of the rupiah significantly increases the CPI, which means it causes inflation, while appreciation of the rupiah does not have a significant effect. Finally, increases and decreases in the money supply have a considerable positive effect on the CPI, which confirms the logic of the monetarist view that inflation is a monetary phenomenon. Efforts to reduce dependence on imports of food and energy commodities are the key to reducing risks when importing energy and food due to rupiah depreciation. Efforts to consistently stabilize the exchange rate can support controlling and stabilizing import prices. Energy and food subsidy policies are vital in controlling inflation due to increased world energy and food prices.

Investigating the asymmetric impact of artificial intelligence on renewable energy under climate policy uncertainty

The focus on sustainable development and the transition to renewable energy sources has intensified due to the risks associated with climate change. This study provides new insights into the impact of artificial intelligence (AI) and climate policy uncertainty (CPU) on the development of renewable energy (RE) in China. Utilizing a nonlinear autoregressive distributed lag (NARDL) framework, the asymmetric relationship between these variables from January 2013 to April 2023 is revealed. The empirical results indicate a significant positive asymmetric effect of AI on RE development, with downturns in AI having a more pronounced influence compared to upswings. Additionally, CPU has a positive effect on RE development, also exhibiting an asymmetric pattern where declines in CPU have a more substantial impact than upturns. These findings highlight the critical roles of AI and CPU in renewable energy development and add new dimensions to existing research. Policymakers should consider these asymmetric dynamics when formulating strategies to facilitate the energy transition through climate policymaking and the advancement of AI-driven technologies.

Exploring the interconnection between international crude oil and silver rates volatilities: Novel evidence from the COVID-19 pandemic

Several research studies globally focus on the volatility of gold and oil prices, neglecting an examination of silver price volatility in relation to other market commodities. The current Covid-19 pandemic has led to various uncertainties and fluctuations in financial and stock exchange markets, yet existing literature primarily concentrates on individual product rates rather than combined rate changes. Our study aims to bridge this research gap by analyzing the relationship between oil rates, silver rates, oil rate transitions, and silver rate transitions on the security exchange in China from 1990 to 2022, using the ARDL approach and Nonlinear ARDL for a comprehensive assessment. The findings reveal a significant impact of silver and oil rates on China's security exchange in the future, with the negative effects of oil rate changes and a positive effect of silver rate transitions. In the short term, oil and silver rates play a crucial role in influencing China's security exchange, highlighting the importance of monitoring these trends for investors. It is recommended that investors respond prudently to market transitions, particularly by considering silver as a secure option during times of uncertainty, while policymakers should implement appropriate measures to manage the rapid fluctuations from oil to the security market.

Asymmetric Effects of Expected Oil Wealth on the Demand for Money in Nigeria

The paper investigates the asymmetric effects of expected oil wealth on the demand for money in Nigeria over the period 1986:Q1–2020:Q4, by using linear autoregressive distributed lag (ARDL) and nonlinear ARDL (NARDL) approaches. The linear (ARDL) bounds testing approach shows that expected oil wealth has no significant effect both in the short and long run. However, when a NARDL model is applied, the effect of negative and positive expected oil wealth shocks on the demand for money is significant and unequal in the long run, with a higher long-term impact of negative shocks compared to positive shocks. This result highlights a long-run asymmetry in the transmission of expected oil wealth shocks. Expected oil wealth is thus rather a long-run phenomenon for the Nigerian money demand function.

Probing the Interplay Between Climate Change and Global Energy Security: Insights From Nonlinear Analysis

Motivated by the adverse effects of climate change on human well-being, this study investigated the influence of climate change on energy security. Employing a nonlinear autoregressive distributed lag (NARDL) approach, the study encompasses the timeframe from 1970 to 2022. The empirical findings unveil a harmful effect of climate change on energy security in the long term and present a varied impact in the short term.

Defence Spending, Economic Growth and Regional Balance: Evidence from Azerbaijan and Armenia

Military expenditures have a significant impact not only on the socioeconomic condition of a state but also on the regional balance of power. In this study it will be examined the relationship between military expenditures and economic conditions in Azerbaijan and Armenia and impacts of military expeditures on the regional balance. In the context of the diplomatic history from the First Karabakh War to the Second Karabakh War, the regional balance between the two states is clarified. Then the complex relationship between military expenditures and economic conditions is empirically analyzed via using non-linear ARDL and ARDL limited test methods. The empirical findings indicate that in Azerbaijan, military spending aligns with the Military-led Standard of Living Improvement Hypothesis, whereas its positive effect on well-being in Armenia is minimal. Specifically, military expenditure positively influences the standard of living and well-being in Azerbaijan, as evidenced by both the ARDL Bound and multiplier effect. Conversely, according to the Military Burden Hypothesis, military spending poses a burden on the budgets of both countries. Nevertheless, this burden is more pronounced for Azerbaijan compared to Armenia, where the adverse impact of military expenditure is comparatively lesser.

Asymmetric Effect of Monetary Policy on Asset Prices: Contractionary VS Expansionary Regimes

This research study seeks to investigate the asymmetrical impact of monetary policy on asset prices (stock price and house prices as indicators of asset prices). Understanding this asymmetry is crucial for policymakers and central banks to evaluate the implications of expansionary and contractionary monetary policies on asset price dynamics. The study examines both interest rates and the money supply, which are key tools of monetary policy, to determine if they have similar effects on asset prices across various economic regimes in 51 countries with diverse income levels for the period of 2009 to 2021. Using a linear and non-linear ARDL (NARDL) approach this study analyze the short-run and long-run impacts of monetary policy on stock and house prices, besides comparing the symmetric and asymmetric impacts of monetary policy shocks on these prices. The outcomes accentuate the importance of policymakers being cognizant of the impacts of different policy regimes on asset prices. Notably, the study reveals a significant and negative short-term impact of interest rates on asset prices under contractionary monetary policy. Conversely, expansionary monetary policy does not demonstrate a significant short-term effect on asset prices. This study makes substantial contributions by deepening insights into the efficacy of monetary policy, offering practical guidance for policymakers, and addressing a pivotal void in the extant scholarly discourse.

Modeling Asymmetric Effects of Exchange Rate Fluctuations on Agricultural Trade Balance: Evidence from Iran and Iraq

The exchange rate plays a crucial role in foreign trade and has asymmetric effects. This study examines the asymmetric effects of exchange rate volatility on the trade balance in the agricultural sector between Iran and Iraq, using the non-linear ARDL model from 1998 to 2020. The results show that Iraq's GDP and oil price fluctuations positively affect the trade balance. In contrast, Iran's GDP and the U.S. economic sanctions against Iran have negative and significant effects on the trade balance of Iran with Iraq in the agriculture sector. The results do not confirm the existence of the J-curve effect in the trade relations between Iran and Iraq, because an increase in the bilateral exchange rate, in both the long-run and short-run, improves the trade balance of Iran with Iraq in the agriculture sector. Furthermore, the positive and negative fluctuations of the bilateral exchange rate have different effects on the trade balance. While the devaluation of the national currency does not cause a downward trend in the short run, the exchange rate policy can improve the trade balance from the beginning.

Impact of Globalisation and Energy Consumption on CO2 Emissions: Empirical Evidence from Lithuania Using Linear and Non-linear ARDL Bound Testing Approach

Impact of Globalisation and Energy Consumption on CO2 Emissions: Empirical Evidence from Lithuania Using Linear and Non-linear ARDL Bound Testing Approach

Modelling the asymmetric impact of economic growth and poverty on gender inequality: Evidence from India using nonlinear ARDL analysis

The study is based on the premise that economic growth (henceforth EG) and poverty impact men and women differently. As a result, shocks to these variables cannot be expected to have a symmetric impact on gender inequality (henceforth GI). Rather, positive and negative shocks in poverty and EG impact men and women asymmetrically which necessitates the study of their relationship using an asymmetric rather than a symmetric approach. This study is the first to utilise nonlinear autoregressive distributed lag (NARDL) analysis and asymmetric cumulative dynamic multipliers to investigate the asymmetric impact of EG and poverty on GI in India using annual data over the period 1995–2021. Additionally, we construct a comprehensive index of GI, using principle component analysis (PCA), which is a maiden attempt to account reported crime against women, in addition to gender disparities in health, education, labour market and parliamentary representation. The results report that positive shocks in EG reduce GI and negative shocks increase it. However, negative shocks increase GI more than positive shocks decrease it justifying the asymmetry. With respect to the asymmetric impact of poverty on GI, the study finds that both positive and negative shocks in poverty increase GI, however, the positive shock in poverty has a larger impact than the negative one. This is in consonance with the literature on intrahousehold gender disparities in consumption. The study finds new evidence that EG and poverty reduction favours men more than women and recommends its inclusion in policy formulation.

The Asymmetric Effects of Oil Price Volatility on Stock Returns: Evidence from Ho Chi Minh Stock Exchange

This study is the first to investigate the asymmetric effects of oil price volatility on stock returns for the Ho Chi Minh Stock Exchange (HOSE). We utilized weekly series of VN30-Index, WTI crude oil prices, geopolitical risks (GPR) index, and gold prices spanning from 6 February 2012 to 31 December 2023 as data sources. Using a nonlinear autoregressive distributed lag (NARDL) bounds testing approach, we found that, in the shortterm, oil price volatility has negative asymmetric effects on market returns. Specifically, in the shortterm, a 1 percent increase in oil price volatility immediately leads to a 2.6868 percent decrease in the market returns, while a similar magnitude decrease in oil price volatility is associated with a 6.3180 percent increase in the market returns. In addition, the results obtained from the NARDL model indicated that, in the longterm, the negative and positive changes of oil price volatility have significantly negative effects on the market returns. Finally, the findings derived from the error correction model (ECM) show that a 98.21 percent deviation from the equilibrium level in the previous week is converged and corrected back to the long-term equilibrium in the current week.

Does corruption affect development outcomes differently in sub-Saharan Africa? Fresh evidence from Ghana

This study demonstrates that the effect of corruption on development might be dissimilar depending on how development is perceived. This study uses the linear and nonlinear ARDL bounds test estimation technique to cointegration with annual time series data (1980–2023 for WDI and 1995–2023 for Transparency International). Thus, the symmetric analysis reveals that corruption stimulates economic development in the long run; but in the short run, the effect is negative. However, the effect of corruption on sustainability is consistently negative in the short and long runs. The asymmetric analysis establishes a strong effect of corruption and corruption controls on economic development in the long run but with a weak effect in the short run. Yet, on sustainability, corruption has a weak consequence on genuine wealth per capita in the short run, but the long-run asymmetric effect is inconclusive. Governments in Africa, particularly Ghana must pay serious attention to the SDGs with recourse to the expedition of trial on environmental-related corruption cases. Strict adherence to environmental policies by MNEs must also be encouraged to stem the tide of the greenhouse effect (GHG).

Repercussions of Pakistan's renewable and non-renewable energies to the environmental footprint: Applying the non-linear ARDL estimation

The energy consumption in Pakistan, both renewable and nonrenewable, is examined herein as an important factor in carbon emissions. Employing a nonlinear ARDL (auto-regressive distributed lag), the research examines data from 1980 to 2021. The results show that the use of renewable energy has a negligible effect when it comes to the nation's overall carbon emissions. This is mainly because the key pollutants in Pakistan's energy sector come from nonrenewable sources, such as coal and natural gas. However, the report observes that the carbon emissions within the nonrenewable energy sector are directly related to economic growth. A further theorem of the nonlinear analysis has brought the limited role of renewable energy in resolving environmental problems into sharper focus, perhaps due to its lower proportion of Pakistan's total energy mix. According to the study, improving the proportion of renewable energy is the only way to combat environmental problems.

Asymmetric Effects of Economic Growth, Fossil Fuel Consumption, and Financial Development on Carbon Emissions in Ghana

This research analyzes the impact of economic expansion, non-renewable energy consumption (NonREC), financial sector improvement, and carbon releases in Ghana. The study used yearly data from 1971 to 2014 and applied the Nonlinear Autoregressive Distributed Lag (NARDL) method to examine the data. The NARDLapproach facilitated the differentiation of variables into favorable and unfavorable adjustments by examining the short- and long-run effects. The results indicated that all the independent variables exhibited short-term asymmetries, while economic growth presented long-term asymmetry. Negative adjustments in economic expansion led to a decline in carbon releases in the long run but an increase in the short run. favorable and unfavorable adjustments in NonREC positively and negatively impact carbon releases in both the short and long term. Additionally, negative adjustments in financial development positively affected carbon releases in the long run. The cumulative dynamic multipliers graphs and impulse response function graphs illustrate the same impact pattern of the independent variables on carbon releases, confirming the findings' robustness. The study suggests implementing environmental policies in Ghana that promote renewable sources of energy and energy-conserving innovations to reduce environmental degradation. The findings recommend that the decision-maker prioritize effective environmental strategies like a green economy, renewable energy use, and energy-saving technologies. By adopting clean energy and implementing advanced technologies, sustainable economic growth can be achieved while preserving the environment and the ecosystem.