Panel Vector Error Correction Model Research Articles

Effect of Corporate Environmental Performance on Banks’ Loan Pricing

Effect of Corporate Environmental Performance on Banks’ Loan Pricing

The Relationship Between Education Inequality, Poverty, and Economic Growth

This study aims to establish the relationship between education inequality, poverty, and economic growth in the 10 Provinces of Sumatra Island 2004-2022. The data used is secondary data sourced from the Badan Pusat Statistik (BPS). The analytical approach employed encompasses the Panel Vector Error Correction Model (PVECM) along with Granger Causality. The findings indicate the presence of both short-term and long-term associations between education inequality and economic growth concerning poverty levels in the 10 Provinces of Sumatra Island. Furthermore, a bidirectional connection is observed between education inequality and economic growth within the 10 Provinces of Sumatera Island. Conversely, a unidirectional linkage is identified between economic growth and poverty in the 10 Province of Sumatera Island. It is anticipated that governmental policies will aim to enhance educational aspects and promote public consciousness regarding education to bolster developmental investments across various regional autonomies at both the Regency/City and Province tiers in Indonesia.

European Tourism Sector Development in the Context of Energy Uncertainty

The research is a novel to study the impact of energy uncertainty on international tourism receipt in 11 European countries namely Belgium, Croatia, Denmark, France, Germany, Greece, Ireland, Italy, Netherlands, Spain and Sweden due to availability of energy uncertainty index data recently developed by Dang et al. (2023). As econometric tool, we employ a Fully Modified Ordinary Least Squares (FMOLS) framework and include obtained long-run relations in a panel Vector Error Correction model (VECM). The findings suggest that 1% increase in energy uncertainty leads to 0.08% decrease in international tourism receipt in Europe. Moreover, international tourism receipt reaches the equilibrium with the adjustment speed of 23% annually. Regarding the effect of control variables, economic development has a negative relation whereas CO2 emissions and institutional quality have a positive association with international tourism receipt. As a policy implication, enhancing renewable energy is suggested to cope with energy uncertainty consequences that might affect tourism development.

ANALYSIS OF DETERMINANTS OF FOOD INFLATION IN ASEAN COUNTRIES: A PVAR MODEL APPROACH

Purpose: This research aims to analyze the impact of macroeconomic factors, namely the money supply, exchange rate, economic growth, food supply, interest rates, imports, exports, and wheat prices on food inflation. Theoretical reference: The data used in this study are secondary data obtained from the World Bank's website, covering the years 2002-2021. Method: The methods employed for data analysis include Panel Vector Autoregression (PVAR) and Panel Vector Error Correction Model (PVECM). Results and Conclusion: The results and conclusions The research indicate that economic factors such as the money supply, exchange rate, interest rates, imports, and wheat prices can influence the level of food inflation, but their effects may vary in the long run and short run. Implications of research: Implications of research availability of food supply and economic growth and can play a role in controlling food inflation. value: The novelty of this study is that economic factors can affect the inflation rate and affect the long-term and short-term and can control food inflation.

Intersecting paths: Corporate and green innovation in Chinese firms-A penal cointegration analysis.

In today's dynamic and competitive business landscape, innovation is paramount for companies striving to maintain a competitive edge. Among various innovation strategies, corporate green innovation has gained prominence as an efficient means of achieving sustainable growth. In response to the pressing need for sustainable development, this study investigates the bidirectional cointegration link between green innovation and overall corporate innovation in a panel dataset of Chinese-listed enterprises.As China emphasizes principles like "greening" and "innovation" for twenty-first-century development, this research aligns with the nation's goal of fostering sustainable industry growth through "green innovation". It employs panel cointegration tests, including the Westerlund test, dynamic panel ordinary least square (DOLS), and the panel vector error correction model (VECM), using data from Chinese A-listed firms spanning from 2008 to 2020. The study reveals a robust long-term, bidirectional relationship between corporate innovation and green innovation. Notably, it demonstrates that green innovation causally impacts corporate innovation in both the short and long term. This research also conducts subsample analysis, ensuring the robustness of the main findings across both non-polluted and polluted industries. These findings provide valuable insights into how corporate innovation factors influence corporate green innovation. Consequently, they offer valuable insights for policymakers and organizations, aiding in the formulation of policies that promote environmentally friendly innovation while elevating corporate innovation standards.

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

Trade agreements and CO2 emissions in Asian countries: accounting for institutional heterogeneity.

This paper aims to measure the impact of environmental provisions in free-trade agreements on pollution levels in 40 Asian economies for the period 1990-2019. Following the failure of WTO negotiations, there has been a rapid proliferation of preferential trade agreements incorporating various types of environmental clauses. We exploit such changes to assess their influence on pollution emissions. We use a DOLS approach that considers the potential endogeneity of environmental clauses. Further, panel vector error correction models (VECM) are employed for examining the presence of a cointegration relationship among the variables studied. Overall, our findings indicate that these environmental clauses have heterogenous effects on CO2 emissions. We do not find significant effects of environmental clauses on pollution. However, this result is driven by environmental provisions that are not legally enforceable. We do find a positive effect of environmental clauses with a higher level of legalism on the environmental quality. These results show that the inclusion of environmental provisions in trade agreements is not sufficient by itself. Such provisions should incorporate a legally enforceable framework to effectively address environmental concerns. These findings have significant policy implications for Asian countries.

Exploring the nexus between FDI inflows and economic growth: A sectoral level analysis.

This study investigates the relationship between Foreign Direct Investment (FDI) inflows and economic growth at sectoral levels in Bangladesh, employing a panel study framework. Utilizing sectoral-level panel data spanning six sectors from 2007-08 to 2018-19, the analysis is conducted using Panel Vector Error Correction Model (Panel VECM). Results from panel unit root tests confirm that all variables are integrated of order one I (1), indicating stationarity. The Pedroni panel co-integration test further supports the presence of co-integration among the variables. Notably, the Panel VECM reveals evidence of a unidirectional causal relationship from Real Gross Domestic Product (RGDP) to Real Foreign Direct Investment (RFDI) across all six sectors of Bangladesh. The findings underscore the significance of formulating pragmatic policies and implementing them effectively to attract FDI across sectors, thereby contributing to the overall economic growth of Bangladesh.

The Relationship between Corporate Environmental Performance and Suppliers’ Credit Lending

Green supply chain management has gained traction in contemporary times against many environmental catastrophes and scandals involving prominent companies. Despite the strides made by lawmakers to address such challenges, an increasing number of corporations overlook environmental issues such as global warming, ecological concerns, reverse logistics, and global energy. Notwithstanding the contributions in prior studies, to the best of researchers’ knowledge, no study has sought to link corporate environmental performance with suppliers’ credit lending practices. Yet policymakers seek to develop regulations that incorporate the understanding of the collaboration among the supply chain members. Thus, we seek to establish the short-run and long-run dynamics between corporate environmental performance and suppliers’ credit lending. Targeting companies listed in the FTSE/JSE RII, we draw a sample of 21 companies using a judgemental sampling technique. Furthermore, archival data were collected to compute a short panel data set. The panel data set for statistical analysis comprised 21 cross-sections over six years, totalling 126 observations. The study adopted the first differenced econometric models in data analyses, namely Panel Vector Error Correction Model (VECM) and, subsequently, Panel Least Squares (PLS), Wald Test, and Impulse Response Functions (IRF). Findings indicated a statistically significant positive relationship exists in the long run between corporate environmental performance and suppliers’ credit lending. Conversely, the same endogenous variables produced a statistically significant negative relationship in the short run. The study contributes new insights to supply chain management literature and renders novel policy implications for lawmakers.

Do tourism and CO2 emission predict technological innovation in developing countries: Examining Porter and innovative Claudia curve hypothesis

The accelerating concentration of CO2 emissions is attributed to human activities worldwide, leading to increased greenhouse gas emissions. There is an outcry for innovations to combat the environmental threat to even the existence of the human race. From this perspective, the current study aims to analyze the significance of technological innovation, tourism development, economic growth, and human development from the environmental perspective under the idea of carbon neutrality from 1996 to 2019. The study utilized dynamic ordinary least squares (DOLS) to estimate the relationship between the study variables and the panel vector error correction model to showcase the variables’ short and long-run connections. Results reveal that CO2 emissions positively affect technological innovations, which is evidence of the Porter hypothesis. The study showed that the gross domestic product, tourism, and human development index are good innovation indicators and supported the growth-led innovation hypothesis. This study supports the innovative Claudia curve theory between technology and CO2 emissions. Moreover, the study also investigated the Environmental Kuznets Curve (EKC) hypothesis during the study period. The causality analysis also supports the long-run results of DOLS. Based on the results, the study has implications for future researchers, policymakers, and regulatory bodies in developing countries to achieve carbon neutrality and Agenda 2030.

Sovereign spread divergence owing to inflation and redenomination risk countered by unconventional monetary policy in the Eurozone

Using a panel vector error correction (VECM) model, we assess sovereign spread divergence in the Eurozone. Recent literature defines redenomination risk as a member state's unilateral exit from the Eurozone, estimated by the quanto Credit default swaps (CDS) spread (qCDS). We show that sovereign spread divergence is driven not only by the qCDS but also by inflation and US dollar liquidity shocks. We also find evidence that the balance sheet structure better describes the European Central Bank's (ECB) unconventional monetary policy (UMP) shocks than the shadow rate. Such policy shocks had a greater impact in the early 2020s than between the global financial crisis and the COVID-19 pandemic (2008Q1–2019Q4). Thus, this paper makes a new contribution to the debate on the ECB's instruments to maintain price stability objectives and avoid divergence of sovereign bond yields while emphasizing cross-central bank swap lines.

Impact of Covid-19 Cases on Inflation in ASEAN

This study is aimed to examine the impact of the total cases of COVID-19, interest rates, and money supply on inflation in ASEAN-5. Using the Panel Vector Error Correction Model (PVECM), the study reveals that the number of COVID-19 cases has a negative impact on inflation in ASEAN-5 both in the short and long run. The higher the total cases, the lower the inflation in the region. This was caused by a shock from the demand aspect due to the large number of people who were not working, so that household income decreased. A decrease in income will certainly impact on a decrease in demand which will affect equilibrium inflation. In addition, some control variables such as interest rates have a negative effect on inflation in the long run. Meanwhile, the money supply has no significant effect on inflation during the pandemic.

Pengaruh Zakat Terhadap Sustainable Development Goals di Indonesia (Studi pada Seluruh Provinsi di Pulau Jawa)

In its development, zakat has become one of the Islamic philanthropic institutions that work for the welfare of society and as an effort to assist in realizing the Sustainable Development Goals (SDGs) program. In fact, the contribution of zakat can not be said to be maximal to the SDGs in Indonesia. This is because the collection and distribution of zakat has not been optimal. This study aims to describe the effect of zakat on the SDGs in Indonesia (a study of all provinces on the island of Java). Of the 17 SDGs programs, only 5 programs were tested, namely (1) economic growth (GRDP), (2) poverty-free (JPM), (3) healthy and prosperous life, quality education, and decent work as measured by the Human Development Index ( HDI), (4) reduced inequality (GI), and (5) gender welfare (GPI). The method used is the Panel Vector Error Correction Model (PVECM). The results of this study prove that (1) Zakat in the short and long term has a negative and significant effect on GRDP, (2) Zakat in the short and long term has no effect on JPM, (3) Zakat in the short and long term has no effect on HDI, (4) Zakat in the short term has no effect on GI, but zakat in the long term has a positive and significant effect on GI, (5) Zakat in the short and long term has no effect on GPI.

New insights on the environmental Kuznets curve (EKC) for Central Asia

We estimate the environmental Kuznets curve (EKC) for Central Asia by allowing for the possibility of linear, U-shaped and N-shaped forms, and considering the impact of ecological footprint, climate change adaptation and energy consumption. We employ a fully modified ordinary least squares framework for cointegrating polynomial regressions, and include obtained long-run relations in a panel Vector Error Correction model. The findings suggest that the linear EKC form is more coherent for Central Asia compared to the N-shaped EKC form. We link this to the fact that the Central Asian countries are in the first stage of the EKC. We observe that Gross domestic product, ecological footprint, energy consumption and climate change adaptation positively impact carbon dioxide emissions in the long-run. Moreover, there is bidirectional causality from GDP\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$GDP$$\\end{document} and climate change adaptation to CO2\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$${CO}_{2}$$\\end{document} emissions, while causality is unidirectional between emissions and energy consumption.

Analysis of South Korea's Macroeconomic Development with the Vector Error Correction Model

This study examines the relationship between Gross Domestic Product (GDP), Import (IMP), Inflation (INF), and Unemployment (UNP) in South Korea using the panel vector error correction model (VECM), cointegration, and Granger. VECM is used to analyze the relationship or causality between variables involved in this research in the short and long run. From the estimation results, especially on the variables of interest, there is a positive and statistically significant relationship between Gross Domestic Product, Import, Inflation, and Unemployment, which refers more to short-term causality. Impulse Response Function analysis is used to determine the impact between variables where the results that had a positive effect during the Covid-19 pandemic were import shocks to GDP and unemployment shocks to GDP, while those that had a negative impact were inflation rate shocks to GDP in South Korea during the Covid-19 pandemic.

Corruption and Economic Growth: An Empirical Study in 12 Countries

The impact of corruption on economic growth receives excellent attention in empirical studies. Understanding the relationships between corruption concerning the economy is essential to ensure stable economic development. This research article aims to investigate the relationship between corruption and economic growth in 12 countries over 26 years from 1995 to 2020. This research article examines this relationship in the context of the panel data framework. Panel unit root, panel cointegration tests, panel Dynamic Ordinary Least Squares (DOLS) estimation, and panel Vector Error Correction Model (VECM) methodology associated with the Wald test is applied, respectively. The results show that corruption generates a negative effect on economic growth. In other words, a 1 percent rise in the transparency level (low corruption) will enhance the real GDP growth by 0.20 percent in the long run. Short-run and long-run causality runs from corruption to GDP and both variables are cointegrated. The results conclude that lowering the corruption rate is the precondition for continued growth.

Analysis of Government Expenditure Response, Foreign Direct Investment, Human Development Index and Inclusive Economic Growth in Indonesia

This study aims to analyze the response to shocks that occur between the variables Government Expenditure, Foreign Investment, Human Development Index, and Inclusive Economic Growth. This type of research is descriptive and inductive. The data used are panel data for 34 provinces in Indonesia from 2012-2020, data obtained from related agencies. The analysis method used is the Panel Vector Error Correction Model (PVECM). The results of this study show that: (1) The response to government expenditure in the education function due to the shock of inclusive economic growth is positive, (2) The response to government expenditure in the health function due to the shock of inclusive economic growth is positive (3) The response to government expenditure in the economic function due to the shock of inclusive economic growth is negative (4) The response of foreign investment due to the shock of inclusive economic growth is negative (5) The response of the human development index due to the presence of Shock of Inclusive Economic Growth Is Positive.

An Econometric Analysis of the Determinants of Foreign Direct Investment: A Panel Data Analysis of Brazil and India

Foreign direct investment (FDI) has become a big source of non-debt funding in the world economy over the past 20 years. The goal of this study is to look at what makes Brazil and India attract FDI. The goal of this study is to figure out the most important reasons why FDI into India and Brazil keeps going up. The most important factors that affect FDI imports in Brazil and India are found using panel data regression analysis. The panel unit-root test, the Fisher Johansen test of cointegration, the panel vector error correction model, and the panel fully modified ordinary least squares (FMOLS) model has all been used to look at the data. In this study, FDI flows are considered as a function of India and Brazil’s relative consumer price index, gross domestic product, trade openness, human capital and population. The study shows that the size of the market and the number of people in a country have the biggest positive effects on drawing FDI. Inflation and trade openness, on the other hand, have little to do with attracting FDI to these two countries. Real GDP is used to measure the size of the market, and it is a major positive predictor of FDI. This means that most investment in these countries is driven by a desire to get into the market.

Does foreign aid procurement in resource-rich countries depend on these countries’ financial development and institutional quality? Evidence from PVECM and quantile-on-quantile regression

The underlying structure of the global economy has undergone major structural changes over the last two decades. These transformations have been powered by globalisation, technological development and multilateral trade agreements. The more open global economy has benefitted the global community, but many resource-rich developing countries are struggling to keep pace with more developed countries. As these resource-rich countries attempt to catch up with more developed economies, many rely on foreign aid to develop their institutions of governance and financial sector for a more knowledge-intensive economy. This study analyses the long- and short-run associations between foreign development aid procurement, financial development, and institutional quality in resource-rich countries from 2005 to 2020, employing the panel vector error-correction (PVECM) model and Quantile-on-Quantile Regression (QQR). Our analysis shows that, in the short run, there is a strong endogenous nexus between foreign aid procurement, quality of institutions and financial development. Furthermore, the results reveal that financial development and higher institutional development assist resource-rich countries in procuring foreign developmental aid in the long run. These findings suggest that a financial system which functions well, and favourable institutional governance are critical for these countries to secure foreign aid to put them on a path to sustainable development.

Internally Generated Revenue (IGR) and the Economic Viability of States in Nigeria

Purpose: The purpose of this study is to investigate Internally Generated Revenue (IGR) and the Economic Viability of States in Nigeria using State Government Debt Stock. Specifically, the study seeks to determine the effect of IGR on State government expenditure. Methods: Secondary data were used for this study. It used an annual panel data set spanning from 1986 to 2021 for six states each from Nigeria's six geopolitical zones. A Panel Vector Error Correction Model (PVECM) was used as the method of analysis. Results: Results showed that the IGR of States in Nigeria had a positive effect on State government expenditure. The Impulse Response Function of expenditure to shocks from IGR indicates that IGR for the periods under analysis positively affected State government expenditure, increasing their expenditure profile for the majority of the period under analysis. The result of the variance decomposition test of State government total debt stock (TDS) shows that IGR had the greatest shock on the total debt stock of State governments in the country after its own shock. The findings also revealed a mixed and varied outcome, demonstrating both a positive and negative influence of IGR on the overall debt stock of the state government. Implications: The study is expected to contribute to good economic management, such as managing the debt load at reasonable levels, as well as adequate economic planning backed by cost-effective expenditure. It will also contribute to the economic sustainability of Nigerian states. The uniqueness of this research is obvious in its ability to address the statewide problem of over-dependence on the federal government’s allocation.