Cointegration Results Research Articles

The Effects of Unemployment on Economic Growth in Saudia Arabia in the period 1995-2023

This study examined the relationship between unemployment and economic growth in Saudia Arabia for the period 1995 to 2023. The study utilized co-integration and error correction model approach. Although the unit root tests showed that the variables were integrated of different orders, the Johansen co-integration result showed that the variables were co-integrated. This study has revealed that unemployment, growth in government expenditure and gross fixed capital formation, population growth and education among others are significant explanatory variables of economic growth in Saudia Arabia under the period of study. Also, the result of the Error Correction Model analysis (ECM) shows that the unemployment has a negative and insignificant impact on economic growth over the period under study. Suggesting that higher unemployment leads to decreased GDP growth, indicating that unemployment rate increases economic growth becomes decline. The results of the study, show that, there is no causality relationship between unemployment and economic growth over the period under study. In addition, the results of causality test show that there is evidence of unidirectional causality running from growth government expenditure, the gross fixed capital formation, education (literacy rate) and population growth to economic growth (GDP) at different confidence and level of significance in Saudi Arabia. Moreover, this study present evidence that, bidirectional causation between unemployment and growth of population was found in Saudia Arabia. To increase economic growth, Saudi Arabian government should identify measures to reduce the unemployment rate and improve country's economic growth. For example, improving the quality of education, skills training, and implementing employment policies. The contribution of the study is the confirmation of the existence of the correlation of unemployment with the mentioned development indicators, and the validity of Okun's Law also hold on Sudia Arabian economy.

ANALYSIS OF YAM (Dioscorea spp) PRICES IN THE URBAN AND RURAL MARKETS IN THE WESTERN AGRICULTURAL ZONE OF NASARAWA STATE, NIGERIA

This study was conducted to examine the relationship between the prices of yam (Dioscorea spp) in the urban and rural markets of the western agricultural zone of Nasarawa State, Nigeria. Data of monthly urban and rural prices on yam were collected from Nasarawa State Agricultural development programme. The result of the descriptive statistics showed that the minimum (13.89) and maximum (500.00) prices were recorded in Toto and Nasarawa respectively. The result of the ADF test shows that the price series in the western zone were all stationary both at level I(0) and at first difference I(1) except for Toto that did not attain stationarity at level I(0) but attained stationary after first differencing I(I). The co-integration result shows that only four (4) pairs were not co-integrated and these were Nasarawa/Laminga, Masaka/Gitata, Masaka/T-Uku and Masaka/Ara. Also from the result of the Granger-causality test, sixteen yam market links of urban and rural market investigated, fifteen yam market links showed the evidence of no granger –causality, they all exhibited evidence of Uni-directional price movement. The rural prices of yam exhibited weak exogeneity to their corresponding urban market prices. There is need for improvement of road networks, transport and market infrastructure. The study recommended policy interventions for improvement of market integration which may take form of price formation channels, and improvement of market infrastructure including transportation and road network, such policy should works to reduce transport cost and enhance trade between rural and urban markets.

Total Debt Service and Economic Growth in Nigeria: The Empirical Nexus

This study examines the relationship between debt service and economic growth in Nigeria in the period 1990-2022, utilizing time series data from the World Development Indicator and CBN Statistical Bulletin. The issue of debt servicing has become difficult for developing countries like Nigeria, and has not only stifle economic growth, but also increased the rate of poverty and unemployment in these countries. The study explores the empirical nexus between total debt service and economic growth in Nigeria, employing GDP growth rate as the dependent variable, while the explanatory variables involved; are total debt serving, inflation rate and capital expenditure. The variables were estimated with autoregressive distributed lag (ARDL) method, among other, after the stationarity tests conducted on them Indicate that the variables were of mixed integration. Evidence suggesting a long-term equilibrium relationship among the variables was also established given the cointegration result. The ARDL results reveal that the inflation rate has an inverse and significant impact on GDP growth. Total Debt services variable also exhibited a similar impact on GDP growth. However, the results indicated that capital expenditure variable has a direct and significant impact on GDP growth. Based on the findings, this study recommends that the Nigerian government should implement robust monetary policies aimed at controlling inflation and revisit its debt management strategy to ensure sustainability. It is also recommended that the government should not only increase capital expenditure but also ensure that these investments are directed towards sectors with the highest economic growth potentials. Keywords: Debt service, economic growth, inflation, capital expenditure and GDP growth

Total Debt Service and Economic Growth in Nigeria: The Empirical Nexus

This study examines the relationship between debt service and economic growth in Nigeria in the period 1990-2022, utilizing time series data from the World Development Indicator and CBN Statistical Bulletin. The issue of debt servicing has become difficult for developing countries like Nigeria, and has not only stifle economic growth, but also increased the rate of poverty and unemployment in these countries. The study explores the empirical nexus between total debt service and economic growth in Nigeria, employing GDP growth rate as the dependent variable, while the explanatory variables involved; are total debt serving, inflation rate and capital expenditure. The variables were estimated with autoregressive distributed lag (ARDL) method, among other, after the stationarity tests conducted on them Indicate that the variables were of mixed integration. Evidence suggesting a long-term equilibrium relationship among the variables was also established given the cointegration result. The ARDL results reveal that the inflation rate has an inverse and significant impact on GDP growth. Total Debt services variable also exhibited a similar impact on GDP growth. However, the results indicated that capital expenditure variable has a direct and significant impact on GDP growth. Based on the findings, this study recommends that the Nigerian government should implement robust monetary policies aimed at controlling inflation and revisit its debt management strategy to ensure sustainability. It is also recommended that the government should not only increase capital expenditure but also ensure that these investments are directed towards sectors with the highest economic growth potentials. Keywords: Debt service, economic growth, inflation, capital expenditure and GDP growth

The Impact of Nuclear Energy Consumption, Green Technological Innovation, and Trade Openness on the Sustainable Environment in the USA

Nuclear energy, renewable energy, and alternative energy sources are all crucial for sustainable green energy. However, the existing literature often needs to pay more attention to the role of nuclear energy in achieving sustainable development goals. This study analyzes the impact of green technological innovation, nuclear energy consumption, and trade openness on environmental quality in the US. The authors used the ARDL bounds to identify cointegration relationships, which is appropriate for this study’s dataset as it works well with smaller samples. They also used the Toda–Yamamoto causality test to examine causal links. The ARDL cointegration results indicate a significant long-term relationship between CO2 emissions, green technological innovation, nuclear energy consumption, and trade openness. Green technological innovation has a negative impact on CO2 emissions. Higher nuclear energy consumption is associated with lower CO2 emissions, while greater trade openness is associated with higher CO2 emissions, although these effects are less certain. The results suggest promoting green technological innovation and nuclear energy can be effective strategies for reducing CO2 emissions, while the impact of trade openness requires careful consideration due to its potential to increase emissions.

Does geopolitical risk escalate environmental degradation in Turkey? Evidence from a Fourier approach

AbstractThis study examines the long-run impacts of geopolitical risk on carbon dioxide (CO2) emissions in Turkey using Shin and Fourier Shin cointegration methods for yearly observations from 1985 to 2019. The cointegration test results reveal a long-run relation between CO2 emissions and geopolitical risk, economic growth, renewable energy, and the population size in Turkey. According to dynamic ordinary least squares estimation, geopolitical risk and renewable energy consumption have negative and statistically significant impacts on CO2 emissions, whereas economic growth and population size have positive and statistically significant effects on CO2 in the long-run. This shows that increases in geopolitical risks tend to reduce CO2 emissions in Turkey, by depressing production in polluting industries as well as economic growth. In addition, the study performs TY and Fourier TY causality analyses to check for consistency (or robustness) in the cointegration results. Accordingly, the Fourier TY test results demonstrate a unidirectional relationship from geopolitical risk and population size to CO2 emissions, whereas the Toda–Yamamoto test procedure indicates no causal relationship between the series in the long run. Overall, increases in geopolitical risks decrease the rate of production and pollution in the polluting sector in Turkey. However, this also means a decrease in economic growth rates for Turkey which focuses its economic policy and strategy on sustainable growth and development. Therefore, it is very important for Turkey to immediately implement an environmental practice that will not harm its economic policies.

Green Finance, Environmental Regulations, and Green Technologies in China: Implications for Achieving Green Economic Recovery

Abstract In the framework of foreign direct investments (FDI) and green finance (GF), environmental regulations (ERs) and green technologies have influenced China’s green economic recovery between 2000 and 2020. The idea is to conduct an empirical investigation of the main drivers behind China’s green economic revival. Second-generation panel cointegration techniques were adopted for the analysis. The relationship among ERs, green technological investment, GF, and green economic recovery is supported by the long-run cointegration results. In this context, some of the most important measures include ER, GF, and increased investment in environmentally friendly technologies. The estimated results demonstrate a positive contribution towards the green economic recovery from GF, the development of green technologies, and ERs. Evidence suggests that green economic recovery is inversely associated with FDI. The establishment of an environmentally sustainable economy can be rendered by policy implications to continue advocating for the green shift in financial institutions along with enforcing the appropriate regulations and laws.

Establishing an Empirical link between Financial Development, CO2 Emissions, Tourist Arrivals and Economic Growth: A Dynamic Panel Data Approach

The study is an attempt to see the impact of changes in environmental, economic, trading, and financial conditions on tourist arrivals of 123 countries from Europe, America, Asia and Africa. The countries were distributed in seven distinct regions on the four continents. In order to perform an effective empirical analysis, panel data from these countries was obtained from World Development Indicators from 1999 to 2018. The results of panel cointegration revealed the presence of a long-run relationship between tourist arrivals and the explanatory variables included in the model. Environmental conditions were found to adversely affect tourist arrivals with rising CO2 emissions, whereas improvements in financial development contributed towards increased tourist arrivals. The results of the study encouraged the implication of eco-friendly policies and financial development for tourism promotion in selected 123 countries from seven regions.

Poverty Reduction in Nigeria: Does Inflow of Foreign Aid Matter?

The rate at which poverty is still increasing in Nigeria is at alarming magnitude despite the high natural endowment and the huge sum of funds coming to the country through developmental aids. The study therefore set out to investigate the effect of foreign aids on poverty level in Nigeria using a time frame of 1986-2022. This study used secondary data that were collected from CBN Statistical Bulletin (2022) and Word Bank Development Indicator (2022). The study utilized Johansen Co-integration test and Fully Modified Least Squares (FMOLS) to explore the impact of foreign aids on poverty in Nigeria. The Johansen co-integration results confirmed the presence of a long-run relationship among the variables. The FMOLS results revealed that foreign aids, foreign direct investment and exchange rate were significant and indirectly related to poverty growth rate while trade openness was significant and positively related to poverty growth rate. Therefore, study concludes that inflow of aid and foreign direct investment explicitly reduced poverty rate in Nigeria and that exchange deprecation further aggravates the rate of poverty. In line with the findings of this study, it was recommended that government should seek for more of foreign aids from the donor countries and invest it in poverty alleviation progarmmes. Also, government must endevaour to formulate good policies especially ones that favour multinational corporations in order to encourage more of FDI into the country.

Exploring the Linkage Between Energy Consumption and Economic Growth in BRICS Countries Through Disaggregated Analysis

AbstractThe main objective of this study is to analyze the impact of disaggregated energy consumption (coal, natural gas, petrol, and electricity) on the economic growth of BRICS countries (Brazil, Russia, India, China, and South Africa) from 1990 to 2020. The study implements the Augmented Mean Group (AMG) and Cross-Sectional Augmented Autoregressive Distributed Lag (CS-ARDL) techniques for empirical analysis. The cointegration results indicate a consistent long-term link between coal consumption, gas, petrol, electricity, and economic growth. The CS-ARDL estimates show that disaggregated energy consumption has a positive short- and long-term effect on economic growth, and the AMG approach supports these findings. These results suggest that the economic growth of BRICS countries is positively influenced by increased consumption of different types of energy sources. The panel Granger causality test result confirms the causal link between coal consumption and economic growth, electricity and economic growth, and petroleum and economic growth, supporting the feedback hypotheses, while natural gas consumption and economic growth support the neutral hypothesis. These findings suggest that energy conservation initiatives can be implemented in BRICS countries without negatively impacting economic growth.

Impact of Rural Infrastructure on Agricultural Growth in Tamil Nadu: Econometric Analysis by VECM

The present study examined the impact of rural infrastructure investment on the agriculture and economic growth of Tamil Nadu, applying the VECM. The study further examined the causal relationship between dependent and independent variables using the VECM Granger-causality test from 1990-91 to 2020-21. The study considered the influence of economic reforms on economic growth. The estimated results of co-integration showed that there was a long-run relationship among the variables. The VECM results confirmed a long-run relationship among the variables. The estimated results of the Granger-causality analysis indicated a unidirectional causal relationship between AC and GAP was significant statistically and no relationship between GSDP and AC. The decomposition results suggested that the economic growth variation was explained mainly by agriculture credit. The findings would be helpful to policymakers in developing appropriate strategies in the state.

The Nexus Between Government Spending and Economic Growth in Saudi Arabia

This paper analyses the impact of government spending on economic growth in Saudi Arabia. A five variable of the Vector Error Correction model (VECM) is used to analyze the relationship between government spending, import, population, exchange rate, and economic growth (GDP). Data was obtained from the World Bank website from 1970 to 2022. Two of our variables were stationary at level alpha 5%, while the other three variables were not stationary at level alpha 5%. This makes us test them in the first difference where all the variables were stationary at alpha 5%. We also tested our lag length criteria, and we found out that the (*) were many in lag three (3). Furthermore, the results from the impulse response, variance decomposition, and five-year forecasting indicate that in the short run, government spending and imports have improved Saudi Arabia's economic growth. The results also indicate that there was no four-way Granger causality among the variables but just two-way. Our results for cointegration also indicate there was one cointegration result, which resulted in us using the VECM. The forecasting results indicate that the country's GDP also tends to decrease by one percent from 2023-205, and after that, it returns to its shock by increasing again by one percent from 2006 to 2008. (9% to 10%).

FINANCIAL INSTABILITY AND SHADOW BANKING RELATIONSHIP: THE CASE OF THE UNITED STATES OF AMERICA

The impact of shadow banking on financial stability remains a controversial issue today due to the size and complexity of these activities and the inadequate regulatory frameworks for systemic risks. In this context, shadow banking has become the focus of financial regulators due to its potential effects on financial stability. Therefore, this study was conducted to understand the impact of shadow banking on financial stability. In this study, the relationship between shadow banking and financial instability is examined using the VAR method for the example of the United States, covering the period 2000-2020. In order to create an accurate model, firstly unit root tests were performed, followed by autocorrelation and heteroscedasticity tests. The findings were found to be significant and Johansen cointegration test was applied. In the cointegration results, it was seen that the series were cointegrated, that is, they moved together in the long run. Finally, a Granger causality test was conducted between shadow banking and financial instability, and according to the empirical findings, it was concluded that there was a causality from shadow banking to financial instability for the period in question.

AN ARDL ANALYSIS ON THE EFFECT OF OIL PRICE INSTABILITY ON FOREIGN RESERVE IN NIGERIA (2015-2022)

The paper employed auto regressive distributive lag (ARDL) model to examine the effect of oil price instability on foreign reserve in Nigeria using recent monthly time series data over the period of 2015-2022. The results of ARDL Bound cointegration indicated a presence of cointegration in the model which confirms an existence of long run relationship between oil price instability and foreign reserve. The findings of ARDL long run analysis show that oil price instability have negative and significant effect on foreign reserve. Likewise, inflation rate has a negative and significant effect on foreign reserve. On the other hand, oil revenue is found to have a positive and significant effect on foreign reserve. Furthermore, the ARDL short run estimates indicate that an existence of a short run relationship between oil prices and foreign reserve. From the findings, the coefficient of error correction term indicates that about 30% of the discrepancy between the actual and the long run or equilibrium value of foreign reserve is corrected or eliminated each month. Furthermore, the results of granger causality test indicate a unidirectional causality between oil price instability and foreign reserve. Based on the empirical findings, the paper suggests the need for the policy makers to adopt policy framework that will get rid of corruption and ensure macroeconomic stability. Policymakers should also take steps to mitigate the negative effects of oil price fluctuations on foreign reserve in Nigeria.

Price Behaviour and Market Integration Amongst the Major Potato Markets in India

Variation in potato output over time causes wide price fluctuations, subjecting its producers to a high-risk situation. Using a monthly wholesale price of potato from January 2012 to December 2020, the current study examined the price behaviour of major potato-producing and consuming markets. The study employed correlation analysis, the Johansen Co-integration Test, the Vector Error Correction Model, and Granger Causality Test. As determined by the seasonality index, farmers received higher-than-average prices between June and December. Johansen's co-integration result demonstrated that all the selected markets were well integrated in the long run. The Patna market had the fastest adjustment rate (80 per cent), followed by the Mumbai market. Most states had uni-directional price transmission, with Patna being the only state to establish a bidirectional flow of potato prices with the Kolkata market. The Delhi market was discovered to be the key market influencing the prices of all other markets.

Does Gender Equality Influence Climate Change in Emerging Market Economies?

This study examines the role of gender equality in CO2 emissions for a panel of six emerging market economies over the period of 1990-2019. The results of cointegration and causality analysis reveal that income inequality, economic growth and energy consumption contribute to environmental degradation, while gender equality helps to reduce it. Though Kuznets’ hypothesis is confirmed, promoting gender equality on the natural environment is nullified in the presence of income inequality and economic growth.

The Impact of Trading Volume, Exchange Rate on Istanbul Index Price: Empirical Results Using ARDL Model

This study aimed to investigate the relationship and the effect of the change in the trading volume and the exchange rate of the Turkish lira on the closing price of the Istanbul 100 Index. Therefore, weekly data were collected for the index, trade volume and exchange rate for the period 2016-2021. After that, we run diagnostic test to ensure that our data fit the necessarily robust characteristics. Thus, we used the unit root test and conclude that the dependent variable is stationary after first difference and other variables are stationary at level and after first difference. Afterwards, we checked that the residuals are fitting our main condition where it should be serially uncorrelated with homogenous slope. The ARDL has been used to explore the short and long run relationship and interaction between variables. First, we reported the bound test results and the F-state showed to be significant at 1%, which is mean that our model has a long-run interaction with the dependent variable. Secondly, we run the long-run ARDL test to check the impact of each independent variable on the dependent variable. The results showed that the exchange rate has statistically significant effect on the index price. The results showed that the exchange rate of the Turkish lira against the dollar negatively affected the price of the Istanbul Stock Exchange index. While, the trading volume was insignificant in the long-run. However, the results of short run cointegration is different. The current and lagged value of trading volume were significant. Finally, we tested the stability of our model. The results were different between CUSUM and CUSUMSQ. Where they CUSUM results came up to show the stability of coefficient in the model. Nevertheless, the CUSUMSQ showed that we have unexpected change in the structure

Time Series Analysis of the Foreign Direct Investment in Nepal: Economics Perspective

The main aim of this paper is to identify the major economic determinants of foreign direct investment in Nepal. In doing so, the Johansen-Juselius (JJ) cointegration approach as well as vector error correction model are implemented to identify the relationship among the macro variables. The empirical results revealed that all the variables are stationary at first difference and the evidence of cointegrating vector is obvious based on the JJ cointegration results. In addition, it is found that there is a long run relationship among the variables based on the coefficient of Error Correction Term (ECT). The long run coefficients show that Trade, GDP, exchange rate, and interest rate have a positive impact on FDI in Nepal, while, gross fixed capital formation (GFCF) and inflation (CPI) have a negative impact. Finally, in the short run, only one lag of FDI is affecting FDI. These results suggest that the inward FDI tends to incorporate information from the macroeconomic variables.

Revisiting long-run dynamics between financial inclusion and economic growth in developing nations: evidence from CS-ARDL approach

PurposeThis study aims to analyze the long-run dynamic relationship between financial inclusion and economic growth for developing nations.Design/methodology/approachThis study develops a comprehensive financial inclusion index based on the UNDP methodology for 53 developing nations. The authors use second-generation unit root tests, cointegration techniques and an advanced dynamic common correlated effects estimator model called cross-sectional augmented autoregressive distributed lags (CS-ARDL) to examine long-run dynamics among variables.FindingsThe tests confirm the presence of slope-heterogeneity and cross-sectional dependency. The second-generation panel unit root tests show the chosen variables are stationary at first difference. The bootstrap Westerlund cointegration result shows the variables are cointegrated in the long run. The CS-ARDL estimates conclude that financial inclusion positively enhances gross domestic product per capita in selected developing countries. The robustness check through augmented mean group estimation validates the findings.Originality/valueThe study makes three important contributions: first, it constructs a comprehensive financial inclusion index using 10 variables for a panel of 53 developing nations; second, the potential cross-section dependence and slope heterogeneity of panel data have been accounted for by applying the second-generation unit root tests; third, the study uses the dynamic common correlated effects estimator model (CS-ARDL) to examine long-run dynamics among variables.

Re-examining asymmetric dynamics in the relationship between macroeconomic variables and stock market indices: empirical evidence from Malaysia

PurposeThe aim of this research is to re-examine the dynamic linkages between macroeconomic variables and the stock market indices in Malaysia following some transformational changes in the policies and the exchange rate regime.Design/methodology/approachUsing monthly data points for all the economic variables and the stock market index (KLCI Index), the authors applied vector autoregression (VAR) model to examine the relationship. The authors also used impulse response function (IRF) in order to explore the effect of one-unit shock in “X” on “Y” under the VAR environment.FindingsThe authors' study finds a significant relationship between all the macroeconomic variables and the stock market index of Malaysia. The cointegration results indicate a long-term relationship, whereas the vector autoregressive-based impulse response analysis suggests that the Malaysian stock index (KLCI) responds negatively to the money supply, inflation and producer price index (PPI). However, the authors' results indicate a positive response from the stock index to the exchange rate.Research limitations/implicationsThe authors' study's results are based on selected macroeconomic variables and the VAR model. Researchers may find other variables and methods more useful and may provide findings accordingly.Practical implicationsSince the results are quite asymmetric, it would be interesting for the market players, policymakers and regulators to consider the findings and explore appropriate opportunities.Originality/valueWhile the relationship between macroeconomic variables and stock market indices has been widely examined, a significant gap in the literature remains concerning the role of exchange rate variable on the stock market in an emerging economy context.