Short-term Dynamic Relationship Research Articles

Long-term and short-term dynamic relationships on the country Stock Market Index due to the impact of explosion of Ammonium Nitrate (NH4NO3) in Beirut, Lebanon: An event study analysis on the Stock Market Index of countries in The Middle East and the country Stock Market Index in Indonesia

Objectives ─ This research aims to examine the long-term and short-term dynamic relationships of the major stock market indices in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia (TASI), and Indonesia (IHSG) due to the impact of the ammonium nitrate explosion. (NH4NO3) in Beirut, Lebanon. Method ─ This research used samples after the explosion of ammonium nitrate (NH4NO3) in Beirut, Lebanon, from 10 August 2020 to 17 December 2020. Long-term and short-term dynamic relationships due to the impact of the ammonium nitrate (NH4NO3) explosion in Beirut, Lebanon were tested using the Johansen Cointegration Test and Granger Causality Test methods. Findings ─ The results show that: (1) There is a cointegration relationship in the return of the country stock market index in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia (TASI), and Indonesia (IHSG) after the explosion; (2) there is no bi-directional causality relationship or unidirectional relationship between benchmark variables, that is Return BLOM Stock Index (BLSI) with the Return TA-35 (TA35), Return Amman SE General (AMGNRLX), Return Tadawul All Share Index (TASI), and Return Indeks Harga Saham Gabungan (IHSG) variable after the explosion event. Originality ─ This paper presents a novelty with a study of events that link human events and capital market indices.

The impact of marine industrial structure rationalization on marine economic growth

As an important part of the world economy today, the marine economy is of great significance for promoting economic growth and sustainable development. To better promote the development of marine economy, the Augmented Dickey-Fuller (ADF) unit root test was first used to test the stationarity of marine economy related variables to ensure the reliability of the model. Then, the Vector Error Correction Model (VECM) is used to analyze the long-term stable relationship and short-term dynamic adjustment relationship between the marine industrial structure rationalization and the marine economic growth. These results reveal the mechanism of the influence of the rationalization of marine industrial structure on the growth of marine economy. It is found that among the eastern coastal provinces and cities, the rationalization level of marine industrial structure in Shanghai is up to 0.163 points, which is higher than other cities. The main reasons are the low specialization index of marine labor force, the comprehensive utilization amount of industrial waste in 10,000 yuan of gross marine product, the low environmental protection index, and the large gap between the benefits of each index. In addition, the study also found that the Granger causality test values of the delayed combination of variables Gross Ocean Product (GOP), ts, GOP, and ts were 5.531, 14.672, and 15.069, respectively. Finally, it is found that the upgrading of marine industrial structure and the output of marine economy will correct the deviation of industry rationalization below the equilibrium value in the short term at a rate of 0.1675. According to the above results, the study puts forward the following suggestions. First, it needs to strengthen the planning and layout of the marine industry, rationally guide the allocation of resources and industrial development. Second, it needs to increase support for scientific and technological innovation, and promote technological progress and industrial upgrading. The third is to strengthen the government's policy support and supervision to provide a stable policy environment and market environment for industrial development. The innovation lies in the systematic study of the relationship between the rationalization of marine industrial structure and the growth of marine economy.

New tourism financial condition index: extended with terrorist attacks

Purpose- In this study, a composite indicator that can be followed in the financial markets has been developed. The tourism financial conditions index has been developed in the literature for tourism based on MCI (Monetary Conditions Index) and FCI (Financial Conditions Index). The index is called the Tourism Financial Conditions Index in their studies. This study ensures that the calculation of the tourism index by adding the terror variable to the index can better reflect the expectations. Methodology- While constructing the composite indicator Z-score is used for standardization. With this standardization terrorist attacks variable is added to the composite indicator. The relationship between New Tourism Financial Composite Indicator and Tourism Stock Market Index Return is analyzed with the Threshold VAR method. This method is used because of the nonlinearity of variables. Findings: Monthly data for the period 2009:07 – 2017:12 were used in the study. The countries examined are Australia, Denmark, France, Italy, Spain, Türkiye and the UK. It is aimed to examine the relationship between the calculated NTFCI and the Tourism Stock Exchange data of each country. T-VAR results show the relationship between these variables. Conclusion - In this study, the new version of the TFCI index with terrorist incidents is presented. Chang (2015) developed the TFCI index for the tourism sector. We think that the countries should also consider the effect of terrorism in their economic and financial research in tourism area. Based on this idea, the index was expanded by adding the terror variable to the previously developed TFCI composite indicator and its relationship with the tourism stock market index as a financial indicator was examined. The TVAR model is applied which shows the short-term dynamic relationship. Models for different countries were estimated and similar results were obtained for different countries. Keywords: Tourism financial conditions index, tourism sector, monetary conditions index, financial conditions index JEL Codes: E44, E47, G32

Function and Emotion in Everyday Life With Type 1 Diabetes (FEEL-T1D): Protocol for a Fully Remote Intensive Longitudinal Study.

BackgroundAlthough short-term blood glucose levels and variability are thought to underlie diminished function and emotional well-being in people with type 1 diabetes (T1D), these relationships are poorly understood. The Function and Emotion in Everyday Life with T1D (FEEL-T1D) study focuses on investigating these short-term dynamic relationships among blood glucose levels, functional ability, and emotional well-being in adults with T1D.ObjectiveThe aim of this study is to present the FEEL-T1D study design, methods, and study progress to date, including adaptations necessitated by the COVID-19 pandemic to implement the study fully remotely.MethodsThe FEEL-T1D study will recruit 200 adults with T1D in the age range of 18-75 years. Data collection includes a comprehensive survey battery, along with 14 days of intensive longitudinal data using blinded continuous glucose monitoring, ecological momentary assessments, ambulatory cognitive tasks, and accelerometers. All study procedures are conducted remotely by mailing the study equipment and by using videoconferencing for study visits.ResultsThe study received institutional review board approval in January 2019 and was funded in April 2019. Data collection began in June 2020 and is projected to end in December 2021. As of June 2021, after 12 months of recruitment, 124 participants have enrolled in the FEEL-T1D study. Approximately 87.6% (7082/8087) of ecological momentary assessment surveys have been completed with minimal missing data, and 82.0% (82/100) of the participants provided concurrent continuous glucose monitoring data, ecological momentary assessment data, and accelerometer data for at least 10 of the 14 days of data collection.ConclusionsThus far, our reconfiguration of the FEEL-T1D protocol to be implemented remotely during the COVID-19 pandemic has been a success. The FEEL-T1D study will elucidate the dynamic relationships among blood glucose levels, emotional well-being, cognitive function, and participation in daily activities. In doing so, it will pave the way for innovative just-in-time interventions and produce actionable insights to facilitate tailoring of diabetes treatments to optimize the function and well-being of individuals with T1D.International Registered Report Identifier (IRRID)DERR1-10.2196/30901

Economic Freedom and Human Development in ECOWAS: Does Political-Institutional Strength Play a Role?

In this article, we examined the role political-institution strength plays in the relationship between economic freedom and human development, using the 15 ECOWAS countries and two sub-samples (Francophone and Anglophone countries) within the region. We used the Pooled Mean Group ARDL estimations to examine the long and short-term dynamic relationships. Before conducting the Pooled Mean Group estimations, we conducted the multicollinearity, heterogeneity, and cross-sectional dependence tests. Our findings show that political-institutional strength in ECOWAS and Francophone ECOWAS countries played a very significant moderating role on the effect of economic freedom on human development in the long run. The case is however different in Anglophone ECOWAS countries because the impact of the interactive terms is insignificant. Also, our findings show that the interaction of political-institutional strength and economic freedom has no significant impact in the short run in ECOWAS.

Asymmetric between oil prices and renewable energy consumption in the G7 countries

Understanding the dynamic relationship between oil prices and renewable energy is beneficial to promoting the development of the renewable energy market and the transition from fossil fuels to renewable energy, which will finally protect the environment. Based on the data of G7 countries from 1980 to 2018, this paper analyzes the short-term and long-term dynamic relationship between oil prices and renewable energy consumption (REC) by using linear and nonlinear autoregressive distributed lag models under the condition of structural fractures and then discusses its asymmetric characteristics. The results show that, except for France and Germany, the oil prices of other countries have a significant asymmetric effect on REC, but there is great heterogeneity between the countries. Specifically, in Canada, the U.S., and Italy, a positive change in oil prices has a greater impact on REC than a negative change, whereas in England and Japan, the results are just the opposite. Therefore, based on the heterogeneity between countries and the long- and short-term dynamic relationships reflected in the research results, this paper further discusses the policy implications.

Analysis on the nexus of economic growth, fossil fuel energy consumption, CO2 emissions and oil price in Africa based on a PMG panel ARDL approach

In this study, the causal link amid economic growth, fossil fuel energy consumption, carbon emissions and oil price was empirically tested from 1990 to 2015 by using a panel of 22 African countries. The sample of African countries was divided into two subgroups namely; Oil exporters and Non-oil exporters. Using the PMG panel ARDL and panel econometric methods, heterogeneity and cross-sectional dependence were considered to examine the long and short-term dynamic relationships as well as validity of a proposed model. Findings from the Pesaran-Yamagata homogeneity test, Pesaran CD test, CIPS and CADF panel unit root tests and Westerlund-Edgerton bootstrap panel cointegration indicated, the panel time series data has heterogeneity and cross-sectional dependence, analysed variables are stationary and cointegrated respectively. With respect to the PMG panel ARDL estimation method it was evidenced that there exist, (i) a bilateral causal link flanked by fossil fuel energy consumption and economic growth as well as fossil fuel energy consumption and carbon emissions in long and shot-terms for all panels, (ii) a unilateral causality from carbon emissions to economic growth in long-term and short-term for non-oil exporters nonetheless a bilateral causal relationship only in long-term for oil exporting countries, and (iii) a unilateral cause-and-effect link from oil prices to economic growth, energy consumption (fossil fuel) and carbon emission across all country groups in long and short-terms. Policy recommendations are further discussed.

The impacts of GDP, trade structure, exchange rate and FDI inflows on China's carbon emissions

This paper examines the impacts of GDP, trade structure, exchange rate and FDI (foreign direct investment) inflows on China's carbon emissions from 1982 to 2016 and verifies the validity of EKC (Environmental Kuznets Curve) hypothesis for China. Differentiated from the existing literature which rarely considers services trade and exchange rate, this paper uses the proportion of services trade to measure trade structure, and exchange rate as one of the independent variables. Firstly, the stability of each variable is tested by ADF (Augmented Dickey-Fuller) and NP (Ng-Perron) test. Then, ARDL bound test is used to test the cointegration of the variables as it has better properties than traditional cointegration methods and is more suitable for the model in this paper. Thirdly, Error Correction Model is used to analyze the long-term and short-term dynamic relationship between the variables. Fourthly, the Granger causality test based on the VAR is performed. It is found that during the study period EKC hypothesis was valid for China, and that whilst the impacts of both services trade and exchange rate on China's carbon emissions were negative, the impacts of FDI inflows were positive. Conclusions and policy implications are provided at the end of the paper.

Can Islamic banks have their own benchmark?

This paper attempts to answer whether Islamic banks can have their own benchmark rate. In so doing, the paper investigates the nature of the relationship Islamic interbank benchmark rate (IIBR) and its comparable conventional counterpart, London interbank offer rate (LIBOR). The dynamics of the two series are investigated to examine the stability of the spread between IIBR and LIBOR, referred to as ‘Islamic premium’ or ‘piety premium’. The findings suggest that there are both long-term and short-term dynamic relationships between the two rates providing significant evidence of their convergence and co-movement. Our results also show that the existence of the IIBR-LIBOR spread is a reflection of the cost of funding and profit potential of the participating IIBR rate-setters. We find that, in addition to the determinants of the credit spreads, fundamental news of the panel banks are dominant factors driving the ‘piety premium’. We argue that the Islamic banking industry is operating in a global context, where it is highly improbable that its rates can decouple from the global benchmarks. Given that Islamic banking products and their risk return profile are similar to conventional products, arbitrage activities force Islamic rates to converge with the global benchmark rates.

Study on the Relationship between Economic Growth and Water Pollution in Jiangxi Province—Based on ARDL Model

Identifying the key influencing factors of water pollution in Jiangxi Province is vital for formulating effective environmental protection measures. Jiangxi Province is located in the central of China. It plays a very important role in the “Rise of Central China” strategy. In recent years, water pollution in various regions of Jiangxi Province has become more and more serious. Therefore, exploring the main driving factors of water pollution in Jiangxi Province is of great practical significance. In this paper, the Autoregressive Distributed Lag (ARDL) approach is used to study the long-term equilibrium and short-term dynamic adjustment relationship between economic growth and water pollution in cities of Jiangxi Province from 1998 to 2016. The results show that there is a long-term equilibrium relationship between the water pollution index and the actual GDP of the first type of cities. However, due to the difference in the form and parameters of model, the inverted “U-shaped” relationship of the water pollution index and the actual GDP is not always presented. The regional economic growth of the second type of urban areas leads to increase of pollutants. It is obvious that the deteriorating environment has increased people’s living costs and inhibited economic growth. The contradiction between economic development and environmental pollution in the third type of urban areas is most acute. Therefore, in order to effectively protect the environment, local governments should consider all these factors as well as regional heterogeneity in formulating policies.

Long and Short-Term Dynamic Relationship between Macedonian and Croatian Stock Markets

Abstract The aim of this study is the empirical investigation of the long-run relations and the short-term dynamics between two Balkan stock markets: Macedonian and Croatian. The presence of long run common trend between the Macedonian and Croatian stock market indices is identified by applying Johansen’s cointegration maximum eigenvalue and trace tests, while potential causal relations are examined by employing Granger’s causality tests. Data sample spans from January 3rd, 2005 to March 31st, 2017. The stock market indices were found to be co-integrated with significant relationships. A bi-directional pattern of causality is documented between the Macedonian and Croatian returns. This pattern is remarkably stable and suggests significant economic ties between the investors in Macedonian and Croatian stock markets. The findings are important for the investors meaning that they cannot gain diversification benefits of investing in the Croatian or Macedonian stock market.

Can Islamic Banks Have Their Own Benchmark?

This paper attempts to answer whether Islamic banks can have their own benchmark rate. In so doing, the paper investigates the nature of the relationship Islamic interbank benchmark rate (IIBR) and its comparable conventional counterpart, London interbank offer rate (LIBOR). The dynamics of the two series are investigated to examine the stability of the spread between IIBR and LIBOR, referred to as ‘Islamic premium’ or ‘piety premium’. The findings suggest that there are both long-term and short-term dynamic relationships between the two rates providing significant evidence of their convergence and co-movement. Our results also show that the existence of the IIBR-LIBOR spread is a reflection of the cost of funding and profit potential of the participating IIBR rate-setters. We find that, in addition to the determinants of the credit spreads, fundamental news of the panel banks are dominant factors driving the ‘piety premium’. We argue that the Islamic banking industry is operating in a global context, where it is highly improbable that its rates can decouple from the global benchmarks. Given that Islamic banking products and their risk return profile are similar to conventional products, arbitrage activities force Islamic rates to converge with the global benchmark rates.

An Empirical Study on the Lead-lag Relationship between Five-year Chinese Government Spot Bonds and Futures Markets

This empirical study examines the short-term dynamic lead-lag relationship between five-year Chinese government bond futures index and its underlying spot index, using daily data from September 06, 2013 to August 31, 2016. We carry out unit root test, Johansen-Juselius cointegration test, Granger causality analysis, impulse response function analysis, and variance decomposition analysis. The empirical results of this paper reveal that five-year Chinese government bond futures and spot level variables are non-stationary time series data with unit root, but the first differences in the logarithm of the prices are stationary. As a result of the cointegration test, it was confirmed that there is no long-term equilibrium relationship between the two level variables (price). Lastly, the results of Granger causality, impulse response functions, and the variance decomposition analysis show that the returns of five-year Chinese government bond futures one-sidedly lead the underlying spot returns. This means that the five-year government bond futures market is more efficient in China. Also, these results are consistent with the results of previous studies, and are expected to be useful for traders, regulatory bodies and practitioners for several reasons, such as price discovery, hedging and arbitrage opportunities.

Short-term motivation trajectories: A parallel process model of expectancy-value

Motivation plays a critical role in human behavior and is particularly important during college, where a single class can make or break an academic career. The longitudinal research on expectancies for success and utility value primarily focuses on prediction or change over many years, rather than change over a short period of time. However, a single class in college can often be the difference between getting a degree or not. To better understand how motivation progresses in the short-term, we examined changes in expectancy and utility value simultaneously during a single college class. Both constructs declined during the class and showed significant variability across individuals. In addition, change in expectancy was strongly correlated with change in utility value, and the expectancy slope estimates were significant predictors of continuing interest. We discuss the need for a better understanding of short-term dynamic relationships between expectancies, utility value, and outcomes.

RELATIONSHIP BETWEEN ENERGY CONSUMPTION, ECONOMIC GROWTH AND TRADE OPENNESS IN TURKEY

Energy plays a crucial role in the economic growth and development of a country. This study investigates both the short and long term dynamic relationship between energy consumption, trade openness and economic growth in Turkey through econometric model during the period 1980-2013. The long term results show that trade openness has positive and insignificant relationship with energy consume. The results show that increase of 1 percent trade openness energy consume increase by 0.13 percent in Turkey. Real GDP has positive and significant relationship with energy consume. This results show that increase of 1 percent real GDP energy consume increase by 0.50 percent in Turkey. The short term results show that trade openness has positive and significant relationship with energy consumption. The results show that increase in the trade openness by 1 percent leads to 0.22 percent increase in energy consumption. Real GDP has positive and significant relationship with energy consumption. The results show that increase in the real GDP by 1 percent leads to 0.88 percent increase in energy consumption. Estimated lagged error correction term (ECM-1) is negative and statistically significant.

Stock Market Integration: Evidence from India and Other Major World Stock Markets

India has much less exposure in the stock market integration literature until recently. Given India’s fast-growing economic influence, research on the Indian stock market still seems to be inadequate and needs further investigation. The present study extends the existing stock market integration literature in the following ways. First, to provide further evidence, we examine the dynamic price linkages and interdependence between the stock market of India and that of the U.S., U.K., Japan, Singapore, Honk Kong, Malaysia, South Korea, Taiwan, and China using daily stock price indices data covering the period January 2, 2001 to November 28, 2008. Second, this research examines examine the long-term and short-term dynamic relationship among the stock prices using Johansen-Juselius cointegration, vector error correction model and Granger causality test. Additionally, the innovation accounting analysis is conducted to further investigate the interactions between the Indian markets and others world markets. And lastly, the results from this research provide implications regarding international diversification and market efficiency that are important for investors and fund managers who are interested in investing in these markets. From the study, we can conclude that, Indian market is having a cointegrating relationship with US financial market. But relationship with other financial markets is not well established.

Capital Flight and Foreign Direct Investment

To systematically study the relationship between foreign direct investment inflow (FDI inflow) and capital flight, this chapter uses yearly-data in 1984-2012 in China, sets up two propositions and applies our model to explore the micro-relation and macro-relation between FDI inflow and capital flight.At proposition (4-1), we can find that the estimated values of long-term foreign direct investment inflow (FDI inflow) and long-term capital flight are significant correlation. Then, under Augmented Dickey-Fuller test (ADF test) or Philips-Perron test (PP test), the residuals reject the null hypothesis with statistical significant at 5% level, which implies that the result is stable. Causal test also shows that the relation between FDI inflow and capital flight is Granger causal. Besides, results of error correction model (ECM) show that FDI inflow and capital flight, they are not only have the long-term positive relation, but also have short-term dynamic relationship. So we can find the proposition (4-1) is true.At proposition (4-2), at first, we can find that the estimated values of long-term FDI inflow and long-term export are obviously correlated with statistical significant at 1% level, the R square value reaches highly level at 0.9, and they imply the model is good to fit. Next, results of error correction model show that FDI inflow and export, they are not only have the long-term positive relation, but also have short-term dynamic relationship. So we can find the first part of proposition (4-2) is true, which means that if FDI inflow increases, export will grows, too.Finally, for the remainder of proposition (4-2), at first, we can find that the estimated values of long-term capital flight and long-term export are obviously correlated. Then, under ADF test or PP test, we can find the remainder of proposition (4-2) is true, which means that if export grows up, capital flight will increase, too. In short, FDI inflow increase, export will grows apparently, capital flight will increase obviously which will attract more FDI inflow.

The Impact of Subprime Crisis on Asia-Pacific Islamic Stock Markets

The objective of this study is to examine the impact of the U.S. subprime crisis on the long-term and short-term dynamic relationships between selected Asia-Pacific Islamic stock markets and conventional stock markets in the region. The comovements among these stock markets are examined through cointegration tests, and vector error correction model–based Granger causality tests, for the period from February 2006 to December 2010. The study reveals that, after the debut of the U.S. subprime crisis, Asia-Pacific Islamic stock markets increasingly integrated among themselves and with their conventional counterparts. In addition, the conventional markets of the United States and Japan significantly influence the short-run fluctuations of Asia-Pacific Islamic and conventional markets.

The Dynamic Relationship among Economic Growth, Energy Consumption and Environment in Iran

In recent decades, environmental risks and hazards are more visible. These damages caused by a combination of factors such as population growth, economic growth, energy, and industrial activities. This study discusses long-run equilibrium relationship, short-term dynamic relationships and causal relationships between energy consumption, economic growth and the environment (carbon dioxide emissions) in Iran, by using time series data during 1971-2009, through Co integration test. Co integration test demonstrates that a long-run relationship exists among the three variables. It is obvious that carbon dioxide emissions will be increased by positive shock of energy consumption and economic growth, by a one percent increase in energy consumption and economic growth, carbon dioxide emissions will increase 55 and 43 percent respectively. The result of this study is important because of reducing carbon dioxide emissions from energy use and economic development matters. In other words, to reduce carbon dioxide emissions, the government should reduce the amount of Petroleum products in energy consumption, and it also improves the efficiency of using energy.

THE CAUSE OF HIGHER ECONOMIC GROWTH: ASSESSING THE LONG-TERM AND SHORT-TERM RELATIONSHIPS BETWEEN ECONOMIC GROWTH AND GOVERNMENT EXPENDITURE

This study examines the cause of higher (5% or more) economic growth rates in countries around the world over the past 35 years. It explores the long- and short-term relationships between GDP and government expenditures in these countries. A panel data set of 60 countries over the period from 1976 to 2010 is deployed to implement pooled mean group estimation. Countries are divided into three economic growth rate groups: high, middle, and low. Panel-based/error correction models are used to estimate long-term equilibrium relationships and short-term dynamics between government expenditures and GDP growth rates. Results indicate that the hypothesis of a common long-term elasticity and a short-term dynamic relationship between GDP growth rates and government expenditures cannot be rejected for high group countries, whereas for middle group countries this is true only for the long term, not for the short term. No long-term or short-term relationship between these two variables exists for low-growth-rate countries.