Significant Short-run Relationship Research Articles

Impact of Exchange Rate Fluctuation on the Standard of Living in Nigeria

The study examined the effect of the exchange rate fluctuations on standard of living in Nigeria. The variables of gross domestic product per capita (GDPPC), per capital income and unemployment proxied standard of living while the explanatory variables were exchange rate (EXCR), Inflation (INF) Interest rate (INTR) and money supply secondary data was used covering between the period of 1990-2023. Unit root test were carried out to ascertain the stationarity of the variables the result of which Autoregressive Distributed Lag (ARDL) was used to estimate the parameters as they were integrated in the order of 0 and 1. The findings reveal that Exchange rate fluctuation has a significant long and short run relationship with the gross domestic product (GDP) per capita, per capita income and unemployment rate in Nigeria. The implication of this is that living standard in Nigeria is greatly influenced by the alterations in exchange rate. As such the study recommended amongst other things that Government should improve on the productive sector of the economy as the primary sector of the economy that produces the basic commodities used to produce goods and services thereby reducing unemployment and improving standard of living. They should strive to put in place positive economic reforms tailored towards enhancing the economic performance and reducing unfavorable impact of exchange rate fluctuations on the standard of living in Nigeria.

Does twitter economic uncertainty matter for wheat prices?

This paper investigates the relationship between wheat prices, energy prices (crude oil and natural gas), and economic uncertainty, represented by the Twitter Economic Uncertainty Index (TEU). Despite existing literature emphasizing the significant impact of energy costs on agricultural commodity prices, this research uncovers no significant short-run relationship between the price shocks in the crude oil or natural gas markets and wheat prices. Similarly, fluctuations in the TEU USA do not reliably predict changes in wheat prices. This paper enriches the field by utilizing time series econometric analysis with a Structural Vector Auto-Regressive model with an exogenous variable (SVARX), incorporating four endogenous variables: wheat, crude oil, natural gas, and economic uncertainty from mid-2011 to mid-2022, and an exogenous dummy variable to account for an existing structural break. The findings present new insights into the complex interplay between these variables within a single framework and expand our understanding of the impact of economic uncertainty derived from Twitter data on agricultural commodity prices. Policymakers and researchers are advised to continue exploring these relationships over different periods, geographical contexts, and events to strengthen food security strategies by gaining a nuanced understanding of agricultural commodity prices.

Impact of International Trade on Economic Growth: Evidence from Nigeria

The paper investigates the impact of international trade on economic growth in Nigeria from 2000Q1- 2020Q4. The choice of the period was informed by the economic recessions which the country experienced within the period. The paper employed an autoregressive distributed lag model (ARDL) and error correction model (ECM) to estimate the short run and long run relationships among the series. The findings of the paper reveal that exports demand has significant and positive short run and long run relationship with economic growth, while imports demand and exchange rate volatility have short run and long run negative relationships with economic growth in Nigeria during the study period. The paper recommend that Nigerian government should intensify efforts towards expanding the country’s export based in order to improve its external competitiveness for the enhancement of the aggregate external demand and foreign exchange earnings that will mitigate the adverse effect of exchange rate volatility. By expanding the exports based, the country will likely reduce its import demand particularly in consumer goods thereby saving millions of dollars to boost the nation’s reserve which will attract more foreign investors that will boost the country’s economic activities to achieve higher and inclusive economic growth in the country.

The Impact of Corruption on Economic Growth in Malaysia

The impact of corruption on economic growth has been the subject of theoretical debate among economists, with some arguing that corruption hinders growth and development. In contrast, others suggest that it can positively affect the development process. As such, the effects of corruption on economic growth remain inconclusive. This study examines corruption's impact on economic growth, as measured by real GDP per capita (constant 2015 US$) in Malaysia. The study utilized the autoregressive distributed lag (ARDL) method to investigate the relationship between corruption and economic growth in Malaysia. The data used in the analysis were obtained from the World Bank and International Country Risk Guide data repository and covered the period of 1992-2021 annually. The Corruption Index was used to measure corruption. At the same time, other variables included economic growth (GDP), Gross Capital Formation (GCF), General Government Final Consumption Expenditure (GE), Individuals Using the Internet (INT), Labor Force (LF), and School Enrollment (SE) in Malaysia. The study's primary results are as follows: (1) corruption and economic growth in Malaysia have a long run relationship when considering the measures of GCF, GE, INT, LF, and SE in the model; (2) when the measures of GCF, GE, INT, LF, and SE were included interchangeably and combined in the model, corruption had a positive and significant impact on economic growth in Malaysia; (3) corruption and economic growth in Malaysia have a significant short-run relationship when considering the measures of GCF, GE, INT, LF, and SE in the model. The study's limitation relates to the data used, as alternative corruption measures beyond the corruption index could yield different outcomes. The study's distinctive contribution is exploring the impact and relationship between corruption and economic growth, specifically in Malaysia.

Econometrics Analysis of the Effect of Human Capital Development on Economic Growth in Nigeria

Despite arrays of empirical literatures on the impact human capital development has on the economic growth the debates is inconclusive with mixed outcome. Thus, the main objective of this study is to empirically examine the impact of human capital development on economic growth in Nigeria between the periods of 1999 and 2022. To achieve this said objective; time series secondary data was sourced from Central Bank of Nigeria Statistical Bulletin, 2022. Thereafter, Autoregressive Distributed Lag Regression Estimate (ARDL) analysis was conducted with the aid of E-view 10. Findings of this study reveals as follows; that government expenditure on education have positive and statistically significant impact on RGDP. Equally, government expenditure on health have statistically significant impact on RGDP. More so, life span have positive and statistically insignificant impact on RGDP. Again, total school enrollments (SER) have positive and statistically insignificant impact on RGDP. Lastly, this study find out that human capital development has statistically significant short run and long run relationship with economic growth in Nigeria between 1999 and 2022. Therefore, the following recommendations are suggested: first, that Nigeria government at all levels should ensure that priority should be placed on all the components or indicators of human capital development of the Nigerian citizens. Second, government effort toward increase government expenditure on education should be sustaining. Third, governments at all levels should increase the funding for health sector in order to ensure the citizens live healthy so as to be able to increase their productivity and afterward, contributes to economic growth. Fourth, governments’ efforts should be directed to wellbeing of her citizen in order to pro-long the life span Five, governments at all levels should formulate appropriate policy that will ensure that school enrollments should be at upward trend.

Cointegration of Asian Developed and Frontier Stock Markets: An investigation of Diversification Opportunities

This study examines the cointegration relationship of the Colombo Stock Exchange (CSE) with developed Asian markets (Hong Kong, Japan, Singapore). The main objective of the study is to identify potential diversification benefits that exist in Sri Lankan stock market. The stock market indices are Hang Seng Index (HSI), Nikkei 225(N225), Straits Times Index (STI) and All Share Price Index (ASPI). Daily closing prices of stock market indices were selected for the period of 2013- 2019. The main theoretical base forthe stock market integration was the Law of One Price. The Autoregressive-Distributed Lag (ARDL) bound test used toanalyze data, revealed an insignificant cointegration relationship between CSE and developed stock markets. The ASPI has statistically significant short-run relationships with the STI. HSI and N225 did not provide any evidence of a long-run relationship with the ASPI. A negative insignificant correlation between ASPI and HSI indicates a good combination to have a well-balancedportfolio gain both long and short-run diversification benefits. In conclusion, the non-existence of cointegration among the above stock markets provides opportunities for international diversification of portfolios and possibilities for risk hedging.
 Keywords: Cointegration, Frontier and Developed, Stock Markets, Portfolio Diversification

The Factors Affecting Exports of Gum Talha after changing the Gum Arabic Specifications in 1998 Using ARDL Model

This research aimed to identify the most important factors affecting the exports of gum Talha after changes in gum arabic specifications in 1998. Secondary data covered the period 1999-2018 was used. A co-integration analysis is performed using the autoregressive distributed lag (ARDL) bounds test approach. The study demonstrated the significant long-run relationship between exports of gum Talha and gum Talha FOB with an elasticity of (-1.67), gum Hashab’s FOB with an elasticity of (1.33) and lagged exports of gum Hashab with an elasticity of (1.34). Also, it demonstrated the significant short-run relationship between exports of gum Talha and gum Talha FOB (-0.96), gum Hashab FOB (.75), lagged exports of gum Hashab (0.14) and abolishment of monopoly using dummy variables (1.81). The demand for gum Talha export and Hashab gum FOB price indicated cross elasticity which was significantly elastic in the long run but insignificantly inelastic in the short run. The study concluded that there is an increase in the global demand for Sudan gum Talha but gum Talha and gum Hashab are not alternative export commodities.

Analysis of the Dynamic Relationships among Renewable Energy Consumption, Economic Growth, Financial Development, and Carbon Dioxide Emission in Five Sub-Saharan African Countries

This research investigates the relationships among renewable energy consumption, economic growth, and financial development in five sub-Saharan African nations utilizing panel data from 2000 to 2020. Econometric methods are used to ascertain the existence or absence of cross-sectional dependence and the short-run and long-run connections between the following factors: Pesaran cross-sectional dependence (CD) and cross-sectionally augmented IPS (CIPS) unit root tests, pooled mean group (PMG), and dynamic ordinary least squares (DOLS) estimations. The presence of cross-sectional dependence is found and represented with the CIPS unit root test. No significant short-run relationship is found between the variables of the study, yet a significant long-run relationship is present among them. A positive relationship exists between CO2 emissions and financial development, while financial development and renewable energy consumption are found to have negative relationships with CO2 emissions. The study also supports the scale effect of the environmental Kuznets curve hypothesis. Additionally, no causality is found among the variables, and impulse response and variance decomposition estimation are carried out to recommend future effects. Policy implications of findings are discussed, with accompanying suggestions.

Analysing the Employment Effects of the Exchange Rate, Foreign Direct Investment and Trade Openness on South Africa’s Non-Tradable Sectors

"Mounting assertions of the increased benefits of foreign trade integration, in terms of increased wages and labour, as well as factor productivity and resource reallocations, are accompanied by subsequent concerns of coexisting job destruction, particularly for countries with evidently rising unemployment and poverty levels. Such is the case for a post-apartheid South African economy, ravaged by persistently high unemployment rates amid increased trade liberalisation. In drawing meaningful inherences, this study examined the effects of South Africa’s trade openness, the real effective exchange rate and foreign direct investment (FDI) on job creation or employment in selected non-tradable sectors. A quantitative approach was used, with the aforementioned trade-related factors as explanatory variables. Employment in the non-tradable sector’s construction, finance, and the wholesale and retail trade sector served as dependent variables. A quarterly dataset from 1995Q1 to 2021Q1 was employed. While the standard Autoregressive Distributed Lag (ARDL) model was used to gauge short-run and long-run relationships. Further econometric methods such as the correlations analysis were conducted to obtain additional understanding of the nature of the set variables. Findings showed that trade liberalisation effects induce varying implications on employment in the considered non-tradable sectors, perhaps due to idiosyncratic characteristics in the nature and operational structure of each sector. Trade openness was shown to have exhibited significant long-run implications on job creation in all the sectors, whereas the parameters of the rest of the explanatory series were not significant in the long-run. Results further showcased mixed short-run effects of trade factors on employment in all sectors, with significant parameters for the real effective exchange rate and trade openness with employment in the construction sector. Including significant short-run relationships for the real effective exchange rate with employment in the finance sector. Significant parameters for employment in the wholesale and retail trade sector with FDI and the real effective exchange rate were established. Further inferences were made in expounding on the established dynamics. Keywords: job creation, employment, non-tradable sector, real exchange rate, and trade openness. JEL Classification: E24, F16, F31, O49"

The Effects of Information and Communication Technology, Economic Growth, Trade Openness, and Renewable Energy on CO2 Emissions in OECD Countries

This study examines the relationships between information and communication technology (ICT) usage and CO2 emissions considering economic growth, trade openness, and renewable electricity in the Organization for Economic Co-operation and Development countries for the period 1990–2018. It adopts pooled mean group (PMG) estimation based on the autoregressive distributed lag model. The PMG estimates indicate that although the coefficient value is small, ICT progress acts as a factor in increasing CO2 emissions in the long run. However, there is no significant short-run relationship between these two variables. Furthermore, economic growth increases CO2 emissions in the short and long run. The expansion of renewable electricity and trade openness reduces CO2 emissions in the long run. To mitigate the CO2 emissions originating from ICT, energy-saving technologies that use ICT as an energy management system should be further enhanced. The expansion of renewable electricity and the promotion of trade openness will also contribute to the mitigation of CO2 emissions in this region.

The impact of the digital economy paradigm on the productivity and monetary system of Oman

Purpose Digitalisation has become closely related to various economic sectors in terms of economic impact and discovery of new technologies. In this regard, this study aims to examine the relationship between the digital economy, as measured by four proxies (infrastructure, empowerment of society, technological economic growth and digitalisation development), and the productivity and monetary system of Oman from 1985 to 2019. Design/methodology/approach The autoregressive distributed lag methodology and diagnostic tests were used to increase the robustness of findings. Findings The analysis showed significant positive long-run relationships between infrastructure (measured as the number of fixed telephone subscriptions), technological economic growth (measured as medium- and high-tech exports as a percentage of manufactured exports) and the monetary system. There was also a significant negative short-run relationship between digitalisation development, measured as the number of individuals (percentage of the population) using the internet, and the monetary system. Furthermore, there were significant positive short- and long-run relationships between digitalisation development and productivity. Only short-run relationships were identified between empowerment of society, measured as the number of mobile cellular subscriptions, and productivity. Originality/value The conclusions support the paradigm of diffusion of innovation theory, which aims to understand the use of modern technologies to obtain the maximum economic benefit, and show both the dark and bright sides of technology. Furthermore, the effect of the digitalisation economy paradigm on productivity should be determined by increasing logistical services. This will support the growth of foreign and domestic investments and promote cooperation between the public and private sectors, thereby achieving digitalisation in Oman and enabling reflection on the country’s monetary policy development and economic growth.

Consumption and Supply of Electricity on Economic Growth in South Africa: An Econometric Approach

This study investigates the relationship between electricity consumption and electricity supply on economic growth in South Africa for the period spanning from 1971 to 2014. The importance of this study is to reveal the short run and long run impact of electricity consumption and electricity supply on economic growth in South Africa. The study borrowed annual time series data from the World Bank online secondary source for the period from 1971 to 2014. Empirical results revealed a positive statistically significant short run relationship and a negative statistically insignificant long run relationship between electricity consumption and economic growth. The results further reveal that renewable electricity has a short run negative statistically significant and positive statistically significant long-run relationship with economic growth in South Africa. Based on empirical results, it can therefore be recommended that the policymakers should implement policies that promotes renewable electricity generation and evaluate policies on electricity consumption so that it can significantly boosts economic growth in the long run.

Impact of Gross Capital Formation and Foreign Direct Investment on Economic Growth in Rwanda (1990-2017)

This study investigates the determinant of economic growth in Rwanda, using time series data for the period 1990-2017. These data have been analyzed and interpreted using statistical, analytical, synthetic methods as well as an econometrical approach. The economy of Rwanda represents the research gap about the components and determinants of economic growth as instrument policies to alleviate poverty and rise out production. The objective was to test the trends and relationship between capital formation, foreign direct investment and economic growth in Rwanda. This research tested and confirmed the following: gross capital formation and foreign direct investment are the main determinants of economic growth in Rwanda for the period under study. R-square, the overall measure of goodness of fit indicates that the explanatory variables included in the above model explain 89.3% of the variation of the dependent variable (GDP growth) for the long run regression model and 97% for the error correction model. The error correction model shows that the speed back to equilibrium is 86.4% that is when a shock happens in the previous period it decreases by 86% in the current period. This indicates that there is a significant short-run relationship as it was shown by the coefficients of the error correction model which are significant. Based on the existence of a long-run co-integrating relationship and the short-run interactions, the researcher tested and confirmed that there was a short-run and long-run positive relationship between capital formation, foreign direct investment and economic growth in Rwanda during the research period. The study reveals that capital formation has a significant positive effect on gross domestic product in the long run. The policy-makers should formulate policies by looking at the determinants of growth as they are crucial in the process of economic growth and have a positive remarkable role in the economic acceleration.

IMPACT OF CAPITAL STRUCTURE ON THE PERFORMANCE OF QUOTED INSURANCE FIRMS IN NIGERIA

Evidence from the past studies revealed that capital structure has an impact on the firm performance. This research appraises the impact of capital structure on the performance of quoted life insurance companies in Nigeria from 2010 to 2019. The researchers used the panel cointegration model, autoregressive dynamic lag error correction model and pair wise granger causality test to measure the relationship among the variables. The study revealed that capital structure and firm performance has a long-run relationshipand 81% long run disequilibrium is corrected within a year. It was also apparent that there is a significant short run relationship between liquidity of life insurance and return on asset. The Granger causality outcome also shows that bidirectional causality exists between firm size (SIZE) and profitability (ROA) in the short run. We conclude that a large size of life insurance firm has more scope to make more profit in Nigeria context within the study period. The study recommended that to maximize firm’s performance managers must endeavor to obtain and maintain an optimum capital structure level among others.

The Impact of the Banking Sector and Stock Market on Economic Growth

This paper examines the impact of the financial system; the banking sector development and the stock market development on economic growth in 17 selected African countries from 1980-2017. The paper employs the panel auto-regressive distributed lag (ARDL) with the pooled mean group (PMG) estimator to explore the short and long-run relationship among the variables. The empirical findings reveal the existence of cointegration among the variables and show that stock market capitalization; a measure of the stock market development has a significant long-run relationship with economic growth and this supports the claims of (Arestis et al., 2001) that stock market capitalization is statistically important and positively correlated with economic growth. FDI also has a significant long-run relationship with economic growth. Bank credit, an indicator of the banking sector development has a significant short-run relationship with economic growth. This study suggests that African countries should ameliorate the credit allocation process by privatizing national banks, tightening credit management, and increase competition in the banking sector. Measures should also be put in place to minimize excessive volatility in stock prices which would allow the stock markets in the African countries to stimulate economic growth. Keywords: panel autoregressive distributed lag (ARDL), stock market development, banking sector development, pooled mean group (PMG), economic growth. JEL Classification: G21, O16, C33, O47 DOI: 10.7176/EJBM/13-8-02 Publication date: April 30 th 2021

An Estimation of the Effect of Tax Revenue Collection on the Public Debt in South Africa

Public debt is the most important economic indicator in such a way that if it is unsustainable, higher interest costs could detriment significant public investments that ensure economic growth. Most of developing economies including South Africa are known to be having unsustainable public debt levels coupled with poor economic growth. Irrespective of governments’ measures to service the public debt, like selling enough bonds, taxpayers end up carrying the debt. Hence, the main objective of this paper is to estimate an empirical effect of tax revenue collection on public debt in South Africa. Public debt is treated as the dependent variable and tax revenue collection as the main independent variable in addition to secondary independent variables such as foreign direct investment, political instability and corruption. This paper uses econometric techniques such as Auto Regressive Distributed Lags (ARDL) and Nonlinear Auto Regressive Distributed Lags (NARDL). This paper finds long and short run negative relationship between the South African tax revenue collection, foreign direct investment and public debt (symmetric relationships). This relationship is statistically significant. This paper also finds positive and negative long run relationship between political instability, corruption and public debt in South Africa (asymmetric). In the short run, a positive relationship between political instability, corruption and public debt is established in this paper (symmetric relationships). Furthermore, this paper established significant short run relationship between corruption and public debt. This paper recommends that government ought to re-channel its expenditure programs by identifying sectors that are more productive (productive expenditures), and invest in them as government would be able to recoup the resources, and consequently generate more income which would possibly be in taxes and/or net received receipts. This would reduce government’s over-reliance on the tax revenue collection to finance both current and capital government expenditures, and also to service its public debt.

Trade and economic development: global causality and development- and openness-related heterogeneity

This paper reconsiders the classic relationship between trade and economic development. We examine the short-term and long-run dynamics between trade and income for 167 countries over the period 1970–2011 and assume that the effect is not homogenous for all countries but rather varies according to the development stage and the degree of trade openness. We apply panel cointegration, Granger causality and panel error correction in combination with Dynamic Ordinary Least Squares and General Method of Moments estimation to explore the causal relationship between these two variables. The results suggest a statistically significant positive short-run and long-run global relationship between trade and income. However, when splitting the panel into different income and trade openness groups, a long-run relationship is observed only for high-income countries and countries with a relatively high degree of trade openness.

Impact of Household Electricity Consumption on Standard of Living in Nigeria

This study examined the impact of household electricity consumption on standard of living in Nigeria with level of education, poverty rate, per capita income and life expectancy as proxy for standard of living. Deviating from the popular electricity consumption and economic growth nexus, this present study focused on the impact of electricity consumption on the components of standard of living within the period of 1981 to 2017. The study adopted the Autoregressive Distributed Lag (ARDL) Bound Test in estimating the long-run and short-run relationship of the variables of the model. The study, therefore, found a positive long-run relationship between household electricity consumption and level of education, poverty rate, per capita income and life expectancy. The study also found significant short-run relationship between household electricity consumption and level of education, poverty rate, per capita income and life expectancy. From the outcome of the study, the researcher concluded that household electricity consumption impacted positively on standard of living in Nigeria although the impact is not large as expected. The study, therefore, recommends amongst others, that government should significantly improve power generation and distribution in order to enhance access to electricity consumption among her citizens in order to improve standard of living. Keywords : Household Electricity Consumption (HHEC), Standard of living, Poverty rate, Income per capita and Educational enrollment DOI : 10.7176/JETP/10-1-05 Publication date: February 29 th 2020

Exchange Rate Management and Regime: Quo Vadis Nigeria?

This study investigated a pertinent question on the lips of every Nigerian; exchange rate regime, Quo Vadis Nigeria? Nigeria, Quo Vadis (where do we go)? under two alternative managed floating regimes; Dutch Auction System and post Dutch Auction System regimes, within the Autoregressive Distributive Lag methodology using monthly data covering from July 2002 to July 2017. The results for the full sample show that none of the selected macroeconomic variables has a significant short run relationship with the nominal effective exchange rate. In the long run, all the variables, except interbank rate, show negative relationship with nominal effective exchange rate. However, while the effects of oil prices, interbank rate and the prime lending rate are significant, the effects of inflation and stock prices are insignificant. The results for the Dutch Auction System sample show little evidence of a negative short run relationship between nominal effective exchange rate and inflation while oil prices, prime lending rate, interbank rate and stock prices all show no evidence of a short run relationship with exchange rate. On the contrary, oil prices, prime lending rates and stock prices all show significant negative long run relationship with nominal effective exchange rate. The results for the post Dutch Auction System sample show evidence of a positive short run relationship between stock prices, interbank rate and nominal effective exchange rate. On the other hand, inflation, oil prices and prime lending rate show no short run relationship nominal effective exchange rate. However, there is evidence of a lagged positive relationship between inflation and nominal exchange rate. The cointegration test for post Dutch Auction System sample gives inconclusive results. We therefore, conclude that the choice of exchange rate regime matters for macroeconomics performance in Nigeria and that the closure of the Dutch Auction system by the monetary authorities significantly altered the relationship between nominal exchange effective exchange rate and macroeconomic variables.

The Causality and Dynamic Relationship between GDP Growth, Export, and Import: Empirical Evidence from Ethiopia

This empirical study investigated the co-integration and the dynamic relationships between GDP growth, export and imports of Ethiopia using time series data from 1981-2017. The stationarity test of variables are done by using Augmented Dickey-Fuller and the Phillips-Perron tests. Choosing the optimum lag of the model are done by using the Akaike Information Criterion. The ARDL and ECM estimation techniques are applied to determine the short-run and long-run relationships among the variables including the Granger causality techniques. For the co-integration test, we found long-run relationships among the variables. This empirical study result found: 1. Positive and significant long-run effects of export for the GDP growth in Ethiopia. 2. A bidirectional long-run relationships between export and imports. 3. A positive and significant short-run relationship between import and GDP growth. 4. There is a correct sign coefficients of the ECM model result with a moderate speed of adjustment to correct the discrepancy between the short run and long-run dynamics. 5. A unidirectional Granger causality from export and imports to GDP growths. 6. A bidirectional Granger causality relationship between export and imports. This study finding implied that the long-run growth of GDP in Ethiopia can be enhanced by encouraging exports and imports.