Term Equilibrium Relationship Research Articles

중국의 금융발전이 경제성장에 미친 영향에 대한 실증 분석

In this paper we examine the dynamic causal relationship between financial development and economic growth in China-using the newly developed ARDL-Bounds testing procedure. We use four proxies of financial development, namely M2/GDP, the ratio of private sector credit to GDP, the ratio of stock market capitalization to GDP and the ratio of bond market to GDP in order. The analysis period used annual data from 1978 to 2019. For analyzing the long term equilibrium relationship between the desired variables, we have employed Autoregressive Distributed Lag(ARDL) Bound testing approach. ARDL being a new approach is an improvement over the other traditional techniques of cointegration. Further, using the technique of bound testing approach, we have tried to estimate the impact in the short run also. The findings suggest that there exist an equilibrium relationship in long run between financial development and economic growth. The results suggested that financial development causes economic growth in the long run, however not statistical significance in the short term.

تدفقات الاستثمار الأجنبي المباشر وأثره على البطالة في العراق للمدة (2004-2017) دراسة تحليلية باستخدام التكامل المشترك المتزامن

This research aims to show the impact of foreign investment inflows into Iraq on changes in unemployment after 2004, in light of the emergence of ideas of globalization in various aspects and the convergence of distances between countries due to the development of knowledge and scientific means of communication and by the policies of economic liberalization and international trade. A long - term equilibrium relationship between foreign investment flows and unemployment, and that changes in unemployment rates explain the change in FDI flows.

Analysis Of The Influence Of Interest Rate Savings And Other Factors On Term Saving Of Commercial Banks (Empirical Data 1990-2019)

This study aims to examine and analyze the effect of interest rate, inflation, exchange rate, and GDP per capita to time deposits at commercial banks in Indonesia using time series research data from 1990 to 2019, both short-term equilibrium relationship and long-term equilibrium relationship. The analytical method used in this research is to use the multiple linear regression method is the ordinary least squares (OLS). The results of this study indicate that there is a significant long-term equilibrium relationship between inflation and GDP on time-saving. However, in the interest rate and exchange rate variables, there is no long-term equilibrium relationship or no significant effect on time-saving. Meanwhile, the simultaneous (simultaneous) relationship or model test between the four independent variables (interest rate, exchange rate, inflation, and GDP) and the dependent variable (time-saving) in the research model is very influential (significant). The results of the error correction model (ECM) test, which is to test the short-term equilibrium relationship, show that all independent variables (interest rate, exchange rate, inflation, and GDP) do not have a short term equilibrium relationship to the dependent variable (time deposit), but simultaneously all of these independent variables affect short-term term savings.

Causal Relationship between Foreign Direct Investment, Growth and Exports: An Anecdote from Oecd Countries

In the globalised world of today there is a process of integration between the countries and one way of integrating is by trade. In this instance export led growth surfaces and arises as an imperative factor. In the related pretext works offers rich acumens regarding role of Foreign Direct Investment and economic growth. In this paper we study the causal relationship between Foreign Direct Investment (FDI) and Exports on Growth of select 30 OECD countries. As a measure of economic growth Industrial Production Index (IPI) is used in the study. To examine the relationship Augmented Dickey Fuller Test and Phillip Perron Test was employed to test the unit Root and to examine the long term equilibrium relationship and direction of causality Johansen’s cointegration test and Granger causality was used. The study reveals important cointegrating relationship between IPI and FDI and IPI and Exports in 22 and 23 sample OECD countries respectively. In Granger lead relationship between IPI and FDI three bilateral relationships were revealed in Canada, Czech Republic and Spain and 16 Unilateral relationships were revealed in the same .In granger led relationship between FDI and IPI only 9 Unilateral relationships were revealed. In IPI and Exports only one bilateral Granger lead relationship was revealed in Finland followed by 6 unilateral relationships. In granger lead relationship between Exports and IPI 16 Unilateral relationship was exhibited. Hence to achieve economic growth FDI and exports are majorly instrumental. The empirical findings suggest that OECD countries should continue the policy aimed at attracting FDI and expanding the exports sector in FDI led Growth and exports led growth. This study has some major implications in strategizing FDI and export policies for OECD region.

Meticulous Assessment of Operating Performance for Processes with a Hybrid of Stationary and Nonstationary Variables

Due to the changes of external environment, unpredictable disturbances, etc., the industrial processes often have nonstationary characteristics. Assessment of operating performance for industrial processes with a hybrid of stationary and nonstationary variables is rather challenging since the statistical properties are time-variant. To solve this problem, a meticulous model for feature extracting to assess the operating performance of nonstationary processes is proposed in this paper. After distinguishing the stationary and nonstationary variables, the stationary variables are characterized by principal component analysis (PCA) to obtain the principal variation information, and the nonstationary variables are characterized by co-integration analysis (CA) to obtain the long term equilibrium relationship. Hence the inner features of both stationary variables and nonstationary variables are meticulously extracted. Next, to characterize the correlations between the stationary and nonstationary variables, a gl...

Analisis Impor Propinsi Sumatera Utara

This research aimed to analyze Import North Sumatera for causality and cointegration method between Import, GDRP North Sumatera, Exchange rate and inflation during the period 1990-2015 for short and long term equilibrium relationship. From the results of causality test indicate GDRP North Sumatera had two way causality to Import North Sumatera. Import cause of GDRP North Sumatera and otherwise GDRP cause of Import North Sumatera. Cointegration test and Error Correction Mechanism indicate GDRP North Sumatera as positively and significant influence Import for short and long term equilibrium relationship for during the period 1990-2015. Whereas exchange rate and inflation had one way causality to Import North Sumatera. To Indonesia Government regulation hopely can control import product especially North Sumatera. High GDRP North Sumatera value can used to increasing other activities economic like development financing local. We need import but no dependency, import cause for resources not available in domestic or local. The Indonesia oriented sure keep on the import value every year of time for high GDRP value

INSURANCE AND ECONOMIC DEVELOPMENT IN NIGERIA: CO-INTEGRATION AND CAUSALITY ANALYSIS

We examine the cointegration and causal relationship between insurance and economic development in Nigeria using time series data from 1990 – 2013. Gross domestic product (GDP) is adopted as a proxy for the level of economic development, while total life insurance premiums (TPL), total non-life insurance premiums (TPNL) and total insurance investment (TII) are used in measuring growth in the insurance sector. Data is operationalized through the stationarity test, cointegration test, regression analysis and granger causality tests. The stationarity test reveals that all-time series data are stationary at the 1%, 5% and 10% levels of significance. The test for cointegration shows that all cointegrate when GDP is the endogenous variable. The granger causality test reveals that there is a bidirectional relationship existing between GDP and total non-life insurance premiums while a unidirectional relationship exists between GDP and total life insurance premiums with no causal relationship existing between GDP and total insurance investments. An R-squared value of 0.9776 indicates that the independent variables account for 97.8% of the variations in GDP while the remaining 2.2% is attributable to influence of other variables or fators not in the scope of this study. We conclude that insurance not only contributes to economic development but also has a long term equilibrium relationship. Therefore, we recommend that insurance activities in the country should be encouraged to promote effectiveness and efficiency in order to enhance the long term relationship with economic development.

The Influence of Administrative Monopoly on Economic Development——An Empirical Study Based on Vector Error Correction Model

As a unique form of China's transition economy, the impact of administrative monopoly on economic development can not be ignored. Analyzing the data from 1990 to 2015, this paper investigates the relationship between administrative monopoly and economic development based on Vector Error Correction Model (VEC)model. The results show that there is a long - term equilibrium relationship between administrative monopoly and economic development. In the long run, the administrative monopoly has obvious obstructive effect on economic development. The hardest part, as well as the emphasis in China's economic reform will be how to separate the government from state-owned enterprises and eliminate administrative monopoly.

ANALISIS PENGARUH INFLASI TERHADAP PERTUMBUHAN EKONOMI DI INDONESIA DENGAN METODE FINAL PREDICTION ERROR

The purpose of the research is to know whether inflation influences economic growth or economic growth influence inflation and to know the final prediction error of long - term equilibrium relationship between inflation and economic growth.The hypothesis presented in this research is that inflation has negative influence on economic growth and economic growth has negative influence on inflation. It is assumed that the final prediction error of long - term equilibrium relationship between inflation and economic growth has negative influence, and the final prediction error of equilibrium relationship between economic growth and inflation has negative influence.The method used in this research is causality analysis of Final Prediction Error (FPE) by using time series data of 1973 through 2002 taken from the Body of Statistic Center (BPS).It is conducted stationerity and causality test of FPE in this research. This research shows that there is one direction causality in which economic growth influences inflation.

Market linkages and conditional correlation between the stock markets of South and Central America

PurposeThe present study examines the short term dynamism and long term equilibrium relationship between the stock markets of South and Central America. It also aims to capture the dynamic conditional correlations between the stock markets using weekly returns of market benchmark indices of the respective countries spanning from 2nd week of 1995 to 4th week of December 2015 are analyzed.Design/methodology/approachThe Johansen and Juselius multivariate cointegration test, Granger causality test based vector error correction model (VECM) approach, and variance decomposition analysis were used to investigate the dynamic linkages between markets. GARCH-DCC is used to investigate the Correlation Dynamics.FindingsThis study identifies long run co-movements between the stock markets. Chile, Peru and Venezuela are the most dynamically interlinked. The empirical results VECM reveal that Argentina, Brazil, Chile and Venezuela stock market returns are significantly influenced by each other, suggesting a stronger linkages between national stock markets. Cointegration test confirms long-run equilibrium relationship. among the major stock markets of the region. The findings from GARCH-DCC provide evidence consistent with increasing market integration. Stocks exhibit asymmetries in conditional correlations. The results demonstrate that correlations are higher toward the end of the sample period than in the early phase.Research limitations/implicationsOn the basis of the results produced by the study, we conclude that there exist opportunities for diversification and investors will benefit from reduction of diversifiable risk among the South and Central American countries in general, but in particular Chile, Peru and Venezuela have not shown the same outcome.Originality/valueThis study has been conducted for a longer period of time and also uses various tools to investigate the dynamic linkages between markets.VAR, VECM, Cointegration and GARCH-DCC altogether in a single study is a rare piece of work.

Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market

BackgroundThe present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market, using time series techniques.MethodsWeekly returns of market benchmark indices of the respective countries are used from the second week of 1995 to the fourth week of December 2013.ResultsThe study finds that the market returns of Austria, Belgium, the Netherlands, and France are relatively less dynamically interlinked as compared with Britain, Denmark, Finland, Germany, Portugal, Spain, Sweden, Switzerland, Greece, Ireland, Luxembourg, and Norway, which are quite dynamically interlinked within the region as well as with the MSCI world index.ConclusionThere exists a strong long run equilibrium relationship between the return distributions of the stock markets within the region.

Interdependence of Property Prices and Building Vacancy Rates in Residential and Commercial Real Estate Markets: Hong Kong and Singapore

In this research, we attempt to find the statistical interdependent relationship between vacancy rates and property prices in residential real estate market and commercial real estate market in Hong Kong and Singapore, the two cities sharing lots of characteristics in common. Vector autoregression (VAR) models and Granger causality tests are conducted to find out the causal relationship between residential housing or office building vacancy rate and the prices in respective markets. We also conduct vector error correction model if the variable pair is cointegrated at the same level.In the analysis of interdependence and VAR model estimation, prices and vacancy rates in Hong Kong residential real estate market and the commercial real estate markets in both cities do not significantly affect to each other. In Singapore residential market, lagged differenced vacancy rate negatively affects future differenced house price, the relation resulting from “fundamental driven effect.” For housing vacancy can be treated as excess supply in real estate market, the price will drop to decrease excess supply and to achieve long-term equilibrium when fundamental demand of residential house is less than supply, ceteris paribus. We also execute comprehensive market comparison of interdependence of property prices and vacancy rates and check the mutual effects of two variables in each type of real estate markets under the panel VAR dynamics. By vector error correction model (VECM), it is discovered that the long term relationship between vacancy rate and price exists in Singapore office building market. Moreover, the Singaporean office building differenced vacancy rate is affected by the deviations from the long term equilibrium relationship between price and vacancy rate. It is also found that, of the two types of property prices in Hong Kong, the long term relationship between residential house price and office building price exists.

ANALISIS RESPONSIVITAS BURSA SYARIAH OLEH VARIABEL MAKRO EKONOMI

The objectives of this study are to analyze the stock response because of M2, exchange rate Rupiah to Dollar and Rate of SBI. The data used in this study is monthly time series data from January 2006-May 2012. Those variabels are JII, M2, exchange rate Rupiah to Dollar and Rate of SBI. Research method used in this study is Vector Error Correction Model (VECM). The cointegration test indicates that among research variabels there is long term equilibrium and simultaneous relationship. The Empirical result of Impulse Response show that the effect of SBI discount rate and M2 is negative and the effect of exchange rate is positive. The result on variance decomposition test, show that the most effect of JII shock is influenced by JII itself. DOI: 10.15408/aiq.v4i2.2548

Determinants of money demand for India in presence of structural break: An empirical analysis

This paper empirically analyses India’s money demand function during the period 1996 to 2013 using quarterly data. Cointegration test suggests that money demand represented by M1 and Interest Rate have a unit root, whereas in the presence of structural break both of the variables are found to be stationary which implies that shocks are temporary in nature. It was found that there is no long term equilibrium relationship in the money demand function. Moreover, when the money demand function was estimated using dynamic OLS, it is concluded that GDP and short term interest rate has a positive impact on money demand (M1).

On the Crude Oil Price, Stock Market Movement and Economic Growth Nexus in Nigeria Evidence from Cointegration and Var Analysis

This work focuses majorly on modelling the dynamic relationship that exists between crude oil prices, stock market indicators and the economic growth in Nigeria using vector autoregressive (VAR) model and cointegration analysis. Market Capitalization and Exchange Rate were used as proxies for stock market indicators and economic growth. The series consist of monthly data points from 1995:1 to 2014:11 totalling up to 239 observations obtained from the Nigerian stock market and Central Bank of Nigeria bulletin. From the study, there exists a viable, long run and sustainable relationship among the series from the cointegration analysis. Two cointegrating equations were found to exist among the variables. The dynamic relationship that exists among these variables can be captured with a vector autoregressive model of order three (VAR(3)). Structural inference was carried with the VAR model and from the result it was noticed that the Nigerian stock market behaviour and the economic growth can better be predicted when taking the past values crude oil prices into consideration. These results mean that the crude oil prices, stock market movement and the economic growth have a long term and sustainable equilibrium relationship and that stock market movement and the economic growth are affected by the distortions in the prices of the crude oil.

Real Exchange Rate and Real Interest Rate Differential: A Cointegration Approach with Structural Shifts

Long term determinants of the movements in exchange rate have been an active interest area for both theoretical and empirical research. In this paper, we consider the long term relationship between exchange rates, inflation and interest rates. We find evidence that the purchasing power parity does not hold for the USD/INR exchange rate, which is consistent with previous research. We examine the relationship between real exchange rate and real interest rate differential between India and USA. We find weak evidence of cointegration between USD/INR real exchange rate, US real interest rate and Indian real interest rate. We also find no evidence of cointegration between USD/INR real exchange rate and real interest rate differential using standard cointegration tests. To make our analysis robust, we identify important structural shifts in the exchange rate and interest rates and introduce them in our analysis to test the cointegration between real exchange rate and real interest rates. After introducing structural shifts, we find new evidence of a long term equilibrium relationship between USD/INR real exchange rate and real interest rate differential between the two countries. The results of our study underscore the significance of monetary factors in predicting exchange rates in the long term as well as the role of structural shifts in long term time series analysis.

Analisis Responsivitas Bursa Syariah oleh Variable Makroekonomi

The objectives of this study are to analyze the stock response because of M2, exchange rate Rupiah to Dollar and Rate of SBI. The data used in this study is monthly time series data from January 2006-May 2012. Those variabels are JII, M2, exchange rate Rupiah to Dollar and Rate of SBI. Research method used in this study is Vector Error Correction Model (VECM). The cointegration test indicates that among research variabels there is long term equilibrium and simultaneous relationship. The Empirical result of Impulse Response show that the effect of SBI discount rate and M2 is negative and the effect of exchange rate is positive. The result on variance decomposition test, show that the most effect of JII shock is influenced by JII itself. DOI: 10.15408/aiq.v4i2.2548

The determinants of real exchange rate volatility in Nigeria

The naira exchange rate depreciation and volatility is among the vast macroeconomic maladjustments which have unfolded in the Nigerian economy in the recent past. This paper therefore, investigates the determinants of real exchange rate volatility in Nigeria from 1981 through 2008. Having obtained the volatility of exchange rate through the GARCH (1,1) techniques, the ECM was used to examine the various determinants of exchange rate volatility in Nigeria, while the co-integration analysis reveals the presence of a long term equilibrium relationship between REXRVOL and its various determinants. Our empirical analysis further shows that openness of the economy, government expenditures, interest rate movements as well as the lagged exchange rate are among the major significant variables that influence REXRVOL during this period. This study recommends that the central monetary authority should institute policies that will minimize the magnitude of exchange rate volatility while the federal government exercises control of viable macroeconomic variables which have direct influence on exchange rate fluctuation. Keywords: Exchange Rate, Volatility, GARCH, ECM, Co integration

Impact of Financial Deepening on Economic Growth in Indian Perspective: ARDL Bound Testing Approach to Cointegration

The present work is an attempt to investigate into the causal impact of financial deepening on economic growth in case of India. For analyzing the long term equilibrium relationship between the desired variables, we have employed Autoregressive Distributed Lag (ARDL) Bound testing approach. ARDL being a new approach is an improvement over the other traditional techniques of cointegration. Further, using the Granger Error Correction Model (ECM) technique we have tried to estimate the causal impact in the short run also. The findings suggest that there exist an equilibrium relationship in long run between financial deepening and economic development. Results suggested that financial deepening causes economic growth in the long run and also in the short run. Therefore, it is concluded that for enhancing the economic growth the government has to take effort to improve the financial deepening. Special efforts should be put to provide easy credit to private sector, stock market development and also to foster foreign trade.

INDIKATOR MAKROEKONOMI DAN RETURN SAHAM SYARIAH DI INDONESIA

The objectives of this study are to examine empirical test the long term equilibrium and simulteneous relationship between macroeconomics variables to stock return in Indonesia and to observe stock return response because shock/innovation of inflation, SBI discount rate and exchange rate Rupiah to US dollar. The data sample used in this study are monthly time series data from 2003.1 – 2010.6. Those data are SBI discount rate, inflation (CPI), exchange rate Rupiah to US dollar, money supply and stock return (IHSG). A method of analysis in this study are Granger Causality Test and Cointegration test. The empirical results shows that SBI discount rate, inflation (CPI), and exchange rate Rupiah to US dollar have causality relationship to stock return.. The cointegration test indicates that among research variables there is long term equilibrium and simultaneous relationshipDOI: 10.15408/sjie.v2i2.2421