Time Series Evidence Research Articles

The Impact of Financial Development and Trade Openness on Economic Growth: Time Series Evidence from Luxembourg

Financial deepening and trade openness are among one of the important drivers of economic growth. Liberalized financial sector promote investors and this boosts up production activities in any economy. On the other side, both exporters and importers together promote trading activities and this encourages quantity of output in any economy. Based on this intuition, this study is structured to inquire the effects of financial development and trade openness on economic growth for Luxembourg economy. This research uses ARDL bounds test for an annual data series from 1980 to 2020 and empirical results suggests that trade openness and financial development have significant and appreciating impact on economic growth. The results further confirm that capital stock has significant and increasing impact on economic growth. Among all these three drivers, trade is the strongest driver that boosts economic growth. Lastly, labor force is witnessed as irrelevant driver for the selected economy. These results are supported by all the diagnostic tests. In order to give boost to economic activities in Luxembourg, trade openness, financial development and capital accumulation should be regulated in such a way that they may remain production friendly in selected country.

Does Granger causality exist between article usage and publication counts? A topic-level time-series evidence from IEEE Xplore

Does Granger causality exist between article usage and publication counts? A topic-level time-series evidence from IEEE Xplore

Trend detection and depletion effects evidence in time series of groundwater levels in the southern sector of the left bank of the Tagus-Sado Basin (Portugal, Iberian Peninsula)

In the last 20 years in Portugal, water resources have been affected to the point that water storage has decreased by 20% since 2000. Creating strategies to manage water resources requires a comprehensive understanding of the factors influencing water storage and their effects over time. This study is focused on the evolution of Groundwater Deep Levels (GDL) by applying a two-phase trend analysis methodology to examine the dynamic changes in GDL within a series of monitoring wells located in the Central and Southern sectors of the Left Bank of the Tagus-Sado Cenozoic age Basin, situated in Portugal In the initial phase of trend analysis, Factorial Analysis of Mixed Data (FAMD) was employed and posteriorly the Hierarchical Classification Analysis (HCA). These techniques enabled us to identify distinct GDL trend profiles and generate interpretative maps illustrating their spatial distribution. In the second phase, the non-parametric Mann–Kendall Analysis (MKA) and Innovative Trend Analysis (ITA) were applied, allowing for a quantified confirmation of the different trend profiles previously detected. These techniques allowed the identification of positive and negative hydrodynamic trends in distinct sections of the Basin. In the SE sector they are characterized by a significative increase of GDL associated with overexploitation and in the Central sector with a decrease of GDL. Nevertheless, significant depletion effects can result from natural factors such as prolonged droughts, and in certain regions, changes in geological and hydrothermal dynamics, such as Alpine-age faults, graben, and horst structures, may account for these alterations.

Impacts of the Interest Rate Increases on the US Technology Industry: Time Series Evidence

Impacts of the Interest Rate Increases on the US Technology Industry: Time Series Evidence

The Role of Consumer Prices, Economic Growth and Rising Population in Determining Unemployment: A Time Series Evidence from Cyprus Economy

Addressing an important and imperative macroeconomic issue like unemployment always remains among the top priorities of all the policy makers in almost every economy of the world. Increasing unemployment reflects the slowdown or downturn of the economy. Therefore, it is important to explore the factors which may influence unemployment in any economy. This study is aimed at investigating the role of CP- consumer prices, EG- economic growth and TP- total population on unemployment in Cyprus. After considering sample period from 1977 to 2022, the estimates of ARDL bounds test uncover the significant and positive impact of CP and TP on unemployment while EG leaves significantly inverse impact on unemployment. The study confirms presence of positive sloped Phillips curve while it also confirms presence of Okun’s law in Cyprus economy. Based on these findings, this study suggests that EG should be accelerated to condense level of unemployment but CP and TP should be controlled to stop increasing unemployment.

Non-linear dynamics in finance–inequality nexus: time series evidence from the Indian economy

PurposeThe principal aim of this study is to examine the relationship between financial development and income inequality in India using the financial Kuznets curve (FKC) hypothesis.Design/methodology/approachThis study uses the autoregressive distributed lag (ARDL) model and the Toda–-Yamamoto causality test to investigate the long-run and short-run relationship and causality between financial development and income inequality. In addition, this study employs a principal component analysis (PCA) to construct a comprehensive financial development index.FindingsThe study found a long-run relationship between financial development and income inequality in India for the period under consideration. Trade is found to improve the income distribution, while inflation worsens income distribution. Moreover, the empirical results revealed a feedback causality between financial development and income inequality. The study results confirm an inverted U-shaped relationship between financial sector development indicators and income inequality, thus validating the FKC hypothesis for the Indian economy.Research limitations/implicationsThe study draws attention of the government and policymakers, urging them to focus on building a strong financial sector by improving its efficiency. This, in turn, will lead to enhanced financial stability and a reduction in income inequality. They should prioritise the development of high-quality and sustainable financial products and services to ensure the robust growth of the financial sector.Originality/valueTo the best of our knowledge, this study is the latest of its kind to empirically test the financial development on income inequality and the FKC hypothesis simultaneously for the Indian economy using financial proxy variables from financial institutions (FIs) and financial markets (FMs) for the measurement of financial depth.

Creative Industries and Regional Economic Growth: Time Series Evidence from Aceh, Indonesia

This study aims to provide an overview of the role of the creative industries in driving regional economic growth in Aceh, Indonesia. This study uses secondary data from official government agencies observed from 2011 to 2016. We use the Ordinary Least Squares (OLS) estimation to estimate the impact. The results showed that, partially, employment in the creative industries had a positive and significant effect on economic growth, while the value of exports in the creative industries had no significant effect. However, simultaneously these two variables have a positive and significant influence on economic growth. This finding implies the importance of stakeholder involvement to strengthen the performance and contribution of the creative industry in the future.

The countercyclical capital buffer and international bank lending: Evidence from Canada

We examine the impact of the recently introduced Basel III countercyclical capital buffer (CCyB) on foreign lending activities of Canadian banks. By exploiting the variation in CCyB rates across countries, we overcome the identification challenge associated with limited time-series evidence on the CCyB's use in individual jurisdictions. We show that in response to a 1-percentage-point tightening announcement in a foreign CCyB, the growth rate of cross-border lending between Canadian banks and borrowers abroad decreases by 12-17 percentage points. The direction of this effect is likely driven by the CCyB's unique reciprocity rule, which also subjects foreign banks to domestic regulation.

Debt policy in Spanish America during the seventeenth century

This paper analyzes the policies that the Castile of the seventeenth century followed toward creating and selling short-term and long-term debt paid off from the Crown's New World revenues. We use microdata to reconstruct comprehensive fiscal accounts for Spanish America during the seventeenth century. Our new time series evidence shows that the Spanish Empire maintained differential debt policies in the center and the periphery. Spanish America issued considerably less debt, more credible than coetaneous Castilian debt. However, the issuances’ size did not reflect lower debt capacity in the New World, as the Spanish Empire restrained long-term debt issuance to emergencies. We also provide complementary evidence from debt issuances and explain why differential debt policies were maintained.

Do insurers use internal capital markets to manage regulatory scrutiny risk?

AbstractEmpirical evidence suggests that insurance groups allocate capital to members with better performance or growth prospects and use internal capital markets (ICMs) to protect the franchise value of less capitalized members. We propose and test an additional motivation for the use of ICMs—to manage regulatory scrutiny risk. We show that almost 50% of insurers at risk of facing additional regulatory scrutiny due to failing four Insurance Regulatory Information System (IRIS) ratios received sufficient internal capital to avoid enhanced regulation. Moreover, the likelihood and extent of internal capital allocation are related to regulatory scrutiny risk and the amount of capital allocated is typically just enough to avoid regulatory scrutiny. Time series evidence indicates that groups manage regulatory scrutiny risk by allocating capital toward affiliates when their pre‐capital contribution IRIS ratio failures exceed three, and away from affiliates when they are no longer at risk of additional regulatory scrutiny.

External Debt and Macroeconomic Indicators: Time Series Evidence from Nigeria

This study investigated the relationship between external debt and macroeconomic indicators in Nigeria. The objective was to investigate the effect of external debt on Nigerian macroeconomic indicators. The study used of time series data sourced from Central Bank of Nigerian statistical bulletin. Data were analysed using Statistical Package for Social Sciences. Macroeconomic indicators were proxy by real gross domestic product, inflation rate, unemployment rate and balance of payment while external debt was proxy by Nigerian external debt to London club of creditors, multilateral club of creditors, Paris club of creditors, promissory notes and external debt servicing. Ordinary least square method with the aid of statistical package for social sciences was used as data analysis method. The study found 71.3 percent while the R-square is 66.3 percent. External debt variables explained 68.6 percent variation on the dependent variable which is balance of payment. However, the beta coefficient of the variables found that all the independent variables have positive but insignificant effect on the dependent variable which is balance of payment, the study found that external debt explained 77.1 percent variation on Nigerian unemployment rate the beta coefficient of the variable shows that all the independent variables have positive relationship except Nigerian external debt with London club of creditors and found that 78.4 percent variation on Nigerian inflation rate while the coefficient shows that external debt with multilateral club, Paris club and Promissory note have negative relationship with Nigerian inflation rate while debt servicing and Nigerian external debt with London club of creditors have positive effect on Nigerian inflation rate. The study concludes that external debt has significant effect with Nigerian macroeconomic indicators. We recommend that external debt in Nigeria should be well utilized for better macroeconomic indicators.

The Missing Intercept: A Demand Equivalence Approach

I give conditions under which changes in private spending are accommodated in general equilibrium exactly like changes in aggregate fiscal expenditure. Under such demand equivalence, researchers can use time series evidence on fiscal multipliers to recover the general equilibrium “missing intercept” of shocks to private spending identified in the cross section. Through the lens of this theory, time series estimates of a fiscal multiplier around one suggest a missing intercept close to zero—an observation that I illustrate with an application to the 2008 tax rebates. I also discuss the robustness of this aggregation approach to plausible violations of demand equivalence. (JEL E12, E21, E24, E62, G51, H24, H31)

Vicious Circle of Health Expenditure: Time Series Evidence from Pakistan

Vicious Circle of Health Expenditure: Time Series Evidence from Pakistan

Financial development, technological innovation and urban-rural income gap: Time series evidence from China.

The main purpose of the paper is to investigate the relationship between technological innovation and income inequality for China based on the financial Kuznets curve (FKC) hypothesis. The study uses time-series data from 1985 to 2019. We employ the Johansen cointegration, ARDL model and VECM Granger causality techniques to analyze the links between the variables. We also use the DOLS, FMOLS and CCR mechanisms to estimate the long-run parameters. The paper finds that the FKC is valid for China's economy in the long run. Technological innovation positively affects the urban-rural income gap, while there is an inverted-U shaped between financial development and the urban-rural income gap. The relationship between financial development and the urban-rural income gap is bi-directional causality. Technological innovation and the urban-rural income gap cause each other. Empirical results suggest a twofold policy meaning: i) to further the financial system and ii) to eliminate the adverse impacts of technological innovations on income distribution.

A Fusion Recognition Method Based on Temporal Evidence Reasoning

In order to improve the effectiveness of system decision‐making, the use of the evidence theory to identify target intentions has always been a research hotspot. In information fusion using the evidence theory, there are relatively few research studies on temporal domain evidence information fusion. Due to the obvious dynamic, sequential, and real‐time characteristics of temporal domain information fusion, traditional spatial domain information fusion methods are not suitable. Therefore, it is very necessary to study new methods for the temporal evidence fusion problem. In this article, a temporal evidence fusion method under the framework of the evidence reasoning rule (the ER rule) is proposed. The method uses complementary reliability integration rules and the time‐series evidence distance function to obtain the reliability of evidence at adjacent moments. According to the temporal domain evidence credibility decay model, the evidence weight of the temporal domain evidence is determined. Then, through the integration of the ER rule, the temporal domain evidence reliability and evidence weight are used to combine the evidence. The capability of this method is verified by numerical experiments and compared with other methods. The results show that the proposed method can effectively deal with the temporal domain evidence combination problem, has strong anti‐interference ability, and can support target intent recognition.

Does financial development foster economic globalization in emerging economies? Time series evidence from China and India

This study explores the role of financial development in economic globalization for India and China by controlling economic growth, institutional quality, inflation, government investment, and real interest rate as crucial determinants. Using annual time series data from 1984 to 2018, the long-run estimates from ARDL model reveal that financial development, institutional quality, and government investment significantly drive economic globalization. We also find that the inflation rate offsets economic globalization in India but promotes it in China. Interestingly, while economic growth promotes economic globalization in India, it impedes in China. The varying effects of real interest rates on economic globalization are observed in both economies. These findings offer key macroeconomic policy.

Revisiting the linkage between financial inclusion and economic growth: Time series evidence from Vietnam

Financial inclusion has played a key role in encouraging the development of financial sectors in recent decades. Only a few studies, however, have looked at the linkage between financial inclusion and economic growth. This study examines the impact of financial inclusion on economic growth in Vietnam, utilizing data spanning the period from 2001 to 2021. The study uses composite risk, trade openness, and government expenditures as control variables. The study follows the access to finance theory, which suggests that access to financial services such as credit, savings, and insurance can help promote economic growth and development. The nexus between financial inclusion and economic growth has never been examined in the case of Vietnam, which represents a greater share of global trade and income. Moreover, this study uses trade openness, government expenditures, and the composite risk index as control variables in the empirical model. Hence, the study contributes to the existing literature in some meaningful ways. This study employs the FMOLS method to estimate the long-run coefficients of financial inclusion, trade openness, composite risk, and government expenditures. According to the findings, financial inclusion boosts economic performance. On the contrary, composite risk is negatively related to economic growth. The results of this study suggest that Vietnam must implement policies to improve financial inclusion so as to enhance its economic growth.

Price informativeness: a potential explanation for the idiosyncratic volatility puzzle

ABSTRACT Price informativeness is the amount of private information incorporated into stock prices and measured by from regressions of stock returns on systematic risk factors. While is closely related with idiosyncratic volatility, it is not interchangeable because magnitude of systematic volatility simultaneously changes. By controlling for the systematic volatility using the double-sorting portfolio approach, we suggest a potential involvement of price informativeness with the idiosyncratic volatility puzzle. Both cross-sectional evidence of monotonic and inverse relationship between idiosyncratic volatility and and time-series evidence of disappearing alphas of the low-minus-high idiosyncratic volatility portfolios during recessions support an explanation of the idiosyncratic volatility puzzle in association with price informativeness.

Fleshing out the olive? Observations on income polarization in China since 1981

In a rare example of a national goal for income distribution besides reducing poverty (for which there is a broad consensus), China's leadership committed in 2021 to attaining a less polarized “olive-shaped” distribution. The paper argues that the Foster-Wolfson polarization curve and index are well suited to quantifying this goal. New estimates indicate that polarization has been on a rising trend since 1981, but with a de-polarizing reversal emerging around 2009. There is no robust time-series evidence of polarizing effects of economic growth, poverty reduction or population urbanization. Larger urban-rural gaps in mean incomes have been strongly polarizing.

Stock liquidity and the accrual anomaly

PurposeThis study examines the effect of stock liquidity on the magnitude of the accrual anomaly.Design/methodology/approachThis paper examines the relation—both time-series and cross-sectional—between stock liquidity and the magnitude of the accrual anomaly and use the 2001 minimum tick size decimalization as a quasi-experiment to establish causality.FindingsThere is both cross-sectional and time-series evidence that stock liquidity is negatively related to the magnitude of the accrual anomaly. Moreover, the extent to which investors overestimate the persistence of accruals decreases with stock liquidity. Results from a difference-in-differences analysis conducted using the 2001 minimum tick size decimalization as a quasi-experiment suggest that the effect of stock liquidity on the accrual anomaly is causal. The findings of this study are consistent with the enhancing effect of stock liquidity on pricing efficiency.Originality/valueThe study's findings are well aligned with the mispricing-based explanation for the accrual anomaly, suggesting that the improvement in market-wide stock liquidity drives the contemporaneous decline in the magnitude of the accrual anomaly, at least to a great extent.