scholarly journals Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area

2012 ◽  
Author(s):  
Guillaume Chevillon
Keyword(s):  
Euro Area ◽  
Cointegration Test ◽  
Null Distributions ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test

SURVIVAL OF THE FITTEST: A NATURAL EXPERIMENT FROM CRYPTO EXCHANGES

2021 ◽  
pp. 1-20
Author(s):  
AHMET FARUK AYSAN ◽  
ASAD UL ISLAM KHAN ◽  
HUMEYRA TOPUZ ◽  
AHMET SEMIH TUNALI
Keyword(s):  
Natural Experiment ◽  
Cointegration Test ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test ◽  
Survival Of The Fittest

This paper explores the applicability of universal cryptocurrency exchange by analyzing crypto exchanges of Binance, Latoken, Kucoin and Qash, which also have their own cryptocurrencies in the crypto market. Results of the recursive Johansen cointegration test proved that even though all of the cryptocurrencies have cointegration among each other, Binance positively disassociated itself from the others after it moved to Malta on 23 March 2018. Based on the daily prices of cryptocurrencies over the period from 6 November 2017 to 10 November 2019, taken from coinmarketcap, we conclude that Binance can be considered as a survival of the fittest among all of the crypto exchanges in this natural experiment.

scholarly journals The Impact of Export Volume and GDP on USA’s Civil Aviation in Between 1980-2012

2015 ◽  
Vol 8 (1) ◽  
pp. 229 ◽  
Author(s):  
Salih Kalayci ◽  
Sabire Yazici
Keyword(s):  
Linear Regression ◽  
Cointegration Test ◽  
Civil Aviation ◽  
Johansen Cointegration ◽  
Export Volume ◽  
Johansen Cointegration Test ◽  
The Impact

This paper assays how the effect of USA’s both export volume and GDP have on civil aviation by implementing econometrical models such as linear regression and Johansen Co-integration tests in order to realize the dimension of its influence. The impact of both export volume and GDP on civil aviation have analyzed between the years 1980 and 2012 in order to make it a parametrical test by using E-Views Programme. According to Johansen cointegration test there is a long term relationship between the variables in between 1980-2012.Furthermore, It has been founded that USA’s export volume and GDP have crucial influence on civil aviation according to the E-Views programme results within the periods of 1980-2012. influence. The impact of both export volume and GDP on civil aviation have analyzed between the years 1980 and 2012 in order to make it a parametrical test by using E-Views Programme. According to Johansen cointegration test there is a long term relationship between the variables in between 1980-2012. Furthermore, It has been founded that USA’s export volume and GDP have crucial influence on civil aviation according to the E-Views programme results within the periods of 1980-2012.

scholarly journals Poverty, Unemployment and Food Insecurity: Empirical Evidence from Nigeria

2021 ◽  
pp. 107-123
Author(s):  
Onime, Bright Enakhe ◽  
Stephen Tamuno
Keyword(s):  
Food Insecurity ◽  
Error Correction ◽  
Security Policy ◽  
Cointegration Test ◽  
Infrastructure Development ◽  
Vector Error Correction ◽  
Current Period ◽  
Vector Error ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test

The high incidence of poverty in Nigeria coupled with the alarming rate of unemployment has raised concerns among experts as to their likely relationship with food insecurity. This study examined the nexus between poverty, unemployment and food insecurity using the Johansen cointegration test and the vector error correction model. The result from the Johansen cointegration test suggests a long-run relationship between food insecurity, poverty and unemployment. Findings from the vector error correction analysis showed a positive but insignificant relationship between poverty and food insecurity such that a percentage change in poverty in the current period is associated with a 0.09 per cent increase in food insecurity on average, ceteris paribus. Besides, a positive and significant relationship subsists between unemployment and food insecurity where an increase in unemployment exacerbated the latter. Clearly, a 1 per cent deviation in the previous period unemployment level is associated with a 1.2 per cent degeneration of the food insecurity position in the short run. In the same vein, a 1 per cent change in unemployment in the current period causes a 1.5 per cent aggravation of food insecurity. Following the findings, this study recommends a multi sector-specific approach to solving the issue of poverty in Nigeria targeting agriculture and its employment generating capacity, creating the enabling environment through infrastructure development and improving the ease of doing business for the private sector to strive and enhance its employment generating capacities. The study concludes with a call for the implementation of a holistic food security policy targeting improvement in crop yield, internal security problems and the proper funding of agriculture to be effective.

scholarly journals Effects of Foreign Debt and Foreign Aid on Economic Growth in Somalia

2018 ◽  
Vol 10 (11) ◽  
pp. 95
Author(s):  
Ali Yassin Sheikh Ali ◽  
Mohamed Saney Dalmar ◽  
Ali Abdulkadir Ali
Keyword(s):  
Economic Growth ◽  
Foreign Aid ◽  
Unit Root ◽  
Foreign Debt ◽  
Ordinary Least Squares ◽  
Policy Implications ◽  
Cointegration Test ◽  
Long Run ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test

This paper aims to assess the effects of foreign debt and foreign aid on economic growth in Somalia from 1970 to 2014. The ordinary least squares (OLS) method was used and basic model assumption tests were also employed. We used the Augmented Dickey−Fuller (ADF) and Philip-Perron (PP) tests for the unit root and the Johansen cointegration test to determine the long-run relationship between the variables. The results of the study show that, in Somalia, foreign debt has an insignificant effect on economic growth, while the foreign aid has positive significant effect on economic growth. The results also indicate that the cointegration method confirms the incidence of long-run association among the variables. There is little research regarding the exact relationship between increasing foreign debt and foreign aid on economic growth in Somalia. This study is also different from previous studies as we used ADF and PP tests for the unit root and the Johansen cointegration test for the long-run relationship between the variables. Additionally, the study used multivariate techniques. The paper concludes that foreign aid is essential in economic growth and several policy implications are proposed.

scholarly journals ANALISIS PENGARUH SUKU BUNGA, PENDAPATAN NASIONAL DAN INFLASI TERHADAP NILAI TUKAR NOMINAL : PENDEKATAN DENGAN COINTEGRATION DAN ERROR CORRECTION MODEL (ECM)

2017 ◽  
Vol 4 (1) ◽  
Author(s):  
Roosaleh Laksono T.Y.
Keyword(s):  
Error Correction ◽  
Correction Term ◽  
Error Correction Model ◽  
Cointegration Test ◽  
Maximum Eigenvalue ◽  
Correction Model ◽  
Error Correction Term ◽  
Johansen Cointegration ◽  
Eigenvalue Statistic ◽  
Johansen Cointegration Test

Abstrak. Penelitian  ini  bertujuan  untuk  menganalisa  pengaruh  Suku  bunga,  inflasi, dan Pendapatan Nasional terhadap nilai tukar rupiah terhadap dollar baik hubungan keseimbangan jangka panjang maupun keseimbangan jangka pendek data empiris  tahun 1980-2015 (36 tahun) dengan menggunakan data sekunder. Metode  penelitian  yang  digunakan adalah regresi linier berganda  metoda OLS. Metoda penelitian ini menggunakan mendekatan dengan cointegration dan error correction model (ECM) dengan sebelumnya melallui beberapa tahapan pengujian statistic lainnya. Hasil dalam penelitian dengan cointegration (Johansen Cointegration test)   menunjukkan bahwa semua variable bebas (inflasi, pendapatan nasional dan suku bunga)  dan variable tak bebas (nilai tukar) telah terjadi hubungan keseimbangan (equilibrium) dalam jangka panjang, hal ini dibuktikan dengan hasil uji tersebut dimana nilai trace statistic sebesar 102.1727 jauh lebih besar dari nilai kritis (5%)  sebesar 47.85613.  Selain itu pula  hasil dari Maximum Eigenvalue Statistic yaitu dengan hasil sebesar 36,7908 lebih besar dari nilai kritis 5%. Sebesar 27,584434. Sementara hasil dari uji koreksi kesalahan model (ECM) bahwa hanya variable inflasi, suku bunga dan residual yang signifikan, sementara variable pendapatan nasional tidak signifikan. Hal ini yang berarti bahwa variable inflasi dan suku bungan mempunyai hubungan jangka pendek terhadap nilai tukar, hal ini terlihat dari nilai Probabilitas (Prob.) masing- masing variable dibawan 0,05 (5%), selain itu koefisien residual pada hasil uji ECM adalah -0,732447, hal ini menunjukan bahwa koreksi kesalah (error correction term) adalah sebesar 73,24% dan significant. 

scholarly journals Integrasi Indeks Saham Pada Bursa Negara Kawasan Asia Pasifik

2020 ◽  
Vol 4 (1) ◽  
pp. 30
Author(s):  
I Wayan Tresna Wira Sentana ◽  
I Gde Kajeng Baskara
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Asia Pacific ◽  
Cointegration Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test ◽  
Positive Correlation Coefficient

Financial liberalization that occur in many countries in the world will cause stock market in that countries are integrated. Asia Pacific stock markets are very potential for investors to investing their capital because the Asia Pacific stock markets are very potential to make maximum returns for the investors. The aim of this researches are to analyze integration that occur in the Asia Pacific stock markets and to know that Asia Pacific stock markets are suitable for investors to diversifying their portfolio. This research are using the closing price of the Asia Pacific stock markets from April 2011 – March 2019 using Johansen cointegration test and vector error correction model. The result shows that Asia Pacific stock markets are integrated shows with seven cointegrating values in Johansen cointegration test and investors cannot diversifying their portfolio in the Asia Pacific stock market because of positive correlation coefficient values from all of the variables

scholarly journals Kırşehir Ahi Evran Üniversitesi, Ziraat Fakültesi, Tarım Ekonomisi, 40100 Kırşehir

2018 ◽  
Vol 6 (10) ◽  
pp. 1455
Author(s):  
Hasan Gökhan Doğan
Keyword(s):  
Agricultural Sector ◽  
Policy Instruments ◽  
Granger Causality Test ◽  
Participatory Approach ◽  
Cointegration Test ◽  
Causality Test ◽  
Market Prices ◽  
The Past ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test

Agricultural support policies are important for the sustainability of the agricultural sector of the countries. Policy instruments may change on the basis of countries and periods. In this research, the effects of Turkey's supply deficit experienced which are sunflower, soybean, safflower and rapeseed cultivation areas of deficiency payment supports were investigated. The research includes between 1994-2016 years. Granger Causality Test and Johansen Cointegration Test was used. According to the results obtained, the effect of deficiency payment support on sunflower producer decisions was statistically significant. Safflower, rapeseed and soybean on cultivation areas while there was no significant effect. However, it has been determined that the between deficiency payment support with the current prices is available an interaction. Accordingly, it may be advisable to discuss of the different payment support with a participatory approach, taking into account the problems experienced in support policies in the past periods. The maintenance of such supports can be expressed as a requirement, since it is in property of being protected in terms of market prices. However, from one side, the place of support in the budget, from the other side. the effects on the producer's income taking into consideration should not be taken away from a balanced policy approach.

scholarly journals Climate change impacts on cereal crops production in Pakistan

2020 ◽  
Vol 12 (2) ◽  
pp. 257-269 ◽  
Author(s):  
Faiza Ahsan ◽  
Abbas Ali Chandio ◽  
Wang Fang
Keyword(s):  
Energy Consumption ◽  
Positive Impact ◽  
Labour Force ◽  
Cointegration Test ◽  
Cereal Crops ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test

Purpose This paper aims to examine the effects of CO2 emissions, energy consumption, cultivated area and the labour force on the production of cereal crops in Pakistan from the period 1971-2014. Design/methodology/approach The study used the Johansen cointegration test, the autoregressive distributed lag (ARDL) approach and Granger causality test to estimate the long-run cointegration and direction of the relationship between the dependent and independent variables. Findings The outcomes of the Johansen cointegration test confirmed the existence of a long-term cointegrating relationship between the production of cereal crops, CO2 emissions, energy consumption, cultivated area and the labour force. The results of the long-run coefficients of CO2 emissions, energy consumption, cultivated area and labour force have a positive impact on cereal crops production. The long-run relationships reveal that a 1 per cent increase in CO2 emissions, energy consumption, cultivated area and labour force will increase cereal crops production by 0.20, 0.11, 0.56 and 0.74 per cent, respectively. Moreover, the findings show that there is a bidirectional causality running from CO2 emissions and cultivated area to cereal crops production. Moreover, there is a unidirectional causality running from energy consumption to cereal crops production. Originality/value The present study also fills the literature gap for applying the ARDL procedure to examine this relevant issue for Pakistan.

Economic Diversification and Inclusive Growth in Nigeria

2021 ◽  
pp. 90-108
Author(s):  
Amaka G. Metu ◽  
Chekwube V. Madichie ◽  
Uchenna N. Anyanwu ◽  
Chris U. Kalu ◽  
Okezie A. Ihugba
Keyword(s):  
Growth Rate ◽  
Human Development ◽  
Human Development Index ◽  
Cointegration Test ◽  
Inclusive Growth ◽  
Economic Diversification ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test ◽  
The Government

Economic diversification is identified as a recipe for achieving inclusive growth and the role of institutions in strengthening the process of diversification cannot be ruled out. This study examined the role of institutions in helping economic diversification to achieve inclusive growth in Nigeria. Inclusive growth was measured using the growth rate of the inequality-adjusted human development index. Based on the Solow growth model and adopting the Johansen cointegration test, the results show that economic diversification in Nigeria does not significantly contribute to inclusive growth. The interaction of diversification with the institutions gave a positive significant result meaning that effective institutions will help economic diversification contribute to inclusive growth. Hence, the government using appropriate institutions can ensure an investment-friendly environment to support economic diversification and encourage inclusive growth in Nigeria.

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