scholarly journals Seasonal co-integration: An extention of the Johansen and Schaumburg approach with an exclusion test

2009 ◽  
Vol 56 (1) ◽  
pp. 39-53
Author(s):  
Ozlem Tasseven
Keyword(s):  
Money Demand ◽  
Time Series Data ◽  
A Priori ◽  
Series Data ◽  
General Acceptance ◽  
Long Run ◽  
Turkish Economy ◽  
Variable Space ◽  
Annual Frequency ◽  
Seasonal Cointegration

In this paper, the Johansen and Schaumburg method for seasonal cointegration has been tried to be applied for testing an a priori hypothesized cointegrating money demand variable space. We aim to provide a comprehensive discussion of the significance of the variables in the long-run context as stationary relationships for both zero and bi-annual frequencies. For this purpose, several restrictions have been used to impose for identification purposes of the relevant vectors. We also touch upon the possibility that most time series data have been subject to the stochastic seasonality as opposed to the general acceptance in empirical papers. Our results employing data from the Turkish economy show that it is not possible to estimate only a single theory-accepted money demand relationship in the long-run variable space for both zero and bi-annual frequences, but we are able to identify different vectors somewhat consistent with theoretical arguments for the annual frequency.

scholarly journals Financial Liberalization and the Stability of Short-run and Long-run Money Demand in Iran

2013 ◽  
Vol 5 (1) ◽  
pp. 24-37
Author(s):  
Maryam Zare
Keyword(s):  
Money Demand ◽  
Structural Breaks ◽  
Structural Changes ◽  
Financial Liberalization ◽  
Time Series Data ◽  
Structural Break ◽  
Unit Root Test ◽  
Series Data ◽  
Long Run ◽  
Demand Stability

Money demand is one of the most important macro-economic variables that could be of great importance to the economic prospect of a country. Therefore, awareness on how this function behaves and by adoption of appropriate economic policies, it is possible, by and large, to avoid the emergence of disorder. The present study, employing the annual time series data related to Iranian economy during 1973-2009, tries to investigate possible relationships between financial liberalization and money demand stability in Iran, in the form of 4 models. To do so, Zivot-Andrews (1992) Unit Root Test was applied in order to clarify endogenous structural changes and Gregory-Hansen (1996) Cointegration Test was administered to investigate the long-run relationships between financial liberalization and money demand stability in Iran, with an emphasis on the structural breaks during the period under study. The results of the study show that by taking the structural break into consideration, there is a significant short and long run relationship between financial liberalization and money demand stability in Iran.

scholarly journals DETERMINANTS OF INDONESIA’S INCOME VELOCITY OF MONEY

2019 ◽  
Vol 21 (3) ◽  
pp. 323-342
Author(s):  
Susan Sunila Sharma ◽  
Ferry Syarifuddin
Keyword(s):  
Interest Rates ◽  
Money Demand ◽  
Time Series Data ◽  
Series Data ◽  
Tax Revenue ◽  
Short Term ◽  
Policy Perspective ◽  
Long Run ◽  
Velocity Of Money ◽  
Short Run

Using monthly time-series data and both short- and long-run models, our paper examines the determinants of Indonesia’s income velocity of money. Our findings strongly suggest that in the long-run, tax revenue, short-term interest rates, and industrial production, and in the short-run, money demand significantly determines income velocity of money. Our analysis suggests that the effect on income velocity is mostly over the long-run as most determinants are dormant in the short-run. The implication from a policy perspective is that shocks that are transitory are unlikely to burden income velocity.

scholarly journals Effects of Money Demand on Trade Balance in Nigeria

2020 ◽  
Vol 6 (351) ◽  
pp. 23-44
Author(s):  
Oluwole Jacob Adeyemi ◽  
Isiaq O. Oseni ◽  
Sheriffdeen A. Tella
Keyword(s):  
Money Demand ◽  
Trade Balance ◽  
Time Series Data ◽  
Series Data ◽  
Data Set ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Monetary Policy Committee ◽  
The Relationship

Previous studies appear to have concentrated on the effects of currency depreciation on trade balance and macroeconomic policy, while the relationship between money demand and trade balance is scantly documented in the literature. This paper therefore examines the effects of money demand on trade balance in Nigeria. For the analysis conducted, annual time series data covering the period ranging from 1986 to 2018 were used along with the Autoregressive Distributed Lag (ARDL) estimation technique. The long‑run coefficient of money demand was positively signed and statistically significant at 5% level. The positive relationship exhibited by the coefficient of money demand in the long run had a significant influence on trade balance. Thus, this implied that a unit percent increase in money demand would lead to a 1.57% significant increase in trade balance. The implication of this finding was that money demand had significantly influenced trade balance, enhancing the production of goods and fostering investment, which had led to increased growth. The paper recommends that the Central Bank of Nigeria through the Monetary Policy Committee should amend qualitative and quantitative credit control policies with the aim of improving lending to enhance the flow of credit to the real and exporting sector of the economy in order to bring about the desired effect on trade balance. However, the study is limited to an analysis of the existence of the relationship between money demand and trade balance using the Nigerian data set.

scholarly journals An Analysis of the Money Demand Function for Zambia: A Gregory Hansen Cointegration Approach

2021 ◽  
Vol 13 (1(J)) ◽  
pp. 1-12
Author(s):  
Peter Nsokolo Mumba ◽  
Emmanuel Ziramba
Keyword(s):  
Money Demand ◽  
Demand Function ◽  
Time Series Data ◽  
Series Data ◽  
Level Shift ◽  
Money Demand Function ◽  
Real Money ◽  
Long Run ◽  
Parsimonious Model ◽  
The Stability

The objective of this study was to analyze the money demand function for Zambia for the period 1978 – 2018 using annual time series data. The study employed the Gregory Hansen cointegration technique. The study also employed Hendry’s General to Specific technique to estimate the error correction model by obtaining a parsimonious model. The results of the Gregory Hansen test confirmed the presence of a cointegrating relationship and selected the GH-2 model as the most plausible model with a level shift and a trend. The results also endogenously determined 1994 as the break year in the money demand function. Other interesting results obtained by the study suggest that inflation and interest rate are the robust determinants of real money demand both in the short and long run. Furthermore, unlike many other developing countries, the results show that money is a necessity in Zambia. The other interesting results suggested by the study are that the financial sector reforms of 1994 diminished the demand for real money; however, the positive time trend suggests that there has been an increase in real money holdings over time in Zambia. The low-interest elasticity of money demand also potentially compromises the effectiveness of money supply as a monetary policy tool for economic stabilization. The results of the CUSUM and CUSUMSQ confirm the stability of the money demand function in Zambia.

Macro-Economic Disequilibrium and Educational Development in Nigeria between 1980-2017

2019 ◽  
Vol 10 (08) ◽  
pp. 20592-21600
Author(s):  
Gbadebo Salako ◽  
Adejumo Musibau Ojo ◽  
Jaji Ayobami Francis
Keyword(s):  
Time Series Data ◽  
Educational Development ◽  
Negative Relationship ◽  
Series Data ◽  
Explanatory Variables ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Stationarity Test ◽  
Level I

This study empirically investigates the effects of macroeconomic disequilibrium on educational development in Nigeria. The study employed time series data between 1980 and 2017. Autoregressive Distributed Lag method of estimation was employed. The result revealed that the variables stationarity test were mixed between the first difference I(I) and level I(0). The cointegration result shows that there exist long run relationship between the variables. The result revealed that Balance of payment, Poverty, Debt rate inflation and unemployment exhibited negative relationship with educational development. The estimation result showed that all explanatory variables account for 88% variation of educational development in Nigeria. It is therefore recommended that government should fast track policies that can stabilize inflation and exchange rate in the country. Also, Policies must be formulated to reduce poverty and unemployment.

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

EMPIRICAL ANALYSIS OF INDIA’S FOREIGN TRADE AND ECONOMIC GROWTH

2020 ◽  
Vol 8 (10) ◽  
pp. 105-111
Author(s):  
Khujan Singh ◽  
Anil Kumar
Keyword(s):  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Significant Implication ◽  
Causality Test ◽  
First Order ◽  
Long Run ◽  
Directional Relation ◽  
Augmented Dickey Fuller ◽  
Vecm Granger Causality

The present study is an attempt to examine long run relationship among India’s GDP, Exports and Imports for which yearly time series data from 1995 to 2018 has been collected. Data for India’s GDP has been collected from RBI website and India’s export and import data has been collected form Ministry of Commerce and Industry website. The Augmented Dickey-Fuller unit root test for stationarity found that studied variables become stationary at first order of difference. While, Johnson cointegration test revealed long run cointegration between India’s GDP, exports and imports. The results of VECM Granger causality test exhibited bi-directional relationship between India’s GDP and India’s exports, whereas uni-directional relation has been found between India’s GDP and India’s imports. These results have significant implication for India’s export import policy and to achieve a target of $5 trillion economy till 2024-2025.

scholarly journals Panel Econometric Analysis on Mobile Payment Transactions and Traditional Banks Effort toward Financial Accessibility in Sub-Sahara Africa

2020 ◽  
Vol 12 (3) ◽  
pp. 895 ◽  
Author(s):  
Cephas Paa Kwasi Coffie ◽  
Hongjiang Zhao ◽  
Isaac Adjei Mensah
Keyword(s):  
Time Series Data ◽  
Unit Root Test ◽  
Panel Cointegration ◽  
Ordinary Least Squares ◽  
Sustainable Growth ◽  
Series Data ◽  
Mobile Payment ◽  
Cross Sectional ◽  
Mobile Payments ◽  
Long Run

The financial landscape of sub-Sahara Africa is undergoing major changes due to the advent of FinTech, which has seen mobile payments boom in the region. This paper examines the salient role of mobile payments in traditional banks’ drive toward financial accessibility in sub-Sahara Africa by using panel econometric approaches that consider the issues of independencies among cross-sectional residuals. Using data from the World Development Index (WDI) 2011–2017 on 11 countries in the region, empirical results from cross-sectional dependence (CD) tests, panel unit root test, panel cointegration test, and the fully modified ordinary least squares (FMOLS) approach indicates that (i) the panel time series data are cross-sectionally independent, (ii) the variables have the same order of integration and are cointegrated, and (iii) growth in mobile payment transactions had a significant positive relationship with formal account ownership, the number of ATMs, and number of new bank branches in the long-run. The paper therefore confirms that the institutional structure of traditional banks that makes them competitive, irrespective of emerging disruptive technologies, has stimulated overall financial accessibility in the region leading to overall sustainable growth in the financial sector. We conclude the paper with feasible policy suggestions.

Fish Exports and Economic Growth: The Pakistan’s Experience

2019 ◽  
Vol 20 (2) ◽  
pp. 279-296 ◽  
Author(s):  
Syed Tehseen Jawaid ◽  
Mohammad Haris Siddiqui ◽  
Zeeshan Atiq ◽  
Usman Azhar
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Positive Impact ◽  
Impulse Response Function ◽  
Policy Implications ◽  
Sensitivity Analyses ◽  
Series Data ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run

This study attempts to explore first time ever the relationship between fish exports and economic growth of Pakistan by employing annual time series data for the period 1974–2013. Autoregressive distributed lag and Johansen and Juselius cointegration results confirm the existence of a positive long-run relationship among the variables. Further, the error correction model reveals that no immediate or short-run relationship exists between fish exports and economic growth. Different sensitivity analyses indicate that initial results are robust. Rolling window analysis has been applied to identify the yearly behaviour of fish exports, and it remains negative from 1979 to 1982, 1984 to 1988, 1993 to 1999, 2004 and from 2010 to 2013, and it shows positive impact from 1989 to 1992, 2000 to 2003 and from 2005 to 2009. Furthermore, the variance decomposition method and impulse response function suggest the bidirectional causal relationship between fish exports and economic growth. The findings are beneficial for policymakers in the area of export planning. This study also provides some policy implications in the final section.

scholarly journals Non-bank financial institutions and economic growth: Evidence from Africa’s three largest economies

2017 ◽  
Vol 20 (1) ◽  
Author(s):  
Ronald Rateiwa ◽  
Meshach J. Aziakpono
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Financial Institutions ◽  
Time Series Data ◽  
Bank Lending ◽  
Series Data ◽  
The Sustainable Development ◽  
Long Run ◽  
The Relationship

Background: In order for the post-2015 world development agenda – termed the sustainable development goals (SDGs) – to succeed, there is a pronounced need to ensure that available resources are used more effectively and additional financing is accessed from the private sector. Given that traditional bank lending has slowed down, the development of non-bank financing has become imperative. To this end, this article intends to empirically test the role of non-bank financial institutions (NBFIs) in stimulating economic growth.Aim: The aim of this article is to empirically test the existence of a long-run equilibrium relationship between economic growth and the development of NBFIs, and the causality thereof.Setting: The empirical assessment uses time-series data from Africa’s three largest economies, namely, Egypt, Nigeria and South Africa, over the period 1971–2013.Methods: This article uses the Johansen cointegration and vector error correction model within a country-specific setting.Results: The results showed that the long-run relationship between NBFI development and economic growth is relatively stronger in Egypt and South Africa, than in Nigeria. Evidence in respect of Nigeria shows that such a relationship is weak. The nature of the relationship between NBFI development and economic growth in Egypt is positive and significant, and predominantly bidirectional. This suggests that a virtuous relationship between NBFIs and economic growth exists in Egypt. In South Africa, the relationship is positive and significant and predominantly runs from NBFI development to economic growth, implying a supply-leading phenomenon. In Nigeria, the results are weak and mixed.Conclusion: The study concludes that in countries with more developed financial systems, the role of NBFIs and their importance to the economic growth process are more pronounced. Thus, there is need for developing policies targeted at developing the NBFI sector, given their potential to contribute to economic growth.

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