scholarly journals The analysis of wheat prices using multiple structural breakpoint co-integration test

2021 ◽  
pp. 4-4
Author(s):  
Gokhan Cinar ◽  
Adnan Hushmat
Keyword(s):  
Structural Breaks ◽  
Ordinary Least Squares ◽  
Equilibrium Relation ◽  
Spot Prices ◽  
Present Value Model ◽  
Long Run ◽  
Integration Test ◽  
High Volatility ◽  
Value Model ◽  
Grain Prices

From 2005 to 2008, high volatility in the markets affected grain prices significantly. This high volatility in grain prices made many researchers curious, and many discussions aroused from this topic. This study analyzes wheat price behavior during this period of high volatility. We estimate a return index for wheat using spot and futures wheat prices with the help of a present value model. To analyze the cointegration between the wheat prices and return index, a new co-integration test with multiple structural breaks, developed by Daiki Maki (2012), is used. The long-run cointegration coefficients are estimated using the Dynamic Ordinary Least Squares methodology. The empirical results show that there is cointegration between the spot and futures wheat prices, which tends to change at breakpoints. In other words, there is an equilibrium relation between spot prices and futures prices; however, it becomes unstable during the crisis in 2008. The results may help in understanding the dynamics of wheat prices, especially during high-volatility periods.

scholarly journals The effect of financial development on income inequality in Turkey: An estimate of the Greenwood-Jovanovic hypothesis

2019 ◽  
Vol 19 (4) ◽  
pp. 319-344
Author(s):  
Emrah Koçak ◽  
Nısfet Uzay
Keyword(s):  
Income Inequality ◽  
Least Squares ◽  
Linear Relationship ◽  
Financial Development ◽  
Structural Breaks ◽  
Ordinary Least Squares ◽  
Financial Indicators ◽  
Long Run ◽  
Integration Test ◽  
Robustness Check

Abstract This paper is the first to examine the linear and nonlinear effect of financial development on income inequality in Turkey over the period of 1980-2013. Financial development is represented by disaggregated and aggregated indicators. In this way, the effects of various financial indicators on income inequality are explained. Maki (2012) structural breaks co-integration test, and Stock and Watson (1993) dynamic ordinary least squares (DOLS) methods are followed for empirical analysis. Finally, the fully modified least squares (FM-OLS) regression analysis method developed by Philips and Hansen (1990) is used for robustness check. The estimation results of the linear relationship indicate that financial development is a mitigating effect on income inequality. These results support the inequality-narrowing hypothesis. The non-linear relationship results show that financial development first increases income inequality but after financial development reaches a certain level, this effect is reversed and financial development reduces income inequality. These results support the Greenwood-Jovanovic hypothesis. All the results strongly suggest that financial development is a mitigating or improving effect on income inequality over the long-run.

The impact of financial development on economic growth

2016 ◽  
Vol 11 (4) ◽  
pp. 569-583 ◽  
Author(s):  
Madhu Sehrawat ◽  
A.K. Giri
Keyword(s):  
Economic Growth ◽  
Financial Development ◽  
Structural Breaks ◽  
Regional Cooperation ◽  
Ordinary Least Squares ◽  
Annual Data ◽  
Content Type ◽  
Long Run ◽  
Integration Test ◽  
The Impact

Purpose The purpose of this paper is to investigate the possible co-integration and the direction of causality between financial development and economic growth in South-Asian Association for Regional Cooperation (SAARC) countries using annual data from 1994 to 2013. Design/methodology/approach The Carrion-i-Silvestre et al. (2005) stationarity test with structural breaks is used to check the stationarity. The Westerlund (2006) panel co-integration test is employed to examine the long-run relationship among the variables. To carry out tests on the co-integrating vectors, fully modified ordinary least squares (FMOLS) and PDOLS techniques are used and panel Granger causality test is used to examine the direction of the causality. Findings The Westerlund (2006) panel co-integration test confirms the existence of the long-run relationship between financial development and economic growth for SAARC countries. The coefficients of FMOLS and DOLS indicate that index of financial development (IFD) and trade openness supports economic growth in SAARC region. In the short-run, there is unidirectional causality running from IFD to economic growth. Research limitations/implications In the view of these findings it is recommended that countries in the region should adopt policies geared toward financial sector development to attain high economic growth. Originality/value To the best of the author’s knowledge, no studies have looked into SAARC countries to study the relationship between financial development and economic growth, this study is the first of its kind.

Cointegration and Structural Breaks in German Employment – An Error-Correction Interpretation / Kointegration und Strukturbrüche in der deutschen Beschäftigung – Eine Fehlerkorrektur-Auslegung

1997 ◽  
Vol 216 (2) ◽  
Author(s):  
Ansgar Belke ◽  
Matthias Göcke
Keyword(s):  
Standard Model ◽  
Unit Root ◽  
Structural Breaks ◽  
Structural Break ◽  
Adjustment Process ◽  
Economic Shocks ◽  
Equilibrium Relation ◽  
Long Run ◽  
The Standard Model ◽  
Ex Ante

SummaryIn order to differentiate between unit root-persistence and structural break-hysteresis we estimate two types of cointegration models for West German employment. The standard model is compared with a model including structural breaks in the long-run relation between employment and its determinants. Our estimation shows that persistence is probably attributed to structural breaks in the long-run relation and not to a degenerating adjustment process. Thus, a unit root in the standard model possibly reveals a misspecification in the form of an ex-ante exclusion of the possibility of structural breaks in the equilibrium relation due to serious economic shocks.

Investigating the interlinkages between infrastructure development, poverty and rural–urban income inequality

2017 ◽  
Vol 34 (4) ◽  
pp. 466-484 ◽  
Author(s):  
Varun Chotia ◽  
N.V.M. Rao
Keyword(s):  
Economic Growth ◽  
Income Inequality ◽  
Poverty Reduction ◽  
Ordinary Least Squares ◽  
Infrastructure Development ◽  
Content Type ◽  
Long Run ◽  
Integration Test ◽  
Urban Income ◽  
The Relationship

Purpose The purpose of this paper is to investigate the relationship between infrastructure development, rural–urban income inequality and poverty for BRICS economies. Design/methodology/approach Pedroni’s panel co-integration test and panel dynamic ordinary least squares (PDOLS) have been used to carry out the analysis. Findings The empirical findings confirm a long-run relationship among infrastructure development, poverty and rural–urban inequality. The PDOLS results suggest that both infrastructure development and economic growth lead to poverty reduction in BRICS. However, rural–urban income inequality aggravates poverty in these nations. The paper advocates for adopting policies aimed at strengthening infrastructure and achieving economic growth to reduce the current levels of poverty prevailing in the BRICS nations. Originality/value Significant limitations exist in the literature in terms of not clearly defining the nature of relationship and interlinkages between infrastructure development, poverty and inequality, with regard to the BRICS nations. The available studies mainly focus on the relationship between infrastructure and growth, with the universal agreement being that these two are positively related. However, it is still not right to assume that economic growth attributable to infrastructure development will, therefore, subsequently lead to a reduction in inequality. This forms the basis for this study, that is, to critically examine the relationship between infrastructure development, inequality and poverty for BRICS nations.

scholarly journals Quest for a Valid Phillips Curve in the Long Run: An Empirical Approach

2017 ◽  
Vol 10 (4) ◽  
pp. 191
Author(s):  
Mohammed Saiful Islam ◽  
Riduanul Mustafa
Keyword(s):  
Phillips Curve ◽  
Consumer Price Index ◽  
Ordinary Least Squares ◽  
Monthly Data ◽  
Long Run ◽  
Integration Test ◽  
The Usa ◽  
Present Rate ◽  
Econometric Approach ◽  
The Relationship

This paper examines the relationship between inflation rate (percentage change in consumer price index) and unemployment rate (number of unemployed persons as a percentage of the labor force) by using modern econometric approach to find a “Phillips Curve”. Using US data of both monthly and yearly frequency, the paper    finds the existence of a long-run trade-off between inflation and unemployment. A linear form of the Phillips curve is estimated for the USA using ordinary least squares estimation (OLS). The co integration test shows the long run relation between the variables. This contradicts the theory that in long run the Phillips curve should be vertical. Some of the findings can be summarized as follows: (a) the Phillips Curve fits the data well; (b) inflation of previous year influences the present rate of inflation and (c) both monthly data and yearly data support the existence of Phillips curve in the long run

scholarly journals The impact of agricultural input costs on food prices in Turkey: A case study

2021 ◽  
Vol 67 (No. 3) ◽  
pp. 101-110
Author(s):  
Sefa Işik ◽  
Fatih Cemil ÖZBUĞDAY
Keyword(s):  
Structural Breaks ◽  
Ordinary Least Squares ◽  
Food Prices ◽  
Least Square ◽  
Price Inflation ◽  
Distributed Lag ◽  
Integration Test ◽  
Agricultural Input ◽  
The Impact ◽  
Input Prices

Food price inflation has been a significant subject of debate in Turkey since food prices soared in 2018. The study examines the linkage between agricultural input prices and food prices in Turkey by using quantitative method approaches with the monthly data spanning from 2015-M01 to 2020-M01. A co-integration analysis is performed using the autoregressive-distributed lag (ARDL) bounds test approach and Maki co-integration test with structural breaks. Additionally, the fully modified ordinary least square (FMOLS), dynamic ordinary least squares (DOLS), and canonical co-integrating regression (CCR) are applied to verify the results of the ARDL approach. The analysis demonstrates a significant, long-running relationship between agricultural input prices and food prices in Turkey. The long-run agricultural input price elasticities are found to be in the range of 1.30–1.36.

Do Globalization and Institutional Reforms Matter for Financial Structure in Selected Asian Countries? A Panel Data Approach

2019 ◽  
Vol 65 (2) ◽  
pp. 87-100
Author(s):  
Madhu Sehrawat ◽  
A. K. Giri
Keyword(s):  
Panel Data ◽  
Financial Development ◽  
Ordinary Least Squares ◽  
Institutional Reforms ◽  
Panel Causality ◽  
Dynamic Relationship ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Integration Test ◽  
Dynamic Ols

Abstract This present study aims to examine the dynamic relationship between globalization, institutional reforms, and financial development in the context of South Asian economies over the period 1985–2015 by employing panel data methods. The Westerlund (2007) panel co-integration test result indicates that there exists a long-run equilibrium relationship between globalization, institutional reforms, and financial development. The findings of panel dynamic ordinary least squares (PDOLS) indicate that the effect of globalization is positive and statistically significant to financial development. Furthermore, the empirical evidence of a dynamic panel error-correction model reveals a unidirectional causal relationship running from globalization and institutional reform to financial development. In terms of policy recom-mendations, the study suggests that it is vital to focus on globalization and institutional reforms to promote effectiveness of the financial system and economic performance in the region. JEL Classifications: F19, G29 globalization, institutional reforms, South Asia, Panel Dynamic OLS (PDOLS), panel causality

Information Spillover in Indian Agricultural Commodities Market

2021 ◽  
pp. 2319510X2199404
Author(s):  
Sanjay Kumar Singh ◽  
Mukesh Kumar Jain ◽  
Shoeba
Keyword(s):  
Agricultural Sector ◽  
Price Discovery ◽  
Discovery Process ◽  
Agricultural Commodities ◽  
Spot Prices ◽  
Agrarian Economy ◽  
Long Run ◽  
Integration Test ◽  
Information Spillover ◽  
Price Discovery Process

Role of agricultural sector in Indian economy is prominent, as being an agrarian economy and having the second highest population in the world. Thus, the efficiency of this sector is the foremost factor for development and growth of the economy. This article attempts to examine the price discovery relationship of future and spot prices of five agricultural commodities, namely cardamom, crude palm oil, cotton, mentha oil and kapas, during the period 2011–2019. Johansen’s co-integration test, vector error correction model (VECM) and Granger causality block exogeneity test were employed for the study. We found that price discovery process is established for agricultural commodities under consideration. Future prices act as a leader in achieving long-run equilibrium for all commodities except cardamom. Causality was significantly reported for all commodities, as bidirectional causality runs between the prices. The study suggests that Forward Market Commission should be empowered more to control and regulate the market, which will ensure the efficient market situations in these commodities’ market. Attempt was made to evaluate price discovery process in agricultural commodities market during post sub-prime crisis period, which was ignored by majority of researchers.

scholarly journals Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions

2015 ◽  
Vol 31 (3) ◽  
pp. 862-875 ◽  
Author(s):  
Osmani Teixeira Guillén ◽  
Alain Hecq ◽  
João Victor Issler ◽  
Diogo Saraiva
Keyword(s):  
Time Series ◽  
Multivariate Time Series ◽  
Present Value ◽  
Present Value Model ◽  
Long Run ◽  
Value Model

An empirical assessment of current accounts sustainability for major South Asian economies

2018 ◽  
Vol 7 (2) ◽  
pp. 172-188 ◽  
Author(s):  
Shruti Shastri ◽  
A.K. Giri ◽  
Geetilaxmi Mohapatra
Keyword(s):  
Sri Lanka ◽  
South Asian ◽  
Current Account ◽  
Structural Breaks ◽  
External Debt ◽  
Ordinary Least Squares ◽  
Content Type ◽  
Distributed Lag ◽  
Long Run ◽  
Asian Economies

Purpose The purpose of this paper is to assess the sustainability of current accounts for five major South Asian economies, namely, India, Pakistan, Bangladesh, Sri Lanka and Nepal, for the period 1985–2016. Design/methodology/approach The study employs the intertemporal solvency model of Hakkio and Rush (1991) and Husted (1992). Autoregressive Distributed Lag bounds test, Gregory and Hansen’s test and Carrion-i-Silvestre and Sanso’s test are used to assess the cointegration between current account inflows and outflows. The coefficients of long-run relationship are obtained using dynamic ordinary least squares. Besides the econometric investigation, the study also examines some other indicators such as the composition of current account, size of external debt, etc., to shed further light on the sustainability of current accounts. Findings The study finds support for the long-run relationship between the current account outflows and inflows for all the countries. The estimates of slope coefficient indicate strong sustainability in case of India, Bangladesh and Nepal, whereas weak sustainability holds for Sri Lanka and Pakistan underscoring the need for policy interventions. In a comparative perspective, the current accounts in India, Nepal and Bangladesh conform more to a sustainable behavior in terms of the size of deficits, external debt stock and compliance to the intertemporal budget constraint. Originality/value The study employs econometric techniques allowing for structural breaks in the assessment of current account sustainability. Besides using the intertemporal model, the study also examines factors such as composition of current accounts, size of external debts, etc., to evaluate sustainability.

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