scholarly journals The validity of the Fisher effect for an inflation targeting country

2021 ◽  
Vol 72 (5) ◽  
pp. 697-717
Author(s):  
Sinem Pınar Gürel
Keyword(s):  
Interest Rates ◽  
Inflation Targeting ◽  
Fisher Effect ◽  
Government Bonds ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Turkish Economy ◽  
Inflation Rates ◽  
Short Run

The aim of this paper is to investigate the relationship between interest and inflation rates. In this regard, the validity of the Fisher Effect under an inflation targeting regime country is examined by considering the possibility of non-linearities. To this aim, the Fisher Effect is analysed by using various types of interest rates to identify the short-, mid- and long-term dynamics. Autoregressive distributed lag (ARDL) and non-linear autoregressive distributed lag (NARDL) models were estimated for Turkish economy between 2006-2019 periods. The empirical findings of ARDL models reveal the validity of Fisher Effect both for short and long run. The results of NARDL models indicate a strong Fisher Effect in the long run, except for 5-year government bonds. For short-run, the Fisher Effect holds only when inflation rises and there is no significant result when inflation decreases.

scholarly journals The impact of minimum wage on unemployment, prices, and growth: A multivariate analysis for Turkey

2019 ◽  
Vol 64 (221) ◽  
pp. 65-83
Author(s):  
Biçerli Kemal ◽  
Merve Kocaman
Keyword(s):  
Error Correction ◽  
Minimum Wage ◽  
Causality Test ◽  
Producer Price ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Turkish Economy ◽  
Short Run ◽  
The Impact

The aim of this study is to research the impact of minimum wage on unemployment, prices, and growth for the Turkish economy. The data used is monthly and covers the period from January 2005 to March 2017. The producer price index represents prices and the industrial production index represents growth. The Autoregressive Distributed Lag (ARDL) model is used to see the effect of the minimum wage on these variables. An error-correction based Granger causality test is then conducted to see short-run and long-run causalities. The bounds test yields evidence of a long-run relationship between variables. The obtained ARDL results also show that while the minimum wage has a statistically significant effect on unemployment and prices, it does not have a statistically significant effect on production. While there is short-run causality from minimum wage to prices only, the obtained significant error correction terms indicate long-run causality for all of the variables. Consequently, the minimum wage plays a significant role in increasing prices and the number of unemployed people in Turkey.

scholarly journals The Role of Gold Prices and Interest Rate in Stock Index: Insights from Vietnam by Using the Autoregressive Distributed Lag Approach

2020 ◽  
Vol 12 (1) ◽  
pp. 178
Author(s):  
Le Thi Minh Huong ◽  
Phan Minh Trung
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Index ◽  
Stock Market Index ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Market Index ◽  
Long Run ◽  
Short Run

This study aimed to determine the impact of domestic gold prices, interest rates in the stock market index (VNI) in Vietnam for the period of January 2009 to December 2018. This study employed the Autoregressive Distributed Lag (ARDL) to check the association of Independent variable gold prices and the interest rate on the dependent variable stock market index. The results show a close correlation together in the long-run. The Vietnam stock index is adversely affected by fluctuations in the credit market in the short-run. We observed that domestic gold prices and interest rates have one-way causal relations to the stock price index. Similarly, interest rates were causal for gold prices and still not yet had any particular direction. The adjustment in the short-run moves the long-run equilibrium, although the change is quite slow.

scholarly journals Mobile Money Use: The Impact of Macroeconomic Policy and Regulation

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 51
Author(s):  
Lorna Katusiime
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Financial Innovation ◽  
Macroeconomic Policy ◽  
Mobile Money ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Long Run ◽  
Short Run ◽  
The Impact

This paper examines the effects of macroeconomic policy and regulatory environment on mobile money usage. Specifically, we develop an autoregressive distributed lag model to investigate the effect of key macroeconomic variables and mobile money tax on mobile money usage in Uganda. Using monthly data spanning the period March 2009 to September 2020, we find that in the short run, mobile money usage is positively affected by inflation while financial innovation, exchange rate, interest rates and mobile money tax negatively affect mobile money usage in Uganda. In the long run, mobile money usage is positively affected by economic activity, inflation and the COVID-19 pandemic crisis while mobile money customer balances, interest rate, exchange rate, financial innovation and mobile money tax negatively affect mobile money usage.

Impact of Environmental Tax on Comparative Advantage of Food and Food Products: A Study of G20 Countries in Light of Environmentally Sensitive Goods

2021 ◽  
pp. 001946622110352
Author(s):  
Alisha Mahajan ◽  
Kakali Majumdar
Keyword(s):  
Comparative Advantage ◽  
Food Products ◽  
Environmental Taxes ◽  
Environmental Tax ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Environmentally Sensitive ◽  
The Relationship

Many countries are under constant fear that environmental policies might negatively influence the international competitiveness of polluting industries. In this study, we aim to evaluate the relationship and impact of the environmental tax on comparative advantage of trade in food and food products industry, considered to be one of the highly environmentally sensitive industries. This study also investigates, whether this relationship differs among countries covered in G20, with the help of correlation analysis. We select panel autoregressive distributed lag approach for this study as it can analyse long-run as well as short-run association even when the variables are stationary at different orders of integration. Using panel data from G20 countries over the period of 21 years that is from 1994 to 2015, it is concluded that when we allow environmental taxes to interact with the revealed comparative advantage (RCA) of G20 nations, the overall impact of the environmental tax on the RCA is negative in the long period. It is therefore suggested that countries should follow Porter hypothesis to stimulate innovations resulting from strict environmental regulations that affect the environment in least possible manner. JEL Codes: C01, C23, C33, F18, O57, Q5

scholarly journals The Determinants of Food Prices in Pakistan

2012 ◽  
Vol 17 (1) ◽  
pp. 101-128 ◽  
Author(s):  
Henna Ahsan ◽  
Zainab Iftikhar ◽  
M. Ali Kemal
Keyword(s):  
Active Role ◽  
Food Prices ◽  
Significant Variable ◽  
Demand And Supply ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Lag Model

Controlling prices is one of the biggest tasks that macroeconomic policymakers face. The objective of this study is to analyze the demand- and supply-side factors that affect food prices in Pakistan. We analyze their long-run relationship using an autoregressive distributed lag model for the period 1970–2010. Our results indicate that that the most significant variable affecting food prices in both the long and short run is money supply. We also find that subsidies can help reduce food prices in the long run but that their impact is very small. Increases in world food prices pressurize the domestic market in the absence of imports, which cause domestic food prices to rise. If, however, we import food crops at higher international prices, this can generate imported inflation. The error correction is statistically significant and shows that market forces play an active role in restoring the long-run equilibrium.

scholarly journals Does the Export-Led Growth Hypothesis Hold for Services Exports in Emerging Economies?

2021 ◽  
Vol 14 (27) ◽  
pp. 63-75
Author(s):  
Okpeku Lilian ONOSE ◽  
◽  
Osman Nuri ARAS ◽  
Keyword(s):  
Economic Growth ◽  
Emerging Economies ◽  
Emerging Countries ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Per Capita ◽  
Positive Effect ◽  
Growth Hypothesis

The export-led growth hypothesis states a positive relationship between the growth of exports and long-run economic growth. This study examines the validity of the export-led growth hypothesis of services exports in 5 emerging economies, including Brazil, India, Nigeria, China, and South Africa (BINCS), for the period of 1980-2019. The study employs the panel mean group autoregressive distributed lag (ARDL) procedure to identify a causal relationship between services exports and gross domestic product (GDP) per capita. The findings show that the export-led growth hypothesis in services only has a positive effect on economic growth in the short run while other variables, including foreign direct investment (FDI), gross capital formation, and labour, increase economic growth in the long run. Hence, the emerging countries should focus more on internal investment to boost growth in the long and short run.

scholarly journals FDI location and exchange rates. is there really a relationship between the two?

2015 ◽  
Vol 13 (1) ◽  
pp. 642-651
Author(s):  
Kunofiwa Tsaurai
Keyword(s):  
South Africa ◽  
Exchange Rates ◽  
Coming Out ◽  
Causal Relation ◽  
Exact Nature ◽  
Bounds Testing ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run

The exchange rate led foreign direct investment (FDI), FDI led exchange rates and feedback effect hypotheses summarise the literature around the nature of the relationship between FDI and exchange rates. So many authors on this subject over a long period have been found to generally side with of the above-mentioned hypothesis or another without a consensus. Despite this lack of consensus with regard to the exact nature of the causal relation between these two variables, what is coming out clearly from the literature is that there indeed exist a relationship between FDI and exchange rates. The lack of consensus has prompted this current study that used the ARDL (Autoregressive distributed lag)-bounds testing approach. The study revealed the existence of causality from (1) the rand value to FDI in the long run and (2) FDI to the rand value only in the short run in South Africa. The author recommends that policies which strengthen the value of the rand should be put in place in order to attract FDI in the long run. The flow of FDI into South Africa will in turn not only stabilises the value of the rand.

scholarly journals The Causal Connection between CO2 Emissions and Agricultural Productivity in Pakistan: Empirical Evidence from an Autoregressive Distributed Lag Bounds Testing Approach

2019 ◽  
Vol 9 (8) ◽  
pp. 1692 ◽  
Author(s):  
Abdul Rehman ◽  
Ilhan Ozturk ◽  
Deyuan Zhang
Keyword(s):  
Carbon Dioxide ◽  
Carbon Dioxide Emissions ◽  
Bounds Testing ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Food Grains ◽  
Long Run ◽  
Total Food ◽  
Short Run ◽  
Seed Distribution

The rapid agricultural development and mechanization of agronomic diligence has led to a significant growth in energy consumption and CO2 emission. Agriculture has a dominant contribution to boosting the economy of any country. In this paper, we demonstrate carbon dioxide emissions’ association with cropped area, energy use, fertilizer offtake, gross domestic product per capita, improved seed distribution, total food grains and water availability in Pakistan for the period of 1987-2017. We employed Augmented Dickey-Fuller and Phillips-Perron unit root tests to examine the variables’ stationarity. An autoregressive distributed lag (ARDL) bounds testing technique to cointegration was applied to demonstrate the causality linkage among study variables from the evidence of long-run and short-run analyses. The long-run evidence reveals that cropped area, energy usage, fertilizer offtake, gross domestic product per capita and water availability have a positive and significant association with carbon dioxide emissions, while the analysis results of improved seed distribution and total food grains have a negative association with carbon dioxide emissions in Pakistan. Overall, the long-run effects are stronger than the short-run dynamics, in terms of the impact of explanatory variables on carbon dioxide emission, thus making the findings heterogeneous. Possible initiatives should be taken by the government of Pakistan to improve the agriculture sector and also introduce new policies to reduce the emissions of carbon dioxide.

SHORT-RUN AND LONG-RUN IMPACT OF INFLATION, UNEMPLOYMENT, AND ECONOMIC GROWTH TOWARDS POVERTY IN INDONESIA: ARDL APPROACH

2019 ◽  
Vol 2 (1) ◽  
pp. 15
Author(s):  
Ahmadi Murjani
Keyword(s):  
Economic Growth ◽  
Poverty Alleviation ◽  
Macroeconomic Variables ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Ardl Approach ◽  
Short Run ◽  
The Government ◽  
The Impact

 Poverty alleviation has become a vigorous program in the world in recent decades. In line with the efforts applied by the government in various countries to reduce poverty, some evaluations have been practised. The impacts of macroeconomic variables such as inflation, unemployment, and economic growth have been commonly employed to be assessed for their impact on the poverty. Previous studies in Indonesia yielded mix results regarding the impact of such macroeconomic variables on the poverty. Different methods and time reference issue were the suspected causes. This paper aims to overcome such problem by utilising the Autoregressive Distributed Lag (ARDL) equipped with the latest time of observations. This paper finds in the long-run, inflation, unemployment, and economic growth significantly influence the poverty. In the short-run, only inflation and economic growth are noted affecting poverty significantly. 

scholarly journals On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables

2009 ◽  
Vol 41 (2) ◽  
pp. 521-528 ◽  
Author(s):  
Jungho Baek ◽  
Won W. Koo
Keyword(s):  
Interest Rates ◽  
Commodity Prices ◽  
Commodity Price ◽  
Farm Income ◽  
Agricultural Commodity ◽  
Macroeconomic Variables ◽  
Distributed Lag ◽  
Dynamic Relationship ◽  
Long Run ◽  
Short Run

This study examines the short- and long-run effects of changes in macroeconomic variables—agricultural commodity prices, interest rates and exchange rates—on the U.S. farm income. For this purpose, we adopt an autoregressive distributed lag (ARDL) approach to cointegration with quarterly data for 1989–2008. Results show that the exchange rate plays a crucial role in determining the long-ran behavior of U.S. farm income, but has little effect in the short-run. We also find that the commodity price and interest rate have been significant determinants of U.S. farm income in both the short- and long-run over the past two decades.

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