scholarly journals Economies in Transition

2020 ◽  
Vol 12 (1) ◽  
Author(s):  
Davit Belkania
Keyword(s):  
Capital Accumulation ◽  
Spillover Effects ◽  
Estimation Methods ◽  
Oriented Growth ◽  
Causality Test ◽  
Economies In Transition ◽  
Extensive And Intensive Margins ◽  
Productivity Increase ◽  
Extensive Growth ◽  
Intensive Growth

The primary goal of this paper is the empirical assessment of the effects proceeded from exports on the economic growth of transition economies from both extensive and intensive margins. Preferred estimation methods are Granger causality test and panel regression/cointegration estimators. The study found that fostering export-oriented growth policy triggers technological progress/productivity increase through spillover effects attached to international trade (intensive growth). On the other hand, increasing trade volume/exports stimulate capital accumulation and simultaneously enhances the demand for imported capital and intermediate goods that further complements capital accumulation (extensive growth).Keywords: intensive growth, extensive growth, export, total factor productivity, capital accumulation    

Equilibrium dynamics in a model of growth and spatial agglomeration

2021 ◽  
pp. 1-26
Author(s):  
Shota Fujishima ◽  
Daisuke Oyama
Keyword(s):  
Economic Activity ◽  
Capital Accumulation ◽  
Time Preference ◽  
Stable Equilibrium ◽  
Spillover Effects ◽  
Spatial Equilibrium ◽  
Stable Equilibrium State ◽  
Macroeconomic Variables ◽  
Equilibrium Dynamics ◽  
Endogenous Growth Model

Abstract We present a multiregional endogenous growth model in which forward-looking agents choose their regions to live in, in addition to consumption and capital accumulation paths. The spatial distribution of economic activity is determined by the interplay between production spillover effects and urban congestion effects. We characterize the global stability of the spatial equilibrium states in terms of economic primitives such as agents’ time preference and intra- and interregional spillovers. We also study how macroeconomic variables at the stable equilibrium state behave according to the structure of the spillover network.

MODELING DYNAMIC CORRELATIONS AND SPILLOVER EFFECTS OF COUNTRY RISK: EVIDENCE FROM RUSSIA AND KAZAKHSTAN

2009 ◽  
Vol 08 (04) ◽  
pp. 803-818 ◽  
Author(s):  
JIANPING LI ◽  
XIAOLEI SUN ◽  
WAN HE ◽  
LING TANG ◽  
WEIXUAN XU
Keyword(s):  
Soviet Union ◽  
Former Soviet Union ◽  
Structural Breaks ◽  
Spillover Effects ◽  
Country Risk ◽  
Causality Test ◽  
Volatility Spillovers ◽  
Dynamic Correlations ◽  
Volatility Models ◽  
Icss Algorithm

Oil economies in the Former Soviet Union (FSU) region, with geographical proximity to each other, are usually impacted by some common risk factors, which make their country risks closely correlated. This paper focuses on correlation between country risks and investigates the spillovers of country risk returns (CRR). Taking Russia and Kazakhstan for example, firstly, this paper identifies the structural breaks in CRR series, using iterated cumulative sums of squares (ICSS) algorithm. Secondly, on the assumption that there may be similarity in structural breaks of CRR series of the two countries, Vector Autoregression (VAR) process and Granger causality test are used to identify whether there are mean spillovers of CRR series. Finally, the volatility spillovers are captured by using multivariate conditional volatility models in the framework of the BEKK models. Empirical results show that (1) there are significant unidirectional mean spillovers from Russia to Kazakhstan; (2) there are asymmetric bidirectional volatility spillovers between Russia and Kazakhstan; and volatility spillover effects from Russia to Kazakhstan are stronger.

scholarly journals Effect Of Oil Prices On Food prices: Time Series Analysis Using Vector Autoregressive (VAR) Model

2020 ◽  
Author(s):  
Sassi Mohamed Taher
Keyword(s):  
Impulse Response ◽  
Impulse Response Function ◽  
Commodity Prices ◽  
Oil Prices ◽  
Food Prices ◽  
Estimation Methods ◽  
Short Term ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Rice Prices

This study examines the effect of oil prices on food prices using worldwide monthly data covering crude oil prices wheat, soybeans and rice prices from 08.2013 until 06.2017 from World-Bank-Database 2017. It specifically considers the identification of the short-term causal relationship between oil and the selected commodity prices using the Vector-Autoregressive-Model as main model and its post-estimation methods, Granger-Causality-Test and Impulse response function. The results show that there is no long run relationship between the variables but a significant causal short-term relationship between oil prices and wheat prices is confirmed. The impulse response results after a simulated shock on oil prices showed mainly negative response of soybeans prices a and persistent increase on wheat prices, for the rice prices response there was a slight increase on rice prices after the shock of oil prices. This research targets the detection of one influencing factor to food prices in order to support food security. To achieve this objective and recommend solutions research needed to further investigate the interaction of food prices with other variables.

scholarly journals Spatial Association Effect of Haze Pollution in Cheng-Yu Urban Agglomeration

2020 ◽  
Vol 10 (1) ◽  
Author(s):  
Degang Zhang ◽  
Yuanquan Lu ◽  
Yuan Tian
Keyword(s):  
Structural Characteristics ◽  
Spatial Association ◽  
Spillover Effects ◽  
Urban Agglomeration ◽  
Association Network ◽  
Causality Test ◽  
Spatial Spillover ◽  
Haze Pollution ◽  
Spatial Spillover Effects ◽  
Four Blocks

Abstract This study takes a network perspective to examine the spatial spillover effects of haze pollution in Cheng-Yu urban agglomeration which is the fourth largest urban agglomeration and a comprehensive demonstration zone of new urbanization in China. Firstly, we use Granger causality test to construct haze pollution spatial association network, and then we apply social network analysis to reveal the structural characteristics of this network. The results show that: haze pollution in Cheng-Yu urban agglomeration is a complex multithreaded network. Chongqing, Chengdu, Guang’an, Luzhou, Deyang and Nanchong are the centers of the network, sending and transmitting the most relationships. The haze pollution spatial association network can be divided into net beneficiary block, net overflow block, bilateral overflow block and broker block. These four blocks present obvious geographical distribution characteristics and are partly related to the difference of urbanization. The above results contribute by illustrating the current spatial spillover situation of haze pollution and provide a theoretical foundation for the government that it should simultaneously consider cities’ statues and their spatial spillover effects in the network rather than simple geographic proximity when formulating future haze pollution control policies in urban agglomeration.

scholarly journals FDI AS A CONTRIBUTING FACTOR TO ECONOMIC GROWTH IN BURKINA FASO: HOW TRUE IS THIS?

2019 ◽  
Vol 19 (01) ◽  
pp. 1950004 ◽  
Author(s):  
ZEZETHU ZANDILE ◽  
ANDREW PHIRI
Keyword(s):  
Economic Growth ◽  
Burkina Faso ◽  
Spillover Effects ◽  
Cointegration Analysis ◽  
Oriented Growth ◽  
Positive Interaction ◽  
Short Run ◽  
Technological Developments ◽  
Capital Development ◽  
Economic Ties

Much emphasis has been placed on attracting Foreign Direct Investment (FDI) into Burkina Faso as a catalyst for improved economic growth within the economy. Against the lack of empirical evidence for evaluating this claim, we use data collected from 1970 to 2017 to investigate the FDI-growth nexus for the country using the ARDL bounds cointegration analysis. Our empirical model is derived from endogenous growth theoretical framework in which FDI may have direct or spillover effects on economic growth via improved human capital development as well as technological developments reflected in urbanization and improved export growth. Our findings fail to establish any direct or indirect effects of FDI on economic growth except for FDI’s positive interaction with export-oriented growth, albeit being constrained to the short-run. Therefore, in summing up our recommendations, political reforms and the building of stronger economic ties with the international community in order to raise investor confidence, which has been historically problematic, should be at the top of the agenda for policymakers in Burkina Faso.

scholarly journals Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-22
Author(s):  
Xu Zhang ◽  
Zhijing Ding
Keyword(s):  
Systemic Risk ◽  
Extreme Values ◽  
Wavelet Packet ◽  
Granger Causality Test ◽  
Spillover Effects ◽  
Wavelet Packet Decomposition ◽  
Medium Term ◽  
Causality Test ◽  
Long Run ◽  
Recession Period

Since the advent of Bitcoin, the cryptocurrency market has become an important financial market. However, due to the existence of the cryptocurrency bubble, investors face more difficulties in risk portfolios. We adopt wavelet packet decomposition, nonlinear Granger causality test, risk spillover network, and STVAR model; retain the mature research of multiscale systemic risk based on time and frequency; and thus extend systemic risk to different regimes. We found that when frequency is combined with regimes, the risk spillover center will undergo subversive changes in the long run. We also proposed that BTC will be more robust at extreme values (like longest and shortest periods), while cryptocurrencies with smaller market capitalization will be stronger in the medium term. At the same time, the recession period will also spur on it.

Effects of Economic Globalization, Foreign Capital Influx on Export in ECOWAS

2018 ◽  
Vol 18 (4) ◽  
pp. 20180055 ◽  
Author(s):  
Ousseini Amadou Maiga ◽  
Xiaojuan Hu ◽  
Terence Metuge Mekongcho ◽  
Salifou Kigbadjah Coulibaly
Keyword(s):  
Causal Relationship ◽  
Economic Globalization ◽  
West African ◽  
Estimation Methods ◽  
Panel Var ◽  
Test Results ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
The Subject

The relationships between globalization, foreign direct investment (FDI), and exports (trade) have been the subject of in-depth studies leading to mixed and inconclusive results. This study investigates how globalization and FDI influence and affect export, as well as the responsiveness of exports to globalization shocks in the West African ECOWAS region over the period 1980–2014. To investigate these phenomena, the study uses Panel VAR, cointegration methods and long-run estimation methods to estimate the short-run, cointegration and long-run relationships, as well as the responsiveness of export shocks due to economic globalization and FDI. The Panel VAR and Granger causality test results showed that there is a positive and significant effect as well as a causal relationship between economic globalization, non-export GDP, and short-term exports. Further, the study also shows that there is no significant effect and no causal relationship between FDI and exports in the short-run, but, FDI has a positive and significant relationship with export in the long-run in the ECOWAS region. The cointegration and long-run analysis showed the existence of cointegration and a long-run relationship between exports and the regressors included in this study.

Governance and Capital Accumulation under Globalization

2015 ◽  
pp. 135-154
Author(s):  
Kamal Ray ◽  
Ramesh Chandra Das ◽  
Utpal Das
Keyword(s):  
Developing Countries ◽  
Capital Accumulation ◽  
Global Financial Crisis ◽  
Good Governance ◽  
Developed Countries ◽  
Capital Formation ◽  
Causality Test ◽  
Governance Indicators ◽  
The Usa ◽  
The Developed Countries

Sustaining good governance is necessarily required for all countries in the world after the phase of globalization, especially when almost the entire world is struck by the global financial crisis originated from the USA. The present study tries to concentrate upon establishing an interlinkage among capital accumulation of a sample of countries with principal components of governance for the time period 1996-2012. Correlation analysis along with the Granger Causality test is applied to identify directions of causalities among capital formation and all the governance indicators. The study observes an inverse relation between governance indicators and capital accumulation for majority of the developing countries and in some cases positive relations for developed countries. Besides, it is observed that there are causal relations from capital formation to governance in most of the developed countries whereas in most of the developing countries there are causalities from governance to capital formation.

Foreign Direct Investment and Total Factor Productivity: Any Nexus?

2020 ◽  
Vol 14 (2) ◽  
pp. 164-190
Author(s):  
Mohammed Abdullah ◽  
Murshed Chowdhury
Keyword(s):  
Foreign Direct Investment ◽  
Total Factor Productivity ◽  
Direct Investment ◽  
Growth Models ◽  
Generalized Method Of Moments ◽  
Spillover Effects ◽  
Jel Classification ◽  
Estimation Methods ◽  
Factor Productivity ◽  
The Impact

This study examines the impact of foreign direct investment (FDI) on the total factor productivity (TFP) of host countries. Extensions of the new growth theory provide a framework in which FDI increases the growth rate of a host country through technology transfer, diffusion and spillover effects. We construct four new series of TFP using the framework of neoclassical growth models. We also address the issue of endogeneity using the generalized method of moments. Our estimations using a balanced panel of 77 low- and middle-income countries suggest that FDI could not promote TFP in the countries studied. Our sensitivity analysis, in terms of alternative estimation methods, data, models and time period, reinforces the findings. We observe that the lack of absorptive capacity is likely to be an important reason for not having a direct relationship between FDI and TFP. JEL Classification: F21, F23, O33, F43, C33

scholarly journals Network dependence in multi-indexed data on international trade flows

2020 ◽  
Vol 1 (1) ◽  
Author(s):  
Manfred M. Fischer ◽  
James P. LeSage
Keyword(s):  
Monte Carlo ◽  
Fixed Effects ◽  
Spillover Effects ◽  
Trade Flows ◽  
Monte Carlo Integration ◽  
Estimation Methods ◽  
Cross Sectional ◽  
Network Interaction ◽  
Cross Sectional Dependence ◽  
Network Dependence

AbstractFaced with the problem that conventional multidimensional fixed effects models only focus on unobserved heterogeneity, but ignore any potential cross-sectional dependence due to network interactions, we introduce a model of trade flows between countries over time that allows for network dependence in flows, based on sociocultural connectivity structures. We show that conventional multidimensional fixed effects model specifications exhibit cross-sectional dependence between countries that should be modeled to avoid simultaneity bias. Given that the source of network interaction is unknown, we propose a panel gravity model that examines multiple network interaction structures, using Bayesian model probabilities to determine those most consistent with the sample data. This is accomplished with the use of computationally efficient Markov Chain Monte Carlo estimation methods that produce a Monte Carlo integration estimate of the log-marginal likelihood that can be used for model comparison. Application of the model to a panel of trade flows points to network spillover effects, suggesting the presence of network dependence and biased estimates from conventional trade flow specifications. The most important sources of network dependence were found to be membership in trade organizations, historical colonial ties, common currency, and spatial proximity of countries.

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