An Economic Analysis of The Impact of Some Agricultural Economic Variables on Iraq’s Agricultural Gross Domestics Production Using ccr Model (2008-2019)

The research aimed to determine the impact of some agricultural economic variables on agricultural domestic products. This relationship was estimated between agricultural loans and agricultural investment and the rate of agricultural capital accumulation as independent variables, and agricultural GDP as a dependent variable during the period 2008 - 2019 with quarterly data, so that the number of surveyed observations became 48 observations and using the legal canonical Cointegrating Regression (CCR), the results showed that there is a positive and very high impact for each of the variables of agricultural loans and capital accumulation while the agricultural investment variable was not significant despite its positive sign. The research recommended that agricultural lending should in-kind take the largest share of the loan while being the dominant one and that has tightened control over the destination of the agricultural loan and the guarantees of its repayment on time.

Impact of unemployment by sex and marriage rate on fertility decline: Estimates for Turkey and Greece using CCR model

The article analyses the effect of unemployment by sex and marriage rate on fertility changes in Greece and Turkey. The empirical part of the study is based on annual time series data retrieved from the World Bank and National Statistical Offices of Turkey and Greece for 1991–2019. Canonical Cointegrating Regression model is applied for the two countries separately, allowing to quantify the effects of the determinants (crude marriage rate and unemployment rate by sex) on the variation of fertility rate. CCR models show these determinants to be the most significant factors of fertility dynamics in both countries. The results from Engle-Granger and the Phillips-Ouliaris tau (t-statistics) tests confirm the cointegration, i.e., long-term relationship between the variables only for Turkey’s CCR model. However, it was found that in Greece, female unemployment impacts fertility rate negatively and male unemployment has a positive effect on fertility rate; for Turkey modelling shows the opposite relationship. The results of the study suggest that economic uncertainties might be one of the factors contributing to fertility decline in these countries, long-term or in the coming years.

Electricity Power, Democratic Governance and Economic Growth: Evidence from Nigeria

The study examines the impact of democratic governance and corruption on electricity power supply in Nigeria. To achieve this goal, an integrated regression analysis such as Dynamic Ordinary Least Squares (DOLS), Fully Modified OLS, Canonical Cointegrating Regression and OLS were utilized to estimate data spanning the period of 1986 – 2020. The result revealed a negative and significant impact of democracy and corruption on electricity power generation in Nigeria. On the other hand, economic growth has shown a positive and important impact on electricity generation, suggesting that higher GDP growth will increase the supply of electricity in Nigeria. The implication of this findings are as follows: (i) one of the dividends of democracy which is providing public good to the citizens have not been achieved, as such, policymakers need to give more attention to the provision electricity supply; (ii) the institutions in charge of fighting corruption such as the Economic and Financial Crime Commissions (EFCC) need to be further strengthened in Nigeria.

Does Stock Market Respond to Disease Pandemic? A Case of COVID-19 in Nigeria

This paper investigates whether stock markets respond to disease pandemic referencing the case of COVID-19 in Nigeria. The paper employs three cointegrating regression models: Fully Modified Ordinary Least Squares, Dynamic Ordinary Least Squares, and Canonical Cointegrating Regression to analyse the effect of growth in total COVID-19 confirmed cases and related deaths in Nigeria and across the globe from 27 February 2020 to 4 September 2020 on the stock market performance. Key findings support the presence of long-run association between stock market returns and COVID-19 in Nigeria. The stock market is found to respond negatively to both domestic and global growths in total confirmed cases and deaths of COVID-19. Consequently, affected businesses in Nigeria should be assisted and bailed out by the government through practices such as tax filing, subsidies, targeted spending, and credit.

How have COVID-19 Confirmed Cases and Deaths Affected Stock Markets? Evidence from Nigeria

This study assesses the effect of COVID-19 proxied by the number of confirmed cases of the infection and deaths on Nigeria’s stock market over the 23rd March to 11th September 2020 period using the autoregressive distributed lag (ARDL), canonical cointegrating regression (CCR), dynamic ordinary least squares (DOLS) and fully modified ordinary least squares (FMOLS) techniques. The bounds test to cointegration result reveals that a long-run relationship exists between COVID-19 and Nigeria’s stock market (along with oil prices and exchange rate). The results of the various estimations demonstrate that COVID-19 (proxied by the number of confirmed cases of infection) has a negative and significant impact on stock market performance, while the number deaths has a positive and significant impact on the market in the long-run. In addition, oil prices and exchange rate have a significant and positive effect on stock market performance in the long-run. Similar results were found for sub-sectors including consumer goods and healthcare sub-sectors of the stock market. The study recommends policies to curb the spread of the virus

Expectations and Equilibrium in High-Grade Australian Bond Markets

This paper examines the equilibrium implications of the Expectations Hypothesis of term structure to different maturities of high-grade Australian dollar denominated Eurobonds and Australian Government bonds (AGBs) using the Canonical Cointegrating Regression (CCR) technique developed by Econometrica 60 (1992) 119. Our findings provide evidence only for equilibrium relationships between each group of bonds based on credit class, but not between any of the subsets of AGBs and the Eurobonds. Furthermore, the error correction model supports theory with the most liquid, long-term 10-year AGB driving the AGB term structure, with short-term yields adjusting to movements in the long-run yields, though the opposite is true for Eurobonds. The lesson for markets is to simplify the risk management task. Managers are advised to treat portfolios of equivalent credit class separately for hedging and risk management.

Canonical Cointegrating Regression and Testing for Cointegration in the Presence of I(1) and I(2) Variables

This paper introduces tests for the null of cointegration in the presence of I(1) and I(2) variables. These tests use residuals from Park's (1992, Econometrica 60,119–143) canonical cointegrating regression (CCR) and the leads-and-lags regression of Saikkonen (1991, Econometric Theory 9,1–21) and Stock and Watson (1993, Econometrica 61, 783–820). Asymptotic theory for CCR in the presence of I(1) and I(2) variables is also introduced. The distributions of the cointegration tests are nonstandard, and hence their percentiles are tabulated by using simulation. Monte Carlo simulation results to study the finite sample performance of the CCR estimates and the cointegration tests are also reported.