Testing for unit roots has special significance in terms of both economic theory and the interpre... more Testing for unit roots has special significance in terms of both economic theory and the interpretation of estimation results. As there are several methods available, researchers face method selection problem while conducting the unit root test on time series data in the presence of structural break. This paper proposes a sequential search procedure to determine the best test method for
... Author Info. Choon-Seng Lim Vincent Min B. Shrestha ... After 2003, the share of short-term i... more ... Author Info. Choon-Seng Lim Vincent Min B. Shrestha ... After 2003, the share of short-term inflow started to become increasingly dominant in the total inflow in the SEACEN region, resembling the pattern of capital flows before the 1997 crisis. ...
This paper investigates whether the stock price index in the United Arab Emirates Securities Mark... more This paper investigates whether the stock price index in the United Arab Emirates Securities Market meets the criterion of weak-form market efficiency. Beside the conventional unit root tests, the study applies Perron (1997) models to test for a unit root in the presence of one endogenously determined structural break. The test results show that the Emirates Securities Market data contains unit root and follow a random walk, which suggests that the market meets the criterion of weak-form market efficiency.
It is a stylised fact that financial "repression" retards economic growth. Hence, finan... more It is a stylised fact that financial "repression" retards economic growth. Hence, financial liberalisation is advocated to remove the stranglehold on the economy. Financial liberalisation policy argues that deregulation of interest rate would result into a higher real interest rate which would lead to increased savings, increased investment and achieve efficiency in financial resource allocation. Past studies have reported inconclusive results regarding the interest rate effects on savings and investment. This paper examines the financial liberalisation hypothesis by employing autoregressive distributed lag (ARDL) modelling approach on Nepalese data. Results show that the real interest rate affects both savings and investment positively.
The SEACEN economies have liberalised their external accounts and domestic financial markets. The... more The SEACEN economies have liberalised their external accounts and domestic financial markets. The current account is fully convertible in all the countries in the SEACEN region while the capital account is by and large fully convertible in the majority of these countries. Since early 1990s, net capital flow to the SEACEN countries increased steadily until 1996 due to the massive increase in total capital inflows. However, after the financial crisis of 1997, total capital outflows have outweighed total capital inflows resulting in a negative net capital flow. Both domestic factors such as attractive economic growth, attractive interest rates and large current account deficits and external factors such as low world interest rates are responsible for the increased capital inflows in the region. However, determinants of short-term capital inflows vary from that of the total capital inflows. Notably, short-term capital inflows are found to be inversely associated with domestic economic g...
Since the 1997 Asian financial crisis, some SEACEN countries have been unable to achieve pre-cris... more Since the 1997 Asian financial crisis, some SEACEN countries have been unable to achieve pre-crisis levels of investments. Many reasons were cited by the literature and these include a shift in investors¡¯ perceptions, weaker exchange rates which make prices of imported investment goods more expensive, overinvestment in various sectors of the economy, unsettled political and security conditions, weak financial systems and governance systems, implicit state guarantees and the ¡®hollowing out¡¯ effect where excessive outward foreign investment has reduced domestic investment. This paper notes that the region has successfully implemented various policies related to investment such as liberalisation of the investment sectors, the promotion of the competitive sector, direct involvement of the government and privatisation to encourage investment. The study also highlights the importance of research and the infusion of capital and technology in promoting new investment. From a macro perspe...
Testing for unit roots has special significance in terms of both economic theory and the interpre... more Testing for unit roots has special significance in terms of both economic theory and the interpretation of estimation results. as there are several methods available, researchers face method selection problem while conducting the unit root test on time series data in the presence of structural break. this paper proposes a sequential search procedure to determine the best test method for
This study aims at examining the impact of financial liberalization on welfare and presents the e... more This study aims at examining the impact of financial liberalization on welfare and presents the empirical evidence from Nepal using ARDL modeling cointegration test method. The test results indicate that financial liberalization is positively associated with increased ...
International Journal of Applied Econometrics …, 2006
The financial liberalisation process in Nepal started in 1984. Since then, various liberalisation... more The financial liberalisation process in Nepal started in 1984. Since then, various liberalisation measures have been implemented in order to widen and deepen the financial system. Some policy instruments were aimed at increasing the competition and efficiency in the financial ...
Recommended Citation Shrestha, MB and Chowdhury, K., A Sequential Procedure for Testing Unit Root... more Recommended Citation Shrestha, MB and Chowdhury, K., A Sequential Procedure for Testing Unit Roots in the Presence of Structural Break in Time Series Data, Department of Economics, University of Wollongong, 2005. http://ro.uow.edu.au/commwkpapers/112
... We test the McKinnon Shaw hypothesis on the Nepalese economy by employing a recently popular... more ... We test the McKinnon Shaw hypothesis on the Nepalese economy by employing a recently popularized cointegration ana-lysis known as autoregressive distributed lag (ARDL) modelling approach. ... V. ARDL Modelling Approach to Cointegration Analysis ...
Testing for unit roots has special significance in terms of both economic theory and the interpre... more Testing for unit roots has special significance in terms of both economic theory and the interpretation of estimation results. As there are several methods available, researchers face method selection problem while conducting the unit root test on time series data in the presence of structural break. This paper proposes a sequential search procedure to determine the best test method for
... Author Info. Choon-Seng Lim Vincent Min B. Shrestha ... After 2003, the share of short-term i... more ... Author Info. Choon-Seng Lim Vincent Min B. Shrestha ... After 2003, the share of short-term inflow started to become increasingly dominant in the total inflow in the SEACEN region, resembling the pattern of capital flows before the 1997 crisis. ...
This paper investigates whether the stock price index in the United Arab Emirates Securities Mark... more This paper investigates whether the stock price index in the United Arab Emirates Securities Market meets the criterion of weak-form market efficiency. Beside the conventional unit root tests, the study applies Perron (1997) models to test for a unit root in the presence of one endogenously determined structural break. The test results show that the Emirates Securities Market data contains unit root and follow a random walk, which suggests that the market meets the criterion of weak-form market efficiency.
It is a stylised fact that financial "repression" retards economic growth. Hence, finan... more It is a stylised fact that financial "repression" retards economic growth. Hence, financial liberalisation is advocated to remove the stranglehold on the economy. Financial liberalisation policy argues that deregulation of interest rate would result into a higher real interest rate which would lead to increased savings, increased investment and achieve efficiency in financial resource allocation. Past studies have reported inconclusive results regarding the interest rate effects on savings and investment. This paper examines the financial liberalisation hypothesis by employing autoregressive distributed lag (ARDL) modelling approach on Nepalese data. Results show that the real interest rate affects both savings and investment positively.
The SEACEN economies have liberalised their external accounts and domestic financial markets. The... more The SEACEN economies have liberalised their external accounts and domestic financial markets. The current account is fully convertible in all the countries in the SEACEN region while the capital account is by and large fully convertible in the majority of these countries. Since early 1990s, net capital flow to the SEACEN countries increased steadily until 1996 due to the massive increase in total capital inflows. However, after the financial crisis of 1997, total capital outflows have outweighed total capital inflows resulting in a negative net capital flow. Both domestic factors such as attractive economic growth, attractive interest rates and large current account deficits and external factors such as low world interest rates are responsible for the increased capital inflows in the region. However, determinants of short-term capital inflows vary from that of the total capital inflows. Notably, short-term capital inflows are found to be inversely associated with domestic economic g...
Since the 1997 Asian financial crisis, some SEACEN countries have been unable to achieve pre-cris... more Since the 1997 Asian financial crisis, some SEACEN countries have been unable to achieve pre-crisis levels of investments. Many reasons were cited by the literature and these include a shift in investors¡¯ perceptions, weaker exchange rates which make prices of imported investment goods more expensive, overinvestment in various sectors of the economy, unsettled political and security conditions, weak financial systems and governance systems, implicit state guarantees and the ¡®hollowing out¡¯ effect where excessive outward foreign investment has reduced domestic investment. This paper notes that the region has successfully implemented various policies related to investment such as liberalisation of the investment sectors, the promotion of the competitive sector, direct involvement of the government and privatisation to encourage investment. The study also highlights the importance of research and the infusion of capital and technology in promoting new investment. From a macro perspe...
Testing for unit roots has special significance in terms of both economic theory and the interpre... more Testing for unit roots has special significance in terms of both economic theory and the interpretation of estimation results. as there are several methods available, researchers face method selection problem while conducting the unit root test on time series data in the presence of structural break. this paper proposes a sequential search procedure to determine the best test method for
This study aims at examining the impact of financial liberalization on welfare and presents the e... more This study aims at examining the impact of financial liberalization on welfare and presents the empirical evidence from Nepal using ARDL modeling cointegration test method. The test results indicate that financial liberalization is positively associated with increased ...
International Journal of Applied Econometrics …, 2006
The financial liberalisation process in Nepal started in 1984. Since then, various liberalisation... more The financial liberalisation process in Nepal started in 1984. Since then, various liberalisation measures have been implemented in order to widen and deepen the financial system. Some policy instruments were aimed at increasing the competition and efficiency in the financial ...
Recommended Citation Shrestha, MB and Chowdhury, K., A Sequential Procedure for Testing Unit Root... more Recommended Citation Shrestha, MB and Chowdhury, K., A Sequential Procedure for Testing Unit Roots in the Presence of Structural Break in Time Series Data, Department of Economics, University of Wollongong, 2005. http://ro.uow.edu.au/commwkpapers/112
... We test the McKinnon Shaw hypothesis on the Nepalese economy by employing a recently popular... more ... We test the McKinnon Shaw hypothesis on the Nepalese economy by employing a recently popularized cointegration ana-lysis known as autoregressive distributed lag (ARDL) modelling approach. ... V. ARDL Modelling Approach to Cointegration Analysis ...
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