Unit Root Test

In this study the production functions (Cobb-Douglas, Zener-Rivanker, and the transcendental production function) have been used to assess the profitability of insurance companies, by reformulating these nonlinear functions based on the introduction of a set of variables that contribute to increase the explanatory capacity of the model. Then the best production function commensurate with the nature of the variable representing the profitability of insurance companies was chosen, to use it to assess the efficiency of their profitability versus the use of different factors of production and thus the possibility of using it in forecasting. It was found that the proposed model of the production function "Zener-Rivanker" is the best production functions representing the profitability of the Tawuniya and Bupa Insurance Companies. The proposed model of the Cobb-Douglas production function is suitable for the results of both Enaya and Sanad Cooperative Insurance Companies. The explanatory capacity of the production functions was also increased when the proposed variables were added (net subscribed premiums-net claims incurred).

We analyze the price behavior of the main precious metals-gold, silver, platinum and palladium-before, during and in the aftermath of the 2007-08 financial crisis. Using the mildly explosive/multiple bubble technology developed by Phillips, Shi and Yu (2015, International Economic Review 56(4), 1043-1133), we find significant, short periods of mildly explosive behavior in the spot and futures prices of all four metals. Fewer periods are detected using exchange-rate adjusted prices, and almost none when deflated prices are used. We assess whether these findings are indicative of bubble behavior. Convenience yield is shown to have little efficacy in this regard, while other fundamental proxy variables and position data offer only very limited evidence against prices having been anything other than fundamentals-driven. Possible exceptions are in gold in the run-up to the highpoint of the financial crisis, and in silver and palladium around the launch of specific financial products. Some froth, however, is reported and discussed for each metal.

The current study examined the impact of foreign trade on agricultural output in Nigeria based on data sourced from 1981 to 2018 by employing a number of estimation techniques such as Cobb-Douglas, unit root testing, autoregressive distributed lag among others within the context of two profound theories of exchange rate-the vent-for surplus theory of international trade; factor endowments theory. Our study observed that foreign trade exerts negatively on agricultural output. Our results have some empirical implications.

This paper analyzes and employs two versions of the Functional Central Limit Theorem within the framework of a unit root with a structural break. Initial attention is focused on the probabilistic structure of the time series to be considered. Later, attention is placed on the ...

In developed and emerging economies, capital markets play a major role in tranforming savings into investment. The high profit expectation of the investors in the capital markets of the emerging economies increase the curiosity about predicting future prices. The aim of this study is to test weak-form efficiency of 20 stock markets in G-20 members countries. For this purpose, with the help of random walk model, daily index values of the stock markets of G-20 members countries for the period of 01.01.2001-12.31.2018 are applied by analysis of variance and unit root tests including ADF, PP and KPSS tests. As a result of study according to variance ratio test, it is concluded that NASDAQ (USA), SESN (India), TASI (Saudi Arabia) and SSEN (China) do not show a random walk and are not effective at the weak-form in the degrees of 1%, 5%, and 10%, respectively. Other stock markets in the study are found in weak-form efficient. In addition, according to the unit root test results, 18 stock markets are found in weak-form efficient during the analysis period.
ÖZ Gelişmiş ve gelişmekte olan ekonomilerde sermaye piyasaları tasarrufların yatırıma dönüşmesinde büyük rol oynamaktadır. Yatırımcıların gelişmekte olan ekonomilerin sermaye piyasalarındaki yüksek kar beklentisi, gelecekteki fiyatları öngörebilmesine ilişkin merakı artırmıştır. Bu çalışmanın amacı G-20 ülkelerindeki 20 borsanın zayıf formda etkinliğini test etmektir. Bu amaç doğrultusunda rassal yürüyüş modeli yardımıyla G-20 ülkeleri borsalarının 01.01.2002-31.12.2018 dönemine ait günlük endeks değerlerine varyans analizi ve ADF, PP, KPSS testleri ile kırılmalı birim kök testleri uygulanmıştır. Çalışmanın sonucunda varyans oran testine göre NASDAQ (ABD) ve SESN (Hindistan) %1, TASI (Suudi Arabistan) %5 ve SSEC (Çin) %10 düzeyinde rassal yürüyüş sergilemedikleri ve zayıf formda etkin olmadıkları sonucuna ulaşılmıştır. Çalışma kapsamındaki diğer borsalar zayıf formda etkin bulunmuştur. Ayrıca gerçekleştirilen birim kök testi sonuçlarına göre analiz döneminde 18 borsa zayıf formda etkin bulunmuştur.

xtfisher combines the p-values from N independent unit root tests, as developed by Maddala and Wu (1999). Based on the p-values of individual unit root tests, Fisher's test assumes that all series are non-stationary under the null hypothesis against the alternative that at least one series in the panel is stationary. Unlike the Im-Pesaran-Shin (1997) test (ipshin or xtunitroot ips), Fisher's test does not require a balanced panel. Users of Stata 11+ should see the official xtunitroot fisher command.

The economic liberalisation process has been opened up new dimensions for the Indian economy since 1991. The liberalisation
process has achieved new heights and changes in the structure and functioning of the Indian stock market. Foreign capital is
flowing from developed countries to developing countries, and it has been the foreign institutional investors have played a vital
role in the Indian stock market. FIIs have been allowed to invest in the domestic financial market since 1992. The FIIs has
influenced the several factors such as stock market, money market and foreign exchange markets. The objective of this analysis
is to study the impact of foreign institutional investment on the Indian stock market. The study attempted to analyse the growth
and share of foreign institutional investment in the Indian economy. The study identifies the following variables viz., the
annual growth rate of foreign institutional investment and stock market such as BSE and NSE during the period from 1990-91
to 2017-18. The study obtained data from the Foreign Portfolio Investment Monitor by National Securities Depository Limited
and Handbook of Statistics on Indian Securities Market for various issues. For analyse, the study also uses the annual growth
rate, unit root test, co-integration and Granger causality test.
Key Words: FII, Turnover at BSE and Turnover at BSE
JEL Code: F21, M51 and M52

Özet Özellikle 1980'li yılların sonlarında Türkiye'de döviz kontrolünün kaldırılmasından sonra, döviz kurlarında aşırı dalgalanmalar gözlemlenmiştir. Son dönemlerde yaşanan döviz kurundaki dalgalanmalar sonucu, döviz kurunu etkileyen faktörler tartışılmaya başlamıştır. Bu bağlam bu çalışma döviz kurunun belirlenmesinde parasalcı yaklaşımı ele almıştır. Modelde döviz kurlarını göreli para arzı, göreli gelir düzeyi, göreli faiz oranı ve göreli enflasyon belirlemektedir. Tüm değişkenlerin birim kök içerdiği Genelleştirilmiş Dickey Fuller ve Philips Perron testleri ile tespit edilmiştir. Johansen yöntemi ile değişkenler arasında en az bir eşbütünleşme vektörü olduğu bulunmuştur. Dinamik en küçük kareler yöntemi sonuçlarına göre göreli gelir en fazla etkileyen faktördür. Göreli faiz oranı ve göreli enflasyon oranının etkileri önemsenmeyecek kadar azdır. Reel faiz farkları teorisinin açıklamaları bu çalışmanın bulgularıyla örtüşmektedir. Abstract Especially last part of the 1980s, after backing down from the control in the exchange rate market, over fluctuated exchange rate has been observed. Debates have started which factors affect exchange rate after the fluctuations in foreign exchange market, recently. In this context, the monetary approach to exchange rate determination is employed in this study. In the model, exchange rate is derived by relative income, money supply, interest rate and inflation. It is found that all variables have unit root by applying Augmented Dickey Fuller and Philips Perron tests. There is at least one vector that all variables are cointegrated by employing Johansen cointegration test. As a result of dynamic ordinary least square approach, relative income is the most influential variable. The effects of the relative interest rate and inflation are infinitesimally. The explanations of the theory of the reel interest rate differential are overlap with the findings in this study.

This paper proposes unit root tests for dynamic heterogeneous panels based on the mean of individual unit root statistics. In particular it proposes a standardized t-bar test statistic based on the (augmented) Dickey–Fuller statistics averaged across the groups. Under a general setting this statistic is shown to converge in probability to a standard normal variate sequentially with T (the time series dimension) →∞, followed by N (the cross sectional dimension) →∞. A diagonal convergence result with T and N→∞ while N/T→k,k being a finite non-negative constant, is also conjectured. In the special case where errors in individual Dickey–Fuller (DF) regressions are serially uncorrelated a modified version of the standardized t-bar statistic is shown to be distributed as standard normal as N→∞ for a fixed T, so long as T>5 in the case of DF regressions with intercepts and T>6 in the case of DF regressions with intercepts and linear time trends. An exact fixed N and T test is also developed using the simple average of the DF statistics. Monte Carlo results show that if a large enough lag order is selected for the underlying ADF regressions, then the small sample performances of the t-bar test is reasonably satisfactory and generally better than the test proposed by Levin and Lin (Unpublished manuscript, University of California, San Diego, 1993).

Dalam ekonometrika, data time series stasioner merupakan prasyarat penting untuk menghindari terjadinya spurious regression artinya variabel-variabel yang dimodelkan memberikan nilai hububgan diantaranya yang tinggi, namun pada kenyataannya tidak memiliki makna ekonomi apapun. Pada makalah ini pengujian dilakukan dengan uji unit akar terhadap model random walk dengan menggunakan Dickey-Fuller test. Pengujian ini dilakukan dengan mengambil beberapa nilai parameter dan ukuran sampel yang berbeda-beda untuk dilihat pengaruhnya dalam menentukan menentukan stasioneritas time series dengan power of Dickey-Fuller test. Hasil yang diperoleh adalah semakin besar ukuran sampel maka semakin kuat pula power of Dickey-Fuller test. Artinya proporsi untuk menolak 0 semakin besar. Diperoleh juga hasil bahwa dengan ukuran sampel yang sama, apabila nilai parameter semakin mendekati 1, maka proporsi untuk menolak bahwa time series bersifat stasioner semakin kecil.

Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift date in a first step and apply standard unit root tests to the residuals. The estimation of the nuisance parameters is done in such a way that the unit root tests on the residuals have the same limiting distributions as for the case of a known break date. Simulations are performed to investigate the small sample properties of the tests, and empirical examples are discussed to illustrate the procedure.

Granger ve Newbold 1974 yılında yazdıkları makalelerinde sahte regresyon (spurious regression) konusuna değinmişlerdir. Yazarlar çalışmalarında makroekonomik verilerin durağan olmadığını bu nedenden düzey verilerle uygulanan regresyonun istatistiksel olarak anlamlılığını sınayan testlerin sonuçlarının yanıltıcı olduğunu göstermişlerdir. Adı geçen yazarlar makalelerinde yarattıkları iki durağan olmayan, rassal yürüyüş içeren birbiri ile korelasyonu olmayan y ve x serilerini yaratmışlardır. Bu serilerden y’nin bağımlı x’in bağımsız değişken olduğu modeli kurmuş ve Monte-Carlo çalışması yapmışlardır. Yapılan bu çalışma sonunda x değişkenin katsayısının istatistiksel olarak anlamsız çıkması gerekirken, yapılan denemelerin %75’inde parametrenin sıfıra eşitliğini söyleyen boş hipotez ret edilememiştir.  Regresyon, ADF. t Testi. ADF, DF, Dickey Fuller Hipotezleri.  Unit Root Test and Stationarity































Türkiye ekonometri, Erginbay Uğurlu

Enflasyon, başta gelişmekte olan ülkeler olmak üzere tüm ekonomilerde görülen sorunlardan biridir. Olumsuz etkileri azımsanmayacak derecede olan enflasyonun yüksek seyri faiz oranlarının da yüksek seviyelerde oluşmasına yol açmaktadır. Nominal faiz oranları ile enflasyon arasındaki ilişkiyi açıklayan Fisher etkisinin geçerliliği uzun yıllardan beri tartışma konusudur. Bu çalışma Fisher etkisinin Türkiye'de geçerliliğini test etmektedir. Çalışmada nominal faiz oranları ile enflasyon serilerinin birim kök içerdiği bulunmuştur ve iki farklı eşbütünleşme testi uygulanmıştır. Değişkenler arasında tespit edilen uzun dönemli ilişkiyi veren eşbütünleşme vektörü dinamik en küçük kareler yöntemi ile tahmin edilmiştir. Analiz sonuçlarına göre enflasyonun, faiz oranları üzerinde güçlü ve pozitif etkiye sahip olduğu görülmüştür. Parametre sınırlama testinde Fisher etkisi doğrulanmış; tam Fisher etkisi reddedilmiştir. Abstract: Inflation is the one of the problems in economies all over the world especially in the developing countries. The high level of the inflation, its negative effects is substantial degree, causes the nominal interest rate to be up. The theory is Fisher effect that explains the relation between nominal interest rate and inflation, which has studied for a long time. This study tests the validity of the Fisher effects in Turkey. In this study, it is found that interest rate and inflation are not stationary (has a unit root) and two cointegration tests are employed. The cointegrating vector which gives the long run relation is estimated via dynamic ordinary least square. According to the results of the analysis, it is seen that inflation has positive and huge effects on interest rate. The Fisher effect is confirmed by Wald test; the full Fisher effect is rejected.

An important factor to consider when evaluating wind energy potential is the wind speed persistence. In this study, persistence of the wind speed in Peninsular Malaysia is investigated based on the hourly data available at 10 wind stations from 2007 to 2009. To determine the degree of persistence in the data for each station, stationarity and variability are investigated using unit-root tests and the test for equality of variance respectively. Results from the unit-root tests indicated that the hourly wind speed for each station exhibits stationarity. The test for equality of variance, based on Levene’s test, shows that there exists a significant difference in the variability of wind speed between the different stations. Because the variance of the hourly wind speeds for the Chuping station is the smallest observed, the wind speed observed at this location is the most persistent compared to other locations. However, it is more meaningful to measure the persistence at a particular level of speed, one suitable to generate energy. Accordingly, the wind speed duration curve method is applied to the observed data for each station. Consequently, the wind speed at Mersing is found to be the most persistent, and, consequently, this location has the most potential for energy production compared to other locations.► We introduced a simple way to determined the wind speed persistence based on stationarity properties in time series analysis. ► We evaluated the persistence of wind speed for 10 wind stations in Peninsular Malaysia. ► We also evaluated the persistence at a particular level of speed that is suitable to generate energy.

The breakdown of the Bretton Woods system and the adoption of generalised floating exchange rates ushered in a new era of exchange rate volatility and uncer­tainty. This increased volatility lead economists to search or economic models able to describe observed exchange rate behavior. In the present paper we propose more general STAR transition functions which encompass both threshold nonlinearity and asymmetric effects. Our framework allows for a gradual adjustment from one regime to another, and considers threshold effects by encompassing other existing models, such as TAR models. We apply our methodology to two different exchange rate data-sets, one for developing countries, and official nominal exchange rates, and the second for emerging market economies using black market exchange rates.

Από το καλοκαίρι του 2008 η παγκόσμια οικονομία αντιμετωπίζει μια βαθιά κρίση. Η οικονομική αυτή κρίση, η οποία εκδηλώθηκε αρχικά στην αγορά των ενυπόθηκων στεγαστικών δανείων των Ηνωμένων Πολιτειών Αμερικής (ΗΠΑ) εξελίχθηκε ταχύτατα σε μια μεγάλη απειλή για το παγκόσμιο τραπεζικό σύστημα. Το γεγονός αυτό συνέβη διότι οι επισφάλειες των ενυπόθηκων δανείων υψηλού κινδύνου αποτελέσαν αντικείμενο συναλλαγής μεταξύ των χρηματοπιστωτικών ιδρυμάτων. Η διασύνδεση των χρηματοπιστωτικών αγορών καθώς και η αλληλεξάρτηση των αγορών αγαθών και υπηρεσιών αποτέλεσαν διαύλους μετάδοσης της κρίσης στις χώρες της Ευρώπης. Η ανάπτυξη κοινών στρατηγικών με σκοπό την αύξηση των επενδύσεων, την προώθηση των εξαγωγών και την ενίσχυση της ανταγωνιστικότητας ήταν ο μακροπρόθεσμος στόχος της Ευρωπαϊκής Ένωσης (ΕΕ). Στην εργασία αυτή, εξετάζονται οι σχέσεις ανάμεσα στις μεταβλητές των άμεσων ξένων επενδύσεων, των εξαγωγών αγαθών και υπηρεσιών, της ανεργίας και της οικονομικής ανάπτυξης για όλες τις χώρες μέλη της Ευρωπαϊκής Ένωσης (ΕΕ), χωρισμένες σε δύο ομάδες. Στην Α΄ ομάδα χωρών ανήκουν οι παλιές χώρες μέλη της ΕΕ, εκείνες δηλαδή που εντάχθηκαν στην ένωση πριν το έτος 2004. Αντίστοιχα, στην Β΄ ομάδα των χωρών ανήκουν οι χώρες που προσχώρησαν στην ένωση από το έτος 2004 και μετά (νέες χώρες μέλη). Η περίοδος των δεδομένων που χρησιμοποιήθηκαν για την Α΄ ομάδα των χωρών είναι από το 1970 μέχρι και το 2013 και από το 1995 έως και το 2013 για τη Β΄ ομάδα των χωρών. Για την ανάλυση των δεδομένων εφαρμόζεται η πάνελ ανάλυση, τόσο για την συνολοκλήρωση όσο και για την αιτιότητα, σε δύο υπόδειγμα αυτοπαλινδρομήσεων. Πιο συγκεκριμένα, για την εμπειρική ανάλυση της εργασίας εφαρμόζουμε στην αρχή τους ελέγχους μοναδιαίας ρίζας (πρώτης και δεύτερης γενιάς), για να εξεταστεί αν υπάρχει ή δεν υπάρχει το φαινόμενο της διαστρωματικής εξάρτησης μεταξύ των χωρών. Στη συνέχεια προσδιορίζουμε το βαθμό συνολοκλήρωσης όλων των μεταβλητών, τόσο με τις κλασικές μεθόδους, όσο και με τον έλεγχο του Westerlund (2007) που δίνει πιο αξιόπιστα αποτελέσματα όταν υπάρχει διαστρωματική εξάρτηση μεταξύ των χωρών που εξετάζουμε. Η εκτίμηση της μακροχρόνιας σχέσης των μεταβλητών, πραγματοποιείται τόσο με τη μέθοδο των πλήρως τροποποιημένων ελάχιστων τετραγώνων (FMOLS) όσο και με τη μέθοδο των δυναμικών ελαχίστων τετραγώνων (DOLS). Τέλος, για τη διερεύνηση των βραχυχρόνιων και μακροχρόνιων αιτιακών σχέσεων χρησιμοποιείται το υπόδειγμα διόρθωσης λαθών. Τα αποτελέσματα της έρευνας έδειξαν ότι υπάρχουν μακροχρόνιες σχέσεις (σχέσεις συνολοκλήρωσης) μεταξύ των μεταβλητών και στις δύο ομάδες χωρών που εξετάζονται. Τα αποτελέσματα των εκτιμήσεων των μακροχρόνιων σχέσεων δείχνουν ότι η αύξηση της ανεργίας προκαλεί μεγαλύτερη πτώση στην ανάπτυξη της πρώτης ομάδας χωρών, από ότι στην δεύτερη ομάδα. Επίσης μια ισόποση αύξηση των εξαγωγών επιφέρει μεγαλύτερη αύξηση στην ανάπτυξη της πρώτης ομάδας των χωρών. Επιπλέον, η αύξηση των άμεσων ξένων επενδύσεων επιφέρει μεγαλύτερη ανάπτυξη στην ομάδα των παλιών χωρών μελών της ΕΕ. Τέλος, τα αποτελέσματα της ανάλυσης της αιτιότητας έδειξαν ότι, στην Α΄ ομάδα χωρών, υπάρχουν ισχυρές αμφίδρομες αιτιακές σχέσεις ανάμεσα στις άμεσες ξένες επενδύσεις και τις εξαγωγές αγαθών και υπηρεσιών, καθώς και ανάμεσα στις εξαγωγές αγαθών και υπηρεσιών και την οικονομική ανάπτυξη, σε μακροχρόνιο επίπεδο. Επίσης, τα αποτελέσματα δείχνουν μια ισχυρή μακροχρόνια αιτιακή σχέση ανάμεσα στις άμεσες ξένες επενδύσεις και την οικονομική ανάπτυξη με κατεύθυνση από τις άμεσες ξένες επενδύσεις προς την οικονομική ανάπτυξη. Σε βραχυχρόνια επίπεδο, τα αποτελέσματα υποδεικνύουν ισχυρές μονόδρομες αιτιακές σχέσεις με κατεύθυνση από την οικονομική ανάπτυξη προς την ανεργία, από τις άμεσες ξένες επενδύσεις προς την ανεργία, καθώς και από τις εξαγωγές αγαθών και υπηρεσιών προς την ανεργία. Όσον αφορά την Β΄ ομάδα χωρών, τα αποτελέσματα υποδεικνύουν ότι σε μακροχρόνιο επίπεδο, υπάρχουν μονόδρομες ισχυρές αιτιακές σχέσεις με κατεύθυνση από τις άμεσες ξένες επενδύσεις προς την οικονομική ανάπτυξη, από τις εξαγωγές αγαθών και υπηρεσιών προς την οικονομική ανάπτυξη, καθώς και από την ανεργία προς την οικονομική ανάπτυξη. Σε βραχυχρόνια επίπεδο, τα αποτελέσματα υποστηρίζουν μια ισχυρή μονόδρομη αιτιακή σχέση με κατεύθυνση από την οικονομική ανάπτυξη προς τις εξαγωγές αγαθών και υπηρεσιών, καθώς και μια ισχυρή αμφίδρομη αιτιακή σχέση ανάμεσα στην ανεργία και τις εξαγωγές αγαθών και υπηρεσιών. Η γνώση σχετικά με την κατεύθυνση της αιτιότητας βοηθά τους φορείς χάραξης πολιτικής να αναπτύξουν και να εφαρμόσουν μια σωστή οικονομική πολιτική. Τα αποτελέσματα της έρευνας επιβεβαιώνουν ακόμη την ύπαρξη μακροοικονομικής αλληλεξάρτησης (διασύνδεσης) μεταξύ των χωρών της ΕΕ. Οι οικονομικές πολιτικές μιας χώρας μέλους της ΕΕ μπορούν να ζημιώσουν την οικονομία μιας άλλης χώρας μέλους ή να αποτελέσουν ένα χρήσιμο δυναμικό εργαλείο για ταχύτερη ανάπτυξη.

The paper examines the solvency of Turkey regarding its external debts. Recent economic crises Turkey faced in last decade raised concerns on the issue of external debt sustainability. Using the usual intertemporal budget constraint, a statistically testable measure of solvency is derived and the methodology of Hakkio and Rush (Hakkio, C.S., Rush, M., 1991. Is the budget deficit ‘too large’? Economic Inquiry 29, 429–445.) is followed to evaluate the sustainability of the external debt of Turkey. In addition to the conventional cointegration tests, Zivot–Andrews (Zivot, E., Andrews, D.W.K., 1992. Further evidence on the great crash, the oil price shock, and the unit root hypothesis. Journal of Business and Economic Statistics 10, 251–270.) unit root test and Gregory–Hansen (Gregory, A., Hansen, B., 1996. Residual based tests for cointegration in models with regime shifts. Journal of Econometrics 70, 99–126.) cointegration test are also employed to find out whether a possible structural break that may be due to the recent economic crises in Turkey changes the empirical results. The findings show that with or without considering any structural break, Turkish external debt is weakly sustainable.

This paper aims to identify the main causes of bilateral trade flows in OECD countries. The specific features of the study include the explicit introduction of R&D and FDI as the two important explanatory variables, conduct of unit root tests in the panel data framework and careful consideration of endogeneity. The main findings are that the levels and similarities of market size, domestic R&D stock and inward FDI stock are positively related to bilateral trade, while the distance, measured by both geographical distance and relative factor endowment, between trade partner countries has a negative impact. These findings lend support to new trade, FDI and new growth theories.

The purpose of this study is to reinvestigate the exports-led growth hypothesis in Pakistan after implementing trade reforms ie 1990-2008. The issue how an economy can attain economic growth is widely debated and is one of the crucial economic questions. Exports ...

Equity investment is assumed to be a good hedge against inflation since long time. This paper examines short run causal relationship between inflation and stock return in emerging BRICS markets. The study covers a comprehensive period of 13 years from the year 2000 to 2013 using quarterly data. The regression results reveal a significant positive relationship between changes in inflation and stock returns only in case of Brazil. But, Granger causality results reveal unidirectional causality from stock return to changes in inflation in Russia, India and South Africa and bidirectional causality in China. Hence, there seem to be a cause and effect relationship between stock returns and inflation in emerging markets. The results are of pertinent importance in today‟s context where emerging markets are facing the problems of rising inflation and volatile stock returns. The policy regulators need to understand these dynamics between inflation and stock returns to ensure better regulation of the markets. For investors  particularly large and institutional investors the study findings support trading based on inflation forecasts. efficiency of Indian stock market.

We examined the effect of bank credit on agricultural productivity in Nigeria so as to ascertain the existence of causal relationship between the dual. To achieve this objective, the time frame secondary data used in the study includes: written materials such as books and journals and also the use of time series data such as Agricultural Gross Domestic Product (AGDP), commercial bank credit to agricultural sectors (CBCA), Interest rate charges (INT), Government spending on agriculture (GSA), and Agricultural Credit Guarantee scheme (ACGSF).THE DATA collected were all sourced from the Central Bank of Nigeria (CBN) Statistical Bulletin. The statistical tool of analysis is the Toda and Yamamoto granger non causality techniques. Conversely the variables were exposed to the Unit Root Test to ensure stationarity both with and without structural break, the Johansen Co-Integration Test which showed that a long term relationship does not exist among variables and also the Vector Autoregression Estimates Decompositions Test was also computed to shows the contribution of each endogenous variable to the forecast of other variables before the application of the Toda and Yamamoto non granger causality test to determine if a causal relationship exist among variable of which the result attained was that there is a unidirectional causality running from ACGSF to AGDP thereby buttressing the estimate of the VAR model with respect to the role of ACGSF in explaining changes to LAWAL, Adedoyin Isola, OLAYANJU, Adeniyi T, AYENI, Joseph and OLANIRU, Oluwatosin S