cointegration test

Mediterranean countries have noticeable affect on the world wine exportation. Among these countries France, Greece and Turkey are selected for this study because of different wine market, trade systems and wine policies they have. In this study, cointegration analysis was conducted for real wine export prices and real exchange rates for France, Greece and Turkey. The long term relationships between real exchange rates and real wine export values were explored by using cointegration analysis. Annual data from 1970 to 2003 was used for this analysis and the data sets were found to be integrated of the same order. It was also found that they move together in the long run by Johansen Cointegration Test. Then, Error Correction Model (ECM) was applied to search any short term relations and impacts of exchange rate variations on wine exports. French and Greek monetary policies affect their wine export volume by the years. Therefore, any depreciation of local currency in dollar terms will l...

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).

This study investigates the relationship between money and inflation using coin-tegration tests. For a broad sample of countries, the paper finds that most time series data underlying a typical monetarist model are nonstationary, indicating that it is necessary to appropriately ...

This paper analyzes empirically whether the exchange rates and crude oil prices have explanatory power over Indian Stock market prices or not. The data used for this study are daily stock price indexes of BSE Sensex, Crude oil price and exchange rates for the period 2nd January 1991 – 12th ,December 2007. Engel granger and cointegration tests, VECM and variance

This paper examines the relationship between unemployment and immigration in Canada. The bi-directional causality test finds no evidence of a significant effect of Canadian immigration on unem-ployment. Cointegration tests indicate that there is no observed increase in ...

This paper analyzes empirically whether the exchange rates and crude oil prices have explanatory power over Indian Stock market prices or not. The data used for this study are daily stock price indexes of BSE Sensex, Crude oil price and exchange rates for the period 2 nd January 1991 – 12th ,December 2007. Engel-Granger and cointegration tests, VECM and variance Decomposition tests were used in the study to explain the long run relations among variables questioned. Obtained results illustrate that stock price indexes are cointegrated with crude oil prices and exchange rates by providing direct long run equilibrium relation. Our results also indicate that the stock market prices are influenced by oil and exchange rate at lag -50 where as stock market prices are influenced by exchange rate only at lag-25. The results also indicates that the average real returns in the era of rupee depreciation are lesser than that of appreciation period.

This paper examines the relationship between unemployment and immigration in Canada. The bi-directional causality test finds no evidence of a significant effect of Canadian immigration on unem-ployment. Cointegration tests indicate that there is no observed increase in ...

This study is undertaken to determine the relative impacts of the uncertainty of macroeconomic variables on investment and make policy recommendations that may help dampen their fluctuations. In the study, generalized autoregressive conditional heteroscedasticity (GARCH) model was applied in the estimation of uncertainty of the macroeconomic variables. In the analysis of the data, econometric results were obtained from cointegration test

This paper provides evidence on the consistency of the determination of the Chinese real effective exchange rate (REER) over time. Especially, we validate coin- tegration between the REER and a set of fundamentals using recent developments in model selection. Error correction model (ECM) path dependence in model se- lection is addressed by using the General-To-Specific (GETS) approach enabling us to obtain empirically constant and encompassing ECM. As inference in finite sam- ples is commonly of concern, statistics' distributional properties for cointegration tests are estimated by Monte Carlo simulations. The final specification of the model is compatible with the natural real exchange rate of Stein (1994). We study the implications of our findings in terms of foreign exchange policy.

The paper investigates the impact of foreign exchange intervention in the Nigerian foreign exchange market using an Autoregressive Distributed Lag (ARDL) modeling approach. Quarterly time series data spanning 1986:1 to 2003:4 are used and a number of statistical tools are employed to verify this hypothesis. The study examines stochastic characteristics of each time series by testing their stationarity using Phillip Perron (PP) test. This is followed by performing cointegration test using Johansen technique. The existence of co-integration motivates us to estimate the error correction model for broad money, M2. The overall finding from all the techniques employed is that foreign exchange intervention in Nigeria is sterilized because the cumulative aid, which constitute part of foreign exchange inflows, and net foreign assets variables, which are proxies for intervention, are not significant. Thus, paper concludes by recommending, among others, that the use of stock of external reserv...

Foreign capital inflows have been considered as focal to the process of economic development of any economy, especially the developing countries. As such, they resort to it as the primary means to achieving rapid economic growth. Despite the foreign inflows, the growth experience of the developing countries, Nigeria not excluded, have not been encouraging and they languish in external debt problem and in poverty. Hence, the study attempts to examine the nature of causality between foreign capital inflows components and real GDP(economic growth) and also, the impact of foreign capital inflows on economic growth in Nigeria. The reason for specific country case study is that pervious studies are cross-sectional in nature and each of the country has unique features which could hamper the result of the analysis. Thus, there is need to examine Nigeria’s situation. The dynamic interaction among aid, remittance, FDI and external debt and growth of the Nigerian economy was examined using the...

The study attempts to examine the nature of causality between foreign capital inflows components and real GDP (economic growth) and also, the impact of foreign capital inflows on economic growth in Nigeria. The dynamic interaction among aid, remittance, FDI and external debt and growth of the Nigerian economy was examined using the concept of cointegration, variance decomposition and impulse response analysis and block exogeneity tests.The results of the cointegration test revealed that causal relationship exists between foreign capital inflows and economic growth in Nigeria. The variance decomposition result supports that of cointegration analysis of causality which revealed that, causality runs from foreign aid, remittance (RMC), external debt (TED) and foreign direct investment (FDI) to real GDP (growth). Responses of the real GDP to one standard deviation innovations of the components of foreign capital inflows do appear to be very sensitive.The shocks appear to be very pronounc...

This paper reveals the determinants of FDI flows into Indonesia and Singapore. The empirical evidence based on the small sample cointegration test shows that, in case of Singapore, market size appears to influence FDI inflows positively and significantly, while production factor costs are revealed not to influence those. For Indonesia, neither market size nor wage is revealed to be significant,

This study empirically investigates the role of trade policy along with physical capital, human capital and labour force on economic growth in an isolated economy (ie North Cyprus). We use a sample of quarterly and seasonally adjusted data covering the period 1978Q1-2002Q4 ...

This study aims to verify the financial repression theory’s assumptions for the Arabic Maghrebean countries during a time period ranging from 1973 to 2003. First, the interest rates in the Arab Maghrebean countries were regulated. Moreover, the low and administered interest rate discourages savings, retards the efficient allocation resources, increases the segmentation of financial markets, constrains investment and in term lowers the economic growth rate. This paper is to provide empirical evidence concerning neoliberal hypothesis for Tunisia, Algeria and Morocco. The money demand and investment function are estimated in static longrun formulations (cointegration regression) as well as in the dynamic formulation (VECM).

We test the Expectations Hypothesis (EH) plus Rational Expecta-tions (RE) in the Brazilian term-structure of interest rates, using matu-rities ranging from 1 month to 12 months, and daily data from 1995 to 2000. We rely on two methodologies based on single-equation regressions. Our results indicate a rejection of the EH plus RE, specially at the longer maturity. This may have important implications for the rational expec-tations macro-modeling currently being used to evaluate the conduct of monetary policy in Brazil. We also show the risk premium in the yield curve are positively related to the covered interest rate differential and to the volatility of interest rates. Key Words: term structure, expectations hypothesis, risk premium.

This paper sought to find the long-run relationships between international tourist arrivals in Thailand and economic variables such as GDP, transportation cost and exchange rates during period of 1986 to 2007. Also this paper used five standard panel unit root tests such as LLC (2002) panel unit root test, Breitung (2000) panel unit root test, IPS (2003) panel unit root test, Maddala and Wu (1999) and Choi (2001) panel unit root test and Handri (1999) panel unit root test. Moreover, the panel cointegration test based on Pedroni residual cointegration tests, Kao residual cointegration tests and Johansen fisher panel cointegration test were used to test in panel among the variables. The OLS estimator, DOLS estimator and FMOLS estimator were used to find the long-run relationship of the international tourism demand model for Thailand. The long-run results indicated that growth in income (GDP) of Thai’s Asia major tourist source markets (Malaysia, Japan, Korea, China, Singapore and Taiw...

In this paper we investigate the long run relationship between financial depth and economic growth, trying to utilize the data in the most efficient manner via panel unit root tests and panel cointegration analysis. In addition, we use threshold cointegration tests, and dynamic panel data estimation for a panel-based vector error correction model. The long run relationship is estimated using fully modified OLS. For 10 developing countries, the empirical results provide clear support for the hypothesis that there is a single equilibrium ...

In this article we analyse inflation expectations in Mexico. After a review of the theoretical and empirical literature, we apply unit root, normality and cointegration tests to the data provided by Banco de México (Banxico) in the Survey on the Expectations of the Private Sector Economics Specialists. Our results reject the null hypothesis of normality for inflation expectations over the period 2004:01–2011:12. The exchange rate has become one of the most relevant variables in the transmission mechanism of monetary policy in a small open economy. In this regard, we show the existence of a long-run relationship between nominal exchange rate and interest rate where inflation expectations matter for long-term dynamics.

Abstract: The study critically analyzed the dynamic and simultaneous inter-relationship between inflation and its determinants in Nigeria between 1970 and 2007. The time series variables properties were examined using the Augmented Dickey Fuller (ADF) unit root test and the result ...

Purpose-The goal of this paper is to examine the cointegration relationship between BIST-100 index and BRICS countries' (Brazil, Russia, India, China, and South Africa) stock market indices using monthly data over the period 2003:01-2019:08. To that end, this paper performs a cointegration test that considers both sharp and gradual breaks. Methodology-Long term relationship between BIST-100 index and BRICS countries stock indexes for January 2003-August 2019 period is examined by Dickey and Fuller (1981) and Phillips and Perron (1988) unit root test and Tsong et al. (2016) cointegration test with structural breaks. Findings-The empirical findings indicate that BIST-100 index is cointegrated with the stock market indices in Brazil, Russia, and China, while it is not cointegrated with the stock market indices in India and South Africa. Conclusion-The findings reveal that BIST 100 is not cointegrated with the stock market indices in India and South Africa. These findings imply that investors in BIST can also invest in India's and South Africa's stock markets. In this way, investors will be able to reduce their risks by investing in stock exchange indices which has not long-term relationship (cointegration).

... Most widely used cointegration procedures in the applied econometric literature, are theEngle–Granger two-step cointegration technique (Engle and Granger, 1987) and the Johansen's maximum likelihood ... VASUDEVA NR MURTHY*, VICTOR UKPOLO‡ and JOHN M. MBAKU ...

Bu çalışma Türkiye için reel döviz kuru ve büyüme arasındaki ilişkiyi üç aylık 1989:Q1-2005:Q2 verileri kullanarak araştırmaktadır. Çalışmada iki grup değişken kullanılmıştır. Çekirdek model olarak adlandırılan model RDK, ÜFE ve GSYİH değişkenlerinde oluşturulurken, genişletilmiş model dışalım ve dışsatım önceki değişkenlere eklenerek oluşturulmuştur. Serilerin durağanlıkları DF, PP, KPSS, Ng-Perron testleri kullanılarak incelenmiş ve birinci dereceden bütünleşen oldukları sonucuna varılmıştır. Görgül uygulamaya RDK ve GSYİH değişkenleri arasındaki ilişkiyi araştıran iki değişkenli analiz ile başlandı. RDK ve GSYİH serileri, değişkenlerinin farklı dönüşümleri ve bu serilerin mevsimsel düzeltilmiş hallerinin farklı dönüşümleriyle bu analizde tüm dönem ve alt dönem için kullanıldı. Elde edilen sonuçlar 1989:Q1-2001:Q3 alt döneminin istatistiksel anlamlılık açısından tüm dönemden farklılaştığını gösterdi. Johansen Eşbütünleşme Testi uygulanarak yapılan uzun dönemli ilişki araştırmasında iki grupta da tek eşbütünleşen vektör olduğu bulundu. Uzun dönemli ilişkinin ve kısa dönem düzeltme dinamiklerinin belirlenmesi için Vektör Hata Düzeltme Modelleri her iki model için tahmin edildi. Bu modeller için Etki-Tepki Fonksiyonları ve Varyans Ayrıştırması Analizleri uygulandı. Birinci etki-tepki fonksiyonunda çekirdek modeldeki pozitif RDK’daki şokla ilk üç dönemde GSYİH’nın artmakta ardından azalmaktadır. Varyans Ayrıştırma Analizi’ne başlanmadan önce serilerin diziliminin sonucu etkilemesinden DOLAYI seriler Blok Dışsallık Testi kullanarak sıralandı Diğer modelde ise ilk dört dönemde artış görülürken daha sonra azaldığı ve mevsimsel bir görünümle devam ettiği görülmektedir. Varyans ayrıştırması Analizi üretimin değişkenliğinin kaynağının kendi şokları olduğunu ve RDK’nın GSYİH’yı açıklama oranının uzun dönemde kaybolmadığı gözlemlendi Reel döviz kuru ve diş ticaret dengesi ilişkisi

With recent studies generating skepticism toward aid-effectiveness for economic growth of some aid-dependent economies, the need to re-examine the effectiveness of foreign aid for economic growth has gained increasing importance. This paper examines the role of foreign aid in per-capita economic growth in the Philippines, a country that has historically been one of the largest recipients of foreign aid. A VECM is estimated for the period 1970-2010. Results indicate a significantly negative relationship between foreign aid and per-capita economic growth. A 1% rise in the share of aid in GDP results in a fall in per-capita real income by 0.51%.

egranger conducts tests for cointegration proposed by Engle and Granger (1987), reporting test statistics plus critical values calculated by MacKinnon (1990, 2010). egranger will also estimate an ECM (Error Correction Mechanism) model using the two-step procedure proposed by Engle and Granger (1987).