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1 – 8 of 8This paper explores the evidence of a long-run co-movement between aggregate unemployment insurance spending and the labor force participation rate in the USA. The unemployment…
Abstract
Purpose
This paper explores the evidence of a long-run co-movement between aggregate unemployment insurance spending and the labor force participation rate in the USA. The unemployment insurance (UI) program tends to expand during an economic downturn and contract during an expansion. UI may incentivize unemployment and may also facilitate better matching in the labor market. Statistical evidence of the presence of a co-movement will thus shed new light on their dynamics.
Design/methodology/approach
This research applies time-series econometric approach using monthly data from 1959:1 to 2020:3 to test threshold cointegration and estimate a threshold vector error-correction (TVEC) model. The estimates from the TVEC model investigating the nature of short-run dynamics.
Findings
The Enders and Siklos (2001) test find evidence of threshold cointegration between the two indicating the presence of long-run co-movement. The estimates from the TVEC model investigating the nature of short-run dynamics find evidence that the growth in aggregate UI spending and the growth in labor force participation rate adjust simultaneously to maintain the long-run co-movement above the threshold in the short run. The author also observes the same short-run dynamics for the growth in aggregate UI spending and the growth in the labor force participation rate for females.
Research limitations/implications
This model is bi-variate by construction and does not address causality.
Practical implications
The author argues that the UI program positively impacts the female labor market outcomes, for example, better matching. This finding may explain the upward trend in the labor force participation rate for females in the USA.
Social implications
The research findings may justify the transfer programs for minority and immigrants.
Originality/value
This is first research that analyzes the UI programs impact on the labor force participation using a macroeconometric approach. To the best of the author's knowledge, this is the first study in this genre.
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Pham Dinh Long, Bui Quang Hien and Pham Thi Bich Ngoc
The paper aims to shed light on the effects of inflation on gold price and exchange rate in Vietnam by using time-varying cointegration.
Abstract
Purpose
The paper aims to shed light on the effects of inflation on gold price and exchange rate in Vietnam by using time-varying cointegration.
Design/methodology/approach
Using cointegration techniques with fixed coefficient and time-varying coefficient, the study exams the impacts of inflation in models and compares the results through coefficient estimates.
Findings
A significant inflation impacts are found with the time-varying cointegration but not with the fixed coefficient cointegration models. Moreover, monetary policy affects exchange rate not only directly via its instruments as money supply and interest rate but indirectly via inflation. Also, interest rate is one of the determinants of gold price.
Originality/value
To the best of our knowledge, this paper is the first to use time-varying cointegration to analyze the impact of inflation on the gold price and exchange rate in Vietnam. Gold price and exchange rate fluctuations are always the essential and striking issues, which have been emphasized by economists and policymakers. In macroeconometric researches, cointegration models are often used to analyze the long-term relations between variables. Attentionally, applied models show a limitation when estimating coefficients are fixed. This characteristic might not really match with the data properties and the variation of the economy. Currently, time-varying cointegration models are emerging method to solve the above issue.
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The purpose of this paper is to analyze the ex ante projected future trajectories of real tourism exports and relative tourism export prices of the EU-15, conditional on expert…
Abstract
Purpose
The purpose of this paper is to analyze the ex ante projected future trajectories of real tourism exports and relative tourism export prices of the EU-15, conditional on expert real gross domestic product growth forecasts for the global economy provided by the Organisation for Economic Co-operation and Development for the years 2013-2017.
Design/methodology/approach
To this end, the global vector autoregression (GVAR) framework is applied to a comprehensive panel data set ranging from 1994Q1 to 2013Q3 for a cross-section of 45 countries. This approach allows for interdependencies between countries that are assumed to be equally affected by common global developments.
Findings
In line with economic theory, growing global tourist income combined with decreasing relative destination price ensures, in general, increasing tourism demand for the politically and macroeconomically distressed EU-15. However, the conditional forecast increases in tourism demand are under-proportional for some EU-15 member countries.
Practical implications
Rather than simply relying on increases in tourist income, the low price competitiveness of the EU-15 member countries should also be addressed by tourism planners and developers in order to counter the rising competition for global market shares and ensure future tourism export earnings.
Originality/value
One major contribution of this research is that it applies the novel GVAR framework to a research question in tourism demand analysis and forecasting. Furthermore, the analysis of the ex ante conditionally projected future trajectories of real tourism exports and relative tourism export prices of the EU-15 is a novel aspect in the tourism literature since conditional forecasting has rarely been performed in this discipline to date, in particular, in combination with ex ante forecasting.
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Clement Olalekan Olaniyi and Nicholas M. Odhiambo
This study examines the roles of cross-sectional dependence, asymmetric structure and country-to-country policy variations in the inflation-poverty reduction causal nexus in…
Abstract
Purpose
This study examines the roles of cross-sectional dependence, asymmetric structure and country-to-country policy variations in the inflation-poverty reduction causal nexus in selected sub-Saharan African (SSA) countries from 1981 to 2019.
Design/methodology/approach
To account for cross-sectional dependence, heterogeneity and policy variations across countries in the inflation-poverty reduction causal nexus, this study uses robust Hatemi-J data decomposition procedures and a battery of second-generation techniques. These techniques include cross-sectional dependency tests, panel unit root tests, slope homogeneity tests and the Dumitrescu-Hurlin panel Granger non-causality approach.
Findings
Unlike existing studies, the panel and country-specific findings exhibit several dimensions of asymmetric causality in the inflation-poverty nexus. Positive inflationary shocks Granger-causes poverty reduction through investment and employment opportunities that benefit the impoverished in SSA. These findings align with country-specific analyses of Botswana, Cameroon, Gabon, Mauritania, South Africa and Togo. Also, a decline in poverty causes inflation to increase in the Congo Republic, Madagascar, Nigeria, Senegal and Togo. All panel and country-specific analyses reveal at least one dimension of asymmetric causality or another.
Practical implications
All stakeholders and policymakers must pay adequate attention to issues of asymmetric structures, nonlinearities and country-to-country policy variations to address country-specific issues and the socioeconomic problems in the probable causal nexus between the high incidence of extreme poverty and double-digit inflation rates in most SSA countries.
Originality/value
Studies on the inflation-poverty nexus are not uncommon in economic literature. Most existing studies focus on inflation’s effect on poverty. Existing studies that examine the inflation-poverty causal relationship covertly assume no asymmetric structure and nonlinearity. Also, the issues of cross-sectional dependence and heterogeneity are unexplored in the causal link in existing studies. All panel studies covertly impose homogeneous policies on countries in the causality. This study relaxes this supposition by allowing policies to vary across countries in the panel framework. Thus, this study makes three-dimensional contributions to increasing understanding of the inflation-poverty nexus.
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Yizhi Wang, Brian Lucey, Samuel Alexandre Vigne and Larisa Yarovaya
(1) A concern often expressed in relation to cryptocurrencies is the environmental impact associated with increasing energy consumption and mining pollution. Controversy remains…
Abstract
Purpose
(1) A concern often expressed in relation to cryptocurrencies is the environmental impact associated with increasing energy consumption and mining pollution. Controversy remains regarding how environmental attention and public concerns adversely affect cryptocurrency prices. Therefore, the paper aims to introduce the index of cryptocurrency environmental attention (ICEA), which aims to capture the relative extent of media discussions surrounding the environmental impact of cryptocurrencies. (2) The impacts of cryptocurrency environmental attention on long-term macro-financial markets and economic development remain part of undeveloped research fields. Based on these factors, the paper will further examine the effects of the ICEA on financial markets or economic developments.
Design/methodology/approach
(1) The paper introduces a new index to capture cryptocurrency environmental attention in terms of the cryptocurrency response to major related events through gathering a large amount of news stories around cryptocurrency environmental concerns – i.e. >778.2 million news items from the LexisNexis News & Business database, which can be considered as Big Data – and analysing that rich dataset using variety of quantitative techniques. (2) The vector error correction model (VECM) and structural VECM (SVECM) [impulse response function (IRF), forecast error variance decomposition (FEVD) and historical decomposition (HD)] are useful for characterising the dynamic relationships between ICEA and aggregate economic activities.
Findings
(1) The paper has developed a new measure of attention to sustainability concerns of cryptocurrency markets' growth, ICEA. (2) ICEA has a significantly positive relationship with the UCRY indices, volatility index (VIX), Brent crude oil (BCO) and Bitcoin. (3) ICEA has a significantly negative relationship with the global economic policy uncertainty (GlobalEPU) and global temperature uncertainty (GTU). Moreover, ICEA has a significantly positive relationship with the industrial production (IP) in the short term, whilst having a significantly negative relationship in the long term. (4) The HD of the ICEA displays higher linkages between environmental attention, Bitcoin and UCRY indices around key events that significantly change the prices of digital assets.
Research limitations/implications
The ICEA is significant in the analysis of whether cryptocurrency markets are sustainable regarding energy consumption requirements and negative contributions to climate change. Understanding of the broader impacts of cryptocurrency environmental concerns on cryptocurrency market volatility, uncertainty and environmental sustainability should be considered and developed. Moreover, the paper aims to point out future research and policy legislation directions. Notably, the paper poses the question of how cryptocurrency can be made more sustainable and environmentally friendly and how governments' cryptocurrency policies can address the cryptocurrency markets.
Practical implications
(1) The paper develops a cryptocurrency environmental attention index based on news coverage that captures the extent to which environmental sustainability concerns are discussed in conjunction with cryptocurrencies. (2) The paper empirically investigates the impacts of cryptocurrency environmental attention on other financial or economic variables [cryptocurrency uncertainty (UCRY) indices, Bitcoin, VIX, GlobalEPU, BCO, GTU index and the Organisation for Economic Co-operation and Development IP index]. (3) The paper provides insights into making the most effective use of online databases in the development of new indices for financial research.
Social implications
Whilst blockchain technology has a number of useful implications and has great potential to transform several industries, issues of high-energy consumption and CO2 pollution regarding cryptocurrency have become some of the main areas of criticism, raising questions about the sustainability of cryptocurrencies. These results are essential for both policy-makers and for academics, since the results highlight an urgent need for research addressing the key issues, such as the growth of carbon produced in the creation of this new digital currency. The results also are important for investors concerned with the ethical implications and environmental impacts of their investment choices.
Originality/value
(1) The paper provides an efficient new proxy for cryptocurrency and robust empirical evidence for future research concerning the impact of environmental issues on cryptocurrency markets. (2) The study successfully links cryptocurrency environmental attention to the financial markets, economic developments and other volatility and uncertainty measures, which has certain novel implications for the cryptocurrency literature. (3) The empirical findings of the paper offer useful and up-to-date insights for investors, guiding policy-makers, regulators and media, enabling the ICEA to evolve into a barometer in the cryptocurrency era and play a role in, for example, environmental policy development and investment portfolio optimisation.
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The purpose of the paper is to test and analyze the equilibrium economic relationships of the East Africa Community (EAC).
Abstract
Purpose
The purpose of the paper is to test and analyze the equilibrium economic relationships of the East Africa Community (EAC).
Design/methodology/approach
To attain the study's purpose the authors applied the Johansen cointegration test, including long-run structural modeling (LRSM), vector-error-correlation-model (VECM) and variance-decomposition (VDC).
Findings
At I(1), both Philips‐Peron (PP) and Kwiatkowski–Phillips–Schmidt–Shin (KPSS) tests show that the East Africa member states' economies are cointegrated. The result was further substantiated by the tests based on Johansen cointegration and VECM procedures, showing significant long-run and short-run economic relations. The result further reveals that despite some uncommon issues among member states such as Tanzania and Kenya, however, their economic relationships remain significant though it is negative. Moreover, the finding revealed positive and significant short-run economic relationships between Kenya, Burundi and Rwanda.
Originality/value
The paper applies the cointegration techniques in the context of EAC. The result is likely to be adding value to the policymaker and also to the existing literature on the subject. This may trigger policy implications and open new research direction within the region and out.
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