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Article
Publication date: 9 April 2021

Kurtulus Bozkurt, Hatice Armutçuoğlu Tekin and Zeliha Can Ergün

This study aims to measure the relationship between demand and exchange rate shocks in the tourism industry.

Abstract

Purpose

This study aims to measure the relationship between demand and exchange rate shocks in the tourism industry.

Design/methodology/approach

A panel data set is constructed covering the period between 1995 and 2017, and the data set includes the top 26 countries that host 10 million tourists and above in the world as of 2017. The standard errors of the series are used as an indicator of shocks. First, the cross-sectional dependency, stationarity and the homogeneity of the series are examined; second, a panel cointegration analysis is implemented; third, long-term panel cointegration coefficients are analyzed with Dynamic Common Correlated Effects (DCCE) approach; and, finally, Dumitrescu and Hurlin’s (2012) Granger non-causality test is used to detect the causality.

Findings

The preliminary analyses show that the variables are cross-sectional dependent and heterogeneous and are stationary in their first difference; hence, the effects of the shocks are temporary. On the other hand, as a result of the panel cointegration analysis, it is found that both series are cointegrated over the long-term. However, the long-term coefficients estimated with the DCCE approach are found not to be statistically significant. Finally, as a result of the Dumitrescu and Hurlin’s (2012) Granger non-causality test, it is concluded that there is a causality running from exchange rate shocks to demand shocks.

Originality/value

To the best of the authors’ knowledge, the cointegration between the tourism demand shocks and exchange rates shocks has not been investigated before, and therefore, this study is considered to be a pioneering study that will contribute to the literature.

Details

Applied Economic Analysis, vol. 29 no. 86
Type: Research Article
ISSN:

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Book part
Publication date: 30 May 2018

Albert A. Okunade, Xiaohui You and Kayhan Koleyni

The search for more effective policies, choice of optimal implementation strategies for achieving defined policy targets (e.g., cost-containment, improved access, and…

Abstract

The search for more effective policies, choice of optimal implementation strategies for achieving defined policy targets (e.g., cost-containment, improved access, and quality healthcare outcomes), and selection among the metrics relevant for assessing health system policy change performance simultaneously pose continuing healthcare sector challenges for many countries of the world. Meanwhile, research on the core drivers of healthcare costs across the health systems of the many countries continues to gain increased momentum as these countries learn among themselves. Consequently, cross-country comparison studies largely focus their interests on the relationship among health expenditures (HCE), GDP, aging demographics, and technology. Using more recent 1980–2014 annual data panel on 34 OECD countries and the panel ARDL (Autoregressive Distributed Lag) framework, this study investigates the long- and short-run relationships among aggregate healthcare expenditure, income (GDP per capita or per capita GDP_HCE), age dependency ratio, and “international co-operation patents” (for capturing the technology effects). Results from the panel ARDL approach and Granger causality tests suggest a long-run relationship among healthcare expenditure and the three major determinants. Findings from the Westerlund test with bootstrapping further corroborate the existence of a long-run relationship among healthcare expenditure and the three core determinants. Interestingly, GDP less health expenditure (GDP_HCE) is the only short-run driver of HCE. The income elasticity estimates, falling in the 1.16–1.46 range, suggest that the behavior of aggregate healthcare in the 34 OECD countries tends toward those for luxury goods. Finally, through cross-country technology spillover effects, these OECD countries benefit significantly from international investments through technology cooperations resulting in jointly owned patents.

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Article
Publication date: 1 December 1997

Seow‐Eng Ong and Clark L. Maxam

Provides the first empirical time series analysis of commercial mortgage‐backed securities (CMBS) prices using a proprietary data set of 15 senior tranche securities…

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1070

Abstract

Provides the first empirical time series analysis of commercial mortgage‐backed securities (CMBS) prices using a proprietary data set of 15 senior tranche securities. Postulates and tests the hypothesis that nonstationary CMBS and corporate bond prices are cointegrated since CMBS are priced analogous to corporate bonds. States that given the emerging status of the CMBS market, price data is limited to less than three years. To overcome the low power of unit root and cointegration methodology for short data sets, appeals to the concept of cointegration in heterogeneous panels advanced by Pedroni (1995). Claims the presence of cointegration between CMBS and corporate bond prices confirms that the stationary first difference in CMBS and corporate bond prices must be modelled in an error correction framework (ECM). Further states the sensitivity of CMBS price changes to changes in the default probability, proxied by the market value of loans to property value, is tested in a simple first order approximation ECM framework. The results suggest that senior tranche CMBS which comprise no more than 70 per cent are immune to the risk from default loss and supports the predictions in Childs et al. (1996).

Details

Journal of Property Finance, vol. 8 no. 4
Type: Research Article
ISSN: 0958-868X

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Article
Publication date: 14 December 2020

I.A. Abdulqadir

This study aims to explore the relationship between the growth threshold effect on renewable energy consumption (REC) in the major oil-producing countries in sub-Saharan…

Abstract

Purpose

This study aims to explore the relationship between the growth threshold effect on renewable energy consumption (REC) in the major oil-producing countries in sub-Saharan Africa (SSA) over the period 1990–2018.

Design/methodology/approach

This article used a dynamic panel threshold regression model introduced by Hansen (1996, 1999 and 2000) threshold (TR) models. The procedure is achieved using 5,000 bootstrapping replications and the grid search to obtain the asymptotic distribution and p-values. For the long-run relationship among our variables, the author followed the process in Pesaran et al. (1999) pooled mean group (PMG) for heterogeneous panels. Furthermore, for the robustness of our empirical results due to the sensitivity of the results to outliers, the author used the approach by Cook (1979) distance measure. The author applied quantile (QR) regression to explore the distribution of dependent variables following Bassett and Koenker (1982) and Koenker and Bassett (1978) approaches.

Findings

The results from the threshold effect test and threshold regression revealed a significant single threshold effect of growth level on REC. Furthermore, the result from the PMG estimation showed the growth of the variable, energy intensity, consumer prices and CO2 emissions play a significant role in REC in major oil-producing countries in SSA. The growth threshold estimation results indicated one significant threshold value of 1.013% at one period lagged of real growth. The outlier’s sensitivity detention greatly influenced our empirical results.

Originality/value

The article filled the literature gap by applying a combined measure that is robustness to detect outliers in the data, which none of the studies in the literature addresses hitherto. Further, the article extends the quantile regression to growth – REC literature.

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Article
Publication date: 24 September 2021

Jose Perez-Montiel and Carles Manera

The authors estimate the multiplier effect of government public infrastructure investment in Spain. This paper aims to use annual data of the 17 Spanish autonomous…

Abstract

Purpose

The authors estimate the multiplier effect of government public infrastructure investment in Spain. This paper aims to use annual data of the 17 Spanish autonomous communities for the 1980–2016 period.

Design/methodology/approach

The authors use dynamic acyclic graphs and the heterogeneous panel structural vector autoregressive (P-SVAR) method of Pedroni (2013). This method is robust to cross-sectional heterogeneity and dependence, which are present in the data.

Findings

The findings suggest that an increase in the level of government public infrastructure investment generates a positive and persistent effect on the level of output. Five years after the fiscal expansion, the multiplier effects of government public infrastructure investment reach values above one. This confirms that government public infrastructure investment expansions have Keynesian effects. The authors also find that the multiplier effects differ between autonomous communities with above-average and below-average GDP per capita.

Originality/value

To the best of the authors’ knowledge, no research uses dynamic acyclic graphs and heterogeneous P-SVAR techniques to estimate fiscal multipliers of government public investment in Spain by using subnational data.

Details

Applied Economic Analysis, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN:

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Article
Publication date: 31 July 2018

Oyakhilome Wallace Ibhagui

The purpose of this paper is to empirically analyse how different exchange rate regimes affect the links between monetary fundamentals and exchange rates in Sub-Saharan Africa.

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1139

Abstract

Purpose

The purpose of this paper is to empirically analyse how different exchange rate regimes affect the links between monetary fundamentals and exchange rates in Sub-Saharan Africa.

Design/methodology/approach

Using the Pedroni method for panel cointegration, mean group and pooled mean group and the panel vector autoregressive technique, this study empirically investigates whether monetary fundamentals impact exchange rates similarly in both regimes. Thus, the author acquires needed and credible empirical data.

Findings

The result suggests that the impact is dissimilar. In the floating regime, an increase in relative money supply and relative real output depreciates and appreciates the nominal exchange rate in the long run whereas in the non-floating regime, the evidence is mixed. Thus, exchange rates bear a theoretically consistent relationship with monetary fundamentals across SSA countries with floating regimes but fails under non-floating regimes. This provides evidence that regime choice is important if the relationship between monetary fundamentals and exchange rates in SSA are to be theoretically consistent.

Originality/value

This study empirically incorporates the dissimilarities in exchange rate regimes in a panel framework and study the links between exchange rates and monetary fundamentals. The focus on how exchange rate regimes might alter the equilibrium relationships between exchange rates and monetary fundamentals in SSA is a pioneering experiment.

Details

China Finance Review International, vol. 9 no. 2
Type: Research Article
ISSN: 2044-1398

Keywords

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Article
Publication date: 25 July 2019

Duy-Tung Bui

The purpose of this paper is to investigate the problem of fiscal sustainability for a panel of developing Asian economies.

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1292

Abstract

Purpose

The purpose of this paper is to investigate the problem of fiscal sustainability for a panel of developing Asian economies.

Design/methodology/approach

In this study, cross-section dependence and heterogeneity are controlled while estimating the fiscal reaction function, which shows how governments react to the accumulation of public debt. The study employs the common correlated effects mean group estimator in Pesaran (2006) for a panel of 22 developing Asian economies for the period 1999‒2017.

Findings

It is found that the fiscal sustainability issue in the region is not so benign as in previous studies. Overall, fiscal policy is unsustainable, even for the nonlinear fiscal rule. Country-specific long-run coefficients are also examined in the study.

Research limitations/implications

The findings show that many developing economies in the region could not satisfy the intertemporal budget constraint, which raises concerns about debt sustainability in the area, especially for the post-crisis period.

Originality/value

This study investigates whether governments can maintain the sustainability of public finances in the long-run, if the ratios of public debt over GDP and primary deficit over GDP continue their recent problematic trends. Another novelty is controlling for heterogeneous effects among the countries in the region to give a more precise picture of debt sustainability. The empirical evidence also supports that insolvency risk can occur at low levels of public debt.

Details

Journal of Asian Business and Economic Studies, vol. 27 no. 1
Type: Research Article
ISSN: 2515-964X

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Article
Publication date: 14 June 2013

Yazdan Gudarzi Farahani and Masood Dastan

This paper seeks to use empirical evidence to examine the role of Islamic banks' financing on economic performance of selected countries (Malaysia, Indonesia, Bahrain…

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2443

Abstract

Purpose

This paper seeks to use empirical evidence to examine the role of Islamic banks' financing on economic performance of selected countries (Malaysia, Indonesia, Bahrain, UAE, Saudi Arabia, Egypt, Kuwait, Qatar and Yemen).

Design/methodology/approach

Using quarterly data (2000:1‐2010:4), this paper utilizes the panel cointegration approach models framework.

Findings

The results generally signify that, in the long run, Islamic banks' financing is positive and significantly correlated with economic growth and capital accumulation in these countries. The results obtained from the Granger causality test reveal a positive and statistically significant relationship between economic growth and Islamic banks' financing in the short run and in the long run. It also found that the long run relationship is stronger than the short run relationship.

Originality/value

This paper uses empirical evidence to show the effect of Islamic banks' financing on economic growth of selected Islamic countries. To the best of the authors' knowledge, most of the studies in this field have applied the bound testing approach of cointegration, error correction models (ECMs), Auto Regressive Distributed lag (ARDL) and Vector Autoregressive Model (VAR), and the coefficients obtained by these models cannot be deemed as a general finding applicable for other countries. The superiority of this article is in applying the FMOLS model, which has stable and consistent coefficients and is also a dynamic model.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 6 no. 2
Type: Research Article
ISSN: 1753-8394

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Article
Publication date: 11 September 2017

Ibrahim Dolapo Raheem and Joseph O. Ogebe

The purpose of this paper is to investigate the effects of industrialization and urbanization on CO2 emissions in 20 African countries for the period 1980 to 2013.

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1158

Abstract

Purpose

The purpose of this paper is to investigate the effects of industrialization and urbanization on CO2 emissions in 20 African countries for the period 1980 to 2013.

Design/methodology/approach

In order to correct for cross-sectional dependence, this study adopts the use of pooled mean group. Also, the study contributes to the literature by estimating the direct, indirect and total effects of industrialization and urbanization on carbon emission.

Findings

The results show that industrialization and urbanization directly increase environmental degradation. Interestingly, industrialization and urbanization were also found to reduce environmental degradation through their indirect effects on per capita income. In general, the authors conclude that the indirect effect of industrialization will overcrowd the direct effect, and this will lead to a decline in the overall effect of industrialization on carbon emission. Also, the positive direct effect of urbanization outweighs the negative indirect effect, thus the overall effect of urbanization will endanger carbon emission in the long run.

Originality/value

The existing studies on emission, industrialization and urbanization have typically been biased toward Africa. This present study filled this gap. The choice of African countries is based on the notion that the continent is desirous of expanding her industrialization level. This has coincidentally led to the increase in urbanization growth rate as well as income level of former rural dwellers. The second contribution of this study is the “effects decomposition” into direct, indirect and total effects. This is to reveal some inherent information that might be missing.

Details

Management of Environmental Quality: An International Journal, vol. 28 no. 6
Type: Research Article
ISSN: 1477-7835

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Article
Publication date: 12 February 2020

Meta Ayu Kurniawati

The rapid development of information and communication technology (ICT) over the past decade has enabled heterogeneous economic sectors to be more integrated, leading to a…

Abstract

Purpose

The rapid development of information and communication technology (ICT) over the past decade has enabled heterogeneous economic sectors to be more integrated, leading to a significant effect on nation’s growth across OECD countries. The objective of this study is to estimate the short run and long run inter-linkages among ICT, innovation technology, globalization, and economic growth for the period 1996-2017 in OECD countries.

Design/methodology/approach

This research provides some sophisticated methodologies by using principal component analysis to construct ICT and innovation indices and follow up by employing the panel cointegration test, pooled mean group regression, fully modified ordinary least squares and dynamic ordinary least squares as sophisticated estimation techniques, panel Granger causality and forecast error variance decomposition to examine the robustness of the causal association in the findings.

Findings

The empirical results herein suggest that ICT, innovation and globalization positively contribute to economic growth, while the causality findings reveal strong endogenous relationships among both ICT mobile and internet use, innovation development, globalization and economic growth in both short and long run. The findings further imply that OECD countries have yet to promote economic growth from ICT infrastructure expansion, the enlargement of technology innovation and the spread of globalization.

Practical implications

The particular policy recommendation is to reinforce the investment and establishment of a reliable ICT infrastructure as well as innovation technology to create sustained economic growth in this progressively interconnected world.

Originality/value

This study is valuable from policy and decision-makers’ perspective, as it highlights the significance of ICT infrastructure development, innovation enlargement and globalization to elevate the economic growth in OECD countries.

Details

Journal of Science and Technology Policy Management, vol. 11 no. 2
Type: Research Article
ISSN: 2053-4620

Keywords

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