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Article
Publication date: 11 January 2016

Najla Shafighi, Abu Hassan Shaari, Behrooz Gharleghi, Tamat Sarmidi and Khairuddin Omar

The purpose of this paper is to identify whether any financial integration exists among ASEAN+5 members and some East Asian countries, including China, Japan, Korea, Hong…

Abstract

Purpose

The purpose of this paper is to identify whether any financial integration exists among ASEAN+5 members and some East Asian countries, including China, Japan, Korea, Hong Kong, and Taiwan, through interest rate, exchange rate, level of prices, and real output.

Design/methodology/approach

Therefore, the authors intend to identify any long-term relationship among these variables utilizing the data in the most efficient manner via panel cointegration and panel unit root tests. The study likewise uses a panel-based vector error correction (panel-vec) model for comparison and also short-run relationship analysis. The long-run relationship is estimated using dynamic ordinary least square technique and a panel multi-layer perceptron (MLP) neural network.

Findings

For the ten countries under consideration, the empirical result supports the long-run equilibrium relationship among real output, exchange rate, interest rate, and level of prices, and that the cointegration relationship implies unidirectional causality from exchange rate to real output. This result is favorable to a model that contains real output as a dependent variable and exchange rate, interest rate, and level of prices as explanatory variables. Panel-vec results indicate no evidence of short-run causality from exchange rate to real output. Furthermore, the comparison result of long-run equation estimation shows the superiority of neural networks over econometric models.

Originality/value

This paper adds to the literature by examining the financial cointegration using a panel model that contains real exchange rate, interest rate, real output, and inflation rate in ASEAN+5. Additionally this paper applied the MLP neural network to yield a robust estimation of the long-run equation obtained among the variables.

Details

Journal of Economic Studies, vol. 43 no. 1
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 28 January 2014

Olayeni Olaolu Richard and Aviral Kumar Tiwari

The present study aims to analyse the sustainability of the trade deficits in the Association of Southeast Asian Nations (ASEAN)-5 countries using panel framework during…

Abstract

Purpose

The present study aims to analyse the sustainability of the trade deficits in the Association of Southeast Asian Nations (ASEAN)-5 countries using panel framework during the period from 1965 to 2011.

Design/methodology/approach

The paper applied a battery of first- and second-generation panel unit root tests and Pedroni's, Kao and Chiang's, Westerlund, and Di Iorio and Fachin cointegration tests to achieve the objective.

Findings

The paper found the evidence of sustainable trade deficit in ASEAN-5 countries while utilizing panel unit root tests as well as panel cointegration tests.

Research limitations/implications

The findings have important macroeconomic policies implication for ASEAN-5 countries that these policies had been effective in leading exports and imports to long-run steady-state equilibrium relationship among the ASEAN-5 countries.

Originality/value

The main contribution of the paper is to show that the macroeconomic policies of ASEAN-5 countries had been effective in leading exports and imports to long-run steady-state equilibrium relationship. To the authors' best knowledge, in this area, this is the first study in the panel framework for ASEAN countries.

Details

Journal of Chinese Economic and Foreign Trade Studies, vol. 7 no. 1
Type: Research Article
ISSN: 1754-4408

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Article
Publication date: 31 July 2019

Durmuş Çağrı Yıldırım, Seda Yıldırım and Isıl Demirtas

The purpose of this paper is to explore the relationship between energy consumption and economic growth for Brazil, Russia, China, India, South Africa and Turkey (BRICS-T…

Abstract

Purpose

The purpose of this paper is to explore the relationship between energy consumption and economic growth for Brazil, Russia, China, India, South Africa and Turkey (BRICS-T) countries. In this context, this study investigates energy consumption and real output in BRICS-T countries through panel cointegration.

Design/methodology/approach

The data include energy consumption and real output for BRICS-T countries and period of 1990–2014. The variables are transformed into natural logarithm. To analyze these data, this study employed Pedroni cointegration test, the second-generation panel cointegration test, Westerlund and Edgerton (2008) test and FMOLS test.

Findings

Results indicate that there is a bi-directional causality relationship between energy consumption and economic growth for BRICS-T countries. An increase in GDP leads to an increase in energy consumption and an increase in energy consumption leads to an increase in GDP.

Research limitations/implications

This study used data that include the period of 1990–2014 for BRICS-T countries. So, further studies can use different periods of data or different countries.

Originality/value

This study provides important evidence that countries with strong growth performance need to follow bi-directional energy policies to increase both energy investments and ensure energy savings.

Details

World Journal of Science, Technology and Sustainable Development, vol. 16 no. 4
Type: Research Article
ISSN: 2042-5945

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Book part
Publication date: 4 October 2018

Tatre Jantarakolica and Korbkul Jantarakolica

For the past decades, issues concerning the impact of economic integration on financial integration, especially exchange rate integration, has been criticized among…

Abstract

For the past decades, issues concerning the impact of economic integration on financial integration, especially exchange rate integration, has been criticized among several regions such as ASEAN. This chapter intends to: (i) test for the exchange rate integration among the ASEAN-5, including Indonesia, Philippines, Malaysia, Singapore, and Thailand, using panel data techniques; and (ii) determine the impact of economic integration on the level of exchange rate integration among the ASEAN-5 countries. The purchasing power parity (PPP) is tested using panel unit root tests on monthly data. The results confirm the PPP among the ASEAN-5 countries due to lower transaction costs from ASEAN agreements. The chapter applies Multivariate GARCH (M-GARCH) models using daily data to determine the level of exchange rate integration among the ASEAN-3, including Malaysia, Singapore, and Thailand. The results of panel cointegration tests using quarterly data of economic integration and exchange rate integration confirm the impact of international trade openness on exchange rate integration. With free trade agreements leading to lower trade barriers, lower transaction costs, and low transportation costs, the economic integration among ASEAN countries practically leads to a higher degree of exchange rate integration. The findings imply that trade liberalization has the strongest effect on the real exchange rate. As such, regulators of ASEAN countries should pay more attention to the exchange rate policies of each other because of the interdependence of their exchange rates.

Details

Banking and Finance Issues in Emerging Markets
Type: Book
ISBN: 978-1-78756-453-4

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Article
Publication date: 1 September 2006

Chien‐Chiang Lee and Chun‐Ping Chang

The purpose of this paper is to re‐examine the long‐run co‐movement and causal relationship between GDP and social security expenditures.

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Abstract

Purpose

The purpose of this paper is to re‐examine the long‐run co‐movement and causal relationship between GDP and social security expenditures.

Design/methodology/approach

The paper uses panel data unit root tests and panel cointegration tests, as well as estimation techniques appropriate for heterogeneous panels such as fully modified OLS. Data are employed on 12 Asian countries from 1972 to 2000.

Findings

The cointegration test results show strong evidence in favor of the existence of a long‐run equilibrium cointegrating relationship between GDP, capital stock and social security expenditures after allowing for heterogeneous country effects. Regarding the panel‐based error correction model and the Granger causality test, there are long‐run, bi‐directional causal linkages between social security expenditures and economic growth. In addition to the robust test, they display similar results.

Originality/value

The paper shows that in every moment, economic growth must be based in the social welfare policy contiguously, and the economic growth process can allow the social welfare policy to proceed contiguously

Details

Journal of Economic Studies, vol. 33 no. 5
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 29 April 2014

P.S. Nirmala, P.S. Sanju and M. Ramachandran

– The purpose of this paper was to examine the long-run causal relations between share price and dividend in the Indian market.

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Abstract

Purpose

The purpose of this paper was to examine the long-run causal relations between share price and dividend in the Indian market.

Design/methodology/approach

Panel vector error correction model is estimated to examine the long-run causal relations between share price and dividend. Prior to this, panel unit root tests and panel cointegration tests are carried out to test the unit root properties of the data and test for the existence of long-run cointegrating relationship between the variables, respectively.

Findings

The results of empirical investigation reveal that there exists bi-directional long-run causality between share price and dividends.

Research limitations/implications

For the chosen sample, data on share price are available only for limited years. This limits the time dimension of the sample. Hence, in the future, the analysis can be extended to cover longer time series.

Practical implications

The interplay between share prices and dividends needs to be given due consideration by firms while framing their policies. A change in dividend policy would have an effect on the market value of the firm; hence, firms need to frame dividend policy in such a way that it would enhance their market value. Similarly, investors need to take into consideration the influence of share prices and dividends on each other. While making investment decisions, they need to consider the dividend history of shares, as better dividends would lead to better share prices.

Originality/value

To the best of the authors' knowledge, this study is the first attempt in the Indian market to examine the long-run causal relations between share price and dividend. The results of this study would be helpful to the investors in taking wise investment decisions. It would also enable firms in formulating appropriate dividend policies.

Details

Journal of Asia Business Studies, vol. 8 no. 2
Type: Research Article
ISSN: 1558-7894

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Book part
Publication date: 21 November 2014

Cheng Hsiao

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and…

Abstract

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and over time to obtain valid inference for “structures” that are common across individuals and over time. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration; (iii) statistical inference for dynamic simultaneous equations models; (iv) policy evaluation; and (v) aggregation and prediction.

Details

Essays in Honor of Peter C. B. Phillips
Type: Book
ISBN: 978-1-78441-183-1

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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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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: 2 August 2011

Abdullahi D. Ahmed and Abu N.M. Wahid

This paper aims to use the newly developed panel data cointegration analysis and the dynamic time series modeling approach to examine the linkages between financial…

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2467

Abstract

Purpose

This paper aims to use the newly developed panel data cointegration analysis and the dynamic time series modeling approach to examine the linkages between financial structure (market‐based vs bank‐based) and economic growth in African economies.

Design/methodology/approach

The research investigates the dynamic relationship between financial structure and economic growth in a panel of a group of seven African developing countries over the period of 1986‐2007. The paper uses various indicators/measures of financial structure and financial system, and employs the traditional time‐series analysis for causality as well as the newly developed panel unit root and cointegration techniques and estimated finance‐growth relationship using FMOLS for heterogeneous panel.

Findings

From the dynamic heterogeneous panel approach, the paper firstly finds that market‐based financial system is important for explaining output growth through enhancing efficiency and productivity. Second, the authors' empirical evidence supports the view that higher levels of banking system development are positively associated with capital accumulation growth and lead to faster rates of economic growth.

Originality/value

Panel cointegration, group mean panel FMOLS and country‐by‐country time series investigations indicate that the market‐based financial system is important for explaining output growth through enhancing efficiency and productivity, whereas the development of banking system is significantly associated with capital accumulation growth. Further results from the time‐series approach show evidence of unidirectional causality running from market‐oriented as well as bank‐oriented financial systems to economic growth.

Details

Journal of Economic Studies, vol. 38 no. 3
Type: Research Article
ISSN: 0144-3585

Keywords

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