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1 – 10 of 103Vicente Esteve and María A. Prats
This paper aims to analyze the dynamics of the Spanish public debt–gross domestic product ratio during the period 1850–2020.
Abstract
Purpose
This paper aims to analyze the dynamics of the Spanish public debt–gross domestic product ratio during the period 1850–2020.
Design/methodology/approach
This study uses a recent procedure to test for recurrent explosive behavior (Phillips et al., 2011; Phillips et al., 2015a, 2015b) to identify episodes of explosive public debt dynamics and also the episodes of fiscal adjustments over this long period.
Findings
The identified episodes of explosive behavior of public debt coincided with fiscal stress events, whereas fiscal adjustments and changes in economic policies stabilized public finances after periods of explosive dynamics of public debt.
Originality/value
The longer than usual span of the data should allow the authors to obtain some more robust results than in most of previous analyses of long-run sustainability.
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The author analyzes households' inflation expectations data for India, collected quarterly by the RBI for more than a decade. The contribution of this paper lies in two folds…
Abstract
Purpose
The author analyzes households' inflation expectations data for India, collected quarterly by the RBI for more than a decade. The contribution of this paper lies in two folds. First, this study examines the relationship between relatively recent inflation expectations survey of households (IESH) and the actual inflation for India. Secondly, the author employs a structural VAR with the time period 2006 Q2 to 2020 Q2 on inflation expectation survey data of India. A short-term non-recursive restriction is imposed in the model in order to capture the simultaneous co-dependence causal effect of inflation expectation and realized inflation.
Design/methodology/approach
This paper studies the dynamic behavior of inflation expectations survey data in two folds. First, the author analyzes the time series property of the survey data. The author begins with testing the stationarity property of the series, followed by the casual relationship between the expected and actual inflation. The author further examines the short-run and long-run behavior of the IESH with actual inflation. Employing autoregressive distributed lag and Johansen co-integration, the author tested if a long-run relationship exists between the variables. In the second approach, the author investigates the determinants of inflation expectations by employing a non-recursive SVAR model.
Findings
The preliminary explanatory test reveals that inflation expectation is a policy variable and should be used in monetary policy as an instrument variable. The model identifies the price puzzle for India. The author finds that the response of inflation to a monetary policy shock is neutral. The results also indicate that the expectations of the general public are self-fulfilling.
Originality/value
IESH has only commenced from September 2005, hence is relatively new as compared to other survey in developed countries. Being a new data set so far, the author could not locate any study devoted in analyzing the behavior of the data with other macroeconomic variables.
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Ebenezer Gbenga Olamide and Andrew Maredza
This study is a pre-COVID-19 exposition of the existing situation about external debt-GDP relationship, incorporating corruption into the hypothesis, making South Africa the…
Abstract
Purpose
This study is a pre-COVID-19 exposition of the existing situation about external debt-GDP relationship, incorporating corruption into the hypothesis, making South Africa the object of the study. The aim is to examine the causal relationship between corruption, economic growth and external debt, and in the end proffer solutions to the problems arising therefrom.
Design/methodology/approach
The study employed ARDL technique on time series data running from 1990 to 2019 with real gross domestic product as the dependent variable and external debt, external debt servicing, corruption, inflation and capital formation as regressors. Necessary tests that include unit root, cointegration, CUSUM and CUSUMSq, normality, serial correlation and heteroscedasticity were performed on the model.
Findings
The study shows that corruption, inflation and external debt servicing exert negative influences on economic growth while the effect of investment on growth was positive. External debt's effect in the short run was positive while its long-run effect on growth was negative. Among other things, the need to improve and strengthen public institutions in addition to targeting tax evaders and avoiders for increased government revenue were emphasized.
Originality/value
The study incorporates corruption into the country specific debt-GDP debate as against earlier studies that excluded corruption in their time series analysis or that were cross-country based. The authors also exposit the existing knowledge of the debt-GDP hypothesis before the outbreak of COVID 19 pandemic. This is expected to serve as a precursor to subsequent studies on the rising debt of South Africa during and after the pandemic.
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The purpose of this paper is to evaluate and analyze impacts of the monetary policy (MP) – money aggregate and interest rate – on the exchange rate in Vietnam.
Abstract
Purpose
The purpose of this paper is to evaluate and analyze impacts of the monetary policy (MP) – money aggregate and interest rate – on the exchange rate in Vietnam.
Design/methodology/approach
The study uses data over the period of 2008–2018 and applies the vector autoregression model, namely recursive restriction and sign restriction approaches.
Findings
The main empirical findings are as follows: a contraction of the money aggregate significantly leads to the real effective exchange rate (REER) depreciating and then appreciating; a tightening of the interest rate immediately causes the REER appreciating and then depreciating; and both the money aggregate and the interest rate strongly determine fluctuations of the REER.
Originality/value
The quantitative results imply that the MP affects the REER considerably.
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This paper analyzes the impact of macroeconomic variables such as real exchange rate, exchange-rate volatility, and economic growth of the UK and Norway on Norway’s bilateral…
Abstract
This paper analyzes the impact of macroeconomic variables such as real exchange rate, exchange-rate volatility, and economic growth of the UK and Norway on Norway’s bilateral trade flow to the UK via maritime and other transport modes. The first two models considered trade volume (import and export) via only maritime transport, while the third and fourth models considered trade volume via modes other than maritime transport. The empirical validity of the Marshall-Lerner condition is tested to see whether a devaluation of the real exchange rate improves the trade balance in the long term. In addition to the long-term relationship among variables, short-term effects are also evaluated. The results show that the real income of Norway and its trading partner (the UK) is the main determinant of bilateral trade flow via maritime and other transport modes. Moreover, the results indicate that in the long run, the Marshall-Lerner condition is satisfied only for bilateral trade via modes other than maritime transport.
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Ebru Çağlayan Akay, Zamira Oskonbaeva and Hoşeng Bülbül
This study aims to examine the hysteresis hypothesis in unemployment using monthly data from 13 countries in transition.
Abstract
Purpose
This study aims to examine the hysteresis hypothesis in unemployment using monthly data from 13 countries in transition.
Design/methodology/approach
Stationarity in the unemployment rate of selected transition economies was analyzed using four different group unit root tests, namely, linear, structural breaks, non-linear and structural breaks and non-linear.
Findings
The empirical results show that the unemployment hysteresis hypothesis is valid for the majority of transition economies, including Bulgaria, Croatia, the Czech Republic, Estonia, Hungary, the Kyrgyz Republic, Latvia, Lithuania, Poland, Romania and Slovenia. However, the results strongly reject the null hypothesis of unemployment hysteresis for the Kazakhstan and the Slovak Republics.
Originality/value
This study revealed that, for countries in transition, advanced unit root tests exhibit greater validity when compared to standard tests
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Abbas Ali Chandio, Yuansheng Jiang, Abdul Rehman and Abdul Rauf
The climate change effects on agricultural output in different regions of the world and have been debated in the literature of emerging economies. Recently, the agriculture sector…
Abstract
Purpose
The climate change effects on agricultural output in different regions of the world and have been debated in the literature of emerging economies. Recently, the agriculture sector has influenced globally through climate change and also hurts all sectors of economies. This study aims to examine and explore the impact of global climate change on agricultural output in China over the period of 1982-2014.
Design/methodology/approach
Different unit root tests including augmented Dickey–Fuller, Phillips–Perron and Kwiatkowski, Phillips, Schmidt and Shin are used to check the order of integration among the study variables. The autoregressive distributed lag (ARDL) bounds testing approach to cointegration and the Johansen cointegration test are applied to assess the association among the study variables with the evidence of long-run and short-run analysis.
Findings
Unit root test estimations confirm that all variables are stationary at the combination of I(0) and I(1). The results show that CO2 emissions have a significant effect on agricultural output in both long-run and short-run analyses, while temperature and rainfall have a negative effect on agricultural output in the long-run. Among other determinants, the land area under cereal crops, fertilizer consumption, and energy consumption have a positive and significant association with agricultural output in both long-run and short-run analysis. The estimated coefficient of the error correction term is also highly significant.
Research limitations/implications
China’s population is multiplying, and in the coming decades, the country will face food safety and security challenges. Possible initiatives are needed to configure the Chinese Government to cope with the adverse effects of climate change on agriculture and ensure adequate food for the growing population. In concise, the analysis specifies that legislators and policy experts should spot that the climate change would transmute the total output factors, accordingly a county or regional specific and crop-specific total factor of production pattern adaptation is indorsed.
Originality/value
The present empirical study is the first, to the best of the authors’ knowledge, to investigate the impact of global climate change on agricultural output in China by using ARDL bounds testing approach to cointegration and Johansen cointegration test.
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This paper investigates the relationship between domestic gold prices and inflation in Vietnam based on the monthly series of the gold price index and consumer price index over…
Abstract
Purpose
This paper investigates the relationship between domestic gold prices and inflation in Vietnam based on the monthly series of the gold price index and consumer price index over the period of December 2001–July 2020.
Design/methodology/approach
The co-integration between the domestic gold price and inflation is examined within the autoregressive distributed lag-error correction (ARDL bounds testing) framework. This paper also applies the vector error correction model (VECM) and impulse response function analysis to explore the causal relationship between these two variables. Moreover, since both gold and inflation series are likely to have structural changes over time, a unit root test controlling for significant breaks is employed in this paper.
Findings
Findings from the ARDL bounds testing model suggest the presence of a co-integration between the underlying variables. The VECM indicates that shocks in inflation lead to a negative response to gold prices in the long run. In the short term, only fluctuations in gold prices impact inflation, and this causality is unidirectional.
Research limitations/implications
Gold is regarded as a critical financial asset to preserve wealth from inflation pressure in the case of Vietnam. These findings propose implications for both investors and policymakers.
Originality/value
Empirical results suggest that inflation has a long-term impact on gold prices in the Vietnamese market. In the existence of a permanent inflationary shock, domestic prices of gold respond negatively to this shock; hence, gold can act as a good hedge against inflation in Vietnam.
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This paper investigates the structural model of vector autoregression (SVAR) of the interdependent relationship of inflation, monetary policy and Islamic banking variables (RDEP…
Abstract
Purpose
This paper investigates the structural model of vector autoregression (SVAR) of the interdependent relationship of inflation, monetary policy and Islamic banking variables (RDEP, RFIN, DEP, FIN) in Indonesia. By using monthly data for the period 2001M01-2019M12, the impulse response function (IRF), forecasting error decomposition variation (FEDV) is used to track the impact of Sharīʿah variables on inflation (prices).
Design/methodology/approach
This research uses quantitative approach with SVAR model to reveal the problem.
Findings
The empirical results of SVAR, the IRF show that policy shocks have a negative impact on all variables in Islamic banking except the equivalent deposit interest rate (RDEP). The impact of both conventional (7DRR) and Sharīʿah (SBIS) policies has a similar pattern. While the transmission of Sharīʿah monetary variables as a policy operational target in influencing inflation is positive. In addition, the FEDV clearly revealed that the variation in the Sharīʿah financial sector was relatively large in monetary policy shocks and their role in influencing prices.
Originality/value
The empirical results of SVAR, the IRF show that policy shocks have a negative impact on all variables in Islamic banking except the equivalent deposit interest rate ‘RDEP’. The impact of both conventional “7DRR” and Sharīʿah “SBIS” policies has a similar pattern. While the transmission of Sharīʿah monetary variables as a policy operational target in influencing inflation is positive. In addition, the FEDV clearly revealed that the variation in the Sharīʿah financial sector was relatively large in monetary policy shocks and their role in influencing prices.
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Within a multivariate framework, this study examines the asymmetric and threshold impact of external debt on economic growth in Egypt during the period 1980–2019.
Abstract
Purpose
Within a multivariate framework, this study examines the asymmetric and threshold impact of external debt on economic growth in Egypt during the period 1980–2019.
Design/methodology/approach
The paper uses a nonlinear autoregressive distributed lag (NARDL) bounds testing approach to cointegration and a vector error-correction model to estimate the short- and long-run parameters of equilibrium dynamics. A multiple structural breaks model is estimated to test nonlinearity in the relationship between external debt and economic growth.
Findings
Results of the NARDL model show a robust statistically significant negative long-run impact on economic growth stemming from both positive and negative external-debt-induced shocks. In terms of magnitude, on the one hand, the impact of external-debt-induced negative shocks exceeds that of the positive. In the short and long run, on the other hand, the growth impact of external debt in Egypt is symmetric. There is also support for the nonlinearity hypothesis in which a negative impact on growth of external debt obtains once the threshold level of external debt-to-GDP ratio equals or exceeds 96.7%.
Practical implications
Identifying the threshold level after which external debt becomes harmful to economic growth would help inform policymakers in Egypt about maximum external debt levels that can be sustained without impairing economic growth.
Originality/value
The current study makes a substantial contribution to the extant literature on the debt-growth tradeoffs. It breaks ground by being the first tract that examines, using a NARDL model, asymmetry and nonlinearity of debt-growth tradeoffs in Egypt.
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