东盟五国能源消费、经济增长与碳排放——基于环境库兹涅茨曲线的实证研究

基于环境库兹涅茨曲线构建能源—经济—碳排放关系的碳排放模型,采用面板协整检验和面板因果关系检验方法,对东盟五国1971～2007年能源消费、经济增长与碳排放三者关系进行实证分析。结果表明,能源消费与经济增长之间在短期和长期均存在单向的格兰杰因果关系。另外,能源消费与二氧化碳排放之间在短期和长期也都存在单向的格兰杰因果关系。     

Electricity consumption and economic growth in Nigeria: Evidence from cointegration and co-feature analysis

The paper investigates the causality relationship between energy consumption and economic growth for Nigeria during the period 1980–2006. The results of our estimation show that real gross domestic product (rGDP) and electricity consumption (ele) are cointegrated and there is only unidirectional Granger causality running from electricity consumption (ele) to (rGDP). Then we applied Hodrick–Prescott (HP) filter to decompose the trend and the fluctuation components of the rGDP and electricity consumption (ele) series. The estimation results show that there is cointegration between the trend and the cyclical components of the two series, which seems to suggest that the Granger causality is possibly related with the business cycle. The paper suggests that investing more and reducing inefficiency in the supply and use of electricity can further stimulate economic growth in Nigeria. The results should, however, be interpreted with caution because of the possibility of loss in power associated with the small sample size and the danger of omitted variable bias that could result from the use of bi-variate analysis.     

Housing and the business cycle in South Africa

This paper examines the housing-output growth nexus in South Africa by accounting for the time variation in the causal link with a bootstrapped rolling Granger non-causality test. We use quarterly data on real gross domestic product, real house prices, real gross fixed capital formation and number of building plans passed. Our data span 1971Q2–2012Q2. Using full sample bootstrap Granger causality tests, we find a uni-directional causality from output to number of building plans passed; a uni-directional causality from real house price to output and a bi-directional causal link between residential investment and output. However, using parameter stability tests, we show that estimated VARs are unstable, thus full-sample Granger causality inference may be invalid. Hence, we use a bootstrap rolling window estimation to evaluate Granger causality between the housing variables and the growth rate. In general, we find that the causality from housing to output and, vice versa, differ across different sample periods due to structural changes. Specifically speaking, house price is found to have the strongest causal relationship with output compared to residential investment and number of building plans passed, with real house price showing predictive ability in all but one downward phase of the business cycle during this period.     

储蓄率与经济增长的关系研究——基于中国1978～2008年间的数据分析

储蓄率在现代经济增长理论中占有极其重要的地位,是影响经济增长率的重要变量,大量实证研究也证实了这一点。基于中国1978～2008年间的数据,采用Granger因果检验来分析储蓄率和经济增长之间的关系,分析结果显示：经济增长率是储蓄率的Granger原因,但储蓄率对经济增长率的影响作用不显著。因此,中国宏观调控政策的重点应当放在启动消费上,适度改善投资结构,加强对可贷资金的引导和规范,保证储蓄向投资转化渠道的畅通。     

The impact of government expenditure on economic growth: How sensitive to the level of development?

Previous studies generally find mixed empirical evidence on the relationship between government spending and economic growth. In this paper, we re-examine the causal relationship between government expenditure and economic growth by conducting the panel Granger causality test recently developed by (Hurlin, 2004) and (Hurlin, 2005) and by utilizing a richer panel data set which includes 182 countries that cover the period from 1950 to 2004. Our empirical results strongly support both Wagner's law and the hypothesis that government spending is helpful to economic growth regardless of how we measure the government size and economic growth. When the countries are disaggregated by income levels and the degree of corruption, our results also confirm the bi-directional causality between government activities and economic growth for the different subsamples of countries, with the exception of the low-income countries. It is suggested that the distinct feature of the low-income countries is likely owing to their inefficient governments and inferior institutions.     

Ongoing Debate Between Foreign Aid and Economic Growth in Nigeria: A Wavelet Analysis

This study aims to reexamine the interconnection between economic growth, foreign aid, trade, gross fixed capital formation, and inflation rate in one model for the case of Nigeria, which has not yet been analyzed utilizing the new econometric techniques, employing time series data covering the years between 1980 and 2018. No previous research has employed a wavelet coherence technique to gather information on the dynamic connection and/or causality between these economic indicators at dissimilar frequencies and various time frames. The main objectives are to address the questions: (a) Is there long-run relationship between the indicators under consideration? (b) What are the main determinants of economic growth in the long run? (c) How are the indicators related at dissimilar frequencies and various time frames? The empirical findings confirm that (a) there is a long-run relationship between the indicators under consideration; (b) in the long run, economic growth is influenced significantly by foreign aid, trade openness, gross fixed capital formation, and inflation rate; (c) the outcomes of the wavelet coherence technique give evidence to support the long-run estimations of this study; and (d) the outcomes of wavelet coherence are supported by the Toda-Yamamoto causality test results.     

Macroeconomic consequences of terrorism in Pakistan

The objective of the study examines the macroeconomic consequences of terrorism in Pakistan. The study evaluates the short- and long-run relationship between terrorism and economic factors over a period of 1975–2011. Both objectives have been achieved with the sophisticated econometrics techniques including cointegration theory, Granger causality test and variance decomposition, etc. The result reveals that macroeconomic factors, i.e., population growth, price level, poverty and political instability cause the terrorism incidence in Pakistan. However, income inequality, unemployment and trade openness have no long-run relationship with the terrorism incidence in Pakistan. The study may conclude that, for some how, Pakistan's macroeconomic indicators have significant long-run equilibrium with terrorism incidence. The result of Granger causality indicates that except unemployment, all other macroeconomic indicators have unidirectional causality with terrorism incidence. Unemployment has a bi-directional causality with the terrorism incidence in Pakistan. The results of variance decomposition indicate that there exists statistically significant cointegration among macroeconomic factors and terrorism incidence in Pakistan. Among macroeconomic factors, changes in price level exert the largest influence on terrorism in Pakistan. Contrary, the influence of poverty seems relatively the least contribution level for changes in terrorism incidence in Pakistan.     

网络舆情是否影响股市行情?基于新浪微博大数据的ARDL模型边限分析

本文基于新浪微博大数据,分析互联网上的股市舆情是否影响真实世界中的股市行情。在梳理网络舆情,特别是微博影响股市的机制的基础上,我们利用具有“利好”和“利空”含义的股市术语的微博出现词频（“热词指数”）,生成股市的“微博信心指数”。“格兰杰因果检验”和“自回归分布滞后模型”（ARDL）边限检验表明：在股市震荡期,早前三天内的“微博信心指数”有助于预测上证指数;“微博信心指数”和“上证指数”存在正向相关的均衡关系;在股市行情平稳期,以上的统计关联并不存在;网络舆情通过影响入市资金流进一步影响股市行情。     

The industrial production index of Japan and South Korea: a dynamic relationship

In this paper, a dynamic relationship between the industrial production index (IPI) of Japan and the IPI of South Korea is presented. With the help of a VAR(2) model, and using the terminology of Granger causality, it is shown that the IPI of Japan Granger causes the IPI of South Korea, but the IPI of South Korea Granger does not cause the IPI of Japan. Other aspects of this dynamic relationship between these two indices are presented as well.     

Does gold act as a safe haven against exchange rate fluctuations? The case of Pakistan rupee

Investors often look for a refuge to avoid undesirable exposures to risk during period of extreme downturns in currency returns. We investigate daily gold and rupee exchange rates depreciation against set of currencies over the period of 1992–2015. Using wavelets at multiple time horizons; we find that gold act as a consistent short run hedge against exchange rate hence validating the exchange rate destruction hypothesis. This finding is helpful for speculators in their decision making while taking long and short positions accordingly. This finding suggests that central bank also need to keep other safe haven assets in reserves because the hedging ability of gold is only limited to short run. Further, the role of gold in providing protection against currency risks is also confirmed using quantile regression. These results assist portfolio managers and governments in formulating effectual diversification strategy for preserving investment portfolio during extreme event condition. Our results also suggest that gold has a lead relationship with exchange rate; however, this relationship switches over specific time intervals. This finding is of major concern for policy makers in determining the extent of stabilization in gold prices to bring consistency to exchange rate. Finally, the Granger coherence coefficients confirm that the strength of the causal relationship varies across over all frequencies. These conclusions have important implications for policy makers, economic analysts, portfolio managers and institutional investors.     

Industrial structure and economic fluctuation—Evidence from China

Industrial structure evolves with economic development. Since the reform and opening up of the economy in 1978, China has undergone rapid economic growth and dramatic industrial restructuring, with the proportion of the primary, secondary and tertiary industry changed respectively from 28%, 48% and 24% of GDP in 1978 to 11%, 49% and 40% in 2008. Using panel data from 31 provinces in the past three decades, this paper empirically examined the relationship between economic growth and industrial structure. Based on results from unit root test, cointegration test, and Granger causality test, this paper concluded that the two variables are order-1 integrated, short-run economic fluctuation causes industrial structure disproportion, while a long-run bidirectional causal relationship exists between industry structure disproportion and economic aggregate fluctuation. This paper also investigated the determinants of China's industrial structure and found that influential factors include per capita GDP, domestic consumption propensity, urban–rural disparity, scale of the labor force and capital stock, property right protection, and administrative effectiveness.     

Financial development and economic growth: The Egyptian experience

This paper examines the causal relationship between financial development and economic growth in Egypt during the period 1960–2001 within a trivariate vector autoregressive (VAR) framework (investment being the additional variable). We employ four different measures of financial development and apply Granger causality tests using the cointegration and vector error-correction (VEC) methodology. Our results strongly support the view that financial development and economic growth are mutually causal, that is, causality is bi-directional. Furthermore, we find that financial development causes economic growth through both increasing resources for investment and enhancing efficiency. These findings suggest the need to accelerate the financial reforms that the Egyptian government launched in 1991 and to improve the efficiency of the financial system to stimulate saving/investment and, consequently, long-term economic growth.     

Exchange rate premia and discounts for retail purchases using Mexican pesos in El Paso, Texas

This paper studies the exchange rates at which Mexican pesos are accepted for retail purchases in El Paso, Texas. A stratified random sample of 586 participating firms is surveyed to examine two aspects of reverse dollarization in the El Paso/Ciudad Juárez border region. The first is to determine the percentage of retail businesses in El Paso that accept foreign currency in the form of Mexican pesos. The results suggest that just over 13.1% (77/586) of all retail firms in this market accept pesos, which on average, comprise 4.35% of total sales for those firms. The second is to calculate the effective exchange rate at which firms accept Mexican pesos. We find that 68.5% of firms accepting the peso do so at a premium. We discern these two aspects further utilizing various multivariate analyses.     

区域物流能力与经济增长关系的实证研究——以广东为例

众多的实证研究证实了物流产业对区域经济增长的促进作用。系统分析衡量物流能力的相关指标,以及以这些指标来探讨物流发展与经济增长的相互关系,并运用格兰杰因果检验方法,以广东省为例对物流能力与经济发展进行双向因果关系的分析,发现物流主体能力、物流客体能力和物流载体能力对广东经济的增长有显著的单向促进作用,而区域特色能力与经济增长却互为因果,即存在互动、共同发展的关系。     

Interest rate determination in India: domestic and external factors

This paper examines the determinants of interest rates in India in the post-reform period in the context of a model that takes into account both domestic and external factors. The short- and long-run behavior of interest rates (commercial paper rate, 3-month Treasury bill rate, 12-month Treasury bill rate) is studied. The empirical results are robust across interest rates and indicate the existence of a cointegrating relationship between real interest rates, real government expenditure, real money supply, foreign interest rates and the forward premium. The estimations also show that movements in interest rates are Granger caused by both domestic and external factors.     

Wagner on government spending and national income: A new look at an old relationship

The validity of “augmented” Wagner’s Law is evaluated using a sample of twelve OECD countries over the period of 1995–2015. The bootstrap panel Granger causality approach is utilized to detect the direction of causality between government spending and GDP, focusing on cross-sectional dependence, slope heterogeneity, and structural breaks. The results show a causal relationship in favor of Wagner’s Law in seven countries, thus GDP is long-run forcing to government expenditures and that the causality runs from the former to the latter variable. The policy implication of the findings is that the upholding of Wagner’s Law in the presence of aging population growth and increasing demand for welfare services may force policy makers to raise taxes or it leads to excessive borrowing which might affect sustainability of public finances.     

Financial liberalization and long-run stability of money demand in Nigeria

A stable money demand function is essential when using monetary aggregate as a monetary policy. Thus, there is need to examine the stability of the money demand function in Nigeria after the deregulation of the financial sector. To achieve this, the study employed CUSUM (cumulative sum) and CUSUMSQ (CUSUM of square) tests after using autoregressive distributive lag bounds test to determine the existence of a long run relationship between monetary aggregates and their determinants. Results of the study show that a long-run relationship holds and that the demand for money is stable in Nigeria. In addition, the inflation rate is found to be a better proxy for an opportunity variable when compared to interest rate. The main implication of the study is that interest rate is ineffective as a monetary policy instrument in Nigeria.     

Savings and economic growth in South Africa: A multivariate causality test

This study takes a fresh look at the direction of causality between savings and economic growth in South Africa during the period 1950–2005. The study was motivated by the low and declining savings rate currently prevailing in South Africa, on the one hand, and the dwindling level of economic growth experienced in the country during the 1990s, on the other. Given the weakness associated with the bivariate causality framework, the current study incorporates foreign capital inflow as an intermittent variable in the bivariate model between savings and economic growth—thereby creating a simple trivariate causality framework. Using the cointegration-based error–correction mechanism, the study finds a bi-directional causality between savings and economic growth to prevail in the short run and a distinct unidirectional causal flow from economic growth to savings to dominate in the long run. On balance, the study finds growth-led savings to predominate in South Africa. The results also show that foreign capital inflow and savings Granger-cause each other, while economic growth Granger causes foreign capital inflow. The study, therefore, recommends that in the short run, South African policies should be geared towards achieving both higher savings and economic growth in order to boost investors’ confidence and to attract foreign capital inflow. However, in the long run, the country should shift its focus towards achieving higher economic growth, in order to boost the domestic savings and to sustain a steady flow of foreign capital investment.     

Money demand stability: A case study of Nigeria

Monetary policy in Nigeria aims is to achieve price and monetary stability. During the 1980s and 1990s, monetary targeting was the dominant monetary policy framework in Nigeria. However, in 2006 the Central Bank of Nigeria (CBN) adopted the new monetary policy framework through which short-term interest rates are adjusted to achieve stability in the value of the domestic currency. This paper has presented an empirical investigation into the demand for Nigerian real narrow money (M1) over the period 1960–2008 in an attempt to identify whether the CBN were right to adopt the new monetary policy framework. In doing so, we estimate alternative (canonical and extended) specifications of M1 demand using structural change methods. Our results suggest that the canonical specification is well-determined. Although the money demand relationship went through a regime shift in 1986, it is largely stable. These findings favour the use of supply of money as an instrument of monetary policy, thus lending limited support for the new monetary policy framework.     

Financial liberalization, exchange rates and stock prices: Exogenous shocks in four Latin America countries

This paper provides an analysis of the long-run relationships and short-run dynamics between stock prices and exchange rates as well as the channels through which exogenous shocks influence these markets. We use monthly data for the period January 1980 to February 2009 for four Latin America, namely, Argentina, Brazil, Chile and Mexico. We conduct our analysis by means of cointegration analysis and multivariate Granger causality tests. The main finding of our analysis suggests that stock and foreign exchange markets in these economies are positively related and that the U.S. stock market acts as a channel for these links. Moreover, it is shown that these links are independent of foreign exchange restrictions. Finally, stability tests proposed by Hansen and Johansen (1993) are applied and it is shown that the dimension of the cointegration space is sample independent while the estimated coefficients exhibit instability in recursive estimations. Instability in these long-run relationships is evident during the Mexican currency crisis of 1994-1995, the Asian crisis of 1997 and the 2007-2009 credit and financial crisis.