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Impact of Export and Import on Economic Growth: Time Series Evidence from India 进出口对经济增长的影响:来自印度的时间序列证据
Dynamic Econometric Models Pub Date : 2019-12-28 DOI: 10.12775/dem.2019.002
M. L. Devkota
{"title":"Impact of Export and Import on Economic Growth: Time Series Evidence from India","authors":"M. L. Devkota","doi":"10.12775/dem.2019.002","DOIUrl":"https://doi.org/10.12775/dem.2019.002","url":null,"abstract":"This paper examines the cointegration and causal relationships between export, import, and economic growth in India using quarterly data from 1996:Q2 to 2019:Q2. Stationarity properties of the time series data are investigated using Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests, and the existence of cointegrating relationship is studied using Johansen’s cointegration test. Finally, the causal relationships between the variables are examined using Vector Error Correction Model (VECM). The results show that, under both tests, the time series variables are non-stationary at their levels and are stationary at their first differences. The Johansen’s cointegration test shows the existence of a long run equilibrium relationship among the variables. The results from the VECM indicate that there is a unidirectional causal relationship running from economic growth to import in India. This implies that with an increase in the income of the nation, the nation’s spending will increase, and some of the spending will be on import.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43784909","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Revisiting the Import Demand Function: A Comparative Analysis 进口需求函数的修正：比较分析
Dynamic Econometric Models Pub Date : 2019-12-28 DOI: 10.12775/dem.2019.001
S. Hossain, Kanon Kumar Sen, Thasinul Abedin, Muhammad Shafiur Rahman Chowduhury
{"title":"Revisiting the Import Demand Function: A Comparative Analysis","authors":"S. Hossain, Kanon Kumar Sen, Thasinul Abedin, Muhammad Shafiur Rahman Chowduhury","doi":"10.12775/dem.2019.001","DOIUrl":"https://doi.org/10.12775/dem.2019.001","url":null,"abstract":"This study attempts to revisit import demand function across three panels of frontier, emerging, and developed economy from 1980 to 2016. Long-run relationship exists among import demand, relative price, exchange rate, and real GDP in economy. Due to increase in real GDP, import demand responds positively across economies. It responds in same direction in short-run in frontier and emerging economies with relative price unlike that of long-run in same economies. However, it responds in same direction with relative price in developed economy. It moves in opposite direction with respect to movement in exchange rate of frontier economy unlike that of developed economy. Next, the behavior of import demand in short-run due to change in exchange rate varies from that of long-run in emerging economy. This study will help to predict the dynamics of import due to change in income level, relative price, and exchange rate at national and international level.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"19 1","pages":"5-27"},"PeriodicalIF":0.0,"publicationDate":"2019-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46830324","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Demonetisation as an Economic Policy Tool: Macroeconomic Implications of a Monetary Market Shock. The Example of the Indian Monetary Reform 废钞作为经济政策工具:货币市场冲击的宏观经济影响。印度货币改革的例子
Dynamic Econometric Models Pub Date : 2019-12-28 DOI: 10.12775/dem.2019.003
S. Roy
{"title":"Demonetisation as an Economic Policy Tool: Macroeconomic Implications of a Monetary Market Shock. The Example of the Indian Monetary Reform","authors":"S. Roy","doi":"10.12775/dem.2019.003","DOIUrl":"https://doi.org/10.12775/dem.2019.003","url":null,"abstract":"This paper discusses the implementation of the 2016 India demonetisation, and analyses its macroeconomic consequences. The pivotal issue here is a regional heterogeneity of CPI inflation caused by demonetisation. A dynamic panel CPI model has been estimated in order to find out whether unequal accessibility of banking services determines the inflation heterogeneity. The findings suggest that financial services accessibility is not a significant inflation-driving factor. Hence a hypothesis about a redistribution of wealth between rural and urban areas with different access to banking might be rejected.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"19 1","pages":"41-56"},"PeriodicalIF":0.0,"publicationDate":"2019-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43605935","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Energy Consumption and Economic Growth in Ethiopia: Evidence from ARDL Bound Test Approach 埃塞俄比亚的能源消费和经济增长:来自ARDL约束检验方法的证据
Dynamic Econometric Models Pub Date : 2019-12-28 DOI: 10.12775/dem.2019.004
Wondatir Atinafu
{"title":"Energy Consumption and Economic Growth in Ethiopia: Evidence from ARDL Bound Test Approach","authors":"Wondatir Atinafu","doi":"10.12775/dem.2019.004","DOIUrl":"https://doi.org/10.12775/dem.2019.004","url":null,"abstract":"The present study aims to investigate the dynamic relationship between economic growth and energy consumption. Specifically, the study tries to answer the questions whether energy consumption has any significance effect on economic growth of the country and it also determined the magnitude of the effect. In doing this, the study used an ARDL bound test approach to analyze Ethiopian data from 1970 to 2017 with real GDP as a function of energy consumption, human capital., physical capital., trade openness and policy change dummy. To do so, secondary data were obtained from WDI, UNCTAD stat and NBE. Co-integration test approves the existence of long-run relationship among the variables. Moreover, the estimation result reveals that, energy consumption found statistically insignificant in affecting economic growth in the long-run. However, it was positive and statistically significant in short-run. Likewise, the dummy variable incorporated to capture the policy change found insignificant in long-run and with positive significant result in short-run. Also, we applied the Granger causality test in linear multivariate models to evaluate how important is the causal impact of energy consumption on economic growth. The results give the evidence of causality running from economic growth to energy consumption supporting “conservation hypothesis”, implying that reducing energy consumption may be implemented with little or no adverse effect on economic growth. Hence, this study recommended the policy makers to improve the existing policies on energy consumption so as to enhance the level of efficiency in the energy sector i.e. energy regulation policies supporting the shift from lower-quality to higher-quality energy services.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"19 1","pages":"57-85"},"PeriodicalIF":0.0,"publicationDate":"2019-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41950149","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Impact of the Sector and of Internal Factors on Profitability of the Companies Listed on the Warsaw Stock Exchange 行业和内部因素对华沙证券交易所上市公司盈利能力的影响
Dynamic Econometric Models Pub Date : 2018-12-28 DOI: 10.12775/DEM.2018.007
Ewa Majerowska, Magdalena Gostkowska-Drzewicka
{"title":"Impact of the Sector and of Internal Factors on Profitability of the Companies Listed on the Warsaw Stock Exchange","authors":"Ewa Majerowska, Magdalena Gostkowska-Drzewicka","doi":"10.12775/DEM.2018.007","DOIUrl":"https://doi.org/10.12775/DEM.2018.007","url":null,"abstract":"The aim of the article is to assess the impact of the sector environment and of selected internal factors on the profitability level of the companies listed on the Warsaw Stock Exchange in 1998-2016. An increase in the financial leverage, financial liquidity, non-debt tax shield and enterprise size cause a drop in the ROA. An increase in the ratio of fixed assets to the total assets results in an increase in the ROA. Similar results were obtained for the models estimated for the ROE. It means, that profitability of the examined companies results from the decisions made by the managers and from the impact of the sector environment.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41958033","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Decomposition of Sovereign CDS Spread using the Concept of Factorization 利用因子分解的概念分解主权CDS价差
Dynamic Econometric Models Pub Date : 2018-12-27 DOI: 10.12775/DEM.2018.006
Rumiana Górska
{"title":"Decomposition of Sovereign CDS Spread using the Concept of Factorization","authors":"Rumiana Górska","doi":"10.12775/DEM.2018.006","DOIUrl":"https://doi.org/10.12775/DEM.2018.006","url":null,"abstract":"Sovereign CDS (Credit Default Swap) is a derivative that provides insurance of repayment of the government’s loans and may be considered as a market indicator of the insolvency risk of a country. The aim of the study is to identify factors affecting the sovereign CDS spreads of selected European countries for the period from 2008 to 2016. Factor analysis shows that there are two common factors that have explained about 93% of the variation of the CDS spreads. Next, the decomposition of the spreads presents the influence of these factors on CDS spreads of surveyed countries.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46411868","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Testing Day of the Week Effect on Precious Metals Market 测试日对贵金属市场的影响
Dynamic Econometric Models Pub Date : 2018-12-22 DOI: 10.12775/DEM.2018.005
Dominik Krężołek
{"title":"Testing Day of the Week Effect on Precious Metals Market","authors":"Dominik Krężołek","doi":"10.12775/DEM.2018.005","DOIUrl":"https://doi.org/10.12775/DEM.2018.005","url":null,"abstract":"Market efficiency assumes that asset prices should be characterized by randomness and unpredictability, so that potential market participants are not able to generate above-average profits. This means that there should be no seasonal phenomenon in time series, which clearly projects a certain pattern of behavior of financial assets. The paper is an attempts to verify some specific seasonal effect called “the day of the week” on the precious metals market. The selection of this area is not accidental. Precious metals are an alternative to classic capital investments, especially in the case of financial and economic crises. In addition, the literature shows a gap in this area in terms of dynamics analysis on commodity markets, if compared to capital market. The analysis of day of the week effect was carried out taking into account both conditional mean and conditional variance. Results are not clear and strongly depends on the type of precious metal.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45061319","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The Non-Trading Problem in Assessing Commonality in Liquidity on Emerging Stock Markets 新兴市场流动性共性评估中的非交易问题
Dynamic Econometric Models Pub Date : 2018-12-21 DOI: 10.12775/DEM.2018.004
J. Olbryś
{"title":"The Non-Trading Problem in Assessing Commonality in Liquidity on Emerging Stock Markets","authors":"J. Olbryś","doi":"10.12775/DEM.2018.004","DOIUrl":"https://doi.org/10.12775/DEM.2018.004","url":null,"abstract":"K e y w o r d s: CEE; commonality in liquidity; GARCH; HAC; non-trading problem. J E L Classification: C32; C58; G15; O57.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43538325","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
An Inquiry into the Effect of the Interest Rate, Gold Price, and the Exchange Rate on Stock Exchange Index: Evidence from Nepal 利率、金价和汇率对股票交易指数影响的研究——来自尼泊尔的证据
Dynamic Econometric Models Pub Date : 2018-12-15 DOI: 10.12775/DEM.2018.003
M. L. Devkota, Humnath Panta
{"title":"An Inquiry into the Effect of the Interest Rate, Gold Price, and the Exchange Rate on Stock Exchange Index: Evidence from Nepal","authors":"M. L. Devkota, Humnath Panta","doi":"10.12775/DEM.2018.003","DOIUrl":"https://doi.org/10.12775/DEM.2018.003","url":null,"abstract":"This study examines the causal relationship between the Nepalese Stock Exchange (NEPSE) Index, the interest rate, gold price, and the USD exchange rate in Nepal. The monthly time series data from January 2006 to June 2018 are used. Time series properties of the data are diagnosed using the Ng-Perron unit root test and Johansen's cointegration test. Finally, the Granger causality test based on the Vector Error Correction Model (VECM) is used to find the direction of causation, and to model the short and long-run relationships between the variables. The findings suggest that there exists a feedback relationship between the NEPSE Index and the interest rate, and there exists a unidirectional causation from the gold price to both the exchange rate and the interest rate. There is also a unidirectional causation from the exchange rate to the NEPSE Index during the sample period. These findings have implications for government agencies, investors, researchers, stakeholders, and others interested in the topic.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43144367","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Stock Market Prices and the Macroeconomics of Emerging Economies: the Case of India 股票市场价格与新兴经济体的宏观经济：以印度为例
Dynamic Econometric Models Pub Date : 2018-09-07 DOI: 10.12775/DEM.2018.002
K. Upadhyaya, Raja Nag, F. Mixon
{"title":"Stock Market Prices and the Macroeconomics of Emerging Economies: the Case of India","authors":"K. Upadhyaya, Raja Nag, F. Mixon","doi":"10.12775/DEM.2018.002","DOIUrl":"https://doi.org/10.12775/DEM.2018.002","url":null,"abstract":"This paper investigates the relationship between stock market capitalization  (stock prices) and selected macroeconomic variables in India.  The empirical results suggest that, in the long run, output growth and exchange rate are positively related to stock prices, while money supply exhibits a negative relationship to stock market capitalization. In the short run most of the variation in the stock market is captured by its own innovation, although the exchange rate, the price level and the interest rate seem to have some effect on the short-run stock capitalization.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46931914","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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