Macroeconometrics Research Papers - Academia.edu (original) (raw)

- by and +1
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- Economics, Development Economics, Econometrics, Macroeconometrics

This pepper proposes estimates of verification of Okun’s law for developed and developing countries, namely: France, Italy, Spain, Morocco, Tunisia, Egypt and South Africa, over a period that lasts from 1991-2020 for the two variables: "Growth rate" and "Unemployment rate". Indeed, the existence of a linear relationship by the ARDL model for all the countries except for Italy, as well as the Okun relationship is accepted.

- by Mohammed El Kamli and +1
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- Economics, Macroeconomics, Applied Econometrics, Macroeconometrics

Economic growth which is considered as one of the best indicator of measuring the robustness of every economy is essential in understanding its relationship with unemployment which is an important macroeconomic indicator that reflects the incompetence of any economy to make full use of its human resources. Hence, a macro-economic secondary and time series data was extracted from the World Development Indicator (WDI) for the period of 1991-2018 in China. In conducting the econometric analysis of the study, both the Augmented Dickey-Fuller Test and Phillips Perron Test were employed to test and confirm the stationary level of the variables of study; the Autoregressive Distributed Lagged (ARDL) cointegration and the ARDL Bounds test were employed to test for the short-run and the long-run cointegration of the variables of study since both variable were stationary at first difference I (1). The finding of the study reveals that there are negative short-run and a long-run relationship be...

- by Ellen Karikari-Apau
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- Economics, Micro-econometrics, Macroeconometrics, Economic Growth
- by Joseph Omojolaibi
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- Economics, Econometrics, Macroeconomics, Macroeconometrics

Lufthansa is a century-old German airline company with a prestigious legacy. Being born as a result of a strategic merge, the company has continued to strengthen its position through many strategic alliances and technological integrations. The scope of the operations of any airline company is large. Being one of the leading airline companies of Europe the magnitude of the scope is inexplicable. This inevitably exposes the company to many external, internal and industrial forces which impacts the business on many fronts frequently. This paper explores and analyses the aforementioned forces and the strategies Lufthansa has deployed in the past to mitigate or absorb the impacts postulated by these forces.

- by brade gomez
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- Macroeconomics, Applied Econometrics, Macroeconometrics, Rational Expectations

This paper is intended to study the impact of various macroeconomic variables on Indian stock market. Based on the Arbitrage Pricing Theory (APT) propounded by Ross in 1976 and various other studies, a number of macroeconomic variables including, inflation, industrial production, exchange rate, money supply, interest rate, and oil price have been identified to have a significant impact on the stock market. We have applied the multivariate extension of the classical linear regression model computed on Ordinary Least Squares method and Granger Causality test to re-establish the relationship between macroeconomic variables and stock returns over a period of 10 years from 2005 to 2015 using monthly observations. The results of this study show that only exchange rate has a significant negative impact on stock returns. The other macroeconomic variables are not significantly affecting stock returns; however, their impact is in accordance with the economic theory. The Granger Causality test reveals absence of any causal relationship between stock returns and macroeconomic variables, except in case of oil prices, where we find a unidirectional causal relationship running from stock returns to oil prices. However, the Granger Causality results should not be taken in the conventional meaning of causality, but results merely identifying precedence

- by khalid Ul Islam
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- Asset Pricing, Macroeconometrics, Stock Markets, Indian Stock Market
- by José M . Gaspar
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- Econometrics, Macroeconomics, Macroeconometrics, Forecasting

Just like any other developed and developing countries, the central objective of macroeconomic policies is to promote economic growth and to keep inflation at a low level. However, there has been a substantial debate on whether inflation promotes to harms economic growth. Motivated by this contentious, this study examined the impact of inflation on economic growth and established the existence of inflation growth relationship in Sudan using time-series data for the period 1980-2016. In the study three econometrics techniques were applied, the unit root test analysis for stationarity, Cointegration, and finally simple regression. Correlation coefficient and co-integration technique established the relationship between inflation and GDP and Coefficient of elasticity were applied to measure the degree of responsiveness of change in GDP to changes in general price levels. Results suggest that inflation has a negative impact on economic growth. The study also revealed that there was no co-integration between inflation and economic growth during the period of study. No long-run relationship between inflation and economic growth in Sudan.
Keywords: Inflation, economic growth, co-integration, Dickey-Fuller, Phillip-Perron

- by Abui John Garang
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- Macroeconometrics, Foreign Direct Investment ( FDI )

Abstract
In This study we aim to measure the Relationship between Remittances and economic growth
through a group of North African countries, Egypt, Morocco, Tunisia and Algeria, using two models
for 1980-2015 using time series data in the first model and approach or method Estimating the
Auto regrisive distributed lag of the allocated time slots ARDL for each country by using a set of
traditional growth determinants and worker's transformations as Regressors on economic growth
in a linear fonction as follows: Gross capital formation That explaine Privat investment within
economic countries in the sample, The economic openness index and the individual Remittances of
worker’s a􀅶d i􀅵􀅵igra􀅶ts are reduced i􀅶 a fu􀅶ctio􀅶 of the li􀅶ear figure o􀅶 the growth rate of four
Independent models according to the ARDL methodology, and through the second model The data
were used according to the PANEL-ARDL /PMG approach for the same sample and the same
variables to compare the results obtained, as well as between the time series results and the data
of panel to answer the study hypotheses.
Keywords: Economic Growth, Migrant Remittances, ARDL models, Panel models.

- by AHMED LARABI
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- Economics, Development Economics, International Economics, Econometrics

PENDAHULUAN Pasar merupakan kegiatan yang sangat esensial dalam suatu negara. Pasar menyokong hampir seluruh kegiatan perekonomian yang mampu menghidupi baik kalangan bawah, menengah dan atas. Kegiatan dalam pasar dapat mencapai suatu kesepakatan harga dan quantitas dari barang atau jasa, memberikan hubungan timbal balik antara produsen dan konsumen. Dalam pasar juga terdapat 3 kegiatan ekonomi pokok, yakni aktivitas produksi, aktivitas konsumsi dan aktivitas pertukaran (Boediono, 1982:1). Selama kegiatannya perusahaan membeli atau menyewa sumber – sumber yang ditawarkan oleh pihak rumah tangga untuk memproduksi barang atau jasa. Kemudian menggunakan pendapatan dari perusahaan untuk membeli barang atau jasa yang ditawarkan. Sehingga tercipta arus melingkar atau circular flow para pelaku ekonomi. Terdapat interaksi antara sektor rumah tangga dan perusahaan dalam mekanisme perekonomian.

- by Reninta Nugraheni
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- Macroeconomics, Macroeconometrics

revealed that even though there is a short-term trade-off between unemployment and inflation, this will disappear in the long term and Phillips Curve might become vertical. Lucas developed this point of view as well as the view of microeconomics which accepts all individuals as rational, and then he adapted them to macroeconomics. He published one of his main works titled "Econometric Policy Evaluation: A Critique" commonly known as "Lucas Critique" in 1976. In this article, he explained that if a government policy change is made based on the current data and expectations, unanticipated results may occur. According to the theory of rational expectations that Lucas took as his basis, a change in government policy will also lead to changes in the behavior and expectations of people considered as rational. Furthermore, when decisions and expectations of people change, the time's conditions which are the basis of policy change do not comply with the conditions after the change. Thus, the foreseen results while making a policy change may not be correct. In order to make any predictions, future data and the direction of rational expectations should also be taken into consideration. For instance, although a 3-point decline in inflation in the past caused a 2-point increase in unemployment, this cannot be used as a model while making a future forecast. Lucas summarized his ideas in Lucas Critique as "given that the structure of an econometric model consist of optimal decision rules of economic agents, and that optimal decision rule vary systematically with the change in the structure of series relevant of the decision maker; it follows that any change in policy will systematically alter the structure of econometric models" (Lucas, 1976, p. 41). The Rational Expectations Theory supposes that in forming expectations, "all available and relevant information" is used by individual economic agents, and then this information is processed in a brilliant fashion. (McCallum, 1980, p. 38) Even though sometimes individuals are mistaken on their expectations, their assumptions are correct, generally. The mistakes could be caused by two reasons: Although the individuals might have all data, they can decide wrong or they might not be able to reach all data. However, their decisions are still rational. American economist John F. Muth developed this theory and proposed in his work titled "Rational Expectations and the Theory of Price Movements" in 1961. He argued that the models of expectations should be changeable due to the changes in the structure. Since the economic agents make their decisions based on the data, after some changes in the structure or government policy, the expectations also change. If Keynesian

- by Erkam Salih Buyukdinc and +1
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- Econometrics, Macroeconomics, Macroeconometrics, Keynesian Economics

This paper examines the incidence and consequences
of financialization in the industrialized countries of the
Organization for Economic Cooperation and Development
(OECD). Using the latest panel data from the OECD and the
ILO, the paper first documents the extent of financialization in
OECD countries and then analyzes the relationships between
financialization and three other variables: inequality, growth and
unemployment. There is strong empirical evidence for
considerable financialization across the OECD, with significant
and negative impacts on all three variables.

- by Jacob Assa
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- Finance, Development Economics, Financial Economics, Public Economics

In the past, little or no attention was directed to the informal sector in the development agenda in Sierra Leone. The inability of the formal sector to absorb all the available resources in the country has led to the rapid growth of the neglected informal sector. The aim of this research is to assess and evaluate the role played by the National Cooperative Development Bank as a Non-Bank Financial microfinance Institution in providing financial services to class of economically poor people in the Western Area whom hitherto were been neglected by the formal sector. A sample of 30 “Barrays” with each constituting 5 members totaling to 150 respondents were thoroughly investigated since 2001 to 2005.The Ordinary Least Squares econometrics estimation technique was used to analyse the data employing a Probit Regression model. The result reveals that the probability of access to credit is increased if the individual is a; trader, self employed, widow and with increases in the initial amount deposited which was used as a proxy variable for cash collateral. However, the probability of access to credit is reduced if the individual’s education is primary. The Probability value of the Wald Test(chi^2=0.0991) also indicates that the overall regression is significant at 10%.The research has proven that NCDB is vital and this understanding is important for academics and policy makers in shaping the future performance of the Non-Bank Financial Institutions.

En este documento se expone la relación teórica de la tasa de interés con la paridad cambiaria en base al modelo Mundell-Fleming y al Enfoque de Activos. Así mismo, se presenta un análisis empírico en base a un modelo econométrico para el caso Mexicano con tipo de cambio nominal, tratando de analizar ambas variables bajo el esquema Ortodoxo de Mundell-Fleming y Krugman.
This paper exposes the theoretical relationship between the interest rate and the foreign Exchange parity, based in the exposure of the Mundell-Fleming Model and the Asset Approach. Then an econometric model is exposed in orther to present an applied analysis to the Mexican case, showing the relation between the 28 days Mexican bond rate, Cetes, and the currency rate FIX, in orther to analyze the Orthodox conception of the Mundell-Fleming model and the Krugman Asset approach.

- by Gabriel Himelfarb
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- Monetary Economics, Macroeconomics, Macroeconometrics, Financial Markets
- by AYINDE TAOFEEK and +1
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- Development Economics, Financial Economics, Macroeconometrics
- by Kombe Mungule
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- Macroeconometrics, International Finance, Exchange Rates

This Paper examines the impact of demand and supply shocks on oil prices to consumer prices, interest rates, economic growth (GDP), exchange rates, and money supply of an emerging economy. In this paper, we consider the case of the Philippines, an oil-importing emerging Asian Economy. Given few literature on the effect of oil price shocks to emerging economies, we adopt Kilian (2009), Roach (2014), and Taghizadeh-Hesary & Yoshino's (2015) framework. We incorporate monetary variables to account for its significance to general pricing and economic growth movement (Taghizadeh-Hesary & Yoshino, 2015). Providing a quarterly data from 1981 to 2015, we use Structural Vector Auto-Regressive (SVAR) approach and estimate the Impulse-Response Functions (IRFs) in order to assess the impact of oil prices to macroeconomic variables.

- by Benette Louie E Rivera
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- Econometrics, Macroeconomics, Applied Econometrics, Macroeconometrics

Exchange rate devaluation is said to have ripple effects on macroeconomic variables. Hence, this study empirically examined how macroeconomic variables responded to currency devaluation in Nigeria: 1986-2016. In other to achieve our aim, the Augmented Dickey Fuller (ADF) and Philip Peron (PP) stationarity tests were employed to examine the stationarity properties of the variables stated in the model, while Johansen Co-integration test was employed to see if there is a long run relationship among the variables in the model. It was then revealed that, all the variables were integrated of the same order and were stationary at first difference I(1), while the result of the co-integration test revealed that, there is long run relationship among the variables. These therefore necessitates the use of Vector Error Correction Model (VECM) model and Impulse Response in the analysis. The result revealed that, exchange rate devaluation have a positive and significant impact on macroeconomic variables tested, including economic growth in Nigeria. While the impulse response result showed that, real gross domestic product (RGDP), one period lag of exchange rate devaluation, money supply, external reserve, interest rate, balance of payment all responded positively to shocks generated by exchange rate devaluation in the economy; while inflation, trade openness and non-oil export responded negatively. In the same vein, while exchange rate devaluation revealed progressive and noteworthy impact on balance of payment, its impact on non-oil export were found to be negative which is in tandem with the findings from previous studies. It is equally important to state that, even though there are diverse benefits from currency devaluation, but these benefits can only be harnessed when there is improvement in the production of goods and services for both domestic consumption and export purposes.

- by Adeniji Sesan
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- Macroeconomics, Macroeconometrics

We show that high-dimensional models produce, on average, smaller forecasting errors for macroeconomic variables when we consider a large set of predictors. Our results showed that a good selection of the adaptive LASSO hyperparameters... more

- by Marcelo Medeiros and +1
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- Econometrics, Macroeconomics, Time Series, Macroeconometrics

Nowadays, studies argued that international difference in prosperity across a country is the matter institutional quality. Thus, the poor economic performance of African's is linked to their weak institutional quality. The aim of this study is to examine the extent to which institutional quality affect economic performance of 14 selected East African Countries; Burundi, Comoros, Djibouti, Ethiopia, Kenya, Madagascar, Malawi, Mozambique, Mauritius, Rwanda, Tanzania, Uganda, Zambia and Zimbabwe, over the period 2005-2016, using fixed effect and System GMM methods. The finding of this study confirms with the existing empirical study that economic institutions matter for economic performance among which control of corruption and government effectiveness has positive impact on economic performance, while rule of law has adverse impact. The finding of this study implies that that Eastern Africa with better institutions has a higher economic performance. Therefore, the Eastern Africa countries should improve those institutions that have positive impact, and promote and change those institutions that have adverse effect in way that it can promote economic development.

- by Tesfaye Melaku and +2
- •
- Macroeconomics, Macroeconometrics

Από το καλοκαίρι του 2008 η παγκόσμια οικονομία αντιμετωπίζει μια βαθιά κρίση. Η οικονομική αυτή κρίση, η οποία εκδηλώθηκε αρχικά στην αγορά των ενυπόθηκων στεγαστικών δανείων των Ηνωμένων Πολιτειών Αμερικής (ΗΠΑ) εξελίχθηκε ταχύτατα σε μια μεγάλη απειλή για το παγκόσμιο τραπεζικό σύστημα. Το γεγονός αυτό συνέβη διότι οι επισφάλειες των ενυπόθηκων δανείων υψηλού κινδύνου αποτελέσαν αντικείμενο συναλλαγής μεταξύ των χρηματοπιστωτικών ιδρυμάτων. Η διασύνδεση των χρηματοπιστωτικών αγορών καθώς και η αλληλεξάρτηση των αγορών αγαθών και υπηρεσιών αποτέλεσαν διαύλους μετάδοσης της κρίσης στις χώρες της Ευρώπης. Η ανάπτυξη κοινών στρατηγικών με σκοπό την αύξηση των επενδύσεων, την προώθηση των εξαγωγών και την ενίσχυση της ανταγωνιστικότητας ήταν ο μακροπρόθεσμος στόχος της Ευρωπαϊκής Ένωσης (ΕΕ). Στην εργασία αυτή, εξετάζονται οι σχέσεις ανάμεσα στις μεταβλητές των άμεσων ξένων επενδύσεων, των εξαγωγών αγαθών και υπηρεσιών, της ανεργίας και της οικονομικής ανάπτυξης για όλες τις χώρες μέλη της Ευρωπαϊκής Ένωσης (ΕΕ), χωρισμένες σε δύο ομάδες. Στην Α΄ ομάδα χωρών ανήκουν οι παλιές χώρες μέλη της ΕΕ, εκείνες δηλαδή που εντάχθηκαν στην ένωση πριν το έτος 2004. Αντίστοιχα, στην Β΄ ομάδα των χωρών ανήκουν οι χώρες που προσχώρησαν στην ένωση από το έτος 2004 και μετά (νέες χώρες μέλη). Η περίοδος των δεδομένων που χρησιμοποιήθηκαν για την Α΄ ομάδα των χωρών είναι από το 1970 μέχρι και το 2013 και από το 1995 έως και το 2013 για τη Β΄ ομάδα των χωρών. Για την ανάλυση των δεδομένων εφαρμόζεται η πάνελ ανάλυση, τόσο για την συνολοκλήρωση όσο και για την αιτιότητα, σε δύο υπόδειγμα αυτοπαλινδρομήσεων. Πιο συγκεκριμένα, για την εμπειρική ανάλυση της εργασίας εφαρμόζουμε στην αρχή τους ελέγχους μοναδιαίας ρίζας (πρώτης και δεύτερης γενιάς), για να εξεταστεί αν υπάρχει ή δεν υπάρχει το φαινόμενο της διαστρωματικής εξάρτησης μεταξύ των χωρών. Στη συνέχεια προσδιορίζουμε το βαθμό συνολοκλήρωσης όλων των μεταβλητών, τόσο με τις κλασικές μεθόδους, όσο και με τον έλεγχο του Westerlund (2007) που δίνει πιο αξιόπιστα αποτελέσματα όταν υπάρχει διαστρωματική εξάρτηση μεταξύ των χωρών που εξετάζουμε. Η εκτίμηση της μακροχρόνιας σχέσης των μεταβλητών, πραγματοποιείται τόσο με τη μέθοδο των πλήρως τροποποιημένων ελάχιστων τετραγώνων (FMOLS) όσο και με τη μέθοδο των δυναμικών ελαχίστων τετραγώνων (DOLS). Τέλος, για τη διερεύνηση των βραχυχρόνιων και μακροχρόνιων αιτιακών σχέσεων χρησιμοποιείται το υπόδειγμα διόρθωσης λαθών. Τα αποτελέσματα της έρευνας έδειξαν ότι υπάρχουν μακροχρόνιες σχέσεις (σχέσεις συνολοκλήρωσης) μεταξύ των μεταβλητών και στις δύο ομάδες χωρών που εξετάζονται. Τα αποτελέσματα των εκτιμήσεων των μακροχρόνιων σχέσεων δείχνουν ότι η αύξηση της ανεργίας προκαλεί μεγαλύτερη πτώση στην ανάπτυξη της πρώτης ομάδας χωρών, από ότι στην δεύτερη ομάδα. Επίσης μια ισόποση αύξηση των εξαγωγών επιφέρει μεγαλύτερη αύξηση στην ανάπτυξη της πρώτης ομάδας των χωρών. Επιπλέον, η αύξηση των άμεσων ξένων επενδύσεων επιφέρει μεγαλύτερη ανάπτυξη στην ομάδα των παλιών χωρών μελών της ΕΕ. Τέλος, τα αποτελέσματα της ανάλυσης της αιτιότητας έδειξαν ότι, στην Α΄ ομάδα χωρών, υπάρχουν ισχυρές αμφίδρομες αιτιακές σχέσεις ανάμεσα στις άμεσες ξένες επενδύσεις και τις εξαγωγές αγαθών και υπηρεσιών, καθώς και ανάμεσα στις εξαγωγές αγαθών και υπηρεσιών και την οικονομική ανάπτυξη, σε μακροχρόνιο επίπεδο. Επίσης, τα αποτελέσματα δείχνουν μια ισχυρή μακροχρόνια αιτιακή σχέση ανάμεσα στις άμεσες ξένες επενδύσεις και την οικονομική ανάπτυξη με κατεύθυνση από τις άμεσες ξένες επενδύσεις προς την οικονομική ανάπτυξη. Σε βραχυχρόνια επίπεδο, τα αποτελέσματα υποδεικνύουν ισχυρές μονόδρομες αιτιακές σχέσεις με κατεύθυνση από την οικονομική ανάπτυξη προς την ανεργία, από τις άμεσες ξένες επενδύσεις προς την ανεργία, καθώς και από τις εξαγωγές αγαθών και υπηρεσιών προς την ανεργία. Όσον αφορά την Β΄ ομάδα χωρών, τα αποτελέσματα υποδεικνύουν ότι σε μακροχρόνιο επίπεδο, υπάρχουν μονόδρομες ισχυρές αιτιακές σχέσεις με κατεύθυνση από τις άμεσες ξένες επενδύσεις προς την οικονομική ανάπτυξη, από τις εξαγωγές αγαθών και υπηρεσιών προς την οικονομική ανάπτυξη, καθώς και από την ανεργία προς την οικονομική ανάπτυξη. Σε βραχυχρόνια επίπεδο, τα αποτελέσματα υποστηρίζουν μια ισχυρή μονόδρομη αιτιακή σχέση με κατεύθυνση από την οικονομική ανάπτυξη προς τις εξαγωγές αγαθών και υπηρεσιών, καθώς και μια ισχυρή αμφίδρομη αιτιακή σχέση ανάμεσα στην ανεργία και τις εξαγωγές αγαθών και υπηρεσιών. Η γνώση σχετικά με την κατεύθυνση της αιτιότητας βοηθά τους φορείς χάραξης πολιτικής να αναπτύξουν και να εφαρμόσουν μια σωστή οικονομική πολιτική. Τα αποτελέσματα της έρευνας επιβεβαιώνουν ακόμη την ύπαρξη μακροοικονομικής αλληλεξάρτησης (διασύνδεσης) μεταξύ των χωρών της ΕΕ. Οι οικονομικές πολιτικές μιας χώρας μέλους της ΕΕ μπορούν να ζημιώσουν την οικονομία μιας άλλης χώρας μέλους ή να αποτελέσουν ένα χρήσιμο δυναμικό εργαλείο για ταχύτερη ανάπτυξη.

- by Pavlos P. Stamatiou
- •
- Econometrics, Macroeconomics, Applied Econometrics, Macroeconometrics

Brazilian society today faces a serious macroeconomic problem that is the high rate of unemployment. With persistent stagnation of growth, it is concluded that the resumption of jobs will not be something verifiable in the short term, requiring actions that can boost the growth of the product with the improvement of the business environment. The purpose of this paper is to analyze empirically the long-term relationships between aggregate unemployment , monetary policy instruments, exports and direct investments in the country. For this, the econometric strategy used is the approach by ARDL models with causality test developed by Toda and Yamamoto. The results reveal the importance of monetary policy instruments for the job creation environment where percent increases in the level of national activities, inflation and exports lead to reduction of unemployment and also reveal that the direct investments made in the did not contribute to the generation of workplaces. There is evidence that dynamic shocks in the labor market take 4-7 months to return to equilibrium unemployment levels.

The purpose of this study is to test the validity of Robinson's growth argument that supports economic growth affecting finance using a series of annual data from Malaysia. The key to this debate is whether there is a growth response led by finance or financial response led by the growth between the two variables. As a result, it can provide different fundamental implications. Therefore, it is very important to determine the reasons for these financial growth relationships for every economy. The previous survey in research in the Malaysian case produces mixed results. Therefore, this study is expected to update existing evidence using the latest data and provide further insights on the relationship between finance and growth in Malaysia. This study uses domestic credit as a proxy for financial development as opposed to real per capita GDP (a proxy for economic growth).

- by sham noor
- •
- Business, Finance, Microeconomics, Macroeconomics

Volatility of returns of the financial assets, and the volatility of the inflation and aggregate demand, are important issues in the Financial markets, and the Macro-monetary economics. In this article, the conditional expected returns of the stocks and conditional volatility of returns-volatility persistence and different models of that-are given much focus. The volatility spill over between the spot and futures markets and their implications are deeply explored in this article along with the price discovery between spot and futures markets and the conditions for the efficiency in these markets. In Macro-monetary economics, the variability of inflation on the demand for money function, the nominal rates of interest, and the slope of the aggregate supply curve are brought into discussion through the relevant literature survey. assets, Price discovery, efficient markets, the variability inflation, the demand for money function, Fisher effect of the inflationary expectation on the nominal interest rates.

This paper estimates both short term and long run relationship between the real bilateral EUR-USD exchange rate and its real determinants. In the long run, it finds that the non-stationary real exchange rate in levels is linearly co-integrated with real variables. Using an ordinary least squares method with error correction mechanism, it investigates real EUR-USD exchange rate misalignment in the short term. By analysing real variables and their influence on international trade and capital movements, potential economic policies capable of maintaining equilibrium in the balance of payments and avoiding currency overvaluation are considered.

- by Leonardo Tariffi
- •
- International Economics, Macroeconometrics, Financial, Real Variables

In this paper we overview the literature on common features analysis of economic time series. Starting from the seminal contributions by Engle and Kozicki (1993) and Vahid and Engle (1993), we present and discuss the various notions that have been proposed to detect and model common cyclical features in macroeconometrics.
In particular, we analyze in details the link between common cyclical features and the reduced-rank regression model. We also illustrate similarities and differences between the common features methodology and other popular types of multivariate time series modelling. Finally, we discuss some recent developments in this area,
such as the implications of common features for univariate time series models and the analysis of common
autocorrelation in medium-large dimensional systems.

- by Marco Centoni and +1
- •
- Macroeconometrics, Time series analysis

The main aim of the paper is to demystify the mystery surrounding the belief that, high tax revenue growth rates
is a prima facie and a leading indicator for high standards of living as a result of high economic growth rates
engineered through the government multiplier process. The effects of economic growth on government tax
revenue growth were investigated for Zimbabwe during the period of 1980-2012. Short-run and long-run
relationship between the tax revenue and economic growth in Zimbabwe were also investigated. Theoretically
and empirically it has been found that taxes affect the allocation of resources and often distort the economic
growth. The study applied the Granger Causality test, Johansen’s cointegration test and vector error correction
model to serve the purpose. However, findings of this study clearly showed that there is an independence
relationship between economic growth and total government tax revenue with 30% speed of adjustment in the
short run towards equilibrium level in the long run. This implies that there is fiscal independence between tax
revenue and growth. The empirical analysis also provides the evidence of long-run equilibrium relationship.
Based on the findings, we highlighted some of major issues that policymakers should consider for effective
taxation policy formulation and implementation in line with the complexity nature of the Zimbabwe economy.
Therefore, the outlook is that the economists and policy makers should suggests an ideal, efficient and buoyant
tax system so that gross tax revenue of the government would increase substantially thereby leading to optimum
mobilization of resources for higher economic growth of the country. This can only be achieved through efficient
allocation of collected tax revenue to production sectors of the economy to try to achieve distributive principle
through societal welfare maximization.

- by Canicio Dzingirai and +2
- •
- Public Finance, Macroeconomics, Macroeconometrics, Fiscal Policy and debt Management

Over the past years, there have been many studies on the relationship between financial and macroeconomic variables; yet the effect that heteroscedasticity may have on the relationship between these financial and macroeconomic variables have not been explored. Thus, this paper examined the effect of heteroscedasticity on the relationship between financial and macroeconomic variables. Data on Dow Jones stock index, United States consumer price index, United States nominal foreign exchange index (United State dollar/Great Britain pound), and United States consumer confidence index from the period 1980 to 2012 were collected and analyzed. The first difference filter and the Stockhammar and Öller heteroscedasticity removing filter were applied as the filtering strategies to transform and detrend these financial and macroeconomic variables. We found that the vector autoregressive model estimated from the homoscedasticity data had a better in-sample and out-of-sample fit than the vector autoregressive model estimated from the heteroscedasticity effected data. More importantly, the granger causality test estimated revealed that heteroscedasticity may have an effect on the causal relationship between these financial and macroeconomic variables. However, the presence of heteroscedasticity in the innovation accounting did not substantially affect the sensitivity and the proportion of shocks on these financial and macroeconomic variables.
Keywords: Financial Variables, Macroeconomic Variables, First Difference Filter, Heteroscedasticity Removing Filter, Vector Autoregressive model, Granger Causality, Impulse Response Function, Forecast Error Variance Decomposition.

- by Aziz Mensah
- •
- Macroeconomics, Statistics, Macroeconometrics, Time series analysis

This book seeks to consider why quantum physics and relativity do not work as a system. It considers if an underlying nondimensional system exists, that we each perceive as dimensional particle reality through our individual perceptions of reality. There is no proven theory of the physical fundamental nature of reality. Are we non-dimensional possibility infinitely divided by a wholeness or oneness of the vibration of the Universe, which then becomes either possible or probable in our dimensional particle experience of reality? This book is for those wanting to consider new ways of looking at the nature of reality.

- by Kristina de Corpo
- •
- Psychology, Physics, Theoretical Physics, Quantum Physics

The research aims to study the impact of inflation targeting (IT) on inflation
volatility to compare with non-inflation targeting(non-IT) countries during the post- adoption period using the annual dataset from 1980 – 2018 of 186 countries among advanced and emerging-developing economies. Propensity score matching would be applied to find the impact of IT policy before and after the adoption period. Second, the difference-in-differences estimation model employed in analyzing the effects after the policy adoption of inflation targeting regime on reducing the inflation volatility. Our estimation results show that applying the DID method to the dataset, certainly, inflation targeting government does significantly reduce inflation volatility to compare with non- targeting countries. However, several countries suffer from hyperinflation. Hereafter we excluded outliers from the dataset and after found no significant reduction in inflation volatility. The reason behind inflation targeting did not significantly reduce inflation volatility after excluding hyperinflation episodes, because most of the central bank policies are having a similar objective in terms of achieving price stability. Moreover, for the effective implementation of IT policy: country economic base development, financial market development, and money market mechanism matter.
JEL Codes Keywords
Author's email
E31, E52, E58, F59, F62
monetary policy, macroeconomic impact, inflation targeting salimovmuhammad@gmail.com

- by Muhammad Salimov
- •
- Macroeconometrics, Risk Management, Monetary Policy, Inflation Targeting

This paper investigates the relationship between the macroeconomic determinants and the observed SMEs' failures for the Romanian economy through the Autoregressive Distributed Lags Model (ADL). We performed a time series analysis that uses monthly data for the period January 2008 – December 2013 in order to establish the impact of the fiscal and monetary policy adopted by the Romanian government in times of financial crisis on the SME sector. The corporate failure rate is an endogenous variable in a linear function model with two exogenous macroeconomic variables such as the consumer price index and the loans ratio to GDP and the lags of the dependent variable. The main finding is that the variance of the SMEs' insolvency rate variable is positively correlated with the variance of CPI two months ago and with the variances of the loans rate one month ago, two months ago and four months ago and negatively correlated with the variance of the loans rate three months ago.

- by Marusa Beca
- •
- Monetary Economics, Macroeconomics, Time Series, Macroeconometrics

Foreign direct investments and exports play an important role in economic growth worldwide. Particularly, foreign direct investments have been considered as one of the best alternatives to fuel economic growth mainly for developing countries. Policy, macroeconomic stability of each country as well as the labor market of an economy are some of the main aspects analyzed by foreign investors before investing in a country. In this paper we study the interdependencies among foreign direct investment, exports, unemployment and economic growth for thirteen new member countries of European Union (EU) for the period 1995-2013. The econometric methodology, based on error correction model is used to analyze the short and long term causal relationship between the examined variables. The main finding of the study is that there is bidirectional long term causal relationship between exports and economic growth and unidirectional long term causal relationship between economic growth and unemploymen...

- by Pavlos P. Stamatiou
- •
- Economics, Econometrics, Macroeconomics, International Trade

Since the summer of 2008, the global economy is facing a great financial crisis. This crisis, which started in the United States mortgage market evolved rapidly into a great threat to the global banking system. This happened largely because of the way mortgage-backed securities were traded by financial institutions. The interconnectedness of the financial markets as well as the interdependence of goods and services markets had as a result the transmission of the crisis to Europe. The establishment of common strategies in order to increase investments, promote exports and strengthen competitiveness has been a long term objective of the European Union (EU). This thesis examines the relationship between foreign direct investments, exports of goods and services, unemployment and economic growth for the countries of the European Union, divided into two groups. The first group (group Α) includes the “old” member states of the union, i.e. those countries that joined the EU before 2004. The second group (group B) includes those countries which joined after May 1st, 2004 (“new” member states). The data are annual covering the period 1970-2013 for group A and 1995-2013 for the group B. In this thesis, we apply panel cointegration and causality analysis in two VAR (vector autoregressive) models. In particular, we begin our empirical analysis by applying the first and second generation unit root tests, in order to examine whether or not there is cross sectional dependence among the countries. The next step is to define the order of cointegration of all variables, using the classical methods propose by Pedroni (1999), Kao (1999) and Johansen-Fisher (1999), as well as the Westerlund (2007) test robust to cross sectional dependence. Given that our variables are cointegrated, we continue with the estimation of the long run relationship using panel Fully Modified Ordinary Least Square (FMOLS) and Dynamic Ordinary Least Square (DOLS) methods. Finally, a dynamic panel vector error correction model (VECM) is used in order to provide us with the short and the long run causal relationships between the examined variables. The empirical results of the study revealed that there are long run relationships (cointegrated relationships) between the variables, in both groups under consideration. The estimation results of the long run equilibrium relationship show that an increase in unemployment causes greater reduction of economic growth in the first group of countries than in the second group. Also, an increase in exports causes greater increase of economic growth in group A than in group B. In addition, an increase in FDI causes greater economic growth in the “old” member states compared to the “new” member states. Finally, the causality results of the study show that, in the first group of countries, there are strong bidirectional causal relationships between foreign direct investments and exports of goods and services, as well as between exports of goods and services and economic growth, in the long run. In addition, the findings suggest a strong unidirectional causal relationship between foreign direct investments and economic growth with direction from foreign direct investments to economic growth. In the short run, the results revealed unidirectional causalities running from economic growth to unemployment, foreign direct investments to unemployment, as well as from exports of goods and services to unemployment. Regarding the second group of countries, the results show that in the long term there are unidirectional causalities running from exports of goods and services to economic growth, unemployment to economic growth as well as from foreign direct investments to economic growth. In the short run, the findings support that there is bidirectional causality relationship between unemployment and exports of goods and services and a unidirectional causality between economic growth and exports of goods and services with direction from economic growth to exports of goods and services. The knowledge of the direction of causality helps policy makers to develop a proper economic policy. The results of the study confirm that there is macroeconomic interdependence between the countries of the European Union. This means that the economic policies of an EU member country can harm the economy of another EU member country or become a potential useful tool for faster development.

- by Pavlos P. Stamatiou
- •
- Econometrics, Macroeconomics, Applied Econometrics, Macroeconometrics
- by Joshua Ogunjimi
- •
- Economics, Monetary Economics, Econometrics, Macroeconomics

- by khalid Ul Islam
- •
- Economics, Asset Pricing, Macroeconometrics, Stock Markets

This paper spins off from the work of Rufino (2010) regarding forecasting Philippine monthly inflation using sophisticated expert systems. As we subscribe to the primordial goal of forecasting inflation with remarkable accuracy, this paper seeks to provide a more accurate conjecture process. Employing a comprehensive set of forecasting techniques, we used the more complete time series data from 1958-2011 for three sets of inflation data published by the Bangko Sentral ng Pilipinas: National, Metro Manila, and Areas outside Metro Manila (AOMM). Analysis of data revealed that there is no seasonality among the inflation data among these sets. In addition, the ARIMA-based methodology is identified to be the optimal forecasting tool among the methodologies employed. Efforts have to be exerted to identify the best forecasting methodology to forecast inflation towards achieving the goal of price stability through the inflation targeting framework adopted by the Bangko Sentral ng Pilipinas.

- by Mc Reynald II S Banderlipe
- •
- Economics, Econometrics, Macroeconomics, Applied Econometrics
- by Gianluca Cubadda
- •
- Engineering, Computer Science, Macroeconometrics, Time series analysis
- by ALARUDEEN AMINU
- •
- Monetary Economics, Econometrics, Macroeconomics, Applied Econometrics

Hetan Shah rightly argues that social insight is needed to help meet the challenges of the next decade (Nature 577, 295; 2020). The important question is whether social science — and economics, in particular, as the queen of the social... more

- by Thomas E Chamberlain
- •
- Microeconomics, Macroeconometrics

International Relations
Global Governance
International Law
Macroeconomics
Geopolitical Risk
International Political Economy
Geoeconomics

Habit persistence at the level of individual goods varieties can explain incomplete exchange rate pass-through to international prices. Deep habits give rise to a dynamic import demand function that leads to import price markup adjustments, independently of nominal pricing frictions. Augmenting a two-country DSGE model with deep habits, we obtain low exchange rate pass-through to import prices even when nominal local currency price rigidi-ties are negligibly low. As nominal pricing frictions become more important, the presence of deep habits further impedes the pass-through of exchange rate uctuations. Estimating model variants with limited information as well as full information methods, we nd that the deep habits model requires much lower degrees of nominal price rigidities to match empirical measures of the pass-through of exchange rate uctuations to US import prices. JEL classication: F41, E31.

- by Lenno Uusküla and +1
- •
- Macroeconomics, International Macroeconomics, Bayesian, Applied Econometrics