Variance decomposition

This study examined the nexus between savings and economic growth in Nigeria. The close connection between savings and economic growth has been a key issue in economic literature. However, the fact that differences in saving rates of different countries could be explained by their differences in the rate of economic growth cannot be overemphasized. This is due to the fact that achieving a higher level of economic growth requires higher level of investment, and investment is made possible by another variable called savings. The analytical framework of this study is based on econometric methodology encompassing the error correction model of regression analysis using data from 1980 to 2023. The researcher employed the Granger Causality test and cointegration technique to analyze the nexus between savings and economic growth in Nigeria within the period under review. The empirical results showed a long-run positive relationship between savings and economic growth in Nigeria. Thus, the researcher recommended that government should make policies that would encourage long-term savings so as to accelerate economic growth in Nigeria.

This paper examines the dynamic relationships among CPI inflation, exchange rates, and commercial lending rates in Japan, South Korea, Brazil, and Chile. Using monthly data from 1997:01 to 2017:12, the study applies standard time-series methods, including Augmented Dickey-Fuller unit-root tests, Johansen cointegration tests, Vector Error Correction Models, impulse response functions, and forecast error variance decomposition. The analysis first evaluates the stationarity properties of the three macroeconomic variables and then investigates whether they share long-run equilibrium relationships. The results suggest the presence of cointegration among inflation, exchange rates, and lending rates in each economy, indicating a long-run relationship among these variables. However, the impulse response functions and variance decompositions show limited short-run interaction across the system. Most shocks are largely absorbed by the variable in which they originate, suggesting that inflation, exchange rates, and lending rates are relatively exogenous in the estimated models. One notable result is that South Korea’s exchange rate does not exhibit the expected unit-root behavior. Overall, the findings suggest that, once money supply and stock-price shocks are excluded, the interaction among lending rates, exchange rates, and CPI inflation is modest across the four economies.

The study focuses on the selection of Indian ADR (American depository receipts) equities for the mobility of the US stock market, which are listed on the US stock exchange. This study evaluated the dynamic link between Indian ADR and the US stock market utilising VAR Granger Causality/Block Exogeneity Wald Tests, followed by variance decomposition and impulse response. The NYSE (New York Stock Exchange) is used as a proxy variable for the US stock market. The research gathered data with the goal of having a data range of twenty years. The data range of less than twenty years was excluded from the investigation, and the study was completed with seven Indian ADR variables out of fourteen Indian ADR variables. Daily time-series data for seven Indian ADR variables listed in the US market have been gathered from 2001 to 2021. The result verifies that NYSE is caused by WIT (Wipro Limited), HDB (HDFC Bank Limited), and SIFY (Sify Technologies Limited), and it confirms that NYSE is also causing RDY (Dr. Reddy's Laboratories Limited) and SIFY, respectively. As a result, the bivariate causation between SIFY and NYSE is confirmed SIFY is the Indian ADR that is contributing to the NYSE's mobility among all Indian ADRs listed on the foreign stock exchange. IBN (ICICI Bank Ltd.) and WIT are contributing to the variance decomposition of NYSE, and this is a highly significant variation in NYSE when compared to other variables. The SIFY's asymmetric influence on the NYSE is represented by the impulse response function.

Exports play a pivotal role in the economic development of nations, making the factors that influence this trade essential to understand. This study examines the macroeconomic determinants of Türkiye's export performance during the pre-COVID-19 period, from 2003 to 2019, a time marked by political stability and consistent economic policies under the ruling government. Using the Engle-Granger Cointegration method, the study investigates the longterm and short-term impacts of key macroeconomic variables-Gross Domestic Product (GDP), exchange rates, imports, and interest rates-on Türkiye's export performance. The results show that while GDP and interest rates positively influence exports in the long run, imports exhibit a consistent positive effect on exports in both the short and long term. Moreover, exchange rates have a negative long-term impact on exports, indicating the challenges posed by currency fluctuations. The findings reveal Türkiye's import dependency and reflect the macroeconomic environment shaped by policies in the pre-COVID-19 period. This study contributes to the literature in terms of both time period and methodology by revealing the key macroeconomic dynamics that shaped Türkiye's export performance in the pre-COVID-19 period.

Economic liberalization and the removal of capital market restrictions have
significantly enhanced global financial integration by facilitating cross-border capital flows
and improving resource allocation. Technological progress and financial innovation have
further reduced transaction costs and expanded opportunities for international portfolio
diversification. In integrated markets, similar assets tend to yield comparable risk-adjusted
returns, limiting arbitrage and encouraging investors to diversify across less correlated
markets.
This study investigates the interrelationships among three major stock markets
representing developed and emerging economies: the NASDAQ (United States), the Shanghai
Stock Exchange (China), and the National Stock Exchange (India). Employing a Vector
Autoregression (VAR) framework and VAR-based Granger causality tests, the research
analyses short-run interactions and causal linkages among these markets. The findings
contribute to the literature on international stock market integration and offer valuable insights
for investors and policymakers regarding diversification strategies and market
interdependence in an increasingly globalized financial environment.

The study examines the effect of foreign direct investment on economic growth in Nigeria. The aim of the study is to determine the impact of foreign direct investment as motivated by infrastructural expenditure on Nigerian economic growth between 1995 to 2015. The study employs Augmented Dickey Fuller Unit Root Test, Johansen Co-integration, OLS regression and Granger Causality for the study. The result of the study revealed that Foreign Direct Investment as motivated by Infrastructural Expenditure impacted economic growth significantly both in the long run and the short run. Hence, the study recommends that further expenditure should be made on infrastructural facilities to boost more investment both foreign and domestic.

The main purpose of the article is to ascertain the key determinants of the import in Turkish economy, to analyze behavioral pattern of import demand and to make policy suggestions with regard to econometric results. For this purpose, the development of import and its characteristic features have been presented and the determinants of the import have been econometrically estimated by use of 2003.Q1-2014.Q4 period quarterly data. The explanatory variables determining the import are growth of export, real exchange rate returns and growth of GDP. Empirical evidences demonstrate that %1 rise in real exchange rate will lead 0.29% increase on import, %1 rise of export will lead 0.86% increase on import and %1 rise of real exchange rate will lead 3.14% increase on import.  These outcomes indicate that structural policies rather than exchange rate policies should be implemented in order to solve the chronic foreign trade deficit problems of Turkey. Keywords: Import function, foreign trade d...

O âmbito deste trabalho consiste na análise empírica das determinantes da estrutura da maturidade da dívida de 3.524 empresas cotadas de 12 países da Zona Euro e Reino Unido. Em linha com a literatura relevante, aqui revista, testamos a influência das variáveis relacionadas com as caraterísticas das empresas (oportunidades de crescimento, dimensão, impostos, qualidade da empresa, risco de liquidez, maturidade dos ativos e endividamento) e com as características dos países (sistema jurídico, sistema financeiro, cultura nacional e variáveis macroeconómicas). Os resultados obtidos sugerem que as características das empresas são, em grande parte, relevantes na escolha da maturidade da dívida. Encontramos evidência empírica para a influência positiva da dimensão, da maturidade dos ativos e do endividamento na maturidade da dívida. A existência de uma relação não linear entre o rating da empresa e a maturidade da sua dívida é também confirmada empiricamente. Contudo, não se encontra evidência empírica para a relevância dos impostos, sendo igualmente fracos os resultados obtidos quanto à influência das oportunidades de investimento (custos de agência) na escolha da estrutura da maturidade da dívida. Com exceção da teoria da sinalização, os resultados obtidos não dependem do período analisado. Todavia, não encontramos evidência empírica para uma influência significativa das características dos países nas escolhas da maturidade da dívida das empresas da Zona Euro e Reino Unido. Palavras-chave: maturidade da dívida, estrutura de capitais, dados em painel.

Gulf Cooperation Council (GCC) members are considered one of the fastest growing economies. This paper aims to empirically forecast the economic activity of the vastest GCC countries: Qatar, Saudi Arabia, and the United Arab Emirates. An Auto-Regressive Moving Average (ARIMA) model for the three countries Gross Domestic Product is obtained using the Box-Jenkins methodology during the 1980 -2020 period. The appropriate models for the three economies are of ARIMA (0,2,1), the forecasts are at a 95% confidence level and predicts a growth in the three countries for the upcoming five years.

This paper examines weather inflation is purely a monetary phenomenon in Nigeria using annual data from 1970-2009, the econometric approaches adopted in the paper is the Ordinary least square (OLS). This study comes out with empirical evidence that will help in understanding the causes of inflation in Nigeria. The study concludes that inflation is not a purely monetary phenomenon in Nigeria as the coefficient of broad money supply is less than unity. However, the variable is highly significant in explaining inflation in Nigeria. The result indicates that the regressors in the model are highly significant in causing inflation in Nigeria as shown by the F-statistic.

Este documento analiza el comportamiento de largo plazo de los rubros que componen el índice de precios al consumidor de Lima Metropolitana, utilizando el modelo factorial propuesto en Phillips y Sul (Econometrica, 75(6), 2007). Con ello, identificamos cuatro tendencias comunes: una de alta inflación, dos de inflación intermedia y una de baja inflación. Este análisis permite entender mejor por qué la inflación subyacente calculada por el BCRP resulta ser una buena medida de inflación tendencial.

The study investigates the macroeconomic determinants of unemployment in Swaziland. The Engle-Granger two steps econometric technique was used to investigate the effect of macroeconomic variables on unemployment in Swaziland. This econometric technique was used to also test the existence of long-run relationship between unemployment and its macroeconomic determinants. The investigation found evidence of long-run relationship between unemployment and its macroeconomic determinants. The results indicate that the ratio of actual to potential Gross Domestic Product (GDP), inflation, government spending, dummy variable for democratization of South Africa in 1994 and global economic crisis of 2007-2009 are determinants of unemployment in Swaziland. The Engle-Granger procedure was used to estimate the empirical model. The results indicate that unemployment in Swaziland can be reduced by accelerating GDP at the expense of high inflation. It can also be reduced by allocating a greater propor...

The paper explores (former) transition economies, Poland, Czech Republic, Slovakia and the Republic of Serbia, concerning abandonment of the exchange rate targeting and fixed exchange rate regimes and movement toward explicit/implicit inflation targeting and flexible exchange rate regimes. The paper identifies different subperiods concerning crucial monetary and exchange rate regimes, and tracks the changes of specific monetary transmission channels i.e. exchange rate channel, interest rate channel, indirect and direct influences to the exchange rate, with variance decomposition of VAR/VEC model. The empirical results indicate that Polish monetary strategy toward higher monetary and exchange rate flexibility has been performed smoothly, gradually and planned, compared to the Slovak and, especially, Czech case. The comparison of three former transition economies with the Serbian case indicate strong and persistent exchange rate pass-through, low interest rate pass-through, significan...

We assess empirically the macroeconomic effects of public debt for the case of Mozambique over the period of 2000Q1-2016Q4. We use a Vector Autoregression model to assess these effects through impulse response functions and variance decomposition. We conclude that debt service variables have more negative economic effects than debt variables. Debt variables over the period of this study had no significant impact on the real output and the debt service component depressed the real output, increased the general price level and accounted for the depreciation on the domestic currency.

While the topic of stock market integration has been one of the highly researched area in the literature but focus had mostly been on the stock markets of developed economies.  Few have focused on analyzing market integration in South Asian region and no inclusion of Bhutanese stock has been found in the literature in any of the earlier studies. The objective of this paper is to analyze market integration between Bhutanese, Indian and other indices in the region. We also analyzed whether other indices in the region are co-integrated with Indian stock market, as Indian market is more proficient in the region and can be believed to have influences on others. We analyzed all indices in the region on one to one basis (using pairwise co-integration test). We used weekly data from January 2006 to December 2011 period from the stock exchanges of (Bhutan, India, Nepal, Bangladesh, and Pakistan). Applying, Dickey-Fuller method, we tested unit root for each stock indices and used Johansen co-...

In this paper we use a structural VAR model with block exogeneity to investigate if external shocks originating from the USA played a dominant role in influencing the macroeconomic fluctuations in East Asia during the period 1978-2007. The empirical results show a dynamic effect of external shocks, implying that, even though regional integration appears to be deepening and accelerating, especially after the recent global financial crisis, the influence of US shocks on real output fluctuations in the East Asian region is still very strong. The effects of Chinese shocks show an increasing trend over time, but the impacts are still small and not comparable with those of US shocks. The world oil price shock has become increasingly important in influencing the stability of real output growth in the region. The results from variance decomposition and impulse response analysis confirm the findings. Even though Japanese firms have established production networks in East Asia through trade and investment, and China has also grown rapidly and become a key regional country, the results suggest that US influence in the region is still asymmetric and strong. Therefore, it is difficult to conclude that shocks to the East Asian economies have become more regionally oriented.

This paper assesses the empirical suitability of the East Asian economies for potential monetary integration. The structural vector autoregression (VAR) method is employed to identify the underlying shocks using a three-variable VAR model across the East Asian economies. We use the estimates of the EEC as a benchmark to compare the size of the underlying shocks and the speed of adjustment to shocks in both regions to determine the feasibility of an optimum currency area (OCA) in East Asia. The empirical results do not display strong support for forming an OCA in the East Asian region. The results do imply, however, that some small sub-regions are potential candidates for OCAs, since their disturbances are correlated and small and these economies adjust rapidly to shocks.

Occupational accidents are among the most important issues of the agenda of working life in Turkey recently. Recently the causes and consequences of occupational accidents which are related to human, occupational and environmental factors have received great attention from the researchers but it has been paid little attention to focused on economic factors. The purpose of this paper is to make a contribution to redressing this gap by examining the relationship between fatal occupational accidents and economic development over the period of 1980 to 2012 for Turkey. In this context, bounds testing approach which is also known as autoregressive distributed lag model is performed. The results indicate the existence of positive relationship between gross domestic product per capita and fatal occupational accidents in the short-run while in the long run this turns out to be in a negative way via economic growth and changes in structure of the economy.

Resumo: Este trabalho analisa a relação de causalidade entre os preços da cesta básica praticados nas capitais do Nordeste. Utilizaram-se os testes de Raiz Unitária para obtenção da ordem de integração e o Teste de Causalidade de Granger para apontamento da direção de influência. Os testes aplicados inferem que há integração de ordem 1, I (1), e, relação causal de preços entre todas as cidades analisadas e que essa dependência ocorre, em sua maioria, de forma bidirecional. Verificou-se que as cidades de Natal e Recife, no período analisado, exercem forte influência nas outras capitais estudadas, constituindo-se em regiões centrais, dado que choques econômicos tendem a se dispersar para as demais cidades, em uma relação de causa e efeito. Baseando-se nos testes realizados, que a economia nordestina, é espacialmente eficiente, no sentido Granger.

At the experimental station of the Institute of Organic Farming, the Carabidae population was assessed with conversion of the farm land in 2001, and five years later in 2005. The results showed that the conversion toward organic farming has been advantageous for these beetles.

Using a panel of 260 Swedish municipalities over the period 1987-1996, this paper investigates the direct displacement e¤ects of active labour market programmes (ALMPs). Compared to earlier studies on this topic, we have more and better data. From our GMM estimations, we …nd that (i) there are direct displacement e¤ects from those ALMPs that generate subsidised labour (in the order of approximately 65 percent), but there seems to be no (signi…cant) displacement e¤ects from training, (ii) most ALMPs seem to increase labour force participation, and (iii) the adjustment to the optimal level of employment seems to be sluggish. A consequence of (ii) is that the earlier studies have overstated the displacement e¤ects (since they normalised with the labour force).

This study uses quarterly data from 1980.1 to 2006.4 to explore the relationship between changes in real exchange rate and the trade balance indicators of Pakistan. Applying Auto Regressive Distributed Lag (ARDL) approach to cointegration we examine the existence of a possible long run relationship. We find the following: (a) a long run relationship between the series exists; and b) the coefficient of elasticity is negative and statistically significant which does not support for the J-relation. Given this, the policymakers should take conservative approach in using currency devaluation to cure the fundamental disequilibrium in the balance of payments. It is likely that such policy may not produce the desired outcome-i.e., the trade balance may not improve.

This paper revisits the twin deficits argument in the Asian crisis-affected countries. We also include data from the 1997 crisis to examine the disparities in the empirical regularities governing the two deficits in these countries. Empirical results ...