The paper is an attempt to identify the multiple structural breaks in India’s GDP, as well as its main growth enhancing sector i.e., services and its components and subsequently calculate the growth rate in different regimes. The paper uses the Bai-Perron (Econom 66(1), 1998, J Appl Econom 18(1), 2003) methodology of estimating multiple endogenous structural breaks (both pure and partial) in India’s service sector and its components and GDP during 1950–2010. Further, the paper uses the Boyce (Oxf Bull Econ Stat 48:385–391, 1986) methodology of estimating kinked exponential model of the growth rate, and further uses the Banerjee, Lumsdaine and Stock (J Business Econ Stat 10:271–287, 1992) test and the Lumsdaine and Pappel (Rev Econ Stat 79:212–218, 1997) test to check for the stationarity in the presence of structural breaks. The data used in this paper are the components of subsectors of services GDP and GDP at factor cost (with 2004–2005 as base). It is found that there is very little difference between the estimation of pure and partial structural break dates in India’s services GDP and its subsectors and four such breaks have been identified with help of Bai-Perron (Econom 66(1), 1998, J Appl Econom 18(1), 2003) methodology. The Boyce methodology of estimation of growth rates finds that mainly in the third and fourth regimes, the growth rates are highest in the subsectoral as well as at the aggregate levels of services GDP. The Banerjee, Lumsdaine and Stock test (J Business Econ Stat 10:271–287, 1992) and the extended Lumsdaine and Pappel test (Rev Econ Stat 79:212–218, 1997) cannot negate the presence of unit root in the data, irrespective of the presence of multiple structural breaks. The paper concludes with the identification of four broad regimes of growth of India’s services GDP and in the subsectors with possible explanations thereof.
相似文献The study examines the Fisher’s hypothesis using India’s macroeconomic data with main objective of ascertaining the empirical relationship between nominal interest rate and expected inflation. The study collected monthly time series data on interest rate (lending rate) and CPI growth rate (inflation) from Reserve Bank of India’s database spanning from 1990M01 to 2015M03. To achieve the objective, the study first examined the univariate stochastic properties of the series using test that assumed the presence of structural: Zivot and Andrews (J Bus Econ Stat 10(3):251–270, 1992) and Perron (J Econ 80:355–385, 1997) on one hand and those that assumed no break: Elliot et al. (Econometrica 64:813–836, 1996) and Kwiatkowski et al. (J Econom 54:159–178, 1992) on the other hand. The result for the univariate stochastic properties revealed that inflation is level stationary whereas lending rate is differenced stationary. This finding is consistent with the two tests considered as mentioned above. To examined the Fisher’s effect, given the result of the univariate stochastic properties, the study checked the multivariate counterpart using test that assumed break; Gregory and Hensen (J Econom 70:99–126, 1996) and the one that assumed no break; Pesaran et al. (J Appl Econom 16:289–326, 2001). The result reveals the absence of long run equilibrium between nominal interest rate and inflation for the full and sub-samples which is against Fisher’s proposition. This finding can be attributed to the following reasons: firstly, the conduct of monetary policy by RBI is passive; that is, the policy rate response less than proportionate to change in inflation. Secondly, the presence of distortion in the interest rate pass-through channel makes the sign, speed and magnitude of monetary policy uncertain and finally, the dominant of informal financial sector in India that makes short term policy rate ineffective monetary policy instrument. Therefore the study concludes that the conduct of monetary policy is responsible for the rejection of Fisher’s hypothesis in India.
相似文献In this study, we propose a supply-side augmented Phillips curve for an oil dependent (Nigerian) economy. We argue for the role of oil price as a good proxy for the supply side of inflation given the structure of the Nigerian economy, which essentially relies on oil revenue. Thus, we compare the forecast results of the oil-based augmented Phillips curve with the traditional variant, as well as time series models such as ARIMA and ARFIMA. We also test for any probable asymmetric response of Nigeria’s inflation forecast to oil price changes. The forecast analyses are conducted for both in-sample and out-of-sample periods using alternative forecast measures. We employ the estimators of Lewellen (J Financ Econ 74:209–235, 2004) and Westerlund and Narayan (J Financ Econ 13(2):342–375, 2015) in order to account for relevant statistical properties of the predictors, and their results are compared with the standard OLS estimator. In addition, we follow the extended version of Westerlund and Narayan, constructed into a linear multi-predictive form by Makin et al. (J Int Money Financ 40:63–78, 2014) and Salisu et al. (Energy Econ, 2018), and a nonlinear (asymmetric) multi-predictive model by Salisu and Isah (Econ Model, 2018). We find that the augmented (oil-based) Phillips curve outperforms its traditional version, as well as time series models for both forecast samples. However, oil price asymmetric effects become evident when large samples are employed. Also, we find that the choice of estimator does matter for accurate inflation forecasts and by implication, accounting for the salient features of the predictors, if they exist, has implications on the forecast performance. Our results are robust to alternative oil price proxies and forecast measures.
相似文献The USD-INR currency pair has often been in the news for its excess volatility. This study examines the veracity of this belief by using the extreme value estimator proposed by Rogers and Satchell (Ann Appl Prob 1(4):504–512, 1991) and the VRatio proposed by Maheswaran et al. (J Emerg Mark Finance 10(2):175–196, 2011). The volatility in the USD-INR exchange rate is determined for the period beginning January 2009 and ending June 2015. The volatility of the GBP-INR and EUR-INR currency pairs is also determined for making comparisons. The results show that the EUR-INR and the GBP-INR currency pairs exhibit excess volatility, but not the USD-INR. This result runs counter to the commonly held view. This study also examines the volatility of the three currency pairs using the multiple-days’ time windows for better approximation of Brownian motion while embedding the jumps in the daily opening prices. There is no evidence to support the existence of excess volatility in the USD-INR.
相似文献This study examines the causal nexus between inflation and inflation uncertainty. In this regard, conventional Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models and Stochastic Volatility (SV) models are used to measure inflation uncertainty and Bai and Perron (Econometrica 66:47–78, 1998; J Appl Econom 18:1–22, 2003) test is used to identify structural breaks in inflation. The empirical evidence derived from the monthly data for the period from June 1961 to April 2011 suggests that the measure of inflation uncertainty obtained from SV model is more reliable than the measure obtained from GARCH model and also the causal nexus between inflation and inflation uncertainty seems to be significantly conditional upon the measure of uncertainty used. The structural break test identifies four episodes of inflation during the sample period, and the causality between inflation and its variability varies across different episodes. The inflation and its variance seem to be independent of each other during the first two regimes that cover the period from 1960 to 1980 and on the contrary, during the later period largely bidirectional causality is observed. Further, inflation seems to exert positive impact on inflation uncertainty, whereas inflation uncertainty has negative impact on inflation.
相似文献Nobel Prize winning economist James M. Buchanan has repeatedly argued that the “political economist should not act as if he or she were providing advice to a benevolent despot” (Boettke Constitutional Political Economy, 25, 110–124, 2014: 112), but an increasingly influential body of scholarship argues that Buchanan provided a wealth of early 1980s policy advice to Augusto Pinochet’s military dictatorship in Chile (e.g., Fischer 2009; Maclean 2017). In particular, Buchanan reportedly provided an analytical defense of military rule to a predominantly Chilean audience when he visited the country in late 1981. This paper draws upon largely ignored archival evidence from the Buchanan House Archives and Chilean primary source material to assess whether Buchanan provided a defense of Pinochet’s “capitalist fascism” (Samuelson 1983) or whether he defended democracy when he visited Chile in 1981. Aside from the importance of this for assessing Buchanan’s own legacy, his constitutional political economy arguments presented in Chile also provide an interesting and distinct perspective on the connection between democracy and growth, which remains highly relevant to current debates. Despite a general agreement about the desirability of democracy, the view that authoritarian regimes can spur “growth miracles”, or might even be a necessary stage in political-economic development, still has prominent supporters (e.g. Sachs 2012).
相似文献There has been significant research effort to study the impact of liberalisation on growth and distribution in India. Using per capita income (PCI) data for the period 1981–82 to 2012–13 (28 regions for the entire period and 31 regions for 2001–2 to 2012–13) at the sub-national level in India we examine the claims of divergence and stratification (twin peak formation) as has been claimed in some of the recent literature. We confirm that there is divergence of PCI. We present the first set of tests of multimodality in the Indian convergence debate using Silverman (J R Stat Soc 43:97–99, 1981; Density estimation for statistics and data analysis. Monographs on statistics and applied probability, Chapman & Hall, London, 1986) procedure. Weighted kernel density plots and multi-modal tests reveal that there is emergence of “multi-modes” in the distribution of PCI, not just twin modes. The spatial pattern of growth reflects an area of stagnation in the eastern-central belt—Bihar, Madhya Pradesh, Uttar Pradesh and Orissa, and in the north eastern part of India—Assam and Manipur and a decline in Mizoram. Sikkim demonstrates fastest growth, whereas Gujarat, Haryana, Kerala, Maharashtra, Punjab, Tamil Nadu (among the big states) and Himachal Pradesh, and Andaman and Nicobar (small state and Union Territories) maintained their position. Karnataka, and Andhra Pradesh (among the southern states), Arunachal Pradesh and Nagaland (among the north eastern states) along with Jammu and Kashmir, Uttarakhand and Chhattisgarh, moved up in the growth ladder. The continuation of growth stagnation in most of the BIMARU states poses a challenge to received theories of growth convergence and raises developmental concerns that the increased play of market forces in the Indian economy have not been able to overcome.
相似文献This paper examines the relationship between India’s quarterly overall GDP, manufacturing GDP and services GDP and the corresponding monthly data on overall manufacturing and services PMI for the period January 2006 to July 2014. The objective is to see if the two overall PMIs are related to the level and quarterly growth rate of overall GDP and its chosen components. Considering the quarterly time series nature of the data set, the HEGY equation of Hylleberg et al. (J Econom 44:215–238, 1990) extended by adding the PMI variables as exogenous regressors is used as the regression mode to relate a GDP level/growth rate variable to the two overall PMI variables. The results show that the three GDP level variables, but none of the GDP growth rate variables, have significant positive correlation with services PMI, but not with manufacturing PMI. Finally, the marginal effect of services PMI on manufacturing GDP level is found to be the largest, followed by that for overall GDP level and services GDP level.
相似文献In India, competition scenario in the general insurance sector changed since the year 2000–2001 with the entry of several private sector players in the respective market. While a few studies attempted to benchmark the performance of Industry players using early data available from the market regulator, the existing research studies have a number of weaknesses. Against this backdrop, the present paper seeks to evaluate the performance of 15 general insurance companies for the period 2009–2010 to 2013–2014 using a two stage approach. In the first stage, the study uses the dynamic DEA model suggested by Tone and Tsutsui (Omega, 38(3–4):145–156, 2010) to evaluate the in-sample companies in terms of slacks based measure of technical efficiency. In the second stage, the efficiency scores have been explained by solvency performance of the insurers in terms of a panel data censored regression model with robust residuals. The results indicate a very strong association between efficiency and solvency.
相似文献In this paper we consider the asymptotic properties of the Instrumental Variables (IV) estimator of the parameters in a linear regression model with some random regressors, and other regressors that are dummy variables. The latter have the special property that the number of non-zero values is fixed, and does not increase with the sample size. We prove that the IV estimator of the coefficient vector for the dummy variables is inconsistent, while that for the other regressors is weakly consistent under standard assumptions. However, the usual estimator for the asymptotic covariance matrix of the I.V. estimator for all of the coefficients retains its usual consistency. The t-test statistics for the dummy variable coefficients are still asymptotically standard normal, despite the inconsistency of the associated IV coefficient estimator. These results extend the earlier results of Hendry and Santos (Oxf Bull Econ Stat 67:571–595, 2005), which relate to a fixed-regressor model, in which the dummy variables are non-zero for just a single observation, and OLS estimation is used.
相似文献This paper examines the role played by local and international factors in the international integration process to stock markets worldwide. Using a sample of ASEAN + 3 (Association of South East Asian Nations + China, Korea and Japan) during the period between 2000 and 2014, we identify the main factors that might influence regional integration of stock markets. We propose an advantageous econometric approach based on a conditional version of the Dynamic International Capital Asset Pricing Model (ICAPM) to explore major sources of time-varying risks. We specifically apply the multivariate BEKK-GARCH process of Cappiello et al. (Journal of Financial Econometrics 25:537–572, 2006) to simultaneously estimate the ICAPM for each country. The study puts in evidence that regional trade openness, regional and world industrial production, dividend yields and commodity prices are among the key determinants of regional integration in the ASEAN + 3 context whatever is the measure of exchange rate risk.
相似文献This paper focuses on the causes of instability of money demand in Tunisia between 1973 and 2013. It has been argued that the main explanatory factors of money demand are national income, monetary market rate and exchange rate. We tested Ambler and McKinnon hypothesis (1985), which assumes that instability is explained by the absence of the nominal exchange rate in the specification of money demand. We found that structural changes are explained by the dependence of the national economy to world shocks, the IMF’s structural adjustment programme at the end of 1986.
相似文献This paper provides a simple technique of carrying out inference robust to serial correlation, heteroskedasticity and spatial correlation on the estimators which follow an asymptotic normal distribution. The idea is based on the fact that the estimates from a larger sample tend to have a smaller variance which can be expressed as a function of the variance of the estimator from smaller subsamples. The major advantage of the technique other than the ease of application and simplicity is its finite sample performance both in terms of the empirical null rejection probability as well as the power of the test. It does not restrict the data in terms of structure in any way and works pretty well for any kind of heteroskedasticity, autocorrelation and spatial correlation in a finite sample. Furthermore, unlike theoretical HAC robust techniques available in the existing literature, it does not require any kernel estimation and hence eliminates the discretion of the analyst to choose a specific kernel and bandwidth. The technique outperforms the Ibragimov and Müller (2010) approach in terms of null rejection probability as well as the local asymptotic power of the test.
相似文献Little has been done on network DEA in education, and nobody has attempted to model the whole education supply chain using network DEA. As such the contribution of the present paper is to evaluate the efficiency of Tunisian education supply chain with a network DEA developed by Kao and Hwang (Eur J Oper Res 185:418–429, 2008). The idea consists on subdividing the education system into three sub-processes, where, primary, secondary and tertiary education are linked by intermediate variables. Input variables of the whole education system are “the number of schools” and “the number of students enrolled in the first year of basic education”. Output generated from basic education “Promoted pupils from basic education” is the only input used by secondary education. The output variable “Graduates from secondary education” is then used by tertiary education to produce the output of the whole education system which is “Graduates from tertiary education”. The results of assessment show that most governorates have a lower efficiency scores in tertiary education compared to efficiency in basic and secondary education. The results of the efficiency scores ranking demonstrate an important similarity between the ranks of the whole education system efficiency and the tertiary education efficiency. This result confirms that the inefficiency of education in Tunisia is mainly due to the inefficiency of tertiary education.
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