Taiwan's exports and trade imbalance against US and Japan: an empirical investigation based on error correction model

This study employs recent advances in time-series analysis, cointegration and error correction model, to examine the long-run and short-run determinants of the exports and trade imbalance between the USA, Japan, and Taiwan. The unit root tests reveal nonstationary in most of the variables. The cointegration tests affirm positive the long-run associations are between the exchange rate changes and the exports as well as the trade imbalance. Once these long-run effects are accounted for, it is found that there are evidences of short-run relationship between these variables.     

Election cycles in mining licensing: theory and evidence from Albania

Most of the literature on political business and budgetary cycles (PBBC) has focused on fiscal and monetary policy variables in advanced-country contexts. We extend this literature by investigating political cycle effects in a non-monetary, non-fiscal policy regime (the allocation of mining licences) in a transition country context. We propose a model of mining licensing that allows for corruption and for both supply and demand effects to determine the outcome. We then estimate this model using time-series data from post-communist Albania. Relying on a dynamic Poisson model, we find evidence of both opportunistic and partisan effects. Based on our theory, we suggest a corruption interpretation of political cycles in non-fiscal/non-monetary variables. This interpretation, we suggest, may be more applicable to the context of developing and transition countries. Our study raises important questions about the unintended (and often pernicious) effects of transition politics on economic regulation and economic performance in post-socialist economies.     

Unconventional monetary policy and the dollar–euro exchange rate: first results from time-series analysis

This article examines the impact on the US dollar–euro (USD–EUR) exchange rate of the unconventional monetary policy conducted by the US Federal Reserve (Fed) and the European Central Bank (ECB). To that end, we make use of time-series analysis to obtain a reasonable long-run and short run representation of the data generation process and use dummy variables to study how announcements about monetary policy changes can affect the USD–EUR exchange rate. Our results indicate that the announcement and subsequent implementation of such measures by the ECB would have caused an appreciation of the dollar, while those by the Fed would have caused a depreciation of the dollar.     

Macroeconomic effects of fiscal policy changes: A case of South Africa

This study develops comprehensive full-sector macro-econometric models for the South African economy with the aim of explaining and providing the macroeconomic effects of fiscal policy changes in the country. The models are applied to test the effectiveness of fiscal policy actions in an economic environment with existing structural supply constraints versus demand-side constraints and also to detect which components of the fiscal would be more effective in stabilising the economy. Based on the structure of the South African economy and the framework presented, the study concludes that the South African economy can be characterised as one which is embedded with structural supply constraints. Thus, a model which is suitable for policy analyses of the South African economy needs to capture the long-run supply-side characteristics of the economy. A price block is incorporated to specify the price adjustment between the supply-side sector and real aggregate demand sector. The models are estimated with time-series data from 1970 to 2011, capturing both the long-run and short-run dynamic properties of the economy. The results from the series of fiscal policy scenarios suggest that fiscal policy actions are more effective in an economic environment with limited or no supply constraints. Fiscal expansion or consolidation that comes more from government spending changes will be more effective in an economic environment where structural supply constraints are absent while tax revenue changes will be more effective in an economic environment where there exist major structural supply constraints.     

Pension Benefits and the Decline in Elderly Male Labour Force Participation*

This paper uses time-series econometric methods to unravel the causes of the secular decline in the labour force participation rate of males aged 65 years and over. The study finds that most of the sharp and sudden decline in the participation rate during 1972–76 is atria but able 10 more generous age pension benefits, with minor support from the discouraged worker effect associated with the current recession. A key feature of the model is the inclusion of several social security policy variables, apart from the value of the old-age pension. These policy variables include the 'free area' means test limit and the 1976 switch from a means to an income test.     

Testing for Equilibrium in the Australian Wage Equation*

In this paper a range of unit root and cointegration tests are applied to the time-series variables most commonly found in the various specifications of the Australian wage equation. We find a contradiction between the standard Dickey-Fuller (DF) tests and the results from Johansen estimation regarding the order of integration. The conclusion we reach using tests developed by Perron (1989,1990) is that all the variables are trend stationary processes and that the cointegration framework is inappropriate in this case.     

MONETARY POLICY CHANGES AND UNIT ROOT STATISTICS

Conventional unit root tests are biased towards non-rejection of the null when applied to variables characterized by a one-time change in their mean. Suggested modifications allowing for a break point require identification of an exogenous change initiated at the time of the break and not subsequently reversed. This paper suggests that modified tests are particularly useful in dealing with legislative changes. Two UK examples are given; the abolition of exchange controls in 1979 and the changes in monetary policy in 1980. Results suggest that allowing for a break changes the apparent order of integration of portfolio shares and real interest rates.     

ENDOGENOUS TRADE POLICY: A TIME-SERIES APPROACH*

This paper provides a time-series analysis on the relationship between the extent of endogenous trade policy and both political and economic variables. The chosen trade policy indicator is the number of foreign-trade regulations passed each year for the benefit of a single firm or industry. The data are from Uruguay, 1925–1983. This country, which experienced an impressive economic decline, is an outstanding example of the rent-seeking society. The paper shows that endogenous regulations increased with discretionary policies, with adverse macroeconomic shocks and under dictatorship. It also shows that these regulations had a negative long-run effect on the growth rates of output and exports. The short-run effect was positive however.     

Estimating ‘gamma’ for tail-hedge discount rates when project returns are cointegrated with GDP

Martin Weitzman has suggested a method for calculating social discount rates for long-term investments when project returns are covariant with consumption or other macroeconomic variables, so-called ‘tail-hedge discounting’. This method relies on a parameter called ‘real project gamma’ that measures the proportion of project returns that is covariant with the macroeconomic variable. We compare two approaches for estimation of this gamma when the project returns and the macroeconomic variable are cointegrated. First, we use Weitzman’s own approach, and second a simple data transformation that keeps gamma within the zero to one interval. In a Monte-Carlo study, we show that the method of using a standardized series is better and robust under different data-generating processes. Both approaches are examined in a Monte-Carlo experiment and applied to Swedish time-series data from 1950–2011 for annual time-series data for rail freight (a measure of returns from rail investments) and GDP.     

Changes in Indirect Taxes in Australia: A Dynamic General Equilibrium Analysis

Over the last thirty years, the effects of indirect taxation changes have been analysed using comparative static general equilibrium models. We use a new method to analyse current changes in Australia's indirect taxes: dynamic computable general equilibrium modelling. Comparative static methods compare the situation in a given year (usually unspecified) with and without a policy change. The dynamic method shows the effects of a policy change through time. Comparative static methods are usually restricted to estimates of long-run changes in allocative efficiency. The dynamic method provides information not only on efficiency but also on adjustment processes, including variations in employment. With our dynamic method, the effects of policy changes are analysed as deviations from explicit forecasts. We find that these forecasts are important for the policy results. For Australia's current set of indirect tax changes, our main conclusions are (i) the short-run employment effects depend critically on the wage response; (ii) merchandise exporters benefit but tourism is harmed; and (iii) the long-run welfare effectsare likely to be negative, reflecting a decline in the terms of trade and increased compliance costs.     

An Empirical Examination of the Fisher Effect in Australia*

This paper analyzes the Fisher effect in Australia. Initial testing indicates that both interest rates and inflation contain unit roots. Furthermore, there are indications that the variables have non-standard error processes. To overcome problems associated with this and derive the correct small sample distributions of test statistics we make use of Monte Carlo simulations. These tests indicate that while a long-run Fisher effect seems to exist, there is no evidence of a short-run Fisher effect. This suggests that, while short-run changes in interest rates reflect changes in monetary policy, longer run levels indicate inflationary expectations. Thus, the longer run level of interest rates should not be used to characterize the stance of monetary policy.     

Is per capita real GDP stationary in China? Sequential panel selection method

This paper investigates the time-series properties of per capita real GDP in China. The Sequential Panel Selection Method (SPSM) using the Panel KSS test with a Fourier function, a novel approach to panel unit testing, is applied to the data on 31 Chinese provinces over the period of 1979 to 2009. The SPSM classifies the whole panel into the group of stationary and non-stationary series, which identifies how many and which series are characterized by stationary processes. The results indicate that the per capita real GDP are non-stationary in all of these 31 regions in China, providing important policy implications.     

我国政府支出对人类发展指数影响的经验分析

文章用我国国家财政支出和预算外支出度量政府支出,计算出政府支出的增长率作为我国财政政策变动的代理变量,用我国的人类发展指数度量人类发展状况.对数据整理后,形成政府支出增长率和人类发展指数变动的时间序列.使用计量经济学的方法考察了政府支出变动对人类发展指数变动的影响,在借鉴其他学者对政府支出和经济增长关系研究成果的基础上,得出的基本结论是:在1990-2003年间,我国财政政策的变动和人类发展指数的变动没有显著的相关关系,二者之间也不能相互解释,我国财政政策依然是以拉动经济增长为政策偏向的,考虑财政政策变动的时滞,发现其对我国人类发展指数的影响为负.     

Malnutrition,child morbidity and the family decision process

A microeconomic model of the process by which infants and preschoolers are subject to malnourishment, diarrhea and other illnesses in developing countries is given. The model is econometrically based of a cross-section time-series for 1200 children from Candelaria, Colombia. Four primary issues are addressed: economic constraints and intra-family resource allocation decisions impacting on a child's nutritional and health status; the interrelationship between malnutrition, diarrhea, and other diseases; specific policy interventions (maternal-child health education, food supplementation and the encouragement of breast feeding) impacting on health and nutritional status; and the need to distinguish between the effect of different policy variables on a child's height and weight during infancy and preschool age. The observations were taken over a 7 year period during the Promotora maternal-child health program in Colombia.     

The Beveridge curve and labour market dynamics in Turkey

This article investigates the dynamics of unemployment and vacancy rates in Turkey during the period 1951 to 2008 by means of a Beveridge Curve (BC). The time-series analysis of unemployment and vacancies as well as two other relevant labour market variables, real wages and real labour productivity, strongly suggests inefficiency in the Turkish labour market. A stable long-run relationship between unemployment rate and vacancy rate is found for Turkey, that is, the existence of a negatively sloped BC is verified. The estimated Turkish BC reflects the structural problems and lack of flexibility in the labour market. The modified BC with real wages and labour productivity reveals that labour productivity has no significant effect on unemployment rate whereas wages have positive and significant effects on the same variable.     

Fiscal Multiplier in Microstates: Evidence from the Caribbean

The global financial crisis and the attendant Great Recession of 2007–2009 have spawned a full-scale re-examination on the effectiveness of fiscal policy throughout the world. While this has led to a plethora of analyses in developed countries, the same abundance of the work has not been evident for developing counties. This paper uses time-series analysis to examine the multiplier impact of fiscal policy on growth and other macroeconomic variables in the case of four Caribbean states. Although these countries have similar degrees of openness, they differ in debt burdens and economic structures, thus providing a natural laboratory for this investigation. We concluded that fiscal multipliers among the sample countries are quite low and that the contemporaneous fiscal stance appears to be pro-cyclical.     

Aggregated dynamic demand equations for specialistic-outpatient medical care

In this paper a dynamic model is presented which describes the development of the demand for specialistic medical care in The Netherlands, during the period 1960–1972. The “regionally correlated, time-wise auto-regressive” model is consistently estimated from a time-series of cross-sections, using a modified Aitken estimator. The dependent variables are the number of publicly insured patients referred from general care to specialistic care, and the amount of care consumed per patient referred. As independent variables we took demographic factors, the supply of different levels of medical care and the insurance system. The estimation results show a.o. important substitution possibilities between general and specialistic care, and a significant influence of supply and supply-related variables on the demand for specialistic care.     

农业经济增长及其影响因素的典型相关分析——以山西为例

根据山西省1991～2010年相关的时间序列数据,采用典型相关分析方法,构建了山西农业经济增长及其影响因素的典型相关模型,定量判别分析了各影响因素对农业经济增长的作用程度,得出三对典型相关变量,并对结果进行解释分析,为选择实现山西农业经济可持续增长的政策措施提供客观依据。     

Aid and public sector fiscal behaviour in failing states

This paper looks at interactions between foreign aid and the public sector in developing countries, especially those considered to be fragile or failing states. A model is proposed which employs actual budgetary appropriations and revenue estimates (rather than estimated target variables) and allows for asymmetric preferences. Variants of the model are estimated using time-series data for Papua New Guinea (PNG). PNG is classified as a fragile state by the international community owing to perceived policy and institutional inadequacies. Results obtained suggest that foreign aid increases consumption and investment expenditures and decreases tax revenues and the level of borrowing.     

A neoclassical model of acreage response for labor-intensive agriculture: The case of Egypt

Acreage response studies of both developed and less developed countries have consistently misspecified the neoclassical model of profit maximization by relying onad hoc models which failed to account properly for the effects of input prices, yield changes and total acreage scale. Using Egyptian aggregate time-series data and maximum-likelihood estimation techniques (of dynamic systems), the present study attempts to model and test the full implications of cultivators rational behaviour as well as the technical and institutional peculiarities of Egyptian agriculture, in the spirit of neoclassical production theory. In addition to prices and government controls, the model introduced the wage rate, productivity changes and total agricultural area as determinants of acreage mix; these variables gain special importance (policy-wise) as we deal with the process of agricultural development in LDCs with labor-intensive agriculture. The estimates obtained are remarkably stable, econometrically sound and, as such, are believed to have come closer to avoiding specification bias than previous studies.