Sustainability of current account deficits in India: an intertemporal perspective

This study examines the sustainability of current account deficits (CADs) and the validity of intertemporal budget constraint (IBC) in India. The long-run model is estimated on annual data for the period 1950–1951 to 2009–2010. The optimal single-equation and maximum-likelihood (ML) system estimates of the model provide a consistent support for the long-run relationship between imports and exports. The OLSGH estimates provide no support and that ML system estimates a consistent support for cointegration in both the models estimated with one and two structural breaks in level. The new cointegration breakdown tests generally suggest that the cointegration prevails from 1951 to 2010. The evidence supporting the cointegration between imports and exports overwhelms the evidence providing a mixed or no support for cointegration. The estimates of slope parameter above zero and the dominant support for cointegration between imports and exports vindicate the validity of IBC and the sustainability of CADs. The short-term management strategies need to be accompanied by long-term improvements in productivity to reduce inflation, lever up the competitiveness of exports and ensure the sustainability of the external value of domestic currency.     

Consumption-smoothing and the excessiveness of Greece's current account deficits

This paper investigates whether the sequence of current account deficits experienced in Greece over the 1950–1995 period have been excessive. The degree of excessiveness is gauged by comparing the actual current account series to an optimal current account measure derived from an intertemporal model of current account determination. The findings indicate that optimal consumption smoothing did not take place over the sample period suggesting that the existing restrictions to the free flow of capital were binding. More importantly the stock of net foreign liabilities was found to have been set on an unsustainable path following the 1989/90 balance of payments crisis yet there is clear evidence that this tendency has been gradually reversed during the last couple of years. First version received: October 1996/Final version received: November 1997     

Causality tests of the relationship between the twin deficits

We re-examine the causality between the twin deficits by testing for Granger non-causality between BD and CAD based on extended causality tests initially developed by Toda and Yamamoto (1995). Using international data from a sample of twenty developed and developing countries, we find evidence of causality (unidirectional or bi-directional) between the twin deficits for some developing countries. However, the results for developed countries are less persuasive. The empirical findings of this study are robust to alternative and independent causality testing procedures.Final revision received: July 2001/Final version received: March 2002     

The energy-GDP nexus: Evidence from a panel of Pacific Island countries

The Pacific Island countries are small island economies that are increasingly dependent on energy for growth and development, yet highly susceptible to climate change. Thus, the relationship between energy consumption and GDP is crucial for realizing their future development and growth objectives. This article tests for Granger causality and provides long-run structural estimates for the relationship between energy consumption, GDP and urbanization for a panel of Pacific Island countries. For the panel as a whole in the long-run there is bidirectional Granger causality between energy consumption and GDP and these variables exert a positive impact on each other. A 1% increase in energy consumption increases GDP by 0.11%, while a 1% increase in GDP increases energy consumption by 0.23%. The findings suggest that for the panel as a whole these countries should increase investment in energy infrastructure and regulatory reform of energy infrastructure to improve delivery efficiency, continue to promote alternative energy sources and put in place energy conservation policies to reduce unnecessary wastage. These strategies seek to realize the dual objectives of reducing the adverse effects of energy use on the environment, while avoiding the negative effect on economic growth of reducing energy consumption.     

Cross-country evidence on the relation between stock prices and the current account

This article explores the relation between stock prices and the current account for 17 Organization for Economic Co-operation and Development (OECD) countries in 1980–2007. A panel Vector Autoregressive (VAR) model is used to compare the effects of stock price shocks to those originating from monetary policy and exchange rates. While monetary policy shocks have little effects, shocks to stock prices and exchange rates have sizeable effects. A 10% contraction in stock prices improves the current account by 0.3% after 2 years. Hence a channel – in addition to the traditional exchange rate channel – is found through which external balance for an OECD country with a current account imbalance can be restored.     

服务业增长与创新的因果关系研究——基于天津的数据

本文利用1978—2006年天津市的时间序列数据,运用单位根检验、协整检验以及误差修正模型等现代计量经济学方法和工具,以天津市为例,对服务业创新与服务业增长之间的关系进行了实证研究。研究结果表明:天津市服务业发展水平与服务业制度、技术创新之间存在长期稳定的均衡关系,且服务业制度和技术的创新与服务业发展水平具有单向因果关系。     

Skyscraper height and the business cycle: separating myth from reality

This article is the first to rigorously test how skyscraper height and output co-move. Because builders can use their buildings for nonrational or nonpecuniary gains, it is widely believed that height competition occurs near the business cycle peaks. This would suggest that extreme building height is a leading indicator of GDP, since the tallest buildings are likely to be completed at or near the peak of a cycle. To test these claims, first we look at both the announcement and the completion dates for record-breaking buildings and find there is very little correlation with the business cycle. Second, cointegration and Granger causality tests show that while height and output are cointegrated, height does not Granger cause output. These results are robust for the United States, Canada, China and Hong Kong.     

Export-led growth: the case of the Slovenian and Estonian economies

The export-led growth hypothesis is investigated in the case of the two small, open and export-oriented Slovenian and Estonian economies. The Johansen cointegration test and Granger causality test were applied to investigate the relationship between the time series variables for export, import and gross domestic product (GDP). The results reveal evidence to support the export-led growth hypothesis in both economies. The Granger causality relationship is found between export growth and economic (GDP) growth for both countries. Slovenia and Estonia can enhance economic growth by providing a better enabling environment for exporters and by market expansion.     

Unit Root Analyses of the Causality Between Japanese Money and Income

Unit root techniques and cointegration analysis have develop ed considerably in the last ten years. At the same time, the nonstationary test for Granger causality has been developed. We shed some new light on Japanese money supply and income causality by using nonstationary techniques. We specify univariate ARMA models of money, income, GNP deflator and rate of interest, initially by using the Dickey and Fuller (DF) or the augmented DF (ADF) tests. Two diagnostic tests are applied to each selected ARMA regression. One is the residual DF test, and the other is the moving average (MA) unit root test of residuals . After selecting the ARMA model, some causality tests are applied to the error correction model (ECM) of a vector autoregression (VAR) one of which is ordinary least squares (OLS) and another is the maximum likelihood (ML) method. The former requires only the standard F -test on the deleted variables in the ECM. The latter requires the Johansen's ML method in estimating cointegration. Causality is found to go from income to money supply but not the other way. Appendices include a simple implementation of the MA unit root test, a pedagogical proof of the Granger causality tests developed by Toda and Phillips (1993) and an interpretation of the test proposed by Toda and Yamamoto (1995).
JEL Classification Numbers: C32, E50     

Credit growth,current account and financial depth

Exploring the determinants and dynamics of the current account balance is one of the priorities of academic literature and policy circles. Although the effects of structural variables are deeply analysed, a lesser attention has been paid to the impact of financial variables. Drawing on standard empirical current account models and with a large sample of industrial and developing countries, we report a significant deterioration in the current account balance in case of an increase in the credit growth. Moreover, we find that this link is substantially stronger for the developing ones motivating a closer examination. Therefore, we further advance our analysis and show that credit growth causes a stronger impact on the current account balance for lower levels of financial depth. In other words, at the early stages of financial development, acceleration in the credit growth might cause a larger deterioration in the current account balance; thus, it might be suggested that monetary policy and macro-prudential measures aimed at preventing financial excess might be more effective to reduce the external imbalances at the early stages of financial deepening.     

The long-run effect of aid on health: evidence from panel cointegration analysis

Although a major objective of aid donors is to improve health outcomes in recipient countries, there is relatively little research on whether aid to the health sector leads to improved health outcomes, and even less on the impact of total aid. This paper examines the relationship between total aid and population health using panel cointegration and causality techniques designed to deal with problems afflicting previous aid-health studies: spurious regressions, omitted variables, endogeneity, cross-sectional dependence, and parameter heterogeneity. The main results are: (i) aid has, on average, a small but negative long-run effect on health, (ii) while the long-run (or trend) effect of aid on health is negative, the short-run (temporary) effect of aid on health is positive, (iii) causality runs in only one direction, from aid to health, and (iv) aid worsens health mainly in sub-Saharan countries, but has a positive, albeit statistically insignificant, long-run impact on health in Latin American and Caribbean countries and in countries with negative values of net ODA.     

Cointegration and causality in the exports-GDP nexus: The post-war evidence for Canada

This paper tests for unit roots, cointegration, and Granger-causality in the exports-GDP nexus in Canada 1947–96, using both bivariate and trivariate models. Contrary to previous studies we cannot conclude that economic growth is either export-led, or output-driven, but rather that strong bi-directional causality exists between Canadian exports and GDP, and the GDP of its main trading partner, the United States. First version received: April 1998/final version received: March 1999     

网络搜索对股票市场的预测能力:理论分析与实证检验

网络搜索数据记录了数以亿计的搜索关注与需求,为研究市场交易行为提供了必要数据基础。本文以股票市场为例,首先从微观的投资者行为视角建立一个理论框架,揭示了网络搜索与股票市场之间存在一定的先行——滞后关系。然后,在时差相关分析的基础上,根据经济含义将搜索数据合成为三类搜索指数:股民行动指数、市场行情指数、宏观形势指数。实证检验得出,搜索指数与上证指数年收益率正相关且存在协整关系。在长期趋势中,三类搜索指数分别每增加1个百分点,年收益率将增加0.22、0.56、0.83个百分点。进一步的Granger因果关系检验表明,搜索指数对上证指数年收益率具有显著的预测能力。     

Inflation‐Growth Profiles Across Countries: Evidence from Developing and Developed Countries

There is growing evidence from multi‐country studies indicating that there is a turning point in the relationship between inflation and economic growth beyond which the detrimental effects of high inflation offset the stimulating effects of mild inflation on growth. However, it is not clear whether it is appropriate to assume an identical turning point in the inflation and growth relation across countries at various stages of development. Using a non‐linear specification and the data from four groups of countries at various stages of development, this paper examines the possibility for a family rather than a single inverted U relation across countries at various stages of development. The estimated turning points are found to vary widely from as high as 15% per year for the lower‐middle‐income countries to 11% for the low‐income countries, and 5% for the upper‐middle‐income countries. No statistically detectable, long‐run relationship between inflation and growth is evident for the OECD countries. The results indicate the potential bias in the estimation of inflation–growth nexus that may result from combining various countries at different levels of development. The existence of such a degree of heterogeneity across countries at various stages of development also suggests the inappropriateness of setting a single, uniform numerical policy target applicable to all (developing) countries.     

西藏旅游产业发展与经济增长的相关性研究

选取西藏1989—2010年旅游统计数据,运用协整检验、Granger因果检验等方法,对西藏旅游产业发展与经济增长进行实证分析。结果显示,西藏旅游总收入、旅游外汇收入与地区生产总值之间均存在着长期协整关系;西藏旅游总收入与地区生产总值之间互为格兰杰原因,西藏地区生产总值不是旅游外汇收入的格兰杰原因。     

三次产业结构与我国经济增长关系的实证研究

通过对我国经济增长与产业结构的实证分析,认为中长期内我国经济增长仍是工业占有主导地位,城市化进程仍需要一段时期。但在我国经济增长短期却发生了增长动力的变化,第三产业已经超越第二产业成为我国经济增长的“第一动力”。格兰杰因果检验也同时表明,第三产业将逐渐替代第二产业成为我国经济增长的主导性力量。     

我国碳排放权交易市场与股票市场的关联:基于非线性Granger因果检验与非平衡面板模型的实证分析

碳排放权交易市场作为金融市场的一部分,与股票市场有着一定的联动性.我国在2017年底开启全国性碳排放交易市场,其关联必将引起越来越多的关注.本文一方面通过线性Granger因果检验与非线性Granger因果检验综合检验各碳交易试点地区的碳收益率与股票市场整体的相关性,研究结果发现只有广东、天津的碳收益与深证综指和湖北与上证综指之间存在单向的Granger因果关系,而北京、上海、广东与上证综指、深证综指存在双向或单向的非线性Granger因果关系;另一方面,通过对各碳排放权交易试点地区的价格、收益率与试点区域股票市场的相关性进行非平衡面板数据的实证分析,发现碳排放权交易试点地区与其区域股市在长期、短期上都存在显著的关联性.     

Threshold effects in the patent-growth relationship: a PSTR approach for 60 developed and developing countries

ABSTRACT

This study analyzes whether there is a threshold effect in the innovation-growth relationship. Using data from the period 2008–2017, we perform an analysis using 60 countries in the whole sample and a split-sample analysis in which we separate developed countries (36) from developing countries (24). The results for the panel smooth transition regression (PSTR) model indicate that there is a threshold effect in the innovation-growth relationship. We find that below the threshold, the effect of innovation measured by the number of patents is not significant for developed and developing countries. However, surpassing the optimal threshold, the effect becomes positive only for the whole sample and developed countries. Furthermore, findings also indicate that research and development expenditure, domestic and foreign investments stimulate economic growth.     

中国城市化与经济增长的动态计量分析

为探讨我国城市化与经济增长之间的相互作用和相互影响,文章依据1978~2004年的时序数据,利用协整检验、格兰杰因果检验、误差修正模型、脉冲响应及方差分解等方法,对城市化水平与经济增长的关系进行动态计量分析。结果发现,经济增长是城市化水平提高的格兰杰原因,经济增长对城市化产生较大的正向冲击效应,而城市化对经济增长的作用强度不大;城市化水平受人均GDP影响的效应逐步增强,受自身影响的效应不断减弱,而人均GDP受自身波动影响的效应不断上升,受城市化水平影响的强度逐步下降。对我国城市化与经济增长关系的深入认识,有利于各级政府在推动城市化和促进经济增长的过程中采取合理对策,避免走入误区。     

上海股票市场收益率与成交量因果关系研究

线性因果关系检验结果表明,在股市得到快速发展和市场交易制度改善后,我国股市量价因果关系阶段性异质特征明显,我国股票市场量价关系从因果关系不显著发展为具有双向因果关系.同时,非线性因果关系检验也得到类似的结论,不同之处在于在取消涨跌停板制度后的第二阶段,虽然不存在交易量对收益的线性因果关系,但存在非线性格兰杰因果关系.所有检验结果表明我国股市在交易制度转变后,市场结构也同时发生了根本变化.