Alcohol-related crashes and alcohol availability in grass-roots communities

This paper employs a unique panel data from 111 small non-metropolitan incorporated cities in California during a 108 month period from January 1981 to December 1989 in order to analyse the effect of alcohol availability on highway safety. Negative binomial regression models are estimated which include alcohol licences per square mile as a measure of alcohol availability. Theoretically, the sign of the alcohol licence density is indeterminate as it reflects a trade-off of its effect on traffic exposure and on the time price alcohol. Among the findings, increases in the density of general alcohol licences for off-site (on-site) alcohol consumption are beneficial (detrimental) to highway safety whereas increasing the density of beer/wine licences have non-uniform effects. Additional findings important to municipal policymakers are that DUI arrests and increasing the price of alcohol reduce alcohol-related crashes.     

Remittances and the real effective exchange rate

We examine the long-run relationship between remittances and the real exchange rate for less-developed countries. In a key departure from the literature, we employ a panel cointegration approach using an innovative method for the measurement of the multilateral real effective exchange rate and we focus on high-remittance economies. We find a small inelastic, but significant, long-run relationship which confirms a Dutch disease type effect. The short-run relationship is explored using a panel vector error correction model which confirms that short-run causality is unidirectional running from remittances to the exchange rate. Potential asymmetries in this relationship are identified using quantile regression analysis.     

Financial development and economic growth in Greece: an empirical investigation with Granger causality analysis

This paper empirically examines the causal relationship between the degree of openness of the economy, financial development and economic growth by using a multivariate autoregressive VAR model in Greece for the examined period 1960:I-2000:IV. The results of cointegration analysis suggest that there is one cointegrated vector among GDP, financial development and the degree of openness of the economy. Granger causality tests based on error correction models show that there is a causal relationship between financial development and economic growth, but also between the degree of openness of the economy and economic growth.     

Estimating the impact of incidents on urban controlled-access highways: an empirical analysis

An empirical analysis is developed that quantifies the impact of different types of traffic incidents on the speed and maximum flow averages of vehicles on a controlled-access highway. The incident types considered include damage to highway infrastructure, vehicle rollover, crashes (into stationary objects), collisions (with moving vehicles), rain, fog, vehicle breakdowns, pedestrians on roadway, etc. Using real-world data from Chile’s most heavily used urban motorway/freeway, estimates of incident impacts on speed are generated using a multiple linear regression model incorporating instrumental variables to correct for endogeneity. Flow results are then generated using the fundamental traffic equation relating speed, flow and density. A ranking of the impacts on highway traffic of the different incident types based on incident frequency as well as impact size demonstrates that for the real case studied, the incidents with the greatest cumulative effect are (in order of magnitude) vehicle breakdown, collisions and rain.     

财政收支、货币供给与经济增长关系及变化趋势

运用向量误差修正模型、Wald系数约束检验,对我国财政收支、货币供给与经济增长关系进行实证分析。研究发现:在短期内,财政收支、货币供给是经济增长的Granger原因,财政收支、经济增长是货币供给增加的Granger原因;但从长期看,财政收支、货币供给与经济增长的因果关系不显著。因此,结合当前我国人民币升值压力和通胀预期的实际,应将财政政策与货币供给政策配合使用,即数量型工具和价格型工具要搭配,短期政策和长期政策要相搭配。     

Exports,investments and economic development of pre-accession countries of the European Union: an empirical investigation of Bulgaria and Romania

This paper attempts to analyse the relationship between exports, investments and economic development in two pre-accession countries of the European Union, Bulgaria and Romania. For investigation of this relationship a multivariate autoregressive VAR model is used. The results of cointegration analysis showed that there is one cointegrated vector among exports, investments and economic growth for the two countries. Granger causality tests based on error correction models (ECM) indicated that there is a ‘strong Granger causal’ relation between economic growth and exports as well as between investments and exports for the two countries. In addition, economic development and capital accumulation in an economy seem to have just as much of an influence on exports as exports have on capital accumulation and economic development.     

The effects of oil shocks on government expenditures and government revenues nexus (with an application to Iran's sanctions)

The main purpose of this study is to investigate the dynamic relationship between government revenues and government expenditures in Iran as a developing oil export based economy. Moreover, I want to know how oil price (revenue) shocks can affect this relationship. The results of the impulse response functions and variance decomposition analysis indicate that the contribution of oil revenue shocks in explaining the government expenditures is stronger than the contribution of oil price shocks. Moreover the results of the vector autoregression (VAR) and vector error correction (VEC) models show that the strong causality is running from government revenues to government expenditures (both current and capital) in Iranian economy while the evidence for the reverse causality is very weak. Overall the results support the revenue–spending hypothesis for Iran. My results imply that those sanctions aiming to restrict the Iranian government's oil export revenues, potentially can affect the government total expenditures as an important engine for developing the Iranian economy.     

Trade liberalization and economic growth: a case study of Iran

We estimate the impact of trade liberalization and physical and human capital accumulation on Iran’s economic growth during the period 1959?2007. Using co-integration techniques and a vector error correction model, we find a unique long-run relationship between economic growth and its major determinants. These determinants include the physical and human capital stock, the labor force, real non-oil exports, and import tariffs. In addition, the short-term error correction dynamics analysis suggests that trade liberalization has a significant long run positive role in dynamic of growth. Our results support the view that the integration of the Iranian economy with the world economy is undoubtedly welfare improving.     

Stock prices and long-run demand for money: evidence from Malaysia

This paper investigates the money demand function for Malaysia in the 1971-1996 period using the multivariate cointegration and error correction model methodology. The results suggest that a stable long-run relationship exist between real M2, the interest rate differential, income and stock prices. Stock prices have a significant negative substitute effect on long-run as well as short-run broad-money demand (M2) and its omission can lead to serious misspecification in the money demand function. The analysis from the vector error correction model (VECM) and the Toda & Yamamoto (1995) causality tests find that money is endogenous and that there is at least a unidirectional relationship between stock prices and real M2. Stock prices Granger cause real M2 indirectly through income between interest rates and stock prices and stock prices and money stock. This paper comes to the conclusion that due to the endogeneity of money, M2 cannot be completely controlled by Malaysia's central bank. Therefore, in formulating future monetary policy, the response of money demand to stock prices should be considered.     

Foreign direct investment and growth in India: a cointegration approach

The two-way link between foreign direct investment and growth for India is explored using a structural cointegration model with vector error correction mechanism. The existence of two cointegrating vectors between GDP, FDI, the unit labour cost and the share of import duty in tax revenue is found, which captures the long run relationship between FDI and GDP. A parsimonious vector error correction model (VECM) is then estimated to find the short run dynamics of FDI and growth. Our VECM model reveals three important features: (a) GDP in India is not Granger caused by FDI; the causality runs more from GDP to FDI; (b) trade liberalization policy of the Indian government had some positive short run impact on the FDI flow; and (c) FDI tends to lower the unit labour cost suggesting that FDI in India is labour displacing.     

Changes in the relationship between short‐term interest rate,inflation and growth: evidence from the UK, 1820–2014

This paper examines the dynamic relationship between interest rates, inflation and economic growth using a long dataset for the UK. The approach adopted enables us to identify structural breaks in the dynamic system (vector autoregression (VAR)). We find interest rates respond much more strongly to growth and inflation over recent decades, and forecast error variance decomposition analysis indicates there is increasing interconnectedness between the variables in recent years. Economic policymakers need to carefully monitor the linkages between these variables and be prepared to adjust their monetary policy tools when faced with structural changes.     

Trucking deregulation and highway safety: The effect of the 1980 Motor Carrier Act

The relationship between deregulation in the trucking industry and highway safety is an important economic and social issue. Analyses thus far have concentrated on the relationship between the downward pressure imposed on freight rates by deregulation and total safety investment by firms. Two issues which have been ignored are the effects that deregulation had on route carriage restrictions and total firm mileage. We show that the inclusion of these factors yields a model in which the relationship between motor carrier deregulation and highway safety is dependent upon the relative effects of all three factors. Estimation of the model using accident data implies that trucking deregulation did not deteriorate highway safety and may have actually improved it.     

Index arbitrage and dynamics between REIT index futures and spot prices

This article contributes to the real estate literature by investigating the pricing relationship between REIT index futures and spot. Based on the cost-of-carry model, we first show that there exist three arbitrage regimes in Australia’s REIT spot-futures price dynamics. Further analysis indicates that the two thresholds, which separate the regimes, are largely consistent with the level dictated by transaction costs. We then estimate a threshold vector error correction model (TVECM). The results show that mean reversion of the mispricing error only takes place in the two outer regimes. Furthermore, we find evidence that REIT spot market is more informationally efficient than the futures market. Given its short history, it will take time for REIT index futures market to mature. Finally, we find that we can enhance hedging performance by accommodating the feature of threshold cointegration displayed by the data. As the futures-spot relationship differs across regimes, we can develop a hedging strategy by adjusting the hedge ratio based on arbitrage regimes. It leads to a greater variance reduction for the hedged portfolio than some conventional methods examined in the existing real estate literature.     

Assessing the causal relationship between euro-area money and prices in a time-varying environment

The paper provides new evidence on the causal relationship between money and price for the euro area using quarterly data for the period 1980 to 2006, employing two alternative methods of estimation: the vector error correction (VEC) and time-varying coefficient (TVC) estimation techniques. The latter technique has the advantage over the former technique in that it can deal with possible specification biases and spurious relationships that may have arisen from structural changes. The empirical results from the VEC method reveal a bidirectional causal relationship between money and prices. The results from the TVC technique suggest that money is acting as an exogenous process determining the price level.     

北京市区域生产总值与公路道路设施建设的关系——基于分布滞后模型

利用Almon方法,建立分布滞后回归模型,对北京市公路里程和GRDP两个经济指标的关系进行了研究,旨在考察道路建设对北京市GRPD的影响。研究表明,公路道路建设对北京区域经济发展具有长期持续的拉动作用。最后,科学推算出北京市公路道路的平均使用年限为22年。     

Real interest rates in regional economic blocs

This paper investigates the long run relationship of real interest rates within a number of economic blocs such as Asia-Pacific, Europe, North America using cointegration analysis and vector error correction models.     

Does Ecological Footprint Impede Economic Growth? An Empirical Analysis Based on the Environmental Kuznets Curve Hypothesis

This paper examines the relationship between income and environmental quality using environmental Kuznets curve (EKC) hypothesis. The hypothesised link is tested using time‐series analysis of 22 countries over the period 1961–2011. The degree of environmental impacts of economic activity is measured using ecological footprint (EF) per capita as explanatory variable, while real gross domestic product (GDP) per capita and its quadratic and cubic forms are used as predictor variables in these countries. First, the EKC hypothesis is tested through examining the relationship between EF and GDP using linear, quadratic and cubic functions. Further, the long‐run relationship between EF and GDP is investigated using a vector error correction model. It was found that there is a cointegrated relationship between the variables in almost all countries, which was statistically significant, and EKC supported in 10 countries. Additionally, almost all error correction terms are correct in sign and are significant, which implies that some percentage of disequilibria in EF in the previous year adjusts back to the long‐run equilibrium in the current year. Therefore, an efficient trade‐off between environmental protection and economic benefits should be taken, and EF should be reduced through changing consumption patterns, improving the efficiency of use of resources and cleaner technology choices.     

外商直接投资对中国农产品出口贸易结构的影响——基于1982～2006年时间数据的实证分析

文章研究农业外商直接投资的农产品出口贸易结构效应,运用协整与向量误差修正模型,就外商直接投资对中国农产品贸易商品结构的影响进行实证分析。研究结果表明,外商直接投资与农产品出口贸易之间存在互补关系,无论是初级农产品贸易还是农产品加工贸易,这种互补关系都是确定的。从长期来看,外商直接投资有利于中国农产品出口贸易结构的优化,短期内外商直接投资对农产品加工出口贸易促进作用有限。     

Stock-market crashes and depressions

Stock-market crashes are informative about the prospects for macroeconomic depressions. Long-term data for 30 countries reveal that, conditional on a crash, the probability of a minor depression is 31 percent and of a major depression is 10 percent. The largest depressions are particularly likely to be accompanied by crashes. We allow for flexible timing between crashes and depressions to compute the covariance between stock-returns and an asset-pricing factor, which depends on the decline of consumption during a depression. With a coefficient of relative risk aversion around 3.5, this covariance accounts for the observed average (levered) equity premium of 7 percent.     

The price relationship between organic and non-organic vegetables in the U.S.: evidence from Nielsen scanner data

This study investigates price relationships between organic and conventional carrots, tomatoes, and lettuce in the U.S. utilizing Nielsen scanner data from 2006–2015. We employ a threshold vector error correction model (TVECM), threshold vector autoregressive model (TVAR), and threshold cointegration test to test whether market integration exists between organic and conventional vegetables as well as the existence of asymmetric price transmission. The results find positive long-run relationships between organic and conventional prices of carrots and tomatoes and show the existence of asymmetric price transmission in price pairs of lettuce and tomatoes. Our findings suggest that the price relationship between organic and conventional vegetables varies by characteristics, such as shelf life, volatility in the price premium, and substitutability.