Topic
Cointegration
About: Cointegration is a research topic. Over the lifetime, 17130 publications have been published within this topic receiving 506215 citations.
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TL;DR: In this paper, the authors present an empirical analysis of the aggregated import demand behavior for Malaysia, and estimate the long-term relationship between import demand and its determinants, namely income and relative prices, using a robust estimation method known as the Unrestricted Error Correction Model - Bounds Test Analysis.
Abstract: This paper presents an empirical analysis of the aggregated import demand behaviour for Malaysia. The study involved a small sample of annual data from 1970 to 1998. To estimate the long-term relationship between import demand, and its determinants, namely income and relative prices, a robust estimation method known as the Unrestricted Error Correction Model - Bounds Test Analysis was used. The results show that import volume, income and relative prices are cointegrated. The estimated long-run elasticites of import demand with respect to income and relative prices are 1.5 and -1.3 respectively. This implies that monetary, fiscal and exchange rate policies can be used as instruments to maintain favourable trade balance.
127 citations
TL;DR: In this paper, two competing hypotheses regarding financial development and economic growth are empirically investigated, in the context of supply-leading and demand-following finance, in Singapore as a country which has implemented financial restructuring strategies that, arguably, amount to a'supply-leading finance' experiment.
Abstract: Two competing hypotheses regarding financial development and economic growth are empirically investigated, in the context of supply-leading and demand-following finance. The focus is on Singapore as a country which has implemented financial restructuring strategies that, arguably, amount to a ‘supply-leading finance’ experiment. By drawing on some developments in economic theory over the last three decades, hypotheses are formulated within a statistical framework, namely a bivariate vector autoregressive (BVAR) model. A battery of econometric techniques are applied to test for stationarity, cointegration, exogeneity and Granger-causality. The evidence largely supports the supply-leading hypothesis only when broad monetary aggregates and a monetization variable are used as surrogates for financial development. It is concluded that there is a plausible case for those economies which intend to adopt a financial restructuring strategy driven by a supply-leading policy stance that involves enhanced monetizatio...
127 citations
TL;DR: In this paper, the effects of economic variables on electricity demand in the GCC countries were investigated using co-integration and error-correction methodologies, and it was shown that both income and price have an impact on electricity consumption.
126 citations
TL;DR: In this article, the authors investigated whether income inequality contributes to environmental degradation in China and India, where both countries are giving a great concern about the implications of their unsustainable energy consumption to the environment not only to themselves but also to the global environmental sustainability.
Abstract: The aim of this paper is to test whether income inequality contributes to environmental degradation in China and India, where both countries are giving a great concern about the implications of their unsustainable energy consumption to the environment not only to themselves but also to the global environmental sustainability. By applying the bounds test approach to cointegration we found in both countries a long-run but not a statistically significant relationship between income inequality and CO 2 emissions both in the long-run and in the short-run. The robustness of our cointegration results is also ascertained by using three different long-run tests. Furthermore, applying the variance decomposition analysis to examine the dynamic causal relationship between the Gini coefficient of income distribution and CO 2 emissions, we found that income inequality was the least important factor in determining CO 2 emissions and that there was no causality running in any direction between CO 2 emissions and income inequality in both countries. Still income and energy consumption are the major determinants of CO 2 emissions in both countries. Nevertheless, even though the evidence is not statistically significant, in the case of China it indicates that reducing income inequality can have a positive impact on environmental quality, while in India redistributing income to improve environmental degradation may not be effective.
126 citations
01 Jan 2001
TL;DR: This paper developed tests for roots in linear time series which have a modulus of one but which correspond to seasonal frequencies and used them to examine cointegration at different frequencies between consumption and income in the U.K.
Abstract: This paper develops tests for roots in linear time series which have a modulus of one but which correspond to seasonal frequencies. Critical values for the tests are generated by Monte Carlo methods or are shown to be available from Dickey-Fuller or Dickey-Hasza-Fuller critical values. Representations for multivariate processes with combinations of seasonal and zero-frequency unit roots are developed leading to a variety of autoregressive and error-correction representations. The techniques are used to examine cointegration at different frequencies between consumption and income in the U.K.
126 citations