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 article, the authors investigated the relationship between CO 2 emission and four potentially contributing factors (i.e., energy consumption, income, trade openness and population) using time series data from 1971 to 2013 on five selected economies of South Asia.
Abstract: This study empirically investigates the relationship between CO 2 emission and four of its potentially contributing factors (i.e., energy consumption, income, trade openness and population) using time series data from 1971 to 2013 on five selected economies of South Asia. After confirming that all the series are stationary using unit root test process, the study incorporates three different and advance panel cointegration tests i.e. Pedroni- Kao- and Johansen-Fisher-panel cointegration. All the panel cointegration tests confirm that all the variables cointegrated. The long-run association between the variables is checked using FMOLS-grouped and individual cross-section country in the panel. The FMOLS grouped results show that energy consumption, trade openness and population increases environmental degradation in the panel countries with exception of income which has negative impact and sounds the existence of Environmental Kuznet curve between income and emission. The innovative accounting approach using variance decomposition test and impulse response function is applied to examine the causality amongst the underlined vectors. The results show that there is bidirectional causality between energy consumption and trade openness and uni-directional causality running from energy consumption, trade openness and population to CO 2 emission. The results enumerate that the energy consumption and population density will increase in long-run and foresee further environmental degradation in the region.
123 citations
TL;DR: In this paper, the determinants of bank credit to the private non-financial sector in 16 industrialized countries based on a cointegrating VAR are analyzed. And the authors suggest that innovations to property prices may give rise to significant and persistent cycles in bank lending and are thus a potential explanation for the persistent financial cycles observed in the past.
Abstract: In this study, we analyse the determinants of bank credit to the private non-financial sector in 16 industrialized countries based on a cointegrating VAR. Cointegration analysis suggests that property prices are an important determinant of the long-run borrowing capacity of the private sector, which needs to be taken into account to explain the long-run movements of bank lending. Impulse response analysis reveals that innovations to property prices also have a highly significant and persistent positive dynamic effect on bank lending. This result suggests that innovations to property prices may give rise to significant and persistent cycles in bank lending and are thus a potential explanation for the persistent financial cycles observed in the past.
123 citations
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TL;DR: In this article, a cointegration framework is used with single equation equilibrium correction models to investigate the short-run and long-run equilibrium determinants of the quarterly real exchange rate, 1970:1-1995:1.
Abstract: The real exchange rate is a key policy variable in South Africa’s open economy. A cointegration framework is used with single equation equilibrium correction models to investigate the short-run and long-run equilibrium determinants of the quarterly real exchange rate, 1970:1–1995:1. The cointegrated equilibrium is obtained from a theoretical model characterising equilibrium as the achievement of internal and external balance for sustainable capital flows and trade and tax regimes, and given terms of trade and technology. For a spectrum of exchange rate regimes, we discuss the evolution of a broad range of theoretical economic fundamentals and short-run policy factors.
123 citations
TL;DR: In this paper, the authors model cross-market Bitcoin prices as long-memory processes and study dynamic interdependence in a fractionally cointegrated VAR framework, finding long memory in both individual markets and the system of markets depicting nonhomogeneous informational inefficiency.
123 citations
TL;DR: In this article, the authors investigated the relationship between market structure and profitability of commercial banks in Malawi using time series data between 1970 and 1994 using time-series techniques of cointegration and error-correction mechanism.
Abstract: This article investigates the relationship between market structure and profitability of commercial banks in Malawi using time series data between 1970 and 1994 It uses time-series techniques of cointegration and error-correction mechanism to test the collusion hypothesis and determine whether a long-run relationship exists between profits of commercial banks and concentration in the banking industry The results obtained from the study support the traditional collusion hypothesis of a long-run positive relationship between concentration and performance The dynamic short-run analysis also shows a high speed of adjustment in profitability from disequilibrium and indicates a positive response in profitability to a negative deviation from a long-run equilibrium
123 citations