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Tytuł:
Impact of climate variability on yield of maize and yam in Cross River State, Nigeria: An autoregressive distributed lag bound approach
Autorzy:
Edet, E. O.
Udoe, P. O.
Isong, I. A.
Abang, S. O.
Ovbiroro, F. O.
Powiązania:
https://bibliotekanauki.pl/articles/1031443.pdf
Data publikacji:
2021
Wydawca:
Przedsiębiorstwo Wydawnictw Naukowych Darwin / Scientific Publishing House DARWIN
Tematy:
Sustainable development
error correction model
food security
yield
Opis:
The study examined the impact of climate variability on yield of maize and yam in Cross River State, Nigeria. The specific objectives of the study were to determine the long-run and short-run impact of climate variability factors on yields of maize and yam. Data were sourced from the Nigerian Meteorological Agency (NiMeT) and Cross River State Ministry of Agriculture spanning from 1990-2016. Data obtained were analyzed using inferential statistics. Precisely, the model was estimated by the Ordinary Least Squares (OLS) multiple regression technique, which is within the Autoregressive Distributed Lag Bound approach and error correction testing framework. Both model-1 (maize yield) and model-2 (yam yield) passed through the conditions of the diagnostics and stability test. The study revealed that climate variables had a significant impact on maize yield both in the long and short-run. Based on the findings, it was concluded that proactive measures should be put in place to aid crop farmers adapt to the prevailing and looming threats of climate variability for the purpose of attaining the State’s food security balance sheet. To sustain this drive, an institutional and infrastructural support system is advocated in order to meet one of the goals of sustainable development agenda of the United Nations. Policy recommendations on how to cushion the impact of climate variability on the prescribed crops have been appropriately cited.
Źródło:
World News of Natural Sciences; 2021, 36; 60-74
2543-5426
Pojawia się w:
World News of Natural Sciences
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The influence of money supply on inflation in Nigeria
Autorzy:
Amassoma, Ditimi
Sunday, Keji
Onyedikachi, Emma-Ebere
Powiązania:
https://bibliotekanauki.pl/articles/522429.pdf
Data publikacji:
2018
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Central Bank of Nigeria
Error correction model
Granger causality
Opis:
Aim/purpose – The aim of this study is to empirically investigate the influence of money supply on inflation in Nigeria. The study was borne out of the curiosity to reexamine the immediate cause of the alarming rate of inflation in Nigeria which is adversely affecting the general welfare of Nigerian populace. Design/methodology/approach – The study employed co-integration test and error correction approach on annual time series data spanning from 1970 to 2016 to ascertain both the long run and short run dynamics relationship among the variables under consideration. Findings – The results showed that money supply does not considerably influence inflation both in the long and short run possibly because the country is in recession. The error correction model has the correct sign of negative and it is significant meaning that about 21% of the errors are corrected yearly. The Granger causality outcome demonstrates that, there is no causality between money supply and inflation in Nigeria within the study period and vice-versa. Research implications/limitations – The implication of this is often that there are different economic conditions which are key determinant of inflation in Nigeria. The study recommends that the government should diversify the economy, minimise importation by encouraging local production of products and services. The Central Bank of Nigeria should guarantee an exchange rate policy that is essentially determined by the state of the economy and not by speculators being a net importation economy. Also, the Central Bank of Nigeria should look inwards into the current interest rate and see how it can be regulated in such a way that will encourage private and foreign investors to be able to invest in the country. This in turn, successively increases income, infrastructure development and economic growth at large. Originality/value/contribution – This paper has been able to confirm that money supply is not a key factor that trigger up inflation in Nigeria.
Źródło:
Journal of Economics and Management; 2018, 31; 5-23
1732-1948
Pojawia się w:
Journal of Economics and Management
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Determinants of trade balance in Polish and Czech manufacturing sectors
Autorzy:
Olczyk, Magdalena
Kordalska, Aleksandra
Powiązania:
https://bibliotekanauki.pl/articles/22446541.pdf
Data publikacji:
2018
Wydawca:
Instytut Badań Gospodarczych
Tematy:
CEE economies
trade balance
international competitiveness
manufacturing
error correction model
Opis:
Research background: A strong industrial base is essential for achieving long-term sustainable economic growth and export competitiveness. In that sense, manufacturing remains a significant contributor to exports in the CEE countries. How-ever, its role and its influence vary between CEE economies and change over time. Purpose of the article: The main objective of this paper is to compare the determinants of the international competitiveness, measured by the net exports of the manufacturing sectors in the Czech and Polish economies, by using the database of 13 manufacturing sub-sectors in 1995-2011. The authors research the question of how much foreign and domestic demand, the level of labour costs, the level of sector innovation intensity, the level of sector openness to foreign markets as well as sectoral labour productivity influence the changes in trade balance. Methods: Our approach is based on employing an error correction model and SUR model to disaggregated sectoral manufacturing data. Findings & Value added: The results of the analysis conducted show substantial differences in the roles particular variables play in explaining the net exports in individual sectors. For the majority of Polish and Czech manufacturing sub-sectors, generation of positive trade balance is determined by relative demand growth. An increasing labour productivity influences heavily a positive trade balance of Polish goods in majority of sub-sectors, however, a key factor in Czech sub-sectors is decreasing unit labour costs. The results of the analysis indicate mostly a greater impact of the researched factors on net exports in long rather than short term and the better capacity of the Czech economy to correct deviations from the equilibrium.
Źródło:
Equilibrium. Quarterly Journal of Economics and Economic Policy; 2018, 13, 3; 445-466
1689-765X
2353-3293
Pojawia się w:
Equilibrium. Quarterly Journal of Economics and Economic Policy
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Reaction of the interest rates in Poland to the interest rates changes in the USA and euro zone
Autorzy:
Przekota, Grzegorz
Waściński, Tadeusz
Sobczak, Lidia
Powiązania:
https://bibliotekanauki.pl/articles/453096.pdf
Data publikacji:
2011
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
interest rates
world markets
cointegration analysis
Error Correction Model (ECM)
Opis:
Behavior of interest rates is of key importance for understanding the functioning of an open economy. The simplest models usually assume equal interest rates in individual countries, while the international arbitrage serves as a mechanism of their equalization. In our study an attempt has been made to determine whether and to what extend the interest rates in the Polish market are linked to the USA and the euro zone exchange rates. The analyses have been carried out for rates of different maturity terms, using the integration and co-integration concept.The analyses indicate that differences between the Polish interest rates, and those in the USA and the euro zone have strongly diminished. Cointegration analyses show the existence of a long-term linkages between the domestic and foreign interest rates, in particular with those in the euro zone. The nature of co-integrating relationships was different in the period 2001-2004 as compared with that after 2004, when we see a stronger impact of the euro zone rates than those of the USA. It may be assumed that the Polish accession to the EU had certain influence in the change of the above mentioned relationships.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2011, 12, 1; 125-134
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Wpływ światowych cen ropy naftowej na ceny w Polsce
World oil price impact on prices in Poland
Autorzy:
Baranowski, Paweł
Sztaudynger, Jan Jacek
Powiązania:
https://bibliotekanauki.pl/articles/424758.pdf
Data publikacji:
2014
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
oil price
producer price
consumer price
Vector Error Correction Model
Opis:
The world oil price is an exogenous as well as key component and factor influencing domestic prices (especially transportation). The question is: how the oil price influences producer and consumer prices. We focus on a short- and long-term relationship between the domestic prices and oil price (expressed in Polish zloty). We use Vector Error Correction Models, with cost-based specification, i.e. including additionally wages and euro-zloty exchange rate. The degree of estimated long-term pass-through oil prices to producer and consumer prices is 0,15 and 0,05, respectively. Both producer and consumer prices have comparable size of short-term reaction to an oil price shock, but the producer price reaction is more prolonged.
Źródło:
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2014, 2(44); 9-16
1507-3866
Pojawia się w:
Econometrics. Ekonometria. Advances in Applied Data Analytics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Crude Oil Price and Speculative Activity: A Cointegration Analysis
Autorzy:
Socha, Robert
Wdowiński, Piotr
Powiązania:
https://bibliotekanauki.pl/articles/2076245.pdf
Data publikacji:
2018
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
crude oil price
speculation
futures
cointegration
vector error correction model
Opis:
The aim of the study is to discuss the relationship of the crude oil price, speculative activity and fundamental factors. An empirical study was conducted with a VEC model. Two cointegrating vectors were identified. The first vector represents the speculative activity. We argue that the number of short noncommercial positions increases with the crude oil stock and price, decreases with the higher number of long non-commercial positions. A positive trend of crude oil prices may be a signal for traders outside the industry to invest in the oil market, especially as access to information could be limited for them. The second vector represents the crude oil price under the fundamental approach. The results support the hypothesis that the crude oil price is dependent on futures trading. The higher is a number of commercial long positions, the greater is the pressure on crude oil price to increase.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2018, 3; 263-304
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Analysis of budget deficits and macroeconomic fundamentals: A VAR-VECM approach
Autorzy:
Epaphra, Manamba
Powiązania:
https://bibliotekanauki.pl/articles/522020.pdf
Data publikacji:
2017
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Budget deficit
Macroeconomic variables
Vector Autoregression
Vector Error-Correction Model
Opis:
Aim/purpose – This paper examines the relationship between budget deficits and selected macroeconomic variables in Tanzania for the period spanning from 1966 to 2015. Design/methodology/approach – The paper uses Vector autoregression (VAR) – Vector Error Correction Model (VECM) and variance decomposition techniques. The Johansen’s test is applied to examine the long run relationship among the variables under study. Findings – The Johansen’s test of cointegration indicates that the variables are cointegrated and thus have a long run relationship. The results based on the VAR-VECM estimation show that real GDP and exchange rate have a negative and significant relationship with budget deficit whereas inflation, money supply and lending interest rate have a positive one. Variance decomposition results show that variances in the budget deficits are mostly explained by the real GDP, followed by inflation and real exchange rate. Research implications/limitations – Results are very indicative, but highlight the importance of containing inflation and money supply to check their effects on budget deficits over the short run and long-run periods. Also, policy recommendation calls for fiscal authorities in Tanzania to adopt efficient and effective methods of tax collection and public sector spending. Originality/value/contribution – Tanzania has been experiencing budget deficit since the 1970s and that this budget deficit has been blamed for high indebtedness, inflation and poor investment and growth. The paper contributes to the empirical debate on the causal relationship between budget deficits and macroeconomic variables by employing VAR-VECM and variance decomposition approaches.
Źródło:
Journal of Economics and Management; 2017, 30; 20-57
1732-1948
Pojawia się w:
Journal of Economics and Management
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Slowdown or Recession? Forecasts Based on Composite Leading Indicator
Autorzy:
Klúcik, Miroslav
Juriová, Jana
Powiązania:
https://bibliotekanauki.pl/articles/483289.pdf
Data publikacji:
2010
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
Global economic crisis
recession
composite leading indicator
ARIMAX model
error correction model
Opis:
The economy of Slovakia experienced a turning point in the 1st half of 2008 and entered a phase of decline. The negative impacts of the global economic crisis became evident in the 2nd half of 2008 and led into a recession in the 1st quarter of 2009. The composite leading indicator was originally intended for forecasting of business cycle turning points between the decline and growth phases. The aim of this paper is to transform the qualitative information from composite leading indicator into quantitative forecast and verify whether the beginning of recession in Slovakia could have been identified in advance. The ARIMAX and error correction models are used for the composite reference series and GDP forecasts respectively. The final result shows that the composite leading indicator is useful not only for identifying turning points, but also for the prediction of recession phase.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2010, 2, 1; 17-36
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Analiza powiązań między indeksami giełdy francuskiej, holenderskiej i belgijskiej z wykorzystaniem modelu korekty błędem
Analysis of links between french, dutch and belgian stock market with the use of error correction model
Autorzy:
Prenzena, Paweł
Powiązania:
https://bibliotekanauki.pl/articles/593010.pdf
Data publikacji:
2016
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Indeksy Giełdowe
Kointegracja
Model Korekty Błędem
Cointegration
Error correction model
Stock indices
Opis:
Celem artykułu jest ocena stopnia powiązań między indeksami CAC40, AEX i BEL20 oraz odpowiedź na pytanie, w jakim stopniu sytuacja na danym rynku wpływa na rozwój zdarzeń na rynku z nim powiązanym. W badaniu wykorzystano model korekty błędem, który dostarcza informacji zarówno o zależnościach krótkookresowych między analizowanymi zmiennymi, jak i równowadze długookresowej. W części teoretycznej artykułu przedstawiono podstawowe założenia teorii kointegracji, a także wybrane testy pierwiastków jednostkowych oraz stacjonarności. Wyniki analizy empirycznej potwierdziły, że pomiędzy rozpatrywanymi parami indeksów giełdowych występują istotne zależności oraz istnieje mechanizm powracania do stanu długookresowej równowagi.
The article presents assessment of links between stock indices CAC40, AEX and BEL20 with the use of cointegration analysis and error correction model. This model enables us to capture in one equation short-term dynamics and long-term equilibrium. Research results confirmed, that time series representing examined stock indices are integrated in the same order and residuals from cointegration equations of all models are stationary. This fact enabled us to build error correction model for specific pairs of stock indices. Long-term equilibrium reversion mechanism was observed in all models and the strongest dependence appeared between BEL20 and AEX index.
Źródło:
Studia Ekonomiczne; 2016, 289; 109-126
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Wykorzystanie danych lotniczego skaningu laserowego jako osnowy geometrycznej dla korekcji obrazów QuickBird
Use of airborne laser scanning data as the geometric control for correcting QuickBird images
Autorzy:
Wolniewicz, W.
Zaremba, M.
Powiązania:
https://bibliotekanauki.pl/articles/131022.pdf
Data publikacji:
2006
Wydawca:
Stowarzyszenie Geodetów Polskich
Tematy:
fotogrametria satelitarna
QuickBird
LIDAR
GPS
model korekcyjny
satellite photogrammetry
lidar
correction model
Opis:
W pracy przedstawiono analizy przydatności techniki LIDAR do ortorektyfikacji zobrazowań QuickBird bez wykorzystania terenowego pomiaru fotopunktów, dla obszaru miasta Ottawa w Kanadzie i terenów leśnych w Prowincji Alberta. Korekcję geometryczną obrazów QuickBird wykonano metodą wielomianową RPF z wykorzystaniem RPC i metody ścisłej. Przedstawiono właściwości modeli korekcyjnych. Do oceny dokładności generowania ortofotomapy wykorzystywano zarówno NMT jak i NMPT pochodzący z danych uzyskanych ze skaningu laserowego. Do ortorektyfikacji oraz oceny dokładności wykorzystano środowisko PCI Ortho Engine. Uzyskano błędy ortorektyfikacji i poziomie 2-3 pikseli dla obszaru miejskiego a na poziomie jednego piksela dla terenów leśnych. Przedmiotem badania był również wpływ liczby fotopunktów na dokładność procesu ortorektyfikacji. Dokładność powstałej ortofotomapy satelitarnej oceniono na podstawie pomiarów GPS. Otrzymane wyniki potwierdzają znaczenie danych pochodzących z wielu źródeł monitorowania powierzchni Ziemi, które coraz powszechniej są wykorzystywane wróżnorodnych zastosowaniach geoinformatycznych. Wykazano praktycznie, iż dane pochodzące ze skaningu laserowego mogą być dobrym źródłem osnowy fotogrametrycznej do korekcji wysokorozdzielczych zobrazowań satelitarnych.
This paper outlines the results of an analysis of the application of LIDAR technology for orthorectification of QuickBird images without using ground control points for the area of the city of Ottawa in Canada as well as for boreal forest areas in the province of Alberta. Geometrical adjustment of QuickBird images was executed using the RPF multinomial method with the use of RPC and the application of the co-linearity condition method. The effects of adjustment models are described in the paper. In order to evaluate the accuracy of the ortho-photo map generation process, both DCM and DSM obtained from laser scanning data were used. The PCI Ortho Engine environment was used as a tool for ortho-adjustment and the evaluation of accuracy. Errors obtained in the ortho-adjustment process were of the order of 2-3 pixels for municipal areas and 1 pixel for forest areas. The influence of a number of ground control points upon the accuracy of ortho-adjustment process was also investigated. The accuracy of the final satellite ortho-photo map was evaluated by applying GSP surveys. The obtained results show the importance of data coming from different Earth monitoring sources, which are used more and more extensively in a variety of different geometric applications. Since VHRR and LIDAR became operational there has been increasing consumer demand for both elevation models and images. As all data is digital from the beginning, data processing is done relatively quickly and is highly automated (mainly only quality control needs operator support), it was demonstrated in practice that the data from laser scanning may constitute an excellent source of photogrammetrical control for the adjustment of very high resolution satellite images. The spectrum of application for precise elevation data and orthophotomaps is much greater than shown here and includes such applications as power line mapping, precision forest management, and open-pit monitoring.
Źródło:
Archiwum Fotogrametrii, Kartografii i Teledetekcji; 2006, 16; 567-575
2083-2214
2391-9477
Pojawia się w:
Archiwum Fotogrametrii, Kartografii i Teledetekcji
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Analysis of the impact of selected economic variables on sorghum prices in Nigeria
Autorzy:
Ajibade, Toyin Benedict
Ayinde, Opeyemi Eyitayo
Abdoulaye, Tahirou
Ojoko, Emmanuel Ada
Powiązania:
https://bibliotekanauki.pl/articles/952113.pdf
Data publikacji:
2017
Wydawca:
Uniwersytet Przyrodniczy w Poznaniu. Wydawnictwo Uczelniane
Tematy:
autocorrelation
cochrane-orcutt procedure
cereal
cointegration
error correction model
time series
Opis:
Nigeria is the world’s leading producer of sorghum intended for use as food grain. Likewise, there has been growing industrial demand for sorghum in the livestock breeding and brewery sectors. As sorghum prices have been on the increase, it becomes pertinent to identify the determinants of this development in order to nip the imminent food crisis in the bud. This study relied on time series data spanning from 1970 to 2015 retrieved from FAOSTAT and World Bank databases. Analytical methods employed include the unit root test, cointegration test and error correction mechanism. The diagnostic tests indicated the presence of autocorrelation which was subsequently adjusted with the Cochrane-Orcutt procedure. Subsequent tests indicated that variables fit well to the model. As shown by the ADF unit root test, the modeled variables were non-stationary but became stationary after first differencing. At a significance level of 5%, the sorghum price was determined by gross domestic product (GDP), annual money supply, official exchange rate and crude oil price, both in the long and short run, whereas the lagged price of sorghum also had an effect on prices in the short run. The study recommends that macroeconomic variables such as GDP, annual money supply and official exchange rate be taken cognizance of when planning the agricultural development in Nigeria.
Źródło:
Journal of Agribusiness and Rural Development; 2017, 46, 4; 723-729
1899-5241
Pojawia się w:
Journal of Agribusiness and Rural Development
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A price transmission analysis of pasteurised liquid milk in South Africa: granger causility approach
Autorzy:
Ramoshaba, Tshegofatso
Belete, Abanet
Hlongwane, Johanes Jan
Powiązania:
https://bibliotekanauki.pl/articles/1902627.pdf
Data publikacji:
2019-12-28
Wydawca:
Uniwersytet Przyrodniczy w Poznaniu. Wydawnictwo Uczelniane
Tematy:
price transmission
Granger causality
pasteurized liquid milk
Vector Error Correction model
Opis:
Price transmission studies have become increasingly important in Sub-Saharan Africa over the past decades because of its nature of providing clear and insightful information into these markets. In this study, the price transmission mechanism is described with an agricultural product within the dairy industry, namely pasteurized liquid milk. The aim of this study was to investigate and analyze the nature of the price transmission mechanism for pasteurized liquid milk in South Africa. The study used secondary time series data that covered a sample size of 17 years (2000–2016) for pasteurized liquid milk. The Granger causality test and the Vector Error Correction Model were used for data analysis. The Granger causality tests suggest that a bidirectional causal relationship exists between processor and farmgate prices, and also between retail and processor prices. On the other hand, retail prices were found to have a unidirectional causality effect on farmgate prices. The VECM results showed asymmetric price transmission, implying that retailers and processors react quicker to a price increase than to a price decrease. A price monitoring policy is suggested to be put in place in order to protect the consumers from unfair prices passed on by the retailers.
Źródło:
Journal of Agribusiness and Rural Development; 2019, 54, 4; 345-353
1899-5241
Pojawia się w:
Journal of Agribusiness and Rural Development
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modelowanie wpływu nierówności płac na wzrost gospodarczy
Wage Disparities and Economic Growth
Autorzy:
Kumor, Paweł
Powiązania:
https://bibliotekanauki.pl/articles/574833.pdf
Data publikacji:
2008-08-31
Wydawca:
Szkoła Główna Handlowa w Warszawie. Kolegium Analiz Ekonomicznych
Tematy:
wage disparities
economic growth
Lorenz ratio
co-integration analysis
error correction model
Opis:
The paper looks at the key economic and social factors that lead to wage disparities and at the same time contribute to economic growth. The author evaluates the influence of wage disparities on Poland’s economic growth in 1985-2006. Kumor measures the uneven distribution of wages with the Lorenz concentration ratio, and he also uses research methods such as a co-integration analysis and an error correction model. The analysis has confirmed the existence of a long-term cause-and-effect relationship between employment, investment, wage disparities and GDP growth.
Źródło:
Gospodarka Narodowa. The Polish Journal of Economics; 2008, 225, 7-8; 43-61
2300-5238
Pojawia się w:
Gospodarka Narodowa. The Polish Journal of Economics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Model monetarny kursu równowagi złoty/euro: analiza kointegracyjna
The Monetary Model of the Zloty-Euro Equilibrium Exchange Rate: Cointegration Analysis
Autorzy:
Wdowiński, Piotr
Powiązania:
https://bibliotekanauki.pl/articles/574303.pdf
Data publikacji:
2011-03-31
Wydawca:
Szkoła Główna Handlowa w Warszawie. Kolegium Analiz Ekonomicznych
Tematy:
Frankel monetary model
zloty/euro equilibrium exchange rate
cointegration analysis
vector error correction model
Opis:
The author carries out a cointegration analysis for the nominal exchange rate of the zloty against the euro according to a monetary theory developed by U.S. economist Jeffrey A. Frankel (1979). Wdowiński estimates a cointegration vector for the period 1999M7-2008M9. Long-term estimates show that the euro exchange rate depends on changes in industrial production and on short- and long-term interest rates, the author says. The influence of M1 money supply proves to be statistically insignificant. The departure of the euro rate from a state of monetary equilibrium was corrected slowly, the author says, because the half-life of the divergence was almost two years. The solution of the model showed that the euro exchange rate diverged significantly from a state of equilibrium determined by fundamental factors in the 1999M7-2004M1 period, while showing smaller deviations in the 2004M2-2008M9 period. Overall, the author observed periods when the zloty was both overvalued and undervalued against the euro due to a long-term equilibrium rate. The deviations stabilized noticeably from May 2003. In the 2003M5-2006M3 period, the zloty was overvalued by 9.6% on average, while in the 2006M4-2008M9 period it was undervalued by 9.3%. In the short term, the zloty tended to appreciate as a result of increases in short-term interest rates. According to the author, fundamental economic factors in Poland and the euro area point to the existence of a trend whereby the zloty is gaining ground against the euro, while short-term changes in this rate may be significant due to a growing macroeconomic risk.
Źródło:
Gospodarka Narodowa. The Polish Journal of Economics; 2011, 246, 3; 67-86
2300-5238
Pojawia się w:
Gospodarka Narodowa. The Polish Journal of Economics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Asymmetric Price Adjustments in the Fuel Market
Autorzy:
Leszkiewicz-Kędzior, Katarzyna
Welfe, Aleksander
Powiązania:
https://bibliotekanauki.pl/articles/483283.pdf
Data publikacji:
2014
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
threshold cointegration
threshold error correction model
asymmetric price adjustment
fuel price transmission
Opis:
The purpose of the article is to verify a hypothesis about the asymmetric pass-through of crude oil prices to the selling prices of refinery products (unleaded 95 petrol and diesel oil). The distribution chain is considered at three levels: the European wholesale market, the domestic wholesale market and the domestic retail market. The error correction model with threshold cointegration proved to be an appropriate tool for making an empirical analysis based on the Polish data. As found, price transmission asymmetry in the fuel market is significant and its scale varies depending on the level of distribution. The only exception is the wholesale price transmission to the domestic refinery price. All conclusions are supported by the cumulative response functions. The analysis sheds new light on the price-setting processes in an imperfectly competitive fuel market of a medium-sized, non-oil producing European country in transition.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2014, 2; 105-127
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Trade liberalization policy and competitiveness of cocoa beans exports in Nigeria (1961-2017)
Autorzy:
Obi-Egbedi, O.
Hussayn, J.A.
Oluwatayo, I.B.
Powiązania:
https://bibliotekanauki.pl/articles/2080922.pdf
Data publikacji:
2021
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Wydawnictwo Szkoły Głównej Gospodarstwa Wiejskiego w Warszawie
Tematy:
cocoa
competitiveness
market share
trade liberalization policy and vector error
correction model
Opis:
The cocoa sector in Nigeria has experienced decline in production, yield, exports coupled with its inability to attain global standards and targets and, gradual loss of competitiveness at the world market. Trade liberalization was government’s panacea to the sector’s problem although, cocoa competitiveness remains an issue since liberalization. Therefore, the relationship between trade liberalization policy and competitiveness of Nigeria’s cocoa exports was examined in this study using data for the period 1961-2017. Cocoa market share was used to measure competitiveness while analytical tools employed were: ADF test, Johansen co-integration test and the vector error correction model (VECM). Market share, quantity of cocoa export and inflation rate were stationary at original level while others, at first difference. The co-integration test showed seven co-integrating equations. Trade liberalization policy was found to be an important driver of competitiveness. In addition, area harvested, production quantity and export quantity positively influenced competitiveness while world price of cocoa, interest rate on agricultural loans, exchange rate and trade liberalization influenced negatively. Therefore, appropriate trade policy formulation and implementation is recommended while, specific attention should be paid to monetary policies and cocoa production by the government.
Źródło:
Zeszyty Naukowe Szkoły Głównej Gospodarstwa Wiejskiego w Warszawie. Problemy Rolnictwa Światowego; 2021, 21[36], 1; 4-15
2081-6960
Pojawia się w:
Zeszyty Naukowe Szkoły Głównej Gospodarstwa Wiejskiego w Warszawie. Problemy Rolnictwa Światowego
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Determinanty cen ropy naftowej
Determinants of crude oil prices
Autorzy:
Socha, R.
Powiązania:
https://bibliotekanauki.pl/articles/282333.pdf
Data publikacji:
2017
Wydawca:
Polska Akademia Nauk. Instytut Gospodarki Surowcami Mineralnymi i Energią PAN
Tematy:
ceny ropy naftowej
WTI
model korekty błędem
kointegracja
crude oil prices
error-correction model
cointegration
Opis:
Celem artykułu jest próba identyfikacji oraz oceny stopnia wpływu najważniejszych czynników kształtujących ceny ropy naftowej WTI. Podjęcie takiej tematyki stanowi nawią- zanie do dyskusji prowadzonych przez innych badaczy rynku na łamach światowej literatury oraz podejmowanych przez nich prób określenia przyczyn silnych wahań cen surowca z lat 2007–2009. Z jednej strony w okresie tym obserwowano silne fluktuacje wielkości popytu na ropę naftową, tj. w latach 2000–2007 odnotowano ponadprzeciętny wzrost zapotrzebowania na surowiec (szczególnie w krajach azjatyckich), by w okresie kryzysu finansowego obserwować jego nagły spadek. Rosnący popyt i ceny surowca wpłynęły na zwiększenie przez firmy wydobywcze nakładów na rozpoznanie nowych złóż, czego wynikiem jest obserwowany na terenie Ameryki Północnej po 2013 roku silny wzrost wydobycia ze złóż niekonwencjonalnych. Z drugiej strony początek XXI wieku przyniósł rekordowy wzrost obrotu instrumentami finansowymi opartymi na cenach ropy naftowej. W pierwszej części artykułu zaprezentowano przegląd najważniejszych prac empirycznych w obszarze będącym przedmiotem pracy. Weryfikacja postawionego problemu badawczego opierała się na przeprowadzonej analizie kointegracji z wykorzystaniem metody Johansena oraz w drugim kroku estymacji modelu korekty błędem. Próba, na podstawie której dokonano oszacowania, to lata 2002–2014, a więc uwzględniono szczególnie istotny dla historii handlu ropą naftową okres tzw. trzeciego szoku cenowego z lat 2007–2008. Otrzymane rezultaty pozwalają wnioskować, że wpływ na procesy cenotwórcze na rynku czarnego złota mają zarówno czynniki popytowo-podażowe, jak i te związane z obrotem kontraktami terminowymi na ropę naftową. Co ważne, determinanty z pierwszej kategorii, a więc te o charakterze fundamentalnym, silniej rzutują na kształtowanie się cen. Dodatkowo można przypuszczać, że wzrost liczby transakcji futures zawieranych przez podmioty utożsamiane ze spekulacyjnymi (niezwiązane bezpośrednio z przedmiotowym rynkiem) może wpływać destabilizująco na zmiany cen ropy naftowej.
The article aims to identify and evaluate the degree of influence of the most important factors determining the price of WTI crude oil. This theme of research is fully consistent with discussions in the world literature about the reasons of strong fluctuations of crude oil prices in the years 2007–2009. On the one hand, in that period we observed strong fluctuations in oil demand, especially years 2000–2007 are interesting because we noticed a strong increase in consumption (the highest growth in Asian countries) and other period is the financial crisis when it plummeted. Increasing demand and crude oil prices were the main factors considered by oil refineries as an incentive for boosting budgets for oil fields discovery. Clearly, it resulted with a growth of extraction from the unconventional oil resources. On the other hand 21st century has brought a record growth in the trading of crude oil futures. In the first part of this article a review of the most significant empirical research has been presented. Empirical investigation was conducted using cointegration analysis (Johansen method) and in the second step estimating an error correction model. In this study we have used the sample of years 2002–2014, which are particularly relevant because it covers the years 2007–2009, when we have observed third crude oil price shock. The results of this study show that impact on the price – setting mechanism have not only supply – demand factors, but also trade of crude oil futures. However, determinants from the first group have stronger influence on WTI prices. Furthermore, it can be confirmed that the increase in a number of futures transactions is reinforcing changes of oil prices. Especially when we consider these transactions, that are taken by organizations perceived as speculative.
Źródło:
Polityka Energetyczna; 2017, 20, 1; 49--66
1429-6675
Pojawia się w:
Polityka Energetyczna
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Tendencje zmian cen na światowym rynku ropy naftowej po 2000 roku
Analysis of Oil Market Trends Post-2000
Autorzy:
Socha, Robert
Wdowiński, Piotr
Powiązania:
https://bibliotekanauki.pl/articles/575879.pdf
Data publikacji:
2018-03-31
Wydawca:
Szkoła Główna Handlowa w Warszawie. Kolegium Analiz Ekonomicznych
Tematy:
ceny ropy naftowej
OPEC
kointegracja
model wektorowej korekty błędem
oil price
cointegration
vector error correction model
Opis:
This paper aims to analyse changes in the oil market during the “third oil price shock” in 2007 and 2008. It is particularly important to investigate the influence of disruptions in oil production (in both OPEC and non-OPEC countries) on crude oil prices and consumption. The authors conduct an empirical investigation of this problem, estimating a vector error correction model and an impulse-response function. Based on the empirical data, we noticed that from 2004 to 2008 the growth in oil demand was not compensated by an appropriate increase in oil production. The results of impulse-response functions show that, with the improvement in global demand, we should rather expect OPEC production to increase. Moreover, this kind of reaction in OPEC is delayed by about four months, which can be explained by the restrictions on OPEC’s spare capacity. This limits the room for a short-term increase in OPEC production. Unexpected demand shocks or price innovations increase the level of both OPEC and non-OPEC production, but the response of OPEC is more significant. These findings may be considered as a point of departure for future analyses of OPEC production adjustments.
Celem artykułu jest przeprowadzenie analizy zmian zachodzących na rynku ropy naftowej w okresie trzeciego szoku cenowego w latach 2007-2008. Szczególnie istotna z punktu widzenia poruszanego problemu badawczego jest odpowiedź na pytanie, jaki wpływ na ceny ropy naftowej i wielkość konsumpcji tego surowca mają zaburzenia w wielkości wydobycia w grupie państw OPEC lub w państwach niestowarzyszonych w kartelu. W części empirycznej artykułu dokonano estymacji parametrów modelu wektorowej korekty błędem oraz analizy funkcji reakcji na impuls. Na podstawie wstępnej analizy danych statystycznych można zauważyć, iż wysokie tempo popytu w latach 2004-2008 nie było kompensowane przez odpowiednią dynamikę wydobycia. Na podstawie analizy funkcji reakcji na impuls można zauważyć, iż zaburzenie światowego popytu na ropę naftową wiąże się z pozytywną reakcją wydobycia państw kartelu, co skłania ku refleksji, na ile brak reakcji w latach 2007–2008 stanowił strategię polityki wydobywczej, a na ile pozostawało to poza decyzjami OPEC. Z drugiej strony pozytywna reakcja podaży OPEC na szok popytowy jest opóźniona o 4 miesiące, co daje podstawy do przypuszczeń, że natychmiastowe, krótkookresowe zwiększanie podaży w tej grupie państw jest ograniczone. Szoki wynikające z nieoczekiwanego wzrostu popytu na surowce lub zaburzeń w równaniu cen prowadzą do wzrostu produkcji w obu grupach państw. W obu przypadkach reakcja OPEC jest silniejsza.
Źródło:
Gospodarka Narodowa. The Polish Journal of Economics; 2018, 293, 1; 103-135
2300-5238
Pojawia się w:
Gospodarka Narodowa. The Polish Journal of Economics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The response of Zimbabwe tobacco exports to real exchange rates volatility
THE RESPONSE OF ZIMBABWE TOBACCO EXPORTS TO REAL EXCHANGE RATES VOLATILITY
Autorzy:
Mutodi, Knowledge
Chuchu, Tinashe
Maziriri, Eugine Tafadzwa
Powiązania:
https://bibliotekanauki.pl/articles/1892227.pdf
Data publikacji:
2020-07-08
Wydawca:
Uniwersytet Przyrodniczy w Poznaniu. Wydawnictwo Uczelniane
Tematy:
Real exchange rate (RER)
Real exchange rate volatility (RERV)
Vector error correction model (VECM)
Opis:
The focus of this study was on investigating the response of tobacco exports to real exchange rates and real exchange rate volatility and other factors in Zimbabwe using secondary data spanning from 1980 to 2019. Bilateral nominal exchange rates and time-variant weights of Zimbabwe’s 10 major trading partners were calculated and used to compute the real exchange rate index. The time-dependent weighting system was used to better represent the evolution of trade patterns in the index. The arithmetic method was employed for computing the index. Generalized autoregressive conditional heteroskedasticity (GARCH) and autoregressive conditional heteroscedasticity (ARCH) models were used to generate the real exchange rate volatility index. The export response function was adopted as the tobacco exports response model. The variables in the tobacco exports response model were the realworld Gross Domestic Product (GDP), real exchange rate, terms of trade, real exchange rate volatility and dollarization. A vector error correction model (VECM) was used to estimate the response of tobacco exports to real exchange rate, real exchange rate volatility and other factors. The VECM results indicated that real world GDP was insignificant in both the short and long run. In the long run, the real exchange rate appreciation had a negative impact on tobacco exports. Conversely, in the short run, the depreciation of real exchange rate had a positive impact on tobacco exports. Hence, the government has to adopt other mechanisms that reduce uncertain movements of exchange rates.
Źródło:
Journal of Agribusiness and Rural Development; 2020, 56, 2; 201-219
1899-5241
Pojawia się w:
Journal of Agribusiness and Rural Development
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)–MSF-SBEKK Model
Autorzy:
Osiewalski, Krzysztof
Osiewalski, Jacek
Powiązania:
https://bibliotekanauki.pl/articles/483271.pdf
Data publikacji:
2013
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
Bayesian econometrics
vector error correction model
hybrid MGARCH-MSV processes
financial markets
commodity markets
Opis:
We develop a fully Bayesian framework for analysis and comparison of two competing approaches to modelling daily prices on different markets. The first approach, prevailing in financial econometrics, amounts to assuming that logarithms of prices behave like a multivariate random walk; this approach describes logarithmic returns most often by the VAR(1) model with MGARCH (or sometimes MSV) disturbances. In the second approach, considered here, it is assumed that daily price levels are linked together and, thus, the error correction term is added to the usual VAR(1)–MGARCH or VAR(1)–MSV model for logarithmic returns, leading to a reduced rank VAR(2) specification for logarithms of prices. The model proposed in the paper uses a hybrid MSVMGARCH structure for VAR(2) disturbances. In order to keep cointegration modelling as simple as possible, we restrict to the case of two prices representing two different markets. The aim of the paper is to show how to check if a long-run relationship between daily prices exists and whether taking it into account influences our inference on volatility and short-run relations between returns on different markets. In the empirical example the daily values of the S&P500 index and the WTI oil price in the period 19.12.2005 – 30.09.2011 are jointly modelled. It is shown that, although the logarithms of the values of S&P500 and WTI oil price seem to be cointegrated, neglecting the error correction term leads to practically the same conclusions on volatility and conditional correlation as keeping it in the model.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2013, 5, 1; 65-83
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Impact of international trade on employment in orange industry of South Africa
Autorzy:
Molepo, Nkoti Solly
Belete, Abenet
Hlongwane, Jan
Powiązania:
https://bibliotekanauki.pl/articles/1886408.pdf
Data publikacji:
2021-07-04
Wydawca:
Uniwersytet Przyrodniczy w Poznaniu. Wydawnictwo Uczelniane
Tematy:
South African orange industry
employment, wages
international trade
Johansen cointegration
vector error
correction model
Opis:
The purpose of the study is to analyse the long-run and short-run dynamic relations amongst total employment (lnEMPGt), export output (EXPOt) and import output (IMPOt) from 1990 to 2018, by applying a time-series analysis. The study adopts the secondary data for total employment from the Citrus Growers Association of South Africa, while both export and import output were sourced from the Global Trade Atlas. The multivariate cointegration approach is adopted in the study to identify any causal relationships amongst the concerned variables. The chosen optimum lag selection criterion was the Akaike Information Criterion (AIC) due to its association dependence on the log-likelihood ratio. The third lag was selected for the entire analysis. The results from the cointegration test and the Vector Error Correction Model (VECM) suggest a positive long-run effect between total employment and export output, while import output is negatively associated with total employment. The adjustment term of lnEMPGt, EXPOt and IMPOt suggests that the previous year’s errors are corrected for the current year at a convergence speed of 0.002, 1.11 and 25.37 percentage points, respectively. The results of the Granger causality test show that there are bidirectional causality effects between export output and total employment in the long run, while there are no causality effects between import output and total employment. The overall conclusion is that export outputs positively impact employment, while import outputs impact it negatively in the South African orange industry.
Źródło:
Journal of Agribusiness and Rural Development; 2021, 60, 2; 193-201
1899-5241
Pojawia się w:
Journal of Agribusiness and Rural Development
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modeling Nigerian Government Revenues and Total Expenditure: Combined Estimators’ Analysis and Error Correction Model Approach
Autorzy:
Ayinde, Kayode
Bello, Aliyu A.
Ayinde, Opeyemi E.
Adekanmbi, Damilola B.
Powiązania:
https://bibliotekanauki.pl/articles/2076559.pdf
Data publikacji:
2015
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
unit root test
cointegration test
combined estimators
error correction model
feasible generalized linear estimators
Opis:
The national total expenditure of a country is precipitated on several factors of which revenue generated could be one and very significant. This paper therefore examines the contribution of some selected sources of Nigerian government revenue to total national expenditure. Statistical and econometric techniques used for the data analysis are unit root test, cointegration test, combined estimators’ analysis, the error correction model (ECM) and the feasible generalized linear (FGLS) estimators. Results showed that the variables are non stationary but are stationary at first difference. The long-run relationship of total expenditure on oil revenue, non-oil revenue, federation account and federal retained revenue revealed that the variables are cointegrated and required the use of combined estimators. The effect of nonoil revenue and federal retained revenue is very significant. Investigations on the short-run modeling necessitated the use of FGLS estimators. The effect of ECM and federal retained revenue is very significant. Consequently, other sources of revenue apart from federal retained revenue need to be enhanced and tailored towards improving economic growth and development through national expenditure.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2015, 1; 1-14
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Rationalization of the energy consumption of road transport for sustainable development
Autorzy:
Szaruga, Elżbieta
Powiązania:
https://bibliotekanauki.pl/articles/135696.pdf
Data publikacji:
2020
Wydawca:
Akademia Morska w Szczecinie. Wydawnictwo AMSz
Tematy:
energy consumption
freight road transport
rationalization
steady-state economy
sustainable development
vector error correction model
Opis:
This paper presents an approach to rationalize the energy consumption of road transport towards sustainability in a steady-state economy. The research hypothesis is that the rationalization of the energy consumption of road transport is affected by drift and shocks, which desynchronizes the adjustment mechanism from equilibrium. The objective of this research was to incorporate the model of energy consumption of road freight transport with the goals of sustainability by considering ecological and constructivist rational orders, the issue of order drift, and the occurrence of shocks. The research investigated Poland from the first quarter of 2004 to the fourth quarter of 2018. A model for rationalizing the energy consumption of road transport was constructed using the vector error correction model and cointegration techniques. The model revealed one cointegrating relationship and showed statistically significant unlimited drift. The level of changes to long-term equilibrium appeared respectively for GDP – 1.8%, PPI for energy – 7.3%, and for energy consumption – 10.9%. We observed a weak sustainability between the energy consumption of road transport and GDP and a strong sustainability between energy consumption of road transport and PPI energy. It was determined that price shocks had a positive impact (at the estimated point level around 0.06) and supply and demand shocks had a negative impact (at the level estimated point around –3).
Źródło:
Zeszyty Naukowe Akademii Morskiej w Szczecinie; 2020, 62 (134); 36-42
1733-8670
2392-0378
Pojawia się w:
Zeszyty Naukowe Akademii Morskiej w Szczecinie
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modelling of price and income effects on Ukraine’s agricultural export growth
Autorzy:
Shevchuk, V.
Powiązania:
https://bibliotekanauki.pl/articles/94757.pdf
Data publikacji:
2013
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Wydawnictwo Szkoły Głównej Gospodarstwa Wiejskiego w Warszawie
Tematy:
agricultural exports
error-correction model
exchange rate effects
price and income effects
eksport rolny
model korekty błędów
efekty kursowe
Opis:
Using monthly data for the 2001─2013 period, this paper applies Error- Correction Model (ECM) to estimate export demand effects for Ukraine’s agricultural commodities and foodstuffs. According to our results, the long-run exchange rate sensitivity of export demand seems to be rather weak, whereas the domestic income effect is high enough across all four groups: (i) meat, fish and dairy products; (ii) wheat and vegetables; (iii) vegetable oil and (iv) foodstuffs. No evidence is found of the long-term relationship between agricultural exports and foreign trade-partner industrial output. However, both exchange rate and foreign output are established to strongly affect the demand for agricultural exports in the short-run. Also, there is evidence of a speedy short-run adjustment for all groups of agricultural exports to their long-run relationships.
Źródło:
Information Systems in Management; 2013, 2, 3; 214-226
2084-5537
2544-1728
Pojawia się w:
Information Systems in Management
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Studying the Stock Market – Economic Activity Nexus in Poland with a VAR‑VECM Approach
Badanie współzależności pomiędzy rynkiem akcji a poziomem aktywności gospodarczej w Polsce z wykorzystaniem metodologii VAR‑VECM
Autorzy:
Pietraszewski, Piotr
Powiązania:
https://bibliotekanauki.pl/articles/655935.pdf
Data publikacji:
2020
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
WIG
produkt krajowy brutto
autoregresja wektorowa
kointegracja
model korekty błędem
Gross Domestic Product
vector autoregression
cointegration
error correction model
Opis:
W artykule omówiono związki pomiędzy koniunkturą giełdową a realną aktywnością gospodarczą oraz przedstawiono wyniki badania współzależności pomiędzy zmianami głównego indeksu akcji na GPW w Warszawie (WIG) oraz PKB w Polsce w latach 1995–2019. W wielu studiach empirycznych dla krajów wysoko rozwiniętych wykazano istnienie nie tylko dynamicznych interakcji krótkookresowych, ale również długoterminowej relacji kointegrującej pomiędzy poziomami indeksu i produktu. Dotychczasowe badania dla Polski wskazywały głównie na związki krótkookresowe pomiędzy stopami zwrotu z akcji a zmianami aktywności gospodarczej, podczas gdy dowody na istnienie długookresowej relacji kointegrującej są jak dotąd nieliczne. W artykule zastosowano metodologię VAR‑VECM oraz procedurę Johansena do badania kointegracji dla znacznie dłuższego szeregu danych kwartalnych niż w prowadzonych do tej pory badaniach. Badanie wykazało, że stopy zwrotu z akcji są przyczyną w sensie Grangera dla zmian PKB, przy czym wyprzedzenie w czasie sięga do trzech kwartałów. Znaleziono również dowody na istnienie długoterminowej relacji kointegrującej.
The paper discusses the links between stock market performance and real economic activity and presents results of an empirical inquiry into dynamic relationships between the main stock index quoted on the Warsaw Stock Exchange (WIG) and GDP in Poland over the years 1995–2019. In many empirical studies for highly developed countries not only short‑run dynamic interactions but also a long‑run cointegrating relationship between the stock index and output have been found. Previous studies for Poland reported mainly short‑run linkages between stock returns and changes of economic activity whereas the evidence for a long‑run cointegrating relationship is still quite scarce. In this paper, the VAR‑VECM methodology with the Johansen tests for cointegration is used to study a substantially longer quarterly data interval than has been investigated so far. Research results show that stock returns Granger‑cause GDP growth with up to three‑quarters lead. The evidence for the existence of a long‑term cointegrating relationship has also been found.
Źródło:
Acta Universitatis Lodziensis. Folia Oeconomica; 2020, 3, 348; 65-89
0208-6018
2353-7663
Pojawia się w:
Acta Universitatis Lodziensis. Folia Oeconomica
Dostawca treści:
Biblioteka Nauki
Artykuł
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