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An Empirical Analysis Of Sustainability Of Trade Deficit: Evidence From Sri Lanka, Nelson Perera, R. Verma
An Empirical Analysis Of Sustainability Of Trade Deficit: Evidence From Sri Lanka, Nelson Perera, R. Verma
Faculty of Commerce - Papers (Archive)
In this paper, the long-run relationship between Sri Lankan exports and imports during the period 1950 to 2006 is examined using unit root tests and cointegration techniques that allow for an endogenously determined structural break. The results failed to support the existence of a long-run equilibrium between exports and imports in Sri Lanka. This finding questions the effectiveness of Sri Lanka’s current long-term macroeconomic policies and suggests that Sri Lanka is in violation of its international budget constraint.
A Model Of Inflation For Sri Lanka, Arusha V. Cooray
A Model Of Inflation For Sri Lanka, Arusha V. Cooray
Faculty of Commerce - Papers (Archive)
This paper uses two models: an open economy model and a closed economy model to estimate a price equation for Sri Lanka. The results suggest greater support for the open economy model. Consistent with previous studies for Sri Lanka, supply side factors appear to be important in influencing the general price level in Sri Lanka.
The Role Of Capital Formation And Saving In Promoting Economic Growth In Iran, R. Verma, E. Wilson, Mosayeb Pahlavani
The Role Of Capital Formation And Saving In Promoting Economic Growth In Iran, R. Verma, E. Wilson, Mosayeb Pahlavani
Faculty of Commerce - Papers (Archive)
This paper estimates the interdependencies between capital formation, saving and output for Iran. The analysis is complicated because of the conflicting theoretical and empirical findings of their relative roles in other studies, the lack of research on Iran whose turbulent history makes it difficult to disentangle the complex and changing interrelationships between output, saving and investment for the period of our study, 1960 to 2003. The analysis uses Lee and Strazicich (2004) procedure to endogenously determine that structural breaks occurred in 1979 for real output, 1983 for saving and 1977 for investment. These dates coincide with the effect of the …
Are Chinese Stock Markets Increasing Integration With Other Markets In The Greater China Region And Other Major Markets?, G. Tian
Faculty of Commerce - Papers (Archive)
This paper investigates the cointegrating and long-term causal relationships between the Shanghai A and B-share market, and between these two markets and the Hong Kong, the Taiwanese, the Japanese and the US market of two sub periods between July 1993 and March 2007. On the basis of a new Granger non-causality test procedure developed by Toda-Yamamoto (1995) and Johansen’s (1988) cointegration test, my results suggest that a long-term equilibrium relationship measured by cointegration has been merged between the Chinese A-share market and the other markets in greater China region as well as the US market during the post-crisis period which …
Dynamic Linkages Between Thai And International Stock Markets, Abbas Valadkhani, S. Chancharat
Dynamic Linkages Between Thai And International Stock Markets, Abbas Valadkhani, S. Chancharat
Faculty of Commerce - Papers (Archive)
This paper investigates the existence of cointegration and causality between the stock market price indices of Thailand and its major trading partners (Australia, Hong Kong, Indonesia, Japan, Korea, Malaysia, the Philippines, Singapore, Taiwan, the UK and the US), using monthly data spanning December 1987 to December 2005. Both the Engle-Granger two-step procedure (assuming no structural breaks) and the Gregory and Hansen (1996) test (allowing for one structural break) provide no evidence of a long-run relationship between the stock prices of Thailand and these countries. Based on the empirical results obtained from these two residual-based cointegration tests, potential long-run benefits exist …
Gold Investment As An Inflationary Hedge: Cointegration Evidence With Allowance For Endogenous Structural Breaks, A. C. Worthington, Mosayeb Pahlavani
Gold Investment As An Inflationary Hedge: Cointegration Evidence With Allowance For Endogenous Structural Breaks, A. C. Worthington, Mosayeb Pahlavani
Faculty of Commerce - Papers (Archive)
This note tests for the presence of a stable long-run relationship between the monthly price of gold and inflation in the United States from 1945 to 2006 and from 1973 to 2006. Since both the price of gold and the consumer price index have been subject to structural change over time, a novel unit root testing procedure is employed which allows for the timing of significant breaks to be estimated, rather than assumed exogenous. After taking these endogenously determined structural breaks into account, a modified cointegration approach provides strong evidence of a cointegrating relationship between gold and inflation in both …
Modelling Demand For Broad Money In Australia, Abbas Valadkhani
Modelling Demand For Broad Money In Australia, Abbas Valadkhani
Faculty of Commerce - Papers (Archive)
The existence of a stable demand for money is very important for the conduct of monetary policy. It is argued that previous work on the demand for money in Australia has not been very satisfactory in a number of ways. This paper examines the long- and short-run determinants of the demand for broad money employing the Johansen cointegration technique and a short-run dynamic model. Using quarterly data for the period 1976:3-2002:2, this paper finds, inter alia, that the demand for broad money is cointegrated with real income, the rate of return on 10-year Treasury bonds, the cash rate and the …
Cointegration And Structural Change In The Exports-Gdp Nexus: The Case Of Iran, Mosayeb Pahlavani
Cointegration And Structural Change In The Exports-Gdp Nexus: The Case Of Iran, Mosayeb Pahlavani
Faculty of Commerce - Papers (Archive)
This paper examines the major sources of economic growth in Iran using annual time series data (1960 to 2003). The time series properties of the data are analysed by Perrons innovational outlier and additive outlier models.
Sources Of Economic Growth In Iran: A Cointegration Analysis In The Presence Of Structural Breaks, Mosayeb Pahlavani
Sources Of Economic Growth In Iran: A Cointegration Analysis In The Presence Of Structural Breaks, Mosayeb Pahlavani
Faculty of Commerce - Papers (Archive)
This paper examines the major determinants of GDP growth in Iran using annual time series data spanning form 1960 to 2003.
An Application Of The New Cointegration Techniques In Export-Gdp Nexus In Iran, Mosayeb Pahlavani, Edgar J. Wilson
An Application Of The New Cointegration Techniques In Export-Gdp Nexus In Iran, Mosayeb Pahlavani, Edgar J. Wilson
Faculty of Commerce - Papers (Archive)
This paper examines the major determinants of GDP growth in Iran using annual time series data spanning form 1960 to 2003.
An Empirical Analysis Of The Black Market Exchange Rate In Iran, Abbas Valadkhani
An Empirical Analysis Of The Black Market Exchange Rate In Iran, Abbas Valadkhani
Faculty of Commerce - Papers (Archive)
The Iranian rial has been depreciated on average about 13 per cent per annum against the U.S dollar during the last four decades. This paper examines the long- and short-run determinants of the black market exchange rate employing the cointegration techniques and the annual time series data from 1960 to 2002. Consistent with previous studies and the monetary approach to the exchange-rate determination, it is found that the black market exchange rate is cointegrated with the relative consumer price indices in Iran and the U.S., real GDP and the relative import prices. However, in the short run only the rising …
What Determine Private Investment In Iran?, Abbas Valadkhani
What Determine Private Investment In Iran?, Abbas Valadkhani
Faculty of Commerce - Papers (Archive)
Iran’s Third Five-Year Development (2000/01-2004/05) has considered a pivotal role for private investment in creating seven to eight hundred thousand jobs per annum to stabilise the rate of unemployment. This paper examines the long- and short-run determinants of the private investment function by employing the Johansen multivariate cointegration technique and a short-run dynamic model. Using annual data for the period 1960-2000, this paper finds, inter alia, that private investment is cointegrated with non-oil GDP, and the rate of inflation. It is found that a one per cent increase in inflation in the long-run can immediately result in a one per …
Long- And Short-Run Determinants Of The Demand For Money In New Zealand: A Cointegration Analysis, Abbas Valadkhani
Long- And Short-Run Determinants Of The Demand For Money In New Zealand: A Cointegration Analysis, Abbas Valadkhani
Faculty of Commerce - Papers (Archive)
The existence of a stable demand for money is very important for the conduct of monetary policy even in this new era of inflation targeting. It is argued that previous work on the demand for money in New Zealand has been either not very satisfactory in a number of ways or outdated. This paper examines the long-run determinants of the demand for M3 employing the Johansen cointegration technique and quarterly data for the period 1988:1-2002:2. This paper finds, inter alia, that the demand for money is cointegrated with real income, the spread between interest on money and on non-money assets, …