The Relationship Between Commodity Prices and Selected Macroeconomic Variables in Turkey

2020 ◽  
pp. 510-528
Author(s):  
Mustafa Uysal ◽  
Zafer Adalı
Keyword(s):  
Natural Gas ◽  
Commodity Prices ◽  
Cointegration Test ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Oil And Natural Gas ◽  
The Relationship

This chapter determines whether there is a long-run relationship among oil, copper, natural gas, export figures and import figures, and BIST 100. Within this context, the study employs monthly periods from January 2006 to June 2019. ADF, Fourier ADF, and Banerjee Cointegration Test were applied. Banerjee Cointegration Test revealed that copper, oil, and natural gas and import figures move together in the long run but the existence of the long-run relationship between the selected inputs and export figures and BIST 100 has not been found. This evidence can be interpreted as the change in oil, copper, and natural gas may influence the amount of Turkish import figures.

Investigation for the Role of Oil and Natural Gas in the BIST Sector Indexes in Turkey

2021 ◽  
pp. 262-283
Author(s):  
Uğur Uzun ◽  
Zafer Adalı
Keyword(s):  
Natural Gas ◽  
Financial Performance ◽  
Unit Root ◽  
Primary Energy ◽  
Energy Prices ◽  
Long Run ◽  
Natural Gas Prices ◽  
Oil And Natural Gas ◽  
The Relationship

In this chapter, the authors aim to investigate the association between the primary energy sources' prices involving oil and natural gas and sectors indices operating the Turkey stock market for the period covering 2012M1-2021M3. Regarding energy price indicators, Brent oil and natural gas real-time future prices are preferred in the models, and BIST Industrials (XUSIN), BIST Chem-Petrol Plastic (XKMYA), and BIST Electricity (XELKT) indices are used as financial performance indicators. Fourier unit root tests improved by Becker et al. and Fourier co-integration tests improved by Tsong et al. are employed to investigate the relationship between considered variables. As a result of the models, it is found that the energy prices and financial performance index do not move together in the long run; in other words, change in oil and natural gas prices seem not to have an impact on the sector indexes.

scholarly journals An analysis of the relationship of inflation and unemployment to the gross domestic product (gdp) in zimbabwe

2014 ◽  
Vol 1 (3) ◽  
pp. 156-162
Author(s):  
Tendai Makoni
Keyword(s):  
Time Series ◽  
Gross Domestic Product ◽  
Cointegration Test ◽  
Domestic Product ◽  
Long Run ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Relationship Of ◽  
The Relationship ◽  
Yearly Data

The time series yearly data for Gross Domestic Product (GDP), inflation and unemployment from 1980 to 2012 was used in the study. First difference of the logged data became stationary as suggested by the time series plots. Johansen Maximum Likelihood Cointegration test indicated a long-run relationship among the variables. Granger Causality tests suggested unidirectional causality between inflation and GDP, implying that GDP is Granger caused by inflation in Zimbabwe. Another unidirectional causality was noted between unemployment and inflation. The causality between unemployment and inflation imply that unemployment do affect GDP indirectly since unemployment influences inflation which in turn positively affect GDP.

scholarly journals Macroeconomic Factors and Equity Prices: An Empirical Investigation by Using ARDL Approach

2008 ◽  
Vol 47 (4II) ◽  
pp. 501-513 ◽  
Author(s):  
Arshad Hasan ◽  
Zafar Mueen Nasir
Keyword(s):  
Empirical Studies ◽  
Testing Procedure ◽  
Bounds Testing ◽  
Macroeconomic Factors ◽  
Equity Prices ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Ardl Approach ◽  
The Impact ◽  
The Relationship

The relationship between macroeconomic variables and the equity prices has attracted the curiosity of academicians and practitioners since the publication of seminal paper of Chen, et al. (1986). Many empirical studies those tested the relationship reveal that asset pricing theories do not properly identify macroeconomic factors that influence equity prices [Roll and Ross (1980); Fama (1981); Chen, et al. (1986); Hamao (1986); Faff (1988); Chen (1991); Maysami and Koh (2000) and Paul and Mallik (2001)]. In most of these studies, variable selection and empirical analyses is based on economic rationale, financial theory and investors’ intuition. These studies generally apply Eagle and Granger (1987) procedure or Johanson and Jusilieus (1990, 1991) approach in Vector Auto Regressor (VAR) Framework. In Pakistan, Fazal (2006) and Nishat (2001) explored the relationship between macroeconomic factors and equity prices by using Johanson and Jusilieus (1990, 1991) procedure. The present study tests the relationship between macroeconomic variables such as inflation, industrial production, oil prices, short term interest rate, exchange rates, foreign portfolio investment, money supply and equity prices by using Auto Regressive Distributive Lag (ARDL) bounds testing procedure proposed by Pesaran, Shin, and Smith (1996, 2001). The ARDL approach in an errorcorrection setting has been widely applied to examine the impact of macroeconomic factors on economic growth but it is strongly underutilised in the capital market filament of literature. This methodology has a number of advantages over the other models. First, determining the order of integration of macroeconomic factors and equity market returns is not an important issue here because the Pesaran ARDL approach yields consistent estimates of the long-run coefficients that are asymptotically normal irrespective of whether the underlying regressors are I(0) or I(1) and of the extent of cointegration. Secondly, the ARDL approach allows exploring correct dynamic structure while many econometric procedures do not allow to clearly distinguish between long run and short run relationships.

The Impact of Economic Sentiment, Consumer, Producer and Investor's Confidence Indices on Stock Returns of the Listed Companies in FTSE-20 in Greece

2018 ◽  
pp. 162-209
Author(s):  
Constantine Cantzos ◽  
Petros Kalantonis ◽  
Aristidis Papagrigoriou ◽  
Stefanos Theotokas
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Macroeconomic Variables ◽  
Production Index ◽  
Behavioral Indicators ◽  
Portfolio Returns ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
The Relationship

This chapter examines the relationship between stock returns of companies listed in the FTSE-20 on the Athens Exchange and behavioral indicators. The research is based on the behavioral APT model, which examines stock returns' risk factors through the involvement of macroeconomic variables and behavioral indicators. The data is the closing price of 17 shares listed in the FTSE-20 index, a number of macroeconomic variables, and a series of behavioral indicators for the period of January 2001-December 2014. Regressions were conducted with dependent variable stock returns of a portfolio invested equally in these 17 stocks. In addition, the research tests the existence of long-run and short-run equilibrium and causality. The change in the industrial production index along with the risk premium have a positive and significant impact on the portfolio returns. Johansen's test showed that there is a long-run equilibrium between stock returns, macroeconomic variables, and behavioral indicators. The VECM and VAR models showed that there is not long and short-run causality, not even Granger causality. No similar research has been conducted in Greece, thus it fills a literature gap.

scholarly journals ANALISIS HUBUNGAN PENDAPATAN WISATAWAN DAN HARGA PARIWISATA TERHADAP PERMINTAAN PARIWISATA DENGAN VECM

2016 ◽  
Vol 5 (2) ◽  
pp. 44
Author(s):  
MERARY SIANIPAR ◽  
NI LUH PUTU SUCIPTAWATI ◽  
KOMANG DHARMAWAN
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
Cointegration Test ◽  
Tourism Demand ◽  
Long Run ◽  
Negative Effect ◽  
Short Run ◽  
The Relationship ◽  
Positive Effect

Tourism demand is focused on estimating variables which influence tourist visit. The tourism demand that we discuss on this research is the tourism demand to Bali of the major tourism-generating country was Australia. The aim of this research is to analyze the relationship between tourist income and tourism price to tourism demand using VECM. VECM requires that the variables in the model must be stationary and fulfilled a cointegration condition. In order to make it valid, the stationarity of variables in the model have to be checked using ADF unit root test. In additon, cointegration between these variables are examined using Johansen’s cointegration test. The results of ADF unit root test show that indicated the tourist income, the tourism price and the tourism demand for Australia data are stationary in first lag or I(1). Cointegration test shows that all variables are cointegrated, i.e. have a long-run relationship. In the long-run, the tourist income and tourism price give positive effect to the tourism demand. This means, the increase of tourist income and tourism price will contribute to the increase in tourism demand. In addition, in the short-run, the tourist income and the tourism price give negative effect to the tourism demand. This means, the increase of tourist income and tourism price will contribute to the decrease in tourism demand.

scholarly journals The Corruption-Terrorism Nexus: A Panel Data Approach

2016 ◽  
Vol 8 (11) ◽  
pp. 111 ◽  
Author(s):  
Nahil Boussiga ◽  
Malek Ghdamsi
Keyword(s):  
Panel Cointegration ◽  
Political Stability ◽  
Cointegration Test ◽  
Correction Model ◽  
Major Threat ◽  
Long Run ◽  
Cointegration Tests ◽  
Panel Cointegration Test ◽  
The Relationship ◽  
Control Of Corruption

<p>Corruption has been increasingly recognized as the major threat to economic development, political stability and peace. It is also acknowledged by international community as the breeding ground for terrorism. This paper examines the relationship between corruption and terrorism in the long run. Previous studies examining the link between these two phenomena used only time series cointegration tests. In this paper, we make use of a dataset for a panel of 123 developed and developing countries over the period 2003-2014. We use Pedroni’s residual-based panel cointegration test and the error correction model-based panel cointegration test developed by Westerlund. In order to obtain more robust results, we use two different measures of corruption which are Corruption Perceptions Index (CPI) and Worldwide Control of Corruption Indicator (CC). The results of both tests reject the null hypothesis of no cointegration. we conclude that corruption and terrorism converge. Our findings corroborate results of previous studies.</p>

scholarly journals On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables

2009 ◽  
Vol 41 (2) ◽  
pp. 521-528 ◽  
Author(s):  
Jungho Baek ◽  
Won W. Koo
Keyword(s):  
Interest Rates ◽  
Commodity Prices ◽  
Commodity Price ◽  
Farm Income ◽  
Agricultural Commodity ◽  
Macroeconomic Variables ◽  
Distributed Lag ◽  
Dynamic Relationship ◽  
Long Run ◽  
Short Run

This study examines the short- and long-run effects of changes in macroeconomic variables—agricultural commodity prices, interest rates and exchange rates—on the U.S. farm income. For this purpose, we adopt an autoregressive distributed lag (ARDL) approach to cointegration with quarterly data for 1989–2008. Results show that the exchange rate plays a crucial role in determining the long-ran behavior of U.S. farm income, but has little effect in the short-run. We also find that the commodity price and interest rate have been significant determinants of U.S. farm income in both the short- and long-run over the past two decades.

scholarly journals The Relationship between Corruption and Economic Growth: The Case of Newly Industrialized Countries

2017 ◽  
Author(s):  
Emrah Sofuoğlu ◽  
Oktay Kızılkaya ◽  
Ahmet Ay
Keyword(s):  
Economic Growth ◽  
Cointegration Test ◽  
Test Panel ◽  
Industrialized Countries ◽  
Macroeconomic Variables ◽  
Newly Industrialized Countries ◽  
Corruption Index ◽  
The Relationship

Studies on corruption have been increasing in the literature recently. The effects of corruption, especially on macroeconomic variables, are a matter of curiosity for researchers. The aim of this study is to examine the relationship between corruption and economic growth. In this sense, Newly Industrialized Countries (NIC) are investigated in the study. The study covers the period 2001-2014 and to determine the long-term relationship, Pedroni cointegration test, panel FMOLS and panel DOLS coefficient estimators are utilised. According to the results of Pedroni cointegration test, there is a long-term relationship between corruption and economic growth. In addition, both panel FMOLS and DOLS results indicate that rise in corruption index contributes to higher economic growth in related countries.

scholarly journals Do Macroeconomic Variables Predict Deposit Money Banks’ Performance in Nigeria?

2020 ◽  
pp. 14-33
Keyword(s):  
Economic Growth ◽  
Inflation Rate ◽  
Bank Performance ◽  
Fiscal Policies ◽  
Empirical Examination ◽  
Economic Growth Rate ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Short Run ◽  
The Relationship

This study investigated the relationship between macroeconomic variables and the performance of deposit money banks in Nigeria, analyzed with suitable finametric tools. The results of the empirical examination found that all the macroeconomic variables employed (economic growth rate, interest rate, inflation rate, money supply and exchange rate in this study have no significant relationship with bank performance. It was also observed that each and jointly, the macroeconomic variables do not cause bank performance both in the short run and long run. Again, that bank performance responds insignificantly to the shocks of all the macroeconomic variables. Consequently the researchers advocate that deposit money banks in Nigeria with inherent discretionary policy be proactive to the monetary and fiscal policies of regulatory authorities in order to enhance their performance.

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