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299
Export-led growth: a survey of the empirical literature and some noncausality results part 2
- JOURNAL OF INTERNATIONAL TRADE AND ECONOMIC DEVELOPMENT, FORTHCOMING
, 2000
"... This paper continues the investigation of Giles and Williams (2000) on export-led growth (ELG). In the first part, we surveyed the empirical export-led growth literature; it was evident that Granger noncausality tests are commonly applied as a test for ELG. In this paper, we explore the sensitivity ..."
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Cited by 66 (0 self)
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This paper continues the investigation of Giles and Williams (2000) on export-led growth (ELG). In the first part, we surveyed the empirical export-led growth literature; it was evident that Granger noncausality tests are commonly applied as a test for ELG. In this paper, we explore the sensitivity of the test for exclusions restrictions often used as the Granger noncauality test for ELG by reconsidering two applications: Oxley’s (1993) study for Portugal and Henriques and Sadorsky’s (1996) analysis for Canada. We focus on robustness to the method adopted to deal with nonstationarity, including the choice of deterministic trend degree. We show that different noncausality outcomes are easy to obtain, and consequently we recommend that readers interpret the empirical ELG literature with care. Our analysis also highlights the importance of examining the robustness of Granger noncauality test results to avoid spurious outcomes in applications.
The turning black tide: Energy prices and the Canadian dollar
- Concordia University
, 2006
"... Not to be quoted without the authors ’ permission. The views expressed in this paper are those of the authors. No responsibility for them should be attributed to the Bank of Canada. This paper revisits the relationship between energy prices and the Canadian dollar in the Amano-van Norden (1995) equa ..."
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Cited by 27 (2 self)
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Not to be quoted without the authors ’ permission. The views expressed in this paper are those of the authors. No responsibility for them should be attributed to the Bank of Canada. This paper revisits the relationship between energy prices and the Canadian dollar in the Amano-van Norden (1995) equation which showed a negative relationship such that higher real energy prices led to a depreciation of the Canadian dollar. Based on structural break tests, we find a break point in the sign of this relationship, which changes from negative to positive in the early 1990s. The break in the effect between energy prices and the Canadian dollar is consistent with major changes in energy-related cross-border trade and in Canada’s energy policies. Résumé L’effet des prix des produits énergétiques sur le dollar canadien identifié par Aamno et van Norden (1995) est ré-examiné dans ce document de travail. Ces derniers avaient trouvé une relation négative entre les deux variables, telle qu’une hausse des cours des prix énergétiques conduit à une dépréciation du dollar canadien. En testant pour des bris structurels dans l’équation, nous découvrons que la relation a changé de signe dans le temps. Initialement négative, la relation tourne positive au début des années 1990. Le changement de la relation reflète, selon nous, l’évolution du commerce frontalier des produits énergétiques et l’assouplissement de la réglementions dans le secteur au fil du temps. 1.We would like to thank Jeannine Bailliu, Frederick Demers, Ali Dib, Takashi Kano, Maral Kichian, Larry Schembri, and Simon van Norden for their helpful comments and suggestions. 1.
The Dynamic Effects of Public Capital: VAR Evidence for 22
- OECD Countries, International Tax and Public Finance
, 2005
"... The issue of whether government capital is productive has received a lot of attention in the recent past. Yet, empirical analyses of public capital productivity have in general been limited to a small sample of countries for which official capital stock estimates are available. Building on a new dat ..."
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Cited by 25 (0 self)
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The issue of whether government capital is productive has received a lot of attention in the recent past. Yet, empirical analyses of public capital productivity have in general been limited to a small sample of countries for which official capital stock estimates are available. Building on a new database that provides internationally comparable capital stock estimates, this paper estimates the dynamic macroeconomic effects of public capital using the vector autoregressive (VAR) methodology for a large panel of OECD countries. The paper adds to the empirical literature by presenting results for many countries for which there is no VAR evidence so far and by proposing a new identification scheme that extends the approach proposed by Blanchard and Perotti (2002).
Inference in cointegrating models: UK M1 revisited
- Journal of Economic Surveys
, 1998
"... The paper addresses the empirical application of multivariate cointegration analysis to a small model of narrow money, prices, output and interest rates in the UK. Practical determination of cointegration rank is difficult for many reasons: deterministic terms play a crucial role in limiting distrib ..."
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Cited by 23 (1 self)
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The paper addresses the empirical application of multivariate cointegration analysis to a small model of narrow money, prices, output and interest rates in the UK. Practical determination of cointegration rank is difficult for many reasons: deterministic terms play a crucial role in limiting distributions, and systems may not be formulated to ensure similarity to nuisance parameters; finite-sample critical values may differ from asymptotic equivalents (the latter are usually obtained via simulation, but could be based on response surfaces); dummy variables alter critical values, often greatly; multiple cointegration vectors must be identified to allow inference; the data may be I(2) rather than I(1), altering distributions; and conditioning to partial systems must be done with care.
Investigating M3 money demand in the euro area. New evidence based on standard models, DIW Discussion Paper 561
, 2006
"... www.diw.de ..."
European Monetary Union: A Cointegration Analysis
"... This paper employs systems-based cointegration techniques developed by Johansen (1988, 1995) to determine which European Union countries would form a successful Economic and Monetary Union (EMU), based on long-run behavior of the nominal convergence criteria laid down in the Maastricht treaty. The o ..."
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Cited by 22 (1 self)
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This paper employs systems-based cointegration techniques developed by Johansen (1988, 1995) to determine which European Union countries would form a successful Economic and Monetary Union (EMU), based on long-run behavior of the nominal convergence criteria laid down in the Maastricht treaty. The original 12 European Union countries are analyzed together. Nominal exchange rates, real exchange rates, longterm interest rates, and government budget deficits are each analyzed for co-movements among the 12 countries and various subgroups of them. The results suggest that not all of the 12 original countries of the European Union could possibly form a successful EMU over time, unless several countries made significant adjustments.
Forecasting Economic and Financial Variables with Global VARs ∗
, 2009
"... This paper considers the problem of forecasting real and financial macroeconomic variables across a large number of countries in the global economy. To this end a global vector autoregressive (GVAR) model previously estimated over the 1979Q1-2003Q4 period by Dees, di Mauro, Pesaran, and Smith (2007) ..."
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Cited by 21 (3 self)
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This paper considers the problem of forecasting real and financial macroeconomic variables across a large number of countries in the global economy. To this end a global vector autoregressive (GVAR) model previously estimated over the 1979Q1-2003Q4 period by Dees, di Mauro, Pesaran, and Smith (2007), is used to generate out-of-sample one quarter and four quarters ahead forecasts of real output, inflation, real equity prices, exchange rates and interest rates over the period 2004Q1-2005Q4. Forecasts are obtained for 134 variables from 26 regions made up of 33 countries covering about 90 % of world output. The forecasts are compared to typical benchmarks: univariate autoregressive and random walk models. Building on the forecast combination literature, the effects of model and estimation uncertainty on forecast outcomes are examined by pooling forecasts obtained from different GVAR models estimated over alternative sample periods. Given the size of the modelling problem, and the heterogeneity of economies considered — industrialised, emerging, and less developed countries — as well as the very real likelihood of possibly multiple structural breaks, averaging forecasts across both models and windows makes a significant difference. Indeed the double-averaged GVAR forecasts perform better
Energy Consumption and Economic Growth: New Insights into The Cointegration Relationship
- Energy Economics
, 2011
"... This paper examines the long-run relationship between energy consumption and real GDP, including energy prices, for 25 OECD countries from 1981 to 2007. The distinction between common factors and idiosyncratic components using principal component analysis allows to distinguish between developments ..."
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Cited by 16 (1 self)
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This paper examines the long-run relationship between energy consumption and real GDP, including energy prices, for 25 OECD countries from 1981 to 2007. The distinction between common factors and idiosyncratic components using principal component analysis allows to distinguish between developments on an international and a national level as drivers of the long-run relationship. Indeed, cointegration between the common components of the underlying variables indicates that international developments dominate the long-run relationship between energy consumption and real GDP. Furthermore, the results suggest that energy consumption is price-inelastic. Causality tests indicate the presence of a bi-directional causal relationship between energy consumption and economic growth.
2010), "Four Centuries of British Economic Growth: The Roles of Technology and Population
- Journal of Economic Growth
"... Using long historical data for Britain over the period 1620-2006, this paper seeks to explain the importance of innovative activity, population growth and other factors in inducing the transition from the Malthusian trap to the post-Malthusian growth regime. Furthermore, the paper tests the ability ..."
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Cited by 16 (1 self)
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Using long historical data for Britain over the period 1620-2006, this paper seeks to explain the importance of innovative activity, population growth and other factors in inducing the transition from the Malthusian trap to the post-Malthusian growth regime. Furthermore, the paper tests the ability of two competing second-generation endogenous growth models to account for the British growth experience. The results suggest that innovative activity was an important force in shaping the Industrial Revolution and that the British growth experience is consistent with Schumpeterian growth theory.
