The Trade Balance Effects of U.S. Foreign Direct Investment in Mexico

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "The Trade Balance Effects of U.S. Foreign Direct Investment in Mexico"

Transcription

1 The Trade Balance Effects of U.S. Foreign Direct Investment in Mexico PETER WILAMOSKI AND SARAH TINKLER* This paper examines the effect of U.S. foreign direct investment (FDI) in Mexico on U.S. exports to and imports from Mexico. The rise of intrafirm exports and imports following U.S. FDI in Mexico suggests that FDI affects trade flows. Empirical estimation proceeds with tests for stationarity and cointegration. The finding of cointegration among the variables leads to estimation of the hypothesized relationships with a vector error-correction model. Impulse response functions and variance decomposition reveal that FDI leads to increased exports and imports during the time period considered. (JEL F21) Introduction The 1993 ratification of the North American Free Trade Agreement (NAFTA) is the most visible symbol of the deepening relationship between the U.S. and Mexico. However, earlier bilateral agreements and Mexico's joining the General Agreement on Tariffs and Trade had already moved the two economies inexorably closer. This relationship poses unique challenges to the U.S. and Mexico. The principle popular concern expressed in the U.S. about NAFTA is that it will export jobs to Mexico, a concern immortalized in Ross Perot's statement that NAFTA would create a "giant sucking sound" as U.S. firms migrate across the border, taking U.S. jobs with them. Indeed, NAFTA does contain provisions to encourage U.S. investment in Mexico, including the establishment of the North American Development Bank to finance Mexico- U.S. projects. The second major criticism of NAFTA is related to the first. Critics contend that NAFTA will worsen the U.S. trade balance because additional investment in Mexico, coupled with the elimination of tariffs, will increase U.S. imports from Mexican affiliates of U.S. firms. Also, a greater Mexican industrial base might reduce the demand for U.S.- made goods in Mexico. On the other hand, those supporting NAFTA suggest that the removal of barriers to investment will allow U.S. firms to establish a presence in the Mexican market. This would increase their sales and require the Mexican subsidiary to import inputs from the U.S. parent firm and capital goods from unaffiliated U.S. firms. This paper examines the effect of U.S. FDI in Mexico on U.S. trade. The second section explains how FDI may affect trade flows. The third section reports the growth of aggregate and sector-level U.S.-Mexico trade and FDI. The fourth section presents estimates of the effects of U.S. FDI in Mexico on both aggregate U.S. exports and *Weber State University--U.S.A. 24

2 WILAMOSKI AND TINKLER: FOREIGN DIRECT INVESTMENT 25 imports and intrafirm trade using classical regression techniques. Empirical estimation proceeds with tests for stationarity and cointegration. Impulse response functions and variance decomposition are utilized to reveal the dynamic effect of FDI on exports and imports. The fifth section concludes this paper. FDI and Trade Flows Theoretically, FDI and exports can be substitutes [Mundel, 1957] or complements [Markusen, 1983; Helpman, 1984] and the effect on imports cannot be predicted apriori. Table 1 summarizes several ways FDI can affect exports and imports. If FDI substitutes Mexican for U.S.-manufactured goods for sale in the Mexican market, then U.S. exports will fall. However, exports will rise if Mexican production requires inputs from the U.S. parent or unaffiliated firms. U.S. exports of inputs will rise if lower Mexican production costs raise Mexico's demand for the multinational corporation's (MNC) product [Blomstrom et al., 1988]. Also, if the MNC's Mexican market grows due to falling production costs, then a market for the MNC's higher-end, home-produced goods may arise. Imports may rise or be unaffected by U.S. FDI in Mexico. TABLE 1 Possible Relationships Between FDI and Trade Effect on Home Nation FDI Activity Exports Imports Host nation production requires home nation capital goods. Host nation affiliate production requires inputs from parent firm. Host nation is a low-cost source of production for sale in host nation (substituting for home production). Host nation is a low-cost source of production for sale in home nation (substituting for home production). Parent has unexportable firm-specific advantages (FDI raises demand for parent firm's product). Host nation affiliate production raises demand for higher-end products from home nation. As host nation supplier network grows, inputs from parent firm decrease. Transfers of technology and management skills increase competitiveness of host nation f'lrms. FDI raises host nation growth rate. positive positive negative positive positive negative negative positive positive positive

3 26 AEJ: MARCH 1999, VOL. 27, NO. 1 The effect of FDI on exports has been examined by Orr [1991], Blomstrom et al. [1988], Pfaffermayr [1994], and Lin [1995]. Only Orr examined the trade balance effects of inward FDI to the U.S. For the U.S., he suggests that FDI improves the competitiveness of U.S. firms in both U.S. and international markets. He finds an elasticity of U.S. aggregate exports to FDI of.21 which suggests that FDI in the U.S. during the late 1980s raised U.S. exports by roughly 20 billion dollars over the long term. Orr hypothesized that inward FDI should lead to lower U.S. imports, but, empirically, an increase in FDI appears to raise aggregate imports even after several years. However, this finding does not hold up at the industry level. For example, Orr finds that FDI in the U.S. auto industry initially raised the trade deficit as imports of capital goods and parts offset the reduction in imports of finished automobiles. However, after four years, FDI led to a trade surplus in automobiles as imports of capital goods and parts fell and domestic content rose. Orr's findings suggest that U.S. FDI in Mexico may initially raise U.S. exports and improve the U.S. trade balance. However, Mexico's imports of U.S. goods may eventually fall and U.S. imports from Mexico may eventually rise. Total U.S. exports could rise if the U.S. parent would ship inputs to Mexico for final assembly before shipment back to the U.S. and if lower production costs in Mexico create a larger U.S. market for the good than would otherwise exist. The Growth of U.S.-Mexico FDI, Exports, and Imports Table 2 shows the growth of aggregate U.S. merchandise exports to and imports from Mexico as well as aggregate U.S. FDI. Growth in trade and investment has been steady since the late 1980s when Mexico joined the General Agreement on Tariffs and Trade and began unilaterally dismantling its external barriers. U.S. merchandise exports increased dramatically to about 50 billion dollars by From 1988 to 1994, growth of U.S. merchandise exports and imports averaged about 25 percent and 17 percent a year, respectively. The U.S. ran trade deficits with Mexico from 1982 to 1990 but began a series of trade surpluses in TABLE 2 U.S. Merchandise Exports and Imports and FDI in Mexico (in Billion Dollars) Year Exports Imports Total FDI* Total U.S. FDI** U.S. Share***

4 WILAMOSKI AND TINKLER: FOREIGN DIRECT INVESTMENT 27 TABLE 2 (CONT.) Year Exports Imports Total FDI* Total U.S. FDI** U.S. Share*** t t t Notes: * denotes Mexican FDI figures from the General Directorate of Foreign Investment [ SeCoFI, 1994] and adapted from NAFTA andforeign Investments in Mexico [Ortiz, 1994]. ** denotes data for U.S. FDI in Mexico from the Survey of Current Business [U.S. Department of Commerce, various issues]. *** denotes U.S. share of FDI in Mexico from the General Directorate of Foreign Investment [SeCoFI, 1994]. The figures are not consistent with the Survey of Current Business figures as SeCoFI reports much higher U.S. FDI in Mexico. For 1991, SeCoFI reports cumulative U.S. FDI as 21 billion dollars and the Survey of Current Business reports cumulative U.S. FDI as billion dollars, t denotes the estimate is based on U.S. FDI in Mexico and U.S. share of FDI in Mexico. In 1989, regulations concerning FDI were significantly liberalized to allow up to 100 percent foreign ownership if certain criteria are met [Lustig, 1992].1 NAFTA extends the areas of permissible FDI and protects foreign investors with a dispute settlement mechanism. Mexican (Banco de Mexico and SeCoFI) and U.S. (Bureau of Economic Analysis) statistics for U.S. FDI in Mexico differ but, by any measure, FDI soared in the early 1990s. To what extent has FDI driven trade? Table 3 shows total U.S. FDI exports and imports as well as FDI exports and imports for U.S. multinationals and their Mexican affiliates in specific sectors. Trade between U.S. parents and their Mexican affiliates grew more rapidly than arms-length trade, suggesting that part of the rise in U.S.-Mexico trade is the result of earlier FDI by U.S. f'lrms in Mexico. U.S. MNC's intrafirm trade accounted for 28 percent of U.S. exports to Mexico and 24 percent of U.S. imports from Mexico in up from 23 percent and 20 percent, respectively, in 1983.

5 28 AEJ: MARCH 1999, VOL. 27, NO. 1 TABLE 3 FDI by Manufacturing Sector and Intrafirm Exports and Imports (in Billion Dollars) FDI Exports Imports Sector %A %A %A Total All Manufacturing Food , ,183 Chemicals Metals Machinery Electronics Transportation On average, 68 percent of the output of U.S.-owned Mexican subsidiaries is sold locally with considerable variation at the industry level. In the case of food and like products, 99 percent of output is sold locally while in electronic equipment nearly 100 percent of output is exported to the U.S. Eventually, U.S. exports of finished goods might fall as industries other than food and like products make inroads in the Mexican market. Estimating the Trade Balance Effects of FDI How does U.S. FDI in Mexico affect trade? Aggregate trade and trade between U.S. MNCs and their Mexican affiliates are both examined using annual data and classical regression analysis. 2 To test for properties of stationarity, estimates of the effect of FDI on aggregate trade flows are made using quarterly data. 3 The following model is estimated with all variables expressed as logarithms and in real terms: S t = X 1 + x2yt, raex + x3rt+ x4fdit + xs~cfdlt_i+ u t, (1) M t = m 1 + m2yt, us + m3rt + m4~cfdit_i + u t, (2) where: X t is U.S.-manufactured exports to Mexico; M t is U.S.-manufactured imports from Mexico; Yt, i is gross domestic product (i is country) with expected sign of x 2, m 2 > 0 ; R t is real exchange rate with expected sign of x 3 > 0 and m 3 < 0; FD1 t is

6 WILAMOSKI AND TINKLER: FOREIGN DIRECT INVESTMENT 29 U.S. FDI in Mexico in year t with expected sign of X 4.9, and CFDI t is cumulative U.S. FDI in Mexico to year t with expected sign of x s, m 4.9. Current FDI captures U.S. exports of capital to Mexico and the inclusion of past values of cumulative FDI (CFDI) allows for lag effects between FDI and subsidiary production. Table 4 presents ordinary least squares (OLS) estimates of (1) and (2) using annual data from 1977 to 1994, correcting for serial correlation. Mexican and U.S. sources give different figures for U.S. FDI. Both measures were initially used to estimate the equations, but the results were qualitatively similar, so only the results based on U.S. measures of FDI are reported. TABLE 4 Trade Balance Effects of FDI on Aggregate and Intrafirm Trade: Explanatory Variable Aggregate Intrafirm Exports Imports Exports Imports (1) (2) Intercept (1.720) (2.380) (-.450) (-.110) (-1.050) Mexican GDP (1.430) (1.250) (.670) U.S. GDP (4.130) (3.470) Real Exchange Rate (2.980) (2.630) (.490) (1.667) (-3.260) FDI Flow (1.880) (1.590) (1.620) CFDI (-1) (1.760) (3.500) (3.410) (-.850) CFDI (-2) (-2.690) (3.150).467 (1.990) R DW Notes: All variables are entered in logarithmic form, therefore, the coefficients are elasticities. The t-statistics are reported in parentheses. All equations are corrected for serial correlation. DW denotes the Durbin-Watson test. GDP denotes gross domestic product.

7 30 AEJ: MARCH 1999, VOL. 27, NO. 1 Coefficients display the expected signs and are inline with prior estimates. Both the real value of the peso and Mexican GDP raise U.S. exports. At the aggregate and intrafirm level, there is a small positive relationship between current FDI and U.S. exports. This is consistent withthe hypothesis that investment in Mexico requires U.S. capital goods. CFDI raises aggregate U.S. exports after one year but lowers them after two years. No effect of FDI on exports is found after two years. The net effect on exports is positive though small. These findings suggest that FDI will eventually lower U.S. exports as Mexican content rises. The exchange rate appears less important for intrafirm exports than for aggregate exports, and the positive effect of CFDI on exports to subsidiaries comes after two years. The sum of the coefficients on CFDI for total U.S. exports to Mexico (.67) indicates that FDI has a small positive effect on total U.S. exports to Mexico. The 7 billion dollars increase in U.S. FDI from 1990 to 1994, along with the elasticity of exports to FDI of.67, suggests that exports to Mexico were about 4.5 billion dollars higher because of the increased FDI. Total exports were more than 50 billion dollars, so FDI raised exports by about 8 percent and can explain about 25 percent of the 22 billion dollars increase in exports during that time. The results for imports indicate that U.S. FDI to Mexico will raise U.S. imports from Mexico after one year. The coefficients are not statistically different for aggregate imports and intrafirm imports. The FDI coefficient of.35 suggests that, as a result of the 7 billion dollars increase in FDI from 1990 to 1994, U.S. imports were about 2.5 billion dollars higher than they would otherwise be. Also, increased FDI can explain about 8 percent of the 20 billion dollars increase in imports over that period. The results for aggregate exports and imports indicate that the net trade balance effect of FDI between the U.S. and Mexico is slightly positive. These estimates, as well as those of Orr [1991], Blomstrom et al. [1988], and Lin [1995], were obtained by estimating conventional trade models without considering the stationarity properties of the relevant time series. If the variables are not stationary, this method will generate spurious results, that is, test statistics that are biased toward finding significant relationships that do not exist. To overcome this problem, Pfaffermayr [1994] examines FDI and Austrian exports using vector autoregression (VAR) analysis. To test for stationarity and the order of integration of the relevant time series, augmented Dickey-Fuller tests (ADF) are applied. If a group of variables is integrated of order one, that is, they are stationary only in first differences, then it is necessary to test whether the group is cointegrated before estimating a VAR in first differences. A model estimated in first differences removes common influences but also information about longrun relationships among the variables. A group of nonstationary variables will be cointegrated if some linear combination of them is stationary. The long-run cointegration relationships can be estimated and used as cross-equation restraints in VAR models, making them vector error-correction (VEC) models. To test for cointegration, the ADF and DW tests are applied to the residual series obtained from estimating the long-run relationship in levels.

8 WILAMOSKI AND TINKLER: FOREIGN DIRECT INVESTMENT 31 Because exports may cause FDI, as well as FDI causing exports, VAR analysis is useful since it treats all variables symmetrically. To determine if feedback effects exist, the dynamics of the adjustment process must be identified by estimating a VAR model and using the innovation accounting techniques of VAR analysis to measure the speed and strength with which one variable responds to shocks arising with another. Innovation accounting is undertaken using impulse response functions and variance decompositions. 4 ADF unit root tests of the stationarity of the time series in levels and differences on quarterly data from 1977 to 1994 for aggregate U.S.-Mexico exports and imports reveal that all the series are nonstationary in levels but are stationary in first differences. Estimation continues with the two-step methodology developed by Engle and Granger [1985]. In step one, the hypothesized relationship (the cointegrating regression) is estimated in levels using OLS without any dynamic components, providing estimates of the long-run effect on trade of the explanatory variables. The residuals from this regression are tested for stationarity using the ADF and DW tests. Both equations were tested for cointegration and these results are reported in Table 5. The ADF test statistics exceed the critical value, rejecting the hypothesis of no cointegration for both exports and imports with respect to FDI. TABLE 5 Cointegration Test Explanatory Variable Exports Imports Mexican GDP.845 (4.32) U.S. GDP 1.41 FDI 1.79 (18.70) 2.12 Real Exchange Rate 1.21 (9.34) -.42 Constant (-6.31) (2.27) (7.42) (-2.52) (-5.69) ADF t-statistic MacKinnon Critical Value* DW t-statistic** Notes: * and ** denote null of no cointegration is rejected at 10 and 5 percent levels, respectively. The analysis proceeds with a two-equation VEC model for exports and CFDI and for imports and CFDI. A VEC model is, in essence, a VAR model that incorporates an errorcorrection term which, here, is the residual series from the cointegrating equation, lagged one period. The inclusion of an error-correction term in a VAR model allows the

9 32 AEJ: MARCH 1999, VOL. 27, NO. 1 estimated model to reflect long-run equilibrium constraints while, at the same time, permitting flexibility in the short-run dynamics captured by the VAR. The real exchange rate and GDP are taken as exogenous. The Akaike information criterion is used to identify the proper number of lags. Granger causality tests are conducted using the lag specification determined in the VEC analysis to determine the nature of the relationship between FDI and exports and FDI and imports. The null hypotheses (that exports are not Granger-caused by FDI and that imports are not Grangercaused by FDI) are both rejected at the 5 percent level. The test results also indicate a bidirectional relationship, that is, exports and imports both help explain FDI. To assess the effect of FDI on exports and imports, the analysis proceeds by examining the impulse response functions and variance decompositions of the system. The results of the impulse response functions are traced out in Figures 1 and 2. The impulse response function for the effect of a one-unit innovation to FDI on exports indicates a small positive effect that continues for two years before tailing off. The effect of FDI on exports, again, turns slightly positive after 13 quarters. The dynamics revealed by the impulse response function suggest that the effect of new FDI on U.S. exports of capital goods and production inputs to U.S.-owned manufacturing subsidiaries is complete within two years. FIGURE 1 Response of U.S. Exports to a One-Standard Deviation Innovation in FDI , Y 0.00 The small positive effect witnessed after three years suggests that, over time, U.S. FDI raises Mexican income and supports the growth of new Mexican firms needing U.S. inputs. 5 The cumulative response after eight quarters to an innovation in FDI is about a

10 WILAMOSKI AND TINKLER: FOREIGN DIRECT INVESTMENT standard deviation change in U.S. exports to Mexico and, after 16 quarters, is about.475. Over the sample period, the standard deviation for CFDI was about 4 billion dollars. For exports, it was about 15 billion dollars. Back-of-the-envelope calculations suggest that the 7 billion dollars increase in FDI to Mexico from 1990 to 1994 accounts for about 11 billion dollars of extra U.S. exports, explaining about 50 percent of the 22 billion dollars in increased exports over that time. These estimates are higher than those found using the long-run elasticities from Table 4. FIGURE 2 Response of U.S. Imports to a One-Standard Deviation Innovation in FDI / ' 14 ' ' 16 The variance decompositions are reported in Tables 6 and 7. SE represents the forecast error of exports and imports at points in the future. The percentage of the variance due to innovations in. trade and FDI is also given. For exports, FDI explains a rising portion of the forecast error, reaching 28 percent after one year and 32 percent after two years. 6 The impulse response function for U.S. imports indicates that, following an innovation in FDI, initially, there is almost no effect on imports. However, after two years, there is a steady, positive effect that reaches a cumulative value of about.45 after four years. The variance decompositions for imports reveal that almost none of the forecast error can be explained by FDI after eight quarters, but, by the 16th quarter, more than 40 percent of the variation in the forecast error is caused by innovations in FDI. Again, back-of-theenvelope calculations indicate that the rise in FDI from 1990 to 1994 of 7 billion dollars suggests an increase in imports of more than 10 billion dollars out of the total increase in imports of 20 billion dollars over that period. When the results for imports are viewed along with the impulse response function for exports, they suggest that the effect on the

11 34 AEJ: MARCH 1999, VOL. 27, NO. 1 U.S. trade balance with Mexico is positive for the first two years. However, gradually rising imports reduce the positive effect of exports, leaving net exports unchanged. This result is different from that found using the elasticities reported in Table 4 which concluded that FDI would improve the U.S. trade position with Mexico. The Granger-causality results and the impulse response functions reveal that both exports and imports positively affect FDI. This result is not surprising given that 60 percent of new FDI into Mexico is in retailing and wholesale distribution. Rising export sales provide an incentive for U.S. firms to invest in better distribution networks for their products. TABLE 6 Variance Decompositions: Exports Variance Decomposition of Exports Period SE Exports FDI Variance Decomposition of FDI SE Exports FDI Notes: Ordering is log of cumulative foreign direct investment (LCFDI) and log of U.S. exports to Mexico (LUSX).

12 WILAMOSKI AND TINKLER: FOREIGN DIRECT INVESTMENT 35 TABLE 7 Variance Decompositions: Imports Variance Decomposition of Imports Variance Decomposition of FDI Period SE Imports FDI SE Imports FDI Notes: Ordering is log of cumulative foreign direct investment (LCFDI) and log of U.S. imports from Mexico (LUSM). Summary Opponents of NAFTA were concerned that trade and investment liberalization between the U.S. and Mexico would cause U.S. jobs to migrate to Mexico. This paper has indirectly examined that question by addressing the effects of U.S. FDI in Mexico on trade flows. The empirical results presented here suggest that U.S. FDI in Mexico raises total U.S. exports to and imports from Mexico. Results from traditional OLS estimates indicate a small positive effect on the U.S. trade balance with Mexico from increased FDI, but the contribution to exports and imports is relatively small compared to other determinants of trade.

13 36 AEJ: MARCH 1999, VOL. 27, NO. 1 To ensure that the empirical results generated by classical regression procedures are not spurious, stationarity tests and VAR analysis are conducted to examine the relationships among the variables. The results of Granger-causality, impulse response analysis, and variance decompositions reveal information about the relationship between trade and FDI not found in the OLS analysis. Impulse response functions, which allow the dynamic nature of the relationship between FDI and trade to be observed, show that the positive effect on exports is complete within a couple of years, while the effect on imports does not begin for a couple of years. Given similarities in the size and growth of exports and imports over the sample period, the impulse response function results suggest, first, that FDI explains a substantial portion of the rapid increase in trade between the two nations and, second, that the initial, small positive effect on the U.S. trade balance with Mexico resulting from new FDI will diminish over time. Footnotes 1. Prior to 1989, FDI in Mexico was regulated by the 1973 Law to Promote Mexican Investment and Regulate Foreign Investment which created four categories of activity: 1) activities reserved exclusively to the Mexican state (for example, petroleum); 2) activities reserved exclusively to Mexicans (television, transportation, and forestry); 3) activities in which foreign investment was subject to percentage limitations ranging from 0 percent to 49 percent foreign ownership (for example, automobile components); and 4) activities where foreign ownership could not exceed 49 percent. In 1984, the Guidelines for Foreign Investment and Objectives for Its Promotion [United Nations, 1992, p. 14] was issued to encourage foreign investment in activities that were oriented toward exports or that required high investment requirements per person-hour. 2. Data on aggregate U.S. exports to and imports from Mexico are from the Direction of Trade Statistics [International Monetary Fund, various issues]. Data for trade between U.S. multinationals and their affiliates are from the Survey of Current Business [U.S. Department of Commerce, various issues]. 3. On a quarterly basis, U.S.-Mexico trade statistics are created from data on aggregate exports and imports for Mexico, adjusted for the share of U.S.-Mexico trade over the period 1977:1-1994:3 (frominternational Financial Statistics [International Monetary Fund, various issues)] 4. An impulse response function will separate the determinants of a change in exports or imports into innovations that can be identified with FDI. It traces the effect on current and future values of exports or imports of a one-standard deviation change in the innovation. In this case, it is the change in FDI. Forecast error variance decompositions reveal the proportion of movement in a variable due to its previous values and the proportion that can be attributed to some other variable. Developing an impulse response function requires the imposition of an identification restriction through a Cholesky decomposition which constrains the system so that, in a twoequation system ofx and y for a particular ordering, a one-unit innovation to x t will affect x and y, but a one-unit shock to Yt will only affect y. A different ordering will change the effect of a one-unit innovation to x t and Yt on x and y and will result in a different impulse response function. Theory could be used to determine the ordering, but the ordering does not matter if the correlation coefficient between the error terms in each equation is low (less than.2). If the correlation coefficient is large, however, the impulse response function from each potential ordering should be obtained and the results compared. In this case, the ordering of the

14 . WILAMOSKI AND TINKLER: FOREIGN DIRECT INVESTMENT variables does not appear to matter. The reported results use an ordering of FDI and then exports or imports in calculating the impulse response function. Estimates using FDI flows rather than CFDI resulted in the effect of FDI on exports falling to zero after 10 periods (results available from the authors). A long-run model treating GDP and the exchange rate as endogenous variables was also found to be cointegrated and a VEC model estimated. The impulse response function between exports and FDI was strikingly similar to that reported in Figure 1. However, the variance decomposition, including the new endogenous variables, showed that FDI explained a much smaller portion of the forecast error in exports (7 percent) with GDP and the exchange rate explaining the difference (results available from the authors). References Blomstrom, Magnus; Lipsey, Robert; Kulchycky, Ksenia. "U.S. and Swedish Direct Investment and Exports in Assessing U.S. Trade Policy," in Richard Baldwin, ed., Trade Policy Issues and Empirical Analysis, Chicago, IL: University of Chicago Press, 1988, pp Engle, Robert F.; Granger, Clive W. J. "Cointegration and Error Correction: Representation, Estimation and Testing," Econometrica, 55, 2, 1985, pp Helpman, E. "A Simple Theory of International Trade with Multinational Corporations," Journal of Political Economy, 92, 1984, pp International Monetary Fund. Direction of Trade Statistics, Washington, DC: IMF, various issues.. International Financial Statistics, Washington, DC: IMF, various issues. Lin, An-Loh. "Trade Effects of Foreign Direct Investment: Evidence for Taiwan with Four ASEAN Countries," Weltwirtschaflliches Archiv, 1995, pp Lustig, Nora. Mexico: The Remaking of an Economy, Washington, DC: The Brookings Institution, Markusen, J. R. "Factor Movements and Commodity Trade as Complements," Journal of International Economics, 14, 1983, pp Mundel, R. A. "International Trade and Factor Mobility," American Economic Review, 47, 1957, pp Orr, James. "The Trade Balance Effects of Foreign Direct Investment in U.S. Manufacturing," Federal Reserve Bank of New York Quarterly Review, Summer 1991, pp Ortiz, Edgar. "NAFTA and Foreign Investments in Mexico," in Alan M. Rugman, ed.,foreign Investment and NAFTA, Columbia, SC: University of South Carolina Press, Pfaffermayr, M. "Foreign Investment and Exports: A Time Series Approach,"Applied Economics, 26, 1994, pp SeCoFI (Secretaria de Comercio y Fomento Industrial). General Directorate of Foreign Investment, Mexico: Banco de Mexico, U.S. Department of Commerce. Survey of Current Business, Washington, DC: USDC, various issues. United Nations, Centre on Transnational Corporations. Foreign Investment and Industrial Restructuring in Mexico, New York, NY: United Nations, 1992.

Chapter 5: Bivariate Cointegration Analysis

Chapter 5: Bivariate Cointegration Analysis Chapter 5: Bivariate Cointegration Analysis 1 Contents: Lehrstuhl für Department Empirische of Wirtschaftsforschung Empirical Research and und Econometrics Ökonometrie V. Bivariate Cointegration Analysis...

More information

This article appeared in a journal published by Elsevier. The attached copy is furnished to the author for internal non-commercial research and

This article appeared in a journal published by Elsevier. The attached copy is furnished to the author for internal non-commercial research and This article appeared in a journal published by Elsevier. The attached copy is furnished to the author for internal non-commercial research and education use, including for instruction at the authors institution

More information

Is the Forward Exchange Rate a Useful Indicator of the Future Exchange Rate?

Is the Forward Exchange Rate a Useful Indicator of the Future Exchange Rate? Is the Forward Exchange Rate a Useful Indicator of the Future Exchange Rate? Emily Polito, Trinity College In the past two decades, there have been many empirical studies both in support of and opposing

More information

Business Cycles and Natural Gas Prices

Business Cycles and Natural Gas Prices Department of Economics Discussion Paper 2004-19 Business Cycles and Natural Gas Prices Apostolos Serletis Department of Economics University of Calgary Canada and Asghar Shahmoradi Department of Economics

More information

THE U.S. CURRENT ACCOUNT: THE IMPACT OF HOUSEHOLD WEALTH

THE U.S. CURRENT ACCOUNT: THE IMPACT OF HOUSEHOLD WEALTH THE U.S. CURRENT ACCOUNT: THE IMPACT OF HOUSEHOLD WEALTH Grant Keener, Sam Houston State University M.H. Tuttle, Sam Houston State University 21 ABSTRACT Household wealth is shown to have a substantial

More information

TEMPORAL CAUSAL RELATIONSHIP BETWEEN STOCK MARKET CAPITALIZATION, TRADE OPENNESS AND REAL GDP: EVIDENCE FROM THAILAND

TEMPORAL CAUSAL RELATIONSHIP BETWEEN STOCK MARKET CAPITALIZATION, TRADE OPENNESS AND REAL GDP: EVIDENCE FROM THAILAND I J A B E R, Vol. 13, No. 4, (2015): 1525-1534 TEMPORAL CAUSAL RELATIONSHIP BETWEEN STOCK MARKET CAPITALIZATION, TRADE OPENNESS AND REAL GDP: EVIDENCE FROM THAILAND Komain Jiranyakul * Abstract: This study

More information

Examining the Relationship between ETFS and Their Underlying Assets in Indian Capital Market

Examining the Relationship between ETFS and Their Underlying Assets in Indian Capital Market 2012 2nd International Conference on Computer and Software Modeling (ICCSM 2012) IPCSIT vol. 54 (2012) (2012) IACSIT Press, Singapore DOI: 10.7763/IPCSIT.2012.V54.20 Examining the Relationship between

More information

Co-movements of NAFTA trade, FDI and stock markets

Co-movements of NAFTA trade, FDI and stock markets Co-movements of NAFTA trade, FDI and stock markets Paweł Folfas, Ph. D. Warsaw School of Economics Abstract The paper scrutinizes the causal relationship between performance of American, Canadian and Mexican

More information

THE EFFECTS OF BANKING CREDIT ON THE HOUSE PRICE

THE EFFECTS OF BANKING CREDIT ON THE HOUSE PRICE THE EFFECTS OF BANKING CREDIT ON THE HOUSE PRICE * Adibeh Savari 1, Yaser Borvayeh 2 1 MA Student, Department of Economics, Science and Research Branch, Islamic Azad University, Khuzestan, Iran 2 MA Student,

More information

Business cycles and natural gas prices

Business cycles and natural gas prices Business cycles and natural gas prices Apostolos Serletis and Asghar Shahmoradi Abstract This paper investigates the basic stylised facts of natural gas price movements using data for the period that natural

More information

Dynamics of Real Investment and Stock Prices in Listed Companies of Tehran Stock Exchange

Dynamics of Real Investment and Stock Prices in Listed Companies of Tehran Stock Exchange Dynamics of Real Investment and Stock Prices in Listed Companies of Tehran Stock Exchange Farzad Karimi Assistant Professor Department of Management Mobarakeh Branch, Islamic Azad University, Mobarakeh,

More information

The VAR models discussed so fare are appropriate for modeling I(0) data, like asset returns or growth rates of macroeconomic time series.

The VAR models discussed so fare are appropriate for modeling I(0) data, like asset returns or growth rates of macroeconomic time series. Cointegration The VAR models discussed so fare are appropriate for modeling I(0) data, like asset returns or growth rates of macroeconomic time series. Economic theory, however, often implies equilibrium

More information

THE IMPACT OF EXCHANGE RATE VOLATILITY ON BRAZILIAN MANUFACTURED EXPORTS

THE IMPACT OF EXCHANGE RATE VOLATILITY ON BRAZILIAN MANUFACTURED EXPORTS THE IMPACT OF EXCHANGE RATE VOLATILITY ON BRAZILIAN MANUFACTURED EXPORTS ANTONIO AGUIRRE UFMG / Department of Economics CEPE (Centre for Research in International Economics) Rua Curitiba, 832 Belo Horizonte

More information

FORECASTING DEPOSIT GROWTH: Forecasting BIF and SAIF Assessable and Insured Deposits

FORECASTING DEPOSIT GROWTH: Forecasting BIF and SAIF Assessable and Insured Deposits Technical Paper Series Congressional Budget Office Washington, DC FORECASTING DEPOSIT GROWTH: Forecasting BIF and SAIF Assessable and Insured Deposits Albert D. Metz Microeconomic and Financial Studies

More information

Testing for Granger causality between stock prices and economic growth

Testing for Granger causality between stock prices and economic growth MPRA Munich Personal RePEc Archive Testing for Granger causality between stock prices and economic growth Pasquale Foresti 2006 Online at http://mpra.ub.uni-muenchen.de/2962/ MPRA Paper No. 2962, posted

More information

Are the US current account deficits really sustainable? National University of Ireland, Galway

Are the US current account deficits really sustainable? National University of Ireland, Galway Provided by the author(s) and NUI Galway in accordance with publisher policies. Please cite the published version when available. Title Are the US current account deficits really sustainable? Author(s)

More information

The Relationship between Current Account and Government Budget Balance: The Case of Kuwait

The Relationship between Current Account and Government Budget Balance: The Case of Kuwait International Journal of Humanities and Social Science Vol. 2 No. 7; April 2012 The Relationship between Current Account and Government Budget Balance: The Case of Kuwait Abstract Ebrahim Merza Economics

More information

FDI and Economic Growth Relationship: An Empirical Study on Malaysia

FDI and Economic Growth Relationship: An Empirical Study on Malaysia International Business Research April, 2008 FDI and Economic Growth Relationship: An Empirical Study on Malaysia Har Wai Mun Faculty of Accountancy and Management Universiti Tunku Abdul Rahman Bander Sungai

More information

Impact of Mexico's Peso-Dollar Exchange Rate on Texas Metropolitan Area Retail Sales

Impact of Mexico's Peso-Dollar Exchange Rate on Texas Metropolitan Area Retail Sales Impact of Mexico's Peso-Dollar Exchange Rate on Texas Metropolitan Area Retail Sales M.A. Anari Research Economist Mark G. Dotzour Chief Economist Texas A&M University May 2001 2001, Real Estate Center.

More information

Working Papers. Cointegration Based Trading Strategy For Soft Commodities Market. Piotr Arendarski Łukasz Postek. No. 2/2012 (68)

Working Papers. Cointegration Based Trading Strategy For Soft Commodities Market. Piotr Arendarski Łukasz Postek. No. 2/2012 (68) Working Papers No. 2/2012 (68) Piotr Arendarski Łukasz Postek Cointegration Based Trading Strategy For Soft Commodities Market Warsaw 2012 Cointegration Based Trading Strategy For Soft Commodities Market

More information

Relationship between Commodity Prices and Exchange Rate in Light of Global Financial Crisis: Evidence from Australia

Relationship between Commodity Prices and Exchange Rate in Light of Global Financial Crisis: Evidence from Australia Relationship between Commodity Prices and Exchange Rate in Light of Global Financial Crisis: Evidence from Australia Omar K. M. R. Bashar and Sarkar Humayun Kabir Abstract This study seeks to identify

More information

EXCHANGE RATE PASS-THROUGH TO INFLATION IN MONGOLIA

EXCHANGE RATE PASS-THROUGH TO INFLATION IN MONGOLIA 1 EXCHANGE RATE PASS-THROUGH TO INFLATION IN MONGOLIA by Gan-Ochir Doojav doojav_ganochir@mongolbank.mn February 2009 Economist at the Monetary Policy and Research Department of the Bank of Mongolia. Opinions

More information

Chapter 12: Time Series Models

Chapter 12: Time Series Models Chapter 12: Time Series Models In this chapter: 1. Estimating ad hoc distributed lag & Koyck distributed lag models (UE 12.1.3) 2. Testing for serial correlation in Koyck distributed lag models (UE 12.2.2)

More information

IS THERE A LONG-RUN RELATIONSHIP

IS THERE A LONG-RUN RELATIONSHIP 7. IS THERE A LONG-RUN RELATIONSHIP BETWEEN TAXATION AND GROWTH: THE CASE OF TURKEY Salih Turan KATIRCIOGLU Abstract This paper empirically investigates long-run equilibrium relationship between economic

More information

FDI as a source of finance in imperfect capital markets Firm-Level Evidence from Argentina

FDI as a source of finance in imperfect capital markets Firm-Level Evidence from Argentina FDI as a source of finance in imperfect capital markets Firm-Level Evidence from Argentina Paula Bustos CREI and Universitat Pompeu Fabra September 2007 Abstract In this paper I analyze the financing and

More information

Forecasting the US Dollar / Euro Exchange rate Using ARMA Models

Forecasting the US Dollar / Euro Exchange rate Using ARMA Models Forecasting the US Dollar / Euro Exchange rate Using ARMA Models LIUWEI (9906360) - 1 - ABSTRACT...3 1. INTRODUCTION...4 2. DATA ANALYSIS...5 2.1 Stationary estimation...5 2.2 Dickey-Fuller Test...6 3.

More information

On the long run relationship between gold and silver prices A note

On the long run relationship between gold and silver prices A note Global Finance Journal 12 (2001) 299 303 On the long run relationship between gold and silver prices A note C. Ciner* Northeastern University College of Business Administration, Boston, MA 02115-5000,

More information

Chapter 1. Vector autoregressions. 1.1 VARs and the identi cation problem

Chapter 1. Vector autoregressions. 1.1 VARs and the identi cation problem Chapter Vector autoregressions We begin by taking a look at the data of macroeconomics. A way to summarize the dynamics of macroeconomic data is to make use of vector autoregressions. VAR models have become

More information

Air passenger departures forecast models A technical note

Air passenger departures forecast models A technical note Ministry of Transport Air passenger departures forecast models A technical note By Haobo Wang Financial, Economic and Statistical Analysis Page 1 of 15 1. Introduction Sine 1999, the Ministry of Business,

More information

THE EFFECT OF MONETARY GROWTH VARIABILITY ON THE INDONESIAN CAPITAL MARKET

THE EFFECT OF MONETARY GROWTH VARIABILITY ON THE INDONESIAN CAPITAL MARKET 116 THE EFFECT OF MONETARY GROWTH VARIABILITY ON THE INDONESIAN CAPITAL MARKET D. Agus Harjito, Bany Ariffin Amin Nordin, Ahmad Raflis Che Omar Abstract Over the years studies to ascertain the relationship

More information

How do oil prices affect stock returns in GCC markets? An asymmetric cointegration approach.

How do oil prices affect stock returns in GCC markets? An asymmetric cointegration approach. How do oil prices affect stock returns in GCC markets? An asymmetric cointegration approach. Mohamed El Hedi AROURI (LEO-Université d Orléans & EDHEC, mohamed.arouri@univ-orleans.fr) Julien FOUQUAU (ESC

More information

Financial Integration of Stock Markets in the Gulf: A Multivariate Cointegration Analysis

Financial Integration of Stock Markets in the Gulf: A Multivariate Cointegration Analysis INTERNATIONAL JOURNAL OF BUSINESS, 8(3), 2003 ISSN:1083-4346 Financial Integration of Stock Markets in the Gulf: A Multivariate Cointegration Analysis Aqil Mohd. Hadi Hassan Department of Economics, College

More information

ijcrb.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS AUGUST 2014 VOL 6, NO 4

ijcrb.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS AUGUST 2014 VOL 6, NO 4 RELATIONSHIP AND CAUSALITY BETWEEN INTEREST RATE AND INFLATION RATE CASE OF JORDAN Dr. Mahmoud A. Jaradat Saleh A. AI-Hhosban Al al-bayt University, Jordan ABSTRACT This study attempts to examine and study

More information

An Empirical Study on the Relationship between Stock Index and the National Economy: The Case of China

An Empirical Study on the Relationship between Stock Index and the National Economy: The Case of China An Empirical Study on the Relationship between Stock Index and the National Economy: The Case of China Ming Men And Rui Li University of International Business & Economics Beijing, People s Republic of

More information

EXPORT INSTABILITY, INVESTMENT AND ECONOMIC GROWTH IN ASIAN COUNTRIES: A TIME SERIES ANALYSIS

EXPORT INSTABILITY, INVESTMENT AND ECONOMIC GROWTH IN ASIAN COUNTRIES: A TIME SERIES ANALYSIS ECONOMIC GROWTH CENTER YALE UNIVERSITY P.O. Box 208269 27 Hillhouse Avenue New Haven, Connecticut 06520-8269 CENTER DISCUSSION PAPER NO. 799 EXPORT INSTABILITY, INVESTMENT AND ECONOMIC GROWTH IN ASIAN

More information

Real Exchange Rates and Real Interest Differentials: The Case of a Transitional Economy - Cambodia

Real Exchange Rates and Real Interest Differentials: The Case of a Transitional Economy - Cambodia Department of Economics Issn 1441-5429 Discussion paper 08/10 Real Exchange Rates and Real Interest Differentials: The Case of a Transitional Economy - Cambodia Tuck Cheong Tang 1 Abstract: This study

More information

Permanent Link: http://espace.library.curtin.edu.au/r?func=dbin-jump-full&local_base=gen01-era02&object_id=137679

Permanent Link: http://espace.library.curtin.edu.au/r?func=dbin-jump-full&local_base=gen01-era02&object_id=137679 Citation: Salim, Ruhul A. and Bloch, Harry. 2007. Business expenditures on R&D and trade performances in Australia: is there a link? Applied Economics. 41 (3): pp. 351-361. Additional Information: If you

More information

Relationship between Stock Futures Index and Cash Prices Index: Empirical Evidence Based on Malaysia Data

Relationship between Stock Futures Index and Cash Prices Index: Empirical Evidence Based on Malaysia Data 2012, Vol. 4, No. 2, pp. 103-112 ISSN 2152-1034 Relationship between Stock Futures Index and Cash Prices Index: Empirical Evidence Based on Malaysia Data Abstract Zukarnain Zakaria Universiti Teknologi

More information

ANALYSIS OF EUROPEAN, AMERICAN AND JAPANESE GOVERNMENT BOND YIELDS

ANALYSIS OF EUROPEAN, AMERICAN AND JAPANESE GOVERNMENT BOND YIELDS Applied Time Series Analysis ANALYSIS OF EUROPEAN, AMERICAN AND JAPANESE GOVERNMENT BOND YIELDS Stationarity, cointegration, Granger causality Aleksandra Falkowska and Piotr Lewicki TABLE OF CONTENTS 1.

More information

Import and Economic Growth in Turkey: Evidence from Multivariate VAR Analysis

Import and Economic Growth in Turkey: Evidence from Multivariate VAR Analysis Journal of Economics and Business Vol. XI 2008, No 1 & No 2 Import and Economic Growth in Turkey: Evidence from Multivariate VAR Analysis Ahmet Uğur, Inonu University Abstract This study made an attempt

More information

DEFICIT FINANCING AND TRADE BALANCE IN NIGERIA. Abstract

DEFICIT FINANCING AND TRADE BALANCE IN NIGERIA. Abstract DEFICIT FINANCING AND TRADE BALANCE IN NIGERIA OKORO A. SUNDAY Ph.D Department of Banking and Finance Ebonyi State University Abakaliki NIGERIA. Abstract Using a time series data the study employed Granger-Causality

More information

TIME SERIES ANALYSIS OF CHINA S EXTERNAL DEBT COMPONENTS, FOREIGN EXCHANGE RESERVES AND ECONOMIC GROWTH RATES. Hüseyin Çetin

TIME SERIES ANALYSIS OF CHINA S EXTERNAL DEBT COMPONENTS, FOREIGN EXCHANGE RESERVES AND ECONOMIC GROWTH RATES. Hüseyin Çetin TIME SERIES ANALYSIS OF CHINA S EXTERNAL DEBT COMPONENTS, FOREIGN EXCHANGE RESERVES AND ECONOMIC GROWTH RATES Hüseyin Çetin Phd Business Administration Candidate Okan University Social Science Institute,

More information

Documento de Trabajo. Trade Liberalization and Wage Inequality. Time Series Evidence from Chile.

Documento de Trabajo. Trade Liberalization and Wage Inequality. Time Series Evidence from Chile. Documento de Trabajo Trade Liberalization and Wage Inequality. Time Series Evidence from Chile. Rodrigo Navia Carvallo 1997 El autor es Ph.D in Economics, Tulane University, EEUU. Máster of Arts in Economics,

More information

International linkages of Japanese bond markets: an empirical analysis

International linkages of Japanese bond markets: an empirical analysis MPRA Munich Personal RePEc Archive International linkages of Japanese bond markets: an empirical analysis Bang Nam Jeon and Philip Ji and Hongfang Zhang Drexel University, Monash University 1. January

More information

DETERMINANT FACTORS OF FOREIGN DIRECT INVESTMENT FLOWS IN CENTRAL AND EASTERN EUROPEAN COUNTRIES

DETERMINANT FACTORS OF FOREIGN DIRECT INVESTMENT FLOWS IN CENTRAL AND EASTERN EUROPEAN COUNTRIES DETERMINANT FACTORS OF FOREIGN DIRECT INVESTMENT FLOWS IN CENTRAL AND EASTERN EUROPEAN COUNTRIES Nicoleta Ciurila Academy of Economic Studies Bucharest Faculty of Finance and Banking, Money and Banking

More information

Internet Appendix to Stock Market Liquidity and the Business Cycle

Internet Appendix to Stock Market Liquidity and the Business Cycle Internet Appendix to Stock Market Liquidity and the Business Cycle Randi Næs, Johannes A. Skjeltorp and Bernt Arne Ødegaard This Internet appendix contains additional material to the paper Stock Market

More information

The Causal Relation between Savings and Economic Growth: Some Evidence. from MENA Countries. Bassam AbuAl-Foul

The Causal Relation between Savings and Economic Growth: Some Evidence. from MENA Countries. Bassam AbuAl-Foul The Causal Relation between Savings and Economic Growth: Some Evidence from MENA Countries Bassam AbuAl-Foul (babufoul@aus.edu) Abstract This paper examines empirically the long-run relationship between

More information

Large and persistent external deficits often lead to calls for policy

Large and persistent external deficits often lead to calls for policy The Role of Savings and Investment in Balancing the Current Account: Some Empirical Evidence from the United States Giovanni P. Olivei Economist, Federal Reserve Bank of Boston. Erika M. Dreyer provided

More information

Chapter 6: Multivariate Cointegration Analysis

Chapter 6: Multivariate Cointegration Analysis Chapter 6: Multivariate Cointegration Analysis 1 Contents: Lehrstuhl für Department Empirische of Wirtschaftsforschung Empirical Research and und Econometrics Ökonometrie VI. Multivariate Cointegration

More information

Unit Labor Costs and the Price Level

Unit Labor Costs and the Price Level Unit Labor Costs and the Price Level Yash P. Mehra A popular theoretical model of the inflation process is the expectationsaugmented Phillips-curve model. According to this model, prices are set as markup

More information

Applied Econometrics and International Development Vol. 12-1 (2012)

Applied Econometrics and International Development Vol. 12-1 (2012) MERCHANDISE EXPORT DEMAND FUNCTION FOR EGYPT: A PANEL DATA ANALYSIS IBRAHIM, Mohamed Abbas 1 Abstract This study empirically estimates the critical parameters of merchandise export demand function for

More information

Determinants of Stock Market Performance in Pakistan

Determinants of Stock Market Performance in Pakistan Determinants of Stock Market Performance in Pakistan Mehwish Zafar Sr. Lecturer Bahria University, Karachi campus Abstract Stock market performance, economic and political condition of a country is interrelated

More information

European Journal of Business and Management ISSN 2222-1905 (Paper) ISSN 2222-2839 (Online) Vol.5, No.30, 2013

European Journal of Business and Management ISSN 2222-1905 (Paper) ISSN 2222-2839 (Online) Vol.5, No.30, 2013 The Impact of Stock Market Liquidity on Economic Growth in Jordan Shatha Abdul-Khaliq Assistant Professor,AlBlqa Applied University, Jordan * E-mail of the corresponding author: yshatha@gmail.com Abstract

More information

Does Capital Market Development Predict Investment Behaviors in a Developing Country? --- Evidence from Nigeria

Does Capital Market Development Predict Investment Behaviors in a Developing Country? --- Evidence from Nigeria Journal of Contemporary Management Submitted on 15/December/2011 Article ID: 1929-0128-2012-01-27-08 Okey O. Ovat Does Capital Market Development Predict Investment Behaviors in a Developing Country? ---

More information

University. Georgia State University. The Viability of Fiscal Policy in South Korea, Taiwan, and Thailand. International Studies Program

University. Georgia State University. The Viability of Fiscal Policy in South Korea, Taiwan, and Thailand. International Studies Program University International Studies Program Working Paper 02-09 March 2002 The Viability of Fiscal Policy in South Korea, Taiwan, and Thailand Tsangyao Chang WenRong Liu Henry Thompson Georgia State University

More information

The Long-Run Relation Between The Personal Savings Rate And Consumer Sentiment

The Long-Run Relation Between The Personal Savings Rate And Consumer Sentiment The Long-Run Relation Between The Personal Savings Rate And Consumer Sentiment Bradley T. Ewing 1 and James E. Payne 2 This study examined the long run relationship between the personal savings rate and

More information

Relationship among crude oil prices, share prices and exchange rates

Relationship among crude oil prices, share prices and exchange rates Relationship among crude oil prices, share prices and exchange rates Do higher share prices and weaker dollar lead to higher crude oil prices? Akira YANAGISAWA Leader Energy Demand, Supply and Forecast

More information

Co-integration, Causality, Money and Income in India

Co-integration, Causality, Money and Income in India Co-integration, Causality, Money and Income in India Inder Sekhar Yadav Abstract This paper investigates empirically the existence of a long-run relationship between money supply (MS) and national income

More information

THE RELATIONSHIPS BETWEEN GDP, EXPORT AND INVESTMENT: CASE STUDY IRAN

THE RELATIONSHIPS BETWEEN GDP, EXPORT AND INVESTMENT: CASE STUDY IRAN 401 THE RELATIONSHIPS BETWEEN GDP, EXPORT AND INVESTMENT: CASE STUDY IRAN Mahmoud Abolpour Mofrad Faulty of Azad university Branch of Firouz Abad Abstract This study compared the long-term and short-term

More information

A Trading Strategy Based on the Lead-Lag Relationship of Spot and Futures Prices of the S&P 500

A Trading Strategy Based on the Lead-Lag Relationship of Spot and Futures Prices of the S&P 500 A Trading Strategy Based on the Lead-Lag Relationship of Spot and Futures Prices of the S&P 500 FE8827 Quantitative Trading Strategies 2010/11 Mini-Term 5 Nanyang Technological University Submitted By:

More information

Time Series Analysis

Time Series Analysis Time Series Analysis Identifying possible ARIMA models Andrés M. Alonso Carolina García-Martos Universidad Carlos III de Madrid Universidad Politécnica de Madrid June July, 2012 Alonso and García-Martos

More information

MONEY MARKET EQUILIBRIUM IN THE CZECH REPUBLIC

MONEY MARKET EQUILIBRIUM IN THE CZECH REPUBLIC MONEY MARKET EQUILIBRIUM IN THE CZECH REPUBLIC DOI: 10.18267/j.pep.564 Jana 1 Juriová* Abstract This paper examines the theoretical concept of equilibrium in the money market that is empirically verified

More information

Testing The Quantity Theory of Money in Greece: A Note

Testing The Quantity Theory of Money in Greece: A Note ERC Working Paper in Economic 03/10 November 2003 Testing The Quantity Theory of Money in Greece: A Note Erdal Özmen Department of Economics Middle East Technical University Ankara 06531, Turkey ozmen@metu.edu.tr

More information

Cyclically Adjusted Current Account Balances

Cyclically Adjusted Current Account Balances Board of Governors of the Federal System International Finance Discussion Papers Number 1126 December 2014 Cyclically Adjusted Current Account Balances Jane Haltmaier Board of Governors of the Federal

More information

Performing Unit Root Tests in EViews. Unit Root Testing

Performing Unit Root Tests in EViews. Unit Root Testing Página 1 de 12 Unit Root Testing The theory behind ARMA estimation is based on stationary time series. A series is said to be (weakly or covariance) stationary if the mean and autocovariances of the series

More information

The Dynamics of Gold Prices, Gold Mining Stock Prices and Stock Market Prices Comovements

The Dynamics of Gold Prices, Gold Mining Stock Prices and Stock Market Prices Comovements The Dynamics of Gold Prices, Gold Mining Stock Prices and Stock Market Prices Comovements Claire G. Gilmore Department of Accounting and Finance, King s College Wilkes-Barre, Pennsylvania 18711, United

More information

Impact of Oil Price Increases on U.S. Economic Growth: Causality Analysis and Study of the Weakening Effects in Relationship

Impact of Oil Price Increases on U.S. Economic Growth: Causality Analysis and Study of the Weakening Effects in Relationship International Journal of Energy Economics and Policy Vol. 2, No. 3, 2012, pp.108-122 ISSN: 2146-4553 www.econjournals.com Impact of Oil Price Increases on U.S. Economic Growth: Causality Analysis and Study

More information

THE CONTRIBUTION OF EQUIPMENT LEASING IN THE ERROR- CORRECTION MODEL OF INVESTMENT IN MACHINERY AND EQUIPMENT: EVIDENCE FROM ITALY ZANIN, Luca *

THE CONTRIBUTION OF EQUIPMENT LEASING IN THE ERROR- CORRECTION MODEL OF INVESTMENT IN MACHINERY AND EQUIPMENT: EVIDENCE FROM ITALY ZANIN, Luca * Applied Econometrics and International Development Vol. 9-2 (2009) THE CONTRIBUTION OF EQUIPMENT LEASING IN THE ERROR- CORRECTION MODEL OF INVESTMENT IN MACHINERY AND EQUIPMENT: EVIDENCE FROM ITALY ZANIN,

More information

THE DETERMINANTS OF FOREIGN DIRECT INVESTMENT IN THE MANUFACTURING INDUSTRY OF MALAYSIA. Wong Hock Tsen *

THE DETERMINANTS OF FOREIGN DIRECT INVESTMENT IN THE MANUFACTURING INDUSTRY OF MALAYSIA. Wong Hock Tsen * Journal of Economic Cooperation 26, 2 (2005) 91-110 THE DETERMINANTS OF FOREIGN DIRECT INVESTMENT IN THE MANUFACTURING INDUSTRY OF MALAYSIA Wong Hock Tsen * Malaysia received, over the past decades, substantial

More information

RELATIONSHIP BETWEEN STOCK MARKET VOLATILITY AND EXCHANGE RATE: A STUDY OF KSE

RELATIONSHIP BETWEEN STOCK MARKET VOLATILITY AND EXCHANGE RATE: A STUDY OF KSE RELATIONSHIP BETWEEN STOCK MARKET VOLATILITY AND EXCHANGE RATE: A STUDY OF KSE Waseem ASLAM Department of Finance and Economics, Foundation University Rawalpindi, Pakistan seem_aslam@yahoo.com Abstract:

More information

Do federal budget deficits cause crowding out?

Do federal budget deficits cause crowding out? Do federal budget deficits cause crowding out? Tricia Coxwell Snyder William Paterson University Abstract Currently the U.S. President and congress are debating the size and role of government spending

More information

Energy consumption and GDP: causality relationship in G-7 countries and emerging markets

Energy consumption and GDP: causality relationship in G-7 countries and emerging markets Ž. Energy Economics 25 2003 33 37 Energy consumption and GDP: causality relationship in G-7 countries and emerging markets Ugur Soytas a,, Ramazan Sari b a Middle East Technical Uni ersity, Department

More information

The effect of Macroeconomic Determinants on the Performance of the Indian Stock Market

The effect of Macroeconomic Determinants on the Performance of the Indian Stock Market The effect of Macroeconomic Determinants on the Performance of the Indian Stock Market 1 Samveg Patel Abstract The study investigates the effect of macroeconomic determinants on the performance of the

More information

Impact of foreign portfolio investments on market comovements: Evidence from the emerging Indian stock market

Impact of foreign portfolio investments on market comovements: Evidence from the emerging Indian stock market Impact of foreign portfolio investments on market comovements: Evidence from the emerging Indian stock market Sunil Poshakwale and Chandra Thapa Cranfield School of Management, Cranfield University, Cranfield,

More information

Exploring the Intra-Metropolitan Dynamics of the London Office Market

Exploring the Intra-Metropolitan Dynamics of the London Office Market Exploring the Intra-Metropolitan Dynamics of the London Office Market Paper Presented at the Pacific-Rim Real Estate Society Annual Conference, Auckland, New Zealand, January 2006 Simon Stevenson, Cass

More information

Relative Effectiveness of Foreign Debt and Foreign Aid on Economic Growth in Pakistan

Relative Effectiveness of Foreign Debt and Foreign Aid on Economic Growth in Pakistan Relative Effectiveness of Foreign Debt and Foreign Aid on Economic Growth in Pakistan Abstract Zeshan Arshad Faculty of Management and Sciences, Evening Program, University of Gujrat, Pakistan. Muhammad

More information

The Impact of Economic Globalization on Income Distribution: Empirical Evidence in China. Abstract

The Impact of Economic Globalization on Income Distribution: Empirical Evidence in China. Abstract The Impact of Economic Globalization on Income Distribution: Empirical Evidence in China Xiaofei Tian Hebei University Baotai Wang University of Northern BC Ajit Dayanandan University of Northern BC Abstract

More information

Empirical Properties of the Indonesian Rupiah: Testing for Structural Breaks, Unit Roots, and White Noise

Empirical Properties of the Indonesian Rupiah: Testing for Structural Breaks, Unit Roots, and White Noise Volume 24, Number 2, December 1999 Empirical Properties of the Indonesian Rupiah: Testing for Structural Breaks, Unit Roots, and White Noise Reza Yamora Siregar * 1 This paper shows that the real exchange

More information

Kiwi drivers the New Zealand dollar experience AN 2012/ 02

Kiwi drivers the New Zealand dollar experience AN 2012/ 02 Kiwi drivers the New Zealand dollar experience AN 2012/ 02 Chris McDonald May 2012 Reserve Bank of New Zealand Analytical Note series ISSN 2230-5505 Reserve Bank of New Zealand PO Box 2498 Wellington NEW

More information

Implied volatility transmissions between Thai and selected advanced stock markets

Implied volatility transmissions between Thai and selected advanced stock markets MPRA Munich Personal RePEc Archive Implied volatility transmissions between Thai and selected advanced stock markets Supachok Thakolsri and Yuthana Sethapramote and Komain Jiranyakul Public Enterprise

More information

DOES A STRONG DOLLAR INCREASE DEMAND FOR BOTH DOMESTIC AND IMPORTED GOODS? John J. Heim, Rensselaer Polytechnic Institute, Troy, New York, USA

DOES A STRONG DOLLAR INCREASE DEMAND FOR BOTH DOMESTIC AND IMPORTED GOODS? John J. Heim, Rensselaer Polytechnic Institute, Troy, New York, USA DOES A STRONG DOLLAR INCREASE DEMAND FOR BOTH DOMESTIC AND IMPORTED GOODS? John J. Heim, Rensselaer Polytechnic Institute, Troy, New York, USA ABSTRACT Rising exchange rates strengthen the dollar and lower

More information

The Life-Cycle Motive and Money Demand: Further Evidence. Abstract

The Life-Cycle Motive and Money Demand: Further Evidence. Abstract The Life-Cycle Motive and Money Demand: Further Evidence Jan Tin Commerce Department Abstract This study takes a closer look at the relationship between money demand and the life-cycle motive using panel

More information

Fiscal Deficit, Trade Deficit, and Financial Account Deficit: Triple Deficits Hypothesis with the U.S. Experience

Fiscal Deficit, Trade Deficit, and Financial Account Deficit: Triple Deficits Hypothesis with the U.S. Experience DEPARTMENT OF ECONOMICS ISSN 1441-5429 DISCUSSION PAPER 06/14 Fiscal Deficit, Trade Deficit, and Financial Account Deficit: Triple Deficits Hypothesis with the U.S. Experience Tuck Cheong TANG Abstract:

More information

PITFALLS IN TIME SERIES ANALYSIS. Cliff Hurvich Stern School, NYU

PITFALLS IN TIME SERIES ANALYSIS. Cliff Hurvich Stern School, NYU PITFALLS IN TIME SERIES ANALYSIS Cliff Hurvich Stern School, NYU The t -Test If x 1,..., x n are independent and identically distributed with mean 0, and n is not too small, then t = x 0 s n has a standard

More information

DETERMINANTS OF FOREIGN DIRECT INVESTMENT IN INDIA AND CHINA

DETERMINANTS OF FOREIGN DIRECT INVESTMENT IN INDIA AND CHINA CHAPTER- 6 DETERMINANTS OF FOREIGN DIRECT INVESTMENT IN INDIA AND CHINA FDI usually represents a long term commitment to host country and contribute significantly to gross fixed capital formation in developing

More information

The Impact of Interest Rate Shocks on the Performance of the Banking Sector

The Impact of Interest Rate Shocks on the Performance of the Banking Sector The Impact of Interest Rate Shocks on the Performance of the Banking Sector by Wensheng Peng, Kitty Lai, Frank Leung and Chang Shu of the Research Department A rise in the Hong Kong dollar risk premium,

More information

Empirical Analysis on the Relationship between Tourism Development and Economic Growth in Sichuan

Empirical Analysis on the Relationship between Tourism Development and Economic Growth in Sichuan Empirical Analysis on the Relationship between Tourism Development and Economic Growth in Sichuan Li-hua He School of Economics and Management, Sichuan Agricultural University Ya an 625014, China Tel:

More information

The price-volume relationship of the Malaysian Stock Index futures market

The price-volume relationship of the Malaysian Stock Index futures market The price-volume relationship of the Malaysian Stock Index futures market ABSTRACT Carl B. McGowan, Jr. Norfolk State University Junaina Muhammad University Putra Malaysia The objective of this study is

More information

FOREIGN TAXES AND THE GROWING SHARE OF U.S. MULTINATIONAL COMPANY INCOME ABROAD: PROFITS, NOT SALES, ARE BEING GLOBALIZED.

FOREIGN TAXES AND THE GROWING SHARE OF U.S. MULTINATIONAL COMPANY INCOME ABROAD: PROFITS, NOT SALES, ARE BEING GLOBALIZED. National Tax Journal, June 2012, 65 (2), 247 282 FOREIGN TAXES AND THE GROWING SHARE OF U.S. MULTINATIONAL COMPANY INCOME ABROAD: PROFITS, NOT SALES, ARE BEING GLOBALIZED Harry Grubert The foreign share

More information

The relationships between stock market capitalization rate and interest rate: Evidence from Jordan

The relationships between stock market capitalization rate and interest rate: Evidence from Jordan Peer-reviewed & Open access journal ISSN: 1804-1205 www.pieb.cz BEH - Business and Economic Horizons Volume 2 Issue 2 July 2010 pp. 60-66 The relationships between stock market capitalization rate and

More information

Chapter 4: Vector Autoregressive Models

Chapter 4: Vector Autoregressive Models Chapter 4: Vector Autoregressive Models 1 Contents: Lehrstuhl für Department Empirische of Wirtschaftsforschung Empirical Research and und Econometrics Ökonometrie IV.1 Vector Autoregressive Models (VAR)...

More information

Vector Time Series Model Representations and Analysis with XploRe

Vector Time Series Model Representations and Analysis with XploRe 0-1 Vector Time Series Model Representations and Analysis with plore Julius Mungo CASE - Center for Applied Statistics and Economics Humboldt-Universität zu Berlin mungo@wiwi.hu-berlin.de plore MulTi Motivation

More information

Do Commercial Banks, Stock Market and Insurance Market Promote Economic Growth? An analysis of the Singapore Economy

Do Commercial Banks, Stock Market and Insurance Market Promote Economic Growth? An analysis of the Singapore Economy Do Commercial Banks, Stock Market and Insurance Market Promote Economic Growth? An analysis of the Singapore Economy Tan Khay Boon School of Humanities and Social Studies Nanyang Technological University

More information

Exploring Interaction Between Bank Lending and Housing Prices in Korea

Exploring Interaction Between Bank Lending and Housing Prices in Korea Exploring Interaction Between Bank Lending and Housing Prices in Korea A paper presented at the Housing Studies Association Conference 2012: How is the Housing System Coping? 18 20 April University of

More information

Import Prices and Inflation

Import Prices and Inflation Import Prices and Inflation James D. Hamilton Department of Economics, University of California, San Diego Understanding the consequences of international developments for domestic inflation is an extremely

More information

Why the saving rate has been falling in Japan

Why the saving rate has been falling in Japan MPRA Munich Personal RePEc Archive Why the saving rate has been falling in Japan Yoshiaki Azuma and Takeo Nakao January 2009 Online at http://mpra.ub.uni-muenchen.de/62581/ MPRA Paper No. 62581, posted

More information

How budget deficit and current account deficit are interrelated in Indian economy

How budget deficit and current account deficit are interrelated in Indian economy Theoretical and Applied Economics FFet al Volume XXIII (2016), No. 1(606), Spring, pp. 237-246 How budget deficit and current account deficit are interrelated in Indian economy U.J. BANDAY Jamia Millia

More information

A Primer on Forecasting Business Performance

A Primer on Forecasting Business Performance A Primer on Forecasting Business Performance There are two common approaches to forecasting: qualitative and quantitative. Qualitative forecasting methods are important when historical data is not available.

More information

Chapter 9: Univariate Time Series Analysis

Chapter 9: Univariate Time Series Analysis Chapter 9: Univariate Time Series Analysis In the last chapter we discussed models with only lags of explanatory variables. These can be misleading if: 1. The dependent variable Y t depends on lags of

More information

Electrical energy usage over the business cycle

Electrical energy usage over the business cycle Energy Economics 26 (2004) 463 485 www.elsevier.com/locate/eneco Electrical energy usage over the business cycle Mark Thoma* Department of Economics, University of Oregon, Eugene, OR 97403-1285, USA Available

More information