Theses supervised by Hasan Güngör
18 theses · Eastern Mediterranean University
Share Price and Macroeconomic Variables in Nigeria: A Granger Causality Approach
The objective of this study is to investigate the relationship between share price and macroeconomic variables in Nigeria using monthly variables from January 2001 to December 2014. Johansen cointegration test is employed to investigate if there is a possible long haul relationship between variables and vector error correction model (VECM) is used to see if thus the long run relationship exists between share price and the variables under study. Estimates reveal the existence one cointegration equation exists between share price and the macroeconomic variables under study. VECM exhibit long run relationship running from CPI, M2, EXR, OP, and INTR to SP and it‟s all statistically insignificant. Furthermore, unidirectional causality exist from OP to SP, SP to M2, SP to EXR, INTR to OP, OP to EXR, M2 to EXR, EXR to INTR and CPI to EXR. However, bidirectional causality exists from EXR to M2. Keywords: Share price, macroeconomic variables, cointegration and Granger causality
Financial Development and the Shadow Economy: Evidence from South Africa
South Africa is one of the fast-developing nations in African continent. Financial sector development is observed to be faster and wide spread compared to other countries in Africa. But the level of shadow economy is still a problem in this country. The research investigates the links between financial development and shadow economy in South Africa for the period of 1970-2009. Financial development data is obtained from the World Bank Economic Indicators and South African Reserve Bank whereas shadow economy data is obtained from Elgin and Öztunalı (2012). Time series econometrics is employed for the analysis of the case. The results are indicative for other African countries.
Offshore Economic Activities and Environmental Quality: Nexus among Economic Growth (GDP), Foreign Direct Investment (FDI), Trade Openness, Energy Consumption and Carbon (CO2) Dioxide Emission
The abstract is organized in as a rundown of different abstracts from different articles written by the author as they connect to the variables mentioned in the topic of this thesis. The first study explores the triangular nexus among Foreign Direct Investment (FDI), international tourism, and energy use in determining the environmental quality in China. Emphasis is laid on the triangular nexus among the tourism arrivals (TA), Foreign Direct Investment (FDI) energy use (EU) and (𝐶����𝑂����2) pollution/emissions which portrays how the interwoven relationship that exit among the chosen variables and tailored towards impacting the economic growth GDP) of China which in turn impact on the environmental quality of the country. The author’s intention of investigating the triangular nexus among the choice variables is to provide answers to the questions raised at the conception of this idea, thus: Is there really an association among the FDI and CO2 emissions through energy consumption? Is there a transmission among the GDP, FDI and carbo dioxide emission? Is there connecting factor between the GDP and carbon dioxide? The findings are: economic growth (GDP) has a positive relationship with both tourism arrivals, energy use, FDI and 𝐶����𝑂����2.This contributes to heavy 𝐶����𝑂����2 emissions which the author classified as the outsourced/offshore 𝐶����𝑂����2emissions in China FDI. Tourism arrivals have a bidirectional (feedback) causal relationship with energy use, and a uni-directional causal relationship with 𝐶����𝑂����2(transmitting from tourism to 𝐶����𝑂����2). Both FDI and energy use have bi-directional (feedback) causal relationship, 𝐶����𝑂����2, energy use and tourism arrivals have a unidirectional relationship with GDP which established the triangular nexus among causality among the variables and impact on the GDP. The second study investigates the interacting force between Carbon emission and offshore intensive activities and was tagged a fresh evidence for China. The study displayed nexus among the offshore economic activities, the economic growth (GDP), energy use and CO2 emissions for a clear picture of the relationship among them. The study incorporated the Foreign Direct Investment (FDI) and Tourism Arrivals (TA) to account for the offshore effects. The study employed the converted Chinese annual data to quarterly data that covers the period of 1995Q1 -2016Q4 because of unavailability of Tourism data, and was estimated with ARDL and Granger causality approaches for both short and long run effects. The findings are: CO2 emissions have a positive relationship with both energy use, FDI and GDP. This contributes to heavy CO2 emissions which the author classified as the outsourced CO2 emissions in China FDI. Tourism arrivals have a bi-directional (feedback) causal relationship with energy use, and a uni-directional causal relationship with CO2(transmitting from tourism to CO2 emissions). Both FDI, energy use, CO2 emissions and tourism arrivals have a unidirectional relationship with GDP which established the triangular nexus among causality among the variables and impact on the GDP. The third study investigates and report clearly the environmental implication of offshore economic activities by linking amongst the economic growth, energy use and environment (CO2) in a cointegrated and causality manner. We tried to find out if the effect of the carbon emission is positive to the performance of the Indonesian economic growth with an eye on the energy intensity via offshore (FDI and Openness) economic and industrial activities in the economy. The findings are: 1. The ARDL long run (elasticity) of economic growth is significantly positive associated with carbon emissions. But this finding changed in the lag 1 & 2 with negative and significant relationship between GDP and CO2 emissions. 2. Positively significant relationship between economic growth and energy use (as expected). 3. Negative and significant relationship is found between openness and economic growth but positive and significant relationship was observed between openness and growth in the 1st and 2nd lag. 4. A negative but not significant relationship between economic growth and Foreign Direct Investment, inflow in the short-run, while in the long-run, the relationship became significantly positive; 5. A unidirectional causation is found passing to Foreign Direct Investment (FDI) from economic growth (GDP) at 5%, significant level; 6. Uni-directional transmission passing from energy to openness, CO2 emissions, and from FDI to CO2 emissions, while there is a feedback causation between openness and CO2 emissions. The findings of this study have implication to the environmental quality of Indonesia via economic growth, hence, the higher and better the economic growth of the country the lesser the carbon emissions and the better the environmental quality. This support the pollution halo hypothesis, where FDI enhance economic growth which impact energy consumption and reduce carbon emission in the host country. Keywords: Carbon dioxide (𝐶����𝑂����2) emissions, Energy use, Foreign Direct Investment, Trade openness, Tourism arrivals, Offshore activities, Economic growth, China, Indonesia.
Linkages between Foreign Direct Investment, Domestic Investment and Economic Growth: Evidence from Nigeria
FDI is the purchasing of an existing company or establishing a new company in a foreign country Rutherford (1992), according to modernization theories FDI can enhance growth in less developed countries but the dependency theorists contend that dependence on foreign investment is expected to affect the growth and income distribution negatively. Also FDI can crowd out or crowd in domestic investment depending on the sector FDI is allocated to and also depending on the country. This research is conducted base on this argument. This research empirically analyzed the linkages between foreign direct invest, domestic investment and economic growth in Nigeria. The research is conducted using annual time series data from the period of 1980 to 2013. The study employs Johansen multivariate cointegration test and Vector Error Correction model (VECM) as the estimations techniques. The result of the study reveals that foreign direct investment (FDI) domestic investment (DI) and economic growth have a long-run equilibrium relationship according to the Johansen Multivariate cointegration test. And the VECM result shows that the speed of adjustment of the variables towards their long-run equilibrium is 52.55%. Keywords: Foreign Direct Investment (FDI), Domestic Investment (DI), Economic growth, Nigeria, Time series, Cointegration, Vector error correction model (VECM).
The Role of Economic Policy Uncertainty and Volatility on the Adoption Process of Cryptocurrencies
[Abstract Not Available]
Financial Development, Globalization and Income Inequality: Evidence from Selected MENA Countries
This thesis investigates the impact of financial development on income inequality for the 11 selected Middle East and North Africa (MENA) countries during the period from 1990 to 2015. A pooled mean group estimation (PMGE) of the dynamic heterogeneous panels is implemented in order to inspect the relationship between the studied variables. Furthermore, we employed panel cointegration to test for the existence of a long-run relationship between the variables. Our findings show the presence of a significant linear long-term negative relationship between financial development and income inequality. The outcomes are hence consistent with the inequality-narrowing hypothesis offered by Galor and Zeria (1993), Mookherjee and Ray (2003), and Banerjee and Newman (1993). Hence, we conclude that financial development is an important determinant of inequality reduction for these countries. Furthermore, there is a long-run negative relationship between trade openness, political globalization, financial development, government expenditure, real GDP, and income inequality; while a positive relationship exists between economic globalization and income inequality. Keywords: Income inequality, Financial development, Globalization, MENA region, Pooled mean group estimation.
Energy, Economic Growth and Pollution Mitigation
The first part of this thesis examines the contribution of natural gas consumption in the real GDP of Saudi Arabia using long-span and recent time series data over the period 1968-2016 in a multivariate framework which incorporates total trade as an additional variable. Using the Autoregressive Distributed Lag method of cointegration, we found a long-run cointegration equilibrium relationship between NGC, total trade, and real GDP, with a positive significant relationship among the variables. By applying the Toda and Yamamoto method to Granger causality testing, we found a one-sided causality running from NGC to real GDP; while between real GDP and trade, NGC and total trade and total trade and real GDP are without a feedback. From our empirical results, we suggest that natural gas conservation policy would hurt the demand for natural gas, hinder total trade, and thus, retard domestic output in the long-run. However, in the near future, it is possible for the Saudi Arabian government to meet energy needs and enhance total trade by adopting renewable energy alternatives to natural gas. Results, however, upon which the policy implications are inferred should be applied with caution as they may not be feasible enough to justify the adoption of unappealing energy policy choice for Saudi Arabia. The second part of this dissertation, confirms the existence of a positive and significant long-run nexus among environmental sustainability, renewable energy consumption and economic growth in the EU-28 countries for the period of 1995- 2015. Using Dumitrescu and Hurlin (2012) Granger non-causality in heterogeneous panel, the result shows a long-run bidirectional causal relationship among renewable energy consumption, economic growth and other growth determinants. In addition, empirical results indicates real gross fixed capital formation, carbon emissions and other environmental factors are principal determinants of long-run growth in the EU. Based on these results, we infer that the exploitation of renewable energy sources in the EU-28 countries is a reliable pathway toward environmental pollution mitigation. Consequently, achieving sustainable development goals (SDGs) by the year 2030 through renewable energy consumption and carbon emission mitigation is very much achievable in the EU-28 countries, and should also be adopted by all countries as an effective global policy.
Foreign Direct Investment, Domestic Investment and Economic Growth: the Case of Nigeria [THESIS] / Yahaya Yusuf Mohammed Baba
The studies investigate the impact of foreign direct investment and domestic investment on economic growth in Nigeria. For a ceteris paribus effect, trade openness was employed as a control variable. The time series econometrics techniques was employed to investigate, whether short and long – run relationship exist between the series, between a period of 1980 – 2014. From the findings, we confirmed that there is a short and long run dynamic causality relationships between the series. From the Granger casualty test, we discovered a unidirectional relationship between the series. Direct investment in Nigeria was discovered to be output driven. Results from trade openness, revealed an interesting fact. The economy has not been benefitting from international trade, which was revealed by the inverse relationship between the series. Thus, we recommend the followings, that the foreign investment policies should be revisited. Nigerian government should create enabling environment for investors and lastly, issue of security should be handling properly.
The Impact of Herding Behavior on Stock Market Financial Performance: The Case of Norway
Using a time series approach, this thesis empirically investigates the impact of investor herding behavior on stock market financial performance for the case of Norway over the 1981-2019 period. Total values of stocks traded (% of GDP) and market capitalization of listed domestic companies (% of GDP) have been used as measures for investor herding behavior and stock market financial performance, respectively, with annual data for both variables being obtained from the World Development Indicators (WDI) of the World Bank. Unit root tests indicate that both variables are integrated of order one, and Johansen cointegration test reveals that there is a long-run relationship between the variables. The coefficients estimated by the vector error correction model indicate that investor herding behavior has a statistically-significant positive impact on the stock market financial performance of Norway in the long-run, while a negative impact was revealed in the short-run.
Financial Development and Energy Use (Consumption), Urbanization and Industrialization Role in South Africa
This paper looks at the relationship between energy consumption, financial development, economic growth, the role of industrialization and urbanization in South Africa from the year 1970 to 2014. The study employs the Johansen co-integration test and Vector Error Correction model (VECM) also, Granger causality test is used for the study. The result confirms that there is a long-run relationship between the variables (energy consumption, financial development, economic growth, industrialization and urbanization) in South Africa. More so, urbanization, financial development and industrialization are positively correlated to energy consumption in the long-run. The result obtained shows the long-run bidirectional causality between industrialization and energy utilization, financial development and energy consumption and also financial development and industrialization. Therefore the study recommends a well-developed financial system, an effective policy towards increasing the effectiveness of economic activities of the country. Likewise, promoting urbanization and industrialization helps in development processes. Hence increases energy consumption. Keywords: Energy Consumption, Financial development, Economic growth, South Africa, Time series, Co-integration, Vector error correction model (VECM).
Renewable and Non-Renewable Energy Nexus for Sustainable Development of the MENA Region
The world is growing at a rapid rate and so is the negative effect of man-made effort in increasing economic growth. As a country looks forward to increase her level of growth, the same level of enthusiasm should be applied to make it sustainable. To analyze this, Adjusted Net Savings is empirically modelled by utilizing Renewable Energy Consumption, Energy Use and control variables (Trade and GDP) using data from 9 developed countries and 9 developing countries in the MENA region between 2000 and 2017. The Granger causality test between adjusted net savings and energy use showed a one-way causality relationship while having a bi-directional relationship with renewable energy consumption. To measure the turning point between both sources of energy analyzed, we employ the quadratic regression function to find the turning point from the nonlinear model specification. The minimum level of sustainability is higher in developed countries compared to developing countries hence, developing countries still heavily dependent on conventional sources of energy will need higher levels of adjusted net savings to cater for the externalities of their energy choices. Keywords: Adjusted Net Savings, Renewable Energy Consumption, Energy Use, Sustainable Development. Dynamic Common Correlated Effects Estimator
The Impact of Economic Policy Uncertainty on Energy Prices, Financial Stability and Consumptionbase Carbon Emissions
This thesis investigates the impact of Economic policy uncertainty on energy prices, financial stability and consumption-based carbon emissions. The second chapter of this thesis employed multivariate DCC-GARCH models to examine the interconnection between natural gas price, crude oil prices and Russian economic policy uncertainty (REPU) for the period of 1994-2019. The findings indicate strong interconnections natural gas prices, crude oil price and REPU. The findings further revealed that the interconnection between REPU and natural gas is more than that of between REPU and crude oil price. Moreover, the correlation between REPU and natural gas prices is higher, followed by the correlation between REPU and crude oil price. Energy prices follows similar pattern, they both increase and decrease at the same period. The findings further indicates that crucial global events like 2008 global crisis, 9/11 terrorist attack and 2014-2017 Russian financial crisis has significant impact on the interconnections between REPU and energy prices. The thesis further utilized the Mean Group (MG) estimators, the Augmented Mean Group (AMG) estimators, and the Common Correlated Effects Mean Group (CCFMG) estimators to investigate the influence of United State economic policy uncertainty (US EPU) on BRICS financial stability for the period of 2003-2020. The findings of the chapter revealed that US EPU is insignificant to BRICS financial stability, the findings further indicates that and increase in trade openness, gross domestic product per capita and gross capital formation increases financial stability. Conversely, increase in exchange rate, inflation rate and domestic credit to private sector decreases financial stability. Moreover, the thesis applied Panel Autoregressive Distributive Lag (ARDL) Model to investigate the impact of Economic Policy Uncertainty (EPU) and Foreign Direct Investment (FDI) on Consumption-based Carbon Emissions (CCO2 emissions) a case study of G7 countries for the period of 1994-2020. The findings shows that an increase in EPU decreases CCO2 emissions, while increase in FDI improves CCO2 emissions. Furthermore, Domestic investment (DI) and Gross Domestic Product per Capita (GDP) enhances CCO2 emissions, while Portfolio Investment (PI) negatively impact CCO2 emissions.
Impact of Oil Dependence on the Nigeria’s Economic Growth
Crude oil is a product with an unlimited value. Its benefit is not substitutable in virtually all the economic sectors of the presents century as of yet. This is why it has a relatively inelastic demand. It is also believed that crude oil instigates overall development and stirs economic growth for economies that are fortunate enough to be possessed with such resource. Notwithstanding recent empirical studies in this area has revealed that resource poor countries grow relatively faster than resource rich countries and that there is a negative correlation between resource dependence and economic growth. This study aims to capture the effect of oil dependence on the Nigeria’s economic growth from 1973 to 2013. Applying the ARDL bounds testing co-integration procedure, the oil rents ratio to GDP was used as a proxy for oil dependence and a significant negative correlation was discovered between oil dependence and GDP per capita, which was robust to the specification employed. The export sector value added had an insignificant negative correlation with GDP per capita in the long run, this is due to the high level of dependence on oil. Thus validating the presence of Dutch disease in the Nigerian economy. The study suggested the expansion of Foreign Direct Investment and sterilization of oil rents overseas by fostering Incentives so as to reduce the oil price shocks and the negative effects of crude oil prompted capital inflow in the Nigeria’s economy. Keywords: oil dependence, Economic growth, Nigeria, comparative advantage, Natural resources, GDP.
Does Globalization Affect Energy Consumption in Turkey? Its Implication on Environmental Quality
This study employs time series econometrics techniques to examine the direction of causality relationship between globalization, carbon emissions, energy consumption and economic growth in the case of Turkey. The objective of this research is to examine whether causality relationship exist between globalization and energy consumption for Turkey. In order to control for omission variable bias, we employ real GDP per capita and carbon dioxide emissions as some additional variables to proxy for economic growth and environmental quality over the periods of 1980-2014. In order to achieve research objective, we conduct Granger causality test. Empirical results show bidirectional causality between CO2 emissions and globalization and between energy consumption and globalization. In addition, results also show the presence of a unidirectional causality relationship running from energy consumption to CO2 emissions and from globalization to economic growth. Lastly, we find neutrality hypothesis between CO2 emissions and economic growth and between energy consumption and economic growth. Based on the results, we are of the opinion that the bidirectional causality relationship established between globalization and energy consumption would have grievous impact on the environmental quality, as increase in energy demand through the channel of globalition via international trade would increase carbon emissions level in Turkey. In addition, results also show that environmental pollution in the sampled country are not output driven. Thus, energy conservation policies would not hurt or retard economic performance and hence, economic growth of Turkey. Globalization and energy consumption appears to influence environmental pollution in the case of Turkey. Keywords: Energy consumption, Globalization, Carbon dioxide emissions, Economic growth, Turkey.
Potency of Monetary Policy Instruments on Economic Growth of Nigeria
The incapability of the monetary policies to efficiently and effectively exploit its policy objective could be a function of pitfall of policy instruments adopted which restricts its contributions to economic progress in Nigeria. It is on this premise we explore the potency of monetary policy instruments on economic growth in Nigeria between year 2000 and 2015 with time series data. The study engages Johansen multivariate cointegration approach and Vector Error Correction Model (VECM) after all the variables were confirmed stationary at first difference and integrated at similar order I(1) using ADF, PP test and confirmatory technique of KPSS test .The Cointegration measure establishes existence of long-term relationship between monetary policy instruments and economic growth. Also reveal was a low monthly speed of adjustment of the variables towards their long-run equilibrium path to the tune of 26% approximately .The major discovery of this work discloses that Consumer Price Index (CPI) , Real Exchange Rate, Money Supply (M2) and Interest Rate are significant monetary policy instruments that propel economic growth in Nigeria in the year under review. Based on the outcomes, we therefore recommend inflation targeting which will not only assist in proper monitoring of money supply but will also boost the overall growth in the economy. Also Domestic production of exports commodities should be promoted via deliberate policy measure by the Nigerian government so as to ensure stability in real exchange rate and positively contribute to the Nigerian economic growth. Keywords: Monetary policy, Economic Growth, Time Series, Unit Root, VECM.
Re-visiting the FDI-led Growth Hypothesis for South Africa: The Role of Industrialization and Urbanization
This study aims at investigating the FDI-led growth hypothesis in the case of South Africa using time series data spanning from 1970 to 2017. The empirical rout begin with the unit root tests using the traditional ADF, PP, and the confirmatory KPSS unit root test as well as the Zivot-Andrew unit root test which accounts for a single structural break. The overall result revealed a mixed order of integration between the series. Given the above outcome, the study employed the dynamic ARDL bounds testing to cointegration which reveals long run equilibrium between the variables of interest. The revelation from the study further proves that FDI inflow asserts a significance positive impact on economic growth both in the short and long run. The dynamic Granger causality test indicates a one-way interaction running from FDI inflow to economic growth which aligns with FDI-led growth hypothesis. In-view of the findings, this study therefore recommends that the South Africa government should shift her attention first, to expanding the absorptive capacity of the South African economy above the standard threshold; this will help in converting FDI inflow to South Africa to its full capacity which will in turn drive economic growth proportionately. Also, the study suggests the formulation of mechanism or measures that will help attract a diversify FDI inflow to other sectors of the economy such as manufacturing, agriculture with the aim of achieving training and technology transfer in other to harness the spillover effect of FDI inflow on the economy as a whole. Keywords: Foreign Direct Investment, Economic Growth, Industrialization, Urbanization
Financial Development and International Trade: Evidence from South Africa
The research employs the use of Bound Testing (ARLD) to Co-integration approach to test for the long run relationship between trade openness and financial openness in the case of South Africa. Further we are interested to test the validity of the Rajan and Zingales (2003) simultaneity of financial and trade openness impact on financial development in the case of South Africa. It is also aimed at investigating the predictive nature of trade openness on financial development using Granger Causality Test. The research used time series data on yearly basis between the periods of 1972-2014 on South African economy. The research estimate confirmed that the financial development variables are positively correlated with the interaction term of capital and trade openness with 0.97%. Specifically, the impact of interaction term (FOTO) on domestic credit to all the various sectors accounted for 0.96% of South Africa’s financial development. Similarly, the impact of interaction term (FOTO) on domestic credit to private sector only was 0.19% of South African’s financial development. The finding of the long run causality test showed a bi-directional way between financial development and the trade openness.
Contemporary Energy Issues: The Roles of Democracy, Economic Policy Uncertainty and the Real Sector
The first essay revisits the position of the EKC hypothesis by incorporating the role of energy consumption and democracy in the environmental degradation function for a panel of nine countries between 1990 and 2014.Using Pooled Mean Group (PMG) methodology and Emirmahmutoglu and Kose (2011) Granger causality test, the results validate the EKC hypothesis in the long run. It also confirms that energy consumption significantly increases CO2 emissions in the long-run and short-run, while the effect of democracy in reducing CO2 emissions is statistically significant both in the short-run and in the long-run. The finding from the Granger causality test indicates two-way causal effects in the relationships of economic growth, its squared term and democracy with environmental degradation. Furthermore, there is two-way causality between democracy and income per capita terms and between energy consumption and income per capita. The study, therefore, recommends the need to strengthen democracy and promote stringent environmental policies that guarantee clean energy as a sure way to achieving economic growth despite rising energy consumption, without jeopardizing the quality of life. The second essay examines the asymmetric causality effects in the relationship between prices of gasoline and economic policy uncertainty. A panel of 18 countries were examined within the period 1998-2017, with the application of a recently introduced panel causality approach by Hatemi-J et al (2016) because of its ability to show the asymmetric dynamics in the system and its efficiency against cross-sectional dependence and slope heterogeneity. Results reveal asymmetric causal relationships between gasoline prices and economic policy uncertainty in the sampled countries. Specifically, results show that economic policy uncertainty and gasoline prices have positive and negative asymmetric bidirectional causality in 13 countries. No feedback causal relations were detected between gasoline prices and economic policy uncertainty in five countries. Based on the results, it can be inferred that positive and negative asymmetric causality exist between economic policy uncertainty and gasoline prices. The final essay investigates the long-run relationship between oil price and agricultural productivity for India while disaggregating agricultural productivity into food and non-food production. Having applied four major cointegration tests via a technique that was the recently developed by Bayer-Hanck, significant cointegrating relationships are confirmed. However, long-run estimations show that the effect of oil price on both food and non-food agricultural production is insignificant but there is a short-run and long-run positive effect of gross capital formation on agricultural production, while inflation has a negative effect on agriculture only in the short-run. This suggests huge capital formation drives the agricultural sector in India, and not oil energy input. The conditional Granger causality result shows that there is no causal relationship between oil price and agricultural production but bi-directional causality runs between gross capital formation and agricultural production, while oil price has causal effects on capital formation. The study, therefore, implies that agricultural sector will cope in the case of oil price crises because its productivity is independent of oil price changes. This also suggests that there are alternative energy inputs which might be more important than oil in India’s agricultural industries. Keywords: Asymmetric causality, Democracy, Economic policy uncertainty, Energy consumption, Environmental degradation, Food and non-food production, Gasoline prices, Granger causality, Oil price, Long-run relationships, Real sector