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Since the global privatization of the water sector, water investment opportunities have become much more sought after. This study investigates the link between four water indices (S-Network Global Water Index, World Water Index, S&P Global Water Index and MSCI ACWI Water Utilities Index) and four water markets (Asia, Europe, Latin America and the US), using daily data for the period January 2004 to October 2022. Utilizing the Johansen test for cointegration during the pre-Global Financial Crisis (GFC), GFC, post-GFC, COVID-19 and full-sample periods, we find the existence of cointegrating vectors in the different periods. The Granger causality approach within a cointegration framework also allows us to assess the dynamic linkages between the stock price indices of the four water indices and the four water markets. To further confirm the empirical results in the cointegration framework, we employ the autoregressive distributed lag-based bounds approach for a robustness check. The testing results confirm the presence of cointegration in different (pre-GFC, GFC, post-GFC, COVID-19 and full-sample) periods. The analysis of the different periods allows us to better understand the relationship between global water indices and world water markets, which has important implications for investments (such as portfolio diversification) in the global water sector.

This paper investigates the degree of exchange rate pass-through for the selected Asian countries namely Malaysia, Thailand, Taiwan, and Singapore. Unlike past studies, this paper focuses on small open economies and includes exports of primary commodities in the investigation. We utilize cointegration techniques based on Engle and Granger (1987) and Johansen and Juselius (1990), and error correction modeling, to provide a more robust and rigorous investigation of the long run and short run pass-through of exchange rates. It is found that, in general, the degree of pass-through is high, although there is a small extent of pricing to market found for all countries. For Malaysia, the degree of pricing to market found suggests that there is intense competition in the export industries. In the case of Thailand, there is almost complete pass-through and this conforms to our a priori expectations. In the case of Singapore and Taiwan, we detect a higher degree of pass-through compared to past studies. For a country, the high degree of pass-through will support the adoption of more flexible exchange rate oriented monetary policies, and for firms it will reveal the limits of their price setting behavior amidst international competition.

This paper examines the monetary approach to the balance of payments in Barbados, a small open economy with a fixed exchange rate system. We use an error correction mechanism (ECM) approach which shows that the monetary approach applies to Barbados. Such an ECM approach has not been previously employed in other related studies. Our analysis has implications for monetary policy since it confirms that excessive credit expansion leads to balance of payments deficits in fixed exchange rate systems, and the monetary authorities need to hold high levels of reserves in small open economy systems to protect the exchange rate.

This article examines the determinants of aggregate import demand in Brunei Darussalam within a cointegration and error correction framework using the bounds test for cointegration. In addition to the real effective exchange rate and real GDP, in alternative specifications we examine the effect of population growth and world petroleum prices on import demand in Brunei Darussalam. We find that in both the long-run and short-run aggregate imports are inelastic with respect to income and world petroleum prices, but are price-elastic and elastic with respect to population.

We used Engle–Granger cointegration test to investigate and compare the long-run performance of imports and exports in Pakistan, India, Sri Lanka, Korea and Thailand. Graphical analysis demonstrates an inherent tendency of imports and exports to move together in the long run. Cointegration and error correction results support the graphical analysis that these countries do not violate on the average the international budget constraint, and trade disequilibrium is a short-run phenomenon that is sustainable in the long run. Macroeconomic policies in the sample countries have been adequately effective to affect long-run equilibrium between imports and exports. The international events had differential impact on each country of our sample.

The Fisher Effect postulated that real interest rate is constant, and that nominal interest rate and expected inflation move one-for-one together. This paper employs Johansen's method to investigate for the existence of a long-run Fisher effect in the Singapore economy over the period 1976 to 2006, and finds evidence of a positive relationship between nominal interest rate and inflation rate while rejecting the notion of a full Fisher Effect. The dynamic relationship between nominal interest rate and inflation rate is also examined from the error-correction models derived, and the analysis is extended to investigate the impulse response functions of inflation and nominal interest rates where we discover the presence of the Price Puzzle in the Singapore market.

The purpose of this study is to examine the potential linkages among ASEAN-5 currencies, in particular the possibility of a Singapore dollar bloc during the pre- and post-crisis periods by using the Johansen multivariate cointegration test and the Granger causality test. Significant nonstationarity and the presence of unit roots were documented for each currency under both study periods. Using ASEAN-4 exchange rates against the Singapore dollar, the Johansen cointegration test showed that there was no cointegrating relationship during the pre-crisis period. However there were two statistically significant cointegrating vectors among ASEAN exchange rates for the post-crisis period. These findings imply that there is low financial integration before the crisis, but that ASEAN countries are financially more integrated after the crisis. This finding also indicates increasingly role of the Singapore dollar in ASEAN. Therefore, the Singapore dollar may be a possible candidate as the common currency for ASEAN. The analysis is repeated by adding the US dollar to the model. The finding ascertains the influence of the US dollar on ASEAN currencies before the crisis.

In a small open economy, the retail sector adds value with a lag to existing production and uses existing domestic production as an input. Therefore, demand side dynamics depend on the wholesale prices of the domestic goods, the prices of the imported goods, the nominal exchange rate, the level of indirect taxes, the marginal cost of retail production and interest rates. Hence, this mechanism provides a theoretical basis for causality from wholesale prices to consumer prices. Being motivated by this causal transmission mechanism, this paper tries to examine the causal relationship between wholesale prices and consumer prices in a small developing economy like Pakistan. Empirical methodology uses recently developed tests for the existence of a long-run relationship between wholesale prices and consumer prices. Typically, in applied analysis, testing for the existence of cointegration and causality can only be carried out once the time series properties of the data have been established. For example, tests for cointegration require the variables to be integrated to the same order, typically I(1), prior to estimation. By eliminating the need for unit root pre-testing, the tests applied here considerably simplify the inference procedure. They also reduce the potential for distortions in the inference due to the unknown properties of the testing sequence. Our findings include robust evidence that, for Pakistan, there is a bidirectional causality between wholesale prices and consumer prices. Feedback impact shows that influences from the wholesale price index (WPI) to the consumers' price index (CPI) is stronger or dominating as compared to feedback from CPI to WPI supporting the Cushing-McGarvey (1990) hypothesis.

This article empirically re-examines the export-led growth hypothesis in the context of Bangladesh using the quarterly data from 1973:1 to 2005:4. The standard time series econometric techniques, such as cointegration and Granger causality tests within the error correction modelling (ECM) are used for this purpose. The results from cointegration analysis suggest that there is stable long-run relationship between exports and income and the results from Granger causality test based on the ECM shows unidirectional causal relationship between exports and income. Thus, these results validate the country's export expansion programs to achieve long-run income growth.

Examining the impact of remittances on private investment, the study finds that remittances have an adverse impact on private investment and hence is apprehensive about its net positive impact on output growth in India. Therefore, the study suggests that the government policy should be designed toward inducing private sector to allocate more remittances for investments for leveling up the rate of economic growth. Otherwise, a significant proportion of remittances would result in increase in private consumption without desired contributory impact. The study also observes crowding out impact of public sector investment, while openness measure raises private sector investment.

This paper attempts to establish whether there exists any direct macroeconomic linkages between some East Asian (EA) countries on the one hand and the US on the other hand, based upon quarterly real gross domestic product (GDP) series spanning from the early 1990s. Cointegration, Granger causal relations and contemporaneous correlations of output shocks are explored. Contrary to a priori expectations, the empirical evidence suggests no direct linkages of these economies to the US, with the exception of the Malaysian economy. In the case of Malaysia, only a Granger causal relation from the US is found. All this would allude to the ability of these EA economies save one to grow independently of the US, barring a global economic crisis such as the recent one triggered off by sub-prime loans.

As increasing attention has been given in recent literature to the potential of the Chinese financial market, we investigate the strength of shared dynamics among East Asian stock markets, by examining both the long-term and short-term comovements. In doing so, the cointegration analysis is used to assess the long-term relationship, whereas the notions of cofeature as well as contemporaneous correlation are employed to discuss the short-term relationship. The basic finding is that evidence for short-term comovement between the Korean and Chinese stock markets appears to be strong, while evidence for long-term relationship is rather weak. Empirical results from subsamples suggest that both the long-term and short-term relationships have strengthened since the acquisition of QFII qualification by Korean financial firms. These observations indicate that the international linkage between the two countries has strengthened along with increasing opportunities for international investment in the Chinese stock market.

This study examines the real exchange rate determination in Malaysia. The result of the autoregressive distributed lag approach shows that an increase in the real interest rate differential, productivity differential, the real oil price or reserve differential will lead to an appreciation of the real exchange rate in the long run. The real oil price and reserve differential are important in the real exchange rate determination. The dynamic ordinary least squares (DOLS) estimator shows about the same conclusion of the autoregressive distributed lag approach. The result of the generalized forecast error variance decomposition shows that the real interest rate differential, productivity differential, the real oil price and reserve differential are generally important to the real exchange rate determination.

This paper aims to ascertain whether direct macroeconomic linkages exist between some East Asian (EA) countries on the one hand and the United States (US) and Europe on the other, based upon quarterly real gross domestic product (GDP) series spanning from the early 1990s. Long-run and short-run lead-lag relations are explored within a trivariate modeling framework. Contrary to popular belief, the empirical evidence suggests generally either very nominal or no direct links at all between these EA countries and the US in terms of GDP. Direct links with Europe are completely ruled out. All these would allude to a very limited susceptibility of these EA economies to shocks in the US and Europe, barring a global economic crisis of catastrophic proportions. The growing belief that if China sneezes, the world catches the flu is also not borne out by the empirical results.

This paper modeled the effect of corruption on growth, using Nigerian data for testing. The productivity growth channel of corruption was explored. Cointegration and error correction methods were employed in the analysis. The national system of innovations and corruption exhibited long run relations with productivity growth and were found to be credible fundamentals. The productivity growth vector was considered to be the only plausible in the long run growth analysis. The parsimonious growth equation showed productivity growth and government expenditure as significant and conformed to a priori expectations. The course of policy to sustainable growth was suggestive.

This paper investigates the long-run and short-run impacts of government spending on inflation in three Asian emerging economies of India, China and Indonesia by applying the cointegration and Vector Error Correction Model to time series data from 1970 to 2010. The results confirm a cointegrating causal link between government spending and inflation in the long run in these countries, regardless of their institutional governance differences. In the short run, government spending (as a percentage of GDP) appears to have a negative impact on inflation in China, while a positive impact in Indonesia and India. The implication is that governments of emerging economies should be prudent with their decisions on government spending.

This paper examines a causal relationship between energy consumption, human capital and GDP for the ASEAN-5 (namely, Malaysia, Indonesia, Thailand, Singapore and the Philippines) over the period 1965–2011. It differs from the existing energy-growth nexus literature greatly by taking into consideration the role of human capital across countries. Both the single-equation estimation and the Johansen’s cointegration analysis suggest the presence of a long-run relationship among these variables. The exclusion test finds that human capital is a crucial factor in the cointegration space as much as conventional inputs of physical capital; and energy seems to play a less important role when human capital increases, indicating a possible substitution effect between the two variables. Using the Toda–Yamamoto test, it finds no long-run Granger causal link between energy use and economic development in the two net energy-exporter countries Malaysia and Indonesia and the city state Singapore, while in the Philippines economic growth Granger causes energy use and in Thailand a feedback effect is identified. Based on these results, policy implications are drawn.

This paper examines the impact of tax reform on the economic growth of India over the period 1975–2017. In order to measure the impact of tax reform on the economic growth, we have used various econometric tools like Maki and combined cointegration tests and the rolling-window causality test in this study. The study revealed that a stable long-run parameter stability relationship exists the series on tax reform but unable to obtain the short-run relationship. Results also revealed that growth-led taxation effects and tax-led-growth do not exist in India. Hence, India needs more policies which will help to remove inefficiencies created by the existing heterogeneous taxation system, revenue rate and inclusion of petroleum products, electricity, liquor and real estate and policymakers should adopt some policies for direct tax which reduce the imbalance in class.

The purpose of this study is to analyze the effect of financial development (FD) on the share of renewable energy (RE) usage in Japan. The existing theoretical literature and empirical analyses covering different country cases reveal that FD might have positive, negative, or insignificant effect on RE use. Since there is no empirical investigation of the issue for Japan, the study aims to contribute to the literature. To that end, we used several time-series techniques to detect the association between RE usage and FD in Japan over the 1970–2020 period. The results obtained from the ARDL, Hatemi-J, Maki, Tsong et al. and NARDL cointegration tests showed that there is a significant cointegrated relationship between the share of RE use, FD, GDP per capita and trade openness. As for the long-run coefficients obtained from the ARDL, FMOLS, CCR and NARDL estimators revealed that increases in FD and trade openness raise the share of RE usage while increases in GDP per capita reduce it. Briefly, for the Japan case, we may suggest that improving the financial market structure of the country will bear fruit in terms of the share of cleaner and sustainable energy usage.

It is generally argued that with lifting of barriers to the flow of capital across countries by respective governments, the capital markets have come closer and are now more integrated. This paper examines the existence (or absence) of integration among stock indices of 11 developed and emerging stock markets from three continents: Asia, Europe and America. Using synchronous weekly closing index values from November, 1990 through December, 2001, the study found that all the 11 stock markets are cointegrated. The cointegration analysis was carried out using an error correction vector autoregression (VECM) model. The study goes further to test whether there are any causal relationships among the indices and has used a hitherto empirically untested methodology to explore the causal relationships. Results show that capital market indices from European countries and the USA are not Granger caused by any index. On the other hand, causality effects are much pronounced in Asian capital markets. The capital market in Hong Kong "leads" the other markets in Asia. This learning would help fund managers in managing their exposure in Asian capital markets. The regulators may use the causality results to identify the markets driving movements in a country's capital market and take corrective measures.