Emmanuel Anoruo

By nature, people are guided by self-interests. Although all income groups have a stake in economic matters, the highest income groups are likely to have a much greater say in affecting the macro economy. Identifying the interests of higher income groups with regard to the economy is, therefore, important. It suggests where the effective energies of these potent groups are likely to be channeled, and allows one to assess the extent to which their objectives are in tune with the agenda of the broader society. This study uses the Phillips-Hansen fully modified OLS procedure to investigate the interrelationship between four key macroeconomic variables and the seven topmost income shares. We find that the extent of trade, inflation rate, unemployment, and real interest rate are highly significant in explaining the shares of the highest income groups in the United States.

Identifying determinants of income distribution is in itself of significant importance as well as being a necessary precondition for appropriate policy design. The United States is the strongest military power in the world and one of the world's biggest arms merchants. Given the overwhelming ...

This paper explores the relationship between milita ry spending and household consumption for a panel of fifteen African countries. Specifically, the study seeks to ascertain the substitutability or complementarity effects of military spending on household consumption using the panel Granger causality tests. The results from the unit root and cointegration tests indicate that the military spending and household consumption series have one order of integration as well as cointegrated. The Granger causality test results re veal that there is evidence of long run bidirectional causality between military spending a nd household consumption for the entire panel. The results from the Panel Dynamic OLS indic ate that military spending and household consumption positively influence each other in the long run. Taken together, the results suggest that military spending and household consumption ar e complementary. - Questo studio analizza la relazione tra la spesa mi litare e i consumi delle ...

This paper examines the causal relationship between human capital (HC) and economic growth (EG) for a panel 29 African countries. In particular, the study applied theoretically consistent panel unit root procedures and panel co-integration tests that account for the presence of cross-sectional dependency among the members of a panel. To ascertain the direction of causality between HC and EG, the study applies the heterogeneous panel causality test proposed by Dumitrescu and Hurlin. This test has the ability to control for the presence of both heterogeneity and cross-sectional dependence that might be present in the panel. To determine the signs of the relationship between the two variables, the study applied the dynamic ordinary least square (OLS). The results from the heterogeneous panel causality test provide evidence in support of bidirectional causality between HC and EG for the sample countries. The results from the dynamic OLS indicate that HC and EG have significantly positiv...

PurposeThe paper attempts to empirically assess whether GDP per capita or the human capital index is a better measure of happiness.Design/methodology/approachCross‐country regressions are run to see how GDP per capita fairs in comparison to the human capital index in explaining happiness based on survey questionnaires.FindingsThe paper finds that GDP per capita accounts for a far greater share of the cross country variation in happiness based on survey data than the human capita index and assorted other measures of human welfare.Practical implicationsThe important implication is that the often heard criticism that GDP per capita is inappropriate for use in economic analysis, especially in the area of economic development and other international fields, because it is not specifically designed as a measure of welfare, may be unfounded.Originality/valueThe paper shows that GDP per capita is a better measure of happiness defined in surveys than the human capital index.

We examine the behavior of stock market prices in several African countries by means of fractionally integrated techniques. In doing so, we can test for mean reversion in these markets. Our results can be summarized as follows: we cannot find evidence of mean reversion in any single market, and evidence of long memory returns (i.e., orders of integration above 1 in the logged stock prices) is obtained in the cases of Egypt and Nigeria, and, in a lesser extent in Tunisia, Morocco and Kenya. Permitting the existence of a structural change, the break dates take place in the earlier 2000s in the majority of the cases, and evidence of mean reversion seems to take place in the periods before the breaks in most of the countries. If we focus on the absolute and squared returns, evidence of long memory is obtained in Nigeria and Egypt. Thus, for these two countries, a long memory model incorporating positive fractional degrees of integration in both the level and the volatility process shoul...

This paper examines the asymmetric relationship between bonds and REITs using monthly data from January 1972 through October 2014. In particular, the paper uses the nonlinear Granger causality test developed by Diks and Panchenko to underpin the dynamic interactions between bond yields and REIT returns. The results from the various unit root tests indicate that bond and REIT returns are level stationary. The results from the linear Granger causality test indicate that bond and REIT returns are not causally related. However, the results from the nonlinear Granger causality test results suggest that both bond and REIT returns have causal influence on each other. The results of this study suggest that diversification benefits cannot be attained by combining either all REITs or equity REITs in a portfolio with bonds. However, after the establishment of the 1992 Revenue Reconciliation Act, the results reveal that it is possible for investors to reduce their portfolio risks by combining b...

This paper empirically investigates the effect of corruption on economic growth for 18 African countries using panel unit root and the Phillips-Hansen fully modified OLS procedures. The results from the IPS panel unit root tests indicate that corruption, economic growth, investment, and population growth have zero order of integration [i.e. I(o)]. The results from the Phillips-Hansen fully modified OLS procedure reveal that corruption retards economic growth directly by lowering productivity, and indirectly by restricting investment. From a policy perspective, efforts should be made to discourage corruption.

This study examines the causal relationship between gold and real estate investment trust (REIT) returns. In particular, the paper uses a nonparametric causality-in-quantile approach to explore whether gold could serve as a hedging tool against movements in REIT returns. The results provide supportive evidence of bidirectional and asymmetric causality-in-variance between gold and REIT returns. There is evidence of asymmetric causality-in-mean between gold and All REITs, and equity REIT returns. The results from the full sample nonlinear Granger causality test indicate that gold and REIT returns have a causal influence on each other. Taken together, the results imply that gold investment could serve as a hedge against volatilities in the REIT market and vice versa.

This paper examines both the linear and nonlinear causal relationships between crude oil price changes and stock market returns for the United States. In particular, the study applied a battery of unit root tests to ascertain the time series properties of crude oil price changes and stock market returns. The linear and nonlinear causality tests were conducted through the standard VAR and the M-G frameworks, respectively. The results from both the linear and nonlinear unit root tests indicate that crude oil price changes and stock market returns are level stationary. The results from the standard VAR model provide evidence of bidirectional causality between crude oil price changes and stock market returns. The results from the M-G causality test support the finding of nonlinear bidirectional causality between crude oil price changes and stock market returns.

This paper examines the presence of chaotic dynamics in Real Estate Investment Trusts (REITs) index returns for the United States. Specifically, the paper uses the largest Lyapunov exponent to explores the chaotic behaviors of all, mortgage and equity REITs index returns for the time period running from January 1980 through December 2018. The sample is divided into two (pre-crisis and post-crisis periods) to ascertain the impact of the U.S. subprime mortgage crisis on the dynamic structure of REITs index returns. The ADF, Phillips-Perron and the KPSS are used to determine the time series properties of the REITs index returns. To test for nonlinearity, the paper implemented the BDS test. The results from the unit root tests indicate that the three REITs index returns have zero order of integration. The BDS test results show that the REITs index return series are nonlinear. The results from the largest Lyapunov exponent test for the full and pre-crisis sample periods provide supportiv...

This study uses the BEKK-GARCH (1,1) framework to test for causality in-mean and in-variance between REIT returns and changes in consumer sentiment. The results provide evidence supportive of causality in-mean running from All, Equity, and Mortgage REIT returns to changes in consumer sentiment for the full sample period and the first sub-period but not vice versa. In the second sub-period, there was no evidence of causality in-mean between changes in consumer sentiment and the various REIT returns. The results further show evidence of bidirectional causality in-variance between changes in consumer sentiment and the three REIT returns in the full sample period and the first sub-period. For the second sub-period, causality in-variance runs from changes in consumer sentiment to All and Equity REIT returns. However, evidence of bidirectional causality in-variance is indicated between changes in consumer sentiment and Mortgage REIT returns for the second sub-period. Taken together, the r...

By nature, people are guided by self-interests. Although all income groups have a stake in economic matters, the highest income groups are likely to have a much greater say in affecting the macro economy. Identifying the interests of higher income groups with regard to the economy is, therefore, important. It suggests where the effective energies of these potent groups are likely to be channeled, and allows one to assess the extent to which their objectives are in tune with the agenda of the broader society. This study uses the Phillips-Hansen fully modified OLS procedure to investigate the interrelationship between four key macroeconomic variables and the seven topmost income shares. We find that the extent of trade, inflation rate, unemployment, and real interest rate are highly significant in explaining the shares of the highest income groups in the United States.

... Bansi SAWHNEY, Professor of Economics, University of Baltimore, Merrick School of usiness, 1420 N. Charles Street, Baltimore, Maryland, USA; e-mail: bsawhney@ubalt.edu B ** Emmanuel ANORUO, Professor of ... This often culminates in stalling economic growth. ...

This paper examines the validity of the permanent income hypothesis for a group of 12 African countries using cointegration procedures. Specifically, this paper utilizes the bounds cointegration test proposed by Pesaran et al. (2001) and the C/S procedure advanced by Gregory and Hansen (1996). In addition, the study implements the fully modified OLS model (FMOLS) to determine the long-run relationship between consumption and income. The results from the study suggest that (a) there is a long-run relationship between consumption and income and (b) real income is an important determinant of consumption. Above all, the study finds that the relationship between consumption and real income is structurally stable for most of the sample countries. In all, the results indicate that innovations in real income have implications for consumption for the sample countries.

Recurring and massive current account deficits are troublesome especially for developing African countries that rely on foreign capital. The conventional wisdom holds that persistent deficits impose taxes on future generations and lead to high interest rates. Given their policy implications, this paper uses panel cointegration tests and the fully modified OLS estimation techniques to explore the sustainability of current account deficits among 15 African countries. The results from the panel fully modified OLS estimates suggest that the current deficits are not sustainable among the sample countries. However, on country-by-country basis, Nigeria appears to be the only country that has the ability to meet its external intertemporal balance requirement. Taken together, the results suggest that for most of the sample countries, the current account deficits are not sustainable with the exception of Nigeria.

This paper uses the wavelet unit root procedures to explore the validity of the hysteresis hypothesis in unemployment for 28 African countries covering the period 1991 through 2017. In particular, the study applied the wavelet-based unit root tests proposed by Fan and Gencay. The frequency domain procedures of DWT and MODWT involve the decomposition of the variance of the time series stochastic process into the variance in its high and lowfrequency series. As a benchmark, the study implemented time domain unit root tests including DF-GLS, PhillipsPerron and KPSS. The standard unit root tests produced mixed results relative to the validity of the hysteresis hypothesis for the sample countries. However, the wavelet-based unit root tests provided more consistent results as the hysteresis hypothesis was rejected in all of the sample countries, save Rwanda. Policy implications are derived

In the popular media, trade is quite often being used as a whipping boy and blamed for increased worldwide inequality. Is trade actually a source of greater income inequality around the world? What does the data show? Is there any reason to suspect trade as a major villain on the international scene? Does the data show that there is correlation between trade and inequality? To address these questions, this paper uses regression analysis to investigate whether there is any association between either the amount or the spread of international trade and two important dimensions of global income inequality, namely ? income inequality between and within nations.

This paper tests for convergence in per capita income among ECOWAS member states. In particular, this paper applies the panel convergence procedure which has the ability to endogenously determine the existence of full convergence and convergence clubs. The study used the dip-test to check the robustness of the results from the panel convergence tests. To gain a better understanding of the issue of per capita income convergence within the community, the study is undertaken in three different time frames including the full, pre- and post-ECOWAS sample periods. The results reject the null hypothesis of full convergence in per capita income among ECOWAS member states during the full and two subsample periods. These results indicate that all of the countries have not converged to a single equilibrium state. However, the results did provide evidence of convergence clubs within ECOWAS member states during the full and two subsample periods. The results from the dip-test corroborate those f...

The Economies of LDCs have been bedevilled, among others, by the twin external eco-financial crises of mounting debt burden and foreign investment inadequacies accompanied by more than proportionate FDI income remittance out of these economies. The worst hit by these trends are the highly indebted poor Sub-Saharan African Countries, including Nigeria. Against this background, this study sets out to investigate the causal relationship between external debt crisis and foreign investment crisis plaguing these countries, using Nigeria as a test case. It also attempts to x-ray the relationship between these two external sector crises and the GDP of the country. Use is made of the modified Granger causality procedure to derive the relevant models while estimation followed the log-linear least squares procedure against annual Nigerian data from 1970 through 2001. The diagnostic test results indicate that the specified models possess satisfactory forecasting and explanatory powers. The rela...

This paper examines the relationship between implied volatility (the VIX) and REIT returns using frequency domain approach which allows shocks to vary across frequency bands. The distinguishing feature of the frequency domain method is that it enables the investigator assess quantitatively the impact of independent variables on the dependent variable at different frequencies across the spectra. The estimates of the parameter of interest from the frequency domain analysis may reveal rich policy implications. Specifically, at issue is whether implied volatility can be used to predict movements in REIT returns at different frequencies in the United States. The results from the frequency domain regression show that implied volatility and REIT returns have significantly negative effect on each other at the low-, medium- and long-term frequencies. Furthermore, the empirical findings from the frequency domain causality tests indicate that causality runs from implied volatility to all and equity REIT returns in the short- and medium-term frequencies but not vice versa. However, it is interesting to note that the results show causality running from mortgage REIT returns to implied volatility in the medium term. Taken together, the results from this study suggest that knowledge of implied volatility can help the investors to predict movements in the capital market and hence, to some extent, they can protect their portfolios against uncertainties.

This paper examines the issue of convergence in military spending among NATO countries. In particular, the paper employs the sequential panel selection method (SPSM) to ascertain whether the military spending of NATO countries has converged relative to that of the USA. The results from the SPSM for both the full- and sub-periods indicate that military spending of NATO countries, with the exception of Hungary, have converged to that of the USA. The results show that the number of NATO countries whose military spending converged relative to that of the USA did not change following the collapse of the Soviet Union. The overall finding of this study contradicts the alliance theory which stipulates that alliances tend to weaken or dissolve following the elimination of the unifying threat.

This paper explores the causal relationship between coal consumption and economic growth for a panel of 15 African countries using bootstrap panel Granger causality test. Specifically, this paper uses the Phillips-Perron unit root test to ascertain the order of integration for the coal consumption and economic growth series. A bootstrap panel Granger causality test is employed to determine the direction of causality between coal consumption and economic growth. The results provide evidence of unidirectional causality from economic growth to coal consumption. This finding implies that coal conservation measures may be implemented with little or no adverse impact on economic growth for the sample countries as a group.

The relationship between saving and investment has been sharply debated in the literature following the pioneering work of Feldstein and Horioka (1980). This paper extends this debate to the ASEAN countries by using cointegration procedure in time-series analysis. Specifically, three analyses are conducted. First, saving and investment are tested to determine the order of integration using both the Dickey–Fuller (DF) and augmented Dickey–Fuller (ADF) approaches. Second, the long-run equilibrium relationship between saving and investment is explored by utilizing the cointegration tests proposed by Johansen and Juselius (1990). Third, Granger–causality tests based on vector error-correction models (VECM) are undertaken to ascertain the direction of causality between the two series. The results indicate that saving and investment are integrated of order one [1(1)]. Based on the cointegration results, saving and investment are found to share long-run equilibrium association. The Granger...

Identifying determinants of income distribution is in itself of significant importance as well as being a necessary precondition for appropriate policy design. The United States is the strongest military power in the world and one of the world's biggest arms merchants. Given the overwhelming ...

In this article, we have estimated a neo-classical model of investment augmented with real rate of interest to proxy the user cost of capital for Bangladesh. Our results reveal that there is a equilibrium relationship between investment output ratio, real output and real rate of interest. The long run relationship persists even in the presence of structural breaks in the

ABSTRACT This study uses panel data for 29 Heavily Indebted Poor Countries (HIPCs) from 1984 to 2000 to examine the dynamic relationships between growth of external debts with other determinant variables (exchange rate, interest payment on debt, and non-interest current account balance) and control variables such as governance indicators. The fixed- and random-effect models were used to investigate these relationships. First, the results show that high interest payments have adverse effects on the growth of external debts. Second, real exchange rates have positive influence on growth of external debts. Third, corruption is found to distort economic growth and reduces the efficiency of the public sector. Finally, stability index contributes negatively to the growth of external debts. Therefore, given these dynamic relationships; this study suggests that there are strong correlation between growth of external debts and exchange rate policy, interest payments and some governance indicators. This evidence may partially explain the explosive external debt position of the HIPCs. INTRODUCTION The world witnessed unprecedented explosion in public debt throughout the 1980s and the 1990s in developing countries, especially those of the Heavily Indebted Poor Countries (HIPCs). Most of the public debt holdings of developing countries are external debts. In most of these countries the share of debt in gross domestic product grew over time (see Figures 1 and 2). In fact, most of these countries face external debt that is more than two times the size of their gross domestic product. Due to scarce foreign exchange in most of these countries, efforts to service the debt consumed large shares of their government revenues. As the debt burden increases, these countries must allocate a greater portion of their revenues to service external debts, resulting in higher taxes, more borrowing, and eventually debt default. The severe difficulties that most HIPCs faced in servicing their external debts resulted in the persistent accumulation of arrears, which are unpaid debt service obligations. Despite several repeated attempts at rescheduling, many HIPCs have not been able to meet their debt service obligations fully and on time for several years. The worldwide economic growth slowdown has resulted in an increase in the level of debt burden, especially in the 1980s and 1990s (Easterly, 2001). This is partly because these countries have low incomes and their economies tend to grow slower than those of the higher income countries. Slower economic growth poses problems in expanding exports and delays progress in debt restructuring. This, in turn, impedes flows of capital to HIPCs. The massive external debts of these countries have reduced the inflows of foreign direct investment, employment, and growth of their economies and therefore have become a stumbling block to sustainable development. In light of the above, this paper attempts to address the primary questions including: What are the factors behind the growth of external debts of the HIPCs? What are the consequences of massive external debts for these countries? What are the correlating effects within the factors themselves, so as to determine future patterns? LITERATURE REVIEW Over the years, the issue of public debt has occupied primary importance in both local and international arenas. Claessen, et al (1997) argued that HIPCs are characterized not only by high debt relative to income, but also by relatively poor economic performance. The reason is the combination effect of the large inflows of concessional finance despite the emerging debt burden and low growth rates of output and exports. In addition, the poor economic performance in these countries could be attributed to adverse terms of trade development, civil and political unrest, weak macroeconomic management, and inefficient allocation of resources. The most recent article by Easterly (2001) confirmed that the slowing down of economic growth in the past decades since 1975 can be attributed to the increases in the burden of public debts in most middle income countries and HIPCs. …

This paper uses nonparametric integration and cointegration procedures to test the neutrality hypothesis for Nigeria. The broad money supply series (M2) is decomposed into anticipated and unanticipated components using the Hodrick-Prescott filter. The Breitung and Lobato-Robinson nonparametric unit root methodologies are used to determine the time series properties of real output, inflation, anticipated and unanticipated broad money supply. The data covers the period from 1970:1 through 2002:4. The cointegration test is conducted through Breitung's (2002) nonparametric cointegration technique. The unit root tests indicate that real output, inflation, anticipated and unanticipated broad money supply have one order of integration. The results from Breitung's (2002) study provide evidence in support of the long-run relationship between unanticipated money and real output on one hand and between unanticipated money and inflation on the other. The null hypothesis of no cointegration between anticipated money and real output could not be rejected. The finding that unanticipated money is cointegrated with real output is consistent with the rational expectations hypothesis. From a policy perspective, the results suggest that the effect of monetary policy in Nigeria depends on whether it is anticipated or unanticipated.

This paper seeks to ascertain whether shocks to hedge fund returns are permanent or temporary by using M1 and M2 unit root procedures advanced by Narayan and Popp. In addition, the paper implements the GARCH-based unit root test developed by Liu and Narayan. These procedures allow for two structural breaks in the data. The results from M1 and M2 models indicate that the various hedge fund returns under study are stationary processes with two structural breaks. Similarly, the results from the GARCH-based unit root model confirm those obtained from both the M1 and M2 techniques in that the hedge fund return series were found to be stationary. Taken together, the results suggest that shocks to the various hedge fund returns are temporary. This finding implies that hedge funds can be included in portfolios with traditional assets such as stocks and bonds to reduce risk and enhance returns.

This paper uses the method of dynamic OLS (DOLS) in conjunction with cointegration procedure to examine the degree of international capital mobility for 25 developing countries. Specifically, three analyses are undertaken. First, the time series properties of domestic saving and investment are ascertained with the help of the modified Dickey-Fuller (DF-GLS) methodology. Second, the long-run equilibrium relationship between domestic saving and investment is explored by using the two-step cointegration test proposed by Engle and Granger (1987). Third, the Wald chi-square (c2) test is employed to examine the unity correlation between the two variables. The DF-GLS unit root test indicates that domestic saving and investment are integrated of order one [I(1)]. The Wald test rejects the hypothesis of perfect capital mobility for 21 out of the 25 countries. The cointegration results suggest that for most of the sample countries, domestic saving and investment do not share long-run equilibrium association, which constitutes evidence in favor of international capital mobility.

Developing countries are often associated with high and persistent inflation. A clear understanding of the behavior of inflation is crucial in formulating economic stabilization policies. To this end, the present study investigates the issue of long memory in inflation rates for 21 African countries using the classical and the modified R/S statistics, as well as, the V/S test. The application of three different fractional integration procedures allows us to obtain consistent and robust results. The results from the R/S and the V/S tests indicate that inflation rates for the sample countries are short-term memory processes. These results suggest that shocks to inflation series have long-lasting effects. The author infer from the results that the inflation series are non-mean reverting in all the cases.

This paper examines the validity of the permanent income hypothesis for a group of 12 African countries using cointegration procedures. Specifically, this paper utilizes the bounds cointegration test proposed by Pesaran et al. (2001) and the C/S procedure advanced by Gregory and Hansen (1996). In addition, the study implements the fully modified OLS model (FMOLS) to determine the long-run relationship