Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014

Bataa, Erdenebat; Vivian, Andrew; Wohar, Mark E.

doi:10.1111/boer.12199

Cited by 8 publications

(7 citation statements)

References 50 publications

(100 reference statements)

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“…For example, Mohamed Mabrouki (2017) used VAR models to study the relationship between economic growth and development in Tunisian from 1970 to 2015 [67]. Erdenebat Bataa et al (2019) used VAR models to study changes in the relationship between short-term interest rate, inflation, and growth: evidence from the UK, 1820-2014 [68]. Kamaljit Singh and Simmi Vashishtha (2020) used VAR to study the long-term equilibrium relationship between per capita energy consumption and per capita GDP in India from 1970 to 2015 [69].…”

Section: Methodsmentioning

confidence: 99%

Long-Term and Short-Term Effects of Carbon Emissions on Regional Healthy Development in Shanxi Province, China

2022

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As an important energy base in China, the economic development of Shanxi Province highly depended on coal resources. However, huge coal consumption produced a large amount of carbon dioxide and aggravated ecological problems. Thus, this study uses energy consumption, GDP, and the urbanization rate from 1981 to 2020 via the Vector Auto Regressive (VAR) and impulse response function to analyze the interaction among carbon emissions, urbanization, and economic growth in Shanxi Province. The results show that relations among carbon emissions, economic growth, and urbanization are complicated, and all three have a long-term stable equilibrium relationship. The lag effect on each other reacts violently in the short term, and gradually becomes gentle over time. In the short term, carbon emissions are positively correlated with economic growth and have the same trend of change, but in the long run, carbon emissions will have a small hindering effect on economic growth. Carbon emissions reduce urbanization levels in the short term, and then gradually climb, tending to stabilize as time goes by. With respect to receiving economic growth impaction, carbon emission increases at the initial stage of economic development, but the growth rate becomes slow as time goes by. With respect to receiving urbanization impaction, carbon emission first declines and then rises slowly with relatively small and slow growth in general. The relations among carbon emissions, economic growth, and urbanization are complicated. Therefore, local government needs to be very cautious in regional governance, especially in economic and urban planning and design, take various factors into consideration, and adhere to low-carbon, green, and circular development so as to achieve the carbon peak and carbon neutrality as scheduled and make the urban economy develop sustainably.

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Section: Methodsmentioning

confidence: 99%

Long-Term and Short-Term Effects of Carbon Emissions on Regional Healthy Development in Shanxi Province, China

2022

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“…Additional Analyses In this segment, we conduct two extra analyses. First, as in Bataa et al, (2019), we estimate a breaks-based VAR model, whereby first, break dates are obtained in the multivariate setting (as reported in Table 1), and then generalized impulse responses are computed over the identified sub-samples based on a bootstrap procedure. The five break dates correspond respectively with end of the World War I; end of the "Great Depression" and start of World War II; deep recession of the mid-1950s (due to inflationary pressures from oil embargo by the North Atlantic Treaty Organization (NATO) and other Arab countries, and the associated interest rate hikes and credit squeeze); breakdown of the Bretton Woods system, and; the beginning of the "Great Moderation".…”

Section: 2mentioning

confidence: 99%

Time-Varying impact of uncertainty shocks on macroeconomic variables of the united kingdom: Evidence from over 150 years of monthly data

Christou

Gabauer

Gupta

2020

Finance Research Letters

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In this paper, we analyse the impact of uncertainty (corporate bond spread) shock on inflation rate, unemployment rate, monetary policy rate, and nominal exchange rate returns of the United Kingdom over the monthly period of 1855:01 to 2016:12. Given that we use data spanning over one and a half century, we use a time-varying parameter vector autoregressive (TVP-VAR) model. We find that a positive uncertainty shock reflects a negative demand shock as suggested by theory, and results in declines in the inflation, interest rate and dollar-pound exchange rate returns, and an increase in the unemployment rate. However, this impact varies over time, with the strongest effect observed for the period after World War II until the start of the Great Moderation, and during the recent global crisis. Our results are in general robust to an alternative econometric framework (breaks-based VAR) and a metric of uncertainty (stock market volatility).

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“…Note that interest subsidies are deducted. On the interest paid as it is farm and sector specific, it is worth noting that it captures credit constraints faced by agriculture firms at micro‐econometric farm level (Bataa, Vivian & Wohar, 2019; Laborda & Olmo, 2019). Previous empirical studies of FADN sample (Petrick & Kloss, 2013; Petrick & Kloss, 2012; Pietola et al., 2011) employ interest rate as the variable that captures the price of capital at farm level and thereby the credit conditions at micro level.…”

Section: Data On Agriculture Investment In Eu‐14mentioning

confidence: 99%

Testing for the effects of credit crunch on agriculture investment in the EU

Mamatzakis

Staikouras

2020

Bulletin of Econ Res

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There are several research papers focusing on the detrimental effects of the credit crunch on the economic performance. A sector of the economy where the implications of the credit crunch have not been thoroughly studied is the agriculture. This is surprising given the importance of agriculture for the European economy. We focus on agriculture in fourteen European Union (EU) Member States in the aftermath of the credit crunch. To this end, we employ the micro-econometric data set of Farm Accountancy Data Network (FADN) of EU at NUTS 2 level. From a methodological point of view, we model agriculture investment based on a flexible panel Vector Autoregressive (VAR) model that provides impulse response functions (IRFs) and variance decompositions (VDCs). The empirical estimates indicate that agriculture investment has been constrained by negative shocks in interest paid and total liabilities. Unless those financial constraints are eased, agriculture investment in EU would remain rather sluggish at best.

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Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014

Cited by 8 publications

References 50 publications

Long-Term and Short-Term Effects of Carbon Emissions on Regional Healthy Development in Shanxi Province, China

Long-Term and Short-Term Effects of Carbon Emissions on Regional Healthy Development in Shanxi Province, China

Time-Varying impact of uncertainty shocks on macroeconomic variables of the united kingdom: Evidence from over 150 years of monthly data

Testing for the effects of credit crunch on agriculture investment in the EU

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