The nonlinear ARDL approach and productivity bias hypothesis: Evidence from 68 countries

PurposeThis paper investigates the causality among gold prices, crude oil prices, bitcoin and stock prices by using daily data from January 2014 to December 2021. The study also examines the data during the COVID-19 outbreak from January 2020 to December 2021.Design/methodology/approachTo estimate the long- and short-run causality, this study considers the nonlinear autoregressive distributed lag (NARDL) cointegration test.FindingsThe analysis found the existence of an asymmetric long-run cointegration among selected assets. Findings indicate that positive changes in bitcoin do not affect stock market in the long term. Changes in crude oil prices have a significant impact on stock prices. Moreover, it is observed that variations in the stock prices trigger a negative impact on gold prices. During the COVID-19 period, the study notices the presence of an asymmetric long-term cointegration between selected assets except bitcoin. Besides, findings revealed that negative price adjustments in gold lead to significant positive shocks in stock market.Originality/valueThese results provide critical information for policy performers and researchers to develop new strategies. Policy regulators can also consider the potential effects of the COVID-19 outbreak while developing strategies for investment decisions.

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“…(2014). More recently, Bahmani-Oskooee and Nouira (2021) advocated the use of NARDL model for better results. Bouri et al.…”

Section: Methodsmentioning

confidence: 99%

Gold, crude oil, bitcoin and Indian stock market: recent confirmation from nonlinear ARDL analysis

Kumar

Singh

2022

JES

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“…The relationship between relative price levels and nominal exchange rates is explained by the "purchasing power parity" (PPP) theory. The PPP theory posits that as the nominal exchange rate adjusts to the relative price levels, the real exchange rate should be level stationary (i.e., remain fixed) (Anwar and Ali, 2015;Bahmani-Oskooee and Nouira, 2021). Nonetheless, the studies by Samuelson (1964) and Balassa (1964) revealed that real exchange rate deviations from the PPP can occur due to changes in the long-run relative productivity.…”

Section: Extended Abstractmentioning

confidence: 99%

Validating the Productivity Bias Hypothesis: Evidence from Selected Emerging Market Economies

KARASOY

2023

Verimlilik Dergisi

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Amaç: Bu araştırmanın amacı, seçilmiş 10 büyük yükselen piyasa ekonomisinde verimlilik yanlılığı hipotezinin (VYH) geçerliliğini 1991-2021 dönemi için test etmektir. Yöntem: Bu araştırmada yatay kesit bağımlılığını dikkate alan panel veri analiz yöntemleri kullanılmıştır. Bu bağlamda öncelikle birim-kök testiyle kullanılan değişkenlerin (nispi verimlilik ve reel döviz kuru) durağanlık dereceleri belirlenmiştir. Sonraki aşamada kesirli frekanslı esnek Fourier yapılı panel eş-bütünleşme testiyle modeldeki değişkenlerin eş-bütünleşik olduğu tespit edilmiştir. Araştırmanın son aşamasında genişletilmiş ortalama grup (AMG) yöntemiyle uzun dönemde nispi verimliliğin reel döviz kurunu nasıl etkilediği bulunarak VYH’nin geçerliliği sınanmıştır. Bulgular: Birincisi, nispi verimlilik ve reel döviz kuru hem oluşturulan panelde hem de paneldeki ülkelerin tamamında eş-bütünleşiktir. İkincisi, oluşturulan panelde ve paneldeki 10 ülkenin 8’inde (Çin, Mısır, Endonezya, Hindistan, Güney Kore, Polonya, Türkiye ve Güney Afrika) nispi verimliliğin uzun dönemde reel döviz kurunu arttırdığı tespit edilmiştir. Bu sonuçlar, VYH’nin geçerliliğini doğrulamaktadır. Son olarak Brezilya ve Meksika’da VYH reddedilmiştir. Özgünlük: Yükselen piyasa ekonomilerinde VYH’nin geçerliliğini inceleyen çalışma sayısı son derece sınırlıdır. Ayrıca bu araştırmada kullanılan panel eş-bütünleşme testi, kesirli frekanslı Fourier fonksiyonları yardımıyla, yapısal kırılmaları dikkate almaktadır. Anahtar Kelimeler: Balassa-Samuelson Etkisi, Panel Veri Analizi, Verimlilik Yanlılığı Hipotezi, Yükselen Piyasa Ekonomileri. JEL Kodları: C12, C23, F31.

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The National Security Strategy in the Current Environment: from DIME to a DIME-T Approach

Constantinescu

2021

International Conference KNOWLEDGE-BASED ORGANIZATION

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The contemporary security environment is characterized by Volatility, Uncertainty, Complexity and Ambiguity (VUCA), the use of hybrid warfare and grey zone conflicts, generating the need to adapt the national security strategies to the changes demands of the environment. In this context, the instruments of national power (diplomatic, information, economic, military) should be used in an integrated manner, in order to provide a more comprehensive approach to national security. The technology has become an integral part of the life of the society, and as such it should be taken into consideration as an instrument of power and highlighted as a major component of a national security strategy. The paper proposes a DIME-T approach to national instruments of power, by analysing the complex implications of technology on all the areas of security.

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The nonlinear ARDL approach and productivity bias hypothesis: Evidence from 68 countries

Cited by 3 publications

References 36 publications

Gold, crude oil, bitcoin and Indian stock market: recent confirmation from nonlinear ARDL analysis

Gold, crude oil, bitcoin and Indian stock market: recent confirmation from nonlinear ARDL analysis

Validating the Productivity Bias Hypothesis: Evidence from Selected Emerging Market Economies

The National Security Strategy in the Current Environment: from DIME to a DIME-T Approach

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