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VARIANCE DECOMPOSITION (6) answer(s).
 
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ID:   091728


Defence spending-external debt nexus in Ethiopia / Wolde-Rufael, Yemane   Journal Article
Wolde-Rufael, Yemane Journal Article
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Publication 2009.
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2
ID:   192055


Empirical Analysis of Arms Exports and Economic Growth Spillovers: the Case of the United States / Callado Muñoz, Francisco José   Journal Article
Callado Muñoz, Francisco José Journal Article
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Summary/Abstract In this paper, we study closely the relationship between arms exports, labor productivity and economic growth. Using a connectedness-measurement technology fundamentally grounded in modern network theory, we determine the size and direction of the spillover effects between these three variables. Our findings indicate that shocks from arms exports have direct spillovers over the labor productivity and GDP growth, whereas the reverse is not captured by our data. We also provide a dynamic analysis of the spillovers that confirm the direction of spillovers from arms exports to the other variables. The recent evolution of arms exports from the United States together with the changes in arms exports policy show the timeliness of studying the effects of this particular trade to the rest of the economy.
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3
ID:   177827


Empirical Analysis of Terrorism and Stock Market Spillovers: the Case of Spain / Laborda, Ricardo; Olmo, Jose   Journal Article
Laborda, Ricardo Journal Article
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Summary/Abstract This article assesses the spillover effects between terrorist activity and Spanish stock market returns for the period 1993–2017 . We construct a daily terror index that reflects the terrorist activity of different types of perpetrators: domestic terrorism (ETA) and international terrorism linked to Islamic extremism. Our static analysis shows that connectedness is important, as it explains about half of the forecast error variance; most of it is attributed to shocks from terrorist events on stock market return forecasts. Our dynamic analysis also uncovers an increase in spillover effects between the early period characterised by ETA terrorist attacks and the recent past characterised by Islamic terrorist attacks.
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4
ID:   144791


Military expenditure and income distribution in South Korea / Wolde-Rufael, Yemane   Article
Wolde-Rufael, Yemane Article
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Summary/Abstract This paper attempts to investigate the long-run and the causal relationship between military expenditure and income distribution in South Korea for the period 1965–2011. Applying the bounds test approach to cointegration, we found a long-run relationship between military expenditure and the Gini coefficient with military expenditure having a positive and a statistically significant impact on income inequality. A 1% rise in military expenditure increased the Gini coefficient by 0.38%. Application of the lag-augmented causality test also reveals a unidirectional causality running from military expenditure to income inequality. The evidence seems to suggest that devoting more resources to the military sector may further worsen income inequality in South Korea.
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5
ID:   118841


On the electricity shortage, price and electricity theft nexus / Jamil, Faisal   Journal Article
Jamil, Faisal Journal Article
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Publication 2013.
Summary/Abstract Pakistan is facing severe electricity shortfall of its history since 2006. Several measures have been implemented in order to mitigate electricity shortage. The focus has been on raising the installed capacity of electricity generation and transmission. The present policy results in expensive thermal electricity generation mostly using expensive and environmentally hazardous furnace oil and inability of utilities to recover their cost of supply although there is unprecedented rise in electricity tariffs. This study concentrates on the electricity demand and traces the relationship between electricity shortfalls, tariff rate and electricity theft in the background of recent electricity crisis using the data for the period 1985-2010. We employed the Granger causality test through error correction model and out-of-sample causality through variance decomposition method. Empirical evidence shows that electricity theft greatly influences electricity shortfalls through lowering investment and inefficient use of electricity. The study concludes that electricity crisis cannot be handled without combating rampant electricity theft in the country.
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6
ID:   169757


Transmission of shocks and contagion from U.S. to MENA equity markets: the role of oil and gas markets / Abid, Ilyes   Journal Article
Abid, Ilyes Journal Article
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Summary/Abstract Using a multifactor model augmented with oil and gas returns, this paper examines contagion from the US to MENA equity markets and studies the role of energy price fluctuations in amplifying the dependence between the US and MENA equity markets. We provide empirical evidence of a strong contagion effect originating from the US to MENA equity markets. The regional, oil and gas factors account for the bulk of the variance of the MENA equity returns and our findings suggest that the oil and gas markets play an important role in strengthening the dependence between the MENA and US markets during episodes of market turmoil. We discuss the policymaking importance of our results and propose a strategy to curb the adverse effects of US return shocks on MENA equity markets during episodes of stress.
Key Words Russia  ;  Oil Prices  ;  US  ;  Contagion  ;  Variance Decomposition  ;  MENA  ; 
Gas Prices  ;  Multifactor Model  ;  Sensitivities 
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