Dynamic Econometric Models https://apcz.umk.pl/DEM <p>The <em>Dynamic Econometric Models</em> was established in 1994 with the aim of creating a field journal for the publication of econometric research. The scope of the Journal includes papers dealing with methodological aspects of dynamic econometrics, as well as papers dealing with various aspects of econometric techniques and forecasting to important areas of economics. The Journal is open to all contributions in dynamic econometrics, whether theoretical, practical, computational and methodological.</p><p><strong>The Editors of the Dynamic Econometric Models suspend the submission of articles until further notice.</strong></p> en-US <p>The journal provides an Open Access to its content based on the non-exclusive licence Creative Commons (CC BY-ND 4.0).</p> <p>To enable the publisher to disseminate the author's work to the fullest extent, the author must agrees to the terms and conditions of the <a href="https://wydawnictwo.umk.pl/upload/files/dokumenty/Licence%20contract%20APCz%202017.pdf" target="_blank" rel="noopener">License Agreement</a> with Nicolaus Copernicus University.</p> mariola.pilatowska@umk.pl (Mariola Piłatowska) greg@umk.pl (Grzegorz Kopcewicz) Fri, 15 May 2020 00:00:00 +0200 OJS 3.3.0.8 http://blogs.law.harvard.edu/tech/rss 60 Revisiting the Import Demand Function: A Comparative Analysis https://apcz.umk.pl/DEM/article/view/DEM.2019.001 <span>This study attempts to revisit import demand function across three panels of frontier, emerging, and developed economy from 1980 to 2016. Long-run relationship exists among import demand, relative price, exchange rate, and real GDP in economy. Due to increase in real GDP, import demand responds positively across economies. It responds in same direction in short-run in frontier and emerging economies with relative price unlike that of long-run in same economies. However, it responds in same direction with relative price in developed economy. It moves in opposite direction with respect to movement in exchange rate of frontier economy unlike that of developed economy. Next, the behavior of import demand in short-run due to change in exchange rate varies from that of long-run in emerging economy. This study will help to predict the dynamics of import due to change in income level, relative price, and exchange rate at national and international level.</span> Sharif Hossain, Kanon Kumar Sen, Thasinul Abedin, Muhammad Shafiur Rahman Chowduhury Copyright (c) 2019 Dynamic Econometric Models https://apcz.umk.pl/DEM/article/view/DEM.2019.001 Sat, 28 Dec 2019 00:00:00 +0100 Impact of Export and Import on Economic Growth: Time Series Evidence from India https://apcz.umk.pl/DEM/article/view/DEM.2019.002 <p><span lang="EN-US">This paper examines the cointegration and causal relationships between export, import, and economic growth in India using quarterly data from 1996:Q2 to 2019:Q2. Stationarity properties of the time series data are investigated using Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests, and the existence of cointegrating relationship is studied using Johansen’s cointegration test. Finally, the causal relationships between the variables are examined using Vector Error Correction Model (VECM). The results show that, under both tests, the time series variables are non-stationary at their levels and are stationary at their first differences. The Johansen’s cointegration test shows the existence of a long run equilibrium relationship among the variables. The results from the VECM indicate that there is a unidirectional causal relationship running from economic growth to import in India. This implies that with an increase in the income of the nation, the nation’s spending will increase, and some of the spending will be on import.</span></p> Mitra Lal Devkota Copyright (c) 2019 Dynamic Econometric Models https://apcz.umk.pl/DEM/article/view/DEM.2019.002 Sat, 28 Dec 2019 00:00:00 +0100 Demonetisation as an Economic Policy Tool: Macroeconomic Implications of a Monetary Market Shock. The Example of the Indian Monetary Reform https://apcz.umk.pl/DEM/article/view/DEM.2019.003 <p class="Abstract"><span lang="EN-US">This paper discusses the implementation of the 2016 India demonetisation, and analyses its macroeconomic consequences. The pivotal issue here is a regional heterogeneity of CPI inflation caused by demonetisation. A dynamic panel CPI model has been estimated in order to find out whether unequal accessibility of banking services determines the inflation heterogeneity. The findings suggest that financial services accessibility is not a significant inflation-driving factor. Hence a hypothesis about a redistribution of wealth between rural and urban areas with different access to banking might be rejected.</span></p> Sebastian Amit Roy Copyright (c) 2019 Dynamic Econometric Models https://apcz.umk.pl/DEM/article/view/DEM.2019.003 Sat, 28 Dec 2019 00:00:00 +0100 Energy Consumption and Economic Growth in Ethiopia: Evidence from ARDL Bound Test Approach https://apcz.umk.pl/DEM/article/view/DEM.2019.004 <span style="font-size: 14pt; color: #000000; font-style: normal; font-variant: normal;"><span style="font-size: 12pt; color: #000000; font-style: normal; font-variant: normal;"><span style="font-size: 12pt; color: #000000; font-style: normal; font-variant: normal;"><span style="font-size: 12pt; color: #000000; font-style: normal; font-variant: normal;"><span style="font-size: 12pt; color: #000000; font-style: normal; font-variant: normal;"><span style="font-size: 12pt; color: #000000; font-style: normal; font-variant: normal;"><span style="font-size: 12pt; color: #000000; font-style: normal; font-variant: normal;"><span style="font-size: 12pt; color: #000000; font-style: normal; font-variant: normal;"><span style="font-size: 12pt; color: #050904; font-style: normal; font-variant: normal;"><span style="font-size: 12pt; color: #1c1f1b; font-style: normal; font-variant: normal;"><span style="font-size: 12pt; color: #000000; font-style: normal; font-variant: normal;"><span style="font-size: 12pt; color: #060903; font-style: normal; font-variant: normal;"><span style="font-size: 12pt; color: #0c0f0b; font-style: normal; font-variant: normal;"><span lang="EN-US">The present study aims to investigate the dynamic relationship between economic growth and energy consumption. Specifically, the study tries to answer the questions whether energy consumption has any significance effect on economic growth of the country and it also determined the magnitude of the effect. In doing this, the study used an ARDL bound test approach to analyze Ethiopian data from 1970 to 2017 with real GDP as a function of energy consumption, human capital., physical capital., trade openness and policy change dummy. To do so, secondary data were obtained from WDI, UNCTAD stat and NBE. Co-integration test approves the existence of long-run relationship among the variables. Moreover, the estimation result reveals that, energy consumption found statistically insignificant in affecting economic growth in the long-run. However, it was positive and statistically significant in short-run. Likewise, the dummy variable incorporated to capture the policy change found insignificant in long-run and with positive significant result in short-run. Also, we applied the Granger causality test in linear multivariate models to evaluate how important is the causal impact of energy consumption on economic growth. The results give the evidence of causality running from economic growth to energy consumption supporting “conservation hypothesis”, implying that reducing energy consumption may be implemented with little or no adverse effect on economic growth. Hence, this study recommended the policy makers to improve the existing policies on energy consumption so as to enhance the level of efficiency in the energy sector i.e. energy regulation policies supporting the shift from lower-quality to higher-quality energy services.</span></span></span></span></span></span></span></span></span></span></span></span></span></span> Wondatir Atinafu Copyright (c) 2019 Dynamic Econometric Models https://apcz.umk.pl/DEM/article/view/DEM.2019.004 Sat, 28 Dec 2019 00:00:00 +0100 Does fundamental strength of the company influence its investment performance? https://apcz.umk.pl/DEM/article/view/DEM.2019.005 <p class="Abstract"><span lang="EN-US">The aim of our research is to find out whether the fundamental strength of the company affects its investment performance. The research is provided for 27 non-financial companies listed on the Warsaw Stock Exchange in the years 2012–2017. These companies belong to the stock indexes WIG20 and mWIG40 portfolios. The obtained results show that the proposed synthetic measure makes it possible to estimate the fundamental strength of listed companies, and the correlation between values of the constructed measure and rates of return is positive but usually statistically insignificant. </span></p> Dorota Witkowska, Piotr Kuźnik Copyright (c) 2020 Dynamic Econometric Models https://apcz.umk.pl/DEM/article/view/DEM.2019.005 Sat, 28 Dec 2019 00:00:00 +0100