John A. Cotsomitis

The causal relationships between equity indices on world exchanges

The Engle and Granger cointegration analysis and Granger causality tests are applied to monthly time series of nine major stock market indices over the period January 1982 to February 1991 to examine for causal linkages. The empirical results indicate that there is adequate evidence to refute the notion of informationally efficient stock markets.

Can Consumer Confidence Forecast Household Spending? Evidence from the European Commission Business and Consumer Surveys

This paper represents a first formal attempt to examine the ability of consumer confidence to forecast household spending within a multicountry framework. To this end, we use two confidence indices, namely the Consumer Confidence Indicator and the Economic Sentiment Indicator, both of which are derived from the European Commission Business and Consumer Survey. As in previous single-country investigations, we find that there is much variability in the in-sample incremental forecasting performance of the confidence indices for the countries canvassed. Further, the results of our out-of-sample tests indicate that the confidence indices considered provide limited information about the future path of household spending.

Multivariate cointegration and causality tests of Wagner's hypothesis: evidence from the UK

The purpose of this paper is to examine the issue of omitted variables in testing the long run validity of Wagners hypothesis. Using UK data for the period 1948 to 1997, this paper first investigates the secular relationship between public spending and economic development in a bivariate system. In all cases considered, our bivariate cointegration tests indicate the absence of a long run equilibrium condition. However, the introduction of a third variable (money supply) re-establishes a cointegrating relationship between public expenditure and economic development variables. In addition, the results of the Grangers multivariate causality test indicate a unidirectional causality from income and money supply to public spending in the long run, thus providing support for Wagners hypothesis.

Exports, economic growth and exogeneity: Taiwan 1953-88

The econometric techniques developed by Engle and Hendry (1993) are used to examine empirically the exogeneity status of the real export growth variable in a commonly used output growth equation. Data from Taiwan shows that, while the weak exogeneity assumption appears to be valid, the super exogeneity assumption is rejected. Thus, the results cast doubt on policy recommendations based on the export-led growth hypothesis.

Exports, economic growth and structural invariance: evidence from some Asian NICs

In this paper we use the exogeneity techniques developed by Engle and Hendry (Journal of Econometrics, 1993, 56, pp. 119-39) and data from three Asian NICs to test the invariance assumption of the export-led growth hypothesis.

Are There Technological Gains from the Liberalization of Exchange

This article investigates the impact of openness and tariff reductions on the technical inventiveness of selected OECD countries. The results suggest that even these simple forms of trade liberalization may, under certain conditions, favour technical inventiveness or creativity, the most advanced form of technological gain. It is therefore likely that other, more directly relevant kinds of liberalization of exchange, will have some positive effects on less extreme forms of acquisition of technical knowledge. The diversity in outcomes across the range of countries surveyed points to the need to specify the conditions under which these dynamic technological gains can be reaped and serve as a rationale for international trade policy.