Russell Smyth

Higher Education, Real Income and Real Investment in China: Evidence From Granger Causality Tests

Abstract This paper employs cointegration and error‐correction modelling to test the causal relationship between real income, real investment and tertiary education using data for the People’s Republic of China over the period 1952–1999. To proxy tertiary education we use higher education enrolments and higher education graduates in alternative empirical specifications. One of the paper’s main findings is that real income, real investment and tertiary education are cointegrated when real investment is the dependent variable, but are not cointegrated when either tertiary education or real income is the dependent variable. We also extend the in‐sample analysis to examine the decomposition of variance and impulse response functions.

BIVARIATE CAUSALITY BETWEEN EXCHANGE RATES AND STOCK PRICES IN SOUTH ASIA

This article examines the relationship between exchange rates and stock prices in Bangladesh, India, Pakistan and Sri Lanka using daily data over a six-year period from 1995 to 2001. Both the Engle–Granger two-step and Johansen cointegration methods suggest that there is no long-run equilibrium relationship between these two financial variables in any of the four countries. Granger causality tests find that there is uni-directional causality running from exchange rates to stock prices in India and Sri Lanka, but in Bangladesh and Pakistan exchange rates and stock prices are independent.

The Environment and Well-Being in Urban China

Abstract We examine the relationship between atmospheric pollution, measured as sulphur dioxide emissions, environmental disasters, traffic congestion, access to parkland and well-being in urban China, using a large survey administered across 30 cities in 2003. We find that in cities with high levels of atmospheric pollution, environmental disasters and traffic congestion Chinese citizens report significantly lower levels of well-being ceteris paribus while in cities with greater access to parkland Chinese citizens report significantly higher levels of well-being ceteris paribus.

Unit root properties of crude oil spot and futures prices

Abstract In this article, we examine whether WTI and Brent crude oil spot and futures prices (at 1, 3 and 6 months to maturity) contain a unit root with one and two structural breaks, employing weekly data over the period 1991–2004. To realise this objective we employ Lagrange multiplier (LM) unit root tests with one and two endogenous structural breaks proposed by Lee and Strazicich [2003. Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85, 1082–1089; 2004. Minimum LM unit root test with one structural break. Working Paper no. 04–17, Department of Economics, Appalachian State University]. We find that each of the oil price series can be characterised as a random walk process and that the endogenous structural breaks are significant and meaningful in terms of events that have impacted on world oil markets.

Which rural migrants receive social insurance in Chinese cities? Evidence from Jiangsu survey data

This article draws on a survey of internal migrant workers in China’s Jiangsu province to shed light on the characteristics of migrant workers who receive social insurance and explain why some migrants take up social insurance while others do not. Of the factors which potentially explain which migrants receive social insurance, gender, past earnings, ties to the city to which the migrant had moved, the ownership type of the enterprise in which the migrant works and residential registration status are all found to be statistically significant predictors. The article concludes with the suggestion that the high level of scepticism with respect to social protection that has been reported as being manifest among migrants is justified. There is little likelihood the majority of migrant workers who have moved to China’s towns and cities will be able to access the social insurance benefits traditionally available to those with urban registration.

Trade Liberalization and Economic Growth in Fiji. An Empirical Assessment Using the ARDL Approach

This study investigates the effect of trade liberalization on economic performance in Fiji using a Cobb–Douglas production function, which is expanded to take into account political instability and trade liberalization. The long run results conform to theoretical expectations, except for the contribution of labour force, which is negatively related to real Gross Domestic Product. We attribute this to the rapid and consistent emigration of skilled labour following the 1987 coups. While human capital was found to be the most influential variable, exports and investment were found to be weakly related to Gross Domestic Product. The key finding is that the dummy variable for signing the IMF agreement in 1984 had a statistically significant positive effect on real Gross Domestic Product in the long run, but the short run effects of signing the agreement as well as the short run and long run effects of implementing the agreement in 1986 were statistically insignificant.

Is Chinese provincial real GDP per capita nonstationary?: Evidence from multiple trend break unit root tests

Abstract This article examines the unit root hypothesis for real GDP per capita in 25 of Chinas provinces. When we test for unit roots assuming either no structural breaks or one structural break, the evidence supports the unit root hypothesis. With multiple structural breaks, the evidence against a unit root is mixed. When both breaks in the trend function are restricted to the intercept, there is no additional evidence against the unit root hypothesis. However, with breaks in the intercept and the slope of the trend function, the unit root hypothesis can be rejected for just under half of the provinces.

Crime Rates, Male Youth Unemployment and Real Income in Australia: Evidence from Granger Causality Tests

This article applies Granger causality tests to examine the relationship between seven different categories of property crime and violent crime against the person, male youth unemployment and real male average weekly earnings in Australia from 1964 to 2001 within a cointegration and vector error correction framework. It is found that fraud, homicide and motor vehicle theft are cointegrated with male youth unemployment and real male average weekly earnings. However, there is no evidence of a long-run relationship between either break and enter, robbery, serious assault or stealing with male youth unemployment and real male average weekly earnings.

Cointegration between oil spot and future prices of the same and different grades in the presence of structural change

Abstract The purpose of this study is to examine whether crude oil spot and futures prices of the same and different grades are cointegrated using a residual-based cointegration test that allows for one structural break in the cointegrating vector and high-frequency data. We choose the US WTI and the UK Brent as the representative crudes for this analysis since these two crudes have well-established spot and futures markets. We find that spot and future prices of the same grade as well as spot and futures prices of different grades are cointegrated. We examine potential causes of structural change as revealed by the cointegration test in terms of events that have impacted on world oil markets as well as discuss the implications of the results for hedge managers, investors and regulators.

Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models

This paper examines whether stock prices for a sample of 22 OECD countries can be best represented as mean reversion or random walk processes. A sequential trend break test proposed by Zivot and Andrews is implemented, which has the advantage that it can take account of a structural break in the series, as well as panel data unit root tests proposed by Im et al., which exploits the extra power in the panel properties of the data. Results provide strong support for the random walk hypothesis.