Unpublished manuscripts and supplementary files (graphs, data and codes) can be found on this page.
Yifei Cai, Jamel Saadaoui. Fourier DF unit root test for R&D intensity of G7 countries. BETA Working Paper (2021). Available at SSRN: https://dx.doi.org/10.2139/ssrn.3885026
Abstract. According to the Schumpeterian endogenous growth theory, the efficacy of R&D is lowered by the proliferation of products. To be consistent with empirical data, the ratio between innovative activity and product variety (also called R&D intensity) must be stationary. In this perspective, our contribution investigates whether the R&D intensity series are stationary when structural breaks are considered. Our sample of G7 countries is examined over the period spanning from 1870 to 2016. Our results indicate that traditional unit root tests (ADF, DF-GLS and KPSS) conclude that the R&D intensity series are non-stationary in contradiction with the Schumpeterian endogenous growth theory. The conclusions of these traditional unit root tests may be misleading, as they ignore the presence of structural breaks. Indeed, we use several types of Fourier Dickey-Fuller tests to consider the presence of structural breaks. In the Fourier Dickey-Fuller unit root tests using double frequency and fractional frequency, the R&D intensity is significantly stationary at least at the 5\% level for Canada, France, Germany, Italy, Japan when a deterministic trend is included in the tests. Nevertheless, the R&D intensity is non-stationary for the US, even when we consider structural breaks. Indeed, the integration analyses aimed at discriminating between competing theories of endogenous growth should be careful of the presence of structural breaks. Especially when historical data are used, traditional unit root tests may lead to erroneous economic interpretations. These findings may help to understand the true nature of long-run economic growth.
Keywords: R&D intensity; Schumpeterian growth model; Double frequency; Fourier Dickey-Fuller unit root test
JEL Codes: C12; C22; O30; O40
Sy-Hoa Ho, Jamel Saadaoui. Bank Credit and Economic Growth: A Dynamic Threshold Panel Model for ASEAN Countries. BETA Working Paper 2021-24 (2021). Available at SSRN: https://ssrn.com/abstract=3861675.
Abstract. While it is widely recognized that the development of a sound financial system may contribute to foster economic growth, the relation between economic growth and financial activities is complex. In this perspective, our contribution investigates the existence of threshold effects in the relationship between economic growth and bank credit. Our sample of ASEAN countries is examined over the period spanning from 1993 to 2019. We use the approach of Kremer et al. (2013) to estimate threshold effects in a dynamic panel where a group of explanatory variables can be endogenous. Our results do not confirm the vanishing effect of finance on economic growth. We found a threshold of 96.5% (significant at the 5% level) for the credit-to-GDP ratio, the threshold variable. In the short run, for observations inferior or equal to the threshold, the positive effect of bank credit expansion on economic growth is around 0.08 (significant at the 1% level). Whereas, for observations superior to the threshold, the positive effect of bank credit expansion on economic growth is around 0.02 (significant at the 1% level). The role of exporting firms is essential in ASEAN countries as they are more export-oriented than other regions in the world economy. Our results may indicate that the beneficiary of the credit (firms versus households), the structural features (export-led growth), and the regional heterogeneity have to be considered in empirical investigations of threshold effects in the relation between economic growth and bank credit. This empirical evidence may help to formulate sound policy recommendations.
Keywords: Bank credit, Economic growth, Dynamic threshold estimation, ASEAN.
JEL Classification: C23, E51, G21, O41.
Stata code for replicate the results of the following article:
Jamel Saadaoui. Global imbalances: Should we use fundamental equilibrium exchange rates? Economic Modelling 47, pp. 383-398, 2015, 10.1016/j.econmod.2015.02.007
The following dataset has been used in this study :