The present paper investigates the long-run relationships between daily prices, stocks and fear gauges of gold and silver by employing an updated fractional cointegrating framework, that is, the Fractional Cointegrating Vector Autoregression (FCVAR). The initial unit root tests results indicate that the series are I(d)s with values of d around 1 in all cases, and these are homogenous in the paired cointegrating series. Evidence of cointegration is found in the three pairs (prices, stocks and market gauge indices), while these cointegrations are only time-varying in the case of market gauge indices for the commodities. The fact that cointegration exists in prices and stocks of gold and silver implies the possibility that gold and silver prices and stocks can interchangeably be used to access the performances of the commodity markets, with the recommendation that the two commodities are not to be traded in the same portfolio.
This paper deals with the analysis of the temperatures in a group of 36 African countries. By looking at the maximum, minimum and the range (the difference between the maximum and the minimum) and using a long memory model based on fractional integration and cointegration, we first show that all series display a long memory pattern, with a significant positive time trend in 29 countries for the maximum temperatures and in 33 for the minimum ones. Looking at the range, the estimated value for the order of integration is smaller than the one based on maximum or minimum temperatures in 17 countries. Performing fractional cointegration tests between the maximum and minimum temperatures, our results indicate that the two series cointegrate in the classical sense (i.e., with a short memory equilibrium relationship) in a group of 11 countries, and there is another group of eight countries displaying cointegration in a fractional sense. The remaining 17 countries with no evidence of cointegration are therefore at the very high risk of climate change due to the absence of long-term comovement in their maximum and minimum temperatures. Findings in this paper are of tremendous interpretations and relevance for the analysis and climate projections in Africa.
The aim of the paper is to examine the mean reversion in health expenditure of 45 sub-Saharan African countries. The series on current health expenditure (percent of GDP in total), obtained from the World Development Indicators, each spanned the years 2000–2017. We employed the Fourier unit root test, which allows modelling structural breaks, to deal with any such breaks that could arise as a result of a small sample size (18 years) of data available on health expenditure of the selected countries. The results showed evidence of mean reversion in the health spending pattern of 27 sub-Saharan African countries. There is evidence of nonmean reversion in the health expenditure pattern of the remaining 18 countries considered. We further investigate the link between health expenditure and health outcome, using infant mortality rate and under-five mortality rate as health outcome variables. An inverse association could be observed between the infant mortality rate and health expenditure and between the under-five mortality rate and health expenditure in 24 sub-Saharan African countries. On the other hand, in 13 other sub-Saharan African countries we observed a positive association between the variables. The findings of this study could be of great importance to healthcare delivery programmes in the studied countries.
This paper deals with the analysis of the temperatures in a group of 36 African countries. By looking at the maximum, minimum and the range (the difference between the maximum and the minimum) and using a long memory model based on fractional integration and cointegration, we first show that all series display a long memory pattern, with a significant positive time trend in 29 countries for the maximum temperatures and in 33 for the minimum ones. Looking at the range, the estimated value for the order of integration is smaller than the one based on maximum or minimum temperatures in 17 countries. Performing fractional cointegration tests between the maximum and minimum temperatures, our results indicate that the two series cointegrate in the classical sense (i.e., with a short memory equilibrium relationship) in a group of 11 countries, and there is another group of eight countries displaying cointegration in the fractional sense. The remaining 17 countries with no evidence of cointegration are therefore at a very high risk of climate change due to the absence of long-term co-movement in their maximum and minimum temperatures. Findings in this paper are of tremendous interpretations and relevance for the analysis and climate projections in Africa.
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