Short and long run asymmetric effects of monetary and fiscal policy uncertainty on economic activity in the U.S.

This paper extends the ongoing literature on the macroeconomic effects of monetary and fiscal policy uncertainty. It examined the asymmetric effects of monetary and fiscal policy uncertainty on economic activity in the short and long run using U.S. monthly data from 1985M1 to 2017M2. The industrial production index is used as a measure of economic activity while the Baker et al. (2016) news based monetary and fiscal policy uncertainty were used as measures of uncertainty. To analyse asymmetry, the paper employed the nonlinear autoregressive distributed lag (NARDL) model which allows one not only to capture the effects of positive and negative uncertainty but to do so in both short and long run. Hence this paper provides new evidence of possible existence of a nonlinear and asymmetric relationship between policy uncertainty and economic activity in the short and long run. The results show that monetary and fiscal policy uncertainty share long run relationship with economic activity. Further, the effect of monetary and fiscal policy uncertainties in the long run is asymmetric. Asymmetric effect in the short run was supported only for monetary policy uncertainty. These findings have important practical and policy implications.https://www.iei1946.ithj2022Economic

Causality between oil price and South Africa’s food price : time varying approach

This paper examines the dynamic causal relationship between global oil price and South Africa’s food price using both full sample and time varying Granger causality tests. Monthly data from 2000:1 to 2014:6 is used. Result from the linear full sample Granger causality result shows no evidence of significant causality between oil price and food price. However, various stability tests show that the relevant VAR is unstable, thus invalidating conclusions from the full sample linear Granger causality tests. Based on this the causality analysis is performed using a time varying approach. Result from the latter shows that oil price Granger causes South Africa’s food price at different sub-periods: 2002-2003, 2006 and 2010. This challenges the assumption that the causal relationship between the two variables is constant over time. Therefore, these results highlight the importance of using methods that account for structural breaks and nonlinearities in the dynamic causal relationship between global oil price and South Africa’s food price.http://www.ge.camcom.gov.it/IT/Page/t01/view_html?idp=555http://www.iei1946.it/en/rivista.phpam2017Economic

Does oil price uncertainty matter for stock returns in South Africa?

This paper examines the impact of oil price uncertainty on South Africa’s stock returns using weekly data that cover the period 1995:07:01 to 2014:08:30. The measure of oil price uncertainty is the conditional standard deviation of the one-step-ahead forecast error for the change in the price of oil. A bivariate GARCH-in-mean vector autoregressive model was used for analysis. The results with oil price in US Dollars show that oil price uncertainty had negative but marginally significant effect on stock returns. However, when oil price is converted to Rands, the effect is still negative effect but significant at 5%. The study also finds that accounting for oil price uncertainty in an oil price-stock returns equation tends to amplify the negative dynamic response of stock returns to a positive oil shock, while diminishing the response of stock returns to a negative oil price shock compared to a model which excludes oil price uncertainty from entering the oil price-stock returns equation. Furthermore, the response of stock returns to negative and positive oil price uncertainty shocks is asymmetric.http://www.businessperspectives.org/component/option,com_journals/id,4am2016Economic

Sensitivity and integration of efficiency estimates from input distance functions and stochastic production frontiers : application to maize production in Benue State Nigeria

The selection of a suitable model for efficiency analysis is one of the most important issues in policy analysis. Given the recent interest in the use of distance functions as alternative representation of production technology, this study compares the empirical performances of the parametric stochastic input distance function to its nonparametric counterpart, data envelopment analysis. A further comparison is made between the alternatives of a distance and production function frontiers. It further integrates efficiency scores from the consistent approaches in order to evaluate the performance of the sampled farm households and for analysis of policy impacts on technical, allocative and cost efficiency. The usefulness of the proposed methodology is applied to smallholder maize production in Benue State Nigeria. The maize subsector has featured in a number of Nigeria’s policy initiatives, the most current of which involves doubling of its production and productivity through promotion of improved technologies such as hybrid seed, inorganic fertilizer, pesticides, herbicides, and better management practices. Despite the policy initiatives, maize productivity has remained low raising questions about the efficiency of resource use by farmers and the benefits of Nigeria’s technology policy. The study used data obtained from a field survey for the 2008/2009 agricultural year. A multistage stratified sampling technique was employed in selection of respondents. A total of 240 maize farm households were randomly selected and interviewed using structured questionnaires. Results from all the approaches indicated considerable technical, allocative and cost inefficiency under both traditional and improved maize technology. Technical efficiency estimates range from 80 to 87 percent. Allocative efficiency estimates range from 53 to 74 percent while cost efficiency estimates range from 45 to 62 percent. The results from all the approaches indicated that inefficiency in maize production in Benue State is dominated by cost inefficiency suggesting the immense potential of enhancing production through improvement in overall efficiency. The overall consistency check shows that technical, allocative and cost efficiency measures from the three distance functions were consistent whereas similar conclusions could not hold when these were compared to the production frontier especially for technical efficiency estimates. Given the consistency of results from the parametric and non-parametric distance functions, an integrated input distance model was developed for providing final efficiency estimates and analysis of policy impacts. The results show that both traditional and improved technology users were technically, allocatively and cost inefficient. The average technical, allocative and cost efficiency are 84.2, 65.7 and 54.5 percent, respectively implying that there is a possibility of raising maize production by 45.5 percent through overall efficiency improvement. Under the integrated approach, the study revealed that hybrid seeds, inorganic fertilizer and conservation practices have positive and significant impact on farm efficiency. Other determinants of efficiency include education, age, household size, land size, credit, and membership in a farmer group. The findings justify the need for further public investment in maize technology development and proper implementation of the relevant policies in order to enhance the efficiency with which maize has been produced thereby increasing its productivity, food security and farm incomes and subsequently reducing poverty in Nigeria.Thesis (PhD)--University of Pretoria, 2011.Agricultural Economics, Extension and Rural Developmentunrestricte

Effect of social infrastructure investment on economic growth and inequality in South Africa : a SEM approach

This paper investigates the effect of social infrastructure on economic growth and inequality in South Africa using a SEM approach. We use growth as the mediating variable while controlling for production factors, urbanisation and globalisation. Results show a positive and significant relationship between education expenditure and growth. However there is a negative but insignificant relationship between health expenditure and growth. Furthermore, results indicate a negative but insignificant relationship between education and inequality and a significant negative relationship between health and inequality. Consistent with the Kuznets theory, we find a positive and significant relationship between growth and inequality in South Africa.http://www.inderscience.com/jhome.php?jcode=IJEBR2017-08-31hb2017Economic

Forecasting real house price of the U.S. : an analysis covering 1890 to 2012

This paper evaluates the ability of Bayesian shrinkage-based dynamic predictive regression models estimated with hierarchical priors (Adaptive Jefferys, Adaptive Student-t, Lasso, Fussed Lasso and Elastic Net priors) and nonhierarchical priors (Gaussian, Lasso-Lars, Lasso-Landweber) in forecasting the U.S. real house price growth. We also compare results with forecasts from bivariate OLS regressions and principal component regression. We use annual dataset on 10 macroeconomic predictors spanning the period 1890 to 2012. Using an out-of-sample period of 1917 to 2012, our results based on MSE and McCracken (2007) MSE-F statistic, indicate that in general, the non-hierarchical Bayesian shrinkage estimators perform better than their hierarchical counterparts as well as the least square estimators. The Bayesian shrinkage estimated with Lasso-Landweber is the best-suited model for forecasting the U.S. real house price. Among the least square models, the individual regression with house price regressed on the fiscal policy variable outperforms the rest. Also results from Lasso-Landweber portray the fiscal policy variable as the best predictor of the U.S. house prices especially in the recent times while the short-term interest rate and real construction cost also did well at the beginning and middle of the sample.http://www.ecocyb.ase.ro/am201

Oil price uncertainty and savings in South Africa

Oil prices have become increasingly important to determine indicators such as inflation; this in turn affects savings and investments. This paper investigates the impact of the volatility of oil prices on savings in South Africa using quarterly data covering the period 1960 to 2014. The study used the GARCH-in-mean VAR model. This model also provides a way of examining the effect of a negative and positive shock in oil prices on savings. The outcome of this study proves that oil price uncertainty which is measured as the conditional standard deviation of a one-step-ahead forecast error of the change in oil price affects South Africa’s savings in a negative way. The responses of savings to a positive and negative oil price shocks is symmetric in both direction and magnitude.http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1753-02372016-09-30hb2016Economic

Evaluating the performance of small scale maize producers in Nigeria : an integrated distance function approach

The study evaluates the performance of small scale maize producers in Nigeria using stochastic input distance function (SIDF) and variable returns to scale data envelopment analysis (VRS DEA). Further, it examines the determinants of technical efficiency using the double‐bounded Tobit regression model. Results show that maize farmers are operating below the frontier. Technical efficiency estimates from SIDF and VRS DEA models are 86.7 percent and 85.5 percent, respectively. The efficiency estimates obtained from the two models are positively and significantly correlated. Given the high correlation between the two models in our analysis, and for individual variance and bias reduction, the efficiency scores from these models for each farmer are further combined into a single index using the principal component analysis (PCA) approach. Technical efficiency from the integrated model is 86.2 percent. Our findings show that maize production could still be raised by improving farm efficiency. Age, education, household size, membership of a farmer group, access to credit, and market were found to be statistically significant in explaining technical efficiency, thus emphasizing the need for policy intervention in improving farm efficiency.German Academic Exchange Service (DAAD) and World Bank Margaret McNamara Memorial Fund (MMMF)http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-940Xhb201

Technological innovation and efficiency in the Nigerian maize sector : parametric stochastic and non-parametric distance function approaches

The current world food crisis has necessitated alternative policy actions in most countries, including increased investment in agricultural research and development. This study uses duality theory to obtain allocative and cost efficiency from the parametric stochastic distance function, and results are then compared to estimates from the non-parametric distance function. The study further evaluates the impact of technological innovations and other policy variable on technical, allocative and cost efficiency from both approaches in a second-stage endogeneity-corrected Tobit regression model. Mean technical, allocative and cost efficiency ranges from 80.1 per cent to 86.7 per cent, from 57.8 per cent to 73.8 per cent, and from 50.3 per cent to 62.3 per cent respectively. The analysis of technical, alloctive and cost efficiency with respect to technological innovation and other policy factors is robust. Results show that policies aimed at maize technology development and its timely dissemination, as well as improvements in education and access to credit and extension, could promote technical, allocative and cost efficiency, reduce yield variability, enhance farm income and food security and reduce poverty in Nigeria.The German Academic Exchange Service (DAAD) fellowship awardhttp://www.tandfonline.com/loi/ragr2

Evaluating the performance of maize farmers in nigeria using stochastic distance and stochastic production frontiers

This study estimates the technical, allocative and cost efficiency of farm households using stochastic distance and stochastic production frontiers. Further, the study examines determinants of efficiency. Data was collected from a random sample of 240 maize farmers in Benue State Nigeria using structured questionnaires. Results from both distance and production frontiers show that farmers in the area are inefficient. Although the efficiency measures from the two frontiers are quantitatively different from each another, the overall consistency check shows that the farm households were ranked similarly by both approaches. This is particularly robust to allocative and cost efficiency. Improved maize seed, inorganic fertilizers, conservation practices, size of farm holdings, education, and access to extension services, credit and market were found to have significant impact on efficiency. Thus, investment in agricultural research coupled with complementary policies is an effective instrument for revamping agriculture and poverty reduction in Nigeria.The authors are grateful to DAAD and MMMF for funding this study.http://www.krepublishers.com/02-Journals/JHE/JHE-00-0-000-000-1990-Web/JHE-00-0-000-000-1990-1-Cover.htmam201