Did the Consumption Voucher Scheme Stimulate the Economy? Evidence from Smooth Time-Varying Cointegration Analysis
Abstract
:1. Introduction
2. Materials and Methods
2.1. Methods
2.2. Materials
3. Results
3.1. Descriptive Statistics
3.2. Unit Root Tests
3.3. Specification Tests and Short-run Adjustment
3.4. Long-Run Relationship
4. Discussion
5. Conclusions
Supplementary Materials
Author Contributions
Funding
Acknowledgments
Conflicts of Interest
References
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Variables | Description | Mean | Std. Dev | Max | Min |
---|---|---|---|---|---|
CEXP | Private Consumption Per capita at the 2006 price level (NT$) | 43,916.45 | 27,186.74 | 89,336.33 | 8,358.36 |
DIP | Disposal Income per capita at the 2006 price level (NT$) | 69,492.07 | 39,429.60 | 13,7664.4 | 14,238.22 |
TSPI | Taiwan Stock Exchange Capitalization- Weighted Index (Points) | 38,63.53 | 32,88.82 | 11,294.67 | 94.67 |
RIR | Real Interest Rate=Prime Lending Rate-Inflation Rate (%) | 4.30 | 6.57 | 12.94 | −38.60 |
(a) ADF & PP | Levels | Differences | ||||||
Demeaned | De-trended | Demeaned | De-trended | |||||
ADF | PP | ADF | PP | ADF | PP | ADF | PP | |
ln(CEXP) | −2.051 | −1.812 | −0.160 | −2.485 | −3.628† | −31.115† | −4.196† | −38.426† |
ln(DIP) | −2.758 | −2.661 | −0.318 | −1.028 | −4.054† | −20.983† | −4.968† | −24.223† |
ln(TSPI) | −1.502 | −1.561 | −4.034* | −3.421 | −6.541† | −9.617† | −9.709† | −9.858† |
ln(RIR) | −5.071† | −3.376* | −5.078† | −3.364 | −7.898† | −18.665† | −7.875† | 18.839† |
(b) New ADF | Levels-M1 | Levels-M2 Levels | ||||||
ADF | TB1 | TB2 | Lags | ADF | TB1 | TB2 | Lags | |
ln(CEXP) | −1.426 | 1975.Q2 | 2003.Q2 | 19 | −1.577 | 1975.Q2 | 2003.Q2 | 19 |
ln(DIP) | −1.203 | 1973.Q4 | 2000.Q4 | 8 | −4.049 | 1990.Q3 | 2000.Q4 | 8 |
ln(TSPI) | −3.079 | 1987.Q1 | 1990.Q3 | 18 | −4.341 | 1988.Q1 | 1990.Q1 | 7 |
ln(RIR) | −1.616 | 1973.Q4 | 1978.Q1 | 20 | −2.064 | 1973.Q4 | 1979.Q2 | 20 |
CV5% | −4.136 | −5.318 | ||||||
CV1% | −4.731 | −4.714 |
(a) Model Specification Test | H0: Fixed Coefficient Cointegration Model HA: STVC Model | H0: STVC Model HA: No Cointegration |
---|---|---|
Test Statistics | 527.49 | 2.01 |
1% Critical Values | 13.28 | 13.28 |
5% Critical Values | 9.49 | 9.49 |
10% Critical Values | 7.78 | 7.78 |
(b) Results for Error Correction Model | ||
Variables | Coefficient | t-Statistic |
△ln(CEXP)t-1 | −0.426 | −4.32† |
△ln(DIP)t-2 | −0.384 | −4.99† |
△ln(TSPI)t-1 | 0.046 | 2.51* |
ECt-1 | −0.281 | −2.38* |
ECt-2 | −0.228 | −2.19* |
Dummy Var for 1st Quarter | 0.031 | 4.09† |
Dummy Var for 2nd Quarter | −0.055 | −7.84† |
Dummy Var for 3rd Quarter | −0.027 | −1.91 |
Constant | 0.034 | 5.01† |
R2 | 74.50% | |
Adjusted R2 | 73.34% | |
Durbin-Watson stat | 2.10 |
(a) Tests for Structure Breaks | Statistics | 5% Critical Values | |
---|---|---|---|
Double Maximum Tests | UD max | 250.93 | 8.88 |
WD max | 252.02 | 9.91 | |
250.93 | 8.58 | ||
160.82 | 7.22 | ||
Sup F Tests | 134.08 | 5.96 | |
138.06 | 4.99 | ||
114.85 | 3.91 | ||
250.93 | 8.58 | ||
30.58 | 10.13 | ||
Sequential Sup F Tests | 29.78 | 11.14 | |
45.08 | 11.83 | ||
7.15 | 12.25 | ||
# of Breaks | 4 | ||
(b) Estimates for Parameters | |||
Periods | Coefficient | 95% CIs | Break Points |
1967Q2–1974Q1 | 0.686 | [0.679, 0.692] | ------ |
1974Q2–1985Q3 | 0.765 | [0.760, 0.770] | 1974Q2 |
1985Q4–1992Q4 | 0.736 | [0.730, 0.743] | 1985Q4 |
1993Q1–2006Q4 | 0.772 | [0.767, 0.776] | 1993Q1 |
2007Q1–2013Q4 | 0.735 | [0.728, 0.742] | 2007Q1 |
R2 | 73.91% | ||
Adjusted R2 | 73.34% |
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Lin, F.-L.; Chen, W.-Y. Did the Consumption Voucher Scheme Stimulate the Economy? Evidence from Smooth Time-Varying Cointegration Analysis. Sustainability 2020, 12, 4895. https://doi.org/10.3390/su12124895
Lin F-L, Chen W-Y. Did the Consumption Voucher Scheme Stimulate the Economy? Evidence from Smooth Time-Varying Cointegration Analysis. Sustainability. 2020; 12(12):4895. https://doi.org/10.3390/su12124895
Chicago/Turabian StyleLin, Feng-Li, and Wen-Yi Chen. 2020. "Did the Consumption Voucher Scheme Stimulate the Economy? Evidence from Smooth Time-Varying Cointegration Analysis" Sustainability 12, no. 12: 4895. https://doi.org/10.3390/su12124895
APA StyleLin, F.-L., & Chen, W.-Y. (2020). Did the Consumption Voucher Scheme Stimulate the Economy? Evidence from Smooth Time-Varying Cointegration Analysis. Sustainability, 12(12), 4895. https://doi.org/10.3390/su12124895