1. Purchasing power parity in B5 countries : how important are tourism pricesJani Bekő, Darja Boršič, 2024, independent scientific component part or a chapter in a monograph Abstract: This chapter examines the PPP hypothesis in five Balkan countries (B5). The current analysis incorporates four important novelties. First, from a methodological standpoint, the PPP is scrutinized by a range of first-generation and second-generation panel unit root tests. Additionally, three panel cointegration tests are performed: the Pedroni residual cointegration test, the Kao residual cointegration test and the Johansen Fisher cointegration test. Second, the study utilizes two price indicators: the consumer price index for hotels and restaurants and the general consumer price index. Third, the PPP proposition for the Balkan economies is inspected using a new, updated data set covering the period from January 2006 to December 2023. Fourth, two numeraire currencies, the euro and the USD, are operated to assess the validity of exchange rate parity conditions. The econometric results provide resolute support for the PPP concept in the group of B5 countries.
Keywords: panel unit root tests, panel cointegration tests, tourism sector, consumer price indices for hotels and restaurants
Published in DKUM: 14.07.2025; Views: 0; Downloads: 12
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2. Assessing fiscal sustainability with panel unit root, cointegration, and Granger causality tests : evidence from the broader groups of countriesNejc Fir, 2024, original scientific article Abstract: The question of fiscal sustainability of countries has become one of the central topics in economic policy, especially in times of increasing public debts. One way to assess fiscal sustainability is to examine compliance with the intertemporal budget constraint, which involves testing the stationarity of government revenues and expenditures, the primary budget balance, and the first differences of public debt. Part of this approach includes testing cointegration and causality among different pairs of variables. Under this approach, the paper is focused on both first- and second-generation panel unit root tests, cointegration, and Granger causality test. This paper focuses on assessing the fiscal sustainability of four panels of countries divided by continents: Europe, Asia and Oceania, Africa, and Latin America, the Caribbean, and North America. It has been found that fiscal sustainability is present in all the broader groups of countries considered but in a weak form. Fiscal sustainability was confirmed when considering a constant in calculations, while deviations were observed among groups of countries when both a constant and trend were considered. The study serves as a starting point for a more extensive analysis of fiscal sustainability. For more accurate findings, it would be necessary to categorize countries into smaller and economically more homogeneous groups and analyze them using other fiscal sustainability methods as well.
Keywords: cointegration tests, fiscal sustainability, Granger causality tests, intertemporal budgetary constraint, unit root tests
Published in DKUM: 27.05.2025; Views: 0; Downloads: 14
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3. Effect of depreciation of the exchange rate on the trade balance of AlbaniaSafet Kurtović, Blerim Halili, Nehat Maxhuni, 2017, original scientific article Abstract: The paper investigates the effect of the real effective exchange rate depreciation of the lek on the trade balance of Albania using quarterly data from 1994 to 2015. Bounds testing cointegration approach, vector error correction model (VECM), and impulse response were used for the empirical analysis. The results of the study show a long-term cointegration between the real effective exchange rate (REER) and the trade balance (TB). Specifically, the REER depreciation positively affects the trade balance of Albania in both the long and short run, indicating the weak presence of the J-curve effect. Important recommendations were derived from the results.
Keywords: J-curve, cointegration, elasticity, short-term effect, long-term effect
Published in DKUM: 03.05.2018; Views: 1274; Downloads: 454
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4. Analysis of personal income taxation determinants in Croatia in long run : evidence from cointegration analysisIrena Palić, Ksenija Dumičić, Barbara Grofelnik, 2017, original scientific article Abstract: Personal income taxation remains an ongoing issue in Croatia. It is used as an important instrument of income redistribution. Moreover, it directly affects purchasing power of the working population. Numerous changes have been made in this type of taxation since the establishment of Croatian tax system. The aim of this paper is to analyse possible determinants of personal income taxation in Croatia. After offering brief insight into public finance theory regarding personal income taxation, the structure of personal income taxation in Croatia is explained. The empirical analysis of the determinants of personal income taxation in Croatia is conducted using cointegration analysis. Economic conditions, average monthly wage, and number of taxpayers are used as determinants of personal income tax used in this research. The cointegration analysis is conducted using monthly data from January 2008 to February 2016. The results of the research show a statistically significant negative impact of economic conditions and statistically significant positive impact of average monthly wage and number of taxpayers on personal income taxation in long run, what is in line with economic and public finance theory.
Keywords: personal income taxation determinants, economic conditions, wages, number of taxpayers, johansen cointegration approach, Croatia
Published in DKUM: 03.05.2018; Views: 1260; Downloads: 289
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