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The purpose of this paper is to examine the time series properties of 26 macroeconomic variables in Papua New Guinea (PNG) over the period 1970‐2006.

Both unit root and stationarity tests without a structural break and the Lagrange Multiplier (LM) unit root test with one and two structural breaks developed by Lee and Strazicich are applied to each of the 26 macroeconomic variables in PNG. Compared to popular ADF‐type endogenous unit root tests such as those proposed by Zivot and Andrews and Lumsdaine and Papell, the LM unit root test with one and two structural breaks has the advantage that it is unaffected by breaks under the null.

The unit root and stationarity tests without structural breaks find at best mixed evidence of mean reversion and/or trend reversion for most variables. This result is likely to reflect the failure of these tests to allow for structural breaks, given the power to find stationarity declines if the data contain a structural break that is ignored. When the LM unit root test with one and two structural breaks is applied, it is found that at least 23 of the 26 macroeconomic variables are trend stationary.

The time series properties of macroeconomic variables have important implications for several macroeconomic theories. There are, however, few studies of the time series properties of macroeconomic variables in developing countries and no comprehensive studies for any of the Pacific Island countries. This paper begins to fill this gap as the first to provide a systematic examination of the time series properties of macroeconomic variables in Paua New Guinea.

The purpose of this paper is to forecast Fiji's exports and imports for the period 2003‐2020.

To achieve the goal of this paper, the autoregressive moving average with explanatory variables (ARMAX) model was applied. To this end, the paper drew on the published export demand model and the import demand model of Narayan and Narayan for Fiji.

The paper's main findings are: Fiji's imports will outperform exports over the 2003‐2020 period; and current account deficits will escalate to be around F$934.4 million on average over the 2003‐2020 period.

Exports and imports are crucial for macroeconomic policymaking. It measures the degree of openness of a country and it signals the trade balance and current account balances. This has implications for inflation and exchange rate. By forecasting Fiji's exports and imports, the paper provides policy makers with a set of information that will be useful for devising macroeconomic policies.

This paper aims to estimate a disaggregated import demand model for Fiji using relative prices, total consumption, investment expenditure and export expenditure variables for the period 1970 to 2000.

The recently developed bounds testing approach to cointegration to test for a long run relationship is used, while the autoregressive distributed lag model is used to estimate short run and long run elasticities. These methodologies are shown to perform well in small sample sizes, particularly given that the bounds F‐test critical values for small sample sizes generated by Narayan in 2004 and 2005 are used.

Amongst the key results it is found: a long run cointegration relationship among the variables when import demand is the dependent variable; and import demand to be inelastic and statistically significant at the 1 per cent level with respect to all the explanatory variables in both the long‐run and the short‐run.

The disaggregated import demand model estimated here provides a complete picture of the determinants of Fiji's imports. This model can be used by Fijian policy makers to draw pertinent policies and forecast import demand for Fiji.

The purpose of this paper is to examine the monetary policy transmission mechanism for the Fiji Islands using a structural vector autoregressive (SVAR) model for the period 1975 to 2005.

The SVAR model investigates how a monetary policy shock – defined as a temporary and exogenous rise in the short‐term interest rate – affects real and nominal macro variables; namely real output, prices, exchange rates, and money supply.

The results suggest that a monetary policy shock statistically significantly reduces output initially, but then output is able to recover to its pre‐shock level. A monetary policy shock generates inflationary pressure, leads to an appreciation of the Fijian currency and reduces the demand for money. The paper also analysed the impact of a nominal effective exchange rate (NEER) shock (an appreciation) on real output and found that it leads to a statistically significant negative effect on real output.

The findings of this study should be of direct relevance to the research and policy work undertaken at the Reserve Bank of Fiji.

For a small economy, such as Fiji, where monetary policy is key to sustainable macroeconomic management, this is the first paper that undertakes a dynamic analysis of monetary policy transmission. The paper uses time series data over three decades and builds a structural VAR model, rooted in theory. This paper will be of direct relevance to the Reserve Bank of Fiji. The approach and model proposed will also be useful for applied monetary policy researchers in other developing countries where inflation rate targeting is a key element of the monetary policy setting.

This paper aims to examine the export‐led growth hypothesis for Fiji and Papua New Guinea (PNG).

The paper investigates the export‐led growth hypothesis for Fiji and PNG who have been facing dismal economic growth performances over the last couple of decades.

Findings of the study suggest that for Fiji there is evidence of export‐led growth in the long‐run, while for PNG there is evidence of export‐led growth in the short‐run.

The findings of this paper have important messages for policy makers given that export sectors in both countries investigated are underdeveloped due mainly to a sustained period of political instability.

This paper aims to delineate the short‐ and long‐run relationships between savings, real interest rate, income, current account deficits (CADs) and age dependency ratio in Fiji using cointegration and error correction models over the period 1968‐2000.

The recently developed bounds testing approach to cointegration is used, which is applicable irrespective of whether the underlying variables are integrated of order one or order zero. Given the small sample size in this study, appropriate critical values were extracted from Narayan. To estimate the short‐ and long‐run elasticities, the autoregressive distributed‐lag model is used.

In the short‐ and long‐run: a 1 per cent increase in growth rate increases savings by over 0.07 and 0.5 per cent, respectively; a 1 per cent increase in the CAD reduces savings rate by 0.01 and 0.02 per cent, respectively; and the negative coefficient on the real interest rate implies that the income effect dominates the substitution effect, while in the short‐run the total effect of the real interest rate is positive, implying that the substitution effect dominates the income effect.

This paper makes the first attempt at estimating the savings function for the Fiji Islands. Given that Fiji's capital market is poorly developed, the empirical findings here have direct policy relevance.

This paper aims to investigate the integrational properties of real GDP for 125 countries.

The paper applies the Kwiatkowski et al. univariate test and a KPSS‐type univariate test that accounts for multiple structural breaks – a test procedure proposed by Carrion‐i‐Silvestre et al. The panel versions of the KPSS‐type test, proposed by Carrion‐i‐Silvestre et al. with and without structural breaks, are also applied.

The paper finds that, while univariate tests with and without structural breaks provide mixed results on persistence, the panel test suggests that shocks to national output are persistent.

This is a multi‐country study that focuses on both developed and developing countries and uses more recent data to provide new and comparable evidence on the persistence of output.

There are several studies that investigate evidence for mean reversion in stock prices. However, there is no consensus as to whether stock prices are mean reverting or random walk (unit root) processes. The goal of this paper is to re‐examine mean reversion in stock prices.

The authors use five different panel unit root tests, namely the Im, Pesaran and Shin t‐bar test statistic, the Levin and Lin test, the Im, Lee, and Tieslau Lagrangian multiplier test statistic, the seemingly unrelated regression test, and the multivariate augmented Dickey Fuller test advocated by Taylor and Sarno.

The main finding is that there is no mean reversion of stock prices, consistent with the efficient market hypothesis.

One issue not considered by this study is the role of structural breaks. It may be the case that the efficient market hypothesis is contingent on structural breaks in stock prices. Future studies should model structural breaks.

The findings have implications for econometric modelling, in particular forecasting.

This paper adds to the scarce literature on the mean reverting property of stock prices based on panel data; thus, it should be useful for researchers.

The purpose of this study is to explore and evaluate potential nonmonotonicity in the determinants of profit efficiency, specifically IT and R&D investments in the Indian commercial banking sector.

The study employs an alternative stochastic profit efficiency framework and introduces nonmonotonic effects by parameterizing the location and scale parameters of the inefficiency component on an unbalanced panel data set of 72 commercial banks in the 2008–2019 period. Marginal effects across quartiles are calculated using a bias-corrected and accelerated bootstrap procedure of 500 simulations. The study disaggregates across ownership and size for gauging the impact of structure on the associations between determinants of profit efficiency.

The study partially rejects the productivity paradox as it discovers a negative association of IT and R&D with profit inefficiency. However, the observed nonmonotonicity of IT is of significance for bank managers, as the study concludes that overinvestment in IT is detrimental to a bank’s profit-maximizing interests. Further, bank size, loan default and credit risk depict a nonmonotonic relationship across the sample with large banks, high NPAs and high credit risk associated with reducing profit efficiency. In addition, higher margins and greater diversification are related positively to efficiency, and banks with cost-heavy structures or having high liquidity risk associated negatively with efficiency.

To the best knowledge of the authors, the study is perhaps the first to acknowledge and incorporate nonmonotonic associations of IT investments amidst other exogenous determinants under a stochastic profit efficiency framework.

The aim of this research is to re-examine the dynamic linkages between macroeconomic variables and the stock market indices in Malaysia following some transformational changes in the policies and the exchange rate regime.

Using monthly data points for all the economic variables and the stock market index (KLCI Index), the authors applied vector autoregression (VAR) model to examine the relationship. The authors also used impulse response function (IRF) in order to explore the effect of one-unit shock in “X” on “Y” under the VAR environment.

The authors' study finds a significant relationship between all the macroeconomic variables and the stock market index of Malaysia. The cointegration results indicate a long-term relationship, whereas the vector autoregressive-based impulse response analysis suggests that the Malaysian stock index (KLCI) responds negatively to the money supply, inflation and producer price index (PPI). However, the authors' results indicate a positive response from the stock index to the exchange rate.

The authors' study's results are based on selected macroeconomic variables and the VAR model. Researchers may find other variables and methods more useful and may provide findings accordingly.

Since the results are quite asymmetric, it would be interesting for the market players, policymakers and regulators to consider the findings and explore appropriate opportunities.

While the relationship between macroeconomic variables and stock market indices has been widely examined, a significant gap in the literature remains concerning the role of exchange rate variable on the stock market in an emerging economy context.