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A fractionally cointegrated VAR analysis of economic voting and political support

Author

Listed:
  • Maggie E. C. Jones
  • Morten Ørregaard Nielsen
  • Michał Ksawery Popiel

Abstract

We use a fractionally cointegrated vector autoregressive model to examine the relationship between Canadian political support and macroeconomic conditions. This model is well suited for the analysis because it allows multiple fractional time series and admits simple asymptotic inference for the model parameters and tests of the hypotheses of interest. In the long‐run equilibrium, we find that support for the Progressive Conservative Party was higher during periods of high interest rates and low unemployment, while support for the Liberal Party was higher during periods of low interest rates and high unemployment. We also test and reject the notion that party support is driven only by relative (to the United States) economic performance. Indeed, our findings suggest that US macroeconomic variables do not enter the long‐run equilibrium of Canadian economic voting (political opinion poll support) at all. Une application du modèle vecteur autorégressif fractionnellement cointégré sur le vote économique et le support politique. On utilise un modèle du type vecteur autorégressif fractionnellement cointégré pour examiner la relation entre le support politique canadien et les conditions macroéconomiques. Le modèle est bien adapté à l'analyse parce qu'il permet l'usage de multiples séries chronologiques fragmentées, et une inférence asymptotique simple des paramètres du modèle ainsi que des tests d'hypothèse pertinents. En équilibre à long terme, on découvre que le support pour le Parti Progressiste Conservateur a été plus élevé au cours des périodes de hauts taux d'intérêt et bas taux de chômage, alors que le support pour le Parti Libéral a été plus élevé au cours des périodes de bas taux d'intérêt et de hauts taux de chômage. On met au test l'hypothèse (qu'on rejette d'ailleurs) que la notion que le support politique est enclenché seulement par la performance économique du Canada par rapport à celle des États‐Unis. En fait, les résultats suggèrent que les variables macroéconomiques américaines n'ont pas du tout d'impact sur l'équilibre à long terme du vote économique canadien (support dans les sondages d'opinion politique).

Suggested Citation

  • Maggie E. C. Jones & Morten Ørregaard Nielsen & Michał Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(4), pages 1078-1130, November.
  • Handle: RePEc:wly:canjec:v:47:y:2014:i:4:p:1078-1130
    DOI: 10.1111/caje.12115
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D72 - Microeconomics - - Analysis of Collective Decision-Making - - - Political Processes: Rent-seeking, Lobbying, Elections, Legislatures, and Voting Behavior

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