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The effects of macro-economic indicators on BRICS-T economies: a cointegration and error correction modelling approach

Author

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  • Saidat Abidemi Sanni
  • Bulent Erenay

Abstract

This study adopts the Engle-Granger two step cointegration and error correction model (EG-ECM) approaches in analysing the long-run and short-run impacts of the negative and positive fluctuations in foreign exchange rate, oil price, imports and exports of goods and services on the economic growth of Brazil, Russia, India, China, South Africa, and Turkey (BRICS-T) over the period of 1960 to 2016. The Cochrane-Orcutt estimator and ridge estimator are employed to solve the problems of autocorrelation and multicollinearity in the proposed models. The results revealed the presence of long-run equilibrium among the variables, for all of the six economies. These findings also confirm the reaction of economic growth to the fluctuations in exchange rate, oil price, imports, and exports. In addition, the short run models reveal a feedback system of the economies back to their long run equilibrium level, after fluctuations in the values of the economic indicators.

Suggested Citation

  • Saidat Abidemi Sanni & Bulent Erenay, 2023. "The effects of macro-economic indicators on BRICS-T economies: a cointegration and error correction modelling approach," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 17(3), pages 333-361.
    • Handle: RePEc:ids:ijepee:v:17:y:2023:i:3:p:333-361
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