A fractionally cointegrated VAR analysis of economic voting and political support

Maggie E C Jones; Morten Orregaard Nielsen; Michał Ksawery Popiel

doi:10.1111/caje.12115

A fractionally cointegrated VAR analysis of economic voting and political support

Maggie E C Jones, Morten Orregaard Nielsen^*, Michał Ksawery Popiel

^*Corresponding author af dette arbejde

Institut for Økonomi - CREATES

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review

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.

Originalsprog	Engelsk
Tidsskrift	Canadian Journal of Economics
Vol/bind	47
Nummer	4
Sider (fra-til)	1078–1130
ISSN	0008-4085
DOI	https://doi.org/10.1111/caje.12115
Status	Udgivet - 2014

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10.1111/caje.12115

http://www.scopus.com/inward/record.url?scp=84919628541&partnerID=8YFLogxK

Citationsformater

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AU - Jones, Maggie E C

AU - Nielsen, Morten Orregaard

AU - Popiel, Michał Ksawery

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N2 - 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.

AB - 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.

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JO - Canadian Journal of Economics

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A fractionally cointegrated VAR analysis of economic voting and political support

Abstract

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