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 for this work

Department of Economics and Business Economics - CREATES

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › 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.

Original language	English
Journal	Canadian Journal of Economics
Volume	47
Issue	4
Pages (from-to)	1078–1130
ISSN	0008-4085
DOIs	https://doi.org/10.1111/caje.12115
Publication status	Published - 2014

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title = "A fractionally cointegrated VAR analysis of economic voting and political support",

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.",

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A fractionally cointegrated VAR analysis of economic voting and political support. / Jones, Maggie E C; Nielsen, Morten Orregaard; Popiel, Michał Ksawery.
In: Canadian Journal of Economics, Vol. 47, No. 4, 2014, p. 1078–1130.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

TY - JOUR

T1 - A fractionally cointegrated VAR analysis of economic voting and political support

AU - Jones, Maggie E C

AU - Nielsen, Morten Orregaard

AU - Popiel, Michał Ksawery

PY - 2014

Y1 - 2014

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.

U2 - 10.1111/caje.12115

DO - 10.1111/caje.12115

M3 - Journal article

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SN - 0008-4085

VL - 47

SP - 1078

EP - 1130

JO - Canadian Journal of Economics

JF - Canadian Journal of Economics

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A fractionally cointegrated VAR analysis of economic voting and political support

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