Department of Economics and Business Economics

A fractionally cointegrated VAR analysis of economic voting and political support

Research output: Working paper/Preprint Working paperResearch


  • rp14_23

    Submitted manuscript, 849 KB, PDF document

  • Maggie E. C. Jones, Queens University, Canada
  • Morten Ørregård Nielsen, Queens's University, Canada
  • Michael Ksawery Popiel, Queens University, Canada
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 languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages50
Publication statusPublished - 18 Aug 2014
SeriesCREATES Research Papers

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ID: 79691624