A fractionally cointegrated VAR analysis of economic voting and political support

Maggie Jones, Morten Nielsen and Michal Popiel

Canadian Journal of Economics, 2014, vol. 47, issue 4, 1078-1130

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 longrun 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 longrun equilibrium of Canadian economic voting (political opinion poll support) at all.

JEL-codes: C32 D72 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (43)

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Journal Article: A fractionally cointegrated VAR analysis of economic voting and political support (2014)
Working Paper: A fractionally cointegrated VAR analysis of economic voting and political support (2014)
Working Paper: A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support (2014)
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