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Academic literature on the topic 'VECM'

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Published: 4 June 2021
Last updated: 21 February 2023

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Journal articles on the topic "VECM"

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Hapsari, Meilina Retno, Suci Astutik, and Loekito Adi Soehono. "VECM and Bayesian VECM for Overparameterization Problem." Journal of Physics: Conference Series 1811, no. 1 (March 1, 2021): 012086. http://dx.doi.org/10.1088/1742-6596/1811/1/012086.

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Usman, Mustofa, Luvita Loves, Edwin Russel, Muslim Ansori, Warsono Warsono, Widiarti Widiarti, and Wamiliana Wamiliana. "Analysis of Some Energy and Economics Variables by Using VECMX Model in Indonesia." International Journal of Energy Economics and Policy 12, no. 2 (March 20, 2022): 91–102. http://dx.doi.org/10.32479/ijeep.11897.

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Time series modeling analysis is one of the methods to forecast based on past data and conditions. The analytical tool that is commonly used to forecast multivariate time series data is the Vector Autoregressive (VAR) model. However, when the variables have cointegration and stationary at the first difference value, then the VAR model is modified into the Vector Error Correction Model (VECM). In VECM, all variables can be used as endogenous variables. If exogenous variables are involved in the VECM model, then the model is called as Vector Error Correction Model with Exogenous variables (VECMX). In the present study, a time series modeling analysis was used to analyze the price of gasoline, the money supply in a broad sense (M2), oil and gas exports, and consumption imports over the years from 2012 to 2020. By using information on the criteria of Akaike Information Criterion Corrected, Hannan–Quinn Criterion, Akaike Information Criterion, and Schwarz Bayesian Criterion, the best VAR(p) model is obtained with order 3, or lag 3. Based on the VAR(3) model, the cointegration test is conducted, and the result shows that there is a long-term relationship among variables, namely, there is a cointegration relationship between variables with rank = 1. Based on the cointegration rank = 1 and the smallest value of the information criteria and comparison of some candidate best models, namely, VECMX(2,1), VECMX(2,2), VECMX(3,1), VECMX(3,2), and VECMX(4,1), we found that the best model is VECMX(3,1) with lag 3 for endogenous variables and lag 1 for exogenous variables. Based on this best model, further analysis of Granger causality, Impulse Response Function (IRF), and forecasting is discussed.
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BRAILSFORD, T. J., JACK PENM, and R. D. TERRELL. "TESTING PPP BY MEANS OF ZNZ PATTERNED VECM." International Journal of Theoretical and Applied Finance 11, no. 04 (June 2008): 345–62. http://dx.doi.org/10.1142/s021902490800483x.

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Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Conventional use of full-order models may weaken the power of statistical inferences due to over-parameterization. The paper demonstrates the usefulness of this approach for the analysis of exchange rate relationships. Specifically, the paper examines the relationship between the money supply and the Euro and provides a test of purchasing power parity (PPP) in Japan. The latter test results shed light on the adjustment mechanisms through which PPP is achieved. In addition, it is clear that the proposed ZNZ patterned VECM modeling provides better insights from this kind of financial time-series analysis. The paper also shows that causality detection in an I(d) system can be revealed identically from the ZNZ patterned VECMs or the equivalent VAR models.
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Maida, Nazira, Nanda Safarida, and Iskandar. "Pengaruh Inflasi, BI Rate dan IHSG Terhadap Nilai Aktiva Bersih Reksadana Syariah di Indonesia Periode 2015-2020." JIM: Jurnal Ilmiah Mahasiswa 4, no. 1 (April 23, 2022): 57–76. http://dx.doi.org/10.32505/jim.v4i1.3921.

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Penelitian ini bertujuan untuk mengetahui pengaruh jangka pendek dan jangka panjang inflasi, BI rate dan IHSG terhadap Nilai Aktiva Bersih (NAB) reksadana syariah di Indonesia. Metode yang digunakan yaitu pendekatan kuantitatif. Penelitian ini menggunakan data sekunder yang diperoleh dari Otoritas Jasa Keuangan (OJK), Bank Indonesia (BI) dan Bursa Efek Indonesia (BEI). Data yang digunakan dalam bentuk periode per bulan mulai tahun 2015 hingga 2020 yang di publish selama 5 tahun berturut-turut. Metode analisis data menggunakan teknik analisis VAR (Vector Auto Regressive)/VECM (Vector Error Correction Model). Hasil penelitian estimasi VECM menunjukkan bahwa variabel Secara jangka pendek inflasi berpengaruh negatif dan signifikan terhadap Nilai Aktiva Bersih (NAB) reksadana syariah di Indonesia periode 2015-2020. Hal ini dibuktikan dengan hasil estimasi VECM dengan tstatistik (-2.39388) > ttabel (1.99547) dan secara jangka panjang inflasi tidak berpengaruh terhadap Nilai Aktiva Bersih (NAB) reksadana syariah di Indonesia periode 2015-2020, yang dibuktikan dari hasil estimasi VECM (Vector Error Correction Model) dengan tstatistik (-1.54214) < ttabel (1.99547). Secara jangka pendek BI Rate tidak berpengaruh terhadap Nilai Aktiva Bersih (NAB) reksadana syariah di Indonesia periode 2015-2020. Hal ini dibuktikan dari hasil estimasi VECM (Vector Error Correction Model) dengan tstatistik (-1.81465) < ttabel (1.99547) dan secara jangka panjang BI Rate berpengaruh negatif signifikan terhadap Nilai Aktiva Bersih (NAB) reksadana syariah di Indonesia periode 2015-2020. Hal ini dibuktikan dari hasil estimasi VECM (Vector Error Correction Model) dengan tstatistik (-2.57219) > ttabel (1.99547). Secara jangka pendek IHSG tidak berpengaruh terhadap Nilai Aktiva Bersih (NAB) reksadana syariah di Indonesia periode 2015-2020. Hal ini dibuktikan dari hasil estimasi VECM (Vector Error Correction Model) dengan tstatistik (-0.86317) < ttabel (1.99547) dan secara jangka panjang IHSG berpengaruh negatif signifikan terhadap Nilai Aktiva Bersih (NAB) reksadana syariah di Indonesia periode 2015-2020. Hal ini dibuktikan dari hasil estimasi VECM (Vector Error Correction Model) dengan tstatistik (-3.94995) > ttabel (1.99547).
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Zhou, Rui, Guangyu Xing, and Min Ji. "Changes of Relation in Multi-Population Mortality Dependence: An Application of Threshold VECM." Risks 7, no. 1 (February 1, 2019): 14. http://dx.doi.org/10.3390/risks7010014.

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Standardized longevity risk transfers often involve modeling mortality rates of multiple populations. Some researchers have found that mortality indexes of selected countries are cointegrated, meaning that a linear relationship exists between the indexes. Vector error correction model (VECM) was used to incorporate this relation, thereby forcing the mortality rates of multiple populations to revert to a long-run equilibrium. However, the long-run equilibrium may change over time. It is crucial to incorporate these changes such that mortality dependence is adequately modeled. In this paper, we develop a framework to examine the presence of equilibrium changes and to incorporate these changes into the mortality model. In particular, we focus on equilibrium changes caused by threshold effect, the phenomenon that mortality indexes alternate between different VECMs depending on the value of a threshold variable. Our framework comprises two steps. In the first step, a statistical test is performed to examine the presence of threshold effect in the VECM for multiple mortality indexes. In the second step, threshold vector error correction model (TVECM) is fitted to the mortality indexes and model adequacy is evaluated. We illustrate this framework with the mortality data of England and Wales (EW) and Canadian populations. We further apply the TVECM to forecast future mortalities and price an illustrative longevity bond with multivariate Wang transform. Our numerical results show that TVECM predicted much faster mortality improvement for EW and Canada than single-regime VECM and thus the incorporation of threshold effect significant increases longevity bond price.
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Deng, Qi. "A generalized VECM/VAR-DCC/ADCC framework and its application in the Black-Litterman model." China Finance Review International 8, no. 4 (November 19, 2018): 453–67. http://dx.doi.org/10.1108/cfri-07-2016-0095.

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Purpose The existing literature on the Black-Litterman (BL) model does not offer adequate guidance on how to generate investors’ views in an objective manner. Therefore, the purpose of this paper is to establish a generalized multivariate Vector Error Correction Model (VECM)/Vector Auto-Regressive (VAR)-Dynamic Conditional Correlation (DCC)/Asymmetric DCC (ADCC) framework, and applies it to generate objective views to improve the practicality of the BL model. Design/methodology/approach This paper establishes a generalized VECM/VAR-DCC/ADCC framework that can be utilized to model multivariate financial time series in general, and produce objective views as inputs to the BL model in particular. To test the VECM/VAR-DCC/ADCC preconditioned BL model’s practical utility, it is applied to a six-asset China portfolio (including one risk-free asset). Findings With dynamically optimized view confidence parameters, the VECM/VAR-DCC/ADCC preconditioned BL model offers clear advantage over the standard mean-variance method, and provides an automated portfolio optimization alternative to the classic BL approach. Originality/value The VECM/VAR-DCC/ADCC framework and its application in the BL model proposed by this paper provide an alternative approach to the classic BL method. Since all the view parameters, including estimated mean return vectors, conditional covariance matrices and pick matrices, are generated in the VECM/VAR and DCC/ADCC preconditioning stage, the model improves the objectiveness of the inputs to the BL stage. In conclusion, the proposed model offers a practical choice for automated portfolio balancing and optimization in a China context.
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Soto, Paula Andrea, and Juan Carlos Ruilova Teran. "Arbitragem Estatística: Uma Abordagem por VECM." Brazilian Review of Finance 15, no. 4 (June 20, 2018): 537. http://dx.doi.org/10.12660/rbfin.v15n4.2017.65761.

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This work develops a statistical arbitrage model which was tested on the Brazilian stock market. Prices were modeled using VECM (Vector Error Correction Models) to create a self-financing, market-neutral, long/short trading strategy. In this strategy, deviations in the long-term equilibrium of prices are identified in order to create buy and sell signals. Portfolios with common trends were selected by means of Principal Component Analysis. The viability of this strategy was empirically addressed using simulations on these portfolios. Its performance was also compared to other long/short trading strategies and were all analyzed in terms of returns, volatility and statistical arbitrage opportunities. The methodology used in this paper shows good results for modeling prices, and though all trading strategies offer considerable gains for the investor, the proposed strategy stands out by presenting statistical arbitrage.
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Chen, Yanhui, Jinrong Lu, and Mengmeng Ma. "How Does Oil Future Price Imply Bunker Price—Cointegration and Prediction Analysis." Energies 15, no. 10 (May 16, 2022): 3630. http://dx.doi.org/10.3390/en15103630.

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This paper investigates how oil’s future price implies the bunker price through cointegration analysis first. A cointegration test confirms the long-run equilibrium condition of bunker and oil future prices. Based on the cointegration relationship, we construct VECM model to forecast bunker prices. In addition, we also consider ARMA, ARMAX, and VAR models for certifying whether considering the long-run equilibrium between bunker and oil future prices is helpful in prediction. One-step-ahead and four-step-ahead forecasting are considered and two out-of-sample datasets are used. The empirical results show that the increase in the value of the error correction term in the VECM model has the effect of pulling down the bunker return. VECM performs better than other models in prediction. The Crude Oil Future Contract 1 has better forecasting performance for bunker prices with VECM in the 1-step-ahead forecast, while Crude Oil Future Contract 3 performs slightly better than Crude Oil Future Contract 1 in the 4-step-ahead forecast.
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Russel, Edwin, Wamiliana Wamiliana, Nairobi Saibi, Warsono Warsono, Mustofa Usman, and Jamal I. Daoud. "Dynamic Modeling and Forecasting Data Energy Used and Carbon Dioxide (CO2)." Science and Technology Indonesia 7, no. 2 (April 19, 2022): 228–37. http://dx.doi.org/10.26554/sti.2022.7.2.228-237.

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The model of Vector Autoregressive (VAR) with cointegration is able to be modified by Vector Error Correction Model (VECM). Because of its simpilicity and less restrictions the VECM is applied in many studies. The correlation among variables of multivariate time series also can be explained by VECM model, which can explain the effect of a variable or set of variables on others using Granger Causality, Impulse Response Function (IRF), and Forecasting. In this study, the relationship of Energy Used and CO2 will be discussed. The data used here were collected over the year 1971 to 2018. Based on the comparison of some criteria: Akaike Information Criterion Corrected (AICC), Hannan-Quin Information Criterion (HQC), Akaike Information Criterion (AIC) and Schwarz Bayesian Criterion (SBC) for some VAR(p) model with p= 1,2,3,4,5, the best model with smallest values of AICC, HQC, AIC and SBC is at lag 2 (p= 2). Then the best model found is VECM (2) and further analysis such as Granger Causality, IRF, and Forecasting will be based on this model.
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Valentika, Nina, Vivi Iswanti Nursyirwan, and Ilmadi Ilmadi. "Modeling The Relationships Between Export, Import, Inflation, Interest Rate, and Rupiah Exchange." Desimal: Jurnal Matematika 3, no. 3 (September 30, 2020): 247–62. http://dx.doi.org/10.24042/djm.v3i3.6942.

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This research was a modification of research by Catalbas (2016) and Pratikto (2012). The model that can separate long-term and short-term components are the Vector Error Correction Model (VECM). This study aimed to model export, import, inflation, interest rates, and the rupiah exchange rate using VECM and to test the causality between variables using the Granger Causality test. The inter-variable model obtained in this study was VECM with lag 2 using a deterministic trend with the assumption of none intercept no trend and two cointegrations. In export and import, there was an adjustment mechanism from the short-term to the long-term. This research model was appropriate to forecast the export and import where VECM with export and import as the target variables, the cointegration equation (long-run model) for cointegration equation (long-run model) for Based on the Granger Causality test, it was found that there was a one-way relationship between exchange rates and inflation, export and interest rates, export and import, inflation and export, and import and the interest rate at the significance level of 5%.
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Dissertations / Theses on the topic "VECM"

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Hedlin, My. "To what extent do expansions of infrastructure construct economic growth?" Thesis, KTH, Fastigheter och byggande, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-147581.

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This thesis shows that the relationship between economic growth and expansions of telephone main lines and electricity generating capacity is two-way, when looking at the period of 1955 - 1995 and half of the world's countries. In other words, expansions of these two kinds of infrastructure seem to both initiate and be induced by economic growth, highlighting the problem of much previous research that does not account for a bi-directional relationship. Furthermore, this research suggests that the effect that these two kinds of infrastructure have on economic growth was during this period great enough to be of policy interest, and it is likely that it can explain part of the vast differences seen between countries in GDP per capita today. While the impact that these two kinds of infrastructure had during this specific time will surely not be the same in the future, the results still point to a potentially important role for infrastructure expansions in determining economic growth, even though the kinds of infrastructure that have most impact will vary with time and technological progress.
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Ryhage, Marcus. "Dynamics of U.S. House Prices : A VECM Approach." Thesis, Umeå universitet, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172358.

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This paper aims to analyze the U.S. house price dynamics to estimate a long-term equilibrium price level for the U.S. housing market, using fundamental underlying macroeconomic factors. For this, in line with the empirical literature, a vector error-correction model is employed. The results find a cointegrating relationship between the housing prices and its long-run driving factors: Residential Investment Ratio (RIR), Personal Disposable Income (PDI), and Construction Cost (CC), implying that these factors have a decisive role in determining equilibrium level of U.S. house prices. The estimated long-run equilibrium level suggests that the U.S. housing market is currently underpriced, which can bring some skepticism to our model. However, our model does manage to predict future house prices about one year in advance of the actual house price movement. Further, the slow rate of adjustment towards equilibrium testifies of a rigid housing market in the U.S.
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Le, Quyet. "Analys av en dynamisk bostadsmarknad : En tillämpning av VECM." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-58417.

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Cachapa, Filipe Miguel de Mira Ferreira Marques. "Os determinantes do preço do petróleo crude e o papel da especulação financeira." Master's thesis, Universidade de Évora, 2019. http://hdl.handle.net/10174/26519.

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O preço do barril de petróleo crude representa uma série temporal de elevada volatilidade, que tem sido alvo de estudo por parte de diversos autores e investigadores. O estudo presente nesta dissertação de mestrado tem como objetivos: encontrar variáveis económicas e financeiras que influenciem significativamente o preço do barril de petróleo e ajudem a explicar as variações observáveis nessa série temporal; explorar o papel da especulação financeira relativamente à commodity em questão. Para tal, recorreu-se a técnicas de modelação financeira que permitiram analisar a influência de variáveis fundamentadas na literatura. Obteve-se um modelo VECM relativo às variáveis que revelaram poder ter uma relação de longo prazo com a variável dependente, e ainda um modelo ECM onde foram incluídas outras variáveis. As variáveis que se revelaram significativas foram o Consumo de Gás, o Consumo de Carvão, o Consumo de Petróleo e os PIB’s dos EUA e China; Abstract: The Determinants of Crude Oil Prices and the Role of Financial Speculation The price of the crude oil barrel represents a timeseries of high volatility, which has been studied by many authors and investigators. The research contained in this master’s dissertation has the following objectives: to reach economic and financial variables which significantly influence the oil barrel price and help explain that series’ observable variations; explore the role of financial speculation regarding the commodity in question. In order to do that, financial modeling techniques that allowed to analyze the influence of literature-based variables were applied. A VECM model regarding the variables that seemed to present a long-term relation with the dependent variable was obtained, and also an ECM model where other variables were included. The variables that showed a significant effect were the World Gas Consumption, the World Coal Consumption, the World Oil Consumption and the USA’s and China’s GDP’s.
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Carmona, Nuno Manuel Rosa Paias Silva de Oliveira. "Modelação econométrica da procura de electricidade em Portugal continental: uma aplicação empírica." Master's thesis, Instituto Superior de Economia e Gestão, 2006. http://hdl.handle.net/10400.5/777.

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Mestrado em Econometria Aplicada e Previsão
A energia eléctrica é um recurso fundamental no funcionamento das sociedades modernas. A procura de electricidade, a identificação das suas principais condicionantes e a análise à forma como se relacionam com aquela têm sido alvo de estudos diversos. Com frequência, esses estudos visam igualmente a previsão da evolução da procura de electricidade. O presente trabalho partilha, em termos gerais, objectivos semelhantes, procurando concretizá-los para o caso português, recorrendo à utilização da metodologia econométrica para a análise de séries temporais e cointegração. Numa perspectiva agregada, a procura de electricidade encontra-se condicionada, nomeadamente, por factores tecnológicos, económicos, demográficos e climatéricos. Além disso, e porque a procura total de electricidade pode ser dividida por sectores relativamente homogéneos quanto à sua natureza, também aqui se exploram, à semelhança de outros estudos, análises da procura no âmbito sectorial, na esperança de obter um maior grau de compreensão do fenómeno. Assim, desenvolveram-se no presente estudo modelos econométricos, tendo por base funções de procura do tipo Cobb-Douglas, que pretendem explicar a evolução da procura de electricidade em Portugal Continental quer na sua totalidade, quer do ponto de vista sectorial, nomeadamente nos sectores Doméstico, Industrial e de Serviços. A análise incidiu sobre os dados anuais compreendidos entre 1957 e 2002. Foi encontrada evidência de cointegração em três casos: (i) entre o consumo total de electricidade no Continente e o PIB; (ii) entre o consumo no sector Doméstico e o Rendimento Disponível Bruto das Famílias; (iii) entre a procura industrial e o VAB da Indústria. Em termos de relações de equilíbrio de longo-prazo, as restantes variáveis analisadas revelaram-se incapazes de acrescentar poder explicativo adicional quer a nível sectorial, quer a nível global. Realizou-se uma análise comparativa da qualidade das previsões dos modelos seleccionados.
Electric power is an essential asset in modern societies. Electricity demand, the identification of its causal factors and the way they interact with it has been explored in many studies. Frequently, they concern the prediction of electricity demand evolution. This study shares similar goals and tries to achieve them by applying time series econometric methodology and cointegration. In an aggregate perspective, electricity demand is conditioned by technological, economical, demographic and climacteric factors, among others. Besides, regarding that global electricity demand can be divided in relatively homogenous sectors, we also explore, like many other studies, a sectoral approach hoping to achieve a higher degree of comprehension of demand. This paper develops econometric models, based on Cobb-Douglas demand functions, in order to explain electricity demand in mainland Portugal as a whole and also focusing in the Residential, Industrial and Commercial sectors. The time-series variables taken into consideration have annual periodicity and were observed between 1957 and 2002. Evidence was found supporting cointegration at three levels: (i) between total electricity demand and Portuguese GDP; (ii) between residential electricity demand and gross disposable income of families; (iii) between industrial electricity demand and industrial value added. In terms of long-term equilibrium, the remaining variables analyzed were unable to increase explanatory capacity either in the sectoral or global approach. A comparative analysis of the quality of the forecasting made through the selected models has been carried out.
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Soto, Paula Andrea. "Arbitragem estatística no mercado brasileiro de ações: uma abordagem por VECM." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/16990.

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Ao modelar séries de preços de ativos financeiros, a prática usual é tomar a primeira diferença das séries, e trabalhar assim com retornos ou logretornos. Utilizando VECM (Vector Error Correction Models, em inglês), torna-se possível trabalhar diretamente com as séries sem diferenciar, o que possibilita o estudo de tendências comuns e cointegração. Este trabalho utiliza VECM para gerar estratégias de arbitragem estatística no mercado brasileiro de ações. Tendências comuns são identificadas por PCA (Principal Components Analysis, em inglês, ou análise de componentes principais, em português) e os resultados foram utilizados para definir portfólios cointegrados. Foram propostos dois métodos de geração de sinais para estratégias de trading do tipo longshort. Um total de cinco diferentes estratégias de trading foram simuladas e a existência de arbitragem estatística em cada caso foi testada pelo teste proposto em (JARROW et al., 2012). Conclui-se que, ao considerar séries de preços não diferenciadas, a metodologia abordada permite identificar e modelar candidatos de portfólios cointegrados. Quando bem calibradas, as estratégias testadas geram ganhos significativos em todos os portfólios.
Common practice for modelling stock prices is to use their differences in form of returns or logreturns. Using VECM (Vector Error Correction Models), it is possible to work with the series of prices without differentiation, which allows looking into common trends and cointegration. This work uses VECM to create trading strategies for the Brazilian stock market. Common trends are obtained using PCA (Principal Components Analysis) and prices are modelled using VECM. Five longshort-type trading strategies are simulated in diversified portfolios, and tested for statistical arbitrage using the test proposed by (JARROW et al., 2012). The methodology for identifying common trends and modelling prices allows for trading strategies with good results for all portfolios.
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Hu, Zhejin. "Time Series Forecasting Model for Chinese Future Marketing Price of Copper and Aluminum." Digital Archive @ GSU, 2008. http://digitalarchive.gsu.edu/math_theses/60.

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This thesis presents a comparison for modeling and forecasting Chinese futures market of copper and aluminum with single time series and multivariate time series under linear restrictions. For single time series, data transformation for stationary purpose has been tested and performed before ARIMA model was built. For multivariate time series, co-integration rank test has been performed and included before VECM model was built. Based on selected models, the forecasting shows multivariate time series analysis has a better result than single time series, which indicates utilizing the relationships among the series can improve the accuracy of time series forecasting.
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Carvalho, Gonçalo Nuno Brites de. "A relação entre as exportações e o crescimento económico : análise do caso português." Master's thesis, FEUC, 2015. http://hdl.handle.net/10316/28500.

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Trabalho de projeto do mestrado em Economia (Economia Financeira), apresentado à Faculdade de Economia da Universidade de Coimbra, sob a orientação de António Portugal Duarte.
A hipótese Export-led-Growth defende que a promoção das exportações é fundamental para o reforço do crescimento económico. Contudo, nenhum consenso foi alcançado sobre a causalidade entre as duas variáveis. Este trabalho tem como objetivo reexaminar a hipótese Export-led-Growth em Portugal para o período 1970-2012, aplicando técnicas econométricas usuais para o estudo de séries temporais, como a análise de estacionaridade e cointegração das variáveis, bem como a estimação de um modelo de vetores de correção dos erros. O estudo revela a existência de uma relação de equilíbrio de longo- prazo entre as exportações e o PIB, e valida a hipótese Export-led-Growth para o caso Português. Com o objetivo de obter resultados mais detalhados, procurou-se ainda avaliar o impacto das exportações de produtos da indústria transformadora e não-transformadora no crescimento económico, utilizando dois modelos de vetores auto-regressivos bivariados. A estimação dos modelos revela um impacto positivo das exportações de produtos da indústria transformadora no PIB e um efeito “limitador” das exportações de produtos não transformados.
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Ripamonti, Alexandre. "Fórmula de valoração racional (RVF) e variabilidade no tempo das taxas de retorno de ativos no Brasil." Universidade Presbiteriana Mackenzie, 2011. http://tede.mackenzie.br/jspui/handle/tede/782.

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Rational valuation formula and time varying cointegration are the main thesis´ concepts, under the Muth´s (MUTH, 1961) rational expectations and theory of price movements as underlying theory, and also testing the null of time invariant error correction mechanisms and another one of inequality of fundamental value and share´s price. The data were obtained from Brazilian listed companies for 1986 to 2010 and also from 1871 to 2010 US stock market. The Johansen´s maximum likelihood and trace models, combined to Chebyshev time polynomials, as proposed by Bierens and Martins (2010) were used in order to test the null. The finds have shown first null rejection and no rejection for the second null. These finds are consistent to Bierens e Martins (BIERENS e MARTINS, 2010) and non-consistent with Muth (MUTH, 1961)
A presente tese aborda os conceitos de fórmula de valoração racional e cointegração variante no tempo para, sob o referencial da teoria das expectativas racionais e de movimentação de preços de Muth (MUTH, 1961), supor a variabilidade das taxas de retorno de ativos no mercado brasileiro, no período de 1986 a 2010, testando as hipóteses nulas de mecanismos de correção de erros dos vetores de cointegração constantes no tempo e de desigualdade entre valor fundamental e preço da ação. Foram coletados dados de preços e dividendos de ações componentes da carteira teórica do IBOVESPA de janeiro de 1986 a outubro de 2010. Além disso, também aplicamos os modelos propostos aos dados norte-americanos de preço e dividendos de 1871 a 2010, disponibilizados por Shiller. Os dados foram analisados através das técnicas de séries temporais e os coeficientes estimados através da técnica de máxima verossimilhança, especificamente com os modelos de cointegração de Johansen combinados com os polinômios temporais de Chebyshev, como proposto por Bierens e Martins (2010). Os resultados indicam a rejeição da hipótese nula de constância dos vetores de cointegração e, ainda, a não rejeição da hipótese nula de desigualdade entre valor fundamental e preço da ação para todas as séries temporais analisadas. Tais resultados são consistentes com os obtidos por Bierens e Martins (BIERENS e MARTINS, 2010) e não consistentes com a teoria das expectativas racionais de Muth (MUTH, 1961).
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Silber, Frank. "Makroökonometrische Anpassungsanalyse im Vector-Error-Correction-Model (VECM) : Untersuchungen an ausgewählten Arbeitsmärkten /." Frankfurt am Main: Lang, 2003. http://www.gbv.de/dms/zbw/362076561.pdf.

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Books on the topic "VECM"

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Engert, Walter. Forecasting inflation with the M1-VECM: Part two. [Ottawa]: Bank of Canada, 1998.

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Makroökonometrische Anpassungsanalyse im Vector-Error-Correction-Model (VECM): Untersuchungen an ausgewählten Arbeitsmarkten. Frankfurt am Main: P. Lang, 2003.

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Francis, Neville. Monetary policy in a Markov-switching VECM: Implications for the cost of disinflation and the price puzzle. [St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2003.

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Hlatký, Edmund. História vecí. Bratislava: Smena, 1988.

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Kolšek, Peter. Nikoli več. Ljubljana: Literarno-umetniško društvo Literatura, 2005.

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Posada, Jorge Enrique Mendoza. Vem mulher, vem sempre--. Belo Horizonte, MG: Mazza Edições, 1993.

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Tomsons, Teodors. Kliedziens: Veci avīžraksti. Sidnejā: Jumara, 1988.

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Cohen, Doudou Gentille. J'Ai Vecu Auschwitz. Paris: La Pensee Universelle, 1986.

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Jež, Boris. Yu, nikoli več? Ljubljana: Slon, 1994.

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Lahola, Leopold. Posledná vec. Bratislava: F.R.& G., 1994.

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Book chapters on the topic "VECM"

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Mokoena, Naledi Blessing, Johannes Tshepiso Tsoku, and Martin Chanza. "Modelling External Debt Using VECM and GARCH Models." In Intelligent Computing & Optimization, 577–91. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-93247-3_57.

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Hoffman, Dennis L., and Robert H. Rasche. "Higher Dimensional VECM Models with Long-Run Money Demand Functions." In Aggregate Money Demand Functions, 163–216. Dordrecht: Springer Netherlands, 1996. http://dx.doi.org/10.1007/978-94-009-1814-6_7.

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Hoffman, Dennis L., and Robert H. Rasche. "Analysis of Three Variable VECM Models Including Demand Functions for Real Balances." In Aggregate Money Demand Functions, 101–62. Dordrecht: Springer Netherlands, 1996. http://dx.doi.org/10.1007/978-94-009-1814-6_6.

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Kaewsompong, Nachatchapong, Woraphon Yamaka, and Paravee Maneejuk. "Export Price and Local Price Relation in Longan of Thailand: The Bivariate Threshold VECM Model." In Beyond Traditional Probabilistic Methods in Economics, 1016–27. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-04200-4_74.

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Harville, David A. "Kronecker Products and the Vec and Vech Operators." In Matrix Algebra From a Statistician’s Perspective, 337–78. New York, NY: Springer New York, 1997. http://dx.doi.org/10.1007/0-387-22677-x_16.

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Harville, David A. "Kronecker Products and the Vec and Vech Operators." In Matrix Algebra: Exercises and Solutions, 139–59. New York, NY: Springer New York, 2001. http://dx.doi.org/10.1007/978-1-4613-0181-3_16.

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Labuschagne, Coenraad C. A., Niel Oberholzer, and Pierre J. Venter. "A Vector Error Correction Model (VECM) of FTSE/JSE SA Listed Property Index and FTSE/JSE SA Capped Property Index." In Advances in Panel Data Analysis in Applied Economic Research, 95–111. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-70055-7_8.

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Sah, Hemant Kumar, and Gyanendra Singh Sisodia. "Exploring the Relationship Among Economic Growth, Energy Consumption, Carbon Emission and Trade: A Panel Vector Error Correction Model (VECM) Analyses." In Energy Transition, 249–65. Singapore: Springer Nature Singapore, 2022. http://dx.doi.org/10.1007/978-981-19-3540-4_9.

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Penm, Jack, and R. D. Terrell. "The Recursions of Subset VECM/State-Space Models and Their Applications to Nonlinear Relationships of Nickel Price Formation in Conditions of Climate Change." In Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, 176–92. London: Palgrave Macmillan UK, 2011. http://dx.doi.org/10.1057/9780230295223_10.

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Levendis, John D. "Cointegration and VECMs." In Springer Texts in Business and Economics, 343–82. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-98282-3_12.

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Conference papers on the topic "VECM"

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Phoong, Seuk-Wai, Mohd Tahir Ismail, and Siok-Kun Sek. "A comparison between MS-VECM and MS-VECMX on economic time series data." In PROCEEDINGS OF THE 21ST NATIONAL SYMPOSIUM ON MATHEMATICAL SCIENCES (SKSM21): Germination of Mathematical Sciences Education and Research towards Global Sustainability. AIP Publishing LLC, 2014. http://dx.doi.org/10.1063/1.4887694.

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Zhang, Jianfeng, Wenxiu Hu, and Xin Zhang. "The Relative Performance of VAR and VECM Model." In 2010 International Conference on Information Management, Innovation Management and Industrial Engineering (ICIII). IEEE, 2010. http://dx.doi.org/10.1109/iciii.2010.195.

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AGCA, Alperen, and Ismail CAKMAK. "THE LINKAGE BETWEEN INFLATION AND UNEMPLOYMENT: A VECM STUDY." In 2nd International Scientific Conference - Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia; Faculty of Management Koper, Slovenia; Doba Business School - Maribor, Slovenia; Integrated Business Faculty - Skopje, Macedonia; Faculty of Management - Zajecar, Serbia, 2018. http://dx.doi.org/10.31410/eman.2018.947.

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Sohail, Aftab Saad, Maria Sameen, and Qazi Ahmed. "Understanding Monetary Policy Communication: A VECM Approach Based on Pakistan." In 2019 International Conference on Green and Human Information Technology (ICGHIT). IEEE, 2019. http://dx.doi.org/10.1109/icghit.2019.00039.

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"Aggregate Supply Response of Some Livestock Commodities in Algeria: Cointegration-VECM Approach." In Feb. 2021 International Conferences. Excellence in Research & Innovation (EIRAI), 2021. http://dx.doi.org/10.17758/eirai9.c0221208.

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Dghais, Amel Abdoullah, and Mohd Tahir Ismail. "Relationship between stock market of UK and MENA: Wavelet transform and MS-VECM model." In 2015 International Symposium on Technology Management and Emerging Technologies (ISTMET). IEEE, 2015. http://dx.doi.org/10.1109/istmet.2015.7359048.

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Lestari, Reni. "Analysis of Stock Market Integration Among ASEAN Countries by Using Vector Error Correction Model (VECM) Approach." In Japan International Business and Management Research Conference. RSF Press & RESEARCH SYNERGY FOUNDATION, 2020. http://dx.doi.org/10.31098/jibm.v1i1.220.

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Globalization has driven the economy of countries to relate to each other. It brings relationships in the capital among countries in the world, especially in ASEAN region countries. This study aimed to analyze the integration of the stock market among countries in the ASEAN region. The stock market was analyzed are the Indonesia Stock Exchange, Malaysia Stock Exchange, Singapore Stock Exchange, Thailand Stock Exchange, Vietnam Stock Exchange, and Philippine Stock Exchange. This study using the Vector Error Correction Model (VECM) as the method. The result of this study shows that, in the long term Singapore Stock Index (STI), Malaysia Stock Index (KLSE), Philippines (PSEi), and Indonesia Stock Index (JKSE) are positively correlated. This means the change of stock index price in one country will affect other related countries in the long term. In the short term of VECM estimation, found the Vietnam Stock Index (VNI), Singapore Stock Exchange (STI), Philippine (PSEi) are positively correlated and negatively correlated with Thailand Stock Exchange (SET). For the managerial implication, the result of this study is expected as a reference or basis of consideration of investment decisions. This because long-term stock market movements are important because they impact international portfolio management and risk diversification.
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Aladin, Aladin, Evada Dewata, Yuliana Sari, and Yuli Antina Aryani. "The Role of Small and Medium Enterprises (SMES) and Economic Growth in Indonesia: The VECM Analysis." In 4th Forum in Research, Science, and Technology (FIRST-T3-20). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/ahsseh.k.210122.017.

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Zhu, Qian, and Meiliang He. "Tests on causal relationships between CO2 emissions and economic growth in China based on VECM model." In 2013 2nd International Symposium on Instrumentation & Measurement, Sensor Network and Automation (IMSNA). IEEE, 2013. http://dx.doi.org/10.1109/imsna.2013.6743270.

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Xiang, Wanyu. "Empirical analysis of the effects of monetary policy on house prices��Based on the VECM model." In 2nd International Conference on Science and Social Research (ICSSR 2013). Paris, France: Atlantis Press, 2013. http://dx.doi.org/10.2991/icssr-13.2013.135.

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Reports on the topic "VECM"

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Hoffman, Dennis, and Robert H. Rasche. STLS/US-VECM 6.1: A Vector Error-Correction Forecasting Model of the US Economy. Federal Reserve Bank of St. Louis, 1997. http://dx.doi.org/10.20955/wp.1997.008.

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Rasche, Robert H. Identification of Dynamic Economic Models from Reduced Form VECM Structures: An Application of Covariance. Federal Reserve Bank of St. Louis, 2000. http://dx.doi.org/10.20955/wp.2000.011.

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Owyang, Michael T., and Neville Francis. Monetary Policy in a Markov-Switching VECM: Implications for the Cost of Disinflation and the Price Puzzle. Federal Reserve Bank of St. Louis, 2003. http://dx.doi.org/10.20955/wp.2003.001.

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Ahwireng-Obeng, Asabea Shirley, and Frederick Ahwireng-Obeng. Private Philanthropic Cross-Border Flows and Sustainable Development in Africa. Centre on African Philanthropy and Social Investment, August 2011. http://dx.doi.org/10.47019/2021.ra1.

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The paper examines the simultaneous impact of private philanthropic cross-border funding from international foundations on the economic, social, and environmental dimensions of sustainable development in Africa. The vector error correction model (VECM) was used, and contrary to expectations drawn from past studies, funding from this source improves economic growth, advances human development, and enhances environmental quality. Causality test results also disconfirmed the assumption that interactions among the three dimensions were positive and complementary in the long term. The environment variable was found to be noncomplementary. Based on these unique results, theoretical propositions are made with an underlying mechanism of action. Practical and policy implications, limitations, and directions for future research are discussed.
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Mihovilovic, Miha. Measurement of double polarized asymmetries in quasi-elastic processes ${}^3\vec{He}(\vec{e},e' d)$ and ${}^3\vec{He}(\vec{e},e' p)$. Office of Scientific and Technical Information (OSTI), January 2012. http://dx.doi.org/10.2172/1047576.

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Vignote, Javier Rodriguez. Effective Sections, Observable Polarization and Nuclear Reactions Responses A($\vec{e}$,e'$\vec{p}$)B; Secciones Eficaces, Observables de Polarización y Respuestas Nucleares en Reacciones A($\vec{e}$,e'$\vec{p}$)B. Office of Scientific and Technical Information (OSTI), January 2005. http://dx.doi.org/10.2172/922961.

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Kößling, Matthias, Marcel Weikert, and Martin Tajmar. Experimental Evaluation of the VEM Drive. GWT-TUD GmbH Dresden, May 2020. http://dx.doi.org/10.25368/2020.4.

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Meyer, William R. MIL-STD-1660 Tests for General Defense Corporation Value Engineered Change Proposal (GDC VECP) on Wooden Pallets for PA116 Containers (VECP 0520E0014R-C). Fort Belvoir, VA: Defense Technical Information Center, January 1989. http://dx.doi.org/10.21236/ada215599.

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Chai, Zhengwei. Study of the N to Delta Transition via p($\vec{e}$, e'$\vec{p}$)π0 reaction. Office of Scientific and Technical Information (OSTI), September 2003. http://dx.doi.org/10.2172/824896.

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Chai, Zhengwei. Study of the N to Delta Transition via p($\vec{v}$, e'$\vec{p}$)π0 Reaction. Office of Scientific and Technical Information (OSTI), September 2003. http://dx.doi.org/10.2172/816501.

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