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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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Liu, Zong Jin, Yang Yang, Zheng Fang, and Yan Yan Xu. "Measuring Dynamic Sales Impacts of LBA Using Wireless Communication Technology." Advanced Materials Research 662 (February 2013): 896–901. http://dx.doi.org/10.4028/www.scientific.net/amr.662.896.
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Because of rapid development of wireless communication technology, there is an increasing adoption of mobile advertising, such as location based advertising (LBA). To what extent can LBA improve advertising effectiveness is an important topic in the field of wireless communication technology research. Most researches quantify long term impacts of advertisings by VAR (Vector Autoregressive) model. However, compared to VAR model, VECM (Vector Error Correction Model) is a better method in that it allows one to estimate both a long-term equilibrium relationship and a short-term dynamic error correction process. In this study, we employ VECM to explore LBA’s (Location Based Advertising) and PUA’s (Pop-up Advertising) sales impact in both short and long terms. The developed VECM reveals that LBA’s sales impact is about more than2 times as big as PUA’s in short dynamic term and nearly 6 times bigger than PUA’s in long equilibrium term. These findings add to advertising and VECM literatures. These results can give managers more confident to apply wireless communication technology to advertising.
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Bekiros, Stelios, and Christos Avdoulas. "Revisiting the Dynamic Linkages of Treasury Bond Yields for the BRICS: A Forecasting Analysis." Forecasting 2, no. 2 (May 16, 2020): 102–29. http://dx.doi.org/10.3390/forecast2020006.
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We examined the dynamic linkages among money market interest rates in the so-called “BRICS” countries (Brazil, Russia, India, China, and South Africa) by using weekly data of the overnight, one-, three-, and six- months, as well as of one year, Treasury bills rates covering the period from January 2005 to August 2019. A long-run relationship among interest rates was established by employing the Vector Error Correction modeling (VECM), which revealed the validation of the Expectation Hypothesis Theory (EH) of the term structure of interest rates, taking into account long-run deviations from equilibrium and inherent nonlinearities. We unveiled short-run dynamic adjustments for the term structure of the BRICS, subject to regime switches. We then used Markov Switching Vector Error Correction models (MS-VECM) to forecast them dynamically during an out-of-sample period of May 2016 through August 2019. The MSIH-VECM forecasts were found to be superior to the VECM approaches. The novelty of our paper is mainly due to the exploration of the possibility of parameter instability as a crucial factor, which might explain the rejection of the restricted version of the cointegration space, and on the dynamic out-of-sample forecasts of the term structure over a more recent time span in order to assess further the usefulness of our nonlinear MS-VECM characterization of the term structure, capturing the effects of the global and domestic financial crisis.
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Tsuji, Chikashi. "Dynamic Relations of Consumer Prices: A Case Study of Recent Effects on the Japanese Headline CPI." Journal of Social Science Studies 3, no. 2 (February 7, 2016): 28. http://dx.doi.org/10.5296/jsss.v3i2.8991.
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<p>This study attempts to empirically examine the relations between the headline consumer price index (CPI) and several other CPIs in Japan by applying the vector error correction models (VECMs). Our investigations derive the following interesting findings. First, we reveal that as to our four combinations of the CPIs tested in this paper, 1) all variable coefficients in the cointegrating equations are statistically significant in our VECM models and the statistical significance is very strong. Thus, we understand that our four bivariate combinations of the CPIs tested in this paper are all strongly cointegrated and the VECM approach is very effective to capture the time-series effects of the categorized CPIs on the Japanese headline CPI. Further, we also find that 2) as far as judging by the results of our impulse response analyses, for the period from May 2011 to June 2015, the headline CPI for Japan is weakly or little affected by the CPI of energy and the CPI of food for Japan. We further clarify that 3) according to the results of our impulse response analyses, the Japanese headline CPI is positively affected by both the CPI of utilities for Japan and the CPI of transportation and communication expenses for Japan.</p>
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Gani, Rahmad Abdul, Ima Amaliah, and Meidy Haviz. "Kausalitas Kebijakan Moneter Konvensional dengan Inflasi dan Pertumbuhan Ekonomi di Indonesia Periode Q1 2008 – Q4 2020." Jurnal Riset Ilmu Ekonomi dan Bisnis 1, no. 1 (October 26, 2021): 66–74. http://dx.doi.org/10.29313/jrieb.v1i1.203.
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Abstract. This study aims to identify the causality of conventional monetary policy with inflation and economic growth in Indonesia during the observation period. The research method used is descriptive quantitative. The data used are data from the first quarter of 2008 to the fourth quarter of 2020. This study uses secondary data published by BI, OJK, BPS, World Bank, as well as various literatures that will be used. The data analysis method used in this study is the VECM and Grangger Causality model consisting of the Grangger test, IRF test, VD test, and VECM estimation. The results of this study found that, causally, there is no continuity of conventional monetary policy transmission lines. In terms of IRF, the shock given by conventional variables to the inflation response subsided and remained stable for longer. In this case, the conventional variable is inflationary. In VD, conventional variables tend to give a larger negative contribution to inflation and reduce output. According to VECM, conventional variables in the short term tend to have a positive impact on inflation, and provide trade-offs in the long term.
Abstrak. Penelitian ini bertujuan untuk mengidentifikasi kausalitas kebijakan moneter konvensional dengan inflasi dan pertumbuhan ekonomi Indonesia selama periode pengamatan. Metode penelitian yang digunakan adalah deskriptif kuantitatif. Data yang digunakan adalah data kuartal I 2008 sampai kuartal IV 2020. Penelitian ini menggunakan data sekunder yang dipublikasikan BI, OJK, BPS, World Bank, serta berbagai literatur yang akan digunakan. Metode analisis data yang digunakan dalam penelitian ini adalah model VECM dan Grangger Causality terdiri dari uji grangger, uji IRF, uji VD, dan estimasi VECM. Hasil penelitian ini menemukan bahwa, secara kausalitas tidak terdapat kesinambungan alur transmisi kebijakan moneter konvensional. Secara IRF, shock yang diberikan oleh variabel konvensional terhadap respon inflasi mereda dan stabil lebih lama. Dalam hal ini, variabel konvensional bersifat inflationer. Secara VD, variabel konvensional cendrung memberikan kontribusi negatif lebih besar terhadap inflasi dan menurunkan output. Secara VECM, variabel konvensional dalam jangka pendek cenderung memberikan dampak positif terhadap inflasi, dan memberikan trade-off dalam jangka panjang.
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Moh. Wigi Destriansyah and Dwi Agustin Nuriani Sirodj. "Analisis Hubungan Harga Saham Bank Central Asia, Inflasi, Kurs (IDR/USD) dan BI Rate dengan Metode Vector Error Correction Model (VECM)." Bandung Conference Series: Statistics 2, no. 2 (July 29, 2022): 282–90. http://dx.doi.org/10.29313/bcss.v2i2.4057.
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Abstract. One method of multivariate time series analysis is VECM. VECM is used to overcome the existence of data forms that are not stationary in the average but there is cointegration in the variables. VECM is often used in long-term econometric cases such as forecasting the movement of a stock price. The movement of a company's stock price level can be influenced by factors such as inflation, exchange Rates and the BI Rate or interest Rates in the short and long term. The banking sector is one sector that is often targeted by investors, such as shares of Bank BCA Tbk because it has a high reputation, large market capitalization, positive company performance and routine dividend distribution. This study aims to analyze the effect of the variable inflation, exchange Rate (IDR/USD) and the BI Rate on the stock price of Bank Central Asia, as well as to see the long-term relationship between these variables and predict the stock price of BBCA. The variables used in this study are Inflation, Exchange Rate (IDR/USD), BI Rate to BBCA's Stock Price from August 2016 to September 2021. The model obtained is VECM(4) with 1 rank cointegration. Inflation and Exchange Rate (IDR/USD) variables have a significant effect on changes in the value of BBCA's Stock Price in the long term. While the BI Rate variable has no significant effect on changes in the value of the BBCA Share Price in the long term.
Abstrak. Salah satu metode analisis deret waktu multivariat adalah VECM. VECM ini digunakan untuk mengatasi keberadaan bentuk data yang tidak stasioner dalam rata-rata narnun terdapat kointegrasi dalam variabelnya. VECM sering digunakan dalam kasus-kasus ekonometrika jangka panjang seperti meramalkan pergerakan suatu harga saham. Pergerakan level harga saham suatu perusahaan bisa dipengaruhi oleh faktor-faktor seperti Inflasi, Kurs dan BI Rate atau suku bunga dalam jangka waktu pendek maupun panjang. Sektor perbankan menjadi salah satu sektor yang sering diincar oleh para investor, seperti saham Bank BCA Tbk sebab memiliki reputasi tinggi, kapitalisasi pasar yang besar, kinerja perusahaan yang positif dan rutin melakukan pembagian dividen. Penelitian ini bertujuan untuk menganalisis pengaruh dari variabel Inflasi, Kurs (IDR/USD) dan BI Rate terhadap Harga Saham Bank Central Asia, serta untuk melihat hubungan jangka panjang antara variable tersebut dan meramalkan harga saham BBCA. Variabel yang digunakan dalam penelitian ini adalah Inflasi, Kurs (IDR/USD), BI Rate terhadap Harga Saham BBCA dari bulan Agustus 2016 hingga September 2021. Model yang didapatkan adalah VECM(4) dengan 1 rank kointegrasi. Variabel Inflasi dan Kurs (IDR/USD) berpengaruh secara signifikan terhadap perubahan nilai Harga Saham BBCA dalam jangka panjang. Sedangkan variabel BI Rate tidak berpengaruh secara signifikan terhadap perubahan nilai Harga Saham BBCA dalam jangka panjang.
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Keilbar, Georg, and Yanfen Zhang. "On cointegration and cryptocurrency dynamics." Digital Finance 3, no. 1 (February 17, 2021): 1–23. http://dx.doi.org/10.1007/s42521-021-00027-5.
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AbstractThis paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM) framework. To enable analysis in a dynamic setting, we propose the COINtensity VECM, a nonlinear VECM specification accounting for a varying systemwide cointegration exposure. Our results show that cryptocurrencies are indeed cointegrated with a cointegration rank of four. We also find that all currencies are affected by these long term equilibrium relations. The nonlinearity in the error adjustment turned out to be stronger during the height of the cryptocurrency bubble. A simple statistical arbitrage trading strategy is proposed showing a great in-sample performance, whereas an out-of-sample analysis gives reason to treat the strategy with caution.
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Devesh, Sonal, and Abdullah M. Asrul Affendi. "Food Security Dynamics in Oman: VECM Approach." Advances in Dynamical Systems and Applications 15, no. 2 (December 30, 2020): 249–63. http://dx.doi.org/10.37622/adsa/15.2.2020.249-263.
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Maju Simatupang, Batara. "DETERMINANTS OF GOVERNMENT SECURITIES YIELD USING VECM." Jurnal Bisnis dan Manajemen 22, no. 2 (September 2021): 127–46. http://dx.doi.org/10.24198/jbm.v22i2.689.
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This study aims to uncover the determinants’ effect on the return rate of government securities (GS). This study's data uses the government bonds that can be traded with the ten-year tenor, and the time-horizon of the collected data spans from 2009:M1 to 2018:M6. The study methodology utilizes the vector error correction model (VECM) model to determine the short-term backward behavior, which refers to the situation where the short-term balances are corrected for the long-term balances. Additionally, it is also to reveal the relationship between the variables within the model. Thus, this study is to see whether GS’s reciprocal level has been at the value of efficient return or not. The results show that the cointegrated determinants of the Bank Indonesia (BI) rate / seven days repo, outstanding tradable government bonds, Fitch Rating, exchange rate, sovereign country risk, and regional bond index positively affects the GS yield. In contrast, the determinants of Fitch Rating, exchange rate, sovereign country risk, and outstanding tradable government bond negatively influence GS yields. The implication of this research is that the Indonesian government securities are interdependent with the identified determinants; thus, the Indonesian government should maintain the movement of those determinants to ensure that its GS stays positive.
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Bonham, Carl, Byron Gangnes, and Ting Zhou. "Modeling tourism: A fully identified VECM approach." International Journal of Forecasting 25, no. 3 (July 2009): 531–49. http://dx.doi.org/10.1016/j.ijforecast.2008.11.014.
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Valentika, Nina Valentika, Vivi Iswanti Nursyirwan, and Ilmadi Ilmadi. "PERAMALAN KURS, INFLASI, IMPOR DAN EKSPOR DENGAN VECM." Jurnal Accounting Information System (AIMS) 3, no. 2 (October 12, 2020): 119–30. http://dx.doi.org/10.32627/aims.v3i2.274.
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Penelitian Catalbas (2016) dimodifikasi dalam penelitian ini dengan menambahkan variabel inflasi. Vector Error Correction Model (VECM) digunakan dalam penelitian ini untuk meramalkan variabel. Penelitian ini bertujuan untuk memodelkan kurs, inflasi, impor dan ekspor, meramalkan kurs, inflasi, impor dan ekspor, dan mengetahui hubungan jangka panjang antarvariabel. Model antarvariabel dalam penelitian ini adalah VECM dengan lag 2, menggunakan trend deterministic dengan asumsi none intercept no trend, dan terdapat 2 kointegrasi. Model penelitian ini dikatakan baik untuk meramalkan ekspor dan impor dengan batas toleransi adalah 5%. Berdasarkan VECM, diperoleh bahwa terdapat hubungan jangka panjang untuk peubah-peubah yang ada dalam persamaan kointegrasi kedua terhadap perubahan impor yaitu impor, kurs dan ekspor pada satu periode sebelumnya. Terdapat hubungan jangka panjang untuk peubah-peubah yang ada dalam persamaan kointegrasi pertama terhadap perubahan inflasi yaitu inflasi, kurs dan ekspor pada satu periode sebelumnya. Terdapat hubungan jangka panjang untuk peubah-peubah yang ada dalam persamaan kointegrasi kedua terhadap perubahan inflasi yaitu impor, kurs dan ekspor pada satu periode sebelumnya. Catalbas' research (2016) was modified in this study by adding an inflation variable. Vector Error Correction Model (VECM) is used in this study to predict variables. This study aims to model the exchange rate, inflation, imports and exports, forecast exchange rates, inflation, imports and exports, and determine the long-term relationship between variables. The inter-variable model in this study is VECM with a lag of 2, using a deterministic trend assuming none intercept no trend, and there are 2 cointegration. This research model is said to be good for predicting exports and imports with a tolerance limit of 5%. Based on the VECM, it is found that there is a long-term relationship for the variables that exist in the second cointegration equation to changes in imports, namely imports, exchange rates and exports in one previous period. There is a long-term relationship for the variables in the first cointegration equation to changes in inflation, namely inflation, exchange rates and exports in the previous period. There is a long-term relationship for the variables in the second cointegration equation to changes in inflation, namely imports, exchange rates and exports in the previous period.
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Mashabi, M., and Wasiaturrahma Wasiaturrahma. "ELECTRONIC BASED PAYMENT SYSTEMS AND ECONOMIC GROWTH IN INDONESIA." Jurnal Ilmu Ekonomi Terapan 6, no. 1 (June 26, 2021): 97. http://dx.doi.org/10.20473/jiet.v6i1.26287.
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This research aims to analyze the effect of electronic payment systems based on credit cards, debit cards, and electronic money, as well as macroeconomic variables namely the money supply (M1), price level, and velocity of money towards real gross domestic product as a proxy for economic growth. The estimation carried out in this journal uses the Vector Error Correction Model (VECM) with period time series data of 2010:1-2018:12. The results of the journal show that doing debit card and electronic money-based transactions has a significant positive effect on economic growth in Indonesia in the long run.Keywords : Electronic payment systems, electronic money, credit cards, debit cards, economic growth, Vector Error Correction Model (VECM) Keywords: Electronic payment systems, electronic money, credit cards, debit cards, economic growth, Vector Error Correction Model (VECM) JEL : O470 C320
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Lee, Chin, M. Azali, Zulkornain B. Yusop, and Mohammed B. Yusoff. "IS MALAYSIA EXCHANGE RATE MISALIGNMENT BEFORE THE 1997 CRISIS?" Labuan Bulletin of International Business and Finance (LBIBF) 6 (December 31, 2008): 1–18. http://dx.doi.org/10.51200/lbibf.v6i.2590.
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This paper seeks to use the flexible-price monetary model in the cointegration and vector error correction model (VECM) contexts to determine whether there was misalignment in the Malaysian ringgit - U.S. dollar before the 1997 currency crisis. Unit roots, cointegration and weak exogeneity are tested to validate the monetary exchange rate model. Generally, it is found that all the series are I(1) process and there exists significant cointegrating vectors. Using the cointegrating vector and the final parsimonious VECM, out of sample predictions for Ringgit exchange rate are generated. The resulting residuals between the actual and the fitted values of exchange rate are the estimated misalignments. From cointegration, our results suggest that the Malaysian ringgit was overvalued from 1995Q2-1997Q2. Based on VECM, our results suggest that ringgit was overvalued from 1995Q2-1996Q2 and slightly undervalued from 1996Q3-1997Q2.
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Mugableh, Mohamed Ibrahim, and Mohammad Salem Oudat. "Economic Growth and Financial Development nexus in Malaysia: Dynamic Simultaneous Equations Models." Asian Journal of Finance & Accounting 10, no. 1 (April 15, 2018): 143. http://dx.doi.org/10.5296/ajfa.v10i1.12736.
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This paper estimates the equilibrium and causality relationships among gross domestic product, energy consumption, financial development, foreign direct investment inflows, and gross fixed capital formation. Different econometrics tests like descriptive statistics, ARCH, KPSS unit root, Johansen and Juselius’s co-integration, VECM Granger causality, and ARDL equilibrium relationships have been employed in Malaysia over the (1971−2013) period. The correlation matrix results indicate a linear association among variables. The null hypotheses of Heteroscedasticity and non-stationary have been rejected implying the appropriate use of VECM and ARDL approach. The VECM Granger causality findings show a long-run bidirectional among the variables. The ARDL approach results demonstrate that energy consumption, financial development, foreign direct investment inflows, and gross fixed capital formation augment gross domestic product in long-run. However, the findings of this paper add essential implications to policy makers and scholars in fields of economic, energy, and finance.
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Ahmadi, Amri, and Sri Herianingrum. "PENGARUH PERTUMBUHAN PDB DAN INFLASI TERHADAP PERTUMBUHAN PERBANKAN SYARIAH DI INDONESIA PERIODE TAHUN 2013-2015." Jurnal Ekonomi Syariah Teori dan Terapan 6, no. 4 (January 16, 2020): 763. http://dx.doi.org/10.20473/vol6iss20194pp763-773.
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This research used a quantitative approach, and the aim of research was to find out the estimation, the magnitude of the GDP growth influenced, and the inflation on the growth of Islamic banking in Indonesia. In this research used the VECM (Vector Error Correction Model) with method focused by testing hypotheses.The results showed that GDP variable and Inflation variable was influenced significantly and positively on profits and DPK.Keyword: Gross Domestic Product, inflation, profit, third party funds, VECM.
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Gotama, Jefferson Indra, and Ignatius Roni Setyawan. "Relevansi Faktor Ekonomi Terhadap Kointegrasi IHSG dan KLCI." Jurnal Manajerial Dan Kewirausahaan 3, no. 1 (March 18, 2021): 245. http://dx.doi.org/10.24912/jmk.v3i1.11318.
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The purpose of this research is to investigate the cointegration between the Kuala Lumpur Composite Index (KLCI), the Inflation, the Exchange Rate and the Jakarta Composite Index (JCI). The study sampled studied with monthly data periods in the period 1 January 2014-31 December 2019. The sampling method is non probability sampling with the sampling technique using purposive sampling. The analysis is performed by using Johansen cointegration test and VECM and processed by using Eviews 9. The VECM results show that there is no significant short term relationship between the Kuala Lumpur Composite Index (KLCI), the Inflation, the Exchange Rate and the Jakarta Composite Index (JCI). Johansen cointegration test results show that all research variables have a significant long term relationship.Tujuan dari penelitian ini adalah untuk mengetahui kointegrasi antara Kuala Lumpur Composite Index (KLCI), Inflasi, Nilai Tukar dan Indeks Harga Saham Gabungan (IHSG). Sampel penelitian yang dipelajari dalam penelitian ini adalah data bulanan dengan periode 1 Januari 2014-31 Desember 2019. Metode pengambilan sampel adalah non probability sampling dengan teknik pengambilan sampel yaitu purposive sampling. Analisis dilakukan dengan menggunakan Uji Kointegrasi Johansen dan VECM kemudian diolah menggunakan Eviews 9. Hasil VECM menunjukkan bahwa tidak terdapat hubungan jangka pendek yang signifikan antara Kuala Lumpur Composite Index (KLCI), Inflasi, Nilai Tukar dan Indeks Harga Saham Gabungan (IHSG). Hasil Uji kointegrasi Johansen menunjukkan bahwa semua variabel penelitian memiliki hubungan jangka panjang yang signifikan.
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Škare, Marinko, Justyna Franc-Dąbrowska, and Dajana Cvek. "Cointegration analysis and VECM of FDI, employment, export and GDP in Croatia (2002?2017) with particular reference to the global crisis and poor macroeconomic governance." Equilibrium 15, no. 4 (December 20, 2020): 761–83. http://dx.doi.org/10.24136/eq.2020.033.
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Research background: The preconditions for attracting foreign investment are political stability and long-term capital investment, positively influencing the recipient country's development. During the crisis as well as in the unstable political environment, economic agents engage in speculative and risky acts for faster earnings.
Purpose of the article: The paper aims to point out the importance of foreign direct investments (FDI) and other macroeconomic variables and their relationship with particular reference to the Croatian economy in 2002?2017.
Methods: We use ADF test, development of the VECM model, testing of the stability of the VECM model, decomposition of the variance of the predictive errors of the variables, analysis of responses to unit orthogonal pulses. The vector correction auto-regression model (VECM) explores the long-term relationship between (FDI) and macroeconomic indicators in crisis time.
Findings & Value-added: Applying the VECM model, we find that employment, export, and GDP variables are exogenous in the short term. The FDI variable is statistically significant and adjusts for the long-run equilibrium. Analyzing the responses to unit shocks, we conclude there is weak feedback of the observed variables and a weak effect of the observed variables in the Croatian economy. The FDI variable does not affect GDP, employment, and exports in Croatia due to poor macroeconomic management, corruption, regional development, inefficiency, and inefficient foreign direct investment structure.
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Viphindrartin, Sebastiana. "Dampak Makro Ekonomi Terhadap Stabilitas Keuangan di Indonesia." Jurnal Manajemen Jayanegara 13, no. 1 (April 25, 2021): 13–19. http://dx.doi.org/10.52956/jmj.v13i1.27.
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Kondisi makroekonomi yang tidak pasti dapat mempenga-ruhi tingkat risiko kredit bermasalah pada bank. Pengaruh kondisi makro ekonomi terhadap NPL memiliki respon yang berbeda-beda untuk setiap sektor ekonomi. Tujuan utama penelitian ini adalah untuk mengetahui pengaruh faktor makroekonomi (inflasi, nilai tukar dan suku bunga) dan faktor spesifik bank (kredit) terhadap Non Performing Loan (NPL) BPR di Indonesia periode 2015 hingga 2018. Penelitian ini menggunakan estimasi Vector Error Correction Model (VECM) untuk mengetahui pengaruh variabel independen yang terdiri dari faktor makroekonomi dan faktor spesifik bank. Ber-dasarkan hasil estimasi VECM, tiga variabel yang berpengaruh posi-tif dan signifikan terhadap NPL jangka panjang yaitu kredit, inflasi dan suku bunga. Sedangkan dalam jangka pendek hanya ada dua variabel yang berpengaruh positif dan signifikan terhadap NPL yaitu kredit dan suku bunga. Variabel inflasi dan nilai tukar berpengaruh negatif dan tidak signifikan terhadap NPL dalam jangka pendek.Kata kunci: Bank Perkreditan Rakyat, Indikator Makroekonomi, NPL, Stabilitas Sistem Keuangan, VECM
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Khan, Waseem, Sana Fatima, and Mohammad Jamshed. "Agricultural Credit-led Agricultural Growth: A VECM Approach." Asian Journal of Agricultural Extension, Economics & Sociology 19, no. 1 (January 10, 2017): 1–16. http://dx.doi.org/10.9734/ajaees/2017/32304.
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Tran Thi Bich, Ngoc, and Huong Pham Hoang Cam. "Determinants of Inflation in Vietnam: A VECM Approach." Journal of Asian Business and Economic Studies 22, no. 04 (October 1, 2015): 26–50. http://dx.doi.org/10.24311/jabes/2015.22.4.02.
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This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actually has a short-run impact, but its level is fundamentally weak. The cause of the current inflation is mainly due to public's expectations of the inflation in the last period. Although the error correction, from the long-run relationship, has affected inflation in the short run, the coefficient is small and insignificant. In other words, it means that the speed of the adjustment is very low or near zero. This also implies that once the relationship among inflation, domestic credit, interest rate, budget deficit, and crude oil prices deviate from the long-term trend, it will take the economy a lot of time to return to the equilibrium state.
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NGOC, TRAN THI BICH, and PHAM HOANG CAM HUONG. "Determinants of Inflation in Vietnam: A VECM Approach." Journal of Economics Development 22, no. 4 (October 1, 2015): 26–50. http://dx.doi.org/10.24311/jed/2015.22.4.02.
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Choi, Cha-Soon. "Housing Price and House Hold Expenses: VECM Analysis." Asia-pacific Journal of Multimedia Services Convergent with Art, Humanities, and Sociology 6, no. 5 (May 31, 2016): 355–65. http://dx.doi.org/10.14257/ajmahs.2016.05.34.
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Hespeler, Frank. "A VECM evaluation of monetary transmission in Uzbekistan." Economic Change and Restructuring 46, no. 2 (July 14, 2012): 219–53. http://dx.doi.org/10.1007/s10644-012-9125-4.
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Sutthichaimethee, Pruethsan, and Danupon Ariyasajjakorn. "Relationships between Causal Factors Affecting Future Carbon Dioxide Output from Thailand’s Transportation Sector under the Government’s Sustainability Policy: Expanding the SEM-VECM Model." Resources 7, no. 4 (December 3, 2018): 81. http://dx.doi.org/10.3390/resources7040081.
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This research aims to analyze the relationships between causal factors likely to affect future CO2 emissions from the Thai transportation sector by developing the Structural Equation Modeling-Vector Autoregressive Error Correction Mechanism Model (SEM-VECM Model). This model was created to fill information gaps of older models. In addition, the model provides the unique feature of viable model application for different sectors in various contexts. The model revealed all exogenous variables that have direct and indirect influences over changes in CO2 emissions. The variables show a direct effect at a confidence interval of 99%, including per capita GDP (), labor growth (), urbanization rate factor (), industrial structure (), energy consumption (), foreign direct investment (), oil price (), and net exports (). In addition, it was found that every variable in the SEM-VECM model has an indirect effect on changes in CO2 emissions at a confidence interval of 99%. The SEM-VECM model has the ability to adjust to the equilibrium equivalent to 39%. However, it also helps to identify the degree of direct effect that each causal factor has on the others. Specifically, labor growth () had a direct effect on per capita GDP () and energy consumption () at a confidence interval of 99%, while urbanization rate () had a direct effect on per capita GDP (), labor growth (), and net exports () at a confidence interval of 99%. Furthermore, industrial structure () had a direct effect on per capita GDP () at a confidence interval of 99%, whereas energy consumption () had a direct effect on per capita GDP () at a confidence interval of 99%. Foreign direct investment () had a direct effect on per capita GDP () at a confidence interval of 99%, while oil price () had a direct effect on industrial structure (), energy consumption (), and net exports () at a confidence interval of 99%. Lastly, net exports () had a direct effect on per capita GDP () at a confidence interval of 99%. The model eliminates the problem of heteroskedasticity, multicollinearity, and autocorrelation. In addition, it was found that the model is white noise. When the SEM-VECM Model was used for 30-year forecasting (2018–2047), it projected that CO2 emissions would increase steadily by 67.04% (2047/2018) or 123.90 Mt CO2 Eq. by 2047. The performance of the SEM-VECM Model was assessed and produced a mean absolute percentage error (MAPE) of 1.21% and root mean square error (RMSE) of 1.02%. When comparing the performance value with the values of other, older models, the SEM-VECM Model was found to be more effective and useful for future research and policy planning for Thailand’s sustainability goals.
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Pandey, Sweety, and Mrutyunjaya Mishra. "CO2 Emissions and Economic Growth of SAARC Countries: Evidence from a Panel VAR Analysis." World Journal of Applied Economics 1, no. 2 (March 7, 2016): 23. http://dx.doi.org/10.22440/econworld.j.2015.1.2.sp.0009.
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The paper examined the causality in both static and dynamic framework between CO2 emissions and economic growth of SAARC countries over the period 1972-2010 using panel approach. The paper presents the facts obtained on the basis of panel unit root test, panel-co-integration test , panel VECM and Impulse Response functions (IRFs) and Variance decomposition (VDs). IRFs and VDs analysis indicate that CO2 emissions, GDP have positive impact on each other. The result from the application of VECM analysis suggests unidirectional causality running from economic growth to CO2 emissions. The result found contradicts the Environmental Kuznets Curve hypothesis.
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Bouwer, Johan, and Jacoba van Egmond. "Moderating factors of the Van Egmond Coaching Model (VECM)." International Coaching Psychology Review 7, no. 1 (March 2012): 55–63. http://dx.doi.org/10.53841/bpsicpr.2012.7.1.55.
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Objectives:Identifying those (moderating) factors that are instrumental in the successful completion of a coaching trajectory that is based on the Van Egmond Coaching Model (VECM).Design:Qualitative.Methods:Data were collected by means of three questionnaires: a semi-structured questionnaire for the clients; a semi-structured questionnaire for the clients’ managers; and a regular evaluation form for the coach. The authors of this paper analysed the data manually, first independently from each other and then again, in a joint session.Results:The most important moderating factors of the VECM appeared to be the client’s readiness to change (will), the client-coach relationship, the manager’s role and the coach’s expertise.Conclusions:Most of the outcomes of this study were (structurally) congruous to those of earlier studies. Remarkably, ‘relationship’ and ‘will’ were valued higher in this study, and managers assumed their own roles in the success of coaching to be more significant than was perceived by clients. Follow-up studies, particularly into the role of managers, the precise nature and role of the will of clients, the assessment of the client-coach relationship in various contexts, the effects and role of the coach’s gender and the extent to which familiarity with the theoretical building blocks of the VECM has an influence on interpreting the coaching effects are recommended.
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Soon, Byung Min, and Jarrett Whistance. "Seasonal Soybean Price Transmission between the U.S. and Brazil Using the Seasonal Regime-Dependent Vector Error Correction Model." Sustainability 11, no. 19 (September 26, 2019): 5315. http://dx.doi.org/10.3390/su11195315.
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Soybean production and trade in the U.S. and Brazil are seasonal. Our research question is whether the seasonal tendencies cause the price relationship between U.S. and Brazilian soybean prices. Therefore, the objective is to test for seasonality in the price transmission between the U.S. and Brazil soybean prices using the seasonal regime-dependent vector error correction model (VECM). Our results show that the speed of the adjustment for the U.S. soybean price in the first half of the year is greater than the speed of the adjustment for the Brazilian soybean price. However, the pattern of their responses becomes the reverse in the second half of the year. The component share calculated by the result of the VECM with seasonal effects indicates that the U.S. dominates the world soybean market during the second half of the year while Brazil is dominant in the soybean market in the first half of the year. These results give us an important finding that we could not find using the VECM without seasonal effects. Finally, our results imply that the seasonal pattern of production in the U.S. and Brazil could cause the sustainability of the supply chain in the world soybean market.
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Kaur, Harleen, Mohammad Afshar Alam, Saleha Mariyam, Bhavya Alankar, Ritu Chauhan, Rana Muhammad Adnan, and Ozgur Kisi. "Predicting Water Availability in Water Bodies under the Influence of Precipitation and Water Management Actions Using VAR/VECM/LSTM." Climate 9, no. 9 (September 21, 2021): 144. http://dx.doi.org/10.3390/cli9090144.
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Recently, awareness about the significance of water management has risen as population growth and global warming increase, and economic activities and land use continue to stress our water resources. In addition, global water sustenance efforts are crippled by capital-intensive water treatments and water reclamation projects. In this paper, a study of water bodies to predict the amount of water in each water body using identifiable unique features and to assess the behavior of these features on others in the event of shock was undertaken. A comparative study, using a parametric model, was conducted among Vector Autoregression (VAR), the Vector Error Correction Model (VECM), and the Long Short-Term Memory (LSTM) model for determining the change in water level and water flow of water bodies. Besides, orthogonalized impulse responses (OIR) and forecast error variance decompositions (FEVD) explaining the evolution of water levels and flow rates, the study shows the significance of VAR/VECM models over LSTM. It was found that on some water bodies, the VAR model gave reliable results. In contrast, water bodies such as water springs gave mixed results of VAR/VECM.
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A. Bashier, Al-Abdulrazag. "Electricity Consumption and Economic Growth in Jordan: Bounds Testing Cointegration Approach." European Scientific Journal, ESJ 12, no. 1 (January 29, 2016): 429. http://dx.doi.org/10.19044/esj.2016.v12n1p429.
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The objective of this paper is to investigate the short-run and longrun causal relationships between electricity consumption and economic growth in Jordan between 1976 and 2013, utilizing the Autoregressive Distributed Lag (ARDL) model. Estimates revealed the existence of a longrun equilibrium relationship between the said variables. The VECM model results indicated a long-run, bidirectional causality between the two variables as seen from the negative and significant error correction terms. The results of Granger-Causality test within VECM disclosed a bidirectional weak and strong short-run causality between electricity consumptions per capita and economic growth. The estimation results provide a strong support for the feedback hypothesis in Jordan
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Dutta, Champa Bati, Mohammed Ziaul Haider, and Debasish Kumar Das. "Dynamics of Economic Growth, Investment and Trade Openness: Evidence from Bangladesh." South Asian Journal of Macroeconomics and Public Finance 6, no. 1 (June 2017): 82–104. http://dx.doi.org/10.1177/2277978717695150.
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This article investigates the causal relationship among foreign direct investment, domestic investment, trade openness and economic growth in Bangladesh over the period 1976–2014. Unit root tests, cointegration methods and Granger causality tests in Vector Error Correction Model (VECM) framework are used to investigate the relationships. The results of Granger causality test based on a stable VECM support a unidirectional causality running from foreign direct investment to growth, domestic investment to trade openness, growth to trade openness and bidirectional causality between domestic investment and growth and foreign direct investment and domestic investment. The results support the investment complementarities in Bangladesh. JEL Classification: E22, F1, O40
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KONG, TUAN-YUEN, YUN-PENG CHU, CHIN-FU HSU, and NORDEN E. HUANG. "AN ANATOMY OF ECONOMIC GROWTH IN TAIWAN." Advances in Adaptive Data Analysis 02, no. 02 (April 2010): 217–31. http://dx.doi.org/10.1142/s179353691000046x.
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This paper revises Sedgley's model of innovation-driven endogenous growth and applies it to the case of Taiwan. The methods of empirical mode decomposition (EMD) and constrained vector error correction (VEC model or VECM) are used in the process. The EMD is used to filter out very short term fluctuations in growth, while the VECM is used to detect the various factors that affect economic growth, including human capital, public and private capital, knowledge capital and public institutions (the index of protection of property rights). It is the first attempt to include such a rich set of factors affecting economic growth at least for the studies of Taiwan.
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Marku, Egerta, Llesh Lleshaj, and Arjana Lleshaj. "VECM Analysis to House Price Index. Case of Tirana." European Journal of Marketing and Economics 3, no. 1 (January 1, 2020): 19. http://dx.doi.org/10.26417/ejme.v3i1.p19-30.
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This paper analyzes long-run equilibrium of “house price index” in Tirana (the capital city of Albania) achieved by the long-run performance of macroeconomic factors.We have used the techniques and analysis of linear multiple regression by VECM (vector error correction model), to identify endogenous factors, that effect the stability of “house price index”. The analyze is based on data series 2010-2018 (with 3-month frequency), with independent variables: mortgage loan, interest rate on long-term loans, construction cost index, EUR/ALL exchange rate, house price index with lag(1).We conclude that all these independent variable (expect EUR/ALL exchange rate) are statistically significant, in long-run equilibrium and in the elasticity assessment of “house price index”.
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Cristanto, Ferdian Adi, and Prasetyo Ari Bowo. "Determinants of Indonesian Trade Balance: A Vecm Analysis Approach." Economics Development Analysis Journal 10, no. 4 (December 25, 2021): 463–74. http://dx.doi.org/10.15294/edaj.v10i4.45909.
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The Trade Balance is one of the indicators used to see the condition of a country's economy, especially in the trade sector. The trade balance value will affect how the state of the national macroeconomic indicators. In addition, the trade balance is used as additional information in determining foreign trade policy. This study aims to analyze the factors that affect Indonesia's trade balance in 2010-2019. The variables used are investment, rupiah exchange rate, economic growth and trade balance. The method used in this research is VECM (Vector error correction model) analysis with time series data using Eviews 9.0 data processing software. The results show that (1) direct investment has a significant positive effect in the short and long term, (2) exchange rate has a significant negative effect in the long term. short and long term, and (3) economic growth has no significant effect in the short and long term on Indonesia's trade balance
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Kushwah, Silky Vigg, and Manan Garg. "The determinants of foreign direct investment: a VECM approach." International Journal of Accounting and Business Finance 6, no. 2 (December 30, 2020): 55. http://dx.doi.org/10.4038/ijabf.v6i2.71.
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Ambarwati, Sri, Eka Sudarmaji, Herlan Masrio, and Ismiriati Nasip. "Modeling and Estimation of Cumulative Abnormal Return using VECM." Financial Risk and Management Reviews 7, no. 1 (September 21, 2021): 36–49. http://dx.doi.org/10.18488/journal.89.2021.71.36.49.
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This paper examined how firm-level idiosyncratic risk varies over time. It affected initial public offering (IPO) in the presence of pump-and-dump and flipping trends during the early trading of IPO stocks in the Indonesia Stock Exchange. The paper used the IPO data taken from 181 companies during the year 2015-2019. It revisited the relationship between Cumulative Abnormal Return thirty-days (CAR30D) and Cumulative Abnormal Return five-days (CAR5D) and the Characteristics (IPO Floating shares, IPO Fund and Price) and Macroeconomics Condition (Inflation rate). It also used the cointegration analysis and VECM model. The paper found that Both LnFloat and LnPrice had causal evidence in the long-run causality or short-run with Cumulative Abnormal Return thirty days (CAR30D). We also noted that idiosyncratic risk exposure depends on IPO characteristics. It was crucial for firms going public in hot-issue markets, undervalued IPOs, and high idiosyncratic-risk issues. The model suggested that those series should cointegrate firstly. However, the variable of LnIPOFund had causal evidence in the short-run causality only.
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Pereira, Marcos Vinicius Lopes, Leonardo Carneiro De Araújo, and Robert Aldo Iquiapaza. "Cointegração e previsibilidade de abordagens VECM para o Ibovespa." Brazilian Review of Finance 18, no. 2 (July 12, 2020): 82. http://dx.doi.org/10.12660/rbfin.v18n2.2020.79162.
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<p>The present research compares multivariate models applied to the IBovespa time series analysis. Macroeconomic variables, commodities and market indices are regressors suggested by the literature. The chosen approach uses a vector error correction model (VECM) alongside unit root and cointegration tests, robust under heteroskedasticity. The impact of national and international economic instability was controlled. To accomplish this, recessive cycles, in Brazil or in the United States, and the Brazilian electoral period were taken into account. In general, the evaluated models failed to meet the estimation’s assumptions, have low explanatory power and do not present significant relationship between IBOVESPA and dependent variables. However, evidence indicates that long-term relationships could exist, although this may not imply accuracy<br />in short-term predictions.</p>
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Fanelli, L., and M. Mazzocchi. "A cointegrated VECM demand system for meat in Italy." Applied Economics 34, no. 13 (September 2002): 1593–605. http://dx.doi.org/10.1080/00036840110111167.
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Baehaqy, Hasymi Nur, and Eko Fajar Cahyono. "Impact of conventional banking financing and Islamic banking financing on economic growth 2008-2018." Jurnal Ekonomi Syariah Teori dan Terapan 6, no. 6 (January 17, 2020): 1272. http://dx.doi.org/10.20473/vol6iss20196pp1272-1286.
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This research aims to know Impact of conventional banking financing and Islamic banking financing on economic growth 2008-2018. In this study the authors used a saturated sampling technique found in Non-Probability Sampling. The analysis technique used is VECM (Vector Error Correction Model). Based on the results of the study indicate that there is a one-way relationship on several variables, namely Conventional Banking Financing to GDP and Conventional Banking Financing to Islamic Banking Financing, In the long run, Conventional Banking Financing has a positive and significant relationship to GDP, whereas Islamic Banking Financing has a negative and significant relationship to GDP.Keywords: Banking Financing, Economic Growth, GDP (Gross Domestic Product), VECM (Vector Error Correction Model)
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Ma’in, Masturah, Norfaiezah Nordin, Izza Hazira Zailan, Saliza Sulaiman, and Zuraidah Ismail. "Investment and Economic Indicators in Malaysia." Journal of International Business, Economics and Entrepreneurship 3, no. 2 (December 31, 2018): 23. http://dx.doi.org/10.24191/jibe.v3i2.14429.
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This study is to investigate the relationship between economic indicators and investment in Malaysia using secondary data spanned through 1982-2015. This study employs an empirical analysis by adapting the unit root test, Johansen co-integration test and vector error correction model (VECM) to determine the short-run and long run effect among variables. The cointegrating test indicates that investment is significantly related to the trade openness, GDP and population. Based on the VECM results, the findings show that a long run relationship exists between the trade openness and investment in Malaysia. Hence, these reveal that it is important for the Malaysian government to enhance the economic policy in liberalizing foreign trade in order to encourage more investments.
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Wasiaturrahma, Wasiaturrahma, and Anita Lucky Kurniasari. "ELECTRONIC PAYMENT AND ECONOMIC GROWTH IN INDONESIA." Journal of Developing Economies 6, no. 2 (November 25, 2021): 287. http://dx.doi.org/10.20473/jde.v6i2.24923.
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The purpose of this study is to investigate the effect of non-cash payment transactions on economic growth in Indonesia and to see the responses from supporting variables, such as the velocity of money and the price of transactions. This study involves a Vector Error Correction Model (VECM) analysis tool, using monthly time series data during 2009: 1 – 2017: 12. The results show that the payment instrument affects economic growth, especially the Card-Based Payment Instrument (CBPI). In addition, there are changes to the velocity of money and prices caused by the increase in the use of non-cash payment instruments. Keywords: Electronic Payment, Economic Growth, Vector Error Correction Model (VECM)JEL: E4; C51
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Arfah, Yenni, and Andri Soemitra. "Hubungan Dinamis Antara Volume Perdagangan Saham, Nilai Tukar, Jakarta Islamic Indeks dengan Indeks LQ45 Menggunakan Vector Autoregressive (VAR) Di Bursa Efek Indonesia Periode 2017-2020." Reslaj : Religion Education Social Laa Roiba Journal 4, no. 4 (February 25, 2022): 1011–18. http://dx.doi.org/10.47467/reslaj.v4i4.1050.
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This study aims to determine the short-term effect of the relationship between Stock Trading Volume, Exchange Rate, Jakarta Islamic Index, and LQ45 Index on the Indonesia Stock Exchange for the 2017-2020 period. The population in this study is 208 time series data by including the entire population into the sample, which is 208 time series data. VECM is one of the econometric models used in analyzing the data in this study. Based on the research the hypothesis is accepted because the variables of Jakarta Islamic Index and LQ45 stock trading volume have an effect, while other variables do not, so the hypothesis is rejected.Keywords : Stock Trading Volume, Exchange Rate, Jakarta Islamic Index, LQ45 Index, VECM