Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 127 for “"Error Correction Model"”.
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Analisa indikator makro ekonomi terhadap pertumbuhan sukuk di Indonesia: Sebuah analisa dengan metode Error Correction Model (ECM)
… ini adalah sukuk korporasi di Indonesia. Model analisis yang digunakan adalah error correction model, Dimana metode ini memberikan gambaran tentang pengaruh hubungan jangka panjang dan jangka pendek. Hasil pengujian ECM menunjukkan bahwa dalam jangka panjang variabel pertumbuhan ekonomi …
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Estimating elasticities of demand and supply for South African manufactured exports using a vector error correction model
… co-integrating vector autoregression / vector error correction model approach in order toaddress simultaneity and non-stationarity issues. Demand is highly price-elastic, ranging from-3 to -6. The price elasticity of supply is 1. Competitors' prices and world income are an important determinant …
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The Effect of Foreign Exchange Accumulation on Macroeconomic Stability in Post-Liberalized South Africa
… Africa over the period 1995-2016 using a vector error correction model. The results show that foreign exchange reserve accumulation has a positive impact on macroeconomic stability.
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The impact of macroeconomic variables on the Johannesburg Stock Exchange (JSE) indices
… levels for selected indices through a structural model which consists of a security valuation approach in the form of Dividend Discount Model(DDM) and an Engle and Granger cointegration model. The macroeconomic variables examined include inflation, money supply, exchange rates, index earnings, and …
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The Budget Deficits and Inflation in Tanzania: A causal relationship
… The study employs a cointegration and error correction model (ECM) technique in examining the existence of long-run relationship among the variables. All variables involved are integrated of order one while the error correction model estimates indicate the existence of a long-run …
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The relationship between crude oil and natural gas spot prices and its stability over time
… price relationship are examined. An econometric modeling exercise seeks to establish whether a stable price relationship exists and to define it through the use of a vector error correction model. The model identifies strong evidence of cointegration between the crude oil and natural gas spot …
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Female labour force participation and economic growth in South Africa
… Cointegration Vector Autoregressive and Vector Error Correction Model (multivariate equations) together with cointegration equations (FM-Ordinary Least Squares, Canonical Cointegrating Regression and Dynamic Ordinary Least Squares) to establish the long-run and shortrun relationships and the …
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Biodiesel profitability and linkages to the soybean oil market
… biodiesel markets in the US through a structural model and a time-series econometric model. A conceptual link is built based on the theories of market efficiencies and implications of a binding mandate on supply and demand. We hypothesize that a long run zero-profit relationship governs the …
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Variation in the Dynamic Response of Housing Markets
… fundamental price of housing is determined an error correction model of housing prices is estimated to evaluate the degrees of serial correlation and mean reversion existing in the sampled geographic areas. Serial correlation and mean reversion are then interacted with the hypothesized effects …
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An investigation of the determinants of private investment: the case of Botswana
… analysis based on the co-integration and Error Correction Model of Engle and Granger (1987).
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Do High Street Retail Rents Align with the Economy? An Analysis of Retail Real Estate Pricing Dynamics Based on Macroeconomic Trends
… such as multiple linear regression and Error Correction Model (ECM), the paper aims not only to analyze how high street retail rents align with CPI and GDP but also to explore the primary factors influencing these rents. In studying high street retail properties or considering the …
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The efficiency of the oil futures markets: information, price discovery and long memory
… (1987) cointegration tests, and the Error Correction Model (ECM). The results suggest that the oil futures markets are unbiased in the long term but not in the short term, and the inefficiency is not caused by the time-varying risk premium. The results also show that the oil futures …
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The effect of economic growth volatility on income and wealth inequality in South Africa
This study uses a vector error correction model with impulse response, variance decomposition, and block Granger causality analysis over the period 1975-2018 to identify the effect of economic growth volatility on income inequality and wealth inequality in South Africa, and to determine whether …
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The dynamic effect of macroeconomic factors on housing prices: Evidence from South Africa
… period. The study utilizes a vector error correction model (VECM) to estimate the short- and long-run causal relationships while accounting for endogeneity and reverse causality. The results suggest the existence of a significant short-run and long-run association between house prices …
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Budget deficit and economic growth in Namibia
… the coefficients of the variables from the Error Correction Model in examining the relationship between budget deficit and economic growth. According to the cointegration test, the result has shown that past budget deficit and past Population growth has a negative and effect and that current …
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Deregulation, financial deepening and savings performance in Zambia: 1978-2006
… inflation, and real interest rate using an error correction model over two sample periods, with one period representing the pre-liberalisation period and the other representing the post-liberalisation period. The paper finds that there has not been any significant growth in the depth of the …
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Determinants of Economic Growth-The Case of Zimbabwe
… Root Tests. The Auto Regressive Distributed Lag model was used to examine the mixed variable while the Ordinary Least Squares model and the Johansen test were used to examine all stationary and non-stationary variables respectively. In the case of co-integration, the Error Correction Model and …
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Modelling the long-and-short run dynamics of share price movements in the resource sector
… and estimation of various statistical models that possess significant explanatory power in predicting future returns of resource shares. Models were constructed for IMPLATS, HARMONY, GOLDFIELDS, SASOL and SAPP!. Significant long-term relationships were found between company share price, …
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The effect of fiscal policy on inflation volatility in Malawi
… 1980 to 2022. Yearly inflation volatility is modelled using the Moving Average Standard Deviation methodology on monthly inflation data. An Autoregressive Distributed Lag (ARDL) process is used to find the long run relationship between inflation volatility and the fiscal variables while the …
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The relationship between derivatives, portfolio flows and economic growth: Evidence from South Africa
… portfolio inflows and economic growth. A vector error correction model was used in addition to conducting Granger causality, impulse response functions and variance decomposition tests to analyse the relationship between the factors of interest. The efficiency of the model was established using …
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