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Showing 1 to 20 of 64 for “"VECM"”.
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Determinants of GDP: A VECM Forecasting and Granger Causality Analysis for Eight European Countries
… variables, the analysis is performed within a VECM framework, that models each country individually as a closed economy, and then as an open economy. The estimated variables are then used to provide out-of-sample short horizon forecasts of GDP, which are compared to actual GDP data. The results …
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The Impact of External Shocks on Nigeria’s GDP Performance within the Context of the Global Financial Crisis
… and implementation. The multivariate VAR and VECM frameworks were used to evaluate the impact of the shock variables on Nigeria’s output performance and to achieve the stated objectives. Findings show that the external shock and domestic policy variables have short-run effects on Nigeria’s …
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Understanding the price of DDGS
… is found and a Vector Error Correction model (VECM). Additionally, weak exogeneity testing shows that corn is weakly exogenous. The cause of this finding may be differences in the ease of storing the three commodities. Granger causality gives insight into the direction of causality between the …
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Three essays about the evolution and relation of SAARC countries’ agricultural production
… Pakistan, using vector error correction model (VECM) and Markov-switching VECM model (MS-VECM). This section used the same data set which is used in Essay 1. The empirical results confirm the existence of two long-term cointegrating vectors between the variables under consideration and …
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Dynamic econometric modeling of the U.S. wheat grain market
… model without seasonal cointegration (VECM), a VECM with seasonal cointegration (SVECM), a DSEM with cointegration (CDSEM), and a DSEM with seasonal cointegration (SCDSEM). The conclusions may be summarized as follows. First, quarterly data in the U.S. wheat market (1975:03-1999:04) …
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An assessment of the role of real exchange rate on economic growth in South Africa (1994-2015)
… test, Vector Error Correction Model (VECM) approach for the long-run relationship were conducted. Impulse Response Function (IRF) and Variance Decomposition (VD) were also conducted to explain the response to shock amongst variables and how much of the forecasting error variance is …
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Predictability of the Dollar- Rand exchange rate using Taylor Rule fundamentals and commodity Prices.
… a Johansen Vector Error Correction Model (VECM) and a Random walk approach. The results from the Root Mean Squared Error (RMSE) show that the Random walk model outperforms both the Taylor rule and VECM models. This brings us to the conclusion that although commodity prices and interest …
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An examination of the effects of government spending on interest rates and trade balance in Namibia
… technique and Vector Error Correction Model (VECM) were employed for the analysis. As a precondition, the time series data used in the study were tested for stationarity using ADF, PP, and KPSS unit roots tests. The assessment found government spending and trade balance data with integrated of …
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The contribution of Foreign Direct Investment (FDI) to domestic employment levels in South Africa: a Vector Autoregressive Approach
… Vector Error Correction Mechanism (VAR/VECM) approach to conduct empirical analysis. However, the study also employed single equation estimation techniques, including the Ordinary Least Squares (OLS), Fully Modified Ordinary Least Squares (FMOLS), Dynamic Ordinary Least Squares (DOLS) …
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Analysing the Relationship between Banking Development and Economic Growth: Time Series Evidence from Namibia
… the period 1991 to 2018, engaging the VAR/VECM framework in order to determine the presence of a long-run and short-run association. In addition, this study engaged the Granger causality methodology in order to determine the casual association between banking development and economic …
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Inflation targeting y pass-through en Am ́erica Latina
… de cambio nominal. Mediante una estimación por VECM y tomando los casos de Chile, México y Perú se presta evidencia de que existió una baja en los niveles de pass through luego de aplicadas estas políticas monetarias.
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An econometric analysis of the forward freight market
… vector is restricted to be the lagged basis, the VECM generates more accurate forecasts than the VAR model and in the routes where the cointegrating vector is not restricted to be the lagged basis the VAR generates more accurate forecasts than the VECM model.
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Dynamic relationships between sectoral electricity consumption, economic growth and electricity prices in South Africa
… March 2015 using monthly data. According to VECM results in the long run electricity supply affect the retail sector, while in the case of mining and wholesale sectors, growth in these sector puts upward pressure on electricity supply. In the long run manufacturing sector is not affected by …
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The impact of Brazil on global grain dynamics: A study on cross-market volatility spillovers
… proceed with the adequate modeling (VAR or VECM) and use the residuals of these models to estimate a BEKK GARCH and relative volatility spillovers across two time periods, before and after Brazil started double-cropping. Our results indicate no significant cointegration between corn and …
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The dynamic effect of macroeconomic factors on housing prices: Evidence from South Africa
… 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 and macroeconomic …
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The relationship between derivatives, portfolio flows and economic growth: Evidence from South Africa
… the overall significance of the model. The VECM results find a positive short- and long-run relationship between portfolio flows, derivatives trading and economic growth in South Africa. The Granger causality tests, impulse response analysis and variance decompositions find a short-run …
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Bank lending and monetary policy transmission in Germany
… guide, we apply a vector error correction model (VECM), in which we identify long-run cointegration relationships that can be interpreted as loan supply and loan demand equations. In this way, the identification problem inherent in reduced form approaches based on aggregate data is explicitly …
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The Short-term and Long-term Relationship between Public Sentiment and Insurgency Violence in 3 Southern Provinces of Thailand
… Model (VAR) and Vector Error Correction Model (VECM), and empirical system dynamics analysis, namely Convergent CrossMapping (CCM). The results show that the relationship between public sentiment and the insurgency violence are not empirically supported by all three analysis. The political …
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Bimonetarismo y Demanda de Dinero en Argentina: el rol de las Expectativas de Devaluación y la efectividad de la Tasa de Interés
… A través de un modelo de corrección de errores (VECM) y un modelo de regresión con umbrales endógenos (Hansen, 2000), se analiza el impacto de las expectativas de devaluación y del nivel de reservas internacionales sobre la estabilidad monetaria. Los resultados empíricos muestran que existe un …
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Non-Bank Financial Institutions and Economic Growth in South Africa
… and Vector Error Correction Models (VECM) are employed to assess causal and equilibrium relationships between NBFI activity and real GDP growth. The empirical findings reveal a statistically significant and positive long-run association, confirming NBFIs’ complementary role in …
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