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Showing 1 to 20 of 91 for “"Vector Error Correction"”.
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Estimating elasticities of demand and supply for South African manufactured exports using a vector error correction model
… exports are estimated using the 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 …
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The Effect of Foreign Exchange Accumulation on Macroeconomic Stability in Post-Liberalized South Africa
… South 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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Female labour force participation and economic growth in South Africa
… growth. This study adopted the 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 …
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Biodiesel profitability and linkages to the soybean oil market
… testing including Johansen Trace test and a vector error correction model and the Kejriwal and Perron test. We find that under certain policy conditions our hypothesis holds but not throughout the sample studied.
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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
… the 2000Q1-2019Q4 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 …
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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 …
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Bank lending and monetary policy transmission in Germany
… policy. Using the model as a 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 …
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The Short-term and Long-term Relationship between Public Sentiment and Insurgency Violence in 3 Southern Provinces of Thailand
… multivariate time-series analysis, namely Vector Autoregressive 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 …
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Understanding the price of DDGS
… between the three price series 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 …
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Non-Bank Financial Institutions and Economic Growth in South Africa
… from 1994 to 2023, Johansen cointegration 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 …
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Autoregressive Neural Network Processes - Univariate, Multivariate and Cointegrated Models with Application to the German Automobile Industry
… Neural Network Processes (AR-NN) as well as Vector Autoregressive Neural Network Processes (VAR-NN) and Neural Network Vector Error Correction Models (NN-VEC) are introduced. Various methods for variable selection, parameter estimation and inference are discussed. AR-NN's as well as a NN-VEC …
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China's success in FDI: Why South Africa can learn from it
… alternative approach that focuses on finding a Vector Error Correction Model with similar macroeconomic determinants of FDI for South Africa and for China. For both countries, larger market size and more advanced technology have a positive effect on FDI inflows, whereas higher labour cost …
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Time series analysis of the lead-lag relationship of freight futures and spot market prices
… correlation coefficients. In the third method, a Vector Error Correction model was created for each pair of time series in order to test the influence of the one series to the other. Finally, we present a brief comparison between the volatility of the freight rates and the trading value of freight …
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The Causal Relationship between Financial Development and Economic Growth in Tanzania 1980-2010
… variables, the study employs a cointegration and vector error correction model (VECM) technique. Granger causality test was applied to the variables to test for the direction of causation between variables. The study uses annually data for the period of 1980 to 2010. Economic growth is proxied by …
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Efeitos dos impostos diretos e indiretos sobre a renda disponível dos agentes econômicos brasileiros: uma análise do período 1995-2012
… the Real Plan. To meet this goal we used the vector error correction model (VEC), since the variables are cointegrated and exhibit stationarity in the first difference. The basis of quarterly data collected in the database IPEADATA was used, with time interval 1995 to 2012. The results suggest …
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Government expenditure variables and economic growth in Zambia
… growth between 2001Q1 and 2014Q4 using the vector error correction model. The study found that only expenditure on transport and gross fixed capital formation had a significant positive impact on economic growth in the short-run. In the long-run, only expenditures on transport and education …
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An analysis of economic growth, energy consumption and carbon emissions:the case of Zambia
… study employs Johansen cointegration technique, Vector error correction model (VECM), error correction-based granger causality and variance decomposition (VDC) to determine cointegration and direction of causality among the three variables. The overall results show that energy consumption is …
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An analysis of economic growth, energy consumption and carbon emissions:the case of Zambia
… study employs Johansen cointegration technique, Vector error correction model (VECM), error correction-based granger causality and variance decomposition (VDC) to determine cointegration and direction of causality among the three variables. The overall results show that energy consumption is …
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An assessment of the role of real exchange rate on economic growth in South Africa (1994-2015)
… tests for stationarity, cointegration 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 …
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