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 34 for “"Vector Error Correction model (VECM)"”.
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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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Bank lending and monetary policy transmission in Germany
… loan data. We base our analysis on a stylized model of the banking firm, which specifies the loan supply decisions of banks in the light of expectations about the future course of monetary policy. Using the model as a guide, we apply a vector error correction model (VECM), in which we identify …
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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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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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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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Predictability of the Dollar- Rand exchange rate using Taylor Rule fundamentals and commodity Prices.
… 1980-2016. The paper estimated three forecasting models, namely, the augmented Taylor rule specification, 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 …
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Impact of Trade Liberalisation on Economic Growth: South Africa's automotive perspective
… and economic growth. The study uses the Vector Error Correction Model (VECM) to examine the relationship between trade liberalisation and economic growth. Time series data from Q1 1992 to Q4 2021 is used for the study to reshape conventional theories and inspire further research. The …
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Analysis of multidimensional poverty in South Africa
… insights with quantitative analysis through the Vector Error Correction Model (VECM) and supporting diagnostic tests. The most significant finding is that unemployment, school enrolment, real interest rates, and net personal wealth are the most influential drivers of poverty. These results …
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Financial Development and Poverty Reduction in South Africa
… in South Africa. The research employed the Vector Error Correction Model (VECM) technique based on annual data from 1980 to 2019. Using the financial depth indicator as a measure of financial development and household final consumption expenditure per capita growth, income per capita and …
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Three essays about the evolution and relation of SAARC countries’ agricultural production
… agricultural economy. The unobserved components model is used to decompose the per capita agricultural production of each country, and investigate the relationship of each component among these countries. The time period for the study is 1961–2010, and the FAO’s statistical data set is used. The …
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An examination of the effects of government spending on interest rates and trade balance in Namibia
… 2018. An ARDL bounds cointegration 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 …
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Impact of the global financial crisis and its implications for the Zambian banking sector: an econometric study
… effects, in times of a financial crisis. A Vector Error Correction Model (VECM) is estimated using commonly identified macroeconomic and banking sector indicators from selected Anglophonic African countries that were affected by the crisis at the time. The selected variables include, Return …
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The fundamental determinants of the South African real exchange rate from 1995 to 2014
… South African rand using Johansen's method and a Vector Error Correction Model (VECM). The results of the research show that five fundamental variables drove the RER for the 20 years from 1995 to 2014 mainly commodity prices, interest rate differential, net foreign assets, terms of trade, openness …
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The impact of domestic debt on economic growth in Zambia
… to 2018. The analysis was conducted using the Vector Error Correction model (VECM) and causality time series techniques. The results indicate that increased domestic borrowing led to a decline in Zambia's economic growth. Precisely, it was discovered that a 1% increase domestic debt resulted to …
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Monetary Policy in a Low Exchange Rate Pass-Through Environment: The case of Botswana
… Dynamic Stochastic General Equilibrium (DSGE) model, to examine monetary policy conduct and the extent of exchange rate pass-through in Botswana. Thus, I apply a three-step procedure. In the first step, I estimate the degree of exchange rate pass-through to Consumer Price Index (CPI) and import …
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An empirical analysis of Malaysian housing market: switching and non-switching models
… from a simple multivariate liner regression model (OLS) to more sophisticated models such as Vector Error Correction Model (VECM), Vector AutoRegression (VAR), regime-switching (Markov-Switching),GARCH model and MS-GARCH, our result suggests that a semi-rational bubble does exist in the …
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Capital flight and the role of exchange rates in Nigeria, South Africa and Zambia
… of a long run relationship and estimate a Vector Error Correction Model (VECM) to determine the short run dynamics. Our granger causality test results suggest that the direction of causality between capital flight and the real exchange rate only holds in the period under analysis and …
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