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 8 of 8 for “"vector error correction models"”.
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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
… is a basic component not only for economic models, but also for many business decisions. Nevertheless it is difficult to produce accurate predictions in times of economic crises, which cause nonlinear effects in the data. In this dissertation a nonlinear model for analysis of time series …
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Modeling Food Commodity Prices and Market Dynamics
… Transition Autoregressive and Smooth Transition Vector Error Correction models), the analysis uncovers asymmetric effects of ENSO shocks. A ±1.5°C deviation in ENSO-related temperatures generates price shifts of 10–20 percent. Warmer El Niño phases tend to depress prices, while cooler La Niña …
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Empirical Analysis of China’s Exchange Rate and Macroeconomic Policy
… results are compared between the recursive vector autoregressive and vector error correction models. An appreciation of the yuan is estimated to suppress inflationary pressure at various stages along the distribution chain in the domestic market. By incorporating the long-run information, …
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Economic linkages between Australian REITs and the commerical real estate market
… and economic variables. Cointegration tests and Vector Error Correction Models are estimated to establish the long-run relationships of property and A-REIT prices and how returns adjust in the short-run. The main empirical results from this study reveal that stapled AREITs are consistent …
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The Impact of Oil Revenue on the Iranian Economy
… methods and proxies were used, a total of eight models were estimated. Interestingly, when PRIVY is used as an index of financial development, the result of the study changes and oil no longer has a significant impact on the economy. However, this can be translated to an inefficient allocation of …
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An Investigation of the Macroeconomic and Monetary Effects of Dollarization in Eritrea
… or produces inflation in the Eritrean economy, Vector Error Correction Models together with Dynamic Ordinary Least Squares (DOLS) are employed. The results indicate that inflation increases as a result of an increase in dollarization. This applies regardless of whether official or black market …
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Dynamic econometric modeling of the U.S. wheat grain market
Structural-time series models have not gained much ground in commodity market modeling despite the overwhelming popularity of time series approaches in forecasting and dynamic analyses. This dissertation contributes by applying developments in seasonal cointegration and structural-time series …