Academic literature on the topic 'Autoregressive Distributed Lag Model (ARDL)'
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Journal articles on the topic "Autoregressive Distributed Lag Model (ARDL)"
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Chikri, Hassan, Adil Moghar, Manar Kassou, and Faris Hamza. "New evidence from NARDL model on CO2 emissions: Case of Morocco." E3S Web of Conferences 234 (2021): 00026. http://dx.doi.org/10.1051/e3sconf/202123400026.
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The main objective of this study is to examine the effect of sickle energy consumption, renewable energy, and forest area on the emission of carbon dioxide (CO2) in Morocco. Many studies have abord this subject using a different approachs, most of which have used econometric models such as Vector Autoregressive (VAR) Error Correction Model (ECM) and Autoregressive Distributed Lag (ARDL). In this study, we opted for the Non-linear Autoregressive Distributed Lag (NARDL) model. The data used covers the period from 1990 to 2018 (annual data). The results of our model are significant and prove the asymmetric effects of the explanatory variables on CO2 emissions.
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Ningrum, Dewi Kusuma, and Sugiyarto Surono. "Comparison the Error Rate of Autoregressive Distributed Lag (ARDL) and Vector Autoregressive (VAR) (Case study: Forecast of Export Quantities in DIY)." JURNAL EKSAKTA 18, no. 2 (September 27, 2018): 167–77. http://dx.doi.org/10.20885/eksakta.vol18.iss2.art8.
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Forecasting is estimating the size or number of something in the future. Regression model that enters current independent variable value, and lagged value is called distributed-lag model, if it enters one or more lagged value, it is called autoregressive. Koyck method is used for dynamic model which the lagged length is unknown, for the known lagged length it is used the Almon method. Vector Autoregressive (VAR) is a method that explains every variable in the model depend on the lag movement from the variable itself and all the others variable. This research aimed to explain the application of Autoregressive distributed-lag model and Vector Autoregressive (VAR) method for the forecasting for export amount in DIY. It takes export amount in DIY and inflation data, kurs, and Indonesias foreign exchange reserve. Forecasting formation: defining Koyck and Almon distributed-lag dynamic model, then the best model is chosen and distribution-lag dynamic forecasting is performed. After that it is performed stationary test, co-integration test, optimal lag examination, granger causality test, parameter estimation, VAR model stability, and performs forecasting with VAR method. The forecasting result shows MAPE value from ARDL method obtained is 0.475812%, while MAPE value from VAR method is 0.464473%. Thus it can be concluded that Vector Autoregressive (VAR) method is more effective to be used in case study of export amount in DIY forecasting. Keywords: Koyck; Almon; Lag; Autoregressive Distributed-Lag; Vector Autoregressive;
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Ekananda, Mahjus, and T. Suryanto. "The Autoregressive Distributed Lag Model to Analyze Soybean Prices in Indonesia." MATEC Web of Conferences 150 (2018): 05035. http://dx.doi.org/10.1051/matecconf/201815005035.
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The main objective of this study was to observe factors that affecting domestic soybean prices, including government intervention through BULOG. By using Bound Testing Cointegration method with ARDL approach. In the short term the world soybean price variables in the t-period and exchange rate affect the domestic soybean prices positively and significantly. The variable volume of soybean imports, GDP, and the role of BULOG as sole importer in the t-period does not affect the domestic soybean price significantly. In the long run, the t-period import tariff has a negative and significant effect.
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Lee, Kyung-Hee and Kyung Soo Kim. "A Study on Estimating Tourism Elasticities using Autoregressive Distributed Lag(ARDL) model." Management & Information Systems Review 36, no. 2 (June 2017): 81–92. http://dx.doi.org/10.29214/damis.2017.36.2.005.
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AQIBAH, MAHMUDATUL, NI LUH PUTU SUCIPTAWATI, and I. WAYAN SUMARJAYA. "MODEL DINAMIS AUTOREGRESSIVE DISTRIBUTED LAG (STUDI KASUS: PENGARUH KURS DOLAR AMERIKA DAN INFLASI TERHADAP HARGA SAHAM TAHUN 2014-2018)." E-Jurnal Matematika 9, no. 4 (November 28, 2020): 240. http://dx.doi.org/10.24843/mtk.2020.v09.i04.p304.
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The aim of this research is to determine the dynamic model equation of autoregressive distributed lag by using koyck method, to find out the effect of log US dollar exchange rate and log inflation on log stock price in 20142018, and to forecast value of log stock price on January 2019August 2019. The data used in 20142018. The data was transformed into logarithm format. Time series plot of log US dollar exchange rate, log inflation, and log stock price suggest that the fluctuation in the data, for instance, both upward and downward trends, during the period. We obtained that the Koyck transformation could changed the lag distribution model into autoregressive distributed lag (ARDL) dynamic model. Furthermore, the log of US dollar exchange rate and log inflation have negative effect on log stock price in particular period. We measured forecasting accuracy using mean absolute prediction error (MAPE) and concluded that ARDL forecasting using Koyck model shows a significant increase in stock price.
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My, Nguyen Quang, Mustafa Sayim, and Hamid Rahman. "The Impact of Exchange Rate on Market Fundamentals: A Case Study of J-curve Effect in Vietnam." Research in Applied Economics 9, no. 1 (March 30, 2017): 45. http://dx.doi.org/10.5296/rae.v9i1.11019.
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This study examines if there is an equilibrium relationship between gross domestic product (GDP), exchange rate fluctuation and trade balance in long-term and short-term in Vietnam. The results show that the short-term and long-term exchange rate fluctuations impact the trade balance in Vietnam; both ARDL (Autoregressive Distributed Lag) and ECM (Error Correction Model) methodologies implied that exchange rate has a statistically negatively impact on the trade balance. Particularly, Autoregressive distributed lag (ARDL) utilized to test the long -term impact, shows the trade balance deficit becomes worse when the REER (real effective exchange rate) increases. ECM (Error Correction Model) equation based on the long-term cointegration equation and impulse response, reveals that the domestic currency devaluation could not improve the trade balance, indicating that the J-curve effect does not hold on the dong, the currency of Vietnam.
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Zaretta, Bara, and Lenni Yovita. "HARGA SAHAM, NILAI TUKAR MATA UANG DAN TINGKAT SUKU BUNGA ACUAN DALAM MODEL AUTOREGRESSIVE DISTRIBUTED LAG (ARDL)." Jurnal Penelitan Ekonomi dan Bisnis 4, no. 1 (March 22, 2019): 9–22. http://dx.doi.org/10.33633/jpeb.v4i1.2318.
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Beberapa penelitian terdahulu telah banyak yang membuktikan adanya pengaruh antara nilai tukar Rupiah terhadap Dolar Amerika dan BI Rateterhadap IHSG. Namun dengan menggunakan pendekatan model Autoregressive Distributed Lag(ARDL) dalam penelitian ini lebih dalam lagi melihat dinamika hubungan jangka panjang maupun jangka pendek untuk variabel nilai tukar Rupiah terhadap Dolar Amerika, BI Ratedan IHSG. Untuk dapat menangkap dinamika tersebut diperlukan seleksi model ARDL terbaik dengan beberapa prosedur pengujian. Periode penelitian dimulai dari Juli 2005 sampai dengan Desember 2017, dimana dalam rentang waktu tersebut banyak terjadi pergolakan global yang memberikan dampak yang cukup besar terhadap Indonesia, salah satunya adalah pelemahan nilai tukar Rupiah terhadap Dolar Amerika. Mekanisme suku bunga acuan beberapa kali juga dipilih oleh Pemerintah Indonesia untuk menghadapi pergerakan nilai tukar Rupiah terhadap Dolar Amerika. Namun sebagaimana nilai tukar dan tingkat suku bunga acuan akan memberikan pengaruh kepada perekonomian secara keseluruhan dan terlebih lagi terhadap pasar modal yang juga merupakan indikator ekonomi suatu negara. Dalam penelitian ini, melalui model ARDL nilai tukar Rupiah terhadap Dolar Amerika, BI Ratedan IHSG terbukti memiliki kointegrasi jangka panjang atau bergerak bersama – sama dalam jangka panjang. Namun tidak hanya jangka panjang, ketiga variabel tersebut juga mempunyai dinamika hubungan jangka pendek yang mempunyai kecepatan penyesuaian menuju keseimbangan yang cukup tinggi perbulannya.Kata kunci : Nilai tukar, BI Rate, IHSG, Autoregressive Distributed Lag Model.
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Saâdaoui, Foued, and Othman Ben Messaoud. "Multiscaled Neural Autoregressive Distributed Lag: A New Empirical Mode Decomposition Model for Nonlinear Time Series Forecasting." International Journal of Neural Systems 30, no. 08 (June 26, 2020): 2050039. http://dx.doi.org/10.1142/s0129065720500392.
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Forecasting has always been the cornerstone of machine learning and statistics. Despite the great evolution of the time series theory, forecasters are still in the hunt for better models to make more accurate decisions. The huge advances in neural networks over the last years has led to the emergence of a new generation of effective models replacing classic econometric models. It is in this direction that we propose, in this paper, a new multiscaled Feedforward Neural Network (FNN), with the aim of forecasting multivariate time series. This new model, called Empirical Mode Decomposition (EMD)-based Neural ARDL, is inspired from the well-known Autoregressive Distributed Lag (ARDL) model being our proposal founded upon the concepts of nonlinearity, EMD-multiresolution and neural networks. These features give the model the ability to effectively capture many nonlinear patterns like the ones often present in econophysical time series, such as nonlinear trends, seasonal effects, long-range dependency, etc. The proposed algorithm can be summarized into the following four basic tasks: (i) EMD breaking-down multivariate time series into different resolution levels, (ii) feeding EMD components from the same levels into a number of feedforward neural ARDL models, (iii) from one level to the next, extrapolating the component corresponding to the response variable (scalar output) a number of steps ahead, and finally, (iv) recombining level-by-level forecasts into a single output. An optimal learning scheme is rigorously designed for efficiently training the new proposed architecture. The approach is finally tested and compared to a number of powerful benchmark models, where experiments are conducted on real-world data.
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Ayadi, Folorunso Sunday, Sunday Mlanga, Monday Isaac Ikpor, and Robert A. Nnachi. "Empirical Test of Pollution Haven Hypothesis in Nigeria Using Autoregressive Distributed Lag (Ardl) Model." Mediterranean Journal of Social Sciences 10, no. 3 (May 1, 2019): 48–58. http://dx.doi.org/10.2478/mjss-2019-0041.
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Abstract This study set out to investigate the reality or otherwise of the pollution haven hypothesis in Nigeria using data from 1970 to 2017 and using the autoregressive distributed lag (ARDL) models both in the short and long run. The study used FDI inflows as measure of economic activity and carbon dioxide emission as a measure of regulatory stringency. The study finds the previous FDI inflows as a significant determinant of current FDI both in the short and long run. This implies that the more FDI an economy attracts, the more potentials it has to further attract more FDI. Population, a measure of demand condition of the host economy is positively and significantly related to FDI inflows both in the short run and in the long run. Trade openness has a positively significant impact on FDI inflows in the long run, meaning that globalization encourages FDI inflows. A year lag of the FDI has a positively significant impact on FDI inflows in the long run. This suggest that pollution haven hypothesis which states that industries with polluting technologies tend to relocate to countries or areas (pollution havens) with lax or less stringent environmental regulations is a reality for Nigeria. The implication of this is that government of Nigeria must weigh the beneficial impact of FDI inflows against the pollution impact of ‘dirty’ FDI before deciding or setting its environmental policy.
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Al-Jafari, Mohamed Khaled, and Hatem Hatef Abdulkadhim Altaee. "Determinants of Inflation Sources in Iraq: An Application of Autoregressive Distributed Lag (ARDL) Model." Journal of Social Sciences Research, no. 52 (January 25, 2019): 381–88. http://dx.doi.org/10.32861/jssr.52.381.388.
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Most economists agree that the emergence of substantial inflationary pressure in Iraq was due to the monetary growth arising from large increase in the money supply by government to finance enormous budget deficit. This was true especially during the comprehensive sanction imposed on the country between 1990 till 2003. Others point out to exchange rate depreciations as another cause to inflation. Such controversy about the causes of inflation in Iraq has necessitated studying this phenomenon quantitatively. Our main contribution is to assess empirically the effects of money supply, exchange rate, and import on inflation in Iraq over the period 1995–2015. Using the ARDL bounds testing approach, we estimated the long-run effects of those variables on real inflation. In addition, we attempt to draw attention to the impact of changes in global prices on the phenomenon of inflation in Iraq. It is analyzed that money supply, exchange rate and import, changes inflation to 0.59, -0.85, and 0.11 percent points respectively by one percent rise in long-run. The Error Correction model with a negative sign remained statistically significant with the approximately 34% speed of adjustment to restore the equilibrium in the long-run, which was convergent quickly.
Dissertations / Theses on the topic "Autoregressive Distributed Lag Model (ARDL)"
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Torres, Luís Filipe Nunes Pardal Esteves. "Modelling the demand for military expenditure in Portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/6540.
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Mestrado em EconomiaThroughout history, countries from all over the world have devoted a considerable amount of resources to produce security. This evidence has motivated a growing number of studies that examine the determinants of the demand for military expenditure. Albeit the difficulty to develop a general theoretical framework and the inexistence of a standard empirical approach to model the demand for military expenditure, it is an important issue to understand which factors may influence the military expenditure demand function of a country. The aim of this dissertation is to find out the main variables affecting the Portuguese military expenditure taking into account a comprehensive set of economic, strategic and political determinants. For this goal, a military expenditures demand model is constructed for the period 1960–2010 employing the Autoregressive Distributed Lag (ARDL) bound testing cointegration approach. The results suggest that the Portuguese defence spending is determined by the country´s economic performance, allies‟ defence speeding and security considerations. As far as the domestic political environment is concerned, the dominant ideology of the party in power seems to be insignificant, while the transition to a democratic regime is considered a relevant determinant with a negative effect on the military expenditure.
Ao longo da história, países de todo o mundo têm empenhado uma quantidade considerável de recursos para produzir segurança. Esta constatação tem motivado um número crescente de estudos sobre as possíveis variáveis explicativas da despesa militar. Apesar da dificuldade em estabelecer um quadro teórico de referência e da inexistência de uma abordagem empírica padronizada para determinar a procura de despesa militar, revela-se importante compreender quais as variáveis que influenciam a despesa militar de um país. O objetivo deste trabalho é aferir quais as principais fatores que poderão determinar a despesa militar de Portugal, tendo em conta um amplo conjunto de variáveis de natureza económica, estratégica e política. A prossecução deste objetivo assenta na construção de uma equação de procura para a despesa militar portuguesa, para o período compreendido entre 1960 e 2010, através de um modelo uniequacional ARDL. Os resultados obtidos sugerem que a despesa militar em Portugal é determinada pelo desempenho económico, pelo gasto militar de países aliados e por considerações relativas à perceção das condições de segurança. No que respeita à influência do ambiente político, a ideologia dominante do partido em funções no Governo surge como não significante, ao passo que a transição para um regime democrático é considerada uma variável relevante, com um efeito negativo sobre as despesas militares.
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Sagir, Serhat. "Effects Of Monetary Policy On Banking Interest Rates: Interest Rate Pass-through In Turkey." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613717/index.pdf.
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In this study, the effects of CBRT monetary policy decisions on the consumer, automobile, housing and commercial loans of the banks during the period from the early of 2004 to the middle of 2011 are examined. In order to perform this study, it is benefited from weekly weighted average loan interest rate data of the banks, which is the data having the highest frequency that could be obtained from the electronic data distribution system of CBRT.
Monetary policy instruments of Central Bank may change in the course of time or monetary policy could be executed by more than one instrument. Therefore, as the political interest rate would be insufficient in the calculation of the effect of monetary policy on loan interest rates of the banks, Government Dept Securities&rsquopremiums are used instead of the political interest rates in this study to make it reflect the policies of central bank more clearly as a whole. Among the Government Dept Securities that have different maturity structure, benchmark bonds that are adapted to the expected political interest rate changes and that react to the unexpected interest rate changes at the high rate (reaction coefficient 0.983) are used. In order to weight the cointegration relation between interest rates, unrestricted error correction model is established and it is determined by Bound Test that there is a long-term relation between each interest rate and interest rate of benchmark bond. After a cointegration relation is determined among the serials, autoregressive distributed lag model is used to determine the level of transitivity and it is determined that monetary policy decisions affect the banking interest rate at 77% level and by 13 weeks delay on average.
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Ferdi, Fouad. "Dynamique macroéconomique des firmes financiarisées." Thesis, Sorbonne Paris Cité, 2019. http://www.theses.fr/2019USPCD006.
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La question principale de ce travail de recherche est de déterminer le type du régime de croissance économique des pays dits « avancés ». Pour ce faire, j’étudie le schéma d’accumulation du capital au travers du comportement d’investissement des entreprises non financières, afin d’en établir les conséquences en termes de stabilité économique. Je défends l'idée d'une instauration depuis les années 1980 d'un régime de croissance basé, entre autres, sur le capital intangible et financier, dont j'étudie les caractéristiques et les conséquences sur l'économie. A partir de cette hypothèse, je propose de réviser la théorie du profit d’Adrian Wood (1975) à l’aune de ces transformations institutionnelles récentes, afin d’éclairer les dynamiques méso économiques d’accumulation de capital au sein des grandes firmes multinationales. Cette nouvelle vision de la firme financiarisée et mondialisée, est ensuite confrontée à la théorie d’instabilité financière de Hyman Minsky afin d’apporter des éléments de réponse à la problématique de départ. La croissance induite par ces nouveaux comportements d’investissement et de financement peut-elle s’inscrire dans l’approche minskyenne d’une croissance intrinsèquement instable ? La démarche consiste à établir un lien entre, d’une part, les stratégies d’accumulation du capital global (fixe, financier et intangible) et le levier d’endettement des entreprises avec, d’autre part, les conséquences macroéconomiques de la dynamique d’endettement sur la croissance globaleThe main goal of this thesis was to determine the macroeconomic growth regime of advanced economies. Hence, I addressed the non-financial corporation’s capital accumulation schemes in order to establish their macrodynamics as regard to stability issues. It has been argued that the financialization phenomenon has deeply transformed the growth path by changing NFCs’ habits of investment. Following two major institutional mutations, big multinational firms adapted their investment funding process according to the transformation of the international financial system. They increasingly engaged into financial activities to guaranty a better access to capital next to a better short-run profitability for the sake of shareholders’ value maximization. Their financial holding entities, acting as cash hubs, invested in the excess securities resulting from banks’ new paradigm in dealing with debt, i.e. “generate and distribute”. From another stand, another institutional change affected the production process towards the paradigm of “downsize and distribute”. At the end of the day, to stand steady over these two mutating legs (namely production and its funding) NFCs had to keep control over both. From one side, they engaged into intangibles to lead the global value chain and control production, and from the other, into financial investment to optimize their funding capacity
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Laniran, Temitope J. "Impact of state fragility on capital flows and economic growth in Nigeria." Thesis, University of Bradford, 2018. http://hdl.handle.net/10454/17218.
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This thesis aims to investigate the impact of state fragility on capital inflows and economic growth in Nigeria over the period 1980-2015. In line with existing studies, it adopts an augmented neoclassical growth model where capital is divided into domestic and foreign capital inflows (FDI, ODA and Remittances). Using an autoregressive distributed lag (ARDL) bounds testing approach to co-integration, significant long-run relationship was confirmed between state fragility, capital flows and economic growth. The results reveal domestic capital to be very significant and contribute positively to economic growth. Similarly it was observed that remittances remain a very crucial form of capital flow to Nigeria and that the presence of state fragility makes it more significant. For ODA a positive contribution to economic growth was observed, however, the presence of state fragility renders it insignificant. In the case of FDI, the study found a negative relationship between FDI and economic growth albeit insignificant. However, the presence of state fragility makes it significant but still negative. A negative relationship was also observed between state fragility and economic growth. These findings, implies that while the issue of state fragility needs to be addressed and concerted efforts put into building state resilience, not just for the direct impact of state fragility on the economy, but also its impact on the economy through other channels such as capital flows.
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Bakin, Bilge. "The Causal Relationships Among Economic Growth, Foreign Direct Investment And Financial Sector Development In East Asian Countries: An Ardl Approach." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613256/index.pdf.
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The main purpose of the study is to examine the cointegration relationships among economic growth, foreign direct investment and financial sector development in 4 East Asian countries, namely Korea, Malaysia, the Philippines and Thailand between the years 1971-2008 by autoregressive distributed lag (ARDL) approach.
In the existing literature, there is no study examining the causal relationships among economic growth, foreign direct investment and financial sector development by applying ARDL methodology for these East Asian countries. The contribution of this study to the literature, the cointegration relationships are constructed to observe the direct linkage among these variables by ARDL approach. If cointegration relationships exist among these variables, then the effect of each regressor on the dependent variable is also investigated. The results of the study indicate that foreign direct investment and financial sector development could be long run forcing variables of economic growth. Additionally, economic growth and financial sector development could be long run forcing variables of foreign direct investment. However, there is not sufficient evidence that economic growth and foreign direct investment together are long run key determinants of financial sector development in a country as obtained in this study.
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Louw, Riëtte. "Forecasting tourism demand for South Africa / Louw R." Thesis, North-West University, 2011. http://hdl.handle.net/10394/7607.
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Tourism is currently the third largest industry within South Africa. Many African countries, including
South Africa, have the potential to achieve increased economic growth and development with the aid of
the tourism sector. As tourism is a great earner of foreign exchange and also creates employment
opportunities, especially low–skilled employment, it is identified as a sector that can aid developing
countries to increase economic growth and development. Accurate forecasting of tourism demand is
important due to the perishable nature of tourism products and services. Little research on forecasting
tourism demand in South Africa can be found. The aim of this study is to forecast tourism demand
(international tourist arrivals) to South Africa by making use of different causal models and to compare
the forecasting accuracy of the causal models used. Accurate forecasts of tourism demand may assist
policy–makers and business concerns with decisions regarding future investment and employment.
An overview of South African tourism trends indicates that although domestic arrivals surpass foreign
arrivals in terms of volume, foreign arrivals spend more in South Africa than domestic tourists. It was
also established that tourist arrivals from Africa (including the Middle East), form the largest market of
international tourist arrivals to South Africa. Africa is, however, not included in the empirical analysis
mainly due to data limitations. All the other markets namely Asia, Australasia, Europe, North America,
South America and the United Kingdom are included as origin markets for the empirical analysis and
this study therefore focuses on intercontinental tourism demand for South Africa.
A review of the literature identified several determinants of tourist arrivals, including income, relative
prices, transport cost, climate, supply–side factors, health risks, political stability as well as terrorism
and crime. Most researchers used tourist arrivals/departures or tourist spending/receipts as dependent
variables in empirical tourism demand studies.
The first approach used to forecast tourism demand is a single equation approach, more specifically an
Autoregressive Distributed Lag Model. This relationship between the explanatory variables and the
dependent variable was then used to ex post forecast tourism demand for South Africa from the six
markets identified earlier. Secondly, a system of equation approach, more specifically a Vector
Autoregressive Model and Vector Error Correction Model were estimated for each of the identified six
markets. An impulse response analysis was undertaken to determine the effect of shocks in the
explanatory variables on tourism demand using the Vector Error Correction Model. It was established that it takes on average three years for the effect on tourism demand to disappear. A variance
decomposition analysis was also done using the Vector Error Correction Model to determine how each
variable affects the percentage forecast variance of a certain variable. It was found that income plays an
important role in explaining the percentage forecast variance of almost every variable. The Vector
Autoregressive Model was used to estimate the short–run relationship between the variables and to ex
post forecast tourism demand to South Africa from the six identified markets.
The results showed that enhanced marketing can be done in origin markets with a growing GDP in
order to attract more arrivals from those areas due to the high elasticity of the real GDP per capita in the
long run and its positive impact on tourist arrivals. It is mainly up to the origin countries to increase
their income per capita. Focussing on infrastructure development and maintenance could contribute to
an increase in future tourist arrivals. It is evident that arrivals from Europe might have a negative
relationship with the number of hotel rooms available since tourists from this region might prefer
accommodation with a safari atmosphere such as bush lodges. Investment in such accommodation
facilities and the marketing of such facilities to Europeans may contribute to an increase in arrivals from
Europe. The real exchange rate also plays a role in the price competitiveness of the destination country.
Therefore, in order for South Africa to be more price competitive, inflation rate control can be a way to
increase price competitiveness rather than to have a fixed exchange rate.
Forecasting accuracy was tested by estimating the Mean Absolute Percentage Error, Root Mean Square
Error and Theil’s U of each model. A Seasonal Autoregressive Integrated Moving Average (SARIMA)
model was estimated for each origin market as a benchmark model to determine forecasting accuracy
against this univariate time series approach. The results showed that the Seasonal Autoregressive
Integrated Moving Average model achieved more accurate predictions whereas the Vector
Autoregressive model forecasts were more accurate than the Autoregressive Distributed Lag Model
forecasts. Policy–makers can use both the SARIMA and VAR model, which may generate more
accurate forecast results in order to provide better policy recommendations.Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2011.
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Erdem, Fatma Pinar. "Business Cycles In Emerging Economies." Phd thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613853/index.pdf.
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Until very recently, most emerging market economies have achieved higher growth rates for the last decade. It is controversial whether this good economic environment
is due to domestic reforms or due to favorable external factors. In this framework, the main aim of this study is to investigate the structure and sources of business cycles in emerging market economies and to determine how these cycles differ than
those in developed countries. The role of external and domestic factors on business cycles are analyzed by applying not only the conventional panel data estimations but also common correlated effects panel mean group method which is introduced by Peseran (2006). Besides, the convergence of business cycles in emerging market economies to the business cycles in developed countries is discussed based on factor analysis. The major results indicate the common global factors are the leading source of the business cycles both in emerging market economies and developed countries. However, domestic determinants of fluctuations differ across two groups of countries. In addition, results show that in the last two decades fluctuations in emerging market economies have started to be more dependent on the fluctuations in developed countries.
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Král, Ondřej. "Phillipsova křivka z pohledu analýzy časových řad v České republice a Německu." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-360701.
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Government fiscal and monetary policy has long been based on the theory that was neither proven nor refuted since its origination. The original form of the Phillips curve has undergone significant modifications but its relevance remains questionable. This thesis examines the correlation between inflation and unemployment observed in the Czech Republic and Germany over the last twenty years. The validity of the theory is tested by advanced methods of time series analysis in the R environment. All the variables are gradually tested which results in the assessment of the correlation between the time series. The outcome of the testing is presented for both countries and a comparison at international level is drawn. Is is discovered that both of the countries have dependencies in their data. Czech republic has significant dependency in both ways, for Germany is the dependency significantly weaker and only in one way.
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Kang, Shin-jae. "Korea's export performance : three empirical essays." Diss., Manhattan, Kan. : Kansas State University, 2008. http://hdl.handle.net/2097/767.
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Chiliba, Laston. "A re-examination of the exchange rate overshooting hypothesis: evidence from Zambia." Thesis, 2014. http://hdl.handle.net/10539/15273.
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Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2014.Dornbusch’s exchange rate overshooting hypothesis has guided monetary policy conduct for many years though empirical evidence on its validity is mixed. This study re-examines the validity of the overshooting hypothesis by using the autoregressive distributed lag (ARDL) procedure. Specifically, the study investigates whether the overshooting hypothesis holds for the United States Dollar/Zambian Kwacha (USD-ZMK) exchange rate. In addition, the study tests if there is a long-run equilibrium relationship between the USD-ZMK exchange rate and the macroeconomic fundamentals (money supply, real Gross Domestic Product (GDP), interest rates and inflation rates). The study uses monthly nominal USD/ZMK exchange rates and monetary fundamentals data from January 2000 to December 2012. The study finds no evidence of exchange rate overshooting. The result also show that there is no long run equilibrium relationship between the exchange rate and the differentials of macroeconomic fundamentals. The implication is that macroeconomic fundamentals are insignificant in determining the exchange rate fluctuations in the long run. This finding is inconsistent with the monetary model of exchange rate determination, which asserts that there is a long-run relationship between the exchange rate and macroeconomic fundamentals.
Book chapters on the topic "Autoregressive Distributed Lag Model (ARDL)"
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Rahmouni, Abdelwahab, Mohamed Meddi, and Hafsa Karahaçane. "Modeling and Forcasting of Surface Runoff in the Beni Bahdel Dam: Using ARDL Model (Autoregressive Distributed Lag)." In Recent Advances in Environmental Science from the Euro-Mediterranean and Surrounding Regions, 823–24. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-70548-4_241.
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Phong, Le Hoang, Ho Hoang Gia Bao, and Dang Thi Bach Van. "Testing J-Curve Phenomenon in Vietnam: An Autoregressive Distributed Lag (ARDL) Approach." In Econometrics for Financial Applications, 491–503. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-73150-6_39.
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Ari, Yakup. "The Impact of USD-TRY Forex Rate Volatility on Imports to Turkey from Central Asia." In Economic, Educational, and Touristic Development in Asia, 70–89. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-2239-4.ch004.
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The purpose of this study is to put out the impact of volatility of the USD-TRY forex rate on imports to Turkey from Central Asia. The volatility of the USD/TRY exchange rate is analysed with a conditional variance model which is Generalised Autoregressive Conditional Heteroscedastic (GARCH) model and its extensions. The other section of the methodology is an application of Autoregressive Distributed Lag (ARDL) bounds test which is an efficient approach to determine the cointegration, long-term and short-term relations between macroeconomic variables. The exponential GARCH volatility of the exchange rate and the monthly trade data between the years 2005 and 2018 are used in the ARDL bounds test.
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Oluwasogo Sunday Adediran and Philip O. Alege. "Autoregressive Distributed Lag Approach to External Credit and Economic Growth in Nigeria." In Applied Econometric Analysis, 41–59. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-1093-3.ch003.
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The need for increasing external credit flows to boost economic activity has exposed Nigeria to the negative effects of external structural changes. Therefore, an important question of concern in this study is, how does the Nigerian economy grow when there is a decline in external credit? This study attempted to answer this question by comparing the flow of external credit to economic activities. This is a distinction from previous studies that had compared stock of external credit to economic activities. Using annual data covering 36 years for the period 1980-2016, the study adopted the neoclassical growth model and estimated the model using the Autoregressive Distributed Lag (ARDL) approach. The study argued that, to the extent that expenditure is credit financed, GDP should be a function of credit flow, which is new borrowing.
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Khai, Huynh Viet, Le Minh Sang, and Phan Thi Anh Nguyet. "Analyzing the Impact of Oil Price Fluctuations on Vietnam Stock Market." In Globalization and Trade Integration in Developing Countries, 229–45. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-4032-8.ch010.
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This chapter covers a study that was conducted to find out the impact of crude oil prices on the Vietnam stock market in the period from March 2006 to June 2015 by using the autoregressive-distributed lag (ARDL) model with dummy variables of the economic crisis. The results revealed that the crude oil prices had positive impacts on VN-Index and HNX-Index in short-run, but negatively in long-run. In addition, the study also found that the economic crisis has affected the relationship between the crude oil prices and the stock market index in the short-run. During the crisis period, the crude oil prices related to the VN-Index and HNX-index more closely than the other stages. However, in the long-run the relationship between oil prices and stock market index was not affected by the economic crisis.
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Hailu, Suadiq Mehammed, and Abdela Yasin Saliya. "The Impact of Devaluation on Balance of Trade." In International Trade Policies in the Era of Globalization, 259–82. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-5225-9566-3.ch012.
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The aim of this chapter is to investigate the short and long-run impact of devaluation of the trade balance of Ethiopia. Devaluation has been used as a measure to improve trade balance. The data was collected from the World Bank for the years 1990 to 2017 and analyzed by applying an Autoregressive Distributed Lag (ARDL) approach and an Error Correction Model (ECM). The empirical findings show that the long run Real Effective Exchange Rate (REER) significantly and negatively correlated with the trade balance. The error correction coefficient which shows the adjustment of disequilibrium in the subsequent year is also significant. The empirical result indicated that devaluation of the Birr can improve the trade balance of Ethiopia. However, in reality, the trade balance of Ethiopia is not improved through a consecutive Birr devaluation. This may be resulted from the non-responsiveness of import to devaluation of the Birr, shortage of import substitute domestic products and the dependency of exports on primary agriculture products.
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Bhattacharyya, Rajib. "Relationship Between Military Expenditure, Economic Growth, and Social Expenditure in India, China, and Bangladesh." In Handbook of Research on Military Expenditure on Economic and Political Resources, 285–306. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-4778-5.ch016.
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One of the most debated phenomena of recent times in the global scenario is whether there really exists a true opportunity cost of a sequential increase in global military expenditure across the world. The existing literature on the relationship between military expenditure and economic growth confirms that three kinds of linkages may be plausible: positive, negative, and no significant linkages. The chapter focuses on contradictions and conflicts between military expenditure and social expenditure such as health and education. The chapter also attempts to examine both the long-run and short-run relationship between defense expenditure (DE), health expenditure (HE), educational expenditure (EE), and economic growth (changes in GDP). Here the autoregressive distributed lag approach (ARDL) and error correction model (ECM) technique have been applied to examine the long- and short-run causality among the variables. The study observes that there exists no significant long-term relationship between economic growth, defense expenditure, health expenditure, and educational expenditure in India and China, but Bangladesh does have one.
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Kayiska Chavula, Hopestone. "Will Malawi’s Inflation Continue Declining?" In Linear and Non-Linear Financial Econometrics -Theory and Practice. IntechOpen, 2021. http://dx.doi.org/10.5772/intechopen.91764.
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The main objective of this chapter is to examine and determine the main factors that have driven inflation rate in Malawi since 2001, with a special focus on the period 2013–2019, during which inflation rate has continuously declined reaching 9% in 2019, from 36% in 2013. The chapter also tries to assess whether this decline will continue as per the performance of the underlying economic fundamentals both in the short- and the long-run. The study employs the autoregressive distributed lag (ARDL) model framework to examine the drivers of inflation both in the short- and the long-run using quarterly data, over the period of 2001–2019. The results reveal that reduction in headline inflation has mainly been driven by money supply growth, fiscal deficits, and output growth in the short-run, while only output has driven inflation decline in the long-run. The results also show that after floating exchange rate in 2012, inflation decline has mainly been driven by output growth despite inflationary pressures from the exchange rate and import prices. Model forecasts show that inflation may increase up to 19.4% by December 2020, if money supply growth, fiscal deficits, and exchange rate movements are not taken care of.
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El-Anshasy, Amany, Kamiar Mohaddes, and Jeffrey B. Nugent. "Oil, Volatility, and Institutions." In Institutions and Macroeconomic Policies in Resource-Rich Arab Economies, 52–72. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780198822226.003.0003.
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This chapter examines the long-run effects of oil revenue and its volatility on economic growth, as well as the role of institutions in this relationship. We collect annual and monthly data on 17 major oil producers between 1961 and 2013, and use the panel autoregressive distributed lag (ARDL) approach as well as its cross-sectionally augmented version (CS-ARDL) for estimation. Therefore, in contrast to earlier literature on the resource curse, we take into account all three key features of the panel: dynamics, heterogeneity, and cross-sectional dependence. The results suggest that: (i) oil revenue volatility has a significant negative effect on output growth; (ii) a higher growth rate of oil revenue significantly raises economic growth; and (iii) better fiscal policy can offset some of the negative effects of oil revenue volatility. We therefore argue that volatility in oil revenues combined with poor governmental responses to this volatility drives the resource curse paradox.
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Chaabouni, Sami, and Chokri Abednnadher. "The Determinants of Health Expenditures in Tunisia." In Health Economics and Healthcare Reform, 253–67. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-3168-5.ch015.
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This article examines the determinants of health expenditures in Tunisia during the period 1961-2008, using the Autoregressive Distributed Lag (ARDL) approach by Pesaran et al. (2001). The results of the bounds test show that there is a stable long-run relationship between per capita health expenditure, GDP, population ageing, medical density and environmental quality. In fact, on the one hand there are the short-run and long-run results which reveal that health care is a necessity, not a luxury good. On the other hand, results of the causality test show that there is a bidirectional causal flow from health expenditures to income, both in the short and in the long run.
Conference papers on the topic "Autoregressive Distributed Lag Model (ARDL)"
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Hamid, Mohd Fahmi Abdul, and Ani Shabri. "Palm oil price forecasting model: An autoregressive distributed lag (ARDL) approach." In THE 3RD ISM INTERNATIONAL STATISTICAL CONFERENCE 2016 (ISM-III): Bringing Professionalism and Prestige in Statistics. Author(s), 2017. http://dx.doi.org/10.1063/1.4982864.
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Fitri, Fadhilah, Toni Toharudin, and I. Gede Nyoman Mindra Jaya. "Marine capture fisheries production and intensity of rainfall: An application of autoregressive distributed lag (ARDL) model." In STATISTICS AND ITS APPLICATIONS: Proceedings of the 2nd International Conference on Applied Statistics (ICAS II), 2016. Author(s), 2017. http://dx.doi.org/10.1063/1.4979454.
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İsmihan, Mustafa, Mustafa Besim, and Kamil Sertoğlu. "The Impact of External Instability and Socio-economic Infrastructure on the Productivity Dynamics of North Cyprus." In International Conference on Eurasian Economies. Eurasian Economists Association, 2019. http://dx.doi.org/10.36880/c11.02350.
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This study aims to explore the long-term productivity dynamics of the economy of the Turkish Republic of Northern Cyprus by using a simple Autoregressive Distributed Lag (ARDL) Model. More specifically, we aim to analyze the impact of macroeconomic instability and socio-economic infrastructure on total factor productivity over the 1977-2017 period. Additionally, this study develops a socio-economic infrastructure index by combining information from communication, energy, education and health indicators. The main result of this paper is that while total factor productivity is positively and significantly affected by the improvements in socio-economic infrastructure it is negatively affected from the external macroeconomic instability.
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Bal, Harun, Mehmet Demiral, and Filiz Yetiz. "Exchange Rate Pass-Through to Domestic Prices: Evidence from OECD Countries." In International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c08.01951.
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There is an immense literature on the effects of exchange rate changes on macroeconomic indicators, specifically on the trade balance, growth, inflation, and overall productivity in open economies. One of the main attempts in the related literature is about ascertaining whether the exchange rate fluctuations alter domestic prices. This possible mechanism is called as the pass-through effect which is getting more important since the argument that exchange rate adjustment is a part of the solution for global rebalancing is empirically well-supported. Starting from this claim, this study purposes to explore whether there is an exchange rate pass-through effect in 19 high-income OECD countries over the period 1990-2015. To this end, using a panel data set of consumer price index, producer price index proxied by wholesale price index, the nominal effective exchange rates, and industrial production presented by the value-added share of industry sectors in gross domestic product, structural vector autoregressive (VAR) and autoregressive distributed lag (ARDL) models are estimated in an unbalanced panel data analysis procedure. Results reveal that exchange rate pass-through effects on the domestic prices are significant but not that strong in both the short-run and the long-run. Expectedly, the pass-through effects tend to diminish over time. The study concludes that policy-makers need to consider policy actions accompanying the exchange rate changes to ensure domestic price stability which consequently interacts with many macroeconomic indicators.
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Manga, Müge, Mehmet Akif Destek, Muammer Tekeoğlu, and Erkut Düzakın. "The Relationship between Financial Development and Economic Growth: The Case of Turkey." In International Conference on Eurasian Economies. Eurasian Economists Association, 2016. http://dx.doi.org/10.36880/c07.01689.
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The relationship between financial development and economic growth and the direction of causality between them have been received a lot of attention recently by many scholars. It is also important to analyze this relationship and the direction of causality due to implications of policies. In this study the relationship between financial development, trade liberalization and economic growth for Turkey are examined using three different models. Model 1, 2 and 3 investigate the effect of domestic loans to the private sector and trade liberalization on GDP, the impact of the domestic credit provided by banks to the private sector and trade liberalization on GDP and the effect of M2 money supply and M2 trade liberalization on GDP, respectively. Data extracted from World Development Indicators. Autoregressive-Distributed Lag Bound Test (ARDL) is used as a co-integration test to determine the long run relationship between variables. In addition, Toda and Yamamoto (1995) is utilized to test the direction of causality between financial development and economic growth according to the three financial indicators such as domestic loans to the private sector, the domestic credit provided by banks to the private sector and M2 money supply. According to the results there is a unidirectional relationship from economic growth to domestic loans to the private sector and the domestic credit provided by banks to the private sector. Additionally, the results indicate that a bidirectional relationship exist between M2 money supply and economic growth.
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Bedir, Serap, and Arzu Tural Dikmen. "Fiscal Deficit and Inflation: New Evidences from Turkey Using a Bounds Testing Approach." In International Conference on Eurasian Economies. Eurasian Economists Association, 2014. http://dx.doi.org/10.36880/c05.00915.
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A well-established theory in macroeconomics is that governments running persistent deficits have sooner or later to finance those deficits with money creation, thus producing inflation. The fiscal view of inflation has been especially prominent in the developing country literature, which has long recognized that less efficient tax collection, political instability, and more limited access to external borrowing tend to lower the relative cost of seigniorage and increase dependence on the inflation tax. For this reason, the main factors which affecting inflation rate in developing countries are extremely important for policy makers as when the causes of inflation are correctly specified the appropriate policy change can be easily diagnosed and effectively implemented. The purpose of this study is to test the empirical relationship between inflation and the budget deficit for the Turkish economy by an autoregressive distributed lag model (ARDL) analysis for the period 1970–2010. The data is taken from Republic of Turkey Ministry of Development and World Bank’s Database. The empirical findings indicates that fiscal deficit is one of the important variables of the price level along with other variables like interest rates, exchange rate, per capita income, trade of GDP. The short-run analysis captured from error correction model (ECM). The results of the bounds test suggest that there is a long run relationship between fiscal deficit and inflation. These findings drive important inferences for implications of monetary and fiscal policies.
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Wang, Jiasheng. "Forecast GDP with Autoregressive Distributed Lag Model and Dynamic Factor Model." In ICCIR 2021: 2021 International Conference on Control and Intelligent Robotics. New York, NY, USA: ACM, 2021. http://dx.doi.org/10.1145/3473714.3473783.
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Huda, Nur'ainul Miftahul, Utriweni Mukhaiyar, and Udjianna Sekteria Pasaribu. "Forecasting dengue fever cases using autoregressive distributed lag model with outlier factor." In THE 4TH INDOMS INTERNATIONAL CONFERENCE ON MATHEMATICS AND ITS APPLICATION (IICMA 2019). AIP Publishing, 2020. http://dx.doi.org/10.1063/5.0018450.
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Miao, Enming, Pengcheng Niu, Yetai Fei, and Yan Yan. "Application of autoregressive distributed lag model to thermal error compensation of machine tools." In Seventh International Symposium on Precision Engineering Measurements and Instrumentation, edited by Kuang-Chao Fan, Man Song, and Rong-Sheng Lu. SPIE, 2011. http://dx.doi.org/10.1117/12.905451.
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Kutlutürk, Murat Mustafa, Hakan Kasım Akmaz, and Ahmet Çetin. "The Effect of Higher Education on Growth: A Cointegration Analysis." In International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00797.
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In this study the relationship between higher education and economic growth was investigated using annual data between 1988 and 2012 for Turkey. To see short and long run effects of higher education on growth the Autoregressive Distributed Lag (ARDL) testing approach was used. In this investigation ratio of higher education graduates in employment was used as an explanatory variable. Zivot and Andrews test was implemented for the variables. The long and short run effects of higher education on growth was found significant. Granger causality test was implemented and one way Granger causality from higher education to growth was determined.