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Journal articles on the topic 'VECM'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Hapsari, Meilina Retno, Suci Astutik, and Loekito Adi Soehono. "VECM and Bayesian VECM for Overparameterization Problem." Journal of Physics: Conference Series 1811, no. 1 (2021): 012086. http://dx.doi.org/10.1088/1742-6596/1811/1/012086.

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Usman, Mustofa, Luvita Loves, Edwin Russel, et al. "Analysis of Some Energy and Economics Variables by Using VECMX Model in Indonesia." International Journal of Energy Economics and Policy 12, no. 2 (2022): 91–102. http://dx.doi.org/10.32479/ijeep.11897.

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Time series modeling analysis is one of the methods to forecast based on past data and conditions. The analytical tool that is commonly used to forecast multivariate time series data is the Vector Autoregressive (VAR) model. However, when the variables have cointegration and stationary at the first difference value, then the VAR model is modified into the Vector Error Correction Model (VECM). In VECM, all variables can be used as endogenous variables. If exogenous variables are involved in the VECM model, then the model is called as Vector Error Correction Model with Exogenous variables (VECMX

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3

Rahman, Matiur. "EFFECTS OF DEMOGRAPHIC TRANSITION ON JAPAN’S ECONOMIC GROWTH AND INFLATION." International Journal of Business & Economics (IJBE) 7, no. 1 (2022): 186–201. http://dx.doi.org/10.58885/ijbe.v07i1.186.mr.

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This study empirically explores the likely effects of active-age and elderly populations on Japan’s real GDP growth and inflation. Annual data from 1986 to 2019 are used to avoid the COVID-19 unusual period. DF-GLS and Ng-Perron unit root tests, ARDL bounds testing procedure for co-integration and associated VECMs are implemented. Unit root tests results display a mixture of I(0) and I(1) behaviors of variables with no I(2) behavior. An ARDL bound testing confirms co-integrating relationship among the variables in both real GDP growth and inflation equations. Their respective associated VECM r

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BRAILSFORD, T. J., JACK PENM, and R. D. TERRELL. "TESTING PPP BY MEANS OF ZNZ PATTERNED VECM." International Journal of Theoretical and Applied Finance 11, no. 04 (2008): 345–62. http://dx.doi.org/10.1142/s021902490800483x.

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Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Conventional use of full-order models may weaken the power of statistical inferences due to over-parameterization. The paper demonstrates the usefulness of this approach for the analysis of exchange rate relationships. Specifically, the paper examines the relationship between the money supply and the Euro and provides a test of purchasing power pa

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Maida, Nazira, Nanda Safarida, and Iskandar. "Pengaruh Inflasi, BI Rate dan IHSG Terhadap Nilai Aktiva Bersih Reksadana Syariah di Indonesia Periode 2015-2020." JIM: Jurnal Ilmiah Mahasiswa 4, no. 1 (2022): 57–76. http://dx.doi.org/10.32505/jim.v4i1.3921.

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Penelitian ini bertujuan untuk mengetahui pengaruh jangka pendek dan jangka panjang inflasi, BI rate dan IHSG terhadap Nilai Aktiva Bersih (NAB) reksadana syariah di Indonesia. Metode yang digunakan yaitu pendekatan kuantitatif. Penelitian ini menggunakan data sekunder yang diperoleh dari Otoritas Jasa Keuangan (OJK), Bank Indonesia (BI) dan Bursa Efek Indonesia (BEI). Data yang digunakan dalam bentuk periode per bulan mulai tahun 2015 hingga 2020 yang di publish selama 5 tahun berturut-turut. Metode analisis data menggunakan teknik analisis VAR (Vector Auto Regressive)/VECM (Vector Error Corr

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Zhou, Rui, Guangyu Xing, and Min Ji. "Changes of Relation in Multi-Population Mortality Dependence: An Application of Threshold VECM." Risks 7, no. 1 (2019): 14. http://dx.doi.org/10.3390/risks7010014.

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Standardized longevity risk transfers often involve modeling mortality rates of multiple populations. Some researchers have found that mortality indexes of selected countries are cointegrated, meaning that a linear relationship exists between the indexes. Vector error correction model (VECM) was used to incorporate this relation, thereby forcing the mortality rates of multiple populations to revert to a long-run equilibrium. However, the long-run equilibrium may change over time. It is crucial to incorporate these changes such that mortality dependence is adequately modeled. In this paper, we

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Choi, Cha Soon. "A Study on the Long-Term Equilibrium Relationship between the Housing Market and Macroeconomic Variables: Focused on VECM and VAR Models." Korea Real Estate Society 70 (December 31, 2023): 319–41. http://dx.doi.org/10.37407/kres.2023.41.4.319.

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This paper was empirically conducted to compare the explanatory power of the Vector Error Correction Model (VECM) and Vector Autoregressive Model (VAR Model) in predicting the long-term equilibrium relationship between housing prices and macroeconomic variables. The analysis period spans from January 1987 to July 2023. The analysis results are as follows. First, it is found that there exists one cointegration relationship among housing prices, stock prices, liquidity, 5-year yield of government housing bonds, and income. Therefore, the VECM model can be applied to analyze the long- and short-t

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Hasnita and Hilma Mutiara Winata. "PENGARUH HARGA BROILER DAN HARGA JAGUNG TERHADAP HARGA KARKAS DENGAN PENAMBAHAN CALENDAR EFFECTS MENGGUNAKAN METODE VECM-X." Journal of Social and Economics Research 6, no. 1 (2024): 2086–97. http://dx.doi.org/10.54783/jser.v6i1.508.

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Tujuan dari penelitian ini adalah untuk mengetahui pengaruh harga broiler dan harga jagung terhadap harga karkas dengan menerapkan analisis Vector Autoregressive (VAR) serta menerapkan metode VAR dengan ditambahkan calendar effects (VAR-X) dan jika data tidak stasioner pada level dan terdapat kointegrasi maka digunakan vector error correction model (VECM-X). Hal ini didasarkan pula pada pertimbangan untuk melihat apakah ada perbedaan harga ketika terdapat kejadian hari raya tertentu dan hari biasa. Hasil analisis dengan VECM pada lag 13 untuk harga karkas menyatakan bahwa terdapat beberapa hub

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Deng, Qi. "A generalized VECM/VAR-DCC/ADCC framework and its application in the Black-Litterman model." China Finance Review International 8, no. 4 (2018): 453–67. http://dx.doi.org/10.1108/cfri-07-2016-0095.

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Purpose The existing literature on the Black-Litterman (BL) model does not offer adequate guidance on how to generate investors’ views in an objective manner. Therefore, the purpose of this paper is to establish a generalized multivariate Vector Error Correction Model (VECM)/Vector Auto-Regressive (VAR)-Dynamic Conditional Correlation (DCC)/Asymmetric DCC (ADCC) framework, and applies it to generate objective views to improve the practicality of the BL model. Design/methodology/approach This paper establishes a generalized VECM/VAR-DCC/ADCC framework that can be utilized to model multivariate

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Ula, Tajul, Rollis Juliansyah, Okta Rabiana Risma, and Nanda Herijal Putera. "ANALISIS HUBUNGAN KEMISKINAN, PDRB, TRANSFER PEMERINTAH, PAD DAN BELANJA MODAL DI ACEH ERA OTONOMI KHUSUS." EKOMBIS: JURNAL FAKULTAS EKONOMI 7, no. 2 (2021): 98. http://dx.doi.org/10.35308/ekombis.v7i2.4414.

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Isu Provinsi Aceh sebagai daerah termiskin di Sumatera dengan anggaran daerah yang didukung transfer dana otonomi khusus dari DAU-N sejak tahun 2008 merupakan isu dalam penelitian ini. Model Vector Error Correction Model (VECM) digunakan sebagai model analisis untuk melihat interakasi antar variabel dalam penelitian ini. Variabel yang digunakan dalam model VECM ini adalah Kemiskinan, PDRB,Transfer Pemerintah, PAD, dan Belanja Modal. Hasil estimasi VECM menunjukkan dalam jangka pendek hanya satu variabel signifikan pada taraf nyata lima persen ditambah satu variabel error correction. Adanya dug

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Huseynova, S. "COINTEGRATION ANALYSIS OF ECONOMIC GROWTH PARAMETERS BETWEEN RUSSIA AND AZERBAIJAN." Sciences of Europe, no. 110 (February 7, 2023): 26–31. https://doi.org/10.5281/zenodo.7618240.

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The purpose of the analyze the integration process economic growth parameters between Russia and Azerbaijan. Based on the 28-year statistical indicators of economic growth parameters, an econometric study of dependence was conducted in the time period covering the years 1994-2021. In research is applied the Johansen cointegration test, vector-error-correlation-model (VECM) and variance-decomposition (VDC).Vector-errorcorrelation-model (VECM) adequate is tested cert. The result was further substantiated by the tests based on Johansen cointegration and VECM procedures, showing significant long-r

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Chen, Yanhui, Jinrong Lu, and Mengmeng Ma. "How Does Oil Future Price Imply Bunker Price—Cointegration and Prediction Analysis." Energies 15, no. 10 (2022): 3630. http://dx.doi.org/10.3390/en15103630.

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This paper investigates how oil’s future price implies the bunker price through cointegration analysis first. A cointegration test confirms the long-run equilibrium condition of bunker and oil future prices. Based on the cointegration relationship, we construct VECM model to forecast bunker prices. In addition, we also consider ARMA, ARMAX, and VAR models for certifying whether considering the long-run equilibrium between bunker and oil future prices is helpful in prediction. One-step-ahead and four-step-ahead forecasting are considered and two out-of-sample datasets are used. The empirical re

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Soto, Paula Andrea, and Juan Carlos Ruilova Teran. "Arbitragem Estatística: Uma Abordagem por VECM." Brazilian Review of Finance 15, no. 4 (2018): 537. http://dx.doi.org/10.12660/rbfin.v15n4.2017.65761.

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This work develops a statistical arbitrage model which was tested on the Brazilian stock market. Prices were modeled using VECM (Vector Error Correction Models) to create a self-financing, market-neutral, long/short trading strategy. In this strategy, deviations in the long-term equilibrium of prices are identified in order to create buy and sell signals. Portfolios with common trends were selected by means of Principal Component Analysis. The viability of this strategy was empirically addressed using simulations on these portfolios. Its performance was also compared to other long/short tradin

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Dominique, Nancy Nikentary, Carmen Ibanez Indrawati Buntaran, Ameilia Nurhanifah, and Ferry Vincenttius Ferdinand. "G20 Economic Growth Analysis Using VECM." Jurnal Ilmu Ekonomi Terapan 8, no. 2 (2023): 338–59. http://dx.doi.org/10.20473/jiet.v8i2.50361.

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This study analyzes the effect of Gross Fixed Capital Formation (GFCF), Imports, Exports, and Government Expenditure of selected G20 member countries on Gross Domestic Product (GDP) using historical data from 1981 to 2021. The detailed analysis aims to explore the relationship between short-term and long-term causality that begins with examining and testing the degree of integration, Unit Root Test, Johansen cointegration test, and causality test. The Vector Error Correction Model (VECM) test results with a 95% confidence interval show that Gross Fixed Capital Formation causes Australia’s and

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Russel, Edwin, Wamiliana Wamiliana, Nairobi Saibi, Warsono Warsono, Mustofa Usman, and Jamal I. Daoud. "Dynamic Modeling and Forecasting Data Energy Used and Carbon Dioxide (CO2)." Science and Technology Indonesia 7, no. 2 (2022): 228–37. http://dx.doi.org/10.26554/sti.2022.7.2.228-237.

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The model of Vector Autoregressive (VAR) with cointegration is able to be modified by Vector Error Correction Model (VECM). Because of its simpilicity and less restrictions the VECM is applied in many studies. The correlation among variables of multivariate time series also can be explained by VECM model, which can explain the effect of a variable or set of variables on others using Granger Causality, Impulse Response Function (IRF), and Forecasting. In this study, the relationship of Energy Used and CO2 will be discussed. The data used here were collected over the year 1971 to 2018. Based on

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Valentika, Nina, Vivi Iswanti Nursyirwan, and Ilmadi Ilmadi. "Modeling The Relationships Between Export, Import, Inflation, Interest Rate, and Rupiah Exchange." Desimal: Jurnal Matematika 3, no. 3 (2020): 247–62. http://dx.doi.org/10.24042/djm.v3i3.6942.

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This research was a modification of research by Catalbas (2016) and Pratikto (2012). The model that can separate long-term and short-term components are the Vector Error Correction Model (VECM). This study aimed to model export, import, inflation, interest rates, and the rupiah exchange rate using VECM and to test the causality between variables using the Granger Causality test. The inter-variable model obtained in this study was VECM with lag 2 using a deterministic trend with the assumption of none intercept no trend and two cointegrations. In export and import, there was an adjustment mecha

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Liu, Zong Jin, Yang Yang, Zheng Fang, and Yan Yan Xu. "Measuring Dynamic Sales Impacts of LBA Using Wireless Communication Technology." Advanced Materials Research 662 (February 2013): 896–901. http://dx.doi.org/10.4028/www.scientific.net/amr.662.896.

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Because of rapid development of wireless communication technology, there is an increasing adoption of mobile advertising, such as location based advertising (LBA). To what extent can LBA improve advertising effectiveness is an important topic in the field of wireless communication technology research. Most researches quantify long term impacts of advertisings by VAR (Vector Autoregressive) model. However, compared to VAR model, VECM (Vector Error Correction Model) is a better method in that it allows one to estimate both a long-term equilibrium relationship and a short-term dynamic error corre

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Pahlepi, Reza, Nurul Hidayati, Rizki Dwi Yanti, Tiara Enjelina, and Haliza Aghnia. "PERBANDINGAN MODEL VECM DAN ECM DALAM MENGANALISIS HUBUNGAN ANTARA INFLASI DAN INDEKS HARGA KONSUMEN BULANAN DI KOTA BENGKULU (2018-2022)." Diophantine Journal of Mathematics and Its Applications 2, no. 2 (2024): 91–100. https://doi.org/10.33369/diophantine.v2i2.32044.

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This study compares the effectiveness of Vector Error Correction Model (VECM) and Error Correction Model (ECM) in the context of inflation and consumer price index. The focus of the analysis is on variables that have a long-run relationship even though they are not individually stationary. The VECM model produces . Meanwhile, the ECM Model shows (long-term) and (INFLASI(IHK(Short-term). The results show that VECM is suitable for understanding the short-run and long-run linkages between the variables, while ECM provides more specific insights on the direct effects and long-run equilibrium. A co

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Ko, Byoung-Wook. "Analysis of Shipping Markets Using VAR and VECM Models." Korea Trade Review 48, no. 3 (2023): 69–88. http://dx.doi.org/10.22659/ktra.2023.48.3.69.

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Bekiros, Stelios, and Christos Avdoulas. "Revisiting the Dynamic Linkages of Treasury Bond Yields for the BRICS: A Forecasting Analysis." Forecasting 2, no. 2 (2020): 102–29. http://dx.doi.org/10.3390/forecast2020006.

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We examined the dynamic linkages among money market interest rates in the so-called “BRICS” countries (Brazil, Russia, India, China, and South Africa) by using weekly data of the overnight, one-, three-, and six- months, as well as of one year, Treasury bills rates covering the period from January 2005 to August 2019. A long-run relationship among interest rates was established by employing the Vector Error Correction modeling (VECM), which revealed the validation of the Expectation Hypothesis Theory (EH) of the term structure of interest rates, taking into account long-run deviations from equ

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الفوزان, فوزان عبدالعزيز. "إمكانية وجود علاقة بين الدين والركود الاقتصادي". Arab Journal of Administrative Sciences 20, № 2 (2013): 323–39. http://dx.doi.org/10.34120/ajas.v20i2.849.

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تبحث هذه الدراسة العلاقة السببية بين الكساد الاقتصادي والدين؛ وذلك باستخدام الناتج المحلي الإجمالي (GDP) وأربعة من مؤشرات الدين. استخدمت الدراسة أنموذج التكامل المشترك وأنموذج (VECM). وقد دلت الدراسة على وجود علاقة طويلة المدى بين (GDP) ومؤشرات الدين المستخدمة في الدراسة. ودلّ أنموذج (VECM) بشكل عام على وجود سببية ثنائية طويلة المدى بين إجمالي الناتج المحلي ومؤشرات الدين.

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Tsuji, Chikashi. "Dynamic Relations of Consumer Prices: A Case Study of Recent Effects on the Japanese Headline CPI." Journal of Social Science Studies 3, no. 2 (2016): 28. http://dx.doi.org/10.5296/jsss.v3i2.8991.

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<p>This study attempts to empirically examine the relations between the headline consumer price index (CPI) and several other CPIs in Japan by applying the vector error correction models (VECMs). Our investigations derive the following interesting findings. First, we reveal that as to our four combinations of the CPIs tested in this paper, 1) all variable coefficients in the cointegrating equations are statistically significant in our VECM models and the statistical significance is very strong. Thus, we understand that our four bivariate combinations of the CPIs tested in this paper are

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Gani, Rahmad Abdul, Ima Amaliah, and Meidy Haviz. "Kausalitas Kebijakan Moneter Konvensional dengan Inflasi dan Pertumbuhan Ekonomi di Indonesia Periode Q1 2008 – Q4 2020." Jurnal Riset Ilmu Ekonomi dan Bisnis 1, no. 1 (2021): 66–74. http://dx.doi.org/10.29313/jrieb.v1i1.203.

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Abstract. This study aims to identify the causality of conventional monetary policy with inflation and economic growth in Indonesia during the observation period. The research method used is descriptive quantitative. The data used are data from the first quarter of 2008 to the fourth quarter of 2020. This study uses secondary data published by BI, OJK, BPS, World Bank, as well as various literatures that will be used. The data analysis method used in this study is the VECM and Grangger Causality model consisting of the Grangger test, IRF test, VD test, and VECM estimation. The results of this

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Moh. Wigi Destriansyah and Dwi Agustin Nuriani Sirodj. "Analisis Hubungan Harga Saham Bank Central Asia, Inflasi, Kurs (IDR/USD) dan BI Rate dengan Metode Vector Error Correction Model (VECM)." Bandung Conference Series: Statistics 2, no. 2 (2022): 282–90. http://dx.doi.org/10.29313/bcss.v2i2.4057.

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Abstract. One method of multivariate time series analysis is VECM. VECM is used to overcome the existence of data forms that are not stationary in the average but there is cointegration in the variables. VECM is often used in long-term econometric cases such as forecasting the movement of a stock price. The movement of a company's stock price level can be influenced by factors such as inflation, exchange Rates and the BI Rate or interest Rates in the short and long term. The banking sector is one sector that is often targeted by investors, such as shares of Bank BCA Tbk because it has a high r

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Keilbar, Georg, and Yanfen Zhang. "On cointegration and cryptocurrency dynamics." Digital Finance 3, no. 1 (2021): 1–23. http://dx.doi.org/10.1007/s42521-021-00027-5.

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AbstractThis paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM) framework. To enable analysis in a dynamic setting, we propose the COINtensity VECM, a nonlinear VECM specification accounting for a varying systemwide cointegration exposure. Our results show that cryptocurrencies are indeed cointegrated with a cointegration rank of four. We also find that all currencies are affected by these long term equilibrium

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Valentika, Nina Valentika, Vivi Iswanti Nursyirwan, and Ilmadi Ilmadi. "PERAMALAN KURS, INFLASI, IMPOR DAN EKSPOR DENGAN VECM." Jurnal Accounting Information System (AIMS) 3, no. 2 (2020): 119–30. http://dx.doi.org/10.32627/aims.v3i2.274.

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Penelitian Catalbas (2016) dimodifikasi dalam penelitian ini dengan menambahkan variabel inflasi. Vector Error Correction Model (VECM) digunakan dalam penelitian ini untuk meramalkan variabel. Penelitian ini bertujuan untuk memodelkan kurs, inflasi, impor dan ekspor, meramalkan kurs, inflasi, impor dan ekspor, dan mengetahui hubungan jangka panjang antarvariabel. Model antarvariabel dalam penelitian ini adalah VECM dengan lag 2, menggunakan trend deterministic dengan asumsi none intercept no trend, dan terdapat 2 kointegrasi. Model penelitian ini dikatakan baik untuk meramalkan ekspor dan impo

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Devesh, Sonal, and Abdullah M. Asrul Affendi. "Food Security Dynamics in Oman: VECM Approach." Advances in Dynamical Systems and Applications 15, no. 2 (2020): 249–63. http://dx.doi.org/10.37622/adsa/15.2.2020.249-263.

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Maju Simatupang, Batara. "DETERMINANTS OF GOVERNMENT SECURITIES YIELD USING VECM." Jurnal Bisnis dan Manajemen 22, no. 2 (2021): 127–46. http://dx.doi.org/10.24198/jbm.v22i2.689.

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This study aims to uncover the determinants’ effect on the return rate of government securities (GS). This study's data uses the government bonds that can be traded with the ten-year tenor, and the time-horizon of the collected data spans from 2009:M1 to 2018:M6. The study methodology utilizes the vector error correction model (VECM) model to determine the short-term backward behavior, which refers to the situation where the short-term balances are corrected for the long-term balances. Additionally, it is also to reveal the relationship between the variables within the model. Thus, this study

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Bonham, Carl, Byron Gangnes, and Ting Zhou. "Modeling tourism: A fully identified VECM approach." International Journal of Forecasting 25, no. 3 (2009): 531–49. http://dx.doi.org/10.1016/j.ijforecast.2008.11.014.

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Dekkiche, Djamal. "Tourism Demand in Tunisia: A VECM Approach." Naše gospodarstvo/Our economy 69, no. 2 (2023): 50–59. http://dx.doi.org/10.2478/ngoe-2023-0011.

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Abstract This research aimed to study the determinants of tourism demand in Tunisia from 1995 to 2019 with four independent variables: gross domestic product, consumer price index, the real exchange rate, and air transport passengers carried. The research employed the Unit root test, Co-integration test, and Vector Error Correction model (VECM) to examine the variables’ short- and long-run relationship dynamics. The results show that co-integrating relations exist among the variables; all independent variables negatively impact tourism demand except Air transport. Depending on the results obta

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Agustina, Fitri, and Mahrus Lutfi Adi Kurniawan. "Analisis Utang Luar Negeri Indonesia: Pendekatan VECM." Journal of Business Economics and Agribusiness 1, no. 1 (2023): 1–10. http://dx.doi.org/10.47134/jbea.v1i1.36.

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Abstrak: Utang luar negeri yaitu salah satu instrumen yang penting bagi negara berkembang. Faktor yang berpengaruh terhadap utang luar negeri di Indonesia adalah tingkat ekspor, tingkat impor, tingkat inflasi, dan nilai kurs. Untuk meningkatkan pendapatan nasional pada negara berkembang, banyak negara berkembang yang mengandalkan utang luar negeri sebagai modal pembangunan. Hal inilah yang tentunya akan berdampak jangka panjang terhadap neraca pembayaran negara berkembang. Tujuan dari penelitian ini adalah untuk mengetahui hubungan keterikatan antara utang luar negeri Indonesia dengan tingkat

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Mashabi, M., and Wasiaturrahma Wasiaturrahma. "ELECTRONIC BASED PAYMENT SYSTEMS AND ECONOMIC GROWTH IN INDONESIA." Jurnal Ilmu Ekonomi Terapan 6, no. 1 (2021): 97. http://dx.doi.org/10.20473/jiet.v6i1.26287.

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This research aims to analyze the effect of electronic payment systems based on credit cards, debit cards, and electronic money, as well as macroeconomic variables namely the money supply (M1), price level, and velocity of money towards real gross domestic product as a proxy for economic growth. The estimation carried out in this journal uses the Vector Error Correction Model (VECM) with period time series data of 2010:1-2018:12. The results of the journal show that doing debit card and electronic money-based transactions has a significant positive effect on economic growth in Indonesia in the

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Lee, Chin, M. Azali, Zulkornain B. Yusop, and Mohammed B. Yusoff. "IS MALAYSIA EXCHANGE RATE MISALIGNMENT BEFORE THE 1997 CRISIS?" Labuan Bulletin of International Business and Finance (LBIBF) 6 (December 31, 2008): 1–18. http://dx.doi.org/10.51200/lbibf.v6i.2590.

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This paper seeks to use the flexible-price monetary model in the cointegration and vector error correction model (VECM) contexts to determine whether there was misalignment in the Malaysian ringgit - U.S. dollar before the 1997 currency crisis. Unit roots, cointegration and weak exogeneity are tested to validate the monetary exchange rate model. Generally, it is found that all the series are I(1) process and there exists significant cointegrating vectors. Using the cointegrating vector and the final parsimonious VECM, out of sample predictions for Ringgit exchange rate are generated. The resul

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Yu, Han. "A novel multivariate approach for COVID-19 pandemic prediction in the United States." Applied and Computational Engineering 13, no. 1 (2023): 183–88. http://dx.doi.org/10.54254/2755-2721/13/20230729.

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Since December 2019, the COVID-19 pandemic has caused enormous economic and social disorder. The analysis and forecasts of pandemic has received considerable attention worldwide. Previous research has primarily focused on predictions based merely on historical data and thus has been unable to identify the effect of external factors such as government policy responses. This study aims to develop a multivariate VECM model to predict the change in confirmed cases with Government Stringency Index taken into consideration. This study carried out exponential smoothing and VECM cointegration test usi

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Mugableh, Mohamed Ibrahim, and Mohammad Salem Oudat. "Economic Growth and Financial Development nexus in Malaysia: Dynamic Simultaneous Equations Models." Asian Journal of Finance & Accounting 10, no. 1 (2018): 143. http://dx.doi.org/10.5296/ajfa.v10i1.12736.

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This paper estimates the equilibrium and causality relationships among gross domestic product, energy consumption, financial development, foreign direct investment inflows, and gross fixed capital formation. Different econometrics tests like descriptive statistics, ARCH, KPSS unit root, Johansen and Juselius’s co-integration, VECM Granger causality, and ARDL equilibrium relationships have been employed in Malaysia over the (1971−2013) period. The correlation matrix results indicate a linear association among variables. The null hypotheses of Heteroscedasticity and non-stationary have been reje

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Wahyuningsih, Ika, Erike Anggraeni, and Is Susanto. "Determinasi Emisi Karbon di Indonesia Tahun 2004-2023: Tinjauan Ekonomi Industri." EKOMA : Jurnal Ekonomi, Manajemen, Akuntansi 4, no. 3 (2025): 5287–303. https://doi.org/10.56799/ekoma.v4i3.7896.

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Emisi karbon gas rumah kaca (GRK) bukanlah masalah baru yang dihadapi oleh masyarakat internasional. WRI (World Resource Institute) pada tahun 2014 menempatkan Indonesia pada posisi enam besar dunia sebagai negara penghasil emisi karbon terbesar dengan tingkat emisi sebesar 1,981 miliar ton per tahun. Penelitian ini menganalisis pengaruh nilai tambah sektor industri manufaktur, keterbukaan perdagangan (TO) dan konsumsi energi terbarukan terhadap emisi karbon di Indonesia periode 2004-2023 dengan menggunakan model VECM (Vector Error Correctin Model). Hasil uji kausalitas menunjukkan bahwa nilai

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Ahmadi, Amri, and Sri Herianingrum. "PENGARUH PERTUMBUHAN PDB DAN INFLASI TERHADAP PERTUMBUHAN PERBANKAN SYARIAH DI INDONESIA PERIODE TAHUN 2013-2015." Jurnal Ekonomi Syariah Teori dan Terapan 6, no. 4 (2020): 763. http://dx.doi.org/10.20473/vol6iss20194pp763-773.

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This research used a quantitative approach, and the aim of research was to find out the estimation, the magnitude of the GDP growth influenced, and the inflation on the growth of Islamic banking in Indonesia. In this research used the VECM (Vector Error Correction Model) with method focused by testing hypotheses.The results showed that GDP variable and Inflation variable was influenced significantly and positively on profits and DPK.Keyword: Gross Domestic Product, inflation, profit, third party funds, VECM.

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Gotama, Jefferson Indra, and Ignatius Roni Setyawan. "Relevansi Faktor Ekonomi Terhadap Kointegrasi IHSG dan KLCI." Jurnal Manajerial Dan Kewirausahaan 3, no. 1 (2021): 245. http://dx.doi.org/10.24912/jmk.v3i1.11318.

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The purpose of this research is to investigate the cointegration between the Kuala Lumpur Composite Index (KLCI), the Inflation, the Exchange Rate and the Jakarta Composite Index (JCI). The study sampled studied with monthly data periods in the period 1 January 2014-31 December 2019. The sampling method is non probability sampling with the sampling technique using purposive sampling. The analysis is performed by using Johansen cointegration test and VECM and processed by using Eviews 9. The VECM results show that there is no significant short term relationship between the Kuala Lumpur Composit

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Škare, Marinko, Justyna Franc-Dąbrowska, and Dajana Cvek. "Cointegration analysis and VECM of FDI, employment, export and GDP in Croatia (2002?2017) with particular reference to the global crisis and poor macroeconomic governance." Equilibrium 15, no. 4 (2020): 761–83. http://dx.doi.org/10.24136/eq.2020.033.

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Research background: The preconditions for attracting foreign investment are political stability and long-term capital investment, positively influencing the recipient country's development. During the crisis as well as in the unstable political environment, economic agents engage in speculative and risky acts for faster earnings. Purpose of the article: The paper aims to point out the importance of foreign direct investments (FDI) and other macroeconomic variables and their relationship with particular reference to the Croatian economy in 2002?2017. Methods: We use ADF test, devel

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Viphindrartin, Sebastiana. "Dampak Makro Ekonomi Terhadap Stabilitas Keuangan di Indonesia." Jurnal Manajemen Jayanegara 13, no. 1 (2021): 13–19. http://dx.doi.org/10.52956/jmj.v13i1.27.

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Kondisi makroekonomi yang tidak pasti dapat mempenga-ruhi tingkat risiko kredit bermasalah pada bank. Pengaruh kondisi makro ekonomi terhadap NPL memiliki respon yang berbeda-beda untuk setiap sektor ekonomi. Tujuan utama penelitian ini adalah untuk mengetahui pengaruh faktor makroekonomi (inflasi, nilai tukar dan suku bunga) dan faktor spesifik bank (kredit) terhadap Non Performing Loan (NPL) BPR di Indonesia periode 2015 hingga 2018. Penelitian ini menggunakan estimasi Vector Error Correction Model (VECM) untuk mengetahui pengaruh variabel independen yang terdiri dari faktor makroekonomi dan

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Santika, Putri Aura, Dewi Retno Sari Saputro, and Nughthoh Arfawi Kurdhi. "Analisis Bibliometrik Vector Error Correction Model." NUCLEUS 5, no. 1 (2024): 37–45. http://dx.doi.org/10.37010/nuc.v5i1.1541.

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Analisis Bibliometrik adalah teknik kuantitatif untuk menganalisis literatur ilmiah hal ini mencakup penghitungan jumlah publikasi, analisis sitasi, dan penemuan tren penelitian. Analisis bibliometrik berguna dalam memahami serta mengklasifikasikan dokumen yang diterbitkan dan bisa menjelaskan perkembangan yang sedang berlangsung serta penelitian baru terkait topik yang ditentukan. Alat pemetaan yang dapat digunakan adalah VOSviewer untuk memvisualisasikan peta grafis bibliometrik. Artikel ini bertujuan memberikan arah atau landasan terhadap penelitian selanjutnya terkait vector error correcti

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Albania, Marsha Meira, Haqiqi Rafsanjani, and Rifa'atul Maftuhah. "The Effect of Inflation and Economic Growth on Return on Asset (ROA) of Sharia Banks In Indonesia." Ekonomi Bisnis 30, no. 1 (2025): 31. https://doi.org/10.17977/um042v30i1p31-43.

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The purpose of this study is to examine how inflation and economic expansion affect Indonesian Islamic banks' return on assets (ROA). Time series data from the Central Statistics Agency (BPS), Bank Indonesia, and the Financial Services Authority (OJK) from 2014 to 2023 are used in this analysis. The Vector Error Correction Model (VECM), VECM Estimation, IRF and VD, Stationarity Test, Optimal Lag Test, Stability Test, Cointegration Test, Causality Test are the analysis method employed. With trace statistics and significant, the study's findings indicate a long-term link between the variables ac

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Amaliawiati, Lia, Farida Nursjanti, and Irma Nilasari. "Dynamic Models: Analysis of Macroeconomic Variables And Islamic Banks Performance in Indonesia Covid19 Period." Jurnal Ilmu Keuangan dan Perbankan (JIKA) 13, no. 1 (2024): 163–76. http://dx.doi.org/10.34010/jika.v13i1.11386.

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The Covid19 pandemic has had an impact on macroeconomic conditions, and shocks to these factors will have an impact on how well banks, particularly Islamic banks, perform financially. Using the Vector Error Correction Model (VECM), the data is processed in the form of time series with the goal of analyzing the relationship between the performance of Islamic banks and macroeconomic indicators over the short and long terms. The Granger Causality Test, Impulse Response Function and Variance Decomposition, were some of the additional VAR analyses examined. The analysis's findings indicate that Non

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Khan, Waseem, Sana Fatima, and Mohammad Jamshed. "Agricultural Credit-led Agricultural Growth: A VECM Approach." Asian Journal of Agricultural Extension, Economics & Sociology 19, no. 1 (2017): 1–16. http://dx.doi.org/10.9734/ajaees/2017/32304.

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Tran Thi Bich, Ngoc, and Huong Pham Hoang Cam. "Determinants of Inflation in Vietnam: A VECM Approach." Journal of Asian Business and Economic Studies 22, no. 04 (2015): 26–50. http://dx.doi.org/10.24311/jabes/2015.22.4.02.

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This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actu

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NGOC, TRAN THI BICH, and PHAM HOANG CAM HUONG. "Determinants of Inflation in Vietnam: A VECM Approach." Journal of Economics Development 22, no. 4 (2015): 26–50. http://dx.doi.org/10.24311/jed/2015.22.4.02.

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Choi, Cha-Soon. "Housing Price and House Hold Expenses: VECM Analysis." Asia-pacific Journal of Multimedia Services Convergent with Art, Humanities, and Sociology 6, no. 5 (2016): 355–65. http://dx.doi.org/10.14257/ajmahs.2016.05.34.

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Hespeler, Frank. "A VECM evaluation of monetary transmission in Uzbekistan." Economic Change and Restructuring 46, no. 2 (2012): 219–53. http://dx.doi.org/10.1007/s10644-012-9125-4.

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Sepita, Hilta, Metasari Kartika, and Windhu Putra. "The Effect of Selected Macroeconomic Variables on Sharia Mutual Funds in Indonesia: A Multidimensional Analysis with VECM Approach." Asian Journal of Economics, Business and Accounting 24, no. 7 (2024): 105–16. http://dx.doi.org/10.9734/ajeba/2024/v24i71395.

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This study determined the short-term and long-term effects of Inflation, Indonesia crude price, and Indonesia sharia stock index on sharia mutual funds in Indonesia. This research utilized secondary data from January 2014 - December 2023 sourced from the Financial Services Authority (OJK), Central Agency on Statistics (BPS), Ministry of Energy and Mineral Sources of the Republic of Indonesia (KESDM). This study uses long run and short run VECM tests. The results show that the long-run VECM estimates indicate that the Inflation variable and the Indonesian sharia stock index have a long-term sig

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Ahmed, Adekunle. "REVISITING THE NEXUS BETWEEN PUBLIC EXPENDITURE AND ECONOMIC GROWTH IN SOUTH AFRICA." International Journal of Social and Educational Innovation 11, no. 22 (2024): 51–64. https://doi.org/10.5281/zenodo.13861120.

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Purpose: This study evaluates the nexus between public expenditure and economic growth in South Africa. The study uses time-series data to evaluate the nexus which span through 1986-2022 which is obtained from WDI, 2022. Method: Essentially, the study employed cointegration and VECM test. The cointegration test signifies that all the variables are cointegrated at long-run. The VECM shows a direct connection amid government expenditure and economic growth.Result: The study found a unidirectional causal association between public investment (HE, ML, ED, and INFR) and economic development, as wel

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