Journal articles: 'Vector error correction model (VEC model)'

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Pradhan, Kailash. "The Hedging Effectiveness of Stock Index Futures: Evidence for the S&P CNX Nifty Index Traded in India." South East European Journal of Economics and Business 6, no. 1 (April 1, 2011): 111–23. http://dx.doi.org/10.2478/v10033-011-0010-2.

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The Hedging Effectiveness of Stock Index Futures: Evidence for the S&P CNX Nifty Index Traded in IndiaThis study evaluates optimal hedge ratios and the hedging effectiveness of stock index futures. The optimal hedge ratios are estimated from the ordinary least square (OLS) regression model, the vector autoregression model (VAR), the vector error correction model (VECM) and multivariate generalized autoregressive conditional heteroskedasticity (M-GARCH) models such as VAR-GARCH and VEC-GARCH using the S&P CNX Nifty index and its futures index. Hedging effectiveness is measured in terms of within sample and out of sample risk-return trade-off at various forecasting horizons. The analysis found that the VEC-GARCH time varying hedge ratio provides the greatest portfolio risk reduction and generates the highest portfolio returns.

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Hendayanti, Ni Putu Nanik, and Maulida Nurhidayati. "PEMODELAN JUMLAH UANG BEREDAR DAN INFLASI NASIONAL DENGAN VECTOR ERROR CORRECTION MODEL (VECM)." Jurnal Varian 1, no. 1 (September 28, 2017): 1. http://dx.doi.org/10.30812/varian.v1i1.44.

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AbstrakModel Vector Autoregressive (VAR) merupakan salah satu model deret waktu yang berbentuk simultan. VAR adalah suatu sistem persamaan dimana setiap peubah merupakan fungsi linier dari nilai lag (lampau) peubah itu sendiri serta nilai lag dari peubah lain dalam sistem. Seringkali pada model terdapat beberapa hubungan kointegrasi antar peubah, sehingga model VAR yang terbentuk menjadi tidak representatif. Salah satu metode yang dapat mengatasi masalah adanya hubungan kointegrasi antar peubah adalah model Vector Error Correction (VEC). Perekonomian menjadi salah satu pondasi utama kekuatan suatu negara. Namun, stabilitas ekonomi tidak selalu berjalan dengan mulus karena adanya banyak faktor, baik faktor eksternal maupun faktor internal. Salah satu indikator utama yang digunakan untuk melihat perkembangan perekonomian suatu negara adalah tingkat laju inflasi. Inflasi adalah kecenderungan dari harga-harga untuk meningkat secara umum terhadap kelompok barang kebutuhan masyarakat dan bersifat terus menerus. Ada banyak faktor yang mempengarui terjadinya inflasi salah satunya yaitu jumlah uang beredar. Penelitian ini bertujuan untuk memodelkan jumlah uang beredar dan inflasi nasional dengan model Vector Error Correction (VECM). Hasil penelitian menunjukkan bahwa estimasi VECM untuk fungsi inflasi jangka pendek terdapat nilai koreksi kesalahan dari jangka pendek ke jangka panjang sebesar 0,000235. Pada analisis jangka pendek, perubahan jumlah uang beredar pada bulan sebelumnya memberikan pengaruh yang negatif terhadap perubahan inflasi bulan ini sebesar 0,207. Sedangkan perubahan inflasi bulan sebelumnya memberikan pengaruh yang positif terhada perubahan perubahan jumlah uang beredar pada bulan ini sebesar 0,000570.

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Abusharbeh, Mohammed. "Determinants of Islamic bank financing in the Middle East: Vector Error Correction Model (VECM)." Investment Management and Financial Innovations 17, no. 4 (December 9, 2020): 285–98. http://dx.doi.org/10.21511/imfi.17(4).2020.25.

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As the world has been struck with a global financial crisis, Middle Eastern countries have been affected as well. Thus, Islamic banks have expanded, and the competitive advantage has become intensive with the increased number of conventional banks in the global banking system. This manuscript is aimed to examine the impact of macroeconomic and bank-specific factors on Islamic bank financing in the Middle Eastern countries. Therefore, the Vector Error Correction Model and the Granger causality test were run from 2009 to 2018 to detect the long- and short-run relationship between the explanatory variables and Islamic bank financing. The results suggest that both inflation and profitability negatively impact Islamic bank financing in the long run. The paper also revealed bidirectional causality between the variables GDP and bank size and Islamic bank financing. It shows that GDP and bank size are highly dominant factors of Islamic bank financing in the short run. Thus, this paper provides evidence that any short-run shock in the variables of GDP, inflation, and bank size will cause a long-term relationship with Islamic bank financing. This article’s novelty is to ensure resilience within the Islamic banking system during and after the financial crisis. It provides evidence that Islamic banks can cushion their financial activities from economic volatility during the crisis. The results found can be used to predict the growth of Islamic bank financing in upcoming years in the Middle East and all emerging countries.

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KONG, TUAN-YUEN, YUN-PENG CHU, CHIN-FU HSU, and NORDEN E. HUANG. "AN ANATOMY OF ECONOMIC GROWTH IN TAIWAN." Advances in Adaptive Data Analysis 02, no. 02 (April 2010): 217–31. http://dx.doi.org/10.1142/s179353691000046x.

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This paper revises Sedgley's model of innovation-driven endogenous growth and applies it to the case of Taiwan. The methods of empirical mode decomposition (EMD) and constrained vector error correction (VEC model or VECM) are used in the process. The EMD is used to filter out very short term fluctuations in growth, while the VECM is used to detect the various factors that affect economic growth, including human capital, public and private capital, knowledge capital and public institutions (the index of protection of property rights). It is the first attempt to include such a rich set of factors affecting economic growth at least for the studies of Taiwan.

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Onakoya, Adegbemi Babatunde, and Hassan Akolade Alayande. "Macroeconomic Variables, the Oil, and the Agricultural Sectors in Nigeria." Asian Social Science 16, no. 1 (December 31, 2019): 69. http://dx.doi.org/10.5539/ass.v16n1p69.

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The present study examined the impact of the macroeconomic variables and the oil sector on the performance of the agricultural sector between 1981and 2017 in Nigeria. The study adopted a three-stage estimation approach. The initial step in this estimation was the conduct of descriptive statistics and stationarity tests of the variables. Some of the series were stationary at level and some others at the first difference which informed the deployment of the Auto regressive distributed lag (ARDL) technique for model estimation. The third stage was the post-estimation of the model in order ascertain its robustness for predictability and policy formulation. These were the Cumulative Sum Control Chart (CUSUM) stability, Vector Error Correction (VEC) Residual Heteroscedasticity, Breusch-Godfrey Serial Correlation LM, Vector Error Correction Residual Normality, and Vector Error Correction (VEC) Residual Heteroscedasticity tests. The results indicated that contrary to the Dutch disease postulation the oil sector positively impacted the output of the agricultural sector. The influence of exchange rate was also positive. Interest and unemployment rates on the other hand, had negative effects. The rate of inflation and the national output had no impact. The study recommended that the Nigerian government should channel resources towards the agricultural sector to ensure increase in foreign earnings and sufficient domestic production.

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Khera, Aastha, and Neelam Dhanda. "Empirical Relationship between Macroeconomic Variables and Stock Prices of Indian Banking Sector: A Vector Error Correction Model Approach." Review of Finance and Banking 12, no. 2 (December 31, 2020): 189–98. http://dx.doi.org/10.24818/rfb.20.12.02.06.

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This existing study aims to investigate the relationship between Indian Bankingstock market prices and macroeconomic variables. The proxy for the Indian Banking stockmarket is Nifty Bank while Foreign Reserve, Exchange Rate (Indian vs US Dollar), Interestrate, and CPI are proxies of macroeconomic variables. Johansen Cointegration and VectorError Correction Model (VECM) on monthly data from January 2013 to July 2020 have beenapplied. Considering the results of cointegration, it is found that there is a long-run asso-ciation between the Indian Banking stock market and constituent macroeconomic variables.Next, the employment of VECM is done for inspecting long run and short-run causality.The result reveals long-run equilibrium in Indian commercial bankís stock prices comingfrom macroeconomic variables. This study has considerable imputations that investors candiversify their portfolio according to the ináuencing power of constituent selected macro-economic variables in the short run and the long run. Exchange rate and foreign reservesdrive the banking stock market in the short run whereas CPI and Interest rate do not createany signiÖcant impact.

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Xiaoge, Zhao, and Zhong Shihu. "The Influence of Administrative Monopoly on Economic Development——An Empirical Study Based on Vector Error Correction Model." International Journal of Business and Management 12, no. 6 (May 18, 2017): 182. http://dx.doi.org/10.5539/ijbm.v12n6p182.

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As a unique form of China's transition economy, the impact of administrative monopoly on economic development can not be ignored. Analyzing the data from 1990 to 2015, this paper investigates the relationship between administrative monopoly and economic development based on Vector Error Correction Model (VEC)model. The results show that there is a long - term equilibrium relationship between administrative monopoly and economic development. In the long run, the administrative monopoly has obvious obstructive effect on economic development. The hardest part, as well as the emphasis in China's economic reform will be how to separate the government from state-owned enterprises and eliminate administrative monopoly.

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Sung, Joo-han. "A Study on the Apartment Sale Price Decision Model Using Vector Error Correction Model (VECM): Focusing on the Housing Market in Changwon City." Housing Finance Research 5, no. 1 (June 2021): 27–49. http://dx.doi.org/10.52344/hfr.2021.5.1.27.

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Hossain, Md Rasel, Ahsanul Haque, Md Abdullah Amir Hamja, and M. Shohel Rana. "MEASURING CO-MOVEMENT OF REAL INTEREST RATE AND INFLATION RATE: USING VEC APPROACH." International Journal of Engineering Technologies and Management Research 7, no. 6 (June 15, 2020): 66–76. http://dx.doi.org/10.29121/ijetmr.v2020.i7.6.687.

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It is important to know the future movement of economic variables for the planning and development of a country, Vector Error Correction (VEC) Model has been applied to disclose hidden long run as well as short-run patterns of the selected variables. ADF unit root testing procedure was applied to satisfy the conditions of applying the VEC Model. Using Johansen cointegration test long-run cointegration has been justified. But the VEC model reveals that long run significant causal relationship between the variables whereas there is no short-run causal relationship. The parameter was estimated using the OLS estimation technique. The validity of the model was confirmed by applying different quantitative approaches such as normality test, autocorrelation test, Portmanteau test, Unit root test, and various graphical approaches which suggested model selection and estimation were correct. The result of this present study may help Govt. agencies as well as planners to take an idea.

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Hossain, Md Rasel, Ahsanul Haque, Md Abdullah Amir Hamja, and M. Shohel Rana. "MEASURING CO-MOVEMENT OF REAL INTEREST RATE AND INFLATION RATE: USING VEC APPROACH." International Journal of Engineering Technologies and Management Research 7, no. 6 (June 15, 2020): 66–76. http://dx.doi.org/10.29121/ijetmr.v7.i6.2020.687.

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It is important to know the future movement of economic variables for the planning and development of a country, Vector Error Correction (VEC) Model has been applied to disclose hidden long run as well as short-run patterns of the selected variables. ADF unit root testing procedure was applied to satisfy the conditions of applying the VEC Model. Using Johansen cointegration test long-run cointegration has been justified. But the VEC model reveals that long run significant causal relationship between the variables whereas there is no short-run causal relationship. The parameter was estimated using the OLS estimation technique. The validity of the model was confirmed by applying different quantitative approaches such as normality test, autocorrelation test, Portmanteau test, Unit root test, and various graphical approaches which suggested model selection and estimation were correct. The result of this present study may help Govt. agencies as well as planners to take an idea.

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Setiawan, Setiawan, Moch Trianto Utomo, Alfira Mulya Astuti, M. Sjahid Akbar, and Imam Safawi Ahmad. "Forecasting Financial System Stability Using Vector Error Correction Model Approach." CAUCHY 6, no. 3 (November 19, 2020): 109–16. http://dx.doi.org/10.18860/ca.v6i3.9811.

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Indonesia is one of the developing countries whose economic system is still very dependent on other developed countries. This reliance often becomes one of the causes of the occurrence of economic turmoil sectors that interfere with financial system stability in Indonesia. Therefore, to forecast financial system stability indicators, primarily macroeconomic variables, become essential to do to provide an accurate index value. Then, Forecasting signs of stability of the financial system in Indonesia using Vector Error Correction models (VECM) approach with financial system stability indicators used are Banking Stability Inde

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Hailemeskel Abebe, Teshome. "The Dynamics of Trade Liberalization and Economic Growth of Ethiopia: A Vector Error Correction (VEC) Model Approach." International Journal of Economic Behavior and Organization 8, no. 4 (2020): 81. http://dx.doi.org/10.11648/j.ijebo.20200804.11.

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Hapsari, Meilina Retno, Suci Astutik, and Loekito Adi Soehono. "Relationship of Macroeconomics Variables in Indonesia Using Vector Error Correction Model." Economics Development Analysis Journal 9, no. 4 (November 6, 2020): 374–90. http://dx.doi.org/10.15294/edaj.v9i4.38662.

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This study aims to analyze the relationship between macroeconomic variables in Indonesia, namely GDP with money supply, exchange rate of rupiah to US Dollar, exports, imports and interest rates. The background problem is to analyze the best method to influence government targets or policies on economic growth by studying the relationship of macroeconomic variables. Previous studies analyzing the relationship between macroeconomic variables in Indonesia have used multiple linear regression analysis. Using VECM analysis we can find out the short-term and long-term effects on the relationship between macroeconomic variables in Indonesia. The analysis used in this study is the Vector Error Correction Model with Maximum Likelihood estimation. Based on the result, the cointegration test found that there is a long-term relationship. Based on the VECM model (3), in the short term there is a relationship between macroeconomic variables and in the long run there is a long-term causality relationship in the GDP and export models. It is expected that the Government and the Central Bank will work together cooperatively in making policies to keep control of the money supply, exchange rate of rupiah to US Dollar and interest rates to enable to stimulate the economy.

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Faizin, Moh. "Penerapan Vector Error Correction Model pada Variabel Makro Ekonomi di Indonesia." Jurnal Ekonomi 25, no. 2 (July 8, 2020): 287. http://dx.doi.org/10.24912/je.v25i2.671.

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In this time, the countries can be said to be in a good condition of the national economy if there are some indicators in positive economic macro, it is including the decline of inflation, the amount of money circulating is also decline, and the exchange rate strengthening against foreign currencies and reduced interest rates. The purpose of this study is to analyze the causality and cointegration relationships of economic macro variables, by using time series data for 2010-2019 and using the VECM model. The results of the study found that there is no causality relationship between inflation and the BI rate. Likewise, the variable money supply does not affect the BI rate. The exchange rate also does not affect each other on the BI rate variable. Causality test results also indicate that the money supply does not have a causality relationship to inflation, while the exchange rate variables influence each other on inflation. To exchange rates, it does not give affect in the variable amount of money in circulation each other. By explanation of the estimation results of the VECM model, it shows the long-term and short-term relationships of each variable generally.

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Wiranata, Dimas Bagus, and Masyhudi Muqorrobin. "The Relationship Between Energy Consumption and Economic Growth." TRIKONOMIKA 12, no. 2 (December 25, 2013): 103. http://dx.doi.org/10.23969/trikonomika.v12i2.470.

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Using a neo-classical one-sector aggregate production where energy is used as one inputs, the paper develops a vector error-correction (VEC) model to test for the existence and direction of causality between output growth and energy consumption in Malaysia. Using the Johansen co-integration technique, the empirical findings indicate that the long-run movements of output and energy do not exist by one co-integrating vector. Then using a VEC specification, the short-run dynamics of the variables indicate that Granger-causality is not running in both directions between output growth and energy consumption. Hence, those findings conform the presence of “neutral hypothesis theory” which imply Malaysia’s economic growth is not dependent highly upon energy consumption, and energy cannot be considered as a limiting factor to output growth in Malaysia.

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Shahraki, M*, and S. Ghaderi. "The Relationship between Education and Health: Vector Error Correction Model (VECM)." Journal of Health 10, no. 4 (December 1, 2019): 445–56. http://dx.doi.org/10.29252/j.health.10.4.445.

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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 (June 26, 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 long run.Keywords : Electronic payment systems, electronic money, credit cards, debit cards, economic growth, Vector Error Correction Model (VECM) Keywords: Electronic payment systems, electronic money, credit cards, debit cards, economic growth, Vector Error Correction Model (VECM) JEL : O470 C320

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Ito, Mikio, Akihiko Noda, and Tatsuma Wada. "Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach." Mathematics 9, no. 8 (April 13, 2021): 849. http://dx.doi.org/10.3390/math9080849.

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How strongly are foreign exchange markets linked in terms of their similarities in long-run fluctuations? Are they cointegrating? To analyze such “comovements,” we present a time-varying cointegration model for the foreign exchange rates of the currencies of Canada, Japan, and the UK vis-à-vis the U.S. dollar from May 1990 through July 2015. Unlike previous studies, we allow the loading matrix in the vector error-correction (VEC) model to be varying over time. Because the loading matrix in the VEC model is associated with the speed at which deviations from the long-run relationship disappear, we propose a new degree of market comovement based on the time-varying loading matrix to measure the strength or robustness of the long-run relationship over time. Since exchange rates are determined by macrovariables, cointegration among exchange rates implies these variables share common stochastic trends. Therefore, the proposed degree measures the degree of market comovement. Our main finding is that the market comovement has become stronger over the past quarter-century, but at a decreasing rate with two major turning points: one in 1995 and the other one in 2008.

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Shah, Syed Alamdar Ali, Raditya Sukmana, and Bayu Arie Fianto. "Stage-I Shariah compliant Macaulay’s duration model testing." Journal of Islamic Accounting and Business Research 12, no. 7 (August 18, 2021): 941–64. http://dx.doi.org/10.1108/jiabr-05-2020-0158.

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Purpose The purpose of this study is to develop, test and examine econometric methodology for Sharīʿah-compliant duration models of Islamic banks. Design/methodology/approach The research evaluates all existing duration models from Sharīʿah’s perspective and develops a four-stage framework for testing Sharīʿah-compliant duration models. The econometric methodology consists of multiple regression, Johansen co-integration, error correction model, vector error correction model (VECM) and threshold vector error models (TVECM). Findings Regressions analysis suggests that returns on earning assets and interbank offered rates are significant factors for calculating the duration of earning assets, whereas returns paid on return bearing liabilities and average interbank rates of deposits are significant factors for duration of return bearing liabilities. VECM suggests that short run duration converges into long run duration and TVECM suggests that management of assets and liabilities also plays a significant role that can bring about a change of about 15% in respective durations. Practical implications Sharīʿah-compliant duration models will improve risk and Sharīʿah efficiency, which will ultimately improve market capitalization and returns stability of Islamic banks in the long run. Originality/value Sharīʿah-compliant duration models testing provides insight into how various factors, namely, rates of return, benchmark rates and managerial skills of Islamic bank risk managers impact durations of assets and liabilities. It also explains the future course of action for Sharīʿah-compliant duration model testing.

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Prasada, I. made Yoga, Moh Wahyudi Priyanto, and Yahya Shafiyuddin Hilmi. "KETAHANAN PANGAN PENDUDUK DI PULAU JAWA: PENDEKATAN VECTOR ERROR CORRECTION MODEL." Agrisocionomics: Jurnal Sosial Ekonomi Pertanian 4, no. 1 (May 27, 2020): 85–95. http://dx.doi.org/10.14710/agrisocionomics.v4i1.5560.

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Food security over the past few decades has been a hot topic discussed in Indonesia. Food security can indirectly reflect the level of welfare of a household in a region. Various factors can influence the level of food security, both in the short term and in the long term. Therefore, this research was conducted with the aim to find out the factors that influence the food security of the population in the short term and in the long term. The data used in this study are secondary data sourced from the Central Bureau of Statistics (BPS) in 2008-2017, namely data on food and non-food expenditure, real per capita income, agricultural land area, real sugar prices, real beef prices, and real rice prices. The data were analyzed using the VECM (Vector Error Correction Model) model. The results showed that in the short-term the factors that influence food security are income per capita real lag 1, real sugar prices lag 1, and real beef prices lag 1, while the factors that influence food security in the long-term are per capita income 1, agricultural area lag 1, real sugar 1 lag price, real beef price lag 1, and real rice price lag 1.

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Jiang, Heng, Xiao-Hua Jin, and Chunlu Liu. "The effects of the late 2000s global financial crisis on Australia’s construction demand." Construction Economics and Building 13, no. 3 (September 18, 2013): 65–79. http://dx.doi.org/10.5130/ajceb.v13i3.3602.

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An accurate measurement of the impacts of external shocks on construction demand will enable construction industry policymakers and developers to make allowances for future occurrences and advance the construction industry in a sustainable manner. This paper aims to measurethe dynamic effects of the late 2000s global financial crisis on the level of demand in the Australian construction industry. The vector error correction (VEC) model with intervention indicators is employed to estimate the external impact from the crisis on a macro-level construction economic indicator, namely construction demand. The methodology comprises six main stages to produce appropriate VEC models that describe the characteristics of the underlying process. Research findings suggestthat overall residential and non-residential construction demand were affected significantly by the recent crisis and seasonality. Non-residentialconstruction demand was disrupted more than residential construction demand at the crisis onset. The residential constructionindustry is more reactive and is able to recover faster following the crisis in comparison with the non-residential industry. The VEC model with intervention indicators developed in this study can be used as an experiment for an advanced econometric method. This can be used to analyse the effects of special eventsand factors not only on construction but also on other industries.

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Alley, Ibrahim S., Abimbola L. Adebayo, and Blessing O. Oligbi. "Corporate Governance and Financial Performance Nexus: Any Bidirectional Causality?" International Journal of Management and Economics 50, no. 1 (June 1, 2016): 82–99. http://dx.doi.org/10.1515/ijme-2016-0013.

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Abstract Most studies on corporate governance recognize endogeneity in the nexus between corporate governance and financial performance. Little attention has, however, been paid to the direction of causality between the two phenomena, and hence the Vector Error Correction (VEC) model, which allows for endogenous determination of the direction of causality, has not been widely employed. This study fills that gap by estimating the nexus and the direction of causality using the VEC model to analyze panel data on selected listed firms in Nigeria. The results agree with the findings of most previous studies that corporate governance significantly affects financial performance. Board skills, board composition and management skills enhanced financial performance indicators – return on equity (ROE), return on asset (ROA) and net profit margin (NPM); in many occasions, significantly. Board size and audit committee size did not, and can actually undermine financial performance. More importantly, financial performance did not significantly affect corporate governance. On the basis of the lag structure of the VEC model, this study affirms unidirectional causality in the nexus, running from corporate governance to financial performance, nullifying the hypothesis of bidirectional causality in the nexus.

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Faizin, Moh. "Penerapan Vector Error Correction Model pada Hubungan Kurs, Inflasi dan Suku Bunga." e-Journal Ekonomi Bisnis dan Akuntansi 8, no. 1 (March 31, 2021): 33. http://dx.doi.org/10.19184/ejeba.v8i1.18810.

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Kondisi stabil dan tidaknya suatu negara tercermin dari stabilnya nilai tukar mata uang tersebut serta dengan memperhatikan tingkat laju inflasi dan suku bunga acuan. Tujuan penelitian ini menganalisis hubungan jangka pendek dan jangka panjang antara variabel kurs, inflasi dan suku bunga di Indonesia. Penelitian ini menggunakan model VECM data sekunder time series untuk periode 2011-2019. Hasil menunjukkan bahwa hubungan jangka pendek terjadi hanya pada variabel inflasi yang mempengaruhi kurs, sementara variabel yang lain tidak siknifikan. Hasil juga menunjukkan bahwa dari ketiga variabel kurs, inflasi dan suku bunga terdapat hubungan timbal balik jangka panjang.

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Baek, Jungho, and Won W. Koo. "Price Dynamics in the North American Wheat Market." Agricultural and Resource Economics Review 35, no. 2 (October 2006): 265–75. http://dx.doi.org/10.1017/s1068280500006717.

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Perron's test, Johansen cointegration analysis, and a vector error-correction (VEC) model are used to identify structural change, as well as to examine price dynamics in the U. S. and Canadian hard red spring (HRS) and durum wheat markets. It is found that, due to the U. S. Export Enhancement Program (EEP), price instability experienced in June 1986 has resulted in structural changes for Canadian HRS and durum prices. We also find that Canadian prices have significant effects on the determination of the U. S. prices in the North American wheat market.

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Popescu, Gheorghe H., Jean Vasile Andrei, Elvira Nica, Mihai Mieilă, and Mirela Panait. "ANALYSIS ON THE IMPACT OF INVESTMENTS, ENERGY USE AND DOMESTIC MATERIAL CONSUMPTION IN CHANGING THE ROMANIAN ECONOMIC PARADIGM." Technological and Economic Development of Economy 25, no. 1 (January 30, 2019): 59–81. http://dx.doi.org/10.3846/tede.2019.7454.

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The main aim of the paper is to assess the impact of fix capital, energy use and domestic material consumption in changing the inland Romanian economic paradigm, from an economic perspective, using the intensive form of the Cobb-Douglas function. In order to identify various connections of economic growth, sustainable development, energy usage has determined the application of the vector error correction (VEC) model and the implied error correction term (ECT). This method was chosen based on the premise that it has a high degree of applicability and it can be used in order to revile significant aspects terms of indicator significance and displays. The results obtained during the research confirm that both in Romania and at EU-28 level there are determinant and significant elements shaping a proactive economic policy.

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Hamdani, Hamdani, Ismail Ismail, and Thasrif Murhadi. "Analisis Kredit UMKM di Provinsi Aceh: Analisis Empiris Vector Error Correction Model (VECM)." Jurnal EMT KITA 4, no. 1 (September 10, 2020): 59. http://dx.doi.org/10.35870/emt.v4i2.129.

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The purpose of this study was to determine the effect of regional gross domestic product, non-performing loans, and loan interest rates on credit absorption by SMEs in Aceh province in the long term. The data used is secondary data in the form of a quarter 1st quarter 1995 to third quarter 2015. The model used in this study is a model of Vector Error Correction Model (VECM) to find out the results of short-term estimates, and using Johansen cointegration test to determine the relationship long-term between variables. The data used in this study has been tested with Augmented Dickey Fuller (ADF) to determine the stationary data. Based on this study it was found that in the long term there is a cointegration relationship between the variables studied. In the short term, the variables affecting the gross regional domestic product and has a one-way relationship with SME loans while variable interest rates have a causal relationship with SME loans in Aceh province, while the NPL variable does not have a causal relationship with SME loans. Keywords: SME Loans, Gross Domestic Product, Non Performimg Loan, Interest Rates, Vector Error Correction Model (VECM).

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Adhikary, Bishnu Kumar. "Impact of Foreign Direct Investment, Trade Openness, Domestic Demand, and Exchange Rate on the Export Performance of Bangladesh: A VEC Approach." Economics Research International 2012 (November 21, 2012): 1–10. http://dx.doi.org/10.1155/2012/463856.

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This paper investigates the impact of foreign direct investment (FDI), trade openness, domestic demand, and exchange rate on the export performance of Bangladesh over the period of 1980–2009 using the vector error correction (VEC) model under the time series framework. The stationarity of the variables is checked both at the intercept and intercept plus trend regression forms under the ADF and PP stationarity tests. The Johansen-Juselius procedure is applied to test the cointegration relationship between variables followed by the VEC regression model. The empirical results trace a long-run equilibrium relationship in the variables. FDI is found to be an important factor in explaining the changes in exports both in the short run and long-run. However, the study does not trace any significant causal relationship for the cases of trade openness, domestic demand, and exchange rate. The study concludes that Bangladesh should formulate FDI-led polices to enhance its exports.

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JAYME JR, FREDERICO GONZAGA. "Balance-of-payments-constrained economic growth in Brazil." Brazilian Journal of Political Economy 23, no. 1 (March 2003): 63–86. http://dx.doi.org/10.1590/0101-31572004-0708.

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ABSTRACT This paper applies the Thirlwall’s balance-of-payments constraint model to Brazilian economic growth in the period 1955-98, using cointegration technique. According to Thirlwall (1979) and MacCombie and Thirlwall (1994) differences in long-term economic growth among countries can be explained by a demand induced theory of economic growth. The model is tested on the Brazilian economy after industrial take- off in 1955 until 1998 using the cointegration technique and a vector error correction (VEC) representation to find the dynamic responses of exports to GDP. The results show that there is a positive cointegration between growth in exports and long-term economic growth in Brazil, which support the fact external factors constraint Brazilian economic growth.

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Obayelu, Oluwakemi Adeola, and Samuel Ebute. "Assessment of cassava supply response in Nigeria using vector error correction model (VECM)." Agricultura 13, no. 1-2 (December 1, 2016): 79–86. http://dx.doi.org/10.1515/agricultura-2017-0010.

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Abstract The response of agricultural commodities to changes in price is an important factor in the success of any reform programme in agricultural sector of Nigeria. The producers of traditional agricultural commodities, such as cassava, face the world market directly. Consequently, the producer price of cassava has become unstable, which is a disincentive for both its production and trade. This study investigated cassava supply response to changes in price. Data collected from FAOSTAT from 1966 to 2010 were analysed using Vector Error Correction Model (VECM) approach. The results of the VECM for the estimation of short run adjustment of the variables toward their long run relationship showed a linear deterministic trend in the data and that Area cultivated and own prices jointly explained 74% and 63% of the variation in the Nigeria cassava output in the short run and long-run respectively. Cassava prices (P<0.001) and land cultivated (P<0.1) had positive influence on cassava supply in the short-run. The short-run price elasticity was 0.38 indicating that price policies were effective in the short-run promotion of cassava production in Nigeria. However, in the long-run elasticity cassava was not responsive to price incentives significantly. This suggests that price policies are not effective in the long-run promotion of cassava production in the country owing to instability in governance and government policies.

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Shi, Ruyi, Di Wang, and Yueying Zhao. "The effect of international energy market shocks on coal price of China based on the fuzzy integrated vector auto regressive and error correction model." Journal of Intelligent & Fuzzy Systems 40, no. 4 (April 12, 2021): 8451–61. http://dx.doi.org/10.3233/jifs-189665.

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From the perspective of external market shocks, this paper proposed fuzzy integrated vector auto regression (FVAR) model that determines the long-term basis and short-term basis interactions of China’s coal price with international energy prices. The proposed FVAR preform coal price fluctuation based on long-term and short term span in six stages including unit root testing, Johansen cointegration test, vector auto regression (VAR) model construction, fuzzification of VAR model, vector error correction (VEC) model and an impulse response function(IRF). It is observed that there is a steady long-term stability and equilibrium bond between the China’s domestic coal price, international coal price and the international crude (unrefined) oil price. The international coal and international crude oil price have an opposite effect on China’s domestic coal price. In addition, the former has a stronger fuzzy price discovery function on China’s domestic coal market than the latter. In the short term, China’s domestic coal price is more complex to instability reactions and is affected by market expectations. The international energy market is more effective than domestic coal market, and there is a relatively stable price adjustment mechanism between the two, with the international coal price playing a leading role in the fuzzy guidance of China’s coal price. Therefore, in reference to international energy pricing models, the paper proposes a fuzzy pricing model for a coal futures index based on the coal futures trading price and supplemented by the premium and discount agreed to by both trading parties.

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Ahn, Young-Gyun, and Min-Kyu Lee. "Elasticity of the Number of World Cruise Tourists Using the Vector Error Correction Model." Sustainability 13, no. 16 (August 5, 2021): 8743. http://dx.doi.org/10.3390/su13168743.

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Along with the growth of the marine tourism industry, the number of global cruise tourists is rapidly increasing; the competition among regions to attract cruise tourists is increasing. The current study aims to verify that the global cruise tourism industry can be sustainable through its inherent power for long-term balanced convergence within the industry and can flexibly respond to external shocks such as COVID-19. This study applies the Vector Error Correction Model (VECM) to estimate the long-term balance function that determines the number of world cruise tourists. This study reveals that the number of world cruise tourists finally converges to long-term balance if the number of world cruise tourists at present is lower than the one at long-term equilibrium. In summary, the results of the VECM in the present study suggest the presence of an “invisible hand” in the global cruise tourism industry converging to a long-term balance. A few previous studies have suggested ways to increase global cruise tourists and promote the cruise tourism industry through qualitative methods, however, little research has estimated the decision function of the number of cruise tourists at a long-term equilibrium point. This study shows the dynamic characteristics of the cruise tourism market using the VECM.

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Abaka John, Messiah, and Olofin, Philip Olabode. "Informal Sectors and Unemployment in Nigeria: A Vector Error Correction Model (VECM) Approach." IOSR Journal of Economics and Finance 08, no. 04 (July 2017): 16–24. http://dx.doi.org/10.9790/5933-0804021624.

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Amiruddin, Rosilawati, Abu Hassan Shaari Mohd Nor, and Ismadi Ismail. "Test FOR Dynamic Relationship between Financial Development and Economic Growth in Malaysia: A Vector Error Correction Modeling Approach." Gadjah Mada International Journal of Business 9, no. 1 (January 12, 2007): 61. http://dx.doi.org/10.22146/gamaijb.5605.

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This paper purports to study the effectiveness of financial development to Malaysian economic growth utilizing quarterly data. In view of the priority given to dynamic relationship in conducting this study, Vector Autoregressive (VAR) method which encompasses Johansen-Juselius’ Multivariate cointegration, Vector Error Correction Model (VECM), Impulse Response Function (IRF), and Variance Decomposition (VDC) are used as empirical evidence. The result reveals a short-term and long-term dynamic relationship between financial development and economic growth. The importance of financial sector in influencing the economic activity is proven as a clear policy implication.

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Nogueira, Else Monteiro, and Wagner Moura Lamounier. "“Contágio” entre Mercados de Capitais Emergentes e Mercados Desenvolvidos: Evidências Empíricas e Reflexos sobre a Diversificação Internacional de Portfólios." Brazilian Review of Finance 6, no. 2 (October 11, 2008): 267. http://dx.doi.org/10.12660/rbfin.v6n2.2008.1306.

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In this research, we analyzed the short and long term interdependence and relationship between the stock indices of the major emerging capital markets and the major developed markets for the period 1995-2005. The aim was to verify the existence and the dynamics of the “contagion” between the markets, or if the occurrence of crises and changes in the behavior of a market would have impacts on the behavior of the others. In the development of the work, we applied the methodology of the Vector Error Correction Model (VEC). We found the presence of cointegrating relationships between the markets analyzed, but was able to see that, despite being cointegrated markets, investors could beneﬁt from international diversiﬁcation of portfolios. That’s because the speed of adjustment of the long-term ratio of cointegration between the markets was low for the period analyzed. Accordingly, investors would have the opportunity to reduce risk by diversifying their portfolios. Keywords: Cointegration; VEC; emerging markets; developed markets; international diversiﬁcation.

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Mounirou, Ichaou. "Agricultural Mechanization as an Expansion Factor of Cropland in Benin: The Case of Tractors." Sustainable Agriculture Research 7, no. 4 (July 19, 2018): 1. http://dx.doi.org/10.5539/sar.v7n4p1.

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We propose in this paper a methodology based on the vector error correction (VCE) model. This modeling approach makes it possible to use a large database to model the impact of agricultural mechanization on cropland in Benin. The results of the VEC model estimates confirm a positive relationship between agricultural mechanization and the areas planted of paddy rice, millet and yams. Moreover, the findings suggest that agricultural mechanization is still far to boost the land uses of cotton, maize and cassava, despite the importance of cotton in the Beninese economy on the one hand, and the key roles of maize and cassava in diet in Benin, on the other hand. Agricultural mechanization is far from being a reality in Benin's agricultural sector to the extent that public agricultural investments are below the Maputo agreements (Note 1). An effective agricultural mechanization must opt for cereals whose investments in agricultural machinery are less expensive compared to cotton. This strategy of agricultural mechanization makes it possible to better ensure food security, unlike the intensive cotton production, whose terms of trade are always unfavorable and dependent on subsidies from the North.

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Ismail, Mohd Tahir, Nadhilah Mahmud, and Rosmanjawati Abdul Rahman. "The determinants of electricity consumption for ASEAN countries." Malaysian Journal of Fundamental and Applied Sciences 13, no. 4-1 (December 5, 2017): 331–39. http://dx.doi.org/10.11113/mjfas.v13n4-1.877.

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The present study investigates the causal relationship between ASEAN seven member countries electricity consumption (EC) and some determinants such as gross domestic product (GDP), exports (EXP) and carbon dioxide emission (CO2) using vector autoregressive (VAR) framework via vector error correction (VEC) model for the period from 1980-2015. The findings show that the effect of the chosen determinants is different among the seven countries. Within the sample period, by utilizing Granger causality test, out of the seven countries, only four revealed either unidirectional or bidirectional causality running from EC to the three determinants, GDP, EXP and CO2. Whereas, thru forecast error variance decomposition (FEVD), forecasting beyond the sample period uncovered a shock to EC will also spread to GDP, EXP and CO2. The present study suggests that ASEAN should take note in designing their electricity policy, since electricity affect and be affected by other factors. In addition, ASEAN also should find solutions on how to control CO2 emission through EC.

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Neupane, Deepak. "The Demand for Money in Nepal: An Analysis Using Vector Error Correction Model." Prithvi Academic Journal 2 (May 1, 2019): 10–17. http://dx.doi.org/10.3126/paj.v2i0.31502.

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This paper examines the demand for money in Nepal. Accordingly, time series techniques such as Unit Root Test, Co-integration test approach were conducted considering the annual data from 1975 to 2019. The results of the unit root test indicate that the variables are stationary at the first order difference. Moreover, the co-integration test state that there is co-integration among the real broad money supply, real GDP at producer price, inflation and the interest rate, after taking the logs of real broad money supply, real GDP and interest rate and taking the first difference of all the considered variables, which makes the series normal and stationary respectively. Besides the results of the CUSUM test indicate the stability of the model. The results of the VECM show that there exists the long-run causality of the determinants on the money demand function whereas, out of the considered variables, none has the short-run causality on the money demand function. Moreover, ordinary least square method was also conducted to compute the coefficient of parameters which showed that though only one, real GDP, out of three, was found to be significant, the model was found to be good fit with the value of R-squared 0.9933 stating that the 99.33 percent variation in the dependent variable is explained by the explanatory variables.

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Baehaqy, Hasymi Nur, and Eko Fajar Cahyono. "Impact of conventional banking financing and Islamic banking financing on economic growth 2008-2018." Jurnal Ekonomi Syariah Teori dan Terapan 6, no. 6 (January 17, 2020): 1272. http://dx.doi.org/10.20473/vol6iss20196pp1272-1286.

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This research aims to know Impact of conventional banking financing and Islamic banking financing on economic growth 2008-2018. In this study the authors used a saturated sampling technique found in Non-Probability Sampling. The analysis technique used is VECM (Vector Error Correction Model). Based on the results of the study indicate that there is a one-way relationship on several variables, namely Conventional Banking Financing to GDP and Conventional Banking Financing to Islamic Banking Financing, In the long run, Conventional Banking Financing has a positive and significant relationship to GDP, whereas Islamic Banking Financing has a negative and significant relationship to GDP.Keywords: Banking Financing, Economic Growth, GDP (Gross Domestic Product), VECM (Vector Error Correction Model)

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Singh, Narinder Pal, and Sugandha Sharma. "Cointegration and Causality among Dollar, Oil, Gold and Sensex across Global Financial Crisis." Vision: The Journal of Business Perspective 22, no. 4 (December 2018): 365–76. http://dx.doi.org/10.1177/0972262918804336.

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Over the globe, the various financial markets are becoming integrated and the linkages among variables Gold prices, Crude Oil prices, US Dollar rate and Stock market (GODS) invite a special attention of various financial analysts and investors. For an import-dependent country like India, the interplay among these variables is vital. Thus in this study, we investigate the cointegration and causality relationship among gold, crude oil, us dollar and stock market (Sensex) across the global financial crisis of 2008. We use Johansen's cointegration technique, Vector Error Correction Model (VECM), Vector Auto Regression (VAR), VEC Granger Causality/Block Exogeneity Wald Test and Granger Causality, and Variance Decomposition to study cointegration and strength & direction of causality for three sub-periods. Johansen's cointegration test results indicate that there is long-run equilibrium relationship among the variables in the pre-crisis and the crisis periods but not in post-crisis period. VECM results report that none of four models of the variables show long-run causality in the pre-crisis period at 5% level of significance. During the crisis period, both crude oil and Sensex models show long run causality. However, in some cases short-run causality is indicated in results. Granger causality test results show that there is one-way causality from USD and Sensex to crude oil, and from gold and Sensex to USD. Thus, we conclude that the relationship among GODS is dynamic and has been affected by global financial crisis of 2008.

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Awe, Olushina Olawale, Damola M. Akinlana, and Sherifat Omolola Adesunkanmi. "Foreign Trade-Foreign Exchange Nexus in Nigeria: A Vector Error Correction Modelling Approach." Binus Business Review 7, no. 1 (May 31, 2016): 1. http://dx.doi.org/10.21512/bbr.v7i1.1427.

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This study investigates trade foreign exchange nexus in Nigeria. This study is also done with a view to detecting the kind of relationship that exists between the two and also to investigate their co-integration. Annual time series data for the period 1996 – 2010 was used for the study. The Vector Correction Model (VECM) approach was employed to determine both the short and long run relationships. Results showed that the series becomes stationary after second difference. The co – integration test reveals five co – integrating vectors in the model, implying that the variables have the same stochastic drift. The study concludes that a long-term relationship exists between foreign trade and exchange rates implying that foreign trade flows have a strong link with exchange rates in Nigeria.

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CARDOSO, ANA, and ANTÓNIO PORTUGAL DUARTE. "The impact of the Chinese exchange policy on foreign trade with the European Union." Brazilian Journal of Political Economy 37, no. 4 (December 2017): 870–93. http://dx.doi.org/10.1590/0101-31572017v37n04a12.

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ABSTRACT The aim of this paper is to analyze the impact of the Chinese foreign exchange policy on foreign trade with the European Union. After describing the importance of the exchange rate in an open economy and some of the methodologies employed to calculate its equilibrium value, we examine whether the Chinese competitiveness is due to the existence of misalignment (undervaluation) of its exchange rate, or rather, to other sources of competitiveness. For this purpose, we use a Vector Error Correction (VEC) model to estimate a long-run exports equation. The empirical results indicate that over the past few years, Chinese exports have benefited from an “unfair” competitive advantage resulting from the manipulation of its currency value.

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Korotkevich, A., Xiaoyun Xu, and Ziming Xu. "RESEARCH ON THE EFFECT OF CHINESE FINANCIAL ACTIVITIES ON SCIENTIFIC AND TECHNOLOGICAL INNOVATION." Экономическая наука сегодня, no. 12 (November 5, 2020): 115–28. http://dx.doi.org/10.21122/2309-6667-2020-12-115-128.

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With the continuous development of China's economic level, accelerating industrial upgrading and transformation, building an innovative society has become a new development goal. Financial activities are closely related to economic development. Therefore, studying the impact of China's financial activities on technological innovation is of great significance. This article uses the data indicators in the field of financial activities and technological innovation in China from 2002 to 2018 to construct a vector error correction model (VEC), analyze the implicit correlation between financial activities and technological innovation, and study the promotion of technological innovation by financial activities and put forward policy recommendations to promote the development of China’s financial industry and enhance technological innovation.

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Wibowo, Rudi, Ahmad Zainuddin, Rena Yunita Rahman, Intan Kartika Setyawati, Illia Seldon Magfiroh, and Indah Ibanah. "Vertical Market Integration for Beef Prices Using Vector Error Correction Model (VECM) In Indonesia." International Journal on Advanced Science, Engineering and Information Technology 11, no. 3 (June 8, 2021): 874. http://dx.doi.org/10.18517/ijaseit.11.3.9667.

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Windarsari, Wiwin Riski, and Zainuddin S. "Analisis Kausalitas Stabilitas Perekonomian Terhadap Pengembangan Bank Syariah Menggunakan Pendekatan Vector Error Correction Model." Al-Kharaj: Journal of Islamic Economic and Business 2, no. 1 (April 8, 2020): 1–15. http://dx.doi.org/10.24256/kharaj.v2i1.1265.

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Sektor keuangan memegang peran penting dalam mendorong perekonomian suatu negara. Sektor keuangan juga menjadi infrastruktur pendukung dalam memfasilitasi agar transaksi di sektor riil dapat dilakukan secara cepat, aman, dan efisien. Keseimbangan kedua sektor menjadikan ekonomi berjalan dengan sempurna. Keseimbangan ini secara simultan berimplikasi pada percepatan pembangunan dan peningkatan pertumbuhan ekonomi.Metode penelitian yang digunakan yaitu metode kuantitatif. Sumber data yang digunakan adalah data sekunder yang diperoleh dari Badan Pusat Statistik dan Otoritas Jasa Keuangan. Data diolah dan dianalisis menggunakan Vector Error Corection Model (VECM), menggunakan data dari bulan Oktober 2013 hingga September 2018. Variabel pada penelitian ini diantaranya PDB, inflasi, DPK, dan PYD.Berdasarkan hasil penelitian ini diperoleh hubungan satu arah DPK terhadap PDB, dan IHK terhadap PYD, serta terdapat hubungan dua arah antara PDB dan PYD. Hal ini menandakan bahwa bank syariah berkontribusi dalam mendorong perekonomian negara dan pertumbuhan ekonomi berkontribusi dalam penyaluran pembiayaan

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Kikerkova, Irena, Elena Naumovska, Katerina Toshevska-Trpchevska, and Elena Makrevska Disoska. "Vector Error Correction Model on FDI and their Impact in the Republic of Macedonia." Zagreb International Review of Economics and Business 21, no. 2 (November 1, 2018): 19–35. http://dx.doi.org/10.2478/zireb-2018-0012.

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Abstract The subject of this paper is the foreign direct investment (FDI) inflow in Macedonia and its impact upon the economic growth and development of the country. Its basic purpose is to analyse the interconnection of FDI with a number of economic, political and institutional variables in Macedonia. We decided to apply Vector Error Correction Model (VECM) on FDI impact upon the Macedonian economy. The FDI indicator is calculated as a function of certain fundamental economic variables (GDP growth rate, labor productivity rate, openness to trade, current account balance) as well as of Worldwide Governance Indicators (control of corruption, government effectiveness, political stability, regulatory quality and rule of law). Results obtained by the econometric model should provide relevant conclusions on the impact of the up-to-date FDI inflow upon the growth and development of the Macedonian economy.

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Febiyansah, Panky Tri, Bintang Dwitya Cahyono, and Rio Novandra. "Does Uncertainty Matter for Trade - Economic Growth Nexus in Indonesia?" Economics and Finance in Indonesia 67, no. 1 (April 29, 2021): 147. http://dx.doi.org/10.47291/efi.v67i1.933.

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This paper aims to test the impact of uncertainty on the causal relationship among exports, imports, and economic growth in Indonesia. The relationship is constructed by examining the presence of FDI-adjusted exports and imports (trade) and the output link using conditional variances-covariances derived from the generalized autoregressive conditional heteroskedastic (GARCH) process in a vector error correction model (VEC-GARCH model). Using evidence in Indonesia, the model exposes the uni-directional nexus from trade performance to trade-adjusted output growth in the absence of uncertainty. The volatility effects are evident in the causal relationship between trade and output. The finding shows that the uncertainty effects hamper the trade-economic growth nexus. Incorporated with the long-run causality, trade still causes output even after containing the contributions of volatility. The significant role of imports highlights the higher demand for intermediate capital products and the inclusion of technology in strengthening economic growth.

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Khanssa, Mohammad, Wafaa Nasser, and Abbas Mourad. "An Econometric Analysis of Inflation and Unemployment in Lebanon: A Vector Error Correction Model (VECM)." International Journal of Economics and Finance 10, no. 2 (January 20, 2018): 133. http://dx.doi.org/10.5539/ijef.v10n2p133.

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This paper uses econometric modeling to test the nature of the relationship between unemployment and inflation in Lebanon throughout the period 1993-2014. It takes the Phillips curve relationship as a reference for the tests. Cointegration, Granger causality and VECM were used to test the relationship both in the short and in the long run. The study resulted in finding out that the Phillips curve relationship doesn’t hold in Lebanon in the short run and came to a conclusion that there is a one-way causality relationship in the long run from unemployment to inflation and not in the opposite direction.

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Samantha, Kenia, Tarno Tarno, and Rita Rahmawati. "ANALISIS INTEGRASI SPASIAL PASAR CABAI MERAH KERITING DI JAWA TENGAH DENGAN METODE VECTOR ERROR CORRECTION MODEL." Jurnal Gaussian 10, no. 2 (May 31, 2021): 190–99. http://dx.doi.org/10.14710/j.gauss.v10i2.29007.

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Curly red chili (Capsicum annuum L.) is one of commodity which has a big influence to the national economy. To maintain the price stability of curly red chili, an integrated market is needed. Spatial market integration is the level of closeness of relations between regional markets and other regional markets. Spatial market integration will be modeled by the Vector Error Correction Model (VECM) method to see the closeness of both short and long term relationships. The object of this study is the price of curly red chili for several regions in Central Java, such as Kota Semarang, Kab. Demak, Kab. Pati, and Kab. Pekalongan in the period January 2016 to December 2019 where the data has met the stationarity test at first level of difference. In Johansen's cointegration test, it was obtained 3 cointegrations, which means that in each short-term period all variables tend to adjust to each other to achieve long-term balance. Granger causality test shows that there is a two-way relationship and the relationship affects one variable to another for all variables. The VECM model obtained has the MAPE accuracy value for HCMK Semarang 15.93%, Kab. Demak 17.61%, Kab. Pati 15.88%, and Kab. Pekalongan 14.49% which can be interpreted that the performance of the model is good. Keywords: Curly Red Chili, Spatial Market Integration, VECM, Johansen's Cointegration, Granger Causality

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Veselinović, Nevena. "Monetary policy and unemployment in the Republic of Serbia." Industrija 48, no. 2 (2020): 73–88. http://dx.doi.org/10.5937/industrija48-25210.

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The main aim of the examination is to conclude whether monetary policy can influence the unemployment rate through the key policy rate and to analyze the fundamental linkages among inflation and unemployment in the Republic of Serbia, considering that those mentioned occurrences are major destabilizers of the developing economy. The Vector error correction model is used as the central model for inquiring the structure of the time series. From the cointegration equation of the VEC model, it can be concluded that there is no long-run equilibrium dynamic between the key policy rate and the unemployment rate in the Republic of Serbia over the period 2009M1-2019M6. Regarding the relationship between inflation and unemployment, there is a positive statistically significant effect of the inflation rate to the unemployment rate in the long-term. In the short term, results indicate that the key policy rate, as well as the inflation rate, do not cause the unemployment rate in the observed period.

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Mwigeka, Samwel. "Do Budget Deficit Crowds Out Private Investment: A Case of Tanzanian Economy." International Journal of Business and Management 11, no. 6 (May 25, 2016): 183. http://dx.doi.org/10.5539/ijbm.v11n6p183.

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The existing high budget deficit in Tanzanian economy has created an immense concern among economic policy analysts. The study inspects whether budget deficits crowd out or crowd in private investment in Tanzania, using annual data for the period from 1970 to 2012. Using the Johansen cointegration test advocates there is at least one cointegration vector among these variables. Given such condition, the application vector error correction model (VEC) became inevitable as it presents additional and superior information in relation to other data production processes. The results indicate a close long–term connection between private investment, and other variables included in the study. Results suggest that budget deficits considerably crowds out private investment. The study advocates that government should readdress its fiscal policy that would support the private investors. The government should discourage high government expenditures and maintaining a low fiscal deficit also capital market should be used to finance budget deficit.

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Journal articles on the topic 'Vector error correction model (VEC model)'

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