Academic literature on the topic 'Vector error correction model (VECM)'

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Journal articles on the topic "Vector error correction model (VECM)"

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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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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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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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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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Abusharbeh, Mohammed. "Determinants of Islamic bank financing in the Middle East: Vector Error Correction Model (VECM)." Investment Management and Financial Innovations 17, no. 4 (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
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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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Vicente, E. Montaño, and C. Cinco Rowena. "Dynamic Interaction of Coconut Oil and Crude Oil Prices: Insights from a Vector Error Correction Model." INTERNATIONAL JOURNAL OF INNOVATIVE RESEARCH IN MULTIDISCIPLINARY EDUCATION 02, no. 08 (2023): 368–76. https://doi.org/10.5281/zenodo.8310694.

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Understanding the relationship between commodity prices is paramount for investors, policymakers, and industries reliant on these markets. This study delves into the intricate dynamics between coconut oil and crude oil prices using a Vector Error Correction Model (VECM). The VECM approach allows for exploring these commodities' short-term adjustments and long-term equilibrium relationships. The analysis reveals that while there may not be a strong long-term interdependence between coconut oil and crude oil prices, robust short-term adjustment mechanisms exist. The cointegration rank two (2
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Sunarya, I. Wayan. "Perkembangan Makroekonomi Negara Kanada Dengan Analisa Vector Error Correction Model (VECM)." Jurnal Aplikasi Manajemen, Ekonomi dan Bisnis 6, no. 2 (2022): 15–41. http://dx.doi.org/10.51263/jameb.v6i2.143.

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This study aims to analyze the relationship between Gross Domestic Product (GDP), Inflation (INF), Import (IMP) and Unemployment (UEM) that occurred in Canada by using Vector Error Correction Model (VECM) analysis. The data source comes from https://www.imf.org; data taken from 1980 to 2020. The analytical tool used is the Vector Error Correction Model (VECM) which aims to analyze the relationship or causality between variables both in the short and long term, where the results obtained are the relationship between variables more referring to short term causality. And to find out the impact be
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Jaya Hartono, Dermawan, and Suyanto Suyanto. "Major determinants of Bitcoin price: Application of a vector error correction model." Investment Management and Financial Innovations 20, no. 4 (2023): 257–71. http://dx.doi.org/10.21511/imfi.20(4).2023.21.

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Research in recent years has shown that Bitcoin is a virtual asset that is used as a medium of exchange and investment tool other than shares and bonds, the development of the digital era has opened up opportunities for Bitcoin to be chosen as part of an investor’s portfolio. The focus of this study is to examine the impact of nine key determinants on Bitcoin price. The data used in the study are daily data starting from January 1, 2018 to January 1, 2022. The main data source is taken from Investing.com, and the estimation method applied is the Vector Error Correction Model (VECM). The main f
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Arega, Shumetie Ademe. "Determinants of Ethiopian Trade Balance: Vector Error Correction Model (VECM) Approach." Journal of Research in Business, Economics and Management 6, no. 2 (2016): 858–67. https://doi.org/10.5281/zenodo.3965344.

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Trade balance is one core component of national income of countries especially in the present times on which every nation have open economy and foreign interaction. It may be in positive or negative depending on the trading and economic power of the nation. For instance Ethiopia has a negative trade balance for the previous two decades, implies that export of the country could not cover the import expenditure. This indicates that the proportion between export and import is always less than one. There are different factors which result into having as such circumstance. This study tried to asses
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Dissertations / Theses on the topic "Vector error correction model (VECM)"

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Silber, Frank. "Makroökonometrische Anpassungsanalyse im Vector-Error-Correction-Model (VECM) : Untersuchungen an ausgewählten Arbeitsmärkten /." Frankfurt am Main: Lang, 2003. http://www.gbv.de/dms/zbw/362076561.pdf.

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Meki, Brian. "Examining long-run relationships of the BRICS stock market indices to identify opportunities for implementation of statistical arbitrage strategies." Thesis, University of the Western Cape, 2012. http://hdl.handle.net/11394/4348.

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>Magister Scientiae - MSc<br>Purpose:This research investigates the existence of long-term equilibrium relationships among the stock market indices of Brazil, Russia, India, China and South Africa (BRICS). It further investigates cointegrated stock pairs for possible implementation of statistical arbitrage trading techniques.Design:We utilize standard multivariate time series analysis procedures to inspect unit roots to assess stationarity of the series. Thereafter, cointegration is tested by the Johansen and Juselius (1990) procedure and the variables are interpreted by a Vector Error Correct
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Mvita, Mpinda Freddy. "The impact of dividend policy on shareholders' wealth : evidence from the Vector Error Correction Model." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/31010.

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Dividend policy is widely researched in financial management, but determining whether it affects the market price per share is difficult. There has been much published on the subject, which presented theories such as the Modigliani, Miller, Gordon, Lintner, Walter and Richardson propositions and the relevance and irrelevance theories. However, little research has been done on the impact of dividend policy on shareholders’ wealth while considering the short- and long-run effects. The Vector Error Correction Model (VECM) was used to describe the short-run and long-run dynamics or the adjustment
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Hadad, Junior Eli. "Um estudo econométrico do consumo e da renda agregados no Brasil." Universidade Presbiteriana Mackenzie, 2011. http://tede.mackenzie.br/jspui/handle/tede/534.

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Made available in DSpace on 2016-03-15T19:25:37Z (GMT). No. of bitstreams: 1 Eli Hadad Junior.pdf: 290403 bytes, checksum: 413b010b2b66c535b71df800b9626c61 (MD5) Previous issue date: 2011-08-10<br>The dissertation analyzes data of the Brazilian household consumption and income between the years 1947 and 2009. The study aims to evaluate to what extent the aggregate consumption of Brazilian household may approximate be a random walk. The dissertation uses Johansen's cointegration techniques (1988, 1991) and super exogeneity tests as proposed by Engle and Hendry et al. (1983). The dissertation
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Bohlandt, Florian Martin. "Single manager hedge funds - aspects of classification and diversification." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/85859.

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Thesis (PhD)--Stellenbosch University, 2013.<br>A persistent problem for hedge fund researchers presents itself in the form of inconsistent and diverse style classifications within and across database providers. For this paper, single-manager hedge funds from the Hedge Fund Research (HFR) and Hedgefund.Net (HFN) databases were classified on the basis of a common factor, extracted using the factor axis methodology. It was assumed that the returns of all sample hedge funds are attributable to a common factor that is shared across hedge funds within one classification, and a specific factor
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Louw, Riëtte. "Forecasting tourism demand for South Africa / Louw R." Thesis, North-West University, 2011. http://hdl.handle.net/10394/7607.

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Tourism is currently the third largest industry within South Africa. Many African countries, including South Africa, have the potential to achieve increased economic growth and development with the aid of the tourism sector. As tourism is a great earner of foreign exchange and also creates employment opportunities, especially low–skilled employment, it is identified as a sector that can aid developing countries to increase economic growth and development. Accurate forecasting of tourism demand is important due to the perishable nature of tourism products and services. Little research on foreca
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Bentivoglio, Deborah. "Analisi della Sostenibilità Socio-economica ed Ambientale dei Biocarburanti nel Contesto Europeo e Brasiliano." Doctoral thesis, Università Politecnica delle Marche, 2015. http://hdl.handle.net/11566/243058.

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Negli ultimi anni la produzione e il consumo dei biocarburanti sono aumentati a livello globale. Tale incremento è stato incentivato soprattutto grazie al supporto e agli incentivi adottati dai vari Paesi promotori finalizzati alla riduzione delle emissioni di gas serra e alla sicurezza energetica. Ad oggi il mercato globale è dominato dall’etanolo (79%) e dal biodiesel (21%). In particolare, l'Unione Europea domina il mercato del biodiesel mentre il Brasile è il più grande produttore ed esportatore mondiale di zucchero, nonché il più grande produttore al mondo e consumatore di etanolo da can
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Tao, Juan. "A re-examination of the relationship between FTSE100 index and futures prices." Thesis, Loughborough University, 2008. https://dspace.lboro.ac.uk/2134/8071.

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This thesis examines the validity of the cost of carry model for pricing FTSE100 futures contracts and the relationship between FTSE100 spot and futures markets during two sub-periods characterised by different market trading systems employed by the LSE and LIFFE. The empirical work is carried out using three approaches to econometric modeling: a basic VECM for spot and futures prices, a VECM extended with a DCCTGARCH framework to account for the conditional variance-covariance structure for spot and futures prices and a threshold VECM to capture regime-dependent spot-futures price dynamics. O
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Ramanauskaitė, Giedrė. "Stress testing in credit risk analysis." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2008. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2008~D_20080620_110415-38466.

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The supervising institutions do not give to commercial banks indications what models have to be used for stress testing. This research was done in order to find out which mathematical/statistical models are and can be used in credit risk stress testing. Credit risk is one of the biggest financial risks that every bank faces. Stress testing is a tool of credit risk assessment that helps to estimate the consequences of the events that have really small probability to happen but if they occur, banks can have significant losses. This study determined that the most plausible event is adverse macroe
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Raksong, Saranya. "The stability of money demand and monetary transmission mechanism in Thailand." Thesis, Curtin University, 2010. http://hdl.handle.net/20.500.11937/612.

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The major objective of this thesis is to investigate whether there exists a stable long run and short run equilibrium relationship between real money balances (M1 or M2) and their determinants in Thailand. A cointegration analysis and the Vector Error Correction Model (VECM) are conducted on quarterly data over two data set periods, 1980Q1 to 2007Q1 and 1993Q1 to 2007Q1. The results indicate that there exists a long run equilibrium relationship between real money demand (both M1 and M2) and its determinants: real income, price level, exchange rates, and external interest rates.The thesis also
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Books on the topic "Vector error correction model (VECM)"

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Lloyd, Tim. Testing a capital pricing model of land values: Cointegration and error correction in a vector auto-regression. Department of Economics, University of Nottingham, 1992.

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S, Madheswaran, and Institute for Social and Economic Change, eds. Casuality between energy consumption and output growth in Indian cement industry: An application of panel vector error correction model. Institute for Social and Economic Change, 2010.

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Kurniyati, Yuli. Alokasi dan distribusi anggaran pemerintah daerah Tingkat II untuk sektor pendidikan serta pengaruhnya terhadap pertumbuhan ekonomi regional: Aplikasi Vector Error Correction Model pada kabupaten dan kota di Propinsi Daerah Istimewa Yogyakarta, 1990-2006 : laporan penelitian dosen muda. Fakultas Ekonomi, Universitas Proklamasi 45, 2008.

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Makroökonometrische Anpassungsanalyse im Vector-Error-Correction-Model (VECM): Untersuchungen an ausgewählten Arbeitsmarkten. P. Lang, 2003.

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Tissen, Colin, and E. Voisin. Effects of Monetary Policy in the Us. the Vector Error Correction Model (Vecm) Compared to the Structural Autoregressive Model (Svar). GRIN Verlag GmbH, 2017.

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Khan, Aman, and Kenneth A. Scorgie. Forecasting Government Budgets. The Rowman & Littlefield Publishing Group, 2022. https://doi.org/10.5040/9781666990355.

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Forecasting is integral to all governmental activities, especially budgetary activities. Without good and accurate forecasts, a government will not only find it difficult to carry out its everyday operations but will also find it difficult to cope with the increasingly complex environment in which it has to operate. This book presents, in a simple and easy to understand manner, some of the commonly used methods in budget forecasting, simple as well as advanced. The book is divided into three parts: It begins with an overview of forecasting background, forecasting process, and forecasting metho
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Pevehouse, Jon, and Jason D. Brozek. Time‐Series Analysis. Edited by Janet M. Box-Steffensmeier, Henry E. Brady, and David Collier. Oxford University Press, 2009. http://dx.doi.org/10.1093/oxfordhb/9780199286546.003.0019.

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This article discusses time-series methods such as simple time-series regressions, ARIMA models, vector autoregression (VAR) models, and unit root and error correction models (ECM). It specifically presents a brief history of time-series analysis before moving to a review of the basic time-series model. It then describes the stationary models in univariate and multivariate analyses. The nonstationary models of each type are addressed. In addition, various issues regarding the analysis of time series including data aggregation and temporal stability are considered. Before concluding, the articl
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Book chapters on the topic "Vector error correction model (VECM)"

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Gherghina, Ştefan Cristian. "A Vector Error Correction Model (VECM) Approach." In Sustainable Finance. Springer International Publishing, 2023. http://dx.doi.org/10.1007/978-3-031-43864-6_3.

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Magfiroh, Illia Seldon, Intan Kartika Setyawati, Luh Putu Suciati, Rena Yunita Rahman, and Ahmad Zainuddin. "Vertical Market Integration of Cooking Oil Commodities in Jember Regency: Vector Error Correction Model (VECM) Approach." In Proceedings of the 6th International Conference on Combinatorics, Graph Theory, and Network Topology (ICCGANT 2022). Atlantis Press International BV, 2023. http://dx.doi.org/10.2991/978-94-6463-138-8_18.

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Khouangvichit, Chintana. "The relationship between macroeconomic factors and non-performing loans (NPLs) in Lao PDR." In Green and Digital Transitions. Szegedi Tudományegyetem, 2024. http://dx.doi.org/10.14232/gtk.gdtgiss.2024.10.

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The role of the banking sector in driving economic development cannot be understated. Its stability is a critical factor that sets the pace for economic progress. Among the various indicators of financial stability, non-performing loans (NPLs) held by banks hold particular significance as they reflect asset quality, credit risk, and the efficient allocation of resources to productive sectors. NPLs have indeed been a subject of concern for the banking sector, with their prominence intensifying, especially after the 2008 financial crisis. This study investigates the relationship between Macroeco
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Labuschagne, Coenraad C. A., Niel Oberholzer, and Pierre J. Venter. "A Vector Error Correction Model (VECM) of FTSE/JSE SA Listed Property Index and FTSE/JSE SA Capped Property Index." In Advances in Panel Data Analysis in Applied Economic Research. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-70055-7_8.

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Hoque, Muhmmad Mohsinul, and Md Shohel Rana. "The Impact of Social and Economic Indicators on Infant Mortality Rate in Bangladesh: A Vector Error Correction Model (VECM) Approach." In Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering. Springer Nature Switzerland, 2023. http://dx.doi.org/10.1007/978-3-031-34622-4_48.

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Sah, Hemant Kumar, and Gyanendra Singh Sisodia. "Exploring the Relationship Among Economic Growth, Energy Consumption, Carbon Emission and Trade: A Panel Vector Error Correction Model (VECM) Analyses." In Energy Transition. Springer Nature Singapore, 2022. http://dx.doi.org/10.1007/978-981-19-3540-4_9.

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Maitra, Sarit. "Vector Auto Regression and Vector Error Correction Model." In Contributions to Economics. Springer Nature Switzerland, 2025. https://doi.org/10.1007/978-3-031-86862-7_7.

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Thasnimol, C. M., and R. Rajathy. "Vector Error Correction Model for Distribution Dynamic State Estimation." In Control Applications in Modern Power System. Springer Singapore, 2020. http://dx.doi.org/10.1007/978-981-15-8815-0_2.

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Chen, Jun, Xiaoqi Peng, and Xiuming Tang. "Error Correction of Support Vector Regression Model for Copper-Matte Converting Process." In Proceedings of the 2015 Chinese Intelligent Automation Conference. Springer Berlin Heidelberg, 2015. http://dx.doi.org/10.1007/978-3-662-46466-3_13.

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Yamaka, Woraphon, Pathairat Pastpipatkul, and Songsak Sriboonchitta. "Business Cycle of International Tourism Demand in Thailand: A Markov-Switching Bayesian Vector Error Correction Model." In Lecture Notes in Computer Science. Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-25135-6_38.

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Conference papers on the topic "Vector error correction model (VECM)"

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Rahayu, Widyanti, Bagus Sumargo, and Amalia Syafira. "Modeling climate change in Indonesia using VECM (vector error correction model)." In PROCEEDINGS OF THE 5TH INTERNATIONAL CONFERENCE ON INFORMATICS ENGINEERING, SCIENCE & TECHNOLOGY (INCITEST) 2022. AIP Publishing, 2025. https://doi.org/10.1063/5.0254598.

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Lestari, Reni. "Analysis of Stock Market Integration Among ASEAN Countries by Using Vector Error Correction Model (VECM) Approach." In Japan International Business and Management Research Conference. RSF Press & RESEARCH SYNERGY FOUNDATION, 2020. http://dx.doi.org/10.31098/jibm.v1i1.220.

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Globalization has driven the economy of countries to relate to each other. It brings relationships in the capital among countries in the world, especially in ASEAN region countries. This study aimed to analyze the integration of the stock market among countries in the ASEAN region. The stock market was analyzed are the Indonesia Stock Exchange, Malaysia Stock Exchange, Singapore Stock Exchange, Thailand Stock Exchange, Vietnam Stock Exchange, and Philippine Stock Exchange. This study using the Vector Error Correction Model (VECM) as the method. The result of this study shows that, in the long
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Suharsono, Agus, Auliya Aziza, and Wara Pramesti. "Comparison of vector autoregressive (VAR) and vector error correction models (VECM) for index of ASEAN stock price." In INTERNATIONAL CONFERENCE AND WORKSHOP ON MATHEMATICAL ANALYSIS AND ITS APPLICATIONS (ICWOMAA 2017). Author(s), 2017. http://dx.doi.org/10.1063/1.5016666.

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Petrushevska, Dragana, and Marija Trpkova-Nestorovska. "Investigating the Interplay of Economy and Environment in the Western Balkan and Neighboring Countries Using Vecm Approach." In Economic and Business Trends Shaping the Future. Ss Cyril and Methodius University, Faculty of Economics-Skopje, 2023. http://dx.doi.org/10.47063/ebtsf.2023.0011.

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The relationship between economic development and carbon dioxide emissions in the Western Balkans and the neighboring countries has been a subject of significant interest and study. Economic development, which involves increased industrialization, urbanization, trade, household, and energy consumption, is often associated with higher carbon dioxide emissions due to the burning of fossil fuels. Researchers have investigated how various factors such as economic growth, population size, energy mix, and technological advancements influence carbon dioxide emissions in different regions of the world
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Mehmetaj, Nevila. "Relationship between Exchange Rate and Trade Balance Pre and after COVID-19 – Albania Case Study." In ERAZ: KNOWLEDGE BASED SUSTAINABLE DEVELOPMENT. Association of Economists and Managers of the Balkans – Belgrade, Serbia, 2022. http://dx.doi.org/10.31410/eraz.2022.23.

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This study attempts to identify the relationship between the real exchange rate and trade balance in Albania with its major trading partner Italy. Due to the severe lockdown and restrictions policies in response to Covid-19 measures, there were important effects on the evolution of trade. Quarterly data from 2008 to 2022 are used in several econometric methods such as unit root tests, cointegration techniques, Granger test, and vector error correction model (VECM). The main findings of this study are that domestic income and exchange rate show a long-run positive relationship to the trade bala
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Xiong Jiping and Wu Ping. "An Analysis of Forecasting Model of Crude Oil Demand Based on Cointegration and Vector Error Correction Model (VEC)." In 2008 International Seminar on Business and Information Management (ISBIM 2008). IEEE, 2008. http://dx.doi.org/10.1109/isbim.2008.97.

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Karn, Arodh Lal, and Rakshha Kumari Karna. "Supply line engineering on importation and exportation: bimstec perspective." In Contemporary Issues in Business, Management and Economics Engineering. Vilnius Gediminas Technical University, 2019. http://dx.doi.org/10.3846/cibmee.2019.016.

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Purpose – the purpose of this paper is to investigate whether supply line engineering strategies of goods and service exports, exports transport services and export time have a significant impact on GDP growth of BIMSTEC countries or not. Research methodology – the study employed a panel vector error correction model (VECM) instead of loose VAR to examine the short and long-run relationship among the selected indicators and GDP growth. Findings – in the long-run, the time of export negatively and suggestively associate with GDP. Conversely, VECM based Granger causality test signposted that in
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Algan, Neşe, Başak Gül Aktakas, and İpek Tekin. "The Relationship between Corruption and Economic Growth as a Social Issue: A Case Study on Turkey." In International Conference on Eurasian Economies. Eurasian Economists Association, 2014. http://dx.doi.org/10.36880/c05.00996.

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The present study aims to investigate the relationship between corruption and economic growth by taking the driving force of education into account. A significant contribution of the education level to the reduction process of corruption is expected to occur. For this reason, the number of those who are convicted of corruption offenses depending on their educational status for Turkey are to be taken into account, whereas the effect of education being a separate variable on growth and corruption will not be considered. In this regard, Vector Error Correction (VECM) model will be used as a metho
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Mazure, Gunita, Tatjana Hane, and Anita Cesnauska. "Impact of biodiesel exports and imports on national economy of Latvia." In 24th International Scientific Conference Engineering for Rural Development. Latvia University of Life Sciences and Technologies, Faculty of Engineering and Information Technologies, 2025. https://doi.org/10.22616/erdev.2025.24.tf076.

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This study examines the impact of biodiesel imports and exports in Latvia on the national economy, focusing also on the economic impact and role in the EU total market. Latvia faces significant challenges in the deployment of renewable energy sources, with only 1% of transport energy coming from renewable sources, compared to an EU average of 11%. This gap shows that Latvia urgently needs strategies to boost biodiesel production and usage. At the same time, the country is not making full use of its export opportunities, as biodiesel exports make up just 0.9% of the EU total. However, the impre
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Samarawickrama, I. D. W., and A. Pallegedara. "A Long-Term Relationship Between Sri Lankan Stock Market and Global Stock Markets: A Time Series Analysis." In SLIIT International Conference on Advancements in Sciences and Humanities 2023. Faculty of Humanities and Sciences, SLIIT, 2023. http://dx.doi.org/10.54389/avnd4327.

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A stock market plays a vital role in the capital generation of a nation. With increased financial integration, factoring the regional and international dynamics shared in stock markets assist investors in portfolio diversification decisions and assist policy makers in implementing appropriate policies during a turmoil period. Thus, the study intended to identify the dynamic relations of the Colombo Stock Exchange (CSE) with other prominent global markets to provide insights in making appropriate investment and policy decisions. The study analysed the daily returns of All Share Price Index (ASP
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Reports on the topic "Vector error correction model (VECM)"

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Hoffman, Dennis, and Robert H. Rasche. STLS/US-VECM 6.1: A Vector Error-Correction Forecasting Model of the US Economy. Federal Reserve Bank of St. Louis, 1997. http://dx.doi.org/10.20955/wp.1997.008.

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Lunsford, Kurt G. Business Cycles and Low-Frequency Fluctuations in the US Unemployment Rate. Federal Reserve Bank of Cleveland, 2023. http://dx.doi.org/10.26509/frbc-wp-202319.

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I show that business cycles can generate most of the low-frequency movements in the unemployment rate. First, I provide evidence that the unemployment rate is stationary, while its flows have unit roots. Then, I model the log unemployment rate as the error correction term of log labor flows in a vector error correction model (VECM) with intercepts that change over the business cycle. Feeding historical expansions and recessions into the VECM generates large low-frequency movements in the unemployment rate. Frequent recessions from the late 1960s to the early 1980s interrupt labor market recove
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Ahwireng-Obeng, Asabea Shirley, and Frederick Ahwireng-Obeng. Private Philanthropic Cross-Border Flows and Sustainable Development in Africa. Centre on African Philanthropy and Social Investment, 2011. http://dx.doi.org/10.47019/2021.ra1.

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The paper examines the simultaneous impact of private philanthropic cross-border funding from international foundations on the economic, social, and environmental dimensions of sustainable development in Africa. The vector error correction model (VECM) was used, and contrary to expectations drawn from past studies, funding from this source improves economic growth, advances human development, and enhances environmental quality. Causality test results also disconfirmed the assumption that interactions among the three dimensions were positive and complementary in the long term. The environment v
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Salazar-Díaz, Andrea, Aaron Levi Garavito Acosta, Sergio Restrepo-Ángel, and Leidy Viviana Arcila-Agudelo. Real Equilibrium Exchange Rate in Colombia: Thousands of VEC Models Approach. Banco de la República Colombia, 2022. http://dx.doi.org/10.32468/be.1221.

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Behavioral Equilibrium Exchange Rate (BEER) models suggest many variables as potential drivers of equilibrium real exchange rates (ERER). This gives rise to model uncertainty issues, as ERER depends and varies, often drastically, on a particular set of chosen variables. We address this issue by estimating thousands of Vector Error Correction (VEC) specifications for Colombian data between 2000Q1-2019Q4. According to an extensive literature review, we employ thirty-five proxies categorized among five fixed groups of economic fundamentals that underlie the ERER: Indebtedness, Fiscal sector, Prod
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Anderson, Richard G., Dennis Hoffman, and Robert H. Rasche. A Vector Error-Correction Forecasting Model of the U.S. Economy. Federal Reserve Bank of St. Louis, 1998. http://dx.doi.org/10.20955/wp.1998.008.

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