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

Author: Grafiati

Published: 4 June 2021

Last updated: 26 July 2025

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1

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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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 (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 v

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

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

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

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AMASSAIB, Mahmoud Ali, Mohammed Salih Adam ABDALLA, and Tarig GIBREEL. "Market Efficiency in Agricultural commodities: Vector error correction model (VECM) Approach." International Journal of Research and Innovation in Social Science 06, no. 09 (2022): 174–79. http://dx.doi.org/10.47772/ijriss.2022.6906.

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The study was conducted in Elobied Crops Market to investigate the efficiency market hypothesis (EMH) for sesame, groundnut, and Arabic gum crops. The study used Augmented-Dickey Fuller (ADF) method, Johansen multivariate approach, and Vector error correction model (VECM), and co-integration method. Data was obtained from the Elobied Crops Market database for annual prices and quantities of trading commodities from 1990 to 2017.The study concluded that there is a weak form of EMH for sesame and groundnut and a semi-strong of EMH for Arabic gum.

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Lazović, Ivan, Bojan Đorđević, and Marija Lukić. "Cryptocurrency returns' causality and prediction by using Vector error corection model." International Review, no. 3-4 (2024): 140–54. https://doi.org/10.5937/intrev2404140l.

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The main goal of the research is to predict the future monthly returns of cryptocurrencies using the Vector Error Correction Model (VECM). Time series for the period 2018-2021 consists o f data on monthly returns for the cryptocurrencies Bitcoin, Ethereum and Ripple, as well as monthly returns on gold and the S&P500 stock index. Within the VECM, using the Johansen and Granger tests, short-term cointegration and causality among variables were determined, without the existence o f long-term equilibrium. The resulting model for short-term prediction o f the monthly returns o f the cryptocurre

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Fahria, Izma, Desy Yuliana Dalimunthe, Ririn Amelia, Ineu Sulistiana, and Baiq Desy Aniska Prayanti. "Prediksi Spot Price Komoditas Emas Berjangka dengan Pendekatan Vector Error Correction Model." Jambura Journal of Mathematics 5, no. 2 (2023): 339–50. http://dx.doi.org/10.34312/jjom.v5i2.18737.

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Time series data usually exhibit non-stationary behavior and involve interrelated variables. Thus, we need a model that can obtain good forecasting results from non-stationary time series data with multivariate variables. The Vector Error Correction Model (VECM) is a multivariate time series model which is a vector form of Vector Autoregressive Regression (VAR) for time series data that are non-stationary and have a cointegration relationship. This research was conducted to model the cointegration relationship in providing clarity on the long-term relationship of the influence of future prices

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Qurrota, Ayu Nindien, Ratih Yulihar Taher Arivina, Murwiati Asih, Wayan Suparta I, and Aida Neli. "Analysis Dimensions of Globalization and Poverty : Vector Error Correction Model (VECM) Approach." Journal of Economics, Finance And Management Studies 07, no. 06 (2024): 3508–15. https://doi.org/10.5281/zenodo.12200668.

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This study analyzes how the dimensions of globalization, economic growth, and income inequality affect poverty with the Vector Error Correction Model (VECM) model in the long term. This research method uses time series data and secondary data. The data used in this study are economic growth rate, Gini ratio index, de facto and de jure economic globalization index, social globalization index (%), and the number of poor people (%) in Indonesia from 1984 to 2020 sourced from BPS, World Bank, and KOF ETH Zurich. The result of this study is the cointegration of the dependent variable, namely povert

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Hamzah, Amir, and Mohamad Rizky. "Determinant Analysis of Company Debt Policy with Vector Error Correction Model Approach." Global Financial Accounting Journal 6, no. 1 (2022): 154. http://dx.doi.org/10.37253/gfa.v6i1.6547.

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Purpose- This study uses a VECM model that aims to see the short-run and long-term effects of managerial ownership, sales growth, free cash flow, and asset structure against debt policy. Vector Error Correction Model (VECM) is a model that can be used for time series data that is not stationary but has a cointegration relationship where in the model included stationary exogenous variables as additional regressors. Research Method- The sample used in this research is quantitative data with a purposive sampling technique. Based on the criteria, the number of samples collected is 32 samples

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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 (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

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Wasiaturrahma, Wasiaturrahma, and Anita Lucky Kurniasari. "ELECTRONIC PAYMENT AND ECONOMIC GROWTH IN INDONESIA." Journal of Developing Economies 6, no. 2 (2021): 287. http://dx.doi.org/10.20473/jde.v6i2.24923.

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The purpose of this study is to investigate the effect of non-cash payment transactions on economic growth in Indonesia and to see the responses from supporting variables, such as the velocity of money and the price of transactions. This study involves a Vector Error Correction Model (VECM) analysis tool, using monthly time series data during 2009: 1 – 2017: 12. The results show that the payment instrument affects economic growth, especially the Card-Based Payment Instrument (CBPI). In addition, there are changes to the velocity of money and prices caused by the increase in the use of non-cash

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

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

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Ahman, Eeng, Amir Machmud, and Fadli Agus Triansyah. "Analysis of South Korea's Macroeconomic Development with the Vector Error Correction Model." Jurnal Pendidikan Ekonomi Dan Bisnis (JPEB) 11, no. 02 (2023): 142–65. http://dx.doi.org/10.21009/jpeb.011.2.4.

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This study examines the relationship between Gross Domestic Product (GDP), Import (IMP), Inflation (INF), and Unemployment (UNP) in South Korea using the panel vector error correction model (VECM), cointegration, and Granger. VECM is used to analyze the relationship or causality between variables involved in this research in the short and long run. From the estimation results, especially on the variables of interest, there is a positive and statistically significant relationship between Gross Domestic Product, Import, Inflation, and Unemployment, which refers more to short-term causality. Impu

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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 (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

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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 (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 bet

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Faizin, Moh. "Penerapan Vector Error Correction Model pada Variabel Makro Ekonomi di Indonesia." Jurnal Ekonomi 25, no. 2 (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 a

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

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

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Widiarti, Widiarti, Mustofa Usman, Almira Rizka Putri, and Edwin Russel. "Modeling and Analysis Data Production of Oil, and Oil and Gas in Indonesia by Using Threshold Vector Error Correction Model." Science and Technology Indonesia 9, no. 1 (2024): 189–97. http://dx.doi.org/10.26554/sti.2024.9.1.189-197.

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Data in the fields of finance, business, economics, agriculture, the environment and weather are commonly in the form of time series data. To analyze time series data that involves more than one variable (multivariate), vector autoregressive (VAR) models, vector autoregressive moving average (VARMA) models are generally used. If the variables discussed have cointegration, then the VAR model is modified into a vector error correction model (VECM). The relationship between short-term dynamics and deviation in the VECM model is assumed to be linear. If there is a nonlinear relationship between sh

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Rafdiansyah, Daffa, Sutrisno Sutrisno, and Noor Ellyawati. "PENDEKATAN VECTOR ERROR CORRECTION MODEL (VECM) PADA VARIABEL MAKRO EKONOMI TERHADAP INFLASI DI KALIMANTAN TIMUR." PROMOSI (Jurnal Pendidikan Ekonomi) 12, no. 1 (2024): 45. https://doi.org/10.24127/jp.v12i1.10333.

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East Kalimantan province is one of many provinces in Indonesia whose average inflation rate is still below the national inflation target. This study aims to analyze how the influence of short – term and long-term on several macroeconomic variables such as the money supply (M1), interest rates, and the rupiah exchange rate on inflation in East Kalimantan province in the period 2018.1-2022.12. This study uses secondary data with econometric analysis techniques through Vector Error Correction Model (VECM) approach to estimate the short-term and long-term relationship between variables, with sever

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Agbo, Hanan Mahmoud Sayed. "Determinants of Egypt’s Food Imports Based on Vector Error-Correction Model (VECM)." European Journal of Sustainable Development 11, no. 3 (2022): 137. http://dx.doi.org/10.14207/ejsd.2022.v11n3p137.

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The issue of food and the provision of society's needs have a priority in the Egyptian economic policy. Therefore, the state tends to import large quantities of these commodities annually from the global market to bridge the gap between consumption and domestic production. This study focuses on determining the main factors that affect Egyptian food imports during the period 1990–2019, using a Vector Error-Correction Model (VECM) that will help policymakers use the appropriate monetary, fiscal, and trade tools to manage Egypt’s food imports and decrease the import cost. The empirical results re

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Sitepu, Aldi Anugerah, Bertho Tantular, Gumgum Darmawan, Resa Septiani Pontoh, and Defi Yusti Faidah. "PEMODELAN PRODUK DOMESTIK BRUTO (PDB) DENGAN PENDEKATAN VECTOR ERROR CORRECTION MODEL (VECM)." PRIMER : Jurnal Ilmiah Multidisiplin 1, no. 2 (2023): 60–71. http://dx.doi.org/10.55681/primer.v1i2.50.

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Produk Domestik Bruto (PDB) memiliki peran yang sangat penting dalam untuk mengerti kondisi perekonomian negara. Penelitian ini bertujuan untuk memodelkan variabel PDB dengan mempertimbangkan variabel RTGS (Real Time Gross Settlement). Akan tetapi, data yang digunakan dalam penelitian ini tidak memenuhi asumsi stasioner. Metode yang digunakan pada penelitian ini adalah Vector Error Correction Model (VECM) yang merupakan salah satu model multivariat runtun waktu yang merupakan bentuk Vektor Autoregresive terestriksi dengan data yang tidak stasioner namun kombinasi liniernya memiliki kointegrasi

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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 (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 tha

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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 (2021): 27–49. http://dx.doi.org/10.52344/hfr.2021.5.1.27.

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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 (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

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Putra, Trischa, and Eni Sri Rahayuningsih. "Pengaruh Inflasi, Kurs, dan Investasi Infrastruktur terhadap Pertumbuhan Ekonomi di Indonesia: Analisis Menggunakan Model VECM (1993-2023)." Al-Muzdahir : Jurnal Ekonomi Syariah 7, no. 1 (2025): 126–46. https://doi.org/10.55352/ekis.v7i1.1522.

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This study examines the relationship between inflation, exchange rates, and infrastructure investment on economic growth in Indonesia using the Vector Error Correction Model (VECM) approach for the period 1993–2023. Secondary data were obtained from official institutions such as Bank Indonesia, the Central Bureau of Statistics, and the Ministry of Public Works. The analysis reveals that inflation has a significant negative impact on economic growth in the long term, while exchange rates and infrastructure investment show no significant influence. The VECM model also identifies a significant er

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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 (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 s

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Ismail, Syafiqah, and Mohamad Yazis Ali Basah. "AN ANALYSIS ON CRYPTOCURRENCIES AND MACROECONOMIC VARIABLES USING VECTOR ERROR CORRECTION MODEL (VECM)." ASEAN Journal of Management and Business Studies 3, no. 1 (2021): 8–15. http://dx.doi.org/10.26666/rmp.ajmbs.2021.1.2.

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Cryptocurrency symbolizes of a new development in the financial sector since it is the world's first entirely decentralized digital payment system. The cryptocurrency known as virtual money is one of the most important innovations brought on by digitalization. The purpose of this study is to analyze the relationship between the cryptocurrency (Bitcoin, Monero, and Stellar) with macroeconomics variables known as stock price index (Dow Jones dan Nikkei), oil price (Brent Oil dan WTI), and exchange rates (Australian Dollar, Euro, and Pound Sterling). The data was obtained from investing.com on mo

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Omoluabi, J.E. and Ibitoye, S.J. "Cassava production and agricultural growth in Nigeria: Analysis of effects and forecast." GSC Advanced Research and Reviews 21, no. 1 (2024): 037–46. http://dx.doi.org/10.30574/gscarr.2024.21.1.0356.

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This study analyzed the trend in agricultural growth and cassava productivity in Nigeria (1961 – 2020). Time series on variables of interest were sourced from the Central Bank of Nigeria (CBN) statistical bulletin, the National Bureau of Statistics (NBS), and FAOSTAT. The secondary data obtained were analysed Vector Error Correction Model (VECM) and the autoregressive integrated moving average (ARIMA) model. The result of the short-run model indicated that the Vector Error Correction Term [VECT (-1)] was rightly signed (-1.74) indicating a high speed of adjustment. The results of the ARIMA for

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

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

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Firkovič, Viktorija, and Rimantas Rudzkis. "Įvairių kointegravimo analizės metodų taikymo Lietuvos makroekonomikos modeliavime rezultatų palyginimas." Lietuvos matematikos rinkinys 43 (December 22, 2003): 468–74. http://dx.doi.org/10.15388/lmr.2003.32501.

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Actual goal in the modeling of the Lithuania’s transition economy is to compare some different analysismethods of cointegrated time series: Johansen’s, Box–Tiao, Stock–Watson, Engle–Granger two step procedure and principal components analysis. We investigate mathematical models of the long-run relations and changes of macroeconomic indicators, which we statistically identify using different statistical estimator of cointegrated vectors (CI) and vector error correction model (VECM).

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Ibrahim, Y. A., N. O. Nweze, M. U. Adehi, and S. E. Chaku. "Development of a hybrid macroeconomic model for forecast of economic indicators." Science World Journal 20, no. 1 (2025): 289–93. https://doi.org/10.4314/swj.v20i1.39.

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This study proposed a hybrid modelling framework that integrates Random Forest (RF), Vector Error Correction Model (VECM), and Regression Analysis to enhance macroeconomic forecasting in Nigeria. Addressing challenges such as oil price volatility, structural shocks, and sparse high-frequency data, this approach combines RF’s ability to capture non-linear patterns, VECM’s cointegration of non- stationary variables, and Regression’s parametric efficiency through residual correction and ensemble averaging. Using macroeconomic data from 1993–2022, the hybrid model achieved a 23.4% reduction in Mea

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Fahria, I., and I. Sulistiana. "Vector error correction model to analyze energy uses, environmental quality and economic growth during Covid-19 Pandemic." IOP Conference Series: Earth and Environmental Science 926, no. 1 (2021): 012066. http://dx.doi.org/10.1088/1755-1315/926/1/012066.

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Abstract Time series data commonly show are interconnected behaviour and non-stationer interrelated variables, so a model that able to obtain a good forecasting result from a non-stationary multivariate variables time series data are needed. Vector Error Correction Model (VECM) is one of multivariate time series model which is a vector form of Vector Autoregressive Boundary (VAR) for non-stationary time series data and has a cointegration relationship. The purpose of this study is to identify the VECM model in analyzing the relationship between energy use, environmental quality (CO2), and econ

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Nanaka, S. O., I. D. Essi, N. M. Nafo, and Z. D. Deebom. "Modeling the Effect of Monetary Policy on Commercial Bank’s Lending Operation in Nigeria using Vector Error Correction Model (1991- 2020)." IIARD INTERNATIONAL JOURNAL OF BANKING AND FINANCE RESEARCH 8, no. 2 (2022): 51–66. http://dx.doi.org/10.56201/ijbfr.v8.no2.2022.pg51.66.

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The study examines the effect of monetary policy on commercial bank’s lending operation in Nigeria between February, 1991 to October, 2020 using the macroeconomic time series variables of exchange rate, interest rate, maximum lending rate and prime lending rate. The vector error correction model was employed to analyze these interactions as well as the effect and pattern of causality among the variables under investigation. Monthly data spanning from February, 1991 to October, 2020 which covered a period of 29 years and 7 months (357 observations) were sourced from the Statistical Bulletin of

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Anggoro, Dhaniar Aji. "ANALISIS HUBUNGAN VARIABEL MONETER DI INDONESIA SEBELUM DAN SESUDAH PENERAPAN KEBIJAKAN INFLATION TARGETING FRAMEWORK (ITF) PERIODE (1991.1-2010.4)." Jurnal Ekonomi dan Bisnis Airlangga 27, no. 1 (2017): 1. http://dx.doi.org/10.20473/jeba.v27i12017.1-18.

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Penelitian ini dilakukan untuk meneliti hubungan variabel moneter di Indonesia sebelum dan sesudah penerapan inflation targeting framework (ITF) yang terbagi dalam dua periode yaitu 1991.1-2000.4 dan 2001.1-2010.4. Tulisan ini secara khusus meneliti hubungan masing-masing variabel yaitu nilai tukar, tingkat suku bunga dan M2 terhadap inflasi pada kedua periode dengan menggunakan model vector error correction model (VECM), hasil dari penelitian ini menunjukkan bahwa adanya respon yang berbeda oleh inflasi terhadap masing-masing variabel sebelum dan sesudah penerapan ITF dimana respon terhadap n

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

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

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Obayelu, Oluwakemi Adeola, and Samuel Ebute. "Assessment of cassava supply response in Nigeria using vector error correction model (VECM)." Agricultura 13, no. 1-2 (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

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

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

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Faizin, Moh. "Penerapan Vector Error Correction Model pada Hubungan Kurs, Inflasi dan Suku Bunga." e-Journal Ekonomi Bisnis dan Akuntansi 8, no. 1 (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

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KOBILOV, ANVAR ESHPULOTOVICH, and OYBEK ABDUSATTAROVICH KURBONOV. "Foreign Direct Investment and Domestic Investment On the Economic Growth of the Uzbekistan - A VECM Analysis." International Journal of Academic Research in Business, Arts & Science ( IJARBAS.COM ) 2, no. 5 (2020): 75–86. https://doi.org/10.5281/zenodo.3832977.

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The present paper deals with the relationship between FDI, GDP and DI using a vector error-correction model (VECM). The empirical model is based on quarterly data for the period 2010-2019 in Uzbekistan. The result of the Johansen cointegration rank test shows that there exists a long-run relationship among the three variables. The Granger causality test indicates a positive significant bidirectional relationship between GDP and Domestic Investment. GDP Granger causes FDI and a change in the GDP indicates in advance a change in the level of FDI The variance decomposition indicates that fluctuat

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Andrei, Dalina-Maria. "Human Capital and Economic Growth in Romania: A Vector Error Correction Model (VECM)." HOLISTICA – Journal of Business and Public Administration 13, no. 1 (2022): 110–24. http://dx.doi.org/10.2478/hjbpa-2022-0007.

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Abstract This paper aims to evaluate the human capital on economic growth impact in Romania. Variables have been selected according to an endogenous growth model basing on including the human capital in the Cobb-Douglas production function (Lucas, 1988). As all over usual, here gross domestic product (GDP) will be the endogenous of gross fixed capital formation (GFCF, as physical capital stock), employment (as labour), life expectancy and secondary enrolment rate(as proxies for human capital). We also use expenditure in research and development (R&D) sector (as its percentage in GDP), as c

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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 (2017): 16–24. http://dx.doi.org/10.9790/5933-0804021624.

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