Articles de revues : « VECM (Vector Error Correction Model) »

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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, n^o 4 (9 décembre 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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Shahraki, M*, et S. Ghaderi. « The Relationship between Education and Health : Vector Error Correction Model (VECM) ». Journal of Health 10, n^o 4 (1 décembre 2019) : 445–56. http://dx.doi.org/10.29252/j.health.10.4.445.

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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, n^o 1 (juin 2021) : 27–49. http://dx.doi.org/10.52344/hfr.2021.5.1.27.

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Khera, Aastha, et 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, n^o 2 (31 décembre 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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Mashabi, M., et Wasiaturrahma Wasiaturrahma. « ELECTRONIC BASED PAYMENT SYSTEMS AND ECONOMIC GROWTH IN INDONESIA ». Jurnal Ilmu Ekonomi Terapan 6, n^o 1 (26 juin 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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Hamdani, Hamdani, Ismail Ismail et Thasrif Murhadi. « Analisis Kredit UMKM di Provinsi Aceh : Analisis Empiris Vector Error Correction Model (VECM) ». Jurnal EMT KITA 4, n^o 1 (10 septembre 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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Setiawan, Setiawan, Moch Trianto Utomo, Alfira Mulya Astuti, M. Sjahid Akbar et Imam Safawi Ahmad. « Forecasting Financial System Stability Using Vector Error Correction Model Approach ». CAUCHY 6, n^o 3 (19 novembre 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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Hendayanti, Ni Putu Nanik, et Maulida Nurhidayati. « PEMODELAN JUMLAH UANG BEREDAR DAN INFLASI NASIONAL DENGAN VECTOR ERROR CORRECTION MODEL (VECM) ». Jurnal Varian 1, n^o 1 (28 septembre 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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Hapsari, Meilina Retno, Suci Astutik et Loekito Adi Soehono. « Relationship of Macroeconomics Variables in Indonesia Using Vector Error Correction Model ». Economics Development Analysis Journal 9, n^o 4 (6 novembre 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, n^o 2 (8 juillet 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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Obayelu, Oluwakemi Adeola, et Samuel Ebute. « Assessment of cassava supply response in Nigeria using vector error correction model (VECM) ». Agricultura 13, n^o 1-2 (1 décembre 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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Abaka John, Messiah, et Olofin, Philip Olabode. « Informal Sectors and Unemployment in Nigeria : A Vector Error Correction Model (VECM) Approach ». IOSR Journal of Economics and Finance 08, n^o 04 (juillet 2017) : 16–24. http://dx.doi.org/10.9790/5933-0804021624.

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Baehaqy, Hasymi Nur, et Eko Fajar Cahyono. « Impact of conventional banking financing and Islamic banking financing on economic growth 2008-2018 ». Jurnal Ekonomi Syariah Teori dan Terapan 6, n^o 6 (17 janvier 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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Ahn, Young-Gyun, et Min-Kyu Lee. « Elasticity of the Number of World Cruise Tourists Using the Vector Error Correction Model ». Sustainability 13, n^o 16 (5 août 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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Wibowo, Rudi, Ahmad Zainuddin, Rena Yunita Rahman, Intan Kartika Setyawati, Illia Seldon Magfiroh et 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, n^o 3 (8 juin 2021) : 874. http://dx.doi.org/10.18517/ijaseit.11.3.9667.

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Liu, Zong Jin, Yang Yang, Zheng Fang et Yan Yan Xu. « Measuring Dynamic Sales Impacts of LBA Using Wireless Communication Technology ». Advanced Materials Research 662 (février 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 correction process. In this study, we employ VECM to explore LBA’s (Location Based Advertising) and PUA’s (Pop-up Advertising) sales impact in both short and long terms. The developed VECM reveals that LBA’s sales impact is about more than2 times as big as PUA’s in short dynamic term and nearly 6 times bigger than PUA’s in long equilibrium term. These findings add to advertising and VECM literatures. These results can give managers more confident to apply wireless communication technology to advertising.

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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, n^o 1 (31 mars 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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Khanssa, Mohammad, Wafaa Nasser et Abbas Mourad. « An Econometric Analysis of Inflation and Unemployment in Lebanon : A Vector Error Correction Model (VECM) ». International Journal of Economics and Finance 10, n^o 2 (20 janvier 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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Yasrizal, Yasrizal, et Nabila Ukhty. « GRANGER CAUSALITY POLA KONSUMSI IKAN DI ACEH TENGAH MENGGUNAKAN ANALISISI VECTOR ERROR CORRECTION MODEL (VECM) ». JURNAL PERIKANAN TROPIS 6, n^o 2 (1 octobre 2019) : 89. http://dx.doi.org/10.35308/jpt.v6i2.2185.

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Development of human resources is very important in promoting economic growth, because humans are not only objects in development but also play a role as a subject. Stunting is a major problem that inhibits the quality of human resources, to reduce the amount of human development that lives by stunting is to increase the consumption of protein contained in fish. This study aimed to determine the pattern of fish consumption in Central Aceh and the variables that affect fish consumption. The analytical model used is the granger causality analysis, through the Vector Error Correction Model (VECM) analysis model. The results of this study indicate that the pattern of fish consumption in Central Aceh was not only influenced by income, but also influenced by the amount of chicken meat and egg consumption Increased income does not have a positive effect on increasing fish consumption but affects the amount of chicken meat and egg consumption. To increase the amount of fish consumption in Central Aceh, efforts to increase the amount of fish supply through local fish farming activities and the socialization of fish eating.

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Maulia, Eva, Miftahuddin et Hizir Sofyan. « Tax revenue and inflation rate predictions in Banda Aceh using Vector Error Correction Model (VECM) ». IOP Conference Series : Materials Science and Engineering 352 (mai 2018) : 012056. http://dx.doi.org/10.1088/1757-899x/352/1/012056.

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Winarno, S., M. Usman, Warsono, D. Kurniasari et Widiarti. « Application of Vector Error Correction Model (VECM) and Impulse Response Function for Daily Stock Prices ». Journal of Physics : Conference Series 1751 (janvier 2021) : 012016. http://dx.doi.org/10.1088/1742-6596/1751/1/012016.

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Shah, Syed Alamdar Ali, Raditya Sukmana et Bayu Arie Fianto. « Stage-I Shariah compliant Macaulay’s duration model testing ». Journal of Islamic Accounting and Business Research 12, n^o 7 (18 août 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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Soto, Paula Andrea, et Juan Carlos Ruilova Teran. « Arbitragem Estatística : Uma Abordagem por VECM ». Brazilian Review of Finance 15, n^o 4 (20 juin 2018) : 537. http://dx.doi.org/10.12660/rbfin.v15n4.2017.65761.

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This work develops a statistical arbitrage model which was tested on the Brazilian stock market. Prices were modeled using VECM (Vector Error Correction Models) to create a self-financing, market-neutral, long/short trading strategy. In this strategy, deviations in the long-term equilibrium of prices are identified in order to create buy and sell signals. Portfolios with common trends were selected by means of Principal Component Analysis. The viability of this strategy was empirically addressed using simulations on these portfolios. Its performance was also compared to other long/short trading strategies and were all analyzed in terms of returns, volatility and statistical arbitrage opportunities. The methodology used in this paper shows good results for modeling prices, and though all trading strategies offer considerable gains for the investor, the proposed strategy stands out by presenting statistical arbitrage.

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KONG, TUAN-YUEN, YUN-PENG CHU, CHIN-FU HSU et NORDEN E. HUANG. « AN ANATOMY OF ECONOMIC GROWTH IN TAIWAN ». Advances in Adaptive Data Analysis 02, n^o 02 (avril 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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Samantha, Kenia, Tarno Tarno et Rita Rahmawati. « ANALISIS INTEGRASI SPASIAL PASAR CABAI MERAH KERITING DI JAWA TENGAH DENGAN METODE VECTOR ERROR CORRECTION MODEL ». Jurnal Gaussian 10, n^o 2 (31 mai 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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Awe, Olushina Olawale, Damola M. Akinlana et Sherifat Omolola Adesunkanmi. « Foreign Trade-Foreign Exchange Nexus in Nigeria : A Vector Error Correction Modelling Approach ». Binus Business Review 7, n^o 1 (31 mai 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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Prasada, I. made Yoga, Moh Wahyudi Priyanto et Yahya Shafiyuddin Hilmi. « KETAHANAN PANGAN PENDUDUK DI PULAU JAWA : PENDEKATAN VECTOR ERROR CORRECTION MODEL ». Agrisocionomics : Jurnal Sosial Ekonomi Pertanian 4, n^o 1 (27 mai 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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Kaur, Harleen, Mohammad Afshar Alam, Saleha Mariyam, Bhavya Alankar, Ritu Chauhan, Rana Muhammad Adnan et Ozgur Kisi. « Predicting Water Availability in Water Bodies under the Influence of Precipitation and Water Management Actions Using VAR/VECM/LSTM ». Climate 9, n^o 9 (21 septembre 2021) : 144. http://dx.doi.org/10.3390/cli9090144.

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Recently, awareness about the significance of water management has risen as population growth and global warming increase, and economic activities and land use continue to stress our water resources. In addition, global water sustenance efforts are crippled by capital-intensive water treatments and water reclamation projects. In this paper, a study of water bodies to predict the amount of water in each water body using identifiable unique features and to assess the behavior of these features on others in the event of shock was undertaken. A comparative study, using a parametric model, was conducted among Vector Autoregression (VAR), the Vector Error Correction Model (VECM), and the Long Short-Term Memory (LSTM) model for determining the change in water level and water flow of water bodies. Besides, orthogonalized impulse responses (OIR) and forecast error variance decompositions (FEVD) explaining the evolution of water levels and flow rates, the study shows the significance of VAR/VECM models over LSTM. It was found that on some water bodies, the VAR model gave reliable results. In contrast, water bodies such as water springs gave mixed results of VAR/VECM.

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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, n^o 1 (1 avril 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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Zhou, Rui, Guangyu Xing et Min Ji. « Changes of Relation in Multi-Population Mortality Dependence : An Application of Threshold VECM ». Risks 7, n^o 1 (1 février 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 develop a framework to examine the presence of equilibrium changes and to incorporate these changes into the mortality model. In particular, we focus on equilibrium changes caused by threshold effect, the phenomenon that mortality indexes alternate between different VECMs depending on the value of a threshold variable. Our framework comprises two steps. In the first step, a statistical test is performed to examine the presence of threshold effect in the VECM for multiple mortality indexes. In the second step, threshold vector error correction model (TVECM) is fitted to the mortality indexes and model adequacy is evaluated. We illustrate this framework with the mortality data of England and Wales (EW) and Canadian populations. We further apply the TVECM to forecast future mortalities and price an illustrative longevity bond with multivariate Wang transform. Our numerical results show that TVECM predicted much faster mortality improvement for EW and Canada than single-regime VECM and thus the incorporation of threshold effect significant increases longevity bond price.

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Soon, Byung Min, et Jarrett Whistance. « Seasonal Soybean Price Transmission between the U.S. and Brazil Using the Seasonal Regime-Dependent Vector Error Correction Model ». Sustainability 11, n^o 19 (26 septembre 2019) : 5315. http://dx.doi.org/10.3390/su11195315.

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Soybean production and trade in the U.S. and Brazil are seasonal. Our research question is whether the seasonal tendencies cause the price relationship between U.S. and Brazilian soybean prices. Therefore, the objective is to test for seasonality in the price transmission between the U.S. and Brazil soybean prices using the seasonal regime-dependent vector error correction model (VECM). Our results show that the speed of the adjustment for the U.S. soybean price in the first half of the year is greater than the speed of the adjustment for the Brazilian soybean price. However, the pattern of their responses becomes the reverse in the second half of the year. The component share calculated by the result of the VECM with seasonal effects indicates that the U.S. dominates the world soybean market during the second half of the year while Brazil is dominant in the soybean market in the first half of the year. These results give us an important finding that we could not find using the VECM without seasonal effects. Finally, our results imply that the seasonal pattern of production in the U.S. and Brazil could cause the sustainability of the supply chain in the world soybean market.

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Kaphle, Raghu Raj. « Impact of Foreign Exchange Reserve on Economic Growth in Nepal ». Journal of Management and Development Studies 30, n^o 1 (8 avril 2021) : 14–23. http://dx.doi.org/10.3126/jmds.v30i1.36347.

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This study primarily focuses on the analysis of the contributions of foreign exchange reserve to the economic growth of Nepal by using time series data obtained from the year 1975 to 2018 A.D. In order to assess a relationship between these variables, statistical procedure of unit root test, cointegration and Vector Error Correction Model (VECM) are applied. In addition to the t-statistics, Wald-test for joint significance of coefficients is applied and VECM is performed for testing the impact of the past values of foreign exchange on dependent variables which show the nation’s economic growth. Based on the statistical outcome; Johansen cointegration test indicates the existence of the long-run relationship among variables. The Vector Error Correction outcome and Wald statistics confirm that the past values of foreign exchange have a positive contribution to the economic growth; and foreign exchange reserve has contributed to the economic growth of Nepal.

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Deng, Qi. « A generalized VECM/VAR-DCC/ADCC framework and its application in the Black-Litterman model ». China Finance Review International 8, n^o 4 (19 novembre 2018) : 453–67. http://dx.doi.org/10.1108/cfri-07-2016-0095.

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Purpose The existing literature on the Black-Litterman (BL) model does not offer adequate guidance on how to generate investors’ views in an objective manner. Therefore, the purpose of this paper is to establish a generalized multivariate Vector Error Correction Model (VECM)/Vector Auto-Regressive (VAR)-Dynamic Conditional Correlation (DCC)/Asymmetric DCC (ADCC) framework, and applies it to generate objective views to improve the practicality of the BL model. Design/methodology/approach This paper establishes a generalized VECM/VAR-DCC/ADCC framework that can be utilized to model multivariate financial time series in general, and produce objective views as inputs to the BL model in particular. To test the VECM/VAR-DCC/ADCC preconditioned BL model’s practical utility, it is applied to a six-asset China portfolio (including one risk-free asset). Findings With dynamically optimized view confidence parameters, the VECM/VAR-DCC/ADCC preconditioned BL model offers clear advantage over the standard mean-variance method, and provides an automated portfolio optimization alternative to the classic BL approach. Originality/value The VECM/VAR-DCC/ADCC framework and its application in the BL model proposed by this paper provide an alternative approach to the classic BL method. Since all the view parameters, including estimated mean return vectors, conditional covariance matrices and pick matrices, are generated in the VECM/VAR and DCC/ADCC preconditioning stage, the model improves the objectiveness of the inputs to the BL stage. In conclusion, the proposed model offers a practical choice for automated portfolio balancing and optimization in a China context.

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Erwandi, Erwandi, Farit Mochamad Afendi et Budi Waryanto. « ANALISIS PENGARUH DAERAH PEMASOK TERHADAP HARGA CABAI MERAH DI DKI JAKARTA MENGGUNAKAN VECTOR ERROR CORRECTION MODEL (VECM) ». Indonesian Journal of Statistics and Its Applications 3, n^o 3 (31 octobre 2019) : 216–35. http://dx.doi.org/10.29244/ijsa.v3i3.276.

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This study aims to analyze the effect of red chili price and production in the supplier area on its prices in DKI Jakarta using the Vector Error Correction Model (VECM). The data used in this study are red chili price and average expenditure per month per capita in DKI Jakarta and red chili price and production in East Java, West Java, and Banten in the period January 2012 to July 2018. The model obtained was VECM (1) the price of red chili in DKI Jakarta. It showed that there was a long-term relationship (cointegration) on the first difference. The results the Forecast Error Variance Decomposition (FEVD) analysis showed that the contributions of the red chili price in DKI Jakarta and West Java, average monthly expense for red chili in DKI Jakarta, red chili production (West Java and Banten) are significant in explaining the behaviour of the red chili price change in DKI Jakarta. The results of the Impulse Response Function (IRF) analysis showed that the shock of the price of chili in DKI Jakarta and West Java in the previous month will increase the price of red chili in DKI Jakarta in the following month. Conversely, the shock of the average monthly expenditure of red chili in DKI Jakarta and red chili production (West Java and Banten) from the previous month will reduce the price of red chili in DKI Jakarta in the following month.

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Pereira, Marcos Vinicius Lopes, Leonardo Carneiro De Araújo et Robert Aldo Iquiapaza. « Cointegração e previsibilidade de abordagens VECM para o Ibovespa ». Brazilian Review of Finance 18, n^o 2 (12 juillet 2020) : 82. http://dx.doi.org/10.12660/rbfin.v18n2.2020.79162.

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<p>The present research compares multivariate models applied to the IBovespa time series analysis. Macroeconomic variables, commodities and market indices are regressors suggested by the literature. The chosen approach uses a vector error correction model (VECM) alongside unit root and cointegration tests, robust under heteroskedasticity. The impact of national and international economic instability was controlled. To accomplish this, recessive cycles, in Brazil or in the United States, and the Brazilian electoral period were taken into account. In general, the evaluated models failed to meet the estimation’s assumptions, have low explanatory power and do not present significant relationship between IBOVESPA and dependent variables. However, evidence indicates that long-term relationships could exist, although this may not imply accuracy<br />in short-term predictions.</p>

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Ahmadi, Amri, et Sri Herianingrum. « PENGARUH PERTUMBUHAN PDB DAN INFLASI TERHADAP PERTUMBUHAN PERBANKAN SYARIAH DI INDONESIA PERIODE TAHUN 2013-2015 ». Jurnal Ekonomi Syariah Teori dan Terapan 6, n^o 4 (16 janvier 2020) : 763. http://dx.doi.org/10.20473/vol6iss20194pp763-773.

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

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Tran Thi Bich, Ngoc, et Huong Pham Hoang Cam. « Determinants of Inflation in Vietnam : A VECM Approach ». Journal of Asian Business and Economic Studies 22, n^o 04 (1 octobre 2015) : 26–50. http://dx.doi.org/10.24311/jabes/2015.22.4.02.

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This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actually has a short-run impact, but its level is fundamentally weak. The cause of the current inflation is mainly due to public's expectations of the inflation in the last period. Although the error correction, from the long-run relationship, has affected inflation in the short run, the coefficient is small and insignificant. In other words, it means that the speed of the adjustment is very low or near zero. This also implies that once the relationship among inflation, domestic credit, interest rate, budget deficit, and crude oil prices deviate from the long-term trend, it will take the economy a lot of time to return to the equilibrium state.

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Keilbar, Georg, et Yanfen Zhang. « On cointegration and cryptocurrency dynamics ». Digital Finance 3, n^o 1 (17 février 2021) : 1–23. http://dx.doi.org/10.1007/s42521-021-00027-5.

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AbstractThis paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM) framework. To enable analysis in a dynamic setting, we propose the COINtensity VECM, a nonlinear VECM specification accounting for a varying systemwide cointegration exposure. Our results show that cryptocurrencies are indeed cointegrated with a cointegration rank of four. We also find that all currencies are affected by these long term equilibrium relations. The nonlinearity in the error adjustment turned out to be stronger during the height of the cryptocurrency bubble. A simple statistical arbitrage trading strategy is proposed showing a great in-sample performance, whereas an out-of-sample analysis gives reason to treat the strategy with caution.

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Nkalu, Chigozie Nelson, Samuel Chinwero Ugwu, Fredrick O. Asogwa, Mwuese Patricia Kuma et Queen O. Onyeke. « Financial Development and Energy Consumption in Sub-Saharan Africa : Evidence From Panel Vector Error Correction Model ». SAGE Open 10, n^o 3 (juillet 2020) : 215824402093543. http://dx.doi.org/10.1177/2158244020935432.

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This study examines the nexus between financial development and energy consumption/use in Sub-Saharan Africa (SSA) using a panel vector error correction model (VECM), cointegration, and Granger causality tests over the period ranging from 1975 to 2017. The annual panel time-series data generated from the World Bank database were tested for unit-roots processing using both the Levin–Lin–Chu and Im–Pesaran–Shin before proceeding to Johanson cointegration technique, the results of which motivated the choice of adopting the panel VECM rather than panel vector autoregression in the methodology. From the estimation result especially on the variables of interest, there exists a positive and statistically significant relationship between financial development and energy consumption in the long run, but not statistically significant in the short run. Further findings from the panel Granger causality test shows a unidirectional causality running from financial development to energy consumption, gross domestic product per capita, population growth to urbanization with no feedback. Among a series of policy recommendations, the monetary authorities in Sub-Saharan African countries should ensure optimal utilization of financial instruments and technologies available in the system to enhance more robust financial development to boost efficiency in energy consumption in the region in line with the sustainable growth theory.

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Li, Yuanyuan, et Dietmar Bauer. « Modeling I(2) Processes Using Vector Autoregressions Where the Lag Length Increases with the Sample Size ». Econometrics 8, n^o 3 (17 septembre 2020) : 38. http://dx.doi.org/10.3390/econometrics8030038.

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In this paper the theory on the estimation of vector autoregressive (VAR) models for I(2) processes is extended to the case of long VAR approximation of more general processes. Hereby the order of the autoregression is allowed to tend to infinity at a certain rate depending on the sample size. We deal with unrestricted OLS estimators (in the model formulated in levels as well as in vector error correction form) as well as with two stage estimation (2SI2) in the vector error correction model (VECM) formulation. Our main results are analogous to the I(1) case: We show that the long VAR approximation leads to consistent estimates of the long and short run dynamics. Furthermore, tests on the autoregressive coefficients follow standard asymptotics. The pseudo likelihood ratio tests on the cointegrating ranks (using the Gaussian likelihood) used in the 2SI2 algorithm show under the null hypothesis the same distributions as in the case of data generating processes following finite order VARs. The same holds true for the asymptotic distribution of the long run dynamics both in the unrestricted VECM estimation and the reduced rank regression in the 2SI2 algorithm. Building on these results we show that if the data is generated by an invertible VARMA process, the VAR approximation can be used in order to derive a consistent initial estimator for subsequent pseudo likelihood optimization in the VARMA model.

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Marku, Egerta, Llesh Lleshaj et Arjana Lleshaj. « VECM Analysis to House Price Index. Case of Tirana ». European Journal of Marketing and Economics 3, n^o 1 (1 janvier 2020) : 19. http://dx.doi.org/10.26417/ejme.v3i1.p19-30.

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This paper analyzes long-run equilibrium of “house price index” in Tirana (the capital city of Albania) achieved by the long-run performance of macroeconomic factors.We have used the techniques and analysis of linear multiple regression by VECM (vector error correction model), to identify endogenous factors, that effect the stability of “house price index”. The analyze is based on data series 2010-2018 (with 3-month frequency), with independent variables: mortgage loan, interest rate on long-term loans, construction cost index, EUR/ALL exchange rate, house price index with lag(1).We conclude that all these independent variable (expect EUR/ALL exchange rate) are statistically significant, in long-run equilibrium and in the elasticity assessment of “house price index”.

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Mehdi, Sadeghi, et Yahya Alavi Seyyed. « Modeling the impact of money on GDP and inflation in Iran : Vector-error-correction-model (VECM) approach ». African Journal of Business Management 7, n^o 35 (21 septembre 2013) : 3423–34. http://dx.doi.org/10.5897/ajbm11.2444.

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SIMIYU, CHRISTINE NANJALA. « Explaining the Relationship between Public Expenditure and Economic Growth in Kenya using Vector Error Correction Model (VECM) ». International Journal of Economic Sciences IV, n^o 3 (2015) : 19–38. http://dx.doi.org/10.20472/es.2015.4.3.002.

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FATHURRAHMAN, AYIF, et FIRSHA RUSDI. « ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI LIKUIDITAS BANK SYARIAH DI INDONESIA MENGGUNAKAN METODE VECTOR ERROR CORRECTION MODEL (VECM) ». Al-Masraf : Jurnal Lembaga Keuangan dan Perbankan 4, n^o 2 (20 décembre 2019) : 117. http://dx.doi.org/10.15548/al-masraf.v4i2.262.

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This study aims to analyze the factors that affect the liquidity of Islamic banks in Indonesia. The analysis is carried out using sequential monthly data published by Bank Indonesia in the period 2010 to 2018. The variables used are internal factors (Capital Adequacy Ratio (CAR), Return On Assets (ROA)) and external factors (SBI Inflation and Interest Rates) ) The method used in this study is the Vector Error Corection Model (VECM). Based on the results of the study show that in the short term, the variable CAR, ROA, Inflation and SBI interest rates positively and significantly affect FDR. Whereas in the long term, the CAR variable and inflation have a significant positive effect on FDR, the ROA variable negatively influences FDR. And the variable SBI interest rate does not have a significant effect on FDR.

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Windarsari, Wiwin Riski, et 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, n^o 1 (8 avril 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 et 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, n^o 2 (1 novembre 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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Anward, Ryan Juminta. « IDENTIFIKASI DAMPAK LIBERALISASI KEUANGAN DALAM SMALL OPEN ECONOMY : STUDI KASUS DI INDONESIA ». ECOPLAN : JOURNAL OF ECONOMICS AND DEVELOPMENT STUDIES 1, n^o 1 (30 avril 2018) : 1–7. http://dx.doi.org/10.20527/ecoplan.v1i1.2.

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Abstrak- Adanya pandangan bahwa liberalisasi keuangan berperan penting dalam mendorong pertumbuhan ekonomi menyebabkan banyak negara-negara berkembang melakukan serangkaian kebijakan liberalisasi di sektor keuangan. Penelitian ini bertujuan untuk mengidentifikasi secara empiris dampak liberalisasi keuangan terhadap pertumbuhan ekonomi dan variabel makro ekonomi lainnya di Indonesia. Penelitian ini mengembangkan model empiris melalui pengukuran liberalisasi keuangan secara de fakto dan de jure. Hasil estimasi model Vector Autoregression (VAR) dalam pendekatan de jure menunjukkan bahwa indeks liberalisasi keuangan secara statistik tidak berpengaruh siginifikan terhadap pertumbuhan ekonomi dan variabel makro lainnya (inflasi, nilai tukar dan suku bunga). Dalam pendekatan de facto, hasil pengujian kointegrasi menunjukkan adanya hubungan jangka panjang antara pertumbuhan ekonomi dan seluruh indikator yang digunakan sebagai proksi liberalisasi keuangan. Hasil estimasi pada pendekatan de facto melalui model Vector Error Corrrection Model (VECM) mengindikasikan bahwa liberalisasi keuangan memberikan efek negatif terhadap pertumbuhan ekonomi melalui peningkatan kredit perbankan terhadap sektor swasta. Secara keseluruhan hasil penelitian ini tidak dapat menemukan bukti kuat terkait adanya dampak positif liberalisasi keuangan terhadap pertumbuhan ekonomi dalam small open economy seperti di Indonesia. Kata kunci : liberalisasi keuangan, pertumbuhan ekonomi, small open economy, vector autoregression (VAR), vector error correction model (VECM)

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Sakthivel, P. « Interlinkages among Asian, European and the U.S Stock Markets : A Multivariate Cointegration Analysis ». Journal of Economics and Behavioral Studies 4, n^o 3 (15 mars 2012) : 129–41. http://dx.doi.org/10.22610/jebs.v4i3.310.

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The present study attempts to investigate the dynamic interlinkages among the Asian, European and US stock markets. Daily closing prices of twelve stock indices relating to the period from 3rd January 1998 to 30th June 2010 and are used in the analysis. Both short and long run relationships are examined through Johansen-Juselius co integration and Vector Error Correction models (VECM) and Impulse Response Function (IRF). The results of the co integration test show strong co integration relationship across international stock prices indices. The results of the Vector Error Correction model reveal that the US and some of European and Asian Stock markets lead the Indian stock market. Finally, the evidence suggests that the impact of the US market on Indian stock returns is much higher than other way round.

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Suciptawati, Ni Luh Putu, et M. Sianipar. « ANALYSIS OF JAPANESE TOURIST DEMAND TO BALI USING CO-INTEGRATION TEST AND VECTOR ERROR CORRECTION MODEL ». International Journal of Applied Sciences in Tourism and Events 1, n^o 2 (11 décembre 2017) : 151. http://dx.doi.org/10.31940/ijaste.v1i2.569.

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This study was aimed to figure out of the long term and short term correlation between -tourism price and tourist income to the tourism demand of Japanese to Bali. Quarterly data from 2003-2016 were analyzed by cointegration test and Vector Error Correction Model (VECM). The result showed that there were both long term and short term balance among research variables. At long term, the tourist income has a positive influence on tourism demand and on the other hand the tourism price has a negative one. Meanwhile at the short term the tourist income has a negative influence on the tourism demand.

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Aghoutane, Kawthar, et Mohamed Karim. « The Impact of Foreign Aid on Economic Growth in Morocco : Econometric Analysis Using VECM ». International Journal of Economics and Finance 9, n^o 5 (15 avril 2017) : 87. http://dx.doi.org/10.5539/ijef.v9n5p87.

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The present work aims to contribute to the empirical literature on the effectiveness of Foreign aid in Morocco. We use the Vector Error Correction Model (VECM) to jointly capture the long-run relationship and short-run dynamics between Official Development Assistance and economic growth. Other variables such as investment, exports, and government consumption are also included in the model. The results indicate that the foreign aid promotes growth through government consumption in the short term. However, the impact of aid on economic growth becomes negative in the long term.

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