The study investigates the impacts of COVID-19 pandemic on global oil price, food price index, meat, and sugar commodity index using vector error correction (VECM) model covering sample period 1st April 2020 to 31st August 2021. Data were collected mainly from WHO, FAO, Macro Trend Websites. result VECM indicates a strong cointegration relationship among variables. In short run, meat are negati...

The paper aims at vertical price transmission of the agri-food market in Czech Republic. It is focused on analysis pork meat by investigating short-run and long-run relationships within product speed establishing equilibrium relationship. For this purpose, there employed specially VECM (Vector Error Correction Model), impulse-response analysis, decomposition variance VECM, which show system’s r...

The objective of this study is to identify the impact trade liberalization on economic growth in Japan. Annual data are utilized from 1985 2016 via Autoregressive Distributed Lag Model (ARDL) Cointegration test and Vector Error Correction (VECM) based Granger causality. findings unit root tests revealed that all variables mixed results whereby they integrated at I(0) I(1) could proceed ARDL tes...

We consider structural vector error correction models (VECMs) in which permanent shocks are partially identified with a set of long-run restrictions, and fully identified with an additional set of short-run restrictions. An identification method with a combination of short-run and long-run restrictions has been studied in the vector autoregressive models literature, but not thoroughly applied t...

This paper uses a structural, large dimensional factor model to evaluate the role of ‘news’ shocks (shocks with a delayed effect on productivity) in generating the business cycle. We find that (i) existing small-scale VECM models are affected by ‘non-fundamentalness’ and therefore fail to recover the correct shock and impulse response functions; (ii) news shocks have a limited role in explainin...

In pursuit to sketch the Pakistan USA Exchange Rate patterns for the duration of 1991M3 to 2010M5 using the CHEERS model, the role of Goods Market and Financial Market is implied through the Purchasing Power Parity (PPP) and Uncovered Interest Parity (UIP) respectively. The results using Vector Error Correction Model (VECM) revealed that both Parities work in combination with near unity elastic...

A range of parameter changes in I(1) cointegrated time series are not reflected in econometric models thereof, in that many shifts are not easily detected by conventional tests. The breaks in question are changes that leave the unconditional expectations of the I(0) components unaltered. Thus, dynamics, adjustment speeds etc. may alter without detection. However, shifts in long-run means are ge...

The purpose of this study was to determine and analyze the impact contribution non-bank financial industry (IKNB) non-Islamic banking on Indonesia's economic growth before during pandemic. variables used in are data total assets Sharia IKNB, Industrial Production Index (IPI) as a measure growth. research method is Vector Error Correction Model (VECM) using monthly time series from 2015 2021. re...

Using the Vector Error Correction Model (VECM) and Toda-Yamamoto Causality approach, this paper investigates short-run long–run relationship between export diversification, physical human capital, imports, economic growth in UAE. The study period consideration is 1975-2017. findings obtained from VECM test confirm existence of a significant long-run Besides, Toda Yamamoto Granger results reveal...

This study primarily focuses on the analysis of contributions foreign exchange reserve to economic growth Nepal by using time series data obtained from year 1975 2018 A.D. In order assess a relationship between these variables, statistical procedure unit root test, cointegration and Vector Error Correction Model (VECM) are applied. addition t-statistics, Wald-test for joint significance coeffic...