نتایج جستجو برای: vecm vector error correction model
تعداد نتایج: 2542127 فیلتر نتایج به سال:
This paper empirically investigates the link between level of government revenue per capita and six indicators quality governance in an unbalanced panel data set consisting all countries world (217 countries; due to some missing data, (this was reduced 196) using from 1996 2020. It uses single-equation generalised method moment (GMM) techniques a vector autoregressive (VAR) error correction mod...
The study investigates the effect of spillovers regionally and worldwide on Vietnam’s stock market. vector error correction model (VECM) is used to analyze collected data from Bloomberg. Data include eight comparable market indices, namely DJI, NKY, SHCOMP, SET, MXSG, PCOMP, FBMKLCI, JCI. empirical results show that Vietnamese significantly linked other countries. During periods dramatic fluctu...
This study investigates the impact of foreign exchange auction systems on viability and efficiency small medium-sized businesses (SMEs) in developing countries. investigation uses a quantitative approach using vector error correction model (VECM) for time series data. The results SMEs growth forex usage fail to show either long-run or short-run link, but they do reveal unidirectional causation ...
The purpose of this Research is to investigate the causal relationship between the stock price index in the insurance industry, banking sector, and the investment sector during 2009 – 2017 period. So, a long-term relationship between variables was investigated by Johansson-Juselius test. Then, by Vector error correction model (VECM), the causal relation between the variables of the model was...
In this paper bi-annual time series data on unemployment rates (from the Labour Force Survey) are expanded to quarterly rates and linked to quarterly unemployment rates (from the Quarterly Labour Force Survey). The resultant linked series and the consumer price index (CPI) series are examined using Johansen’s cointegration approach and vector error correction modeling. The study finds that both...
El Nino Southern Oscillation (ENSO) causes rainfall anomalies, which may disrupt Indonesia’s natural rubber production by interfering with the trees’ growth and affecting export volume. This study analyzed effect of ENSO dynamics on monthly productivity Technically Specified Natural Rubber (TSNR) 20 export. Monthly data from January 2006 to December 2019 were collected Statistics Indonesia, Int...
AbstractThis study aims to investigate the effectiveness of macroprudential policies in mitigating systemic risk Indonesia. The uses quantitative descriptive analysis with Vector Error Correction Model (VECM) and emphasizes on impact two instruments applied Indonesia; Macroprudential Liquidity Buffer (MLB) Countercyclical Capital (CCyB) credit growth for conventional financing Sharia bank. This...
The effect of democracy on economic growth receives excellent attention in theoretical and empirical studies. However, much-existing literature provides conflicting views growth. For this reason, paper aims to empirically investigate the relationship between thirty-three countries from 2010 2020. This examines context panel data framework. study investigates by employing Panel unit root, cointe...
This paper examines co-integration and the causal relationship between Foreign Direct Investment (FDI) and the economic output or Gross Domestic Product (GDP) in the both short and long run of Bangladesh, Pakistan and India over the period of 1972-2008. Three econometric models, viz. Augmented Dickey-Fuller (ADF) test, Engle-Granger two-step co-integration test, Vector error correction mechanis...
Estimating the Impact of China’s Central Bank Intervention on the RMB/US$ Exchange Rate Misalignment
The paper studies the misalignment path of RMB/US$ exchange rate, focusing on managed floating period since July 2005 and determining impact central bank’s intervention misalignment. We adopt permanent-and-transitory component decomposition approach developed by Gonzalo Granger (1995) to estimate equilibrium rate its within a vector error correction model (VECM). sample for our study is quarter...
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