نتایج جستجو برای: vecm vector error correction model
تعداد نتایج: 2542127 فیلتر نتایج به سال:
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...
To protect against risks arising from fluctuations in spot prices and better manage risk, investors might evaluate futures markets. The role of price discovery the markets possibility reducing certain increase importance researching relationship between prices. This study aims to determine whether there is a Bitcoin this end, two analyzed using Johansen Cointegration analysis Vector Error Corre...
The research was conducted on the topic: Defense Budget and Response of Foreign Direct Investment (FDI) in Nigeria: Co-integration Vector Error Correction Model (VECM) Approach. It investigated how move response to defence budget considering insecurity problem faced by Nigeria during period study. Time series data which spanned from 1981 2019 sourced CBN. collected subjected unit root test, co-...
The main purpose of this study is to ascertain the determinants demand for money and its stability in Azerbaijan using monthly time series data spanning from January 2006 November 2020. Johansen cointegration, vector error correction model (VECM) Impulse Response Function were employed investigate relationship between real (M1), macroeconomic variables, namely income, inflation, interest rate e...
This study examines the significant impact of exchange rate shock on prices of Malaysian importsand exports. In methodology, the study adopts vector error correction (VECM) model using monthlydata of nominal exchange rates, money supply, prices of imports and prices of exports covering theperiod of M1:1999 to M12:2006. For further analysis, we adopt an innovation accounting bysimulating varianc...
In this paper we formulate a model for foreign exchange exposure management and (international) cash management taking into consideration random fluctuations of exchange rates. A vector error correction model (VECM) is used to predict the random behaviour of the forward as well as spot rates connecting dollar and sterling. A two-stage stochastic programming (TWOSP) decision model is formulated ...
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...
The concept of “Innovation” has changed considerably in recent years. According to new theories, the innovation emerges in a system of interrelated elements and determinants during which the idea changes to a commercialized output or process. The literature on the innovation has concentrated mainly on various aspects of innovation chain separately. In this paper we tried to investigate the gene...
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