A Stastistical Analysis of Cointegration for I(2) Variables

1995 ◽  
Vol 11 (1) ◽  
pp. 25-59 ◽  
Author(s):  
Søren Johansen
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Asymptotic Distribution ◽  
Estimation Procedure ◽  
Var Model ◽  
Test Statistics ◽  
Data Set ◽  
Asymptotic Inference ◽  
Multivariate Test ◽  
Reduced Rank

This paper discusses inference for I(2) variables in a VAR model. The estimation procedure suggested consists of two reduced rank regressions. The asymptotic distribution of the proposed estimators of the cointegrating coefficients is mixed Gaussian, which implies that asymptotic inference can be conducted using the χ2 distribution. It is shown to what extent inference on the cointegration ranks can be conducted using the tables already prepared for the analysis of cointegration of I(1) variables. New tables are needed for the test statistics to control the size of the tests. This paper contains a multivariate test for the existence of I(2) variables. This test is illustrated using a data set consisting of U.K. and foreign prices and interest rates as well as the exchange rate.

scholarly journals Dynamic Modelling of Sharia-Based Corporate, Islamic Index and Exchange Rate: VAR Model Application

2020 ◽  
Vol 6 (2) ◽  
pp. 195
Author(s):  
Hasrun Afandi Umpusinga ◽  
Atika Riasari ◽  
Fajrin Satria Dwi Kesumah
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Time Series Data ◽  
Multivariate Time Series ◽  
Dynamic Modelling ◽  
Series Data ◽  
Var Model ◽  
Suitable Model ◽  
Data Set ◽  
Dynamic Relationship

Indonesia is one of largest users of sharia-based compliant recently which bring into many concerns how the sharia stocks listing in the most valuable sharia stocks index in Indonesia perform and correlate with other variables, particularly exchange rates. The study aims to analysis the causal relationship and to forecast the performances of sharia-based stocks and its Islamic index in Indonesia along with the volatility of exchange rate. Vector Autoregressive (VAR) model is applied as the method to analyse the multivariate time series as it is believed as the suitable model in predicting such time-series data in the scope of multivariate variables. The finding suggests VAR(1) model is the fitted model as such to both analyse its dynamic relationship and forecast the data set for the next 24 weeks. While the prediction shows the JII has an increasing data, both ANTM and EXR are predicted to have a stable volatility. In addition, granger causality defines variables to have effect in its respective variables, and IRF describes the shocks in one variable cause another variable is relatively difficult in reaching its zero condition in short-term period.

scholarly journals The Effects of Exchange Rates on Macroeconomic Variables: A Study of the Selected Emerging Economies

2013 ◽  
Author(s):  
Birgül Cambazoğlu ◽  
Hacer Simay Karaalp Orhan ◽  
Konstantinos Vergos
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Exchange Rate Regime ◽  
Consumer Price Index ◽  
Real Effective Exchange Rate ◽  
Total Output ◽  
Data Set ◽  
Net Exports ◽  
Floating Exchange Rate ◽  
The Exchange Rate

The exchange rate channel of the monetary transmission mechanism has gained importance through widespread use of the floating exchange rate regime with increased globalization. In this context, this study aims to explore the effectiveness of the exchange rate channel on net exports and thereby total output and price level using vector auto-regression (VAR) models. The sample countries are Turkey and Argentina, which have employed a floating exchange rate regime since 22 February 2001 and 11 February 2002, respectively. The monthly data set consists of five macro-economic variables, which are short-term interest rates, the real effective exchange rate, net exports, the consumer price index, and the industrial production index for the period 2003 to 2010. The impulse-response function outcomes indicate that the operation of the exchange rate channel is effective, both in Turkey and in Argentina.

GOVERNMENT SPENDING MULTIPLIERS IN GOOD TIMES AND BAD TIMES: THE CASE OF EMERGING MARKETS

2020 ◽  
pp. 1-43
Author(s):  
Fábio Augusto Reis Gomes ◽  
Sergio Naruhiko Sakurai ◽  
Gian Paulo Soave
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Emerging Markets ◽  
Interest Rates ◽  
Government Spending ◽  
Trade Balance ◽  
Nonlinear Effects ◽  
Var Model ◽  
Product Consumption ◽  
State Of The Economy

We investigate the presence of nonlinear effects of government spending shocks during good and bad times in a panel of 17 emerging markets through the lens of a Bayesian panel threshold VAR model. We find that the responses of gross domestic product, consumption, investment, trade balance, real exchange rate, and real interest rates vary depending on the state of the economy. Particularly, in slump periods, both consumption and investment may respond negatively to a government purchase stimulus, unlike in normal times. Our estimated government spending multipliers are less than one in the two regimes and can be zero in bad times.

The Analysis of the Effectiveness of the Shibor as a Market Benchmark Interest Rate

2013 ◽  
Vol 850-851 ◽  
pp. 1016-1019
Author(s):  
Zhi Hua Xu
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Granger Causality ◽  
Response Function ◽  
Impulse Response Function ◽  
Granger Causality Test ◽  
Var Model ◽  
Causality Test ◽  
Variance Decompositions

In this paper, we established Granger causality test, VAR model, impulse response function and variance decompositions to observe Shibor whether possess of four properties as the benchmark interest rate of the marketability, stability, correlation ,fundamentality. Conclusion Shibor as money market benchmark interest rates on various aspects of the performance is better, however, compared with Chibor foundational aspects needs to be improved, and easily influenced by Exchange rate suggests that stability is insufficient.

scholarly journals VAR MODEL UNTUK ANALISIS FOREIGN DIRECT INVESTMENT DI INDONESIA

2020 ◽  
Vol 3 (2) ◽  
Author(s):  
Dede Ruslan
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Interest Rates ◽  
Var Model ◽  
Original Question ◽  
The Interest Rate ◽  
Relationship Of ◽  
The Impact ◽  
Model Correlation ◽  
The Relationship

Vector Autoregresive model is used to gives a more comprehensive view of how the relationship of FDI to economic growth, trade, exchange rate, the output value of the industry, and the interest rate in Indonesia. This study provides empirical evidence about the relationship which are interrelated to each other among the variables analyzed. By using VAR can analyze the impact of FDI on economic growth with other variables. The empirical results of whole analysis to give an answer to the original question posed in this study relate to how economic growth has been achieved, what the role of FDI and other spillovers in this process. Through the VAR model, the interdependence between the variables FDI, GDP, Trade, Industrial Output Value, Exchange Rate and Interest rates have been investigated in long-term relationships through cointegrating vectors and the short-term impact of the VAR model. Correlation of dynamic variables have been captured by the analysis of variance decomposition and impulse response.

scholarly journals Effects of USD Exchange Rate over the Istanbul Stock Market 30 Index and Investigation of the Relationship between Them

2015 ◽  
Author(s):  
Selçuk Kendirli ◽  
Muhammet Çankaya
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Exchange ◽  
Causality Test ◽  
Data Set ◽  
Important Place ◽  
Dollar Exchange Rate ◽  
Istanbul Stock Exchange ◽  
The Relationship

It is known that financial markets have important place in today's economy. Individuals could be evaluated their saving with their own research or they could be evaluated their savings with financial experts recommendations. A large portion of those funds of individual or institutional investors managed are directed to the stock market of the country. When considered in terms of Turkey, Istanbul Stock Exchange is examples for this topic. The changes in economic data, is influenced to many variables especially the stock market. It is perceived in the market as bad data that the rising in unemployment, the reduction of industrial production, the increases in interest rates and cost of credit, the increase in foreign exchange rates. In this study, it was investigated the causality of the dollar exchange rate between Istanbul Stock Exchange National 30 Index (BIST-30) with "Granger Causality Test". Monthly values are used including the period of 2009:1 (January of 2009) between period of 2014:12 (December 2014) as data set. We used the first trading day closing values in the calculation of monthly returns for the period. At the end of the study, we couldn’t find any causal relationship between the dollar exchange rate and the BIST-30 Index.

Monetary policy regimes in Russia: Guidelines for furtherquantitative studies

2017 ◽  
pp. 38-60 ◽  
Author(s):  
A. Pestova
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rates ◽  
Quantitative Research ◽  
Policy Regimes ◽  
Policy Effects ◽  
Exchange Rate Targeting ◽  
Basic Parameters

This paper analyzes the basic parameters of monetary policy in 2000-2015 in Russia. We provide the overview of tools and objectives of monetary policy of the Bank of Russia and identify the periods of homogeneity of monetary policy regimes: from money base targeting to exchange rate targeting and finally, to interest rates policy. On the basis of this research we develop the recommendations for further quantitative research aimed at estimation of monetary policy effects in Russia.

scholarly journals Exchange Rate Volatility and Foreign Direct Investment

2020 ◽  
Vol 12 (3) ◽  
pp. 38
Author(s):  
Samuel Erasmus Alnaa ◽  
Ferdinand Ahiakpor
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Real Exchange Rate ◽  
Direct Investment ◽  
Exchange Rate Volatility ◽  
External Factors ◽  
Conditional Heteroskedasticity ◽  
Data Set

The paper seeks to determine the effect of exchange rate volatility on foreign direct investment in Ghana from 1986 to 2017. The study adopted the Generalized Autoregressive Conditional Heteroskedasticity model to fit the data set from 1986-2017. The results indicate that, previous quarter information can influence current quarter volatility in Foreign Direct Investment. Real exchange rate, gross domestic product and treasure bill rate considered as external factors, are all found to be significant. This shows that, volatility from these factors can spillover to volatility in foreign direct investment.  To ensure stable inflow of foreign direct investment, we recommend that policies should gear towards stability in the forex market and interest rate among others.

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