scholarly journals Vector error correction model to analyze energy uses, environmental quality and economic growth during Covid-19 Pandemic

2021 ◽  
Vol 926 (1) ◽  
pp. 012066
Author(s):  
I Fahria ◽  
I Sulistiana
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Environmental Quality ◽  
Time Series Data ◽  
Series Data ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Cointegration Relationship

Abstract Time series data commonly show are interconnected behaviour and non-stationer interrelated variables, so a model that able to obtain a good forecasting result from a non-stationary multivariate variables time series data are needed. Vector Error Correction Model (VECM) is one of multivariate time series model which is a vector form of Vector Autoregressive Boundary (VAR) for non-stationary time series data and has a cointegration relationship. The purpose of this study is to identify the VECM model in analyzing the relationship between energy use, environmental quality (CO2), and economic growth (GDP) during the Covid-19 pandemic that plagued Indonesia. The results of this study explained energy uses and and environmental quality (CO2) and economic growth (GDP) are interrelated and have a long-term cointegration relationship due to the influence of the Covid-19 pandemic.

scholarly journals PENGARUH GUNCANGAN OUTPUT GAP DAN INFLASI TERHADAP SUKU BUNGA SEBAGAI SASARAN OPERASIONAL KEBIJAKAN MONETER DI INDONESIA

2012 ◽  
Vol 1 (2) ◽  
Author(s):  
Utami Baroroh
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Error Correction ◽  
Time Series Data ◽  
Series Data ◽  
Output Gap ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

The objectives of this study are to observe interest rate response because shock/innovation of inflation and output gap. The data sample used in this study are quarterly time series data from 1983.1 – 2008.4. Those data are SBI interest rate, inflation (CPI) and output gap. A method of analysis in this study is Vector Error Correction Model (VECM). The empirical results of impulse response show that the effect of inflation and output gap shock to interest rate is positifDOI: 10.15408/sjie.v1i2.2601

scholarly journals Causality analysis between exports, imports and economic growth of Pakistan

2017 ◽  
Vol 1 (1) ◽  
pp. 45-52
Author(s):  
Syyeda Farhana Shah ◽  
Saleem Khan ◽  
Abdur Rauf
Keyword(s):  
Time Series Data ◽  
Causal Relation ◽  
Series Data ◽  
Vector Error Correction Model ◽  
Causality Analysis ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Adf Test

The objective of study is to identify causal relationships among the variables such as exports, imports and Gross Domestic Product (GDP) in case of Pakistan. The study uses time series data for the period from 1981-2016. Stationarity is checked with the Augmented Dickey Fullers' (ADF) test, and the Engle Grange approach is utilized to determine the long run relationship among variables of the study. Moreover, causality among the selected variables is tested by using the Vector Error Correction Model (VECM). We found that the causality runs from GDP to imports and exports. Furthermore, no causal relation is found from exports to GDP and from imports to GDP, but the causality goes from GDP to these two variables. The causality from GDP to exports and imports are positive and significant. Finally, the results indicate that the causal relationship between GDP and imports is stronger than the GDP and exports.

scholarly journals The relationship retail trade and economic growth in Ho Chi Minh City

2018 ◽  
Vol 1 (Q5) ◽  
pp. 44-51
Author(s):  
Lien Phuong Hoang
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Positive Impact ◽  
Retail Trade ◽  
Ho Chi Minh City ◽  
Series Data ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
The Relationship

This study analyzes the relationship between retail trade and economic growth in Ho Chi Minh City. The research employed Vector Error Correction Model (VECM) method for the time series data collected from the period 1995 – 2015. The result shows that retail sales enhances economic growth and changes in growth has a positive impact on retail trade in Ho Chí Minh City. That not only confirms Keynes's Keynesian Growth Theory, but also evaluates the importance of retail trade in the economy of Ho Chi Minh City.

scholarly journals The Influence of Economic Transformation From The Agricultural Sector To The Industrial Sector To Economic Growth In Indonesia

2018 ◽  
Vol 1 (1) ◽  
pp. 6-11
Author(s):  
Abdulrahman Taresh Abdullah ◽  
Mohammad Wasil
Keyword(s):  
Economic Growth ◽  
Agricultural Sector ◽  
Time Series Data ◽  
Industrial Sector ◽  
Economic Transformation ◽  
Series Data ◽  
Correction Model ◽  
Vector Error Correction ◽  
Industrial Sectors ◽  
Vector Error

The purpose of this research is the research and development of the industrial sector's economy to the agricultural sector, as well as the influence of agricultural and industrial sectors on economic growth in Indonesia. The data used is time series data, 1960-2015. The method used in this research is Vector Error Correction Model (VECM). From the estimation results, it is concluded that the economic growth rate and the industrial sector negatively affect the agricultural sector, it can be said that the increasing economic growth achieved in Indonesia has increased the industrial sector and lower the agricultural sector. While the results of research that the agricultural sector negatively affect the economic growth while the industrial sector positively affects economic growth, in the sense that the agricultural sector has a bad contribution in economic growth in Indonesia.

scholarly journals The National Banking Crisis in Applied Early Warning System (EWS)

2018 ◽  
Vol 1 (1) ◽  
pp. 37-45
Author(s):  
Nadia Sasri W
Keyword(s):  
Economic Growth ◽  
Agricultural Sector ◽  
Time Series Data ◽  
Warning System ◽  
Industrial Sector ◽  
Series Data ◽  
Correction Model ◽  
Vector Error Correction ◽  
Industrial Sectors ◽  
Vector Error

The purpose of this research is the research and development of the industrial sector's economy to the agricultural sector, as well as the influence of agricultural and industrial sectors on economic growth in Indonesia. The data used is time series data, 1960-2015. The method used in this research is Vector Error Correction Model (VECM). From the estimation results, it is concluded that the economic growth rate and the industrial sector negatively affect the agricultural sector, it can be said that the increasing economic growth achieved in Indonesia has increased the industrial sector and lower the agricultural sector. While the results of research that the agricultural sector negatively affect the economic growth while the industrial sector positively affects economic growth, in the sense that the agricultural sector has a bad contribution in economic growth in Indonesia.

scholarly journals PENGARUH INDEKS REGIONAL TERHADAP JAKARTA ISLAMIC INDEX (JII)

ETIKONOMI ◽  
2012 ◽  
Vol 11 (2) ◽  
Author(s):  
Yoghi Citra Pratama
Keyword(s):  
Capital Market ◽  
Time Series Data ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Series Data ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

The objectives of this study are to analyze the influence of IHSG, Dowjones, and Nikkei to JII. The data used in this study are monthly time series data from January 2006 – May 2012. Those data are JII, IHSG, Dowjones Index and Nikkei Index. Research method used in this study is Vector Error Correction Model (VECM). The cointegration test indicates that among research variables there is long term equilibrium and simultaneous relationship. The Empirical result of Impulse Response Function shown that the effect of IHSG, DowJones and Nikkei to JII are negative.  The result on variance decomposition test had shown that the most effect of JII shock is influenced by JII itself. It can be conclude that Islamic Capital Market is more stable from the external shock rather than the conventional one.DOI: 10.15408/etk.v11i2.1888

scholarly journals KONTRIBUSI INDUSTRI KEUANGAN NON-BANK (IKNB) KONVENSIONAL DAN SYARIAH TERHADAP PEREKONOMIAN INDONESIA

2019 ◽  
Vol 5 (2) ◽  
pp. 261-279
Author(s):  
Nabila Ilmalina Faza ◽  
Muhammad Ghafur Wibowo
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Error Correction ◽  
Vector Autoregression ◽  
Financial Intermediaries ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

AbstractThis research aims to empirically examine the contributions of Conventional Non-Bank Financial Intermediaries (Conventional NBFIs) and Islamic Non-Bank Financial Intermediaries (Islamic NBFIs) development on economic growth in Indonesia. This study used Vector Autoregression (VAR) and Vector Error Correction Model (VECM) to test the causality and long-run relationship between the two intermediaries by using time series data over the period spanning 2014 to 2017. The results show an evidence of bidirectional causality view and a long-run relationship between the development of Conventional Non-Bank Financial Intermediaries (Conventional NBFIs) and Islamic Non-Bank Financial Intermediaries (Islamic NBFIs) on economic growth in Indonesia. The result also proves that Islamic Non-Bank Financial Intermediaries (Islamic NBFIs) is more resistant to economic growth shock than Conventional Non-Bank Financial Intermediaries (Conventional NBFIs). Keywords: Conventional NBFIs, Islamic NBFIs, Economic Growth AbstrakPenelitian ini bertujuan untuk mengetahui kontribusi perkembangan Industri Keuangan Non-Bank (IKNB) Konvensional dan Industri Keuangan Non-Bank (IKNB) Syariah pada pertumbuhan ekonomi Indonesia. Penelitian ini menggunakan Vector Autoregression (VAR) pada Industri Keuangan Non-Bank (IKNB) Konvensional dan Vector Error Correction Model (VECM) pada Industri Keuangan Non-Bank (IKNB) Syariah untuk menguji hubungan kausalitas dan jangka panjang antara keduanya terhadap pertumbuhan ekonomi.  Data yang digunakan dalam penelitian ini merupakan data time series bulanan dari periode 2014 hingga 2017. Hasil penelitian ini menunjukkan bahwa terdapat hubungan kausalitas dua arah (bidirectional causality view) dan hubungan jangka panjang antara perkembangan IKNB baik Konvensional maupun Syariah terhadap pertumbuhan ekonomi. Hasil penelitian ini juga membuktikan bahwa IKNB Syariah lebih tahan terhadap shock  dari pertumbuhan ekonomi dibandingkan IKNB Konvensional. Kata Kunci: IKNB Konvensional, IKNB Syariah, Pertumbuhan ekonomi

Innovation, ICT penetration, trade and economic growth in developing and developed countries: a VECM approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Parul Singh ◽  
Areej Aftab Siddiqui
Keyword(s):  
Economic Growth ◽  
Error Correction ◽  
Developing Nations ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Content Type ◽  
Vector Error Correction ◽  
Vector Error ◽  
Short Run ◽  
Developed Nations

Purpose The development in information communication and technology (ICT) has led to many changes such as reorganization of economics, globalization and trade. With more innovation processes being organized and adopted across technologies, trade, etc., these are getting more closely related and needs fresh research perspective. This study aims to empirically investigate the interrelationship between ICT penetration, innovation, trade and economic growth in 20 developed and developing nations from 1995 to 2018. Design/methodology/approach The present paper examines both long-run and short-run relationships between the four variables, namely, innovation, ICT penetration, trade and economic growth, by applying panel estimation techniques of regression and vector error correction model. ICT penetration and innovation indices are constructed using principle component analysis technique. Findings The findings of the study highlight that for developed nations, growth, trade and innovation are significantly interlinked with no significant role of ICT penetration While for developing nations, significant relationship is present between growth and trade, ICT penetration and innovation. With respect to trade, in case of developed nations, significant relationship is present with ICT penetration. While for developing nations there is no significant result for trade promotion. On further employing the vector error correction model, the presence of short run causality between growth, trade and innovation in case of developed nations is established but no such causality between variables for developing nations is seen. Originality/value The present paper adds to the existing strand of literature examining interlinkage between innovation and growth by introducing new variables of ICT penetration and innovation.

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