scholarly journals Empirical Evidence of a Long-Run Relationship Between Agriculture and Manufacturing Industry Output in Nigeria

SAGE Open ◽  
2020 ◽  
Vol 10 (1) ◽  
pp. 215824401989904
Author(s):  
Eze Simpson Osuagwu
Keyword(s):  
Manufacturing Industry ◽  
Agricultural Productivity ◽  
Granger Causality Test ◽  
Vector Error Correction Model ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Industry Output

This study investigates a long-run relationship between agriculture and manufacturing industry output in Nigeria using annual time series data from 1982 to 2017. The study employs Granger causality test, vector error correction model, and co-integration techniques to estimate the interdependence between agricultural productivity and manufacturing industry output. Empirical evidence from Granger causality test reveals a bidirectional relationship between agricultural productivity and manufacturing industry output. Although a positive and significant relationship exists in the short- and long-run estimates, a long-run divergence from the vector error correction model indicates that changes in agricultural productivity are not restored to equilibrium, given that macroeconomic factors distort the linkage. Policy implications suggest that macroeconomic stability is a necessary condition for agriculture and manufacturing industry output to foster economic growth.

scholarly journals REVISITING KEYNES’ INVESTMENT AND SAVING MODEL IN INDONESIA

2020 ◽  
Vol XVIII (2) ◽  
pp. 45-58
Keyword(s):  
Error Correction ◽  
Causal Relationship ◽  
Granger Causality Test ◽  
Vector Error Correction Model ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Short Run

This study aims to analyze the Keynes’ investment and saving model in Indonesia from 1981 to 2018. The researchers use the econometric test from the Granger causality test to find the short-run causal relationship and the Vector Error Correction Model to reveal both the short-run and long-run effects in the model. The result of Granger causality test demonstrates that there is no short-run causal relationship between these two variables. In the short-run, the increase in saving affects the consumption loans more compared to the investment loans. Besides, increased consumption compared to saving has more influence in raising investment. However, the Vector Error Correction Model proves that saving negatively affects investment in the long-run. This model empirically supports the long-run Keynes’ investment and saving model. Consequently, the Indonesian government needs to consider saving as a policy instrument to increase investment in the longrun.

scholarly journals ANALISIS PENGARUH INDEKS HARGA KONSUMEN, JUMLAH UANG BEREDAR (M1), KURS RUPIAH, DAN INDEKS S&P 500 TERHADAP INDEKS HARGA SAHAM GABUNGAN: STUDI EMPIRIS PADA BURSA EFEK INDONESIA

2014 ◽  
Vol 3 (2) ◽  
Author(s):  
Heriyanto Heriyanto ◽  
Ming Chen
Keyword(s):  
Error Correction ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Spurious Regression ◽  
Vector Error

Penelitian ini bertujuan untuk menguji hubungan keseimbangan jangka panjang antara variabel makroekonomi (yang diproksi dengan variabel indeks harga konsumen, jumlah uang beredar, kurs rupiah terhadap dollar, dan Indeks S&P 500) dengan indeks harga saham gabungan (IHSG). Data bulanan variabel makroekonomi dan IHSG selama periode Januari 2005 – Desember 2013 digunakan untuk pengujian hubungan keseimbangan jangka panjang. Data penelitian dikumpulkan dengan metode dokumentasi yang terdiri dari variabel indeks harga konsumen, jumlah uang beredar, kurs rupiah terhadap dollar, Indeks S&P 500, dan IHSG. Setelah data dikumpulkan, data selanjutnya akan dianalisis dengan menggunakan analisis regresi berganda. Analisis pengujian residual (dari model regresi berganda) dengan pendekatan Granger Residual Test digunakan untuk memastikan tidak terjadi spurious regression (regresi palsu). Selanjutnya, analisis data dengan pengujian Johannsen Cointegration Test digunakan untuk menguji keberadaan hubungan keseimbangan jangka panjang antara variabel makroekonomi dan IHSG. Tahap akhir analisis data dilakukan dengan pengujian vector error correction model (VECM) dan Granger Causality Test yang bertujuan untuk menguji kemungkinan adanya hubungan biderectional (dua arah) antara variabel makroekonomi dan IHSG. Hasil pengujian menggunakan analisis regresi berganda menunjukkan bahwa variabel kurs rupiah terhadap dollar dan Indeks S&P 500 berpengaruh signifikan terhadap pergerakan indeks harga saham gabungan, sedangkan variabel indeks harga konsumen dan jumlah uang beredar tidak berpengaruh signifikan. Hasil pengujian dengan menggunakan Granger Residual Test menunjukkan bahwa tidak terdapat spurious regression. Sementara itu, hasil pengujian dengan menggunakan Johannsen Cointegration Test menunjukkan bahwa terdapat hubungan keseimbangan jangka panjang antara variabel makroekonomi dan IHSG. Terkait dengan kemungkinan adanya hubungan biderectional antara variabel makroekonomi dan IHSG, hasil pengujian dengan menggunakan Vector Error Correction Model (VECM) dan Granger Causality Test menunjukkan bahwa hubungan antara variabel makroekonomi dan IHSG adalah hubungan satu arah. Kata Kunci: spurious regression, granger residual test, granger causality test, vector error correction model.

scholarly journals Determinants of Agricultural Productivity in India: An Econometric Analysis

2018 ◽  
Vol 4 (02) ◽  
Author(s):  
Biswashree Tanaya Priyadarsini ◽  
Chittaranjan Nayak
Keyword(s):  
Agricultural Sector ◽  
Agricultural Productivity ◽  
Private Investment ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Specific Support ◽  
Short Run

The main aim of this paper is to examine both short run and long run effects of various factors on agricultural productivity in India. The present study used the annual time series data covering the time period from 1980 to 2013. Johansen cointegration and vector error correction model are adopted in order to examine the objective of the study. The study has analysed the relative effectiveness of various factors like Irrigation (PGIA), Fertilizer (FERT), Electricity (ELCT), Private investment in agriculture (PII) and Non-product specific support to inputs (NPSS) on agricultural productivity. The cointegration results suggest that there is a long run equilibrium relationship between all the determinants and agricultural productivity. The vector error correction model indicates that there is long run causality running from PGIA, FERT, NPSS, ELCT, and PII to Productivity meaning that all the factors have significant influence on productivity in long run. However, as regards short run, only PGIA and PII have significant impact on agricultural productivity. The study suggests that the government should take initiative for non-product specific support to major inputs like organic fertilizer, power and irrigation and also promote private investment in agricultural sector to enhance agricultural productivity which will go a long way in development of agricultural sector.

A Study on Causal Relationship Between Sugar Beet Supply and Sugar Price - Sustainability Issues and Opportunities

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 445-462
Author(s):  
Dr Karim MH ◽  
Seied Beniamin Hosseini ◽  
Dr Ayesha Farooq ◽  
Dr Ayesha Farooq ◽  
Somayeh Kouchak Zadeh ◽  
...  
Keyword(s):  
Sugar Beet ◽  
Causal Relationship ◽  
Granger Causality Test ◽  
Vector Error Correction Model ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Sugar Price ◽  
Vector Error

Sugar Beet is one of the essential sources of energy. However, most of the division in Iran supply sugar beet through domestic production. The present study is going to investigate the causal relationship between sugar beet supply and sugar price in Iran between the year 1995 to 2016. By  Applying the Johansen-Juselius cointegration method along with Granger causality test. Besides,  this research going to analyse the causal relationship between sugar beet supply and sugar price by considering the sustainability issues and opportunities. However, The result of the Johansen-Juselius cointegration test shows that there is a positive long-term co-integration relationship between variables. Although  According to the GC test, there is a causal relationship between sugar beet supply and sugar price. Also result of the vector error correction model represents that sugar price has a significant impact on sugar beet supply which indicates that every increase and decrease in sugar price reflect on sugar beet production. Therefore, the necessity of an appropriate policy-making and proper planning for sugar beet production has been bolded.

scholarly journals Empirical evidence of a long-run relationship between agriculture and manufacturing industry output in Nigeria

2019 ◽  
Author(s):  
Eze Osuagwu
Keyword(s):  
Error Correction ◽  
Empirical Evidence ◽  
Manufacturing Industry ◽  
Policy Implications ◽  
Necessary Condition ◽  
Macroeconomic Factors ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Industry Output

<p>This study investigates a relationship between agriculture and manufacturing industry output in Nigeria from 1982-2015, using the Granger causality, co-integration and error correction techniques. Empirical evidence reveals a bidirectional relationship between the sectors. Although, a positive and significant relationship exists in the short and long-run estimates, a long-run divergence from the vector error correction model suggest that changes in agricultural productivity are not restored to equilibrium, given that macroeconomic factors distort the linkage. Policy implications indicate that macroeconomic stability is a necessary condition for agricultural and manufacturing sectors to foster economic growth.</p>

scholarly journals An Econometric Analysis of Inflation and Unemployment in Lebanon: A Vector Error Correction Model (VECM)

2018 ◽  
Vol 10 (2) ◽  
pp. 133
Author(s):  
Mohammad Khanssa ◽  
Wafaa Nasser ◽  
Abbas Mourad
Keyword(s):  
Phillips Curve ◽  
Vector Error Correction Model ◽  
Econometric Modeling ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
Causality Relationship ◽  
The Relationship

This paper uses econometric modeling to test the nature of the relationship between unemployment and inflation in Lebanon throughout the period 1993-2014. It takes the Phillips curve relationship as a reference for the tests. Cointegration, Granger causality and VECM were used to test the relationship both in the short and in the long run. The study resulted in finding out that the Phillips curve relationship doesn’t hold in Lebanon in the short run and came to a conclusion that there is a one-way causality relationship in the long run from unemployment to inflation and not in the opposite direction.

scholarly journals ANALISIS PERILAKU INSTABILITAS, PERGERAKAN HARGA, EMPLOYMENT DAN INVESTASI DI DALAM SEKTOR PERTANIAN INDONESIA: Aplikasi Vector Error Correction Model

2007 ◽  
Vol 8 (1) ◽  
Author(s):  
Andi Irawan
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Output Price ◽  
Agriculture Sector ◽  
Vector Error ◽  
The Government

In a long run perspective, the aim of this research is to analyze the impact of the inflating-policy on the employment growth, and the agriculture investment. From a short run perspective, the aim covers (1) the identification of agriculture price instability on certain economic blocks, (2) the analysis of inflation behavior in the agriculture sector and its causality both to output price and input prices and the causality within the input prices.We apply the Vector Error Correction Model, Johansen Cointegration Test, and Granger Causality Test on a monthly series data from 1993:01 to 2002:12. The result shows the production and capital inagriculture sector are responsive to the output price change. This inflating the output price will effectively help to generate the output and a new investment in this sector. However, as the price shock can be a source of instability, the government should be careful to apply this price inflating policy. In addition, to solve the unemployment problem in agriculture sector, the government should apply the cost strategy, such as input price subsidy  policy.JEL: C32, C52, O13, Q11, Q18Keyword: Employment, Investasi, Agriculture,Johansen, Cointegration Vector Error Correction Model, Causality Test

scholarly journals Measuring the Dis-Equilibrium in Acreage Response of Black Gram (Vigna mungo (L.) Hepper) in Tamil Nadu – A Vector Error Correction Model

2020 ◽  
pp. 26-36
Author(s):  
R. Sangeetha ◽  
K. R. Ashok ◽  
P. Asha Priyanka
Keyword(s):  
Error Correction ◽  
Tamil Nadu ◽  
Error Correction Model ◽  
Relative Price ◽  
Vector Error Correction Model ◽  
Black Gram ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

The study has observed an increasing trend in pulses production, driven mainly by yield improvements. The contributions of area expansion and prices to black gram growth have been erratic, suggesting that these cannot be the sustainable sources of black gram growth. Further, farmers’ area allocation decisions to pulses are not price-dependent, but depend on non price factors, mainly rainfall. However, the growth in pulses production in the long-run must come from technological changes. Numerous past studies on black gram cultivation in Tamil Nadu is criticized for using the weaker Nerlovian Partial Adjustment models and for analytical interpretation through Ordinary Least Square (OLS) creating spurious results for time series data. This problem can be avoided if Econometric technique of co-integration is used. It is for the present paper measuring the dis-Equilibrium in acreage response of black gram by using a vector error correction model. Our unit root analysis indicates that underlying data series were not stationary and are all integrated of order one, that is I(1). The Johansen co-integration approach indicates the presence of a co-integrating relationship in the acreage response model. Black gram acreage is significantly influenced by relative price of black gram, and other competing crops such as groundnut whenever resourceallocation is concerned famers preferred to allocate irrigated land to other competing crops which are more remunerative and high yielding than black gram crop. The black gram supply elasticity’s are found to be inelastic both in the short-and long-run. The long-run and short run price elasticity’s were 0.41 and 0.28, respectively.

scholarly journals Analisis Pengaruh Kinerja Keuangan terhadap Profitabilitas Bank Syariah di Indonesia

2017 ◽  
Vol 8 (2) ◽  
pp. 175
Author(s):  
Heri Sudarsono
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Third Party ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Factors Affecting ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

<p>This study aimed to analyze the factors affecting the amount of profitability (ROA) provided by Islamic banking in Indonesia. The data which is used is taken from the financial report of the Shari’a Bank during the 2011-2016 periods by using montly financial statement This study uses a Vector Error Correction Model (VECM) to see the long-term effect and response to shock that occur in the studied variables. The result shows that in the long run, the percentage Financing (FIN) and BOPO give a positive siqnifikant effect on the ROA, while third party funds (DPK), percentage profit and loss sharing (TBH), financial to deposit ratio (FDR) has negative and siqnificant effect on the ROA. Sertifikat Bank Indonesia Syariah (SBIS) and non performing finance (NPF) have no significant effect on the ROA. In short run, ROA give a negatif and siqnificant effect on the ROA and FDR give a positif and siqnificant effect, while DPK, FIN, SBIS, TBH, NPF and BOPO have no sinificant effect on the ROA. Therfore, shocks that occur in the ROA, FIN, FDR , NPF dan BOPO positively responded by ROA and will be stable in the long term. While the shocks that occur in the percentage of FDR, SBIS and TBH responded negatively by financing and will be stable in the long term.</p><p>Penelitian ini bertujuan untuk menganalisis faktor-faktor yang memengaruhi profitabilitas (ROA) perbankan syariah di Indonesia. Data yang digunakan data bulanan dari laporan keuangan bank syariah periode 2010-2015. Penelitian ini mengunakan Vector Error Correction Model (VECM) untuk melihat dampak jangka panjang dan respon terhadap dampak shock pada setiap variabel terhadap pembiayaan. Hasil olah data menunjukkan bahwa FIN dan BOPO berhubungan positif terhadap ROA, sedangkan DPK, TBH, FDR berhubungan negatif terhadap dan ROA SBIS dan NPF tidak berpengaruh terhadap tingkat ROA. Dalam jangka pendek, ROA berhubungan negatif, tetapi FDR terhadap ROA berhubungan positif. Sedangkan DPK, FIN, SBIS, TBH, NPF and BOPO tidak berhubungan dengan pembiayaan. Di lain pihak, respon pembiayan terhadap goncangan yang terjadi terjadi pada ROA, FIN, FDR, NPF dan BOPO direspon positif oleh ROA. Sedangkan respon ROA terhadap goncangan yang terjadi pada FDR, SBIS dan TBH adalah negatif.</p>

scholarly journals Does Trade Openness Reduce Inflation? Empirical Evidence from Pakistan

2010 ◽  
Vol 15 (2) ◽  
pp. 35-50 ◽  
Author(s):  
Tahir MukhtarF
Keyword(s):  
Error Correction ◽  
Trade Liberalization ◽  
Trade Openness ◽  
Cointegration Test ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Multivariate Cointegration

One of the more celebrated propositions found in international trade is the case that trade liberalization is associated with declining prices, so that protectionism is inflationary. In line with this view, Romer (1993) postulates the hypothesis that inflation is lower in small and open economies. The objective of this study is to examine Romer’s hypothesis in Pakistan. For this purpose, we have used multivariate cointegration and a vector error correction model. The study covers the period from 1960 to 2007. The empirical findings under the cointegration test show that there is a significant negative long-run relationship between inflation and trade openness, which confirms the existence of Romer’s hypothesis in Pakistan.

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