scholarly journals Application of multiple regression models for inflation modelling

2021 ◽  
Vol 47 ◽  
Author(s):  
Ana Čuvak ◽  
Žilvinas Kalinauskas
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Regression Models ◽  
Stationary Time Series ◽  
Exogenous Variables ◽  
Price Inflation ◽  
Vector Error Correction ◽  
Vector Error ◽  
Multiple Regression Models ◽  
Augmented Dickey Fuller

This paper examines the Lithuanian consumer price inflation from 1996 January till 2006 December using a modern non-stationary time series and econometric theory.  The multiple regressionmodels are proposed for inflation modeling. The stationarity of Lithuanian inflation and the main explored exogenous variables are analyzed using the augmented Dickey–Fuller test.  All indicators are integrated of order one.  Vector error correction (VECM) model of Lithuanian inflation processes is investigated and proposed for inflation modeling.

scholarly journals Estimation of peach supply response in Colombia using a Vector Error Correction Model

ENTRAMADO ◽  
2021 ◽  
Vol 17 (1) ◽  
pp. 250-260
Author(s):  
Susan Elsa  Cancino ◽  
Giovanni Orlando Cancino-Escalante
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Time Series Data ◽  
Series Data ◽  
Correction Coefficient ◽  
Vector Error Correction ◽  
Supply Response ◽  
Vector Error ◽  
Long Run ◽  
Augmented Dickey Fuller

An empirical study of peach supply response to own-price and yield in Colombia using time series data from 2000 to 2018 was undertaken. A quantitative, correlational and non-experimental research design was selected and the Johansen´s co-integration as well as the vector error correction framework were employed. The Augmented Dickey-Fuller test showed that the time series were integrated of order one and the Johansen´s co-integration confirmed the existence of a long-term relationship between the variables. Moreover, the short and long run coefficients for own-price and yield were statistically significant and presented the expected signs, however, estimated own-price elasticity was below unit suggesting it is not an important factor in peach supply response. Furthermore, the vector error correction coefficient (-0.32) was negative and in line with theory, which showed that in the long-run, the model converges towards equilibrium, however at a relatively slow pace. Therefore, it can be concluded that, overall, the proposed model contributes to the understanding of the dynamics in peach output supply.

scholarly journals On One Co-Integration Issue of Trade Links of Azerbaijan, Russia, Belarus and Kazakhstan

2020 ◽  
Vol 17 (2) ◽  
pp. 29-39
Author(s):  
E. G. Orudzhev ◽  
S. M. Huseynova
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Stationary Time Series ◽  
Vector Model ◽  
Microsoft Excel ◽  
Vector Error Correction ◽  
Vector Error ◽  
Equilibrium Relationship ◽  
Foreign Trade Turnover

This article, based on annual data from 1994 to 2018, considers trade and economic processes between Azerbaijan, Russia, Belarus and Kazakhstan through the GDP integration indicators of Azerbaijan and foreign trade turnover with these countries.The purpose of the research. The purpose of the study is to find cointegration relationships between the studied macroeconomic indicators and correct application of the vector model of error correction to describe the equilibrium relationship between the considered data of intercountry interaction and to develop sound economically informative recommendations in the sphere of intercountry trade and economic interaction.Materials and methodology. Official statistics of the State Statistics Committee of Azerbaijan, scientific works of scientists-economists on the inter-country integration processes in the post-soviet region are used. Statistical methods of information processing are applied in relation to the empirical analysis of non-stationary time series of the studied statistical data, and correctly tested modern econometric methods and all the necessary econometric testing procedures are used to build co-integration relations and the vector model of error correction taking into account the effects of external shocks. All the calculations are made in Microsoft Excel and Eviews 8 application software packages.Results. The properties of applying the econometric methodology of studying the statistical relationship between multidimensional nonstationary time series are investigated. For this data, the authors' approach is to use the co-integration tool and the mechanism of vector error correction, which are practically not applicable by economists in Azerbaijan to date. A new specification of the model with respect to the logarithms of the source variables is defined. Based on the minimization of the mean square error, estimates of the model parameters are found. The Granger connection causality is investigated. The Johansen tests are implemented to find the cointegration area, after which the vector error correction model is built, which describes the long-term equilibrium relationship between the studied indicators and the path of returning to the equilibrium trajectory if it deviates from it. When modeling, we used all the necessary statistical procedures required to identify and evaluate the parameters of the model and verify its adequacy and the accuracy of short-term and long-term forecast values by applying Microsoft Excel and Eviews 8 tools.Conclusion. As a result of the study, econometrically sound recommendations are developed, which allow to conduct dynamic analyzes for effective state regulation of export-import operations between the four countries in order to balance the trade and improve the relevant inclusive parameters of the long-term sustainable development of these states.

Lead-lag relationship between futures and spot FX market in India

2017 ◽  
Vol 13 (5) ◽  
pp. 560-577 ◽  
Author(s):  
Varuna Kharbanda ◽  
Archana Singh
Keyword(s):  
Error Correction ◽  
Content Type ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Cointegration Tests ◽  
Augmented Dickey Fuller ◽  
Stationarity Tests ◽  
Indian Stock Market ◽  
Fx Market

Purpose The purpose of this paper is to study the lead-lag relationship between the futures and spot foreign exchange (FX) market in India to understand the price discovery mechanism and the relationship between these two markets. Design/methodology/approach The estimation of lead-lag relationship is realized in three steps. First unit root and stationarity tests (Augmented Dickey-Fuller, Phillips-Perron, and Kwiatkowski-Phillips-Schmidt-Shin) are applied to check the stationarity of the data. Second, cointegration tests (Engle and Granger’s residual based approach and Johansen’s cointegration test) are applied to determine long run relationship between the markets. Third, error correction estimation is carried out by applying Vector Error Correction Model (VECM) to determine the leading market. Findings The study finds that there is a long run relationship between the futures and spot market where the futures market has emerged as the leading market for the four currencies studied in the paper. Originality/value Majorly, the studies on Indian FX market limit themselves to identifying the efficiency of the market and the studies which talk about the lead-lag relationship focus on the Indian stock market. This paper enhances the existing literature on Indian FX market by exploring the less explored subject of the lead-lag relationship between futures and spot FX market in India.

Komparasi Regresi Ekonometri pada Perekonomian Indonesia 2SLS, VEC, dan ARIMA

2002 ◽  
Vol 2 (2) ◽  
pp. 88-112
Author(s):  
Henry Viriya Surya ◽  
Prastowo Cahjadi
Keyword(s):  
Time Series ◽  
Regression Models ◽  
Moving Average ◽  
Strong Support ◽  
Comparison Process ◽  
Economic Time Series ◽  
Vector Error Correction ◽  
Autoregressive Integrated Moving Average ◽  
Vector Error ◽  
Economic Time

This paper compares three models of econometric analysis on economy, in this case the Indonesian economy. The regression models are the two stage least squares (2SLS) which has a strong support from the economic theory of aggregate expenditure, the Vector Error Correction (VEC) and Autoregressive Integrated Moving Average (ARIMA) which both comes from the time series analysis, that do not have to be economic time series. The study tries to find out which are most suitable in analyzing the time series of Indonesian economy. After all the estimation and comparison process, we finally agree that the use of those different methods must be sinchronized with the purpose of the user's study of the economic time series.

MODEL KESEIMBANGAN HUBUNGAN PENGARUH ANTARATINGKAT BUNGA, LAJU INFLASI, DAN KURS VALUTA ASING

2017 ◽  
Vol 11 (2) ◽  
pp. 117
Author(s):  
Endang Setyowati ◽  
Algifari Algifari
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Error Correction ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Vector Error Correction ◽  
Vector Error ◽  
Augmented Dickey Fuller ◽  
Rate Vector ◽  
The Interest Rate

The aims of this research is to develop unequilibrium model relationship among interest rate,inflation, and foreign exchange rate in Indonesia using monthly data from January 2011 to April2015. The results of Augmented Dickey-Fuller test shows that the data of interest rate, inflation, andforeign exchange rate in this period is not stationary at level, but stationary in first difference.Johansen Cointegration test results indicate that the interest rate, inflation, and foreign exchange rateare cointegrated. Equilibrium model that used to determine the relationship among interest rate,inflation, and foreign exchange rate is Vector Error Correction models. The results of this studyindicate that interest rate affect on inflation and foreign exchange rate in Indonesia.Keyword: Interest Rate, Inflation, Exchange Rate,Vector Error Correction Model

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 Penerapan Vector Error Correction Model pada Hubungan Kurs, Inflasi dan Suku Bunga

2021 ◽  
Vol 8 (1) ◽  
pp. 33
Author(s):  
Moh Faizin
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

Kondisi stabil dan tidaknya suatu negara tercermin dari stabilnya nilai tukar mata uang tersebut serta dengan memperhatikan tingkat laju inflasi dan suku bunga acuan. Tujuan penelitian ini menganalisis hubungan jangka pendek dan jangka panjang antara variabel kurs, inflasi dan suku bunga di Indonesia. Penelitian ini menggunakan model VECM data sekunder time series untuk periode 2011-2019. Hasil menunjukkan bahwa hubungan jangka pendek terjadi hanya pada variabel inflasi yang mempengaruhi kurs, sementara variabel yang lain tidak siknifikan. Hasil juga menunjukkan bahwa dari ketiga variabel kurs, inflasi dan suku bunga terdapat hubungan timbal balik jangka panjang.

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