scholarly journals ANALISIS PENGARUH SUKU BUNGA, PENDAPATAN NASIONAL DAN INFLASI TERHADAP NILAI TUKAR NOMINAL : PENDEKATAN DENGAN COINTEGRATION DAN ERROR CORRECTION MODEL (ECM)

2017 ◽  
Vol 4 (1) ◽  
Author(s):  
Roosaleh Laksono T.Y.
Keyword(s):  
Error Correction ◽  
Correction Term ◽  
Error Correction Model ◽  
Cointegration Test ◽  
Maximum Eigenvalue ◽  
Correction Model ◽  
Error Correction Term ◽  
Johansen Cointegration ◽  
Eigenvalue Statistic ◽  
Johansen Cointegration Test

Abstrak. Penelitian  ini  bertujuan  untuk  menganalisa  pengaruh  Suku  bunga,  inflasi, dan Pendapatan Nasional terhadap nilai tukar rupiah terhadap dollar baik hubungan keseimbangan jangka panjang maupun keseimbangan jangka pendek data empiris  tahun 1980-2015 (36 tahun) dengan menggunakan data sekunder. Metode  penelitian  yang  digunakan adalah regresi linier berganda  metoda OLS. Metoda penelitian ini menggunakan mendekatan dengan cointegration dan error correction model (ECM) dengan sebelumnya melallui beberapa tahapan pengujian statistic lainnya. Hasil dalam penelitian dengan cointegration (Johansen Cointegration test)   menunjukkan bahwa semua variable bebas (inflasi, pendapatan nasional dan suku bunga)  dan variable tak bebas (nilai tukar) telah terjadi hubungan keseimbangan (equilibrium) dalam jangka panjang, hal ini dibuktikan dengan hasil uji tersebut dimana nilai trace statistic sebesar 102.1727 jauh lebih besar dari nilai kritis (5%)  sebesar 47.85613.  Selain itu pula  hasil dari Maximum Eigenvalue Statistic yaitu dengan hasil sebesar 36,7908 lebih besar dari nilai kritis 5%. Sebesar 27,584434. Sementara hasil dari uji koreksi kesalahan model (ECM) bahwa hanya variable inflasi, suku bunga dan residual yang signifikan, sementara variable pendapatan nasional tidak signifikan. Hal ini yang berarti bahwa variable inflasi dan suku bungan mempunyai hubungan jangka pendek terhadap nilai tukar, hal ini terlihat dari nilai Probabilitas (Prob.) masing- masing variable dibawan 0,05 (5%), selain itu koefisien residual pada hasil uji ECM adalah -0,732447, hal ini menunjukan bahwa koreksi kesalah (error correction term) adalah sebesar 73,24% dan significant. 

scholarly journals Analysis of Indonesian Tax Revenue

2017 ◽  
Vol 1 (01) ◽  
pp. 71
Author(s):  
Amalia Wijayanti ◽  
Firmansyah Firmansyah
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Government Spending ◽  
Inflation Rate ◽  
Correction Term ◽  
Error Correction Model ◽  
Tax Revenue ◽  
Correction Model ◽  
Long Run ◽  
Short Run

<p>This study analyzes the long-run and short-run effect of macroeconomic factors, such as real Gross Domestic Product (GDP), inflation rate, exchange rate and government spending on Indonesia’s tax revenue during 1976-2013, by utilizing the Error Correction Model (ECM). The finding of the study demontrates that in the long-run; the real GDP, exchange rate, and government spending affect Indonesia’s tax revenue, except the inflation rate. In short-run, Indonesia’s tax revenue statisically affected by government spending, while others variable do not influence Indonesia’s tax revenue. Error Correction Term (ECT) coefficient is 0.221, explains incompatibility tax revenue occur in long-run is corrected of 22 percent in one period.</p><p><br />JEL Classification: E01, E20, H20<br />Keywords: Error Correction Model, Macroeconomic, Tax revenue</p>

scholarly journals Poverty, Unemployment and Food Insecurity: Empirical Evidence from Nigeria

2021 ◽  
pp. 107-123
Author(s):  
Onime, Bright Enakhe ◽  
Stephen Tamuno
Keyword(s):  
Food Insecurity ◽  
Error Correction ◽  
Security Policy ◽  
Cointegration Test ◽  
Infrastructure Development ◽  
Vector Error Correction ◽  
Current Period ◽  
Vector Error ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test

The high incidence of poverty in Nigeria coupled with the alarming rate of unemployment has raised concerns among experts as to their likely relationship with food insecurity. This study examined the nexus between poverty, unemployment and food insecurity using the Johansen cointegration test and the vector error correction model. The result from the Johansen cointegration test suggests a long-run relationship between food insecurity, poverty and unemployment. Findings from the vector error correction analysis showed a positive but insignificant relationship between poverty and food insecurity such that a percentage change in poverty in the current period is associated with a 0.09 per cent increase in food insecurity on average, ceteris paribus. Besides, a positive and significant relationship subsists between unemployment and food insecurity where an increase in unemployment exacerbated the latter. Clearly, a 1 per cent deviation in the previous period unemployment level is associated with a 1.2 per cent degeneration of the food insecurity position in the short run. In the same vein, a 1 per cent change in unemployment in the current period causes a 1.5 per cent aggravation of food insecurity. Following the findings, this study recommends a multi sector-specific approach to solving the issue of poverty in Nigeria targeting agriculture and its employment generating capacity, creating the enabling environment through infrastructure development and improving the ease of doing business for the private sector to strive and enhance its employment generating capacities. The study concludes with a call for the implementation of a holistic food security policy targeting improvement in crop yield, internal security problems and the proper funding of agriculture to be effective.

scholarly journals The Link Between Industry Value Added and Electricity Consumption

2017 ◽  
Vol 13 (13) ◽  
pp. 41
Author(s):  
Gulcin Tapsın
Keyword(s):  
Error Correction ◽  
Electricity Consumption ◽  
Value Added ◽  
Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Development Indicators ◽  
Bidirectional Relationship ◽  
Fixed Prices ◽  
Johansen Cointegration Test

This study aims to analyse the link between industry value added and electricity consumption in Turkey for the years between 1970 and 2015. The sectoral distribution of net electricity consumption has been obtained from Turkey Electricity Distribution and Consumption Statistics on GWh basis while industry value added data have been obtained from World Development Indicators’ data bases on dollar basis with the fixed prices of the year 2012. The correlations between the variables have been examined by means of Johansen cointegration test and error correction model. According to the results of the study, it has been seen that there exists bidirectional relationship between the electricity consumption and value added variable in the long term. On the other hand, in terms of the Error Correction Model used for a short-term relationship, no short-term relationship has been identified between the variables.

scholarly journals Integrasi Indeks Saham Pada Bursa Negara Kawasan Asia Pasifik

2020 ◽  
Vol 4 (1) ◽  
pp. 30
Author(s):  
I Wayan Tresna Wira Sentana ◽  
I Gde Kajeng Baskara
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Asia Pacific ◽  
Cointegration Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test ◽  
Positive Correlation Coefficient

Financial liberalization that occur in many countries in the world will cause stock market in that countries are integrated. Asia Pacific stock markets are very potential for investors to investing their capital because the Asia Pacific stock markets are very potential to make maximum returns for the investors. The aim of this researches are to analyze integration that occur in the Asia Pacific stock markets and to know that Asia Pacific stock markets are suitable for investors to diversifying their portfolio. This research are using the closing price of the Asia Pacific stock markets from April 2011 – March 2019 using Johansen cointegration test and vector error correction model. The result shows that Asia Pacific stock markets are integrated shows with seven cointegrating values in Johansen cointegration test and investors cannot diversifying their portfolio in the Asia Pacific stock market because of positive correlation coefficient values from all of the variables

scholarly journals The Impact of Final Demand arld Prices on Indonesia's Total - Import: Cointegration and Error Correction Model Analysis

2009 ◽  
Vol 9 (2) ◽  
pp. 109-125
Author(s):  
Isbandriyati Mutmainah
Keyword(s):  
Error Correction ◽  
Private Investment ◽  
Error Correction Model ◽  
Final Demand ◽  
Cointegration Test ◽  
Series Data ◽  
Short Term ◽  
Correction Model ◽  
The Impact

This research is aimed to investigate the influence of final demand and price to Indonesian agregate imports in the long-run and short-run. We use analytical technique cointegration test Iohansen procedures for the long-term influence, and Error Correction Model to estimate the short-term influence, by using quarterly time series data period from_1980 to 2004. From the result of cointegration test and Error Correction Model we found that in the long-term, all of final demand components and price except private investment are important I in determining Indonesian agregate imports. The government expenditure variable has the highest influence, while in the short-term all of independent variables except private consumption are important in determining Indonesian agregate imports and foreign price variable has the highest influence.

scholarly journals Macroeconomic Fundamentals and Budget Deficit Nexus: Evidence from a Developing Economy

2021 ◽  
Vol 12 (4) ◽  
pp. 152
Author(s):  
Gbenga Peter Sanusi
Keyword(s):  
Error Correction ◽  
Budget Deficit ◽  
Correction Term ◽  
National Income ◽  
Error Correction Model ◽  
Macroeconomic Fluctuations ◽  
Budget Deficits ◽  
Correction Model ◽  
Macroeconomic Fundamentals ◽  
The Government

The increasing budget deficit of the Nigeria’s government in the past few decades with its attendance impact on the economy is worrisome. This study examines the impacts of macroeconomic fundamentals on Nigeria’s fiscal deficit. An error correction model was specified and estimated. In terms of sign and size, the result showed that, there is an inverse relationship between budget deficit and the external reserve. This implies that an increase in the external reserve, leads to a decrease in budget deficits. A unit increase in external reserves resulted in 12.4 percent fall in budget deficit. In contrast, however, national income and interest rate showed a positive relationship with budget deficit. Increase in income expands the potential and propensity to spend. Lenders are equally more disposed to lend to the government because of the presupposed economic prosperity. The lagged value of the error correction term has the expected inverse sign of -0.42, and highly significant. The negative value of the error correction model further supports the co-integration relationship among the variables. Thus, macroeconomic variables influence budget deficits. Economic policies which minimizes macroeconomic fluctuations is paramount in curbing the negative impacts of increasing government deficit in the economy.   Received: 2 May 2021 / Accepted: 15 June 2021 / Published: 8 July 2021

scholarly journals Cointegration Analysis and Forecasting of the Export Function of Bangladesh Using the Error Correction Model

2020 ◽  
Author(s):  
K M Saemon Islam ◽  
Gautam Kumar Biswas
Keyword(s):  
United States ◽  
Gross Domestic Product ◽  
Error Correction ◽  
Correction Term ◽  
The United States ◽  
Error Correction Model ◽  
Cointegration Analysis ◽  
Domestic Product ◽  
Correction Model ◽  
The Relationship

Abstract In this paper, we examined the relationship between the growth of the Gross Domestic Product of the United States, the export value index, and the export of Bangladesh over 37 years between 1980 and 2016. The results of our preliminary tests showed that there was indeed a long-run relationship between these variables. Based on our preliminary analysis, we employed an error-correction model to identify the relationship between the variables. The error-correction term with the expected negative sign was statistically significant, and it confirmed that in the case of disequilibrium, the convergence towards the equilibrium happened in the subsequent periods. Additionally, the econometric estimates exhibited that the two-period lagged values of the growth in export of Bangladesh and the growth of the Gross Domestic Product of the United States were also statistically significant.JEL Classification: C22, C5, F41

scholarly journals Comparing parametric and semiparametric error correction models for estimation of long run equilibrium between exports and imports

2017 ◽  
Vol 11 (1-2) ◽  
pp. 19-23
Author(s):  
Henry De-Graft Acquah ◽  
Lawrence Acheampong
Keyword(s):  
Least Squares ◽  
Error Correction ◽  
Correction Term ◽  
Error Correction Model ◽  
Ordinary Least Squares ◽  
Information Criteria ◽  
Least Squares Regression ◽  
Error Correction Models ◽  
Correction Model ◽  
Long Run

This paper introduces the semiparametric error correction model for estimation of export-import relationship as an alternative to the least squares approach. The intent is to demonstrate how semiparametric error correction model can be used to estimate the relationship between Ghana’s export and import within the context of a generalized additive modelling (GAM) framework. The semiparametric results are compared to common parametric specification using the ordinary least squares regression. The results from the semiparametric and parametric error correction models (ECM) indicate that the error correction term and import variable are significant determinants of Ghana’s exports. On the basis of Akaike Information Criteria and Generalized Cross-Validation (GCV) scores, it is found that the semiparametric error correction model provides a better fit than the widely used parametric error correction model for modeling Ghana’s export-import relationship. The results of the analysis of variance provide further evidence of nonlinearity in Ghana’s export and import relationship. In effect, this paper demonstrates the usefulness of semiparametric error correction model in the estimation of export – import relationship. JEL code: C14, C18, C22, F10, F14

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