scholarly journals Contemporary Literature Review of the Russian Rouble Determinants

2021 ◽  
pp. 26-31
Author(s):  
Morad Bali ◽  
Keyword(s):  
Price Index ◽  
Contemporary Literature ◽  
Consumer Price Index ◽  
Ordinary Least Squares ◽  
Vector Autoregressive ◽  
Vector Error Correction ◽  
Vector Error ◽  
Vector Error Correction Models ◽  
Gas Price ◽  
Structural Vector

This short literature review’s goal is to examine available papers regarding the study of Russian Rouble determinants. For purpose of analysis, 35 articles were studied among which 22 were selected, for a total of 414 pages shelled. This work analyzes most recent empirical articles, in order to identify factors responsible for the Russian currency fluctuations. Different models will be compared to learn if some are more effective than others, from basic Linear regression to Structural vector autoregressive, through Ordinary least squares or Vector error correction models. Moreover, a very special and particular attention will be paid to variables used. Which combinations of variables are used to study factors influencing the Russian currency? While it seems vital to include oil prices, interest rate, and consumer price index, is it important to have them all together in the same model? Are results among papers similar? In addition, would it be necessary to add variables such as GDP, gold price, gas price, M2 aggregate or sanctions? However, this paper will compare data from each model and try to find out if there is one best way to study the Russian currency determinants.

scholarly journals Dynamic Relations of Consumer Prices: A Case Study of Recent Effects on the Japanese Headline CPI

2016 ◽  
Vol 3 (2) ◽  
pp. 28
Author(s):  
Chikashi Tsuji
Keyword(s):  
Impulse Response ◽  
Statistical Significance ◽  
Consumer Price Index ◽  
Variable Coefficients ◽  
Vector Error Correction ◽  
Vector Error ◽  
Consumer Prices ◽  
Dynamic Relations ◽  
Vector Error Correction Models

<p>This study attempts to empirically examine the relations between the headline consumer price index (CPI) and several other CPIs in Japan by applying the vector error correction models (VECMs). Our investigations derive the following interesting findings. First, we reveal that as to our four combinations of the CPIs tested in this paper, 1) all variable coefficients in the cointegrating equations are statistically significant in our VECM models and the statistical significance is very strong. Thus, we understand that our four bivariate combinations of the CPIs tested in this paper are all strongly cointegrated and the VECM approach is very effective to capture the time-series effects of the categorized CPIs on the Japanese headline CPI. Further, we also find that 2) as far as judging by the results of our impulse response analyses, for the period from May 2011 to June 2015, the headline CPI for Japan is weakly or little affected by the CPI of energy and the CPI of food for Japan. We further clarify that 3) according to the results of our impulse response analyses, the Japanese headline CPI is positively affected by both the CPI of utilities for Japan and the CPI of transportation and communication expenses for Japan.</p>

scholarly journals Dampak Perubahan Nilai Tukar terhadap Indeks Harga Konsumen Bahan Makanan di Indonesia

2016 ◽  
Vol 17 (1) ◽  
pp. 1-14
Author(s):  
Siti Suarsih ◽  
Noer Azam Achsani ◽  
Nunung Nuryartono
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Price Index ◽  
Consumer Price Index ◽  
Error Variance ◽  
Correction Model ◽  
Vector Error Correction ◽  
Forecasting Error ◽  
Vector Error ◽  
Pass Through

Exchange Rate Change Effects on Indonesia’s Foodstuff Consumer Price IndexThe fluctuation in exchange rate Indonesia may have an impact on the price of imported goods both consumer goods (finished goods) and raw materials. The aim of this study is to analyze the impact of exchange rate changes on the Consumer Price Index (CPI) of foods categories and analyze the role of the exchange rate in explaining fluctuations in the CPI of food category in Indonesia. Econometric analysis using vector error correction model, indicates that the greatest degree of pass-through occurs in the consumer price index groups of milk and eggs. Contributions of exchange rate as the result of decomposition of forecasting error variance is largest in the meat category.Keywords: Exchange Rate Pass-Through; Consumer Price Index of Foodstu; Vector Error Correction ModelAbstrakPerubahan nilai tukar dapat berdampak pada harga barang-barang yang diimpor baik barang konsumsi (barang jadi) maupun bahan baku. Penelitian ini bertujuan untuk menganalisis dampak perubahan nilai tukar terhadap Indeks Harga Konsumen (IHK) kelompok bahan makanan dan menganalisis peranan nilai tukar dalam menjelaskan fluktuasi IHK bahan makanan di Indonesia. Analisa ekonometri menggunakan vector error correction model, menunjukkan bahwa derajat pass-through terbesar terjadi pada kelompok indeks harga konsumen susu dan telor. Kontribusi nilai tukar hasil decomposition of forecasting error variance terbesar terjadi pada kelompok daging.

scholarly journals CAUSALITY RELATIONSHIP OF FINANCING, POVERTY, UNEMPLOYMENT, CONSUMER PRICE INDEX AND ECONOMIC GROWTH IN INDONESIA

2021 ◽  
Vol 22 (2) ◽  
pp. 103-115
Author(s):  
Muhammad Nasir ◽  
Lianti Lianti ◽  
Muhammad Syuib ◽  
Hamdani Hamdani ◽  
Safaruddin Safaruddin
Keyword(s):  
Economic Growth ◽  
Price Index ◽  
Consumer Price Index ◽  
Sufficient Evidence ◽  
Analysis Tool ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
The Government ◽  
Relationship Of

This study aims to analyze the effect of financing and unemployment on economic growth in Indonesia. This study was conducted in 33 provinces over a period of 7 years from 2011-2017. The data analysis tool used is the Vector Error Correction Model (VECM) panel. These results prove that all variables such as financing, poverty, unemployment and the consumer price index have an effect on economic growth in Indonesia. There is sufficient evidence that financing, poverty, unemployment and the consumer price index are closely related to economic growth. The recommendation from this research is that Islamic banking can increase financing as an effort to improve the economy. As for the government, they are urged to control the level of poverty and unemployment.

scholarly journals Is Gold a Hedge Against Turkish Lira?

2008 ◽  
Vol 3 (1) ◽  
pp. 35-40 ◽  
Author(s):  
Feride Ozturk ◽  
Sezgin Acikalin
Keyword(s):  
Exchange Rate ◽  
Price Index ◽  
Consumer Price Index ◽  
Gold Price ◽  
Dollar Exchange Rate ◽  
Vector Error Correction ◽  
Vector Error ◽  
Us Dollar ◽  
Turkish Lira

Is Gold a Hedge Against Turkish Lira?This paper investigates whether gold is an internal hedge and/or an external hedge against Turkish lira (TL) by using monthly data from January 1995 to November 2006. Cointegration test results confirm the long-term relationships between the gold price and consumer price index and between the gold price and TL/US dollar exchange rate. The Granger Tests, based on vector error correction model (VECM), indicate that gold price Granger causes the consumer price index and TL/US dollar exchange rate in a unidirectional way. It is concluded that gold acts as an effective hedge against potential future TL depreciation and rising domestic inflation. Furthermore, gold price may be considered as a good indicator of inflation and hence it can be used as a guide to monetary policy.

scholarly journals Analysis of Asean’s Shock in The Discourse on Establishing Asean Currency Unit (Acu)

2018 ◽  
Vol 6 (4) ◽  
pp. 395-402
Author(s):  
Susi Susanti
Keyword(s):  
Trade Balance ◽  
Price Index ◽  
Consumer Price Index ◽  
Single Currency ◽  
Macroeconomic Shocks ◽  
Vector Error Correction ◽  
Real Gdp ◽  
Vector Error ◽  
Asean Countries ◽  
Cooperative Relationship

The discourse of the establishment of ASEAN single currency is the vision of ASEAN in 2020 with the aim to facilitate the stabilization of the regional exchange rate. The region that will form a single currency must have the same trade pattern criteria, symmetrical macroeconomic shocks and similar development economics characteristics. However, the economics indicators of ASEAN region are still inbalances. This study aims to analyze the shocks response of economic indicators in ASEAN-10. The variables in this research are Consumer Price Index (CPI), Real GDP and Trade Balance from ASEAN countries. This research model is Vector Error Correction Model. The are low correlation between Consumer Price Index (CPI), Real GDP and Trade Balance in ASEAN. The shock response from ASEAN countries to shocks that occurred in Singapore showed varying results and not symmetrical. This is shows that the requirement of formation of single currency has not been fulfilled. The result of the decomposition variant also shows that Singapore's economic turmoil is still dominantly influenced by internal conditions. However, the decomposition variant of GDP Rill shows that Laos has a higher role compared to Singapore due to the cooperative relationship between the two countries.

scholarly journals Analysis of Inflation Rates in Ethiopia Using Vector Autoregressive Models

2020 ◽  
pp. 18-26
Author(s):  
Gemechu Bekana Fufa
Keyword(s):  
Error Correction ◽  
Unit Root ◽  
Price Index ◽  
Unit Root Test ◽  
Autoregressive Models ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive ◽  
Vector Error Correction ◽  
Vector Error ◽  
Inflation Rates

This study aims to analyze the inflation rates by using Vector Autoregressive models. Vector Autoregressive (VAR) Models, Testing Stationary: Unit root test, Estimating the Order of the VAR, Cointegration Analysis (testing of cointegration), and Vector Error Correction (VEC) Models were used in this study for data analysis. Comparisons were made between food price index and nonfood price index using descriptive analysis. The findings of the study suggest that the percentage of food price index in higher than nonfood price index. The results also imply the existence of short-term adjustments and long – term dynamics in the CPI, FPI, and NFPI. Unit root test reveals that all the series are nonstationary at level and stationary at first difference. The result of Johansen test indicates the existence of one cointegration relation between the variables. The final result shows that a Vector Error Correction (VEC) model of lag two with one cointegration equation best fits the data. To contain inflation rates, therefore, the policy interventions aimed at tackling the current situation of inflation rates need to take into account the priorities of the government as the effect of policy instruments and means of solutions.

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