Optimal Hedge Ratio for Brent Oil Market; Baysian Approach

2014 ◽  
Vol 37 ◽  
pp. 82-87
Author(s):  
Mohsen Mehrara ◽  
Monire Hamldar
Keyword(s):  
Error Correction ◽  
Oil Futures ◽  
Vector Autoregressive ◽  
Vector Error Correction ◽  
Oil Market ◽  
Vector Error ◽  
Hedging Ratio ◽  
Daily Data ◽  
Crude Oil Futures ◽  
Optimal Hedge

This paper examines the optimal hedging ratio (OHR) for the Brent Crude Oil Futures using daily data over the period 1990/17/8-2014/11/3. To gain OHR, it is employed a Vector Autoregressive (VAR) and Vector Error Correction (VEC) and Baysian Vector Autoregressive (BVAR) models. At last, the efficiency of these calculated OHR are compared through Edrington's index.

scholarly journals Time-Varying Optimal Hedge Ratio for Brent Oil Market

2015 ◽  
Vol 56 ◽  
pp. 103-106
Author(s):  
Mohsen Mehrara ◽  
Monire Hamldar
Keyword(s):  
Crude Oil ◽  
Garch Model ◽  
Time Varying ◽  
Oil Futures ◽  
Hedge Ratio ◽  
Oil Market ◽  
Hedging Ratio ◽  
Daily Data ◽  
Crude Oil Futures ◽  
Optimal Hedge

This paper examines the optimal hedging ratio (OHR) for the Brent Crude Oil Futures using daily data over the period 1990/17/8-2014/11/3. To estimate OHR, we employ multivariate BEKK MV-GARCH model. At last, the efficiency of this approach are compared with the constant OHR captured from OLS through Edrington's index.

Measuring Dynamic Sales Impacts of LBA Using Wireless Communication Technology

2013 ◽  
Vol 662 ◽  
pp. 896-901
Author(s):  
Zong Jin Liu ◽  
Yang Yang ◽  
Zheng Fang ◽  
Yan Yan Xu
Keyword(s):  
Wireless Communication ◽  
Error Correction ◽  
Communication Technology ◽  
Dynamic Error ◽  
Rapid Development ◽  
Vector Autoregressive ◽  
Vector Error Correction ◽  
Vector Error ◽  
Equilibrium Relationship

Because of rapid development of wireless communication technology, there is an increasing adoption of mobile advertising, such as location based advertising (LBA). To what extent can LBA improve advertising effectiveness is an important topic in the field of wireless communication technology research. Most researches quantify long term impacts of advertisings by VAR (Vector Autoregressive) model. However, compared to VAR model, VECM (Vector Error Correction Model) is a better method in that it allows one to estimate both a long-term equilibrium relationship and a short-term dynamic error correction process. In this study, we employ VECM to explore LBA’s (Location Based Advertising) and PUA’s (Pop-up Advertising) sales impact in both short and long terms. The developed VECM reveals that LBA’s sales impact is about more than2 times as big as PUA’s in short dynamic term and nearly 6 times bigger than PUA’s in long equilibrium term. These findings add to advertising and VECM literatures. These results can give managers more confident to apply wireless communication technology to advertising.

scholarly journals Test FOR Dynamic Relationship between Financial Development and Economic Growth in Malaysia: A Vector Error Correction Modeling Approach

2007 ◽  
Vol 9 (1) ◽  
pp. 61 ◽  
Author(s):  
Rosilawati Amiruddin ◽  
Abu Hassan Shaari Mohd Nor ◽  
Ismadi Ismail
Keyword(s):  
Economic Growth ◽  
Error Correction ◽  
Financial Development ◽  
Impulse Response Function ◽  
Vector Autoregressive ◽  
Vector Error Correction ◽  
Dynamic Relationship ◽  
Vector Error ◽  
Error Correction Modeling

This paper purports to study the effectiveness of financial development to Malaysian economic growth utilizing quarterly data. In view of the priority given to dynamic relationship in conducting this study, Vector Autoregressive (VAR) method which encompasses Johansen-Juselius’ Multivariate cointegration, Vector Error Correction Model (VECM), Impulse Response Function (IRF), and Variance Decomposition (VDC) are used as empirical evidence. The result reveals a short-term and long-term dynamic relationship between financial development and economic growth. The importance of financial sector in influencing the economic activity is proven as a clear policy implication.

scholarly journals ANALISIS INTEGRASI SAHAM SYARIAH DI ASIA dengan SAHAM SYARIAH DI INDONESIA

2021 ◽  
Vol 2 (1) ◽  
pp. 1-37
Author(s):  
Penny Rahmah Fadhilah
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Variance Decomposition ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Autoregressive ◽  
Vector Error Correction ◽  
Vector Error

Perkembangan pasar modal syariah di Indonesia tidak lepas dari pengaruh pasar modal luar negeri terutama di Asia.  Faktor tersebut merupakan salah satu implikasi dari bentuk globalisasi yang dapat mendorong kemajuan teknologi sehingga perekonomian dunia semakin terbuka. Negara-negara yang termasuk dalm penelitian ini adalah Jepang, Malaysia, China, dan Indonesia. Penelitian ini menggunakan metode Vector Autoregressive (VAR)/ Vector Error Correction Model (VECM) dengan menggunakan data bulanan sejak September 2011 hingga Januari 2017.Hasil penelitian menunjukkan bahwa terdapat hubungan kausalitas antara bursa saham syariah di Asia dengan bursa saham syariah di Indonesia. Kemudian berdasarkan hubungan kointegrasi, terdapat hubungan jangka panjang antara DJIGRC dengan ISSI. Selain itu, berdasarkan analisis Variance Decomposition (VD) didapatkan hasil bahwa ISSI memberikan kontribusi terbesar pada pergerakan DJIMY. Sedangkan penyumbang kontribusi terbesar terhadap pergerakan bursa saham ISSI adalah DJIGRC.

scholarly journals Exchange Rates And Equity Markets: Evidence From Some European Countries

2010 ◽  
Vol 26 (6) ◽  
Author(s):  
Oana Ariana Batori ◽  
Dimitrios Tsoukalas ◽  
Paolo Miranda
Keyword(s):  
Stock Market ◽  
Exchange Rates ◽  
Cointegration Analysis ◽  
Integrated System ◽  
Vector Autoregressive ◽  
Vector Error Correction ◽  
Vector Error ◽  
Daily Data ◽  
Causality Tests ◽  
Market Indexes

<p class="MsoNormal" style="text-align: justify; line-height: normal; margin: 0in 0.5in 0pt; mso-pagination: none;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">This paper employs cointegration analysis, vector error correction and vector autoregressive modeling along with Granger causality tests to examine the effect of exchange rates on the stock market indexes for a group of<span style="mso-spacerun: yes;">&nbsp; </span>European Union countries using daily data from 1999-2009. <span style="mso-spacerun: yes;">&nbsp;</span>The results suggest that the transmitting mechanism for the influence of the exchange rate in the stock market is foreign investment.<span style="mso-spacerun: yes;">&nbsp; </span>Evidence also highlights that there is no clear causality from stock market to exchange rates, or vice versa, for the direction of the causation, suggesting that exchange rates and stock markets operate as an integrated system continuously influencing each other.</span></span></p>

scholarly journals Determinan Intensitas Energi di Indonesia

2012 ◽  
Vol 12 (2) ◽  
pp. 192-214
Author(s):  
Fitri Kartiasih ◽  
Yusman Syaukat ◽  
Lukytawati Anggraeni
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Autoregressive ◽  
Vector Error Correction ◽  
Vector Error

AbstrakStudi ini memperkaya kajian energi di Indonesia dengan menganalisis konsumsi dan intensitas energi, sertafaktor-faktor yang memengaruhi intensitas energi di Indonesia baik secara agregat (nasional) maupunsektoral. Indeks Ideal Fisher digunakan untuk mendekomposisi perubahan intensitas energi (esiensi danperubahan aktivitas ekonomi). Analisis Vector Autoregressive (VAR) atau Vector Error Correction Model(VECM) digunakan untuk menganalisis pengaruh variabel-variabel ekonomi terhadap intensitas energi.Studi ini menunjukkan bahwa intensitas energi di Indonesia meningkat selama periode 1977-2010. Faktorutama yang memengaruhi intensitas energi di tingkat nasional adalah perubahan aktivitas ekonomi,sedangkan di tingkat sektoral adalah efek esiensi.

scholarly journals Does Financial Deepening Cause Liquidity Problems for Banks? Evidence from Nigeria

2021 ◽  
pp. 242-257
Author(s):  
Kayode, Peter Akinyemi ◽  
Ajayi, David Adelagun ◽  
Awosusi, Charles Temitope
Keyword(s):  
Error Correction ◽  
Banking System ◽  
Analytical Techniques ◽  
Financial Deepening ◽  
Monetary Policies ◽  
Vector Autoregressive ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Short Run

Attempt to facilitate economic growth makes the Central Banks to formulate monetary policies that seek to deepen the provision of financial resources to target sectors. Since Banks are the main channels through which monetary policies are executed, we attempted to examine whether financial deepening cause liquidity problem among Nigerian banks in this study. We employed time series analytical techniques to analyze selected financial deepening indicators and data for banking system liquidity between 1981 and 2019. The financial deepening variables used include of broad money to the gross domestic product (GDP) ratio; credit to private sector to the GDP ratio; ratio of commercial banks liabilities to the GDP; financial sector contribution to the GDP and ratio of market capitalization to the GDP. On the other hand, the liquidity of the banking system is proxy by its loan/deposit ratio for the period under study. We estimated the statistical properties of the variables examined and conducted some pre-estimation tests (stationarity and co-integration) to ascertain choice estimation techniques. We used a vector error correction mechanism to investigate long and short-run effects of financial deepening on Nigerian banking system liquidity. Both the long run vector autoregressive (VAR) and the short run and vector error correction (VEC) models results showed that there is a positive but statistically insignificant relationship between banking system liquidity and financial deepening variables. In addition, the results of the Granger causality between the dependent and independent variables revealed that there exists no causal relationship between the liquidity of the banking system and financial deepening. These findings imply that financial deepening did not impair banks’ liquidity position in Nigeria during the years under review. The study concluded that financial deepening does not cause liquidity problem for banks in Nigeria; rather, if well managed, can have positive effect on it. In the light of this, the study recommends that banks should re-strategize in the implementation of financial deepening policies that are liquidity friendly and that the Central Bank of Nigeria, should formulate policies that will not only focus on credit and loan beneficiaries, but also on the banks.

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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