scholarly journals Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach

2007 ◽  
Author(s):  
Tigran Poghosyan ◽  
Jakob de Haan
Keyword(s):  
Interest Rate ◽  
Error Correction ◽  
Vector Error Correction ◽  
Vector Error ◽  
Interest Rate Linkages

Does Fiscal Deficit Affect Interest Rate in India? An Empirical Investigation

2016 ◽  
Vol 5 (2) ◽  
pp. 87-103 ◽  
Author(s):  
Ritu Rani ◽  
Naresh Kumar
Keyword(s):  
Interest Rate ◽  
Error Correction ◽  
Money Supply ◽  
Real Interest Rate ◽  
Vector Error Correction Model ◽  
Fiscal Deficit ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

Fiscal deficit above a certain limit is not good for the country because high government borrowings raise the interest rate and crowd out private investment. This article is an attempt to analyze the impact of fiscal deficit on real interest rate in India over the time period of 1980–1981 to 2013–2014. Autoregressive distributed lags bound testing approach for cointegration and vector error correction model for Granger casualty are used in a multivariate framework in which money supply and inflation are included as additional variables. Bound test results confirm the long-run equilibrium relationship among the competing variables. Further, the rate of interest and fiscal deficit are positively related with each other in long run, whereas money supply and inflation are found to be negative and statistical significant. In addition, results of vector error correction model showed that there is unidirectional causality running from inflation to real interest rate in short run. Based on the findings, it is suggested that that proper fiscal consolidation is required to control high fiscal deficit and burgeoning interest rate in India. Further, government should move from market borrowing to tax revenue to offset fiscal deficit.

MODEL PERMINTAAN UANG DI INDONESIA DENGAN PENDEKATAN VECTOR ERROR CORRECTION MODEL

2020 ◽  
Vol 5 (3) ◽  
Author(s):  
Imam Mukhlis
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Error Correction ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Demand For Money ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

This research aims to estimate the demand for money model in Indonesia for 2005.22015.12. The variables used in this research are demand for money, interest rate, inflation, and exchange rate (IDR/US$). The stationary test with ADF used to test unit root in the data. Cointegration test applied to estimate the long run relationship between variables. This research employed the Vector Error Correction Model (VECM) to estimate the money demand model in Indonesia. The results showed that all the data was stationer at the difference level (1%). There were long run relationship between interest rate, inflation and exchange rate to demand for money in Indonesia. The VECM model could not explain interaction between explanatory variables to independent variables. In the short run, there were not relationship between interest rate, inflation and exchange rate to demand for money in Indonesia for 2005.2-2015.12.

scholarly journals Empirical evidence on Non-Performing Loans and credit frictions: banking sector in Tunisia

2020 ◽  
Vol 2 (3) ◽  
pp. 171-183
Author(s):  
Salha Ben Salem ◽  
◽  
Moez Labidi ◽  
Nadia Mansour ◽  
◽  
...  
Keyword(s):  
Interest Rate ◽  
Error Correction ◽  
Money Supply ◽  
Banking Sector ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Market Interest Rate ◽  
Credit Frictions

Purpose: This paper explores the most important determinants of friction in the Tunisian credit market. The previous literature argued that friction is largely explained by the increase in Non-Performing Loans Nkusu, 2011; Abadi et al. 2014; Rulyasri et al.2017, Roland et all, 2013. Research methodology: We constructed a multivariate Vector Error Correction Model, with five macroeconomic variables (industrial production index, the money supply, money market interest rate) to examine the impact of Non-Performing Loans increase in amplifying the Tunisian credit frictions. Results: The Vector Error Correction Model (VECM) regression results show a negative and important relationship between economic growth and Non-Performing Loans (NPL) ratio, which is very robust during the political crisis of 2011. The money market interest rate and the money supply are positively related to the Non-Performing loan ratio. Limitation: This study was only focused on Tunisian banking sector as one of the pillars of the Tunisian economy. Contributions: This highlights that the nature of the monetary policy adopted by the monetary authority of Tunisia plays a significant role in the fluctuation of the Non-Performing Loans ratio. Bank capitalization is positively and statistically significant with Non-Performing Loan ratio, implying that banks with a low level of capital are more likely to have a riskier credit portfolio that causes the increase of Non-Performing Loans in their balance sheet.

Econometric Analysis of India's Foreign Direct Investment Inflows

2018 ◽  
pp. 248-275
Author(s):  
Debesh Bhowmik
Keyword(s):  
Interest Rate ◽  
Error Correction ◽  
Structural Breaks ◽  
Inflation Rate ◽  
Trade Openness ◽  
Fdi Inflows ◽  
Vector Error Correction ◽  
Vector Error ◽  
Johansen Cointegration Test ◽  
Log Linear

In this chapter, the author explains the trend lines, random walk, stationary, structural breaks, and volatility of FDI inflows in India during 1971-2015. Both log linear and exponential trends are significant. FDI inflows are stationary and showed four structural breaks in 1985, 1994, 2000, and 2006. The author found the relation among FDI inflows, growth rate, interest rate, inflation rate, exchange rate, fiscal deficit, external debt, and trade openness with the help of Granger causality, Johansen cointegration test, and vector error correction models. Trace statistic has four cointegrating equations, and Max Eigen statistic has three cointegrating equations. The speed of the vector error correction process is more or less slow except for change in interest rate and change in inflation rate, which are significant where VECM is stable and diverging. Limitations and future scope of research is added. Policy recommendations are also included.

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 Uji Empiris Mekanisme Transmisi Kebijakan Moneter: Interest Rate Pass-through Sektor Perbankan Indonesia

2016 ◽  
Vol 16 (2) ◽  
pp. 187-204
Author(s):  
Buddi Wibowo ◽  
Eduardo Lazuardi
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Error Correction ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Speed Of Adjustment ◽  
Vector Error ◽  
Pass Through

Empirical Evidence of Monetary Policy Transmission Mechanism: Indonesia Banking Sector Interest Rate Pass-throughRobust measurement of interest rates speed of adjustment to monetary policy changes is very important to obtain acomprehensive understanding on the monetary transmission process and the eectiveness of monetary policy. The speed of adjustment are determined by number of frictions that interfere with the transmission of monetary policy.We measure Indonesia interest rate pass-through which have distinct characteristics in terms of banking competition, segmented banking market and concentrated structure. Interest rate pass-through is measured by using Vector Error Correction Model (VECM) and Mean Adjusted Lags (MAL). This paper shows the interest rate adjustment did take a relatively long time.Keywords: Interest Rate Pass-through; Bank; Monetary; VECM; MALAbstrakPengukuran kecepatan penyesuaian suku bunga perbankan terhadap perubahan kebijakan moneter sangat penting sehingga diperoleh pemahaman komprehensif atas proses transmisi moneter dan efektivitas kebijakan. Kecepatan perubahan suku bunga deposito dan kredit perbankan ditentukan oleh adanya friksi-friksi transmisi kebijakan moneter ke sektor perbankan dan sektor riil. Penelitian ini mengukur interest rate pass-through perbankan Indonesia yang memiliki karakteristik khas dalam hal tingkat kompetisi perbankan, segmentasi pasar, dan struktur industri perbankan yang tinggi. Interest rate pass-through diukur dengan menggunakan Vector Error Correction Model (VECM) dan Mean Adjusted Lags (MAL). Hasil uji menunjukkan penyesuaian suku bunga membutuhkan waktu yang lama.

A Study of the Impact between the Macroeconomic Variables and the Brazilian Stock Exchange Index Through the Vector Autoregression and the Vector Error Correction

2013 ◽  
Author(s):  
Rubens Paes Arruda Filho ◽  
Fabiano Guasti Lima ◽  
Tabajara Pimenta JJnior ◽  
Anttnio Carlos Silva Filho
Keyword(s):  
Error Correction ◽  
Vector Autoregression ◽  
Stock Exchange ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
The Impact
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