scholarly journals LA (IN)ESTABILIDAD DE LA DEMANDA DE DINERO EN COLOMBIA, 2003-2020

2021 ◽  
Vol 81 (319) ◽  
pp. 141
Author(s):  
Esther Barros Campello ◽  
Carlos Pateiro Rodríguez ◽  
Venancio Salcines Cristal
Keyword(s):  
Money Demand ◽  
Unit Root ◽  
Ordinary Least Squares ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Type Test ◽  
The Stability

<p>En este trabajo realizamos un análisis empírico de la evolución del agregado monetario M3 y de sus componentes en Colombia, con el propósito de evaluar las propiedades de estabilidad de cada uno de los activos que forman M3. El análisis se realiza con base en pruebas de raíces unitarias y cointegración. La estacionariedad de las series se estudia mediante las pruebas de ADF-GLS y M-type test, así como con pruebas que consideran la posibilidad de cambio estructural. El estudio prosigue empleando el modelo de vectores de corrección de errores (VECM) y mínimos cuadrados ordinarios totalmente modificados (FMOLS) para estimar la relación de largo plazo entre los componentes de M3 y las variables macroeconómicas determinantes. Los resultados obtenidos nos permiten afirmar que la estabilidad de la demanda de los diferentes componentes de M3 se mantiene, a pesar de distintos shocks que han afectado a la economía colombiana durante estos años.</p><p align="center"><strong> </strong></p><p align="center">THE (IN)STABILITY OF MONEY DEMAND IN COLOMBIA, 2003-2020</p><p align="center"><strong>ABSTRACT</strong></p><p>An empirical analysis is made of the evolution of M3 and its components in Colombia during the period 2003-2020. The purpose is to evaluate the stability of each of the assets that make up the aggregate M3. Unit-root and co-integration tests are used. The stationarity of the series is studied by ADF-GLS and M-type tests, as well as with tests that incorporate the possibility of structural change. In the following we implement two different methodologies to estimate the long-run relationship between M3 components and the macroeconomic determinant variables [Vector Error Correction Model (VECM) and Fully Modified Ordinary Least Squares (FMOLS)]. The results obtained allow us to affirm that the stability of the demand of the different components of M3 is maintained, in spite of different shocks that have affected the Colombian economy over these years.</p>

scholarly journals An Econometric Analysis of Inflation and Unemployment in Lebanon: A Vector Error Correction Model (VECM)

2018 ◽  
Vol 10 (2) ◽  
pp. 133
Author(s):  
Mohammad Khanssa ◽  
Wafaa Nasser ◽  
Abbas Mourad
Keyword(s):  
Phillips Curve ◽  
Vector Error Correction Model ◽  
Econometric Modeling ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
Causality Relationship ◽  
The Relationship

This paper uses econometric modeling to test the nature of the relationship between unemployment and inflation in Lebanon throughout the period 1993-2014. It takes the Phillips curve relationship as a reference for the tests. Cointegration, Granger causality and VECM were used to test the relationship both in the short and in the long run. The study resulted in finding out that the Phillips curve relationship doesn’t hold in Lebanon in the short run and came to a conclusion that there is a one-way causality relationship in the long run from unemployment to inflation and not in the opposite direction.

scholarly journals Measuring the Dis-Equilibrium in Acreage Response of Black Gram (Vigna mungo (L.) Hepper) in Tamil Nadu – A Vector Error Correction Model

2020 ◽  
pp. 26-36
Author(s):  
R. Sangeetha ◽  
K. R. Ashok ◽  
P. Asha Priyanka
Keyword(s):  
Error Correction ◽  
Tamil Nadu ◽  
Error Correction Model ◽  
Relative Price ◽  
Vector Error Correction Model ◽  
Black Gram ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

The study has observed an increasing trend in pulses production, driven mainly by yield improvements. The contributions of area expansion and prices to black gram growth have been erratic, suggesting that these cannot be the sustainable sources of black gram growth. Further, farmers’ area allocation decisions to pulses are not price-dependent, but depend on non price factors, mainly rainfall. However, the growth in pulses production in the long-run must come from technological changes. Numerous past studies on black gram cultivation in Tamil Nadu is criticized for using the weaker Nerlovian Partial Adjustment models and for analytical interpretation through Ordinary Least Square (OLS) creating spurious results for time series data. This problem can be avoided if Econometric technique of co-integration is used. It is for the present paper measuring the dis-Equilibrium in acreage response of black gram by using a vector error correction model. Our unit root analysis indicates that underlying data series were not stationary and are all integrated of order one, that is I(1). The Johansen co-integration approach indicates the presence of a co-integrating relationship in the acreage response model. Black gram acreage is significantly influenced by relative price of black gram, and other competing crops such as groundnut whenever resourceallocation is concerned famers preferred to allocate irrigated land to other competing crops which are more remunerative and high yielding than black gram crop. The black gram supply elasticity’s are found to be inelastic both in the short-and long-run. The long-run and short run price elasticity’s were 0.41 and 0.28, respectively.

scholarly journals Analisis Pengaruh Kinerja Keuangan terhadap Profitabilitas Bank Syariah di Indonesia

2017 ◽  
Vol 8 (2) ◽  
pp. 175
Author(s):  
Heri Sudarsono
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Third Party ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Factors Affecting ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

<p>This study aimed to analyze the factors affecting the amount of profitability (ROA) provided by Islamic banking in Indonesia. The data which is used is taken from the financial report of the Shari’a Bank during the 2011-2016 periods by using montly financial statement This study uses a Vector Error Correction Model (VECM) to see the long-term effect and response to shock that occur in the studied variables. The result shows that in the long run, the percentage Financing (FIN) and BOPO give a positive siqnifikant effect on the ROA, while third party funds (DPK), percentage profit and loss sharing (TBH), financial to deposit ratio (FDR) has negative and siqnificant effect on the ROA. Sertifikat Bank Indonesia Syariah (SBIS) and non performing finance (NPF) have no significant effect on the ROA. In short run, ROA give a negatif and siqnificant effect on the ROA and FDR give a positif and siqnificant effect, while DPK, FIN, SBIS, TBH, NPF and BOPO have no sinificant effect on the ROA. Therfore, shocks that occur in the ROA, FIN, FDR , NPF dan BOPO positively responded by ROA and will be stable in the long term. While the shocks that occur in the percentage of FDR, SBIS and TBH responded negatively by financing and will be stable in the long term.</p><p>Penelitian ini bertujuan untuk menganalisis faktor-faktor yang memengaruhi profitabilitas (ROA) perbankan syariah di Indonesia. Data yang digunakan data bulanan dari laporan keuangan bank syariah periode 2010-2015. Penelitian ini mengunakan Vector Error Correction Model (VECM) untuk melihat dampak jangka panjang dan respon terhadap dampak shock pada setiap variabel terhadap pembiayaan. Hasil olah data menunjukkan bahwa FIN dan BOPO berhubungan positif terhadap ROA, sedangkan DPK, TBH, FDR berhubungan negatif terhadap dan ROA SBIS dan NPF tidak berpengaruh terhadap tingkat ROA. Dalam jangka pendek, ROA berhubungan negatif, tetapi FDR terhadap ROA berhubungan positif. Sedangkan DPK, FIN, SBIS, TBH, NPF and BOPO tidak berhubungan dengan pembiayaan. Di lain pihak, respon pembiayan terhadap goncangan yang terjadi terjadi pada ROA, FIN, FDR, NPF dan BOPO direspon positif oleh ROA. Sedangkan respon ROA terhadap goncangan yang terjadi pada FDR, SBIS dan TBH adalah negatif.</p>

scholarly journals Does Trade Openness Reduce Inflation? Empirical Evidence from Pakistan

2010 ◽  
Vol 15 (2) ◽  
pp. 35-50 ◽  
Author(s):  
Tahir MukhtarF
Keyword(s):  
Error Correction ◽  
Trade Liberalization ◽  
Trade Openness ◽  
Cointegration Test ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Multivariate Cointegration

One of the more celebrated propositions found in international trade is the case that trade liberalization is associated with declining prices, so that protectionism is inflationary. In line with this view, Romer (1993) postulates the hypothesis that inflation is lower in small and open economies. The objective of this study is to examine Romer’s hypothesis in Pakistan. For this purpose, we have used multivariate cointegration and a vector error correction model. The study covers the period from 1960 to 2007. The empirical findings under the cointegration test show that there is a significant negative long-run relationship between inflation and trade openness, which confirms the existence of Romer’s hypothesis in Pakistan.

PERKEMBANGAN NERACA PERDAGANGAN DAN FAKTOR-FAKTOR YANG MEMPENGARUHINYA

2014 ◽  
Vol 8 (1) ◽  
pp. 51-72
Author(s):  
Ari Mulianta Ginting
Keyword(s):  
Foreign Direct Investment ◽  
Error Correction ◽  
Trade Balance ◽  
Direct Investment ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

Penelitian ini menganalisis perkembangan neraca perdagangan Indonesia dan faktor yang mempengaruhinya selama periode Kuartal I tahun 2006 sampai dengan Kuartal II tahun 2013 menggunakan Vector Error Correction Model (VECM). Neraca perdagangan Indonesia menunjukkan perkembangan yang positif dalam kurun waktu 2006-2011, dan pertumbuhan negatif selama periode 2012-2013. Penelitian ini juga menemukan bahwa baik dalam jangka panjang maupun jangka pendek, konsumsi domestik dan nilai tukar riil berpengaruh negatif dan signifikan terhadap neraca perdagangan Indonesia, sedangkan variabel Investasi Asing Langsung dan PDB Negara lain berpengaruh positif. Nilai error correction model yang negatif dan signifikan menunjukkan adanya koreksi dari pergerakan variabel pada keseimbangan jangka panjang. Hal ini mengindikasikan pentingnya pemerintah untuk mengeluarkan kebijakan yang tepat untuk mengatasi defisit neraca perdagangan Indonesia, antara lain menjaga stabilitas nilai tukar, mengendalikan konsumsi masyarat terhadap barang impor, dan menarik Foreign Direct Investment. This paper examines the development of Indonesia’s trade balance and its determinant factors from the first quarter of 2006 to the second quarter of 2013 using a Vector Error Correction Model (VECM). The development of trade balance from the year 2006-2011 has shown a positive trend. However between the year 2012 and 2013, the trade balance has been negative.The analysis shows that both in the short run and the long run,the domestic consumption and Real Exchage Rate have negative and significant influence on Indonesia’s trade balance. Whilst Foreign Direct Investment and Foreign GDP have positive effect. The coefficient of Error Correction Model is negative and significant implying that there is correction movement from those variabels in the long run. This study suggests that the Government should make the right policy to overcome the deficit of trade balance by maintaining including exchange rate stability,and household consumption of imported goods as well as by attracting Foreign Direct Investment.

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 of a Long-Run Relationship Between Agriculture and Manufacturing Industry Output in Nigeria

SAGE Open ◽  
2020 ◽  
Vol 10 (1) ◽  
pp. 215824401989904
Author(s):  
Eze Simpson Osuagwu
Keyword(s):  
Manufacturing Industry ◽  
Agricultural Productivity ◽  
Granger Causality Test ◽  
Vector Error Correction Model ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Industry Output

This study investigates a long-run relationship between agriculture and manufacturing industry output in Nigeria using annual time series data from 1982 to 2017. The study employs Granger causality test, vector error correction model, and co-integration techniques to estimate the interdependence between agricultural productivity and manufacturing industry output. Empirical evidence from Granger causality test reveals a bidirectional relationship between agricultural productivity and manufacturing industry output. Although a positive and significant relationship exists in the short- and long-run estimates, a long-run divergence from the vector error correction model indicates that changes in agricultural productivity are not restored to equilibrium, given that macroeconomic factors distort the linkage. Policy implications suggest that macroeconomic stability is a necessary condition for agriculture and manufacturing industry output to foster economic growth.

scholarly journals The Impact Of Dividend Payments On Shareholders Wealth: Evidence From The Vector Error Correction Model

2013 ◽  
Vol 12 (11) ◽  
pp. 1451 ◽  
Author(s):  
Johannes De Wet ◽  
Mvita Mpinda
Keyword(s):  
Error Correction ◽  
Market Price ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Dividend Payments ◽  
Vector Error ◽  
Long Run ◽  
The Impact

To date, a vast body of research has been established on dividend policy. However, little research has been done on the impact of dividend payments on shareholders wealth while considering the short- and long-run effects. This study is based on a sample of 46 companies listed on the Johannesburg Securities Exchange (JSE) for the period 1995 to 2010. The Vector Error Correction Model (VECM) was used to describe the short-run and long-run dynamics or the adjustment of the co-integrated variables toward their equilibrium values. Results indicate that in the long run, dividend yield is positively related to market price per share, while earnings per share do not have a significant impact on the market price per share.

scholarly journals KETIDAKPASTIAN KEBIJAKAN EKONOMI CHINA DAN PERTUMBUHAN EKONOMI INDONESIA

BISMA ◽  
2020 ◽  
Vol 14 (2) ◽  
pp. 147
Author(s):  
Regina Niken Wilantari ◽  
Faradilla Oktaviana ◽  
Edy Santoso ◽  
Duwi Yunitasari
Keyword(s):  
Economic Growth ◽  
Economic Policy ◽  
Vector Error Correction Model ◽  
Policy Uncertainty ◽  
Correction Model ◽  
Vector Error Correction ◽  
Economic Policy Uncertainty ◽  
Vector Error ◽  
Long Run ◽  
Macroeconomic Indicators

Global economic policy uncertainty will influence economic stability among countries integrated into international trade. The trade war between America and China has affected the weakening of macroeconomic indicators in developing countries, one of which is Indonesia. The objective of this study is to examine the influence of China's economic policy uncertainty and macroeconomic indicators, i.e., inflation, investment, and Brent oil price, on Indonesia's economic growth. Research data were secondary time series data taken from the Q1 2009-Q4 2018 quarterly period. The method of analysis used is the Vector Error Correction Model (VECM). Results showed that in the long run, the uncertainty of China's economic policy and Brent oil price could negatively influence Indonesia's economic growth. On the other hand, inflation, in the long run, had a positive and significant influence on Indonesia's economic growth. Meanwhile, investment did not have a significant influence on Indonesia's economic growth. Keywords: economic growth, uncertainty of economic policy, Vector Error Correction Model

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