scholarly journals Capital productivity in industrialised economies: Evidence from error-correction model and lagrange multiplier tests

2017 ◽  
Vol 62 (215) ◽  
pp. 53-79
Author(s):  
Ivan Trofimov
Keyword(s):  
Error Correction ◽  
Structural Breaks ◽  
Linear Trend ◽  
Correction Model ◽  
Balanced Growth ◽  
Developed Economies ◽  
Capital Productivity ◽  
Lagrange Multiplier Tests ◽  
The Stability ◽  
Productivity Variable

The paper re-examines the ?stylized facts? of the balanced growth in developed economies, looking specifically at capital productivity variable. The economic data is obtained from European Commission AMECO database, spanning 1961-2014 period. For a sample of 22 OECD economies, the paper applies univariate LM unit root tests with one or two structural breaks, and estimates error-correction and linear trend models with breaks. It is shown that diverse statistical patterns were present across economies and overall mixed evidence is provided as to the stability of capital productivity and balanced growth in general. Specifically, both upward and downward trends in capital productivity were present, while in several economies mean reversion and random walk patterns were observed. The data and results were largely in line with major theoretical explanations pertaining to capital productivity. With regard to determinants of the capital productivity movements, the structure of capital stock and the prices of capital goods were likely most salient.

scholarly journals Examining Yam Production in Response to Climate Change in Nigeria: A Co-Integration Model Approach

2020 ◽  
Vol 9 (4) ◽  
pp. 42
Author(s):  
Cynthia W. Angba ◽  
Richard N. Baines ◽  
Allan J. Butler
Keyword(s):  
Climate Change ◽  
Error Correction ◽  
Trend Analysis ◽  
Linear Trend ◽  
Error Correction Model ◽  
Series Data ◽  
Integration Model ◽  
Correction Model ◽  
Linear Trend Analysis ◽  
Model Approach

This study addressed yam production in response to climate change in Cross River State using a co-integration model approach. The specific objectives of this paper are to analyze the trend in yam production, annual precipitation, and annual temperature, and to analyze the impact of climate variables on yam production. Time-series data from 1996 to 2017 was used. Based on the analysis, which constituted a linear trend analysis, co-integration test, and error correction model, the study came up with robust findings. The linear trend analysis for yam production revealed a steady increase in output between the years 2005 and 2016. The result of the rainfall trend analysis showed the presence of rainfall variability and irregularity. The trend line for temperature showed an overall downward trend for the period under study. However, the Error Correction Model result showed that temperature was statistically significant and negatively impacted yam production. The study recommends that policymakers should take appropriate steps to encourage the development of pest- and disease-tolerant yam varieties because an increase in temperature leads to the proliferation of insects, pests, and diseases.

scholarly journals ERROR CORRECTION MODEL ANALYSIS OF THE DETERMINANT OF STABILITY OF FINANCIAL SYSTEM IN INDONESIA

2020 ◽  
Vol 1 (2) ◽  
pp. 82-90
Author(s):  
Muhammad Rismawan Ridha
Keyword(s):  
Error Correction ◽  
Banking System ◽  
Financial System ◽  
Error Correction Model ◽  
Economic Openness ◽  
Correction Model ◽  
The Government ◽  
The Stability ◽  
Banking Credit ◽  
The International Monetary Fund

The current condition of economic openness is both an opportunity and a challenge that must be faced wisely by the government. Liberalization and economic integration will have an impact on financial market liberalization, which is highly vulnerable to create crisis in a banking system. This study aims to analyze the factors that influence the stability of the financial system in Indonesia by using the Error Correction Model (ECM). The variables used in this research is Capital Banking Credit sourced from Statistics Indonesia (BPS) and Exchange Rate, Inflation, and Money Supply sourced from the International Monetary Fund (IMF) between 2010 and 2015. The results of the study show that; 1) ECT coefficient which has negative and significant value explains that the model is valid. 2) Inflation significantly affects the stability of the financial system in Indonesia in the long and short term

scholarly journals Cointegration and Causality: An Application to Major Mango Markets in Pakistan

2009 ◽  
Vol 14 (1) ◽  
pp. 85-113 ◽  
Author(s):  
Abdul Ghafoor ◽  
Khalid Mustafa ◽  
Khalid Mushtaq ◽  
Abedullah Abedullah
Keyword(s):  
Error Correction ◽  
Granger Causality Test ◽  
Response Analysis ◽  
Model Data ◽  
Causality Test ◽  
Correction Model ◽  
Price Signals ◽  
Long Run ◽  
Livestock Marketing ◽  
The Stability

Mangoes are one of Pakistan’s most important fruits; the country is the world’s fourth largest producer and exporter of mangoes. Integrated markets are those where price signals are transferred from one to another, allowing physical arbitrage to adjust any disturbances in these markets; integrated markets are thus a sign of efficiency. From this viewpoint, we investigate domestic integration among ten major mango markets, i.e., Lahore, Faisalabad, Multan, Gujranwala, Sargodha, Karachi, Hyderabad, Sukkur, Peshawar, and Quetta employing Johansen’s cointegration approach and error correction model. Data on monthly wholesale prices data (PRs/100 kg) were obtained from the agricultural and livestock marketing advisor, Government of Pakistan. The results of the study confirm the presence of integration among major mango markets in Pakistan. These markets were able to adjust for 16 to 68% of disequilibrium in one month, implying that it takes almost two to six months to remove any disequilibrium and to move back to long-run equilibrium. The Granger causality test shows that the Karachi market has bidirectional causality with Lahore, Faisalabad, Multan, Hyderabad, and Sukkur, and a unidirectional relationship with the rest. An impulse response analysis was also conducted to check the stability of these markets given a standard error shock to the Karachi base market.

scholarly journals Investigating the Stability of Money Demand in Ghana

2016 ◽  
Vol 64 (6) ◽  
pp. 2075-2079
Author(s):  
Dennis Nchor ◽  
Václav Adamec
Keyword(s):  
Error Correction ◽  
Money Demand ◽  
Structural Breaks ◽  
Correction Term ◽  
Demand For Money ◽  
Long Run ◽  
Short Run ◽  
The Interest Rate ◽  
The Stability ◽  
Cusum Tests

The study examined the demand for broad money and its stability in Ghana. Johansen’s cointegration approach reveals that the variables were non stationary and cointegrated, therefore, an error correction model, ECM was used to determine the factors that influence real money aggregate in Ghana from 1990 to 2014. The study estimated the results using two set of variables for real demand for money: M1 and M2+. This was done given the assumption that the demand for money was equal to the supply of money. The results show that, GDP affects the level of demand for money in the long run while the interest rate affects it in the short run. The error correction term in each of the cases shows that, 18 % of deviations in the real demand for money is corrected annually. The CUSUM tests of parameter stability showed that, the money demand function was stable over the period and the Chow test indicated that there were no structural breaks.

Pengaruh Jangka Pendek Dan Jangka Panjang Variabel Makro Ekonomi Terhadap Ihsg Di Bursa Efek Indonesia Dengan Pendekatan Error Correction Model (ECM)

2019 ◽  
Vol 6 (1) ◽  
pp. 12-24
Author(s):  
Suryo Refli Ranto
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Correction Model

Penelitian ini bertujuan untuk menguji secara empiris pengaruh jangka pendek dan jangka panjang dari Inflasi, Jumlah Uang Berjalan, Kurs, Tingkat Bunga Bank Indonesia, Harga Minyak Dunia (WTI) dan Net Ekspor terhadap Indeks Harga Saham Gabungan (IHSG) dengan metode Error Correction Model (ECM) yang diolah dengan eviews 6.0. Selama periode pengamatan yaitu tahun 2000-2012 terjadi hubungan antara variabel makro dengan pergerakan IHSG di Bursa Efek Indonesia (BEI). Hasil uji ECM memperlihatkan Inflasi, kurs dan harga minyak dunia berpengaruh signifakan terhadap IHSG pada jangka pendek sedangkan pada jangka panjang variabel yang signifikan mempengaruhi IHSG adalah IHK, kurs, net ekspor dan harga minyak dunia.Kata kunci : IHSG, IHK, JUB, Kurs, tingkat Bunga Bank Indonesia (rSBI), Harga Minyak Dunia (WTI), Net Ekspor dan Error Correction Model (ECM) 

Corporate Taxes and Foreign Direct Investment: An Impact Analysis

2020 ◽  
Vol 5 (2) ◽  
pp. 28-43
Author(s):  
Onome Christopher Edo ◽  
Anthony Okafor ◽  
Akhigbodemhe Emmanuel Justice
Keyword(s):  
Foreign Direct Investment ◽  
Error Correction ◽  
Direct Investment ◽  
Impact Analysis ◽  
Negative Relationship ◽  
Value Added ◽  
Positive Association ◽  
Error Correction Model ◽  
Corporate Taxes ◽  
Correction Model

Objective – The purpose of this study is to investigate the effect of corporate taxes on the flow of Foreign Direct Investment (FDI) in Nigeria between 1983 and 2017. Methodology/Technique – This study adopts an ex-post facto research design. Secondary data was sourced from the World Bank Development Indicator, the Central Bank of Nigeria database, and the Federal Inland Revenue database. The research data was analyzed using the Error Correction Model (ECM). Findings – The coefficient of determination (R2) shows that approximately 77% of systematic changes in FDI are attributed to the combined effect of all of the explanatory variables used in this study. Specifically, the study concludes that Company Income Tax, Value Added Tax, and Custom and Excise Duties have a significant but negative relationship with FDI. In contrast, Tertiary Education Tax has a positive association with FDI. Further, Exchange Rate has a negative but significant relationship with FDI, Inflation had an insignificant but positive association with FDI, and GDP growth Rate and Trade Openness demonstrate a positive and significant association with FDI. Novelty – The findings of this study are distinguishable from previous studies, as it uncovers new evidence that higher Education Tax Rates influences FDI and emerging evidence on the effect of non-tax variables on FDI inflow. Type of Paper: Empirical. JEL Classification: E22, F21, H2, P33. Keywords: Corporate Taxes; Foreign Direct Investment; Error Correction Model; Nigeria; Non-Tax Variables. Reference to this paper should be made as follows: Edo, O.C; Okafor, A; Justice, A.E. 2020. Corporate Taxes and Foreign Direct Investment: An Impact Analysis, Acc. Fin. Review 5 (2): 28 – 43. https://doi.org/10.35609/afr.2020.5.2(1)

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