Short-Run and Long-Run Elasticities for Canadian Consumption of Alcoholic Beverages: an Error-Correction Mechanism/Cointegration Approach

1992 ◽  
Vol 74 (1) ◽  
pp. 64 ◽  
Author(s):  
James A. Johnson ◽  
Ernest H. Oksanen ◽  
Michael R. Veall ◽  
Deborah Fretz
Keyword(s):  
Error Correction ◽  
Alcoholic Beverages ◽  
Long Run ◽  
Error Correction Mechanism ◽  
Short Run

scholarly journals DETERMINAN TRANSAKSI NONTUNAI DI INDONESIA DENGAN PENDEKATAN ERROR CORRECTION MECHANISM (ECM) MODEL

2019 ◽  
Vol 3 (1) ◽  
pp. 62-77 ◽  
Author(s):  
Zulfa Nur Fajri Ramadhani ◽  
Siskarossa Ika Oktora ◽  
Indonesian Journal of Statistics and Its Applications IJSA
Keyword(s):  
Error Correction ◽  
Money Supply ◽  
Secondary Data ◽  
Long Run ◽  
Error Correction Mechanism ◽  
Short Run ◽  
Cash Transaction ◽  
Monthly Period ◽  
Private Savings ◽  
Positive Effect

Consumption is an activity that must be done by everyone. In order to consume something, a transaction is needed to get the goods or services desired. One kind of transaction that is used by many people nowadays is non-cash transaction. Since Bank Indonesia established Gerakan Nasional Non Tunai (GNNT) in August 2014, the value of non-cash transactions exceeds the value of cash transactions. It happenned because people prefer non-cash to cash transaction which is easier, safer, more practical, and more economical. Besides, an increase in non-cash transactions can also be influenced by other factors. Therefore, a study is conducted to analyze the determinants of non-cash transactions from the macro side by using Error Correction Mechanism (ECM). The data used in this study are secondary data from Bank Indonesia and Badan Pusat Statistik with monthly period from January 2010 until December 2017. The results showed that in the long run, private savings and BI rate have positive effect on non-cash transactions. In the short run, private savings and money supply have positive effect on non-cash transactions. While inflation does not affect non-cash transactions, both in the short and long run.

scholarly journals Analisis Kesinambungan Fiskal Indonesia Pasca Krisis Ekonomi

2019 ◽  
Vol 17 (2) ◽  
pp. 59-70
Author(s):  
Muhammad Basorudin
Keyword(s):  
Gross Domestic Product ◽  
Error Correction ◽  
Early Warning ◽  
Fiscal Sustainability ◽  
General Description ◽  
Debt Ratio ◽  
Upward Trend ◽  
Long Run ◽  
Error Correction Mechanism ◽  
Short Run

The debt to Gross Domestic Product (GDP) ratio is one of the indicators used to measure fiscal sustainability in Indonesia. From 2010-2017 on a quarterly basis, the debt to GDP ratio of Indonesia contributed to an upward trend. The purpose of this research is to get a general description of the debt ratio to GDP and analyze the factors that affect the ratio of debt to GDP simultaneously and partially to be used as an early warning for the fiscal sustainability of Indonesia. The model used in this research is Error Correction Mechanism (ECM).  The results obtained from this research is the Indonesia’s debt to GDP ratio is influenced by the debt to GDP ratio previous quarter. The influence given to the current quarterly debt ratio in the short run is greater than long run.

scholarly journals Price Dynamics of Domestic and International Wheat Markets: A Vector Error Correction Mechanism (VECM) Approach

2021 ◽  
pp. 15-20
Author(s):  
A. G. Sabhaya ◽  
S. M. Upadhyay ◽  
P. R. Vekariya ◽  
B. Swaminathan
Keyword(s):  
United States ◽  
Error Correction ◽  
Market Integration ◽  
Vector Error Correction ◽  
Vector Error ◽  
Integration Approach ◽  
Long Run ◽  
Error Correction Mechanism ◽  
Production And Distribution ◽  
Short Run

Market integration in agricultural commodities is vital for both developed and developing countries alike. If prices are not dreamily transmitted, then it may lead to biases in production and distribution. The strength of interdependence among markets and the speed in which the changes are passed through determine the degree of integration and the global efficiency of markets. This study examines the long-run and short-run integration of domestic and international wheat markets using Co-integration approach within the framework of Vector Error Correction Mechanism (VECM). A sample of two domestic wheat markets comprising two from the national wheat markets of Mathura (UP) and Khanna (Punjab) were selected along with two international wheat markets comprising from United States and Argentina. Analysis was carried out using the monthly price data between January 2003 and Dec 2019. Findings discovered that the prices became stationary merely upon first differencing. The presence of integration was confirmed among markets involving that there is price conduction.

scholarly journals The Service Sector-Led Growth Relationship: The Case of Nigeria

2021 ◽  
pp. 90-111
Author(s):  
Ubong Edem Effiong ◽  
Joel Isaac Okon
Keyword(s):  
Economic Growth ◽  
Gross Domestic Product ◽  
Error Correction ◽  
Service Sector ◽  
Domestic Product ◽  
Long Run ◽  
Error Correction Mechanism ◽  
Short Run ◽  
Bounds Test ◽  
The Impact

This paper examined the impact of the service sector on economic growth of Nigeria. The study covers the period 1981 to 2019 and data were obtained from the Central Bank of Nigeria statistical bulletin. The Augmented Dickey-Fuller unit root, Granger Causality test, Vector Autoregressive (VAR) approach, Bounds test for cointegration, and vector error correction mechanism were utilized in analysing the data. Findings of the study revealed that a bidirectional causality exist between service sector and economic growth of Nigeria. Meanwhile, the VAR result presented an evidence of weak exogeneity of the service sector in predicting economic growth. However, both broad money supply and total government expenditure exerted a significant impact on economic growth. From the impulse response function, it was discovered that economic growth responded negatively to shocks in service sector output both in the short run and in the long run; while the variance decomposition indicated that gross domestic product (a proxy for economic growth) is strongly endogenous in predicting itself in the short run while such diminishes in the long run. The Bounds test for cointegration revealed evidence of long run equilibrium relationship and the error correction mechanism revealed that 88.30% of the short run disequilibrium in the gross domestic product are corrected annually. Meanwhile, it was discovered that professional, scientific and technical services is the major contributor to economic growth as captured by its short run and long run elasticity coefficients of 0.5936 and 0.9455 respectively. The paper recommended the need for stimulating industrialization as this is the major pathway through which the service sector can positively impact economic growth.

scholarly journals Interest Rate Pass‐Through: Empirical Evidence from Pakistan

2013 ◽  
Vol 18 (1) ◽  
pp. 39-62
Author(s):  
Sheikh Khurram Fazal ◽  
Muhammad Abdus Salam
Keyword(s):  
Interest Rate ◽  
Error Correction ◽  
Impulse Response Function ◽  
Weighted Average ◽  
Lending Channel ◽  
Long Run ◽  
Error Correction Mechanism ◽  
Short Run ◽  
Pass Through ◽  
The Impact

This article empirically examines the interest rate pass‐through mechanism for Pakistan, using six‐month treasury bills as a proxy for the policy rate (the exogenous variable) and the weighted average lending rate and weighted average deposit rate as endogenous variables representing the lending and deposit channels, respectively. We use data for a six‐year period from June 2005 to May 2011, published by the central monetary authority in Pakistan. The widely accepted error correction mechanism is used to examine the short‐run and longrun pass‐through; a vector error correction mechanism impulse response function helps measure the short‐run speed of the pass‐through. We find that there is an incomplete pass‐through in Pakistan for both the lending and deposit channels. The impact is greater on the lending channel than on the deposit channel in both the short and long run, while the adjustment speed is higher for the lending channel.

scholarly journals Product Tax Revenue and Economic Growth in Nigeria: An Engle-Granger Approach, Evidence From 1981 - 2019

2020 ◽  
Vol 1 (2) ◽  
pp. 66-76
Author(s):  
Henry Ikechukwu Amalu ◽  
Thaddeus Nnaemeka Ukwueze ◽  
Loenard U. Olife ◽  
Favour Friday Irokwe
Keyword(s):  
Economic Growth ◽  
Fiscal Policy ◽  
Error Correction ◽  
Granger Causality ◽  
Unit Root ◽  
Speed Of Adjustment ◽  
Long Run ◽  
Step Procedure ◽  
Error Correction Mechanism ◽  
Short Run

Purpose: Product tax is an essential tool for governments, serving both as a revenue generator and fiscal policy instrument. The paper examines short-run and long-run relationships shared by product taxes and economic growth in Nigeria for the period, 1981 to 2019. Approach/Methodology/Design: The study checks the stationarity properties of the series by testing them for unit roots using Augmented Dickey Fuller (ADF) method and Philip-Perron unit root test. Both unit root tests indicate that the series is stationary at first difference. In view of this, the study deploys a cointegration technique, Engle-Granger two-step procedure to determine the long-run and short-run links shared by the variables of interest. The Error Correction Mechanism (ECM) estimation and the Granger causality estimations for speed of adjustment and causality of the variables were also used. Findings: The results reveal that product tax revenues and economic growth cointegrate in the long-run; while product tax revenues exert a significant positive effect on economic growth both in the short-term and long-term. The outcome of the Error Correction Mechanism (ECM) estimation shows a swift speed of adjustment to a new long-run equilibrium after a shock. The outcome of the Granger causality estimations indicates a uni-directional causality from economic growth to revenues from product taxes. Practical Implications: This study is significant at this point when the country is facing increasing economic challenges. It will be useful to policy makers who might want to explore the possibility of using product tax as a fiscal policy tool, and a source of revenue to augment the declining revenue of the government from other sources. Originality/value: The paper explores short-run and long-run relationships shared between product taxes and economic growth in Nigeria using a two-step procedure of Engle and Granger, and it verifies causality link between the later and the former.

scholarly journals The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach

2015 ◽  
Vol 62 (4) ◽  
pp. 429-451 ◽  
Author(s):  
Erdal Demirhan ◽  
Banu Demirhan
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Exchange Rate Volatility ◽  
Dynamic Effect ◽  
Error Correction Model ◽  
Impulse Response Functions ◽  
Correction Model ◽  
Long Run ◽  
Export Volume ◽  
Short Run

This paper aims to investigate the effect of exchange-rate stability on real export volume in Turkey, using monthly data for the period February 2001 to January 2010. The Johansen multivariate cointegration method and the parsimonious error-correction model are applied to determine long-run and short-run relationships between real export volume and its determinants. In this study, the conditional variance of the GARCH (1, 1) model is taken as a proxy for exchange-rate stability, and generalized impulse-response functions and variance-decomposition analyses are applied to analyze the dynamic effects of variables on real export volume. The empirical findings suggest that exchangerate stability has a significant positive effect on real export volume, both in the short and the long run.

scholarly journals Effects of Exchange Rate and Inflation Rate on Stock Market Returns Volatility in India.

2020 ◽  
Author(s):  
Nenavath Sre ◽  
Suresh Naik
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Error Correction ◽  
Inflation Rate ◽  
Market Returns ◽  
Stock Market Returns ◽  
Positive Effects ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run

Abstract The paper investigates the effect of exchange and inflation rate on stock market returns in India. The study uses monthly, quarterly and annual inflation and exchange rate data obtained from the RBI and market returns computed from the Indian share market index from January, 2000 to June, 2020.The paper uses the autoregressive distributed lag (ARDL) co-integration technique and the error correction parametization of the ARDL model for investigating the effect on Indian Stock markets. The GARCH and its corresponding Error Correction Model (ECM) were used to explore the long- and short-run relationship between the India Stock market returns, inflation, and exchange rate. The paper shows that there exists a long term relationship but there is no short-run relationship between Indian market returns and inflation. But, there is periodicity of inflation monthly considerable long run and short-run relationship between them existed. The outcome also illustrates a significant short-run relationship between NSE market returns and exchange rate. The variables were tested for short run and it was significantly shown the positive effects on the stock market returns and making it a desirable attribute of which investors can take advantage of. This is due to the establishment of long-run effect of inflation and exchange rate on stock market returns.

scholarly journals Price Transmission and Factors Influencing the Price of Onions in Tanzania

2020 ◽  
pp. 67-76
Author(s):  
Yohana James Mgale
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Price Transmission ◽  
Adjustment Cost ◽  
Producer Price ◽  
Correction Model ◽  
Factors Affecting ◽  
Long Run ◽  
Short Run ◽  
The Impact

This article analyzes the transmission of prices between marketing agents and the factors affecting onion prices at the consumer level. The Error Correction Model-Engle Granger (ECM-EG) was used to test the price transmission by including the impact of the rise and fall of producer, wholesale and retail prices in past periods. The Error Correction Model (ECM) was applied to the factors affecting onion prices. The test results showed that price transmission was asymmetrical in the short and long-run. With regard to factors, the results show that consumer price in the short-run was influenced by wholesale prices, producer prices and the price of fuel while in the long-run it was influenced by wholesale prices, producer price, price of fuel and consumer prices in the previous period (t-1). These results suggest the existence of a short-term adjustment cost and a long-term market power which distorts price transmission.

Linkages Between Employment and Net FDI Inflow: Insights from Individual as Well as Panel Data for Emerging South Asian Labour Market

2020 ◽  
pp. 097215091987350
Author(s):  
Ramesh Chandra Das ◽  
Kamal Ray
Keyword(s):  
Panel Data ◽  
Error Correction ◽  
Labour Market ◽  
South Asian ◽  
Wald Test ◽  
Individual Country ◽  
Employment Level ◽  
Long Run ◽  
Short Run ◽  
Per Capita

In emerging labour market, particularly, the direct and indirect association between employment level and foreign direct investment (FDI) in a dynamic economy is non-deniable. Like private and public investments, FDI promotes employment generating agenda and at the same time, sound employment scenario of an economy attracts FDI to inflow. Under this backdrop, the present study attempts to examine whether employment and net FDI inflow have long-run associations and short-run dynamics in South Asian economies for the period 1991–2016. Applying cointegration and Granger causality tests for individual country level and panel cointegration, vector error correction and Wald test on the two standardized variables—employment–population ratio and per capita net FDI inflow—reveal that the two indicators have cointegrating relations for Bangladesh and Nepal and FDI makes a cause to employment generation in Bangladesh only. Further, the panel data exercise shows the existence of long-run or equilibrium relations linking the two indicators without significant error correction results. The Wald test results show that there is short-run causality working from employment ratio to per capita FDI and vice versa. The study, thus, prescribes for ensuring quality environment in the concerned domestic economies of the region so that employment opportunities invite FDI inflow to their territories.

Sign in / Sign up

Export Citation Format

Share Document