scholarly journals Ethanol Prices and Agricultural Commodities: An Investigation of Their Relationship

Mathematics ◽  
2019 ◽  
Vol 7 (9) ◽  
pp. 774 ◽  
Author(s):  
David ◽  
Inácio ◽  
Tenreiro Machado
Keyword(s):  
Forecast Error ◽  
Error Variance ◽  
Price Transmission ◽  
Data Series ◽  
Agricultural Commodities ◽  
Vector Error Correction ◽  
Important Player ◽  
Forecast Error Variance ◽  
Price Relationship ◽  
Johansen Cointegration Test

Brazil is an important player when it comes to biofuel and agricultural production. The knowledge of the price relationship between these markets has increasing importance. This paper adopts several tools, namely the Bai–Perron test of breakpoints, the Johansen cointegration test and the vector error correction model exploited by the orthogonal impulse response and the forecast error variance decomposition, for investigating the price transmission among the ethanol and the main Brazil’s agricultural commodities (sugar, cotton, arabica coffee, robusta coffee, live cattle, corn and soybean). The data series cover the period from January 2011 up to December 2018. The results suggest a stronger price transmission from the ethanol commodity to the agricultural commodities, rather than the opposite situation.

THE PRICE OF COCAINE AND THE COLOMBIAN PESO: AN EMPIRICAL INVESTIGATION

2019 ◽  
Vol 19 (03) ◽  
pp. 1950015
Author(s):  
ALEXI THOMPSON ◽  
YAYA SISSOKO
Keyword(s):  
Forecast Error ◽  
Control Policy ◽  
Error Variance ◽  
Decomposition Methods ◽  
Nominal Exchange Rate ◽  
Policy Implications ◽  
Vector Error Correction ◽  
National Drug ◽  
Forecast Error Variance ◽  
National Drug Control Policy

While the underground economy is not explicitly included in the measure of (GDP), the cocaine trade has been a major source of revenue for Colombia. Using quarterly cocaine prices from 1982 to 2007 published by the Office of National Drug Control Policy, this paper uses vector error correction and forecast error variance decomposition methods to look at the relationship between cocaine prices and the peso/$ nominal exchange rate. Our results indicate cocaine prices affect the value of the Colombian peso, which leads to some interesting policy implications.

scholarly journals An Empirical Study of Dividend Payout and Future Earnings in Singapore

2010 ◽  
Vol 13 (02) ◽  
pp. 267-286 ◽  
Author(s):  
King Fuei Lee
Keyword(s):  
Forecast Error ◽  
Error Variance ◽  
Response Analysis ◽  
Causality Test ◽  
Dividend Payout ◽  
Vector Error Correction ◽  
Future Earnings ◽  
Vector Error ◽  
Long Run ◽  
Forecast Error Variance

The main purpose of this paper is to apply Johansen's vector error-correction model (VECM) to investigate the existence of the dividend signalling effect in the Singapore aggregate market through impulse response analysis, forecast error variance decomposition and Granger-causality test. Our findings show that a unit shock increase in dividend payout leads to a permanent increase in future earnings over time. These results imply that there exists informational/signalling content in dividend payout in the Singapore market over the long run. We further find that at least half of the forecast error variance in earnings can be accounted for by innovations in the dividend payout. In addition, the payout ratio is also shown to Granger-cause earnings in the Singapore market.

scholarly journals The Corn-Egg Price Transmission Mechanism

1990 ◽  
Vol 22 (2) ◽  
pp. 79-86 ◽  
Author(s):  
Ronald A. Babula ◽  
David A. Bessler
Keyword(s):  
Vector Autoregression ◽  
Forecast Error ◽  
Error Variance ◽  
Price Increase ◽  
Transmission Mechanism ◽  
Price Transmission ◽  
Var Model ◽  
Impulse Responses ◽  
Price Shocks ◽  
Forecast Error Variance

Abstract A vector autoregression (VAR) model of corn, farm egg, and retail egg prices is estimated and shocked with a corn price increase. Impulse responses in egg prices, t-statistics for the impulse responses, and decompositions of forecast error variance are presented. Analyses of results provide insights on the corn/egg price transmission mechanism and on how corn price shocks pulsate through the egg-related economy.

scholarly journals Stock Returns, Inflation and the “Reverse Causality” Hypothesis

2015 ◽  
Vol 4 (1) ◽  
pp. 32-50
Author(s):  
Mercy Ada Anyiwe ◽  
Sunday Osahon Igbinedion
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Forecast Error ◽  
Error Variance ◽  
Impulse Response Functions ◽  
Reverse Causality ◽  
Vector Error Correction ◽  
Vector Error ◽  
Forecast Error Variance ◽  
Causality Hypothesis

This paper attempts to empirically examine the Reverse Causality hypothesis within the Nigerian context during the period 1980 – 2011. Employing Vector Error Correction Methodology (VECM), causality was found between inflation and government stocks, with causality running from government stocks to inflation, thus providing evidence in support of the reverse causality hypothesis. The results from the forecast error variance decomposition (FEVD) and impulse response functions tend to further lend credence to this finding. Accordingly, this study suggests, in part, the need for a tight monetary policy which would help to reduce inflation and stock prices, as such measures would leave the individuals with less money to buy stocks. Such efforts should be complemented by augmenting domestic production and encouraging investment through inexpensive bank finance. 

scholarly journals Examining the Relationship between Diffrent Modes of Infrastructure Financing and Economic Growth in India

2019 ◽  
Vol 8 (4) ◽  
pp. 8677-8684
Keyword(s):  
Economic Growth ◽  
Growth Rate ◽  
Forecast Error ◽  
Error Variance ◽  
Public And Private ◽  
Vector Error Correction ◽  
Dynamic Relationship ◽  
Vector Error ◽  
Forecast Error Variance ◽  
The Impact

With an aim to achieve a status of 5 trillion economy, India has to fulfil the criteria of achieving minimum 9%+ growth rate consistently for next five years. But at present, the economic indicators of India reflect a dismal picture to achieve that goal. The economic growth rate of India has gone down to almost five percent in first quarter of financial year 2019-20. Since the opening up of the Indian economy in 1991, the role of private sector in reviving the country’s growth cannot be overstated. Expanding investment in infrastructure is often projected as a weapon which can play a counter cyclical role in the phase of such economic crisis. In an attempt to analyse the impact different modes of investment in infrastructure on economic growth of India, this paper examines the trend of investments by private as well as both public and private (joint) since 1990s. Further, a time series econometric analysis is carried out for a period of twenty-eight years (1990-2018) wherein the nexus between investments (primarily in transportation and energy sector) and economic growth of India (GDP per capita) is examined. To examine the dynamic relationship between the variables, their causality, exogeneity and comparability, the Vector auto regression (VAR) model, along with the Forecast Error Variance Decomposition (FEVD) and Vector Error Correction Model (VECM) is used. The results of VAR and VECM suggests that there is significant impact of investment in infrastructure upon economic growth of India.

The influence of economic policy uncertainty and geopolitical risk on US citizens overseas air passenger travel by regional destination

2020 ◽  
pp. 135481662098119
Author(s):  
James E Payne ◽  
Nicholas Apergis
Keyword(s):  
Economic Policy ◽  
Forecast Error ◽  
Error Variance ◽  
Variance Decomposition ◽  
Air Travel ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Passenger Travel ◽  
Forecast Error Variance

This research note extends the literature on the role of economic policy uncertainty and geopolitical risk on US citizens overseas air travel through the examination of the forecast error variance decomposition of total overseas air travel and by regional destination. Our empirical findings indicate that across regional destinations, US economic policy uncertainty explains more of the forecast error variance of US overseas air travel, followed by geopolitical risk with global economic policy uncertainty explaining a much smaller percentage of the forecast error variance.

scholarly journals Predicting Water Availability in Water Bodies under the Influence of Precipitation and Water Management Actions Using VAR/VECM/LSTM

Climate ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 144
Author(s):  
Harleen Kaur ◽  
Mohammad Afshar Alam ◽  
Saleha Mariyam ◽  
Bhavya Alankar ◽  
Ritu Chauhan ◽  
...  
Keyword(s):  
Water Management ◽  
Short Term Memory ◽  
Forecast Error ◽  
Error Variance ◽  
Water Levels ◽  
Water Bodies ◽  
Economic Activities ◽  
Management Actions ◽  
Forecast Error Variance ◽  
Water Treatments

Recently, awareness about the significance of water management has risen as population growth and global warming increase, and economic activities and land use continue to stress our water resources. In addition, global water sustenance efforts are crippled by capital-intensive water treatments and water reclamation projects. In this paper, a study of water bodies to predict the amount of water in each water body using identifiable unique features and to assess the behavior of these features on others in the event of shock was undertaken. A comparative study, using a parametric model, was conducted among Vector Autoregression (VAR), the Vector Error Correction Model (VECM), and the Long Short-Term Memory (LSTM) model for determining the change in water level and water flow of water bodies. Besides, orthogonalized impulse responses (OIR) and forecast error variance decompositions (FEVD) explaining the evolution of water levels and flow rates, the study shows the significance of VAR/VECM models over LSTM. It was found that on some water bodies, the VAR model gave reliable results. In contrast, water bodies such as water springs gave mixed results of VAR/VECM.

scholarly journals Oil Prices and the U.S. Dollar Exchange Rate: Evidence from the Monetary Model

2018 ◽  
Vol 10 (4) ◽  
pp. 17
Author(s):  
Moayad H. Al Rasasi
Keyword(s):  
Exchange Rate ◽  
Forecast Error ◽  
Negative Relationship ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Oil Prices ◽  
Error Variance ◽  
Monetary Model ◽  
Forecast Error Variance ◽  
Positive Shock

This paper analyzes how changes in global oil prices affect the US dollar (USD) exchange rate based on the monetary model of exchange rate. We find evidence indicating a negative relationship between oil prices and the USD exchange rate against 12 currencies. Specifically, the analysis of the impulse response function shows that the depreciation rate of the USD exchange rate ranges between 0.002 and 0.018 percentage points as a result of a one-standard deviation positive shock to the real price of crude oil. In the same vein, the forecast error variance decomposition analysis reveals that variation in the USD exchange rate is largely attributable to changes in the price of oil rather than monetary fundamentals. In last, the out-of-sample forecast exercise indicates that oil prices enhance the predictability power of the monetary model of exchange rate.

scholarly journals KAJIAN AKTIVITAS EKONOMI LUAR NEGERI INDONESIA TERHADAP PERTUMBUHAN EKONOMI INDONESIA PERIODE 1998-2014

2017 ◽  
Vol 9 (2) ◽  
pp. 119
Author(s):  
Ryan Hawari ◽  
Fitri Kartiasih
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Direct Investment ◽  
Forecast Error ◽  
Foreign Debt ◽  
Trade Openness ◽  
Impulse Response Function ◽  
Error Variance ◽  
Forecast Error Variance

Indonesia is a developing country which adopts an “open economic”. That caused Indonesia economic is strongly influenced by factors that come from outside of Indonesia. External factors in this research is referred to foreign debt, foreign direct investment, trade openness and exchange rate of rupiah with USD. The analytical method in this research used Vector Error Correction Model (VECM) which will focused on Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD). Based on result of IRF, exchange rate had a positive effect to economic growth, while foreign debt, foreign direct investment and trade openness had a negative effect to economic growth. Based on result of FEVD, shock on economic growth in Indonesia affected by economic growth itself (43.21%), followed by foreign debt (26.30%), trade openness (14.16%), foreign direct investment (8.29%) and exchange rate (8.04%) Keywords: economic growth, trade openness, VECM, IRF, FEVD

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