Economic Growth and Unemployment Nexus in USA

Empirical relationship between unemployment and growth is not pronounced as we investigate the economic scenario of the nations. Author attempted to relate US unemployment rate to the growth during 1948-2016 by using bivariate and log regression models, Bai-Perron Model, Granger Causality test, Johansen cointegration test, vector auto regression and vector error correction models. Even, author also verified relationship between unemployment gap, output gap and growth in USA during the same period. Data on US unemployment rate, GDP and growth rate have been taken from Bureau of US census during 1948-2016. Data on US natural rate of unemployment was taken from Fed Bank of St.Louis from 1949 to 2016.The paper concludes that US unemployment rate is increasing at the rate of 0.507 per cent per annum and it has upward structural break in 1971.The nexus follows the Okun’s law in USA. US unemployment is negatively related with growth rate during 1948-2016.Their relationships are causal and cointegrated. VAR model is stable and stationary. Residual test showed non-normality and autocorrelations.Moreover, author showed negative relation between growth and unemployment gap in USA during 1949-2016.They have no causality and cointegration. Their VAR model is stable and stationary. The residual test proved non-normality and auto-correlation problems. Perceptible output gap influences unemployment gap negatively during 1949-2016 .It has significant bi-directional causality and one cointegrating equation. In Vector error correction model, error corrections are significant with high speed having stability, autocorrelation and non-normality. The rate of decline in unemployment rate due to increased growth rate in USA during 1948-2016 was marginal.

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ANALISIS PERILAKU INSTABILITAS, PERGERAKAN HARGA, EMPLOYMENT DAN INVESTASI DI DALAM SEKTOR PERTANIAN INDONESIA: Aplikasi Vector Error Correction Model

Buletin Ekonomi Moneter dan Perbankan ◽

10.21098/bemp.v8i1.129 ◽

2007 ◽

Vol 8 (1) ◽

Author(s):

Andi Irawan

Keyword(s):

Error Correction ◽

Error Correction Model ◽

Vector Error Correction Model ◽

Causality Test ◽

Correction Model ◽

Vector Error Correction ◽

Output Price ◽

Agriculture Sector ◽

Vector Error ◽

The Government

In a long run perspective, the aim of this research is to analyze the impact of the inflating-policy on the employment growth, and the agriculture investment. From a short run perspective, the aim covers (1) the identification of agriculture price instability on certain economic blocks, (2) the analysis of inflation behavior in the agriculture sector and its causality both to output price and input prices and the causality within the input prices.We apply the Vector Error Correction Model, Johansen Cointegration Test, and Granger Causality Test on a monthly series data from 1993:01 to 2002:12. The result shows the production and capital inagriculture sector are responsive to the output price change. This inflating the output price will effectively help to generate the output and a new investment in this sector. However, as the price shock can be a source of instability, the government should be careful to apply this price inflating policy. In addition, to solve the unemployment problem in agriculture sector, the government should apply the cost strategy, such as input price subsidy policy.JEL: C32, C52, O13, Q11, Q18Keyword: Employment, Investasi, Agriculture,Johansen, Cointegration Vector Error Correction Model, Causality Test

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ANALISIS PENGARUH INDEKS HARGA KONSUMEN, JUMLAH UANG BEREDAR (M1), KURS RUPIAH, DAN INDEKS S&P 500 TERHADAP INDEKS HARGA SAHAM GABUNGAN: STUDI EMPIRIS PADA BURSA EFEK INDONESIA

Nominal Barometer Riset Akuntansi dan Manajemen ◽

10.21831/nominal.v3i2.2694 ◽

2014 ◽

Vol 3 (2) ◽

Author(s):

Heriyanto Heriyanto ◽

Ming Chen

Keyword(s):

Error Correction ◽

Granger Causality ◽

Granger Causality Test ◽

Error Correction Model ◽

Vector Error Correction Model ◽

Causality Test ◽

Correction Model ◽

Vector Error Correction ◽

Spurious Regression ◽

Vector Error

Penelitian ini bertujuan untuk menguji hubungan keseimbangan jangka panjang antara variabel makroekonomi (yang diproksi dengan variabel indeks harga konsumen, jumlah uang beredar, kurs rupiah terhadap dollar, dan Indeks S&P 500) dengan indeks harga saham gabungan (IHSG). Data bulanan variabel makroekonomi dan IHSG selama periode Januari 2005 – Desember 2013 digunakan untuk pengujian hubungan keseimbangan jangka panjang. Data penelitian dikumpulkan dengan metode dokumentasi yang terdiri dari variabel indeks harga konsumen, jumlah uang beredar, kurs rupiah terhadap dollar, Indeks S&P 500, dan IHSG. Setelah data dikumpulkan, data selanjutnya akan dianalisis dengan menggunakan analisis regresi berganda. Analisis pengujian residual (dari model regresi berganda) dengan pendekatan Granger Residual Test digunakan untuk memastikan tidak terjadi spurious regression (regresi palsu). Selanjutnya, analisis data dengan pengujian Johannsen Cointegration Test digunakan untuk menguji keberadaan hubungan keseimbangan jangka panjang antara variabel makroekonomi dan IHSG. Tahap akhir analisis data dilakukan dengan pengujian vector error correction model (VECM) dan Granger Causality Test yang bertujuan untuk menguji kemungkinan adanya hubungan biderectional (dua arah) antara variabel makroekonomi dan IHSG. Hasil pengujian menggunakan analisis regresi berganda menunjukkan bahwa variabel kurs rupiah terhadap dollar dan Indeks S&P 500 berpengaruh signifikan terhadap pergerakan indeks harga saham gabungan, sedangkan variabel indeks harga konsumen dan jumlah uang beredar tidak berpengaruh signifikan. Hasil pengujian dengan menggunakan Granger Residual Test menunjukkan bahwa tidak terdapat spurious regression. Sementara itu, hasil pengujian dengan menggunakan Johannsen Cointegration Test menunjukkan bahwa terdapat hubungan keseimbangan jangka panjang antara variabel makroekonomi dan IHSG. Terkait dengan kemungkinan adanya hubungan biderectional antara variabel makroekonomi dan IHSG, hasil pengujian dengan menggunakan Vector Error Correction Model (VECM) dan Granger Causality Test menunjukkan bahwa hubungan antara variabel makroekonomi dan IHSG adalah hubungan satu arah. Kata Kunci: spurious regression, granger residual test, granger causality test, vector error correction model.

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Monetary Policy and Long Run Economic Growth in Nigeria: An Application of the Vector Error Correction Mechanism

International Journal of Finance Research ◽

10.47747/ijfr.v2i2.319 ◽

2021 ◽

Vol 2 (2) ◽

pp. 71-83

Author(s):

Vincent Iorja GISAOR

Keyword(s):

Economic Growth ◽

Monetary Policy ◽

Error Correction ◽

Money Supply ◽

Granger Causality Test ◽

Causality Test ◽

Vector Error Correction ◽

Vector Error ◽

Long Run ◽

Error Correction Mechanism

The inability of most developing economies to use monetary policy to engender real economic growth in their countries prompted the researchers to empirically assess the impact of monetary policy on economic growth in Nigeria between 1980 and 2014. The study employed an econometrics approach making use of the ADF unit root test, Johansen cointegration, Vector error correction model, Pairwise granger causality test and variance decomposition. The Vector Error Correction Mechanism result shows a positive short and long run relationship between both narrow money supply and broad money supply and economic growth in Nigeria with model strength of 75%. The Pairwise granger causality test shows a bi-directional causality between broad money supply and economic growth in Nigeria and was statistically significant at 5% level of confidence. Recommendations were for the government to use her contractionary monetary efforts and implement relevant policies to curtail the inverse effect of the persistent variation in the value of exchange rate, price level and interest rate in Nigeria and adequate regulation of the quantity of money in circulation to avoid hyperinflation and other unpredictable monetary volatilities.

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REVISITING KEYNES’ INVESTMENT AND SAVING MODEL IN INDONESIA

Economic Review ◽

10.51558/2303-680x.2020.18.2.45 ◽

2020 ◽

Vol XVIII (2) ◽

pp. 45-58

Keyword(s):

Error Correction ◽

Causal Relationship ◽

Granger Causality Test ◽

Vector Error Correction Model ◽

Causality Test ◽

Correction Model ◽

Vector Error Correction ◽

Vector Error ◽

Long Run ◽

Short Run

This study aims to analyze the Keynes’ investment and saving model in Indonesia from 1981 to 2018. The researchers use the econometric test from the Granger causality test to find the short-run causal relationship and the Vector Error Correction Model to reveal both the short-run and long-run effects in the model. The result of Granger causality test demonstrates that there is no short-run causal relationship between these two variables. In the short-run, the increase in saving affects the consumption loans more compared to the investment loans. Besides, increased consumption compared to saving has more influence in raising investment. However, the Vector Error Correction Model proves that saving negatively affects investment in the long-run. This model empirically supports the long-run Keynes’ investment and saving model. Consequently, the Indonesian government needs to consider saving as a policy instrument to increase investment in the longrun.

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The Conundrum of Oil Prices, Stock Returns and Exchange Rate

Journal of Business & Tourism ◽

10.34260/jbt.v3i2.68 ◽

2021 ◽

Vol 3 (2) ◽

pp. 11-29

Author(s):

ASAD KHAN ◽

ABDUL QADIR SHAH ◽

ZIA UR REHMAN ◽

MUHAMMAD IBRAHIM KHAN

Keyword(s):

Exchange Rate ◽

Error Correction ◽

Stock Returns ◽

Oil Prices ◽

Causality Test ◽

Vector Error Correction ◽

Vector Error ◽

Johansen Cointegration ◽

Oil Shock ◽

The Impact

This study imperially investigated the impact of oil prices and exchange rate on stock returns over the period of demand driven oil shock from 2001 to 2008 and supply driven oil shock from 2009 to 2016. To further explore the variation due to frequency of data, the study used daily, weekly and monthly data. The data was analyzed by applying Johansen Cointegration test, Vector error correction model, Granger causality test and Impulse response function. The Johansen Cointegration and vector error correction models confirm the long run relationship between oil prices and stock returns in all six samples. In short run, oil prices and exchange rate are not associated with the changes in stock returns. However, during demand driven oil price shocks, results confirm bidirectional relationship between oil prices and stock return.

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PENGARUH GUNCANGAN OUTPUT GAP DAN INFLASI TERHADAP SUKU BUNGA SEBAGAI SASARAN OPERASIONAL KEBIJAKAN MONETER DI INDONESIA

Signifikan Jurnal Ilmu Ekonomi ◽

10.15408/sjie.v1i2.2601 ◽

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

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Economic Growth and Unemployment Rate for the Economy of Botswana: An Empirical Study

FOCUS Journal of International Business ◽

10.17492/focus.v5i2.14381 ◽

2018 ◽

Vol 5 (2) ◽

Author(s):

Narain Sinha ◽

Katlego Tseladikae

Keyword(s):

Economic Growth ◽

Unemployment Rate ◽

Negative Relationship ◽

Ordinary Least Squares ◽

Annual Data ◽

Causality Test ◽

Vector Error Correction ◽

Vector Error ◽

Tourism Sector ◽

The Government

Relationship between economic growth and unemployment rate known as the Okun’s law plays an important role in policy analysis as it allows to what extent the growth rate targets affect unemployment in an economy. The validity of Okun`s law in Botswana is examined in the present study utilising annual data during the period 1991 to 2014. The gap version and first difference version of Okun`s law has been examined employing methodology of the ordinary least squares, vector error correction model and the Granger causality test. The results do not support the negative relationship between the aforementioned macroeconomic variables thus suggesting that Okun`s law does not hold for Botswana. Large share of mining sector in the gross domestic product is the main reason for this observation. Our study therefore, recommends that the government should intensify its diversification efforts in labour intensive sectors of the economy such as the agricultural and tourism sector.

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