scholarly journals Does Exchange Rate Volatility Affect Economic Growth in Nigeria?

2020 ◽  
Vol 12 (7) ◽  
pp. 54
Author(s):  
Tule Kpughur Moses ◽  
Oboh Ugbem Victor ◽  
Ebuh Godday Uwawunkonye ◽  
Onipede Samuel Fumilade ◽  
Gbadebo Nathaniel
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Gdp Growth ◽  
Impulse Response Functions ◽  
Vector Error Correction ◽  
Wald Tests ◽  
Vector Error ◽  
Bidirectional Relationship ◽  
Negative Effect

This study used monthly data from 2003 to 2017 to analyze the effects of USD/NG₦ exchange-rate volatility on Nigeria’s economic growth. The results from generalized autoregressive conditional heteroscedasticity (GARCH) and vector error correction model (VECM) analyses indicated that USD/NG₦ volatility had a significant effect on the country’s gross domestic product (GDP) growth. The results of the Granger causality/block exogeneity Wald tests and impulse-response functions also indicated that USD/NG₦ volatility had a significant negative effect on the country’s GDP growth. Moreover, USD/NG₦ exchange-rate volatility was found to exhibit short-term unidirectional causality for economic growth. However, a bidirectional relationship was confirmed between narrow money supply and economic growth. Yet, it was also found that the interbank exchange rate, which is a semiofficial Forex window, had little effect on Nigeria’s economic growth—a strong indication that a large portion of the productive sector lacks access to this Forex platform.

Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks

2019 ◽  
Vol 72 (1) ◽  
pp. 80-100 ◽  
Author(s):  
Aydan Dogan ◽  
Timo Bettendorf
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Exchange Rate Volatility ◽  
Technology Shocks ◽  
Correction Model ◽  
Vector Error Correction ◽  
Traded Goods ◽  
Vector Error ◽  
The Uk ◽  
Real Exchange Rate Volatility

Abstract International real business cycle (IRBC) models predict a real exchange rate volatility that is much lower than the levels observed in the data. In this paper, we build a two-country IRBC model with both a traded and a non-traded goods sector, and calibrate it to UK-euro area (EA) data. We provide evidence on the existence of a cointegrating relationship between UK and EA traded sector total factor productivity (TFP) by estimating a vector error correction model (VECM). To account for this relationship, we incorporate non-stationary technology shocks in the traded sectors in our model, and show that then the model is able to match the observed volatility of the UK–EA real exchange rate. Our analysis points out that both the presence of non-traded sectors and non-stationary technology shocks are necessary to account for the observed volatility in the real exchange rate.

scholarly journals Dynamic Inflation and Economic Growth Nexus in Bangladesh

2019 ◽  
Vol 26 (2) ◽  
pp. 35
Author(s):  
Md. Nezum Uddin
Keyword(s):  
Economic Growth ◽  
Gdp Growth ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Gdp Growth Rate ◽  
Inflation Rates ◽  
Cointegration Tests ◽  
Eigen Value ◽  
Integrating Vector

This scholarly article seeks to spotlight the inextricable link between economic expansion and inflation in Bangladesh for the past three decades from 1987 to 2017. The nature of the relationship between these two macroeconomic variables is a boiling topic of research. The data on both the GDP growth and inflation rates supplied by the World Bank have been used to study the nexus. Different relevant tests (DF, ADF, PP and KPSS test) found unit root in the variables, but this problem is disappeared at the first difference. Cointegration tests display the long-run connection between the variables at the period. Max-Eigen value Statistic Trace Statistic expose there may be a second integrating vector. The vector error correction model (VECM) finds short dynamics among inflation and economic development, and the adjustment speed at 39% and 82% respectively for the variables—GDP growth rate and inflation. This empirical study has found a significant correlation between inflation and economic growth in Bangladesh during the study period

scholarly journals The Impact of Bank Indonesia Regulation No. 17/3/2015 on Exchange Rate: Analysis Using Vector Error Correction Model (VECM)

2021 ◽  
Vol 12 (2) ◽  
pp. 131-141
Author(s):  
Muhamad Yudi Setiawan ◽  
Tanti Novianti ◽  
Mukhamad Najib
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Impact

The weakening of the Rupiah against the US dollar has encouraged Bank Indonesia to issued Bank Indonesia Regulation (Peraturan Bank Indonesia - PBI) No. 17/3/2015. The research aimed to analyze the factors that affected the Rupiah exchange rate, the effect of PBI No. 17/3/2015 on the movement of the Rupiah exchange rate, and the behavior of exchange rate movement to the shocks on the variables that influenced it. The research applied secondary data, namely monthly data from January 2008 to April 2019 taken from reliable sources such as National Development Planning Agency (Bappenas), Bank Indonesia (BI), and Statistics Indonesia (BPS). It was explanatory research with a quantitative approach. The studied data were processed with the Vector Error Correction Model (VECM) method to identify long and short-term effects. The results of the long-term equation show that export-import has a negative effect on the exchange rate. Similarly, inflation has no significant effect on the exchange rate. Then, the money supply has a significantly negative effect on the exchange rate. However, the interest rate of Bank Indonesia positively affects the exchange rate. Next, the implementation of PBI No. 17/3/2015 has a significant and positive impact on the exchange rate. Last, the crisis condition does not affect the changes in exchange rates.

scholarly journals The Effects of Oil Price Changes And Exchange Rate Volatility On Unemployment

2013 ◽  
Vol 2 (4) ◽  
pp. 72-83
Author(s):  
Mohd Shahidan Shaari ◽  
Nor Ermawati Hussain ◽  
Hafizah Abdul Rarhim
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Oil Price ◽  
Integration Technique ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
The Empirical Analysis

The study aims to examine the effects of oil price and exchange rate on unemployment in Malaysia. The empirical analysis commence by analyzing the time series property of data. The Johansen VAR-based co-integration technique was applied to examine the long run relationship between exchange rate, oil price and unemployment and found the long run relationship does exist. The vector error correction model was performed to check the short run dynamics and found that the short run dynamics are influenced by the estimated long run equilibrium. Granger causality was done and found that oil price does not affect unemployment but exchange rate has an influence on unemployment. Therefore, putting the exchange rate under control should be implemented to control unemployment.

scholarly journals The Impact of Islamic Bank Financing, Government Spending, and Investment on Economic Growth in Indonesia

2021 ◽  
Vol 10 (2) ◽  
pp. 299-310
Author(s):  
Nofrianto Nofrianto ◽  
Yunie Muliana ◽  
Adi Cahyadi
Keyword(s):  
Economic Growth ◽  
Government Spending ◽  
Vector Error Correction ◽  
Islamic Bank ◽  
Vector Error ◽  
Bank Financing ◽  
Negative Effect ◽  
Financing And Investment ◽  
Quantitative Descriptive ◽  
The Impact

This study aims to analyze the effect of Islamic bank financing, government spending, and investment on economic growth in Indonesia from 2003 to 2019. A quantitative descriptive methodusing the Vector Error Correction Model (VECM) analysis was applied. The results showed that in the short term, the variables of Islamic bank financing, government spending, and investment did not have a significant effect on economic growth. This shows that these variables require enough time to affect the economic growth. However in the long term, the results showed that Islamic bank financing and investment respectively have a significant, negative effect on economic growth, while government spending has a positive and significant effect on economic growth in Indonesia.JEL Classification: F22, F24, I32, J01, O15How to Cite:Nofrianto, Muliana, Y., & Cahyadi, A. (2021). The Impact of Islamic Bank Financing, Government Spending, and Investment on Economic Growth in Indonesia. Signifikan: Jurnal Ilmu Ekonomi, 10(2), 299-310. https://doi.org/10.15408/sjie.v10i2.20469.

scholarly journals Dampak ASEAN-China free trade agreement (ACFTA) terhadap pertumbuhan ekonomi Indonesia

2019 ◽  
Vol 15 (1) ◽  
pp. 1-14
Author(s):  
Azza Ayullah Kusuma
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Free Trade Agreement ◽  
Secondary Data ◽  
Trade Agreement ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
The Impact

The purpose of this study investigates the impact of ACFTA, Indonesian trade, the exchange rate on economic growth in Indonesia. The data used secondary data during 1997-2016 were sourced from UNCOMTRADE, ASEAN Statistics, and World Bank. The method used is a quantitative approach with vector error correction model (VECM). The findings of this study in the long run show that Indonesian trade, ACFTA has a positive and significant effect on economic growth, while the rupiah exchange rate variable has a negative and significant effect on economic growth

scholarly journals Impact of fiscal and monetary policy on economic growth in Vietnam

2022 ◽  
Author(s):  
Le Thanh Tung
Keyword(s):  
Economic Growth ◽  
Monetary Policy ◽  
Impulse Response Functions ◽  
Macroeconomic Policies ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Johansen Cointegration Test ◽  
The Impact ◽  
Fiscal And Monetary Policy

This paper uses the Johansen cointegration test and the Vector Error Correction Model (VECM) to study the impact of fiscal and monetary policy on economy growth in Vietnam during the period from quarter I/2004 to quarter II/2013. The results showed the cointegration relation between the macroeconomic policies and economic growth. Besides, the variance decomposition and impulse response functions from VECM model showed the impact of the two policies on economic growth were limited, in which the impact of the monetary policy on growth is greater than that of the fiscal policy on growth. Subsequently, the paper provides some recommendations to improve the efficiency of the implementation of these policies in Vietnam.

scholarly journals Exchange rate Pass-through in russia

2014 ◽  
pp. 21-35 ◽  
Author(s):  
Y. Ponomarev ◽  
P. Trunin ◽  
A. Ulyukayev
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Exchange Rate Volatility ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Pass Through

The article provides estimates of short-run and medium-run exchange rate pass-through in Russia during the period of 2000-2012 using vector error correction model. Estimates of asymmetry of exchange rate pass-through, its assessments in different sub-periods and exchange rate volatility effect are also presented.

scholarly journals Does Exchange Rate Volatility Really Influence Foreign Trade? Evidence from Turkey

2016 ◽  
Vol 8 (2) ◽  
pp. 33 ◽  
Author(s):  
Mevlut Tatliyer ◽  
Fatih Yigit
Keyword(s):  
Exchange Rate ◽  
Foreign Trade ◽  
Exchange Rate Volatility ◽  
Short Term ◽  
Causality Test ◽  
Vector Error Correction ◽  
Vector Error ◽  
Johansen Cointegration Test ◽  
Positive Effect

<p>We investigated the influence of exchange rate volatility on foreign trade for an emerging economy, namely Turkey, by using monthly data spanning from 1990 to 2015. We employed the Johansen cointegration test, the vector error correction model, or VECM, and the VAR Granger causality test within the framework of the Toda-Yamamoto procedure in order to capture both the long-term and short-term effects of exchange rate volatility. We report that there is a long-term relationship between exchange rate volatility and Turkish exports. In addition, while exchange rate volatility has a positive effect on Turkish exports in the long-term, this relationship disappears in the short-term.</p>

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