scholarly journals Household Debt and the Rise of Financial Fragility in the Tunisian Context

2015 ◽  
Vol 8 (1) ◽  
pp. 58
Author(s):  
Lobna Abid ◽  
Med Nejib Ouertani ◽  
Sonia Zouari-Ghorbel
Keyword(s):  
Panel Data ◽  
Error Correction ◽  
Data Modeling ◽  
Financial Fragility ◽  
Household Debt ◽  
Financial Vulnerability ◽  
Macroeconomic Shocks ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error

This paper aims at studying the financial vulnerability of the Tunisian household and the extent to which indebtedness is associated with increased “financial fragility”, as measured by the household arrears’ sensitivity to macroeconomic shocks. In addition, the paper tries to examine whether financial fragility is actually affected by macroeconomic variables. These issues are investigated by applying panel data modeling and vector-error correction mechanisms for household arrears. Overall, the analysis shows the importance of macroeconomic data in determining the household’s financial fragility.

scholarly journals Household Debts-and Macroeconomic factors Nexus in the United States: A Cointegration and Vector Error Correction Approach

2014 ◽  
Vol 6 (6) ◽  
pp. 452-465 ◽  
Author(s):  
Ntebogang Dinah Moroke
Keyword(s):  
United States ◽  
Error Correction ◽  
The United States ◽  
Series Data ◽  
Parameter Estimates ◽  
Household Debt ◽  
Macroeconomic Factors ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

This study applies cointegration and error correction approaches to determine the effect of macroeconomic determinants on household debt in the United States of America. Cointegration analysis provides an effective framework used for estimating and modelling relationships from time series data. Short-run and long-run cointegration models explaining the relationships between the US household debt and related macroeconomic factors are estimated. The data used covers a period of 1990 Q1 to 2013 Q1 and is sourced from the electronic data delivery system of the OECD, USA Federal Housing Finance Agency and the USA Department of the Treasury among others. SAS 9.3 version was used to obtain the results. The sample and variables were meritorious according to KMO and Cronbach’s alpha. Unit root test results provided enough evidence to conclude that the series were stationary after first differencing. Further data analysis was carried out with the first lag chosen by the AIC and SBC. Three cointegrating vectors were identified and were later standardised to correctly provide parameter estimates of the vector error correction model of household debts. The model revealed some short and long-run relationships. Revealed by the model is that 1.5 % of long-run equilibrium was corrected per quarter. The results of the current study are crucial to households and policy makers. Researchers may also refer to these results.

An Empirical Analysis on Association Between Selected Macroeconomic Variables and Stock Market in the Context of BSE

2018 ◽  
Vol 66 (1-2) ◽  
pp. 170-189 ◽  
Author(s):  
Sarika Keswani ◽  
Bharti Wadhwa
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Stock Returns ◽  
Stock Price ◽  
Inflation Rate ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error

The role of macroeconomic variables cannot be ignored because it plays a very important role in shaping the economy of any country, irrespective of whether it is developing, underdeveloped or developed. The macroeconomic variables were disposable income (DI), government policies (GP), inflation rate (INF), interest rate (IR), exchange rate (ER) and stock price. Monthly data of 10 years were used, that is, from April 2006 to March 2016. Analyses of augmented Dickey–Fuller test, preliminary tests, stability tests, cointegration, vector error correction model (VECM) variance decomposition analysis (VDA) and impulse response have been applied to examine the association between the selected macroeconomic variable and stock returns. All the variables are stationary at 1st difference. The results showed that the residues are normally distributed and that there is no problem of multicollinearity, heteroskedasticity and serial correlation. The results of the cointegration showed a strong long-term relationship among DI, GP, the inflation rate, the exchange rate and the IR on the stock price in Bombay Stock Exchange of India. Results of vector error correction model revealed that in the short run, there was a negative and significant relationship between inflation rate and stock returns; therefore, it can be implied that an increase in the inflation rate eroded the prospect of positive performance among the Sensex but was not significant. JEL Classification: E, E01

scholarly journals Macroeconomic Variables, the Oil, and the Agricultural Sectors in Nigeria

2019 ◽  
Vol 16 (1) ◽  
pp. 69
Author(s):  
Adegbemi Babatunde Onakoya ◽  
Hassan Akolade Alayande
Keyword(s):  
Error Correction ◽  
Agricultural Sector ◽  
Initial Step ◽  
Policy Formulation ◽  
Dutch Disease ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
Oil Sector ◽  
The Impact

The present study examined the impact of the macroeconomic variables and the oil sector on the performance of the agricultural sector between 1981and 2017 in Nigeria. The study adopted a three-stage estimation approach. The initial step in this estimation was the conduct of descriptive statistics and stationarity tests of the variables. Some of the series were stationary at level and some others at the first difference which informed the deployment of the Auto regressive distributed lag (ARDL) technique for model estimation. The third stage was the post-estimation of the model in order ascertain its robustness for predictability and policy formulation. These were the Cumulative Sum Control Chart (CUSUM) stability, Vector Error Correction (VEC) Residual Heteroscedasticity, Breusch-Godfrey Serial Correlation LM, Vector Error Correction Residual Normality, and Vector Error Correction (VEC) Residual Heteroscedasticity tests. The results indicated that contrary to the Dutch disease postulation the oil sector positively impacted the output of the agricultural sector. The influence of exchange rate was also positive. Interest and unemployment rates on the other hand, had negative effects. The rate of inflation and the national output had no impact. The study recommended that the Nigerian government should channel resources towards the agricultural sector to ensure increase in foreign earnings and sufficient domestic production.

scholarly journals OPTIMALISASI POTENSI PAJAK DAN RETRIBUSI DALAM MENINGKATKAN PENDAPATAN ASLI DAERAH (PAD) KOTA AMBON

2019 ◽  
Vol 6 (1) ◽  
Author(s):  
Maria K. Tupamahu ◽  
Hermi Oppier ◽  
Jacobus. C.D. Rijoly
Keyword(s):  
Error Correction ◽  
Swot Analysis ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Regional Autonomy ◽  
Macroeconomic Variables ◽  
Vector Error

Since Indonesia implemented regional autonomy, part of the financial authority was delegated to the regions so that the regions could independently optimize their regional financial potential, mainly from taxes and levies as their main source of income. Ambon City as an area that has long implemented autonomy still faces the problem of how to optimize the potential of PAD, especially through taxes and levies. This study aims to analyze strategies for optimizing taxes and levies in Ambon City. This study uses two research instruments, namely SWOT analysis and Model Vector Error Correction Model. Estimated results are then developed by forecasting for the next 10 years. The results show that both taxes and levies experienced a significant increase but in certain periods experienced fluctuations influenced by several macroeconomic variables.

scholarly journals Pengujian Kembali Volatilitas Kebijakan Trilemma Terhadap Variabel Makroekonomi di Indonesia

2021 ◽  
Vol 20 (1) ◽  
pp. 1
Author(s):  
Moch. Syamsudin
Keyword(s):  
Error Correction ◽  
Financial Stability ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Economic Stability ◽  
Correction Model ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Development Framework ◽  
Vector Error

The trilemma policy is a hypothesis stating a Mundell-Fleming macroeconomic development framework in which there is a state that cannot simultaneously choose three policies because it must sacrifice one policy so that the realization of policies that leads to economic stability is desired. The research aims to see the effect of the policy volatility on macroeconomic variables in Indonesia. The method used is the vector error correction model (VECM). The results show that the volatility of the trilemma policy adopted by Indonesia in the short and long term Affects the rate of economic growth and inflation. Economic shocks and uncertainties in the world economy externally affect macroeconomic variables. Viewing the results of forecasting for the trilemma policy and macroeconomic variables show that the inflation rate is so high and the level of economic openness is very low. This result recommends that there is a need for harmonization of policies undertaken by Bank Indonesia as the monetary authority and the government as a fiscal authority so as to achieve the level of financial stability that impacts on economic stability. Keywords:  Trilemma Policy, Macroeconomics, Vector Error Correction Model (VECM), Forecasting

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