scholarly journals Effectiveness of Monetary Policy Instruments on Economic Growth in Jordan Using Vector Error Correction Model

2017 ◽  
Vol 9 (11) ◽  
pp. 194
Author(s):  
Rami Obeid ◽  
Bassam Awad
Keyword(s):  
Economic Growth ◽  
Monetary Policy ◽  
Policy Instruments ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Real Gdp ◽  
Vector Error ◽  
Effect Of Monetary Policy

The global financial crisis emphasized the important role of the prudent monetary policy in supporting economic growth through maintaining price stability. The monetary policy operational framework that was designed in 2008 was updated to include more instruments for managing monetary policy learning from the crisis lessons. Several studies analyzed various dimensions related to economic growth in Jordan such as Abdul-Khaliq, Soufan, and Abu Shihab (2013) and Assaf (2014), there were no studies that investigated the effect of monetary policy on economic growth in Jordan, at least recently, however. The study aims at measuring the effect of monetary policy instruments on the performance of Jordanian economy. Using quarterly data covering the period (2005-2015), an econometric model was examined using Vector Error Correction Model to assess the impact of monetary policy instruments on economic growth. The foremost advantage of VECM is that it has a nice interpretation of long-term and short-term equations. The results showed the existence of positive long-term and short-term effects of monetary policy instruments on the growth of real GDP. The model included three monetary policy instruments besides money supply. They are required reserve ratio, rediscount rate and overnight interbank loan rates as independent variables, and the real GDP growth as a dependent variable. The stationarity of the model time series was addressed. In addition, the stability of the model was tested using stability diagnostics tools. The results showed also an existence of inverse relationship between rediscount rate and economic growth in Jordan over both long and short terms.

scholarly journals PENGARUH EKSPOR HASIL MINYAK DAN IMPOR MINYAK BUMI TERHADAP PERTUMBUHAN EKONOMI DI INDONESIA

2021 ◽  
Vol 10 (1) ◽  
pp. 23
Author(s):  
Fadila Arza ◽  
Murtala Murtala
Keyword(s):  
Economic Growth ◽  
Secondary Data ◽  
Vector Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
The Relationship ◽  
Positive Effect

This study aims to analyze the effect of oil product exports and petroleum imports on the economic growth of Indonesia. This study uses secondary data. The method used to analyze the relationship between endogenous and exogenous variables is a dynamic model with the Vector Error Correction Model (VECM) approach. The results in the long-term and short-term show that Oil Products Exports have a positive effect on the Economic Growth of Indonesia. In the long-term and short-term, petroleum imports negatively influence the economic growth of Indonesia.Keywords:Oil Product Exports, Crude Oil Imports, Economic Growth

scholarly journals DOES SUKUK, DOMESTIC INVESTMENT, FOREIGN INVESTMENT, AND INFLATION CONTRIBUTE TO ECONOMIC GROWTH IN INDONESIA?

2020 ◽  
Vol 7 (12) ◽  
pp. 2375
Author(s):  
Laela Setianingsih ◽  
Emy Widyastuti
Keyword(s):  
Economic Growth ◽  
Foreign Investment ◽  
Positive Contribution ◽  
Domestic Investment ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Short And Long Term

ABSTRAKIndikator yang menentukan keberhasilan pembangunan ekonomi adalah pertumbuhan ekonomi. Kemajuan dan kesejahteraan suatu negara dapat dilihat melalui pertumbuhan ekonominya. Pertumbuhan ekonomi Indonesia berfluktuasi setiap tahun dan dipengaruhi oleh banyak faktor. Penelitian ini bertujuan untuk mengetahui kontribusi sukuk jangka pendek dan jangka panjang, penanaman modal dalam negeri, penanaman modal asing, dan inflasi terhadap pertumbuhan ekonomi di Indonesia dari tahun 2011 hingga 2019. Metode yang digunakan dalam penelitian ini adalah Vector Error Correction Model (VECM). Data yang digunakan dalam penelitian ini adalah data sekunder time series dengan periode penelitian triwulanan dari tahun 2011 hingga 2019. Hasil pengujian menunjukkan bahwa variabel sukuk memiliki kontribusi negatif yang tidak signifikan terhadap pertumbuhan ekonomi dalam jangka pendek dan dalam jangka Panjang, sukuk berpengaruh positif signifikan terhadap pertumbuhan ekonomi. Variabel investasi dalam negeri dalam jangka pendek dan jangka panjang memberikan kontribusi positif terhadap pertumbuhan ekonomi. Variabel investasi dalam negeri jangka pendek dan jangka panjang memberikan kontribusi positif yang tidak signifikan terhadap pertumbuhan ekonomi. Dan variabel inflasi memiliki kontribusi yang negatif dan tidak signifikan terhadap pertumbuhan ekonomi dalam jangka pendek dan jangka panjang.Kata Kunci: Sukuk, Penanaman Modal Dalam Negeri, Penanaman Modal Asing, Inflasi, Pertumbuhan Ekonomi. ABSTRACTThe indicator for determining the success of economic development is economic growth. The progress and welfare of a country can be seen through its economic growth. Indonesia’s economic growth fluctuates every year and is influenced by many factors. This study aims to determine the short-term and long-term contributions of Sukuk, domestic investment, foreign investment, and inflation to economic growth in Indonesia from 2011 to 2019. This method used in this research is the Vector Error Correction Model (VECM). The data used in this study are secondary time series data with a quarterly research period from 2011 to 2019. The test results show that the sukuk variable has an insignificant negative contribution to economic growth in the short term and the long term sukuk has a significant positive contribution to economic growth. Domestic investment variables in the short and long term contribute positively to economic growth. The short-term and long-term domestic investment variables have an insignificant positive contribution to economic growth. And the inflation variable has a negative and insignificant contribution to economic growth in the short and long term. Keywords: Sukuk, Domestic Investment, Foreign Investment, Inflation, Economic Growth.

HUBUNGAN ANTARA CONSUMPTION ABROAD (MODA 2) DENGAN COMMERCIAL PRESENCE (MODA 3) DI SEKTOR JASA PARIWISATA INDONESIA

2016 ◽  
Vol 10 (1) ◽  
pp. 45-62
Author(s):  
Muhammad Fawaiq
Keyword(s):  
Vector Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Mode 2 ◽  
Variable Mode ◽  
Causality Relationship ◽  
Mode 3

Penelitian ini bertujuan untuk menganalisis hubungan antara Moda 2 dan Moda 3 dalam perdagangan internasional di sektor jasa pariwisata. Metode penelitian yang digunakan dalam penelitian ini adalah Panel Vector Error Correction Model (VECM) Granger. Data yang digunakan adalah data kedatangan wisatawan mancanegara dan Foreign Direct Investment (FDI) jasa hotel dan restoran tahun 1997-2014 di Bali, Jakarta, Kepulauan Riau dan Sumatera Utara. Daerah-daerah ini berkontribusi sebesar 81,26% dari total kedatangan wisatawan mancanegara di Indonesia dan 68% terhadap total FDI di jasa hotel dan restoran Indonesia. Hasil penelitian menunjukkan bahwa tidak terdapat hubungan kausalitas jangka pendek antara kedua variabel tetapi terdapat hubungan jangka panjang satu arah yaitu variabel Moda 3 dipengaruhi oleh variabel Moda 2. Hasil pengujian pada gabungan antara jangka panjang dan jangka pendek menujukkan bahwa variabel Moda 3 secara kuat dipengaruhi oleh variabel Moda 2. Dengan demikian diketahui bahwa semakin banyak jumlah wisatawan mancanegara yang datang ke Indonesia maka akan mendorong meningkatnya FDI di jasa hotel dan restoran, tetapi meningkatnya FDI di jasa tersebut tidak signifikan berpengaruh terhadap masuknya jumlah wisatawan mancanegara. This paper examines the relationship between Mode 2 and Mode 3 of international trade in tourism sector. The method used is the Panel Vector Error Correction Model (VECM) Granger. The data used in this study were the number of foreign tourist arrivals and the Foreign Direct Investment (FDI) in some hotels and restaurants during 1997-2014 in Bali, Jakarta, Riau Islands and Nort Sumatera.These regions contributed for 81.26% out of the total tourist arrivals in Indonesia and 68% of the total FDI in the services of hotels and restaurants Indonesia. The results using VECM Granger demonstrated that there was no short-term causality relationship between these two variables but they had a long-term causality relationship that the Moda 3 was affected by the variable mode 2. Test results on a combination of long-term and short-term showed that the variable mode 3 was strongly influenced by variable mode 2. Thus, it is known that the more foreign tourists coming to Indonesia, the more FDI we gained from the service of hotels and restaurants, but this increase does not significantly affect the number of foreign tourists.

scholarly journals Macroeconomic Variables and Foreign Direct Investment Inflows in Turkey

2019 ◽  
Vol 8 (2) ◽  
Author(s):  
Saliha Meftah ◽  
Abdelkader Nassour
Keyword(s):  
Foreign Direct Investment ◽  
Direct Investment ◽  
Short Term ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
Causality Relationship

Foreign direct investment (FDI) is an essential factor in the development of a country. This study aims to examine what factors influence foreign direct investment. By using the vector error correction model, the research shows that there is a long-term causality relationship between exchange rates and inflation with FDI. However, in the short term, there are no variables that affect FDI. Besides, the Granger causality test shows causality in the direction of GDP and FDI, while other variables do not have causality. This research has implications for policymakers to pay attention to macroeconomic variables in increasing the flow of foreign direct investment.

scholarly journals Relationship between Financial Liberalization and Economic Growth in Emerging Economies: The Case of Vietnam

2016 ◽  
Vol 23 (01) ◽  
pp. 25-49
Author(s):  
Hoang Tran Huy ◽  
Huan Nguyen Huu ◽  
Linh Nguyen Thi Thuy
Keyword(s):  
Economic Growth ◽  
Financial Services ◽  
Financial Liberalization ◽  
Response Analysis ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Term Relation

This paper examines the process of financial liberalization in Vietnam over the period from 1993 to 2013. On adopting Vector Error Correction Model (VECM), the results suggest that there is a long-term relation between economic growth and financial liberalization, in which the financial market liberalization and financial services liberalization provide better support during the growth of Vietnam’s economy. In addition, using various techniques including Granger causality test, impulse response analysis, and variance decomposition, the paper also clarifies the motives for financial liberalization from the process of short-term financial development and economic growth in the country.

scholarly journals Pengaruh Variabel Makroekonomi Terhadap Jumlah Penghimpunan Zakat di Indonesia

2020 ◽  
Vol 25 (2) ◽  
pp. 199
Author(s):  
Sheema Haseena Armina
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Series Data ◽  
Short Term ◽  
Correction Model ◽  
Dollar Exchange Rate ◽  
Vector Error Correction ◽  
Vector Error ◽  
Analysis Technique

Purpose this study analyzes the effect of the industrial production index, the dollar exchange rate, inflation and the BI 7DRR on the amount of zakat collection from January 2015 to December 2018to identify the potential of zakat to support alleviation in Indonesia. Methodology/Approach: this study uses a quantitative approach with a Vector Error Correction Model (VECM) data analysis technique with time series data from Januari 2015 t0 December 2018. Findings: The results show that in short term causality, there is an effect between long-term and short-term between zakat as the dependent variable with inflation and the dollar exchange rate. However, there is no short-term causality effect between BI 7-DRR and IPI to the amount of zakat while the long-term causality effect, all independent variables have a significant effect to the dependent variable namely zakat. Implications: The integration of Islamic philanthropic institutions has the potential to channel aid and support to alleviate poverty. This study adds the IPI variable to interpret the GDP variable in analyzing its effect on zakat.

scholarly journals A Multivariate Forecasting Model for the COVID-19 Hospital Census Based on Local Infection Incidence

2021 ◽  
Author(s):  
Hieu M. Nguyen ◽  
Philip Turk ◽  
Andrew McWilliams
Keyword(s):  
Time Series ◽  
Multivariate Time Series ◽  
Healthcare Systems ◽  
Leading Indicators ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Infection Incidence ◽  
Vector Error

AbstractCOVID-19 has been one of the most serious global health crises in world history. During the pandemic, healthcare systems require accurate forecasts for key resources to guide preparation for patient surges. Fore-casting the COVID-19 hospital census is among the most important planning decisions to ensure adequate staffing, number of beds, intensive care units, and vital equipment. In the literature, only a few papers have approached this problem from a multivariate time-series approach incorporating leading indicators for the hospital census. In this paper, we propose to use a leading indicator, the local COVID-19 infection incidence, together with the COVID-19 hospital census in a multivariate framework using a Vector Error Correction model (VECM) and aim to forecast the COVID-19 hospital census for the next 7 days. The model is also applied to produce scenario-based 60-day forecasts based on different trajectories of the pandemic. With several hypothesis tests and model diagnostics, we confirm that the two time-series have a cointegration relationship, which serves as an important predictor. Other diagnostics demonstrate the goodness-of-fit of the model. Using time-series cross-validation, we can estimate the out-of-sample Mean Absolute Percentage Error (MAPE). The model has a median MAPE of 5.9%, which is lower than the 6.6% median MAPE from a univariate Autoregressive Integrated Moving Average model. In the application of scenario-based long-term forecasting, future census exhibits concave trajectories with peaks lagging 2-3 weeks later than the peak infection incidence. Our findings show that the local COVID-19 infection incidence can be successfully in-corporated into a VECM with the COVID-19 hospital census to improve upon existing forecast models, and to deliver accurate short-term forecasts and realistic scenario-based long-term trajectories to help healthcare systems leaders in their decision making.Author summaryDuring the COVID-19 pandemic, healthcare systems need to have adequate resources to accommodate demand from COVID-19 cases. One of the most important metrics for planning is the COVID-19 hospital census. Only a few papers make use of leading indicators within multivariate time-series models for this problem. We incorporated a leading indicator, the local COVID-19 infection incidence, together with the COVID-19 hospital census in a multivariate framework called the Vector Error Correction model to make 7-day-ahead forecasts. This model is also applied to produce 60-day scenario forecasts based on different trajectories of the pandemic. We find that the two time-series have a stable long-run relationship. The model has a good fit to the data and good forecast performance in comparison with a more traditional model using the census data alone. When applied to different 60-day scenarios of the pandemic, the census forecasts show concave trajectories that peak 2-3 weeks later than the infection incidence. Our paper presents this new model for accurate short-term forecasts and realistic scenario-based long-term forecasts of the COVID-19 hospital census to help healthcare systems in their decision making. Our findings suggest using the local COVID-19 infection incidence data can improve and extend more traditional forecasting models.

scholarly journals Determinant of The Bitcoin Prices as Alternative Invesment in Indonesia

2020 ◽  
Vol 1 (1) ◽  
pp. 22-29
Author(s):  
Gery Andrean
Keyword(s):  
Exchange Rate ◽  
Quantitative Analysis ◽  
Composite Index ◽  
Secondary Data ◽  
Vector Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

The aims of this study to know the determinant that affect bitcoin prices and how bitcoin prices response to the shock from GDP (Gross Domestic Product), inflation, exchange rate, JCI (Jakarta Composite Index. The method that was used in this research was quantitative analysis, with data analysis tools Vector Error Correction Model (VECM). Data used in this research was secondary data taken from Bank Indonesia, Bitcoincharts, and Yahoo Finance. The results of this study showed that (1) inflation in short term and in long term has negative significant effect on bitcoin prices, exchange rate in long term has positive significant effect on bitcoin price. In short term and in the long term GDP and JCI do not have significant effect on bitcoin prices (2) The results of IRF shows bitcoin prices respond negatively shock from GDP and exchange rate, while shock from inflation and JCI responded posifively by bitcoin prices.

THE CAUSAL RELATIONSHIP BETWEEN INSURANCE AND ECONOMIC GROWTH IN NIGERIA (1986-2010)

2012 ◽  
Vol 02 (12) ◽  
pp. 49-57
Author(s):  
TAIWO AKINLO
Keyword(s):  
Economic Growth ◽  
Interest Rate ◽  
Causal Relationship ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Short Run

This study examined the causal relationship between insurance and economic growth in Nigeria over the period 1986-2010. The Vector Error Correction model (VECM) was adopted. The cointegration test shows that GDP, premium, inflation and interest rate are cointegrated when GDP is the edogeneous variable. The granger causality test reveals that there is no causality between economic growth and premium in short run while premum, inflation and interest rate Granger cause GDP in the long run which means there is unidirectional causality running from premium, inflation and interest rate to GDP. This means insurance contributes to economic growth in Nigeria as they provide the necessary long-term fund for investment and absolving risks.

scholarly journals Impact of Macro Economy on Financial Stability in Malaysia

SPLASH Magz ◽  
2021 ◽  
Vol 1 (2) ◽  
pp. 48-55
Author(s):  
Bambang Hadi Prabowo ◽  
◽  
Maria Garcia ◽  
Keyword(s):  
Interest Rates ◽  
Financial Stability ◽  
Short Term ◽  
Macroeconomic Factors ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Specific Factors ◽  
Bank Specific Factors

Research studies the influence of macroeconomic factors (inflation, exchange rates, and interest rates) and bank-specific factors (credit) on Non-Performing Loans (NPLs) in Malaysia for the period 2015 to 2018. This study uses the Vector Error Correction Model (VECM) to determine the effect of variables. independent consisting of macroeconomic factors and bank-specific factors. Based on the VECM estimation results, three variables that have a positive and significant effect on long-term NPL are credit, inflation and interest rates. Meanwhile, in the short term, there are only two variables that have a positive and significant effect on NPL, namely credit and interest rates. Inflation and exchange rate variables have a negative and insignificant effect on NPL in the short term.

Sign in / Sign up

Export Citation Format

Share Document