A Comparative Analysis of Exchange Rate Pass-Through in China, Eurozone and the U.S.: A Vector Error Correction Model

This study examines the pass-through effect of fluctuations in the exchange rate on inflation in China in comparison with similar effects in the Eurozone and the United States. Using a set of monthly data covering the period 1999 through 2015 for each case, we constructed a Vector Auto Regressive (VAR) model as well as an Error Correction model (VECM) to estimate the pass-through effects in the three cases. In addition, to ensure that our results are statistically unbiased we also tested the stationarity of the variables of the model. Moreover, to distinguish between the short-run and long-run pass-through effects, we made use of a series of co-integration tests. Our results indicate that the pass-through effect of changes in the exchange rate in China is much weaker than it is in the Eurozone and the United States. We found this effect in the U.S. to be both more notable and longer-lasting.

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Dynamic Interrelationships between the U.S. Agricultural Trade Balance and the Macroeconomy

Journal of Agricultural and Applied Economics ◽

10.1017/s1074070800023208 ◽

2007 ◽

Vol 39 (3) ◽

pp. 457-470 ◽

Cited By ~ 7

Author(s):

Jungho Baek ◽

Won W. Koo

Keyword(s):

United States ◽

Exchange Rate ◽

Money Supply ◽

Trade Balance ◽

The United States ◽

Agricultural Trade ◽

Long Run ◽

Trading Partners ◽

The Exchange Rate ◽

The U.S

The effects of the exchange rate and the income and money supply of the United States and its major trading partners on the U.S. agricultural trade balance are examined using an autoregressive distributed lag (ARDL) model. Results suggest that the exchange rate is the key determinant of the short- and long-run behavior of the trade balance. It is also found that the income and money supply in both the United States and the trading partners have significant impacts on U.S. agricultural trade in both the short and long run.

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DETERMINAN PERMINTAAN EKSPOR KEPITING/RAJUNGAN OLAHAN INDONESIA KE AMERIKA SERIKAT: PENDEKATAN ERROR CORRECTION MODEL

Jurnal Kebijakan Sosial Ekonomi Kelautan dan Perikanan ◽

10.15578/jksekp.v10i2.9271 ◽

2020 ◽

Vol 10 (2) ◽

pp. 131

Author(s):

Estu Sri Luhur ◽

Asnawi Asnawi ◽

Freshty Yulia Arthatiani ◽

Siti Hajar Suryawati

Keyword(s):

United States ◽

Exchange Rate ◽

Error Correction ◽

Export Price ◽

The United States ◽

Error Correction Model ◽

Production Volume ◽

Correction Model ◽

Domestic Production ◽

Export Prices

Kepiting/rajungan merupakan salah satu komoditas ekspor perikanan yang terus meningkat permintaannya. Penelitian ini bertujuan menganalisis permintaan ekspor kepiting/rajungan olahan Indonesia ke Amerika Serikat sebagai pasar tujuan utama. Data yang digunakan adalah data sekunder, yaitu data harga ekspor kepiting/rajungan Indonesia ke Amerika Serikat, volume produksi kepiting/rajungan di dalam negeri, dan nilai tukar rupiah terhadap dolar Amerika Serikat. Data tersebut diperoleh dari UN-Comtrade, Kementerian Kelautan dan Perikanan (KKP), dan Badan Pusat Statistik (BPS). Metode analisis data yang digunakan adalah ekonometrika dinamis dengan pendekatan Error Correction Model (ECM). Hasil penelitian menunjukkan bahwa variabel yang memiliki pengaruh terhadap permintaan ekspor kepiting/rajungan Indonesia ke Amerika Serikat pada jangka pendek adalah harga ekspor dan volume produksi di dalam negeri dengan nilai koefisien masing-masing sebesar -0.7818 dan 0.5270. Pada jangka panjang, variabel yang berpengaruh adalah harga ekspor kepiting/rajungan Indonesia ke Amerika Serikat dengan nilai koefisien sebesar - 0.7938. Upaya peningkatan volume ekspor kepiting/rajungan Indonesia ke Amerika Serikat dapat dilakukan dengan kebijakan melalui usaha nelayan dan perbaikan mekanisme rantai pasok (foodchains) yang berdampak menurunkan harga ekspor kepiting/rajungan Indonesia ke Amerika Serikat dan perbaikan kualitas produksi kepiting/rajungan di Indonesia. Selain itu, seiring dengan meningkatnya permintaan kepiting/rajungan di Amerika Serikat dapat memberikan peluang bagi Indonesia untuk meningkatkan ekspor kepiting/rajungan ke Amerika Serikat.Title: Determinants of Demand for Indonesian Export of Processed Crabs to the United States: An Error Correction Model ApproachCrab is one of fishery export commodity that has continuing increase in demand. This study aimed to analyze demand for Indonesian processed crab exports to the United States as the main destination market. Data used are secondary data, namely data on export price of Indonesian crabs to the United States, the volume of domestic crab production, and exchange rate of the rupiah against the US dollar. Data was obtained from UN-Comtrade, Ministry of Marine Affairs and Fisheries (KKP), and Central Statistics Agency (BPS). Data were analyzed using dynamic econometrics method with the Error Correction Model (ECM) approach. Variables of the study are export price of Indonesian crab to the United States, production volume of crab in Indonesia, and exchange rate of rupiah against United States dollar. The results showed that export prices and domestic production volume are variables influencing demand for Indonesian crab exports to the United States in the short term with coefficient value of -0.7818 and 0.5270 respectively. In the long term, the influencing variables is domestic production volume with coefficient value of 0.7938. Export volume to the United States could be increased through policy on fishing effort and supply chain mechanism improvement that resulted in the decrease of export prices and improved quality of the crabs. In addition, the increasing number of crab demand in the United States provides opportunities for Indonesia to increase crab exports to the United States.

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The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach

Panoeconomicus ◽

10.2298/pan1504429d ◽

2015 ◽

Vol 62 (4) ◽

pp. 429-451 ◽

Cited By ~ 4

Author(s):

Erdal Demirhan ◽

Banu Demirhan

Keyword(s):

Exchange Rate ◽

Error Correction ◽

Exchange Rate Volatility ◽

Dynamic Effect ◽

Error Correction Model ◽

Impulse Response Functions ◽

Correction Model ◽

Long Run ◽

Export Volume ◽

Short Run

This paper aims to investigate the effect of exchange-rate stability on real export volume in Turkey, using monthly data for the period February 2001 to January 2010. The Johansen multivariate cointegration method and the parsimonious error-correction model are applied to determine long-run and short-run relationships between real export volume and its determinants. In this study, the conditional variance of the GARCH (1, 1) model is taken as a proxy for exchange-rate stability, and generalized impulse-response functions and variance-decomposition analyses are applied to analyze the dynamic effects of variables on real export volume. The empirical findings suggest that exchangerate stability has a significant positive effect on real export volume, both in the short and the long run.

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

Binus Business Review ◽

10.21512/bbr.v12i2.6570 ◽

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.

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Analysis of Indonesian Tax Revenue

AFEBI Economic and Finance Review ◽

10.47312/aefr.v1i01.15 ◽

2017 ◽

Vol 1 (01) ◽

pp. 71

Author(s):

Amalia Wijayanti ◽

Firmansyah Firmansyah

Keyword(s):

Exchange Rate ◽

Error Correction ◽

Government Spending ◽

Inflation Rate ◽

Correction Term ◽

Error Correction Model ◽

Tax Revenue ◽

Correction Model ◽

Long Run ◽

Short Run

This study analyzes the long-run and short-run effect of macroeconomic factors, such as real Gross Domestic Product (GDP), inflation rate, exchange rate and government spending on Indonesia’s tax revenue during 1976-2013, by utilizing the Error Correction Model (ECM). The finding of the study demontrates that in the long-run; the real GDP, exchange rate, and government spending affect Indonesia’s tax revenue, except the inflation rate. In short-run, Indonesia’s tax revenue statisically affected by government spending, while others variable do not influence Indonesia’s tax revenue. Error Correction Term (ECT) coefficient is 0.221, explains incompatibility tax revenue occur in long-run is corrected of 22 percent in one period. JEL Classification: E01, E20, H20 Keywords: Error Correction Model, Macroeconomic, Tax revenue

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Exchange rate and Export of Bangladesh: Does Marshall-Lerner condition holds?

ABC Research Alert ◽

10.18034/abcra.v10i1.588 ◽

2022 ◽

Vol 10 (1) ◽

pp. 09-16

Author(s):

Shovon Roy ◽

Jonaed

Keyword(s):

Exchange Rate ◽

Error Correction ◽

Granger Causality ◽

Granger Causality Test ◽

Error Correction Model ◽

Series Data ◽

Causality Test ◽

Correction Model ◽

Short Run ◽

The Exchange Rate

Export is expected to have a favorable impact on GDP growth, and the exchange rate is expected to have a major impact on export and thus export earnings. The relationship between exchange rate and export is a hotly debated topic in macroeconomics, and the goal of this research is to see if the Marshall-Lerner condition holds incase of Bangladesh that is if devaluation of domestic currency increase export earnings. Explanatory variables of the model in the study are the exchange rate, foreign income (WGDP), and domestic income (DGDP). Cointegration approaches; Error Correction model, Granger Causality test are used in this study to estimate the long and short-run impacts. With time series data from 1973Q3 to 2018Q2, we used the Error Correction Model and the Granger Causality Test. The findings of VECM support short-run exchange rate and export adjustments. The bidirectional causality between exchange rate and export is established using the Granger causality test.

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MODEL PERMINTAAN UANG DI INDONESIA DENGAN PENDEKATAN VECTOR ERROR CORRECTION MODEL

Quantitative Economics Journal ◽

10.24114/qej.v5i3.17486 ◽

2020 ◽

Vol 5 (3) ◽

Author(s):

Imam Mukhlis

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Error Correction ◽

Error Correction Model ◽

Vector Error Correction Model ◽

Demand For Money ◽

Correction Model ◽

Vector Error Correction ◽

Vector Error ◽

Long Run

This research aims to estimate the demand for money model in Indonesia for 2005.22015.12. The variables used in this research are demand for money, interest rate, inflation, and exchange rate (IDR/US$). The stationary test with ADF used to test unit root in the data. Cointegration test applied to estimate the long run relationship between variables. This research employed the Vector Error Correction Model (VECM) to estimate the money demand model in Indonesia. The results showed that all the data was stationer at the difference level (1%). There were long run relationship between interest rate, inflation and exchange rate to demand for money in Indonesia. The VECM model could not explain interaction between explanatory variables to independent variables. In the short run, there were not relationship between interest rate, inflation and exchange rate to demand for money in Indonesia for 2005.2-2015.12.

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U.S.-China Exchange Rate Negotiation: Stakeholders' Participation and Strategy Deployment

Business and Politics ◽

10.2202/1469-3569.1368 ◽

2011 ◽

Vol 13 (3) ◽

pp. 1-23 ◽

Cited By ~ 2

Author(s):

Emily Yixuan Cao ◽

Yong Cao ◽

Rashmi Prasad ◽

Zhengping Shen

Keyword(s):

United States ◽

Exchange Rate ◽

Exchange Rates ◽

Domestic Politics ◽

Historical Review ◽

The United States ◽

Negotiation Strategy ◽

Negotiation Strategies ◽

The Exchange Rate ◽

The U.S

Exchange rates influence a country's trading capability, foreign reserves and competitiveness. Recently, the exchange rate between the Chinese RMB and the U.S. dollar has been a contentious issue in both the United States and China. In this paper, we conduct a historical review of how the United States deployed negotiation strategies with China on the exchange rate issue and consider the degree to which it follows theoretical expectations. We then analyze the changing nature of the factors which shape exchange rate negotiations between the two nations in projecting alternative scenarios for the future of conflict resolution between the U.S. and China on this issue. We predict that the U.S. is likely to continue alternating between competition and collaboration, a negotiation cycle influenced by U.S. domestic politics, and China is less likely to continue with accommodation and compromise. The sequencing and timing of each nation's negotiation strategy will lead to widely divergent consequences for the management of exchange rates and the world economy.

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Evaluating the Persistence of j Curve Phenomenon in the Bilateral Trade between Bangladesh and USA: The ARDL Bounds Testing Approach and Granger Causality Analysis

International Journal of Economics and Financial Research ◽

10.32861/ijefr.72.74.81 ◽

2021 ◽

pp. 74-81

Author(s):

Subroto Dey ◽

Homamul Islam

Keyword(s):

Exchange Rate ◽

Error Correction ◽

Granger Causality ◽

Trade Balance ◽

Error Correction Model ◽

Correction Model ◽

Long Run ◽

J Curve ◽

The Usa ◽

Short Run

Most of the previously examined studies that investigated the repercussion of the trade balance to exchange rate mutation relied on the assumption that appreciation and depreciation behave symmetrically, recently several works have been conducted using the asymmetric analysis. In this work, we exhibited a model employing the disaggregated data (bilateral) of trade balance with the USA. In our pursuit, we endeavored to disclose a phenomenon of the J curve, is this pattern present in our trade balance and exchange rate bearing? In this article, first, we checked the stationary of data set and discovered the stationary employing the Augmented Dickey-Fuller test, Phillips Peron then applying the ARDL bounds test of cointegration apropos to find out the long run co integrated equations and last of all, tried to investigate the short-run and long-run relationship among the variables, while we used the ECM (error correction model). The Toda-Yamamoto Procedure for Granger Causality in a VAR framework has been applied to detect the causal direction. In our model, we have blazoned the negative short-run rapport between the exchange rate and trade balance in the bilateral data, whereas we have remarked a discrepant bearing in the long run and we did receive the evidence of the appearance of j pattern in the relationship between exchange rate and trade balance. Dispensing the error correction model, we found domestic higher price level hinders the trade balance in the short run, did not find any evidence of foreign income stimulate the export. Toda-Yamamoto Procedure for Granger Causality reveals the unidirectional causal effect from exchange rate to trade balance of Bangladesh with the USA.

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Effect of Price Determinants on World Cocoa Prices for Over the Last Three Decades: Error Correction Model (ECM) Approach

Pelita Perkebunan (a Coffee and Cocoa Research Journal) ◽

10.22302/iccri.jur.pelitaperkebunan.v29i3.15 ◽

2013 ◽

Vol 29 (3) ◽

Author(s):

Lya Aklimawati ◽

Teguh Wahyudi

Keyword(s):

Exchange Rate ◽

Gross Domestic Product ◽

Error Correction ◽

Error Correction Model ◽

Domestic Product ◽

Short Term ◽

Correction Model ◽

Significance Level ◽

Long Run ◽

Price Determinants

High volatility cocoa price movement is consequenced by imbalancing between power demand and power supply in commodity market. World economy expectation and market liberalization would lead to instability on cocoa prices in the international commerce. Dynamic prices moving erratically influence the benefit of market players, particularly producers. The aim of this research is (1) to estimate the empirical cocoa prices model for responding market dynamics and (2) analyze short-term and long-term effect of price determinants variables on cocoa prices. This research was carried out by analyzing annualdata from 1980 to 2011, based on secondary data. Error correction mechanism (ECM) approach was used to estimate the econometric model of cocoa price.The estimation results indicated that cocoa price was significantly affected by exchange rate IDR-USD, world gross domestic product, world inflation, worldcocoa production, world cocoa consumption, world cocoa stock and Robusta prices at varied significance level from 1 - 10%. All of these variables have a long run equilibrium relationship. In long run effect, world gross domestic product, world cocoa consumption and world cocoa stock were elastic (E >1), while other variables were inelastic (E <1). Variables that affecting cocoa pricesin short run equilibrium were exchange rate IDR-USD, world gross domestic product, world inflation, world cocoa consumption and world cocoa stock. The analysis results showed that world gross domestic product, world cocoa consumption and world cocoa stock were elastic (E >1) to cocoa prices in short-term. Whereas, the response of cocoa prices was inelastic to change of exchange rate IDR-USD and world inflation.Key words: Price determinants, cocoa, Error Correction Model, demand, supply, stock

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