scholarly journals An Overview of Methods for Testing Short- and Long-Run Equilibrium with Time Series Data: Cointegration and Error Correction Mechanism

2013 ◽  
Author(s):  
Ferdinand Niyimbanira
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Time Series Data ◽  
Series Data ◽  
Long Run ◽  
Error Correction Mechanism ◽  
Long Run Equilibrium

scholarly journals The Long-Run and Short-Run Impacts of Investment, Export, Money Supply, and Inflation on Economic Growth In Indonesia

2019 ◽  
Vol 22 (1) ◽  
Author(s):  
Erni Panca Kurniasih
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Error Correction ◽  
Money Supply ◽  
Time Series Data ◽  
Error Correction Model ◽  
Series Data ◽  
Correction Model ◽  
Long Run ◽  
Short Term Investment

ABSTRACTThe development of investment and exports in Indonesia shows an increase, as well as money supply, while the inflation rate shows a decline, but this is not always followed by increasing economic growth. This study aims to explain the relationship between investment, export, money supply and inflation with the economic growth in Indonesia. The data used was time series data from the first quarter in 2001 to the fourth quarter in 2014 and was analyzed using multiple regression models with Error Correction Model (ECM) and classical assumptions. The study findings show that in short-term investment, export, money supply and inflation are not significant to economic growth. In long-run, investment has negative and significant effect on the economic growth, while export, money supply and inflation have positive and significant effect on the economic growth in Indonesia. Bank Indonesia must applied a tight money policy consistently to achieve the long-term inflation target ABSTRAKPerkembangan investasi dan ekspor di Indonesia menunjukkan peningkatan, demikian pula jumlah uang beredar, sementara tingkat inflasi menunjukkan penurunan, namun hal tersebut tidak selalu diikuti dengan meningkatnya pertumbuhan ekonomi. Studi ini bertujuan untuk menjelaskan hubungan antara investasi, ekspor neto, jumlah uang beredar dan inflasi terhadap pertumbuhan ekonomi di Indonesia. Data yang digunakan adalah data time series dari kuartal pertama tahun 2001 hingga kuartal keempat tahun 2014 dan dianalisa dengan menggunakan model regresi berganda dengan Error Correction Model (ECM). Hasil studi menunjukkan  bahwa investasi, ekspor, jumlah uang beredar dan inflasi tidak signifikan terhadap pertumbuhan ekonomi di Indonesia dalam jangka pendek. Investasi berpengaruh negatif dan signifikan terhadap pertumbuhan ekonomi di Indonesia dalam jangka panjang, sedangkan ekspor , jumlah uang beredar dan inflasi berpengaruh positif dan  signifikan terhadap pertumbuhan ekonomi di Indonesia. Bank Indonesia harus menerapkan kebijakan moneter yang ketat secara konsisten pada pencapaian sasaran inflasi jangka menenngah 

An Econometric Analysis of Markets for Pulses: A Case Study of Green Gram

2020 ◽  
pp. 559-564
Keyword(s):  
Time Series ◽  
Tamil Nadu ◽  
Time Series Data ◽  
Price Volatility ◽  
Green Gram ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Adf Test ◽  
Long Run Equilibrium

Due to reduced crop area under pulses and ever-increasing domestic demand, India imports every year large chunks of a variety of pulses. The time series econometric analyses was used to estimate market integration, price transmission, and price volatility happening in the major domestic markets for one of the imported pulses namely green gram. The time-series data pertained to prices of a green gram for the major markets are sourced from 2006 to 2018 on a monthly frequency. Further, the vertical integration among the production and consumption markets were also studied using these analyses. In order to remove the non-stationarity element in the price series, the ADF test was used, which were non-stationary at levels but became stationary at the first difference. The price volatility prevailing in the green gram markets of India was estimated by GARCH (1,1) model revealed that all the markets were exhibiting consistent variability in market prices. Among these markets, there existed bi-directional causation which was confirmed by the Granger Causality test. The presence of three co-integration vectors for these markets proved the existence of a long-run equilibrium for green gram prices. Tamil Nadu market came under short-run equilibrium whereas remaining markets had long-run equilibrium estimated by VECM. Retail prices of Madurai market had bi-directional price influence with Tamil Nadu market. Hence it is suggested that better price discovery and timely market intelligence would be necessary to manage the price shocks occurring in the green gram markets in India.

scholarly journals Estimation of peach supply response in Colombia using a Vector Error Correction Model

ENTRAMADO ◽  
2021 ◽  
Vol 17 (1) ◽  
pp. 250-260
Author(s):  
Susan Elsa  Cancino ◽  
Giovanni Orlando Cancino-Escalante
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Time Series Data ◽  
Series Data ◽  
Correction Coefficient ◽  
Vector Error Correction ◽  
Supply Response ◽  
Vector Error ◽  
Long Run ◽  
Augmented Dickey Fuller

An empirical study of peach supply response to own-price and yield in Colombia using time series data from 2000 to 2018 was undertaken. A quantitative, correlational and non-experimental research design was selected and the Johansen´s co-integration as well as the vector error correction framework were employed. The Augmented Dickey-Fuller test showed that the time series were integrated of order one and the Johansen´s co-integration confirmed the existence of a long-term relationship between the variables. Moreover, the short and long run coefficients for own-price and yield were statistically significant and presented the expected signs, however, estimated own-price elasticity was below unit suggesting it is not an important factor in peach supply response. Furthermore, the vector error correction coefficient (-0.32) was negative and in line with theory, which showed that in the long-run, the model converges towards equilibrium, however at a relatively slow pace. Therefore, it can be concluded that, overall, the proposed model contributes to the understanding of the dynamics in peach output supply.

scholarly journals Analyzing The Macroeconomic and Fundamental Determinants of Non-Performing Financing of Bank Muamalat Indonesia

2020 ◽  
Vol 11 (1) ◽  
pp. 49-78
Author(s):  
Pungky Lela Saputri ◽  
Ratno Agriyanto ◽  
Mujiyono Abdillah
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Time Series Data ◽  
Error Correction Model ◽  
Capital Adequacy ◽  
Series Data ◽  
Islamic Banking ◽  
Correction Model ◽  
Long Run ◽  
Short Run

Abstract: This study analyzes the macroeconomic and fundamentals of Islamic banking factors towards the non-performing financing (NPF) of Bank Muamalat Indonesia in the long run and short-run period 2005-2018. The data used in this study are quarterly time-series data of Bank Muamalat Indonesia Financial Report as the source of fundamentals of Islamic banking data and Bank Indonesia Monetary Policy Review as the source of macroeconomic data period 2005 - 2018. The analytical method used is the Error Correction Model (ECM). This study shows that in the long run, inflation, central bank (Bank Indonesia/BI) Rate, and capital adequacy ratio (CAR) significantly affect the NPF; meanwhile, the financing to deposit (FDR) ratio does not affect NPF. In the short term context, only CAR has a significant effect, yet inflation, BI Rate, and FDR have no significant impact on NPF. Thus, the novelty can present the result of analysis of factors that affect NPF in the long run and short run. The limitation of the study is the use of time-series data that are very likely to spurious regression.Abstrak: Penelitian ini bertujuan untuk menganalisis pengaruh faktor makroekonomi dan fundamental perbankan syariah terhadap NPF Bank Muamalat Indonesia dalam jangka panjang dan jangka pendek periode 2005-2018. Data yang digunakan dalam penelitian ini yaitu data runtun waktu Laporan Keuangan Triwulan Bank Muamalat Indonesia sebagai sumber data fundamental perbankan syariah dan Tinjauan Kebijakan Moneter Bank Indonesia sebagai sumber data makroekonomi periode 2005 – 2018. Faktor makroekonomi diwujudkan dalam variabel Inflasi dan BI Rate. Faktor fundamental perbankan syariah diwujudkan dalam variabel CAR dan FDR. Alat analisis yang digunakan yaitu Error Correction Model (ECM). Hasil analisis menunjukkan dalam jangka panjang Inflasi, BI Rate, dan CAR dengan nilai signifikansi 0.0026, 0.0001, dan 0.0032 berpengaruh signifikan dan FDR dengan nilai signifikansi 0.6940 tidak berpengaruh signifikan terhadap NPF. Dalam jangka pendek hanya CAR dengan nilai signifikansi 0.0056 yang berpengaruh signifikan sedangkan Inflasi, BI Rate, dan FDR dengan nilai signifikansi 0.0666, 0.9532, and 0.2065 berpengaruh tidak signifikan terhadap NPF. Kebaharuan penelitian ini yaitu penelitian ini mampu menyajikan hasil analisis faktor-faktor yang mempengaruhi NPF dalam jangka panjang dan jangka pendek. Meski begitu, terdapat juga limitasi pada penelitian ini yaitu penggunaan data time series yang rawan terkena regresi lancung.

scholarly journals Political Stability and its Impact on Economic Growth of Pakistan (1988-2018): A Time Series Analysis

2020 ◽  
Vol 6 (1) ◽  
pp. 273-282
Author(s):  
Majid Hussain Phul ◽  
Muhammad Saleem Rahpoto ◽  
Ghulam Muhammad Mangnejo
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Time Series Data ◽  
Political Stability ◽  
Series Data ◽  
Explanatory Variables ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Positive Effect

This research paper empirically investigates the outcome of Political stability on economic growth (EG) of Pakistan for the period of 1988 to 2018. Political stability (PS), gross fixed capital formation (GFCF), total labor force (TLF) and Inflation (INF) are important explanatory variables. Whereas for model selection GDPr is used as the dependent variable. To check the stationary of time series data Augmented Dickey Fuller (ADF) unit root (UR) test has been used,  and whereas to find out the long run relationship among variables, OLS method has been used. The analysis the impact of PS on EG (EG) in the short run, VAR model has been used. The outcomes show that all the variables (PS, GFCF, TLF and INF) have a significantly positive effect on the EG of Pakistan in the long run period. But the effect of PS on GDP is smaller. Further, in this research we are trying to see the short run relationship between GDP and other explanatory variables. The outcomes show that PS does not have such effect on GDP in the short run analysis. While GFCF, TLF and INF have significantly positive effect on GDP of Pakistan in the short run period.

scholarly journals How applicable is export-led growth and import-led growth hypotheses to South African economy?

2015 ◽  
Vol 4 (2) ◽  
pp. 15-24
Author(s):  
Ntebogang Dinah Moroke ◽  
Molebogeng Manoto
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Adverse Effect ◽  
Time Series ◽  
South African ◽  
Time Series Data ◽  
Series Data ◽  
Long Run ◽  
Reserve Bank ◽  
Equilibrium Relationship

This paper investigated exports, imports and the economic growth nexus in the context of South Africa. The paper sets out to examine if long-run and causal relationships exist between these variables. Quarterly time series data ranging between 1998 and 2013 obtained from the South African Reserve Bank and Quantec databases was employed. Initial data analysis proved that the variables are integrated at their levels. The results further indicated that exports, imports and economic growth are co-integrated, confirming an existence of a long-run equilibrium relationship. Granger causal results were shown running from exports and imports to GDP and from imports to exports, validating export-led and import-led growth hypotheses in South Africa. A significant causality running from imports to exports, suggests that South Africa imported finished goods in excess. If this is not avoided, lots of problems could be caused. A suggestion was made to avoid such problematic issues as they may lead to replaced domestic output and displacement of employees. Another dreadful ramification may be an adverse effect on the economy which may further be experienced in the long-run.

Examining the Long Run Effects of Export, Import and FDI Inflows on the FDI Outflows from India: A Causality Analysis

2009 ◽  
Vol 10 (1) ◽  
pp. 65-88
Author(s):  
Nandita Dasgupta
Keyword(s):  
Time Series ◽  
Data Analysis ◽  
Driving Force ◽  
Time Series Data ◽  
Series Data ◽  
Causality Analysis ◽  
Fdi Inflows ◽  
Long Run ◽  
Time Series Data Analysis ◽  
Trade And Investment

The objective of this paper is to examine the effects of international trade and investment related macro economic variables, namely, exports, imports and FDI inflows on the outflows of FDI from India over 1970 through 2005. Using time series data analysis, the empirical part of the paper finds unidirectional Granger Causality from export and import to FDI outflows but no such causality exists from FDI inflows to the corresponding outflows from India. Results confirm the assumption that lagged imports and exports are a driving force of ing front.

On the Constancy of Hedonic Wine Price Coefficients over Time

2019 ◽  
Vol 14 (2) ◽  
pp. 182-207 ◽  
Author(s):  
Benoît Faye ◽  
Eric Le Fur
Keyword(s):  
Time Series ◽  
Literature Review ◽  
Time Series Data ◽  
Hedonic Model ◽  
Series Data ◽  
Extensive Literature ◽  
Long Run ◽  
The Stability ◽  
Over Time ◽  
Jel Classifications

AbstractThis article tests the stability of the main hedonic wine price coefficients over time. We draw on an extensive literature review to identify the most frequently used methodology and define a standard hedonic model. We estimate this model on monthly subsamples of a worldwide auction database of the most commonly exchanged fine wines. This provides, for each attribute, a monthly time series of hedonic coefficients time series data from 2003 to 2014. Using a multivariate autoregressive model, we then study the stability of these coefficients over time and test the existence of structural or cyclical changes related to fluctuations in general price levels. We find that most hedonic coefficients are variable and either exhibit structural or cyclical variations over time. These findings shed doubt on the relevance of both short- and long-run hedonic estimations. (JEL Classifications: C13, C22, D44, G11)

Asset Quality and Deposit Money Banks Performance in Nigeria

2019 ◽  
Vol 1 (1) ◽  
pp. 38-47
Author(s):  
Mbatabbey Joy Ogboru
Keyword(s):  
Time Series ◽  
Financial Stability ◽  
Deposit Insurance ◽  
Time Series Data ◽  
Annual Reports ◽  
Series Data ◽  
Bank Performance ◽  
Long Run ◽  
Short Run ◽  
Asset Quality

This study investigate the relationship between asset quality and deposit money banks performance in Nigeria over a period of 30 years ranging from 1986 to 2016, utilizing time series data collected from the Nigeria deposit insurance corporation annual reports and accounts, CBN financial stability report and CBN statistically bulletin for various years. The variables of study includes return on asset (ROA) proxy for Deposit Money Bank performance in Nigeria, ratio of non-performing loan to total loan (NPL), ratio of liquid assets to total assets (LAT) and ratio of liquid assets to short term liabilities (LAS) as measures of asset quality. The study utilizes both the descriptive and econometric techniques to analyze the time series data. The result shows that there is a short run relationship between asset quality and deposit money bank performance in Nigeria. Also, the co-integration result reveals the presence of a long run relationship between asset quality and deposit money bank performance in Nigeria while the granger causality result shows evidence of causality between asset quality and deposit money bank performance in Nigeria. Based on this we conclude by saying that maintaining sound assets quality position is critical to the long term performance, survival and sustainability of DMBs in Nigeria.

scholarly journals IMPACT OF TRADE ON ECONOMIC GROWTH OF PAKISTAN: AN ARDL TO CO-INTEGRATION APPROACH

2016 ◽  
Vol 55 (2) ◽  
pp. 47-58
Author(s):  
Nooreen Mujahid ◽  
Azeema Begum ◽  
Muhammad Noman
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Exchange Rate ◽  
Time Series Data ◽  
Policy Option ◽  
Stationary Time Series ◽  
Series Data ◽  
Long Run ◽  
Import And Export ◽  
The Relationship

This paper explores the relationship between export growth and economic growth in the case of Pakistan by employing time series data for the period 1971- 2013. This study has incorporated variables like GDP (Gross Domestic Product) exports, imports and Foreign Direct Investment (FDI). We have applied ARDL to co-integration and Error Correction Model (ECM). The study provides the evidence of stationary time series variables, the existence of the long - run relationship between them, and the result of ECM revealed short rum equilibrium adjustment. Pakistan has many options for enhancing the export of the country. There is a dire need to minimize trade barriers and restrictions such as import and export quotas. Government of Pakistan had introduced Structural Reforms for liberalization, privatization and de-regulation which will actually shifted the trend of trade at a significant level in the end of 1980s. Low levels of interest rate can help exportable industries in which investments are needed to promote and enhance the exports. Stable exchange rate is the first and the best policy option for increasing the export and managing the imports. There is a cause and effect relationship between exchange rate and FDI. Pakistan has to immediately find the policies and processes that support logistics and facilitates trade.

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