A Study of the Impact between the Macroeconomic Variables and the Brazilian Stock Exchange Index Through the Vector Autoregression and the Vector Error Correction

2013 ◽  
Author(s):  
Rubens Paes Arruda Filho ◽  
Fabiano Guasti Lima ◽  
Tabajara Pimenta JJnior ◽  
Anttnio Carlos Silva Filho
Keyword(s):  
Error Correction ◽  
Vector Autoregression ◽  
Stock Exchange ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
The Impact

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 The impact of bank-specific and macroeconomic variables on profitability of Islamic rural bank in Indonesia

2019 ◽  
Vol 5 (3) ◽  
Author(s):  
Muhammad Sanusi
Keyword(s):  
Banking Sector ◽  
Time Series Data ◽  
Series Data ◽  
Estimation Model ◽  
Policy Makers ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
The Impact

This paper investigates the impact of bank-specific and macroeconomic variables on the profitability of Islamic rural bank (BPRS) in Indonesia. Using monthly time series data from January 2010 - December 2018. The estimation model used is a vector error correction model to analyze the long-term and short-term relationships between bank-specific and macroeconomic variables on the profitability of Islamic rural bank. The results showed that CAR and LnTA had a significant positive relationship, while NPF, BOPO and IPI had a negative and significant relationship to the profitability of Islamic rural banks. But FDR and Inflation variables are not significantly related to the profitability of Islamic rural bank. The results leave implications for policy makers, investors and banking sector managers. Based on evidence that bank profitability is more influenced by internal banks (as specific as banks), this research can help Islamic rural banks to help them understand which factors are important to be analyzed to obtain higher profitability.

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 IDENTIFIKASI DAMPAK LIBERALISASI KEUANGAN DALAM SMALL OPEN ECONOMY: STUDI KASUS DI INDONESIA

2018 ◽  
Vol 1 (1) ◽  
pp. 1-7
Author(s):  
Ryan Juminta Anward
Keyword(s):  
Error Correction ◽  
Open Economy ◽  
Vector Autoregression ◽  
Small Open Economy ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

Abstrak- Adanya pandangan bahwa liberalisasi keuangan berperan penting dalam mendorong pertumbuhan ekonomi menyebabkan banyak negara-negara berkembang melakukan serangkaian kebijakan liberalisasi di sektor keuangan. Penelitian ini bertujuan untuk mengidentifikasi secara empiris dampak liberalisasi keuangan terhadap pertumbuhan ekonomi dan variabel makro ekonomi lainnya di Indonesia. Penelitian ini mengembangkan model empiris melalui pengukuran liberalisasi keuangan secara de fakto dan de jure. Hasil estimasi model Vector Autoregression (VAR) dalam pendekatan de jure menunjukkan bahwa indeks liberalisasi keuangan secara statistik tidak berpengaruh siginifikan terhadap pertumbuhan ekonomi dan variabel makro lainnya (inflasi, nilai tukar dan suku bunga). Dalam pendekatan de facto, hasil pengujian kointegrasi menunjukkan adanya hubungan jangka panjang antara pertumbuhan ekonomi dan seluruh indikator yang digunakan sebagai proksi liberalisasi keuangan. Hasil estimasi pada pendekatan de facto melalui model Vector Error Corrrection Model (VECM) mengindikasikan bahwa liberalisasi keuangan memberikan efek negatif terhadap pertumbuhan ekonomi melalui peningkatan kredit perbankan terhadap sektor swasta. Secara keseluruhan hasil penelitian ini tidak dapat menemukan bukti kuat terkait adanya dampak positif liberalisasi keuangan terhadap pertumbuhan ekonomi dalam small open economy seperti di Indonesia. Kata kunci : liberalisasi keuangan, pertumbuhan ekonomi, small open economy, vector autoregression (VAR), vector error correction model (VECM)

scholarly journals IDENTIFIKASI BANJIR IMPOR KENTANG DAN DAMPAKNYA TERHADAP HARGA DOMESTIK KENTANG DI INDONESIA

2018 ◽  
Vol 2 (2) ◽  
pp. 156-175
Author(s):  
Hadiwiyono Hadiwiyono ◽  
Muhammad Firdaus ◽  
Lukytawati Anggraeni
Keyword(s):  
Error Correction ◽  
Function Analysis ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Domestic Price ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Safeguard Mechanism ◽  
The Impact

Indonesia needed to be cautious of import surge since it has potential to influence import value and price in the era of trade globalization. The main purpose of this reasearch was to examine whether import surge occurred for horticulture commodities in Indonesia, especially for potato. The methods used for identifying occurrence of import surge was based on Special Safeguard Mechanism framework of World Trade Organization which will strengthened with Vector Error Correction Model to analyse the impact of import surge to domestic prices. Based on Special Safeguard Mechanism framework, volume-based Special Safeguard Mechanism triggered in almost all year during 2002-2012 but price-based Special Safeguard Mechanism is not triggered in those years. Based on Impuls Response Function analysis, the impact of import surge shock to domestic price was relatively low but occurred permanently. Based on Forecast Error Variance Decomposition analysis, import surge variables contributed slightly to the domestic price variability but it tend to increased as time. Keywords: Horticulture, Potato, Special Safeguard Mechanism, Import Surge, Vector Error Correction Model

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