Macroeconomic Stress-Testing of Mortgage Default Rate Using a Vector Error Correction Model and Entropy Pooling

2016 ◽  
Author(s):  
David Ardia ◽  
Anas Guerrouaz ◽  
Jeanne Rey
Keyword(s):  
Error Correction ◽  
Stress Testing ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Mortgage Default ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Default Rate

scholarly journals PENGARUH PERTUMBUHAN PDB DAN INFLASI TERHADAP PERTUMBUHAN PERBANKAN SYARIAH DI INDONESIA PERIODE TAHUN 2013-2015

2020 ◽  
Vol 6 (4) ◽  
pp. 763
Author(s):  
Amri Ahmadi ◽  
Sri Herianingrum
Keyword(s):  
Gross Domestic Product ◽  
Error Correction ◽  
Error Correction Model ◽  
Third Party ◽  
Islamic Banking ◽  
Vector Error Correction Model ◽  
Gdp Growth ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

This research used a quantitative approach, and the aim of research was to find out the estimation, the magnitude of the GDP growth influenced, and the inflation on the growth of Islamic banking in Indonesia. In this research used the VECM (Vector Error Correction Model) with method focused by testing hypotheses.The results showed that GDP variable and Inflation variable was influenced significantly and positively on profits and DPK.Keyword: Gross Domestic Product, inflation, profit, third party funds, VECM.

scholarly journals Relationship between Trade Openness and Inflation: Empirical Evidences from Pakistan (1976-2010).

2011 ◽  
Vol 50 (4II) ◽  
pp. 853-876 ◽  
Author(s):  
Sehar Munir ◽  
Adiqa Kausar Kiani
Keyword(s):  
Error Correction ◽  
Trade Openness ◽  
Value Added ◽  
Error Correction Model ◽  
Series Data ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Unit Root Testing ◽  
Vector Error

This study empirically verifies the existence of significant relationship between inflation and trade openness for Pakistan using annual time-series data for the period of 1976 to 2010. The basic objective of this study is to examine the Romer‘s hypothesis for Pakistan with real agriculture value added, real exchange rate, real gross domestic product, financial market openness, money and quasi money and used trade openness, import openness and export openness ratios separately as explanatory variables with inflation rate as dependent variables. For this purpose, we have used multivariate Johansen (1998) and Johansen and Juselius (1990) Maximum Likelihood Cointegration Approach and a Vector Error Correction Model (VECM) and the expected empirical findings shows that there is a significant positive long-run relationship between inflation and trade openness, which rejects the existence of Romer‘s hypothesis for Pakistan. JEL classification: B26, E31, P24, P44 Keywords: Trade Openness, Inflation, Unit Root Testing, Multivariate Cointegration Approach, Vector Error Correction Model, Pakistan

scholarly journals ANALISIS HUBUNGAN VARIABEL MONETER DI INDONESIA SEBELUM DAN SESUDAH PENERAPAN KEBIJAKAN INFLATION TARGETING FRAMEWORK (ITF) PERIODE (1991.1-2010.4)

2017 ◽  
Vol 27 (1) ◽  
pp. 1
Author(s):  
Dhaniar Aji Anggoro
Keyword(s):  
Error Correction ◽  
Inflation Targeting ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

Penelitian ini dilakukan untuk meneliti hubungan variabel moneter di Indonesia sebelum dan sesudah penerapan inflation targeting framework (ITF) yang terbagi dalam dua periode yaitu 1991.1-2000.4 dan 2001.1-2010.4. Tulisan ini secara khusus meneliti hubungan masing-masing variabel yaitu nilai tukar, tingkat suku bunga dan M2 terhadap inflasi pada kedua periode dengan menggunakan model vector error correction model (VECM), hasil dari penelitian ini menunjukkan bahwa adanya respon yang berbeda oleh inflasi terhadap masing-masing variabel sebelum dan sesudah penerapan ITF dimana respon terhadap nilai tukar cenderung positif sebelum penerapan ITF dan memiliki kontribusi shock yang besar berbeda dengan sesudah penerapan ITF dimana kontribusi shock terhadap inflasi jauh lebih kecil,sedangkan  pada variabel tingkat suku bunga respon inflasi cenderung berfluktuasi sebelum penerapan ITF dan cenderung negatif setelah penerapan ITF dan kontribusi shock terhadap inflasi jauh lebih besar dibandingkan dengan variabel yang lain.Kata kunci:Kebijakan Moneter Indonesia, Inflation Targeting Framework (ITF), Vector Error Correction Model (VECM),M2,Tingkat Suka Bunga, Nilai Tukar.

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