An Application of a Johansen Cointegration Test and a Vector Error Correction, (VEC) Model to Test the Granger Causality between General Government Revenues and General Government Total Expenditures in Greece

2018 ◽  
Author(s):  
Michel Guirguis
Keyword(s):  
Error Correction ◽  
Granger Causality ◽  
Cointegration Test ◽  
Vector Error Correction ◽  
Vector Error ◽  
Vec Model ◽  
General Government ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test

scholarly journals Poverty, Unemployment and Food Insecurity: Empirical Evidence from Nigeria

2021 ◽  
pp. 107-123
Author(s):  
Onime, Bright Enakhe ◽  
Stephen Tamuno
Keyword(s):  
Food Insecurity ◽  
Error Correction ◽  
Security Policy ◽  
Cointegration Test ◽  
Infrastructure Development ◽  
Vector Error Correction ◽  
Current Period ◽  
Vector Error ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test

The high incidence of poverty in Nigeria coupled with the alarming rate of unemployment has raised concerns among experts as to their likely relationship with food insecurity. This study examined the nexus between poverty, unemployment and food insecurity using the Johansen cointegration test and the vector error correction model. The result from the Johansen cointegration test suggests a long-run relationship between food insecurity, poverty and unemployment. Findings from the vector error correction analysis showed a positive but insignificant relationship between poverty and food insecurity such that a percentage change in poverty in the current period is associated with a 0.09 per cent increase in food insecurity on average, ceteris paribus. Besides, a positive and significant relationship subsists between unemployment and food insecurity where an increase in unemployment exacerbated the latter. Clearly, a 1 per cent deviation in the previous period unemployment level is associated with a 1.2 per cent degeneration of the food insecurity position in the short run. In the same vein, a 1 per cent change in unemployment in the current period causes a 1.5 per cent aggravation of food insecurity. Following the findings, this study recommends a multi sector-specific approach to solving the issue of poverty in Nigeria targeting agriculture and its employment generating capacity, creating the enabling environment through infrastructure development and improving the ease of doing business for the private sector to strive and enhance its employment generating capacities. The study concludes with a call for the implementation of a holistic food security policy targeting improvement in crop yield, internal security problems and the proper funding of agriculture to be effective.

scholarly journals Integrasi Indeks Saham Pada Bursa Negara Kawasan Asia Pasifik

2020 ◽  
Vol 4 (1) ◽  
pp. 30
Author(s):  
I Wayan Tresna Wira Sentana ◽  
I Gde Kajeng Baskara
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Asia Pacific ◽  
Cointegration Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test ◽  
Positive Correlation Coefficient

Financial liberalization that occur in many countries in the world will cause stock market in that countries are integrated. Asia Pacific stock markets are very potential for investors to investing their capital because the Asia Pacific stock markets are very potential to make maximum returns for the investors. The aim of this researches are to analyze integration that occur in the Asia Pacific stock markets and to know that Asia Pacific stock markets are suitable for investors to diversifying their portfolio. This research are using the closing price of the Asia Pacific stock markets from April 2011 – March 2019 using Johansen cointegration test and vector error correction model. The result shows that Asia Pacific stock markets are integrated shows with seven cointegrating values in Johansen cointegration test and investors cannot diversifying their portfolio in the Asia Pacific stock market because of positive correlation coefficient values from all of the variables

scholarly journals Government Expenditure and Economic Growth in South Africa: A Vector Error Correction Modelling and Granger Causality Test

2017 ◽  
Vol 9 (4) ◽  
pp. 164
Author(s):  
Kagiso Molefe ◽  
Ireen Choga
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Error Correction ◽  
Granger Causality ◽  
Time Series Data ◽  
Government Expenditure ◽  
Series Data ◽  
Vector Error Correction ◽  
Vector Error ◽  
The Relationship

Previous studies generally find mixed empirical evidence on the relationship between government spending and economic growth. This study re-examine the relationship between government expenditure and economic growth in South Africa for the period of 1990 to 2015 using the Vector Error Correction Model and Granger Causality techniques. The time series data included in the model were gross domestic Product (GDP), government expenditure, national savings, government debt and consumer price index or inflation. Results obtained from the analysis showed a negative long-run relationship between government expenditure and economic growth in South Africa. Furthermore, the estimate of the speed of adjustment coefficient found in this study has revealed that 49 per cent of the variation in GDP from its equilibrium level is corrected within of a year. Furthermore, the study discovered that the causality relationship run from economic growth to government expenditure. This implied that the Wagner’s law is applicable to South Africa since government expenditure is an effect rather than a cause of economic growth. The results presented in this study are similar to those in the literature and are also sustained by preceding studies.

scholarly journals Financial Development and Energy Consumption in Sub-Saharan Africa: Evidence From Panel Vector Error Correction Model

SAGE Open ◽  
2020 ◽  
Vol 10 (3) ◽  
pp. 215824402093543
Author(s):  
Chigozie Nelson Nkalu ◽  
Samuel Chinwero Ugwu ◽  
Fredrick O. Asogwa ◽  
Mwuese Patricia Kuma ◽  
Queen O. Onyeke
Keyword(s):  
Energy Consumption ◽  
Error Correction ◽  
Granger Causality ◽  
Financial Development ◽  
Sub Saharan Africa ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Sub Saharan

This study examines the nexus between financial development and energy consumption/use in Sub-Saharan Africa (SSA) using a panel vector error correction model (VECM), cointegration, and Granger causality tests over the period ranging from 1975 to 2017. The annual panel time-series data generated from the World Bank database were tested for unit-roots processing using both the Levin–Lin–Chu and Im–Pesaran–Shin before proceeding to Johanson cointegration technique, the results of which motivated the choice of adopting the panel VECM rather than panel vector autoregression in the methodology. From the estimation result especially on the variables of interest, there exists a positive and statistically significant relationship between financial development and energy consumption in the long run, but not statistically significant in the short run. Further findings from the panel Granger causality test shows a unidirectional causality running from financial development to energy consumption, gross domestic product per capita, population growth to urbanization with no feedback. Among a series of policy recommendations, the monetary authorities in Sub-Saharan African countries should ensure optimal utilization of financial instruments and technologies available in the system to enhance more robust financial development to boost efficiency in energy consumption in the region in line with the sustainable growth theory.

scholarly journals Does Trade Openness Reduce Inflation? Empirical Evidence from Pakistan

2010 ◽  
Vol 15 (2) ◽  
pp. 35-50 ◽  
Author(s):  
Tahir MukhtarF
Keyword(s):  
Error Correction ◽  
Trade Liberalization ◽  
Trade Openness ◽  
Cointegration Test ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Multivariate Cointegration

One of the more celebrated propositions found in international trade is the case that trade liberalization is associated with declining prices, so that protectionism is inflationary. In line with this view, Romer (1993) postulates the hypothesis that inflation is lower in small and open economies. The objective of this study is to examine Romer’s hypothesis in Pakistan. For this purpose, we have used multivariate cointegration and a vector error correction model. The study covers the period from 1960 to 2007. The empirical findings under the cointegration test show that there is a significant negative long-run relationship between inflation and trade openness, which confirms the existence of Romer’s hypothesis in Pakistan.

scholarly journals Εκπαίδευση, χρηματοοικονομικές δαπάνες και οικονομική ανάπτυξη

2019 ◽  
Author(s):  
Γεώργιος Γαράφας
Keyword(s):  
Error Correction ◽  
Vector Error Correction ◽  
Vector Error ◽  
Vec Model ◽  
Penn World Table

Στην παρούσα διατριβή διερευνάται η σχέση ανάμεσα στην εκπαίδευση και την οικονομική ανάπτυξη, στην περίπτωση της Ελλάδας μεταπολεμικά (1950-2009). Η εκπαίδευση προσεγγίζεται μέσα από τις δημόσιες εκπαιδευτικές δαπάνες, τα ποσοστά των εγγεγραμμένων και τα μέσα έτη εκπαίδευσης, και η οικονομική ανάπτυξη μέσα από μία σειρά από θεμελιώδεις μακροοικονομικές μεταβλητές. Για το σκοπό αυτό παρουσιάζεται αναλυτικά η πορεία ενός πλήθους χρονολογικών σειρών που αφορά: εκπαιδευτικές μεταβλητές, χρηματοοικονομικές δαπάνες, παραχθέν προϊόν, πληθυσμιακά δεδομένα, πηγές χρηματοδότησης και δείκτες αξιολόγησης της εκπαίδευσης. Ο κύριος όγκος των δεδομένων συλλέχτηκε από τις εκδόσεις των Στατιστικών της Εκπαίδευσης, των Στατιστικών Επετηρίδων και τους Εθνικούς Λογαριασμούς της ΕΛΣΤΑΤ, καθώς και από τη βάση δεδομένων Penn World Table 9.0 (Feenstra, Inklaar, and Trimmer, 2015). Στην εμπειρική ανάλυση χρησιμοποιώντας την προσέγγιση των Johansen (1988) και Johansen and Juselius (1990) και εφαρμόζοντας ένα Διανυσματικό Υπόδειγμα Διόρθωσης Σφαλμάτων (Vector Error Correction, VEC model), επιδιώκεται να ελεγχθεί η σχέση ανάμεσα στην εκπαίδευση και στο παραγόμενο προϊόν. Τα αποτελέσματα της εμπειρικής ανάλυσης, υποδεικνύουν την ύπαρξη μακροχρόνιας σχέσης συνολοκλήρωσης ανάμεσα στην εκπαίδευση και στο πραγματικό ΑΕΠ. Επίσης, εφαρμόζοντας την προσέγγιση των Toda – Yamamoto (1995) διαπιστώνεται ότι το ανθρώπινο κεφάλαιο αιτιάζει κατά Granger την οικονομική ανάπτυξη, χωρίς να διαπιστώνεται αντίστροφη σχέση αιτιότητας.

scholarly journals ANALISIS PENGARUH INDEKS HARGA KONSUMEN, JUMLAH UANG BEREDAR (M1), KURS RUPIAH, DAN INDEKS S&P 500 TERHADAP INDEKS HARGA SAHAM GABUNGAN: STUDI EMPIRIS PADA BURSA EFEK INDONESIA

2014 ◽  
Vol 3 (2) ◽  
Author(s):  
Heriyanto Heriyanto ◽  
Ming Chen
Keyword(s):  
Error Correction ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Spurious Regression ◽  
Vector Error

Penelitian ini bertujuan untuk menguji hubungan keseimbangan jangka panjang antara variabel makroekonomi (yang diproksi dengan variabel indeks harga konsumen, jumlah uang beredar, kurs rupiah terhadap dollar, dan Indeks S&P 500) dengan indeks harga saham gabungan (IHSG). Data bulanan variabel makroekonomi dan IHSG selama periode Januari 2005 – Desember 2013 digunakan untuk pengujian hubungan keseimbangan jangka panjang. Data penelitian dikumpulkan dengan metode dokumentasi yang terdiri dari variabel indeks harga konsumen, jumlah uang beredar, kurs rupiah terhadap dollar, Indeks S&P 500, dan IHSG. Setelah data dikumpulkan, data selanjutnya akan dianalisis dengan menggunakan analisis regresi berganda. Analisis pengujian residual (dari model regresi berganda) dengan pendekatan Granger Residual Test digunakan untuk memastikan tidak terjadi spurious regression (regresi palsu). Selanjutnya, analisis data dengan pengujian Johannsen Cointegration Test digunakan untuk menguji keberadaan hubungan keseimbangan jangka panjang antara variabel makroekonomi dan IHSG. Tahap akhir analisis data dilakukan dengan pengujian vector error correction model (VECM) dan Granger Causality Test yang bertujuan untuk menguji kemungkinan adanya hubungan biderectional (dua arah) antara variabel makroekonomi dan IHSG. Hasil pengujian menggunakan analisis regresi berganda menunjukkan bahwa variabel kurs rupiah terhadap dollar dan Indeks S&P 500 berpengaruh signifikan terhadap pergerakan indeks harga saham gabungan, sedangkan variabel indeks harga konsumen dan jumlah uang beredar tidak berpengaruh signifikan. Hasil pengujian dengan menggunakan Granger Residual Test menunjukkan bahwa tidak terdapat spurious regression. Sementara itu, hasil pengujian dengan menggunakan Johannsen Cointegration Test menunjukkan bahwa terdapat hubungan keseimbangan jangka panjang antara variabel makroekonomi dan IHSG. Terkait dengan kemungkinan adanya hubungan biderectional antara variabel makroekonomi dan IHSG, hasil pengujian dengan menggunakan Vector Error Correction Model (VECM) dan Granger Causality Test menunjukkan bahwa hubungan antara variabel makroekonomi dan IHSG adalah hubungan satu arah. Kata Kunci: spurious regression, granger residual test, granger causality test, vector error correction model.

scholarly journals ANALISIS PENGARUH SUKU BUNGA, PENDAPATAN NASIONAL DAN INFLASI TERHADAP NILAI TUKAR NOMINAL : PENDEKATAN DENGAN COINTEGRATION DAN ERROR CORRECTION MODEL (ECM)

2017 ◽  
Vol 4 (1) ◽  
Author(s):  
Roosaleh Laksono T.Y.
Keyword(s):  
Error Correction ◽  
Correction Term ◽  
Error Correction Model ◽  
Cointegration Test ◽  
Maximum Eigenvalue ◽  
Correction Model ◽  
Error Correction Term ◽  
Johansen Cointegration ◽  
Eigenvalue Statistic ◽  
Johansen Cointegration Test

Abstrak. Penelitian  ini  bertujuan  untuk  menganalisa  pengaruh  Suku  bunga,  inflasi, dan Pendapatan Nasional terhadap nilai tukar rupiah terhadap dollar baik hubungan keseimbangan jangka panjang maupun keseimbangan jangka pendek data empiris  tahun 1980-2015 (36 tahun) dengan menggunakan data sekunder. Metode  penelitian  yang  digunakan adalah regresi linier berganda  metoda OLS. Metoda penelitian ini menggunakan mendekatan dengan cointegration dan error correction model (ECM) dengan sebelumnya melallui beberapa tahapan pengujian statistic lainnya. Hasil dalam penelitian dengan cointegration (Johansen Cointegration test)   menunjukkan bahwa semua variable bebas (inflasi, pendapatan nasional dan suku bunga)  dan variable tak bebas (nilai tukar) telah terjadi hubungan keseimbangan (equilibrium) dalam jangka panjang, hal ini dibuktikan dengan hasil uji tersebut dimana nilai trace statistic sebesar 102.1727 jauh lebih besar dari nilai kritis (5%)  sebesar 47.85613.  Selain itu pula  hasil dari Maximum Eigenvalue Statistic yaitu dengan hasil sebesar 36,7908 lebih besar dari nilai kritis 5%. Sebesar 27,584434. Sementara hasil dari uji koreksi kesalahan model (ECM) bahwa hanya variable inflasi, suku bunga dan residual yang signifikan, sementara variable pendapatan nasional tidak signifikan. Hal ini yang berarti bahwa variable inflasi dan suku bungan mempunyai hubungan jangka pendek terhadap nilai tukar, hal ini terlihat dari nilai Probabilitas (Prob.) masing- masing variable dibawan 0,05 (5%), selain itu koefisien residual pada hasil uji ECM adalah -0,732447, hal ini menunjukan bahwa koreksi kesalah (error correction term) adalah sebesar 73,24% dan significant. 

Assessing Financial Integration of BRICS Equity Markets: An Empirical Analysis

2017 ◽  
Vol 3 (2) ◽  
pp. 127-138 ◽  
Author(s):  
J. Vineesh Prakash ◽  
D. K. Nauriyal ◽  
Sandeep Kaur
Keyword(s):  
South Africa ◽  
Granger Causality ◽  
Financial Integration ◽  
Equity Markets ◽  
Granger Causality Test ◽  
Causality Test ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Johansen Cointegration Test

This article examines the degree of financial integration among the equity markets of Brazil, Russia, India, China, and South Africa (BRICS) by using monthly data collected for the period 2005–2014. The study employs Johansen cointegration test, vector error correction model (VECM), and Granger causality test which confirm the existence of relationship in the short and long run among the equity markets of BRICS. Further results exhibit that there exists cointegration or a long-run relationship among the equity markets, but weak cointegration, though the results of Granger causality test do not display existence of any causality among market pairs such as China–Brazil, Russia–Brazil, South Africa–Brazil, Russia–China, and South Africa–India. The results indicate that even though the financial integration among the equity markets of BRICS is on ascendance, it is yet incomplete. This work suggests harmonization of laws, regulations, and operations based on international principles and appropriate regulatory supervision among BRICS nations in order to minimize the risk of financial integration, besides further relaxing restrictions on capital account for expedited financial integration.

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