Study on the Causality Nexus between Macroeconomic Variables Using Vector Error Correction Modeling

2019 ◽  
Author(s):  
Shailender Singh ◽  
Hawati Janor
Keyword(s):  
Error Correction ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
Error Correction Modeling

scholarly journals Test FOR Dynamic Relationship between Financial Development and Economic Growth in Malaysia: A Vector Error Correction Modeling Approach

2007 ◽  
Vol 9 (1) ◽  
pp. 61 ◽  
Author(s):  
Rosilawati Amiruddin ◽  
Abu Hassan Shaari Mohd Nor ◽  
Ismadi Ismail
Keyword(s):  
Economic Growth ◽  
Error Correction ◽  
Financial Development ◽  
Impulse Response Function ◽  
Vector Autoregressive ◽  
Vector Error Correction ◽  
Dynamic Relationship ◽  
Vector Error ◽  
Error Correction Modeling

This paper purports to study the effectiveness of financial development to Malaysian economic growth utilizing quarterly data. In view of the priority given to dynamic relationship in conducting this study, Vector Autoregressive (VAR) method which encompasses Johansen-Juselius’ Multivariate cointegration, Vector Error Correction Model (VECM), Impulse Response Function (IRF), and Variance Decomposition (VDC) are used as empirical evidence. The result reveals a short-term and long-term dynamic relationship between financial development and economic growth. The importance of financial sector in influencing the economic activity is proven as a clear policy implication.

scholarly journals Relationship between sectoral exports and economic growth - A vector error correction modeling for Vietnamese fishery sector 1997 – 2008

2020 ◽  
Vol 1 (1) ◽  
Author(s):  
Nguyen Minh Duc ◽  
Nguyen Anh Tram
Keyword(s):  
Economic Growth ◽  
Error Correction ◽  
Reverse Direction ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
The One ◽  
Vector Error Correction Models ◽  
Error Correction Modeling ◽  
Econometric Approach

Numerous literatures have documented the relationship between exports and economic growth of a nation but not so many on the one between exports of an economic sector and national growth. This paper examines the latter relationship with evidence from fishery exports of Vietnam during 1997 to 2008. The contribution of fishery sector in Vietnamese Gross Domestic Products (GDP) may be mathematically calculated with statistical figures. However, the effects of fishery exports on the economic growth are yet to be thoroughly studied in an econometric approach. An econometric approach with stationary and co-integration tests and vector error correction models used in this study allows forecasting a persistence of the effects of fishery exports on Vietnamese GDP despite of different seasonal business. For the long run estimation, a double increase in national fishery exports revenue would raise the GDP by 7%. This has a great economic meaning in developing process of Vietnamese economy. In reverse direction, Vietnamese fishery exports would increase by 5.2% with a 10% increase in its GDP. Confirming the role of fishery exports in national economic growth, it is necessary for the sector to improve its competitive capacity.

scholarly journals Household Debt and the Rise of Financial Fragility in the Tunisian Context

2015 ◽  
Vol 8 (1) ◽  
pp. 58
Author(s):  
Lobna Abid ◽  
Med Nejib Ouertani ◽  
Sonia Zouari-Ghorbel
Keyword(s):  
Panel Data ◽  
Error Correction ◽  
Data Modeling ◽  
Financial Fragility ◽  
Household Debt ◽  
Financial Vulnerability ◽  
Macroeconomic Shocks ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error

This paper aims at studying the financial vulnerability of the Tunisian household and the extent to which indebtedness is associated with increased “financial fragility”, as measured by the household arrears’ sensitivity to macroeconomic shocks. In addition, the paper tries to examine whether financial fragility is actually affected by macroeconomic variables. These issues are investigated by applying panel data modeling and vector-error correction mechanisms for household arrears. Overall, the analysis shows the importance of macroeconomic data in determining the household’s financial fragility.

An Empirical Analysis on Association Between Selected Macroeconomic Variables and Stock Market in the Context of BSE

2018 ◽  
Vol 66 (1-2) ◽  
pp. 170-189 ◽  
Author(s):  
Sarika Keswani ◽  
Bharti Wadhwa
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Stock Returns ◽  
Stock Price ◽  
Inflation Rate ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error

The role of macroeconomic variables cannot be ignored because it plays a very important role in shaping the economy of any country, irrespective of whether it is developing, underdeveloped or developed. The macroeconomic variables were disposable income (DI), government policies (GP), inflation rate (INF), interest rate (IR), exchange rate (ER) and stock price. Monthly data of 10 years were used, that is, from April 2006 to March 2016. Analyses of augmented Dickey–Fuller test, preliminary tests, stability tests, cointegration, vector error correction model (VECM) variance decomposition analysis (VDA) and impulse response have been applied to examine the association between the selected macroeconomic variable and stock returns. All the variables are stationary at 1st difference. The results showed that the residues are normally distributed and that there is no problem of multicollinearity, heteroskedasticity and serial correlation. The results of the cointegration showed a strong long-term relationship among DI, GP, the inflation rate, the exchange rate and the IR on the stock price in Bombay Stock Exchange of India. Results of vector error correction model revealed that in the short run, there was a negative and significant relationship between inflation rate and stock returns; therefore, it can be implied that an increase in the inflation rate eroded the prospect of positive performance among the Sensex but was not significant. JEL Classification: E, E01

Sign in / Sign up

Export Citation Format

Share Document