Error Correction Model Research Papers (original) (raw)

2025

The striving for sustainable development has become the goal of actions undertaken not only by representatives of public authorities and institutions representing this sector, but also representatives of private entities who are increasingly recognizing the benefits and sources of long-term development based on the principles and objectives of sustainable development. These are mainly based on the pursuit of synergy in the three basic areas of activities, i.e., in the economic, social, and environmental dimensions as well as in the maintenance of natural resources. The implementation of these activities is connected with the necessity of incurring financial expenditures, which the government (public sector) does not have in the required value. Therefore, in the process of sustainable development for which the government is responsible, the active participation of the financial sector (banks) is necessary. Achieving results within the alliance of the concept of sustainable developmen...

2025, International journal of advanced economics

Trade liberalization and its effect on unemployment have, over the years, attracted greater research and attention from many researchers, given the attendant negative effects it has on the growth of an economy. The study investigated trade liberalization's impact on Nigeria's unemployment from 1981 to 2022. The study divided trade liberalization into exports trade and imports trade. The study employs the Ordinary Lease Square. The study conducted for descriptive statistics tested for unit root where most of the variables like export trade, import trade, real gross domestic product, unemployment, and exchange rate are stationary at first difference I(1), while inflation and foreign direct investment were stationary at level I(0). The study uses to co-integration test to confirm the long-run relationship between trade liberalization (export trade and import trade) and unemployment, and the result shows that there exists a long-run relationship. The result reveals that trade liberalization (both export trade and import trade) has a negative and significant relationship with unemployment in Nigeria; it

2025, TRIKONOMIKA

The short-term and long-term effects of ROI, EPS, PER Inflation, SBI, Exchange Rate, and GDP on the stock price are the focus of this study. The study's data came from company financial statements, including the Indonesian Stock Exchange Index LQ45. The stationarity test, the classical assumptions test, the cointegration test, and the error correction model test was utilized in this study's statistical analysis. KURS and SBI had a positive effect on stock prices in the short term, but there is no effect in the long term, and inflation and GDP do not affect the stock price both in the short term and in the long term, according to this study. As a result, investors and businesses can use this study's contribution as a point of reference when considering factors that have a short-term and long-term impact on stock prices.

2025, International Monetary Fund eBooks

This paper examines the extent to which there has been convergence in real per capita incomes across developing countries during the last two decades. In the analysis particular emphasis is placed on the separate roles played by private and public sector investment in determining both the extent and the speed of convergence. The paper also considers the importance of the stock of human capital, trade orientation, and foreign direct investment in the long-run growth process. Empirical tests are carried out for a large sample of 95 developing countries over the period 1970-90. The results provide support for the notion of differential effects of public and private investment on long-term growth, as well as for the convergence hypothesis.

2025

This study applies the two-stage least squares (2SLS) method of the simultaneous equation model to investigate the effect of foreign direct investment on economic growth in Nigeria from 1994 to 2024. The results of the study showed that, as a result of insufficient FDI flow into the Nigerian economy, there was a negative association between economic growth as measured by GDP and FDI. Therefore, it is advised that Nigeria promote domestic investment to boost economic growth rather than depending solely on foreign direct investment (FDI) as a prime mover. Additionally, a code of conduct for FDI should be developed to stop multinational corporations' restrictive business practices and restrict their ability to repatriate profits from Nigeria.

2025

In the 1970, however, the engine of growth faltered, the growth rate felt and the distribution of income stopped becoming less unequal; as a result ,real income of some families remain constant and felt for some others, (Romer & Weil, 1992 p.8). Abstract: This work has been done on the effect of investment, external aid on economic growth of Rwanda within a period of 2000 up to 2015. The general objective of this study was to analyze econometrically the effect of investment and external aid on economic growth in Rwanda This study contains the following specific objectives: To analyze the trends of investment, external aid and economic growth in Rwanda, to find the relationships between investment, external aid and economic growth in Rwanda. The following hypotheses have been formulated: The investment and external aid have the same tendency in Rwanda, the investment and external aid have the same effect on economic growth in Rwanda. To make the research richer and understandable, qu...

2025, دراسات في الاقتصاد والتجارة

The main purpose of the paper is to investigate the relationship between the exports and economic growth in Libya by examining the export-led growth (ELG) hypothesis using annual data for the period 1970-2010, Real non-oil GDP was used as a dependent variable, exports and imports, total capital accumulation and the terms of trade as independent variables. The unit root tests of Dickey Fuller and Phillips-Peron were used to test the stability of the variables, and the cointegration approach of the Autoregressive Distributed Lag through the ARDL method was used to estimate the model. The results of unit root tests showed that all variables are constant in their levels (0)I, except for the terms of trade, it was stable in its first difference (1)I. Whereas, the cointegration test confirmed a long-run, equilibrium relationship between variables. The error correction model was applied to estimate the short-run relationship and the results showed that the error correction term has a negative sign, its value is very high, and statistically, it is about -0.98, which states that 98% of the disequilibrium in the current year is corrected in the next year in each shock. Granger's causality test showed that there is a one-way relationship between exports and economic growth going from output to exports. Accordingly, the results of the study support the hypothesis that growth leads exports rather than exports driving growth in Libya.

2025, HCMCOUJS - ECONOMICS AND BUSINESS ADMINISTRATION

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 ...

2025, Journal of Risk and Financial Management

Considering market-based inflation expectations, we show that investors’ forecasts are non-linear. We capture this non-linear behavior with a Markov-switching model that allows us to identify a regime of high uncertainty, and a regime of low uncertainty and low concern about inflation. Using a complete cross-asset panel of equity sectors, bonds, and commodities, we perform regressions in both regimes including several control variables, and show that the exposure of European assets returns to implied inflation is regime-dependent. We show that inflation-indexed government bonds and oil are the best way to get exposure to slow upward revisions of future inflation that correspond to periods of rallying inflation. We thus identify alternatives to hedge oneself against revisions in inflation forecasts when inflation is considered as a variable of interest by market participants, which, in fact, corresponds to periods of breaks in the trend of realized inflation. In particular, we provid...

2025, WIDER Working Paper

This study has been prepared within the UNU-WIDER project The domestic savings shortfall in developing countries-what can be done about it? which is part of the Domestic Revenue Mobilization programme. The programme is financed through... more

2025, Research in World Economy

This study presents an empirical analysis of the impact of capital flight on tax revenue in Nigeria. We made use of secondary data collected from the Central Bank of Nigeria Statistical Bulletin of various issues, Federal Inland Revenue Services and National Bureau of Statistics. The empirical measurement covers the sample period between 1980 and 2015. An Ordinary Least Square, Augmented Dickey-Fuller unit root test, Error Correction Mechanism and Co-integration test was adopted in the study. The results revealed that the Gross Domestic Product has a significant effect in the positive direction, while capital flight and inflation rate have a significant effect in the negative direction. The study recommended that the Federal Inland Revenue System, the department saddled with the responsibility of tax collection, should review the tax system and policies with the aim of plugging loopholes in the existing tax system thereby preventing organizations from evading and avoiding taxes.

2025, International Journal of Environment, Agriculture and Biotechnology (IJEAB)

Housing problems occur both in rich and poor communities across the globe. The objective of this research is to review housing problems which lead to unwholesome environmental conditions. The method used is a review of academic articles, textbooks, internet materials, news articles and publicly available materials on housing problems. Previous authors whose works were reviewed have a convergent view on housing problems including overcrowding and congestion, poor accessibility, substandard and inadequate housing, high cost of building materials, high interest rate and lack of interest by financial institutions to facilitate loans to investors and uncoordinated policies by government. The paper made the following recommendations: (1) government should build low-cost houses to cater for the large number of people who, due to their low-income earnings could not afford a decent apartment; (2) formulation of economic, social and environmental policies that facilitate housing that is both affordable and sustainable by government; (3) improvement of sanitation in poor neighborhoods with poor housing conditions through urban renewal programme.

2025

This research analyzes the relationship between exchange rates and economic growth in Nigeria through an annual dataset (1985-2023) obtained from the Central Bank of Nigeria and World Bank. This study employs the Augmented Dickey-Fuller (ADF) test alongside Auto-Regressive Distributed Lag (ARDL) Bound Test and Error Correction Model (ECM) analysis to determine relationships between real GDP and exchange rate, inflation, interest rate and foreign direct investment (FDI) and external reserves at short-term and long-term periods. The research results reveal that naira depreciation establishes positive statistical links with economic growth rates thus supporting competitiveness and investment expansion. The relationships between GDP growth, inflation rates and interest rates are positive but FDI and external reserves reveal minimal influence on GDP. Analysis of stationarity and cointegration confirms the variables maintain stable long-term relationships. Autocorrelation along with multicollinearity diagnostics enable validation of the model's strong design. The research results recommend the necessity of proper currency exchange management alongside strong monetary measures which drive sustainable Nigerian economic expansion.

2025, Journal of Asian Business and Economic Studies

Using data collected from 2007-2010, this study identifies price linkages and then forecasts vertical price transmission elasticities between markets (farm, wholesale, retail and export) in the value chain of hard clam (Meratrix lyrata) in Vietnam. After doing necessary tests to make sure that all price data are stationary, Seemingly Unrelated Regression (SUR) and Error Correction Model (ECM) are employed to examine short-time and long-time effects of hard clam price in one market on the other market in its value chain. The seemingly unrelated regression results show that hard clam prices seem not depend on seasons. Farm price of hard clam is transmitted completely to wholesale price while the price in retail market causes negative effect on farm price in the short run. Wholesale price of hard clam is transmitted to both prices in farm and retail markets. The export price of hard clam is estimated not to be affected in the short run by prices in other markets except retail price in ...

2025, Bangladesh Journal of Public Administration

This research aims to examine the Long-Run (LR) and Short-Run (SR) impacts of foreign exchange earnings (FEE) from international tourists' arrival in Bangladesh and identifies the barriers to inbound tourism so that the government can take the appropriate development plans or programmes for inbound tourism. This study is carried out using secondary as well as primary data and by deploying mixed methods. For qualitative data, a Key Informant Interview (KII) is deployed. This study's quantitative method relies on econometric analysis. It includes the Augmented Dickey-Fuller (ADF) unit root test, the Johansen cointegration test, and the Vector Error Correction Model (VECM) using yearly data ranging from the period 1995 to 2019. According to the cointegration and causality test results, there is no SR causal relationship between FEE and the number of tourist arrivals. However, an LR causal relationship exists not only between the earnings from foreign exchange and tourist arrivals numbers but also with the earnings from foreign exchange and capital investment in travel and tourism and earnings from foreign exchange and government spending on travel and tourism services. The qualitative data show that poor infrastructure and security of tourist destinations, lack of visa facilitation, high accommodation costs and unprofessional inbound tour operators are the major barriers to inbound tourism in Bangladesh. The results of the study will provide the Bangladeshi government with valuable information for crafting improved tourism policies that would benefit the nation's economy.

2025, Ecosains: Jurnal Ilmiah Ekonomi dan Pembangunan

This study aims to analyze the effect of government foreign debt on economic growth in the period 1980-2019 in the long and short term by using time series data analysis using the Error Correction Model (ECM). Other independent variables analyzed are investment and Labor Force Participation Rate (TPAK). The results show that the government's foreign debt has a positive and significant impact on economic growth. The value of the elasticity coefficient of economic growth to the government's foreign debt is 4.86 in the long term and 2.47 in the short term. The investment variable and LFPR also show a positive and significant effect in the long and short term, except for the investment variable which has no significant effect in the short term. The ECT coefficient in the short term produced is -0.360222 indicating the speed of adjustment of economic growth towards equilibrium is 36.02% per year Keywords: Penelitian ini bertujuan untuk menganalisis pengaruh utang luar negeri pemerintah terhadap pertumbuhan ekonomi pada periode tahun 1980-2019 dalam jangka panjang maupun jangka pendek dengan menggunakan analisis data time series menggunakan metode Error Correction Model (ECM). Variabel independen lainnya yang dianalisis ialah investasi dan Tingkat Partisipasi Angkatan Kerja (TPAK). Hasil penelitian menunjukkan utang luar negeri pemerintah memberikan pengaruh positif dan signifikan terhadap pertumbuhan ekonomi. Nilai koefisien elastisitas pertumbuhan ekonomi terhadap utang luar negeri pemerintah sebesar 4,86 pada jangka panjang dan 2,47 pada jangka pendek. Variabel investasi dan TPAK juga menunjukkan pengaruh positif dan signifikan dalam jangka panjang maupun pendek, kecuali variabel investasi yang pengaruhnya tidak signifikan dalam jangka pendek. Koefisien ECT pada jangja pendek yang dihasilkan sebesar -0,360222 menunjukkan kecepatan penyesuaian pertumbuhan ekonomi menuju keseimbangan adalah 36,02% per tahun.

2025

In June 2025, Bitcoin experienced a significant price drop, falling below $103,000 and triggering widespread market volatility. This event underscores the inherent instability of cryptocurrency markets, particularly following major... more

In June 2025, Bitcoin experienced a significant price drop, falling below 103,000andtriggeringwidespreadmarketvolatility.Thiseventunderscorestheinherentinstabilityofcryptocurrencymarkets,particularlyfollowingmajormilestonessuchassurpassingthe103,000 and triggering widespread market volatility. This event underscores the inherent instability of cryptocurrency markets, particularly following major milestones such as surpassing the 103,000andtriggeringwidespreadmarketvolatility.Thiseventunderscorestheinherentinstabilityofcryptocurrencymarkets,particularlyfollowingmajormilestonessuchassurpassingthe100,000 threshold in December 2024 [1]. The decline highlights how Bitcoin's price dynamics are deeply intertwined with macroeconomic indicators, institutional behavior, and regulatory developments. By examining these factors, this section aims to provide a comprehensive understanding of the drivers behind Bitcoin's recent volatility and its broader implications for the cryptocurrency ecosystem.

2025, Operations Research and Fuzziology

This paper analyzes the relationship of China's export and import based on the time series data of 1980-2014 in China Statistical Yearbook. We establish the error correction model of import and export trade through studying the stationarity and co-integration of import and export series. The results show that there is a long-term equilibrium relationship between China's import and export volume. The error correction model is established to further study the short-term fluctuation of the sequence, and the error correction model coefficients reflect that the long-term equilibrium relationship has a strong influence on the short-term fluctuations.

2025, Effect of External Public Debt on Private Investments in Kenya

In Kenya, an efficient modern infrastructure is one of the most critical factors in economic transformation through the creation of a conducive environment by lowering the cost of doing business and opening income-generating opportunities for private investors. Key public infrastructure projects and services are financed using capital from external debt as they require large capital that is beyond Kenya's domestic revenue capacity. Through foreign borrowing, the Kenyan government generates savings and ensures that the debt is used for productive infrastructural spending, thus enhancing private investment. The study examined the relationship between private investment and external public debt and external public debt sustainability. External debt level was measured using the ratio of external debt stock to GDP and debt sustainability as the ratio of external debt service to exports. The study results show that external debt levels tend to crowd-in private investment in the long-run, mainly because public investments that are financed using external debt tend to have long gestation period when the private sector start to benefit from the infrastructural services. In the short-run, external debt levels may discourage investment due to uncertainty on sustainability and future tax policy. When external debt is sustainable, private investment will increase in the short-run. However, in the long-run, deterioration on debt sustainability would see private investment reduce. Real GDP growth rate, private sector credit and real effective exchange rate have a positive effect on private investments. Thus, to ensure that debt is not a constraint
to private investment, it is critical to enhance debt management with a focus on the structure and composition of public debt; improve on project management to ensure projects being implemented have high multiplier effect and are targeted to improve on the enabling environment for private sector; and explore alternative source of financing public investment, including local sources.

2025, Research Journal of Economics, Business and ICT

2025, Research Journal of Economics Business and Ict

2025, Journal of Electrical Systems

This study sought to generate predictive models for the leading cryptocurrencies in the Philippines. Autoregressive Distributed Lag (ARDL) and Artificial Neural Networks (ANN) underpinned these forecasting models for XRP, Bitcoin (BTC), and Ethereum (ETH). The study also examined how market capitalization, trading volume, exchange rate, and volatility affect pricing. This quantitative study used historical data from 2018 to 2023 to forecast these three cryptos. Findings revealed that BTC, ETH, and XRP prices fluctuated over the past five years. Market capitalization, exchange rate, and volatility also affected BTC, ETH, and XRP prices. The forecasting models, based on historical data, exhibited prediction accuracy rates of 95.49%, 92.92%, and 93.73% for the ARDL model, and 93.18%, 90.18%, and 91.25% for the ANN model, as measured by mean absolute percentage error. The study concluded that ARDL predicts Philippine cryptocurrency prices better than ANN. By using algorithmic trading strategies, such as those grounded into mathematical models, is recommended to interfere in the economic aspect of sustainable development.

2025, International Journal of Economics …

This study empirically examines the effect of monetary, fiscal and trade policy on economic growth in Pakistan using annual time series data from 1981 to 2009. Money supply, government expenditure and trade openness are used as proxies of monetary, fiscal and trade policy respectively. Cointegration and error correction model indicate the existence of positive significant long run and short run relationship of monetary and fiscal policy with economic growth. Result also indicates that monetary policy is more effective than fiscal policy in Pakistan. In contrast, trade policy has insignificant effect on economic growth both in the short run and in the long run. In light of the findings, it is suggested that the policy makers should focus more on monetary policy in order to ensure economic growth in the country. It is also recommended that further research should be conducted to find out such components of exports and imports which lead to the ineffectiveness of trade policy to enhance economic growth in Pakistan.

2025

Pengendalian terhadap IHSG, Kurs, dan Inflasi merupakan hal penting demi terciptanya stabilitas moneter dan perekonomian di Indonesia. Kajian ini bertujuan untuk memodelkan, menganalisis, dan melakukan peramalan antara IHSG, Kurs, dan Inflasi. Oleh karena itu, metode yang digunakan dalam kajian ini adalah Vector Error Correction Model (VECM) yang dapat mengkoreksi ketidakseimbangan (disequilibrium) jangka pendek terhadap jangka panjangnya. Vector Error Correction Model (VECM) dirancang untuk digunakan pada data nonstasioner yang diketahui memiliki hubungan kointegrasi. Berdasarkan spesifikasi dan estimasi model, maka diperoleh model VECM(2) yang akan dipakai untuk pemodelan hubungan antara IHSG (X), Kurs (Y), dan Inflasi (Z). Hasil analisis model, mengatakan bahwa terdapat hubungan dalam jangka panjang dan jangka pendek antara IHSG, Kurs, dan Inflasi. Kemudian, berdasarkan peramalan dengan model VECM(2) dapat disimpulkan bahwa hasil ramalan yang diperoleh akurat karena memiliki nila...

2025

This study examined the impact of government expenditure on agricultural productivity in Nigeria within the period 1981 to 2018. The motivation for this study is the need to understand whether such impact affects agricultural productivity positively or negatively, and by implication, agricultural value chain through government spending on agriculture, health, infrastructure, and food imports. The study employed the Ordinary Least Square (OLS) technique for the analysis of the time series data with the Augmented Dickey Fuller (ADF) Unit Root Test amongst others for the preliminary tests. The Error Correction Mechanism (ECM) was used to determine the speed of adjustment of the dynamic short-run to the long-run equation,while the post diagnostic tests were performed using the ARCH, Breush-Godfrey LM, Jarque-Bera and the CUSUM of square tests. The study found that a positive and significant relationship exist between government expenditure (on agriculture, health & infrastructure) and agricultural productivity in Nigeria. Although, the result showed that government expenditure on agriculture has positive and significant impact on agricultural productivity, the coefficient of 18.34% is not strong enough as compared with the importance of the agricultural sector to the Nigerian economy. On the other hand, food imports have a negative impact on agricultural productivity in Nigeria with a coefficient of -17.50% and probability value at 0.3890. Based on the findings, the study recommends amongst others that more budgetary allocation should be channeled to the agricultural sector, which will help in subsidizing the cost of farm inputs and machineries such as fertilizer, seedling, agro-chemicals, tractors, harvesters, processing machines etc. Government should also implement policies that will encourage the production and consumption of domestic agricultural product, while discouraging or minimizing food imports, this can be achieved by placing embargo on the importation of certain food crops or high custom duty be taxed on food imports.

2025, Global Scientific Research

Energy and maritime sectors are vital drivers of economic performance in resource-rich countries like Nigeria. However, fluctuations in energy prices and inefficiencies in maritime trade infrastructure pose challenges to sustainable growth. This study examined the relationship between energy prices, maritime trade, and economic growth in Nigeria. Data from 1990 to 2024 were used in the study which were estimated using the error correction technique. The findings showed that energy price has a positive and significant effect on economic growth in the longrun and short run. Maritime trade positively affect economic growth in the longrun and short run but not significant. There is a strong adjustment mechanism ensuring economic growth realign with its long-term equilibrium after a shock in the short-term based on the error correction term been negative and statistically significant. The study recommends that policymakers should prioritize investment in energy infrastructure to ensure stable and affordable energy supply. Emphasis need for diversifying energy sources and enhancing efficiency in energy distribution. The long run and short run positive effect of maritime trade on economic growth suggests that improving port infrastructure and enhancing maritime logistics can boost economic performance. Strategic development of seaport facilities and trade corridors for national economic priority.

2025, European Scientific Journal, ESJ

The agricultural sector at large plays a significant role in augmenting economic growth, serves as a source of income to the people, provides food to the teeming population, serves as a source of raw materials to the industries and provides foreign exchange to the country, etc. The current study investigates the short-run and long-run relationship among agricultural output, Government expenditure, and Economic growth in Nigeria using annual time series data from 1985 to 2019. The Zivot-Andrew unit root test indicates that gross domestic product, agricultural output, and exchange rate are stationary at first difference while government expenditure is stationary at level. The Gregory-Hansen test with structural break has confirmed the existence of a cointegration relationship among the variables employed. The Autoregressive Distributive Lag (ARDL) model with break indicates that, in the short-run agricultural output has a negative and statistically insignificant effect on real gross d...

2025, World Review of Science, Technology and Sustainable Development

The paper starts by acknowledging that there is a dearth of studies on the impact of the structural adjustment policies on the Sudanese economy despite the fact that the country is one of the first African countries to adopt them. It then proceeds by using econometric techniques starting by examining the stability of the long-run growth in Sudan for the period followed by co-integration and an error correction model analysis. The study found that the economic growth rate in Sudan has changed significantly despite the introduction of the adjustment policies in 1980. Moreover, investment is the most significant variable affecting growth in the long run, and non-policy factors such as weather have a significant impact on the economic growth in the short run only.

2025

In this paper, we analyze Uruguayans living abroad that visit Uruguay for their holidays, what in the literature is called Nostalgic tourism or Visiting friends and relatives (VFR) tourism. Several studies point Uruguay as one of the South American countries with the largest proportion of its population living abroad. In addition, tourism is a very important economic activity in Uruguay. Visitors from Argentina have been always the majority in the Uruguayan inbound tourism. During 2017 in Uruguay 68% of total tourists were Argentinians, 12,5% Brazilians, and 8% VFR tourists. This last share was near 16% during the first decade of this century and even higher in the XXth. century. We analyze and estimate the VFR tourism demand in Uruguay, and compare it with Argentinian tourist demand, since the majority of VFR tourists live in Argentina (64%). After characterizing VFR tourists, we apply Johansen methodology and built four models: two for VFR tourism and two for Argentinian tourism, ...

2025

This study aims to find out what are the factors that influence the portion of financing for micro small and medium enterprises (SMES) in Islamic banking in Indonesia. The samples used are 14 Sharia Commercial Banks, 469 Sharia BUS Commercial Bank Units, 154 Sharia Business Units (UUS) and 102 Islamic People's Financing Bank (BPRS) registered at Bank Indonesia during the period 2010-2018. The form of this research is quantitative descriptive using secondary data. The method used in this study is themethod VECM (Vector Error Correction Model)using the eviews 10 program. The results show that in the short term the BI Rate does not have a significant effect, but in the long term the BI Rate has a significant and positive effect. Economic growth in the short term does not have a significant effect but in the long run the variable of economic growth has a significant and positive effect. exchange rate in the short term has a significant and negative effect in the long run has a signi...

2025, ABDI EQUATOR

VAR models for non-stationary time series with one or more cointegration relationships have been developed using the Vector Error Correction Model (VECM). The unique way of behaving in the VECM should be seen through the reactions of each dependent variable to shocks to these and other environmental factors. The purpose of this study is to determine the relationship between Indonesia's economic expansion and exchange rate stability. With a free-floating regime from 1980 to 2022, Indonesia's exchange rate fluctuated, affecting economic stability. Exchange rates are correlated with economic expansion in both the short and long term, according to this study. Long-term economic growth can be driven by exchange rate appreciation, but there is no causal relationship because economic growth factors go beyond exchange rate considerations

2025

The aim of this paper is to examine the long-run relationship between Islamic stock indices (Dow Jones and FTSE) and US macroeconomic variables (economic uncertainty index, federal funds rate, money supply, volatility fear index, consumer price index, Treasury bill and Brent oil price). Daily closing stock prices for the period January 2006 – December 2017 were used selected from US, Europe, Canada, Japan, Turkey, Malaysia, China India, Qatar, Kuwait, and Taiwan. Johansen test for Cointegration and Vector Error Correction Model (VECM) were employed for the analysis. The study found the existence of a long run relationship between the selected Islamic indices, the broad market index (represented by Dow Jones Industrial Average) and the set of US macroeconomic variables. Results from the VECM showed slow speed of adjustments indicating the series were highly volatile and took long time to converge to equilibrium. It is recommended that investors should be concerned with the economic p...

2025, Impact of trade liberalization on economic growth in Nigeria.

Introduction: Trade liberalization is a vital tool for enhancing a nation's economic growth. Trade between countries stimulates growth through technology, flows of ideas and knowledge spillover. It involves the reduction or removal of import and export restrictions (tariff and quotas) to allow the flow of goods and services. In Nigeria, economic growth is abysmally low due to the country's inability to diversify the economy and expand its trade capacity. It is on this premise that this study reviewed the role of the exportation of goods and services, importation of goods and services, balance of payment and exchange rate on economic growth in Nigeria. Methodology: The study employs Autoregressive Distributed Lag (ARDL) and bounds testing cointegration approach to empirically examine the impact of trade liberalization on economic growth in Nigeria using time series data obtained from World Development Indicators from 1983 to 2024. Major Findings: the result of the analysis indicates the presence of a significant co-integrating (long-run) relationship between economic growth, exportation of goods and services, importation of goods and services, balance of payment and exchange rate in Nigeria. The result further demonstrated that the exportation of goods and services, importation of goods and services, the balance of payment and exchange rate impacted positively on economic growth in the short-run in Nigeria. However, in the long-run analysis, exportation and importation of goods and services have increasing functions of economic growth and are not significant. Balance of payment is significant and increases economic growth, while the exchange rate significantly decreases economic growth in Nigeria. Conclusion: the study established that trade liberalization increases economic growth in Nigeria. Therefore, effective and efficient trade policies to remove the barriers to the free flow of trade in the country. Economic diversification policies and programmes must be vigorously to increase the volume of export, while import is monitored through government agencies for rapid economic growth in the country. Recommendations: Based on the findings, the government must give priority to diversification into the productive sector of the Nigerian economy to increase exports. There should be a system for monitoring and evaluation of importation and exchange rates to ensure favourable balance of payment and stable economic growth in the country.

2025, RePEc: Research Papers in Economics

Intervenue le 12 janvier 1994, la dévaluation du franc CFA apparaît comme l'événement essentiel de la décennie en Afrique francophone. Les principaux acteurs, africains ou étrangers, considèrent les résultats obtenus conformes à leurs attentes. En d'autres termes, la dévaluation serait globalement une réussite et, à terme, aucune autre mesure de ce type ne serait à craindre. L'étude des évolutions de la compétitivité externe et de différents postes de la balance courante, conduit à nuancer les jugements favorables communément exprimés. En effet, malgré un environnement externe particulièrement favorable, les résultats obtenus par les pays africains de la zone franc s'avèrent fragiles tant en ce qui concerne la compétitivité externe que la balance courante. De plus, l'existence de profondes disparités de performances entre pays est susceptible de générer des forces centrifuges dont l'intensité pourrait s'avérer critique, dans la mesure où la convergence des politiques économiques nationales resterait insuffisante.

2025

Crime is an evil that is increasing day by day in Pakistan. Different factors contribute to the increasing crime trend. This study investigates the impact of human capital, corruption, quality of life, economic misery and rule of law on the crime rate in Pakistan over the period 19852019. To find out short-term and long-term dynamics, the Vector Error Correction Model (VECM) is used. For checking casual relationships among variables, the Toda Yamamoto Causality test is used. The results confirm the significant and long-term impact of human capital, corruption, quality of life, economic misery and rule of law on the crime rate in Pakistan. Three channels of bidirectional causality are found with the economic misery index from corruption and human capital, and between the rule of law and corruption. Unidirectional causality runs from human capital, corruption, quality of life and economic misery to crime.

2025, MPRA Paper

Crime is an evil that is increasing day by day in Pakistan. Different factors contribute to the increasing crime trend. This study investigates the impact of human capital, corruption, quality of life, economic misery and rule of law on the crime rate in Pakistan over the period 1985-2019. To find out short-term and long-term dynamics, the Vector Error Correction Model (VECM) is used. For checking casual relationships among variables, the Toda Yamamoto Causality test is used. The results confirm the significant and long-term impact of human capital, corruption, quality of life, economic misery and rule of law on the crime rate in Pakistan. Three channels of bidirectional causality are found with the economic misery index from corruption and human capital, and between the rule of law and corruption. Unidirectional causality runs from human capital, corruption, quality of life and economic misery to crime.

2025

This paper investigates the relationship between economic growth and savings in Indonesia from 1981 2012. Foreign Direct Investment (FDI) is added as an extra variable to identify possible spuriousness in the causation. The Johansen test on cointegration is used to search for a long run relationship, a Vector Error Correction (VEC) model is constructed to examine a short run relationship and the Granger test on causality is used to find the direction of the relationship. After performing robustness checks, it can be concluded that there is significant evidence that Gross Domestic Savings (GDS) and Gross Domestic Product (GDP) are cointegrated and therefore hold a long run relationship. Via the Wald test, also a short run relationship is identified. The Granger test indicates that savings are Granger-caused by economic growth. FDI does not play a significant role.

2025

The paper aims to investigate the impact of macroeconomic variables toward agricultural productivity in Malaysia using annually data spanning the period 1980 to 2014. Agriculture sector plays a decisive role in economic growth and development. This sector still significantly becomes the main engine or a contributor to gross domestic product (GDP). The specific aims of this study are to examine the short run and long run links between agricultural productivity and some key macroeconomic fundamentals in Malaysia. Through the Autoregressive-Distributed Lag (ARDL) approach, we find that there is a long-run relationship between agricultural productivity and macroeconomic variables, namely net export, inflation rate, interest rate, nominal exchange rate, government expenditure and money supply. The notable result is only nominal exchange rate shows significant impact on agricultural productivity in the long run while the other variables do not have a significant impact upon agricultural productivity in the long run. In addition, net export, government expenditure, and inflation rate seem to influence agricultural productivity in the short run.

2025

This study researches the effects of changes in the exchange rate on the trade balance after the transition to the floating exchange rate in the Turkish economy. For this purpose, ARDL and ECM models have been developed by using quarterly data from 2003 through 2018. The starting point of the research is to examine the validity of the JCurve theory in the Turkish economy. According to the results of the analysis of the main model used in the study, there is no J-Curve effect on the trade balance in the related period. The results state that the effect of changes in exchange rates on the foreign trade balance is limited. The main reason for that is the high usage of imported intermediate goods and inputs in production. The results of analysis show that the fundamental structural problem of Turkey's economy is the usage of imported intermediate goods and inputs. Therefore, the effect of the exchange rate on trade balance differs from theoretical expectations. The main policy resul...

2025, Contaduría y Administración

In the nineties, emerging markets like Mexico and South Korea experienced external shocks that depreciated their domestic currencies that eventually led to an overall inflation. The goal in this paper is to estimate long-run and short-run exchange rate pass-through (ERPT) elasticities to consumer and import prices and determine whether monetary policies have reduced the ERPT. Two Vector Error Correction Models were estimated using monthly data from 1995 to 2018. The results show that monetary policies did reduce the ERPT on consumer and import prices in Mexico. In South Korea, the ERPT to import prices was stronger, only when we account for the 1997 financial crisis, the results show that monetary policies contributed to reduce the ERPT to both consumer and import prices.

2025, American Journal of Economics and Business Management

The economic and sustainable growth of India is vital in the current era. The movement of the economic environment and capital market have an important role in the growth of our nation. The current study established the long-run and short-run relationship between the macroeconomic variables (i.e., gold prices, money supply, and foreign exchange reserve) and stock prices (i.e., S&P CNX Nifty Index) for the period from April 1995 to March 2023. By employing Johansen cointegration, it found that the GP, MS, and FER have a long-run relationship with stock prices i.e., NIFTY. Moreover, the VECM found short-run dynamics of the variables with one or two lags to meet the long-run equilibrium. This study will support the investors, managers and policy makers to make crucial decisions in this area.

2025

Islamic finance is one of the most rapidly growing sectors in the financial system in Indonesia. At the same time the Indonesian economy also showed positive growth. The main objective of this research is to assess Islamic finance in Indonesia's economic growth. This paper analyzes empirically the relationship between the development of the Islamic financial system and economic growth in Indonesia. The data used are time series from 2012 to 2019. These data include disbursed Islamic bank financing, the amount of sovereign sukuk issuance and corporate sukuk as independent variables related to proxies for the development of Islamic financial systems and proxies for economic growth as dependent variable. For the analysis, the unit root test, cointegration test and granger causality test were done. The basic analysis used in this research is the Vector Error Correction Model (VECM), and the Granger Causality Test is used to determine the direction of causality. This study also uses the Impulse Response Function and Variance Decomposition to determine the shock of each variable against the other variables. Empirical results show there is a positive relationship between the growth of the Islamic financial sector and economic growth in Indonesia. This is evidence that the Islamic banking system and sukuk can encourage economic growth. Structural analysis on VECM through the analysis of Variance Decomposition obtained from the results of Islamic banks and state sukuk is the dominant variable that contributes to the shock of economic growth. Therefore, in terms of improving the Indonesian economy growth, disbursed Islamic bank financing and sukuk can be considered as an effective financial instrument. ABSTRAK Keuangan syariah adalah salah satu sektor dalam sistem keuangan di Indonesia yang tumbuh paling cepat. Pada saat yang bersamaan ekonomi Indonesia juga menunjukkan pertumbuhan yang positif. Tujuan utama dari penelitian ini adalah untuk menilai kontribusi keuangan Islam dalam pertumbuhan ekonomi Indonesia. Data yang digunakan adalah time series tahun 2012 hingga 2019. Data tersebut diantaranya pembiayaan bank syariah yang disalurkan, nilai penerbitan sukuk negara dan sukuk korporasi sebagai variabel independen yang mewakili proksi untuk pengembangan sistem keuangan syariah dan proksi pertumbuhan ekonomi sebagai variabel dependen. Untuk analisis, dilakukan uji unit root, uji kointegrasi dan uji kausalitas Granger. Analisis dasar yang digunakan dalam penelitian ini adalah model Vector Error Correction Model (VECM), dan Uji Kausalitas Granger digunakan untuk menentukan arah kausalitas. Penelitian ini juga menggunakan Impulse Response Function dan

2025

2014 dissertation for MBA in Finance. Selected by academic staff as a good example of a masters level dissertation. The research is focused on the impact of the dollar depreciation on the emerging market returns. The research was carried out using monthly observations over the life period of 2000 to 2013 from six emerging market countries where stock market indices and exchange rates monthly data's were used. The monthly data was further compounded to get the returns. The researcher uses linear regression model to analyse the impact of dollar depreciation on emerging stock market returns .The evidence shows that the dollar depreciation had a positive impact on the returns of the emerging markets except for Greece. Hence, this research suggests that the international fund managers who are seeking to invest in the emerging markets should evaluate the value and stability of their currency before making an investment decision.

2025

In presenting this thesis in fulfilment of the requirements for a Postgraduate degree from the Universiti Utara Malaysia (UUM), I agree that the Library of this university may make it freely available for inspection. I further agree that permission for copying this thesis in any manner, in whole or in part, for scholarly purposes may be granted by my supervisor(s) or in their absence by the Dean of School of Economics, Finance and Banking where I did my thesis. It is understood that any copying or publication or use of this thesis or parts of it for financial gain shall not be allowed without my written permission. It is also understood that due recognition shall be given to me and to the University Utara Malaysia (UUM) in any scholarly use which may be made of any material in my thesis.

2025

The study analyzed the impact of monetary policy on bank performance in Nigeria from 1980 to 2022 with the view to examine the effectiveness of monetary policy on the performance of banks for stability and profitability. Data were sourced from the World Development Indicators (WDI), and the analysis was conducted using the Error Correction Model (ECM). The study finds out that Monetary policy rate (MPR), Treasury bills rate (TBR), Cash reserve rate (CRR) and Money supply (MS) are significant factors in determining the performance of banks in Nigeria. However, while Monetary policy rate (MPR), Treasury bills rate (TBR) and Cash reserve rate (CRR) had a positive and significant effect on bank performance, Money supply (MS) had a negative and significant effect on it. The R-squared value of 0.814101 indicates that 81.41% of the dependent variable was explained by the independent variables, while the value of the adjusted R-squared of 0.793551 shows that 79.36% of the dependent variable is determined by the independent variables. Furthermore, the Durbin Watson value of 2.095409, which is close to 2, suggests that there was no autocorrelation in the model. Additionally, the F-statistic of 8.107011 [P<.01] signifies that the overall model is significant. The study concluded that monetary policy conduct was effective in enhancing commercial banks performance in Nigeria. The study however recommends that monetary policy rate, liquidity ratio, cash reserve ratio and loan to deposit ratio should be looked into by monetary authority in a way that is friendly to loan advancement especially relating to the private sector.

2025

This study analysed the macroeconomic outcomes of three policies related to government spending on education within a general cut-down policy adopted by the government of Pakistan. The policy of spending 5 percent of G.D.P on education throughout the forecasting period is found to be most effective in improving the sector wise production, employment and income at the earliest possible time. The study found strong linkage between government spending on education and the production of agricultural and industrial sector which implies that the policy would be helpful to increase the production and employment of these sectors. The study found education spending as a tool to address major macroeconomic issues such as trade deficit, fiscal deficit and inflation. This policy would also help in reducing trade deficit through increasing exports especially from the manufacturing sector.
The production and employment of services sector is found to be least affected by government spending on education which reflects lack of synchronizing between the types of skills demanded by and supplied to the services sector. In light of the above, the policy of spending 5 percent of GDP on education sector while aligning the skills in accordance to the demand of services sector is an appropriate option to deal with current macroeconomic challenges faced by government.

2025, Asian Business Review

This study investigates the relationship between inflation and import for the economy of Bangladesh over the sample period of 2000 to 2011. This study used different econometric techniques of measuring the long and short term relationship between variables. The Johansen Cointegration test is used to determine the existence of a long term relationships between study variables. The normalized Cointegrating coefficients are found statistically significant and show a stable and positive relationship between study variables. The short run interactions are similar to the long run relationships. The estimated error correction coefficient indicates that 0.6 percent deviation of the inflation rate from its long run equilibrium level is corrected each period where such correction rate for import is 24 percent. Finally, Granger causality analysis suggests the existence of a unidirectional causality running from Inflation to import.

2025, Applied Economics Letters

This article examines time series evidence to investigate the link between exports and economic growth in Bangladesh. Using quarterly data for a period from 1976 to 2003 the article finds that industrial production and exports are cointegrated. The results of an error correction model (ECM) suggest that there is a long-run unidirectional causality from exports to growth in Bangladesh.

2025, RePEc: Research Papers in Economics

Relationship banking based on Okun's "customer credit markets" has important implications for monetary policy via the credit transmission channel. Studies of LDC credit markets from this point of view seem to be scanty and this paper attempts to address this lacuna. Relationship banking implies short-term disequilibrium in credit markets, suggesting the VECM (vector error-correction model) as an appropriate framework for analysis. We develop VECM models in the Indian context (for the period April 1991-December 2004 using monthly data) to analyse salient features of the credit market. An analysis of the ECMs (error-correction mechanisms) reveals that disequilibrium in the Indian credit market is adjusted via demand responses rather than supply responses, which is in accordance with the customer view of credit markets. Further light on the working of the model is obtained through the "generalized" impulse responses and "generalized" error decompositions (both of which are independent of the variable ordering). Our conclusions point towards firms using short-term credit as a liquidity buffer. This fact, together with the gradual adjustment exhibited by the "persistence profiles" provides substantive evidence in favour of "customer credit markets".

2025, International journal of academic research in business & social sciences

The primary objective of the present research was the examination of environmental pollution, economic growth, and supplementary selected macroeconomic elements as determinants of foreign direct investment inflows into Sub-Saharan Sierra Leone for the postconflict period, 2002-2020, and whether the association between the determinants and foreign direct investment is long-term and short-term. The research methodology was quantitative, and the dataset was time series with 76 observations and 10 variables. Using the AR(2) model, the findings indicated the lags of foreign direct investment, gross fixed capital formation, carbon dioxide, trade, and population growth were significant determinants of foreign direct investment inflows. Furthermore, applying the Phillips-Ouliaris cointegration model, the results indicated a statistically significant long-run association between foreign direct investment and, at least, one determinant (Rho = -39.458, Tau = -5.024, p < .05). Additionally, the error correction model (errorECM1) applied to explore the short-run deviation from the long-run had the expected sign, and was statistically significant (βerrorECM1 = -.524, SE = .158, t = -3.31, p = .002), representing a speedy conversion movement to long-run equilibrium of about 52.4% annually. Nonetheless, the research restricted itself to 19 post-conflict years (2002)(2003)(2004)(2005)(2006)(2007)(2008)(2009)(2010)(2011)(2012)(2013)(2014)(2015)(2016)(2017)(2018)(2019)(2020), which may be inadequate to recognize the comprehensive determinant of foreign direct investment inflows. Succeeding studies must embrace additional years, including pre-conflict periods, to recognize the comprehensive determinants of foreign direct investment inflows into Sub-Saharan Sierra Leone.