Error correction model ECM

The objective of this study is to examine the impact of macroeconomic factors on the performance of Vietnam Consumer Staples sector through its stock index in the period of January 2009 to December 2019. By using the Autoregressive Distributed Lag (ARDL) approach, the study examines the long-term relationship between macro factors and the Vietnam Consumer Staples stock index by the Bound and using error correction model (ECM) according to ARDL approach to determine short-term effects between them.

21p nhanchienthien 25-07-2023 10 4   Download

This paper aims to investigate the determinants of water demand in Kuwait and assess their impact on consumption. To do this, we applied the cointegration regression and the error correction model (ECM) on annual time series data, covering the period from 1972 to 2019. We found that the price elasticity for fresh water demand in Kuwait is negative and elastic in the long run (-1.095), which is consistent with the existing literature. Also, we found that the income elasticity for demand was positive in the long run (0.234), however, no short run effect was found for either price or income.

5p mynguyenha 21-07-2021 10 2   Download

The Environmental Kuznets Curve (EKC) shows the relationship between economic development, which is proxied in per capita income, and environmental quality. This study aims to view the existence of the EKC by arranging the distribution of 62 countries into four sub-samples based on per capita income from 1992 to 2017. By applying panel data, the model uses the Error Correction Mechanism (ECM) method to see the effect of economic growth on environmental quality (CO2 emission) in both the short and the long term.

8p mynguyenha 21-07-2021 21 1   Download

The debate on the nexus between energy consumption and economic growth continues unabated with divergent views on the direction of the relationship. This is partly due to the sources and patterns of energy consumption across different countries, differential characteristics of the economies, and differences in the methodologies employed. Again, the mixed and inconclusive results from prior cointegration tests might have arisen from the assumption of symmetry when, in actuality, the response of economic growth to energy consumption may be asymmetric.

11p partimesinhvien 13-05-2020 21 0   Download

The study examined taxation and income inequality (GINI), specifically, it determined the impact of Value Added Tax (VAT), Custom and Excise Duties (CED), Petroleum Profit Tax (PPT) and Company Income Tax (CIT) on GINI in Nigeria from the year 1990 to 2016. The Cointegration and Error Correction Models (ECMs) were used to analyze the data. Augmented Dickey Fuller unit root was used to test for stationarity.

18p viankara2711 04-12-2019 20 0   Download

This paper examines the degree of pass-through and adjustment speed of retail interest rates in response to changes in monetary policy rates in commercial banks of Viet Nam during the period 07/2004 to 06/2014. The results show that the degree of pass-through of retail interest rates is incomplete but high (0.7-0.93). The adjustment speed of money market rates & retail interest rates is relatively slow.

9p vithomasedison2711 14-08-2019 30 0   Download

Bài viết nghiên cứu sự tác động của chi tiêu công đến tăng trưởng kinh tế tại TP.HCM bên cạnh các yếu tố đầu tư tư nhân, độ mở thương mại và tăng trưởng lao động bình quân. Tác giả sử dụng phương pháp phân tích đồng liên kết (cointergration) của Engle-Granger để đo lường các mối quan hệ trong dài hạn giữa các biến và mô hình điều chỉnh sai số ECM (Error Correction Model) để khảo sát mối quan hệ động trong ngắn hạn giữa tăng trưởng kinh tế và các biến tác động trong mô hình.

7p vihitachi2711 03-05-2019 54 3   Download

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 domestic markets. Error correction models confirm the independence of hard clam price on annual seasons.

17p danhnguyentuongvi27 18-12-2018 28 0   Download

Bài viết nghiên cứu sự tác động của chi tiêu công đến tăng trưởng kinh tế tại TP. HCM bên cạnh các yếu tố đầu tư tư nhân, độ mở thương mại và tăng trưởng lao động bình quân. Sử dụng phương pháp phân tích đồng liên kết (cointergration) của Engle-Granger để đo lường các mối quan hệ trong dài hạn giữa các biến và mô hình điều chỉnh sai số ECM (Error Correction Model) khảo sát mối quan hệ động trong ngắn hạn giữa tăng trưởng kinh tế và các biến tác động trong mô hình. Để tìm hiểu rõ hơn, mời các bạn cùng xem và tham khảo.

7p dtphuongg 16-08-2018 116 5   Download

Cointegration and error correction Professor Roy Batchelor City University Business School, London & ESCP, Paris EVIEWS r On the City University system, EVIEWS 3.1 is in Start/ Programs/ Departmental Software/CUBS r Analysing stationarity in a single variable using VIEW r Analysing cointegration among a group of variables r Estimating an ECM model r Estimating a VAR-ECM model

16p nguyentamty 17-03-2013 94 3   Download

This paper uses interest rate data that cover a longer period and that are based on more harmonised principles than those used by previous pass-through studies for the euro area. We find that stronger competition implies significantly lower interest rate spreads for most loan market products, as we expected.

41p taisaocothedung 09-01-2013 80 7   Download

Our results suggest that stronger competition implies significantly lower interest rate spreads for most loan market products, as we expected. This result implies that bank interest rates are lower and that the pass-through of market rates is stronger, the heavier competition is. We find evidence of the latter in our error correction model of bank interest rates. Furthermore, when loan market competition is stronger, we observe larger bank spreads (that is, lower bank interest rates) on current account and time deposits.

21p taisaocothedung 09-01-2013 61 3   Download

We test three hypotheses concerning the impact of loan market competition on euro area banks’ loan and deposit rates. First, we examine the effect of loan market competition on the level on bank loan and deposit rates; second, using a panel error-correction model (ECM) we estimate the effect of loan market competition on the long-run equilibrium pass-through of bank interest rates to changes in corresponding market interest rates; third, we also test the impact of competition in the loan market on the immediate adjustment of bank interest rates to changes in market interest rates....

20p taisaocothedung 09-01-2013 55 2   Download

More recently, Granger (1986) and Johansen and Juselius (1990) proposed to determine the existence of long-term equilibrium among selected variables through cointegration analysis, paving the way for a (by now) preferred approach to examining the economic variables-stock markets relationship. A set of time-series variables are cointegrated if they are integrated of the same order and a linear combination of them is stationary. Such linear combinations would then point to the existence of a long-term relationship between the variables.

30p bocapchetnguoi 05-12-2012 40 1   Download