Determinants of Stock Market Performance: VAR and VECM Designs in Kor ea and Japan
, 2019 We examine commodities and macroeconomic factors of the Korean’ and Japanese’ stock market performance during the period of 1993-2017. Using both Kospi and Nikkei 225 as proxy for stock market performance, we designed a Vector Error Correction Model ...
Ana Belen Tulcanaza Prieto +1 more
semanticscholar +1 more source
Safeguarding Stability and Enhancing Profitability: The Case of Islamic Banking in Indonesia
International Journal of Islamic Economics and FinanceThis study examines the impact of crises, non-performing financing variables, exchange rates, inflation, and interest rates on Islamic banks' short-term and long-term profitability in Indonesia.
Faizul Mubarok +2 more
doaj +1 more source
Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption [PDF]
The asymptotic distributions of cointegration tests are approximated using the Gamma distribution. The tests considered are for the I(1), the conditional I(1), as well as the I(2) model.
Kostov, Phillip, Lingard, John
core +3 more sources
ENERGY CONSUMPTION, TRADE OPENNESS AND GROWTH NEXUS IN TURKEY: EVIDENCE FROM VECM
Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 2019 Thisresearch investigates the relationship between energy consumption (ENE), tradeopenness (TI) and economic growth (GDP) in the case of Turkey in the period1970-2015. VECM is employed.
Elma Satrovic
doaj
Explosive Roots in Level Vector Autoregressive Models [PDF]
Level vector autoregressive (VAR) models are used extensively in empirical macroeconomic research. However, estimated level VAR models may contain explosive roots, which is at odds with the widespread consensus among macroeconomists that roots are at ...
Hammad Qureshi
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Exports-Economic Growth Causality: Evidence from CEE Countries [PDF]
hypothesis (GLE) for the Central and Eastern European Countries (Bulgaria, the Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Slovenia, Slovakia) through cointegration and causality tests.
Pop Silaghi, Monica Ioana
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Cointegration between carbon spot and futures prices: from linear to nonlinear modeling [PDF]
This paper develops two nonlinear cointegration models - a VECM with structural shift and a threshold cointegration model - applied to carbon spot and futures prices.
Julien Chevallier
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Hedge Ratio and Hedging Effectiveness in Indian Currency Futures Markets
Финансы: теория и практикаThe purpose of the study is to assess the efficacy of diverse hedge ratios computed using three econometric models: OLS, VECM, and BEKK-GARCH model.
N. Agrawal, P. Srinivasan
doaj +1 more source
Business fixed investment and credit market frictions. A VECM approach for Hungary [PDF]
The aim of this paper is to model the interaction between the loan market and real activity, while financial frictions are explicitly taken into account. The econometric methodology used is VECM.
Marianna Endrész
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Non-linear multivariate adjustment of the UK real exchange rate [PDF]
, 2003 Based on a multivariate non-linear model, this paper recognises an important role for the real exchange rate in affecting UK labour market conditions. The short-run real exchange rate adjusts quickly to disequilibrium deviations of the real exchange rate
Milas, C.
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