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PERAMALAN KURS, INFLASI, IMPOR DAN EKSPOR DENGAN VECM
Jurnal Accounting Information System (AIMS), 2020Penelitian Catalbas (2016) dimodifikasi dalam penelitian ini dengan menambahkan variabel inflasi. Vector Error Correction Model (VECM) digunakan dalam penelitian ini untuk meramalkan variabel. Penelitian ini bertujuan untuk memodelkan kurs, inflasi, impor dan ekspor, meramalkan kurs, inflasi, impor dan ekspor, dan mengetahui hubungan jangka panjang ...
Nina Valentika Valentika +2 more
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Testing in VECMs with Small Samples
2017The inferential procedures discussed in previous chapters are based on asymptotic considerations in the sense that they rely on the convergence of the distribution of the test statistics to some known limit distribution as the sample size goes to infinity. However, in order to work well, first-order asymptotic approximation requires that the asymptotic
John Hunter +2 more
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2018
The VARs that we looked at in the last chapter were very well suited for describing the short-run relationship between variables, especially if they are stationary. Most economic variables are not stationary, however. This required us to transform the variables, taking first differences, so that they are stationary.
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The VARs that we looked at in the last chapter were very well suited for describing the short-run relationship between variables, especially if they are stationary. Most economic variables are not stationary, however. This required us to transform the variables, taking first differences, so that they are stationary.
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Jahrbücher für Nationalökonomie und Statistik, 2004
Summary This paper explores the existence of the credit channel in the transmission of monetary policy in Germany on the basis of a structural analysis of aggregate bank loan data. The empirical analysis is carried out in a vector error correction model (VECM), which allows to identify long-run cointegration relationships that can be ...
Oliver Hülsewig +2 more
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Summary This paper explores the existence of the credit channel in the transmission of monetary policy in Germany on the basis of a structural analysis of aggregate bank loan data. The empirical analysis is carried out in a vector error correction model (VECM), which allows to identify long-run cointegration relationships that can be ...
Oliver Hülsewig +2 more
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Moderating factors of the Van Egmond Coaching Model (VECM)
International Coaching Psychology Review, 2012Objectives:Identifying those (moderating) factors that are instrumental in the successful completion of a coaching trajectory that is based on the Van Egmond Coaching Model (VECM).Design:Qualitative.Methods:Data were collected by means of three questionnaires: a semi-structured questionnaire for the clients; a semi-structured questionnaire for the ...
Johan Bouwer, Jacoba van Egmond
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Forecasting Inflation with the M1-VECM: Part Two
1998La banque centrale se préoccupe essentiellement de l'orientation générale que prendra l'inflation à l'avenir et non des fluctuations passagères qu'elle affiche. Les auteurs de l'étude ont donc choisi de se pencher sur la prévision d'une mesure simple de la tendance de l'inflation, le taux d'augmentation de l'IPC sur huit trimestres.
Engert, Walter, Hendry, Scott
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A VECM Model of Stockmarket Returns [PDF]
, 2004 Observations of security prices and other financial time series usually include not only the close (C), but also an open, a high and a low (O,H,L) price for a specified interval. The multivariate vector of values (H,L,O,C) is obviously more informative than just the open or close (O, C) for modelling volatilities and volatility predictions.
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A VECM evaluation of monetary transmission in Uzbekistan
Economic Change and Restructuring, 2012This paper presents a VAR/VECM analysis of the monetary transmission process in Uzbekistan for the available data from 2000 to 2009. The general findings obtained support the hypothesis that the interest rate channel in Uzbekistan is relatively weak.
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Liquidity and asset prices: a VECM approach [PDF]
, 2012 The recent financial and economic crisis highlighted the importance to better understand the relationship between liquidity developments and asset price movements. Central banks with focus on inflation targeting allowed asset price inflation, following burst, with its devastating consequences for the financial system and real economy. Equilibrium price
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