Application of Vector Error Correction Model (VECM) and Impulse Response Function for Analysis Data Index of Farmers’ Terms of Trade

Usman, Mustofa; Fatin, Dhia Fadhilah; Barusman, M Yusuf S; Elfaki, Faiz Ahmed Mohamed; Widiarti,

doi:10.17485/ijst/2017/v10i19/112258

Cited by 15 publications

(17 citation statements)

References 2 publications

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“…The impulse response function computes the compounding impact of a one-unit shock in one of the variables on the future values of the other endogenous variables (Winarno et al, 2021). It also attempts to determine the length of the shock's impact on one variable in comparison to the others (Usman, et al, 2017). Figure ( 4) displays the impulse response functions derived from VECM.…”

Section: Impulse Functionmentioning

confidence: 99%

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External debt in time of inflation in Egypt: a vector error correction model

Ghaly¹

2023

المجلة العلمیة للدراسات والبحوث المالیة والتجاریة

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Egypt's external debt has grown at a rapid pace. Meanwhile, higher indebtedness is related to rising inflation. Therefore, this study investigates the impact of Egypt's inflation on its external debt, as well as the interaction between these variables, notably the mutual impulse response. A "vector error correction model" (VECM) has been used to evaluate the variables of external debt stocks, final consumption expenditure, consumer price index, broad money, gross capital formation, and net trade in goods and services. Egypt's annual data has been used from 1976 to 2020. The results of the cointegration test using "Johansen's approach" show that cointegration occurs, confirming the adoption of the VECM technique. The major findings imply that inflation has a declining impact on external debt and a positive inflation shock initially reduces the external debt in the short and long term. Furthermore, the finding indicates a long-run equilibrium relationship between foreign debt and inflation, as well as bidirectional causality.

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Section: Impulse Functionmentioning

confidence: 99%

“…In this test, the skewness and kurtosis metrics were used. We compare the Jarque-Bera (JB) value to the value of chi-square with two degrees of freedom to see if the null hypothesis is rejected (Usman, Fatin, Barusman, & Elfaki, 2017). The test result shown in table (6) reveals that the residuals are normally distributed.…”

Section: Normality Testmentioning

confidence: 99%

External debt in time of inflation in Egypt: a vector error correction model

Ghaly¹

2023

المجلة العلمیة للدراسات والبحوث المالیة والتجاریة

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“…Applying the impulse-response functions will make it possible to represent the response of the endogenous variable to the shock produced by the exogenous variables. Usman et al (2017) and Benkwitz et al (2001) exemplify the mathematical estimation of the impulse-response function in the VECM model, which is also applied in the case of the present analysis, due to the existence of cointegration relationships. Thus, the Eqs ( 12) and ( 17) are the basis of the application of the impulse-response function, which can be found in the following form:…”

Section: The Analysis Of the Var Processmentioning

confidence: 99%

The Effects of Fiscal Policy Shocks on the Business Environment

Dobrotă

Vodă

Dumitraşcu

2021

Journal of Business Economics and Management

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Fiscal policy influences economic conditions through public spending and taxes, generating positive or negative impulses, both on short and long term. The present research focuses on analysing the effects of the discretionary changes in the fiscal policy in seven post-communist countries of the European Union during the period 2000–2018. The autoregressive distributed lag model (ARDL) has been applied in order to obtain the convergence rates to equilibrium with a clear analysis of the periods needed to achieve the long-run fiscal sustainability. Also, the error correction vector model (VECM), which is based on the autoregressive vector (VAR) model, has been used in the second part of the analysis focusing on the Cholesky factorization of innovations. Impulse-response functions aiming to estimate the response of government expenditures to the shock produced by three macroeconomic variables have been identified.

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“…Where y t is the element vector iy in time t, ∅ i is the order matrix n×n, whose elements are the coefficients of the vector y t−1 for i=1, 2., p, p is the lag length, c is the vector of the ordinate in origin, and ε t is the random shock vector (Usman et al, 2017).…”

Section: The Autoregressive Vector (Var)mentioning

confidence: 99%

An Empirical Study in Albania of Foreign Direct Investments and Economic Growth Relationship

Çakërri¹,

Muharremi

Madani³

2020

IJEFI

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Albania has managed to attract increasing foreign direct investments (FDI) inflows as a result of achieving political and macroeconomic stability, improving the business climate and legislation. FDI is an essential source of sustained economic growth for Albania, bringing in capital investment, advanced technology, and highly qualified management. FDIs have helped the country finance existing account deficits, further develop the financial sector, and increase employment possibilities. This paper aims to study the empirical relationship between FDI and economic growth in Albania from 2002 to 2017 using time series data. This research will assess whether the inflow from foreign direct investors into Albania has created a positive cointegration relationship on economic growth.

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Application of Vector Error Correction Model (VECM) and Impulse Response Function for Analysis Data Index of Farmers’ Terms of Trade

Cited by 15 publications

References 2 publications

External debt in time of inflation in Egypt: a vector error correction model

External debt in time of inflation in Egypt: a vector error correction model

The Effects of Fiscal Policy Shocks on the Business Environment

An Empirical Study in Albania of Foreign Direct Investments and Economic Growth Relationship

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