Granger Error Correction Model Research Articles

Effect of Monetary Policy on Macro Economic Variables of Nepal

This study examines the effect of monetary policy on macroeconomic variables such as gross domestic product, real interest rate, inflation, unemployment and balance of payment etc. All the variables are intertwined with each other, and one way or the other it affects each other in both short run and long run. It is secondary research with causal comparative research design. It has quantitative nature and time series data are extracted from year 1990 to 2017 of six different macro-economic variables for the study. Statistical tools and applied econometrics namely, descriptive statistics, ADF, Johansen cointegration test, Engle- Granger error correction model are applied. The result from the statistical analysis shows that instruments of monetary policy has influence on the selected macroeconomic variables to some extent and satisfies to be relatively effective. Findings of the study reveals that there is long-run relationship between monetary policy and the selected macroeconomic variables in the Nepalese economy significantly from the error correction mechanism.

THE EFFECT OF TECHNICAL ASSET, FINANCIAL ASSET AND MACRO-ECONOMIC ON RETURN BITCOIN

This study uses research variables such as Trading Volume, Market Capitalization, S&P 500 Index, World Oil Price, Gold Price on Bitcoin Returns. The data source in this study is through internet media with the sites https://coinmarketcap.com/, https://finance.yahoo.com/, and other sites that support this research. The data used in this study are time series, and the target population for the data sample is 1,096 (3 years x 365) daily report data. The data were collected from January 1, 2020, to December 31, 2022, through the release of daily bitcoin transaction reports. Time series data analysis using Engel Granger's Error Correction Model is the method employed (ECM). The analysis tool used is the Econometric Views (Eviews) which is one of the computer econometric program. The results of this study where trading volume has a positive and insignificant effect on bitcoin returns. The impact of market capitalisation on bitcoin returns is both favorable and significant. Returns on bitcoin are positively and significantly impacted by S&P 500. The returns on bitcoin are negatively and insignificantly impacted by the price of world oil. Returns on bitcoin are positively and negligibly impacted by the gold price.

INFLUENCE OF INCOME INEQUALITY, ECONOMIC GROWTH, UNEMPLOYMENT ON INDONESIAN POVERTY IN 1992-2019

Indonesia cannot avoid the issue of poverty because it is a developing nation with a growing population. During the period from 1992 to 2019, the number of poor people in Indonesia fluctuated, fluctuating between increases and decreases each year. Therefore, it is necessary to conduct an analysis in order to determine the factors that contribute to poverty. This study's aims to examine the impact of income inequality, economic growth, and unemployment on poverty in Indonesia between 1992 and 2019. Time series data are utilized. The data utilized for analysis are secondary data from the World Bank and the Central Statistics Agency (hereinafter referred to as BPS). Through the E-views 10 software, the analysis tool employs the Engle Granger-Error Correction Model. The findings indicate that (1) short- and long-term income inequality has a negligible impact on poverty in Indonesia and (2) short- and long-term economic growth has a positive impact on poverty in Indonesia. on the long term, poverty in Indonesia has a significant impact In Indonesia, between 1992 and 2019, unemployment has no significant short-term impact on poverty, but a significant long-term impact.

FAKTOR-FAKTOR YANG MEMPENGARUHI STABILITAS EKONOMI SERTA IMBASNYA TERHADAP KINERJA SEKTOR KEUANGAN DI INDONESIA (PENDEKATAN COINTEGRATION, ERROR CORRECTION MODEL DAN FINANCIAL DEEPENING)

The research and study cover a theoretical discussion and empirical study on factors affecting the Economic stability and their impact on the performance of the financial sector based on Quartely data from 2001Q1 to 2017Q2. The research employs the Cointegration and Engle Granger-Error Correction Model (ECM) approach by applying the Ordinary Least Square (OLS) method. The ECM is performed to anticipate the possibility of errors and disparity between the theoretical model and the statistical model as well as to identify long-term balance and validity of the model employed in the research. The research results indicate that within a long-term period, there is balance between changes in the GDP and the monetary variables i.e. interest rate, inflation, M2 and rupiah exchange rate despite the fact that the M2 variable does not significantly affect the GDP within the observed period. On the other hand, within a short-term period changes in the GDP affected significantly by the ECT variable. Within such a period, interest rate, inflation, M2 and exchange rate variables do not significantly affect GDP. Thus, it can be concluded that the GDP tend to respond to changes occurring in monetary variables, especially interest rate, inflation and M2. Currently, the result of financial performance analysis shows that the average of the financial deepening quartely in Indonesia during the observation period is 3.80 percent. In addition, the quartely average of Indonesia's economic growth was 1.36 percent, while M2 growth during the same period was 3.03 percent.

Economic Liberalization Impact, Fiscal Conditions, and Tax Ratio to Welfare

Global economy has currently integrated and has been interdependent between the developing and developed countries. The improved integration and interdependence level is expected to improve citizens’ welfare. This study aims at testing the correlation between fiscal and trade policies and welfare in ASEAN countries + 3 countries (Singapore, Malaysia, Indonesia, Thailand, Philippines, Brunei Darussalam, Cambodia, Vietnam, Myanmar, Laos + Japan, China, and Korea). It used the secondary data from World Bank, Asian Development Bank (ADB) and Economist Intelligence Unit from 1990 to 2015. The analysis uses the POLS-ECM (Panel Ordinary Least Square-Eagle Granger Error Correction Model). The results of analysis show that economic growth, infrastructure capital expenditure, economic openness, and tax ratio had a significant effect on welfare ASEAN + 3 countries

VOLATILITAS NILAI TUKAR RUPIAH TERHADAP DOLAR AS DAN FAKTOR-FAKTOR YANG MEMPENGARUHINYA DI INDONESIA (PENDEKATAN COINTEGRATION DAN ENGLE GRANGER-ERROR CORECTION MODEL)

The research and study cover a theoretical discussion and empirical study on Volatility Of Rupiah Exchange Rate to Us Dollar And Factors that it Influence based on Quartely data from Q12001 to Q42015 . The research employs the Cointegration and Engle Granger-Error Correction Model (ECM) approach by applying the Ordinary Least Square (OLS) method. The ECM is performed to anticipate the possibility of errors and disparity between the theoretical model and the statistical model as well as to identify long-term balance and validity of the model employed in the research. The research results indicate that within a long-term period, there is balance between changes in the rupiah exchange rate and macro-economic variables, i.e. interest rate and inflation within the observed period. On the other hand, within a short-term period changes in the rupiah exchange rate are affected significantly by interest rate, inflation and the ECT variable. Within such a period, PDB, and M2 variables do not significantly affect the volatility of rupiah exchange rate. Thus, it can be concluded that the rupiah exchange rate tend to respond to changes occurring in macro-economic variables, especially interest rate and inflation.

Impact of Financial Deepening on Economic Growth in Indian Perspective: ARDL Bound Testing Approach to Cointegration

The present work is an attempt to investigate into the causal impact of financial deepening on economic growth in case of India. For analyzing the long term equilibrium relationship between the desired variables, we have employed Autoregressive Distributed Lag (ARDL) Bound testing approach. ARDL being a new approach is an improvement over the other traditional techniques of cointegration. Further, using the Granger Error Correction Model (ECM) technique we have tried to estimate the causal impact in the short run also. The findings suggest that there exist an equilibrium relationship in long run between financial deepening and economic development. Results suggested that financial deepening causes economic growth in the long run and also in the short run. Therefore, it is concluded that for enhancing the economic growth the government has to take effort to improve the financial deepening. Special efforts should be put to provide easy credit to private sector, stock market development and also to foster foreign trade.

Econometric Analysis of China's Plywood Market

China's primary wood-processing industry and wood-consuming sectors have experienced rapid growth in recent years. Plywood is the most important primary wood product in China in terms of consumption, production, and exports. One of China's most important export destinations is the United States, to which China exports not only plywood but also wood in the form of furniture. In this article, we analyze the development of China's plywood industry since the 1990s; provide an overview of the demand, supply, and exports of Chinese plywood; and present the results of econometric models. The Engle― Granger error-correction model was applied to an analysis of annual time-series data from 1993 to 2007. The results suggest that most of the growth in China's plywood demand was primarily driven by the growth in consumer income, while an increase in product price had only a small negative effect. In contrast, an increase in raw material price had a significant negative impact, but end-use sector activity had no significant effect on China's plywood supply. During the same period, the growth in China's plywood exports was due to consumer income growth in the US market. Knowledge of the elasticities and findings presented here can serve as a useful reference for foreign and domestic wood product companies that plan their investments, as well as government agencies and public authorities that plan economic and forest policies.

ANALISIS TINGKAT PARTISIPASI WANITA DALAM ANGKATAN KERJA DI JAWA TENGAH PERIODE TAHUN 1982-2000

At industrialization phase, women will be shifted by men because the increasing of unemployment. When economic development reaches a certain stage, the trend of development turned with increasing women employment. Purpose of the research that will be reached is to estimate influence of women unemployment, women resident that managing household, and women residents that still school on the level of women participation in the labor force in Central Java (1982-2000). This study clarifies the factors that influence the level of participation of women in the labor force and improve the existence theory of the labor force participation rate. One way to analyze the effect of short-run and long run is to use a dynamic model. In this research model used is the Engle Granger Error Correction Models (EG-ECM) which based on "granger representation theorem". The result knows the variable having influence which significance in short-run are women resident that managing household and women resident that still school.

ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI INVESTASI DALAM NEGERI DI JAWA TENGAH TAHUN 1980-2002

Investment is one of important component for sustainable economic development process. The research objective that want achieved is to estimate influence of labour, inflation, PDRB, and interest rate to domestic investment (PMDN) in Central Java. The research benefit was to clarify factors that influenced domestic investment and gave insight and input for local government in formulating economy policy.One of method for analysing long-run and short run influence was by using dynamic model. In this research, model which applied was ENGLE GRANGER ERROR CORRECTION MODEL (EG-ECM) based on granger representation theoremResult of this research indicated that domestic investment one year ago was variable which influenced significantly in short run while rate of interest influenced in long run.