Essays about: "Johansen cointegration test and vector error correction model"
Showing result 1 - 5 of 9 essays containing the words Johansen cointegration test and vector error correction model.
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1. The impact of macroeconomic variables on the Swedish stock market : A VECM approach
University essay from Umeå universitet/NationalekonomiAbstract : This paper examines the effects of macroeconomic indicators on the Swedish stock market, during the period from December 2002 until December 2021. The effects are examined through a Vector Error-Correction model (VECM), which is based on Johansen’s test of cointegration. READ MORE
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2. Investigating the existence of a bank lending channel in Sweden
University essay from Umeå universitet/NationalekonomiAbstract : This paper uses quarterly Swedish bank-level data from 1999 to 2019 in an attempt to study the existence of a bank lending channel in Sweden. The bank lending channel is concerned with the role of credit in an economy, where it is argued that monetary policy can affect the real economy through a credit channel, in which banks shift their supply of loans to the public. READ MORE
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3. Renewable Energy Consumption and Foreign Direct Investment : Bangladesh's Case
University essay from Södertörns högskola/NationalekonomiAbstract : FDI investment is a vital factor for the developing countries economic growth. Apart from working as a catalyst of increasing total output level, FDI is a source of clean energy, technology transfer and energy efficiency. There have been very limited studies on the impact of FDI on renewable energy consumption in the context of Bangladesh. READ MORE
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4. Cointegration among cryptocurrencies : A cointegration analysis of Bitcoin, Bitcoin Cash, EOS, Ethereum, Litecoin and Ripple
University essay from Umeå universitet/NationalekonomiAbstract : The purpose of this paper is to examine if there is cointegration between the daily closing price of the cryptocurrency Bitcoin and five other cryptocurrencies; Ethereum, Ripple, Bitcoin Cash, EOS and Litecoin in five different time periods, all ending April 9, 2019. To test if there is a long-run relationship between Bitcoin and these mentioned cryptocurrencies, two different tests for cointegration are applied; the Engle-Granger two step approach and Johansen’s cointegration test as well as a Vector Error Correction Model (VECM). READ MORE
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5. The Impact of Brexit on the Swedish Economy : a Study on the Swedish Forest Products Export Sector
University essay from SLU/Dept. of EconomicsAbstract : On the 29th of March 2019, the U.K. is scheduled to leave the European Union. This withdrawal is estimated to affect both the U. READ MORE
