Essays about: "VEC Granger Causality"

Found 3 essays containing the words VEC Granger Causality.

1. 1. Do Inflation Expectations Granger Cause Inflation? A VEC Model Approach

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Alice Hindersson; Siri Jäderberg; [2023]
   Keywords : Forecasting; Inflation; Inflation Expectations; VEC Model; Granger Causality;

   Abstract : Being able to accurately predict future inflation is of great importance for a wide range of actors in the economy, as well as for the effectiveness of monetary policy decisions. In this thesis, we examine whether survey measures of inflation expectations contribute to more accurate inflation forecasts in Sweden. READ MORE

3. 2. Key Economic Sector Nexus and their Granger Causality with Electricity in Tanzania

   University essay from Göteborgs universitet/Graduate School

   Author : Emmanuel Ngereja; [2016-10-05]
   Keywords : multivariate; Augmented Dickey Fuller; Autoregressive Distributive Lag; Tanzania; Vector Error Correction Model; Vector Autoregressive; energy dependency;

   Abstract : This thesis uses annual data from 1970 - 2014 to investigate Granger causality between electricity production and key growth contributors in Tanzania. The multivariate analysis is done using Autoregressive Distributed Lag (ARDL) to check for co-integration; the Vector Error Correction (VEC) and Vector Autoregressive (VAR) models are employed for co-integrated and non-co-integrated variables respectively. READ MORE

4. 3. Long Run Relationships between Base Metals, Gold and Oil

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Wenjia Duan; Garib Yusupov; [2010]
   Keywords : Commodities; Weak Exogeneity; VEC Granger Causality; Johansen Cointegration Test; Business and Economics;

   Abstract : This paper investigates the possible presence of long-run relationships (cointegration) among base metals and between base metals, Crude oil and Gold, using the Johansen multivariate approach and VEC Engle-Granger causality tests. The commodities used are seven base metals: Aluminum, Aluminum Alloy, Copper, Nickel, Zink, and Tin (from the London Metal Exchange), Crude oil and Gold. READ MORE