Essays about: "VECM"

Showing result 31 - 35 of 64 essays containing the word VECM.

1. 31. The Effect of Oil Prices on Floating Exchange Rates

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Maha Eshak; [2018]
   Keywords : VECM; VAR; oil prices; exchange rates; oil dependent countries; short-run causality; long-run causality; Granger; floating currencies; co-integration; ADF; Business and Economics;

   Abstract : This thesis contributes to the existing literature by examining the effect of oil prices on floating exchange rates of oil dependent countries. I conduct empirical tests on monthly data of 32 currencies over a timeframe of 15 years from 2003 to 2017 and 13 currencies over a timeframe of 25 years from 1993 to 2017. READ MORE

3. 32. Market integration and price transmission : analysis on Ethiopian sesame seed export

   University essay from SLU/Dept. of Economics

   Author : Addis Abera Ayalew; [2018]
   Keywords : commodity market; market integration; price transmission; cointegration; VECM;

   Abstract : This study investigates how the Ethiopian sesame seed export market is integrated to selected reference markets in China and the US. Cointegration and vector error-correction model (VECM) are employed using monthly data over the period 2010 to 2018. READ MORE

4. 33. An Investigation of the Swedish Consumption Function : An Error-Correction Approach

   University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

   Author : Robert Pölder; [2017]
   Keywords : Consumption; consumption function; vector error-correction model; forecast accuracy; intercept correction; cointegration; Sweden; wealth effects; housing wealth; financial wealth; vector autoregressive model; Bayesian vector autoregressive model;

   Abstract : This thesis examines the Swedish aggregate consumption function using the concept of cointegration, and explores whether consumption, income, financial wealth, and housing wealth share a long-run trend. The goal of the study was to determine the strength of this cointegrating relationship, the relative roles of housing wealth and financial wealth in the consumption function, and a suitable method for forecasting consumption. READ MORE

5. 34. The Potential of Intellectual Property Rights for Economic Development: A Case Study on India

   University essay from Lunds universitet/Ekonomisk-historiska institutionen

   Author : Yasmine Swilam; [2017]
   Keywords : Intellectual Property Rights – Economic Growth – Developing countries - India – Time Series Analysis – Cointegration – VECM – Granger Causality; Business and Economics;

   Abstract : Intellectual Property Rights’ systems have not yet been admitted as policy instruments favouring economic performance of developing countries, and Intellectual Property itself has not been recognised as an economic asset as yet. While there is strong argument that robust IPR system fosters economic growth and development, suspicions of this argument still hold up in the national and international debate. READ MORE

6. 35. THE RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES AND THE CHINESE STOCK MARKET-AN APPLICATION OF VECTOR ERROR CORRECTION MODEL

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Zhe Zeng; [2017]
   Keywords : ;

   Abstract : Using Johansen's vector error correction model, this paper investigates the long-term equilibrium between stock price and six selected macroeconomic variables in China. On testing different VECM models, we find that there is no long-term equilibrium between stock price and 6 macroeconomic variables, although there may exist long-term equilibrium among macroeconomic variables themselves. READ MORE