Error Correction Model

The authors are grateful for comments from discussants Anthony Murphy and José García Solanes as well as other participants in the XXII Simposium Moneda y Crédito. The authors also thank Clemens Kool, Douglas Evanoff, Anna Paulson, Gene Anronmin, and other participants in the annual meetings of the Midwest Finance Association in Chicago in March 2009. They acknowledge financial support from the Spanish Ministry of Science and Innovation and FEDER (ECO2008-05243/ECON). The views expressed here are the authors' and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. Any remaining errors are the authors' responsibility.

Foreign Direct Investment (FDI) is one of the superior strategies commonly used by governments from developing countries to obtain funding for development. Because of the research that concentrates on risk management, the authors tried to use six free variables derived from the economic framework.  The goal is to be able to find out how the selected free variables affect long - term and short - term FDI optimization.  Then from the six variables, the author identified unexpected incident which can cause the risk of FDI optimization in Indonesia. Error correction model is the method used by the author to process the data. The results showed similar results for both the long and short term. Exports and foreign debt are variables that do not significantly affect the presence of FDI in Indonesia. Meanwhile, interest rates and exchange rates are free variables that have a positive and significant effect, while labor and GDP have a negative and significant effect.

Nigeria currently has the largest economy in Africa with a GDP of $477.38 billion (Michael, 2023). However, the country's great fortune, which is majorly driven by petroleum exports, has not successfully translated into a sustained economic development, as the nation continues to endure widespread poverty and income inequality for decades due to many contributing factors, including rapid population growth, low standard of education, and corruption. Consequently, Nigeria has looked to Overseas Development Assistance (ODA) as one of many means to address its economic problems, and this ODA phenomenon has raised debates among scholars with regards to its positive or negative impact, and the significance of such impact on the Nigerian Economy. This study investigated the amount of ODA received by Nigeria for the period 1981-2021, and the changes that such assistance has effected on the GDP of the nation. The study examined the empirical research by other scholars, for the same study, under a spectrum of economic, geographic and political climates. The Auto Regressive Distributed Lag (ARDL) Bounds Cointegration Test and the Granger Causality test were adopted for this study, and the results revealed that ODA impacted Nigeria's GDP significantly and positively in the period of study. This study therefore recommends that the Federal Government of Nigeria, as well as other stakeholders, should pursue and maintain more favourable relationships with the international multilateral and bilateral donors, in order to boost economic growth in Nigeria.

The study investigated the maximum manufacturing sector output required for poverty reduction in Nigeria from 1981 t0 2022. The objectives of the study were to analyze the impact of manufacturing output on poverty reduction, determine the required maximum manufacturing output to reduce poverty and trace the direction of causality between manufacturing output and poverty reduction in Nigeria. Pre-estimation tests of unit root and cointegration were carried out using Augmented Dickey-Fuller (ADF) tests of stationarity and co-integration in order to find out the possibility of mean reversibility and the existence of long run relationship among the variables used in the model. The study employed a quadratic non-linear model to determine the maximum manufacturing sector output required to minimize poverty in Nigeria. The study further applied Error Correction Model (ECM) to trace the speed of adjustment in addition to short run dynamic effects. Granger Causality test was done to trace the direction of causality between variables in the model. The result of the Augmented Dickey-Fuller unit root test showed that all the variables were stationary at first difference, I (1) except external debt which was integrated of order two I (2). The result of the non-linear quadratic regression indicated a maximum of 7.65% of the manufacturing output in a long run and 5.378% in a short run to minimize poverty in Nigeria. The result of the short run dynamics indicated that MSO had positive impact on household consumption (proxy for Poverty). A unit increase in manufacturing sector output increased household consumption by 217.43. The findings of the Pairwise Granger Causality test showed a unidirectional causality running from poverty to manufacturing sector output and a bi-directional causality between exchange rate and manufacturing sector output in Nigeria.

This study assess the impact of NIRSAL microfinance Bank Covid-19 loan in promoting growth and sustainability of SMEs in Nigeria from critical review of literatures in this area. The paper relied chiefly on secondary and partly on primary sources of data. The methodology employed for the study is the desk research approach. From the vivid analysis it is well-known that awareness was insufficient disfranchising many, accessibility to the portal for registration was a challenge there by disfranchising many intended applicants. This findings is consistent with the earlier researches conducted by other people. The study thus concluded that even though the objectives of the loan facility were undermined the loan facility has greatly impacted on the socioeconomic well being of those who got it and that of their family members hence cushioning the adverse effects of Corona virus pandemic on small and medium scale enterprises. The study recommended; increase awareness, credibility in the disbursement process use of agent banking for effective and efficient disbursement and repayment and improved network for easy access to the online portal for application.

The agricultural sector plays a crucial role in the Indonesian economy. However, the farm sector still has serious problems, including agricultural product prices, which often fall when the harvest supply is abundant. So often, the income obtained is not proportional to the price spent by farmers, which has an impact on decreasing the welfare of farmers. An indicator to observe changes in the interest of Indonesian farmers is the Farmer Exchange Rate Index (NTP). This study aimed to form a model and project the welfare level of farmers in Indonesia, focusing on NTP indicators, which are caused by the influence of variables such as inflation, Gross Domestic Product (GDP), interest rates, and the rupiah exchange rate. The method used was the Vector Error Correction Model (VECM), used when there are indications that the research variables do not show stability at the initial level and there is a cointegration relationship. The results of this study showed that in the long run, significant factors affecting NTP are inflation, interest rates, and the rupiah exchange rate. Meanwhile, in the short term, the variables impacted were GDP and the rupiah exchange rate. The resulting VECM model showed a MAPE error rate of 1.79%, indicating excellent performance, as the MAPE error rate was below 10%. The implication of this research is to provide information related to NTP projection that can be used to formulate strategies to strengthen Indonesia's agricultural sector.

This study examines investor sentiment and stock returns in Nigerian capital market, covering period 30/04/2019 to 02/06/2025, using daily secondary time series data with focus on impact of sentiment factor on stock returns and identifying most important sentiment factor that could influence stock returns. The study adopts Autoregressive Distributed Lag (ARDL) estimation technique to analyze the dynamic interactions between investor sentiment and stock performance. The study findings revealed exchange rate (EXR) and volatility index (VIX) as the most important sentiment factors, and both are statistically significant with positive coefficients to influence stock returns. Also, the study revealed stock returns and volatility have mean-reverting behaviour, which implies that irrespective of the market and economic conditions, stock returns and volatility can correct its mispricing. The result also showed the presence of long and short run effects, with EXR and VIX showing a positive influence on stock returns.

This study was conducted against the backdrop of rapid infrastructural development in Nigeria, particularly the construction of the Amansea-Ebenebe-Awba-Ofemili road in Awka North Local Government Area, Anambra State, and its potential influence on land values. Infrastructural projects such as road construction have long been identified as catalysts for changes in land value, urban expansion, and real estate investments, yet little empirical research exists on their localized impacts in semi-urban settings like Ebenebe. The aim of this study is to investigate the impact of road construction on land values in Ebenebe between 2014 and 2024. Specifically, the study pursued four objectives: to examine the trend of land value changes before and after road construction, to assess its influence on real estate development, to analyze its impact on different land use types, and to explore the socioeconomic implications for local residents. Data were gathered through questionnaires, semi-structured interviews, and field observations, involving practicing estate surveyors and valuers. The population for the study consisted of 63 registered real estate professionals in Awka, with a total of 60 valid responses received. For data analysis, a combination of descriptive statistics, paired sample t-tests, ANOVA, and thematic analysis was used. The results revealed a significant increase in land values post-road construction, with average land prices rising from ₦650,000 before construction to ₦2.25 million after, and as high as ₦5.5 million in 2024. The study recommends that policymakers implement inclusive urban planning policies-such as affordable housing schemes and land use zoning-to prevent displacement and ensure equitable benefits for local communities.

Money borrowed from another country is referred to as external debt. This money must be repaid in the currency in which it was borrowed. Except for a small portion of early childhood and elementary school costs, which are primarily the responsibilities of county communities.

The paper utilizes a comprehensive approach to threshold cointegration to analyse the Israeli per capita Gross Domestic Product (GDP) growth dynamics. The time-series data for the years 1980–2019 are taken. The study uses a two-regime threshold error correction model (TECM) to test short- and long-term growth factors. The results reveal that Research and Development (R&D) expenses measured as a percentage of GDP are the primary driving force in the long and short term. The threshold value of 3.25% of GDP exhibits a substantial difference between the two regimes corresponding to the development phases of the Israeli economy. The results are validated using various tests for threshold models. The general conclusion is that the applied hierarchical procedure for TECM model construction is robust and universal for modeling economic growth. The results allow the formulation of policy implications.

The impact of foreign direct investment on economic growth in Nigeria is examined in this study with the use of secondary data sourced from the world development indicator from 1985 to 2023. The model adopted by this research work as empirical strategy to examine the relationship between foreign direct investment and economic growth is the auto regressive distributed lag (ARDL) model. The findings revealed that the impact of foreign direct investment on economic growth in Nigeria is negative in the short run but positive in the long run. The researchers therefore recommended that policymakers must create a stable and investment friendly environment to attract and retain high quality foreign investments.

Exchange rate volatility is also one of the factors which determine the inflation of a country. Therefore, this study aims to analyze the relationship between the exchange rate volatility and inflation in Sri Lanka over the period 1977-2020. This study has used inflation as the dependent variable. Exchange rate, export, import, money supply and foreign direct investment are used as the independent variable. Augmented Dicky- Fuller test is employed to identify the stationary of the variables. This result indicates that the variables are stationary in order one. Johansen Co-Integration test found that there is a positive and significant relationship between the exchange rate volatility and inflation, money supply and export and a negative correlation between the import. Adjustment toward the long-run equilibrium is ensured from the Vector Error Correction model result. But, there is no significant relationship in the shortrun between the exchange rate volatility and inflation. Accordi...

Foreign direct investment acts as an engine of rapid growth and development of developing and emerging countries. It helps to promote the host nation's economic growth, financial inflows and markets, technology, and skills. This study aims to identify the dynamic influence and relationship between Foreign Direct Investment (FDI) and interest rate in Sri Lanka over the period 1978 to 2020. Foreign direct investment inflow has been used as the dependent variable while gross domestic products, interest rate, inflation rate, trade openness and exchange rate are the independent variables. This study used the ARDL model for the analysis. According to the bound test, F statistics is greater than the upper bound value. Therefore, this study confirmed that there is a cointegration relationship between foreign direct investment inflows and other explanatory variables. A negative and significant error correction coefficient of FDI inflows reveals that 128% disequilibrium is corrected each year which implies that FDI moves downward towards long-run equilibrium. This study found that there is no substantial relationship between the interest rate and FDI inflows in the long run and a negative and substantial relationship in the short run. Therefore, this study suggests that the government of Sri Lanka has to reflect on developing a monetary policy and maintaining the balance of interest rate and exchange rate. Because of the currency depreciation, the exchange rate negatively influences FDI.

The study investigated the impact and the determinants of Deposit Money Banks' loans and advances granted to agricultural sector in Nigerian sector from 1980 to 2011. In doing this the study employed rigorous econometric methods such as the multiple OLS regression, Philips-Perron, Unit Root Stationarity Test, Johnansen Co-integration, Parsimonious Error Correction Mechanism andGranger Causality Test with the help of E-views statistical package version 3.0. The results of the study revealed that the overall model is statistically significant. Based on this, the study concluded that deposit money banks' loans and advances did make positive impact on the agricultural sector of Nigerian within the period of review. The study therefore recommended that the Federal Government and Monetary Authorities should respectively use expansionary fiscal and monetary policies to expand the volume of loans and advances that are given to agricultural sector of Nigeria. As a matter of policy ac...

This research aims to analyze the impact of oil price shocks on stock market indices using the VECM. The data spans from January 1, 2000, to December 31, 2023, capturing both short-term dynamics and long-term equilibrium relationships. Key findings indicate that oil price shocks significantly influence stock market indices, with varying impacts across different regions. For instance, Japan and Vietnam exhibit stronger negative effects compared to other regions. The results also reveal differences in the speed of adjustment towards long-term equilibrium, highlighting varying levels of market efficiency. The Johansen cointegration test results reveal significant long-term equilibrium relationships between oil prices and stock market indices, underscoring the interconnected nature of these variables. The study concludes that oil prices are a critical factor in stock market performance, underscoring the need for informed strategies by investors, corporate managers, and government agencies to mitigate risks and capitalize on opportunities. These insights are crucial for understanding the interconnected nature of global financial markets and developing effective risk management strategies.

This study aimed to scrutinize the impact of financial development, energy consumption, industrialization, and trade openness on economic growth in Indonesia over the period 1984–2018. To do so, the study employed the autoregressive distributed lag (ARDL) model to estimate the long-run and short-run nexus among the variables. Furthermore, fully modified ordinary least squares (FMOLS), dynamic least squares (DOLS), and canonical cointegrating regression (CCR) were used for a more robust examination of the empirical findings. The result of cointegration confirms the presence of cointegration among the variables. Findings from the ARDL indicate that industrialization, energy consumption, and financial development (measured by domestic credit) positively influence economic growth in the long run. However, financial development (measured by money supply) and trade openness demonstrate a negative effect on economic growth. The positive nexus among industrialization, financial development,...

The foreign trade deficit, which has become one of the major problems of recent years, in Turkey's economy is still on the agenda. In this study, for the period of 1984: 01-2017: 04 data has been used for the investigation of sustatinability of foreign trade. In the study, the method, which is proposed by and based on testing the cointegration relationship between variables, is used. The presence of a cointegration relationship between the series is investigated using cointegration test proposed by , the long-run cointegration coefficients are estimated by DOLS and FMOLS methods. The results show that foreign trade deficit has weak sustainability in long-term for Turkey.

In international trade, two markets are spatially integrated when the price of one commodity traded continuously and has the same price movement after adjusting the exchange rate and transaction cost. This condition indicates that price efficiency because information on price is well spread, so no participant of market can manipulate the price. Price movement of Indonesian cocoa beans has different movements with price of world market and importing countries. This indicates no price transmission, which means there is price discrepancy of Indonesia with world market and importing countries. This study examined degree of integration and price efficiency of Indonesia cocoa beans with world market and importing countries. Integration analysis using Cointegration Johansen approach, Vector Autoregression (VAR)/Vector Error Correction Model (VECM) and price efficiency analysis using the Generalized Autoregeressive Conditional Heteroscedasticity (GARCH) approach . The results showed that the price of Indonesian cocoa beans integrates long term with the price of cocoa beans in the world market (New York Board of Trade) and India. In the short term price of Indonesian cocoa beans integrated with the price of cocoa beans in Malaysia. Among the prices of Indonesian cocoa beans with USA does not happen both long-term and short-term integration. The price of Indonesian cocoa beans in the spot market of Makassar is included in the efficient market category of weak forms, where the current price reflects a set of pricing information in the past.

In international trade, two market are spatially integrated when the price of one commodity traded continuously and has same price movement after adjusting the exchange rate and transaction cost. This condition indicate that price eficiency because information of price is well spread, so no participant of market can manipulate price. Price movement of Indonesian cocoa beans has different movement with price of world market and importing countries. This indicate no price transmission, which means there is price discrepancy of Indonesia with world market and importing countries. This study examined degree of integration and price efficiency of Indonesia cocoa beans with world market and importing countries. Integration analysis using Cointegration Johansen approach, Vector Autoregression (VAR)/Vector Error Correction Model (VECM) and price efficiency analysis using the Generalized Autoregeressive Conditional Heteroscedasticity (GARCH) approach . The results showed that the price of In...

Malaysia is also affected by the economic crisis as it applies the door-to-door policy economy even though the crisis has started on a global platform. Therefore, the objective of this study is to see how far economic recession affects development expenditure, domestic investment, and foreign direct investment in Malaysia. Using secondary data from 1980 to 2015, unit root tests, Johansen co-integration test, Vector Error Correction Model (VECM), and Granger-causality test were carried out. The findings showed that there was a long run relationship between the economic recession and at least one independent variable while there was no short run relationship between the variables. For causal relationships, the economic recession was the cause of domestic development and investment expenditure while foreign direct investment was the cause of the recession, domestic development, and investment spending. Hence, the government must ensure economic stability by implementing various policies.

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This study examines the relationship between the stock market and selected macroeconomic variables in Nigeria. The all share index was used as a proxy for the stock market while inflation, interest and exchange rates were the macroeconomic variables selected. Employing error correction model, it was found that a significant negative short run relationship exists between the stock market and the minimum rediscounting rate (MRR) implying that, a decrease in the MRR, would improve the performance of the Nigerian stock market. It was also found that exchange rate stability in the long run, improves the performance of the stock market. Though the results for Treasury bill and inflation rates were not significant, the results suggests that they were negatively related to the stock market in the short run thus, achieving low inflation rate and keeping the TBR low could improve the performance of the Nigerian stock market. Specifically, the study concludes that, by achieving stable exchange...

The paper examines the revenue-spending hypothesis for Nigeria using macro data from 1970 to 2011. Correlation analysis, granger causality test, regression analysis, lag regression model, vector error correction model and impulse response analysis were the techniques used for analysis. The paper found that revenue and expenditure are highly correlated and that causality runs from revenue to expenditure in Nigeria. The vector error correction model also confirms that there is a significant long run relationship between revenue and expenditure implying that disequilibrium in expenditure can be corrected in the long run through policies that adjust oil and non-oil sector revenues. The lagged regression model showed that the positive relationship between revenue and expenditure reverts to negative at lag five thereby justifying the need for the use of medium term expenditure framework to monitor expenditure patterns in the short to medium term. The paper concludes that short term shocks from crude oil price passes through oil revenue to affect expenditure. This has led to swings in public expenditure pattern with sustained increase of recurrent expenditure over capital that has consequences for economic growth. Putting policies in place to enhance the performance of the non-oil sector and adopting expenditure framework that accounts for possible decline in crude oil prices was conceived as useful in enhancing a healthy revenue-expenditure relationship in Nigeria.

Health sector in any country has been recognized as the primary engine of growth and development. This study makes a modest contribution to the debates by empirically analyzing the contribution of Nigeria Health sector recurrent spending on its output using time series data from 1961 to 2012, obtained from the Central Bank of Nigeria. It employs the Ordinary Least Square (OLS) regression technique and Pair wise Granger Causality tests. The estimation reviews that Political Stability (PSB) and Consumer Price Index (CPI) in Nigeria have positive effect on Total health output (HGDP) while Total Government Recurrent Expenditure on Health (TGREH) has a negative effect on Total health output (HGDP). On the contrary, rising Government recurrent expenditure on health does not results to an increase in Total health output. Based on the result of granger causality, the paper concludes that a very weak causality exist between the two main variables used in this study. The authors therefore advised that there should be a reduction in government recurrent expenditure in the health sector. Also there should be a high degree of transparency and accountability in government spending.

The revenue profile of Nigeria consists of over 70% from oil and gas. The main objective of this study therefore is to provide empirical evidence of the long and short run equilibrium relationships between oil revenue and education output in Nigeria. The outcome of this study will not only assist government in making growth enhancement adjustments in fiscal policy but will be of benefit to the larger reading public. Time series data ranging from 1970 to 2014 of oil revenue and education contribution to GDP was collected from the Central Bank of Nigeria. This paper employed autoregressive distributed lag (ARDL) technique to cointegration to determine the long-run relationship oil revenue and education output in Nigeria. The error correction model of the autoregressive distributed lag approach reveals that education growth in Nigeria is measured by oil revenue and inflation rate in this paper. It was recommended that government should make sure that oil revenue is properly managed in a manner that it will raise the nation's production capacity, reduce unemployment which will in turn make more people earn income that they will use to send their children to school invariable, accelerate education growth.

This paper investigated the education sector's budget shortfall based on UNESCO's recommendation of a 15-25% budgetary allocation to the education sector for developing countries (forgone expenditure) and its effect on education growth in Nigeria using annual data from 1981 to 2019. This paper used Vector Error Correction Mechanism (VECM), impulse response, and variance decomposition simulations to explain the response to shock amongst the variables. In addition, the study used the VECM Granger causality approach to understand shortrun causation among variables through F-/Wald test simulation. Later, the aforementioned simultaneous system equation is evaluated using ordinary least squares (OLS). In its three lags, empirical results show that forgone education spending has a positive and substantial association with education growth, whereas real education expenditure has a negative relationship with education growth. The VECM Granger causality result also shows that forgone education expenditure causes education growth. A closer examination of the impulse response function reveals that foregone education expenditure will contribute to educational growth in the short and long run. Based on the findings, the government should boost its share of education spending to achieve the UNESCO recommendation of 15-20%. Furthermore, government education spending should be properly managed in order to improve educational growth.

The study empirically examined the impact of changes in crude oil prices on economic growth in Nigeria from 1986 to 2015. Times series data on crude oil price, inflation rate, real effective exchange rate, fuel pump price and GDP growth rate were gathered from secondary sources that include World Bank Development Indicators, BP Statistics and Central Bank of Nigeria (CBN) Statistical Bulletin. Ng-Perron and Zivot-Andrews Tests, Johansen’s co-integration Test, Granger Causality Test and the Vector Error Correction Model (VECM) were employed as techniques of analysis. The time series property examined showed the existence of co-integration among the variables while the empirical results suggest that the ECT coefficients have negative signs and are statistically significant in all VECMs. In addition to that, the significance of ECT also exhibits that if the system is exposed to shock, it will converge to the long-run equilibrium at the following speed: for GDP (-0.8002), inflation (-0....

This study investigates how trade openness affects food security in South Africa from 2000 to 2021. Using a Vector Error Correction Model (VECM), the study analyses short-run and long-run impacts of trade policies on national food security, particularly within the context of the African Continental Free Trade Area (AfCFTA). Findings indicate that trade openness improves food security in the short-run, largely due to increased agricultural exports. However, the long-run effects are more nuanced, influenced by factors such as exchange rates, inflation, and agricultural investment. The study highlights the need for policies that support both trade expansion and economic stability, recommending an export-led growth approach to enhance food security.

This study was conducted on the “Inflation and Economic Growth Nexus in Nigeria” using annual time series data from 1961 to 2014. The aim of the study was to determine the relationship between inflation and economic growth in Nigeria for a longer period of 54 years. This study was organized into five different sections. Section I was on introduction, section II was on literature review and empirical literature, section III dealt with the methodology of the study, section IV was on the results and discussions while section V was on conclusion and recommendations. Preliminary tests of stationarity were conducted and the series under investigation were found to be I(0) variables. The study employed the use of Ordinary Least Squares method, Johansen Cointegration method, Error Correction mechanism and Granger Causality method to ascertain both the impact of inflation on economic growth as well as the relationship between the two variables. The result of the OLS regression analysis revea...

Taxing is one of the sources of state revenue, and on the other hand, economic growth can influence taxing, as economic activities done during the process of Growth will increase or decrease the tax revenue. The effect relies on the period as well volume of economic activities. The objective of this paper is to measure the effect of economic growth on tax revenue in the Egyptian economy in the period from 1975 to 2022 to this end, in an Autoregressive Distributed Lag (ARDL) approach has been employed, using six variables: Tax revenue (% of GDP), GDP (current LCU), GDP per capita (current LCU), Inflation, consumer prices (annual %), Gross capital formation (current LCU), and Unemployment, total (% of total labor force) (national estimate). The Importance of this paper exists because our point of departure from the current studies lies in the fact that we measure the effect of economic growth on tax revenue in Egypt not the opposite as other literature did. The results showed unemployment and gross capital formation to be insignificant. GDP currency and GDP per capita were significant in the short run and inflation of consumer prices was significant in the long run. Key Words: Egypt, economic growth, tax revenue, Autoregressive Distributed Lag (ARDL)

Foreign direct investment amongst other mechanisms provides capital inflow meant to stimulate economic growth. Apart from promoting economic growth, FDI can also lead to increase in employment, technology, technical knowhow and managerial skills. South Africa has implemented various policy initiatives in attempts to attract foreign investment. This study investigates on the effect of foreign direct investment on economic growth, with particular reference to the South African economy. The period of study is from 1980 to 2010. Johansen cointegration and Vector Error Correction Modelling (VECM) framework where utilised as estimation techniques. Variables specified in the methodology include real gross domestic product (RGDP), foreign direct investment (FDI), domestic investment (INVE), real exchange rate (REXCH) and foreign marketable debt (DEBT). The long run results showed that FDI, REXCH and DEBT have a negative impact on growth. INVE has a positive impact on growth. The impulse response and variance decomposition analysis complemented the long and short-run findings. Conclusions and policy recommendations were made using these results.

This paper examined the impact of the service sector on economic growth of Nigeria. The study covers the period 1981 to 2019 and data were obtained from the Central Bank of Nigeria statistical bulletin. The Augmented Dickey-Fuller unit root, Granger Causality test, Vector Autoregressive (VAR) approach, Bounds test for cointegration, and vector error correction mechanism were utilized in analysing the data. Findings of the study revealed that a bidirectional causality exist between service sector and economic growth of Nigeria. Meanwhile, the VAR result presented an evidence of weak exogeneity of the service sector in predicting economic growth. However, both broad money supply and total government expenditure exerted a significant impact on economic growth. From the impulse response function, it was discovered that economic growth responded negatively to shocks in service sector output both in the short run and in the long run; while the variance decomposition indicated that gross d...

Purpose -This article aims to examine the relationship between the economic performances of Turkic States and the economic, social and political globalization indexes, which are the sub-dimensions of the KOF globalization index for the period 1991 to 2019. Design/Methodology/Approach -For this purpose, firstly, cross-sectional dependence and homogeneity tests are applied. Then, Gengenbach, Urbain & Westerlund (2015) cointegration test and Pedroni's Dynamic Ordinary Least Squares Mean Group Estimator (DOLSMG-Demean) tests are applied for the panel data set with cross-sectional dependence and heterogeneous structure. Findings -As a result of the cointegration test, a long-term relationship is determined between the variables included in the analysis. In addition, a positive and statistically significant relationship between economic performance and economic globalization; a negative and statistically significant relationship between economic performance and social globalization are found in Turkic States. Even if political globalization had a positive effect on economic growth, it was not statistically significant. Research Implications -Therefore, governments should reduce foreign trade barriers, increase foreign trade volume, encourage international trade and benefit more from economic globalization by improving tax policies. In addition, policies that reduce the negative effects of social globalization on economic growth should be adopted.

Based on monthly data, the long and short run price-dynamics in Turkish broiler supply chain are analyzed for the 1994-2008 time period. The Autoregressive Distributed Lag (ARDL) bound testing approach is used to test the short and long run dynamic price adjustment, respectively. Findings show that there is a significant short and long term relationship among the input, retail and wholesale prices.

This thesis examines the relationship between the bilateral real exchange rate and the trade balances of 20 industries in which majority of the trade between Turkey and her leading partner Germany is carried out, both for the short and long run, in search of the existence of any J-curve effect. Using quarterly data over the period 1989:1-2011:3, the relationship is analyzed empirically through the bounds testing approach to cointegration and error correction modeling. The findings show that, although the pattern created by a depreciation does not follow the compl ete J curve in any of the industries, still the exchange rate as well as foreign and domestic real incomes are effective determinants of bilateral trade balance between Turkey and Germany in majority of the cases both in the short and in the long run. Moreover, this thesis provides strong support for the assertion that at the disaggregate level industries exhibit unique and distinct trade balance responses to exchange rate ...

This study makes a modest contribution to the debates by empirically analyzing the relationship between inflation and economic growth, using time series data from 1970 to 2013, obtained from the Central Bank of Nigeria Annual Report and Statement of Account and West African Institute for Finance and Economic Management. It employs the Engle-Granger two step modeling (EGM) procedure to co-integration based on unrestricted Error Correction Model and Pair wise Granger Causality tests. The result obtained reveal good degree of correlation between dependent and the independent variables. This is captured by the explanatory power of the models result of R-squared (R 2) value of 0.69 and adjusted Rsquared (R 2) value of 0.65. From the analysis, our findings indicate that inflation and economic growth are positively related and that increase in inflation rate does not reduce economic growth which implies that, the rising cost of goods and services is not as a result of increase in real gross domestic product rather, it is as a result of rising cost of production more especially, the cost of energy and they both have short and long-run relationships. The granger causality test reveals uni-directional Causality running from inflation to economic growth at both lag 2, 3 and 4. The speed of adjustment to equilibrium is 58% within a year when the variables wander away from their equilibrium values. Based on the result of granger causality, the paper concludes that a very weak causality exist between the two variables used in this study. Therefore, the policy implication of these findings is that any increase in inflation rate would not have a negative repercussion on economic growth in Nigeria and recommends that government should come up with transparent policies that will improve the power sector.

This study explored the relationship between energy commodities, economic growth, and Nigeria's carbon dioxide (CO₂) emissions spanning from 1981 to 2021. Employing the Vector Error Correction Mechanism (VECM) process, the study revealed a negative correlation between fossil fuel consumption, economic growth, and carbon dioxide emissions. Long-term elasticities indicate that carbon dioxide emissions would rise by 24 and 211% if both fossil fuel consumption and economic growth decreased by 1%, contradicting the Environmental Kuznets Curve (EKC) theory in Nigeria. Nevertheless, a positive correlation was observed between carbon dioxide emissions and the total annual population. As per the error correction model (ECM =-2.64441), two years are required for carbon dioxide emissions to return to long-term equilibrium, with 26.4% of a shock in the variable resolved within a year. Upon closer examination of the impulse response function, it is evident that GDPPC and FFC will exert a negative short-and long-term impact on CO₂ emissions. The study proposes that Nigeria's government should implement a comprehensive strategy to bolster investments in renewable energy. This encompasses creating a stable policy environment, establishing ambitious targets for renewable energy capacity, providing financial incentives, and introducing feed-in tariffs, given that the country's consumption of fossil fuels has not yet reached a point where emissions are increasing.

The bounds testing ARDL (2, 2, 2, 2, 0) technique to cointegration was used in this study to investigate the effect of energy consumption and energy loss on Nigeria's manufacturing sector from 1981 to 2020. The model was created to determine the relationship between these three variables while also accounting for interactions with control variables such as inflation and commercial bank loans to the manufacturing sector. When the dependent variables are energy consumption and energy loss, the bound tests show that the variables of interest are bound together in the long run. Because electricity consumption is a critical factor in determining manufacturing valueadded in Nigeria, some intriguing observations were made. According to the findings, the relationship between log of electricity consumption (LELC) and log of manufacturing value added (LMVA) is statistically significant. According to the findings, electricity consumption reduces manufacturing value-added. The target variable (energy loss) is statistically significant and has a positive sign. In Nigeria, a 1% reduction in energy loss increases manufacturing value-added by 36% in the first lag and 35% in the second. According to the study, the government should speed up the ongoing renovation of existing power plants across the country, as well as the construction of new gas-fired power plants. This will address a number of issues, including overpricing of electricity as a result of grid failure.

The weakening of the Rupiah against the US dollar has encouraged Bank Indonesia to issued Bank Indonesia Regulation (Peraturan Bank Indonesia - PBI) No. 17/3/2015. The research aimed to analyze the factors that affected the Rupiah exchange rate, the effect of PBI No. 17/3/2015 on the movement of the Rupiah exchange rate, and the behavior of exchange rate movement to the shocks on the variables that influenced it. The research applied secondary data, namely monthly data from January 2008 to April 2019 taken from reliable sources such as National Development Planning Agency (Bappenas), Bank Indonesia (BI), and Statistics Indonesia (BPS). It was explanatory research with a quantitative approach. The studied data were processed with the Vector Error Correction Model (VECM) method to identify long and short-term effects. The results of the long-term equation show that export-import has a negative effect on the exchange rate. Similarly, inflation has no significant effect on the exchange ...

Real estate has long been considered a strong inflation hedge. Amid concerns about increasing inflation and interest rates, this study investigates which real estate asset classes exhibit superior hedging characteristics against both expected and unexpected inflation. The primary contribution of this study is a recommendation for real estate portfolio allocation that optimizes the use of real estate as a hedge against inflation. Using NARET & NCREIF indices as proxy, industrial was found as the best overall inflation hedge followed by multifamily, office, hotel, and retail. The importance of hedging characteristics, however, was shown after decomposing CPI into expected and unexpected components. In this case, hotel perform best in period of expected inflation while industrial and multifamily, on the other hand, demonstrate better hedging ability for unexpected inflation. Comparing the public and private real estate markets, public real estate act as a better hedge in an expected inflationary environment, with exception to the hotel class. The private real estate, however, outperforms on a relative basis in periods of unexpected inflation.

This study investigates the relationship that exists between the South African stock market and selected African stock markets. It employs the Johansen cointegration test and incorporate the Markov-Switching Vector Error Correction Model (MS-VECM) for this purpose. The MS-VECM nests appealing properties which provide insightful information regarding the interaction of the variables in the system within different regimes as well as the response to disequilibrium. The model enables one to classify regimes as contingent on the parameter switches in full sample and hence one can identify any transition in the system. The results indicate that these selected stock markets share the same stochastic trend in the long run, but cointegration is in its weak form. A weak form of cointegration suggests that these stock markets jointly offer potential gains for portfolio diversified investment suggesting international investors should consider these markets.

The problem of poor achievement of students in Physics warranted the study. Researchers
have linked poor Physics achievement to poor quality of instrument and Physics classroom
psycho-social covariates (PCSC). The gap which this study filled was to use Bayesian
estimation to reaffirm the result of exploratory factor analysis of PCSC and achievement
through confirmatory factor analysis. The study adopted an instrumentation design.. The
sample for the study comprised 420 SS3 Physics students sampled using random sampling
from ten schools in Agbani Education zone. The instrument used to collect data included
Physics classroom psycho-social covariates (PCSC) and students’ results. The alpha values
of PCSC ranged between .67 to .78 for its clusters and .74 for the overall. The data collected
were analyzed using regression weights, correlation and deviance information criterion
values. The results indicated that the indicators of each latent construct positively loaded on
them. There were moderately positive correlation between the underlying constructs. The 
sub-models were invariant.

This paper examines empirically the link between macro-instability and private investment rate in Guinea, in comparison with WAEMU countries 2 . Notwithstanding the caution imposed by data and methodological limitations in interpreting the results, the paper shows that macroeconomic instability is, in general, higher in Guinea than WAEMU countries. Consequently, macroeconomic uncertainties are cause of concern. Using a panel data approach, the findings suggest that the negative effects of relative price volatility (mainly inflation, real effective exchange rates) expected in theory, do not occur when small deviations are combined with competitiveness, resulting from a declining real effective exchange rate. In addition, the positive effect of foreign exchange reserves on the private investment rate supports the view that the availability of foreign exchange reserves is critical in a fixed exchange rate regime as that of WAEMU, as well as in an imperfect floating exchange rate regime as that of Guinea. While the panel data approach shows no evidence of negative impact of macroeconomic uncertainties, it suggests further analysis to explore the robustness of this result. A time series approach is carried out for Guinea, with regard to this purpose. As mentioned above, Guinea registers higher level of macroeconomic instability, compared to WAEMU countries. Using a single error correction model, the counter-intuitive impact of macroeconomic instability variables (measured by the real effective exchange rate, inflation rate and the terms of trade) persists. Given the dominant share of the mining sector in the private investment figures, the findings may be misleading as this sector may be protected from the wrong market signals resulting from the increasing macro-instability. However, capturing such an 'enclave-effect' is unfortunately limited by the lack of disaggregated investment data by sector. 1 The preliminary draft of this paper was issued in 2005 when the former author was an associate lecturer at the Social Research Centre of Côte d'Ivoire (CIRES/GPE) and economist at the World Bank Country Office in Guinea/Conakry and the latter one was a postgraduate student at CIRES/GPE. We are grateful to Dennis Jones (IMF) and Boubacar-Sid Barry (World Bank) and the postgraduate students of CIRES/GPE for their insightful comments. Many thanks to Faye Harbottle for her highly appreciated editorial assistance. The views expressed in this article do not reflect those of any organization. The authors are solely responsible for any remaining errors.

This paper examines empirically the link between macro-instability and private investment rate in Guinea, in comparison with WAEMU countries 2 . Notwithstanding the caution imposed by data and methodological limitations in interpreting the results, the paper shows that macroeconomic instability is, in general, higher in Guinea than WAEMU countries. Consequently, macroeconomic uncertainties are cause of concern. Using a panel data approach, the findings suggest that the negative effects of relative price volatility (mainly inflation, real effective exchange rates) expected in theory, do not occur when small deviations are combined with competitiveness, resulting from a declining real effective exchange rate. In addition, the positive effect of foreign exchange reserves on the private investment rate supports the view that the availability of foreign exchange reserves is critical in a fixed exchange rate regime as that of WAEMU, as well as in an imperfect floating exchange rate regime as that of Guinea. While the panel data approach shows no evidence of negative impact of macroeconomic uncertainties, it suggests further analysis to explore the robustness of this result. A time series approach is carried out for Guinea, with regard to this purpose. As mentioned above, Guinea registers higher level of macroeconomic instability, compared to WAEMU countries. Using a single error correction model, the counter-intuitive impact of macroeconomic instability variables (measured by the real effective exchange rate, inflation rate and the terms of trade) persists. Given the dominant share of the mining sector in the private investment figures, the findings may be misleading as this sector may be protected from the wrong market signals resulting from the increasing macro-instability. However, capturing such an 'enclave-effect' is unfortunately limited by the lack of disaggregated investment data by sector. 1 The preliminary draft of this paper was issued in 2005 when the former author was an associate lecturer at the Social Research Centre of Côte d'Ivoire (CIRES/GPE) and economist at the World Bank Country Office in Guinea/Conakry and the latter one was a postgraduate student at CIRES/GPE. We are grateful to Dennis Jones (IMF) and Boubacar-Sid Barry (World Bank) and the postgraduate students of CIRES/GPE for their insightful comments. Many thanks to Faye Harbottle for her highly appreciated editorial assistance. The views expressed in this article do not reflect those of any organization. The authors are solely responsible for any remaining errors.

Abstrak: Indeks Pembangunan Manusia Indonesia. Paper ini memodelkan perilaku Indeks Pembangunan Manusia (IPM). Variabel-variabel independen yang dipertimbangkan adalah Produk Domestik Bruto (PDB), Pajak Pendapatan (PPN), variabel dummy desentralisasi pemerintahan, variabel dummy krisis tahun 1997, dan variabel dummy krisis tahun 2008. Dengan menggunakan Error Correction Model (ECM), paper ini menemukan bahwa PDB dan PPN berpengaruh terhadap IPM dalam jangka panjang maupun jangka pendek. Estimasi model ECM menemukan bahwa krisis ekonomi tahun 2008 berpengaruh terhadap IPM, sementara krisis tahun 1997 dan desentralisasi pemerintahan tidak berpengaruh terhadap IPM. Kata kunci:  IPM, desentralisasi pemerintahan, produk domestik bruto, pajak pendapatan, ECM Abstract: Human Development Index of Indonesia. This paper models the behavior of Human Development Index (HDI). Independent variables included in the model are Gross Domestic Product (GDP), Income Tax (PPN), a dummy variable on gover...

Pakistan is an agriculture-based country, so the agricultural sector is known as the backbone of the national economy. Considering the national economy and the agricultural industry, it is necessary to focus on earnings through agricultural products export to improve the livelihood of local farmers. Therefore, the current study aimed to analyse the short-term and long-term factors affecting agricultural products export. The annual time series of 1976–2016 were collected from World Bank indicators, the Food and Agriculture Organization, and the Statistical Bureau of Pakistan. An autoregressive distributed lag, along with a vector error correction model, was employed. A cointegration test showed long-term associations between the selected variables. While the autoregressive distributed lag model confirmed the short-term correlation between area sown and crop production towards agricultural products export, there is no long-term relationship between the selected variables. In addition,...

Turkey's dual banking system, consisting of Islamic participation banking and conventional banking, has a different structure than other countries where Islamic banking activities are carried out because it is governed by the same regulations. Within the financial system, conventional and participation banking have different characteristics. Therefore, analyzing the impact of Turkey's dual banking system on economic growth through loans is of great importance. This study uses the ARDL method to investigate the impact of loans provided by participation and conventional banks on economic growth in Turkey. The findings reveal that loans from conventional banks dampen growth, while loans from participation banks promote it. The study suggests that, rather than focusing solely on consumer loans, conventional banks should prioritize lending to the real sector to stimulate economic growth. Furthermore, supporting participation banks is crucial for overall economic development.

This study examined the effect of Birr devaluation on trade balance of Ethiopia for the period 1970-2014 using the Vector Error Correction Model. The key results of the present study revealed that Birr devaluation deteriorates the trade balance of Ethiopia in the short run and improves it in the long run. Moreover, the result from the long and short run models showed that real effective exchange rate, money supply, domestic real income and term of trade are the major determinants of the trade balance of Ethiopia both in the short and long run. Besides the short and the long run model, the impulse response function and the descriptive analysis revealed that a J-curve phenomenon exists for the trade balance of Ethiopia. That means, the finding of this study showed that the Marshall-Lerner Condition holds only in the long run. So, the present study revealed that the elasticity, monetary and absorption theories are significant in explaining the trade balance of Ethiopia. The policy implication is that policies that encourage productivity improvements, diversification of the export sectors and expansion of import computing industries are alternative policies for devaluation. Moreover, government may need to be conservative in using devaluation (exchange rate policy) to improve trade balance as it may worsen the situation in the short run. Thus, the country on the process of industrialization, first needs to promote import computing industries and then, once the production gets its way, devaluation would be clear.