Elasticities of Gold Demand—An Empirical Analysis Using Cointegration and Error Correction Model

2020 ◽  
pp. 097674792090311
Author(s):  
S. Maria Immanuvel ◽  
D. Lazar
Keyword(s):  
Error Correction ◽  
Income Elasticity ◽  
Error Correction Model ◽  
The Other ◽  
Correction Model ◽  
Long Run ◽  
The World ◽  
The Usa ◽  
Short Run ◽  
The Government

This article examines the long-run and the short-run elastic relationships between price, income and gold demand. Four major gold consuming countries in the world, such as India, the USA, Europe and Japan, are included in the analysis. The study period is from January 2000 to December 2017. Using the Cointegration and Error Correction model, we found a long-run relationship between gold demand, price and income of the consumers. Price elasticity is negative and income elasticity is positive in the long run. The speed of error correction is slightly higher for India. Indian gold market takes a shorter time to get back to its equilibrium than the other major gold consuming countries. India’s overall gold consumption is relatively lesser reactive to the fluctuations in the world gold price than the other countries. Consumers in India react expeditiously in the short run and their response to the price changes is stable in the long run. More than 70 per cent of India’s gold consumption is unaffected by the price fluctuations. This behaviour eventually increases the wealth in the country. Hence the study suggests that instead of curbing the demand, new financial products may be developed to monetise the gold lying idle in the households. Various gold monetisation schemes already launched by the government should reach especially the rural section, as most of them may not be aware of these schemes. This may tend to bring a considerable amount of gold into the system. JEL: G14, Q02, Q21

scholarly journals Evaluating the Persistence of j Curve Phenomenon in the Bilateral Trade between Bangladesh and USA: The ARDL Bounds Testing Approach and Granger Causality Analysis

2021 ◽  
pp. 74-81
Author(s):  
Subroto Dey ◽  
Homamul Islam
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Granger Causality ◽  
Trade Balance ◽  
Error Correction Model ◽  
Correction Model ◽  
Long Run ◽  
J Curve ◽  
The Usa ◽  
Short Run

Most of the previously examined studies that investigated the repercussion of the trade balance to exchange rate mutation relied on the assumption that appreciation and depreciation behave symmetrically, recently several works have been conducted using the asymmetric analysis. In this work, we exhibited a model employing the disaggregated data (bilateral) of trade balance with the USA. In our pursuit, we endeavored to disclose a phenomenon of the J curve, is this pattern present in our trade balance and exchange rate bearing? In this article, first, we checked the stationary of data set and discovered the stationary employing the Augmented Dickey-Fuller test, Phillips Peron then applying the ARDL bounds test of cointegration apropos to find out the long run co integrated equations and last of all, tried to investigate the short-run and long-run relationship among the variables, while we used the ECM (error correction model). The Toda-Yamamoto Procedure for Granger Causality in a VAR framework has been applied to detect the causal direction. In our model, we have blazoned the negative short-run rapport between the exchange rate and trade balance in the bilateral data, whereas we have remarked a discrepant bearing in the long run and we did receive the evidence of the appearance of j pattern in the relationship between exchange rate and trade balance. Dispensing the error correction model, we found domestic higher price level hinders the trade balance in the short run, did not find any evidence of foreign income stimulate the export. Toda-Yamamoto Procedure for Granger Causality reveals the unidirectional causal effect from exchange rate to trade balance of Bangladesh with the USA.

scholarly journals The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach

2015 ◽  
Vol 62 (4) ◽  
pp. 429-451 ◽  
Author(s):  
Erdal Demirhan ◽  
Banu Demirhan
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Exchange Rate Volatility ◽  
Dynamic Effect ◽  
Error Correction Model ◽  
Impulse Response Functions ◽  
Correction Model ◽  
Long Run ◽  
Export Volume ◽  
Short Run

This paper aims to investigate the effect of exchange-rate stability on real export volume in Turkey, using monthly data for the period February 2001 to January 2010. The Johansen multivariate cointegration method and the parsimonious error-correction model are applied to determine long-run and short-run relationships between real export volume and its determinants. In this study, the conditional variance of the GARCH (1, 1) model is taken as a proxy for exchange-rate stability, and generalized impulse-response functions and variance-decomposition analyses are applied to analyze the dynamic effects of variables on real export volume. The empirical findings suggest that exchangerate stability has a significant positive effect on real export volume, both in the short and the long run.

scholarly journals Price Transmission and Factors Influencing the Price of Onions in Tanzania

2020 ◽  
pp. 67-76
Author(s):  
Yohana James Mgale
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Price Transmission ◽  
Adjustment Cost ◽  
Producer Price ◽  
Correction Model ◽  
Factors Affecting ◽  
Long Run ◽  
Short Run ◽  
The Impact

This article analyzes the transmission of prices between marketing agents and the factors affecting onion prices at the consumer level. The Error Correction Model-Engle Granger (ECM-EG) was used to test the price transmission by including the impact of the rise and fall of producer, wholesale and retail prices in past periods. The Error Correction Model (ECM) was applied to the factors affecting onion prices. The test results showed that price transmission was asymmetrical in the short and long-run. With regard to factors, the results show that consumer price in the short-run was influenced by wholesale prices, producer prices and the price of fuel while in the long-run it was influenced by wholesale prices, producer price, price of fuel and consumer prices in the previous period (t-1). These results suggest the existence of a short-term adjustment cost and a long-term market power which distorts price transmission.

scholarly journals Integration Rice Price And Farmers Welfare With Error Correction Model Analysis

2019 ◽  
Vol 7 (9) ◽  
pp. 221-228
Author(s):  
Yogi Makbul
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Policy Intervention ◽  
Correction Model ◽  
Long Run ◽  
Short Run ◽  
Short And Long Term ◽  
Rice Prices ◽  
Support Policy

This research analyzes the short- and long-term influence of rice prices on the welfare of Indonesian farmers using an error correction model. Drawing upon data from Indonesia's Central Bureau of Statistics, it reveals that rice prices exert significant positive short-run effects and no significant long-run influence on farmers' welfare. These findings extend or refine results from earlier studies that lack the time series perspective of our research. They also support policy intervention by the Indonesian government to increase farmers' welfare and assure food supply.  

scholarly journals PENURUNAN PAJAK EKSPOR DAN DAMPAKNYA TERHADAP EKSPOR MINYAK KELAPA SAWIT INDONESIA KE CINA (PENDEKATAN ERROR CORRECTION MODEL)

2018 ◽  
Vol 1 (3) ◽  
pp. 47-72
Author(s):  
Ernawati Munadi
Keyword(s):  
Error Correction ◽  
Palm Oil ◽  
Developing Economies ◽  
Error Correction Model ◽  
Oil Price ◽  
Export Demand ◽  
Correction Model ◽  
Export Duty ◽  
Long Run ◽  
The World

The palm oil Industry is an important sector in the Indonesian economiy as it is one of the country’s major export earners as well as food source for her population.Indonesia is the world second largest producer of palm oil after Malaysia, accounting for about 34% OF The  world production in the year 2006. Indonesia  is also the largest consumer of palm oil in the developing economies, in 2006. Indonesia consumed a total of 5.5 mn tonnes of palm oil. Of this amount 76.75% is comprised of  frying oil. About 55% of the production is exported in the form of crude palm oil mainly to Asian countries primarily to India and China and  Eruropean countries. Debate on Indonesia’s palm oil policy was stimulated by the sharp increase in cooking oil prices in 1994-1995 which resulted in the introduction of export tax rate on palm oil in order to maintain a certain level of domestic consumption.Using annual data for the period 1969-2006, an econometric  approach  mainly the error correction model. Was employed  in this study This paper examines the impacts of reduction in export duty onthe import demand of Indonesian palm oil to China. The findings indicate  that the  quantity of palm oil exported to China is significantly influenced by changes in the soybean oil price, world palm oil price, Industrial Production Index (IPI) exchange rate  and lagged of export demand of Indonesian palm oil to China by one year with the elasticity of 1,49, 1.47,0.24, 0.59, and 0.79, respectively. The coefficients for long run variables presented by the ECM are jointly not equal to zero.This result suggests that as a group, the long run variable (ECM) have influenced the changes in the export demand to China which is indicated by the significance of the coefficient. The simulation results suggest that the direct impact of reduction of export duty would increase the quantity exported to China. The Indonesia export to China from 95.36 thousand tones to 118,23 thousand tones.

scholarly journals Analysis of Indonesian Tax Revenue

2017 ◽  
Vol 1 (01) ◽  
pp. 71
Author(s):  
Amalia Wijayanti ◽  
Firmansyah Firmansyah
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Government Spending ◽  
Inflation Rate ◽  
Correction Term ◽  
Error Correction Model ◽  
Tax Revenue ◽  
Correction Model ◽  
Long Run ◽  
Short Run

<p>This study analyzes the long-run and short-run effect of macroeconomic factors, such as real Gross Domestic Product (GDP), inflation rate, exchange rate and government spending on Indonesia’s tax revenue during 1976-2013, by utilizing the Error Correction Model (ECM). The finding of the study demontrates that in the long-run; the real GDP, exchange rate, and government spending affect Indonesia’s tax revenue, except the inflation rate. In short-run, Indonesia’s tax revenue statisically affected by government spending, while others variable do not influence Indonesia’s tax revenue. Error Correction Term (ECT) coefficient is 0.221, explains incompatibility tax revenue occur in long-run is corrected of 22 percent in one period.</p><p><br />JEL Classification: E01, E20, H20<br />Keywords: Error Correction Model, Macroeconomic, Tax revenue</p>

Causality between VAT and economic growth in Nigeria: An ARDL bounds testing approach

2018 ◽  
Vol 6 (1) ◽  
pp. 55
Author(s):  
Hammed Agboola Yusuf ◽  
Irwan Shah Zainal Abidin ◽  
Normiza Bakar ◽  
Oluwaseyi Hammed Musibau
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Error Correction ◽  
Trade Openness ◽  
Value Added ◽  
Error Correction Model ◽  
Domestic Investment ◽  
Correction Model ◽  
Long Run ◽  
Short Run

Value Added Tax(VAT) is a consumption tax imposed at every stage of consumption level whose burden is burned by final consumer of goods and services. In most developing economies in the world, VAT as a source of revenue to the government that has been notable for its significant role in ensuring economic efficiency. However, VAT revenue has been underutilised in Nigeria due to a high level of corruption in the process of administering the tax. This study examines the impact of VAT, domestic investment and trade openness on economic growth in Nigeria from 1980 to 2016 using ARDL techniques. The research design is time series, and the data were analysed using time series unit root test, error correction model regression, short run and long run ARDL. The result found that VAT, domestic investment and trade openness had a positive and significant impact on real GDP. Also, corruption index is negative also significant in the long run. In the same vein, past value added tax had a negative and weak significant impact on real gross domestic product indicating convergence to long-run causality between economic growths and VAT and economic growth. The Error Correction Model (ECM (-1)) coefficient had a negative and statistically significant sign. This shows that 39 percent can quickly correct short-run deviation. The study, therefore,  recommends that tax administrative loopholes should be plugged for tax revenue to contribute immensely to the development of the economy since past VAT had a significant impact on economic growth.

EFEK FISHER DI INDONESIA: PENDEKATAN CO-INTEGRATION DAN ERROR CORRECTION MODEL (ECM)

2015 ◽  
Vol 9 (1) ◽  
pp. 51
Author(s):  
Sri Fatmawati ◽  
Algifari Algifari
Keyword(s):  
Interest Rate ◽  
Error Correction ◽  
Inflation Rate ◽  
Error Correction Model ◽  
Fisher Effect ◽  
Correction Model ◽  
Integration Error ◽  
Long Run ◽  
Correction Technique ◽  
Short Run

The aim of this research is to examine the existence of Fisher Effect for Indonesian Economy, by regressing interest rate on rate of inflation in period 1980-2011. With co-integration and error correction technique, the results indicate that an increases of one percent in inflation rate lead to increase in interest rate at 0,13 percent in short-run and at 0,95 percent in longrun. This research can’t confirm the existence of Fisher Effect in Indonesian Economy in short-run, but this effect exists in long-run. Keywords: Fisher Effect, Interest Rate, Inflation Rate, Co-integration, Error Correction Model

Co-integration Between Sensex and Other Popular Indices: A Decadal Study

2019 ◽  
Vol 8 (2) ◽  
pp. 108-117
Author(s):  
Parul Bhatia ◽  
Hemalatha Ramasubramanian
Keyword(s):  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
World Markets ◽  
The World ◽  
Integration Techniques ◽  
The Usa ◽  
Short Run

We examine the inter-relationship between India, the USA, Japan, China, France, Dubai and Germany using multivariate co-integration techniques. The study has investigated co-movements between these world indices from 2009 to 2018. During this period, it was found using Johansen co-integration that these indices were co-integrated in the long run. However, in the vector error correction model, long-run causality could not be found. Thereafter with Wald-χ2 diagnostics, it was found that short-run linkages existed among Indian and rest of the world markets in the study. Therefore, the seven indices may be concluded to have causal relationship in the short run and co-integrating association in the long run.

scholarly journals Assessment of cassava supply response in Nigeria using vector error correction model (VECM)

Agricultura ◽  
2016 ◽  
Vol 13 (1-2) ◽  
pp. 79-86
Author(s):  
Oluwakemi Adeola Obayelu ◽  
Samuel Ebute
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Agricultural Commodities ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
Cassava Production

Abstract The response of agricultural commodities to changes in price is an important factor in the success of any reform programme in agricultural sector of Nigeria. The producers of traditional agricultural commodities, such as cassava, face the world market directly. Consequently, the producer price of cassava has become unstable, which is a disincentive for both its production and trade. This study investigated cassava supply response to changes in price. Data collected from FAOSTAT from 1966 to 2010 were analysed using Vector Error Correction Model (VECM) approach. The results of the VECM for the estimation of short run adjustment of the variables toward their long run relationship showed a linear deterministic trend in the data and that Area cultivated and own prices jointly explained 74% and 63% of the variation in the Nigeria cassava output in the short run and long-run respectively. Cassava prices (P<0.001) and land cultivated (P<0.1) had positive influence on cassava supply in the short-run. The short-run price elasticity was 0.38 indicating that price policies were effective in the short-run promotion of cassava production in Nigeria. However, in the long-run elasticity cassava was not responsive to price incentives significantly. This suggests that price policies are not effective in the long-run promotion of cassava production in the country owing to instability in governance and government policies.

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