scholarly journals A Vector Autoregression Analysis of the Efficacy of External Reserves Management on Exchange Rate Stability: Evidence from Nigeria

2019 ◽  
pp. 1-11
Author(s):  
Ikechukwu Kelikume ◽  
Stanley Emife Nwani
Keyword(s):  
Exchange Rate ◽  
Empirical Result ◽  
Time Series Data ◽  
Exchange Rate Volatility ◽  
International Reserves ◽  
Series Data ◽  
Vector Error Correction ◽  
Dynamic Relationship ◽  
Vector Error ◽  
Monetary Authorities

This paper investigates the dynamic relationship between exchange rate variations and international reserves in Nigeria. The study aimed at ascertaining whether a lead-lag relationship exists between both phenomena using monthly time series data on the bureau de change exchange rate and international reserves extracted from the statistical bulletin of the Central Bank covering 108 observations between January 2010 and December 2018. The econometric techniques utilized included the Granger causality based on the vector error correction mechanism and the AR inverse root test for stability and reliability. The empirical result indicates the absence of causality between exchange rate volatility and international reserves fluctuations for Nigeria. Based on our empirical result, the study vehemently concluded that monetary authorities do not have to depend on external reserves management as an efficient strategy to stabilizing the value of the Nigerian currency. Thus, external reserves accumulation could be a face lifting parameter for credit ratings and attraction of needed capital to stimulate the much desired economic growth in Nigeria.

scholarly journals Pengaruh Variabel Makroekonomi Terhadap Jumlah Penghimpunan Zakat di Indonesia

2020 ◽  
Vol 25 (2) ◽  
pp. 199
Author(s):  
Sheema Haseena Armina
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Series Data ◽  
Short Term ◽  
Correction Model ◽  
Dollar Exchange Rate ◽  
Vector Error Correction ◽  
Vector Error ◽  
Analysis Technique

Purpose this study analyzes the effect of the industrial production index, the dollar exchange rate, inflation and the BI 7DRR on the amount of zakat collection from January 2015 to December 2018to identify the potential of zakat to support alleviation in Indonesia. Methodology/Approach: this study uses a quantitative approach with a Vector Error Correction Model (VECM) data analysis technique with time series data from Januari 2015 t0 December 2018. Findings: The results show that in short term causality, there is an effect between long-term and short-term between zakat as the dependent variable with inflation and the dollar exchange rate. However, there is no short-term causality effect between BI 7-DRR and IPI to the amount of zakat while the long-term causality effect, all independent variables have a significant effect to the dependent variable namely zakat. Implications: The integration of Islamic philanthropic institutions has the potential to channel aid and support to alleviate poverty. This study adds the IPI variable to interpret the GDP variable in analyzing its effect on zakat.

scholarly journals Deteminant factors to improve Indonesian cocoa performance

2021 ◽  
Vol 892 (1) ◽  
pp. 012073
Author(s):  
A Prasetyo ◽  
Suswadi ◽  
A F Aziez
Keyword(s):  
Exchange Rate ◽  
Agricultural Sector ◽  
Time Series Data ◽  
Export Performance ◽  
Series Data ◽  
Causality Test ◽  
Vector Error Correction ◽  
Multilateral Cooperation ◽  
Vector Error ◽  
Cocoa Production

Abstract Encouraging the growth of Indonesia’s agricultural sector is important for improving the export performance of Indonesia’s leading commodities. The purpose of the study was to determine the effect of the IDR exchange rate and the shock of the determinants of cocoa exports on the growth of Indonesian cocoa exports. The research was conducted using time series data from 1969-2017. This study uses the Vector Error Correction Model (VECM). The analysis showed that the data is stationary at the first difference. The causality test shows that cocoa production, IDR exchange rate, GDP affect the growth of Indonesian cocoa exports, but world cocoa prices have no effect on cocoa exports. The results of the impulse response factor (IRF) analysis show that the response of cocoa exports to changes in the exchange rate is more volatile when compared to the response of production, GDP, and world cocoa prices to Indonesian cocoa exports. Analysis of variance decomposition shows that the contribution of the IDR exchange rate to export growth is greater than the contribution of world cocoa prices, GDP, and production at the beginning of exports, however over time the influence of the IDR exchange rate will decrease and it is the number of production factors that will affect Indonesia’s cocoa exports. Indonesia needs to increase production by maintaining the quality of cocoa according to export needs considering the demand for cocoa that will continue to increase. Bilateral or multilateral cooperation is needed to strengthen cocoa export cooperation with major importing.

Economic Turmoil in Islamic Banking Investment

ETIKONOMI ◽  
2020 ◽  
Vol 19 (2) ◽  
Author(s):  
Budiandru Budiandru ◽  
Sari Yuniarti
Keyword(s):  
Interest Rates ◽  
Stock Price ◽  
Time Series Data ◽  
Series Data ◽  
Islamic Banking ◽  
Vector Error Correction ◽  
Investment Financing ◽  
Vector Error ◽  
Operational Activities

Investment financing is one of the operational activities of Islamic banking to encourage the real sector. This study aims to analyze the effect of economic turmoil on investment financing, analyze the response to investment financing, and analyze each variable's contribution in explaining the diversity of investment financing. This study uses monthly time series data from 2009 to 2020 using the Vector Error Correction Model (VECM) analysis. The results show that the exchange rate, inflation, and interest rates significantly affect Islamic banking investment financing in the long term. The response to investment financing is the fastest to achieve stability when it responds to shocks to the composite stock price index. Inflation is the most significant contribution in explaining diversity in investment financing. Islamic banking should increase the proportion of funding for investment. Customers can have a larger business scale to encourage economic growth, with investment financing increasing.JEL Classification: E22, G11, G24How to Cite:Budiandru., & Yuniarti, S. (2020). Economic Turmoil in Islamic Banking Investment. Etikonomi: Jurnal Ekonomi, 19(2), xx – xx. https://doi.org/10.15408/etk.v19i2.17206.

scholarly journals The impact of bank-specific and macroeconomic variables on profitability of Islamic rural bank in Indonesia

2019 ◽  
Vol 5 (3) ◽  
Author(s):  
Muhammad Sanusi
Keyword(s):  
Banking Sector ◽  
Time Series Data ◽  
Series Data ◽  
Estimation Model ◽  
Policy Makers ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
The Impact

This paper investigates the impact of bank-specific and macroeconomic variables on the profitability of Islamic rural bank (BPRS) in Indonesia. Using monthly time series data from January 2010 - December 2018. The estimation model used is a vector error correction model to analyze the long-term and short-term relationships between bank-specific and macroeconomic variables on the profitability of Islamic rural bank. The results showed that CAR and LnTA had a significant positive relationship, while NPF, BOPO and IPI had a negative and significant relationship to the profitability of Islamic rural banks. But FDR and Inflation variables are not significantly related to the profitability of Islamic rural bank. The results leave implications for policy makers, investors and banking sector managers. Based on evidence that bank profitability is more influenced by internal banks (as specific as banks), this research can help Islamic rural banks to help them understand which factors are important to be analyzed to obtain higher profitability.

scholarly journals Government Expenditure and Economic Growth in South Africa: A Vector Error Correction Modelling and Granger Causality Test

2017 ◽  
Vol 9 (4) ◽  
pp. 164
Author(s):  
Kagiso Molefe ◽  
Ireen Choga
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Error Correction ◽  
Granger Causality ◽  
Time Series Data ◽  
Government Expenditure ◽  
Series Data ◽  
Vector Error Correction ◽  
Vector Error ◽  
The Relationship

Previous studies generally find mixed empirical evidence on the relationship between government spending and economic growth. This study re-examine the relationship between government expenditure and economic growth in South Africa for the period of 1990 to 2015 using the Vector Error Correction Model and Granger Causality techniques. The time series data included in the model were gross domestic Product (GDP), government expenditure, national savings, government debt and consumer price index or inflation. Results obtained from the analysis showed a negative long-run relationship between government expenditure and economic growth in South Africa. Furthermore, the estimate of the speed of adjustment coefficient found in this study has revealed that 49 per cent of the variation in GDP from its equilibrium level is corrected within of a year. Furthermore, the study discovered that the causality relationship run from economic growth to government expenditure. This implied that the Wagner’s law is applicable to South Africa since government expenditure is an effect rather than a cause of economic growth. The results presented in this study are similar to those in the literature and are also sustained by preceding studies.

scholarly journals THE IMPACT OF EXCHANGE RATE VOLATILITY ON ECONOMIC GROWTH IN NIGERIA: A DYNAMIC ECONOMETRIC APPROACH

2021 ◽  
pp. 16-40
Author(s):  
Comfort Akinwolere Bukola ◽  
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Time Series Data ◽  
Negative Impact ◽  
Positive Impact ◽  
Exchange Rate Volatility ◽  
Series Data ◽  
Balance Of Trade ◽  
Econometric Approach ◽  
The Impact

This study examined the impact of exchange rate volatility on economic growth in Nigeria. The study covers the period of 1986 to 2019. Using time series data, the methodology adopted is the Vector Error Correction Mechanism to explore the impact of exchange rate volatility on the selected macroeconomic variables. The result indicated that exchange rate volatility has a significant impact on economic growth, specifically it has a positive impact on inflation, unemployment and balance of trade. On the other hand it has a negative impact on economic growth and investment. The recommendations made include; that relevant authorities should try to avoid systematic currency devaluations in order to maintain exchange rate volatility at a rate that allows adjustment of the balance of payments.

scholarly journals Savings Mobilization and Financial Development during the Multicurrency Regime Period in Zimbabwe

2017 ◽  
Vol 9 (3(J)) ◽  
pp. 152-162
Author(s):  
Kunofiwa Tsaurai
Keyword(s):  
Financial Development ◽  
Time Series Data ◽  
Empirical Literature ◽  
Series Data ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
The Subject ◽  
The Relationship

This paper seeks to investigate the relationship between savings and financial development in Zimbabwe using both autoregressive distributive lag (ARDL) and vector error correction model (VECM) approaches for comparison purposes with monthly time series data from January 2009 to August 2015. Four distinct hypotheses emerged from the literature and these are the savings-led financial development, financial development-led savings, feedback effect and the insignificant/no relationship hypothesis. The existence of diverging and contradicting views in empirical literature on the subject matter is evidence that the linkage between savings and financial development is still far from being concluded. Both F-Bounds and Johansen co-integration tests observed that there is a long run relationship between savings and financial development in Zimbabwe. What is even more unique about this study is that both ARDL and VECM noted the presence of a bi-directional causality relationship between savings and financial development in the short and long run in Zimbabwe. The implication of this study is that in order to increase economic growth, Zimbabwe authorities should increase savings mobilization efforts in order to boost financial development, which in turn attracts more savings inflow into the formal financial system.

Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks

2019 ◽  
Vol 72 (1) ◽  
pp. 80-100 ◽  
Author(s):  
Aydan Dogan ◽  
Timo Bettendorf
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Exchange Rate Volatility ◽  
Technology Shocks ◽  
Correction Model ◽  
Vector Error Correction ◽  
Traded Goods ◽  
Vector Error ◽  
The Uk ◽  
Real Exchange Rate Volatility

Abstract International real business cycle (IRBC) models predict a real exchange rate volatility that is much lower than the levels observed in the data. In this paper, we build a two-country IRBC model with both a traded and a non-traded goods sector, and calibrate it to UK-euro area (EA) data. We provide evidence on the existence of a cointegrating relationship between UK and EA traded sector total factor productivity (TFP) by estimating a vector error correction model (VECM). To account for this relationship, we incorporate non-stationary technology shocks in the traded sectors in our model, and show that then the model is able to match the observed volatility of the UK–EA real exchange rate. Our analysis points out that both the presence of non-traded sectors and non-stationary technology shocks are necessary to account for the observed volatility in the real exchange rate.

scholarly journals The Effect of Inflation on Financial Development Indicators in Iran (2000–2015)

2017 ◽  
Vol 12 (2) ◽  
pp. 53-62 ◽  
Author(s):  
Mahyar Hami
Keyword(s):  
Financial Development ◽  
Time Series Data ◽  
Banking System ◽  
Series Data ◽  
Vector Error Correction ◽  
Development Indicators ◽  
Vector Error ◽  
Equilibrium Relationship ◽  
Proposed Model ◽  
Integration Test

Abstract Inflation and financial development are among the factors that influence economic growth and the interaction between them is a major issue in developing countries. The aim of this paper is to investigate the effect of inflation on financial development indicators in Iran using seasonal data over 2000-2015. To achieve the research objectives, time series data were collected from World Bank and seasonal inflation rate, with 5 financial development indicators were used to measure the research variables. Then I applied Johansen Co-integration Test and Vector Error Correction Model to estimate the proposed model. The results show that inflation has a negatively significant effect on financial depth and also positively significant effect on the ratio of total deposits in banking system to nominal GDP in Iran during the observation period. Also the existence of an equilibrium relationship between inflation and other 3 indicators of Iran`s financial development used in this study was rejected.

Sign in / Sign up

Export Citation Format

Share Document