Search Results - subject:"Vector error correction model"

Investigating the relationship between liquidity risk, credit risk, and solvency risk in banks listed on the Iranian capital market : a Panel Vector Error Correction Model

Peykani, Pejman; Sargolzaei, Mostafa; Tănăsescu, Cristina - In: Economies : open access journal 13 (2025) 5, pp. 1-24

2023, we employ a Panel Vector Error Correction Model (VECM) alongside panel impulse response analysis to assess both short …

Persistent link: https://www.econbiz.de/10015410231

Macroeconomic effects of raising oil prices : insights from Morocco

Ritahi, Oussama; Echaoui, Abdellah - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 2, pp. 380-390

Persistent link: https://www.econbiz.de/10015416558

Inflation in transit : the freight-PPI connection

Michail, Nektarios; Melas, Konstantinos D. - In: Economics letters 256 (2025), pp. 1-3

Persistent link: https://www.econbiz.de/10015474275

Fourier cointegration analysis of the relationship between interest and noninterest income in banks : the case of Azer Turk bank

Orudzhev, Elshar Gurban; Burjaliyeva, Nazrin Gurban - In: Economies : open access journal 13 (2025) 10, pp. 1-25

methodological contribution, the study derives explicit Fourier-based Vector Error Correction Model (VECM) equations, enabling the …

Persistent link: https://www.econbiz.de/10015475181

Who's the boss? : exploring public and private wage growth leadership in state-level education and health industries in Australia

O'Brien, Martin; Gollan, Paul J.; Gerth, Florian - In: Applied economics letters 32 (2025) 17, pp. 2485-2489

Persistent link: https://www.econbiz.de/10015508788

Decomposition of food price inflation in Sri Lanka

Malaviarachchi, Dinithi; Korale-Gedara, Pradeepa Malkanthi - In: Journal of the Asia Pacific economy 30 (2025) 4, pp. 1506-1525

Persistent link: https://www.econbiz.de/10015515752

Modeling the relationships among the stock market, gold price, oil price and exchange rate : a MECM and VDA approach

Agrawal, Pravin Kumar; Kumar, Mohit - In: Financial internet quarterly 21 (2025) 1, pp. 1-14

rate, using high-frequency daily data from January 2009 to March 2023. By employing a Vector Error Correction Model (VECM …

Persistent link: https://www.econbiz.de/10015393621

Distributive effects of balance-of-payments constraints : a theoretical and empirical analysis of Argentina (2004-2022)

Dvoskin, Ariel; Feldman, Germán David; Garegnani, Lorena - In: Economia internazionale 77 (2024) 2, pp. 233-264

Persistent link: https://www.econbiz.de/10015431791

Heteroskedastic structural vector autoregressions identified via long-run restrictions

Bruns, Martin; Lütkepohl, Helmut - 2024 - This version: December 3, 2024

A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when longrun restrictions are available for identifying structural shocks....

Persistent link: https://www.econbiz.de/10015207512

Do financial markets allow the independence of central banks?

Miró, Damià Rey; Piffaut, Pedro; Zurdo, Ricardo Palomo - In: Journal of central banking theory and practice 13 (2024) 1, pp. 5-26

The research work presented below addresses the possible concern of central bank independence through the development and application of econometric models. The complexity of the modelling has allowed a step further in corroborating that financial independence is not only linked to the...

Persistent link: https://www.econbiz.de/10014496228