The purpose of this paper is to investigate whether the cryptocurrency market affects the financial stability and economic growth of India. The study used time series quarterly data on bitcoin, financial stability, inflation rate, real GDP, economic volatility uncertainty, exchange rate, and...

This paper considers a time-varying vector error-correction model that allows for different time series behaviours (e.g., unit-root and locally stationary processes) to interact with each other to co-exist. From practical perspectives, this framework can be used to estimate shifts in the...

In multivariate time series systems, key insights can be obtained by discovering lead-lagrelationships inherent in the data, which refer to the dependence between two timeseries shifted in time relative to one another, and which can be leveraged for thepurposes of control, forecasting or...

This paper aims to study the recent increase in the spread of refined-crude petroleum prices in the US. We analyze the evolution of crude oil prices, refining costs, distribution costs, and taxes, comparing the pre and post covid periods. Fractional integration and cointegration methodologies...

The study analytically examines the determinants of government expenditure in Nigeria using a sample from (1986-2021); the data was secondary in nature. Source from world development indicators and Central Bank of Nigeria. The method of analysis used are; descriptive and inferential statistics...

This paper extends the multivariate index autoregressive model by Reinsel (1983) to the case of cointegrated time series of order (1, 1). In this new modelling, namely the Vector Error-Correction Index Model (VECIM), the first differences of series are driven by some linear combinations of the...

This study investigates the properties of a self-normalization inferential method in cointegrating regressions. The test statistic is constructed using recursive integrated modified ordinary least squares estimators. The proposed test does not involve a long-run variance estimator, and the test...

This study investigated the determinants of the exchange rate in Nigeria via evidence from the Error Correction Model (ECM) over the period 1981 to 2020. The study focuses on two main objectives. The theoretical review highlights three main exchange rate determination approaches: The Purchasing...