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Article
Publication date: 1 January 1992

Robert Simmons

Applies an errorcorrection model to demand for money in fiveAfrican economies: Congo, Côte d′Ivoire, Mauritius, Morocco andTunisia. Attention is given to a set of opportunity…

Abstract

Applies an errorcorrection model to demand for money in five African economies: Congo, Côte d′Ivoire, Mauritius, Morocco and Tunisia. Attention is given to a set of opportunity cost variables including expected inflation, domestic interest rate, foreign interest rate and expected exchange‐rate depreciation. The empirical results show that the domestic interest rate plays a significant role in the demand for money functions for three of the five countries and external opportunity cost variables are significant for one of the others. The results show some diversity in money demand behaviour in the countries studied, but the error correction mechanism is always significant and in four out of five cases there is a short‐run inflation impact. The equations are subjected to a battery of tests and found to be statistically well‐behaved.

Details

Journal of Economic Studies, vol. 19 no. 1
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 22 June 2012

Bilal Erman Bilgin and Vehbi Cagri Gungor

High packet error rates and variable link capacity due to harsh electric power system environments make reliable communication a challenging task for WSN in smart grid. Therefore…

Abstract

Purpose

High packet error rates and variable link capacity due to harsh electric power system environments make reliable communication a challenging task for WSN in smart grid. Therefore, to increase network reliability and hence, to improve smart grid system performance, there is an urgent need for reliable communication protocols. The purpose of this paper is to propose an Adaptive Forward Error Correction (AFEC) mechanism for different smart grid environments, including 500 kV outdoor substation and underground transformer vaults, to address these challenges.

Design/methodology/approach

This paper presents the comparative performance evaluations of proposed AFEC mechanism for different smart grid environments. Simulation experiments have been performed by extending the ns‐2 network simulator. It also introduces existing and potential smart grid applications, research challenges, and opportunities of smart grid.

Findings

Comparative performance evaluations show that the proposed AFEC mechanism achieves high communications reliability without causing unnecessary network overhead. Also the advantages of existing smart grid applications have been presented.

Originality/value

The paper shows that high communications reliability without causing unnecessary network overhead has been achieved. Also comprehensive reviews of WSN smart grid applications have been presented.

Details

Sensor Review, vol. 32 no. 3
Type: Research Article
ISSN: 0260-2288

Keywords

Article
Publication date: 6 February 2024

Yitian Xiao, Jiawu Dai and J. Alexander Nuetah

The purpose of this paper is to test the overshooting effects of monetary expansion on prices of agricultural products at farm production, processing and circulation stages in…

Abstract

Purpose

The purpose of this paper is to test the overshooting effects of monetary expansion on prices of agricultural products at farm production, processing and circulation stages in China, and to investigate the heterogeneity of the overshooting mechanisms in these three links.

Design/methodology/approach

Empirical results are obtained through the vector error correction model and the overshooting framework proposed by Saghaian et al. (2002b). Specifically, we first apply the Dickey–Fuller generalized least squares (DF-GLS) method to test the stationarity of the key variables, and then use the Johansen’s (1991) method to conduct the cointegration test. Finally, the vector error correction model is employed to examine the overshooting hypotheses in the three stages of China’s agricultural sector.

Findings

Empirical results indicate that overshooting of prices relative to monetary expansion in China’s agricultural sector is a common phenomenon, but with significant heterogeneity. Firstly, at the stage of agricultural production, the overshooting degree and restoration rate of material price are greater than those of agricultural products price. Secondly, at the processing stage of agricultural products, both the purchase price of agricultural products and industrial producer price have an overshooting effect, but the overshooting effect of the former is more significant than the latter. Thirdly, at the circulation stage of agricultural products, the overshooting coefficient of the wholesale price index of agricultural products is the most significant, while that of the retail and purchase price of agricultural products is not significant.

Originality/value

The paper contributes to proposing a comprehensive framework on testing the overshooting effects for three main stages of agricultural sector in China and empirically investigating the heterogeneity of the overshooting mechanisms in different stages with time series methods.

Details

China Agricultural Economic Review, vol. 16 no. 1
Type: Research Article
ISSN: 1756-137X

Keywords

Book part
Publication date: 6 January 2016

Anindya Banerjee, Massimiliano Marcellino and Igor Masten

The Factor-augmented Error-Correction Model (FECM) generalizes the factor-augmented VAR (FAVAR) and the Error-Correction Model (ECM), combining error-correction, cointegration and…

Abstract

The Factor-augmented Error-Correction Model (FECM) generalizes the factor-augmented VAR (FAVAR) and the Error-Correction Model (ECM), combining error-correction, cointegration and dynamic factor models. It uses a larger set of variables compared to the ECM and incorporates the long-run information lacking from the FAVAR because of the latter’s specification in differences. In this paper, we review the specification and estimation of the FECM, and illustrate its use for forecasting and structural analysis by means of empirical applications based on Euro Area and US data.

Article
Publication date: 2 March 2021

Moch. Doddy Ariefianto, Irwan Trinugroho, Evan Lau and Bruno S. Sergi

This study aims to cover an important yet largely under-explored topic: the dynamic process of bank liquidity management in a vast developing economy by considering pool of funds…

Abstract

Purpose

This study aims to cover an important yet largely under-explored topic: the dynamic process of bank liquidity management in a vast developing economy by considering pool of funds hypothesis, signaling hypothesis and risk management hypothesis.

Design/methodology/approach

The authors apply the dynamic common correlated effect (DCCE) method with an error correction model format to a long panel datasets of 84 Indonesian banks from January 2003 to August 2019, resulting in 16,800 observations.

Findings

The authors obtain convincing evidence of dynamic liquidity management with an error correction mechanism. The time needed to adjust to a liquidity shock ranges from 2.5 to 3.5 months. The empirical results strongly support the pool of funds and signaling hypotheses, whereas risk management motive appears to have secondary importance.

Practical implications

The regulator should also encourage banks to diversify liquidity management to include interbank money market and off-balance-sheet instruments. The current condition shows that bank liquidity management is strongly correlated with intermediation dynamics and thus is contracyclical. Banks could end up with tight liquidity in a booming economy, which would pose a severe risk to their financial standing.

Originality/value

To authors’ knowledge, this study is the first to analyze bank liquidity management behavior empirically using a panel error correction mechanism. Here, the authors also try to combine a practitioner perspective with a scientific one.

Details

International Journal of Emerging Markets, vol. 17 no. 9
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 6 March 2009

Qiulin Ke and Michael White

Shanghai is the most important economic centre in China. It also has the nation's largest modern office market in terms of floorspace and investment values. However, as with…

1817

Abstract

Purpose

Shanghai is the most important economic centre in China. It also has the nation's largest modern office market in terms of floorspace and investment values. However, as with office markets in other cities and countries, the Shanghai market displays rental volatility. This paper aims to examine this issue.

Design/methodology/approach

Rental volatility is examined by econometrically constructing a long‐run equilibrium relationship between rent and underlying demand and supply side factors. In order to establish the validity of this model, it is tested for the presence of a cointegrating vector. From this a short‐run dynamic adjustment model is constructed. This is an error correction mechanism that links the short‐ and long‐run models. The impact of office vacancies, foreign direct investment, and changes in the real interest rate on the office market are explicitly considered.

Findings

The results indicate that both demand (as represented by gross domestic product (GDP)) and supply (stock) are significant determinants of rents. Space demand is found to be both price and income elastic. In the short‐run model the error correction term is significant and correctly signed. In comparison to other office markets, the Shanghai market adjusts rather slowly. Foreign direct investment is found to have a positive impact on long‐run rents and the vacancy rate is found to impact on short‐term rental adjustment.

Originality/value

The Shanghai office market is the most important in China. However, it has displayed significant rental volatility. This paper is the first to examine explicitly the rental adjustment process in this office market. The results suggest a market that is performing as expected by economic theory but which nevertheless displays relatively slow adjustment to market imbalances.

Details

Journal of Property Investment & Finance, vol. 27 no. 2
Type: Research Article
ISSN: 1463-578X

Keywords

Article
Publication date: 1 March 1999

David Ho Kim Hin and Javier Calero Cuervo

This paper looks into the dynamics of private housing prices in Singapore from the first quarter of 1985 to the fourth quarter of 1995. Employing the cointegration analysis, the…

2328

Abstract

This paper looks into the dynamics of private housing prices in Singapore from the first quarter of 1985 to the fourth quarter of 1995. Employing the cointegration analysis, the paper shows that overall private housing price is cointegrated with real gross domestic product, prime lending rate and private housing starts. An errorcorrection mechanism is also incorporated in the estimation of changes in the overall private housing price to account for the short‐run deviations from the equilibrium relationship among these variables.

Details

Journal of Property Investment & Finance, vol. 17 no. 1
Type: Research Article
ISSN: 1463-578X

Keywords

Article
Publication date: 5 October 2015

Andrew Phiri

The purpose of this paper is to investigate asymmetric cointegration and causality effects between financial development and economic growth for South African data spanning over…

1015

Abstract

Purpose

The purpose of this paper is to investigate asymmetric cointegration and causality effects between financial development and economic growth for South African data spanning over the period of 1992-2013.

Design/methodology/approach

This study makes the use of the momentum threshold autoregressive (M-TAR) approach which allows for threshold error-correction (TEC) modeling and Granger causality analysis between the variables. In carrying out an empirical analysis, the author uses six measures of the financial development variables against gross domestic per capita, that is, three measures which proxy banking activity and another three proxies for stock market development.

Findings

The empirical results generally indicate an abrupt asymmetric cointegration relationship between banking activity and economic growth, on the one hand, and a smooth cointegration relationship between stock market activity and economic growth, on the other hand. Moreover, causality analysis generally reveals that while banking activity tends to Granger cause economic growth, stock market activity is, however, caused by economic growth increase.

Originality/value

This study contributes to the literature by examining asymmetries in the cointegration and causality relations by using both banking and stock market proxies against economic growth for the South African economy.

Details

Studies in Economics and Finance, vol. 32 no. 4
Type: Research Article
ISSN: 1086-7376

Keywords

Abstract

Details

Panel Data Econometrics Theoretical Contributions and Empirical Applications
Type: Book
ISBN: 978-1-84950-836-0

Article
Publication date: 1 February 2003

Jui‐Chi Huang and Tantatape Brahmasrene

This study examines the impact of expectations on the market share mechanism. The dynamic strategic pricing behaviors in the short‐run and the long‐run are also explored. The…

2414

Abstract

This study examines the impact of expectations on the market share mechanism. The dynamic strategic pricing behaviors in the short‐run and the long‐run are also explored. The exchange rate expectations are incorporated into a switching cost model via the method of exchange rate pass‐through on product‐specific and country‐specific approach. By using the time series techniques, the results of the system estimations prove that the market share mechanisms are weakened by exchange rate expectations in open economies. Furthermore, not only is the degree of exchange rate pass‐through higher in the short‐run than in the long‐run but also many cases of pair‐wise rivalry are found. An improved understanding of the effects of exchange rate movements on foreign exporters pricing and pass‐through relations from this study may enhance competition in international markets.

Details

Managerial Finance, vol. 29 no. 1
Type: Research Article
ISSN: 0307-4358

Keywords

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