IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1907.04447.html
   My bibliography  Save this paper

Relationships between different Macroeconomic Variables using VECM

Author

Listed:
  • Saannidhya Rawat

Abstract

Through this paper, an attempt has been made to quantify the underlying relationships between the leading macroeconomic indicators. More clearly, an effort has been made in this paper to assess the cointegrating relationships and examine the error correction behavior revealed by macroeconomic variables using econometric techniques that were initially developed by Engle and Granger (1987), and further explored by various succeeding papers, with the latest being Tu and Yi (2017). Gross Domestic Product, Discount Rate, Consumer Price Index and population of U.S are representatives of the economy that have been used in this study to analyze the relationships between economic indicators and understand how an adverse change in one of these variables might have ramifications on the others. This is performed to corroborate and guide the belief that a policy maker with specified intentions cannot ignore the spillover effects caused by implementation of a certain policy.

Suggested Citation

  • Saannidhya Rawat, 2019. "Relationships between different Macroeconomic Variables using VECM," Papers 1907.04447, arXiv.org.
    • Handle: RePEc:arx:papers:1907.04447
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1907.04447
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    2. Anindya Banerjee & Juan Dolado & Ricardo Mestre, 1998. "Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(3), pages 267-283, May.
    3. Tu, Yundong & Yi, Yanping, 2017. "Forecasting cointegrated nonstationary time series with time-varying variance," Journal of Econometrics, Elsevier, vol. 196(1), pages 83-98.
    4. Roger H. Gordon, 1982. "Interest Rates, Inflation, and Corporate Financial Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(2), pages 461-491.
    5. Fischer, Stanley, 1993. "The role of macroeconomic factors in growth," Journal of Monetary Economics, Elsevier, vol. 32(3), pages 485-512, December.
    6. Stockhammer, Engelbert & Hochreiter, Harald & Obermayr, Bernhard & Steiner, Klaus, 1997. "The index of sustainable economic welfare (ISEW) as an alternative to GDP in measuring economic welfare. The results of the Austrian (revised) ISEW calculation 1955-1992," Ecological Economics, Elsevier, vol. 21(1), pages 19-34, April.
    7. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    9. Robert Mundell, 1963. "Inflation and Real Interest," Journal of Political Economy, University of Chicago Press, vol. 71(3), pages 280-280.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ali, Sharafat, 2014. "Inflation, Income Inequality and Economic Growth in Pakistan: A Cointegration Analysis," MPRA Paper 53706, University Library of Munich, Germany.
    2. Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2021. "Quantifying sovereign risk in the euro area," Economic Modelling, Elsevier, vol. 95(C), pages 76-96.
    3. Philip Michael Kargbo, 2012. "Impact of Foreign Aid on Economic Growth in Sierra Leone: Empirical Analysis," WIDER Working Paper Series wp-2012-007, World Institute for Development Economic Research (UNU-WIDER).
    4. Prao Yao Séraphin & Kongoza Kouassi Cyrille, 2023. "Nonlinear Effect of Financial Development on Income Inequality: The Case of Ivory Coast," International Journal of Business and Management, Canadian Center of Science and Education, vol. 17(6), pages 1-57, February.
    5. Tariq Hussain & Ahmad Raza Ul Mustafa & Makhdum M.I. & Kaleem Ullah, 2022. "Defense Expenditures, Fiscal Deficit And Debt Servicing Nexus: A Case Study Of Pakistan," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 11(2), pages 74-83, June.
    6. Tauã Vital & Daniel Morais De Souza & Jessica Faciroli, 2020. "Unemployment, poverty and police performance: an ARDL analysis of crime in São Paulo," Economics Bulletin, AccessEcon, vol. 40(1), pages 128-139.
    7. Raymond Y.C. Tse & John Raftery, 2001. "The effects of money supply on construction flows," Construction Management and Economics, Taylor & Francis Journals, vol. 19(1), pages 9-17, January.
    8. Noureldin Diaa, 2018. "Much Ado about the Egyptian Pound: Exchange Rate Misalignment and the Path Towards Equilibrium," Review of Middle East Economics and Finance, De Gruyter, vol. 14(2), pages 1-19, August.
    9. Kargbo, Philip Michael, 2012. "Impact of Foreign Aid on Economic Growth in Sierra Leone: Empirical Analysis," WIDER Working Paper Series 007, World Institute for Development Economic Research (UNU-WIDER).
    10. Sayef Bakari & Mohamed Mabrouki & Asma Elmakki, 2018. "The Impact of Domestic Investment in the Industrial Sector on Economic Growth with Partial Openness: Evidence from Tunisia," Economics Bulletin, AccessEcon, vol. 38(1), pages 111-128.
    11. Iyke, Bernard Njindan, 2015. "Electricity consumption and economic growth in Nigeria: A revisit of the energy-growth debate," Energy Economics, Elsevier, vol. 51(C), pages 166-176.
    12. Maria Khan, 2021. "Effect of Natural Resources on Economic Growth in Pakistan: A Time Series Analysis," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 9(1), pages 29-47, March.
    13. Balsalobre-Lorente, Daniel & Bekun, Festus Victor & Etokakpan, Mfonobong Udom & Driha, Oana M., 2019. "A road to enhancements in natural gas use in Iran: A multivariate modelling approach," Resources Policy, Elsevier, vol. 64(C).
    14. Santos, João & Domingos, Tiago & Sousa, Tânia & St. Aubyn, Miguel, 2016. "Does a small cost share reflect a negligible role for energy in economic production? Testing for aggregate production functions including capital, labor, and useful exergy through a cointegration-base," MPRA Paper 70850, University Library of Munich, Germany.
    15. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    16. Yap, Wei Yim & Lam, Jasmine S.L., 2006. "Competition dynamics between container ports in East Asia," Transportation Research Part A: Policy and Practice, Elsevier, vol. 40(1), pages 35-51, January.
    17. Xiaojie Xu, 2017. "The rolling causal structure between the Chinese stock index and futures," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(4), pages 491-509, November.
    18. Camgöz, Mevlüt & Topal, Mehmet Hanefi, 2022. "Identifying the asymmetric price dynamics of Islamic equities: Implications for international investors," Research in International Business and Finance, Elsevier, vol. 60(C).
    19. Liu, Yaping & Sadiq, Farah & Ali, Wajahat & Kumail, Tafazal, 2022. "Does tourism development, energy consumption, trade openness and economic growth matters for ecological footprint: Testing the Environmental Kuznets Curve and pollution haven hypothesis for Pakistan," Energy, Elsevier, vol. 245(C).
    20. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1907.04447. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.