LAMPIRAN 1. Output Stasioneritas Variabel pada Tingkat First Difference

Size: px
Start display at page:

Download "LAMPIRAN 1. Output Stasioneritas Variabel pada Tingkat First Difference"

Transcription

1 LAMPIRAN 1. Output Stasioneritas Variabel pada Tingkat First Difference RINDFirst Difference Null Hypothesis: D(RIND) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RIND,2) Method: Least Squares Date: 09/29/14 Time: 20:51 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RIND(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

2 RCIN First Difference Null Hypothesis: D(RCIN) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RCIN,2) Method: Least Squares Date: 09/29/14 Time: 20:51 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RCIN(-1)) C R-squared Mean dependent var 4.15E-18 Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

3 RJEP First Difference Null Hypothesis: D(RJEP) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RJEP,2) Method: Least Squares Date: 09/29/14 Time: 22:34 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RJEP(-1)) C R-squared Mean dependent var 2.84E-19 Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

4 RKSL First Difference Null Hypothesis: D(RKSL) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RKSL,2) Method: Least Squares Date: 09/29/14 Time: 20:55 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RKSL(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

5 RMAL First Difference Null Hypothesis: D(RMAL) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RMAL,2) Method: Least Squares Date: 09/29/14 Time: 20:56 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RMAL(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

6 RTHA First Difference Null Hypothesis: D(RTHA) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RTHA,2) Method: Least Squares Date: 09/29/14 Time: 20:57 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RTHA(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat

7 RSGP First Difference Null Hypothesis: D(RSGP) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RSGP,2) Method: Least Squares Date: 09/29/14 Time: 20:58 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RSGP(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter F-statistic Durbin-Watson stat Prob(F-statistic)

8 RFIL First Difference Null Hypothesis: D(RFIL) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(RFIL,2) Method: Least Squares Date: 09/29/14 Time: 20:59 Sample (adjusted): 2006M M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(RFIL(-1)) C S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan-Quinn criter Durbin-Watson stat

9 2. Output Lag length VAR Lag Order Selection Criteria Endogenous variables: RJEP RKSL RMAL RCIN RFIL RIND RTHA RSGP Exogenous variables: C Date: 09/29/14 Time: 21:16 Sample: 2006M M12 Included observations: 91 Lag LogL LR FPE AIC SC HQ NA 4.29e * * 2.62e-15* * * * e e e e * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion 109

10 3. Output Uji Granger Causality Pairwise Granger Causality Tests Date: 09/29/14 Time: 21:21 Sample: 2006M M12 Lags: 1 Null Hypothesis: Obs F-Statistic Prob. RFIL does not Granger Cause RCIN RCIN does not Granger Cause RFIL RIND does not Granger Cause RCIN RCIN does not Granger Cause RIND E-06 RJEP does not Granger Cause RCIN RCIN does not Granger Cause RJEP RKSL does not Granger Cause RCIN RCIN does not Granger Cause RKSL RMAL does not Granger Cause RCIN RCIN does not Granger Cause RMAL RSGP does not Granger Cause RCIN RCIN does not Granger Cause RSGP RTHA does not Granger Cause RCIN RCIN does not Granger Cause RTHA RIND does not Granger Cause RFIL RFIL does not Granger Cause RIND RJEP does not Granger Cause RFIL RFIL does not Granger Cause RJEP RKSL does not Granger Cause RFIL RFIL does not Granger Cause RKSL RMAL does not Granger Cause RFIL RFIL does not Granger Cause RMAL RSGP does not Granger Cause RFIL RFIL does not Granger Cause RSGP RTHA does not Granger Cause RFIL RFIL does not Granger Cause RTHA RJEP does not Granger Cause RIND RIND does not Granger Cause RJEP

11 RKSL does not Granger Cause RIND RIND does not Granger Cause RKSL RMAL does not Granger Cause RIND RIND does not Granger Cause RMAL RSGP does not Granger Cause RIND RIND does not Granger Cause RSGP RTHA does not Granger Cause RIND RIND does not Granger Cause RTHA RKSL does not Granger Cause RJEP RJEP does not Granger Cause RKSL RMAL does not Granger Cause RJEP RJEP does not Granger Cause RMAL RSGP does not Granger Cause RJEP E-05 RJEP does not Granger Cause RSGP RTHA does not Granger Cause RJEP RJEP does not Granger Cause RTHA RMAL does not Granger Cause RKSL RKSL does not Granger Cause RMAL RSGP does not Granger Cause RKSL RKSL does not Granger Cause RSGP RTHA does not Granger Cause RKSL RKSL does not Granger Cause RTHA RSGP does not Granger Cause RMAL RMAL does not Granger Cause RSGP RTHA does not Granger Cause RMAL RMAL does not Granger Cause RTHA RTHA does not Granger Cause RSGP RSGP does not Granger Cause RTHA

12 Vector Autoregression Estimates Date: 09/29/14 Time: 22:51 Sample (adjusted): 2006M M12 Included observations: 91 after adjustments Standard errors in ( ) & t-statistics in [ ] 4. Output Estimasi VAR DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA DRCIN(-1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRFIL(-1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRIND(-1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRJEP(- 1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRKSL(- 1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRMAL(- 1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRSGP(- 1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] DRTHA(- 1) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] C ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] R- squared

13 Adj. R- squared Sum sq. resids S.E. equation F-statistic Log likelihood Akaike AIC Schwarz C Mean ependent S.D. ependent Determinant resid covariance (dof adj.) 3.75E-21 Determinant resid covariance 1.63E-21 Log likelihood Akaike information criterion Schwarz criterion Estimation Proc: =============================== LS 1 1 DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP C VAR Model: =============================== DRCIN = C(1,1)*DRCIN(-1) + C(1,2)*DRFIL(-1) + C(1,3)*DRIND(-1) + C(1,4)*DRJEP(-1) + C(1,5)*DRKSL(-1) + C(1,6)*DRMAL(-1) + C(1,7)*DRSGP(-1) + C(1,8)*DRTHA(-1) + C(1,9) DRFIL = C(2,1)*DRCIN(-1) + C(2,2)*DRFIL(-1) + C(2,3)*DRIND(-1) + C(2,4)*DRJEP(-1) + C(2,5)*DRKSL(-1) + C(2,6)*DRMAL(-1) + C(2,7)*DRSGP(-1) + C(2,8)*DRTHA(-1) + C(2,9) DRIND = C(3,1)*DRCIN(-1) + C(3,2)*DRFIL(-1) + C(3,3)*DRIND(-1) + C(3,4)*DRJEP(-1) + C(3,5)*DRKSL(-1) + C(3,6)*DRMAL(-1) + C(3,7)*DRSGP(-1) + C(3,8)*DRTHA(-1) + C(3,9) DRJEP = C(4,1)*DRCIN(-1) + C(4,2)*DRFIL(-1) + C(4,3)*DRIND(-1) + C(4,4)*DRJEP(-1) + C(4,5)*DRKSL(-1) + C(4,6)*DRMAL(-1) + C(4,7)*DRSGP(-1) + C(4,8)*DRTHA(-1) + C(4,9) DRKSL = C(5,1)*DRCIN(-1) + C(5,2)*DRFIL(-1) + C(5,3)*DRIND(-1) + C(5,4)*DRJEP(-1) + C(5,5)*DRKSL(-1) + C(5,6)*DRMAL(-1) + C(5,7)*DRSGP(-1) + C(5,8)*DRTHA(-1) + C(5,9) DRMAL = C(6,1)*DRCIN(-1) + C(6,2)*DRFIL(-1) + C(6,3)*DRIND(-1) + C(6,4)*DRJEP(-1) + C(6,5)*DRKSL(-1) + C(6,6)*DRMAL(-1) + C(6,7)*DRSGP(-1) + C(6,8)*DRTHA(-1) + C(6,9) DRSGP = C(7,1)*DRCIN(-1) + C(7,2)*DRFIL(-1) + C(7,3)*DRIND(-1) + C(7,4)*DRJEP(-1) + C(7,5)*DRKSL(-1) + C(7,6)*DRMAL(-1) + C(7,7)*DRSGP(-1) + C(7,8)*DRTHA(-1) + C(7,9) 113

14 DRTHA = C(8,1)*DRCIN(-1) + C(8,2)*DRFIL(-1) + C(8,3)*DRIND(-1) + C(8,4)*DRJEP(-1) + C(8,5)*DRKSL(-1) + C(8,6)*DRMAL(-1) + C(8,7)*DRSGP(-1) + C(8,8)*DRTHA(-1) + C(8,9) VAR Model - Substituted Coefficients: =============================== DRCIN = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRFIL = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRIND = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRJEP = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRKSL = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRMAL = *DRCIN(-1) *DRFIL(-1) *DRIND(- 1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRSGP = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1) DRTHA = *DRCIN(-1) *DRFIL(-1) *DRIND(-1) *DRJEP(-1) *DRKSL(-1) *DRMAL(-1) *DRSGP(-1) *DRTHA(-1)

15 115

16 Vari ance Deco mpo sition of DRC IN: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA Vari ance Deco mpo sition of DRFI L: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA Vari ance Deco mpo sition of DRI ND: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA

17 Vari ance Deco mpo sition of DRJ EP: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA Vari ance Deco mpo sition of DRK SL: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA

18 Vari ance Deco mpo sition of DRM AL: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA Vari ance Deco mpo sition of DRS GP: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA

19 Vari ance Deco mpo sition of DRT HA: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA E Chol esky Orde ring: DRC IN DRFI L DRI ND DRJ EP DRK SL DRM AL DRS GP DRT HA 119

Forecasting the US Dollar / Euro Exchange rate Using ARMA Models

Forecasting the US Dollar / Euro Exchange rate Using ARMA Models Forecasting the US Dollar / Euro Exchange rate Using ARMA Models LIUWEI (9906360) - 1 - ABSTRACT...3 1. INTRODUCTION...4 2. DATA ANALYSIS...5 2.1 Stationary estimation...5 2.2 Dickey-Fuller Test...6 3.

More information

TIME SERIES ANALYSIS OF CHINA S EXTERNAL DEBT COMPONENTS, FOREIGN EXCHANGE RESERVES AND ECONOMIC GROWTH RATES. Hüseyin Çetin

TIME SERIES ANALYSIS OF CHINA S EXTERNAL DEBT COMPONENTS, FOREIGN EXCHANGE RESERVES AND ECONOMIC GROWTH RATES. Hüseyin Çetin TIME SERIES ANALYSIS OF CHINA S EXTERNAL DEBT COMPONENTS, FOREIGN EXCHANGE RESERVES AND ECONOMIC GROWTH RATES Hüseyin Çetin Phd Business Administration Candidate Okan University Social Science Institute,

More information

Chapter 6: Multivariate Cointegration Analysis

Chapter 6: Multivariate Cointegration Analysis Chapter 6: Multivariate Cointegration Analysis 1 Contents: Lehrstuhl für Department Empirische of Wirtschaftsforschung Empirical Research and und Econometrics Ökonometrie VI. Multivariate Cointegration

More information

The relationship between stock market parameters and interbank lending market: an empirical evidence

The relationship between stock market parameters and interbank lending market: an empirical evidence Magomet Yandiev Associate Professor, Department of Economics, Lomonosov Moscow State University mag2097@mail.ru Alexander Pakhalov, PG student, Department of Economics, Lomonosov Moscow State University

More information

Price volatility in the silver spot market: An empirical study using Garch applications

Price volatility in the silver spot market: An empirical study using Garch applications Price volatility in the silver spot market: An empirical study using Garch applications ABSTRACT Alan Harper, South University Zhenhu Jin Valparaiso University Raufu Sokunle UBS Investment Bank Manish

More information

European Journal of Business and Management ISSN 2222-1905 (Paper) ISSN 2222-2839 (Online) Vol.5, No.30, 2013

European Journal of Business and Management ISSN 2222-1905 (Paper) ISSN 2222-2839 (Online) Vol.5, No.30, 2013 The Impact of Stock Market Liquidity on Economic Growth in Jordan Shatha Abdul-Khaliq Assistant Professor,AlBlqa Applied University, Jordan * E-mail of the corresponding author: yshatha@gmail.com Abstract

More information

Performing Unit Root Tests in EViews. Unit Root Testing

Performing Unit Root Tests in EViews. Unit Root Testing Página 1 de 12 Unit Root Testing The theory behind ARMA estimation is based on stationary time series. A series is said to be (weakly or covariance) stationary if the mean and autocovariances of the series

More information

3.1 Stationary Processes and Mean Reversion

3.1 Stationary Processes and Mean Reversion 3. Univariate Time Series Models 3.1 Stationary Processes and Mean Reversion Definition 3.1: A time series y t, t = 1,..., T is called (covariance) stationary if (1) E[y t ] = µ, for all t Cov[y t, y t

More information

What drove Irish Government bond yields during the crisis?

What drove Irish Government bond yields during the crisis? What drove Irish Government bond yields during the crisis? David Purdue and Rossa White, September 2014 1. Introduction The Irish Government bond market has been exceptionally volatile in the seven years

More information

THE INCREASING INFLUENCE OF OIL PRICES ON THE CANADIAN STOCK MARKET

THE INCREASING INFLUENCE OF OIL PRICES ON THE CANADIAN STOCK MARKET The International Journal of Business and Finance Research VOLUME 7 NUMBER 3 2013 THE INCREASING INFLUENCE OF OIL PRICES ON THE CANADIAN STOCK MARKET Shahriar Hasan, Thompson Rivers University Mohammad

More information

Toward Efficient Management of Working Capital: The case of the Palestinian Exchange

Toward Efficient Management of Working Capital: The case of the Palestinian Exchange Journal of Applied Finance & Banking, vol.2, no.1, 2012, 225-246 ISSN: 1792-6580 (print version), 1792-6599 (online) International Scientific Press, 2012 Toward Efficient Management of Working Capital:

More information

The Orthogonal Response of Stock Returns to Dividend Yield and Price-to-Earnings Innovations

The Orthogonal Response of Stock Returns to Dividend Yield and Price-to-Earnings Innovations The Orthogonal Response of Stock Returns to Dividend Yield and Price-to-Earnings Innovations Vichet Sum School of Business and Technology, University of Maryland, Eastern Shore Kiah Hall, Suite 2117-A

More information

A Trading Strategy Based on the Lead-Lag Relationship of Spot and Futures Prices of the S&P 500

A Trading Strategy Based on the Lead-Lag Relationship of Spot and Futures Prices of the S&P 500 A Trading Strategy Based on the Lead-Lag Relationship of Spot and Futures Prices of the S&P 500 FE8827 Quantitative Trading Strategies 2010/11 Mini-Term 5 Nanyang Technological University Submitted By:

More information

Determinants of Stock Market Performance in Pakistan

Determinants of Stock Market Performance in Pakistan Determinants of Stock Market Performance in Pakistan Mehwish Zafar Sr. Lecturer Bahria University, Karachi campus Abstract Stock market performance, economic and political condition of a country is interrelated

More information

ARIMA Modeling With Intervention to Forecast and Analyze Chinese Stock Prices

ARIMA Modeling With Intervention to Forecast and Analyze Chinese Stock Prices ARIMA Modeling With Intervention to Forecast and Analyze Chinese Stock Prices Research Paper Jeffrey E Jarrett, Ph.D. 1* and Eric Kyper, Ph.D. 2 1 University of Rhode Island (USA) 2 Lynchburg College (USA)

More information

Forecasting Using Eviews 2.0: An Overview

Forecasting Using Eviews 2.0: An Overview Forecasting Using Eviews 2.0: An Overview Some Preliminaries In what follows it will be useful to distinguish between ex post and ex ante forecasting. In terms of time series modeling, both predict values

More information

Chapter 4: Vector Autoregressive Models

Chapter 4: Vector Autoregressive Models Chapter 4: Vector Autoregressive Models 1 Contents: Lehrstuhl für Department Empirische of Wirtschaftsforschung Empirical Research and und Econometrics Ökonometrie IV.1 Vector Autoregressive Models (VAR)...

More information

IMPACT OF WORKING CAPITAL MANAGEMENT ON PROFITABILITY

IMPACT OF WORKING CAPITAL MANAGEMENT ON PROFITABILITY IMPACT OF WORKING CAPITAL MANAGEMENT ON PROFITABILITY Hina Agha, Mba, Mphil Bahria University Karachi Campus, Pakistan Abstract The main purpose of this study is to empirically test the impact of working

More information

Oil price & stock market performance in Nigeria: An empirical analysis

Oil price & stock market performance in Nigeria: An empirical analysis AMERICAN JOURNAL OF SOCIAL AND MANAGEMENT SCIENCES ISSN Print: 2156-1540, ISSN Online: 2151-1559, doi:10.5251/ajsms.2013.4.1.20.41 2013, ScienceHuβ, http://www.scihub.org/ajsms Oil price & stock market

More information

The Impact of Privatization in Insurance Industry on Insurance Efficiency in Iran

The Impact of Privatization in Insurance Industry on Insurance Efficiency in Iran The Impact of Privatization in Insurance Industry on Insurance Efficiency in Iran Shahram Gilaninia 1, Hosein Ganjinia, Azadeh Asadian 3 * 1. Department of Industrial Management, Islamic Azad University,

More information

Air passenger departures forecast models A technical note

Air passenger departures forecast models A technical note Ministry of Transport Air passenger departures forecast models A technical note By Haobo Wang Financial, Economic and Statistical Analysis Page 1 of 15 1. Introduction Sine 1999, the Ministry of Business,

More information

Vector Time Series Model Representations and Analysis with XploRe

Vector Time Series Model Representations and Analysis with XploRe 0-1 Vector Time Series Model Representations and Analysis with plore Julius Mungo CASE - Center for Applied Statistics and Economics Humboldt-Universität zu Berlin mungo@wiwi.hu-berlin.de plore MulTi Motivation

More information

Competition as an Effective Tool in Developing Social Marketing Programs: Driving Behavior Change through Online Activities

Competition as an Effective Tool in Developing Social Marketing Programs: Driving Behavior Change through Online Activities Competition as an Effective Tool in Developing Social Marketing Programs: Driving Behavior Change through Online Activities Corina ŞERBAN 1 ABSTRACT Nowadays, social marketing practices represent an important

More information

Education, Economic Growth & Poverty Rate in Nigeria: Any Nexus?

Education, Economic Growth & Poverty Rate in Nigeria: Any Nexus? Journal of Social and Development Sciences Vol. 4, No. 12, pp. 544-553, Dec 2013 (ISSN 2221-1152) Education, Economic Growth & Poverty Rate in Nigeria: Any Nexus? Ehigiamusoe, Uyi Kizito National Institute

More information

Intertemporal Effects of Online Advertising Channels on Customers

Intertemporal Effects of Online Advertising Channels on Customers International Journal of Business and Social Science Vol. 5, No. 9; August 2014 Intertemporal Effects of Online Advertising Channels on Customers Mohammad Almotairi Department of Marketing College of Business

More information

2. Linear regression with multiple regressors

2. Linear regression with multiple regressors 2. Linear regression with multiple regressors Aim of this section: Introduction of the multiple regression model OLS estimation in multiple regression Measures-of-fit in multiple regression Assumptions

More information

Implied volatility transmissions between Thai and selected advanced stock markets

Implied volatility transmissions between Thai and selected advanced stock markets MPRA Munich Personal RePEc Archive Implied volatility transmissions between Thai and selected advanced stock markets Supachok Thakolsri and Yuthana Sethapramote and Komain Jiranyakul Public Enterprise

More information

Impact of Oil Price Increases on U.S. Economic Growth: Causality Analysis and Study of the Weakening Effects on the Relationship

Impact of Oil Price Increases on U.S. Economic Growth: Causality Analysis and Study of the Weakening Effects on the Relationship IJE : Volume 6 Number 1 June 01, pp. 159-184 Impact of Oil Price Increases on U.S. Economic Growth: Causality Analysis and Study of the Weakening Effects on the Relationship Sahbi Farhani*, **, *** Abstract:

More information

Sacred Heart University John F. Welch College of Business

Sacred Heart University John F. Welch College of Business Sacred Heart University John F. Welch College of Business CONNECTICUT ECONOMIC OUTLOOK for 2013-2015: A Perspective from Sacred Heart University Students in Business Economics Final Research Project for

More information

CHAPTER FIVE FACTORS DETERMINING HUMAN DEVELOPMENT IN NORTH EAST REGION. development in North Eastern region and it has worked out the nature and

CHAPTER FIVE FACTORS DETERMINING HUMAN DEVELOPMENT IN NORTH EAST REGION. development in North Eastern region and it has worked out the nature and CHAPTER FIVE FACTORS DETERMINING HUMAN DEVELOPMENT IN NORTH EAST REGION This chapter has tried to identify the important determinants of human development in North Eastern region and it has worked out

More information

STATISTICA Formula Guide: Logistic Regression. Table of Contents

STATISTICA Formula Guide: Logistic Regression. Table of Contents : Table of Contents... 1 Overview of Model... 1 Dispersion... 2 Parameterization... 3 Sigma-Restricted Model... 3 Overparameterized Model... 4 Reference Coding... 4 Model Summary (Summary Tab)... 5 Summary

More information

IS THERE A LONG-RUN RELATIONSHIP

IS THERE A LONG-RUN RELATIONSHIP 7. IS THERE A LONG-RUN RELATIONSHIP BETWEEN TAXATION AND GROWTH: THE CASE OF TURKEY Salih Turan KATIRCIOGLU Abstract This paper empirically investigates long-run equilibrium relationship between economic

More information

Testing The Quantity Theory of Money in Greece: A Note

Testing The Quantity Theory of Money in Greece: A Note ERC Working Paper in Economic 03/10 November 2003 Testing The Quantity Theory of Money in Greece: A Note Erdal Özmen Department of Economics Middle East Technical University Ankara 06531, Turkey ozmen@metu.edu.tr

More information

The Relationship between Life Insurance and Economic Growth: Evidence from India

The Relationship between Life Insurance and Economic Growth: Evidence from India Global Journal of Management and Business Studies. ISSN 2248-9878 Volume 3, Number 4 (2013), pp. 413-422 Research India Publications http://www.ripublication.com/gjmbs.htm The Relationship between Life

More information

Correlation of International Stock Markets Before and During the Subprime Crisis

Correlation of International Stock Markets Before and During the Subprime Crisis 173 Correlation of International Stock Markets Before and During the Subprime Crisis Ioana Moldovan 1 Claudia Medrega 2 The recent financial crisis has spread to markets worldwide. The correlation of evolutions

More information

Time Series Analysis

Time Series Analysis Time Series Analysis Identifying possible ARIMA models Andrés M. Alonso Carolina García-Martos Universidad Carlos III de Madrid Universidad Politécnica de Madrid June July, 2012 Alonso and García-Martos

More information

Using An Ordered Logistic Regression Model with SAS Vartanian: SW 541

Using An Ordered Logistic Regression Model with SAS Vartanian: SW 541 Using An Ordered Logistic Regression Model with SAS Vartanian: SW 541 libname in1 >c:\=; Data first; Set in1.extract; A=1; PROC LOGIST OUTEST=DD MAXITER=100 ORDER=DATA; OUTPUT OUT=CC XBETA=XB P=PROB; MODEL

More information

Time Series Analysis

Time Series Analysis Time Series Analysis Forecasting with ARIMA models Andrés M. Alonso Carolina García-Martos Universidad Carlos III de Madrid Universidad Politécnica de Madrid June July, 2012 Alonso and García-Martos (UC3M-UPM)

More information

Serhat YANIK* & Yusuf AYTURK*

Serhat YANIK* & Yusuf AYTURK* LEAD-LAG RELATIONSHIP BETWEEN ISE 30 SPOT AND FUTURES MARKETS Serhat YANIK* & Yusuf AYTURK* Abstract The lead-lag relationship between spot and futures markets indicates which market leads to the other.

More information

The Time Series Performance Of UK Real Estate Indices

The Time Series Performance Of UK Real Estate Indices The Time Series Performance Of UK Real Estate Indices A report funded by the Real Estate Research Institute as part of an enquiry into property performance measures in the United States for the US Pensions

More information

Impact of Oil Price Increases on U.S. Economic Growth: Causality Analysis and Study of the Weakening Effects in Relationship

Impact of Oil Price Increases on U.S. Economic Growth: Causality Analysis and Study of the Weakening Effects in Relationship International Journal of Energy Economics and Policy Vol. 2, No. 3, 2012, pp.108-122 ISSN: 2146-4553 www.econjournals.com Impact of Oil Price Increases on U.S. Economic Growth: Causality Analysis and Study

More information

Source engine marketing: A preliminary empirical analysis of web search data

Source engine marketing: A preliminary empirical analysis of web search data Source engine marketing: A preliminary empirical analysis of web search data ABSTRACT Bruce Q. Budd Alfaisal University The purpose of this paper is to empirically investigate a website performance and

More information

Stock Markets Correlation: before and during the Crisis Analysis *

Stock Markets Correlation: before and during the Crisis Analysis * Theoretical and Applied Economics Volume XVIII (2011), No. 8(561), pp. 111-122 Stock Markets Correlation: before and during the Crisis Analysis * Ioana MOLDOVAN Bucharest Academy of Economic Studies ioana.moldovan@economie.ase.ro

More information

Examining the Relationship between ETFS and Their Underlying Assets in Indian Capital Market

Examining the Relationship between ETFS and Their Underlying Assets in Indian Capital Market 2012 2nd International Conference on Computer and Software Modeling (ICCSM 2012) IPCSIT vol. 54 (2012) (2012) IACSIT Press, Singapore DOI: 10.7763/IPCSIT.2012.V54.20 Examining the Relationship between

More information

Spillover effects among gold, stocks, and bonds

Spillover effects among gold, stocks, and bonds 106 JCC Journal of CENTRUM Cathedra by Steven W. Sumner Ph.D. Economics, University of California, San Diego, USA Professor, University of San Diego, USA Robert Johnson Ph.D. Economics, University of Oregon,

More information

THE IMPACT OF COMPANY INCOME TAX AND VALUE-ADDED TAX ON ECONOMIC GROWTH: EVIDENCE FROM NIGERIA

THE IMPACT OF COMPANY INCOME TAX AND VALUE-ADDED TAX ON ECONOMIC GROWTH: EVIDENCE FROM NIGERIA THE IMPACT OF COMPANY INCOME TAX AND VALUE-ADDED TAX ON ECONOMIC GROWTH: EVIDENCE FROM NIGERIA Dr. Lyndon M. Etale and Dr. Paymaster F. Bingilar Department of Finance and Accountancy, Faculty of Management

More information

On the Degree of Openness of an Open Economy Carlos Alfredo Rodriguez, Universidad del CEMA Buenos Aires, Argentina

On the Degree of Openness of an Open Economy Carlos Alfredo Rodriguez, Universidad del CEMA Buenos Aires, Argentina On the Degree of Openness of an Open Economy Carlos Alfredo Rodriguez, Universidad del CEMA Buenos Aires, Argentina car@cema.edu.ar www.cema.edu.ar\~car Version1-February 14,2000 All data can be consulted

More information

STAFF WORKING PAPER. The Relationship between Sustainable Growth and the Riskfree Rate: Evidence from UK Government Gilts. Staff Working Paper 2012.

STAFF WORKING PAPER. The Relationship between Sustainable Growth and the Riskfree Rate: Evidence from UK Government Gilts. Staff Working Paper 2012. STAFF WORKING PAPER The Relationship between Sustainable Growth and the Riskfree Rate: Evidence from UK Government Gilts Staff Working Paper 2012.1 Andrew Lilico & Stefano Ficco January 2012 FOREWORD Europe

More information

Testing for Granger causality between stock prices and economic growth

Testing for Granger causality between stock prices and economic growth MPRA Munich Personal RePEc Archive Testing for Granger causality between stock prices and economic growth Pasquale Foresti 2006 Online at http://mpra.ub.uni-muenchen.de/2962/ MPRA Paper No. 2962, posted

More information

Does A Long-Run Relationship Exist between Agriculture and Economic Growth in Thailand?

Does A Long-Run Relationship Exist between Agriculture and Economic Growth in Thailand? Does A Long-Run Relationship Exist between Agriculture and Economic Growth in Thailand? Chalermpon Jatuporn (Corresponding author) Department of Applied Economics, National Chung Hsing University 250,

More information

FINANCIAL INTEGRATION IN THE GCC STOCK MARKETS: EVIDENCE FROM THE EARLY 2000s DEVELOPMENT PHASE. John Simpson 1

FINANCIAL INTEGRATION IN THE GCC STOCK MARKETS: EVIDENCE FROM THE EARLY 2000s DEVELOPMENT PHASE. John Simpson 1 Journal of Economic Cooperation, 29, 1 (2008), 1-28 FINANCIAL INTEGRATION IN THE GCC STOCK MARKETS: EVIDENCE FROM THE EARLY 2000s DEVELOPMENT PHASE John Simpson 1 The GCC markets are the most advanced

More information

Business Cycles and Natural Gas Prices

Business Cycles and Natural Gas Prices Department of Economics Discussion Paper 2004-19 Business Cycles and Natural Gas Prices Apostolos Serletis Department of Economics University of Calgary Canada and Asghar Shahmoradi Department of Economics

More information

Does Innovation Performance Depend on Economic Growth? The Case of a Country in Transition*

Does Innovation Performance Depend on Economic Growth? The Case of a Country in Transition* Does Innovation Performance Depend on Economic Growth? The Case of a Country in Transition* Abstract Andrzej H. Jasinski** This paper is an attempt to analyze a possible influence of economic growth on

More information

TEMPORAL CAUSAL RELATIONSHIP BETWEEN STOCK MARKET CAPITALIZATION, TRADE OPENNESS AND REAL GDP: EVIDENCE FROM THAILAND

TEMPORAL CAUSAL RELATIONSHIP BETWEEN STOCK MARKET CAPITALIZATION, TRADE OPENNESS AND REAL GDP: EVIDENCE FROM THAILAND I J A B E R, Vol. 13, No. 4, (2015): 1525-1534 TEMPORAL CAUSAL RELATIONSHIP BETWEEN STOCK MARKET CAPITALIZATION, TRADE OPENNESS AND REAL GDP: EVIDENCE FROM THAILAND Komain Jiranyakul * Abstract: This study

More information

Predicting The Outcome Of NASCAR Races: The Role Of Driver Experience Mary Allender, University of Portland

Predicting The Outcome Of NASCAR Races: The Role Of Driver Experience Mary Allender, University of Portland Predicting The Outcome Of NASCAR Races: The Role Of Driver Experience Mary Allender, University of Portland ABSTRACT As national interest in NASCAR grows, the field of sports economics is increasingly

More information

THE INTERNATIONAL JOURNAL OF BUSINESS & MANAGEMENT

THE INTERNATIONAL JOURNAL OF BUSINESS & MANAGEMENT THE INTERNATIONAL JOURNAL OF BUSINESS & MANAGEMENT Human Capital Efficiency and Corporate Performance: The Nigerian Perspective Kwarbai Jerry Danjuma Ph.D. Student, Department of Accounting, Babcock University,

More information

IS THERE ANY CRUCIAL RELATIONSHIP AMONGST ENERGY COMMODITY PRICES AND PRICE VOLATILITIES IN THE U.S.?

IS THERE ANY CRUCIAL RELATIONSHIP AMONGST ENERGY COMMODITY PRICES AND PRICE VOLATILITIES IN THE U.S.? IS THERE ANY CRUCIAL RELATIONSHIP AMONGST ENERGY COMMODITY PRICES AND PRICE VOLATILITIES IN THE U.S.? Dr. Alok Kumar Mishra Assistant Professor School of Economics, University of Hyderabad ABSTRACT: The

More information

CHANGES IN FUEL OIL PRICES IN TURKEY: AN ESTIMATION OF THE INFLATION EFFECT USING VAR ANALYSIS

CHANGES IN FUEL OIL PRICES IN TURKEY: AN ESTIMATION OF THE INFLATION EFFECT USING VAR ANALYSIS Journal of Economics and Business Volume XIV - 2011, No 2 (11-21) CHANGES IN FUEL OIL PRICES IN TURKEY: AN ESTIMATION OF THE INFLATION EFFECT USING VAR ANALYSIS Tuncay Çelik 1 Erciyes University, Kayseri,

More information

EXPORT INSTABILITY, INVESTMENT AND ECONOMIC GROWTH IN ASIAN COUNTRIES: A TIME SERIES ANALYSIS

EXPORT INSTABILITY, INVESTMENT AND ECONOMIC GROWTH IN ASIAN COUNTRIES: A TIME SERIES ANALYSIS ECONOMIC GROWTH CENTER YALE UNIVERSITY P.O. Box 208269 27 Hillhouse Avenue New Haven, Connecticut 06520-8269 CENTER DISCUSSION PAPER NO. 799 EXPORT INSTABILITY, INVESTMENT AND ECONOMIC GROWTH IN ASIAN

More information

ANALYSIS OF EUROPEAN, AMERICAN AND JAPANESE GOVERNMENT BOND YIELDS

ANALYSIS OF EUROPEAN, AMERICAN AND JAPANESE GOVERNMENT BOND YIELDS Applied Time Series Analysis ANALYSIS OF EUROPEAN, AMERICAN AND JAPANESE GOVERNMENT BOND YIELDS Stationarity, cointegration, Granger causality Aleksandra Falkowska and Piotr Lewicki TABLE OF CONTENTS 1.

More information

Relationship between Commodity Prices and Exchange Rate in Light of Global Financial Crisis: Evidence from Australia

Relationship between Commodity Prices and Exchange Rate in Light of Global Financial Crisis: Evidence from Australia Relationship between Commodity Prices and Exchange Rate in Light of Global Financial Crisis: Evidence from Australia Omar K. M. R. Bashar and Sarkar Humayun Kabir Abstract This study seeks to identify

More information

SIMPLE LINEAR CORRELATION. r can range from -1 to 1, and is independent of units of measurement. Correlation can be done on two dependent variables.

SIMPLE LINEAR CORRELATION. r can range from -1 to 1, and is independent of units of measurement. Correlation can be done on two dependent variables. SIMPLE LINEAR CORRELATION Simple linear correlation is a measure of the degree to which two variables vary together, or a measure of the intensity of the association between two variables. Correlation

More information

Effects of bank mergers and acquisitions on small business lending in Nigeria

Effects of bank mergers and acquisitions on small business lending in Nigeria African Journal of Business Management Vol.2 (9), pp. 146-156, September 2008 Available online at http://www.academicjournals.org/ajbm ISSN 1993-8233 2008 Academic Journals Full Length Research Paper Effects

More information

Econometrics I: Econometric Methods

Econometrics I: Econometric Methods Econometrics I: Econometric Methods Jürgen Meinecke Research School of Economics, Australian National University 24 May, 2016 Housekeeping Assignment 2 is now history The ps tute this week will go through

More information

Using graphical modelling in official statistics

Using graphical modelling in official statistics Quaderni di Statistica Vol. 6, 2004 Using graphical modelling in official statistics Richard N. Penny Fidelio Consultancy E-mail: cpenny@xtra.co.nz Marco Reale Mathematics and Statistics Department, University

More information

TOTAL FACTOR PRODUCTIVITY AND ECONOMIC GROWTH

TOTAL FACTOR PRODUCTIVITY AND ECONOMIC GROWTH İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi Yıl:8 Sayı:15 Bahar 2009 s.49-56 TOTAL FACTOR PRODUCTIVITY AND ECONOMIC GROWTH Mehmet ADAK * ABSTRACT The causality between TFP (Total Factor Productivity)

More information

MACROECONOMIC VARIABLES AND SHARE PRICE MOVEMENTS IN NIGERIA BREWERY INDUSTRY: EVIDENCE FROM NIGERIAN BREWERIES PLC.

MACROECONOMIC VARIABLES AND SHARE PRICE MOVEMENTS IN NIGERIA BREWERY INDUSTRY: EVIDENCE FROM NIGERIAN BREWERIES PLC. MACROECONOMIC VARIABLES AND SHARE PRICE MOVEMENTS IN NIGERIA BREWERY INDUSTRY: EVIDENCE FROM NIGERIAN BREWERIES PLC. Oliver Ike Inyiama Ph.D, FCA and Chike Nwoha PhD, FCNA Department of Accountancy, Enugu

More information

UK GDP is the best predictor of UK GDP, literally.

UK GDP is the best predictor of UK GDP, literally. UK GDP IS THE BEST PREDICTOR OF UK GDP, LITERALLY ERIK BRITTON AND DANNY GABAY 6 NOVEMBER 2009 UK GDP is the best predictor of UK GDP, literally. The ONS s preliminary estimate of UK GDP for the third

More information

Import and Economic Growth in Turkey: Evidence from Multivariate VAR Analysis

Import and Economic Growth in Turkey: Evidence from Multivariate VAR Analysis Journal of Economics and Business Vol. XI 2008, No 1 & No 2 Import and Economic Growth in Turkey: Evidence from Multivariate VAR Analysis Ahmet Uğur, Inonu University Abstract This study made an attempt

More information

Asian Economic and Financial Review PAIRS TRADING STRATEGY IN DHAKA STOCK EXCHANGE: IMPLEMENTATION AND PROFITABILITY ANALYSIS. Sharjil Muktafi Haque

Asian Economic and Financial Review PAIRS TRADING STRATEGY IN DHAKA STOCK EXCHANGE: IMPLEMENTATION AND PROFITABILITY ANALYSIS. Sharjil Muktafi Haque Asian Economic and Financial Review journal homepage: http://www.aessweb.com/journals/5002 PAIRS TRADING STRATEGY IN DHAKA STOCK EXCHANGE: IMPLEMENTATION AND PROFITABILITY ANALYSIS Sharjil Muktafi Haque

More information

Monitoring web traffic source effectiveness with Google Analytics An experiment with time series

Monitoring web traffic source effectiveness with Google Analytics An experiment with time series The current issue and full text archive of this journal is available at wwwemeraldinsightcom/0001-253xhtm AP 474 Received 9 July 2008 Revised 21 January 2009 Accepted 6 February 2009 Monitoring web traffic

More information

Business cycles and natural gas prices

Business cycles and natural gas prices Business cycles and natural gas prices Apostolos Serletis and Asghar Shahmoradi Abstract This paper investigates the basic stylised facts of natural gas price movements using data for the period that natural

More information

LONG TERM CAUSALITY OF GDP LED EXPORT (GLE) USING VECM MODEL WITH REFERENCE TO INDIA

LONG TERM CAUSALITY OF GDP LED EXPORT (GLE) USING VECM MODEL WITH REFERENCE TO INDIA LONG TERM CAUSALITY OF GDP LED EXPORT (GLE) USING VECM MODEL WITH REFERENCE TO INDIA ABSTRACT Dr. Amitabh Joshi Director- Incharge, Prestige Institute of Management, Dewas The aim of this paper is to study

More information

Forecasting Stock Market Series. with ARIMA Model

Forecasting Stock Market Series. with ARIMA Model Journal of Statistical and Econometric Methods, vol.3, no.3, 2014, 65-77 ISSN: 2241-0384 (print), 2241-0376 (online) Scienpress Ltd, 2014 Forecasting Stock Market Series with ARIMA Model Fatai Adewole

More information

Random effects and nested models with SAS

Random effects and nested models with SAS Random effects and nested models with SAS /************* classical2.sas ********************* Three levels of factor A, four levels of B Both fixed Both random A fixed, B random B nested within A ***************************************************/

More information

Exchange Rate and Trade Balance: J-curve Effect

Exchange Rate and Trade Balance: J-curve Effect Received: 1 October 2009; Accepted: 6 December 2009. UDC 368.17:004.8 DOI: 10.2298/PAN1001023P Original scientific paper Pavle Petrović Faculty of Economics, University of Belgrade, Serbia pavlep@eunet.rs

More information

Does energy consumption contribute to economic performance? Empirical evidence from Nigeria

Does energy consumption contribute to economic performance? Empirical evidence from Nigeria Journal of Economics and International Finance Vol. 1(2), pp. 044-058, July 2009 Available online at http://www.academicjournals.org/jeif 2009 Academic Journals Full Length Research Paper Does energy consumption

More information

The Relationship between Current Account and Government Budget Balance: The Case of Kuwait

The Relationship between Current Account and Government Budget Balance: The Case of Kuwait International Journal of Humanities and Social Science Vol. 2 No. 7; April 2012 The Relationship between Current Account and Government Budget Balance: The Case of Kuwait Abstract Ebrahim Merza Economics

More information

Project Finance: Determinants of the Bank Loan Spread

Project Finance: Determinants of the Bank Loan Spread International Journal of Business and Social Science Vol. 5, No. 5; April 2014 Project Finance: Determinants of the Bank Loan Spread Neila BOUZGUENDA PhD in Finance Ecole Supérieure de Commerce (ESC) La

More information

The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: Evidence from Indian Data

The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: Evidence from Indian Data Eurasian Journal of Business and Economics 2012, 5 (10), 25-44. The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: Evidence from Indian Data Pramod Kumar NAIK *, Puja PADHI ** Abstract

More information

Department of Economics

Department of Economics Department of Economics Working Paper Do Stock Market Risk Premium Respond to Consumer Confidence? By Abdur Chowdhury Working Paper 2011 06 College of Business Administration Do Stock Market Risk Premium

More information

Granger Causality between Government Revenues and Expenditures in Korea

Granger Causality between Government Revenues and Expenditures in Korea Volume 23, Number 1, June 1998 Granger Causality between Government Revenues and Expenditures in Korea Wan Kyu Park ** 2 This paper investigates the Granger causal relationship between government revenues

More information

Small and Medium Scale Enterprises Financing and Economic. Growth in Nigeria

Small and Medium Scale Enterprises Financing and Economic. Growth in Nigeria Small and Medium Scale Enterprises Financing and Economic ABSTRACT Growth in Nigeria Adegbemi B.O ONAKOYA 1*, Ismail O. FASANYA 2, HADIZA D.ABDULRAHMAN 3 1. Department of Economics, Tai Solarin University

More information

Didacticiel - Études de cas

Didacticiel - Études de cas 1 Topic Regression analysis with LazStats (OpenStat). LazStat 1 is a statistical software which is developed by Bill Miller, the father of OpenStat, a wellknow tool by statisticians since many years. These

More information

August 2012 EXAMINATIONS Solution Part I

August 2012 EXAMINATIONS Solution Part I August 01 EXAMINATIONS Solution Part I (1) In a random sample of 600 eligible voters, the probability that less than 38% will be in favour of this policy is closest to (B) () In a large random sample,

More information

The Influence of Crude Oil Price on Chinese Stock Market

The Influence of Crude Oil Price on Chinese Stock Market The Influence of Crude Oil Price on Chinese Stock Market Xiao Yun, Department of Economics Pusan National University 2,Busandaehak-ro 63beon-gil, Geumjeong-gu, Busan 609-735 REPUBLIC OF KOREA a101506e@nate.com

More information

The Long-Run Relation Between The Personal Savings Rate And Consumer Sentiment

The Long-Run Relation Between The Personal Savings Rate And Consumer Sentiment The Long-Run Relation Between The Personal Savings Rate And Consumer Sentiment Bradley T. Ewing 1 and James E. Payne 2 This study examined the long run relationship between the personal savings rate and

More information

Statistics, Data Analysis & Econometrics

Statistics, Data Analysis & Econometrics Using the LOGISTIC Procedure to Model Responses to Financial Services Direct Marketing David Marsh, Senior Credit Risk Modeler, Canadian Tire Financial Services, Welland, Ontario ABSTRACT It is more important

More information

Bits and Bets Information, Price Volatility, and Demand for Bitcoin

Bits and Bets Information, Price Volatility, and Demand for Bitcoin Bits and Bets Information, Price Volatility, and Demand for Bitcoin Martis Buchholz, Jess Delaney, and Joseph Warren Jeff Parker Economics 312 Spring 2012 2 I. Introduction Bitcoin is an online, digital

More information

Developments in the Residential Housing Market: House Prices, Credit and Consumption Interrelation Empirical Evidence, the Albanian Case

Developments in the Residential Housing Market: House Prices, Credit and Consumption Interrelation Empirical Evidence, the Albanian Case International Conference on Applied Economics ICOAE 2009 79 Developments in the Residential Housing Market: House Prices, Credit and Consumption Interrelation Empirical Evidence, the Albanian Case Elona

More information

Comovements of the Korean, Chinese, Japanese and US Stock Markets.

Comovements of the Korean, Chinese, Japanese and US Stock Markets. World Review of Business Research Vol. 3. No. 4. November 2013 Issue. Pp. 146 156 Comovements of the Korean, Chinese, Japanese and US Stock Markets. 1. Introduction Sung-Ky Min * The paper examines Comovements

More information

ijcrb.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS AUGUST 2014 VOL 6, NO 4

ijcrb.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS AUGUST 2014 VOL 6, NO 4 RELATIONSHIP AND CAUSALITY BETWEEN INTEREST RATE AND INFLATION RATE CASE OF JORDAN Dr. Mahmoud A. Jaradat Saleh A. AI-Hhosban Al al-bayt University, Jordan ABSTRACT This study attempts to examine and study

More information

European Journal of Globalization and Development Research

European Journal of Globalization and Development Research ISSN 2220-7414 European Journal of Globalization and Development Research Joint Effects of Capital and Recurrent Expenditures in Nigeria s Economic Growth ONI Lawrence Babatunde ANINKAN Olubukola Omonike

More information

A COMPARISON OF NON-PRICE TERMS OF LENDING FOR SMALL BUSINESS AND FARM LOANS

A COMPARISON OF NON-PRICE TERMS OF LENDING FOR SMALL BUSINESS AND FARM LOANS A COMPARISON OF NON-PRICE TERMS OF LENDING FOR SMALL BUSINESS AND FARM LOANS Raymond Posey, Mount Union College Alan K. Reichert, Cleveland State University ABSTRACT This study examines differences in

More information

Please follow the directions once you locate the Stata software in your computer. Room 114 (Business Lab) has computers with Stata software

Please follow the directions once you locate the Stata software in your computer. Room 114 (Business Lab) has computers with Stata software STATA Tutorial Professor Erdinç Please follow the directions once you locate the Stata software in your computer. Room 114 (Business Lab) has computers with Stata software 1.Wald Test Wald Test is used

More information

Adoptability of Korean Growth Model to Developing Economies: The Case Study of Pakistan

Adoptability of Korean Growth Model to Developing Economies: The Case Study of Pakistan Middle-East Journal of Scientific Research 13(Special Issue of Economics): 43-49, 2013 ISSN 1990-9233 IDOSI Publications, 2013 DOI: 10.5829/idosi.mejsr.2013.13.e.13010 Adoptability of Korean Growth Model

More information

Do Global Oil Price Changes Affect Indian Stock Market Returns?

Do Global Oil Price Changes Affect Indian Stock Market Returns? Journal of Management & Public Policy Vol. 6, No. 2, June 2015, Pp. 29-41 ISSN: 0976-0148 Do Global Oil Price Changes Affect Indian Stock Market Returns? Saif Siddiqui Centre of Management Studies, Jamia

More information

An Empirical Study on the Relationship between Stock Index and the National Economy: The Case of China

An Empirical Study on the Relationship between Stock Index and the National Economy: The Case of China An Empirical Study on the Relationship between Stock Index and the National Economy: The Case of China Ming Men And Rui Li University of International Business & Economics Beijing, People s Republic of

More information

UNIT ROOT TESTING TO HELP MODEL BUILDING. Lavan Mahadeva & Paul Robinson

UNIT ROOT TESTING TO HELP MODEL BUILDING. Lavan Mahadeva & Paul Robinson Handbooks in Central Banking No. 22 UNIT ROOT TESTING TO HELP MODEL BUILDING Lavan Mahadeva & Paul Robinson Series editors: Andrew Blake & Gill Hammond Issued by the Centre for Central Banking Studies,

More information

ITSM-R Reference Manual

ITSM-R Reference Manual ITSM-R Reference Manual George Weigt June 5, 2015 1 Contents 1 Introduction 3 1.1 Time series analysis in a nutshell............................... 3 1.2 White Noise Variance.....................................

More information