Sökning: "Johansen cointegration test and vector error correction model"

Visar resultat 1 - 5 av 10 uppsatser innehållade orden Johansen cointegration test and vector error correction model.

  1. 1. The impact of macroeconomic variables on the Swedish stock market : A VECM approach

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Nationalekonomi

    Författare :Simon Ternbo; [2022]
    Nyckelord :;

    Sammanfattning : This paper examines the effects of macroeconomic indicators on the Swedish stock market, during the period from December 2002 until December 2021. The effects are examined through a Vector Error-Correction model (VECM), which is based on Johansen’s test of cointegration. LÄS MER

  3. 2. Investigating the existence of a bank lending channel in Sweden

    Master-uppsats, Umeå universitet/Nationalekonomi

    Författare :Mervan Bedikanli; [2021]
    Nyckelord :;

    Sammanfattning : This paper uses quarterly Swedish bank-level data from 1999 to 2019 in an attempt to study the existence of a bank lending channel in Sweden. The bank lending channel is concerned with the role of credit in an economy, where it is argued that monetary policy can affect the real economy through a credit channel, in which banks shift their supply of loans to the public. LÄS MER

  4. 3. Renewable Energy Consumption and Foreign Direct Investment : Bangladesh's Case

    Master-uppsats, Södertörns högskola/Nationalekonomi

    Författare :Sumaya Tasnim; [2020]
    Nyckelord :economic growth; Renewable energy consumption; FDI; Vector Error Correction model;

    Sammanfattning : FDI investment is a vital factor for the developing countries economic growth. Apart from working as a catalyst of increasing total output level, FDI is a source of clean energy, technology transfer and energy efficiency. There have been very limited studies on the impact of FDI on renewable energy consumption in the context of Bangladesh. LÄS MER

  5. 4. Cointegration among cryptocurrencies : A cointegration analysis of Bitcoin, Bitcoin Cash, EOS, Ethereum, Litecoin and Ripple

    Magister-uppsats, Umeå universitet/Nationalekonomi

    Författare :Joline Göttfert; [2019]
    Nyckelord :;

    Sammanfattning : The purpose of this paper is to examine if there is cointegration between the daily closing price of the cryptocurrency Bitcoin and five other cryptocurrencies; Ethereum, Ripple, Bitcoin Cash, EOS and Litecoin in five different time periods, all ending April 9, 2019. To test if there is a long-run relationship between Bitcoin and these mentioned cryptocurrencies, two different tests for cointegration are applied; the Engle-Granger two step approach and Johansen’s cointegration test as well as a Vector Error Correction Model (VECM). LÄS MER

  7. 5. The Impact of Brexit on the Swedish Economy : a Study on the Swedish Forest Products Export Sector

    Master-uppsats, SLU/Dept. of Economics

    Författare :Carl Lundberg; [2018]
    Nyckelord :Brexit; Exchange Rate; Export; Forest Industry; Time Series Analysis; Vector Error Correction Model;

    Sammanfattning : On the 29th of March 2019, the U.K. is scheduled to leave the European Union. This withdrawal is estimated to affect both the U. LÄS MER