This paper studies the dynamic relationship among futures price, spot price of Shanghai metal and futures price of London with the co-integration theory, Granger causality tests, residue analysis, impulse responses function, and variance decomposition on the VECM. The study shows the three have the long equilibrium relationship: the copper futures price of Shanghai have internalities to the fut...

This research study examined the effect of foreign remittances and economic growth on poverty in Pakistan. Annual time series data was analyzed for the time period 1978 to 2010. Augmented Dickey-Fuller and Philips-Perron confirmed the problem of non-stationarity at level. This problem was eliminated by taking first difference of all variables. Johansen-juselius co-integration test was applied f...

The purpose of this study is to investigate the factors that affect real exchange rate volatility for Pakistan through the co-integration and error correction model over a 30-year time period, i.e. between 1980 and 2010. The study employed the autoregressive conditional heteroskedasticity (ARCH), generalized autoregressive conditional heteroskedasticity (GARCH) and Vector Error Correction model...

This study considers the forecasting of mortality rates in multiple populations. We propose a model that combines mortality forecasting and functional data analysis (FDA). Under the FDA framework, the mortality curve of each year is assumed to be a smooth function of age. As with most of the functional time series forecasting models, we rely on functional principal component analysis (FPCA) for...

Throughout history, investors have attempted to determine the future states and prices of instruments that they consider to invest in. Thus, various econometric models have been developed in order to determine the variables influencing the prices of investment instruments, as well as the relationships between such variables. The main aim of the present study was to examine the variables that ma...

The banking sector plays a crucial role in the economic growth of nation. purpose this study is to examine long-term association between banks’ performance and developing economy: India. used panel data 20 public banks for period 2009 2019. It applied Pedroni Kao test co-integration, vector error correction model (VECM) dynamic, fully-modified ordinary least squires OLS (FMOLS), dynamic (DOLS) ...

Purpose Critics say cryptocurrencies are hard to predict and lack both economic value accounting standards, while supporters argue they revolutionary financial technology a new asset class. This study aims help modelers compare with other classes (such as gold, stocks bond markets) develop cryptocurrency forecast models. Design/methodology/approach Daily data from 12/31/2013 08/01/2020 (includi...

The transport investment is often used as a tool for economic development and urbanization. However, there still debate about whether improvements promote urbanization or, conversely, these latter create the conditions that stimulate transport. In theory, system contributes to because it speeds up exchange of goods services, but effects can also be reversed, so direction causality not easily id...

This paper analyses various simple interest rate rules using a vector error correction forecasting model of the Canadian economy that is anchored by long-run equilibrium relationships suggested by economic theory. Dynamic and stochastic simulations are performed using several interest rate rules, including money based rules and their properties are analysed. Among the class of rules we consider...