Macroeconomic Determinants Of The Coffee Price Volatility In Ethiopia Application Of The Garch Midas Model
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Macroeconomic Determinants Of The Coffee Price Volatility In Ethiopia Application Of The Garch Midas Model
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Author : Tekle Bobo
language : en
Publisher: GRIN Verlag
Release Date : 2020-10-20
Macroeconomic Determinants Of The Coffee Price Volatility In Ethiopia Application Of The Garch Midas Model written by Tekle Bobo and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-20 with Business & Economics categories.
Master's Thesis from the year 2020 in the subject Economics - Statistics and Methods, grade: 24, Haramaya University, language: English, abstract: Application of GARCH type model is a key for modeling and forecasting volatility for high frequency data such as daily commodity price. Following the same framework, the objective of the present study is to apply the multiplicative GARCH-MIDAS model for daily exported coffee price as proxy of daily total coffee price of Ethiopia over the period of 1-1-2008 to 7-17-2018 with the purpose of fitting and forecasting coffee price returns volatility. The GARCH-MIDAS model decomposes the conditional variance as short-term component of GARCH (1,1) process, and long-term component, with monthly frequencies of macroeconomic variables. In this study exchange rate (nominal exchange rate), inflation rate (general inflation), interest rate (lending interest rate), fuel oil price (price of imported petroleum and petroleum production), total consumption and money supply (broad money) macroeconomic variables were employed through MIDAS specification using beta-weighting scheme to analyze impact of the variables on the long-term volatility component. For fitted ARMA (1,1) of coffee price return ARCH effect test on the residual from the mean model revealed the existence of time varying conditional variance for the selected mean model. A conditional variance model GARCH (1,1) was selected and used to model the conditional variance of coffee price return with Quasi Maximum Likelihood along with Bayesian estimation methods and both estimation procedures indicated the persistence of conditional variance observed even for small sample under Bayesian estimation framework. Asymmetry test show the insignificance of the asymmetric term, while Lundbergh and Terasvirta Lagrange Multiplier and the Li-Mak portmanteau test for the residual of GARCH model show the existence of time varying unconditional variance and made call for GARCH-MIDAS model. From the result of estimated GARCH-MIDAS model exchange rate and inflation rate were found to be the best drivers of coffee price volatility in Ethiopia and used for in and out of sample forecast. Finally, the Mean Absolute Error Root Mean Square Error and Diebold Mariano test were used for evaluating and comparing the forecasting ability of GARCH-MIDAS component model against standard GARCH (1,1) model which indicated that, including exchange rate and inflation rate make efficient forecasting of coffee price volatility in Ethiopia.
Cointegration Causality And Forecasting
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Author : Halbert White
language : en
Publisher: Oxford University Press, USA
Release Date : 1999
Cointegration Causality And Forecasting written by Halbert White and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
The book is a collection of essays in honour of Clive Granger. The chapters are by some of the world'leading econometricians, all of whom have collaborated with or studied with (or both) Clive Granger. Central themes of Grangers work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Big Data For Twenty First Century Economic Statistics
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Author : Katharine G. Abraham
language : en
Publisher: University of Chicago Press
Release Date : 2022-03-11
Big Data For Twenty First Century Economic Statistics written by Katharine G. Abraham and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-03-11 with Business & Economics categories.
The papers in this volume analyze the deployment of Big Data to solve both existing and novel challenges in economic measurement. The existing infrastructure for the production of key economic statistics relies heavily on data collected through sample surveys and periodic censuses, together with administrative records generated in connection with tax administration. The increasing difficulty of obtaining survey and census responses threatens the viability of existing data collection approaches. The growing availability of new sources of Big Data—such as scanner data on purchases, credit card transaction records, payroll information, and prices of various goods scraped from the websites of online sellers—has changed the data landscape. These new sources of data hold the promise of allowing the statistical agencies to produce more accurate, more disaggregated, and more timely economic data to meet the needs of policymakers and other data users. This volume documents progress made toward that goal and the challenges to be overcome to realize the full potential of Big Data in the production of economic statistics. It describes the deployment of Big Data to solve both existing and novel challenges in economic measurement, and it will be of interest to statistical agency staff, academic researchers, and serious users of economic statistics.
Diffusion And Adoption Of Information Technology
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Author : Karlheinz Kautz
language : en
Publisher: Springer Science & Business Media
Release Date : 1996-04-30
Diffusion And Adoption Of Information Technology written by Karlheinz Kautz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-04-30 with Computers categories.
It. is well known that t.he introduction of a new technology in one organization not always produces the intended benefits (Levine, 1994). In many cases, either the receivers do not reach the intended level of use or simply the technology is rejected because it does not match with the expectations (true or false) and the accepted psychological effort to use it. The case of formal methods is a paradigmatic example of continual failures. The published cases with problems or failures only constitute the visible part of a large iceberg of adoption cases. It. is difficult to get companies to openly express the problems they had; however, from the experience of the author, failure cases are very common and they include any type of company. Many reasons to explain the failures (and in some cases the successes) could be postulated; however, the experiences are not structured enough and it is difficult to extract from them useful guidelines for avoiding future problems. Generally speaking, there is a trend to find the root of the problems in the technol ogy itself and in its adequacy with the preexistent technological context. Technocratic technology transfer models describe the problems in terms of these aspects. Although it is true that those factors limit the probability of success, there is another source of explanations linked to the individuals and working teams and how they perceive the technology.
Economic Applications Of Quantile Regression
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Author : Bernd Fitzenberger
language : en
Publisher: Springer Science & Business Media
Release Date : 2001-12-14
Economic Applications Of Quantile Regression written by Bernd Fitzenberger and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-12-14 with Business & Economics categories.
Quantile regression has emerged as an essential statistical tool of contemporary empirical economics and biostatistics. Complementing classical least squares regression methods which are designed to estimate conditional mean models, quantile regression provides an ensemble of techniques for estimating families of conditional quantile models, thus offering a more complete view of the stochastic relationship among variables. This volume collects 12 outstanding empirical contributions in economics and offers an indispensable introduction to interpretation, implementation, and inference aspects of quantile regression.
Labor And Product Market Reforms And External Imbalances Evidence From Advanced Economies
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Author : Mr.Romain A Duval
language : en
Publisher: International Monetary Fund
Release Date : 2021-02-26
Labor And Product Market Reforms And External Imbalances Evidence From Advanced Economies written by Mr.Romain A Duval and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-02-26 with Business & Economics categories.
We explore the impact of major labor and product market reforms on current account dynamics using a new “narrative” database of major changes in employment protection for regular workers and product market regulation for non-manufacturing industries covering 26 advanced economies over the past four decades. Our main finding is that product market deregulation is associated with a weakening of the current account, while labor market deregulation is associated with an improvement. These effects are transitory and driven by both saving and investment responses. Labor and product market reforms both have a more positive impact on the current account balance when implemented under weak macroeconomic conditions. Our results are broadly consistent with predictions from recent DSGE models with endogenous producer entry and labor market frictions.
Recent Econometric Techniques For Macroeconomic And Financial Data
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Author : Gilles Dufrénot
language : en
Publisher:
Release Date : 2021
Recent Econometric Techniques For Macroeconomic And Financial Data written by Gilles Dufrénot and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
Macroeconomic Determinants Of Economic Growth In Ethiopia A Vector Correction Model
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Author : Asmamaw Kassahun Agdew
language : en
Publisher: GRIN Verlag
Release Date : 2019-10-07
Macroeconomic Determinants Of Economic Growth In Ethiopia A Vector Correction Model written by Asmamaw Kassahun Agdew and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-07 with Business & Economics categories.
Thesis (M.A.) from the year 2016 in the subject Economics - Case Scenarios, grade: 3.89, , language: English, abstract: The main objective of this study is to investigate the macroeconomic determinants of economic growth in Ethiopia from 1974-2014. A Vector Error Correction Model (VECM) to cointegration approach is applied in order to investigate the long run and short run relationship between real GDP and its macroeconomic determinants. The finding of the cointegration test shows that there is a stable long run relationship between real GDP, gross domestic saving, labor, human capital, export, FDI, foreign aid and external debt. The long run empirical result reveals gross domestic saving, human capital proxied by government expenditure on health and education, and labor force have positive and significant relationship with real output. However export and real GDP have positive but insignificant relationship. External debt, foreign aid and FDI have negatively significant relationship with real GDP during the study period. The short run dynamic results shows that human capital, saving and FDI have positive relationship with output growth whereas labor, export, aid and external debt have negative relationship with Real GDP. The coefficient of equilibrating error term (ECM) suggests that the speed of adjustment (feedback effect towards the long run equilibrium) takes few years for full adjustment when there is a shock in the system. In order to sustain long run growth the government or policy makers should design appropriate policies that results in the efficient use of resources contributing to economic growth and proper management of variables resulting to negative growth in order to reverse their effect on output.
Modeling Price Volatility For Some Selected Agricultural Products In Ethiopia
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Author : Yegnanew Shiferaw
language : en
Publisher:
Release Date : 2015
Modeling Price Volatility For Some Selected Agricultural Products In Ethiopia written by Yegnanew Shiferaw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Currently change of price in agricultural products is a global problem. Agricultural products market policies in Ethiopia have undergone dramatic changes over the past several years, the desirable outcome of any policy measure or other system of intervention to prevent the markets from going into market price volatility, however, remained very unsatisfactory. The main objective of this study is to fit an appropriate model that best describes the log-returns price volatility of agricultural products under consideration. The appropriate methodology in this research, a time series econometric model, for capturing behavior of financial time series data price returns and volatility having changing variance is the ARCH and GARCH models. Hence ARCH/GARCH models were employed to capture the log-return price volatility under the study. It's observed that GARCH( 1,1), GARCH( 1,2 ) and GARCH(2,1 ) models are the most appropriate fitted models to use one has to evaluate the volatility of the log-returns of price of Cereal, pulse and oil crops respectively. Prices volatility is persistent in all three categories of selected agricultural crops.
Export Volatility And Economic Growth The Case Of Ethiopia
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Author : Nurhussen Hussien
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2018-06-19
Export Volatility And Economic Growth The Case Of Ethiopia written by Nurhussen Hussien and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-19 with categories.
Export volatility is a serious problem in the economic growth of any developing country. This study uses quarterly data on Export price, Export Volume, Labor, Capital, Imported capital good and Real Gross Domestic Product (RGDP) over the period 1991-2014. To model Export price and Export volume volatility as time varying process, an extended form of GARCH (Generalized Autoregressive Conditional Heterosedasticity) model i.e. GARCH (1,1) is used and Extended Cobb-Douglas production growth model is also used to see the long-run relationship between export volatility and economic growth in Ethiopia. According to the estimation result of GARCH (1, 1) model, previous day's volatility of export price and volume can influence the current day's volatility of both export price and volume. And from the extended Cobb-Douglas production model result, both export price and export volume volatility indexes negatively affect long run economic growth. As remedial measure the study suggested that the country should transform and shift towards production of high quality goods from low quality goods along with diversifying its export products where it has comparative advantage.