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Vector Error Correction Model in Explaining the Association of Some Macroeconomic Variables in Romania
[conference paper]
Abstract The purpose of this article is to empirically analyze the long and short runs association of some macroeconomic variables in Romania. Variables used across regression include foreign direct investments (FDI), imports, exports, GDP and labour and we also take into account some economic and financial ... view more
The purpose of this article is to empirically analyze the long and short runs association of some macroeconomic variables in Romania. Variables used across regression include foreign direct investments (FDI), imports, exports, GDP and labour and we also take into account some economic and financial crisis’ influence on these. In order to establish this influence, a dummy was used for the 2008-2012 intsb erval. Then, all variables were found to be integrated of order one I (I). Cointegration was performed under Johansen test and a VECM was applied according to its result. Our model results point on the association between variables on both long and short runs. Then, Granger test under VECM was equally applied in order to establish the uni- or bi-directional causality between variables. We found that the economic crisis actually caused significant influence on FDI, imports, exports and GDP and rather no influence on labor, as reliable resource.... view less
Keywords
direct investment; foreign investment; import; export; gross domestic product; labor; labor force; financial crisis; economic crisis; Romania
Classification
National Economy
Economic Statistics, Econometrics, Business Informatics
Free Keywords
Cointegration; VECM model; UNCTAD statistics, 2014
Document language
English
Publication Year
2015
Page/Pages
p. 568-576
Journal
Procedia Economics and Finance, 22 (2015)
DOI
https://doi.org/10.1016/S2212-5671(15)00261-0
ISSN
2212-5671
Status
Published Version; peer reviewed
Licence
Creative Commons - Attribution-Noncommercial-No Derivative Works 4.0