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- W4200092888 abstract "AbstractThis research uses the Vector Error Correction Model (VECM) and the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model to investigate the drivers of external debt (ED) during the period 1990 to 2018. The VECM findings demonstrated that ED, GDP, exports, government expenditure, and capital formation all have a long-run equilibrium relationship. Exports, capital formation, and GDP were found to be negatively related to ED, whereas government expenditure was found to be positively related to ED. The GARCH model results revealed that exports and GDP were positively correlated with external debt. Furthermore, capital formation and government expenditure were negatively correlated with external debt. GARCH (1, 1) model was found to be more efficient in modeling external debt in South Africa. The results of the paper have significant policy implications for South Africa.KeywordsExternal debtVECMARCH modelGARCH model" @default.
- W4200092888 created "2021-12-31" @default.
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- W4200092888 date "2022-01-01" @default.
- W4200092888 modified "2023-10-15" @default.
- W4200092888 title "Modelling External Debt Using VECM and GARCH Models" @default.
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- W4200092888 doi "https://doi.org/10.1007/978-3-030-93247-3_57" @default.
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