scholarly journals Drivers of Inflation in the Economy of Bahrain

2016 ◽  
Vol 8 (3) ◽  
pp. 178
Author(s):  
Ibrahem H. Al-Ezzee
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Correction Term ◽  
Consumer Price Index ◽  
Government Expenditure ◽  
Cointegrating Vector ◽  
Long Run ◽  
Integration Test ◽  
Effective Exchange ◽  
Short Run

<p>The study tries to recognize the macroeconomic variables responsible for inflation in Bahrain during the period 1980-2010. For this purpose, co-integration test were used in the empirical analysis. Using Augmented Dickey-Fuller (ADF) Phillips Perron (PP) tests, the variables of the study revealed to be integrated of the order one 1(1) at first difference. Cointegration test was used to state the existence or otherwise of a cointegrating vector in the variables. Trace and Maximum Eigen test value point out co-integration at 5% level of significance pointing to the fact that the variables have a long-run relationship.</p><p>The paper found that inflation in the short-run is effected by M2, GEXP, and WACPI supporting the long run analysis. The signs of NEER and IR are not as expected. The error correction term is negative and significant at 1%, so the model is stable and supporting the Co-integration results.</p><p>The variance decompositions (VDs) approach is used to capture the relative importance of various shocks and their influences on our variable of inflation. The relative variance of inflation is due the exchange rate and interest rate. The results show that shocks to the CPI itself, Nominal Effective Exchange Rate NEER, Nominal Interest Rate NIR, M2, Government Expenditure GEXP, and<strong> </strong>Consumer Price Index of Main Partners WACPI over all horizons.</p>

scholarly journals Exchange rate pass-through to import prices: Evidence from Serbia

2019 ◽  
Vol 8 (1) ◽  
pp. 7
Author(s):  
Safet Kurtović
Keyword(s):  
Exchange Rate ◽  
Correction Term ◽  
Single Equation ◽  
Import Prices ◽  
Long Run ◽  
Causality Tests ◽  
Effective Exchange ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Pass Through

In this paper we estimated the degree of exchange rate pass-through (ERPT) into aggregate import prices in Serbia. ERPT was determined by application of single equation, cointegration approach (ARDL model), error correction term (ECM) and VAR Granger Causality tests. We based our research on data from 2008Q1 to 2014Q4. The results of our research show partial pass-through in the short run; in the long run pass-through was not observed. In addition to that, we found that appreciation of the nominal effective exchange rate (NEER) led to significant pass-through asymmetry in the short run.

scholarly journals Determination of Long and Short Run Demand for Money in the West African Monetary Zone (WAMZ) Countries: A Panel Analysis

2018 ◽  
Vol 2 (2) ◽  
pp. 79-97
Author(s):  
Agya Atabani Adi ◽  
Joshua Sunday Riti
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Capital Mobility ◽  
Currency Substitution ◽  
Demand For Money ◽  
Interest Rate Spread ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

The paper examines demand for real money balances in six West Africa countries, over the 1985-2014 periods using panel Cointegration technique. The result shows that long run money demand is positively related to real income, inflation rate and inversely related to interest rate spread, real effective exchange rate and US real interest rate. Long run income elasticity is greater than unity and less than unity in short run. All variables are significant except effective exchange rate, thus; both currency substitution and capital mobility hypotheses hold in the long run while capital mobility holds only in the short run. We recommend that monetary aggregate should growth slower than economic growth to maintain price stability, countries should try to maintained stable exchange rate and ensured market driven interest rate policy. Keyword: Demand for Money; Interest Rate Spread; Capital Mobility and Currency Substitution, Panel Analysis.JEL CODE: E41, E52, C33, O11.

scholarly journals Efek Kebijakan Moneter Terhadap Return Harga Emas Di Indonesia

2018 ◽  
Vol 14 (1) ◽  
Author(s):  
Abdul Khaliq
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Error Correction ◽  
Error Correction Model ◽  
Gold Price ◽  
Correction Model ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

<p><em>This studyobserves the short-run and long-run relationship between monetary </em><em>policies </em><em>and</em><em>g</em><em>old </em><em>p</em><em>rice </em><em>return </em><em>movements in Indonesia. Using monthly data over the period 1997M0</em><em>9</em><em>-201</em><em>7</em><em>M10,the empirical findings are carried out by utilizing error correction model (ECM)derived from single quadratic cost function to provide evidence in favor of relationship between nominal effective exchange rate, interest rate, </em><em>and </em><em>money</em><em> supply</em><em>and gold</em><em> price return</em><em> movements.The empirical evidence suggests that the ECM estimates well characterize how the nominal effective exchange rate relates to the gold price</em><em> return</em><em> movements, both in the long-run and short-run. Moreover, money</em><em> supply and </em><em>interest rate only have </em><em>negative </em><em>and statistically significant effects on price gold </em><em>return </em><em>movements in the long run. T</em><em>hese results imply that observing nominal effective exchange rate can help predict gold price </em><em>return </em><em>movements in Indonesia, which would significantly help monetary authorities in optimizing </em><em>monetary policy</em><em>.</em></p><p><em>Keywords    : Gold Price</em><em> Return</em><em>, Monetary </em><em>Policies</em><em>, Error Correction Model (ECM)</em></p>

The determinants of ASEAN-5 real effective exchange rate vis-á-vis the UK pound

2014 ◽  
Vol 10 (2) ◽  
pp. 98-118 ◽  
Author(s):  
Abdalrahman AbuDalu ◽  
Elsadig Musa Ahmed
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Real Effective Exchange Rate ◽  
Content Type ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
The Uk ◽  
Effective Exchange Rate

Purpose – The purpose of this paper is to present an empirical analysis of long-run and short-run forcing variables of purchasing power parity (PPP) for ASEAN-5 currencies vis-à-vis the UK pound, i.e. their real effective exchange rate (REER). Design/methodology/approach – This study uses a recently developed autoregressive distributed lag (ARDL) approach to co-integration (Pesaran et al., 2001) over the period 1991:Q1-2006:Q2. Our empirical results suggest that the foreign interest rate (R*) and domestic money supply (M1) are the significant long-run forcing variables of PPP for ASEAN-5 REERs for the three periods. Findings – In the short-run, the variables have different impacts during the sub-periods and full period for ASEAN-5 countries. The results suggest that the domestic money supply (M1) for Malaysia, domestic interest rate and foreign interest rate (R*) for Indonesia, domestic money supply (M1) and term of trades (TOT) for Philippines, foreign interest rate (R*) for Thailand, and foreign interest rate (R*) and net foreign assets (NFA) for Singapore, respectively, have the highest significant short-run forcing variable of PPP for countries REERs. Originality/value – In this respect, the outcomes can derive policy implication for the monetary authorities in these ASEAN-5 countries.

scholarly journals The Exchange Rates and Monetary Dynamics in Pakistan: An Autoregressive Distributed Lag (ARDL) Approach

2005 ◽  
Vol 10 (2) ◽  
pp. 87-99
Author(s):  
Muhammad Arshad Khan ◽  
Muhammad Zabir Sajjid
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Real Income ◽  
Real Effective Exchange Rate ◽  
Real Money ◽  
Long Run ◽  
Ardl Approach ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

In this paper we investigate both the long and short-run relationship between real money balances, real income, inflation rate, foreign interest rate and real effective exchange rate with reference to Pakistan over the period 1982Q2-2002Q4 using ARDL approach which is a newly developed econometric technique. The estimated results indicate that in the long-run real income, inflation rate, foreign interest rate and real effective exchange rate have a significant impact on real money balances in Pakistan. The dynamics of real money demand show that the effects of rate of inflation, foreign interest rate and the real effective exchange rate are much smaller in the short run than long run. The results also reveal that the demand for real money balances in Pakistan is stable, despite the economic reforms pursued by the government since the late 1980s.

scholarly journals Currency Depreciation, Trade Balance and Intra-Industry Trade Interactions in Turkey’s OECD Trade

2016 ◽  
Vol 8 (4) ◽  
pp. 8 ◽  
Author(s):  
Mehmet Demiral
Keyword(s):  
Exchange Rate ◽  
Trade Balance ◽  
Real Effective Exchange Rate ◽  
Series Data ◽  
Adjustment Process ◽  
Industry Trade ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

<p>This study re-examines the determinants of Turkey’s trade balance in its manufactures trade with 33 OECD-member countries for the short-run and the long-run. Unlike other studies, in the relationships we also control the moderating effects of the availability of import substitutes proxied by intra-industry trade. We analyze quarterly aggregated time-series data of the period spanning from 1998.QI to 2015.QIII, following the autoregressive distributed lag (ARDL) bounds testing approach to the cointegration and the error correction modeling. Estimation results reveal that real effective exchange rate, together with domestic and foreign incomes are still among the core determinants of Turkey’s trade balance in the manufacturing sectors. There is no significant impact of domestic final oil prices that also include all the taxes on gasoline. The trade balance depends on domestic income negatively and the aggregated income of the OECD countries positively. The finding that real depreciation of Turkish lira against to those of Turkey’s OECD trade partners improves trade balance in both the short-run and the long-run, indicates no evidence of J-curve adjustment process. Unsurprisingly, the intra-industry trade seems to be an important factor that moderates the elasticities of trade balance to its determinants, especially to real effective exchange rate and domestic income. Overall results underline the importance of import-substitution capability besides the export-oriented production to ease the longstanding large trade deficits for Turkey.</p><strong></strong>

ATTAINMENT OF HIGHER ENROLLMENT RATES IN PAKISTAN: A MACROECONOMIC AND ECONOMETRIC STUDY

2012 ◽  
Vol 01 (07) ◽  
pp. 17-29
Author(s):  
Furrukh Bashir ◽  
Shahbaz Nawaz ◽  
Rahat Ullah ◽  
Muhammad Ramzan Arshad ◽  
Munwar Bagum ◽  
...  
Keyword(s):  
Labor Force ◽  
Health Expenditure ◽  
Price Index ◽  
Consumer Price Index ◽  
Government Expenditure ◽  
Government Revenue ◽  
Long Run ◽  
University Enrollment ◽  
Enrollment Rates ◽  
Short Run

Education is always considered as the major determinant for the development of any economy. Enrollment at various levels also shows that how much education is common within the citizens of the country. Considering the importance of enrollment, the current study examines the influence of some macroeconomic variables on various levels i.e. primary, secondary, higher, college, professional and university enrollment in Pakistan. Time series data has been gathered on consumer price index, government revenue, employed labor force, government expenditure, and health expenditure for the period from 1972 to 2010. For long run estimates, Johansen Co integration test is used and short run estimates are taken through error correction model. The results of the study exhibit positive association of employed labor force, government expenditure and health expenditure with primary, secondary, higher, college, professional and university enrollment in Pakistan. On the other side, consumer price index and government revenue have been found to be inversely influencing enrollment at various levels. Short run results are also much favorable for the economy and reveals convergence towards long run equilibrium due to any disturbances in the short run period. At the end study gives some policy implications that government should decrease consumer price index and tax rate and to increase government expenditure in terms of education and health for higher enrollment rates in Pakistan.

scholarly journals Impact of Exchange Rate Management on the Nigerian Economic Growth: Empirical Validation

2019 ◽  
Vol 1 (2) ◽  
pp. 28-35
Author(s):  
Friday Osaru Ovenseri Ogbomo ◽  
Precious Imuwahen Ajoonu
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Inflation Rate ◽  
Government Expenditure ◽  
Least Square ◽  
Ordinary Least Square ◽  
Exchange Rate Management ◽  
Long Run ◽  
Short Run ◽  
The Impact

This paper examined the impact of Exchange Rate Management on economic growth in Nigeria between 1980 and 2015. The study was set to gauge how the management of exchange rate in Nigeria has impacted the economy. The study employed the Ordinary Least Square (OLS) method in its analysis. Co-integration and Error Correction Techniques were used to establish the Short-run and Long-run relationships between economic growth and other relevant economic indicators. The result revealed that exchange rate management proxy by various exchange rates regimes in Nigeria was not germane to economic growth. Rather, government expenditure, inflation rate, money supply and foreign direct investment significantly impact on economic growth in Nigeria. It is against this backdrop that the Nigerian economy must diversify her export base to create room for more inflow of foreign exchange.  

scholarly journals Modeling and Forecasting Gold Prices

2020 ◽  
Author(s):  
Richmond Sam-Quarm ◽  
Mohamed Osman Elamin Busharads
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Price Volatility ◽  
Gold Price ◽  
Oil Price ◽  
Future Market ◽  
Open Interest ◽  
Long Run ◽  
Short Run ◽  
Japanese Yen

The aim of this paper is to explore the reasons of gold price volatility. It analyses the information function of the gold future market by open interest contracts as speculation effect, and further fundamental factors including inflation, Chinese yuan per dollar, Japanese yen per dollar, dollar per euro, interest rate, oil price, and stock price, in the short-run. The study proceeds to build a Dynamic OLS model for long-run equilibrium to produce reliable gold price forecasts using the following variables: gold demand, gold supply, inflation, USD/SDR exchange rate, speculation, interest rate, oil price, and stock prices. Findings prove that in the short-run, changes in gold price does granger cause changes in open interest, and changes in Japanese yen per dollar does granger cause changes in gold price. However, in the long-run, the results prove that gold demand, gold supply, USD/SDR exchange rate, inflation, speculation, interest rate, and oil price are associated in a long-run relationship.References

scholarly journals Equilibrium Real Exchange Rate and Misalignment: The Sierra Leone Perspective

2021 ◽  
Vol 8 (3) ◽  
pp. 41
Author(s):  
Abu Bakarr TARAWALIE
Keyword(s):  
Exchange Rate ◽  
Sierra Leone ◽  
Government Expenditure ◽  
Unit Root Test ◽  
Real Effective Exchange Rate ◽  
The Real ◽  
Long Run ◽  
Effective Exchange ◽  
Effective Exchange Rate ◽  
Long Run Equilibrium

This paper estimates the equilibrium real effective exchange rate and determine the level of exchange rate misalignment in Sierra Leone, for the period 1980 to 2018. The paper utilizes the behavioral equilibrium exchange rate methodology within the Johansen maximum likelihood framework to estimate the long run equilibrium real effective exchange rate. The unit root test result shows that all the variables are integrated of order one, whilst the cointegration test establishes the existence of one cointegrating vector as evidenced by both the Trace and Maximum Eigen Statistics. The normalized long run results reveal that openness, government expenditure and money supply were the most significant determinants of the real effective exchange rate in the long run. Furthermore, the findings reveal that the real effective exchange rate experienced sustained deviation from the long run equilibrium real effective exchange rate during the study period, with episodes of overvaluation and undervaluation. Specifically, the real effective exchange rate was overvalued by 3.69 percent during the period between 1980-1985; undervalued by 1.8 percent between 1986-1997, and overvalued by 0.9 percent between 1998-2004, Thus, the paper reveals episodes of misalignment of the real effective exchange rate. Based on these findings, the study recommends that, the monetary authorities should ensure stability of the exchange rate and maintain price stability, through sterilization of capital flows as well as contain money growth within the statutory limit.

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