Rashid, Abdul (2010): Testing for nonlinear causation between capital inflows and domestic prices.
Download (152kB) | Preview
The nonlinear cointegration and Granger causality tests are applied in a bi-variate framework to investigate the effects of capital inflows, monetary expansion and interest rates on domestic price levels. The key message of the analysis is that there is a significant inflationary impact of capital inflows, money supply-to-GDP ratio and domestic debt, in particular during period of large capital inflows from 2001 to 2008. Whereas, interest rate and exchange rate do not have any significant nonlinear causal links with domestic price levels during the examined periods.
|Item Type:||MPRA Paper|
|Original Title:||Testing for nonlinear causation between capital inflows and domestic prices|
|English Title:||Testing for nonlinear causation between capital inflows and domestic prices|
|Keywords:||Capital Inflows, Inflationary Pressures, Monetary Expansion, Nonlinear Dynamics|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F - International Economics > F3 - International Finance > F32 - Current Account Adjustment ; Short-Term Capital Movements
F - International Economics > F2 - International Factor Movements and International Business > F21 - International Investment ; Long-Term Capital Movements
|Depositing User:||Dr Abdul Rashid|
|Date Deposited:||23. Oct 2010 00:27|
|Last Modified:||15. Feb 2013 20:10|
Gupta, R., (2005), ‘Financial Liberalization and Inflationary Dynamics: An Open Economy Analysis’, Department of Economics Working Paper Series, University of Connectitut. Gurban, W. C. and Darryl M., (2000), ‘Capital Account Liberalization and Inflation in the 1990’s’, Working Paper of Federal Reserve Bank of Dalls. Hristu-Varsakelis, D., and Kyrtsou, C., (2006), ‘Testing for Granger Causality in the Presence of Chaotic Dynamics’, Working Paper, Working Group on Economic and Social System, University of Macedonia, Thessaloniki, Greece. Kyrtsou, C. and Labys, W., (2006), ‘Evidence for Chaotic dependence between US Inflation and Commodity Prices’, Journal of Macroeconomics, Vol. 28, No. 1. 456-266. Kyrtsou, C. and Labys, W., (2007), ‘Detecting Positive Feedback in Multivariate Time Series: The Case of Metal Prices and US Inflation’, Physica A, Vol. 377, No. 1, 227-229. Kyrtsou, C. and Vorlow, C., (2007), ‘Nonlinear Interest Rate Dynamics’, Journal of Macroeconomics, Forthcoming. Kwiatkowski, D., P. C. B. Phillips, P. Schmidt and Y. Shin, (1992), ‘Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root’, Journal of Econometrics, Vol. 54, 159-178. Lin, J. and Granger, C., (2004), ‘Testing Nonlinear Cointegration’, in COMPSTAT 2004 Proceedings in Computational Statistics, ed. Jaromir Antoch, Springer-Verlag, 1413-1419. Musinguzi, P. and Benon M., (2002), ‘A Monthly Model of Uganda’s Equilibrium Real Exchange Rate (ERER) Path, Inflation, Output Gap and Exports: An Autoregressive Distributed Lag (ARDL) Approach to Cointegration’, Bank of Uganda Working Paper Series W/P/05/04. Stevens, GR, (2006), ‘Capital Flows and Monetary Policy’ Bulletin October 2006, Reserve bank of Australia.