scholarly journals Modeling the volatility of gross domestic product based on the volatility of money supply, inflation, interest rate, and exchange rate using the fractional cointegration model

2020 ◽  
Vol 1538 ◽  
pp. 012052
Author(s):  
A Abdullah ◽  
H Kuswanto ◽  
D D Prastyo ◽  
Suhartono
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Money Supply ◽  
Domestic Product ◽  
Fractional Cointegration

scholarly journals Selected Macroeconomic Variables and Agricultural Sector in Nigeria

2021 ◽  
Vol 7 (06) ◽  
Author(s):  
James Ese Ighoroje ◽  
Catherine, Ogheneovo Orife
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Money Supply ◽  
Agricultural Sector ◽  
Least Square ◽  
Domestic Product ◽  
Agricultural Output ◽  
Macroeconomic Variables ◽  
Ex Post

The study investigated effect of selected macroeconomic variables on agricultural sector output in Nigeria from 1987 - 2019. Annual Agricultural Output (AAO) represented the dependent variable for the study while gross domestic product, interest rate, money supply, and exchange rate represented the explanatory variables. Ex-post factor research design was employed for the study. Augmented Dickey Fuller Unit Roots test and Ordinary Least Square (OLS) Regression techniques were used to analyze data collected. The empirical investigation showed that gross domestic product as well as money supply has a positive and significant effect on agricultural output, while interest rate and exchange rate exerted a negative and insignificant effect on agricultural output. From the study, selected macroeconomic variables have positive effect on agricultural output in Nigeria and this has tremendously contributed to the country's growth and development. The study recommends amongst other; that government should accelerate the rate of economic growth by investing heavily on the agricultural sector so as to boost domestic production and enhance exportation in order to stabilize exchange rate while curbing inflation; give incentives to banks extending agricultural loans by lowering the lending rate on agricultural loans to ease access to funds for agricultural investment.

scholarly journals Impact of inflation on economic growth: evidence from Nigeria

2020 ◽  
Vol 17 (2) ◽  
pp. 1-13 ◽  
Author(s):  
Anthony Olugbenga Adaramola ◽  
Oluwabunmi Dada
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Money Supply ◽  
Negative Impact ◽  
Domestic Product ◽  
Government Consumption ◽  
Consumption Expenditures ◽  
Distributed Lag

In an attempt to examine the influence of inflation on the growth prospects of the Nigerian economy, the study employs the autoregressive distributed lag on the selected variables, i.e. real gross domestic product (GDP), inflation rate, interest rate, exchange rate, degree of economy`s openness, money supply, and government consumption expenditures for the period 1980–2018. The study findings indicate that inflation and real exchange rate exert a significant negative impact on economic growth, while interest rate and money supply indicate a positive and significant impact on economic growth. Other variables in the model depict no influence on the economic growth of Nigeria. The causality result shows the unidirectional relationships between interest rate, exchange rate, government consumption expenditures and gross domestic product. However, inflation and the degree of openness show no causal relationship with gross domestic product. As a result, the study recommends that a more pragmatic effort is needed by the monetary authorities to target the inflation vigorously to prevent its adverse effect by ensuring a tolerable rate that would stimulate the economic growth of Nigeria.

scholarly journals Interest Rate Management and the Nigerian Economy (1986 — 2018)

2019 ◽  
pp. 1-15
Author(s):  
Kalu, Uko Kalu ◽  
Anyanwaokoro Mike
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Money Supply ◽  
Significant Relationship ◽  
Domestic Product ◽  
Ex Post ◽  
The Impact ◽  
Bound Test

This study sought to examine the impact of interest rate on the Nigeria’s economy during the pre and post Regulation periods (1986 – 2013). It also investigated the joint influence of Inflation, Investment, Exchange Rate, Money Supply and Monetary Policy Rate individually on the Gross domestic Product which was used a proxy for output as well as the causality between all the factors combined and gross domestic product. Ex post facto method was adopted In order to test the hypothesis, the researcher adopted Augmented Dickey Fuller, ARDL, Bound Test and Error Correction Model. The result showed that no significant relationship exists between Gross Domestic Product and Investment, Exchange Rate and Money Supply while still affirming that a significant relationship exist between Gross Domestic Product, Monetary Policy Rate and inflation. The eye of the authorities should be on Inflation at all times, Prudent management of our Oil earnings, adequate savings (Foreign Reserve) and investments as these will help stabilize the fluctuating exchange rate  with its consequent influence on interest rate and economic growth.

scholarly journals PENGARUH INDIKATOR MAKROEKONOMI TERHADAP TINGKAT INFLASI DI ASEAN-5

Media Ekonomi ◽  
2016 ◽  
Vol 24 (1) ◽  
pp. 17
Author(s):  
Annisa Yuliandari ◽  
Dini Hariyanti
Keyword(s):  
Exchange Rate ◽  
Panel Data ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Money Supply ◽  
Domestic Product ◽  
Methods Of Analysis ◽  
Data Result

<p><em>This research aims to analyze the factors that influence Inflation towards ASEAN 5 countries, i.e. Indonesia, Malaysia, Singapore, Thailand, and Philippines 2000-2014. This research is using methods of analysis panel data to determine the factors the influence the Inflation inflows in ASEAN-5. The factors that influence Inflation are Money Supply, Interest Rate, Exchange Rate, and Gross Domestic Product. Based on the analysis panel data result shows that Money Supply and Gross Domestic Product have the negative and significant impact to Inflation in ASEAN-5. Interest Rate has a negative and significant impact to Inflation in ASEAN-5. Exchange Rate has a positive and not significant impact to Inflation in ASEAN-5.  </em></p>

scholarly journals FAKTOR-FAKTOR YANG MEMPENGARUHI NILAI TUKAR RUPIAH TERHADAP DOLAR AMERIKA DENGAN MODEL KOREKSI KESALAHAN ENGLE-GRANGER (PENDEKATAN MONETER)

2017 ◽  
Vol 4 (2) ◽  
pp. 162
Author(s):  
Eni Setyowati
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Money Supply ◽  
Foreign Exchange ◽  
Domestic Product ◽  
Short Term ◽  
Demand And Supply ◽  
Real Gross Domestic Product

Exchange rate measures the value of a certain foreign exchange from other foreign exchange's perspective. As the condition of economic changes, the exchange rate ma change substantially. The decrease of the value of a foreign exchange is called depreciation and the increase value of a foreign exchange is called appreciation.The equilibrium exchange rate will change along with the change of demand and supply. Factors causing the change of demand and supply curve among others are the amount of money supply, relative gross domestic product (GDP) and the level of relative interest rate.The research is aimed to analyze the influence of variables of Indonesian money supply, American money supply, Indonesian real Gross Domestic Product, American real Gross Domestic Product, deposits interest rate and LIBOR (London Interbank Offer Rates on SDR Deposit) both in short and long terms.One of the ways to analyze the influence of short term and long term is by developing the dynamic model. In this research, the analyzes of dynamic model was conducted with ENGEL-GRANGER ERROR CORRECTION MODEL approach which was developed by ENGEL-GRANGER (1987) based on GRANGER REPRESENTATION THEOREM.The ECM analyzes was chosen not only because of its ability to solve the problem of time series which is not stationer, and spurious regression and spurious correlation in the economic analyses but also its ability to discuss the consistence of empiric model with economic theory. Beside, ECM concept is also thought to be more realistic in observing the development of economics variables from the result of the analyzes during the time of observation. It was known that long-term exchange rate is influenced by Indonesia real Gross Domestic Product and the number of Indonesian money supply. The variable of Indonesian real Gross Domestic showed the significant result and the signal test was convenient with the theory. The variable which influence" short term exchange rate are the amount of Indonesian money supply, Indonesian real Gross Domestic Product, and Indonesian deposit interest rate. The three variables showed the significant result and the signal test was convenient with the theory.

Financial Deepening, Financial Intermediation and Nigerian Economic Growth: Time Variant Analysis

2019 ◽  
pp. 60-73
Keyword(s):  
Economic Growth ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Private Sector ◽  
Money Supply ◽  
Domestic Product ◽  
Financial Deepening ◽  
Causality Test ◽  
Real Gross Domestic Product ◽  
Long Run

This study examines financial deepening, financial intermediation and Nigerian economic growth. The main purpose is to examine the relationship between financial deepening and Nigerian economic growth while the specific objectives are to examine the impact of interest rate, capital market development, rational savings, credit to private sector and broad money supply on the growth of Nigerian. Secondary data of the variables were sourced from the publications of Central Bank of Nigeria (CBN) from 1981-2017. Nigerian Real Gross Domestic Product (RGDP) was used as dependent variable while Broad money supply (M2), Credit to Private Sector (CPS), National Savings (NS), Capital Market Capitalization (CAMP) and Interest Rate (INTR) was used as independent variables. Multiple regressions with E-view statistical package were used as data analysis techniques. Cointegration test, Augmented Dickey Fuller Unit Root Test, Granger causality test was used to determine the relationship between the variable in the long-run and short-run. R2, F – statistics and β Coefficients were used to determine the extent to which the independent variable affects the dependent variable. It was found from the regression result that Broad Money Supply, credit to private sector have position effect on the growth of Nigerian Real Gross Domestic Product while National Savings, Capitalization and Interest Rate on Nigeria Real Gross Domestic Product. The co-integration test revealed presence of long-run relationship among the variables, the stationary test indicated stationarity of the variables at level. The Granger Causality Test found bi – variant relationship from the dependent to the independent and from the independent to the dependent variables. The regression summary found 99.0% explained variation, 560.5031, F – statistics and probability of 0.00000. From the above, the study concludes that financial deepening has significant relationships with Nigerian economic growth. We recommend that government and the financial sector operators should make policies that will further deepen the functions of the financial system to enhance Nigerian economic growth.

scholarly journals VECTOR AUTOREGRESSIVE APPROACH AFTER FIRST DIFFERENCING: A TIME SERIES ANALYSIS OF INFLATION AND ITS DETERMINANTS IN TANZANIA

2021 ◽  
pp. 43-56
Author(s):  
Rachel R. Cheti ◽  
Bahati Ilembo
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Gross Domestic Product ◽  
Money Supply ◽  
Inflation Rate ◽  
Negative Impact ◽  
Causal Effect ◽  
Domestic Product ◽  
Series Data ◽  
Vector Autoregressive

The objective of the study was to examine the trend of inflation and its key determinants in Tanzania. We used secondary time series data observed annually from January 1970 to 2020 which are inflation rate, GDP, Exchange rate and money supply. The vector autoregressive (VAR) model was employed for modeling. Augmented Dickey-Fuller test (ADF) found that inflation rate, Gross Domestic Product (GDP), exchange rate and Money supply (M3) were initially non-stationary but they became stationary after first differencing so as to proceed with the analysis. Preliminary tests before obtaining vector auto regressive model were carried out before determining the relationship between the variables. Diagnostic test such as serial correlation, heteroscedasticity, stability and normality were also important to evaluate the model assumptions and investigate whether or not there are observations with a large, undue influence on the analysis. We used Granger causality test (GCT) to determine causal- effect relationship between the variables. The results show that, there is a long run relationship between the variables, also the results showed that exchange rate and money supply (M3) both have a positive impact on inflation rate while gross domestic product (GDP) revealed a negative impact on inflation rate. Finally, the forecast of inflation rate for 15 years ahead was performed. The study recommends that the government should pursue both contractionary monetary policy and fiscal policy in order to control inflation in the country.

scholarly journals Current account determinants in ASEAN 6

2018 ◽  
Vol 21 (2) ◽  
Author(s):  
Novi Ariyani ◽  
Fajar Wahyu Priyanto ◽  
Lilis Yuliati
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Current Account ◽  
Direct Investment ◽  
Domestic Product ◽  
Annual Data ◽  
The Current Account

This study aims to analyze the factors that influence the export activity in the ASEAN region countries such as Indonesia, Singapore, Thailand, Malaysia, Philippines and Vietnam during 2001 - 2016 by using annual data. The factors that influence gross domestic product (GDP), interest rate, foreign direct investment (FDI) and exchange rate. The method used in the research is panel Vector Error Correlation Model (PVECM). The results show that Gross Domestic Product (GDP) negatively affects the current account in the short term. The interest rate variable negatively affects the current account in the long term. The Foreign Direct Investment (FDI) variable negatively affects the current account in the long term. Furthermore, the exchange rate variable negatively affects the current account in the long term.

scholarly journals Determinants of Macroeconomic Variables on Islamic Stock Index: Evidence from Frontier Market

2020 ◽  
Vol 5 (1) ◽  
pp. 23
Author(s):  
Noor Hafizha Muhamad Yusuf ◽  
Natasha Aliana Muhamad Hilmi ◽  
Wan Mohd Yaseer Mohd Abdoh ◽  
Rozihanim Shekh Zain ◽  
Noor Sharida Badri Shah
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Money Supply ◽  
Significant Relationship ◽  
Emerging Market ◽  
Oil Price ◽  
Stock Index ◽  
Domestic Product ◽  
Fe Model ◽  
Macroeconomic Variables

This paper provides useful insights on the determinants of macroeconomic variables on Islamic stock index evidence from frontier market. The aims of this study is to examine the effect of macroeconomic variables namely gross domestic product (GDP), inflation (consumer price index), exchange rate (USD exchange rate), oil price (crude palm oil) and money supply (M2) on frontier market Islamic index (FMII). This study employs Fixed Effect (FE) model of 17 countries listed under FMII. The study cover a ten (10) years period from 2008 until 2017. The study have shown significant relationship between inflation, money supply and exchange rate with FMII and managed to reject null hypotheses for the three variables. Inflation and exchange rate is negatively related with FMII while money supply, gross domestic product and oil price is positively related to FMII. However, the study fails to find any significant relationship between gross domestic product and oil price with FMII. The findings of this study will provide better understanding on the frontier market and helps to improve their performance. Therefore, it can encourage countries in frontier market to be able to compete and achieve similar advancement as countries in developed and emerging market did.

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