Output Gap, Money Growth and Interest Rate in Japan: Evidence from Wavelet Analysis

2018 ◽  
Vol 18 (2) ◽  
pp. 171-184
Author(s):  
Aviral Kumar Tiwari ◽  
Olaolu Richard Olayeni ◽  
Reza Sherafatian-Jahromi ◽  
Olofin Sodik Adejonwo
Keyword(s):  
Interest Rate ◽  
High Frequency ◽  
Money Growth ◽  
High Frequencies ◽  
Time Frequency ◽  
Long Run ◽  
Direction Of Causation ◽  
Cyclical Relationships ◽  
Frequency Coherence ◽  
The Relationship

This article investigated the relationship between output, money and interest rate, using wavelet tools for the period 1972–2017. Application of such tools is helpful in answering particularly two questions: first, what the strength and direction of the causal relationships between money, output and interest rate is, and second, whether the relationship is cyclical or anti-cyclical in nature. Findings from this article show that output and money are highly coherent in low, middle and high frequencies, and coherence increases while controlling for interest rate, with money growth as the leading variable most of the time across frequencies. Output and interest rate are equally highly coherent, mostly at high frequency and some bits of middle frequency; coherence increases with the control for money, and interest rate often times leads the relationship. Also, money and interest rate are coherent at low, middle and high frequencies with interest rate leading the relationship, and controlling the effect of output increases the coherence at some times and decreases at other times. There are observable evidences of both cyclical and anti-cyclical relationships among the variables. Policy decisions should be cautious of shortrun moves in order not to trigger undesired long-run outcomes since no difference is observed in the direction of causation over time–frequency. JEL: C49, E43, E52

International Historical Evidence on Money Growth and Inflation: The Role of High Inflation Episodes

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Michele Fratianni ◽  
Marco Gallegati ◽  
Federico Giri
Keyword(s):  
Developed Countries ◽  
Regression Coefficients ◽  
Annual Data ◽  
Money Growth ◽  
Quantity Theory ◽  
Time Frequency ◽  
Long Run ◽  
Unit Slope ◽  
High Inflation ◽  
The Relationship

Abstract How long is the long run in the relationship between money growth and inflation? How important are high inflation episodes for the unit slope finding in the quantity theory of money? To answer these questions, we study the relationship between excess money growth and inflation over time and across frequencies using annual data from 1870 to 2013 for 16 developed countries. Wavelet-based exploratory analysis shows the existence of a close stable relationship between excess money growth and inflation only over long time horizons, i.e. periods greater than 16–24 years, with money growth mostly leading. When we investigate the sensitivity of the unit slope finding to inflation episodes using a “time-frequency-based” panel data approach, we find that low-frequency regression coefficients estimated over variable-length subsamples are largely affected by high inflation episodes occurring in the 1910s, the 1940s, and the 1970s. Taken together, our results suggest that inflationary upsurges affect regression coefficients, but not the closeness of the long-run relationship. This reconciles the validity of the quantity theory of money with the current disinterest of monetary policymaking in money growth.

A NOTE ON INFLATION, ECONOMIC GROWTH, AND INCOME INEQUALITY

2009 ◽  
Vol 13 (1) ◽  
pp. 138-147 ◽  
Author(s):  
Yi Jin
Keyword(s):  
Economic Growth ◽  
Growth Rate ◽  
Income Inequality ◽  
Endogenous Growth ◽  
Money Growth ◽  
Relative Importance ◽  
Long Run ◽  
Endogenous Growth Model ◽  
The Relationship ◽  
Negative Growth

This paper develops a monetary endogenous growth model with capital and skill heterogeneity to analyze the relationship among inflation, growth, and income inequality. In the model inflation, growth, and inequality are jointly determined. We show that an increase in the long-run money growth rate raises inflation and reduces growth, but its effect on income inequality depends on the relative importance of the two types of heterogeneity. Inequality shrinks with the rise of inflation when capital heterogeneity dominates and enlarges when skill heterogeneity dominates. Therefore, our model supports a negative (positive) inflation–inequality relationship and a positive (negative) growth–inequality relationship when capital (skill) heterogeneity dominates. In any event, inflation and growth are negatively related.

scholarly journals Motoneuron firing patterns underlying fast oscillations in phrenic nerve discharge in the rat

2012 ◽  
Vol 108 (8) ◽  
pp. 2134-2143 ◽  
Author(s):  
Vitaliy Marchenko ◽  
Michael G. Z. Ghali ◽  
Robert F. Rogers
Keyword(s):  
High Frequency ◽  
Low Frequency ◽  
Medium Frequency ◽  
Adult Rats ◽  
Time Frequency ◽  
High Frequency Oscillations ◽  
Novel Method ◽  
Frequency Coherence ◽  
Fast Oscillations ◽  
First Time

Fast oscillations are ubiquitous throughout the mammalian central nervous system and are especially prominent in respiratory motor outputs, including the phrenic nerves (PhNs). Some investigators have argued for an epiphenomenological basis for PhN high-frequency oscillations because phrenic motoneurons (PhMNs) firing at these same frequencies have never been recorded, although their existence has never been tested systematically. Experiments were performed on 18 paralyzed, unanesthetized, decerebrate adult rats in which whole PhN and individual PhMN activity were recorded. A novel method for evaluating unit-nerve time-frequency coherence was applied to PhMN and PhN recordings. PhMNs were classified according to their maximal firing rate as high, medium, and low frequency, corresponding to the analogous bands in PhN spectra. For the first time, we report the existence of PhMNs firing at rates corresponding to high-frequency oscillations during eupneic motor output. The majority of PhMNs fired only during inspiration, but a small subpopulation possessed tonic activity throughout all phases of respiration. Significant time-varying PhMN-PhN coherence was observed for all PhMN classes. High-frequency, early-recruited units had significantly more consistent onset times than low-frequency, early/middle-recruited and medium-frequency, middle/late-recruited PhMNs. High- and medium-frequency PhMNs had significantly more consistent offset times than low-frequency units. This suggests that startup and termination of PhMNs with higher firing rates are more precisely controlled, which may contribute to the greater PhMN-PhN coherence at the beginning and end of inspiration. Our findings provide evidence that near-synchronous discharge of PhMNs firing at high rates may underlie fast oscillations in PhN discharge.

scholarly journals Investigating the Causal Linkages among Inflation, Interest Rate, and Economic Growth in Pakistan under the Influence of COVID-19 Pandemic: A Wavelet Transformation Approach

2021 ◽  
Vol 14 (6) ◽  
pp. 277
Author(s):  
Muhammad Azmat Hayat ◽  
Huma Ghulam ◽  
Maryam Batool ◽  
Muhammad Zahid Naeem ◽  
Abdullah Ejaz ◽  
...  
Keyword(s):  
Interest Rate ◽  
Granger Causality ◽  
Wavelet Transformation ◽  
Multi Scale ◽  
Long Run ◽  
Causality Tests ◽  
Short Run ◽  
The Interest Rate ◽  
The Relationship ◽  
Cross Wavelet

This research is the earliest attempt to understand the impact of inflation and the interest rate on output growth in the context of Pakistan using the wavelet transformation approach. For this study, we used monthly data on inflation, the interest rate, and industrial production from January 1991 to May 2020. The COVID-19 pandemic has affected economies around the world, especially in view of the measures taken by governmental authorities regarding enforced lockdowns and social distancing. Traditional studies empirically explored the relationship between these important macroeconomic variables only for the short run and long run. Firstly, we employed the autoregressive distributed lag (ARDL) cointegration test and two causality tests (Granger causality and Toda–Yamamoto) to check the cointegration properties and causal relationship among these variables, respectively. After confirming the long-run causality from the ARDL bound test, we decomposed the time series of growth, inflation, and the interest rate into different time scales using wavelet analysis which allows us to study the relationship among variables for the very short run, medium run, long run, and very long run. The continuous wavelet transform (CWT), the cross-wavelet transform (XWT), cross-wavelet coherence (WTC), and multi-scale Granger causality tests were used to investigate the co-movement and nature of the causality between inflation and growth and the interest rate and growth. The results of the wavelet and multi-scale Granger causality tests show that the causal relationship between these variables is not the same across all time horizons; rather, it is unidirectional in the short-run and medium-run but bi-directional in the long-run. Therefore, this study suggests that the central bank should try to maintain inflation and the interest rate at a low level in the short run and medium run instead of putting too much pressure on these variables in the long-run.

scholarly journals Influence of Interest Rate on Industrial Output in Nigeria

2020 ◽  
Vol 3 (2) ◽  
pp. p21
Author(s):  
Chioma Chidinma George-Anokwuru ◽  
Itoro Bosco
Keyword(s):  
Interest Rate ◽  
Central Bank ◽  
Positive Relationship ◽  
Labour Force ◽  
Industrial Sector ◽  
Industrial Output ◽  
Long Run ◽  
Industry Output ◽  
Short Run ◽  
The Relationship

The study examined the effect of interest rate on industrial sector in Nigeria from 1980 to 2018. The data for the study were sourced from Central Bank of Nigeria (CBN) statistical bulletin and Autoregressive Distributed Lag model was used as the main analytical tool. The ARDL Bounds test revealed the existence of long run relationship among the variables. The result further revealed the existence of a positive relationship between interest rate and industrial output both in the long run and short run. The rate of inflation was negatively related to industrial output but the relationship was not significant in both the short run and the long run. The number of labour force affected the productivity of industry thereby increasing its output in both the short run and the long run. Gross investment has a positive relationship with industrial output but the relationship was not significant. Lastly, foreign direct investment was not significant in affecting industrial output in the short run but it was positive and significant in affecting industrial output in the long run. The study concluded that interest rate has the ability to influence industry output in Nigeria. Therefore, the study recommended among others that the apex monetary institution - the Central Bank of Nigeria should ensure that the rate of interest that will encourage investors to borrow in order to start to do businesses or to expand their businesses. This will increase industry output and in turn support economic growth in Nigeria.

scholarly journals Real Exchange Rate and Terms of Trade: Some Empirical Evidence in Malaysia, Singapore and Thailand

2009 ◽  
Author(s):  
Wong Hock Tsen
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Real Exchange Rate ◽  
Real Interest Rate ◽  
Terms Of Trade ◽  
Relative Demand ◽  
Long Run ◽  
Cointegration Tests ◽  
The Relationship

This study examined the relationship between real exchange rate and terms of trade in Malaysia, Singapore, and Thailand in two cases, namely a three-variable case and a four-variable case. The results of cointegration tests showed that there is long-run relationships among real exchange rate, terms of trade, and relative demand for Malaysia. Moreover, there is long-run relationship among real exchange rate, terms of trade, relative demand, and relative real interest rate for Malaysia and Thailand. The results of Granger causality showed that real exchange rate does not Granger cause terms of trade, however the result is mixed for Thailand. The contribution of terms of trade and relative demand to real exchange rate is mixed and small. Generally, the contribution of terms of trade to real exchange rate is greater than the contribution of relative demand in Singapore. For Thailand, relative demand is more important than terms of trade in the determination of real exchange rate. For Malaysia, the results are mixed.  

Effects of Government Expenditure on Private Investment in Nigerian Economy (1980–2016)

2018 ◽  
Vol 4 (2) ◽  
pp. 147-156
Author(s):  
Taiwo Akinlo ◽  
Olusola Joel Oyeleke
Keyword(s):  
Interest Rate ◽  
Positive Impact ◽  
Government Expenditure ◽  
Private Investment ◽  
Correction Model ◽  
Long Run ◽  
Short Run ◽  
The Government ◽  
The Interest Rate ◽  
The Relationship

This study examined the effect of government expenditure on private investment in Nigeria during the period 1980–2016. The error correction model analysis was used in the study to analyze the relationship between the two variables. The study found that there is a long-run relationship among the variables and that the interest rate and inflation have negative but significant impact on private investment in the long run. On the other hand, government expenditure has positive but insignificant impact on private investment in the long run. In the short run, government expenditure and interest rate have a significant positive impact on private investment in Nigeria, while GDP per capita and inflation negatively impact private investment. The study concluded that there is the need for the government to increase its expenditure particularly on the provision of more infrastructural facilities as this will attract more investment from within and outside the country.

(Testing the causality between Exports, Oil Rent, and Gross Domestic Product in Kuwait: An empirical study for the period (1980 -2017: اختبار السببية بين الصادرات وإيجار النفط والناتج المحلي الإجمالي في الكويت: دراسة تجريبية للفترة (1980 - 2017)

2020 ◽  
Vol 4 (15) ◽  
Author(s):  
Saif Sallam Alhakimi
Keyword(s):  
Economic Growth ◽  
World Bank ◽  
Time Series Data ◽  
Series Data ◽  
The World Bank ◽  
Long Run ◽  
Causality Tests ◽  
Short Run ◽  
Direction Of Causation ◽  
The Relationship

The study of the relationship between oil prices, exports, and economic growth has captured the interest of economists for decades, especially for oil-exporting countries. This study intends to determine the relationship and the direction of causation among oil rent, exports, and economic growth in the short-run and long-run, and the causation effects among the variables. Time series data collected from both the world bank and International Monetary Fund databases for the period 1980 to 2017. The series tested for stationarity, cointegration, and causation using the unit root, cointegration, and pairwise granger causality tests. The results revealed that there was a long-run association among the variables. On the other hand, causation only exists between export and economic growth in both directions. Eviews10 statistical software used for the analysis.

scholarly journals Bitcoin and Stock Markets: Are They Connected? Evidence from Asean Emerging Economies

2020 ◽  
Author(s):  
Abdollah Ah Mand ◽  
Hassanudin Mohd Thas Thaker
Keyword(s):  
Emerging Economies ◽  
Time Frequency ◽  
Holding Period ◽  
Long Run ◽  
Daily Data ◽  
Short Run ◽  
Asean Countries ◽  
Stock Portfolio ◽  
Equity Indices ◽  
The Relationship

Abstract Background: Cryptocurrencies, especially Bitcoin, has become popular for investors in recent years. The volatility of bitcoin and time horizon are the center point for investment decisions. However, attention is not often drawn to the relationship between bitcoin and equity indices. This study investigates the volatility and time frequency domain of bitcoin among five Asean countries through a rich database which covers daily data from July 2010 until April 2019.Methods: Advanced econometrics and Wavelets Cross-Coherence Spectrograms, this study investigates the existence of long run association between bitcoin and the studied market indices. M-GARCH analysis is been employed to investigate the unconditional volatility of market indices and Bitcoin.Results: The findings present the long run association with positive (Philippines) and negative (Japan, Korea, Singapore, Hong Kong) relations. Moreover, only one market (KOREA) shows a short run association with bitcoin. The M-GARCH analysis reveals, most of the selected Asean countries have a low unconditional volatility with bitcoin. Except for Philippines in which the co-movement is average, Wavelet analysis reveals the presence of a strong and long co-movements for most of the selected Asean countries with bitcoin.Conclusions: Most of our results are consistent and illustrate different dimensions of long and short run relationship, volatilities, correlations, and time-frequency analysis. This study utilized Asean emerging economies which are rarely available in the literature as existing studies are more skewed towards the West. We believe the outcomes of this study will be a significant for industry practitioners (i.e., retail and institutional investors) on designing better strategies to diversify the stock portfolio with different holding period horizons and dimensions.

Trading volume and serial correlation in crude oil futures returns

2021 ◽  
pp. 2150016
Author(s):  
Hua Wang ◽  
Weige Huang
Keyword(s):  
Crude Oil ◽  
High Frequency ◽  
Serial Correlation ◽  
Trading Volume ◽  
Empirical Studies ◽  
Oil Futures ◽  
Long Run ◽  
Short Run ◽  
Crude Oil Futures ◽  
The Relationship

Due to increasing speculation, crude oil futures are now becoming one of the highest traded commodities. This paper studies the relationship between trading volume and serial correlation in crude oil futures returns using high frequency data. We find that volume can positively predict the serial correlation in the short run (within an hour) but negatively predict the serial correlation in the midterm. The trading volume is not able to consistently predict serial correlation in the long run (more than a day). The results from our empirical studies are robust to a variety of controls and our study gives a new insight in the relation between volume and serial correlation of crude oil futures returns.

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