scholarly journals Inflation Sources Across Developed And Developing Countries; Panel Approach

2012 ◽  
Vol 11 (2) ◽  
pp. 185
Author(s):  
Nayef Al-Shammari ◽  
Mohammed Al-Sabaey
Keyword(s):  
Developing Countries ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Government Spending ◽  
Oil Prices ◽  
Developed Countries ◽  
Effective Exchange ◽  
Main Determinants ◽  
Effective Exchange Rate

This paper investigates the sources of inflation across a sample of countries in the world. The data set covers around fifty nine countries using yearly data over the period from 1970 through 2007. The model is estimated using a panel model with a random effects specification. Results indicate that the main determinants of inflation for developing countries are different than those for developed countries. Our findings show that the main determinants of inflation for developed countries include government spending, money supply growth, world oil prices, interest rate, nominal effective exchange rate, and population. Whereas, sources of inflation for developing countries are estimated to include government spending, money supply growth, world oil prices, and the nominal effective exchange rate. Findings also report that there is no significant evidence for factors such as interest rate and population to affect the general price levels in developing countries.

scholarly journals Dependence on Oil Prices of Russian Stock Market

2016 ◽  
Author(s):  
Dilek Özdemir ◽  
Özge Buzdağlı ◽  
Murat Akdağ ◽  
Ömer Selçuk Emsen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Money Supply ◽  
Structural Breaks ◽  
Oil Prices ◽  
Real Effective Exchange Rate ◽  
Real Money ◽  
Effective Exchange ◽  
Russian Stock Market ◽  
Effective Exchange Rate

In the period after transition, economically full-liberal policy implementations applied by Russia Federation has been taken attention as cyclical movement. No variations of goods are said to be effective about the main reasons about cyclical movement in liberalization. As a kind of indicator of the Russian economy, stock market’s sensitivity to oil prices analyzed. In this context, especially change of oil prices, exchange rate and money supply effects on Russia are analyzed for the period of 1996M1-2015M12. Stationarity of the series is investigated by Lee and Strazicich (2003) unit root test with multiple structural breaks, existence of cointegration relation between series is tested by Maki (2012) method of cointegration with multiple structural break, and cointegration coefficients are predicted with Dynamic Ordinary Learst Square-DOLS method. Furthermore, causality relations between series are investigated by Hacker and Hatemi-J (2012) symmetric causality test. As a result, Russian stock market is positively affected by oil prices, real effective exchange rate and real money supply. Also causality tests showed that bidirectional causality relation found on stock market with oil prices and real effective exchange rate, and unidirectional causality from real money supply to stock market.

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 Impacts of the monetary policy on the exchange rate: case study of Vietnam

2019 ◽  
Vol 26 (2) ◽  
pp. 220-237
Author(s):  
Van Anh Pham
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Real Effective Exchange Rate ◽  
Content Type ◽  
Effective Exchange ◽  
Quantitative Results ◽  
The Exchange Rate ◽  
The Interest Rate ◽  
Effective Exchange Rate

Purpose The purpose of this paper is to evaluate and analyze impacts of the monetary policy (MP) – money aggregate and interest rate – on the exchange rate in Vietnam. Design/methodology/approach The study uses data over the period of 2008–2018 and applies the vector autoregression model, namely recursive restriction and sign restriction approaches. Findings The main empirical findings are as follows: a contraction of the money aggregate significantly leads to the real effective exchange rate (REER) depreciating and then appreciating; a tightening of the interest rate immediately causes the REER appreciating and then depreciating; and both the money aggregate and the interest rate strongly determine fluctuations of the REER. Originality/value The quantitative results imply that the MP affects the REER considerably.

Government Spending Shocks and External Competitiveness: Evidence from South Africa

2020 ◽  
Vol 11 (03) ◽  
pp. 2050013
Author(s):  
Naser Yenus Nuru
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Government Spending ◽  
Real Effective Exchange Rate ◽  
Impulse Responses ◽  
Economic Cycle ◽  
Vector Autoregressive ◽  
Effective Exchange ◽  
Spending Shocks ◽  
Effective Exchange Rate

This study examines the effects of government spending shocks on real effective exchange rate in South Africa over the period 1970Q1–2019Q2. In doing so, a version of vector autoregressive impulse response model developed by Jordà is employed and the shocks are identified recursively. The impulse responses show that government spending shock has a significant appreciation effect on real effective exchange rate and its effect depends on the nature of the fiscal shock. Although the effect of government spending on real effective exchange rate does not depend on the sign of the shock, it varies over economic cycle.

scholarly journals ANALYSIS OF THE ASYMMETRIC RELATIONSHIP BETWEEN OIL PRICES AND REAL EFFECTIVE EXCHANGE RATE IN KAZAKHSTAN

2021 ◽  
Vol 11 (4) ◽  
pp. 345-351
Author(s):  
Aktolkin Abubakirova ◽  
Lyazzat Kudabayeva ◽  
Gulnar Abdulina ◽  
Aliya Zurbayeva ◽  
Indira Tazhiyeva
Keyword(s):  
Exchange Rate ◽  
Oil Prices ◽  
Real Effective Exchange Rate ◽  
Effective Exchange ◽  
Effective Exchange Rate

A FORECASTING APPROACH TO REAL EFFECTIVE EXCHANGE RATE-OIL PRICE NEXUS IN CHINA

2020 ◽  
pp. 1-17
Author(s):  
HAMID BAGHESTANI ◽  
SEHAR FATIMA
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Moving Average ◽  
Real Exchange Rates ◽  
Oil Prices ◽  
Exchange Rate Policy ◽  
Real Effective Exchange Rate ◽  
Effective Exchange ◽  
Rate Policy ◽  
Effective Exchange Rate

Motivated by the theoretical link between real exchange rates and oil prices, we utilize a univariate moving average (MA) and an augmented MA (A-MA) model to generate multi-period forecasts of China’s real effective exchange rate for 2008–2018. The MA model utilizes past information in real exchange rates, and the A-MA model utilizes past information in both real exchange rates and oil prices. We show that the A-MA forecasts are unbiased and embody useful predictive information beyond that contained in the MA forecasts. In addition, the A-MA forecasts are directionally accurate under asymmetric loss. Such accurate forecasts are useful as inputs for policymakers to design an optimal real exchange rate policy to promote trade and attract foreign investment, and for foreign entities that regard China as an attractive environment for investing in various sectors.

Real Effective Exchange Rate, Broad Money Supply, and Trade Balance in Vietnam: An Empirical Analysis from Bounds Test to a Cointegration Approach

2020 ◽  
Author(s):  
Kieu Oanh Dao ◽  
V.C. Nguyen ◽  
Si Tri Nhan Dinh
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Trade Balance ◽  
Negative Impact ◽  
Positive Impact ◽  
Real Effective Exchange Rate ◽  
Long Run ◽  
Effective Exchange ◽  
Effective Exchange Rate ◽  
The Impact

This paper aims to investigate the impact of the real effective exchange rate and broad money supply on the trade balance in Vietnam using quarterly data from the first quarter of 2000 to the fourth quarter of 2018. Using the ARDL-ECM approach to investigate this effect, a cointegration relationship exists between real effective exchange rate, broad money supply and trade balance. Results demonstrate that real effective exchange rate has a short-term negative impact on trade balance. Additionally, broad money supply has a positive impact on trade balance in the short run and long run with a very weak effect. Surprisingly, it was found that real foreign income and local income have no impact on trade balance.

scholarly journals Macroeconomic Effects of Global Food and Oil Price Shocks to the Pakistan Economy: A Structural Vector Autoregressive (SVAR) Analysis.

2011 ◽  
Vol 50 (4II) ◽  
pp. 491-511 ◽  
Author(s):  
Muhammad Arshad Khan ◽  
Ayaz Ahmed
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Inflation Rate ◽  
Food Price ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Impulse Response Functions ◽  
Price Shocks ◽  
Effective Exchange ◽  
Effective Exchange Rate

This study examines the transmission channels through which the global food and oil price shocks affects selected macroeconomic variables including inflation rate, output, money balances, interest rate and real effective exchange rate for Pakistan using monthly data over the period 1990M1-2011M7. An empirical analysis is carried out by employing structural vector autoregressive (SVAR) framework. Generalised Impulse Response Functions and Generalised Forecast Variance Decompositions are employed to track the impact of oil and food price shocks to Pakistan‘s economy. Results suggest that oil price shock affects industrial production, appreciates real effective exchange rate negatively and affect inflation and interest rate positively. Whereas, following food price shocks, industrial output increases. Similarly, interest rate and inflation rate responds positively following food price shocks. However, the variation in interest rate due to food price shock is relatively larger than that of oil price shocks. Generalised impulse response functions reveal that real effective exchange rate is most important source of disturbances following either oil price or food price shocks. Generalised forecast variance decompositions analysis also supports the findings based on generalised impulse response functions. The result clearly reveals that oil and food price shocks significantly affect output, short-term interest rate, inflation rate and real effective exchange rate. However, among all, real effective exchange rate has seen a dominant source of variations in Pakistan. This implies that supply-side and demand-side disturbances originated by external shocks are the major sources of inflation (stagflation) in Pakistan. Keywords: Oil and Food Price Shocks, SVAR, GIRFs, GFEVDs, Pakistan

scholarly journals A Note on the Effective Exchange Rate for Pakistan's Manufactured Exports, 1968-1975

1977 ◽  
Vol 16 (1) ◽  
pp. 101-111
Author(s):  
Stephen E. Guisinger
Keyword(s):  
Developing Countries ◽  
Exchange Rate ◽  
Export Performance ◽  
Rapid Rate ◽  
Relative Prices ◽  
Export Prices ◽  
Effective Exchange ◽  
Manufactured Exports ◽  
Effective Exchange Rate

The role of relative prices in determining the export performance of developing countries is now well established. Studies by Kravis [2], Mo-Geehan [3] and others have found that price competitiveness is essential for maintaining a rapid rate of export growth in both developed and developing countries. For Pakistan, Husain [1] has shown that changes in export prices resulting from changes in the export bonus scheme had a significant effect on raising the level of munufactured exports over the 1960-1967 period.

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