scholarly journals Seigniorage Revenue, Inflation Tax and Indian Economy: A Cointegration Analysis

2016 ◽  
Vol 12 (1) ◽  
pp. 3-15
Author(s):  
Md. Samsur Jaman
Keyword(s):  
Interest Rates ◽  
Cointegration Analysis ◽  
Tax Revenue ◽  
Indian Economy ◽  
Long Run ◽  
Nominal Interest Rates ◽  
Time Series Dataset ◽  
Inflation Rates ◽  
Inflation Tax ◽  
Short Run

The aim of this paper is to test the relationship between seigniorage revenue, inflation tax and interest rates for Indian Economy. For this purpose, we estimate the Mankiw’s optimal seigniorage model by using time series dataset for the time period 1970-2015 for Indian Economy with the cointegration and vector error correction methods (VECM). According to estimated econometric results, there is a significant relationship between inflation, nominal interest rates and tax revenue in the long run. However, in short run there is a causality relationship from nominal interest rates and inflation to tax revenue and tax revenue to nominal interest rates. Thus, this study suggests that in the long run higher tax rates are associated with lower inflation rates and lower nominal interest rates for Indian Economy

A Long View of the UK Business Cycle

2002 ◽  
Vol 182 ◽  
pp. 72-89 ◽  
Author(s):  
Jagjit S. Chadha ◽  
Charles Nolan
Keyword(s):  
Business Cycle ◽  
Interest Rates ◽  
Dominant Role ◽  
Real Wages ◽  
Long Run ◽  
Nominal Interest Rates ◽  
Short Run ◽  
The Business Cycle ◽  
The Uk ◽  
External Sector

We outline a number of ‘stylised’ facts on the UK business cycle obtained from analysis of the long-run UK annual dataset. The findings are to some extent standard. Consumption and investment are pro-cyclical, with productivity playing a dominant role in explaining business cycle fluctuations at all horizons. Money neutrality obtains over the long run but there is clear evidence of non-neutrality over the short run, particularly at the business cycle frequencies. Business cycle relationships with the external sector via the real exchange rate and current account are notable. Postwar, the price level is counter-cyclical and real wages are pro-cyclical, as are nominal interest rates. Modern general equilibrium macroeconomic models capture many of these patterns.

scholarly journals ENDOGENOUSLY SEGMENTED ASSET MARKET IN AN INVENTORY-THEORETIC MODEL OF MONEY DEMAND

2012 ◽  
Vol 18 (2) ◽  
pp. 438-472 ◽  
Author(s):  
Jonathan Chiu
Keyword(s):  
Interest Rates ◽  
Money Demand ◽  
Asset Market ◽  
Fixed Cost ◽  
Theoretic Model ◽  
Long Run ◽  
Nominal Interest Rates ◽  
Goods Market ◽  
Short Run ◽  
Money Transfers

This paper studies the effects of monetary policy in an inventory-theoretic model of money demand. In this model, agents keep inventories of money, despite the fact that money is dominated in rate of return by interest-bearing assets, because they must pay a fixed cost to transfer funds between the asset market and the goods market. In contrast to exogenous segmentation models in the literature, the timing of money transfers is endogenous. As a result, the model endogenizes the degree of market segmentation as well as the magnitudes of liquidity effects, price sluggishness, and the variability of velocity. I first show that the endogenous segmentation model can generate the positive long-run relationship between money growth and velocity observed in the data, which the exogenous segmentation model fails to capture. I also show that the short-run effects of money shocks on prices, inflation, and nominal interest rates are not robust.

scholarly journals The validity of the Fisher effect for an inflation targeting country

2021 ◽  
Vol 72 (5) ◽  
pp. 697-717
Author(s):  
Sinem Pınar Gürel
Keyword(s):  
Interest Rates ◽  
Inflation Targeting ◽  
Fisher Effect ◽  
Government Bonds ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Turkish Economy ◽  
Inflation Rates ◽  
Short Run

The aim of this paper is to investigate the relationship between interest and inflation rates. In this regard, the validity of the Fisher Effect under an inflation targeting regime country is examined by considering the possibility of non-linearities. To this aim, the Fisher Effect is analysed by using various types of interest rates to identify the short-, mid- and long-term dynamics. Autoregressive distributed lag (ARDL) and non-linear autoregressive distributed lag (NARDL) models were estimated for Turkish economy between 2006-2019 periods. The empirical findings of ARDL models reveal the validity of Fisher Effect both for short and long run. The results of NARDL models indicate a strong Fisher Effect in the long run, except for 5-year government bonds. For short-run, the Fisher Effect holds only when inflation rises and there is no significant result when inflation decreases.

scholarly journals DETERMINANTS OF INDONESIA’S INCOME VELOCITY OF MONEY

2019 ◽  
Vol 21 (3) ◽  
pp. 323-342
Author(s):  
Susan Sunila Sharma ◽  
Ferry Syarifuddin
Keyword(s):  
Interest Rates ◽  
Money Demand ◽  
Time Series Data ◽  
Series Data ◽  
Tax Revenue ◽  
Short Term ◽  
Policy Perspective ◽  
Long Run ◽  
Velocity Of Money ◽  
Short Run

Using monthly time-series data and both short- and long-run models, our paper examines the determinants of Indonesia’s income velocity of money. Our findings strongly suggest that in the long-run, tax revenue, short-term interest rates, and industrial production, and in the short-run, money demand significantly determines income velocity of money. Our analysis suggests that the effect on income velocity is mostly over the long-run as most determinants are dormant in the short-run. The implication from a policy perspective is that shocks that are transitory are unlikely to burden income velocity.

scholarly journals Fiscal Impact of Foreign Aid in Morocco: A Multivariate Cointegration Analysis

2018 ◽  
Vol 4 (4) ◽  
pp. 378
Author(s):  
Kawthar Aghoutane ◽  
Mohamed Karim
Keyword(s):  
Foreign Aid ◽  
Cointegration Analysis ◽  
Tax Revenue ◽  
Fiscal Impact ◽  
Correction Model ◽  
Model Following ◽  
Long Run ◽  
Short Run ◽  
The Relationship

<p><em>The aim of this study is to evaluate the relationship between foreign aid and taxe revenue in Morocco by using the Error Correction Model Following the approach of Johansen to jointly capture the long-run relationship and short-run dynamics between aid and tax revenue. Other variables such as the shares of agriculture and industry in GDP, exports, imports and GDP are also included in the model. The results indicate that </em><em>the direct effect of foreign aid on tax revenue is insignificant in the short term</em><em>, but it becomes negative and significant in the long term.</em></p>

scholarly journals Testing the Long-Run Fisher Effect in Selected African Countries: Evidence from ARDL Bounds Test

2015 ◽  
Vol 7 (12) ◽  
pp. 168 ◽  
Author(s):  
Keho Yaya
Keyword(s):  
Interest Rates ◽  
Fisher Effect ◽  
African Countries ◽  
Spurious Regression ◽  
Long Run ◽  
Nominal Interest Rates ◽  
Inflation Rates ◽  
Fisher Hypothesis ◽  
Cointegration Tests ◽  
Bounds Test

<p>This paper tests the validity of the Fisher hypothesis for a sample of ten African countries. Recognizing the possibility of spurious regression results, we undertook unit root and cointegration tests. We found nominal interest rates to be I(1) series while inflation rates are I(0) series. Hence, we employed the bounds test to cointegration. The results provide evidence supporting the full Fisher effect only in Kenya. In Cote d’Ivoire and Gabon, we found a positive but less than one-for-one reaction of nominal interest rates to changes in inflation rates, lending support to the partial Fisher effect. For the other seven countries, the results suggest no evidence of long-run relationship between nominal interest rates and inflation.</p>

Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Dimitra Kontana ◽  
Stilianos Fountas
Keyword(s):  
Interest Rates ◽  
Panel Cointegration ◽  
Cointegration Analysis ◽  
Housing Wealth ◽  
Cross Sectional ◽  
Us States ◽  
Financial Wealth ◽  
Long Run ◽  
Short Run

Abstract This study investigates the long-run and short-run relationship between consumption, income, financial and housing wealth, and a long-term interest rate for the 50 US states. Using an updated set of quarterly data from 1975 to 2018, we perform panel cointegration analysis allowing for cross-sectional dependence. We obtain the following results. First, there is strong evidence for cointegration among consumption and its determinants. Second, estimates of the housing wealth and financial wealth elasticity of consumption range from 0.072 to 0.115 and 0.044 to 0.080, respectively. Finally, Granger causality tests show that there is a bidirectional short-term causality between per capita consumption, income, and financial wealth in the short run and between all the variables in the long run.

scholarly journals Mobile Money Use: The Impact of Macroeconomic Policy and Regulation

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 51
Author(s):  
Lorna Katusiime
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Financial Innovation ◽  
Macroeconomic Policy ◽  
Mobile Money ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Long Run ◽  
Short Run ◽  
The Impact

This paper examines the effects of macroeconomic policy and regulatory environment on mobile money usage. Specifically, we develop an autoregressive distributed lag model to investigate the effect of key macroeconomic variables and mobile money tax on mobile money usage in Uganda. Using monthly data spanning the period March 2009 to September 2020, we find that in the short run, mobile money usage is positively affected by inflation while financial innovation, exchange rate, interest rates and mobile money tax negatively affect mobile money usage in Uganda. In the long run, mobile money usage is positively affected by economic activity, inflation and the COVID-19 pandemic crisis while mobile money customer balances, interest rate, exchange rate, financial innovation and mobile money tax negatively affect mobile money usage.

THE EFFECT OF FISCAL POLICY ON THE SHORT-RUN RELATION BETWEEN NOMINAL INTEREST RATES AND INFLATION

1987 ◽  
Vol 25 (1) ◽  
pp. 27-42 ◽  
Author(s):  
VICTOR A. CANTO ◽  
GERALD NICKELSBURG ◽  
PAUL RIZOS
Keyword(s):  
Fiscal Policy ◽  
Interest Rates ◽  
Nominal Interest Rates ◽  
Short Run

Determinants of Treasury-LIBOR Swap Spreads

2005 ◽  
Vol 08 (04) ◽  
pp. 687-705 ◽  
Author(s):  
D. K. Malhotra ◽  
Vivek Bhargava ◽  
Mukesh Chaudhry
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Default Risk ◽  
Yield Curve ◽  
Short Term ◽  
Long Run ◽  
Interest Rate Volatility ◽  
Short Run ◽  
Using Data ◽  
Swap Spreads

Using data from the Treasury versus London Interbank Offer Swap Rates (LIBOR) for October 1987 to June 1998, this paper examines the determinants of swap spreads in the Treasury-LIBOR interest rate swap market. This study hypothesizes Treasury-LIBOR swap spreads as a function of the Treasury rate of comparable maturity, the slope of the yield curve, the volatility of short-term interest rates, a proxy for default risk, and liquidity in the swap market. The study finds that, in the long-run, swap spreads are negatively related to the yield curve slope and liquidity in the swap market. We also find that swap spreads are positively related to the short-term interest rate volatility. In the short-run, swap market's response to higher default risk seems to be higher spread between the bid and offer rates.

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