Impact of macroeconomic factors on inflation: An assessment on indian economy by using vector auto-regressive modeling

2020 ◽  
Vol 1 (1) ◽  
pp. 23-28
Author(s):  
Mihir Das ◽  
Gopi Krishna Pachetas
Keyword(s):  
Significant Role ◽  
Time Series Data ◽  
Central Banks ◽  
Oil Price ◽  
Series Data ◽  
Price Stability ◽  
Fiscal Deficit ◽  
Price Indices ◽  
Macroeconomic Factors ◽  
Auto Regressive

Inflation is the sustained rise in the prices of commodities. Central Banks have the critical responsibility of ensuring price stability; however, every attempt should be made to ensure that price stability should not hit economic growth. Thus, it becomes imperative for Central Banks to determine the key fiscal and monetary factors that have the greatest impact on domestic price levels. Based on these factors, it can tackle the problem of inflation effectively and efficiently. Further, there are several global price indices and factors that need to be factored in while tackling the problem of inflation.  The objective of the current study is to empirically determine the macroeconomic factors that play a significant role in influencing inflation in India. The study considers international food and oil price indices amongst other macroeconomic variables such as the fiscal deficit, index of industrial production, exchange rate, MIBOR, and money supply in order to explain inflation. Monthly data for each of the above variables were collected for the research period 2000-10. The study is based on Vector Auto-Regressive modeling. The Augmented Dickey-Fuller Unit Root Test was performed to test for stationarity of all of the time-series data. The results of the Granger causality tests indicate that fiscal indicators such as fiscal deficit and international factors such as international food and oil price indices play a significant role in influencing inflation. The research outcomes conform to the results of several earlier studies.

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

The Effects of Oil Prices Changes on Output Growth and Inflation: Evidence from Turkey

2013 ◽  
Vol 5 (11) ◽  
pp. 730-739 ◽  
Author(s):  
Pelin ÖGE GÜNEY
Keyword(s):  
Time Series Data ◽  
Output Growth ◽  
Oil Price ◽  
Series Data ◽  
Negative Effects ◽  
Price Changes ◽  
Asymmetric Effects ◽  
Price Increases ◽  
Causality Tests ◽  
The Impact

This paper investigates the effects of oil price changes on output and inflation for the case of Turkey using monthly time series data for the period 1990:1–2012:3. Recent studies suggest that oil price changes may have asymmetric effects on the macroeconomic variables. To account for asymmetric effects, we decompose oil price changes into positive and negative parts following Hamilton (1996). Our results show that while oil price increases have clear negative effects on output growth, the impact of oil price decline is insignificant. Similarly, oil price increases have positive and significant effects on inflation. However, oil price declines have not a significant effect on inflation. The Granger causality tests also support these results.

Testing Structural Break in the Relationship Between Exchange Rate and Macroeconomic Variables

2019 ◽  
Vol 23 (4) ◽  
pp. 442-453 ◽  
Author(s):  
Saidia Jeelani ◽  
Joity Tomar ◽  
Tapas Das ◽  
Seshanwita Das
Keyword(s):  
Exchange Rate ◽  
Structural Breaks ◽  
Time Series Data ◽  
Structural Break ◽  
Series Data ◽  
Ripple Effect ◽  
Macroeconomic Factors ◽  
Parameter Instability ◽  
Macroeconomic Variables ◽  
The Relationship

The article aims to study the relationship between those macroeconomic factors that the affect (INR/USD) exchange rate (ER). Time series data of 40 years on ER, GDP, inflation, interest rate (IR), FDI, money supply, trade balance (TB) and terms of trade (ToT) have been collected from the RBI website. The considered model has suggested that only inflation, TB and ToT have influenced the ER significantly during the study period. Other macroeconomic variables such as GDP, FDI and IR have not significantly influenced the ER during the study period. The model is robust and does not suffer from residual heteroscedasticity, autocorrelation and non-normality. Sometimes the relationship between ER and macroeconomic variables gets affected by major economic events. For example, the Southeast Asian crisis caused by currency depreciation in 1997 and sub-prime loan crisis of 2008 severely strained the national economies. Any global economic turmoil will affect different economic variables through ripple effect and this, in turn, will affect the ER of different economies differently. The article has also diagnosed whether there is any structural break or not in the model by applying Chow’s Breakpoint Test and have obtained multiple breaks between 2003 and 2009. The existence of structural breaks during 2003–2009 is explained by the fact that volume of crude oil imported by India is high and oil price rise led to a deficit in the TB alarmingly, which caused a structural break or parameter instability.

Oil and Methanol Price volatility

2013 ◽  
Vol 03 (08) ◽  
pp. 01-10
Author(s):  
Majid Delavari ◽  
Nadiya Gandali Ali khani ◽  
Esmaeil Naderi
Keyword(s):  
Crude Oil ◽  
Time Series Data ◽  
Price Volatility ◽  
High Sensitivity ◽  
Oil Price ◽  
Series Data ◽  
Cultural Issues ◽  
Crude Oil Price ◽  
Oil Export ◽  
The One

Crude oil as one of the main sources of energy is also the main source of income for members of OPEC. So, the volatility of crude oil price is one of the main economic variables in the world and analysis of the effect of its changes on key economic factors has been always considered as significant. The reason might be the high sensitivity of oil price to political, economic and cultural issues worldwide and consequently its volatility on the one hand, and the high influence of the volatile prices on macroeconomic variables. On the other hand, for different reasons such as oil price volatilities and income from oil export, economic planners and policy makers in Iran have been mainly focused on the promotion of non-oil exports especially during the last few decades. Therefore, methanol as one of the most commonly used petrochemical products has a high potential for production and export of non-oil products in Iran. For this reason, in the present study there was an attempt to examine the relationship between the prices of Iran’s crude oil and methanol using FIGARCH model and based on the weekly time series data related to the research variables. The results of the study showed that the long memory parameter is equal to 0.32 which is meaning the shocks caused by volatility of methanol market and crude oil price to the methanol price were lasting and meaningful and were revealed in the long term.

scholarly journals Daya Tahan Sektor Rumah Tangga Dalam Rangka Menjaga Stabilitas Sistem Keuangan

2018 ◽  
Vol 5 (1) ◽  
pp. 65
Author(s):  
Ita Rakhmawati ◽  
Suhadi Suhadi
Keyword(s):  
Interest Rates ◽  
Time Series Data ◽  
Negative Impact ◽  
Financial System ◽  
Series Data ◽  
Price Stability ◽  
Economic Stability ◽  
Independent Variables ◽  
High Inflation ◽  
The Stability

The crisis in 1997 is the image of the high rise in inflation in Indonesia. The phenomenon of inflation when it reached 82.40% (Anas, 2006). The early mid-1998 also experienced a weakening of the rupiah against the dollar. Condition stable economy is the desire of each country in comparison with the state of the economy has always fluctuated. Economic stability will create an atmosphere conducive economy. stable climatic conditions in the expected level of welfare is the purpose in each country. One of the efforts to maintain economic stability is through monetary policy. For example, with economic growth, maintain price stability (inflation), the achievement of the balance of payments and the reduction of unemployment (Natsir, 2008). The stability of the financial system of a country of which reflected their price stability, in the sense that there are a great price that can be harmful to society, both consumers and manufacturers that will damage the joints of the economy. However, the implementation of the policy, Bank Indonesia as the monetary authority uses monetary variables such as interest rates and the money supply to cope with economic shocks such as inflation. Besides the need for the government’s role in maintaining the rupiah to avoid turmoil in the economy. The importance of inflation control based on the consideration that the high inflation and unstable negative impact on socio-economic conditions of society. Among the high inflation will cause a decline in the real income of the community so that the standard of living of the people down and eventually make everyone, especially the poor get poorer. From one of the effects of inflation are so wide will impact people’s demands to meet the needs of more and more difficult. Their continuousprice increases being offset by rising income of the communities, it can make sure the Indonesian state would worsen. As a result many people’s needs can not be met, so many things that must be met by way of credit. The number of community needs that must be met will cause world of opportunities for banks to offer credit readily available to meet the needs. The third object of research above (inflation, poverty, and credit) does affect the stability of the financial system? In this study using secondary data from the Badan Pusat Statistik (BPS) and Bank Indonesia (BI) with time series data from the years 2007-2015. The process of data analysis was performed using OLS regression with Eviews 8.0. Based on research, if only partial test of the poverty variable significantly affect the stability of the financial system amounted to 2,023 with α = 10%. Meanwhile, two other variables (inflation and poverty) is not significant to the stability of the financial systemMeanwhile, two other variables (inflation and poverty) is not significant to the stability of the financial system. While the value of R-Square (0.629900), indicating that the three independent variables / free consisting of inflation, poverty and credit simultaneously have the effect that make the stabilization of the financial system increases or decreases. That is jointly independent variables (inflation, poverty and loans) contributed / effect of 62.9% against the stability of the financial system. The rest is the influence of other factors beyond the three independent variables studied.

scholarly journals Consequences of Capital formation, Trade Liberalization on the Economic Growth: Pakistan’s Experience

2015 ◽  
Vol 2 (1) ◽  
pp. 1-4
Author(s):  
Nadia Bukhari ◽  
Anjum Iqbal
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Trade Openness ◽  
Capital Formation ◽  
Vital Role ◽  
Series Data ◽  
Distributed Lag ◽  
Long Run ◽  
Auto Regressive ◽  
Adf Test

This study considers the long run relationship between the liberalization of trade, capital formation and the economic growth of Pakistan by using the time series data from 1975-2013. The main aim of this study is to examine that how much liberalization of trade and capital formation affects the economic growth of Pakistan in long run. The approach that has been used for empirical analysis is Auto Regressive Distributed Lag (ARDL) model. Under the ADF test capital formation (CF) is stationary at its first level but the trade openness (TO) and GDP is stationary at its first difference. Moreover, the granger casualty test is evident that there become a casual relationship between the trade openness and GDP. The result of this study shows that both the trade openness and the capital formation determined the economic growth in long run and they both have statistically significant effect on the GDP. Furthermore it has has been depicted from the study that the trade has a vital role to influence the economic growth.

scholarly journals ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI EKSPOR CPO (BAHAN BAKU MINYAK GORENG) INDONESIA PADA TAHUN 1973 - 1998

2007 ◽  
Vol 2 (1) ◽  
pp. 45
Author(s):  
Wahyu Wahyu ◽  
Triyono Triyono
Keyword(s):  
Linear Regression ◽  
Least Squares ◽  
Annual Report ◽  
Foreign Market ◽  
Oil Price ◽  
Raw Material ◽  
Series Data ◽  
Price Stability ◽  
Cooking Oil

The demand for cooking oil from domestic and foreign market has madetrade of CPO as cooking oil raw material. The strength of CPO trade iscaused by amount of government wish to keep cooking oil price stability asdomestic main need and by the amount of government interest to increaseforeign exchange achievement. The research is centered on variables whichinfluence on the number of CPO export from Indonesia. The data used aretime series data from 1973-1988 which is taken from BPS (Central Bureauof Statistic) of Indonesian Plantation Annual Report. Whereas analysismethod used are Double Linear Regression by using OLS (Method ofOrdinary Least Squares) with variables test toward classical assumption andstatistic test.

scholarly journals Fiscal Deficit and Its Less Inflationary Sources of Borrowing with the Moderating Role of Political Instability: Evidence from Malaysia

2020 ◽  
Vol 12 (1) ◽  
pp. 366 ◽  
Author(s):  
Hanana Khan ◽  
Maran Marimuthu ◽  
Fong-Woon Lai
Keyword(s):  
Central Bank ◽  
Time Series Data ◽  
Political Instability ◽  
Series Data ◽  
Fiscal Deficit ◽  
Short Term ◽  
High Tendency ◽  
External Sources ◽  
Domestic Sources

Theoretically, fiscal deficit may be inflationary, but its sources of financing can bring change in significance and impact. Malaysia is facing a high tendency of fiscal deficit from the last decade. To finance the fiscal deficit, which sources are less inflationary in the country? To answer this question, the study aims to analyze the quarterly financial time-series data covering the period from 2000 Q1 to 2018 Q4 of Malaysia using recent econometric techniques. The analysis is carried out in three stages. In the first stage, it is tested that the fiscal deficit is inflationary along with the money supply. In the second stage, it is determined that political instability moderates the link between inflation and the fiscal deficit and the external sources of borrowing in the short-run, while the domestic sources of borrowing in the long run are found inflationary. In the third stage, the central bank borrowing and Bank institutions borrowing from the domestic sources and the short-term borrowing from the external sources are found less inflationary. The findings suggest that borrowing through the central bank and bank institutions (domestic sources) is less inflationary in the long term; while for a short-term policy, from external sources, only short-term borrowing is less inflationary; medium- and long-term borrowing are much more sensitive to inflation.

scholarly journals Effect of Macroeconomic Factors on The Small-Medium Enterprises Loans

2020 ◽  
Vol 15 (2) ◽  
Author(s):  
Adhisty Mohammad Khariza ◽  
Arintoko Arintoko ◽  
Suprapto Suprapto
Keyword(s):  
Panel Data ◽  
Interest Rate ◽  
Time Series Data ◽  
Series Data ◽  
Macroeconomic Factors ◽  
Interest Rate Policy ◽  
Credit Demand ◽  
The Government ◽  
Small Medium Enterprises ◽  
Medium Enterprises

Small-medium enterprises (SMEs) are the main pillar of the Indonesian economy. Based on 2016’s Economic Census, most businesses in Indonesia are SMEs, while SMEs absorb the majority of the workforce. The empowerment of SMEs is one way to improve the economy. To empower the SMEs sector, the Indonesian government launched the Kredit Usaha Rakyat (KUR) since 2007. The lasts policy is the provision of the mild interest rate for KUR since 2016. The hope is that with a mild interest rate, SMEs can get affordable financing access so they can be the driving force of the economy. However, credit demand is not only influenced by interest rate but other macroeconomic factors such as Gross Domestic Product and inflation. Also, this study will look at how development disparities between the West Indonesia Region and East Indonesia Region affect credit demand. This research is intended to see the effect of macroeconomic factors on Small-medium enterprises loans. Source of data is taken from Indonesia Badan Pusat Statistik. Panel data use 2011-2018 time-series data and 33 provinces cross-section data are used to investigate the relationship of SMEs’ Loans with these macroeconomic factors. The result show that Interest Rate, GRDP, and Inflation, effect on SMEs Loans in a respectively different manner. However, the development disparities between West Indonesia Region and East Indonesia Region has no significant effect on SMEs’ loans. The study concludes that macroeconomic activities are important indicators not only the interest rate. So, the government should not only focus on interest rate policy but also other macroeconomic factors. Keyword: Macroeconomic Factors, SMEs’ Loan, Kredit Usaha Rakyat (KUR), Panel Data

scholarly journals Does government spending reduce poverty in Nigeria? Evidence from Auto-Regressive Distributed Lag Specification.

2020 ◽  
Vol 7 (2) ◽  
pp. 86
Author(s):  
Olufemi Samuel Adegboyo
Keyword(s):  
Government Spending ◽  
Time Series Data ◽  
Capital Expenditure ◽  
Transportation Cost ◽  
Series Data ◽  
Distributed Lag ◽  
Auto Regressive ◽  
The Government ◽  
Transfer Capital ◽  
The Impact

This paper analyses the impact of government spending on poverty reducing in Nigeria for the period 1981 to 2017 making use of annual time series data. The study employs the Auto-Regressive Distributed Lag (ARDL) approach. The result of the study revealed that economic service recurrent expenditure (ESRX), social and community recurrent expenditure (SCSRX), Transfer recurrent expenditure (TRX) reduces poverty while transfer capital expenditure (TCX) and administrative recurrent expenditure (ADRX) escalate poverty. Consequently, the study recommends that Government should embark on provision of food subsidies, subsidies farm input for farmers, subsidies transportation cost. Furthermore, government should endeavor to pay pensioners all their entitlements including gratuities as at when due without any delay, government should also be giving stipend to the unemployed and disabled, more poverty alleviating programs should be organize Also, the huge cost of maintaining the government should be reduced by reducing the numbers of political appointees to a reasonable size.

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