scholarly journals The Endogenous Money Hypothesis: an Empirical Study of The Saudi Arabia

2015 ◽  
Vol 1 (03) ◽  
Author(s):  
Dr. Saud Almutair
Keyword(s):  
Saudi Arabia ◽  
Money Supply ◽  
Wald Test ◽  
Bank Loans ◽  
Long Run ◽  
Demand Deposit ◽  
Short Run ◽  
Endogenous Money ◽  
Using Data ◽  
Vector Error Correction Models

In this paper, the endogenous money supply hypothesis in Saudi Arabia is examined using data from January 1997 to February 2015. The study uses Johansen cointegration technique and Vector Error Correction models (VECM) for cointegrated series.The long run causality was found to run from bank loans (BL) and from demand deposit (TD) to the money supply (MS1), and not from MS1to BL, as the mainstream view. The endogenios money supply hypothesis is reinforced by the long run causality running from BL to TD. For MS2, the study verifies a long run causality running from BL and TD to MS2. Therefore, the money supply of Saudi Arabia whether using MS1 or MS2 is endogenous in the long run. The result of short run causality with regard of MS1 using Wald Test does not confirm money supply endogeneity in the short run. Short run causality using Granger with regard to MS2 assures short run causality running from TD and BL to MS2. The implication of this work is that Saudi monetary agency can not control the money supply in the long run. It only has some influence on MS1 in the short run.

EXOGENOUS OR ENDOGENOUS MONEY SUPPLY: EVIDENCE FROM AUSTRALIA

2012 ◽  
Vol 57 (04) ◽  
pp. 1250025 ◽  
Author(s):  
ZATUL E. BADARUDIN ◽  
AHMED M. KHALID ◽  
MOHAMED ARIFF
Keyword(s):  
Money Supply ◽  
Inflation Targeting ◽  
Correction Model ◽  
Vector Error Correction ◽  
Policy Regimes ◽  
Vector Error ◽  
Long Run ◽  
Causality Tests ◽  
Short Run ◽  
Endogenous Money

This paper investigates the nature of money supply in Australia over two separate monetary policy regimes: monetary and inflation targeting. The post-Keynesian theory on endogenous money was tested with the aim of investigating whether endogenous money supply, if it did exist, followed the accomodationist, structuralist or liquidity preference viewpoints. Data used are quarterly series from 1977 to 2007 and we used vector error-correction model for long-run and short-run causality tests. We found that money supply is endogenous in Australia even when the central bank targeted monetary aggregates during the period 1977 to 1993.

Electricity consumption and economic growth in ASEAN

2017 ◽  
Vol 5 (2) ◽  
pp. 16
Author(s):  
Ahmad Ghazali Ismail ◽  
Arlinah Abd Rashid ◽  
Azlina Hanif
Keyword(s):  
Economic Growth ◽  
Energy Use ◽  
Electricity Consumption ◽  
Panel Estimation ◽  
Real Gdp ◽  
Long Run ◽  
Bidirectional Relationship ◽  
Short Run ◽  
Using Data ◽  
The Relationship

The relationship and causality direction between electricity consumption and economic growth is an important issue in the fields of energy economics and policies towards energy use. Extensive literatures has discussed the issue, but the array of findings provides anything but consensus on either the existence of relations or direction of causality between the variables. This study extends research in this area by studying the long-run and causal relations between economic growth, electricity consumption, labour and capital based on the neo-classical one sector aggregate production technology mode using data of electricity consumption and real GDP for ASEAN from the year 1983 to 2012. The analysis is conducted using advanced panel estimation approaches and found no causality in the short run while in the long-run, the results indicate that there are bidirectional relationship among variables. This study provides supplementary evidences of relationship between electricity consumption and economic growth in ASEAN.

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.

scholarly journals Investigating Gold Investment as an Inflationary Hedge

2018 ◽  
Vol 7 (1) ◽  
pp. 30-41 ◽  
Author(s):  
Narinder Pal Singh ◽  
Navneet Joshi
Keyword(s):  
Consumer Price Index ◽  
Wald Test ◽  
Indian Culture ◽  
Vector Error Correction ◽  
Fund Managers ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
Portfolio Managers ◽  
Long Run Equilibrium

Gold and Indian culture have been sharing an age-old association. India is one of the top two consumers of gold. Gold is the most popular investment avenue because of its ability to provide liquidity. The average monthly price however has grown by 1,588 percent over the whole period from 1979 to 2017 (June). In this article, we intend to investigate gold as an investment to hedge against inflation. The sample period to study the relationship between gold and inflation is 2011–2017 (March). To analyze long-run equilibrium between gold and inflation (consumer price index [CPI]), Johansen’s cointegration approach has been used. The short- and long-run causality between gold and inflation has been studied using vector error correction model (VECM) and Wald test. The results of cointegration indicate that gold and CPI series are cointegrated and bear long-run equilibrium. Both VECM and Wald test results indicate that there is only long-run causality between CPI and gold prices. However, in short run these variables do not show any causality. Thus, we infer that gold investment can be used as hedge against Inflation. The findings of this research have got direct implications for retail investors, portfolio managers, treasury and fund managers, government, and commercial traders.

scholarly journals MONETARY POLICY AND TELECOMMUNICATION OUTPUT IN NIGERIA

2020 ◽  
Vol 3 (2) ◽  
pp. 62-73
Author(s):  
John Abiodun Akinde ◽  
Elijah Oludayo
Keyword(s):  
Monetary Policy ◽  
Money Supply ◽  
Negative Relationship ◽  
Negative Influence ◽  
Favourable Effect ◽  
Data Series ◽  
Long Run ◽  
Integration Test ◽  
Short Run ◽  
Positive Effect

Different policies impact on the growth of the telecommunication sector in Nigeria. One of these policies which influence the expansion or contraction of the telecommunication output is monetary policy. To this end, this research examined the effect of monetary policy on telecommunication output in Nigeria. For the purpose of analysis, time series secondary data were sourced from Central Bank of Nigeria (CBN) statistical bulletin covering the periods1986 to 2018. Autoregressive Distributed Lag (ARDL) technique was employed after examining the stationarity of the data series using Augmented Dickey-Fuller technique. The bound co-integration test revealed that there is long run equilibrium between the monetary policy variables employed and telecommunication output. The ARDL result revealed that money supply had significant and positive effect on telecommunication output in the short and long run; liquidity ratio produced an insignificant and negative relationship with telecommunication output in the short run and insignificant positive effect in the long run; exchange rate had insignificant negative effect in the short run and a significant positive effect on telecommunication output in the long run; consumer price index had significant negative influence on telecommunication outputboth in the short run and long run. The study concluded that monetary policy stimulates telecommunication output in Nigeria. Thus, it was recommended that the monetary authority should pursue an expansionary monetary policy to sustain the positive influence of money supply on telecommunication output in Nigeria while rolling out policy to reduce the liquidity ratio of banks in the short run but increase it in the long run so that the long term favourable effect of liquidity ratio can be felt on telecommunication output.  

scholarly journals INFLASI DARI SUDUT PANDANG MONETER DAN FISKAL (STUDI KASUS SUMATERA BARAT)

2019 ◽  
Vol 1 (1) ◽  
pp. 131
Author(s):  
Zul Azhar ◽  
Alpon Satrianto ◽  
Nofitasari Nofitasari
Keyword(s):  
Interest Rate ◽  
Money Supply ◽  
Government Spending ◽  
Descriptive Research ◽  
Distributed Lag ◽  
Long Run ◽  
Negative Effect ◽  
Short Run ◽  
The Interest Rate ◽  
Positive Effect

This study aims to analyze the effect of money supply M2, interest rate, government spending and local tax on the inflation in West Sumatera. This type of research is descriptive research and secondary datain the form of time-series from quartely 1 2007 to 2017 quartely 4 using the method of Autoregresive Distributed Lag analysis. The results of this study indicate that money supply in the long run have a significant and positive effect on inflation West Sumatera. In the short run  and long run the interest rate has a significant and positive effect on inflation in West Sumatera. Government spending in the Long run has a significant and negative effect on inflation in West Sumatera. Based on the result of this study can be concluded that there is inflation in West Sumatera is monetery of phenomenon in the long run. 

scholarly journals Investigating in the J-curve phenomenon in Tunisia- ARDL bound test approach

2020 ◽  
Vol 12 (5(J)) ◽  
pp. 23-32
Author(s):  
Elham Shubaita ◽  
Muhammad Mar’i ◽  
Mehdi Seraj
Keyword(s):  
Trade Balance ◽  
Real Exchange Rates ◽  
Distributed Model ◽  
Long Run ◽  
J Curve ◽  
Short Run ◽  
Using Data ◽  
Bound Test ◽  
The Relationship ◽  
Ardl Bound Test

This paper investigates the relationship between trade balance, real exchange rates, and incomes in Tunisia by adopting the autoregressive distributed model (ARDL) by using data over the period of 1980 to 2018. We also used the bound test cointegration between variables at a 10% significant level. Our findings show that the Tunisia economy does not match the Marshall-Lerner condition in the long run, that provides an accurate description of the particular situation for which a country currency devaluation or depreciation its currency under both fixed or floating regime is predicted to enhance the trade balance of a country, which means there is no j-curve phenomenon in the long run, which tries to differentiate between the change of short-run and long-run effects in the change of exchange rate on the trade balance. Our findings match the Marshall-Lerner condition in the short run and can confirm the existing j-curve in the case of Tunisia.

scholarly journals An econometric analysis of the effectiveness of fiscal and monetary policies in India

2021 ◽  
Author(s):  
Anand Nadar
Keyword(s):  
Economic Growth ◽  
Monetary Policy ◽  
Fiscal Policy ◽  
Money Supply ◽  
Series Data ◽  
Monetary Policies ◽  
Indian Economy ◽  
Long Run ◽  
Short Run ◽  
Bound Test

This study investigatesthe effectiveness of fiscal policy and monetary policy in India. We collected thetime series data for India ranging from 1960 to 2019 from World Development Indicator (WDI). Weapplied the bound test co-integration approach to check the long-run relationship between fiscalpolicy, monetary policy, and economic growth in the context of Indian economy. The short-run andlong-run effects of fiscal policy and monetary policy have been estimated using ARDL models. Theresults showed that there is a long-run relationship between fiscal and monetary policies witheconomic growth. The estimated short-run coefficients indicated that a few immediate short runimpacts of fiscal and monetary policies are insignificant. However, the short-run impacts becomesignificant as time passes. The long-run results suggested that the long-run impact of both fiscal andmonetary policies on economic growth are positive and significant. More specifically, the GDP levelincreases if the money supply and government expenditure increase (Expansionary fiscal andmonetary policies). On the other hand, the GDP level decreasesif the money supply and governmentexpenditure decrease (contractionary fiscal and monetary policies). Therefore, this studyrecommends to use expansionary policies to spur the Indian economy.

scholarly journals Monetary Policy Channels and Industrial Production in Pakistan: Evidences based on ARDL Approach

2020 ◽  
Vol 6 (3) ◽  
pp. 713-721
Author(s):  
Muhammad Tariq Mahmood ◽  
Sadaf Shahab ◽  
Saad Ali Rabbani
Keyword(s):  
Monetary Policy ◽  
Money Supply ◽  
Industrial Production ◽  
Industrial Sector ◽  
The Other ◽  
Economic Management ◽  
Long Run ◽  
Consumer Prices ◽  
Short Run ◽  
Bound Test

Monetary policy is a significant component of economic management, with which we can control higher inflation, boost the economic growth and stabilize the other macroeconomic activities. This study investigates the channels of monetary policy affecting the industrial production using monthly data of Pakistan. In this regard, we have applied Bound test for co-integration to investigate the dynamic behaviour of the variables. Our results indicate that the consumer prices, money supply and money market rates are negatively effective for industrial production in the short-run. On the other hand, exchange rate has positive effect in short-run. The results also indicate that there is statistically significant and positive relationship between industrial output and money supply in the long-run, too. The adjustment mechanism suggests stability in the system and is statistically significant. Our results imply that the authorities should use expansionary monetary stance through money supply channel to boost the industrial sector.

scholarly journals The Relative Importance of Health Care and Social Services for Population Health: A Time Series Investigation

2019 ◽  
Vol 11 (10) ◽  
pp. 93
Author(s):  
Benjamin Yawney ◽  
Akhter Faroque
Keyword(s):  
Health Care ◽  
Time Series ◽  
Population Health ◽  
Social Services ◽  
Health Indicators ◽  
Relative Importance ◽  
Vector Error Correction ◽  
Long Run ◽  
Short Run ◽  
Vector Error Correction Models

We study the relative importance of government health care and social services spending in the short, medium and long run across vector error correction models for six population health indicators. Each model takes into account the key time series properties of the health input and output data and also controls for the broader socio-economic, demographic, life-style and environmental determinants of health. The evidence shows that both types of spending contribute significantly to extending life expectancy and lowering mortality. However, the relative contributions of health care spending are bigger in the short run, while those of social services spending are bigger in the medium and the long run. Any policy of re-allocation of resources from health care to social services must take this trade-off into account.

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