scholarly journals Inflation, Globalization and Interest Rate Nexus to Curb Price volatility: An Empirical Cross-Country Analysis

2020 ◽  
Vol V (I) ◽  
pp. 153-165
Author(s):  
Arshi Shahid ◽  
Hafiz Khalil Ahmad ◽  
Saima Liaqat
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Policy Instruments ◽  
Price Volatility ◽  
Output Gap ◽  
Domestic Output ◽  
Panel Data Estimation ◽  
Long Run ◽  
Dynamic Heterogeneous Panel ◽  
The Impact

The aim of the present study is to investigate the long run impact of monetary policy and globalization on inflation in the selected South and South East Asian countries. The study measures the impact of monetary policy variables on inflation, ignoring random shocks as these are considered fewer fractions for the inconsistency of the policy instruments. Two exclusive dimensions, defacto and dejure measure of globalization, are taken into account. The study also employed Hodrick Prescott filter to calculate the domestic output gap in order to assess that still changes in domestic output gap is relevant to inflation variation. It employed structural modeling dynamic heterogeneous Panel data estimation technique, which accounts for endogeneity and serial correlation issues. The results of the study confirm that both global and domestic factors have significant and descriptive power for domestic inflation and interest rate is found to be a best nominal anchor to effect inflation.

Inflation Dynamics, Globalization and Monetary Policy: Empirical Evidence from Selected South and Southeast Asian Countries

2020 ◽  
Vol 16 ◽  
Author(s):  
Arshi Shahid ◽  
◽  
Shabib Syed ◽  
Hafiz Ahmad
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Policy Instruments ◽  
Output Gap ◽  
Domestic Output ◽  
Panel Data Estimation ◽  
Dynamic Heterogeneous Panel ◽  
The Interest Rate ◽  
Nominal Anchor ◽  
The Impact

The present study investigated the impact of monetary policy and globalization on inflation. The study utilized an updated measure of globalization along with two other dimensions i.e., de facto and de jure measure of globalization to examine the nature of the globalization-inflation relationship. It measures the impact of monetary policy variables on inflation, ignoring random shocks as these are considered minor fractions for the inconsistency of the policy instruments. The study also used the Hodrick Prescott filter to calculate the domestic output gap to assess the notion that the changes in the domestic output gap are still relevant to inflation variations in the presence of globalization. Structural modeling of dynamic heterogeneous panel data estimation technique, which accounts for endogeneity and serial correlation issues has also been employed. The results of the study confirm that both global and domestic factors have significant and descriptive power for domestic inflation. Furthermore, the interest rate is found to be a major nominal anchor to affect inflation. The results of panel causality showed that there exists bidirectional causality from inflation to interest rate, while mixed results were found for analyzing monetary aggregates, exchange rate, globalization, and domestic output gap relationships.

scholarly journals Respons Of Islamic Stock Markets To Monetary Policy Empirical Evidence from Indonesia

2019 ◽  
Vol 1 (1) ◽  
pp. 35-46
Author(s):  
Muhammad Rasyidin ◽  
Zunaidah Sulong
Keyword(s):  
Economic Growth ◽  
Monetary Policy ◽  
Stock Market ◽  
Significant Relationship ◽  
Policy Instruments ◽  
Capital Formation ◽  
Alternative Source ◽  
Market Strategy ◽  
Long Run ◽  
The Impact

AbstractPurpose - The impact of stock market and capital formation on economic growth in Indonesia for the period of January 2015 – May 2019. This paper examines a long-run equilibrium relation between stock market, capital formation and economic growth and other control variables.Method - This study uses autoregressive distributed lag (ARDL) model.Result - Findings revealed that none of the models was stationary at level but were all stationary at first difference. There is not a short run significant relationship between stock market, capital formation and economic growth in Indonesia. In the long run, capital formation has a significant positive association on economic growth and a negative non-significant relationship between stock market and economic growth in Indonesia.Implication - This research is useful to know the response of Sharia market to monetary policy instruments in Indonesia so that the Sharia stock market strategy is potentially developing in the future to encourage the achievement of characteristics such as An alternative source of financing and investment for economic actors and able to facilitate risk mitigation needs for market participants and able to drive the efficiency of transactions in the market through the improvement of the quality of stock market infrastructure Sharia.  Originality - The update of this research is response of Sharia stock market response to monetary policy instruments in Indonesia that are researched using ARDL models.

scholarly journals Respons Of Islamic Stock Markets To Monetary Policy Empirical Evidence from Indonesia

2019 ◽  
Vol 1 (1) ◽  
pp. 35
Author(s):  
Muhammad Rasyidin ◽  
Zunaidah Sulong
Keyword(s):  
Economic Growth ◽  
Monetary Policy ◽  
Stock Market ◽  
Significant Relationship ◽  
Policy Instruments ◽  
Capital Formation ◽  
Alternative Source ◽  
Market Strategy ◽  
Long Run ◽  
The Impact

<p class="StyleIABSSSLatinBoldGray-80">Abstract</p><p class="IABSSS"><strong>Purpose</strong> - The impact of stock market and capital formation on economic growth in Indonesia for the period of January 2015 – May 2019. This paper examines a long-run equilibrium relation between stock market, capital formation and economic growth and other control variables.</p><p class="IABSSS"><strong>Method</strong><strong> </strong>- This study uses autoregressive distributed lag (ARDL) model.</p><p class="IABSSS"><strong>Result</strong><strong> </strong>- Findings revealed that none of the models was stationary at level but were all stationary at first difference. There is not a short run significant relationship between stock market, capital formation and economic growth in Indonesia. In the long run, capital formation has a significant positive association on economic growth and a negative non-significant relationship between stock market and economic growth in Indonesia.</p><p class="IABSSS"><strong>Implication</strong> - This research is useful to know the response of Sharia market to monetary policy instruments in Indonesia so that the Sharia stock market strategy is potentially developing in the future to encourage the achievement of characteristics such as An alternative source of financing and investment for economic actors and able to facilitate risk mitigation needs for market participants and able to drive the efficiency of transactions in the market through the improvement of the quality of stock market infrastructure Sharia.  </p><p><strong>Originality</strong> - The update of this research is response of Sharia stock market response to monetary policy instruments in Indonesia that are researched using ARDL models.</p>

scholarly journals Implication of Monetary Policy Rate and Interest Rate on Exchange Rate in Nigeria: 1981-2017

2019 ◽  
pp. 1-11
Author(s):  
Nnamani, Vincent ◽  
Anyanwaokoro, Mike
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Statistical Tool ◽  
Long Run ◽  
The Exchange Rate ◽  
The Impact

The study investigated the implication of monetary policy rate on the exchange rate and interest rate in Nigeria, 1981-2017. Because of the above-stated problems, the specific objectives are to: Investigate the effect of monetary policy rate on the exchange rate in Nigeria, determine the effect of the monetary policy rate on interest rate in Nigeria. The analysis of error correction and autoregressive lags fully covers both long-run and short-run relationships of the variable under study. The statistical tool of analysis employed in the study is Autoregressive Distributed Lags (ARDL) and Philips Peron method of stationary testing and structural breakpoint unit root test., these methods were employed to check the stationarity and breakpoint analysis of the time series data employed in this study. The study observed that monetary policy rate has a positive and significant effect on the exchange rate in Nigeria. It was also observed that the monetary policy rate has a positive and significant effect on the interest rate in Nigeria. Overall, our results indicated that the impact of monetary policy on the exchange rate was significant. There was a positive and significant relationship between monetary policy variables and exchange rate. The conclusion that is drawn from our results is that monetary policy remains an effective and potent tool for ensuring a stable exchange rate in Nigeria. The study recommended that monetary policy should be used to create a favourable investment environment by facilitating the emergence of market-based interest rate and exchange rate regimes which could attract domestic and foreign investments. Second; the Central bank of Nigeria (CBN) need to avoid ordination and balance between monetary and fiscal policies to ensure the smooth realization of monetary policy goals. Policy inconsistency or summersault to determine its policy impact before contemplating a change. Finally, there should be a coo.

scholarly journals Assessing the Role of Money versus Interest Rate in Pakistan

2020 ◽  
Vol 59 (1) ◽  
pp. 101-114
Author(s):  
Zafar Hayat ◽  
Muhammad Nadim Hanif
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Relative Effectiveness ◽  
Policy Instruments ◽  
Jel Classification ◽  
Short Term ◽  
Price Puzzle ◽  
The Interest Rate ◽  
The Impact

We have empirically examined the role of monetary aggregate(s) vis-à-vis short-term interest rate as monetary policy instruments, and the impact of State Bank of Pakistan’s transformation into the latter on their relative effectiveness in terms of inflation in Pakistan. Using indicators of ‘persistent changes’ in the underlying behaviours of variables of interest, we found that broad money consistently explains inflation in (i) monetary (ii) transitory and (iii) interest rate regimes. Though its role has receded while moving from the transition to the interest rate regime, the interest rate instrument seems to be positively related to inflation, a phenomenon commonly known as price puzzle. In light of these findings, we recommend that the role of money should not be completely de-emphasised. JEL Classification: E31, E52. Keywords: Monetary Policy Instruments, Price Puzzle, ARDL, Pakistan

scholarly journals The Sectoral Impact of Monetary Policy Transmission in India: A Panel VAR Approach

2019 ◽  
Vol 5 (1) ◽  
pp. 63-77
Author(s):  
Taniya Ghosh
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Weak Link ◽  
Bank Lending ◽  
Panel Var ◽  
Informal Credit ◽  
Long Run ◽  
Monetary Policy Shock ◽  
The Impact ◽  
Panel Vector Autoregression

A structural panel vector autoregression (VAR) analysis is done to analyze the impact of monetary policy shock on people associated with various occupations. To understand the efficacy of bank lending channel, it is important to capture the differential occupation-wise effect of interest rate. The article finds that due to a monetary policy shock, the impulse responses capture the movement of loans in theoretically expected direction in most cases. The Granger causality tests successfully establish the long-run relationship between loans and interest rate. Also, the empirical results of good-performing states support the direct link between greater financial penetration and higher economic activity. Monetary policy shock significantly affects the lending behavior in all the sectors, except in agriculture and personal loans sector. The weak link of transmission in these sectors is mainly attributed either to lack of access to formal credit or a preference to informal credit sources over banks.

Effects of monetary policy on economic growth in Zimbabwe

GIS Business ◽  
2019 ◽  
Vol 14 (5) ◽  
pp. 64-95
Author(s):  
David Damiyano ◽  
Nirmala Dorasamy
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Money Supply ◽  
Relevant Literature ◽  
Government Expenditure ◽  
Impulse Response Functions ◽  
Explanatory Variables ◽  
Real Gdp ◽  
Long Run ◽  
The Impact

This research examines the hypothesis of money neutrality in Zimbabwe. After studying the relevant literature on the effects of changes in money supply on real variables, it outlines the research design for a macro-level study on the impact of changes in money supply on real variables. The hypothesis is that there is a positive relationship between money supply and real variables (GDP). The researcher used real GDP as the dependent variable whilst money supply (M3), interest rate and government expenditure were used as explanatory variables. A VAR model has been applied using the country’s macroeconomic data from 1990 to 2017 which was obtained from ZIMSTATS and World Bank Open Data website. Impulse response functions and variance decomposition were used to analyse the impact of the explanatory variables on real GDP. The results suggest that money positively affects real GDP in the short run but in the long it is insignificant in influencing real output. This means that in Zimbabwe, money is non-neutral in the long run, but it is neutral in the long run. Government expenditure has an insignificant influence on GDP both in the short and long run whilst interest rate has a positive effect on GDP in the long run. The recommendations which were given are that the government; should use expansionary monetary policy to increase real GDP, demonetise the bond note as well as the RTGS and adopting the Rand, curbing inflation through increasing production and ensuring transparency in the manner in which loans are given.

Dampak Kebijakan Moneter Pada Output Di Negara-Negara ASEAN Tahun 1980-2014

2017 ◽  
Vol 4 (1) ◽  
pp. 58-70
Author(s):  
Nur Widiastuti
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Fixed Effects ◽  
Empirical Studies ◽  
Negative Relationship ◽  
Least Square ◽  
Fixed Effects Model ◽  
State Data ◽  
Ordinary Least Square ◽  
The Impact

The Impact of monetary Policy on Ouput is an ambiguous. The results of previous empirical studies indicate that the impact can be a positive or negative relationship. The purpose of this study is to investigate the impact of monetary policy on Output more detail. The variables to estimatate monetery poicy are used state and board interest rate andrate. This research is conducted by Ordinary Least Square or Instrumental Variabel, method for 5 countries ASEAN. The state data are estimated for the period of 1980 – 2014. Based on the results, it can be concluded that the impact of monetary policy on Output shown are varied.Keyword: Monetary Policy, Output, Panel Data, Fixed Effects Model

Volatility integration of gold and crude oil prices with the interest rates in India

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shailesh Rastogi ◽  
Adesh Doifode ◽  
Jagjeevan Kanoujiya ◽  
Satyendra Pratap Singh
Keyword(s):  
Interest Rate ◽  
Crude Oil ◽  
Interest Rates ◽  
Global Economy ◽  
Spillover Effect ◽  
Price Volatility ◽  
Volatility Spillover ◽  
Content Type ◽  
Crude Oil Prices ◽  
The Impact

PurposeCrude oil, gold and interest rates are some of the key indicators of the health of domestic as well as global economy. The purpose of the study is to find the shock volatility and price volatility effects of gold and crude oil market on interest rates in India.Design/methodology/approachThis study finds the mutual and directional association of the volatility of gold, crude oil and interest rates in India. The bi-variate GARCH models (Diagonal VEC GARCH and BEKK GARCH) are applied on the sample data of gold price, crude oil price and yield (interest rate) gathered from November 30, 2015 to November 16, 2020 (weekly basis) to investigate the volatility association including the volatility spillover effect in the three markets.FindingsThe main findings of the study focus on having a long-term conditional correlation between gold and interest rates, but there is no evidence of volatility spillover from gold and crude oil on the interest rates. The findings of the study are of great importance especially to the policymakers, as they state that the fluctuations in prices of gold and crude oil do not adversely impact the interest rates in India. Therefore, the fluctuations in prices of gold and crude may generally impact the economy, but it has nothing to do with interest rate in particular. This implies that domestic and foreign investments in the country will not be affected by gold and crude oil that are largely driven by interest rates in the country.Practical implicationsGold and crude oil are two very important commodities that have their importance not only for domestic affairs but also for international business. They veritably influence the economy including forex exchange for any nation. In addition to this, the researchers believe the findings will provide insights to policymakers, stakeholders and investors.Originality/valueGold and crude oil undoubtedly influence the exchange rates but their impact on the interest rates in an economy is not definite and remains ambiguous owing to the mixed findings of the studies. The lack of studies related to the impact of gold and crude oil on the interest rates, despite them being essentials for the health of any economy is the main motivation of this study. This study is novel as it investigates the volatility impact of crude oil and gold on interest rates and contributes to the existing literature with its findings.

scholarly journals The impact of Musharakah financing on the monetary policy in the Islamic economy

2018 ◽  
Vol 3 (3/4) ◽  
pp. 139-152
Author(s):  
Hatem Adela
Keyword(s):  
Economic Theory ◽  
Monetary Policy ◽  
Interest Rate ◽  
Economic Activity ◽  
Methodological Framework ◽  
Mathematical Methods ◽  
Content Type ◽  
Return Rates ◽  
The Interest Rate ◽  
The Impact

Purpose This paper aims to contribute to formulating the methodological framework for a paradigm of Islamic economics, using the development of the conventional economics, theoretical and mathematical methods. Design/methodology/approach The study based on the inductive and mathematical methods to contribute to economic theory within the methodological framework for Islamic Economics, by using the return rate of Musharakah rather than the interest rate in influence the economic activity and monetary policy. Findings Via replacement, the concept of the interest rate by the return rates of Musharakah. It concludes that the central bank can control the monetary policy, economic activity and the efficient allocation of resources by using the return rates of Musharakah through the framework of Islamic economy. Practical/implications The study is a contribution to formulate the methodological framework for a paradigm of Islamic economics, where it investigates the impact of return rates of Musharakah on the money market and monetary policy, by the mathematical methods used in the conventional economy. Also, the study illustrates the importance of further studies that examine the methodological framework for Islamic Economics. Originality/value The study aims to contribute to formulating the Islamic economic theory, through the return rate of Musharakah financing instead of the interest rate, and its effectiveness of the monetary policy. As well as reformulating the concepts of the investment function, the present value and the marginal efficiency rate of investment according to the Islamic economy approach.

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