scholarly journals Towards inflation targeting in Egypt: the relationship between exchange rate and inflation

2012 ◽  
Vol 15 (3) ◽  
pp. 325-332 ◽  
Author(s):  
Aliaa Khodeir
Keyword(s):  
Exchange Rate ◽  
Inflation Targeting ◽  
Price Index ◽  
Consumer Price Index ◽  
Wholesale Price ◽  
Strong Relationship ◽  
Causality Test ◽  
Wholesale Price Index ◽  
Exchange Rate Movements ◽  
The Relationship

Since the Egyptian economy has recently moved towards inflation targeting, it became very important to know whether exchange rate movements have serious inflationary implications or not. To investigate this subject, the study aims to analyse the relevance of inflation with the exchange rate by using the Granger-causality test. Two indicators of inflation will be used, the consumer price index (CPI) and wholesale price index (WPI). In general, the results show a strong relationship between the two variables in a way that may give support to the application of ‘flexible inflation targeting regime instead of strict inflation targeting regime’.

scholarly journals The Indian Inflation 2006–2016: An Econometric Investigation

2019 ◽  
Vol 20 (1) ◽  
pp. 46-69 ◽  
Author(s):  
Paramita Mukherjee ◽  
Dipankor Coondoo
Keyword(s):  
Coming Out ◽  
Price Index ◽  
Consumer Price Index ◽  
Wholesale Price ◽  
Policy Implications ◽  
Fuel Price ◽  
Relative Prices ◽  
Wholesale Price Index ◽  
The Relationship

Recently several changes have been adopted in the conduct of monetary policy in India, like tracking CPI (Consumer Price Index), targeting inflation and so on. However, certain curious features of inflation may have some implications on the effectiveness of such measures. This article tries to explore the nature of inflation during the last decade. There are certain views about the nature of Indian inflation from the structuralist perspective. This article contributes to the literature by empirically testing those propositions and coming out with some significant policy implications. The article is based on monthly data from January 2006 to March 2016. By employing econometric techniques like cointegration and vector autoregression (VAR), the article tries to explain the movements of different components of WPI (Wholesale Price Index) and CPI inflation, both core and headline inflation and how they are related to macroeconomic policy variables. The empirical analyses focus on finding out the existence of co-movements among the inflation and macroeconomic variables, explaining the role of components like food and fuel price in driving CPI and WPI. The results have some important policy implications. First, the movements of WPI and CPI and their headline and core counterparts are not explained by same set of variables. Second, food inflation is not explained by agricultural output pointing to the insufficient increase in supply in agriculture. Third, the determinants of CPI headline and core inflation are not same. So, both of them should be tracked while formulating policies. The relationship among the components of inflation point to the possibility of some adjustment in demand from one set of goods to another, implying adjustments in terms of relative prices which needs further exploration. JEL: E31, E52, C32

scholarly journals EXCHANGE RATE PASS — THROUGH TO DOMESTIC PRICES: EVIDENCE FROM PAKISTAN

2019 ◽  
Vol 2 (1) ◽  
pp. 1-14
Author(s):  
FARHAN AHMED SHAIKH ◽  
SYED MUHAMMAD AHSAN HUSSAIN
Keyword(s):  
Exchange Rate ◽  
Impulse Response ◽  
Price Index ◽  
Consumer Price Index ◽  
Wholesale Price ◽  
Variance Decomposition ◽  
Wholesale Price Index ◽  
Domestic Prices ◽  
Pass Through ◽  
Exchange Rate Pass Through

Exchange Rate Pass — Through is the phenomena that explains to what extent the movements in exchange rate affect macroeconomic variables of any economy. This paper analyses the movements of exchange rate that has affected on wholesale price index, consumer price index, large scale manufacturing, fuel and lightening and the growth of money supply. The data from June 2005 to June 2011 is analyzed by using the econometric framework. In this study, the econometric model, recursive VAR, suggested by McCarthy (2000), is applied in order to measure the movements of exchange rate pass — through to domestic prices by using the impulse response function and variance decomposition. In this study, the results of the impulse response have shown that impact of exchange rate pass through is high on wholesale price index. While the results of the impulse response have shown that the impact of exchange rate pass through is much lower for Consumer Price Index. The result of the variance decomposition has shown that the variance decomposition is indicating that for the CPI variance decomposition is as much as the 5.48 percent. For the WPI the variance decomposition is as much as 10.15 percent and the other variations are explained by the other independent variables.

scholarly journals Analisis Indeks Harga Konsumen di Indonesia Melalui Pendekatan Kointegrasi

2019 ◽  
Vol 4 (2) ◽  
pp. 110-118
Author(s):  
Muhamad Muin ◽  
Keyword(s):  
Exchange Rate ◽  
Empirical Study ◽  
Money Supply ◽  
Price Index ◽  
Consumer Price Index ◽  
Data Series ◽  
Short Term ◽  
Monthly Data ◽  
The Relationship

This study aims to analyze the relationship between the rupiah exchange rate (RER) and the money supply (M1) on the outgrowth of the consumer price index (CPI) in Indonesia. The data used in this study are monthly data series from January 2005 to January 2019. The results of this empirical study shows that there is a relationship between RER and M1 on CPI in the long term and there is a correction in the short term balance (ECM) which is influenced by M1. All of these variables are significant at α = 5% and partly significant at α = 1%.

ON SINGAPORE DOLLAR–U.S. DOLLAR AND PURCHASING POWER PARITY

2004 ◽  
Vol 49 (01) ◽  
pp. 71-84 ◽  
Author(s):  
VENUS KHIM-SEN LIEW ◽  
AHMAD ZUBAIDI BAHARUMSHAH ◽  
KIAN-PING LIM
Keyword(s):  
Exchange Rate ◽  
Price Index ◽  
Consumer Price Index ◽  
Smooth Transition ◽  
Adjustment Process ◽  
Economic Implications ◽  
Dollar Exchange Rate ◽  
Non Linear ◽  
Index Ratio ◽  
The Relationship

This study re-examines the validity of the relationship between the Singapore dollar–U.S. dollar exchange rate and relative prices using the latest econometric methodologies that account for non-linearity. Among others, this study finds Exponential Smooth Transition Autoregressive (ESTAR)-type non-linear mean-reverting adjustment process of the nominal Singapore dollar–U.S. dollar rate towards the consumer price index ratio. Unlike previous findings of a linear cointegration relationship between the nominal Singapore dollar–U.S. dollar exchange rate and consumer price index ratio, this study shows that the relationship is in fact non-linear in nature. The major economic implications of our findings are: (1) policy makers need to take non-linearity into consideration in their policy decisions; (2) the Monetary Authority of Singapore (MAS) is able to maintain the macroeconomic equilibrium despite the authority's strong dollar policy; and (3) one should keep track of Singapore's monetary policy and other innovations in aggregate demand in order to closely monitor the movement of the Singapore exchange rate.

scholarly journals ESTIMATION OF LONG-RUN RELATIONSHIP OF INFLATION (CPI & WPI), AND OIL PRICES WITH KSE-100 INDEX: EVIDENCE FROM JOHANSEN MULTIVARIATE COINTEGRATION APPROACH

2017 ◽  
Vol 23 (4) ◽  
pp. 567-588 ◽  
Author(s):  
Rizwan RAHEEM AHMED ◽  
Jolita VVEINHARDT ◽  
Dalia ŠTREIMIKIENĖ ◽  
Saghir Pervaiz GHAURI ◽  
Nawaz AHMAD
Keyword(s):  
Crude Oil ◽  
Price Index ◽  
Consumer Price Index ◽  
Wholesale Price ◽  
Impulse Response Function ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Long Run ◽  
Wholesale Price Index ◽  
Relationship Of

This research is an attempt to framework the applied strides to evaluate the long run relationship among commonly used inflation proxies induces such as, wholesale price index (WPI) and consumer price index (CPI), and crude oil price (COP) with KSE100 index returns. In this research we used monthly data for the time period from July 1995 to June 2016, and thus, in this way total 252 observations have been considered. Time series have been made stationary by applying ADF and PP tests at first difference. Johansen multivariate conintegration approach was used to test the long-term association amongst the considered macroeconomic variables. The results indicated that CPI and COP significantly affect KSE100 index returns that indicated CPI along with COP have foreseen power to impact KSE100 index. In contrary, the results of WPI and COP do not have long run relationship with KSE100 index in case of Pakistani economy. Results of variance decomposition exhibited that the index of LKSE100 was realistically rarer exogenous in connection to distinctive factors, as around 92.31% of its variation was explained due to its own specific shocks. It is concluded that CPI and COP can impact the KSE100 index returns. It is confirmed by the results of impulse response function that there is a positive and long run relationship between KSE100 returns and consumer price index (proxy of inflation) and international crude oil prices.

scholarly journals Impact of Macroeconomic Variables on Small, Mid and Large Cap Stocks: A Comparative Study of India Using VAR Approach

2018 ◽  
Vol 5 (01) ◽  
Author(s):  
Shukrant Jagotra ◽  
Amanpreet Singh
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Stock Prices ◽  
Wholesale Price ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Wholesale Price Index ◽  
Augmented Dickey Fuller ◽  
Short Run ◽  
Indian Stock Market

The study examines and compares the relationships between Indian stock market indices (BSE Small, Mid and Large Cap) and five macroeconomic variables (Index of Industrial Production, Wholesale Price Index, Money Supply M3, Exchange Rate and Call Money Rate) over the period April 2006 to March 2017. The study applies Augmented-Dickey Fuller test to test the data stationarity. The analysis reveals that data is neither found to be stationary at level nor co-integrated. Hence, the study applies unrestricted Vector Autoregression (VAR) model to establish the short-run relationships. It is observed that macroeconomic variables significantly impact stock prices depending upon the type of index. As per the Granger Causality test, the study found unidirectional relationship from Exchange Rate to BSE Small Cap; unidirectional relationship from Exchange Rate to BSE Mid Cap and BSE Mid Cap towards IIP; bidirectional relationship between BSE Large Cap and Exchange Rate whereas unidirectional relationship from BSE Large Cap to IIP and from Money Supply M3 towards BSE Large Cap.

scholarly journals Macroeconomic Dynamics of Foreign Direct Investment in India: An Empirical Analysis

2018 ◽  
Vol 5 (2) ◽  
Author(s):  
Tom Jacob ◽  
Thomas Paul Kattookaran
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Industrial Production ◽  
Direct Investment ◽  
Price Index ◽  
Correction Term ◽  
Trade Openness ◽  
Wholesale Price ◽  
Wholesale Price Index ◽  
Bound Test

For the past few years, Foreign Direct Investment (FDI) has become the indicator for Economic Growth, especially in emerging economies. This paper empirically investigates the determinants of FDI flows in India by employing the Auto Regressive Distributed Lag (ARDL) model. The result confirm the existence of a long run equilibrium between the FDI and five explanatory variables, namely exchange rate, Wholesale Price Index, Index of Industrial Production, Trade openness and dummy variable (financial crisis). India’s Wholesale Price Index, Exchange Rate volatility and Index of Industrial Production have positively influence the flow of FDI in India and Trade Openness is negatively significant for the flow of FDI in India. The coefficient of the Error Correction Term (ECT) is highly significant with expected sign, which confirm the result of bound test for co-integration. The cumulative sum of recursive residual (CUSUM) test is used for measuring the stability of the model.

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