Determinants of Inflation: Evidence from Pakistan using Autoregressive Distributed Lagged Approach

Ghumro, Niaz Hussain; Memon, Pervaiz Ahmed

doi:10.30537/sijmb.v2i1.86

Cited by 7 publications

(9 citation statements)

References 14 publications

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“…At first, this technique is generally considered than Engle and Granger (1987) and Johansen (1991) when the sample size is small (Ghatak and Siddiki, 2001), whereas the Johansen's (1991) co-integration technique requires large sample data. Second, this technique can be applied whether the variables are integrated of order I (0) or I (1) (Chang et al, 2019;Anjum et al, 2017;Bhutto and Chang, 2019;Chang, Rajput and Ghumro, 2018;Ghumro and Karim, 2017;Ghumro and Memon, 2015). On the contrary other techniques such as VECM and VAR require that all variables should be integrated of the same order (Pesaran et al, 2001).…”

Section: Model Specification and Estimation Techniquesmentioning

confidence: 99%

Dynamic analysis of the relationship between stock prices and macroeconomic variables

Chang

Meo

Syed

et al. 2019

SAJBS

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Purpose The purpose of this paper is of twofold: first, to empirically examine the short-run and long-run impact of macroeconomic variables such as industrial production, foreign direct investment (FDI), trade balance (TB), exchange rate, interest rate (IR) and consumer price index (CPI) on stock prices (SP) of KSE-100 index; and second, to examine whether this relationship changes as a result of the financial crisis. Design/methodology/approach This study uses an autoregressive distributed lag model by using the full sample period data from 1997Q3 to 2018Q2 and the post-crisis period data from 2008Q3 to 2018Q2. Moreover, it uses variance decomposition analysis to examine the importance of each variable in explaining SP. Findings The findings of the full sample period indicate that in the long run, TB, exchange rate and IR negatively affect SP whereas CPI and industrial production positively affect SP. However, the post-crisis period data indicate that only CPI positively affects the SP in the long run. Finally, variance decomposition analysis indicates 30 percent variance in SP is explained by its own shock. Practical implications The study findings suggest that macroeconomic variables have a significant role and can be considered important for taking investment and/or policy decisions. Especially, Governments and other regulators may need to take measures to increase the TB since it can help to increase the performance of the Pakistani stock market. Furthermore, investors may consider that findings change when the financial crisis has been taken into consideration. Originality/value This study uses two additional variables, namely FDI and TB by using the robust technique in the context of emerging countries like Pakistan. Furthermore, it takes into account the impact of the financial crisis on the underlying variables.

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Section: Model Specification and Estimation Techniquesmentioning

confidence: 99%

Dynamic analysis of the relationship between stock prices and macroeconomic variables

Chang

Meo

Syed

et al. 2019

SAJBS

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“…The results showed that inflation and lagged inflation played a significant impact on domestic inflation in Pakistan. Ghumro and Memon (2018) investigated the determinants of inflation evidence from Pakistan. The study concluded that `broad money supply, the exchange rate, first lags in the domestic price level, GDP, gross national expenditures and total reserves considered the important determents of inflation in Pakistan.…”

Section: Literature Reviewmentioning

confidence: 99%

Impact of Non-linear Analysis of Crude Oil Prices on Domestic Inflation in Pakistan

Abid

Ghafoor

Javed

et al. 2022

JSSR

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Post-COVID-19 outbreaks and the Russian-Ukraine war seriously disturb the energy supply chain, which causes massive inflation worldwide. This inflation badly affected developing countries because of the poor population living in these countries. This study explores the different determinants of inflation in Pakistan by considering the global crude oil prices (COP) energy prices by using the annual time series data from 1980 to 2020. This study measured inflation by using CPI as the dependent variable, while COP was the key independent variable by controlling the exchange rate, GDP, and remittances. The empirical results are estimated by using the non-linear ARDL econometric approach. The study proposes the U-shaped relationship of COP with CPI. Furthermore, foreign remittance and GDP per capita also contribute to domestic inflation. The present study suggests that government should take steps to decrease dependence on imported energy resources to make Pakistan prosperous.

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“…Serilerin I(2) ikinci dereceden bütünlenen olmaması söz konusu yöntemin kullanılabilmesi için bir ön koşuldur. Çoğu kez seriler farklı dereceden bütünlenen oldukları için ARDL modelinin kullanılması uygundur (Chang vd., 2019;Anjum vd., 2017;Chang & Rajput, 2018;Ghumro & Memon, 2015). Diğer yandan gözlem sayısının az olduğu durumlarda da etkin ve tutarlı sonuçlar elde edilebilmektedir (Narayan & Narayan, 2004).…”

Section: Metodoloji Ve Bulgularunclassified

Covid -19 Pandemi Sürecinde Döviz Kurunun Büyüme Üzerindeki Etkisi: Kırgızistan Örneği

ÖSKÖNBAYEVA¹,

Najimudinova²

2022

javs

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Özet 2019 yılında Çin'in Wuhan şehrinde ortaya çıkan Covid-19 virüsü kısa zamanda tüm dünyaya yayılmıştır. Söz konusu salgın tüm ülkelerin makro iktisadi performansını derinden etkilemiştir. Covid-19'un iktisadi etkileri sektörler ve ülkeler arasında önemli derecede hissedilmektedir. Pandemi sağlık başta olmak üzere hayatımızın tüm alanlarını olumsuz etkilemeye devam etmektedir. Alınan tedbirlere rağmen Covid-19 dünya ekonomilerini ciddi bir durgunluğa sürüklemeye devam etmektedir. Bu çalışmada Covid-19 döneminde Kırgızistan'da döviz kurunda meydana gelen değişimlerin iktisadi büyüme üzerindeki etkisini incelemektir. Bu amaç doğrultusunda söz konusu ülkenin 2018-2020 dönemine ait aylık verileri kullanılmıştır. İktisadi büyüme ve döviz kuru değişkenleri Kırgız Cumhuriyeti Merkez Bankası veri tabanından temin edilmiştir. Ampirik uygulamada Pesaran ve Shin (1999) ve Pesaran ve diğerleri (2001) tarafından geliştirilen ARDL (Gecikmesi Dağıtılmış Otoregresif Model) sınır testi yaklaşımı uygulanmıştır. Elde edilen bulgular ışığında Kırgızistan'da Covid-19 döneminde döviz kurunun iktisadi büyümeyi önemli düzeyde etkilediği söylenebilir. Araştırma bulgularının, Covid-19 döneminde döviz kurunun ekonomik büyüme üzerindeki etkilerine ışık tutacağı düşünülmektedir.

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Determinants of Inflation: Evidence from Pakistan using Autoregressive Distributed Lagged Approach

Cited by 7 publications

References 14 publications

Dynamic analysis of the relationship between stock prices and macroeconomic variables

Dynamic analysis of the relationship between stock prices and macroeconomic variables

Impact of Non-linear Analysis of Crude Oil Prices on Domestic Inflation in Pakistan

Covid -19 Pandemi Sürecinde Döviz Kurunun Büyüme Üzerindeki Etkisi: Kırgızistan Örneği

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