Theoretical and Applied Economics
No. 3 / 2018 (616), Autumn
Exchange rate pass-through to macroeconomic indicators using Vector Auto Regression: Empirical evidence from Pakistan
Shaheed Zulfikar Ali Bhutto Institute of Science & Technology (SZABIST), Pakistan
Muhammad OWAIS
Sui Southern Gas Company Ltd., Pakistan
Sandhya KUMARI
MCB Arif Habib Ltd., Pakistan
Rohit RAJJANI
Torrens University Brisbane, Australia
Abstract. This study aims to examine the exchange rate pass-through to oil prices, import prices, money supply, consumer prices and interest rate in the context of Pakistani economy. By using, monthly data from July 2005 to December 2015, unrestricted VAR model is employed as suggested by McCarthy (2000). This study looks at the degree and existence of causality or shock between variables/series. The major shock was seen in money supply by one unit point in exchange rate and less impact of impulse response was seen in discount rate, consumer prices and oil prices. It was also found that causality exists between exchange rate and money supply and discount rate. Furthermore variance decomposition results indicate that nominal exchange rate was explained mainly by money supply shocks which were contributing to 15.10% at a lag period of 12. For the Consumer price index variance decomposition was around 7.19%, for discount rate and oil prices it was 3.4% and 3% respectively at the optimal lags selected for 12 periods. This study helps policymakers to take steps according to the extent of shocks caused in different times.
Contents
Private brand – differentiating concept and source of stimulation of the Romanian retail trade
Macroeconomic determinants of the labour share of income: Evidence from OECD economies
Analysis of the investments made on the Romanian capital market by the privately managed pension funds – Pillar II
Exchange rate pass-through to macroeconomic indicators using Vector Auto Regression: Empirical evidence from Pakistan
Analysis of the educational activity in Romania
Macroeconomic variables and stock prices in emerging economies: A panel analysis
Consumerism and exclusion in a throw-away culture
The effects of microeconomic factors on the stock market: A panel for the stock exchange in Istanbul ARDL analysis
Return, shock and volatility spillovers between the bond markets of Turkey and developed countries
Causal relationship between internet use and economic development for selected Central Asian economies
Financial sector development and the poor in developing countries: revisiting the access to finance channel
Impact of unbalanced economic growth to dynamic trade specialization
Base erosion and profit shifting in multinational corporations