International Business Management

Year: 2015
Volume: 9
Issue: 5
Page No. 666 - 675

Evidence on Real Exchange Rate-Inflation Causality: An Application of Toda-Yamamoto Dynamic Granger Causality Test

Authors : Mohammed Umar and Jauhari Dahalan

References

Achsani, N.A., F.A. Fauzi and P. Abdullah, 2010. The relationship between inflation and real exchange rate: Comparative study between Asean+3, the EU and North America. Eur. J. Econ. Finance Admin. Sci., 18: 20-28.

Arabi, K.A.M., 2012. Estimation of exchange rate volatility via GARCH model: Case study sudan (1978-2009). Int. J. Econ. Finance, 4: 183-192.
CrossRef  |  Direct Link  |  

Arize, A.C. and J. Malindretes, 1997. Effects of exchange-rate variability on inflation variability: Some additional evidence. Applied Econ. Lett., 4: 453-457.
CrossRef  |  Direct Link  |  

Cairns, J., C. Ho and R. McCaulay, 2007. Exchange rates and global volatility: Implications for Asia-pacific currencies. BIS Quarterly Review, March, pp: 41-52.

Cassel, G., 1918. Abnormal deviations in international exchanges. Econ. J., 28: 413-415.
CrossRef  |  Direct Link  |  

Cassel, G., 1921. The World's Monetary Problems. Constable and Co., London.

Chen, S.L. and J.L. Wu, 2001. Sources of real exchange-rate fluctuations: Empirical evidence from four pacific basin countries. Southern Econ. J., 67: 776-787.
CrossRef  |  Direct Link  |  

Dickey, D.A. and W.A. Fuller, 1979. Distribution of the estimators for autoregressive time series with a unit root. J. Am. Stat. Assoc., 74: 427-431.
CrossRef  |  Direct Link  |  

Dornbusch, R., 1976. Expectations and exchange rate dynamics. J. Political Econ., 84: 1161-1176.

Efron, B., 1979. Bootstrap methods: Another look at the jackknife. Ann. Stat., 7: 1-26.
CrossRef  |  Direct Link  |  

Einzig, P., 1935. Theexchange Clearing System. Macmillan and Co. Ltd., London.

Emmanuel, U.C., 2013. Accumulation of external reserves and effects on exchange rates and inflation in Nigeria. Int. Bus. Manage., 6: 105-114.
CrossRef  |  Direct Link  |  

Frankel, J., 1976. A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence. In: The Economics of Exchange Rates, (collected works of Harry Johnson G): Selected Studies, Frenkel, J.A. and H.G. Johnson (Eds.). Routledge, USA., pp: 1-46.

Frankel, J.A., 1976. On the mark: A theory of floating exchange rates based on real interest differentials. Am. Econ. Rev., 69: 610-622.
Direct Link  |  

Frankel, J.A., 1982. In search of the exchange risk premium: A six-currency test assuming mean-variance optimization. J. Int. Money Finance, 1: 255-274.
CrossRef  |  Direct Link  |  

Granger, C.W.J. and P. Newbold, 1974. Spurious regressions in econometrics. J. Econom., 2: 111-120.
Direct Link  |  

Granger, C.W.J., 1969. Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37: 424-438.
Direct Link  |  

Granger, C.W.J., 1980. Testing for causality: A personal viewpoint. J. Econ. Dyn. Control, 2: 329-352.
CrossRef  |  Direct Link  |  

Granger, C.W.J., 1988. Some recent development in a concept of causality. J. Econometrics, 39: 199-211.
CrossRef  |  Direct Link  |  

Guru-Gharana, K.K., 2012. Econometric investigation of relationships among export, FDI and growth in India: An application of Toda-yamamoto-dolado-lutkephol granger causality test. J. Dev. Areas, 46: 231-247.

Hacker, R.C. and J.A. Hatemi, 2003. Test for causality between integrated variables using asymptotic and bootstrap distributions. Working Paper No. 2003:02, Department of Statistics, Lund University.

Hacker, R.S. and J.A. Hatemi, 2006. Tests for causality between integrated variables using asymptotic and bootstrap distributions: Theory and application. Applied Econ., 38: 1489-1500.
CrossRef  |  Direct Link  |  

Hacker, R.S. and J.A. Hatemi, 2010. HHcte: Gauss module to apply a bootstrap test for causality with endogenous lag order. Statistical Software Components G00012, Boston College, Department of Economics.

Hatemi-J, A. and M. Irandoust, 2006. A bootstrap-corrected causality test: Another look at the money-income relationship. Empirical Econ., 31: 207-216.
CrossRef  |  Direct Link  |  

Hatemi-J, A., 2003. A new method to choose optimal lag order in stable and unstable VAR models. Applied Econ. Lett., 10: 135-137.
CrossRef  |  Direct Link  |  

Imimola, B. and A. Enoma, 2011. Exchange rate depreciation and inflation in Nigeria (1986 -2008). Bus. Econ. J., 28: 1-12.

Kamas, L., 1995. Monetary policy and inflation under the crawling peg: Some evidence from VARs for Colombia. J. Dev. Econ., 46: 145-161.
CrossRef  |  Direct Link  |  

Kanamori, T. and Z. Zhao, 2006. The Renmimbi exchange rate revaluation. Theory, practice and Lessons from Japan, Asian Development Bank Institute Policy Paper No. 9, Japan.

Lee, H.Y., K.S. Lin and J.L. Wu, 2002. Pitfalls in using Granger causality tests to find an engine of growth. Applied Econ. Lett., 9: 411-414.
CrossRef  |  Direct Link  |  

Lee, J. and M.C. Strazicich, 2001. Break point estimation and spurious rejections with endogenous unit root tests. Oxford Bull. Econ. Statistics, 63: 535-558.
Direct Link  |  

Lee, J. and M.C. Strazicich, 2003. Minimum lagrange multiplier unit root test with two structural breaks. Rev. Econ. Statistics, 85: 1082-1089.
CrossRef  |  Direct Link  |  

Lee, J. and M.C. Strazicich, 2004. Minimum LM unit root test with one structural breaks. Department of Economics, Appalachain State University, Manuscript, http://econ.appstate.edu/RePEc/pdf/wp0417.pdf.

Lumsdaine, R.L. and D.H. Pappel, 1997. Multiple trend breaks and the unit-root hypothesis. Rev. Econ. Stat., 79: 212-218.
CrossRef  |  

Madesha, W., C. Chidoko and J. Zivanomoyo, 2013. Empirical test of the relationship between exchange rate and inflation in Zimbabwe. J. Econ. Sustain. Dev., 4: 52-59.
Direct Link  |  

Mussa, M., 1976. The exchange rate, the balance of payment and monetary and fiscal policy under a regime of controlled floating. Scandinavian J. Econ., 78: 229-248.

Nnamdi, K.C. and E.P. Ifionu, 2013. Exchange rate volatility and exchange rate uncertainty in Nigeria: A financial econometric analysis (1970-2012). Munich Persornal REPEC Archive paper 48316.

Nunes, L.C., P. Newbold and C.M. Kuan, 1997. Testing for unit roots with breaks: Evidence on the great crash and the unit root hypothesis reconsidered. Oxford Bull. Econ. Statistics, 59: 435-448.
Direct Link  |  

Omotor, D.G., 2008. Exchange rate reform and inflationary consequences: The case of Nigeria. Ekonomski Pregled, 59: 688-716.

Parvar, J., R. Mohammed and M. Hassan, 2011. Oil prices and real exchange rates in oil exporting countries: A bounds testing approach. J. Dev. Areas, 45: 309-318.

Perron, P., 1989. The great crash, the oil price shock and the unit root hypothesis. Econometrica, 57: 1361-1401.
Direct Link  |  

Perron, P., 1997. Further evidence on breaking trend functions in macroeconomic variables. J. Econometrics, 80: 355-385.
CrossRef  |  Direct Link  |  

Schwert, G.W., 1987. Effects of model specification on tests for unit roots in macroeconomic data. J. Monetary Econ., 20: 73-103.
Direct Link  |  

Sims, C., J. Stock and M. Watson, 1990. Inference in linear time series models with unit roots. Econometrica, 58: 113-144.
Direct Link  |  

Toda, H.Y. and P.C.B. Phillips, 1993. Vector autoregressions and causality. Econometrica, 61: 1367-1393.
Direct Link  |  

Toda, H.Y. and T. Yamamoto, 1995. Statistical inference in vector autoregressions with possibly integrated process. J. Econ., 66: 225-250.
CrossRef  |  

Whitney, N.R., 1922. The world's monetary problems by gustav cassel. Am. Econ. Rev., 12: 515-517.
Direct Link  |  

Zivot, E. and D.W.K. Andrews, 1992. Further evidence on the great crash, the oil price shock and the unit root hypothesis. J. Bus. Econ. Stat., 10: 251-270.
Direct Link  |  

Design and power by Medwell Web Development Team. © Medwell Publishing 2024 All Rights Reserved