THE CAUSAL RELATIONSHIP BETWEEN INFLATION, INTEREST RATE AND EXCHANGE RATE: THE CASE OF PAKISTAN

被引：0
|
作者：
Butt, Babar Zaheer [1 ]
Rehman, Kashif Ur [2 ]
Azeem, Muhammad [2 ]
机构：
[1] Fdn Univ, Dept Management Sci, New Lalazar, Rawalpindi, Pakistan
[2] Iqra Univ, Islamabad, Pakistan
来源：
TRANSFORMATIONS IN BUSINESS & ECONOMICS | 2010年 / 9卷 / 02期
关键词：
exchange rate; inflation rate; interest rate; causal relationship; developing countries; co-integration; TIME-SERIES; UNIT-ROOT; MONEY; COINTEGRATION;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study examines the causal relationship between exchange rate and its determinants in Pakistan. The study uses Granger Causality and Johansen and Juselius Co integration tests on monthly data of exchange rate, interest rate and inflation rate for the period starting from Jan 1998 to Dec 2008. On the basis of the results, the major findings of the study are (a) there exists unidirectional causal relationship from interest rate to exchange rate, exchange rate to inflation and interest rate to inflation (b) exchange rate and interest rate have long-term equilibrium relationship with inflation.
引用
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页码：95 / 102
页数：8
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