IDEAS home Printed from https://ideas.repec.org/a/spr/jqecon/v4y2006i2d10.1007_bf03546452.html
   My bibliography  Save this article

Stability and Robustness of Inflation Model of Nepal: An Econometric Analysis

Author

Listed:
  • T. R. Bishnoi

    (The Maharaja Sayajirao University of Baroda)

  • T. P. Koirala

    (The Maharaja Sayajirao University of Baroda
    Nepal Rastra Bank)

Abstract

This paper investigates the robustness and stability of inflation model of Nepal. Unit root test is applied to confirm the validity of random walk of major macro variables relating to inflation and its determinants. A test of cointegration between inflation and its explanatory variables based on residual is applied to examine the long-run relationship. Information obtained from cointegrating equation, an Error Correction Model (ECM) is developed which shows both long-run and short-run relationship. It is found that ECM of inflation of Nepal is stable and robust on the ground of various econometric tests.

Suggested Citation

  • T. R. Bishnoi & T. P. Koirala, 2006. "Stability and Robustness of Inflation Model of Nepal: An Econometric Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 4(2), pages 114-129, July.
    • Handle: RePEc:spr:jqecon:v:4:y:2006:i:2:d:10.1007_bf03546452
    DOI: 10.1007/BF03546452
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/BF03546452
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/BF03546452?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. V. V. Chari, 1999. "Nobel laureate Robert E. Lucas, Jr.; architect of modern macroeconomics," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 23(Spr), pages 2-12.
    2. Milton Friedman, 1971. "A Theoretical Framework for Monetary Analysis," NBER Books, National Bureau of Economic Research, Inc, number frie71-1, March.
    3. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. T.P.Koirala, Ph.D., 2013. "Time-Varying Parameters of Inflation Model in Nepal: State Space Modeling," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 25(2), pages 66-77, October.
    2. T.P. Koirala Ph.D., 2012. "Inflation Persistence in Nepal: A TAR Representation," NRB Working Paper 11/2012, Nepal Rastra Bank, Research Department.
    3. repec:nrb:wpaper:nrbwp162013 is not listed on IDEAS
    4. T.P.Koirala Ph.D., 2013. "Time-Varying Parameters of Inflation Model in Nepal: State Space Modeling," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 25(2), pages 66-77, October.
    5. T.P. Koirala Ph.D., 2013. "Time-varying Parameters of Inflation Model in Nepal: State Space Modeling," NRB Working Paper 16/2013, Nepal Rastra Bank, Research Department.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Emeka Nkoro & Aham Kelvin Uko, 2016. "Exchange Rate and Inflation Volatility and Stock Prices Volatility: Evidence from Nigeria, 1986-2012," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(6), pages 1-4.
    2. Minot, Nicholas, 2014. "Food price volatility in sub-Saharan Africa: Has it really increased?," Food Policy, Elsevier, vol. 45(C), pages 45-56.
    3. Shively, Gerald E., 2001. "Price thresholds, price volatility, and the private costs of investment in a developing country grain market," Economic Modelling, Elsevier, vol. 18(3), pages 399-414, August.
    4. Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Journal of Econometrics, Elsevier, vol. 164(1), pages 116-129, September.
    5. Eric Ghysels & Leonardo Iania & Jonas Striaukas, 2018. "Quantile-based Inflation Risk Models," Working Paper Research 349, National Bank of Belgium.
    6. Marfatia, Hardik A., 2017. "A fresh look at integration of risks in the international stock markets: A wavelet approach," Review of Financial Economics, Elsevier, vol. 34(C), pages 33-49.
    7. Tomanova, Lucie, 2013. "Exchange Rate Volatility and the Foreign Trade in CEEC," EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey 267, Ekonomik Yaklasim Association.
    8. Coudert, Virginie & Mignon, Valérie, 2013. "The “forward premium puzzle” and the sovereign default risk," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 491-511.
    9. Bernard, Jean-Thomas & Idoudi, Nadhem & Khalaf, Lynda & Yelou, Clement, 2007. "Finite sample multivariate structural change tests with application to energy demand models," Journal of Econometrics, Elsevier, vol. 141(2), pages 1219-1244, December.
    10. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    11. Bierens, H.J. & Broersma, L., 1991. "The relation between unemployment and interest rate : some international evidence," Serie Research Memoranda 0112, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    12. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    13. Adugna Lemi & Sisay Asefa, 2009. "Differential Impacts of Economic Volatility and Governance on Manufacturing and Non-Manufacturing Foreign Direct Investments: The Case of US Multinationals in Africa," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 35(3), pages 367-395.
    14. Zia-Ur- Rahman, 2019. "Influence of Excessive Expenditure of the Government in Perspective of Interest Rate and Money Circulation Which in Turn Affects the Growing Process in Pakistan," Asian Journal of Economics and Empirical Research, Asian Online Journal Publishing Group, vol. 6(2), pages 120-129.
    15. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
    16. Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2023. "Testing Granger Non-Causality in Expectiles," University of East Anglia School of Economics Working Paper Series 2023-02, School of Economics, University of East Anglia, Norwich, UK..
    17. Li, Yuming, 1998. "Expected stock returns, risk premiums and volatilities of economic factors1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 69-97, June.
    18. Evrim Imer-Ertunga, 2011. "Global financing conditions and sovereign debt yields of emerging market countries," Applied Financial Economics, Taylor & Francis Journals, vol. 21(4), pages 207-215.
    19. Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, vol. 34(C), pages 61-73.
    20. Henry, Olan T. & Olekalns, Nilss & Suardi, Sandy, 2007. "Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies," Economics Letters, Elsevier, vol. 94(3), pages 383-388, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jqecon:v:4:y:2006:i:2:d:10.1007_bf03546452. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.