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Does Volatility In Government Borrowing Leads To Higher Inflation? Evidence From Pakistan

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Author Info

  • S. Adnan
  • H.A.S. BUKHARI
  • Safdar Ullah KHAN

Abstract

This study analyzes the impact of volatility in government borrowing from central bank (GBCB) on domestic inflation in Pakistan. This paper utilizes Generalized Auto Regressive Conditional Hetroskedasticity (GARCH) model to estimate volatility in GBCB using monthly data from July 1992 to June 2007. The empirical results, based on auto regressive distributed lag (ARDL) with bound testing technique suggest that domestic inflation in Pakistan is related with volatility in government borrowing from central bank in the long run. Furthermore, error correction model (ECM) estimates show that in the short run, inflation is also affected by volatility in GBCB.

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Bibliographic Info

Article provided by Spiru Haret University, Faculty of Financial Management and Accounting Craiova in its journal Journal of Applied Economic Sciences.

Volume (Year): 3 (2008)
Issue (Month): 3(5)_Fall2008 ()
Pages: 187-202

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Handle: RePEc:ush:jaessh:v:3:y:2008:i:3(5)_fall2008:p:187-202

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Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=14
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Related research

Keywords: inflation; government borrowing; volatility; GARCH; ARDL; ECM;

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References

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Cited by:
  1. Nawaz, Muhammad & Iqbal, Muhammad Mazhar & Ali, Amanat & Zaman, Khalid, 2012. "Fiscal Theory of Price Level: A Panel Data Analysis for selected Saarc Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 152-170, September.

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