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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

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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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Publisher 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;

Find related papers by JEL classification:
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy

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