Testing for nonlinear causation between capital inflows and domestic prices
AbstractThe nonlinear cointegration and Granger causality tests are applied in a bi-variate framework to investigate the effects of capital inflows, monetary expansion and interest rates on domestic price levels. The key message of the analysis is that there is a significant inflationary impact of capital inflows, money supply-to-GDP ratio and domestic debt, in particular during period of large capital inflows from 2001 to 2008. Whereas, interest rate and exchange rate do not have any significant nonlinear causal links with domestic price levels during the examined periods.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 26082.
Date of creation: 14 Jun 2010
Date of revision:
Capital Inflows; Inflationary Pressures; Monetary Expansion; Nonlinear Dynamics;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
- F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-30 (All new papers)
- NEP-MON-2010-10-30 (Monetary Economics)
- NEP-OPM-2010-10-30 (Open Economy Macroeconomic)
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