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A Small-size Macroeconometric Model for Pakistan Economy

Author

Listed:
  • Muhammad Nadim Hanif

    () (State Bank of Pakistan)

  • Zulfiqar Hyder

    () (State Bank of Pakistan)

  • Muhammad Amin Khan lodhi

    () (State Bank of Pakistan)

  • Mahmood ul Hasan Khan

    () (State Bank of Pakistan)

  • Irem Batool

    ()

Abstract

This paper is part of efforts to develop macroeconometric model for Pakistan (MMP). This paper is an initial attempt to develop a small size macroeconometric model to foresee the effects of monetary policy through forecasting and simulations. We present the basic structure of macroeconometric model for Pakistan. This is a small-size model comprising 17 equations, out of which 11 are behavioral equations while the rest are either identities or definitional equations. OLS method is used to estimate the behavioral equations by using annual data from FY73-FY06. We provide the estimation results and results of policy simulations to quantify the impact of shocks to various exogenous variables.

Suggested Citation

  • Muhammad Nadim Hanif & Zulfiqar Hyder & Muhammad Amin Khan lodhi & Mahmood ul Hasan Khan & Irem Batool, 2010. "A Small-size Macroeconometric Model for Pakistan Economy," SBP Working Paper Series 34, State Bank of Pakistan, Research Department.
  • Handle: RePEc:sbp:wpaper:34
    as

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    File URL: http://www.sbp.org.pk/publications/wpapers/2010/wp34.pdf
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    References listed on IDEAS

    as
    1. Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-987, December.
    2. Mohsin S. Khan, 1985. "An Analytical Approach to Interest Rate Determination in Developing Countries," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 24(3-4), pages 481-495.
    3. Rana Ejaz Ali Khan & Qazi Muhammad Adnan Hye, 2013. "Financial liberalization and demand for money: a case of Pakistan," Journal of Developing Areas, Tennessee State University, College of Business, vol. 47(2), pages 175-198, July-Dece.
    4. Sims, Christopher A., 1992. "Interpreting the macroeconomic time series facts : The effects of monetary policy," European Economic Review, Elsevier, vol. 36(5), pages 975-1000, June.
    5. Abdul Qayyum, 2005. "Modelling the Demand for Money in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 44(3), pages 233-252.
    6. Ashfaque H. Khan, 1994. "Financial Liberalisation and the Demand for Money in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 33(4), pages 997-1010.
    7. Chishti, Salim U. & Hasan, M. Aynul & Mahmud, Syed F., 1992. "Macroeconometric modelling and Pakistan's economy : A vector autoregression approach," Journal of Development Economics, Elsevier, vol. 38(2), pages 353-370, April.
    8. Sebastian Edwards & Mohsin S. Khan, 1985. "Interest Rate Determination in Developing Countries: A Conceptual Framework," NBER Working Papers 1531, National Bureau of Economic Research, Inc.
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    Citations

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    Cited by:

    1. Qadri, Faisal Sultan & Waheed, Abdul, 2014. "Human capital and economic growth: A macroeconomic model for Pakistan," Economic Modelling, Elsevier, vol. 42(C), pages 66-76.
    2. Hassan, Rubina & Shahzad, Mirza Muhammad, 2011. "A macroeconometric framework for monetary policy evaluation: A case study of Pakistan," Economic Modelling, Elsevier, vol. 28(1-2), pages 118-137, January.
    3. Amber Fatima & Abdul Waheed, 2014. "Economic uncertainty and growth performance: a macroeconomic modeling analysis for Pakistan," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(3), pages 1361-1387, May.
    4. Hanif, M. Nadim & Khan, Mahmood ul Hassan, 2012. "Pass-Through of SBP Policy Rate to Market Interest Rates: An Empirical Investigation," MPRA Paper 39587, University Library of Munich, Germany.

    More about this item

    Keywords

    Macroeconometric model; OLS; Pakistan;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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