8 research outputs found
Asymmetric Shocks and Co-movement of Price Indices
This paper is an attempt to gauge the relationship between the long run paths of consumer price index and wholesale price index of Pakistan. For the empirical analysis the Johansen co-integration technique has been applied on monthly data (1978 to 2010) of WPI and CPI. This paper found that both the indices are co-integrated in the long run. Thus the deviations in movements of WPI and CPI in the short run are transitory and both the indices will converge to their coherent path in the long run. Therefore, inflation computed from CPI can be used as official measure of inflation without worrying for short run movements of WPI.Price Level, Time Series Models, Monetary Policy
Detection and Forecasting of Islamic Calendar Effects in Time Series Data: Revisited
This paper is an attempt to revisit the pioneering work of Riazuddin and Khan (2002). A complete business cycle has been elapsed (2002-2010) since their study, so there is need to review the results with additional information. This revisited attempt, based on a theoretically specified framework, arrived at similar results and found significant impact of Islamic calendar. The Islamic months of Ramadan and Zilhaj have positive impact on currency holdings and negative impact on deposits. Although stylized facts indicate that consumer prices are significantly higher during Ramadan but econometric investigation rejects the upward exogenous shifts in prices during Ramadan. Therefore, structural relationship analyzed in co-integration framework has shown that inflation is not directly impacted by the Ramadan but indirectly through increase in its determinants. Inflationary tendencies during Ramadan are not due to exogenous increase by producers and retailers but possibly due to demand surge in the wake of redistribution of income. The months of June and December have positive effects on deposits and negative effects on currency in circulation indicating the presence of window dressing. Finally, as seasonal factors have important role in determining economic time series, therefore, ignoring those in monthly time series models will lead to omitted variable bias and inappropriate forecasts.currency in circulation, deposits, cointegration, seasonal factors
Asymmetric Shocks and Co-movement of Price Indices
This paper is an attempt to gauge the relationship between the long run paths of consumer price index and wholesale price index of Pakistan. For the empirical analysis the Johansen co-integration technique has been applied on monthly data (1978 to 2010) of WPI and CPI. This paper found that both the indices are co-integrated in the long run. Thus the deviations in movements of WPI and CPI in the short run are transitory and both the indices will converge to their coherent path in the long run. Therefore, inflation computed from CPI can be used as official measure of inflation without worrying for short run movements of WPI
Detection and Forecasting of Islamic Calendar Effects in Time Series Data: Revisited
This paper is an attempt to revisit the pioneering work of Riazuddin and Khan (2002). A complete business cycle has been elapsed (2002-2010) since their study, so there is need to review the results with additional information. This revisited attempt, based on a theoretically specified framework, arrived at similar results and found significant impact of Islamic calendar. The Islamic months of Ramadan and Zilhaj have positive impact on currency holdings and negative impact on deposits. Although stylized facts indicate that consumer prices are significantly higher during Ramadan but econometric investigation rejects the upward exogenous shifts in prices during Ramadan. Therefore, structural relationship analyzed in co-integration framework has shown that inflation is not directly impacted by the Ramadan but indirectly through increase in its determinants. Inflationary tendencies during Ramadan are not due to exogenous increase by producers and retailers but possibly due to demand surge in the wake of redistribution of income. The months of June and December have positive effects on deposits and negative effects on currency in circulation indicating the presence of window dressing. Finally, as seasonal factors have important role in determining economic time series, therefore, ignoring those in monthly time series models will lead to omitted variable bias and inappropriate forecasts
Heterogeneity, Marginal Cost and New Keynesian Phillips Curve
The purpose of the thesis is to introduce novel measure of real marginal cost in the New
Keynesian Phillips Curve (NKPC) and compares its performance with conventional mea-
sures such as output gap and labour share of income. Real marginal cost is derived from a
flexible function whereas labour share is based on restrictive assumption of Cobb-Douglas
technology. Dynamic correlations and results of NKPC indicate that real marginal cost
is better than ad hoc measure of output gap and labour share. Given the heterogeneity
in price setting behaviour across sectors, cost functions and NKPC are estimated for the
agriculture, manufacturing and other sectors of Pakistan's economy.
Real marginal cost is derived from static and dynamic cost functions. In the presence of adjustment costs, dynamic cost functions that are consistent and integrated with
their static systems are required. Such dynamic translog cost functions are estimated
after testing the theoretical properties and existence of long term relationships in the
static functions. Cost attributes, marginal cost, total factor productivity, technological progress, demand and substitution elasticities are derived from static and dynamic
functions.
Three specifications of forward looking and hybrid form of the Phillips curves are
estimated with real marginal cost, output gap and labour share. Results indicate that
hybrid specifications perform better than the forward looking models in terms of goodness
of fit and statistical significance. Further, comparison of Phillips curves estimated with
real marginal cost, output gap and labour share indicate that real marginal cost performs
better in explaining inflation dynamics in Pakistan. The results indicate that forward
looking behaviour dominates and high level of nominal rigidities persists in Pakistan.
Finally, hybrid form of the NKPC is estimated for a panel of sixteen Asian economies.
With the consideration of heterogeneity and aggregation bias, the mean group, random
coefficient and weighted average coefficients are derived from individual estimates. The
unobserved time variant common factors cause cross correlation in the errors that may
lead towards inconsistent estimates. Therefore, cross section averages of the explanatory
and the dependent variables are augmented in hybrid specification to capture the effect
of latent variables. Findings suggest that the discount factor is almost 0.94, the nominal rigidities are 33% and the weights of expected and past inflation are 66% and 33%
respectively. Nominal rigidities of the Asian economies are lower than the estimates for
US and Euro areas. The weights of expected and past inflation of the Asian economies
are consistent with the US but lower than the estimates from the Euro areas
Asymmetric Shocks and Co-movement of Price Indices
This paper is an attempt to gauge the relationship between the long run paths of consumer price index and wholesale price index of Pakistan. For the empirical analysis the Johansen cointegration technique has been applied on monthly data (1978 to 2010) of WPI and CPIprice indices, consumer price index, pakistan, wholesale price index, CPI, WPI, Johansen cointegration, inflation, policymakers, GDP deflator, supply side,
Detection and Forecasting of Islamic Calendar Effects in Time Series Data: Revisited
This paper is an attempt to revisit the pioneering work of Riazuddin and Khan (2002). A complete business cycle has been elapsed (2002-2010) since their study, so there is need to review the results with additional information. This revisited attempt, based on a theoretically specified framework, arrived at similar results and found significant impact of Islamic calendar. [WP 39]. [URL: http://www.sbp.org.pk/publications/wpapers/2011/wp39.pdf].business cycle, Islamic calneder, time series data, forecasting, detecting, Islam, religion, pakistan,theoretical, Ramadan, population, currency holdings, seasonal factors, Quantity Theory of Money (QTM), money, prices, income