Testing for nonlinear causation between capital inflows and domestic prices

Abdul Rashid ()

MPRA Paper from University Library of Munich, Germany

Abstract: The 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.

Keywords: Capital Inflows; Inflationary Pressures; Monetary Expansion; Nonlinear Dynamics (search for similar items in EconPapers)
JEL-codes: C32 F21 F32 (search for similar items in EconPapers)
Date: 2010-06-14
New Economics Papers: this item is included in nep-mon and nep-opm
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:26082

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