Government revenue shocks and financial market responses: Real-time causality analysis in Tanzania

Enock Mwakalila, Lusekelo Kasongwa and Seif Muba

Central Bank Review, 2026, vol. 26, issue 2

Abstract: This study investigates the dynamic relationship between government revenue shocks and key financial market indicators in Tanzania, focusing on interest rates, exchange rates, and short- and long-term bond yields. Using quarterly time-series data from 2003 to 2024, the analysis employs both standard and rolling-window Granger causality tests to examine how fiscal changes influence financial market responses in real time. The findings reveal a unidirectional causality running from government revenue to financial indicators, with notable variations across economic cycles. Specifically, revenue shocks significantly impact short-term interest rates, exchange rate movements, and 2-year bond yields, while their effect on 10-year yields is limited and inconsistent. Reverse causality from revenue to financial indicators is not supported. These results underscore the importance of credible and stable revenue mobilization policies in maintaining financial market stability. The study provides new empirical evidence for fiscal-monetary coordination in Tanzania and highlights the evolving nature of fiscal signal transmission across different macro-financial environments.

Keywords: Government revenue; Financial markets; Tanzania; Real-time causality analysis (search for similar items in EconPapers)
Date: 2026
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.sciencedirect.com/science/article/pii/S1303070126000144 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tcb:cebare:v:26:y:2026:i:2:article:100254

Access Statistics for this article

More articles in Central Bank Review from Research and Monetary Policy Department, Central Bank of the Republic of Turkey Contact information at EDIRC.
Bibliographic data for series maintained by () and () and () and ().