بررسی همبستگی میان نوسانات نرخ ارز، نوسانات مخارج جاری دولت و بدهی دولت به شبکه بانکی با تاکید بر مقیاس-زمان

Investigating the correlation between exchange rate fluctuations, current government expenditures fluctuations and government debt to the banking network with emphasis on time-scale

Soheil Roudari, Masoud Homayounifar and Mostafa Salimifar

MPRA Paper from University Library of Munich, Germany

Abstract: The banking network plays a prominent role in the financing of businesses. In this study, using the wavelet transform model during the period of 1388-1397 monthly, the nominal exchange rate volatilities, government debt to the banking network, and current government expenditures are divided into three levels by using wavelet transform. In the short term, there is no significant correlation between nominal exchange rate fluctuations and current government spending fluctuations. Interestingly, there is a significant correlation between government debt to banking network fluctuations and exchange rate fluctuations. This indicates that about 17% of the fluctuations in the foreign exchange market and government debt to the banking network are consistent. Significantly, there is a relatively high correlation between government debt to banking network fluctuations and current government spending fluctuations in the short term, and about 32.5 percent of changes and fluctuations in each have led to a change in the other one, and in fact It can show the lack of independence of the country's banking network and the dependence and attitude of the government to provide current expenses from this source. There is a positive and significant correlation between nominal exchange rate fluctuations and current government spending fluctuations in the medium term. Of course, only about 19% of the fluctuations in each are positively followed by other fluctuations. In the medium term, the movement between exchange rate fluctuations and government debt to banking network fluctuations increases compared to the short-term (0.26), and this can also indicate the delayed effects of the exchange rate. Interestingly, there is a high correlation between government debt to banking network fluctuations and current government spending fluctuations, and over a longer period the fluctuations between the two are more intense in terms of intensity and direction. The time factor plays a very important role in the correlation between government debt fluctuations and exchange rate fluctuations. The correlation between these two cases started from about 0.17 in the short term and reached 0.53 in the long run. In terms of time factor, it has shown more biger about fluctuations in current government expenditures and fluctuations in government debt to banks than the other cases. The correlation between the two fluctuations has risen from 32.5 percent in the short term to 76 percent in the long term.

Keywords: Volatilities; Nominal Exchange Rate; Current Government Expenditures; Government Debt to the Banks; Wavelet Transform (search for similar items in EconPapers)
JEL-codes: E62 F31 H63 (search for similar items in EconPapers)
Date: 2019-07-17, Revised 2020-04-29
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Monetary & Financial Economics 19.27(2021): pp. 1-28

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/127019/1/MPRA_paper_127019.pdf original version (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:pra:mprapa:127019

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().