Threshold Effects of Exchange Rate Depreciation and Money Growth on Inflation Rate: Evidence from Pakistan

Threshold Effects of Exchange Rate Depreciation and Money Growth on Inflation Rate: Evidence from Pakistan

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Humanities and Social Sciences

  • Artech Journal of Art and Social Sciences
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G.M. Sajid, Malik Muhammad and Zahida Siddiqui
Submitted Accepted Published
Nov 30,-0001 Nov 30,-0001 Sep 30,2018
  • 2018
  • Vol: 1
  • Issues: 1

Abstract

The study examines the threshold effects of exchange rate depreciation and money growth on inflation rate in Pakistan. The study follows Hansen method for the analysis of data from 1982:Q1 to 2012:Q4 by applying threshold model to Phillips curve equation. Generalized Method of Moments (GMM) technique is applied to evaluate the proposed model. The findings of the study show that money growth has definitely threshold effect on inflation rate, whereas exchange rate depreciation has insignificant threshold effects on inflation rate in Pakistan. The 7.67% threshold value of money growth is obtained which means that effect of money growth on inflation rate is non-linear in Pakistan. The study is the first ever attempt which estimates threshold effects of exchange rate depreciation and money growth on inflation rate in Pakistan.

How to Cite this Article

Sajid G.M., M. Muhammad and Z. Siddiqui, 2018. Threshold effects of Exchange Rate Depreciation and Money Growth on Inflation Rate: Evidence from Pakistan. Artech J. Art Social Sci., 1: 1-8.

DOI: .

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