IDEAS home Printed from https://ideas.repec.org/a/rfh/bbejor/v13y2024i2p526-531.html
   My bibliography  Save this article

Dynamics of Causality between Inflation Volatility and Exchange Rate Volatility in Pakistan: A Time Series Analysis

Author

Listed:
  • Sana Sultan

    (Visiting Lecturer, School of Economics, Bahauddin Zakariya University Multan, Pakistan)

  • Misbah Rauf

    (Research Scholar, School of Economics, Bahauddin Zakariya University Multan)

  • Kashif Saeed

    (Assistant Professor, Department of Accounting and Finance, The Islamia University of Bahawalpur, Pakistan)

  • Asad Abbas

    (Lecturer in Economics, Department of Economics, COMSATS University Islamabad Vehari Campus, Pakistan)

  • Dr Muhammad Ramzan Sheikh

    (Professor of Economics, School of Economics, Bahauddin Zakariya University Multan, Pakistan)

Abstract

This study investigates the dynamic relationship between inflation volatility and exchange rate volatility in Pakistan over the period from 1960 to 2023. Utilizing time series data, the study employes the Vector Error Correction Model (VECM) to analyze both short-run and long-run causality between these variables. The study has found bidirectional causality between exchange rate volatility and inflation volatility, indicating that fluctuations in one variable significantly influence fluctuations in the other, both in the short and long term. Based on the results of the study, it is suggested that to stabilize prices, policymakers should implement measures to stabilize the exchange rate and to stabilize the exchange rate, planners should adopt policies that stabilize the prices.

Suggested Citation

  • Sana Sultan & Misbah Rauf & Kashif Saeed & Asad Abbas & Dr Muhammad Ramzan Sheikh, 2024. "Dynamics of Causality between Inflation Volatility and Exchange Rate Volatility in Pakistan: A Time Series Analysis," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 13(2), pages 526-531.
  • Handle: RePEc:rfh:bbejor:v:13:y:2024:i:2:p:526-531
    DOI: https://doi.org/10.61506/01.00361
    as

    Download full text from publisher

    File URL: https://bbejournal.com/BBE/article/view/867/882
    Download Restriction: no

    File URL: https://bbejournal.com/BBE/article/view/867
    Download Restriction: no

    File URL: https://libkey.io/https://doi.org/10.61506/01.00361?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Čaklovica Lejla & Efendic Adnan S., 2020. "Determinants of Inflation in Europe – A Dynamic Panel Analysis," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 16(3), pages 51-79, September.
    2. Agus Salim, 2019. "Macroeconomic Determinants of Interest Rate Volatility in Indonesia: A Structural VAR Analysis," International Journal of Applied Economics, Finance and Accounting, Online Academic Press, vol. 5(2), pages 101-108.
    3. Ali, Amjad, 2022. "Foreign Debt, Financial Stability, Exchange Rate Volatility and Economic Growth in South Asian Countries," MPRA Paper 116328, University Library of Munich, Germany, revised 2022.
    4. Ali, Amjad & Khokhar, Bilal & Sulehri, Fiaz Ahmad, 2023. "Financial Dimensions of Inflationary Pressure in Developing Countries: An In-depth Analysis of Policy Mix," MPRA Paper 119364, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Fiaz Ahmad Sulehri & Sana Sarwar Sulehri & Rubina Fiaz Sulehri, 2023. "Unveiling Economic Distress In South Asia: Does Stock Market Performance Matter?," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(2), pages 447-456.
    2. Fiaz Ahmad Sulehri & Amjad Ali, 2024. "Nexus among Regulatory Framework, Economic Growth and Sustainable Development: Insights from Structural Equation Modeling Approach," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 13(1), pages 110-117.
    3. Muhammad Suhail Saleem & Asad Abbas & Dr Muhammad Ramzan Sheikh & Sana Sultan, 2024. "Financial Development in the SAARC Region: Identifying Influential Factors," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 13(2), pages 513-525.
    4. Amjad Ali & Zohaib Ul Hasan & Qasim Abbasi & Fiaz Ahmad Sulehri, 2023. "Business Or Politics: Exploring The Determinants Of Policy Mix In South Asia," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(3), pages 114-123.
    5. Muhammad Waleed Khalid & Aqueel Imtiaz Wahga & Muhammad Gulzaib Chaudhary & Safyan Majid & Muhammad Awais, 2023. "Impact of Financial Literacy on Access to Finance and Firm Performance: An Analysis of Growing Industry Cluster in Pakistan," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(4), pages 45-53.
    6. Audi, Marc, 2024. "The Impact of Exchange Rate Volatility on Long-term Economic Growth: Insights from Lebanon," MPRA Paper 121634, University Library of Munich, Germany.
    7. Dr. Javed Miraj & Sheraz Haider & Dr. Qaisar Abbas & Iram Naeem & Zuhaib Nishtar & Kashif Lodhi, 2023. "Assessing the Effectiveness of Financial Literacy Programs for Business Student," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(3), pages 587-594.
    8. Marc Audi & Marc Poulin & Amjad Ali, 2024. "Determinants of Business Freedom in Developing Countries: The Role of Institutional Development and Policy Mix," International Journal of Economics and Financial Issues, Econjournals, vol. 14(4), pages 188-199, July.
    9. Ali, Amjad, 2022. "Financial Liberalization, Institutional Quality and Economic Growth Nexus: Panel Analysis of African Countries," MPRA Paper 116101, University Library of Munich, Germany.
    10. Maria Bano & Dr. Muhammad Nawaz & Touseef Ahmad & Fatima Ejaz, 2023. "The Performance of Small and Medium Sized Enterprises (SMEs) in Punjab: A Moderating Role of Corporate Image," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(3), pages 650-666.
    11. Mustansar Hayat & Zulfiqar Ali & Basharat Khan & Ayesha Khero, 2024. "Economic Policy Uncertainty and Firm Performance in Pakistan," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 13(3), pages 92-101.
    12. Özer Depren & Mustafa Tevfik Kartal & Serpil Kılıç Depren, 2021. "Recent innovation in benchmark rates (BMR): evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-20, December.
    13. Ahsan Pervaiz, 2023. "Internationalization of Traditional and E-Business in Finance: A Comparative Study," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(3), pages 612-628.
    14. Mudsir Ismail & Sitara Kanwal & Dr. Nosheen Rafi & Dr. Fariha Gul & Muddassar Bilal & Umbrin Akbar, 2023. "Employee Perceptions of CSR: A Multifaceted Analysis," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(4), pages 96-107.
    15. Shahid Manzoor Shah & Amjad Ali, 2022. "A Survey on Financial Inclusion: Theoretical and Empirical Literature Review," Journal of Policy Research (JPR), Research Foundation for Humanity (RFH), vol. 8(4), pages 310-330, December.
    16. Audi, Marc & Poulin, Marc & Ali, Amjad, 2023. "Determinants of Human Wellbeing and its Prospect Under the Role of Financial Inclusion in South Asian Countries," MPRA Paper 120119, University Library of Munich, Germany.
    17. Ali, Amjad & Ehsan, Rehan & Audi, Marc & Hamadeh, Hani Fayad, 2022. "Does Globalization Promote Financial Integration in South Asian Economies? Unveiling the Role of Monetary and Fiscal Performance in Internationalization," MPRA Paper 115304, University Library of Munich, Germany.
    18. Ahtisham Imtiaz & Aqueel Imtiaz Wahga & Syed Fakher Abbas Zaidi & Safyan Majid, 2023. "Corporate Hedging and Stock Market Dynamics: Evidence from PSX," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(3), pages 580-586.
    19. Jannat Saeed & Nazik Maqsood & Tanveer Ahmad Shahid & Hina Amir & Abaid Ul Rehman & Kanwal Bilal, 2024. "Impacts of Social Capital, Financial Literacy and Financial Inclusion on Economic Growth of a Primary Data Analysis: Evidence from Pakistan Special Focus on Listed Banks," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 13(2), pages 637-646.
    20. Ali, Amjad & Audi, Marc, 2023. "Analyzing the Impact of Foreign Capital Inflows on the Current Account Balance in Developing Economies: A Panel Data Approach," MPRA Paper 118173, University Library of Munich, Germany.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rfh:bbejor:v:13:y:2024:i:2:p:526-531. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dr. Muhammad Irfan Chani (email available below). General contact details of provider: https://edirc.repec.org/data/rffhlpk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.