Keywords: Real Interest Rate; Bank Deposit; Gross Domestic Saving; Expected InflationDOI: http://dx.doi.org/10.3126/bj.v2i1.5703Banking Journal 2012; 2(1): 16-34
In this paper, the relevance of Keynesian postulates has been examined in the Nepalese context for the period 1975-2012 using annual time series data. The empirical results from the Johansen co-integration tests clearly show that there is long run equilibrium relationship between government expenditure and real GDP, private consumption and gross fixed capital formation. Likewise, Granger Causality test confirms that there is bilateral causal relationship between government expenditure and gross fixed capital formation in Nepal. However, no causal relationship is observed between government expenditure and real GDP and private consumption. Thus, it is confirmed by this study that the Keynesian postulates are relevant for capital formation rather than for increasing real GDP growth and private consumption in Nepal.
In this paper, an attempt has been made to analyse relationship between Nepalese insurance industry and the non-agriculture sector using the annual data of the period of 1997 to 2010. In order to accomplish this goal, unit root test, co-integration test, granger causality test, and ordinary least square method of regression analysis have been performed. The empirical result from the co-integration tests clearly shows that there is a long-run relationship between total premium collection and Resources/Liabilities of Nepalese insurance industry vis-á-vis non-agriculture real GDP. Likewise, the null hypotheses that the total premium collection and Resource/Liabilities does not granger cause non-agriculture and real GDP of Nepal and was rejected. Moreover, estimated coefficients of regression models also indicate that there is strong positive correlation between the insurance industry and non-agriculture sector of Nepal. DOI: http://dx.doi.org/10.3126/bj.v3i1.7510 Banking Journal Vol.3(2) 2013 pp.43-60
This study examines cointegration and causality between the NEPSE index vis-à-vis short term interest rates and gold prices in Nepal. Main objective of this study is to identify the long run equilibrium relationship as well as cause and effect relationship between the variables under consideration. Monthly time series data cover the period starting from January 2006 to December 2016, which were sourced from Nepal Stock Exchange (NEPSE), Nepal Rastra Bank (NRB) and Nepal Gold and Silver Dealers Association (NEGOSIDA). The results of the unit root (ADF) tests and Cointegration (Johansen) tests confirm that there is long-run equilibrium relationship between the NEPSE index, short term interest rates and gold prices in Nepal. In the meantime, Granger Causality test reveals that there is no causality between the gold price and NEPSE index. However, it is confirmed that there is unilateral causal relationship between the NEPSE index and short term interest rate which moves from interest rate to NEPSE index. From the test results it can be concluded that the short-term interest rates are the better predictor for NEPSE index and bullion (commodity) market is yet to be developed as substitute of the Stock Market.
In this study, an attempt has been made to demonstrate the usefulness of univariate time series analysis as both an analytical and forecasting tool for Nepali stock Market. The data set covers the daily closing value of NEPSE index for two and half years starting from the middle of 2012 to end 2015. The forecasting analysis indicates the usefulness of the developed model in explaining the variations, trend and fluctuations in the values of the price index of Nepali stock exchange. Explanation of the fit of the model is described using the Correlogram, Unit Root tests and ARCH tests, which finally confirm that the ARIMA and EGARCH are good in forecasting and predicting daily stock index of Nepal. Furthermore, it is inferred that the daily stock price index contains an autoregressive, seasonal and moving average components; hence, one can predict stock returns through the identified models.
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