文章基本信息

标题：Modeling the Dynamic Relationships between Treasury Bills, Inflation and Exchange Rates in Ghana
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作者：Logubayom Anuwoje Ida ; Logubayom Anuwoje Ida ; Luguterah Albert 等
期刊名称：American Journal of Economics
印刷版ISSN：2166-4951
电子版ISSN：2166-496X
出版年度：2014
卷号：4
期号：5
页码：200-212
DOI：10.5923/j.economics.20140405.02
语种：English
出版社：Scientific & Academic Publishing Co.
摘要：Macroeconomic variables are the main signposts signaling the current trends in an economy. Economic stability is desirable because it encourages economic growth that brings prosperity and employment. In this study, data on the 91-day Treasury bill (T-bill), 182-day Treasury bill (T-bill), inflation and exchange rates obtained from the Bank of Ghana from January, 2000 to October, 2012 was modeled using multivariate time series methods to investigate the dynamic interrelationships existing between them. The results revealed that, an optimal lag of one (1) should be included in the VAR process, therefore a VAR (1) model was fitted to describe the relationship between the variables. Results from the VAR (1) model, Granger Causality, Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD) analysis showed that; there exist a unidirectional relationship between the 91-day T-bill and 182-day T-bill rate, between the 182-day T-bill and Inflation rate, between inflation and exchange rates and between the two T-bill rates and exchange rate. Bothunivariate and multivariate Ljung-Box and ARCH-LM model diagnostics test performed on the residuals of the individual equations and the overall VAR (1) model revealed that the residuals were white noise series. The chi-square goodness of fit test performed on an out-sample forecasted growth rates of each rate showed that the VAR (1) model fitted was adequate for determining the behavior of the rates over time.
关键词：Dynamic relationship; Growth rate; Multivariate time series; Stability; Unidirectional