This research contribute a little to the empirical literature on the asymmetric effect of money supply shocks on inflation; using a Nonlinear Auto-Regressive Distributed Lag Model (NARDL) for Egypt using annual data over an estimation period spanning 1961 to 2018. This methodology allows for empirical tests of short- and long-run asymmetric responses of inflation to both positive and negative shocks of money growth. The results reveal that inflation responds asymmetrically to monetary shocks in both short-run and long-run, that is, inflation responds faster (by one lag period) and larger (by about 7%) to positive monetary shocks than negative shocks. In addition, the asymmetric causality test developed by (Hatemi-J, et al., 2015) implemented and shows that the causality pass-through from money shock to inflation rate.
Elsayed, M. H. (2020). The effect of Asymmetric Money Supply Shocks on Inflation in Egypt using NARDL Model over the period 1961-2018. Journal of Alexandria University for Administrative Sciences, 57(2), 92-124. doi: 10.21608/acj.2020.93534
MLA
Mostafa Hosny Elsayed. "The effect of Asymmetric Money Supply Shocks on Inflation in Egypt using NARDL Model over the period 1961-2018", Journal of Alexandria University for Administrative Sciences, 57, 2, 2020, 92-124. doi: 10.21608/acj.2020.93534
HARVARD
Elsayed, M. H. (2020). 'The effect of Asymmetric Money Supply Shocks on Inflation in Egypt using NARDL Model over the period 1961-2018', Journal of Alexandria University for Administrative Sciences, 57(2), pp. 92-124. doi: 10.21608/acj.2020.93534
VANCOUVER
Elsayed, M. H. The effect of Asymmetric Money Supply Shocks on Inflation in Egypt using NARDL Model over the period 1961-2018. Journal of Alexandria University for Administrative Sciences, 2020; 57(2): 92-124. doi: 10.21608/acj.2020.93534
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