inflation (1).pdf

( 2014" ) : Johansen Co-integration Test" "" ( 3) (6) 179-195.

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: Johansen Co-integration Test Source of inflation in Libya- by using Johansen Co-integration Test

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Source of inflation in Libya- by using Johansen Co-integration Test Abstract

This paper is looking for the main inflation determinations in Libya, by using Johansen Co-integration techniques for the period1980-2010,and was taken into account the privacy of Libyan economic. Furthermore, it was used some applied and experimental studies which interesting in area of economic inflation to make this study more reliable and strong. And also the empirical model was built as follows: liquidity, exchange rate, GDP, inflation rate, and the factors of imported inflation.

This empirical study found out that, the main inflation determinations in Libya are liquidity, exchange rate, expected inflation rate and imported inflation rate. Moreover, all these Variables have a big impact on Libyan economic both in short term and long term.

: Johansen Co-integration Test

1980 -2012 Johansen Co-integration .

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Sunkel, 1960; Olivera, 1964; Maynard, 1961)) .

Friedman, 1970; Schwartz, 1973)) Machlup, 1960) ) .

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( Ubide, 1997; Kim, 2001; Aljebrin, 2006.)

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: :

. (Vane and Thompson, 1979) (Bronfenbrenner and Holzman, 1965)

. (Flemming, 1976)

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: (Friedman and Schwartz, 1970),

( "inflation is always and everywhere a monetary

phenomenon" .

(Stiglitz and Greenwald, 2003) .

(Blinder, 2002), .

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(Keynes, 1936). (Pigou, 1949) .

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: .

. (Gordon, 1980)

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(Lucas, 1976) .

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(Frisch, 1977)

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:- :

. (Tsalinski and Kyle, 2000)

1991- 2000 . .

1997 1997 .

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(Boschen and Weise, 2003) OECD.

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(Bowdler and Nunziata, 2004)

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. (Vielma, 2003)

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OECD ..

(Al-Otaibi, 2001), . .

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(Aljebrin, 2006),


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1971-2000

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(Ghavam and Tashkini, 2005), ARDL

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(Pahlavani, Mosayeb and Rahimi,2005; Mohammad, 2009)

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1980-2012

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lnPt = a1ln Mt + a2 ln Et + a3lnGDPt + a4 ln Pt-1 + a5 ln P ft +Ut (2)

( : P . ) : (M2) (E) (GDP)


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) ( )Pt-1) (Pf) ( .D93 )

( 1993-2003 ) 17

.:

lnPt =a0 + allnMt + a2lnEt + a3lnGDPt + a4ln Pt-1 + a5lnPMt +D9 3+ Ut (3)

( Johansen Co-integration )

( 3.)

( Johansen Co-integration: ) Johansen co-integration

techniques Ghatak and Siddiki, 2001;Pahlavani, 2005) . )

Aljebrin, 2006) (Rahmi and Mohammad, 2009;

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Johansen Co-integration :

DP = a13 + a1 M-1 + a2 E-1 + a3 GDP-1 + a4 DLNP1-1 + a5 D93-1 + a6 DP-1 + a7 DM-1 +a8 DE-1 +a9 DGDP-1 + a10 DDLNP1-1+ a11 DPP-1 +a12 DD93-1 (4)

32 Johansen Co-integration .


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( 1 ) Johansson Co-integration

Hypothesized Eigenvalue

Trace Statistic

Critical Value at 5%

Critical Valueat 1% No. of CE(s)

None ** 0.758297 96.64096 68.52 76.07 At most 1 * 0.603270 52.61955 47.21 54.46 At most 2 0.409012 23.96010 29.68 35.65 At most 3 0.213998 7.655351 15.41 20.04 At most 4 0.006132 0.190679 3.76 6.65

*(**) denotes rejection of the hypothesis at the 5%(1%) level Trace test indicates 2 co-integrating equation(s) at the 5% level Trace test indicates 1 co-integrating equation(s) at the 1% level

Hypothesized Eigenvalue Max-Eigen

Statistic

Critical Value at 5%

Critical Valueat 1% No. of CE(s)

None ** 0.758297 44.02141 33.46 38.77 At most 1 * 0.603270 28.65945 27.07 32.24 At most 2 0.409012 16.30475 20.97 25.52 At most 3 0.213998 7.464672 14.07 18.63 At most 4 0.006132 0.190679 3.76 6.65

*(**) denotes rejection of the hypothesis at the 5%(1%) level Max-eigenvalue test indicates 2 co-integrating equation(s) at the 5% level Max-eigenvalue test indicates 1 co-integrating equation(s) at the 1% level

2

1 % 0.52 % 1%

0.56 % ) ( 1 %


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107.57 % .

( 2 )

Johansson Co-integration

Variables Coefficient Std. Error t-Statistic Prob. C -0.288463 0.080837 -3.568447 0.0018

GDP -0.522309 (0.10668 - - E -0.563768 (0.13150 - -

PUS 107.5729 (25.8570) - -

3 1.54%

. 1% 0.0045 %

1% 0.0024% .

3 ECM(1) 5 . %

ECM(1) 0.2885% 0.29 %.

( 3 ) EMC))

Depredated variables Coefficient Std. Error t-Statistic Prob.

ECM(1) -0.288463 0.080837 -3.568447 0.0018 M(-1) 0.004517 0.001142 3.955248 0.0007

D(P(-1) 1.535668 0.275995 5.564115 0.0000 D(M(-1) -0.024267 0.007379 -3.288867 0.0035 D(E(-1) -0.002420 0.001250 -1.936010 0.0664

R2=0.674148 D.W=2.129453

) ( A1 ( ) 95 %5.%


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A2 1980-2012

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1 %0.29 . %

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1 %0.0045 %.

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( ECM( )Johansson Co-integration )

. 0.29 . %

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: : -

1- (2004. ) 2- (2003. ) 3- (1999 ) 4- (2001) . 5- (2000) 6- (1996) . 7- ( 1995) 8-( 1993) 9-( 1998) : ( - - ) 38 (

: ). 10-( 2003 ) 43 (

. .) 11-( 2002 ) 1990-2000

- 42 ( . ). 12-( 2002 ) 42 (

..) 13-( 1997 ) 1990-1996 37 (

. ). 14- (2008) . ( . ). 15- . 16- (2001 ) .

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