The role of Monetary and Financial policy in economic growth. Abstract

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1 The role of Monetary and Financial policy in economic growth / / Abstract The current research aims to effect the activity of financial and montary policy on the real factors in economy. Throughout the development of economics, most of economists have not confirmed the Monetarist and Keynes, their theoretical accounts confirmed the activity of funds in economics, but the difference is in the range of possibility that the money may affect in it. The Keynes demonstrates that funds have their own effect little in a short range, while the Monetarists realize that funds have a large effect in long term and neutral in long time, thus, it is referred the activity of money in economics for short term. The study divided into two parts; the first is the theoretical implication that have the notion of the fund effect and the neural role. Mechanism that the funds may affect the economics, this can be seen in a literature review of the most scientific bases, whereas, the second part of the research the econometrics needed to activate the hypothesis. This can be done through the application of time sequence of Jordan from by Granger Causality test and vector auto regreter, and this has confirmed the activity of the research. :. 16

2 .. :... : Ho : H1 :. VAR Eviews (ADF) Granger.2010_1966 International International Financial Statistics Yearbook.Monetary Fund 17

3 :..(Galbraith & Darity, 1994, 287) (Hayek).( ) ( ). ( ).( )( ). (Orthodox)..(Galbraith & Darity, 1994, ) (David Hume).(Galbraith & Darity, 1994, ) 18

4 .(Keynes, 1964, 137) (James Tobin) " " ( ).(Galbraith & Darity, 1994, 289) ( )...( ) (knut Wicksell).( ) 19

5 ( ).( ).(M.C. Vaish, 1979, 77) ( ).( ) ( ). : 1-2 : : : - 20

6 .(Glahe, 1977, 289) ( )...(Mishkin, 2001, , ) (Glahe, 1977, 289) 21

7 ( ) ( ) ( ). Friedman (Mishkin, 2001, ).(Friedman, 1976, 25-26). 22

8 .(Glahe, 1977, ) ( ).. ( ).(Glahe, 1977, 292). : " ". (Gupta, 1996, 211) (Varsh, 1979, 84-86) (Mishkin, 2001, 552) W P v K : : W NH = H PK v (1-3) H : : NH + 23

9 (H).( ) (Johnson, 1976, ) W NH H (1-3).(Glahe, 1977, 292) P v K P v K.(Gupta, 1996, ) (Glahe, 1977, 292) (Mishkin, 2001, 437) : (1-3) 1963 Friedman & Schwartz -1 ( ) 24

10 (Harris,1985, ) (Friedman &Schwartz, 1973, ). ( ) 1968 Anderson&Jordan -2. ( ) ( ) 1994 peter Ireland James Tobin 1967 Miguel Siduaski, ) (. ( ) 1979 Stanley fisher jean-pierre 25

11 .(Ireland, 1994, 47-48) 1995 chari -4 % %15 :.(Chari & et al, 1995,1-2) ) 1992 Levine & Renelt - ( %12.34 % Easterly et al %4 %8.42 %-0.2 %16.5 %5.2 %10 GDP Chari & et al, 1995, 1-3 ).( 26

12 Fischer - %40-10 %10 %10 %40 %0.75 %1.3 %0.2 % Roubini&Salai-Martin % % % %10 % (Chari & et al, 1995, 2-5) %10 % St.Louis -5 m %30 m1. M 1. 27

13 . (18-24) : (wachtel, 1989, ) : (1-4). (St. Louis) (Reduced-form econometric model) : j k y t = α 0 + βim t i + δet i + µ t...(1-2 ) i= 1 i= 1 Y :...GNP M :... E :... M 1 (J, K) : n e y-y = α o+ α1 ( m m ) + α2 m e...(2-2) 28

14 (m-m e ) (α 2 = 0, α 1 > 0) α 2 χ 2, χ 1 e m n y o : =β +β 1 t...(2-3) : t = γ γ1χ1 γ 2χ2... (2-4) (4-4) m e y= mˆ e y ( β o+ β1 t) = αo+ α1( m m ) + α2 ( α ) t ( m mˆ ) mˆ 0+ β0 + β1 + α1 + α 2... : (2-4) (3-4) m e...(2-5) (2-6) α 2 (6-4) α 2 (Lucas) (4-4) : y n = β + β y n y (7-2) : (2-4) (7-4) ( m m e ) e y= β 0 + β1y 1+ α1( m m ) + α 2 m e (2-8) ( y 1 ) : y= α + α y + α m 0 m 0 e 1 = b + b i m t = Εmˆ = b0 1 i + 2 ( e m m )... (2-9) : +ν... (2-10) : bm i t i... (2-11) 29

15 [ m ( b )] y= α 0 + α1y 1+ α b i m t i : (2-9)...(2-12) m e y= ( α 0 α 2b0 ) + α1y 1+ α 2m α 2 b i m t i. (2-13) (2-13) (wachtel, 1989, (299, 305, )) : : (Heteroscdasticity& Homoscedasticity ) : : (Augmented Dickey-Ffuller) ADF - (1-2) ( ) (D1LOG GDP) 10%, (-3.928) (t - tau) ( , , ) 5%, 1% (2-2) ADF. (M1) -) (t- tue) (D1LOG MONEY) (10%, 5%, 1%) (4.012 (3-2) ADF.(-2.603, , ) 30

16 (-4.625) (t- tue) (D2LOG EXPEND) (-2.605, , ) (10%, 5%, 1%). Vector Auto Regression (VAR) Ys (Likelihood) (AIC) (Sc).(Hill & Griffiths, 1997, 338) (Greene, 2000, ) (4-2) (Granger Causality) (P). (VAR) (2-5) (-2.339) AIC Likelihood AIC (54.969) Likelihood Sc 27% R 2 -Adj 0.1 1% " ". 31

17 : -1 (LM)

18 (1988).... (1990). (1985).. " (1987 ).. " (1971 ).. (1970 ).. : 7- Chari, V.V. and Johns Larry E. and Manualli, Rodolfo E.( 1995)The growth effects of monetary policy, Federal Research Bank of Minneapolis Quarterly Review, Vol. 19. No Friedman, Milton & Schwartz, Anna J. (1973) Money and Banking, A division of penguin books Ltd.. 9- Friedman, Milton & Schwartz, Anna J. (1973) Money and Banking, A division of penguin books Ltd Keynes, J. M. (1964) The General theory of Employment, Intrest and Money, London-Macmillan Co. LTD. 11- Gujarati,Damodar N. (1995) Basic Econometrics, third edition, McGraw-Hill, Inc 12- Galbraith, James K., & Jr, William Darity. J.( 1994) Macroeconomic, Houghton. Mifflin Company. 13- Johnson, Harry(1967) Essays in Monetary Economics, London, George Allene & Unwin Ltd 14- Greene, William.H. (2000) econometric analysis, fourth edition,prentice hall, new jersey. 15- Ireland, Peter N.( 1994)Money and Growth: An alternative approach, Ame. Econ. Rev, March, Vol. 84, No Glahe, Fred. R. (1977) Macroeconomics theory and policy, Harcourt Brace Jovanovich, Inc, second edition. 17- Mishkin, Frederic S. (2001) The economics of money, banking, and financial markets, sixth edition 18- Gubta suraj B (1996 ) Monetary economic, institution theory and policy, new deihi. 19- hearris,laurance, (1985 ) Monetary theory, Mc Graw-hill. 20- Hill- carter et.al (1997 ), undergraduate Economtrics, copy right, Johnson. 21- Vaish, M.C. ( 1979 ), economic of money and growth, oxford, Ibh publising (1) (2) (3) (4) (5) (6) 33

19 22- Wachtel, Paul(1989) Macroeconomics; from theory to practice, Copyright by McGraw Hill Inc. 23- Johnson, Harry(1967) Essays in Monetary Economics, London, George Allene & Unwin Ltd Johnson, Dudley W. (1976) Macroeconomic, Money prices and income, copyright by John Wiley & Sons, Inc 25- Glahe, Fred. R. (1977) Macroeconomics theory and policy, Harcourt Brace Jovanovich, Inc, second edition 34

20 - - (1-2) Null Hypothesis: D1LOGGDP has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0) Prob.* t-statistic Augmented Dickey-Fuller test statistic 1% level Test critical values: 5% level 10% level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(D1LOGGDP) Method: Least Squares Date: 06/12/11 Time: 00:39 Sample (adjusted): Included observations: 43 after adjustments Prob. t-statistic Std. Error Coefficient Variable D1LOGGDP(-1) C Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat (2-2) Null Hypothesis: D1LOGMONEY has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=9) Prob.* t-statistic Augmented Dickey-Fuller test statistic 35

21 % level 5% level 10% level Test critical values: *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(D1LOGMONEY) Method: Least Squares Date: 06/12/11 Time: 09:14 Sample (adjusted): Included observations: 43 after adjustments Prob. t-statistic Std. Error Coefficient Variable D1LOGMONEY(-1) C Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat (3-2) Null Hypothesis: D2LOGEXPEND has a unit root Exogenous: Constant Lag Length: 1 (Fixed) Prob.* t-statistic Augmented Dickey-Fuller test statistic 1% level Test critical values: 5% level 10% level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(D2LOGEXPEND) Method: Least Squares Date: 06/12/11 Time: 09:34 Sample (adjusted):

22 Included observations: 41 after adjustments Prob. t-statistic Std. Error Coefficient Variable D2LOGEXPEND(-1) D(D2LOGEXPEND(-1)) C Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Pairwise Granger Causality Tests Date: 09/01/11 Time: 12:42 Sample: Lags: 2 (4-2) Prob. F-Statistic Obs Null Hypothesis: D1LOGMONEY does not Granger Cause D1LOGGDP D1LOGGDP does not Granger Cause D1LOGMONEY D2LOGEXPEND does not Granger Cause D1LOGGDP D1LOGGDP does not Granger Cause D2LOGEXPEND D2LOGEXPEND does not Granger Cause D1LOGMONEY D1LOGMONEY does not Granger Cause D2LOGEXPEND (5-2) Vector Autoregression Estimates Date: 06/26/11 Time: 20:29 Sample (adjusted): Included observations: 41 after adjustments Standard errors in ( ) & t-statistics in [ ] D2LOGEXPE ND D1LOGMONE Y D1LOGGDP ( ) [ ] ( ) [ ] ( ) [ ] D1LOGGDP(-1) 37

23 ( ) [ ] ( ) [ ] ( ) [ ] D1LOGGDP(-2) ( ) [ ] ( ) [ ] ( ) [ ] D1LOGMONEY(-1) ( ) [ ] ( ) [ ] ( ) [ ] D1LOGMONEY(-2) ( ) [ ] -6.05E-05 (9.2E-05) [ ] (9.1E-05) [ ] D2LOGEXPEND(-1) ( ) [ ] (9.6E-05) [ ] 6.87E-06 (9.4E-05) [ ] D2LOGEXPEND(-2) ( ) [ ] ( ) [ ] ( ) [ ] C R-squared Adj. R-squared Sum sq. resids S.E. equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 38

24 الناتج المحلي الا جمالي (مليون دينار) GDP السنوات GDP (2-1) الا نفاق الحكومي (مليون دينار ( GOV_EXPEND السنوات (2-2) 39

25 عرض النقد ) مليون دينار ( MONEY السنوات ( 3-2) 40

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