The role of Monetary and Financial policy in economic growth / /. 2010-1966. 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 1966-2010 by Granger Causality test and vector auto regreter, and this has confirmed the activity of the research. :. 16
.. :... : Ho : H1 :. VAR Eviews (ADF) Granger.2010_1966 International International Financial Statistics Yearbook.Monetary Fund 17
:..(Galbraith & Darity, 1994, 287) (Hayek).(194 1985 ) (157 1971 ). (57 1970 ).(65 1985 )(158 1971 ). (Orthodox)..(Galbraith & Darity, 1994, 281-288) (David Hume).(Galbraith & Darity, 1994, 238-239) 18
.(Keynes, 1964, 137) (James Tobin) " " ( ).(Galbraith & Darity, 1994, 289) ( )...(159 1970 ) (knut Wicksell).(432 1990 ) 19
(58-57 1970 ).(58-57 1970 ).(M.C. Vaish, 1979, 77) (392 1990 ).(388 1990 ) (58 1970 ). : 1-2 : : : - 20
.(Glahe, 1977, 289) (278 1988 )...(Mishkin, 2001, 395-396, 648-650) (Glahe, 1977, 289) 21
( ) ( ) ( ). Friedman (Mishkin, 2001, 552-554).(Friedman, 1976, 25-26). 22
.(Glahe, 1977, 290-291) ( ).. ( ).(Glahe, 1977, 292). : - 1956 - - " ". (Gupta, 1996, 211) (Varsh, 1979, 84-86) (Mishkin, 2001, 552) W P v K : : W NH = H PK v (1-3) H : : NH + 23
(H).(281 1988 ) (Johnson, 1976, 158-159) W NH H (1-3).(Glahe, 1977, 292) P v K P v K.(Gupta, 1996, 212-213) (Glahe, 1977, 292) (Mishkin, 2001, 437) : (1-3) 1963 Friedman & Schwartz -1 ( ) 24
(Harris,1985,135-136) (Friedman &Schwartz, 1973,106-116). (551 1988 ) 1968 Anderson&Jordan -2. (549-551 1988 ) ( ) 1994 peter Ireland -3 1965 James Tobin 1967 Miguel Siduaski,. 1967 ) (. ( ) 1979 Stanley fisher. 1987 jean-pierre 25
.(Ireland, 1994, 47-48) 1995 chari -4 %0.2-0.7 %15 :.(Chari & et al, 1995,1-2) ) 1992 Levine & Renelt - ( %12.34 %31.13 1994 Easterly et al %4 %8.42 %-0.2 %16.5 %5.2 %10 GDP Chari & et al, 1995, 1-3 ).( 26
1993 1991 Fischer - %40-10 %10 %10 %40 %0.75 %1.3 %0.2 %10 1991 1992 Roubini&Salai-Martin %0.7-0.4 %0.7 0.5 %10 1995 %10 %0.3-0.2 0.7-0.3. (Chari & et al, 1995, 2-5) %10 % St.Louis -5 m1 4 1982-1960 %30 m1. M 1. 27
. (18-24) : 3... 3-9.(wachtel, 1989, 299-302) 18-24 : (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
(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 + + 0 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 0 1 1 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
[ m ( b )] y= α 0 + α1y 1+ α 2 0 + 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, 475-482)) : -1.. -2. -3. -4 : (Heteroscdasticity& Homoscedasticity ) : : (Augmented Dickey-Ffuller) ADF - (1-2) ( ) (D1LOG GDP) 10%, (-3.928) (t - tau) (--2.603, -2.931, -3.592) 5%, 1% (2-2) ADF. (M1) -) (t- tue) (D1LOG MONEY) (10%, 5%, 1%) (4.012 (3-2) ADF.(-2.603, -2.931, -3.592) 30
(-4.625) (t- tue) (D2LOG EXPEND) (-2.605, -2.935, -3.600) (10%, 5%, 1%). Vector Auto Regression (VAR) Ys (Likelihood) (AIC) (Sc).(Hill & Griffiths, 1997, 338) (Greene, 2000, 645-646) (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
: -1 (LM). -2. -3. 32
(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. 4. 8- 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.. 10- 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. 1. 16- 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
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.. 24- 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
- - (1-2) Null Hypothesis: D1LOGGDP has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0) Prob.* 0.0040 t-statistic -3.928198-3.592462-2.931404-2.603944 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): 1968 2010 Included observations: 43 after adjustments Prob. t-statistic Std. Error Coefficient Variable 0.0003 0.0030-3.928198 3.154970 0.139223 0.019251-0.546896 0.060736 D1LOGGDP(-1) C -0.000955 0.084629-2.351028-2.269112 15.43074 0.000321 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 0.273446 0.255725 0.073011 0.218553 52.54710 2.107281 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.* 0.0032 t-statistic -4.012524 Augmented Dickey-Fuller test statistic 35
-3.592462-2.931404-2.603944 1% 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): 1968 2010 Included observations: 43 after adjustments Prob. t-statistic Std. Error Coefficient Variable 0.0002 0.0070-4.012524 2.842185 0.125875 0.017596-0.505075 0.050011 D1LOGMONEY(-1) C -0.004969 0.084407-2.368076-2.286160 16.10035 0.000249 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 0.281966 0.264453 0.072391 0.214858 52.91363 2.086060 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.* 0.0006 t-statistic -4.625450-3.600987-2.935001-2.605836 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): 1970 2010 36
Included observations: 41 after adjustments Prob. t-statistic Std. Error Coefficient Variable 0.0000 0.0084 0.8700-4.625450 2.781574 0.164763 0.328938 0.222520 27.45619-1.521484 0.618956 4.523767 D2LOGEXPEND(-1) D(D2LOGEXPEND(-1)) C -19.74732 213.0216 13.20393 13.32931 11.65589 0.000113 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 0.380217 0.347597 172.0607 1124985. -267.6805 1.784083 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: 1966 2010 Lags: 2 (4-2) Prob. F-Statistic Obs Null Hypothesis: 0.0240 0.8124 4.13204 0.20898 42 D1LOGMONEY does not Granger Cause D1LOGGDP D1LOGGDP does not Granger Cause D1LOGMONEY 0.3270 0.0316 1.15321 3.80961 41 D2LOGEXPEND does not Granger Cause D1LOGGDP D1LOGGDP does not Granger Cause D2LOGEXPEND 0.0641 0.9673 2.96744 0.03327 41 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): 1970 2010 Included observations: 41 after adjustments Standard errors in ( ) & t-statistics in [ ] D2LOGEXPE ND D1LOGMONE Y D1LOGGDP 146.2001 (420.296) [ 0.34785] -0.046406 (0.18063) [-0.25691] 0.136995 (0.17823) [ 0.76863] D1LOGGDP(-1) 37
-1044.382 (384.438) [-2.71665] -0.165035 (0.16522) [-0.99889] 0.141480 (0.16303) [ 0.86783] D1LOGGDP(-2) 20.46794 (371.691) [ 0.05507] 0.527355 (0.15974) [ 3.30133] 0.316010 (0.15762) [ 2.00487] D1LOGMONEY(-1) 261.0501 (398.668) [ 0.65481] 0.184179 (0.17133) [ 1.07497] 0.142919 (0.16906) [ 0.84537] D1LOGMONEY(-2) -0.072627 (0.21355) [-0.34009] -6.05E-05 (9.2E-05) [-0.65953] 0.000123 (9.1E-05) [ 1.35588] D2LOGEXPEND(-1) -0.609590 (0.22230) [-2.74216] 0.000221 (9.6E-05) [ 2.31434] 6.87E-06 (9.4E-05) [ 0.07286] D2LOGEXPEND(-2) 78.42444 (51.7050) [ 1.51677] 0.049243 (0.02222) [ 2.21607] 0.028659 (0.02193) [ 1.30705] C 0.338765 0.222076 913913.1 163.9506 2.903155-263.4208 13.19126 13.48382-6.758049 185.8851 0.423459 0.321717 0.168799 0.070460 4.162068 54.42224-2.313280-2.020719 0.102946 0.085554 0.387433 0.279333 0.164349 0.069526 3.584023 54.96984-2.339992-2.047431 0.109105 0.081899 R-squared Adj. R-squared Sum sq. resids S.E. equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent 0.517657 0.295207-149.5178 8.317943 9.195627 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 38
20000 16000 الناتج المحلي الا جمالي (مليون دينار) 12000 8000 4000 0 70 75 80 85 90 95 00 05 10 GDP السنوات GDP (2-1) 7000 6000 5000 الا نفاق الحكومي (مليون دينار ( 4000 3000 2000 1000 0 70 75 80 85 90 95 00 05 10 GOV_EXPEND السنوات (2-2) 39
7000 6000 عرض النقد ) مليون دينار ( 5000 4000 3000 2000 1000 0 70 75 80 85 90 95 00 05 10 MONEY السنوات ( 3-2) 40