اختبار العلاقة السببية بين عجز الموازنة العامة و معدل الفائدة في مصر (1981-2018)‎

Abstract EN

The study aimed at determining the nature of the causal relationship between budget deficit and interest rates in Egypt during the period (1981-2018), by analyzing annual data using the Cranger causation methodology within the framework of the Vector Error Correction Model (VECM), according to four stages: Unit root testing using ADF, a long-term balance test between two series data using Engel Granger, Granger test for causality in the short term, and Error Correction Model to determine the direction of the relationship in the long term.

The results indicated that there is a Co-integration relationship between budget deficit (% GDP) (FD) and interest rates(RINT), and the Granger causality test reveals bi-directional relationship between them.

Also, the estimates support the bi-directional causal relationship after inserting money supply MS and inflation INFD variables into the estimated model.

The study recommends that it is necessary to strive to reduce budget deficit as much as possible, so that the Egyptian economy avoids its effects on interest rates in the long term, by increasing tax revenues, by eliminating tax evasion and the efficiency of tax collection.