أثر الصدمات النقدية غير المتماثلة على معدل التضخم في مصر باستخدام منهجية NARDL خلال الفترة 1961-2018

Abstract EN

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.