The Sources of Inflation in Egypt A Multivariate Co-integration Analysis:

References

• Aghevli , BB , Kahn , MS and Montiel , PJ . Exchange rate policy in developing countries: some analytical issues , IMF Occasional Paper No. 78 . 1991
   Google Scholar
• Bahmani-Oskooee , M and Malixi , M . 1992 . Inflationary effects of changes in effective exchange rates: LDCs experience . Applied Economics , 24 : 465 – 471 .
   Web of Science ®Google Scholar
• Boswijk , P and Franses , PH . 1992 . Dynamic specification and cointegration . Oxford Bulletin of Economics and Statistics , 54 : 369 – 381 .
   Web of Science ®Google Scholar
• Calvo , GA , Reinhart , CM and Végh , CA . Targeting the real exchange rate: theory and evidence , IMF Working Paper No. 94/22 . 1994
   Google Scholar
• Catao , L and Terrones , M . Fiscal deficits and inflation – a new look and the emerging market evidence , IMF Working Paper No. 01/74 . 2001
   Google Scholar
• Dolado , JJ and Lutkepohl , H . 1996 . Making Wald test work for cointegrated VAR systems . Econometric Reviews , 15 : 369 – 386 .
   Google Scholar
• Giles , J and Mirza , S . Some pretesting issues on testing for Granger noncausality . Working Papers in Econometrics University of Victoria EWP9914 .
   Google Scholar
• Gosh , AR , Gulde , A , Ostry , JD and Wolf , HC . Does the nominal exchange rate regime matter? , IMF Working Paper No. 95/121 . 1995
   Google Scholar
• Johansen , S . 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 254 .
   Web of Science ®Google Scholar
• Johansen , S . 1991 . Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models . Econometrica , 59 : 1551 – 1580 .
   Web of Science ®Google Scholar
• Johansen , S . 1992 . Determination of the cointegration rank in the presence of a linear trend . Oxford Bulletin of Economics and Statistics , 54 : 383 – 397 .
   Web of Science ®Google Scholar
• Johansen , S . 1994 . The role of the constant and linear terms in cointegration analysis of nonstationary variables . Econometric Reviews , 13 : 205 – 229 .
   Google Scholar
• Johansen , S and Juselius , K . 1990 . Maximum likelihood estimation and inference on cointegration with applications to the demand for money . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
   Web of Science ®Google Scholar
• Kamin , SB . A multi-country comparison of the linkages between inflation and exchange rate competitiveness , Bank of International Settlements Working Papers No. 45 . 1997
   Google Scholar
• Lim , J . 1987 . The new structuralist critique of the monetarist theory of inflation: the case of Philippines . Journal of Development Economics , 25 February : 45 – 61 .
   Google Scholar
• Lim , CH and Papi , L . An econometric analysis of the determinants of inflation in Turkey , IMF Working Paper No. WP/97/170 . 1997
   Google Scholar
• Loungani , PN and Swagel , PL . Sources of inflation in developing countries , IMF Working Paper No. 01/198 . 2001
   Google Scholar
• Lowinger , TC . 1987 . Domestic Inflation and Exchange Rate Changes: The LDCs Case , Stockholm : IIES .
   Google Scholar
• McNelis , PD . 1987 . Indexing, exchange rate policy and inflationary feedback effects in Latin America . World Development , 15 August : 1107 – 1117 .
   Google Scholar
• Morrison , RJ . 1987 . Inflation in Portugal, 1953–1980: an econometric analysis . Kyklos , 40 : 217 – 219 .
   Google Scholar
• Osterwald-Lenum , M . 1992 . A note with quantiles of the asymptotic distribution of the maximum likelihood of cointegration rank statistics . Oxford Bulletin of Economics and Statistics , 54 : 461 – 471 .
   Web of Science ®Google Scholar
• Quirk , PJ . Fixed or floating exchange regimes: does it matter for inflation? , IMF Working Paper No. 94/134 . 1994
   Google Scholar
• Rana , PB and Dowling , JM . 1985 . Inflationary effects of small but continuous changes in effective exchange rates: nine Asian LDCs . The Review of Economics and Statistics , August : 496 – 500 .
   Google Scholar
• Romer , D . 1993 . Opennes and inflation: theory and evidence . Quarterly Journal of Economics , 108 November : 1 – 17 .
   Google Scholar
• Siklos , PL . The connection between exchange rate regimes and credibility: an international perspective . Proceedings of a Conference held by the Bank of Canada. Exchange Rates and Monetary Policy . October 1996 . Bank of Canada .
   Google Scholar
• Terra , CT . 1998 . Openness and inflation: a new assessment . The Quarterly Journal of Economics , 113 : 641 – 648 .
   Web of Science ®Google Scholar
• Toda , HY and Yamamoto , T . 1995 . Statistical inference in vector autoregressions with possibly integrated processes . Journal of Econometrics , 66 : 225 – 250 .
   Web of Science ®Google Scholar
• Zapata , HO and Rambaldi , AN . 1997 . Monte Carlo evidence on cointegration and causation . Oxford Bulletin of Economics and Statistics , 59 : 285 – 298 .
   Web of Science ®Google Scholar