The causal relationship between inflation and the volume of private sector deposits and the Amman Stock Exchange Index. (The case of Jordan for the period 1999-2017)
DOI:
https://doi.org/10.33095/jeas.v25i115.1775Keywords:
التضخم، حجم الودائع، مؤشر سوق عمان المالي، اختبار جذر الوحدة، اختبار جوهانسون للتكامل المشترك، اختبار السببية، تحليل مكونات التباين ، دالة الاستجابة لردة الفعل ., Inflation, Deposits, Amman Stock Exchange index, Unit Root Test, Johansen Co integration, Granger causality test, Variance Decomposition, Impulse Response Function Test.Abstract
The study aims to show the correlation between inflation rates and the volume of private sector deposits in Jordan on one hand, and Amman Stock Exchange index for the period of 1999-2017. The study used the “Vector Auto Regression” model. Different types of tests are used such as: The “Johansen Co integration” test of joint integration, “Granger causality” test, the “Analysis of Variance Decomposition”, and “Impulse response Function” test.
The results showed there is a positive-one-way causal effect from Amman Stock Exchange index to inflation. Also, a one-way causal effect that comes from Amman Stock Exchange index to the size of private sector deposits. Conversely, there was no causal relationship between inflation rates to Amman Stock Exchange index. Moreover, causal relationship trend is absent from the volume of private sector deposits to Amman Stock Exchange index, where results were not statistically significant.
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