ISSN No: 1608-6627
Year 2017 Volume 29-1
Articles in this volume
[Hom Nath Gaire]

In this study, an attempt has been made to demonstrate the usefulness of univariate time series analysis as both an analytical and forecasting tool for Nepali stock Market. The data set covers the daily closing value of NEPSE index for two and half years starting from the middle of 2012 to end 2015. The forecasting analysis indicates the usefulness of the developed model in explaining the variations, trend and fluctuations in the values of the price index of Nepali stock exchange. Explanation of the fit of the model is described using the Correlogram, Unit Root tests and ARCH tests, which finally confirm that the ARIMA and EGARCH are good in forecasting and predicting daily stock index of Nepal. Furthermore, it is inferred that the daily stock price index contains an autoregressive, seasonal and moving average components; hence, one can predict stock returns through the identified models.

[Research Department]

In this paper, we use auto-regressive distributed lag (ARDL) approach to co-integration developed by Pesaran et al. (1999) to estimate the elasticity and buoyancy coefficients of various revenue heads. We find that long-run buoyancy coefficients are greater than unity for all revenue heads except for custom duty whereas elasticity coefficients except for VAT are smaller than unity. Short-run buoyancy and elasticity coefficients for all revenue heads are found smaller than unity. We find OLS estimates of these coefficients to be spurious for the sample 1975-2016. These coefficients will be biased if data generating process (DGP) excludes tax exemption. All components of revenue besides income tax and VAT are found to be neutral to inflation. Empirical evidence suggests that custom reform should get top priority in the reform of revenue administration.

[Ram Chandra Acharya]

Using the data from 1974/75 to 2017/18, this paper intended to find out the relationship between money supply, income and price level in Nepal. The paper has established the relationship between real money supply (both M1 and M2) with respect to real GDP, nominal money supply (both M1 and M2) with respect to price level and nominal GDP with respect to price level separately. The econometric tools such as ADF for unit root tests, SIC for lag length selection, bivariate Johansen Cointegration tests followed by VECM has been used for long-run causality. Further, VEC as well as VAR Granger Causality/Block Exogeneity Wald tests for short-run causality are used. The paper found bidirectional longrun causality between the real income with respect to both type of money supply in real terms. But there is no evidence of short run causation between these variables. Likewise, the study found the unidirectional long-run relationship runs from narrow money supply to consumer price. However, there is no short-run relationship from either side. Accordingly, there is no evidence of long-run as well as short-run relationship between broad money supply and consumer price level. Lastly, there is no evidence of long-run causality between nominal GDP and general price level. But the study found unidirectional short-run causality running from general price to nominal GDP. The results suggest that Nepal should focus on growth of time deposit component of broad money supply in long-run for economic growth and control of inflation.