International incidences, macroeconomic variables and their volatility effect on economic growth: empirical evidence from Pakistan
Keywords:ARCH, GARCH, Marcoeconomic variables, IMF, GDP, Volatility
The prime objective of this study is to incorporate the volatility among the different macroeconomic variables. In order, to analysis the volatility among different variables we have employed the ARCH/GARCH model. Our results suggested that there is not significant relationship between IMF, FDI and GDP. while, import, export and market capitalization have negative relationship. GRCH model reported that in the case of gold there is persistence of volatility exists. Morever, inflation and exchange rate are found insignificant volatility. Our study is also trying to show that Iraq war have significant volatility while other global crisis have negative volatility.
Abdulahi, S.A., 2005. Capital market performance and economic development in Nigeria. An empirical analysis paper presented at the Dept. of Business Administration, Bayero University Kano.
Adamu, J.A., Sanni, I., 2005. Stock market development and Nigerian economic growth. J. Econ. Alli. Field., 2(2), 116-132.
Agarwal, S., 2001. Stock market development and economic growth: Preliminary evidence from African countries. Retrieved, Aril, 2, 2012 from,
Andersen, T.G., Bollerslev, T., Diebold, F.X., Labys, P., 2000. Realized Volatility and Correlation, Unpublished paper, Source document: http://www.ssc.upenn.edu/~diebold/papers/paper29/temp.dbf
Balasubramanyam, V.N., Salisu, M., Sapsford, D., 2015. Foreign direct investment and growth in EP and is countries. Econ. J., 106, 92-105.
Ben Porath, Y., 2014. The production of human capital and the life cycle of earnings. J. Polit. Econ., 75, 352–65.
Blomström, M., Robert, E., Lipsey, Zejan, M., 2013. What explains the growth of developing countries? In Baumol, William J., Nelson, Richard R., Wolff, Edward N. (eds.), Convergence of Productivity, Oxford University Press, New York., 243-256.
Borensztein, E.J., Gregorio, J.D., Lee, J.W., 2012. How does foreign direct investment affect economic growth? National Bureau of Economic Research Working Paper, 5057.
Braun, P.A., Nelson, D.B., Sunier, A.M., 2013. Good news, bad news, volatility, and betas. Journal of Finance, 50, 1575–1603.
Brecher, R.A., Diaz-Alejandro, C.F., 2014. Tariffs, foreign capital and immeserizing growth. J. Int. Econ., 7, 317-22.
Cai, J., Cheung, Y.L., Wong, M.C.S., 2001. What moves the gold market? J. Futur. Market., 21, 257-278.
Chen, A.H., Siems, T.F., 2004. The effects of terrorism on global capital markets. Eur. J. Polit. Econ., 20(2), 349–366.
Chen, N.F., Roll, R., Ross, S., 1986. Economic forces and the stock market. J. Bus., 59(3), 83-403.
Datta, K., Kumar Mukhopadhyay, C., 2011. Relationship between inflation and economic growth in Malaysia - an econometric review. Int. Ferenc. Econ. Finance. Re., IPEDR, IACSIT Press, Singapore, 4.
Devarajan, S., Swaroop, V., Heng-fuZou, 1996. The composition of public expenditure and economic growth. J. Monet. Eco., 37, 313-344.
Doucouliagos, H., Paladam, M., 2009. Aid effectiveness on growth: A meta study. Eur. J. Polit. Econ., 24, 1-24.
Hasan, A., MueenNasir, Z., 2008. Macroeconomic factors and equity prices: An empirical investigation by using ARDL approach. Pakistan Institute of Development of Economics. 4, 501-513.
How to Cite
Copyright (c) 2020 Khakan Najaf, Rabia Najaf
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.