The Role of Remittances in Financial Development: Evidence from Nonlinear ARDL and Asymmetric Causality

• 발행기관: 한국유통과학회
• 저자명: Ahmed Muneeb MEHTA Md. QAMRUZZAMAN Ayesha SERFRAZ Asad ALI
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.3, 139~154쪽, 전체 16쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.03.30

영문 초록

This study’s impetus is to explore fresh evidence to answer the question, i.e., whether remittances asymmetrically influence financial development in Bangladesh from 1975 to 2019. The study employs several tests, i.e., nonlinear unit root test, Autoregressive Distributed Lagged (ARDL), NARDL, and asymmetric causality test for establishing the pattern of association. Nonlinear unit root tests confirm that variables follow a nonlinear system of being stationary after the first difference. nonlinearity among variables is investigated by performing the BDS test and nonlinear OLS. Directional causality is investigated through both linear and nonlinear effects of remittance inflows by following the non-granger casualty test. The test statistics of Fpass and tBDM showed the Long-run cointegration in the empirical model and positive effect running from remittances inflow to financial development both in the long-run and short-run. Furthermore, the results of a standard Wald test divulge the presence of long-run and short-run asymmetry. Asymmetry causality test established unidirectional causality due to positive and negative shocks in remittances inflows to Bank-based financial development and feedback hypothesis hold for explaining causality between positive and negative shocks in remittance inflows and Stock-based financial development.

목차

1. Introduction

2. Literature Review

3. Methodology

4. Empirical Model Estimation and Interpretation

5. Granger Causality and Impulse Responses

6. Conclusion and Policy Suggestions

References

키워드

Remittances Financial Development ARDL NARDL Asymmetry Causality