Pub Date : 2013-10-11DOI: 10.3126/nrber.v25i2.52694
T. Koirala
This paper attempts to investigate the stability of time-varying parameters of the random walk model of inflation in Nepal. This study has been motivated with the Lucas Critique (1976) that the monetary/fiscal policy that is exposed to change over time affect the expectations of forward looking economic agents which hence lead to non-constant time-varying parameters of the model. Monthly time series of inflation ranging from August, 1997 to July, 2012 has been utilized for the analysis. Applying the Kalman Filter technique for the estimation of coefficients of random walk model, we found non-constant time varying parameters of both the constant and autoregressive of order one AR(1) coefficient of inflation over the long run. The changes in the expectations of rational economic agents on macroeconomic policies as a result of the problems of policy commitment, credibility and dynamic consistency might have attributed such non-constant timevarying parameters. Therefore, in addition to supply smoothing policies to control inflation in Nepal, consistent and credible policies that are not exposed to change over time may reduce the gap of actual inflation from its targets and hence trigger inflation into desired level.
{"title":"Time-Varying Parameters of Inflation Model in Nepal: State Space Modeling","authors":"T. Koirala","doi":"10.3126/nrber.v25i2.52694","DOIUrl":"https://doi.org/10.3126/nrber.v25i2.52694","url":null,"abstract":"This paper attempts to investigate the stability of time-varying parameters of the random walk model of inflation in Nepal. This study has been motivated with the Lucas Critique (1976) that the monetary/fiscal policy that is exposed to change over time affect the expectations of forward looking economic agents which hence lead to non-constant time-varying parameters of the model. Monthly time series of inflation ranging from August, 1997 to July, 2012 has been utilized for the analysis. Applying the Kalman Filter technique for the estimation of coefficients of random walk model, we found non-constant time varying parameters of both the constant and autoregressive of order one AR(1) coefficient of inflation over the long run. The changes in the expectations of rational economic agents on macroeconomic policies as a result of the problems of policy commitment, credibility and dynamic consistency might have attributed such non-constant timevarying parameters. Therefore, in addition to supply smoothing policies to control inflation in Nepal, consistent and credible policies that are not exposed to change over time may reduce the gap of actual inflation from its targets and hence trigger inflation into desired level.","PeriodicalId":372963,"journal":{"name":"NRB Economic Review","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115398311","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2013-10-11DOI: 10.3126/nrber.v25i2.52683
Prakash Shrestha
This paper examines the money supply process in Nepal empirically on the basis of mainstream and Post-Keynesian theoretical perspectives for both pre and post-liberalization period covering the sample period of 1965/66-2009/10. The relative contribution of different components of money supply has been computed and the money supply as well as money multiplier function has been estimated. Empirical results show that disposable high powered money is found to be a major contributor to the change in monetary aggregates without any significant structural break. However, the degree of controllability of high powered money is not strong, and neither CRR nor Bank Rate has been effective monetary policy tools so far. Open market operation is found statistically significant only at 10 percent level of significance to influence disposable high powered money. On the other hand, money multipliers are affected by currency ratio, time deposits ratio and excess reserve ratio, but not by CRR. On the other hand, Granger causality based test of Post-Keynesian hypothesis reveals that money supply endogeniety cannot be ruled out. Hence, monetary policy framework needs to be changed accordingly and OMO should be strengthened further.
{"title":"An Empirical Analysis of Money Supply Process in Nepal","authors":"Prakash Shrestha","doi":"10.3126/nrber.v25i2.52683","DOIUrl":"https://doi.org/10.3126/nrber.v25i2.52683","url":null,"abstract":"This paper examines the money supply process in Nepal empirically on the basis of mainstream and Post-Keynesian theoretical perspectives for both pre and post-liberalization period covering the sample period of 1965/66-2009/10. The relative contribution of different components of money supply has been computed and the money supply as well as money multiplier function has been estimated. Empirical results show that disposable high powered money is found to be a major contributor to the change in monetary aggregates without any significant structural break. However, the degree of controllability of high powered money is not strong, and neither CRR nor Bank Rate has been effective monetary policy tools so far. Open market operation is found statistically significant only at 10 percent level of significance to influence disposable high powered money. On the other hand, money multipliers are affected by currency ratio, time deposits ratio and excess reserve ratio, but not by CRR. On the other hand, Granger causality based test of Post-Keynesian hypothesis reveals that money supply endogeniety cannot be ruled out. Hence, monetary policy framework needs to be changed accordingly and OMO should be strengthened further.","PeriodicalId":372963,"journal":{"name":"NRB Economic Review","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123192057","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2013-06-01DOI: 10.3126/nrber.v25i2.52693
B. Budha
This paper examines the bank lending channel of monetary policy transmission in Nepal using data during 2003-2012. Using the dynamic Arellano-Bond GMM estimation with annual data of 25 Nepalese commercial banks, this study tries to estimate the loan supply responses of Nepalese commercial banks, depending on their balance sheet characteristics. The main results suggest that banks play a role in Nepal's monetary transmission mechanism. Empirical result shows that the bank lending decreases after a monetary tightening. Bank size is found to have significant impact on loan supply in Nepal. Similarly, liquidity in the case of private sector banks is also playing a significant role in bank lending in response to monetary policy changes. But, capitalization is found to have no significant impact on bank lending. The bank loan supply is also found to be significantly affected by gross domestic product.
{"title":"The Bank Lending Channel of Monetary Policy in Nepal: Evidence from Bank Level Data","authors":"B. Budha","doi":"10.3126/nrber.v25i2.52693","DOIUrl":"https://doi.org/10.3126/nrber.v25i2.52693","url":null,"abstract":"This paper examines the bank lending channel of monetary policy transmission in Nepal using data during 2003-2012. Using the dynamic Arellano-Bond GMM estimation with annual data of 25 Nepalese commercial banks, this study tries to estimate the loan supply responses of Nepalese commercial banks, depending on their balance sheet characteristics. The main results suggest that banks play a role in Nepal's monetary transmission mechanism. Empirical result shows that the bank lending decreases after a monetary tightening. Bank size is found to have significant impact on loan supply in Nepal. Similarly, liquidity in the case of private sector banks is also playing a significant role in bank lending in response to monetary policy changes. But, capitalization is found to have no significant impact on bank lending. The bank loan supply is also found to be significantly affected by gross domestic product.","PeriodicalId":372963,"journal":{"name":"NRB Economic Review","volume":"247 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113972105","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2013-05-08DOI: 10.3126/nrber.v25i1.52698
B. Budha
This paper investigates the demand for money in Nepal using the Autoregressive Distributed Lag (ARDL) approach for the period of 1975-2011.The results based on the bounds testing procedure reveal that there exist the cointegration among the real money aggregates (Mr1 and Mr2 ), real income, inflation and interest rate. The real income elasticity coefficient is found to be positive and the inflation coefficient is negative. The interest rate coefficient is negative for both of the real monetary aggregates supporting the theoretical explanation. In addition, the error correction models suggest that the deviations from the long-run equilibrium are short-lived in Mr1 than Mr2 . Finally, the CUSUM and CUSUMSQ tests reveal that the Mr1 money demand function is stable, but Mr2 money demand function is not stable implying that the monetary policy should pay more attention to Mr1 than Mr2 .
{"title":"Demand for Money in Nepal: An ARDL Bounds Testing Approach","authors":"B. Budha","doi":"10.3126/nrber.v25i1.52698","DOIUrl":"https://doi.org/10.3126/nrber.v25i1.52698","url":null,"abstract":"This paper investigates the demand for money in Nepal using the Autoregressive Distributed Lag (ARDL) approach for the period of 1975-2011.The results based on the bounds testing procedure reveal that there exist the cointegration among the real money aggregates (Mr1 and Mr2 ), real income, inflation and interest rate. The real income elasticity coefficient is found to be positive and the inflation coefficient is negative. The interest rate coefficient is negative for both of the real monetary aggregates supporting the theoretical explanation. In addition, the error correction models suggest that the deviations from the long-run equilibrium are short-lived in Mr1 than Mr2 . Finally, the CUSUM and CUSUMSQ tests reveal that the Mr1 money demand function is stable, but Mr2 money demand function is not stable implying that the monetary policy should pay more attention to Mr1 than Mr2 .","PeriodicalId":372963,"journal":{"name":"NRB Economic Review","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125089106","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2013-05-08DOI: 10.3126/nrber.v25i1.52699
G. Bhatta
Once Nepal eased the access to the international labor market, there is an increasing trend of Nepalese working abroad, where annually thousands of young people migrate from the country. Consequently, there has been a sharp increment of remittance inflow in the recent years. Since remittance helps people improve the living standards, it has been observed as a good contributor for the poverty reduction in Nepal. Nevertheless, it might further deteriorate the trade balance, causing higher demand for consumable goods, most of which are imported in Nepal. Using cointegration techniques and a Vector Error Correction Model (VECM) based on the monthly data of merchandise import, worker's remittance and trade deficit for ten years period, this paper studies whether remittance causes the merchandise import and trade deficit to raise in the long run. The cointegration equation show that there is a long-run positive unidirectional causality from remittance to import as well as remittance to trade deficit implying that remittance causes merchandise import and deteriorates trade balance.
{"title":"Remittance and Trade Deficit Nexus in Nepal: A VECM Approach","authors":"G. Bhatta","doi":"10.3126/nrber.v25i1.52699","DOIUrl":"https://doi.org/10.3126/nrber.v25i1.52699","url":null,"abstract":"Once Nepal eased the access to the international labor market, there is an increasing trend of Nepalese working abroad, where annually thousands of young people migrate from the country. Consequently, there has been a sharp increment of remittance inflow in the recent years. Since remittance helps people improve the living standards, it has been observed as a good contributor for the poverty reduction in Nepal. Nevertheless, it might further deteriorate the trade balance, causing higher demand for consumable goods, most of which are imported in Nepal. Using cointegration techniques and a Vector Error Correction Model (VECM) based on the monthly data of merchandise import, worker's remittance and trade deficit for ten years period, this paper studies whether remittance causes the merchandise import and trade deficit to raise in the long run. The cointegration equation show that there is a long-run positive unidirectional causality from remittance to import as well as remittance to trade deficit implying that remittance causes merchandise import and deteriorates trade balance.","PeriodicalId":372963,"journal":{"name":"NRB Economic Review","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122504825","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2013-05-08DOI: 10.3126/nrber.v25i1.52700
S. Paudyal
This paper examines short term and long term relationship between nominal interest rates and budget deficits for Nepal using the data for 1988 to 2011. Engle and Granger Error Correction Mechanism (ECM) is applied for the analysis. The regression results show that budget deficits and budget deficits- GDP ratio do not have significant effects on nominal interest rates in Nepal. So, budget deficits in Nepal are interest rates neutral. We come to the conclusion that budget deficits are not crowding out the private investment in this country. However, the deficits have been increasing the burden of loans financing current consumption at the expense of the future consumption, which will have serious implications on the growth of economy.
{"title":"Do Budget Deficits Raise Interest Rates in Nepal?","authors":"S. Paudyal","doi":"10.3126/nrber.v25i1.52700","DOIUrl":"https://doi.org/10.3126/nrber.v25i1.52700","url":null,"abstract":"This paper examines short term and long term relationship between nominal interest rates and budget deficits for Nepal using the data for 1988 to 2011. Engle and Granger Error Correction Mechanism (ECM) is applied for the analysis. The regression results show that budget deficits and budget deficits- GDP ratio do not have significant effects on nominal interest rates in Nepal. So, budget deficits in Nepal are interest rates neutral. We come to the conclusion that budget deficits are not crowding out the private investment in this country. However, the deficits have been increasing the burden of loans financing current consumption at the expense of the future consumption, which will have serious implications on the growth of economy.","PeriodicalId":372963,"journal":{"name":"NRB Economic Review","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124083829","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2013-05-01DOI: 10.3126/nrber.v25i2.52682
S. Acharya, G. Bhatta
The concern of climate change has been emphasized in the field of economics too owing to the challenge of adapting to global warming for sustainable development and growth. This challenge becomes dominant in the developing economies like Nepal as these countries face the combination of equator vulnerable climate change pattern, agro-based economy, scarcity of resources, and lack of influence to put forth the global agenda of climate change to international forum. In this paper, we conducted a quantitative modeling of climate change and its impact to the agricultural value addition in Nepal taking into consideration annual series of agricultural gross domestic product (AGDP), rainfall, temperature, seeds and fertilizer distribution data for the period of 36 years ranging from 1975 to 2010. The statistical inferences show the significant positive impact of rainfall to the AGDP. Nevertheless, improved seeds and chemical fertilizers are found to be insignificant. The impact of rising temperature to AGDP is cautious as we find a large negative coefficient of cyclical component of temperature, but statistically insignificant. This insignificance may be due to the nature of very little temperature variability over the study period as compared to the variability in AGDP. The country should assess the impact of climate change in national, regional, and district level to collect the spatial information and underpin the adaptive policies to the required areas.
{"title":"Impact of Climate Change on Agricultural Growth in Nepal","authors":"S. Acharya, G. Bhatta","doi":"10.3126/nrber.v25i2.52682","DOIUrl":"https://doi.org/10.3126/nrber.v25i2.52682","url":null,"abstract":"The concern of climate change has been emphasized in the field of economics too owing to the challenge of adapting to global warming for sustainable development and growth. This challenge becomes dominant in the developing economies like Nepal as these countries face the combination of equator vulnerable climate change pattern, agro-based economy, scarcity of resources, and lack of influence to put forth the global agenda of climate change to international forum. In this paper, we conducted a quantitative modeling of climate change and its impact to the agricultural value addition in Nepal taking into consideration annual series of agricultural gross domestic product (AGDP), rainfall, temperature, seeds and fertilizer distribution data for the period of 36 years ranging from 1975 to 2010. The statistical inferences show the significant positive impact of rainfall to the AGDP. Nevertheless, improved seeds and chemical fertilizers are found to be insignificant. The impact of rising temperature to AGDP is cautious as we find a large negative coefficient of cyclical component of temperature, but statistically insignificant. This insignificance may be due to the nature of very little temperature variability over the study period as compared to the variability in AGDP. The country should assess the impact of climate change in national, regional, and district level to collect the spatial information and underpin the adaptive policies to the required areas.","PeriodicalId":372963,"journal":{"name":"NRB Economic Review","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131706606","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2012-11-15DOI: 10.3126/nrber.v24i2.52728
R. Joshi
This paper examines the impact of dividends on stock price in the context of Nepal. A majority of earlier studies conducted in developed countries show that dividend has a strong effect than retained earnings. The study examines whether this is consistent in the context of Nepal (or not) and the implication particularly to the banking and non-banking sector. To achieve the objective of the study, a descriptive and analytical research design has been administered. The secondary data are used to test this impact. In order to examine the impact of dividends on stock prices, a multivariate linear regression analysis has been implied in which current market stock price is taken as a dependent variable and four other variables namely Dividend Per Share (DPS), Retained Earnings Per Share (REPS), Lagged Price Earnings Ratio (P/E ratio) and Lagged Market Price Per Share (MPS) as the explanatory variables. This attempt has been made to test the dividends retained earning hypothesis and to examine the estimated relationship over the period of time. The overall conclusion drawn in this study reveals that, the impact of dividends is more pronounced than that of retained earnings in the context of Nepal. Dividend has a significant effect on market stock price in both banking and non-banking sector.
{"title":"Effects of Dividends on Stock Prices in Nepal","authors":"R. Joshi","doi":"10.3126/nrber.v24i2.52728","DOIUrl":"https://doi.org/10.3126/nrber.v24i2.52728","url":null,"abstract":"This paper examines the impact of dividends on stock price in the context of Nepal. A majority of earlier studies conducted in developed countries show that dividend has a strong effect than retained earnings. The study examines whether this is consistent in the context of Nepal (or not) and the implication particularly to the banking and non-banking sector. To achieve the objective of the study, a descriptive and analytical research design has been administered. The secondary data are used to test this impact. In order to examine the impact of dividends on stock prices, a multivariate linear regression analysis has been implied in which current market stock price is taken as a dependent variable and four other variables namely Dividend Per Share (DPS), Retained Earnings Per Share (REPS), Lagged Price Earnings Ratio (P/E ratio) and Lagged Market Price Per Share (MPS) as the explanatory variables. This attempt has been made to test the dividends retained earning hypothesis and to examine the estimated relationship over the period of time. The overall conclusion drawn in this study reveals that, the impact of dividends is more pronounced than that of retained earnings in the context of Nepal. Dividend has a significant effect on market stock price in both banking and non-banking sector.","PeriodicalId":372963,"journal":{"name":"NRB Economic Review","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131205689","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2012-11-15DOI: 10.3126/nrber.v25i1.52715
M. Shrestha, Shashi Kant Chaudhary
This paper examines the impact of food price hike on poverty in Nepal employing crosssectional sample household consumption data of Nepal Living Standard Survey III. The findings of the study suggest that a 10 percent rise in food prices is likely to increase overall poverty in Nepal by 4 percentage points. It implies that one percent rise in food inflation will push 100 thousand additional people into overall poverty and 180 thousand additional people into food poverty. The paper also analyses the impact at the regional level and suggests some policy options to contain the food inflation and to mitigate the impact of food price hike on the poor section of the population.
{"title":"The Impact of Food Inflation on Poverty in Nepal","authors":"M. Shrestha, Shashi Kant Chaudhary","doi":"10.3126/nrber.v25i1.52715","DOIUrl":"https://doi.org/10.3126/nrber.v25i1.52715","url":null,"abstract":"This paper examines the impact of food price hike on poverty in Nepal employing crosssectional sample household consumption data of Nepal Living Standard Survey III. The findings of the study suggest that a 10 percent rise in food prices is likely to increase overall poverty in Nepal by 4 percentage points. It implies that one percent rise in food inflation will push 100 thousand additional people into overall poverty and 180 thousand additional people into food poverty. The paper also analyses the impact at the regional level and suggests some policy options to contain the food inflation and to mitigate the impact of food price hike on the poor section of the population.","PeriodicalId":372963,"journal":{"name":"NRB Economic Review","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114530086","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2012-11-15DOI: 10.3126/nrber.v24i2.52727
T. Koirala
This paper attempts to identify appropriate methods for government revenues forecasting based on time series forecasting. I have utilized level data of monthly revenue series including 192 observations starting from 1997 to 2012 for the analysis. Among the five competitive methods under scrutiny, Winter method and Seasonal ARIMA method are found in tracking the actual Data Generating Process (DGP) of monthly revenue series of the government of Nepal. Out of two selected methods, seasonal ARIMA method albeit superior in terms of minimum MPE and MAPE criteria. However, the results of forecasted revenues in this paper may vary depending on the application of more sophisticated methods of forecasting which capture cyclical components of the revenue series. The prevailing forecasting method based particularly on growth rate method extended with discretionary adjustment of a number of updated assumptions and personal judgment can create uncertainty in revenue forecasting practice. Therefore, the methods recommended here in this paper help in reducing forecasting error of the government revenue in Nepal.
{"title":"Government Revenue Forecasting in Nepal","authors":"T. Koirala","doi":"10.3126/nrber.v24i2.52727","DOIUrl":"https://doi.org/10.3126/nrber.v24i2.52727","url":null,"abstract":"This paper attempts to identify appropriate methods for government revenues forecasting based on time series forecasting. I have utilized level data of monthly revenue series including 192 observations starting from 1997 to 2012 for the analysis. Among the five competitive methods under scrutiny, Winter method and Seasonal ARIMA method are found in tracking the actual Data Generating Process (DGP) of monthly revenue series of the government of Nepal. Out of two selected methods, seasonal ARIMA method albeit superior in terms of minimum MPE and MAPE criteria. However, the results of forecasted revenues in this paper may vary depending on the application of more sophisticated methods of forecasting which capture cyclical components of the revenue series. The prevailing forecasting method based particularly on growth rate method extended with discretionary adjustment of a number of updated assumptions and personal judgment can create uncertainty in revenue forecasting practice. Therefore, the methods recommended here in this paper help in reducing forecasting error of the government revenue in Nepal.","PeriodicalId":372963,"journal":{"name":"NRB Economic Review","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128268229","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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