Purpose

This paper aims to investigate the impact of selected macro-economic variables like real effective exchange rate (REER), GDP, inflation (INF), the volume of trade (TR) and money supply (M2) on-budget deficit (BD) in Bangladesh over the period of 1980–2018.

Design/methodology/approach

By using secondary data, the paper uses the Vector Error Correction Model (VECM) and Granger Causality test. Johansen’s cointegration test is used to examine the long-run relationship among the variables under study.

Findings

Johansen’s cointegration test result shows that there exists a positive long-run relationship of selected macroeconomic variables (real effective exchange rate, inflation, the volume of trade and money supply) with the budget deficit, whereas GDP has a negative one. The short-run results from the VECM show that GDP, inflation and money supply have a negative relationship with the budget deficit. The Granger Causality test results reveal unidirectional causal relationships running from BD to REER; TR to BD; M2 to BD; GDP to REER; M2 to REER; INF to GDP; GDP to TR; M2 to GDP and bidirectional causal relationship between GDP and BD; TR and REER; M2 and TR.

Originality/value

Bangladesh has been experiencing a budget deficit since 1972 due to a decline in sources of revenue. This study contributes to the empirical debate on the causal nexus between macroeconomic variables and budget deficits by employing VECM and Granger Causality approaches.

中文翻译：

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宏观经济变量对孟加拉国预算赤字的影响：计量经济学分析

目的

本文旨在研究选定的宏观经济变量的影响，如实际有效汇率 (REER)、GDP、通货膨胀 (INF)、贸易量 (TR) 和货币供应量 (M2) 预算赤字 (BD) 1980-2018 年期间的孟加拉国。

设计/方法/方法

通过使用二手数据，本文使用了矢量纠错模型（VECM）和格兰杰因果关系检验。Johansen 协整检验用于检验所研究变量之间的长期关系。

发现

Johansen 的协整检验结果表明，选定的宏观经济变量（实际有效汇率、通货膨胀、贸易量和货币供应量）与预算赤字存在长期正相关关系，而 GDP 则存在负相关关系。VECM 的短期结果表明，GDP、通货膨胀和货币供应量与预算赤字呈负相关。格兰杰因果关系检验结果揭示了从 BD 到 REER 的单向因果关系；TR 到 BD；M2到BD；GDP 换算成 REER；M2 到 REER；INF 到 GDP；GDP对TR；M2与GDP的关系以及GDP与BD的双向因果关系；TR 和 REER；M2和TR。

原创性/价值

由于收入来源减少，孟加拉国自 1972 年以来一直出现预算赤字。本研究通过采用 VECM 和格兰杰因果关系方法，对宏观经济变量和预算赤字之间的因果关系进行实证辩论。