BBSE Research projects (2017)

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Browsing BBSE Research projects (2017) by Subject "Cointegration"

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    An assessment of the interest rate channel on monetary policy transmission in Kenya 2006-2015
    (Strathmore University, 2017) Siele, Daisy Chepng'eno
    For the government to achieve its desired level of economic growth, appropriate monetary policy needs to be formulated and implemented. Theoretical and empirical literature highlights the importance of the interest rate channel. However in Kenya there have been inconclusive evidence on the effectiveness of this channel. This study attempts to investigate the effectiveness of the interest rate channel of monetary policy transmission in Kenya during the period 1996-2015. The study employed Vector Autoregressive Models. The paper also employs time series techniques namely Unit root tests, cointegration, impulse responses and variance decomposition. Cointegration tests showed the presence of 2 cointegrating equations and the study proceeded to use Vector error correction models (VECM). From the impulse response tests, the interest rate channel of monetary policy is proved to be effective since the Central bank rate (CBR) is able to transmit effects on output and prices but its effectiveness is with the four lags for CPI and three lags for GDP. The forecast error variance decomposition show that in forecasting CPl, all fluctuations were attributed to itself, with decreasing significant contribution from CBR in the long run. Forecasting GDP showed that GDP fluctuations were greatly denominated by itself, however in the long run there was significant contribution in the other variables. The results show that the interest rate channel of monetary policy transmission is effective in Kenya.
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    Healthcare expenditure and economic growth: The kenyan case (1970 - 2016).
    (Strathmore University, 2017) Nyamweya, Naomi Kerubo
    Given that a large chunk of the National Budget is allocated to the health care sector (31.3 Billion of the 2016/7 National Budget) it is important to establish whether it is of any consequence to output. There exists a gap in finding a link between total healthcare expenditure and economic growth in Kenya. This study seeks to establish and estimate the relationship between health care expenditure and economic growth for the period 1970 to 2016. The research design used here is historical and the data used is longitudinal. Secondary data on the GDP, total health care expenditure, gross capital formation, secondary school enrollment and labor force data is collected and following Solow (1956) an economic growth model was specified. The data is analyzed using EVIEWS software. The test for multicollinearity shows that education as the efficiency factor is highly correlated with the rest of the variables hence it is dropped from the model. The Johansen cointegration test results show that the variables are not cointegrated. An OLS Model is specified. It is found that healthcare expenditure IS positively and significantly related to economic growth as measured by real GDP.