Javed Iqbal

State Bank of Pakistan | SBP · Research

Economic efficiency demands an accurate assessment of individual ability for selection purposes. This study investigates Classical Test Theory (CTT) and Item Response Theory (IRT) for estimating true ability and ranking individuals. Two Monte Carlo simulations and real data analyses were conducted. Results suggest a slight advantage for IRT, but ab...

By using wavelet decomposition method, this study provides time-frequency analysis of headline inflation and its determinants for the case of Pakistan by using monthly data covering July 1992 to June 2021. Frequency scale-wise correlation and causation analysis indicates that in the short run (at median frequency of 4 to 8 months) policy rate, e...

It is essential that policymakers consider cyclical changes in output. Monthly industrial production is one of the most important and commonly used macroeconomic indicators for this purpose. However, monthly estimates of industrial production are not available for Pakistan. Instead, policymakers rely on a large-scale manufacturing (LSM) index that...

It is essential for policy makers to timely consider the cyclical changes in output. Monthly industrial production is one of the most important and commonly used macroeconomic indicators for this purpose. In Pakistan monthly estimates of industrial production are not available. Alternatively, policy makers rely on Large Scale Manufacturing (LSM) in...

Existing measures of core inflation ignore a part of ‘should be’ the core inflation. Exclusion based measures ‘exclude’ a part of persistent inflation inherently existing in the excluded part whereas filter based measures ‘filter-out’ the cyclical part also rather than the irregular component only. This study proposes a new idea to define and measu...

Inflation forecasting is an essential activity at central banks to formulate forward looking monetary policy stance. Like in other fields, machine learning is finding its way to forecasting; inflation forecasting is not any exception. In machine learning, most popular tool for forecasting is artificial neural network (ANN). Researchers have used...

Business cycle estimation is core of macroeconomics research. Hodrick-Prescott (1997) filter, (or HP filter), is the most popular tool to extract cycle from a macroeconomic time series. There are certain issues with HP filter including fixed value of λ across the series/countries and end points bias (EPB). Modified HP filter (MHP) of McDermott (199...

In business-cycle research, smoothing data is an essential first step to evaluate the extent to which model-generated moments stand up to their empirical counterparts. We put to test McDermott’s (1997) modified version of Hodrick and Prescott’s (1997) smoothing filter. On the one hand, our simulations suggest that relative to other filters, the mod...

Arby (2008) quarterised the production side of annual GDP, and its subsectors, for 1970-1971 to 2004-2005, based on constant prices of 1999-2000, as well as on current prices. This study provides quarterly estimates of (sectoral and overall) gross domestic production in Pakistan for the years 1999-2000 to 2011-2012 based on constant prices of 1999-...

“The answer to the question what is the mean of a given set of magnitudes cannot in general be found, unless there is given also the object for the sake of which a mean value is required. There are as many kinds of average as many purposes; and we may almost say in the matter of prices as many purposes as many writers.” Edgeworth (1888). We estimat...

This study estimates degree of intrinsic inflation persistence in Pakistan using aggregate price index, group level price indices, and individual commodity prices. Monthly data from 1959 to 2011 is used for the analysis. [SBP WP no. 52].

The long-run discount factor for a group of developed and developing countries is estimated through standard methodology incorporating adaptive expectations of inflation. In the second part, while considering a standard Euler equation for household's intertemporal consumption, the parameter of constant relative risk aversion (CRRA) for Pakistan is...

Recent research work has shown that inflation rate is asymmetric and it is also well known that asymmetry is a non-linear phenomenon. In order to better understand this non-linearity in inflation of Pakistan, we investigate the possible presence of Smooth Transition Autoregressive (STAR) non-linearity in inflation series. The study finds that month...

Recent research work has shown that inflation rate is asymmetric and it is also well known that asymmetry is a non-linear phenomenon. In order to better understand this non-linearity in inflation of Pakistan, we investigate the possible presence of Smooth Transition Autoregressive (STAR) non-linearity in inflation series. The study finds that month...

Standard errors (S.Es.) of month on month and year on year inflation in Pakistan are estimated based on data for the period of July 2001 to June 2010 using stochastic approach as well as extended stochastic approach to index numbers. A mechanism is developed to estimate S.E. of period average headline inflation using these approaches. This mechanis...