IJEBMR
ISSN: 2456-7760

Title:
INVESTIGATING THE IMPACT OF PAST PERIOD INFLATION VOLATILITY ON CURRENT PERIOD INFLATION VOLATILITY AND CREDIT RISK USING VECTOR ERROR CORRECTION MODEL

Authors:
David Kwashie Garr, Ghana

Abstract:
This research investigated the relationship between pajjst period inflation volatility and current period inflation volatility and also the impact of inflation volatility on credit risk using the vector error correction model. The study relied on secondary data for the analysis, which covered all the thirty three banks that operated in Ghana from the year 1990 to 2010. The GARCH model was adopted in modelling inflation volatility. The study established that current period inflation volatility is influenced by past period inflation volatility significantly and also credit risk is influenced by the volatility of inflation significantly.

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