Appendix 3. Granger Causality Tests | Dependent variable: DLOG(CPI)
| |
|
| | | Exclude
| Prob.
| | | DLOG(EXRATE)
| 0.1400
| | | GBAL
| 0.4402
| | | DLOG(MA_CLG)
| 0.0249
| | | DLOG(MBASE)
| 0.8719
| | | All
| 0.0072
| | |
|
| | |
|
| | | Dependent variable: DLOG(EXRATE)
| |
|
| | | Exclude
| Prob.
| | | DLOG(CPI)
| 0.0708
| | | GBAL
| 0.7822
| | | DLOG(MA_CLG)
| 0.0013
| | | DLOG(MBASE)
| 0.4049
| | | All
| 0.0125
| | |
|
| | |
|
| | | Dependent variable: GBAL
| |
|
| | | Exclude
| Prob.
| | | DLOG(CPI)
| 0.5381
| | | DLOG(EXRATE)
| 0.2072
| | | DLOG(MA_CLG)
| 0.8708
| | | DLOG(MBASE)
| 0.5321
| | | All
| 0.7260
| | |
|
| | |
|
| | | Dependent variable: DLOG(MA_CLG)
| |
|
| | | Exclude
| Prob.
| | | DLOG(CPI)
| 0.0114
| | | DLOG(EXRATE)
| 0.0201
| | | GBAL
| 0.0759
| | | DLOG(MBASE)
| 0.7754
| | | All
| 0.0436
| | |
|
| | |
|
| | | Dependent variable: DLOG(MBASE)
| |
|
| | | Exclude
| Prob.
| | | DLOG(CPI)
| 0.1549
| | | DLOG(EXRATE)
| 0.2431
| | | GBAL
| 0.0076
| | | DLOG(MA_CLG)
| 0.7187
| | | All
| 0.0115
| |
Appendix 4. VAR Results
|
| | Sample: 1995:01 2000:06
| | Included observations: 66
| | Standard errors in ( ) & t-statistics in [ ]
| |
|
|
|
|
|
|
| |
| DLOG(CPI)
| DLOG (EXRATE)
| GBAL
| DLOG (MA_CLG)
| DLOG (MBASE)
|
| |
|
|
|
|
|
|
| | DLOG(CPI(-1))
| 0.583690
| -0.689619
| -1885.645
| 0.699626
| 0.668665
|
| |
| (0.12919)
| (0.32786)
| (2108.28)
| (0.31919)
| (0.37036)
|
| |
| [ 4.51800]
| [-2.10339]
| [-0.89440]
| [ 2.19187]
| [ 1.80543]
|
| |
|
|
|
|
|
|
| | DLOG(CPI(-2))
| 0.103697
| 0.455499
| 1407.466
| -0.184807
| -0.282562
|
| |
| (0.07824)
| (0.19857)
| (1276.87)
| (0.19332)
| (0.22431)
|
| |
| [ 1.32530]
| [ 2.29394]
| [ 1.10228]
| [-0.95598]
| [-1.25971]
|
| |
|
|
|
|
|
|
| | DLOG(EXRATE(-1))
| 0.108056
| 0.314781
| 1859.440
| -0.286640
| 0.039956
|
| |
| (0.06424)
| (0.16302)
| (1048.29)
| (0.15871)
| (0.18415)
|
| |
| [ 1.68214]
| [ 1.93093]
| [ 1.77378]
| [-1.80606]
| [ 0.21697]
|
| |
|
|
|
|
|
|
| | DLOG(EXRATE(-2))
| -0.064766
| -0.039316
| -199.7765
| -0.222767
| -0.239024
|
| |
| (0.04960)
| (0.12587)
| (809.404)
| (0.12254)
| (0.14219)
|
| |
| [-1.30580]
| [-0.31235]
| [-0.24682]
| [-1.81787]
| [-1.68104]
|
| |
|
|
|
|
|
|
| | GBAL(-1)
| -1.19E-05
| 1.02E-05
| -0.069737
| 4.62E-06
| 6.17E-05
|
| |
| (9.9E-06)
| (2.5E-05)
| (0.16226)
| (2.5E-05)
| (2.9E-05)
|
| |
| [-1.19291]
| [ 0.40444]
| [-0.42978]
| [ 0.18822]
| [ 2.16499]
|
| |
|
|
|
|
|
|
| | GBAL(-2)
| -4.08E-06
| 1.37E-05
| -0.058172
| 5.42E-05
| 6.04E-05
|
| |
| (9.7E-06)
| (2.5E-05)
| (0.15871)
| (2.4E-05)
| (2.8E-05)
|
| |
| [-0.41983]
| [ 0.55611]
| [-0.36652]
| [ 2.25412]
| [ 2.16782]
|
| |
|
|
|
|
|
|
| | DLOG(MA_CLG(-1))
| -0.084799
| 0.497553
| -296.9982
| 0.155333
| 0.110526
|
| |
| (0.05546)
| (0.14073)
| (904.979)
| (0.13701)
| (0.15898)
|
| |
| [-1.52913]
| [ 3.53541]
| [-0.32818]
| [ 1.13371]
| [ 0.69523]
|
| |
|
|
|
|
|
|
| | DLOG(MA_CLG(-2))
| 0.149116
| 0.056955
| -360.0961
| 0.455314
| 0.055961
|
| |
| (0.06115)
| (0.15519)
| (997.945)
| (0.15109)
| (0.17531)
|
| |
| [ 2.43842]
| [ 0.36700]
| [-0.36084]
| [ 3.01357]
| [ 0.31921]
|
| |
|
|
|
|
|
|
| | DLOG(MBASE(-1))
| -0.025603
| -0.190145
| -303.5398
| -0.092044
| 0.136986
|
| |
| (0.05596)
| (0.14200)
| (913.135)
| (0.13825)
| (0.16041)
|
| |
| [-0.45756]
| [-1.33903]
| [-0.33242]
| [-0.66579]
| [ 0.85397]
|
| |
|
|
|
|
|
|
| | DLOG(MBASE(-2))
| 0.013424
| -0.005419
| 849.8445
| -0.025497
| 0.181670
|
| |
| (0.04774)
| (0.12116)
| (779.117)
| (0.11796)
| (0.13687)
|
| |
| [ 0.28117]
| [-0.04473]
| [ 1.09078]
| [-0.21615]
| [ 1.32733]
|
| |
|
|
|
|
|
|
| | C
| -0.001123
| 0.012405
| -317.8943
| 0.033497
| 0.042078
|
| |
| (0.00479)
| (0.01216)
| (78.2028)
| (0.01184)
| (0.01374)
|
| |
| [-0.23441]
| [ 1.02004]
| [-4.06500]
| [ 2.82921]
| [ 3.06290]
|
| | R-squared
| 0.831333
| 0.381905
| 0.202790
| 0.369665
| 0.295468
|
| | F-statistic
| 24.15124
| 3.027579
| 0.561372
| 2.873639
| 2.054974
|
| | Akaike AIC
| -5.022012
| -3.159435
| 14.37815
| -3.213030
| -2.915645
|
| | Schwarz SC
| -4.638049
| -2.775472
| 14.76212
| -2.829066
| -2.531682
|
| | Mean dependent
| 0.030375
| 0.026367
| -259.3232
| 0.043953
| 0.034385
|
| | S.D. dependent
| 0.040157
| 0.053236
| 284.1327
| 0.051322
| 0.056327
|
|
Appendix 5. Stability of VAR scheme
Appendix 6 Cross Correlations
Cross Correlation of Inflation and Government Balance
| DLOG(CPI),GBAL(-i)
| DLOG(CPI),GBAL(+i)
| i
| lag
| lead
| | . |* . |
| . |* . |
|
| 0.0793
| 0.0793
| | . | . |
| . | . |
|
| -0.0001
| -0.0235
| | . *| . |
| . *| . |
|
| -0.0471
| -0.1455
| | . | . |
| . *| . |
|
| 0.0037
| -0.0993
| | . | . |
| . | . |
|
| 0.0273
| -0.0330
| | . |* . |
| . *| . |
|
| 0.0650
| -0.0604
| | . | . |
| . *| . |
|
| -0.0193
| -0.0780
| | . | . |
| . |* . |
|
| 0.0256
| 0.0874
| | . | . |
| . | . |
|
| 0.0247
| -0.0130
| | . | . |
| . *| . |
|
| 0.0143
| -0.0832
| | . | . |
| .**| . |
|
| -0.0149
| -0.1956
| | . |* . |
| ***| . |
|
| 0.0728
| -0.3026
| | . |* . |
| . *| . |
|
| 0.1014
| -0.0841
|
Correlations for Contemporaneous Values of Variables Examined
|
| DLOG (CPI)
| DLOG (EXRATE)
| GBAL
| DLOG (MA_CLG)
| DLOG (MBASE)
| |
|
|
|
|
|
| | DLOG(CPI)
| 1.000000
| 0.359639
| 0.079294
| 0.412247
| 0.080164
| | DLOG(EXRATE)
| 0.359639
| 1.000000
| 0.218213
| 0.292892
| -0.036861
| | GBAL
| 0.079294
| 0.218213
| 1.000000
| -0.043771
| -0.416832
| | DLOG(MA_CLG)
| 0.412247
| 0.292892
| -0.043771
| 1.000000
| 0.272543
| | DLOG(MBASE)
| 0.080164
| -0.036861
| -0.416832
| 0.272543
| 1.000000
|
Appendix 7. Effects of VAR components on Inflation
Date: 2015-02-28; view: 949
| 