Skip to main content

Table 3 Dynamics of annual interest rates (M1 money growth is used)

From: Monetary and fiscal factors in nominal interest rate variations in Sri Lanka under a deregulated regime

Targeted dependent variable ia1t (of Estimation 1) Targeted dependent variable ia2t (of Estimation 2)
Parameters Estimates t-values Prob. Parameters Estimates t-values Prob.
α1 0.184 3.467 0.00 α1 0.197 2.015 0.08
ia1t − 1 1.055 5.175 0.00 ia2t − 1 1.113 4.350 0.00
ia1t − 2 −0.563 −2.139 0.04 ia2t − 2 −0.359 −1.089 0.31
ia1t − 3 −0.430 −2.202 0.04 ia2t − 3 −0.506 −1.591 0.15
M1at − 1 0.212 2.097 0.05 M1at − 1 0.282 2.339 0.05
M1at − 2 −0.435 −3.139 0.00 M1at − 2 −0.383 −2.209 0.06
M1at − 3 0.281 2.967 0.00 M1at − 3 0.373 2.056 0.07
Yat − 1 0.471 2.674 0.01 Yat − 1 0.473 2.018 0.08
Yat − 2 0.075 0.520 0.60 Yat − 2 0.023 0.116 0.91
Yat − 3 −0.674 −4.486 0.00 Yat − 3 −0.818 −3.036 0.01
Eat − 1 0.109 0.915 0.37 Eat − 1 0.117 0.779 0.46
Eat − 2 −0.292 −2.626 0.01 Eat − 2 −0.268 −2.077 0.07
Eat − 3 0.134 1.198 0.24 Eat − 3 0.180 1.077 0.31
Bt − 1 0.460 1.283 0.21 Bt − 1 1.042 1.534 0.16
Bt − 2 −1.340 −2.994 0.00 Bt − 2 −1.628 −2.441 0.04
Bt − 3 1.186 3.248 0.00 Bt − 3 1.314 1.781 0.11
Dt −0.052 −3.652 0.00 Dt −0.047 −2.655 0.03
R 2 = 0.87, \( {\overline{\mathrm{R}}}^2 \) = 0.75, F-statistic = 7.198 R 2 = 0.93, \( {\overline{\mathrm{R}}}^2 \) = 0.77, F-statistic = 6.03
Wald test for Granger causality
Dependent Variable: ia1t
Wald test for Granger causality
Dependent Variable: ia2t
Excluded Wald test statistic (χ 2) prob. Excluded Wald test statistic (χ 2) prob.
M1at 14.83 0.00 M1at 11.10 0.01
Yat 20.63 0.00 Yat 10.07 0.01
Eat 9.05 0.02 Eat 6.29 0.09
Bt 14.13 0.00 Bt 8.14 0.04
All: 36.58 0.00 All: 25.94 0.01
  1. Source: Author’s estimation