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Table 4 Dynamics of annual interest rates (M2 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 3)

Targeted dependent variable ia2t (of Estimation 4)

Parameters

Estimates

t-values

Prob.

Parameters

Estimates

t-values

Prob.

α1

0.152

3.377

0.00

α1

0.176

2.858

0.02

ia1t − 1

0.992

5.397

0.00

ia2t − 1

1.206

5.295

0.00

ia1t − 2

−0.550

−2.119

0.05

ia2t − 2

−0.722

−2.105

0.07

ia1t − 3

−0.205

−1.008

0.32

ia2t − 3

−0.257

−0.905

0.39

M2at − 1

0.263

2.528

0.02

M2at − 1

0.290

2.458

0.04

M2at − 2

−0.231

−1.837

0.08

M2at − 2

−0.280

−1.991

0.08

M2at − 3

0.189

1.341

0.19

M2at − 3

0.311

1.876

0.10

Yat − 1

0.131

0.766

0.45

Yat − 1

0.139

0.664

0.52

Yat − 2

−0.128

−0.865

0.39

Yat − 2

−0.202

−1.195

0.27

Yat − 3

−0.397

−2.832

0.01

Yat − 3

−0.568

−3.086

0.01

Eat − 1

0.087

0.776

0.44

Eat − 1

0.059

0.417

0.68

Eat − 2

−0.171

−1.639

0.12

Eat − 2

−0.205

−1.754

0.12

Eat − 3

0.007

0.078

0.93

Eat − 3

−0.003

−0.002

0.99

Bt − 1

0.160

0.479

0.63

Bt − 1

0.454

0.810

0.44

Bt − 2

−0.530

−1.718

0.10

Bt − 2

−1.069

−2.448

0.04

Bt − 3

0.600

2.279

0.03

Bt − 3

0.915

1.790

0.11

Dt

−0.039

−3.329

0.00

Dt

−0.037

−2.312

0.05

R2 = 0.875, \( {\overline{\mathrm{R}}}^2 \) = 0.75, F-statistic = 7.02

R2 = 0.94, \( {\overline{\mathrm{R}}}^2 \) = 0.80, F-statistic = 6.92

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.

M2at

14.18

0.00

M2at

13.57

0.00

Yat

8.08

0.04

Yt

9.87

0.01

Eat

3.43

0.32

Et

3.57

0.31

Bt

7.48

0.05

Bt

7.29

0.06

All:

35.46

0.00

All:

30.42

0.00

  1. Source: Author’s estimation