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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