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Table 5 Dynamics of interest rates involving quarterly dataset (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 iq1t (of Estimation 5) Targeted dependent variable iq2t (of Estimation 6)
Parameters Estimates t-values Prob. Parameters Estimates t-values Prob.
α1 0.164 0.870 0.39 α1 0.355 1.432 0.16
iq1t − 1 0.901 10.28 0.00 iq2t − 1 0.810 7.447 0.00
M1qt − 1 0.500 1.605 0.12 M1qt − 1 0.527 0.953 0.37
Yqt − 1 0.843 1.947 0.06 Yqt − 1 1.254 1.552 0.13
Eqt − 1 1.016 1.811 0.08 Eqt − 1 1.384 1.333 0.19
R 2 = 0.83, \( {\overline{\mathrm{R}}}^2 \) = 0.80, F-statistic = 29.63 R 2 = 0.746, \( {\overline{\mathrm{R}}}^2 \) = 0.703, F-statistic = 17.64
Wald test for Granger causality
Dependent Variable: iq1t
Wald test for Granger causality
Dependent Variable: iq2t
Excluded Wald test statistic (χ 2) prob. Excluded Wald test statistic (χ 2) prob.
M1qt 2.577 0.10 M1qt 0.816 0.36
Yqt 3.391 0.05 Yqt 2.408 0.12
Eqt 3.283 0.07 Eqt 1.776 0.18
All: 17.73 0.05 All: 4.248 0.23
  1. Source: Author’s estimation