Table 5 Dynamics of interest rates involving quarterly dataset (M1 money growth is used)
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 | ||