Download Monetary Policy and Economic Stability in Nigeria

International Journal of Research in Management, Science & Technology (E-ISSN: 2321-3264)
Vol. 4, No. 1, April 2016
Available at www.ijrmst.org
Monetary Policy and Economic Stability in
Nigeria: An Empirical Analysis
1
Charles Odinakachi Njoku*, 2Dike Susan
1,2
Department of Management Technology, Federal University of Technology,
Owerri, Imo State, Nigeria
1
[email protected]
internal and external balance. Monetary policy is the
process by which monetary authorities (the Central
Bank) of a country controls money supply which
usually targets at interest rate for the purpose of
enhancing economic growth and stability.
The central bank of Nigeria since its inception has
continued to play the role expected which is to ensure
price stability, maintain external reserves to safeguard
the international value of legal tender currency, promote
sound financial system which are anchored on the use of
monetary policy towards the achievement of full
employment, good standards of living and rapid
economic growth.
Policies in developing countries are designed to
stabilize the economy, stimulate growth and reduce
poverty. In Nigeria the achievement of these objectives
are predicted on the stance of fiscal and monetary
policies. Over the years the major goal of monetary
policy have often been the two later objective thus
inflation targeting and exchange rate policy which
dominated the central bank of Nigeria’s monetary
policy focus based on an assumption that these are
essential tools of achieving macroeconomic stability
(Aliyu and Englama,2009).Before 1986 the economic
environment that guided monetary policy was
characterized by the dominance of the oil sector, the
expanding role of the public in the economy and over
dependence on the external sector. The use of market
based instrument was not feasible at that point because
of the underdeveloped nature of the financial market
and deliberate restraint on interest rate. After 1986 with
the central bank of Nigeria amended act, (adeoye, et al
2014) reveal that the apex bank was granted more
discretion and autonomy in the conduct of monetary
policy and consequently the focus of monetary during
this period shifted significantly from growth and
developmental objectives to price stability.
However Ebiringa et al (2014) submitted that
monetary policy implemented in recent years in Nigeria
have been aimed at fast tracking economic reform
programs with the objective of providing enabling
financial system infrastructure and environment to
support sustainable growth.
Abstract--This study is an empirical analysis of monetary
policy on economic stability in Nigeria. It is aimed at
investigating the effect of monetary policy on stabilizing
the economy of Nigeria and the level of success achieved
against its desired objectives. Inflation being one of the
indicators of economic stability was measured as
dependent variable using liquidity ratio, exchange rate,
interest rate and cash reserve requirement as the
independent variables which represent instrument of
monetary policy. In order to determine the relationship
that exists between the dependent variable and
independent variables secondary data for the period 19862013 were collected the collected data were subjected to
Stationarity (unit root) test to avoid spurious regression
results. The Johansen Co integration test confirms the
existence of a long run relation between the variables.
Adopting the multiple regression model, the study
confirmed the existence of a significant impact of only one
monetary policy instrument (exchange rate) on
inflationary rate while other explanatory variables (Cash
Reserve Ratio, Liquidity ratio and interest rate) failed to
contribute significantly to economic stability for the period
under review. Based on the findings, the researcher
recommends that the Central Bank of Nigeria should not
only aim at stabilizing inflation rate, but also put some
effort in stabilizing the real economy; Nigeria should
diversity the economy to reduce the mono dependence on
oil. Nigeria should encourage domestic production and
increase exportation to achieve the objective of economic
stability.
Keywords-- Monetary policy, economic stability, economy,
stabilization, Nigeria
1.0: INTRODUCTION
Monetary policy is the macroeconomic policy laid
down by the central bank. It involves management of
money supply and interest rate and is the demand side
economic policy used by the government of a country to
achieve macroeconomic objectives like inflation,
consumption, growth and liquidity. Monetary policy is
the policy of managing the economy to bring about
sustainable economic growth and development. It is a
deliberate action of the monetary authority to influence
the quantity cost and availability of money credit in
order to achieve desired macroeconomic objectives of
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The central bank through the deposit money banks
implements policies that guarantee the orderly
development of the economy through appropriate
changes in the level of its various instruments of
monetary policy which include the cash reserve ratio,
liquidity ratio, open market operations and primary
operation to influence the movement of reserve
(Ajie,Nenbere,2010 and Masna et al 2014) .The
sectional allocation of bank credit in CBN guideline was
to stimulate the production sector and thereby stem
inflationary pressure. The fixing of interest rate at
relatively low level was done mainly to promote
investment and growth. Occasionally special deposits
were imposed to reduce the amount of free reserve and
credit creating capacity of the bank. Minimum cash
ratio were usually lower than those voluntary
maintained by the banks, they proved less effective as a
restraint on their credit operations.
For most economies the objective of the monetary
policy include price stability, maintenance of balance of
payment equilibrium, promotion of employment and
output growth, sustainable development (Folawewo and
Osinubi 2006). These objectives are necessary for the
attainment of internal and external balance and the
promotion of long run-economic growth (Imougbele
2014).
policy instruments have been in operation in Nigeria
since the establishment of the Central Bank of Nigeria
as the apex Bank. Monetary policy has not has not
solves the major macroeconomic problems of economy.
The Nigeria economy is also characterized by policy
summersaults. Monetary policies initiated by an
administration are not sometimes continues or
implemented by succeeding administrations, sometimes
Monetary policy measures not implemented at the
appropriate time.
1.1: OBJECTIVES OF THE STUDY
The general objective of this research is to examine
the influence of monetary policy on economic stability,
this study is also aimed at examining the level of
success the policy measures against deserved objective
and the appropriate measures for achieving it.
It becomes necessary, therefore to state specifically
the objective of this study as follows.
1. To examine the level of success of exchange rate
in stabilizing the economy.
2. To determine the impact of interest rate on
economic stability.
3. To examine how cash reserve ratio affects
economic stability.
4. To also examine the role of liquidity ratio in
stabilizing the economy.
But to ensure macroeconomic stability, the
government budget including the country’s poverty
reduction strategies must be financed in a
sustainable noninflationary manner.
Macroeconomic stability depends not only on the
macroeconomic management of an economy but also on
the structure of key market and sectors. To enhance
economic stability the needs to support macroeconomic
policy with structural reforms that will strengthen and
improves the functioning of the markets and the
appropriate sectors. Typically it is of equal importance
to a country’s economic achievement to have a of sound
macroeconomic policies aimed at maintaining a
conducive environment for long term investment in the
economy monetary policy is directed primary at
promoting long term economic growth; this is to be
constantly re-evaluated to adapt to changing challenges
and priorities over time.
The economy of Nigeria is faced with
macroeconomic problems of high inflation rate and
unemployment. But one of the objectives of monetary
policy in Nigeria is price stability, despite the monetary
regimes that have been adopted by the central bank of
Nigeria over the years. We are still faced with the threat
of inflation, unemployment, unsatisfactory expansion of
domestic output these problems have continued to make
our economy less striving. There is a nagging question
of whether monetary policy is not an effective
instrument of economic stability because the monetary
2321-3264/Copyright©2016, IJRMST, April 2016
2.1: MONETARY POLICY NIGERIA
The central bank of Nigeria become actively involved
in monetary policy in 1964 when it undertook :for the
first time” a package of monetary policy initiatives to
deal with problems of inflationary pressures and a
rundown of the country’s external reserves (Ndekwu,
1999:98). It is interesting to observe that the monetary
policy instrument of the Central Bank of Nigeria even at
that time were moral suasion, specifying a ceiling on the
growth of commercial banks, loans and advances and
providing administrative compositional variation in the
commercial banks liquid assets, as well as changes in
the level of central Bank’s Minimum Rediscount Rate
(MRR) (Sec CNBm 1979; Ndekwu, 1990:100).
2.2: ECONOMIC SUSTAINABILITY
Monetary policy also seeks to address the problem of
inadequate economic growth and sustainability.
Economic growth imply change in the amount of real
output or income in an economy over the time while
sustainability is all about the stability of the growth in
the economy which refers to the absence of excessive
fluctuation in the macro economy, an economy with
fairly constant output growth and low stable inflation
would be considered economically stable.
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Economic growth is because it obtains increased
goods and services, increase resources or use the
resources more efficiently and should be able to
maintain the level of growth at every point in time,
growth is also associated with raising the standard of the
population over time and increase in the wealth of the
citizens.
growth and increased foreign investment and
capital flows. The policy thrusts create an
environment for sustaining faster economic
development and growth.
3.0: RESEARCH METHODOLOGY
This study seems to examine the empirical analysis
of monetary policy on economic stability. This section
will give an insight into the methodology adopted in the
collection, analysis and interpretation of data collection
for the study. It attempts to provide a dissolved analysis
of the research plan and tools utilized in the
actualization of this study.
The most used measures of economic growth is gross
national product (GNP) GNP is a money value of the
goods and services produced in a country in a given
year, but sustaining an economy is a bigger task stable
economy maintains the achievement of the economy
over time at least maintain the employment level close
to the economy natural rate and eliminate relatives price
movement of rate and financial asset. A financial
system is said to be stable when it dissipates financial
imbalance that arises endogenously or as a result of
significant adverse and unforeseeable event.
3.1: SOURCES OF DATA
A pool of material were collected and synthesized
by the researcher from which his own personal
view and interpretation was brought into the work.
The materials used for this research were mainly
collected from: CBN Publication, Annual report
and statement of account of the Central Bank of
Nigeria and CBN economic and financial reviews
(various issues)
Conceptual economic growth could be expressed
in two ways:
(i)
An increase in per capital real GNP
over time.
(ii)
An increase in total real GNP OR NNP
over time.
Model specification
The model to be adopted will specifically be based
on the following functional relationship:
INFR = f(INTR, CRR, EXR, LQR)
This equation reads that inflation is a function of
interest rate, cash reserve ratio, exchange rate,
liquidity ratio. However to hold firm the influence
of the random variable, the equation is explicitly
transformed into the following
INFL = BO + B1CRR +B2LQR +B3INT + B4EXC
+……..Ut
Where
INFL = Inflation Rate
CRR = Cash Reserve Ratio
LQR = Liquidity Ratio
EXR = Exchange Rate [Naira/US Dollar rate]
U = error term or stochastic variable
The parameter estimates are B1, B2, B3 and B4
while B0 is the parameter constant and U is the
error term.
The first situation above describes economic growth
in terms of the standard of living of the population while
the second view examines economic growth from the
perspective of the expansion in goods and services in
the country over time.
For a developing country like Nigeria growth
and sustainability is necessary to ensure:
(i) Improvement in the standard of living of the
citizens,
(ii) Sustained basis for poverty alleviation
especially in the face of wide spread poverty
in developing countries,
(iii) Absorption of new entrant in the domestic
labour market and into gainful employment,
(iv) A sustainable basis for managing the external
debt burden of a country the economic growth
has a direct relationship with improvement in
the domestic currency and thus the debt
profile and burden,
(v) Checking the level of population,
(vi) Sustainable basis for local production
abstaining from too much importation,
(vii) Monetary policy ensures that capital resources
are available for increased productivity. Also,
it ensures the achievement of non inflationary
2321-3264/Copyright©2016, IJRMST, April 2016
4:1: DATA PRESENTATION
This section will present and analyze data collected
using the techniques and methodology already
discussed.
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This table shows figures of Inflation Rate (INFR), Cash Reserve Ratio
(CRR), Interest Rate (INTR), Liquidity Ratio (LQR) and Exchange
Rate (ECR) for the period of 1986 to 2013.
TABLE 4.1: INFLATION RATE, EXCHANGE RATE,
INTEREST RATE, LIQUIDITY RATIO, CASH
RESERVE RATIO (1986-2013)
YEAR INFR
EXR
INTR LQR CRR
4.2: RESULT OF THE ANALYSIS
1986
5.4
2.02
9.25
36.4
1.7
1987
10.2
4.01
10.5
46.5
1.4
1988
38.3
4.53
17.5
45
2.1
TABLE 4.2: RESULT OF
STATIONARITY (UNIT ROOT) TEST
The Table below shows the result of the Unit
Root Test
1989
40.9
7.39
16.5
40.3
2.9
1990
7.5
8.03
26.8
44.3
2.9
1991
13
9.9
25.5
38.6
2.9
1992
44.5
17.29
20.01
29.1
4.4
1993
57.2
22.05
29.8
42.2
6
1994
57.2
21.88
18.32
48.5
5.7
1995
72.8
21.88
21
33.1
5.8
1996
29.3
21.88
20.18
43.1
7.5
1997
8.5
21.88
19.74
40.2
7.8
1998
10
21.88
13.54
46.8
8.3
1999
6.6
92.34
18.29
61
11.7
2000
6.9
100.8
21.32
64.1
9.8
2001
18.9
111.7
17.98
52.9
10.8
2002
12.9
126.25 18.29
52.5
10.8
2003
14
134.03 21.32
50.9
10.6
2004
15
132.37 17.98
50.5
10
2005
17.9
130.6
18.29
50.2
8.6
2006
8.2
128.27 21.32
55.7
9.7
2007
5.5
125.88 20.48
48.8
4.2
2008
11.6
118.86 19.15
44.3
3.3
2009
12
145.86 17.85
40.9
3
2010
13.7
148.46 16.3
30.6
1.3
2011
10.8
150.48 17.18
23.3
1.5
2012
12.2
155.02 17.9
29.9
4
2013
8.4
165
32
8
12
2321-3264/Copyright©2016, IJRMST, April 2016
VARIAB ADFLES
STATIS
TIC
CRITI
CAL
VALU
E@
5%
ORDER
OF
INTEGRA
TION
INFR
3.15207
0
3.00486
1
Stationary
at First
Difference
EXR
4.87839
9
2.98103
8
Stationary
at First
Difference
INTR
4.95544
9
2.98622
5
Stationary
at First
Difference
LQR
5.60320
9
2.98103
8
Stationary
at First
Difference
CRR
4.13811
0
2.98103
8
Stationary
at First
Difference
Source: eviews result (see appendix I)
73
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Unit root test: Since carrying out regressions on non
stationary time series data would lead to spurious
regression outcomes, we employ the widely used
Augmented Dickey-Fuller (ADF) test (Dickey and
Fuller, 1979) to ascertain the stationarity of the data.
The econometric views (E-views package was
employed) to carry out the regressions. The unit root
result above confirms the absence of unit root in the
data set employed in this analysis. Both the dependent
variable (INFR) and the independent variables (EXR,
INTR, LQR and CRR) are stationary at first difference.
4.3: DISCUSSION OF RESULTS
The adjusted R Squared indicates that the explanatory
variables (Exchange rate, Cash Reserve ratio, Interest
Rate and Liquidity ratio) jointly account for 55.8% of
the total variations in Inflation rate, whereas the
remaining 44.2% of the variation is attributed to other
factors captured by the inclusion of the Error term.
Also, it certifies that the model is not over-fit.
From the results estimated, Cash Reserve Ratio
(CRR), Interest Rate (INTR) and Liquidity Ratio (LQR)
in Nigeria from 1986 to 2013 are not statistically
significant in explaining the variations in Economic
Stability. Whereas, exchange rate (EXR) is statistically
significant in stabilizing the Nigerian economy for the
period under review.
In addition, a 1% increase in Cash Reserve Ratio and
Interest Rate will induce a 1.13% and 0.0726% positive
changes on Inflation rate in Nigeria respectively while a
1% change in Liquidity ratio will cause a 0.673%
negative change on Inflation rate in Nigeria, but these
changes are not statistically significant at 5% level of
significance and therefore cannot be relied upon for
meaningful evaluation. A unit increase on Exchange
rate will reduce the Inflation rate by 0.16%. This means
that the key to controlling inflation rate in Nigeria is the
stabilization of exchange rate. Exchange rate (EXR) and
Liquidity ratio (LQR) met the apriori expectation of this
model. The R squared result in appendix II shows a
66.38% relationship exist between the dependent
variable (Inflation rate) and the independent variables (
Exchange rate, Liquidity ratio, Cash reserve ratio and
Interest rate).
Johansen Cointegration Test
The cointegration test following the approach of
Johansen and Juselius (1990) two likelihood ratio test
statistics were utilized to determine the number of
cointegrating equations in the model under the
assumption of no deterministic trend in the data.
Comparing the Maximum Eigen value and critical
value at 5% significance level, indicates that there is a
single contegrating equation in the model as the test
rejects the null hypothesis of no cointegrating equation
and accepts that of at most one cointegrating equation.
Therefore, the research concludes that a long run
relationship exists between the variables. (see Table 4.3
below).
Table 4.3: Cointegration Test Result
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized
No. of CE(s)
Max-Eigen
Eigen
value
Statistic
0.05
Critical
Value
Prob.**
4.4: CONCLUSION AND
RECOMMENDATION
None *
0.733145
34.34734
27.58434
0.0058
At most 1
0.513115
18.71293
21.13162
0.1055
At most 2
0.166600
4.738292
14.26460
0.7744
At most 3
0.017775
0.466310
3.841466
0.4947
The study is an empirical analysis of monetary policy
on economic stability in Nigeria. The study covers the
period of 28 years (1986-2013) with the aim of
examining the effect of monetary policy on economic
stability and the level of success of these policies
against its desired objectives.
The main objectives includes findings how, these
monetary policy variables: Interest rates (INTR),
Exchange Rates (EXCR), Liquidity Ratio (LQR) and
Cash Reserve Ratio (CRR), impact on economic
stability using inflation as the economic stability
indicator. From the findings, it can be seen that CRR,
INTR, LQR are not statistically significant in explaining
the variations in the model while only exchange rate
prove to be statistically significant in explaining the
variation on inflation.
Therefore, research recommends that monetary
authority should re-evaluate these policies to suite the
present macroeconomic challenges in Nigeria.
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the
0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
The regression equation is estimated using the
Vector Autoregression Model
INFR =52.22799+1.13112CRR 0.673235LQR+0.072555NTR0.160419EXR+ U
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Nigeria should develop and strengthen every sector
that contributes to economic growth of Nigeria.
The monetary authority should not only aim at
reducing inflation, but also ensure that the real economy
is stabilized.
[7]
[8]
Nigeria should diversify their resource base and
not solely depending on oil as its major export
earner.
[9]
On the basis of the findings the researcher concludes
that monetary policy in Nigeria has not done well in
stabilizing the economy of Nigeria as such this policies
should be revisited and match it to the prevailing macro
economic problems of Nigeria.
[10]
[11]
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APPENDIX I: unit root results
Null Hypothesis: D(LQR) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-5.603209
-3.711457
-2.981038
-2.629906
0.0001
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LQR,2)
Method: Least Squares
Date: 11/02/14 Time: 13:47
Sample (adjusted): 1988 2013
Included observations: 26 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(LQR(-1))
C
-1.098086
-0.582214
0.195975
1.497334
-5.603209
-0.388834
0.0000
0.7008
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.566755
0.548704
7.630849
1397.517
-88.68902
31.39595
0.000009
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.307692
11.35905
6.976079
7.072855
7.003947
2.053046
Null Hypothesis: D(INTR) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=6)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-4.955449
-3.724070
-2.986225
-2.632604
0.0005
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INTR,2)
Method: Least Squares
Date: 11/02/14 Time: 13:47
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Sample (adjusted): 1989 2013
Included observations: 25 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(INTR(-1))
D(INTR(-1),2)
C
-1.727999
0.174329
-0.000816
0.348707
0.204211
0.851754
-4.955449
0.853672
-0.000959
0.0001
0.4025
0.9992
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.751377
0.728775
4.225071
392.7270
-69.90145
33.24375
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
-0.516000
8.112774
5.832116
5.978381
5.872684
1.911526
Null Hypothesis: D(INFL) has a unit root
Exogenous: Constant
Lag Length: 4 (Automatic - based on SIC, maxlag=6)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-3.152070
-3.769597
-3.004861
-2.642242
0.0372
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INFL,2)
Method: Least Squares
Date: 11/02/14 Time: 13:46
Sample (adjusted): 1992 2013
Included observations: 22 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(INFL(-1))
D(INFL(-1),2)
D(INFL(-2),2)
D(INFL(-3),2)
D(INFL(-4),2)
C
-1.717519
0.856296
0.509052
0.453949
0.215545
-0.695196
0.544886
0.444545
0.378572
0.258515
0.204964
2.972915
-3.152070
1.926230
1.344662
1.755991
1.051625
-0.233843
0.0062
0.0720
0.1975
0.0982
0.3086
0.8181
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.553270
0.413667
13.85399
3070.931
-85.54228
3.963159
0.015732
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Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
77
-0.422727
18.09267
8.322025
8.619582
8.392121
1.827120
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Null Hypothesis: D(EXR) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-4.878399
-3.711457
-2.981038
-2.629906
0.0006
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(EXR,2)
Method: Least Squares
Date: 11/02/14 Time: 13:46
Sample (adjusted): 1988 2013
Included observations: 26 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(EXR(-1))
C
-0.995712
6.166691
0.204106
3.189147
-4.878399
1.933649
0.0001
0.0650
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.497895
0.476974
15.06417
5446.304
-106.3721
23.79878
0.000057
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.307308
20.82973
8.336319
8.433096
8.364187
2.000270
Null Hypothesis: D(CRR) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
t-Statistic
Prob.*
-4.138110
-3.711457
-2.981038
-2.629906
0.0036
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(CRR,2)
Method: Least Squares
Date: 11/02/14 Time: 13:45
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International Journal of Research in Management, Science & Technology (E-ISSN: 2321-3264)
Vol. 4, No. 1, April 2016
Available at www.ijrmst.org
Sample (adjusted): 1988 2013
Included observations: 26 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(CRR(-1))
C
-0.926529
0.247347
0.223901
0.365884
-4.138110
0.676024
0.0004
0.5055
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.416399
0.392082
1.862916
83.29093
-52.02756
17.12395
0.000371
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
0.165385
2.389300
4.155966
4.252743
4.183835
1.854847
APPENDIX II: VECTOR AUTOREGRESION RESULT
Vector Autoregression Estimates
Date: 08/06/15 Time: 10:35
Sample (adjusted): 1988 2013
Included observations: 26 after
adjustments
Standard errors in ( ) & t-statistics in [ ]
INFL
INFL(-1)
0.682401
(0.18834)
[ 3.62317]
INFL(-2)
-0.536129
(0.19019)
[-2.81898]
C
52.22799
(19.8597)
[ 2.62985]
EXR
-0.160419
(0.05746)
[-2.79196]
INTR
0.072555
(0.76404)
[ 0.09496]
LQR
-0.673235
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International Journal of Research in Management, Science & Technology (E-ISSN: 2321-3264)
Vol. 4, No. 1, April 2016
Available at www.ijrmst.org
(0.38784)
[-1.73585]
CRR
1.131122
(1.17248)
[ 0.96473]
R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent
0.663753
0.557570
2918.454
12.39366
6.251020
-98.26167
8.097051
8.435770
21.30000
18.63277
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