_________________________________

The Interrelations among Inflation and Major Fiscal,

Monetary and Real Variables-
A Case Study for the Gambia1

November 2009

Institutional Support Project for Economic and Financial Governance (ISPEFG)

Department of State for Finance and Economic Affairs (DOSFEA)
The Republic of Gambia
The Quadrangle, Banjul, the Gambia

1
This paper has been prepared by a research team comprising Tamsir Cham, Director; Momodou Taal,
Principal Economist; Amie Khan and Yaya Drammeh, Senior Economists and Ceesay Chiel, Economist
in the Economic Management and Planning Unit (EMPU) and Tarun Das, Macroeconomic Adviser
(ISPEFG); under the overall guidance and supervision by the Honorable Permanent Secretary Mr. Serign
Cham of the Ministry of Finance and Economic Affairs (MOFEA); with key inputs from the Central
Bank of Gambia (CBG) and the Gambian Bureau of Statistics (GBOS).

Any questions and feedback can be addressed to: Either Tamsir Cham (tamsirc@hotmail.com) or
Tarun Das (das.tarun@hotmail.com)

1
 The Interrelations among Inflation and Major Fiscal, Monetary and Real Variables-
A Case Study for the Gambia

1. Scope of the paper and data base

The purpose of this paper is to examine the interrelations among inflation and the major
monetary, fiscal and real variables for the Gambian economy. Inflation is measured by the rate of
change of the Consumer Price Index (CPI) and that of the GDP deflator (GDPDF). Along with
CPI and GDPDF, the following major monetary, fiscal and real variables are considered to
estimate statistical relations among the variables.

Variables to fit Statistical Relations

CPI = Consumer Price Index with base 2004 (=100)
GDPDF = Gross Domestic Product (GDP) deflator with base 2004 (=100)
INF = Rate of inflation in terms of CPI = Annual rate of change of CPI
INFDF = Rate of inflation in terms of GDP deflator = Annual rate of change of GDFDF
YCuMP = GDP at current market prices
YCstMP = GDP at constant 2004 market prices
M2 = Broad money supply = Net Foreign Assets (NFA) + Net Domestic Assets (NDA)
= Net Foreign Exchange Reserves + Govt. Borrowing + Non-Govt. Borrowings
= Currency and coins in circulation + All deposits with banks
Velocity = Velocity of money = YCuMP / M2
GD/US$ = Exchange rate = Gambian Dalasi per US dollar
GOVEXP = Government Expenditure
BankCR = Bank credits = Credits to Government (GovCR) + Credits to private (PvtCR)
GovCR = Credits to Government = Government Borrowings
PvtCR = Credits to the Private Sector = Private Borrowings
TBYield = Average yield of the Government Treasury Bills
YLD-3M = Yield for 91-day (three months) Treasury Bills
YLD-6M = Yield for 182-day (six months) Treasury Bills
YLD-12M = Yield for 364-day (12 months) Treasury Bills
DR-3M = Deposit rate for three months deposits
DR-6M = Deposit rate for six month deposits
DR-12M = Deposit rate for 12 month deposits
TBOUT = Total Treasury Bills Outstanding
OBD = Overall Budget Deficit
REV = Domestic Revenue of the Government
BOPB = Overall Balance of Payments (BOP) Balance
GRGDP = Real GDP growth rate
GRM2 = Growth rate of money supply
GRTB = Growth rate of Treasury Bill Outstanding
GRCR = Growth rate of bank credits
GEREV = Growth rate of revenue
GREXP = Growth rate of expenditure

2
Data Base

Two sets of data are considered for our econometric analysis: (1) Annual Time series data for 12
years from 1998 to 2009. (2) Monthly Time Series data for 33 months from January 2007 to
September 2009. However, GDP figures are not available for the monthly series as GDP figures
are estimated by the GBOS on only annual basis.

2. Regression Results

For both annual and monthly time series data, linear and log-linear regression equations are fitted
with the help of ordinary least squares (OLS) method. For both linear and log-linear equations,
two sets of regression equations are fitted. In one set, CPI is regressed on other variables, while
in the other set, the rate of change of CPI (i.e. the inflation rate) is regressed on other variables.
The sets of data and the regression results are presented in the Annex Tables 1 to 20, which are
self-explanatory (List of Tables is given in the Annex).

Both the linear and log-linear regression equations indicate almost similar results for the annual
time series data. They also show similar results for the monthly time series data. But, there are
significant differences of results between the annual and monthly series. The major conclusions
are summarized in Table-1 (differences of results are highlighted).

Table-1: Major Conclusions Drawn From Regression Results

Observations
CPI has significant positive
correlation with
CPI has no significant
correlation with
Annual Times Series Data
(for both linear and log-
linear equations)
Money supply, GDP deflator, Money supply,
Nominal GDP, Real GDP,
Exch. rate of Dalasi per US$,
Government expenditure,
Government revenue,
Treasury Bills outstanding
Bank credit to govt. or others,
Treasury Bill Yields,
Overall budget deficit,
Deposit rates for 3 months,
Deposit rates for 6 months,
Deposit rates for 12 months,
Overall BOP balance
Monthly Time Series Data
(for both linear and log-
linear equations)
CPI for Food,
CPI for Non-food,
CBG Policy rate
Treasury Bill Yields,
Overall budget deficit,
Deposit rates for 3 months,
Deposit rates for 6 months,
Deposit rates for 12 months,
Exch. rate of Dalasi per US$,
Government expenditure,
Government revenue,
Treasury Bills outstanding

3
 Table-1-Continued: Major Conclusions Drawn From Regression Results
Observations
Money supply has significant
positive correlation with
Money supply has no
significant correlation with
TB Yield has significant
positive correlation with
TB Yield has no significant
correlation with
Annual Times Series Data
(for both linear and log-
linear equations)
Consumer Price Index (CPI),
GDP deflator,
Nominal GDP,
Real GDP,
Exch. rate of Dalasi per US$,
Government expenditure,
Government revenue,
Bank credits to govt.,
Bank credits to private sector,
Treasury Bills outstanding
Treasury Bill Yields,
Overall budget deficit,
Deposit rates for 3 months,
Deposit rates for 6 months,
Deposit rates for 12 months,
Overall BOP balance
Deposit rate for six months
Money supply,
Consumer Price Index (CPI),
GDP deflator,
Nominal GDP,
Real GDP,
Exch. rate of Dalasi per US$,
Deposit rate for 3 months,
Deposit rate for 12 months,
Government expenditure,
Government revenue,
Bank credits to govt.,
Bank credits to private sector,
Treasury Bills outstanding,
BOP balance.
4
Monthly Time Series Data
(for both linear and log-
linear equations)
Consumer Price Index (CPI),
Government expenditure,
Government revenue,
CBG Policy rate
Exch. rate of Dalasi per US$,
Overall budget deficit,
Dep. rates for 3, 6, 12 months,
Government expenditure,
Government revenue,
Treasury Bills outstanding
Exch. rate of Dalasi per US$,
Money supply,
Consumer Price Index (CPI),
Deposit rate for 3 months,
Deposit rate for 6 months,
Deposit rate for 12 months,
Government expenditure,
Government revenue,
Treasury Bills outstanding
 Table-1-Continued: Major Conclusions Drawn From Regression Results

Observations Annual Times Series Data Monthly Time Series Data

(Linear equations) (Linear equations)

Rate of Inflation (Annual Rate
of change of CPI) has
significant positive
correlation with
Growth rate of nominal GDP,
Growth rate of revenue,
Inflation in terms of GDPDF,
TB Yields,
Deposit rate for 6 Months
Food inflation rate,
Non-food inflation rate,
Rate of Depreciation of Dalasi

Rate of Inflation (Annual Rate Growth rate of money supply,
of change of CPI) has Real GDP growth rate,
no significant correlation Growth rate of govt. credits,
with Growth rate of pvt. credits,
Growth rate of TB outstanding
Growth rate of govt. exp.,
Overall deficit as % of GDP,
Deposit rate for 3 Months
Deposit rate for 12 months,
Rate of Depreciation of Dalasi
Growth Rate of Money Supply Inflation in terms of GDPDF,
(M2) has significant positive Rate of Depreciation of Dalasi
correlation with
Growth rate of money supply,
Growth rate of govt. exp.,
Overall deficit as % of GDP,
Deposit rate for 3 Months,
Deposit rate for 6 Months,
Deposit rate for 12 months,
TB Yields for 3 months,
TB Yields for 6 months,
TB Yields for 12 months,
GR of TB outstanding,
GR of revenue
Rate of Depreciation of Dalasi
CBG discount rate,
Deposit rate for 3 Months,
Deposit rate for 6 Months

Growth Rate of Money Supply CPI inflation, CPI inflation,

(M2) has no significant Growth rate of nominal GDP,
correlation with Real GDP growth rate,
Growth rate of govt. credits,
Growth rate of pvt. credits,
Growth rate of TB outstanding
Growth rate of govt. exp.,
Growth rate of revenue,
Overall deficit as % of GDP,
Treasury Bills yields,
Deposit rate for 3 Months,
Deposit rate for 6 Months
Deposit rate for 12 months,
Growth rate of TB outstanding
Growth rate of govt. exp.,
Growth rate of revenue,
Overall deficit as % of GDP,
Treasury Bills yields,
Deposit rate for 3 Months,
Deposit rate for 6 Months
Deposit rate for 12 months,

3. Policy Conclusions
5
Above analysis indicates that although consumer price index is positively and significantly
correlated with money supply, the rate of inflation (i.e. the annual rate of change of CPI) has no
significant relations with rate of growth of money supply. It is further observed that although
inflation rate has significant positive correlations with CBG policy rate, treasury bills yields, rate
of depreciation of Dalasi against US dollar and the growth rate of government revenues, inflation
has no significant relations with the deposit rates, government deficits as percentage of GDP, and
the growth rates of government expenditure, government borrowing from the markets and the
total treasury bills outstanding. Therefore, the study does not support the general view that the
money supply, government deficits, government borrowing and total domestic debt outstanding
affect inflation.

In fact the econometric relations clearly indicate that the CPI inflation, overall GDP inflation,
treasury bills yields are unduly affected by the high discount rate announced by the Monetary
Policy Committee (CPC) of the CBG. We need to adopt more scientific approach for
determination of the Central Bank rediscount rate rather than taking the vote by the members at
the end of bi-monthly MPC meetings. Here, we present a feasible methodology for determination
of the CBG rediscount rate.

Methodology for determination of CBG rediscount rate

The starting point should the expectations of the inflation rate for the short and medium term. At
the end of October 2009, annual point to point CPI inflation stood at 2.3 percent while the 12-
month moving average rate was 4.7 percent. Given the risks for international prices of oil, we
can safely work on an inflation rate 5 percent in the basis of rational expectations. Then the
depositors need some positive real interest (generally less than 2 percent world side) to continue
with savings. Then, we need to allow reasonable transactions cost (generally less than 3 percent
globally) and normal profit rate (generally less than 2 percent) for the banks to determine the
collection cost of funds by the banks. That should be the rate at which no-risk treasury bills could
be sold in the markets. Then CBG need to add maximum 2 percent for their transactions cost to
determine the rediscount rate. Thus we get a reasonable rediscount rate of 14 percent.

Expected annual inflation = 5 percent

Average nominal deposit rate = Inflation Rate + Real rate of 2% = 7 percent
Reasonable transactions costs of banks = 3 percent of assets or liabilities
Normal profit rate = 2 percent of assets or liabilities
Average annual cost of collection of funds by banks = 7 + 3 + 2 = 12 percent
Reasonable yield no-risk treasury bills with maturity of one year or more = 12 percent
CBG rediscount (Policy) rate = 12 percent + CBG transactions cost of 2 percent = 14%.

6
 Annex Tables

List of Tables

Tables for the Annual Time Series Data

Tables 1A, 1B and 1C: Yearly Trends of CPI and Related Variables from 1998 to 2009
Table-2: Description Statistics for the Annual Variables
Tables-3A, 3B and 3C: Linear Correlation Matrix for the Annual Variables
Tables 4A, 4B and 4C: Annual Rates of Selected Variables
Table-5: Descriptive Statistics for the Annual Rates
Tables-6A, 6B and 6C: Linear Correlation Matrix for the Annual Rates
Table-7: Linear Regression Results for CPI = α + β X
Table-8: Descriptive Statistics for the Natural Logarithms of Annual Variables
Tables-9A, 9B and 9C: Correlation Matrix for the Natural Logarithms of the Variables
Table-10: Log-Linear Regression Results for Log (CPI) = α + β Log(X)
Table-11: Log-Linear Regression Results for Log (Y) = α + β Log(X)
_______________________________________________________________________

Tables for the Monthly Time Series Data

Tables 12A and 12B: Monthly Trends of CPI and Related Variables from Jan-2007 to Sep-2009
Table-13: Description Statistics for the Monthly Variables
Tables-14A and 14-B: Linear Correlation Matrix for the Monthly Variables
Tables-15A and 15B: Annual Rates of Selected Variables
Table-16: Descriptive Statistics for the Annual Rates
Tables-17A and 17B: Linear Correlation Matrix for the Annual Rates
Tables-18A to 18F: Linear Regression Results for Y = α + β X
Table-19: Descriptive Statistics for the Natural Logarithms of Annual Variables
Tables-20A and 20B: Correlation Matrix for the Natural Logarithms of the Variables
Table-21: Log-Linear Regression Results for Log (CPI) = α + β Log(X)
Table-22: Log-Linear Regression Results for Log (Y) = α + β Log(X)

7
Table-1A: Yearly Trends of CPI and Related Macroeconomic Variables
during 1998-2009
ITEMS CPI YCuMP YCstM M2 Velocit GD/US GOVEX BankC
P y $ P R
1998 62.96 7236 15091 1312 5.52 10.64 1054.0 1006.3
0 0
1999 65.38 7959 16124 1470 5.41 11.40 1118.2 1184.5
0 0
2000 65.99 8787 16208 1982 4.43 12.79 1252.5 1479.8
0 0
2001 68.89 10708 17196 2367 4.52 15.69 2037.4 1825.6
0 0
2002 74.85 12489 17445 3203 3.90 19.92 2060.6 2221.2
0 0
2003 87.55 15819 17975 4593 3.44 28.53 2464.2 2468.9
0 0
2004 100.00 18491 18491 5432 3.40 30.03 3092.3 2707.3
0 0
2005 103.16 19080 18362 6145 3.10 28.58 3691.9 3573.3
0 0
2006 105.28 19878 19122 7758 2.56 28.07 4162.4 4456.8
0 0
2007 110.96 21656 20428 8274 2.62 24.88 4375.2 5137.5
0 0
2008 119.00 24446 21361 9796 2.50 22.43 4189.8 6324.2
2 0
2009 125.00 26822 22376 10586 2.53 26.00 3571.2 7427.1
0 0
Table-1B: Yearly Trends of CPI and Related Macroeconomic Variables
during 1998-2009
ITE GovCR PvtCR TBYiel DR-3M DR-6M DR- TBOut OBD
MS d 12M
1998 512.70 493.60 15.00 12.00 12.00 13.50 1020.8 134.00
0
1999 583.90 600.60 13.25 11.00 11.50 12.25 1201.6 173.90
0
2000 815.80 664.00 12.25 11.00 11.25 11.75 1564.0 135.30
0
2001 1074.9 750.70 13.50 1.00 11.25 11.75 1919.5 911.70
0 0
2002 909.70 1311.5 17.50 9.50 9.50 10.00 2117.6 542.00
0 0
2003 654.00 1814.9 25.50 14.50 15.00 11.00 1948.1 617.50
0 0
2004 1195.6 1511.7 30.50 15.00 15.00 17.50 3018.5 34.70
0 0 0
2005 1762.2 1811.1 22.00 9.50 11.00 12.00 3809.0 868.40
0 0 0
2006 2127.4 2329.4 12.50 6.75 9.50 9.50 4174.3 959.40
8
 0 0 0
2007 2482.7 2654.9 13.00 8.95 9.45 9.95 4296.8 712.70
0 0 0
2008 2880.3 3443.9 13.50 9.12 9.66 11.06 4697.0 1885.6
0 0 5 7
2009 3234.7 4192.4 14.73 10.17 10.61 10.67 5005.2 321.60
0 0 9
Table-1C: Yearly Trends of CPI and Related Macroeconomic Variables
during 1998-2009
ITEMS GDPD REV BOPB
F
1998 47.95 832 78
1999 49.36 879 54
2000 54.21 995 93
2001 62.27 990 190
2002 71.59 1202 16
2003 88.01 1574 317
2004 100.0 2518 703
0
2005 103.9 2603 955
1
2006 103.9 3024 539
6
2007 106.0 3468 742
1
2008 114.4 3529 767
4
2009 119.8 4146 15
7

Table-2: Descriptive Statistics for Variables

CV (%)
Variables Mean Std Dev. Std Err N
24.9
CPI 90.752 22.563 6.513 12
41.2
YCuMP 16114.3 6639.30 1916.60 12
11.9
YCstMP 18348.3 2188.06 631.638 12
62.7
M2 5243.16 3286.50 948.731 12
30.0
Velocity 3.662 1.098 0.317 12
33.6
GD/US$ 21.580 7.262 2.096 12
45.4
EXP 2755.81 1251.69 361.331 12
63.2
BankCR 3317.71 2097.48 605.489 12

9
 62.6
GovCR 1519.49 951.439 274.657 12
65.6
PvtCR 1798.23 1179.21 340.409 12
35.0
TBYield 16.936 5.926 1.711 12
36.8
DR-3M 9.874 3.631 1.048 12
17.1
DR-6M 11.310 1.932 0.558 12
18.2
DR-12M 11.744 2.132 0.616 12
49.6
TBOut 2897.71 1438.35 415.215 12
85.6
OBD 608.073 520.370 150.218 12
31.2
GDPDF 85.131 26.564 7.668 12
56.2
REV 2146.60 1205.76 348.072 12
93.3
BOPB 372.275 347.154 100.215 12

Table-3A: Linear Correlation Matrix

YCstM Velocit GD/US
CPI YCuMP P M2 y $ EXP

CPI 1.000 0.995 0.955 0.987 -0.936 0.785 0.934

YCuMP 0.995 1.000 0.972 0.988 -0.946 0.789 0.924

YCstM
P 0.955 0.972 1.000 0.975 -0.902 0.666 0.866

M2 0.987 0.988 0.975 1.000 -0.934 0.715 0.921

Velocit
y -0.936 -0.946 -0.902 -0.934 1.000 -0.850 -0.949
GD/US
$ 0.785 0.789 0.666 0.715 -0.850 1.000 0.806

EXP 0.934 0.924 0.866 0.921 -0.949 0.806 1.000

BankC
R 0.947 0.956 0.979 0.980 -0.872 0.589 0.849

GovCR 0.918 0.919 0.947 0.955 -0.839 0.515 0.854

PvtCR 0.944 0.958 0.977 0.974 -0.874 0.631 0.821

TBYiel
d 0.118 0.120 -0.028 -0.016 -0.128 0.580 0.073

DR-3M 0.041 0.010 -0.088 -0.037 0.043 0.202 -0.145

DR-6M -0.226 -0.226 -0.317 -0.326 0.263 0.173 -0.327

DR-
12M -0.190 -0.221 -0.313 -0.304 0.335 -0.012 -0.277
10
TBOut 0.973 0.969 0.946 0.979 -0.932 0.706 0.947

OBD 0.478 0.492 0.506 0.527 -0.544 0.278 0.609

GDPDF 0.985 0.987 0.927 0.961 -0.964 0.870 0.948

REV 0.987 0.978 0.954 0.987 -0.907 0.708 0.918

BOPB 0.605 0.560 0.421 0.524 -0.617 0.654 0.754

11
Table-3B: Linear Correlation Matrix
BankC GovCR PvtCR TBYiel DR-3M DR-6M DR-
R d 12M
0.947 0.918 0.944 0.118 0.041 -0.226 -0.190
CPI
0.956 0.919 0.958 0.120 0.010 -0.226 -0.221
YcuMP
YcstM 0.979 0.947 0.977 -0.028 -0.088 -0.317 -0.313
P
0.980 0.955 0.974 -0.016 -0.037 -0.326 -0.304
M2
Velocit -0.872 -0.839 -0.874 -0.128 0.043 0.263 0.335
y
GD/US 0.589 0.515 0.631 0.580 0.202 0.173 -0.012
$
0.849 0.854 0.821 0.073 -0.145 -0.327 -0.277
EXP
BankC 1.000 0.981 0.987 -0.149 -0.110 -0.416 -0.373
R
0.981 1.000 0.938 -0.252 -0.234 -0.519 -0.368
GovCR
0.987 0.938 1.000 -0.062 -0.007 -0.321 -0.367
PvtCR
TBYiel -0.149 -0.252 -0.062 1.000 0.606 0.795 0.636
d
-0.110 -0.234 -0.007 0.606 1.000 0.613 0.467
DR-3M
-0.416 -0.519 -0.321 0.795 0.613 1.000 0.710
DR-6M
DR- -0.373 -0.368 -0.367 0.636 0.467 0.710 1.000
12M
0.957 0.964 0.924 -0.051 -0.149 -0.417 -0.298
TBOut
0.514 0.537 0.481 -0.249 -0.478 -0.468 -0.468
OBD
0.900 0.861 0.906 0.230 0.044 -0.160 -0.175
GDPDF
0.962 0.952 0.944 0.003 -0.005 -0.308 -0.215
REV
0.389 0.428 0.346 0.339 0.029 -0.020 0.136
BOPB
Table-3C: Linear Correlation Matrix (Pearson R)
TBOut OBD GDPDF REV BOPB CPI M2
CPI 0.973 0.478 0.985 0.987 0.605 1.000 0.987
YCuMP 0.969 0.492 0.987 0.978 0.560 0.995 0.988
YCstM 0.946 0.506 0.927 0.954 0.421 0.955 0.975
P
M2 0.979 0.527 0.961 0.987 0.524 0.987 1.000
Velocit -0.932 -0.544 -0.964 -0.907 -0.617 -0.936 -0.934
y
GD/US 0.706 0.278 0.870 0.708 0.654 0.785 0.715

12
$
EXP 0.947 0.609 0.948 0.918 0.754 0.934 0.921
BankC 0.957 0.514 0.900 0.962 0.389 0.947 0.980
R
GovCR 0.964 0.537 0.861 0.952 0.428 0.918 0.955
PvtCR 0.924 0.481 0.906 0.944 0.346 0.944 0.974
TBYiel -0.051 -0.249 0.230 0.003 0.339 0.118 -0.016
d
DR-3M -0.149 -0.478 0.044 -0.005 0.029 0.041 -0.037
DR-6M -0.417 -0.468 -0.160 -0.308 -0.020 -0.226 -0.326
DR- -0.298 -0.468 -0.175 -0.215 0.136 -0.190 -0.304
12M
TBOut 1.000 0.542 0.952 0.980 0.589 0.973 0.979
OBD 0.542 1.000 0.489 0.430 0.525 0.478 0.527
GDPDF 0.952 0.489 1.000 0.953 0.647 0.985 0.961
REV 0.980 0.430 0.953 1.000 0.553 0.987 0.987
BOPB 0.589 0.525 0.647 0.553 1.000 0.605 0.524

13
 Table-4A: Annual Rates (in percentage)
Items Inf GR-CRY GR-CSY GR-M2 GR-REV DEP(+)
1999 3.8 10.0 6.8 12.1 5.7 7.1
2000 0.9 10.4 0.5 34.8 13.3 12.2
2001 4.4 21.9 6.1 19.4 -0.6 22.7
2002 8.7 16.6 1.4 35.3 21.4 27.0
2003 17.0 26.7 3.0 43.4 31.0 43.2
2004 14.2 16.9 2.9 18.3 60.0 5.3
2005 3.2 3.2 -0.7 13.1 3.4 -4.8
2006 2.1 4.2 4.1 26.2 16.1 -1.8
2007 5.4 8.9 6.8 6.7 14.7 -11.4
2008 7.2 12.9 4.6 18.4 1.8 -9.8
2009 5.0 9.7 4.8 8.1 17.5 15.9

Table-4B: Annual Rates (in percentage)

Items GR-EXP GR-CR GR-GCR GR-PCR TBYield DR-3M
1999 6.1 17.7 13.9 21.7 13.3 11.0
2000 12.0 24.9 39.7 10.6 12.3 11.0
2001 62.7 23.4 31.8 13.1 13.5 1.0
2002 1.1 21.7 -15.4 74.7 17.5 9.5
2003 19.6 11.2 -28.1 38.4 25.5 14.5
2004 25.5 9.7 82.8 -16.7 30.5 15.0
2005 19.4 32.0 47.4 19.8 22.0 9.5
2006 12.7 24.7 20.7 28.6 12.5 6.8
2007 5.1 15.3 16.7 14.0 13.0 9.0
2008 -4.2 23.1 16.0 29.7 13.5 9.1
2009 -14.8 17.4 12.3 21.7 14.7 10.2

Table-4C: Annual Rates (in percentage)

Items DR-6M DR-12M GR-TB OBD/Y INF-DF Inf
1999 11.5 12.3 17.7 2.2 3.0 3.8
2000 11.3 11.8 30.2 0.9 9.8 0.9
2001 11.3 11.8 22.7 8.5 14.9 4.4
2002 9.5 10.0 10.3 2.6 15.0 8.7
2003 15.0 11.0 -8.0 3.0 22.9 17.0
2004 15.0 17.5 54.9 3.7 13.6 14.2
2005 11.0 12.0 26.2 6.0 3.9 3.2
2006 9.5 9.5 9.6 5.1 0.0 2.1
2007 9.5 10.0 2.9 -0.1 2.0 5.4
2008 9.7 11.1 9.3 2.0 8.0 7.2
2009 10.6 10.7 6.6 3.0 4.7 5.0

14
 Table-5: Descriptive Statistics for
Annual Rates
Variable Mean Std Dev. Std Err N
Inf 6.537 5.013 1.511 11
GR-CRY 12.851 7.145 2.154 11
GR-CSY 3.674 2.514 0.758 11
GR-M2 21.436 12.059 3.636 11
GR-REV 16.748 17.130 5.165 11
DEP(+) 9.592 16.824 5.073 11
GR-EXP 13.202 20.065 6.050 11
GR-CR 20.092 6.583 1.985 11
GR-GCR 21.621 29.805 8.986 11
GR-PCR 23.229 22.162 6.682 11
TBYield 17.112 6.182 1.864 11
DR-3M 9.681 3.743 1.129 11
DR-6M 11.248 2.014 0.607 11
DR-12M 11.584 2.160 0.651 11
GR-TB 16.587 16.791 5.063 11
OBD/Y 3.342 2.426 0.731 11
INF-DF 8.890 7.052 2.126 11

Table-6A: Correlation Matrix for Annual Rates

Inf GR-CRY GR-CSY GR-M2 GR-REV DEP(+)
Inf 1.000 0.743 -0.043 0.381 0.716 0.497
GR-CRY 0.743 1.000 0.126 0.531 0.337 0.774
GR-CSY -0.043 0.126 1.000 -0.476 -0.189 -0.142
GR-M2 0.381 0.531 -0.476 1.000 0.245 0.678
GR-REV 0.716 0.337 -0.189 0.245 1.000 0.244
DEP(+) 0.497 0.774 -0.142 0.678 0.244 1.000
GR-EXP 0.074 0.435 0.031 0.156 -0.009 0.255
GR-CR -0.749 -0.559 -0.421 -0.051 -0.724 -0.329
GR-GCR -0.199 -0.330 -0.181 -0.420 0.266 -0.516
GR-PCR 0.056 0.135 -0.161 0.460 -0.282 0.392
TBYield 0.795 0.403 -0.418 0.223 0.775 0.292
DR-3M 0.596 0.114 -0.327 0.228 0.691 0.139
DR-6M 0.734 0.599 -0.162 0.320 0.684 0.493
DR-12M 0.404 0.209 -0.152 -0.128 0.636 -0.043
GR-TB -0.052 -0.114 -0.311 -0.171 0.389 -0.242
OBD/Y -0.079 0.139 -0.080 -0.019 -0.169 0.187
INF-DF 0.746 0.931 -0.243 0.698 0.405 0.811

15
 Table-6B: Correlation Matrix for Annual Rates
GR-EXP GR-CR GR-GCR GR-PCR TBYield DR-3M
Inf 0.074 -0.749 -0.199 0.056 0.795 0.596
GR-CRY 0.435 -0.559 -0.330 0.135 0.403 0.114
GR-CSY 0.031 -0.421 -0.181 -0.161 -0.418 -0.327
GR-M2 0.156 -0.051 -0.420 0.460 0.223 0.228
GR-REV -0.009 -0.724 0.266 -0.282 0.775 0.691
DEP(+) 0.255 -0.329 -0.516 0.392 0.292 0.139
GR-EXP 1.000 0.077 0.330 -0.340 0.212 -0.452
GR-CR 0.077 1.000 0.113 0.222 -0.462 -0.565
GR-GCR 0.330 0.113 1.000 -0.831 0.264 0.016
GR-PCR -0.340 0.222 -0.831 1.000 -0.224 -0.111
TBYield 0.212 -0.462 0.264 -0.224 1.000 0.639
DR-3M -0.452 -0.565 0.016 -0.111 0.639 1.000
DR-6M 0.368 -0.615 0.208 -0.414 0.816 0.607
DR-12M 0.330 -0.388 0.748 -0.692 0.690 0.441
GR-TB 0.371 0.041 0.910 -0.656 0.383 0.128
OBD/Y 0.729 0.368 0.245 -0.098 0.161 -0.570
INF-DF 0.405 -0.400 -0.263 0.196 0.547 0.241

Table-6C: Correlation Matrix for Annual Rates

DR-6M DR-12M GR-TB OBD/Y INF-DF DEP(+)
Inf 0.734 0.404 -0.052 -0.079 0.746 0.497
GR-CRY 0.599 0.209 -0.114 0.139 0.931 0.774
GR-CSY -0.162 -0.152 -0.311 -0.080 -0.243 -0.142
GR-M2 0.320 -0.128 -0.171 -0.019 0.698 0.678
GR-REV 0.684 0.636 0.389 -0.169 0.405 0.244
DEP(+) 0.493 -0.043 -0.242 0.187 0.811 1.000
GR-EXP 0.368 0.330 0.371 0.729 0.405 0.255
GR-CR -0.615 -0.388 0.041 0.368 -0.400 -0.329
GR-GCR 0.208 0.748 0.910 0.245 -0.263 -0.516
GR-PCR -0.414 -0.692 -0.656 -0.098 0.196 0.392
TBYield 0.816 0.690 0.383 0.161 0.547 0.292
DR-3M 0.607 0.441 0.128 -0.570 0.241 0.139
DR-6M 1.000 0.709 0.341 0.121 0.645 0.493
DR-12M 0.709 1.000 0.852 0.141 0.258 -0.043
GR-TB 0.341 0.852 1.000 0.240 -0.002 -0.242
OBD/Y 0.121 0.141 0.240 1.000 0.152 0.187
INF-DF 0.645 0.258 -0.002 0.152 1.000 0.811

16
 Table-7: Linear Regression Results: Dependent Variable = Y =α+βX
Y X Α Std t β Std t R² R
Error Error
CPI M2 55.20 2.099 26.29 0.007 0.000 19.74 0.975 0.987
9 8 5
CPI GDP 19.51 4.081 4.781 0.837 0.046 18.22 0.971 0.985
DF 0 0
CPI GD/$ 38.13 13.80 2.762 2.438 0.609 4.003 0.616 0.785
5 8
CPI GEXP 44.36 6.132 7.236 0.017 0.002 8.249 0.872 0.934
8

YIEL DR6 - 6.748 - 2.437 0.589 4.139 0.631 0.795

D M 10.63 1.575
YIEL GD/$ 6.729 4.767 1.411 0.473 0.210 2.249 0.336 0.580
D

Table-8: Descriptive Statistics for Natural Logarithms of the

Variables

Variables Mean Std Dev. Std Err CV(%) N

CPI 4.479 0.254 0.073 5.7 12
YCuMP 9.599 0.453 0.131 4.7 12
YCstMP 9.811 0.118 0.034 1.2 12
M2 8.341 0.742 0.214 8.9 12
Velocity 1.258 0.293 0.085 23.3 12
GD/US$ 3.010 0.385 0.111 12.8 12
EXP 7.805 0.532 0.154 6.8 12
BankCR 7.918 0.654 0.189 8.3 12
GovCR 7.140 0.645 0.186 9.0 12
PvtCR 7.279 0.711 0.205 9.8 12
TBYield 2.783 0.305 0.088 10.9 12
DR-3M 2.150 0.711 0.205 33.1 12
DR-6M 2.413 0.161 0.046 6.7 12
DR-12M 2.450 0.164 0.047 6.7 12
TBOut 7.842 0.553 0.160 7.1 12
OBD 5.964 1.134 0.327 19.0 12
GDPDF 4.394 0.342 0.099 7.8 12
REV 7.510 0.610 0.176 8.1 12
BOPB 5.192 1.505 0.435 29.0 12

17
Table-9A: Correlation Matrix (R) for Natural Logarithms of Variables
CPI YCuMP YCstMP M2 Velocit GD/US$ EXP
y
CPI 1.000 0.987 0.949 0.985 -0.965 0.846 0.942
YCuMP 0.987 1.000 0.957 0.996 -0.973 0.893 0.964
YCstM 0.949 0.957 1.000 0.955 -0.936 0.744 0.889
P
M2 0.985 0.996 0.955 1.000 -0.990 0.881 0.968
Velocit -0.965 -0.973 -0.936 -0.990 1.000 -0.848 -0.958
y
GD/US 0.846 0.893 0.744 0.881 -0.848 1.000 0.900
$
EXP 0.942 0.964 0.889 0.968 -0.958 0.900 1.000
BankC 0.969 0.975 0.982 0.983 -0.978 0.790 0.936
R
GovCR 0.903 0.894 0.929 0.907 -0.912 0.646 0.883
PvtCR 0.967 0.980 0.968 0.983 -0.972 0.840 0.921
TBYiel 0.164 0.205 -0.004 0.146 -0.052 0.524 0.172
d
DR-3M 0.192 0.118 0.040 0.118 -0.118 0.162 -0.023
DR-6M -0.236 -0.226 -0.344 -0.279 0.357 0.047 -0.295
DR- -0.233 -0.273 -0.358 -0.331 0.414 -0.148 -0.312
12M
TBOut 0.962 0.970 0.941 0.976 -0.971 0.825 0.966
OBD 0.368 0.416 0.441 0.449 -0.491 0.297 0.512
GDPDF 0.980 0.995 0.923 0.990 -0.967 0.926 0.971
REV 0.994 0.975 0.939 0.978 -0.967 0.825 0.939
BOPB 0.412 0.395 0.229 0.405 -0.412 0.477 0.540

18
 Table-9B: Correlation Matrix for Natural Logarithms of Variables

BankC GovCR PvtCR TBYiel DR-3M DR-6M DR-

R d 12M
CPI 0.969 0.903 0.967 0.164 0.192 -0.236 -0.233
YCuMP 0.975 0.894 0.980 0.205 0.118 -0.226 -0.273
YCstM 0.982 0.929 0.968 -0.004 0.040 -0.344 -0.358
P
M2 0.983 0.907 0.983 0.146 0.118 -0.279 -0.331
Velocit -0.978 -0.912 -0.972 -0.052 -0.118 0.357 0.414
y
GD/US 0.790 0.646 0.840 0.524 0.162 0.047 -0.148
$
EXP 0.936 0.883 0.921 0.172 -0.023 -0.295 -0.312
BankC 1.000 0.953 0.981 -0.004 0.049 -0.402 -0.414
R
GovCR 0.953 1.000 0.877 -0.187 -0.103 -0.543 -0.379
PvtCR 0.981 0.877 1.000 0.114 0.169 -0.302 -0.407
TBYiel -0.004 -0.187 0.114 1.000 0.379 0.740 0.563
d
DR-3M 0.049 -0.103 0.169 0.379 1.000 0.265 0.199
DR-6M -0.402 -0.543 -0.302 0.740 0.265 1.000 0.730
DR- -0.414 -0.379 -0.407 0.563 0.199 0.730 1.000
12M
TBOut 0.977 0.963 0.940 0.046 0.006 -0.398 -0.331
OBD 0.505 0.484 0.477 -0.342 -0.425 -0.604 -0.775
GDPDF 0.954 0.864 0.964 0.273 0.142 -0.181 -0.238
REV 0.965 0.921 0.951 0.113 0.189 -0.278 -0.237
BOPB 0.303 0.306 0.275 0.258 -0.035 0.127 0.166

19
 Table-9C: Correlation Matrix for Natural Logarithms of Variables

TBOut OBD GDPDF REV BOPB CPI M2

CPI 0.962 0.368 0.980 0.994 0.412 1.000 0.985
YCuMP 0.970 0.416 0.995 0.975 0.395 0.987 0.996
YCstM 0.941 0.441 0.923 0.939 0.229 0.949 0.955
P
M2 0.976 0.449 0.990 0.978 0.405 0.985 1.000
Velocit -0.971 -0.491 -0.967 -0.967 -0.412 -0.965 -0.990
y
GD/US 0.825 0.297 0.926 0.825 0.477 0.846 0.881
$
EXP 0.966 0.512 0.971 0.939 0.540 0.942 0.968
BankC 0.977 0.505 0.954 0.965 0.303 0.969 0.983
R
GovCR 0.963 0.484 0.864 0.921 0.306 0.903 0.907
PvtCR 0.940 0.477 0.964 0.951 0.275 0.967 0.983
TBYiel 0.046 -0.342 0.273 0.113 0.258 0.164 0.146
d
DR-3M 0.006 -0.425 0.142 0.189 -0.035 0.192 0.118
DR-6M -0.398 -0.604 -0.181 -0.278 0.127 -0.236 -0.279
DR- -0.331 -0.775 -0.238 -0.237 0.166 -0.233 -0.331
12M
TBOut 1.000 0.461 0.961 0.968 0.401 0.962 0.976
OBD 0.461 1.000 0.400 0.338 0.252 0.368 0.449
GDPDF 0.961 0.400 1.000 0.968 0.445 0.980 0.990
REV 0.968 0.338 0.968 1.000 0.421 0.994 0.978
BOPB 0.401 0.252 0.445 0.421 1.000 0.412 0.405

Table-10: Log-Linear Regression Results: Dependent Variable =

Log(CPI) = α + β Log(X)

X α Std Error β Std Error R² R Adj.

t t R²

YCUR - 0.276 - 0.554 0.029 19.30 0.974 0.987 0.971

0.837 3.036 0
M2 1.663 0.159 10.47 0.338 0.019 17.79 0.969 0.985 0.966
1 1
GDP 1.278 0.205 6.237 0.729 0.046 15.67 0.961 0.980 0.957
DF 4
BKCR 1.496 0.242 6.187 0.377 0.030 12.37 0.939 0.969 0.933
9
TBO 1.011 0.313 3.232 0.442 0.040 11.11 0.925 0.962 0.918
UT 2
20
GEXP 0.965 0.399 2.422 0.450 0.051 8.836 0.886 0.942 0.875

GD/$ 2.800 0.337 8.298 0.558 0.111 5.013 0.715 0.846 0.687

Table-11: Log-Linear Regression Results: Dependent Variable =

Log(Y) = α + β Log(X)
Y X α Std t β Std t R² R
Error Error
Yield CPI 1.905 1.677 1.136 0.196 0.374 0.524 0.027 0.164
Yield DR12 0.212 1.196 0.177 1.049 0.487 2.154 0.317 0.563
M
M2 YCST - - 10.14
50.60 5.808 8.712 6.008 0.592 9 0.912 0.955
GD/$ GDPD - -
F 1.576 0.592 2.662 1.044 0.134 7.767 0.858 0.926
BKCR YCST - - 16.58
45.55 3.225 14.12 5.450 0.329 1 0.965 0.982
DR6M DR12
M 0.656 0.522 1.257 0.717 0.213 3.373 0.532 0.730
TBOU GEXP 11.72
T 0.005 0.670 0.007 1.004 0.086 9 0.932 0.966
BOPB GD/$ - -
0.419 3.290 0.127 1.865 1.085 1.718 0.228 0.477
YCST BKCR 8.409 0.085 99.15 0.177 0.011 16.58 0.965 0.982
7 1
YCUR GEXP 3.185 0.557 5.719 0.822 0.071 11.54 0.930 0.964
1
VELC BKCR 4.732 0.234 20.25 - 0.029 - 0.957 0.978
T 4 0.439 14.92
GEXP REV 1.661 0.714 2.325 0.818 0.095 8.626 0.882 0.939
GOVC TBOU - 0.784 - 1.122 0.100 11.24 0.927 0.963
R T 1.662 2.119 8
YIELD DR6M - 0.976 - 1.402 0.403 3.476 0.547 0.740
0.601 0.616
DR12 OBD 3.117 0.175 17.84 - 0.029 - 0.601 0.775
M 2 0.112 3.878
OBD EXP - 4.529 - 1.093 0.579 1.887 0.263 0.512
2.565 0.566

CPI YCUR - - 19.30

0.837 0.276 3.036 0.554 0.029 0 0.974 0.987
M2 YCUR - 0.451 - 1.630 0.047 34.73 0.992 0.996
7.306 16.20 2
GD/$ - 1.166 - 0.759 0.121 6.261
YCUR 4.280 3.672 0.797 0.893
REV YCUR - 0.908 1.093 1.313 0.095 1.093 0.951 0.975
5.096
GEXP YCUR - 0.942 - 1.132 0.098 11.54 0.930 0.964
21
 3.061 3.247 1
OBD - -
YCUR 4.040 6.914 0.584 1.042 0.720 1.448 0.173 0.416
BKCR - - 14.01
YCUR 5.595 0.965 5.798 1.408 0.100 7 0.952 0.975
GOVC YCUR - 1.939 - 1.272 0.202 6.303 0.799 0.894
R 5.070 2.614
PVTC YCUR - - 15.48
R 7.479 0.954 7.840 1.537 0.099 7 0.960 0.980
TBOU YCUR - 0.901 - 1.184 0.094 12.62 0.941 0.970
T 3.523 3.909 3
GDFD YCUR - 0.230 - 0.751 0.024 31.39 0.990 0.995
F 2.817 12.25 9
BOPB YCUR - 9.273 - 1.314 0.965 1.362 0.156 0.395
7.421 0.800

22
 Table-12A: Monthly Data on Major Variables during Jan 2007 to September
2009
Year/M CPI CPI- CPI- EXP OBB M2 GD/$ YLD- YLD-
FD NF 3M 6M
2007Ja 106.8 106.6 107.1 325.6 -22.4 7788. 28.0 10.5 12.7
6 5 19 0 8
Feb 107.0 106.7 107.3 338.7 1.8 8000. 27.9 12.0 13.4
1 7 06 7 8
Mar 109.3 111.0 107.2 295.3 63.4 7823. 27.7 12.6 13.4
6 7 53 6 0
Apr 111.6 114.6 107.8 280.3 69.7 8008. 27.5 13.0 13.4
4 9 82 5 7
May 112.0 115.1 108.1 265.5 47.2 7983. 27.3 12.8 13.3
5 9 81 0 0
Jun 111.9 115.1 108.0 242.0 34.1 7832. 26.5 12.6 13.1
8 5 74 3 0
Jul 111.9 115.0 108.1 258.4 78.1 7937. 25.3 12.5 13.2
5 1 8 2 5
Aug 112.0 115.1 108.2 312.6 -13.0 8011. 23.2 12.6 12.9
9 9 7 4 4
Sep 111.8 114.7 108.2 327.1 -80.7 7896. 19.1 11.6 12.2
6 7 74 1 3
Oct 111.9 114.7 108.5 341.9 12.9 7820. 19.4 10.6 11.7
5 62 9 4
Nov 112.1 115.1 108.4 289.5 -41.9 7755. 21.3 10.5 11.5
3 2 46 1 2
Dec 112.2 115.3 108.4 357.5 -121.5 8273.9 22.5 10.4 11.6
6 2 9 0
2008Ja 112.3 115.3 108.5 328.4 -8.8 8095. 22.3 10.6 11.4
1 8 27 4 0
Feb 112.3 115.4 108.5 309.0 20.4 8242. 21.9 10.9 11.9
4 5 08 9 2
Mar 112.7 116.1 108.5 293.0 54.8 8278. 19.5 11.0 12.1
3 1 65 0 2
Apr 113.2 116.6 109.0 326.2 8.1 8306. 20.1 10.9 11.9
1 1 21 1 7
May 113.8 117.3 109.4 309.6 -32.8 8580. 20.6 10.2 11.3
3 9 44 4 6
Jun 114.4 118.1 109.9 447.3 -127.7 8494. 20.7 10.0 11.2
8 7 33 3 5
Jul 116.21 121.02 110.28 393.1 -122.9 8737. 20.9 9.6 10.6
1 9
Aug 117.7 123.0 111.1 252.4 -32.0 8740. 21.4 8.8 10.2
0 7
Sep 118.9 124.1 112.6 260.5 113.8 8770. 23.1 8.9 11
6 1 14 0 9
Oct 119.2 124.5 112.7 524.5 -236.4 8746. 24.9 10.3 11.4
9 8 72 4 7
23
 Nov 119.5 125.0 112.7 384.4 -81.3 9287. 26.3 10.1 13.4
4 3 76 9 4
Dec 119.9 125.1 113.5 503.6 -50.2 9796. 26.5 9.9 12.5
3 2 35 1 4
2009Ja 120.1 125.4 113.6 326.5 56.8 9656. 26.1 10.5 12.1
3 2 12 9 4
Feb 120.2 125.5 113.6 319.1 50.0 9924. 26.1 11.1 12.8
5 7 95 3 9
Mar 120.3 125.6 113.7 504.3 -34.8 9883. 26.4 11.4 12.7
2 45 3 9
Apr 120.3 125.6 113.9 596.2 -198.8 9869. 26.8 12.0 12.96
6 04 7 7
May 120.5 125.7 114.0 401.7 -105.2 10063 26.7 12.5 13.8
1 5 54 1 .5
Jun 120.6 125.8 114.1 526.4 -208.7 10298 26.9 13.0 13.8
1 7 29 9 .2
Jul 120.8 125.9 114.5 372.6 -0.3 10311 26.8 11.5 12
4 6 31 1 .9
Aug 121.1 126.3 114.6 296.0 -10.9 10390 26.6 10.2 11.2
5 9 94 5 .1
Sep 121.7 127.3 114.8 255.8 102.0 10585 26.9 10.4 11.7
5 9 01 9 .6

24
Table-12B: Monthly Data on Major Variables during Jan 2007 to September
2009

Year/M YLD- AV.YL DR-3M DR-6M DR- BkRat DisRat TBOUT REV
12M D 12M e e
2007Ja 13.6 12.27 9 9.5 9.5 10 15 4876. 302.5
0
Feb 13.8 13.07 9 9.5 9.5 10 15 4783. 320.8
1
Mar 13.7 13.23 9 9.5 9.5 9 14 4730. 354.3
6
Apr 13.8 13.40 9.45 10.45 11 9 14 4759. 342.5
3
May 13.8 13.30 9.45 10.45 11 9 14 4817. 305.1
8
Jun 13.9 13.20 9.45 10.45 11 10 15 4770. 267.4
3
Jul 13.9 13.20 9.45 10 11 10 15 4806. 331.3
7
Aug 13.6 13.03 9.45 10 11 10 15 4960. 295.7
9
Sep 12.9 12.23 9.35 9.85 11 10 15 4917. 228.0
7
Oct 12.5 11.60 9.35 9.85 11 10 15 4940. 265.7
8
Nov 12.5 11.50 9.35 9.85 11 10 15 4760. 243.4
8
Dec 13.6 11.87 8.95 9.45 11 10 15 4691. 211.2
3
2008Ja 13.6 11.87 8.95 9.45 11 10 15 4749. 320.7
8
Feb 13.7 12.17 8.95 9.45 11 10 15 4748. 295.3
8
Mar 13.6 12.23 9.3 9.8 11 10 15 4731. 340.9
1
Apr 13.3 12.03 9.3 9.8 11 10 15 4825. 319.1
6
May 13 11.50 9.3 9.8 11 10 15 4806. 279.6
2
Jun 13.3 11.50 9.3 9.8 11 10 15 4828. 290.3
8
Jul 12.6 10.93 9.3 9.8 11 10 15 4894. 269.9
5
Aug 12.1 10.37 9.3 9.8 11 10 15 5898. 211.7
8
Sep 13.1 11.00 7.75 8.5 11 10 15 4860. 362.7
1
Oct 13.6 11.77 8.25 9 11.25 10 16 5229. 252.9
1

25
 Nov 13.7 12.40 9.5 10 11.25 10 16 4827. 224.5
4
Dec 14 12.13 10.25 10.75 11.25 10 16 4745. 332.4
5
2009Ja 14.4 12.33 10.25 10.75 11 10 16 4783. 368.8
0
Feb 14.4 12.77 10.25 10.75 11 10 16 4788. 344.2
1
Mar 14.4 12.83 10.25 10.75 10.75 10 16 5543. 378.6
6
Apr 14.58 13.18 10.25 10.75 10.75 10 16 4837. 386.1
6
May 15.3 13.87 10.25 10.75 10.75 10 16 4848. 277.1
5
Jun 15.6 14.13 10.25 10.75 10.75 10 16 4939. 313.9
1
Jul 14.4 12.62 10.25 10.75 10.75 10 16 5078. 361.9
4
Aug 13.3 11.55 10.25 10.75 10.75 10 16 5139. 284.9
6
Sep 14.3 12.15 9.5 9.5 9.5 10 16 5125. 357.8
3

26
 Table-13: Descriptive Statistics for Monthly
Variables

Variable Mean Std Dev. Std Err CV (%) N

CPI 115.379 4.475 0.779 3.9 33
CPI-FD 119.247 5.964 1.038 5.0 33
CPI-NF 110.614 2.721 0.474 2.5 33
EXP 350.491 91.036 15.847 26.0 33
OBB -24.761 88.139 15.343 -356.0 33
M2 8793.70 939.137 163.483 10.7 33
8
GD/$ 24.343 2.971 0.517 12.2 33
YLD-3M 11.075 1.170 0.204 10.6 33
YLD-6M 12.253 0.960 0.167 7.8 33
YLD-12M 13.693 0.753 0.131 5.5 33
AV.YLD 12.340 0.867 0.151 7.0 33
DR-3M 9.461 0.602 0.105 6.4 33
DR-6M 10.009 0.590 0.103 5.9 33
DR-12M 10.795 0.506 0.088 4.7 33
BkRate 9.909 0.292 0.051 2.9 33
DisRate 15.273 0.626 0.109 4.1 33
TBOUT 4910.43 248.657 43.286 5.1 33
3
REV 304.285 49.095 8.546 16.1 33

27
 Table-14A: Pearson Correlation Matrix for the Monthly Variables
CPI CPI- CPI- EXP OBB M2 GD/$ YLD3 YLD6
FD NF M M
CPI 1.000 0.997 0.978 0.443 - 0.919 0.235 - -
0.253 0.264 0.129
CPI- 0.997 1.000 0.959 0.424 - 0.893 0.191 - -
FD 0.251 0.274 0.154
CPI- 0.978 0.959 1.000 0.480 - 0.963 0.348 - -
NF 0.252 0.231 0.057
EXP 0.443 0.424 0.480 1.000 - 0.447 0.163 0.028 0.154
0.802
OBB - - - - 1.000 - 0.083 0.055 0.039
0.253 0.251 0.252 0.802 0.208
M2 0.919 0.893 0.963 0.447 - 1.000 0.413 - 0.034
0.208 0.120
GD/$ 0.235 0.191 0.348 0.163 0.083 0.413 1.000 0.446 0.645
YLD3 - - - 0.028 0.055 - 0.446 1.000 0.840
M 0.264 0.274 0.231 0.120
YLD6 - - - 0.154 0.039 0.034 0.645 0.840 1.000
M 0.129 0.154 0.057
YL12 0.414 0.380 0.492 0.425 - 0.588 0.678 0.573 0.698
M 0.135
AV.YL - - 0.018 0.192 0.000 0.129 0.635 0.926 0.949
D 0.047 0.070
DR- 0.497 0.479 0.530 0.334 - 0.647 0.361 0.319 0.368
3M 0.128
DR- 0.426 0.415 0.441 0.300 - 0.533 0.415 0.430 0.450
6M 0.108
DR12 0.277 0.331 0.123 0.150 - - - - -
M 0.236 0.012 0.459 0.191 0.250
BkRat 0.313 0.301 0.335 0.247 - 0.293 - - -
e 0.309 0.339 0.474 0.372
DsRat 0.816 0.788 0.870 0.557 - 0.843 0.260 - -
e 0.382 0.222 0.001
TBOU 0.396 0.400 0.374 0.101 - 0.317 - - -
T 0.145 0.007 0.297 0.362
REV 0.224 0.196 0.292 0.139 0.399 0.354 0.441 0.275 0.293

Table-14B: Pearson Correlation Matrix for the Monthly Variables

YL12 AV.YL DR- DR- DR12 BkRat DisRa TBOU REV
M D 3M 6M M e te T
CPI 0.414 - 0.497 0.426 0.277 0.313 0.816 0.396 0.224
0.047
CPI- 0.380 - 0.479 0.415 0.331 0.301 0.788 0.400 0.196
FD 0.070
CPI- 0.492 0.018 0.530 0.441 0.123 0.335 0.870 0.374 0.292
NF
EXP 0.425 0.192 0.334 0.300 0.150 0.247 0.557 0.101 0.139
OBB - 0.000 - - - - - - 0.399
28
 0.135 0.128 0.108 0.236 0.309 0.382 0.145
M2 0.588 0.129 0.647 0.533 - 0.293 0.843 0.317 0.354
0.012
GD/$ 0.678 0.635 0.361 0.415 - - 0.260 - 0.441
0.459 0.339 0.007
YLD3 0.573 0.926 0.319 0.430 - - - - 0.275
M 0.191 0.474 0.222 0.297
YLD6 0.698 0.949 0.368 0.450 - - - - 0.293
M 0.250 0.372 0.001 0.362
YL12 1.000 0.805 0.544 0.538 - - 0.493 - 0.526
M 0.184 0.031 0.176
AV.YL 0.805 1.000 0.437 0.516 - - 0.042 - 0.385
D 0.231 0.360 0.318
DR- 0.544 0.437 1.000 0.954 0.075 0.086 0.535 0.099 0.271
3M
DR- 0.538 0.516 0.954 1.000 0.196 - 0.403 0.051 0.252
6M 0.068
DR12 - - 0.075 0.196 1.000 0.188 0.108 - -
M 0.184 0.231 0.006 0.312
BkRat - - 0.086 - 0.188 1.000 0.653 0.182 -
e 0.031 0.360 0.068 0.194
DsRat 0.493 0.042 0.535 0.403 0.108 0.653 1.000 0.278 0.145
e
TBOU - - 0.099 0.051 - 0.182 0.278 1.000 -
T 0.176 0.318 0.006 0.138
REV 0.526 0.385 0.271 0.252 - - 0.145 - 1.000
0.312 0.194 0.138

29
 Table-15A: Annual Rates (in percentage)

Year/ INF INF- INF- GR- OBD/ GR- DEP YLD- YLD-
month FD NF EXP Y M2 (%) 3M 6M
2008 5.1 8.2 1.3 0.9 0.04 3.9 -20.1 10.6 11.4
Jan
Feb 5.0 8.1 1.1 -8.8 -0.09 3.0 -21.6 10.9 11.9
Mar 3.1 4.5 1.2 -0.8 -0.24 5.8 -29.7 11.0 12.1
Apr 1.4 1.7 1.1 16.4 -0.04 3.7 -26.8 10.9 11.9
May 1.6 1.9 1.2 16.6 0.15 7.5 -24.3 10.2 11.3
Jun 2.2 2.6 1.7 84.8 0.57 8.5 -22.1 10.0 11.2
Jul 3.8 5.2 1.9 52.1 0.55 10.1 -17.3 9.6 10.6
Aug 5.0 6.8 2.6 -19.3 0.14 9.1 -8.0 8.8 10.2
Sep 6.3 8.1 4.0 -20.4 -0.51 11.1 21.2 8.9 11.0
Oct 6.6 8.6 3.9 53.4 1.05 11.8 28.0 10.3 11.4
Nov 6.6 8.6 4.0 32.8 0.36 19.8 23.0 10.1 13.4
Dec 6.8 8.5 4.7 40.9 0.22 18.4 17.8 9.9 12.5
2009 7.0 8.7 4.7 -0.6 -0.23 19.3 16.7 10.5 12.1
Jan
Feb 7.0 8.8 4.8 3.2 -0.20 20.4 19.3 11.1 12.8
Mar 6.7 8.2 4.8 72.1 0.14 19.4 35.5 11.4 12.7
Apr 6.3 7.7 4.5 82.8 0.80 18.8 33.2 12.0 13.0
May 5.9 7.1 4.2 29.7 0.42 17.3 29.5 12.5 13.8
Jun 5.4 6.5 3.8 17.7 0.83 21.2 30.1 13.0 13.8
Jul 4.0 4.1 3.9 -5.2 0.00 18.0 27.9 11.5 12.0
Aug 3.0 2.8 3.3 17.3 0.04 18.9 24.6 10.2 11.2
Sep 2.3 2.6 1.9 -1.8 -0.41 20.7 16.6 10.4 11.7

30
 Table-15B: Annual Rates (in percentage)

Year/ YLD- AV.Y DR- DR- DR- DR- DisR GR- GR-
month 12M LD 3M 3M 6M 12M ate TB REV
2008 13.6 11.9 9.0 9.0 9.5 11.0 15.0 -2.6 6.0
Jan
Feb 13.7 12.2 9.0 9.0 9.5 11.0 15.0 -0.7 -7.9
Mar 13.6 12.2 9.3 9.3 9.8 11.0 15.0 0.0 -3.8
Apr 13.3 12.0 9.3 9.3 9.8 11.0 15.0 1.4 -6.8
May 13.0 11.5 9.3 9.3 9.8 11.0 15.0 -0.2 -8.4
Jun 13.3 11.5 9.3 9.3 9.8 11.0 15.0 1.2 8.6
Jul 12.6 10.9 9.3 9.3 9.8 11.0 15.0 1.8 -18.5
Aug 12.1 10.4 9.3 9.3 9.8 11.0 15.0 18.9 -28.4
Sep 13.1 11.0 7.8 7.8 8.5 11.0 15.0 -1.2 59.1
Oct 13.6 11.8 8.3 8.3 9.0 11.3 16.0 5.8 -4.8
Nov 13.7 12.4 9.5 9.5 10.0 11.3 16.0 1.4 -7.8
Dec 14.0 12.1 10.3 10.3 10.8 11.3 16.0 1.2 57.4
2009 14.4 12.3 10.3 10.3 10.8 11.0 16.0 0.7 15.0
Jan
Feb 14.4 12.8 10.3 10.3 10.8 11.0 16.0 0.8 16.5
Mar 14.4 12.8 10.3 10.3 10.8 10.8 16.0 17.2 11.1
Apr 14.6 13.2 10.3 10.3 10.8 10.8 16.0 0.2 21.0
May 15.3 13.9 10.3 10.3 10.8 10.8 16.0 0.9 -0.9
Jun 15.6 14.1 10.3 10.3 10.8 10.8 16.0 2.3 8.1
Jul 14.4 12.6 10.3 10.3 10.8 10.8 16.0 3.8 34.1
Aug 13.3 11.6 10.3 10.3 10.8 10.8 16.0 -12.9 34.6
Sep 14.3 12.1 9.5 9.5 9.5 9.5 16.0 5.5 -1.4

31
 Table-16: Descriptive Statistics for Annual Rates (in percentage)

Variable Mean Std Dev. Std Err CV (%) N

INF 4.812 1.904 0.416 39.6 21
INF-FD 6.162 2.579 0.563 41.8 21
INF-NF 3.070 1.421 0.310 46.3 21
GR-EXP 22.095 31.825 6.945 144.0 21
OBD/Y 0.171 0.415 0.091 242.0 21
GR-M2 13.653 6.478 1.414 47.4 21
DEP(%) 7.316 23.796 5.193 325.3 21
YLD-3M 10.655 1.048 0.229 9.8 21
YLD-6M 11.998 0.989 0.216 8.2 21
YLD-12M 13.823 0.842 0.184 6.1 21
AV.YLD 12.159 0.909 0.198 7.5 21
DR-3M 9.569 0.722 0.158 7.5 21
DR-6M 10.069 0.682 0.149 6.8 21
DR-12M 10.893 0.359 0.078 3.3 21
DisRate 15.571 0.507 0.111 3.3 21
GR-TB 2.167 6.416 1.400 296.1 21
GR-REV 8.699 22.605 4.933 259.9 21

32
 Table-17A Correlation Matrix for Annual Rates
INF INF- INF- GR- OBD/ GR- DEP( YLD- YLD-
FD NF EXP Y M2 %) 3M 6M
INF 1.000 0.963 0.806 0.087 0.163 0.469 0.638 0.121 0.431
INF-FD 0.963 1.000 0.618 0.013 0.130 0.253 0.441 0.058 0.342
INF-NF 0.806 0.618 1.000 0.221 0.186 0.817 0.900 0.235 0.514
GR- 0.087 0.013 0.221 1.000 0.715 0.193 0.192 0.207 0.224
EXP
OBD/Y 0.163 0.130 0.186 0.715 1.000 0.122 0.217 0.308 0.233
GR-M2 0.469 0.253 0.817 0.193 0.122 1.000 0.879 0.344 0.563
DEP(% 0.638 0.441 0.900 0.192 0.217 0.879 1.000 0.347 0.525
)
YLD- 0.121 0.058 0.235 0.207 0.308 0.344 0.347 1.000 0.804
3M
YLD- 0.431 0.342 0.514 0.224 0.233 0.563 0.525 0.804 1.000
6M
YLD- 0.383 0.273 0.530 0.146 0.171 0.634 0.618 0.873 0.873
12M
AV.YL 0.321 0.230 0.440 0.206 0.256 0.532 0.514 0.945 0.941
D
DR-3M 0.138 -0.019 0.453 0.228 0.108 0.663 0.413 0.574 0.576
DR-6M 0.225 0.061 0.531 0.262 0.175 0.650 0.449 0.579 0.591
DR- 0.330 0.391 0.101 0.134 0.285 - - - -
12M 0.349 0.213 0.232 0.049
DisRat 0.508 0.316 0.797 0.239 0.232 0.916 0.889 0.470 0.636
e
GR-TB 0.212 0.209 0.146 0.088 0.107 0.055 0.099 - -
0.078 0.065
GR- 0.314 0.183 0.530 - - 0.394 0.482 - 0.143
REV 0.011 0.238 0.014
Table-17B Correlation Matrix for Annual Rates
INF YLD- AV. DR- DR- DR- Dis GR- GR-
12M YLD 3M 6M 12M Rate TB REV
INF 1.000 0.383 0.321 0.138 0.225 0.330 0.508 0.212 0.314
INF-FD 0.963 0.273 0.230 - 0.061 0.391 0.316 0.209 0.183
0.019
INF-NF 0.806 0.530 0.440 0.453 0.531 0.101 0.797 0.146 0.530
GR- 0.087 0.146 0.206 0.228 0.262 0.134 0.239 0.088 -
EXP 0.011
OBD/Y 0.163 0.171 0.256 0.108 0.175 0.285 0.232 0.107 -
0.238
GR-M2 0.469 0.634 0.532 0.663 0.650 - 0.916 0.055 0.394
0.349
DEP(% 0.638 0.618 0.514 0.413 0.449 - 0.889 0.099 0.482
) 0.213
YLD- 0.121 0.873 0.945 0.574 0.579 - 0.470 - -
33
3M 0.232 0.078 0.014
YLD- 0.431 0.873 0.941 0.576 0.591 - 0.636 - 0.143
6M 0.049 0.065
YLD- 0.383 1.000 0.960 0.594 0.588 - 0.715 - 0.268
12M 0.318 0.073
AV.YL 0.321 0.960 1.000 0.612 0.618 - 0.632 - 0.129
D 0.205 0.076
DR-3M 0.138 0.594 0.612 1.000 0.983 - 0.638 - 0.154
0.211 0.006
DR-6M 0.225 0.588 0.618 0.983 1.000 - 0.639 - 0.209
0.058 0.024
DR- 0.330 -0.318 - - - 1.000 - - 0.036
12M 0.205 0.211 0.058 0.265 0.089
DisRat 0.508 0.715 0.632 0.638 0.639 - 1.000 0.013 0.342
e 0.265
GR-TB 0.212 -0.073 - - - - 0.013 1.000 -
0.076 0.006 0.024 0.089 0.380
GR- 0.314 0.268 0.129 0.154 0.209 0.036 0.342 - 1.000
REV 0.380

Table-18A: Linear Regression Results on the basis of monthly variables-

Dependent Variable = CPI (CPI = α + β X)
Source Coeffi Std t Sourc Coeffi Std t
-cient Error e -cient Error
Intercep 80.27 3.147 25.50 Interc 102.0 6.218 16.41
t 8 8 pt 91 9
M2 0.005 0.000 12.07 EXP 0.020 0.008 2.546
1
EXP 0.002 0.004 0.470 GD/$ 0.252 0.246 1.026
GD/$ -0.261 0.110 -2.370
2
R R Adj. R2 R Adj.
2
R R2
0.871 0.933 0.858 0.223 0.472 0.171
Dependent Variable = CPI = α + β X
Source Coeffi Std t
-cient Error
Intercep 80.24 3.105 25.84
t 3 2
M2 0.005 0.000 13.71
6
GD/$ -0.263 0.109 -2.415
2
R R Adj.
R2
0.870 0.933 0.861

Table-18B: Regression Results - Dependent Variable =

Yield-3M = α + β X
34
Source Coeffi Std t Sourc Coeffi Std t
-cient Error e -cient Error
Intercep 17.91 4.606 3.890 Interc 15.51 4.345 3.570
t 7 pt 1
DR-3M 1.249 0.344 3.634 DR-3M 1.190 0.347 3.432
DisRate -0.503 0.497 -1.011 DisRat -1.028 0.334 -3.080
e
CPI -0.095 0.068 -1.406 0.043 0.170
R2 R Adj. R2 R Adj.
R2 R2
0.361 0.601 0.295 0.317 0.563 0.272

Table-18C: Regression Results - Dependent Variable = Yield-6M = α +

βX
Source Coeffi Std t Sourc Coeffi Std t
-cient Error e -cient Error
Intercep 11.30 3.919 2.884 Interc 8.591 3.909 2.198
t 1 pt
DR-6M 0.982 0.272 3.605 DR-6M 0.877 0.283 3.102
DisRate 0.325 0.402 0.808 DisRat -0.335 0.266 -1.258
e
CPI -0.120 0.057 -2.109
R2 R Adj. R2 R Adj.
2
R R2
0.343 0.586 0.276 0.243 0.493 0.192

35
Table-18D: Regression Coefficients Dependent Variable = Yield-12M
= α +βX
Source Coeffi Std t Sourc Coeffi Std t
-cient Error e -cient Error
Interce 7.688 3.612 2.129 Interc 16.64 2.841 5.860
pt pt 9
DR-12M -0.411 0.245 -1.682 DR- -0.274 0.263 -1.041
12M
DisRate 0.442 0.329 1.344
CPI 0.032 0.048 0.675
R2 R Adj. R2 R Adj.
R2 R2
0.311 0.558 0.240 0.034 0.184 0.003

Table-18E: Regression Coefficients Dependent Variable = Yield-

12M = α + β X
Source Coeffi Std t Sourc Coeffi Std t
-cient Error e -cient Error
Interce 4.636 2.872 1.614 Interc 5.658 3.177 1.781
pt pt
DisRate 0.593 0.188 3.156 CPI 0.070 0.028 2.531

R2 R Adj. R2 R Adj.
R2 R2
0.243 0.493 0.219 0.171 0.414 0.145

Table-18F: Regression Coefficients Dependent Variable = Log(CPI) =

α + β X= α + β X
Source Coeffi Std t Sourc Coeffi Std t
-cient Error e -cient Error
Interce 1.561 0.223 6.996 Interc 4.193 0.209 20.04
pt pt 6
M2 0.369 0.027 13.82 EXP 0.064 0.027 2.377
4
GD/$ -0.051 0.022 -2.315 GD/$ 0.057 0.050 1.135

R2 R Adj. R2 R Adj.
R2 R2
0.872 0.934 0.863 0.206 0.454 0.153

36
 Table-19: Descriptive Statistics for Natural Logarithms of Monthly
Variables

Variable Mean Std Dev. Std Err CV (%) N

CPI 4.747 0.039 0.007 0.8 33
CPI-FD 4.780 0.050 0.009 1.1 33
CPI-NF 4.706 0.025 0.004 0.5 33
EXP 5.830 0.238 0.041 4.1 33
Dummy 0.606 0.496 0.086 81.9 33
M2 9.076 0.104 0.018 1.1 33
GD/$ 3.185 0.126 0.022 4.0 33
YLD-3M 2.399 0.106 0.018 4.4 33
YLD-6M 2.503 0.079 0.014 3.2 33
YLD-12M 2.615 0.055 0.010 2.1 33
AV.YLD 2.510 0.071 0.012 2.8 33
DR-3M 2.245 0.065 0.011 2.9 33
DR-6M 2.302 0.060 0.010 2.6 33
DR-12M 2.378 0.049 0.009 2.1 33
BkRate 2.293 0.031 0.005 1.3 33
DisRate 2.725 0.041 0.007 1.5 33
TBOUT 8.498 0.048 0.008 0.6 33
REV 5.705 0.169 0.029 3.0 33

37
 Table-20A: Correlation Matrix (R) of natural logarithms of monthly variables
CPI CPI-FD CPI-NF EXP Dumy M2 GD/$ YLD3 YLD6 YL12
M M M
CPI 1.000 0.996 0.976 0.415 0.370 0.921 0.238 - - 0.394
0.271 0.140
CPI- 0.996 1.000 0.954 0.392 0.360 0.893 0.189 - - 0.357
FD 0.280 0.168
CPI- 0.976 0.954 1.000 0.459 0.383 0.965 0.354 - - 0.477
NF 0.234 0.064
EXP 0.415 0.392 0.459 1.000 0.495 0.444 0.132 0.022 0.146 0.402
Dumy 0.370 0.360 0.383 0.495 1.000 0.385 - - - -
0.032 0.287 0.268 0.003
M2 0.921 0.893 0.965 0.444 0.385 1.000 0.408 - 0.018 0.569
0.134
GD/$ 0.238 0.189 0.354 0.132 - 0.408 1.000 0.426 0.627 0.685
0.032
YLD3 - -0.280 -0.234 0.022 - - 0.426 1.000 0.842 0.583
M 0.271 0.287 0.134
YLD6 - -0.168 -0.064 0.146 - 0.018 0.627 0.842 1.000 0.705
M 0.140 0.268
YL12 0.394 0.357 0.477 0.402 - 0.569 0.685 0.583 0.705 1.000
M 0.003
AV.YL - -0.085 0.008 0.176 - 0.108 0.623 0.927 0.952 0.808
D 0.061 0.230
DR3M 0.462 0.444 0.494 0.319 0.212 0.609 0.339 0.342 0.371 0.516
DR6M 0.404 0.394 0.418 0.284 0.095 0.507 0.396 0.441 0.450 0.516
DR1Y 0.295 0.354 0.133 0.151 0.044 0.012 - - - -
0.440 0.190 0.248 0.183
BkRat 0.313 0.299 0.337 0.264 0.392 0.299 - - - -
e 0.327 0.455 0.365 0.040
DisRT 0.804 0.772 0.862 0.552 0.460 0.837 0.254 - - 0.473
0.214 0.007
TBOU 0.405 0.406 0.387 0.078 0.386 0.332 0.005 - - -
T 0.309 0.374 0.183
REV 0.189 0.158 0.263 0.098 - 0.326 0.433 0.300 0.316 0.538
0.352
Table-20B: Correlation Matrix (R) of natural logarithms of monthly variables
AV.YL DR-3M DR-6M DR1Y BkRat DisRT TBOU REV AV.YL M2
D e T D
CPI - 0.462 0.404 0.295 0.313 0.804 0.405 0.189 - 0.921
0.061 0.061
CPI- - 0.444 0.394 0.354 0.299 0.772 0.406 0.158 - 0.893
FD 0.085 0.085
38
CPI- 0.008 0.494 0.418 0.133 0.337 0.862 0.387 0.263 0.008 0.965
NF
EXP 0.176 0.319 0.284 0.151 0.264 0.552 0.078 0.098 0.176 0.444
Dumy - 0.212 0.095 0.044 0.392 0.460 0.386 - - 0.385
0.230 0.352 0.230
M2 0.108 0.609 0.507 0.012 0.299 0.837 0.332 0.326 0.108 1.000
GD/$ 0.623 0.339 0.396 - - 0.254 0.005 0.433 0.623 0.408
0.440 0.327
YLD3 0.927 0.342 0.441 - - - - 0.300 0.927 -
M 0.190 0.455 0.214 0.309 0.134
YLD6 0.952 0.371 0.450 - - - - 0.316 0.952 0.018
M 0.248 0.365 0.007 0.374
YL12 0.808 0.516 0.516 - - 0.473 - 0.538 0.808 0.569
M 0.183 0.040 0.183
AV.YL 1.000 0.436 0.510 - - 0.035 - 0.406 1.000 0.108
D 0.229 0.355 0.330
DR3M 0.436 1.000 0.955 0.076 0.076 0.501 0.096 0.244 0.436 0.609
DR6M 0.510 0.955 1.000 0.201 - 0.379 0.051 0.235 0.510 0.507
0.070
DR1Y - 0.076 0.201 1.000 0.189 0.114 - - - 0.012
0.229 0.007 0.310 0.229
BkRat - 0.076 -0.070 0.189 1.000 0.671 0.188 - - 0.299
e 0.355 0.199 0.355
DisRT 0.035 0.501 0.379 0.114 0.671 1.000 0.292 0.117 0.035 0.837
TBOU - 0.096 0.051 - 0.188 0.292 1.000 - - 0.332
T 0.330 0.007 0.163 0.330
REV 0.406 0.244 0.235 - - 0.117 - 1.000 0.406 0.326
0.310 0.199 0.163

Table-21: Log-Linear Regression Results: Dependent Variable =

Log(CPI) = α + β Log(X)

X α Std Error β Std Error R² R Adj.

t t R²

M2 1.627 0.236 6.886 0.344 0.026 13.20 0.849 0.921 0.844

7
DISR 2.682 0.274 9.790 0.758 0.101 7.540 0.647 0.804 0.636
T
GEXP 4.352 0.156 27.89 0.068 0.027 2.537 0.172 0.415 0.145
9
TBO 1.947 1.134 1.717 1.947 1.134 2.469 0.164 0.405 0.137
UT
GD/$ 4.515 0.171 26.39 0.073 0.054 1.362 0.056 0.238 0.026
8
DR3 4.127 0.214 19.27 0.276 0.095 2.897 0.213 0.462 0.188
M 6
39
Table-22: Log-Linear Regression Results: Dependent Variable = Log(Y) =
α + β Log(X)

Y X α Std t β Std t R² R
Error Error
YLD3 CPI 5.907 2.240 2.638 - 0.472 - 0.073 0.271
M 0.739 1.567
YLD6 CPI 3.859 1.719 2.245 - 0.362 - 0.020 0.140
M 0.286 0.789
YL12 CPI - 1.105 - 0.556 0.233 2.388 0.155 0.394
M 0.023 0.021
YLD3 DISRT 3.898 1.229 3.171 - 0.451 - 0.046 0.214
M 0.550 1.219
YLD6 DISRT 2.540 0.939 2.705 - 0.345 - 0.000 0.007
M 0.014 0.039
YL12 DISRT 0.902 0.573 1.574 0.629 0.210 2.992 0.224 0.473
M
M2 DISRT 3.320 0.677 4.902 2.112 0.248 8.501 0.700 0.837
M2 TBOU 2.932 3.137 0.935 0.723 0.369 0.110 0.332
T 1.959
DR- CPI - 1.264 - 0.771 0.266 0.213 0.462
3M 1.417 1.121 2.897
DR- CPI - 1.196 - 0.619 0.252 0.163 0.404
6M 0.636 0.532 2.457
DR12 CPI 0.606 1.032 0.587 0.373 0.217 0.087 0.295
M 1.718
DR- DISRT 0.095 0.667 0.143 0.789 0.245 0.251 0.501
3M 3.223
DR- DISRT 0.144 0.379 1.240 0.144 0.379 0.144 0.379
6M 2.279
DR12 DISRT 2.008 0.580 3.461 0.136 0.213 0.638 0.013 0.114
M

40