Methodology and Data Data are monthly frequency April 2010 December 2013 Series are GDP M2 CPI NEER LABOR amp OILP Steps Testing stationarity Lag specification ID: 529766
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Slide1
BURUNDI CASE STUDYSlide2
Methodology and Data
Data are
monthly
frequency
: April 2010 –
December
2013
Series
are GDP, M2, CPI, NEER, LABOR & OILP
Steps
:
Testing
stationarity
Lag
specification
VAR
stability
Causality
Impulse
responseSlide3
STATIONARITY TEST
trend
constant
Critical Values
2.79 and 3.53
2.54 and 3.22GDP-0.137-1.873INF-0.0322-0.7008M-5.267-1.097TCEN-0.348-1.733CPI-1.561-0.372LABOR-0.029-2.168OILP-1.0004-4.022
The series are difference stationary and are not depending up trend nor constant according to the results highlightedSlide4
VAR MODELLING
The optimal
lag
chosen
is
1 according to: LagLogLLRFPEAICSCHQ0326.4786445865379NA 3.69e-12-14.97517-14.47870-14.793201569.9058208830013 405.7120 7.39e-17-25.80504 -24.64659* -25.38042*2589.1221780162741 28.36700* 6.58e-17* -25.95820*
-24.13778
-25.29094
3
598.8295842067412
12.48095
9.64e-17
-25.65855
-23.17617
-24.74866Slide5
Stability test
Root
Modulus
0.998243
0.998243
0.954013 0.954013 0.622022 0.622022 0.027464 0.027464Slide6
Results
LOG(GDP)
LOG(CPI)
LOG(M2)
LOG(TCEN)
LOG(GDP(-1)) 0.995719-0.120874 1.301495 0.449351 (0.00187) (0.11091) (0.26531) (0.49329) [ 532.325][-1.08985][ 4.90561][ 0.91093]
LOG(CPI(-
1))
0.004316
0.933843
0.213050
-0.092581
(0.00061)
(0.03646)
(0.08723)
(0.16218)
[ 7.01819]
[ 25.6098]
[ 2.44247]
[-0.57085]
LOG(M2(-1))
0.000249
0.084966
0.061263
0.101885
(0.00108)
(0.06428)
(0.15377)
(0.28590)
[ 0.23013]
[ 1.32181]
[ 0.39842]
[ 0.35637]
LOG(TCEN(-1))
0.001615
-0.007519
0.074353
0.610916
(0.00047)
(0.02806)
(0.06713)
(0.12482)
[ 3.41147]
[-0.26793]
[ 1.10755]
[ 4.89436]
LOG(LIBOR)
-0.000810
0.019852
-0.106339
-0.013845
(0.00021)
(0.01232)
(0.02947)
(0.05480)
[-3.89631]
[ 1.61120]
[-3.60796]
[-0.25265]
LOG(OILP)
-0.001268
0.060050
0.245166
-0.527642
(0.00078)
(0.04618)
(0.11048)
(0.20542)
[-1.62768]
[ 1.30022]
[ 2.21909]
[-2.56865]Slide7
Granger causality
test
Null
Hypothesis
:ObsF-StatisticProb. LOG(M2) does not Granger Cause LOG(GDP)44 0.006360.9368 LOG(GDP) does not Granger Cause LOG(M2) 18.48770.0001 LOG(LIBOR) does not Granger Cause LOG(GDP)44 3.980160.0527
LOG(GDP)
does not Granger Cause LOG(LIBOR)
2.32668
0.1349
LOG(M2)
does
not Granger Cause
LOG(CPI)
44
1.48956
0.2293
LOG(CPI)
does
not Granger Cause LOG(M2)
6.14036
0.0174Slide8
Impulse response