inflation analysis

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2008

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DDC 339.5 -34

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-5/1, , -48, : 976-11-313207 : 976-11-324857 : http://www.forum.mn -: [email protected]

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ISBN 978-99929-0-559-X

ADMON .

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iii

1. , , 1.1. 1.2. 1.3. 1.4. 1.5. 1.6. 1.7. 1.8. 1.9. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . , . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . , , . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 3 5 6 7 7 8 9 10 10

1.10. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2. 2.1. 2.2. 2.3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 18 26

3. 3.1. 3.2. 3.3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . , . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 31 33

iv

4. 4.1. 4.2. 4.3. 4.4. 4.5. 4.6. 4.7. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35 39 40 41 42 43 44

5. 5.1. 5.2. 5.3. 5.4. 5.5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . , . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47 48 49 50 51

6. . . . . . . . . . . . . . . . . . . . .

53

7. , 7.1. 7.2. 7.3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57 58 60

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . , . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

65 86

v

1. , 1991-2006 2. 3. 4. - , 5. - 6. , 7. , , - - 8. 9. 10. 11. 12. 13. 3 8 34 35 38 41 44 47 48 49 50 51 61

1. 2. 3. 4. 5. , 1996-2007 , 1995-XII-31-100% - 6 30 31 32 32

vi

6. 7. 8. 9. 10. 11. 12. 13. 14. 15.

1 , 93 , 1999-2007 - -

33 36 37 38 40 42 42 43 45 45

1. 2. 3. 4. - 5. - 6. 1 7. 8. 93 9. 10. 11. - 12. 65 66 69 70 71 73 76 78 80 82 83 84

vii

, , . , . , 100 130 . . 2006 6.0 2007 15.1 . 1 2 . 3 30.4 2007 12 24.6 , , , , , 11.3 . , , , . 3 9-26.2 . . 6-10.2 15.1 . . , , , , , . . . 1 2 3

40 , 26

viii

, . , . , , . , . , , , . , , . , . , , . . . , . . , , , ,

ix

, 4 . , . 5 . , , , , . (, , ) . , , , , , , . , , , , . , , , - . , , , , . , , , , , , .

4 5

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1

1 , , 1.1

1990- , , . , , , . , , . , , . , . 1991 //, // //- . , , . , , , , , - . , . . : 1991-1995 123 , , (1991 1 16- )

2

1996-2000 205 , , (1995 12 - ) . 1997 116 , , , - . 2001 239 , ( 139 ) 2000 , , (2000 12 ) - 2006 287 , ( 194 ) , 2004 , (2005 12 ), . - , 90 , , 20 7 , , . - 1991-2006 1 ( 1.)- . 2 3 . 2007 , 14-17 . , . ,

1 2

- 3 10-

3

, ,

3

1. , 1991-2006 , 1991-1-16-100% 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 100.0 152.7 649.8 1838.8 3057.8 4681.8 6768.7 8156.9 8646.0 9507.6 10279.4 11099.2 11291.5 11821.9 13120.4 14361.7 15219.1 , 52.7 325.5 183.0 66.3 53.1 44.6 20.5 6.0 10.0 8.1 8.0 1.6 4.7 11.0 9.5 6.0

: , , 1993-2006

1.2

,

, . . . , . . : (demand pull) (cost push (structural)

4

(inertia) (political) ( 1- ). , . 4 . , , , . , . , , . , , . . , , , , . . : (Taylor rule) 4

.

, ,

5

(Inflation target) (Nominal income target) ( ). . , , , , , , . .1.3

1992-2002 , 2002 1.6 , 2003 , 2004 11 , 2005 9.5 , 2006 6.0 . 2007 , , , , ( 1). , , , . , , . , , , , .

6

1. , 1996-2007 60.0-

50.0 40.0 30.0 20.0 10.001.VIII 98.IX 96.XII 97.VII 99.IV 99.XI 00.VI 02.III 98.II 01.I 03.XII 04.VII 05.II 05.IX 06.IV 06.XI 07.VI 02.X 03.V

0.0 -10.0 -20.0

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1.5

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8

, / 2/.

2. / / /

. . . , , , . . . , , , . , . , . . . . , , , . . . , . , .

1.7

, ,

, , ,

, ,

9

. 1996 , , .1.8

, , , , . , ARMA , . , , , 93 , , , , , , , , . . , , , .

10

1.9

, , , . MATLAV , . -, - , - , - , , - , . .1.10

. , , . : , , , ,

11

2

, , . . , , , , .2.1

. (David Hume, Adam Smith, David Ricardo, John Stuart Mill) (Leon Walras, Alfred Marshall, Arthur C.Pigou) . . , . , . , . . .

12

. John Maynard Keynes (, 1936) , , . . K (1940) . Inflation gap . . , , . . . . . . , , . . . . , . (Humphrey (1981)). , , A.Smithies, G.Ackley, S.Maitai, J.A.Trevithhick

13

. Arthur Smithies (1942) 1970- . , -, - - . . : 1930- , 1940- ., . IS-LM 1950- ., . , ., . 5 1960- 6 . - , IS-LM . - IS-LM . . - . , . . , , . 1960- , 1970- . 1973-74 1978-79 5

Fischer(1983), Humphrey(1986), King(2000) - .

6

14

. 1960- ., . . , . . . 1960-70 . . . .(Humprey, 1998). . ( ) , ( ) Streeten(1962), Baumol (1967)7 . , 1960 . , , . , . . . . . . . .

7

Kirkpatrick, Nixon (1976), Frish (1983), Beckerman (1992)

15

1970 8. , . 1970- - 9. Don Patinkin, Axel Leijonhufvud , , . - - 10. , , -, - . . . . . , , . , , , , 11.

8 9

Edgren (1973), Aukrust (1977), Calmfors (1977) - Michal Kalecki, Nicholes Kaldor, Paul Davidson, Hyman P.Minsky Sidney Weintraub Bresser-Preira, Nakano (1987) Saad-Filho, Mollo (1999) . Montiel (1989), Calvo, Vegh(1999), Fielding, Bleaney(2000),

10

11

16

Milton Friedman ( ) . . . , . . 1970 Robert E.Lucas, Thomas J.Sargent, Neil Wallace, Robert J.Barro, Bennett T.McCallum . . . 1960- . . , . . . , . , . . . . Sargent, Wallace (1981)

17

12. . . , , , , , . , . . , , , , , , , 13. . , . ( ) ( ) , . . . , (Olivera-Tanzi effect)- , (inflation tax) . , , , ,12

http://politics.ankara.edu.tr/~kibritci/sargewall.html Alesina (1997) Drazen (2000)

13

18

, . , , , . . . , , . , , . . , , , . , , , , .2.2

. , , , . . . (Parkin) (1973) (Gross), (Laidler) (1975) . (Blejer) (1979), (Leiderman) (1981) .

19

(Mc Candless), (Weber) (1995) (Gross section data) , 0.95 . (Rossiter) (1999), (Ghali) (1999), (Palley) (1999), (Emory) (Chang) (1996), (Darrat) (1994), (Mehra) (1991), (Fosu) (Huq) (1998), (Gordon) (1998) (Hasan) (1999), (Sanders) (1994) . (Rossiter) (1999), (Hasan) (1999), (Sanders) (1994) . (Fosu), (Huq) (1988) . . (Gordon) (1988), (Darrat) (1994) . (Gordon) (1988) (Mehra) (1991) (- )- . . (Mehra) (1993) () - . (Mehra) (2000) . (Ghalli) (1999) (Zenetti) (2005) - . . 1979 (EMS)- , , .

20

. (Geary), (Hery), (Pratshke) (1970) - (input-output model)- . . (Geary) (1974)- . (Geary) (1976), (Parkin) (1973) . , . . (lag) . 8 . (lag) (Bradly) (1977) . - . 1961-1977 (Applebaum) (1979)- SOE- . (Browne) (1982) . , (Browne) (1984)- . SOE . 6 . (Browne)-

21

. . (Haekett), (Honohan) (1981) . - 75% . . . (Cassidy) (1982)- . 1955-1972 . (Mellis) (1993)- (Lindbeck) (1999) . . (Cassidy)- . . (Geary) (1981) . . (Browne) (1984)- . (Honohan) (1982) . 2 . , . SOE .

22

(Flynn) (1986) 10 . , , . . , 16-18 . 1972-1984 , (Flynn), (Honohan) (1986) . ()- (ECM)- . (Flynn), (Honohan) (1986) . , . . (O.Connen), (Frain) (1989) . . (O.Connen) (Frain) 1973-1987 (Bruno) (1979)- (Hiniarios) (1987)- . , 50% . 0.5 . 2 3 . 100% . . (O.Connen), (Frain) 1- . , . (Callan), (Fitzgerald) (1989) . , . 1975-1987

23

. . EMS- . (Wright) (1997), (Konny) (Mc Gettingan) (1996) . . (O.Connen), (Frain) - . . VAR (Howlett), (Mc Gettigan) (1995) . . (Callan), (Fitzgerald) (1989) . 2 . (Fountas), (Lally), (Wu) (1995) (1991)- Granger . . (Akyuz) (1973) . 1950-1968 - , , . (Ertugkul) (1982)- 1980- . 5 , . . Ertugkul- , . .

24

(Aksoy) (1992) . . . (Togan) (1987) 1960-1983 . (Onis Ozmucur) (1990) . (Rittenberg) (1993) . (Yeldan) (1993) / . (Yeldan) . (Metin) (1995) . . (Insel) (1995); (Erol), (van Wijnbergen) (1997) ; (Lim), (Papi) (1997); (Agenor), (Hoffmaister) (1997), (Darrat) (1997), (Akyurek) (1999) . . (seigniorage) (Selcuk) (1994, 1997 2001), (Scacciavillani), (Akcay) (1995); (Alper), (Karasulu) (1997) . (Selcuk) (2001)

25

(seigniorage) . (Akca), (Alper), (Ozmucur) (1997); (Lim), (Papi) (1997); (Agenor), (Hoffmaister) (1997); (Alper), (Ucer) (1998); (Akyurek) (1999), (Cizre-Sakaliogli), (Yeldan) (1999); (Baum) (1999) . . . (Durevall) (Ndungu) (2001) 1974-1996 (Error-Correction model) . , . (Khan), (Schimmelpfennig) (2006) . (Traore), (Jeudy), (Blein) (2003) 2001-2002 , , . , . (Juselius) (1991), (Nachega) (2001), (Durevall) (Ndungu) (2001) . , . , .

26

2.3

()- () . (2002, 2005) , , . . . . . - . (2005) . , , . (output gap), , , , , . M2- , , , (output gap) . . (2004) 2004-2005 , -ARMA, 3 . , ARMA , 2005 12%, 7%, 4.3% .

27

. . ? 1999, 2001 5, 7%- . 1%- 0.89 %- , . - . (2001) , . (Ordinary Least Squares) . 12 - , . - . (2002) , - . Johansen . .-, . ARIMA, VAR , , , , . - . (2004) . 8 . 10

28

2000-2004 . - .- (2005) , , . 10%- 4.45%- . .

29

3

, , , . , , . - .3.1

, 1996 1- 2007 9- , . 1995 12- 31- 2- . 1995 12- 31- 2007 9- , 3.6 . 12 , 4 . , . - .

30

2. , 1995.XII.31-100%400.0, 1995-XII-100

350.0 300.0 250.0 200.0 150.0 100.0 50.0 0.096.II 97.III 00.II 04.III 96.VII 98.XII 99.VII 03.VII 05.XII 06.VII 97.X 98.V 00.IX 01.IV 04.X 01.XI 02.VI 05.V 07.II 03.I 07.IX

,

1996-2000 , 2001-2003 , 2004 . , , . I-V . , . VI-X , XI-XII , , , ( 3). - 1996-1997 , 1999-2001 , 2003-2005 1997 1999 , 2001-2003 , 2005 2006 . 2007 . , , .

31

3. - 400.0 350.0 300.0 250.0 200.0 150.0 100.0 50.0 0.0 15.00 10.00 5.00 0.00

I

II

III

IV

V

VI

VII

VIII

IX

X

XI

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-5.0096.I 96.VII 97.III 97.X 98.V 98.XII 99.VII 00.II 00.IX 01.IV 01.XI 02.VI 03.I 03.VII 04.III 04.X 05.V 05.XII 06.VII 07.II 07.IX

-10.00

, 15.0 10.0 5.0 0.0 -5.0 -10.0 , 15.0 10.0 5.005.V 05.XII 06.VII 96.I 96.VII 97.III 97.X 98.V 98.XII 99.VII 00.II 03.VII 04.III 00.IX 01.IV 01.XI 02.VI 04.X 07.II 03.I

0.0 -5.0 -10.0 -12.0

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07.IX

,

, , . 1996-1997, 1999-2001 , , .3.2 ,

1996-2007 9- , , . , . 1996 9- 11.6 , 1997 8-

32

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4. 15.0 10.0 5.0 0.097.III 04.III 96.II 00.II 00.IX 96.VII 98.XII 99.VII 01.IV 01.XI 02.VI 03.VII 05.XII 06.VII 07.II 03.I

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300

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200

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100 96 97 98 99 00 01 02 03 04 05 06 (CPI) (HPTREND)

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34

3. , 2006:12 2007:01 2007:02 2007:03 2007:04 2007:05 2007:06 2007:07 2007:08 2007:09 2007:10 2007:11 2007:12 .

6.0 4.2 5.4 6.0 5.2 5.8 6.5 7.2 11.3 13.3

10.5 10.6 10.7 10.8 10.8 10.9 11.1 11.4 11.8 12.1 12.2 12.4 12.5

95 17.7 17.8 17.9 18 18 18.1 18.3 18.6 19 19.3 19.4 19.6 19.7

2007 20- 95 .

35

4

, . , , , , , .4.1

// . . . , . 1989-2006 - 2000 .

4. - , 1989 1990 1991 , , 10.7 10.5 18.9 , , 2000 1049.1 1022.7 928.2 -2.5 -9.2 -

36

1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006

, , 47.3 194.8 324.4 550.3 646.6 832.6 817.4 925.3 1018.9 1115.6 1240.8 1479.7 1945.7 2524.3 3172.4

, , 2000 840.0 814.8 833.5 886.1 907.0 943.2 976.6 1008.0 1018.6 1029.1 1070.7 1134.5 1256.8 1346.1 1459.0

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. 1989-2002, 2006

- - . - .

7. 1500 1400 1300 1200 1100 1000 900 800 90 92 94 96 98 00 02 04 06 (RGDP) (HPTREND)

1990-93 . .

37

1993 . 19931999 , 2000-2004 2005 . , , . , .

8. 36 34 32 30 28 26 24 22 95 96 97 98 99 00 01 02 03 04 05 06

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(HPTREND)

1995-1999 , 2000-2002 , 10 . 2003 . , , . 1998-2000 2001-2003 , 2004 2006-2007 ( 9). , . , , . , , .

38

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03.VIII

06.XII

07.X

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39

2001 2002 2003 2004 2005 2006

, 2000 -22.0 -40.5 -45.5 -0.9 1.8 19.4

4.2.

2 1- . 1 , 1 2 1 . 1 / 10/. 1 . 1 . 1 - . - 1 . - . 1-5 1 1-2- 3-8 . 6-10 , 11-12 1- 9-11 12- . , , , . - , . 2006 .

40

10. 1 , 1 600 500 400 300 200 10096.I 96.VII 97.III 97.X 98.V 98.XII 99.VII 00.II 00.IX 01.IV 01.XI 02.VI 03.I 03.VII 04.III 04.X 05.V 05.XII 06.VII 07.II 07.IX

1 500 450 400 350 300 250 200 150 100 50 0

96.I 96.VII 97.III 97.X 98.V 98.XII 99.VII 00.II 00.IX 01.IV 01.XI 02.VI 03.I 03.VII

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1 20.00 15.00 10.00 5.00 0.00 -5.00 -10.00 -15.00 -20.00 -25.00 I II III IV V VI VII VIII IX X XI XII

30.0 20.0 10.096.I 96.VII 97.III 97.X 98.V 98.XII 99.VII 00.II 00.IX 01.IV 01.XI 02.VI 03.I 03.VII 04.III 04.X 05.V 05.XII 06.VII 07.II

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6. , , 1995-100 , . , 1995

1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006

14.7 21.6 27.3 34.5 39.5 51.3 56.0 60.5 71.4 85.9 96.9 124.0

100 144.6 174.2 184.7 203.1 219.6 237.1 241.2 252.5 280.2 306.8 325.1

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.

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1996 2007 2.5 . 2000 . - , ( 11). 4, 5- . ,

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42

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45

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9. (CPI) 1 (M1) (WAGE) A93 (A93) (USD) (TB) - (GAP) I(0) I(0) I(1) I(1) I(1) I(2) I(2)

49

1 , .5.3 ,

, , . .

10. Pairwise Granger Causality Tests Date: 12/09/07 Time: 17:01 Sample: 2000:01 2007:09 Lags: 2 Null Hypothesis: D(M1) does not Granger Cause CPI CPI does not Granger Cause D (M1) D(WAGE) does not Granger Cause CPI CPI does not Granger Cause D(WAGE) A93 does not Granger Cause CPI CPI does not Granger Cause A93 USD does not Granger Cause CPI CPI does not Granger Cause USD 91 91 90 Obs 90 F-Statistic 4.87708 2.58287 2.59244 2.09281 4.45518 6.82973 5.34761 1.65060 Probability 0.00988 0.08148 0.08075 0.12965 0.01442 0.00177 0.00647 0.19796

. 1 , . , - , . 4 - - .

50

5.4

- . . , . 1 . 1 10 - 0.5 ( 11).

11. CPI(-1) CPI(-2) D(M1(-1)) D(WAGE) A93 USD(-3) GAP GAP(-2) TB MA(2) - -82.39 1.02 -0.33 0.05 2.14 0.13 0.13 -0.44 0.45 -0.03 0.72 0.99 1.87 1038.8 t -3.10 11.50 -3.85 2.69 3.17 3.08 4.94 -2.11 2.24 -1.99 9.4

1000 2.14 . 93 10 10 3 - 1.3 .

51

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52

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53

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56

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67

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69

3. Dependent Variable: CPI Method: Least Squares Date: 04/03/08 Time: 06:57 Sample(adjusted): 1996:02 2007:09 Included observations: 140 after adjusting endpoints Convergence achieved after 14 iterations Backcast: 1996:01 Variable C @TREND+1 @SEAS(2) @SEAS(3) @SEAS(4) @SEAS(5) @SEAS(6) @SEAS(7) @SEAS(9) @SEAS(10) @SEAS(11) @SEAS(12) AR(1) MA(1) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Inverted AR Roots Inverted MA Roots Coefficient 133.9965 1.480246 3.019570 3.606701 8.727254 11.78779 10.23672 6.905938 -2.732599 -3.852345 -3.353458 -1.932331 0.928800 0.279402 0.996400 0.996029 3.821890 1840.463 -378.9805 1.873581 .93 -.28 Std. Error 13.64225 0.143515 1.088520 1.568658 1.758868 1.758103 1.566371 1.084266 1.050690 1.449410 1.464448 1.082113 0.036016 0.089511 t-Statistic 9.822169 10.31422 2.774013 2.299228 4.961858 6.704837 6.535308 6.369230 -2.600767 -2.657871 -2.289913 -1.785702 25.78872 3.121433 Prob. 0.0000 0.0000 0.0064 0.0231 0.0000 0.0000 0.0000 0.0000 0.0104 0.0089 0.0237 0.0766 0.0000 0.0022 237.2486 60.64695 5.614007 5.908171 2682.666 0.000000

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

70

4. - Dependent Variable: GDP Method: Least Squares Date: 11/26/07 Time: 11:20 Sample: 1989 2006 Included observations: 18 Variable C @TREND+1 (@TREND+1)^2 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient 1073.132 -59.03010 4.410513 0.946294 0.939133 43.42181 28281.80 -91.77731 0.606335 Std. Error 34.46231 8.351274 0.427102 t-Statistic 31.13929 -7.068394 10.32660 Prob. 0.0000 0.0000 0.0000 1029.111 176.0017 10.53081 10.67921 132.1487 0.000000


71

5. - Null Hypothesis: CPI has a unit root Exogenous: Constant, Linear Trend Lag Length: 3 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level* MacKinnon (1996) one-sided p-values.

Prob.* 0.4392

-2.281583 -4.064453 -3.461094 -3.156776

Augmented Dickey-Fuller Test Equation Dependent Variable: D(CPI) Method: Least Squares Date: 12/09/07 Time: 14:26 Sample(adjusted): 2000:05 2007:09 Included observations: 89 after adjusting endpoints Variable CPI(-1) D(CPI(-1)) D(CPI(-2)) D(CPI(-3)) C @TREND(2000:01) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -0.090067 0.454381 0.230961 -0.287012 17.87437 0.156224 0.385226 0.348191 4.038715 1353.831 -247.4171 2.154582 Std. Error 0.039476 0.094322 0.105566 0.103484 8.007402 0.058371 t-Statistic -2.281583 4.817311 2.187824 -2.773495 2.232231 2.676403 Prob. 0.0251 0.0000 0.0315 0.0068 0.0283 0.0090 1.510112 5.002455 5.694766 5.862539 10.40179 0.000000


72

Null Hypothesis: D(CPI) has a unit root Exogenous: Constant Lag Length: 2 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level*MacKinnon (1996) one-sided p-values.

Prob.* 0.0000

-6.278819 -3.505595 -2.894332 -2.584325

Augmented Dickey-Fuller Test Equation Dependent Variable: D(CPI,2) Method: Least Squares Date: 12/09/07 Time: 14:31 Sample(adjusted): 2000:05 2007:09 Included observations: 89 after adjusting endpoints Variable D(CPI(-1)) D(CPI(-1),2) D(CPI(-2),2) C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -0.723468 0.176968 0.370540 1.061262 0.390590 0.369082 4.181444 1486.181 -251.5676 2.162193 Std. Error 0.115224 0.113934 0.099150 0.477735 t-Statistic -6.278819 1.553253 3.737160 2.221447 Prob. 0.0000 0.1241 0.0003 0.0290 -0.089888 5.264289 5.743093 5.854942 18.15973 0.000000


73

6. 1 Null Hypothesis: M1 has a unit root Exogenous: Constant Lag Length: 6 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level*MacKinnon (1996) one-sided p-values.

Prob.* 1.0000

2.939732 -3.508326 -2.895512 -2.584952

Augmented Dickey-Fuller Test Equation Dependent Variable: D(M1) Method: Least Squares Date: 12/09/07 Time: 14:35 Sample(adjusted): 2000:08 2007:09 Included observations: 86 after adjusting endpoints Variable M1(-1) D(M1(-1)) D(M1(-2)) D(M1(-3)) D(M1(-4)) D(M1(-5)) D(M1(-6)) C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient 0.067888 0.092394 -0.041449 -0.139223 0.015135 -0.212567 -0.486307 -8.579322 0.311301 0.249495 12.92175 13023.79 -337.8967 2.173250 Std. Error 0.023093 0.115271 0.117009 0.120481 0.119568 0.117616 0.120370 4.778158 t-Statistic 2.939732 0.801536 -0.354237 -1.155561 0.126579 -1.807297 -4.040089 -1.795529 Prob. 0.0043 0.4253 0.7241 0.2514 0.8996 0.0746 0.0001 0.0764 4.382558 14.91573 8.044109 8.272421 5.036726 0.000096


74

Null Hypothesis: D(M1) has a unit root Exogenous: None Lag Length: 11 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level 1.871304 -2.594189 -1.944915 -1.614114 Prob.* 0.9848

Augmented Dickey-Fuller Test Equation Dependent Variable: D(M1,2) Method: Least Squares Date: 12/09/07 Time: 14:36 Sample(adjusted): 2001:02 2007:09 Included observations: 80 after adjusting endpoints Variable D(M1(-1)) D(M1(-1),2) D(M1(-2),2) D(M1(-3),2) D(M1(-4),2) D(M1(-5),2) D(M1(-6),2) D(M1(-7),2) D(M1(-8),2) D(M1(-9),2) D(M1(-10),2) D(M1(-11),2) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Coefficient 0.553480 -1.436311 -1.356627 -1.345459 -1.248826 -1.190232 -1.362420 -1.305333 -1.166916 -1.100507 -0.942750 -0.749507 0.666285 0.612302 11.08597 8357.113 -299.4687 Std. Error 0.295772 0.311638 0.300651 0.292740 0.285904 0.262282 0.236955 0.217297 0.206271 0.183043 0.157983 0.119083 t-Statistic 1.871304 -4.608905 -4.512302 -4.596083 -4.367986 -4.537983 -5.749707 -6.007141 -5.657196 -6.012283 -5.967399 -6.293988 Prob. 0.0656 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 -0.070000 17.80438 7.786719 8.144023 2.036084

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat

75

Null Hypothesis: D(M1,2) has a unit root Exogenous: None Lag Length: 10 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level*MacKinnon (1996) one-sided p-values.

Prob.* 0.0000

-9.943076 -2.594189 -1.944915 -1.614114

Augmented Dickey-Fuller Test Equation Dependent Variable: D(M1,3) Method: Least Squares Date: 12/09/07 Time: 14:38 Sample(adjusted): 2001:02 2007:09 Included observations: 80 after adjusting endpoints Variable D(M1(-1),2) D(M1(-1),3) D(M1(-2),3) D(M1(-3),3) D(M1(-4),3) D(M1(-5),3) D(M1(-6),3) D(M1(-7),3) D(M1(-8),3) D(M1(-9),3) D(M1(-10),3) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Coefficient -10.34883 8.467316 7.628497 6.777402 6.001736 5.243582 4.265591 3.276835 2.369987 1.469100 0.670079 0.864044 0.844340 11.28516 8787.477 -301.4773 Std. Error 1.040808 0.986248 0.905182 0.813369 0.713646 0.629405 0.555570 0.463256 0.347378 0.228577 0.113261 t-Statistic -9.943076 8.585380 8.427586 8.332503 8.409968 8.331008 7.677862 7.073480 6.822494 6.427153 5.916251 Prob. 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 -0.417500 28.60348 7.811933 8.139462 1.927703


76

7. Null Hypothesis: WAGE has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values. 2.739714 -3.503879 -2.893589 -2.583931 Prob.* 1.0000

Augmented Dickey-Fuller Test Equation Dependent Variable: D(WAGE) Method: Least Squares Date: 12/09/07 Time: 14:41 Sample(adjusted): 2000:03 2007:09 Included observations: 91 after adjusting endpoints Variable WAGE(-1) D(WAGE(-1)) C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient 0.006868 0.872521 -0.324304 0.938456 0.937057 0.344150 10.42263 -30.53037 2.009132 Std. Error 0.002507 0.057185 0.140485 t-Statistic 2.739714 15.25776 -2.308468 Prob. 0.0074 0.0000 0.0233 1.417582 1.371746 0.736931 0.819707 670.9328 0.000000


Null Hypothesis: D(WAGE) has a unit root Exogenous: None Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level*MacKinnon (1996) one-sided p-values.

Prob.* 0.9324

1.131541 -2.590622 -1.944404 -1.614417

77

Augmented Dickey-Fuller Test Equation Dependent Variable: D(WAGE,2) Method: Least Squares Date: 12/09/07 Time: 14:43 Sample(adjusted): 2000:03 2007:09 Included observations: 91 after adjusting endpoints Variable D(WAGE(-1)) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Coefficient 0.022258 -0.002848 -0.002848 0.355253 11.35841 -34.44241 Std. Error 0.019670 t-Statistic 1.131541 Prob. 0.2608 0.046154 0.354748 0.778954 0.806546 2.127184


Null Hypothesis: D(WAGE,2) has a unit root Exogenous: None Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level*MacKinnon (1996) one-sided p-values.

Prob.* 0.0000

-9.678954 -2.590910 -1.944445 -1.614392

Augmented Dickey-Fuller Test Equation Dependent Variable: D(WAGE,3) Method: Least Squares Date: 12/09/07 Time: 14:43 Sample(adjusted): 2000:04 2007:09 Included observations: 90 after adjusting endpoints Variable D(WAGE(-1),2) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Coefficient -1.026064 0.512813 0.512813 0.359653 11.51218 -35.16629 Std. Error 0.106010 t-Statistic -9.678954 Prob. 0.0000 0.001111 0.515271 0.803695 0.831471 1.998251


78

8. 93 Null Hypothesis: A93 has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level*MacKinnon (1996) one-sided p-values.

Prob.* 0.6154

-1.959088 -4.060874 -3.459397 -3.155786

Augmented Dickey-Fuller Test Equation Dependent Variable: D(A93) Method: Least Squares Date: 12/09/07 Time: 14:46 Sample(adjusted): 2000:02 2007:09 Included observations: 92 after adjusting endpoints Variable A93(-1) C @TREND(2000:01) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -0.064261 3.757425 0.155343 0.074161 0.053356 6.310840 3544.577 -298.5061 1.537092 Std. Error 0.032802 2.559770 0.061557 t-Statistic -1.959088 1.467876 2.523548 Prob. 0.0532 0.1457 0.0134 1.558696 6.486252 6.554480 6.636712 3.564519 0.032421


79

Null Hypothesis: D(A93) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level*MacKinnon (1996) one-sided p-values.

Prob.* 0.0000

-7.213864 -3.503879 -2.893589 -2.583931

Augmented Dickey-Fuller Test Equation Dependent Variable: D(A93,2) Method: Least Squares Date: 12/09/07 Time: 14:47 Sample(adjusted): 2000:03 2007:09 Included observations: 91 after adjusting endpoints Variable D(A93(-1)) C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -0.785293 1.320389 0.368973 0.361882 6.401497 3647.146 -297.0567 1.942055 Std. Error 0.108859 0.686924 t-Statistic -7.213864 1.922176 Prob. 0.0000 0.0578 0.261538 8.013666 6.572674 6.627858 52.03984 0.000000


80

9. Null Hypothesis: USD has a unit root Exogenous: None Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level*MacKinnon (1996) one-sided p-values.

Prob.* 0.9134

0.985797 -2.590340 -1.944364 -1.614441

Augmented Dickey-Fuller Test Equation Dependent Variable: D(USD) Method: Least Squares Date: 12/09/07 Time: 14:58 Sample(adjusted): 2000:02 2007:09 Included observations: 92 after adjusting endpoints Variable USD(-1) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Coefficient 0.000872 -0.001118 -0.001118 9.730589 8616.276 -339.3649 Std. Error 0.000885 t-Statistic 0.985797 Prob. 0.3268 1.051087 9.725151 7.399236 7.426647 1.724405


Null Hypothesis: D(USD) has a unit root Exogenous: None Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level*MacKinnon (1996) one-sided p-values.

Prob.* 0.0000

-8.200429 -2.590622 -1.944404 -1.614417

81

Augmented Dickey-Fuller Test Equation Dependent Variable: D(USD,2) Method: Least Squares Date: 12/09/07 Time: 14:59 Sample(adjusted): 2000:03 2007:09 Included observations: 91 after adjusting endpoints Variable D(USD(-1)) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Coefficient -0.854266 0.427624 0.427624 9.716247 8496.492 -335.5364 Std. Error 0.104173 t-Statistic -8.200429 Prob. 0.0000 -0.090110 12.84274 7.396404 7.423996 1.937678


82

10. Null Hypothesis: TB has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level*MacKinnon (1996) one-sided p-values.

Prob.* 0.0000

-7.544158 -3.503879 -2.893589 -2.583931

Augmented Dickey-Fuller Test Equation Dependent Variable: D(TB) Method: Least Squares Date: 12/09/07 Time: 15:02 Sample(adjusted): 2000:02 2007:08 Included observations: 91 after adjusting endpoints Variable TB(-1) C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -0.786234 -8.770269 0.390053 0.383200 19.93298 35361.80 -400.4184 2.065687 Std. Error 0.104218 2.370912 t-Statistic -7.544158 -3.699111 Prob. 0.0000 0.0004 -0.318681 25.38048 8.844361 8.899545 56.91432 0.000000


83

11. - Null Hypothesis: GAP has a unit root Exogenous: None Lag Length: 1 (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level*MacKinnon (1996) one-sided p-values.

Prob.* 0.0195

-2.338911 -2.590622 -1.944404 -1.614417

Augmented Dickey-Fuller Test Equation Dependent Variable: D(GAP) Method: Least Squares Date: 12/09/07 Time: 15:05 Sample(adjusted): 2000:03 2007:09 Included observations: 91 after adjusting endpoints Variable Coefficient Std. Error t-Statistic GAP(-1) -0.006451 0.002758 -2.338911 D(GAP(-1)) 0.932062 0.031967 29.15724 R-squared 0.907488 Mean dependent var Adjusted R-squared 0.906449 S.D. dependent var S.E. of regression 0.666240 Akaike info criterion Sum squared resid 39.50492 Schwarz criterion Log likelihood -91.15665 Durbin-Watson stat

Prob. 0.0216 0.0000 -0.383516 2.178239 2.047399 2.102583 2.070218

84

12. Dependent Variable: CPI Method: Least Squares Date: 12/03/07 Time: 22:05 Sample(adjusted): 2000:04 2007:08 Included observations: 89 after adjusting endpoints Convergence achieved after 12 iterations Backcast: 2000:02 2000:03 Variable C CPI(-1) CPI(-2) D(M1(-1)) D(WAGE) A93 USD(-3) GAP GAP(-2) TB MA(2) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -82.38994 1.021851 -0.331077 0.054908 2.144941 0.125402 0.126448 -0.443440 0.448984 -0.030434 0.718780 0.992547 0.991592 3.616780 1020.326 -234.8318 1.866956 Std. Error 26.61270 0.088854 0.085943 0.020442 0.675600 0.040732 0.025601 0.210034 0.200123 0.015246 0.076374 t-Statistic -3.095888 11.50030 -3.852296 2.686081 3.174868 3.078724 4.939207 -2.111275 2.243547 -1.996156 9.411355 Prob. 0.0027 0.0000 0.0002 0.0088 0.0021 0.0029 0.0000 0.0380 0.0277 0.0494 0.0000 271.9820 39.44302 5.524309 5.831893 1038.795 0.000000


85

Date: 12/09/07 Time: 17:18 Sample: 2000:04 2007:08 Included observations: 89 Q-statistic probabilities adjusted for 1 ARMA term(s) Autocorrelation . |. | .*|. | . |. | . |. | .*|. | . |. | .*|. | **|. | .*|. | . |*. | Partial Correlation . |. | .*|. | . |. | . |. | .*|. | . |. | .*|. | **|. | .*|. | . |. | 1 2 3 4 5 6 7 8 9 10 AC 0.032 -0.131 -0.030 -0.036 -0.122 -0.038 -0.074 -0.217 -0.067 0.087 PAC 0.032 -0.133 -0.021 -0.053 -0.129 -0.045 -0.113 -0.249 -0.122 -0.025 Q-Stat 0.0970 1.7067 1.7909 1.9138 3.3479 3.4893 4.0237 8.7248 9.1741 9.9487 0.191 0.408 0.590 0.501 0.625 0.673 0.273 0.328 0.355 Prob

86

,

1.

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