59

CHAPTER 4

ANALYSIS OF THE IMPACT OF MACROECONOMIC FACTORS ON

INFLATION IN BRICS COUNTRIES

The objective of this chapter is to develop an econometric model to analyse the impact of

determinants of inflation in BRICS Countries. This chapter is divided into five sections. Section

one discusses the basic descriptives of the identified variables considered in the research.

Section two specifies the econometric model before estimation, verification and prediction and

the third section is about confirmation of stationarity of the time series data used in research

work. The fourth section is concerned with lag order selection and causal relationship among

inflation and the identified determinants of inflation via Granger Causality Test in Multivariate

VAR Framework. Then in Section five Impulse Response Function and Variance

Decomposition techniques have been used. The data analysis is done using STATA 12.0 and E-

Views 7.0 software.

Initially, thorough review of the determinants of inflation available in literature (table 4.0), the

researcher identified ten major determinant variables. These are Gross Domestic Product

(GDP), Nominal Effective Exchange Rate (NEER), Deposit Rate (DR), Prime Lending Rate

(PLR), Broad Money (BR), Exports (EXPO), Imports (IMPO), Gross Fixed Capital Formation

(GFCF), Gross Consumption Expenditure (GCEX) and Crude Oil Prices (COP). Consumer

Price Index (CPI) is the determining (dependent) variable.

The data collected for these variables are expressed in US$ or percent change terms unless

otherwise stated. The data frequency is quarterly for the period from 2002Q1 to 2015Q4 (total

56 observations). The rational for using quarterly data instead of annual was not only to capture

the inflation dynamics but also to ensure reasonable number of observations for time-series

econometric modelling. The data on identified variables have been taken from IMF-IFS

database and the central websites of BRICS member nations. The brief description of selected

variables is presented in appendix: 1.

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4.1 SUMMARY STATISTICS OF BRICS COUNTRIES

The construction of an econometric model involves the specification of the relationships that

constitute it, the specification of the variables that participate in each relationship, and the

mathematical function representing each relationship. (Christopher Dougherty 2001).

Accordingly, the basic descriptive statistics (e.g. Mean, Maximum, Minimum, Standard

deviation, Skewness, Kurtosis and JB value) of selected variables are calculated (table 4.1) and

used in the research work for modelling inflation volatility.

4.1.1 BRAZIL

Descriptive statistics in case of Brazil shows that over the period from 2002 Q1 -2015 Q4, CPI

fluctuated between 2.996 to 16.854. The value of standard deviation is very high which

indicates very high dispersion in data. The values of Skewness (a measure of normality of

distribution) in case of GDP, NEER, PLR, BR, EXPO, IMPO, GFCF, GCEX and COP is

negative, while in case of other variables under consideration, it is positive. It indicates that

distribution of none of the variables is normal. The results show that the value of Kurtosis (a

measure of peakedness of curve) in case of CPI is more than 3,which means that the distribution

curve of CPI is peaked and leptokurtic. In case of remaining variables, it is less than 3, which

indicates that the curve is flat i.e. Platykurtic. The results of Jarque Bera (JB) test (a test of

normality of distribution) show that in case of CPI the value is less than 0.05, which means its

distribution is non-normal. In case of other variables (GDP, NEER, DR, PLR, BR, EXPO,

IMPO, GFCF, GCEX and COP) it is more than 0.05, hence normally distributed.

4.1.2 RUSSIA

CPI of Russia fluctuated between 3.834 to 17.813 percent during 2002 Q1 -2015 Q4. Very high

value of standard deviation of BR indicates very high dispersion in data. The values of

skewness shows that variables’ distribution in case of GDP, NEER, EXPO, IMPO, GFCF,

GCEX and COP is negatively skewed, while in case of other variables the distribution is

positively skewed. The values of kurtosis indicate that GDP, NEER and DR have value more

than 3, so, peaked and leptokurtic. In case of remaining variables the value of kurtosis is less
 61

than 3, so, flat or Platykurtic. The JB value shows that GDP, NEER and EXPO have the non-

normal distribution while others have the normal distribution.

4.1.3 INDIA

In India, the fluctuations in CPI observed during 2002 Q1 -2015 Q4 ranged between 2.695 to

18.100. High value of standard deviation in case of BR indicates high dispersion in data. The

negative values of skewness in case of GDP, NEER, DR, PLR, EXPO, IMPO, GFCF, GCEX

and COP shows that the distribution of these variables is negatively skewed; while in case of

other variables it is positively skewed. Kurtosis (more than 3) in case of CPI and PLR indicate

their distribution curve is peaked and leptokurtic, while in case of others it is flat or platykurtic.

JB value shows that CPI, NEER, DR and IMPO have the non normal distribution, while GDP,

PLR, BR, EXPO, GFCF, GCEX and COP have the normal distribution.

4.1.4 CHINA MAINLAND

CPI of Russia fluctuated between -1.499 to 8.034 percent during 2002 Q1 - 2015 Q4. Very high

value of standard deviation in case of GDP indicates very high dispersion in data. The values of

skewness shows that variables’ distribution in case of GDP, EXPO, IMPO, GFCF, GCEX and

COP is negatively skewed, while in case of other variables the distribution is positively skewed.

The values of kurtosis indicate that CPI, GDP, PLR and BR have value more than 3, so, peaked

and leptokurtic. In case of others the distribution is flat or Platykurtic. The JB value shows that

GDP and BR have the non-normal distribution while others have the normal distribution.

4.1.5 SOUTH AFRICA

Descriptive statistics of South Africa show that CPI during 2002 Q1 -2015 Q4 fluctuated

between 0.437 and 13.429. High standard deviation of BR indicates high dispersion in data. The

negative values of skewness in case of GDP, EXPO, IMPO, GFCF, GCEX and COP shows that

the distribution of these variables is negatively skewed; while in case of other variables it is

positively skewed. Kurtosis (more than 3) in case of CPI, GDP and IMPO indicate their

distribution curve is peaked and leptokurtic, while in case of others it is flat or platykurtic. JB

value shows that CPI, GDP, NEER, PLR, BR, GFCF, GCEX and COP are normally distributed,

while DR, EXPO and IMPO have the non-normal distribution.

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4.2 MODEL SPECIFICATION

For developing econometric models, econometricians have proposed 3 phases i.e. specification,

then estimation and hypothesis testing and lastly the forecasting or prediction of the model. It is

necessary to specify the econometric model before going for further analysis. Accordingly, the

model specified for the present study is:

CPI t =¿β + β GDP + β NEER + β

0 1 t 2 t 3 DRt + β 4 PLRt + β 5 BR t + β6 EXPOt +β 7 IMPOt +β 8 GFCFt +β 9GCEX t +β 10COP t +ε t ¿

Where, CPI represents Consumer Price Index (the dependent variable); the independent viz.,

Gross Domestic Product is represented by GDP, Nominal Effective Exchange Rate by NEER,

Deposit Rate by DR, Prime Lending Rate PLR and Broad Money by BR. EXPO and IMPO are

Exports and Imports, GFCF is Gross Fixed Capital Formation, GCEX as Gross Consumption

Expenditure, COP represents the Crude Oil Prices and ε t is the error term. All the variables

(except GDP, CPI and BR) are expressed in log form.

4.3 MULTIVARAITE - VAR LAG ORDER SELECTION CRITERIAN

The researcher in the present study has used AIC (Akaike’s Information Criteria) information

criterions for selecting proper VAR lag order for the BRICS countries. The results in case of all

countries (table 4.2) suggest to choose a model with 3 lags for VAR estimation. Thus,

researcher selected the Lag order of three for further analysis.

4.4 UNIT ROOT TESTING

Unit root test describes whether the time series data is stationary or non stationary. For the test

of unit root the present study employees the Augmented Dickey Fuller (ADF) test. ADF test is

used to measure the stationarity of time series data which in turn tells whether regression can be

done on the data or not. The test output along with their relevant critical values and the number

of lags is presented in table 4.3. The results show that in the case of Brazil all the variables

except BR have a unit root at their levels in the presence of structural breaks, thus indicating

that their own levels are non-stationary. CPI, GDP, NEER, DR, PLR, IMPO, GFCF, GCEX and

COP are stationary at first difference, while EXPO becomes stationary after differencing the
 63

series twice.The result in case of Russia shows that all variables except GDP and BR have a unit

root in their levels in the presence of structural breaks, indicating that their own levels are non-

stationary. Two variables, viz., GDP and BR have no unit root at their own level. The first

differenced series of CPI, NEER, DR, PLR and COP clearly reject unit root suggesting that

these are stationary at first difference. EXPO, IMPO, GFCF and GCEX become stationary after

differencing the series twice.

In case of India, all the variables are stationary after differencing once. However, the results in

case of China Mainland show that all variables except CPI and GDP have a unit root at their

level, thus, indicate that these variables are non-stationary at their own levels. The first

differenced series of NEER, DR, PLR, BR, IMPO and COP however, clearly rejects unit roots

suggesting that the first differenced variables are all stationary. EXPO, GFCF and GCEX

become stationary after differencing the series twice. The results show that in the case of South

Africa all variables except GDP have a unit root in their own levels in the presence of structural

breaks, thus indicating that their own levels are non-stationary. CPI, NEER, DR, PLR, EXPO,

IMPO, GFCF and COP clearly reject unit roots and are stationary after differencing once. The

variable GCEX become stationary after differencing the series twice.

4.5 VECTOR AUTO REGRESSION (VAR) AND GRANGER CAUSALITY IN

MULTIVARAITEVARAITE FRAMEWORK

VAR fits a multivariate time series regression of each dependent variable on lags of itself and

on lags of all the other dependent variables. To know the causal relationship between inflation

and identified macro-economic determinants, the researcher has exercised Granger Causality

test (proposed by Clive W Granger, 1969) in multivariate VAR Framework. The basic concept

of Granger Causality test is described in appendices. The results of multivariate VAR

framework and the Granger Causality for all the selected variables are presented in table 4.4 and

4.5.

4.5.1 BRAZIL

The results of VAR framework for DCPI, DGDP, DNEER, DDR, DPLR, BR, DDEXPO,

DIMPO, DGFCF, DGCEX and DCOP in case of Brazil indicate that DPLR, BR and DIMPO
64

have significant influence on inflation (DCPI). The result also indicates that the rate of change of

inflation at various lags is explained by its past values also. The inflation on the contrary at

various lags selected has the significant influence on DDR, DDEXPO and DCOP. The results of

Granger causality show feedback (Bidirectional Causality) between the variables BR and DCPI,

DIMPO and DDEXPO,DGCEX and DDEXPO, and DGCEX and DIMPO. The unidirectional

causality is found among the variablesDPLR and DCPI, DDR and DCPI, DCPI and DGCEX,

DPLR and DGDP, DDR and DGDP, DGFCF and DGDP, DGDP and DGCEX, DPLR and

DNEER, DNEER and DIMPO, DNEER and DGFCF, DDR and DPLR, DPLR and DIMPO,

DPLR and DGFCF, DDR and DDEXPO, DDR and DIMPO, DDR and DGFCF, BR and

DGFCF, BR and DGCEX, DDEXPO and DGFCF, DCOP and DDEXPO, DGFCF and DIMPO,

DCOP and DIMPO, DGCEX and DGFCF, and DCOP and DGCEX.The multivariate regression

equations of selected variables are as follows.

DCPI =1.858+0.530 D CPIt-1−0.245 DCPIt-2 −0.160 DCPI t-3 +0.072 D GDPt-1 −0.036 DGDP t-2 −0.088 DGDP t

DGDP=−0.054 +0.218 D CPIt-1−0.376 DCPI t-2 +0.193 DCPI t-3 −0.095 D GDP t-1 −0.105 DGDP t-2 + 0.334 DGD
DNEER=−0.009+0.007 D CPIt-1−0.005 DCPI t-2−0.002 DCPI t-3 −0.012 D GDP t-1+0.010 DGDP t-2 +0.011DGD

DPLR=0.175−0.006 D CPI t-1−0.009 DCPI t-2−0.003 DCPI t-3 −0.002 D GDP t-1−0.003 DGDP t-2−0.012 DGDP

DDR=0.222+0.009 DCPI t-1−0.018 DCPI t-2−0.007 DCPIt-3 −0.004 D GDPt-1−0.003 DGDPt-2−0.016 DGDPt-

BR=7.004−0.335 D CPIt-1 +0.214 DCPI t-2−0.006 DCPI t-3−0.027 D GDPt-1−0.166 DGDP t-2+0.160 DGDP t-3+

DDEXPO=0.121−0.007 D CPIt-1−0.016 DCPI t-2+0.036 DCPI t-3−0.003 D GDPt-1 +0.014 DGDPt-2 +0.010 DGD

DIMPO=0.100+ 0.008 D CPI t-1−0.001 DCPI t-2+0.010 DCPI t-3 −0.005 D GDPt-1+ 0.010 DGDP t-2+ 0.0008 DGD

DGFCF=0.075−0.010 D CPIt-1−0.0004 DCPI t-2+ 0.008 DCPI t-3−0.008 D GDPt-1−0.002DGDPt-2−0.002DG

DGCEX =0.109−0.007 DCPI t-1+ 0.009 DCPI t-2−0.009 DCPI t-3−0.001 D GDPt-1 +0.002 DGDPt-2+ 0.004 DGD

DCOP=0.100+ 0.032 D CPIt-1−0.064 DCPI t-2+ 0.028 DCPI t-3−0.005 D GDPt-1−0.0005 DGDPt-2+0.026 DGDP

4.5.2 RUSSIA

In case of Russia, the results of multivariate VAR framework indicate that DNEER, DPLR,

DDIMPO, DDGFCF and DDGCEX have significant influence on DCPI. The results also

indicate that the rate of change of inflation at various lags is explained by its past values also.
 65

The inflation too at various lags has significant influence on DPLR, DDR, DDIMPO and DCOP.

The result of granger causality shows feedback (Bidirectional Causality) between DDIMPO and

DDEXPO, and DCOP and DDGCEX. The unidirectional causality was found among the

variables DCPI and DCOP, DPLR and GDP, BR and GDP, DDEXPO and GDP, GDP and

DDIMPO, GDP and DDGCEX, DCOP and GDP, DCOP and DNEER, DPLR and DDR, DPLR

and DDIMPO, DDGCEX and DPLR, BR and DDR, DDR and DDIMPO, DDGFCF and DDR,

DDGFCF and DDEXPO, DCOP and DDEXPO, DDGFCF and DDIMPO, and DCOP and

DDIMPO. The multivariate regression equations of DCPI, GDP, DNEER, DDR, DPLR, BR,

DDEXPO, DDIMPO, DDGFCF, DDGCEX and DCOP selected variables are as follows.

DCPI =0.238+0.448 DCPI t-1+0.317 DCPIt-2−0.525 DCPI t-3 +0.016 GDP t-1 +0.074 GDPt-2−0.021 GDPt-3
GDP=−0.280+0.018 DCPI t-1−0.175 DCPI t-2−0.077 DCPI t-3 +0.842 GDPt-1−0.167 GDPt-2+ 0.109 GDPt

DNEER=0.003−0.0002 DCPI t-1−0.007 DCPI t-2 +0.007 DCPI t-3 −0.004 GDP t-1+0.005 GDP t-2+0.004 GD

DPLR=0.041−0.0133 DCPI t-1 +0.017 DCPI t-2−0.001DCPI t-3 +0.006 GDPt-1 +0.007 GDP t-2−0.004 GDP

DDR=0.020−0.015 DCPI t-1+0.021 DCPI t-2−0.024 DCPI t-3 +0.016 GDP t-1−0.012 GDPt-2+ 0.007 GDPt-3−

BR=0.535+ 0.066 DCPI t-1+0.027 DCPI t-2−0.383 DCPI t-3 +0.844 GDPt-1−0.929 GDP t-2−0.078 GDPt-3−1

DDEXPO=−0.050+0.020 DCPI t-1−0.011 DCPI t-2+0.005 DCPI t-3 −0.003 GDPt-1−0.011 GDPt-2+ 0.001G

DDIMPO=−0.016+0.018 DCPI t-1−0.013 DCPI t-2−5.188 DCPI t-3 +1.849 GDPt-1 +0.002 GDPt-2−0.009 G

DNEER=0.003−0.001 DCPI t-1+ 0.019 DCPI t-2+ 0.014 DCPI t-3−0.014 GDPt-1 +0.017 GDPt-2−0.019GDP

DDGCEX=0.015−0.005 DCPI t-1 +0.001 DCPI t-2−0.005 DCPI t-3 +0.005 GDP t-1−0.003 GDPt-2 +0.005 GD

DCOP=−0.078+ 0.030 DCPI t-1−0.013 DCPI t-2+ 0.005 DCPI t-3 +0.012 GDPt-1−0.030GDP t-2+ 0.011 GDP

4.5.3 INDIA

The results of multivariate VAR framework in case of India indicate that DNEER and DDR

have significant influence on inflation (DCPI). It is important to mention here that past value of

inflation in India do not have significant influence on current inflation at various lags. The

inflation at various lags is found to have significant influence on DBR, DIMPO, DNEER,

DPLR, DEXPO and DGCEX. The results of granger causality show feedback (Bidirectional
66

Causality) between the variables DGFCF and DEXPO. The unidirectional causality is found

among DGDP and DBR, DGDP and DIMPO, DGFCF and DNEER, DDR and DPLR, DEXPO

and DIMPO, DCOP and DIMPO, and DGCEX and DGFCF. The multivariate regression

equations of selected variables are as follows.

DCPI =−0.0603−0.148 DCPI t-1 + 0.048 DCPI t-2 −0.009 DCPI t-3 + 0.027 DGDP t-1−0.100 DGDP t-2 −0.223 DGD

DGDP=0.492+0.054 DCPI t-1 −0.003 DCPI t-2 −0.001 DCPI t-3 −0.177 DGDP t-1 −0.133 DGDP t-2+ 0.081DGDP t-

DNEER=−0.025−0.001 DCPI t-1 +0.004 DCPI t-2 −0.002 DCPI t-3 + 0.002 DGDP t-1 +0.003 DGDP t-2 −0.001DGD

DPLR=−0.023−0.002 DCPI t-1−0.014 DCPI t-2−0.004 DCPI t-3 +0.005 DGDP t-1 +0.004 DGDP t-2 −0.004 DGDP

DDR=−0.042+0.004 DCPI t-1 +0.004 DCPI t-2 −0.002 DCPI t-3 −0.018 DGDP t-1 +0.016 DGDP t-2 −0.005 DGDP t-

DBR=−0.627+ 0.283 DCPI t-1 −0.014 DCPI t-2 +0.014 DCPI t-3 +0.004 DGDP t-1−0.106 DGDP t-2 +0.783 DGDP t-3

DEXPO=−0.023+ 0.006 DCPI t-1 −9.761 DCPI t-2 + 0.013 DCPI t-3 +0.006 DGDP t-1 +0.009 DGDP t-2 −0.006 DGD

DIMPO=−0.007+0.013 DCPI t-1 + 0.001 DCPIt-2 −0.002 DCPIt-3 +0.006 DGDP t-1 +0.012 DGDP t-2 −0.018 DGD

DGFCF=0.048+0.001 DCPI t-1 −0.001 DCPI t-2−0.001 DCPI t-3 +0.008 DGDP t-1 +0.008 DGDP t-2 +0.012 DGDP

DGCEX =0.097 – 0.007 DCPI t-1+0.010 DCPIt-2 +0.027 DCPI t-3 −0.020 DGDP t-1 −0.018 DGDP t-2 −0.029 DGDP

DCOP=−0.016 +0.017 DCPI t-1−0.013 DCPI t-2 +0.008 DCPI t-3 + 0.026 DGDP t-1 −0.012 DGDP t-2 −0.013 DGDP

4.5.4 CHINA MAINLAND

In case of China, DIMPO, DDGFCF and DCOP have significant influence on inflation (DCPI).

The result also indicates that the rate of change of inflation at various lags is explained by its

past values also. The inflation at various lags has significant influence on DPLR, DDR, DBR,

DDEXPO and DIMPO. Unidirectional causality is observed among CPI and DBR, CPI and

DIMPO, CPI and DDGCEX, DNEER and GDP, DNEER and DBR, DNEER and DDEXPO,

DNEER and DIMPO, DPLR and DBR, DPLR and DDEXPO, DPLR and DIMPO, DPLR and

DCOP, DDR and DBR, DDR and DIMPO, DDGFCF and DDEXPO, DCOP and DDEXPO,

DDGFCF and DIMPO, DCOP and DIMPO, and DDGFCF and DDGCEX. The results show

feedback (Bidirectional Causality) between DDR and DPLR, DIMPO and DDEXPO, DDGCEX
 67

and DDEXPO, DDGCEX and DIMPO.The multivariate regression equations of selected

variables are as follows.

CPI=0.724+0.859 CPI t-1 +0.133 CPI t-2 −0.341 CPIt-3 + 0.023GDP t-1 + 0.013GDP t-2 −0.001 GDPt-3 −0.542

GDP=2.215−0.115 CPIt-1−0.094 CPI t-2 −0.194 CPI t-3 +0.708 GDP t-1 +0.174 GDPt-2−0.225 GDP t-3+33.1

DNEER=0.006−0.002 CPIt-1 −0.0002CPI t-2 + 0.005CPI t-3 −0.002 GDP t-1 −0.0003 GDPt-2+ 0.0001GDP t-

DPLR=−0.003+0.004 CPIt-1−0.018 CPI t-2 +0.003 CPI t-3 +0.0001 GDPt-1 +0.003 GDPt-2 +0.002 GDPt-3 +0

DDR=−0.018+0.005 CPI t-1 −0.041CPI t-2 + 0.012CPI t-3 −0.001 GDP t-1 +0.008 GDP t-2 +0.005 GDP t-3 + 0.0

DBR=−0.708−0.883 CPIt-1 −0.373 CPI t-2 +1.096 CPI t-3 +0.144 GDPt-1 −0.092 GDPt-2 −0.025GDP t-3 + 3.4

DDEXPO=0.036+0.016 CPI t-1 −0.004 CPIt-2 −0.017 CPIt-3 + 0.001GDP t-1 −0.0002 GDPt-2 +0.002 GDPt-3

DIMPO=+0.048+ 0.012CPI t-1 −0.024 CPI t-2 −0.004 CPI t-3 +0.0001 GDPt-1 +0.002 GDPt-2 +0.001 GDPt-3 −

DDGFCF=0.013−0.004 CPI t-1−0.007 CPIt-2 +0.004 CPI t-3−0.002 GDPt-1 +0.003 GDPt-2 −0.002GDP t-3 +

DDGCEX=+ 0.007+0.00002 CPIt-1 −0.003 CPI t-2 +0.003 CPI t-3 −0.001 GDPt-1 +0.001 GDPt-2−0.002 GDP

D COP=−0.018−0.0 10 CPIt-1 −0.021 CPI t-2 +0.00 5 CPIt-3 +0.00 6 GDPt-1 +0.00 01 GDPt-2 +0.00 5 GDPt-

4.5.5 SOUTH AFRICA

In case of South Africa, the results of multivariate VAR framework indicate that GDP, DNEER,

DPLR, DDR, DEXPO, DIMPO and DCOP have significant influence on inflation (DCPI). The

results also indicate that the rate of change in inflation at various lags is not explained by its past

values. The inflation, however at various lags selected has the significant influence on DPLR,

DIMPO and on DCOP. The results of granger causality show feedback (Bidirectional Causality)

between the variables DGFCF and GDP, DDR and DPLR. The unidirectional causality is

observed among the variables DNEER and DCPI, DCPI and DPLR, DCPI and DDR, DPLR and

GDP, DDR and GDP, GDP and DEXPO, GDP and DDGCEX, DCOP and GDP, DDBR and

DNEER, DNEER and DIMPO, DNEER and DGFCF, DGFCF and DPLR, DCOP and DPLR,

DCOP and DDR, DEXPO and DGFCF, DCOP and DEXPO, DCOP and DIMPO, and DCOP

and DGFCF. The multivariate regression equations of selected variables are as follows.

DCPI =−0.538+ 0.156 D CPI t-1+ 0.026 DCPI t-2−0.120 DCPI t-3 +0.706 GDP t-1−0.335 GDPt-2−0.014 GDP
68

GDP=0.156−0.151 D CPIt-1 +0.089 DCPI t-2 +0.048 DCPI t-3 +1.272 GDPt-1−0.301GDP t-2−0.073 GDPt-3 −0.26

DNEER=−0.009−0.003 D CPIt-1 −0.002 DCPI t-2 +0.012 DCPI t-3 +0.039 GDP t-1 −0.060 GDPt-2 +0.015 GDPt-3 −

DPLR=−0.0180 .001 D CPI t-1 +0.015 DCPI t-2 +0.003 DCPI t-3 + 0.017 GDPt-1 −0.012 GDPt-2 −0.005 GDPt-3 −0.0

DDR=−0.031−0.007 D CPI t-1 +0.015 DCPI t-2 +0.004 DCPI t-3 +0.023 GDPt-1 −0.020GDP t-2 −0.0001 GDPt-3−0

DDBR=0.615+0.728 DCPI t-1 + 0.157 DCPI t-2 + 0.425 DCPI t-3 −0.374 GDP t-1 + 0.995 GDPt-2 −1.314 GDP t-3 +3.1

DEXPO=0.019−0.016 D CPIt-1−0.001 DCPI t-2 −0.016 DCPI t-3 +0.067 GDPt-1 −0.061GDP t-2 +0.001 GDP t-3 +0

DIMPO=0.000−0.022 DCPI t-1+ 0.003 DCPI t-2−0.004 DCPI t-3 + 0.039 GDPt-1−0.022 GDPt-2 +0.002 GDPt-3 +0.

DGFCF=0.008+0.002 D CPI t-1−0.004 DCPI t-2 −0.004 DCPI t-3 +0.010 GDP t-1 −0.008 GDPt-2 +0.005 GDPt-3 +0

DDGCEX=0.001+ 0.0007 D CPI t-1+ 0.003 DCPIt-2−0.003 DCPI t-3 −0.009 GDP t-1 −0.0001GDP t-2 + 0.007 GDPt

DCOP=−0.096 +0.014 D CPIt-1−0.037 DCPI t-2 −0.055 DCPI t-3 +0.127 GDP t-1 −0.145 GDPt-2 +0.097 GDP t-3 −0

4.6 VARAINCE DECOMPOSITION

Variance decomposition examines whether the proportion of variance in one series is due to its

own shock, the policy shock and other identified shocks. It shows how much of forecast error

variance of each variable can be explained by the exogenous shocks to the other variables

(Raboloko et.al. 2014). The researcher applied this technique to access the extent to which the

independent variables, viz., GDP, NEER, PLR, DR, BR, EXPO, IMPO, GFCF, GCEX and COP

have impact on inflation in BRICS countries.

The results of variance decomposition are presented in table 4.6.It shows that in case of Brazil,

the most influential factor contributing the fluctuations in inflation is its own shock. It accounts

about 94.18 percent of variation in Q2 and maintains this till Q10 of forecast horizon when it

accounts 76.70 percent of its own variance. The DGDP, DNEER, BR, DGCEX and DCOP are

the variables which have increasing influence on the fluctuation in inflation. The DDR

DDEXPO, DIMPO and DGFCF have the minimal influence on inflation variations. It is less

than 1.0 percent throughout the forecasted period. The influence of DPLR started decreasing

from fourth quarter and fades out during the forecast horizon when it becomes less than one

percent.
 69

The variance decomposition of DCPI in case of Russia shows that past inflation is the major

driver of fluctuations in inflation. It accounted for 87.14 percent of variation in inflation in Q1

to 53.93 percent up to Q10. GDP, DNEER, DPLR, DDR, DDEXPO and DDGCEX have strong

impact in variations in inflation. The variables having least impact over inflation variations

include BR, DDIMPO, DDGFCF and DCOP. The impact of COP over inflation during the

forecasted horizon goes on decreasing up to Q8 and then shows the slightly improved impact.

BR, DDIMPO, DDGFCF and DCOP growth shows less than two percent explanation for

variations of inflation for the forecasted period.

In case of India the variance decomposition results show that past values of inflation constitute

the principal driver of current inflation explaining 93.89 percent in Q2. DNEER is the next

dominant driver of inflation in long run explaining 7.82 percent contribution in Q10. Other

variables having strong influence in explaining the fluctuations in inflation in Q10 includes

DGDP, DNEER, DDR, DBR and, DIMPO. DGFCF, DPLR, DEXPO, DGCEX and DCOP

growth explain less than three percent of variations in inflation throughout the forecasted

period, thus they have minimal influence over variations in inflation. DEXPO is found to be

least impacting factor with a contribution of 1.79 percent.

The results of variance decomposition of inflation in China show that inflation itself and

DDGFCF are the leading drivers of inflation throughout the forecasted period. The inflation

initially contributed 92.59 percent, but afterwards by the end of Q10, the contribution gradually

declined to 41.67 percent. The DDGCEX is the least impacting factor with a contribution of

0.95 percent. The contribution of DNEER, DPLR and DDR to variations in inflation increased

over the forecasted horizon and thus are the principal factors contributing to inflation. GDP

DDEXPO, DIMPO and DDGCEX have the minimal influence over inflation variations in Q10.

In case of South Africa, the results of variance decomposition indicate that the most influential

factor contributing to the fluctuation in inflation is its own shock which accounts about 58.38

percent of variation in Q2 and continued till Q10 of forecast horizon when it accounted 76.70

percent of its own variance. The next prominent factor is DNEER, its contribution in initial

period was 22.33 percent, which increased up to Q4 afterwards get reduced and again start
70

rising and remained 22.22 percent in Q10. DCPI, GDP, DNEER, DDR, DIMPO and DGFCF

are the variables having increasing influence in the fluctuation of inflation. The DPLR, DDBR,

DEXPO, DDGCEX and DCOP have the minimal influence over inflation variations. The

DDGCEX is the only variable having less than 1.0 percent influence on fluctuations in inflation

throughout the forecasted period.

4.7 IMPULSE RESPONSE FUNCTION

The impulse response function (IRF) technique is used to uncover the dynamic relationship

between the identified macroeconomic variables within the VAR framework (Mitchell, 2000). It

measures the time profile of the effect of a shock/response on future value of variable. The

researcher has applied this technique to know, how the identified macro-economic variables

respond to any shock in the economy. The impulse responses are likely to converge toward zero

indicating that model has depicted stability over time.

The IRF graphs of inflation and its determining variables in case of Brazil (figure 4.0) indicate

that inflation has positive impact on itself from quarter one to three and half quarter then has the

negative impact up to seventh quarter, afterwards it shows positive impact. If we look at the

impact of responses in determining variables, DGDP (from quarter two and half to quarter five

& Q7-Q10), DNEER (from Q3 and half to Q7), DPLR (up to Q5 & Q8-Q10), DDR (up to Q2 &

Q4-Q6), BR (Q5-Q9), DDEXPO (Q2-Q6), DIMPO (up to Q5 & Q8-Q10), DGFCF (Q7-Q10),

DGCEX (Q7-Q10) and DCOP (up to quarter four and half & quarter eight and half to quarter

ten) have positive impact on inflation in varied time frames. As against this, negative impact on

inflation is observed against the shocks in DGDP (up to two and half quarter and then from Q5-

Q7), DNEER (up to Q3 and half & Q7-Q10), DPLR (Q5-Q8), DDR (Q2-Q4 & Q6-Q10), BR

(up to Q5 & Q9-Q10), DDEXPO (up to Q2 & Q6-Q10), DIMPO (Q5-Q8), DGFCF (up to Q7),

DGCEX (up to Q7) and DCOP (from quarter four and half to quarter eight and half) variables.

The IRF graphs of Russia (figure 4.1) show that inflation has positive impact on itself up to

quarter four then negative response up to quarter seven and half and then is positive afterwards

eight and half quarter the response is negative. The impact of responses in determining variables

show that GDP (quarter two to six and half quarter), DNEER (two and half quarter to three and
 71

half quarter & five and half quarter to ten quarter), DPLR (up to five quarter), DDR (four and

half quarter to eight quarter & nine and half quarter to ten quarter), BR (up to Q5, seven and

half quarter to ten quarter), DDEXPO (two and half quarter to eight quarter), DDIMPO (up to

three and half quarter & eight and half quarter to quarter ten), DDGFCF (quarter three to four

and half quarter, five and half quarter to eight and half quarter & nine and half quarter to quarter

ten), DDGCEX (up to Q5 & Q6-Q7) and DCOP (two and half quarter to four and half quarter,

six and half quarter to eight quarter & nine and half quarter to quarter ten) have positive impact

on inflation in varied time frames.

As against this, negative impact on inflation is observed against the shocks in GDP (up to Q2 &

six and half quarter to quarter ten), DNEER (up to two and half quarter, three and half quarter to

five and half quarter), DDR (up to four and half quarter, eight quarter to nine and half quarter),

BR (five quarter to seven and half quarter), DDEXPO (up to two and half quarter, Q8-Q10),

DDIMPO (three and half quarter to eight and half quarter), DDGFCF (up to Q3, four and half

quarter to five and half quarter & eight and half quarter to nine and half quarter), DDGCEX

(Q5-Q6 & Q7-Q10) and DCOP (up to two and half quarter, four and half quarter to six and half

quarter & eight quarter to nine and half quarter) variables.

In case of India, the IRF graphs (figure 4.2) show that inflation initially has positive impact on

itself up to Q2 and then is negative up to quarter two and half and is positive again and become

negative in Q4 and remained up to quarter five and half afterwards is positive again and is

slightly negative around Q8 and is positive again, after quarter ninth and half shows negative

response. If we look at the impact of shocks in determining variables, DGDP (five and half

quarter to six and half quarter & seven and half quarter to eight and half quarter), DNEER (up to

Q2 , quarter four to quarter six and half & Q8 –Q10), DPLR (up to Q3 & quarter five to quarter

seven and half), DDR (up to Q3 & quarter five to quarter eight and half), DBR (two and half

quarter to three and half quarter, four and half quarter to six quarter, six and half quarter to

seven and half quarter & quarter eight and half to quarter ten), DEXPO (three and half quarter

to six and half quarter, seven and half quarter to eight and half quarter), DIMPO (up to Q3, four

and half quarter to quarter six & quarter six and half to quarter eight ), DGFCF (four and half
72

quarter to six quarter & eight and half quarter to quarter ten ), DGCEX (up to two and half

quarter, three and half quarter to four and half quarter & eight quarter to nine and half quarter)

and DCOP (up to four quarter & Q8-Q10) have positive impact on inflation in varied time

frames.

As against this, negative impact on inflation is observed against the shocks in DGDP (up to five

and half quarter, six and half quarter to seven and half quarter & eight and half quarter to

quarter nine), DNEER (Q2-Q4 & quarter six and half to quarter eight), DPLR (Q3-Q5 & quarter

seven and half to quarter ten), DDR (Q3-Q5 & quarter eight and half to quarter ten), DBR (up to

two and half quarter, three and half quarter to four and half quarter, five and half quarter to six

and half quarter & seven and half quarter to eight and half quarter), DEXPO (up to three and

half quarter, six and half quarter to seven and half quarter & eight and half quarter to quarter

ten), DIMPO (quarter three to four and half quarter, quarter six to quarter six and half & quarter

eight to quarter ten), DGFCF (up to four and half quarter & six quarter to eight and half

quarter), DGCEX (two and half quarter to three and half quarter, four and half quarter to eight

quarter & nine and half quarter to ten quarter) and DCOP (Q4-Q8) variables.

Impulse response function (IRF) graphs of China Mainland (figure 4.3) indicate that inflation

has positive impact on itself up to Q5 then is negative for all quarters. The impact of responses

in determining variables, show that GDP (for all quarters), DNEER (Q2-Q10), DPLR (for all

quarters), DDR (up to Q6), DBR (Q8-Q10), DDEXPO (Q8-Q10), DIMPO (up to quarter three

and half & Q8-Q10), DDGFCF (up to Q3), DDGCEX (Q7-Q10) and DCOP (up to Q2 & Q8-

Q10) have positive impact on inflation in varied time frames. As against this, negative impact

on inflation is observed against the shocks in DNEER (up to Q2), DDR (Q6-Q10), DBR (up to

Q8), DDEXPO (up to Q8), DIMPO (quarter three and half to quarter eight), DDGFCF (Q3-

Q10), DDGCEX (up to Q7) and DCOP (Q2-Q8) variables.

In South Africa, the IRF graphs (figure 4.4) show that inflation has positive impact on itself up

to Q4 afterwards the response is negative for remaining quarters. . The impact of responses in

determining variables, show that GDP (for all quarters), DNEER (from quarter five and half to

quarter ten), DPLR (up to quarter four and half), DDR (quarter two and half to quarter eight),
 73

DDBR (quarter four to quarter seven and half & Q8-Q10), DEXPO (up to quarter nine and

half), DIMPO (quarter four and half to quarter eight), DGFCF (quarter seven and half to quarter

ten) and DCOP (up to Q3 & Q5-Q10) have positive impact on inflation in varied time frames.

As against this, negative impact on inflation is observed against the shocks in DNEER (up to

quarter five and half), DPLR (quarter four and half to quarter ten), DDR (up to quarter two and

half & Q8-Q10), DDBR (up to Q4 & quarter seven and half to quarter eight), DEXPO (quarter

nine and half to quarter ten), DIMPO (up to quarter four and half & Q8-Q10), DGFCF (up to

quarter seven and half), DDGCEX (for all quarters) and DCOP (Q3-Q5) variables.

4.8 CONCLUDING REMARKS

The analysis of the impact of identified macroeconomic variables on inflation in BRICS

countries by applying VAR technique (in case of stationary variables) with impulse response

function and variance decomposition method indicate that most prominent factors influencing

inflation in case of Brazil are DNEER, DGDP, DPLR, DGCEX, BR and DCOP, in case of

Russia are GDP, DNEER, DPLR, DDR, DDEXPO and DDGCEX, in case of India are DGDP,

DNEER, DDR, DBR and DIMPO, in case of China are DDGFCF, DNEER, DPLR and DDR

and in South Africa are DNEER, DCPI, GDP, DNEER, DDR, DIMPO and DGFCF.

ANNEXURE

Table 4.0: Determinants of Inflation

S. No. Variables Empirical Evidences
1. Consumer Price Salih (1993), Acute, Armstrong and Nxumalo (2001), Bogdon
Inflation Lissovolik (2003), Nina Leheyda (2005), Williams & Adedeji
(2007), Miyajima et.al. (2008),Dua and Gaur (2009), Andersson
et.al. (2009), Greenidge & DaCosta (2009), Anuradha Patnaik
(2010), Nguyen, Cavoli& Wilson (2012), Fariba
(2012),Jaumotte and Morsy (2012), Kabbashi (2012), Pingfeng
et.al. (2015).
2. Gross Domestic Liu and Adedeji (2000), Acute, Armstrong and Nxumalo (2001),
Product Williams & Adedeji (2007), Andersson et.al. (2009), Kandil&
Morsy (2009),Greenidge & DaCosta (2009), Fariba (2012),
Sahadudhhen (2012), Kabbashi (2012), Debesh Bhowmik
(2015), Pingfeng et.al. (2015).
3. Nominal Effective Cheng and Papi (1997), Liu and Adedeji (2000), Acute,
Exchange Rate Armstrong and Nxumalo (2001), Nina leheyda (2005), Williams
& Adedeji (2007), Jan, Kalonji and Miyajima (2008),Dua and
Gaur (2009), Andersson et.al. (2009), Jaumotte and Morsy
(2012), Kabbashi (2012), Osama (2014), Debesh Bhowmik
(2015), Pingfeng et.al. (2015).
74

4. Deposit Rate Williams &Adedeji (2007), Eric (2015).

5. Prime Lending Acute, Armstrong and Nxumalo (2001), Greenidge&DaCosta
Rate (2009), Sahadudhhen (2012), DebeshBhowmik (2015),
Pingfeng et.al. (2015).
6. Broad Money Salih (1993), Cheng and Papi (1997),Liu and Adedeji (2000),
Acute, Armstrong and Nxumalo (2001),Nina leheyda (2005),
Kandil&Morsy (2009),Thouraya&Younes (2010), Kabbashi
(2012), Greenidge&DaCosta(2009),Sahadudhhen (2012),
Nguyen, Cavoli and Wilson (2012), Fariba (2012),
DebeshBhowmik (2015), Pingfeng et.al. (2015).
7. Exports Liu and Adedeji (2000),Cheng& Tan (2002), Mahmoud et.al.
(2011), Dania (2013).
8. Imports Salih (1993), Liu and Adedeji (2000), Abdul et.al. (2007),
AnuradhaPatnaik (2010),Thouraya&Younes (2010), Fariba
(2012), Qazi, et.al. (2014), Naiz and Memon (2015), Undji and
Kaulihowa (2015), Alexander, Andow and Danpome (2015),
Lim and Sek (2015), Pingfeng et.al. (2015).
9. Gross Fixed Henry Ma (1998), Ahmad Ibrahim Malaw (2005), Alexandru
Capital Formation et.al (2013), Vitarina et.al. (2015).
10. Gross Cheng & Tan (2002), Amir Kia (2010), Qazi, et al (2014), Iya
Consumption and Aminu (2014), Maryam et al (2014),Iya&Aminu (2014),
Expenditure Dr.Ashwani (2014), Naiz and Memon (2015), Undji and
Kaulihowa (2015), Lim and Sek (2015),Yen &Sek (2015),
Valdemar et.al. (2015), Niaz&Pervaiz (2015),
11. Crude Oil Prices Jan, Kalonji and Miyajima (2008),Dua and Gaur
(2009),Greenidge&DaCosta(2009),Nguyen, Cavoli and Wilson
(2012),Seyed (2014), Abdullah (2015), DebeshBhowmik
(2015).
12. Producer Price Nina leheyda (2005).
Index
13. Wholesale Price Cheng and Papi (1997),Thouraya&Younes (2010), Sahadudhhen
Index (2012).
14. Index of Industrial AnuradhaPatnaik (2010).
Production
15. Reserve Money Kalonji&Miyajima (2008), AnuradhaPatnaik (2010), Jan,
Kalonji and Miyajima (2008).
16. Wages Cheng and Papi (1997), MejraFestic (2000), Acute, Armstrong
and Nxumalo (2001),
BogdonLissovolik (2003), Nina Leheyda (2005), Dua and Gaur
(2009), Andersson et.al. (2009).
17. Rainfall Dua and Gaur (2009).
18. Unemployment Greenidge&DaCosta(2009).
Rate
19. Unit Labour Cost Nina leheyda (2005), Andersson et.al. (2009),
Thouraya&Younes (2010).
20. Output Gap Dua and Gaur (2009), Andersson et.al. (2009), Jaumotte and
Morsy (2012).
21. Real Money Gap Dua and Gaur (2009).
22. Interest Rate Thouraya&Younes (2010), Nguyen, Cavoli and Wilson (2012).
23. Food Prices Kandil&Morsy (2009), Dua and Gaur (2009).
24. Fiscal Deficit Andersson et.al. (2009), DebeshBhowmik (2015).
 75

Table 4.1: Basic Descriptives

No. of Observations:56

  CPI GDP LNEER LDR LPLR BR LEXPO LIMPO LGFCF LGCEX LCOP

BRAZIL

 Mean 6.722 2.715 4.634 2.486 3.809 15.648 3.647 3.483 4.922 5.046 4.143

 Median 6.154 2.226 4.708 2.438 3.801 16.172 3.745 3.646 4.982 5.066 4.223

 Maximum 16.854 9.344 4.954 3.193 4.282 25.192 4.272 4.166 5.669 5.837 4.796

 Minimum 2.996 -5.9 4.02 1.88 3.267 7.755 2.476 2.438 4.033 4.198 3.04

 Std. Dev. 2.838 3.275 0.238 0.33 0.245 4.204 0.463 0.578 0.517 0.469 0.483

 Skewness 1.881 -0.371 -0.581 0.3 -0.3 -0.165 -0.779 -0.463 -0.139 -0.157 -0.568

 Kurtosis 6.844 2.859 2.374 2.292 2.677 2.358 2.684 1.791 1.714 1.841 2.223

 Jarque-Bera 67.512 1.334 4.072 2.014 1.084 1.217 5.908 5.409 4.035 3.364 4.425

 Probability 0 0.513 0.13 0.365 0.581 0.543 0.052 0.066 0.132 0.185 0.109

RUSSIA

 Mean  10.578  3.668  4.543  1.672  2.435  26.219  4.363  3.931  7.444  7.387  4.143

 Median  10.423  4.601  4.581  1.648  2.373  24.462  4.491  4.036  7.568  7.569  4.223

 Maximum  17.813  11.38  4.681  2.416  2.924  47.435  4.974  4.642  8.844  8.289  4.796
3
 Minimum  3.834 -  4.122  1.213  2.071  6.654  3.085  2.608  5.721  6.125  3.040
11.151
 Std. Dev.  3.506  4.912  0.123  0.270  0.208  11.034  0.514  0.572  0.781  0.672  0.483

 Skewness  0.058 -1.109 -2.205  0.781  0.496  0.069 -0.824 -0.666 -0.308 -0.423 -0.568

 Kurtosis  1.951  3.982  7.695  3.022  2.294  1.837  2.609  2.270  2.196  1.899  2.223

 Jarque-Bera  2.595  13.74  96.821  5.708  3.460  3.200  6.696  5.392  2.397  4.496  4.425
8
 Probability  0.273  0.001  0.000  0.057  0.177  0.201  0.035  0.067  0.301  0.105  0.109

INDIA

 Mean  7.337  7.286  4.507  2.071  2.406  16.187  3.681  4.054  8.401  7.403  4.143

 Median  6.753  7.303  4.544  2.132  2.382  15.659  3.792  4.219  8.451  7.469  4.223

 Maximum  18.100  10.65  4.660  2.336  2.621  24.751  4.410  4.850  9.213  8.369  4.796
7
 Minimum  2.695  2.312  4.256  1.704  2.079  10.400  2.471  2.520  7.208  6.274  3.040

 Std. Dev.  3.305  1.994  0.128  0.174  0.107  3.905  0.634  0.720  0.616  0.602  0.483

 Skewness  0.968 -0.135 -0.66 -0.765 -0.24  0.359 -0.543 -0.694 -0.411 -0.127 -0.568

 Kurtosis  3.768  2.295  1.975  2.272  3.548  2.127  1.980  2.175  1.954  1.665  2.223

 Jarque-Bera  10.133  1.328  6.524  6.709  1.242  2.979  5.183  6.084  4.135  4.307  4.425

 Probability  0.006  0.514  0.038  0.034  0.537  0.225  0.074  0.047  0.126  0.116  0.109

CHINA- Mainland

 Mean  2.501  8.296  4.707  0.935  1.752  17.115  5.675  5.524  8.097  6.983  4.143

 Median  2.250  9.848  4.717  0.810  1.719  16.738  5.815  5.616  8.172  6.995  4.223

 Maximum  8.034  19.90  4.839  1.420  2.010  29.257  6.470  6.228  8.929  7.770  4.796
7
76

 Minimum -1.499 -25.5  4.571  0.405  1.470  9.900  4.169  4.048  6.994  6.150  3.040

 Std. Dev.  2.190  7.226  0.072  0.243  0.114  4.431  0.635  0.601  0.640  0.545  0.483

 Skewness  0.484 -2.78  0.029  0.354  0.441  0.865 -0.701 -0.63 -0.24 -0.088 -0.568

 Kurtosis  3.051  11.91  1.960  2.345  3.296  3.617  2.399  2.349  1.697  1.637  2.223
1
 Jarque-Bera  2.198  257.4  2.527  2.171  2.026  7.886  5.432  4.693  4.498  4.404  4.425
32
 Probability  0.333  0.000  0.282  0.337  0.363  0.019  0.066  0.095  0.105  0.110  0.109

SOUTH AFRICA

 Mean  5.832  3.112  4.371  1.969  2.402  12.379  2.784  2.965  6.039  6.111  4.143

 Median  5.679  3.192  4.341  1.880  2.351  10.977  2.903  3.084  6.230  6.129  4.223

 Maximum  13.429  6.360  4.674  2.486  2.833  27.349  3.253  3.477  6.736  6.751  4.796

 Minimum  0.437 -2.3  4.094  1.627  2.140  1.547  1.863  1.836  5.095  5.311  3.040

 Std. Dev.  2.797  1.996  0.152  0.272  0.214  6.774  0.364  0.425  0.496  0.446  0.483

 Skewness  0.655 -0.692  0.327  0.629  0.566  0.476 -0.845 -1.004 -0.421 -0.184 -0.568

 Kurtosis  3.611  3.367  2.089  1.996  2.071  2.116  2.635  3.152  1.882  1.677  2.223

 Jarque-Bera  4.879  4.784  2.934  6.043  5.012  3.937  6.976  9.474  4.572  4.397  4.425

 Probability  0.087  0.091  0.230  0.048  0.081  0.139  0.030  0.008  0.101  0.110  0.109

Source: Own Calculations

 77

Table 4.2: VAR Lag Order Selection Criteria

Lag Log L LR FPE AIC SC HQ
BRAZIL
0 -104.9338 NA   2.20e-12  4.374862  4.783790  4.532116
1  416.9927  807.5090  6.46e-19 -10.75444  -5.847300* -8.867392
2  601.7812  209.1945  1.05e-19 -13.16155 -3.756197 -9.544707
3  859.3819   184.6949*   4.24e-21*  -18.31630* -4.412730  -12.96966*
RUSSIA
0 -127.9170 NA   5.24e-12  5.242150  5.651079  5.399405
1  318.1681  690.1694  2.69e-17 -7.025211 -2.118069 -5.138161
2  494.6964  199.8433  5.97e-18 -9.120617  0.284738 -5.503771
3  807.1576   224.0288*   3.04e-20*  -16.34557*  -2.441999*  -10.99893*
INDIA
0 -49.06974 NA   2.67e-13  2.266783  2.675711  2.424037
1  314.4411   562.4131*  3.10e-17 -6.884571  -1.977429*  -4.997521*
2  444.4278  147.1548  3.98e-17 -7.223692  2.181664 -3.606846
3  641.8804  141.5697   1.56e-17*  -10.10869*  3.794876 -4.762051
CHINA- Mainland
0  73.25966 NA   2.65e-15 -2.349421 -1.940493 -2.192167
1  535.4993  715.1632  7.38e-21 -15.22639  -10.31925* -13.33934
2  664.1633  145.6574  9.97e-21 -15.51560 -6.110241 -11.89875
3  892.7480   163.8909*   1.20e-21*  -19.57539* -5.671825  -14.22875*
SOUTH AFRICA
0  81.91744 NA   1.91e-15 -2.676130 -2.267201 -2.518876
1  605.6084  810.2388  5.24e-22 -17.87201  -12.96487* -15.98496
2  750.7853  164.3512  3.79e-22 -18.78435 -9.378994 -15.16750
3  957.9135   148.5070*   1.03e-22*  -22.03447* -8.130902  -16.68783*
Note: (*) indicates lag order selected by the criterion.
Source: Own Calculations

Table 4.3 : Augmented Dickey Fuller Unit Root Test Results

S. No. Variables Lag Order Order of T-statistics P-Value
Integration
BRAZIL
CPI 2 I(0) -2.0128 0.5809
1.
DCPI 3 I(1) -9.1755 0.0000*
GDP 1 I(0) -3.4645 0.0536
2.
DGDP 3 I(1) -6.7865 0.0000*
NEER 0 I(0) -0.1308 0.9931
3.
DNEER 1 I(1) -5.7662 0.0001*
PLR 3 I(0) -3.0324 0.1336
4.
DPLR 0 I(1) -4.4513 0.0042*
DR 3 I(0) -1.3960 0.8506
5.
DDR 2 I(1) -5.7964 0.0001*
6. BR 1 I(0) -4.2035 0.0083*
EXPO 3 I(0) -0.1931 0.9916
7. DEXPO 3 I(1) -2.9772 0.1485
DDEXPO 2 I(2) -17.0693 0.0000*
IMPO 2 I(0) 0.5133 0.9991
8.
DIMPO 1 I(1) -6.9184 0.0000*
GFCF 3 I(0) -2.0893 0.5394
9.
DGFCF 2 I(1) -3.7756 0.0259*
GCEX 3 I(0) 0.6173 0.9994
10.
DGCEX 3 I(1) -5.9339 0.0000*
COP 2 I(0) -0.5218 0.9794
11.
DCOP 1 I(1) -6.1623 0.0000*
78

RUSSIA
CPI 1 I(0) -2.6265 0.2707
1.
DCPI 3 I(1) -4.9429 0.0010*
2. GDP 2 I(0) -4.0180 0.0139*
NEER 3 I(0) -1.6874 0.7428
3.
DNEER 0 I(1) -8.6289 0.0000*
PLR 3 I(0) -2.9982 0.1426
4.
DPLR 0 I(1) -5.1125 0.0006*
DR 1 I(0) -3.2686 0.0825
5.
DDR 1 I(1) -4.6822 0.0022*
6. BR 3 I(0) -4.2475 0.0076*
EXPO 0 I(0) -1.3847 0.8546
7. DEXPO 3 I(1) -3.4427 0.0570
DDEXPO 2 I(2) -8.9825 0.0000*
IMPO 3 I(0) 0.7253 0.9996
8. DIMPO 3 I(1) -2.0638 0.5530
DDIMPO 3 I(2) -3.8396 0.0224*
GFCF 3 I(0) -0.5649 0.9770
9. DGFCF 3 I(1) -2.5035 0.3253
DDGFCF 2 I(2) -84.9803 0.0001*
GCEX 3 I(0) -0.1212 0.9932
10. DGCEX 3 I(1) -2.5707 0.2948
DDGCEX 2 I(2) -16.6878 0.0000*
COP 2 I(0) -0.5218 0.9794
11.
DCOP 1 I(1) -6.1623 0.0000*
INDIA
CPI 0 I(0) -2.2602 0.4478
1.
DCPI 0 I(1) -9.2226 0.0000*
GDP 0 I(0) -3.1769 0.0997
2.
DGDP 0 I(1) -8.1572 0.0000*
NEER 0 I(0) -1.8859 0.6483
3.
DNEER 0 I(1) -6.5261 0.0000*
PLR 0 I(0) -2.4738 0.3394
4.
DPLR 0 I(1) -7.4910 0.0000*
DR 0 I(0) -3.2994 0.0771
5.
DDR 0 I(1) -9.9961 0.0000*
BR 1 I(0) -1.6230 0.7707
6.
DBR 3 I(1) -4.3582 0.0056*
EXPO 0 I(0) -0.8415 0.9550
7.
DEXPO 2 I(1) -5.7862 0.0001*
IMPO 0 I(0) -0.9378 0.9439
8.
DIMPO 2 I(1) -5.9392 0.0000*
GFCF 3 I(0) -0.2372 0.9905
9.
DGFCF 2 I(1) -7.6591 0.0000*
GCEX 3 I(0) -0.7856 0.9603
10.
DGCEX 2 I(1) -16.006 0.0000*
COP 2 I(0) -0.5218 0.9794
11.
DCOP 1 I(1) -6.1623 0.0000*
CHINA – Mainland
1. CPI 2 I(0) -4.7824 0.0016*
2. GDP 2 I(0) -4.0961 0.0113*
NEER 1 I(0) -3.4906 0.0505
3.
DNEER 1 I(1) -5.4644 0.0002*
PLR 1 I(0) -1.5252 0.8085
4.
DPLR 0 I(1) -5.4652 0.0002*
DR 2 I(0) -1.7709 0.7047
5.
DDR 0 I(1) -5.6732 0.0001*
BR 1 I(0) 3.0338 0.1329
6.
DBR 3 I(1) -5.4649 0.0002*
 79

EXPO 3 I(0) -1.2970 0.8778

7. DEXPO 3 I(1) -2.5726 0.2940
DDEXPO 3 I(2) -4.6229 0.0027*
IMPO 2 I(0) -1.0217 0.9320
8.
DIMPO 1 I(1) -8.6879 0.0000*
GFCF 3 I(0) 4.7664 1.0000
9. DGFCF 3 I(1) -1.6307 0.7667
DDGFCF 2 I(2) -55.0814 0.0001*
GCEX 3 I(0) 0.2970 0.9981
10. DGCEX 3 I(1) -2.3716 0.3894
DDGCEX 2 I(2) -35.5344 0.0001*
COP 2 I(0) -0.5218 0.9794
11.
DCOP 1 I(1) -6.1623 0.0000*
SOUTH AFRICA
CPI 1 I(0) -3.4093 0.0607
1.
DCPI 3 I(1) -5.3493 0.0003*
2. GDP 1 I(0) -3.7166 0.0296*
NEER 0 I(0) -2.9049 0.1690
3.
DNEER 0 I(1) -6.7416 0.0000*
PLR 1 I(0) -2.9144 0.1663
4.
DPLR 1 I(1) -4.0909 0.0114*
DR 1 I(0) -2.0834 0.5430
5.
DDR 0 I(1) -4.9337 0.0010*
BR 3 I(0) -2.7505 0.2217
6. DBR 3 I(1) -3.4168 0.0603
DDBR 3 I(2) -5.6144 0.0001*
EXPO 0 I(0) -2.0706 0.5502
7.
DEXPO 0 I(1) -7.5754 0.0000*
IMPO 0 I(0) -1.6063 0.7778
8.
DIMPO 1 I(1) -5.9649 0.0000*
GFCF 1 I(0) -1.5705 0.7916
9.
DGFCF 0 I(1) -4.3631 0.0054*
GCEX 2 I(0) 0.2695 0.9980
10. DGCEX 3 I(1) -2.9721 0.1499
DDGCEX 2 I(2) -11.6770 0.0000*
COP 2 I(0) -0.5218 0.9794
11.
DCOP 1 I(1) -6.1623 0.0000*
Notes:
 Akaike Information Criterion is used for lag order selection.
 Variables with I (0) order of integration are stationary at their own level, Variables with I (1)
order of integration are stationary after differencing once denoted by D and Variables with I
(2) order of integration are stationary after differencing twice denoted by DD.
 The respective critical value is -3.500.
 * denotes rejection of null hypothesis at 95% confidence level.
Source: Own Calculations
 80

Table 4.4: VAR Framework in Multivariate Framework: CPI and Selected Macroeconomic Indicators
DCPIt DGDPt DNEERt DPLRt DDRt BRt DDEXPOt DIMPOt DGFCFt DGCEXt DCOPt
BRAZIL
DCPIt-1 0.530 0.219 0.007 -0.006 0.009 -0.335 -0.007 0.009 -0.010 -0.008 0.032
(0.000) (0.328) (0.491) (0.454) (0.329) (0.086) (0.624) (0.319) (0.098) (0.234) (0.249)
DCPIt-2 -0.245 -0.376 -0.005 -0.009 -0.019 0.214 -0.017 -0.001 0.000 0.010 -0.064
(0.108) (0.096) (0.627) (0.273) (0.055) (0.278) (0.275) (0.877) (0.939) (0.136) (0.024)
DCPIt-3 -0.161 0.193 -0.002 -0.004 -0.008 -0.007 0.036 0.010 0.008 -0.010 0.028
(0.203) (0.301) (0.800) (0.592) (0.322) (0.968) (0.004) (0.161) (0.111) (0.075) (0.229)
DGDPt-1 0.072 -0.096 -0.012 -0.002 -0.004 -0.027 -0.004 -0.006 -0.008 -0.001 -0.005
(0.423) (0.474) (0.055) (0.673) (0.441) (0.816) (0.686) (0.254) (0.026) (0.726) (0.746)
DGDPt-2 -0.036 -0.106 0.011 -0.004 -0.004 -0.166 0.014 0.010 -0.002 0.002 -0.001
(0.622) (0.329) (0.038) (0.368) (0.437) (0.079) (0.052) (0.013) (0.468) (0.503) (0.970)
DGDPt-3 -0.088 0.334 0.012 -0.012 -0.017 0.161 0.010 0.001 -0.003 0.005 0.027
(0.242) (0.003) (0.026) (0.003) (0.001) (0.099) (0.166) (0.85) (0.342) (0.125) (0.058)
DNEERt-1 -2.066 -4.633 0.326 -0.036 0.051 2.577 0.281 0.693 0.049 0.001 -0.046
(0.255) (0.085) (0.011) (0.715) (0.657) (0.272) (0.122) (0.000) (0.507) (0.985) (0.893)
DNEERt-2 -2.053 1.452 0.236 0.035 -0.140 7.234 0.498 -0.168 -0.092 -0.002 -0.074
(0.354) (0.658) (0.133) (0.774) (0.321) (0.011) (0.025) (0.186) (0.312) (0.982) (0.857)
DNEERt-3 -3.207 11.169 0.040 0.210 0.035 -2.212 0.535 0.187 0.189 -0.001 0.587
(0.100) (0.000) (0.774) (0.051) (0.778) (0.381) (0.006) (0.094) (0.018) (0.99) (0.105)
DPLRt-1 6.895 6.273 0.133 -0.165 0.009 3.920 0.162 0.325 -0.262 0.148 1.217
(0.011) (0.120) (0.490) (0.273) (0.957) (0.265) (0.552) (0.037) (0.019) (0.209) (0.016)
DPLRt-2 7.356 -6.247 0.913 0.106 -0.143 14.207 -0.063 0.000 -0.246 0.199 -1.268
(0.020) (0.182) (0.000) (0.542) (0.478) (0.001) (0.843) (0.999) (0.057) (0.144) (0.031)
DPLRt-3 -1.198 -2.794 -0.380 0.676 -0.265 4.794 0.184 -0.534 0.185 0.044 -0.411
(0.755) (0.624) (0.164) (0.001) (0.280) (0.335) (0.634) (0.015) (0.241) (0.792) (0.565)
DDRt-1 0.803 -13.205 -0.602 0.654 0.630 -10.902 0.084 -0.512 0.166 -0.176 -1.21
(0.756) (0.001) (0.001) (0.000) (0.000) (0.001) (0.746) (0.001) (0.117) (0.115) (0.012)
DDRt-2 -7.547 4.041 -0.330 -0.326 -0.091 -10.782 -0.070 0.022 -0.016 -0.183 0.450
(0.023) (0.412) (0.162) (0.076) (0.666) (0.012) (0.833) (0.908) (0.905) (0.202) (0.466)
DDRt-3 -3.108 -3.940 0.331 -0.114 -0.129 7.148 -0.514 -0.042 -0.389 -0.033 0.523
(0.300) (0.376) (0.120) (0.493) (0.501) (0.065) (0.088) (0.809) (0.002) (0.801) (0.348)
BR t-1 -0.046 0.254 -0.003 -0.023 -0.025 0.837 -0.020 -0.004 -0.003 0.000 -0.022
 (0.679) (0.124) (0.692) (0.000) (0.001) (0.000) (0.071) (0.563) (0.573) (0.919) (0.281)
BR t-2 -0.238 -0.457 -0.003 0.025 0.020 -0.247 0.022 0.002 -0.002 -0.012 0.008
(0.078) (0.022) (0.771) (0.001) (0.018) (0.157) (0.109) (0.755) (0.765) (0.036) (0.736)
BR t-3 0.186 0.211 0.006 -0.014 -0.011 -0.026 -0.007 -0.002 -0.001 0.011 0.010
(0.015) (0.063) (0.307) (0.001) (0.024) (0.795) (0.377) (0.73) (0.842) (0.001) (0.499)
DDEXPOt-1 -2.054 -3.323 -0.184 0.007 0.082 -2.564 -1.369 -0.103 0.075 0.180 -0.872
(0.201) (0.163) (0.107) (0.941) (0.422) (0.217) (0.000) (0.262) (0.255) (0.009) (0.003)
DDEXPOt-2 -3.334 -3.358 -0.193 -0.142 0.216 -6.386 -1.134 -0.009 0.029 0.057 -0.743
(0.105) (0.270) (0.186) (0.212) (0.099) (0.016) (0.000) (0.941) (0.733) (0.522) (0.051)
DDEXPOt-3 -1.238 1.671 -0.019 -0.170 -0.010 -0.802 -0.645 0.066 -0.116 0.007 -0.469
(0.473) (0.513) (0.874) (0.074) (0.931) (0.719) (0.000) (0.506) (0.100) (0.926) (0.144)
DIMPOt-1 2.460 2.897 -0.320 -0.030 0.437 0.088 -0.167 -0.199 -0.044 0.060 0.950
(0.506) (0.597) (0.224) (0.881) (0.063) (0.985) (0.653) (0.349) (0.769) (0.708) (0.167)
DIMPOt-2 8.594 -10.075 -0.460 0.433 0.368 9.37 -0.846 0.160 -0.204 0.13 -0.527
(0.004) (0.022) (0.029) (0.008) (0.051) (0.015) (0.004) (0.346) (0.093) (0.309) (0.338)
DIMPOt-3 2.314 -21.081 -0.022 0.273 0.299 8.227 -0.516 -0.115 0.082 0.058 -0.792
(0.501) (0.000) (0.929) (0.151) (0.172) (0.064) (0.135) (0.561) (0.563) (0.695) (0.216)
DGFCFt-1 -4.295 -2.179 0.884 0.171 -0.794 13.265 0.244 0.794 0.362 -0.062 -0.535
(0.259) (0.699) (0.001) (0.417) (0.001) (0.007) (0.522) (0.000) (0.020) (0.705) (0.449)
DGFCFt-2 -5.100 1.019 -0.204 0.418 0.158 -7.021 0.259 -1.062 -0.110 0.043 -0.432
(0.349) (0.900) (0.598) (0.164) (0.649) (0.319) (0.636) (0.001) (0.623) (0.854) (0.670)
DGFCFt-3 -6.722 11.657 0.196 -0.450 -0.312 -13.882 0.466 0.688 0.209 -0.124 0.294
(0.176) (0.113) (0.578) (0.101) (0.324) (0.031) (0.350) (0.016) (0.304) (0.564) (0.750)
DGCEXt-1 -1.481 -0.158 0.180 0.087 -0.103 -0.970 -0.363 -0.289 0.096 -0.978 0.255
(0.478) (0.959) (0.225) (0.449) (0.437) (0.719) (0.082) (0.016) (0.263) (0.000) (0.510)
DGCEXt-2 -4.322 1.145 0.029 0.115 0.163 -2.647 -0.524 -0.303 0.208 -0.788 -0.23
(0.111) (0.776) (0.881) (0.444) (0.346) (0.450) (0.054) (0.052) (0.061) (0.000) (0.648)
DGCEXt-3 -2.688 0.837 -0.166 0.092 0.370 -3.080 -0.243 0.006 0.194 -0.894 -0.044
(0.195) (0.786) (0.260) (0.420) (0.005) (0.251) (0.243) (0.960) (0.022) (0.000) (0.910)
DCOPt-1 -0.219 3.607 0.118 0.073 0.093 2.498 0.356 0.294 0.091 -0.110 0.556
(0.826) (0.014) (0.094) (0.183) (0.142) (0.052) (0.000) (0.000) (0.026) (0.010) (0.003)
DCOPt-2 0.346 2.179 0.252 -0.048 -0.093 2.696 -0.018 0.075 -0.003 0.094 -0.105
(0.777) (0.228) (0.004) (0.475) (0.230) (0.088) (0.881) (0.284) (0.959) (0.075) (0.643)
DCOPt-3 -0.442 1.677 0.070 -0.083 -0.076 0.539 0.040 -0.041 0.090 0.009 0.145
(0.711) (0.343) (0.410) (0.21) (0.315) (0.727) (0.737) (0.554) (0.067) (0.863) (0.513)

81
 82

CONSTANT 1.858 -0.054 -0.009 0.176 0.222 7.004 0.122 0.069 0.075 0.110 0.101
(0.049) (0.969) (0.892) (0.001) (0.000) (0.000) (0.199) (0.203) (0.052) (0.007) (0.567)
RUSSIA
DCPIt-1 0.448 0.017 0.000 -0.013 -0.015 0.066 0.020 0.018 -0.001 -0.005 0.030
(0.013) (0.935) (0.979) (0.142) (0.284) (0.897) (0.060) (0.046) (0.971) (0.175) (0.040)
DCPIt-2 0.317 -0.175 -0.007 0.017 0.021 0.027 -0.011 -0.013 0.019 0.001 -0.012
(0.064) (0.370) (0.250) (0.044) (0.121) (0.955) (0.297) (0.13) (0.272) (0.707) (0.372)
DCPIt-3 -0.525 -0.077 0.007 -0.001 -0.024 -0.383 0.005 0.000 0.014 -0.005 0.005
(0.001) (0.675) (0.237) (0.918) (0.057) (0.399) (0.574) (1.000) (0.411) (0.091) (0.695)
GDPt-1 0.016 0.842 -0.004 0.006 0.016 0.844 -0.003 0.000 -0.014 0.005 0.012
(0.900) (0.000) (0.380) (0.327) (0.122) (0.022) (0.719) (0.998) (0.283) (0.046) (0.280)
GDPt-2 0.074 -0.167 0.005 0.007 -0.012 -0.929 -0.011 0.002 0.017 -0.003 -0.030
(0.488) (0.168) (0.161) (0.192) (0.134) (0.002) (0.084) (0.735) (0.117) (0.213) (0.000)
GDPt-3 -0.021 0.109 0.004 -0.004 0.007 -0.078 0.001 -0.009 -0.019 0.005 0.011
(0.810) (0.278) (0.254) (0.397) (0.341) (0.754) (0.838) (0.052) (0.031) (0.004) (0.126)
DNEERt-1 -1.75O -8.135 -0.392 -0.243 -0.452 -16.019 -0.124 0.058 0.679 -0.355 -0.378
(0.786) (0.268) (0.089) (0.452) (0.368) (0.377) (0.747) (0.861) (0.304) (0.005) (0.473)
DNEERt-2 7.000 -0.033 -0.420 0.500 1.009 -9.456 -0.245 0.434 2.032 -0.224 -0.881
(0.250) (0.996) (0.053) (0.100) (0.033) (0.581) (0.501) (0.165) (0.001) (0.060) (0.076)
DNEERt-3 12.176 10.065 0.338 0.084 -0.329 -23.864 1.649 0.535 1.493 -0.271 2.903
(0.044) (0.143) (0.117) (0.780) (0.485) (0.160) (0.000) (0.085) (0.016) (0.022) (0.000)
DPLRt-1 2.028 -9.727 -0.207 0.269 -0.143 -33.607 -0.305 -0.365 0.507 -0.086 -1.316
(0.606) (0.030) (0.141) (0.172) (0.640) (0.002) (0.195) (0.071) (0.208) (0.266) (0.000)
DPLRt-2 -0.675 -14.310 -0.116 -0.177 0.517 3.688 -0.387 0.411 1.247 -0.133 -1.204
(0.868) (0.002) (0.425) (0.384) (0.103) (0.747) (0.111) (0.049) (0.003) (0.095) (0.000)
DPLRt-3 13.288 8.332 -0.278 0.435 0.587 -21.036 -0.050 0.017 -0.513 -0.006 0.238
(0.000) (0.049) (0.036) (0.019) (0.043) (0.044) (0.822) (0.929) (0.178) (0.931) (0.435)
DDRt-1 -4.464 -5.984 0.184 0.042 0.184 7.227 0.077 0.109 0.087 0.021 -0.126
(0.065) (0.030) (0.033) (0.729) (0.330) (0.288) (0.596) (0.379) (0.724) (0.664) (0.523)
DDRt-2 2.424 10.77 -0.105 0.331 0.285 13.108 -0.259 -0.144 -0.185 -0.063 0.022
(0.372) (0.000) (0.281) (0.015) (0.179) (0.087) (0.111) (0.301) (0.507) (0.233) (0.923)
DDRt-3 -3.841 1.121 0.260 -0.179 -0.56 6.098 0.450 0.132 -0.325 0.087 0.912
(0.144) (0.708) (0.006) (0.174) (0.006) (0.410) (0.004) (0.328) (0.227) (0.091) (0.000)
BRt-1 0.049 0.172 -0.002 -0.001 0.000 1.072 -0.002 0.000 0.000 -0.002 -0.007
 (0.423) (0.013) (0.254) (0.657) (0.940) (0.000) (0.650) (0.892) (0.949) (0.091) (0.156)
BRt-2 -0.032 -0.125 0.006 -0.008 -0.010 -0.362 0.006 0.006 0.012 0.002 0.01
(0.683) (0.167) (0.047) (0.046) (0.110) (0.106) (0.173) (0.150) (0.128) (0.212) (0.112)
BRt-3 -0.026 -0.018 -0.005 0.006 0.008 0.254 0.000 -0.004 -0.009 -0.002 0.002
(0.662) (0.786) (0.025) (0.033) (0.071) (0.124) (0.892) (0.225) (0.155) (0.077) (0.746)
DDEXPOt-1 -2.785 19.615 0.178 0.025 0.145 7.100 -0.448 0.193 -0.580 0.062 1.245
(0.538) (0.000) (0.270) (0.911) (0.681) (0.577) (0.097) (0.405) (0.210) (0.487) (0.001)
DDEXPOt-2 0.960 16.788 0.177 -0.035 0.046 10.132 0.203 0.539 -0.198 0.017 1.735
(0.810) (0.000) (0.215) (0.862) (0.884) (0.368) (0.395) (0.009) (0.628) (0.832) (0.000)
DDEXPOt-3 3.789 19.540 0.067 -0.010 0.107 -0.631 0.410 0.198 -0.276 0.149 1.307
(0.277) (0.000) (0.592) (0.953) (0.695) (0.949) (0.049) (0.268) (0.439) (0.029) (0.000)
DDIMPOt-1 -2.705 -9.200 -0.105 -0.163 -0.295 1.173 -0.203 -1.054 0.405 0.011 -1.111
(0.406) (0.013) (0.368) (0.316) (0.246) (0.898) (0.297) (0.000) (0.224) (0.861) (0.000)
DDIMPOt-2 -5.073 -19.173 0.178 -0.219 -0.501 -14.385 -0.263 -0.505 1.214 -0.085 -1.772
(0.280) (0.000) (0.29) (0.352) (0.172) (0.277) (0.348) (0.036) (0.012) (0.354) (0.000)
DDIMPOt-3 -7.801 -20.694 0.214 -0.045 -0.153 -16.526 -0.585 -0.399 0.630 -0.043 -1.799
(0.041) (0.000) (0.116) (0.812) (0.607) (0.124) (0.010) (0.041) (0.106) (0.565) (0.000)
DDGFCFt-1 1.838 1.989 -0.047 0.078 0.153 1.750 0.010 -0.050 -1.052 -0.015 0.230
(0.063) (0.078) (0.185) (0.118) (0.047) (0.530) (0.864) (0.323) (0.000) (0.447) (0.004)
DDGFCFt-2 2.872 4.993 -0.163 0.133 0.193 4.595 -0.001 -0.269 -1.286 0.023 0.355
(0.024) (0.001) (0.000) (0.036) (0.051) (0.199) (0.988) (0.000) (0.000) (0.346) (0.001)
DDGFCFt-3 3.097 2.323 -0.137 0.044 0.010 5.121 -0.005 -0.211 -1.047 -0.017 0.283
(0.003) (0.046) (0.000) (0.390) (0.905) (0.076) (0.929) (0.000) (0.000) (0.396) (0.001)
DDGCEXt-1 17.151 21.316 -0.668 0.548 0.667 13.496 0.525 -0.563 -0.809 -0.808 1.298
(0.002) (0.001) (0.001) (0.044) (0.117) (0.379) (0.107) (0.044) (0.147) (0.000) (0.004)
DDGCEXt-2 20.088 9.729 -0.754 0.265 -0.266 11.641 1.196 -0.507 -0.143 -0.874 2.105
(0.001) (0.148) (0.000) (0.371) (0.565) (0.484) (0.001) (0.095) (0.814) (0.000) (0.000)
DDGCEXt-3 19.278 -9.131 -1.001 0.759 0.143 0.782 -0.116 -0.640 0.237 -0.891 -1.103
(0.000) (0.083) (0.000) (0.001) (0.692) (0.952) (0.674) (0.007) (0.616) (0.000) (0.004)
DCOPt-1 -1.838 -0.233 0.233 -0.017 -0.196 -13.069 0.161 0.409 0.569 0.074 -0.419
(0.550) (0.947) (0.033) (0.914) (0.413) (0.131) (0.380) (0.010) (0.070) (0.217) (0.095)
DCOPt-2 1.769 -4.257 -0.045 0.161 0.222 -2.473 -0.700 -0.440 -0.393 -0.010 -0.757
(0.448) (0.109) (0.589) (0.168) (0.222) (0.706) (0.000) (0.000) (0.100) (0.834) (0.000)
DCOPt-3 -3.399 13.913 0.015 -0.058 0.049 16.703 -0.162 -0.160 -0.848 0.031 0.709
(0.230) (0.000) (0.881) (0.680) (0.824) (0.036) (0.339) (0.272) (0.003) (0.574) (0.002)

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CONSTANT 0.238 -0.28 0.003 0.041 0.020 0.535 -0.050 -0.016 0.003 0.015 -0.078
(0.655) (0.644) (0.887) (0.127) (0.624) (0.722) (0.119) (0.552) (0.954) (0.155) (0.072)
INDIA
DCPIt-1 -0.148 0.054 -0.001 -0.002 0.004 0.283 0.006 0.013 0.001 -0.007 0.017
(0.297) (0.596) (0.45) (0.634) (0.53) (0.037) (0.312) (0.022) (0.832) (0.434) (0.064)
 DCPIt-2 0.048 -0.003 0.004 -0.014 0.004 -0.014 (0.000) 0.001 -0.001 0.010 -0.013
(0.753) (0.980) (0.007) (0.002) (0.573) (0.925) (0.987) (0.913) (0.862) (0.336) (0.203)
 DCPIt-3 -0.009 -0.001 -0.002 -0.004 -0.002 0.014 0.013 -0.002 -0.001 0.027 0.008
(0.951) (0.993) (0.350) (0.399) (0.784) (0.923) (0.031) (0.728) (0.702) (0.011) (0.430)
DGDP t-1 0.027 -0.177 0.002 0.005 -0.018 0.004 0.006 0.006 0.008 -0.020 0.026
(0.893) (0.228) (0.379) (0.428) (0.054) (0.985) (0.471) (0.464) (0.067) (0.139) (0.047)
DGDP t-2 -0.100 -0.133 0.003 0.004 0.016 -0.106 0.009 0.012 0.008 -0.018 -0.012
(0.572) (0.298) (0.060) (0.458) (0.043) (0.534) (0.196) (0.111) (0.060) (0.136) (0.300)
DGDP t-3 -0.223 0.081 -0.001 -0.004 -0.005 0.783 -0.006 -0.018 0.012 -0.029 -0.013
(0.275) (0.585) (0.666) (0.515) (0.561) (0.000) (0.466) (0.028) (0.012) (0.033) (0.315)
DNEER t-1 -7.298 11.147 -0.123 -0.621 -0.776 -12.715 -0.125 -0.124 0.063 -0.496 1.969
(0.603) (0.274) (0.401) (0.139) (0.221) (0.345) (0.825) (0.829) (0.845) (0.599) (0.032)
 DNEER t-2 -25.780 -6.738 0.410 -0.183 -0.221 -0.219 0.964 0.677 -0.601 0.983 0.612
(0.027) (0.426) (0.001) (0.600) (0.674) (0.984) (0.04) (0.157) (0.025) (0.209) (0.423)
 DNEER t-3 20.785 -7.723 0.131 -0.051 1.557 10.815 1.202 0.761 0.027 -1.222 -0.296
(0.094) (0.391) (0.309) (0.891) (0.005) (0.364) (0.016) (0.135) (0.925) (0.142) (0.715)
DPLR t-1 3.112 -9.403 0.049 -0.039 0.228 -4.673 0.031 -0.013 0.137 0.156 -0.139
(0.542) (0.011) (0.361) (0.797) (0.322) (0.340) (0.880) (0.950) (0.241) (0.648) (0.677)
 DPLR t-2 0.624 4.766 -0.091 -0.129 -0.241 0.232 -0.157 0.195 0.085 -0.179 0.524
(0.889) (0.142) (0.05) (0.336) (0.232) (0.957) (0.383) (0.288) (0.405) (0.551) (0.073)
 DPLR t-3 -2.580 -2.722 0.011 -0.133 0.235 2.010 0.176 0.087 0.046 0.142 0.427
(0.583) (0.425) (0.830) (0.345) (0.268) (0.656) (0.351) (0.651) (0.670) (0.653) (0.166)
DDR t-1 3.739 -2.402 0.031 0.233 -0.259 7.019 0.150 0.130 0.009 -0.279 -0.035
(0.232) (0.289) (0.337) (0.013) (0.067) (0.019) (0.234) (0.313) (0.898) (0.184) (0.865)
 DDR t-2 1.070 -1.646 0.007 0.186 -0.04 5.177 0.038 -0.249 -0.083 -0.044 -0.524
(0.744) (0.488) (0.834) (0.058) (0.787) (0.100) (0.772) (0.065) (0.267) (0.842) (0.014)
 DDR t-3 -6.166 0.583 -0.006 0.020 -0.207 -1.670 -0.227 -0.366 -0.153 -0.141 -0.484
(0.056) (0.803) (0.854) (0.835) (0.156) (0.589) (0.079) (0.006) (0.039) (0.516) (0.022)
DBR t-1 -0.166 0.071 -0.001 0.007 -0.010 -0.337 -0.006 0.001 0.010 -0.006 0.016
 (0.240) (0.486) (0.492) (0.098) (0.104) (0.013) (0.277) (0.842) (0.002) (0.493) (0.091)
DBR t-2 0.201 0.157 -0.002 0.004 0.010 0.151 -0.003 0.006 0.008 -0.007 0.017
(0.177) (0.146) (0.258) (0.324) (0.143) (0.288) (0.626) (0.343) (0.017) (0.507) (0.086)
DBR t-3 -0.149 0.062 0.002 -0.002 -0.006 0.054 -0.005 0.001 -0.005 0.006 -0.004
(0.245) (0.501) (0.247) (0.668) (0.275) (0.662) (0.287) (0.873) (0.093) (0.485) (0.668)
DEXPO t-1 -1.748 -0.094 -0.047 -0.477 0.277 4.896 -0.097 0.462 0.202 0.416 1.127
(0.762) (0.982) (0.429) (0.006) (0.287) (0.376) (0.675) (0.051) (0.127) (0.282) (0.003)
DEXPO t-2 -8.669 -8.410 0.092 -0.220 0.169 -2.729 0.090 0.225 -0.130 -0.095 0.674
(0.145) (0.052) (0.138) (0.217) (0.528) (0.633) (0.708) (0.357) (0.342) (0.812) (0.084)
DEXPO t-3 2.757 -4.162 0.004 -0.260 0.256 1.146 0.081 0.164 0.308 0.253 0.404
(0.586) (0.257) (0.943) (0.086) (0.263) (0.813) (0.690) (0.430) (0.008) (0.457) (0.223)
DIMPO t-1 2.725 -2.613 0.059 0.326 -0.316 -14.785 -0.446 -0.608 -0.413 0.066 -1.239
(0.572) (0.455) (0.242) (0.024) (0.146) (0.001) (0.021) (0.002) (0.000) (0.838) (0.000)
DIMPO t-2 1.130 -3.077 0.014 0.346 -0.233 -4.153 -0.353 -0.164 0.200 -0.171 -0.385
(0.843) (0.457) (0.819) (0.043) (0.365) (0.448) (0.123) (0.484) (0.125) (0.655) (0.302)
DIMPO t-3 -0.149 7.260 -0.049 0.146 -0.560 5.463 -0.277 -0.131 0.154 -0.468 0.156
(0.978) (0.068) (0.387) (0.372) (0.024) (0.299) (0.208) (0.559) (0.219) (0.203) (0.665)
DGFCF t-1 -2.198 -6.260 0.347 -0.027 0.174 -1.062 1.025 0.460 -0.283 0.976 0.670
(0.708) (0.141) (0.000) (0.876) (0.511) (0.850) (0.000) (0.056) (0.035) (0.013) (0.081)
DGFCF t-2 0.201 0.748 0.342 0.609 0.486 16.453 0.743 0.550 -0.117 -0.393 -0.192
(0.981) (0.902) (0.000) (0.014) (0.196) (0.040) (0.026) (0.108) (0.541) (0.482) (0.724)
DGFCF t-3 5.316 0.612 -0.090 -0.153 1.146 13.561 0.508 0.457 -0.004 -0.322 -0.157
(0.544) (0.923) (0.326) (0.558) (0.004) (0.107) (0.149) (0.204) (0.983) (0.584) (0.784)
DGCEX t-1 1.067 -0.044 -0.036 -0.054 0.040 -1.080 0.119 0.014 -0.056 -0.84 0.177
(0.530) (0.972) (0.042) (0.292) (0.603) (0.508) (0.082) (0.842) (0.152) (0.000) (0.111)
 DGCEX t-2 -1.635 -0.764 0.014 -0.022 (0.000) -3.970 0.105 -0.029 -0.142 -0.832 0.031
(0.408) (0.594) (0.506) (0.713) (0.998) (0.036) (0.187) (0.718) (0.002) (0.000) (0.812)
 DGCEX t-3 0.023 -0.028 0.027 0.051 -0.040 -1.663 0.113 0.068 -0.060 -0.608 0.211
(0.989) (0.981) (0.106) (0.289) (0.585) (0.283) (0.081) (0.303) (0.104) (0.000) (0.046)
DCOP t-1 0.337 1.337 -0.096 0.117 -0.159 2.339 0.197 0.275 0.186 -0.071 0.425
(0.907) (0.522) (0.001) (0.174) (0.220) (0.397) (0.088) (0.020) (0.005) (0.715) (0.024)
DCOP t-2 2.741 7.194 -0.058 -0.148 0.118 4.250 0.135 -0.022 0.097 0.016 0.024
(0.374) (0.001) (0.070) (0.109) (0.397) (0.151) (0.274) (0.865) (0.169) (0.938) (0.906)
DCOP t-3 -2.400 -0.251 -0.032 -0.001 0.073 -6.365 0.093 -0.061 -0.253 0.225 -0.236
(0.513) (0.925) (0.399) (0.991) (0.661) (0.071) (0.530) (0.683) (0.003) (0.360) (0.325)

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 CONSTAN -0.060 0.492 -0.025 -0.023 -0.042 -0.627 -0.023 -0.007 0.048 0.097 -0.016
T (0.930) (0.320) (0.000) (0.254) (0.174) (0.338) (0.396) (0.816) (0.002) (0.034) (0.727)
CHINA Mainland
CPIt-1 0.859 -0.115 -0.002 0.004 0.005 -0.883 0.016 0.012 -0.004 (0.000) -0.010
(0.000) (0.896) (0.706) (0.622) (0.766) (0.024) (0.079) (0.203) (0.545) (0.994) (0.691)
CPIt-2 0.133 -0.094 (0.000) -0.020 -0.041 -0.373 -0.004 -0.024 -0.007 -0.003 -0.021
(0.499) (0.933) (0.967) (0.048) (0.044) (0.455) (0.716) (0.047) (0.394) (0.458) (0.523)
CPIt-3 -0.341 -0.194 0.005 0.003 0.012 1.096 -0.017 -0.004 0.004 0.003 0.005
(0.015) (0.808) (0.292) (0.636) (0.422) (0.002) (0.038) (0.669) (0.525) (0.279) (0.823)
GDP t-1 0.023 0.708 -0.002 (0.000) -0.001 0.144 0.001 (0.000) -0.002 -0.001 0.006
(0.222) (0.000) (0.005) (0.918) (0.581) (0.003) (0.190) (0.913) (0.029) (0.005) (0.052)
GDP t-2 0.013 0.174 (0.000) 0.003 0.008 -0.092 (0.000) 0.002 0.003 0.001 (0.000)
(0.604) (0.221) (0.725) (0.010) (0.004) (0.145) (0.844) (0.225) (0.009) (0.111) (0.965)
GDP t-3 -0.001 -0.225 (0.000) 0.002 0.005 -0.025 0.002 0.001 -0.002 -0.002 0.005
(0.959) (0.091) (0.893) (0.150) (0.061) (0.673) (0.210) (0.330) (0.013) (0.000) (0.227)
DNEER t-1 -0.542 33.183 0.118 0.012 0.057 3.493 -0.315 -0.075 0.044 -0.138 0.327
(0.885) (0.118) (0.362) (0.948) (0.883) (0.712) (0.155) (0.747) (0.779) (0.067) (0.599)
DNEER t-2 1.255 -39.172 -0.208 -0.071 -0.186 11.581 0.830 0.035 0.117 0.102 -0.585
(0.730) (0.057) (0.099) (0.700) (0.622) (0.208) (0.000) (0.877) (0.437) (0.165) (0.333)
DNEER t-3 4.523 193.032 0.242 0.385 0.696 -13.075 -0.925 0.302 0.220 -0.074 0.400
(0.299) (0.000) (0.108) (0.082) (0.124) (0.235) (0.000) (0.263) (0.224) (0.397) (0.580)
DPLR t-1 -5.089 -4.592 -0.098 2.000 3.836 21.071 0.932 1.163 -0.559 -0.626 5.553
(0.639) (0.941) (0.794) (0.000) (0.001) (0.443) (0.146) (0.083) (0.214) (0.004) (0.002)
DPLR t-2 -2.726 -87.188 -0.727 0.243 0.150 11.219 -0.134 -1.43 -0.639 -0.284 -5.440
(0.822) (0.205) (0.084) (0.693) (0.905) (0.714) (0.852) (0.057) (0.203) (0.246) (0.007)
DPLR t-3 -4.669 108.795 0.429 -0.453 -0.720 -130.933 1.408 0.126 -0.536 0.127 -3.013
(0.679) (0.089) (0.272) (0.428) (0.538) (0.000) (0.034) (0.856) (0.251) (0.577) (0.107)
DDR t-1 4.859 11.773 0.036 -0.935 -1.812 -8.929 -0.545 -0.386 0.365 0.458 -2.082
(0.334) (0.680) (0.838) (0.000) (0.001) (0.483) (0.067) (0.216) (0.080) (0.000) (0.013)
DDR t-2 6.309( 39.825 0.291 0.088 0.283 3.846 -0.127 0.453 0.337 0.075 2.469
0.268) (0.217) (0.140) (0.761) (0.631) (0.789) (0.705) (0.198) (0.152) (0.516) (0.009)
DDR t-3 4.254 -44.570 -0.093 0.402 0.846 66.371 -0.563 0.284 0.259 -0.143 2.194
(0.420) (0.136) (0.610) (0.133) (0.123) (0.000) (0.071) (0.384) (0.236) (0.178) (0.012)
DBR t-1 -0.066 0.122 -0.003 0.003 0.003 -0.064 0.002 0.001 -0.006 (0.000) 0.013
 (0.172) (0.657) (0.067) (0.231) 0.612) (0.601) (0.421) (0.770) (0.002) (0.639) (0.116)
DBR t-2 -0.005 -0.494 -0.002 -0.013 -0.028 -0.214 0.004 -0.003 0.003 0.002 -0.031
(0.931) (0.099) (0.279) (0.000) (0.000) (0.109) (0.174) (0.292) (0.173) (0.031) (0.000)
DBR t-3 0.015 0.672 0.006 0.001 0.003 0.071 0.001 0.007 0.004 0.001 0.013
(0.767) (0.023) (0.001) (0.689) (0.579) (0.591) (0.687) (0.031) (0.057) (0.35) (0.121)
DDEXPO t-1 1.935 -25.471 -0.175 -0.160 -0.386 0.673 -0.568 -0.230 -0.219 0.006 -0.107
(0.422) (0.063) (0.036) (0.191) (0.124) (0.912) (0.000) (0.123) (0.028) (0.898) (0.79)
DDEXPO t-2 3.084 -32.64 -0.137 0.180 0.467 -5.324 -0.217 0.006 -0.161 0.075 0.142
(0.155) (0.008) (0.068) (0.101) (0.038) (0.331) (0.090) (0.962) (0.074) (0.086) (0.694)
DDEXPO t-3 3.835 6.164 -0.118 0.109 0.126 -9.010 -0.071 -0.29 -0.370 -0.069 0.112
(0.078) (0.617) (0.116) (0.324) (0.576) (0.101) (0.583) (0.031) (0.000) (0.118) (0.757)
DIMPO t-1 -3.063 3.672 0.191 -0.068 -0.008 0.318 -0.414 -0.062 -0.083 0.045 -0.068
(0.257) (0.811) (0.041) (0.619) (0.978) (0.963) (0.009) (0.710) (0.457) (0.404) (0.879)
DIMPO t-2 6.19 24.952 -0.110 -0.168 -0.463 0.740 -0.681 -0.374 0.121 0.052 -0.260
(0.021) (0.101) (0.235) (0.216) (0.097) (0.913) (0.000) (0.024) (0.276) (0.335) (0.560)
DIMPO t-3 -1.929 5.067 -0.034 0.075 0.371 23.872 -0.418 0.148 0.274 0.191 0.447
(0.482) (0.745) (0.717) (0.590) (0.193) (0.001) (0.010) (0.384) (0.016) (0.001) (0.327)
DDGFCF t-1 9.279 -49.021 -0.095 -0.344 -0.867 6.553 0.023 -0.571 -0.989 -0.062 -1.949
(0.037) (0.052) (0.538) (0.128) (0.061) (0.560) (0.931) (0.038) (0.000) (0.490) (0.008)
DDGFCF t-2 10.07 1.193 0.022 0.358 0.792 16.162 0.441 0.352 -0.830 -0.143 0.730
(0.049) (0.967) (0.902) (0.168) (0.135) (0.211) (0.144) (0.266) (0.000) (0.166) (0.389)
DDGFCF t-3 5.313 16.599 -0.268 0.202 0.375 21.072 0.810 -0.260 -0.946 -0.357 0.376
(0.181) (0.461) (0.052) (0.315) (0.363) (0.036) (0.001) (0.290) (0.000) (0.000) (0.568)
DDGCEX t-1 -5.447 20.881 -0.158 0.184 0.376 -19.279 1.018 0.482 -0.585 -0.929 2.022
(0.164) (0.347) (0.244) (0.353) (0.355) (0.051) (0.000) (0.047) (0.000) (0.000) (0.002)
DDGCEX t-2 -1.045 -6.474 -0.306 -0.095 -0.273 -40.553 0.635 -0.137 -0.482 -0.689 -0.805
(0.832) (0.817) (0.074) (0.705) (0.594) (0.001) (0.029) (0.655) (0.018) (0.000) (0.325)
DDGCEX t-3 0.613 28.241 0.109 -0.136 -0.438 -32.688 0.045 0.084 -0.458 -0.667 -0.473
(0.872) (0.190) (0.409) (0.480) (0.266) (0.001) (0.841) (0.721) (0.004) (0.000) (0.453)
DCOP t-1 0.646 7.816 0.076 0.049 0.135 -8.736 0.282 0.261 0.053 -0.008 0.167
(0.64) (0.318) (0.110) (0.486) (0.346) 0.012) (0.001) (0.002) (0.357) (0.770) (0.467)
DCOP t-2 -5.307 -6.184 0.041 -0.128 -0.269 7.464 0.098 -0.066 0.041 (0.000) -0.183
(0.000) (0.404) (0.370) (0.054) (0.047) (0.024) (0.202) (0.412) (0.448) (0.994) (0.398)
DCOP t-3 -2.265 1.618 0.069 -0.139 -0.382 -11.152 -0.024 -0.082 -0.009 0.023 -0.466
(0.143) (0.854) (0.199) (0.076) (0.017) (0.004) (0.796) (0.391) (0.886) (0.463) (0.069)

87
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CONSTANT 0.724 2.215 0.006 -0.003 -0.018 -0.708 0.036 0.048 0.013 0.008 -0.018
(0.008) (0.154) (0.524) (0.834) (0.529) (0.306) (0.026) (0.005) (0.238) (0.163) (0.692)
SOUTH AFRICA
DCPI t-1 0.156 -0.152 -0.003 0.001 -0.008 0.729 -0.017 -0.023 0.003 0.001 0.015
(0.323) (0.093) (0.748) (0.82) (0.407) (0.127) (0.131) (0.042) (0.431) (0.878) (0.497)
DCPI t-2 0.027 0.09 -0.002 0.016 0.016 0.158 -0.002 0.003 -0.004 0.003 -0.037
(0.87) (0.338) (0.826) (0.004) (0.108) (0.75) (0.872) (0.781) (0.236) (0.536) (0.105)
DCPI t-3 -0.121 0.049 0.012 0.003 0.004 0.426 -0.016 -0.004 -0.005 -0.003 -0.056
(0.39) (0.544) (0.138) (0.51) (0.594) (0.316) (0.101) (0.667) (0.129) (0.457) (0.004)
GDP t-1 0.707 1.273 0.039 0.018 0.024 -0.375 0.068 0.039 0.010 -0.009 0.127
(0.004) (0.000) (0.008) (0.030) (0.102) (0.614) (0.000) (0.025) (0.071) (0.217) (0.000)
GDP t-2 -0.336 -0.302 -0.061 -0.012 -0.021 0.996 -0.062 -0.023 -0.009 (0.000) -0.145
(0.356) (0.147) (0.005) (0.318) (0.339) (0.366) (0.017) (0.38) (0.301) (0.992) (0.004)
GDP t-3 -0.015 -0.073 0.016 -0.006 (0.000) -1.315 0.001 0.003 0.005 0.008 0.098
(0.946) (0.552) (0.221) (0.408) (0.988) (0.044) (0.944) (0.851) (0.269) (0.214) (0.001)
DNEER t-1 -7.531 -0.267 -0.169 -0.089 -0.029 3.104 0.002 0.020 0.197 0.063 -0.275
(0.003) (0.853) (0.264) (0.296) (0.844) (0.685) (0.991) (0.909) (0.001) (0.400) (0.435)
DNEER t-2 -1.635 -1.015 -0.159 -0.112 -0.316 8.366 0.361 0.600 -0.216 0.144 0.348
(0.562) (0.529) (0.346) (0.235) (0.058) (0.327) (0.072) (0.003) (0.001) (0.087) (0.377)
DNEER t-3 2.417 2.199 -0.108 0.231 0.228 -10.575 0.386 0.730 0.130 -0.168 0.843
(0.37) (0.154) (0.503) (0.011) (0.152) (0.195) (0.044) (0.000) (0.035) (0.036) (0.025)
DPLR t-1 2.304 -5.265 -0.715 0.254 1.234 -5.469 -0.068 0.204 0.058 -0.159 -0.828
(0.739) (0.183) (0.084) (0.274) (0.003) (0.794) (0.89) (0.677) (0.716) (0.441) (0.391)
DPLR t-2 -15.627 -4.296 0.072 -0.791 -0.747 31.109 0.011 0.303 0.015 -0.132 0.607
(0.024) (0.279) (0.863) (0.001) (0.069) (0.138) (0.982) (0.538) (0.924) (0.524) (0.530)
DPLR t-3 -8.671 -11.259 0.612 -0.560 -0.714 -11.483 0.533 0.632 0.250 0.163 1.648
(0.191) (0.003) (0.123) (0.012) (0.069) (0.567) (0.259) (0.179) (0.100) (0.410) (0.075)
DDR t-1 -0.005 5.889 0.310 0.191 -0.177 -9.121 0.363 0.175 0.089 0.108 0.030
(0.999) (0.007) (0.177) (0.139) (0.436) (0.433) (0.185) (0.521) (0.31) (0.348) (0.956)
DDR t-2 12.000 3.213 -0.292 0.403 0.236 -8.665 0.166 -0.112 -0.028 0.081 -0.127
(0.005) (0.193) (0.257) (0.005) (0.354) (0.506) (0.588) (0.714) (0.774) (0.527) (0.832)
DDR t-3 5.788 3.212 -0.410 0.370 0.488 -14.637 -0.029 -0.224 -0.034 -0.073 -0.391
(0.117) (0.128) (0.063) (0.003) (0.025) (0.19) (0.911) (0.392) (0.691) (0.504) (0.447)
DDBR t-1 0.002 0.022 0.008 (0.000) -0.001 -0.574 0.003 0.001 (0.000) (0.000) 0.012
 (0.961) (0.339) (0.001) (0.982) (0.789) (0.000) (0.238) (0.651) (0.800) (0.833) (0.039)
DDBR t-2 -0.033 -0.026 0.008 -0.001 -0.003 -0.407 -0.004 -0.006 -0.002 -0.001 0.016
(0.507) (0.367) (0.005) (0.705) (0.347) (0.007) (0.300) (0.083) (0.081) (0.458) (0.020)
DDBR t-3 -0.041 0.011 0.005 (0.000) 0.001 0.106 -0.001 -0.006 0.002 -0.003 0.013
(0.485) (0.749) (0.136) (0.99) (0.816) (0.556) (0.893) (0.173) (0.17) (0.118) (0.13)
DEXPO t-1 -5.641 2.029 -0.012 0.053 0.078 -18.382 -0.588 0.210 0.023 -0.027 -0.459
(0.013) (0.116) (0.927) (0.487) (0.559) (0.007) (0.000) (0.189) (0.659) (0.686) (0.146)
DEXPO t-2 1.903 1.154 0.104 0.056 0.071 2.728 -0.213 -0.261 0.026 -0.091 -0.001
(0.497) (0.471) (0.536) (0.552) (0.668) (0.747) (0.285) (0.189) (0.682) (0.274) (0.998)
DEXPO t-3 5.869 -1.019 0.076 -0.009 0.100 -7.424 -0.129 -0.286 -0.110 0.013 0.465
(0.012) (0.447) (0.585) (0.908) (0.472) (0.295) (0.441) (0.085) (0.040) (0.850) (0.155)
DIMPO t-1 -3.031 -0.252 -0.069 -0.133 -0.274 19.611 -0.048 -0.562 -0.008 0.007 -0.766
(0.194) (0.850) (0.621) (0.089) (0.047) (0.005) (0.772) (0.001) (0.878) (0.917) (0.018)
DIMPO t-2 -4.675 1.331 -0.072 0.052 0.043 4.395 -0.064 -0.001 0.016 0.107 -1.081
(0.068) (0.363) (0.639) (0.544) (0.778) (0.571) (0.726) (0.994) (0.781) (0.161) (0.002)
DIMPO t-3 -5.513 1.504 -0.064 0.071 0.009 7.083 0.077 0.158 -0.055 0.050 -0.514
(0.008) (0.202) (0.604) (0.308) (0.943) (0.257) (0.602) (0.279) (0.247) (0.419) (0.074)
DGFCF t-1 -6.483 -1.077 -0.046 0.476 0.593 33.507 -0.566 -0.971 0.478 -0.135 -1.067
(0.341) (0.782) (0.910) (0.038) (0.141) (0.104) (0.243) (0.044) (0.002) (0.505) (0.261)
DGFCF t-2 0.551 -6.945 0.495 -0.329 -0.476 37.906 -0.607 -0.961 -0.107 0.190 -1.864
(0.931) (0.055) (0.191) (0.122) (0.204) (0.048) (0.179) (0.033) (0.462) (0.315) (0.035)
DGFCF t-3 -10.189 6.010 0.212 0.262 0.481 -11.876 1.132 1.131 -0.227 -0.128 -0.746
(0.078) (0.069) (0.541) (0.177) (0.159) (0.497) (0.006) (0.006) (0.086) (0.458) (0.355)
DDGCEX t-1 3.609 2.485 0.266 0.218 0.592 32.235 -0.252 0.061 0.379 -1.128 0.534
(0.444) (0.357) (0.345) (0.169) (0.034) (0.024) (0.454) (0.856) (0.000) (0.000) (0.417)
DDGCEX t-2 -1.361 2.293 -0.059 0.018 0.277 10.396 -0.499 0.381 0.169 -1.050 -0.227
(0.728) (0.306) (0.800) (0.891) (0.232) (0.381) (0.074) (0.171) (0.059) (0.000) (0.678)
DDGCEX t-3 -5.698 0.599 -0.214 0.082 0.327 15.456 -0.491 -0.019 0.260 -0.869 -0.539
(0.254) (0.834) (0.475) (0.623) (0.268) (0.306) (0.167) (0.958) (0.023) (0.000) (0.439)
DCOP t-1 4.631 1.492 0.073 0.085 0.129 0.951 0.544 0.427 0.029 0.021 0.278
(0.000) (0.017) (0.267) (0.020) (0.046) (0.774) (0.000) (0.000) (0.241) (0.523) (0.068)
DCOP t-2 1.334 0.205 -0.074 0.013 0.122 -6.459 0.030 0.182 -0.033 0.034 0.277
(0.416) (0.827) (0.452) (0.816) (0.207) (0.193) (0.797) (0.118) (0.374) (0.488) (0.225)
DCOP t-3 -2.69 -1.307 -0.069 -0.232 -0.289 -10.312 -0.062 -0.077 0.068 -0.009 0.297
(0.142) (0.212) (0.530) (0.000) (0.008) (0.063) (0.636) (0.554) (0.102) (0.865) (0.245)

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CONSTANT -0.539 0.156 -0.009 -0.019 -0.032 0.615 0.019 0.001 0.009 0.002 -0.096
(0.051) (0.321) (0.578) (0.041) (0.051) (0.461) (0.329) (0.959) (0.166) (0.846) (0.012)
Notes: 1. Related P-values are showing in parentheses “( )”. 2. Significant at 95% confidence level.
Source: Own Calculations
Table 4.5: Granger Causality Test: CPI and All Explanatory Variables
S. Ho Rejected/
Null Hypothesis: F-Statistics P-Value Causality Inference
No. Not Rejected
BRAZIL
1 DGDP does not Granger Cause DCPI 0.599 0.618 Ho Not Rejected Exogeneity
2 DCPI does not Granger Cause DGDP 2.184 0.102 Ho Not Rejected
3 DNEER does not Granger Cause DCPI 2.608 0.062 Ho Not Rejected Exogeneity
4 DCPI does not Granger Cause DNEER 0.316 0.813 Ho Not Rejected
5 DPLR does not Granger Cause DCPI 2.898 0.045* Ho Rejected Unidirectional Causality
6 DCPI does not Granger Cause DPLR 0.476 0.700 Ho Not Rejected DPLR→DCPI
7 DDR does not Granger Cause DCPI 2.839 0.048* Ho Rejected Unidirectional Causality
8 DCPI does not Granger Cause DDR 0.440 0.725 Ho Not Rejected DDR→DCPI
9 BR does not Granger Cause DCPI 3.117 0.035* Ho Rejected Bidirectional Causality Feedback
10 DCPI does not Granger Cause BR 4.166 0.010* Ho Rejected
11 DDEXPO does not Granger Cause DCPI 0.237 0.869 Ho Not Rejected Exogeneity
12 DCPI does not Granger Cause DDEXPO 0.701 0.555 Ho Not Rejected
13 DIMPO does not Granger Cause DCPI 0.727 0.541 Ho Not Rejected Exogeneity
14 DCPI does not Granger Cause DIMPO 0.739 0.533 Ho Not Rejected
15 DGFCF does not Granger Cause DCPI 0.273 0.844 Ho Not Rejected Exogeneity
16 DCPI does not Granger Cause DGFCF 1.058 0.375 Ho Not Rejected
17 DGCEX does not Granger Cause DCPI 0.069 0.976 Ho Not Rejected Unidirectional Causality
18 DCPI does not Granger Cause DGCEX 2.669 0.058* Ho Rejected DCPI→DGCEX
19 DCOP does not Granger Cause DCPI 0.388 0.761 Ho Not Rejected Exogeneity
20 DCPI does not Granger Cause DCOP 0.782 0.509 Ho Not Rejected
21 DNEER does not Granger Cause DGDP 1.645 0.192 Ho Not Rejected Exogeneity
22 DGDP does not Granger Cause DNEER 0.471 0.703 Ho Not Rejected
23 DPLR does not Granger Cause DGDP 4.801 0.005* Ho Rejected Unidirectional Causality
24 DGDP does not Granger Cause DPLR 0.875 0.460 Ho Not Rejected DPLR→DGDP
25 DDR does not Granger Cause DGDP 6.919 0.000* Ho Rejected Unidirectional Causality

91
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26 DGDP does not Granger Cause DDR 1.090 0.362 Ho Not Rejected DDR→DGDP
27 BR does not Granger Cause DGDP 1.385 0.259 Ho Not Rejected Exogeneity
28 DGDP does not Granger Cause BR 1.571 0.209 Ho Not Rejected
29 DDEXPO does not Granger Cause DGDP 0.711 0.550 Ho Not Rejected Exogeneity
30 DGDP does not Granger Cause DDEXPO 1.314 0.281 Ho Not Rejected
31 DIMPO does not Granger Cause DGDP 1.480 0.232 Ho Not Rejected Exogeneity
32 DGDP does not Granger Cause DIMPO 1.651 0.190 Ho Not Rejected
33 DGFCF does not Granger Cause DGDP 2.789 0.051* Ho Rejected Unidirectional Causality
34 DGDP does not Granger Cause DGFCF 1.176 0.329 Ho Not Rejected DGFCF→DGDP
35 DGCEX does not Granger Cause DGDP 0.056 0.982 Ho Not Rejected Unidirectional Causality
36 DGDP does not Granger Cause DGCEX 2.868 0.046* Ho Rejected DGDP→DGCEX
37 DCOP does not Granger Cause DGDP 1.043 0.382 Ho Not Rejected Exogeneity
38 DGDP does not Granger Cause DCOP 0.119 0.948 Ho Not Rejected
39 DPLR does not Granger Cause DNEER 4.000 0.013* Ho Rejected Unidirectional Causality
40 DNEER does not Granger Cause DPLR 1.108 0.355 Ho Not Rejected DPLR→DNEER
41 DDR does not Granger Cause DNEER 1.307 0.283 Ho Not Rejected Exogeneity
42 DNEER does not Granger Cause DDR 0.266 0.849 Ho Not Rejected
43 BR does not Granger Cause DNEER 0.640 0.592 Ho Not Rejected Exogeneity
44 DNEER does not Granger Cause BR 2.625 0.061 Ho Not Rejected
45 DDEXPO does not Granger Cause DNEER 1.707 0.178 Ho Not Rejected Exogeneity
46 DNEER does not Granger Cause DDEXPO 1.582 0.206 Ho Not Rejected
47 DIMPO does not Granger Cause DNEER 1.008 0.397 Ho Not Rejected Unidirectional Causality
48 DNEER does not Granger Cause DIMPO 4.660 0.006* Ho Rejected DNEER→DIMPO
49 DGFCF does not Granger Cause DNEER 0.535 0.660 Ho Not Rejected Unidirectional Causality
50 DNEER does not Granger Cause DGFCF 4.105 0.011* Ho Rejected DNEER→DGFCF
51 DGCEX does not Granger Cause DNEER 1.185 0.325 Ho Not Rejected Exogeneity
52 DNEER does not Granger Cause DGCEX 1.044 0.381 Ho Not Rejected
53 DCOP does not Granger Cause DNEER 0.827 0.485 Ho Not Rejected Exogeneity
54 DNEER does not Granger Cause DCOP 0.252 0.859 Ho Not Rejected
55 DDR does not Granger Cause DPLR 4.720 0.005* Ho Rejected Unidirectional Causality
56 DPLR does not Granger Cause DDR 0.907 0.445 Ho Not Rejected DDR→DPLR
57 BR does not Granger Cause DPLR 1.170 0.331 Ho Not Rejected Exogeneity
58 DPLR does not Granger Cause BR 1.633 0.194 Ho Not Rejected
59 DDEXPO does not Granger Cause DPLR 1.254 0.301 Ho Not Rejected Exogeneity
60 DPLR does not Granger Cause DDEXPO 2.101 0.113 Ho Not Rejected
61 DIMPO does not Granger Cause DPLR 1.439 0.243 Ho Not Rejected Unidirectional Causality
62 DPLR does not Granger Cause DIMPO 3.396 0.025* Ho Rejected DPLR→DIMPO
63 DGFCF does not Granger Cause DPLR 1.744 0.171 Ho Not Rejected Unidirectional Causality
64 DPLR does not Granger Cause DGFCF 6.109 0.001* Ho Rejected DPLR→DGFCF
65 DGCEX does not Granger Cause DPLR 0.246 0.863 Ho Not Rejected Exogeneity
66 DPLR does not Granger Cause DGCEX 1.122 0.349 Ho Not Rejected
67 DCOP does not Granger Cause DPLR 0.614 0.609 Ho Not Rejected Exogeneity
68 DPLR does not Granger Cause DCOP 1.854 0.150 Ho Not Rejected
69 BR does not Granger Cause DDR 2.136 0.108 Ho Not Rejected Exogeneity
70 DDR does not Granger Cause BR 4.656 0.006* Ho Rejected
71 DDEXPO does not Granger Cause DDR 1.112 0.353 Ho Not Rejected Unidirectional Causality
72 DDR does not Granger Cause DDEXPO 3.307 0.028* Ho Rejected DDR→DDEXPO
73 DIMPO does not Granger Cause DDR 0.492 0.689 Ho Not Rejected Unidirectional Causality
74 DDR does not Granger Cause DIMPO 3.300 0.028* Ho Rejected DDR→DIMPO
75 DGFCF does not Granger Cause DDR 0.171 0.915 Ho Not Rejected Unidirectional Causality
76 DDR does not Granger Cause DGFCF 2.952 0.042* Ho Rejected DDR→DGFCF
77 DGCEX does not Granger Cause DDR 2.229 0.097 Ho Not Rejected Exogeneity
78 DDR does not Granger Cause DGCEX 1.296 0.287 Ho Not Rejected
79 DCOP does not Granger Cause DDR 1.016 0.394 Ho Not Rejected Exogeneity
80 DDR does not Granger Cause DCOP 1.573 0.208 Ho Not Rejected
81 DDEXPO does not Granger Cause BR 0.224 0.878 Ho Not Rejected Exogeneity
82 BR does not Granger Cause DDEXPO 0.186 0.904 Ho Not Rejected
83 DIMPO does not Granger Cause BR 0.841 0.478 Ho Not Rejected Exogeneity
84 BR does not Granger Cause DIMPO 1.972 0.131 Ho Not Rejected
85 DGFCF does not Granger Cause BR 0.317 0.812 Ho Not Rejected Unidirectional Causality
86 BR does not Granger Cause DGFCF 3.838 0.015* Ho Rejected BR→DGFCF
87 DGCEX does not Granger Cause BR 0.296 0.827 Ho Not Rejected Unidirectional Causality
88 BR does not Granger Cause DGCEX 3.662 0.018* Ho Rejected BR→DGCEX
89 DCOP does not Granger Cause BR 0.694 0.560 Ho Not Rejected Exogeneity

93
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90 BR does not Granger Cause DCOP 0.943 0.427 Ho Not Rejected

91 DIMPO does not Granger Cause DDEXPO 4.352 0.008* Ho Rejected Bidirectional Causality
92 DDEXPO does not Granger Cause DIMPO 5.281 0.003* Ho Rejected Feedback
93 DGFCF does not Granger Cause DDEXPO 2.377 0.082 Ho Not Rejected Unidirectional Causality
94 DDEXPO does not Granger Cause DGFCF 5.296 0.003* Ho Rejected DDEXPO→DGFCF
95 DGCEX does not Granger Cause DDEXPO 4.222 0.010* Ho Rejected Bidirectional Causality
96 DDEXPO does not Granger Cause DGCEX 4.892 0.004* Ho Rejected Feedback
97 DCOP does not Granger Cause DDEXPO 2.687 0.057* Ho Rejected Unidirectional Causality
98 DDEXPO does not Granger Cause DCOP 1.472 0.234 Ho Not Rejected DCOP→DDEXPO
99 DGFCF does not Granger Cause DIMPO 4.057 0.012* Ho Rejected Unidirectional Causality
100 DIMPO does not Granger Cause DGFCF 1.211 0.316 Ho Not Rejected DGFCF→DIMPO
101 DGCEX does not Granger Cause DIMPO 5.354 0.003* Ho Rejected Bidirectional Causality
102 DIMPO does not Granger Cause DGCEX 4.746 0.005* Ho Rejected Feedback
103 DCOP does not Granger Cause DIMPO 10.623 0.000* Ho Rejected Unidirectional Causality
104 DIMPO does not Granger Cause DCOP 0.830 0.484 Ho Not Rejected DCOP→DIMPO
105 DGCEX does not Granger Cause DGFCF 6.831 0.000* Ho Rejected Unidirectional Causality
106 DGFCF does not Granger Cause DGCEX 2.060 0.118 Ho Not Rejected DGCEX→DGFCF
107 DCOP does not Granger Cause DGFCF 2.511 0.070 Ho Not Rejected Exogeneity
108 DGFCF does not Granger Cause DCOP 0.323 0.808 Ho Not Rejected
109 DCOP does not Granger Cause DGCEX 2.797 0.050* Ho Rejected Unidirectional Causality
110 DGCEX does not Granger Cause DCOP 1.486 0.230 Ho Not Rejected DCOP→DGCEX
RUSSIA
1 GDP does not Granger Cause DCPI 0.598 0.618 Ho Not Rejected Exogeneity
2 DCPI does not Granger Cause GDP 0.999 0.401 Ho Not Rejected
3 DNEER does not Granger Cause DCPI 0.895 0.450 Ho Not Rejected Exogeneity
4 DCPI does not Granger Cause DNEER 1.695 0.181 Ho Not Rejected
5 DPLR does not Granger Cause DCPI 0.906 0.445 Ho Not Rejected Exogeneity
6 DCPI does not Granger Cause DPLR 1.182 0.327 Ho Not Rejected
7 DDR does not Granger Cause DCPI 0.433 0.730 Ho Not Rejected Exogeneity
8 DCPI does not Granger Cause DDR 0.743 0.531 Ho Not Rejected
9 BR does not Granger Cause DCPI 0.026 0.994 Ho Not Rejected Exogeneity
10 DCPI does not Granger Cause BR 2.183 0.102 Ho Not Rejected
11 DDEXPO does not Granger Cause DCPI 0.145 0.932 Ho Not Rejected Exogeneity
12 DCPI does not Granger Cause DDEXPO 1.088 0.363 Ho Not Rejected
13 DDIMPO does not Granger Cause DCPI 0.085 0.967 Ho Not Rejected Exogeneity
14 DCPI does not Granger Cause DDIMPO 0.551 0.649 Ho Not Rejected
15 DDGFCF does not Granger Cause DCPI 0.315 0.814 Ho Not Rejected Exogeneity
16 DCPI does not Granger Cause DDGFCF 0.775 0.513 Ho Not Rejected
17 DDGCEX does not Granger Cause DCPI 1.024 0.390 Ho Not Rejected Exogeneity
18 DCPI does not Granger Cause DDGCEX 1.507 0.225 Ho Not Rejected
19 DCOP does not Granger Cause DCPI 0.596 0.620 Ho Not Rejected Unidirectional Causality
20 DCPI does not Granger Cause DCOP 3.540 0.021* Ho Rejected DCPI→DCOP
21 DNEER does not Granger Cause GDP 1.481 0.231 Ho Not Rejected Exogeneity
22 GDP does not Granger Cause DNEER 0.973 0.413 Ho Not Rejected
23 DPLR does not Granger Cause GDP 4.260 0.009* Ho Rejected Unidirectional Causality
24 GDP does not Granger Cause DPLR 1.331 0.275 Ho Not Rejected DPLR→GDP
25 DDR does not Granger Cause GDP 1.685 0.183 Ho Not Rejected Exogeneity
26 GDP does not Granger Cause DDR 1.556 0.212 Ho Not Rejected
27 BR does not Granger Cause GDP 5.099 0.003* Ho Rejected Unidirectional Causality
28 GDP does not Granger Cause BR 2.227 0.097 Ho Not Rejected BR→GDP
29 DDEXPO does not Granger Cause GDP 3.571 0.021* Ho Rejected Unidirectional Causality
30 GDP does not Granger Cause DDEXPO 1.513 0.223 Ho Not Rejected DDEXPO→GDP
31 DDIMPO does not Granger Cause GDP 1.472 0.234 Ho Not Rejected Unidirectional Causality
32 GDP does not Granger Cause DDIMPO 5.268 0.003* Ho Rejected GDP→DDIMPO
33 DDGFCF does not Granger Cause GDP 0.594 0.621 Ho Not Rejected Exogeneity
34 GDP does not Granger Cause DDGFCF 0.641 0.592 Ho Not Rejected
35 DDGCEX does not Granger Cause GDP 0.881 0.457 Ho Not Rejected Unidirectional Causality
36 GDP does not Granger Cause DDGCEX 3.589 0.020* Ho Rejected GDP→DDGCEX
37 DCOP does not Granger Cause GDP 12.640 0.000* Ho Rejected Unidirectional Causality
38 GDP does not Granger Cause DCOP 0.316 0.813 Ho Not Rejected DCOP→GDP
39 DPLR does not Granger Cause DNEER 2.643 0.060 Ho Not Rejected Exogeneity
40 DNEER does not Granger Cause DPLR 2.534 0.068 Ho Not Rejected
41 DDR does not Granger Cause DNEER 0.599 0.618 Ho Not Rejected Exogeneity
42 DNEER does not Granger Cause DDR 0.323 0.808 Ho Not Rejected

95
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43 BR does not Granger Cause DNEER 1.030 0.388 Ho Not Rejected Exogeneity
44 DNEER does not Granger Cause BR 2.151 0.106 Ho Not Rejected
45 DDEXPO does not Granger Cause DNEER 0.848 0.474 Ho Not Rejected Exogeneity
46 DNEER does not Granger Cause DDEXPO 0.852 0.472 Ho Not Rejected
47 DDIMPO does not Granger Cause DNEER 0.314 0.814 Ho Not Rejected Exogeneity
48 DNEER does not Granger Cause DDIMPO 0.763 0.520 Ho Not Rejected
49 DDGFCF does not Granger Cause DNEER 1.321 0.278 Ho Not Rejected Exogeneity
50 DNEER does not Granger Cause DDGFCF 1.050 0.379 Ho Not Rejected
51 DDGCEX does not Granger Cause DNEER 0.653 0.585 Ho Not Rejected Exogeneity
52 DNEER does not Granger Cause DDGCEX 0.114 0.951 Ho Not Rejected
53 DCOP does not Granger Cause DNEER 3.364 0.026* Ho Rejected Unidirectional Causality
54 DNEER does not Granger Cause DCOP 1.114 0.352 Ho Not Rejected DCOP→DNEER
55 DDR does not Granger Cause DPLR 1.407 0.252 Ho Not Rejected Unidirectional Causality
56 DPLR does not Granger Cause DDR 2.892 0.045* Ho Rejected DPLR→DDR
57 BR does not Granger Cause DPLR 2.615 0.062 Ho Not Rejected Exogeneity
58 DPLR does not Granger Cause BR 2.023 0.123 Ho Not Rejected
59 DDEXPO does not Granger Cause DPLR 1.276 0.293 Ho Not Rejected Exogeneity
60 DPLR does not Granger Cause DDEXPO 0.490 0.690 Ho Not Rejected
61 DDIMPO does not Granger Cause DPLR 1.847 0.151 Ho Not Rejected Unidirectional Causality
62 DPLR does not Granger Cause DDIMPO 4.797 0.005* Ho Rejected DPLR→DDIMPO
63 DDGFCF does not Granger Cause DPLR 2.433 0.076 Ho Not Rejected Exogeneity
64 DPLR does not Granger Cause DDGFCF 0.779 0.511 Ho Not Rejected
65 DDGCEX does not Granger Cause DPLR 3.504 0.022* Ho Rejected Unidirectional Causality
66 DPLR does not Granger Cause DDGCEX 2.545 0.067 Ho Not Rejected DDGCEX →DPLR
67 DCOP does not Granger Cause DPLR 1.642 0.192 Ho Not Rejected Exogeneity
68 DPLR does not Granger Cause DCOP 2.189 0.102 Ho Not Rejected
69 BR does not Granger Cause DDR 3.160 0.033* Ho Rejected Unidirectional Causality
70 DDR does not Granger Cause BR 1.108 0.355 Ho Not Rejected BR→DDR
71 DDEXPO does not Granger Cause DDR 0.482 0.695 Ho Not Rejected Exogeneity
72 DDR does not Granger Cause DDEXPO 0.333 0.801 Ho Not Rejected
73 DDIMPO does not Granger Cause DDR 0.961 0.419 Ho Not Rejected Unidirectional Causality
74 DDR does not Granger Cause DDIMPO 3.447 0.024* Ho Rejected DDR→DDIMPO
75 DDGFCF does not Granger Cause DDR 2.691 0.057* Ho Rejected Unidirectional Causality
76 DDR does not Granger Cause DDGFCF 0.723 0.543 Ho Not Rejected DDGFCF→DDR
77 DDGCEX does not Granger Cause DDR 1.506 0.225 Ho Not Rejected Exogeneity
78 DDR does not Granger Cause DDGCEX 1.663 0.188 Ho Not Rejected
79 DCOP does not Granger Cause DDR 0.191 0.901 Ho Not Rejected Exogeneity
80 DDR does not Granger Cause DCOP 0.483 0.695 Ho Not Rejected
81 DDEXPO does not Granger Cause BR 0.721 0.544 Ho Not Rejected Exogeneity
82 BR does not Granger Cause DDEXPO 0.656 0.583 Ho Not Rejected
83 DDIMPO does not Granger Cause BR 0.360 0.781 Ho Not Rejected Exogeneity
84 BR does not Granger Cause DDIMPO 1.549 0.214 Ho Not Rejected
85 DDGFCF does not Granger Cause BR 0.204 0.893 Ho Not Rejected Exogeneity
86 BR does not Granger Cause DDGFCF 0.424 0.736 Ho Not Rejected
87 DDGCEX does not Granger Cause BR 0.052 0.983 Ho Not Rejected Exogeneity
88 BR does not Granger Cause DDGCEX 0.945 0.426 Ho Not Rejected
89 DCOP does not Granger Cause BR 0.463 0.709 Ho Not Rejected Exogeneity
90 BR does not Granger Cause DCOP 0.934 0.431 Ho Not Rejected
91 DDIMPO does not Granger Cause DDEXPO 5.934 0.001* Ho Rejected Bidirectional Causality
92 DDEXPO does not Granger Cause DDIMPO 8.375 0.000* Ho Rejected Feedback
93 DDGFCF does not Granger Cause DDEXPO 8.676 0.000* Ho Rejected Unidirectional Causality
94 DDEXPO does not Granger Cause DDGFCF 1.375 0.262 Ho Not Rejected DDGFCF→DDEXPO
95 DDGCEX does not Granger Cause DDEXPO 1.707 0.178 Ho Not Rejected Exogeneity
96 DDEXPO does not Granger Cause DDGCEX 0.772 0.515 Ho Not Rejected
97 DCOP does not Granger Cause DDEXPO 9.019 0.000* Ho Rejected Unidirectional Causality
98 DDEXPO does not Granger Cause DCOP 0.488 0.692 Ho Not Rejected DCOP→DDEXPO
99 DDGFCF does not Granger Cause DDIMPO 8.360 0.000* Ho Rejected Unidirectional Causality
100 DDIMPO does not Granger Cause DDGFCF 1.395 0.256 Ho Not Rejected DDGFCF→DDIMPO
101 DDGCEX does not Granger Cause DDIMPO 2.112 0.111 Ho Not Rejected Exogeneity
102 DDIMPO does not Granger Cause DDGCEX 0.463 0.708 Ho Not Rejected
103 DCOP does not Granger Cause DDIMPO 9.394 0.000* Ho Rejected Unidirectional Causality
104 DDIMPO does not Granger Cause DCOP 1.176 0.329 Ho Not Rejected DCOP→DDIMPO
105 DDGCEX does not Granger Cause DDGFCF 0.840 0.478 Ho Not Rejected Exogeneity
106 DDGFCF does not Granger Cause DDGCEX 0.185 0.905 Ho Not Rejected

97
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107 DCOP does not Granger Cause DDGFCF 1.141 0.342 Ho Not Rejected Exogeneity
108 DDGFCF does not Granger Cause DCOP 0.934 0.431 Ho Not Rejected
109 DCOP does not Granger Cause DDGCEX 4.582 0.006* Ho Rejected Bidirectional Causality
110 DDGCEX does not Granger Cause DCOP 3.395 0.025* Ho Rejected Feedback
INDIA
1 DGDP does not Granger Cause DCPI 0.115 0.950 Ho Not Rejected Exogeneity
2 DCPI does not Granger Cause DGDP 0.413 0.743 Ho Not Rejected
3 DNEER does not Granger Cause DCPI 2.101 0.113 Ho Not Rejected Exogeneity
4 DCPI does not Granger Cause DNEER 1.850 0.151 Ho Not Rejected
5 DPLR does not Granger Cause DCPI 0.177 0.911 Ho Not Rejected Exogeneity
6 DCPI does not Granger Cause DPLR 1.298 0.286 Ho Not Rejected
7 DDR does not Granger Cause DCPI 0.539 0.657 Ho Not Rejected Exogeneity
8 DCPI does not Granger Cause DDR 0.300 0.825 Ho Not Rejected
9 DBR does not Granger Cause DCPI 0.717 0.546 Ho Not Rejected Exogeneity
10 DCPI does not Granger Cause DBR 0.289 0.832 Ho Not Rejected
11 DEXPO does not Granger Cause DCPI 0.055 0.982 Ho Not Rejected Exogeneity
12 DCPI does not Granger Cause DEXPO 1.217 0.314 Ho Not Rejected
13 DIMPO does not Granger Cause DCPI 0.904 0.446 Ho Not Rejected Exogeneity
14 DCPI does not Granger Cause DIMPO 0.739 0.533 Ho Not Rejected
15 DGFCF does not Granger Cause DCPI 0.795 0.502 Ho Not Rejected Exogeneity
16 DCPI does not Granger Cause DGFCF 0.574 0.634 Ho Not Rejected
17 DGCEX does not Granger Cause DCPI 0.142 0.933 Ho Not Rejected Exogeneity
18 DCPI does not Granger Cause DGCEX 0.950 0.424 Ho Not Rejected
19 DCOP does not Granger Cause DCPI 0.538 0.658 Ho Not Rejected Exogeneity
20 DCPI does not Granger Cause DCOP 1.628 0.195 Ho Not Rejected
21 DNEER does not Granger Cause DGDP 0.110 0.953 Ho Not Rejected Exogeneity
22 DGDP does not Granger Cause DNEER 1.029 0.388 Ho Not Rejected
23 DPLR does not Granger Cause DGDP 1.129 0.347 Ho Not Rejected Exogeneity
24 DGDP does not Granger Cause DPLR 0.416 0.742 Ho Not Rejected
25 DDR does not Granger Cause DGDP 1.562 0.211 Ho Not Rejected Exogeneity
26 DGDP does not Granger Cause DDR 1.485 0.230 Ho Not Rejected
27 DBR does not Granger Cause DGDP 0.107 0.955 Ho Not Rejected Unidirectional Causality
28 DGDP does not Granger Cause DBR 3.955 0.013* Ho Rejected DGDP→DBR
29 DEXPO does not Granger Cause DGDP 1.172 0.330 Ho Not Rejected Exogeneity
30 DGDP does not Granger Cause DEXPO 0.790 0.505 Ho Not Rejected
31 DIMPO does not Granger Cause DGDP 1.151 0.338 Ho Not Rejected Unidirectional Causality
32 DGDP does not Granger Cause DIMPO 2.741 0.053* Ho Rejected DGDP→DIMPO
33 DGFCF does not Granger Cause DGDP 0.641 0.592 Ho Not Rejected Exogeneity
34 DGDP does not Granger Cause DGFCF 1.906 0.141 Ho Not Rejected
35 DGCEX does not Granger Cause DGDP 0.756 0.524 Ho Not Rejected Exogeneity
36 DGDP does not Granger Cause DGCEX 0.757 0.523 Ho Not Rejected
37 DCOP does not Granger Cause DGDP 0.699 0.557 Ho Not Rejected Exogeneity
38 DGDP does not Granger Cause DCOP 1.541 0.216 Ho Not Rejected
39 DPLR does not Granger Cause DNEER 0.843 0.477 Ho Not Rejected Exogeneity
40 DNEER does not Granger Cause DPLR 0.415 0.742 Ho Not Rejected
41 DDR does not Granger Cause DNEER 0.286 0.835 Ho Not Rejected Exogeneity
42 DNEER does not Granger Cause DDR 0.386 0.763 Ho Not Rejected
43 DBR does not Granger Cause DNEER 0.701 0.555 Ho Not Rejected Exogeneity
44 DNEER does not Granger Cause DBR 0.866 0.465 Ho Not Rejected
45 DEXPO does not Granger Cause DNEER 0.390 0.760 Ho Not Rejected Exogeneity
46 DNEER does not Granger Cause DEXPO 1.312 0.281 Ho Not Rejected
47 DIMPO does not Granger Cause DNEER 0.165 0.919 Ho Not Rejected Exogeneity
48 DNEER does not Granger Cause DIMPO 1.203 0.319 Ho Not Rejected
49 DGFCF does not Granger Cause DNEER 6.512 0.000* Ho Rejected Unidirectional Causality
50 DNEER does not Granger Cause DGFCF 0.209 0.889 Ho Not Rejected DGFCF→DNEER
51 DGCEX does not Granger Cause DNEER 0.677 0.570 Ho Not Rejected Exogeneity
52 DNEER does not Granger Cause DGCEX 1.263 0.297 Ho Not Rejected
53 DCOP does not Granger Cause DNEER 0.483 0.695 Ho Not Rejected Exogeneity
54 DNEER does not Granger Cause DCOP 0.792 0.504 Ho Not Rejected
55 DDR does not Granger Cause DPLR 3.132 0.034* Ho Rejected Unidirectional Causality
56 DPLR does not Granger Cause DDR 1.623 0.196 Ho Not Rejected DDR→DPLR
57 DBR does not Granger Cause DPLR 1.605 0.201 Ho Not Rejected Exogeneity
58 DPLR does not Granger Cause DBR 0.425 0.735 Ho Not Rejected
59 DEXPO does not Granger Cause DPLR 0.160 0.922 Ho Not Rejected Exogeneity

99
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60 DPLR does not Granger Cause DEXPO 1.517 0.222 Ho Not Rejected
61 DIMPO does not Granger Cause DPLR 0.529 0.664 Ho Not Rejected Exogeneity
62 DPLR does not Granger Cause DIMPO 0.630 0.599 Ho Not Rejected
63 DGFCF does not Granger Cause DPLR 2.162 0.105 Ho Not Rejected Exogeneity
64 DPLR does not Granger Cause DGFCF 1.243 0.304 Ho Not Rejected
65 DGCEX does not Granger Cause DPLR 0.197 0.897 Ho Not Rejected Exogeneity
66 DPLR does not Granger Cause DGCEX 0.177 0.911 Ho Not Rejected
67 DCOP does not Granger Cause DPLR 0.422 0.738 Ho Not Rejected Exogeneity
68 DPLR does not Granger Cause DCOP 0.665 0.577 Ho Not Rejected
69 DBR does not Granger Cause DDR 2.098 0.113 Ho Not Rejected Exogeneity
70 DDR does not Granger Cause DBR 1.001 0.400 Ho Not Rejected
71 DEXPO does not Granger Cause DDR 2.435 0.076 Ho Not Rejected Exogeneity
72 DDR does not Granger Cause DEXPO 0.654 0.584 Ho Not Rejected
73 DIMPO does not Granger Cause DDR 1.386 0.258 Ho Not Rejected Exogeneity
74 DDR does not Granger Cause DIMPO 1.419 0.249 Ho Not Rejected
75 DGFCF does not Granger Cause DDR 0.918 0.439 Ho Not Rejected Exogeneity
76 DDR does not Granger Cause DGFCF 0.061 0.979 Ho Not Rejected
77 DGCEX does not Granger Cause DDR 0.307 0.819 Ho Not Rejected Exogeneity
78 DDR does not Granger Cause DGCEX 0.222 0.880 Ho Not Rejected
79 DCOP does not Granger Cause DDR 1.188 0.324 Ho Not Rejected Exogeneity
80 DDR does not Granger Cause DCOP 1.041 0.383 Ho Not Rejected
81 DEXPO does not Granger Cause DBR 0.173 0.913 Ho Not Rejected Exogeneity
82 DBR does not Granger Cause DEXPO 0.204 0.892 Ho Not Rejected
83 DIMPO does not Granger Cause DBR 0.340 0.795 Ho Not Rejected Exogeneity
84 DBR does not Granger Cause DIMPO 1.017 0.393 Ho Not Rejected
85 DGFCF does not Granger Cause DBR 0.385 0.764 Ho Not Rejected Exogeneity
86 DBR does not Granger Cause DGFCF 1.413 0.251 Ho Not Rejected
87 DGCEX does not Granger Cause DBR 0.009 0.998 Ho Not Rejected Exogeneity
88 DBR does not Granger Cause DGCEX 0.287 0.834 Ho Not Rejected
89 DCOP does not Granger Cause DBR 0.366 0.777 Ho Not Rejected Exogeneity
90 DBR does not Granger Cause DCOP 0.568 0.638 Ho Not Rejected
91 DIMPO does not Granger Cause DEXPO 0.406 0.749 Ho Not Rejected Unidirectional Causality
 92 DEXPO does not Granger Cause DIMPO 6.392 0.001* Ho Rejected DEXPO→DIMPO
93 DGFCF does not Granger Cause DEXPO 5.157 0.003* Ho Rejected Bidirectional Causality
94 DEXPO does not Granger Cause DGFCF 3.081 0.036* Ho Rejected Feedback
95 DGCEX does not Granger Cause DEXPO 1.366 0.264 Ho Not Rejected Exogeneity
96 DEXPO does not Granger Cause DGCEX 0.431 0.731 Ho Not Rejected
97 DCOP does not Granger Cause DEXPO 2.384 0.081 Ho Not Rejected Exogeneity
98 DEXPO does not Granger Cause DCOP 1.044 0.382 Ho Not Rejected
99 DGFCF does not Granger Cause DIMPO 2.634 0.061 Ho Not Rejected Exogeneity
100 DIMPO does not Granger Cause DGFCF 0.744 0.530 Ho Not Rejected
101 DGCEX does not Granger Cause DIMPO 0.963 0.418 Ho Not Rejected Exogeneity
102 DIMPO does not Granger Cause DGCEX 0.037 0.990 Ho Not Rejected
103 DCOP does not Granger Cause DIMPO 7.500 0.000* Ho Rejected Unidirectional Causality
104 DIMPO does not Granger Cause DCOP 0.867 0.464 Ho Not Rejected DCOP→DIMPO
105 DGCEX does not Granger Cause DGFCF 3.118 0.035* Ho Rejected Unidirectional Causality
106 DGFCF does not Granger Cause DGCEX 1.006 0.398 Ho Not Rejected DGCEX→DGFCF
107 DCOP does not Granger Cause DGFCF 1.983 0.129 Ho Not Rejected Exogeneity
108 DGFCF does not Granger Cause DCOP 2.055 0.119 Ho Not Rejected
109 DCOP does not Granger Cause DGCEX 0.083 0.969 Ho Not Rejected Exogeneity
110 DGCEX does not Granger Cause DCOP 1.474 0.233 Ho Not Rejected
CHINA Mainland
1 GDP does not Granger Cause CPI 0.415 0.742 Ho Not Rejected Exogeneity
2 CPI does not Granger Cause GDP 0.158 0.923 Ho Not Rejected
3 DNEER does not Granger Cause CPI 0.267 0.848 Ho Not Rejected Exogeneity
4 CPI does not Granger Cause DNEER 2.092 0.114 Ho Not Rejected
5 DPLR does not Granger Cause CPI 1.816 0.157 Ho Not Rejected Exogeneity
6 CPI does not Granger Cause DPLR 2.066 0.117 Ho Not Rejected
7 DDR does not Granger Cause CPI 2.404 0.079 Ho Not Rejected Exogeneity
8 CPI does not Granger Cause DDR 1.928 0.138 Ho Not Rejected
9 DBR does not Granger Cause CPI 0.055 0.982 Ho Not Rejected Unidirectional Causality
10 CPI does not Granger Cause DBR 3.379 0.026* Ho Rejected CPI→DBR
11 DDEXPO does not Granger Cause CPI 0.097 0.960 Ho Not Rejected Exogeneity
12 CPI does not Granger Cause DDEXPO 2.311 0.088 Ho Not Rejected

101
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13 DIMPO does not Granger Cause CPI 0.255 0.857 Ho Not Rejected Unidirectional Causality
14 CPI does not Granger Cause DIMPO 5.870 0.001* Ho Rejected CPI→DIMPO
15 DDGFCF does not Granger Cause CPI 0.073 0.974 Ho Not Rejected Exogeneity
16 CPI does not Granger Cause DDGFCF 0.710 0.550 Ho Not Rejected
17 DDGCEX does not Granger Cause CPI 0.282 0.837 Ho Not Rejected Unidirectional Causality
18 CPI does not Granger Cause DDGCEX 2.806 0.050* Ho Rejected CPI→DDGCEX
19 DCOP does not Granger Cause CPI 2.020 0.124 Ho Not Rejected Exogeneity
20 CPI does not Granger Cause DCOP 1.558 0.212 Ho Not Rejected
21 DNEER does not Granger Cause GDP 3.972 0.013* Ho Rejected Unidirectional Causality
22 GDP does not Granger Cause DNEER 1.493 0.228 Ho Not Rejected DNEER→GDP
23 DPLR does not Granger Cause GDP 0.203 0.893 Ho Not Rejected Exogeneity
24 GDP does not Granger Cause DPLR 1.631 0.195 Ho Not Rejected
25 DDR does not Granger Cause GDP 0.240 0.867 Ho Not Rejected Exogeneity
26 GDP does not Granger Cause DDR 1.964 0.132 Ho Not Rejected
27 DBR does not Granger Cause GDP 0.058 0.981 Ho Not Rejected Exogeneity
28 GDP does not Granger Cause DBR 0.811 0.493 Ho Not Rejected
29 DDEXPO does not Granger Cause GDP 0.475 0.701 Ho Not Rejected Exogeneity
30 GDP does not Granger Cause DDEXPO 0.254 0.857 Ho Not Rejected
31 DIMPO does not Granger Cause GDP 0.396 0.756 Ho Not Rejected Exogeneity
32 GDP does not Granger Cause DIMPO 2.311 0.088 Ho Not Rejected
33 DDGFCF does not Granger Cause GDP 0.139 0.935 Ho Not Rejected Exogeneity
34 GDP does not Granger Cause DDGFCF 0.143 0.933 Ho Not Rejected
35 DDGCEX does not Granger Cause GDP 0.229 0.875 Ho Not Rejected Exogeneity
36 GDP does not Granger Cause DDGCEX 0.235 0.871 Ho Not Rejected
37 DCOP does not Granger Cause GDP 0.056 0.982 Ho Not Rejected Exogeneity
38 GDP does not Granger Cause DCOP 2.534 0.068 Ho Not Rejected
39 DPLR does not Granger Cause DNEER 1.162 0.334 Ho Not Rejected Exogeneity
40 DNEER does not Granger Cause DPLR 1.066 0.372 Ho Not Rejected
41 DDR does not Granger Cause DNEER 1.095 0.360 Ho Not Rejected Exogeneity
42 DNEER does not Granger Cause DDR 1.178 0.328 Ho Not Rejected
43 DBR does not Granger Cause DNEER 0.856 0.470 Ho Not Rejected Unidirectional Causality
44 DNEER does not Granger Cause DBR 3.117 0.035* Ho Rejected DNEER→DBR
45 DDEXPO does not Granger Cause DNEER 0.230 0.874 Ho Not Rejected Unidirectional Causality
46 DNEER does not Granger Cause DDEXPO 3.651 0.019* Ho Rejected DNEER→DDEXPO
47 DIMPO does not Granger Cause DNEER 0.087 0.966 Ho Not Rejected Unidirectional Causality
48 DNEER does not Granger Cause DIMPO 3.536 0.021* Ho Rejected DNEER→DIMPO
49 DDGFCF does not Granger Cause DNEER 0.235 0.871 Ho Not Rejected Exogeneity
50 DNEER does not Granger Cause DDGFCF 0.246 0.863 Ho Not Rejected
51 DDGCEX does not Granger Cause DNEER 0.216 0.884 Ho Not Rejected Exogeneity
52 DNEER does not Granger Cause DDGCEX 2.173 0.104 Ho Not Rejected
53 DCOP does not Granger Cause DNEER 1.145 0.340 Ho Not Rejected Exogeneity
54 DNEER does not Granger Cause DCOP 1.095 0.360 Ho Not Rejected
55 DDR does not Granger Cause DPLR 2.975 0.041* Ho Rejected Bidirectional Causality
56 DPLR does not Granger Cause DDR 3.427 0.024* Ho Rejected Feedback
57 DBR does not Granger Cause DPLR 1.800 0.160 Ho Not Rejected Unidirectional Causality
58 DPLR does not Granger Cause DBR 2.996 0.040* Ho Rejected DPLR→DBR
59 DDEXPO does not Granger Cause DPLR 0.546 0.653 Ho Not Rejected Unidirectional Causality
60 DPLR does not Granger Cause DDEXPO 2.947 0.042* Ho Rejected DPLR→DDEXPO
61 DIMPO does not Granger Cause DPLR 0.442 0.723 Ho Not Rejected Unidirectional Causality
62 DPLR does not Granger Cause DIMPO 6.160 0.001* Ho Rejected DPLR→DIMPO
63 DDGFCF does not Granger Cause DPLR 1.096 0.360 Ho Not Rejected Exogeneity
64 DPLR does not Granger Cause DDGFCF 0.039 0.989 Ho Not Rejected
65 DDGCEX does not Granger Cause DPLR 0.923 0.436 Ho Not Rejected Exogeneity
66 DPLR does not Granger Cause DDGCEX 2.115 0.111 Ho Not Rejected
67 DCOP does not Granger Cause DPLR 1.046 0.381 Ho Not Rejected Unidirectional Causality
68 DPLR does not Granger Cause DCOP 2.652 0.059* Ho Rejected DPLR→DCOP
69 DBR does not Granger Cause DDR 0.967 0.416 Ho Not Rejected Unidirectional Causality
70 DDR does not Granger Cause DBR 2.764 0.052* Ho Rejected DDR→DBR
71 DDEXPO does not Granger Cause DDR 0.358 0.783 Ho Not Rejected Exogeneity
72 DDR does not Granger Cause DDEXPO 2.232 0.097 Ho Not Rejected
73 DIMPO does not Granger Cause DDR 0.424 0.736 Ho Not Rejected Unidirectional Causality
74 DDR does not Granger Cause DIMPO 3.675 0.018* Ho Rejected DDR→DIMPO
75 DDGFCF does not Granger Cause DDR 0.949 0.424 Ho Not Rejected Exogeneity
76 DDR does not Granger Cause DDGFCF 0.072 0.974 Ho Not Rejected

103
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77 DDGCEX does not Granger Cause DDR 0.860 0.468 Ho Not Rejected Exogeneity
78 DDR does not Granger Cause DDGCEX 2.638 0.060 Ho Not Rejected
79 DCOP does not Granger Cause DDR 1.051 0.379 Ho Not Rejected Exogeneity
80 DDR does not Granger Cause DCOP 1.677 0.184 Ho Not Rejected
81 DDEXPO does not Granger Cause DBR 0.847 0.475 Ho Not Rejected Exogeneity
82 DBR does not Granger Cause DDEXPO 2.603 0.063 Ho Not Rejected
83 DIMPO does not Granger Cause DBR 1.461 0.237 Ho Not Rejected Exogeneity
84 DBR does not Granger Cause DIMPO 0.921 0.437 Ho Not Rejected
85 DDGFCF does not Granger Cause DBR 0.053 0.983 Ho Not Rejected Exogeneity
86 DBR does not Granger Cause DDGFCF 0.430 0.732 Ho Not Rejected
87 DDGCEX does not Granger Cause DBR 0.076 0.972 Ho Not Rejected Exogeneity
88 DBR does not Granger Cause DDGCEX 0.272 0.845 Ho Not Rejected
89 DCOP does not Granger Cause DBR 2.268 0.093 Ho Not Rejected Exogeneity
90 DBR does not Granger Cause DCOP 0.378 0.768 Ho Not Rejected
91 DIMPO does not Granger Cause DDEXPO 2.852 0.047* Ho Rejected Bidirectional Causality
92 DDEXPO does not Granger Cause DIMPO 6.466 0.001* Ho Rejected Feedback
93 DDGFCF does not Granger Cause DDEXPO 6.728 0.000* Ho Rejected Unidirectional Causality
94 DDEXPO does not Granger Cause DDGFCF 1.286 0.290 Ho Not Rejected DDGFCF→DDEXPO
95 DDGCEX does not Granger Cause DDEXPO 5.787 0.001* Ho Rejected Bidirectional Causality
96 DDEXPO does not Granger Cause DDGCEX 5.868 0.001* Ho Rejected Feedback
97 DCOP does not Granger Cause DDEXPO 4.874 0.005* Ho Rejected Unidirectional Causality
98 DDEXPO does not Granger Cause DCOP 1.380 0.260 Ho Not Rejected DCOP→DDEXPO
99 DDGFCF does not Granger Cause DIMPO 6.963 0.000* Ho Rejected Unidirectional Causality
100 DIMPO does not Granger Cause DDGFCF 1.893 0.143 Ho Not Rejected DDGFCF→DIMPO
101 DDGCEX does not Granger Cause DIMPO 6.464 0.001* Ho Rejected Bidirectional Causality
102 DIMPO does not Granger Cause DDGCEX 2.670 0.058* Ho Rejected Feedback
103 DCOP does not Granger Cause DIMPO 5.194 0.003* Ho Rejected Unidirectional Causality
104 DIMPO does not Granger Cause DCOP 1.136 0.344 Ho Not Rejected DCOP→DIMPO
105 DDGCEX does not Granger Cause DDGFCF 0.327 0.805 Ho Not Rejected Unidirectional Causality
106 DDGFCF does not Granger Cause DDGCEX 4.648 0.006* Ho Rejected DDGFCF→DDGCEX
107 DCOP does not Granger Cause DDGFCF 0.233 0.872 Ho Not Rejected Exogeneity
108 DDGFCF does not Granger Cause DCOP 1.274 0.294 Ho Not Rejected
 109 DCOP does not Granger Cause DDGCEX 0.843 0.477 Ho Not Rejected Exogeneity
110 DDGCEX does not Granger Cause DCOP 1.432 0.245 Ho Not Rejected
SOUTH AFRICA
1 GDP does not Granger Cause DCPI 1.760 0.168 Ho Not Rejected Exogeneity
2 DCPI does not Granger Cause GDP 2.552 0.067 Ho Not Rejected
3 DNEER does not Granger Cause DCPI 2.859 0.047* Ho Rejected Unidirectional Causality
4 DCPI does not Granger Cause DNEER 1.153 0.337 Ho Not Rejected DNEER→DCPI
5 DPLR does not Granger Cause DCPI 0.974 0.413 Ho Not Rejected Unidirectional Causality
6 DCPI does not Granger Cause DPLR 5.006 0.004* Ho Rejected DCPI→DPLR
7 DDR does not Granger Cause DCPI 0.558 0.644 Ho Not Rejected Unidirectional Causality
8 DCPI does not Granger Cause DDR 4.467 0.007* Ho Rejected DCPI→DDR
9 DDBR does not Granger Cause DCPI 1.316 0.280 Ho Not Rejected Exogeneity
10 DCPI does not Granger Cause DDBR 1.906 0.141 Ho Not Rejected
11 DEXPO does not Granger Cause DCPI 0.344 0.793 Ho Not Rejected Exogeneity
12 DCPI does not Granger Cause DEXPO 0.868 0.464 Ho Not Rejected
13 DIMPO does not Granger Cause DCPI 0.119 0.948 Ho Not Rejected Exogeneity
14 DCPI does not Granger Cause DIMPO 1.303 0.284 Ho Not Rejected
15 DGFCF does not Granger Cause DCPI 1.284 0.290 Ho Not Rejected Exogeneity
16 DCPI does not Granger Cause DGFCF 2.099 0.113 Ho Not Rejected
17 DDGCEX does not Granger Cause DCPI 0.145 0.931 Ho Not Rejected Exogeneity
18 DCPI does not Granger Cause DDGCEX 0.240 0.867 Ho Not Rejected
19 DCOP does not Granger Cause DCPI 0.475 0.700 Ho Not Rejected Exogeneity
20 DCPI does not Granger Cause DCOP 1.001 0.400 Ho Not Rejected
21 DNEER does not Granger Cause GDP 1.278 0.293 Ho Not Rejected Exogeneity
22 GDP does not Granger Cause DNEER 1.213 0.315 Ho Not Rejected
23 DPLR does not Granger Cause GDP 5.293 0.003* Ho Rejected Unidirectional Causality
24 GDP does not Granger Cause DPLR 0.898 0.449 Ho Not Rejected DPLR→GDP
25 DDR does not Granger Cause GDP 3.680 0.018* Ho Rejected Unidirectional Causality
26 GDP does not Granger Cause DDR 1.198 0.321 Ho Not Rejected DDR→GDP
27 DDBR does not Granger Cause GDP 1.221 0.312 Ho Not Rejected Exogeneity
28 GDP does not Granger Cause DDBR 1.305 0.284 Ho Not Rejected
29 DEXPO does not Granger Cause GDP 2.454 0.075 Ho Not Rejected Unidirectional Causality

105
 106

30 GDP does not Granger Cause DEXPO 3.721 0.017* Ho Rejected GDP→DEXPO
31 DIMPO does not Granger Cause GDP 2.460 0.074 Ho Not Rejected Exogeneity
32 GDP does not Granger Cause DIMPO 0.803 0.498 Ho Not Rejected
33 DGFCF does not Granger Cause GDP 2.991 0.040* Ho Rejected Bidirectional Causality
34 GDP does not Granger Cause DGFCF 4.034 0.012* Ho Rejected Feedback
35 DDGCEX does not Granger Cause GDP 0.748 0.528 Ho Not Rejected Unidirectional Causality
36 GDP does not Granger Cause DDGCEX 3.232 0.030* Ho Rejected GDP→DDGCEX
37 DCOP does not Granger Cause GDP 4.409 0.008* Ho Rejected Unidirectional Causality
38 GDP does not Granger Cause DCOP 1.398 0.255 Ho Not Rejected DCOP→GDP
39 DPLR does not Granger Cause DNEER 0.421 0.738 Ho Not Rejected Exogeneity
40 DNEER does not Granger Cause DPLR 0.692 0.561 Ho Not Rejected
41 DDR does not Granger Cause DNEER 0.341 0.795 Ho Not Rejected Exogeneity
42 DNEER does not Granger Cause DDR 0.628 0.600 Ho Not Rejected
43 DDBR does not Granger Cause DNEER 2.849 0.047* Ho Rejected Unidirectional Causality
44 DNEER does not Granger Cause DDBR 0.716 0.547 Ho Not Rejected DDBR→DNEER
45 DEXPO does not Granger Cause DNEER 1.367 0.264 Ho Not Rejected Exogeneity
46 DNEER does not Granger Cause DEXPO 1.410 0.251 Ho Not Rejected
47 DIMPO does not Granger Cause DNEER 1.079 0.367 Ho Not Rejected Unidirectional Causality
48 DNEER does not Granger Cause DIMPO 2.792 0.050* Ho Rejected DNEER→DIMPO
49 DGFCF does not Granger Cause DNEER 1.789 0.162 Ho Not Rejected Unidirectional Causality
50 DNEER does not Granger Cause DGFCF 2.919 0.044* Ho Rejected DNEER→DGFCF
51 DDGCEX does not Granger Cause DNEER 0.291 0.831 Ho Not Rejected Exogeneity
52 DNEER does not Granger Cause DDGCEX 1.866 0.148 Ho Not Rejected
53 DCOP does not Granger Cause DNEER 1.104 0.356 Ho Not Rejected Exogeneity
54 DNEER does not Granger Cause DCOP 1.855 0.150 Ho Not Rejected
55 DDR does not Granger Cause DPLR 3.189 0.032* Ho Rejected Bidirectional Causality
56 DPLR does not Granger Cause DDR 10.537 0.000* Ho Rejected Feedback
57 DDBR does not Granger Cause DPLR 0.298 0.826 Ho Not Rejected Exogeneity
58 DPLR does not Granger Cause DDBR 1.670 0.186 Ho Not Rejected
59 DEXPO does not Granger Cause DPLR 2.451 0.075 Ho Not Rejected Exogeneity
60 DPLR does not Granger Cause DEXPO 0.233 0.872 Ho Not Rejected
61 DIMPO does not Granger Cause DPLR 0.968 0.416 Ho Not Rejected Exogeneity
62 DPLR does not Granger Cause DIMPO 0.660 0.580 Ho Not Rejected
63 DGFCF does not Granger Cause DPLR 4.097 0.011* Ho Rejected Unidirectional Causality
64 DPLR does not Granger Cause DGFCF 0.754 0.525 Ho Not Rejected DGFCF→DPLR
65 DDGCEX does not Granger Cause DPLR 0.910 0.443 Ho Not Rejected Exogeneity
66 DPLR does not Granger Cause DDGCEX 0.709 0.551 Ho Not Rejected
67 DCOP does not Granger Cause DPLR 6.255 0.001* Ho Rejected Unidirectional Causality
68 DPLR does not Granger Cause DCOP 0.844 0.476 Ho Not Rejected DCOP→DPLR
69 DDBR does not Granger Cause DDR 1.745 0.170 Ho Not Rejected Exogeneity
70 DDR does not Granger Cause DDBR 0.931 0.433 Ho Not Rejected
71 DEXPO does not Granger Cause DDR 1.900 0.142 Ho Not Rejected Exogeneity
72 DDR does not Granger Cause DEXPO 0.460 0.711 Ho Not Rejected
73 DIMPO does not Granger Cause DDR 1.768 0.166 Ho Not Rejected Exogeneity
74 DDR does not Granger Cause DIMPO 0.812 0.493 Ho Not Rejected
75 DGFCF does not Granger Cause DDR 2.475 0.073 Ho Not Rejected Exogeneity
76 DDR does not Granger Cause DGFCF 0.804 0.498 Ho Not Rejected
77 DDGCEX does not Granger Cause DDR 0.111 0.953 Ho Not Rejected Exogeneity
78 DDR does not Granger Cause DDGCEX 0.139 0.936 Ho Not Rejected
79 DCOP does not Granger Cause DDR 5.025 0.004* Ho Rejected Unidirectional Causality
80 DDR does not Granger Cause DCOP 1.079 0.367 Ho Not Rejected DCOP→DDR
81 DEXPO does not Granger Cause DDBR 1.611 0.199 Ho Not Rejected Exogeneity
82 DDBR does not Granger Cause DEXPO 0.725 0.542 Ho Not Rejected
83 DIMPO does not Granger Cause DDBR 0.537 0.659 Ho Not Rejected Exogeneity
84 DDBR does not Granger Cause DIMPO 1.025 0.390 Ho Not Rejected
85 DGFCF does not Granger Cause DDBR 1.415 0.250 Ho Not Rejected Exogeneity
86 DDBR does not Granger Cause DGFCF 0.405 0.749 Ho Not Rejected
87 DDGCEX does not Granger Cause DDBR 0.351 0.788 Ho Not Rejected Exogeneity
88 DDBR does not Granger Cause DDGCEX 0.692 0.561 Ho Not Rejected
89 DCOP does not Granger Cause DDBR 0.696 0.559 Ho Not Rejected Exogeneity
90 DDBR does not Granger Cause DCOP 0.988 0.406 Ho Not Rejected
91 DIMPO does not Granger Cause DEXPO 1.527 0.220 Ho Not Rejected Exogeneity
92 DEXPO does not Granger Cause DIMPO 2.390 0.080 Ho Not Rejected
93 DGFCF does not Granger Cause DEXPO 0.646 0.588 Ho Not Rejected Unidirectional Causality

107
 108

94 DEXPO does not Granger Cause DGFCF 3.035 0.038* Ho Rejected DEXPO→DGFCF
95 DDGCEX does not Granger Cause DEXPO 2.549 0.067 Ho Not Rejected Exogeneity
96 DEXPO does not Granger Cause DDGCEX 0.640 0.592 Ho Not Rejected
97 DCOP does not Granger Cause DEXPO 8.145 0.000* Ho Rejected Unidirectional Causality
98 DEXPO does not Granger Cause DCOP 0.370 0.774 Ho Not Rejected DCOP→DEXPO
99 DGFCF does not Granger Cause DIMPO 1.742 0.171 Ho Not Rejected Exogeneity
100 DIMPO does not Granger Cause DGFCF 2.313 0.088 Ho Not Rejected
101 DDGCEX does not Granger Cause DIMPO 0.336 0.798 Ho Not Rejected Exogeneity
102 DIMPO does not Granger Cause DDGCEX 0.418 0.740 Ho Not Rejected
103 DCOP does not Granger Cause DIMPO 5.924 0.001* Ho Rejected Unidirectional Causality
104 DIMPO does not Granger Cause DCOP 0.127 0.943 Ho Not Rejected DCOP→DIMPO
105 DDGCEX does not Granger Cause DGFCF 1.195 0.322 Ho Not Rejected Exogeneity
106 DGFCF does not Granger Cause DDGCEX 0.294 0.829 Ho Not Rejected
107 DCOP does not Granger Cause DGFCF 5.414 0.002* Ho Rejected Unidirectional Causality
108 DGFCF does not Granger Cause DCOP 0.876 0.460 Ho Not Rejected DCOP→DGFCF
109 DCOP does not Granger Cause DDGCEX 0.412 0.745 Ho Not Rejected Exogeneity
110 DDGCEX does not Granger Cause DCOP  1.305 0.283 Ho Not Rejected
Note: * denotes rejection of null hypothesis at 95% confidence level.
 Table 4.6: Variance Decomposition of CPI
Period S.E. DCPI DGDP DNEER DPLR DDR BR DDEXPO DIMPO DGFCF DGCEX DCOP
BRAZIL
1  1.203586  100.0000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000
2  1.988782  94.17482  0.010309  2.619028  1.804476  0.104786  0.014616  0.502458  0.037035  0.193567  0.318348  0.220553
3  2.462075  85.03763  3.042021  5.599409  2.261497  0.091866  1.048701  0.347672  0.125374  0.327071  1.088456  1.030300
4  2.825925  78.92149  7.249351  5.904520  1.716645  0.137469  1.645940  0.434234  0.207190  0.253102  1.468338  2.061721
5  3.055540  77.04410  8.497129  5.943925  1.644615  0.142741  1.883831  0.430784  0.182398  0.219860  1.574452  2.436169
6  3.227056  76.68782  8.234603  6.084297  1.477895  0.263872  2.322216  0.386215  0.246048  0.222586  1.657827  2.416620
7  3.420782  76.87178  7.731713  6.404274  1.331046  0.270104  2.465041  0.430861  0.345520  0.226083  1.645443  2.278141
8  3.643001  77.24879  7.452504  6.732961  1.197466  0.238410  2.371592  0.385480  0.369470  0.215393  1.600862  2.187073
9  3.856579  77.05155  7.683819  6.919969  1.093326  0.213133  2.284554  0.364888  0.350679  0.202145  1.628351  2.207584
10  4.044360  76.70808  7.996314  6.852466  0.996370  0.209641  2.330913  0.345768  0.361712  0.190738  1.714780  2.293218
RUSSIA
1  1.415481  100.0000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000
2  1.791479  87.14064  0.017777  0.213508  1.599239  4.775886  0.228860  2.237323  0.002803  0.005841  3.680143  0.097985
3  1.911181  81.56033  2.278330  0.271213  1.888923  4.237078  0.663822  2.427543  0.346168  0.032068  6.076487  0.218040
4  2.070529  69.93539  6.949056  0.299139  4.814046  4.468999  0.617036  3.959377  1.515333  0.201284  7.049531  0.190810
5  2.169005  64.02640  7.739693  1.218034  4.584274  4.480008  0.620881  8.447673  1.785130  0.296800  6.581822  0.219287
6  2.289164  63.39389  7.421789  2.295533  4.870002  4.579625  0.607886  7.961059  2.323782  0.356326  5.956024  0.234084
7  2.449563  59.98258  7.036030  4.004194  5.239807  6.539569  1.089871  8.123649  2.072097  0.312762  5.394951  0.204489
8  2.484645  59.07077  7.533412  3.915617  6.096706  6.359636  1.150732  7.912691  2.151855  0.311274  5.284595  0.212710
9  2.675915  54.77506  6.728249  6.629638  5.733675  5.635540  1.071944  8.448923  2.031267  0.416046  7.989752  0.539908
10  2.697018  53.92280  6.815580  6.782698  5.659170  5.860028  1.110199  8.770880  2.090598  0.509749  7.884995  0.593300
INDIA
1  2.396200  100.0000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000
2  2.496366  93.88914  0.192778  0.742353  2.007575  0.962834  1.072110  5.14E-06  0.693032  0.071719  0.354668  0.013781

109
 110

3  2.702989  80.54399  2.977595  8.512198  1.746599  0.822202  2.825123  0.357132  0.641973  0.080243  0.630474  0.862476
4  2.825712  73.81272  2.819717  8.068789  1.754001  2.776054  3.388917  0.402590  2.564319  2.090085  1.525078  0.797727
5  2.974073  68.41273  3.420695  7.313782  1.654621  2.632155  3.138417  0.441344  4.743967  5.001154  2.162818  1.078318
6  3.030496  66.26634  3.866826  7.878516  1.811443  2.976102  3.176597  0.688956  4.788411  5.151496  2.264600  1.130713
7  3.070086  64.59152  3.848157  8.069361  1.811821  2.902609  3.486440  1.031943  5.359066  5.021775  2.534417  1.342885
8  3.093761  63.74214  4.066990  7.949267  1.948292  2.875569  4.012211  1.204660  5.365763  4.993512  2.519158  1.322434
9  3.122656  62.84248  4.129427  7.833805  1.969273  3.130765  4.115554  1.707951  5.295076  4.919002  2.719635  1.337030
10  3.140007  62.81529  4.156812  7.813413  1.948952  3.099017  4.109812  1.789450  5.268448  4.916178  2.713277  1.369351
CHINA Mainland
1  0.866824  100.0000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000
2  1.280414  92.59667  0.660437  0.287541  1.398515  0.727516  0.173835  0.300874  0.000724  3.531381  0.243875  0.078633
3  1.599046  83.58887  0.725064  0.777032  7.897419  1.792503  0.866285  0.387458  0.012306  2.278885  0.357638  1.316542
4  1.845612  69.75134  0.881368  3.397961  12.46960  4.911439  2.574528  0.734716  0.208429  1.743820  0.767304  2.559503
5  2.073901  55.24773  0.823618  10.09752  14.24146  4.972804  4.977705  1.316450  0.807972  2.476315  0.912351  4.126077
6  2.272811  47.43276  0.830395  16.48951  14.42849  4.155226  5.592441  1.507848  1.050101  2.985837  0.840148  4.687239
7  2.423850  45.28987  1.054819  17.19385  14.59178  4.664285  5.533342  1.703381  1.056547  3.774209  0.739044  4.398871
8  2.560078  44.16135  1.247255  16.41203  13.98773  8.262873  4.960826  1.572362  0.972132  3.634002  0.785822  4.003619
9  2.709889  42.91914  1.370355  14.67347  13.77136  12.26581  4.611753  1.404514  0.924158  3.310472  0.860862  3.888111
10  2.823042  41.66109  1.286034  13.52089  13.56266  14.32189  4.510912  1.328542  1.212390  3.075969  0.949056  4.570566
SOUTH AFRICA
1  1.065237  100.0000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000  0.000000
2  1.474703  58.37680  7.836031  22.32627  0.324250  1.189422  0.102795  0.002120  0.117900  2.114156  0.021074  7.589189
3  1.633540  50.02204  6.647704  24.89892  0.284234  4.132181  2.359805  0.007798  3.579399  1.742979  0.086844  6.238101
4  1.699059  46.44195  7.361478  23.01595  0.594591  4.673190  2.338146  0.007321  3.916767  5.295014  0.185344  6.170249
5  1.857929  47.13342  7.011539  19.62267  1.069995  5.880131  2.821330  0.716210  4.501865  5.898285  0.182253  5.162308
6  1.939512  44.21575  6.488825  19.98310  2.696224  5.969259  3.336860  2.324065  4.435931  5.625100  0.187138  4.737750
7  1.982215  43.27359  6.478793  19.87645  2.594201  5.718609  3.200247  2.229034  6.429727  5.461336  0.179191  4.558816
 8  2.030080  42.23513  7.122034  20.19058  2.620279  5.620738  3.072608  2.452440  6.146653  5.264721  0.173036  5.101774
9  2.082818  40.53497  7.920746  21.23444  2.741352  5.459091  3.518752  2.367030  5.901619  5.009127  0.174471  5.138405
10  2.123307  39.77743  7.709921  22.21707  2.849299  5.717782  3.700279  2.320488  5.719816  4.857951  0.168298  4.961661
Source: Own Calculations

111
 112

Figure 4.0: IMPULSE RESPONSE FUNCTION OF BRAZIL

Figure 4.1: IMPULSE RESPONSE FUNCTION OF RUSSIA

Response to Chol esky One S.D. Innovati ons ± 2 S.E.

Response of DCPI to DCPI Response of DCPI to GDP Response of DCPI to DNEER Response of DCPI to DPLR
2 2 2 2

1 1 1 1

0 0 0 0

-1 -1 -1 -1

-2 -2 -2 -2
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of DCPI to DDR Response of DCPI to BR Response of DCPI to DDEXPO Response of DCPI to DDIMPO
2 2 2 2

1 1 1 1

0 0 0 0

-1 -1 -1 -1

-2 -2 -2 -2
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of DCPI to DDGFCF Response of DCPI to DDGCEX Response of DCPI to DCOP

2 2 2

1 1 1

0 0 0

-1 -1 -1

-2 -2 -2
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

113
 114

Figure 4.2: IMPULSE RESPONSE FUNCTION OF INDIA

Response to Cholesky One S.D. Innovations ± 2 S.E.

Response of DCPI to DCPI Response of DCPI to DGDP Response of DCPI to DNEER Response of DCPI to DPLR
3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0

-1 -1 -1 -1

-2 -2 -2 -2
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of DCPI to DDR Response of DCPI to DBR Response of DCPI to DEXPO Response of DCPI to DIMPO
3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0

-1 -1 -1 -1

-2 -2 -2 -2
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of DCPI to DGFCF Response of DCPI to DGCEX Response of DCPI to DCOP

3 3 3

2 2 2

1 1 1

0 0 0

-1 -1 -1

-2 -2 -2
1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10
Figure 4.3: IMPULSE RESPONSE FUNCTION OF CHINA MAINLAND

Response to Cholesky One S.D. Innovations ± 2 S.E.

Response of CPI to CPI Response of CPI to GDP Response of CPI to DNEER Response of CPI to DPLR
1.5 1.5 1.5 1.5

1.0 1.0 1.0 1.0

0.5 0.5 0.5 0.5

0.0 0.0 0.0 0.0

-0.5 -0.5 -0.5 -0.5

-1.0 -1.0 -1.0 -1.0

-1.5 -1.5 -1.5 -1.5

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of CPI to DDR Response of CPI to DBR Response of CPI to DDEXPO Response of CPI to DIMPO
1.5 1.5 1.5 1.5

1.0 1.0 1.0 1.0

0.5 0.5 0.5 0.5

0.0 0.0 0.0 0.0

-0.5 -0.5 -0.5 -0.5

-1.0 -1.0 -1.0 -1.0

-1.5 -1.5 -1.5 -1.5

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of CPI to DDGFCF Response of CPI to DDGCEX Response of CPI to DCOP

1.5 1.5 1.5

1.0 1.0 1.0

0.5 0.5 0.5

0.0 0.0 0.0

-0.5 -0.5 -0.5

-1.0 -1.0 -1.0

-1.5 -1.5 -1.5

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

115
 116

Figure 4.4: IMPULSE RESPONSE FUNCTION OF SOUTH AFRICA

Response to Chol esky One S.D. Innovati ons ± 2 S.E.

Response of DCPI to DCPI Response of DCPI to GDP Response of DCPI to DNEER Response of DCPI to DPLR
1.5 1.5 1.5 1.5

1.0 1.0 1.0 1.0

0.5 0.5 0.5 0.5

0.0 0.0 0.0 0.0

-0.5 -0.5 -0.5 -0.5

-1.0 -1.0 -1.0 -1.0

-1.5 -1.5 -1.5 -1.5

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of DCPI to DDR Response of DCPI to DDBR Response of DCPI to DEXPO Response of DCPI to DIMPO
1.5 1.5 1.5 1.5

1.0 1.0 1.0 1.0

0.5 0.5 0.5 0.5

0.0 0.0 0.0 0.0

-0.5 -0.5 -0.5 -0.5

-1.0 -1.0 -1.0 -1.0

-1.5 -1.5 -1.5 -1.5

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10

Response of DCPI to DGFCF Response of DCPI to DDGCEX Response of DCPI to DCOP

1.5 1.5 1.5

1.0 1.0 1.0

0.5 0.5 0.5

0.0 0.0 0.0

-0.5 -0.5 -0.5

-1.0 -1.0 -1.0

-1.5 -1.5 -1.5

1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10