T.

Bill
12.65
12.83
11.94
12.47
12.39
12.44
13.30
13.97
12.02
10.61
11.31
11.10
11.82
12.72
12.70
12.70
12.77
12.94
13.16

15.53
16.88
16.92
15.62
13.52
15.10
15.98
14.74
13.43
12.37
11.26
10.87
10.20
7.77
7.18
7.58
10.96
11.16
12.01
10.85
8.83
6.39
6.39
6.39
5.14
3.04
1.70

CPI
48.58
50.17
51.71
52.54
53.21
54.84
56.81
58.39
59.50
61.51
63.60
66.24
68.14
69.00
71.51
73.17
74.71
76.39
78.59
81.37
84.44
86.31
87.16
88.54
89.52
91.31
93.01
94.18
94.65
95.14
96.08
97.39
97.81
99.21
100.72
102.26
102.20
102.54
103.48

104.38
104.84
105.91
107.56
107.83
108.14
108.41

IP
94.48
73.53
69.57
90.27
98.16
76.14
71.66
92.84
103.52
79.81
70.96
89.43
102.35
86.64
74.30
98.79
105.69
83.33
76.76
93.87
104.70
79.30
76.65
97.39
122.10
87.07
80.26
99.05
126.54
91.45
83.81
109.07
112.12
91.74
90.49
105.65
133.19
101.29
98.53
108.04
140.02
110.54
97.17
115.72
154.92
116.85

KSE100 index
1,269.00
1,545.00
1,251.00
1,244.00
1,136.00
1,264.00
1,340.00
2,164.00
2,540.00
2,331.00
2,257.00
2,049.00
1,655.00
1,611.70
1,655.64
1,497.75
1,548.01
1,703.28
1,385.06
1,339.93
1,574.70
1,565.73
1,849.70
1,753.82
1,553.06
879.62
1,111.50
945.24
1,056.75
1,054.67
1,199.29
1,408.91
1,999.69
1,520.70
1,564.78
1,507.59
1,324.41
1,366.44
1,133.44
1,273.07
1,868.11
1,770.11
2,018.75
2,701.42
2,715.71
3,402.47

T.Bill return CPI return IP return

0.01412896
-0.07216849
0.04370807
-0.00643606
0.00402739
0.06709504
0.0486638
-0.15037858
-0.12418942
0.06387109
-0.01873666
0.0628298
0.0731034
-0.00131376
-0.00051969
0.0054981
0.01322801
0.01711369
0.16559171
0.08355133
0.0023664
-0.08035052
-0.1444149
0.11076879
0.0566432
-0.0805492
-0.09329773
-0.08221682
-0.09401756
-0.03524992
-0.06394256
-0.27136549
-0.07893558
0.05418935
0.36829986
0.01778793
0.07342461
-0.10129975
-0.20644844
-0.3226225
-0.00079346
0.00033499
-0.21683773
-0.52500993
-0.58339581

0.0323076
0.0301406
0.0158743
0.0126742
0.0301752
0.0353878
0.0273901
0.0188805
0.0332496
0.0334161
0.0405292
0.0282965
0.0126398
0.0356858
0.0229769
0.020864
0.0221343
0.0283708
0.0348269
0.036974
0.0219101
0.009859
0.0157031
0.0109618
0.0198823
0.0183986
0.0124977
0.0049992
0.0051877
0.0098417
0.0134473
0.0043884
0.0141661
0.0150859
0.0152138
-0.000597
0.0032725
0.0091742
0.0086693
0.0044163
0.0101446
0.0154496
0.0024978
0.0029078
0.0024936

-0.25069
-0.05543
0.260537
0.083821
-0.2541
-0.06062
0.25897
0.108911
-0.26017
-0.1175
0.231284
0.134963
-0.16666
-0.15359
0.284837
0.067529
-0.23766
-0.08214
0.201192
0.109186
-0.27791
-0.0339
0.239484
0.226081
-0.33816
-0.0814
0.2103
0.244995
-0.32482
-0.08719
0.263412
0.027554
-0.20057
-0.0137
0.1549
0.231587
-0.27381
-0.02756
0.092124
0.259248
-0.23641
-0.12885
0.174703
0.291703
-0.28201

1.21
1.51
1.69
2.00
2.72
3.55
4.82
7.62
8.07
8.21
8.29
8.36
8.70
8.81
8.82
8.90
9.06
9.18

109.48
112.55
113.48
116.18
119.54
122.05
124.34
127.66
129.87
132.09
134.16
136.57
140.82
143.12
143.87
146.28
150.78
155.89

122.00

136.51
159.03
151.21
140.39
162.89
180.92
174.05
167.16
178.27
202.03
201.68
186.84
188.36
213.50
215.19
198.52
192.26

4,027.34
4,471.60
5,106.66
5,280.96
5,217.87
6,218.46
7,770.52
7,524.39
8,225.66
9,556.61
11,485.90
9,989.41
10,512.52
10,040.50
11,271.59
13,772.46
13,353.68
14,077.16

-0.33574337
0.21565557
0.11247897
0.17019813
0.30985186
0.26540434
0.30573745
0.45762666
0.05763841
0.01760832
0.00920143
0.00801005
0.04064569
0.01218173
0.00075681
0.00940703
0.01781784
0.01315808

0.0097481
0.0277278
0.0081759
0.0234973
0.0285029
0.0208216
0.0185568
0.0263907
0.0171248
0.0169425
0.01558
0.0177897
0.03066
0.0161731
0.0052408
0.0165992
0.0303069
0.0333425

0.043163
0.112329
0.152697
-0.05044
-0.07423
0.148691
0.104967
-0.03871
-0.04039
0.064336
0.125128
-0.00174
-0.07641
0.008086
0.125296
0.007866
-0.0806
-0.03206

KSE 100 return

0.196794722
-0.211080679
-0.005611237
-0.090818674
0.106767975
0.058388318
0.479288747
0.16020572
-0.085866721
-0.032260862
-0.096684629
-0.21355086
-0.026511486
0.026898118
-0.100223659
0.033006253
0.095585569
-0.206812344
-0.033126086
0.161447404
-0.005712609
0.166671295
-0.053227198
-0.121569088
-0.568492461
0.233975737
-0.16202687
0.111514576
-0.001970239
0.128501793
0.161086641
0.350175813
-0.273821413
0.028574484
-0.03723289
-0.129545272
0.03124174
-0.186951561
0.11617405
0.383495918
-0.053885533
0.131436816
0.291299053
0.005275869
0.225448209

LN Tbill
2.537657
2.551786
2.479618
2.523326
2.51689
2.520917
2.588012
2.636676
2.486297
2.362108
2.425979
2.407242
2.470072
2.543176
2.541862
2.541342
2.54684
2.560068
2.577182
2.742774
2.826325
2.828691
2.748341
2.603926
2.714695
2.771338
2.690789
2.597491
2.515274
2.421257
2.386007
2.322064
2.050699
1.971763
2.025952
2.394252
2.41204
2.485465
2.384165
2.177717
1.855094
1.854301
1.854636
1.637798
1.112788
0.529392

LN CPI
3.883191
3.915499
3.94564
3.961514
3.974188
4.004363
4.039751
4.067141
4.086022
4.119271
4.152687
4.193217
4.221513
4.234153
4.269839
4.292816
4.31368
4.335814
4.364185
4.399012
4.435986
4.457896
4.467755
4.483458
4.49442
4.514302
4.532701
4.545198
4.550197
4.555385
4.565227
4.578674
4.583063
4.597229
4.612315
4.627528
4.626932
4.630204
4.639378
4.648048
4.652464
4.662609
4.678058
4.680556
4.683464
4.685957

LN IP
4.548401
4.297715
4.242287
4.502824
4.586645
4.332547
4.271923
4.530893
4.639803
4.379638
4.262142
4.493426
4.628389
4.46173
4.308145
4.592981
4.66051
4.422848
4.340711
4.541903
4.65109
4.373178
4.339276
4.578759
4.80484
4.466676
4.385279
4.595579
4.840574
4.515753
4.428559
4.691972
4.719525
4.51896
4.50526
4.66016
4.891747
4.617938
4.590377
4.682502
4.94175
4.705341
4.576496
4.751199
5.042902
4.760891

LN KSE100
7.145984468
7.342779189
7.13169851
7.126087273
7.035268599
7.142036575
7.200424893
7.67971364
7.83991936
7.754052639
7.721791777
7.625107148
7.411556288
7.385044802
7.41194292
7.311719261
7.344725514
7.440311083
7.233498739
7.200372653
7.361820057
7.356107448
7.522778743
7.469551545
7.347982457
6.779489996
7.013465733
6.851438864
6.962953439
6.960983201
7.089484994
7.250571635
7.600747448
7.326926034
7.355500518
7.318267628
7.188722356
7.219964097
7.033012535
7.149186585
7.532682504
7.478796971
7.610233787
7.90153284
7.906808708
8.132256917

0.16860447
0.104640178
0.132799284
0.033562329
-0.012018627
0.175433015
0.222814799
-0.032187342
0.089108792
0.149974525
0.183887134
-0.139594664
0.051041396
-0.045940014
0.115658487
0.200385545
-0.030878944
0.052761624

0.193649
0.409304
0.521783
0.691982
1.001833
1.267238
1.572975
2.030602
2.08824
2.105849
2.11505
2.12306
2.163706
2.175887
2.176644
2.186051
2.203869
2.217027

4.695705
4.723433
4.731609
4.755106
4.783609
4.804431
4.822988
4.849378
4.866503
4.883446
4.899026
4.916815
4.947475
4.963649
4.968889
4.985488
5.015795
5.049138

4.804054
4.916383
5.06908
5.018637
4.944403
5.093094
5.19806
5.159348
5.118957
5.183294
5.308421
5.306677
5.230263
5.23835
5.363646
5.371512
5.29091
5.258854

8.300861387
8.405501565
8.538300849
8.571863178
8.559844552
8.735277567
8.958092365
8.925905023
9.015013816
9.164988341
9.348875475
9.209280811
9.260322207
9.214382193
9.33004068
9.530426225
9.499547281
9.552308905

Descriptive statistics

Correlation Ma

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

TBILL
-0.005089
0.009201
0.457627
-0.583396
0.174997
-0.577499
5.447736

CPI
IP
KSE100
0.018507 0.011277 0.038196
0.016943 0.007866 0.033006
0.040529 0.291703 0.479289
-0.000597 -0.338165 -0.568492
0.010497 0.177319 0.169619
0.186281 -0.213914 -0.411989
2.036714 2.019968 4.713212

Jarque-Bera
Probability

19.22925
0.000067

2.800147
0.246579

3.001691
0.222942

9.486845
0.008709

Sum
Sum Sq. Dev.

-0.32063
1.898681

1.165946
0.006832

0.710453
1.949395

2.406324
1.783775

Observations

63

63

63

63

TBILL
TBILL
CPI
IP
KSE100

1
0.444215
-0.00784
-0.19598

Correlation Matrix
CPI
IP
KSE100
0.444215 -0.00784 -0.19598
1
-0.1589 -0.17515
-0.1589
1 0.212432
-0.17515 0.212432
1

Granger Causality Test

Null Hypothesis:
CPI does not Granger Cause TBILL
TBILL does not Granger Cause CPI

Obs
61

IP does not Granger Cause TBILL

TBILL does not Granger Cause IP

61

KSE100 does not Granger Cause TBILL

TBILL does not Granger Cause KSE100

61

IP does not Granger Cause CPI

CPI does not Granger Cause IP

61

KSE100 does not Granger Cause CPI

CPI does not Granger Cause KSE100

61

KSE100 does not Granger Cause IP

IP does not Granger Cause KSE100

61

F-Statistic

Prob.

0.518
0.06917

0.5985
0.9332

0.0228
1.13142

0.9775
0.3298

0.13207
0.22231

0.8766
0.8014

2.10999
0.10642

0.1308
0.8992

0.23005
0.06768

0.7952
0.9346

0.26241
1.41383

0.7701
0.2518