1

. -, - *

2008 1-

, . (- )- .
* ,
.

I.
1 2 .

. ,
,
,
,

. ,
.


.

, .
2005
1 2


. 2007
,
, .
, ,
,


.
2 . :

2 ?
?

. 2-
HP
. 1
2 Johansen (1988)- .
3-
P-Star .
, .

.
-2-

II. ?
2
. Borio Lowe (2004)
.
Hodrick-Prescott . ,
.
,
.
(oney gap)- .
2.1 HP
-
- . 1
2
HP 3.
1 2- 1 2
(real money gap)-
.
1. 1 2
, HP
10.0

8.6

8.4

9.6

8.2

9.2
8.0

8.8
7.8

7.6

8.4

8.0

7.4
2000

2001

2002

2003

2004

2005

2006

2000

2007

2001

2002

2003

2004

2005

2006

2007

Census X-12-ARIMA F Q
Census X-12-ARIMA
.
-3-

 2. 1 2 (real money gap)

.15

.25
.20

.10
.15
.10

.05

.05

.00

.00

-.05

-.05
-.10

-.10

-.15
2000

2001

2002

2003

2004

2005

2006

2000

2007

2001

2002

2003

2004

2005

2006

2007

1 2- 1 2002 1 2004
2 , 2004 3 2006 4
2007
. 2007
1
2007 10-15
. 2002-2004 2005
.
, 2002 1 2004 4
M1

.
2 2002 2 2004 2
, 2004 3 2006 4
2007
. 1 2

. 2007 1
, 2 2002-2004
. 2007
,
. 1
2
2.3 .
2.2


,
.

-4-

 . 2.2.1
, 2.2.2 .
2.2.1
2000 1 2007
4 S.Sriram (1999) 4-
.
. :
[1]

M
= f ( S , OC )
P

S- , ( Y )-
. OC-
. OC-
( ds ), ( ), ( r l )
( r d )- 5 .
[2]

OC = (r l r d , , ds )

[1] [2]-
.
M
= f (Y , (r l r d , , ds ))
P
[3] :

[3]

[4]

m p = y , r l r d , , ds
( + ) ( ) ( ) (?)

( m p ) - 1 2 -
; y - (2005 )- 6,

(r

rd -

( ), ; , ( d = ln ( CPI t ) ln ( CPI t 1 ) * 4 ), ;

Demand for M2 in an Emerging-Market Economy: An Error Correction model for Malaysia, IMF,
WP/99/173.
5
A. Calza,D. Gerdesmeier J.Levy (2001).
6
- Census X-12-ARIMA
.
-5-

ds - ,
( ds = ln ( st ) ln ( st 1 ) * 4 ), 7.

ADF y ,

( m1 p ) , ( m2 p )

I(1) , ( r l r d ) , , ds I(0)

( 1).
[4] Johansen (1988) Johansen, Juselius (1990)-
(VEC)-
.
( r l r d ) , , ds
1- ( 1).


8.
1 Trace 1
, Max-Eigen c
2 9 ( 2-
.1). VEC
1 . VEC
2- A.2- .
5%-
, .
2 Trace Max-Eigen c
2
10 ( 2- B.1).
VEC 1
. VEC
2- A.2- . 5%-
, .

1, 2 , ,
- - .
8
S.Sriram (1999)- .
9
1- . VAR
HQ SC 2, LR FPE 4
. VEC 1- .
4- .
10
2- . VAR
AIC SC 4, LR 3 .
VEC 2- .
.
-6-

 [4]- 1
VEC(1), 2 VEC(2)
( )-
.
LR 11.

( ).
1 :
[5]

(0.007)

(0.004)

m1 p = 6.75 + 1.05 y 0.004 r l r d + 0.036 ds

(0.26)

(0.008)

2 :
[6]

m2 p = 5.58 + 1.12 y 0.023 r l r d + 0.009 ds

(0.21)

(0.004)

[5] [6] 2 ,
1
5 . 2

1 .
1 2 4
. .
(1)-

. 2

2
. 2 1
.
- 1.1
. 1%- 1 2
1.1 .
,
.

11

2- .3 B.3- .

-7-

2.2.2

M1 2
.
. :

REALMONEYGAPt = (realM )t c + yt* + (rtl )* (rt d )* + dst*

[7]

y* - - () , (r l )* , (r d )* -,

, ds* - , c, , .

,
t .
.
:

REALMONEYGAPt = c + yt + rtl rt d + dst + t

(c + y

*
t

[8]

+ (rtl )* (rt d )* + dst*

((

) (

))

= t + yt yt* + rtl (rtl )* rt d (rt d )* + dst dst*

t - 3

3 , yt yt* ,
rtl (rtl )* rt d (rt d )* -

((

) (

))

, dst dst* -
.
y* , (r l )* , (r d )* , ds* - HP
. HP
= 1600 - . HP

1 HP
.
[7] 1 2
3 4- .

-8-

 3. 1 2
,
8.6

10.0

8.4

9.6

8.2

9.2

8.0

8.8
7.8

7.6

8.4

8.0

7.4
2000

2001

2002

2003

2004

2005

2006

2000

2007

2001

2002

2003

2004

2005

2006

2007

4. 1 2 (real money gap),

.4

.15

.3

.10

.2

.05

.1

.00

.0

-.05

-.1

-.10

-.2

-.15

2000

2001

2002

2003

2004

2005

2006

2007

2000

2001

2002

2003

2004

2005

2006

2007

3 4- 1 2002 2 2004
2 , 2004 3 2006 3
2006 4
. 2
2002 3 2004 2
, 2004 3 2006 4
2007
.
HP
2005
.
HP
2007 1 2
.

-9-

2.3

2007

,
.

,
( , , , )-

. 1 2 .


.
.
.
,
. ,
, . 2007

. III
.

(3 6
)
,
.
,
[8] .
, - 2004
12
. 2007
1 2 15-20
.
C 2 ,

2 .
2007 1 4 ,
2 10-15 .
2007 1 5-10

12

.- (2007), :

- 10 -

 , 2 1
.
2007 55-70

. ,

.

.
,
,

.


2007 .
III.

(HP ) ,
5, 6- .

3- .
5. 1, 2 (HP )

25%

25%

20%

20%

15%

15%

10%

10%

5%

5%

0%
-5%

0%
2000

2001

2002

2003

2004

2005

2006

2007

-5%

-10%

-10%

-15%

-15%

-20%

-20%

- 11 -

2000

2001

2002

2003

2004

2005

2006

2007

 6. 1, 2 (HP )

20%
15%

15%

10%

10%

5%

5%
0%
2000

0%
2000

-5%

2001

2002

2003

2004

2005

2006

2007

2001

2002

2003

2004

2005

2006

2007

-5%

-10%

-10%

-15%

-15%

5 6-
3-4 . 2007
1, 2
.

( 3).

Hallman, Porter Small (1989 1999)
P-Star .
P-Star . :
[9]

obj
t +1 = tobj
+1 + ( L ) ( t t ) + m ( REALMONEYGAP )t j + z ( L ) Z t + ut +1

[9] ( t )- ( tobj )-
.
,
( Z ) .
m , Z
. Z -
. [9] (A-80
)- 13

.
[9]
.

13

.
- 12 -

 1 ,

.

.
[10]

t +1 = 0 + ( L ) t + m ( REALMONEYGAP )t j + z ( L ) Z t + ut +1

[10]
14 2000 1 2007 4
,
1- . 4-
.
1. P-Star :

0
m
Z ( L)

( L )

0
m
Z ( L)

( L )

HP 1

-0.59*

-0.08

-0.10

0.03*

0.46* (j=4)

0.12 (j=4)

0.55* (j=4)

0.05 (L=3)

0.10* (L=0)

0.02 (L=2)

0.03 (L=0)

0.27* (L=3)

0.48* (L=1)

0.43* (L=3)

0.50* (L=1)

HP 2

-0.38*

-0.03*

-0.20***

0.03*

0.48* (j=4)

0.22* (j=4)

0.42* (j=4)

0.21* (j=4)

0.07* (L=0)

0.04** (L=0)

0.48* (L=1)

0.22*** (L=1)

0.46* (L=1)

*, **, **** 1%, 5%, 10%- ,

.

1- P-Star 1

. 2
. ,
4
. 1 10% 4 4.6-5.5
14

.
- .
- 13 -

. 2 10%- 4
4.2-4.8 , 2.1-2.2
15.
.

,
.
1- 10%-
0.4-1.0 ,
.

.
IV. ,

,

.
2005
2002-2004
,
.
2006
.

,
.


.
4
. , 1
10%- 4 4.6-5.5
, 2 10%- 4
4.2-4.8 .
,
, ,

, ,
.

15

1 1 4 0.460.55 . 2 1 4
0.42-0.48 , 0.21-0.22
.
- 14 -

,

, ( ,
)
.

, .

, -
(3 6 )-
,
.
1 (2007 )

16 , ()- ,
7- -

.
SIMOM
.

, ,
.

SIMOM . Joe Ganley (2003)
, ,

.

,
.
,
- ,
. -
,
.
, ,
. -
,
. -
.


16

.
- 15 -

. , ,
. -
,
. -
,

(- , )- .

,
.


.
, ,
1
( 1 ).
1

.
.

. , -
.
,

.
, -

.
- .
,
. -
. ,
,
,
.
,
. ,
,
,

.

.
, ,
.

- 16 -

[1] Joe Ganley (2003), Surplus Liquidity: Implication for Central Banks, Lecture Series
no.3, Bank of England
[2] Barbara Roffia, Andrea Zaghini (2007), Excess Money Growth and Inflation
Dynamics, Working paper series no 749, European Central Bank
[3] ECB, Monthly Bulletin (October 2004), Monetary Analysis in Real Time
[4] S. Sriram (1999), Demand for M2 in an Emerging-Market Economy: Error
Correction Model for Malaysia, WP/99/173, IMF
[5] Johansen. S, 1988, Statistical Analysis of Conintegration Vectors, Journal of
Economic Dynamics and Control, Vol.12, No. 2/3
[6] Johansen. S, and Katarina Juselius, 1990, Maximum Likelihood Estimation and
Inference on Cointegration-With Applications to the Demand for Money, Oxford
Bulletin of Economic and Statistics, Vol.52, No.2
[7] Clements J.M. Kool and John A. Tatom, The P-Star Model in Five Small
Economies, Federal Reserve Bank of St. Louis
[8] Hallman, Jeffrey J., Richard D. porter, and David H. Small, Is the Price Level Tied
to the M2 Monetary Aggregate in the Long Run, The American Economic review

- 17 -

DER

0, 0
4, 3
0, 0
0, 0
0, 2

+(2)
+(2)
+(2)
+(2)
+(1),
+(2)

(1) Level ( )

(2) 1-

0.183
0.828
0.016
0.000

0.000
0.045
0.000
0.000

I(1)
I(1)
I(0)
I(0)

0.000

0.000

I(0)

ADF H 0 : = 0

Trend &
intercept
(a0, b0)

Intercept
(a0, b=0)

None
(b=a=0)

GDP_SA_L
M1_CPI_L
SPREAD_B
INF

1. ADF

+(1)
+(1)
+(1)
+(1)

ADF H 0 :

=0

+(1),
0.181
0.000
+(2)
#- (k,d), k- Level ( ) , d- 1-
;
M2_CPI_L

0, 1

^ - X = a + btrend + X t 1 +

X
s =1

t s

+ U t +(1) Level ( )

, +(2) 1- ;
*- 5%- ;

2.
A. 1

A.1 1 ,

Sample (adjusted): 2000Q3 2007Q4
Included observations: 30 after adjustments
Trend assumption: Linear deterministic trend
Series: M1_CPI_L GDP_SA_L SPREAD_B INF DER
Exogenous series: @SEAS(4)
Warning: Critical values assume no exogenous series
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)

Eigenvalue

Trace
Statistic

0.05
Critical Value

Prob.**

None *
At most 1
At most 2
At most 3
At most 4

0.799536
0.604073
0.322004
0.151481
0.074497

94.91817
46.70460
18.90883
7.250399
2.322532

69.81889
47.85613
29.79707
15.49471
3.841466

0.0002
0.0639
0.4995
0.5487
0.1275

- 18 -

I(1)

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized
No. of CE(s)
None *
At most 1 *
At most 2
At most 3
At most 4

Eigenvalue

Max-Eigen
Statistic

0.05
Critical Value

Prob.**

0.799536
0.604073
0.322004
0.151481
0.074497

48.21356
27.79578
11.65843
4.927867
2.322532

33.87687
27.58434
21.13162
14.26460
3.841466

0.0005
0.0470
0.5816
0.7509
0.1275

Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

A.2 1 VEC(1)
A.2.1
VEC Residual Normality Tests
Orthogonalization: Cholesky (Lutkepohl)
Null Hypothesis: residuals are multivariate normal
Sample: 2000Q1 2007Q4
Included observations: 30
Component

Skewness

Chi-sq

df

Prob.

1
2
3
4
5

0.249883
0.204300
0.001500
-0.244915
0.039488

0.312209
0.208693
1.12E-05
0.299916
0.007796

1
1
1
1
1

0.5763
0.6478
0.9973
0.5839
0.9296

0.828625

0.9752

Joint
Component

Kurtosis

Chi-sq

df

Prob.

1
2
3
4
5

1.943533
1.552102
1.958642
1.489883
1.121353

1.395153
2.620510
1.355532
2.850565
4.411642

1
1
1
1
1

0.2375
0.1055
0.2443
0.0913
0.0357

12.63340

0.0271

df

Prob.

Joint
Component

Jarque-Bera

- 19 -

1
2
3
4
5

1.707362
2.829203
1.355543
3.150481
4.419439

2
2
2
2
2

0.4258
0.2430
0.5077
0.2070
0.1097

Joint

13.46203

10

0.1990

A.2.1

VEC Residual Serial Correlation LM Tests
Null Hypothesis: no serial correlation at lag order h
Date: 01/20/08 Time: 11:31
Sample: 2000Q1 2007Q4
Included observations: 30
Lags

LM-Stat

Prob

1
2
3
4
5
6
7
8
9
10

36.20957
29.50398
19.42074
34.01308
34.08131
29.35766
30.46149
33.63364
29.80153
32.95779

0.0685
0.2434
0.7765
0.1076
0.1062
0.2492
0.2075
0.1160
0.2318
0.1321

Probs from chi-square with 25 df.

A.3 1 ,
Vector Error Correction Estimates
Date: 01/20/08 Time: 11:16
Sample (adjusted): 2000Q3 2007Q4
Included observations: 30 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
B(1,1)=1,B(1,4)=0
Convergence achieved after 34 iterations.
Restrictions identify all cointegrating vectors
LR test for binding restrictions (rank = 1):
Chi-square(1)
18.39006
Probability
0.000018
Cointegrating Eq:

CointEq1

- 20 -

M1_CPI_L(-1)

1.000000

GDP_SA_L(-1)

-1.095446
(0.26239)
[-4.17494]

SPREAD_B(-1)

0.004125
(0.00774)
[ 0.53308]

INF(-1)

0.000000

DER(-1)

-0.036482
(0.00730)
[-4.99462]

6.749069

B. 2

B.1 2 ,

Date: 01/20/08 Time: 15:11
Sample (adjusted): 2000Q4 2007Q4
Included observations: 29 after adjustments
Trend assumption: Linear deterministic trend
Series: M2_CPI_L GDP_SA_L SPREAD_B DER INF
Exogenous series: LOG(@TREND)
Warning: Critical values assume no exogenous series
Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
No. of CE(s)
None *
At most 1 *
At most 2
At most 3
At most 4

Eigenvalue

Trace
Statistic

0.05
Critical Value

Prob.**

0.919184
0.635641
0.361931
0.249832
0.011186

123.9231
50.97134
21.69248
8.662515
0.326223

69.81889
47.85613
29.79707
15.49471
3.841466

0.0000
0.0248
0.3159
0.3975
0.5679

Trace test indicates 2 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized

Max-Eigen

- 21 -

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Prob.**

None *
At most 1 *
At most 2
At most 3
At most 4

0.919184
0.635641
0.361931
0.249832
0.011186

72.95177
29.27887
13.02996
8.336292
0.326223

33.87687
27.58434
21.13162
14.26460
3.841466

0.0000
0.0300
0.4495
0.3456
0.5679

Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

B.2 2 VEC(1)
B.2.1
VEC Residual Normality Tests
Orthogonalization: Cholesky (Lutkepohl)
Null Hypothesis: residuals are multivariate normal
Date: 01/20/08 Time: 15:21
Sample: 2000Q1 2007Q4
Included observations: 30
Component

Skewness

Chi-sq

df

Prob.

1
2
3
4
5

-0.138270
0.012936
0.030010
0.137547
-0.050500

0.095593
0.000837
0.004503
0.094596
0.012751

1
1
1
1
1

0.7572
0.9769
0.9465
0.7584
0.9101

0.208280

0.9990

Joint
Component

Kurtosis

Chi-sq

df

Prob.

1
2
3
4
5

1.233961
1.417598
1.210623
1.247470
1.367663

3.898618
3.129994
4.002338
3.839203
3.330656

1
1
1
1
1

0.0483
0.0769
0.0454
0.0501
0.0680

18.20081

0.0027

Joint
Component

Jarque-Bera

df

Prob.

1
2
3
4
5

3.994211
3.130831
4.006841
3.933799
3.343407

2
2
2
2
2

0.1357
0.2090
0.1349
0.1399
0.1879

- 22 -

Joint

18.40909

10

0.0684

A.2.1

VEC Residual Serial Correlation LM Tests
Null Hypothesis: no serial correlation at lag order h
Date: 01/20/08 Time: 15:19
Sample: 2000Q1 2007Q4
Included observations: 29
Lags

LM-Stat

Prob

1
2
3
4
5
6
7
8
9
10
11
12

23.23535
21.06771
17.90078
34.16563
18.47970
31.78789
25.33806
33.16957
42.78198
18.26689
34.38487
31.58575

0.5638
0.6888
0.8466
0.1044
0.8214
0.1642
0.4436
0.1269
0.0148
0.8309
0.0999
0.1704

Probs from chi-square with 25 df.

B.3 2 ,

Vector Error Correction Estimates

Sample (adjusted): 2000Q4 2007Q4
Included observations: 29 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
B(1,1)=1, B(1,5)=0
Convergence achieved after 40 iterations.
Restrictions identify all cointegrating vectors
LR test for binding restrictions (rank = 1):
Chi-square(1)
41.78663
Probability
0.000000
Cointegrating Eq:

CointEq1

M2_CPI_L(-1)

1.000000

GDP_SA_L(-1)

-1.120134

- 23 -

(0.20871)
[-5.36684]
SPREAD_B(-1)

0.023025
(0.00440)
[ 5.22837]

DER(-1)

-0.009483
(0.00437)
[-2.17018]

INF(-1)

0.000000

5.583229

3. 1, 2 (
)

40.0%

40.0%

30.0%

30.0%

20.0%

20.0%

10.0%

10.0%

0.0%

0.0%
2000

2001

2002

2003

2004

2005

2006

2007

2000

-10.0%

-10.0%

-20.0%

-20.0%

20.0%
15.0%

15.0%

2001

2002

2003

2004

2005

2006

2007

10.0%

10.0%

5.0%

5.0%
0.0%
2000

0.0%
2000

-5.0%

2001

2002

2003

2004

2005

2006

2007

-5.0%

-10.0%

-10.0%

-15.0%

-15.0%

- 24 -

2001

2002

2003

2004

2005

2006

2007

 4. P-STAR
A.1 HP 1

Dependent Variable: AINF
Method: Least Squares
Date: 01/21/08 Time: 14:05
Sample (adjusted): 2001Q1 2007Q4
Included observations: 28 after adjustments
Newey-West HAC Standard Errors & Covariance (lag truncation=3)

C
M1_SA_GAP(-4)
AINF(-3)
LOG(PETROL_P)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

Coefficient

Std. Error

t-Statistic

Prob.

-0.587171
0.457249
0.267754
0.103019

0.110439
0.098339
0.090489
0.018566

-5.316697
4.649733
2.958961
5.548927

0.0000
0.0001
0.0068
0.0000

0.710794
0.674644
0.026643
0.017036
63.93445
19.66197
0.000001

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.069837
0.046709
-4.281032
-4.090717
-4.222851
1.008113

A.2 HP 1

Dependent Variable: ANINF
Method: Least Squares
Date: 01/21/08 Time: 14:02
Sample: 2001Q1 2007Q4
Included observations: 28
Newey-West HAC Standard Errors & Covariance (lag truncation=3)

C
M1_SA_GAP(-4)
ANINF(-1)
LOG(PETROL_P(-2))
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

Coefficient

Std. Error

t-Statistic

Prob.

-0.083397
0.115339
0.476941
0.018671

0.091845
0.073329
0.105752
0.014322

-0.908014
1.572907
4.510016
1.303633

0.3729
0.1288
0.0001
0.2047

0.367226
0.288129
0.021196
0.010783
70.33817
4.642742
0.010694

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

- 25 -

0.055368
0.025122
-4.738441
-4.548126
-4.680260
1.301704

A.3 HP 2

Dependent Variable: AINF
Method: Least Squares
Date: 01/21/08 Time: 14:17
Sample (adjusted): 2001Q1 2007Q4
Included observations: 28 after adjustments
Newey-West HAC Standard Errors & Covariance (lag truncation=3)

C
M2_SA_GAP(-4)
LOG(PETROL_P)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

Coefficient

Std. Error

t-Statistic

Prob.

-0.376085
0.480678
0.071326

0.111233
0.087606
0.018141

-3.381059
5.486838
3.931654

0.0024
0.0000
0.0006

0.642666
0.614079
0.029017
0.021049
60.97299
22.48129
0.000003

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.069837
0.046709
-4.140928
-3.998192
-4.097292
1.553463

A.4 HP 2

Dependent Variable: ANINF
Method: Least Squares
Date: 01/21/08 Time: 14:03
Sample (adjusted): 2001Q1 2007Q4
Included observations: 28 after adjustments
Newey-West HAC Standard Errors & Covariance (lag truncation=3)

C
M2_SA_GAP(-4)
ANINF(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

Coefficient

Std. Error

t-Statistic

Prob.

0.030992
0.219100
0.481671

0.008223
0.043184
0.101577

3.768732
5.073597
4.741943

0.0009
0.0000
0.0001

0.542264
0.505645
0.017663
0.007800
74.87166
14.80832
0.000057

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

- 26 -

0.055368
0.025122
-5.133690
-4.990954
-5.090054
1.360796

B.1 1

Dependent Variable: AINF
Method: Least Squares
Date: 01/21/08 Time: 14:35
Sample (adjusted): 2001Q1 2007Q4
Included observations: 28 after adjustments
Newey-West HAC Standard Errors & Covariance (lag truncation=3)

C
M1_GAP_DEM(-4)
AINF(-3)
LOG(PETROL_P)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

Coefficient

Std. Error

t-Statistic

Prob.

-0.101875
0.547981
0.425642
0.026092

0.118981
0.122973
0.085497
0.018915

-0.856226
4.456087
4.978469
1.379465

0.4003
0.0002
0.0000
0.1805

0.750470
0.719278
0.024748
0.014699
66.00024
24.06021
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.069837
0.046709
-4.428589
-4.238274
-4.370408
1.056817

B.2 1

Dependent Variable: ANINF
Method: Least Squares
Date: 01/21/08 Time: 14:41
Sample (adjusted): 2000Q4 2007Q4
Included observations: 29 after adjustments
Newey-West HAC Standard Errors & Covariance (lag truncation=3)

C
M1_GAP_DEM(-3)
ANINF(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

Coefficient

Std. Error

t-Statistic

Prob.

0.030831
0.052861
0.500520

0.005843
0.048688
0.067753

5.276823
1.085720
7.387433

0.0000
0.2876
0.0000

0.459311
0.417719
0.021086
0.011560
72.34899
11.04339
0.000338

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

- 27 -

0.053055
0.027633
-4.782689
-4.641245
-4.738391
1.304004

B.3 2

Dependent Variable: AINF
Method: Least Squares
Date: 01/21/08 Time: 14:47
Sample (adjusted): 2001Q1 2007Q4
Included observations: 28 after adjustments
Newey-West HAC Standard Errors & Covariance (lag truncation=3)

C
M2_GAP_DEM(-4)
LOG(PETROL_P)
AINF(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

Coefficient

Std. Error

t-Statistic

Prob.

-0.195190
0.418335
0.040735
0.219605

0.113497
0.082410
0.018801
0.126788

-1.719782
5.076262
2.166612
1.732060

0.0983
0.0000
0.0404
0.0961

0.667386
0.625810
0.028572
0.019593
61.97663
16.05192
0.000006

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.069837
0.046709
-4.141188
-3.950873
-4.083007
1.881811

B.4 2

Dependent Variable: ANINF
Method: Least Squares
Date: 01/21/08 Time: 15:01
Sample (adjusted): 2001Q1 2007Q4
Included observations: 28 after adjustments
Newey-West HAC Standard Errors & Covariance (lag truncation=3)

C
M2_GAP_DEM(-4)
ANINF(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

Coefficient

Std. Error

t-Statistic

Prob.

0.033832
0.209534
0.464246

0.008311
0.035049
0.101394

4.070481
5.978374
4.578611

0.0004
0.0000
0.0001

0.539625
0.502795
0.017714
0.007845
74.79119
14.65180
0.000062

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

- 28 -

0.055368
0.025122
-5.127942
-4.985206
-5.084306
1.348583

- 29 -