Impacts of macroeconomic variables on Money Supply (M2) in

Bangladesh

a. Summary Statistics

Summary Statistics, using the observations 1989 – 2018

Variable Mean Median S.D. Min Max

d_d_Broadmoneygro 2.69e+003 2.27e+003 2.98e+004 -4.20e+004 1.24e+005
wthM2
d_d_GDP 2.24e+010 2.81e+010 3.79e+010 -4.11e+010 1.02e+011
d_d_CPI 0.253 0.214 1.75 -4.47 3.88
d_d_Adjusted net 3.78e+008 5.27e+007 1.50e+009 -3.63e+009 3.68e+009
national income
d_d_Exchange Rate 0.0261 0.455 2.87 -11.5 3.89
d_d_Lending Rate 3.96e-005 -0.000707 0.00824 -0.0155 0.0221

b. Unit Root Test

Test with constant, linear and quadratic trend
Augmented Dicky-Fuller (ADF) Test
Variable 2nd diff Order of test
t-test p-value l(0) l(1) l(2)
d_d_BroadmoneygrowthM2 -6.51404 0.0002726 - - l(2)
d_d_GDP -5.04627 0.006813 - - l(2)
d_d_CPI -6.84206 0.0001 - - l(2)
d_d_Adjusted net national income -7.65853 0.00002208 - - l(2)
d_d_Exchange Rate -6.13412 0.0006316 - - l(2)
d_d_Lending Rate -6.20958 0.0005345 - - l(2)
 c. Ordinary Least Square

Model 1: OLS, using observations 1991-2018 (T = 28)

Dependent variable: d_d_BroadmoneygrowthM2

Variables Coefficient Std. Error t-ratio p-value

const 3447.05 3684.74 0.9355 0.3597
d_d_GDP −1.73435e-08 1.26165e-07 −0.1375 0.8919
d_d_CPI 945.514 2077.60 0.4551 0.6535
d_d_Adjustednetnatio −1.00462e-06 2.95691e-06 −0.3398 0.7373
nalincome
d_d_ExchangeRate −8245.05 1316.44 −6.263 0.00000265 ***
d_d_LendingRate −411903 454772 −0.9057 0.3749

Mean dependent var 2687.329 S.D. dependent var 29756.95

Sum squared resid 5.76e+09 S.E. of regression 16175.23

R-squared 0.759241 Adjusted R-squared 0.704523

F(5, 22) 13.87552 P-value(F) 3.49e-06

Log-likelihood −307.7086 Akaike criterion 627.4172

Schwarz criterion 635.4105 Hannan-Quinn 629.8609

rho 0.033244 Durbin-Watson 1.787241

 d. Heteroskedasticity Test

Variables coefficient std. error t-ratio p-value

const −1.34588e+06 73397700.00 −0.01834 0.9859
d_d_GDP −0.000839283 0.00318059 −0.2639 0.7995
d_d_CPI −1.52522e+07 59716000.00 −0.2554 0.8057
d_d_Adjustednetn~ −0.0866696 0.0606166 −1.430 0.1959
d_d_ExchangeRate 31151600 80293400 0.388 0.7096
d_d_LendingRate 7343440000 12422900000 0.5911 0.573
sq_d_d_GDP 0.000000000000212375 0.0000000 2.688 0.0312 **

Unadjusted R-squared = 0.899476

Test statistic: TR^2 = 25.185321,

with p-value = P(Chi-square(20) > 25.185321) = 0.194433
 e. Auto Correlation
Dependent variable:

Variables coefficient std. error t-ratio p-value

const −32.1212 3774.91 −0.008509 0.9933
d_d_GDP −1.90165e-09 0.0000001296 −0.01467 0.9884
−24.4
d_d_CPI 852 2131.07 −0.01149 0.9909
d_d_Adjustednetn~ 0.0000001139 0.00000311194 0.04 0.9711
d_d_ExchangeRate −40.6673 1371.73 −0.02965 0.9766
d_d_LendingRate −5331.54 466463.00 −0.01143 0.9910

Test statistic: LMF = 0.024258,

with p-value = P(F(1,21) > 0.0242582) = 0.878

Alternative statistic: TR^2 = 0.032307,

with p-value = P(Chi-square(1) > 0.032307) = 0.857

Ljung-Box Q' = 0.0259843,

with p-value = P(Chi-square(1) > 0.0259843) = 0.872
 f. Multi-collinearity Test
Variables VIF
d_d_GDP 2.354
d_d_CPI 1.367
d_d_Adjustednetnationalincome 2.026
d_d_ExchangeRate 1.468
d_d_LendingRate 1.450

No evidence of excessive collinearity

g. Normality Test
Test for null hypothesis of normal distribution:
Chi-square(2) = 0.046 with p-value 0.97703

3.5e-05
Test statistic for normality: relative frequency
N(-5.7046e-013,16175)
Chi-square(2) = 0.046 [0.9770]

3e-05

2.5e-05

2e-05
Density

1.5e-05

1e-05

5e-06

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