BURUNDI CASE STUDY.

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Presentation transcript:

BURUNDI CASE STUDY

Methodology and Data Data are monthly frequency : April 2010 – December 2013 Series are GDP, M2, CPI, NEER, LABOR & OILP Steps: Testing stationarity Lag specification VAR stability Causality Impulse response

STATIONARITY TEST trend constant Critical Values 2.79 and 3.53 GDP -0.137 -1.873 INF -0.0322 -0.7008 M -5.267 -1.097 TCEN -0.348 -1.733 CPI -1.561 -0.372 LABOR -0.029 -2.168 OILP -1.0004 -4.022 The series are difference stationary and are not depending up trend nor constant according to the results highlighted

VAR MODELLING Lag LogL LR FPE AIC SC HQ 326.4786445865379 NA 3.69e-12 The optimal lag chosen is 1 according to: Lag LogL LR FPE AIC SC HQ 326.4786445865379 NA 3.69e-12 -14.97517 -14.47870 -14.79320 1 569.9058208830013 405.7120 7.39e-17 -25.80504 -24.64659* -25.38042* 2 589.1221780162741 28.36700* 6.58e-17* -25.95820* -24.13778 -25.29094 3 598.8295842067412 12.48095 9.64e-17 -25.65855 -23.17617 -24.74866

Stability test Root Modulus 0.998243 0.954013 0.622022 0.027464

Results LOG(GDP) LOG(CPI) LOG(M2) LOG(TCEN) LOG(GDP(-1)) 0.995719 LOG(GDP) LOG(CPI) LOG(M2) LOG(TCEN) LOG(GDP(-1)) 0.995719 -0.120874 1.301495 0.449351 (0.00187) (0.11091) (0.26531) (0.49329) [ 532.325] [-1.08985] [ 4.90561] [ 0.91093] LOG(CPI(-1)) 0.004316 0.933843 0.213050 -0.092581 (0.00061) (0.03646) (0.08723) (0.16218) [ 7.01819] [ 25.6098] [ 2.44247] [-0.57085] LOG(M2(-1)) 0.000249 0.084966 0.061263 0.101885 (0.00108) (0.06428) (0.15377) (0.28590) [ 0.23013] [ 1.32181] [ 0.39842] [ 0.35637] LOG(TCEN(-1)) 0.001615 -0.007519 0.074353 0.610916 (0.00047) (0.02806) (0.06713) (0.12482) [ 3.41147] [-0.26793] [ 1.10755] [ 4.89436] LOG(LIBOR) -0.000810 0.019852 -0.106339 -0.013845 (0.00021) (0.01232) (0.02947) (0.05480) [-3.89631] [ 1.61120] [-3.60796] [-0.25265] LOG(OILP) -0.001268 0.060050 0.245166 -0.527642 (0.00078) (0.04618) (0.11048) (0.20542) [-1.62768] [ 1.30022] [ 2.21909] [-2.56865]

Granger causality test Null Hypothesis: Obs F-Statistic Prob. LOG(M2) does not Granger Cause LOG(GDP) 44 0.00636 0.9368 LOG(GDP) does not Granger Cause LOG(M2) 18.4877 0.0001 LOG(LIBOR) does not Granger Cause LOG(GDP) 3.98016 0.0527 LOG(GDP) does not Granger Cause LOG(LIBOR) 2.32668 0.1349 LOG(M2) does not Granger Cause LOG(CPI) 1.48956 0.2293 LOG(CPI) does not Granger Cause LOG(M2) 6.14036 0.0174

Impulse response