SBP Working Paper Series STATE BANK OF PAKISTAN

Dependent
variable
HPLGDP
HPLLSM
Inflation
Table A3: Granger Causality Results (Quarterly Data)*
Causal Variables
GDP LSM Inflation M0 M1 M2 RM0 RM1 RM2 GM0 GM1 GM2 MMR POLR RMM
R
…
Yes
(L=2)**
No
No No No
…
Yes
(L=2)*
No
Yes
(L=3)*
HPLM0 No No Yes (L=2)* …
HPLM1
HPLM2
Yes
(L=1)***
Yes
(L=1)***
No
Yes
(L=4)*
HPLRM0 No No
HPLRM1
HPLRM2
Yes
(L=1)***
Yes
(L=1)**
No
Yes
(L=4)*
GM0 No No
Yes
(L=4)**
No
Yes
(L=1)**
Yes
(L=2)*
… No No No
No
No
Yes
(L=3)**
Yes (L=2)*
Yes (L=4)*
Yes
(L=2)**
Yes
(L=1)**
No
Yes
(L=4)**
*
Yes
(L=1)*
No
Yes
(L=4)**
*
GM1 No No No No
GM2 No No No No
MMR
Yes
(L=4)***
No
POLR Yes (L=3)* No
RMMR
RPOLR
Yes
(L=1)**
No
Yes
(L=4)***
Yes
(L=4)**
Yes
(L=1)*
No
Yes
(L=4)**
…
Yes
(L=1)**
Yes
(L=4)**
Yes
(L=4)**
Yes
(L=2)*
Yes
(L=4)**
Yes
(L=4)**
*
Yes
(L=2)*
Yes
(L=4)**
*
No
No
No
No
Yes
(L=4)*
Yes
(L=1)*
Yes
(L=4)**
Yes
(L=1)**
*
Yes
(L=4)***
Yes
(L=3)**
Yes
(L=4)*
Yes
(L=4)***
Yes
(L=4)**
Yes
(L=2)**
*
Yes
(L=4)**
Yes
(L=1)**
No
Yes
(L=3)*
Yes
(L=4)**
Yes
(L=1)*
No
No
Yes
(L=4)*
RPOLR
No
Dependent
Variable
HPLGDP
No No No No No No HPLLSM
No No No No No No No Inflation
No
No No No
… No No No No
No
Yes
(L=2)**
Yes
(L=4)**
*
No
No
Yes
(L=4)**
Yes
(L=2)*
Yes
(L=1)*
No No No No No
Yes
(L=2)*
Yes (L=4)* No No No
…
Yes
(L=1)**
*
Yes
(L=4)***
Yes
(L=4)*
Yes
(L=4)**
*
… No No
No No … No
Yes
(L=3)**
No
No
Yes
(L=4)**
Yes
(L=4)**
Yes
(L=2)*
Yes
(L=1)*
Yes
(L=4)**
Yes
(L=4)**
No
Yes
(L=4)***
Yes
(L=4)**
No
Yes
(L=4)**
No
…
Yes
(L=4)**
Yes
(L=3)*
Yes
(L=1)**
*
Yes
(L=4)**
Yes
(L=3)**
Yes
(L=1)**
*
Yes
(L=4)**
No No …
Yes
(L=3)**
Yes
(L=1)*
Yes
(L=3)**
Yes
(L=3)**
Yes
(L=1)*
Yes
(L=4)*
Yes
(L=4)**
*
No
No
Yes
(L=3)*
Yes (L=2)*
HPLM0
No No No No HPLM1
No No No No HPLM2
No
Yes
(L=1)*
Yes
(L=1)*
Yes
(L=1)*
Yes
(L=2)*
No
HPLRM0
No No HPLRM1
No No No Yes (L=2)* HPLRM2
No No No
Yes
(L=1)*
Yes
(L=4)*
Yes (L=3)*
GM0
No No No No GM1
No No … No No No No GM2
No No No No …
Yes
(L=1)*
Yes
(L=2)**
*
Yes
(L=4)*
Yes
(L=3)*
No No No No …
No No No No
No No No
Yes
(L=1)*
Yes
(L=4)*
Yes
(L=4)**
Yes
(L=4)*
Yes (L=4)*
Yes
(L=4)**
MMR
POLR
… Yes (L=1)* RMMR
No No … RPOLR
*Null hypothesis: Causal variable does not Granger causes dependent variable. *** p