Table 1: Descriptive Statistics
|
lnRHCE
|
LRT
|
EXCR
|
IPD
|
lnRPCI
|
Mean
|
22.595
|
13.421
|
618.937
|
108.826
|
7.144
|
Median
|
22.595
|
10.988
|
592.610
|
106.190
|
7.038
|
Maximum
|
26.695
|
65.420
|
3611.220
|
153.452
|
9.673
|
Minimum
|
17.985
|
2.450
|
3.745
|
72.079
|
5.808
|
Std. Dev.
|
1.553
|
11.109
|
433.267
|
15.803
|
0.946
|
Skewness
|
-0.046
|
2.157
|
3.729
|
0.478
|
0.772
|
Kurtosis
|
4.275
|
8.747
|
21.686
|
3.322
|
2.607
|
Jarque-Bera
|
25.196
|
796.059
|
6240.829
|
15.69
|
39.110
|
Probability
|
0.000
|
0.000
|
0.000
|
0.000
|
0.000
|
Observations
|
370
|
370
|
370
|
370
|
370
|
Table 2: Correlation Results
|
lnrhce
|
lrt
|
excr
|
ipd
|
lnrpci
|
lnrhce
|
1.000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
lrt
|
0.080
|
1.000
|
|
|
|
|
1.535
|
|
|
|
|
|
|
|
|
|
|
excr
|
0.021
|
0.135
|
1.000
|
|
|
|
(0.421)
|
(2.614) *
|
|
|
|
|
|
|
|
|
|
ipd
|
-0.052
|
-0.262
|
-0.123
|
1.000
|
|
|
(-0.995)
|
(-5.200) *
|
(-2.379) *
|
|
|
|
|
|
|
|
|
lnrpci
|
0.266
|
-0.154
|
-0.195
|
0.137
|
1.000
|
|
(5.298) *
|
(-2.982) *
|
(-3.807) *
|
(2.655) *
|
|
* indicate "t" distribution at 5% level of significance
t-statistic is in parenthesis.
Table 3: Slope Homogeneity Test
![](https://myfiles.space/user_files/58890_add8f4303ffe25fa/58890_custom_files/img1600189164.png)
Table 4 Cross-sectional dependence Test
Type of CD Test
|
CD Test Value
|
p-value
|
Frees LoS
|
Frees CV
|
Frees TS
|
Pesaran
|
43.359
|
0.000*
|
|
|
|
Friedman
|
183.009
|
0.000*
|
|
|
|
Frees
|
|
|
10%
|
0.2559
|
|
Frees
|
|
|
5%
|
0.3429
|
|
Frees
|
|
|
1%
|
0.5198
|
|
Frees TS
|
|
|
|
|
13.585
|
*indicate 1% level of significance
CD – cross-sections; LoS – level of significance; CV – coefficient value; TS – test statistic
Table 5: Results of Fixed and Random Effects
|
Coefficients
|
Coefficients
|
P-value
|
P-value
|
|
Fixed Effect
|
Random Effect
|
Fixed Effect
|
Random Effect
|
Variables
|
|
|
|
|
lrt
|
-0.008314
|
-0.007996
|
0.000*
|
0.000*
|
excr
|
-0.000092
|
0.000105
|
0.223
|
0.156
|
lnrpci
|
0.949317
|
0.892669
|
0.000*
|
0.000*
|
ipd
|
-0.005607
|
-0.005505
|
0.000*
|
0.000*
|
_cons
|
16.47977
|
16.86153
|
0.000*
|
0.000*
|
|
|
|
|
|
rho
|
0.99213199
|
0.99195489
|
|
|
F-test ui =0
|
p-value = 0.000*
|
|
|
|
*; indicate 1% level of significance
Table 6: Hausman Test: Between Fixed and Random Models
Variable
|
b (fe)
|
B(re)
|
b-B difference
|
SE
|
lrt
|
-0.008314
|
-0.0079958
|
-0.0003182
|
0.0002411
|
excr
|
0.0000917
|
0.0001054
|
-0.0000137
|
0.0000116
|
ipd
|
-0.0056069
|
-0.0055049
|
-0.000102
|
0.00000988
|
lnrpci
|
0.9493171
|
0.8926689
|
0.0566481
|
0.0324035
|
Chi Sq; 4.77
Prob of Chi Sq: 0.3122
Table 7: Mean Group Result
Variables
|
Coefficient
|
P-value
|
lrt
|
0.228
|
0.010**
|
excr
|
0.031
|
0.000*
|
ipd
|
-0.002
|
0.283
|
_cons
|
4.175
|
0.004*
|
* and ** indicate 1% and 5% level of significance respectively
lnrt - lending rate; lnexcr - log of exchange rate; ipd – implicit price deflator; _cons - constant
**Table 8 was omitted by the authors in this version of the paper**
Table 9: Pesaran (2015) test for weak cross-sectional dependence.
CD statistic
|
P-value
|
16.181
|
0.000*
|
H0: errors are weakly cross-sectional dependent.
* indicates 1% level of significance