Comparison of Box-Jenkins and Bonn Monetary Model Prediction by Manmatha Nath Bhattacharyya

By Manmatha Nath Bhattacharyya

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It causes strongly and unidirectionally the saving deposits (PBDSP) and Bundesbank deposits (ABGU); weakly and unidirectionally the open market securities held by banks (ABOr~) and contemporaneously the free liquid reserves of banks (BFLR), money (BGMl), liquidity ratio (BLQ) and demand deposits (PBDSI). In turn, it seems to be caused by domestic loans (ABKS), and domestic commercial bills held by banks (ABK~). There is orobably a feed back relationship between time deposits (PBDTE) and (PBREF).

OlO independent white noise processes, u and v, a finite set of cross-correlations, N (0, I). In {r(uv;k)}, follows asymptotically Haugh (1976) showed that if two linear processes, x and y, are independent and amenable to ~(B)xt = ~'(B)Yt 8(B) u t = 8'(B)V t A~A representation, (or alternatively F(B)X t = u t ) and (or alternatively G(B)Yt = v t ) respectively, then a finite set o-f residual cross-correlations, In {r(uv;k)}, follows the same distribution, N(O, I), as a finite set of white noise cross-correlations, /:O{r(uv;k)}.

Therefore, our result appears to be contrary to the finding of Pierce. The unidirectionality, however, has not been confirmed. Progressive x2 short-term interest rate tests indicate a weak causality from (RFF~~) to yield on officially quoted bonds (ROBLD). Equipped with these results, we can now look at the econometric (BNH) model for the short-term interest rate (RFFr~). RFnil According to Bonn rilonetary Hodel 13 0 + 131 ~ Seasonal Dummy 1) + 13 2 (Seasonal Dummy 2) + 13 3 (Seasonal Dummy 3) + 13 4 {RFn1)_l + 13 5 RDISK (Discount rate) + 13 6 (BL0_ 1 - BLQ_2) + error ...

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