Page 248 - Contributed Paper Session (CPS) - Volume 7

CPS2075 Wan Siti Zaleha W. Z. et al.
∆CPI = 0.0141 + 1.2375CPI t−1 − 0.2682CPI t−2 + 0.0011CPI t−3
− 0.0151CPI t−4 − 0.1072CPI t−5 + 0.1060CPI t−6
+ 0.1439CPI t−7 − 0.1645CPI t−8 + 0.0013CPI t−9
+ 0.10406CPI t−10 − 0.0116CPI t−11 + 0.0306CPI t−12
+ 0.0069Imports t−1 − 0.0004Imports t−2 − 0.0035Imports t−3
− 0.0033Imports t−4 − 0.0002Imports t−5 + 0.0039Imports t−6
+ 0.0007Imports t−7 + 0.0041Imports t−8 − 0.0041Imports t−9
+ 0.0030Imports t−10 − 0.0040Imports t−11
− 0.0016Imports t−12
∆CPI = 0.0141 + 1.2375CPI t−1 − 0.2682CPI t−2 + 0.0011CPI t−3
− 0.0151CPI t−4 − 0.1072CPI t−5 + 0.1060CPI t−6
+ 0.1439CPI t−7 − 0.1645CPI t−8 + 0.0013CPI t−9
+ 0.10406CPI t−10 − 0.0116CPI t−11 + 0.0306CPI t−12
+ 0.0069Imports t−1 − 0.0004Imports t−2 − 0.0035Imports t−3
− 0.0033Imports t−4 − 0.0002Imports t−5 + 0.0039Imports t−6
+ 0.0007Imports t−7 + 0.0041Imports t−8 − 0.0041Imports t−9
+ 0.0030Imports t−10 − 0.0040Imports t−11
− 0.0016Imports t−12

∆CPI = 0.0043 + 1.2096CPI t−1 − 0.2386CPI t−2 − 0.0199CPI t−3
− 0.0126CPI t−4 − 0.0985CPI t−5 + 0.0862CPI t−6
+ 0.1791CPI t−7 − 0.1767CPI t−8 + 0.0049CPI t−9
+ 0.0516CPI t−10 − 0.0136CPI t−11 + 0.0302CPI t−12
+ 0.0090Exports t−1 + 0.0013Exports t−2 − 0.0054Exports t−3
− 0.0048Exports t−4 + 0.0037Exports t−5 + 0.0011Exports t−6
+ 0.0033Exports t−7 − 0.0006Exports t−8 − 0.0050Exports t−9
+ 0.0009Exports t−10 − 0.0016Exports t−11
− 0.0029Exports t−12

∆Exports = 0.1552 + 2.2320CPI t−1 − 2.1922CPI t−2 + 1.1066CPI t−3
− 0.3156CPI t−4 − 0.4721CPI t−5 + 0.3130CPI t−6
− 3.3625CPI t−7 + 2.0842CPI t−8 + 1.0225CPI t−9
+ 0.3774CPI t−10 − 1.9642CPI t−11 + 1.2175CPI t−12
+ 0.03713Exports −1 + 0.3129Exports t−2 + 0.1869Exports t−3
− 0.0919Exports t−4 − 0.0216Exports t−5 − 0.0751Exports t−6
+ 0.0388Exports t−7 + 0.0247Exports t−8 + 0.01540Exports t−9
− 0.1541Exports t−10 − 0.1386Exports t−11
+ 0.3627Exports t−12

Next, the short‐run relationship between CPI & imports and CPI &
exports is determined using Granger‐Causality test at 5 per cent
significant level. The results are presented in Table 3.3.1.

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