Table 5 Long-run determinants of growth, finance and inflation in Mexico
From: Growth, bank credit, and inflation in Mexico: evidence from an ARDL-bounds testing approach
Regressor | Model A | Model B | Model C | Model D |
|---|---|---|---|---|
ARDL | ARDL | ARDL | ARDL | |
(1, 0, 0, 1, 0, 0, 1, 1) | (1, 0, 0, 1, 1, 1, 1, 0) | (1, 1, 0, 1, 1, 1, 1, 0) | (1, 1, 0, 1, 0, 0, 0, 0) | |
Speed of adjustment (ECMt−1) | −0.724* (−9.119) | −0.371* (−4.463) | −0.532* (−6.351) | −0.400* (−4.646) |
Intercept | 7.756* (8.833) | 11.047* (5.806) | 12.08* (10.559) | 7.04* (3.863) |
Government consumption, GOV t | 0.352* (8.662) | 0.526* (6.442) | 0.488* (8.693) | 0.621* (7.326) |
Gross investment, INV t | −0.009 (−1.213) | −0.010 (−0.590) | −0.033* (−2.678) | 0.007 (0.376) |
Exports, XP t | 0.203* (17.796) | 0.165* (5.948) | 0.195* (10.278) | 0.19* (6.567) |
Inflation, INF t | −0.099* (−3.308) | 0.320 (1.024) | −1.078* (−2.322) | 0.248 (1.608) |
Private credit, PC t | 0.260* (6.231) | – | – | – |
Financial development, FD t | – | −0.025*** (−1.792) | – | – |
Bank assets, BA t | – | – | −0.142* (−4.934) | – |
Liquid liabilities, LL t | – | – | – | −0.019 (−0.585) |
Inflation × private credit, INF × PC t | −0.070* (−7.540) | – | – | – |
Inflation × financial development index, INF × FD t | – | −0.106** (−2.020) | – | – |
Inflation × bank assets, INF × BA t | – | – | 0.298* (2.049) | – |
Inflation × liquid liabilities, INF × LL t | −0.267* (−2.967) | |||
Liberalization dummy, LIB t | 0.178* (9.891) | 0.119* (3.312) | 0.751** (2.894) | 0.220* (4.335) |
Adjusted R-squared | 0.791 | 0.810 | 0.811 | 0.685 |
Diagnostic tests (LM version) | ||||
Breusch–Godfrey | 0.131 (0.718) | 2.423 (0.120) | 0.087 (0.769) | 0.036 (0.849) |
Functional form | 0.889 (0.346) | 0.273 (0.601) | 0.948 (0.330) | 0.634 (0.426) |
ARCH | 0.001 (0.991) | 1.966 (0.161) | 0.038 (0.845) | 0.023 (0.878) |