2009-1970
ECM)
NFA)
1999
1)
1985
1
NFA
KAB
CAB
revaluation/devaluation)
double entry system
NDA
2)
NFA + DC –
DC
M
OTR
1- Net capital and financial account.
2- Net reserve asset transaction.
NKF 1)
RT
2009-1970
2009-1970
1
1999
1
2009-1999
780
275
1510.9
1999
2000
2001
2002
2005
5087
2007
2008
2009
10
10
90
2
2008-1998
5
-
2009-1970
M
2009-1970
1998
2007
TB
6000
4000
2000
0
-2000
-4000
-6000
-8000
70
75
80
85
90
TB F
70
75
80
85
95
00
05
00
05
± 2 S .E .
90
95
Forecast of V ari ance
10/ /
10/ /
Likelihood
Eigenvalue
Ratio
5 Percent
1 Percent
Critical Value Critical Value
Variable
None **
Coefficient Std. Error t-Statistic
C
Prob.
0.0000
At most 1 **
At most 2 **
INFLATION
INTEREST
-5.278922
At most 5 *
0.0000
Mean dependent var
0.808885
S.E. of regression
S.D. dependent var
Akaike info criterion
Schwarz criterion
interest
12 15
y
M2
Log likelihood
F-statistic
Durbin-Watson stat
0.000000
82
95
99
99
0.95
0.09
ADF
PP
ECM
8
R esponse of R E S E R V E S to One S .D . Innovations
60 0
R esponse of IN TE R E S T to One S .D . Innovations
4
50 0
2
40 0
0
30 0
20 0
-2
10 0
-4
0
-1 0 0
1
-6
2
3
4
5
6
RESERVES
I NT EREST
Y
7
8
9
10
1
2
3
M2
I NF L AT I ON
R esponse of Y to One S .D . Innovations
14 000
4
5
6
RESERVES
I NT EREST
Y
7
8
9
10
M2
I NF L AT I ON
R esponse of M2 to One S .D . Innovations
25 00
12 000
20 00
10 000
80 00
15 00
60 00
10 00
40 00
20 00
50 0
0
-2 0 0 0
1
0
2
3
4
5
6
RESERVES
I NT EREST
Y
7
8
9
10
1
M2
I NF L AT I ON
2
3
4
5
6
RESERVES
I NT EREST
Y
R esponse of IN FLA TION to One S .D . Innovations
7
8
9
10
M2
I NF L AT I ON
20
10
0
-1 0
-2 0
1
2
3
4
5
6
RESERVES
I NT EREST
Y
2
t 1
2
1 t
2
t 1
2
1 t
e
e
2
2 t 1
e
1
...
7
8
9
10
M2
I NF L AT I ON
2
p t p 1
e
Model specification 1)
NFA= 0+
2inflation-
2
t
NFA
inflation
interest
2009-1970
LDcredit
1
m
Y= 1+ 2+ Yt-1+
i 1
5
Yt - 1 +
t
m
C
INFLATION
I
Coefficient Std. Error z-Statistic Prob.
0.0001
0.0002
CREDIT0)
0.028590
C
cointegration
test
S.E. of regression
NFA)
Eigenvalue
Log likelihood
Durbin-Watson stat
Inverted AR Roots
0.0000
1.579750
0.5591
0.0000
Mean dependent var -18.28520
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
17.25181
0.000000
Likelihood 5 Percent
1 Percent
Ratio
Critical Value Critical Value
None **
At most 1 **
At most 2 **
99
Volatility
R esponse of N FA to One S .D . Innovations
R esponse of IN FLA TION to One S .D . Innovations
10
30
8
20
6
10
4
0
2
-1 0
0
-2 0
-2
-4
-3 0
1
2
3
4
5
6
NF A
I NF L AT I ON
I NT EREST
7
8
9
10
1
2
3
Y
DCREDI T
R esponse of IN TE R E S T to One S .D . Innovations
2
4
5
6
7
NF A
I NF L AT I ON
I NT EREST
8
9
10
Y
DCREDI T
R esponse of Y to One S .D . Innovations
30 000
1
20 000
0
-1
10 000
-2
0
-3
-4
1
2
3
4
5
6
NF A
I NF L AT I ON
I NT EREST
7
8
9
-1 0 0 0 0
1
10
2
3
Y
DCREDI T
4
5
6
7
NF A
I NF L AT I ON
I NT EREST
R esponse of D C R E D IT to One S .D . Innovations
8
9
10
Y
DCREDI T
80 00
60 00
40 00
20 00
0
-2 0 0 0
-4 0 0 0
1
2
3
4
5
NF A
I NF L AT I ON
I NT EREST
6
7
8
9
10
Y
DCREDI T
Reserve
M= k
(1)
: Flow Equation
1
k
M
R
OA
OL
518
)
)
1
2- NIR= net international reserves
2)
Y 2e i P 1
1=5 =
=K
R 2+ D
15
R = 1 Ln Y+ 2 LnP-
Ln
7
K5
8
RESERVES
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
Convergence achieved after 8 iterations
Variable
Coefficient Std. Error t-Statistic Prob.
C
1.252157 9.885589 0.0000
0.0000
INFLATION
0.0759
0.822881
0.0000
Mean dependent var
0.989117
S.D. dependent var
S.E. of regression
Akaike info criterion
Schwarz criterion
Log likelihood
F-statistic
Durbin-Watson stat
0.000000
Inverted AR Roots .82
TB
M2
-522.8290
1980.000
27.00885
0.129910
518.0185
Probability
Observations
10/ /
NFA
0.000000
0.000157
0.000000
0.000000
=R 2 + D .......................
M=K
R 2+ D
M/P 1=Y 2 e i
i
Y
2
:(exchange rate pass through)
. 1)
M = Y 2e i P 1
1
150
Forecast: IN FLA TION F
A ctual: IN FLA TION
Forecast sample: 1970 2009
Included observations: 40
100
50
R oot Mean S quared E rror
Mean A bsolute E rror
Mean A bs. P ercent E rror
Theil Inequality C oefficient
B ias P roportion
V ariance P roportion
C ovariance P roportion
0
-50
-100
-150
70
75
80
85
90
IN FLA TION F
95
00
05
± 2 S .E .
4000
3000
2000
1000
70
75
80
85
0
90
95
00
Forecast of V ariance
05
2011
References:
1.
2.
5.
7191-.
Bank of Sudan Annual Reports- different issues.
IMF.IFS different issues.
2887-
-