Markov regime-switching models for CPI growth (1998: Q1– 2019: Q2)
| Variables | MSM1 | MSM2 | MSM3 | MSM4 |
|---|---|---|---|---|
| Constant (Regime 0) | 0.0181815 [6.25] (0.000) | 0.0190146 [6.77] (0.000) | 0.0214956 [5.64] (0.000) | 0.0325443 [4.489] (0.000) |
| Constant (Regime 1) | 0.0844184 [10.2] (0.000) | 0.0840974 [10.9] (0.000) | 0.0598313 [6.25] 0.000 | 0.0727235 [5.00] (0.000) |
| Exchange_g (Regime 0) | 0.103916 [ 3.60] (0.001) | 0.0948989 [3.32] (0.001) | 0.0984918 [3.68] (0.000) | 0.0960139 [3.67] (0.000) |
| Exchange_g (Regime 1) | 0.196280 [5.53] (0.000) | 0.192966 [5.17] (0.000) | 0.154293 [4.25] 0.000 | 0.154087 [4.40] (0.000) |
| GDP_g (Regime 0) | 0.00177550 [2.32] (0.023) | 0.00229493 [2.81] (0.006) | 0.00255074 [3.32] 0.001 | 0.00230061 [3.04] (0.003) |
| GDP_g (Regime 1) | 0.00703356 [4.42] (0.000) | 0.00704282 [4.54] (0.000) | 0.00870093 [6.03] (0.000) | 0.00897510 [6.28] (0.000) |
| IP_g (Regime 0) | – | −0.116800 [−1.66] (0.102) | −0.132203 [−2.01] (0.048) | −0.132315 [−2.00] (0.049) |
| IP_g (Regime 1) | – | −0.0416746 [−0.337] ( 0.737) | −0.142926 [−1.28] (0.206) | −0.101737 [−0.911] (0.365) |
| Econ-Uncertainty (Regime 0) | – | – | −0.00991373 [−1.04] (0.304) | 0.00102752 [0.0914] (0.927) |
| Econ-Uncertainty (Regime 1) | – | – | 0.0839755 [3.34] ( 0.001) | 0.0855484 [3.50] (0.001) |
| Geo-Risk (Regime 0) | – | – | – | −0.000117223 –[1.77] (0.082) |
| Geo-Risk (Regime 1) | – | – | – | −0.000123795 [−1.20] (0.235) |
| Variables | MSM1 | MSM2 | MSM3 | MSM4 |
|---|---|---|---|---|
| Constant | 0.0181815 | 0.0190146 | 0.0214956 | 0.0325443 |
| Constant | 0.0844184 | 0.0840974 | 0.0598313 | 0.0727235 |
| Exchange_g | 0.103916 | 0.0948989 | 0.0984918 | 0.0960139 |
| Exchange_g | 0.196280 | 0.192966 | 0.154293 | 0.154087 |
| GDP_g | 0.00177550 | 0.00229493 | 0.00255074 | 0.00230061 |
| GDP_g | 0.00703356 | 0.00704282 | 0.00870093 | 0.00897510 |
| IP_g | – | −0.116800 | −0.132203 | −0.132315 |
| IP_g | – | −0.0416746 | −0.142926 | −0.101737 |
| Econ-Uncertainty | – | – | −0.00991373 | 0.00102752 |
| Econ-Uncertainty | – | – | 0.0839755 | 0.0855484 |
| Geo-Risk | – | – | – | −0.000117223 |
| Geo-Risk | – | – | – | −0.000123795 |
Notes:
The dependent variable is CPI growth. The independent variables are given in the first column. The values in brackets are t-values and the t prob. values are given in parentheses