Table 7 Result of “vector error...

Table 7

Result of “vector error correction model”

Independent variables	Dependent variables
Independent variables	D(NIFTY)	D(Oil price)	D(CPI)
ECT (⁠ $γ_{1}$ ⁠)	−4.05E‐05 [−0.60935]	1.57E‐06 [1.56402]	−1.41E‐06** [−5.46209]
D(NIFTY (−1))	0.085321 [1.07712]	−0.003951** [−3.29439]	0.000224 [0.72806]
D(NIFTY (−2))	−0.149724 [−1.84181]	−0.001336 [−1.08522]	−6.72E−05 [−0.21267]
D(NIFTY (−3))	0.073722 [0.89483]	0.000522 [0.41841]	−2.77E−05 [−0.08643]
D(NIFTY (−4))	−0.035177 [−0.43664]	0.000277 [0.22678]	−0.000555 [−1.77186]
D(NIFTY (−5))	−0.013752 [−0.17068]	0.000924 [0.75727]	−0.000485 [−1.54750]
D(NIFTY (−6))	−0.043407 [−0.53829]	0.001961 [1.60590]	0.000582 [1.85533]
D(NIFTY (−7))	0.112044 [1.36433]	0.001618 [1.30118]	−4.10E−05 [−0.12829]
D(Oil price (−1))	7.002599 [1.51866]	0.372757** [5.33957]	−0.003389 [−0.18908]
D(Oil price (−2))	−2.776281 [−0.57036]	0.015179 [0.20597]	0.003774 [0.19943]
D(Oil price (−3))	3.560597 [0.73522]	−0.069888 [−0.95318]	0.010136 [0.53835]
D(Oil price (−4))	−12.78298* [−2.64297]	−0.054685 [−0.74681]	−0.009627 [−0.51203]
D(Oil price (−5))	5.313831 [1.08404]	0.061001 [0.82196]	−0.016187 [−0.84946]
D(Oil price (−6))	−8.478020 [−1.71428]	−0.148245 [−1.97991]	0.007309 [0.38018]
D(Oil price (−7))	−0.245776 [−0.05385]	0.041780 [0.60461]	−0.017829 [−1.00484]
D(CPI (−1))	5.889045 [0.35437]	−0.002447 [−0.00973]	0.252379** [3.90652]
D(CPI (−2))	4.413074 [0.26573]	0.120188 [0.47801]	−0.097657 [−1.51261]
D(CPI (−3))	−21.48608 [−1.35477]	0.023979 [0.09987]	0.005722 [0.09280]
D(CPI (−4))	0.953160 [0.06048]	−0.336404 [−1.40989]	−0.107521 [−1.75497]
D(CPI (−5))	−12.62917 [−0.79265]	−0.295597 [−1.22542]	−0.271895** [−4.38971]
D(CPI (−6))	0.049809 [0.00302]	0.223813 [0.89556]	0.207363** [3.23142]
D(CPI (−7))	−29.14921 [−1.77583]	0.083338 [0.33535]	−0.385237** [−6.03714]
C	81.65464 [1.78058]	−0.149552 [−0.21540]	1.366357** [7.66432]

Independent variables	Dependent variables
Independent variables	D(NIFTY)	D(Oil price)	D(CPI)
ECT ( $γ_{1}$ )	−4.05E‐05 [−0.60935]	1.57E‐06 [1.56402]	−1.41E‐06** [−5.46209]
D(NIFTY (−1))	0.085321 [1.07712]	−0.003951** [−3.29439]	0.000224 [0.72806]
D(NIFTY (−2))	−0.149724 [−1.84181]	−0.001336 [−1.08522]	−6.72E−05 [−0.21267]
D(NIFTY (−3))	0.073722 [0.89483]	0.000522 [0.41841]	−2.77E−05 [−0.08643]
D(NIFTY (−4))	−0.035177 [−0.43664]	0.000277 [0.22678]	−0.000555 [−1.77186]
D(NIFTY (−5))	−0.013752 [−0.17068]	0.000924 [0.75727]	−0.000485 [−1.54750]
D(NIFTY (−6))	−0.043407 [−0.53829]	0.001961 [1.60590]	0.000582 [1.85533]
D(NIFTY (−7))	0.112044 [1.36433]	0.001618 [1.30118]	−4.10E−05 [−0.12829]
D(Oil price (−1))	7.002599 [1.51866]	0.372757** [5.33957]	−0.003389 [−0.18908]
D(Oil price (−2))	−2.776281 [−0.57036]	0.015179 [0.20597]	0.003774 [0.19943]
D(Oil price (−3))	3.560597 [0.73522]	−0.069888 [−0.95318]	0.010136 [0.53835]
D(Oil price (−4))	−12.78298* [−2.64297]	−0.054685 [−0.74681]	−0.009627 [−0.51203]
D(Oil price (−5))	5.313831 [1.08404]	0.061001 [0.82196]	−0.016187 [−0.84946]
D(Oil price (−6))	−8.478020 [−1.71428]	−0.148245 [−1.97991]	0.007309 [0.38018]
D(Oil price (−7))	−0.245776 [−0.05385]	0.041780 [0.60461]	−0.017829 [−1.00484]
D(CPI (−1))	5.889045 [0.35437]	−0.002447 [−0.00973]	0.252379** [3.90652]
D(CPI (−2))	4.413074 [0.26573]	0.120188 [0.47801]	−0.097657 [−1.51261]
D(CPI (−3))	−21.48608 [−1.35477]	0.023979 [0.09987]	0.005722 [0.09280]
D(CPI (−4))	0.953160 [0.06048]	−0.336404 [−1.40989]	−0.107521 [−1.75497]
D(CPI (−5))	−12.62917 [−0.79265]	−0.295597 [−1.22542]	−0.271895** [−4.38971]
D(CPI (−6))	0.049809 [0.00302]	0.223813 [0.89556]	0.207363** [3.23142]
D(CPI (−7))	−29.14921 [−1.77583]	0.083338 [0.33535]	−0.385237** [−6.03714]
C	81.65464 [1.78058]	−0.149552 [−0.21540]	1.366357** [7.66432]

Note(s): *** Statistically significant at 1% level; ** at 5% level; [ ] t-values

Source(s): Calculated by authors

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