V. EMPIRICAL RESULTS Steps of empirical analysis Step I Stationarity test of the variables used in the empirical analysis All the variables (inflation measures and the weighted average call money rate) used in the empirical analysis were found to be stationary in level (results not reported). Step II ARMA filtering of the inflation measures and the weighted average call money rate to derive the innovations series for each variable Table 2 gives the relevant ARMA models for each of the variables used in the empirical analysis derived using the Box Jenkins methodology. The innovation series for each variable is then derived as the residual series derived by subtracting the fitted values of the variables from the actual values. The residual series had become a white noise process as authenticated by the Box Pierce Test (results not reported here).
