Data Source

The data-set used in this paper is drawn from the IMF’s International Financial Statistics, Central Bank of Sri Lanka (CBSL) and World Economic Outlook databases. The aggregate (average) monthly interest rate data are used for the period January 1997 to December 2016. In addition to the 3-month Treasury bill rates (TBR), the sample consists of average bank lending rates (LR) and deposit rates (DR). Average bank lending rates include average prime lending rates (AWPR) for licensed commercial banks (LCBs) and average lending rates (LRS) for licensed specialized banks (LSBs). Average bank deposit rates include average savings rates and average fixed deposit rates (AWDR and AWFDR) for LCBs and average deposit rates (DRS) for LSBs. Further, SVAR model use quarterly data such as real non-hydrocarbon GDP (Y), Colombo consumer prices (CCPI), a broad measure of domestic credit (DC), real effective exchange rate (ER) and the 3-month Treasury bill rates (TBR).