Money and price relationship in the economy of Bangladesh (a time series analysis with vector autoregressive model)

M₁, M₂ and consumer price datasets in Bangladesh economy are non-stationary at level but stationary upon first differencing. Consumer price and M₁, money supply are 1(0) co-integrated. Similarly consumer price and M₂ money supply are 1(0) co-integrated. Estimated Vector Error Correction(VEC) model indicates that short-run dynamics do not destabilize the long-run relationship among the variables concerned. There exists unidirectional Granger Causality running from M₁, money supply to consumer price and from M₂ money supply to consumer price.