21. Phạm Thế Anh (2009), ‘Xác định các nhân tố quyết định lạm phát ở Việt Nam’,
Tạp chí Kinh tế Phát triển, ISSN: 1859-0012, số 150.
22. Phạm Thị Hoàng Anh và Lê Hà Thu (2014), ‘Đánh giá hiệu lực cơ chế truyền dẫn của chính sách tiền tệ qua kênh tín dụng tại Việt Nam’, Tạp chí Khoa học đào tạo ngân hàng, số 149, tr. 1-12.
23. Phan Minh Ngọc (2016), ‘Nới lỏng chính sách đã đến ngưỡng’, truy cập ngày
30 tháng 4 năm 2016 từ http://cafef.vn/noi-long-chinh-sach-da-den-nguong- 20160630134809219.chn.
24. Schwert, G. W. (1989), ‘Tests for unit roots: A Monte Carlo investigation’,
Journal of Business & Economic Statistics, số 7, tập 2, tr. 147-159.
25. Sun, S., Gan C., and Hu, B. (2010), ‘Bank lending channel in China’s monetary policy transmission mechanism: A VECM approach’, Investment Management and Financial Innovations, số 7(2), tr. 59-71, truy cập ngày 30 tháng 9 năm 2013 từ
http://businessperspectives.org/journals_free/imfi/2010/imfi_en_2010_02_Sun.pdf.
26. Tang, T. C. (2001), ‘Bank lending and inflation in Malaysia: Assessment from unrestricted error-correction model’, Asian Economic Journal, Số 15(3), tr. 275-289.
27. TK (2008), ‘Các giải pháp tiền tệ, tín dụng và hoạt động ngân hàng nhằm kiềm chế lạm phát và ổn định vĩ mô’, Tạp chí ngân hàng¸ Số 4, tr. 26-27.
28. Tô Ánh Dương, Bùi Quang Tuấn, Phạm Sỹ An, Dương Thị Thanh Bình, và Trần Thị Kim Chi (2012), ‘Lạm phát mục tiêu và hàm ý đối với khuôn khổ CSTT ở Việt Nam’, NXB Tri thức, Hà Nội.
29. Tổng cục thống kê (2000-2014), ‘Báo cáo thường niên’, truy cập ngày 30 tháng 5 năm 2015, từ http://gso.gov.vn
30. Trầm Thị Xuân Hương, Võ Xuân Vinh và Nguyễn Phúc Cảnh (2014), ‘Truyền dẫn của chính sách tiền tệ: Một số mô hình kiểm định phù hợp’, Tạp chí Phát triển và Hội nhập, Số 16 (26), tr. 41-46.
31. Trần Ngọc Thơ và Nguyễn Hữu Tuấn (2013), ‘Cơ chế truyền dẫn chính sách tiền tệ ở Việt Nam tiếp cận theo mô hình SVAR’, Tạp chí Phát triển và Hội nhập, Số 10 (20), tr. 8-16.
32. Ziramba, E (2008), ‘Bank lending, expenditure components and inflation in South Africa: Assessment from bound testing approach’, SAJEMS, Số 11(2), tr. 217-228.
PHỤ LỤC
Kiểm định biến tồn tại trong dài hạn
Vector Error Correction Estimates Sample (adjusted): 2001M05 2014M12
Included observations: 164 after adjustments Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions: B(1,1)=0, B(2,1)=0
Convergence achieved after 36 iterations. Not all cointegrating vectors are identified LR test for binding restrictions (rank = 2):
27.95891 | ||||||
Probability | 0.000001 | |||||
Cointegrating Eq: | CointEq1 | CointEq2 | ||||
CREDIT(-1) | 0.000000 | 0.000000 | ||||
RR(-1) | 24.73662 | 5.682952 | ||||
RC(-1) | -66.43575 | -69.21537 | ||||
RL(-1) | 107.2732 | 66.94942 | ||||
IPI_TC(-1) | -6.076891 | -2.770321 | ||||
CPI(-1) | 7.821790 | 3.427039 | ||||
C | -17.67930 | -7.018447 | ||||
Error Correction: | D(CREDIT) | D(RR) | D(RC) | D(RL) | D(IPI_TC) | D(CPI) |
CointEq1 | -0.000333 | -0.001365 | -0.001089 | -0.002329 | -7.02E-05 | 0.000315 |
(0.00071) | (0.00059) | (0.00057) | (0.00051) | (9.1E-05) | (0.00030) | |
[-0.46705] | [-2.32521] | [-1.90435] | [-4.54687] | [-0.77247] | [ 1.04859] | |
CointEq2 | 0.001585 | 0.000456 | 0.002895 | -9.08E-05 | 0.000198 | 0.000817 |
(0.00133) | (0.00109) | (0.00106) | (0.00095) | (0.00017) | (0.00056) | |
[ 1.19388] | [ 0.41707] | [ 2.72115] | [-0.09528] | [ 1.16957] | [ 1.46290] | |
D(CREDIT(-1)) | 0.511392 | -0.114037 | -0.053170 | -0.009192 | 0.010899 | 0.054995 |
(0.08544) | (0.07032) | (0.06847) | (0.06134) | (0.01089) | (0.03595) | |
[ 5.98518] | [-1.62170] | [-0.77655] | [-0.14984] | [ 1.00120] | [ 1.52969] | |
D(CREDIT(-2)) | 0.217350 | 0.131780 | -0.036043 | -0.039418 | -0.007725 | 0.008019 |
(0.09537) | (0.07849) | (0.07642) | (0.06847) | (0.01215) | (0.04013) | |
[ 2.27907] | [ 1.67898] | [-0.47163] | [-0.57570] | [-0.63582] | [ 0.19985] | |
D(CREDIT(-3)) | 0.030688 | -0.098574 | 0.056863 | 0.052668 | -0.001753 | 0.059700 |
(0.08868) | (0.07299) | (0.07107) | (0.06367) | (0.01130) | (0.03732) | |
[ 0.34604] | [-1.35055] | [ 0.80013] | [ 0.82719] | [-0.15515] | [ 1.59988] | |
D(RR(-1)) | 0.115109 | 0.083778 | -0.107717 | -0.032285 | -0.000788 | 0.001288 |
(0.09894) | (0.08142) | (0.07928) | (0.07103) | (0.01260) | (0.04163) | |
[ 1.16347] | [ 1.02890] | [-1.35866] | [-0.45453] | [-0.06250] | [ 0.03093] | |
D(RR(-2)) | 0.059723 | 0.015558 | -0.096692 | -0.042586 | 0.009747 | 0.040256 |
(0.09636) | (0.07930) | (0.07722) | (0.06918) | (0.01228) | (0.04054) | |
[ 0.61980] | [ 0.19618] | [-1.25222] | [-0.61559] | [ 0.79395] | [ 0.99289] |
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Phân tích kênh tín dụng ngân hàng trong cơ chế truyền dẫn tiền tệ ở Việt Nam: Tiếp cận bằng mô hình VECM - 15 -
Phân tích kênh tín dụng ngân hàng trong cơ chế truyền dẫn tiền tệ ở Việt Nam: Tiếp cận bằng mô hình VECM - 16 -
Phân tích kênh tín dụng ngân hàng trong cơ chế truyền dẫn tiền tệ ở Việt Nam: Tiếp cận bằng mô hình VECM - 17
Xem toàn bộ 138 trang tài liệu này.
-0.050824 | 0.046352 | 0.062635 | 0.108362 | -0.009428 | 0.023259 | |
(0.09103) | (0.07491) | (0.07294) | (0.06535) | (0.01160) | (0.03830) | |
[-0.55835] | [ 0.61873] | [ 0.85869] | [ 1.65815] | [-0.81299] | [ 0.60729] | |
D(RC(-1)) | -0.194737 | -0.079122 | -0.094483 | 0.269689 | 0.018868 | 0.165869 |
(0.11387) | (0.09371) | (0.09125) | (0.08175) | (0.01451) | (0.04791) | |
[-1.71022] | [-0.84430] | [-1.03547] | [ 3.29893] | [ 1.30058] | [ 3.46199] | |
D(RC(-2)) | -0.054880 | -0.178210 | -0.212404 | -0.139201 | -0.000979 | -0.104654 |
(0.11651) | (0.09589) | (0.09337) | (0.08365) | (0.01484) | (0.04902) | |
[-0.47101] | [-1.85846] | [-2.27493] | [-1.66409] | [-0.06595] | [-2.13470] | |
D(RC(-3)) | -0.012263 | -0.088652 | -0.093913 | -0.047462 | -0.013787 | 0.016361 |
(0.11752) | (0.09672) | (0.09417) | (0.08437) | (0.01497) | (0.04945) | |
[-0.10435] | [-0.91659] | [-0.99722] | [-0.56252] | [-0.92078] | [ 0.33086] | |
D(RL(-1)) | -0.261170 | 0.409061 | 0.036553 | 0.106640 | -0.010570 | -0.062914 |
(0.11486) | (0.09453) | (0.09204) | (0.08246) | (0.01463) | (0.04833) | |
[-2.27381] | [ 4.32730] | [ 0.39714] | [ 1.29318] | [-0.72231] | [-1.30178] | |
D(RL(-2)) | -0.015776 | 0.300960 | 0.233818 | 0.252344 | 0.016833 | 0.137948 |
(0.12347) | (0.10162) | (0.09894) | (0.08864) | (0.01573) | (0.05195) | |
[-0.12778] | [ 2.96175] | [ 2.36321] | [ 2.84671] | [ 1.07008] | [ 2.65531] | |
D(RL(-3)) | -0.011236 | 0.038094 | 0.250463 | 0.012952 | -0.014532 | -0.254753 |
(0.12421) | (0.10222) | (0.09953) | (0.08917) | (0.01582) | (0.05226) | |
[-0.09046] | [ 0.37266] | [ 2.51636] | [ 0.14524] | [-0.91831] | [-4.87447] | |
D(IPI_TC(-1)) | 0.552774 | -0.418299 | -0.224951 | 0.197798 | 2.335073 | -0.041977 |
(0.43883) | (0.36116) | (0.35166) | (0.31506) | (0.05591) | (0.18465) | |
[ 1.25965] | [-1.15821] | [-0.63969] | [ 0.62781] | [ 41.7656] | [-0.22734] | |
D(IPI_TC(-2)) | -0.793545 | 0.886485 | 0.291462 | -0.288871 | -2.148996 | 0.034728 |
(0.74635) | (0.61425) | (0.59808) | (0.53584) | (0.09509) | (0.31404) | |
[-1.06324] | [ 1.44321] | [ 0.48733] | [-0.53910] | [-22.6002] | [ 0.11059] | |
D(IPI_TC(-3)) | 0.358395 | -0.560544 | -0.134880 | 0.113258 | 0.763415 | -0.037238 |
(0.43151) | (0.35513) | (0.34578) | (0.30980) | (0.05498) | (0.18156) | |
[ 0.83057] | [-1.57841] | [-0.39007] | [ 0.36559] | [ 13.8864] | [-0.20510] | |
D(CPI(-1)) | -0.161521 | 0.175964 | 0.510135 | 0.464810 | -0.032200 | 0.854784 |
(0.19596) | (0.16128) | (0.15703) | (0.14069) | (0.02497) | (0.08245) | |
[-0.82426] | [ 1.09108] | [ 3.24863] | [ 3.30383] | [-1.28976] | [ 10.3669] | |
D(CPI(-2)) | 0.071513 | -0.026321 | 0.083729 | 0.009759 | -0.033671 | -0.222668 |
(0.24338) | (0.20030) | (0.19503) | (0.17473) | (0.03101) | (0.10240) | |
[ 0.29384] | [-0.13141] | [ 0.42932] | [ 0.05585] | [-1.08592] | [-2.17440] | |
D(CPI(-3)) | 0.129837 | 0.042953 | -0.110910 | 0.139591 | 0.037356 | 0.114030 |
(0.19102) | (0.15721) | (0.15307) | (0.13714) | (0.02434) | (0.08037) | |
[ 0.67971] | [ 0.27322] | [-0.72456] | [ 1.01787] | [ 1.53497] | [ 1.41875] | |
C | 0.003523 | 0.001129 | -0.002001 | -0.004456 | 0.000607 | -0.000332 |
(0.00197) | (0.00162) | (0.00158) | (0.00142) | (0.00025) | (0.00083) | |
[ 1.78454] | [ 0.69465] | [-1.26464] | [-3.14346] | [ 2.41288] | [-0.39971] | |
R-squared | 0.645623 | 0.344225 | 0.405534 | 0.536545 | 0.985728 | 0.812661 |
Adj. R-squared | 0.596060 | 0.252508 | 0.322392 | 0.471726 | 0.983732 | 0.786460 |
Sum sq. resids | 0.007549 | 0.005113 | 0.004848 | 0.003891 | 0.000123 | 0.001337 |
S.E. equation | 0.007266 | 0.005980 | 0.005822 | 0.005216 | 0.000926 | 0.003057 |
F-statistic | 13.02624 | 3.753128 | 4.877599 | 8.277609 | 493.8333 | 31.01613 |
Log likelihood | 586.1593 | 618.1054 | 622.4794 | 640.5023 | 924.0636 | 728.1303 |
Akaike AIC | -6.892186 | -7.281773 | -7.335114 | -7.554906 | -11.01297 | -8.623540 |
Schwarz SC | -6.495252 | -6.884839 | -6.938180 | -7.157972 | -10.61604 | -8.226606 |
Mean dependent | 0.020043 | -0.000122 | -1.83E-05 | -8.84E-05 | 0.009018 | 0.006779 |
S.D. dependent | 0.011432 | 0.006916 | 0.007073 | 0.007177 | 0.007258 | 0.006616 |
Determinant resid covariance (dof
adj.) 9.37E-30
Determinant resid covariance 4.12E-30
Log likelihood 4152.040
Akaike information criterion -48.95171
Schwarz criterion -46.34329
Vector Error Correction Estimates Sample (adjusted): 2001M05 2014M12
Included observations: 164 after adjustments Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions: B(1,2)=0, B(2,2)=0
Convergence achieved after 12 iterations. Not all cointegrating vectors are identified LR test for binding restrictions (rank = 2):
21.50877 | ||||||
Probability | 0.000021 | |||||
Cointegrating Eq: | CointEq1 | CointEq2 | ||||
CREDIT(-1) | -9.093525 | 6.676652 | ||||
RR(-1) | 0.000000 | 0.000000 | ||||
RC(-1) | -88.08605 | -46.20656 | ||||
RL(-1) | 141.0270 | 27.75247 | ||||
IPI_TC(-1) | 3.793409 | -7.799430 | ||||
CPI(-1) | 21.75909 | -9.898944 | ||||
C | 2.915517 | -15.86703 | ||||
Error Correction: | D(CREDIT) | D(RR) | D(RC) | D(RL) | D(IPI_TC) | D(CPI) |
CointEq1 | -0.000375 | -0.000542 | -8.42E-05 | -0.002481 | -6.88E-05 | 0.000487 |
(0.00057) | (0.00048) | (0.00046) | (0.00040) | (7.2E-05) | (0.00024) | |
[-0.65903] | [-1.13199] | [-0.18227] | [-6.21096] | [-0.96037] | [ 2.03455] | |
CointEq2 | 0.001596 | -0.000159 | 0.001810 | 0.000408 | 0.000283 | 0.000957 |
(0.00099) | (0.00083) | (0.00080) | (0.00070) | (0.00012) | (0.00042) | |
[ 1.61252] | [-0.19114] | [ 2.24974] | [ 0.58677] | [ 2.27060] | [ 2.29552] | |
D(CREDIT(-1)) | 0.482454 | -0.118731 | -0.070218 | -0.071406 | 0.005117 | 0.052032 |
(0.08730) | (0.07358) | (0.07096) | (0.06135) | (0.01100) | (0.03678) | |
[ 5.52647] | [-1.61360] | [-0.98948] | [-1.16398] | [ 0.46539] | [ 1.41468] | |
D(CREDIT(-2)) | 0.190677 | 0.134478 | -0.048962 | -0.084479 | -0.012784 | 0.003351 |
(0.09642) | (0.08127) | (0.07838) | (0.06776) | (0.01214) | (0.04062) | |
[ 1.97751] | [ 1.65467] | [-0.62466] | [-1.24678] | [-1.05264] | [ 0.08248] | |
D(CREDIT(-3)) | -0.015811 | -0.086887 | 0.037770 | -0.017105 | -0.009742 | 0.053351 |
(0.09261) | (0.07806) | (0.07528) | (0.06508) | (0.01166) | (0.03902) | |
[-0.17073] | [-1.11311] | [ 0.50171] | [-0.26284] | [-0.83522] | [ 1.36737] | |
D(RR(-1)) | 0.110348 | 0.088847 | -0.100681 | -0.049798 | -0.001408 | 0.005542 |
(0.09860) | (0.08310) | (0.08015) | (0.06929) | (0.01242) | (0.04154) | |
[ 1.11919] | [ 1.06911] | [-1.25619] | [-0.71874] | [-0.11336] | [ 0.13342] | |
D(RR(-2)) | 0.050697 | 0.018434 | -0.092378 | -0.071419 | 0.007829 | 0.042549 |
(0.09600) | (0.08091) | (0.07804) | (0.06746) | (0.01209) | (0.04044) | |
[ 0.52811] | [ 0.22783] | [-1.18379] | [-1.05870] | [ 0.64750] | [ 1.05203] | |
D(RR(-3)) | -0.048820 | 0.040184 | 0.071125 | 0.083039 | -0.010500 | 0.025782 |
(0.08974) | (0.07564) | (0.07295) | (0.06306) | (0.01130) | (0.03781) | |
[-0.54404] | [ 0.53128] | [ 0.97502] | [ 1.31682] | [-0.92903] | [ 0.68193] | |
D(RC(-1)) | -0.233176 | -0.067836 | -0.121962 | 0.231527 | 0.015608 | 0.169631 |
(0.11361) | (0.09576) | (0.09236) | (0.07984) | (0.01431) | (0.04787) | |
[-2.05234] | [-0.70838] | [-1.32055] | [ 2.89990] | [ 1.09070] | [ 3.54377] | |
D(RC(-2)) | -0.059714 | -0.189813 | -0.227368 | -0.156521 | -0.000699 | -0.098557 |
(0.11547) | (0.09732) | (0.09386) | (0.08114) | (0.01454) | (0.04865) | |
[-0.51715] | [-1.95035] | [-2.42238] | [-1.92902] | [-0.04807] | [-2.02597] | |
D(RC(-3)) | -0.018858 | -0.093655 | -0.101670 | -0.065504 | -0.014614 | 0.018703 |
(0.11682) | (0.09847) | (0.09497) | (0.08210) | (0.01471) | (0.04922) | |
[-0.16143] | [-0.95112] | [-1.07059] | [-0.79790] | [-0.99322] | [ 0.37999] | |
D(RL(-1)) | -0.256427 | 0.433751 | 0.063718 | 0.137818 | -0.012422 | -0.079107 |
(0.11333) | (0.09552) | (0.09213) | (0.07964) | (0.01427) | (0.04775) | |
[-2.26263] | [ 4.54077] | [ 0.69163] | [ 1.73051] | [-0.87022] | [-1.65676] | |
D(RL(-2)) | -0.012501 | 0.307998 | 0.248518 | 0.259691 | 0.014263 | 0.124260 |
(0.12322) | (0.10385) | (0.10016) | (0.08659) | (0.01552) | (0.05191) | |
[-0.10146] | [ 2.96567] | [ 2.48119] | [ 2.99924] | [ 0.91905] | [ 2.39365] | |
D(RL(-3)) | 0.005403 | 0.022759 | 0.258107 | 0.016342 | -0.014941 | -0.261723 |
(0.12392) | (0.10445) | (0.10073) | (0.08708) | (0.01561) | (0.05221) | |
[ 0.04360] | [ 0.21790] | [ 2.56231] | [ 0.18766] | [-0.95730] | [-5.01308] | |
D(IPI_TC(-1)) | 0.460041 | -0.295196 | -0.183531 | 0.169410 | 2.315286 | -0.096128 |
(0.43524) | (0.36685) | (0.35381) | (0.30585) | (0.05482) | (0.18337) | |
[ 1.05698] | [-0.80467] | [-0.51873] | [ 0.55389] | [ 42.2355] | [-0.52422] | |
D(IPI_TC(-2)) | -0.635216 | 0.684271 | 0.226461 | -0.228740 | -2.115917 | 0.121100 |
(0.74063) | (0.62426) | (0.60206) | (0.52046) | (0.09328) | (0.31204) | |
[-0.85766] | [ 1.09613] | [ 0.37614] | [-0.43950] | [-22.6829] | [ 0.38809] | |
D(IPI_TC(-3)) | 0.280950 | -0.409578 | -0.061670 | 0.136129 | 0.746834 | -0.091901 |
(0.42288) | (0.35643) | (0.34376) | (0.29717) | (0.05326) | (0.17816) | |
[ 0.66437] | [-1.14910] | [-0.17940] | [ 0.45809] | [ 14.0220] | [-0.51582] | |
D(CPI(-1)) | -0.131910 | 0.131421 | 0.496833 | 0.468789 | -0.028563 | 0.860783 |
(0.19416) | (0.16365) | (0.15783) | (0.13644) | (0.02445) | (0.08180) | |
[-0.67940] | [ 0.80306] | [ 3.14791] | [ 3.43591] | [-1.16802] | [ 10.5229] | |
D(CPI(-2)) | 0.103744 | -0.056625 | 0.083063 | 0.030854 | -0.028998 | -0.216055 |
(0.24205) | (0.20401) | (0.19676) | (0.17009) | (0.03049) | (0.10198) | |
[ 0.42861] | [-0.27755] | [ 0.42216] | [ 0.18140] | [-0.95120] | [-2.11866] | |
D(CPI(-3)) | 0.181468 | -0.028916 | -0.133683 | 0.156433 | 0.045222 | 0.128937 |
(0.18830) | (0.15871) | (0.15307) | (0.13232) | (0.02372) | (0.07933) | |
[ 0.96371] | [-0.18219] | [-0.87334] | [ 1.18220] | [ 1.90678] | [ 1.62524] | |
C | 0.004901 | 0.001276 | -0.001218 | -0.001708 | 0.000902 | -3.91E-05 |
(0.00221) | (0.00187) | (0.00180) | (0.00155) | (0.00028) | (0.00093) | |
[ 2.21507] | [ 0.68425] | [-0.67687] | [-1.09838] | [ 3.23601] | [-0.04199] | |
R-squared | 0.650021 | 0.320720 | 0.395864 | 0.561505 | 0.986225 | 0.814506 |
Adj. R-squared | 0.601073 | 0.225715 | 0.311370 | 0.500177 | 0.984299 | 0.788562 |
Sum sq. resids | 0.007456 | 0.005297 | 0.004927 | 0.003682 | 0.000118 | 0.001323 |
S.E. equation | 0.007221 | 0.006086 | 0.005870 | 0.005074 | 0.000909 | 0.003042 |
F-statistic | 13.27982 | 3.375845 | 4.685092 | 9.155774 | 511.9129 | 31.39565 |
Log likelihood | 587.1834 | 615.2177 | 621.1563 | 645.0419 | 926.9707 | 728.9417 |
Akaike AIC | -6.904676 | -7.246557 | -7.318979 | -7.610267 | -11.04842 | -8.633435 |
-6.507742 | -6.849623 | -6.922045 | -7.213333 | -10.65149 | -8.236501 | |
Mean dependent | 0.020043 | -0.000122 | -1.83E-05 | -8.84E-05 | 0.009018 | 0.006779 |
S.D. dependent | 0.011432 | 0.006916 | 0.007073 | 0.007177 | 0.007258 | 0.006616 |
Determinant resid covariance (dof
adj.) 9.01E-30
Determinant resid covariance 3.96E-30
Log likelihood 4155.265
Akaike information criterion -48.99104
Schwarz criterion -46.38262
Vector Error Correction Estimates Sample (adjusted): 2001M05 2014M12
Included observations: 164 after adjustments Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions: B(1,3)=0, B(2,3)=0
Convergence achieved after 6 iterations. Not all cointegrating vectors are identified LR test for binding restrictions (rank = 2):
15.90670 | ||||||
Probability | 0.000351 | |||||
Cointegrating Eq: | CointEq1 | CointEq2 | ||||
CREDIT(-1) | -4.414917 | 22.05797 | ||||
RR(-1) | 12.60804 | 64.72948 | ||||
RC(-1) | 0.000000 | 0.000000 | ||||
RL(-1) | 50.32887 | -31.58391 | ||||
IPI_TC(-1) | 2.412521 | -26.04778 | ||||
CPI(-1) | 9.713550 | -31.43230 | ||||
C | 1.769837 | -54.23744 | ||||
Error Correction: | D(CREDIT) | D(RR) | D(RC) | D(RL) | D(IPI_TC) | D(CPI) |
CointEq1 | -0.000226 | -0.001006 | -0.001141 | -0.002609 | -9.66E-05 | 0.000186 |
(0.00067) | (0.00055) | (0.00056) | (0.00050) | (8.5E-05) | (0.00029) | |
[-0.33846] | [-1.83720] | [-2.05341] | [-5.27124] | [-1.13991] | [ 0.63653] | |
CointEq2 | 0.001749 | -0.001635 | 0.000283 | 0.000329 | 0.000213 | 0.000392 |
(0.00055) | (0.00045) | (0.00046) | (0.00041) | (7.0E-05) | (0.00024) | |
[ 3.17009] | [-3.60663] | [ 0.61622] | [ 0.80206] | [ 3.03213] | [ 1.61907] | |
D(CREDIT(-1)) | 0.417322 | -0.026455 | -0.062580 | -0.060697 | -0.001358 | 0.040013 |
(0.08889) | (0.07303) | (0.07409) | (0.06602) | (0.01130) | (0.03905) | |
[ 4.69497] | [-0.36222] | [-0.84463] | [-0.91936] | [-0.12015] | [ 1.02467] | |
D(CREDIT(-2)) | 0.153399 | 0.192650 | -0.045163 | -0.077542 | -0.016369 | -0.003398 |
(0.09524) | (0.07826) | (0.07939) | (0.07074) | (0.01211) | (0.04184) | |
[ 1.61066] | [ 2.46182] | [-0.56890] | [-1.09616] | [-1.35142] | [-0.08121] | |
D(CREDIT(-3)) | -0.068083 | -0.005581 | 0.028086 | 0.007522 | -0.015305 | 0.034937 |
(0.09238) | (0.07591) | (0.07701) | (0.06862) | (0.01175) | (0.04059) | |
[-0.73696] | [-0.07353] | [ 0.36473] | [ 0.10962] | [-1.30262] | [ 0.86081] | |
D(RR(-1)) | 0.088738 | 0.112069 | -0.115733 | -0.036672 | -0.004366 | -0.007458 |
(0.09637) | (0.07918) | (0.08033) | (0.07158) | (0.01226) | (0.04234) | |
[ 0.92084] | [ 1.41536] | [-1.44078] | [-0.51235] | [-0.35624] | [-0.17616] | |
D(RR(-2)) | 0.017966 | 0.056405 | -0.101165 | -0.073346 | 0.003919 | 0.033661 |
(0.09477) | (0.07787) | (0.07900) | (0.07039) | (0.01205) | (0.04163) | |
[ 0.18957] | [ 0.72435] | [-1.28064] | [-1.04198] | [ 0.32512] | [ 0.80849] | |
D(RR(-3)) | -0.088116 | 0.082774 | 0.078011 | 0.051664 | -0.014655 | 0.028436 |
(0.08862) | (0.07282) | (0.07387) | (0.06582) | (0.01127) | (0.03893) | |
[-0.99431] | [ 1.13675] | [ 1.05606] | [ 0.78488] | [-1.30026] | [ 0.73040] | |
D(RC(-1)) | -0.265057 | -0.020879 | -0.170167 | 0.347659 | 0.010629 | 0.116594 |
(0.10311) | (0.08472) | (0.08595) | (0.07659) | (0.01311) | (0.04530) | |
[-2.57056] | [-0.24644] | [-1.97985] | [ 4.53938] | [ 0.81057] | [ 2.57386] | |
D(RC(-2)) | -0.098257 | -0.142643 | -0.237075 | -0.099408 | -0.005245 | -0.125036 |
(0.11261) | (0.09253) | (0.09387) | (0.08364) | (0.01432) | (0.04947) | |
[-0.87253] | [-1.54162] | [-2.52565] | [-1.18849] | [-0.36621] | [-2.52741] | |
D(RC(-3)) | -0.047671 | -0.054349 | -0.102989 | -0.035032 | -0.017694 | 0.004599 |
(0.11448) | (0.09407) | (0.09543) | (0.08503) | (0.01456) | (0.05030) | |
[-0.41640] | [-0.57777] | [-1.07923] | [-0.41198] | [-1.21526] | [ 0.09145] | |
D(RL(-1)) | -0.180188 | 0.352449 | 0.098568 | 0.026799 | -0.002572 | -0.021071 |
(0.10665) | (0.08763) | (0.08890) | (0.07921) | (0.01356) | (0.04685) | |
[-1.68957] | [ 4.02211] | [ 1.10881] | [ 0.33832] | [-0.18961] | [-0.44972] | |
D(RL(-2)) | 0.019332 | 0.278794 | 0.292081 | 0.152558 | 0.019536 | 0.175084 |
(0.11374) | (0.09346) | (0.09481) | (0.08448) | (0.01447) | (0.04997) | |
[ 0.16997] | [ 2.98307] | [ 3.08068] | [ 1.80577] | [ 1.35053] | [ 3.50381] | |
D(RL(-3)) | 0.001208 | 0.030326 | 0.309870 | -0.076751 | -0.013491 | -0.219959 |
(0.11478) | (0.09431) | (0.09567) | (0.08525) | (0.01460) | (0.05043) | |
[ 0.01053] | [ 0.32155] | [ 3.23878] | [-0.90027] | [-0.92420] | [-4.36210] | |
D(IPI_TC(-1)) | 0.604787 | -0.368273 | -0.127398 | 0.074759 | 2.335725 | -0.013193 |
(0.41934) | (0.34456) | (0.34954) | (0.31147) | (0.05333) | (0.18423) | |
[ 1.44223] | [-1.06883] | [-0.36447] | [ 0.24002] | [ 43.7970] | [-0.07161] | |
D(IPI_TC(-2)) | -0.856230 | 0.783994 | 0.143933 | -0.094850 | -2.147322 | -0.002760 |
(0.71477) | (0.58730) | (0.59580) | (0.53090) | (0.09090) | (0.31401) | |
[-1.19791] | [ 1.33491] | [ 0.24158] | [-0.17866] | [-23.6223] | [-0.00879] | |
D(IPI_TC(-3)) | 0.501894 | -0.572022 | -0.014670 | 0.041224 | 0.775325 | 0.003493 |
(0.41045) | (0.33725) | (0.34213) | (0.30487) | (0.05220) | (0.18032) | |
[ 1.22277] | [-1.69611] | [-0.04288] | [ 0.13522] | [ 14.8529] | [ 0.01937] | |
D(CPI(-1)) | -0.171854 | 0.164348 | 0.529383 | 0.434366 | -0.032170 | 0.871304 |
(0.18943) | (0.15564) | (0.15790) | (0.14070) | (0.02409) | (0.08322) | |
[-0.90724] | [ 1.05592] | [ 3.35275] | [ 3.08726] | [-1.33540] | [ 10.4701] | |
D(CPI(-2)) | 0.088918 | -0.052499 | 0.105400 | 0.009506 | -0.030190 | -0.207310 |
(0.23630) | (0.19416) | (0.19697) | (0.17551) | (0.03005) | (0.10381) | |
[ 0.37629] | [-0.27040] | [ 0.53512] | [ 0.05416] | [-1.00460] | [-1.99701] | |
D(CPI(-3)) | 0.116257 | 0.032419 | -0.087222 | 0.166825 | 0.039269 | 0.126279 |
(0.18670) | (0.15340) | (0.15562) | (0.13867) | (0.02374) | (0.08202) | |
[ 0.62270] | [ 0.21133] | [-0.56048] | [ 1.20304] | [ 1.65389] | [ 1.53962] | |
C | 0.007484 | -0.002775 | -0.002108 | -0.001776 | 0.001128 | 0.000111 |
(0.00235) | (0.00193) | (0.00195) | (0.00174) | (0.00030) | (0.00103) | |
[ 3.19102] | [-1.43983] | [-1.07852] | [-1.01934] | [ 3.78082] | [ 0.10808] | |
R-squared | 0.665869 | 0.383708 | 0.393541 | 0.532305 | 0.986591 | 0.807445 |
Adj. R-squared | 0.619138 | 0.297513 | 0.308721 | 0.466893 | 0.984716 | 0.780514 |
Sum sq. resids | 0.007118 | 0.004806 | 0.004946 | 0.003927 | 0.000115 | 0.001374 |