Trang chủ / Tài liệu miễn phí / Luận Án Tiến Sĩ Kinh Tế

Phân tích kênh tín dụng ngân hàng trong cơ chế truyền dẫn tiền tệ ở Việt Nam: Tiếp cận bằng mô hình VECM - 15


S.E. equation

0.007055

0.005797

0.005881

0.005240

0.000897

0.003099

F-statistic

14.24882

4.451643

4.639745

8.137748

526.0904

29.98222

Log likelihood

590.9833

623.1974

620.8415

639.7556

929.1804

725.8783

Akaike AIC

-6.951016

-7.343870

-7.315140

-7.545799

-11.07537

-8.596077

Schwarz SC

-6.554082

-6.946936

-6.918206

-7.148865

-10.67844

-8.199143

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

Có thể bạn quan tâm!

Xem toàn bộ 138 trang tài liệu này.

Phân tích kênh tín dụng ngân hàng trong cơ chế truyền dẫn tiền tệ ở Việt Nam: Tiếp cận bằng mô hình VECM - 15

Determinant resid covariance (dof

adj.) 8.71E-30

Determinant resid covariance 3.83E-30

Log likelihood 4158.066

Akaike information criterion -49.02520

Schwarz criterion -46.41677

Vector Error Correction Estimates Sample (adjusted): 2001M05 2014M12

Included observations: 164 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegration Restrictions: B(1,4)=0, B(2,4)=0

Convergence achieved after 9 iterations. Not all cointegrating vectors are identified LR test for binding restrictions (rank = 2):

Chi-square(2)

31.64446


Probability

0.000000

Cointegrating Eq:

CointEq1

CointEq2





CREDIT(-1)

0.975796

20.18057





RR(-1)

22.78719

61.07394





RC(-1)

26.07071

-26.84921





RL(-1)

0.000000

0.000000





IPI_TC(-1)

-1.903485

-25.25695





CPI(-1)

-0.380408

-26.93075





C

-6.102673

-53.33770





Error Correction:

D(CREDIT)

D(RR)

D(RC)

D(RL)

D(IPI_TC)

D(CPI)

CointEq1

-9.72E-05

-0.001495

-0.002040

-0.002686

-0.000138

-0.000102


(0.00095)

(0.00078)

(0.00078)

(0.00074)

(0.00012)

(0.00041)


[-0.10213]

[-1.92308]

[-2.60985]

[-3.64041]

[-1.14306]

[-0.24645]

CointEq2

0.001693

-0.001454

0.000691

0.000374

0.000226

0.000512


(0.00057)

(0.00047)

(0.00047)

(0.00044)

(7.3E-05)

(0.00025)


[ 2.96271]

[-3.11434]

[ 1.47169]

[ 0.84326]

[ 3.10918]

[ 2.05605]

D(CREDIT(-1))

0.430515

-0.027947

-0.066072

-0.024701

0.000245

0.032915


(0.08835)

(0.07220)

(0.07261)

(0.06852)

(0.01122)

(0.03850)


[ 4.87257]

[-0.38707]

[-0.90991]

[-0.36049]

[ 0.02180]

[ 0.85503]

D(CREDIT(-2))

0.164169

0.190691

-0.049482

-0.047733

-0.015201

-0.009919


(0.09509)

(0.07771)

(0.07815)

(0.07375)

(0.01208)

(0.04143)


[ 1.72642]

[ 2.45400]

[-0.63316]

[-0.64728]

[-1.25877]

[-0.23942]

D(CREDIT(-3))

-0.045967

-0.008667

0.026893

0.066314

-0.012594

0.024772



(0.09037)

(0.07385)

(0.07427)

(0.07008)

(0.01148)

(0.03937)

[-0.50865]

[-0.11736]

[ 0.36209]

[ 0.94620]

[-1.09738]

[ 0.62914]

D(RR(-1))

0.097357

0.113829

-0.109182

-0.011474

-0.002923

-0.009456


(0.09641)

(0.07878)

(0.07923)

(0.07477)

(0.01224)

(0.04200)


[ 1.00984]

[ 1.44486]

[-1.37800]

[-0.15346]

[-0.23871]

[-0.22512]

D(RR(-2))

0.025634

0.057658

-0.101731

-0.046527

0.004901

0.028530


(0.09477)

(0.07745)

(0.07789)

(0.07350)

(0.01204)

(0.04129)


[ 0.27048]

[ 0.74449]

[-1.30609]

[-0.63303]

[ 0.40722]

[ 0.69092]

D(RR(-3))

-0.089170

0.084486

0.067540

0.061103

-0.015206

0.022247


(0.08936)

(0.07302)

(0.07344)

(0.06930)

(0.01135)

(0.03893)


[-0.99786]

[ 1.15697]

[ 0.91965]

[ 0.88171]

[-1.33988]

[ 0.57141]

D(RC(-1))

-0.231543

-0.022344

-0.131950

0.410847

0.016733

0.121924


(0.10317)

(0.08431)

(0.08479)

(0.08001)

(0.01310)

(0.04495)


[-2.24435]

[-0.26504]

[-1.55625]

[ 5.13511]

[ 1.27714]

[ 2.71247]

D(RC(-2))

-0.087006

-0.142640

-0.217165

-0.085991

-0.002704

-0.118562


(0.11363)

(0.09285)

(0.09338)

(0.08812)

(0.01443)

(0.04951)


[-0.76572]

[-1.53621]

[-2.32554]

[-0.97586]

[-0.18741]

[-2.39487]

D(RC(-3))

-0.040017

-0.055118

-0.094548

-0.023517

-0.016231

0.006575


(0.11493)

(0.09392)

(0.09445)

(0.08913)

(0.01460)

(0.05007)


[-0.34820]

[-0.58689]

[-1.00101]

[-0.26385]

[-1.11208]

[ 0.13131]

D(RL(-1))

-0.203104

0.348609

0.052739

-0.007589

-0.008026

-0.034367


(0.11032)

(0.09015)

(0.09067)

(0.08556)

(0.01401)

(0.04807)


[-1.84103]

[ 3.86693]

[ 0.58168]

[-0.08870]

[-0.57286]

[-0.71499]

D(RL(-2))

-0.002223

0.275660

0.247262

0.120221

0.014462

0.162178


(0.11707)

(0.09566)

(0.09621)

(0.09079)

(0.01487)

(0.05101)


[-0.01899]

[ 2.88156]

[ 2.57002]

[ 1.32422]

[ 0.97279]

[ 3.17960]

D(RL(-3))

-0.022573

0.028655

0.272479

-0.121976

-0.018286

-0.227212


(0.11612)

(0.09489)

(0.09543)

(0.09005)

(0.01475)

(0.05059)


[-0.19439]

[ 0.30198]

[ 2.85517]

[-1.35448]

[-1.23997]

[-4.49089]

D(IPI_TC(-1))

0.612738

-0.392701

-0.209954

0.116425

2.331650

-0.052550


(0.42525)

(0.34750)

(0.34949)

(0.32979)

(0.05400)

(0.18528)


[ 1.44089]

[-1.13007]

[-0.60075]

[ 0.35303]

[ 43.1750]

[-0.28363]

D(IPI_TC(-2))

-0.876592

0.822972

0.270723

-0.180246

-2.142031

0.061290


(0.72338)

(0.59112)

(0.59450)

(0.56099)

(0.09187)

(0.31517)


[-1.21181]

[ 1.39222]

[ 0.45538]

[-0.32130]

[-23.3171]

[ 0.19447]

D(IPI_TC(-3))

0.505037

-0.596759

-0.095060

0.070024

0.770536

-0.033284


(0.41658)

(0.34042)

(0.34236)

(0.32306)

(0.05290)

(0.18150)


[ 1.21235]

[-1.75303]

[-0.27766]

[ 0.21675]

[ 14.5650]

[-0.18338]

D(CPI(-1))

-0.190266

0.169169

0.525048

0.390800

-0.034387

0.876970


(0.18956)

(0.15490)

(0.15579)

(0.14700)

(0.02407)

(0.08259)


[-1.00374]

[ 1.09211]

[ 3.37030]

[ 2.65842]

[-1.42845]

[ 10.6184]

D(CPI(-2))

0.072750

-0.049273

0.104443

-0.032976

-0.032066

-0.200362


(0.23675)

(0.19346)

(0.19457)

(0.18360)

(0.03007)

(0.10315)


[ 0.30729]

[-0.25469]

[ 0.53680]

[-0.17961]

[-1.06654]

[-1.94245]

D(CPI(-3))

0.094774

0.038831

-0.072254

0.096487

0.037864

0.145188


(0.18644)

(0.15235)

(0.15322)

(0.14458)

(0.02368)

(0.08123)


[ 0.50834]

[ 0.25488]

[-0.47157]

[ 0.66734]

[ 1.59922]

[ 1.78737]

C

0.007022

-0.002650

-0.001682

-0.003076

0.001086

0.000477


(0.00232)

(0.00190)

(0.00191)

(0.00180)

(0.00030)

(0.00101)


[ 3.02211]

[-1.39594]

[-0.88069]

[-1.70684]

[ 3.68185]

[ 0.47139]



R-squared

0.663260

0.385665

0.405854

0.486158

0.986525

0.809127

Adj. R-squared

0.616164

0.299744

0.322757

0.414292

0.984641

0.782431

Sum sq. resids

0.007174

0.004790

0.004845

0.004314

0.000116

0.001362

S.E. equation

0.007083

0.005788

0.005821

0.005493

0.000899

0.003086

F-statistic

14.08300

4.488608

4.884082

6.764776

523.4728

30.30946

Log likelihood

590.3454

623.4582

622.5235

632.0393

928.7768

726.5978

Akaike AIC

-6.943237

-7.347052

-7.335653

-7.451699

-11.07045

-8.604851

Schwarz SC

-6.546303

-6.950117

-6.938719

-7.054765

-10.67352

-8.207917

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.) 9.59E-30

Determinant resid covariance 4.21E-30

Log likelihood 4150.197

Akaike information criterion -48.92924

Schwarz criterion -46.32081

Vector Error Correction Estimates Sample (adjusted): 2001M05 2014M12

Included observations: 164 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegration Restrictions: B(1,5)=0, B(2,5)=0

Convergence achieved after 58 iterations. Not all cointegrating vectors are identified LR test for binding restrictions (rank = 2):

Chi-square(2)

24.91725


Probability

0.000004

Cointegrating Eq:

CointEq1

CointEq2





CREDIT(-1)

-6.081644

1.726881





RR(-1)

9.997882

11.47866





RC(-1)

-84.91743

-12.51097





RL(-1)

134.1755

7.534220





IPI_TC(-1)

0.000000

0.000000





CPI(-1)

17.83188

-5.352555





C

-5.017474

-0.973357





Error Correction:

D(CREDIT)

D(RR)

D(RC)

D(RL)

D(IPI_TC)

D(CPI)

CointEq1

-0.000566

-0.000782

-0.000196

-0.002413

-7.59E-05

0.000467


(0.00056)

(0.00048)

(0.00047)

(0.00040)

(7.3E-05)

(0.00024)


[-1.01756]

[-1.63101]

[-0.41497]

[-5.96767]

[-1.04058]

[ 1.90889]

CointEq2

0.004101

-0.000227

0.000262

-0.000514

0.000224

0.000112


(0.00121)

(0.00104)

(0.00103)

(0.00088)

(0.00016)

(0.00053)


[ 3.38869]

[-0.21712]

[ 0.25440]

[-0.58361]

[ 1.40821]

[ 0.20987]

D(CREDIT(-1))

0.435458

-0.117603

-0.039672

-0.035538

0.006904

0.065723


(0.08602)

(0.07416)

(0.07317)

(0.06256)

(0.01129)

(0.03786)


[ 5.06245]

[-1.58576]

[-0.54221]

[-0.56804]

[ 0.61143]

[ 1.73608]

D(CREDIT(-2))

0.167211

0.132581

-0.022348

-0.059253

-0.010400

0.016126


(0.09358)

(0.08068)

(0.07960)

(0.06806)

(0.01228)

(0.04118)



[ 1.78691]

[ 1.64333]

[-0.28077]

[-0.87061]

[-0.84664]

[ 0.39156]

D(CREDIT(-3))

-0.034489

-0.094168

0.070481

0.017306

-0.005980

0.069066


(0.08889)

(0.07663)

(0.07561)

(0.06465)

(0.01167)

(0.03912)


[-0.38802]

[-1.22879]

[ 0.93219]

[ 0.26769]

[-0.51248]

[ 1.76553]

D(RR(-1))

0.077661

0.087753

-0.105098

-0.040465

-0.003143

0.003008


(0.09627)

(0.08300)

(0.08189)

(0.07002)

(0.01264)

(0.04237)


[ 0.80667]

[ 1.05721]

[-1.28337]

[-0.57789]

[-0.24871]

[ 0.07100]

D(RR(-2))

0.030672

0.017845

-0.082161

-0.054994

0.008386

0.046773


(0.09352)

(0.08063)

(0.07955)

(0.06802)

(0.01228)

(0.04116)


[ 0.32799]

[ 0.22133]

[-1.03288]

[-0.80855]

[ 0.68318]

[ 1.13644]

D(RR(-3))

-0.065854

0.044625

0.092561

0.102479

-0.008807

0.034927


(0.08718)

(0.07516)

(0.07416)

(0.06341)

(0.01144)

(0.03837)


[-0.75537]

[ 0.59370]

[ 1.24815]

[ 1.61617]

[-0.76956]

[ 0.91029]

D(RC(-1))

-0.261582

-0.078970

-0.162088

0.234281

0.010720

0.149141


(0.10771)

(0.09286)

(0.09162)

(0.07834)

(0.01414)

(0.04740)


[-2.42857]

[-0.85038]

[-1.76912]

[ 2.99058]

[ 0.75818]

[ 3.14614]

D(RC(-2))

-0.106100

-0.187248

-0.253036

-0.151891

-0.005597

-0.112918


(0.11173)

(0.09633)

(0.09504)

(0.08127)

(0.01467)

(0.04918)


[-0.94957]

[-1.94375]

[-2.66231]

[-1.86905]

[-0.38163]

[-2.29623]

D(RC(-3))

-0.062081

-0.091821

-0.108141

-0.055834

-0.017209

0.014760


(0.11418)

(0.09845)

(0.09713)

(0.08305)

(0.01499)

(0.05025)


[-0.54369]

[-0.93270]

[-1.11339]

[-0.67231]

[-1.14812]

[ 0.29372]

D(RL(-1))

-0.189739

0.429773

0.126998

0.135617

-0.002529

-0.043698


(0.10466)

(0.09023)

(0.08903)

(0.07612)

(0.01374)

(0.04606)


[-1.81292]

[ 4.76286]

[ 1.42654]

[ 1.78160]

[-0.18405]

[-0.94867]

D(RL(-2))

0.039850

0.309620

0.316273

0.270298

0.023995

0.159634


(0.11401)

(0.09830)

(0.09698)

(0.08292)

(0.01497)

(0.05018)


[ 0.34953]

[ 3.14984]

[ 3.26120]

[ 3.25964]

[ 1.60331]

[ 3.18138]

D(RL(-3))

0.027239

0.032933

0.310978

0.029818

-0.008567

-0.235988


(0.11716)

(0.10101)

(0.09966)

(0.08521)

(0.01538)

(0.05156)


[ 0.23250]

[ 0.32605]

[ 3.12054]

[ 0.34994]

[-0.55706]

[-4.57682]

D(IPI_TC(-1))

0.379496

-0.326102

-0.012143

0.224073

2.332019

0.004810


(0.41873)

(0.36102)

(0.35618)

(0.30455)

(0.05497)

(0.18429)


[ 0.90630]

[-0.90328]

[-0.03409]

[ 0.73575]

[ 42.4259]

[ 0.02610]

D(IPI_TC(-2))

-0.476675

0.735524

-0.047204

-0.323877

-2.141487

-0.040419


(0.71511)

(0.61655)

(0.60829)

(0.52011)

(0.09387)

(0.31473)


[-0.66658]

[ 1.19297]

[-0.07760]

[-0.62271]

[-22.8128]

[-0.12843]

D(IPI_TC(-3))

0.164079

-0.445415

0.091742

0.169633

0.759606

0.004546


(0.41030)

(0.35375)

(0.34901)

(0.29842)

(0.05386)

(0.18058)


[ 0.39990]

[-1.25913]

[ 0.26286]

[ 0.56844]

[ 14.1034]

[ 0.02518]

D(CPI(-1))

-0.128687

0.147929

0.495339

0.469794

-0.029343

0.856256


(0.18907)

(0.16301)

(0.16083)

(0.13752)

(0.02482)

(0.08321)


[-0.68062]

[ 0.90747]

[ 3.07991]

[ 3.41630]

[-1.18228]

[ 10.2900]

D(CPI(-2))

0.096343

-0.043831

0.070339

0.023462

-0.031500

-0.224565


(0.23526)

(0.20284)

(0.20012)

(0.17111)

(0.03088)

(0.10354)


[ 0.40952]

[-0.21609]

[ 0.35149]

[ 0.13712]

[-1.02001]

[-2.16885]

D(CPI(-3))

0.094749

-0.000167

-0.172051

0.153726

0.035562

0.104739


(0.18281)

(0.15762)

(0.15551)

(0.13296)

(0.02400)

(0.08046)


[ 0.51828]

[-0.00106]

[-1.10640]

[ 1.15615]

[ 1.48189]

[ 1.30178]


C 0.007647

0.001187

-0.003093

-0.003479

0.000798

-0.000941


(0.00230)

(0.00198)

(0.00196)

(0.00167)

(0.00030)

(0.00101)


[ 3.32576]

[ 0.59865]

[-1.58147]

[-2.08023]

[ 2.64459]

[-0.93015]

R-squared

0.669158

0.328120

0.374660

0.555954

0.985855

0.808651

Adj. R-squared

0.622886

0.234151

0.287200

0.493850

0.983877

0.781889

Sum sq. resids

0.007048

0.005239

0.005100

0.003728

0.000121

0.001365

S.E. equation

0.007020

0.006053

0.005972

0.005106

0.000922

0.003090

F-statistic

14.46153

3.491787

4.283782

8.951937

498.3340

30.21635

Log likelihood

591.7944

616.1160

618.3276

644.0104

924.7970

726.3937

Akaike AIC

-6.960907

-7.257512

-7.284483

-7.597687

-11.02191

-8.602363

Schwarz SC

-6.563973

-6.860578

-6.887548

-7.200753

-10.62498

-8.205429

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.) 9.20E-30

Determinant resid covariance 4.04E-30

Log likelihood 4153.561

Akaike information criterion -48.97026

Schwarz criterion -46.36183

Vector Error Correction Estimates Sample (adjusted): 2001M05 2014M12

Included observations: 164 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegration Restrictions: B(1,6)=0, B(2,6)=0

Convergence achieved after 23 iterations. Not all cointegrating vectors are identified LR test for binding restrictions (rank = 2):

Chi-square(2)

28.74587


Probability

0.000001

Cointegrating Eq:

CointEq1

CointEq2





CREDIT(-1)

3.204878

4.955486





RR(-1)

27.26884

28.44181





RC(-1)

-45.25397

-74.00869





RL(-1)

81.20866

65.68164





IPI_TC(-1)

-7.287363

-11.47831





CPI(-1)

0.000000

0.000000





C

-20.80738

-23.63309





Error Correction:

D(CREDIT)

D(RR)

D(RC)

D(RL)

D(IPI_TC)

D(CPI)

CointEq1

0.000125

-0.000683

-0.001378

-0.002553

-8.24E-05

0.000345


(0.00078)

(0.00063)

(0.00062)

(0.00057)

(9.9E-05)

(0.00033)


[ 0.16056]

[-1.07810]

[-2.21026]

[-4.49991]

[-0.83497]

[ 1.05162]

CointEq2

0.000969

-0.001522

0.002204

0.000443

0.000226

0.000590


(0.00099)

(0.00081)

(0.00080)

(0.00072)

(0.00013)

(0.00042)


[ 0.97449]

[-1.88146]

[ 2.76973]

[ 0.61254]

[ 1.79063]

[ 1.40804]

D(CREDIT(-1))

0.507491

-0.080834

-0.050614

0.009922

0.009847

0.048648


(0.08568)

(0.06969)

(0.06856)

(0.06239)

(0.01085)

(0.03609)


[ 5.92305]

[-1.15990]

[-0.73820]

[ 0.15904]

[ 0.90720]

[ 1.34811]


D(CREDIT(-2))

0.218495

0.156626

-0.032945

-0.024841

-0.008170

0.004152


(0.09515)

(0.07739)

(0.07614)

(0.06928)

(0.01205)

(0.04007)


[ 2.29641]

[ 2.02387]

[-0.43270]

[-0.35855]

[-0.67778]

[ 0.10360]

D(CREDIT(-3))

0.033026

-0.063577

0.048457

0.074351

-0.002760

0.051720


(0.08821)

(0.07175)

(0.07059)

(0.06423)

(0.01117)

(0.03715)


[ 0.37441]

[-0.88613]

[ 0.68648]

[ 1.15758]

[-0.24700]

[ 1.39219]

D(RR(-1))

0.117620

0.092863

-0.109707

-0.024732

-0.000853

-0.000820


(0.09877)

(0.08033)

(0.07904)

(0.07192)

(0.01251)

(0.04160)


[ 1.19088]

[ 1.15594]

[-1.38805]

[-0.34389]

[-0.06816]

[-0.01972]

D(RR(-2))

0.059137

0.039088

-0.104285

-0.041063

0.008487

0.036909


(0.09658)

(0.07855)

(0.07728)

(0.07032)

(0.01223)

(0.04068)


[ 0.61233]

[ 0.49759]

[-1.34936]

[-0.58391]

[ 0.69369]

[ 0.90740]

D(RR(-3))

-0.056342

0.082107

0.054963

0.096578

-0.011919

0.021075


(0.09174)

(0.07462)

(0.07342)

(0.06680)

(0.01162)

(0.03864)


[-0.61413]

[ 1.10030]

[ 0.74865]

[ 1.44570]

[-1.02554]

[ 0.54544]

D(RC(-1))

-0.197173

-0.110930

-0.115832

0.314416

0.020466

0.153936


(0.11013)

(0.08958)

(0.08813)

(0.08019)

(0.01395)

(0.04638)


[-1.79039]

[-1.23840]

[-1.31435]

[ 3.92085]

[ 1.46690]

[ 3.31886]

D(RC(-2))

-0.066144

-0.194943

-0.221688

-0.119146

-0.000880

-0.111584


(0.11577)

(0.09416)

(0.09264)

(0.08430)

(0.01467)

(0.04876)


[-0.57133]

[-2.07024]

[-2.39292]

[-1.41337]

[-0.05999]

[-2.28851]

D(RC(-3))

-0.016566

-0.089477

-0.094679

-0.033862

-0.013718

0.012630


(0.11741)

(0.09550)

(0.09395)

(0.08549)

(0.01487)

(0.04945)


[-0.14110]

[-0.93698]

[-1.00773]

[-0.39608]

[-0.92227]

[ 0.25543]

D(RL(-1))

-0.236838

0.451016

0.060690

0.067237

-0.010771

-0.048368


(0.11089)

(0.09020)

(0.08874)

(0.08075)

(0.01405)

(0.04670)


[-2.13576]

[ 5.00037]

[ 0.68391]

[ 0.83269]

[-0.76672]

[-1.03563]

D(RL(-2))

-0.005462

0.351794

0.249201

0.215492

0.015004

0.147270


(0.12089)

(0.09833)

(0.09674)

(0.08803)

(0.01531)

(0.05091)


[-0.04518]

[ 3.57775]

[ 2.57600]

[ 2.44803]

[ 0.97973]

[ 2.89250]

D(RL(-3))

-0.017075

0.082411

0.258256

-0.022907

-0.017498

-0.249509


(0.12284)

(0.09992)

(0.09830)

(0.08945)

(0.01556)

(0.05174)


[-0.13900]

[ 0.82478]

[ 2.62712]

[-0.25609]

[-1.12439]

[-4.82258]

D(IPI_TC(-1))

0.659646

-0.301924

-0.111761

0.209478

2.342335

-0.011570


(0.42808)

(0.34819)

(0.34256)

(0.31171)

(0.05423)

(0.18029)


[ 1.54094]

[-0.86712]

[-0.32625]

[ 0.67203]

[ 43.1914]

[-0.06417]

D(IPI_TC(-2))

-0.969707

0.699293

0.102029

-0.322088

-2.161645

-0.013270


(0.72931)

(0.59320)

(0.58362)

(0.53105)

(0.09239)

(0.30716)


[-1.32963]

[ 1.17885]

[ 0.17482]

[-0.60651]

[-23.3964]

[-0.04320]

D(IPI_TC(-3))

0.494428

-0.465961

0.014262

0.128594

0.775092

0.005706


(0.41806)

(0.34004)

(0.33454)

(0.30441)

(0.05296)

(0.17607)


[ 1.18267]

[-1.37031]

[ 0.04263]

[ 0.42243]

[ 14.6349]

[ 0.03241]

D(CPI(-1))

-0.186342

0.168621

0.515510

0.456686

-0.033703

0.853617


(0.19577)

(0.15923)

(0.15666)

(0.14255)

(0.02480)

(0.08245)


[-0.95186]

[ 1.05897]

[ 3.29067]

[ 3.20372]

[-1.35898]

[ 10.3532]

D(CPI(-2))

0.054750

-0.038393

0.086225

-0.002020

-0.034603

-0.221890


(0.24298)

(0.19764)

(0.19444)

(0.17693)

(0.03078)

(0.10234)


[ 0.22532]

[-0.19426]

[ 0.44344]

[-0.01141]

[-1.12411]

[-2.16824]

D(CPI(-3))

0.094370

-0.001158

-0.083222

0.154892

0.038075

0.112570


(0.19279)

(0.15681)

(0.15427)

(0.14038)

(0.02442)

(0.08120)


[ 0.48950]

[-0.00738]

[-0.53944]

[ 1.10338]

[ 1.55897]

[ 1.38642]

C 0.003450

-0.000490

-0.002842

-0.005484

0.000611

-0.000184


(0.00194)

(0.00158)

(0.00155)

(0.00141)

(0.00025)

(0.00082)


[ 1.77895]

[-0.31042]

[-1.83122]

[-3.88393]

[ 2.48511]

[-0.22544]

R-squared

0.646143

0.360421

0.408053

0.523967

0.985909

0.812581

Adj. R-squared

0.596653

0.270969

0.325263

0.457389

0.983939

0.786369

Sum sq. resids

0.007538

0.004987

0.004827

0.003997

0.000121

0.001337

S.E. equation

0.007261

0.005906

0.005810

0.005287

0.000920

0.003058

F-statistic

13.05592

4.029223

4.928778

7.869968

500.2811

30.99990

Log likelihood

586.2798

620.1560

622.8275

638.3065

925.1122

728.0954

Akaike AIC

-6.893656

-7.306781

-7.339360

-7.528128

-11.02576

-8.623115

Schwarz SC

-6.496722

-6.909847

-6.942426

-7.131194

-10.62882

-8.226181

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.) 9.42E-30

Determinant resid covariance 4.14E-30

Log likelihood 4151.647

Akaike information criterion -48.94691

Schwarz criterion -46.33849


Kiểm định giới hạn biến ngoại sinh

Vector Error Correction Estimates Sample (adjusted): 2001M05 2014M12

Included observations: 164 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegration Restrictions: A(1,1)=0, A(1,2)=0

Convergence achieved after 9 iterations. Not all cointegrating vectors are identified LR test for binding restrictions (rank = 2):

Chi-square(2)

9.135331


Probability

0.010382

Cointegrating Eq:

CointEq1

CointEq2





CREDIT(-1)

-7.891520

22.41389





RR(-1)

5.773748

63.19396





RC(-1)

-84.37177

-12.19948





RL(-1)

135.9587

-19.68727





IPI_TC(-1)

2.628687

-29.01925





CPI(-1)

19.73965

-28.52511





C

0.288395

-59.76377





Error Correction:

D(CREDIT)

D(RR)

D(RC)

D(RL)

D(IPI_TC)

D(CPI)

CointEq1

0.000000

-0.000657

-0.000260

-0.002531

-6.90E-05

0.000417


(0.00000)

(0.00045)

(0.00046)

(0.00039)

(7.0E-05)

(0.00024)


[NA]

[-1.45271]

[-0.56602]

[-6.48418]

[-0.99023]

[ 1.76270]

CointEq2

0.000000

-0.001673

0.000615

0.000556

0.000181

0.000521


(0.00000)

(0.00044)

(0.00045)

(0.00038)

(6.8E-05)

(0.00023)


[NA]

[-3.78110]

[ 1.36921]

[ 1.45487]

[ 2.65450]

[ 2.25357]


D(CREDIT(-1))

0.451425

-0.036516

-0.057952

-0.073775

0.000806

0.045902


(0.08862)

(0.07173)

(0.07372)

(0.06266)

(0.01115)

(0.03789)


[ 5.09372]

[-0.50906]

[-0.78611]

[-1.17736]

[ 0.07233]

[ 1.21154]

D(CREDIT(-2))

0.175106

0.189359

-0.035417

-0.085914

-0.014853

0.002214


(0.09598)

(0.07769)

(0.07984)

(0.06786)

(0.01207)

(0.04103)


[ 1.82438]

[ 2.43748]

[-0.44360]

[-1.26598]

[-1.23018]

[ 0.05395]

D(CREDIT(-3))

-0.043216

-0.007663

0.049200

-0.021752

-0.013871

0.047683


(0.09354)

(0.07571)

(0.07781)

(0.06614)

(0.01177)

(0.03999)


[-0.46201]

[-0.10121]

[ 0.63232]

[-0.32889]

[-1.17885]

[ 1.19241]

D(RR(-1))

0.098716

0.104427

-0.107861

-0.049465

-0.003458

-0.001022


(0.09772)

(0.07910)

(0.08129)

(0.06910)

(0.01229)

(0.04178)


[ 1.01016]

[ 1.32025]

[-1.32688]

[-0.71590]

[-0.28129]

[-0.02446]

D(RR(-2))

0.031537

0.058754

-0.091858

-0.073760

0.004926

0.036711


(0.09579)

(0.07753)

(0.07968)

(0.06773)

(0.01205)

(0.04095)


[ 0.32922]

[ 0.75778]

[-1.15278]

[-1.08902]

[ 0.40881]

[ 0.89643]

D(RR(-3))

-0.070602

0.094207

0.080627

0.080018

-0.013298

0.022798


(0.08983)

(0.07271)

(0.07473)

(0.06352)

(0.01130)

(0.03840)


[-0.78590]

[ 1.29562]

[ 1.07894]

[ 1.25977]

[-1.17672]

[ 0.59362]

D(RC(-1))

-0.264796

-0.061704

-0.166744

0.227455

0.009066

0.144578


(0.10983)

(0.08889)

(0.09136)

(0.07765)

(0.01382)

(0.04695)


[-2.41103]

[-0.69413]

[-1.82518]

[ 2.92910]

[ 0.65622]

[ 3.07929]

D(RC(-2))

-0.087739

-0.175484

-0.254687

-0.157947

-0.005610

-0.115786


(0.11363)

(0.09197)

(0.09452)

(0.08034)

(0.01429)

(0.04858)


[-0.77214]

[-1.90802]

[-2.69449]

[-1.96591]

[-0.39249]

[-2.38351]

D(RC(-3))

-0.033830

-0.075706

-0.110249

-0.064958

-0.017083

0.010930


(0.11583)

(0.09375)

(0.09635)

(0.08190)

(0.01457)

(0.04952)


[-0.29207]

[-0.80753]

[-1.14427]

[-0.79318]

[-1.17246]

[ 0.22072]

D(RL(-1))

-0.191432

0.408972

0.131776

0.143786

-0.000886

-0.038395


(0.10673)

(0.08638)

(0.08878)

(0.07546)

(0.01343)

(0.04563)


[-1.79365]

[ 4.73430]

[ 1.48431]

[ 1.90540]

[-0.06596]

[-0.84149]

D(RL(-2))

0.021872

0.329575

0.310565

0.261254

0.021308

0.154871


(0.11636)

(0.09418)

(0.09679)

(0.08227)

(0.01464)

(0.04975)


[ 0.18796]

[ 3.49933]

[ 3.20854]

[ 3.17543]

[ 1.45569]

[ 3.11328]

D(RL(-3))

0.013398

0.064089

0.303096

0.015818

-0.011961

-0.243440


(0.11979)

(0.09695)

(0.09964)

(0.08470)

(0.01507)

(0.05121)


[ 0.11185]

[ 0.66101]

[ 3.04183]

[ 0.18676]

[-0.79380]

[-4.75379]

D(IPI_TC(-1))

0.648886

-0.338092

0.005902

0.206543

2.347118

0.009405


(0.41926)

(0.33934)

(0.34875)

(0.29644)

(0.05274)

(0.17923)


[ 1.54771]

[-0.99631]

[ 0.01692]

[ 0.69675]

[ 44.5038]

[ 0.05247]

D(IPI_TC(-2))

-0.936097

0.747095

-0.075892

-0.290371

-2.166492

-0.046014


(0.71561)

(0.57921)

(0.59527)

(0.50597)

(0.09002)

(0.30593)


[-1.30811]

[ 1.28985]

[-0.12749]

[-0.57388]

[-24.0670]

[-0.15041]

D(IPI_TC(-3))

0.533915

-0.553141

0.138343

0.188326

0.788194

0.033188


(0.41049)

(0.33224)

(0.34145)

(0.29024)

(0.05164)

(0.17549)


[ 1.30069]

[-1.66486]

[ 0.40516]

[ 0.64888]

[ 15.2643]

[ 0.18912]

D(CPI(-1))

-0.163041

0.165643

0.489586

0.464551

-0.032625

0.851891


(0.19269)

(0.15596)

(0.16029)

(0.13624)

(0.02424)

(0.08238)


[-0.84612]

[ 1.06206]

[ 3.05442]

[ 3.40970]

[-1.34592]

[ 10.3413]

D(CPI(-2))

0.090391

-0.056662

0.073411

0.030074

-0.030676

-0.221316

Xem tất cả 138 trang.

Ngày đăng: 28/11/2022
Trang chủ Tài liệu miễn phí