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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


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

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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

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

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