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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 - 16



(0.23977)

(0.19407)

(0.19945)

(0.16953)

(0.03016)

(0.10250)

[ 0.37699]

[-0.29197]

[ 0.36807]

[ 0.17740]

[-1.01704]

[-2.15912]

D(CPI(-3))

0.141517

-0.016900

-0.164461

0.159143

0.039572

0.109320


(0.18619)

(0.15070)

(0.15487)

(0.13164)

(0.02342)

(0.07960)


[ 0.76009]

[-0.11214]

[-1.06189]

[ 1.20890]

[ 1.68961]

[ 1.37345]

C

0.005676

-0.002211

-0.002406

-0.001774

0.000985

-0.000120


(0.00219)

(0.00178)

(0.00182)

(0.00155)

(0.00028)

(0.00094)


[ 2.58771]

[-1.24513]

[-1.31872]

[-1.14388]

[ 3.56955]

[-0.12801]

R-squared

0.656340

0.384917

0.378814

0.564097

0.986507

0.812460

Adj. R-squared

0.608276

0.298892

0.291935

0.503131

0.984620

0.786231

Sum sq. resids

0.007321

0.004796

0.005066

0.003660

0.000116

0.001338

S.E. equation

0.007155

0.005791

0.005952

0.005059

0.000900

0.003059

F-statistic

13.65546

4.474450

4.360239

9.252721

522.7662

30.97520

Log likelihood

588.6774

623.3584

618.8741

645.5280

928.6676

728.0423

Akaike AIC

-6.922896

-7.345834

-7.291147

-7.616195

-11.06912

-8.622468

Schwarz SC

-6.525961

-6.948900

-6.894213

-7.219261

-10.67218

-8.225533

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 - 16

Determinant resid covariance (dof

adj.) 8.02E-30

Determinant resid covariance 3.53E-30

Log likelihood 4161.452

Akaike information criterion -49.06649

Schwarz criterion -46.45806

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

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

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

Convergence achieved after 13 iterations. Not all cointegrating vectors are identified LR test for binding restrictions (rank = 2):

Chi-square(2)

12.48612


Probability

0.001944

Cointegrating Eq:

CointEq1

CointEq2





CREDIT(-1)

-7.983624

21.05336





RR(-1)

2.423691

51.83295





RC(-1)

-91.19442

-30.30432





RL(-1)

142.0708

-4.156066





IPI_TC(-1)

2.889696

-23.49603





CPI(-1)

19.67526

-31.80458





C

0.560337

-50.50358





Error Correction:

D(CREDIT)

D(RR)

D(RC)

D(RL)

D(IPI_TC)

D(CPI)

CointEq1

-0.000341

0.000000

-0.000179

-0.002518

-7.31E-05

0.000472


(0.00055)

(0.00000)

(0.00046)

(0.00039)

(7.0E-05)

(0.00024)


[-0.62295]

[NA]

[-0.38623]

[-6.37743]

[-1.04531]

[ 1.99036]

CointEq2

0.001802

0.000000

0.000487

0.000272

0.000216

0.000496



(0.00053)

(0.00000)

(0.00045)

(0.00038)

(6.8E-05)

(0.00023)

[ 3.40505]

[NA]

[ 1.08666]

[ 0.71142]

[ 3.18702]

[ 2.15944]

D(CREDIT(-1))

0.402997

-0.048632

-0.067079

-0.072486

-0.002236

0.039714


(0.08910)

(0.07563)

(0.07551)

(0.06441)

(0.01139)

(0.03874)


[ 4.52321]

[-0.64301]

[-0.88832]

[-1.12534]

[-0.19625]

[ 1.02515]

D(CREDIT(-2))

0.139918

0.183288

-0.041740

-0.084031

-0.017133

-0.002606


(0.09519)

(0.08081)

(0.08068)

(0.06882)

(0.01217)

(0.04139)


[ 1.46983]

[ 2.26818]

[-0.51735]

[-1.22101]

[-1.40740]

[-0.06295]

D(CREDIT(-3))

-0.083317

-0.022816

0.044223

-0.018313

-0.015857

0.044356


(0.09290)

(0.07886)

(0.07874)

(0.06716)

(0.01188)

(0.04039)


[-0.89683]

[-0.28931]

[ 0.56165]

[-0.27266]

[-1.33474]

[ 1.09808]

D(RR(-1))

0.086056

0.104833

-0.109834

-0.051482

-0.004437

-0.002329


(0.09600)

(0.08149)

(0.08136)

(0.06940)

(0.01228)

(0.04174)


[ 0.89643]

[ 1.28642]

[-1.34992]

[-0.74177]

[-0.36142]

[-0.05579]

D(RR(-2))

0.014401

0.048804

-0.094130

-0.072818

0.004206

0.035722


(0.09411)

(0.07989)

(0.07976)

(0.06804)

(0.01204)

(0.04092)


[ 0.15302]

[ 0.61089]

[-1.18009]

[-1.07022]

[ 0.34951]

[ 0.87296]

D(RR(-3))

-0.090647

0.078195

0.076769

0.082639

-0.014016

0.021090


(0.08828)

(0.07494)

(0.07482)

(0.06382)

(0.01129)

(0.03838)


[-1.02686]

[ 1.04349]

[ 1.02608]

[ 1.29488]

[-1.24157]

[ 0.54947]

D(RC(-1))

-0.256033

-0.068671

-0.160147

0.221669

0.010345

0.151111


(0.10833)

(0.09196)

(0.09181)

(0.07832)

(0.01385)

(0.04710)


[-2.36346]

[-0.74676]

[-1.74425]

[ 2.83036]

[ 0.74673]

[ 3.20812]

D(RC(-2))

-0.088337

-0.182509

-0.254000

-0.163520

-0.005411

-0.113385


(0.11147)

(0.09462)

(0.09447)

(0.08059)

(0.01425)

(0.04847)


[-0.79250]

[-1.92882]

[-2.68861]

[-2.02915]

[-0.37959]

[-2.33944]

D(RC(-3))

-0.047491

-0.076440

-0.113077

-0.068567

-0.018190

0.009502


(0.11374)

(0.09655)

(0.09640)

(0.08223)

(0.01454)

(0.04945)


[-0.41755]

[-0.79172]

[-1.17304]

[-0.83387]

[-1.25062]

[ 0.19214]

D(RL(-1))

-0.206154

0.430497

0.125910

0.153252

-0.002994

-0.047149


(0.10488)

(0.08903)

(0.08889)

(0.07582)

(0.01341)

(0.04560)


[-1.96569]

[ 4.83552]

[ 1.41652]

[ 2.02121]

[-0.22326]

[-1.03393]

D(RL(-2))

-0.001366

0.331790

0.303488

0.271455

0.019486

0.147254


(0.11497)

(0.09760)

(0.09744)

(0.08312)

(0.01470)

(0.04999)


[-0.01188]

[ 3.39965]

[ 3.11457]

[ 3.26589]

[ 1.32539]

[ 2.94569]

D(RL(-3))

-0.007294

0.053623

0.295976

0.023028

-0.013150

-0.248867


(0.11815)

(0.10030)

(0.10014)

(0.08542)

(0.01511)

(0.05137)


[-0.06173]

[ 0.53464]

[ 2.95567]

[ 0.26959]

[-0.87032]

[-4.84429]

D(IPI_TC(-1))

0.477323

-0.205911

-0.037532

0.209967

2.327404

-0.040576


(0.41312)

(0.35070)

(0.35014)

(0.29867)

(0.05283)

(0.17963)


[ 1.15540]

[-0.58715]

[-0.10719]

[ 0.70300]

[ 44.0544]

[-0.22589]

D(IPI_TC(-2))

-0.644652

0.527332

-0.002788

-0.293729

-2.133218

0.037379


(0.70535)

(0.59876)

(0.59781)

(0.50994)

(0.09020)

(0.30669)


[-0.91395]

[ 0.88071]

[-0.00466]

[-0.57601]

[-23.6499]

[ 0.12188]

D(IPI_TC(-3))

0.358873

-0.365416

0.090173

0.184273

0.765147

-0.025141


(0.40076)

(0.34020)

(0.33966)

(0.28973)

(0.05125)

(0.17425)


[ 0.89549]

[-1.07413]

[ 0.26548]

[ 0.63601]

[ 14.9301]

[-0.14428]

D(CPI(-1))

-0.159779

0.144430

0.487953

0.466344

-0.031590

0.853141


(0.18878)

(0.16025)

(0.16000)

(0.13648)

(0.02414)

(0.08208)


[-0.84636]

[ 0.90125]

[ 3.04967]

[ 3.41687]

[-1.30855]

[ 10.3934]


D(CPI(-2))

0.102071

-0.065231

0.073418

0.028745

-0.029657

-0.219641


(0.23510)

(0.19957)

(0.19926)

(0.16997)

(0.03006)

(0.10222)


[ 0.43416]

[-0.32686]

[ 0.36846]

[ 0.16912]

[-0.98645]

[-2.14864]

D(CPI(-3))

0.134031

-0.020208

-0.172380

0.149934

0.038312

0.106257


(0.18219)

(0.15465)

(0.15441)

(0.13171)

(0.02330)

(0.07922)


[ 0.73568]

[-0.13067]

[-1.11638]

[ 1.13833]

[ 1.64444]

[ 1.34135]

C

0.008578

-0.002230

-0.001771

-0.001808

0.001210

0.000389


(0.00247)

(0.00210)

(0.00209)

(0.00178)

(0.00032)

(0.00107)


[ 3.47465]

[-1.06426]

[-0.84643]

[-1.01306]

[ 3.83340]

[ 0.36230]

R-squared

0.669570

0.349479

0.379951

0.561805

0.986593

0.813466

Adj. R-squared

0.623356

0.258497

0.293230

0.500519

0.984718

0.787378

Sum sq. resids

0.007039

0.005072

0.005056

0.003679

0.000115

0.001331

S.E. equation

0.007016

0.005956

0.005946

0.005072

0.000897

0.003051

F-statistic

14.48850

3.841183

4.381338

9.166930

526.1509

31.18086

Log likelihood

591.8967

618.7650

619.0242

645.0980

929.1897

728.4835

Akaike AIC

-6.962154

-7.289817

-7.292979

-7.610951

-11.07548

-8.627847

Schwarz SC

-6.565220

-6.892883

-6.896045

-7.214017

-10.67855

-8.230913

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.) 8.09E-30

Determinant resid covariance 3.56E-30

Log likelihood 4159.777

Akaike information criterion -49.04606

Schwarz criterion -46.43763

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

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

Cointegration Restrictions: A(3,1)=0, A(3,2)=0

Convergence achieved after 8 iterations. Not all cointegrating vectors are identified LR test for binding restrictions (rank = 2):

Chi-square(2)

0.662030


Probability

0.718194

Cointegrating Eq:

CointEq1

CointEq2





CREDIT(-1)

-7.875677

21.98855





RR(-1)

5.230070

65.32929





RC(-1)

-88.19380

2.042957





RL(-1)

138.8997

-31.30224





IPI_TC(-1)

2.177143

-25.90559





CPI(-1)

20.30076

-31.43264





C

-0.548866

-54.06178





Error Correction:

D(CREDIT)

D(RR)

D(RC)

D(RL)

D(IPI_TC)

D(CPI)

CointEq1

-0.000402

-0.000665

0.000000

-0.002435

-7.46E-05

0.000485


(0.00054)

(0.00045)

(0.00000)

(0.00038)

(7.0E-05)

(0.00022)


[-0.73974]

[-1.46551]

[NA]

[-6.44837]

[-1.06371]

[ 2.22299]


CointEq2

0.001804

-0.001621

0.000000

0.000251

0.000212

0.000332


(0.00054)

(0.00045)

(0.00000)

(0.00038)

(7.0E-05)

(0.00022)


[ 3.32485]

[-3.57435]

[NA]

[ 0.66533]

[ 3.02602]

[ 1.52070]

D(CREDIT(-1))

0.412839

-0.026654

-0.049931

-0.073870

-0.001486

0.046500


(0.08901)

(0.07348)

(0.07539)

(0.06418)

(0.01135)

(0.03875)


[ 4.63801]

[-0.36273]

[-0.66230]

[-1.15106]

[-0.13089]

[ 1.20011]

D(CREDIT(-2))

0.149898

0.194676

-0.029277

-0.085033

-0.016213

0.003006


(0.09516)

(0.07856)

(0.08060)

(0.06861)

(0.01214)

(0.04142)


[ 1.57523]

[ 2.47813]

[-0.36326]

[-1.23940]

[-1.33591]

[ 0.07256]

D(CREDIT(-3))

-0.076294

-0.004228

0.059806

-0.018357

-0.015259

0.049999


(0.09304)

(0.07681)

(0.07880)

(0.06708)

(0.01187)

(0.04050)


[-0.82005]

[-0.05505]

[ 0.75898]

[-0.27367]

[-1.28604]

[ 1.23461]

D(RR(-1))

0.085270

0.110746

-0.106545

-0.051197

-0.004551

-0.001671


(0.09643)

(0.07960)

(0.08167)

(0.06952)

(0.01230)

(0.04197)


[ 0.88429]

[ 1.39121]

[-1.30459]

[-0.73642]

[-0.37008]

[-0.03982]

D(RR(-2))

0.016762

0.059870

-0.086925

-0.071639

0.004361

0.037810


(0.09448)

(0.07800)

(0.08002)

(0.06812)

(0.01205)

(0.04113)


[ 0.17741]

[ 0.76757]

[-1.08624]

[-1.05164]

[ 0.36191]

[ 0.91934]

D(RR(-3))

-0.083493

0.091949

0.086550

0.084331

-0.013443

0.024624


(0.08846)

(0.07302)

(0.07492)

(0.06378)

(0.01128)

(0.03850)


[-0.94389]

[ 1.25916]

[ 1.15524]

[ 1.32232]

[-1.19160]

[ 0.63952]

D(RC(-1))

-0.287435

-0.049288

-0.165370

0.220974

0.006957

0.143350


(0.10877)

(0.08980)

(0.09213)

(0.07842)

(0.01387)

(0.04735)


[-2.64255]

[-0.54889]

[-1.79505]

[ 2.81775]

[ 0.50150]

[ 3.02763]

D(RC(-2))

-0.108113

-0.162368

-0.255613

-0.164788

-0.007748

-0.117880


(0.11222)

(0.09264)

(0.09505)

(0.08091)

(0.01431)

(0.04885)


[-0.96340]

[-1.75263]

[-2.68935]

[-2.03672]

[-0.54139]

[-2.41316]

D(RC(-3))

-0.053477

-0.064171

-0.110309

-0.069988

-0.018988

0.009195


(0.11438)

(0.09443)

(0.09688)

(0.08247)

(0.01459)

(0.04979)


[-0.46752]

[-0.67958]

[-1.13863]

[-0.84867]

[-1.30166]

[ 0.18468]

D(RL(-1))

-0.161372

0.390703

0.132515

0.153953

0.002181

-0.035757


(0.10594)

(0.08746)

(0.08973)

(0.07638)

(0.01351)

(0.04611)


[-1.52325]

[ 4.46739]

[ 1.47688]

[ 2.01563]

[ 0.16141]

[-0.77541]

D(RL(-2))

0.037598

0.312405

0.315330

0.272401

0.023756

0.158477


(0.11451)

(0.09453)

(0.09699)

(0.08256)

(0.01460)

(0.04985)


[ 0.32833]

[ 3.30466]

[ 3.25122]

[ 3.29937]

[ 1.62664]

[ 3.17930]

D(RL(-3))

0.018369

0.052981

0.307289

0.023651

-0.010582

-0.240828


(0.11781)

(0.09726)

(0.09978)

(0.08494)

(0.01503)

(0.05128)


[ 0.15592]

[ 0.54474]

[ 3.07953]

[ 0.27844]

[-0.70428]

[-4.69602]

D(IPI_TC(-1))

0.610636

-0.304690

0.002687

0.198186

2.342672

0.002449


(0.41290)

(0.34086)

(0.34971)

(0.29769)

(0.05266)

(0.17973)


[ 1.47890]

[-0.89388]

[ 0.00768]

[ 0.66574]

[ 44.4881]

[ 0.01363]

D(IPI_TC(-2))

-0.861444

0.684952

-0.070568

-0.273561

-2.158021

-0.033480


(0.70493)

(0.58195)

(0.59705)

(0.50824)

(0.08990)

(0.30685)


[-1.22202]

[ 1.17700]

[-0.11819]

[-0.53825]

[-24.0039]

[-0.10911]

D(IPI_TC(-3))

0.507987

-0.504667

0.122085

0.169240

0.782574

0.020242


(0.40320)

(0.33285)

(0.34149)

(0.29070)

(0.05142)

(0.17551)


[ 1.25990]

[-1.51619]

[ 0.35751]

[ 0.58219]

[ 15.2190]

[ 0.11534]

D(CPI(-1))

-0.162755

0.161862

0.490301

0.466122

-0.032296

0.852703



(0.18970)

(0.15661)

(0.16067)

(0.13677)

(0.02419)

(0.08258)

[-0.85795]

[ 1.03356]

[ 3.05161]

[ 3.40804]

[-1.33490]

[ 10.3264]

D(CPI(-2))

0.095573

-0.056678

0.070396

0.028516

-0.030580

-0.222092


(0.23608)

(0.19489)

(0.19995)

(0.17021)

(0.03011)

(0.10276)


[ 0.40484]

[-0.29082]

[ 0.35207]

[ 0.16754]

[-1.01568]

[-2.16122]

D(CPI(-3))

0.119816

0.006580

-0.173503

0.144699

0.036142

0.103425


(0.18303)

(0.15109)

(0.15502)

(0.13196)

(0.02334)

(0.07967)


[ 0.65464]

[ 0.04355]

[-1.11926]

[ 1.09656]

[ 1.54838]

[ 1.29818]

C

0.007621

-0.002896

-0.002693

-0.001661

0.001121

-8.67E-05


(0.00234)

(0.00194)

(0.00199)

(0.00169)

(0.00030)

(0.00102)


[ 3.25032]

[-1.49633]

[-1.35608]

[-0.98236]

[ 3.74708]

[-0.08496]

R-squared

0.666824

0.379658

0.375658

0.560584

0.986555

0.811500

Adj. R-squared

0.620226

0.292897

0.288338

0.499127

0.984674

0.785137

Sum sq. resids

0.007098

0.004837

0.005091

0.003689

0.000115

0.001345

S.E. equation

0.007045

0.005816

0.005967

0.005079

0.000898

0.003067

F-statistic

14.31014

4.375904

4.302058

9.121586

524.6285

30.78109

Log likelihood

591.2180

622.6603

618.4585

644.8698

928.9552

727.6238

Akaike AIC

-6.953878

-7.337321

-7.286080

-7.608168

-11.07262

-8.617363

Schwarz SC

-6.556944

-6.940387

-6.889146

-7.211234

-10.67569

-8.220429

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.) 7.91E-30

Determinant resid covariance 3.48E-30

Log likelihood 4165.689

Akaike information criterion -49.11815

Schwarz criterion -46.50973

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

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

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

Convergence achieved after 22 iterations. Not all cointegrating vectors are identified LR test for binding restrictions (rank = 2):

Chi-square(2)

35.69119


Probability

0.000000

Cointegrating Eq:

CointEq1

CointEq2





CREDIT(-1)

-5.332361

21.29128





RR(-1)

4.044024

64.61669





RC(-1)

-107.9493

-0.959506





RL(-1)

148.6803

-28.13271





IPI_TC(-1)

-3.156392

-24.88818





CPI(-1)

20.57182

-30.85047





C

-13.93856

-51.50137





Error Correction:

D(CREDIT)

D(RR)

D(RC)

D(RL)

D(IPI_TC)

D(CPI)

CointEq1

-0.001111

-0.000839

0.000830

0.000000

-8.36E-05

0.000837



(0.00051)

(0.00043)

(0.00042)

(0.00000)

(6.6E-05)

(0.00022)

[-2.19514]

[-1.96735]

[ 1.99834]

[NA]

[-1.26973]

[ 3.88548]

CointEq2

0.001854

-0.001588

0.000197

0.000000

0.000213

0.000356


(0.00054)

(0.00045)

(0.00044)

(0.00000)

(7.0E-05)

(0.00023)


[ 3.45693]

[-3.51295]

[ 0.44732]

[NA]

[ 3.05533]

[ 1.55956]

D(CREDIT(-1))

0.397716

-0.031993

-0.043753

-0.066584

-0.001792

0.051418


(0.08863)

(0.07377)

(0.07568)

(0.06755)

(0.01140)

(0.03857)


[ 4.48725]

[-0.43366]

[-0.57815]

[-0.98574]

[-0.15721]

[ 1.33322]

D(CREDIT(-2))

0.139083

0.191910

-0.022966

-0.071676

-0.016165

0.006011


(0.09440)

(0.07857)

(0.08060)

(0.07194)

(0.01214)

(0.04108)


[ 1.47338]

[ 2.44251]

[-0.28494]

[-0.99632]

[-1.33145]

[ 0.14634]

D(CREDIT(-3))

-0.093694

-0.007988

0.074189

0.017236

-0.014630

0.054644


(0.09156)

(0.07621)

(0.07818)

(0.06978)

(0.01178)

(0.03984)


[-1.02326]

[-0.10481]

[ 0.94893]

[ 0.24699]

[-1.24236]

[ 1.37149]

D(RR(-1))

0.076827

0.108416

-0.100949

-0.043605

-0.004564

0.001240


(0.09570)

(0.07965)

(0.08171)

(0.07293)

(0.01231)

(0.04164)


[ 0.80282]

[ 1.36112]

[-1.23546]

[-0.59790]

[-0.37080]

[ 0.02978]

D(RR(-2))

0.012522

0.060182

-0.082999

-0.055128

0.004706

0.037903


(0.09356)

(0.07787)

(0.07988)

(0.07130)

(0.01203)

(0.04071)


[ 0.13384]

[ 0.77283]

[-1.03898]

[-0.77317]

[ 0.39113]

[ 0.93103]

D(RR(-3))

-0.080660

0.095058

0.083039

0.091397

-0.013324

0.021371


(0.08791)

(0.07317)

(0.07506)

(0.06700)

(0.01131)

(0.03825)


[-0.91751]

[ 1.29909]

[ 1.10626]

[ 1.36417]

[-1.17846]

[ 0.55867]

D(RC(-1))

-0.317578

-0.064343

-0.141410

0.237791

0.007073

0.158339


(0.10946)

(0.09110)

(0.09346)

(0.08342)

(0.01408)

(0.04763)


[-2.90145]

[-0.70625]

[-1.51308]

[ 2.85063]

[ 0.50244]

[ 3.32452]

D(RC(-2))

-0.127243

-0.174658

-0.249618

-0.190500

-0.008987

-0.106983


(0.11216)

(0.09335)

(0.09577)

(0.08548)

(0.01442)

(0.04880)


[-1.13450]

[-1.87092]

[-2.60654]

[-2.22868]

[-0.62301]

[-2.19211]

D(RC(-3))

-0.070476

-0.073079

-0.105833

-0.090594

-0.020149

0.017702


(0.11403)

(0.09491)

(0.09736)

(0.08690)

(0.01467)

(0.04962)


[-0.61805]

[-0.76996]

[-1.08699]

[-1.04248]

[-1.37387]

[ 0.35677]

D(RL(-1))

-0.140243

0.408021

0.121686

0.173136

0.002939

-0.049542


(0.10647)

(0.08862)

(0.09091)

(0.08114)

(0.01369)

(0.04633)


[-1.31717]

[ 4.60402]

[ 1.33850]

[ 2.13368]

[ 0.21459]

[-1.06933]

D(RL(-2))

0.058990

0.327555

0.301647

0.285565

0.024342

0.145005


(0.11509)

(0.09580)

(0.09827)

(0.08771)

(0.01480)

(0.05008)


[ 0.51254]

[ 3.41925]

[ 3.06952]

[ 3.25565]

[ 1.64443]

[ 2.89542]

D(RL(-3))

0.036043

0.062175

0.288675

0.005724

-0.011084

-0.250487


(0.11738)

(0.09770)

(0.10022)

(0.08945)

(0.01510)

(0.05107)


[ 0.30708]

[ 0.63641]

[ 2.88040]

[ 0.06399]

[-0.73426]

[-4.90442]

D(IPI_TC(-1))

0.530712

-0.312772

0.031813

0.177876

2.338244

0.026445


(0.41180)

(0.34276)

(0.35161)

(0.31384)

(0.05296)

(0.17919)


[ 1.28877]

[-0.91251]

[ 0.09048]

[ 0.56678]

[ 44.1489]

[ 0.14758]

D(IPI_TC(-2))

-0.723779

0.701428

-0.122834

-0.243329

-2.150734

-0.075895


(0.70326)

(0.58536)

(0.60048)

(0.53596)

(0.09045)

(0.30601)


[-1.02918]

[ 1.19829]

[-0.20456]

[-0.45400]

[-23.7786]

[-0.24801]

D(IPI_TC(-3))

0.414253

-0.515917

0.155146

0.122083

0.776726

0.050911


(0.40296)

(0.33540)

(0.34407)

(0.30710)

(0.05183)

(0.17534)


[ 1.02803]

[-1.53821]

[ 0.45092]

[ 0.39754]

[ 14.9873]

[ 0.29036]


D(CPI(-1))

-0.134373

0.167521

0.470074

0.449031

-0.031958

0.842316


(0.18861)

(0.15699)

(0.16104)

(0.14374)

(0.02426)

(0.08207)


[-0.71245]

[ 1.06711]

[ 2.91896]

[ 3.12393]

[-1.31747]

[ 10.2635]

D(CPI(-2))

0.110231

-0.055566

0.055190

-0.004371

-0.031222

-0.226088


(0.23389)

(0.19468)

(0.19971)

(0.17825)

(0.03008)

(0.10177)


[ 0.47129]

[-0.28542]

[ 0.27635]

[-0.02452]

[-1.03790]

[-2.22147]

D(CPI(-3))

0.129635

-0.003521

-0.198056

0.053865

0.033612

0.106273


(0.17859)

(0.14865)

(0.15249)

(0.13610)

(0.02297)

(0.07771)


[ 0.72589]

[-0.02369]

[-1.29883]

[ 0.39576]

[ 1.46336]

[ 1.36757]

C

0.008458

-0.002608

-0.002918

-0.001494

0.001159

-0.000373


(0.00239)

(0.00199)

(0.00204)

(0.00182)

(0.00031)

(0.00104)


[ 3.54452]

[-1.31305]

[-1.43212]

[-0.82137]

[ 3.77731]

[-0.35966]

R-squared

0.672213

0.379580

0.375723

0.516957

0.986547

0.814683

Adj. R-squared

0.626369

0.292808

0.288412

0.449399

0.984666

0.788764

Sum sq. resids

0.006983

0.004838

0.005091

0.004056

0.000116

0.001322

S.E. equation

0.006988

0.005816

0.005967

0.005326

0.000899

0.003041

F-statistic

14.66296

4.374459

4.303255

7.651997

524.3377

31.43245

Log likelihood

592.5552

622.6500

618.4671

637.1078

928.9104

729.0199

Akaike AIC

-6.970185

-7.337195

-7.286184

-7.513510

-11.07208

-8.634389

Schwarz SC

-6.573251

-6.940261

-6.889250

-7.116576

-10.67514

-8.237455

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.) 8.45E-30

Determinant resid covariance 3.71E-30

Log likelihood 4148.174

Akaike information criterion -48.90456

Schwarz criterion -46.29614

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

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

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

Convergence achieved after 14 iterations. Not all cointegrating vectors are identified LR test for binding restrictions (rank = 2):

Chi-square(2)

10.79092


Probability

0.004537

Cointegrating Eq:

CointEq1

CointEq2





CREDIT(-1)

-7.825812

21.89922





RR(-1)

4.378310

69.99292





RC(-1)

-87.12097

3.761161





RL(-1)

138.9100

-36.03212





IPI_TC(-1)

2.179393

-25.81449





CPI(-1)

20.03978

-30.81405





C

-0.131280

-55.68169





Error Correction:

D(CREDIT)

D(RR)

D(RC)

D(RL)

D(IPI_TC)

D(CPI)


CointEq1

-0.000293

-0.000630

-0.000190

-0.002521

0.000000

0.000434


(0.00055)

(0.00045)

(0.00047)

(0.00039)

(0.00000)

(0.00024)


[-0.53515]

[-1.39334]

[-0.40887]

[-6.38894]

[NA]

[ 1.81446]

CointEq2

0.001531

-0.001737

0.000262

0.000431

0.000000

0.000414


(0.00054)

(0.00045)

(0.00046)

(0.00039)

(0.00000)

(0.00024)


[ 2.81381]

[-3.86452]

[ 0.56532]

[ 1.10021]

[NA]

[ 1.73995]

D(CREDIT(-1))

0.416778

-0.024368

-0.050063

-0.074923

-0.000336

0.046561


(0.08901)

(0.07314)

(0.07525)

(0.06397)

(0.01139)

(0.03869)


[ 4.68219]

[-0.33316]

[-0.66527]

[-1.17117]

[-0.02950]

[ 1.20352]

D(CREDIT(-2))

0.153358

0.195591

-0.029376

-0.085571

-0.015333

0.003158


(0.09520)

(0.07823)

(0.08049)

(0.06842)

(0.01218)

(0.04138)


[ 1.61083]

[ 2.50019]

[-0.36498]

[-1.25063]

[-1.25884]

[ 0.07632]

D(CREDIT(-3))

-0.072016

-0.002125

0.059244

-0.019629

-0.014062

0.050000


(0.09303)

(0.07644)

(0.07865)

(0.06686)

(0.01190)

(0.04043)


[-0.77412]

[-0.02780]

[ 0.75329]

[-0.29359]

[-1.18149]

[ 1.23663]

D(RR(-1))

0.080366

0.116535

-0.107779

-0.054563

-0.004943

-0.002673


(0.09679)

(0.07953)

(0.08182)

(0.06956)

(0.01238)

(0.04207)


[ 0.83032]

[ 1.46525]

[-1.31719]

[-0.78438]

[-0.39917]

[-0.06355]

D(RR(-2))

0.012836

0.065753

-0.088057

-0.075376

0.004212

0.036959


(0.09494)

(0.07801)

(0.08026)

(0.06823)

(0.01215)

(0.04126)


[ 0.13520]

[ 0.84285]

[-1.09713]

[-1.10469]

[ 0.34678]

[ 0.89569]

D(RR(-3))

-0.086585

0.097053

0.085896

0.080742

-0.013478

0.024079


(0.08886)

(0.07301)

(0.07512)

(0.06386)

(0.01137)

(0.03862)


[-0.97444]

[ 1.32923]

[ 1.14348]

[ 1.26434]

[-1.18559]

[ 0.62350]

D(RC(-1))

-0.284815

-0.048344

-0.166174

0.222356

0.007562

0.142865


(0.10878)

(0.08939)

(0.09196)

(0.07818)

(0.01392)

(0.04728)


[-2.61823]

[-0.54084]

[-1.80696]

[ 2.84414]

[ 0.54332]

[ 3.02176]

D(RC(-2))

-0.103061

-0.164520

-0.255024

-0.161910

-0.006939

-0.117537


(0.11230)

(0.09228)

(0.09493)

(0.08071)

(0.01437)

(0.04881)


[-0.91776]

[-1.78293]

[-2.68631]

[-2.00616]

[-0.48294]

[-2.40823]

D(RC(-3))

-0.048016

-0.066773

-0.109655

-0.067571

-0.018118

0.009733


(0.11445)

(0.09405)

(0.09676)

(0.08226)

(0.01464)

(0.04974)


[-0.41952]

[-0.71000]

[-1.13330]

[-0.82147]

[-1.23732]

[ 0.19567]

D(RL(-1))

-0.157619

0.383921

0.133631

0.155021

0.002285

-0.034322


(0.10632)

(0.08737)

(0.08988)

(0.07641)

(0.01360)

(0.04621)


[-1.48247]

[ 4.39443]

[ 1.48672]

[ 2.02873]

[ 0.16800]

[-0.74274]

D(RL(-2))

0.042463

0.307161

0.316603

0.273107

0.024291

0.159876


(0.11468)

(0.09423)

(0.09695)

(0.08242)

(0.01467)

(0.04984)


[ 0.37028]

[ 3.25969]

[ 3.26575]

[ 3.31372]

[ 1.65562]

[ 3.20774]

D(RL(-3))

0.025760

0.046715

0.309281

0.025993

-0.009628

-0.239155


(0.11791)

(0.09688)

(0.09968)

(0.08474)

(0.01508)

(0.05124)


[ 0.21848]

[ 0.48217]

[ 3.10283]

[ 0.30675]

[-0.63823]

[-4.66694]

D(IPI_TC(-1))

0.660932

-0.346517

0.009246

0.218320

2.348852

0.010586


(0.41337)

(0.33967)

(0.34946)

(0.29709)

(0.05289)

(0.17966)


[ 1.59888]

[-1.02015]

[ 0.02646]

[ 0.73487]

[ 44.4129]

[ 0.05892]

D(IPI_TC(-2))

-0.940529

0.749419

-0.080471

-0.304543

-2.167886

-0.046060


(0.70556)

(0.57976)

(0.59647)

(0.50708)

(0.09027)

(0.30665)


[-1.33303]

[ 1.29263]

[-0.13491]

[-0.60058]

[-24.0158]

[-0.15020]

D(IPI_TC(-3))

0.557520

-0.550438

0.128777

0.191222

0.788100

0.028630

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