Phân tích kênh tín dụng ngân hàng trong cơ chế truyền dẫn tiền tệ ở Việt Nam: Tiếp cận bằng mô hình VECM - 17



(0.40472)

(0.33256)

(0.34215)

(0.29087)

(0.05178)

(0.17590)


[ 1.37754]

[-1.65514]

[ 0.37638]

[ 0.65742]

[ 15.2202]

[ 0.16276]

D(CPI(-1))

-0.171390

0.169476

0.489859

0.462164

-0.033267

0.851564


(0.19006)

(0.15618)

(0.16068)

(0.13660)

(0.02432)

(0.08261)


[-0.90175]

[ 1.08516]

[ 3.04870]

[ 3.38341]

[-1.36808]

[ 10.3088]

D(CPI(-2))

0.092818

-0.055464

0.070870

0.028341

-0.031036

-0.222257


(0.23648)

(0.19432)

(0.19992)

(0.16996)

(0.03025)

(0.10278)


[ 0.39250]

[-0.28543]

[ 0.35450]

[ 0.16675]

[-1.02580]

[-2.16249]

D(CPI(-3))

0.116061

0.010183

-0.172560

0.145237

0.035716

0.102879


(0.18344)

(0.15073)

(0.15508)

(0.13184)

(0.02347)

(0.07973)


[ 0.63270]

[ 0.06756]

[-1.11273]

[ 1.10165]

[ 1.52183]

[ 1.29041]

C

0.007305

-0.002878

-0.002714

-0.001680

0.001052

-0.000114


(0.00231)

(0.00190)

(0.00195)

(0.00166)

(0.00030)

(0.00100)


[ 3.16352]

[-1.51674]

[-1.39024]

[-1.01249]

[ 3.56218]

[-0.11337]

R-squared

0.665655

0.383243

0.375786

0.561835

0.986421

0.811420

Adj. R-squared

0.618894

0.296984

0.288484

0.500553

0.984522

0.785045

Sum sq. resids

0.007123

0.004809

0.005090

0.003679

0.000117

0.001345

S.E. equation

0.007058

0.005799

0.005966

0.005072

0.000903

0.003067

F-statistic

14.23512

4.442904

4.304411

9.168046

519.4130

30.76491

Log likelihood

590.9308

623.1356

618.4754

645.1036

928.1470

727.5888

Akaike AIC

-6.950376

-7.343117

-7.286285

-7.611019

-11.06277

-8.616936

Schwarz SC

-6.553442

-6.946183

-6.889351

-7.214085

-10.66583

-8.220002

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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Determinant resid covariance (dof

adj.) 7.95E-30

Determinant resid covariance 3.50E-30

Log likelihood 4160.624

Akaike information criterion -49.05639

Schwarz criterion -46.44797

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

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

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

Convergence achieved after 10 iterations. Not all cointegrating vectors are identified LR test for binding restrictions (rank = 2):

Chi-square(2)

6.005905


Probability

0.049640

Cointegrating Eq:

CointEq1

CointEq2

CREDIT(-1)

-8.219948

21.24754

RR(-1)

7.600480

67.22768

RC(-1)

-76.88855

6.902883

RL(-1)

130.0561

-35.83274

IPI_TC(-1)

2.829759

-25.18924

CPI(-1)

20.30846

-30.36689

C

1.632628

-51.41316


Error Correction:

D(CREDIT)

D(RR)

D(RC)

D(RL)

D(IPI_TC)

D(CPI)

CointEq1

-0.000209

-0.000747

-0.000600

-0.002672

-7.30E-05

0.000000


(0.00054)

(0.00045)

(0.00042)

(0.00038)

(7.0E-05)

(0.00000)


[-0.38397]

[-1.65586]

[-1.41684]

[-6.99810]

[-1.04183]

[NA]

CointEq2

0.001884

-0.001695

-4.68E-05

0.000169

0.000214

0.000000


(0.00054)

(0.00045)

(0.00042)

(0.00038)

(7.0E-05)

(0.00000)


[ 3.47693]

[-3.76690]

[-0.11073]

[ 0.44428]

[ 3.06604]

[NA]

D(CREDIT(-1))

0.413378

-0.027101

-0.049538

-0.073649

-0.001308

0.049078


(0.08880)

(0.07317)

(0.07522)

(0.06385)

(0.01133)

(0.03891)


[ 4.65530]

[-0.37040]

[-0.65856]

[-1.15341]

[-0.11539]

[ 1.26142]

D(CREDIT(-2))

0.151309

0.192670

-0.030007

-0.086709

-0.016052

0.004706


(0.09501)

(0.07828)

(0.08048)

(0.06832)

(0.01213)

(0.04163)


[ 1.59264]

[ 2.46120]

[-0.37285]

[-1.26921]

[-1.32363]

[ 0.11304]

D(CREDIT(-3))

-0.074541

-0.006470

0.056622

-0.020388

-0.015176

0.050881


(0.09291)

(0.07656)

(0.07871)

(0.06681)

(0.01186)

(0.04071)


[-0.80229]

[-0.08451]

[ 0.71941]

[-0.30517]

[-1.27963]

[ 1.24987]

D(RR(-1))

0.084625

0.111928

-0.107927

-0.050249

-0.004667

-0.002334


(0.09635)

(0.07939)

(0.08162)

(0.06929)

(0.01230)

(0.04222)


[ 0.87829]

[ 1.40981]

[-1.32228]

[-0.72525]

[-0.37947]

[-0.05529]

D(RR(-2))

0.016694

0.059274

-0.087665

-0.073427

0.004337

0.038805


(0.09443)

(0.07781)

(0.07999)

(0.06790)

(0.01205)

(0.04137)


[ 0.17679]

[ 0.76180]

[-1.09590]

[-1.08134]

[ 0.35983]

[ 0.93788]

D(RR(-3))

-0.084234

0.091016

0.088391

0.080764

-0.013405

0.027817


(0.08829)

(0.07275)

(0.07479)

(0.06349)

(0.01127)

(0.03868)


[-0.95406]

[ 1.25109]

[ 1.18182]

[ 1.27210]

[-1.18947]

[ 0.71908]

D(RC(-1))

-0.289667

-0.040651

-0.171613

0.234767

0.006521

0.136149


(0.10769)

(0.08873)

(0.09123)

(0.07744)

(0.01375)

(0.04718)


[-2.68985]

[-0.45812]

[-1.88120]

[ 3.03167]

[ 0.47439]

[ 2.88547]

D(RC(-2))

-0.112893

-0.152166

-0.255363

-0.151735

-0.008105

-0.121031


(0.11219)

(0.09244)

(0.09504)

(0.08068)

(0.01432)

(0.04916)


[-1.00624]

[-1.64603]

[-2.68689]

[-1.88078]

[-0.56597]

[-2.46212]

D(RC(-3))

-0.056901

-0.057487

-0.110062

-0.062115

-0.019244

0.007610


(0.11436)

(0.09423)

(0.09688)

(0.08224)

(0.01460)

(0.05011)


[-0.49756]

[-0.61006]

[-1.13609]

[-0.75533]

[-1.31829]

[ 0.15186]

D(RL(-1))

-0.156173

0.376935

0.132740

0.133530

0.002525

-0.030727


(0.10573)

(0.08712)

(0.08957)

(0.07603)

(0.01350)

(0.04633)


[-1.47705]

[ 4.32652]

[ 1.48200]

[ 1.75624]

[ 0.18710]

[-0.66327]

D(RL(-2))

0.041719

0.300675

0.318076

0.254842

0.024196

0.165354


(0.11381)

(0.09377)

(0.09641)

(0.08184)

(0.01453)

(0.04986)


[ 0.36658]

[ 3.20639]

[ 3.29930]

[ 3.11404]

[ 1.66564]

[ 3.31608]

D(RL(-3))

0.018343

0.048618

0.313435

0.014643

-0.010302

-0.233983


(0.11704)

(0.09644)

(0.09915)

(0.08416)

(0.01494)

(0.05128)


[ 0.15672]

[ 0.50413]

[ 3.16128]

[ 0.17398]

[-0.68957]

[-4.56266]

D(IPI_TC(-1))

0.612308

-0.314218

-0.008938

0.176698

2.342016

0.001044


(0.41306)

(0.34035)

(0.34991)

(0.29702)

(0.05272)

(0.18098)


[ 1.48239]

[-0.92322]

[-0.02555]

[ 0.59489]

[ 44.4202]

[ 0.00577]

D(IPI_TC(-2))

-0.864746

0.700296

-0.050641

-0.240091

-2.156990

-0.030640


(0.70515)

(0.58103)

(0.59734)

(0.50707)

(0.09001)

(0.30896)


[-1.22633]

[ 1.20527]

[-0.08478]

[-0.47349]

[-23.9644]

[-0.09917]


D(IPI_TC(-3))

0.508788

-0.512884

0.107333

0.148151

0.781568

0.014580


(0.40333)

(0.33234)

(0.34167)

(0.29003)

(0.05148)

(0.17672)


[ 1.26147]

[-1.54326]

[ 0.31414]

[ 0.51081]

[ 15.1811]

[ 0.08250]

D(CPI(-1))

-0.159905

0.157475

0.498141

0.464230

-0.031541

0.859155


(0.18930)

(0.15598)

(0.16036)

(0.13613)

(0.02416)

(0.08294)


[-0.84469]

[ 1.00956]

[ 3.10632]

[ 3.41027]

[-1.30532]

[ 10.3582]

D(CPI(-2))

0.094149

-0.054567

0.076158

0.031553

-0.030392

-0.219533


(0.23593)

(0.19441)

(0.19986)

(0.16966)

(0.03012)

(0.10338)


[ 0.39905]

[-0.28069]

[ 0.38105]

[ 0.18598]

[-1.00918]

[-2.12365]

D(CPI(-3))

0.117296

0.013960

-0.161412

0.159160

0.036704

0.107738


(0.18354)

(0.15123)

(0.15548)

(0.13198)

(0.02343)

(0.08042)


[ 0.63908]

[ 0.09231]

[-1.03816]

[ 1.20593]

[ 1.56669]

[ 1.33972]

C

0.007563

-0.002818

-0.002737

-0.001619

0.001108

-0.000239


(0.00232)

(0.00191)

(0.00197)

(0.00167)

(0.00030)

(0.00102)


[ 3.25489]

[-1.47196]

[-1.39040]

[-0.96893]

[ 3.73505]

[-0.23458]

R-squared

0.667339

0.382948

0.376388

0.563557

0.986552

0.809307

Adj. R-squared

0.620812

0.296647

0.289170

0.502517

0.984671

0.782637

Sum sq. resids

0.007087

0.004812

0.005086

0.003664

0.000115

0.001360

S.E. equation

0.007040

0.005801

0.005963

0.005062

0.000899

0.003084

F-statistic

14.34332

4.437349

4.315471

9.232455

524.5301

30.34487

Log likelihood

591.3447

623.0963

618.5545

645.4266

928.9401

726.6753

Akaike AIC

-6.955423

-7.342638

-7.287250

-7.614959

-11.07244

-8.605796

Schwarz SC

-6.558488

-6.945704

-6.890316

-7.218025

-10.67551

-8.208862

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.) 7.95E-30

Determinant resid covariance 3.50E-30

Log likelihood 4163.017

Akaike information criterion -49.08557

Schwarz criterion -46.47715


Chuẩn đoán mô hình


VEC Residual Serial Correlation LM Tests

Null Hypothesis: no serial correlation at lag order h

Sample: 2001M01 2014M12

Lags

LM-Stat

Prob

1

41.54673

0.2418

2

38.63354

0.3515

3

31.71519

0.6726

4

48.49292

0.0798

Included observations: 164


Probs from chi-square with 36 df. VEC Residual Normality Tests

Orthogonalization: Cholesky (Lutkepohl)

Null Hypothesis: residuals are multivariate normal Sample: 2001M01 2014M12

Included observations: 164


Component

Skewness

Chi-sq

df

Prob.

1

-1.084095

32.12381

1

0.0000

2

4.243055

492.0961

1

0.0000

3

2.691416

197.9951

1

0.0000

4

-0.207595

1.177949

1

0.2778

5

0.188443

0.970623

1

0.3245

6

0.270557

2.000830

1

0.1572

Joint


726.3643

6

0.0000


Component


Kurtosis


Chi-sq


df


Prob.

1

16.63236

1269.915

1

0.0000

2

35.40807

7176.935

1

0.0000

3

22.02076

2472.226

1

0.0000

4

11.45700

488.7261

1

0.0000

5

3.303418

0.629094

1

0.4277

6

7.973361

169.0179

1

0.0000

Joint


11577.45

6

0.0000


Component


Jarque-Bera


df


Prob.


1

1302.038

2

0.0000


2

7669.031

2

0.0000


3

2670.221

2

0.0000


4

489.9041

2

0.0000


5

1.599717

2

0.4494


6

171.0187

2

0.0000


Joint

12303.81

12

0.0000




VEC Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares) Sample: 2001M01 2014M12

Included observations: 164


Joint test:




Chi-sq

df

Prob.

1260.858

840

0.0000


Individual components:

Dependent

R-squared

F(40,123)

Prob.

Chi-sq(40)

Prob.

res1*res1

0.306832

1.361153

0.1025

50.32043

0.1270

res2*res2

0.159608

0.584009

0.9738

26.17578

0.9549

res3*res3

0.452481

2.541244

0.0000

74.20689

0.0008

res4*res4

0.421124

2.237020

0.0004

69.06436

0.0029

res5*res5

0.238609

0.963661

0.5395

39.13188

0.5092

res6*res6

0.671778

6.293670

0.0000

110.1717

0.0000

res2*res1

0.615700

4.926551

0.0000

100.9747

0.0000

res3*res1

0.562589

3.954999

0.0000

92.26457

0.0000

res3*res2

0.433595

2.353981

0.0002

71.10965

0.0018

res4*res1

0.415297

2.184083

0.0006

68.10875

0.0037

res4*res2

0.236127

0.950538

0.5603

38.72483

0.5276

res4*res3

0.438060

2.397114

0.0001

71.84184

0.0015


res5*res1

0.344729

1.617712

0.0240

56.53549

0.0432

res5*res2

0.299962

1.317618

0.1280

49.19375

0.1511

res5*res3

0.332471

1.531541

0.0400

54.52523

0.0626

res5*res4

0.353913

1.684419

0.0159

58.04169

0.0324

res6*res1

0.491103

2.967475

0.0000

80.54082

0.0002

res6*res2

0.408981

2.127881

0.0009

67.07293

0.0047

res6*res3

0.517509

3.298175

0.0000

84.87147

0.0000

res6*res4

0.433081

2.349056

0.0002

71.02530

0.0018

res6*res5

0.608431

4.778030

0.0000

99.78275

0.0000


0 433081 2 349056 0 0002 71 02530 0 0018 res6 res5 0 608431 4 778030 0 0000 99 78275 0 0000 1

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