0.108288 | 0.019501 | 5.553041 | 0.0000 | |
C(19) | 0.461798 | 0.062679 | 7.367710 | 0.0000 |
C(29) | 0.048661 | 0.020908 | 2.327391 | 0.0201 |
C(10) | 0.068433 | 0.013716 | 4.989206 | 0.0000 |
C(20) | 0.269831 | 0.069197 | 3.899444 | 0.0001 |
C(30) | 0.058854 | 0.013708 | 4.293366 | 0.0000 |
C(11) | 0.030155 | 0.057406 | 0.525286 | 0.5995 |
C(21) | 0.043610 | 0.076062 | 0.573344 | 0.5665 |
C(31) | -0.003790 | 0.056851 | -0.066670 | 0.9469 |
C(32) | 0.312484 | 0.057154 | 5.467431 | 0.0000 |
Có thể bạn quan tâm!
- Sự truyền dẫn chính sách tiền tệ thông qua sự truyền dẫn của lãi xuất kết quả thực nghiệm trọng khối ASEAN +3 - 2
- Kiểm Định Tính Dừng - Kiểm Định Nghiệm Đơn Vị (Unit Root Tests)
- Kết Quả Kiểm Định Phương Sai Sai Số Thay Đổi Và Tự Tương Quan.
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- Sự truyền dẫn chính sách tiền tệ thông qua sự truyền dẫn của lãi xuất kết quả thực nghiệm trọng khối ASEAN +3 - 7
- Sự truyền dẫn chính sách tiền tệ thông qua sự truyền dẫn của lãi xuất kết quả thực nghiệm trọng khối ASEAN +3 - 8
Xem toàn bộ 73 trang tài liệu này.
Determinant residual covariance 5.72E-15
Equation: D(LR_CHI) = C(1) + C(2)*D(MR_CHI) + C(12)*D(LR_CHI(-1)) + C(22)*D(MR_CHI(-1))
Observations: 130
0.517832 | Mean dependent var | -0.020077 | |
Adjusted R-squared | 0.506351 | S.D. dependent var | 0.195474 |
S.E. of regression | 0.137340 | Sum squared resid | 2.376657 |
Durbin-Watson stat | 2.088933 |
Equation: D(LR_IND) = C(1) + C(3)*D(MR_IND) + C(13)*D(LR_IND(-1)) + C(23)*D(MR_IND(-1))
Observations: 130
0.464938 | Mean dependent var | -0.046154 | |
Adjusted R-squared | 0.452198 | S.D. dependent var | 0.873653 |
S.E. of regression | 0.646623 | Sum squared resid | 52.68323 |
Durbin-Watson stat | 2.288591 |
Equation: D(LR_JAP) =C(1) + C(4)*D(MR_JAP) + C(14)*D(LR_JAP(-1)) + C(24)*D(MR_JAP(-1))
Observations: 130
0.493459 | Mean dependent var | -0.004338 | |
Adjusted R-squared | 0.481398 | S.D. dependent var | 0.014459 |
S.E. of regression | 0.010413 | Sum squared resid | 0.013661 |
Durbin-Watson stat | 2.173785 |
Equation: D(LR_KOR)=C(1)+C(5)*D(MR_KOR)+C(15)*D(LR_KOR(-1)) + C(25)*D(MR_KOR(-1))
Observations: 130
0.815661 | Mean dependent var | -0.032692 | |
Adjusted R-squared | 0.811271 | S.D. dependent var | 0.410834 |
S.E. of regression | 0.178478 | Sum squared resid | 4.013653 |
Durbin-Watson stat | 1.886445 |
Equation:D(LR_MAL)=C(1) +C(6)*D(MR_MAL) + C(16)*D(LR_MAL(-1)) + C(26)*D(MR_MAL(-1))
Observations: 130
0.354222 | Mean dependent var | -0.029538 | |
Adjusted R-squared | 0.338846 | S.D. dependent var | 0.247530 |
S.E. of regression | 0.201270 | Sum squared resid | 5.104211 |
Durbin-Watson stat | 2.127096 |
Equation:D(LR_MYA)=C(1)+C(7)*D(MR_MYA)+C(17)*D(LR_MYA(-1))+ C(27)*D(MR_MYA(-1))
Observations: 130
0.277235 | Mean dependent var | 0.003846 | |
Adjusted R-squared | 0.260026 | S.D. dependent var | 0.654431 |
S.E. of regression | 0.562953 | Sum squared resid | 39.93137 |
Durbin-Watson stat | 2.287043 |
Equation: D(LR_PHI) = C(1) + C(8)*D(MR_PHI) + C(18)*D(LR_PHI(-1)) + C(28)*D(MR_PHI(-1))
Observations: 130
0.155150 | Mean dependent var | -0.029669 | |
Adjusted R-squared | 0.135034 | S.D. dependent var | 1.031496 |
S.E. of regression | 0.959328 | Sum squared resid | 115.9590 |
Durbin-Watson stat | 2.022388 |
Equation: D(LR_SIN) = C(1) + C(9)*D(MR_SIN) + C(19)*D(LR_SIN(-1)) + C(29)*D(MR_SIN(-1))
Observations: 130
0.483690 | Mean dependent var | -0.007154 | |
Adjusted R-squared | 0.471397 | S.D. dependent var | 0.139974 |
S.E. of regression | 0.101768 | Sum squared resid | 1.304945 |
Durbin-Watson stat | 2.093168 |
Equation:D(LR_THA)= C(1) + C(10)*D(MR_THA)+C(20)*D(LR_THA(-1))+C(30)*D(MR_THA(-1))
Observations: 130
0.316555 | Mean dependent var | -0.047308 | |
Adjusted R-squared | 0.300282 | S.D. dependent var | 0.286743 |
S.E. of regression | 0.239858 | Sum squared resid | 7.249003 |
Durbin-Watson stat | 2.159007 |
Equation: D(LR_VNA) = C(1) +C(11)*D(MR_VNA) + C(21)*D(LR_VNA(
-1))+ C(31)*D(MR_VNA(-1)) +C(32)*D(MR_VNA(-2))
Observations: 129
0.175400 | Mean dependent var | -0.029612 | |
Adjusted R-squared | 0.148800 | S.D. dependent var | 0.302067 |
S.E. of regression | 0.278689 | Sum squared resid | 9.630774 |
Durbin-Watson stat | 2.017426 |
4.3.2 Thời kỳ sau khủng hoảng
System: SYS01_DR
Estimation Method: Seemingly Unrelated Regression
Date: 03/16/13 Time: 14:20 Sample: 2008M03 2012M07
Included observations: 53
Total system (balanced) observations 530
Linear estimation after one-step weighting matrix
Coefficient | Std. Error | t-Statistic | Prob. | |
C(1) | -0.005274 | 0.015778 | -0.334280 | 0.7383 |
C(11) | 0.833525 | 0.100659 | 8.280681 | 0.0000 |
C(21) | 0.133284 | 0.087272 | 1.527218 | 0.1273 |
0.004831 | 0.018979 | 0.254552 | 0.7992 | |
C(12) | 0.182081 | 0.058699 | 3.101954 | 0.0020 |
C(22) | 0.825788 | 0.059120 | 13.96791 | 0.0000 |
C(3) | -0.001055 | 0.013374 | -0.078852 | 0.9372 |
C(13) | 0.022918 | 0.416362 | 0.055044 | 0.9561 |
C(23) | 0.111927 | 0.128332 | 0.872172 | 0.3835 |
C(4) | 0.005586 | 0.031263 | 0.178683 | 0.8583 |
C(14) | 0.666137 | 0.119097 | 5.593250 | 0.0000 |
C(24) | 0.385228 | 0.080635 | 4.777415 | 0.0000 |
C(5) | 0.006681 | 0.007813 | 0.855198 | 0.3929 |
C(15) | 1.196968 | 0.096529 | 12.40008 | 0.0000 |
C(25) | -0.602095 | 0.100838 | -5.970901 | 0.0000 |
C(6) | -0.040679 | 0.038400 | -1.059331 | 0.2900 |
C(16) | 0.961815 | 0.133346 | 7.212908 | 0.0000 |
C(26) | -0.019901 | 0.095295 | -0.208840 | 0.8347 |
C(7) | 0.011957 | 0.057940 | 0.206376 | 0.8366 |
C(17) | 0.845549 | 0.323247 | 2.615795 | 0.0092 |
C(27) | -0.133811 | 0.112553 | -1.188864 | 0.2351 |
C(8) | -0.004870 | 0.001988 | -2.450397 | 0.0146 |
C(18) | 0.013284 | 0.010048 | 1.322063 | 0.1868 |
C(28) | 0.135877 | 0.126274 | 1.076053 | 0.2824 |
C(9) | 0.029269 | 0.021506 | 1.360992 | 0.1741 |
C(19) | 0.949311 | 0.115536 | 8.216599 | 0.0000 |
C(29) | -0.587961 | 0.114257 | -5.145948 | 0.0000 |
C(10) | -0.033989 | 0.114347 | -0.297246 | 0.7664 |
C(20) | 0.433631 | 0.093405 | 4.642489 | 0.0000 |
C(30) | 0.415197 | 0.100796 | 4.119199 | 0.0000 |
Determinant residual covariance 3.19E-18
Equation: D(DR_CHI) = C(1) + C(11)*D(MR_CHI) + C(21)*D(DR_CHI(-1))
Observations: 53
0.642134 | Mean dependent var | -0.021509 | |
Adjusted R-squared | 0.627819 | S.D. dependent var | 0.193345 |
S.E. of regression | 0.117953 | Sum squared resid | 0.695649 |
Durbin-Watson stat | 1.752198 |
Equation: D(DR_IND) = C(2) + C(12)*D(MR_IND) + C(22)*D(DR_IND(-1))
Observations: 53
0.786634 | Mean dependent var | -0.031887 | |
Adjusted R-squared | 0.778100 | S.D. dependent var | 0.296382 |
S.E. of regression | 0.139615 | Sum squared resid | 0.974614 |
Durbin-Watson stat | 1.848768 |
Equation: D(DR_JAP) = C(3) + C(13)*D(MR_JAP) + C(23)*D(DR_JAP(-1))
Observations: 53
0.028175 | Mean dependent var | -0.001623 | |
Adjusted R-squared | -0.010698 | S.D. dependent var | 0.097343 |
S.E. of regression | 0.097863 | Sum squared resid | 0.478854 |
Durbin-Watson stat | 1.787401 |
Equation: D(DR_KOR) = C(4) + C(14)*D(MR_KOR) + C(24) *D(DR_KOR(-1))
Observations: 53
0.507030 | Mean dependent var | -0.034906 | |
Adjusted R-squared | 0.487311 | S.D. dependent var | 0.323886 |
S.E. of regression | 0.231910 | Sum squared resid | 2.689115 |
Durbin-Watson stat | 1.938743 |
Equation: D(DR_MAL) = C(5) + C(15)*D(MR_MAL) + C(25)*D(DR_MAL(-1))
Observations: 53
0.755355 | Mean dependent var | -0.003019 | |
Adjusted R-squared | 0.745569 | S.D. dependent var | 0.116596 |
S.E. of regression | 0.058812 | Sum squared resid | 0.172944 |
Durbin-Watson stat | 2.436589 |
Equation: D(DR_MYA) = C(6) + C(16)*D(MR_MYA) + C(26) *D(DR_MYA(-1))
Observations: 53
0.490616 | Mean dependent var | -0.075472 | |
Adjusted R-squared | 0.470240 | S.D. dependent var | 0.384760 |
S.E. of regression | 0.280046 | Sum squared resid | 3.921299 |
Durbin-Watson stat | 2.002579 |
Equation: D(DR_PHI) = C(7) + C(17)*D(MR_PHI) + C(27)*D(DR_PHI(-1))
Observations: 53
0.072109 | Mean dependent var | -0.006208 | |
Adjusted R-squared | 0.034994 | S.D. dependent var | 0.447453 |
S.E. of regression | 0.439555 | Sum squared resid | 9.660408 |
Durbin-Watson stat | 1.637830 |
Equation: D(DR_SIN) = C(8) + C(18)*D(MR_SIN) + C(28)*D(DR_SIN(-1))
Observations: 53
0.024589 | Mean dependent var | -0.006038 | |
Adjusted R-squared | -0.014428 | S.D. dependent var | 0.013205 |
S.E. of regression | 0.013300 | Sum squared resid | 0.008845 |
Durbin-Watson stat | 2.044040 |
Equation: D(DR_THA) = C(9) + C(19)*D(MR_THA) + C(29)*D(DR_THA(-1))
Observations: 53
0.536572 | Mean dependent var | 0.020755 | |
Adjusted R-squared | 0.518035 | S.D. dependent var | 0.232725 |
S.E. of regression | 0.161566 | Sum squared resid | 1.305184 |
Durbin-Watson stat | 2.176433 |
Equation: D(DR_VNA) = C(10) + C(20)*D(MR_VNA) + C(30) *D(DR_VNA(-1))
Observations: 53
0.475375 | Mean dependent var | 0.000566 | |
Adjusted R-squared | 0.454390 | S.D. dependent var | 1.167435 |
S.E. of regression | 0.862331 | Sum squared resid | 37.18074 |
Durbin-Watson stat | 1.952531 |
System: SYS03 _LR
Estimation Method: Seemingly Unrelated Regression
Date: 03/16/13 Time: 14:38 Sample: 2008M03 2012M07
Included observations: 53
Total system (balanced) observations 530
Linear estimation after one-step weighting matrix
Coefficient | Std. Error | t-Statistic | Prob. | |
C(1) | -0.011498 | 0.016461 | -0.698471 | 0.4852 |
C(11) | 0.683672 | 0.100404 | 6.809216 | 0.0000 |
C(21) | 0.217366 | 0.087214 | 2.492326 | 0.0130 |
C(2) | -0.007520 | 0.019102 | -0.393667 | 0.6940 |
C(12) | 0.055057 | 0.055247 | 0.996557 | 0.3195 |
C(22) | 0.502097 | 0.090233 | 5.564424 | 0.0000 |
C(3) | -0.007529 | 0.001720 | -4.377752 | 0.0000 |
C(13) | 0.104185 | 0.039262 | 2.653620 | 0.0082 |
C(23) | 0.146278 | 0.115907 | 1.262027 | 0.2075 |
C(4) | 0.001909 | 0.016799 | 0.113649 | 0.9096 |
C(14) | 0.634282 | 0.073947 | 8.577495 | 0.0000 |
C(24) | 0.214814 | 0.073827 | 2.909700 | 0.0038 |
C(5) | -0.024449 | 0.009195 | -2.658919 | 0.0081 |
C(15) | 0.514778 | 0.076012 | 6.772362 | 0.0000 |
C(25) | 0.001188 | 0.107328 | 0.011067 | 0.9912 |
C(6) | -0.038924 | 0.038386 | -1.014001 | 0.3111 |
C(16) | 1.007461 | 0.132518 | 7.602443 | 0.0000 |
C(26) | -0.019473 | 0.094629 | -0.205778 | 0.8370 |
C(7) | -0.084474 | 0.063538 | -1.329509 | 0.1843 |
C(17) | 0.056724 | 0.389121 | 0.145775 | 0.8842 |
C(27) | -0.612748 | 0.102199 | -5.995630 | 0.0000 |
C(8) | 4.05E-07 | 0.000659 | 0.000614 | 0.9995 |
C(18) | 1.82E-05 | 0.003840 | 0.004733 | 0.9962 |
C(28) | -0.552825 | 0.115484 | -4.787044 | 0.0000 |
C(9) | 0.008335 | 0.012124 | 0.687462 | 0.4921 |
C(19) | 0.521314 | 0.070375 | 7.407679 | 0.0000 |
C(29) | -0.130798 | 0.111387 | -1.174266 | 0.2408 |
C(10) | -0.001292 | 0.138658 | -0.009314 | 0.9926 |
C(20) | 0.408681 | 0.116232 | 3.516091 | 0.0005 |
C(30) | 0.258272 | 0.123639 | 2.088918 | 0.0372 |
Determinant residual covariance 1.12E-21
Equation: D(LR_CHI) = C(1) + C(11)*D(MR_CHI) + C(21)*D(LR_CHI(-1))
Observations: 53
0.621273 | Mean dependent var | -0.027736 | |
Adjusted R-squared | 0.606124 | S.D. dependent var | 0.197782 |
S.E. of regression | 0.124127 | Sum squared resid | 0.770379 |
Durbin-Watson stat | 1.407436 |
Equation: D(LR_IND) = C(2) + C(12)*D(MR_IND) + C(22)*D(LR_IND(-1))
Observations: 53
0.433645 | Mean dependent var | -0.022264 | |
Adjusted R-squared | 0.410991 | S.D. dependent var | 0.188207 |
S.E. of regression | 0.144443 | Sum squared resid | 1.043185 |
Durbin-Watson stat | 1.783107 |
Equation: D(LR_JAP) = C(3) + C(13)*D(MR_JAP) + C(23)*D(LR_JAP(-1))
Observations: 53
0.135126 | Mean dependent var | -0.009792 | |
Adjusted R-squared | 0.100531 | S.D. dependent var | 0.010208 |
S.E. of regression | 0.009681 | Sum squared resid | 0.004687 |
Durbin-Watson stat | 2.229937 |
Equation: D(LR_KOR) = C(4) + C(14)*D(MR_KOR) + C(24)*D(LR_KOR(-1))
Observations: 53
0.610678 | Mean dependent var | -0.027358 | |
Adjusted R-squared | 0.595105 | S.D. dependent var | 0.200184 |
S.E. of regression | 0.127380 | Sum squared resid | 0.811281 |
Durbin-Watson stat | 1.673155 |
Equation: D(LR_MAL) = C(5) + C(15)*D(MR_MAL) + C(25)*D(LR_MAL(-1))
Observations: 53
0.468385 | Mean dependent var | -0.029434 | |
Adjusted R-squared | 0.447121 | S.D. dependent var | 0.089042 |
S.E. of regression | 0.066208 | Sum squared resid | 0.219176 |
Durbin-Watson stat | 2.274302 |
Equation: D(LR_MYA) = C(6) + C(16)*D(MR_MYA) + C(26) *D(LR_MYA(-1))
Observations: 53
0.490400 | Mean dependent var | -0.075472 | |
Adjusted R-squared | 0.470016 | S.D. dependent var | 0.384760 |
S.E. of regression | 0.280106 | Sum squared resid | 3.922957 |
Durbin-Watson stat | 2.001524 |
Equation: D(LR_PHI) = C(7) + C(17)*D(MR_PHI) + C(27)*D(LR_PHI(-1))
Observations: 53
0.352986 | Mean dependent var | -0.051453 | |
Adjusted R-squared | 0.327106 | S.D. dependent var | 0.573078 |
S.E. of regression | 0.470096 | Sum squared resid | 11.04953 |
Durbin-Watson stat | 2.209856 |
Equation: D(LR_SIN) = C(8) + C(18)*D(MR_SIN) + C(28)*D(LR_SIN(-1))
Observations: 53
0.247209 | Mean dependent var | 0.000000 | |
Adjusted R-squared | 0.217098 | S.D. dependent var | 0.005547 |
S.E. of regression | 0.004908 | Sum squared resid | 0.001204 |
Durbin-Watson stat | 2.265560 |
Equation: D(LR_THA) = C(9) + C(19)*D(MR_THA) + C(29)*D(LR_THA(-1))
Observations: 53
0.545184 | Mean dependent var | 0.005283 | |
Adjusted R-squared | 0.526992 | S.D. dependent var | 0.131962 |
S.E. of regression | 0.090757 | Sum squared resid | 0.411845 |
Durbin-Watson stat | 2.312467 |
Equation: D(LR_VNA) = C(10) + C(20)*D(MR_VNA) + C(30) *D(LR_VNA(-1))
Observations: 53
0.301653 | Mean dependent var | 0.024906 | |
Adjusted R-squared | 0.273719 | S.D. dependent var | 1.222236 |
S.E. of regression | 1.041616 | Sum squared resid | 54.24819 |
Durbin-Watson stat | 2.149111 |
4.3.3 Kết quả tổng hợp
Để thể hiện rõ hơn kết quả hồi quy chúng ta có bảng tổng hợp kết quả hồi quy cho từng quốc gia với hai thời kỳ trước và sau khủng hoảng (Bảng 7 – 10). Với mức độ truyền dẫn ngắn hạn và dài hạn được tính bởi công thức
𝐤=𝟎
Trong ngắn hạn: 𝐦
suất huy động và cho vay
𝐜𝟐,𝐤
𝐦
và
𝐤=𝟎
𝐜𝟓,𝐤
tương ứng với truyền dẫn vào lãi
Trong dài hạn:
𝐦
𝐤=𝟎
𝟏− 𝐦
𝐜𝟐,𝐤
𝐜𝟑,𝐤
𝐦
và
𝐤=𝟎
𝟏− 𝐦
𝐜𝟓,𝐤
𝐜𝟔,𝐤
cũng tương ứng với truyền dẫn
𝐤=𝟎
vào lãi suất huy động và cho vay
𝐤=𝟎
m
𝑚
∆dr1t
= c1 +c2,k ∆mr1t−k +𝑐3,𝑘 ∆𝑑𝑟1𝑡−1−𝑘 + 𝜀1𝑡
(2)
k=0 𝑘=0
m
𝑚
∆lr2t
= c4 +c5,k ∆mr2t−k +𝑐6,𝑘 ∆𝑙𝑟2𝑡−1−𝑘 + 𝜀2𝑡
(3)
k=0 𝑘=0
Trung Quốc | Mức ý nghĩa | Indonesia | Mức ý nghĩa | Nhật Bản | Mức ý nghĩa | Hàn Quốc | Mức ý nghĩa | Malaysia | Mức ý nghĩa | |
Ngắn hạn | 61.72% | 1% | 4.59% | 1% | 52.44% | 1% | 21.97% | 1% | 13.67% | 1% |
Dài hạn | 64.19% | - | 16.03% | 5% | 83.69% | 5% | 41.46% | 1% | 14.69% | 10% |
R-squared | 0.396757 | 0.493712 | 0.171302 | 0.760024 | 0.194553 | |||||
D-Wstat | 1.98773 | 2.214267 | 2.038548 | 2.282466 | 1.851653 | |||||
Myanmar | Mức ý nghĩa | Philippin | Mức ý nghĩa | Singapore | Mức ý nghĩa | Thái Lan | Mức ý nghĩa | Việt Nam | Mức ý nghĩa | |
Ngắn hạn | 77.09% | 1% | -0.44% | - | 20.36% | 1% | 5.94% | 1% | 11.43% | - |
Dài hạn | 78.13% | - | -0.44% | - | 52.78% | 1% | 8.38% | 5% | 17.85% | 10% |
R-squared | 0.883851 | 0.002042 | 0.555322 | 0.247208 | 0.088427 | |||||
D-Wstat | 2.061077 | 2.072098 | 2.026234 | 2.173239 | 1.923271 |