Dependent Variable: NH Selected Model: ARDL(3, 3) Date: 03/29/16 Time: 23:34 Sample: 1 96
Included observations: 93
Cointegrating Form
|
Variable |
Coefficient |
Std. Error |
t-Statistics |
Prob. |
|
D(NH(-1)) |
-0.058226 |
0.084605 |
-0.688207 |
0.4932 |
|
D(NH(-2)) |
-0.074972 |
0.074912 |
-1,000807 |
0.3198 |
|
D(TCK) |
0.597473 |
0.081829 |
7.301455 |
0.0000 |
|
D(TCK(-1)) |
0.432802 |
0.089393 |
4.841575 |
0.0000 |
|
D(TCK(-2)) |
0.151397 |
0.094620 |
1.600044 |
0.1133 |
|
CointEq(-1) |
-0.225497 |
0.048824 |
-4.618521 |
0.0000 |
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The transmission from the interest rate policy of the State bank to the deposit and lending rates at Bank for Agriculture and Rural Development of Vietnam - 7
Cointeq = NH - (0.7868*TCK + 6.9261 )
TDH_TCK
ARDL Cointegrating And Long Run Form Dependent Variable: TDH
Selected Model: ARDL(2, 3) Date: 03/29/16 Time: 23:35 Sample: 1 96
Included observations: 93
Cointegrating Form
|
Variable |
Coefficient |
Std. Error |
t-Statistics |
Prob. |
|
D(TDH(-1)) |
0.076817 |
0.088644 |
0.866581 |
0.3886 |
|
D(TCK) |
0.450366 |
0.079843 |
5.640612 |
0.0000 |
|
D(TCK(-1)) |
0.418504 |
0.081759 |
5.118743 |
0.0000 |
|
D(TCK(-2)) |
0.061953 |
0.088540 |
0.699727 |
0.4860 |
|
CointEq(-1) |
-0.236571 |
0.043874 |
-5.392079 |
0.0000 |
Cointeq = TDH - (0.7538*TCK + 8.3272 )
ANNEX 07: Asymmetry TEST
1M_TCV
Dependent Variable: D(_1M) Method: Leas t Squares Date: 03/30/16 Time: 22:11 Sample (adjus ted): 5 96
Included obs ervations : 92 after adjus tments
|
Variable |
Coefficient |
Std. Error t-Stats tic |
Prob. |
|
D(_1M(-1)) |
0.179688 |
0.024036 7.475711 |
0.0000 |
|
D(_1M(-2)) |
-0.037891 |
0.023468 -1.614615 |
0.1101 |
|
D(_1M(-3)) |
-0.169548 |
0.021455 -7.902567 |
0.0000 |
|
D(TCV) |
0.466418 |
0.025383 18.37493 |
0.0000 |
|
D(TCV(-1)) |
0.332441 |
0.025227 13.17774 |
0.0000 |
|
V1_1M |
-0.844878 |
0.040951 -20.63162 |
0.0000 |
|
V2_1M |
-1.105368 |
0.033494 -33.00189 |
0.0000 |
|
Rs quared |
0.970209 |
Mean dependent var |
-0.093478 |
|
Adjus ted Rs quared |
0.968106 |
SD dependent var |
0.948031 |
|
SE of regex s ion |
0.169307 |
Akaike info criterion |
-0.641170 |
|
Sum s quared res id |
2.436513 |
Schwarz criterion |
-0.449294 |
|
Log likelihood |
36.49381 |
Hannan-Quinn criter. |
-0.563727 |
|
Durbin-Wats on the clock |
0.376294 |
||
|
Wald Test: Equation: Untitled |
|||
|
Test Statistic |
Value |
df Probability |
|
|
t-statistics |
4.831982 |
85 0.0000 |
|
|
F-statistics |
23.34805 |
(1, 85) 0.0000 |
|
|
Chi-square |
23.34805 |
1 0.0000 |
|
Null Hypothesis: C(6)=C(7) Null Hypothesis Summary: |
||
|
Normalized Restriction (= 0) |
Value |
Std. Err. |
|
C(6) - C(7) |
0.260490 |
0.053910 |
Restrictions are linear in coefficients.
6M_TCV
Dependent Variable: D(_6M) Method: Least Squares Date: 03/30/16 Time: 22:39 Sample (adjusted): 2 96
Included observations: 95 after adjustments
|
Variable |
Coefficient |
Std. Error t-Statistics |
Prob. |
|
D(TCV) |
0.670697 |
0.020089 33.38626 |
0.0000 |
|
V1_6M |
-0.932166 |
0.034001 -27.41573 |
0.0000 |
|
V2_6M |
-1.056119 |
0.030926 -34.14998 |
0.0000 |
|
R-squared |
0.970537 |
Mean dependent var |
-0.014105 |
|
Adjusted R-squared |
0.969897 |
SD dependent var |
0.961752 |
|
SE of regression |
0.166867 |
Akaike info criterion |
-0.712167 |
|
Sum squared residence |
2.561710 |
Schwarz criterion |
-0.631518 |
|
Log likelihood |
36.82794 |
Hannan-Quinn criter. |
-0.679579 |
|
Durbin-Watson stats |
0.148611 |
|
Wald Test: Equation: Untitled |
|||
|
Test Statistic |
Value |
DF |
Probability |
|
t-statistics |
2.696820 |
92 |
0.0083 |
|
F-statistics |
7.272838 |
(1, 92) |
0.0083 |
|
Chi-square |
7.272838 |
first |
0.0070 |
|
Null Hypothesis: C(2)=C(3) Null Hypothesis Summary: |
|||
|
Normalized Restriction (= 0) |
Value |
Std. Err. |
|
|
C(2) - C(3) |
0.123952 |
0.045962 |
|
|
12M_TCV |
|||
|
Wa |
|||
|
Test Statistic |
Value |
DF |
Probability |
|
t-statistics |
-3.639985 |
eighty six |
0.0005 |
|
F-statistics |
13.24949 |
(1, 86) |
0.0005 |
|
Chi-square |
13.24949 |
first |
0.0003 |
|
Null Hypothesis: C(5)=C(6) Null Hypothesis Summary: |
|||
|
Normalized Restriction (= 0) |
Value |
Std. Err. |
|
|
C(5) - C(6) |
-0.311680 |
0.085627 |
|
|
18M_TCV |
|||
Dependent Variable: D(_18M) Method: Least Squares
Date: 03/30/16 Time: 23:05 Sample (adjusted): 3 96
|
Included observations: 89 after adjustments |
||||
|
Variable Coefficient |
Std. Error t-Statistics |
Prob. |
||
|
D(TCV) 0.409006 |
0.033861 12.07886 |
0.0000 |
||
|
D(TCV(-1)) 0.227355 |
0.034056 6.675940 |
0.0000 |
||
|
V1_18M -0.829441 |
0.058903 -14.08137 |
0.0000 |
||
|
V2_18M -1.135005 |
0.064007 -17.73253 |
0.0000 |
||
|
R-squared 0.905681 |
Mean dependent var |
-0.050225 |
||
|
Adjusted R-squared 0.902352 |
SD dependent var |
0.829252 |
||
|
SE of regression 0.259131 |
Akaike info criterion |
0.180935 |
||
|
Sum squared residence 5.707648 |
Schwarz criterion |
0.292784 |
||
|
Log likelihood -4.051623 Durbin-Watson stat 1.148564 |
Hannan-Quinn criter. |
0.226018 |
||
|
Wald Test: Equation: Untitled |
||||
|
Test Statistical Value |
df Probability |
|||
|
t-statistics 3.476086 |
85 0.0008 |
|||
|
F-statistics 12.08318 |
(1, 85) 0.0008 |
|||
|
Chi-square 12,08318 |
1 0.0005 |
|||
|
Null Hypothesis: C(3)=C(4) Null Hypothesis Summary: |
||||
|
Normalized Restriction (= 0) |
Value Std. Err. |
|||
|
C(3) - C(4) |
0.305564 0.087904 |
|||
|
24M_TCV |
||||
|
Dependent Variable: D(_24M) Method: Least Squares Date: 03/31/16 Time: 05:26 Sample (adjusted): 4 96 |
||||
|
Included observations: 93 after adjustments |
||||
|
Variable |
Coefficient |
Std. Error |
t-Statistics |
Prob. |
|
D(_24M(-1)) |
-0.039896 |
0.032626 |
-1.222827 |
0.2247 |
|
D(TCV) |
0.426518 |
0.026095 |
16.34494 |
0.0000 |
|
D(TCV(-1)) |
0.256845 |
0.028583 |
8.985846 |
0.0000 |
|
D(TCV(-2)) |
-0.078184 |
0.025916 |
-3.016881 |
0.0033 |
|
V1_24M |
-0.934040 |
0.043904 |
-21.27474 |
0.0000 |
|
V2_24M |
-1.158026 |
0.049203 |
-23.53545 |
0.0000 |
|
R-squared |
0.948080 |
Mean dependent var |
-0.033978 |
|
|
Adjusted R-squared |
0.945096 |
SD dependent var |
0.801884 |
|
|
SE of regression |
0.187895 |
Akaike info criterion |
-0.443529 |
|
|
Sum squared residence |
3.071486 |
Schwarz criterion |
-0.280135 |
|
|
Log likelihood |
26.62408 |
Hannan-Quinn criter. |
-0.377555 |
|
|
Durbin-Watson stats |
0.346832 |
|||
|
Wa |
|||
|
Test Statistic |
Value |
DF |
Probability |
|
t-statistics |
3.417071 |
eighty seven |
0.0010 |
|
F-statistics |
11.67637 |
(1, 87) |
0.0010 |
|
Chi-square |
11.67637 |
first |
0.0006 |
|
Null Hypothesis: C(5)=C(6) Null Hypothesis Summary: |
|||
|
Normalized Restriction (= 0) |
Value |
Std. Err. |
|
|
C(5) - C(6) |
0.223987 |
0.065549 |
|
NH_TCV
Dependent Variable: D(NH) Method: Least Squares Date: 03/31/16 Time: 05:47 Sample (adjusted): 8 96
Included observations: 88 after adjustments
|
Variable Coefficient |
Std. Error t-Statistics |
Prob. |
|
D(NH(-1)) 0.165564 |
0.029285 5.653612 |
0.0000 |
|
D(NH(-2)) -0.050854 |
0.029018 -1.752478 |
0.0837 |
|
D(TCV) 0.464695 |
0.029035 16.00485 |
0.0000 |
|
D(TCV(-1)) 0.472194 |
0.032928 14.34039 |
0.0000 |
|
D(TCV(-2)) -0.022034 |
0.034784 -0.633455 |
0.5283 |
|
D(TCV(-3)) -0.090295 |
0.024442 -3.694272 |
0.0004 |
|
D(TCV(-4)) -0.212923 |
0.019945 -10.67563 |
0.0000 |
|
D(TCV(-5)) 0.046056 |
0.020881 2.205673 |
0.0304 |
|
D(TCV(-6)) -0.055211 |
0.020827 -2.650939 |
0.0097 |
|
V1_NH -0.892564 |
0.039874 -22.38472 |
0.0000 |
|
V2_NH -1.087860 |
0.054850 -19.83336 |
0.0000 |
|
R-squared 0.969867 |
Mean dependent var |
-0.131818 |
|
Adjusted R-squared 0.965954 |
SD dependent var |
0.770761 |
|
SE of regression 0.142218 |
Akaike info criterion |
-0.946436 |
|
Sum squared residence 1.557410 |
Schwarz criterion |
-0.636769 |
|
Log likelihood 52.64317 Durbin-Watson stat 0.329934 |
Hannan-Quinn criter. |
-0.821679 |
|
Wa |
||
|
Test Statistical Value |
df Probability |
|
|
t-statistics 2.879268 |
77 0.0052 |
|
|
F-statistics 8.290185 |
(1, 77) 0.0052 |
|
|
Chi-square 8.290185 |
1 0.0040 |
|
|
Null Hypothesis: C(10)=C(11) Null Hypothesis Summary: |
||
|
Normalized Restriction (= 0) |
Value Std. Err. |
|
|
C(10) - C(11). |
0.195295 0.067828 |
TDH_TCV
Dependent Variable: D(TDH) Method: Leas t Squares Date: 03/31/16 Time: 06:07 Sam ple (adjus ted): 6 96
Included obs ervations : 91 after adjus tm ents
|
Variable |
Coefficient |
Std. Error t-Stats tic |
Prob. |
|
D(TDH(-1)) |
0.126128 |
0.071256 1.770064 |
0.0804 |
|
D(TDH(-2)) |
-0.001493 |
0.061634 -0.024218 |
0.9807 |
|
D(TCV) |
0.480824 |
0.077417 6.210814 |
0.0000 |
|
D(TCV(-1)) |
0.349542 |
0.063883 5.471553 |
0.0000 |
|
D(TCV(-2)) |
0.015915 |
0.064519 0.246674 |
0.8058 |
|
D(TCV(-3)) |
-0.145183 |
0.059503 -2.439930 |
0.0168 |
|
D(TCV(-4)) |
-0.061928 |
0.052361 -1.182699 |
0.2403 |
|
V1_TDH |
-0.480451 |
0.104098 -4.615375 |
0.0000 |
|
V2_TDH |
-1.103031 |
0.122319 -9.017627 |
0.0000 |
|
Rs quared |
0.804602 |
Mean dependent var |
-0.076923 |
|
Adjus ted Rs quared |
0.785539 |
SD dependent var |
0.833349 |
|
SE of regex s ion |
0.385923 |
Akaike info criterion |
1.027306 |
|
Sum s quared res id |
12.12282 |
Schwarz criterion |
1.275633 |
|
Log likelihood |
-37.74243 |
Hannan-Quinn criter. |
1.127490 |
|
Durbin-Wats on the clock |
1.537798 |
||
|
Wald Test: Equation: Untitled |
|||
|
Test Statistic |
Value |
df Probability |
|
|
t-statistics |
3.723547 |
82 0.0004 |
|
|
F-statistics |
13.86480 |
(1, 82) 0.0004 |
|
|
Chi-square |
13.86480 |
1 0.0002 |
|
Null Hypothesis: C(8)=C(9) Null Hypothesis Summary: |
||
|
Normalized Restriction (= 0) |
Value |
Std. Err. |
|
C(8) - C(9) |
0.622580 |
0.167201 |
1M_TCK
Dependent Variable: D(_1M) Method: Leas t Squares Date: 03/31/16 Time: 20:32 Sam ple (adjus ted): 6 96
Included obs ervations : 91 after adjus tm ents
|
Variable |
Coefficient |
Std. Error |
t-Stats tic |
Prob. |
|
D(_1M(-1)) |
0.214774 |
0.023243 |
9.240512 |
0.0000 |
|
D(_1M(-2)) |
0.025805 |
0.023701 |
1.088764 |
0.2794 |
|
D(_1M(-3)) |
-0.160378 |
0.024727 |
-6.485858 |
0.0000 |
|
D(_1M(-4)) |
-0.036967 |
0.022596 |
-1.635948 |
0.1057 |
|
D(TCK) |
0.401107 |
0.026792 |
14,97092 |
0.0000 |
|
D(TCK(-1)) |
0.278639 |
0.024853 |
11.21149 |
0.0000 |
|
D(TCK(-2)) |
-0.015551 |
0.021827 |
-0.712437 |
0.4782 |
|
V1_1M_TCK |
-0.846777 |
0.038841 |
-21.80085 |
0.0000 |
|
V2_1M_TCK |
-1.090407 |
0.031175 |
-34.97722 |
0.0000 |
|
Rs quared |
0.973911 |
Mean dependent var |
-0.109890 |
|
|
Adjus ted Rs quared |
0.971366 |
SD dependent var |
0.940050 |
|
|
SE of regex s ion |
0.159072 |
Akaike info criterion |
-0.745260 |
|
|
Sum s quared res id |
2.074915 |
Schwarz criterion |
-0.496933 |
|
|
Log likelihood |
42,90934 |
Hannan-Quinn criter. |
-0.645076 |
|
|
Durbin-Wats on the clock |
0.428056 |
|||
|
Wa |
|||
|
Test Statistic |
Value |
DF |
Probability |
|
t-statistics |
4.753766 |
82 |
0.0000 |
|
F-statistics |
22.59829 |
(1, 82) |
0.0000 |
|
Chi-square |
22.59829 |
first |
0.0000 |
|
Null Hypothesis: C(8)=C(9) Null Hypothesis Summary: |
|||
|
Normalized Restriction (= 0) |
Value |
Std. Err. |
|
|
C(8) - C(9) |
0.243630 |
0.051250 |
|
6M_TCK
Dependent Variable: D(_6M) Method: Least Squares Date: 03/31/16 Time: 20:51 Sample (adjusted): 3 96
Included observations: 94 after adjustments
|
Variable |
Coefficient |
Std. Error t-Statistics |
Prob. |
|
D(_6M(-1)) |
-0.018789 |
0.021385 -0.878601 |
0.3820 |
|
D(TCK) |
0.552356 |
0.019609 28.16839 |
0.0000 |
|
D(TCK(-1)) |
-0.027614 |
0.020320 -1.358960 |
0.1776 |
|
V1_6M_TCK |
-0.933574 |
0.033864 -27.56812 |
0.0000 |
|
V2_6M_TCK |
-1.075892 |
0.026611 -40.43064 |
0.0000 |
|
R-squared |
0.976099 |
Mean dependent var |
-0.038511 |
|
Adjusted R-squared |
0.975024 |
SD dependent var |
0.936867 |
|
SE of regression |
0.148059 |
Akaike info criterion |
-0.930683 |
|
Sum squared residence |
1.951019 |
Schwarz criterion |
-0.795401 |
|
Log likelihood |
48,74211 |
Hannan-Quinn criter. |
-0.876039 |
|
Durbin-Watson stats |
0.209986 |
||
|
Wald Test: Equation: Untitled |
|||
|
Test Statistic |
Value |
df Probability |
|
|
t-statistics |
3.583924 |
89 0.0006 |
|
|
F-statistics |
12.84451 |
(1, 89) 0.0006 |
|
|
Chi-square |
12.84451 |
1 0.0003 |
|
Null Hypothesis: C(4)=C(5) Null Hypothesis Summary: |
||
|
Normalized Restriction (= 0) |
Value |
Std. Err. |
|
C(4) - C(5) 12M_TCK |
0.142318 |
0.039710 |
Dependent Variable: D(_12M) Method: Least Squares
Date: 03/31/16 Time: 21:09 Sample (adjusted): 3 96
Included observations: 94 after adjustments
|
Variable Coefficien |
t Std. Error t-Statistics |
Prob. |
|
D(_12M(-1)) -0.046396 |
0.029029 -1.598297 |
0.1135 |
|
D(TCK) 0.616985 |
0.025262 24.42372 |
0.0000 |
|
D(TCK(-1)) 0.007406 |
0.031075 0.238343 |
0.8122 |
|
V1_12M_TCK -0.909395 |
0.049536 -18.35834 |
0.0000 |
|
V2_12M_TCK -1.052043 |
0.040523 -25.96145 |
0.0000 |
|
R-squared 0.951181 |
Mean dependent var |
-0.040851 |
|
Adjusted R-squared 0.948987 |
SD dependent var |
0.932962 |
|
SE of regression 0.210720 |
Akaike info criterion |
-0.224846 |
|
Sum squared residence 3.951869 |
Schwarz criterion |
-0.089564 |
|
Log likelihood 15.56776 Durbin-Watson stat 0.907435 |
Hannan-Quinn criter. |
-0.170202 |
|
Wald Test: Equation: Untitled |
||
|
Test Statistical Value |
df Probability |
|
|
t-statistics 2.360910 |
89 0.0204 |
|
|
F-statistic 5.573894 |
(1, 89) 0.0204 |
|
|
Chi-square 5.573894 |
1 0.0182 |
|
|
Null Hypothesis: C(4)=C(5) Null Hypothesis Summary: |
||
|
Normalized Restriction (= 0) |
Value Std. Err. |
|
|
C(4) - C(5) |
0.142648 0.060421 |
18M_TCK
De pe ndent Variable: D(_18M) Method: Least Squares
Date: 03/31/16 Time: 22:05 Sample (adjusted): 2 96
Included observations: 95 after adjustments
|
Variable |
Coefficient |
Std. Error t-Statistics |
Prob. |
|
D(TCK) |
0.445718 |
0.018240 24.43646 |
0.0000 |
|
V1_18M_TCK |
-0.930641 |
0.032572 -28.57192 |
0.0000 |
|
V2_18M_TCK |
-1.077449 |
0.034423 -31.30029 |
0.0000 |
|
R-squared |
0.962922 |
Mean dependent var |
-0.009895 |
|
Adjusted R-squared |
0.962116 |
SD dependent var |
0.847962 |
|
SE of regression |
0.165046 |
Akaike info criterion |
-0.734113 |
|
Sum squared residence |
2.506103 |
Schwarz criterion |
-0.653464 |
|
Log likelihood |
37.87036 |
Hannan-Quinn criter. |
-0.701525 |
|
Durbin-Watson stats |
0.421689 |
|
Wald Test: Equation: Untitled |
||||
|
Test Statistic |
Value |
DF |
Probability |
|
|
t-statistics |
3.096672 |
92 |
0.0026 |
|
|
F-statistics |
9.589379 |
(1, 92) |
0.0026 |
|
|
Chi-square |
9.589379 |
first |
0.0020 |
|
|
Null Hypothesis: C(2)=C(3) Null Hypothesis Summary: |
||||
|
Normalized Restriction (= 0) |
Value |
Std. Err. |
||
|
C(2) - C(3) |
0.146808 |
0.047408 |
||
|
24M_TCK |
||||
|
Dependent Variable: D(_24M) Method: Least Squares Date: 03/31/16 Time: 22:23 Sample (adjusted): 2 96 |
||||
|
Included observations: 95 after adjustments |
||||
|
Variable |
Coefficen |
t Std. Error t-Statistics |
Prob. |
|
|
D(TCK) |
0.440508 |
0.018721 23.53042 |
0.0000 |
|
|
V1_24M_TCK |
-0.932544 |
0.033839 -27.55795 |
0.0000 |
|
|
V2_24M_TCK |
-1.077267 |
0.036219 -29.74353 |
0.0000 |
|
|
R-squared |
0.959762 |
Mean dependent var |
-0.006737 |
|
|
Adjusted R-squared |
0.958887 |
SD dependent var |
0.835458 |
|
|
SE of regression |
0.169399 |
Akaike info criterion |
-0.682046 |
|
|
Sum squared residence |
2.640046 |
Schwarz criterion |
-0.601397 |
|
|
Log likelihood |
35.39717 |
Hannan-Quinn criter. |
-0.649458 |
|
|
Durbin-Watson stats |
0.345417 |
|||
|
Wald Test: Equation: Untitled |
||||
|
Test Statistic |
Value |
df Probability |
||
|
t-statistics |
2.918692 |
92 0.0044 |
||
|
F-statistics |
8.518761 |
(1, 92) 0.0044 |
||
|
Chi-square |
8.518761 |
1 0.0035 |
||
|
Null Hypothesis: C(2)=C(3) Null Hypothesis Summary: |
||||
|
Normalized Restriction (= 0) |
Value |
Std. Err. |
||
|
C(2) - C(3) |
0.144724 |
0.049585 |
||
NH_TCK
Dependent Variable: D(NH) Method: Least Squares Date: 04/01/16 Time: 23:02 Sample (adjusted): 4 96
Included observations: 93 after adjustments
|
Variable |
Coefficient |
Std. Error t-Statistics |
Prob. |
|
D(NH(-1)) |
-0.106311 |
0.039241 -2.709196 |
0.0081 |
|
D(NH(-2)) |
-0.178073 |
0.033055 -5.387228 |
0.0000 |
|
D(TCK) |
0.546253 |
0.037939 14.39811 |
0.0000 |
|
D(TCK(-1)) |
0.400814 |
0.042144 9.510662 |
0.0000 |
|
D(TCK(-2)) |
0.094486 |
0.044438 2.126227 |
0.0364 |
|
V1_NH_TCK |
-0.742456 |
0.070427 -10.54220 |
0.0000 |
|
V2_NH_TCK |
-1.268752 |
0.075165 -16.87960 |
0.0000 |
|
R-squared |
0.909143 |
Mean dependent var |
-0.109677 |
|
Adjusted R-squared |
0.902805 |
SD dependent var |
0.977434 |
|
SE of regression |
0.304727 |
Akaike info criterion |
0.533483 |
|
Sum squared residence |
7.985822 |
Schwarz criterion |
0.724109 |
|
Log likelihood |
-17.80696 |
Hannan-Quinn criter. |
0.610452 |
|
Durbin-Watson stats |
0.633349 |
||
|
Wald Test: Equation: Untitled |
|||
|
Test Statistic |
Value |
df Probability |
|
|
t-statistics |
5.046633 |
86 0.0000 |
|
|
F-statistics |
25.46851 |
(1, 86) 0.0000 |
|
|
Chi-square |
25.46851 |
1 0.0000 |
|
Null Hypothesis: C(6)=C(7) Null Hypothesis Summary: |
||
|
Normalized Restriction (= 0) |
Value |
Std. Err. |
|
C(6) - C(7) |
0.526296 |
0.104287 |
TDH_TCK
Dependent Variable: D(TDH) Method: Least Squares Date: 03/31/16 Time: 23:22 Sample (adjusted): 4 96
Included observations: 93 after adjustments
|
Variable |
Coefficient |
Std. Error |
t-Statistics |
Prob. |
|
D(TDH(-1)) |
-0.008266 |
0.044365 |
-0.186311 |
0.8526 |
|
D(TCK) |
0.321751 |
0.038959 |
8.258667 |
0.0000 |
|
D(TCK(-1)) |
0.440370 |
0.041614 |
10.5823 |
0.0000 |
|
D(TCK(-2)) |
-0.020323 |
0.044255 |
-0.459226 |
0.6472 |
|
V1_TDH_TCK |
-0.733671 |
0.076087 |
-9.642588 |
0.0000 |
|
V2_TDH_TCK |
-1.20873 |
0.078152 |
-16.38956 |
0.0000 |
|
R-squared |
0.879117 |
Mean dependent var |
-0.101075 |
|
|
Adjusted R-squared |
0.872170 |
SD dependent var |
0.911823 |
|
|
SE of regression |
0.326007 |
Akaike info criterion |
0.658547 |
|
|
Sum squared residence |
9.246430 |
Schwarz criterion |
0.821941 |
|
|
Log likelihood |
-24.62245 |
Hannan-Quinn criter. |
0.724521 |
|
|
Durbin-Watson stats |
0.478671 |
|||
|
Wald Test: Equation: Untitled |
|||
|
Test Statistic |
Value |
DF |
Probability |
|
t-statistics |
4.998583 |
eighty seven |
0.0000 |
|
F-statistics |
24,98584 |
(1, 87) |
0.0000 |
|
Chi-square |
24,98584 |
first |
0.0000 |
|
Null Hypothesis: C(5)=C(6) Null Hypothesis Summary: |
|||
|
Normalized Restriction (= 0) |
Value |
Std. Err. |
|
|
C(5) - C(6) |
0.547202 |
0.109471 |
|
APPENDIX 08: Deposit interest rate, lending interest rate, refinancing interest rate, rediscount interest rate, basic interest rate 2008-2015.
|
MONTH |
1M |
6M |
12M |
18M |
24M |
SMALL |
TDH |
TCK |
TCV |
LSCB |
|
01/2008 |
5.00 |
6.84 |
7.32 |
7.44 |
7.44 |
10.02 |
12.00 |
4.50 |
7.50 |
8.25 |
|
02/2008 |
8.64 |
9.12 |
9.84 |
9.96 |
9.96 |
15.00 |
16.80 |
6.00 |
7.50 |
8.75 |
|
03/2008 |
11.04 |
11.16 |
11.04 |
9.96 |
9.96 |
19.20 |
20.40 |
6.00 |
7.50 |
8.75 |
|
04/2008 |
12.60 |
12.60 |
13.20 |
12.00 |
12.00 |
15.00 |
16.80 |
6.00 |
7.50 |
8.75 |
|
05/2008 |
14.00 |
14.00 |
14.00 |
14.00 |
14.00 |
18.00 |
18.00 |
11.00 |
13.00 |
12.00 |
|
06/2008 |
15.50 |
17.00 |
17.50 |
15.00 |
15.00 |
21.00 |
21.00 |
13.00 |
15.00 |
14.00 |
|
07/2008 |
17.50 |
17.50 |
17.50 |
17.50 |
17.50 |
21.00 |
21.00 |
13.00 |
15.00 |
14.00 |
|
08/2008 |
17.50 |
17.50 |
17.50 |
17.50 |
17.50 |
21.00 |
21.00 |
13.00 |
15.00 |
14.00 |
|
09/2008 |
16.80 |
17.30 |
17.00 |
15.00 |
15.00 |
19.50 |
19.50 |
13.00 |
15.00 |
14.00 |
|
October 2008 |
16.80 |
17.20 |
16.20 |
12.84 |
12.60 |
18.50 |
19.50 |
12.00 |
14.00 |
13.00 |
|
11/2008 |
11.00 |
12.50 |
13.50 |
10.92 |
10.80 |
16.00 |
16.50 |
10.00 |
12.00 |
11.00 |
|
December 2008 |
6.96 |
7.80 |
7.80 |
7.80 |
7.80 |
12.75 |
12.75 |
7.50 |
9.50 |
8.50 |
|
01/2009 |
6.24 |
7.32 |
7.58 |
7.68 |
7.80 |
10.44 |
10.50 |
7.50 |
9.50 |
8.50 |
|
02/2009 |
6.60 |
7.32 |
7.56 |
7.68 |
7.80 |
10.44 |
10.50 |
6.00 |
8.00 |
7.00 |
|
03/2009 |
6.84 |
7.44 |
7.80 |
7.80 |
7.80 |
10.44 |
10.50 |
6.00 |
8.00 |
7.00 |
|
04/2009 |
6.96 |
7.68 |
8.04 |
8.04 |
8.16 |
10.44 |
10.50 |
5.00 |
7.00 |
7.00 |
|
05/2009 |
6.96 |
7.68 |
8.04 |
8.04 |
8.16 |
10.44 |
10.50 |
5.00 |
7.00 |
7.00 |
|
06/2009 |
6.96 |
7.68 |
8.04 |
8.04 |
8.16 |
10.44 |
10.50 |
5.00 |
7.00 |
7.00 |
|
07/2009 |
7.32 |
8.04 |
8.40 |
8.40 |
8.52 |
10.44 |
10.50 |
5.00 |
7.00 |
7.00 |
|
08/2009 |
7.44 |
8.28 |
8.52 |
8.52 |
8.64 |
10.44 |
10.50 |
5.00 |
7.00 |
7.00 |
|
09/2009 |
7.80 |
8.52 |
8.76 |
8.76 |
8.88 |
10.44 |
10.50 |
5.00 |
7.00 |
7.00 |
|
October 2009 |
8.28 |
8.76 |
9.12 |
9.12 |
9.50 |
10.50 |
10.50 |
5.00 |
7.00 |
7.00 |
|
11/2009 |
9.60 |
9.90 |
9.96 |
9.96 |
9.96 |
10.50 |
10.50 |
5.00 |
7.00 |
7.00 |
|
December 2009 |
10.12 |
10.44 |
10.46 |
10.49 |
10.49 |
10.50 |
10.50 |
6.00 |
8.00 |
8.00 |
|
January 2010 |
10.49 |
10.49 |
10.49 |
10.49 |
10.49 |
10.50 |
10.50 |
6.00 |
8.00 |
8.00 |
|
02/2010 |
10.49 |
10.49 |
10.49 |
10.49 |
10.49 |
12.00 |
12.00 |
6.00 |
8.00 |
8.00 |
|
03/2010 |
10.49 |
10.49 |
10.49 |
10.49 |
10.49 |
12.00 |
12.00 |
6.00 |
8.00 |
8.00 |
|
04/2010 |
10.80 |
11.50 |
11.30 |
11.00 |
11.00 |
13.00 |
14.00 |
6.00 |
8.00 |
8.00 |
|
05/2010 |
11.00 |
11.50 |
11.50 |
11.50 |
11.00 |
13.92 |
14.50 |
6.00 |
8.00 |
8.00 |
|
06/2010 |
11.00 |
11.50 |
11.50 |
11.50 |
11.00 |
13.20 |
14.70 |
6.00 |
8.00 |
8.00 |
|
07/2010 |
11.00 |
11.20 |
11.20 |
10.50 |
10.50 |
13.10 |
14.65 |
6.00 |
8.00 |
8.00 |
|
08/2010 |
10.80 |
11.00 |
11.00 |
10.50 |
10.50 |
13.10 |
14.65 |
6.00 |
8.00 |
8.00 |
|
09/2010 |
10.80 |
11.00 |
11.00 |
11.00 |
11.00 |
13.08 |
14.60 |
6.00 |
8.00 |
8.00 |
|
October 2010 |
11.60 |
12.00 |
11.00 |
11.00 |
11.00 |
13.08 |
14.60 |
6.00 |
8.00 |
8.00 |
|
11/2010 |
11.60 |
12.00 |
12.00 |
12.00 |
12.00 |
15.25 |
16.80 |
7.00 |
9.00 |
9.00 |
|
December 2010 |
14.00 |
12.00 |
12.00 |
12.00 |
12.00 |
16.80 |
17.88 |
7.00 |
9.00 |
9.00 |
|
01/2011 |
14.00 |
12.00 |
12.00 |
12.00 |
12.00 |
16.80 |
17.88 |
7.00 |
9.00 |
9.00 |
|
02/2011 |
14.00 |
14.00 |
12.00 |
12.00 |
12.00 |
16.80 |
17.88 |
7.00 |
11.00 |
9.00 |
|
03/2011 |
14.00 |
14.00 |
14.00 |
12.00 |
12.00 |
17.60 |
18.00 |
12.00 |
12.00 |
9.00 |
|
04/2011 |
14.00 |
14.00 |
14.00 |
12.00 |
12.00 |
18.50 |
19.00 |
12.00 |
13.00 |
9.00 |
|
05/2011 |
14.00 |
14.00 |
14.00 |
12.00 |
12.00 |
19.50 |
20.00 |
13.00 |
14.00 |
9.00 |
|
06/2011 |
14.00 |
14.00 |
14.00 |
12.00 |
12.00 |
19.50 |
20.00 |
13.00 |
14.00 |
9.00 |
|
07/2011 |
14.00 |
14.00 |
14.00 |
12.00 |
12.00 |
19.20 |
19.80 |
13.00 |
14.00 |
9.00 |
|
08/2011 |
14.00 |
14.00 |
14.00 |
12.00 |
12.00 |
18.00 |
19.00 |
13.00 |
14.00 |
9.00 |
|
09/2011 |
14.00 |
14.00 |
14.00 |
12.00 |
12.00 |
18.00 |
19.00 |
13.00 |
14.00 |
9.00 |
|
October 2011 |
14.00 |
14.00 |
14.00 |
12.00 |
12.00 |
18.00 |
19.00 |
12.00 |
15.00 |
9.00 |
|
11/2011 |
14.00 |
14.00 |
14.00 |
12.00 |
12.00 |
17.60 |
18.00 |
12.00 |
15.00 |
9.00 |
|
December 2011 |
14.00 |
14.00 |
14.00 |
12.00 |
12.00 |
17.00 |
18.00 |
12.00 |
14.00 |
9.00 |
|
01/2012 |
14.00 |
14.00 |
14.00 |
12.00 |
12.00 |
17.00 |
18.00 |
12.00 |
15.00 |
9.00 |
|
02/2012 |
14.00 |
14.00 |
14.00 |
14.00 |
14.00 |
17.00 |
17.80 |
12.00 |
15.00 |
9.00 |
|
03/2012 |
13.00 |
13.00 |
13.00 |
13.00 |
13.00 |
17.00 |
17.80 |
12.00 |
14.00 |
9.00 |
|
04/2012 |
12.00 |
12.00 |
12.00 |
12.00 |
12.00 |
15.80 |
16.50 |
11.00 |
13.00 |
9.00 |
|
05/2012 |
11.00 |
11.00 |
11.00 |
10.50 |
10.50 |
13.50 |
15.00 |
10.00 |
12.00 |
9.00 |
|
06/2012 |
9.00 |
9.00 |
10.50 |
10.00 |
10.00 |
13.50 |
15.00 |
9.00 |
11.00 |
9.00 |
|
07/2012 |
9.00 |
9.00 |
10.50 |
10.00 |
10.00 |
13.50 |
15.00 |
8.00 |
10.00 |
9.00 |
|
08/2012 |
9.00 |
9.00 |
9.50 |
9.50 |
9.50 |
13.50 |
15.00 |
8.00 |
10.00 |
9.00 |
|
09/2012 |
9.00 |
9.00 |
9.20 |
9.20 |
9.20 |
13.00 |
14.50 |
8.00 |
10.00 |
9.00 |
|
October 2012 |
9.00 |
9.00 |
10.50 |
10.00 |
10.00 |
13.00 |
14.50 |
8.00 |
10.00 |
9.00 |
|
11/2012 |
9.00 |
9.00 |
10.50 |
10.00 |
10.00 |
13.00 |
14.50 |
8.00 |
10.00 |
9.00 |
|
12/2012 |
8.00 |
8.00 |
10.50 |
10.00 |
10.00 |
13.00 |
14.50 |
7.00 |
9.00 |
8.00 |
|
01/2013 |
8.00 |
8.00 |
9.80 |
10.00 |
10.00 |
11.20 |
13.20 |
7.00 |
9.00 |
8.00 |
|
02/2013 |
8.00 |
8.00 |
9.80 |
10.00 |
10.00 |
11.20 |
13.20 |
7.00 |
9.00 |
8.00 |
|
03/2013 |
7.50 |
7.50 |
9.50 |
9.50 |
9.50 |
11.20 |
13.20 |
6.00 |
8.00 |
9.00 |
|
04/2013 |
7.30 |
7.50 |
9.50 |
9.50 |
9.50 |
11.20 |
13.20 |
6.00 |
8.00 |
9.00 |
|
05/2013 |
6.00 |
7.00 |
8.00 |
7.50 |
7.50 |
10.70 |
12.70 |
5.00 |
7.00 |
9.00 |
|
06/2013 |
6.00 |
7.00 |
8.00 |
7.50 |
7.50 |
10.70 |
12.70 |
5.00 |
7.00 |
9.00 |
|
07/2013 |
5.00 |
7.00 |
7.00 |
7.50 |
7.50 |
10.70 |
12.40 |
5.00 |
7.00 |
9.00 |
|
08/2013 |
5.00 |
7.00 |
7.00 |
7.50 |
7.50 |
10.50 |
12.00 |
5.00 |
7.00 |
9.00 |
|
09/2013 |
5.00 |
7.00 |
7.00 |
7.50 |
7.50 |
10.50 |
12.00 |
5.00 |
7.00 |
9.00 |
|
October 2013 |
5.00 |
7.00 |
7.00 |
7.50 |
7.50 |
10.50 |
12.00 |
5.00 |
7.00 |
9.00 |
|
11/2013 |
5.00 |
7.00 |
7.00 |
7.50 |
7.50 |
10.50 |
12.00 |
5.00 |
7.00 |
9.00 |
|
December 2013 |
5.00 |
7.00 |
7.00 |
7.50 |
7.50 |
10.50 |
12.00 |
5.00 |
7.00 |
9.00 |
|
01/2014 |
6.00 |
7.56 |
8.28 |
8.52 |
8.40 |
10.02 |
12.00 |
5.00 |
7.00 |
9.00 |
|
02/2014 |
6.00 |
7.56 |
8.28 |
8.52 |
8.40 |
10.02 |
12.00 |
5.00 |
7.00 |
9.00 |
|
03/2014 |
6.00 |
7.56 |
8.28 |
8.52 |
8.40 |
10.02 |
12.00 |
5.00 |
7.00 |
9.00 |
|
04/2014 |
6.00 |
7.56 |
8.28 |
8.52 |
8.40 |
10.02 |
12.00 |
5.00 |
7.00 |
9.00 |
|
05/2014 |
6.00 |
7.56 |
8.28 |
8.52 |
8.40 |
10.02 |
12.00 |
5.00 |
7.00 |
9.00 |
|
06/2014 |
6.00 |
7.56 |
8.28 |
8.52 |
8.40 |
10.02 |
12.00 |
5.00 |
7.00 |
9.00 |
|
07/2014 |
6.00 |
7.56 |
8.28 |
8.52 |
8.40 |
10.02 |
12.00 |
5.00 |
7.00 |
9.00 |
|
08/2014 |
6.00 |
7.56 |
8.28 |
8.52 |
8.40 |
10.02 |
12.00 |
5.00 |
7.00 |
9.00 |
|
09/2014 |
6.00 |
7.56 |
8.28 |
8.52 |
8.40 |
10.02 |
12.00 |
5.00 |
7.00 |
9.00 |
|
October 2014 |
6.00 |
7.56 |
8.28 |
8.52 |
8.40 |
10.02 |
12.00 |
5.00 |
7.00 |
9.00 |
|
11/2014 |
5.00 |
6.84 |
7.32 |
7.44 |
7.44 |
10.02 |
12.00 |
5.00 |
7.00 |
9.00 |
|
December 2014 |
5.00 |
6.84 |
7.32 |
7.44 |
7.44 |
10.02 |
12.00 |
4.50 |
6.50 |
9.00 |
|
01/2015 |
4.00 |
5.30 |
6.00 |
6.30 |
6.50 |
10.00 |
11.00 |
4.50 |
6.50 |
9.00 |
|
02/2015 |
4.00 |
5.30 |
6.00 |
6.30 |
6.50 |
10.00 |
11.00 |
4.50 |
6.50 |
9.00 |
|
03/2015 |
4.00 |
5.30 |
6.00 |
6.20 |
6.30 |
10.00 |
11.00 |
4.50 |
6.50 |
9.00 |
|
04/2015 |
4.00 |
5.30 |
6.00 |
6.20 |
6.30 |
10.00 |
11.00 |
4.50 |
6.50 |
9.00 |
|
05/2015 |
4.00 |
5.30 |
6.00 |
6.20 |
6.30 |
10.00 |
11.00 |
4.50 |
6.50 |
9.00 |
|
06/2015 |
4.00 |
5.50 |
6.00 |
6.50 |
6.80 |
10.00 |
11.00 |
4.50 |
6.50 |
9.00 |
|
07/2015 |
4.00 |
5.50 |
6.00 |
6.50 |
6.80 |
10.00 |
11.00 |
4.50 |
6.50 |
9.00 |
|
08/2015 |
4.00 |
5.50 |
6.00 |
6.50 |
6.80 |
10.00 |
11.00 |
4.50 |
6.50 |
9.00 |
|
09/2015 |
4.00 |
5.50 |
6.00 |
6.50 |
6.80 |
9.00 |
11.00 |
4.50 |
6.50 |
9.00 |
|
October 2015 |
4.00 |
5.50 |
6.00 |
6.50 |
6.80 |
9.00 |
11.00 |
4.50 |
6.50 |
9.00 |
|
11/2015 |
4.00 |
5.50 |
6.00 |
6.50 |
6.80 |
9.00 |
11.00 |
4.50 |
6.50 |
9.00 |
|
December 2015 |
4.00 |
5.50 |
6.00 |
6.50 |
6.80 |
9.00 |
11.00 |
4.50 |
6.50 |
9.00 |
