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Truyền dẫn từ chính sách lãi suất của ngân hàng nhà nước đến lãi suất huy động và lãi suất cho vay tại Ngân hàng Nông nghiệp và Phát triển nông thôn Việt Nam - 7


 

Critical Value Bounds

  

Significance

I0 Bound

I1 Bound

10%

3.02

3.51

5%

3.62

4.16

2.5%

4.18

4.79

1%

4.94

5.58

TDH_TCK

  

ARDL Bounds Test

  

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Truyền dẫn từ chính sách lãi suất của ngân hàng nhà nước đến lãi suất huy động và lãi suất cho vay tại Ngân hàng Nông nghiệp và Phát triển nông thôn Việt Nam - 7

Date: 03/29/16 Time: 21:57 Sample: 5 96

Included observations: 92

Null Hypothesis: No long-run relationships exist

Test Statistic

Value

k

F-statistic

26.61173

1

Critical Value Bounds

  

Significance

I0 Bound

I1 Bound

10%

3.02

3.51

5%

3.62

4.16

2.5%

4.18

4.79

1%

4.94

5.58

PHỤ LỤC 04: KIỂM ĐỊNH ĐỘ TRỄ CÁC BIẾN

1M_TCV

Dependent Variable: _1M Method: ARDL

Date: 03/29/16 Time: 22:36 Sample (adjusted): 5 96

Included observations: 92 after adjustments

Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCV Fixed regressors: C

Number of models evalulated: 156 Selected Model: ARDL(4, 2)

Note: final equation sample is larger than selection sample

Variable

Coefficient

Std. Error

t-Statistic

Prob.*

_1M(-1)

1.135026

0.106557

10.65184

0.0000

_1M(-2)

-0.194532

0.163671

-1.188552

0.2380

_1M(-3)

-0.123542

0.159949

-0.772386

0.4421

_1M(-4)

0.131430

0.094763

1.386938

0.1691

TCV

0.463933

0.112370

4.128618

0.0001

TCV(-1)

-0.112039

0.157915

-0.709488

0.4800

TCV(-2)

-0.346461

0.112452

-3.080976

0.0028

C

0.346080

0.276030

1.253778

0.2134

R-squared

0.967650

Mean dependent var

8.978804

Adjusted R-squared

0.964954

S.D. dependent var

3.881412

S.E. of regression

0.726618

Akaike info criterion

2.282111

Sum squared resid

44.34984

Schwarz criterion

2.501397

Log likelihood

-96.97709

Hannan-Quinn criter.

2.370616

F-statistic

358.9453

Durbin-Watson stat

2.139592

Prob(F-statistic)

0.000000

  

*Note: p-values and any subsequent tests do not account for model selection.

6M_TCV

Dependent Variable: _6M Method: ARDL

Date: 03/29/16 Time: 22:50 Sample (adjus ted): 2 96

Included obs ervations : 95 after adjus tments

Maximum dependent lags : 12 (Automatic s election) Model s election method: Akaike info criterion (AIC) Dynamic regres s ors (12 lags , automatic): TCV Fixed regres s ors : C

Number of models evalulated: 156 Selected Model: ARDL(1, 1)

Note: final equation s ample is larger than s election s ample

Variable

Coefficient

Std. Error t-Statis tic

Prob.*

_6M(-1)

0.938868

0.052329 17.94159

0.0000

TCV

0.693945

0.101460 6.839625

0.0000

TCV(-1)

-0.682248

0.094074 -7.252245

0.0000

C

0.479848

0.265253 1.809024

0.0737

R-s quared

0.948086

Mean dependent var

9.696737

Adjus ted R-s quared

0.946374

S.D. dependent var

3.301801

S.E. of regres s ion

0.764606

Akaike info criterion

2.342282

Sum s quared res id

53.20068

Schwarz criterion

2.449813

Log likelihood

-107.2584

Hannan-Quinn criter.

2.385733

F-s tatis tic

553.9623

Durbin-Wats on s tat

1.608167

Prob(F-s tatis tic)

0.000000

  

Variable

Coefficient

Std. Error t-Statistic

Prob.*

_12M(-1)

0.843659

0.052469 16.07917

0.0000

TCV

0.479081

0.086092 5.564759

0.0000

TCV(-1)

0.129880

0.132634 0.979237

0.3302

TCV(-2)

-0.488779

0.136069 -3.592134

0.0005

TCV(-3)

-0.080654

0.131803 -0.611928

0.5422

TCV(-4)

0.056498

0.084450 0.669014

0.5053

C

0.628499

0.254718 2.467428

0.0156

R-squared

0.963452

Mean dependent var

10.02707

Adjusted R-squared

0.960873

S.D. dependent var

3.071818

S.E. of regression

0.607626

Akaike info criterion

1.914523

Sum squared resid

31.38281

Schwarz criterion

2.106398

Log likelihood

-81.06804

Hannan-Quinn criter.

1.991965

F-statistic

373.4552

Durbin-Watson stat

1.812416

Prob(F-statistic)

0.000000

  

18M_TCV

   

Dependent Variable: _18M Method: ARDL

Date: 03/29/16 Time: 22:52 Sample (adjusted): 3 96

Included observations: 94 after adjustments

Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCV Fixed regressors: C

Number of models evalulated: 156 Selected Model: ARDL(1, 2)

Note: final equation sample is larger than selection sample

Variable

Coefficient

Std. Error t-Statistic

Prob.*

_18M(-1)

0.887159

0.052324 16.95497

0.0000

TCV

0.446020

0.089894 4.961628

0.0000

TCV(-1)

-0.149811

0.140588 -1.065602

0.2895

TCV(-2)

-0.266015

0.086657 -3.069762

0.0028

C

0.799598

0.288990 2.766869

0.0069

R-squared

0.933686

Mean dependent var

9.760638

Adjusted R-squared

0.930706

S.D. dependent var

2.467255

S.E. of regression

0.649474

Akaike info criterion

2.026418

Sum squared resid

37.54171

Schwarz criterion

2.161700

Log likelihood

-90.24164

Hannan-Quinn criter.

2.081062

F-statistic

313.2765

Durbin-Watson stat

1.787637

Prob(F-statistic)

0.000000

  

Variable

Coefficient

Std. Error t-Statistic

Prob.*

_24M(-1)

0.880940

0.053380 16.50324

0.0000

TCV

0.445094

0.088425 5.033566

0.0000

TCV(-1)

-0.150931

0.137813 -1.095189

0.2764

TCV(-2)

-0.261794

0.084981 -3.080610

0.0027

C

0.845346

0.290602 2.908944

0.0046

R-squared

0.933691

Mean dependent var

9.777447

Adjusted R-squared

0.930711

S.D. dependent var

2.417157

S.E. of regression

0.636266

Akaike info criterion

1.985323

Sum squared resid

36.03021

Schwarz criterion

2.120605

Log likelihood

-88.31018

Hannan-Quinn criter.

2.039967

F-statistic

313.2989

Durbin-Watson stat

1.783144

Prob(F-statistic)

0.000000

  

NH_TCV

Dependent Variable: NH Method: ARDL

Date: 03/29/16 Time: 22:56 Sample (adjusted): 7 96

Included observations: 90 after adjustments

Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCV Fixed regressors: C

Number of models evalulated: 156 Selected Model: ARDL(2, 6)

Note: final equation sample is larger than selection sample

Variable

Coefficient

Std. Error

t-Statistic

Prob.*

NH(-1)

1.081561

0.110173

9.816912

0.0000

NH(-2)

-0.204363

0.115941

-1.762646

0.0818

TCV

0.505428

0.111177

4.546151

0.0000

TCV(-1)

0.022739

0.166537

0.136541

0.8917

TCV(-2)

-0.462235

0.154122

-2.999158

0.0036

TCV(-3)

-0.024932

0.128104

-0.194620

0.8462

TCV(-4)

-0.109462

0.117272

-0.933401

0.3534

TCV(-5)

0.243417

0.116044

2.097628

0.0391

TCV(-6)

-0.087353

0.075551

-1.156211

0.2510

C

0.744165

0.308893

2.409136

0.0183

R-squared

0.977416

Mean dependent var

12.75750

Adjusted R-squared

0.974876

S.D. dependent var

3.327661

S.E. of regression

0.527457

Akaike info criterion

1.662942

Sum squared resid

22.25691

Schwarz criterion

1.940699

Log likelihood

-64.83240

Hannan-Quinn criter.

1.774950

F-statistic

384.7072

Durbin-Watson stat

1.962815

Prob(F-statistic)

0.000000

  

Dependent Variable: TDH Method: ARDL

Date: 03/29/16 Time: 22:56 Sample (adjus ted): 5 96

Included obs ervations : 92 after adjus tments

Maximum dependent lags : 12 (Automatic s election) Model s election method: Akaike info criterion (AIC) Dynamic regres s ors (12 lags , automatic): TCV Fixed regres s ors : C

Number of models evalulated: 156 Selected Model: ARDL(2, 4)

Note: final equation s ample is larger than s election s ample

Variable

Coefficient

Std. Error t-Statis tic

Prob.*

TDH(-1)

1.070561

0.098958 10.81830

0.0000

TDH(-2)

-0.203586

0.093559 -2.176016

0.0324

TCV

0.470750

0.092659 5.080434

0.0000

TCV(-1)

-0.023733

0.139504 -0.170122

0.8653

TCV(-2)

-0.334572

0.126682 -2.641048

0.0099

TCV(-3)

-0.103474

0.128607 -0.804577

0.4233

TCV(-4)

0.073649

0.079463 0.926840

0.3567

C

1.074574

0.347484 3.092445

0.0027

R-s quared

0.971524

Mean dependent var

13.98250

Adjus ted R-s quared

0.969151

S.D. dependent var

3.227820

S.E. of regres s ion

0.566933

Akaike info criterion

1.785791

Sum s quared res id

26.99872

Schwarz criterion

2.005077

Log likelihood

-74.14639

Hannan-Quinn criter.

1.874297

F-s tatis tic

409.4033

Durbin-Wats on s tat

2.101141

Prob(F-s tatis tic)

0.000000

  

1M_TCK

   

Dependent Variable: _1M Method: ARDL

   

Date: 03/29/16 Time: 23:05 Sample (adjusted): 5 96

Included observations: 92 after adjustments

Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCK Fixed regressors: C

Number of models evalulated: 156 Selected Model: ARDL(4, 2)

Note: final equation sample is larger than selection sample

Variable

Coefficient

Std. Error

t-Statistic

Prob.*

_1M(-1)

1.174603

0.109222

10.75432

0.0000

_1M(-2)

-0.167957

0.172518

-0.973562

0.3331

_1M(-3)

-0.207766

0.174682

-1.189395

0.2376

_1M(-4)

0.143529

0.103408

1.387984

0.1688

TCK

0.406666

0.109785

3.704202

0.0004

TCK(-1)

-0.128015

0.146480

-0.873942

0.3846

TCK(-2)

-0.262694

0.102521

-2.562351

0.0122

C

0.344017

0.224754

1.530638

0.1296

R-squared

0.965111

Mean dependent var

8.978804

Adjusted R-squared

0.962204

S.D. dependent var

3.881412

S.E. of regression

0.754596

Akaike info criterion

2.357674

Sum squared resid

47.83091

Schwarz criterion

2.576959

Log likelihood

-100.4530

Hannan-Quinn criter.

2.446179

F-statistic

331.9485

Durbin-Watson stat

2.103649

Prob(F-statistic)

0.000000

  

Dependent Variable: _6M Method: ARDL

Date: 03/29/16 Time: 23:06 Sample (adjusted): 2 96

Included observations: 95 after adjustments

Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCK Fixed regressors: C

Number of models evalulated: 156 Selected Model: ARDL(1, 1)

Note: final equation sample is larger than selection sample

Variable

Coefficient

Std. Error t-Statistic

Prob.*

_6M(-1)

0.946585

0.055769 16.97340

0.0000

TCK

0.551751

0.100243 5.504122

0.0000

TCK(-1)

-0.545272

0.092815 -5.874851

0.0000

C

0.458118

0.265322 1.726652

0.0876

R-squared

0.940474

Mean dependent var

9.696737

Adjusted R-squared

0.938511

S.D. dependent var

3.301801

S.E. of regression

0.818744

Akaike info criterion

2.479103

Sum squared resid

61.00115

Schwarz criterion

2.586635

Log likelihood

-113.7574

Hannan-Quinn criter.

2.522554

F-statistic

479.2459

Durbin-Watson stat

1.701805

Prob(F-statistic)

0.000000

  

12M_TCK

   

Dependent Variable: _12M Method: ARDL

Date: 03/29/16 Time: 23:06 Sample (adjusted): 2 96

Included observations: 95 after adjustments

Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCK Fixed regressors: C

Number of models evalulated: 156 Selected Model: ARDL(1, 1)

Note: final equation sample is larger than selection sample

Variable

Coefficient

Std. Error t-Statistic

Prob.*

_12M(-1)

0.895576

0.058916 15.20077

0.0000

TCK

0.657086

0.090742 7.241257

0.0000

TCK(-1)

-0.591748

0.089132 -6.638978

0.0000

C

0.570306

0.289565 1.969528

0.0519

R-squared

0.938734

Mean dependent var

10.06916

Adjusted R-squared

0.936714

S.D. dependent var

3.041630

S.E. of regression

0.765171

Akaike info criterion

2.343759

Sum squared resid

53.27933

Schwarz criterion

2.451291

Log likelihood

-107.3286

Hannan-Quinn criter.

2.387210

F-statistic

464.7771

Durbin-Watson stat

1.864117

Prob(F-statistic)

0.000000

  

Variable

Coefficient

Std. Error t-Statistic

Prob.*

_18M(-1)

0.900228

0.057006 15.79189

0.0000

TCK

0.477074

0.087115 5.476363

0.0000

TCK(-1)

-0.444311

0.082469 -5.387585

0.0000

C

0.730107

0.335630 2.175331

0.0322

R-squared

0.913982

Mean dependent var

9.762737

Adjusted R-squared

0.911146

S.D. dependent var

2.454181

S.E. of regression

0.731552

Akaike info criterion

2.253897

Sum squared resid

48.70034

Schwarz criterion

2.361428

Log likelihood

-103.0601

Hannan-Quinn criter.

2.297347

F-statistic

322.3048

Durbin-Watson stat

1.626205

Prob(F-statistic)

0.000000

  

24M_TCK

   

Dependent Variable: _24M Method: ARDL

Date: 03/29/16 Time: 23:08 Sample (adjusted): 2 96

Included observations: 95 after adjustments

Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCK Fixed regressors: C

Number of models evalulated: 156 Selected Model: ARDL(1, 1)

Note: final equation sample is larger than selection sample

Variable

Coefficient

Std. Error t-Statistic

Prob.*

_24M(-1)

0.895451

0.058120 15.40696

0.0000

TCK

0.474035

0.086010 5.511427

0.0000

TCK(-1)

-0.440279

0.080956 -5.438469

0.0000

C

0.774233

0.341194 2.269188

0.0256

R-squared

0.913563

Mean dependent var

9.779368

Adjusted R-squared

0.910713

S.D. dependent var

2.404338

S.E. of regression

0.718438

Akaike info criterion

2.217718

Sum squared resid

46.96991

Schwarz criterion

2.325249

Log likelihood

-101.3416

Hannan-Quinn criter.

2.261169

F-statistic

320.5958

Durbin-Watson stat

1.620523

Prob(F-statistic)

0.000000

  

Variable

Coefficient

Std. Error t-Statistic

Prob.*

NH(-1)

0.716277

0.091125 7.860416

0.0000

NH(-2)

-0.016746

0.116244 -0.144063

0.8858

NH(-3)

0.074972

0.085935 0.872425

0.3854

TCK

0.597473

0.096127 6.215467

0.0000

TCK(-1)

0.012761

0.142530 0.089529

0.9289

TCK(-2)

-0.281405

0.133886 -2.101832

0.0385

TCK(-3)

-0.151397

0.105080 -1.440772

0.1533

C

1.561821

0.415941 3.754907

0.0003

R-squared

0.966183

Mean dependent var

12.92661

Adjusted R-squared

0.963398

S.D. dependent var

3.431501

S.E. of regression

0.656506

Akaike info criterion

2.078324

Sum squared resid

36.63496

Schwarz criterion

2.296182

Log likelihood

-88.64205

Hannan-Quinn criter.

2.166288

F-statistic

346.9288

Durbin-Watson stat

1.360357

Prob(F-statistic)

0.000000

  

TDH_TCK

   

Dependent Variable: TDH Method: ARDL

   

Date: 03/29/16 Time: 23:09 Sample (adjus ted): 4 96

Included obs ervations : 93 after adjus tments

Maximum dependent lags : 12 (Automatic s election) Model s election method: Akaike info criterion (AIC) Dynamic regres s ors (12 lags , automatic): TCK Fixed regres s ors : C

Number of models evalulated: 156 Selected Model: ARDL(2, 3)

Note: final equation s ample is larger than s election s ample

Variable

Coefficient

Std. Error

t-Statis tic

Prob.*

TDH(-1)

0.840246

0.093914

8.946975

0.0000

TDH(-2)

-0.076817

0.100782

-0.762211

0.4480

TCK

0.450366

0.091735

4.909440

0.0000

TCK(-1)

0.146472

0.129788

1.128546

0.2622

TCK(-2)

-0.356550

0.121263

-2.940314

0.0042

TCK(-3)

-0.061953

0.094176

-0.657848

0.5124

C

1.969972

0.405385

4.859511

0.0000

R-s quared

0.962317

Mean dependent var

14.01280

Adjus ted R-s quared

0.959688

S.D. dependent var

3.223496

S.E. of regres s ion

0.647208

Akaike info criterion

2.039988

Sum s quared res id

36.02356

Schwarz criterion

2.230614

Log likelihood

-87.85946

Hannan-Quinn criter.

2.116958

F-s tatis tic

366.0336

Durbin-Wats on s tat

1.430708

Prob(F-s tatis tic)

0.000000

  

PHỤ LỤC 05: KẾT QUẢ TRUYỀN DẪN TRONG DÀI HẠN

1M_TCV

Long Run Coefficients

Variable

Coefficient

Std. Error

t-Statistic

Prob.

TCV

0.105263

1.123808

0.093666

0.9256

C

6.704726

9.269560

0.723306

0.4715

6M_TCV

  
 

Long Run Coefficients

Variable

Coefficient Std. Error

t-Statistic

Prob.

TCV

0.191340 0.840287

0.227708

0.8204

C

7.849345 7.706811

1.018495

0.3111

12M_TCV

Long Run Coefficients

Variable

Coefficient

Std. Error

t-Statistic

Prob.

TCV

0.614213

0.180551

3.401876

0.0010

C

4.020045

1.642994

2.446780

0.0165

18M_TCV

  
 

Long Run Coefficients

Variable

Coefficient Std. Error

t-Statistic

Prob.

TCV

0.267576 0.295669

0.904985

0.3679

C

7.086072 2.692332

2.631945

0.0100

24M_TCV

Long Run Coefficients

Variable

Coefficient

Std. Error

t-Statistic

Prob.

TCV

0.271872

0.275805

0.985739

0.3269

C

7.100192

2.519405

2.818201

0.0060

Variable

Coefficient

Std. Error

t-Statistic

Prob.

TCV

0.713358

0.258661

2.757887

0.0072

C

6.059873

2.275768

2.662782

0.0094

TDH_TCV

Long Run Coefficients

Variable

Coefficient

Std. Error

t-Statistic

Prob.

TCV

0.621086

0.237403

2.616165

0.0105

C

8.077987

2.140735

3.773464

0.0003

1M_TCK

Long Run Coefficients

Variable

Coefficient

Std. Error

t-Statistic

Prob.

TCK

0.277080

0.879778

0.314943

0.7536

C

5.973510

5.723610

1.043661

0.2996

6M_TCK

Long Run Coefficients

Variable

Coefficient

Std. Error

t-Statistic

Prob.

TCK

0.121308

1.068562

0.113524

0.9099

C

8.576550

7.594246

1.129348

0.2617

12M_TCK

    

Long Run Coefficients

Variable

Coefficient

Std. Error

t-Statistic

Prob.

TCK

0.625698

0.313193

1.997803

0.0487

C

5.461429

2.330477

2.343481

0.0213

18M_TCK

Long Run Coefficients

Variable

Coefficient

Std. Error

t-Statistic

Prob.

TCK

0.328380

0.337852

0.971966

0.3336

C

7.317760

2.503647

2.922840

0.0044

Variable

Coefficient

Std. Error

t-Statistic

Prob.

TCK

0.322879

0.320571

1.007198

0.3165

C

7.405437

2.383291

3.107232

0.0025

NH_TCK

Long Run Coefficients

Variable

Coefficient

Std. Error

t-Statistic

Prob.

TCK

0.786850

0.164644

4.779095

0.0000

C

6.926134

1.113247

6.221562

0.0000

TDH_TCK

Long Run Coefficients

Variable

Coefficient

Std. Error

t-Statistic

Prob.

TCK

0.753829

0.125242

6.018962

0.0000

C

8.327194

0.901090

9.241242

0.0000

PHỤ LỤC 06: TRUYỀN DẪN TRONG NGẮN HẠN

1M_TCV

ARDL Cointegrating And Long Run Form Dependent Variable: _1M

Selected Model: ARDL(4, 2) Date: 03/29/16 Time: 23:19 Sample: 1 96

Included observations: 92

Cointegrating Form

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(_1M(-1))

0.186643

0.101542

1.838083

0.0696

D(_1M(-2))

-0.007888

0.099641

-0.079167

0.9371

D(_1M(-3))

-0.131430

0.092410

-1.422254

0.1587

D(TCV)

0.463933

0.106413

4.359720

0.0000

D(TCV(-1))

0.346461

0.107130

3.234012

0.0017

CointEq(-1)

-0.051617

0.021033

-2.454080

0.0162

Cointeq = _1M - (0.1053*TCV + 6.7047 )

6M_TCV

ARDL Cointegrating And Long Run Form Dependent Variable: _6M

Selected Model: ARDL(1, 1) Date: 03/29/16 Time: 23:21 Sample: 1 96

Included observations: 95

Cointegrating Form

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(TCV)

0.693945

0.091686

7.568687

0.0000

CointEq(-1)

-0.061132

0.027810

-2.198209

0.0305

Cointeq = _6M - (0.1913*TCV + 7.8493 )

12M_TCV

ARDL Cointegrating And Long Run Form Dependent Variable: _12M

Selected Model: ARDL(1, 4) Date: 03/29/16 Time: 23:23 Sample: 1 96

Included observations: 92

Cointegrating Form

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(TCV)

0.479081

0.078792

6.080289

0.0000

D(TCV(-1))

0.512934

0.082007

6.254770

0.0000

D(TCV(-2))

0.024155

0.085287

0.283225

0.7777

D(TCV(-3))

-0.056498

0.082418

-0.685511

0.4949

CointEq(-1)

-0.156341

0.042577

-3.671947

0.0004

Cointeq = _12M - (0.6142*TCV + 4.0200 )

Dependent Variable: _18M Selected Model: ARDL(1, 2) Date: 03/29/16 Time: 23:24 Sample: 1 96

Included observations: 94

Cointegrating Form

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(TCV)

0.446020

0.083198

5.360931

0.0000

D(TCV(-1))

0.266015

0.085302

3.118509

0.0024

CointEq(-1)

-0.112841

0.037007

-3.049195

0.0030

Cointeq = _18M - (0.2676*TCV + 7.0861 )

24M_TCV

ARDL Cointegrating And Long Run Form Dependent Variable: _24M

Selected Model: ARDL(1, 2) Date: 03/29/16 Time: 23:25 Sample: 1 96

Included observations: 94

Cointegrating Form

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(TCV)

0.445094

0.081564

5.457009

0.0000

D(TCV(-1))

0.261794

0.083715

3.127193

0.0024

CointEq(-1)

-0.119060

0.037671

-3.160497

0.0022

Cointeq = _24M - (0.2719*TCV + 7.1002 )

NH_TCV

ARDL Cointegrating And Long Run Form Dependent Variable: NH

Selected Model: ARDL(2, 6) Date: 03/29/16 Time: 23:26 Sample: 1 96

Included observations: 90

Cointegrating Form

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(NH(-1))

0.204363

0.105472

1.937609

0.0562

D(TCV)

0.505428

0.099553

5.076997

0.0000

D(TCV(-1))

0.440565

0.113251

3.890176

0.0002

D(TCV(-2))

-0.021670

0.090998

-0.238139

0.8124

D(TCV(-3))

-0.046602

0.075960

-0.613503

0.5413

D(TCV(-4))

-0.156064

0.075790

-2.059149

0.0427

D(TCV(-5))

0.087353

0.074006

1.180357

0.2414

CointEq(-1)

-0.122802

0.044981

-2.730092

0.0078

Cointeq = NH - (0.7134*TCV + 6.0599 )

Dependent Variable: TDH Selected Model: ARDL(2, 4) Date: 03/29/16 Time: 23:27 Sample: 1 96

Included observations: 92

Cointegrating Form

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(TDH(-1))

0.203586

0.085047

2.393798

0.0189

D(TCV)

0.470750

0.076772

6.131797

0.0000

D(TCV(-1))

0.364397

0.085180

4.277989

0.0000

D(TCV(-2))

0.029825

0.088759

0.336018

0.7377

D(TCV(-3))

-0.073649

0.078150

-0.942414

0.3487

CointEq(-1)

-0.133025

0.039995

-3.326036

0.0013

Cointeq = TDH - (0.6211*TCV + 8.0780 )

1M_TCK

ARDL Cointegrating And Long Run Form Dependent Variable: _1M

Selected Model: ARDL(4, 2) Date: 03/29/16 Time: 23:30 Sample: 1 96

Included observations: 92

Cointegrating Form

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(_1M(-1))

0.232194

0.104042

2.231741

0.0283

D(_1M(-2))

0.064237

0.104234

0.616280

0.5394

D(_1M(-3))

-0.143529

0.101472

-1.414466

0.1609

D(TCK)

0.406666

0.104252

3.900801

0.0002

D(TCK(-1))

0.262694

0.097377

2.697700

0.0084

CointEq(-1)

-0.057590

0.025415

-2.266016

0.0260

Cointeq = _1M - (0.2771*TCK + 5.9735 )

6M_TCK

ARDL Cointegrating And Long Run Form Dependent Variable: _6M

Selected Model: ARDL(1, 1) Date: 03/29/16 Time: 23:30 Sample: 1 96

Included observations: 95

Cointegrating Form

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(TCK)

0.551751

0.089808

6.143710

0.0000

CointEq(-1)

-0.053415

0.028000

-1.907680

0.0596

Cointeq = _6M - (0.1213*TCK + 8.5765 )

Dependent Variable: _12M Selected Model: ARDL(1, 1) Date: 03/29/16 Time: 23:31 Sample: 1 96

Included observations: 95

Cointegrating Form

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(TCK)

0.657086

0.085348

7.698878

0.0000

CointEq(-1)

-0.104424

0.048273

-2.163215

0.0331

Cointeq = _12M - (0.6257*TCK + 5.4614 )

18M_TCK

ARDL Cointegrating And Long Run Form Dependent Variable: _18M

Selected Model: ARDL(1, 1) Date: 03/29/16 Time: 23:32 Sample: 1 96

Included observations: 95

Cointegrating Form

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(TCK)

0.477074

0.081234

5.872849

0.0000

CointEq(-1)

-0.099772

0.043402

-2.298787

0.0238

Cointeq = _18M - (0.3284*TCK + 7.3178 )

24M_TCK

ARDL Cointegrating And Long Run Form Dependent Variable: _24M

Selected Model: ARDL(1, 1) Date: 03/29/16 Time: 23:33 Sample: 1 96

Included observations: 95

Cointegrating Form

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(TCK)

0.474035

0.079883

5.934097

0.0000

CointEq(-1)

-0.104549

0.043748

-2.389824

0.0189

Cointeq = _24M - (0.3229*TCK + 7.4054 )

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