|
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 |
Có thể bạn quan tâm!
-
Mối Tương Quan Giữa Lãi Suất Tái Cấp Vốn Và Lãi Suất Huy Động Tại Agribank Giai Đoạn 2008-2015 -
Chọn Độ Trễ Tối Ưu Cho Các Biến Trong Mô Hình Bảng 4.8: Kiểm Định Độ Trễ Tối Ưu -
Hạn Chế Của Đề Tài Và Hướng Nghiên Cứu Tiếp Theo -
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 - 8
Xem toàn bộ 68 trang: 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
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 )
