Luận án Phân tích kênh tín dụng ngân hàng trong cơ chế truyền dẫn tiền tệ ở Việt Nam: Tiếp cận bằng mô hình VECM
Cơ sở lý thuyết về kênh truyền dẫn tiền tệ thông qua cung, cầu tín dụng ngân hàng Bernanke và Blinder (1988) làm nền tảng để các nghiên cứu thực nghiệm xem xét vai trò của tín dụng ngân hàng so với các kênh truyền dẫn tiền tệ khác đã được nghiên cứu phổ biến như thông qua lãi suất, tỉ giá, giá tài sản, Theo kênh tín dụng ngân hàng, chính sách tiền tệ được thực thi và truyền dẫn qua bảng cân đối của các ngân hàng thương mại, và từ đó truyền dẫn đến các hoạt động của nền kinh tế. Dựa trên đề xuất của Bernanke và Blinder (1988), de Mello và Pisu (2010), Sun và các cộng sự (2010), và Cyrille (2014) đã ủng hộ cơ sở lý thuyết từ Bernanke và Blinder (1988) và đi đến kết luận là tồn tại kênh tín dụng ngân hàng tại Bra-xin, Trung Quốc, cung như các nước trong khu vực CEMAC. Đây cũng là mô hình được lựa chọn để nghiên cứu kênh tín dụng ngân hàng tại Việt Nam vì phương pháp nghiên cứu này chưa được nghiên cứu tại Việt Nam. Hơn nữa, phương pháp này cũng nhằm mục đích củng cố cơ sở lý thuyết và mô hình nghiên cứu tại một nước mới để bổ sung thêm một trường hợp nghiên cứu thực tế trong việc ủng hộ sự tồn tại của kênh tín dụng ngân hàng. Nghiên cứu về cơ chế truyền dẫn tiền tệ tại Việt Nam đã được tập trung chủ yếu vào các kênh truyền dẫn thông qua lãi suất, tỉ giá, giá tài sản. Trong khi đó, tín dụng ngân hàng vẫn là kênh dẫn vốn quan trọng của nền kinh tế, đồng thời thực thi chính sách tiền tệ thường trực tiếp, hay gián tiếp tác động thông qua hoạt động huy động vốn, cho vay của các TCTD để từ đó truyền dẫn đến nền kinh tế. Như vậy, mặc dù một số nghiên cứu đề cập đến vai trò của tín dụng trong nghiên cứu mối quan hệ với lạm phát nhưng chỉ sử dụng nó như là một biến vĩ mô trong mô hình ước lượng mà không phản ánh được bản chất của kênh tín dụng ngân hàng. Hơn nữa, các công trình nghiên cứu về kênh truyền dẫn tiền tệ tại Việt Nam phần lớn chỉ tập trung sử dụng mô hình truyền thống trong phân tích kinh tế vĩ mô là mô hình VAR và SVAR. Tuy nhiên, các chuỗi dữ liệu tài chính thường hay bị tồn tại nghiệm đơn vị ở mức giá trị gốc, do đó, sử dụng mô hình VAR hay SVAR sẽ khó xử lý được toàn bộ đặc điểm tính không dừng của chuỗi dữ liệu, và qua đó không bóc tách được mối quan hệ dài hạn cũng như tác động trong ngắn hạn của các biến trong mô hình. Chính vì vậy, nghiên cứu cơ chế truyền dẫn tiền tệ thông qua kênh tín dụng ngân hàng để có cái nhìn khác với các nghiên cứu trước trong việc xem xét vị trí, vai trò của các tổ chức tín dụng trong việc thực thi chính sách tiền tệ để tác động đến nền kinh tế - kiểm soát lạm phát và hỗ trợ88 tăng trưởng kinh tế đã được phân tích trong đề tài. Từ việc chưa có nghiên cứu nào xác thực sự tồn tại của kênh tín dụng ngân hàng tại Việt Nam, đề tài đã sử dụng phương pháp vec-tơ hiệu chỉnh sai số để thực hiện. Cơ sở mô hình để áp dụng là dựa vào mô hình lỳ thuyết đã được nghiên cứu thực nghiệm từ de Mello và Pisu (2010), và được mở rộng bởi Sun và các cộng sự (2010), và Cyrille (2014).
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-6.950117 -6.938719 -7.054765 -10.67352 -8.207917
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.) 9.59E-30
Determinant resid covariance 4.21E-30
Log likelihood 4150.197
Akaike information criterion -48.92924
Schwarz criterion -46.32081
Vector Error Correction Estimates
Sample (adjusted): 2001M05 2014M12
Included observations: 164 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
B(1,5)=0, B(2,5)=0
Convergence achieved after 58 iterations.
Not all cointegrating vectors are identified
LR test for binding restrictions (rank = 2):
Chi-square(2) 24.91725
Probability 0.000004
Cointegrating Eq: CointEq1 CointEq2
CREDIT(-1) -6.081644 1.726881
RR(-1) 9.997882 11.47866
RC(-1) -84.91743 -12.51097
RL(-1) 134.1755 7.534220
IPI_TC(-1) 0.000000 0.000000
CPI(-1) 17.83188 -5.352555
C -5.017474 -0.973357
Error Correction: D(CREDIT) D(RR) D(RC) D(RL) D(IPI_TC) D(CPI)
CointEq1 -0.000566 -0.000782 -0.000196 -0.002413 -7.59E-05 0.000467
(0.00056) (0.00048) (0.00047) (0.00040) (7.3E-05) (0.00024)
[-1.01756] [-1.63101] [-0.41497] [-5.96767] [-1.04058] [ 1.90889]
CointEq2 0.004101 -0.000227 0.000262 -0.000514 0.000224 0.000112
(0.00121) (0.00104) (0.00103) (0.00088) (0.00016) (0.00053)
[ 3.38869] [-0.21712] [ 0.25440] [-0.58361] [ 1.40821] [ 0.20987]
D(CREDIT(-1)) 0.435458 -0.117603 -0.039672 -0.035538 0.006904 0.065723
(0.08602) (0.07416) (0.07317) (0.06256) (0.01129) (0.03786)
[ 5.06245] [-1.58576] [-0.54221] [-0.56804] [ 0.61143] [ 1.73608]
D(CREDIT(-2)) 0.167211 0.132581 -0.022348 -0.059253 -0.010400 0.016126
(0.09358) (0.08068) (0.07960) (0.06806) (0.01228) (0.04118)
108
[ 1.78691] [ 1.64333] [-0.28077] [-0.87061] [-0.84664] [ 0.39156]
D(CREDIT(-3)) -0.034489 -0.094168 0.070481 0.017306 -0.005980 0.069066
(0.08889) (0.07663) (0.07561) (0.06465) (0.01167) (0.03912)
[-0.38802] [-1.22879] [ 0.93219] [ 0.26769] [-0.51248] [ 1.76553]
D(RR(-1)) 0.077661 0.087753 -0.105098 -0.040465 -0.003143 0.003008
(0.09627) (0.08300) (0.08189) (0.07002) (0.01264) (0.04237)
[ 0.80667] [ 1.05721] [-1.28337] [-0.57789] [-0.24871] [ 0.07100]
D(RR(-2)) 0.030672 0.017845 -0.082161 -0.054994 0.008386 0.046773
(0.09352) (0.08063) (0.07955) (0.06802) (0.01228) (0.04116)
[ 0.32799] [ 0.22133] [-1.03288] [-0.80855] [ 0.68318] [ 1.13644]
D(RR(-3)) -0.065854 0.044625 0.092561 0.102479 -0.008807 0.034927
(0.08718) (0.07516) (0.07416) (0.06341) (0.01144) (0.03837)
[-0.75537] [ 0.59370] [ 1.24815] [ 1.61617] [-0.76956] [ 0.91029]
D(RC(-1)) -0.261582 -0.078970 -0.162088 0.234281 0.010720 0.149141
(0.10771) (0.09286) (0.09162) (0.07834) (0.01414) (0.04740)
[-2.42857] [-0.85038] [-1.76912] [ 2.99058] [ 0.75818] [ 3.14614]
D(RC(-2)) -0.106100 -0.187248 -0.253036 -0.151891 -0.005597 -0.112918
(0.11173) (0.09633) (0.09504) (0.08127) (0.01467) (0.04918)
[-0.94957] [-1.94375] [-2.66231] [-1.86905] [-0.38163] [-2.29623]
D(RC(-3)) -0.062081 -0.091821 -0.108141 -0.055834 -0.017209 0.014760
(0.11418) (0.09845) (0.09713) (0.08305) (0.01499) (0.05025)
[-0.54369] [-0.93270] [-1.11339] [-0.67231] [-1.14812] [ 0.29372]
D(RL(-1)) -0.189739 0.429773 0.126998 0.135617 -0.002529 -0.043698
(0.10466) (0.09023) (0.08903) (0.07612) (0.01374) (0.04606)
[-1.81292] [ 4.76286] [ 1.42654] [ 1.78160] [-0.18405] [-0.94867]
D(RL(-2)) 0.039850 0.309620 0.316273 0.270298 0.023995 0.159634
(0.11401) (0.09830) (0.09698) (0.08292) (0.01497) (0.05018)
[ 0.34953] [ 3.14984] [ 3.26120] [ 3.25964] [ 1.60331] [ 3.18138]
D(RL(-3)) 0.027239 0.032933 0.310978 0.029818 -0.008567 -0.235988
(0.11716) (0.10101) (0.09966) (0.08521) (0.01538) (0.05156)
[ 0.23250] [ 0.32605] [ 3.12054] [ 0.34994] [-0.55706] [-4.57682]
D(IPI_TC(-1)) 0.379496 -0.326102 -0.012143 0.224073 2.332019 0.004810
(0.41873) (0.36102) (0.35618) (0.30455) (0.05497) (0.18429)
[ 0.90630] [-0.90328] [-0.03409] [ 0.73575] [ 42.4259] [ 0.02610]
D(IPI_TC(-2)) -0.476675 0.735524 -0.047204 -0.323877 -2.141487 -0.040419
(0.71511) (0.61655) (0.60829) (0.52011) (0.09387) (0.31473)
[-0.66658] [ 1.19297] [-0.07760] [-0.62271] [-22.8128] [-0.12843]
D(IPI_TC(-3)) 0.164079 -0.445415 0.091742 0.169633 0.759606 0.004546
(0.41030) (0.35375) (0.34901) (0.29842) (0.05386) (0.18058)
[ 0.39990] [-1.25913] [ 0.26286] [ 0.56844] [ 14.1034] [ 0.02518]
D(CPI(-1)) -0.128687 0.147929 0.495339 0.469794 -0.029343 0.856256
(0.18907) (0.16301) (0.16083) (0.13752) (0.02482) (0.08321)
[-0.68062] [ 0.90747] [ 3.07991] [ 3.41630] [-1.18228] [ 10.2900]
D(CPI(-2)) 0.096343 -0.043831 0.070339 0.023462 -0.031500 -0.224565
(0.23526) (0.20284) (0.20012) (0.17111) (0.03088) (0.10354)
[ 0.40952] [-0.21609] [ 0.35149] [ 0.13712] [-1.02001] [-2.16885]
D(CPI(-3)) 0.094749 -0.000167 -0.172051 0.153726 0.035562 0.104739
(0.18281) (0.15762) (0.15551) (0.13296) (0.02400) (0.08046)
[ 0.51828] [-0.00106] [-1.10640] [ 1.15615] [ 1.48189] [ 1.30178]
109
C 0.007647 0.001187 -0.003093 -0.003479 0.000798 -0.000941
(0.00230) (0.00198) (0.00196) (0.00167) (0.00030) (0.00101)
[ 3.32576] [ 0.59865] [-1.58147] [-2.08023] [ 2.64459] [-0.93015]
R-squared 0.669158 0.328120 0.374660 0.555954 0.985855 0.808651
Adj. R-squared 0.622886 0.234151 0.287200 0.493850 0.983877 0.781889
Sum sq. resids 0.007048 0.005239 0.005100 0.003728 0.000121 0.001365
S.E. equation 0.007020 0.006053 0.005972 0.005106 0.000922 0.003090
F-statistic 14.46153 3.491787 4.283782 8.951937 498.3340 30.21635
Log likelihood 591.7944 616.1160 618.3276 644.0104 924.7970 726.3937
Akaike AIC -6.960907 -7.257512 -7.284483 -7.597687 -11.02191 -8.602363
Schwarz SC -6.563973 -6.860578 -6.887548 -7.200753 -10.62498 -8.205429
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.) 9.20E-30
Determinant resid covariance 4.04E-30
Log likelihood 4153.561
Akaike information criterion -48.97026
Schwarz criterion -46.36183
Vector Error Correction Estimates
Sample (adjusted): 2001M05 2014M12
Included observations: 164 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
B(1,6)=0, B(2,6)=0
Convergence achieved after 23 iterations.
Not all cointegrating vectors are identified
LR test for binding restrictions (rank = 2):
Chi-square(2) 28.74587
Probability 0.000001
Cointegrating Eq: CointEq1 CointEq2
CREDIT(-1) 3.204878 4.955486
RR(-1) 27.26884 28.44181
RC(-1) -45.25397 -74.00869
RL(-1) 81.20866 65.68164
IPI_TC(-1) -7.287363 -11.47831
CPI(-1) 0.000000 0.000000
C -20.80738 -23.63309
Error Correction: D(CREDIT) D(RR) D(RC) D(RL) D(IPI_TC) D(CPI)
CointEq1 0.000125 -0.000683 -0.001378 -0.002553 -8.24E-05 0.000345
(0.00078) (0.00063) (0.00062) (0.00057) (9.9E-05) (0.00033)
[ 0.16056] [-1.07810] [-2.21026] [-4.49991] [-0.83497] [ 1.05162]
CointEq2 0.000969 -0.001522 0.002204 0.000443 0.000226 0.000590
(0.00099) (0.00081) (0.00080) (0.00072) (0.00013) (0.00042)
[ 0.97449] [-1.88146] [ 2.76973] [ 0.61254] [ 1.79063] [ 1.40804]
D(CREDIT(-1)) 0.507491 -0.080834 -0.050614 0.009922 0.009847 0.048648
(0.08568) (0.06969) (0.06856) (0.06239) (0.01085) (0.03609)
[ 5.92305] [-1.15990] [-0.73820] [ 0.15904] [ 0.90720] [ 1.34811]
110
D(CREDIT(-2)) 0.218495 0.156626 -0.032945 -0.024841 -0.008170 0.004152
(0.09515) (0.07739) (0.07614) (0.06928) (0.01205) (0.04007)
[ 2.29641] [ 2.02387] [-0.43270] [-0.35855] [-0.67778] [ 0.10360]
D(CREDIT(-3)) 0.033026 -0.063577 0.048457 0.074351 -0.002760 0.051720
(0.08821) (0.07175) (0.07059) (0.06423) (0.01117) (0.03715)
[ 0.37441] [-0.88613] [ 0.68648] [ 1.15758] [-0.24700] [ 1.39219]
D(RR(-1)) 0.117620 0.092863 -0.109707 -0.024732 -0.000853 -0.000820
(0.09877) (0.08033) (0.07904) (0.07192) (0.01251) (0.04160)
[ 1.19088] [ 1.15594] [-1.38805] [-0.34389] [-0.06816] [-0.01972]
D(RR(-2)) 0.059137 0.039088 -0.104285 -0.041063 0.008487 0.036909
(0.09658) (0.07855) (0.07728) (0.07032) (0.01223) (0.04068)
[ 0.61233] [ 0.49759] [-1.34936] [-0.58391] [ 0.69369] [ 0.90740]
D(RR(-3)) -0.056342 0.082107 0.054963 0.096578 -0.011919 0.021075
(0.09174) (0.07462) (0.07342) (0.06680) (0.01162) (0.03864)
[-0.61413] [ 1.10030] [ 0.74865] [ 1.44570] [-1.02554] [ 0.54544]
D(RC(-1)) -0.197173 -0.110930 -0.115832 0.314416 0.020466 0.153936
(0.11013) (0.08958) (0.08813) (0.08019) (0.01395) (0.04638)
[-1.79039] [-1.23840] [-1.31435] [ 3.92085] [ 1.46690] [ 3.31886]
D(RC(-2)) -0.066144 -0.194943 -0.221688 -0.119146 -0.000880 -0.111584
(0.11577) (0.09416) (0.09264) (0.08430) (0.01467) (0.04876)
[-0.57133] [-2.07024] [-2.39292] [-1.41337] [-0.05999] [-2.28851]
D(RC(-3)) -0.016566 -0.089477 -0.094679 -0.033862 -0.013718 0.012630
(0.11741) (0.09550) (0.09395) (0.08549) (0.01487) (0.04945)
[-0.14110] [-0.93698] [-1.00773] [-0.39608] [-0.92227] [ 0.25543]
D(RL(-1)) -0.236838 0.451016 0.060690 0.067237 -0.010771 -0.048368
(0.11089) (0.09020) (0.08874) (0.08075) (0.01405) (0.04670)
[-2.13576] [ 5.00037] [ 0.68391] [ 0.83269] [-0.76672] [-1.03563]
D(RL(-2)) -0.005462 0.351794 0.249201 0.215492 0.015004 0.147270
(0.12089) (0.09833) (0.09674) (0.08803) (0.01531) (0.05091)
[-0.04518] [ 3.57775] [ 2.57600] [ 2.44803] [ 0.97973] [ 2.89250]
D(RL(-3)) -0.017075 0.082411 0.258256 -0.022907 -0.017498 -0.249509
(0.12284) (0.09992) (0.09830) (0.08945) (0.01556) (0.05174)
[-0.13900] [ 0.82478] [ 2.62712] [-0.25609] [-1.12439] [-4.82258]
D(IPI_TC(-1)) 0.659646 -0.301924 -0.111761 0.209478 2.342335 -0.011570
(0.42808) (0.34819) (0.34256) (0.31171) (0.05423) (0.18029)
[ 1.54094] [-0.86712] [-0.32625] [ 0.67203] [ 43.1914] [-0.06417]
D(IPI_TC(-2)) -0.969707 0.699293 0.102029 -0.322088 -2.161645 -0.013270
(0.72931) (0.59320) (0.58362) (0.53105) (0.09239) (0.30716)
[-1.32963] [ 1.17885] [ 0.17482] [-0.60651] [-23.3964] [-0.04320]
D(IPI_TC(-3)) 0.494428 -0.465961 0.014262 0.128594 0.775092 0.005706
(0.41806) (0.34004) (0.33454) (0.30441) (0.05296) (0.17607)
[ 1.18267] [-1.37031] [ 0.04263] [ 0.42243] [ 14.6349] [ 0.03241]
D(CPI(-1)) -0.186342 0.168621 0.515510 0.456686 -0.033703 0.853617
(0.19577) (0.15923) (0.15666) (0.14255) (0.02480) (0.08245)
[-0.95186] [ 1.05897] [ 3.29067] [ 3.20372] [-1.35898] [ 10.3532]
D(CPI(-2)) 0.054750 -0.038393 0.086225 -0.002020 -0.034603 -0.221890
(0.24298) (0.19764) (0.19444) (0.17693) (0.03078) (0.10234)
[ 0.22532] [-0.19426] [ 0.44344] [-0.01141] [-1.12411] [-2.16824]
D(CPI(-3)) 0.094370 -0.001158 -0.083222 0.154892 0.038075 0.112570
(0.19279) (0.15681) (0.15427) (0.14038) (0.02442) (0.08120)
111
[ 0.48950] [-0.00738] [-0.53944] [ 1.10338] [ 1.55897] [ 1.38642]
C 0.003450 -0.000490 -0.002842 -0.005484 0.000611 -0.000184
(0.00194) (0.00158) (0.00155) (0.00141) (0.00025) (0.00082)
[ 1.77895] [-0.31042] [-1.83122] [-3.88393] [ 2.48511] [-0.22544]
R-squared 0.646143 0.360421 0.408053 0.523967 0.985909 0.812581
Adj. R-squared 0.596653 0.270969 0.325263 0.457389 0.983939 0.786369
Sum sq. resids 0.007538 0.004987 0.004827 0.003997 0.000121 0.001337
S.E. equation 0.007261 0.005906 0.005810 0.005287 0.000920 0.003058
F-statistic 13.05592 4.029223 4.928778 7.869968 500.2811 30.99990
Log likelihood 586.2798 620.1560 622.8275 638.3065 925.1122 728.0954
Akaike AIC -6.893656 -7.306781 -7.339360 -7.528128 -11.02576 -8.623115
Schwarz SC -6.496722 -6.909847 -6.942426 -7.131194 -10.62882 -8.226181
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.) 9.42E-30
Determinant resid covariance 4.14E-30
Log likelihood 4151.647
Akaike information criterion -48.94691
Schwarz criterion -46.33849
Kiểm định giới hạn biến ngoại sinh
Vector Error Correction Estimates
Sample (adjusted): 2001M05 2014M12
Included observations: 164 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
A(1,1)=0, A(1,2)=0
Convergence achieved after 9 iterations.
Not all cointegrating vectors are identified
LR test for binding restrictions (rank = 2):
Chi-square(2) 9.135331
Probability 0.010382
Cointegrating Eq: CointEq1 CointEq2
CREDIT(-1) -7.891520 22.41389
RR(-1) 5.773748 63.19396
RC(-1) -84.37177 -12.19948
RL(-1) 135.9587 -19.68727
IPI_TC(-1) 2.628687 -29.01925
CPI(-1) 19.73965 -28.52511
C 0.288395 -59.76377
Error Correction: D(CREDIT) D(RR) D(RC) D(RL) D(IPI_TC) D(CPI)
CointEq1 0.000000 -0.000657 -0.000260 -0.002531 -6.90E-05 0.000417
(0.00000) (0.00045) (0.00046) (0.00039) (7.0E-05) (0.00024)
[NA] [-1.45271] [-0.56602] [-6.48418] [-0.99023] [ 1.76270]
CointEq2 0.000000 -0.001673 0.000615 0.000556 0.000181 0.000521
(0.00000) (0.00044) (0.00045) (0.00038) (6.8E-05) (0.00023)
[NA] [-3.78110] [ 1.36921] [ 1.45487] [ 2.65450] [ 2.25357]
112
D(CREDIT(-1)) 0.451425 -0.036516 -0.057952 -0.073775 0.000806 0.045902
(0.08862) (0.07173) (0.07372) (0.06266) (0.01115) (0.03789)
[ 5.09372] [-0.50906] [-0.78611] [-1.17736] [ 0.07233] [ 1.21154]
D(CREDIT(-2)) 0.175106 0.189359 -0.035417 -0.085914 -0.014853 0.002214
(0.09598) (0.07769) (0.07984) (0.06786) (0.01207) (0.04103)
[ 1.82438] [ 2.43748] [-0.44360] [-1.26598] [-1.23018] [ 0.05395]
D(CREDIT(-3)) -0.043216 -0.007663 0.049200 -0.021752 -0.013871 0.047683
(0.09354) (0.07571) (0.07781) (0.06614) (0.01177) (0.03999)
[-0.46201] [-0.10121] [ 0.63232] [-0.32889] [-1.17885] [ 1.19241]
D(RR(-1)) 0.098716 0.104427 -0.107861 -0.049465 -0.003458 -0.001022
(0.09772) (0.07910) (0.08129) (0.06910) (0.01229) (0.04178)
[ 1.01016] [ 1.32025] [-1.32688] [-0.71590] [-0.28129] [-0.02446]
D(RR(-2)) 0.031537 0.058754 -0.091858 -0.073760 0.004926 0.036711
(0.09579) (0.07753) (0.07968) (0.06773) (0.01205) (0.04095)
[ 0.32922] [ 0.75778] [-1.15278] [-1.08902] [ 0.40881] [ 0.89643]
D(RR(-3)) -0.070602 0.094207 0.080627 0.080018 -0.013298 0.022798
(0.08983) (0.07271) (0.07473) (0.06352) (0.01130) (0.03840)
[-0.78590] [ 1.29562] [ 1.07894] [ 1.25977] [-1.17672] [ 0.59362]
D(RC(-1)) -0.264796 -0.061704 -0.166744 0.227455 0.009066 0.144578
(0.10983) (0.08889) (0.09136) (0.07765) (0.01382) (0.04695)
[-2.41103] [-0.69413] [-1.82518] [ 2.92910] [ 0.65622] [ 3.07929]
D(RC(-2)) -0.087739 -0.175484 -0.254687 -0.157947 -0.005610 -0.115786
(0.11363) (0.09197) (0.09452) (0.08034) (0.01429) (0.04858)
[-0.77214] [-1.90802] [-2.69449] [-1.96591] [-0.39249] [-2.38351]
D(RC(-3)) -0.033830 -0.075706 -0.110249 -0.064958 -0.017083 0.010930
(0.11583) (0.09375) (0.09635) (0.08190) (0.01457) (0.04952)
[-0.29207] [-0.80753] [-1.14427] [-0.79318] [-1.17246] [ 0.22072]
D(RL(-1)) -0.191432 0.408972 0.131776 0.143786 -0.000886 -0.038395
(0.10673) (0.08638) (0.08878) (0.07546) (0.01343) (0.04563)
[-1.79365] [ 4.73430] [ 1.48431] [ 1.90540] [-0.06596] [-0.84149]
D(RL(-2)) 0.021872 0.329575 0.310565 0.261254 0.021308 0.154871
(0.11636) (0.09418) (0.09679) (0.08227) (0.01464) (0.04975)
[ 0.18796] [ 3.49933] [ 3.20854] [ 3.17543] [ 1.45569] [ 3.11328]
D(RL(-3)) 0.013398 0.064089 0.303096 0.015818 -0.011961 -0.243440
(0.11979) (0.09695) (0.09964) (0.08470) (0.01507) (0.05121)
[ 0.11185] [ 0.66101] [ 3.04183] [ 0.18676] [-0.79380] [-4.75379]
D(IPI_TC(-1)) 0.648886 -0.338092 0.005902 0.206543 2.347118 0.009405
(0.41926) (0.33934) (0.34875) (0.29644) (0.05274) (0.17923)
[ 1.54771] [-0.99631] [ 0.01692] [ 0.69675] [ 44.5038] [ 0.05247]
D(IPI_TC(-2)) -0.936097 0.747095 -0.075892 -0.290371 -2.166492 -0.046014
(0.71561) (0.57921) (0.59527) (0.50597) (0.09002) (0.30593)
[-1.30811] [ 1.28985] [-0.12749] [-0.57388] [-24.0670] [-0.15041]
D(IPI_TC(-3)) 0.533915 -0.553141 0.138343 0.188326 0.788194 0.033188
(0.41049) (0.33224) (0.34145) (0.29024) (0.05164) (0.17549)
[ 1.30069] [-1.66486] [ 0.40516] [ 0.64888] [ 15.2643] [ 0.18912]
D(CPI(-1)) -0.163041 0.165643 0.489586 0.464551 -0.032625 0.851891
(0.19269) (0.15596) (0.16029) (0.13624) (0.02424) (0.08238)
[-0.84612] [ 1.06206] [ 3.05442] [ 3.40970] [-1.34592] [ 10.3413]
D(CPI(-2)) 0.090391 -0.056662 0.073411 0.030074 -0.030676 -0.221316
113
(0.23977) (0.19407) (0.19945) (0.16953) (0.03016) (0.10250)
[ 0.37699] [-0.29197] [ 0.36807] [ 0.17740] [-1.01704] [-2.15912]
D(CPI(-3)) 0.141517 -0.016900 -0.164461 0.159143 0.039572 0.109320
(0.18619) (0.15070) (0.15487) (0.13164) (0.02342) (0.07960)
[ 0.76009] [-0.11214] [-1.06189] [ 1.20890] [ 1.68961] [ 1.37345]
C 0.005676 -0.002211 -0.002406 -0.001774 0.000985 -0.000120
(0.00219) (0.00178) (0.00182) (0.00155) (0.00028) (0.00094)
[ 2.58771] [-1.24513] [-1.31872] [-1.14388] [ 3.56955] [-0.12801]
R-squared 0.656340 0.384917 0.378814 0.564097 0.986507 0.812460
Adj. R-squared 0.608276 0.298892 0.291935 0.503131 0.984620 0.786231
Sum sq. resids 0.007321 0.004796 0.005066 0.003660 0.000116 0.001338
S.E. equation 0.007155 0.005791 0.005952 0.005059 0.000900 0.003059
F-statistic 13.65546 4.474450 4.360239 9.252721 522.7662 30.97520
Log likelihood 588.6774 623.3584 618.8741 645.5280 928.6676 728.0423
Akaike AIC -6.922896 -7.345834 -7.291147 -7.616195 -11.06912 -8.622468
Schwarz SC -6.525961 -6.948900 -6.894213 -7.219261 -10.67218 -8.225533
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.) 8.02E-30
Determinant resid covariance 3.53E-30
Log likelihood 4161.452
Akaike information criterion -49.06649
Schwarz criterion -46.45806
Vector Error Correction Estimates
Sample (adjusted): 2001M05 2014M12
Included observations: 164 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
A(2,1)=0, A(2,2)=0
Convergence achieved after 13 iterations.
Not all cointegrating vectors are identified
LR test for binding restrictions (rank = 2):
Chi-square(2) 12.48612
Probability 0.001944
Cointegrating Eq: CointEq1 CointEq2
CREDIT(-1) -7.983624 21.05336
RR(-1) 2.423691 51.83295
RC(-1) -91.19442 -30.30432
RL(-1) 142.0708 -4.156066
IPI_TC(-1) 2.889696 -23.49603
CPI(-1) 19.67526 -31.80458
C 0.560337 -50.50358
Error Correction: D(CREDIT) D(RR) D(RC) D(RL) D(IPI_TC) D(CPI)
CointEq1 -0.000341 0.000000 -0.000179 -0.002518 -7.31E-05 0.000472
(0.00055) (0.00000) (0.00046) (0.00039) (7.0E-05) (0.00024)
[-0.62295] [NA] [-0.38623] [-6.37743] [-1.04531] [ 1.99036]
CointEq2 0.001802 0.000000 0.000487 0.000272 0.000216 0.000496
114
(0.00053) (0.00000) (0.00045) (0.00038) (6.8E-05) (0.00023)
[ 3.40505] [NA] [ 1.08666] [ 0.71142] [ 3.18702] [ 2.15944]
D(CREDIT(-1)) 0.402997 -0.048632 -0.067079 -0.072486 -0.002236 0.039714
(0.08910) (0.07563) (0.07551) (0.06441) (0.01139) (0.03874)
[ 4.52321] [-0.64301] [-0.88832] [-1.12534] [-0.19625] [ 1.02515]
D(CREDIT(-2)) 0.139918 0.183288 -0.041740 -0.084031 -0.017133 -0.002606
(0.09519) (0.08081) (0.08068) (0.06882) (0.01217) (0.04139)
[ 1.46983] [ 2.26818] [-0.51735] [-1.22101] [-1.40740] [-0.06295]
D(CREDIT(-3)) -0.083317 -0.022816 0.044223 -0.018313 -0.015857 0.044356
(0.09290) (0.07886) (0.07874) (0.06716) (0.01188) (0.04039)
[-0.89683] [-0.28931] [ 0.56165] [-0.27266] [-1.33474] [ 1.09808]
D(RR(-1)) 0.086056 0.104833 -0.109834 -0.051482 -0.004437 -0.002329
(0.09600) (0.08149) (0.08136) (0.06940) (0.01228) (0.04174)
[ 0.89643] [ 1.28642] [-1.34992] [-0.74177] [-0.36142] [-0.05579]
D(RR(-2)) 0.014401 0.048804 -0.094130 -0.072818 0.004206 0.035722
(0.09411) (0.07989) (0.07976) (0.06804) (0.01204) (0.04092)
[ 0.15302] [ 0.61089] [-1.18009] [-1.07022] [ 0.34951] [ 0.87296]
D(RR(-3)) -0.090647 0.078195 0.076769 0.082639 -0.014016 0.021090
(0.08828) (0.07494) (0.07482) (0.06382) (0.01129) (0.03838)
[-1.02686] [ 1.04349] [ 1.02608] [ 1.29488] [-1.24157] [ 0.54947]
D(RC(-1)) -0.256033 -0.068671 -0.160147 0.221669 0.010345 0.151111
(0.10833) (0.09196) (0.09181) (0.07832) (0.01385) (0.04710)
[-2.36346] [-0.74676] [-1.74425] [ 2.83036] [ 0.74673] [ 3.20812]
D(RC(-2)) -0.088337 -0.182509 -0.254000 -0.163520 -0.005411 -0.113385
(0.11147) (0.09462) (0.09447) (0.08059) (0.01425) (0.04847)
[-0.79250] [-1.92882] [-2.68861] [-2.02915] [-0.37959] [-2.33944]
D(RC(-3)) -0.047491 -0.076440 -0.113077 -0.068567 -0.018190 0.009502
(0.11374) (0.09655) (0.09640) (0.08223) (0.01454) (0.04945)
[-0.41755] [-0.79172] [-1.17304] [-0.83387] [-1.25062] [ 0.19214]
D(RL(-1)) -0.206154 0.430497 0.125910 0.153252 -0.002994 -0.047149
(0.10488) (0.08903) (0.08889) (0.07582) (0.01341) (0.04560)
[-1.96569] [ 4.83552] [ 1.41652] [ 2.02121] [-0.22326] [-1.03393]
D(RL(-2)) -0.001366 0.331790 0.303488 0.271455 0.019486 0.147254
(0.11497) (0.09760) (0.09744) (0.08312) (0.01470) (0.04999)
[-0.01188] [ 3.39965] [ 3.11457] [ 3.26589] [ 1.32539] [ 2.94569]
D(RL(-3)) -0.007294 0.053623 0.295976 0.023028 -0.013150 -0.248867
(0.11815) (0.10030) (0.10014) (0.08542) (0.01511) (0.05137)
[-0.06173] [ 0.53464] [ 2.95567] [ 0.26959] [-0.87032] [-4.84429]
D(IPI_TC(-1)) 0.477323 -0.205911 -0.037532 0.209967 2.327404 -0.040576
(0.41312) (0.35070) (0.35014) (0.29867) (0.05283) (0.17963)
[ 1.15540] [-0.58715] [-0.10719] [ 0.70300] [ 44.0544] [-0.22589]
D(IPI_TC(-2)) -0.644652 0.527332 -0.002788 -0.293729 -2.133218 0.037379
(0.70535) (0.59876) (0.59781) (0.50994) (0.09020) (0.30669)
[-0.91395] [ 0.88071] [-0.00466] [-0.57601] [-23.6499] [ 0.12188]
D(IPI_TC(-3)) 0.358873 -0.365416 0.090173 0.184273 0.765147 -0.025141
(0.40076) (0.34020) (0.33966) (0.28973) (0.05125) (0.17425)
[ 0.89549] [-1.07413] [ 0.26548] [ 0.63601] [ 14.9301] [-0.14428]
D(CPI(-1)) -0.159779 0.144430 0.487953 0.466344 -0.031590 0.853141
(0.18878) (0.16025) (0.16000) (0.13648) (0.02414) (0.08208)
[-0.84636] [ 0.90125] [ 3.04967] [ 3.41687] [-1.30855] [ 10.3934]
115
D(CPI(-2)) 0.102071 -0.065231 0.073418 0.028745 -0.029657 -0.219641
(0.23510) (0.19957) (0.19926) (0.16997) (0.03006) (0.10222)
[ 0.43416] [-0.32686] [ 0.36846] [ 0.16912] [-0.98645] [-2.14864]
D(CPI(-3)) 0.134031 -0.020208 -0.172380 0.149934 0.038312 0.106257
(0.18219) (0.15465) (0.15441) (0.13171) (0.02330) (0.07922)
[ 0.73568] [-0.13067] [-1.11638] [ 1.13833] [ 1.64444] [ 1.34135]
C 0.008578 -0.002230 -0.001771 -0.001808 0.001210 0.000389
(0.00247) (0.00210) (0.00209) (0.00178) (0.00032) (0.00107)
[ 3.47465] [-1.06426] [-0.84643] [-1.01306] [ 3.83340] [ 0.36230]
R-squared 0.669570 0.349479 0.379951 0.561805 0.986593 0.813466
Adj. R-squared 0.623356 0.258497 0.293230 0.500519 0.984718 0.787378
Sum sq. resids 0.007039 0.005072 0.005056 0.003679 0.000115 0.001331
S.E. equation 0.007016 0.005956 0.005946 0.005072 0.000897 0.003051
F-statistic 14.48850 3.841183 4.381338 9.166930 526.1509 31.18086
Log likelihood 591.8967 618.7650 619.0242 645.0980 929.1897 728.4835
Akaike AIC -6.962154 -7.289817 -7.292979 -7.610951 -11.07548 -8.627847
Schwarz SC -6.565220 -6.892883 -6.896045 -7.214017 -10.67855 -8.230913
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.) 8.09E-30
Determinant resid covariance 3.56E-30
Log likelihood 4159.777
Akaike information criterion -49.04606
Schwarz criterion -46.43763
Vector Error Correction Estimates
Sample (adjusted): 2001M05 2014M12
Included observations: 164 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
A(3,1)=0, A(3,2)=0
Convergence achieved after 8 iterations.
Not all cointegrating vectors are identified
LR test for binding restrictions (rank = 2):
Chi-square(2) 0.662030
Probability 0.718194
Cointegrating Eq: CointEq1 CointEq2
CREDIT(-1) -7.875677 21.98855
RR(-1) 5.230070 65.32929
RC(-1) -88.19380 2.042957
RL(-1) 138.8997 -31.30224
IPI_TC(-1) 2.177143 -25.90559
CPI(-1) 20.30076 -31.43264
C -0.548866 -54.06178
Error Correction: D(CREDIT) D(RR) D(RC) D(RL) D(IPI_TC) D(CPI)
CointEq1 -0.000402 -0.000665 0.000000 -0.002435 -7.46E-05 0.000485
(0.00054) (0.00045) (0.00000) (0.00038) (7.0E-05) (0.00022)
[-0.73974] [-1.46551] [NA] [-6.44837] [-1.06371] [ 2.22299]
116
CointEq2 0.001804 -0.001621 0.000000 0.000251 0.000212 0.000332
(0.00054) (0.00045) (0.00000) (0.00038) (7.0E-05) (0.00022)
[ 3.32485] [-3.57435] [NA] [ 0.66533] [ 3.02602] [ 1.52070]
D(CREDIT(-1)) 0.412839 -0.026654 -0.049931 -0.073870 -0.001486 0.046500
(0.08901) (0.07348) (0.07539) (0.06418) (0.01135) (0.03875)
[ 4.63801] [-0.36273] [-0.66230] [-1.15106] [-0.13089] [ 1.20011]
D(CREDIT(-2)) 0.149898 0.194676 -0.029277 -0.085033 -0.016213 0.003006
(0.09516) (0.07856) (0.08060) (0.06861) (0.01214) (0.04142)
[ 1.57523] [ 2.47813] [-0.36326] [-1.23940] [-1.33591] [ 0.07256]
D(CREDIT(-3)) -0.076294 -0.004228 0.059806 -0.018357 -0.015259 0.049999
(0.09304) (0.07681) (0.07880) (0.06708) (0.01187) (0.04050)
[-0.82005] [-0.05505] [ 0.75898] [-0.27367] [-1.28604] [ 1.23461]
D(RR(-1)) 0.085270 0.110746 -0.106545 -0.051197 -0.004551 -0.001671
(0.09643) (0.07960) (0.08167) (0.06952) (0.01230) (0.04197)
[ 0.88429] [ 1.39121] [-1.30459] [-0.73642] [-0.37008] [-0.03982]
D(RR(-2)) 0.016762 0.059870 -0.086925 -0.071639 0.004361 0.037810
(0.09448) (0.07800) (0.08002) (0.06812) (0.01205) (0.04113)
[ 0.17741] [ 0.76757] [-1.08624] [-1.05164] [ 0.36191] [ 0.91934]
D(RR(-3)) -0.083493 0.091949 0.086550 0.084331 -0.013443 0.024624
(0.08846) (0.07302) (0.07492) (0.06378) (0.01128) (0.03850)
[-0.94389] [ 1.25916] [ 1.15524] [ 1.32232] [-1.19160] [ 0.63952]
D(RC(-1)) -0.287435 -0.049288 -0.165370 0.220974 0.006957 0.143350
(0.10877) (0.08980) (0.09213) (0.07842) (0.01387) (0.04735)
[-2.64255] [-0.54889] [-1.79505] [ 2.81775] [ 0.50150] [ 3.02763]
D(RC(-2)) -0.108113 -0.162368 -0.255613 -0.164788 -0.007748 -0.117880
(0.11222) (0.09264) (0.09505) (0.08091) (0.01431) (0.04885)
[-0.96340] [-1.75263] [-2.68935] [-2.03672] [-0.54139] [-2.41316]
D(RC(-3)) -0.053477 -0.064171 -0.110309 -0.069988 -0.018988 0.009195
(0.11438) (0.09443) (0.09688) (0.08247) (0.01459) (0.04979)
[-0.46752] [-0.67958] [-1.13863] [-0.84867] [-1.30166] [ 0.18468]
D(RL(-1)) -0.161372 0.390703 0.132515 0.153953 0.002181 -0.035757
(0.10594) (0.08746) (0.08973) (0.07638) (0.01351) (0.04611)
[-1.52325] [ 4.46739] [ 1.47688] [ 2.01563] [ 0.16141] [-0.77541]
D(RL(-2)) 0.037598 0.312405 0.315330 0.272401 0.023756 0.158477
(0.11451) (0.09453) (0.09699) (0.08256) (0.01460) (0.04985)
[ 0.32833] [ 3.30466] [ 3.25122] [ 3.29937] [ 1.62664] [ 3.17930]
D(RL(-3)) 0.018369 0.052981 0.307289 0.023651 -0.010582 -0.240828
(0.11781) (0.09726) (0.09978) (0.08494) (0.01503) (0.05128)
[ 0.15592] [ 0.54474] [ 3.07953] [ 0.27844] [-0.70428] [-4.69602]
D(IPI_TC(-1)) 0.610636 -0.304690 0.002687 0.198186 2.342672 0.002449
(0.41290) (0.34086) (0.34971) (0.29769) (0.05266) (0.17973)
[ 1.47890] [-0.89388] [ 0.00768] [ 0.66574] [ 44.4881] [ 0.01363]
D(IPI_TC(-2)) -0.861444 0.684952 -0.070568 -0.273561 -2.158021 -0.033480
(0.70493) (0.58195) (0.59705) (0.50824) (0.08990) (0.30685)
[-1.22202] [ 1.17700] [-0.11819] [-0.53825] [-24.0039] [-0.10911]
D(IPI_TC(-3)) 0.507987 -0.504667 0.122085 0.169240 0.782574 0.020242
(0.40320) (0.33285) (0.34149) (0.29070) (0.05142) (0.17551)
[ 1.25990] [-1.51619] [ 0.35751] [ 0.58219] [ 15.2190] [ 0.11534]
D(CPI(-1)) -0.162755 0.161862 0.490301 0.466122 -0.032296 0.852703
117
(0.18970) (0.15661) (0.16067) (0.13677) (0.02419) (0.08258)
[-0.85795] [ 1.03356] [ 3.05161] [ 3.40804] [-1.33490] [ 10.3264]
D(CPI(-2)) 0.095573 -0.056678 0.070396 0.028516 -0.030580 -0.222092
(0.23608) (0.19489) (0.19995) (0.17021) (0.03011) (0.10276)
[ 0.40484] [-0.29082] [ 0.35207] [ 0.16754] [-1.01568] [-2.16122]
D(CPI(-3)) 0.119816 0.006580 -0.173503 0.144699 0.036142 0.103425
(0.18303) (0.15109) (0.15502) (0.13196) (0.02334) (0.07967)
[ 0.65464] [ 0.04355] [-1.11926] [ 1.09656] [ 1.54838] [ 1.29818]
C 0.007621 -0.002896 -0.002693 -0.001661 0.001121 -8.67E-05
(0.00234) (0.00194) (0.00199) (0.00169) (0.00030) (0.00102)
[ 3.25032] [-1.49633] [-1.35608] [-0.98236] [ 3.74708] [-0.08496]
R-squared 0.666824 0.379658 0.375658 0.560584 0.986555 0.811500
Adj. R-squared 0.620226 0.292897 0.288338 0.499127 0.984674 0.785137
Sum sq. resids 0.007098 0.004837 0.005091 0.003689 0.000115 0.001345
S.E. equation 0.007045 0.005816 0.005967 0.005079 0.000898 0.003067
F-statistic 14.31014 4.375904 4.302058 9.121586 524.6285 30.78109
Log likelihood 591.2180 622.6603 618.4585 644.8698 928.9552 727.6238
Akaike AIC -6.953878 -7.337321 -7.286080 -7.608168 -11.07262 -8.617363
Schwarz SC -6.556944 -6.940387 -6.889146 -7.211234 -10.67569 -8.220429
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.) 7.91E-30
Determinant resid covariance 3.48E-30
Log likelihood 4165.689
Akaike information criterion -49.11815
Schwarz criterion -46.50973
Vector Error Correction Estimates
Sample (adjusted): 2001M05 2014M12
Included observations: 164 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
A(4,1)=0, A(4,2)=0
Convergence achieved after 22 iterations.
Not all cointegrating vectors are identified
LR test for binding restrictions (rank = 2):
Chi-square(2) 35.69119
Probability 0.000000
Cointegrating Eq: CointEq1 CointEq2
CREDIT(-1) -5.332361 21.29128
RR(-1) 4.044024 64.61669
RC(-1) -107.9493 -0.959506
RL(-1) 148.6803 -28.13271
IPI_TC(-1) -3.156392 -24.88818
CPI(-1) 20.57182 -30.85047
C -13.93856 -51.50137
Error Correction: D(CREDIT) D(RR) D(RC) D(RL) D(IPI_TC) D(CPI)
CointEq1 -0.001111 -0.000839 0.000830 0.000000 -8.36E-05 0.000837
118
(0.00051) (0.00043) (0.00042) (0.00000) (6.6E-05) (0.00022)
[-2.19514] [-1.96735] [ 1.99834] [NA] [-1.26973] [ 3.88548]
CointEq2 0.001854 -0.001588 0.000197 0.000000 0.000213 0.000356
(0.00054) (0.00045) (0.00044) (0.00000) (7.0E-05) (0.00023)
[ 3.45693] [-3.51295] [ 0.44732] [NA] [ 3.05533] [ 1.55956]
D(CREDIT(-1)) 0.397716 -0.031993 -0.043753 -0.066584 -0.001792 0.051418
(0.08863) (0.07377) (0.07568) (0.06755) (0.01140) (0.03857)
[ 4.48725] [-0.43366] [-0.57815] [-0.98574] [-0.15721] [ 1.33322]
D(CREDIT(-2)) 0.139083 0.191910 -0.022966 -0.071676 -0.016165 0.006011
(0.09440) (0.07857) (0.08060) (0.07194) (0.01214) (0.04108)
[ 1.47338] [ 2.44251] [-0.28494] [-0.99632] [-1.33145] [ 0.14634]
D(CREDIT(-3)) -0.093694 -0.007988 0.074189 0.017236 -0.014630 0.054644
(0.09156) (0.07621) (0.07818) (0.06978) (0.01178) (0.03984)
[-1.02326] [-0.10481] [ 0.94893] [ 0.24699] [-1.24236] [ 1.37149]
D(RR(-1)) 0.076827 0.108416 -0.100949 -0.043605 -0.004564 0.001240
(0.09570) (0.07965) (0.08171) (0.07293) (0.01231) (0.04164)
[ 0.80282] [ 1.36112] [-1.23546] [-0.59790] [-0.37080] [ 0.02978]
D(RR(-2)) 0.012522 0.060182 -0.082999 -0.055128 0.004706 0.037903
(0.09356) (0.07787) (0.07988) (0.07130) (0.01203) (0.04071)
[ 0.13384] [ 0.77283] [-1.03898] [-0.77317] [ 0.39113] [ 0.93103]
D(RR(-3)) -0.080660 0.095058 0.083039 0.091397 -0.013324 0.021371
(0.08791) (0.07317) (0.07506) (0.06700) (0.01131) (0.03825)
[-0.91751] [ 1.29909] [ 1.10626] [ 1.36417] [-1.17846] [ 0.55867]
D(RC(-1)) -0.317578 -0.064343 -0.141410 0.237791 0.007073 0.158339
(0.10946) (0.09110) (0.09346) (0.08342) (0.01408) (0.04763)
[-2.90145] [-0.70625] [-1.51308] [ 2.85063] [ 0.50244] [ 3.32452]
D(RC(-2)) -0.127243 -0.174658 -0.249618 -0.190500 -0.008987 -0.106983
(0.11216) (0.09335) (0.09577) (0.08548) (0.01442) (0.04880)
[-1.13450] [-1.87092] [-2.60654] [-2.22868] [-0.62301] [-2.19211]
D(RC(-3)) -0.070476 -0.073079 -0.105833 -0.090594 -0.020149 0.017702
(0.11403) (0.09491) (0.09736) (0.08690) (0.01467) (0.04962)
[-0.61805] [-0.76996] [-1.08699] [-1.04248] [-1.37387] [ 0.35677]
D(RL(-1)) -0.140243 0.408021 0.121686 0.173136 0.002939 -0.049542
(0.10647) (0.08862) (0.09091) (0.08114) (0.01369) (0.04633)
[-1.31717] [ 4.60402] [ 1.33850] [ 2.13368] [ 0.21459] [-1.06933]
D(RL(-2)) 0.058990 0.327555 0.301647 0.285565 0.024342 0.145005
(0.11509) (0.09580) (0.09827) (0.08771) (0.01480) (0.05008)
[ 0.51254] [ 3.41925] [ 3.06952] [ 3.25565] [ 1.64443] [ 2.89542]
D(RL(-3)) 0.036043 0.062175 0.288675 0.005724 -0.011084 -0.250487
(0.11738) (0.09770) (0.10022) (0.08945) (0.01510) (0.05107)
[ 0.30708] [ 0.63641] [ 2.88040] [ 0.06399] [-0.73426] [-4.90442]
D(IPI_TC(-1)) 0.530712 -0.312772 0.031813 0.177876 2.338244 0.026445
(0.41180) (0.34276) (0.35161) (0.31384) (0.05296) (0.17919)
[ 1.28877] [-0.91251] [ 0.09048] [ 0.56678] [ 44.1489] [ 0.14758]
D(IPI_TC(-2)) -0.723779 0.701428 -0.122834 -0.243329 -2.150734 -0.075895
(0.70326) (0.58536) (0.60048) (0.53596) (0.09045) (0.30601)
[-1.02918] [ 1.19829] [-0.20456] [-0.45400] [-23.7786] [-0.24801]
D(IPI_TC(-3)) 0.414253 -0.515917 0.155146 0.122083 0.776726 0.050911
(0.40296) (0.33540) (0.34407) (0.30710) (0.05183) (0.17534)
[ 1.02803] [-1.53821] [ 0.45092] [ 0.39754] [ 14.9873] [ 0.29036]
119
D(CPI(-1)) -0.134373 0.167521 0.470074 0.449031 -0.031958 0.842316
(0.18861) (0.15699) (0.16104) (0.14374) (0.02426) (0.08207)
[-0.71245] [ 1.06711] [ 2.91896] [ 3.12393] [-1.31747] [ 10.2635]
D(CPI(-2)) 0.110231 -0.055566 0.055190 -0.004371 -0.031222 -0.226088
(0.23389) (0.19468) (0.19971) (0.17825) (0.03008) (0.10177)
[ 0.47129] [-0.28542] [ 0.27635] [-0.02452] [-1.03790] [-2.22147]
D(CPI(-3)) 0.129635 -0.003521 -0.198056 0.053865 0.033612 0.106273
(0.17859) (0.14865) (0.15249) (0.13610) (0.02297) (0.07771)
[ 0.72589] [-0.02369] [-1.29883] [ 0.39576] [ 1.46336] [ 1.36757]
C 0.008458 -0.002608 -0.002918 -0.001494 0.001159 -0.000373
(0.00239) (0.00199) (0.00204) (0.00182) (0.00031) (0.00104)
[ 3.54452] [-1.31305] [-1.43212] [-0.82137] [ 3.77731] [-0.35966]
R-squared 0.672213 0.379580 0.375723 0.516957 0.986547 0.814683
Adj. R-squared 0.626369 0.292808 0.288412 0.449399 0.984666 0.788764
Sum sq. resids 0.006983 0.004838 0.005091 0.004056 0.000116 0.001322
S.E. equation 0.006988 0.005816 0.005967 0.005326 0.000899 0.003041
F-statistic 14.66296 4.374459 4.303255 7.651997 524.3377 31.43245
Log likelihood 592.5552 622.6500 618.4671 637.1078 928.9104 729.0199
Akaike AIC -6.970185 -7.337195 -7.286184 -7.513510 -11.07208 -8.634389
Schwarz SC -6.573251 -6.940261 -6.889250 -7.116576 -10.67514 -8.237455
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.) 8.45E-30
Determinant resid covariance 3.71E-30
Log likelihood 4148.174
Akaike information criterion -48.90456
Schwarz criterion -46.29614
Vector Error Correction Estimates
Sample (adjusted): 2001M05 2014M12
Included observations: 164 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
A(5,1)=0, A(5,2)=0
Convergence achieved after 14 iterations.
Not all cointegrating vectors are identified
LR test for binding restrictions (rank = 2):
Chi-square(2) 10.79092
Probability 0.004537
Cointegrating Eq: CointEq1 CointEq2
CREDIT(-1) -7.825812 21.89922
RR(-1) 4.378310 69.99292
RC(-1) -87.12097 3.761161
RL(-1) 138.9100 -36.03212
IPI_TC(-1) 2.179393 -25.81449
CPI(-1) 20.03978 -30.81405
C -0.131280 -55.68169
Error Correction: D(CREDIT) D(RR) D(RC) D(RL) D(IPI_TC) D(CPI)
120
CointEq1 -0.000293 -0.000630 -0.000190 -0.002521 0.000000 0.000434
(0.00055) (0.00045) (0.00047) (0.00039) (0.00000) (0.00024)
[-0.53515] [-1.39334] [-0.40887] [-6.38894] [NA] [ 1.81446]
CointEq2 0.001531 -0.001737 0.000262 0.000431 0.000000 0.000414
(0.00054) (0.00045) (0.00046) (0.00039) (0.00000) (0.00024)
[ 2.81381] [-3.86452] [ 0.56532] [ 1.10021] [NA] [ 1.73995]
D(CREDIT(-1)) 0.416778 -0.024368 -0.050063 -0.074923 -0.000336 0.046561
(0.08901) (0.07314) (0.07525) (0.06397) (0.01139) (0.03869)
[ 4.68219] [-0.33316] [-0.66527] [-1.17117] [-0.02950] [ 1.20352]
D(CREDIT(-2)) 0.153358 0.195591 -0.029376 -0.085571 -0.015333 0.003158
(0.09520) (0.07823) (0.08049) (0.06842) (0.01218) (0.04138)
[ 1.61083] [ 2.50019] [-0.36498] [-1.25063] [-1.25884] [ 0.07632]
D(CREDIT(-3)) -0.072016 -0.002125 0.059244 -0.019629 -0.014062 0.050000
(0.09303) (0.07644) (0.07865) (0.06686) (0.01190) (0.04043)
[-0.77412] [-0.02780] [ 0.75329] [-0.29359] [-1.18149] [ 1.23663]
D(RR(-1)) 0.080366 0.116535 -0.107779 -0.054563 -0.004943 -0.002673
(0.09679) (0.07953) (0.08182) (0.06956) (0.01238) (0.04207)
[ 0.83032] [ 1.46525] [-1.31719] [-0.78438] [-0.39917] [-0.06355]
D(RR(-2)) 0.012836 0.065753 -0.088057 -0.075376 0.004212 0.036959
(0.09494) (0.07801) (0.08026) (0.06823) (0.01215) (0.04126)
[ 0.13520] [ 0.84285] [-1.09713] [-1.10469] [ 0.34678] [ 0.89569]
D(RR(-3)) -0.086585 0.097053 0.085896 0.080742 -0.013478 0.024079
(0.08886) (0.07301) (0.07512) (0.06386) (0.01137) (0.03862)
[-0.97444] [ 1.32923] [ 1.14348] [ 1.26434] [-1.18559] [ 0.62350]
D(RC(-1)) -0.284815 -0.048344 -0.166174 0.222356 0.007562 0.142865
(0.10878) (0.08939) (0.09196) (0.07818) (0.01392) (0.04728)
[-2.61823] [-0.54084] [-1.80696] [ 2.84414] [ 0.54332] [ 3.02176]
D(RC(-2)) -0.103061 -0.164520 -0.255024 -0.161910 -0.006939 -0.117537
(0.11230) (0.09228) (0.09493) (0.08071) (0.01437) (0.04881)
[-0.91776] [-1.78293] [-2.68631] [-2.00616] [-0.48294] [-2.40823]
D(RC(-3)) -0.048016 -0.066773 -0.109655 -0.067571 -0.018118 0.009733
(0.11445) (0.09405) (0.09676) (0.08226) (0.01464) (0.04974)
[-0.41952] [-0.71000] [-1.13330] [-0.82147] [-1.23732] [ 0.19567]
D(RL(-1)) -0.157619 0.383921 0.133631 0.155021 0.002285 -0.034322
(0.10632) (0.08737) (0.08988) (0.07641) (0.01360) (0.04621)
[-1.48247] [ 4.39443] [ 1.48672] [ 2.02873] [ 0.16800] [-0.74274]
D(RL(-2)) 0.042463 0.307161 0.316603 0.273107 0.024291 0.159876
(0.11468) (0.09423) (0.09695) (0.08242) (0.01467) (0.04984)
[ 0.37028] [ 3.25969] [ 3.26575] [ 3.31372] [ 1.65562] [ 3.20774]
D(RL(-3)) 0.025760 0.046715 0.309281 0.025993 -0.009628 -0.239155
(0.11791) (0.09688) (0.09968) (0.08474) (0.01508) (0.05124)
[ 0.21848] [ 0.48217] [ 3.10283] [ 0.30675] [-0.63823] [-4.66694]
D(IPI_TC(-1)) 0.660932 -0.346517 0.009246 0.218320 2.348852 0.010586
(0.41337) (0.33967) (0.34946) (0.29709) (0.05289) (0.17966)
[ 1.59888] [-1.02015] [ 0.02646] [ 0.73487] [ 44.4129] [ 0.05892]
D(IPI_TC(-2)) -0.940529 0.749419 -0.080471 -0.304543 -2.167886 -0.046060
(0.70556) (0.57976) (0.59647) (0.50708) (0.09027) (0.30665)
[-1.33303] [ 1.29263] [-0.13491] [-0.60058] [-24.0158] [-0.15020]
D(IPI_TC(-3)) 0.557520 -0.550438 0.128777 0.191222 0.788100 0.028630
121
(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
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
122
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]
123
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
Included observations: 164
Lags LM-Stat Prob
1 41.54673 0.2418
2 38.63354 0.3515
3 31.71519 0.6726
4 48.49292 0.0798
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
124
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
125
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
126
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