Luận án Phân tích kênh tín dụng ngân hàng trong cơ chế truyền dẫn tiền tử ở Việt nam: Tiếp cận bằng mô hình VECM

-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