(Luận văn) the impact of macroeconomic indicators on stock prices in vietnam , luận văn thạc sĩ

UNIVERSITY OF ECONOMICS HO CHI MINH CITY t to ng International School of Business hi ep - w n lo ad ju y th yi HUYNH THANH DUNG pl n ua al va n THE IMPACT OF ll fu oi m at nh MACROECONOMIC INDICATORS z z k jm ht vb ON STOCK PRICES IN VIETNAM om l.c gm MASTER OF BUSINESS (Honours) an Lu SUPERVISOR: Dr PHAM QUOC HUNG n va ey t re Ho Chi Minh City – 2013 i * ACKNOWLEDGEMENTS t to ng Firstly, I would like to express my very great appreciation to my supervisor hi ep – Dr Pham Quoc Hung – for his enthusiastic guidance, valuable and constructive w suggestions during the planning and development of this thesis n lo ad I would also like to thank all of my lecturers at International School of y th ju Business (ISB) – University of Economics Ho Chi Minh City (UEH) – for yi pl sharing their knowledge and experience during my master course Enthusiastic al n ua assistance provided by the ISB’s executive board and staffs was also greatly n va appreciated fu ll I am grateful to all my friends and classmates form MBus – ISB for their oi m at nh support z z Finally, I would like to express my special thanks to my wife for her k jm ht vb support and encouragement throughout my study om l.c gm an Lu n va ey t re ii ABSTRACT t to ng This study investigates the impact of macroeconomic indicators on hi ep Vietnamese stock prices using monthly data spanning from January 2008 to May 2013 Macroeconomic variables used in this study are industrial production index, w n lo lending interest rate, consumer price index (as a proxy for inflation), and exchange ad ju y th rate The study employs the unit root test, cointegraion test developed by Johansen yi and Jesulius (1990) and Vector Error Correction Model (VECM) in order to pl ua al examine the relationship between macroeconomic indicators and stock prices The n empirical results reveal that there is a cointegrated relationship between the stock va n price and four selected macroeconomic variables in Vietnam, indicating the ll fu oi m presence of long run equilibrium relationship In the long run, the industrial at nh production and interest rate have significant positive effect on stock prices In z contrast, consumer price index has significant negative impact on stock prices In z vb jm ht the short run, stock prices are only affected by itself and the interest rate at onemonth lag The industrial production index and consumer price index have no k gm effect on stock prices Furthermore, the findings show that the exchange rate does om l.c not influence stock prices in the short run as well as in the long run an Lu Keywords: Stock price, macroeconomic variables, cointegation, VECM n va ey t re iii TABLE OF CONTENT t to ACKNOWLEDGEMENTS i ng hi ep ABSTRACT ii w TABLE OF CONTENT iii n lo ad LIST OF FIGURES vi y th ju LIST OF TABLES vii yi pl LIST OF ABBREVIATIONS ix ua al CHAPTER 1: INTRODUCTION n va n 1.1 Research background ll fu oi m 1.2 Research problems at nh 1.3 Research objectives z 1.4 Significance of the research z vb jm ht 1.6 Research methodology and scope k 1.7 Research structure gm om l.c CHAPTER 2: LITERATURE REVIEW 2.1 Theoretical framework an Lu 2.1.1 The top-down approach n va 2.1.2 The dividend valuation model 10 2.3 Relationship between interest rate and stock price 13 ey t re 2.2 Relationship between industrial production and stock price 11 iv 2.4 Relationship between inflation and stock price 17 2.5 Relationship between exchange rate and stock price 20 t to ng 2.6 Hypotheses summary 23 hi ep 2.7 Research model 24 w n CHAPTER 3: RESEARCH METHODOLOGY 25 lo ad 3.1 Research process 25 y th ju 3.2 Measurement of variables 26 yi pl 3.2.1 Dependent variable 26 ua al n 3.2.2 Independent variables 26 va n 3.3 Data collection and sample size 27 ll fu oi m 3.4 Model specification 28 at nh 3.5 Method of data analysis 28 z 3.5.1 Unit root test 29 z vb jm ht 3.5.2 The order of integration 31 k 3.5.3 Cointegration concept 31 gm om l.c 3.5.4 Cointegration test 32 3.5.5 Vector Error Correction Model 33 an Lu CHAPTER 4: DATA ANALYSIS AND RESULTS 35 n va 4.1 Descriptive statistics 35 4.3 Unit root test 38 ey t re 4.2 Correlation analysis 37 v 4.4 Cointegration test 39 4.4.1 Optimal lag length selection 39 t to ng 4.4.2 Cointegration test 40 hi ep 4.5 Hypotheses testing 42 w n 4.5.1 The long run relationship 43 lo ad 4.5.2 The short run relationship 46 y th ju 4.6 Diagnostic tests 51 yi pl 4.6.1 Autocorrelation test 51 ua al 4.6.2 Normality test 52 n va n 4.6.3 Heteroskedasticity test 53 ll fu oi m CHAPTER 5: CONCLUSIONS AND IMPLICATIONS 54 at nh 5.1 Conclusions 54 z 5.2 Implications 56 z vb jm ht 5.3 Limitations and further research 57 k REFERENCES 59 l.c gm APPENDICES 62 om an Lu n va ey t re vi LIST OF FIGURES t to ng Figure 1.1 VN-Index from January 2001 to May 2013 hi ep Figure 2.1 VN-Index and Industrial Production Index 13 w Figure 2.2 VN-Index and Interest Rate 17 n lo ad Figure 2.3 VN-Index and CPI 20 y th Figure 2.4 VN-Index and Exchange Rate 23 ju yi pl Figure 2.5 Conceptual model 24 al n ua Figure 3.1 Research process 25 n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re vii LIST OF TABLES t to ng Table 3.1 Description of variables 27 hi ep Table 4.1 Descriptive information 35 w Table 4.2 Correlation matrix 37 n lo ad Table 4.3 Result of unit root test at levels 38 y th Table 4.4 Result of unit root test after first differencing 38 ju yi pl Table 4.5 VAR lag order selection criteria 40 al n ua Table 4.6 Result of cointegration test 41 va Table 4.7 Result of cointegrating vector 43 n fu ll Table 4.8 Result of long run relationship 44 oi m at nh Table 4.9 Result of short run relationship 47 z Table 4.10 Hypotheses testing summary 50 z vb Table 4.11 Result of autocorrelation 51 jm ht Table 4.12 Result of normality test 52 k gm l.c Table 4.13 Result of heteroskedasticity 53 om Table A1 Correlation Matrix 62 an Lu Table A2 Result of ADF test for LVN 63 n va Table A3 Result of ADF test for D(LVN) 63 Table A6 Result of ADF test for LIR 66 ey Table A5 Result of ADF test for D(LIP) 65 t re Table A4 Result of ADF test for LIP 64 viii Table A7 Result of ADF test for D(LIR) 67 Table A8 Result of ADF test for LCPI 67 t to ng Table A9 Result of ADF test for D(LCPI) 68 hi ep Table A10 Result of ADF test for LEXR 69 w Table A11 Result of ADF test for D(LEXR) 70 n lo ad Table A12 Result of optimal lag length selection 71 y th ju Table A13 Result of cointegration test 71 yi pl Table A14 Result of VECM 75 ua al Table A15 Result of coefficients of ECM 76 n va n Table A16 Serial correlation LM test 77 ll fu oi m Table A17 Correlogram Q-statistics 79 at nh Table A18 Heteroskedasticity test 80 z z k jm ht vb om l.c gm an Lu n va ey t re ix LIST OF ABBREVIATIONS t to ng hi ep ADF Augmented Dickey Fuller CAPM Capital Asset Pricing Model CPI Consumer Price Index w n Dividend Valuation Model lo DVM ad Error Correction Term yi ECT Error Correction Mechanism ju y th ECM pl Econometric Views EXR Exchange Rate GDP Gross Domestic Product GNP Gross National Product GSO General Statistic Office HNX-Index Hanoi Stock Price Index HNX Hanoi Stock Exchange HOSE Ho Chi Minh Stock Exchange IFS International Financial Statistics IMF International Monetary Fund IPI Industrial Production Index IPO Initial Public Offering IR Interest Rate OLS Ordinary Least Squared SPSS Statistical Package for the Social Sciences n ua al EViews n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re 66 t to Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat ng 0.870856 0.054122 0.169896 92.88972 2.016391 S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.150606 -2.947204 -2.843391 -2.906519 hi ep w Table A6 Result of ADF test for LIR n lo Null Hypothesis: LIR has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=10) ad ju y th yi pl n ua al Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -0.269395 -2.602185 -1.946072 -1.613448 0.5851 n va t-Statistic ll fu *MacKinnon (1996) one-sided p-values oi m at nh z z LIR(-1) D(LIR(-1)) -0.000973 0.366532 0.003611 0.119080 -0.269395 3.078030 -0.001456 0.079733 -2.317835 -2.249799 -2.291076 n va Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.7885 0.0031 an Lu ey t re 0.135022 0.120842 0.074760 0.340933 75.01179 1.967159 Prob om R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat t-Statistic l.c Std Error gm Coefficient k Variable jm ht vb Augmented Dickey-Fuller Test Equation Dependent Variable: D(LIR) Method: Least Squares Date: 11/05/13 Time: 12:47 Sample (adjusted): 2008M03 2013M05 Included observations: 63 after adjustments 67 Table A7 Result of ADF test for D(LIR) t to Null Hypothesis: D(LIR) has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=10) ng hi Prob.* -3.765518 -2.602794 -1.946161 -1.613398 0.0003 ep t-Statistic w Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level n lo ad y th *MacKinnon (1996) one-sided p-values ju yi pl n ua al Augmented Dickey-Fuller Test Equation Dependent Variable: D(LIR,2) Method: Least Squares Date: 11/05/13 Time: 12:48 Sample (adjusted): 2008M04 2013M05 Included observations: 62 after adjustments n va ll fu m Coefficient D(LIR(-1)) D(LIR(-1),2) -0.471767 -0.253811 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.416620 0.406897 0.064450 0.249227 83.03805 1.757060 oi Variable Std Error nh at 0.125286 0.112718 z t-Statistic Prob -3.765518 -2.251737 0.0004 0.0280 z k jm ht vb Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter om l.c gm -0.004488 0.083687 -2.614131 -2.545513 -2.587190 an Lu Table A8 Result of ADF test for LCPI va ey t re Augmented Dickey-Fuller test statistic n Null Hypothesis: LCPI has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=10) t-Statistic Prob.* -0.937992 0.3066 68 Test critical values: 1% level 5% level 10% level -2.602185 -1.946072 -1.613448 t to ng *MacKinnon (1996) one-sided p-values hi ep Augmented Dickey-Fuller Test Equation Dependent Variable: D(LCPI) Method: Least Squares Date: 11/05/13 Time: 12:49 Sample (adjusted): 2008M03 2013M05 Included observations: 63 after adjustments w n lo ad ju y th yi Variable pl Std Error t-Statistic Prob -0.006910 0.590070 0.007367 0.102049 -0.937992 5.782245 0.3519 0.0000 n ua al LCPI(-1) D(LCPI(-1)) Coefficient 0.357878 0.347352 0.144005 1.264987 33.71116 2.239980 n va ll fu Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter -0.014323 0.178254 -1.006703 -0.938667 -0.979945 oi m at nh R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat z z k l.c gm Null Hypothesis: D(LCPI) has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=10) jm ht vb Table A9 Result of ADF test for D(LCPI) t-Statistic 0.0001 an Lu n va -3.997763 -2.602185 -1.946072 -1.613448 om Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* ey t re *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LCPI,2) 69 t to Method: Least Squares Date: 11/05/13 Time: 12:50 Sample (adjusted): 2008M03 2013M05 Included observations: 63 after adjustments ng Coefficient Std Error t-Statistic Prob D(LCPI(-1)) -0.407432 0.101915 -3.997763 0.0002 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.204781 0.204781 0.143866 1.283233 33.26007 2.227993 hi Variable ep w n lo ad ju y th Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter -0.002302 0.161329 -1.024129 -0.990111 -1.010750 yi pl ua al n Table A10 Result of ADF test for LEXR va n Null Hypothesis: LEXR has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=10) ll fu oi m Prob.* 2.240533 -2.601596 -1.945987 -1.613496 0.9936 z z k jm ht vb Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level at nh t-Statistic l.c gm *MacKinnon (1996) one-sided p-values n Std Error t-Statistic Prob 0.000408 0.000182 2.240533 0.0286 -0.000835 Mean dependent var 0.004032 ey Coefficient t re R-squared va LEXR(-1) an Lu Variable om Augmented Dickey-Fuller Test Equation Dependent Variable: D(LEXR) Method: Least Squares Date: 11/05/13 Time: 12:52 Sample (adjusted): 2008M02 2013M05 Included observations: 64 after adjustments 70 t to Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat ng -0.000835 0.014321 0.012921 181.4366 2.116637 S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.014315 -5.638644 -5.604912 -5.625355 hi ep w Table A11 Result of ADF test for D(LEXR) n lo Null Hypothesis: D(LEXR) has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=10) ad ju y th yi pl n ua al Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -7.720233 -2.602185 -1.946072 -1.613448 0.0000 n va t-Statistic fu ll *MacKinnon (1996) one-sided p-values oi m at nh z z k jm ht vb Augmented Dickey-Fuller Test Equation Dependent Variable: D(LEXR,2) Method: Least Squares Date: 11/05/13 Time: 12:52 Sample (adjusted): 2008M03 2013M05 Included observations: 63 after adjustments -0.980047 0.126945 -7.720233 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.490138 0.490138 0.014994 0.013939 175.7178 1.999668 om l.c Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.0000 4.05E-05 0.020999 -5.546598 -5.512580 -5.533219 ey t re D(LEXR(-1)) Prob n t-Statistic va Std Error an Lu Coefficient gm Variable 71 Table A12 Result of optimal lag length selection t to ng hi ep VAR Lag Order Selection Criteria Endogenous variables: LVNI LIP LIR LCPI LEXR Exogenous variables: C Date: 11/04/13 Time: 20:44 Sample: 2008M01 2013M05 Included observations: 60 w n lo Lag ad 177.7837 454.7450 487.5484 514.5508 545.4526 570.9384 ju y th LR FPE AIC SC HQ NA 498.5303 53.57894 39.60353 40.17225* 28.88395 2.17e-09 4.90e-13 3.85e-13 3.76e-13 3.38e-13* 3.87e-13 -5.759456 -14.15817 -14.41828 -14.48503 -14.68175 -14.69795* -5.584928 -13.11099* -12.49846 -11.69257 -11.01665 -10.16020 -5.691188 -13.74856* -13.66734 -13.39274 -13.24813 -12.92298 yi pl ua al LogL n * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion n va ll fu oi m at nh z z Table A13 Result of cointegration test om 88.80380 63.87610 42.91525 25.87211 12.51798 0.0083 0.0592 0.3255 0.5879 0.6666 ey 98.53645 62.99521 33.22041 14.83909 4.517108 t re Prob.** n 0.436307 0.381364 0.256564 0.153363 0.070266 Statistic 0.05 Critical Value va None * At most At most At most At most an Lu No of CE(s) Eigenvalue l.c Trace gm Unrestricted Cointegration Rank Test (Trace) Hypothesized k jm ht vb Date: 11/04/13 Time: 15:11 Sample (adjusted): 2008M04 2013M05 Included observations: 62 after adjustments Trend assumption: Linear deterministic trend (restricted) Series: LVNI LIP LIR LCPI LEXR Lags interval (in first differences): to 72 t to Trace test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values ng Unrestricted Cointegration Rank Test (Maximum Eigenvalue) hi ep Hypothesized Max-Eigen w No of CE(s) Eigenvalue Prob.** 35.54124 29.77480 18.38132 10.32199 4.517108 38.33101 32.11832 25.82321 19.38704 12.51798 0.1010 0.0941 0.3487 0.5844 0.6666 n Statistic 0.05 Critical Value 0.436307 0.381364 0.256564 0.153363 0.070266 lo None At most At most At most At most ad ju y th yi pl n ua al Max-eigenvalue test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values va n Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): ll fu -1.188850 8.950211 -4.449226 31.07816 -35.70100 1.967939 1.157293 -2.541250 1.019373 0.292519 z k jm ht vb -7.571389 -5.303911 1.945530 -7.584205 0.547914 @TREND (08M02) 0.066231 -0.034520 0.044181 -0.167983 0.147924 z 49.32717 -9.983509 20.79264 -4.244209 -2.554425 LEXR at -1.350601 -3.678790 -6.210863 7.537908 -0.316808 LCPI nh LIR oi LIP m LVNI Log likelihood 488.8995 -0.011572 0.002942 0.018512 0.017555 0.000923 -0.002616 0.004963 -0.001178 -0.008033 0.003026 ey Normalized cointegrating coefficients (standard error in parentheses) LVNI LIP LIR LCPI LEXR t re Cointegrating Equation(s): n va 0.025215 -0.003041 0.007471 0.041171 0.001839 an Lu 0.040250 0.008112 0.017459 -0.054098 -0.002080 om -0.001745 -0.029100 0.009236 -0.014595 0.002742 l.c D(LVNI) D(LIP) D(LIR) D(LCPI) D(LEXR) gm Unrestricted Adjustment Coefficients (alpha): @TREND 73 1.000000 -36.52237 (6.43494) 5.605939 -1.457083 (1.42479) (0.42804) (08M02) -0.049038 (0.03894) 0.880238 (6.69026) t to ng hi ep Adjustment coefficients (standard error in parentheses) D(LVNI) 0.002357 (0.01676) D(LIP) 0.039303 (0.00790) D(LIR) -0.012474 (0.01111) D(LCPI) 0.019712 (0.02526) D(LEXR) -0.003703 (0.00249) w n lo ad ju y th yi pl ua al Log likelihood n 503.7869 n va Cointegrating Equation(s): ll fu Normalized cointegrating coefficients (standard error in parentheses) m z z 1.000000 at 0.000000 LIR LCPI LEXR 1.729773 -0.393607 -2.203765 (0.45519) (0.15112) (2.57366) -0.106131 0.029118 -0.084441 (0.03224) (0.01070) (0.18228) nh LIP 0.000000 oi LVNI 1.000000 @TREND (08M02) 0.005343 (0.01409) 0.001489 (0.00100) om l.c an Lu n va ey t re 512.9776 gm Log likelihood k Cointegrating Equation(s): jm ht vb Adjustment coefficients (standard error in parentheses) D(LVNI) -0.145714 -0.487917 (0.04322) (0.55499) D(LIP) 0.009462 -1.516417 (0.02247) (0.28857) D(LIR) -0.076704 0.281272 (0.03074) (0.39478) D(LCPI) 0.218729 -0.179853 (0.06687) (0.85873) D(LEXR) 0.003947 0.156000 (0.00714) (0.09164) 74 Normalized cointegrating coefficients (standard error in parentheses) t to ng hi ep LIP 0.000000 LIR 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 1.000000 w LVNI 1.000000 @TREND (08M02) -4.61E-05 (0.00972) 0.001820 (0.00125) 0.003115 (0.00744) n LCPI LEXR 0.255693 -0.301535 (0.07541) (1.72985) -0.010720 -0.201154 (0.00968) (0.22198) -0.375367 -1.099699 (0.05774) (1.32459) lo ad ju y th Adjustment coefficients (standard error in parentheses) D(LVNI) -0.302319 0.036363 -0.151213 (0.07663) (0.56823) (0.09858) D(LIP) 0.028352 -1.579657 0.171389 (0.04199) (0.31135) (0.05401) D(LIR) -0.123103 0.436608 -0.147997 (0.05708) (0.42325) (0.07343) D(LCPI) -0.036976 0.676193 0.477539 (0.11779) (0.87336) (0.15152) D(LEXR) -0.007477 0.194247 -0.006150 (0.01323) (0.09813) (0.01702) yi pl n ua al n va ll fu oi m at 518.1386 z Log likelihood nh Cointegrating Equation(s): z 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 1.000000 an Lu 1.000000 @TREND (08M02) -0.009216 (0.00658) 0.002204 (0.00093) 0.016576 (0.00914) 0.035861 (0.02911) om 0.000000 n va LEXR 1.323773 (1.19531) -0.269293 (0.16890) -3.485715 (1.66019) -6.356490 (5.28810) l.c LCPI 0.000000 gm LIR 0.000000 k LIP 0.000000 jm LVNI 1.000000 ht vb Normalized cointegrating coefficients (standard error in parentheses) ey t re Adjustment coefficients (standard error in parentheses) D(LVNI) -0.389546 0.085476 -0.063451 -0.032726 (0.10846) (0.56290) (0.12485) (0.03674) D(LIP) 0.050526 -1.592142 0.149079 -0.037152 75 (0.06001) 0.016441 (0.07702) 0.095352 (0.16676) -0.000516 (0.01892) D(LIR) t to D(LCPI) ng hi D(LEXR) ep (0.31147) (0.06908) (0.02033) 0.358038 -0.288399 0.038267 (0.39973) (0.08866) (0.02609) 0.601686 0.344399 -0.178060 (0.86545) (0.19196) (0.05649) 0.190328 -0.013154 -0.000744 (0.09817) (0.02177) (0.00641) w Table A14 Result of VECM n lo ad ju y th Vector Error Correction Estimates Date: 11/04/13 Time: 14:41 Sample (adjusted): 2008M03 2013M05 Included observations: 63 after adjustments Standard errors in ( ) & t-statistics in [ ] yi pl CointEq1 LVNI(-1) 1.000000 LIP(-1) -0.844050 (0.28569) [-2.95446] LIR(-1) -0.416630 (0.15317) [-2.71998] LCPI(-1) 0.209796 (0.05009) [ 4.18849] LEXR(-1) -0.155164 (0.14043) [-1.10489] Error Correction: D(LVNI) CointEq1 -0.383969 (0.08796) [-4.36527] 0.034116 0.209295 0.215659 0.009854 (0.06431) (0.07376) (0.15010) (0.01616) [ 0.53050] [ 2.83756] [ 1.43679] [ 0.60978] D(LVNI(-1)) 0.255146 (0.11050) [ 2.30908] 0.020598 0.077437 -0.027697 0.001520 (0.08079) (0.09266) (0.18856) (0.02030) [ 0.25497] [ 0.83574] [-0.14689] [ 0.07487] D(LIP(-1)) -0.063699 -0.656681 n ua al Cointegrating Eq: n va ll fu oi m at nh z z k jm ht vb D(LIR) D(LCPI) om l.c gm D(LIP) D(LEXR) an Lu ey t re 0.015794 n 0.317307 va 0.148656 76 (0.10171) (0.11666) (0.23739) (0.02556) [-6.45638] [ 1.27431] [ 1.33663] [ 0.61793] D(LIR(-1)) 0.329048 (0.14769) [ 2.22795] 0.110337 0.213025 0.053354 -0.022887 (0.10798) (0.12385) (0.25202) (0.02713) [ 1.02183] [ 1.72008] [ 0.21170] [-0.84348] D(LCPI(-1)) -0.049892 (0.07121) [-0.70069] 0.016215 0.042429 0.507450 0.006334 (0.05206) (0.05971) (0.12151) (0.01308) [ 0.31147] [ 0.71059] [ 4.17632] [ 0.48419] 0.159408 (0.73780) [ 0.21606] -0.547555 0.633606 1.974538 0.028352 (0.53942) (0.61868) (1.25901) (0.13555) [-1.01508] [ 1.02412] [ 1.56832] [ 0.20916] 0.367387 0.311895 0.403861 0.084174 6.620501 69.67620 -2.021467 -1.817359 -0.003913 0.101473 0.472479 0.279519 0.403048 0.426205 0.216319 0.350683 0.215876 0.283979 1.176004 0.061541 0.070584 0.143637 10.21050 4.422766 7.697001 89.40674 80.76952 36.00878 -2.647833 -2.373635 -0.952660 -2.443725 -2.169527 -0.748551 -0.001340 -0.001456 -0.014323 0.081243 0.079733 0.178254 t to (0.13912) [-0.45789] ng hi ep w n lo ad D(LEXR(-1)) ju y th yi pl n ua al va ll fu oi m z z k jm ht vb 5.22E-13 3.17E-13 459.6414 -13.48068 -12.29005 -0.059491 -0.152429 0.013632 0.015465 -0.640116 176.4191 -5.410132 -5.206024 0.004136 0.014406 at nh Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion n R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent gm l.c Table A15 Result of coefficients of ECM om Dependent Variable: D(LVNI) Method: Least Squares Date: 11/04/13 Time: 23:10 Sample (adjusted): 2008M03 2013M05 Included observations: 63 after adjustments D(LVNI) = C(1)*( LVNI(-1) - 0.844049770702*LIP(-1) - 0.416629848836 *LIR(-1) + 0.209795920238*LCPI(-1) - 0.155163524867*LEXR(-1) ) + C(2)*D(LVNI(-1)) + C(3)*D(LIP(-1)) + C(4)*D(LIR(-1)) + C(5)*D(LCPI( -1)) + C(6)*D(LEXR(-1)) + C(7) an Lu ey t re Prob n t-Statistic va Coefficient Std Error 77 t to C(1) C(2) C(3) C(4) C(5) C(6) C(7) ng hi ep -0.382669 0.252048 -0.063500 0.329606 -0.053253 0.231717 -0.003781 0.368664 0.301020 0.084837 0.403046 69.73982 5.450122 0.000170 w R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.088737 0.111747 0.140213 0.148863 0.072457 0.774040 0.011238 -4.312413 2.255533 -0.452879 2.214159 -0.734958 0.299361 -0.336483 0.0001 0.0280 0.6524 0.0309 0.4654 0.7658 0.7378 n lo ad ju y th Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.003913 0.101473 -1.991740 -1.753614 -1.898084 1.972711 yi pl ua al Table A16 Serial correlation LM test n va n Breusch-Godfrey Serial Correlation LM Test: ll fu m Obs*R-squared 0.874237 Prob F(2,55) 0.6476 Prob Chi-Square(2) 0.6459 at nh 0.437974 oi F-statistic z z vb jm ht Test Equation: Dependent Variable: RESID k gm Method: Least Squares l.c Date: 11/04/13 Time: 15:37 om Sample: 2008M03 2013M05 an Lu Included observations: 63 Presample missing value lagged residuals set to zero t-Statistic Prob C(1) 0.142454 0.176380 0.807656 0.4228 C(2) 0.197884 0.250786 0.789057 0.4335 ey Std Error t re Coefficient n va Variable 78 0.092590 0.172389 0.537101 0.5934 C(4) 0.056606 0.161009 0.351573 0.7265 C(5) -0.031035 0.079522 -0.390270 0.6978 C(6) 0.009911 0.745271 0.013298 0.9894 RESID(-1) -0.380526 0.427001 -0.891161 0.3767 RESID(-2) -0.166135 0.207641 -0.800108 0.4271 t to C(3) ng hi ep w n lo ad R-squared ju y th Adjusted R-squared S.E of regression yi pl Sum squared resid Mean dependent var -0.003421 -0.111630 S.D dependent var 0.080635 0.085017 Akaike info criterion -1.973775 0.397530 Schwarz criterion -1.701631 70.17393 Hannan-Quinn criter -1.866740 1.927119 n ua Durbin-Watson stat al Log likelihood 0.013877 n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re 79 Table A17 Correlogram Q-statistics t to ng hi ep w n lo ad ju y th yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re 80 Table A18 Heteroskedasticity test Heteroskedasticity Test: Breusch-Pagan-Godfrey t to ng hi ep F-statistic Obs*R-squared Scaled explained SS 1.317312 12.73388 9.543940 Prob F(10,52) Prob Chi-Square(10) Prob Chi-Square(10) 0.2462 0.2389 0.4814 w Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 11/04/13 Time: 15:38 Sample: 2008M03 2013M05 Included observations: 63 n lo ad ju y th yi pl Variable Std Error t-Statistic Prob 0.751325 0.014889 -0.059702 -0.012872 0.010305 -0.078440 -0.006253 -0.036062 0.020322 -0.008210 0.040780 0.291379 0.014243 0.023602 0.016970 0.007964 0.080013 0.011946 0.024370 0.016256 0.007848 0.080133 2.578516 1.045337 -2.529492 -0.758537 1.293885 -0.980344 -0.523484 -1.479752 1.250073 -1.046070 0.508901 0.0128 0.3007 0.0145 0.4516 0.2014 0.3315 0.6029 0.1450 0.2169 0.3004 0.6130 n va ll fu oi m at z z ht vb k l.c gm 0.006410 0.008744 -6.533406 -6.159208 -6.386232 2.135545 om Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat jm 0.202125 0.048688 0.008529 0.003783 216.8023 1.317312 0.246190 nh R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) n C LVNI(-1) LIP(-1) LIR(-1) LCPI(-1) LEXR(-1) LVNI(-2) LIP(-2) LIR(-2) LCPI(-2) LEXR(-2) ua al Coefficient an Lu n va ey t re