VAR Residual Serial Correlation 1.0 1.5 LM Tests Null Hypothesis: no serial correlation at lag order h Date: 11/05/15 Time: 13:35 Sample: 1990 2014 Included observations: 252 Lags LM-Stat Prob 10 11 12 60.51176 27.20289 46.02297 81.69571 41.97272 40.04441 36.33370 60.73473 71.74032 58.26089 46.75151 39.13468 0.0064 0.8544 0.1223 0.0000 0.2278 0.2953 0.4531 0.0061 0.0004 0.0108 0.1082 0.3309 Probs from chi-square with 36 df ĐỐI VỚI ĐỘ TRỄ Inverse Roots of AR Characteristic Polynomial 1.5 1.0 0.5 0.0 -0.5 -1.0 -1.5 -1.5 -1.0 -0.5 0.0 0.5 VAR Residual Serial Correlation LM Tests Null Hypothesis: no serial correlation at lag order h Date: 11/05/15 Time: 13:35 Sample: 1990 2014 Included observations: 192 Lags LM-Stat Prob 123.4608 0.0000 125.7006 0.0000 45.14888 0.1411 54.01507 0.0273 35.56606 0.4891 41.81734 0.2329 73.70527 0.0002 87.26628 0.0000 47.39116 0.0969 10 32.27437 0.6465 11 39.52096 0.3155 12 24.40434 0.9290 Probs from chi-square with 36 df 1.0 1.5 Mô hình VAR độ trễ Vector Autoregression Estimates Date: 11/05/15 Time: 13:36 Sample (adjusted): 1994 2014 Included observations: 252 after adjustments Standard errors in ( ) & t-statistics in [ ] FED GDP D(GOVS) IRT M2 PRICE FED(-1) 1.321132 0.078425 0.067161 0.063822 -0.080263 0.001901 (0.06217) (0.19004) (0.10727) (0.22715) (0.59256) (0.00345) [ 21.2505] [ 0.41268] [ 0.62610] [ 0.28097] [-0.13545] [ 0.55072] FED(-2) -0.825973 -0.385916 0.086660 0.060313 -0.300051 -0.007449 (0.08812) (0.26936) (0.15204) (0.32196) (0.83990) (0.00489) [-9.37330] [-1.43272] [ 0.56997] [ 0.18733] [-0.35725] [-1.52268] FED(-3) 0.260213 0.123911 0.041063 -0.492588 -0.466489 0.000350 (0.06202) (0.18957) (0.10700) (0.22659) (0.59110) (0.00344) [ 4.19582] [ 0.65364] [ 0.38375] [-2.17391] [-0.78918] [ 0.10165] GDP(-1) -0.023768 0.262106 -0.034978 0.152183 0.649330 0.003888 (0.02327) (0.07114) (0.04016) (0.08504) (0.22184) (0.00129) [-1.02122] [ 3.68416] [-0.87100] [ 1.78959] [ 2.92706] [ 3.00937] GDP(-2) 0.017574 0.048902 0.028570 0.032354 0.190113 0.001258 (0.02404) (0.07349) (0.04148) (0.08784) (0.22914) (0.00133) [ 0.73101] [ 0.66545] [ 0.68875] [ 0.36834] [ 0.82967] [ 0.94233] GDP(-3) 0.060597 0.028487 -0.032420 0.045181 0.144447 -0.001417 (0.02039) (0.06234) (0.03519) (0.07451) (0.19438) (0.00113) [ 2.97135] [ 0.45697] [-0.92135] [ 0.60636] [ 0.74312] [-1.25191] D(GOVS(-1)) 0.000968 0.173449 -0.025333 0.045953 0.005834 0.007082 (0.05261) (0.16080) (0.09077) (0.19220) (0.50140) (0.00292) [ 0.01840] [ 1.07865] [-0.27910] [ 0.23909] [ 0.01164] [ 2.42512] D(GOVS(-2)) -0.105992 -0.120768 -0.079032 0.322491 0.632746 0.012856 (0.08168) (0.24966) (0.14092) (0.29841) (0.77847) (0.00453) [-1.29773] [-0.48373] [-0.56082] [ 1.08069] [ 0.81281] [ 2.83534] D(GOVS(-3)) 0.101644 -0.077499 0.082667 0.262183 1.292937 -0.002013 (0.06944) (0.21226) (0.11981) (0.25372) (0.66186) (0.00386) [ 1.46375] [-0.36511] [ 0.68996] [ 1.03337] [ 1.95348] [-0.52217] IRT(-1) 0.016034 -0.069693 -0.037576 0.560887 -0.041047 0.004274 (0.02198) (0.06719) (0.03793) (0.08031) (0.20950) (0.00122) [ 0.72948] [-1.03728] [-0.99078] [ 6.98404] [-0.19592] [ 3.50246] IRT(-2) 0.021945 -0.091892 0.005266 0.297254 0.590004 0.001903 (0.02144) (0.06554) (0.03699) (0.07833) (0.20435) (0.00119) [ 1.02354] [-1.40216] [ 0.14235] [ 3.79467] [ 2.88721] [ 1.59904] IRT(-3) 0.001631 0.052360 0.011310 0.085083 -0.045758 -0.001583 (0.01695) (0.05182) (0.02925) (0.06194) (0.16159) (0.00094) [ 0.09622] [ 1.01038] [ 0.38664] [ 1.37358] [-0.28318] [-1.68240] M2(-1) -0.000279 0.066809 -0.001480 -0.016182 0.224042 0.000699 (0.00773) (0.02363) (0.01334) (0.02824) (0.07368) (0.00043) [-0.03605] [ 2.82738] [-0.11099] [-0.57295] [ 3.04078] [ 1.62980] M2(-2) -0.012734 -0.009594 0.004917 0.077696 0.140096 0.000182 (0.00715) (0.02185) (0.01234) (0.02612) (0.06815) (0.00040) [-1.78110] [-0.43899] [ 0.39859] [ 2.97430] [ 2.05583] [ 0.45890] M2(-3) -0.000399 -0.012548 -0.002791 0.015127 0.054599 0.000167 (0.00611) (0.01867) (0.01054) (0.02231) (0.05821) (0.00034) [-0.06527] [-0.67217] [-0.26490] [ 0.67790] [ 0.93797] [ 0.49175] PRICE(-1) -3.732146 -2.040273 4.006449 4.789208 18.65577 1.041990 (1.35763) (4.14990) (2.34245) (4.96033) (12.9400) (0.07537) [-2.74902] [-0.49164] [ 1.71037] [ 0.96550] [ 1.44172] [ 13.8249] PRICE(-2) 4.085686 10.11558 -4.735889 -25.46080 -43.78868 -0.016576 (1.96876) (6.01796) (3.39690) (7.19320) (18.7648) (0.10930) [ 2.07526] [ 1.68090] [-1.39418] [-3.53957] [-2.33355] [-0.15166] PRICE(-3) -0.805214 -7.982854 0.952349 19.02737 19.96407 -0.055437 (1.18287) (3.61571) (2.04092) (4.32181) (11.2743) (0.06567) [-0.68073] [-2.20782] [ 0.46663] [ 4.40264] [ 1.77076] [-0.84419] C R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent 2.438260 3.343651 -1.633203 7.238907 25.55594 0.137601 (0.58687) (1.79391) (1.01259) (2.14424) (5.59367) (0.03258) [ 4.15466] [ 1.86389] [-1.61289] [ 3.37597] [ 4.56872] [ 4.22333] 0.817730 0.242626 0.068461 0.931531 0.732820 0.995165 0.803649 0.184117 -0.003503 0.926241 0.712179 0.994791 236.0681 2205.725 702.7763 3151.346 21445.78 0.727576 1.006562 3.076789 1.736723 3.677648 9.593852 0.055881 58.07361 4.146778 0.951325 176.1098 35.50391 2664.100 -349.3436 -630.9147 -486.7993 -675.8682 -917.4982 379.2082 2.923362 5.158053 4.014280 5.514827 7.432525 -2.858795 3.189469 5.424161 4.280388 5.780934 7.698633 -2.592687 2.919048 5.263611 -0.161010 9.717889 17.61095 4.672946 2.271561 3.406306 1.733689 13.54137 17.88265 0.774263 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 42.37616 26.47609 -2558.242 21.20827 22.80491 Hàm phản ứng đẩy Accumulated Response to Cholesky One S.D Innovations ± S.E Ac c umulated R es pons e of FED to FED Ac c umulated R es pons e of FED to GD P Ac c umulated R es pons e of FED to D (GOVS) Ac c umulated R es pons e of FED to IR T Ac c umulated R es pons e of FED to M2 Ac c umulated R es pons e of FED to PR IC E 8 8 8 4 4 4 0 0 0 -4 -4 -4 -4 -4 -4 -8 -8 10 15 20 -8 Ac c umulated R es pons e of GD P to FED 10 15 20 -8 Ac c umulated R es pons e of GD P to GD P 10 15 -8 20 Ac c umulated R es pons e of GD P to D (GOVS) 10 15 20 -8 Ac c umulated R es pons e of GD P to IR T 10 15 20 Ac c umulated R es pons e of GD P to M2 8 8 8 4 4 4 0 0 0 -4 -4 -4 -4 -4 -4 10 15 20 Ac c umulated R es pons e of D (GOVS) to FED 10 15 20 Ac c umulated R es pons e of D (GOVS) to GD P 10 15 20 Ac c umulated R es pons e of D (GOVS) to D (GOVS) 10 15 20 Ac c umulated R es pons e of D (GOVS) to IR T 10 15 20 Ac c umulated R es pons e of D (GOVS) to M2 3 3 2 2 2 1 1 1 0 0 -1 10 15 20 -1 Ac c umulated R es pons e of IR T to FED 10 15 20 -1 Ac c umulated R es pons e of IR T to GD P 10 15 Ac c umulated R es pons e of IR T to D (GOVS) 10 15 20 10 15 20 Ac c umulated R es pons e of IR T to M2 30 30 30 30 30 20 20 20 20 20 20 10 10 10 10 10 0 0 -10 -10 -10 -10 -10 -20 -20 -20 -20 -20 -20 10 15 20 10 15 20 Ac c umulated R es pons e of M2 to GD P 10 15 20 Ac c umulated R es pons e of M2 to D (GOVS) 10 15 20 Ac c umulated R es pons e of M2 to IR T 10 15 20 Ac c umulated R es pons e of M2 to M2 30 30 30 30 30 20 20 20 20 20 20 10 10 10 10 10 0 0 -10 -10 -10 -10 -10 -20 -20 -20 -20 -20 -20 10 15 20 10 15 20 Ac c umulated R es pons e of PR IC E to GD P 10 15 20 Ac c umulated R es pons e of PR IC E to D (GOVS) 10 15 20 Ac c umulated R es pons e of PR IC E to IR T 10 15 20 Ac c umulated R es pons e of PR IC E to M2 3 3 2 2 2 1 1 1 0 0 0 -1 -1 -1 -1 -1 -1 -2 -2 -2 -2 -2 -2 10 15 20 10 15 20 10 15 20 10 15 20 20 10 15 20 10 15 10 15 20 Ac c umulated R es pons e of PR IC E to PR IC E 15 10 -10 10 Ac c umulated R es pons e of M2 to PR IC E 30 Ac c umulated R es pons e of PR IC E to FED 20 10 -10 15 Ac c umulated R es pons e of IR T to PR IC E 30 Ac c umulated R es pons e of M2 to FED 10 -1 Ac c umulated R es pons e of IR T to IR T 20 -1 20 15 Ac c umulated R es pons e of D (GOVS) to PR IC E -1 10 Ac c umulated R es pons e of GD P to PR IC E 20 10 15 20 Phân rã phương sai Variance Decomposition of FED: Period S.E FED GDP D(GOVS) IRT M2 PRICE 1.006562 1.681288 1.946004 2.027217 2.060368 2.079651 2.093251 2.101780 2.107663 100.0000 98.75879 95.96512 92.76763 90.51281 89.21454 88.45112 87.98105 87.57684 0.000000 0.056920 0.098568 0.467223 1.452929 2.281676 2.660442 2.757243 2.794055 0.000000 0.020412 1.093228 1.628070 1.576369 1.574600 1.705978 1.849402 1.957477 0.000000 0.045210 0.195216 0.319878 0.397973 0.502581 0.603838 0.712948 0.847034 0.000000 0.001367 0.541463 1.598028 2.223014 2.356675 2.367821 2.389017 2.426835 0.000000 1.117300 2.106408 3.219170 3.836909 4.069931 4.210803 4.310339 4.397759 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 2.112298 2.116593 2.121026 2.125691 2.130626 2.135792 2.141138 2.146625 2.152178 2.157711 2.163142 2.168396 2.173413 2.178143 2.182550 87.21803 86.87912 86.53584 86.18358 85.81775 85.44113 85.05893 84.67546 84.29624 83.92641 83.57052 83.23258 82.91558 82.62170 82.35232 2.824166 2.843392 2.850248 2.847640 2.840326 2.831272 2.821340 2.810761 2.799758 2.788612 2.777636 2.767047 2.756974 2.747504 2.738700 2.013487 2.056817 2.106308 2.158496 2.210905 2.261585 2.310817 2.360086 2.409093 2.457038 2.503198 2.546977 2.588058 2.626185 2.661141 1.006015 1.198093 1.422064 1.672117 1.945283 2.236206 2.539168 2.848299 3.157400 3.461155 3.755041 4.035296 4.299013 4.544034 4.768942 2.463138 2.489322 2.509328 2.530383 2.555715 2.585093 2.617357 2.651600 2.687489 2.724678 2.762512 2.800232 2.837144 2.872702 2.906488 4.475159 4.533253 4.576215 4.607788 4.630017 4.644715 4.652393 4.653797 4.650017 4.642106 4.631089 4.617867 4.603229 4.587877 4.572407 Variance Decomposition of GDP: Period 10 11 12 13 14 15 16 17 18 19 20 21 22 S.E 3.076789 3.254364 3.349405 3.392805 3.438589 3.449320 3.453512 3.455586 3.456602 3.457257 3.457820 3.458312 3.458779 3.459194 3.459521 3.459775 3.459966 3.460100 3.460192 3.460253 3.460294 3.460327 FED 1.528544 1.689292 1.999190 2.974277 3.793246 4.030634 4.071483 4.084128 4.088270 4.087611 4.086780 4.089765 4.095048 4.100587 4.105596 4.109811 4.113237 4.115834 4.117635 4.118786 4.119448 4.119767 GDP D(GOVS) 98.47146 0.000000 94.72658 0.863762 91.95309 1.187850 90.84087 1.270381 88.76352 2.118597 88.26158 2.110962 88.06205 2.136762 87.97162 2.138795 87.92351 2.138795 87.89245 2.142762 87.86509 2.142350 87.84066 2.141933 87.81741 2.141632 87.79656 2.141907 87.78000 2.142079 87.76710 2.142249 87.75744 2.142442 87.75061 2.142535 87.74596 2.142557 87.74288 2.142527 87.74077 2.142478 87.73913 2.142446 IRT 0.000000 0.066167 0.497150 0.500438 0.487334 0.508463 0.515574 0.534194 0.558431 0.578779 0.601371 0.620349 0.635460 0.647435 0.655950 0.661780 0.665460 0.667491 0.668435 0.668730 0.668744 0.668764 M2 0.000000 2.565075 2.724158 2.727647 2.670775 2.749646 2.792380 2.797860 2.797018 2.795995 2.795494 2.795516 2.796495 2.797989 2.799578 2.800948 2.801973 2.802705 2.803182 2.803446 2.803555 2.803562 PRICE 0.000000 0.089121 1.638558 1.686390 2.166526 2.338710 2.421747 2.473398 2.493977 2.502402 2.508918 2.511781 2.513957 2.515522 2.516796 2.518113 2.519450 2.520821 2.522233 2.523634 2.525009 2.526330 23 24 3.460357 4.119861 87.73759 2.142458 0.669002 2.803520 2.527570 3.460391 4.119822 87.73586 2.142534 0.669604 2.803468 2.528713 Variance Decomposition of D(GOVS): Period 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 S.E 1.736723 1.752449 1.768762 1.794536 1.802107 1.805723 1.806903 1.807743 1.808197 1.808342 1.808456 1.808503 1.808532 1.808558 1.808577 1.808597 1.808619 1.808645 1.808676 1.808711 1.808753 1.808800 1.808851 1.808905 FED 0.072409 0.146365 1.238019 2.308457 2.865649 3.110349 3.183338 3.220397 3.240513 3.247198 3.248602 3.248550 3.248465 3.248430 3.248429 3.248395 3.248325 3.248234 3.248152 3.248118 3.248157 3.248287 3.248514 3.248838 Variance Decomposition of IRT: Period S.E FED GDP 3.677648 4.163911 4.819148 5.211276 5.542343 1.049441 0.878330 0.699885 1.142444 2.545612 18.87072 16.14141 12.61661 11.03124 9.764991 GDP D(GOVS) 0.947264 98.98033 1.276492 97.34295 1.541071 95.84891 1.894041 94.42163 1.924068 93.80148 1.947338 93.42631 1.945893 93.32359 1.962062 93.25512 1.975049 93.20833 1.977300 93.19490 1.980743 93.18547 1.982410 93.18065 1.983247 93.17801 1.983844 93.17562 1.984034 93.17386 1.984114 93.17206 1.984148 93.17005 1.984142 93.16774 1.984118 93.16497 1.984078 93.16174 1.984022 93.15801 1.983957 93.15383 1.983883 93.14924 1.983803 93.14433 IRT 0.000000 0.047351 0.067041 0.084606 0.096865 0.103055 0.103450 0.103402 0.105050 0.105357 0.105591 0.105823 0.105823 0.105842 0.106013 0.106509 0.107375 0.108726 0.110582 0.112920 0.115723 0.118928 0.122463 0.126256 M2 0.000000 0.001720 0.061749 0.083387 0.114129 0.134302 0.156881 0.160591 0.162102 0.163138 0.163395 0.163547 0.163573 0.163570 0.163572 0.163583 0.163621 0.163702 0.163836 0.164041 0.164323 0.164684 0.165120 0.165622 PRICE 0.000000 1.185127 1.243208 1.207882 1.197806 1.278646 1.286849 1.298427 1.308961 1.312112 1.316194 1.319024 1.320883 1.322699 1.324096 1.325335 1.326477 1.327460 1.328339 1.329105 1.329760 1.330317 1.330776 1.331147 D(GOVS) IRT M2 PRICE 0.240872 0.201407 2.190521 3.203415 2.840303 79.83897 82.39361 79.35988 79.00046 77.92495 0.000000 0.085292 1.585446 2.144330 2.879300 0.000000 0.299959 3.547659 3.478104 4.044842 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 5.875968 6.124005 6.322494 6.481139 6.600118 6.690829 6.756149 6.801126 6.831495 6.851549 6.865178 6.875377 6.884514 6.894382 6.906218 6.920817 6.938566 6.959547 6.983596 4.194268 5.608467 6.640752 7.482358 8.207334 8.785056 9.227054 9.544949 9.763152 9.905821 9.988973 10.02653 10.03045 10.01116 9.977582 9.936886 9.894808 9.855711 9.822727 8.696057 8.008199 7.514868 7.155179 6.903223 6.718782 6.590898 6.504772 6.447396 6.409803 6.384398 6.365735 6.349606 6.332872 6.313354 6.289708 6.261300 6.228019 6.190193 3.713550 3.919826 4.009853 4.149051 4.209410 4.259472 4.292640 4.296265 4.289634 4.275887 4.260622 4.248267 4.242169 4.244649 4.256982 4.279715 4.312434 4.354299 4.404031 75.88044 74.38579 73.15064 72.06276 71.14211 70.34222 69.68385 69.15942 68.74232 68.41375 68.15536 67.95409 67.79839 67.67783 67.58404 67.50982 67.44946 67.39837 67.35294 3.373876 3.937927 4.477565 4.863573 5.146618 5.353692 5.500482 5.603013 5.665516 5.697288 5.707329 5.702935 5.690209 5.674002 5.658205 5.645702 5.638495 5.637771 5.644034 4.141806 4.139786 4.206323 4.287078 4.391305 4.540774 4.705077 4.891582 5.091979 5.297449 5.503318 5.702452 5.889174 6.059488 6.209838 6.338169 6.443506 6.525830 6.586077 Variance Decomposition of M2: Period S.E FED GDP D(GOVS) IRT M2 PRICE 10 11 12 13 14 15 16 17 9.593852 10.03002 10.76158 11.32460 11.57213 11.80168 11.91177 11.98248 12.02995 12.05865 12.07842 12.09210 12.10431 12.11765 12.13399 12.15449 12.17957 0.356239 0.327495 0.384440 1.377254 2.422903 3.171097 3.639817 3.925342 4.133952 4.286323 4.376619 4.422120 4.436555 4.433507 4.421995 4.408332 4.397525 1.229546 3.418960 3.428096 3.598289 3.786952 3.886864 3.818847 3.786761 3.756953 3.739234 3.727660 3.719790 3.713119 3.706298 3.698079 3.688214 3.676252 0.135122 0.158464 1.990559 6.834039 6.666258 7.366519 7.471007 7.500410 7.524822 7.515799 7.499683 7.483621 7.470901 7.463160 7.462261 7.468161 7.479906 31.59128 31.16332 33.73205 32.45175 32.55376 32.50217 32.53269 32.52616 32.47152 32.38576 32.29485 32.22198 32.17490 32.16030 32.18286 32.24293 32.33937 66.68781 64.14732 58.88946 54.25466 53.03626 51.56711 51.01107 50.65892 50.39276 50.22384 50.09636 49.99742 49.90003 49.79026 49.65872 49.50004 49.31355 0.000000 0.784441 1.575390 1.484010 1.533873 1.506239 1.526568 1.602414 1.719996 1.849042 2.004834 2.155069 2.304493 2.446469 2.576084 2.692322 2.793404