c. Kiểm định nghiệm đơn vị đối với tính dừng
5.3. Hướng phát triển của đề tài
Bài nghiên cứu xem xét mối liên thông qua số liệu về giá chứng khoán, tỷ giá hối đoái, lợi nhuận thị trường chứng khoán và biến động tỷ giá hối đoái. Do thời gian nghiên cứu khá ngắn trong thời kỳ 2000-2014 (khó khăn về mặt số liệu đã được đưa ra tại phần hạn chế của bài nghiên cứu). Sau bài nghiên cứu này hi vọng các cơng trình
mới nổi để mang tính so sánh cao hơn. Bên cạnh đó, bài nghiên cứu cũng có thể mở rộng hướng tiếp cận theo tỷ giá hối đoái và sự thay đổi tỷ giá hối đối có tác động qua lại, ảnh hưởng lẫn nhau. Bài nghiên cứu này tác giả sử dụng dữ liệu tỷ giá hối đối danh nghĩa tuy nhiên có rất nhiều loại tỷ giá cũng thích hợp để nghiên cứu trong các mối quan hệ ràng buộc như tỷ giá hối đối danh nghĩa có hiệu lực (NEER), tỷ giá hối đối thực có hiệu lực đa phương (REER)... Ngồi ra, bài nghiên cứu này có thể được phát triển bằng việc bổ sung thêm các biến thích hợp khác có thể ảnh hưởng đến mối liên kết động giữa tỷ giá hối đoái và giá chứng khoán như lãi suất, lạm phát, dự trữ ngoại hối...để bài nghiên cứu sâu rộng hơn và mang tính ứng dụng cao hơn.
PHỤ LỤC
Phụ biểu số 1: Kết quả hồi quy Switching AR
Dependent Variable: EX_L
Method: Switching Regression (Simple Switching) Date: 11/26/15 Time: 23:08
Sample: 2000M08 2014M12 Included observations: 173 Number of states: 2
Ordinary standard errors & covariance using numeric Hessian Random search: 25 starting values with 10 iterations using 1 standard deviation (rng=kn, seed=324675889)
Convergence achieved after 4 iterations
Variable Coefficient Std. Error z-Statistic Prob. Regime 1 C 0.006349 0.003196 1.986282 0.0470 SR_L 0.005665 0.033522 0.169001 0.8658 LOG(SIGMA) -3.835664 0.114627 -33.46204 0.0000 Regime 2 C 0.000849 0.000280 3.034041 0.0024 SR_L -0.000245 0.006100 -0.040190 0.9679 LOG(SIGMA) -6.210685 0.111330 -55.78611 0.0000 Probabilities Parameters P1-C -0.924260 0.229611 -4.025329 0.0001 Mean dependent var 0.002409 S.D. dependent var 0.011932 S.E. of regression 0.012110 Sum squared resid 0.024489 Durbin-Watson stat 2.678435 Log likelihood 643.0718 Akaike info criterion -7.353431 Schwarz criterion -7.225841 Hannan-Quinn criter. -7.301668
Phụ biểu số 2: Kết quả hồi quy Markov Switching AR
Dependent Variable: EX_L
Method: Switching Regression (Markov Switching) Date: 05/27/15 Time: 23:16
Sample: 2000M08 2014M12 Included observations: 173 Number of states: 2
Ordinary standard errors & covariance using numeric Hessian Random search: 25 starting values with 10 iterations using 1 standard deviation (rng=kn, seed=1659211166)
Convergence achieved after 7 iterations
Variable Coefficient Std. Error z-Statistic Prob. Regime 1 C 0.006220 0.003030 2.052539 0.0401 SR_L 0.009053 0.025057 0.361294 0.7179 LOG(SIGMA) -3.866032 0.107959 -35.81031 0.0000 Regime 2 C 0.000814 0.000227 3.579572 0.0003 SR_L -0.000280 0.003361 -0.083274 0.9336 LOG(SIGMA) -6.244268 0.095444 -65.42368 0.0000
Transition Matrix Parameters
P11-C 1.026718 0.415391 2.471691 0.0134 P21-C -2.073597 0.356449 -5.817372 0.0000 Mean dependent var 0.002409 S.D. dependent var 0.011932 S.E. of regression 0.011945 Sum squared resid 0.023827 Durbin-Watson stat 2.746830 Log likelihood 659.6807 Akaike info criterion -7.533881 Schwarz criterion -7.388064 Hannan-Quinn criter. -7.474724
Phụ biểu số 3: Kết quả hồi quy Markov Switching AR hiệu chỉnh 1
Dependent Variable: EX_L
Method: Switching Regression (Markov Switching) Date: 05/27/15 Time: 23:28
Sample (adjusted): 2000M09 2014M12 Included observations: 172 after adjustments Number of states: 2
Initial probabilities obtained from ergodic solution
Ordinary standard errors & covariance using numeric Hessian Random search: 25 starting values with 10 iterations using 1 standard deviation (rng=kn, seed=1170301054)
Convergence achieved after 4 iterations
Variable Coefficient Std. Error z-Statistic Prob. Regime 1
LOG(SIGMA) -3.856828 0.109320 -35.28023 0.0000 Regime 2 C 0.000789 0.000224 3.517872 0.0004 SR_L -0.000332 0.002704 -0.122809 0.9023 LOG(SIGMA) -6.245961 0.095801 -65.19736 0.0000 Common AR(1) 0.022135 0.022947 0.964626 0.3347 Transition Matrix Parameters
P11-C 1.073250 0.427004 2.513441 0.0120 P21-C -2.082561 0.357507 -5.825227 0.0000 Mean dependent var 0.002417 S.D. dependent var 0.011966 S.E. of regression 0.012113 Sum squared resid 0.024210 Durbin-Watson stat 2.776960 Log likelihood 655.3635 Akaike info criterion -7.515855 Schwarz criterion -7.351160 Hannan-Quinn criter. -7.449034
Inverted AR Roots -.00
Phụ biểu số 4: Kết quả hồi quy Markov Switching AR hiệu chỉnh 2
Dependent Variable: EX_L
Method: Switching Regression (Markov Switching) Date: 05/27/15 Time: 23:46
Sample (adjusted): 2000M09 2014M12 Included observations: 172 after adjustments Number of states: 2
Initial probabilities obtained from ergodic solution
Ordinary standard errors & covariance using numeric Hessian Random search: 25 starting values with 10 iterations using 1 standard deviation (rng=kn, seed=102034111)
Convergence achieved after 6 iterations
Variable Coefficient Std. Error z-Statistic Prob. Regime 1
C 0.000750 0.000216 3.473470 0.0005 SR_L -0.000240 0.001885 -0.127119 0.8988 AR(1) 0.031473 0.021434 1.468390 0.1420 LOG(SIGMA) -6.263747 0.093733 -66.82524 0.0000
Regime 2
C 0.006312 0.001723 3.663114 0.0002 SR_L 0.016668 0.016382 1.017475 0.3089 AR(1) -0.677484 0.158976 -4.261559 0.0000 LOG(SIGMA) -4.040036 0.104916 -38.50729 0.0000
Transition Matrix Parameters
P11-C 2.066816 0.357932 5.774331 0.0000 P21-C -1.099905 0.425462 -2.585202 0.0097 Mean dependent var 0.002417 S.D. dependent var 0.011966 S.E. of regression 0.011058 Sum squared resid 0.020053 Durbin-Watson stat 1.998854 Log likelihood 664.3300 Akaike info criterion -7.608488 Schwarz criterion -7.425494 Hannan-Quinn criter. -7.534243
1: Inverted AR Roots .01 2: Inverted AR Roots 2.07
Estimated AR process is nonstationary
Phụ biểu số 5: Kết quả hồi quy Switching AR (trước khủng hoảng)
Dependent Variable: EX_L
Method: Switching Regression (Simple Switching) Date: 05/28/15 Time: 23:15
Sample: 2008M04 2014M12 Included observations: 81 Number of states: 2
Ordinary standard errors & covariance using numeric Hessian Random search: 25 starting values with 10 iterations using 1 standard deviation (rng=kn, seed=282886737)
Convergence achieved after 9 iterations
Variable Coefficient Std. Error z-Statistic Prob. Regime 1 C 0.000168 0.000324 0.519257 0.6036 SR_L -0.013107 0.004189 -3.128799 0.0018 LOG(SIGMA) -6.433826 0.168755 -38.12531 0.0000 Regime 2 C 0.006913 0.002762 2.503066 0.0123 SR_L -0.012349 0.028801 -0.428781 0.6681
Probabilities Parameters
P1-C -0.075372 0.274192 -0.274889 0.7834 Mean dependent var 0.003659 S.D. dependent var 0.012748 S.E. of regression 0.013110 Sum squared resid 0.012891 Durbin-Watson stat 2.541020 Log likelihood 270.7936 Akaike info criterion -6.513422 Schwarz criterion -6.306494 Hannan-Quinn criter. -6.430400
Phụ biểu số 6: Kết quả hồi quy Markov Switching AR (trước khủng hoảng)
Dependent Variable: EX_L
Method: Switching Regression (Markov Switching) Date: 05/29/15 Time: 00:38
Sample: 2008M04 2014M12 Included observations: 81 Number of states: 2
Initial probabilities obtained from ergodic solution
Ordinary standard errors & covariance using numeric Hessian Random search: 25 starting values with 10 iterations using 1 standard deviation (rng=kn, seed=15243441)
Convergence achieved after 4 iterations
Variable Coefficient Std. Error z-Statistic Prob. Regime 1 C 0.000521 0.000423 1.232070 0.2179 SR_L -0.018291 0.006701 -2.729594 0.0063 LOG(SIGMA) -6.260745 0.164889 -37.96939 0.0000 Regime 2 C 0.007014 0.002934 2.390616 0.0168 SR_L -0.006215 0.026715 -0.232643 0.8160 LOG(SIGMA) -4.059523 0.125258 -32.40919 0.0000
Transition Matrix Parameters
P11-C 1.253603 0.499906 2.507675 0.0122 P21-C -1.216274 0.549312 -2.214176 0.0268 Mean dependent var 0.003659 S.D. dependent var 0.012748 S.E. of regression 0.013055 Sum squared resid 0.012782 Durbin-Watson stat 2.599257 Log likelihood 275.8555 Akaike info criterion -6.613717 Schwarz criterion -6.377228 Hannan-Quinn criter. -6.518834
Phụ biểu số 7: Kết quả hồi quy Markov Switching AR hiệu chỉnh 1 (trước khủng hoảng)
Dependent Variable: EX_L
Method: Switching Regression (Markov Switching) Date: 05/29/15 Time: 00:54
Sample (adjusted): 2008M05 2014M12 Included observations: 80 after adjustments Number of states: 2
Initial probabilities obtained from ergodic solution
Ordinary standard errors & covariance using numeric Hessian Random search: 25 starting values with 10 iterations using 1 standard deviation (rng=kn, seed=1011055332)
Convergence achieved after 8 iterations
Variable Coefficient Std. Error z-Statistic Prob. Regime 1 C 0.000516 0.000441 1.169101 0.2424 SR_L -0.018893 0.008031 -2.352632 0.0186 LOG(SIGMA) -6.264421 0.163346 -38.35063 0.0000 Regime 2 C 0.006643 0.002883 2.304396 0.0212 SR_L -0.008129 0.028714 -0.283111 0.7771 LOG(SIGMA) -4.058699 0.128595 -31.56181 0.0000 Common AR(1) -0.042546 0.036018 -1.181239 0.2375 Transition Matrix Parameters
P11-C 1.255487 0.510211 2.460720 0.0139 P21-C -1.139272 0.574441 -1.983271 0.0473 Mean dependent var 0.003534 S.D. dependent var 0.012779 S.E. of regression 0.013033 Sum squared resid 0.012399 Durbin-Watson stat 2.527237 Log likelihood 274.1655 Akaike info criterion -6.629137 Schwarz criterion -6.361159 Hannan-Quinn criter. -6.521697
Phụ biểu số 8: Kết quả hồi quy Markov Switching AR hiệu chỉnh 2 (trước khủng hoảng)
Dependent Variable: EX_L
Method: Switching Regression (Markov Switching) Date: 05/29/15 Time: 01:04
Sample (adjusted): 2008M05 2014M12 Included observations: 80 after adjustments Number of states: 2
Initial probabilities obtained from ergodic solution
Ordinary standard errors & covariance using numeric Hessian Random search: 25 starting values with 10 iterations using 1 standard deviation (rng=kn, seed=1601116336)
Convergence achieved after 6 iterations
Variable Coefficient Std. Error z-Statistic Prob. Regime 1 C 0.000379 0.000456 0.831497 0.4057 SR_L -0.016484 0.007173 -2.298138 0.0216 AR(1) -0.023446 0.032512 -0.721133 0.4708 LOG(SIGMA) -6.296409 0.192353 -32.73361 0.0000 Regime 2 C 0.007256 0.001975 3.674777 0.0002 SR_L -0.006931 0.023610 -0.293553 0.7691 AR(1) -0.560103 0.205426 -2.726540 0.0064 LOG(SIGMA) -4.158238 0.128967 -32.24262 0.0000
Transition Matrix Parameters
P11-C 1.171904 0.534416 2.192866 0.0283 P21-C -1.070198 0.555192 -1.927616 0.0539 Mean dependent var 0.003534 S.D. dependent var 0.012779 S.E. of regression 0.012627 Sum squared resid 0.011479 Durbin-Watson stat 1.941457 Log likelihood 277.6376 Akaike info criterion -6.690940 Schwarz criterion -6.393187 Hannan-Quinn criter. -6.571562
1: Inverted AR Roots .01 2: Inverted AR Roots 1.17
Phụ biểu số 9: Kết quả hồi quy Switching AR (sau khủng hoảng)
Dependent Variable: EX_L
Method: Switching Regression (Simple Switching) Date: 05/28/15 Time: 21:49
Sample: 2000M08 2008M03 Included observations: 92 Number of states: 2
Ordinary standard errors & covariance using numeric Hessian Random search: 25 starting values with 10 iterations using 1 standard deviation (rng=kn, seed=401980105)
Convergence achieved after 2 iterations
Variable Coefficient Std. Error z-Statistic Prob. Regime 1 C 0.002459 0.009352 0.262936 0.7926 SR_L 0.034132 0.064844 0.526380 0.5986 LOG(SIGMA) -3.501051 0.230078 -15.21679 0.0000 Regime 2 C 0.001034 0.000231 4.483521 0.0000 SR_L 0.001680 0.002202 0.762940 0.4455 LOG(SIGMA) -6.326207 0.108376 -58.37286 0.0000 Probabilities Parameters P1-C -1.925152 0.382039 -5.039150 0.0000 Mean dependent var 0.001309 S.D. dependent var 0.011117 S.E. of regression 0.011398 Sum squared resid 0.011172 Durbin-Watson stat 2.939962 Log likelihood 391.6352 Akaike info criterion -8.361635 Schwarz criterion -8.169760 Hannan-Quinn criter. -8.284193
Phụ biểu số 10: Kết quả hồi quy Markov Switching AR (sau khủng hoảng)
Dependent Variable: EX_L
Method: Switching Regression (Markov Switching) Date: 05/28/15 Time: 21:50
Sample: 2000M08 2008M03 Included observations: 92 Number of states: 2
Initial probabilities obtained from ergodic solution
Ordinary standard errors & covariance using numeric Hessian Random search: 25 starting values with 10 iterations using 1 standard deviation (rng=kn, seed=1051464883)
Convergence achieved after 3 iterations
Variable Coefficient Std. Error z-Statistic Prob. Regime 1 C 0.003584 0.009087 0.394370 0.6933 SR_L 0.025996 0.056816 0.457556 0.6473 LOG(SIGMA) -3.480554 0.228349 -15.24229 0.0000 Regime 2 C 0.000930 0.000222 4.198587 0.0000 SR_L 0.002768 0.001961 1.411436 0.1581 LOG(SIGMA) -6.316494 0.094755 -66.66112 0.0000
Transition Matrix Parameters
P11-C 0.330290 0.656998 0.502726 0.6152 P21-C -2.797987 0.555106 -5.040455 0.0000 Mean dependent var 0.001309 S.D. dependent var 0.011117 S.E. of regression 0.011287 Sum squared resid 0.010956 Durbin-Watson stat 3.014931 Log likelihood 397.8807 Akaike info criterion -8.475667 Schwarz criterion -8.256382 Hannan-Quinn criter. -8.387162
Phụ biểu số 11: Kết quả hồi quy Markov Switching AR hiệu chỉnh 1 (sau khủng hoảng)
Dependent Variable: EX_L
Method: Switching Regression (Markov Switching) Date: 05/28/15 Time: 21:59
Sample (adjusted): 2000M09 2008M03 Included observations: 91 after adjustments Number of states: 2
Initial probabilities obtained from ergodic solution
Ordinary standard errors & covariance using numeric Hessian Random search: 25 starting values with 10 iterations using 1 standard deviation (rng=kn, seed=1049399449)
Convergence achieved after 4 iterations
Variable Coefficient Std. Error z-Statistic Prob. Regime 1 C 0.000901 0.000232 3.883579 0.0001 SR_L 0.002255 0.002068 1.090134 0.2757 LOG(SIGMA) -6.317957 0.093905 -67.28045 0.0000 Regime 2 C 0.003541 0.010012 0.353713 0.7236 SR_L 0.014317 0.061700 0.232042 0.8165 LOG(SIGMA) -3.463746 0.231230 -14.97965 0.0000 Common AR(1) 0.030630 0.029216 1.048385 0.2945 Transition Matrix Parameters
P11-C 2.808100 0.558319 5.029561 0.0000 P21-C -0.413144 0.714854 -0.577942 0.5633 Mean dependent var 0.001311 S.D. dependent var 0.011179 S.E. of regression 0.011611 Sum squared resid 0.011324 Durbin-Watson stat 3.009098 Log likelihood 393.3358 Akaike info criterion -8.446941 Schwarz criterion -8.198614 Hannan-Quinn criter. -8.346757
Phụ biểu số 12: Kết quả hồi quy Markov Switching AR hiệu chỉnh 1 (sau khủng hoảng)
Dependent Variable: EX_L
Method: Switching Regression (Markov Switching) Date: 05/28/15 Time: 22:08
Sample (adjusted): 2000M09 2008M03 Included observations: 91 after adjustments Number of states: 2
Initial probabilities obtained from ergodic solution
Ordinary standard errors & covariance using numeric Hessian Random search: 25 starting values with 10 iterations using 1 standard deviation (rng=kn, seed=2117538623)
Failure to improve objective (non-zero gradients) after 4 iterations
Variable Coefficient Std. Error z-Statistic Prob. Regime 1 C 1.41E-05 0.000268 0.052520 0.9581 SR_L 0.043760 0.021157 2.068357 0.0386 AR(1) -1.174680 0.291955 -4.023493 0.0001 LOG(SIGMA) -3.970473 0.225601 -17.59955 0.0000 Regime 2 C 0.000900 0.000235 3.824138 0.0001 SR_L 0.002192 0.002104 1.041765 0.2975 AR(1) 0.028476 0.024894 1.143889 0.2527 LOG(SIGMA) -6.334126 0.101837 -62.19892 0.0000
Transition Matrix Parameters
P11-C 0.411488 0.724762 0.567755 0.5702 P21-C -2.707769 0.575163 -4.707833 0.0000 Mean dependent var 0.001311 S.D. dependent var 0.011179 S.E. of regression 0.010272 Sum squared resid 0.008758 Durbin-Watson stat 2.178766 Log likelihood 398.7012 Akaike info criterion -8.542883 Schwarz criterion -8.266964 Hannan-Quinn criter. -8.431567
1: Inverted AR Roots .00 2: Inverted AR Roots .41
Phụ biểu số 13: Kết quả hồi quy theo VAR
Vector Autoregression Estimates Date: 11/26/15 Time: 22:02
Sample (adjusted): 2000M10 2014M12 Included observations: 171 after adjustments Standard errors in ( ) & t-statistics in [ ]
EX_L SR_L EX_L(-1) -0.401723 0.706806 (0.07571) (0.67413) [-5.30607] [ 1.04847] EX_L(-2) -0.159996 -0.685364 (0.07612) (0.67781) [-2.10180] [-1.01115] SR_L(-1) 0.004112 0.415239 (0.00870) (0.07743) [ 0.47284] [ 5.36293] SR_L(-2) -0.020112 -0.063789 (0.00864) (0.07689) [-2.32910] [-0.82962] C 0.003933 0.005698 (0.00090) (0.00806) [ 4.34618] [ 0.70713] R-squared 0.163630 0.166150 Adj. R-squared 0.143476 0.146057 Sum sq. resids 0.020476 1.623413 S.E. equation 0.011106 0.098892 F-statistic 8.119182 8.269117 Log likelihood 529.4399 155.5464 Akaike AIC -6.133800 -1.760776 Schwarz SC -6.041939 -1.668915 Mean dependent 0.002408 0.009016 S.D. dependent 0.012001 0.107015 Determinant resid covariance (dof adj.) 1.20E-06 Determinant resid covariance 1.13E-06
Log likelihood 685.1747
Akaike information criterion -7.896780
Phụ biểu số 14: Độ trễ tối ưu
VAR Lag Order Selection Criteria Endogenous variables: EX_L SR_L Exogenous variables: C
Date: 11/26/15 Time: 22:04 Sample: 2000M08 2014M12 Included observations: 171
Lag LogL LR FPE AIC SC HQ
0 654.1738 NA 1.67e-06 -7.627764 -7.591019 -7.612854 1 679.9244 50.59760 1.29e-06 -7.882156 -7.771922* -7.837428* 2 685.1747 10.19360* 1.28e-06* -7.896780* -7.713057 -7.822233 * 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
Phụ biểu số 15: Impulse Response (biến tạo cú sốc là tỷ giá)
Period EX_L SR_L 1 0.011106 0.004639 (0.00060) (0.00756) 2 -0.004443 0.009776 (0.00087) (0.00812) 3 -4.54E-05 -0.006988 (0.00089) (0.00761) 4 0.000504 -0.000513 (0.00066) (0.00134) 5 -5.66E-05 0.000620 (0.00025) (0.00091) 6 -4.50E-05 -9.51E-05 (0.00010) (0.00034) 7 1.43E-05 -7.20E-05 (4.5E-05) (0.00018) 8 3.08E-06 1.71E-05 (1.6E-05) (6.2E-05) 9 -2.00E-06 4.08E-06 (7.0E-06) (2.1E-05) 10 -1.53E-08 -2.92E-06 (2.4E-06) (1.1E-05)
Phụ biểu số 16: Impulse Response (biến tạo cú sốc là giá chứng khoán) Period EX_L SR_L 1 0.000000 0.098783 (0.00000) (0.00534) 2 0.000406 0.041019 (0.00086) (0.00796) 3 -0.001981 0.011018 (0.00086) (0.00786) 4 -4.87E-05 0.000280 (0.00022) (0.00598) 5 0.000116 0.000737 (0.00021) (0.00312) 6 -4.15E-05 0.000404 (8.9E-05) (0.00092) 7 -1.51E-05 1.17E-05 (3.6E-05) (0.00025) 8 4.62E-06 -3.14E-06 (1.4E-05) (0.00011) 9 3.08E-07 1.16E-05 (4.9E-06) (4.8E-05) 10 -7.53E-07 2.05E-06 (2.5E-06) (1.3E-05)
Phụ biểu số 17: Variance Decomposition
Variance Decomposition of EX_L:
Period S.E. EX_L SR_L
1 0.011106 100.0000 0.000000 2 0.011969 99.88484 0.115163 3 0.012132 97.22083 2.779174 4 0.012142 97.22404 2.775959 5 0.012143 97.21521 2.784789 6 0.012143 97.21412 2.785884 7 0.012143 97.21397 2.786030
9 0.012143 97.21396 2.786044 10 0.012143 97.21396 2.786044
Variance Decomposition of SR_L:
Period S.E. EX_L SR_L
1 0.098892 0.220089 99.77991 2 0.107507 1.013205 98.98680 3 0.108296 1.414907 98.58509 4 0.108297 1.417107 98.58289 5 0.108301 1.420272 98.57973 6 0.108302 1.420328 98.57967 7 0.108302 1.420372 98.57963 8 0.108302 1.420374 98.57963 9 0.108302 1.420374 98.57963 10 0.108302 1.420375 98.57963
Cholesky Ordering: EX_L SR_L
Phụ biểu số 18: Kiểm định nhân quả Granger
VAR Granger Causality/Block Exogeneity Wald Tests Date: 11/26/15 Time: 22:10
Sample: 2000M08 2014M12 Included observations: 171
Dependent variable: EX_L
Excluded Chi-sq df Prob.
SR_L 5.640715 2 0.0596
All 5.640715 2 0.0596
Dependent variable: SR_L
Excluded Chi-sq df Prob.
EX_L 3.234612 2 0.1984
Phụ biểu số 19: Hồi quy VAR (trước khủng hoảng)
Vector Autoregression Estimates Date: 11/26/15 Time: 22:26
Sample (adjusted): 2000M10 2008M03 Included observations: 90 after adjustments Standard errors in ( ) & t-statistics in [ ]
EX_L SR_L EX_L(-1) -0.619124 0.638127 (0.10165) (1.12792) [-6.09070] [ 0.56575] EX_L(-2) -0.351247 -2.575670 (0.10327) (1.14590) [-3.40123] [-2.24773] SR_L(-1) 0.026172 0.580711 (0.00967) (0.10727) [ 2.70718] [ 5.41333] SR_L(-2) -0.014901 -0.128083 (0.00961) (0.10666) [-1.55023] [-1.20089] C 0.002456 0.010720 (0.00103) (0.01148) [ 2.37449] [ 0.93396] R-squared 0.331013 0.298883 Adj. R-squared 0.299532 0.265890 Sum sq. resids 0.007520 0.925831 S.E. equation 0.009406 0.104365 F-statistic 10.51446 9.058793 Log likelihood 294.8480 78.25484 Akaike AIC -6.441066 -1.627885 Schwarz SC -6.302188 -1.489007 Mean dependent 0.001282 0.016530 S.D. dependent 0.011238 0.121808 Determinant resid covariance (dof adj.) 9.60E-07 Determinant resid covariance 8.57E-07
Log likelihood 373.2534
Akaike information criterion -8.072298
Phụ biểu số 20: Impulse Response (trước khủng hoảng) Response of EX_L: Period EX_L SR_L 1 0.009406 0.000000 (0.00070) (0.00000) 2 -0.005665 0.002727