Luận văn Thạc sĩ Kinh tế: Đánh giá tác động của các biến kinh tế vĩ mô đến thị trường chứng khoán Việt Nam

9,014
279
88
62
Null Hypothesis: D(IR) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-7.681207
0.0000
Test critical values:
1% level
-3.517847
5% level
-2.899619
10% level
-2.587134
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(IR,2)
Method: Least Squares
Date: 09/04/12 Time: 10:45
Sample (adjusted): 2006M03 2012M07
Included observations: 77 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(IR(-1))
-0.880559
0.114638
-7.681207
0.0000
C
0.000153
0.001368
0.111491
0.9115
R-squared
0.440302
Mean dependent var
-1.56E-05
Adjusted R-squared
0.432840
S.D. dependent var
0.015938
S.E. of regression
0.012003
Akaike info criterion
-5.981715
Sum squared resid
0.010805
Schwarz criterion
-5.920836
Log likelihood
232.2960
Hannan-Quinn criter.
-5.957364
F-statistic
59.00093
Durbin-Watson stat
2.046676
Prob(F-statistic)
0.000000
62 Null Hypothesis: D(IR) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.681207 0.0000 Test critical values: 1% level -3.517847 5% level -2.899619 10% level -2.587134 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(IR,2) Method: Least Squares Date: 09/04/12 Time: 10:45 Sample (adjusted): 2006M03 2012M07 Included observations: 77 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(IR(-1)) -0.880559 0.114638 -7.681207 0.0000 C 0.000153 0.001368 0.111491 0.9115 R-squared 0.440302 Mean dependent var -1.56E-05 Adjusted R-squared 0.432840 S.D. dependent var 0.015938 S.E. of regression 0.012003 Akaike info criterion -5.981715 Sum squared resid 0.010805 Schwarz criterion -5.920836 Log likelihood 232.2960 Hannan-Quinn criter. -5.957364 F-statistic 59.00093 Durbin-Watson stat 2.046676 Prob(F-statistic) 0.000000
63
Null Hypothesis: D(LNCPI) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-3.795405
0.0044
Test critical values:
1% level
-3.517847
5% level
-2.899619
10% level
-2.587134
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNCPI,2)
Method: Least Squares
Date: 09/04/12 Time: 10:46
Sample (adjusted): 2006M03 2012M07
Included observations: 77 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(LNCPI(-1))
-0.322546
0.084983
-3.795405
0.0003
C
0.002698
0.001133
2.381187
0.0198
R-squared
0.161122
Mean dependent var
-0.000311
Adjusted R-squared
0.149937
S.D. dependent var
0.007703
S.E. of regression
0.007102
Akaike info criterion
-7.031271
Sum squared resid
0.003783
Schwarz criterion
-6.970393
Log likelihood
272.7039
Hannan-Quinn criter.
-7.006921
F-statistic
14.40510
Durbin-Watson stat
1.920595
Prob(F-statistic)
0.000297
63 Null Hypothesis: D(LNCPI) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.795405 0.0044 Test critical values: 1% level -3.517847 5% level -2.899619 10% level -2.587134 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNCPI,2) Method: Least Squares Date: 09/04/12 Time: 10:46 Sample (adjusted): 2006M03 2012M07 Included observations: 77 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNCPI(-1)) -0.322546 0.084983 -3.795405 0.0003 C 0.002698 0.001133 2.381187 0.0198 R-squared 0.161122 Mean dependent var -0.000311 Adjusted R-squared 0.149937 S.D. dependent var 0.007703 S.E. of regression 0.007102 Akaike info criterion -7.031271 Sum squared resid 0.003783 Schwarz criterion -6.970393 Log likelihood 272.7039 Hannan-Quinn criter. -7.006921 F-statistic 14.40510 Durbin-Watson stat 1.920595 Prob(F-statistic) 0.000297
64
Null Hypothesis: D(LNEXC) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-9.079260
0.0000
Test critical values:
1% level
-3.517847
5% level
-2.899619
10% level
-2.587134
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNEXC,2)
Method: Least Squares
Date: 09/04/12 Time: 10:46
Sample (adjusted): 2006M03 2012M07
Included observations: 77 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(LNEXC(-1))
-1.047744
0.115400
-9.079260
0.0000
C
0.003693
0.001391
2.655221
0.0097
R-squared
0.523607
Mean dependent var
-1.52E-05
Adjusted R-squared
0.517255
S.D. dependent var
0.016792
S.E. of regression
0.011667
Akaike info criterion
-6.038444
Sum squared resid
0.010209
Schwarz criterion
-5.977566
Log likelihood
234.4801
Hannan-Quinn criter.
-6.014093
F-statistic
82.43296
Durbin-Watson stat
2.019122
Prob(F-statistic)
0.000000
64 Null Hypothesis: D(LNEXC) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -9.079260 0.0000 Test critical values: 1% level -3.517847 5% level -2.899619 10% level -2.587134 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNEXC,2) Method: Least Squares Date: 09/04/12 Time: 10:46 Sample (adjusted): 2006M03 2012M07 Included observations: 77 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNEXC(-1)) -1.047744 0.115400 -9.079260 0.0000 C 0.003693 0.001391 2.655221 0.0097 R-squared 0.523607 Mean dependent var -1.52E-05 Adjusted R-squared 0.517255 S.D. dependent var 0.016792 S.E. of regression 0.011667 Akaike info criterion -6.038444 Sum squared resid 0.010209 Schwarz criterion -5.977566 Log likelihood 234.4801 Hannan-Quinn criter. -6.014093 F-statistic 82.43296 Durbin-Watson stat 2.019122 Prob(F-statistic) 0.000000
65
Null Hypothesis: D(LNIPI) has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-8.524811
0.0000
Test critical values:
1% level
-3.520307
5% level
-2.900670
10% level
-2.587691
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNIPI,2)
Method: Least Squares
Date: 09/04/12 Time: 10:47
Sample (adjusted): 2006M05 2012M07
Included observations: 75 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(LNIPI(-1))
-2.377931
0.278942
-8.524811
0.0000
D(LNIPI(-1),2)
0.745614
0.205802
3.622971
0.0005
D(LNIPI(-2),2)
0.277169
0.112803
2.457102
0.0165
C
0.012830
0.007291
1.759680
0.0828
R-squared
0.756181
Mean dependent var
-0.000147
Adjusted R-squared
0.745879
S.D. dependent var
0.122886
S.E. of regression
0.061947
Akaike info criterion
-2.673202
Sum squared resid
0.272462
Schwarz criterion
-2.549603
Log likelihood
104.2451
Hannan-Quinn criter.
-2.623850
F-statistic
73.39990
Durbin-Watson stat
2.084114
Prob(F-statistic)
0.000000
65 Null Hypothesis: D(LNIPI) has a unit root Exogenous: Constant Lag Length: 2 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.524811 0.0000 Test critical values: 1% level -3.520307 5% level -2.900670 10% level -2.587691 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNIPI,2) Method: Least Squares Date: 09/04/12 Time: 10:47 Sample (adjusted): 2006M05 2012M07 Included observations: 75 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNIPI(-1)) -2.377931 0.278942 -8.524811 0.0000 D(LNIPI(-1),2) 0.745614 0.205802 3.622971 0.0005 D(LNIPI(-2),2) 0.277169 0.112803 2.457102 0.0165 C 0.012830 0.007291 1.759680 0.0828 R-squared 0.756181 Mean dependent var -0.000147 Adjusted R-squared 0.745879 S.D. dependent var 0.122886 S.E. of regression 0.061947 Akaike info criterion -2.673202 Sum squared resid 0.272462 Schwarz criterion -2.549603 Log likelihood 104.2451 Hannan-Quinn criter. -2.623850 F-statistic 73.39990 Durbin-Watson stat 2.084114 Prob(F-statistic) 0.000000
66
Null Hypothesis: D(LNM2) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-8.540447
0.0000
Test critical values:
1% level
-3.517847
5% level
-2.899619
10% level
-2.587134
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNM2,2)
Method: Least Squares
Date: 09/04/12 Time: 10:47
Sample (adjusted): 2006M03 2012M07
Included observations: 77 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(LNM2(-1))
-0.982804
0.115076
-8.540447
0.0000
C
0.016134
0.003177
5.077894
0.0000
R-squared
0.493035
Mean dependent var
0.000131
Adjusted R-squared
0.486276
S.D. dependent var
0.031414
S.E. of regression
0.022516
Akaike info criterion
-4.723582
Sum squared resid
0.038022
Schwarz criterion
-4.662703
Log likelihood
183.8579
Hannan-Quinn criter.
-4.699231
F-statistic
72.93924
Durbin-Watson stat
1.985480
Prob(F-statistic)
0.000000
66 Null Hypothesis: D(LNM2) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.540447 0.0000 Test critical values: 1% level -3.517847 5% level -2.899619 10% level -2.587134 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNM2,2) Method: Least Squares Date: 09/04/12 Time: 10:47 Sample (adjusted): 2006M03 2012M07 Included observations: 77 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNM2(-1)) -0.982804 0.115076 -8.540447 0.0000 C 0.016134 0.003177 5.077894 0.0000 R-squared 0.493035 Mean dependent var 0.000131 Adjusted R-squared 0.486276 S.D. dependent var 0.031414 S.E. of regression 0.022516 Akaike info criterion -4.723582 Sum squared resid 0.038022 Schwarz criterion -4.662703 Log likelihood 183.8579 Hannan-Quinn criter. -4.699231 F-statistic 72.93924 Durbin-Watson stat 1.985480 Prob(F-statistic) 0.000000
67
Null Hypothesis: D(LNVNI) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=11)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-6.265281
0.0000
Test critical values:
1% level
-3.517847
5% level
-2.899619
10% level
-2.587134
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LNVNI,2)
Method: Least Squares
Date: 09/04/12 Time: 10:47
Sample (adjusted): 2006M03 2012M07
Included observations: 77 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(LNVNI(-1))
-0.665734
0.106258
-6.265281
0.0000
C
-0.000541
0.013114
-0.041282
0.9672
R-squared
0.343566
Mean dependent var
-0.003151
Adjusted R-squared
0.334814
S.D. dependent var
0.141027
S.E. of regression
0.115020
Akaike info criterion
-1.461783
Sum squared resid
0.992228
Schwarz criterion
-1.400905
Log likelihood
58.27865
Hannan-Quinn criter.
-1.437432
F-statistic
39.25374
Durbin-Watson stat
1.993031
Prob(F-statistic)
0.000000
67 Null Hypothesis: D(LNVNI) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.265281 0.0000 Test critical values: 1% level -3.517847 5% level -2.899619 10% level -2.587134 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNVNI,2) Method: Least Squares Date: 09/04/12 Time: 10:47 Sample (adjusted): 2006M03 2012M07 Included observations: 77 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNVNI(-1)) -0.665734 0.106258 -6.265281 0.0000 C -0.000541 0.013114 -0.041282 0.9672 R-squared 0.343566 Mean dependent var -0.003151 Adjusted R-squared 0.334814 S.D. dependent var 0.141027 S.E. of regression 0.115020 Akaike info criterion -1.461783 Sum squared resid 0.992228 Schwarz criterion -1.400905 Log likelihood 58.27865 Hannan-Quinn criter. -1.437432 F-statistic 39.25374 Durbin-Watson stat 1.993031 Prob(F-statistic) 0.000000
68
PH LC 2
XÁC ĐỊNH ĐỘ TR TI ƢU
VAR Lag Order Selection Criteria
Endogenous variables: DLNVNI DLNM2 DLNIPI DLNEXC DLNCPI
DIR
Exogenous variables: C
Date: 09/04/12 Time: 10:37
Sample: 2006M01 2012M07
Included observations: 71
Lag
LogL
LR
FPE
AIC
SC
HQ
0
974.4743
NA
5.72e-20
-27.28097
-27.08975*
-27.20493
1
1032.178
104.0297
3.11e-20*
-27.89235*
-26.55386
-27.36007*
2
1056.303
39.41519
4.44e-20
-27.55783
-25.07207
-26.56932
3
1102.745
68.02772*
3.50e-20
-27.85197
-24.21894
-26.40723
4
1126.122
30.29152
5.57e-20
-27.49640
-22.71609
-25.59542
5
1145.161
21.45254
1.08e-19
-27.01863
-21.09105
-24.66142
6
1181.547
34.84869
1.45e-19
-27.02951
-19.95465
-24.21606
7
1211.675
23.76239
2.76e-19
-26.86408
-18.64195
-23.59440
* 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
68 PHỤ LỤC 2 XÁC ĐỊNH ĐỘ TRỄ TỐI ƢU VAR Lag Order Selection Criteria Endogenous variables: DLNVNI DLNM2 DLNIPI DLNEXC DLNCPI DIR Exogenous variables: C Date: 09/04/12 Time: 10:37 Sample: 2006M01 2012M07 Included observations: 71 Lag LogL LR FPE AIC SC HQ 0 974.4743 NA 5.72e-20 -27.28097 -27.08975* -27.20493 1 1032.178 104.0297 3.11e-20* -27.89235* -26.55386 -27.36007* 2 1056.303 39.41519 4.44e-20 -27.55783 -25.07207 -26.56932 3 1102.745 68.02772* 3.50e-20 -27.85197 -24.21894 -26.40723 4 1126.122 30.29152 5.57e-20 -27.49640 -22.71609 -25.59542 5 1145.161 21.45254 1.08e-19 -27.01863 -21.09105 -24.66142 6 1181.547 34.84869 1.45e-19 -27.02951 -19.95465 -24.21606 7 1211.675 23.76239 2.76e-19 -26.86408 -18.64195 -23.59440 * 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
69
PH LC 3
KIM ĐNH ĐNG LIÊN KT BẰNG PHƢƠNG PHÁP JOHANSEN
Date: 09/04/12 Time: 10:49
Sample (adjusted): 2006M04 2012M07
Included observations: 76 after adjustments
Trend assumption: Linear deterministic trend
Series: LNVNI LNM2 LNIPI LNEXC LNCPI IR
Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesized
Trace
0.05
No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**
None *
0.520552
131.1289
95.75366
0.0000
At most 1 *
0.364331
75.25979
69.81889
0.0172
At most 2
0.272840
40.82598
47.85613
0.1943
At most 3
0.100735
16.61176
29.79707
0.6685
At most 4
0.084722
8.542305
15.49471
0.4094
At most 5
0.023588
1.814194
3.841466
0.1780
Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized
Max-Eigen
0.05
No. of CE(s)
Eigenvalue
Statistic
Critical Value
Prob.**
None *
0.520552
55.86914
40.07757
0.0004
At most 1 *
0.364331
34.43381
33.87687
0.0429
At most 2
0.272840
24.21422
27.58434
0.1274
At most 3
0.100735
8.069459
21.13162
0.8994
At most 4
0.084722
6.728111
14.26460
0.5218
At most 5
0.023588
1.814194
3.841466
0.1780
69 PHỤ LỤC 3 KIỂM ĐỊNH ĐỒNG LIÊN KẾT BẰNG PHƢƠNG PHÁP JOHANSEN Date: 09/04/12 Time: 10:49 Sample (adjusted): 2006M04 2012M07 Included observations: 76 after adjustments Trend assumption: Linear deterministic trend Series: LNVNI LNM2 LNIPI LNEXC LNCPI IR Lags interval (in first differences): 1 to 2 Unrestricted Cointegration Rank Test (Trace) Hypothesized Trace 0.05 No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.520552 131.1289 95.75366 0.0000 At most 1 * 0.364331 75.25979 69.81889 0.0172 At most 2 0.272840 40.82598 47.85613 0.1943 At most 3 0.100735 16.61176 29.79707 0.6685 At most 4 0.084722 8.542305 15.49471 0.4094 At most 5 0.023588 1.814194 3.841466 0.1780 Trace test indicates 2 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized Max-Eigen 0.05 No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.520552 55.86914 40.07757 0.0004 At most 1 * 0.364331 34.43381 33.87687 0.0429 At most 2 0.272840 24.21422 27.58434 0.1274 At most 3 0.100735 8.069459 21.13162 0.8994 At most 4 0.084722 6.728111 14.26460 0.5218 At most 5 0.023588 1.814194 3.841466 0.1780
70
Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
70 Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
71
PH LC 4
MÔ HÌNH VAR
Vector Autoregression Estimates
Date: 09/04/12 Time: 10:38
Sample (adjusted): 2006M05 2012M07
Included observations: 75 after adjustments
Standard errors in ( ) & t-statistics in [ ]
DLNVNI
DLNM2
DLNIPI
DLNEXC
DLNCPI
DIR
DLNVNI(-1)
0.308061
-0.006400
0.012632
-0.034154
0.009269
0.002992
(0.12599)
(0.02740)
(0.07101)
(0.01260)
(0.00786)
(0.01295)
[ 2.44513]
[-0.23354]
[ 0.17790]
[-2.71119]
[ 1.18001]
[ 0.23108]
DLNVNI(-2)
0.011175
0.014490
-0.004010
-0.005494
-0.003109
0.015254
(0.12615)
(0.02744)
(0.07110)
(0.01261)
(0.00787)
(0.01296)
[ 0.08858]
[ 0.52807]
[-0.05640]
[-0.43553]
[-0.39524]
[ 1.17660]
DLNVNI(-3)
-0.138723
-0.001304
0.049933
-0.012599
-0.002375
0.012949
(0.12112)
(0.02635)
(0.06827)
(0.01211)
(0.00755)
(0.01245)
[-1.14531]
[-0.04951]
[ 0.73145]
[-1.04030]
[-0.31452]
[ 1.04032]
DLNM2(-1)
-0.856951
-0.036066
-0.112977
0.032771
-0.005541
-0.108725
(0.61104)
(0.13291)
(0.34439)
(0.06110)
(0.03810)
(0.06280)
[-1.40244]
[-0.27135]
[-0.32805]
[ 0.53638]
[-0.14546]
[-1.73142]
DLNM2(-2)
-0.865170
0.110206
-0.106001
0.011724
0.054111
0.070452
(0.61064)
(0.13282)
(0.34416)
(0.06106)
(0.03807)
(0.06275)
[-1.41682]
[ 0.82970]
[-0.30800]
[ 0.19202]
[ 1.42127]
[ 1.12267]
DLNM2(-3)
0.306686
-0.009866
0.917013
-0.271286
0.061970
0.085455
(0.63205)
(0.13748)
(0.35623)
(0.06320)
(0.03941)
(0.06495)
[ 0.48523]
[-0.07176]
[ 2.57423]
[-4.29270]
[ 1.57257]
[ 1.31562]
DLNIPI(-1)
0.211894
0.017958
-0.538732
-0.006626
0.016031
0.022180
(0.22660)
(0.04929)
(0.12771)
(0.02266)
(0.01413)
(0.02329)
71 PHỤ LỤC 4 MÔ HÌNH VAR Vector Autoregression Estimates Date: 09/04/12 Time: 10:38 Sample (adjusted): 2006M05 2012M07 Included observations: 75 after adjustments Standard errors in ( ) & t-statistics in [ ] DLNVNI DLNM2 DLNIPI DLNEXC DLNCPI DIR DLNVNI(-1) 0.308061 -0.006400 0.012632 -0.034154 0.009269 0.002992 (0.12599) (0.02740) (0.07101) (0.01260) (0.00786) (0.01295) [ 2.44513] [-0.23354] [ 0.17790] [-2.71119] [ 1.18001] [ 0.23108] DLNVNI(-2) 0.011175 0.014490 -0.004010 -0.005494 -0.003109 0.015254 (0.12615) (0.02744) (0.07110) (0.01261) (0.00787) (0.01296) [ 0.08858] [ 0.52807] [-0.05640] [-0.43553] [-0.39524] [ 1.17660] DLNVNI(-3) -0.138723 -0.001304 0.049933 -0.012599 -0.002375 0.012949 (0.12112) (0.02635) (0.06827) (0.01211) (0.00755) (0.01245) [-1.14531] [-0.04951] [ 0.73145] [-1.04030] [-0.31452] [ 1.04032] DLNM2(-1) -0.856951 -0.036066 -0.112977 0.032771 -0.005541 -0.108725 (0.61104) (0.13291) (0.34439) (0.06110) (0.03810) (0.06280) [-1.40244] [-0.27135] [-0.32805] [ 0.53638] [-0.14546] [-1.73142] DLNM2(-2) -0.865170 0.110206 -0.106001 0.011724 0.054111 0.070452 (0.61064) (0.13282) (0.34416) (0.06106) (0.03807) (0.06275) [-1.41682] [ 0.82970] [-0.30800] [ 0.19202] [ 1.42127] [ 1.12267] DLNM2(-3) 0.306686 -0.009866 0.917013 -0.271286 0.061970 0.085455 (0.63205) (0.13748) (0.35623) (0.06320) (0.03941) (0.06495) [ 0.48523] [-0.07176] [ 2.57423] [-4.29270] [ 1.57257] [ 1.31562] DLNIPI(-1) 0.211894 0.017958 -0.538732 -0.006626 0.016031 0.022180 (0.22660) (0.04929) (0.12771) (0.02266) (0.01413) (0.02329)