Оценка потенциального уровня потерь конкретного банка по его кредитному портфелю
Виды стресс-тестирования финансовых рисков, международный опыт их применения в банках. Модели, устанавливающие количественные взаимосвязи между микро-, макро-показателями и уровнем неработающих ссуд по розничному и корпоративному кредитным портфелям.
| Рубрика | Банковское, биржевое дело и страхование |
| Вид | дипломная работа |
| Язык | русский |
| Дата добавления | 30.09.2016 |
| Размер файла | 788,8 K |
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0.028768
6.659884
-0.260489
-0.127838
(0.17086)
(0.02255)
(2.21219)
(0.24429)
(0.05105)
[ 1.14138]
[ 1.27575]
[ 3.01054]
[-1.06631]
[-2.50395]
D(D(LOG(NPLI(-4))))
0.411998
-0.014607
1.038778
-0.177264
0.017396
(0.20830)
(0.02749)
(2.69691)
(0.29782)
(0.06224)
[ 1.97794]
[-0.53134]
[ 0.38517]
[-0.59521]
[ 0.27950]
D(D(LOG(NPLI(-5))))
-0.203976
-0.013460
5.369367
0.397299
-0.021809
(0.19439)
(0.02566)
(2.51691)
(0.27794)
(0.05809)
[-1.04929]
[-0.52465]
[ 2.13332]
[ 1.42944]
[-0.37545]
D(D(LOG(NPLI(-6))))
-0.497710
-0.020479
0.943597
-0.099778
0.044863
(0.16903)
(0.02231)
(2.18846)
(0.24167)
(0.05051)
[-2.94456]
[-0.91802]
[ 0.43117]
[-0.41287]
[ 0.88826]
D(LOG(WAGE_SM(-1)))
0.321942
1.406763
-5.096412
-2.061686
-0.371068
(1.55570)
(0.20532)
(20.1424)
(2.22430)
(0.46486)
[ 0.20694]
[ 6.85155]
[-0.25302]
[-0.92689]
[-0.79823]
D(LOG(WAGE_SM(-2)))
4.170707
-1.084376
-9.849914
4.387716
0.910331
(3.26081)
(0.43036)
(42.2191)
(4.66222)
(0.97436)
[ 1.27904]
[-2.51970]
[-0.23330]
[ 0.94112]
[ 0.93428]
D(LOG(WAGE_SM(-3)))
-7.481455
0.197388
-5.054355
-1.119328
-0.542028
(4.20849)
(0.55543)
(54.4891)
(6.01719)
(1.25754)
[-1.77771]
[ 0.35538]
[-0.09276]
[-0.18602]
[-0.43102]
D(LOG(WAGE_SM(-4)))
6.636338
0.517137
14.79685
-3.716865
-0.161605
(4.07412)
(0.53770)
(52.7494)
(5.82507)
(1.21739)
[ 1.62890]
[ 0.96176]
[ 0.28051]
[-0.63808]
[-0.13275]
D(LOG(WAGE_SM(-5)))
-1.333077
-0.529467
-30.23269
6.090740
0.789584
(3.09318)
(0.40823)
(40.0487)
(4.42254)
(0.92427)
[-0.43097]
[-1.29697]
[-0.75490]
[ 1.37720]
[ 0.85428]
D(LOG(WAGE_SM(-6)))
-2.906685
0.474379
8.031745
-3.834795
-0.274960
(1.83674)
(0.24241)
(23.7811)
(2.62612)
(0.54884)
[-1.58252]
[ 1.95691]
[ 0.33774]
[-1.46025]
[-0.50099]
D(D(LOG(CPI(-1))))
-0.012845
0.002713
-0.586025
0.023757
0.002406
(0.01538)
(0.00203)
(0.19912)
(0.02199)
(0.00460)
[-0.83526]
[ 1.33643]
[-2.94312]
[ 1.08042]
[ 0.52349]
D(D(LOG(CPI(-2))))
-0.006579
0.003232
-0.632755
-0.046563
0.001613
(0.01843)
(0.00243)
(0.23858)
(0.02635)
(0.00551)
[-0.35704]
[ 1.32908]
[-2.65221]
[-1.76739]
[ 0.29294]
D(D(LOG(CPI(-3))))
0.019081
0.004167
-0.563508
-0.047771
-0.006400
(0.01999)
(0.00264)
(0.25886)
(0.02859)
(0.00597)
[ 0.95436]
[ 1.57906]
[-2.17685]
[-1.67113]
[-1.07132]
D(D(LOG(CPI(-4))))
0.032449
0.002895
-0.223579
-0.033958
-0.001183
(0.01824)
(0.00241)
(0.23619)
(0.02608)
(0.00545)
[ 1.77883]
[ 1.20244]
[-0.94662]
[-1.30197]
[-0.21705]
D(D(LOG(CPI(-5))))
0.048152
0.004489
-0.069466
-0.092772
-0.004301
(0.01614)
(0.00213)
(0.20892)
(0.02307)
(0.00482)
[ 2.98412]
[ 2.10797]
[-0.33250]
[-4.02117]
[-0.89197]
D(D(LOG(CPI(-6))))
0.022464
0.003337
-0.083747
-0.040400
-0.000270
(0.01722)
(0.00227)
(0.22292)
(0.02462)
(0.00514)
[ 1.30473]
[ 1.46866]
[-0.37569]
[-1.64117]
[-0.05248]
D(LOG(SPRD_SM(-1)))
0.280848
-0.009497
0.820436
0.842237
0.031502
(0.13961)
(0.01843)
(1.80754)
(0.19961)
(0.04172)
[ 2.01171]
[-0.51546]
[ 0.45390]
[ 4.21951]
[ 0.75515]
D(LOG(SPRD_SM(-2)))
-0.482702
-0.052980
-3.053048
-0.702856
0.001543
(0.19658)
(0.02594)
(2.54516)
(0.28106)
(0.05874)
[-2.45555]
[-2.04211]
[-1.19955]
[-2.50074]
[ 0.02627]
D(LOG(SPRD_SM(-3)))
0.654240
0.043095
4.360078
-0.131481
-0.025074
(0.22682)
(0.02994)
(2.93671)
(0.32430)
(0.06778)
[ 2.88443]
[ 1.43961]
[ 1.48468]
[-0.40543]
[-0.36996]
D(LOG(SPRD_SM(-4)))
-0.053787
-0.034764
-5.738624
0.196266
0.096017
(0.20721)
(0.02735)
(2.68287)
(0.29627)
(0.06192)
[-0.25957]
[-1.27117]
[-2.13899]
[ 0.66246]
[ 1.55073]
D(LOG(SPRD_SM(-5)))
-0.254253
0.004673
2.496386
0.026293
-0.054629
(0.17243)
(0.02276)
(2.23259)
(0.24654)
(0.05153)
[-1.47448]
[ 0.20533]
[ 1.11816]
[ 0.10665]
[-1.06024]
D(LOG(SPRD_SM(-6)))
-0.161082
0.005603
-3.324360
0.189930
0.014467
(0.12971)
(0.01712)
(1.67943)
(0.18546)
(0.03876)
[-1.24185]
[ 0.32729]
[-1.97945]
[ 1.02411]
[ 0.37325]
D(LOG(UNPL_SM(-1)))
1.245487
-0.074065
0.121433
2.209740
1.591299
(0.70966)
(0.09366)
(9.18823)
(1.01465)
(0.21205)
[ 1.75506]
[-0.79079]
[ 0.01322]
[ 2.17784]
[ 7.50426]
D(LOG(UNPL_SM(-2)))
-0.789925
0.114476
17.63653
-4.423581
-1.835359
(1.02913)
(0.13582)
(13.3246)
(1.47142)
(0.30751)
[-0.76757]
[ 0.84283]
[ 1.32361]
[-3.00633]
[-5.96836]
D(LOG(UNPL_SM(-3)))
0.546986
-0.024081
-25.22467
5.782682
1.686762
(1.21676)
(0.16059)
(15.7540)
(1.73970)
(0.36358)
[ 0.44954]
[-0.14996]
[-1.60116]
[ 3.32396]
[ 4.63929]
D(LOG(UNPL_SM(-4)))
-0.178497
-0.168938
22.96041
-5.607886
-1.514524
(1.21809)
(0.16076)
(15.7712)
(1.74160)
(0.36398)
[-0.14654]
[-1.05085]
[ 1.45584]
[-3.21996]
[-4.16101]
D(LOG(UNPL_SM(-5)))
0.731543
0.200928
-16.85457
3.309666
0.983251
(1.02140)
(0.13480)
(13.2245)
(1.46037)
(0.30520)
[ 0.71622]
[ 1.49052]
[-1.27449]
[ 2.26632]
[ 3.22161]
D(LOG(UNPL_SM(-6)))
0.080637
-0.079751
12.23085
-2.262683
-0.391061
(0.47175)
(0.06226)
(6.10798)
(0.67450)
(0.14096)
[ 0.17093]
[-1.28090]
[ 2.00244]
[-3.35461]
[-2.77418]
C
0.047607
-0.001524
0.580502
-0.024750
-0.011567
(0.02551)
(0.00337)
(0.33026)
(0.03647)
(0.00762)
[ 1.86638]
[-0.45264]
[ 1.75774]
[-0.67865]
[-1.51765]
CRISIS08
-0.088263
-0.000776
0.305252
0.107123
0.000408
(0.04299)
(0.00567)
(0.55661)
(0.06147)
(0.01285)
[-2.05311]
[-0.13670]
[ 0.54842]
[ 1.74281]
[ 0.03172]
CRISIS14
0.032485
-0.016495
-1.208040
-0.073430
0.021329
(0.04712)
(0.00622)
(0.61005)
(0.06737)
(0.01408)
[ 0.68944]
[-2.65247]
[-1.98022]
[-1.08999]
[ 1.51490]
R-squared
0.811516
0.978141
0.757206
0.934368
0.970158
Adj. R-squared
0.476432
0.939282
0.325573
0.817690
0.917106
Sum sq. resids
0.028003
0.000488
4.694272
0.057245
0.002500
S.E. equation
0.039442
0.005206
0.510679
0.056394
0.011786
F-statistic
2.421833
25.17113
1.754281
8.008050
18.28676
Log likelihood
119.0697
222.3504
-11.53606
100.8364
180.6750
Akaike AIC
-3.375284
-7.425506
1.746512
-2.660251
-5.791176
Schwarz SC
-2.125279
-6.175502
2.996517
-1.410246
-4.541171
Mean dependent
0.001994
0.015855
0.008393
-0.024575
-0.007788
S.D. dependent
0.054510
0.021126
0.621842
0.132077
0.040935
Determinant resid covariance (dof adj.)
6.37E-16
Determinant resid covariance
3.49E-18
Log likelihood
663.2049
Akaike information criterion
-19.53745
Schwarz criterion
-13.28742
Приложение 3
Индекс sm в названии графика означает, что ряд сезонно сглажен.
Приложение 4
|
Vector Autoregression Estimates |
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|
Date: 03/06/16 Time: 11:47 |
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|
Sample (adjusted): 2002Q2 2015Q3 |
||||||||
|
Included observations: 54 after adjustments |
||||||||
|
Standard errors in ( ) & t-statistics in [ ] |
||||||||
|
D(LOG(CPC)) |
D(LOG(EXCH)) |
D(LOG(GDP_SM)) |
D(LOG(IPC_SM)) |
D(LOG(NPLC)) |
D(LOG(OIL)) |
D(LOG(SPRD_SM)) |
||
|
D(LOG(CPC(-1))) |
0.306221 |
0.039090 |
0.001426 |
-5.08E-05 |
-1.210606 |
-0.254121 |
0.217628 |
|
|
(0.21543) |
(0.20190) |
(0.01856) |
(0.01505) |
(1.63528) |
(0.43215) |
(0.37354) |
||
|
[ 1.42147] |
[ 0.19361] |
[ 0.07683] |
[-0.00338] |
[-0.74030] |
[-0.58805] |
[ 0.58262] |
||
|
D(LOG(CPC(-2))) |
-0.147051 |
0.182377 |
-0.000471 |
-0.015911 |
-0.831044 |
-0.166228 |
0.001089 |
|
|
(0.17820) |
(0.16702) |
(0.01535) |
(0.01245) |
(1.35274) |
(0.35748) |
(0.30900) |
||
|
[-0.82518] |
[ 1.09198] |
[-0.03065] |
[-1.27840] |
[-0.61434] |
[-0.46500] |
[ 0.00352] |
||
|
D(LOG(CPC(-3))) |
-0.078083 |
-0.073430 |
0.001515 |
0.010989 |
1.733305 |
0.578468 |
-0.063288 |
|
|
(0.16350) |
(0.15324) |
(0.01408) |
(0.01142) |
(1.24115) |
(0.32799) |
(0.28351) |
||
|
[-0.47756] |
[-0.47919] |
[ 0.10758] |
[ 0.96229] |
[ 1.39654] |
[ 1.76368] |
[-0.22323] |
||
|
D(LOG(CPC(-4))) |
0.132551 |
0.008219 |
0.003956 |
-0.014040 |
-2.745021 |
-0.115805 |
0.278615 |
|
|
(0.13032) |
(0.12214) |
(0.01123) |
(0.00910) |
(0.98927) |
(0.26143) |
(0.22597) |
||
|
[ 1.01711] |
[ 0.06729] |
[ 0.35245] |
[-1.54252] |
[-2.77480] |
[-0.44297] |
[ 1.23297] |
||
|
D(LOG(EXCH(-1))) |
-0.369391 |
-0.535942 |
-0.006639 |
-0.005422 |
0.366893 |
0.212023 |
-0.137099 |
|
|
(0.26841) |
(0.25156) |
(0.02312) |
(0.01875) |
(2.03750) |
(0.53844) |
(0.46541) |
||
|
[-1.37621] |
[-2.13047] |
[-0.28715] |
[-0.28924] |
[ 0.18007] |
[ 0.39377] |
[-0.29458] |
||
|
D(LOG(EXCH(-2))) |
-0.740742 |
-0.643713 |
-0.011013 |
-0.010055 |
0.013211 |
-0.070552 |
0.203698 |
|
|
(0.25614) |
(0.24006) |
(0.02206) |
(0.01789) |
(1.94437) |
(0.51383) |
(0.44414) |
||
|
[-2.89190] |
[-2.68144] |
[-0.49915] |
[-0.56205] |
[ 0.00679] |
[-0.13731] |
[ 0.45864] |
||
|
D(LOG(EXCH(-3))) |
0.175942 |
-0.021453 |
0.000186 |
0.013796 |
-4.063347 |
-0.125763 |
0.336885 |
|
|
(0.34150) |
(0.32006) |
(0.02942) |
(0.02385) |
(2.59231) |
(0.68505) |
(0.59214) |
||
|
[ 0.51520] |
[-0.06703] |
[ 0.00631] |
[ 0.57842] |
[-1.56746] |
[-0.18358] |
[ 0.56893] |
||
|
D(LOG(EXCH(-4))) |
0.604618 |
0.136797 |
-0.007608 |
-0.041650 |
2.213435 |
-0.472182 |
0.148356 |
|
|
(0.32646) |
(0.30596) |
(0.02812) |
(0.02280) |
(2.47811) |
(0.65487) |
(0.56606) |
||
|
[ 1.85207] |
[ 0.44711] |
[-0.27054] |
[-1.82670] |
[ 0.89320] |
[-0.72103] |
[ 0.26209] |
||
|
D(LOG(GDP_SM(-1))) |
-1.878127 |
-5.205738 |
1.719937 |
-0.135533 |
-24.43560 |
10.77813 |
-2.824522 |
|
|
(2.75287) |
(2.58004) |
(0.23713) |
(0.19227) |
(20.8969) |
(5.52230) |
(4.77332) |
||
|
[-0.68224] |
[-2.01770] |
[ 7.25326] |
[-0.70492] |
[-1.16934] |
[ 1.95175] |
[-0.59173] |
||
|
D(LOG(GDP_SM(-2))) |
5.469647 |
3.259639 |
-1.604165 |
0.216583 |
24.76536 |
-4.694546 |
-1.336316 |
|
|
(4.50870) |
(4.22563) |
(0.38837) |
(0.31490) |
(34.2253) |
(9.04453) |
(7.81784) |
||
|
[ 1.21313] |
[ 0.77140] |
[-4.13051] |
[ 0.68778] |
[ 0.72360] |
[-0.51905] |
[-0.17093] |
||
|
D(LOG(GDP_SM(-3))) |
-5.171345 |
-4.153457 |
0.755526 |
-0.015276 |
11.48330 |
-2.685955 |
7.244743 |
|
|
(4.70765) |
(4.41208) |
(0.40551) |
(0.32880) |
(35.7355) |
(9.44361) |
(8.16279) |
||
|
[-1.09850] |
[-0.94138] |
[ 1.86317] |
[-0.04646] |
[ 0.32134] |
[-0.28442] |
[ 0.88753] |
||
|
D(LOG(GDP_SM(-4))) |
0.608236 |
2.146681 |
-0.116779 |
0.052865 |
5.826779 |
-2.134662 |
-3.681060 |
|
|
(2.44678) |
(2.29316) |
(0.21076) |
(0.17089) |
(18.5734) |
(4.90828) |
(4.24258) |
||
|
[ 0.24859] |
[ 0.93612] |
[-0.55408] |
[ 0.30935] |
[ 0.31372] |
[-0.43491] |
[-0.86765] |
||
|
D(LOG(IPC_SM(-1))) |
0.026642 |
2.854737 |
-0.372222 |
0.856116 |
-10.28411 |
4.122599 |
0.428091 |
|
|
(2.84852) |
(2.66968) |
(0.24537) |
(0.19895) |
(21.6230) |
(5.71418) |
(4.93918) |
||
|
[ 0.00935] |
[ 1.06932] |
[-1.51701] |
[ 4.30320] |
[-0.47561] |
[ 0.72147] |
[ 0.08667] |
||
|
D(LOG(IPC_SM(-2))) |
3.563684 |
-1.609862 |
0.114628 |
-0.857581 |
21.73060 |
5.040044 |
5.932618 |
|
|
(3.71776) |
(3.48435) |
(0.32024) |
(0.25966) |
(28.2214) |
(7.45789) |
(6.44639) |
||
|
[ 0.95856] |
[-0.46203] |
[ 0.35794] |
[-3.30272] |
[ 0.77001] |
[ 0.67580] |
[ 0.92030] |
||
|
D(LOG(IPC_SM(-3))) |
-3.431064 |
-3.656225 |
0.099092 |
0.201575 |
-27.45390 |
12.44399 |
-5.769450 |
|
|
(3.70892) |
(3.47606) |
(0.31948) |
(0.25904) |
(28.1542) |
(7.44015) |
(6.43106) |
||
|
[-0.92508] |
[-1.05183] |
[ 0.31017] |
[ 0.77816] |
[-0.97512] |
[ 1.67254] |
[-0.89712] |
||
|
D(LOG(IPC_SM(-4))) |
-0.846263 |
-2.560590 |
-0.212089 |
-0.114501 |
47.77791 |
1.251282 |
7.169185 |
|
|
(2.81193) |
(2.63539) |
(0.24221) |
(0.19639) |
(21.3452) |
(5.64078) |
(4.87573) |
||
|
[-0.30095] |
[-0.97162] |
[-0.87563] |
[-0.58302] |
[ 2.23834] |
[ 0.22183] |
[ 1.47038] |
||
|
D(LOG(NPLC(-1))) |
0.035423 |
0.025751 |
-0.001322 |
0.000727 |
-0.191048 |
-0.023709 |
0.005397 |
|
|
(0.02361) |
(0.02212) |
(0.00203) |
(0.00165) |
(0.17919) |
(0.04735) |
(0.04093) |
||
|
[ 1.50057] |
[ 1.16393] |
[-0.65008] |
[ 0.44091] |
[-1.06615] |
[-0.50067] |
[ 0.13185] |
||
|
D(LOG(NPLC(-2))) |
0.001019 |
0.013310 |
0.000876 |
0.000650 |
-0.006568 |
0.065183 |
0.007805 |
|
|
(0.02205) |
(0.02066) |
(0.00190) |
(0.00154) |
(0.16737) |
(0.04423) |
(0.03823) |
||
|
[ 0.04620] |
[ 0.64407] |
[ 0.46128] |
[ 0.42237] |
[-0.03924] |
[ 1.47368] |
[ 0.20416] |
||
|
D(LOG(NPLC(-3))) |
-0.008850 |
-0.004782 |
0.001252 |
0.001598 |
0.072158 |
0.049004 |
-0.029491 |
|
|
(0.02169) |
(0.02032) |
(0.00187) |
(0.00151) |
(0.16461) |
(0.04350) |
(0.03760) |
||
|
[-0.40811] |
[-0.23528] |
[ 0.67001] |
[ 1.05488] |
[ 0.43835] |
[ 1.12649] |
[-0.78431] |
||
|
D(LOG(NPLC(-4))) |
-0.028089 |
-0.015526 |
0.001442 |
0.000991 |
-0.214772 |
0.010830 |
0.037260 |
|
|
(0.02186) |
(0.02049) |
(0.00188) |
(0.00153) |
(0.16596) |
(0.04386) |
(0.03791) |
||
|
[-1.28476] |
[-0.75771] |
[ 0.76548] |
[ 0.64924] |
[-1.29409] |
[ 0.24692] |
[ 0.98286] |
||
|
D(LOG(OIL(-1))) |
-0.130377 |
0.043372 |
-0.008083 |
-0.000597 |
0.694771 |
-0.352397 |
-0.014155 |
|
|
(0.11155) |
(0.10454) |
(0.00961) |
(0.00779) |
(0.84675) |
(0.22376) |
(0.19342) |
||
|
[-1.16881] |
[ 0.41487] |
[-0.84123] |
[-0.07659] |
[ 0.82052] |
[-1.57486] |
[-0.07319] |
||
|
D(LOG(OIL(-2))) |
-0.143491 |
0.232484 |
-0.017938 |
0.003059 |
0.338530 |
-0.599122 |
0.002355 |
|
|
(0.10772) |
(0.10096) |
(0.00928) |
(0.00752) |
(0.81770) |
(0.21609) |
(0.18678) |
||
|
[-1.33207] |
[ 2.30280] |
[-1.93324] |
[ 0.40654] |
[ 0.41400] |
[-2.77258] |
[ 0.01261] |
||
|
D(LOG(OIL(-3))) |
0.083925 |
0.138303 |
0.005547 |
-0.003759 |
-2.257575 |
-0.135636 |
-0.009670 |
|
|
(0.12159) |
(0.11396) |
(0.01047) |
(0.00849) |
(0.92300) |
(0.24392) |
(0.21083) |
||
|
[ 0.69021] |
[ 1.21362] |
[ 0.52960] |
[-0.44258] |
[-2.44590] |
[-0.55608] |
[-0.04586] |
||
|
D(LOG(OIL(-4))) |
0.125671 |
0.145255 |
-0.009356 |
-0.011875 |
0.088033 |
0.166418 |
-0.161786 |
|
|
(0.11656) |
(0.10924) |
(0.01004) |
(0.00814) |
(0.88482) |
(0.23383) |
(0.20211) |
||
|
[ 1.07815] |
[ 1.32964] |
[-0.93181] |
[-1.45871] |
[ 0.09949] |
[ 0.71172] |
[-0.80048] |
||
|
D(LOG(SPRD_SM(-1))) |
-0.133904 |
0.108195 |
-0.009929 |
0.003948 |
0.220273 |
-0.614411 |
0.685110 |
|
|
(0.12849) |
(0.12042) |
(0.01107) |
(0.00897) |
(0.97534) |
(0.25775) |
(0.22279) |
||
|
[-1.04216] |
[ 0.89848] |
[-0.89716] |
[ 0.43992] |
[ 0.22584] |
[-2.38377] |
[ 3.07514] |
||
|
D(LOG(SPRD_SM(-2))) |
0.078523 |
0.111809 |
-0.008781 |
0.006260 |
0.100389 |
0.208394 |
-0.604351 |
|
|
(0.16047) |
(0.15040) |
(0.01382) |
(0.01121) |
(1.21812) |
(0.32191) |
(0.27825) |
||
|
[ 0.48933] |
[ 0.74344] |
[-0.63525] |
[ 0.55853] |
[ 0.08241] |
[ 0.64738] |
[-2.17200] |
||
|
D(LOG(SPRD_SM(-3))) |
-0.153942 |
0.090627 |
-0.003334 |
-0.001562 |
-0.149005 |
-0.395569 |
-0.023274 |
|
|
(0.16850) |
(0.15792) |
(0.01451) |
(0.01177) |
(1.27910) |
(0.33802) |
(0.29218) |
||
|
[-0.91358] |
[ 0.57386] |
[-0.22972] |
[-0.13268] |
[-0.11649] |
[-1.17025] |
[-0.07966] |
||
|
D(LOG(SPRD_SM(-4))) |
-0.209276 |
0.006267 |
0.002838 |
0.007367 |
0.758229 |
0.022628 |
-0.078243 |
|
|
(0.14287) |
(0.13390) |
(0.01231) |
(0.00998) |
(1.08454) |
(0.28661) |
(0.24773) |
||
|
[-1.46477] |
[ 0.04680] |
[ 0.23064] |
[ 0.73831] |
[ 0.69912] |
[ 0.07895] |
[-0.31584] |
||
|
C |
0.048848 |
0.025622 |
0.003256 |
0.001119 |
0.058080 |
0.038214 |
-0.042980 |
|
|
(0.02447) |
(0.02293) |
(0.00211) |
(0.00171) |
(0.18573) |
(0.04908) |
(0.04243) |
||
|
[ 1.99642] |
[ 1.11730] |
[ 1.54512] |
[ 0.65452] |
[ 0.31270] |
[ 0.77855] |
[-1.01308] |
||
|
CRISIS08 |
-0.008116 |
-0.041165 |
-0.006341 |
-0.007343 |
0.797962 |
-0.001812 |
0.136479 |
|
|
(0.05551) |
(0.05203) |
(0.00478) |
(0.00388) |
(0.42137) |
(0.11135) |
(0.09625) |
||
|
[-0.14620] |
[-0.79125] |
[-1.32622] |
[-1.89405] |
[ 1.89371] |
[-0.01628] |
[ 1.41794] |
||
|
CRISIS14 |
0.044771 |
0.319338 |
-0.009923 |
0.003565 |
0.514905 |
-0.508795 |
-0.209107 |
|
|
(0.07322) |
(0.06862) |
(0.00631) |
(0.00511) |
(0.55579) |
(0.14688) |
(0.12695) |
||
|
[ 0.61148] |
[ 4.65369] |
[-1.57342] |
[ 0.69715] |
[ 0.92644] |
[-3.46413] |
[-1.64710] |
||
|
R-squared |
0.806722 |
0.814919 |
0.960842 |
0.789468 |
0.765220 |
0.816055 |
0.804169 |
|
|
Adj. R-squared |
0.554620 |
0.573510 |
0.909767 |
0.514862 |
0.458986 |
0.576126 |
0.548738 |
|
|
Sum sq. resids |
0.059373 |
0.052152 |
0.000441 |
0.000290 |
3.421247 |
0.238924 |
0.178510 |
|
|
S.E. equation |
0.050808 |
0.047618 |
0.004376 |
0.003549 |
0.385681 |
0.101922 |
0.088098 |
|
|
F-statistic |
3.199985 |
3.375671 |
18.81224 |
2.874906 |
2.498806 |
3.401242 |
3.148279 |
|
|
Log likelihood |
107.3254 |
110.8268 |
239.7230 |
251.0469 |
-2.130247 |
69.73331 |
77.60390 |
|
|
Akaike AIC |
-2.826867 |
-2.956550 |
-7.730482 |
-8.149884 |
1.227046 |
-1.434567 |
-1.726070 |
|
|
Schwarz SC |
-1.685043 |
-1.814725 |
-6.588658 |
-7.008060 |
2.368870 |
-0.292743 |
-0.584246 |
|
|
Mean dependent |
0.052240 |
0.013398 |
0.008453 |
-0.000121 |
0.079313 |
0.014419 |
-0.018248 |
|
|
S.D. dependent |
0.076132 |
0.072915 |
0.014569 |
0.005095 |
0.524353 |
0.156548 |
0.131145 |
|
|
Determinant resid covariance (dof adj.) |
1.65E-21 |
|||||||
|
Determinant resid covariance |
4.19E-24 |
|||||||
|
Log likelihood |
917.0013 |
|||||||
|
Akaike information criterion |
-25.92597 |
|||||||
|
Schwarz criterion |
-17.93321 |
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