Table 4 Estimation results of vector autoregression

WADD(−1)

−0.036288

0.105734

0.001240

0.000312

(0.23098)

(0.03564)

(0.00061)

(0.00032)

[−0.15711]

[2.96710]

[2.01734]

[0.96334]

WADD(−2)

0.353715

0.055955

0.000606

−0.000110

(0.21662)

(0.03342)

(0.00058)

(0.00030)

[1.63286]

[1.67426]

[1.05173]

[−0.36129]

NIM(−1)

−0.245814

0.419979

0.005668

0.006656

(1.26348)

(0.19493)

(0.00336)

(0.00177)

[−0.19455]

[2.15453]

[1.68521]

[3.76257]

NIM(−2)

−1.033027

−0.082488

−0.003100

−0.001881

(1.38455)

(0.21361)

(0.00369)

(0.00194)

[−0.74611]

[−0.38617]

[−0.84112]

[−0.97044]

RA(−1)

93.17694

−41.15077

−0.092349

−0.736102

(65.3747)

(10.0860)

(0.17403)

(0.09153)

[1.42528]

[−4.08001]

[−0.53065]

[−8.04234]

RA(−2)

−26.16846

37.18016

0.714498

0.527164

(86.1895)

(13.2973)

(0.22944)

(0.12067)

[−0.30362]

[2.79608]

[3.11410]

[4.36863]

IIP(−1)

−197.1447

101.6222

0.967578

1.047774

(145.312)

(22.4186)

(0.38683)

(0.20345)

[−1.35670]

[4.53293]

[2.50132]

[5.15015]

IIP(−2)

−44.92863

16.35838

−0.172899

−0.462508

(113.633)

(17.5311)

(0.30249)

(0.15909)

[−0.39539]

[0.93310]

[−0.57158]

[−2.90717]

C

3.827766

0.704900

0.003853

0.000238

(3.36996)

(0.51991)

(0.00897)

(0.00472)

[1.13585]

[1.35580]

[0.42955]

[0.05040]

R-squared

0.752010

0.838717

0.732881

0.890176

Adj. R-squared

0.635308

0.762820

0.607179

0.838495