Table 5.

Result of the VECM model

Dependent variables
Independent variablesΔLNBSEΔLNCRUDE_OILΔLNEXCHANGE_RATE
ECT (γ1)−0.365277** [−1.99664]0.637103 [0.82577]−0.150396* [−1.91680]
ECT (γ2)−0.682769*** [−3.25738]−2.110115** [−2.38712]0.352532*** [3.92154]
ΔLNBSE (−1)−0.548914* [−1.89379]−0.985257 [−0.80603]−0.072555 [−0.58366]
ΔLNBSE (−2)0.443932*** [2.87238]−0.273131 [−0.41905]−0.084397 [−1.27325]
ΔLNBSE (−3)0.080220 [0.31168]−0.495970 [−0.45694]0.123356 [1.11751]
ΔLNCRUDE_OIL (−1)0.991070*** [3.48618]1.638656 [1.36681]−0.217737* [−1.78584]
ΔLNCRUDE_OIL (−2)0.464306* [1.93987]0.765850 [0.75873]−0.050633 [−0.49325]
ΔLNCRUDE_OIL (−3)−0.068876 [−0.59851]0.043334 [0.08929]0.013514 [0.27382]
ΔLNEXCHANGE_RATE (−1)3.597147*** [3.62176]6.642354 [1.58583]−1.873618*** [−4.39852]
ΔLNEXCHANGE_RATE (−2)4.975735*** [3.31632]7.130694 [1.12695]−1.196622* [−1.85960]
ΔLNEXCHANGE_RATE (−3)1.350603 [1.13205]2.489758 [0.49484]−0.053600 [−0.10475]
C−0.140744 [−1.37376]−0.154803 [−0.35829]0.122117*** [2.77921]
R-squared0.9350480.6934330.906248

Note(s):

Statistically significant at ***1; **5 and *10% level. [] indicates t-values

Source(s): Authors’ calculation
[ViewLarge]
This Feature Is Available To Subscribers Only

or Create an Account

Close Modal
Close Modal