VECM model output
| Full sample size: 761, end sample size: 750 | |||||
|---|---|---|---|---|---|
| AIC −16,948.62, BIC −16,495.85, SSR 1.654678 | |||||
| ECT | Intercept | RAP-1 | RFP-1 | RSP-1 | |
| Equation RAP | −0.4515 (0.0922)*** | 0.0001 (0.0013) | −0.6646 (0.0950)*** | −0.7157 (0.2189)** | 0.9536 (0.1813)*** |
| Equation RFP | 0.3675 (0.0683)*** | −0.0005 (0.0010) | −0.2018 (0.0704)** | 0.0276 (0.1623) | −0.7246 (0.1344)*** |
| Equation RSP | −0.1871 (0.0484)*** | 4e-05 (0.0007) | 0.3409 (0.0499)*** | −0.3215 (0.1149)** | −0.6953 (0.0952)*** |
| RAP-2 | RFP-2 | RSP-2 | RAP-3 | RFP-3 | RSP-3 |
| −0.7100 (0.1055)*** | −0.5093 (0.2046)* | 0.7672 (0.1998)*** | −0.7760 (0.1178)*** | −0.4443 (0.1900)* | 0.7384 (0.2132)*** |
| −0.1040 (0.0782) | −0.0159 (0.1516) | −0.7889 (0.1481)*** | −0.1016 (0.0873) | −0.0662 (0.1408) | −0.7530 (0.1581)*** |
| 0.4188 (0.0554)*** | −0.2716 (0.1074)* | −0.8043 (0.1049)*** | 0.3976 (0.0619)*** | −0.2146 (0.0997)* | −0.7453 (0.1119)*** |
| RAP-4 | RFP-4 | RSP-4 | RAP-5 | RFP-5 | RSP-5 |
| −0.7462 (0.1286)*** | −0.3115 (0.1740) | 0.7282 (0.2197)*** | −0.5123 (0.1352)*** | −0.2859 (0.1576) | 0.4554 (0.2171)* |
| −0.0362 (0.0953) | −0.0764 (0.1290) | −0.6384 (0.1628)*** | 0.0370 (0.1002) | −0.1009 (0.1168) | −0.6671 (0.1609)*** |
| 0.3943 (0.0675)*** | −0.1988 (0.0913)* | −0.6059 (0.1153)*** | 0.4164 (0.0710)*** | −0.1788 (0.0828)* | −0.5814 (0.1140)*** |
| RAP-6 | RFP-6 | RSP-6 | RAP-7 | RFP-7 | RSP-7 |
| −0.3624 (0.1340)** | −0.1898 (0.1414) | 0.3007 (0.2083) | −0.2045 (0.1228) | −0.1769 (0.1240) | 0.1836 (0.1909) |
| 0.0571 (0.0993) | −0.0968 (0.1048) | −0.5528 (0.1544)*** | 0.0709 (0.0910) | −0.1330 (0.0919) | −0.5198 (0.1415)*** |
| 0.3792 (0.0703)*** | −0.0876 (0.0742) | −0.5281 (0.1094)*** | 0.3416 (0.0644)*** | −0.0816 (0.0651) | −0.4063 (0.1002)*** |
| RAP-8 | RFP-8 | RSP-8 | RAP-9 | RFP-9 | RSP-9 |
| −0.1128 (0.1054) | −0.1415 (0.1047) | −0.0169 (0.1645) | 0.0496 (0.0815) | −0.1833 (0.0831)* | −0.0974 (0.1296) |
| 0.1340 (0.0781) | −0.0743 (0.0776) | −0.4679 (0.1219)*** | 0.1171 (0.0604) | −0.1003 (0.0616) | −0.2891 (0.0961)** |
| 0.2666 (0.0553)*** | −0.0221 (0.0550) | −0.2970 (0.0864)*** | 0.2084 (0.0428)*** | −0.0534 (0.0436) | −0.1964 (0.0680)** |
| RAP-10 | RFP-10 | RSP-10 | |||
| 0.1119 (0.0506)* | −0.1536 (0.0583)** | −0.1216 (0.0879) | RAP = auction price | ||
| 0.0543 (0.0375) | −0.0795 (0.0432) | −0.0934 (0.0651) | RFP = futures price | ||
| 0.0899 (0.0266)*** | −0.0374 (0.0306) | −0.0199 (0.0461) | RSP = spot price | ||
| Full sample size: 761, end sample size: 750 | |||||
|---|---|---|---|---|---|
| AIC −16,948.62, BIC −16,495.85, SSR 1.654678 | |||||
| ECT | Intercept | RAP-1 | RFP-1 | RSP-1 | |
| Equation RAP | −0.4515 (0.0922)*** | 0.0001 (0.0013) | −0.6646 (0.0950)*** | −0.7157 (0.2189)** | 0.9536 (0.1813)*** |
| Equation RFP | 0.3675 (0.0683)*** | −0.0005 (0.0010) | −0.2018 (0.0704)** | 0.0276 (0.1623) | −0.7246 (0.1344)*** |
| Equation RSP | −0.1871 (0.0484)*** | 4e-05 (0.0007) | 0.3409 (0.0499)*** | −0.3215 (0.1149)** | −0.6953 (0.0952)*** |
| RAP-2 | RFP-2 | RSP-2 | RAP-3 | RFP-3 | RSP-3 |
| −0.7100 (0.1055)*** | −0.5093 (0.2046)* | 0.7672 (0.1998)*** | −0.7760 (0.1178)*** | −0.4443 (0.1900)* | 0.7384 (0.2132)*** |
| −0.1040 (0.0782) | −0.0159 (0.1516) | −0.7889 (0.1481)*** | −0.1016 (0.0873) | −0.0662 (0.1408) | −0.7530 (0.1581)*** |
| 0.4188 (0.0554)*** | −0.2716 (0.1074)* | −0.8043 (0.1049)*** | 0.3976 (0.0619)*** | −0.2146 (0.0997)* | −0.7453 (0.1119)*** |
| RAP-4 | RFP-4 | RSP-4 | RAP-5 | RFP-5 | RSP-5 |
| −0.7462 (0.1286)*** | −0.3115 (0.1740) | 0.7282 (0.2197)*** | −0.5123 (0.1352)*** | −0.2859 (0.1576) | 0.4554 (0.2171)* |
| −0.0362 (0.0953) | −0.0764 (0.1290) | −0.6384 (0.1628)*** | 0.0370 (0.1002) | −0.1009 (0.1168) | −0.6671 (0.1609)*** |
| 0.3943 (0.0675)*** | −0.1988 (0.0913)* | −0.6059 (0.1153)*** | 0.4164 (0.0710)*** | −0.1788 (0.0828)* | −0.5814 (0.1140)*** |
| RAP-6 | RFP-6 | RSP-6 | RAP-7 | RFP-7 | RSP-7 |
| −0.3624 (0.1340)** | −0.1898 (0.1414) | 0.3007 (0.2083) | −0.2045 (0.1228) | −0.1769 (0.1240) | 0.1836 (0.1909) |
| 0.0571 (0.0993) | −0.0968 (0.1048) | −0.5528 (0.1544)*** | 0.0709 (0.0910) | −0.1330 (0.0919) | −0.5198 (0.1415)*** |
| 0.3792 (0.0703)*** | −0.0876 (0.0742) | −0.5281 (0.1094)*** | 0.3416 (0.0644)*** | −0.0816 (0.0651) | −0.4063 (0.1002)*** |
| RAP-8 | RFP-8 | RSP-8 | RAP-9 | RFP-9 | RSP-9 |
| −0.1128 (0.1054) | −0.1415 (0.1047) | −0.0169 (0.1645) | 0.0496 (0.0815) | −0.1833 (0.0831)* | −0.0974 (0.1296) |
| 0.1340 (0.0781) | −0.0743 (0.0776) | −0.4679 (0.1219)*** | 0.1171 (0.0604) | −0.1003 (0.0616) | −0.2891 (0.0961)** |
| 0.2666 (0.0553)*** | −0.0221 (0.0550) | −0.2970 (0.0864)*** | 0.2084 (0.0428)*** | −0.0534 (0.0436) | −0.1964 (0.0680)** |
| RAP-10 | RFP-10 | RSP-10 | |||
| 0.1119 (0.0506)* | −0.1536 (0.0583)** | −0.1216 (0.0879) | RAP = auction price | ||
| 0.0543 (0.0375) | −0.0795 (0.0432) | −0.0934 (0.0651) | RFP = futures price | ||
| 0.0899 (0.0266)*** | −0.0374 (0.0306) | −0.0199 (0.0461) | RSP = spot price | ||
Notes:
Figures in parentheses are probability values; The asterisks indicate the following level of significance: ***1%, **5% and *10%
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