Analisis Integrasi Sektor Pebankan ASEAN+3 Berdasarkan Analisis keterkaitan Central Bank Rate Dengan Menggunakan Metode VAR Periode Tahun 2006-2013

  

LAMPIRAN

  Null Hypothesis: D(RIND) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.552818 0.0086 Test critical values: 1% level -3.501445

  5% level -2.892536 10% level -2.583371 *MacKinnon (1996) one-sided p-values.

  Augmented Dickey-Fuller Test Equation Dependent Variable: D(RIND,2) Method: Least Squares Date: 09/29/14 Time: 20:51 Sample (adjusted): 2006M03 2013M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  D(RIND(-1)) -0.241296 0.067917 -3.552818 0.0006 C -0.013477 0.014756 -0.913270 0.3635

  R-squared 0.120648 Mean dependent var 0.000000 Adjusted R-squared 0.111090 S.D. dependent var 0.146647 S.E. of regression 0.138262 Akaike info criterion -1.098288 Sum squared resid 1.758704 Schwarz criterion -1.044175 Log likelihood 53.61951 Hannan-Quinn criter. -1.076430 F-statistic 12.62251 Durbin-Watson stat 1.987053 Prob(F-statistic) 0.000604

  

101

RCIN First Difference

  Null Hypothesis: D(RCIN) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.344753 0.0000 Test critical values: 1% level -3.501445

  5% level -2.892536 10% level -2.583371 *MacKinnon (1996) one-sided p-values.

  Augmented Dickey-Fuller Test Equation Dependent Variable: D(RCIN,2) Method: Least Squares Date: 09/29/14 Time: 20:51 Sample (adjusted): 2006M03 2013M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  D(RCIN(-1)) -0.861632 0.103254 -8.344753 0.0000 C -0.000733 0.015459 -0.047436 0.9623

  R-squared 0.430816 Mean dependent var

  4.15E-18 Adjusted R-squared 0.424629 S.D. dependent var 0.197588 S.E. of regression 0.149877 Akaike info criterion -0.936963 Sum squared resid 2.066593 Schwarz criterion -0.882850 Log likelihood 46.03726 Hannan-Quinn criter. -0.915106 F-statistic 69.63490 Durbin-Watson stat 1.994589 Prob(F-statistic) 0.000000

  102

RJEP First Difference

  Null Hypothesis: D(RJEP) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.820292 0.0000 Test critical values: 1% level -3.501445

  5% level -2.892536 10% level -2.583371 *MacKinnon (1996) one-sided p-values.

  Augmented Dickey-Fuller Test Equation Dependent Variable: D(RJEP,2) Method: Least Squares Date: 09/29/14 Time: 22:34 Sample (adjusted): 2006M03 2013M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  D(RJEP(-1)) -0.538242 0.092477 -5.820292 0.0000 C -0.000172 0.003256 -0.052764 0.9580

  R-squared 0.269121 Mean dependent var

  2.84E-19 Adjusted R-squared 0.261176 S.D. dependent var 0.036720 S.E. of regression 0.031563 Akaike info criterion -4.052618 Sum squared resid 0.091652 Schwarz criterion -3.998506 Log likelihood 192.4731 Hannan-Quinn criter. -4.030761 F-statistic 33.87580 Durbin-Watson stat 1.902786 Prob(F-statistic) 0.000000

  103

RKSL First Difference

  Null Hypothesis: D(RKSL) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.889522 0.0031 Test critical values: 1% level -3.501445

  5% level -2.892536 10% level -2.583371 *MacKinnon (1996) one-sided p-values.

  Augmented Dickey-Fuller Test Equation Dependent Variable: D(RKSL,2) Method: Least Squares Date: 09/29/14 Time: 20:55 Sample (adjusted): 2006M03 2013M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  D(RKSL(-1)) -0.276003 0.070961 -3.889522 0.0002 C -0.005556 0.012675 -0.438318 0.6622

  R-squared 0.141217 Mean dependent var -0.001915 Adjusted R-squared 0.131883 S.D. dependent var 0.131536 S.E. of regression 0.122556 Akaike info criterion -1.339457 Sum squared resid 1.381829 Schwarz criterion -1.285344 Log likelihood 64.95446 Hannan-Quinn criter. -1.317599 F-statistic 15.12838 Durbin-Watson stat 1.879898 Prob(F-statistic) 0.000190

  104

RMAL First Difference

  Null Hypothesis: D(RMAL) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -9.250776 0.0000 Test critical values: 1% level -3.501445

  5% level -2.892536 10% level -2.583371 *MacKinnon (1996) one-sided p-values.

  Augmented Dickey-Fuller Test Equation Dependent Variable: D(RMAL,2) Method: Least Squares Date: 09/29/14 Time: 20:56 Sample (adjusted): 2006M03 2013M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  D(RMAL(-1)) -0.963799 0.104186 -9.250776 0.0000 C -0.000927 0.015105 -0.061347 0.9512

  R-squared 0.481914 Mean dependent var -0.000106 Adjusted R-squared 0.476283 S.D. dependent var 0.202360 S.E. of regression 0.146444 Akaike info criterion -0.983297 Sum squared resid 1.973025 Schwarz criterion -0.929184 Log likelihood 48.21495 Hannan-Quinn criter. -0.961439 F-statistic 85.57685 Durbin-Watson stat 1.971835 Prob(F-statistic) 0.000000

  105

RTHA First Difference

  Null Hypothesis: D(RTHA) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.264321 0.0000 Test critical values: 1% level -3.501445

  5% level -2.892536 10% level -2.583371 *MacKinnon (1996) one-sided p-values.

  Augmented Dickey-Fuller Test Equation Dependent Variable: D(RTHA,2) Method: Least Squares Date: 09/29/14 Time: 20:57 Sample (adjusted): 2006M03 2013M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  D(RTHA(-1)) -0.852145 0.103111 -8.264321 0.0000 C -0.018131 0.024368 -0.744035 0.4588

  R-squared 0.426073 Mean dependent var 0.000000 Adjusted R-squared 0.419834 S.D. dependent var 0.308918 S.E. of regression 0.235298 Akaike info criterion -0.034878 Sum squared resid 5.093606 Schwarz criterion 0.019234 Log likelihood 3.639286 Hannan-Quinn criter. -0.013021 F-statistic 68.29900 Durbin-Watson stat 1.974754

  106

RSGP First Difference

  Null Hypothesis: D(RSGP) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -9.870000 0.0000 Test critical values: 1% level -3.501445

  5% level -2.892536 10% level -2.583371 *MacKinnon (1996) one-sided p-values.

  Augmented Dickey-Fuller Test Equation Dependent Variable: D(RSGP,2) Method: Least Squares Date: 09/29/14 Time: 20:58 Sample (adjusted): 2006M03 2013M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  D(RSGP(-1)) -1.026875 0.104040 -9.870000 0.0000 C -0.031442 0.017764 -1.769923 0.0801

  R-squared 0.514299 Mean dependent var -0.000745 Adjusted R-squared 0.509020 S.D. dependent var 0.242004 S.E. of regression 0.169572 Akaike info criterion -0.690026 Sum squared resid 2.645443 Schwarz criterion -0.635913 Log likelihood 34.43122 Hannan-Quinn criter. -0.668168 F-statistic 97.41690 Durbin-Watson stat 2.005215 Prob(F-statistic) 0.000000 .

  107

RFIL First Difference

  Null Hypothesis: D(RFIL) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.334738 0.0000 Test critical values: 1% level -3.501445

  5% level -2.892536 10% level -2.583371 *MacKinnon (1996) one-sided p-values.

  Augmented Dickey-Fuller Test Equation Dependent Variable: D(RFIL,2) Method: Least Squares Date: 09/29/14 Time: 20:59 Sample (adjusted): 2006M03 2013M12 Included observations: 94 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  D(RFIL(-1)) -0.860454 0.103237 -8.334738 0.0000 C -0.036615 0.023219 -1.576931 0.1182

  S.E. of regression 0.221053 Akaike info criterion -0.159786 Sum squared resid 4.495508 Schwarz criterion -0.105673 Log likelihood 9.509938 Hannan-Quinn criter. -0.137928 Durbin-Watson stat 2.014931

  108 VAR Lag Order Selection Criteria Endogenous variables: RJEP RKSL RMAL RCIN RFIL RIND RTHA RSGP Exogenous variables: C Date: 09/29/14 Time: 21:16 Sample: 2006M01 2013M12 Included observations: 91

  Lag LogL LR FPE AIC SC HQ

• 253.0826 NA 4.29e-08 5.738078 5.958813 5.827131 1 566.9864* 1477.926* 2.62e-15* -10.87882* -8.892207* -10.07735* 2 659.9842 151.2492 1.43e-15 -11.51614 -7.763643 -10.00224 3 742.5779 119.8063 1.03e-15 -11.92479 -6.406417 -9.698470 4 810.8616 87.04299 1.10e-15 -12.01894 -4.734686 -9.080195 5 884.2168 80.61005 1.18e-15 -12.22454 -3.174414 -8.573381
• 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

  109

Output Uji Granger Causality

  

110

  Pairwise Granger Causality Tests Date: 09/29/14 Time: 21:21 Sample: 2006M01 2013M12 Lags: 1 Null Hypothesis: Obs F-Statistic Prob.

  RFIL does not Granger Cause RCIN 95 0.02904 0.8651 RCIN does not Granger Cause RFIL 6.21692 0.0144 RIND does not Granger Cause RCIN 95 0.17353 0.6780 RCIN does not Granger Cause RIND 26.7394

  1.E-06 RJEP does not Granger Cause RCIN 95 0.72970 0.3952 RCIN does not Granger Cause RJEP 0.06369 0.8013 RKSL does not Granger Cause RCIN 95 2.63126 0.1082 RCIN does not Granger Cause RKSL 0.01311 0.9091 RMAL does not Granger Cause RCIN 95 0.06642 0.7972 RCIN does not Granger Cause RMAL 4.28110 0.0413 RSGP does not Granger Cause RCIN 95 0.81960 0.3677 RCIN does not Granger Cause RSGP 0.75523 0.3871 RTHA does not Granger Cause RCIN 95 0.46474 0.4971 RCIN does not Granger Cause RTHA 0.07258 0.7882 RIND does not Granger Cause RFIL 95 6.99969 0.0096 RFIL does not Granger Cause RIND 6.20516 0.0145 RJEP does not Granger Cause RFIL 95 0.18995 0.6640 RFIL does not Granger Cause RJEP 8.84582 0.0038 RKSL does not Granger Cause RFIL 95 0.99292 0.3216 RFIL does not Granger Cause RKSL 0.61544 0.4348 RMAL does not Granger Cause RFIL 95 0.14726 0.7021 RFIL does not Granger Cause RMAL 6.89290 0.0101 RSGP does not Granger Cause RFIL 95 4.52203 0.0361 RFIL does not Granger Cause RSGP 0.86003 0.3562 RTHA does not Granger Cause RFIL 95 6.40899 0.0131 RFIL does not Granger Cause RTHA 0.12965 0.7196 RJEP does not Granger Cause RIND 95 1.74810 0.1894 RIND does not Granger Cause RJEP 3.76034 0.0555

  111

  RKSL does not Granger Cause RIND 95 4.00745 0.0482 RIND does not Granger Cause RKSL 0.00610 0.9379 RMAL does not Granger Cause RIND 95 0.59171 0.4437 RIND does not Granger Cause RMAL 7.21678 0.0086 RSGP does not Granger Cause RIND 95 0.60329 0.4393 RIND does not Granger Cause RSGP 2.67171 0.1056 RTHA does not Granger Cause RIND 95 0.01383 0.9066 RIND does not Granger Cause RTHA 0.40324 0.5270 RKSL does not Granger Cause RJEP 95 6.43270 0.0129 RJEP does not Granger Cause RKSL 1.37417 0.2441 RMAL does not Granger Cause RJEP 95 3.59941 0.0609 RJEP does not Granger Cause RMAL 0.67735 0.4126 RSGP does not Granger Cause RJEP 95 20.8272

  2.E-05 RJEP does not Granger Cause RSGP 5.74141 0.0186 RTHA does not Granger Cause RJEP 95 11.0170 0.0013 RJEP does not Granger Cause RTHA 2.56986 0.1123 RMAL does not Granger Cause RKSL 95 2.34833 0.1288 RKSL does not Granger Cause RMAL 8.28621 0.0050 RSGP does not Granger Cause RKSL 95 6.49013 0.0125 RKSL does not Granger Cause RSGP 1.93710 0.1673 RTHA does not Granger Cause RKSL 95 2.19614 0.1418 RKSL does not Granger Cause RTHA 0.00211 0.9635 RSGP does not Granger Cause RMAL 95 6.76000 0.0109 RMAL does not Granger Cause RSGP 0.28374 0.5955 RTHA does not Granger Cause RMAL 95 9.31534 0.0030 RMAL does not Granger Cause RTHA 1.30470 0.2563 RTHA does not Granger Cause RSGP 95 0.71003 0.4016 RSGP does not Granger Cause RTHA 0.30005 0.5852

Output Estimasi VAR

  DRMAL(- 1) -0.007252 -0.103871 -0.037803 0.113611 -0.087604 0.753009 0.075446 -0.074919

  [ 2.90446] [-0.60410] [-0.61881] [-3.20656] [ 0.44443] [ 0.73156] [-0.48723] [-0.27419] R- squared 0.873928 0.978286 0.991718 0.971782 0.981754 0.840844 0.977869 0.965149

  C 0.401683 -0.079557 -0.038329 -1.437240 0.069458 0.124221 -0.217220 -0.073116 (0.13830) (0.13170) (0.06194) (0.44822) (0.15628) (0.16980) (0.44582) (0.26666)

  (0.03347) (0.03188) (0.01499) (0.10849) (0.03783) (0.04110) (0.10791) (0.06454) [-0.15529] [ 0.82839] [-2.68520] [-3.05116] [-1.71832] [ 0.78115] [ 0.49325] [ 11.1812]

  DRTHA(- 1) -0.005198 0.026406 -0.040256 -0.331010 -0.064999 0.032105 0.053225 0.721675

  (0.01421) (0.01353) (0.00636) (0.04606) (0.01606) (0.01745) (0.04581) (0.02740) [ 1.92366] [ 0.91818] [ 3.94227] [ 5.57988] [ 4.79575] [ 0.07984] [ 21.6036] [ 0.86326]

  DRSGP(- 1) 0.027338 0.012426 0.025092 0.257004 0.077019 0.001393 0.989725 0.023656

  (0.05601) (0.05334) (0.02509) (0.18154) (0.06330) (0.06877) (0.18057) (0.10800) [-0.12947] [-1.94737] [-1.50689] [ 0.62583] [-1.38399] [ 10.9492] [ 0.41783] [-0.69367]

  

112

  Vector Autoregression Estimates Date: 09/29/14 Time: 22:51 Sample (adjusted): 2006M06 2013M12 Included observations: 91 after adjustments Standard errors in ( ) & t-statistics in [ ]

  DRKSL(- 1) 0.079373 -0.062782 0.009454 0.300849 0.931512 -0.015470 -0.166290 0.536741

  (0.01414) (0.01346) (0.00633) (0.04583) (0.01598) (0.01736) (0.04558) (0.02726) [-0.44002] [ 0.28954] [-2.36676] [ 13.4574] [-3.46944] [ 0.36161] [-0.86795] [-3.88874]

  DRJEP(- 1) -0.006222 0.003899 -0.014988 0.616695 -0.055436 0.006278 -0.039562 -0.106021

  (0.06783) (0.06459) (0.03038) (0.21982) (0.07665) (0.08328) (0.21865) (0.13078) [-0.69835] [ 1.64132] [ 31.1556] [-2.10271] [-4.58294] [ 0.44403] [-1.26867] [-0.32924]

  [-1.36044] [ 15.0906] [-1.44282] [ 1.95645] [ 2.88779] [ 0.06684] [ 1.33735] [-0.45797] DRIND(-1) -0.047366 0.106009 0.946410 -0.462217 -0.351267 0.036977 -0.277388 -0.043059

  DRFIL(-1) -0.084326 0.890728 -0.040054 0.393029 0.202277 0.005087 0.267224 -0.054735 (0.06198) (0.05903) (0.02776) (0.20089) (0.07005) (0.07610) (0.19982) (0.11952)

  (0.09108) (0.08673) (0.04079) (0.29518) (0.10292) (0.11182) (0.29360) (0.17561) [ 8.56753] [ 2.03793] [ 5.29513] [ 2.77276] [ 3.96201] [ 0.58668] [ 0.89758] [-1.09497]

  DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA DRCIN(-1) 0.780303 0.176747 0.215989 0.818448 0.407776 0.065605 0.263526 -0.192291

  (0.06018) (0.05731) (0.02695) (0.19505) (0.06801) (0.07389) (0.19400) (0.11604) [ 1.31889] [-1.09550] [ 0.35077] [ 1.54245] [ 13.6970] [-0.20936] [-0.85715] [ 4.62543] Adj. R- squared 0.861629 0.976168 0.990910 0.969029 0.979974 0.825317 0.975709 0.961749 Sum sq. resids 0.145224 0.131689 0.029130 1.525398 0.185454 0.218923 1.509138 0.539925 S.E. equation 0.042084 0.040074 0.018848 0.136391 0.047557 0.051670 0.135662 0.081145 F-statistic 71.05292 461.8037 1227.345 352.9911 551.5199 54.15239 452.8914 283.8633 Log likelihood 163.9118 168.3634 237.0086 56.90807 152.7859 145.2368 57.39568 104.1635 Akaike AIC -3.404656 -3.502493 -5.011178 -1.052925 -3.160130 -2.994216 -1.063641 -2.091506 Schwarz SC -3.156329 -3.254166 -4.762851 -0.804598 -2.911803 -2.745890 -0.815315 -1.843179 Mean dependent 1.169418 1.526486 1.984327 -1.955569 1.137263 1.150638 -0.418413 0.949749 S.D. dependent 0.113133 0.259589 0.197685 0.775008 0.336058 0.123627 0.870439 0.414897 Determinant resid covariance (dof adj.)

  3.75E-21 Determinant resid covariance

  1.63E-21 Log likelihood 1144.945 Akaike information criterion -23.58122 Schwarz criterion -21.59461

  Estimation Proc: =============================== LS 1 1 DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA @ C

  VAR Model: =============================== DRCIN = C(1,1)*DRCIN(-1) + C(1,2)*DRFIL(-1) + C(1,3)*DRIND(-1) + C(1,4)*DRJEP(-1) + C(1,5)*DRKSL(-1) + C(1,6)*DRMAL(-1) + C(1,7)*DRSGP(-1) + C(1,8)*DRTHA(-1) + C(1,9) DRFIL = C(2,1)*DRCIN(-1) + C(2,2)*DRFIL(-1) + C(2,3)*DRIND(-1) + C(2,4)*DRJEP(-1) + C(2,5)*DRKSL(-1) + C(2,6)*DRMAL(-1) + C(2,7)*DRSGP(-1) + C(2,8)*DRTHA(-1) + C(2,9) DRIND = C(3,1)*DRCIN(-1) + C(3,2)*DRFIL(-1) + C(3,3)*DRIND(-1) + C(3,4)*DRJEP(-1) + C(3,5)*DRKSL(-1) + C(3,6)*DRMAL(-1) + C(3,7)*DRSGP(-1) + C(3,8)*DRTHA(-1) + C(3,9) DRJEP = C(4,1)*DRCIN(-1) + C(4,2)*DRFIL(-1) + C(4,3)*DRIND(-1) + C(4,4)*DRJEP(-1) + C(4,5)*DRKSL(-1) + C(4,6)*DRMAL(-1) + C(4,7)*DRSGP(-1) + C(4,8)*DRTHA(-1) + C(4,9) DRKSL = C(5,1)*DRCIN(-1) + C(5,2)*DRFIL(-1) + C(5,3)*DRIND(-1) + C(5,4)*DRJEP(-1) + C(5,5)*DRKSL(-1) + C(5,6)*DRMAL(-1) + C(5,7)*DRSGP(-1) + C(5,8)*DRTHA(-1) + C(5,9) DRMAL = C(6,1)*DRCIN(-1) + C(6,2)*DRFIL(-1) + C(6,3)*DRIND(-1) + C(6,4)*DRJEP(-1) + C(6,5)*DRKSL(-1) + C(6,6)*DRMAL(-1) + C(6,7)*DRSGP(-1) + C(6,8)*DRTHA(-1) + C(6,9) DRSGP = C(7,1)*DRCIN(-1) + C(7,2)*DRFIL(-1) + C(7,3)*DRIND(-1) + C(7,4)*DRJEP(-1) + C(7,5)*DRKSL(-1) + C(7,6)*DRMAL(-1) + C(7,7)*DRSGP(-1) + C(7,8)*DRTHA(-1) + C(7,9)

  113 DRTHA = C(8,1)*DRCIN(-1) + C(8,2)*DRFIL(-1) + C(8,3)*DRIND(-1) + C(8,4)*DRJEP(-1) + C(8,5)*DRKSL(-1) + C(8,6)*DRMAL(-1) + C(8,7)*DRSGP(-1) + C(8,8)*DRTHA(-1) + C(8,9)

  VAR Model - Substituted Coefficients: =============================== DRCIN = 0.780303000513*DRCIN(-1) - 0.0843264600478*DRFIL(-1) - 0.0473663904278*DRIND(-1) - 0.00622169675093*DRJEP(-1) + 0.0793730708259*DRKSL(-1) - 0.00725193896619*DRMAL(-1) + 0.0273382947626*DRSGP(-1) - 0.00519803408818*DRTHA(-1) + 0.401683147422 DRFIL = 0.17674703513*DRCIN(-1) + 0.890727660836*DRFIL(-1) + 0.106008945865*DRIND(-1) + 0.00389854290032*DRJEP(-1) - 0.0627816992996*DRKSL(-1) - 0.103871458699*DRMAL(-1) + 0.012425884077*DRSGP(-1) + 0.0264056306761*DRTHA(-1) - 0.0795573731095 DRIND = 0.215989301988*DRCIN(-1) - 0.0400538156147*DRFIL(-1) + 0.946409728105*DRIND(-1) - 0.0149879031858*DRJEP(-1) + 0.00945433969923*DRKSL(-1) - 0.0378026385887*DRMAL(-1) + 0.025092173764*DRSGP(-1) - 0.0402558830998*DRTHA(-1) - 0.0383285926339 DRJEP = 0.818448133855*DRCIN(-1) + 0.393028698089*DRFIL(-1) - 0.462216833285*DRIND(-1) + 0.616694848213*DRJEP(-1) + 0.300848591321*DRKSL(-1) + 0.113611106613*DRMAL(-1) + 0.257004454318*DRSGP(-1) - 0.331009932299*DRTHA(-1) - 1.43723960239 DRKSL = 0.407775522791*DRCIN(-1) + 0.202277318659*DRFIL(-1) - 0.351266946381*DRIND(-1) - 0.0554364471436*DRJEP(-1) + 0.93151185861*DRKSL(-1) - 0.0876041822691*DRMAL(-1) + 0.0770191943057*DRSGP(-1) - 0.0649992008401*DRTHA(-1) + 0.0694578399178 DRMAL = 0.0656051824464*DRCIN(-1) + 0.00508718861011*DRFIL(-1) + 0.0369769205505*DRIND(- 1) + 0.00627778333522*DRJEP(-1) - 0.0154697780863*DRKSL(-1) + 0.753008960897*DRMAL(-1) + 0.00139312520626*DRSGP(-1) + 0.0321045409919*DRTHA(-1) + 0.124220831959 DRSGP = 0.263526401258*DRCIN(-1) + 0.267223684764*DRFIL(-1) - 0.277387725591*DRIND(-1) - 0.0395620354893*DRJEP(-1) - 0.166289843816*DRKSL(-1) + 0.0754457860145*DRMAL(-1) + 0.989725222792*DRSGP(-1) + 0.05322507576*DRTHA(-1) - 0.217220271697 DRTHA = - 0.19229065018*DRCIN(-1) - 0.054735021085*DRFIL(-1) - 0.0430585377087*DRIND(-1) - 0.106021419373*DRJEP(-1) + 0.536740951894*DRKSL(-1) - 0.0749185358266*DRMAL(-1) + 0.0236555857212*DRSGP(-1) + 0.721675000407*DRTHA(-1) - 0.07311559511

  

114

  115 Vari ance Deco mpo sition of

  DRC

  IN: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA

  1 0.042084 100.0000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 2 0.054904 98.84124 0.220495 0.007107 0.004880 0.546926 0.002311 0.373702 0.003341 3 0.062995 96.56282 0.474409 0.062848 0.008641 1.623519 0.001996 1.253831 0.011940 4 0.068916 93.59292 0.616622 0.223994 0.010082 2.983377 0.002887 2.551915 0.018199 5 0.073578 90.25828 0.630110 0.534855 0.009875 4.425873 0.009300 4.114028 0.017675 6 0.077398 86.76514 0.576844 1.014090 0.008990 5.823364 0.022248 5.771783 0.017545 7 0.080613 83.23084 0.552060 1.653516 0.008661 7.107248 0.039302 7.372800 0.035574 8 0.083388 79.72214 0.653682 2.422968 0.010703 8.245373 0.056003 8.795400 0.093731 9 0.085851 76.28213 0.964168 3.277373 0.017737 9.224803 0.067865 9.954869 0.211052 10 0.088110 72.94410 1.540076 4.164374 0.033139 10.04226 0.072393 10.80529 0.398360

  Vari ance Deco mpo sition of DRFI

  L: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA

  1 0.040074 0.210087 99.78991 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 2 0.055069 2.963827 95.58622 0.229195 0.005337 0.120882 0.932258 0.076578 0.085704 3 0.065829 6.674549 89.48684 0.711905 0.016543 0.204745 2.408082 0.316346 0.180987 4 0.074379 10.64695 82.77437 1.351206 0.031822 0.217080 3.953639 0.784111 0.240819 5 0.081562 14.55285 76.06248 2.042421 0.048603 0.190660 5.312389 1.528014 0.262584 6 0.087847 18.20759 69.67296 2.695825 0.064205 0.165501 6.365211 2.569799 0.258911 7 0.093515 21.49121 63.78782 3.248947 0.076643 0.169372 7.081574 3.901245 0.243191 8 0.098729 24.32742 58.50396 3.669754 0.085048 0.215414 7.486482 5.487567 0.224356 9 0.103574 26.67884 53.85602 3.952595 0.089591 0.305730 7.635028 7.275435 0.206756 10 0.108087 28.54286 49.83257 4.110272 0.091094 0.435984 7.593029 9.202221 0.191969

  Vari ance Deco mpo sition of

  DRI ND:

  Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA 1 0.018848 0.355432 0.197791 99.44678 0.000000 0.000000 0.000000 0.000000 0.000000 2 0.027941 9.779832 0.235913 87.54475 0.052784 0.000699 0.395190 1.217113 0.773723 3 0.036784 20.75069 0.847638 72.48817 0.058608 0.002708 0.772267 3.474458 1.605456 4 0.045625 29.37466 1.785742 59.53110 0.040714 0.009885 0.919512 6.185438 2.152953 5 0.054226 35.19244 2.841024 49.51964 0.032103 0.027677 0.880258 9.071158 2.435693 6 0.062357 38.74954 3.882680 41.96168 0.044605 0.060691 0.750314 12.01596 2.534527

  116

  7 0.069872 40.66646 4.833333 36.22767 0.077095 0.111351 0.609239 14.95980 2.515060 8 0.076689 41.43620 5.649109 31.82202 0.123525 0.179904 0.509189 17.85759 2.422454 9 0.082780 41.42132 6.308661 28.39369 0.176907 0.265011 0.478430 20.66802 2.287969 10 0.088149 40.88574 6.806808 25.69864 0.230966 0.364400 0.527044 23.35203 2.134374

  Vari ance Deco mpo sition of

  DRJ EP:

  Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA 1 0.136391 11.50461 3.294037 1.323754 83.87760 0.000000 0.000000 0.000000 0.000000 2 0.184644 18.44902 4.908533 1.629679 70.17976 0.551122 0.160878 2.923062 1.197946 3 0.226207 24.55307 6.290771 1.851693 56.18691 0.977076 0.295225 7.758932 2.086322 4 0.264872 28.76729 7.353590 2.000354 45.27213 1.168951 0.364491 12.79667 2.276521 5 0.300043 31.15336 8.178841 2.096343 37.47762 1.242415 0.396501 17.38162 2.073298 6 0.331111 32.14188 8.865675 2.154438 31.98547 1.283049 0.413225 21.38963 1.766625 7 0.358011 32.17252 9.485866 2.183502 28.04863 1.330863 0.424068 24.84333 1.511220 8 0.381068 31.59942 10.08352 2.189094 25.14606 1.401532 0.431136 27.78215 1.367082 9 0.400788 30.68474 10.68309 2.175346 22.94110 1.499692 0.433464 30.23853 1.344048 10 0.417710 29.61234 11.29618 2.145937 21.22049 1.624772 0.429569 32.24222 1.428489

  Vari ance Deco mpo sition of

  DRK SL:

  Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA 1 0.047557 22.60435 3.837545 0.029668 1.237825 72.29061 0.000000 0.000000 0.000000 2 0.073312 32.60232 6.149515 0.600147 0.530290 57.85264 0.307526 1.664541 0.293014 3 0.096736 38.37514 8.004257 1.372894 0.328451 46.84191 0.735118 3.976195 0.366034 4 0.118103 40.98834 9.568958 2.190275 0.265139 39.32377 1.120750 6.246684 0.296080 5 0.137247 41.52315 11.01877 3.002764 0.244055 34.27716 1.425368 8.289479 0.219252 6 0.154202 40.73734 12.46666 3.791782 0.241298 30.84775 1.655476 10.04992 0.209778 7 0.169183 39.14128 13.97454 4.543475 0.251614 28.46061 1.830054 11.50210 0.296322 8 0.182489 37.08698 15.56930 5.242782 0.274933 26.74451 1.968928 12.63044 0.482126 9 0.194435 34.82213 17.25374 5.874119 0.312796 25.45969 2.089320 13.43175 0.756451 10 0.205305 32.51970 19.01379 6.423777 0.367054 24.45054 2.205355 13.91897 1.100818

  117 Vari ance Deco mpo sition of DRM

  AL: Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA

  1 0.051670 0.062036 0.507549 0.222706 0.563727 0.987763 97.65622 0.000000 0.000000 2 0.064850 0.656492 0.439650 0.162844 0.585807 1.033533 97.02964 0.000681 0.091355 3 0.071545 1.593511 0.404055 0.134213 0.574800 1.198606 95.86206 0.012518 0.220242 4 0.075435 2.789463 0.382434 0.132393 0.547103 1.481649 94.26905 0.060422 0.337487 5 0.077977 4.176816 0.365569 0.143466 0.516859 1.880124 92.31454 0.176936 0.425689 6 0.079866 5.680280 0.349951 0.153813 0.492782 2.378855 90.06661 0.392212 0.485493 7 0.081452 7.213877 0.336718 0.156364 0.478258 2.951464 87.61385 0.724934 0.524535 8 0.082904 8.690263 0.331154 0.152142 0.473128 3.567221 85.05734 1.177438 0.551312 9 0.084293 10.03337 0.341990 0.148252 0.475683 4.197614 82.49424 1.735829 0.573022 10 0.085642 11.18795 0.380451 0.154409 0.484046 4.820044 80.00386 2.373766 0.595473

  Vari ance Deco mpo sition of

  DRS GP:

  Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA 1 0.135662 5.268575 0.538379 1.273299 3.340756 7.629058 0.065883 81.88405 0.000000 2 0.191145 6.774187 1.157082 0.968597 2.577548 6.670833 0.174464 81.64839 0.028902 3 0.232135 7.741864 1.798300 0.783923 2.078950 5.969925 0.272132 81.21060 0.144304 4 0.264638 8.237292 2.413818 0.671440 1.731788 5.491244 0.349547 80.74152 0.363351 5 0.291111 8.391541 2.992264 0.603905 1.478657 5.185168 0.404816 80.27089 0.672757 6 0.312995 8.332608 3.535959 0.566276 1.290375 5.009062 0.438258 79.78197 1.045493 7 0.331291 8.160193 4.050456 0.550082 1.152004 4.930399 0.451653 79.25310 1.452116 8 0.346742 7.942158 4.540483 0.550140 1.055455 4.924904 0.448354 78.67190 1.866604 9 0.359921 7.719938 5.008794 0.562773 0.995531 4.974222 0.433205 78.03690 2.268638 10 0.371272 7.516249 5.456223 0.584918 0.967900 5.064178 0.412065 77.35454 2.643928

  118 Vari ance Deco mpo sition of

  DRT HA:

  Peri od S.E. DRCIN DRFIL DRIND DRJEP DRKSL DRMAL DRSGP DRTHA 1 0.081145 26.04533 1.236178 0.962027 4.653812 10.42098 0.069873 4.81E-05 56.61176 2 0.108336 22.03478 1.131636 0.922569 7.017037 20.24501 0.277723 0.069883 48.30136 3 0.129107 19.68030 1.311754 0.710188 8.851182 28.42238 0.689531 0.250751 40.08392 4 0.147372 18.47454 1.815617 0.554175 10.01582 34.01813 1.282855 0.526422 33.31244 5 0.164248 17.95090 2.661192 0.593132 10.59369 37.29289 1.986624 0.862018 28.05955 6 0.180143 17.72615 3.823878 0.868473 10.74237 38.84852 2.722695 1.218286 24.04963 7 0.195216 17.53051 5.256405 1.359275 10.61603 39.25858 3.431365 1.559651 20.98818 8 0.209546 17.21192 6.907627 2.015154 10.33459 38.95631 4.078310 1.858071 18.63802 9 0.223190 16.71443 8.730343 2.777249 9.979509 38.23189 4.650635 2.094381 16.82156 10 0.236216 16.04610 10.68173 3.589134 9.601023 37.26614 5.149659 2.258371 15.40784

  Chol esky Orde ring: DRC

  IN DRFI L DRI ND DRJ EP DRK SL DRM AL DRS GP DRT HA

  119