TRADER

Vector Error Correction Estimates

Date: 10/27/18 Time: 16:39
Sample (adjusted): 1983 2017
Included observations: 35 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

US(-1) 1.000000

AUD(-1) 2.135045
(0.41030)
[ 5.20359]

EURO(-1) -0.110715
(0.48926)
[-0.22629]

JPY(-1) 1.836600
(0.34053)
[ 5.39331]

C -463.5701

Error Correction: D(US) D(AUD) D(EURO) D(JPY)

CointEq1 0.042998 -0.126477 0.043130 -0.377925

(0.10170) (0.08879) (0.10112) (0.12660)
[ 0.42278] [-1.42439] [ 0.42651] [-2.98529]

D(US(-1)) 0.386500 0.087808 -0.266142 -0.062162

(0.30039) (0.26226) (0.29868) (0.37392)
[ 1.28665] [ 0.33481] [-0.89105] [-0.16625]

D(US(-2)) -0.318909 -0.075935 0.157720 0.520546

(0.29557) (0.25805) (0.29389) (0.36791)
[-1.07896] [-0.29426] [ 0.53666] [ 1.41486]

D(AUD(-1)) 0.286781 0.545981 -0.240053 -0.215563

(0.24667) (0.21536) (0.24527) (0.30705)
[ 1.16259] [ 2.53517] [-0.97872] [-0.70205]

D(AUD(-2)) -0.191422 -0.018295 0.062351 0.397240

(0.28860) (0.25197) (0.28696) (0.35924)
[-0.66328] [-0.07261] [ 0.21728] [ 1.10579]

D(EURO(-1)) -0.103971 0.248942 -0.136020 -0.047081

(0.30724) (0.26824) (0.30549) (0.38244)
[-0.33840] [ 0.92805] [-0.44525] [-0.12311]

D(EURO(-2)) -0.207473 -0.027360 -0.094162 0.164630

(0.29700) (0.25930) (0.29531) (0.36969)
[-0.69857] [-0.10552] [-0.31886] [ 0.44532]

D(JPY(-1)) 0.052795 0.170362 -0.078905 0.375220

(0.16244) (0.14182) (0.16151) (0.20219)
[ 0.32502] [ 1.20129] [-0.48854] [ 1.85576]

D(JPY(-2)) -0.301124 0.160450 -0.019224 0.357378

 (0.19458) (0.16988) (0.19347) (0.24220)
[-1.54758] [ 0.94449] [-0.09936] [ 1.47554]

C -0.308513 -0.015072 0.034906 0.035431

(1.09961) (0.96003) (1.09336) (1.36875)
[-0.28056] [-0.01570] [ 0.03193] [ 0.02589]

R-squared 0.292548 0.320498 0.102996 0.474131

Adj. R-squared 0.037865 0.075877 -0.219926 0.284818
Sum sq. Resids 1050.361 800.6281 1038.443 1627.450
S.E. equation 6.481856 5.659075 6.444975 8.068333
F-statistic 1.148675 1.310183 0.318949 2.504482
Log likelihood -109.1898 -104.4387 -108.9901 -116.8527
Akaike AIC 6.810847 6.539354 6.799435 7.248727
Schwarz SC 7.255232 6.983739 7.243820 7.693112
Mean dependent -0.310571 -0.086000 0.131714 0.169714
S.D. dependent 6.608173 5.886818 5.835184 9.540596

Determinant resid covariance (dof adj.) 937626.5

Determinant resid covariance 244071.9
Log likelihood -415.7427
Akaike information criterion 26.27101
Schwarz criterion 28.22631

F TABEL = 2.48

VARIABEL YANG SIGNIFIKAN DALAM JANGKA PANJANG

1. USD TERHADAP AUD

2. USD THD JPY

DALAM JANGKA PENDEK

1. AUD TERHADAP AUD SEBELUMNYA

Pairwise Granger Causality Tests
Date: 10/27/18 Time: 17:02
Sample: 1980 2017
Lags: 2

Null Hypothesis: Obs F-Statistic Prob.

EURO does not Granger Cause AUD 36 1.32179 0.2813

AUD does not Granger Cause EURO 0.22981 0.7960

JPY does not Granger Cause AUD 36 0.36157 0.6995

AUD does not Granger Cause JPY 6.20081 0.0054

US does not Granger Cause AUD 36 0.74376 0.4836

AUD does not Granger Cause US 0.91014 0.4130

JPY does not Granger Cause EURO 36 0.21770 0.8056

EURO does not Granger Cause JPY 1.41382 0.2585

US does not Granger Cause EURO 36 0.77006 0.4716

EURO does not Granger Cause US 0.90919 0.4133

US does not Granger Cause JPY 36 0.64365 0.5322

JPY does not Granger Cause US 0.56915 0.5718