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=0 +11 +22 + + +
E = 0 E =
=
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= 1 = 1
= + + 1 1 +
= 1 +
1 = ( )1 +
= 1 +
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4
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01020304050607080
90100
0100200300400500600700800
9001000
Jan-06
Apr-06
Jul-06
Oct-06
Jan-07
Apr-07
Jul-07
Oct-07
Jan-08
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
EMBI Indonesia
LHS)VIX (RHS)
basis points
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50
60
70
80
90
100
110
120
130
140
Jan-07
Apr-07
Jul-07
Oct-07
Jan-08
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Australia China India
Japan Korea New Zealand
50
6070
80
90
100
110
120
130
140
Jan-07
Apr-07
Jul-07
Oct-07
Jan-08
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Indonesia Malaysia Philippine
Singapore Thailand New Zealand
-45
-40
-35
-30
-25
-20
-15
-10
-5
0
AUCNHKNZTHMYKRIDINSGPHJP
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-15
-10
-5
0
5
10
15
2006 2007 2008 2009
CN ID
IN PH-15
-10
-5
0
5
10
15
2006 2007 2008 2009
KR HK
MY TH
-15
-10
-5
0
5
10
15
2006 2007 2008 2009
AU JP
NZ SG
US
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LGDPUS LVIX LXGS LGDP LCPI R LCFLOW LREER
LGDPUS 1 0 0 0 0 0 0 0
LVIX C(1) 1 0 0 0 0 0 0LXGS C(2) 0 1 0 0 0 0 0
LGDP C(3) 0 C(9) 1 0 0 0 0
LCPI 0 0 0 C(11) 1 0 0 0
R 0 C(6) 0 0 C(14) 1 0 0
LCFLOW C(4) C(7) 0 C(12) 0 C(16) 1 0
LREER C(5) C(8) C(10) C(13) C(15) C(17) C(18) 1
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Period GDP_US VIX XGS GDP_IND CPI R CFLOW REER
GDP_IND 1 1.358 0.000 0.000 98.642 0.000 0.000 0.000 0.000
2 1.144 0.949 0.000 83.772 0.252 1.499 9.684 2.700
4 7.396 0.993 0.626 61.740 3.641 0.974 20.310 4.320
8 10.139 1.962 0.837 51.380 5.421 0.724 25.406 4.132
12 11.487 3.803 1.165 43.443 7.336 0.711 28.438 3.617
16 12.171 5.487 1.653 38.504 8.451 0.815 29.746 3.172
20 12.171 5.487 1.653 38.504 8.451 0.815 29.746 3.172
XGS 1 4.415 0.000 95.585 0.000 0.000 0.000 0.000 0.000
2 3.811 6.822 84.238 0.420 2.820 0.049 1.811 0.030
4 13.275 8.392 62.075 5.879 3.723 1.074 1.888 3.695
8 28.006 16.229 35.149 4.902 5.243 0.896 4.220 5.355
12 27.486 20.440 28.773 3.850 7.650 0.823 6.243 4.735
16 26.916 22.238 26.344 3.636 7.934 0.914 6.922 5.096
20 27.261 23.312 25.196 3.503 7.880 0.900 6.891 5.058
CPI 1 0.123 0.000 0.000 8.952 90.925 0.000 0.000 0.000
2 0.513 0.119 0.510 16.663 69.726 0.070 4.771 7.628
4 3.305 1.698 12.225 18.214 34.257 3.367 7.883 19.051
8 4.195 3.109 16.535 17.418 22.865 4.085 12.981 18.813
12 14.609 2.992 14.959 13.508 19.355 3.044 16.406 15.128
16 23.508 4.743 15.828 9.683 16.871 2.104 14.214 13.049
20 28.390 6.809 16.415 7.386 14.772 1.537 11.981 12.709
R 1 0.116 1.043 0.000 0.000 15.425 83.416 0.000 0.000
2 0.336 3.079 3.117 14.296 25.411 44.077 0.121 9.564
4 4.091 3.929 5.849 7.207 17.957 21.835 15.751 23.382
8 7.742 3.999 10.196 7.781 21.721 16.534 12.678 19.350
12 12.366 4.083 19.830 7.475 16.938 13.524 10.292 15.493
16 12.759 4.510 21.714 7.122 16.234 12.798 9.722 15.14120 12.739 4.601 21.916 7.049 16.083 12.668 9.630 15.314
CFLOW 1 0.687 6.196 0.000 0.000 0.724 3.913 88.480 0.000
2 2.584 5.055 0.144 5.322 4.204 3.933 74.794 3.964
4 2.017 5.767 5.347 6.192 11.333 2.661 66.003 4.681
8 4.066 15.458 4.226 4.261 9.505 3.127 56.090 3.268
12 4.190 21.403 3.488 4.120 7.844 2.795 52.069 4.091
16 3.933 22.575 3.217 4.255 7.284 2.600 50.976 5.161
20 3.865 3.052 23.547 4.154 7.034 2.527 50.402 5.420
REER 1 0.303 0.014 13.329 9.659 4.849 0.806 25.024 46.016
2 5.261 1.840 6.888 6.495 9.051 1.379 29.361 39.724
4 3.971 5.278 6.177 4.514 19.116 1.571 29.092 30.280
8 8.713 3.462 21.757 2.954 12.845 2.695 28.533 19.041
12 9.615 2.984 28.759 2.446 10.427 2.466 26.806 16.497
16 9.482 2.786 30.414 2.384 9.567 2.319 26.580 16.468
20 9.428 2.654 31.326 2.317 9.134 2.266 26.681 16.194
Factorization: Structural
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GDPUS
VIX
GDP_IND
XGS
CPI
R
CAPFLOW
REER
2.27
7.63
5.10
0.49
23.45
3.20
7.88
2.10
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-2.5
-2.0
-1.5
-1.0
-0.5
0.0
1 3 5 7 9 11 13 15 17 19 21 23
GDP(%)
-4
-3
-2
-1
0
1
2
3
4
1 3 5 7 9 11 13 15 17 19 21 23
CFLOW(%)
-6
-4
-2
0
2
4
6
1 3 5 7 9 11 13 15 17 19 21 23
REER(%)
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Variables Level (P-value)
First Difference (P-
value)
Gross Domestic Product_US (GDPUS) 0.2245 0.0005
Global Risk Aversion (VIX) 0.2278 0.0000
Gross Domestic Product_Indonesia (GDP) 0.8374 0.0000
Exports (XGS) 0.5086 0.0000
Consumer Price Index (CPI) 0.9998 0.0034
Interest rate (R) 0.1772 0.0000
Capital Flows (CFLOW) 0.0887 0.0000
Real Effective Exchange Rate (REER) 0.201 0.0000
VAR Lag Order Selection Criteria
Endogenous variables: LGDPUS LVIX LGDP LXGS LCPI R LCFLOW LREER
Exogenous variables: C D97
Date: 08/09/09 Time: 13:40
Sample: 1993Q1 2009Q1
Included observations: 65
Lag LogL LR FPE AIC SC HQ
0 172.805 NA 0.000 -4.825 -4.290 -4.614
1 704.815 900.325 0.000 -19.225 -16.5489* -18.169
2 773.631 99.518 0.000 -19.373 -14.556 -17.473
3 842.940 83.172 0.000 -19.537 -12.579 -16.791
4 950.610 102.700 0.000 -20.880 -11.781 -17.290
5 1121.565 120.9839* 3.12e-20* -24.1712* -12.931 -19.7364*
* 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
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Date: 08/07/09 Time: 04:37
Sample: 1993Q1 2009Q1
Included observations: 65
Trend assumption: Linear deterministic trendSeries: LGDP LXGS LCPI R LCFLOW LREER LVIX LGDPUS
Exogenous series: D97
Warning: Critical values assume no exogenous series
Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.6885 206.5211 159.5297 0.0000
At most 1 * 0.5106 130.7054 125.6154 0.0236At most 2 0.4153 84.2530 95.7537 0.2370
At most 3 0.3503 49.3684 69.8189 0.6650
At most 4 0.2057 21.3380 47.8561 0.9816
At most 5 0.0767 6.3712 29.7971 0.9997
At most 6 0.0165 1.1845 15.4947 0.9998
At most 7 0.0016 0.1014 3.8415 0.7502
Trace test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.6885 75.8156 52.3626 0.0001
At most 1 * 0.5106 46.4525 46.2314 0.0473
At most 2 0.4153 34.8846 40.0776 0.1714
At most 3 0.3503 28.0304 33.8769 0.2121
At most 4 0.2057 14.9668 27.5843 0.7509
At most 5 0.0767 5.1867 21.1316 0.9942
At most 6 0.0165 1.0831 14.2646 0.9998
At most 7 0.0016 0.1014 3.8415 0.7502
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
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Vector Error Correction Estimates
Date: 08/05/09 Time: 05:12
Sample: 1993Q1 2009Q1
Included observations: 65Standard errors in ( ) & t-statistics in [ ]
Cointegration Restrictions:
B(1,1)=1, B(1,3)=0, B(1,6)=0
Convergence achieved after 26 iterations.
Restrictions identify all cointegrating vectors
LR test for binding restrictions (rank = 1):
Chi-square(2) 2.826351
Probability 0.243369
Cointegrating Eq: CointEq1
LGDP(-1) 1.00000
LXGS(-1) -0.21478
-0.06427
[-3.34168]
LCPI(-1) 0.00000
R(-1) -0.01100
-0.00129
[-8.52744]
LCFLOW(-1) -0.36677
-0.05505
[-6.66192]
LREER(-1) 0.00000
LVIX(-1) -0.07611
-0.05203
[-1.462752]
LGDPUS(-1) -1.11610
-0.12828
[-8.70026]
C 3.62752
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-.020
-.016
-.012
-.008
-.004
.000
.004
.008
.012
2 4 6 8 10 12 14 16 18 20 22 24
Response of LGDPUS to Shock2
-.2
-.1
.0
.1
.2
.3
2 4 6 8 10 12 14 16 18 20 22 24
Response of LVIX to Shock2
-.04
-.03
-.02
-.01
.00
.01
.02
.03
2 4 6 8 10 12 14 16 18 20 22 24
Response of LGDP to Shock2
-.08
-.06
-.04
-.02
.00
.02
.04
.06
2 4 6 8 10 12 14 16 18 20 22 24
Response of LXGS to Shock2
-.06
-.04
-.02
.00
.02
.04
2 4 6 8 10 12 14 16 18 20 22 24
Response of LCPI to Shock2
-2
-1
0
1
2
2 4 6 8 10 12 14 16 18 20 22 24
Response of R to Sh ock2
-.08
-.04
.00
.04
.08
2 4 6 8 10 12 14 16 18 20 22 24
Response of LCFLOW to Shock2
-.06
-.04
-.02
.00
.02
.04
.06
.08
2 4 6 8 10 12 14 16 18 20 22 24
Response of LREER to Shock2
Response to Structural One S.D. Innovations 2 S.E.
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-.010
-.005
.000
.005
.010
.015
.020
.025
2 4 6 8 10 12 14 16 18 20 22 24
Response of LGDPUS to Sho ck1
-.3
-.2
-.1
.0
.1
.2
2 4 6 8 10 12 14 16 18 20 22 24
Response of LV IX to Shock1
-.03
-.02
-.01
.00
.01
.02
.03
.04
2 4 6 8 10 12 14 16 18 20 22 24
Response of LG DP to Shock1
-.06
-.04
-.02
.00
.02
.04
.06
.08
2 4 6 8 10 12 14 16 18 20 22 24
Response of LXG S to Shock1
-.04
-.02
.00
.02
.04
.06
.08
2 4 6 8 10 12 14 16 18 20 22 24
Response of L CPI to Shock1
-3
-2
-1
0
1
2
3
2 4 6 8 10 12 14 16 18 20 22 24
Response of R to Shock1
-.08
-.04
.00
.04
.08
2 4 6 8 10 12 14 16 18 20 22 24
Response of LCFLO W to S hock1
-.08
-.06
-.04
-.02
.00
.02
.04
.06
2 4 6 8 10 12 14 16 18 20 22 24
Response of LREE R to Shock1
Resp onse to Structural One S.D. Innovations 2 S.E.