Fluctuciones del 90 hasta hasta el 2022 y tendecias positivas del 2000 hasta 2014

Tencia baja del 90 hasta 94

Vector Autoregression Estimates
Date: 04/24/23 Time: 11:40
Sample: 1994Q1 2012Q4
Included observations: 76
Standard errors in ( ) & t-statistics in [ ]

LPBI_GAP INFL R E_GAP

LPBI_GAP(-1) 0.704483 -12.23122 -6.318048 -125.9142

(0.13154) (12.8610) (8.13339) (86.7580)
[ 5.35567] [-0.95103] [-0.77680] [-1.45133]

LPBI_GAP(-2) 0.033768 -1.894205 -0.810845 46.46697

(0.15561) (15.2143) (9.62166) (102.633)
[ 0.21701] [-0.12450] [-0.08427] [ 0.45275]

LPBI_GAP(-3) -0.220430 28.65720 0.850400 -36.06545

(0.14756) (14.4277) (9.12418) (97.3266)
[-1.49380] [ 1.98626] [ 0.09320] [-0.37056]

LPBI_GAP(-4) 0.083967 -6.143482 -13.12612 6.866122

(0.12769) (12.4849) (7.89555) (84.2210)
[ 0.65757] [-0.49207] [-1.66247] [ 0.08153]

INFL(-1) 0.000112 0.785876 0.064296 -1.328880

(0.00138) (0.13454) (0.08508) (0.90759)
[ 0.08158] [ 5.84117] [ 0.75567] [-1.46419]

INFL(-2) 0.002613 0.027034 -0.179647 0.054274

(0.00163) (0.15914) (0.10064) (1.07351)
[ 1.60532] [ 0.16988] [-1.78506] [ 0.05056]

INFL(-3) -0.002586 -0.025530 -0.087791 -0.054667

(0.00172) (0.16770) (0.10605) (1.13124)
[-1.50749] [-0.15224] [-0.82781] [-0.04832]

INFL(-4) 0.000670 -0.086559 0.096663 0.810348

(0.00133) (0.13012) (0.08229) (0.87780)
[ 0.50356] [-0.66520] [ 1.17463] [ 0.92316]

R(-1) 0.000327 0.619474 1.085916 -0.226078

(0.00254) (0.24792) (0.15679) (1.67246)
[ 0.12888] [ 2.49864] [ 6.92595] [-0.13518]

R(-2) 0.001455 -0.035908 -0.002899 -0.054476

(0.00373) (0.36488) (0.23075) (2.46144)
[ 0.39000] [-0.09841] [-0.01256] [-0.02213]

R(-3) -0.000181 -0.590956 -0.129151 2.292463

(0.00362) (0.35424) (0.22402) (2.38961)
[-0.04996] [-1.66825] [-0.57651] [ 0.95934]

R(-4) -0.000480 -0.025000 0.037980 -1.944200

 (0.00267) (0.26084) (0.16496) (1.75957)
[-0.18003] [-0.09585] [ 0.23024] [-1.10493]

E_GAP(-1) 0.000304 -0.021640 -0.002039 0.921052

(0.00024) (0.02341) (0.01480) (0.15789)
[ 1.26979] [-0.92457] [-0.13779] [ 5.83354]

E_GAP(-2) 0.000226 -0.002341 -0.024736 -0.340222

(0.00032) (0.03159) (0.01998) (0.21312)
[ 0.69862] [-0.07409] [-1.23808] [-1.59641]

E_GAP(-3) -0.000115 0.023255 0.014787 0.125146

(0.00032) (0.03086) (0.01952) (0.20819)
[-0.36465] [ 0.75352] [ 0.75761] [ 0.60110]

E_GAP(-4) -0.000157 -0.020817 -0.016276 -0.021875

(0.00023) (0.02217) (0.01402) (0.14956)
[-0.69245] [-0.93896] [-1.16081] [-0.14626]

C -0.007752 1.009734 0.328287 1.427425

(0.00530) (0.51822) (0.32773) (3.49584)
[-1.46265] [ 1.94846] [ 1.00171] [ 0.40832]

R-squared 0.714820 0.813629 0.893402 0.659917

Adj. R-squared 0.637483 0.763088 0.864494 0.567691
Sum sq. resids 0.002817 26.93244 10.77134 1225.590
S.E. equation 0.006910 0.675635 0.427276 4.557710
F-statistic 9.242925 16.09831 30.90499 7.155445
Log likelihood 279.8630 -68.41806 -33.59322 -213.4962
Akaike AIC -6.917448 2.247844 1.331401 6.065690
Schwarz SC -6.396099 2.769192 1.852749 6.587038
Mean dependent 0.001402 2.698684 5.315789 0.457144
S.D. dependent 0.011477 1.388092 1.160724 6.931858

Determinant resid covariance (dof adj.) 4.93E-05

Determinant resid covariance 1.79E-05
Log likelihood -16.00316
Akaike information criterion 2.210610
Schwarz criterion 4.296003
Number of coefficients 68

2
Varr view residuals graphs

Residuals e(e)=0 (comportamiento normal )

Cundo se sale heteresalsiidad

Auto correlación

Cuando hay recesión genero dammy

Varr view residuales covariance matrix

View residual test autocorrelation LM test

VAR Residual Serial Correlation LM Tests
Date: 04/24/23 Time: 11:58
Sample: 1994Q1 2012Q4
Included observations: 76

Null hypothesis: No serial correlation at lag h

Lag LRE* stat df Prob. Rao F-stat df Prob.

1 26.84844 16 0.0432 1.735679 (16, 183.9) 0.0434

2 18.78462 16 0.2800 1.188501 (16, 183.9) 0.2806
3 11.93551 16 0.7484 0.741557 (16, 183.9) 0.7488
4 22.81545 16 0.1188 1.459129 (16, 183.9) 0.1192
5 16.66032 16 0.4079 1.048159 (16, 183.9) 0.4085
6 9.883961 16 0.8726 0.610772 (16, 183.9) 0.8728
7 9.407625 16 0.8957 0.580607 (16, 183.9) 0.8959
8 11.14321 16 0.8006 0.690882 (16, 183.9) 0.8009

Null hypothesis: No serial correlation at lags 1 to h

Lag LRE* stat df Prob. Rao F-stat df Prob.

1 26.84844 16 0.0432 1.735679 (16, 183.9) 0.0434

2 36.05022 32 0.2847 1.140488 (32, 208.1) 0.2872
3 59.22901 48 0.1284 1.267247 (48, 202.3) 0.1330
4 71.70480 64 0.2377 1.137849 (64, 190.2) 0.2511
5 95.10661 80 0.1193 1.224015 (80, 176.0) 0.1369
6 131.5673 96 0.0094 1.479828 (96, 161.0) 0.0143
7 149.3484 112 0.0106 1.437038 (112, 145.6) 0.0200
8 160.4187 128 0.0276 1.316284 (128, 129.9) 0.0599

*Edgeworth expansion corrected likelihood ratio statistic.

Proc
El modelo esta funcionando en corto plazo no en largo palzo no en largo palzo

Tramapa de liquidez en la figura cuatrp azul plano.

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