|
Variance Decomposition of VRC:
|
|
|
|
|
|
Period
|
S.E.
|
VRC
|
VSBC
|
VTCH
|
TCR
|
TINF
|
|
|
|
|
|
|
|
|
|
1
|
3.082126
|
100.0000
|
0.000000
|
0.000000
|
0.000000
|
0.000000
|
|
2
|
3.542165
|
87.14594
|
11.35491
|
0.049624
|
1.437382
|
0.012142
|
|
3
|
3.863430
|
74.14458
|
19.54889
|
4.957170
|
1.332559
|
0.016798
|
|
4
|
3.881847
|
73.80745
|
19.76984
|
5.076698
|
1.327772
|
0.018242
|
|
5
|
3.908539
|
72.82266
|
19.50574
|
5.979985
|
1.673620
|
0.017994
|
|
6
|
3.933164
|
72.02625
|
20.38813
|
5.906488
|
1.658794
|
0.020338
|
|
7
|
4.072696
|
72.33814
|
20.37625
|
5.662690
|
1.603742
|
0.019177
|
|
8
|
4.079853
|
72.12631
|
20.43584
|
5.675039
|
1.740861
|
0.021959
|
|
9
|
4.130283
|
71.11554
|
21.44026
|
5.702189
|
1.720371
|
0.021633
|
|
10
|
4.135625
|
71.13433
|
21.38742
|
5.734496
|
1.719857
|
0.023899
|
|
|
|
|
|
|
|
|
|
Variance Decomposition of VSBC:
|
|
|
|
|
|
Period
|
S.E.
|
VRC
|
VSBC
|
VTCH
|
TCR
|
TINF
|
|
|
|
|
|
|
|
|
|
1
|
3.577968
|
10.85069
|
89.14931
|
0.000000
|
0.000000
|
0.000000
|
|
2
|
3.613470
|
10.90241
|
87.40627
|
1.476938
|
0.213837
|
0.000541
|
|
3
|
3.805464
|
9.997225
|
85.75003
|
2.837089
|
1.414168
|
0.001492
|
|
4
|
3.812315
|
9.977195
|
85.59971
|
2.973260
|
1.444682
|
0.005154
|
|
5
|
4.594403
|
37.64887
|
59.20980
|
2.142544
|
0.995169
|
0.003623
|
|
6
|
4.862302
|
40.18138
|
56.67302
|
2.092860
|
1.044383
|
0.008359
|
|
7
|
5.059986
|
37.17416
|
58.05822
|
3.773737
|
0.984680
|
0.009203
|
|
8
|
5.068510
|
37.11316
|
58.07471
|
3.812875
|
0.989251
|
0.009997
|
|
9
|
5.100946
|
37.15040
|
57.33851
|
4.348715
|
1.152403
|
0.009972
|
|
10
|
5.117508
|
36.96004
|
57.52285
|
4.344423
|
1.159006
|
0.013688
|
|
|
|
|
|
|
|
|
|
Variance Decomposition of VTCH:
|
|
|
|
|
|
Period
|
S.E.
|
VRC
|
VSBC
|
VTCH
|
TCR
|
TINF
|
|
|
|
|
|
|
|
|
|
1
|
8.945717
|
15.23404
|
1.550063
|
83.21590
|
0.000000
|
0.000000
|
|
2
|
9.846087
|
14.65697
|
3.667283
|
72.74373
|
0.632258
|
8.299764
|
|
3
|
12.88462
|
10.79200
|
3.382020
|
77.96281
|
2.902800
|
4.960366
|
|
4
|
13.95591
|
9.482843
|
9.682248
|
66.94763
|
6.075908
|
7.811369
|
|
5
|
14.05139
|
9.617476
|
9.707994
|
66.21537
|
6.720407
|
7.738752
|
|
6
|
14.84081
|
8.671024
|
17.11142
|
60.74589
|
6.522550
|
6.949124
|
|
7
|
14.95808
|
9.242676
|
16.92657
|
60.38609
|
6.603770
|
6.840890
|
|
8
|
15.54915
|
8.620252
|
20.91191
|
57.54572
|
6.589250
|
6.332870
|
|
9
|
15.70363
|
8.914735
|
21.06899
|
57.19109
|
6.602546
|
6.222647
|
|
10
|
16.01666
|
11.21694
|
20.76600
|
55.44850
|
6.578036
|
5.990528
|
|
|
|
|
|
|
|
|
|
Variance Decomposition of TCR:
|
|
|
|
|
|
Period
|
S.E.
|
VRC
|
VSBC
|
VTCH
|
TCR
|
TINF
|
|
|
|
|
|
|
|
|
|
1
|
0.024755
|
2.465267
|
12.53618
|
52.83879
|
32.15976
|
0.000000
|
|
2
|
0.037214
|
6.680108
|
5.808425
|
58.43337
|
29.00148
|
0.076625
|
|
3
|
0.040569
|
8.325816
|
4.895193
|
58.95490
|
27.62852
|
0.195572
|
|
4
|
0.045426
|
10.74049
|
11.04937
|
53.75639
|
24.28588
|
0.167875
|
|
5
|
0.050705
|
15.74317
|
14.73681
|
47.41111
|
21.97249
|
0.136407
|
|
6
|
0.053659
|
17.34273
|
17.67464
|
43.99955
|
20.85284
|
0.130234
|
|
7
|
0.055178
|
16.88994
|
21.04462
|
42.05046
|
19.85253
|
0.162446
|
|
8
|
0.055966
|
16.86663
|
22.62662
|
41.01051
|
19.31466
|
0.181578
|
|
9
|
0.055991
|
16.85565
|
22.65714
|
40.98800
|
19.29848
|
0.200731
|
|
10
|
0.056376
|
16.66890
|
23.42840
|
40.57649
|
19.11050
|
0.215714
|
|
|
|
|
|
|
|
|
|
Variance Decomposition of TINF:
|
|
|
|
|
|
Period
|
S.E.
|
VRC
|
VSBC
|
VTCH
|
TCR
|
TINF
|
|
|
|
|
|
|
|
|
|
1
|
1.062267
|
42.31554
|
5.448176
|
38.73502
|
2.804447
|
10.69681
|
|
2
|
1.730549
|
46.40070
|
2.090108
|
42.73310
|
1.561199
|
7.214896
|
|
3
|
3.350985
|
22.93239
|
4.051425
|
64.36875
|
4.543588
|
4.103845
|
|
4
|
3.886543
|
17.07768
|
12.68157
|
51.23761
|
9.213788
|
9.789349
|
|
5
|
4.008704
|
16.06618
|
13.65751
|
50.44540
|
10.53743
|
9.293484
|
|
6
|
4.118274
|
15.24990
|
16.48132
|
48.76655
|
10.63999
|
8.862239
|
|
7
|
4.186872
|
15.49465
|
17.29307
|
47.97731
|
10.65734
|
8.577634
|
|
8
|
4.441487
|
14.61157
|
22.99993
|
44.69074
|
10.07068
|
7.627088
|
|
9
|
4.514422
|
14.28584
|
22.80186
|
45.41127
|
10.11340
|
7.387628
|
|
10
|
4.600155
|
14.28010
|
23.75453
|
44.66860
|
10.15063
|
7.146144
|
|
|
|
|
|
|
|
|
|
Cholesky Ordering: VRC VSBC VTCH TCR TINF
|
|
|
|
