(LUẬN văn THẠC sĩ) ảnh hưởng chính sách tiền tệ đến thị trường bất động sản tp hồ chí minh

BỘ GIÁO DỤC VÀ ĐÀO TẠO TRƯỜNG ĐẠI HỌC KINH TẾ TP HỒ CHÍ MINH _ Nguyễn Thị Thu Thủy ẢNH HƯỞNG CHÍNH SÁCH TIỀN TỆ ĐẾN THỊ TRƯỜNG BẤT ĐỘNG SẢN TP HỒ CHÍ MINH LUẬN VĂN THẠC SĨ KINH TẾ TP Hồ Chí Minh – Năm 2019 TIEU LUAN MOI download : skknchat@gmail.com BỘ GIÁO DỤC VÀ ĐÀO TẠO TRƯỜNG ĐẠI HỌC KINH TẾ TP HỒ CHÍ MINH _ Nguyễn Thị Thu Thủy ẢNH HƯỞNG CHÍNH SÁCH TIỀN TỆ ĐẾN THỊ TRƯỜNG BẤT ĐỘNG SẢN TP HỒ CHÍ MINH Chun ngành: Tài – Ngân hàng (Hướng ứng dụng) Mã số: 8340201 LUẬN VĂN THẠC SĨ KINH TẾ Người hướng dẫn khoa học: PGS.TS Nguyễn Thị Liên Hoa TP Hồ Chí Minh – Năm 2019 TIEU LUAN MOI download : skknchat@gmail.com LỜI CAM ĐOAN Sản phẩm đề tài nghiên cứu “Ảnh hưởng sách tiền tệ đến thị trường bất động sản TP HCM” kết nghiên cứu thân tôi, hướng dẫn PGS.TS Nguyễn Thị Liên Hoa Số liệu, hình ảnh nội dung phân tích trung thực, thu nhập từ nguồn thống, đáng tin cậy Tôi chịu trách nhiệm với nội dung luận văn Tôi chân thành cám ơn hỗ trợ, hướng dẫn tận tình PGS.TS Nguyễn Thị Liên Hoa thầy cô giảng viên môn thời gian qua TP HCM, tháng 05 năm 2019 Học viên thực luận văn Nguyễn Thị Thu Thủy TIEU LUAN MOI download : skknchat@gmail.com MỤC LỤC TRANG PHỤ BÌA LỜI CAM ĐOAN MỤC LỤC DANH MỤC VIẾT TẮT DANH MỤC BẢNG DANH MỤC HÌNH ẢNH DANH MỤC BIỂU ĐỒ TĨM TẮT ABSTRACT CHƯƠNG GIỚI THIỆU 1.1 Lý chọn đề tài 1.2 Mục tiêu đối tượng nghiên cứu 1.3 Dữ liệu phương pháp nghiên cứu 1.4 Cấu trúc nghiên cứu CHƯƠNG TỔNG QUAN CÁC NGHIÊN CỨU TRƯỚC ĐÂY 2.1 Cơ sở lý thuyết 2.2 Sơ lược nghiên cứu trước CHƯƠNG PHƯƠNG PHÁP NGHIÊN CỨU 11 3.1 Mơ hình phương pháp nghiên cứu 11 3.2 Dữ liệu thu thập 13 CHƯƠNG KẾT QUẢ VÀ THẢO LUẬN KẾT QUẢ NGHIÊN CỨU 21 TIEU LUAN MOI download : skknchat@gmail.com 4.1 Kết nghiên cứu 21 4.2 Thảo luận kết nghiên cứu 28 CHƯƠNG KẾT LUẬN VÀ KIẾN NGHỊ CHÍNH SÁCH 31 5.1 Kết luận 31 5.2 Kiến nghị sách 31 TÀI LIỆU THAM KHẢO PHỤ LỤC TIEU LUAN MOI download : skknchat@gmail.com DANH MỤC VIẾT TẮT Bất động sản BĐS Ngân hàng Nhà nước NHNN Ngân hàng Trung ương NHTW Ngân hàng Thương mại NHTM Thành phố Hồ Chí Minh TP HCM TIEU LUAN MOI download : skknchat@gmail.com DANH MỤC BẢNG Bảng 1: Mô tả biến 21 Bảng 2: Kết thống kê mô tả từ Eviews 22 Bảng 3: Kiểm định nghiệm đơn vị 22 Bảng 4: Độ trễ tối ưu cho mơ hình VAR 23 Bảng 5: Kiểm định nhân Granger 23 Bảng 6: Kiểm định phân rã phương sai 26 Bảng 7: Kết mơ hình VAR 26 TIEU LUAN MOI download : skknchat@gmail.com DANH MỤC HÌNH ẢNH Hình 1: Chính sách tiền tệ mở rộng Hình 2: Chính sách tiền tệ thu hẹp TIEU LUAN MOI download : skknchat@gmail.com DANH MỤC BIỂU ĐỒ Biểu đồ 1: Chỉ số giá nhà TP HCM 14 Biểu đồ 2: Tốc độ tăng trưởng GDP TP HCM 15 Biểu đồ 3: Lãi suất cho vay dài hạn bình quân VND 17 Biểu đồ 4: Cung tiền M2 18 Biểu đồ 5: Chỉ số chứng khoán Việt Nam 20 Biểu đồ 6: Hàm phản ứng xung (Impulse Response Function) 24 TIEU LUAN MOI download : skknchat@gmail.com TÓM TẮT Ảnh hưởng sách tiền tệ đến thị trường bất động sản TP HCM Bài nghiên cứu dựa mơ hình VAR với kết kiểm định để phân tích ảnh hưởng trực tiếp gián tiếp từ sách tiền tệ đến thị trường bất động sản TP HCM Kết phân tích cho thấy biến số SPPI đại diện cho thị trường bất động sản chịu ảnh hưởng nhiều từ biến động vốn đầu tư nước FDI, số giá tiêu dùng CPI tốc độ tăng trưởng GDP Bên cạnh đó, yếu tố khác cung tiền M2, dư nợ bất động sản REL, lãi suất cho vay R số chứng khoán VNI tác động đến số SPPI Từ khóa: Thị trường bất động sản, sách tiền tệ ABSTRACT The impact of monetary policy on the real estate market in Ho Chi Minh City This paper is based on the VAR model with test results on analyzing the effects of monetary policy and macroeconomic factors on the real estate market in Ho Chi Minh City The analytical results show that the SPPI index represents the real estate market is most affected by foreign direct investment FDI, consumer price index CPI and GDP growth rate Besides, other factors such as money supply M2, the fluctuations of real estate loans REL, lending interest rate R and VNI stock index also affected the SPPI index Keywords: Real estate market, monetary policy TIEU LUAN MOI download : skknchat@gmail.com Null Hypothesis: SPPI has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values Prob.* -1.245477 -3.610453 -2.938987 -2.607932 0.6448 Std Error 0.064853 6.603189 t-Statistic -1.245477 1.222031 Augmented Dickey-Fuller Test Equation Dependent Variable: D(SPPI) Method: Least Squares Date: 04/02/19 Time: 13:58 Sample (adjusted): 2009Q2 2018Q4 Included observations: 39 after adjustments Variable SPPI(-1) C Coefficient -0.080773 8.069301 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.040238 0.014298 6.522844 1574.257 -127.4492 1.551214 0.220786 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat Null Hypothesis: VNI has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values Prob 0.2208 0.2294 -0.051282 6.569982 6.638418 6.723729 6.669027 1.669155 Prob.* -1.287099 -3.610453 -2.938987 -2.607932 0.6259 Std Error 0.065931 40.25199 t-Statistic -1.287099 1.613942 Augmented Dickey-Fuller Test Equation Dependent Variable: D(VNI) Method: Least Squares Date: 04/02/19 Time: 13:59 Sample (adjusted): 2009Q2 2018Q4 Included observations: 39 after adjustments Variable VNI(-1) C Coefficient -0.08486 64.96436 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.042855 0.016986 77.63712 223018.4 -224.0418 1.656623 0.206054 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat Prob 0.2061 0.115 15.68897 78.30502 11.59189 11.6772 11.6225 1.962137 TIEU LUAN MOI download : skknchat@gmail.com PHỤ LỤC 04: Kết kiểm định nghiệm đơn vị cho biến (sai phân bậc 1) Null Hypothesis: D(CPI) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic -7.832967 -3.615588 -2.941145 -2.609066 Prob.* Std Error 0.152091 0.004728 t-Statistic -7.832967 -0.184337 Augmented Dickey-Fuller Test Equation Dependent Variable: D(CPI,2) Method: Least Squares Date: 04/02/19 Time: 13:14 Sample (adjusted): 2009Q3 2018Q4 Included observations: 38 after adjustments Variable D(CPI(-1)) C R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient -1.191322 -0.000872 0.630221 0.619949 0.029051 0.030383 81.57812 61.35537 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat Prob 0.8548 0.002097 0.047124 -4.188322 -4.102133 -4.157657 2.086595 Null Hypothesis: D(FDI) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic -7.827021 -3.621023 -2.943427 -2.610263 Prob.* Std Error 0.266521 0.154561 51.31442 t-Statistic -7.827021 2.683647 -0.102736 Augmented Dickey-Fuller Test Equation Dependent Variable: D(FDI,2) Method: Least Squares Date: 04/02/19 Time: 13:41 Sample (adjusted): 2009Q4 2018Q4 Included observations: 37 after adjustments Variable D(FDI(-1)) D(FDI(-1),2) C Coefficient -2.086063 0.414788 -5.271861 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.784925 0.772274 312.0485 3310726 -263.4333 62.04227 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat Prob 0.0112 0.9188 7.591004 653.9064 14.4018 14.53241 14.44785 2.201863 TIEU LUAN MOI download : skknchat@gmail.com Null Hypothesis: D(M2) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic -5.962499 -3.615588 -2.941145 -2.609066 Prob.* Std Error 0.172975 43683.5 t-Statistic -5.962499 4.496328 Augmented Dickey-Fuller Test Equation Dependent Variable: D(M2,2) Method: Least Squares Date: 04/02/19 Time: 13:43 Sample (adjusted): 2009Q3 2018Q4 Included observations: 38 after adjustments Variable D(M2(-1)) C Coefficient -1.031365 196415.4 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.496865 0.482889 186427.6 1.25E+12 -514.0527 35.5514 0.000001 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat Prob 0.0001 8465.432 259249.8 27.16067 27.24686 27.19133 1.925326 Null Hypothesis: D(R) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic -3.74867 -3.615588 -2.941145 -2.609066 Prob.* 0.0071 Std Error 0.149713 0.001505 t-Statistic -3.74867 0.088462 Augmented Dickey-Fuller Test Equation Dependent Variable: D(R,2) Method: Least Squares Date: 04/02/19 Time: 13:48 Sample (adjusted): 2009Q3 2018Q4 Included observations: 38 after adjustments Variable D(R(-1)) C R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient -0.561226 0.000133 0.280756 0.260777 0.009278 0.003099 124.9519 14.05253 0.000623 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat Prob 0.0006 0.93 3.42E-05 0.010791 -6.471155 -6.384966 -6.44049 1.884429 TIEU LUAN MOI download : skknchat@gmail.com Null Hypothesis: D(GDP) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) t-Statistic -8.429619 -3.65373 -2.95711 -2.617434 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values Prob.* Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP,2) Method: Least Squares Date: 04/02/19 Time: 13:41 Sample (adjusted): 2011Q1 2018Q4 Included observations: 32 after adjustments Variable D(GDP(-1)) D(GDP(-1),2) D(GDP(-2),2) D(GDP(-3),2) D(GDP(-4),2) D(GDP(-5),2) D(GDP(-6),2) C R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient Std Error -2.526201 1.036537 0.613751 0.524752 0.675248 0.638458 0.453514 -0.001369 0.927408 0.906235 0.004984 0.000596 128.8456 43.80198 0.299682 0.243487 0.192309 0.176062 0.145246 0.117323 0.073521 0.000916 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat t-Statistic Prob -8.429619 4.257054 3.191484 2.980498 4.648982 5.441867 6.168496 -1.495107 0.0003 0.0039 0.0065 0.0001 0 0.1479 -5.94E-05 0.016276 -7.552847 -7.186413 -7.431385 1.99036 TIEU LUAN MOI download : skknchat@gmail.com Null Hypothesis: D(REL) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic -3.268408 -3.615588 -2.941145 -2.609066 Prob.* 0.0236 Std Error 0.223957 6145.854 t-Statistic -3.268408 0.80141 Augmented Dickey-Fuller Test Equation Dependent Variable: D(REL,2) Method: Least Squares Date: 04/02/19 Time: 13:55 Sample (adjusted): 2009Q3 2018Q4 Included observations: 38 after adjustments Variable D(REL(-1)) C Coefficient -0.731984 4925.349 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.228833 0.207412 33863.24 4.13E+10 -449.2356 10.68249 0.002383 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat Prob 0.0024 0.4282 -4081.895 38036.86 23.74924 23.83543 23.77991 1.581737 Null Hypothesis: D(SPPI) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic -5.256294 -3.615588 -2.941145 -2.609066 Prob.* 0.0001 Std Error 0.165218 1.085182 t-Statistic -5.256294 -0.063179 Augmented Dickey-Fuller Test Equation Dependent Variable: D(SPPI,2) Method: Least Squares Date: 04/02/19 Time: 13:57 Sample (adjusted): 2009Q3 2018Q4 Included observations: 38 after adjustments Variable D(SPPI(-1)) C Coefficient -0.868434 -0.068561 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.434217 0.418501 6.689026 1610.75 -125.1102 27.62863 0.000007 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat Prob 0.95 8.771791 6.69001 6.776198 6.720675 2.075181 TIEU LUAN MOI download : skknchat@gmail.com Null Hypothesis: D(VNI) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic -6.860487 -3.615588 -2.941145 -2.609066 Prob.* Std Error 0.163975 12.67585 t-Statistic -6.860487 1.113331 Augmented Dickey-Fuller Test Equation Dependent Variable: D(VNI,2) Method: Least Squares Date: 04/02/19 Time: 14:00 Sample (adjusted): 2009Q3 2018Q4 Included observations: 38 after adjustments Variable D(VNI(-1)) C Coefficient -1.124952 14.11242 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.566611 0.554573 75.64365 205990.6 -217.2817 47.06629 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat Prob 0.2729 -7.689737 113.3402 11.54114 11.62733 11.57181 2.039114 PHỤ LỤC 05: Kết VAR Lag Order Selection Criteria (Độ trễ tối ưu) VAR Lag Order Selection Criteria Endogenous variables: CPI FDI GDP M2 R REL SPPI VNI Exogenous variables: C Date: 03/15/19 Time: 14:30 Sample: 2009Q1 2018Q4 Included observations: 37 Lag LogL -1345.145 -1097.797 -1027.168 -900.7475 LR NA 374.3654* 76.35537 82.00262 FPE 8.05E+21 4.33E+17 5.06E+17 9.80e+16* AIC 73.143 63.23227 62.87396 59.49986* SC 73.49131 66.36702* 68.79517 68.20753 HQ 73.26579 64.33741 64.96146 62.56972* * 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 TIEU LUAN MOI download : skknchat@gmail.com PHỤ LỤC 06: Kiểm định nhân Granger Pairwise Granger Causality Tests Date: 04/04/19 Time: 09:40 Sample: 2009Q1 2018Q4 Lags: Null Hypothesis: Obs F-Statistic Prob FDI does not Granger Cause CPI CPI does not Granger Cause FDI 37 1.20358 0.51469 0.3253 0.6753 GDP does not Granger Cause CPI CPI does not Granger Cause GDP 37 0.62697 1.41031 0.6032 0.2591 M2 does not Granger Cause CPI CPI does not Granger Cause M2 37 0.70394 0.50292 0.5572 0.6832 R does not Granger Cause CPI CPI does not Granger Cause R 37 2.94545 0.68479 0.0488 0.5684 TIEU LUAN MOI download : skknchat@gmail.com Null Hypothesis: Obs F-Statistic Prob REL does not Granger Cause CPI CPI does not Granger Cause REL 37 0.9955 0.79952 0.4083 0.5039 SPPI does not Granger Cause CPI CPI does not Granger Cause SPPI 37 4.66413 0.447 0.0086 0.7212 VNI does not Granger Cause CPI CPI does not Granger Cause VNI 37 0.53143 0.52225 0.6642 0.6703 GDP does not Granger Cause FDI FDI does not Granger Cause GDP 37 0.19542 1.39963 0.8987 0.2621 M2 does not Granger Cause FDI FDI does not Granger Cause M2 37 0.34131 1.97021 0.7956 0.1397 R does not Granger Cause FDI FDI does not Granger Cause R 37 0.67443 0.19145 0.5745 0.9014 REL does not Granger Cause FDI FDI does not Granger Cause REL 37 0.28554 0.14015 0.8354 0.9352 SPPI does not Granger Cause FDI FDI does not Granger Cause SPPI 37 0.10203 0.43484 0.9582 0.7296 VNI does not Granger Cause FDI FDI does not Granger Cause VNI 37 0.11516 1.9952 0.9505 0.1359 M2 does not Granger Cause GDP GDP does not Granger Cause M2 37 1.39885 0.36745 0.2624 0.7770 R does not Granger Cause GDP GDP does not Granger Cause R 37 2.75753 4.52722 0.0596 0.0098 REL does not Granger Cause GDP GDP does not Granger Cause REL 37 1.17195 0.40081 0.3368 0.7534 SPPI does not Granger Cause GDP GDP does not Granger Cause SPPI 37 1.86157 0.86977 0.1574 0.4676 TIEU LUAN MOI download : skknchat@gmail.com Null Hypothesis: Obs F-Statistic Prob VNI does not Granger Cause GDP GDP does not Granger Cause VNI 37 0.91092 0.24239 0.4474 0.8661 R does not Granger Cause M2 M2 does not Granger Cause R 37 0.28538 1.63833 0.8356 0.2014 REL does not Granger Cause M2 M2 does not Granger Cause REL 37 0.63575 4.28699 0.5978 0.0124 SPPI does not Granger Cause M2 M2 does not Granger Cause SPPI 37 0.33523 0.43982 0.7999 0.7262 VNI does not Granger Cause M2 M2 does not Granger Cause VNI 37 2.80716 5.28537 0.0565 0.0048 REL does not Granger Cause R R does not Granger Cause REL 37 3.21794 1.65499 0.0367 0.1977 SPPI does not Granger Cause R R does not Granger Cause SPPI 37 9.00861 0.47746 0.0002 0.7004 VNI does not Granger Cause R R does not Granger Cause VNI 37 1.20628 1.12936 0.3244 0.3529 SPPI does not Granger Cause REL REL does not Granger Cause SPPI 37 1.88097 0.86473 0.1541 0.4701 VNI does not Granger Cause REL REL does not Granger Cause VNI 37 2.80373 3.33344 0.0567 0.0325 VNI does not Granger Cause SPPI SPPI does not Granger Cause VNI 37 0.55991 0.76827 0.6456 0.5208 TIEU LUAN MOI download : skknchat@gmail.com PHỤ LỤC 07: Kiểm định phân rã phương sai Variance Decomposition of SPPI: Period S.E CPI 6.84740 23.91350 8.36946 23.61639 10.08129 24.38260 11.98780 27.79247 13.20077 30.35365 13.76654 31.04710 14.38818 32.20475 14.88430 31.56934 15.12549 31.04681 10 15.30623 30.55460 FDI 7.39732 4.95384 4.60457 4.34174 4.78646 5.02311 5.95908 6.41199 6.84052 6.74023 GDP 1.47921 3.32697 4.45701 5.96683 7.28531 6.70050 6.13445 6.07841 6.19784 6.23544 M2 2.87689 5.86300 5.78378 9.07471 9.63642 11.04061 11.43905 12.72508 12.88732 12.75722 R 28.01604 23.86994 20.44231 14.45955 12.20142 11.34266 12.35007 12.89677 13.12473 13.60069 REL 13.11998 13.16847 11.11746 10.23916 8.62325 8.17919 7.48773 6.99698 6.85992 6.69896 SPPI 23.19705 21.59406 24.88373 24.01805 23.01969 22.76804 20.84991 19.93079 19.50781 19.46350 VNI 0.00000 3.60733 4.32855 4.10749 4.09379 3.89880 3.57496 3.39064 3.53506 3.94935 Variance Decomposition of CPI: Period S.E CPI 0.02787 100.00000 0.03328 75.71749 0.03722 63.37644 0.04410 45.67559 0.04933 39.26698 0.05641 36.85664 0.06192 34.65894 0.06811 38.49588 0.07348 42.67099 10 0.07524 43.48895 FDI 0.00000 0.03560 1.36027 5.18005 4.20652 5.45302 7.46030 6.48154 6.50182 6.86490 GDP 0.00000 0.83454 1.97257 2.14393 1.72861 2.51516 3.40552 3.73701 3.21062 3.22210 M2 0.00000 18.12876 17.07883 13.54594 15.51574 14.16868 16.23907 15.57419 15.44891 15.66973 R 0.00000 4.02915 8.72435 17.47280 18.18283 13.91926 12.84829 10.62044 9.74488 9.29440 REL 0.00000 0.12395 1.06890 4.27130 6.93755 6.39667 5.62771 5.42963 5.52293 5.31248 SPPI 0.00000 0.93987 1.06104 5.63284 7.41724 7.47365 8.61627 10.45156 8.98623 8.57202 VNI 0.00000 0.19064 5.35760 6.07756 6.74455 13.21692 11.14391 9.20975 7.91363 7.57544 Variance Decomposition of FDI: Period S.E CPI FDI GDP 10 228.3137 333.618 352.2453 420.5243 449.9005 525.3036 574.9324 630.199 682.2879 700.9462 54.14534 26.38288 25.36168 24.93994 21.88785 23.66934 19.86704 27.95447 35.07205 34.27028 45.85466 21.87268 19.68272 19.64077 17.29145 18.24428 19.83932 18.01472 15.39691 15.42649 0.215522 3.388658 2.75907 4.957059 3.636685 3.07272 4.110629 3.878763 3.676945 M2 48.2902 43.35387 34.37124 35.36239 31.15024 36.64438 31.02404 27.37385 27.85156 R 0.095938 0.24751 5.65332 5.123369 6.325775 6.293694 5.572427 4.754092 4.781014 REL 1.120534 1.07018 0.915646 4.968641 3.644748 3.053597 2.838743 3.400548 3.296113 SPPI 0.417055 3.050109 8.823643 7.852347 6.934704 5.810048 5.671934 4.853294 5.165294 VNI 1.60519 3.84527 2.896369 2.556898 6.394222 5.419205 4.81304 5.270495 5.532307 TIEU LUAN MOI download : skknchat@gmail.com Variance Decomposition of GDP: CPI S.E Period 10 0.009319 0.012095 0.01302 0.013764 0.015514 0.016567 0.01751 0.019477 0.020195 0.021148 4.416824 5.834015 5.584991 7.398487 7.112061 6.962764 6.292471 6.659215 8.323906 11.95599 Variance Decomposition of M2: Period S.E CPI 10 160917.3 230085.2 287206.1 335769 409584.6 443669.6 447856.1 459827.2 473130 489167.2 5.840992 5.965868 9.868361 19.41 24.35756 25.90453 26.03576 26.50194 25.03263 24.95181 Variance Decomposition of R: Period S.E CPI 10 0.006214 0.00863 0.012789 0.017747 0.022022 0.025483 0.027381 0.028239 0.029002 0.029704 0.219124 6.237661 22.97083 25.32991 27.75298 35.22376 39.71701 41.06307 41.39518 41.23486 FDI 17.06259 10.25385 11.41161 10.63361 8.406676 9.96373 10.02359 14.18508 14.55285 13.64665 FDI 1.814889 18.04624 19.81937 17.12811 14.01817 14.9289 14.9466 14.64571 16.06587 15.07848 FDI 0.924136 0.705328 0.981982 1.224854 2.339692 2.501824 2.382657 2.247351 2.756437 3.487046 GDP 78.52059 46.71857 40.63363 36.59578 34.57249 31.6206 31.86259 26.19108 26.49166 24.50714 GDP 27.09534 18.07856 11.98233 8.780738 7.346451 7.190654 7.086878 7.299914 7.454427 10.06658 GDP 16.44246 12.91582 8.927305 5.88745 5.550377 6.611025 6.851946 6.442109 6.278352 6.020997 M2 27.02905 25.35714 25.15374 28.79104 29.29602 30.2897 29.94888 27.97672 25.9174 M2 65.24878 48.01812 50.14085 48.12122 47.8369 46.17548 45.38355 44.59149 42.2086 40.5125 M2 1.67329 2.469286 5.825008 11.85134 13.52535 11.13493 9.876218 9.9246 10.2836 11.49412 R 0.137361 1.090268 4.383304 5.660703 6.244559 6.025627 6.424362 5.986898 5.545867 R 3.574258 2.618523 1.941845 1.695301 1.446288 1.649389 1.623039 2.499579 2.396399 R 80.74099 73.51795 38.25384 25.31381 19.31754 14.47118 12.66918 11.98351 11.51733 10.98283 REL 3.932404 5.561699 6.359012 5.511042 6.303347 5.680515 4.626143 5.165849 6.67977 REL 0.852286 0.697649 0.764568 1.968219 1.913522 2.232178 2.129171 2.428306 2.27272 REL 2.538616 6.470785 8.514192 7.070948 6.202088 5.730493 5.787477 5.696592 5.450258 VNI SPPI 5.082556 7.180941 6.62691 6.663096 6.137198 5.516728 6.75559 6.629627 6.274494 1.01219 3.179715 2.849161 3.282891 3.471777 4.308773 5.209653 4.872493 5.472679 SPPI 0.965931 1.500907 1.384447 1.114838 0.969729 1.21579 1.830023 2.487091 2.358587 VNI 4.498741 3.372013 2.469074 1.66256 1.470899 1.44985 1.378713 1.823499 2.36293 SPPI 0.373622 0.475856 5.719736 11.90743 13.15575 13.45783 13.77836 13.07322 12.48695 VNI 1.241722 16.09439 16.15871 12.53569 10.69945 9.314669 8.773519 8.999288 8.842942 TIEU LUAN MOI download : skknchat@gmail.com Variance Decomposition of REL: CPI S.E Period 10 26268.92 33413.14 37422.98 47933.09 58161.36 67043.95 73205.24 77133.18 78275.91 87004.48 39.37784 33.2175 32.34172 31.39413 21.55916 21.76083 28.44169 33.8378 33.19621 29.95715 Variance Decomposition of VNI: Period S.E CPI 10 49.79848 74.17632 103.1938 117.9064 125.537 132.3004 153.0837 172.9912 194.6675 206.7293 0.830558 30.06487 40.40384 48.92996 50.61202 45.80081 34.9338 29.63165 35.71278 39.90217 FDI 13.03357 12.207 11.79418 7.959632 14.11722 17.00828 14.67001 13.29789 13.10528 13.21638 FDI 2.56807 14.01962 9.224757 7.75718 8.535327 8.650297 11.50608 16.09139 16.45818 14.60525 GDP 0.426772 0.404917 3.605109 14.22146 13.87613 10.60208 9.365073 8.437299 8.29007 6.771717 GDP 0.452341 0.694177 3.279162 2.526896 2.672652 2.816878 2.828292 2.287619 2.491197 2.364082 M2 15.73627 29.84103 24.05178 23.79098 27.60659 31.8151 30.62167 28.17434 28.51786 33.41887 M2 38.99221 20.4056 27.43439 22.8711 20.88539 24.77412 36.73821 38.67155 33.82443 31.28998 R 5.097901 4.667229 6.69732 4.117566 3.788337 3.10361 2.634215 2.393036 2.758213 3.768969 R 5.916488 3.620823 1.977791 2.397613 2.125215 2.201505 1.838419 2.426364 2.707733 2.436081 REL 26.32765 17.64701 14.23643 9.066558 6.267895 4.743071 4.330639 4.466987 4.774159 4.710906 REL 0.994407 1.792688 1.867604 3.058384 2.775634 3.744656 2.825648 2.282635 1.817467 1.736106 VNI SPPI 0.238099 5.58685 8.38756 9.409413 8.007303 7.13345 6.425435 6.242492 5.62709 1.777204 1.686605 1.062127 3.375269 2.959715 2.803252 2.967215 3.115717 2.528919 SPPI 1.984977 1.079117 1.17716 1.072545 1.551902 1.744541 1.38005 1.326411 1.19728 1.323097 VNI 48.26095 28.32311 14.63529 11.38633 10.84186 10.26719 7.949504 7.282385 5.790931 6.343242 Cholesky Ordering: CPI FDI GDP M2 R REL SPPI VNI PHỤ LỤC 07: Ước lượng mô hình VAR Vector Autoregression Estimates Date: 03/19/19 Time: 23:08 Sample (adjusted): 2009Q4 2018Q4 Included observations: 37 after adjustments Standard errors in ( ) & t-statistics in [ ] CPI FDI GDP M2 R REL SPPI VNI CPI(-1) 0.508677 -2892.287 -0.283317 -6174578 -0.050843 66974.39 -96.83349 1636.715 -0.3767 -3085.98 -0.12595 -2175025 -0.08398 -355062 -92.5523 -673.097 [ 1.35034] [-0.93723] [-2.24938] [-2.83885] [-0.60539] [ 0.18863] [-1.04626] [ 2.43162] CPI(-2) -0.217956 604.4523 0.173752 2365102 -0.055069 -174921.5 45.43565 140.7267 -0.49814 -4080.81 -0.16656 -2876184 -0.11106 -469522 -122.388 -890.082 [-0.43754] [ 0.14812] [ 1.04320] [ 0.82231] [-0.49586] [-0.37255] [ 0.37124] [ 0.15811] CPI(-3) -0.249992 4663.23 0.017247 -75198.37 -0.090318 468849 12.73329 164.3889 -0.38025 -3115.03 -0.12714 -2195498 -0.08478 -358404 -93.4235 -679.433 [-0.65744] [ 1.49701] [ 0.13566] [-0.03425] [-1.06539] [ 1.30816] [ 0.13630] [ 0.24195] TIEU LUAN MOI download : skknchat@gmail.com CPI FDI GDP M2 R REL SPPI VNI FDI(-1) 3.65E-05 -0.705101 -1.93E-05 -592.9618 -5.98E-06 -14.651 -0.011199 0.139822 -3.30E-05 -0.27162 -1.10E-05 -191.441 -7.40E-06 -31.2518 -0.00815 -0.05924 [ 1.10135] [-2.59589] [-1.74354] [-3.09736] [-0.80905] [-0.46881] [-1.37478] [ 2.36009] FDI(-2) 4.77E-06 -0.622822 -5.08E-06 121.8094 -6.94E-06 -34.75582 -0.001171 -0.05428 -4.70E-05 -0.38367 -1.60E-05 -270.417 -1.00E-05 -44.1442 -0.01151 -0.08368 [ 0.10185] [-1.62331] [-0.32417] [ 0.45045] [-0.66440] [-0.78733] [-0.10178] [-0.64863] FDI(-3) -2.29E-05 0.192534 -1.07E-05 29.84261 -1.37E-05 23.63466 -0.000814 -0.028877 -4.00E-05 -0.32915 -1.30E-05 -231.988 -9.00E-06 -37.8709 -0.00987 -0.07179 [-0.56981] [ 0.58494] [-0.79560] [ 0.12864] [-1.53211] [ 0.62408] [-0.08250] [-0.40222] GDP(-1) -0.989572 20636.77 0.043021 1358192 -0.214155 826859.9 22.34031 -1097.438 -0.85806 -7029.31 -0.2869 -4954312 -0.1913 -808766 -210.817 -1533.19 [-1.15327] [ 2.93582] [ 0.14995] [ 0.27414] [-1.11946] [ 1.02237] [ 0.10597] [-0.71579] GDP(-2) -0.159676 2473.502 0.367269 -4005056 0.194602 1114824 156.2782 2182.731 -0.71728 -5876.04 -0.23983 -4141481 -0.15992 -676076 -176.23 -1281.65 [-0.22261] [ 0.42095] [ 1.53138] [-0.96706] [ 1.21690] [ 1.64896] [ 0.88679] [ 1.70306] GDP(-3) -0.223634 -7355.947 -0.16255 -3574764 0.04599 -819421.4 -85.16008 -396.0968 -0.72817 -5965.3 -0.24347 -4204386 -0.16234 -686345 -178.906 -1301.12 [-0.30712] [-1.23312] [-0.66763] [-0.85025] [ 0.28329] [-1.19389] [-0.47600] [-0.30443] M2(-1) 8.06E-08 -0.001855 -2.61E-08 0.42359 1.84E-08 -0.063763 6.07E-06 0.000103 -6.00E-08 -0.00049 -2.00E-08 -0.34612 -1.30E-08 -0.0565 -1.50E-05 -0.00011 [ 1.34417] [-3.77779] [-1.30184] [ 1.22383] [ 1.37513] [-1.12851] [ 0.41244] [ 0.95789] M2(-2) 5.73E-08 0.000113 -4.14E-08 0.217714 -2.52E-09 -0.000845 -1.85E-05 -0.000217 -8.00E-08 -0.00066 -2.70E-08 -0.46439 -1.80E-08 -0.07581 -2.00E-05 -0.00014 [ 0.71300] [ 0.17220] [-1.54025] [ 0.46882] [-0.14069] [-0.01115] [-0.93703] [-1.51291] M2(-3) -1.05E-07 0.000858 7.22E-08 0.343499 -2.73E-08 0.173021 9.93E-06 3.25E-05 -7.60E-08 -0.00062 -2.50E-08 -0.43692 -1.70E-08 -0.07133 -1.90E-05 -0.00014 [-1.38541] [ 1.38370] [ 2.85188] [ 0.78618] [-1.61585] [ 2.42580] [ 0.53423] [ 0.24070] R(-1) 0.810911 1037.93 -0.615812 1859382 0.711325 308609.2 -45.27991 -1967.031 -1.19161 -9761.8 -0.39842 -6880191 -0.26567 -1123156 -292.768 -2129.19 [ 0.68052] [ 0.10633] [-1.54562] [ 0.27025] [ 2.67752] [ 0.27477] [-0.15466] [-0.92384] R(-2) 0.0123 3454.261 0.900243 -484601.7 -0.292596 481564.1 84.39648 -2419.656 -1.31332 -10758.9 -0.43912 -7582921 -0.2928 -1237873 -322.671 -2346.66 [ 0.00937] [ 0.32106] [ 2.05011] [-0.06391] [-0.99930] [ 0.38903] [ 0.26156] [-1.03111] R(-3) 1.027649 -26891.32 -0.513385 1011259 0.535795 -1681207 -219.8478 996.7087 -1.20105 -9839.17 -0.40158 -6934723 -0.26777 -1132058 -295.088 -2146.06 [ 0.85562] [-2.73309] [-1.27840] [ 0.14583] [ 2.00094] [-1.48509] [-0.74502] [ 0.46444] TIEU LUAN MOI download : skknchat@gmail.com CPI FDI GDP M2 R REL SPPI VNI REL(-1) -2.66E-07 0.00385 2.50E-08 0.346699 7.19E-08 0.196664 1.40E-05 0.000448 -4.80E-07 -0.00393 -1.60E-07 -2.77303 -1.10E-07 -0.45268 -0.00012 -0.00086 [-0.55385] [ 0.97862] [ 0.15564] [ 0.12503] [ 0.67184] [ 0.43444] [ 0.11837] [ 0.52169] REL(-2) 3.74E-07 -0.001929 -2.44E-07 0.171896 1.04E-07 -0.425981 -8.74E-05 -4.37E-05 -4.90E-07 -0.00405 -1.70E-07 -2.85271 -1.10E-07 -0.46569 -0.00012 -0.00088 [ 0.75621] [-0.47670] [-1.47875] [ 0.06026] [ 0.94044] [-0.91473] [-0.71989] [-0.04955] REL(-3) -7.28E-07 0.015781 1.78E-07 1.312843 -1.20E-07 -0.052775 6.07E-05 0.001484 -5.30E-07 -0.00435 -1.80E-07 -3.06317 -1.20E-07 -0.50005 -0.00013 -0.00095 [-1.37185] [ 3.63102] [ 1.00619] [ 0.42859] [-1.01495] [-0.10554] [ 0.46565] [ 1.56500] SPPI(-1) 0.000889 -9.132134 0.000902 3855.73 0.000219 768.2921 0.722843 2.13529 -0.00185 -15.1285 -0.00062 -10662.7 -0.00041 -1740.63 -0.45372 -3.29974 [ 0.48141] [-0.60364] [ 1.46020] [ 0.36161] [ 0.53210] [ 0.44139] [ 1.59314] [ 0.64711] SPPI(-2) -0.000169 4.815901 6.45E-05 3712.145 0.000208 1013.73 0.369652 0.226174 -0.00209 -17.1352 -0.0007 -12077 -0.00047 -1971.51 -0.5139 -3.73742 [-0.08078] [ 0.28105] [ 0.09217] [ 0.30737] [ 0.44675] [ 0.51419] [ 0.71930] [ 0.06052] SPPI(-3) 0.001372 -21.5247 -0.000234 -3871.916 0.000169 366.3244 -0.072777 -5.298204 -0.00179 -14.6612 -0.0006 -10333.4 -0.0004 -1686.87 -0.43971 -3.19782 [ 0.76654] [-1.46814] [-0.39172] [-0.37470] [ 0.42281] [ 0.21716] [-0.16551] [-1.65681] VNI(-1) -4.20E-05 -1.221796 3.52E-05 -1410.653 2.78E-05 128.7573 0.045949 0.549634 -0.00015 -1.26551 -5.20E-05 -891.941 -3.40E-05 -145.605 -0.03795 -0.27603 [-0.27192] [-0.96546] [ 0.68098] [-1.58155] [ 0.80707] [ 0.88429] [ 1.21065] [ 1.99124] VNI(-2) 0.000454 -5.338487 -0.000178 -510.2634 0.000115 -217.8963 -0.029424 0.009223 -0.00021 -1.69689 -6.90E-05 -1195.98 -4.60E-05 -195.238 -0.05089 -0.37012 [ 2.19102] [-3.14604] [-2.56798] [-0.42665] [ 2.49701] [-1.11605] [-0.57816] [ 0.02492] VNI(-3) -0.000231 1.34566 0.000113 1198.685 -7.07E-05 -115.3598 0.000971 -0.24525 -0.00012 -0.94771 -3.90E-05 -667.953 -2.60E-05 -109.04 -0.02842 -0.20671 [-1.99871] [ 1.41991] [ 2.91792] [ 1.79457] [-2.74089] [-1.05796] [ 0.03417] [-1.18645] C -0.327446 5059.5 0.060336 324043.3 -0.064039 -61873.38 22.17933 595.4567 -0.1879 -1539.3 -0.06283 -1084913 -0.04189 -177107 -46.1656 -335.744 [-1.74265] [ 3.28687] [ 0.96036] [ 0.29868] [-1.52868] [-0.34936] [ 0.48043] [ 1.77354] R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent 0.900879 0.702636 0.009321 0.02787 4.544319 100.7982 -4.097198 -3.00874 0.052186 0.051108 0.738486 0.215459 625526 228.3137 1.411945 -232.6062 13.92466 15.01312 139.1307 257.7651 0.82377 0.471311 0.001042 0.009319 2.337207 141.3332 -6.288279 -5.199821 0.085905 0.012816 0.998026 0.994077 3.11E+11 160917.3 252.7585 -475.2494 27.04051 28.12897 5041457 2090928 0.987177 0.96153 0.000463 0.006214 38.49164 156.3285 -7.098836 -6.010378 0.119249 0.031679 0.986725 0.960176 8.28E+09 26268.92 37.16543 -408.1868 23.4155 24.50396 406080 131634 0.944297 0.832892 562.6425 6.847399 8.476226 -102.8527 6.910955 7.999413 100.3486 16.75047 0.978141 0.934423 29758.67 49.79848 22.374 -176.2649 10.87919 11.96764 600.7754 194.465 TIEU LUAN MOI download : skknchat@gmail.com Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 1.58E+15 1.93E+11 -900.7475 59.49986 68.20753 TIEU LUAN MOI download : skknchat@gmail.com ...BỘ GIÁO DỤC VÀ ĐÀO TẠO TRƯỜNG ĐẠI HỌC KINH TẾ TP HỒ CHÍ MINH _ Nguyễn Thị Thu Thủy ẢNH HƯỞNG CHÍNH SÁCH TIỀN TỆ ĐẾN THỊ TRƯỜNG BẤT ĐỘNG SẢN TP HỒ CHÍ MINH Chuyên ngành: Tài – Ngân... Ảnh hưởng sách tiền tệ đến thị trường bất động sản TP HCM Bài nghiên cứu dựa mơ hình VAR với kết kiểm định để phân tích ảnh hưởng trực tiếp gián tiếp từ sách tiền tệ đến thị trường bất động sản. .. liên quan đến sách tiền tệ tác động trực tiếp đến thị trường BĐS lãi suất cho vay, cung tiền, thu thập biến kinh tế có ảnh hưởng trực tiếp từ sách tiền tệ, từ gián tiếp ảnh hưởng đến thị trường