tiểu luận kinh tế lượng SOME FACTORS AFFECTING GDP VIETNAM DURING 1995 2011

FOREIGN TRADE UNIVERSITY FACULTY OF INTERNATIONAL ECONOMICS **** ECOMETRICS REPORT ECONOMETRICS REPORT TOPIC: SOME FACTORS AFFECTING GDP VIETNAM DURING 1995-2011 Instructor : Dr Tu Thuy Anh Group : Group 14 13 Members : Trần Tống Thị Thu Hoàng Ngọc Long Nguyễn Văn Mạnh Bùi Thị Hoài Thương LêLăng Thị Bích Liên Thị Tình Class : K56K57- English English 76- Advanced program in Japanese style international business Hanoi, 2018 Hanoi,December October 2019 Hanoi, October 2019 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com GROUP 14 13 Member ID Tống Thị Thu Long Trần Hoàng Ngọc 1715520064 1815520200 Bùi Thị Hoài Nguyễn VănThương Mạnh 1715520065 1815520202 LêLăng Thị Thị BíchTình Liên 1715520068 1815520185 Signature LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com TABLE OF CONTENTS INTRODUCTION I.The reason for choosing the topic II.Objectives of the study III Scope of the study IV Structure of the study LITERATURE REVIEW THEORY BACKGROUND I.Definition 1, Gross domestic product (GDP) 2, Export 3, Import 10 4, Investment 11 II.The origin of model from theory .11 III.The theory put variables into model 14 DESCREPTIVE STATISTICS OF DATA .15 I.Statistical Description .15 II.Correlation Description 16 ECOMETRICS MODEL 17 I.Buiding multiple regression model 17 II.Running multiple regression model: .17 III.Regression model analysis .18 ROBUSTNESS CHECK 19 FINDING & DISCUSSION 27 I.Finding 27 II.Discussion 27 CONCLUSION 28 REFERENCE 29 APPENDIX 30 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com INTRODUCTION I.The reason for choosing the topic Total gross domestic product (GDP) is a basic norm which reflects the economic growth, economic scale, level of economic development per capita, economic structure and the transformation of price level of a country Therefore, GDP is an important tool, commonly used around the world to examine the development and changes in the national economy Accurate perception and rational use of this indicator have important implications in the survey and evaluation for developmental, sustainable, comprehensive economy Any countries would also like to maintain a growing economy along with the monetary stability and occupations for residents, so GDP is one of the specific signal for the efforts of the government Thus the study of the tendency of growth of GDP, some factors affecting GDP can help government change the policies to achieve these objectives in order to promote economic growth This is the macro issues that someone working in the field of economics are concerned That's why our group decided to study the subject: “ Some factors affecting GDP Vietnam during 1995-2011” II.Objectives of the study Investigate the influence of three factors: Investment, Export, Import, on GDP in the period 1995-2011 III Scope of the study Total investment, total export, total import and total GDP of Vietnam from 1995 to 2011 IV Structure of the study Literature Review Theory Background Descriptive Statistics of Data Ecometrics Model LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Robustness Check Finding & Discussion Conclusion LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com LITERATURE REVIEW “Factors affecting GDP of Ho Chi Minh City” The subject was about the impact of some factors on GDP of Ho Chi Minh City It includes: human resources, investment, exports, imports Through the survey results, the study concluded that only the total investment value had a direct effect on GDP in Ho Chi Minh City Human resources, total value of exports, imports did not really affect GDP From the verified result demonstrated that the regression model was appropriate for economic theory, the explanatory variables were 99.52% of the fluctuation to GDP of Ho Chi Minh City “ The influence of total value of export and import, population, CPI, inflation rate on GDP during 1990-2009” The research gave information about some aspects encompassing export, import, population, CPI and inflation rate between 1990 and 2009 Export, import and population had an impact on GDP Three factors determined 99.8184% of the volatility of GDP “Analyzing the impact of FDI, export, import, population on GDP” The regression model in this research has shown the great influence of FDI, export, import and population on GDP Especially, population is a huge promotion However, if increase GDP based on only population, it will cause bad consequences and have a negative impact on the long-term orientation Therefore, the study concluded that not focus on population but should focus on export to be sustainable development “Relationship between Export and GDP” The research has shown that the impact of light industrial and handicraft exports on GDP is most obvious With 95% reliability, other factors remained constant, if exports of light industry and small scale industry increased by US $1 billion, the average value of GDP increased from 24,614 to 90,032 hundred billion VND LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com It is estimated that the change in agricultural and fishery export value does not affect GDP, so if we keep other factors and increase exports of agricultural or fishery products, economic growth will not be made “ Analyzing the influence of FDI on GDP” Foreign direct investment (FDI) actually affected GDP in the period 1995-2010 with 95% reliability The study also suggested some recommendations to promote GDP growth: Expanding the investment market, opening the commodity market; Simple administrative procedures; Loosen monetary and fiscal policies; Incentives and incentives for investment in industries with high levels of gray matter; Reasonable allocation of investment capital by sectors and regions However, in the articles which has already studied, there has not been any research on the problem that our group are doing below LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com THEORY BACKGROUND In most countries, regardless of political orientation, each country has its own strategy for social - economic development Economic growth and development is the first target of all countries over the world, a key measure of progress in each period of a country Not only a country but also Vietnam always consider economic development as a vital duty Economic growth illustrates that the growth rate is higher and more stable in a long time, the economy will achieve many great achievements So the more stable income and life of the people, the more developed the country will be Therefore, economic development is considered as an attractive issue in economic research, it is a crucial focus on the whole economy In order to assess the economy of a country, economists evaluate through gross domestic product I.Definition 1, Gross domestic product (GDP) a, What is Gross domestic product - GDP Gross domestic product (GDP) is the monetary value of all the finished goods and services produced within a country's borders in a specific time period Though GDP is usually calculated on an annual basis, it can be calculated on a quarterly basis as well (in the United States, for example, the government releases an annualized GDP estimate for each quarter and also for an entire year) GDP includes all private and public consumption, government outlays, investments, private inventories, paid-in construction costs and the foreign balance of trade (exports are added, imports are subtracted) Put simply, GDP is a broad measurement of a nation’s overall economic activity It may be contrasted with gross national product (GNP), which measures a the overall production of an economy's citizens, including those living abroad, while domestic production by foreigners is excluded LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com b, The significance of Gross domestic product Businesses can also use GDP as a guide to decide how best to expand or contract their production and other business activities And investors also watch GDP since it provides a framework for investment decision-making The "corporate profits" and "inventory" data in the GDP report are a great resource for equity investors, as both categories show total growth during the period; corporate profits data also displays pre-tax profits, operating cash flows and breakdowns for all major sectors of the economy 2, Export a, What is export? An export is a function of international trade whereby goods produced in one country are shipped to another country for future sale or trade The sale of such goods adds to the producing nation's gross output Exports are one of the oldest forms of economic transfer and occur on a large scale between nations that have fewer restrictions on trade, such as tariffs or subsidies Most of the largest companies operating in advanced economies derive a substantial portion of their annual revenues from exports to other countries The ability to export goods helps an economy grow One of the core functions of diplomacy and foreign policy between governments is to foster economic trade for the benefit of all trading parties Exports are a crucial component of a country’s economy Exports facilitate international trade and stimulate domestic economic activity by creating employment, production and revenues b, Advantages of exporting for companies Companies export products and services for a variety of reasons Exporting can increase sales and profits if they reach new markets, and they may even present an opportunity to capture significant global market share Companies that export spread business risk by diversifying into multiple markets Exporting into foreign markets can often reduce per-unit costs by expanding operations to meet increased demand Finally, LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com companies that export into foreign markets gain new knowledge and experience that may allow the discovery of new technologies, marketing practices and insights into foreign competitors c, Challenges of exporting Companies that export are presented with a unique set of challenges Extra costs are likely to be realized because companies must allocate considerable resources to researching foreign markets and modifying products to meet local demand and regulations Companies that export are typically exposed to a higher degree of financial risk Payment collection methods, such as open-account, letter of credit, prepayment and consignment, are inherently more complex and take longer to process than payments from domestic customers 3, Import a, What is import? An import is a good or service brought into one country from another The word "import" is derived from the word "port" since goods are often shipped via boat to foreign countries Along with exports, imports form the backbone of international trade If the value of a country's imports exceeds the value of its exports, the country has a negative balance of trade Countries are most likely to import goods that their domestic industries cannot produce as efficiently or cheaply as the exporting country Countries may also import raw materials or commodities that are not available within its borders For example, many countries import oil because they cannot produce it domestically or cannot produce enough to meet demand Free trade agreements and tariff schedules often dictate which goods and materials are less expensive to import b, What affects import? The United States' largest trading partners include China, Canada and Mexico Two of these countries are involved in the North American Free Trade Agreement that was implemented in 1994 and, at the time, created one of the largest free-trade zones in the 10 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com + Investment (In) variable has:  Minimum value is 72447 billion VND  Maximum value is 877850 billion VND  Average value is 346008.35 billion VND/year + Export (Ex) variable has:  Minimum value is 5448.9 billion VND  Maximum value is 96905.7 billion VND  Average value is 32082.5 billion VND/year + Import (Im) variable has:  Minimum value is 8155.4 billion VND  Maximum value is 106750 billion VND  Average value is 38213.3 billion VND/year II.Correlation Description Before going deeper into the econometric model, we’ll have a look at the correlation between variables Correlation coefficients, using the observations 1995 - 2011 5% critical value (two-tailed) = 0.4821 for n = 17 GDP 1.0000 In 0.9870 1.0000 Ex 0.9938 0.9844 1.0000 Im 0.9843 0.9873 0.9948 1.0000 GDP In Ex Im The result gives us some information: + The correlation level between GDP and In is 98.70% + The correlation level between GDP and Ex is 99.38% + The correlation level between GDP and Im is 98.43% 16 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com ECOMETRICS MODEL I.Buiding multiple regression model The model consists of variables: + Dependent variable: Gross Domestic Product (GDP) (billion VND/year) + Independent variables:  Investment: In (billion VND/year)  Export: Ex (billion VND/year)  Import: Im (billion VND/year) Sample regression model: GDP = β1 + β2 In + β3 Ex + β4 Im + ui II.Running multiple regression model: We run the regression model by Gretl and the table below is the result: Model 1: OLS, using observations 1995-2011 (T = 17) Dependent variable: GDP Coefficient Std Error t-ratio p-value const 80485.3 20022.8 4.020 0.0015 *** In 1.14732 0.284716 4.030 0.0014 *** Ex 31.0314 4.48987 6.911 Investment, export, import explain about 99.5305% of the variation of GDP + Meaning of coefficients:  β1= 80485.3 means: the total value of investment, export and import equal at the same time, the average of GDP is 80485,3 billion VND/year  β2= 1.14732 means: Export, Import constant, total investment increase (decrease) billion VND/year, GDP increase (decrease) 1,14732 billion VND/year  β3= 31.0314 means: total investment, import constant and if export increase (decrease) billion vnd/year, GDP increase (decrease) 31,0314 billion VND/year  β4 = −16.2129 means: total investment, export constant import increase (decrease) billion VND/year, GDP decrease (increase) 16,2129 billion VND/year 18 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com ROBUSTNESS CHECK I.Hypothesis test Testing individual regression coefficient (P-value method) By P- value method, we can test the influence of each independent variable, which includes In, Ex, Im on the value of dependent variable GDP Two-side testing:  β2 Pair of hypothesis: H0: β2 = H1: β2 ≠ P-value= 0.0014 < α = 0.05 => reject H0 => β2 influences to Y  β3 Pair of hypothesis: H0: β3 = H1: β3 ≠ P-value= reject H0 => β3 influences to Y  β4 Pair of hypothesis: H0: β4 = H1: β4 ≠ P-value= 0.0022 < α = 0.05 => reject H0 => β4 influences to Y → Conclusion: the regression coefficients of variables In, Ex, Im are statistically influenced on GDP Testing the overall significance Hypothesis: H0 = β = β = β = H1 = β + β + β ≠ 19 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com FS= 918.5575 > 3.41 => reject H0 In another way, from OLS table, we also have result: F(3, 13) 918.5575 P-value(F) 2.23e-15 The P-value for the F-test is 2.23e-15 0.8  The correlation coefficient betweem In and Im is 0.9873 > 0.8  The correlation coefficient between Ex and Im is 0.9948 > 0.8 → The model occurs multicollinearity phenomenon SOLUTION: a.Remove variable “In”: Regression model after removing variable “In”: Model 5: OLS, using observations 1995-2011 (T = 17) Dependent variable: GDP Coefficient Std Error t-ratio p-value const 105714 27485.0 3.846 0.0018 *** Ex 33.5316 6.42628 5.218 0.0001 *** Im −8.58365 5.51314 −1.557 0.1418 Mean dependent var 853482.8 S.D dependent var 636263.3 Sum squared resid 6.84e+10 S.E of regression 69899.43 R-squared 0.989440 Adjusted R-squared 0.987931 21 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com F(2, 14) 655.8519 P-value(F) 1.46e-14 −212.1034 Akaike criterion 430.2069 Schwarz criterion 432.7065 Hannan-Quinn 430.4554 rho 0.354849 Durbin-Watson 1.286398 Log-likelihood => R2reject In = 0.989440 b.Remove variable “Ex”: Regression model after removing variable “Ex”: Model 6: OLS, using observations 1995-2011 (T = 17) Dependent variable: GDP Coefficient Std Error t-ratio p-value const 58315.0 41176.6 1.416 0.1786 In 1.41924 0.587486 2.416 0.0299 Im 7.95790 5.06379 1.572 0.1384 ** Mean dependent var 853482.8 S.D dependent var 636263.3 Sum squared resid 1.42e+11 S.E of regression 100770.6 R-squared 0.978052 Adjusted R-squared 0.974916 F(2, 14) 311.9307 P-value(F) 2.45e-12 −218.3219 Akaike criterion 442.6437 Schwarz criterion 445.1434 Hannan-Quinn 442.8922 rho 0.639165 Durbin-Watson 0.855499 Log-likelihood => R2reject Ex= 0.978052 22 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com c.Remove variable “Im”: Regression model after removing variable “Im”: Model 7: OLS, using observations 1995-2011 (T = 17) Dependent variable: GDP Coefficient Std Error t-ratio p-value const 77945.0 28042.8 2.779 0.0148 ** In 0.665489 0.357389 1.862 0.0837 * Ex 16.9960 3.59071 4.733 0.0003 *** Mean dependent var 853482.8 S.D dependent var 636263.3 Sum squared resid 6.43e+10 S.E of regression 67779.82 R-squared 0.990070 Adjusted R-squared 0.988652 F(2, 14) 697.9576 P-value(F) 9.52e-15 −211.5800 Akaike criterion 429.1599 Schwarz criterion 431.6596 Hannan-Quinn 429.4084 rho 0.647029 Durbin-Watson 0.755837 Log-likelihood => R2reject Im = 0.990070 Comparing regression models, we can see that R2reject Ex < R2reject In < R2reject Im Therefore, we can remove the variable “Im” out of the model Testing for Heteroscedasticity Heteroskedasticity: Recall that OLS makes the assumption that Vj(ε) = σ2 for all j That is, the variance of the error term is constant (Homoskedasticity) If the error terms not have constant variance, they are said to be heteroskedastic We have the pair of hypothesis as below: H0: The residuals are homoscedastic H1: The residuals are heteroscedastic 23 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Using White’s test for heteroskedasticty in Gretl, we get the result as below: White's test for heteroskedasticity OLS, using observations 1995-2011 (T = 17) Dependent variable: uhat^2 coefficient std error t-ratio p-value -const −2.41057e+09 3.45944e+09 −0.6968 0.5084 In −165361 123981 −1.334 0.2240 Ex 767585 1.45210e+06 0.5286 0.6134 Im 1.16147e+06 872875 1.331 0.2250 sq_In 0.238021 0.556187 0.4280 0.6815 X2_X3 0.427921 16.6303 0.02573 0.9802 X2_X4 −1.95616 18.5019 −0.1057 0.9188 sq_Ex 431.091 368.592 1.170 0.2805 X3_X4 −727.563 717.891 −1.013 0.3446 sq_Im 297.804 358.264 0.8312 0.4333 Unadjusted R-squared = 0.713782 Test statistic: TR^2 = 12.134290, with p-value = P(Chi-square(9) > 12.134290) = 0.205844 → The result illustrates that: TR^2 = 12.134290 with p-value= 0.205844 > 0.05 so we accept the hypothesis H0: The residuals are homoscedastic It refers to regression model of GDP according to In, Ex, Im does not occur heteroscedasticity Testing for normality According to the Basic assumptions of OLS (Gaus-Makov), we have the 5th assumption: u ~ N(0,σ2) Consequence: +If this assumption does not hold, then estimates are still unbiased, but we will not be able to assess which parameters are significant + The normality of the estimates is not hold + The significant tests will not follow the t-student distribution 24 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com + The joint significant test will not follow an F distribution Pair of hypothesis: H0: u follows normal distribution H1: u doesn’t follow normal distribution Using Normality of Residual in Gretl, we get the result: Frequency distribution for uhat1, obs 1-17 number of bins = 7, mean = 1.64351e-010, sd = 48368.3 interval midpt frequency rel < -8.870e+004 -1.014e+005 5.88% ** -8.870e+004 - -6.327e+004 -7.598e+004 ** -6.327e+004 - -3.784e+004 -5.056e+004 ** -3.784e+004 - -1.241e+004 -2.513e+004 **** -1.241e+004 - 1.301e+004 298.6 58.82% ********** 1.301e+004 - 3.844e+004 2.573e+004 82.35% ******** >= 3.844e+004 5.115e+004 100.00% ****** cum 5.88% 5.88% 11.76% 5.88% 17.65% 11.76% 29.41% 29.41% 23.53% 17.65% Test for null hypothesis of normal distribution: Chi-square(2) = 4.257 with p-value 0.11902 25 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com p-value 0.11902 > 0.05 => not reject H0 => u follows normal distribution 26 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com FINDING & DISCUSSION I.Finding - The total value of investment, export and receipt of capital affects the gross domestic product of Vietnam in the period of 1995-2011 - The model is selected in accordance with economic theory - Investment, export and import explain 99.5305% of the fluctuation of GDP, while 0.4695% are unknown factors, not included in the model - The original model has multicollinearity phenomenon and it is an incomplete multicollinearity phenomenon, overcome by eliminating “Im” variables from the model - The model has no heteroskedasticity phenomenon - Can remove import variables from the model in case of necessity II.Discussion - To increase GDP in a country, it is necessary to strengthen the implementation of policies to attract investment capital, increase exports and limit imports - Focus on attracting multinational corporations to invest in large projects, high technology, infrastructure, create a change in the structure, promote industry support and create conditions for domestic businesses to develop - Increasing productivity and reducing imports - At the state level, there is stability political and social, good international relations, clear legal, fast operating apparatus, reasonable political machanism, in which bank interest rates and exchange rates have the effect of increasing imports and reducing imports - Increasing competitiveness at the enterprise level is to improve production and business efficiency Competitive goods and services are presented at low cost, high quality, design, proper packaging and consumer tastes are widely marketed 27 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com CONCLUSION The above report is completed on the basis of the contributions of the members with the knowledge capital drawn from the process of studying and studying econometrics This is also an opportunity to practice so that we can better understand the relevant analysis and verification, apply the knowledge on the lecture hall to learn and draw the useful conclusions about phenomena in different correlations and interplay between socio-economic phenomena Throughout this analysis, we has fully implemented the proposed target: to fully, accurately and strictly follow the steps to conduct a quantitative and qualitative study; identify the influence of some factors to GDP : Investment, Export, Import Our team has completed the econometric model of factors affecting GDP Investment, export, import have a significant influence on GDP It is possible to add some more variables to increase relevance of the model, however, the model will be more complicated, with more defects, causing difficulties in testing Because the capacity of each group member is limited, the topic cannot avoid shortcomings The group is looking forward to receiving comments from teachers and friends so that we can timely grasp and strengthen our knowledge 28 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com REFERENCE https://www.investopedia.com/ https://text.123doc.org/document/1945283-kinh-te-luong-nhung-yeu-to-anh-huong-de n-gdp-cua-tphcm.htm https://text.123doc.org/document/4115652-phan-tich-su-anh-huong-cua-fdi-xuat-nhap -khau-va-dan-so-den-gdp.htm https://sachgiai.com/De-tai/Thu-nghiem-xay-dung-mo-hinh-kinh-te-luong-de-phan-tic h-nhung-tac-dong-anh-huong-cua-tong-gia-tri-xuat-nhap-khau-dan-so-chi-so-gia-tieu-du ng-CPI-ti-le-lam-phat-den-tong-san-pham-quoc-noi-GDP-2487.html https://text.123doc.org/document/4115652-phan-tich-su-anh-huong-cua-fdi-xuat-nhap -khau-va-dan-so-den-gdp.htm https://text.123doc.org/document/3493126-mqh-giua-xuat-khau-va-gdp.htm https://www.gso.gov.vn/ https://tailieu.vn/doc/luan-van-nghien-cuu-su-anh-huong-cua-von-dau-tu-nuoc-ngoaifdi-toi-tong-thu-nhap-trong-nuoc-gdp 1542765.html 29 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com APPENDIX Data is taken from the General Statistics Office of Vietnam: GDP VIETNAM 1995-2011 Year 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 GDP 228677 269654 308600 352836 392693 435319 474855 527056 603688 701906 822432 951456 1108752 1436955 1580461 1898664 2415204 Investment (In) 72447 87394 108370 117134 131171 151183 170496 200145 239246 290927 343135 404712 532093 616735 708826 830278 877850 Export (Ex) 5448.9 7255.9 9185 9360.3 11541.4 14482.7 15029.2 16706.1 20149.3 26485 32447.1 39826.2 48561.4 62685.1 57096.3 72236.7 96905.7 Import (Im) 8155.4 11143.6 11592.3 11499.6 11742.1 15636.5 16218 19745.6 25255.8 31968.8 36761.1 44891.1 62764.7 80713.8 69948.8 84838.6 106749.9 30 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com ... the macro issues that someone working in the field of economics are concerned That's why our group decided to study the subject: “ Some factors affecting GDP Vietnam during 1995-2011? ?? II.Objectives... influence of some factors to GDP : Investment, Export, Import Our team has completed the econometric model of factors affecting GDP Investment, export, import have a significant influence on GDP It... : add luanvanchat@agmail.com LITERATURE REVIEW ? ?Factors affecting GDP of Ho Chi Minh City” The subject was about the impact of some factors on GDP of Ho Chi Minh City It includes: human resources,