NGUYENTRUNGIKEU TAC DONC CUA CAC Mt±AN 70 VII MO DEN TW TRVJ$NG CIIIOJG KHOAN VIET NAM LUANVANTRACS ]K[NH TE Thiinh phd Ho Chl Minh — Ndm 2014 acnpxc cua cac mw vo KINB TE W MO BBN TBI f R1J‘OYG L CAMDOAN Tfii xin cam doan luan viin chinh tfii thirc hi(n Nhung thong tin vi1 n i dung néu de téi den dna trén nghién ciiu thiic té, c:ic thong tin, so Ii(u trich dan co ngufin goc ding tin cay Nguyen Trung Hieu Trang phu bra Danh Daoh céc biéu dfi Danh muc chti viét tdt T6m tllt Chuoiig I: Gidi thi(u de Ly chpn dé tiii Muc dich Vén dé Phwongphépng Y nghla cite de t6i 1.6 Két cau cii Chuimg B: Céc iighién elm trudc d6y ve t$c dgng chs céc nh6n t6 kinh Ie vI m6 d$n th[ tririmg chiing khoén ‹r mgt sfi nude trén the gi6i phat L2i Cung tién m‹i Ty gi:i hfii doiii xu$t cfing Nghién citu téc dong tong hqp ciia ciic nhdntfi kinh té vi in Nghién ctiu tai Viét Nam Béng 2.1: T6m Béng nhdn to kinh te méi sff dpng nghién ciiu Béng 3.2: Du kién xu hu6ng téc dgng ciia céc bien déii chl so VN-Index 26 Béng 4.1: Kit quI kiltn d]hh hi@ iipg thdi vp ciia cfc bien Bliiig 4.2: D g d8 th[ theo tb6i gran ciia céc bién Bé g 4.3: Két qué kiem dinh tioh ditog ciia cite bién Béng 4.4: Két qu8 kiém dinh Béiig 4.5: Ke‘t qiil kiém dinh tinh bén Béng 4.6: Két qii kiém djrih hi@ tupng tmmg quan .37 Béng 4.7: Kct qu8 hfii guy mo hich Béiig 4.8 Két quI kiém djtih manger VAR Béng 4.9: Két gull phén tich phén id phuong sai Bien 3.1: Dien bien chi so VN-Index qua ciic ntim 25 Bieu 4.1: Ket qua kiém dJnh tinh ben vfmg 36 Biéu 4.2: Phén ting ciia VN-Index dci v6i ci’i soc ciia cite bien so kinh te 45 - ADF: Augmented Dickey-Fuller — Phuong phép Dickey-Fuller bo sung - CPI: Consumer Ptice Index - chi so gi$ tiéu dimg - EX: Exchange Rate — Ty gié hfii dcdi - GSO: General Statistics Office - T8ng cpc thong ké Vi(t Nam IFS: International Financial Statistics - Thong ké tai chfnb Qu$c te IMF: International Monetary - Qu¶ tien t( quoc te HP: Index of Industrial Production — Gié tri situ xulit cfing nghi - 1/ IR: Interest rate - Lai suat - M2: Cung tién mo ng - NHNN: Ngfin héng Nhii nu6c - USD: dl› la My VAR: Vector Autoregession — Tu hoi guy véc-t‹i VND: dong Vi(t Nam VN-Index (VNI): Chl so gié chiiog kho:in Vipt Nam TOM TAT Nghién ciiu thpc nghi$m trén the gi6i vé téc d9ng ci'ia cfc nhén t6 kinh té vi mo den th) tru6ng chfmg khoén co nhiJu su khéc bi t tha( m chi tréi chiJu Biii nghién cihi nh muc dich chinh la phén tich inh huéng ciia céc nhén to kinh té vii mo dén chi so'giiéé cchhiiiinng kkhhooéénn VVii“9tt NNaamm tthhff››nng quuaa hoi quy véc-t‹i (VAR) Céc nhan to kinh té c6u bat bao gom: lai suat, 1( l ph:it, cung tién mo rong, gi:i tri situ xuat cf›ng nghi(p, gi:i hot doéi Chi so VN-Index duqc su d9ng lém dai di(n cho chi so giii chiirig khoén ciia th|trotting chting khoén Vi(t Nam Dii li(u phén tich cua c:ie bien dupc lay theo th:Ing, tiong Shoring thmi gian tit théng 01/2008 den théng 12/2013 (bao gom 72 quan s:it) Kiem d nh nhfin qué manger va md› hinh hot quy véc-to cho thay chi co nhén to giii tri sin xulit cong nghi(p va gi:i hoi do:ii co t:ie do( ng den chi so VN-Index Ben c dé, kiem dinh nhén qua ciing cho thay chi to VN-Index khéing phai la chi béo h rig dau cho céc nhén to kinh te i mo v$ nen kinh te vi chi so VN-Index chi cé iéc d ng nhfln qua hat chieu den bien doéi Tit cho thay th) truéng Vi(t Nam la khf›ng hi(ii qua gia hoi ' ddéénn vi(c hap thp thong tin khong tot va chua the truyén tai tit ct thf›ng qua chi so gif chimg khoén CRtJONG I 1.1 LJ chgn de thi: Tit hinh thinh va di vao hogt dgng, hon muiii n8in qua thi tni6ng chiing khoén Vi(t Nam dii co nhilng dong gop nhat djnh cho nen kinh t1 nhung van erm nhieu yeu va ton tgi khfing it bat cJp Sau giai dog tilng trudng né›ng, thj truimg chfmg kho:in rot vao kg théi it cds b rig, chi ski gié chfmg khoén lién tpc spt giém Bén cgnh dé› khfing hoéng kinh té toén cau nlim 2008 da khien kinh te nu6c ta phéi duong déu vdi nhieu thilch thuc, kinh te nuéic den van ch phpc hot Hi§n nay, nuéc chfi yéu dpa van nhihg djmh gia bhng phuong phép chiét u dong tién Tuy nhién, v6i tinh hinh bién dgng cfia th) truéng hi(n thl phuong ph:ip n$y té hi(u qué vé khf›ng the dq b$o trudc duqc nh0ng chuyén bien cua thi trudng de nh dau tu c6 the thpc hi(n quyet djnh kinh doanh mqt each linh dong hon Vi(c nghién ciiu ting dpng céc ly thuyét dau tu Hi chinh hi§n d@ v“ao W\ tr ig chfmg khoén Vi(t Nam giai do:jn hie)n lfi mot vi(ec het suc quan trpng va clip thiét Cl tht truéng Vi(t Nam, vi9c thay déi ciic chinh s:ich ciing nhu céc bién so x:iy khé d t ngot nen thiiimg co téc dpng kh:i in nh d|mh thpc té qua cac mo hinh kinh té luqng c:ic ’i nan he yéu to kinh té Hi suiit léii gié chting khoén giup cho ta co c:ii nhin tong qu:it hon vé riii ro n Tlidi diem 2008m1 2008W 2008:::13 2008in4 2008:: 2008m6 2008m7 2008m8 2008m9 2008ml0 2008:::11 2008m12 2009 2009:»2 2009 2009m4 2009m5 2009m6 2009m7 200W8 2009m9 2009:: 10 2009» 1 2009m l2 2010:::1 2010W 20I0 2010m4 201M5 2010:::6 201W7 2010 2010:::9 “' (8.9428) (21.4193J (22.0715) 1.0640 {20.7312) (3.5499) 13.0195 19.4284 (15.2847) (23.9982) (9.3345) 0.2860 (3.9290) (18.9644) 14.2450 14.5707 27.9851 8.9164 4.1267 17.1380 6.2363 1.0673 (14.1373), 4491 (2.5869) 3.0913 0.4629 8.6538 (6.4528) (0.0591 ) (2.6030 (7.8558J (0.13 I’81 DCPI n/a 1.1800 (0.5700) (0.7900) 1.7100 (1.7700) (1.0100) 0.4300 (1.3800) (0.3700) (0.5700J 0.0800 1.0000 0.8500 (1.3400) 0.5200 0.0900 0.1100 (0.0300J (0.2800) 0.3800 J0J500) 0.1800 0.8300 (0.0200) 0.6000 II 2100J (0.6l00J 0.1300 10.05001 (0.1600) 0.1700 1.0800 DM2_SA IIP DI n/a (5.4000) n/a 0.0001) J9.371 3J 2.0843 0.0058 24.7146 1.7790 (0.0047) (8.8116) 1553 0.0049 0.2257 1.2608 (0.0025J 2.6181 2.2989 0.0049 (0.1463) 0.0086 0.0018 (0.6736) (0.1324) 0.0117 (2.6695J J0.2536) 0.0106 0.4085 (1.3519) 0.0124 (6.0983J 6926) 0.0212 8.6702 (1.7689) 0.0159 (I3.6768) 0.5836 0.0118 8.3983 (0.9579) 0.0144 3.6993 (0.3252) 0.0153 3.2681 0.0035 0.0097 2.2376 (0.0441) 0.0075 1.6340 (0.4618) 0.0091 1.1798 (0.0302) 0.0021 3.9056 0.0970 0.0056 3.0123 0.3421 0.0104 {0.3839J 0.3120 0.0077 1.2847 1.3676 (0.0087) 4.3712 (4.1098) (4.1122) 0.4221 0.0028 0.0120 (19.7142J 0.0438 0.0076 18.8642 (0.1765) 0.0114 4.5519 0.3120 0.0106 (0.05561 10.1778) I 0.0@0 5.3046 0.1643) 0.0043 3.2557 0.0506 0.0165 0.8387 (0.0719) 0.0102 1.2128 0.0999 EX (0.1438/ (0.2504J 1.1800 0.0434 0.7441 3.6745 (0.3206J (1.13161 0.1205 1.2635 0.9923 2.8770 (0.0114) (0.0229J 1.8421 (0.1011) 0.0056 0.0900 0.0786 0.0449 0.1010 0.1177 3.5438 (0.0865) 3.3606 (0.5236) 0.0526 0.4471 0.0262 2.0942 - 20l0ml0 2010ml 201IK 12 201 Init 2011»2 2011m3 201 1:: 2011m5 201lm6 201 lm7 2011m8 201 lm9 201 lml0 201 Init I 2011:::12 2012:: 2012W 20l2m3 2012 2012:: 2012:::6 2012 2012:: 2012:::9 2012:::10 2012m11 20l2m12 2013:::1 2013:: I 2013:n3 2013:: 2013m5 20l3m6 2013 2013 (0.4180) (0.2209) 7.3295 5.3435 (9.6357) (0.0650) 4.1206 (12.2266) 2.6341 (6.1965) 4.6833 0.6828 (1.5903) (9.5295) (7.6438) 10.3527 9.1753 4.1076 7.4376 (9.4133) (1.5843) (1.8703) (4.4632) (0.8586) (1.0698) (2.7291) 9.5024 15.9778 (1.0838) 3.4555 (3.3605) 9.2518 (7.1952) 2.2449 (3.9032) (0.2600) 0.8100 0.1200 (0.2400) 0.3500 0.0800 1.1500 {1 1l00J (l.1200) 0.0800 (0.2400) (0.1100) (0.4600) 0.0300 0.1400 0.4700 0.3700 (1.2100) (0.1100) 0.1300 (0.4400) (0.0300) 0.9200 1.5700 (1.3500) (0.3800) (0.2000) 0.9800 0.0700 (1.5100) 0.2100 (0.0800) 0.1100 0.2200 0.5600 0.0077 0.0067 0.0070 0.0032 0.0088 (0.0025) 0.0008 0.0002 0.0071 0.0089 0.0223 (0.0098) (0.0010) 0.0055 0.0056 0.0024 0.0030 0.0093 0.0092 0.0087 0.0058 0.0079 0.0071 0.0075 0.0083 0.0143 0.0118 0.0137 0.0087 0.0102 0.0049 0.0052 0.0049 0.0043 0.0040 3.4129 1.2473 3.4305 (2.5143) (23.3087) 21.2444 3.0246 4.2041 4.6000 6.1000 4.3000 2.1000 5.2000 5.0000 4.8000 (12.9000) 10.0000 10.2000 1.5000 4.4000 2.0000 3.2000 4.1000 4.6000 5.8000 4.8000 4.9000 (3.2000) (21.3000) 31.9000 1.6000 4.6000 1.9000 3.4000 1000 (0.0600) 1.1902 1.3948 0.6130 0.6340 (0.1391) 0.1091 (0.3986) (0.4330) 0.0085 (0.0665) (0.0104) 0.0885 0.3170 0.0362 0.4631 (0.0711) (0.9743) (0.9852) (1.3377J 2.6680 0.0543 (0.0424) (0.0158) 0.0851 (0.0014) (0.9179) 0.3898 (0.0668) (0.4109) 0.1199 (0.4419) (0.3346) (0.3938) (0.0128) 7.0769 0.1437 (0.9087) (0.5792) 0.0971 (0.0485) 1.0869 0.8496 0.1190 (0.7891) (0.0479J 0.3356 (0.1911 J 0.1436 (0.1673) (0.0239) 0.0958 (0.1675) 0.0240 (0.0719) 0.0480 0.5512 (0.0953) 0.3340 0.8084 (0.0472) (0.0472) Thiii diem 2013 2013 2013 2013 10 11 12 4.2099 0.9744 2.0909 (0.6302) 0.2300 (0.5700) (0 1500J 0.1700 0.0034 0.0111 0.0018 (0.0137) 0.5000 6.7000 2.6000 4.4000 0.0082 0.0564 (0.0686) 0.0672 (0.1889J (0.0946) 0.0237 Php lpc 6: Kiem d)nh dg tre tot VAR Lag Order Selection Criteria Endogenous wriablcs: VNI IIP EX DM2_SA DI_SA DCPI Exogenous variabes: D8te: 05/25/14 Time: 14:00 Sample: 2008M01 2013M1 Included observatlons: 65 FPE LogL HQ -481.3015 -426.1163 -407.2465 VIA 57.43829* 99166 0.070740* 0.079951 0.126969 14.37851* 1#.46586 14.B3/J68 14.57B22“ 15.90087 1753993 14.45770* 15.05024 15.98018 -388.4276 3534139 2948831 40.63267 0.217813 0.275985 15.3B778 1548966 19.21132 20.50747 18.80247 1748951 -324.2074 -2T4.IJ€›38 30.55453 43 20064 0.438794 0.43280£I 15.86869 15.26350 21.92078 22.88987 18.15370 18.19388 ” indicatéB lB¶ order saeaed by the criterion LR: gequantial modified LR teat sta6stic (aach tast at 5º6 level) FPE: Final prediction error AIC: Akaike information crlterion SC Schwarz Infonnetlon critarton HQ: Hannan-Quinn information crlterion Vector AUtOre§fBbsbn Estimates Date: 05/1014 Time: 21:24 Sample (adjusted): 2iXI8M03 2013M12 lndudad observatione: 70 aBer adjustments Standard errora in ( ) s t-statistic:s in [ ] VNI(-1) EX(-1) DM2_SA(-1) DI_SA(-1) ' R-squared Adj R-squared Sum sq iesids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent Log likelihood DI_SA 0.324187 (0.11663) [2.77942] -0.107558 (0.10327) [-1.04149] -0.034248 (0.01554) [-2.20455] -3.70E-05 (7.3E-05) [-0.50519] 0.008416 (0.01234) [ 0.M187] 0,013712 (0.00B25) [ 1.M206] 0.31M20 (0.14871) [2.14658]““ -0.388376 (0.12990) [-2.83577]““’ -0.034622 (0.01954) [-1.77188]* -0.000183 (6.2E-05) [-1.M862]’ 0.008887 (0,01552) [0,55827] 0.003220 (0.01183) [0.27M1] 1.775956 (1.04098) [ 1.708114 * 0.238881 (0.92174) [ 0.25916) -0.194418 (0.13868) [-1.40212 -0.001752 (0.00LJ65) [-2.68J44]” -0.114153 (0.11016) [- J 03827) 0.085194 (0.08254) [ 0.78982) 145.7331 -52.8›s«o 218705 o.:›sz0z7 -21.soos› g.ease‹z (191.B87) [0.75908] (16B.9B6) [-0.31£B6] (25.5730) [0.D88G8] (0.12050) [2.62141] (20.3162) [-1.07306] (15.2231) [0.4M88] -0.073355 0.254643 (0.97042) [0.26241] -0.031074 (0.145M) [-0.21286] 6.001570 (0.00066) [-2.28187] 0.179512 (0.11567) [1.54786] -0.061432 (0.08690) [-0.7IB92] 0.666769 (1.63038) [0.40896] •6.168681 (1.44363) [-0.11685] -0.075794 (0.21717) [A.34901] -0.001749 (0.00102) [-1,70055]* 0.247557 (0.17253) [1.43488] -0.10202B (0.12928) [-0.78923] -z.zs‹zss 3.46sez3 o.ssssso o.oos‹2g o.›‹5410 -0.127s2s (1.74829) [-1.31056] (1.54803) [2.23745] (0.23287) [2.31863] (0.00110) [4.94495] (0.18500) [0.78598] (0.13863) [-0.92211] 0.172618 0.094148 5166.078 8.081708 2.165231 -250.0764 7.345041 7.565891 0.086328 9.541990 0.168932 0.089783 4073.884 8.041424 2.134350 -241.5605 7.101729 7.326578 2.399353 8.428698 0.106994 0.021946 92.19216 1.209897 1.258039 -108.0640 3.313257 3.538106 0.411016 1.223194 0.266214 0.199616 0.002047 0.005700 3.888099 266.0717 -7.402048 -7.177199 0.006868 0.006371 0.129830 0.046657 58.18542 0.961030 1.586808 -92.85558 2.853017 3.077866 -0.048450 0.984420 0.072120 -0.016250 32.66918 0.720110 0.818117 -72.65349 2.275814 2.500664 -0.043571 0.714330 Datarminant resid covariance (dof adj,) Determinant resid covariance Akaike information criterion Schwarz criterion DM2_SA 0.070462 0.037448 -480.9844 14.84241 16.29151 -0.282287 0,399664 0,282287 0,222396 0.132672 0.222?B6 -0.065554 - 0, 115345i 065554 + 115345i 0.132672 0.017785 Inverse Roots of AR Characteristic Polynomial I.5 1.0 -1 -1.5 -1, -1, -0, 0 0, 1.0 1.5 Phy lyc 9: Kiem dJnh hi(n tupng Ip throng guru VAR Residual Serial Correlation LM T6StB Null Hypothesis: no eeriel oirrelation at lag order h Date: 0b/25/14 Time: 14:1 Sample: 2008M01 2013M12 lnduded observations: 70 Prob 40.55797 33.57547 34.53431 28.61010 M.47457 Proba from d›i-squaro with 3£I df 0.27M 0.7M5 0.58€5 0.5M3 0.8048 0.1570 VAR manger Causality/Block Exogeneity Weld Teste Dats: o5/25/14 Time: ex:18 Sampla: 20086 J1 2013M12 Excluded Chl-eg IIP EX DM2_SA DI_SA DCPI 4.807708 2,B10M0 0.576167 0.004€80 0.187247 0.0318 1 0.2073 Dependent verlabe: IIP Excluded Chi-eg VNI 1.08€701 EX 0.IM7165 DM2_SA DI_SA DCPI 0.09652B 0.LBB857 0.0f 3853 1,8B3121 Dependant variable: EX Excluded Chi-eg VNI IIP DM2_SA DI_SA DCPI 4.86IXJ58 3.1387B4 0.007514 0.045310 0.121807 Prob 1 1 0.0275 0.0785 0.6300 0.8314 0.7271 0.1B17 7.413009 Dependent variable: DM2_SA Exduded D Chi-eg df 0.255212 0.6134 190102 5.206909 1 2.622545 0,0073 0.0225 0.0B74 0.0487 15.88178 Exduded Ch±aq IIP 0.311661 EX 1.073857 DM2_SA DCPI 1.151482 2.058889 1 1 0.5787 0.3001 0.1513 0.2180 7.082995 Dapandant variable: DCPI Chi-6q Exduded 2.198280 _SA 1 0.210574 3.487878 0.1382 0.7819 12 Phy lpc 12: Phfin tich phfln rd phuoiig set DM2_SA DI_SA 6.081708 M.41731 0.285528 2.278478 4.822286 3.145915 0.270255 0.011988 0.108725 2.150441 B 10 11 12 13 14 15 16 17 18 16 20 21 22 23 24 9.888389 B.8774B4 9.878740 6.87B302 9.8790•1£I 8.87BJ47 9.879048 9.870048 6.87BJ•I8 6.87B348 9.87B348 9.87B348 B.87B348 9.879048 9.879£I48 6.879048 6.879048 9,878048 6.878048 6.87B348 6.87BJ48 9.87BJ48 88.41789 88.21959 88.19E75 88.19218 88.16153 88.16141 88.19140 88.16136 88.19136 88.16136 88.19139 88.16136 M.1913B 88.19139 88.19136 88.1B139 88.16136 88.19136 88.19139 88.16136 M.19138 88.19139 3.028434 3.0729£I3 3.077608 3.077538 3.077552 3.077M8 3.077548 3.077548 3.077548 3.077548 3.077548 3.077548 3.077548 3.077548 3.077548 3.077548 3.077548 3.077548 3.077548 3.077548 3.077548 3.077648 4.798894 4.805038 4.803821 4.803900 4.80M82 4.803883 4.80M83 4.803883 4,803883 4.803883 4.803883 4.803883 4.803883 4.803883 4.803883 4.803883 4.803883 4.803883 4.803883 4.803883 4.803883 4.803883 1.464286 1.522758 1.532113 1.533855 1.534127 1.534173 1.53418D 1.534181 1.534181 1.534181 1.534181 1.534181 1.534181 1.534181 1.534181 1.534181 1.534181 1.534181 1.534181 1.534181 1.534181 1.534181 0.163070 0.221161 0.228920 0.230872 0.231165 0.231216 0.231228 0.231226 0.231226 0.231226 0.231228 0.231229 0.231229 0.231226 0.231226 0.231226 0.231226 0.231229 0.231226 0.231229 0.231229 0.251229 2.127825 2.158747 2.180888 2.1616M 2.181743 2.161762 2.181785 2.181785 2.161785 2.181785 2.181785 2.181765 2.181785 2.161785 2.161785 2.181785 2.161785 2,161785 2.161785 2.181765 2.161785 2.181785 9.808927 89.44149 1.2QJ581 Choteeky Ordering: DI_SA DCPI rs EX ouz_w v›‹i 1.88B324 ... dong cfia nen kinh te, mgt sq gia tdng sé.n xuat cong nghi p la in t bao hi(u cho phlit trién kinh te Chi so luon di theo chu ky kinh té, né tiing cong thi i phpc hoi, bring no kinh té va giiim... tru?mg chfmg khoén Vi(t Nam hoqt dgng gran dich dien séii dgng hon va I dinh diem véo ném 2007 Tit mm 2008 kinh tJ Vi§t Nam not chung vii thj truéng chiing khoén Vi‘@ Nam n6i riéng d co nhfmg... khoén lién tpc spt giém Bén cgnh dé› khfing hoéng kinh té toén cau nlim 2008 da khien kinh te nu6c ta phéi duong déu vdi nhieu thilch thuc, kinh te nuéic den van ch phpc hot Hi§n nay, nuéc chfi