SỰ TÁC ĐỘNG CỦA CÁC BIẾN VĨ MÔ LÃI SUẤT TỶ GIÁ LẠM PHÁT, GIÁ VÀNG ĐỀN VN-INDEX

B Giáo d c vƠ Ơo t o Tr ng i h c M ThƠnh ph H Chí Minh LÊ XUÂN SANG S TÁC NG C A CÁC BI N V MÔ: LÃI SU T, T GIÁ, L M PHÁT, GIÁ VÀNG N VN-INDEX Chuyên ngành : Tài ậ Ngân hàng Mƣ s chuyên ngƠnh: 60.34.20 LU N V N TH C S TÀI CHệNH – NGÂN HÀNG Ng ih ng d n khoa h c: TS LÊ THÁI TH TP.H Chí Minh, n m 2012 NG QUÂN L I CAM ĐOAN tƠi nghiên c u “Tác đ ng c a bi n v mô: lãi su t, t giá, l m phát giá vàng đ n VN – INDEX” lƠ đ tƠi nghiên c u tác gi th c hi n tƠi nƠy th c hi n thông qua vi c v n d ng ki n th c đƣ h c, nhi u tƠi li u tham kh o vƠ s t n tình h ng d n c a ng ih ng d n khoa h c, v i s trao đ i gi a tác gi vƠ cá nhơn, t p th khác Lu n v n nƠy không chép t b t k m t nghiên c u nƠo khác Tôi xin cam đoan nh ng l i nêu đơy lƠ hoƠn toƠn s th t Thành ph H Chí Minh, ngƠy … tháng … n m 2012 ……………………………… LÊ XUÂN SANG i L I CÁM Tr N c tiên xin g i l i c m n chơn thƠnh đ n s h c a th y Lê Thái Th ng Quơn su t trình th c hi n lu n v n t t nghi p Tôi c ng xin chơn thƠnh c m n t t c quỦ th y cô c a tr ng ng d n t n tình khoa sau đ i h c i H c M ThƠnh Ph H Chí Minh đƣ truy n ki n th c cho su t th i gian h c cao h c v a qua Bên c nh đó, tơi c ng xin chơn thƠnh c m n b n l p MFB2 nh ng ng i b n đ ng hƠnh v i tơi q trình h c t p, đƣ chia s nh ng kinh nghi m c ng nh nh ng ki n th c quỦ báo đ tơi có th hoƠn thƠnh lu n v n VƠ sau c ng xin g i l i cám n đ n t t c nh ng ng i thơn gia đình ln h t lịng quan tơm h tr vƠ t o u ki n t t nh t cho su t trình h c t p vƠ hoƠn thƠnh lu n v n TP H Chí Minh, tháng n m 2012 LÊ XUÂN SANG ii TÓM T T Th tr ng ch ng khốn lƠ đ nh ch tƠi cao nh t c a m t n n kinh t phát tri n Nh ng bi n đ ng th ng tr m c a th tr loi nhu n v ng v i nh ng r i ro ti m n vƠ t tr i lƠ nh ng ch đ h p d n cho nhƠ nghiên c u kinh t c ng nh nhƠ đ u t th tr ng ch ng khoán i v i th tr ng ch ng khoán Vi t Nam v i tu i đ i ch a nhi u nh ng đƣ mang l i khơng ni m vui vƠ n i bu n cho nh ng quan tơm đ n ch ng khoán t th tr ng đ i cho đ n Xu t phát t nh ng v n đ trên, tác gi đƣ ch n đ tƠi “ Tác đ ng c a bi n v mô: lãi su t, l m phát, t giá giá vàng đ n VN-INDEX” Lu n v n s d ng d li u chu i th i gian theo tháng k t h p v i ph ng pháp phơn tích đ ng tích h p vƠ mơ hình hi u ch nh sai s ECM đ xác đ nh m c đ nh h ng c a nhơn t đ n ch s VN-INDEX m i quan h ng n h n vƠ dƠi h n T k t qu th c t c a nghiên c u cho th y có t n t i m i quan h đ ng tích h p gi a bi n nghiên c u, lƣi su t vƠ l m phát có tác đ ng ng c chi u v i ch s VN-INDEX Tuy nhiên t giá không tác đ ng đ n s thay đ i c a ch s VN-INDEX tƠi s n có giá tr cao nh t đ c bi t nghiên c u c ng cho th y vƠng lƠ m t c nhƠ đ u t n kênh đ u t ch ng khoán vƠ hai th tr c quan tơm song hƠnh v i ng nƠy có quan h chi u bi n đ ng v i iii DANH M C CÁC CH VI T T T ADF (Augemented Dicky-Fuller): Ki m đ nh ADF (m r ng c a ki m đ nh DF) CPI (Consume price index): Ch s giá tiêu dùng DF (Dicky-Fuller): Ki m đ nh Dicky-Fuller ECM (Error correction model): Mơ hình hi u ch nh sai s Eview (Econometric Views): Ph n m m th ng kê EXC (Exchange rate of USD): T giá đola M HOSE (HoChiMinh Stock Exchange): S giao d ch ch ng khốn thƠnh ph H Chí Minh INFT (Inflation): L m phát INT (Interest): Lƣi su t OLS (Ordinary Least Square): Ph ng pháp bình ph ng bé nh t USSR (The Union of Soviet Socialist Republics, Russian): Liên Bang Nga VAR (Vector autoregressions): Ph ng pháp vecto t h i quy VECM (Vector error correction model): Mơ hình vecto hi u ch nh sai s VN-INDEX (Vi t Nam Stock Index): Ch s giá ch ng khoán Vi t Nam iv DANH M C BI U Đ VÀ S Đ Tên bi u đ vƠ s đ Trang Bi u đ 2.1: Bi u đ ch s VN-INDEX n m 2006 Bi u đ 2.2: Bi u đ ch s VN-INDEX n m 2007 Bi u đ 2.3: Bi u đ ch s VN-INDEX n m 2008 10 Bi u đ 2.4: Bi u đ ch s VN-INDEX n m 2009 11 Bi u đ 2.5: Bi u đ ch s VN-INDEX n m 2010 11 th 2.1: quan h cung c u c a trái phi u 13 th 2.2: quan h cung c u c a trái phi u có tác đ ng c a l m phát 15 th 2.3: Bi u di n giá vƠng theo cung c u 18 S đ 3.1: Mơ hình nghiên c u đ xu t 26 v DANH M C CÁC B NG BI U Tên b ng bi u B ng 4.1: K t qu th ng kê mô t cho s li u nghiên c u Trang 39 B ng 4.2: K t qu ki m đ nh nghi m đ n v (Unit Root Test)-ADF cho s li u nghiên c u 41 B ng 4.3: K t qu ki m đ nh đ ng tích h p 43 B ng 4.4: K t qu 46 cl ng mô hình ng n h n vi M CL C L I CAM OAN i L I CÁM N ii TÓM T T iii DANH M C CÁC CH VI T T T iv DANH M C BI U VÀ S v DANH M C CÁC B NG BI U vi M C L C vii CH NG 1: GI I THI U 1.1 LÝ DO NGHIÊN C U 1.2 V N NGHIÊN C U 1.3 CÂU H I VÀ M C TIÊU NGHIÊN C U 1.4 PH M VI NGHIÊN C U 1.5 Ý NGH A TÀI 1.6 B C C LU N V N 1.7 TÓM T T CH NG 2: C S LÝ THUY T 2.1 CH S GIÁ C PHI U VI T NAM VN-INDEX GIAI O N 2006-2010 2.1.1 Khái ni m cơng th c tính ch s giá c phi u VN-INDEX 2.1.2 Di n bi n c a ch s VN-INDEX giai đo n 2006-2010 2.2 TÁC NG C A CÁC BI N V MÔ (LÃI SU T, L M PHÁT, T GIÁ N VN-INDEX) 11 2.2.1 Tác đ ng c a lãi su t đ n VN-INDEX 12 2.2.2 Tác đ ng c a l m phát đ n VN-INDEX 14 2.2.3 Tác đ ng c a t giá đ n VN-INDEX 16 2.2.4 Tác đ ng c a giá vàng đ n VN-INDEX 17 2.3 K T QU CÁC NGHIÊN C U TR C 19 2.4 NH N XÉT CHUNG V CÁC K T QU NGHIÊN C U TR C 22 2.5 TÓM T T 23 CH NG 3: PH NG PHÁP NGHIểN C U 25 3.1 L A CH N MƠ HÌNH NGHIÊN C U 25 3.1.1 C s l a ch n mơ hình nghiên c u 25 3.1.2 Mơ hình nghiên c u đ xu t 26 3.2 CL NG MƠ HÌNH NGHIÊN C U 27 3.2.1 C s c l ng mơ hình nghiên c u – mơ hình hi u ch nh sai s ECM (Error Correction Model) 27 3.2.2 c l ng mơ hình nghiên c u theo ph ng pháp c l ng mơ hình hi u ch nh sai s ecm (error correction model) 29 3.2.2.1 Ki m tra tính d ng b c tích h p (Unit Root Test) 29 3.2.2.2 Ki m tra đ ng tích h p (Testing for co-integration) 32 3.3 MÔ T VÀ O L NG CÁC BI N 35 3.4 M U NGHIÊN C U VÀ D LI U NGHIÊN C U 37 3.5 TÓM T T 37 CH NG 4: PHỂN TệCH D LI U VÀ K T QU NGHIÊN C U 39 4.1 PHÂN TÍCH TH NG KÊ MÔ T 39 vii 4.2 K T QU KI M TRA TÍNH D NG VÀ B C TÍCH H P 41 4.3 PHỂN TệCH NG TÍCH H P 42 4.4 XÁC NH MƠ HÌNH QUAN H TRONG DÀI H N GI A CÁC BI N NGHIÊN C U (LONG- RUN RELATIONSHIP) 44 4.5 XÁC NH M I QUAN H TRONG NG N H N GI A CÁC BI N NGHIÊN C U (SHORT- RUN RELATIONSHIP) 46 4.6 K T QU NGHIÊN C U 47 4.7 SO SÁNH V I CÁC K T QU NGHIÊN C U CÓ TR C 50 4.8 TÓM T T 52 CH NG 5: K T LU N VÀ KI N NGH 53 5.1 K T LU N 53 5.2 ÓNG GÓP C A NGHIÊN C U 54 5.3 H N CH C A NGHIÊN C U 56 5.4 KI N NGH VÀ NGH H NG NGHIÊN C U TI P THEO 57 TÀI LI U THAM KH O 59 PH L C ……………………………………………………………………………… 63 viii CH NG 1: GI I THI U 1.1 LÝ DO NGHIÊN C U Trong n n kinh t hi n đ i th tr tr ng b i : th tr ng ch ng khoán lƠ th ng ch ng khoán đóng vai trị r t quan c đo đánh giá giá tr doanh nghi p vƠ tình hình n n kinh t Theo Sachdeva (1994) phát bi u “ S th t r ng t m quan tr ng c a th tr ng ch ng khoán đ c ph n ánh m i th ch tr dù lƠ kinh t t b n hay kinh t xƣ h i ch ngh a Ngay c liên bang Xô Vi t (USSR) c ng th a nh n vai trò quan tr ng c a th tr ng ch ng khoán phát tri n n n kinh t qu c gia” Vai trò quan tr ng c a th tr n n kinh t th tr ng ch ng khốn th t s có Ủ ngh a đ i v i ng ch ng khốn có m i quan h “ nhơn qu ” v i y u t kinh t v mô Th tr ng ng ch ng khoán chuy n giao v n dƠi h n t ng i có v n đ n i c n v n Th tr th nh v ng ch ng khoán ho t đ ng hi u qu n n kinh t t ng tr ng vƠ ng Theo nh n đ nh c a Maysami, Hamzah (2004) lỦ thuy t v th tr hi u qu : Th tr ng ng ch ng khoán (th hi n qua giá ch ng khoán), u ch nh r t nhanh theo nh ng thơng tin tin c y v y th tr ng ch ng khoán s ph n ánh t t c m i thơng tin v ch ng khốn LỦ thuy t th tr ng hi u qu nh n m nh : Giá ch ng khoán nên ch a đ ng t t c thơng tin có liên quan đ n sách th tr ch ng khốn nh ng ngƠnh ngh t ng vƠ nh ng nhƠ môi gi i ng ng, ch ng m c nƠo m i quan h gi a giá ch ng khốn vƠ sách v mơ nên đ c s d ng vi c t o nên sách kinh t v mơ c a qu c gia Lê Xuân Sang Trang| PH L C Null Hypothesis: D(LNVNINDEX) has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -4.423718 -4.124265 -3.489228 -3.173114 0.0043 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNVNINDEX,2) Method: Least Squares Date: 11/03/11 Time: 09:28 Sample (adjusted): 60 Included observations: 58 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNVNINDEX(-1)) C @TREND(1) -0.528506 0.016090 -0.000442 0.119471 0.030034 0.000863 -4.423718 0.535723 -0.512135 0.0000 0.5943 0.6106 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.263722 0.236949 0.107916 0.640524 48.37301 1.874465 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) -0.000661 0.123541 -1.564586 -1.458012 9.850040 0.000221 Null Hypothesis: LNTYGIA has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Lê Xuân Sang t-Statistic Prob.* -1.268442 -4.137279 -3.495295 -3.176618 0.8851 Trang| 67 PH L C *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNTYGIA) Method: Least Squares Date: 11/03/11 Time: 09:30 Sample (adjusted): 60 Included observations: 54 after adjustments Variable Coefficient Std Error t-Statistic Prob LNTYGIA(-1) D(LNTYGIA(-1)) D(LNTYGIA(-2)) D(LNTYGIA(-3)) D(LNTYGIA(-4)) D(LNTYGIA(-5)) C @TREND(1) -0.395448 -0.693810 0.216075 0.220705 -0.782956 -0.894014 4.192096 -0.016470 0.311759 0.276920 0.212304 0.212671 0.291595 0.249635 3.139331 0.009890 -1.268442 -2.505453 1.017761 1.037775 -2.685077 -3.581287 1.335347 -1.665408 0.2110 0.0158 0.3141 0.3048 0.0101 0.0008 0.1883 0.1026 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.770524 0.735604 0.976320 43.84724 -70.99933 1.992199 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 0.005231 1.898738 2.925901 3.220565 22.06530 0.000000 Null Hypothesis: D(LNTYGIA) has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -8.069783 -4.137279 -3.495295 -3.176618 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNTYGIA,2) Method: Least Squares Lê Xuân Sang Trang| 68 PH L C Date: 11/03/11 Time: 09:31 Sample (adjusted): 60 Included observations: 54 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNTYGIA(-1)) D(LNTYGIA(-1),2) D(LNTYGIA(-2),2) D(LNTYGIA(-3),2) D(LNTYGIA(-4),2) C @TREND(1) -4.144820 2.131793 2.146213 2.164646 1.097655 0.229745 -0.010863 0.513622 0.456658 0.411929 0.361988 0.192397 0.313970 0.008904 -8.069783 4.668250 5.210148 5.979883 5.705143 0.731740 -1.220065 0.0000 0.0000 0.0000 0.0000 0.0000 0.4680 0.2285 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.932089 0.923419 0.982624 45.38089 -71.92757 2.087393 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 0.000707 3.550806 2.923243 3.181075 107.5129 0.000000 Null Hypothesis: LNLAMPHAT has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -2.389349 -4.124265 -3.489228 -3.173114 0.3811 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNLAMPHAT) Method: Least Squares Date: 11/03/11 Time: 09:33 Sample (adjusted): 60 Included observations: 58 after adjustments Variable Lê Xuân Sang Coefficient Std Error t-Statistic Prob Trang| 69 PH L C LNLAMPHAT(-1) D(LNLAMPHAT(-1)) C @TREND(1) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat -0.061998 0.667382 0.286066 0.000633 0.463229 0.433409 0.007316 0.002890 205.0038 2.077502 0.025947 0.100431 0.118877 0.000256 -2.389349 6.645161 2.406408 2.469795 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 0.0204 0.0000 0.0196 0.0167 0.008729 0.009719 -6.931167 -6.789067 15.53388 0.000000 Null Hypothesis: D(LNLAMPHAT) has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -3.529102 -4.124265 -3.489228 -3.173114 0.0456 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNLAMPHAT,2) Method: Least Squares Date: 11/03/11 Time: 09:34 Sample (adjusted): 60 Included observations: 58 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNLAMPHAT(-1)) C @TREND(1) -0.365756 0.002076 3.62E-05 0.103640 0.002286 5.98E-05 -3.529102 0.908269 0.604838 0.0009 0.3677 0.5478 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Lê Xuân Sang 0.190274 0.160829 0.007622 0.003195 202.0894 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F-statistic -2.09E-05 0.008321 -6.865151 -6.758576 6.462094 Trang| 70 PH L C Durbin-Watson stat 1.914845 Prob(F-statistic) 0.003015 Null Hypothesis: LNLAISUAT has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -2.604956 -4.124265 -3.489228 -3.173114 0.2798 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNLAISUAT) Method: Least Squares Date: 11/03/11 Time: 09:35 Sample (adjusted): 60 Included observations: 58 after adjustments Variable Coefficient Std Error t-Statistic Prob LNLAISUAT(-1) D(LNLAISUAT(-1)) C @TREND(1) -0.118542 0.548782 -0.256050 0.000895 0.045506 0.115566 0.099758 0.000536 -2.604956 4.748627 -2.566720 1.672021 0.0118 0.0000 0.0131 0.1003 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.321873 0.284200 0.057559 0.178904 85.36069 2.185438 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 0.008115 0.068033 -2.805541 -2.663442 8.543710 0.000097 Null Hypothesis: D(LNLAISUAT) has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=10) t-Statistic Lê Xuân Sang Prob.* Trang| 71 PH L C Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level -4.285804 -4.124265 -3.489228 -3.173114 0.0064 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNLAISUAT,2) Method: Least Squares Date: 11/03/11 Time: 09:36 Sample (adjusted): 60 Included observations: 58 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNLAISUAT(-1)) C @TREND(1) -0.510500 0.000571 0.000146 0.119114 0.016518 0.000475 -4.285804 0.034549 0.306630 0.0001 0.9726 0.7603 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.250784 0.223540 0.060511 0.201386 81.92790 2.035479 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 0.001773 0.068671 -2.721652 -2.615077 9.205031 0.000356 Null Hypothesis: LNGIAVANG has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -2.269732 -4.124265 -3.489228 -3.173114 0.4431 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNGIAVANG) Lê Xuân Sang Trang| 72 PH L C Method: Least Squares Date: 11/03/11 Time: 09:37 Sample (adjusted): 60 Included observations: 58 after adjustments Variable Coefficient Std Error t-Statistic Prob LNGIAVANG(-1) D(LNGIAVANG(-1)) C @TREND(1) -0.188354 0.217514 3.043716 0.003769 0.082985 0.138138 1.336530 0.001573 -2.269732 1.574613 2.277327 2.395247 0.0272 0.1212 0.0268 0.0201 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.108769 0.059256 0.044411 0.106508 100.4010 1.993718 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 0.021255 0.045789 -3.324171 -3.182071 2.196790 0.098980 Null Hypothesis: D(LNGIAVANG) has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -6.739127 -4.124265 -3.489228 -3.173114 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNGIAVANG,2) Method: Least Squares Date: 11/03/11 Time: 09:38 Sample (adjusted): 60 Included observations: 58 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNGIAVANG(-1)) C -0.897783 0.010278 0.133219 0.012708 -6.739127 0.808741 0.0000 0.4221 Lê Xuân Sang Trang| 73 PH L C @TREND(1) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.000287 0.452431 0.432520 0.046057 0.116669 97.75844 1.974143 0.000363 0.790740 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 0.4325 -0.000532 0.061139 -3.267533 -3.160958 22.72202 0.000000 Ph l c 4: K t qu ki m tra đ tr thích h p dùng cho bi n mơ hình nghiên c u VAR Lag Order Selection Criteria Endogenous variables: LNVNINDEX LNTYGIA LNLAMPHAT LNLAISUAT LNGIAVANG Exogenous variables: C Date: 11/03/11 Time: 09:59 Sample: 60 Included observations: 57 Lag LogL LR FPE AIC SC HQ -5.902162 340.0635 382.9290 401.4248 NA 619.0964 69.18636* 26.60811 1.01e-06 1.30e-11 7.10e-12* 9.40e-12 0.382532 -10.87942 -11.50628* -11.27806 0.561747 -9.804131* -9.534914 -8.410624 0.452181 -10.46153 -10.74014* -10.16368 * 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 Date: 11/08/11 Time: 10:39 Sample (adjusted): 60 Included observations: 55 after adjustments Trend assumption: Quadratic deterministic trend Series: LNVNINDEX LNTYGIA LNLAMPHAT LNLAISUAT LNGIAVANG Lags interval (in first differences): to Unrestricted Cointegration Rank Test (Trace) Lê Xuân Sang Trang| 74 PH L C Hypothesized No of CE(s) Eigenvalue Trace Statistic 0.05 Critical Value Prob.** None * At most * At most * At most At most 0.605360 0.541759 0.500700 0.248022 0.038487 150.0941 98.95610 56.03636 17.83623 2.158610 79.34145 55.24578 35.01090 18.39771 3.841466 0.0000 0.0000 0.0001 0.0598 0.1418 Trace test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized No of CE(s) None * At most * At most * At most At most Eigenvalue Max-Eigen Statistic 0.05 Critical Value Prob.** 0.605360 0.541759 0.500700 0.248022 0.038487 51.13796 42.91975 38.20013 15.67762 2.158610 37.16359 30.81507 24.25202 17.14769 3.841466 0.0007 0.0011 0.0004 0.0808 0.1418 Max-eigenvalue test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): LNVNINDEX -8.990145 -10.27686 1.458858 -3.766708 -1.669435 LNTYGIA -0.867398 2.042374 -1.825612 -0.453730 0.169093 LNLAMPHAT -102.7215 -130.3849 57.41840 -9.074046 -59.63086 LNLAISUAT 13.47710 10.34799 -19.08846 3.678844 9.626310 LNGIAVANG -44.80776 -17.35745 13.96262 -0.296901 6.088265 Unrestricted Adjustment Coefficients (alpha): D(LNVNINDEX ) D(LNTYGIA) D(LNLAMPHAT ) D(LNLAISUAT) Lê Xuân Sang 0.034329 0.605041 0.046382 -0.470387 0.001388 0.149392 0.016608 0.156758 -0.001485 0.010516 0.001278 -0.005194 0.000196 0.002314 0.001202 0.027752 -0.001862 -0.003355 0.000590 -0.002535 Trang| 75 PH L C D(LNGIAVANG ) 0.003587 Cointegrating Equation(s): -0.002687 0.003764 Log likelihood 434.0949 -0.013100 -0.002748 Normalized cointegrating coefficients (standard error in parentheses) LNVNINDEX LNTYGIA LNLAMPHAT LNLAISUAT LNGIAVANG 1.000000 0.096483 11.42601 -1.499097 4.984097 (0.04342) (1.06993) (0.30262) (0.45821) Adjustment coefficients (standard error in parentheses) D(LNVNINDEX ) -0.308624 (0.12220) D(LNTYGIA) -5.439410 (1.41576) D(LNLAMPHAT ) -0.011485 (0.00826) D(LNLAISUAT) 0.046692 (0.06701) D(LNGIAVANG ) -0.032246 (0.04868) Cointegrating Equation(s): Log likelihood 455.5548 Normalized cointegrating coefficients (standard error in parentheses) LNVNINDEX LNTYGIA LNLAMPHAT LNLAISUAT LNGIAVANG 1.000000 0.000000 11.83820 -1.338245 3.907190 (0.62921) (0.20038) (0.33068) 0.000000 1.000000 -4.272191 -1.667156 11.16160 (4.02349) (1.28131) (2.11456) Adjustment coefficients (standard error in parentheses) D(LNVNINDEX ) -0.785290 0.064953 (0.14803) (0.02406) D(LNTYGIA) -0.605314 -1.485518 (1.82605) (0.29675) D(LNLAMPHAT ) -0.013499 -0.000708 (0.01254) (0.00204) D(LNLAISUAT) 0.022912 0.009231 (0.10162) (0.01652) D(LNGIAVANG -0.004628 -0.008600 Lê Xuân Sang Trang| 76 PH L C ) (0.07365) Cointegrating Equation(s): (0.01197) Log likelihood 474.6549 Normalized cointegrating coefficients (standard error in parentheses) LNVNINDEX LNTYGIA LNLAMPHAT LNLAISUAT LNGIAVANG 1.000000 0.000000 0.000000 6.046633 -6.573528 (0.97118) (2.12334) 0.000000 1.000000 0.000000 -4.332224 14.94390 (1.16361) (2.54408) 0.000000 0.000000 1.000000 -0.623818 0.885330 (0.08271) (0.18083) Adjustment coefficients (standard error in parentheses) D(LNVNINDEX ) -0.783265 0.062420 -9.494234 (0.14883) (0.03114) (1.90368) D(LNTYGIA) -0.387372 -1.758250 7.758461 (1.80028) (0.37671) (23.0265) D(LNLAMPHAT ) -0.011746 -0.002902 -0.087776 (0.01227) (0.00257) (0.15692) D(LNLAISUAT) 0.063398 -0.041433 1.825254 (0.07686) (0.01608) (0.98307) D(LNGIAVANG 0.000863 -0.015471 0.198063 ) (0.07350) (0.01538) (0.94011) Cointegrating Equation(s): Log likelihood 482.4937 Normalized cointegrating coefficients (standard error in parentheses) LNVNINDEX LNTYGIA LNLAMPHAT LNLAISUAT LNGIAVANG 1.000000 0.000000 0.000000 0.000000 -3.283930 (2.40992) 0.000000 1.000000 0.000000 0.000000 12.58701 (2.50021) 0.000000 0.000000 1.000000 0.000000 0.545950 (0.24941) 0.000000 0.000000 0.000000 1.000000 -0.544038 (0.47670) Adjustment coefficients (standard error in parentheses) D(LNVNINDEX ) -0.845822 0.054884 -9.644933 Lê Xuân Sang 0.977232 Trang| 77 PH L C D(LNTYGIA) D(LNLAMPHAT ) D(LNLAISUAT) (0.14856) -0.977833 (1.82460) (0.03035) -1.829376 (0.37276) (1.83496) 6.336032 (22.5363) (0.26938) 1.011663 (3.30843) -0.004733 (0.01183) 0.076034 (0.07925) -0.002057 (0.00242) -0.039911 (0.01619) -0.070881 (0.14608) 1.855695 (0.97884) -0.010546 (0.02145) -0.588128 (0.14370) 0.050207 (0.06871) -0.009527 (0.01404) 0.316934 (0.84869) -0.099507 (0.12459) D(LNGIAVANG ) Ph l c 6: K t qu cl ng mơ hình VECM Vector Error Correction Estimates Date: 11/08/11 Time: 10:53 Sample (adjusted): 60 Included observations: 55 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 CointEq2 LNVNINDEX(-1) 1.000000 0.000000 LNTYGIA(-1) 0.000000 1.000000 LNLAMPHAT(-1) 4.937009 (1.53751) [ 3.21105] -10.20515 (1.92732) [-5.29499] LNLAISUAT(-1) 2.846405 (0.60043) [ 4.74059] 1.922014 (0.75266) [ 2.55361] LNGIAVANG(-1) -2.618354 (0.79032) [-3.31305] 5.997807 (0.99069) [ 6.05417] C 18.84990 -56.03631 Error Correction: D(LNVNINDE X) D(LNTYGIA) -0.076242 (0.04744) [-1.60724] 0.564022 (0.43936) [ 1.28374] CointEq1 Lê Xuân Sang D(LNLAMPHA D(LNLAISUAT D(LNGIAVAN T) ) G) -0.004271 (0.00302) [-1.41207] -0.073123 (0.02074) [-3.52596] 0.017139 (0.01898) [ 0.90325] Trang| 78 PH L C CointEq2 -0.004060 (0.03688) [-0.11009] -1.895946 (0.34162) [-5.54992] -0.003867 (0.00235) [-1.64461] -0.024579 (0.01612) [-1.52427] -0.010681 (0.01475) [-0.72392] D(LNVNINDEX(-1)) 0.374985 (0.17050) [ 2.19938] -0.999850 (1.57914) [-0.63316] 0.008774 (0.01087) [ 0.80720] 0.100769 (0.07454) [ 1.35192] 0.014277 (0.06820) [ 0.20933] D(LNVNINDEX(-2)) -0.032563 (0.18287) [-0.17807] -2.044186 (1.69374) [-1.20690] -0.011237 (0.01166) [-0.96386] 0.047803 (0.07995) [ 0.59793] -0.056788 (0.07315) [-0.77632] D(LNVNINDEX(-3)) -0.188045 (0.18406) [-1.02165] -0.494439 (1.70477) [-0.29003] -0.007060 (0.01173) [-0.60161] -0.017300 (0.08047) [-0.21499] 0.065877 (0.07363) [ 0.89475] D(LNVNINDEX(-4)) 0.067697 (0.16309) [ 0.41509] -0.796440 (1.51054) [-0.52725] -0.005597 (0.01040) [-0.53832] -0.088725 (0.07130) [-1.24440] -0.067839 (0.06524) [-1.03987] D(LNTYGIA(-1)) 0.006390 (0.02927) [ 0.21832] 0.448858 (0.27107) [ 1.65585] 0.003001 (0.00187) [ 1.60827] 0.015172 (0.01280) [ 1.18574] 0.010560 (0.01171) [ 0.90196] D(LNTYGIA(-2)) 0.005655 (0.02586) [ 0.21864] 0.956749 (0.23953) [ 3.99421] 0.002181 (0.00165) [ 1.32295] 0.006156 (0.01131) [ 0.54447] 0.012905 (0.01035) [ 1.24745] D(LNTYGIA(-3)) 0.020553 (0.02652) [ 0.77492] 1.120620 (0.24565) [ 4.56182] 0.002202 (0.00169) [ 1.30213] 0.004599 (0.01160) [ 0.39667] 0.010287 (0.01061) [ 0.96960] D(LNTYGIA(-4)) 0.021105 (0.01815) [ 1.16254] 0.501795 (0.16815) [ 2.98429] 0.000829 (0.00116) [ 0.71619] 0.002238 (0.00794) [ 0.28195] 0.003113 (0.00726) [ 0.42864] D(LNLAMPHAT(-1)) -2.779691 (2.75419) [-1.00926] 1.982173 (25.5094) [ 0.07770] 0.408397 (0.17559) [ 2.32583] 1.747952 (1.20408) [ 1.45169] 1.220268 (1.10171) [ 1.10761] D(LNLAMPHAT(-2)) -0.143490 (3.01569) [-0.04758] -16.19469 (27.9314) [-0.57980] 0.250452 (0.19226) [ 1.30264] 1.413874 (1.31840) [ 1.07241] -0.646000 (1.20632) [-0.53551] D(LNLAMPHAT(-3)) -0.842170 (3.15517) -44.79261 (29.2232) 0.277713 (0.20116) 4.610847 (1.37938) -0.173045 (1.26211) Lê Xuân Sang Trang| 79 PH L C [-0.26692] [-1.53277] [ 1.38058] [ 3.34269] [-0.13711] D(LNLAMPHAT(-4)) 0.559392 (2.81238) [ 0.19890] -43.61083 (26.0483) [-1.67423] -0.201130 (0.17930) [-1.12173] -1.939926 (1.22952) [-1.57779] -2.009175 (1.12499) [-1.78595] D(LNLAISUAT(-1)) 0.413116 (0.34848) [ 1.18548] 3.386246 (3.22763) [ 1.04914] -0.035921 (0.02222) [-1.61680] 0.075553 (0.15235) [ 0.49592] 0.223027 (0.13940) [ 1.59994] D(LNLAISUAT(-2)) 0.625910 (0.35052) [ 1.78565] 6.052379 (3.24655) [ 1.86425] 0.006138 (0.02235) [ 0.27467] -0.173297 (0.15324) [-1.13088] -0.145924 (0.14021) [-1.04073] D(LNLAISUAT(-3)) -0.148396 (0.37931) [-0.39122] 7.134518 (3.51320) [ 2.03077] 0.029141 (0.02418) [ 1.20504] 0.228036 (0.16583) [ 1.37513] 0.034613 (0.15173) [ 0.22812] D(LNLAISUAT(-4)) -0.072860 (0.35699) [-0.20409] 3.877219 (3.30645) [ 1.17262] 0.035916 (0.02276) [ 1.57806] 0.341267 (0.15607) [ 2.18664] -0.038005 (0.14280) [-0.26614] D(LNGIAVANG(-1)) -0.088954 (0.45023) [-0.19757] 9.464643 (4.17004) [ 2.26968] 0.077429 (0.02870) [ 2.69748] 0.391744 (0.19683) [ 1.99024] 0.030944 (0.18010) [ 0.17181] D(LNGIAVANG(-2)) -0.774968 (0.43458) [-1.78324] 5.852773 (4.02513) [ 1.45406] 0.064413 (0.02771) [ 2.32480] 0.246701 (0.18999) [ 1.29848] -0.160813 (0.17384) [-0.92507] D(LNGIAVANG(-3)) -0.396560 (0.43646) [-0.90858] 4.864047 (4.04252) [ 1.20322] 0.026496 (0.02783) [ 0.95218] 0.101930 (0.19081) [ 0.53419] 0.059125 (0.17459) [ 0.33865] D(LNGIAVANG(-4)) -0.332616 (0.41043) [-0.81041] 8.014991 (3.80142) [ 2.10842] -0.003948 (0.02617) [-0.15089] -0.085611 (0.17943) [-0.47712] -0.085391 (0.16418) [-0.52011] C 0.053264 (0.04164) [ 1.27918] 0.167654 (0.38566) [ 0.43472] -0.000676 (0.00265) [-0.25456] -0.056988 (0.01820) [-3.13057] 0.033568 (0.01666) [ 2.01535] 0.498057 0.152971 0.361864 0.106340 0.837538 0.725846 31.04251 0.984926 0.713328 0.516241 0.001471 0.006780 0.729007 0.542699 0.069162 0.046490 0.375854 -0.053246 0.057902 0.042538 R-squared Adj R-squared Sum sq resids S.E equation Lê Xuân Sang Trang| 80 PH L C F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent 1.443285 60.11339 -1.349578 -0.510148 -0.003017 0.115544 7.498620 -62.31228 3.102265 3.941695 0.005061 1.881075 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 1.01E-12 6.74E-14 443.8159 -11.59331 -7.031185 3.619356 211.5127 -6.855007 -6.015577 0.009153 0.009748 3.912913 105.6208 -3.004394 -2.164964 0.008249 0.068748 0.875913 110.5076 -3.182093 -2.342663 0.018051 0.041448 Ph l c 7: k t qu c l ng mơ hình ng n h n (ECM) Dependent Variable: LNVNINDEX Method: Least Squares Date: 12/26/11 Time: 14:41 Sample (adjusted): 58 Included observations: 57 after adjustments Variable Coefficient Std Error t-Statistic Prob C LNVNINDEX(1) LNVNINDEX(2) LNLAISUAT(1) LNLAISUAT(2) LNLAMPHAT(1) LNLAMPHAT(2) LNGIAVANG(1) LNGIAVANG(2) ECT(-1) 3.994684 0.724531 -0.184233 -0.217717 0.171432 0.879795 -1.537168 0.206594 -0.084321 0.480615 0.924706 0.108871 0.087825 0.180984 0.171489 1.214288 1.237328 0.219113 0.214421 0.051238 4.319950 6.654936 -2.097735 -1.202965 0.999665 0.724536 -1.242329 0.942866 -0.393250 9.380029 0.0001 0.0000 0.0413 0.2350 0.3226 0.4723 0.2203 0.3506 0.6959 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.976756 0.972305 0.063479 0.189391 81.76977 2.822916 Lê Xuân Sang Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 6.313867 0.381441 -2.518238 -2.159807 219.4446 0.000000 Trang| 81