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

BỘ GIÁO DỤC VÀ ĐÀO TẠO t to TRƯỜNG ĐẠI HỌC KINH TẾ TP HỒ CHÍ MINH ng hi _ ep w n lo ad y th Nguyễn Thị Thu Thủy ju yi pl n ua al n va fu ll ẢNH HƯỞNG CHÍNH SÁCH TIỀN TỆ ĐẾN oi m at nh THỊ TRƯỜNG BẤT ĐỘNG SẢN TP HỒ CHÍ MINH z z ht vb k jm om l.c gm LUẬN VĂN THẠC SĨ KINH TẾ n a Lu n va y te re TP Hồ Chí Minh – Năm 2019 BỘ GIÁO DỤC VÀ ĐÀO TẠO t to TRƯỜNG ĐẠI HỌC KINH TẾ TP HỒ CHÍ MINH ng hi _ ep w n lo ad Nguyễn Thị Thu Thủy ju y th yi pl al n ua ẢNH HƯỞNG CHÍNH SÁCH TIỀN TỆ ĐẾN n va THỊ TRƯỜNG BẤT ĐỘNG SẢN TP HỒ CHÍ MINH ll fu oi m at nh z Chuyên ngành: Tài – Ngân hàng (Hướng ứng dụng) z ht vb Mã số: 8340201 k jm om l.c gm LUẬN VĂN THẠC SĨ KINH TẾ n a Lu n va Người hướng dẫn khoa học: PGS.TS Nguyễn Thị Liên Hoa y te re TP Hồ Chí Minh – Năm 2019 t to ng hi LỜI CAM ĐOAN ep Sản phẩm đề tài nghiên cứu “Ảnh hưởng sách tiền tệ đến thị trường bất w động sản TP HCM” kết nghiên cứu thân tôi, hướng dẫn n lo PGS.TS Nguyễn Thị Liên Hoa ad y th Số liệu, hình ảnh nội dung phân tích trung thực, thu nhập từ ju nguồn thống, đáng tin cậy Tôi chịu trách nhiệm với nội dung luận văn yi pl Tôi chân thành cám ơn hỗ trợ, hướng dẫn tận tình PGS.TS Nguyễn Thị al n ua Liên Hoa thầy cô giảng viên môn thời gian qua n va TP HCM, tháng 05 năm 2019 ll fu Học viên thực luận văn oi m at nh z z vb k jm ht Nguyễn Thị Thu Thủy om l.c gm n a Lu n va y te re th t to ng hi MỤC LỤC ep TRANG PHỤ BÌA w LỜI CAM ĐOAN n lo ad MỤC LỤC y th DANH MỤC VIẾT TẮT ju yi DANH MỤC BẢNG pl n ll fu TÓM TẮT va DANH MỤC BIỂU ĐỒ n ua al DANH MỤC HÌNH ẢNH oi m ABSTRACT at nh CHƯƠNG GIỚI THIỆU z 1.1 Lý chọn đề tài z ht vb 1.2 Mục tiêu đối tượng nghiên cứu k jm 1.3 Dữ liệu phương pháp nghiên cứu gm 1.4 Cấu trúc nghiên cứu l.c CHƯƠNG TỔNG QUAN CÁC NGHIÊN CỨU TRƯỚC ĐÂY om 2.1 Cơ sở lý thuyết a Lu 2.2 Sơ lược nghiên cứu trước n n va CHƯƠNG PHƯƠNG PHÁP NGHIÊN CỨU 11 th CHƯƠNG KẾT QUẢ VÀ THẢO LUẬN KẾT QUẢ NGHIÊN CỨU 21 y 3.2 Dữ liệu thu thập 13 te re 3.1 Mơ hình phương pháp nghiên cứu 11 t to ng 4.1 Kết nghiên cứu 21 hi ep 4.2 Thảo luận kết nghiên cứu 28 w CHƯƠNG KẾT LUẬN VÀ KIẾN NGHỊ CHÍNH SÁCH 31 n lo 5.1 Kết luận 31 ad ju y th 5.2 Kiến nghị sách 31 TÀI LIỆU THAM KHẢO yi pl PHỤ LỤC n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va y te re th t to ng hi DANH MỤC VIẾT TẮT ep BĐS Ngân hàng Nhà nước NHNN Bất động sản w n Ngân hàng Trung ương lo NHTW ad Ngân hàng Thương mại NHTM y th Thành phố Hồ Chí Minh TP HCM ju yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va y te re th t to ng hi DANH MỤC BẢNG ep Bảng 1: Mô tả biến 21 w n Bảng 2: Kết thống kê mô tả từ Eviews 22 lo ad Bảng 3: Kiểm định nghiệm đơn vị 22 y th Bảng 4: Độ trễ tối ưu cho mơ hình VAR 23 ju yi Bảng 5: Kiểm định nhân Granger 23 pl n ua al Bảng 6: Kiểm định phân rã phương sai 26 n va Bảng 7: Kết mơ hình VAR 26 ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va y te re th t to ng DANH MỤC HÌNH ẢNH hi ep Hình 1: Chính sách tiền tệ mở rộng w n Hình 2: Chính sách tiền tệ thu hẹp lo ad ju y th yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va y te re th t to ng DANH MỤC BIỂU ĐỒ hi ep Biểu đồ 1: Chỉ số giá nhà TP HCM 14 w Biểu đồ 2: Tốc độ tăng trưởng GDP TP HCM 15 n lo ad Biểu đồ 3: Lãi suất cho vay dài hạn bình quân VND 17 y th Biểu đồ 4: Cung tiền M2 18 ju yi Biểu đồ 5: Chỉ số chứng khoán Việt Nam 20 pl n ua al Biểu đồ 6: Hàm phản ứng xung (Impulse Response Function) 24 n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va y te re th t to ng TÓM TẮT hi ep Ảnh hưởng sách tiền tệ đến thị trường bất động sản TP HCM w Bài nghiên cứu dựa mơ hình VAR với kết kiểm định để phân n lo tích ảnh hưởng trực tiếp gián tiếp từ sách tiền tệ đến thị trường bất ad y th động sản TP HCM Kết phân tích cho thấy biến số SPPI đại diện cho thị ju trường bất động sản chịu ảnh hưởng nhiều từ biến động vốn đầu tư yi nước FDI, số giá tiêu dùng CPI tốc độ tăng trưởng GDP Bên cạnh đó, pl ua al yếu tố khác cung tiền M2, dư nợ bất động sản REL, lãi suất cho vay R số n chứng khoán VNI tác động đến số SPPI va n Từ khóa: Thị trường bất động sản, sách tiền tệ ll fu oi m ABSTRACT at nh The impact of monetary policy on the real estate market in Ho Chi Minh City z z vb This paper is based on the VAR model with test results on analyzing the effects jm ht of monetary policy and macroeconomic factors on the real estate market in Ho Chi k Minh City The analytical results show that the SPPI index represents the real estate gm market is most affected by foreign direct investment FDI, consumer price index CPI om l.c 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 n n va Keywords: Real estate market, monetary policy a Lu SPPI index y te re th t to ng hi ep w n lo 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.* 0.6448 Std Error 0.064853 6.603189 t-Statistic -1.245477 1.222031 ad -1.245477 -3.610453 -2.938987 -2.607932 ju y th 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 yi pl n ua Coefficient -0.080773 8.069301 va ll fu -0.051282 6.569982 6.638418 6.723729 6.669027 1.669155 oi m Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat at z z Prob.* vb -1.287099 -3.610453 -2.938987 -2.607932 gm om Prob 0.2061 0.115 n va t-Statistic -1.287099 1.613942 n Std Error 0.065931 40.25199 a Lu 0.042855 0.016986 77.63712 223018.4 -224.0418 1.656623 0.206054 l.c R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) k jm 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 Coefficient -0.08486 64.96436 0.6259 ht 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 Variable VNI(-1) C Prob 0.2208 0.2294 nh 0.040238 0.014298 6.522844 1574.257 -127.4492 1.551214 0.220786 n R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) al Variable SPPI(-1) C y th 15.68897 78.30502 11.59189 11.6772 11.6225 1.962137 te re Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat t to ng PHỤ LỤC 04: Kết kiểm định nghiệm đơn vị cho biến (sai phân bậc 1) hi ep Null Hypothesis: D(CPI) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) w n lo ad t-Statistic -7.832967 -3.615588 -2.941145 -2.609066 Prob.* Std Error 0.152091 0.004728 t-Statistic -7.832967 -0.184337 y th Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values ju 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 yi pl n ua al Coefficient -1.191322 -0.000872 Prob 0.8548 n va Variable D(CPI(-1)) C 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 0.002097 0.047124 -4.188322 -4.102133 -4.157657 2.086595 ll fu oi m at nh R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) z gm Prob y te re th 7.591004 653.9064 14.4018 14.53241 14.44785 2.201863 n 0.0112 0.9188 va Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat t-Statistic -7.827021 2.683647 -0.102736 n Std Error 0.266521 0.154561 51.31442 a Lu 0.784925 0.772274 312.0485 3310726 -263.4333 62.04227 om R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) l.c Coefficient -2.086063 0.414788 -5.271861 k 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 Prob.* jm t-Statistic -7.827021 -3.621023 -2.943427 -2.610263 ht vb Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values z Null Hypothesis: D(FDI) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) t to ng hi Null Hypothesis: D(M2) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) ep Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values w n lo ad t-Statistic -5.962499 -3.615588 -2.941145 -2.609066 Prob.* Std Error 0.172975 43683.5 t-Statistic -5.962499 4.496328 ju y th 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 yi pl Coefficient -1.031365 196415.4 va 0.496865 0.482889 186427.6 1.25E+12 -514.0527 35.5514 0.000001 n Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat oi m at z z Prob.* 0.0071 k jm gm om l.c Prob 0.0006 0.93 n va t-Statistic -3.74867 0.088462 n Std Error 0.149713 0.001505 a Lu Coefficient -0.561226 0.000133 ht vb t-Statistic -3.74867 -3.615588 -2.941145 -2.609066 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 0.0001 nh 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 Prob 8465.432 259249.8 27.16067 27.24686 27.19133 1.925326 ll fu R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) n ua al Variable D(M2(-1)) C 3.42E-05 0.010791 -6.471155 -6.384966 -6.44049 1.884429 th Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat y 0.280756 0.260777 0.009278 0.003099 124.9519 14.05253 0.000623 te re R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) t to ng hi Null Hypothesis: D(GDP) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) ep 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.* w n lo ad ju y th 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 yi pl Coefficient Std Error -2.526201 1.036537 0.613751 0.524752 0.675248 0.638458 0.453514 -0.001369 ua al n va ll fu Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.0003 0.0039 0.0065 0.0001 0 0.1479 -5.94E-05 0.016276 -7.552847 -7.186413 -7.431385 1.99036 at nh z z k jm ht vb 0.927408 0.906235 0.004984 0.000596 128.8456 43.80198 t-Statistic Prob -8.429619 4.257054 3.191484 2.980498 4.648982 5.441867 6.168496 -1.495107 oi m R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.299682 0.243487 0.192309 0.176062 0.145246 0.117323 0.073521 0.000916 n 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 om l.c gm n a Lu n va y te re th t to ng hi Null Hypothesis: D(REL) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) ep Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values w n lo ad 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 ju y th 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 yi pl Coefficient -0.731984 4925.349 va 0.228833 0.207412 33863.24 4.13E+10 -449.2356 10.68249 0.002383 n Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat oi m at nh z z Null Hypothesis: D(SPPI) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) t-Statistic -5.256294 -3.615588 -2.941145 -2.609066 gm om Prob 0.95 n va t-Statistic -5.256294 -0.063179 n Std Error 0.165218 1.085182 a Lu 0.434217 0.418501 6.689026 1610.75 -125.1102 27.62863 0.000007 l.c R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) k Coefficient -0.868434 -0.068561 Prob.* 0.0001 jm 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 ht vb Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values Prob 0.0024 0.4282 -4081.895 38036.86 23.74924 23.83543 23.77991 1.581737 ll fu R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) n ua al Variable D(REL(-1)) C y th 8.771791 6.69001 6.776198 6.720675 2.075181 te re Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat t to ng hi Null Hypothesis: D(VNI) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=9) ep Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values w n lo ad t-Statistic -6.860487 -3.615588 -2.941145 -2.609066 Prob.* Std Error 0.163975 12.67585 t-Statistic -6.860487 1.113331 ju y th 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 yi pl Coefficient -1.124952 14.11242 va 0.566611 0.554573 75.64365 205990.6 -217.2817 47.06629 n 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 ll fu oi m at nh R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) n ua al Variable D(VNI(-1)) C PHỤ LỤC 05: Kết VAR Lag Order Selection Criteria (Độ trễ tối ưu) z k HQ 73.26579 64.33741 64.96146 62.56972* n a Lu n va y te re th * 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 SC 73.49131 66.36702* 68.79517 68.20753 om AIC 73.143 63.23227 62.87396 59.49986* l.c gm NA 374.3654* 76.35537 82.00262 FPE 8.05E+21 4.33E+17 5.06E+17 9.80e+16* jm LR ht LogL -1345.145 -1097.797 -1027.168 -900.7475 vb Lag z 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 t to ng PHỤ LỤC 06: Kiểm định nhân Granger hi ep w Pairwise Granger Causality Tests Date: 04/04/19 Time: 09:40 Sample: 2009Q1 2018Q4 Lags: n lo ad y th ju Null Hypothesis: F-Statistic Prob 37 1.20358 0.51469 0.3253 0.6753 37 0.62697 1.41031 0.6032 0.2591 37 0.70394 0.50292 0.5572 0.6832 2.94545 0.68479 0.0488 0.5684 yi Obs pl n ua al FDI does not Granger Cause CPI CPI does not Granger Cause FDI va n GDP does not Granger Cause CPI CPI does not Granger Cause GDP ll fu oi m at nh M2 does not Granger Cause CPI CPI does not Granger Cause M2 z z 37 k jm ht vb R does not Granger Cause CPI CPI does not Granger Cause R om l.c gm n a Lu n va y te re th t to ng Null Hypothesis: 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 37 0.53143 0.52225 0.6642 0.6703 37 0.19542 1.39963 0.8987 0.2621 37 0.34131 1.97021 0.7956 0.1397 37 0.67443 0.19145 0.5745 0.9014 0.28554 0.14015 0.8354 0.9352 hi Obs ep w n lo ad y th ju VNI does not Granger Cause CPI CPI does not Granger Cause VNI yi pl n ua al GDP does not Granger Cause FDI FDI does not Granger Cause GDP va n M2 does not Granger Cause FDI FDI does not Granger Cause M2 ll fu oi m at 37 z z REL does not Granger Cause FDI FDI does not Granger Cause REL nh R does not Granger Cause FDI FDI does not Granger Cause R ht vb 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 M2 does not Granger Cause GDP GDP does not Granger Cause M2 37 1.39885 0.36745 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 k jm SPPI does not Granger Cause FDI FDI does not Granger Cause SPPI om l.c gm 0.9505 0.1359 n a Lu 0.2624 0.7770 n va y te re th t to ng Null Hypothesis: 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 37 0.63575 4.28699 0.5978 0.0124 37 0.33523 0.43982 0.7999 0.7262 37 2.80716 5.28537 0.0565 0.0048 37 3.21794 1.65499 0.0367 0.1977 9.00861 0.47746 0.0002 0.7004 hi Obs ep w n lo ad y th ju REL does not Granger Cause M2 M2 does not Granger Cause REL yi pl n ua al SPPI does not Granger Cause M2 M2 does not Granger Cause SPPI va n VNI does not Granger Cause M2 M2 does not Granger Cause VNI ll fu oi m at 37 z z SPPI does not Granger Cause R R does not Granger Cause SPPI nh REL does not Granger Cause R R does not Granger Cause REL ht vb 37 1.20628 1.12936 SPPI does not Granger Cause REL REL does not Granger Cause SPPI 37 1.88097 0.86473 VNI does not Granger Cause REL REL does not Granger Cause VNI 37 2.80373 3.33344 VNI does not Granger Cause SPPI SPPI does not Granger Cause VNI 37 0.55991 0.76827 0.3244 0.3529 k jm VNI does not Granger Cause R R does not Granger Cause VNI om l.c gm 0.1541 0.4701 n a Lu 0.0567 0.0325 n va 0.6456 0.5208 y te re th t to ng PHỤ LỤC 07: Kiểm định phân rã phương sai hi ep w 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 n lo ad ju y th yi pl FDI 7.39732 4.95384 4.60457 4.34174 4.78646 5.02311 5.95908 6.41199 6.84052 6.74023 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 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 al GDP 1.47921 3.32697 4.45701 5.96683 7.28531 6.70050 6.13445 6.07841 6.19784 6.23544 ua n n va fu oi m nh at z FDI 0.00000 0.03560 1.36027 5.18005 4.20652 5.45302 7.46030 6.48154 6.50182 6.86490 ll 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 z 0.417055 3.050109 8.823643 7.852347 6.934704 5.810048 5.671934 4.853294 5.165294 1.60519 3.84527 2.896369 2.556898 6.394222 5.419205 4.81304 5.270495 5.532307 n 1.120534 1.07018 0.915646 4.968641 3.644748 3.053597 2.838743 3.400548 3.296113 a Lu 0.095938 0.24751 5.65332 5.123369 6.325775 6.293694 5.572427 4.754092 4.781014 VNI om 48.2902 43.35387 34.37124 35.36239 31.15024 36.64438 31.02404 27.37385 27.85156 SPPI l.c 0.215522 3.388658 2.75907 4.957059 3.636685 3.07272 4.110629 3.878763 3.676945 REL gm 45.85466 21.87268 19.68272 19.64077 17.29145 18.24428 19.83932 18.01472 15.39691 15.42649 R k 54.14534 26.38288 25.36168 24.93994 21.88785 23.66934 19.86704 27.95447 35.07205 34.27028 M2 jm 228.3137 333.618 352.2453 420.5243 449.9005 525.3036 574.9324 630.199 682.2879 700.9462 GDP ht 10 FDI vb Variance Decomposition of FDI: Period S.E CPI n va y te re th t to ng hi Variance Decomposition of GDP: CPI S.E Period ep w n lo ad 0.009319 0.012095 0.01302 0.013764 0.015514 0.016567 0.01751 0.019477 0.020195 0.021148 ju y th 4.416824 5.834015 5.584991 7.398487 7.112061 6.962764 6.292471 6.659215 8.323906 11.95599 yi 10 17.06259 10.25385 11.41161 10.63361 8.406676 9.96373 10.02359 14.18508 14.55285 13.64665 27.02905 25.35714 25.15374 28.79104 29.29602 30.2897 29.94888 27.97672 25.9174 78.52059 46.71857 40.63363 36.59578 34.57249 31.6206 31.86259 26.19108 26.49166 24.50714 REL R M2 GDP FDI 0.137361 1.090268 4.383304 5.660703 6.244559 6.025627 6.424362 5.986898 5.545867 3.932404 5.561699 6.359012 5.511042 6.303347 5.680515 4.626143 5.165849 6.67977 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 pl 27.09534 18.07856 11.98233 8.780738 7.346451 7.190654 7.086878 7.299914 7.454427 10.06658 R ll oi m nh 65.24878 48.01812 50.14085 48.12122 47.8369 46.17548 45.38355 44.59149 42.2086 40.5125 at 1.814889 18.04624 19.81937 17.12811 14.01817 14.9289 14.9466 14.64571 16.06587 15.07848 M2 fu 5.840992 5.965868 9.868361 19.41 24.35756 25.90453 26.03576 26.50194 25.03263 24.95181 n 160917.3 230085.2 287206.1 335769 409584.6 443669.6 447856.1 459827.2 473130 489167.2 GDP va 10 FDI n ua al Variance Decomposition of M2: Period S.E CPI REL 3.574258 2.618523 1.941845 1.695301 1.446288 1.649389 1.623039 2.499579 2.396399 0.852286 0.697649 0.764568 1.968219 1.913522 2.232178 2.129171 2.428306 2.27272 SPPI VNI 0.965931 1.500907 1.384447 1.114838 0.969729 1.21579 1.830023 2.487091 2.358587 4.498741 3.372013 2.469074 1.66256 1.470899 1.44985 1.378713 1.823499 2.36293 z z FDI GDP M2 vb Variance Decomposition of R: Period S.E CPI R REL SPPI VNI 80.74099 73.51795 38.25384 25.31381 19.31754 14.47118 12.66918 11.98351 11.51733 10.98283 2.538616 6.470785 8.514192 7.070948 6.202088 5.730493 5.787477 5.696592 5.450258 0.373622 0.475856 5.719736 11.90743 13.15575 13.45783 13.77836 13.07322 12.48695 1.241722 16.09439 16.15871 12.53569 10.69945 9.314669 8.773519 8.999288 8.842942 n a Lu 1.67329 2.469286 5.825008 11.85134 13.52535 11.13493 9.876218 9.9246 10.2836 11.49412 om 16.44246 12.91582 8.927305 5.88745 5.550377 6.611025 6.851946 6.442109 6.278352 6.020997 l.c 0.924136 0.705328 0.981982 1.224854 2.339692 2.501824 2.382657 2.247351 2.756437 3.487046 gm 0.219124 6.237661 22.97083 25.32991 27.75298 35.22376 39.71701 41.06307 41.39518 41.23486 k 0.006214 0.00863 0.012789 0.017747 0.022022 0.025483 0.027381 0.028239 0.029002 0.029704 jm ht 10 n va y te re th t to ng hi Variance Decomposition of REL: CPI S.E Period ep w n 10 lo ad 26268.92 33413.14 37422.98 47933.09 58161.36 67043.95 73205.24 77133.18 78275.91 87004.48 ju y th yi 39.37784 33.2175 32.34172 31.39413 21.55916 21.76083 28.44169 33.8378 33.19621 29.95715 13.03357 12.207 11.79418 7.959632 14.11722 17.00828 14.67001 13.29789 13.10528 13.21638 15.73627 29.84103 24.05178 23.79098 27.60659 31.8151 30.62167 28.17434 28.51786 33.41887 0.426772 0.404917 3.605109 14.22146 13.87613 10.60208 9.365073 8.437299 8.29007 6.771717 REL R M2 GDP FDI 5.097901 4.667229 6.69732 4.117566 3.788337 3.10361 2.634215 2.393036 2.758213 3.768969 26.32765 17.64701 14.23643 9.066558 6.267895 4.743071 4.330639 4.466987 4.774159 4.710906 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 pl 0.452341 0.694177 3.279162 2.526896 2.672652 2.816878 2.828292 2.287619 2.491197 2.364082 R ll oi m nh 38.99221 20.4056 27.43439 22.8711 20.88539 24.77412 36.73821 38.67155 33.82443 31.28998 at 2.56807 14.01962 9.224757 7.75718 8.535327 8.650297 11.50608 16.09139 16.45818 14.60525 M2 fu 0.830558 30.06487 40.40384 48.92996 50.61202 45.80081 34.9338 29.63165 35.71278 39.90217 n 49.79848 74.17632 103.1938 117.9064 125.537 132.3004 153.0837 172.9912 194.6675 206.7293 GDP va 10 FDI n ua al Variance Decomposition of VNI: Period S.E CPI REL 5.916488 3.620823 1.977791 2.397613 2.125215 2.201505 1.838419 2.426364 2.707733 2.436081 0.994407 1.792688 1.867604 3.058384 2.775634 3.744656 2.825648 2.282635 1.817467 1.736106 SPPI VNI 1.984977 1.079117 1.17716 1.072545 1.551902 1.744541 1.38005 1.326411 1.19728 1.323097 48.26095 28.32311 14.63529 11.38633 10.84186 10.26719 7.949504 7.282385 5.790931 6.343242 z z Cholesky Ordering: CPI FDI GDP M2 R REL SPPI VNI vb k jm ht PHỤ LỤC 07: Ước lượng mơ hình VAR GDP M2 R REL om FDI l.c CPI gm 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 [ ] SPPI VNI a Lu 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] n CPI(-1) n va y te re th t to ng CPI FDI GDP M2 R REL SPPI VNI hi ep 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(-1) w n lo ad y th FDI(-3) ju -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] yi pl -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] n ua al GDP(-1) n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va y te re th t to ng CPI FDI GDP M2 R REL SPPI VNI hi ep -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(-1) w n lo ad y th REL(-3) ju -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] yi pl 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] n ua al SPPI(-1) n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu 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 th 0.998026 0.994077 3.11E+11 160917.3 252.7585 -475.2494 27.04051 28.12897 5041457 2090928 y 0.82377 0.471311 0.001042 0.009319 2.337207 141.3332 -6.288279 -5.199821 0.085905 0.012816 te re 0.738486 0.215459 625526 228.3137 1.411945 -232.6062 13.92466 15.01312 139.1307 257.7651 n 0.900879 0.702636 0.009321 0.02787 4.544319 100.7982 -4.097198 -3.00874 0.052186 0.051108 va R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent t to ng hi ep 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 w n lo ad ju y th yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm n a Lu n va y te re th