(Luận văn) the causal relationship between money supply, inflation and economic growth in vietnam

UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAM INSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDS t to ng hi ep VIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS n w lo ad ju y th yi pl ua al THE CAUSAL RELATIONSHIP BETWEEN n MONEY SUPPLY, INFLATION AND ECONOMIC va n GROWTH IN VIETNAM ll fu oi m at nh z z k m gm NGUYỄN TRỌNG TÍN j ht vb BY m co l an Lu MASTER OF ARTS IN DEVELOPMENT ECONOMICS n va y te re HO CHI MINH CITY, DECEMBER 2013 UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAM INSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDS t to ng hi ep VIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS n w lo ad ju y th yi THE CAUSAL RELATIONSHIP BETWEEN pl ua al MONEY SUPPLY, INFLATION AND ECONOMIC n GROWTH IN VIETNAM n va ll fu oi m A thesis submitted in partial fulfillment of the requirements for the degree of nh at MASTER OF ART IN DEVELOPMENT ECONOMICS z z j ht vb gm m co l NGUYỄN TRỌNG TÍN k m By n va Assoc Prof Dr NGUYỄN VĂN NGÃI an Lu Academic Supervisor: y te re HO CHI MINH CITY, DECEMBER 2013 Declaration t to ng hi “This thesis is submitted in partial fulfillment of the requirements for the ep degree of Master of Art in Development Economic to Vietnam - The n w Netherlands Programme lo ad I certify that the thesis has not already been submitted for any degree y th ju To the best of my knowledge, the thesis comprises only my original work yi All sources used have been cited and acknowledged in the thesis.” pl n ua al n va ll fu Nguyễn Trọng Tín oi m at nh z z j ht vb k m gm m co l an Lu n va y te re i Acknowledgement t to ng I would like to express my deep gratitude to my academic supervisor, hi ep Assoc Prof Dr Nguyễn Văn Ngãi for his advices and helpful comments in this thesis n w My dearest thanks to Assoc Prof Dr Nguyễn Trọng Hoài and Dr Phạm lo ad Khánh Nam, who gave me many profound comments when this thesis was just y th in form of ideas My special thanks to Dr Nguyễn Hoàng Bảo and Dr Phùng ju Thanh Bình, I would not complete this thesis without their support in term of yi pl econometric techniques al n ua I would like to thank to all lecturers and staffs at the Vietnam – ll fu studied at the program n va Netherlands Programme for their knowledge and patience during the period I oi m Finally, I would like to thank to my family, close friends, colleagues for at nh their love and everything they gave me in life z z j ht vb k m gm m co l an Lu n va y te re ii List of Abbreviations t to ng hi ep n w ADF Augmented Dickey-Fuller AIC Akaike’s Information Criterion AS-AD Aggregate Demand – Aggregate Supply model lo ad CPI Consumer Price Index y th Error Correction Term ju ECT yi pl GDP Gross Domestic Product ua al General Statistic Office HQ Hannan-Quinn information criterion IFS International Finance Statistic LR Likelihood ratio test M2 Broad money PP Phillips and Perron SIC Schwarz’s Information Criterion VECM Vector Error Correction Model n GSO n va ll fu oi m at nh z z j ht vb k m gm m co l an Lu n va y te re iii (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam Abstract t to ng This study analyzes the causal relationships between money supply, hi ep inflation and economic growth in Vietnam in the period of 1999Q2 – 2012Q3 Quarterly macroeconomic data were collected from IFS and GSO The thesis w n employs the Granger test in the Vector Error Correction Model (VECM) lo ad environment to find the Granger causal nexus of three variables for both in short ju y th run and long run yi There is one cointegration was found from Johansen’s test for co- pl integration The results show that there is a bidirectional relationship between al n ua economic growth and inflation for both in the short run and long run, and there n va are two unidirectional causalities from money supply to growth and inflation oi m short run ll fu However, there is no evidence for the effectiveness of monetary policy in the at nh z Keywords: Johansen cointegration test, Granger causality, VECM, z j ht vb money supply, inflation, economic growth k m gm m co l an Lu n va y te re iv (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam TABLE OF CONTENTS t to ng Declaration i hi ep Acknowledgement ii n w List of abbreviations iii lo ad Abstract iv y th ju Table of contents v yi pl List of tables viii ua al List of figures ix n va n CHAPTER 1: INTRODUCTION ll fu oi m 1.1 Problem statement nh 1.2 Research objectives .4 at z z 1.3 Research questions vb j ht 1.4 Scope of the study and methodology .5 m k 1.5 Organization of the thesis gm l CHAPTER 2: LITERATURE REVIEW m co 2.1 Theoretical literature an Lu 2.1.1 Theories about the Inflation – Economic growth relationship y v te re 11 n 2.1.3 Theories about the Money supply – Economic growth relationship va 2.1.2 Theories about the Inflation – Money supply relationship .9 (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam Appendix 3: Vector Error Correction Estimates t to Vector Error Correction Estimates Date: 11/27/13 Time: 12:15 Sample (adjusted): 54 Included observations: 49 after adjustments Standard errors in ( ) & t-statistics in [ ] ng hi ep Cointegrating Eq: CointEq1 n w 1.000000 lo LNCPI(-1) ad LNM2(-1) ju y th -0.431159 (0.03537) [-12.1891] yi -7.056420 (7.35880) [-0.95891] pl GROWTH(-1) n ua al 1.458701 Error Correction: D(LNCPI) CointEq1 -0.069841 (0.01972) [-3.54162] -0.024474 (0.04380) [-0.55879] D(LNCPI(-1)) 0.550027 (0.16871) [ 3.26020] 0.081486 (0.37470) [ 0.21747] z D(LNCPI(-2)) -0.060593 (0.19866) [-0.30501] -0.682706 (0.44121) [-1.54734] -0.051458 (0.11839) [-0.43464] D(LNCPI(-3)) -0.203900 (0.19263) [-1.05851] 0.781259 (0.42782) [ 1.82613] -0.130241 (0.11480) [-1.13450] D(LNCPI(-4)) 0.050090 (0.13816) [ 0.36257] -0.321450 (0.30684) [-1.04762] 0.083226 (0.08234) [ 1.01080] D(LNM2(-1)) -0.131542 (0.08290) [-1.58679] 0.759739 (0.18411) [ 4.12646] -0.060792 (0.04940) [-1.23050] D(LNM2(-2)) 0.180141 -0.733170 -0.034805 n va C D(GROWTH) ll fu D(LNM2) oi m at nh -0.024740 (0.01175) [-2.10508] z j ht vb k m gm m co l an Lu n va y te re 61 -0.187057 (0.10055) [-1.86042] (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam (0.20679) [-3.54546] (0.05549) [-0.62723] D(LNM2(-3)) -0.027470 (0.05872) [-0.46784] 0.325212 (0.13041) [ 2.49384] -0.003418 (0.03499) [-0.09767] D(LNM2(-4)) 0.100593 (0.05098) [ 1.97302] -0.055591 (0.11323) [-0.49093] 0.022821 (0.03038) [ 0.75105] D(GROWTH(-1)) -0.643154 (0.32302) [-1.99108] -0.169388 (0.71741) [-0.23611] -1.473605 (0.19251) [-7.65476] -0.483212 (0.29992) [-1.61115] -0.142992 (0.66611) [-0.21467] -1.449226 (0.17874) [-8.10796] -0.138134 (0.63404) [-0.21786] -1.430917 (0.17014) [-8.41037] -0.042562 (0.61019) [-0.06975] -0.363777 (0.16374) [-2.22172] 0.012176 (0.00506) [ 2.40425] t to (0.09311) [ 1.93474] ng hi ep n w lo ad y th D(GROWTH(-2)) ju yi pl -0.343503 (0.28548) [-1.20325] n ua al D(GROWTH(-3)) va -0.275048 (0.27474) [-1.00112] C 0.008656 (0.00850) [ 1.01863] 0.045145 (0.01887) [ 2.39205] 0.806970 0.735272 0.004160 0.010902 11.25527 160.1388 -5.964850 -5.424329 0.020152 0.021188 0.550742 0.383874 0.020518 0.024212 3.300476 121.0395 -4.368961 -3.828441 0.059769 0.030846 n D(GROWTH(-4)) ll fu oi m at nh z 0.999863 0.999812 0.001477 0.006497 19663.14 185.4996 -6.999985 -6.459465 -0.007223 0.474157 j ht vb k m gm m co l an Lu n va y te re Determinant resid covariance (dof adj.) 2.05E-12 Determinant resid covariance 7.46E-13 Log likelihood 475.5507 Akaike information criterion -17.57350 Schwarz criterion -15.83611 z R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent 62 (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam Appendix 4: Inflation equation in VECM model t to ng hi ep Dependent Variable: D(LNCPI) Method: Least Squares Date: 11/27/13 Time: 12:23 Sample (adjusted): 54 Included observations: 49 after adjustments D(LNCPI) = C(1)*( LNCPI(-1) - 0.431158887994*LNM2(-1) 7.05642021657*GROWTH(-1) + 1.45870102328 ) + C(2)*D(LNCPI(-1)) + C(3)*D(LNCPI(-2)) + C(4)*D(LNCPI(-3)) + C(5)*D(LNCPI(-4)) + C(6) *D(LNM2(-1)) + C(7)*D(LNM2(-2)) + C(8)*D(LNM2(-3)) + C(9)*D(LNM2( -4)) + C(10)*D(GROWTH(-1)) + C(11)*D(GROWTH(-2)) + C(12) *D(GROWTH(-3)) + C(13)*D(GROWTH(-4)) + C(14) n w lo ad ju y th Prob yi Coefficient Std Error t-Statistic pl n ua n va ll at z z j ht vb k 0.020152 0.021188 -5.964850 -5.424329 -5.759777 1.637705 gm m co l an Lu Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.0011 0.0025 0.7622 0.2971 0.7191 0.1216 0.0611 0.6428 0.0564 0.0543 0.1161 0.2370 0.3236 0.3154 m -3.541622 3.260200 -0.305010 -1.058513 0.362565 -1.586791 1.934745 -0.467842 1.973022 -1.991080 -1.611153 -1.203246 -1.001118 1.018625 oi m 0.806970 0.735272 0.010902 0.004160 160.1388 11.25527 0.000000 fu R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.019720 0.168710 0.198658 0.192629 0.138155 0.082898 0.093109 0.058716 0.050984 0.323018 0.299917 0.285480 0.274741 0.008498 nh -0.069841 0.550027 -0.060593 -0.203900 0.050090 -0.131542 0.180141 -0.027470 0.100593 -0.643154 -0.483212 -0.343503 -0.275048 0.008656 al C(1) C(2) C(3) C(4) C(5) C(6) C(7) C(8) C(9) C(10) C(11) C(12) C(13) C(14) n va y te re 63 (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam Appendix 5: Money supply equation in VECM model t to ng hi ep Dependent Variable: D(LNM2) Method: Least Squares Date: 11/27/13 Time: 12:24 Sample (adjusted): 54 Included observations: 49 after adjustments D(LNM2) = C(15)*( LNCPI(-1) - 0.431158887994*LNM2(-1) 7.05642021657*GROWTH(-1) + 1.45870102328 ) + C(16)*D(LNCPI( -1)) + C(17)*D(LNCPI(-2)) + C(18)*D(LNCPI(-3)) + C(19)*D(LNCPI(-4)) + C(20)*D(LNM2(-1)) + C(21)*D(LNM2(-2)) + C(22)*D(LNM2(-3)) + C(23)*D(LNM2(-4)) + C(24)*D(GROWTH(-1)) + C(25)*D(GROWTH(-2)) + C(26)*D(GROWTH(-3)) + C(27)*D(GROWTH(-4)) + C(28) n w lo ad ju y th 0.5799 0.8291 0.1308 0.0764 0.3020 0.0002 0.0011 0.0175 0.6265 0.8147 0.8313 0.8288 0.9448 0.0223 pl Prob al yi Coefficient Std Error t-Statistic n n va 0.043797 0.374699 0.441214 0.427823 0.306838 0.184114 0.206792 0.130406 0.113235 0.717413 0.666107 0.634043 0.610191 0.018873 ll fu oi m nh -0.558793 0.217472 -1.547337 1.826128 -1.047621 4.126455 -3.545455 2.493844 -0.490933 -0.236109 -0.214668 -0.217862 -0.069752 2.392045 at z z j ht vb k m -0.024474 0.081486 -0.682706 0.781259 -0.321450 0.759739 -0.733170 0.325212 -0.055591 -0.169388 -0.142992 -0.138134 -0.042562 0.045145 ua C(15) C(16) C(17) C(18) C(19) C(20) C(21) C(22) C(23) C(24) C(25) C(26) C(27) C(28) 0.059769 0.030846 -4.368961 -3.828441 -4.163888 1.928925 m co an Lu Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat l 0.550742 0.383874 0.024212 0.020518 121.0395 3.300476 0.002420 gm R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) n va y te re 64 (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam Appendix 6: Growth equation in VECM model t to ng hi Dependent Variable: D(GROWTH) Method: Least Squares Date: 11/27/13 Time: 12:25 Sample (adjusted): 54 Included observations: 49 after adjustments D(GROWTH) = C(29)*( LNCPI(-1) - 0.431158887994*LNM2(-1) 7.05642021657*GROWTH(-1) + 1.45870102328 ) + C(30)*D(LNCPI( -1)) + C(31)*D(LNCPI(-2)) + C(32)*D(LNCPI(-3)) + C(33)*D(LNCPI(-4)) + C(34)*D(LNM2(-1)) + C(35)*D(LNM2(-2)) + C(36)*D(LNM2(-3)) + C(37)*D(LNM2(-4)) + C(38)*D(GROWTH(-1)) + C(39)*D(GROWTH(-2)) + C(40)*D(GROWTH(-3)) + C(41)*D(GROWTH(-4)) + C(42) ep n w lo ad ju y th Prob yi Coefficient Std Error t-Statistic n ua n va ll fu at nh z z 0.0425 0.0712 0.6665 0.2643 0.3190 0.2267 0.5346 0.9228 0.4576 0.0000 0.0000 0.0000 0.0329 0.0216 j ht k -0.007223 0.474157 -6.999985 -6.459465 -6.794913 2.087720 gm m co l an Lu Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat vb 0.999863 0.999812 0.006497 0.001477 185.4996 19663.14 0.000000 -2.105076 -1.860422 -0.434638 -1.134498 1.010803 -1.230499 -0.627235 -0.097667 0.751052 -7.654762 -8.107965 -8.410373 -2.221716 2.404254 m 0.011752 0.100546 0.118394 0.114801 0.082336 0.049405 0.055490 0.034993 0.030385 0.192508 0.178741 0.170137 0.163737 0.005064 oi m -0.024740 -0.187057 -0.051458 -0.130241 0.083226 -0.060792 -0.034805 -0.003418 0.022821 -1.473605 -1.449226 -1.430917 -0.363777 0.012176 al R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) pl C(29) C(30) C(31) C(32) C(33) C(34) C(35) C(36) C(37) C(38) C(39) C(40) C(41) C(42) n va y te re 65 (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam Appendix 7: VEC Granger Causality/Block Exogeneity Wald Tests t to ng VEC Granger Causality/Block Exogeneity Wald Tests hi Date: 11/26/13 Time: 20:56 Sample: 54 Included observations: 49 ep n w lo Dependent variable: D(GROWTH) ad Chi-sq df Prob 19.85389 1.621918 4 0.0005 0.8048 23.88853 0.0024 df Prob ju y th Excluded yi D(LNCPI) D(LNM2) pl n ua al All va Dependent variable: D(LNCPI) n D(GROWTH) D(LNM2) 30.82912 7.718190 All 40.89568 ll Chi-sq oi m fu Excluded 0.0000 0.1025 at nh 4 0.0000 z z vb j ht Dependent variable: D(LNM2) Chi-sq df Prob D(GROWTH) D(LNCPI) 7.122175 5.221820 4 0.1296 0.2653 All 18.49413 0.0178 k m Excluded gm m co l an Lu n va y te re 66 (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam Appendix 8: Impulse response to Cholesky t to Response of LNCPI: LNCPI GROWTH ng Period hi ep n w lo ad 0.010902 0.017596 0.017668 0.012406 0.004776 -0.001450 -0.004707 -0.005495 ju y th 0.000000 -0.000776 -9.50E-05 0.000505 0.001044 0.001795 0.002794 0.003716 0.000000 -0.002174 -0.000224 0.004729 0.010016 0.012875 0.012943 0.011513 yi Response of GROWTH: LNCPI GROWTH pl Period al n n va LNM2 0.000000 -0.001074 -0.000563 -0.000203 0.000342 -0.002290 -0.001693 -0.000515 ll fu 0.006125 -0.001760 0.000929 -0.000293 0.006436 -0.001947 0.000857 -0.000472 oi m at nh -0.002167 -0.001101 -0.001302 -0.001506 -0.001570 -5.70E-05 -4.80E-05 -0.000648 ua LNM2 Response of LNM2: LNCPI GROWTH z 0.021430 0.037937 0.035039 0.029692 0.029483 0.030611 0.029819 0.029102 k m m co l an Lu Cholesky Ordering: LNCPI GROWTH LNM2 gm -0.001432 -0.002514 -0.002202 -0.001086 -0.001185 -0.001428 -0.001136 -0.001118 j ht -0.011178 -0.019175 -0.024645 -0.023358 -0.019902 -0.019256 -0.020395 -0.021277 LNM2 vb z Period n va y te re 67 (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam (Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam(Luận.văn).the.causal.relationship.between.money.supply inflation.and.economic.growth.in.vietnam