Ảnh hưởng của giá vàng và giá dầu đến tỷ giá hối đoái của Việt Nam ( Chuyên đề tốt nghiệp TP.HCM Trường Đại Học Kinh Tế )

L Tôi t t nghi p “ ng c a giá vàng giá d u n t giá h t Nam” cơng trình nghiên c u c a riêng T t c s li u nghiên c c s d ng m t cách trung tr c công khai K t qu nghiên c u không b sai l ch c công b b t kì cơng trình nghiên c ây Tơi xin ch u hoàn toàn trách nhi m v nghiên c u Sinh viên th c hi n: Ph m Nguy n Công Trung i SVTH: Ph m Nguy n Công Trung L IC L u tiên, xin g i l i chúc s c kho l i chào trân tr ng nh t t i t t c th y cô b n bè i h c Kinh t Thành ph H cho em kho ng th i gian h c t p làm vi t lúc c vào c i h c cho n t t nghi p c k t qu Thành Hi m t cách t t nh t xin g i l i c ng d n em có th hồn t t t nghi p Tôi xin trân tr ng g i l i c n Th.S Nguy n Xuân Lâm, ng th y ch nhi m su n chuyên ngành c a em n ng d n cách th c th c hi n c t t nghi p cho c l p Kinh T H c khoá 35 nh ng l i khun th t s b ích Tơi c bi t c t quan tâm nhi t t nghi p anh Nguy n c Vi n nghiên c u kinh su t th i gian th c hi n chuyên ii SVTH: Ph m Nguy n Công Trung NH N XÉT C NG D N iii SVTH: Ph m Nguy n Công Trung TH C T P iv SVTH: Ph m Nguy n Công Trung M CL C GI I THI U 1.1 TV 1.2 M C TIÊU, PH NG NGHIÊN C U -2 1.3 CÂU H I NGHIÊN C U 1.4 GI THUY T NGHIÊN C U 1.5 C U TRÚC NGHIÊN C U - LÝ THUY T 2.1 CÁC KHÁI NI M - 2.1.1 T giá h 2.1.2 Chính sách t giá h CÁC LÝ THUY N 2.2 2.2.1 Lu t m t giá. - 2.2.2 Lý thuy t ngang giá s c mua - PPP (Purchasing Power Parity) -6 2.3 CÁC NGHIÊN C U CÓ LIÊN QUAN 2.3.1 Nghiên c u c a Qaisar Farooq Akram, thu c vi n nghiên c u c a ngân hàng qu c gia Na Uy v tài: “Oil prices and Exchange rates: Norwegian evidence” - 2.3.2 Nghiên c u c a tác gi Rabah Arezki, Elena Dumitrescu, Andreas Freytag Marc Quintyn thu c vi n nghiên c u phát tri n c a qu ti n t qu c t IMF v tài: “Commodity Prices and Exchange Rate Volatility: Lessons from South Africa’s Capital Account Liberalization” -8 2.3.3 Nghiên c u c a hai tác gi Shiu-Sheng Chen, Hung-Chyn Chen thu c vi n nghiên c u phát tri tài: “Oil prices and real Exchange rates” 2.3.4 Nghiên c u c a Aihan c ng s thu c vi n nghiên c u khoa h c qu c gia Trung Qu c v tài: “Australian Dollars Exchange Rate and Gold Prices: An Interval Method Analysis” - 2.3.5 Nghiên c u c a nhóm tác gi Ardian Harri, Lanier Nalley Darren Hudson v tài: “The Relationship between Oil, Exchange Rates, and Commodity prices” 10 v SVTH: Ph m Nguy n Công Trung 2.3.6 Nghiên c u c a Perry Sadorsky v tài: “The empirical relationship between energy futures prices and Exchange rates” 10 N NAY TÌNH HÌNH T GIÁ, GIÁ VÀNG VÀ GIÁ D U T - 12 3.1 TÌNH HÌNH T GIÁ VND/USD T N NAY. - 12 3.2 TÌNH HÌNH GIÁ VÀNG T 3.3 TÌNH HÌNH GIÁ D U TH GI I T N NAY 16 N NAY 20 U - 25 4.1 S LI U 25 4.2 MƠ HÌNH - 25 4.2.1 Mơ hình VAR - 26 4.2.2 Mơ hình VEC - 26 4.2.3 n hành ki 4.2.4 Ki 4.2.5 Hàm ph n nh - 27 nh tính phù h p c a mơ hình - 30 30 K T QU NGHIÊN C U - 31 5.1 K T QU PHÂN TÍCH H I QUY - 31 5.1.1 Ki 5.1.2 L a ch 5.1.3 Mơ hình VAR - 33 5.1.4 Ki 5.1.5 Mơ hình VEC - 36 5.1.6 Ki m 5.2 nh tính d ng - 31 tr t - 32 ng liên k t. - 35 nh nhân qu Granger - 39 TH O LU N K T QU - 40 5.2.1 Th o lu n k t qu mơ hình VAR - 40 5.2.2 Th o lu n k t qu mơ hình VEC - 44 5.2.3 Th o lu n k t qu ki nh Granger - 48 K T LU N VÀ KI N NGH 49 6.1 K T LU N - 49 6.2 KI N NGH 49 vi SVTH: Ph m Nguy n Công Trung DANH M C CH Ch vi t t t VI T T T ti ng Anh ti ng Vi t VND Vietnam dong ng Vi t Nam USD United States dollar GBP Great British Pound FDI Foreign Direct Investment NEER Nominal Efective Exchange rate T giá h RER Real Exchange rate T giá h EU European Union Liên minh châu Âu IMF International Monetary Fund Qu ti n t qu c t WTO World Trade Organization T ch OPEC Organization of the Petroleum Exporting Countries Hi p h i qu c gia xu t kh u d u ng B ng Anh c ti vii c i th gi i SVTH: Ph m Nguy n Công Trung DANH M C B NG BI U B ng 5.1: Ki nh nghi b 31 B ng 5.2: Ki nh nghi b 31 B ng 5.3: L a ch tr t - 32 B ng 5.4: Ki nh nghi c a ph n LnEx, LnGold LnOil. - 34 B ng 5.5: K t qu ki nh hi B ng 5.6: K t qu ki m nh White 35 B ng 5.8: Ki i 34 ng liên k t b Eigenvalue l n nh t 36 B ng 5.9: Ki nh nghi c a ph n LnEx, LnGold LnOil. - 37 B ng 5.10: Ki nh tính chu n c a ph – Bera (JB) 37 B ng 5.11: K t qu ki nh Portmanteau. - 38 B ng 5.12: K t qu ki nh White 38 B ng 5.13: K t qu ki nh Granger 39 B ng 5.14: K t qu - 43 B ng 5.15: K t qu - 47 viii SVTH: Ph m Nguy n Công Trung DANH M C BI VÀ HÌNH Bi 3.1: Tình hình t giá VND/USD t -2012 12 Bi 3.2: T n 1994-1997 - 13 Bi 3.3: T n 1997-2004 - 13 Bi 3.4: T n 2004-2007 - 14 Bi 3.5: T giá VN n 2007-2012 - 15 Bi 3.6: Giá vàng th gi i th i k 1994-2012 16 Bi 3.7: Giá vàng th gi Bi 3.8: Giá vàng th gi i t 2001-2005 17 Bi 3.9: Giá vàng th gi Bi 3.10: Tình hình giá vàng t Bi 3.11:Tình hình giá d u t Bi 3.12: Giá d u th gi n 1994-1999 - 21 Bi 3.13: Giá d u th gi n 1999-2003 - 22 Bi 3.14: Giá d u th gi i 2003-2008 - 23 Bi 3.15: Giá d u th gi i 2008-2012 - 23 Bi 3.16: Giá d u th gi i t n 1997-2001 - 17 n 2006-2012 - 18 n tháng 02/2013 - 19 n 21 n tháng 2/2013 24 truy n t i s c c a t n t giá Mơ hình VAR 41 truy n t i s c t n t giá Mơ hình VAR 42 truy n t i s c t giá d truy n t i s c t t n t giá Mơ hình VAR - 42 n t giá Mơ hình VEC - 45 truy n t i s c t n t giá Mơ hình VEC 46 truy n t i s c t giá d n t giá Mơ hình VEC - 46 ix SVTH: Ph m Nguy n Công Trung Null Hypothesis: LN_GOLD has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=14) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 1.338867 -3.457747 -2.873492 -2.573215 0.9988 *MacKinnon (1996) one-sided p-values B ng – Ki LnGold nh tính d ng b d ng chu n c a bi n Null Hypothesis: D(LN_GOLD) has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=14) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -14.30959 -3.457865 -2.873543 -2.573242 0.0000 *MacKinnon (1996) one-sided p-values B ng – Ki nh tính d ng b c a bi n LnGold d ng sai phân b c Null Hypothesis: LN_GOLD has a unit root Exogenous: Constant Bandwidth: (Newey-West using Bartlett kernel) Adj t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* 1.332947 -3.457747 -2.873492 -2.573215 0.9988 *MacKinnon (1996) one-sided p-values Residual variance (no correction) HAC corrected variance (Bartlett kernel) B ng – Ki LnGold nh tính d ng b 0.001333 0.001340 d ng ch n c a bi n Null Hypothesis: D(LN_GOLD) has a unit root Exogenous: Constant Bandwidth: (Newey-West using Bartlett kernel) Adj t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* -14.28800 -3.457865 -2.873543 -2.573242 0.0000 *MacKinnon (1996) one-sided p-values Residual variance (no correction) HAC corrected variance (Bartlett kernel) 0.001324 0.001252 B ng – Ki nh tính d ng b c a bi n LnGold d ng sai phân b c Null Hypothesis: LN_OIL has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=14) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -0.791995 -3.457865 -2.873543 -2.573242 0.8192 *MacKinnon (1996) one-sided p-values B ng 10 – Ki bi n LnOil nh tính d ng b ADF d ng chu n c a Null Hypothesis: D(LN_OIL) has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=14) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -11.95190 -3.457865 -2.873543 -2.573242 0.0000 *MacKinnon (1996) one-sided p-values B ng 11 – Ki c a bi n LnOil nh tính d ng b d ng sai phân b c Null Hypothesis: LN_OIL has a unit root Exogenous: Constant Bandwidth: (Newey-West using Bartlett kernel) Adj t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* -0.727665 -3.457747 -2.873492 -2.573215 0.8364 *MacKinnon (1996) one-sided p-values Residual variance (no correction) HAC corrected variance (Bartlett kernel) B ng 12 – Ki LnOil 0.006492 0.009943 nh tính d ng b ng d ng chu n c a bi n Null Hypothesis: D(LN_OIL) has a unit root Exogenous: Constant Bandwidth: (Newey-West using Bartlett kernel) Adj t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* -11.95190 -3.457865 -2.873543 -2.573242 0.0000 *MacKinnon (1996) one-sided p-values Residual variance (no correction) HAC corrected variance (Bartlett kernel) Hình 16 – Ki c a bi n LnOil nh tính d ng b 0.006134 0.006134 d ng sai phân b c tr t VAR Lag Order Selection Criteria Endogenous variables: D_LN_EX D_LN_GOLD D_LN_OIL Exogenous variables: C Date: 03/25/13 Time: 17:02 Sample: 239 Included observations: 218 Lag LogL LR FPE AIC SC HQ 10 11 12 13 14 15 16 17 18 19 20 1395.880 1410.451 1417.489 1424.878 1430.961 1434.570 1440.827 1448.012 1450.602 1454.956 1460.675 1471.858 1475.906 1486.515 1491.961 1499.167 1506.499 1509.619 1524.142 1530.529 1535.712 NA 28.60695 13.62396 14.09973 11.43973 6.689105 11.42283 12.92081 4.584569 7.589884 9.812151 18.87664 6.722415 17.32513 8.743596 11.37111 11.36827 4.750924 21.71735* 9.375387 7.465639 5.66e-10 5.38e-10* 5.48e-10 5.56e-10 5.71e-10 6.00e-10 6.16e-10 6.27e-10 6.65e-10 6.95e-10 7.17e-10 7.05e-10 7.39e-10 7.30e-10 7.57e-10 7.72e-10 7.87e-10 8.35e-10 7.98e-10 8.22e-10 8.57e-10 -12.77872 -12.82983* -12.81183 -12.79705 -12.77028 -12.72083 -12.69566 -12.67901 -12.62020 -12.57758 -12.54748 -12.56750 -12.52207 -12.53683 -12.50423 -12.48777 -12.47247 -12.41852 -12.46919 -12.44522 -12.41020 -12.73214* -12.64353 -12.48580 -12.33129 -12.16480 -11.97562 -11.81072 -11.65435 -11.45581 -11.27346 -11.10363 -10.98393 -10.79877 -10.67381 -10.50148 -10.34529 -10.19027 -9.996590 -9.907529 -9.743830 -9.569086 -12.75991* -12.75458 -12.68014 -12.60892 -12.52572 -12.41983 -12.33822 -12.26514 -12.14988 -12.05082 -11.96429 -11.92787 -11.82601 -11.78433 -11.69529 -11.62239 -11.55065 -11.44027 -11.43450 -11.35409 -11.26263 * 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 B ng 13 – K t qu tr t ng mơ hình VAR Vector Autoregression Estimates Date: 03/25/13 Time: 17:11 Sample (adjusted): 20 239 Included observations: 220 after adjustments Standard errors in ( ) & t-statistics in [ ] D_LN_EX D_LN_GOLD D_LN_OIL D_LN_EX(-1) 0.230544 (0.07525) [ 3.06377] 0.128883 (0.38067) [ 0.33857] -0.404656 (0.73532) [-0.55031] D_LN_EX(-9) 0.224055 (0.07846) [ 2.85570] -0.382423 (0.39691) [-0.96350] 0.159360 (0.76669) [ 0.20785] D_LN_EX(-14) 0.153495 (0.07859) [ 1.95320] 0.317168 (0.39755) [ 0.79780] 0.207445 (0.76794) [ 0.27013] D_LN_EX(-15) -0.147392 (0.07857) [-1.87598] -0.956711 (0.39746) [-2.40706] -0.286454 (0.76776) [-0.37310] D_LN_EX(-18) -0.261545 (0.07916) [-3.30380] 0.997195 (0.40048) [ 2.49000] 0.940826 (0.77359) [ 1.21618] D_LN_GOLD(-3) -0.034474 (0.01569) [-2.19776] 0.135427 (0.07935) [ 1.70664] 0.255856 (0.15328) [ 1.66917] D_LN_GOLD(-17) 0.038986 (0.01663) [ 2.34382] -0.020745 (0.08415) [-0.24653] -0.103993 (0.16254) [-0.63980] D_LN_GOLD(-18) -0.017917 (0.01632) [-1.09812] 0.027806 (0.08254) [ 0.33687] 0.212541 (0.15944) [ 1.33303] D_LN_OIL(-1) -0.009504 (0.00804) [-1.18216] 0.066573 (0.04067) [ 1.63696] 0.068229 (0.07856) [ 0.86851] D_LN_OIL(-2) -0.002264 (0.00811) -0.028303 (0.04104) -0.031608 (0.07928) [-0.27907] [-0.68963] [-0.39871] 0.002206 (0.00105) [ 2.10689] 0.003844 (0.00530) [ 0.72575] 0.013015 (0.01023) [ 1.27202] 0.311397 0.086037 0.009165 0.007453 1.381773 797.2970 -6.748155 -5.899748 0.002937 0.007796 0.226963 -0.026031 0.234538 0.037702 0.897108 440.6479 -3.505890 -2.657483 0.006497 0.037221 0.408699 0.215182 0.875129 0.072827 2.111959 295.8048 -2.189135 -1.340728 0.008558 0.082207 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 4.00E-10 1.69E-10 1538.805 -12.48913 -9.943913 C R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent B ng 14 – K t qu ng mơ hình VAR VAR Residual Serial Correlation LM Tests H0: no serial correlation at lag order h Sample: 239 Included observations: 220 Lags LM-Stat Prob 10 11 12 13 14 15 16 17 18 19 20 8.352680 7.485578 8.723180 13.25721 9.607319 8.649975 4.490659 9.679260 10.12734 6.539188 12.42575 3.529628 13.91655 11.75937 15.86650 8.271767 12.17388 8.361599 12.62616 14.74175 0.4990 0.5867 0.4632 0.1513 0.3832 0.4702 0.8763 0.3771 0.3403 0.6850 0.1904 0.9396 0.1253 0.2272 0.0697 0.5070 0.2037 0.4982 0.1803 0.0983 B ng 15 – K t qu ki nh LM VAR Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares) Date: 03/25/13 Time: 17:23 Sample: 239 Included observations: 220 Joint test: Chi-sq df Prob 662.5513 648 0.3374 Individual components: Dependent R-squared F(108,111) Prob Chi-sq(108) Prob res1*res1 res2*res2 res3*res3 res2*res1 res3*res1 res3*res2 0.392790 0.592549 0.512683 0.475656 0.536126 0.526676 0.664847 1.494681 1.081277 0.932342 1.187860 1.143626 0.9830 0.0181 0.3414 0.6423 0.1843 0.2415 86.41389 130.3608 112.7903 104.6443 117.9476 115.8687 0.9374 0.0705 0.3570 0.5735 0.2413 0.2850 B ng 16 - K t qu ki nh White Null Hypothesis: RESID01 has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=14) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -14.21657 -3.460173 -2.874556 -2.573784 0.0000 *MacKinnon (1996) one-sided p-values B ng 17 – K t qu ki nh tính d ng ph n LnEx d ng chu n Null Hypothesis: RESID02 has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=14) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -14.92349 -3.460173 -2.874556 -2.573784 0.0000 *MacKinnon (1996) one-sided p-values B ng 18 – K t qu ki nh tính d ng ph n LnGold d ng chu n Null Hypothesis: RESID03 has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=14) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -14.70631 -3.460173 -2.874556 -2.573784 0.0000 *MacKinnon (1996) one-sided p-values B ng 19 – K t qu ki nh tính d ng ph n LnOil d ng chu n Ki ng liên k t Sample (adjusted): 10 239 Included observations: 230 after adjustments Trend assumption: Linear deterministic trend Series: LN_EX LN_GOLD LN_OIL Lags interval (in first differences): to Unrestricted Cointegration Rank Test (Trace) Hypothesized No of CE(s) Eigenvalue Trace Statistic 0.05 Critical Value Prob.** None * At most At most 0.101159 0.026580 0.000351 30.80620 6.276801 0.080784 29.79707 15.49471 3.841466 0.0381 0.6628 0.7762 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) Eigenvalue Max-Eigen Statistic 0.05 Critical Value Prob.** None * At most At most 0.101159 0.026580 0.000351 24.52940 6.196017 0.080784 21.13162 14.26460 3.841466 0.0160 0.5882 0.7762 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): LN_EX -5.619811 -9.792099 0.122278 LN_GOLD -2.046020 0.587680 3.292281 B ng 20 – K t qu ki LN_OIL 4.247501 1.215965 -1.646817 ng liên k t Johansen ng mơ hình VEC Vector Error Correction Estimates Date: 03/25/13 Time: 17:36 Sample (adjusted): 10 239 Included observations: 230 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 LN_EX(-1) 1.000000 LN_GOLD(-1) 0.364073 (0.14419) [ 2.52503] LN_OIL(-1) -0.755809 (0.12906) [-5.85617] C -8.690820 Error Correction: D(LN_EX) D(LN_GOLD) D(LN_OIL) CointEq1 -0.002862 (0.00277) [-1.03355] -0.019507 (0.01367) [-1.42672] 0.108322 (0.02733) [ 3.96405] D(LN_EX(-1)) 0.193582 (0.06992) [ 2.76843] 0.087639 (0.34525) [ 0.25384] -0.246530 (0.69001) [-0.35729] D(LN_EX(-2)) -0.053870 (0.07103) [-0.75845] 0.005544 (0.35069) [ 0.01581] -0.336482 (0.70088) [-0.48009] D(LN_EX(-3)) 0.037400 (0.07027) [ 0.53221] 0.106568 (0.34697) [ 0.30713] -2.106360 (0.69345) [-3.03750] D(LN_EX(-4)) -0.037278 (0.07154) [-0.52106] -0.007724 (0.01444) [-0.53509] -0.422270 (0.35324) [-1.19541] 0.055984 (0.07127) [ 0.78547] -1.185814 (0.70598) [-1.67968] 0.266578 (0.14245) [ 1.87142] -0.016996 (0.01448) [-1.17354] -0.091107 (0.07151) [-1.27410] 0.031028 (0.14291) [ 0.21711] D(LN_GOLD(-1)) D(LN_GOLD(-2)) D(LN_GOLD(-3)) -0.016931 (0.01458) [-1.16132] 0.080958 (0.07198) [ 1.12470] 0.285152 (0.14386) [ 1.98215] D(LN_GOLD(-4)) 0.025098 (0.01458) [ 1.72193] 0.060268 (0.07197) [ 0.83746] 0.258517 (0.14383) [ 1.79740] D(LN_OIL(-1)) -0.004298 (0.00686) [-0.62661] 0.045007 (0.03386) [ 1.32905] 0.156061 (0.06768) [ 2.30588] D(LN_OIL(-2)) -0.008419 (0.00680) [-1.23734] -0.045712 (0.03359) [-1.36070] -0.007582 (0.06714) [-0.11293] D(LN_OIL(-3)) -0.001163 (0.00676) [-0.17205] -0.043593 (0.03339) [-1.30567] 0.014936 (0.06673) [ 0.22384] D(LN_OIL(-4)) 0.003927 (0.00679) [ 0.57829] 0.002387 (0.03353) [ 0.07120] -0.048389 (0.06701) [-0.72212] C 0.002137 (0.00077) [ 2.76669] 0.004286 (0.00381) [ 1.12374] 0.017499 (0.00762) [ 2.29548] 0.156183 0.052774 0.011393 0.007473 1.510344 813.6230 -6.848895 -6.460243 0.002846 0.007678 0.090845 -0.020571 0.277739 0.036898 0.815371 446.3469 -3.655190 -3.266538 0.006287 0.036524 0.265151 0.175096 1.109363 0.073743 2.944321 287.0879 -2.270330 -1.881677 0.009101 0.081193 R-squared Adj R-squared Sum sq Resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent B ng 20 – K t qu ng mơ hình VEC VEC Residual Portmanteau Tests for Autocorrelations H0: no residual autocorrelations up to lag h Sample: 239 Included observations: 230 Lags Q-Stat Prob Adj Q-Stat Prob df 10 11 12 0.115354 0.327163 1.328582 2.386749 3.449931 4.984915 5.728313 8.099720 14.70601 30.15077 40.49337 47.40136 NA* NA* NA* NA* NA* NA* NA* NA* 0.0993 0.0360 0.0460 0.0968 0.115858 0.329525 1.344179 2.421074 3.507882 5.083982 5.850715 8.307578 15.18290 31.32970 42.19179 49.48004 NA* NA* NA* NA* NA* NA* NA* NA* 0.0860 0.0264 0.0315 0.0666 NA* NA* NA* NA* NA* NA* NA* NA* 18 27 36 *The test is valid only for lags larger than the VAR lag order df is degrees of freedom for (approximate) chi-square distribution B ng 21 – K t qu ki nh Portmanteau VEC Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares) Date: 03/25/13 Time: 17:41 Sample: 239 Included observations: 230 Joint test: Chi-sq Df Prob 337.5045 300 0.0670 Individual components: Dependent R-squared F(50,179) Prob Chi-sq(50) Prob res1*res1 res2*res2 res3*res3 res2*res1 res3*res1 res3*res2 0.141357 0.283012 0.258295 0.155701 0.283176 0.350802 0.589371 1.413110 1.246716 0.660206 1.414255 1.934499 0.9850 0.0531 0.1504 0.9569 0.0527 0.0009 32.51216 65.09276 59.40783 35.81134 65.13056 80.68452 0.9738 0.0743 0.1702 0.9348 0.0738 0.0039 B ng 22 – K t qu ki nh White Null Hypothesis: RESID01 has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=14) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level B ng 23 – K t qu Prob.* -15.12020 -3.458845 -2.873974 -2.573472 0.0000 nh tính d ng ph n LnEx d ng chu n Null Hypothesis: RESID02 has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=14) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -15.09921 -3.458845 -2.873974 -2.573472 0.0000 *MacKinnon (1996) one-sided p-values B ng 24 - K t qu nh tính d ng ph n LnGold d ng chu n Null Hypothesis: RESID03 has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=14) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -15.07675 -3.458845 -2.873974 -2.573472 0.0000 *MacKinnon (1996) one-sided p-values B ng 25 - K t qu nh tính d ng ph n LnOil d ng chu n Pairwise Granger Causality Tests Date: 03/25/13 Time: 19:59 Sample: 239 Lags: 18 Null Hypothesis: Obs F-Statistic Probability GOLD does not Granger Cause EX EX does not Granger Cause GOLD 221 1.94013 1.74510 0.01520 0.03523 OIL does not Granger Cause EX EX does not Granger Cause OIL 221 0.96156 2.24618 0.50603 0.00376 OIL does not Granger Cause GOLD GOLD does not Granger Cause OIL 221 3.10835 3.04422 5.5E-05 7.6E-05 B ng 26 – K t qu ki nh nhân qu Granger ... ng c a giá vàng giá d u n t giá VND/USD, nên th t bi c cho vào mơ hình VEC l t sai phân b c c a t giá ( LnEx), sai phân b c c a giá vàng ( LnGold) cu i sai phân b c c a giá d u ( LnOil) K t qu... c hi n ki nh tính d ng b ng Dickey–Fuller (ADF) Phillips–Perron (PP) cho ba bi n logarit t giá (LnEx), logarit giá vàng (LnGold) logarit giá d u (LnOil), ta nh n th y r ng c ba bi n u không d... 3.6: Giá vàng th gi i th i k 1994-2012 (Ngu n: S li c t ng h p t Index Mudi Database – Giá vàng th gi i vào nh nh th p k l (Bi c th USD/ounce) - i nh m giá vàng th gi i liên t c gi tm c i m c giá