Cơ chế truyền dẫn tác động chính sách tiền tệ thông qua kênh tín dụng Trường hợp Việt Nam ( Chuyên đề tốt nghiệp TP.HCM Trường Đại Học Kinh Tế )

GVHD: TS Phan N Thanh Th y 2013 L truy n d n sách ti n t thơng qua kênh tín d ng Ngân hàng ng h p c a Vi uc a is ng d n tr c ti p c a cô Phan N Thanh Th y, th y Nguy n Xuân Lâm th M i tham kh o dùng khóa lu c trích d n rõ ràng theo tên tác gi , tên cơng trình, th m cơng b Các chép không h p l , vi ph m quy ch , có b t kì hành vi gian trá nào, em xin ch u hoàn toàn trách nhi m TP H i vi Ph i SVTH: Ph o o GVHD: TS Phan N Thanh Th y 2013 L IC c tiên, xin chân thành c quý th ng i h c kinh t Tp.H n tình truy t ki n th c quý báu cho th i gian h c t p a qua Nh ng ki n th c s hành tranh t t nh t giúp t ng s nghi p sau Tôi xin c o anh ch t i Ngân hàng t Nam-Chi nhánh Nam Sài Gịn tơi hồn thành k th c t p th t thành công phịng Khách hàng ng giao vi c, giúp tơi c nh ng tr i nghi m th c t v i công vi c c a m t nhân viên ngân hàng Tôi mu n g i l i c n th y Nguy i th y ch nhi m l p Kinh t h c su t h c k chuyên ngành Cu i cùng, xin c cô Phan N Thanh Th y, th Nguy n Xuân Lâm, ch th i gian ng n ng i, v i s t th y, tơi hồn thành t t khóa lu n Tôi xin chân thành c Ph ii SVTH: Ph g i l i chúc s c kh o o nt tc m y ng d n c a cô i! GVHD: TS Phan N Thanh Th y 2013 NH N XÉT C TH C T P ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· Thành ph H C iii SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 NH N XÉT C NG D N ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· ········································································································································· iv SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 TÓM T T Trong khu làm cho thông tin ng cung ng v n cho n n kinh t , ki m soát nh m gi m thi u r i ro có th x iv i ch th tham gia Chính sách ti n t ln có m t vai trò nh nh vi u hành n n kinh t i v i b t k qu c gia P mà nhà M c tiêu c a nghiên c u mô t rõ nét q trình truy n d n sách ti n t , nh vai trị c a kênh tín d ng Ngân hàng Vi ng khuy n ngh giúp nâng cao hi u qu c a công c u ti t, th c hi n m c tiêu v giá cá, s c làm Nghiên c u xem xét làm rõ ba câu h truy n d n sách ti n t c th c hi công c c th c thi m t cách hi u qu thơng qua vi c phân tích mơ hình c u trúc i c a sách ti n t n kênh tín d ng Ngân hàng? s i sách ti n t có th d n s khác hành vi c a Ngân hàng 'l n' 'nh ' không? D li u cs d phân tích n 2002 2012 Bài nghiên c u s d mơ hình SVAR mơ t truy n d n sách ti n t mơ hình h i quy theo d li u b ng nh truy n d n sách ti n t thơng qua kênh tín d ng Ngân hàng nh ng ph n ng c a Ngân hàng v i s i c a CSTT v SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 DANH M C CH VI T T T KÝ HI U CPI Ch s giá tiêu dùng CSTT Chính sách ti n t i NHTM c NHNN GDP T ng s n ph m qu c n i DTBB D tr b t bu c TCTD T ch c tín d ng NVTTM Nghi p v th TGTC Trung gian tài TCTD T ch c tín d ng VAR Vector Auto-Regression ng m NHTW T giá h HMTD H n m c tín d ng SXKD S n xu t kinh doanh TCK Tái chi t kh u TDNH Tín d ng Ngân hàng NHNo&PTNT Ngân hàng Nơng nghi p Phát tri n Nơng thơn TDND Tín d ng nhân dân Ho vi SVTH: Ph ng kinh doanh o GVHD: TS Phan N Thanh Th y 2013 DANH SÁCH B NG BI U S hi u Tên b ng bi u ng c a Chính sách ti n t B ng 2.1 n bi n s B ng 2.2 Các công c Bi T ng s n ph m qu c n i (GDP)và t c a Vi n 2002-2012 3.1 u ti t tr c ti p c a Chính sách ti n t ng GDP -2012 -2012 - 2012 -2009 -2012 -2012 -2009 -2012 2007-2010 -2012 -2012 vii SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 2002-2012 B ng 4.1 H th ng bi n c a mơ hình SVAR B ng 4.2 D u k v ng c a h s mơ hình nghiên c u B ng 4.3 K t qu ng mơ hình B ng 4.4 K t qu ng mơ hình SVAR B ng 5.1 D u k v ng c a h s mơ hình B ng 5.2 Các bi n s mơ hình h i quy theo d li u b ng B ng 5.3 Mơ hình h i quy v i bi n công c t l DTBB (RR) B ng 5.4 Mơ hình h i quy v i bi n công c lãi su t TCK (BR) viii SVTH: Ph o BR Bi n t l DTBB (RR) GVHD: TS Phan N Thanh Th y 2013 DANH SÁCH HÌNH V S hi u Tên hình v Hình 2.1 Hình 2.2 Mơ hình Mudell - Flemming Hình 3.1 T Hình 4.1 Hàm ph n y c a bi n BR CREDIT Hình 4.2 Hàm ph n y c a bi n M2 Hình 4.3 Hàm ph n y c a bi n M2, GDP CPI Hình 4.4 Hàm ph n y c a bi n DRR, DLCREDIT DLM2 Hình 4.5 Hàm ph n y c a bi n DLGDP DLCPI ix SVTH: Ph ng kinh t c a th gi o c GVHD: TS Phan N Thanh Th y 2013 M CL C L i L IC ii NH N XÉT C TH C T P iii NH N XÉT C NG D N iv TÓM T T v DANH M C CH VI T T T vi DANH SÁCH B NG BI U vii DANH SÁCH HÌNH V ix M C L C x I THI U 1.1 tv 1.2 M c tiêu, ph u 1.2.1 M c tiêu 1.2.2 Ph m vi 1.2.3 u 1.3 Câu h i nghiên c u 1.4 pháp nghiên c u 1.5 K tc tài LÝ THUY T VÀ T NG QUAN TÀI LI U 2.1 lý thuy t 2.1.1 Chính sách ti n t 2.1.1.1 2.1.1.2 M c tiêu 2.1.1.3 Công c u ti t 2.1.1.4 truy n d n CSTT nhân t ng 12 2.1.2 Kênh tín d ng Ngân hàng 18 x SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 Nh ng nghiên c u v kênh tín d ng Ngân hàng vai trò c a chúng n n kinh t is ng c a CSTT r t ph bi u k t lu n trái chi u Theo Kashyap Stein (1995), kênh tín d tr ng mơ t truy n d n CSTT M t nghiên c u khác Hy L p ch r ng CSTT n vi c cung c p kho n vay c a ngân hàng thông qua i v ngu n cung, ho ng kinh t t ng h p c a Brissimis c ng s (2001) Nilsen (2002) quan sát ngân hàng nh M th y r tín d i m t d ng tín d ng thay th th t ch t ti n t , n m nh c t m quan tr ng c a kênh tín d ng Ngân hàng 20 CSTT 2007-2011 = (1) + + + = (2) + = (3) + + + + + ( ) + + + ( ) + + ( ) + ( ) + + + ( ) + Trong LOANit t ng kho n cho vay cc t, SECUit t ng u ch ng khoán c FUNDit t ng ti n g i ti n vay c , SIZE logarit c a t ng tài s n MYP ch s c a bi n sách ti n t (lãi su t tái chi t kh u-BR hay t l DTBB-RR) Các s ngo tr c a bi n s Mơ hình nghiên c u xem xét bi n ph thu c LOAN, FUND SECU b i ng b i nh ng bi c l p T ng kho n cho vay bi th t ch t b ib 73 SVTH: Ph c c a NHTM (LOAN): Bi n tr LOAN(1) ng c a bi n khác ngồi mơ hình lên cy ut ng v i > Khi NHNN th c hi n CSTT l DTBB (RR) hay lãi su t TCK (BR) s làm gi m ngu n o GVHD: TS Phan N Thanh Th y 2013 cung tín d ng c a Ngân hàng, làm t ng kho n cho vay gi m xu ng c l i c chi ng tr c a bi n cơng c sách, ta dùng bi tr < Quy mô c a NHTM (SIZE), t ng kho n ti n g i ti n vay c nh n t ng kho n cho vay, quy mô ngân hàng, t ng kho n ti n g i l n kh ng tín d ng cung ng cho n n kinh t cao, > Tài s n c a NHTM ph n l n kho n cho vay c, ph n l i kho n góp v n, kinh doanh ch ng khốn ch ng khốn d phịng kho n c nh ng bi ng l n c a n n kinh t , Ngân hàng mu m b o an tồn i ch ng khốn có tính kho n cao, làm cho kh ng tín d ng gi m xu c l i, v y Ch ng khốn có tính kho n cao lo i gi y t có giá có th i d ng nhu c u kho i th i gian ng ng tr c a bi n SECU, mơ hình s d ng bi tr 1, > N u quy mô Ngân hàng l ng ch ng khoán kho m b o an toàn cho ho ng kinh doanh c a ta xét bi tr ki ng tr c n FUND, > Cơng c sá l DTBB hay lãi su t TCK ng ti n g t ng cho nhu c u tín d ng th i, Ngân hàng ph mb o kho n b ng ch ng khoán kho n cao ( > Cơng c CSTT có th ng tr n SECU, v n cơng c tr vào mơ hình, ng s c chi u, t ng c a SECU hi n t i kh n hi n t ng, th t s gi ho ng tín d ng c ng, < Bi ng c a nh ng bi n l n FUND, > Quy mô t ng tài s n có m i quan h m t thi n t ng Qu c a NH, Ngân hàng l n uy tín s i ng, g i ti n nhi nv > Khi NHNN th t ch t ti n t b l DTBB hay lãi su t TCK, d n vi c NHTM ph ng ti n g i vay t TCTD khác nh ng ho t u làm cho T ng Qu c nh, , > 74 SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 B ng 5.1 H s D u k v ng c a h s mơ hình D u k v ng ( ) ( ) ( ) (+) (+) (+) 5.3 Phân tích th c nghi m H s D u k v ng (+) (+) (+) (+) (+) ( ) H s D u k v ng (+) (+) (+) (+) K t qu nghiên c u c ti n hành phân tích, b ng 5.2 th hi n th ng kê tóm t t c a bi n LOAN, FUND, SECU, SIZE d ng logarit bi n BR, RR B ng 5.2 Các bi n s mơ hình h i quy theo d li u b ng LSIZE LSECU LLOAN LFUND BR RR Mean 11.161 8.981 10.445 11.021 9.962 5.500 Median 11.055 9.095 10.290 10.891 9.250 4.000 Maximum 13.247 11.119 12.986 13.332 14.250 10.250 Minimum 9.165 4.913 8.337 8.958 6.750 3.000 Std Dev 1.024 1.356 1.161 1.040 2.831 2.784 Vi c c tính c a mơ hình v i s i c a bi n cơng c sách K t qu c trình bày b ng 5.3 b ng 5.4 l t mô t ph n ng c a t ng kho n vay, t ng ch ng khoán ng qu iv is i c a hai công c CSTT n 2007-2011 i di n b i CRR u c ki nh ch n d ng ng u nhiên (RE) hay tác nh (FE) 75 SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 B ng 5.3 Mơ hình h i quy v i bi n công c t l DTBB (RR) Bi n ph thu c Bi cl p LLOAN LSECU LFUND 0.849454 (0.0013)** -0.019340 (0.4047) -0.035791 (0.0572)* 0.547985 (0.0000)** 0.267945 (0.3431) -0.867072 (0.0000)** 0.978500 (0.0057)** 0.140349 (0.0070)** -0.080685 (0 0067)** -0.033243 (0.6034) 1.032428 (0.0000)** -0.038637 (0.0427)** 0.017953 (0.1007) R2 hi u ch nh 0.972848 0.811747 0.969733 S quan sát 80 80 80 Ki nh Hausman (pvalue) 0.0000 (FE) 1.0000 (RE) 1.0000 (RE) LLOAN LLOAN(1) LSECU -0.035486 (0.7374) -0.102585 (0.1000)* LSECU(1) LFUND 0.134010 (0.0707)* LFUND(1) LSIZE RR RR(1) Các s ngo p-value D u **, * bi u th h s ng kê v i m t 5% 10% V i mơ hình s d ng t l DTBB (RR) bi n cơng c CSTT, có th th y r ng t ng c a kho n cho vay c c a NHTM th ng kê v v u v i nh ng s i c a quy mô Ngân hàng, t ng kho ng khoán th i k t l DTBB sau m t k 76 SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 tr 1) Bi ng kê cho th y t ng kho n cho và c không ph thu c nhi u vào y u t bên ngồi mơ hình T l DTBB có m tr nh nt ng c a LOAN cho th y m i quan h thu n chi u i k v ng c a t ng c a ch v i quy mô t ng tài s n, t c ng c a ch t l i ch k v ng) v i t ng c a ngu n v ng sau k t l DTBB sau m t k i u cho th y r ng, n nv ng hi n t i s làm gi m t ng ch ng dài h nv ng dài h n n này, ngu n cung ng tín d ng dài h m b o không gây tr ng i vi m b o kho n m c tín d ng dài h n c a t ng kho ch ng khốn s gi m xu ng Mơ hình cịn l i s it (FUND) v i quy mô t ng tài s n chi u (phù h p v nhiên, t l i ng trái chi u v i t u cho th l ng mà gi m ngu n v ng t hân v n th b d c ngu n cung t ph cs n ph i tr lãi cho khách hàng ti n g i, d B ng 5.4 ng ngu n v ng ik v u) Tuy ng ngu n v n huy ng huy vi ng ng) không t n g i v NHNN, n l i nhu n gi m Mơ hình h i quy v i bi n công c lãi su t TCK (BR) Bi n ph thu c Bi cl p LLOAN LSECU LLOAN LLOAN(1) LSECU 77 SVTH: Ph 0.537527 (0.3210) -0.050126 (0.0743)* o LFUND GVHD: TS Phan N Thanh Th y 2013 0.681257 (0.0002)** -0.043775 (0.0000) -0.003527 (0.7744) 0.619637 (0.0000)** 0.256256 (0.3730) -0.892542 (0.0000)** 1.042788 (0.0031)** -0.009838 (0.6554) -0.070760 (0.0113)** 0.000328 (0.9961) 0.998979 (0.0000)** -0.009780 (0.2323)** 0.016183 (0.1131) R2 hi u ch nh 0.963763 0.844355 0.970563 S quan sát 80 80 80 Ki nh Hausman (pvalue) 1.0000 (RE) 1.0000 (RE) 1.0000 (RE) LSECU(1) LFUND 0.109895 (0.0400)** LFUND(1) LSIZE BR BR(1) Các s ngo D u **, * bi u th h s s d v b -value ng kê v i m t 5% 10% H u h t h s ng c a mô hình (bi n cơng c lãi su t TCK) theo m i quan h c a mơ hình bi n công c ts sai khác x y S i lãi su t TCK s nt ng tín ng hi n t i khơng có nt ng ch ng Vi t Nam, công c c th c hi n h tr l n lãi su t TCK t l DTBB l i c nh gi m m c th p, y không th tìm th y m i quan h gi a lãi su t TCK t ng ch ng it ng c a ngu n v ng, ch ch u ng i quy mô t ng tài s n ch khơng ch u ng b i bi n cịn l i Tóm l i, s t n t i c a kênh tín d truy n d n CSTT Vi u tiên, t ng tín d ng kho n m c b i k toán c a NHTM ch ng b i công c c a CSTT, ho ng tín d ng gi m vi u ch nv ng, ch ng kho n có tính kho c nh ng cú s a t l DTBB hay lãi su t TCK 78 SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 6: K T LU N VÀ KHUY N NGH CHÍNH SÁCH 6.1 K t lu n Chính sách ti n t có vai trị quan trong vi u ti t n n kinh t nói chung h th ng ti n t nói riêng c a b t k qu c gia Bài nghiên c lý thuy t nh ng nghiên c truy n d n t ng th n n kinh t c bi t, nghiên c u t p trung xem xét q trình truy n d n ti n t thơng qua kênh tín d ng Ngân hàng P mà - 79 SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 6.2 Khuy n ngh sách Hi n nay, tình hình kinh t nd n nh, ho ng c a Ngân hàng có nhi u chuy n bi n tích c c, nhiên, nh ng trái chi u c a sách ti n t v n cịn ng khơng nh n ho ng c a Ngân hàng n n n kinh t Các Ngân hàng ng cung c p v n u ki n u vào cho m i trình SXKD c a doanh nghi p Kh p c n ngu n v n vay g d n ho ng SXKD khơng th ti ng c, v y n n kinh t khó có th h u ki n mà l m c ki m phát suy thoái kinh t - n i lo chung c a xã h u hi u xu t hi n l i Th ng b ng s n có d u hi u r c r ch n tình tr ng ch an c g nb ng, th ng suy gi m (cung c o chi u) V i m c tiêu xây d ng m t CSTT hi u qu , nh b qua: Th n tr ng th i s d ng nhi u công c u hành sách ti n t : Vi c s d ng th i nhi u cơng c u hành sách ti n t vi c làm bình ng c a NHNN lý thuy t c th c ti n, nhiên, th t nh y c n ánh s c s ng c a n n kinh t Vì th , c n ph i h t s c th n tr i v i m i quy ns v ng c a ti n t c v n hành ph i quan sát k di n bi n, d ki c nh ng ph n ng có th c a th cân nh c v lo i công c s d ng, v m c n thi t, v li c v n hành m i công c tránh nh ng gi i pháp có th d n NHTM vào nh ng tình hu ng nguy hi m Lãi su t công c linh ho c cân nh s d ng nh t M i cơng c có nh c tính, kh n th ng theo nh ng cách khác nhau, v im ng nhau, nhiên s d ng cơng c tín hi u cu i c ns i v giá - lãi su l d tr b t bu c hay mua tín phi u b t bu y, s d ng h u hi u công c lãi su u ti t m v chi phí ph i tr cho vi u hành sách ti n t Vi c cm t ra, k c m c tiêu c a sách ti n t t ng th i k u có nh ng giá ph i tr Không th n cho r ng d tr b t bu c khơng ph i tr lãi su t hay mua bán gi y t có giá th ng m nh t thi t ph i có chênh l ch (l i nhu n) Ví d , th c hi n vi c mua bán gi y t có giá th ng lúc NHNN th c hi n vi c s d ng công c th tr ng m tm c 80 SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 tiêu c a sách ti n t ch khơng ph kinh doanh, th , nhi u tình th b t bu c, NHNN ph i s d u ti t b mua c - n u mu n ti cl i ,m nh n ph i mua giá cao bán giá th p t lo i chi phí bu c ph i tr Nh a th ng ti n t ng thích h p n ho ng c a th ng M i th u có m t v trí quan tr ng n n kinh t có nh m riêng có c a nó, nhiên, th ng có t su t sinh l s v y, giá c hàng hoá th ng s c l i N n kinh t mu n phát tri n th ng ph cv n hành m ng b , nhiên, s g n k t, liên thông gi a th ng l i v i nh th ng ti n t b i ti n t dịng ch a th ng S trì tr c a n n kinh t l i c a NHTN, b i Ngân hàng m t hi n thân v nhu c u c a xã h i, ch u s chi ph i c a y u t kinh t Vì v y, gi m, ph i t o s liên k t t hi u qu a th ng ti n t v i lo i th ng M i s can thi p không k p th i hay v u có th ho ng th ng mu n h i ph c tr l i th c s khơng ph i vi c d dàng Tóm l i, vi c s d ng cơng c sách ti n t u ti t ho ng Ngân hàng u ti t ho ng kinh t nh ng ho ng thông ng, v n hành CSTT m t cách hi u qu ph i tuân th nh ng nguyên t c nh t máy móc, r p khuôn mà c n s sáng su t, linh ho t nh y bén nâng cao hi u qu c a trình truy n d n i ph i hoàn thi n ti p t c phát tri n h th ng công c bám sát th c ti n Vi t Nam H th ng công c ph i h tr , ph i h p y l n nhau, tránh tri t tiêu hi u qu c a Vi u ch nh lãi su t c n linh ho t g n v i th ng nguyên t m b o l i ích c a c i g i ti n, t ch c tín d i vay ti n, t u ki n t p trung t nv tài tr cho phát tri n kinh t Do v y, u ch nh lãi su t ti n g i lãi su t ti n vay m t cách phù h p, TCTD ph i d a vào nhân t i nhu n bình quân c a doanh nghi p, s bi ng c a quan h cung c u, v , t l l m phát di n bi n lãi su t th ng t NHNN c n ti p t c trì vi u ch nh m c lãi su t ti n g i ti n vay dài h t ti n g i ti n vay ng n h n nh ng v n dài h cho n n kinh t Vi nh lãi su t cho vay dài h n ph i 81 SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 gi m lãi su t ng n h n t ng th i k Vi c trì m c lãi su p, v y ph c n t ngu n ngân sách kênh tài tr ho ng ho ng kinh doanh c a NHTM qu c doanh T l d tr b t bu c có ng tr c ti p t i kh ng cung ng tín d ng cho n n kinh t c a t ch c tín d ng, v y NHNN c n ph i qu n lý d tr b t bu c thích h t o m ng c nh tranh lành m nh, ng gi a TCTD, ví d n m r ng áp d ng qui ch d tr b t bu c, t l d tr b t bu i phù h p v i di n bi n th ng ti n t , v i m c tiêu CSTT m c th c a t ch c tín d ng tồn b h th ng t ch c tín d ng Vi t Nam Nh ng bi p ng ki m tra vi c ch p hành d tr b t bu c c th c thi i vi c x ph ng h p vi ph m qui ch m b o s lành m nh c a h th ng tài NHNN nên áp d ng bi n pháp khuy n khích NHTM th c hi n t t qui ch d tr nh s ti n ph i ch u qui ch d tr b t bu c phù h p, ti p t c tr ti n lãi cho s ti n g a c a t ch c tín d ng v i m c lãi su t phù h p v i kh c a NHNN u, h i phi u s ghi nh n c a quan h tín d m i n n kinh t th ng c ta hi n nay, hình th c tín d m i xu t hi n ngày nhi u, doanh s ho ng mua bán ch u có th i h n, giao nh n hàng toán g u gi a doanh nghi p r t l n Do v y, vi c y s d ng r u quan h tín d i r t c n thi t NHNN ph i ki m soát m t cách ch t ch d án cho vay tái c p v n, TCK u ng quan tr ng t i hi u qu vi u ch nh m c cung ti n, xố b tình tr ng bao c p th c hi n cho vay chi t kh u m r c vay chi t kh i cho vay cu mb os n nh, lành m nh c a h th ng Ngân hàng 82 SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 TÀI LI U THAM KH O Alfaro, R., Bank Lending Channel and the Monetary Policy Transmission Mechanism: The Case of Chile of Chile Working Paper No.223 Disyatat Vongsinsirikul (2003), mechanism in Tha Bank of India, Study No.25 Frederic S Mishkin (2008), Nhà xu t b n khoa h c k thu hàng th ng tài Ti n t , Ngân Mankiw, Gregory N., 2002, Macroeconomics, Fifth Edition, Worth Publishers Lu c (2002) ng niên c c 2002-2011 i 2007-2011 Bài gi i quy d li u b kinh t Fulbright (2010-2012) Chris Sims (2002), ng d y , Econ.513, time Series Econometrics T ng c c th ng kê Vi t Nam www.gso.gov.vn International Financial Statistics International Monetary Fund www.imf.org/ http://www.newyorkfed.org/ www.worldbank.org/ www.adb.org/ http://vneconomy.vn/ 83 SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 PH L C Ph l c 1: Ki nh tính d ng c a bi n mơ hình Null Hypothesis: FFR has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=9) Null Hypothesis: DBR has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=9) t-Statistic Augmented Dickey-Fuller test statistic Test critical 1% values: level 5% level 10% level Prob.* -3.267084 0.0235 -3.610453 -2.938987 -2.607932 Null Hypothesis: DLCPI has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=9) Augmented Dickey-Fuller test statistic Test critical 1% values: level 5% level 10% level Prob.* -5.459714 0.0000 -3.605593 -2.936942 -2.606857 Null Hypothesis: DLCREDIT has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=9) t-Statistic Augmented Dickey-Fuller test statistic Test critical 1% values: level 5% level 10% level t-Statistic Prob.* -4.285137 0.0016 -3.605593 -2.936942 -2.606857 Null Hypothesis: DLGDP has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=9) t-Statistic Augmented Dickey-Fuller test statistic Test critical 1% values: level 5% level 10% level Prob.* -5.392306 0.0001 -3.600987 -2.935001 -2.605836 Null Hypothesis: DLM2 has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=9) t-Statistic t-Statistic Augmented Dickey-Fuller test statistic Test critical 1% values: level 5% level 10% level 84 SVTH: Ph -296.3780 -3.615588 -2.941145 Prob.* -5.913261 0.0000 Prob.* 0.0001 Augmented Dickey-Fuller test statistic Test critical 1% values: level 5% level 10% level -2.609066 o -3.626784 -2.945842 -2.611531 GVHD: TS Phan N Thanh Th y 2013 Null Hypothesis: DLOIL has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=9) Null Hypothesis: DRR has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=9) t-Statistic Augmented Dickey-Fuller test statistic Test critical 1% values: level 5% level 10% level 85 SVTH: Ph Prob.* -6.134777 0.0000 -3.605593 -2.936942 -2.606857 t-Statistic Augmented Dickey-Fuller test statistic Test critical 1% values: level 5% level 10% level o Prob.* -4.488929 0.0009 -3.600987 -2.935001 -2.605836 GVHD: TS Phan N Thanh Th y 2013 Ph l c 2: Ki tr t a mơ hình VAR Lag Order Selection Criteria Endogenous variables: DBR DLCREDIT DLM2 DLGDP DLCPI Exogenous variables: C FFR DLOIL Date: 04/03/13 Time: 13:44 Sample: 2002Q1 2012Q3 Included observations: 39 Lag LogL LR FPE AIC SC HQ 173.5121 261.2525 291.6913 NA 139.4848 40.58514* 2.03e-10 8.37e-12 7.02e-12* -8.128824 -11.34628 -11.62520* -7.488993 -9.640065* -8.852595 -7.899258 -10.73411* -10.63041 * 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 VAR Lag Order Selection Criteria Endogenous variables: DRR DLCREDIT DLM2 DLGDP DLCPI Exogenous variables: C FFR DLOIL Date: 04/03/13 Time: 13:45 Sample: 2002Q1 2012Q3 Included observations: 39 Lag LogL LR FPE AIC SC HQ 176.3407 261.6250 288.6977 NA 135.5801* 36.09695 1.76e-10 8.21e-12 8.19e-12* -8.273881 -11.36538 -11.47168* -7.634050 -9.659166* -8.699073 -8.044315 -10.75321* -10.47689 * 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 86 SVTH: Ph o GVHD: TS Phan N Thanh Th y 2013 Ph l c 3: Ki nh tính nh c a mơ hình Roots of Characteristic Polynomial Endogenous variables: DBR DLCREDIT DLM2 DLGDP DLCPI Exogenous variables: C FFR DLOIL Lag specification: Date: 04/03/13 Time: 13:51 Root Modulus -0.933667 -0.033769 - 0.868818i -0.033769 + 0.868818i 0.646688 - 0.425455i 0.646688 + 0.425455i 0.033939 - 0.586513i 0.033939 + 0.586513i 0.484419 -0.421900 0.142399 0.933667 0.869474 0.869474 0.774091 0.774091 0.587494 0.587494 0.484419 0.421900 0.142399 No root lies outside the unit circle VAR satisfies the stability condition Roots of Characteristic Polynomial Endogenous variables: DRR DLCREDIT DLM2 DLGDP DLCPI Exogenous variables: C FFR DLOIL Lag specification: Date: 04/03/13 Time: 13:51 Root Modulus -0.946735 0.946735 -0.054182 - 0.870965i 0.872649 -0.054182 + 0.870965i 0.872649 0.533142 - 0.400498i 0.666812 0.533142 + 0.400498i 0.666812 0.179666 - 0.391343i 0.430614 0.179666 + 0.391343i 0.430614 0.424637 0.424637 -0.093885 - 0.306083i 0.320158 -0.093885 + 0.306083i 0.320158 No root lies outside the unit circle VAR satisfies the stability condition 87 SVTH: Ph o ... tài s n Kênh giá tr tài s n Tài s Kênh lãi su t mb o Kênh Kênh tín d ng T ng c u Kênh tín d ng Kuttner and Mosser (2 00 2) Theo Mishkin (1 99 5), CSTT Kênh lãi su t: Friedman & Schwarts (1 96 3) cho... n n n kinh t thông qua kênh lãi su t, kênh giá tr tài s n, kênh t giá h c bi t kênh tín d u ki n th ng tài cịn phát tri n ch c ta hiên kênh tín d ng th c s tr thành kênh truy n d ng CSTT quan... ng CSTT qua kênh tín d c vai trị c a kênh tín d ng Vi ch c a q trình truy n d n qua kênh tín d ng giúp nhà ho nh sách nhìn nh cv cịn t n t i t n ngh giúp công c u ti t ho ng t u qu kênh tín d ng