Mối quan hệ giữa lạm phát, lãi suất, tỷ giá Trường hợp nghiên cứu tại VN Chuyên đề tốt nghiệp- TP.HCM Trường Đại Học Kinh Tế,

M i Quan H Gi a L t, T ng h u t i Vi t Nam I H C KINH T H KHOA KINH T N N T T NGHI P M I QUAN H GI A L T, T NG H Gi Th c hi U T I VI T NAM ng d g : Nguy n Chung H ng Nam H c H 2012*** M i Quan H Gi a L t, T ng h u t i Vi t Nam L IC n ng g i l i c i h c Kinh t Tp.HCM ng g i l i c n th ng d a kinh t n ch Nguy n t th i gian th c t ng g i l i c u c hi y: Nguy n th c m c c (Khoa Kinh t c hi i h c Kinh t li c hi tr i quy ng M i Quan H Gi a L t, T ng h u t i Vi t Nam M CL C T I Gi i thi u n thi t c M u u u II N T t m a L b c t T an a u ki n ngang b b t Ngang b ng s c mua (PPP) 10 c Hi u ng Fisher 11 d e c n t 11 t B ba b t kh thi 12 13 a 13 b M i quan h gi a l t 14 c M i quan h gi a l 14 d III M i quan h gi a l M i quan h gi 15 u 15 M i Quan H Gi a L Gi thi t, T ng h u t i Vi t Nam u 15 li u 15 a d li u 15 b li u 16 u 16 a Ki b nh nghi (ki nh Phillips-Perron) 16 Ki 17 c 18 d 19 e Ki 20 IV K t qu 21 Ki nh nghi L a ch Ki VECM 22 tr t 21 21 t Johansen 22 a b V VECM1 23 VECM2 25 K t lu n .27 PH L C 29 B ng 1.a Ki nh nghi chu u c a bi n t B ng 1.b Ki nh nghi chu u c a bi B ng 1.c Ki nh nghi chu u c a bi n l 29 t 29 29 B ng 2.a Ki nh nghi chu c c a bi n t 32 B ng 2.b Ki nh nghi chu c c a bi t 32 M i Quan H Gi a L t, T ng h u t i Vi t Nam B ng 2.c Ki nh nghi chu c c a bi n l m 32 B ng tr t , FPE, AIC, SC, HQ 33 B ng 4.a K t qu ki B ng 4.b t Johansen 34 hi n m t 34 B ng K t qu h 35 B ng K t qu h .36 B ng 7.a K t qu ki nh Wald t t c s ng c a bi n i EC1 37 B ng 7.b K t qu ki nh Wald t t c s ng c a bi n inf EC1 37 B ng 8.a K t qu ki i chu n c a ph n 38 B ng 8.b ph K t qu ki i b ng ARCH-test 38 B ng 8.c K t qu ki i b ng BG-test ph n 38 B ng K t qu h .39 B ng 10.a K t qu ki nh Wald t t c s ng c a bi n .40 B ng 10.b K t qu ki nh Wald t t c s ng c a bi n 40 B ng 11.a B ng 11.b ph K t qu ki i chu n c a ph 41 K t qu ki i b ng ARCH-test 41 M i Quan H Gi a L B ng 11.c K t qu ki t, T ng h u t i Vi t Nam i b ng BG-test ph n 41 B ng 12 K t qu h .42 B ng 13 K t qu h .43 B ng 14.a K t qu ki nh Wald t t c s ng c a bi n i 44 B ng 14.b K t qu ki nh Wald t t c s ng c a bi n .44 B ng 15.a B ng 15.b ph K t qu ki i chu n c a ph 45 K t qu ki i b ng ARCH-test 45 B ng 15.c K t qu ki i b ng BG-test ph n 45 B ng 16 K t qu h .46 B ng 17.a K t qu ki m nh Wald t t c s c a bi n inf 47 B ng 17.b K t qu ki nh Wald t t c s c a bi n ex 47 B ng 18.a K t qu ki i chu n c a ph 48 B ng 18.b K t qu ki i ph a 48 B ng 18.c K t qu ki i ph a 48 U THAM KH O .49 M i Quan H Gi a L t, T ng h u t i Vi t Nam T t nh ng v nan gi t t xem Hi u i quy a n n kinh t Vi t qu ki su t k t qu h i quan h l qua l i l it ng su t th i k 1986t Nam t B ba b t kh thi c u tra m i quan h gi a ba ch s n Vi ng th i, ki m ch ng nt ng h p Vi t Nam qua th i k 1986t cho th t gi a l h i quy ba bi K t lu n h n, c ba bi n l n, t nc tv im ng n p c Vi t Nam c nh c k ng c nh M i Quan H Gi a L t, T ng h u t i Vi t Nam M I QUAN H GI A L T, T NG H U T I VI T NAM I Gi i thi u n thi t c t kinh t n kinh t x y l n t , c th t n n kinh t nh , m nt s thu u ch u ki nt nh t gi i quy B ba b t kh n kinh t Vi v nn nl a n n kinh t n n kinh t nh m nh t V hi u qu t kinh t cl gi i quy t ng cung c u ti n n i nh ng Qu c gia t, t s i nhau? M ur ? t nghi p i nh ng s li u h n ch (s III.2), mong mu su t t Vi t Nam M :l m m c i quan h gi a l u gia u m i quan h gi a ba ch s n 1986-2010 C th t, t i quan h c a ba ch s Vi t Nam n u i quan h gi a l Vi n 1986-2010 hay i quan h gi a l Vi t Nam n 1986-2010 hay i quan h gi Hi u Vi n 1986-2010 hay nt i nt i t Vi n 1986- Vi n 1986-2010 h u M i Quan H Gi a L t, T ng h ud n 1986-2010 Vi u t i Vi t Nam li u ba bi n l N Ph i thi u v c pm ts n II s nh c l m c thi d li n IV ng ph n m m Eviews v i s li u v ba ch s l m n 1986-2010 t qu ch t, t a Vi II T t m a L hi ng m t c theo th i gian (Mankiw, 2010) u ch s s ng l bi n nh %) m h c thu t ho lo i ch s : ch s l c, ch s b ch v n n kinh t c bi s ik s t s lo i ch s d n CPI lo n xu t (PPI), ng ph i (theo c gi i ng v i m i bi t t bi n nh i c a vi c s d ng v c c nh n xu n c a kinh t h ng v inh t t th i quan h gi a cung-c u v n n n kinh t m i quan h ti t ki il u v c a t th t ph n (a) m i c T T hi s c mua c a n i t so v i ngo i t t, t c T c M i Quan H Gi a L t, T ng h Er = E n ( V i Er c, En chung c a n n kinh t n a Trong Pw u t i Vi t Nam ) Pw ik s gi i, P nl T i ph gi t qu ti n ng v i i v i nhi u qu m i qu is d ng ti n (hay chu n ti n t v i Pw a m t qu t c sau: w Pw = V ijl c gia hay ic mb tr n n kinh t n t tr i c a qu c a n n kinh t n a v i j qu th j th Pj i l n nh ik ng nh m Wj i a qu c gia hay a u ki n ngang b & Parent, 2006) v i m t qu ph it Madura, 2010) b o hi m r i ro (cover) t (IRP) Lu t m ng, ph (Diebolt t gi a qu c gia s t i c ph i c a th gi i s b ng gi ng ti n c a qu c gia s t i so v i ng ti n c a qu c gia c ph i c a th gi i ( ; Diebolt & Parent, 2006; o hi m r i ro (uncovered) ho c ng t : = % ex = (CIRP) = % ex = (UIRP) = % ex = + (IRP t V t qu c gia s t nh ho c c a ph i c a th gi v ng ti n c a qu ) t c a m t qu gi ng ti n c a qu c gia s t i so c n ho c c a ph ic a M i Quan H Gi a L B ng 7.a s t, T K t qu ki nh Wald t t c ng c a bi n i EC1 Ki ng h u t i Vi t Nam B ng 7.b K t qu ki nh Wald t t c s ng c a bi n inf EC1 nh ph 37 M i Quan H Gi a L B ng 8.a t, T K t qu ki ng h u t i Vi t Nam i chu n c a ph B ng 8.b K t qu ki i b ng ARCH-test ph c i bi n ph thu B ng 8.c K t qu ki chu i b ng BG-test ph a i 38 M i Quan H Gi a L t, T (a) B ng Ki ng h u t i Vi t Nam (b) K t qu h nh h s 39 M i Quan H Gi a L t, T B ng 10.a K t qu ki nh Wald t t c s ng c a bi n ex EC2 Ki ng h u t i Vi t Nam B ng 10.b K t qu ki nh Wald t t c s ng c a bi n inf EC2 nh ph 40 M i Quan H Gi a L B ng 11.a K t qu ki t, T nh B ng 11.b K t qu ki i b ng ARCH-test ph c b th t cho bi ng h u t i Vi t Nam i chu n c a ph B ng 11.c K t qu ki quan chu i b ng BG-test ph c t: l t, t 41 M i Quan H Gi a L t, T ng h u t i Vi t Nam (b) (a) B ng 12 K t qu h i bi n ph thu inf 42 M i Quan H Gi a L t, T (a) B ng 13 Ki ng h u t i Vi t Nam (b) K t qu h nh h s 43 M i Quan H Gi a L t, T B ng 14.a K t qu ki nh Wald t t c s ng c a bi n i Ki ng h u t i Vi t Nam B ng 14.b K t qu ki nh Wald t t c s ng c a bi n ex nh ph 44 M i Quan H Gi a L B ng 15.a t, T K t qu ki ng h u t i Vi t Nam i chu n c a ph B ng 15.b K t qu ki i b ng ARCH-test ph c i bi n ph thu B ng 15.c K t qu ki quan chu i b ng BG-test ph c i 45 M i Quan H Gi a L t, T (a) B ng 16 Ki ng h u t i Vi t Nam (b) K t qu h nh h s 46 M i Quan H Gi a L B ng 17.a K t qu ki c s c a bi Ki t, T nh Wald t t ng h B ng 17.b K t qu ki c s c a bi u t i Vi t Nam nh Wald t t nh ph 47 M i Quan H Gi a L B ng 18.a K t qu ki B ng 18.b K t qu ki i ph EC2 t, T ng h u t i Vi t Nam i chu n c a ph B ng 18.c K t qu ki quan chu i ph 48 M i Quan H Gi a L t, T ng h U THAM KH O u t i Vi t Nam Abel, B.A, & Bernanke, S.B (2001) Macroeconomics (fourth ed.): Addison Wesley Longman, Inc Araujo, Aloisio, & Santos, Rafael (2007) Inflation Targeting, Credibility and Coordination Aspects Asari, Fadli Fizari Abu Hassan, Baharuddin, Nurul Syuhada, Jusoh, Nurmadihah, Mohamad, Zuraida, Shamsudin, Norazidah, & Jusoff, Kamaruzaman (2011) A Vector Error Correction Model (VECM) Approach in Explaining the Relationship between Interest Rate and Inflation Towards Exchange Rate Volatility in Malaysia World Applied Sciences, 12(Bolstering Economic Sustainability), 49-56 Kinh t ng i h c Kinh t Tp.HCM H Crowder, William J., & Hoffman, Dennis L (1996) The Long-Run Relationship between Nominal Interest Rates and Inflation: The fisher Equation Revisited Journal of Money, Credit and Banking, 28, 102-118 Dash, Pradyumna (2003) The Relationship between Interest Rate and Exchange Rate in India Working Paper Diebolt, Claude, & Parent, Antoine (2006) A Note on Jugar, Bonnet and the Intuition of the Interest Parity Ralation Working Paper Dixit, Avinash, & Skeath, Susan (2004) Games of Strategy New York: W.W.Norton & Company Engle, Robert F., & Granger, C.W.J (1987) Co-integration and Error Correction: Representation, Estimation, and Testing Econometrica, 55, 251-276 Gujarati, Damodar (2011) Econometrics by Examples China: Palgrave Macmillan Gul, Ekrem, & Ekinci, Aykbut (2006) The Causal Relationship between Nominal Interest Rates and Inflation: The Case of Turkey Scientific Journal of Administrative Development, 4, 54-69 Hossain, Sayed (2011) Instruction to Econometrics and Statistics Lecture Notes Collin College Hudson, John (2005) Phillips-Perron (PP) Unit Root Tests Lecture Notes University of Bath Madura, Jeff (2010) International Financial Management (Tenth ed.): South-Western Mahdi, Safdari, & Masood, Soleymani (2011) The Long Run Relationship between Interest Rates and Inflation in Iran: Revisiting Fisher's Hypothesis Journal of Economics and International Finance, 3(14), 705-712 Mankiw, Gregory N (2010) Macroeconomics (7 ed.) 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USA: Worth Publishers Nguy n, Tr D Li u Kinh T H tB n Th Obstfeld, Maurice, Shambaugh, Jay C., & Taylor, Alan M (2005) The Trilemma in History: Tradeoffs among Exchange Rates, Monetary Policies, and Capital Mobility The Review of Economics and Statistics, 87, 423-438 Time Series Econometrics: Causality Models Lecture i h c Kinh t Tp.HCM H Pindyck, Robert S., & Rubinfield, Daniel L (2009) Microeconomics (7 ed.) USA: Pearson Prentice Hall Uctum, Merih (2009) Multivariate Models III: Structural VARs Lecture Notes City University of New York Watson, Mark W (1994) Vector Autoregressions and Cointegration In R.F Engle & D.L McFadden (Eds.), Handbook of Econometrics (Vol 4): Elsevier Science 51 ... m c i quan h gi a l u gia u m i quan h gi a ba ch s n 1986-2010 C th t, t i quan h c a ba ch s Vi t Nam n u i quan h gi a l Vi n 1986-2010 hay i quan h gi a l Vi t Nam n 1986-2010 hay i quan h... n kinh t s l i ti p t c t a M i quan h gi a l 13 M i Quan H Gi a L ng quan h c h t, T ng h u t i Vi t Nam ng s (2011) s d gi i quan h gi a l ns ng t Malaysia K t qu : gi a ba bi n t i m i quan. .. ch ng m i quan h gi a t K t qu i quan h ngh ch chi m c th m t t lu d M i quan h gi h s d ng h gi Pakistan K t qu ns n chi u: ns u: quan h gi Dash (2003) s d K t qu quan h t i III i quan h c