Mối quan hệ giữa lạm phát và tăng trưởng kinh tế nghiên cứu thực nghiệm ở việt nam

B Chuyên ngành : Tài Ngân hàng : 60340201 LffiCAMDOAN Toi xin cam doan van "MOl QUAN Ht GIUA PilAT VA TANG TRUONG KINH TE : NGHIEN CUu TIIVC NGHI$M (J NAM" la cong trinh nghien c(ru cua chinh tac gia, n()i dung duqc due tir qua trinh hQC va cac thai gian qua, cac s6 trich ddn ro rang van duqc th\l'C hQc cua ThAy qua nghien CUu th\IC su d\}ng la trung thvc va c6 ngubn g6c dum S\1' hu6ng ddn khoa NgQc Dinh Tac gia van D!NGTHlHOA MUCLUC • • TRANG PH(/ BiA LOICAMDOAN Mf)CL(JC DANH Mf)C VIET TAT DANH Mf)C BANG DANH Mf)C HiNH Tom , C1lUiONG : GIOI TH!Jj;U vAn d€ " ' ap Ien M \IC t1eu va p huong p h' ngh'" cuu' 3 vi nghien cl:ru 4 y nghia cua d€ titi 5 K€t cAu de tai cHUaNG 2: cAc BANG CHUNG THT/C NGHIEM v.E M6I QUAN HE GIUA L4M PHAT VA TANG TRUONG KINH TE 2.1 Tfmg quan v€ 2.1.1 phat va tang truang kinh t€ phat 2.1.2 Tang truang kinh t€ : 2.1.3 Mbi quan gifra phat va tang truang kinh t€ 2.2 Khai quat nhfrng nghien cl:ru tru6c day 12 2.2.1 Cac bAng chirng thl,Ic chi mbi quan d6ng bi€n gifra phat va tang truang kinh t€ 12 2.2.2.Cac bAng chirng thl,Ic chi mbi quan nghich bi€n gifra phat va tang truang kinh t€ 13 2.2.3 Cac bAng chirng thl,lc phat va tang tnr6ng kinh chi m6i quan d6ng gifra 15 CHUONG 3: PHUONG PHAP NGHIEN CUu 24 3.1 Mo hinh 3.1.1 chinh sai s6 24 dinh d6ng lien 3.1.2 Mo hinh 1.3 25 chinh sai s6 ECM 25 djnh d6ng lien va ECM 26 1.4 ECM va S\I tac d9ng dai 2.2 Dfr 26 28 CHUONG : KET QUA NGHIEN c(!u 30 4.1 Th6ng ke mo ta va 4.2 djnh s6 tuang quan 24 dan vj 32 t6i uu 34 4.3 Ll,la chn bu6c 4.4 dinh d6ng lien 36 4.5 djnh m6i quan nhan qua Granger 38 4.6 Phan tich can bAng ngful Mo hinh ECM 40 qua mo hinh VECM 43 4.8 Phan phuang sai 43 4.9 Thao qua 46 CHUONG 5: KET LUJN VA KHUYEN NGH! 49 5.1 5.2 5.1 M9t s6 vfin cua nghien c(ru va huang nghien c(ru theo 49 nghi chinh sach 49 Danh ffi\IC cac tai Ph\11\IC nghien c(ru 49 kham khilO DANHMVCVIETTAT ADF: Augmented Dickey-Fuller Test- Ki€m dinh DF rna r()ng CPI: Chi s6 gia tieu dung ECM: Error Correction Model: Mo hinh chinh sai s6 GDP: Tfmg san phfun qu6c n()i GNP: T6ng san phfun qu6c dan IMF: Quy qu6c OLS:(Ordinary Least Square): Phuang phap binh phuang be nhftt PP test: Philips anh Perron Test- Phuang phap ki€m dinh PP VECM: Vector Error Correction Model - Mo hinh vee to VND: Dbng WB: Ngan hang Nam gioi chinh sai s6 DANH MVC BANG Bang 2.1: Tom tAt TAng quan cac nghien c(ru tru6'c day Bang 4.1.1: Cac gia tri th6ng ke mo tA Nam giai Bang 4.1.2: ty tang tru6ng va phat cua 1997 - 2013 s6 tuong quan giua tang tru6ng va Bang 4.2.1: Kiem dinh phat don vi Bang 4.3.1: L\fa chQn buac tre t6i uu Bang 4.4.1 Kiem dinh h6i qui d6ng lien ket Johansen cho GDP va CPI Bang 4.5.1 Ki€m dinh m6i quan nhan qua Granger giua GDP va CPI Bang 4.6.1: Ket qua kiem dinh mo hinh ECM Bang 4.8: Ket qua phan tich phan phuong sai DANH MVC HiNH Hinh 4a : Cac cua mo hinh V AR Db thi 4.8a: Phan UI1g phan Cholesky rror Correction Model) mơ hình VAR (Vector -0.307602 , t T phát 48 - - Nam - : , , n 49 Ngồi ra, n mơ 50 Khan t - C - - 51 - - : 52 : g 53 T , 54 55 DANH MVC cAc TAl KHAM KHAO Tiing Vift Trung Chinh, 2011 "Quan phan tich th\IC a giua phat va tang truemg qua Nam" Dt;ti hQc Ngot;ti thuong Phimg Thanh Binh (2013) unit roor tests, cointeration, ECM, VECM, and Causallity Models (ptbinh@ueh.edu.vn) Tiing Anh Bruno, M and W Easterly, 1998 "Inflation crises and long-run growth",Joumal of Monetary Economics, vol 41, pp 3-26 Den Haan, W and J Wouter, 2000 The comovement between output and prices J Monetary Econ., 46: 3-30 Faria, J R and F G Carneiro (2001) Does Inflation Affect Growth in the Long and Short run?, Journal of Applied Economic, Vol IV, No pp 89-105 Fisher, Stanley, eds., 1993: "The Role of Marcoeconomic Factors in Fisher, Stanley, eds., 1993: "The Role of Marcoeconomic Factors m Growth", Journal ofMonertary Economics, Vol32, 485-512 Gosh, A and Phillips, S (1998), "Warning: Inflation May Be harmful to your Growth", IMF StaffPapers, 45(4) Jen-Te Hwang and Ming-Jia Wu (2011) Inflation and EconomicGrowth in China: An Empirical Analysis China & World Economy Volume 19, Issue 5, pages 67-84, September-October 2011 Khan, Mohsin S and Abdelhak S Senhadji (200 1) Threshold Effects in the Relationship Between Inflation and Growth, IMF Staff Papers, Vol 48, No Kirmanoglu, H., 2001 Is inflation-growth tradeoff in the Turkish economy? Canadian Economic Association Conference Mallik, Girijasankar and Anis Chowdhury (200 1) Inflation and Economic Growth: Evidence from four South Asian Countri.es, Asia-Pacific Development Joumal,Vol 8, No pp 123-135 Mendoza, V.A., 2003 The Inflation-output volatility tradeoff and exchange rate shocks inMexico and Turkey Central Bank Rev., 3:27-51 Nell K S (2000) Is low inflation a precondition for faster growth? Department of Economics,Keynes College, University of Kent at Canterbury, Canterbury, Kent CT2 7NP, UK (Available http://www.kent.ac.uk/economics/papers/paperspdf/2000/00 11.pdt) Odhiambo, N (2011) Inflation Dynamics and Economic Growth in Tanzania A Multivariate Time Series Model, Journal of Applied Business research, Vol 28, No.3, pp 746-47 Omay, Tolga & ElifOznur Kan 2010 Re-examining the threshold effects in the inflation-growth nexus with cross-sectionally dependent non-linear panel: Evidence from six industrialized economies Economic Modelling 27(5): 9961005 Prakash Singh (20 10) Searching Threshold Inflation for India Economic Bulletin Volume 30, Issue Paul, S.C., Kearney, C and K Chowdhurry (1997) "Inflation and Economic Growth: A Multi-Country Empirical Analysis", Journal of Applied Economics, 29 Prasanna, S and Gopakumar, K (2010) An Empirical Analysis of Inflation and Economic Growth in India, International Journal of Sustainable Development, Vol 15, No.2 pp 4-5 Robert J Barro (2013) !nation and Economic Growth ANNALS OF ECONOMICS AND FINANCE 14-1, 85-109 (2013) Sarel, M., 1996 "Non-linear effects of inflation on economic growth" IMF Working StaffPapers, 43, 199-215 Sarel, M (1996) "Noulinear Effects of Inflation on Economic Growth", IMF StaffPaper, 43(1): 199-215 Umaru, A and A.A Zubairu (20 12) "Effect of Inflation on the Growth and Development of the Nigerian Economy: An Empirical Analysis", International Journal ofBusiness and Social Science, 3(1 0) Ph u Iuc Quy Q11997 Q2 1997 Q3 1997 Q4 1997 Q11998 Q2 1998 Q3 1998 Q4 1998 Q11999 Q2 1999 Q3 1999 Q4 1999 Q1 2000 Q2 2000 Q3 2000 Q4 2000 Q1 2001 Q2 2001 Q3 2001 Q4 2001 Q1 2002 Q2 2002 Q3 2002 Q4 2002 Ql 2003 Q2 2003 Q3 2003 Q4 2003 Q1 2004 Q2 2004 Q3 2004 n- r" tr GDP va CPI ' Chi s6 gia tieu dung (CPI)_k)' g6c 2005 26,894.00 29,347.00 30,785.00 31,362.00 36,101.00 40,698.00 53,265.00 69,747.00 50,992.00 70,240.00 61,964.00 73,076.00 54,453.00 73,610.00 66,811.00 78,792.00 58,368.00 78,637.00 71,589.00 83,941.00 62,213.00 84,173.00 76,681.00 90,180.00 66,441.00 89,610.00 82,902.00 97,289.00 71,080.00 95,954.00 89,537.00 T6ng san ;t J pham quoc ftan_Ty VNDtheo gia nam 1994 1.00 1.09 1.14 1.17 1.34 1.51 1.98 2.59 1.90 2.61 2.30 2.72 2.02 2.74 2.48 2.93 2.17 2.92 2.66 3.12 2.31 3.13 2.85 3.35 2.47 3.33 3.08 3.62 2.64 3.57 3.33 Chi sfi CPI quyv@ kY g6c 1995_Ql 0.00 0.09 0.14 0.15 0.29 0.41 0.68 0.95 0.64 0.96 0.83 1.00 0.71 1.01 0.91 1.07 0.77 1.07 0.98 1.14 0.84 1.14 1.05 1.21 0.90 1.20 1.13 1.29 0.97 1.27 1.20 Chis6 GDPquy v@ kY g6c 1995_Ql • 73.14 72.67 72.96 73.88 76.23 78.26 79.07 80.36 83.00 82.26 81.26 80.32 81.57 80.32 79.42 79.94 80.45 79.67 79.62 80.12 82.50 82.88 83.05 83.69 85.72 85.85 85.38 85.85 89.41 91.98 93.67 LNCPI LNGDP 1.00 0.99 1.00 1.01 1.04 1.07 1.08 1.10 1.13 1.12 1.11 1.10 1.12 1.10 1.09 1.09 1.10 1.09 1.09 1.10 1.13 1.13 1.14 1.14 1.17 1.17 1.17 1.17 1.22 1.26 1.28 0.0() -0 01 0.00 0.01 0.04 0.07 0.08 0.09 0.13 0.12 0.11 0.09 0.11 0.09 0.08 0.09 0.10 0.09 0.08 0.09 0.12 0.12 0.13 0.13 0.16 0.16 0.15 0.16 0.20 0.23 0.25 Q4 2004 Q1 2005 Q2 2005 Q3 2005 Q4 2005 Q1 2006 Q2 2006 Q3 2006 Q4 2006 Q1 2007 Q2 2007 Q3 2007 Q42007 Q12008 Q2 2008 Q3 2008 Q4 2008 Q12009 Q2 2009 Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 Q4 2013 105,864.00 76,371.00 103,670.00 97,829.00 115,161.00 81,984.00 111,361.00 106,416.00 125,612.00 88,263.00 120,257.00 115,706.00 137,217.00 94,901.00 127,257.00 123,195.00 144,480.00 97,865.00 132,888.00 129,581.00 156,232.00 103,672.00 141,243.00 139,172.00 167,522.00 109,313.00 149,305.00 147,690.00 177,765.00 145,767.00 157,878.00 160,912.00 105,327.00 139,670.00 140,625.00 150,246.00 170,230.00 3.94 2.84 3.85 3.64 4.28 3.05 4.14 3.96 4.67 3.28 4.47 4.30 5.10 3.53 4.73 4.58 5.37 3.64 4.94 4.82 5.81 3.85 5.25 5.17 6.23 4.06 5.55 5.49 6.61 5.42 5.87 5.98 3.92 5.19 5.23 5.59 6.33 1.37 1.04 1.35 1.29 1.45 1.11 1.42 1.38 1.54 1.19 1.50 1.46 1.63 1.26 1.55 1.52 1.68 1.29 1.60 1.57 1.76 1.35 1.66 1.64 1.83 1.40 1.71 1.70 1.89 1.69 1.77 1.79 1.37 1.65 1.65 1.72 1.85 94.35 97.50 99.39 100.75 102.37 105.58 106.73 107.99 109.24 112.49 114.59 117.26 120.88 130.93 142.67 149.78 149.37 151.27 152.24 153.41 156.24 162.61 165.12 166.58 173.18 183.42 197.11 204.12 207.51 212.64 214.01 215.61 221.96 228.64 230.11 231.10 231.35 1.29 1.33 1.36 1.38 1.40 1.44 1.46 1.48 1.49 1.54 1.57 1.60 1.65 1.79 1.95 2.05 2.04 2.07 2.08 2.10 2.14 2.22 2.26 2.28 2.37 2.51 2.69 2.79 2.84 2.91 2.93 2.95 3.03 3.13 3.15 3.16 3.16 0.25 0.29 0.31 0.32 0.34 0.37 0.38 0.39 0.40 0.-D 0.45 0.47 0.50 0.58 0.67 0.72 0.71 0.73 0.73 0.74 0.76 0.80 0.81 0.82 0.86 0.92 0.99 1.()3 1.04 1.07 1.07 1.08 1.11 1.14 1.15 1.15 1.15 Ph\11\lC : qua dinh VECM Vector Error Correction Estimates t Date: 09/20/14 Time: 19:50 Sample (adjusted): 68 Included observations: 63 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: LNGDP(-1) LNCPI(-1) c CointEq1 0.532504 -0.12465 [-4.27188] 1.033012 Error Correction: D(LNGDP) D(LNCPI) CointEq1 -0.411121 -0.09014 [-4.56092] 0.032842 -0.01076 [ 3.05238] D(LNGDP(-1)) -0.59551 -0.12029 [-4.95081] 0.028823 -0.01436 [ 2.00745] D(LNGDP(-2)) -0.368423 -0.13829 [-2.66410] 0.038983 -0.01651 [ 2.36156] D(LNGDP(-3)) -0.403872 -0.14598 [-2.76660] 0.013973 -0.01743 [ 0.80189] D(LNGDP(-4)) 0.08645 -0.014014 -0.12253 [ 0.70553] -0.01463 [-0.95812] D(LNCPI(-1)) -0.087729 -1.10552 [-0.07936] 0.9284 -0.13196 [ 7.03544] D(LNCPI(-2)) 1.76448 -1.50776 [ 1.17027] -0.394154 -0.17997 [-2.19005] D(LNCPI(-3)) 1.138095 -1.56129 [ 0.72895] -0.057944 -0.18636 [-0.31092] D(LNCPI(-4)) -0.883446 -1.19348 [-0.74023] 0.008119 -0.14246 [ 0.05699] c 0.020715 -0.02484 [ 0.83383] 0.007215 -0.00297 [ 2.43306] 0.818901 0.788149 0.657501 0.111381 26.62867 54.32385 -1.407106 -1.066926 0.024616 0.648057 0.588293 0.009368 0.013295 10.8436 188.2344 -5.658235 -5.318055 0.017623 0.241988 0.02072 R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion 2.10E-06 1.48E-06 243.955 -7.046191 ... v.E M6I QUAN HE GIUA L4M PHAT VA TANG TRUONG KINH TE 2.1 Tfmg quan v€ 2.1.1 phat va tang truang kinh t€ phat 2.1.2 Tang truang kinh t€ : 2.1.3 Mbi quan gifra... 2.2.2.Cac bAng chirng thl,Ic chi mbi quan nghich bi€n gifra phat va tang truang kinh t€ 13 2.2.3 Cac bAng chirng thl,lc phat va tang tnr6ng kinh chi m6i quan d6ng gifra 15 CHUONG... gifra phat va tang truang kinh t€ 2.2 Khai quat nhfrng nghien cl:ru tru6c day 12 2.2.1 Cac bAng chirng thl,Ic chi mbi quan d6ng bi€n gifra phat va tang truang kinh t€ 12 2.2.2.Cac