Mối quan hệ giữa biến động tỷ giá hối đoái và tăng trưởng kinh tế tại Việt Nam Luận văn thạc sĩ

B GIÁO D O I H C KINH T TP H H CHÍ MINH TH BÍCH TH O M I QUAN H GI A BI H NG T GIÁ NG KINH T T I VI T NAM LU C S KINH T TP H Chí Minh – Tháng 10/2014 B NG GIÁO D O I H C KINH T TP H H CHÍ MINH TH BÍCH TH O M I QUAN H GI A BI N H NG T GIÁ NG KINH T T I VI T NAM Chuyên ngành: Tài – Ngân hàng Mã s : 60340201 LU C S KINH T NG D N KHOA H C: TS HỒNG TH THU H NG TP H Chí Minh – Tháng 10/2014 L ng lu i quan h gi a bi ng t giá h ng kinh t t i Vi t Nam” cơng trình nghiên c u c a tác gi Các thơng tin d li c s d ng lu trung th c, n i dung trích d n u có ngu n g c rõ ràng k t qu trình bày lu t i b t k cơng trình nghiên c u khác Lu ccơng b c th c hi is d n khoa h c c a TS Hồng Th Thu H ng TP.HCM, n H c viên H Th Bích Th o ng M CL C TRANG PH BÌA L M CL C DANH M C CÁC T VI T T T 1 2.1 Khung lý thuy t: 2.2 T ng quan nghiên c u v m i quan h gi a t giá h ng kinh t .18 u .25 3.1 Mơ hình nghiên c u: .25 3.2 Ph m vi nghiên c u: 26 3.3 Mô t bi n: .27 K t qu ki nh m i liên h gi a ch t giá h n tài t i Vi t Nam: 35 4.1 ng kinh t bi ng t giá h ic a Reinhart Rogoff (RR1) 35 4.2 ng kinh t bi giá h c có hi u l c (RR2) 37 4.3 ng kinh t bi gi a t giá h ng t giá h ng t giá h bi ng c a t ch i th c có hi u l c t giá d báo (RR3) .39 4.4 V n i sinh .42 K t lu n 44 PH L C B t giá theo phân lo i c a IMF B ng 3.1: Th ng kê mô t bi n B ng 3.2: Ma tr n h s B ng 3.3 Ki nh tính d ng c a chu i d li u B ng 4.1 ng kinh t bi ng t giá h ic a Reinhart Rogoff B ng 4.2 ng kinh t bi giá h bi ng c a t c có hi u l c B ng 4.3 h ng t giá h ng kinh t bi ng t giá h ch gi a t giá c có hi u l c t giá d báo B thành, 2013 ài Vi ch c DANH M C CÁC T VI T T T FDI (Foreign direct investment) c ti c FED (Federal Reserve): C c d tr Liên bang M GDP (Gross domestic product): T ng s n ph m qu c n i IMF (International Monetary Fund): Qu ti n t qu c t NEER (Nominal effective exchange rate): T giá h hi u l c c i OER (Official Exchange Rate): T giá th REER (Real effective exchange rate): T giá h WEF (World Economic Forum): Di n WB (World Bank): Ngân hàng th gi i c th ng nh t c có hi u l c th gi i Các lý thuy t v ng t giá h giá h u cho th y r ng ch t ng c a m t qu c gia, tr c ti p thông i v i vi c n y u t khác c u ch nh cú s c, gián ti ng ng Tuy nhiên, th c t có nghiên c u th c nghi m v m i quan h gi a sách t giá h ng kinh t ng h p c a m t qu c gia c th Bài nghiên c u nghiên c ch t giá h c th hi linh ho t/bi ng h p c a Vi c a y u t phát tri n tài ng c a ng t giá h i u ki n có m t Vi t Nam Bài nghiên c u nh m tr l i câu h i: M linh ho t c a t giá h ng th ng kinh t t i Vi t Nam? Bi ng t giá h nh giá cao t giá th ng th n ng kinh t ? M phát tri n tài có vai trị nh m i quan h k trên? Mô hình c s d ng ình GMM nh m kh c ph c nh ng h n ch c a i quy OLS V i nghiên c u này, tác gi tri n tài (i) Ch (ii) (iii) linh ho t/bi t giá h ng t giá c có hi u l c (REER); M nh b ng chênh l ch c a c có hi u l c so v i giá tr d Cùng v i b bi n công c xem li u bi phát tri n nh theo ba cách theo phân lo i c a Reinhart Rogoff (2004); l ch chu n c a t giá h t giá h kinh t n phát a ng t cho th y Vi t Nam thu m c th p, m t sách t giá h ng c có th ng tài nh h tr t ng c a Vi t Nam th i gian qua r t quan tr ng m i qua h gi a bi ng th i vai trò c a th ng t giá h kinh t , n u Vi t Nam phát tri n v tài s ch u b i bi ng v t giá có th gây ng tài ng ng tiêu c c M t câu h i quan tr ng c a kinh t qu c t li u sách t giá h ng kinh t C lý thuy t v t giá h ng u cho th y r ng sách t giá h m ng c a c, tr c ti i v i vi gián ti u ch nh cú s c, n y u t quan tr ng c M c dù hi ng c vai trò trung tâm c a ch ng t giá h iv nh kinh t dài h n, có s ch d n nghiên c u th c nghi t v t giá h c có th y u t p trung xây d ng ng phát tri n (ví d Garber Svensson 1995, Obstfeld Rogoff 1996) ý có nghiên c u th c nghi m v m i quan h tr c ti p gi a sách t giá h ng kinh t u ki n c th c a m t qu c gia Vi t Nam, th i gian qua, v i s b t n c a n n kinh t th gi i, t giá h i ng kinh t tình hình Chính ph ã m cc t m c tiêu u t giá h u bi c ng dài h n V i i hi c l a ch n ng n hi u qu c a n n kinh t ? Nghiên c u mong mu n tìm m i quan h gi a bi ng t giá h M c tiêu nghiên c u v ng kinh t t i Vi t Nam nghiên c u: T nghiên c u th c nghi m, vi t mong mu n làm rõ s ng t giá h nt ng s ng c a bi n ng có m t c a y u t phát tri n tài chính.Tác gi ti n hành xem xét li u s phát tri n tài c a Vi t Nam n m i quan h gi a c a ch t giá m c tiêu t Bài nghiên c u t p trung gi i quy t câu h i sau: linh ho t/bi ng ng kinh t dài h n hay không - Ghosh et al (1997) Does the Nominal Exchange Rate Regime Matter, NBER Working Paper No 5874 - Ghosh, Gulde Wolf (2003) Exchange rate regimes: choices and consequences, volume 1, Massachusetts Institute of Technology Goldberg Kolstad (1995), Foreign direct Investment, exchange rates variability and demand uncertainty, International Economic Review 36(4) Husain, Mody, Rogoff (2005) Exchange Rate Regime Durability and Performance in Developing Versus Advanced Economies, Journal of Monetary Economics, v52, 35-64 - - - - - Klaus Schwab (2004) The Global Competitiveness Report 2014–2015, World Economic Forum Lassana Yougbaré (2008) Exchange Rate Regimes, Growth and Volatility: an Empirical Reappraisal, Center for Studies and Research on International Development (CERDI) - CNRS and Universtity of Auvergne Juhn and Mauro (2002) Long-Run Determinants of Exchange Rate Regimes A Simple Sensitivity Analysis, IMF Working Paper No 02/104 Levy-Yeyati Strurzenegger (2003), To float or to fix: evidence on the impact of exchange rate regimes on growth, The American Economic Review, Vol 93, No 4, pp 1173-1193 Liu Adedeji (2000) Determinants of Inflation in the Islamic Republic of IranA Macroeconomic analysis, IMF Working WP/00/127 Nguyen Tran Phuc (2009) Implications of Exchange Rate Policy for Foreign Exchange Market Development: Vietnam, 1986-2008, Griffen University, Australia Obstfeld and Rogoff (1995) The mirage of fixed exchange rates, Journal of Economic Perspectives, Volume 9, #4, pp 73-96 Quirk (1994) Fixed or Floating Exchange Regimes: Does It Matter for Inflation, IMF Working Paper No 94/134 - Assaf Razin, Yona Rubinstein (2005) Evaluation of Currency Regimes: The Unique Role of Sudden Stops, NBER Working Paper No 11785 - Reinhart and Rogoff (2004) The Modern History of Exchange Rate Arrangements: A Reinterpretation, The Quarterly Journal of Economics, MIT Press, vol 119(1), pages 1-48 - Rogoff et al (2004) Evolution and performance of exchange rates regimes International Monetary Fund, Occasional Paper 229 - Siklos (1996) Inflation Target Design: Changing Inflation Performance and Persistence in Industrial Countries, Federal Reserve Bank of St Louis Review Tavlas, Dellas, Stockman (2008) The classification anf performance of alternative exchange-rate systems, Bank of Greece Thi Hong Hanh Pham, Thinh Duc Nguyen (2013) Foreign Direct Investment, Exports and Real Exchange Rate Linkages: Vietnam Evidence from a Cointegration Approach, Journal of Southeast Asian Economies , Vol 30, No.3 - - - - Urata and Kawai (2000) The determinants of the location of foreign direct investment by Japanese small and medium-sized enterprises, Small Business Economics, Volume 15, Issue 2, pp 79-103 Urata, Kiyota (2004) Exchange Rate, Exchange Rate Volatility and Foreign Direct, The World Economy, Volume 27, Issue 10, pages 1501–1536, Vo Tri Thanh et al (2000) Exchange Rate Arrangement in Vietnam: Information Content and Policy Options, East Asian Development Network (EADN), Individual Research Project Các website: www.worldbank.org www.imf.org www.sbv.gov.vn www.gso.gov.vn www.reinhartandrogoff.com www.vneconomy.vn www.cafef.vn http://www.bruegel.org PH L C Ki a) Y: nh tính d ng c a chu i d li u: ng GDP bình quân i Null Hypothesis: Y has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -2.157669 -3.788030 -3.012363 -2.646119 0.2261 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(Y) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -4.283176 -3.808546 -3.020686 -2.650413 0.0036 *MacKinnon (1996) one-sided p-values b) FD: Phát tri n tài Null Hypothesis: FD has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -1.220389 -3.788030 -3.012363 -2.646119 0.6454 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(FD) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values Prob.* -4.107271 -3.808546 -3.020686 -2.650413 0.0053 c) RR1: t Rogoff Null Hypothesis: RR1 has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -5.077208 -3.788030 -3.012363 -2.646119 0.0006 *MacKinnon (1996) one-sided p-values d) RR2: bi Null Hypothesis: RR2 has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -4.158405 -3.788030 -3.012363 -2.646119 0.0045 *MacKinnon (1996) one-sided p-values e) RR3: m nh giá m c t giá th c có hi u l c Null Hypothesis: RR3 has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -2.187092 -3.788030 -3.012363 -2.646119 0.2162 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(RR3) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values Prob.* -3.984268 -3.808546 -3.020686 -2.650413 0.0069 f) INF: L Null Hypothesis: CPI has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -7.735199 -3.788030 -3.012363 -2.646119 0.0000 *MacKinnon (1996) one-sided p-values g) GB: chi tiêu ph Null Hypothesis: GB has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -2.544722 -3.808546 -3.020686 -2.650413 0.1206 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(GB) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -4.228641 -3.808546 -3.020686 -2.650413 0.0041 *MacKinnon (1996) one-sided p-values h) EDU: Giáo d c Null Hypothesis: EDU has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values -2.65134 -3.80855 -3.02069 -2.65041 Prob.* 0.0998 i) m i Null Hypothesis: TRADE has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level -1.09884 -3.78803 -3.01236 -2.64612 Prob.* 0.6962 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(TRADE) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) tStatistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level 3.27323 3.83151 3.02997 2.65519 Prob.* 0.0311 *MacKinnon (1996) one-sided p-values j) FDI Null Hypothesis: FDI has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values -2.06885 -3.80855 -3.02069 -2.65041 Prob.* 0.258 Null Hypothesis: D(FDI) has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=4) tStatistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values 3.73039 3.80855 3.02069 2.65041 Prob.* 0.0118 Các k t qu h i quy a) B ng k t qu h i quy t ho t t giá h ng GDP bình quân i c a Reinhart Rogoff (2001) Dependent Variable: Y Method: Generalized Method of Moments Date: 10/24/14 Time: 16:36 Sample (adjusted): 1993 2013 Included observations: 21 after adjustments Linear estimation with weight updates Estimation weighting matrix: White Standard errors & covariance computed using estimation weighting Matrix Instrument specification: Y Y(-1) C C(-1) FD FD(-1) RR1 RR1(-1) INF INF(-1) GB GB(-1) EDU EDU(-1) TRADE TRADE(-1) FDI FDI(-1) Variable Coefficient Std Error t-Statistic Prob C 1.455746 0.872719 1.668059 0.1212 Y(-1) 0.420637 0.132142 3.183215 0.0079 FD 0.135766 0.172122 0.788775 0.4455 RR1 -0.245674 0.466555 -0.526571 0.6081 INF -1.049071 0.391655 -2.678561 0.0201 GB -1.041880 0.485086 -2.147826 0.0528 EDU 3.999889 1.488115 2.687890 0.0197 TRADE 0.162067 0.353187 0.458872 0.6545 FDI 0.064306 0.123472 0.520815 0.6120 R-squared 0.498219 Mean dependent var -1.269591 Adjusted R-squared 0.163698 S.D dependent var 0.096704 S.E of regression 0.088436 Sum squared resid 0.093850 Durbin-Watson stat 2.124186 J-statistic 9.906934 Instrument rank 17 Prob(J-statistic) 0.271619 linh Dependent Variable: Y Method: Generalized Method of Moments Date: 10/24/14 Time: 18:26 Sample (adjusted): 1993 2013 Included observations: 21 after adjustments Linear estimation with weight updates Estimation weighting matrix: White Standard errors & covariance computed using estimation weighting Matrix Instrument specification: Y Y(-1) C C(-1) FD FD(-1) RR1 RR1(-1) FD *RR1 FD(-1)*RR1(-1) INF INF(-1) GB GB(-1) EDU EDU(-1) TRADE TRADE(-1) FDI FDI(-1) Variable Coefficient Std Error t-Statistic Prob C 2.931411 1.103995 2.655274 0.0224 Y(-1) 0.209743 0.126784 1.654331 0.1263 FD 0.830968 0.221923 3.744395 0.0032 RR1 -0.643230 0.163054 -3.944904 0.0023 FD*RR1 1.986042 0.637482 3.115446 0.0098 INF -1.342104 0.509430 -2.634522 0.0232 GB -0.711204 0.435859 -1.631727 0.1310 EDU 4.522310 1.225864 3.689080 0.0036 TRADE 0.278437 0.318232 0.874949 0.4003 FDI 0.131100 0.104314 1.256779 0.2349 R-squared 0.573429 Mean dependent var -1.269591 Adjusted R-squared 0.224417 S.D dependent var 0.096704 S.E of regression 0.085165 Sum squared resid 0.079783 Durbin-Watson stat 1.825813 J-statistic 12.81472 Instrument rank 19 Prob(J-statistic) 0.171171 Wald Test: Equation: HOIQUYRR1 Test Statistic Value df Probability F-statistic 16.71312 (2, 11) 0.0005 Chi-square 33.42624 0.0000 Null Hypothesis: C(4)=0, C(5)=0 Null Hypothesis Summary: Normalized Restriction (= 0) Value Std Err C(4) 0.643230 0.163054 C(5) 1.986042 0.637482 Restrictions are linear in coefficients Wald Test: Equation: HOIQUYRR1 Test Statistic Value df F-statistic 7.247221 (2, 11) Chi-square 14.49444 Null Hypothesis: C(3)=0, C(5)=0 Null Hypothesis Summary: Normalized Restriction (= 0) Value C(3) -0.830968 C(5) 1.986042 Restrictions are linear in coefficients b) Bi ng t giá tính theo bi ng t giá h Probability 0.0098 0.0007 Std Err 0.221923 0.637482 c có hi u l c Dependent Variable: Y Method: Generalized Method of Moments Date: 10/24/14 Time: 20:47 Sample (adjusted): 1993 2013 Included observations: 21 after adjustments Linear estimation with weight updates Estimation weighting matrix: White Standard errors & covariance computed using estimation weighting Matrix Instrument specification: Y Y(-1) C C(-1) FD FD(-1) RR2 RR2(-1) INF INF(-1) GB GB(-1) EDU EDU(-1) TRADE TRADE(-1) FDI FDI(-1) Variable C Y(-1) FD RR2 INF GB EDU TRADE FDI R-squared Adjusted R-squared S.E of regression Durbin-Watson stat Instrument rank Coefficient 2.218261 0.266116 0.006084 -1.707918 -1.474787 -1.136698 4.532396 0.307298 0.156468 0.638549 0.397582 0.075058 2.032501 17 Std Error t-Statistic 1.280139 1.732828 0.155325 1.713289 0.125241 0.048580 0.385681 -4.428319 0.461464 -3.195888 0.291543 -3.898901 0.657052 6.898077 0.225524 1.362593 0.052112 3.002534 Mean dependent var S.D dependent var Sum squared resid J-statistic Prob(J-statistic) Prob 0.1087 0.1124 0.9621 0.0008 0.0077 0.0021 0.0000 0.1980 0.0110 -1.269591 0.096704 0.067604 8.899206 0.350870 Dependent Variable: Y Method: Generalized Method of Moments Date: 10/24/14 Time: 20:42 Sample (adjusted): 1993 2013 Included observations: 21 after adjustments Linear estimation with weight updates Estimation weighting matrix: White Standard errors & covariance computed using estimation weighting Matrix Instrument specification: Y Y(-1) C C(-1) FD FD(-1) RR2 RR2(-1) FD *RR2 FD(-1)*RR2(-1) INF INF(-1) GB GB(-1) EDU EDU(-1) TRADE TRADE(-1) FDI FDI(-1) Variable C Y(-1) FD RR2 FD*RR2 INF GB EDU TRADE FDI R-squared Adjusted R-squared S.E of regression Durbin-Watson stat Instrument rank Coefficient 2.892068 0.278643 -0.110822 -0.739743 1.216174 -1.746651 -1.013184 5.233016 0.209888 0.204010 0.632024 0.330953 0.079099 2.052802 19 Std Error t-Statistic 0.860103 3.362465 0.146284 1.904810 0.144700 -0.765877 0.268233 -2.757835 0.711726 1.808766 0.239157 -7.303355 0.340031 -2.979679 0.517182 10.11833 0.328957 0.638041 0.084880 2.403510 Mean dependent var S.D dependent var Sum squared resid J-statistic Prob(J-statistic) Prob 0.0063 0.0833 0.4599 0.0186 0.0955 0.0000 0.0125 0.0000 0.5365 0.0350 -1.269591 0.096704 0.068824 9.918523 0.357121 Wald Test: Equation: HOIQUYRR2KEP Test Statistic Value df Probability F-statistic 10.21493 (2, 11) 0.0031 Chi-square 20.42986 0.0000 Null Hypothesis: C(4)=0, C(5)=0 Null Hypothesis Summary: Normalized Restriction (= 0) Value Std Err C(4) -0.739743 0.268233 C(5) 1.216174 0.711726 Restrictions are linear in coefficients Wald Test: Equation: HOIQUYRR2KEP Test Statistic Value df Probability F-statistic 2.716870 (2, 11) 0.0848 Chi-square 3.915575 0.1412 Null Hypothesis: C(3)=0, C(5)=0 Null Hypothesis Summary: Normalized Restriction (= 0) Value Std Err C(3) -0.110822 0.144700 C(5) 1.216174 0.711726 Restrictions are linear in coefficients c) Chênh l ch gi a t giá d i t giá h c có hi u l c: Dependent Variable: Y Method: Generalized Method of Moments Date: 10/25/14 Time: 00:48 Sample (adjusted): 1993 2013 Included observations: 21 after adjustments Linear estimation with weight updates Estimation weighting matrix: White Standard errors & covariance computed using estimation weighting Matrix Instrument specification: Y C C(-1) Y(-1) FD FD(-1) RR3 RR3(-1) INF INF(-1) GB GB(-1) EDU EDU(-1) TRADE TRADE(-1) FDI FDI(-1) Variable Coefficient Std Error t-Statistic Prob C 4.001417 0.795402 5.030688 0.0003 Y(-1) 0.072181 0.108289 0.666560 0.5177 FD 0.388822 0.088172 4.409808 0.0009 RR3 -2.443454 0.271932 -8.985536 0.0000 INF -1.777797 0.250557 -7.095380 0.0000 GB -0.752154 0.332361 -2.263065 0.0430 EDU 5.809694 0.566412 10.25701 0.0000 TRADE 0.020043 0.112223 0.178598 0.8612 FDI 0.057547 0.079192 0.726671 0.4814 R-squared 0.737915 Mean dependent var -1.269591 Adjusted R-squared 0.563191 S.D dependent var 0.096704 S.E of regression 0.063913 Sum squared resid 0.049019 Durbin-Watson stat 1.962032 J-statistic 7.556853 Instrument rank 17 Prob(J-statistic) 0.477908 Dependent Variable: Y Method: Generalized Method of Moments Date: 10/25/14 Time: 00:47 Sample (adjusted): 1993 2013 Included observations: 21 after adjustments Linear estimation with weight updates Estimation weighting matrix: White Standard errors & covariance computed using estimation weighting Matrix Instrument specification: Y C C(-1) Y(-1) FD FD(-1) RR3 RR3(-1) FD*RR3 FD(-1)*RR3(-1) INF INF(-1) GB GB(-1) EDU EDU(-1) TRADE TRADE(-1) FDI FDI(-1) Variable C Y(-1) FD RR3 FD*RR3 INF GB EDU TRADE FDI R-squared Adjusted R-squared S.E of regression Durbin-Watson stat Instrument rank Coefficient 4.236939 0.018819 0.091884 -0.534306 3.497150 -1.758947 -0.304920 4.889736 0.603269 0.092129 0.817465 0.668117 0.055711 2.157741 19 Std Error t-Statistic 1.017454 4.164256 0.057306 0.328387 0.154685 0.594008 0.443028 -1.206032 0.797390 4.385746 0.470802 -3.736063 0.130984 -2.327921 0.579951 8.431287 0.257872 2.339416 0.078708 1.170507 Mean dependent var S.D dependent var Sum squared resid J-statistic Prob(J-statistic) Wald Test: Equation: HOIQUYRR3KEP Test Statistic Value df F-statistic 350.1115 (2, 11) Chi-square 700.2229 Null Hypothesis: C(4)=0, C(5)=0 Null Hypothesis Summary: Normalized Restriction (= 0) Value C(4) 0.534306 C(5) -3.497150 Restrictions are linear in coefficients Prob 0.0016 0.7488 0.5645 0.2531 0.0011 0.0033 0.0400 0.0000 0.0392 0.2665 -1.269591 0.096704 0.034140 11.49598 0.243237 Probability 0.0000 0.0000 Std Err 0.443028 0.797390 Wald Test: Equation: HOIQUYRR3KEP Test Statistic Value F-statistic 79.58555 Chi-square 159.1711 df (2, 11) Probability 0.0000 0.0000 Null Hypothesis: C(3)=0, C(5)=0 Null Hypothesis Summary: Normalized Restriction (= 0) Value C(3) -0.091884 C(5) -3.497150 Restrictions are linear in coefficients Std Err 0.154685 0.797390 Ngu n: World Bank, T ng c c th ng kê tính tốn c a tác gi H i quy m ên h bi t giá h l Dependent Variable: L m phát Method: Least Squares Sample (adjusted): 1993 2013 Included observations: 21 after adjustments Variable Coefficient Std Error t-Statistic Prob C Bi ng REER L m phát (-1) 1.782711 0.302537 0.116918 0.242623 0.214900 0.120959 7.347668 1.407807 0.966592 0.0000 0.1762 0.3466 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.270967 0.189964 0.021257 0.008134 52.69296 3.345127 0.058173 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 2.032383 0.023619 -4.732663 -4.583445 -4.700279 2.018439 Ngu n: World Bank, T ng c c th ng kê tính tốn c a tác gi X p h ng ch s phát tri n tài c c Ngu n: The Financial Development Report 2012 – World Economic Forum ... s c 2.2 T ng quan nghiên c u v m i quan h gi a t giá h ng kinh t Ch n ch t giá c ng phái cho r ng ch l p lu n v i ch nh hay ch t giá th n i t t cho n n kinh t ? t giá c t giá c ng kinh t nh s... kê m c t giá phát tri n tài có quan iv i ng c u cho th y s Vi t Nam ph thu c vào m ng kinh t , n n kinh t linh ho t t giá h ng c a ch t giá h phát tri n tài c a n n kinh 36 B ng 4.1 ng kinh t bi... ng 4.1 ng kinh t bi ng t giá h ic a Reinhart Rogoff B ng 4.2 ng kinh t bi giá h bi ng c a t c có hi u l c B ng 4.3 h ng t giá h ng kinh t bi ng t giá h ch gi a t giá c có hi u l c t giá d báo