Mối quan hệ giữa các biến động mang tính chu kỳ của kinh tế vĩ mô, thị trường chứng khoán và giá dầu ở Việt Nam Luận văn thạc sĩ 2014

GIÁO D O I H C KINH T THÀNH PH - - VÕ TH TH O NGUYÊN LU TH H CHÍ MINH B GIÁO D O I H C KINH T THÀNH PH - H CHÍ MINH - VÕ TH TH O NGUYÊN Ngân hàng 60340201 LU L AN c a lu i dung c a lu t qu nghiên c u c ng d n khoa h c c a PGS TS Nguy n Th Ng c Trang Lu hi n hoàn t t m c l p, t thân T t c s li u trung th thu th p t ngu t y, k t qu nghiên c u có trích d c th c c c l y t ph n m m kinh ng, không chép t ngu n khác T t c tài li u tham kh lu is rõ ràng Tp H Chí Minh, tháng 11 c s d ng M CL C TRANG P T U 2 2.1 2.2 2.3 17 25 3.1 25 3.2 26 3.2.1 Bi 26 3.2.2 28 3.2.3 28 3.3 30 31 4.1 ên k t VECM 31 4.1.1 31 4.1.2 32 4.1.3 34 4.1.4 35 4.1.5 36 4.1.6 37 4.1.7 Phân r 4.2 4.2.1 4.2.2 40 43 K 43 51 62 ADF : Augmented Dickey-Fuller AIC : Akaike Information Criterion (Tiêu chu n thông tin Akaike) APT : BK : Baxter CF : Christian - Fitzgerald CPI : Consumer price index (Ch s giá tiêu dùng) ECM : Error Correction Model EIA : King ng) FPE GDP : Gross Domestic Product (T ng s n ph m qu c n i) GSO : General Statistics Office of Vietnam (T ng c c th ng kê Vi t Nam) HOSE : Ho Chi Minh Stock Exchange (S Giao d ch Ch ng khốn Thành ph H Chí Minh) HP : Hodrick-Prescott HQ : Hannan-Quinn information criterion (Tiêu chu n thông tin c a Hannan Quinn) IFS : International Financial Statistics (Th ng kê tài Qu c t ) IIP : Index Industry Products (Ch s s n xu t công nghi p) ISE : Istanbul Stock Exchange ( LR : Likelihood Ratio ) OECD : Organization for Economic Co-operation and Development (T ch c H p tác Phát tri n Kinh t ) PP : Phillips Perron SC : Schwarz information criterion (Tiêu chu n thông tin Schwarz) VAR : Vector AutoRegression VECM : Vector Error Correction Model WTI : West Texas Intermediate B ng 3.1 - Mơ t bi n mơ hình B ng 3.2 - Ki nh nghi theo tiêu chu n ADF PP B ng 4.1 - K t qu l a ch B ng 4.2 - Ki tr cho mô hình VECM ng liên k - ên k t B ng 4.4 - Ki nh nhân qu Granger - CM - ê mô - ê mô - Prescott King - Ki ng liên k Hodrick-Prescott - Ki ng liên k Baxter-King B ng 4.10 - K t qu l a ch tr drick-Prescott B ng 4.11 - K t qu l a ch tr -King - K t qu ki 3- nh tính nh c a hai mơ hình VAR v AR tr nh 4.1 - K t qu ki nh 4.2 - nh 4.3 - Phân giá tiêu dùng nh 4.4 - Phân VNIndex nh 4.5 - Phân s n xu t cơng nghi p - nh tính nh c a mơ hình VECM v tr Prescott - BaxterKing - VNIndex - - VNIndex - i quan h gi a ch s nghi p, th s n xu t cơng ng ch ng khốn giá d u th c hi n v i m t khuôn kh th VECM ên k t nghiên c u chu i d li u g c c s d ng n ki m tra m i quan h gi a thành ph n mang tính chu k c n m u c a nghiên c u t 06/2014 K t qu phân tích VECM cho th y giá d u th gi i có m chi u v i ch s giá tiêu dùng s n xu t công nghi p n ch s m c chi u v i Phân tích thành ph n mang tính chu k chi u gi a giá d u th m cho th y m t m i quan h ng ch ng khốn Ngồi ra, giá d u u v i ch s khốn có m th hi n m t , th c chi u v i ch s giá tiêu dùng c ng ch ng t qu mơ hình VECM Cu i cùng, k t qu c a thành ph n mang tính chu k khơng tìm th y m i quan h gi n xu t công nghi p th ng ch ng khốn T khóa: Các thành ph n mang tính chu k , VAR, Giá d u, Các ch s kinh t v mô, Th ng ch ng khốn U n hóa c chi m kho Ch s p k l c l ch s nh 1170 t m vào ngày 12/3/2007 Tuy nhiên, t cu hình kinh t th gi c có nhi u s bi li u, thiên tai, d ch b n nay, tình ng m nh m v t giá, nhiên c bi t nh ng bi ng c a th ng tài ng b i cu c kh ng ho ng tài th gi i có ngu n g c t kh ng ho ng tài l n n tình tr ng s t giá ch ng khoán m t giá ti n t quy mô nhi c th gi t Nam ng thông tin tiêu c c v kinh t s suy gi m c a ng không nh t i Vi t Nam Trong th i gian qua, p ph i nhi u khó kh m i quan h gi a y u t kinh t thách th c cv i , ng bi ng kinh t ng ng c a dòng ti l chi t kh u dòng ti n, m i quan h gi a giá c phi u bi n s kinh t thuy t kinh doanh chênh l ch giá nghiên c c n giá c phi u thông qua c nghiên c u r ng rãi Lý Ross ( có th Các y u t kinh t m phát, lãi su t, t giá h ng l c c a nh giá tài s n tồn c u mơ hình ho c nh ng nh ng kinh t ti n t n xu t, giá d u, Trong vài th p k bi n kinh t thành m t ch nghiên c u c h tr cho l p lu n r ng l i nhu n b nh ng b i thông báo kinh t m i quan h ng minh s t n t i c a gi a c l a ch n v i m t vài bi n s kinh t m i qu c gia Ngoài ra, tác gi ), ng ch ng quan tr ng r ng l i nhu n b ng b i ch s kinh t t, vi c làm lãi su t Ph n ng c c nh i bi n i quan h gi a th ng ch ng khoán s kinh t t ng qu bi n kinh t m t n n kinh t nh k th c ghi nh t Nam có th khác bi t n kinh t l ng ch Anh M c dù tri u so v ng phát tri n Vì v y, g n c ch n r t ng th gi i n th c c n s kinh t theo nh ng khác bi t gi a n n kinh t v t m quan tr ng c a ch s kinh t nghiên c u th gi i ng xem xét vai trò c a bi n toàn c u vi c gi i thích l i nhu n c a th M i quan h gi c nghiên c u r t i c M , Anh, Nh t B Giá d u m m t nh ng bi n s mang tính th gi c l a ch ch ng ki n m t s s n n kinh t toàn c u nh t Nh t bi n giá d u, m t ph a m t hàng chi t nh ng m thay th ch nhi u 62 K Trong nghiên c u xem xét m i quan h gi a ch s n xu t công nghi p, u, giá d u WTI t u v i d li u g c sau mang tính chu k , nh m ti n hành tách riêng thành ph n c phâ thành ph êng c c a chu k nh ng b ng ch ng m i b sung cho nghiên c t qu ên k t VECM cho th y s n xu t cơng nghi p ch s VNIndex có m t m c chi u v i ch s giá tiêu dùng dài h n C quan h c chi u ng th i k t qu c a mơ hình VECM y m t m i quan h chi u gi a ch s s n xu t công nghi p ch s VNIndex; m t m i quan h c chi u gi a ch s giá tiêu dùng ch s VNIndex s nh ng bi ng c a th ng ch Các thông s ng n h n cho th y khơng có b t k m i kinh t quan h th ng ch ng khoán kh giá d u; ngo i tr m i ng bi n gi a giá d u ch s giá tiêu dùng Theo mơ hình VAR, k t qu cho th y r ng th m t ng c chi u t ng ch ng khoán nh n D a phát hi n này, có th nh r ng thành ph n mang tính chu k c a giá d ph ng ch ph n mang tính chu k giá d u l i có m i quan h Các thành ph n mang tính chu k c a th n m t tác hành ng bi n v i ch s ng ch ng khoán ng âm lên ch s M c dù tác ng kê m nh m l Cu i cùng, k t qu c a thành ph n mang tính chu k khơng tìm th y m i quan h gi n xu t công nghi p th ng ch Phân rã 63 y m t t l ph n tr m ng ch ng khoán a th c b t ngu n t giá d u ch s ng th i, giá d u th gi i th l cao ng ch ng khốn Vi a ch s Nhìn chung, hai b k t qu mm tt t hai cách ti p c n: d ng d li u c a chu i g c VECM s d ng chu i thành ph n mang tính chu k , khơng th so sánh tr c ti p Tuy nhiên, sát th y m t s tính nh t quán k t qu C hai có th quan c rút t hai cách ti p c n ìm th y b ng ch ng c a m t m i quan h gi a giá d u, th ng ch ng khoán ch s Tuy nhiên, cách ti p c n VAR cho phép n m b t m i quan h a bi n t so v i k t qu VECM Diebold th hi thông qua bi ch t ph n ng c a m i bi n v i nh ng cú s bi n khác i u giúp nâng cao t m quan tr ng c a vi c ki m tra thành ph n mang tính chu k Nghiên c u có tr c c bi t xem xét thành ph n mang tính chu k d li u, mà Vi v i nh ng phát hi n nêu trên, nghiên c u êm nh ng k t qu có giá tr cho tài li u hi n có Ngồi nghiên c t quy mơ nh , n c th c hi n , ch không ph i ho c Anh, n n kinh t l bao g m c giá d u xu ng d c n m 2001 giá d u nghiêm tr ng n m 2007 - 2008 hay cú s c giá d u 2011 mong mu n k t qu c a nghiên c u ho vi c a, n t kh ng ho ng tác gi góp ph n h u ích h tr cho nhà nh sách, qu n lý tài chính, phân tích tài i phó v i nh ng bi m t n n kinh c nghiên c u r ng rãi kh nghiên c u s d ng d li u g kh ng ho ng d u m g n nh Cùng ng c a n n kinh t th ng ch ng 64 khoán K t qu c a có th d n câu h i nghiên c u khác câu tr l i Ví d c thêm vào mơ hình, ch ng h tình tr ng th t nghi t ph n m r ng thú v phân tích nghiên c m i n i b t tài li u kinh t c a nhà ho nh sách t t m cao cs Danh m c tài li u Ti ng Vi t , 2014 S phát tri n c a th khoán Vi i ng ch ng ng c a nhân t kinh t v mô , s 16 (26) - Tháng 05-06/2014, trang 3-10 Nguy n c Thành, Bùi Trinh, Nguyên Th ng, 2008 t ng giá x ng d u: M t s ng c a u T p chí Khoa h c Kinh doanh, s 25, trang 25-38 Nguy n Minh Ki u Nguy kinh t t th ng th p, 2013 Quan h gi a y u t ng ch ng khoán: b ng ch ng nghiên c u ng Vi t Nam T p chí Phát tri n Khoa h c Cơng ngh , s 16 Q 03/2013, trang 86-100 , 2013 Phân 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Evidence from Latin America Journal of International Financial Markets, Institutions and Money, 15:7387 72 Wongbangpo, P., Sharma, C.S., 2002 Stock market and macroeconomic fundamental dynamic interactions: ASEAS-5 countries Journal of Asian Economics, 13:27-51 PH L C PL K t qu mơ hình VECM Vector Error Correction Estimates Date: 11/13/14 Time: 19:51 Sample (adjusted): 2001M03 2014M06 Included observations: 160 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 CPI(-1) 1.000000 VNI(-1) -0.509569 (0.24403) [-2.08815] OIL(-1) 18.14086 (3.69595) [ 4.90831] IIP(-1) -1.833307 (0.50405) [-3.63715] C -642.3017 Error Correction: D(CPI) D(VNI) D(OIL) D(IIP) CointEq1 0.000559 (0.00027) [ 2.08257] 0.000613 (0.01394) [ 0.04394] -0.006236 (0.00162) [-3.83862] 0.006795 (0.00647) [ 1.05017] D(CPI(-1)) 0.644214 (0.06562) [ 9.81720] -3.492653 (3.40912) [-1.02450] 0.912170 (0.39723) [ 2.29634] -1.188162 (1.58226) [-0.75093] D(VNI(-1)) -0.000892 (0.00145) [-0.61497] 0.409878 (0.07533) [ 5.44138] -0.003480 (0.00878) [-0.39648] 0.009685 (0.03496) [ 0.27703] D(OIL(-1)) 0.055931 (0.01263) [ 4.42921] -0.054265 (0.65604) [-0.08272] 0.286552 (0.07644) [ 3.74867] 0.467286 (0.30448) [ 1.53469] D(IIP(-1)) -0.001184 (0.00273) [-0.43443] 0.077238 (0.14161) [ 0.54544] 0.008537 (0.01650) [ 0.51740] -0.566710 (0.06572) [-8.62270] C 0.441689 (0.10177) [ 4.34003] 5.121419 (5.28717) [ 0.96865] -0.805031 (0.61606) [-1.30675] 7.589102 (2.45391) [ 3.09266] 0.676128 0.665613 0.200354 0.174391 0.174406 0.147601 0.343979 0.322679 R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent 96.52117 0.791682 64.29936 -186.5972 2.407466 2.522785 1.259228 1.369072 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 260508.6 41.12924 7.717043 -818.6475 10.30809 10.42341 1.811095 45.26511 3536.868 4.792356 6.506489 -474.6960 6.008700 6.124019 0.483288 5.190721 56116.58 19.08909 16.14970 -695.8312 8.772890 8.888209 4.065933 23.19466 7628467 6546968 -2163.682 27.39602 27.93418 PL K t qu mơ hình VAR B l c HP Vector Autoregression Estimates Date: 11/14/14 Time: 02:02 Sample (adjusted): 2001M03 2014M06 Included observations: 160 after adjustments Standard errors in ( ) & t-statistics in [ ] HPCCPI HPCVNI HPCOIL HPCIIP HPCCPI(-1) 1.494850 (0.06991) [ 21.3819] 0.034104 (3.64076) [ 0.00937] 0.734510 (0.43248) [ 1.69836] 0.062037 (1.56636) [ 0.03961] HPCCPI(-2) -0.560681 (0.06787) [-8.26169] -1.531984 (3.53418) [-0.43348] -0.958064 (0.41982) [-2.28208] -1.053841 (1.52050) [-0.69309] HPCVNI(-1) -0.001286 (0.00144) [-0.89393] 1.297552 (0.07494) [ 17.3146] -0.007816 (0.00890) [-0.87796] -0.001385 (0.03224) [-0.04295] HPCVNI(-2) 0.000733 (0.00145) [ 0.50709] -0.416793 (0.07527) [-5.53760] 0.008543 (0.00894) [ 0.95553] -0.010421 (0.03238) [-0.32182] HPCOIL(-1) 0.059171 (0.01345) [ 4.39990] -0.438600 (0.70034) [-0.62626] 1.088789 (0.08319) [ 13.0875] 0.424904 (0.30131) [ 1.41020] HPCOIL(-2) -0.036718 (0.01333) [-2.75451] -0.020309 (0.69418) [-0.02926] -0.248852 (0.08246) [-3.01780] -0.314122 (0.29866) [-1.05178] HPCIIP(-1) -0.002679 (0.00339) [-0.79050] 0.014519 (0.17647) [ 0.08228] 0.015404 (0.02096) [ 0.73484] 0.103128 (0.07592) [ 1.35837] HPCIIP(-2) 0.001368 (0.00336) [ 0.40689] -0.074377 (0.17515) [-0.42466] -0.002455 (0.02081) [-0.11798] 0.348291 (0.07535) [ 4.62214] C -0.004366 (0.05863) [-0.07448] 0.252226 (3.05305) [ 0.08261] 0.044458 (0.36267) [ 0.12258] 0.134757 (1.31351) [ 0.10259] 0.975110 0.973791 82.82828 0.740629 739.4565 -174.3578 2.291973 2.464951 -0.020372 4.574850 0.905320 0.900304 224626.6 38.56934 180.4801 -806.7919 10.19740 10.37038 0.661324 122.1525 0.855872 0.848236 3169.666 4.581612 112.0849 -465.9268 5.936585 6.109563 -0.082686 11.76072 0.272451 0.233905 41577.65 16.59363 7.068255 -671.8417 8.510521 8.683500 -0.038014 18.95833 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 Schwarz criterion 4218675 3346601 -2109.997 26.82496 27.51688 B l c BK Vector Autoregression Estimates Date: 11/14/14 Time: 02:03 Sample (adjusted): 2001M09 2013M12 Included observations: 148 after adjustments Standard errors in ( ) & t-statistics in [ ] BKCCPI BKCVNI BKCOIL BKCIIP BKCCPI(-1) 1.776257 (0.04088) [ 43.4490] 1.694547 (2.03146) [ 0.83415] -0.024521 (0.24738) [-0.09912] 1.837263 (0.91406) [ 2.01000] BKCCPI(-2) -0.875521 (0.03972) [-22.0450] -2.029644 (1.97351) [-1.02844] -0.108857 (0.24032) [-0.45296] -2.090554 (0.88799) [-2.35426] BKCVNI(-1) -0.002949 (0.00084) [-3.49962] 1.661268 (0.04187) [ 39.6757] -0.019654 (0.00510) [-3.85456] 0.008579 (0.01884) [ 0.45535] BKCVNI(-2) 0.002393 (0.00085) [ 2.82712] -0.858537 (0.04206) [-20.4115] 0.015167 (0.00512) [ 2.96103] -0.012026 (0.01893) [-0.63544] BKCOIL(-1) 0.025846 (0.00878) 0.513046 (0.43631) 1.648723 (0.05313) -0.017393 (0.19632) [ 2.94367] [ 1.17588] [ 31.0310] [-0.08860] BKCOIL(-2) -0.022821 (0.00852) [-2.67960] -0.787808 (0.42320) [-1.86157] -0.811733 (0.05153) [-15.7512] -0.121870 (0.19042) [-0.64001] BKCIIP(-1) -0.002551 (0.00380) [-0.67082] 0.198787 (0.18898) [ 1.05190] 0.030178 (0.02301) [ 1.31136] 0.642113 (0.08503) [ 7.55148] BKCIIP(-2) 0.000524 (0.00387) [ 0.13555] -0.079778 (0.19225) [-0.41497] 0.026765 (0.02341) [ 1.14325] 0.033337 (0.08650) [ 0.38539] C -0.002055 (0.00361) [-0.56855] -0.024484 (0.17960) [-0.13633] 0.001704 (0.02187) [ 0.07793] -0.059337 (0.08081) [-0.73429] 0.988483 0.987820 0.262335 0.043443 1491.281 258.8125 -3.375845 -3.193582 -0.006400 0.393643 0.954963 0.952371 647.7726 2.158758 368.4197 -319.2511 4.435826 4.618089 -0.251939 9.891642 0.966105 0.964154 9.605967 0.262883 495.2353 -7.625644 0.224671 0.406934 -0.001995 1.388491 0.536887 0.510233 131.1465 0.971339 20.14284 -201.0565 2.838602 3.020865 -0.166470 1.387958 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 Schwarz criterion 0.000472 0.000368 -254.7799 3.929458 4.658510 ... ph n mang tính chu k s giá tiêu dùng HPC_IIP : thành ph n mang tính chu k HPC_OIL : thành ph n mang tính chu k n xu t công nghi p u HPC_VNI -King: BKC_CPI : thành ph n mang tính chu k s giá tiêu... HOSE mùa v 3.2.2 n mang tính chu k Nghiên c d ng thành ph n mang tính chu k c a bi ng thành ph n mang tính chu k l dài c - d - nh (BK) i x ng chi u l ch chu k n mang tính chu k ng c u th -Prescott:... chi ph i thành ph n mang tính chu k c a th ng ch ng khoán Hy L p i quan h gi a ch s kinh t giá d u d ng d li - giá h t y u t quy c phi u Giá ch ng khoán, giá d u t giá h Giá d c phi u S t nh