ĐO LƯỜNG MỨC ĐỘ TRUYỀN DẪN TỶ GIÁ HỐI ĐOÁI ĐẾN LẠM PHÁT NGHIÊN CỨU THỰC NGHIỆM TỪ BỐN QUỐC GIA CHÂU Á LUẬN VĂN THẠC SĨ.PDF

O HCM - NGUY LÝ THIÊN GIA CHÂU Á TP.H Chí Minh N 2014 O HCM - Chuyên ngành: Tài Ngân hàng 201 NG TP.H Chí Minh N 2014 L tài ng m truy n d n t giá h l m phát Nghiên c u th c nghi m t i b c uc is li u, k t qu nêu lu c Châu Á ng d n c n tài nghiên ng d n khoa h c Các s c có ngu n g c rõ ràng ng l th t Tp.HCM, ngày 10 tháng 07 Tác gi NGUY M CL C Trang Trang ph bìa L M c l c Danh m c t vi t t t Danh m c b ng bi u Tóm t t L im u GI I THI U 1.1.D t v 1.2.M c tiêu nghiên c u 1.2.1.M c tiêu nghiên c u 1.2.2.Câu h i nghiên c u 1.3.Ph m vi nghiên c u u mm ic 1.6.K t c u c tài tài NG QUAN CÁC NGHIÊN C U m nghiên c 2.1.1.Th truy n d n t giá h truy n d n c a t giá h c 10 2.1.3.Nguyên nhân làm cho hi u ng ERPT khơng hồn tồn 11 2.2.T ng quan nghiên c 13 2.2.1.Các nghiên c u th gi i 13 2.2.2.Các nghiên c u Vi t Nam 17 2.3.T ng h p k t qu nghiên c u th c nghi m 21 U 25 d li u 25 3.2.Mơ hình nghiên c u 26 3.2.1.Mô t bi n 26 3.2.2.Mơ hình nghiên c u 27 nh mơ hình 30 3.3.1.Ki nh tính d ng 30 3.3.2.L a ch 3.3.3.Ki tr t 31 nh nhân qu Granger 31 nh mơ hình VAR rút g n 32 3.3.5.Ki m tra tính nh c a mơ hình 33 3.3.6.Hàm ph n 33 LI U VÀ K T QU NGHIÊN C U 35 4.1.Ki nh tính d ng 35 tr t 37 4.3.Ki ng liên k t 38 4.4.Ki nh nhân qu Granger 41 4.5.K t qu ng mơ hình SVAR 43 T LU N 58 5.1.K t qu nghiên c u ki n ngh sách 58 5.2.H n ch c 5.2.1.H n ch c ng nghiên c u ti p theo 59 tài 59 ng nghiên c u ti p theo 60 Tài li u tham kh o Ph l c DANH M C CÁC T T vi t t t CPI ECM ERPT GDP IMF IRF NEER OECD Ti ng Anh VAR VECM Consumer Price Index Error Correction Model Exchange Rate Pass Through Gross Domestic Product International Monetary Fund Impulse Reponse Funtion Nomial Effective Exchange Rate Organization for Economic Cooperation and Development Ordinary Least Squares Power Parity Theory Pricing to Market Real Effective Exchange Rate Structural Vecto AutoRegression Structural Vecto Error Correction Model Vector AutoRegression Vector Error Correction Model WPI Wholesale Price Index OLS PPP PTM REER SVAR SVECM VI T T T Ti ng Vi t Ch s giá tiêu dùng Mơ hình hi u ch nh sai s Truy n d n t giá T ng s n ph m qu c n i Qu ti n t qu c t Hàm ph n y T ul c T ch H p tác Phát tri n Kinh t t Ngang giá s c mua nh giá th ng T giá th c hi u l c T h u trúc Mơ hình hi u ch nh sai s c u trúc T h Mơ hình hi u ch nh sai s dài h n Ch s giá bán s DANH M C CÁC B NG BI U Trang B ng 2.1.T ng h p nghiên c u c ây 19 B ng 3.1.D li u nghiên c u 23 B ng 3.2.Mô t ng bi n nghiên c u 24 B ng 4.1.K t qu ki nh tính d ng chu i d li u c a Vi t Nam 32 B ng 4.2.K t qu ki nh tính d ng chu i d li u c a Thái Lan 33 B ng 4.3.K t qu ki nh tính d ng chu i d li u c a Indonesia 33 B ng 4.4.K t qu ki nh tính d ng chu i d li u c a Philippin 34 B ng 4.5.K t qu tr cho mô hình 35 B ng 4.6.K t qu ki ng liên k ng h p Vi t Nam 36 B ng 4.7.Ki ng liên k ng h p Thái Lan 36 B ng 4.8.Ki ng liên k ng h p Philippin 37 B ng 4.9.Ki ng liên k ng h p Indonesia 37 B ng 4.10.Ki m nh nhân qu Granger c ng h p Vi t Nam 38 B ng 4.11.Ki nh nhân qu ng h p c a Thái Lan 39 B ng 4.12.Ki nh nhân qu ng h p c a Indonesia 39 B ng 4.13.Ki nh nhân qu ng h p c a Philippin 40 B ng 4.14.K t qu ki rút g n c nh t c nghiên c u 41 B ng 4.15.Ki VAR rút g n c B ng 4.16.K t qu i c a ph a mơ hình c nghiên c u 41 ng ma tr B ng 4.17.H s truy n d n t B ng 4.18.K t qu a ph c nghiên c u 43 n ch s giá c c nghiên c u 48 a ch s giá tiêu dùng 52 DANH M C CÁC HÌNH V Trang Hình 2.1 truy n d n t Hình 4.1.K t qu ki m tra tính c nh c a mơ hình 42 Hình 4.2.Ph n ng tích lu c a ch s c cú s c t giá 44 Hình 4.3.Ph n ng c a t ng c a cú s c d tr ngo i h i 46 Hình 4.4.Ph n ng c a t ng c a cú s c cung ti n 46 TÓM T T V im t ib ng m truy n d n c a t giá h n l m phát c Châu Á Vi t Nam, Thái Lan, Indonesia Philippin tài s d ng c a cú s ch s giá tiêu dùng c a truy n d n c nghiên c n s c nghiên c u V i chu i d li u thu th p t tài tìm th y sau x y cú s c t h s truy n d u tiên t m c l n nh t sau quý v i h s truy n d n 0.667 ng h p c a Vi ng h p c a Indonesia 0.044 ng h p c a Philippin, h s truy n d n c a Thái Lan r t th p g n Bên c y cú s c t r t vi c gi i thích s bi ng c a ch s giá tiêu dùng Vi t Nam, Thái Lan y u t t giá gi 9% s bi ng c a ch s giá tiêu dùng V i nh ng k t qu tìm th kinh t c tài cho r ng u ti t l m phát n n c Vi t Nam, Indonesia Philippin có th s d ng công c d tr ngo i h i cung ti n vi u ti t l m phát n n kinh t s d ng t t công c : T giá, d tr ngo i h i, cung ti n vi u ti t l m phát c a n n kinh t L IM T giá h U m quan tr n n kinh t i nh c bi t v i kinh t toàn c t Nam T giá i gi n giá c c ngoài, v c a lo i hàng hóa K t qu là, c t ng kh n nhu c u ng s n xu t m c giá c a m t n n kinh t m ph thu c vào t giá h nhà kinh t h nh u nh ng nhân t cl ng c a nh ng bi c bi t n t giá h ng t giá h n giá c ng vi c truy n d n nh ng cú s c ti n t qu c t , quy s m nh t a sách ti n t ic c gi i pháp cho i toàn c u Qua th c nghi m cho th y t giá h i ng l n sau kh ng ho ng c kh ng ho ng n qu c t ts ý v ng l n cơng trình lý thuy c nghi m nghiên c u sâu r ng v y u t quy m c a ERPT ng l c qu c gia, ngành t ng s n ph m khác y, v truy n d c công nh n m ch truy n d n quan tr ng ph c t p M t nh c at n n n kinh t nl ng l ng quan tr ng ng c a t giá h i c khái ni m r ng truy n d n t T m quan tr ng c n l m phát c phân tích b i nhi u nhà kinh t h c báo l m phát nh ng th c thi vi c th c hi n sách ti n t c bi t, m i quan h ERPT vào l m phát cơng c th c hi n sách ti n t tính t i th nhi u có th m hi n t c nghiên c c ho ng c [-1.12338] C R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent [-1.64850] [-0.07066] [ 0.73058] 0.043076 (0.02572) [ 1.67477] 0.019677 (0.00900) [ 2.18690] -0.003746 (0.00996) [-0.37620] 0.002129 (0.00411) [ 0.51822] 0.207634 -0.165245 0.096520 0.053281 0.556840 87.51482 -2.765287 -2.121345 0.031914 0.049358 0.505610 0.272957 0.011812 0.018639 2.173230 141.0819 -4.865955 -4.222013 0.020264 0.021859 0.299024 -0.030847 0.014470 0.020630 0.906487 135.9058 -4.662971 -4.019029 0.003630 0.020319 0.542768 0.327600 0.002462 0.008509 2.522531 181.0721 -6.434198 -5.790257 0.006720 0.010377 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 2.33E-14 4.59E-15 552.3973 -18.99597 -16.42020 Philippin Vector Autoregression Estimates Date: 07/01/14 Time: 22:24 Sample (adjusted): 2001Q2 2013Q4 Included observations: 51 after adjustments Standard errors in ( ) & t-statistics in [ ] D_LNFE D_LNM2 D_LNNEER D_LNCPI D_LNFE(-1) 0.194184 (0.18519) [ 1.04855] -0.181100 (0.11583) [-1.56351] -0.049391 (0.09245) [-0.53427] 0.036752 (0.02535) [ 1.44980] D_LNFE(-2) -0.137067 (0.17651) [-0.77653] -0.141626 (0.11040) [-1.28285] 0.063287 (0.08811) [ 0.71825] 0.020706 (0.02416) [ 0.85700] D_LNFE(-3) -0.133233 (0.17695) [-0.75294] -0.013865 (0.11067) [-0.12527] -0.128560 (0.08833) [-1.45543] 0.033657 (0.02422) [ 1.38955] D_LNFE(-4) 0.088631 (0.16891) [ 0.52472] -0.112338 (0.10565) [-1.06334] -0.016874 (0.08432) [-0.20012] -0.008919 (0.02312) [-0.38573] D_LNM2(-1) -0.106110 (0.26286) [-0.40367] 0.196627 (0.16441) [ 1.19597] -0.016070 (0.13122) [-0.12247] 0.045872 (0.03598) [ 1.27491] D_LNM2(-2) 0.195527 (0.26572) 0.094712 (0.16619) -0.009675 (0.13264) -0.042256 (0.03637) [ 0.73584] [ 0.56988] [-0.07294] [-1.16175] D_LNM2(-3) 0.397435 (0.30184) [ 1.31669] -0.085481 (0.18879) [-0.45279] 0.154336 (0.15068) [ 1.02428] -0.009437 (0.04132) [-0.22841] D_LNM2(-4) 0.307677 (0.32540) [ 0.94553] 0.379498 (0.20352) [ 1.86464] 0.328537 (0.16244) [ 2.02254] -0.082959 (0.04454) [-1.86250] D_LNNEER(-1) 0.536961 (0.34006) [ 1.57901] -0.007258 (0.21269) [-0.03412] 0.306552 (0.16976) [ 1.80584] -0.001911 (0.04655) [-0.04105] D_LNNEER(-2) 0.120528 (0.33745) [ 0.35717] 0.496453 (0.21106) [ 2.35217] -0.141029 (0.16845) [-0.83720] -0.002104 (0.04619) [-0.04554] D_LNNEER(-3) 0.597369 (0.32345) [ 1.84684] 0.095468 (0.20231) [ 0.47190] 0.329040 (0.16147) [ 2.03784] -0.044356 (0.04428) [-1.00184] D_LNNEER(-4) 0.152629 (0.35301) [ 0.43236] 0.577387 (0.22079) [ 2.61507] 0.183136 (0.17622) [ 1.03925] -0.033062 (0.04832) [-0.68421] D_LNCPI(-1) -0.163759 (1.21241) [-0.13507] 0.791129 (0.75830) [ 1.04329] -0.977971 (0.60522) [-1.61589] 0.388560 (0.16596) [ 2.34134] D_LNCPI(-2) 1.569216 (1.29949) [ 1.20756] -0.870614 (0.81277) [-1.07117] 0.815327 (0.64869) [ 1.25687] -0.122208 (0.17788) [-0.68703] D_LNCPI(-3) -1.831726 (1.27481) [-1.43686] 1.063792 (0.79734) [ 1.33418] -0.011267 (0.63638) [-0.01770] -0.004875 (0.17450) [-0.02793] D_LNCPI(-4) 2.064536 (1.14243) [ 1.80715] -0.230514 (0.71453) [-0.32261] 0.052987 (0.57029) [ 0.09291] -0.061273 (0.15638) [-0.39183] C 0.001895 (0.02387) [ 0.07938] 0.023913 (0.01493) [ 1.60172] -0.003531 (0.01192) [-0.29633] 0.007287 (0.00327) [ 2.23007] 0.384147 0.094334 0.082610 0.049292 1.325501 91.48325 -2.920912 -2.276970 0.034844 0.051795 0.407059 0.128029 0.032316 0.030830 1.458833 115.4165 -3.859472 -3.215530 0.027233 0.033016 0.386288 0.097482 0.020586 0.024606 1.337536 126.9164 -4.310447 -3.666505 -0.000708 0.025901 0.375814 0.082079 0.001548 0.006747 1.279431 192.9038 -6.898186 -6.254244 0.010560 0.007042 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.) 4.84E-14 Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 9.56E-15 533.7042 -18.26291 -15.68714 Indonesia Vector Autoregression Estimates Date: 07/01/14 Time: 22:25 Sample (adjusted): 2000Q4 2013Q4 Included observations: 53 after adjustments Standard errors in ( ) & t-statistics in [ ] D_LNFE D_LNM2 D_LNNEER D_LNCPI D_LNFE(-1) 0.415610 (0.14533) [ 2.85979] -0.133713 (0.07063) [-1.89316] 0.235328 (0.11532) [ 2.04065] -0.061771 (0.03890) [-1.58805] D_LNFE(-2) -0.111082 (0.15745) [-0.70551] 0.088318 (0.07652) [ 1.15419] -0.132491 (0.12494) [-1.06047] -0.026689 (0.04214) [-0.63333] D_LNM2(-1) 0.595351 (0.32793) [ 1.81549] -0.371271 (0.15937) [-2.32957] -0.246773 (0.26021) [-0.94834] 0.123280 (0.08777) [ 1.40458] D_LNM2(-2) 0.608240 (0.34310) [ 1.77276] 0.191204 (0.16675) [ 1.14667] -0.300024 (0.27226) [-1.10199] -0.069713 (0.09183) [-0.75914] D_LNNEER(-1) 0.073687 (0.20720) [ 0.35563] 0.104527 (0.10070) [ 1.03802] -0.226050 (0.16442) [-1.37487] 0.013357 (0.05546) [ 0.24086] D_LNNEER(-2) 0.386980 (0.19159) [ 2.01989] 0.030124 (0.09311) [ 0.32353] -0.004264 (0.15203) [-0.02805] 0.000429 (0.05128) [ 0.00837] D_LNCPI(-1) -0.034639 (0.57884) [-0.05984] -0.126142 (0.28132) [-0.44840] 0.241392 (0.45932) [ 0.52554] 0.128376 (0.15493) [ 0.82862] D_LNCPI(-2) -0.639860 (0.52685) [-1.21449] -0.258772 (0.25605) [-1.01063] -0.072876 (0.41807) [-0.17432] 0.031147 (0.14101) [ 0.22088] C -0.005217 (0.02352) [-0.22176] 0.046378 (0.01143) [ 4.05653] 0.004154 (0.01867) [ 0.22254] 0.016343 (0.00630) [ 2.59570] 0.306793 0.180756 0.133894 0.055164 0.295110 0.166948 0.031625 0.026810 0.127811 -0.030768 0.084308 0.043773 0.216332 0.073846 0.009592 0.014765 R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent 2.434142 83.29273 -2.803499 -2.468921 0.022749 0.060946 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion Ki nh t Vi t Nam Philippin 2.302636 121.5348 -4.246597 -3.912019 0.031602 0.029373 0.805975 95.55098 -3.266075 -2.931497 -0.005834 0.043115 6.52E-13 3.09E-13 462.4872 -16.09386 -14.75555 a ph Thái Lan Indonesia 1.518275 153.1508 -5.439651 -5.105074 0.019021 0.015342 Ki Vi t Nam Philippin i c a ph Thái Lan Indonesia K t qu Vi t Nam PH C L C ng ma tr n A0 B Structural VAR Estimates Date: 06/22/14 Time: 22:16 Sample (adjusted): 2001Q2 2013Q4 Included observations: 51 after adjustments Estimation method: method of scoring (analytic derivatives) Convergence achieved after iterations Structural VAR is just-identified Model: Ae = Bu where E[uu']=I Restriction Type: short-run pattern matrix A= C(1) C(2) C(4) C(3) C(5) B= C(7) 0 C(8) 0 0 0 C(6) 0 0 C(9) 0 0 C(10) Coefficient Std Error z-Statistic Prob C(1) C(2) C(3) C(4) C(5) C(6) C(7) C(8) C(9) C(10) -0.013974 0.004793 -0.067310 0.129313 0.329529 -0.061821 0.100821 0.024840 0.019324 0.018763 0.034499 0.026882 0.026110 0.108936 0.107224 0.135962 0.009983 0.002460 0.001913 0.001858 -0.405051 0.178291 -2.577967 1.187061 3.073288 -0.454692 10.09950 10.09950 10.09950 10.09950 0.6854 0.8585 0.0099 0.2352 0.0021 0.6493 0.0000 0.0000 0.0000 0.0000 Log likelihood 420.0471 0.000000 1.000000 0.129313 0.329529 0.000000 0.000000 1.000000 -0.061821 0.000000 0.000000 0.000000 1.000000 0.000000 0.024840 0.000000 0.000000 0.000000 0.000000 0.019324 0.000000 0.000000 0.000000 0.000000 0.018763 Estimated A matrix: 1.000000 -0.013974 0.004793 -0.067310 Estimated B matrix: 0.100821 0.000000 0.000000 0.000000 Thái Lan Structural VAR Estimates Date: 06/22/14 Time: 22:19 Sample (adjusted): 2001Q2 2013Q4 Included observations: 51 after adjustments Estimation method: method of scoring (analytic derivatives) Convergence achieved after iterations Structural VAR is just-identified Model: Ae = Bu where E[uu']=I Restriction Type: short-run pattern matrix A= C(1) C(2) C(4) C(3) C(5) B= C(7) 0 C(8) 0 0 0 C(6) 0 0 C(9) 0 0 C(10) Coefficient Std Error z-Statistic Prob C(1) C(2) C(3) C(4) C(5) C(6) C(7) C(8) C(9) C(10) -0.059849 -0.049804 0.005555 -0.175183 0.119796 0.109357 0.053281 0.018364 0.020123 0.007745 0.048263 0.053676 0.020834 0.153438 0.059809 0.053897 0.005276 0.001818 0.001992 0.000767 -1.240072 -0.927859 0.266617 -1.141716 2.002967 2.028981 10.09950 10.09950 10.09950 10.09950 0.2149 0.3535 0.7898 0.2536 0.0452 0.0425 0.0000 0.0000 0.0000 0.0000 Log likelihood 511.0398 0.000000 1.000000 -0.175183 0.119796 0.000000 0.000000 1.000000 0.109357 0.000000 0.000000 0.000000 1.000000 0.000000 0.018364 0.000000 0.000000 0.000000 0.000000 0.020123 0.000000 0.000000 0.000000 0.000000 0.007745 Estimated A matrix: 1.000000 -0.059849 -0.049804 0.005555 Estimated B matrix: 0.053281 0.000000 0.000000 0.000000 Philippin Structural VAR Estimates Date: 06/22/14 Time: 22:22 Sample (adjusted): 2001Q2 2013Q4 Included observations: 51 after adjustments Estimation method: method of scoring (analytic derivatives) Convergence achieved after iterations Structural VAR is just-identified Model: Ae = Bu where E[uu']=I Restriction Type: short-run pattern matrix A= C(1) C(2) C(4) C(3) C(5) B= C(7) 0 C(8) 0 0 0 C(6) 0 0 C(9) 0 0 C(10) Coefficient Std Error z-Statistic Prob C(1) C(2) C(3) C(4) C(5) C(6) C(7) C(8) C(9) C(10) 0.251863 -0.122462 0.008000 0.065813 -0.002093 -0.026770 0.049292 0.028220 0.023559 0.006713 0.080166 0.073117 0.021401 0.116903 0.033416 0.039902 0.004881 0.002794 0.002333 0.000665 3.141774 -1.674863 0.373801 0.562967 -0.062648 -0.670894 10.09950 10.09950 10.09950 10.09950 0.0017 0.0940 0.7086 0.5735 0.9500 0.5023 0.0000 0.0000 0.0000 0.0000 Log likelihood 492.3468 0.000000 1.000000 0.065813 -0.002093 0.000000 0.000000 1.000000 -0.026770 0.000000 0.000000 0.000000 1.000000 0.000000 0.028220 0.000000 0.000000 0.000000 0.000000 0.023559 0.000000 0.000000 0.000000 0.000000 0.006713 Estimated A matrix: 1.000000 0.251863 -0.122462 0.008000 Estimated B matrix: 0.049292 0.000000 0.000000 0.000000 Indonesia Structural VAR Estimates Date: 06/22/14 Time: 22:20 Sample (adjusted): 2000Q4 2013Q4 Included observations: 53 after adjustments Estimation method: method of scoring (analytic derivatives) Convergence achieved after iterations Structural VAR is just-identified Model: Ae = Bu where E[uu']=I Restriction Type: short-run pattern matrix A= C(1) C(2) C(4) C(3) C(5) B= C(7) 0 C(8) 0 0 0 C(6) 0 0 C(9) 0 0 C(10) Coefficient Std Error z-Statistic Prob C(1) C(2) C(3) C(4) C(5) C(6) C(7) C(8) C(9) C(10) 0.111872 -0.197439 -0.048508 0.548887 -0.062326 -0.022444 0.055164 0.026090 0.038822 0.014447 0.064964 0.099336 0.038319 0.204395 0.081072 0.051116 0.005358 0.002534 0.003771 0.001403 1.722057 -1.987597 -1.265897 2.685424 -0.768778 -0.439076 10.29563 10.29563 10.29563 10.29563 0.0851 0.0469 0.2055 0.0072 0.4420 0.6606 0.0000 0.0000 0.0000 0.0000 Log likelihood 442.7604 0.000000 1.000000 0.548887 -0.062326 0.000000 0.000000 1.000000 -0.022444 0.000000 0.000000 0.000000 1.000000 0.000000 0.026090 0.000000 0.000000 0.000000 0.000000 0.038822 0.000000 0.000000 0.000000 0.000000 0.014447 Estimated A matrix: 1.000000 0.111872 -0.197439 -0.048508 Estimated B matrix: 0.055164 0.000000 0.000000 0.000000 Hàm ph n Vi t Nam Thái Lan y IRF tích lu Philippin Indonesia PH L C K t qu Vi t Nam Variance Decomposition of D_LNFE: Period S.E Shock1 Shock2 Shock3 0.101 100.000 0.000 0.000 0.108 93.443 2.900 0.956 0.116 80.845 10.110 6.684 0.125 69.240 14.243 5.721 0.129 68.286 15.162 5.422 0.129 67.867 15.329 5.729 0.132 65.230 17.763 6.114 0.135 61.861 19.399 5.805 0.136 61.030 20.157 6.047 10 0.138 60.125 20.385 6.495 11 0.138 59.999 20.461 6.494 12 0.140 58.310 20.737 6.562 13 0.141 57.489 21.473 6.872 14 0.142 57.104 21.378 6.884 15 0.142 57.008 21.341 6.968 16 0.142 56.540 21.461 6.904 17 0.143 56.349 21.683 6.889 18 0.143 56.174 21.609 6.873 19 0.143 56.162 21.594 6.881 20 0.143 55.929 21.528 6.874 Variance Decomposition of D_LNNEER: Period S.E Shock1 Shock2 Shock3 0.020 0.115 2.686 97.199 0.022 0.093 19.291 78.908 0.027 0.315 15.823 76.590 0.028 1.146 15.148 75.116 0.029 1.961 14.385 71.666 0.029 1.947 14.010 70.451 0.031 3.109 14.255 69.993 0.031 3.084 14.475 69.723 0.031 3.647 15.207 68.669 10 0.031 3.820 14.991 68.403 11 0.031 3.794 14.974 68.353 12 0.032 3.820 15.015 68.022 13 0.032 3.862 14.798 67.745 14 0.032 3.843 15.038 67.589 15 0.032 3.838 14.971 67.290 16 0.032 3.828 15.070 67.230 17 0.032 3.831 15.044 67.110 18 0.032 3.828 15.078 67.060 19 0.032 3.867 15.058 66.973 20 0.032 3.866 15.040 66.898 Variance Decomposition of D_LNM2: Shock4 Period S.E Shock1 Shock2 Shock3 0.000 0.025 0.321 99.679 0.000 2.701 0.030 12.204 86.824 0.538 2.361 0.033 11.710 76.370 5.524 10.796 0.035 15.404 70.976 4.807 11.130 0.036 15.061 67.580 5.337 11.075 0.037 14.752 67.048 6.490 10.893 0.039 13.592 60.668 5.924 12.934 0.039 14.375 60.001 5.993 12.765 0.040 14.284 57.557 5.737 12.995 10 0.040 14.306 57.323 5.699 13.046 11 0.041 14.082 55.333 5.547 14.391 12 0.041 13.919 54.947 5.520 14.166 13 0.042 13.720 53.558 5.661 14.634 14 0.042 13.553 53.340 5.589 14.683 15 0.042 13.344 52.437 5.727 15.096 16 0.043 13.146 52.288 5.650 15.080 17 0.043 13.041 51.702 5.690 15.345 18 0.043 12.898 51.596 5.629 15.364 19 0.043 12.871 51.272 5.639 15.668 20 0.043 12.718 51.033 5.578 Variance Decomposition of D_LNCPI: Shock4 Period S.E Shock1 Shock2 Shock3 0.000 0.022 8.516 15.174 0.308 1.708 0.024 7.310 13.627 1.097 7.272 0.024 7.803 13.820 1.554 8.590 0.025 7.294 14.282 1.438 11.988 0.027 11.276 16.699 1.321 13.592 0.029 13.369 16.992 1.134 12.643 0.030 13.324 17.497 1.691 12.718 0.030 12.926 17.354 1.960 12.478 0.030 12.964 17.342 2.010 12.786 10 0.031 13.039 17.694 1.931 12.878 11 0.031 12.906 18.727 1.963 13.143 12 0.031 12.810 18.587 2.057 13.595 13 0.032 12.781 18.927 2.051 13.530 14 0.032 12.704 18.665 2.086 13.901 15 0.032 12.613 18.937 2.070 13.871 16 0.032 12.485 18.735 2.208 14.015 17 0.032 12.401 18.931 2.188 14.033 18 0.032 12.367 18.784 2.251 14.102 19 0.033 12.282 18.826 2.236 14.196 20 0.033 12.270 18.723 2.276 Factorization: Structural Shock4 0.000 0.434 6.396 8.814 12.022 11.710 19.816 19.631 22.423 22.672 25.038 25.614 27.060 27.517 28.492 28.916 29.566 29.878 30.219 30.670 Shock4 76.001 77.965 76.822 76.985 70.705 68.505 67.488 67.760 67.683 67.336 66.404 66.546 66.241 66.545 66.380 66.573 66.480 66.599 66.657 66.730 Thái Lan Variance Decomposition of D_LNFE: Variance Decomposition of D_LNM2: Period S.E Shock1 Shock2 Shock3 Shock4 Period S.E Shock1 Shock2 Shock3 0.053 100.000 0.000 0.000 0.000 0.019 0.000 100.000 0.000 0.054 97.839 0.679 0.013 1.470 0.020 11.495 84.746 3.418 0.057 89.848 0.915 5.507 3.730 0.022 12.818 75.826 8.285 0.059 86.798 0.953 8.661 3.588 0.023 19.373 68.500 7.912 0.060 86.396 0.914 8.770 3.919 0.025 17.318 68.561 7.363 0.060 85.936 1.399 8.753 3.912 0.026 18.211 64.917 7.064 0.061 85.225 2.134 8.670 3.971 0.026 17.987 64.481 7.812 0.061 85.181 2.167 8.650 4.001 0.026 18.447 63.422 7.668 0.061 85.166 2.154 8.587 4.093 0.026 17.932 63.686 7.786 10 0.061 84.868 2.442 8.554 4.136 10 0.027 17.767 63.020 7.879 11 0.061 84.638 2.675 8.538 4.149 11 0.027 17.734 62.979 7.988 12 0.061 84.534 2.667 8.571 4.227 12 0.027 17.710 62.665 8.234 13 0.061 84.520 2.665 8.565 4.249 13 0.027 17.611 62.688 8.223 14 0.061 84.419 2.772 8.559 4.250 14 0.027 17.551 62.485 8.317 15 0.061 84.312 2.855 8.550 4.284 15 0.027 17.542 62.492 8.321 16 0.061 84.285 2.853 8.562 4.301 16 0.027 17.529 62.401 8.386 17 0.061 84.276 2.854 8.559 4.311 17 0.027 17.538 62.385 8.377 18 0.061 84.238 2.891 8.560 4.311 18 0.027 17.516 62.314 8.407 19 0.061 84.200 2.916 8.557 4.327 19 0.027 17.524 62.318 8.402 20 0.061 84.185 2.916 8.563 4.336 20 0.027 17.521 62.273 8.429 Variance Decomposition of D_LNNEER: Variance Decomposition of D_LNCPI: Period S.E Shock1 Shock2 Shock3 Shock4 Period S.E Shock1 Shock2 Shock3 0.021 1.666 2.523 95.811 0.000 0.008 0.478 9.331 6.736 0.021 6.939 2.491 90.550 0.020 0.010 17.874 8.027 5.359 0.022 7.408 3.258 87.915 1.419 0.011 22.337 7.676 5.589 0.023 7.680 2.981 81.098 8.240 0.011 21.459 7.338 5.479 0.024 9.587 2.866 78.758 8.789 0.012 24.187 7.475 7.787 0.024 9.473 3.433 78.366 8.728 0.012 23.486 8.080 8.878 0.024 11.809 3.525 76.126 8.540 0.012 23.270 8.343 9.573 0.025 15.245 3.406 73.136 8.213 0.012 23.055 8.360 10.684 0.025 15.201 3.591 72.820 8.389 0.012 23.331 8.695 10.490 10 0.025 15.135 4.011 72.503 8.350 10 0.012 23.242 8.963 10.583 11 0.025 15.690 4.010 71.967 8.333 11 0.012 23.143 9.232 10.519 12 0.025 15.794 4.013 71.843 8.350 12 0.012 23.298 9.226 10.588 13 0.025 15.773 4.121 71.729 8.377 13 0.012 23.352 9.333 10.548 14 0.025 15.731 4.326 71.534 8.408 14 0.012 23.362 9.437 10.557 15 0.025 15.843 4.320 71.402 8.435 15 0.012 23.326 9.558 10.551 16 0.025 15.872 4.322 71.364 8.442 16 0.012 23.363 9.570 10.583 17 0.025 15.864 4.374 71.311 8.452 17 0.012 23.364 9.619 10.570 18 0.025 15.851 4.433 71.253 8.464 18 0.012 23.360 9.670 10.587 19 0.025 15.874 4.430 71.216 8.480 19 0.012 23.339 9.722 10.576 20 0.025 15.878 4.432 71.207 8.483 20 0.012 23.353 9.732 10.593 Factorization: Structural Shock4 0.000 0.340 3.071 4.215 6.757 9.808 9.720 10.463 10.595 11.333 11.299 11.390 11.478 11.647 11.644 11.684 11.701 11.762 11.756 11.777 Shock4 83.454 68.739 64.398 65.724 60.551 59.555 58.815 57.900 57.484 57.212 57.106 56.888 56.767 56.644 56.565 56.483 56.447 56.383 56.363 56.323 Philippin Variance Decomposition of D_LNFE: Period S.E Shock1 Shock2 Shock3 Shock4 0.049 100.000 0.000 0.000 0.000 0.053 93.804 0.566 5.587 0.043 0.055 89.484 0.873 8.471 1.172 0.059 80.372 5.737 11.821 2.070 0.063 72.954 9.292 14.698 3.056 0.065 69.416 11.382 15.314 3.888 0.067 67.538 11.120 17.361 3.981 0.070 63.321 12.350 20.682 3.646 0.071 62.045 12.393 22.013 3.548 10 0.073 61.334 12.250 22.924 3.493 11 0.074 61.098 12.092 23.397 3.413 12 0.076 60.069 12.782 23.874 3.275 13 0.077 59.982 12.988 23.825 3.205 14 0.077 59.947 13.059 23.815 3.180 15 0.078 59.965 12.989 23.898 3.147 16 0.079 59.675 13.122 24.087 3.117 17 0.079 59.679 13.110 24.089 3.122 18 0.079 59.678 13.103 24.082 3.138 19 0.080 59.721 13.068 24.076 3.135 20 0.080 59.664 13.119 24.087 3.130 Variance Decomposition of D_LNNEER: Period S.E Shock1 Shock2 Shock3 Shock4 0.025 7.758 0.570 91.673 0.000 0.026 6.776 0.651 86.355 6.218 0.026 6.751 0.961 86.010 6.277 0.028 9.731 3.415 80.559 6.295 0.033 15.653 14.334 65.187 4.825 0.034 17.852 16.813 60.808 4.527 0.034 18.542 16.590 60.380 4.488 0.035 18.821 16.040 60.799 4.339 0.036 19.239 16.427 60.191 4.142 10 0.037 19.934 16.488 59.330 4.248 11 0.037 20.511 16.333 58.889 4.267 12 0.037 21.101 16.259 58.451 4.189 13 0.038 21.725 16.647 57.546 4.082 14 0.038 22.242 16.748 56.923 4.088 15 0.038 22.525 16.672 56.711 4.093 16 0.038 22.719 16.611 56.599 4.070 17 0.038 22.911 16.658 56.381 4.050 18 0.038 23.081 16.664 56.182 4.073 19 0.038 23.188 16.635 56.094 4.083 20 0.038 23.272 16.617 56.033 4.077 Factorization: Variance Decomposition of D_LNM2: Period S.E Shock1 Shock2 Shock3 Shock4 0.031 16.216 83.784 0.000 0.000 0.034 25.234 72.292 0.009 2.465 0.036 27.301 63.928 6.178 2.592 0.037 26.990 62.844 7.569 2.597 0.039 24.387 58.603 14.708 2.302 0.040 25.104 57.593 15.024 2.279 0.041 25.192 56.616 15.480 2.711 0.041 26.020 55.902 15.399 2.679 0.042 26.284 55.114 16.051 2.552 10 0.042 27.163 54.426 15.881 2.530 11 0.043 27.290 54.027 16.147 2.536 12 0.043 27.580 53.759 16.139 2.522 13 0.043 27.570 53.415 16.487 2.528 14 0.043 27.781 53.233 16.445 2.541 15 0.043 27.823 53.082 16.526 2.569 16 0.043 27.959 52.979 16.496 2.565 17 0.044 27.981 52.893 16.557 2.569 18 0.044 28.070 52.825 16.535 2.569 19 0.044 28.085 52.783 16.554 2.577 20 0.044 28.122 52.759 16.543 2.576 Variance Decomposition of D_LNCPI: Shock1 Shock2 Shock3 Shock4 Period S.E 0.007 0.123 0.000 0.874 99.003 0.007 2.437 3.061 0.791 93.712 0.008 8.947 3.369 1.015 86.669 0.008 16.426 3.529 0.939 79.106 0.009 17.467 10.793 0.909 70.831 0.009 17.425 10.661 1.901 70.012 0.009 17.375 10.935 1.911 69.780 0.009 17.234 11.600 1.943 69.223 0.009 17.106 11.635 2.262 68.998 10 0.009 17.003 11.846 2.511 68.640 11 0.009 16.980 11.835 2.629 68.556 12 0.009 16.970 11.826 2.703 68.501 13 0.009 16.934 12.088 2.699 68.279 14 0.009 16.896 12.143 2.853 68.108 15 0.009 16.928 12.164 2.865 68.044 16 0.009 16.939 12.230 2.869 67.963 17 0.009 16.938 12.255 2.874 67.933 18 0.009 16.930 12.287 2.942 67.841 19 0.009 16.944 12.285 2.956 67.814 20 0.009 16.946 12.298 2.968 67.788 Structural Indonesia Variance Decomposition of D_LNFE: Period S.E Shock1 Shock2 Shock3 Shock4 0.055 100.000 0.000 0.000 0.000 0.061 94.097 5.678 0.218 0.007 0.064 83.245 6.727 7.442 2.586 0.065 81.564 7.044 7.730 3.663 0.066 81.430 6.980 7.685 3.905 0.066 81.365 6.990 7.709 3.936 0.066 81.263 7.009 7.757 3.971 0.066 81.245 7.012 7.759 3.984 0.066 81.238 7.014 7.758 3.991 10 0.066 81.236 7.014 7.758 3.992 11 0.066 81.234 7.015 7.759 3.993 12 0.066 81.233 7.015 7.759 3.993 13 0.066 81.233 7.015 7.759 3.993 14 0.066 81.233 7.015 7.759 3.993 15 0.066 81.233 7.015 7.759 3.993 16 0.066 81.233 7.015 7.759 3.993 17 0.066 81.233 7.015 7.759 3.993 18 0.066 81.233 7.016 7.759 3.993 19 0.066 81.232 7.016 7.759 3.993 20 0.066 81.232 7.016 7.759 3.993 Variance Decomposition of D_LNNEER: Period S.E Shock1 Shock2 Shock3 Shock4 0.044 10.641 10.703 78.657 0.000 0.046 16.065 9.918 73.453 0.565 0.047 16.527 9.846 73.014 0.613 0.047 16.600 9.833 72.921 0.646 0.047 16.529 10.120 72.696 0.655 0.047 16.516 10.169 72.659 0.656 0.047 16.520 10.176 72.640 0.664 0.047 16.519 10.184 72.633 0.664 0.047 16.517 10.194 72.624 0.665 10 0.047 16.516 10.198 72.620 0.665 11 0.047 16.516 10.200 72.618 0.665 12 0.047 16.516 10.201 72.617 0.665 13 0.047 16.516 10.202 72.617 0.666 14 0.047 16.516 10.203 72.616 0.666 15 0.047 16.516 10.203 72.616 0.666 16 0.047 16.516 10.203 72.616 0.666 17 0.047 16.516 10.203 72.616 0.666 18 0.047 16.516 10.203 72.616 0.666 19 0.047 16.516 10.203 72.616 0.666 20 0.047 16.516 10.203 72.616 0.666 Factorization: Variance Decomposition of D_LNM2: Period S.E Shock1 Shock2 Shock3 Shock4 0.027 5.299 94.701 0.000 0.000 0.030 6.063 91.793 1.768 0.377 0.031 7.290 89.460 2.027 1.223 0.031 7.159 89.356 2.061 1.424 0.032 6.953 89.289 2.179 1.580 0.032 6.870 89.391 2.162 1.577 0.032 6.860 89.353 2.148 1.639 0.032 6.838 89.372 2.142 1.648 0.032 6.827 89.373 2.139 1.662 10 0.032 6.819 89.380 2.137 1.664 11 0.032 6.816 89.381 2.135 1.668 12 0.032 6.814 89.382 2.135 1.669 13 0.032 6.813 89.383 2.134 1.670 14 0.032 6.812 89.383 2.134 1.671 15 0.032 6.812 89.384 2.134 1.671 16 0.032 6.811 89.384 2.134 1.671 17 0.032 6.811 89.384 2.134 1.671 18 0.032 6.811 89.384 2.134 1.671 19 0.032 6.811 89.384 2.134 1.671 20 0.032 6.811 89.384 2.134 1.671 Variance Decomposition of D_LNCPI: Shock1 Shock2 Shock3 Shock4 Period S.E 0.015 3.129 0.781 0.348 95.742 0.016 8.189 4.849 0.472 86.490 0.016 10.828 9.543 0.470 79.160 0.016 10.765 9.456 1.379 78.400 0.017 10.793 9.690 1.644 77.873 0.017 10.854 9.952 1.637 77.557 0.017 10.873 10.126 1.639 77.363 0.017 10.870 10.166 1.648 77.316 0.017 10.870 10.203 1.651 77.276 10 0.017 10.868 10.223 1.651 77.258 11 0.017 10.868 10.237 1.651 77.244 12 0.017 10.867 10.243 1.651 77.239 13 0.017 10.867 10.247 1.651 77.235 14 0.017 10.866 10.249 1.651 77.234 15 0.017 10.866 10.251 1.651 77.232 16 0.017 10.866 10.251 1.651 77.232 17 0.017 10.866 10.252 1.651 77.231 18 0.017 10.866 10.252 1.651 77.231 19 0.017 10.866 10.252 1.651 77.231 20 0.017 10.866 10.252 1.651 77.231 Structural ... t giá l m phát Các nhà nghiên c u cho r ng: Khi m phá giá c a ti n t l m t giá c a hàng hóa, l m phát s m t giá c a ti n t th l m phát s h n ch m t giá c a hàng hóa, c h n ch B i v y l m phát. .. li u theo tháng, t tháng n tháng 09/2003 cho sáu bi n: l m phát giá d u, cú s c t ng c u, ng cung ti i t giá h s l m phát c a giá bán s , ch s giá l m phát CPI Hai ông chia d li nghiên c n c... Các nghiên c u th gi i 2.2.1.1 Các y u t h l n c a m c truy n d n t giá m phát ng l m phát Nhi u nghiên c ng minh m c truy n d n t giá h i v i qu ng l m phát th cl i p qu c gia có ng l m phát