Luận văn thạc sĩ 2014 Tác động truyền dẫn tỷ giá hối đoái đến lạm phát của Việt Nam

B T NG GIÁO D C VÀ OT O I H C KINH T THÀNH PH H CHÍ MINH CH O NG TRUY N D N T GIÁ H I N L M PHÁT C A VI T NAM LU INH T TP.H CHÍ MINH M 2014 B T NG GIÁO D C VÀ OT O I H C KINH T THÀNH PH H CHÍ MINH CH O NG TRUY N D N T GIÁ H I N L M PHÁT C A VI T NAM Chuyên ngành: Kinh t phát tri n Mã ngành: 60310105 LU N V N TH INH T NG D N KHOA H C: TS.PHAN N TP.H CHÍ MINH M 2014 THANH TH Y L I CA Tôi xin cam OAN an r ng ây cơng trình nghiên c u c a tơi Các n i dung nghiên c u k t qu tài trung th c ch a t ng c công b b t c cơng trình nghiên c u khoa h c N u có b t kì sai sót, gian l n tơi xin hồn tồn ch u trách nhi m t H i ng c ng nh t qu lu n v c a TP.H Chí Minh, ngày 12 tháng Tác gi cH o c M CL C TRANG PH BÌA L M CL C DANH M C T VI T T T DANH M C CÁC B NG DANH M C CÁC HÌNH V TĨM T T I THI U 1.1 tv 1.2 M c tiêu nghiên c u 1.3 Ph m vi nghiên c u 1.4 C u trúc lu LÝ THUY T 2.1 Lý thuy t v t giá h 2.1.1 m phát Lý thuy t v t giá h giá h 2.1.1.2 Vai trò c a t giá h n kinh t m 2.1.1.1 2.1.2 Lý thuy t v l m phát 2.1.2.1 ng 2.1.2.2 Nguyên nhân c a l m phát 11 2.1.2.3 Tác h i c a l m phát 16 2.2 Khung lý thuy t 18 2.2.1 Quy lu t m t giá (LOP) lý thuy t ngang giá s c mua (PPP) 18 2.2.2 Truy n d n t giá h 21 2.2.2.1 Khái ni m truy n d n t giá h 2.2.2.2 Các nhân t 2.2.2.3 2.3 truy n d n c a t giá h 21 ng truy n d n t giá h 22 n l m phát 24 Tóm t t nghiên c u liên quan 28 2.3.1 Các nghiên c u 2.3.2 Các nghiên c c 28 c 29 I THI U T NG QUAN VÀ MƠ HÌNH NGHIÊN C U 33 3.1 T ng quan v t giá h 3.1.1 T giá h 33 3.1.1.1 VND liên t 3.1.1.2 m phát c a Vi t Nam 33 th c 33 m ng h không ng h phá giá Vi ng 37 3.1.2 L m phát c a Vi t Nam 44 3.1.3 T giá h 3.2 m phát c a Vi t Nam 47 Mơ hình nghiên c u 48 3.2.1 Mơ hình kinh t 48 3.2.2 ng mơ hình nghiên c u 52 3.2.2.1 Mơ hình hi u ch nh sai s (Error Correction Model) 52 3.2.2.2 3.2.3 ng mơ hình hi u ch nh sai s 54 D li u nghiên c u 57 T QU NGHIÊN C U 59 4.1 Ki nh tính d ng b c liên k t 59 4.2 Ki ng liên k t 61 4.3 M i quan h dài h n gi a bi n nghiên c u 63 4.4 M i quan h ng n h n gi a bi n nghiên c u 64 4.5 K t qu nghiên c u 66 T LU N VÀ KI N NGH 70 5.1 K t lu n 70 5.2 Ki n ngh 71 5.3 H n ch c a nghiên c ng nghiên c u ti p theo 72 DANH M C TÀI LI U THAM KH O PH L C DANH M C T ADB: Ngân hàng phát tri n Châu Á BRER: T giá th CNY: Nhân dân t CPI: Ch s giá tiêu dùng DGDP: Ch s ECM: Mô hình hi u ch nh sai s GDP: T ng s n ph GSO: T ng c c th ng kê IMF: Qu ti n t qu c t MRER: T giá th NER: VI T T T T giá u ch nh GDP c NHNN: c OLS: PPP: t Thuy t ngang giá s c mua USD: VAR: T h i qui vetor VECM: Mơ hình vetor hi u ch nh sai s VND: Vi ng DANH M C B B ng 4.1: K t qu ki nh nghi li u nghiên c u (d (ADF Unit Root Test) cho chu i s 60 B ng 4.2: K t qu ki nh nghi li u nghiên c u (d ng sai phân b (ADF Unit Root Test) cho chu i s 60 B ng 4.3: K t qu ki ng liên k t gi a bi B ng 4.4 K t qu h i quy ng liên k t gi a bi B ng 4.5: K t qu h i quy mô hình hi u ch nh sai s 2.1: Truy n d n c a t giá h 2.2: Truy n d n tr c ti p c a t Nicoleta, 2007 2.3: Truy n d n tr c ti p c a t Wattanakoon, 2011 n l m phát 62 63 65 25 n l m phát nghiên c u c a 26 n l m phát nghiên c u c a Panit DANH M C HÌNH V Hình 2.1: L m phát c u kéo Hình 2.2: L 13 y 14 Hình 3.1: Ch s t giá th (BRER) c a VND so v i USD, 1992 2001 Hình 3.2: Ch s t 34 giá th (BRER) c a VND so v i USD, 2000 2010 Hình 3.3: Ch s t 34 giá th (MRER) c a VND, 1992 35 Hình 3.4: Ch s t giá th (MRER) c a VND, 2000 35 Hình 3.5: L m phát c a Vi t Nam, 1992 Hình 3.6: T l l m phát t ng c a Vi t Nam, 1992 2012 45 Hình 3.7: T m phát c a Vi t Nam, 1992 48 Hình 4.1: L m phát c a Vi t Nam m t s qu Hình 4.2: T tr ng nh p kh Hình 4.3: M 67 a Vi t Nam m t s qu c t m 67 a Vi t Nam qua 68 TÓM T T T giá h l m phát nh ng v m t qu c gia phá giá Vi t s c quan tr ng c a ng hay không m t quy nh i m c tiêu cao, b i bên c nh nh ng l r ng xu t kh u t bi t m c th c hi n phá giá nh ng lo ng i v n n n kinh t , nh t n l m phát Lu ng b t l i ng truy n d n t giá h Vi t Nam p trung nghiên c u s l m phát c a Vi bi n s n l m phát c a ng c a t giá h n 1992 n 2012 thông qua mơ hình kinh t g m m phát c a Vi t Nam, t giá h c a Vi t Nam giá g o th gi i Lu p kh u d u xu t c a Hooper Mann (1989), phân ng c a t giá h qua giá hàng nh p kh nl ng tr c ti p thông ng th i lu ng v i cơng c ng liên k t mơ hình hi u ch nh sai s c a Engle Granger (1987) K t qu nghiên c u c a lu ng l n phát giá h l cho th y t giá h n l m phát c a Vi t Nam M Vi c s có nh truy n d n t giá h n 1992 nl m au: ng n h n truy n d n t n l m phát khơng hồn tồn, n u t giá h cd n l m phát hồn tồn, l n truy n d n t giá h m c r t cao, n u t giá h t l l m phát s K t qu nghiên c u m t phát hi n m u ki n y u t y us i m t Vi th c nghi m, cho th y ng b phá giá t t nh t l l m phát c a Vi t Nam K t qu góp ph n vào th o lu u hành t giá h a Vi t Nam hi n GI I THI U i thi u chung v v thi t c t câu h i nghiên c u, m c tiêu nghiên c u ph m vi nghiên c u c a lu 1.1 nghiên c u tính c p tr l i m c tiêu nghiên c u tv T giá h t lo i giá c c c k quan tr th i toàn c u hóa v gia u hành sách t giá m t v ng l kinh t , nhà l ng c a m i qu c nh y c c nhà ng xuyên quan tâm, th o lu n K t qu nghiên c u khn kh d sát kinh t có i v i n n kinh t , nh t tr a ct y ban kinh t Qu c h ng l n m tra giám cho th y t giá h ng xu t kh u c a Vi t Nam K t lu n có th khơng hồn tồn m nh kh cơng c t giá h Vi t Nam có th s d ng vi c m r ng xu t kh u Vi ng giá th c ngày m nh nh giá tr th c m , lên i c a Vi t Nam liên ti p thâm h t l n kéo dài, s c c nh tranh c a hàng Vi t suy gi m th ng n a, theo ti n trình t ti n t i bãi b ph n l n thu nh p kh u thi toàn b Hi Nam s ph nh t i Vi t Nam s ph i gi m t bi t n i ASEAN t Nam ph i th c Trung Qu c, nhi u d báo Vi t i m t v i dòng thác hàng Trung Qu c ng th i, Vi t Nam TPP) i nh ng thách th c trên, g i) xu t hi n tr l khuy n khích xu t kh u, c i thi mc tác gi d ng c phá giá m nh Vi ng c c nh tranh c a TÀI LI U THAM KH O DANH M C TÀI LI U TI NG VI T B ch Th o, 2011 Truy n d n t giá h n 2001 2011 Lu s giá t i Vi t i h c Kinh T Thành ph H Chí Minh Clivier Blaucliard Phân tích sách kinh t D ch t ti ng Anh Khoa Kinh t phát tri i h c Kinh t Thành ph H Chí Minh, 2004 H Th Thi u Dao, 2012 Nhân t n t giá h c T sách tri th c doanh nhân Nhà xu t b n Thanh Niên Lê Qu c Lý, 2004 T giá h Nh ng v lý lu n th c ti u hành Vi t Nam Hà N i: Nhà xu t b n Th ng kê N.Gregory Mankiw Nguyên lý Kinh t h c D ch t ti ng Anh Khoa Kinh t h c, i h c Kinh t Qu c dân, 2003 Hà N i: Nhà xu t b n Th ng kê Nguy n Hoài B o, 2008 Phân tích nhân t n 1995 ng lên l m phát c a Vi t Nam 2007 b ng mơ hình P Star Lu ih c Kinh T Thành ph H Chí Minh Nguy n Th B o Khuyên, 2010 Ki m ch ng tính hi u qu v m t thơng tin c a th ng ch ng khốn Vi t Nam Lu c Kinh t phát tri n Vi t Nam Hà Lan Nguy n Th Thu H ng c ng s , 2010 L a ch n sách t giá b i c nh ph c h i kinh t Bài Nghiên c u NC-21 Trung tâm Nghiên c u Kinh t Chính i h c Kinh t i h c Qu c gia Hà N i Nguy n Th Thu H ng c ng s , 2013 T giá h M sai l n 2000 i v i xu t kh u Báo cáo Nghiên c u RS 2011: 01 y ban Kinh t c a Qu c h i UNDP t i Vi t Nam Nhà xu t b n Tri th c Nguy n Th Thu H ng Nguy l m phát Vi n 2000 c Thành, 2010 Các nhân t nh 2010: b ng ch ng th o lu n Trung tâm Nghiên c u Kinh t Ch i h c Kinh t ih c Qu c gia Hà N i Niêm giám th t b n Th ng kê Paul A Samuelson William D Nordhalls, 1948 Kinh t h c D ch t ti ng Anh id Ph t b n Tài Chí c ng s , 2003 Th thách c a h i nh p Th i báo kinh t Sài Gịn VAPEC Tơ Th ng s , 2012 L m phát m i v i khn kh sách ti n t Vi t Nam Báo cáo Nghiên c u RS 02 y ban Kinh t c a Qu c h i UNDP t i Vi t Nam Nhà xu t b n Tri th c Tr n Ng ng s ng truy n d n ti n t tri n H i nh p s Vi t Nam Phát i h c Kinh t TP.HCM c Chu Hoàng Long, 2005 Ch s giá tiêu dùng Vi t Nam y u t pc ng Thông tin Khoa h c Th ng kê s 4/2005 DANH M C TÀI LI U TI NG ANH Anderson., 2005 Exchange Rate Pass-Through and Inflation in Small Open Economies.[Online] Available at http://qed.econ.queensu.ca/pub/students/rodrigue/826/anderson8262.pdf [Accessed June 2013] Asteriou, D and Hall, S.G., 2007 Applied Econometrics: A Modern Approach Using Eviews and Microfit, Revised Edition Palgrave Macmillan Campa, J.M and Goldberg, L.S., 2002 Exchange rate pass-through into Import Prices: A Marco or Micro Phenomenon? 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NEBR Working Paper No.5862 Granger, C.W.J and Newbold, P., 1977 Spurious Regression in Econometrics Journal of Econometrics, Vol.2, pp.111-120 Hooper, Mann, and Catherine L., 1989 Exchange Rate Pass-through In the 1980s: The Case of U.S Imports of Manufactures Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol 20 (1989-1), pages 297337 Gagnon and Ihrig., 2004 Monetary Policy and Exchange Rate Pass-through [Online] Available at http://www.federalreserve.gov/pubs/ifdp/2001/704/ifdp704r.pdf [Accessed 12 September 2013] IMF., 2003 Vietnam: Statistical Appendix IMF Country Report No 03/382, International Monetary Fund IMF., 2006 Vietnam: Statistical Appendix IMF Country Report No.06/52, International Monetary Fund Ito and Sato., 2007 Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate Pass-through.[Online] Available at http://www.rieti.go.jp/jp/publications/dp/07e040.pdf [Accessed June 2013] Lian, An., 2006 Exchange Rate Pass-Through: Evidence Base on Vector Autoregression with Sign Restrictions MPRA paper, No.527 Leig, Daniel and Rossi., 2002 Exchange Rate Pass-Through in Turkey IMF Working Paper No.204 Naz, Mohsin and Zaman, 2012 Exchange Rate Pass-Through into Inflation: New Insights in to the Cointergration Relationship from Pakistan [Online] Available at http://www.sciencedirect.com/science/article/pii/S0264999312002076 [Accessed September 2013] Nicoleta, C., 2007 Estimating the Exchange Rate Pass-Through into Inflation in a Vector Autoregressive Framework [Online] Available at http://steconomiceuoradea.ro/anale/volume/2007/v2-finances-accounting-andbanks/48.pdf [Accessed 10 September 2013] Taylor., 2000 Low Inflation , Pass-Through, and the Pricing Power of Firms European Economic Review [Online] Available at http://www.stanford.edu/~johntayl/Papers?ISOM+revised+(EER).pdf [Accessed November 2013] Vo Tri Thanh, Dinh Hien Minh, Do Xuan Truong, Hoang Van Thanh and Pham Chi Quang., 2000 Exchange Rate Arrangement in Vietnam: Information Content and Policy Options East Asian Development Network (EADN), Individual Research Project Vo Van Minh., 2009 Exchange Rate Pass Through and Its Implications for Inflation in Viet Nam Working paper 0902, Viet Nam Development Forum Wattanakoon., 2011 Exchange Rate Pass Through Inflation in Thailand [Online] Available at http://www.bot.or.th/Thai/AboutBOT/project/Doclib_Settha_BE_2554/B_Doc_Sol ace1_2554.pdf PH L C Ph l c 1: T ng h p d li u sau thu th p x lý Qúy 1992Q1 1992Q2 1992Q3 1992Q4 1993Q1 1993Q2 1993Q3 1993Q4 1994Q1 1994Q2 1994Q3 1994Q4 1995Q1 1995Q2 1995Q3 1995Q4 1996Q1 1996Q2 1996Q3 1996Q4 1997Q1 1997Q2 1997Q3 1997Q4 1998Q1 1998Q2 1998Q3 1998Q4 1999Q1 1999Q2 1999Q3 1999Q4 2000Q1 CPI ER (Q1.1992 = 100) (VND/USD) 100.00 11619 102.31 11325 102.93 11030 106.24 10825 109.55 10519 110.64 10562 110.86 10678 111.85 10808 117.60 10885 119.74 10957 122.99 10986 128.10 11000 137.77 11025 142.78 11032 143.93 11040 144.65 11067 150.80 11083 149.44 11090 148.25 11095 151.23 11120 154.40 11327 152.86 11660 154.24 11891 156.72 12225 161.43 12980 166.31 13270 168.97 13457 171.00 13901 175.97 13886 173.70 13910 171.28 14007 171.10 14049 172.60 14053 IMP (Q1.1992 = 100) 100 97.99 97.82 96.11 96.23 95.64 96.83 96.49 97.28 97.36 99.25 99.60 101.45 102.56 105.62 107.06 111.65 112.18 101.84 106.45 115.65 107.08 116.40 118.07 117.67 114.71 114.31 108.84 101.81 106.10 108.18 106.18 108.46 RICE (USD/t n) 237.3 230.3 229.7 216 210.7 172 183 277.3 248 205 223.7 243 259.7 277 325.7 328.3 321.3 281.7 281 293.3 282.3 265 250.7 230.3 246 262 273.7 257.7 239.7 211.5 217.8 196 196 2000Q2 2000Q3 2000Q4 2001Q1 2001Q2 2001Q3 2001Q4 2002Q1 2002Q2 2002Q3 2002Q4 2003Q1 2003Q2 2003Q3 2003Q4 2004Q1 2004Q2 2004Q3 2004Q4 2005Q1 2005Q2 2005Q3 2005Q4 2006Q1 2006Q2 2006Q3 2006Q4 2007Q1 2007Q2 2007Q3 2007Q4 2008Q1 2008Q2 2008Q3 2008Q4 2009Q1 2009Q2 2009Q3 2009Q4 2010Q1 169.51 168.33 170.18 170.18 168.99 169.50 171.53 175.82 176.52 176.88 178.47 182.93 182.20 181.66 183.84 192.97 197.24 200.01 201.62 209.15 212.30 215.71 219.17 225.34 228.05 230.57 233.57 240.86 246.20 251.15 263.36 287.78 311.99 321.11 315.68 319.85 324.16 328.65 336.26 350.11 14075 14120 14423 14548 14643 14658 15051 15165 15253 15324 15376 15426 15472 15522 15618 15717 15735 15751 15781 15809 15842 15878 15907 15921 15964 16015 16077 16022 16070 16206 16122 16059 16252 16667 16898 17218 17369 17776 17960 18743 110.63 111.66 112.64 121.60 119.13 114.64 106.24 108.85 115.44 117.73 122.37 125.83 125.36 126.99 129.34 133.40 137.67 145.45 151.72 156.00 159.28 165.84 166.04 170.92 174.97 176.95 171.71 172.84 180.07 190.02 201.90 216.98 240.79 251.79 221.95 189.73 196.52 212.58 219.76 222.16 171.7 163.7 159.7 153.3 143 155.5 160 172.3 176.8 176 174 182.3 181.7 180.3 182.2 207.9 223.6 224.3 245.7 270.5 270.3 260.7 259.7 272 276 284.7 276 292.5 297.4 306.5 329.4 434.5 813 669.3 449.7 469.3 458.7 441 462.7 477 2010Q2 2010Q3 2010Q4 2011Q1 2011Q2 2011Q3 2011Q4 2012Q1 2012Q2 2012Q3 2012Q4 352.33 357.98 376.08 398.76 425.69 438.24 443.88 455.19 455.04 466.63 474.09 18993 19278 19496 20235 20684 20709 20970 20920 20895 20877 20828 224.72 224.16 233.67 248.68 270.01 277.42 287.38 274.81 271.86 265.57 267.40 399 418.3 471.4 465 456.7 532 570 534 578 548 530.7 Ph l c 2: K t qu ki nh nghi c a bi n mơ hình nghiên c u (ki nh tính d ng b c liên k t) Null Hypothesis: LNP has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=11) t-Statistic -0.955668 -4.073859 -3.465548 -3.159372 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.9438 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNP) Method: Least Squares Date: 04/06/14 Time: 23:35 Sample (adjusted): 1992Q3 2012Q4 Included observations: 82 after adjustments Variable Coefficient Std Error t-Statistic Prob LNP(-1) D(LNP(-1)) C @TREND(1992Q1) -0.019612 0.466552 0.096693 0.000403 0.020522 0.102918 0.094372 0.000342 -0.955668 4.533225 1.024600 1.178192 0.3422 0.0000 0.3087 0.2423 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.233586 0.204109 0.018728 0.027358 211.8711 7.924228 0.000111 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.018699 0.020993 -5.070026 -4.952625 -5.022891 1.830633 Null Hypothesis: LNER has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=11) t-Statistic -2.833808 -4.076860 -3.466966 -3.160198 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.1899 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNER) Method: Least Squares Date: 04/06/14 Time: 23:36 Sample (adjusted): 1993Q1 2012Q4 Included observations: 80 after adjustments Variable Coefficient Std Error t-Statistic Prob LNER(-1) D(LNER(-1)) D(LNER(-2)) D(LNER(-3)) C @TREND(1992Q1) -0.074595 0.325886 0.160463 0.206544 0.692546 0.000592 0.026323 0.109201 0.113571 0.108132 0.242853 0.000222 -2.833808 2.984282 1.412888 1.910105 2.851708 2.659485 0.0059 0.0038 0.1619 0.0600 0.0056 0.0096 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.350398 0.306506 0.010142 0.007612 256.8853 7.983179 0.000005 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.008180 0.012179 -6.272133 -6.093481 -6.200506 2.012853 Null Hypothesis: LNPm has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values Prob.* -2.484318 -4.073859 -3.465548 -3.159372 0.3350 Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNPm) Method: Least Squares Date: 04/06/14 Time: 23:37 Sample (adjusted): 1992Q3 2012Q4 Included observations: 82 after adjustments Variable Coefficient Std Error t-Statistic Prob LNPm(-1) D(LNPm(-1)) C @TREND(1992Q1) -0.101267 0.270604 0.445395 0.001531 0.040762 0.107086 0.178609 0.000583 -2.484318 2.526978 2.493686 2.626034 0.0151 0.0135 0.0148 0.0104 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.136508 0.103296 0.042042 0.137864 145.5635 4.110283 0.009221 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.012242 0.044397 -3.452767 -3.335366 -3.405633 1.877612 Null Hypothesis: LNRICE has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=11) t-Statistic -1.428107 -4.075340 -3.466248 -3.159780 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.8453 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNRICE) Method: Least Squares Date: 04/06/14 Time: 23:38 Sample (adjusted): 1992Q4 2012Q4 Included observations: 81 after adjustments Variable Coefficient Std Error t-Statistic Prob LNRICE(-1) D(LNRICE(-1)) D(LNRICE(-2)) C @TREND(1992Q1) -0.063267 0.199728 -0.341373 0.316087 0.001191 0.044301 0.106683 0.108475 0.231017 0.000709 -1.428107 1.872161 -3.147019 1.368240 1.678377 0.1574 0.0650 0.0024 0.1753 0.0974 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.183524 0.140551 0.116178 1.025798 62.00960 4.270730 0.003594 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.010339 0.125318 -1.407644 -1.259839 -1.348343 1.893805 Null Hypothesis: D(LNP) has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=11) t-Statistic -5.583050 -4.075340 -3.466248 -3.159780 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.0001 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNP,2) Method: Least Squares Date: 04/06/14 Time: 23:40 Sample (adjusted): 1992Q4 2012Q4 Included observations: 81 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNP(-1)) D(LNP(-1),2) C @TREND(1992Q1) -0.655767 0.190977 0.008438 9.22E-05 0.117457 0.111592 0.004536 9.02E-05 -5.583050 1.711387 1.860058 1.021820 0.0000 0.0910 0.0667 0.3101 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.301553 0.274341 0.018566 0.026541 210.0176 11.08154 0.000004 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.000122 0.021795 -5.086856 -4.968611 -5.039414 1.902502 Null Hypothesis: D(LNER) has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=11) t-Statistic -5.090959 -4.073859 -3.465548 -3.159372 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.0004 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNER,2) Method: Least Squares Date: 04/06/14 Time: 23:42 Sample (adjusted): 1992Q3 2012Q4 Included observations: 82 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNER(-1)) -0.471081 0.092533 -5.090959 0.0000 C @TREND(1992Q1) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.002674 2.30E-05 0.251029 0.232068 0.010876 0.009345 255.9130 13.23903 0.000011 0.002473 5.21E-05 1.081122 0.440769 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.2829 0.6606 0.000284 0.012411 -6.168610 -6.080560 -6.133259 2.262897 Null Hypothesis: D(LNPm) has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=11) t-Statistic -7.112908 -4.075340 -3.466248 -3.159780 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNPm,2) Method: Least Squares Date: 04/06/14 Time: 23:43 Sample (adjusted): 1992Q4 2012Q4 Included observations: 81 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNPm(-1)) D(LNPm(-1),2) C @TREND(1992Q1) -0.973407 0.265779 0.001967 0.000236 0.136851 0.110527 0.009863 0.000205 -7.112908 2.404659 0.199473 1.149185 0.0000 0.0186 0.8424 0.2540 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.426859 0.404529 0.042393 0.138381 143.1398 19.11580 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.000107 0.054937 -3.435552 -3.317307 -3.388110 2.027262 Null Hypothesis: D(LNRICE) has a unit root Exogenous: Constant, Linear Trend Lag Length: (Automatic based on SIC, MAXLAG=11) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values Prob.* -8.610576 -4.075340 -3.466248 -3.159780 0.0000 Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNRICE,2) Method: Least Squares Date: 04/06/14 Time: 23:43 Sample (adjusted): 1992Q4 2012Q4 Included observations: 81 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNRICE(-1)) D(LNRICE(-1),2) C @TREND(1992Q1) -1.206880 0.379053 -0.011557 0.000563 0.140163 0.105925 0.027257 0.000561 -8.610576 3.578511 -0.423992 1.004404 0.0000 0.0006 0.6728 0.3183 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Ph l c 3: X 0.516662 0.497831 0.116960 1.053326 60.93710 27.43629 0.000000 tr t Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat -0.000364 0.165048 -1.405854 -1.287610 -1.358413 1.905045 c a bi n VAR Lag Order Selection Criteria Endogenous variables: LNP LNER LNPm LNRICE Exogenous variables: C Date: 06/12/14 Time: 10:04 Sample: 1992Q1 2012Q4 Included observations: 80 Lag LogL LR FPE AIC SC HQ 210.9160 670.7801 706.1552 721.9620 735.7439 NA 862.2452 62.79090 26.47640* 21.70643 6.66e-08 1.01e-12 6.25e-13* 6.33e-13 6.79e-13 -5.172899 -16.26950 -16.75388* -16.74905 -16.69360 -5.053798 -15.67399 -15.68197* -15.20073 -14.66887 -5.125148 -16.03075 -16.32412* -16.12829 -15.88183 * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion Ph l c 4: Ki ng liên k t gi a bi n b Johansen Juselius Date: 04/07/14 Time: 00:20 Sample (adjusted): 1992Q4 2012Q4 Included observations: 81 after adjustments Trend assumption: Linear deterministic trend (restricted) Series: LNP LNER LNPm LNRICE Lags interval (in first differences): to Unrestricted Cointegration Rank Test (Trace) Hypothesized No of CE(s) Eigenvalue Trace Statistic 0.05 Critical Value Prob.** None * At most At most At most 0.375358 0.193807 0.109751 0.048808 69.03653 30.91978 13.46982 4.053212 63.87610 42.91525 25.87211 12.51798 0.0173 0.4486 0.7010 0.7344 Trace test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized No of CE(s) Eigenvalue Max-Eigen Statistic 0.05 Critical Value Prob.** None * At most At most At most 0.375358 0.193807 0.109751 0.048808 38.11675 17.44996 9.416611 4.053212 32.11832 25.82321 19.38704 12.51798 0.0082 0.4206 0.6810 0.7344 Max-eigenvalue test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Date: 04/07/14 Time: 00:17 Sample (adjusted): 1992Q4 2012Q4 Included observations: 81 after adjustments Trend assumption: Quadratic deterministic trend Series: LNP LNER LNPm LNRICE Lags interval (in first differences): to Unrestricted Cointegration Rank Test (Trace) Hypothesized No of CE(s) Eigenvalue Trace Statistic 0.05 Critical Value Prob.** None * At most At most At most 0.375243 0.193574 0.109090 0.025251 66.95652 28.85467 11.42804 2.071620 55.24578 35.01090 18.39771 3.841466 0.0033 0.1957 0.3534 0.1501 Trace test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values a Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized No of CE(s) Eigenvalue Max-Eigen Statistic 0.05 Critical Value Prob.** None * At most At most At most 0.375243 0.193574 0.109090 0.025251 38.10186 17.42663 9.356420 2.071620 30.81507 24.25202 17.14769 3.841466 0.0054 0.3071 0.4592 0.1501 Max-eigenvalue test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Ph l c 5: K t qu h i quy ng liên k t gi a bi n Dependent Variable: LNP Method: Least Squares Date: 04/06/14 Time: 23:51 Sample: 1992Q1 2012Q4 Included observations: 84 Variable Coefficient Std Error t-Statistic Prob C LNER LNPm LNRICE -9.740235 1.294994 0.195098 0.295184 0.853247 0.116134 0.099440 0.047035 -11.41549 11.15084 1.961974 6.275883 0.0000 0.0000 0.0532 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.973641 0.972653 0.068532 0.375731 108.0165 985.0238 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 5.299539 0.414419 -2.476582 -2.360829 -2.430050 0.314805 Ph l c 6: K t qu h i quy mơ hình hi u ch nh sai s (ECM) Dependent Variable: D(LNP) Method: Least Squares Date: 04/07/14 Time: 00:29 Sample (adjusted): 1992Q2 2012Q4 Included observations: 83 after adjustments Variable Coefficient Std Error t-Statistic Prob C D(LNER) D(LNPm) D(LNRICE) ECM(-1) 0.013986 0.349769 0.122860 0.076168 -0.111005 0.002229 0.156258 0.044390 0.016075 0.031581 6.274199 2.238407 2.767755 4.738166 -3.514938 0.0000 0.0280 0.0070 0.0000 0.0007 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.380176 0.348391 0.016846 0.022136 223.7478 11.96057 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.018750 0.020869 -5.271031 -5.125318 -5.212492 1.461825 ... theo ngày t giá mua/bán k h n Ngoài cịn có t giá khác t giá mua vào, t giá bán ra, t giá ti n m t, t giá chuy n kho n, t giá chéo, t giá danh ngh giá th 2.1.1.2 Vai trò c a t giá h T giá h n 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