CHÍNH SÁCH TIỀN TỆ VÀ TỶ SUẤT SINH LỢI CỦA THỊ TRƯỜNG CHỨNG KHOÁN VIỆT NAM LUẬN VĂN THẠC SĨ.PDF

- - - i L IC xin g i l i c nghi ih i H c Kinh T u ki n th c hi ii L iii M CL C L IC i L ii M C L C iii DANH M U, CH VI T T T vi DANH M vii DANH M NG, BI U viii GI I THI U 1.1 tv 1.2 V u 1.3 M u 1.4 u 1.5 P u .5 1.6 C U TH C NGHI M6 2.1 nt 2.1.1 2.1.2 i nhu n th ng ch n t L i nhu n th 2.2 ng ch u th c nghi m .11 2.2.1 u t ng th v n t ng ch ng 11 2.2.2 ph n ng c u c n Sack (2001) nt n th ng ch ng 13 iv 2.2.3 u c a Godwin Okpara Chigozie (2010) i nhu n th ng ch 2.2.4 n ch ng t Nigeria 15 u c (2009) th nt nt i nhu n th ng ch n ch ng t ng Anh 17 2.2.5 uc 2.2.6 n uc 19 nh ng c t Nam .20 2.2.7 t k t qu u th c nghi m .21 U, CH N M U, THU TH LI U 22 3.1 3.2 3.3 u .22 u ki nh c 22 c ch n bi n 23 3.4 Chu i s li u 24 3.5 li u 24 K T QU U 25 4.1 H n (2SLS) 25 4.2 K t qu c a ki nh nghi 26 4.3 Ki t Engle-Granger .27 4.4 Ki t Johansen-Juselius .29 4.5 4.6 u ch nh sai s VECM .30 t k t qu K T LU N, G u 34 N CH C NG LAI 35 v 5.1 K t lu n 35 5.2 G 35 5.3 H n ch c 5.3.1 5.3.2 H n ch c 36 .36 37 U THAM KH O 38 PH L C 43 vi DANH M U, CH theoDickey- APT: Arbitrage Pricing Theory CAPM: Capital Asset Pricing Model MPC: y ban n t Anh c PP: Ki nh nghi theo Phillips-Perron t kh u quy VECM: Vector Error Correction Models VN-Index: VI T T T vii DANH M C - th i quy .9 viii DANH M C B ng 3- B NG, BI U n .24 B ng 4-1.K t qu ki B ng 4-2.Ki B ng 4-3.K t qu ki B ng 4-4.K t qu c nh nghi .27 t cho t ng c p bi n 28 t c a Johansen 29 u ch nh sai s VECM 31 B ng 4-5.K t qu ki bi ng c a l i nhu n ch B ng 4-6.K t qu ki bi ng c 32 t 33 44 Estimation Command: ===================== TSLS(DERIV=AA) Estimated Equations: ===================== INTRATE=C(1)+C(2)*RDR TBRATE=C(3)+C(4)*RDR Substituted Coefficients: ===================== INTRATE=5.63006995503+0.84313373243*RDR TBRATE=1.83709769559+0.764403521144*RDR Null Hypothesis: RT has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -7.453617 0.0000 -3.478547 -2.882590 -2.578074 *MacKinnon (1996) one-sided p-values Null Hypothesis: RT has a unit root Exogenous: Constant Bandwidth: (Newey-West using Bartlett kernel) Adj t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* -7.296650 0.0000 -3.478547 -2.882590 -2.578074 45 *MacKinnon (1996) one-sided p-values Residual variance (no correction) HAC corrected variance (Bartlett kernel) 21.99939 19.83484 Null Hypothesis: D(RT) has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) t-Statistic Augmented Dickey-Fuller test statistic Test critical 1% level values: 5% level 10% level Prob.* -12.15676 0.0000 -3.479656 -2.883073 -2.578331 Null Hypothesis: D(RT) has a unit root Exogenous: Constant Bandwidth: 88 (Newey-West using Bartlett kernel) Adj t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* -49.23182 -3.478911 -2.882748 -2.578158 0.0001 *MacKinnon (1996) one-sided p-values Residual variance (no correction) HAC corrected variance (Bartlett kernel) 29.97554 0.900641 Null Hypothesis: TBRATE has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) t-Statistic Augmented Dickey-Fuller test statistic Test critical 1% level Prob.* -1.415819 -3.478547 0.5729 46 values: 5% level 10% level -2.882590 -2.578074 Null Hypothesis: TBRATE has a unit root Exogenous: Constant Bandwidth: 10 (Newey-West using Bartlett kernel) Adj t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* -1.369695 0.5955 -3.478547 -2.882590 -2.578074 Null Hypothesis: D(TBRATE) has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -9.836721 -3.478911 -2.882748 -2.578158 0.0000 *MacKinnon (1996) one-sided p-values Null Hypothesis: D(TBRATE) has a unit root Exogenous: Constant Bandwidth: 18 (Newey-West using Bartlett kernel) Adj t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* -10.25798 -3.478911 -2.882748 -2.578158 0.0000 *MacKinnon (1996) one-sided p-values Residual variance (no correction) 0.693432 47 HAC corrected variance (Bartlett kernel) 0.249395 Null Hypothesis: INTRATE has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) t-Statistic -3.147254 -3.479281 -2.882910 -2.578244 0.0255 Adj t-Stat Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* Prob.* -2.176555 -3.478547 -2.882590 -2.578074 0.2158 *MacKinnon (1996) one-sided p-values Null Hypothesis: INTRATE has a unit root Exogenous: Constant Bandwidth: (Newey-West using Bartlett kernel) Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values Null Hypothesis: D(INTRATE) has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values Null Hypothesis: D(INTRATE) has a unit root Exogenous: Constant Bandwidth: (Newey-West using Bartlett kernel) Prob.* -6.333971 -3.480425 -2.883408 -2.578510 0.0000 48 Adj t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* -7.889084 -3.478911 -2.882748 -2.578158 0.0000 *MacKinnon (1996) one-sided p-values Null Hypothesis: RDR has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -0.483111 -3.478547 -2.882590 -2.578074 0.8898 Null Hypothesis: RDR has a unit root Exogenous: Constant Bandwidth: (Newey-West using Bartlett kernel) Adj t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* -1.051886 -3.478547 -2.882590 -2.578074 0.7333 Null Hypothesis: D(RDR) has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Null Hypothesis: D(RDR) has a unit root Prob.* -9.960281 -3.478911 -2.882748 -2.578158 0.0000 49 Exogenous: Constant Bandwidth: (Newey-West using Bartlett kernel) Adj t-Stat -10.07249 -3.478911 -2.882748 -2.578158 Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.0000 -Granger Null Hypothesis: RESIDRT_TBRATE has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -7.729421 -3.478547 -2.882590 -2.578074 0.0000 Null Hypothesis: RESIDRT_TBRATE has a unit root Exogenous: Constant Bandwidth: (Newey-West using Bartlett kernel) Adj t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* -7.525317 -3.478547 -2.882590 -2.578074 0.0000 Null Hypothesis: RESIDRT_INTRATE has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level Prob.* -7.557043 -3.478547 -2.882590 0.0000 50 10% level -2.578074 Null Hypothesis: RESIDRT_INTRATE has a unit root Exogenous: Constant Bandwidth: (Newey-West using Bartlett kernel) Adj t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* -7.370633 -3.478547 -2.882590 -2.578074 0.0000 Null Hypothesis: RESIDRT_RDR has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* -7.623285 -3.478547 -2.882590 -2.578074 0.0000 Null Hypothesis: RESIDRT_RDR has a unit root Exogenous: Constant Bandwidth: (Newey-West using Bartlett kernel) Adj t-Stat Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level Prob.* -7.429694 -3.478547 -2.882590 -2.578074 0.0000 *MacKinnon (1996) one-sided p-values -Juselius Date: 12/14/12 Time: 14:35 Sample (adjusted): 2000M10 2011M12 Included observations: 135 after adjustments 51 Trend assumption: Linear deterministic trend (restricted) Series: RT INTRATE TBRATE 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 0.268210 0.141196 0.041423 68.41560 26.26022 5.711251 42.91525 25.87211 12.51798 0.0000 0.0447 0.4978 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 0.268210 0.141196 0.041423 42.15538 20.54897 5.711251 25.82321 19.38704 12.51798 0.0002 0.0338 0.4978 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 Cointegrating Coefficients: RT -0.274401 -0.089217 7.17E-05 INTRATE -0.148626 0.454303 -0.406277 TBRATE -0.158513 0.054196 0.627910 @TREND(00M0 8) 0.011019 -0.026236 -0.012896 Unrestricted Adjustment Coefficients (alpha): D(RT) D(INTRATE) D(TBRATE) 2.310590 0.173447 0.041944 0.903649 -0.218128 -0.060281 -0.086964 0.015974 -0.147010 52 Cointegrating Equation(s): Log likelihood -678.7321 Normalized cointegrating coefficients (standard error in parentheses) @TREND(00M0 RT INTRATE TBRATE 8) 1.000000 0.541639 0.577671 -0.040157 (0.33511) (0.34035) (0.02101) Adjustment coefficients (standard error in parentheses) D(RT) -0.634028 (0.11033) D(INTRATE) -0.047594 (0.01588) D(TBRATE) -0.011509 (0.01810) Cointegrating Equation(s): Log likelihood -668.4576 Normalized cointegrating coefficients (standard error in parentheses) @TREND(00M0 RT INTRATE TBRATE 8) 1.000000 0.000000 0.463730 -0.008024 (0.29274) (0.01985) 0.000000 1.000000 0.210363 -0.059326 (0.24277) (0.01646) Adjustment coefficients (standard error in parentheses) D(RT) -0.714649 0.067115 (0.11369) (0.18833) D(INTRATE) -0.028133 -0.124875 (0.01573) (0.02607) D(TBRATE) -0.006131 -0.033620 (0.01896) (0.03142) Vector Error Correction Estimates Date: 12/14/12 Time: 20:32 Sample (adjusted): 2001M05 2011M12 Included observations: 128 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 CointEq2 53 RT(-1) 1.000000 0.000000 INTRATE(-1) 0.000000 1.000000 TBRATE(-1) 0.252848 (0.25447) [ 0.99363] -0.028255 (0.23689) [-0.11927] @TREND(00M07) -0.014451 (0.01623) [-0.89034] -0.047794 (0.01511) [-3.16305] C -0.887207 -7.819491 Error Correction: D(RT) D(INTRATE) D(TBRATE) CointEq1 -1.038884 (0.20559) [-5.05324] -0.022597 (0.02625) [-0.86096] 0.004766 (0.03376) [ 0.14118] CointEq2 -0.422008 (0.34291) [-1.23066] -0.135660 (0.04378) [-3.09880] -0.024487 (0.05631) [-0.43487] D(RT(-1)) 0.442068 (0.19160) [ 2.30721] 0.012972 (0.02446) [ 0.53031] 0.011568 (0.03146) [ 0.36766] D(RT(-2)) 0.350098 (0.17698) [ 1.97820] 0.003068 (0.02259) [ 0.13579] 0.007417 (0.02906) [ 0.25521] D(RT(-3)) 0.076565 (0.15881) [ 0.48213] 0.001231 (0.02027) [ 0.06072] -0.017378 (0.02608) [-0.66638] D(RT(-4)) 0.115528 (0.14373) [ 0.80381] -0.005340 (0.01835) [-0.29103] 0.020746 (0.02360) [ 0.87902] D(RT(-5)) 0.196165 (0.13653) [ 1.43680] -0.012356 (0.01743) [-0.70889] 0.000201 (0.02242) [ 0.00895] 54 D(RT(-6)) 0.089089 (0.12646) [ 0.70449] -0.013620 (0.01614) [-0.84367] -0.015565 (0.02077) [-0.74954] D(RT(-7)) 0.013073 (0.10962) [ 0.11925] -0.002677 (0.01399) [-0.19127] -0.004170 (0.01800) [-0.23166] D(RT(-8)) -0.060996 (0.09850) [-0.61922] 0.009000 (0.01258) [ 0.71565] 0.009632 (0.01618) [ 0.59549] D(RT(-9)) 0.208956 (0.08800) [ 2.37453] 0.006841 (0.01123) [ 0.60897] -0.020974 (0.01445) [-1.45147] D(INTRATE(-1)) -0.008128 (0.74527) [-0.01091] 0.194805 (0.09515) [ 2.04744] 0.071902 (0.12238) [ 0.58753] D(INTRATE(-2)) -0.958667 (0.75076) [-1.27694] 0.496360 (0.09585) [ 5.17874] 0.232165 (0.12328) [ 1.88320] D(INTRATE(-3)) 1.940675 (0.83157) [ 2.33376] 0.362123 (0.10616) [ 3.41102] 0.264958 (0.13655) [ 1.94034] D(INTRATE(-4)) 2.821363 (0.87229) [ 3.23444] 0.032554 (0.11136) [ 0.29233] -0.022238 (0.14324) [-0.15525] D(INTRATE(-5)) -0.552098 (0.86569) [-0.63775] -0.291730 (0.11052) [-2.63963] 0.350041 (0.14216) [ 2.46237] D(INTRATE(-6)) 0.377495 (0.89250) [ 0.42296] -0.122968 (0.11394) [-1.07921] -0.189212 (0.14656) [-1.29103] D(INTRATE(-7)) -0.589797 (0.80607) -0.129733 (0.10291) -0.206229 (0.13237) 55 [-0.73169] [-1.26067] [-1.55802] D(INTRATE(-8)) 0.084437 (0.81713) [ 0.10333] 0.249890 (0.10432) [ 2.39543] -0.109854 (0.13418) [-0.81870] D(INTRATE(-9)) 0.535467 (0.80082) [ 0.66865] 0.111113 (0.10224) [ 1.08681] -0.103765 (0.13150) [-0.78907] D(TBRATE(-1)) -2.084766 (0.61374) [-3.39685] 0.019492 (0.07835) [ 0.24878] 0.045369 (0.10078) [ 0.45017] D(TBRATE(-2)) -1.091141 (0.63944) [-1.70640] 0.143061 (0.08163) [ 1.75246] -0.122956 (0.10500) [-1.17097] D(TBRATE(-3)) 0.252423 (0.63915) [ 0.39493] -0.417067 (0.08160) [-5.11126] -0.293443 (0.10496) [-2.79588] D(TBRATE(-4)) -1.882122 (0.72503) [-2.59592] 0.079801 (0.09256) [ 0.86214] -0.130950 (0.11906) [-1.09989] D(TBRATE(-5)) -2.449647 (0.72426) [-3.38227] 0.285932 (0.09246) [ 3.09238] 0.116918 (0.11893) [ 0.98307] D(TBRATE(-6)) -0.288413 (0.71225) [-0.40493] 0.064754 (0.09093) [ 0.71213] -0.040854 (0.11696) [-0.34930] D(TBRATE(-7)) 0.946518 (0.67854) [ 1.39493] -0.125289 (0.08663) [-1.44631] 0.334504 (0.11142) [ 3.00208] D(TBRATE(-8)) -1.457825 (0.70979) [-2.05388] -0.109164 (0.09062) [-1.20469] 0.101164 (0.11656) [ 0.86795] D(TBRATE(-9)) -0.320108 -0.052860 0.028335 56 (0.68840) [-0.46500] 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 (0.08789) [-0.60146] (0.11304) [ 0.25065] 0.195612 (0.37513) [ 0.52145] 0.012617 (0.04789) [ 0.26344] 0.038729 (0.06160) [ 0.62871] 0.611151 0.496083 1604.230 4.045948 5.311235 -343.4397 5.834996 6.503441 -0.086641 5.699555 0.659457 0.558685 26.14663 0.516529 6.544000 -79.97229 1.718317 2.386762 0.045859 0.777536 0.553118 0.420878 43.25844 0.664389 4.182667 -112.1945 2.221789 2.890234 0.051953 0.873046 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 1.906793 0.855760 -534.9034 9.889116 12.07270 Vector Error Correction Estimates Date: 12/14/12 Time: 15:28 Sample (adjusted): 2000M10 2011M12 Included observations: 135 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 CointEq2 RT(-1) 1.000000 0.000000 INTRATE(-1) 0.000000 1.000000 TBRATE(-1) 0.463730 (0.29390) [ 1.57783] 0.210363 (0.24374) [ 0.86308] @TREND(00M07) -0.008024 (0.01993) -0.059326 (0.01653) 57 [-0.40264] [-3.58977] C -3.136463 -8.828039 Error Correction: D(RT) D(INTRATE) D(TBRATE) CointEq1 -0.714649 (0.11414) [-6.26129] -0.028133 (0.01580) [-1.78099] -0.006131 (0.01904) [-0.32202] CointEq2 0.067115 (0.18908) [ 0.35496] -0.124875 (0.02617) [-4.77197] -0.033620 (0.03154) [-1.06589] D(RT(-1)) 0.162128 (0.10053) [ 1.61266] 0.016618 (0.01391) [ 1.19437] 0.017282 (0.01677) [ 1.03046] D(RT(-2)) 0.067377 (0.08568) [ 0.78639] 0.029649 (0.01186) [ 2.50036] 0.029579 (0.01429) [ 2.06950] D(INTRATE(-1)) 0.790785 (0.58064) [ 1.36192] 0.300018 (0.08036) [ 3.73344] 0.277306 (0.09686) [ 2.86298] D(INTRATE(-2)) 0.159726 (0.62506) [ 0.25554] 0.299400 (0.08651) [ 3.46098] 0.360278 (0.10427) [ 3.45526] D(TBRATE(-1)) -1.034376 (0.52718) [-1.96209] 0.073211 (0.07296) [ 1.00343] -0.009503 (0.08794) [-0.10807] D(TBRATE(-2)) -0.411796 (0.52858) [-0.77906] 0.040710 (0.07315) [ 0.55649] -0.078248 (0.08817) [-0.88742] C 0.009117 (0.39730) [ 0.02295] 0.008612 (0.05499) [ 0.15663] 0.031364 (0.06628) [ 0.47324] 0.369066 0.329006 0.348664 0.307309 0.235058 0.186490 R-squared Adj R-squared 58 Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent 2661.640 4.596099 9.212975 -392.8027 5.952633 6.146318 -0.040593 5.610869 50.98125 0.636092 8.431071 -125.8241 1.997393 2.191078 0.037926 0.764276 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 4.935345 4.012619 -668.4576 10.42159 11.17481 74.06602 0.766698 4.839788 -151.0352 2.370893 2.564578 0.051852 0.850047 ... (2009) th nt nt i nhu n th ng ch n ch ng t ng Anh 17 2.2.5 uc 2.2.6 n uc 19 nh ng c t Nam .20 2.2.7 t k t qu u th c nghi m .21 U, CH N M U, THU TH LI U 22 3.1 3.2... i nhu n ti n t c n ph i th n tr n l yc av m n ph b tr s d ti ng ray ng bi us d u t i TTCK Vi t Nam a r i ro t lu n.T uc t, u th c nghi s 17 2.2.4 u c (2009) th nt i nhu n th ng ch n ch ng t ng... theo c gia c a m u i v i vi c ho yr c n tr ng vi c th c hi n TTCK 2.2.6 u c a Ngo (2009) ng c t Nam ng c c: (2.24) ng c c aM : (2.25) (2.26) (2.27) u s d ng d li u chu i th i gian t d , b ng uc