MỨC ĐỘ TRUYỀN DẪN CỦA GIÁ DẦU VÀO LẠM PHÁT VIỆT NAM GIAI ĐOẠN 2001 - 2013 LUẬN VĂN THẠC SĨ.PDF

B GIÁO D O I H C KINH T THÀNH PH H CHÍ MINH ฀ ฀ LÊ TH TRANG NHUNG M C TRUY N D N C A GIÁ D U VÀO L M PHÁT VI N 2001 - 2013 LU TP H CHÍ MINH, THÁNG 09 B GIÁO D I H C KINH T THÀNH PH O H CHÍ MINH ฀ ฀ LÊ TH TRANG NHUNG M C TRUY N D N C A GIÁ D U VÀO L M PHÁT VI N 2001 2013 Chuyên ngành: Tài Ngân hàng Mã s : 60340201 LU ng d n khoa h c: GS.TS Tr n Ng TP H L ng M L M PHÁT VI tôi, lu is N 2001 2013 ng d n t GS.TS Tr n Ng trung th c a tác gi công trình nghiên c u c a i dung k t qu c công b b t c cơng trình Ngồi ra, lu trích d TRUY N D N C A GIÁ D U VÀO d ng m t s nh n t ch li u u có thích ngu n g c sau m i d tra c u, ki m ch ng N u phát hi n có b t k s gian l n tơi xin hồn tồn ch u trách nhi H t qu lu a TP.HC Tác gi Lê Th Trang Nhung c L IC Tôi xin chân thành c y Tr n Ng su t trình th c hi n lu ng d n tơi t nghi p il ic n Th truy n t ki n th c su t khóa h c Sau cùng, tơi xin c nh Lê Th Trang Nhung b c lu t lòng quan tâm t t nghi p u ki n t t TÓM T T M U T NG QUAN CÁC NGHIÊN C 1.1 Các nghiên c u th gi i 1.1.1 1.1.2 1.2 Các nghiên c u v m 1.3 Các y u t truy n d n vào l m phát t i Vi t Nam 12 nm 1.3.1 truy n d n 13 13 1.3.2 14 1.3.3 15 K T LU 16 17 NG M TRUY N D N C A GIÁ D U VÀO L M PHÁT VI T NAM THEO MƠ HÌNH ECM 17 2.1 M truy n d n c a giá d u vào l m phát c a Vi t Nam giai n 2001 - 2013 17 2.1.1 Mơ hình nghiên c u 17 2.1.2 D li u nghiên c u 19 2.1.3 c th c hi n q trình ch y mơ hình 19 2.1.4 Ki nh nghi 19 2.1.5 Ch c tr t n mơ hình 20 2.1.6 Ki 2.1.7 M truy n d n c a giá d u vào l m phát dài h n 22 2.1.8 M truy n d n ng n h n: mơ hình hi u ch nh sai s ECM 23 ng liên k 21 2.2 26 2.2.1 26 2.2.2 27 K T LU 29 30 NH M NG C A GIÁ D U VÀO L M PHÁT VI T NAM THEO MƠ HÌNH VAR 30 3.1 Mơ hình nghiên c u 30 3.2 D li u c th c hi n 31 3.3 Ki nh nghi 32 3.4 Ch c tr t n mô hình 32 3.5 Ki nh Granger 33 3.6 Hàm ph n ng xung 34 36 i x ng (Asymmetric) c a giá d u 37 K T LU 41 K T LU N CHUNG 42 DANH M C TÀI LI U THAM KH O 43 PH L C 45 PH L C 2: 46 PH L C 3: 46 PH L C 4: 47 PH L C 5: 48 PH L C 6: 48 PH L C 7: 48 PH L C 49 PH L C 9: 50 PH L C 10 50 PH L C 11: 51 PH L C 12 : 55 PH L C 13 : 59 DANH M C T - VI T T T ADB: Ngân hàng phát tri n Châu Á ADF: Augmented Dickey-Fuller CPI: Ch s giá tiêu dùng chênh s ng OIL: Giá d u th gi i ECM: Error correction model VAR: Vector Autoregression Model SRPT: M truy n d n c a giá d u ng n h n (short-run pass through) GOS: T ng c c th ng kê Vi t Nam IFS: Th ng kê tài IMF: Qu ti n t qu c t IP: S ng công nghi p M2: L ng cung ti n R: Lãi su t ng n h n sách ti n t P-P: Phillips - Perron VN: Vi t Nam DANH M C B NG - B ng 2.1: K - B ng 2.2: B t - B ng 2.3: K t qu ki - B ng 2.4: M ng liên k truy n d n c a giá d u vào l m phát dài h n - B l n m c truy n d n giá d u theo nghiên c u c a Chou, Tseng (2011) - B ng 2.6: K t qu ki nh tính d ng c a giá tr EC - B ng 2.7: K t qu mơ hình hi u ch nh sai s ECM - B ng 2.8: Giá d u bi - B ng m ng Phillips n giá d ng Phillips - B ng 3.2: tr t - B ng 3.3: K t qu ki nh Granger - B ng 3.4: Ph n a bi ng giá d u - B ng 3.5: Ki nh nghi chu i giá d u - B ng 3.6: Ki nh Granger v i CPI chu i giá d u chuy i DANH M C HÌNH V - Hình 1: Bi ng giá d u th gi i l m phát Vi t Nam t M1 2001-M6 2013 - Hình 2: Hàm ph n ng xung c a cú s c giá d u OIL - a GDP CPI Hình 4: Ph n ng xung c a CPI O+ - Hình 5: P - Th c t theo dõi di n bi n giá d u th gi i l m phát t i Vi t Nam giai n 2001 2013 có s trùng h p T ng quanh m ng nh u 2004, l m phát Vi t Nam giá d u thô th i m c 37$/thùng 97$/thùng ng th gi i dao m c a giá d u bình quân n l m phát t i Vi nh t (19,95 ) v im t m c cao n ti p theo giá d u th gi p ng c a l m phát Vi t Nam Chính v y, tác gi d a theo nghiên c u c a Chou,Tseng (2011) Du c ng s (2010) d n c a giá d u vào l m phát Vi ng m n 2001-2013 Hình : Giá d u thô th gi i l m phát Vi t Nam 120 25 100 20 80 15 60 10 40 20 2000 2002 (Ngu n: IFS) 2004 2006 2008 2010 2012 2014 truy n 49 DT_1_DLNOILT_1 DT_2_DLNOILT_2 OPGAP_1 ECT_1 C R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.006879 -0.020037 0.006196 -0.008129 0.002926 0.369218 0.332651 0.007238 0.007230 520.5360 2.179859 0.017865 0.017945 0.007527 0.005523 0.000933 0.385048 -1.116621 0.823166 -1.471909 3.136094 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 0.7008 0.2661 0.4118 0.1433 0.0021 0.007113 0.008860 -6.959674 -6.776586 10.09701 0.000000 PH L C 8: TRUY N D N GIÁ D U TRONG NG N H N: GIAI N GIÁ D U CAO Dependent Variable: DLNCPI Method: Least Squares Date: 08/31/13 Time: 11:45 Sample (adjusted): 2001M04 2013M06 Included observations: 147 after adjustments Variable Coefficient Std Error t-Statistic Prob DLNCPIT_1 DLNCPIT_2 DLNOILT_1 DLNOILT_2 DT_1_DLNOILT_1 DT_2_DLNOILT_2 OPGAP_1 ECT_1 C 0.398256 0.146044 -0.004649 -0.015534 0.049394 0.024536 0.003655 -0.006865 0.002997 0.083106 0.078493 0.009504 0.009338 0.013974 0.014754 0.007210 0.005184 0.000798 4.792161 1.860611 -0.489187 -1.663480 3.534644 1.663001 0.506952 -1.324133 3.753524 0.0000 0.0649 0.6255 0.0985 0.0006 0.0986 0.6130 0.1876 0.0003 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.427635 0.394454 0.006895 0.006560 527.6790 2.171579 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic) 0.007113 0.008860 -7.056857 -6.873769 12.88809 0.000000 50 PH L C 9: KI NH NGHI TRONG MƠ HÌNH VAR Null Hypothesis: DLNM2 has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) t-Statistic -10.12187 -3.474874 -2.880987 -2.577219 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.0000 *MacKinnon (1996) one-sided p-values Null Hypothesis: DLNR has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=13) t-Statistic -10.60328 Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Prob.* 0.0000 -3.474874 -2.880987 -2.577219 *MacKinnon (1996) one-sided p-values PH L C 10 TR TRONG MƠ HÌNH VAR VAR Lag Order Selection Criteria Endogenous variables: DLNCPI DLNIP DLNM2 DLNOIL DLNR Exogenous variables: C Date: 09/18/13 Time: 20:53 Sample: 2001M01 2013M06 Included observations: 141 Lag LogL LR FPE AIC SC HQ 1252.591 1338.223 1379.689 1399.560 1424.631 1445.528 1468.786 1488.710 NA 163.9764 76.46190 35.23302 42.67343 34.08797 36.28837 29.67465 1.42e-14 6.01e-15 4.76e-15* 5.14e-15 5.17e-15 5.53e-15 5.76e-15 6.32e-15 -17.69632 -18.55635 -18.78991* -18.71717 -18.71817 -18.65998 -18.63526 -18.56327 -17.59176 -17.92896* -17.63969 -17.04411 -16.52228 -15.94126 -15.39372 -14.79889 -17.65383 -18.30140 -18.32250* -18.03730 -17.82584 -17.55518 -17.31801 -17.03356 51 1517.789 41.24578* 6.14e-15 -18.62111 -14.33391 * 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 11: K T QU KI OIL,GDP,CPI NH GRANGER V I BI N VAR Granger Causality/Block Exogeneity Wald Tests Date: 09/22/13 Time: 20:35 Sample: 2001M01 2013M06 Included observations: 147 Dependent variable: DLNCPI Excluded Chi-sq df Prob LNIP DLNM2 DLNOIL DLNR 12.89258 11.20962 6.991087 6.772309 2 2 0.0016 0.0037 0.0303 0.0338 All 41.43405 0.0000 Dependent variable: DLNIP Excluded Chi-sq df Prob DLNCPI DLNM2 DLNOIL DLNR 9.639737 28.73090 2.263609 5.343926 2 2 0.0081 0.0000 0.3225 0.0691 All 45.92277 0.0000 Dependent variable: DLNM2 Excluded Chi-sq df Prob DLNCPI 3.898521 0.1424 -16.87894 52 LNIP DLNOIL DLNR 13.40480 5.097853 0.152111 2 0.0012 0.0782 0.9268 All 29.73522 0.0002 Dependent variable: DLNOIL Excluded Chi-sq df Prob DLNCPI LNIP DLNM2 DLNR 3.299943 1.585849 1.882932 2.855453 2 2 0.1921 0.4525 0.3901 0.2399 All 7.631154 0.4703 Dependent variable: DLNR Excluded Chi-sq df Prob DLNCPI LNIP DLNM2 DLNOIL 24.01347 1.120106 0.961744 8.599849 2 2 0.0000 0.5712 0.6182 0.0136 All 47.52420 0.0000 VAR Granger Causality/Block Exogeneity Wald Tests Date: 09/22/13 Time: 20:37 Sample: 2001M01 2008M12 Included observations: 93 Dependent variable: DLNCPI Excluded Chi-sq df Prob LNIP DLNM2 DLNOIL DLNR 12.08810 4.045534 6.633285 1.351486 2 2 0.0024 0.1323 0.0363 0.5088 All 39.00098 0.0000 53 Dependent variable: DLNIP Excluded Chi-sq df Prob DLNCPI DLNM2 DLNOIL DLNR 9.082013 27.17414 1.132325 4.643014 2 2 0.0107 0.0000 0.5677 0.0981 All 40.71429 0.0000 Dependent variable: DLNM2 Excluded Chi-sq df Prob DLNCPI LNIP DLNOIL DLNR 5.578447 36.25791 7.718401 0.695137 2 2 0.0615 0.0000 0.0211 0.7064 All 58.35148 0.0000 Dependent variable: DLNOIL Excluded Chi-sq df Prob DLNCPI LNIP DLNM2 DLNR 5.285853 4.717375 2.903895 1.437477 2 2 0.0712 0.0945 0.2341 0.4874 All 10.11887 0.2568 Dependent variable: DLNR Excluded Chi-sq df Prob DLNCPI LNIP DLNM2 DLNOIL 19.09727 0.766445 4.187252 3.535599 2 2 0.0001 0.6817 0.1232 0.1707 All 34.28786 0.0000 54 VAR Granger Causality/Block Exogeneity Wald Tests Date: 09/22/13 Time: 20:38 Sample: 2009M01 2013M06 Included observations: 54 Dependent variable: DLNCPI Excluded Chi-sq df Prob LNIP DLNM2 DLNOIL DLNR 0.736257 3.199113 1.050907 5.572830 2 2 0.6920 0.2020 0.5913 0.0616 All 10.68741 0.2200 Dependent variable: DLNIP Excluded Chi-sq df Prob DLNCPI DLNM2 DLNOIL DLNR 1.307312 8.174175 1.698578 1.414076 2 2 0.5201 0.0168 0.4277 0.4931 All 15.28020 0.0539 Dependent variable: DLNM2 Excluded Chi-sq df Prob DLNCPI LNIP DLNOIL DLNR 1.195731 0.430895 0.283406 1.920293 2 2 0.5500 0.8062 0.8679 0.3828 All 7.940304 0.4393 Dependent variable: DLNOIL Excluded Chi-sq df Prob DLNCPI LNIP DLNM2 DLNR 0.798521 2.247796 1.595423 4.098699 2 2 0.6708 0.3250 0.4504 0.1288 55 All 8.549398 0.3817 Dependent variable: DLNR Excluded Chi-sq df Prob DLNCPI LNIP DLNM2 DLNOIL 2.895749 0.285467 7.643673 6.500390 2 2 0.2351 0.8670 0.0219 0.0388 All 25.20262 0.0014 PH L C 12 : K T QU KI NH GRANGER V I BI N O+, CPI VAR Granger Causality/Block Exogeneity Wald Tests Date: 09/22/13 Time: 21:03 Sample: 2001M01 2013M06 Included observations: 147 Dependent variable: DLNCPI Excluded Chi-sq df Prob DLNM2 DLNR DLNIP OT_ 10.95463 7.043649 13.17347 7.818855 2 2 0.0042 0.0295 0.0014 0.0201 All 42.46120 0.0000 Dependent variable: DLNM2 Excluded Chi-sq df Prob DLNCPI DLNR DLNIP OT_ 4.939446 0.161186 13.79762 1.966383 2 2 0.0846 0.9226 0.0010 0.3741 All 26.05696 0.0010 Dependent variable: DLNR 56 Excluded Chi-sq df Prob DLNCPI DLNM2 DLNIP OT_ 28.37274 1.285587 1.225584 4.655542 2 2 0.0000 0.5258 0.5418 0.0975 All 42.51813 0.0000 Dependent variable: LNIP Excluded Chi-sq df Prob DLNCPI DLNM2 DLNR OT_ 10.13580 30.70749 4.963580 2.802172 2 2 0.0063 0.0000 0.0836 0.2463 All 46.63140 0.0000 Dependent variable: OT_ Excluded Chi-sq df Prob DLNCPI DLNM2 DLNR DLNIP 5.680244 0.871740 3.615039 3.723177 2 2 0.0584 0.6467 0.1641 0.1554 All 9.121198 0.3322 VAR Granger Causality/Block Exogeneity Wald Tests Date: 09/22/13 Time: 21:06 Sample: 2001M01 2008M12 Included observations: 93 Dependent variable: DLNCPI Excluded Chi-sq df Prob DLNM2 DLNR DLNIP 5.119389 1.295313 10.17785 2 0.0773 0.5233 0.0062 57 OT_ 3.612213 0.1643 All 34.87665 0.0000 Dependent variable: DLNM2 Excluded Chi-sq df Prob DLNCPI DLNR DLNIP OT_ 8.028188 0.790740 37.54337 1.772335 2 2 0.0181 0.6734 0.0000 0.4122 All 49.04971 0.0000 Dependent variable: DLNR Excluded Chi-sq df Prob DLNCPI DLNM2 DLNIP OT_ 23.76849 3.888181 0.666560 3.280965 2 2 0.0000 0.1431 0.7166 0.1939 All 33.94168 0.0000 Dependent variable: DLNIP Excluded Chi-sq df Prob DLNCPI DLNM2 DLNR OT_ 9.287828 28.17844 4.666901 1.600374 2 2 0.0096 0.0000 0.0970 0.4492 All 41.40519 0.0000 Dependent variable: OT_ Excluded Chi-sq df Prob DLNCPI DLNM2 DLNR DLNIP 11.34308 0.950072 3.707713 3.327902 2 2 0.0034 0.6219 0.1566 0.1894 58 All 13.06936 0.1095 VAR Granger Causality/Block Exogeneity Wald Tests Date: 09/22/13 Time: 21:16 Sample: 2009M01 2013M06 Included observations: 54 Dependent variable: DLNCPI Excluded Chi-sq df Prob DLNM2 DLNR DLNIP OT_ 3.977897 4.321316 1.817638 2.604164 2 2 0.1368 0.1152 0.4030 0.2720 All 12.58046 0.1271 Dependent variable: DLNM2 Excluded Chi-sq df Prob DLNCPI DLNR DLNIP OT_ 0.895351 1.866532 0.269976 0.311408 2 2 0.6391 0.3933 0.8737 0.8558 All 7.973260 0.4361 Dependent variable: DLNR Excluded Chi-sq df Prob DLNCPI DLNM2 DLNIP OT_ 2.191259 10.61309 0.497395 2.724461 2 2 0.3343 0.0050 0.7798 0.2561 All 20.00007 0.0103 df Prob Dependent variable: LNIP Excluded Chi-sq 59 DLNCPI DLNM2 DLNR OT_ 0.929423 8.424821 0.748395 0.133815 2 2 0.6283 0.0148 0.6878 0.9353 All 13.23999 0.1039 Dependent variable: OT_ Excluded Chi-sq df Prob DLNCPI DLNM2 DLNR DLNIP 0.860937 0.546748 4.330341 4.169205 2 2 0.6502 0.7608 0.1147 0.1244 All 12.40069 0.1342 PH L C 13 : K T QU KI NH GRANGER V I BI N O-, CPI VAR Granger Causality/Block Exogeneity Wald Tests Date: 09/22/13 Time: 21:59 Sample: 2001M01 2013M06 Included observations: 147 Dependent variable: DLNCPI Excluded Chi-sq df Prob DLNM2 DLNR DLNIP OT_01 11.05274 6.119161 12.21075 3.223825 2 2 0.0040 0.0469 0.0022 0.1995 All 36.75935 0.0000 Dependent variable: DLNM2 Excluded Chi-sq df Prob DLNCPI DLNR DLNIP OT_01 3.893935 0.122586 12.98898 4.839457 2 2 0.1427 0.9405 0.0015 0.0889 60 All 29.43170 0.0003 Dependent variable: DLNR Excluded Chi-sq df Prob DLNCPI DLNM2 DLNIP OT_01 24.47866 0.791551 1.451520 6.984599 2 2 0.0000 0.6732 0.4840 0.0304 All 45.47414 0.0000 Dependent variable: LNIP Excluded Chi-sq df Prob DLNCPI DLNM2 DLNR OT_01 8.288426 28.37516 4.968762 1.685675 2 2 0.0159 0.0000 0.0834 0.4305 All 45.16235 0.0000 Dependent variable: OT_01 Excluded Chi-sq df Prob DLNCPI DLNM2 DLNR DLNIP 0.862855 2.153097 1.450470 0.305280 2 2 0.6496 0.3408 0.4842 0.8584 All 4.888135 0.7695 VAR Granger Causality/Block Exogeneity Wald Tests Date: 09/22/13 Time: 22:00 Sample: 2001M01 2008M12 Included observations: 93 Dependent variable: DLNCPI 61 Excluded Chi-sq df Prob DLNM2 DLNR DLNIP OT_01 3.821727 1.081404 12.40673 5.514692 2 2 0.1480 0.5823 0.0020 0.0635 All 37.47389 0.0000 Dependent variable: DLNM2 Excluded Chi-sq df Prob DLNCPI DLNR DLNIP OT_01 5.081801 0.649881 35.26459 9.587363 2 2 0.0788 0.7226 0.0000 0.0083 All 61.27520 0.0000 Dependent variable: DLNR Excluded Chi-sq df Prob DLNCPI DLNM2 DLNIP OT_01 18.86093 4.277217 0.756992 2.283493 2 2 0.0001 0.1178 0.6849 0.3193 All 32.58559 0.0001 Dependent variable: DLNIP Excluded Chi-sq df Prob DLNCPI DLNM2 DLNR OT_01 8.255833 26.66111 4.237191 0.482187 2 2 0.0161 0.0000 0.1202 0.7858 All 39.75460 0.0000 df Prob Dependent variable: OT_01 Excluded Chi-sq 62 DLNCPI DLNM2 DLNR DLNIP 1.451800 2.895507 0.492323 2.903343 2 2 0.4839 0.2351 0.7818 0.2342 All 6.864712 0.5513 VAR Granger Causality/Block Exogeneity Wald Tests Date: 09/22/13 Time: 22:01 Sample: 2009M01 2013M06 Included observations: 54 Dependent variable: DLNCPI Excluded Chi-sq df Prob DLNM2 DLNR DLNIP OT_01 2.578532 7.579280 0.909795 1.821603 2 2 0.2755 0.0226 0.6345 0.4022 All 11.62671 0.1687 Dependent variable: DLNM2 Excluded Chi-sq df Prob DLNCPI DLNR DLNIP OT_01 1.155282 2.260258 0.313620 0.662263 2 2 0.5612 0.3230 0.8549 0.7181 All 8.386182 0.3967 Dependent variable: DLNR Excluded Chi-sq df Prob DLNCPI DLNM2 DLNIP OT_01 3.031790 5.786145 0.414204 6.658828 2 2 0.2196 0.0554 0.8129 0.0358 All 25.42092 0.0013 63 Dependent variable: DLNIP Excluded Chi-sq df Prob DLNCPI DLNM2 DLNR OT_01 0.706932 8.462147 1.938945 2.903759 2 2 0.7022 0.0145 0.3793 0.2341 All 16.85158 0.0317 Dependent variable: OT_01 Excluded Chi-sq df Prob DLNCPI DLNM2 DLNR DLNIP 1.242084 2.743086 4.999420 0.467706 2 2 0.5374 0.2537 0.0821 0.7915 All 6.412966 0.6011 ... 4.90e-09 3.21e-09 2.46e-09 2.42e-09 2.45e-09 2.42e-09 2.29e-09* 2.44e-09 2.31e-09 -1 0.62053 -1 1.04267 -1 1.31141 -1 1.32494 -1 1.31646 -1 1.32974 -1 1.38639* -1 1.32720 -1 1.38314 -1 0.55780 -1 0.79171 -1 0.87223*... 1.88e-13 7.54e-15 6.10e-15 5.46e-15 4.93e-15* 5.36e-15 5.52e-15 5.86e-15 6.66e-15 -1 5.11038 -1 8.33004 -1 8.54262 -1 8.65613 -1 8.76568* -1 8.69243 -1 8.67672 -1 8.63833 -1 8.54003 -1 5.00582 -1 7.70264* -1 7.39240... -1 0.55780 -1 0.79171 -1 0.87223* -1 0.69754 -1 0.50085 -1 0.32590 -1 0.19434 -9 .946930 -9 .814653 -1 0.59504 -1 0.94069 -1 1.13294* -1 1.06999 -1 0.98502 -1 0.92181 -1 0.90198 -1 0.76631 -1 0.74576 * indicates lag