MỐI QUAN HỆ GIỮA LẠM PHÁT VÀ TĂNG TRƯỞNG KINH TẾ NGHIÊN CỨU THỰC NGHIỆM Ở VIỆT NAM.PDF

M I QUAN H GI A L NG KINH T : U TH C NGHI M VI T NAM M I QUAN H GI A L NG KINH T : U TH C NGHI M : 60340201 VI T NAM L uc li u thu th p th u mv n i cc H n Trang L L im u 1: 1.2.2 1.3 M i quan h gi a l ng kinh t 10 1.4 u th c nghi m 13 1.4.1 ng th c nghi m ch m i quan h gi a l ng kinh t 13 1.4.2 ng th c nghi m ch m i quan h gi a l m ng kinh t 14 1.4.3 ng th c nghi m ch m i quan h phi n gi a l ng kinh t 15 1.5 16 21 2011 22 22 28 28 29 ng ki 32 3.2 P 3.2 3.2.3 3.4.1 3.4 36 37 c nghi m 37 38 39 40 41 42 43 43 44 3.4 46 3.4 4.2 48 50 51 51 52 52 56 kinh 58 60 61 62 2 2 2 2 .1 Trang 2011 23 2010 24 2011 27 28 30 30 c 31 2011 33 47 49 D 2 2.4: ICOR Trang 2010 24 25 29 32 43 43 44 45 48 -1- D N NH P V v tr -2- t nhi s ng qua l i gi l d ng h t (co- hi u ch nh (ecm- i quan h u gi n t i b (Bangladesh, d ng ki nh nghi xu t b i Dickey-Fulle - (vector autoregressive model) cho th y, l ng th c t h ng c a l ns n h nh ng th c t (GDP) l i mang d Trong th i gian g th gi kh ng ho ng kinh t cao ns n u bi mt c bi n l nhi uc m cs bi m c u ng qua l i gi nh l M ng kinh t U M a lu ng kinh t n i quan h ng kinh t , l gi a l ng -3- - M i quan h gi a l ng kinh t - c qu Vi m ch l ph c v ng kinh t b n v U uc d ng th i h t, hi u ch a i quan h gi Nam ng n h n c Ki n : nh m i quan h PH gi a l U kiw, 2003 Vi t ng ng kinh t - 57 - n sai l m vi ut u t h tr gi cv t p l i nh ng c n ng v nt n n n kinh t c c t m th d n t i vi c ph ng is - 58 - 4.2 -0.04 47% T N ngu ut t ng l ut y Vi t Nam c n ph i t s n xu t, c - 59 - ph ct ,t m Vi c, t ba qu c gia d g u th gi i v xu t kh u um t i danh s p trung t nh ng n n kinh t s n gi i nhi ng nh n hi u h c v Vi i Vi t Nam c n c p u ki n cho t ng l p tr c c Vi t Nam c khoa h c T om t ngh thu ng d ng m "ph n ng cho s cb ov i m i" - s c tr ti n m Vi u qu n tri gu n r ng b nm t l i th v ngu Vi t Nam c c n ki t Do v y Vi t n kinh t ov o v ngu a Qu c gia - 60 - - - Nam - - 61 - T 2, - 62 - - , m Chung Barro, R., 1996, Inflation and Growth, Federal Reserve Bank of St Louis Review, vol 78, pp 153 69 Ben S Bernanke and F.S.Mishkin, Inflation targeting: A new framework for moneytary policy Bruno, M and W Easterly, 1998, Inflation crisis and long-run growth, Journal of Monetary Economics, vol 41, pp 26 Christoffersen, Peter and Doyle, Peter (1998), From Inflation to Growth , IMF Working Paper No 98/100 Daniel,L and Rossi, M (2002), Exchange Rate Pass-Through in Turkey, IMF Working Paper, Vol.02-204 , pp 1-19 Dickey, D.A and W.A Fuller, 1979, Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, vol 74, pp 427 31 - 63 - Engle, R.F and C Granger, 1987, Cointegration and error correction: Representation, estimation and testing, Econometrica 55, pp 251 76 Faria, J.R and Carneiro, F.G., 2001, Does high inflation affect growth in the long and short run?, journal of Applied Economics, Vol 4, pp 89 105 Fisher, S., 1993, The role of macroeconomic factors in economic growth, Journal of Monetary Economics, vol 32, pp 485 512 Friedman, M (1970), The Social Responsibility of Business is to Increase its Profits, The New Times Magazine Granger, C W J (1969), Investigating Causal Relations by Econometric Models and Cross-spectral Methods, Econometrica vol 37, pp 424 38 Gujarati, N., 2003, Basic Econometrics, fourth edition McGraw-Hill, New York Hamilton, J D., 1994, Time series analysis, Princeton university press Ito Takatoshi & Sato Kiyotaka, 2006, Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate PassThrough, Discussion papers 06018, Research Institute of Economy, Trade and Industry (RIETI) Johansen, S., 1988, Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Contral, Vol 12, pp 231 54 Johansen, S and Juselius, K., 1990, Maximum likelihood estimation and inference on cointegration with the application to the demand of money, Oxford bulletin of economics and stastics, vol 52, pp 169 210 Khan, M S and Denhadji, A.S., 2001, Threshole dffects in the relationship between inflation and growth, IMF staff papers, vol 48 Li, C and Diebold, F.X (2006), Forecasting the Term Structure of Government Bond Yields, Journal of Econometrics, Vol 130, pp 337-64 - 64 - Mallik and Chowdhury, 2001, Inflation and economic growth: evidence from four South Asian countries, Asia-Pacific development fournal, vol Mankiw, 2003, Macroeconomics Worth Publisher Mechael Pokorny, An introduction to econometrics, Basil Blackwell, New York, 1987 Mundell, R (1963), Inflation and Real Interest, Journal of Political Economy Vol 71, pp: 280 283 Newbold, P and Bos, T., Introductory business and economic forecasting (2nd edition), International Thomson Publishing, 1994 Nguyen Thi Thu Hang, Nguyen Duc Thanh, Macroeconomic Determinants -2010: Evidence and Analysis, VEPR Working Paper WP-09 Nigger, 2004, A short Course in Macroeconomics or Whatever Happened to Monetarism? Review of Political Economy Sarel, M., 1996, Nonlinear effects of inflation on economic growth, IMF staff paper, vol 43, pp 199 215 Sidrauski, Miguel (1967), Rational Choice and Patterns of Growth in a Monetary Economy, American Economic Review 57 (2): 534 544 Stockman, Alan C., 1981, Anticipated inflation and the capital stock in a cash in-advance economy, Journal of Monetary Economics, Elsevier, vol 8(3), pp 387-93 Tobin, J., 1965, Money and economic growth, econometrica 32, pp 671 Pham Chi Quang (2000), Information Content and Policy Options (EADN), Individual Research Project 84 rrangement in Vietnam: - 65 - 1: ^ ln I t ln Gt t ln OIL Dependent Variable: LNI Method: Least Squares Sample: 2001Q1 2011Q4 Included observations: 44 ln Mt ln Et Variable Coefficient Std Error t-Statistic Prob C LNG LNOIL LNM LNE 3.271733 0.004369 0.046599 -0.103835 0.133862 0.687941 0.016521 0.009990 0.037201 0.072656 4.755831 0.264444 4.664524 -2.791190 1.842409 ut 0.0000 0.0793 0.0000 0.0081 0.0730 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.446763 0.390021 0.016843 0.011064 119.9089 7.873564 0.000094 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 4.626687 0.021565 -5.223134 -5.020385 -5.147945 1.155035 h VAR VAR Lag Order Selection Criteria Endogenous variables: LNI D(LNG) D(LNOIL) D(LNM) D(LNE) Exogenous variables: C Sample: 2001Q1 2011Q4 Included observations: 39 Lag LogL LR FPE AIC SC HQ 318.6965 362.7321 381.6162 413.8679 474.9277 NA 74.52177 27.11556 38.04047 56.36295* 7.10e-14 2.71e-14 3.96e-14 3.26e-14 7.49e-15* -16.08700 -17.06319 -16.74955 -17.12143 -18.97065* -15.87372* -15.78352 -14.40350 -13.70900 -14.49183 -16.01048 -16.60405 -15.90780 -15.89708 -17.36369* * 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 - 66 - 3: Roots of Characteristic Polynomial Endogenous variables: LNI D(LNG) D(LNOIL) D(LNM) D(LNE) Exogenous variables: C Lag specification: Root Modulus 0.040447 - 0.986809i 0.040447 + 0.986809i -0.971838 0.961420 0.448240 + 0.804041i 0.448240 - 0.804041i 0.728373 - 0.427836i 0.728373 + 0.427836i -0.598712 + 0.571969i -0.598712 - 0.571969i -0.155482 + 0.802534i -0.155482 - 0.802534i -0.001845 + 0.773030i -0.001845 - 0.773030i 0.761124 -0.671199 - 0.211448i -0.671199 + 0.211448i 0.550620 - 0.408392i 0.550620 + 0.408392i -0.563268 0.987637 0.987637 0.971838 0.961420 0.920544 0.920544 0.844731 0.844731 0.828012 0.828012 0.817456 0.817456 0.773033 0.773033 0.761124 0.703717 0.703717 0.685541 0.685541 0.563268 No root lies outside the unit circle VAR satisfies the stability condition 4: Vector Autoregression Estimates Sample (adjusted): 2002Q2 2011Q4 Included observations: 39 after adjustments Standard errors in ( ) & t-statistics in [ ] LNI D(LNG) D(LNOIL) D(LNM) D(LNE) LNI(-1) 0.722099 (0.25960) [ 2.78153] -0.009849 (1.27386) [-0.00773] 1.013176 (1.68025) [ 0.60299] 1.797497 (0.79296) [ 2.26682] 0.054488 (0.13812) [ 0.39449] LNI(-2) -0.214257 (0.32628) [-0.65666] -1.937296 (1.60106) [-1.21001] -0.084685 (2.11183) [-0.04010] -1.549358 (0.99663) [-1.55459] 0.265061 (0.17360) [ 1.52685] LNI(-3) -0.149322 (0.34524) [-0.43252] -1.205233 (1.69408) [-0.71144] -4.526798 (2.23452) [-2.02585] 0.264880 (1.05454) [ 0.25118] -0.086461 (0.18369) [-0.47070] LNI(-4) 0.783776 (0.33873) [ 2.31388] -2.046614 (1.66212) [-1.23133] 3.626893 (2.19236) [ 1.65433] -1.645053 (1.03464) [-1.58997] 0.111150 (0.18022) [ 0.61674] - 67 - D(LNG(-1)) 0.011545 (0.04292) [ 0.26901] -0.448366 (0.21059) [-2.12914] -0.149692 (0.27777) [-0.53891] -0.147231 (0.13109) [-1.12315] 0.013806 (0.02283) [ 0.60464] D(LNG(-2)) 0.056525 (0.04347) [ 1.30036] 0.005617 (0.21330) [ 0.02634] 0.168680 (0.28135) [ 0.59955] -0.037801 (0.13278) [-0.28470] 0.015438 (0.02313) [ 0.66750] D(LNG(-3)) 0.091622 (0.04032) [ 2.27226] -0.060336 (0.19786) [-0.30495] 0.429092 (0.26098) [ 1.64418] 0.067590 (0.12316) [ 0.54879] -0.001562 (0.02145) [-0.07281] D(LNG(-4)) 0.017429 (0.03639) [ 0.47897] -0.483268 (0.17855) [-2.70656] 0.296870 (0.23552) [ 1.26050] -0.139067 (0.11115) [-1.25119] 0.000208 (0.01936) [ 0.01077] D(LNOIL(-1)) 0.025397 (0.04009) [ 0.63348] 0.237891 (0.19673) [ 1.20924] -0.052226 (0.25949) [-0.20127] -0.332104 (0.12246) [-2.71193] -0.029156 (0.02133) [-1.36683] D(LNOIL(-2)) 0.027516 (0.03617) [ 0.76075] 0.218097 (0.17748) [ 1.22885] -0.122962 (0.23410) [-0.52526] 0.036587 (0.11048) [ 0.33117] -0.013695 (0.01924) [-0.71166] D(LNOIL(-3)) -0.040096 (0.03724) [-1.07667] 0.052622 (0.18274) [ 0.28796] -0.028158 (0.24104) [-0.11682] -0.102148 (0.11375) [-0.89799] 0.006800 (0.01981) [ 0.34320] D(LNOIL(-4)) -0.054569 (0.03808) [-1.43315] 0.148231 (0.18684) [ 0.79337] -0.507308 (0.24644) [-2.05854] 0.011209 (0.11630) [ 0.09638] -0.011700 (0.02026) [-0.57753] D(LNM(-1)) 0.013692 (0.06779) [ 0.20199] 0.937226 (0.33263) [ 2.81766] 0.565783 (0.43874) [ 1.28956] 0.401468 (0.20705) [ 1.93895] 0.005959 (0.03607) [ 0.16524] D(LNM(-2)) -0.028947 (0.06393) [-0.45283] 0.006564 (0.31368) [ 0.02093] -0.134675 (0.41375) [-0.32550] -0.025553 (0.19526) [-0.13087] 0.011627 (0.03401) [ 0.34184] D(LNM(-3)) -0.036237 (0.06235) [-0.58122] -0.674283 (0.30593) [-2.20408] -0.222082 (0.40352) [-0.55036] -0.319095 (0.19043) [-1.67562] 0.000249 (0.03317) [ 0.00751] D(LNM(-4)) -0.066406 (0.06457) [-1.02850] 1.030838 (0.31682) [ 3.25369] 0.713077 (0.41789) [ 1.70636] 0.721959 (0.19722) [ 3.66074] -0.005045 (0.03435) [-0.14685] D(LNE(-1)) -0.011761 (0.44530) [-0.02641] 1.656984 (2.18508) [ 0.75832] -3.556967 (2.88216) [-1.23413] -0.147716 (1.36018) [-0.10860] 0.245346 (0.23693) [ 1.03554] D(LNE(-2)) -0.317050 (0.47591) [-0.66620] 1.016416 (2.33525) [ 0.43525] -6.915152 (3.08024) [-2.24500] -0.026337 (1.45366) [-0.01812] -0.261419 (0.25321) [-1.03243] - 68 - D(LNE(-3)) 0.748636 (0.47371) [ 1.58037] 0.873104 (2.32446) [ 0.37562] 6.726187 (3.06601) [ 2.19379] -1.290077 (1.44694) [-0.89159] 0.045646 (0.25204) [ 0.18111] D(LNE(-4)) -0.619643 (0.54257) [-1.14206] 0.678913 (2.66233) [ 0.25501] 0.751471 (3.51167) [ 0.21399] 0.713052 (1.65726) [ 0.43026] 0.579615 (0.28867) [ 2.00786] C -0.651520 (1.76103) [-0.36996] 23.96697 (8.64125) [ 2.77355] -0.057933 (11.3980) [-0.00508] 5.255728 (5.37906) [ 0.97707] -1.587675 (0.93696) [-1.69450] 0.718679 0.406100 0.005101 0.016834 2.299191 119.0293 -5.027145 -4.131381 4.628610 0.021843 0.838569 0.659201 0.122814 0.082601 4.675139 56.99405 -1.845849 -0.950085 -0.002875 0.141494 0.804300 0.586855 0.213673 0.108953 3.698875 46.19535 -1.292069 -0.396305 0.037713 0.169507 0.778304 0.531975 0.047589 0.051418 3.159609 75.48139 -2.793917 -1.898153 0.016774 0.075159 0.677798 0.319796 0.001444 0.008956 1.893278 143.6389 -6.289175 -5.393411 0.008374 0.010860 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 8.69E-16 1.82E-17 474.9277 -18.97065 -14.49183 5: VAR Granger Causality/Block Exogeneity Wald Tests Sample: 2001Q1 2011Q4 Included observations: 39 Dependent variable: LNI Excluded Chi-sq df Prob D(LNG) D(LNOIL) D(LNM) D(LNE) 5.962205 6.423679 2.229142 3.694959 4 4 0.2020 0.1697 0.6937 0.4489 All 20.91048 16 0.1820 Dependent variable: D(LNG) Excluded Chi-sq df Prob LNI D(LNOIL) D(LNM) D(LNE) 8.897430 3.680419 18.73517 2.932029 4 4 0.0637 0.4510 0.0009 0.5693 All 89.24019 16 0.0000 - 69 - Dependent variable: D(LNOIL) Excluded Chi-sq df Prob LNI D(LNG) D(LNM) D(LNE) 7.581393 4.544637 3.841061 16.09446 4 4 0.1082 0.3373 0.4279 0.0029 All 49.18380 16 0.0000 Dependent variable: D(LNM) Excluded Chi-sq df Prob LNI D(LNG) D(LNOIL) D(LNE) 8.005483 3.586598 7.481606 0.981178 4 4 0.0914 0.4648 0.1125 0.9126 All 20.43105 16 0.2014 Dependent variable: D(LNE) Excluded Chi-sq df Prob LNI D(LNG) D(LNOIL) D(LNM) 5.995952 0.689660 3.173470 0.189476 4 4 0.1995 0.9526 0.5292 0.9958 All 17.96356 16 0.3260 - 70 - 6: Response of LNI: Period LNI D(LNG) D(LNOIL) D(LNM) D(LNE) 10 0.016834 0.013261 0.007215 -0.002046 0.000646 0.003136 0.002903 0.001337 0.000878 -0.000379 0.000000 0.001598 0.008137 0.007101 0.004123 0.000353 -0.002549 -0.003651 -0.000154 0.000116 0.000000 0.002573 0.005281 0.000436 -0.005242 -0.003460 0.001584 0.001568 -0.001985 -0.001456 0.000000 0.000650 -0.000102 0.001335 -0.001052 -0.001122 0.001664 0.005449 -0.001058 -0.002656 0.000000 -5.64E-05 -0.001925 0.000910 9.54E-05 0.002293 0.001473 0.000414 -0.001419 0.000997 Response of D(LNG): Period LNI D(LNG) D(LNOIL) D(LNM) D(LNE) 10 -0.015218 0.017156 -0.013642 -0.024339 -0.069592 -0.028313 0.021741 0.011904 -0.005440 0.007010 0.081187 -0.046643 -0.000727 0.004646 -0.032361 -0.027580 -0.043659 -0.008653 0.004456 0.009788 0.000000 0.030935 -0.021572 -0.014715 0.030819 -0.059987 -0.009857 0.005020 0.020322 0.013153 0.000000 0.048567 0.004723 -0.038734 0.034265 0.027847 0.007514 -0.038205 0.022079 0.008040 0.000000 0.007943 -0.001460 -0.003613 0.013220 -0.000619 0.000225 0.008068 -0.001985 -0.018810 Response of D(LNOIL): Period LNI D(LNG) D(LNOIL) D(LNM) D(LNE) 10 0.052220 0.013295 0.007315 -0.082370 -0.076763 0.017228 0.030537 -0.004354 -0.029483 -0.026524 0.025843 0.007551 0.058860 -0.008523 -0.030282 -0.029203 -0.029154 -0.034025 -0.003134 0.031680 0.092065 0.013652 0.001703 0.010817 -0.056380 -0.053629 0.038756 0.020108 0.002551 -0.006591 0.000000 0.021755 -0.017328 -0.007190 0.046461 0.022068 -0.015287 0.006260 0.014017 -0.023283 0.000000 -0.017051 -0.038089 0.031357 0.020351 -0.007454 -0.003923 0.012316 -0.016157 -0.018117 Response of D(LNM): Period LNI D(LNG) D(LNOIL) D(LNM) D(LNE) 10 -0.002887 0.013928 -0.000941 -0.011034 -0.015147 0.012596 0.004984 -0.006108 -0.014601 0.007920 -0.005481 -0.021733 -0.003100 0.007249 -0.006985 -0.009162 -0.006695 0.007811 0.006097 0.002744 0.014684 -0.024258 -0.010647 -0.006362 0.012526 -0.013134 0.003758 0.002012 0.013539 -0.007027 0.048886 0.019381 -0.006823 -0.018236 0.033093 0.000874 -0.014522 -0.020703 0.024269 -0.000840 0.000000 -0.000708 0.003808 0.003952 -0.000883 -0.007813 0.003017 0.000807 -0.004434 -0.008633 - 71 - Response of D(LNE): Period LNI D(LNG) D(LNOIL) D(LNM) D(LNE) 10 0.000472 -0.000717 0.003834 0.003818 0.003846 0.001708 0.001505 0.002528 0.004532 0.002783 -0.006791 -0.001331 0.001378 -0.001530 -0.002963 0.001625 0.002818 -0.000386 -0.002130 0.000795 -0.002854 -0.003297 -0.001128 0.001652 -0.002053 -0.001532 0.000728 -0.001000 -0.002289 -0.000296 0.001660 0.000699 0.000493 0.001400 0.000825 -0.001223 -0.000364 0.002152 0.000490 -0.001301 0.004794 0.001176 -0.000365 0.001163 0.002231 0.000409 -6.07E-05 0.001302 0.001439 0.000889 Cholesky Ordering: LNI D(LNG) D(LNOIL) D(LNM) D(LNE) Response to Cholesky One S.D Innov ations Response of LNI to LNI Response of LNI to D(LNG) Response of LNI to D(LNOIL) Response of LNI to D(LNM) Response of LNI to D(LNE) 02 02 02 02 02 01 01 01 01 01 00 00 00 00 00 -.01 -.01 10 -.01 Response of D(LNG) to LNI 10 -.01 Response of D(LNG) to D(LNG) 10 -.01 Response of D(LNG) to D(LNOIL) 10 Response of D(LNG) to D(LNM) 10 Response of D(LNG) to D(LNE) 10 10 10 10 10 05 05 05 05 05 00 00 00 00 00 -.05 -.05 -.05 -.05 -.05 -.10 -.10 10 -.10 Response of D(LNOIL) to LNI 10 -.10 Response of D(LNOIL) to D(LNG) 10 -.10 Response of D(LNOIL) to D(LNOIL) 10 Response of D(LNOIL) to D(LNM) 10 Response of D(LNOIL) to D(LNE) 10 10 10 10 10 05 05 05 05 05 00 00 00 00 00 -.05 -.05 -.05 -.05 -.05 -.10 -.10 10 -.10 Response of D(LNM) to LNI 10 -.10 Response of D(LNM) to D(LNG) 10 -.10 Response of D(LNM) to D(LNOIL) 10 Response of D(LNM) to D(LNM) 10 Response of D(LNM) to D(LNE) 06 06 06 06 06 04 04 04 04 04 02 02 02 02 02 00 00 00 00 00 -.02 -.02 -.02 -.02 -.02 -.04 -.04 10 -.04 Response of D(LNE) to LNI 10 -.04 Response of D(LNE) to D(LNG) 10 -.04 Response of D(LNE) to D(LNOIL) 10 Response of D(LNE) to D(LNM) 10 Response of D(LNE) to D(LNE) 008 008 008 008 008 004 004 004 004 004 000 000 000 000 000 -.004 -.004 -.004 -.004 -.004 -.008 -.008 10 -.008 10 -.008 10 -.008 10 10 ... kinh t l ph iv ng c a n n kinh t nc n c a n n kinh t qu c ti p ng h ng m t nc ml c s n su t c a c n n kinh t , t v t tri ty ut thi iv ng c a m t n n kinh t 1.2.2 ph ng kinh t ng kinh t ng kinh. .. kh ng ho ng kinh t cao ns n u bi mt c bi n l nhi uc m cs bi m c u ng qua l i gi nh l M ng kinh t U M a lu ng kinh t n i quan h ng kinh t , l gi a l ng -3- - M i quan h gi a l ng kinh t - c qu... ng kinh t Vi n kinh t m i n i - Nh vi c ki ph n b sung th m ch l u th c nghi khoa h c cho vi c ho u ki n kinh t b n v ng g 2: Th c tr 3: ng kinh t ng kinh t c nghi t qu ki nh -5- TV L NG KINH