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The effect of oil price to inflation in vietnam

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MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY Lâm Minh Minh THE EFFECT OF OIL PRICE TO INFLATION IN VIETNAM MASTER’S THESIS In Financial and Banking Ology code: 60.31.12 Supervisor Dr Nguyễn Thu Hiền Ho Chi Minh City 2010 Page i ACKNOWLEDGEMENT This research would not have been possible without the support of many people Firstly, I wish to express my deep sincere gratitude to my supervisor who is also my instructor, Dr Nguyen Thu Hien (Vice Dean, School of Industrial Management, University of Technology) for her invaluable advice and helps Without her, this thesis could not have been completed Special thanks to my professors who are in university of economics HoChiMinh city and Dr Cao Hao Thi in university of Technology HoChiMinh city without whose knowledge and assistance this study would have been successful My thanks would also go to all of my classmates, my colleagues for all of their friendship and encouragement Finally, I would like to express my deepest gratitude and honour to my dear parents for not only the love they devote to me but also for the time I took from them which should have been my devotion to them in their aged time My greatest thanks would go to my family, their encouragement give a power to finish this research Page ii ABSTRACT This study analyses the oil price – inflation relationship by means of analysing the impact of oil prices on consumer price index - CPI in Vietnam using monthly data for the period of Jan 1995 – Nov 2010 This study reports on the research results by testing the model of relationship between three main factors as global oil price, domestic oil price and Vietnam’s CPI through using three main testings as stationarity test, cointegration test and causality test That testings is collected based on the testing of many previous researches that post on website of science direct The study may also provide some equation to quantify their relationship such as the impact of global oil price to domestic oil price, the effect of domestic oil price to CPI and the effect of global oil price to CPI with the purpose of forecasting work Key word: oil price, inflation, CPI, the impact of oil price Page iii TABLE OF CONTENT ACKNOWLEDGEMENT I ABSTRACT II TABLE OF CONTENT III LIST OF FIGURE VI CHAPTER 1: INTRODUCTION 1.1 - INTRODUCTION 1.2 - RESEARCH BACKGROUND 1.3 - RATIONALE OF THE RESEARCH 1.4 - RESEARCH OBJECTIVE .3 1.5 - SCOPE AND METHODOLOGY OF THE RESEARCH 1.5.1 - Scope of Research 1.5.2 - Research Method 1.6 - STRUCTURE OF RESEARCH .4 CHAPTER 2: LITERATURE REVIEW 2.1 - INTRODUCTION 2.2 - TRANSMISSION CHANNELS OF OIL PRICES 2.2.1 - First-round effect 2.2.2 - Second-round effect 2.3 – PREVIOUS RESEARCHES: 2.4 - CONCLUSION 10 CHAPTER 3: METHODOLOGY 11 3.1 - INTRODUCTION 11 3.2 - BUSINESS RESEARCH .11 3.3 - RESEARCH DESIGN .12 Page iv 3.3.1 - Research Hypotheses: 13 3.3.2 - Draft of Research Model: .15 3.4 - RESEARCH MODEL 15 3.5 – OVERVIEW DATA .21 3.5.1 – HISTORY OF WORLD OIL PRICE 21 3.5.2 – INFLATION OF VIETNAM: 25 3.5.3 – Oil price of Vietnam: .29 3.6 – CONCLUSION 31 4.1 - INTRODUCTION .32 4.2 - DATA DESCRIPTION 32 4.2.1 Global oil price .33 4.2.2 Domestic oil price in Vietnam .33 4.2.3 Consumer price index 34 4.2.4 Exchange rate in Vietnam 35 4.3 - TESTING CORRELATION BETWEEN VARIABLES: 36 4.4 - TESTING STATIONARITY 39 4.5 - TESTING COINTEGRATION: 42 4.5.1 - Relationship between global oil price and domestic oil price 42 4.5.2 - Relationship between domestic oil price and CPI 44 4.5.3 - Relationship between global oil price and CPI of Vietnam .45 4.6 - TESTING CAUSALITY: 46 4.6.1 - Causality test for WO – DO 47 4.6.2 - Causality test for DO – CPI 48 4.6.3 - Causality test for WO - CPI 49 4.6.4 - Causality test for WOEX - CPI 50 4.7 - FINDINGS AND CONCLUSIONS: 51 CHAPTER 5: CONCLUSIONS AND IMPLICATIONS 53 Page v 5.1 - INTRODUCTION 53 5.2 - CONCLUSIONS OF THE RESEARCH 53 5.2.1 - Summary of hypotheses and results 53 5.2.2 - Conclusion 54 5.3 - IMPLICATIONS OF THE RESEARCH .55 5.4 – LIMITATIONS: .56 LIST OF REFERENCE 58  Page vi List of Figure Figure 1.1 – Outline of chapter Figure 1.2 – Structure of the Research Figure 2.1 – Outline of chapter Figure 3.1 – Outline of chapter 11 Figure 3.2 – Research Design 13 Figure 3.3.1 – Transmission Channels of Oil Price 14 Figure 3.3.2 – Original Research Model 15 Figure 3.4 – Research Model 17 Figure 3.5 – Crude Oil Prices 1869-2009 22 Figure 3.6 – Crude Oil Prices 1947 – 2009 23 Figure 3.7 – CPI of term end and average 1992 – 2010 27 Figure 3.8 – Gasoline R92 Retail’s Price in Vietnam 29 Figure 4.1 – Outline of chapter 32 Figure 5.1 – Outline of chapter 53 Figure 5.2.1 - Summary of hypotheses and results 54 Page vii List of Table Table – Descriptive Statistics 32 Table – Correlations Matrix 38  Table – Testing the stationarity of variables 39  Table – Testing variable of first difference 39  Table 4 – Testing variable of second difference 40  Table – Model Description (CPI) 40 Table 6a – Model Summary 42 Table 6b – Coefficients 42 Table 4.7a – Model Summary 43 Table 4.7b – Coefficients 43 Table 4.8a – Model Summary 44 Table 4.8b – Coefficients 44 Table 4.9a – Model Summary 45 Table 4.9b – Coefficients 45 Table 4.9c – Model Summary 45 Table 4.9d – Coefficients 46 Table 4.10 – Causality test for DO and WO 47 Table 4.11 – Causality test for DO and CPI 48 Table 4.12 – Causality test for WO and CPI 49 Table 4.13 – Causality test for CPI and WOEX 50 Table 5.1 – Summary of hypotheses and results 53 Page viii List of ABBREVIATION - WO : Global oil price - DO : Domestic oil price - CPI : Consumer price index - WOEX : Global oil price transferred in VND - EX : Exchange rate VND/USD Page Chapter 1: INTRODUCTION 1.1 - Introduction This chapter portray general introduction for the current research with which research problem, research objectives and research questions are provided as the rationale for this research An introduction to the methodology to be used and the scope of the research is also addressed in this chapter At the end of the chapter, structure of the research is provided The Outline of this chapter is shown in figure 1.1 Figure 1.1 – Outline of chapter 1.1 Introduction 1.2 Research background 1.3 Problem statement 1.4 Research Objective 1.5 Scope and Methodology 1.6 Structure of the Research 1.2 - Research Background At the beginning of the year 2007, domestic oil price had increasing continuously following the sharp hiking of the world oil price Incessant fluctuations of global crude oil price also lead to change of overall domestic prices During the same time, in dealing with the effects of finance crisis derived from American mortgage crisis in 2008, Vietnamese government’s monetary policy and its macro targets have been adjusted from time to time Articles repeated in many newspapers and magazines conclude that increases in oil prices such as those seen in recent years passed through the country’s inflation Whenever oil price increases, other prices also rise later It raised living expense higher than before, while salary and wages have been kept stable still As a result, the 7/7 APPENDIX Variable's name WO DO C EX WOEX RES1 RES2 RES3 RES4 (1) (2) (3) (4) (5) (6)=(2)*(5) (7) (8) (9) (10) Oct-2008 76.61 16000 192.70 16517 1265367 3351.0169 3289.2526 Nov-2008 57.31 14000 191.90 16493 945214 4086.1198 3903.8248 6.6731 33.5468 Dec-2008 41.12 12000 191.20 16598 682510 4380.4886 4049.2320 18.8995 47.1652 -5.4533 17.2780 Jan-2009 41.71 11000 191.52 16973 707944 3296.8767 2841.5218 25.6827 46.9634 Feb-2009 39.09 11000 192.69 16976 663592 3668.1704 3203.7283 26.8527 50.4505 Mar-2009 47.94 11000 192.52 16973 813686 2413.9911 1977.9657 26.6827 42.4536 Apr-2009 49.65 12000 192.87 16938 840972 3171.6581 2755.1309 20.5695 41.2913 May-2009 59.03 12500 193.31 16938 999850 2342.3697 1957.6326 17.7779 33.4357 Jun-2009 69.64 13500 193.86 16949 1180328 1838.7717 1483.7350 11.8647 24.6023 Jul-2009 64.15 14200 194.38 16961 1088048 3316.7880 2937.3519 7.8605 29.9776 Aug-2009 71.05 14700 194.62 16968 1205576 2838.9533 2477.5438 4.8689 24.1153 Sep-2009 69.41 15700 195.24 16985 1178929 4071.3662 3695.1601 -0.9743 26.1857 Oct-2009 75.72 15500 195.61 17002 1287391 2977.1434 2609.3907 0.6883 20.9751 Nov-2009 77.99 16300 196.16 17177 1339634 3455.4499 2982.7413 -3.9322 19.5176 Dec-2009 74.47 15950 197.54 17942 1336141 3604.2873 2661.2673 -0.2901 24.0106 Jan-2010 78.33 16400 198.90 17941 1405319 3507.2667 2546.3160 -1.8386 21.9569 Feb-2010 76.39 16990 200.86 18243 1393583 4372.1942 3232.1596 -3.6918 25.6326 Mar-2010 81.20 16990 201.61 18544 1505773 3690.5442 2315.9450 -2.9418 22.1287 Apr-2010 84.29 16990 201.75 18544 1563074 3252.6443 1847.9888 -2.8018 19.5359 May-2010 73.74 16490 202.02 18544 1367435 4247.7394 2945.7007 0.6998 29.1362 Jun-2010 75.34 16490 202.24 18544 1397105 4020.9951 2703.3967 0.9198 27.9412 Jul-2010 76.32 16490 202.30 18544 1415278 3882.1143 2554.9845 0.9798 27.1345 Aug-2010 76.60 15990 202.53 18720 1433952 3342.4340 1902.4808 4.4413 27.1169 Sep-2010 75.24 16400 203.84 18932 1424444 3945.1666 2390.1291 3.1014 29.6297 Oct-2010 81.89 16400 204.89 18932 1550341 3002.7607 1361.9745 4.1514 24.7984 Nov-2010 84.25 16400 206.75 18932 1595021 2668.3129 997.0893 6.0114 24.5713 Page APPENDIX 5: Result of Testing the Stationarity of Variables by Dickey-Fuller unit root test (1) Dickey-Fuller unit root test for WO Null Hypothesis: WO has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -0.583152 -2.577320 -1.942527 -1.615577 0.4636 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(WO) Method: Least Squares Date: 12/24/10 Time: 06:50 Sample (adjusted): 191 Included observations: 188 after adjustments Variable Coefficient Std Error t-Statistic Prob WO(-1) D(WO(-1)) D(WO(-2)) -0.003607 0.349637 0.185351 0.006186 0.072404 0.073065 -0.583152 4.828984 2.536791 0.5605 0.0000 0.0120 R-squared 0.202014 Adjusted R-squared 0.193387 S.E of regression 4.208457 Sum squared resid 3276.555 Log likelihood -535.4224 Durbin-Watson stat 1.960381   Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.349521 4.685870 5.727898 5.779543 5.748823 Page (2) Dickey-Fuller unit root test for DO Null Hypothesis: DO has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* 1.520968 -2.577190 -1.942508 -1.615589 0.9684 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(DO) Method: Least Squares Date: 12/24/10 Time: 06:49 Sample (adjusted): 191 Included observations: 190 after adjustments Variable Coefficient Std Error t-Statistic Prob DO(-1) 0.006669 0.004385 1.520968 0.1299 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat -0.001984 -0.001984 531.0408 53298827 -1461.316 1.728917   Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 63.15789 530.5149 15.39280 15.40989 15.39973 Page (3) Dickey-Fuller unit root test for CPI Null Hypothesis: CPI has a unit root Exogenous: None Lag Length: 13 (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* 2.716344 -2.578092 -1.942634 -1.615508 0.9985 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(CPI) Method: Least Squares Date: 12/24/10 Time: 16:15 Sample (adjusted): 15 191 Included observations: 177 after adjustments Variable Coefficient Std Error t-Statistic Prob CPI(-1) D(CPI(-1)) D(CPI(-2)) D(CPI(-3)) D(CPI(-4)) D(CPI(-5)) D(CPI(-6)) D(CPI(-7)) D(CPI(-8)) D(CPI(-9)) D(CPI(-10)) D(CPI(-11)) D(CPI(-12)) D(CPI(-13)) 0.001513 0.586795 0.015350 0.087202 -0.052861 0.042082 -0.082140 -0.068097 0.010244 -0.015583 0.031443 -0.077280 0.548463 -0.427536 0.000557 0.070757 0.070019 0.069839 0.070208 0.070312 0.070351 0.070401 0.070248 0.070217 0.070461 0.069792 0.069374 0.068473 2.716344 8.293052 0.219220 1.248615 -0.752921 0.598501 -1.167579 -0.967282 0.145823 -0.221926 0.446250 -1.107297 7.905929 -6.243863 0.0073 0.0000 0.8268 0.2136 0.4526 0.5503 0.2447 0.3348 0.8842 0.8246 0.6560 0.2698 0.0000 0.0000 R-squared 0.514918 Adjusted R-squared 0.476231 S.E of regression 0.640422 Sum squared resid 66.85281 Log likelihood -164.9835 Durbin-Watson stat 2.088759   Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.514407 0.884904 2.022413 2.273634 2.124298 Page APPENDIX – Testing the first difference (1) Dickey-Fuller unit root test for WO Null Hypothesis: D(WO) has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -6.068480 -2.577320 -1.942527 -1.615577 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(WO,2) Method: Least Squares Date: 12/25/10 Time: 09:13 Sample (adjusted): 191 Included observations: 188 after adjustments Variable Coefficient Std Error t-Statistic Prob D(WO(-1)) D(WO(-1),2) -0.472246 -0.180795 0.077820 0.072517 -6.068480 -2.493127 0.0000 0.0135 R-squared 0.311327 Adjusted R-squared 0.307624 S.E of regression 4.200984 Sum squared resid 3282.578 Log likelihood -535.5950 Durbin-Watson stat 1.959622   Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.012713 5.048707 5.719096 5.753526 5.733046 Page (2) Dickey-Fuller unit root test for DO Null Hypothesis: D(DO) has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -11.76781 -2.577255 -1.942517 -1.615583 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(DO,2) Method: Least Squares Date: 12/25/10 Time: 08:45 Sample (adjusted): 191 Included observations: 189 after adjustments Variable Coefficient D(DO(-1)) -0.848326 R-squared 0.424163 Adjusted R-squared 0.424163 S.E of regression 529.5022 Sum squared resid 52710051 Log likelihood -1453.074 Durbin-Watson stat 2.022286   Std Error t-Statistic Prob 0.072089 -11.76781 0.0000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.000000 697.7792 15.38703 15.40418 15.39398 Page (3) Dickey-Fuller unit root test for CPI Null Hypothesis: D(CPI) has a unit root Exogenous: None Lag Length: 12 (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -1.737795 -2.578092 -1.942634 -1.615508 0.0780 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(CPI,2) Method: Least Squares Date: 12/25/10 Time: 09:19 Sample (adjusted): 15 191 Included observations: 177 after adjustments Variable Coefficient Std Error t-Statistic Prob D(CPI(-1)) D(CPI(-1),2) D(CPI(-2),2) D(CPI(-3),2) D(CPI(-4),2) D(CPI(-5),2) D(CPI(-6),2) D(CPI(-7),2) D(CPI(-8),2) D(CPI(-9),2) D(CPI(-10),2) D(CPI(-11),2) D(CPI(-12),2) -0.126606 -0.260987 -0.219643 -0.111532 -0.146322 -0.084529 -0.148191 -0.197481 -0.168046 -0.163759 -0.115058 -0.170991 0.403731 0.072854 0.097084 0.095668 0.094991 0.092392 0.089990 0.086406 0.084487 0.083901 0.082340 0.081285 0.076192 0.069218 -1.737795 -2.688271 -2.295888 -1.174136 -1.583705 -0.939320 -1.715065 -2.337401 -2.002898 -1.988809 -1.415477 -2.244206 5.832751 0.0841 0.0079 0.0229 0.2420 0.1152 0.3489 0.0882 0.0206 0.0468 0.0484 0.1588 0.0262 0.0000 R-squared 0.497182 Adjusted R-squared 0.460391 S.E of regression 0.652757 Sum squared resid 69.87903 Log likelihood -168.9016 Durbin-Watson stat 2.040737   Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter -0.003616 0.888611 2.055386 2.288662 2.149994 Page APPENDIX – Testing the second difference (1) Dickey-Fuller unit root test for WO Null Hypothesis: D(WO,2) has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -21.32440 -2.577320 -1.942527 -1.615577 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(WO,3) Method: Least Squares Date: 12/29/10 Time: 20:08 Sample (adjusted): 191 Included observations: 188 after adjustments Variable Coefficient Std Error t-Statistic Prob D(WO(-1),2) -1.419103 0.066548 -21.32440 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat   0.708599 0.708599 4.585785 3932.502 -552.5758 2.060771 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter -0.019840 8.495087 5.889104 5.906320 5.896079 Page (2) Dickey-Fuller unit root test for DO Null Hypothesis: D(DO,2) has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -9.491841 -2.577730 -1.942584 -1.615541 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(DO,3) Method: Least Squares Date: 12/29/10 Time: 20:15 Sample (adjusted): 10 191 Included observations: 182 after adjustments Variable Coefficient Std Error t-Statistic Prob D(DO(-1),2) D(DO(-1),3) D(DO(-2),3) D(DO(-3),3) D(DO(-4),3) D(DO(-5),3) D(DO(-6),3) -3.820224 2.101695 1.604491 1.259532 0.938301 0.675877 0.275849 0.402474 0.368226 0.322894 0.267200 0.206900 0.140387 0.073158 -9.491841 5.707617 4.969094 4.713815 4.535043 4.814398 3.770578 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0002 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat   0.793869 0.786801 562.3426 55340109 -1407.122 2.015478 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.000000 1217.892 15.53980 15.66303 15.58976 Page (3) Dickey-Fuller unit root test for CPI Null Hypothesis: D(CPI,2) has a unit root Exogenous: None Lag Length: 11 (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -5.075365 -2.578092 -1.942634 -1.615508 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(CPI,3) Method: Least Squares Date: 12/29/10 Time: 20:17 Sample (adjusted): 15 191 Included observations: 177 after adjustments Variable Coefficient Std Error t-Statistic Prob D(CPI(-1),2) D(CPI(-1),3) D(CPI(-2),3) D(CPI(-3),3) D(CPI(-4),3) D(CPI(-5),3) D(CPI(-6),3) D(CPI(-7),3) D(CPI(-8),3) D(CPI(-9),3) D(CPI(-10),3) D(CPI(-11),3) -3.142234 1.766466 1.443160 1.238229 1.007218 0.847277 0.631912 0.375375 0.156577 -0.049749 -0.199032 -0.394146 0.619115 0.577608 0.533133 0.484410 0.435164 0.385246 0.337579 0.289424 0.237901 0.185128 0.126920 0.069419 -5.075365 3.058245 2.706941 2.556160 2.314570 2.199316 1.871892 1.296973 0.658161 -0.268729 -1.568173 -5.677788 0.0000 0.0026 0.0075 0.0115 0.0219 0.0292 0.0630 0.1965 0.5114 0.7885 0.1188 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat   0.809746 0.797063 0.656740 71.16580 -170.5165 2.025696 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter -0.004463 1.457850 2.062333 2.277665 2.149663 Page 10 APPENDIX – Testing the residual (1) Residual of regression DO-WO Null Hypothesis: RES1 has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -2.506845 -2.577190 -1.942508 -1.615589 0.0122 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(RES1) Method: Least Squares Date: 12/29/10 Time: 22:33 Sample (adjusted): 191 Included observations: 190 after adjustments Variable Coefficient Std Error t-Statistic Prob RES1(-1) -0.070903 0.028284 -2.506845 0.0130 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat   0.031728 0.031728 628.4668 74649418 -1493.321 1.917404 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 13.77388 638.6803 15.72969 15.74678 15.73662 Page 11 (2) Residual of regression DO-WOEX Null Hypothesis: RES2 has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -3.206632 -2.577190 -1.942508 -1.615589 0.0015 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(RES2) Method: Least Squares Date: 12/29/10 Time: 22:51 Sample (adjusted): 191 Included observations: 190 after adjustments Variable Coefficient Std Error t-Statistic Prob RES2(-1) -0.104429 0.032567 -3.206632 0.0016 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat   0.051572 0.051572 594.4987 66798020 -1482.764 1.959443 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 3.129659 610.4482 15.61856 15.63565 15.62549 Page 12 (3) Residual of regression CPI-DO Null Hypothesis: RES3 has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -3.715701 -2.577190 -1.942508 -1.615589 0.0002 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(RES3) Method: Least Squares Date: 12/29/10 Time: 23:08 Sample (adjusted): 191 Included observations: 190 after adjustments Variable Coefficient Std Error t-Statistic Prob RES3(-1) -0.117843 0.031715 -3.715701 0.0003 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat   0.066627 0.066627 3.282085 2035.923 -494.9080 1.740636 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.133641 3.397208 5.220084 5.237174 5.227007 Page 13 (4) Residual of regression CPI-WO Null Hypothesis: RES has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -3.621438 -2.577320 -1.942527 -1.615577 0.0003 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(RES) Method: Least Squares Date: 12/25/10 Time: 18:51 Sample (adjusted): 191 Included observations: 188 after adjustments Variable Coefficient Std Error t-Statistic Prob RES(-1) D(RES(-1)) D(RES(-2)) -0.069725 0.304729 0.259633 0.019254 0.069798 0.071695 -3.621438 4.365896 3.621360 0.0004 0.0000 0.0004 R-squared 0.217018 Adjusted R-squared 0.208553 S.E of regression 3.614032 Sum squared resid 2416.327 Log likelihood -506.7953 Durbin-Watson stat 1.994931   Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.219343 4.062386 5.423354 5.474999 5.444279 Page 14 (4) Residual of regression CPI-WOEX Null Hypothesis: RES5 has a unit root Exogenous: None Lag Length: (Automatic based on SIC, MAXLAG=14) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -4.151888 -2.577320 -1.942527 -1.615577 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(RES5) Method: Least Squares Date: 12/30/10 Time: 16:34 Sample (adjusted): 191 Included observations: 188 after adjustments Variable Coefficient Std Error t-Statistic Prob RES5(-1) D(RES5(-1)) D(RES5(-2)) -0.088253 0.308666 0.260497 0.021256 0.069214 0.071348 -4.151888 4.459565 3.651079 0.0001 0.0000 0.0003 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat   0.229852 0.221526 3.435593 2183.610 -497.2760 1.995442 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.144974 3.893854 5.322085 5.373730 5.343010 ... equation to quantify their relationship such as the impact of global oil price to domestic oil price, the effect of domestic oil price to CPI and the effect of global oil price to CPI with the purpose... At the beginning of the year 2007, domestic oil price had increasing continuously following the sharp hiking of the world oil price Incessant fluctuations of global crude oil price also lead to. .. the prices of other items that are close substitutes, thus leading to an increase from the prices of oilrelated energy to natural gas price The extent to which rising oil prices translate into

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