tài có th m ng theo h ng xem xét t ng th n n inh t , t ong đó mô hình
SVAR đ c xây d ng bao g m m i quan h tác đ ng qua l i c a c chính sách ti n t à chính sách tài hóa. T ên th c t , chính sách ti n t đ c xem là có tác đ ng ch y u t ong
h ch t ch gi a ti n t à tài hóa, nên i c có th l ng hóa đ c m i quan h này t ong m t mô hình đ ng t ng quát s là m t h ng nghiên c u m ng mang ý ngh a ng d ng th c ti n cao.
Ngoài a, có th b sung nhi u bi n đ i di n cho n n inh t mô nh ch s ch ng hoán, NEER, OUTPUT GAP… đ h n ánh chính xác h n n n inh t mô.
DANH M C TĨI LI U THAM KH O DANH M C TĨI LI U TI NG ANH
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18.Gottschalk, Jan, 2001. An Introduction into the SVAR Methodology: Identification,
Interpretation and Limitations of SVAR models. Kiel Working Paper, No. 1072. 19.Goujon, Michaël, 2006. Fighting inflation in a dollarized economy: The case of
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DANH M C TĨI LI U TI NG VI T
1. B ch Th Ph ng Th o, 2011. Truy n d n t giá h i đoái vào các ch s giá t i VN
giai đo n 2001 – 2011. Lu n n th c s inh t . T ng i h c Kinh t TP.HCM.
2. Chu Khánh Lân, 2013. Nghiên c u th c nghi m v truy n d n chính sách ti n t qua
kênh tín d ng t i Vi t Nam. T p chí ngân hàng, s 5 tháng 3/2013, trang 17-23.
3. Nguy n Hoàng Anh à c ng s , 2012. Phân tích đ nh l ng tác đ ng c a các kênh
truy n d n ti n t lên t ng s n l ng và m c giá t i Vi t Nam s d ng mô hình t h i quy vector var. Bài d thi nhà hoa h c t . i h c inh t T .HCM.
4. Nguy n Phi Lân, 2011. C ch truy n d n ti n t d i góc đ hân tích đ nh l ng,
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5. Nguy n Th Liên Hoa à T n ng D ng, 2013. Nghiên c u l m hát t i Vi t Nam theo h ng há SVAR. T p chí phát tri n và h i nh p, s 10 tháng 5-6/2013, trang 32-38.
6. Nguy n Th Ng c Trang và L c V n C ng, 2012. S chuy n d ch t giá h i đoái
vào các m c giá t i VN. T p chí Phát tri n & h i nh p, S 7 (17), trang 7-13
7. Nguy n Th Thu H ng à Nguy n c Thành, 2011. Ngu n g c l m hát c a Vi t
Nam giai đo n 2000-2010: hát hi n t nh ng b ng ch ng m i, [online]
<http://vepr.org.vn/home/index.php?option=com_content&task=view&id=1068&Ite mid=498>. [ngày t uy c : 01/04/2013].
8. Ph m Th Anh, 2008. ng d ng mô hình SVAR trong vi c xác đ nh hi u ng c a
chính sách ti n t và d báo l m phát Vi t Nam. T p chí Kinh t và phát tri n.
9. Ph m Th Anh, 2009. Xác đnh các nhân t quy t đnh l m phát VN. T p chí Kinh
t và phát tri n, s 150.
10.Ph m th Anh, 2013. Kinh t l ng ng d ng phân tích chu i th i gian. Hà N i:
NXB Lao ng.
11.Tr n Ng c Th à Nguy n H u Tu n, 2013. C ch truy n d n chính sách ti n t
Vi t Nam ti p c n theo mô hình SVAR. T p chí phát tri n và h i nh p, s 10 tháng 5-6/2013, trang 8-16.
PH L C
Ph l c1: Ki m đ nh tính d ng c a các bi n
1. Tính d ng bi n VNLS: k t qu d ng t i sai phân b c 1, không ch n, không xu th . Null Hypothesis: D(VNLS_SA) has a unit root
Exogenous: None (adsbygoogle = window.adsbygoogle || []).push({});
Lag Length: 1 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.256769 0.0000
Test critical values: 1% level -2.580164
5% level -1.942924
10% level -1.615325
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(VNLS_SA,2) Method: Least Squares
Date: 07/28/13 Time: 21:10
Sample (adjusted): 2000M04 2012M12 Included observations: 153 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(VNLS_SA(-1)) -0.467961 0.089021 -5.256769 0.0000
D(VNLS_SA(-1),2) -0.266328 0.078916 -3.374836 0.0009
R-squared 0.364385 Mean dependent var -0.046005
Adjusted R-squared 0.360176 S.D. dependent var 6.846187 S.E. of regression 5.476197 Akaike info criterion 6.251685
Sum squared resid 4528.300 Schwarz criterion 6.291298
Log likelihood -476.2539 Hannan-Quinn criter. 6.267776
Durbin-Watson stat 1.987440
2. Tính d ng bi n WCPI: k t qu d ng t i sai phân b c 2
Null Hypothesis: D(LOGWCPI,2) has a unit root Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -13.20368 0.0000
Test critical values: 1% level -2.580264
5% level -1.942938
10% level -1.615316
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LOGWCPI,3) Method: Least Squares
Date: 07/28/13 Time: 21:08
Sample (adjusted): 2000M05 2012M12 Included observations: 152 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. (adsbygoogle = window.adsbygoogle || []).push({});
D(LOGWCPI(-1),2) -1.537763 0.116465 -13.20368 0.0000
D(LOGWCPI(-1),3) 0.329321 0.076989 4.277501 0.0000
R-squared 0.626369 Mean dependent var 2.21E-05
Adjusted R-squared 0.623878 S.D. dependent var 0.002288 S.E. of regression 0.001403 Akaike info criterion -10.28686
Sum squared resid 0.000295 Schwarz criterion -10.24707
Log likelihood 783.8014 Hannan-Quinn criter. -10.27070
Durbin-Watson stat 2.064821
3. Tính d ng bi n USSL: k t qu d ng t i sai phân b c 1
Null Hypothesis: D(LOGUSSL) has a unit root Exogenous: None
Lag Length: 2 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.568588 0.0000
Test critical values: 1% level -2.580264
5% level -1.942938
10% level -1.615316
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LOGUSSL,2) Method: Least Squares
Date: 07/28/13 Time: 21:05
Sample (adjusted): 2000M05 2012M12 Included observations: 152 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LOGUSSL(-1)) -0.530373 0.116091 -4.568588 0.0000
D(LOGUSSL(-1),2) -0.381738 0.104392 -3.656765 0.0004
D(LOGUSSL(-2),2) -0.260078 0.079534 -3.270035 0.0013
R-squared 0.475100 Mean dependent var -4.61E-05
Adjusted R-squared 0.468054 S.D. dependent var 0.009829 S.E. of regression 0.007169 Akaike info criterion -7.018594
Log likelihood 536.4132 Hannan-Quinn criter. -6.994349 Durbin-Watson stat 2.026910
4. Tính d ng bi n USCPI: k t qu d ng t i sai phân b c 1
Null Hypothesis: D(LOGUSCPI) has a unit root Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.* (adsbygoogle = window.adsbygoogle || []).push({});
Augmented Dickey-Fuller test statistic -6.415460 0.0000
Test critical values: 1% level -2.580065
5% level -1.942910
10% level -1.615334
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LOGUSCPI,2) Method: Least Squares
Date: 07/28/13 Time: 21:04
Sample (adjusted): 2000M03 2012M12 Included observations: 154 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LOGUSCPI(-1)) -0.422298 0.065825 -6.415460 0.0000
R-squared 0.211967 Mean dependent var -1.52E-05
Adjusted R-squared 0.211967 S.D. dependent var 0.003413 S.E. of regression 0.003030 Akaike info criterion -8.753931
Sum squared resid 0.001405 Schwarz criterion -8.734211
Log likelihood 675.0527 Hannan-Quinn criter. -8.745921
Durbin-Watson stat 1.895088
5. Tính d ng bi n USLS: k t qu d ng t i level
Null Hypothesis: USLS_SA has a unit root Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.010221 0.0429
Test critical values: 1% level -2.580065
5% level -1.942910
10% level -1.615334
Augmented Dickey-Fuller Test Equation Dependent Variable: D(USLS_SA) Method: Least Squares
Date: 07/28/13 Time: 21:09
Sample (adjusted): 2000M03 2012M12 Included observations: 154 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
USLS_SA(-1) -0.008211 0.004085 -2.010221 0.0462
D(USLS_SA(-1)) 0.654147 0.059836 10.93224 0.0000
R-squared 0.446844 Mean dependent var -0.599371 (adsbygoogle = window.adsbygoogle || []).push({});
Adjusted R-squared 0.443205 S.D. dependent var 3.373979 S.E. of regression 2.517620 Akaike info criterion 4.697407
Sum squared resid 963.4384 Schwarz criterion 4.736848
Log likelihood -359.7003 Hannan-Quinn criter. 4.713428
Durbin-Watson stat 2.074044
6. Tính d ng bi n VNSL: k t qu d ng t i sai phân b c 1
Null Hypothesis: D(LOGVNSL) has a unit root Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -13.43332 0.0000
Test critical values: 1% level -2.580164
5% level -1.942924
10% level -1.615325
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LOGVNSL,2) Method: Least Squares
Date: 07/28/13 Time: 21:07
Sample (adjusted): 2000M04 2012M12 Included observations: 153 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LOGVNSL(-1)) -1.882964 0.140171 -13.43332 0.0000
D(LOGVNSL(-1),2) 0.214639 0.079617 2.695910 0.0078
R-squared 0.785368 Mean dependent var 7.77E-05
Adjusted R-squared 0.783947 S.D. dependent var 0.139983 S.E. of regression 0.065066 Akaike info criterion -2.613834
Sum squared resid 0.639277 Schwarz criterion -2.574220
Durbin-Watson stat 2.038648
7. Tính d ng bi n VNCPI: k t qu d ng t i sai phân b c 1
Null Hypothesis: D(LOGVNCPI) has a unit root Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.389505 0.0168
Test critical values: 1% level -2.580164
5% level -1.942924 (adsbygoogle = window.adsbygoogle || []).push({});
10% level -1.615325
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LOGVNCPI,2) Method: Least Squares
Date: 07/28/13 Time: 21:06
Sample (adjusted): 2000M04 2012M12 Included observations: 153 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LOGVNCPI(-1)) -0.100946 0.042246 -2.389505 0.0181
D(LOGVNCPI(-1),2) -0.327212 0.077156 -4.240931 0.0000
R-squared 0.173651 Mean dependent var 2.88E-05
Adjusted R-squared 0.168179 S.D. dependent var 0.005459 S.E. of regression 0.004978 Akaike info criterion -7.754419
Sum squared resid 0.003742 Schwarz criterion -7.714806
Log likelihood 595.2131 Hannan-Quinn criter. -7.738328
Durbin-Watson stat 2.025174
8. Tính d ng bi n VNM2: k t qu d ng t i sai phân b c 2
Null Hypothesis: D(LOGVNM2,2) has a unit root Exogenous: None
Lag Length: 2 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -12.45570 0.0000
Test critical values: 1% level -2.580366
5% level -1.942952
10% level -1.615307
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LOGVNM2,3) Method: Least Squares
Date: 07/28/13 Time: 21:04
Sample (adjusted): 2000M06 2012M12 Included observations: 151 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LOGVNM2(-1),2) -2.691986 0.216125 -12.45570 0.0000
D(LOGVNM2(-1),3) 0.884700 0.161533 5.476913 0.0000
D(LOGVNM2(-2),3) 0.286992 0.088094 3.257794 0.0014
R-squared 0.803433 Mean dependent var -9.44E-06
Adjusted R-squared 0.800776 S.D. dependent var 0.032412 S.E. of regression 0.014467 Akaike info criterion -5.614212 (adsbygoogle = window.adsbygoogle || []).push({});
Sum squared resid 0.030976 Schwarz criterion -5.554266
Log likelihood 426.8730 Hannan-Quinn criter. -5.589859
Durbin-Watson stat 2.015739
9. Tính d ng bi n EX: k t qu d ng t i sai phân b c 1
Null Hypothesis: D(LOGEX) has a unit root Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -14.02206 0.0000
Test critical values: 1% level -2.580065
5% level -1.942910
10% level -1.615334
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LOGEX,2) Method: Least Squares
Date: 07/28/13 Time: 21:03
Sample (adjusted): 2000M03 2012M12 Included observations: 154 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LOGEX(-1)) -1.124858 0.080221 -14.02206 0.0000
R-squared 0.562378 Mean dependent var -3.14E-05
Adjusted R-squared 0.562378 S.D. dependent var 0.015566 S.E. of regression 0.010297 Akaike info criterion -6.307384
Log likelihood 486.6686 Hannan-Quinn criter. -6.299374 Durbin-Watson stat 1.989992
PH L C 2: K T QU KI M NH TÍNH D NG AIC, SC, LR
VAR Lag Order Selection Criteria
Endogenous variables: DDLOGWCPI DLOGUSSL DLOGUSCPI USLS_SA DLOGVNSL DLOGVNCPI DDLOGVNM2 DVNLS DLOGEX
Exogenous variables: C Date: 07/28/13 Time: 20:56 Sample: 2000M01 2012M12 Included observations: 146
Lag LogL LR FPE AIC SC HQ
0 2301.224 NA 1.87e-25 -31.40033 -31.21641 -31.32560 1 2858.180 1037.615 2.75e-28 -37.92027 -36.08106* -37.17296