Ngu n s li u nghiên c u còn nghèo nàn, s quan sát nh . S li u công b
không đ y đ nên d li u ph i thu th p t nhi u ngu n thông tin, trong đó ch y u
đ c l y t Worldbank và T ng c c th ng kê.
Trong mô hình nghiên c u còn có bi n gi i thích không có ý ngh a th ng kê
d ng nhi u ph ng pháp ki m đ nh đ đánh giá m c đ phù h p do bi n là chu i d li u th i gian không d ng cùng b c.
Nghiên c u ch a phân tích đ c rõ tác đ ng c a l m phát đ n t ng tr ng
kinh t , ph ng pháp s d ng ch a đ đ tin c y và ch c ch n. Nghiên c u ch m i
đ a ra m t cách khái quát ý ngh a c a các y u t trong mô hình nghiên c u.
b sung vào nghiên c u, nghiên c u ti p theo c n có m t chu i s li u nhi u quan sát h n đ tìm th y rõ h n s tác đ ng c a l m phát đ n t ng tr ng kinh t trong mô hình.
C n có m t ph ng pháp h i qui đa bi n phù h p đ c l ng t ng th mô
hình có nhi u bi n v i đ tin c y cao mà không c n qua nhi u b c ki m đ nh v
đ phù h p c a mô hình. Ph ng pháp đ c đ ngh là s d ng mô hình VAR tr
phân ph i d ng t h i quy ARDL là s k t h p gi a mô hình VAR (t h i quy
vector) và mô hình h i quy bình ph ng nh nh t (OLS). Ph ng pháp ARDL đ c
xem là mô hình thành công nh t, linh ho t và d s d ng cho vi c phân tích các chu i th i gian đa bi n mà các bi n trong mô hình không nh t thi t ph i d ng cùng b c.
DANH M C TÀI LI U THAM KH O A-Tài li u
1. Atish Ghosh và Steven Phillips, 1998. Inflation, Disinflation and Growth,
IMF Working Paper, WP/98/68.
2. David Ricardo, 1971. The Principles of Political Economy and Taxation. Penguin, New York.
3. Godwin. R.M, 2007. A growth cycle. Cambridge University Press.
4. J. Tobin, 1965. Money and economic growth. Econometrica 32, page
671-84.
5. Johnson. B, 2000. Phát tri n kinh t và t do kinh t . Cách m ng trong phát tri n kinh t . Nhà xu t b n tài chính.
6. K. Marx, 1993. T B n, Quy n 1, t p 1. Nhà xu t b n S Th t, Hà N i
7. Kanhaiya Singh và Kaliappa Kalirajan, 2003. The inflation-growth nexus in India: an empirical analysis. Journal of Policy Modeling, 25 (2003) 377-396. 8. M. Friedman, 1970. The Social Responsibility of Business is to increase its
profits. The New Times Magazine.
9. Michael P. Todaro, 1998. Kinh t h c cho th gi i th ba. Nhà xu t b n giáo d c.
10.Michael Sarel, 1995. Nonlinear Effects of Inflation on Economic Growth,
IMF Working Paper, WP/95/56.
11.Moshsin S. Khan and Abdelhak S. Senhadji, 2001. Threshold Effects in the Relaionship Between Inflation and Growth. IMF Working Paper, WP/00/110.
12.N. Gregory Mankiw, 1992. Kinh t v mô. Nhà xu t b n th ng kê.
13.Nguy n Quang Dong, Nguy n Th Minh, 2013. Giáo trình kinh t l ng.
14.Nguy n Tr ng Hoài, 2009. D báo và phân tích d li u trong kinh t và tài chính. NXB Th ng kê
15.Nguy n Trung Chính, 2009. M i quan h gi a t ng tr ng kinh t và l m phát qua k t qu phân tích t i Vi t Nam. T p chí Ngân hàng, s 88.
16.Nguy n V n Công, 2009. Giáo trình nguyên lý kinh t v mô. Nhà xu t b n
Lao đ ng
17.Peter Christoffersen và Peter Doyle, 1998. From inflation to Growth: Eight Years of Transition, IMF Working Paper, WP/98/100.
18.Ph m Chung và Tr n V n Hùng, 2002. Kinh t v mô phân tích. Nhà xu t
b n i h c Qu c gia Thành ph H chí Minh.
19.R. Mundell, 1963. Inflation and Real interest. Journal of Political Economy Vol 71, page 280-283.
20.Robert J. Barro, 1995. Inflation and economic growth. NBER Working Paper 5326. Cambridge, MA.
21.Robert Solow, 1956. A Contribution to the Theory of Economic Growth.
Quarterly Journal of Economics 70, 65-94.
22.Samuelson Paul và c ng s , 1997. Kinh t h c. Nhà xu t b n Chính tr Qu c gia.
23.Stanley Fisher, 1993. The Role of Macroeconomic factors in growth. Nber Working Paper Series, No. 4565.
24.S ình Thành, 2015. Threshold effects of inflation on growth in the ASEAN-5 countries: A Panel Smooth Transition Regression approach.
Journal of Economics, Finance and Administrative Science
25.Tr n Hoàng Ngân và c ng s (2010). L m phát và t c đ t ng tr ng kinh t Vi t Nam. T p chí Ngân hàng, s 13.
26.Tr n Th t, 2010. Giáo trình mô hình t ng tr ng kinh t . Nhà xu t b n i h c kinh t qu c dân.
27.Tr ng Quang Hùng và Nguy n Hoài B o, 2004. Nhìn l i lý thuy t truy n th ng v l m phát và phân tích tr ng h p Vi t Nam.
B- Trang Web s d ng tham kh o
1. http://cafef.vn 2. http://data.worldbank.org 3. http://tapchitaichinh.vn 4. http://voer.edu.vn 5. http://www.chinhphu.vn 6. http://www.gso.gov.vn 7. http://www.worldbank.org
Ph l c 1: K t qu ki m đnh nghi m đ n v theo ph ng pháp ADF
Null Hypothesis: YPC has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.068034 0.0412
Test critical values: 1% level -3.699871
5% level -2.976263
10% level -2.627420
*MacKinnon (1996) one-sided p-values.
... Null Hypothesis: P has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.238211 0.0002
Test critical values: 1% level -3.699871
5% level -2.976263
10% level -2.627420
*MacKinnon (1996) one-sided p-values.
... Null Hypothesis: AGRIV has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.989066 0.7425
Test critical values: 1% level -3.699871
5% level -2.976263
10% level -2.627420
*MacKinnon (1996) one-sided p-values.
... Null Hypothesis: D(AGRIV) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.722340 0.0009
Test critical values: 1% level -3.711457
5% level -2.981038
10% level -2.629906
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: POP has a unit root Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.757914 0.3915
Test critical values: 1% level -3.724070
5% level -2.986225
10% level -2.632604
*MacKinnon (1996) one-sided p-values.
... Null Hypothesis: D(POP) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.231614 0.2006
Test critical values: 1% level -3.711457
5% level -2.981038
10% level -2.629906
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(POP,2)
Method: Least Squares Date: 03/12/15 Time: 06:12 Sample (adjusted): 1988 2013
Included observations: 26 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(POP(-1)) -0.123425 0.055308 -2.231614 0.0352
C 0.113676 0.061586 1.845812 0.0773
R-squared 0.171846 Mean dependent var -0.021731 Adjusted R-squared 0.137339 S.D. dependent var 0.057885 S.E. of regression 0.053763 Akaike info criterion -2.934649 Sum squared resid 0.069372 Schwarz criterion -2.837872 Log likelihood 40.15044 Hannan-Quinn criter. -2.906781 F-statistic 4.980101 Durbin-Watson stat 2.064165 Prob(F-statistic) 0.035239
Null Hypothesis: LIT has a unit root Exogenous: Constant
Lag Length: 4 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.089321 0.9396
Test critical values: 1% level -3.752946
5% level -2.998064
10% level -2.638752
*MacKinnon (1996) one-sided p-values.
... Null Hypothesis: D(LIT) has a unit root
Exogenous: Constant
Lag Length: 3 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.720847 0.0858
Test critical values: 1% level -3.752946
5% level -2.998064
10% level -2.638752
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LIT,2)
Method: Least Squares Date: 05/12/15 Time: 06:24 Sample (adjusted): 1991 2013
Included observations: 23 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(LIT(-1)) -0.029656 0.010900 -2.720847 0.0140 D(LIT(-1),2) 2.249664 0.175109 12.84723 0.0000 D(LIT(-2),2) -1.989791 0.331780 -5.997318 0.0000 D(LIT(-3),2) 0.749737 0.201248 3.725433 0.0015
C 0.016458 0.006384 2.578017 0.0190
R-squared 0.989846 Mean dependent var -0.005900 Adjusted R-squared 0.987590 S.D. dependent var 0.077844 S.E. of regression 0.008672 Akaike info criterion -6.467806 Sum squared resid 0.001354 Schwarz criterion -6.220959 Log likelihood 79.37977 Hannan-Quinn criter. -6.405725 F-statistic 438.6906 Durbin-Watson stat 1.956790 Prob(F-statistic) 0.000000
Null Hypothesis: GDIZPV has a unit root Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.409435 0.5614
Test critical values: 1% level -3.724070
5% level -2.986225
10% level -2.632604
*MacKinnon (1996) one-sided p-values.
... Null Hypothesis: D(GDIZPV) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.231410 0.0003
Test critical values: 1% level -3.724070
5% level -2.986225
10% level -2.632604
*MacKinnon (1996) one-sided p-values.
... Null Hypothesis: GDIZPB has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.333797 0.9071
Test critical values: 1% level -3.699871
5% level -2.976263
10% level -2.627420
*MacKinnon (1996) one-sided p-values.
... Null Hypothesis: D(GDIZPB) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.274554 0.0000
Test critical values: 1% level -3.711457
5% level -2.981038
10% level -2.629906
*MacKinnon (1996) one-sided p-values.
Null Hypothesis: GCEZ has a unit root Exogenous: Constant
Lag Length: 4 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.687800 0.4239
Test critical values: 1% level -3.752946
5% level -2.998064
10% level -2.638752
*MacKinnon (1996) one-sided p-values.
... Null Hypothesis: D(GCEZ) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.058835 0.0004
Test critical values: 1% level -3.711457
5% level -2.981038
10% level -2.629906
*MacKinnon (1996) one-sided p-values.
... Null Hypothesis: TOT has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.116549 0.0000
Test critical values: 1% level -3.699871
5% level -2.976263
10% level -2.627420
Ph l c 2: K t qu c l ng h i qui và ki m đ nh mô hình (1)
Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 06:50 Sample: 1986 2013
Included observations: 28
Variable Coefficient Std. Error t-Statistic Prob.
C 5.516784 0.254778 21.65331 0.0000
P -0.011674 0.002158 -5.408315 0.0000
R-squared 0.529411 Mean dependent var 4.941879
Adjusted R-squared 0.511311 S.D. dependent var 1.752644 S.E. of regression 0.025209 Akaike info criterion 3.312848 Sum squared resid 39.02954 Schwarz criterion 3.408006 Log likelihood -44.37988 Hannan-Quinn criter. 3.341939 F-statistic 29.24987 Durbin-Watson stat 1.809117 Prob(F-statistic) 0.000011
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 3.430390 Prob. F(2,24) 0.3089
Obs*R-squared 6.224789 Prob. Chi-Square(2) 0.4045
Heteroskedasticity Test: ARCH
F-statistic 1.440590 Prob. F(1,25) 0.2413
Obs*R-squared 1.471069 Prob. Chi-Square(1) 0.2252
Null Hypothesis: E1 has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.000573 0.0475
Test critical values: 1% level -3.699871
5% level -2.976263
10% level -2.627420
Ph l c 3: K t qu c l ng h i qui và ki m đ nh mô hình (2)
Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 09:30 Sample (adjusted): 1987 2013
Included observations: 27 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 5.431076 0.321496 16.89312 0.0000
P -0.010929 0.004037 -2.706962 0.0123
DAGRIV 0.171862 0.130904 1.312885 0.0588
R-squared 0.578408 Mean dependent var 5.108867
Adjusted R-squared 0.526609 S.D. dependent var 1.542432 S.E. of regression 0.025726 Akaike info criterion 3.413608 Sum squared resid 38.44949 Schwarz criterion 3.557590 Log likelihood -43.08371 Hannan-Quinn criter. 3.456421 F-statistic 7.305279 Durbin-Watson stat 1.712441 Prob(F-statistic) 0.003327
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 3.585703 Prob. F(2,22) 0.4049
Obs*R-squared 6.637594 Prob. Chi-Square(2) 0.3062
Heteroskedasticity Test: ARCH
F-statistic 2.215035 Prob. F(1,24) 0.1497
Obs*R-squared 2.196865 Prob. Chi-Square(1) 0.1383
Null Hypothesis: E2 has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=6)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.111368 0.0381
Test critical values: 1% level -3.711457
5% level -2.981038
10% level -2.629906
Ph l c 4: K t qu c l ng h i qui và ki m đ nh mô hình (3)
Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 09:42 Sample (adjusted): 1988 2013
Included observations: 26 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 5.641754 2.018740 2.794691 0.0106
P -0.017225 0.006892 -2.499274 0.0359
DAGRIV 0.091571 0.071722 1.276749 0.0599
DPOPL1 -0.137276 0.135923 -1.009954 0.0183
R-squared 0.577161 Mean dependent var 5.264377
Adjusted R-squared 0.533137 S.D. dependent var 1.339846 S.E. of regression 0.027470 Akaike info criterion 3.420750 Sum squared resid 34.23599 Schwarz criterion 3.614303 Log likelihood -40.46975 Hannan-Quinn criter. 3.476487 F-statistic 2.279877 Durbin-Watson stat 1.766602 Prob(F-statistic) 0.007529
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 2.229761 Prob. F(2,20) 0.4014
Obs*R-squared 12.47929 Prob. Chi-Square(2) 0.4020
Heteroskedasticity Test: ARCH
F-statistic 2.376605 Prob. F(1,23) 0.1368
Obs*R-squared 2.341334 Prob. Chi-Square(1) 0.1260
Null Hypothesis: E3 has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=5)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.107795 0.0394
Test critical values: 1% level -3.737853
5% level -2.991878
10% level -2.635542
Ph l c 5: K t qu c l ng h i qui và ki m đ nh mô hình (4)
Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 10:02 Sample (adjusted): 1988 2013
Included observations: 26 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 6.424033 2.709834 2.370637 0.0274
P -0.017604 0.007073 -2.488901 0.0245
DAGRIV 0.077233 0.027911 2.767116 0.0686
DPOPL1 -0.121383 0.047824 -2.538118 0.0849
DLITL1 0.191786 0.094816 2.022717 0.0620
R-squared 0.594235 Mean dependent var 5.264377
Adjusted R-squared 0.540279 S.D. dependent var 1.339846 S.E. of regression 0.020892 Akaike info criterion 3.488357 Sum squared resid 33.91852 Schwarz criterion 3.730299 Log likelihood -40.34864 Hannan-Quinn criter. 3.558027 F-statistic 1.696601 Durbin-Watson stat 1.767131 Prob(F-statistic) 0.088390
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 3.404314 Prob. F(2,19) 0.1024
Obs*R-squared 12.20444 Prob. Chi-Square(2) 0.1022
Heteroskedasticity Test: ARCH
F-statistic 2.055504 Prob. F(1,23) 0.1651
Obs*R-squared 2.050951 Prob. Chi-Square(1) 0.1521
Null Hypothesis: E4 has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=5)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.199791 0.02112
Test critical values: 1% level -3.724070
5% level -2.986225
10% level -2.632604
Ph l c 6: K t qu c l ng h i qui và ki m đ nh mô hình (5)
Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 11:15 Sample (adjusted): 1988 2013
Included observations: 26 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 5.442580 1.749224 3.111425 0.0002 P -0.017164 0.007209 -2.380912 0.0322 DAGRIV 0.060784 0.016367 3.713814 0.0030 DPOPL1 -0.146458 0.120710 -1.213304 0.0797 DLITL1 0.349362 0.305783 1.142516 0.0896 DGDIZPV 0.063477 0.029764 2.132677 0.0318
R-squared 0.609229 Mean dependent var 5.264377
Adjusted R-squared 0.574037 S.D. dependent var 1.339846 S.E. of regression 0.089293 Akaike info criterion 3.545240 Sum squared resid 33.24555 Schwarz criterion 3.835570 Log likelihood -40.08812 Hannan-Quinn criter. 3.628845 F-statistic 2.399783 Durbin-Watson stat 1.711313 Prob(F-statistic) 0.002677
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 2.919308 Prob. F(2,18) 0.1612
Obs*R-squared 13.63168 Prob. Chi-Square(2) 0.1811
Heteroskedasticity Test: ARCH
F-statistic 2.360907 Prob. F(1,23) 0.1381
Obs*R-squared 2.327310 Prob. Chi-Square(1) 0.1271
Null Hypothesis: E5 has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=5)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.139177 0.0369
Test critical values: 1% level -3.737853
5% level -2.991878
10% level -2.635542
Ph l c 7: K t qu c l ng h i qui và ki m đ nh mô hình (6)
Dependent Variable: YPC Method: Least Squares Date: 03/12/15 Time: 11:47 Sample (adjusted): 1988 2013
Included observations: 26 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 5.513058 2.833039 1.945987 0.0330 P -0.016546 0.007853 -2.106965 0.0041 DAGRIV 0.124388 0.025497 4.878534 0.0021 DPOPL1 -0.157181 0.085011 -1.848948 0.0543 DLITL1 0.064040 0.047012 1.362205 0.0703 DGDIZPV 0.066971 0.030318 2.208951 0.0246 DGDIZPB -0.042410 0.033015 -1.284567 0.0892
R-squared 0.621317 Mean dependent var 5.264377
Adjusted R-squared 0.580049 S.D. dependent var 1.339846 S.E. of regression 0.030922 Akaike info criterion 3.619341 Sum squared resid 33.15186 Schwarz criterion 3.958059 Log likelihood -40.05143 Hannan-Quinn criter. 3.716879 F-statistic 2.120243 Durbin-Watson stat 1.725057 Prob(F-statistic) 0.037671
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 10.77334 Prob. F(2,17) 0.2010
Obs*R-squared 14.53338 Prob. Chi-Square(2) 0.2107
Heteroskedasticity Test: ARCH
F-statistic 2.353095 Prob. F(1,23) 0.1387
Obs*R-squared 2.320323 Prob. Chi-Square(1) 0.1277
Null Hypothesis: E6 has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=5)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.127734 0.0378
Test critical values: 1% level -3.737853
5% level -2.991878
10% level -2.635542