CHƢƠNG 5 : KẾT LUẬN
5.3 Hƣớng nghiên cứu mở rộng
Vai trò của nghiên cứu thực nghiệm khu vực châu Á ngày càng đóng vai trị quan trọng, với sự chuyển dịch từ Châu Âu sang Châu Á của kinh tế thế giới. Việc hoàn thiện bài nghiên cứu về mặt dữ liệu cập nhật thêm sau này cũng nhƣ hoàn thiện những hạn chế nêu trên là một hƣớng mở rộng khả thi.
Do nội dung nghiên cứu trong các giai đoạn khác nhau trƣớc và sau khủng hoảng kinh tế thế giới 2008, có thể sử dụng các mơ hình phi tuyến nhằm ƣớc lƣợng sự thay đổi về mặt cấu trúc trƣớc và sau khủng hoảng có tác động tới sự khác nhau về mối quạn hệ các yếu tố tiền tệ và tỷ giá hay khơng. Mơ hình có thể đƣợc sử dụng kiểm soát đứt gãy trong mối quan hệ các biến là Threshold đƣợc phát triển bởi Hansen (1999).
DANH MỤC TÀI LIỆU THAM KHẢO
TÀI LIỆU THAM KHẢO TIẾNG VIỆT
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Nguyễn Văn Tiến, 2010. Giáo trình tài chính quốc tế . Hà Nội : NXB Thống Kê.
Trần Hồng Ngân, 2012. Giáo trình thanh tốn quốc tế. TP.HCM: Trƣờng Đại học kinh tế TP.HCM.
Trần Ngọc Thơ – Nguyễn Ngọc Định, 2013. Tài chính quốc tế. TP.HCM: Trƣờng Đại học kinh tế TP.HCM.
TÀI LIỆU THAM KHẢO TIẾNG ANH
Annual report on Exchange arrangement and Exchange restriction 2012 (IMF)
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Cerra, V., & Saxena, S. C. (2010). The monetary model strikes back: Evidence from the world. Journal of International Economics, 81(2), 184-196.
Clements, K. W., & Frenkel, J. A. (1980). Exchange rates, money, and relative prices: the dollar-pound in the 1920s. Journal of International Economics, 10(2), 249-262. Crespo‐Cuaresma, J., Fidrmuc, J., & MacDonald, R. (2005). The monetary approach to exchange rates in the CEECs1. Economics of Transition, 13(2), 395-416.
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Dąbrowski, M. A., Papież, M., & Śmiech, S. (2013). Monetary Exchange Rate Model for the Central European Countries–Evidence from a Panel Approach.Proceedings of the 7th International Days of Statistics and Economics, 289-299.
Dąbrowski, M. A., Papież, M., & Śmiech, S. (2014). Exchange rates and monetary fundamentals in CEE countries: Evidence from a panel approach.Journal of Macroeconomics, 41, 148-159.
Engel, C., Mark, N. C., & West, K. D. (2007). Exchange rate models are not as bad as you think (No. w13318). National Bureau of Economic Research.
Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.
Flood, R. P., & Rose, A. K. (1999). Understanding exchange rate volatility without the contrivance of macroeconomics. The Economic Journal, 109(459), 660-672.
Frenkel, J. A. (1976). A monetary approach to the exchange rate: doctrinal aspects and empirical evidence. the scandinavian Journal of economics, 200-224.
Groen, J.J.(2000). The monetary exchange rate model as a long-run phenomenon. Journal of International Economics, 52(2), 299-319
Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of econometrics, 115(1), 53-74..
Kao, C., & Chiang, M. H. (1999). On the estimation and inference of a cointegrated regression in panel data. Available at SSRN 1807931.
Krugman, P. (1989). Exchange Rate Instability MIT Press. Cambridge Massachusetts. Levin, A., Lin, C. F., & Chu, C. S. J. (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of econometrics, 108(1), 1-24
MacDonald, R., & Taylor, M. P. (1994). The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk.Journal of international Money and finance, 13(3), 276-290.
Maddala, G. S., & Wu, S. (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and statistics,61(S1), 631- 652
Mark, N. C., & Sul, D. (2001). Nominal exchange rates and monetary fundamentals: evidence from a small post-Bretton Woods panel. Journal of International Economics, 53(1), 29-52.
Meese, R. A., & Rogoff, K. (1983). Empirical exchange rate models of the seventies: Do they fit out of sample?. Journal of international economics,14(1), 3-24.
Mussa, M. (1976). Adaptive and regressive expectations in a rational model of the inflationary process. Journal of Monetary Economics, 1(4), 423-442.
Pedroni, P. (2000). FULLY MODIFIED OLS FOR HETEROGENEOUS COINTEGRATED PANELS.
Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and statistics,61(s 1), 653-670. Pesaran, M. H., Shin, Y., & Smith, R. P. (1999). Pooled mean group estimation of dynamic heterogeneous panels. Journal of the American Statistical Association, 94(446), 621-634.
Pesaran, M. H., Ullah, A., & Yamagata, T. (2008). A bias‐adjusted LM test of error cross‐section independence. The Econometrics Journal, 11(1), 105-127.
Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels. Perron, P. (1988). Trends and random walks in macroeconomic time series: Further evidence from a new approach. Journal of economic dynamics and control, 12(2), 297- 332.
Rapach, D. E., & Wohar, M. E. (2002). Testing the monetary model of exchange rate determination: new evidence from a century of data. Journal of International Economics, 58(2), 359-385.
Sarno, L., Valente, G., & Wohar, M. E. (2004). Monetary fundamentals and exchange rate dynamics under different nominal regimes. Economic Inquiry,42(2), 179-193. Sarno, L., & Taylor, M. P. (2002). The economics of exchange rates. Cambridge University Press
Uz, I., & Ketenci, N. (2010). Exchange rate determination: monetary approach in the new EU members and Turkey. Applied Economics Letters, 17(10), 963-967.
PHỤ LỤC
Phụ lục 1: Thống kê mô tả
Phụ lục 2: Kiểm định tương quan chéo
Biến phụ thuộc S Biến phụ thuộc Mr Biến phụ thuộc Yr xr 175 .0039826 .2627889 -.3928977 .6969534 yr 175 -.00399 1.576124 -1.303744 3.846561 mr 175 .0058305 3.300649 -4.167629 7.387649 s 175 4.578254 .1357059 4.202165 4.887172 Variable Obs Mean Std. Dev. Min Max
*two-sided test LM CD* 1.027 0.3044 LM adj* 4.394 0.0000 LM 34.52 0.0318 Test Statistic p-value
Bias-adjusted LM test of error cross-section independence
LM CD* 1.003 0.3160
LM adj* 4.671 0.0000 LM 34.84 0.0294
Test Statistic p-value
Biến phụ thuộc Xr Phụ lục 3 : Kiểm định tính dừng Bậc gốc Biến S Biến Mr *two-sided test LM CD* .4714 0.6373 LM adj* 18.51 0.0000 LM 70.22 0.0000 Test Statistic p-value
Bias-adjusted LM test of error cross-section independence
*two-sided test LM CD* -.5488 0.5831 LM adj* 1.801 0.0718 LM 27.6 0.1519 Test Statistic p-value
Bias-adjusted LM test of error cross-section independence
-1.524 -2.120 -2.250 -2.510 CIPS cv10 cv5 cv1 CIPS test, N,T = (7,25)
Dynamics: lags criterion decision General to Particular based on F joint test Deterministics chosen: constant
Biến Yr Biến Xr Sai phân bậc 1 Biến dS -1.937 -2.120 -2.250 -2.510 CIPS cv10 cv5 cv1 CIPS test, N,T = (7,25)
Dynamics: lags criterion decision General to Particular based on F joint test Deterministics chosen: constant
Pesaran Panel Unit Root Test with cross-sectional and first difference mean included for mr
0.322 -2.100 -2.220 -2.440 CIPS* cv10 cv5 cv1 CIPS test, N,T = (7,25)
Individual ti were truncated during the aggregation process
Dynamics: lags criterion decision General to Particular based on F joint test Deterministics chosen: constant
Pesaran Panel Unit Root Test with cross-sectional and first difference mean included for yr
-1.386 -2.120 -2.250 -2.510 CIPS cv10 cv5 cv1 CIPS test, N,T = (7,25)
Dynamics: lags criterion decision General to Particular based on F joint test Deterministics chosen: constant
Biến dMr Biến dYr Biến dXr -3.794 -2.120 -2.250 -2.510 CIPS cv10 cv5 cv1 CIPS test, N,T = (7,24)
Dynamics: lags criterion decision Portmanteau (Q) test for white noise Deterministics chosen: constant
Pesaran Panel Unit Root Test with cross-sectional and first difference mean included for ds . xtcips ds, maxlags(1) bglags(1) q
-3.407 -2.120 -2.250 -2.510 CIPS cv10 cv5 cv1 CIPS test, N,T = (7,24)
Dynamics: lags criterion decision Portmanteau (Q) test for white noise Deterministics chosen: constant
Pesaran Panel Unit Root Test with cross-sectional and first difference mean included for dmr
-4.089 -2.120 -2.250 -2.510 CIPS cv10 cv5 cv1 CIPS test, N,T = (7,24)
Dynamics: lags criterion decision Portmanteau (Q) test for white noise Deterministics chosen: constant
Pesaran Panel Unit Root Test with cross-sectional and first difference mean included for dxr
-4.019 -2.120 -2.250 -2.510 CIPS cv10 cv5 cv1 CIPS test, N,T = (7,24)
Dynamics: lags criterion decision Portmanteau (Q) test for white noise Deterministics chosen: constant
Phụ lục 4: Ma trận tương quan
Phụ lục 5 : Nhân tử phóng đại phương sai VIF
xr 0.3078 0.2606 -0.3236 1.0000 yr -0.0871 0.7700 1.0000 mr 0.1469 1.0000 s 1.0000 s mr yr xr Mean VIF 7.12 xr 3.89 0.257040 mr 8.56 0.116891 yr 8.91 0.112277 Variable VIF 1/VIF . vif . _cons 4.577898 .0097064 471.64 0.000 4.558738 4.597058 xr .0237358 .0730477 0.32 0.746 -.1204556 .1679272 yr -.0372335 .0184281 -2.02 0.045 -.0736093 -.0008577 mr .019236 .0086243 2.23 0.027 .0022121 .0362598 s Coef. Std. Err. t P>|t| [95% Conf. Interval] Total 3.20440054 174 .018416095 Root MSE = .12838 Adj R-squared = 0.1051 Residual 2.81821708 171 .016480802 R-squared = 0.1205 Model .386183456 3 .128727819 Prob > F = 0.0001 F( 3, 171) = 7.81 Source SS df MS Number of obs = 175
Phụ lục 6: Kiểm định đồng liên kết
Pedroni Residual Cointegration Test Series: S MR YR XR
Sample: 1991 2015 Included observations: 175 Cross-sections included: 7 Null Hypothesis: No cointegration Trend assumption: No deterministic trend
Automatic lag length selection based on AIC with a max lag of 4 Newey-West automatic bandwidth selection and Bartlett kernel Alternative hypothesis: common AR coefs. (within-dimension)
Weighted
Statistic Prob. Statistic Prob.
Panel v-Statistic 2.539024 0.0056 2.495978 0.0063
Panel rho-Statistic -0.513900 0.3037 -0.890303 0.1867
Panel PP-Statistic -1.781290 0.0374 -2.249784 0.0122
Panel ADF-Statistic -3.329490 0.0004 -2.448134 0.0072
Alternative hypothesis: individual AR coefs. (between-dimension) Statistic Prob.
Group rho-Statistic -0.202115 0.4199
Group PP-Statistic -2.368563 0.0089
Group ADF-Statistic -4.196498 0.0000
Cross section specific results
Phillips-Peron results (non-parametric)
Cross ID AR(1) Variance HAC Bandwidth Obs
1 0.385 0.006008 0.006349 2.00 24 2 0.273 0.001850 0.001850 0.00 24 3 0.620 0.004555 0.005831 1.00 24 4 0.492 0.001109 0.001120 1.00 24 5 0.061 0.001498 0.001627 1.00 24 6 -0.015 0.000817 0.000817 0.00 24 7 0.493 0.003288 0.003494 1.00 24
Augmented Dickey-Fuller results (parametric)
Cross ID AR(1) Variance Lag Max lag Obs
1 -0.249 0.004003 2 4 22 2 0.273 0.001850 0 4 24 3 0.234 0.002340 2 4 22 4 0.492 0.001109 0 4 24 5 -1.648 0.000902 4 4 20 6 -0.455 0.000672 2 4 22 7 0.493 0.003288 0 4 24
Kao Residual Cointegration Test Series: S MR YR XR
Sample: 1991 2015 Included observations: 175 Null Hypothesis: No cointegration Trend assumption: No deterministic trend
Automatic lag length selection based on AIC with a max lag of 5 Newey-West automatic bandwidth selection and Bartlett kernel
t-Statistic Prob.
ADF -2.605391 0.0046
Residual variance 0.003758
HAC variance 0.004247
Augmented Dickey-Fuller Test Equation Dependent Variable: D(RESID)
Method: Least Squares Date: 07/10/16 Time: 17:17 Sample (adjusted): 1993 2015
Included observations: 161 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
RESID(-1) -0.217132 0.041907 -5.181308 0.0000
D(RESID(-1)) 0.356300 0.075482 4.720348 0.0000
R-squared 0.189276 Mean dependent var 3.84E-05
Adjusted R-squared 0.184177 S.D. dependent var 0.061405
S.E. of regression 0.055463 Akaike info criterion -2.933865
Sum squared resid 0.489103 Schwarz criterion -2.895587
Log likelihood 238.1761 Hannan-Quinn criter. -2.918322
Durbin-Watson stat 1.976064
Phụ lục 7: Kết quả hồi quy FMOLS
Dependent Variable: S
Method: Panel Fully Modified Least Squares (FMOLS) Sample (adjusted): 1992 2015
Periods included: 24 Cross-sections included: 7
First-stage residuals use heterogeneous long-run coefficients Coefficient covariance computed using default method
Long-run covariance estimates (Bohman kernel, User bandwidth = 1.0000)
Variable Coefficient Std. Error t-Statistic Prob.
MR -0.034292 0.016000 -2.143190 0.0336
YR 0.088048 0.034334 2.564482 0.0112
XR 0.704683 0.134200 5.251000 0.0000
R-squared -1133.705885 Mean dependent var 4.577856
Adjusted R-squared -1147.459896 S.D. dependent var 0.136319
S.E. of regression 4.619719 Sum squared resid 3521.398
Long-run variance 0.052015
Phụ lục 8: Kết quả hồi quy Granger Test (khơng có biến giả)
Biến phụ thuộc DS Prob > chi2 = 0.0000 chi2( 1) = 52.62 ( 1) L.ecm = 0 . test l.ecm . Prob > chi2 = 0.1576 chi2( 2) = 3.70 ( 2) L2.dxr = 0 ( 1) L.dxr = 0 . test l.dxr l2.dxr . Prob > chi2 = 0.4384 chi2( 2) = 1.65 ( 2) L2.dyr = 0 ( 1) L.dyr = 0 . test l.dyr l2.dyr . Prob > chi2 = 0.0705 chi2( 2) = 5.31 ( 2) L2.dmr = 0 ( 1) L.dmr = 0 . test l.dmr l2.dmr
Biến phụ thuộc DMr
Biến phụ thuộc Dyr
Prob > chi2 = 0.0787 chi2( 1) = 3.09 ( 1) L.ecm = 0 . test l.ecm . Prob > chi2 = 0.5491 chi2( 2) = 1.20 ( 2) L2.dxr = 0 ( 1) L.dxr = 0 . test l.dxr l2.dxr . Prob > chi2 = 0.0001 chi2( 2) = 18.29 ( 2) L2.dyr = 0 ( 1) L.dyr = 0 . test l.dyr l2.dyr . Prob > chi2 = 0.0160 chi2( 2) = 8.27 ( 2) L2.ds = 0 ( 1) L.ds = 0 . test l.ds l2.ds . Prob > chi2 = 0.3214 chi2( 1) = 0.98 ( 1) L.ecm = 0 . test l.ecm . Prob > chi2 = 0.0660 chi2( 2) = 5.44 ( 2) L2.dxr = 0 ( 1) L.dxr = 0 . test l.dxr l2.dxr . Prob > chi2 = 0.2225 chi2( 2) = 3.01 ( 2) L2.dmr = 0 ( 1) L.dmr = 0 . test l.dmr l2.dmr . Prob > chi2 = 0.0292 chi2( 2) = 7.07 ( 2) L2.ds = 0 ( 1) L.ds = 0 . test l.ds l2.ds
Biến phụ thuộc DXr
Phụ lục 9: Kết quả hồi quy Granger Test có biến giả khủng hoảng
Biến phụ thuộc DS Prob > chi2 = 0.2937 chi2( 1) = 1.10 ( 1) L.ecm = 0 . test l.ecm . Prob > chi2 = 0.1892 chi2( 2) = 3.33 ( 2) L2.dyr = 0 ( 1) L.dyr = 0 . test l.dyr l2.dyr . Prob > chi2 = 0.0002 chi2( 2) = 17.35 ( 2) L2.dmr = 0 ( 1) L.dmr = 0 . test l.dmr l2.dmr . Prob > chi2 = 0.8085 chi2( 2) = 0.43 ( 2) L2.ds = 0 ( 1) L.ds = 0 . test l.ds l2.ds Prob > chi2 = 0.0007 chi2( 1) = 11.47 ( 1) L.ecm = 0 . test l.ecm . Prob > chi2 = 0.1544 chi2( 2) = 3.74 ( 2) L2.dxr = 0 ( 1) L.dxr = 0 . test l.dxr l2.dxr . Prob > chi2 = 0.6776 chi2( 2) = 0.78 ( 2) L2.dyr = 0 ( 1) L.dyr = 0 . test l.dyr l2.dyr . Prob > chi2 = 0.0843 chi2( 2) = 4.95 ( 2) L2.dmr = 0 ( 1) L.dmr = 0 . test l.dmr l2.dmr
Biến phụ thuộc DMr
Biến phụ thuộc DYr
Prob > chi2 = 0.7012 chi2( 1) = 0.15 ( 1) L.ecm = 0 . test l.ecm . Prob > chi2 = 0.5809 chi2( 2) = 1.09 ( 2) L2.dxr = 0 ( 1) L.dxr = 0 . test l.dxr l2.dxr . Prob > chi2 = 0.0007 chi2( 2) = 14.66 ( 2) L2.dyr = 0 ( 1) L.dyr = 0 . test l.dyr l2.dyr . Prob > chi2 = 0.9612 chi2( 2) = 0.08 ( 2) L2.ds = 0 ( 1) L.ds = 0 . test l.ds l2.ds Prob > chi2 = 0.3497 chi2( 1) = 0.87 ( 1) L.ecm = 0 . test l.ecm . Prob > chi2 = 0.3771 chi2( 2) = 1.95 ( 2) L2.dxr = 0 ( 1) L.dxr = 0 . test l.dxr l2.dxr . Prob > chi2 = 0.2260 chi2( 2) = 2.97 ( 2) L2.dmr = 0 ( 1) L.dmr = 0 . test l.dmr l2.dmr . Prob > chi2 = 0.0345 chi2( 2) = 6.73 ( 2) L2.ds = 0 ( 1) L.ds = 0 . test l.ds l2.ds
Biến phụ thuộc DXr
Phụ lục 10: Kết quả hồi quy FMOLS trường hợp bổ sung dữ liệu ở Việt Nam
Dependent Variable: S
Method: Panel Fully Modified Least Squares (FMOLS) Sample (adjusted): 1992 2014
Periods included: 23 Cross-sections included: 8
Total panel (balanced) observations: 184 Panel method: Pooled estimation Cointegrating equation deterministics: C
Coefficient covariance computed using default method
Long-run covariance estimates (Bartlett kernel, Newey-West fixed bandwidth)
Variable Coefficient Std. Error t-Statistic Prob.
Prob > chi2 = 0.3013 chi2( 1) = 1.07 ( 1) L.ecm = 0 . test l.ecm . Prob > chi2 = 0.0886 chi2( 2) = 4.85 ( 2) L2.dyr = 0 ( 1) L.dyr = 0 . test l.dyr l2.dyr . Prob > chi2 = 0.0003 chi2( 2) = 16.49 ( 2) L2.dmr = 0 ( 1) L.dmr = 0 . test l.dmr l2.dmr