CHƯƠNG 5 .KẾT LUẬN VÀ KIẾN NGHỊ
5.4 Hướng mở rộng đề tài:
Trong tương lai khi những dữ liệu hoàn chỉnh với số kỳ nghiên cứ đủ lớn, hướng nghiên cứu tiếp tục được hoàn thiện và bổ sung khi được tăng cỡ mẫu. Do đó, bài nghiên cứu sẽ tiếp tục hồn thiện về mặt dữ liệu, kỳ quan sát và bổ sung việc cần phải xem xét đến sự khác biệt giữa các khu vực.
DANH MỤC TÀI LIỆU THAM KHẢO Danh mục tài liệu tiếng Anh:
1. António Afonso, 2005. Fiscal Sustainability: The Unpleasant European Case. FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, 61(1), 19.
2. Arellano, M. and S. Bond,1991 . Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations. Review
of Economic Studies, 58 (2): 277-297.
3. Baglioni, A., & Cherubini, U., 1993. Intertemporal budget constraint and public debt sustainability: the case of Italy. Applied Economics, 25: 275–283.
4. Baltagi, B.H., 2005. Econometric Analysis of Panel Data. Third ed.John
Wiley & Sons Ltd. England.
5. Buiter, W., & Patel, R., 1992. Debt, deficits, and inflation: an application to the public finances of India. Journal of Public Economics, 172–205.
6. Caporale, G., 1995. Bubble finance and debt sustainability: a test of the government’s intertemporal budget constraint. Applied Economics, 27, 1135–1143.
7. Engle, R., & Granger, C., 1987. Co-integration and error correction: representation, estimation, and testing. Econometrica: Journal of the Econometric
Society, 251-276.
8. Hakkio C.S. and Rush M., 1991. Is The Budget Deficit too Large?
Economic Inquiry, 29, 429-445.
9. Hamilton J.D. and Flavin M., 1986. On The Limitations of Government Borrowing: A Framework for Empirical Testing. American Economic Review,
76(4), 808-819.
10. Kao, C., 1999. Spurious regression and residual‐based tests for cointegration in panel data. Journal of Econometrics, 90, 1–44.
11. Makrydakis, S., 1999. Consumption-smoothing and the excessiveness of Greece’s current account deficits. Empirical Economics, 24, 183–209.
12. Neaime, S., 2009. Sustainability of Exchange Rate Policies and External Public Debt in the MENA Region. Journal of Economics and International Finance, AcademicJournals, 1(2), pp. 59-71.
13. Neaime, S., 2010. Sustainability of MENA Public Debt and the Macroeconomic Implications of the US Financial Crisis.Middle East Development
Journal, World Scientific, Singapore, Vol. 2, pp. 177-201.
14. Neaime, S., 2015. Sustainability of budget deficits and public debts in selected European Union countries. Journal of Economic Asymmetries, Vol. 12,
Issue 1, 1-21.
15. Pedroni, P.,1999. Critical Values for Cointegrationtests in Heterogeneous Panels with Multiple Regressors. Oxford Bulletin of Economics and Statistics,61,
653–670.
16. Pedroni, P.,2004. Panel Cointegration: A symptotic and Finite Sample Properties of Pooled Time Series tests with an Application to the PPP Hypothesis.
EconometricTheory,20,597–625.
17. Prohl, S. and Schneider, F.G., 2006. Sustainability of Public Debt and Budget Deficit: Panel cointegration analysis for the European Union Member countries. Business and Economics. Federal Reserve Bank of St Louis.
18. R. Carter Hill, 2011. Using Eviews for Principles of Econometrics Fourth Edition William E. Griffiths R. Carter, 494.
19. Smith, G. W., & Zin, S. E., 1991. Persistent deficits and the market value of government debts.Journal of Applied Econometrics, 6, 31–44.
20. Tanner E. and Liu P., 1994. Is The Budget Deficit Too Large? Some Further Evidence.Economic Inquiry, 32, 511-518.
21. Trehan, B. and Walsh C.E., 1991. Testing Intertemporal Budget Constraints: Theoryand Applications to U.S. Federal Budget and Current Account Deficits.Journal ofMoney, Credit, and Banking, 23 (2), 206-23.
PHỤ LỤC PHỤ LỤC 1: THỐNG KÊ MÔ TẢ PHỤ LỤC 2: MA TRẬN TƯƠNG QUAN PHỤ LỤC 3: KIỂM ĐỊNH TÍNH DỪNG Bậc gốc Debt: goverments~g 135 13.78591 3.867979 6.531995 20.57237 govermentr~s 135 21.89036 6.837599 11.19352 37.68647 budgetbala~e 135 8.104452 6.850728 -9.305865 26.00318 debt 135 59.70945 43.69228 18.28626 195.9927 Variable Obs Mean Std. Dev. Min Max
goverments~g 0.3396 -0.2857 0.2794 1.0000 govermentr~s -0.3895 0.8403 1.0000
budgetbala~e -0.5805 1.0000 debt 1.0000
debt budget~e goverm~s goverm~g
Other statistics are suitable for finite or infinite number of panels. P statistic requires number of panels to be finite.
Modified inv. chi-squared Pm -1.1100 0.8665
Inverse logit t(49) L* 3.3959 0.9993 Inverse normal Z 2.9599 0.9985 Inverse chi-squared(18) P 11.3397 0.8794 Statistic p-value Drift term: Not included ADF regressions: 5 lags
Time trend: Not included Cross-sectional means removed Panel means: Included
AR parameter: Panel-specific Asymptotics: T -> Infinity Ha: At least one panel is stationary Number of periods = 15 Ho: All panels contain unit roots Number of panels = 9
Based on augmented Dickey-Fuller tests Fisher-type unit-root test for debt
Budgetbalance:
Govermentspending:
Other statistics are suitable for finite or infinite number of panels.
P statistic requires number of panels to be finite.
Modified inv. chi-squared Pm 0.5846 0.2794
Inverse logit t(49) L* 0.0461 0.5183 Inverse normal Z 0.0635 0.5253 Inverse chi-squared(18) P 21.5075 0.2546 Statistic p-value Drift term: Not included ADF regressions: 5 lags
Time trend: Not included Cross-sectional means removed Panel means: Included
AR parameter: Panel-specific Asymptotics: T -> Infinity Ha: At least one panel is stationary Number of periods = 15 Ho: All panels contain unit roots Number of panels = 9
Based on augmented Dickey-Fuller tests Fisher-type unit-root test for budgetbalance
Other statistics are suitable for finite or infinite number of panels.
P statistic requires number of panels to be finite.
Modified inv. chi-squared Pm -1.1397 0.8728
Inverse logit t(44) L* 2.1991 0.9834 Inverse normal Z 2.1910 0.9858 Inverse chi-squared(18) P 11.1617 0.8874 Statistic p-value Drift term: Not included ADF regressions: 5 lags
Time trend: Not included Cross-sectional means removed Panel means: Included
AR parameter: Panel-specific Asymptotics: T -> Infinity Ha: At least one panel is stationary Number of periods = 15 Ho: All panels contain unit roots Number of panels = 9
Based on augmented Dickey-Fuller tests
Fisher-type unit-root test for govermentspending
Govermentrevenues:
Sai phân bậc 1
Ddebt:
Other statistics are suitable for finite or infinite number of panels.
P statistic requires number of panels to be finite.
Modified inv. chi-squared Pm 2.7810 0.0027
Inverse logit t(49) L* -0.4466 0.3286 Inverse normal Z 0.7466 0.7724 Inverse chi-squared(18) P 34.6859 0.0104 Statistic p-value Drift term: Not included ADF regressions: 5 lags
Time trend: Not included Cross-sectional means removed Panel means: Included
AR parameter: Panel-specific Asymptotics: T -> Infinity Ha: At least one panel is stationary Number of periods = 15 Ho: All panels contain unit roots Number of panels = 9
Based on augmented Dickey-Fuller tests
Fisher-type unit-root test for govermentrevenues
Other statistics are suitable for finite or infinite number of panels.
P statistic requires number of panels to be finite.
Modified inv. chi-squared Pm 9.4282 0.0000
Inverse logit t(49) L* -6.7456 0.0000 Inverse normal Z -5.5375 0.0000 Inverse chi-squared(18) P 74.5695 0.0000 Statistic p-value Drift term: Not included ADF regressions: 1 lag
Time trend: Not included Cross-sectional means removed Panel means: Included
AR parameter: Panel-specific Asymptotics: T -> Infinity Ha: At least one panel is stationary Number of periods = 14 Ho: All panels contain unit roots Number of panels = 9
Based on augmented Dickey-Fuller tests Fisher-type unit-root test for ddebt
Dbudgetbalance:
Dgovermentspending:
Other statistics are suitable for finite or infinite number of panels.
P statistic requires number of panels to be finite.
Modified inv. chi-squared Pm 10.2265 0.0000
Inverse logit t(49) L* -7.3188 0.0000 Inverse normal Z -6.4606 0.0000 Inverse chi-squared(18) P 79.3592 0.0000 Statistic p-value Drift term: Not included ADF regressions: 1 lag
Time trend: Not included Cross-sectional means removed Panel means: Included
AR parameter: Panel-specific Asymptotics: T -> Infinity Ha: At least one panel is stationary Number of periods = 14 Ho: All panels contain unit roots Number of panels = 9
Based on augmented Dickey-Fuller tests
Fisher-type unit-root test for dbudgetbalance
Other statistics are suitable for finite or infinite number of panels.
P statistic requires number of panels to be finite.
Modified inv. chi-squared Pm 6.1294 0.0000
Inverse logit t(49) L* -4.8394 0.0000 Inverse normal Z -4.5821 0.0000 Inverse chi-squared(18) P 54.7764 0.0000 Statistic p-value Drift term: Not included ADF regressions: 1 lag
Time trend: Not included Cross-sectional means removed Panel means: Included
AR parameter: Panel-specific Asymptotics: T -> Infinity Ha: At least one panel is stationary Number of periods = 14 Ho: All panels contain unit roots Number of panels = 9
Based on augmented Dickey-Fuller tests
Dgovermentrevenues:
PHỤ LỤC 4: KIỂM ĐỊNH ĐỒNG LIÊN KẾT Gorverment Revenue và Gorverment Expenditure:
Pedroni Residual Cointegration Test
Series: GOVERMENT_SPENDING GOVERMENT_REVENUES Date: 03/15/16 Time: 17:10
Sample: 2000 2014 Included observations: 135 Cross-sections included: 9 Null Hypothesis: No cointegration
Trend assumption: Deterministic intercept and trend
Automatic lag length selection based on HQIC with a max lag of 2 Newey-West automatic bandwidth selection and Bartlett kernel Alternative hypothesis: common AR coefs. (within-dimension)
Weighted
Statistic Prob. Statistic Prob. Panel v-Statistic 0.371712 0.3551 0.587018 0.2786 Panel rho-Statistic 0.691071 0.7552 0.242542 0.5958 Panel PP-Statistic -1.093367 0.1371 -1.840088 0.0329 Panel ADF-Statistic -4.112900 0.0000 -4.052700 0.0000
Other statistics are suitable for finite or infinite number of panels.
P statistic requires number of panels to be finite.
Modified inv. chi-squared Pm 12.3669 0.0000
Inverse logit t(49) L* -8.4913 0.0000 Inverse normal Z -7.0739 0.0000 Inverse chi-squared(18) P 92.2017 0.0000 Statistic p-value Drift term: Not included ADF regressions: 1 lag
Time trend: Not included Cross-sectional means removed Panel means: Included
AR parameter: Panel-specific Asymptotics: T -> Infinity Ha: At least one panel is stationary Number of periods = 14 Ho: All panels contain unit roots Number of panels = 9
Based on augmented Dickey-Fuller tests
Kao Residual Cointegration Test
Series: GOVERMENT_REVENUES GOVERMENT_SPENDING Date: 03/15/16 Time: 18:13
Sample: 2000 2014 Included observations: 135 Null Hypothesis: No cointegration Trend assumption: No deterministic trend
Automatic lag length selection based on AIC with a max lag of 3 Newey-West automatic bandwidth selection and Bartlett kernel
t-Statistic Prob.
ADF -2.939727 0.0016
Residual variance 2.717197
HAC variance 2.295370
Augmented Dickey-Fuller Test Equation Dependent Variable: D(RESID)
Method: Least Squares Date: 03/15/16 Time: 18:13 Sample (adjusted): 2001 2014
Included observations: 126 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. RESID(-1) -0.411871 0.063821 -6.453507 0.0000 R-squared 0.249594 Mean dependent var 0.034435 Adjusted R-squared 0.249594 S.D. dependent var 1.671058 S.E. of regression 1.447571 Akaike info criterion 3.585555 Sum squared resid 261.9326 Schwarz criterion 3.608065 Log likelihood -224.8900 Hannan-Quinn criter. 3.594700 Durbin-Watson stat 2.009386
Johansen Fisher Panel Cointegration Test
Series: GOVERMENT_SPENDING GOVERMENT_REVENUES Date: 03/15/16 Time: 17:12
Sample: 2000 2014 Included observations: 135
Trend assumption: Linear deterministic trend Lags interval (in first differences): 1 1
Unrestricted Cointegration Rank Test (Trace and Maximum Eigenvalue) Hypothesized Fisher Stat.* Fisher Stat.*
No. of CE(s) (from trace test) Prob. (from max-eigen test) Prob.
None 54.23 0.0000 40.66 0.0017 At most 1 44.65 0.0005 44.65 0.0005 * Probabilities are computed using asymptotic Chi-square
Individual cross section results
Trace Test Max-Eign Test
Cross Section Statistics Prob.** Statistics Prob.** Hypothesis of no cointegration AUS 12.0715 0.1535 9.2073 0.2693 HKG 12.1556 0.1496 9.0222 0.2843 IDN 12.8986 0.1186 8.1399 0.3647 JPN 17.9210 0.0211 17.6607 0.0140 MYS 9.2276 0.3448 6.9461 0.4955 MNG 9.7650 0.2993 9.4155 0.2532 NZL 23.4413 0.0026 15.3899 0.0331 SGP 28.5079 0.0003 21.1359 0.0035 THA 9.4422 0.3261 9.3385 0.2591
Hypothesis of at most 1 cointegration relationship
AUS 2.8642 0.0906 2.8642 0.0906 HKG 3.1334 0.0767 3.1334 0.0767 IDN 4.7587 0.0291 4.7587 0.0291 JPN 0.2603 0.6099 0.2603 0.6099 MYS 2.2816 0.1309 2.2816 0.1309 MNG 0.3495 0.5544 0.3495 0.5544 NZL 8.0514 0.0045 8.0514 0.0045 SGP 7.3720 0.0066 7.3720 0.0066 THA 0.1037 0.7475 0.1037 0.7475 **MacKinnon-Haug-Michelis (1999) p-values
Budget deficit và Debt:
Pedroni Residual Cointegration Test Series: DEBT BUDGET_BALANCE Date: 03/15/16 Time: 16:59 Sample: 2000 2014
Included observations: 135 Cross-sections included: 9 Null Hypothesis: No cointegration Trend assumption: No deterministic trend
Automatic lag length selection based on AIC with a max lag of 2 Newey-West automatic bandwidth selection and Bartlett kernel Alternative hypothesis: common AR coefs. (within-dimension)
Weighted
Statistic Prob. Statistic Prob. Panel v-Statistic 0.661237 0.2542 0.563562 0.2865 Panel rho-Statistic -0.828235 0.2038 -1.573017 0.0579 Panel PP-Statistic -1.644457 0.0500 -2.859242 0.0021 Panel ADF-Statistic -0.645336 0.2594 -2.593574 0.0047
Kao Residual Cointegration Test Series: DEBT BUDGET_BALANCE Date: 03/15/16 Time: 17:00 Sample: 2000 2014
Included observations: 135 Null Hypothesis: No cointegration Trend assumption: No deterministic trend
Automatic lag length selection based on AIC with a max lag of 3 Newey-West automatic bandwidth selection and Bartlett kernel
t-Statistic Prob.
ADF -1.392566 0.0819
Residual variance 39.82234
HAC variance 37.73545
Johansen Fisher Panel Cointegration Test Series: DEBT BUDGET_BALANCE Date: 03/15/16 Time: 17:01 Sample: 2000 2014
Included observations: 135
Trend assumption: Linear deterministic trend Lags interval (in first differences): 1 1
Unrestricted Cointegration Rank Test (Trace and Maximum Eigenvalue) Hypothesized Fisher Stat.* Fisher Stat.*
No. of CE(s) (from trace test) Prob. (from max-eigen test) Prob.
None 55.56 0.0000 47.36 0.0002 At most 1 38.35 0.0035 38.35 0.0035 * Probabilities are computed using asymptotic Chi-square distribution.
Individual cross section results
Trace Test Max-Eign Test
Cross Section Statistics Prob.** Statistics Prob.** Hypothesis of no cointegration AUS 18.6215 0.0163 16.1205 0.0252 HKG 10.4441 0.2481 7.6817 0.4120 IDN 13.8618 0.0868 11.1282 0.1479 JPN 12.8182 0.1216 11.9299 0.1133 MYS 17.8527 0.0217 15.6793 0.0297 MNG 17.3258 0.0262 11.9539 0.1124 NZL 10.4788 0.2457 9.8342 0.2230 SGP 21.5393 0.0054 17.7556 0.0135 THA 17.2920 0.0265 15.6583 0.0299
Hypothesis of at most 1 cointegration relationship
IDN 2.7335 0.0983 2.7335 0.0983 JPN 0.8883 0.3459 0.8883 0.3459 MYS 2.1734 0.1404 2.1734 0.1404 MNG 5.3719 0.0205 5.3719 0.0205 NZL 0.6446 0.4220 0.6446 0.4220 SGP 3.7838 0.0517 3.7838 0.0517 THA 1.6337 0.2012 1.6337 0.2012 **MacKinnon-Haug-Michelis (1999) p-values
Phụ lục 5 : Kết quả hồi quy Granger Test
. Prob > chi2 = 0.0000 chi2( 1) = 23.12 ( 1) L.ecm = 0 . test l.ecm . Prob > chi2 = 0.9253 chi2( 2) = 0.16 ( 2) L2.dbudgetbalance = 0 ( 1) L.dbudgetbalance = 0
. test l.dbudgetbalance l2.dbudgetbalance .
Standard: _cons Instruments for level equation
Standard: LD.ddebt L2D.ddebt LD.dbudgetbalance L2D.dbudgetbalance LD.ecm GMM-type: L(2/.).ddebt
Instruments for differenced equation
_cons .4872408 .5452829 0.89 0.372 -.5814941 1.555976 L1. -.3998707 .083163 -4.81 0.000 -.5628671 -.2368743 ecm L2. .0859636 .296216 0.29 0.772 -.494609 .6665363 L1. .1151455 .3253178 0.35 0.723 -.5224658 .7527567 dbudgetbalance L2. -.0223115 .0973477 -0.23 0.819 -.2131096 .1684865 L1. .2550072 .0940618 2.71 0.007 .0706495 .4393649 ddebt ddebt Coef. Std. Err. z P>|z| [95% Conf. Interval] One-step results
Prob > chi2 = 0.0000 Number of instruments = 76 Wald chi2(5) = 40.94 max = 11 avg = 11 Obs per group: min = 11 Time variable: year
Group variable: country Number of groups = 9 Arellano-Bond dynamic panel-data estimation Number of obs = 99
Prob > chi2 = 0.9368 chi2( 1) = 0.01 ( 1) L.ecm = 0 . test l.ecm . Prob > chi2 = 0.0091 chi2( 2) = 9.39 ( 2) L2.ddebt = 0 ( 1) L.ddebt = 0 . test l.ddebt l2.ddebt .
Standard: _cons Instruments for level equation
Standard: LD.ddebt L2D.ddebt LD.dbudgetbalance L2D.dbudgetbalance LD.ecm GMM-type: L(2/.).dbudgetbalance
Instruments for differenced equation
_cons -.0592293 .1997524 -0.30 0.767 -.4507368 .3322783 L1. -.0023556 .0297076 -0.08 0.937 -.0605815 .0558703 ecm L2. -.1723592 .1055832 -1.63 0.103 -.3792985 .0345802 dbudgetbalance L2. .0708657 .0356035 1.99 0.047 .0010841 .1406473 L1. -.0682016 .0344639 -1.98 0.048 -.1357496 -.0006536 ddebt L1. -.1140727 .1145931 -1.00 0.320 -.338671 .1105257 dbudgetbalance dbudgetbalance Coef. Std. Err. z P>|z| [95% Conf. Interval] One-step results
Prob > chi2 = 0.0186 Number of instruments = 76 Wald chi2(5) = 13.57 max = 11 avg = 11 Obs per group: min = 11 Time variable: year
Group variable: country Number of groups = 9 Arellano-Bond dynamic panel-data estimation Number of obs = 99