Đề tài cĩ th mở ộng theo hướng xem xét t ng th nền inh tế, t ong đĩ mơ hình SVAR đư c xây dựng bao gồm mối quan hệ tác động qua lại của cả chính sách tiền tệ
t ong
h chặt chẽ giữa tiền tệ à tài hĩa, nên iệc cĩ th lư ng hĩa đư c mối quan hệ này t ong một mơ hình động t ng quát sẽ là một hướng nghiên c u mở ộng mang ý nghĩa ng dụng thực tiễn cao.
Ngồi a, cĩ th b sung nhiều biến đại diện cho nền inh tế ĩ mơ như chỉ số ch ng hốn, NEER, OUTPUT GAP… đ hản ánh chính xác hơn nền inh tế ĩ mơ.
DANH MỤC TÀI LIỆU THAM KHẢO DANH MỤC TÀI LIỆU TIẾNG ANH
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2. Alain Ize and Eric parrado, 2002. Dollarixation, Monetary policy, and the pass through, IMF Working Paper, WP/02/188.
3. Benjamin O.Maturu, 2007. Channels of Monetary Policy Transmission in Kenya. In:
Transmission Mechanism of Monetay Policy Seminar, 12th African Economic Society Conference. Cape Town, South Africa.
4. Bernanke, Ben, and Ilian Mihov, 1998. Measuring monetary policy. The Quarterly
Journal of Economics, 3: 870-902.
5. Borys and Horváth, 2008. The Effects of Monetary Policy in the Czech Republic: An Empirical Study. The Czech National Bank, Working paper series 4.
6. Camen, U., 2006. Monetary Policy in Vietnam: The case of a transition country in Monetary Policy in Asia: approaches and implementation. BIS Papers, 31: 232-252.
7. Castelnuovo, Efrem and Paolo Surico, 2006. The price puzzle: fact or artifact ?.
Bank of England Working Paper No. 288.
8. Cho, Seong – Jei and Jongku Kang, 1999. The impact of Monetary Bank Lending Behavior. The Bank of Korea economics Paper, 2 (1), P.1-28.
9. Choudhri, E. and Hakura, D, 2001. Exchange Rate Pass-Through to Domestic Prices: Does the Inflationary Environment Matter? IMF, [Online], Available at:
<http://www.imf.org/external/pubs/ft/wp/2001/wp01194.pdf>, [Accessed 25 February 2012].
10. Cushman, David O and Tao Zha, 1997. Indentyfying monetary Policy in a Smaill Open Economy under Flexible Exchange Rates. Journals of Monetary economics, P. 39, 433-488.
Transmission in India, RBI Working Papers, [online] Available at <http://rbidocs.rbi.org.in/rdocs/Publications/PDFs/WPS6180512FL.pdf>, [Accessed 15 May 2013].
12. Ferri, G., Kang, T.S., 1999. The credit chanel at work: Lesson from the Republic of Ko ea’s financail c isis. World Bank paper, WP 2190.
13. Frederic S. Mishkin, 2004. The economics of monetary, banking and financial market. 7th edition. New York. With the Addsion Wesley, page 619.
14. Frederic. S Mishkin, 1996. The Channels of Monetary Transmission: Lessons for
Monetary Policy, NBER Working Paper Series 5464, [Online] Available at:
<http://www.nber.org/papers/w5464> [Accessed 15 May 2013].
15. Friedman, Milton and Anna Schwartz, 1963. A Monetary History of the United States, 1867-1960, Princeton, Princeton University Press.
16. Ganev G, Molnar K, Rybinski K, Wozniak P. , 2002. Transmission Mechanism of monetary Policy in Central and Eastern Europe. CASE Report No.52.
17. Gert Peersman and Frank Smets, 2001. The monetary transmission mechanisim in the Euro area: More evidence from Var Analysis. Woking Paper No 91.
18. Gottschalk, Jan, 2001. An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models. Kiel Working Paper, No. 1072. 19. Goujon, Michặl, 2006. Fighting inflation in a dollarized economy: The case of
Vietnam, Journal of Comparative Economics, 34: 564-581.
20. Hoffmaister, A.W., J.E. Roldos, and P.Wickham, 1998. Macroeconomic Fluatuations in Sub-saharan Africa. IMF Staff Papers 45: 132-161.
21. International Monetary Fund, 2003. What Drives Inflation in Vietnam? A Regional Approach. IMF Country Report No. 06/422, November, International Monetary Fund, Washington, D.C., U.S.A.
22. International Monetary Fund, 2006. Inflation Dynamics in Vietnam. IMF Country
23. Jan Gottschalk, 2001. An Introduction into the SVAR methodlogy: Indentification, Interpretation and Limitation of SVAR Models. Kiel Working paper No.1072.
24. Jonathan McCarthy, 2007. Pass-through of exchange rates and Import prices to domestic inflation in some industrialized economies. Eastern Economic Journal, 33: 4.
25. Le Viet Hung and Wade Pfau, 2008. VAR Analysis of the Monetary Transmission Mechanism in Vietnam, Applied Econometrics and International Development, Vol.
9, No. 1, pp. 165-179, [Online] available at: <http://ssrn.com/abstract=1257854> [Accessed 15 September 2012].
26. Mala Raghavan and Param Silvapulle, 2007. Structural VAR Approach to Malaysian Monetary Policy Framework: Evidence from the Pre- and Post-Asian Crisis Periods, Department of Econometrics and Business Statistics Monash
University, Caulfield, VIC 3145, Australia, [Online] at: <http://nzae.org.nz/wp- content/uploads/2011/08/nr1215397050.pdf>, [Accessed 15 September 2012].
27. Mosis M. Sichei, 2005. Bank – Lending Chanel in South – Africa: Bank – Level Dynamic panel Data Analysis, Departments of economics Working Paper Series,
WP 2005-10.
28. Nguyen, Huu Minh, Tony Cavoli, and John K. Wilson, 2012, The Determinants of Inflation in Vietnam, 2001-09, ASEAN Economic Bulletin, 29: 1-14.
29. Nguyen, Thi Thu Hang and Duc Thanh Nguyen, 2010, Macroeconomic Determinants of Vietnam’s Inflation 2000-2010: Evidence and Analysis, December,
Vietnam Centre for Economic and Policy Research, University of Economics and Business, Vietnam National University, Hanoi, Vietnam.
30. Norman Loayza and Klaus Schmidt- Hebbel, 2006. Monetary policy functions and transmission mechanism: An overview, Central Bank of Chile, P2, [Online] at: <http://bcentral.cl/estudios/...central/pdf/.../001_020gallego>, Accessed 15 September 2012].
31. Piti Disyatat and Pinnarat Vongsinsirikul, 2003. Monetary policy and the transmission mechanism in Thailand. Journal of Asian Economics 14: 389–418.
32. Rina Bhattacharya, 2013. Inflation Dynamics and Monetary Policy Tranmission in Vietnam and Emerging Asia. IMF Working papers, WP/13/155.
33. Rokon Bhuiyan, 2012. Monetary Transmission Mechanism in a Small Open Economy: A Bayesian Structural VAR Approach. Canadian Journal of Economics, 45: 1037–1061.
34. Shahawaz Karim and Minsoo Lee and Christopher Gan, 2011. Price Effects of Monetary Policy: The Case of a Small Open Economy of New Zealand, Economic Analysis and Policy (EAP): 41: 253-272.
35. Sims, Christopher A, 1992. Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy. European Economic Review, June, Vol. 36 No. 5: 975-
1011.
36. Sims, Christopher A, 2009. Inflation Expectations, Uncertainty and Monetary Policy. BIS Working Papers, 275: 1 – 12.
37. Vo Van Minh, 2009. Exchange Rate Pass – Through and Its Implications for Inflation in Vietnam, VDF Working Paper, No. 0902.
DANH MỤC TÀI LIỆU TIẾNG VIỆT
1. Bạch Thị Phương Thảo, 2011. Truyền dẫn tỷ giá hối đối vào các chỉ số giá tại VN
giai đoạn 2001 – 2011. Luận ăn thạc sĩ inh tế. T ường Đại học Kinh tế TP.HCM.
2. Chu Khánh Lân, 2013. Nghiên c u thực nghiệm về truyền dẫn chính sách tiền tệ qua kênh tín dụng tại Việt Nam. Tạp chí ngân hàng, số 5 tháng 3/2013, trang 17-23. 3. Nguyễn Hồng Anh à cộng sự, 2012. Phân tích định lượng tác động của các kênh
truyền dẫn tiền tệ lên tổng sản lượng và mức giá tại Việt Nam sử dụng mơ hình tự hồi quy vector var. Bài dự thi nhà hoa học t ẻ. Đại học inh tế T .HCM.
4. Nguyễn Phi Lân, 2011. Cơ chế truyền dẫn tiền tệ dưới gĩc độ hân tích định lư ng, [online] <http://www.vi.scribd.com/doc/119932353/Nguyen-Phi-Lan> [Ngày truy cập: 01/05/2013].
5. Nguyễn Thị Liên Hoa à T ần Đặng Dũng, 2013. Nghiên c u lạm hát tại Việt Nam theo hương há SVAR. Tạp chí phát triển và hội nhập, số 10 tháng 5-
6/2013, trang 32-38.
6. Nguyễn Thị Ngọc Trang và Lục Văn Cường, 2012. Sự chuy n dịch tỷ giá hối đối vào các m c giá tại VN. Tạp chí Phát triển & hội nhập, Số 7 (17), trang 7-13
7. Nguyễn Thị Thu Hằng à Nguyễn Đ c Thành, 2011. Nguồn gốc lạm hát của Việt Nam giai đoạn 2000-2010: hát hiện từ những bằng ch ng mới, [online] <http://vepr.org.vn/home/index.php?option=com_content&task=view&id=1068&Ite
mid=498>. [ngày t uy cậ : 01/04/2013].
8. Phạm Thế Anh, 2008. Ứng dụng mơ hình SVAR trong việc xác định hiệu ng của chính sách tiền tệ và dự báo lạm phát ở Việt Nam. Tạp chí Kinh tế và phát triển. 9. Phạm Thế Anh, 2009. Xác định các nhân tố quyết định lạm phát VN. Tạp chí Kinh
tế và phát triển, số 150.
10. Phạm thế Anh, 2013. Kinh tế lượng ứng dụng phân tích chuỗi thời gian. Hà Nội: NXB Lao Động.
11. Trần Ngọc Thơ à Nguyễn Hữu Tuấn, 2013. Cơ chế truyền dẫn chính sách tiền tệ ở Việt Nam tiếp cận theo mơ hình SVAR. Tạp chí phát triển và hội nhập, số 10 tháng 5-6/2013, trang 8-16.
Phụ lục 1: Kiểm định tính dừng của các biến
1. Tính dừng biến VNLS: kết quả dừng tại sai phân bậc 1, khơng chặn, khơng xu thế. Null Hypothesis: D(VNLS_SA) has a unit root
Exogenous: None
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 dừng biến WCPI: kết quả dừng tại sai phân bậc 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 *MacKinnon (1996) one-sided p-values.
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. 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 dừng biến USSL: kết quả dừng tại sai phân bậc 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 Sum squared resid 0.007658 Schwarz criterion -6.958912
4. Tính dừng biến USCPI: kết quả dừng tại sai phân bậc 1
Null Hypothesis: D(LOGUSCPI) has a unit root Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.* 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 dừng biến USLS: kết quả dừng tại 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 *MacKinnon (1996) one-sided p-values.
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 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 dừng biến VNSL: kết quả dừng tại sai phân bậc 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 Log likelihood 201.9583 Hannan-Quinn criter. -2.597742
7. Tính dừng biến VNCPI: kết quả dừng tại sai phân bậc 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 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 dừng biến VNM2: kết quả dừng tại sai phân bậc 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 *MacKinnon (1996) one-sided p-values.
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 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 dừng biến EX: kết quả dừng tại sai phân bậc 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 Sum squared resid 0.016223 Schwarz criterion -6.287664
PHỤ LỤC 2: KẾT QUẢ KIỂM ĐỊNH TÍNH DỪNG 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 2 3003.398 252.6403 1.16e-28* -38.79997* -35.30548 -37.38008* 3 3062.852 96.10358 1.60e-28 -38.50482 -33.35504 -36.41235 4 3124.233 91.65128 2.22e-28 -38.23607 -31.43100 -35.47101 5 3199.217 102.7176 2.66e-28 -38.15366 -29.69329 -34.71602 6 3290.846 114.2218* 2.67e-28 -38.29925 -28.18360 -34.18903 7 3358.652 76.16628 4.00e-28 -38.11852 -26.34758 -33.33572 8 3452.590 93.93834 4.59e-28 -38.29576 -24.86953 -32.84037 * indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error
AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion
PHỤ LỤC 3 : KẾT QUẢ KIỂM ĐỊNH TÍNH DỪNG THEO PHƯƠNG PHÁP PORMANTEAU.
VAR Residual Portmanteau Tests for Autocorrelations Null Hypothesis: no residual autocorrelations up to lag h Date: 07/28/13 Time: 20:57