CHƯƠNG 5 : KẾT LUẬN
5.2. Hạn chế của luận văn
Mẫu nghiên cứu được thực hiện chỉ với 9 năm từ năm 2005 tới năm 2013 nên ta khơng có đủ dữ liệu để kiểm tra mối quan hệ nhân quả dài hạn giữa các biến.
Trong khoảng thời gian nghiên cứu có sự xuất hiện của khủng hoảng tài chính tồn cầu điều này có thể ảnh hưởng tới kết quả nghiên cứu.
TÀI LIỆU THAM KHẢO
Tài liệu tiếng Việt:
Trần Ngọc Thơ, Nguyễn Ngọc Định. 2012. Tài chính quốc tế. TP. Hồ Chí
Minh: Nhà xuất bản thống kê.
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PHỤ LỤC
Dữ liệu nghiên cứu của các quốc gia trong mẫu
Year Country RER TRADE FDI FPI IRD CAPD CAPF Dum TNC Dum TBC Dum 2007 Dum2008 Dum2009
2005 Japan 4.59 1.53 -0.92 -0.29 -1.20 36,615 44,744 1 0 0 0 0 2006 Japan 4.67 1.45 -1.31 2.93 -1.27 35,076 47,395 1 0 0 0 0 2007 Japan 4.71 1.92 -1.18 1.68 -1.20 35,247 48,423 1 0 1 0 0 2008 Japan 4.60 0.36 -2.19 -5.95 -0.61 39,244 48,650 1 0 0 0 0 2009 Japan 4.52 0.46 -1.25 -4.30 0.21 40,569 47,243 1 0 0 0 0 2010 Japan 4.47 1.36 -1.07 -2.75 0.24 44,278 48,884 1 0 0 0 0 2011 Japan 4.41 -0.73 -1.87 2.73 0.28 47,642 50,864 1 0 0 0 0 2012 Japan 4.43 -1.75 -2.03 -0.71 0.26 48,026 52,615 1 0 0 0 0 2013 Japan 4.65 -2.55 -2.72 5.33 0.33 39,945 53,755 1 0 0 0 0 2005 Korea 6.97 2.55 -0.01 -0.39 0.11 18,512 44,744 1 0 0 0 0 2006 Korea 6.91 1.79 -0.75 -2.30 -0.08 20,839 47,395 1 0 0 0 0 2007 Korea 6.89 2.24 -1.60 -2.32 0.03 23,031 48,423 1 0 0 0 0 2008 Korea 7.05 -0.06 -1.69 -0.24 0.85 20,473 48,650 1 0 0 0 0 2009 Korea 7.17 3.46 -1.66 5.51 1.35 18,295 47,243 1 0 0 0 1
2010 Korea 7.05 2.87 -2.03 3.88 1.42 22,173 48,884 1 0 0 0 0 2011 Korea 7.00 2.15 -1.36 1.09 1.54 24,298 50,864 1 0 0 0 0 2012 Korea 7.02 3.37 -1.52 0.83 1.42 24,705 52,615 1 0 0 0 0 2013 Korea 6.99 5.57 1.30 0.64 1.26 26,718 53,755 1 0 0 0 0 2005 Oman -0.79 27.36 4.22 0.41 0.02 11,847 44,744 1 0 0 0 0 2006 Oman -0.79 24.78 3.59 0.44 -0.18 14,144 47,395 1 0 0 0 0 2007 Oman -0.82 16.55 8.04 3.54 -0.16 15,993 48,423 1 0 0 0 0 2008 Oman -0.90 21.34 3.90 -2.75 0.63 22,357 48,650 1 0 0 0 0 2009 Oman -0.94 16.04 2.90 0.19 1.49 16,980 47,243 1 0 0 0 0 2010 Oman -0.96 24.37 0.22 0.49 1.31 17,921 48,884 1 0 0 0 0 2011 Oman -0.96 29.55 0.31 -1.08 1.24 19,650 50,864 1 0 0 0 0 2012 Oman -0.97 26.44 0.18 0.85 1.16 27,224 52,615 1 0 0 0 0 2013 Oman -0.97 21.67 0.30 0.25 1.12 27,224 53,755 1 0 0 0 0 2005 Singapore 0.53 28.94 5.10 -0.73 -1.07 27,895 44,744 1 0 0 0 0 2006 Singapore 0.50 29.30 12.22 -10.95 -1.33 32,387 47,395 1 0 0 0 0 2007 Singapore 0.46 30.60 5.60 -26.36 -1.37 37,986 48,423 1 0 0 1 0 2008 Singapore 0.37 21.46 2.80 6.02 -0.72 37,930 48,650 1 0 0 0 0 2009 Singapore 0.39 24.74 0.46 -21.69 0.11 36,789 47,243 1 0 0 0 0 2010 Singapore 0.31 28.90 11.96 -16.48 0.03 46,305 48,884 1 0 0 0 0
2011 Singapore 0.21 26.77 10.83 -4.67 0.06 52,112 50,864 1 0 0 0 0 2012 Singapore 0.18 21.37 11.70 -17.14 -0.00 52,725 52,615 1 0 0 0 0 2013 Singapore 0.17 23.01 12.35 -15.78 0.03 53,728 53,755 1 0 0 0 0 2005 Russian 3.72 13.69 -0.31 -1.50 0.17 5,205 44,744 1 0 0 0 0 2006 Russian 3.62 12.50 0.77 1.67 -0.16 6,741 47,395 1 0 0 0 0 2007 Russian 3.50 8.21 0.85 0.37 0.02 8,943 48,423 1 0 0 0 0 2008 Russian 3.38 9.47 1.15 -2.15 0.84 11,373 48,650 1 0 0 0 0 2009 Russian 3.51 7.82 -0.55 -0.15 2.11 8,336 47,243 1 0 0 0 1 2010 Russian 3.41 7.93 -0.62 -0.10 1.79 10,379 48,884 1 0 0 0 0 2011 Russian 3.33 8.58 -0.62 -0.80 1.60 12,902 50,864 1 0 0 0 0 2012 Russian 3.35 7.23 0.09 0.84 1.75 13,615 52,615 1 0 0 0 0 2013 Russian 3.33 5.90 -0.77 -0.53 1.78 14,122 53,755 1 0 0 0 0 2005 China 2.14 5.52 4.00 -0.21 -0.26 1,719 44,744 0 1 0 0 0 2006 China 2.13 7.70 3.69 -2.52 -0.53 2,065 47,395 0 1 0 0 0 2007 China 2.06 8.82 3.98 0.47 -0.16 2,657 48,423 0 1 0 0 0 2008 China 1.95 7.71 2.54 0.77 0.10 3,435 48,650 0 1 0 0 0 2009 China 1.94 4.41 1.75 0.54 1.03 3,742 47,243 0 1 0 0 0 2010 China 1.91 3.76 3.13 0.41 1.16 4,414 48,884 0 1 0 0 0 2011 China 1.84 2.48 3.16 0.27 1.41 5,395 50,864 0 1 0 0 0
2012 China 1.82 2.82 2.32 0.58 1.26 6,062 52,615 0 1 0 0 0 2013 China 1.79 2.55 2.00 0.66 1.28 6,637 53,755 0 1 0 0 0 2005 Malaysia 1.35 21.44 0.69 -2.58 -0.05 5,309 44,744 0 1 0 0 0 2006 Malaysia 1.32 21.80 0.03 2.11 -0.36 6,001 47,395 0 1 0 0 0 2007 Malaysia 1.26 19.90 -1.42 2.78 -0.37 7,067 48,423 0 1 0 0 0 2008 Malaysia 1.21 22.21 -3.39 -10.37 0.34 8,207 48,650 0 1 0 0 0 2009 Malaysia 1.26 20.54 -3.28 -0.14 0.98 7,133 47,243 0 1 0 0 1 2010 Malaysia 1.17 16.91 -1.80 6.06 1.09 8,465 48,884 0 1 0 0 0 2011 Malaysia 1.12 16.43 -1.03 3.00 1.27 9,810 50,864 0 1 0 0 0 2012 Malaysia 1.13 11.86 -2.34 6.21 1.25 10,033 52,615 0 1 0 0 0 2013 Malaysia 1.15 8.87 -0.41 -0.28 1.28 10,138 53,755 0 1 0 0 0 2005 Thailand 3.73 -1.98 4.28 3.15 -0.38 2,559 44,744 0 1 0 0 0 2006 Thailand 3.66 2.73 4.10 2.06 -0.09 3,016 47,395 0 1 0 0 0 2007 Thailand 3.57 7.56 3.37 -2.73 -0.44 3,601 48,423 0 1 0 0 0 2008 Thailand 3.52 1.65 1.63 -0.79 0.17 3,972 48,650 0 1 0 0 0 2009 Thailand 3.55 9.95 0.26 -2.10 0.57 3,824 47,243 0 1 0 0 1 2010 Thailand 3.46 5.95 1.41 3.07 0.54 4,596 48,884 0 1 0 0 0 2011 Thailand 3.41 1.86 1.44 1.15 1.09 5,007 50,864 0 1 0 0 0 2012 Thailand 3.42 0.71 -0.53 1.64 1.20 5,261 52,615 0 1 0 0 0
2013 Thailand 3.40 2.62 -1.64 1.89 1.25 5,425 53,755 0 1 0 0 0 2005 Turkey 0.60 -3.53 1.86 2.78 1.63 7,044 44,744 0 1 0 0 0 2006 Turkey 0.60 -5.10 3.63 1.40 1.33 7,639 47,395 0 1 0 0 0 2007 Turkey 0.46 -5.08 3.08 0.13 1.36 9,210 48,423 0 1 0 0 0 2008 Turkey 0.39 -4.68 2.36 -0.69 2.10 10,261 48,650 0 1 0 0 0 2009 Turkey 0.50 -1.02 1.16 0.04 2.78 8,510 47,243 0 1 0 0 1 2010 Turkey 0.41 -5.44 1.04 2.20 2.63 10,036 48,884 0 1 0 0 0 2011 Turkey 0.48 -8.91 1.77 2.84 2.63 10,497 50,864 0 1 0 0 0 2012 Turkey 0.49 -5.42 1.13 5.17 2.72 10,564 52,615 0 1 0 0 0 2013 Turkey 0.49 -6.94 1.95 2.25 2.72 10,821 53,755 0 1 0 0 0 2005 India 4.09 -3.27 0.55 1.46 0.41 735 44,744 0 0 0 0 0 2006 India 4.09 -3.35 0.63 1.01 0.47 824 47,395 0 0 0 0 0 2007 India 3.97 -3.12 0.66 2.67 0.47 1,064 48,423 0 0 1 0 0 2008 India 3.98 -6.07 1.97 -1.23 1.15 1,036 48,650 0 0 0 0 0 2009 India 3.98 -4.94 1.43 1.30 1.90 1,141 47,243 0 0 0 0 0 2010 India 3.82 -5.33 0.67 2.16 1.77 1,402 48,884 0 0 0 0 0 2011 India 3.79 -5.67 1.27 0.14 2.20 1,526 50,864 0 0 0 0 0 2012 India 3.86 -7.32 0.83 1.58 2.16 1,486 52,615 0 0 0 0 0 2013 India 3.86 -4.92 1.15 0.26 2.19 1,482 53,755 0 0 0 0 0
2005 Indonesia 9.45 2.94 1.84 1.47 0.77 1,211 44,744 0 0 0 0 0 2006 Indonesia 9.30 5.43 0.60 1.17 0.73 1,533 47,395 0 0 0 0 0 2007 Indonesia 9.26 4.84 0.52 1.29 0.40 1,794 48,423 0 0 0 0 0 2008 Indonesia 9.26 1.94 0.67 0.35 1.18 2,101 48,650 0 0 0 0 0 2009 Indonesia 9.28 3.93 0.49 1.92 2.18 2,193 47,243 0 0 0 0 0 2010 Indonesia 9.11 3.00 1.57 2.15 1.92 2,864 48,884 0 0 0 0 0 2011 Indonesia 9.06 2.85 1.36 0.45 1.97 3,368 50,864 0 0 0 0 0 2012 Indonesia 9.10 -0.25 1.63 1.05 1.81 3,446 52,615 0 0 0 0 0 2013 Indonesia 9.13 -0.72 1.70 1.13 1.88 3,368 53,755 0 0 0 0 0 2005 Pakistan 4.57 -9.29 1.97 0.70 -0.16 708 44,744 0 0 0 0 0 2006 Pakistan 4.54 -10.61 3.03 1.43 -0.14 869 47,395 0 0 0 0 0 2007 Pakistan 4.50 -10.26 3.60 1.37 0.05 945 48,423 0 0 0 0 0 2008 Pakistan 4.50 -13.20 3.17 -0.16 1.00 1,038 48,650 0 0 0 0 0 2009 Pakistan 4.52 -7.65 1.35 -0.36 2.12 1,013 47,243 0 0 0 0 0 2010 Pakistan 4.44 -6.75 1.11 -0.06 2.05 1,062 48,884 0 0 0 0 0 2011 Pakistan 4.38 -7.28 0.58 -0.02 2.13 1,267 50,864 0 0 0 0 0 2012 Pakistan 4.38 -7.79 0.35 0.05 2.06 1,320 52,615 0 0 0 0 0 2013 Pakistan 4.41 -8.02 0.53 0.01 2.00 1,362 53,755 0 0 0 0 0 2005 Vietnam 10.07 -4.75 3.28 1.50 0.66 687 44,744 0 0 0 0 0
2006 Vietnam 10.04 -4.19 3.49 1.98 0.37 780 47,395 0 0 0 0 0 2007 Vietnam 10.00 -14.46 8.42 8.06 0.34 893 48,423 0 0 0 0 0 2008 Vietnam 9.84 -13.85 9.36 -0.58 1.55 1,130 48,650 0 0 0 1 0 2009 Vietnam 9.81 -9.46 6.51 -0.07 2.04 1,179 47,243 0 0 0 0 0 2010 Vietnam 9.83 -6.55 6.12 2.04 2.34 1,283 48,884 0 0 0 0 0 2011 Vietnam 9.79 -2.53 4.78 1.04 2.61 1,477 50,864 0 0 0 0 0 2012 Vietnam 9.74 4.47 4.60 1.28 2.31 1,678 52,615 0 0 0 0 0 2013 Vietnam 9.69 4.28 4.05 0.86 1.99 1,776 53,755 0 0 0 0 0
Giải thích các biến:
Country: Quốc gia Year: Năm
RER: Tỷ giá hối đoái thực
TRADE: Giá trị thương mại về hàng hóa và dịch vụ rịng tính theo % GDP FDI: Đầu tư trực tiếp nước ngồi rịng tính theo % GDP
FPI: Đầu tư gián tiếp nước ngồi rịng tính theo % GDP CAPD: Thu nhập bình quân đầu người trong nước CAPF: Thu nhập bình quân đầu người ở nước ngoài IRD: Sự khác biệt lãi suất trong nước và nước ngoài
DumTNC: gồm các nước có thu nhập cao Hàn Quốc, Nhật Bản, Singapore, Nga, Oman
DumTBC: gồm các nước có thu nhập trung bình cao: Malaysia, Trung Quốc, Thái Lan, Thổ Nhĩ Kỳ
Dum2007: biến giả đại diện cho các nước có tỷ giá hối đối thực biến động mạnh vào năm 2007
Dum2008: biến giả đại diện cho các nước có tỷ giá hối đối thực biến động mạnh vào năm 2008
Dum2009: biến giả đại diện cho các nước có tỷ giá hối đối thực biến động mạnh vào năm 2009
Kết quả chạy mơ hình hồi quy quan hệ nhân quả trên Eviews 7.0
Bảng 1
Dependent Variable: RER
Method: Panel Generalized Method of Moments Transformation: First Differences
Date: 12/07/14 Time: 15:31 Sample (adjusted): 2007 2013 Periods included: 7
Cross-sections included: 13
Total panel (balanced) observations: 91 White period instrument weighting matrix
White period standard errors & covariance (d.f. corrected) Instrument specification: @DYN(RER,-2)
Constant added to instrument list
Variable Coefficient Std. Error t-Statistic Prob.
RER(-1) 0.751742 0.056984 13.19211 0.0000
TRADE(-1) -0.006062 0.004753 -1.275425 0.2056
TRADE(-1)*DUMTNC -0.008291 0.018553 -0.446913 0.6560 TRADE(-1)*DUMTBC -0.006446 0.015761 -0.408973 0.6836
Effects Specification Cross-section fixed (first differences)
Mean dependent var -0.027520 S.D. dependent var 0.066999