xu hu‹ mg tiic d9ng cfia cdc bien den chl so gié chting khoéii,
4.7 Kiein dJnh Grnnger
Chiing ta sé sfi dpng kiem duih nhén gut Grander de xem xét quan h( dgng trong ng n h giiia céc bien so kinh te
khfing.
Trong kiem d]nh nhfin qua Granger ta xem xét timg bi<ii tri›ug mo hich v‹ii vat tr6 la bién php thu§c vii déoh gié téc dgng cua cfc bien c6n lqi dén néi.
Kiém djnh co céc gia thilt nhu sau:
@: Bien so kinh
te téc dgng nhén qu:I manger lén chi so gi:i
chting khoén viI chi so gi:i chimg khoiin khfing tire dgng nhiin qua Granger
lén céc bien so kinh te vi mo.
Tiz gia ihiét trén se xay in 4 truimg hpp nhu sau: - Cé› nhén qué Granger mgt chiéu tu nhfin to kinh té
chfmg khoén.
i mii san chi
- Co nhén qua Granger mot chiéu tit chi so gi:i chfmg kho:in sang c:ic nhén - Co nhiin qua Granger hai chieu giiia cfc nhéii to kinh té i mo vé chi
gié chiing khoén.
. . .
giua cac nhan to kinh . - . .
te vi mo va chi so gi:i citing khoiin.
41
B‹ang 4.8 Két qua kiem d nh Granger trong VAR
VAR Stranger Causality/Block Exogeneity Wald Tests Date: 05/11/14 Time: 17:41
Sample: 2008M01 2013M12 Included observations: 70 Dependent variable: VNI
Excluded CCfhiii--ssq df Prob.
IIP 4.60771 1 0.03180 ** EX 2.91058 I 0.08800 * DM2_SA 0.57620 1 0.44780 DI_SA 0.00448 1 0.94660 DCPI 0. 16725 1 0.68260 All 7.18371 5 0.20730
Dependent variable: IIP
Excluded Chi-sq df Prob.
1.08470 1 0,29760 0.06717 I 0.79550 0.06717 I 0.79550 DM2_SA 0.09653 1 0.75600 DI SA 0.06886 I 0.79300 DCPI 0.01365 I 0.90700 All 1.69312 5 0.88980 Dependent variable: EX
Excluded Chi-sq df Prob.
VNI 4.86006 1 0.02750 ** IIP 3.13879 1 0.07650 * DM2_SA 0.00751 1 0.93090 DI_SA 0.04531 1 0.83 140 DCPI 0.12181 I 0.72710 All 7.41301 5 0. 19170
Dependent variable: DM2_SA
Excluded C hi-sq df Prob. 0.25521 1 0.61340
IIP 3.95580 I 0.04670 **
hX 7. 19010 1 0.00730 ***
DI_SA 5.20691 I 0.02250 **
42 15.96178 5 0.00700 *** Chi-aq df Prob. 0.46495 I 0.49530 0.31166 1 0.57670 1.07386 1 0.30010 DA 1.15146 1 0.28320 DP 2.05889 1 0.15130 A 7.06308 5 0.21600
Dependent variable: BC1•I
Chi-sq df Prob. 2.19828 1 0. 13820 0.07662 I 0.78190 EX 0.62382 1 0.42960 DM2_SA 0.21057 I 0.64630 DI_SA 0.49973 1 0.47960 All 3.46768 5 0.62830
- Trong nghn han chl co bien gié trj situ xuat cling nghi§p vii bién chi sd manger den bién bién gif
hot deli.
- Trong ng h ngogi trit bién chi so gié chimg khoén VNI, céc bien vi
md› kh$c trong mo hlnh (bien gi:i tri. sén it cé›ng nghi(p, gié hot
dotii, ldi suat, lgm phét) déu co téc dgng nh in qua Granger den bien cung tién m‹i rgng.
43
- Trong rig n khong tim thay bang chfmg cho thay c6c bien trong mo ' dgng nhén qué manger den bien gié tr| sén it
cf›ng nghi9P. ºº sutit va 1§1tl J3hét.
- Trong ngfin h chi co bién gi:i cd énh hudng hat chi u dén bién clit so gié chfmg khoén VNI; bien gi$ trj sén xu t cong ne½9P º²*³ º•diig mgt chieu lén bien chl so gié chfmg khoén VNI vé bien so ty gié hoi doéi. ' O$i vdi nhén to gi:+ trj situ xuat cling nghi(p (st gia ting trong gi:i tri. sin
xuat cong nghi9P ³é kéo theo sp gia tfng cua gié chimg kho:in). Ket qu± nghién ciiu phii hpp véii céc nghién erm trtioc day nhung Iqi kh:i bat ng’‹i v6i thj tniéng chfmg khoén Vi(t Nam.
Trén ly thuyet, khi sén lupng céing ng;hi(p gia ting the hi§n nJn kinh te co xu hu6ng tdng trufmg, trién vpng dau tu kh8 quan do dé thu hiit dong von diiu tu vao thi. truéing chfmg khoén. DOanh flah 9p cé xu hu6ng gia ting sin xuat nén phat sinh ohu cau huy dgng von va th) trudng chfmg khoén lé mgt trong céc kénh dan von dén doanh nghi(p, nén lu9ng héng héa chfmg
khoén
trén th| trudng ciing sé hap dan hon.
Tuy nhién t9i Vi(t Nam, sau cfic thong tin ve tinh tr g lbs gia chiing khoén, sq nghi nggi ve tinh minh b9ch cua th; touring thi két qué trén cho
! thay thj tnréng dang di diing hii6ng, chi ' giii chting
chat hoat dgng cfia doanh nghi(p hon la nhfmg yéu to dau cc.
Ket qua kilm dinh Granger cho thay xu hu6ng tae d rig hat chiéu giiia gi:i vé chi so VN-Index. Phiin ting ciia chi ski VN-Index khi co nhfmg thay diii ve thting tin gié la diéu hoén toén binh thuéng nhat la trong nén kinh té Vi(t Nam, not ma vi(c diéu chinh gi:i dien ra khii chain va chua theo k]p diJn bién thJ tru6ng, moi cling bo diéu chinh ty gi:i ciia Ng n hiing Nha
44
ngén hlng mé klt qud nghién ciiu bgc lg m§t diém dfing chu y trong nen kinh te la vi§c chl so VN-Index co t$c dgng nguqc lgi den gif VND/USD. T6m lgi, vi(c két qu$ nghién cii:u cho th y chi sfi VN-Index chju tdc d(ing tit
cho by thj trudng chiiog
Vi§t Nam dang dantro thénh chi béo déng tin @y cho nen kinh te nhii omgt so nu6c trén the giéi. Nha dau tu dang dan thay doi cé‹:h thfic ho;it dgng, giilin dan xu hudng dau c‹i va thin ly bay dim. Toy nhi£n do c6n nhilu bat c(ap vé minh bpch théing tin, quy méi th|tru6tig chua thyc st ldn nén site Huh hu6ng ciia thj trudng téi céc hoat d9ng kinh te con thap.
Hiim phén i’mg diy duqc xay dpng theo phuong ph£n rd Cholesky dupe sit d9ng de xem xét s‹i luqc thdi gian tic dgng tit cii s$c cfia moi bién trong mo hlnh tdi chi so VN-Index. Hay n6i céch klxic xem xét phén King cfia VN-Index truiic c$c cii sf›c khi céc bién con l9i thay dfii mgt d‹m vJ dg léch chutin.
Két qua kiein tra hém phén King tong quét ciia c$c bién ski kinh té chi so VN-Index duoc biéu dien d biéu
12 - -
Response to Cholesky One S.D. lnnovatons ± 2 S.E. Response of VNI to VNI Response of VNI to IIP
12 -4- 4- 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 12 — 4- Response of VNI to EX
Response of VNI to DM2_SA
1 2 3 4 5 6 7 B 910 10
Response of VNI to DI_SA
10
Response of VNI to DCPI
46
Timg do thj bén trén thé hi(ii téc dgng ciia hiim phén King diiy, ti"ic lé phfin tlch tire d9ng ciia céc cu s$c ciia timg bien kinh te v mli den thj truimg chfmg khoéii Vi§t Nam (thong qua chl s$ VN-Index) v$ tic dpng kéo i±Ii trong ban lau thl tilt.
Nhln chung, chl so VN-Index chi chju tdc dgng doi véi nghn h . Cy thé lé hau nhu cfc bien so kinh te
kinh té mo bao lai suat, gié h6i doéi, I( Ipphét, cung tiln md r§ng vh gin tr[ silu xuat cling nghi9p cé téc dgng dén VN-Index trong kho$ng thmi gian 10 théng (téc dgng rat it the hi(n do thJ chi céch trpc hoéiih khoéng céch rat ngén) thi tdt. Trong diii h (tu’ 10-24 théng), chi so VN-Index hau nhu khong ch u téc
d§ng tit céc nhén to kinh te hoinh).
i mo (do li gen nhu nd ngeng vdi
tngc
Doi vé’i nhfmg cii soc ci'ia chinh no, chi so VN-Index trong ngfin h:jn ch]iu téc dgng m cua chinh no kong truoc, vii mite dg nay giém d , din théng thti ba thi hau nhu khong cbn téc dong.
Phii h9p vtii ctic kiem d)nh fi phan trudc, phén ring ciia chi so VN-Index véi ccttii soc tu’ thay df:ii cua c:ie bien gié tri sin xuat cling ng;hi(p va
gi:i
trong ngan h la diing ghi nha)n.