Với mục tiêu làm rõ tác động của HNTC đến độc lập CSTT Việt Nam, luận án đã đo
lường tác động của HNTC đến độc lập CSTT Việt Nam giai đoạn 2009Q1 – 2019Q2.
Nghiên cứu nhằm trả lời câu hỏi có hay không tác động của HNTC đến độc lập CSTT
Việt Nam. Đồng thời, nghiên cứu cũng đánh giá tác động của ổn định tỷ giá và vai
trò của dự trữ ngoại hối như một tấm đệm hỗ trợ độc lập CSTT trong điều kiện HNTC
vẫn cần tiếp tục gia tăng và ổn định tỷ giá hiện đang ở mức cao.
Phương pháp tính toán các biến trong mô hình tương tự Aizenman & ctg (2008),
trong đó độc lập CSTT được đo bằng chỉ số tương quan giữa lãi suất qua đêm hàng
ngày trên thị trường liên ngân hàng của Việt Nam với lãi suất Mỹ, ổn định tỷ giá được
tính bằng sai số chuẩn hàng quý của tỷ giá song phương hàng ngày giữa VND và
USD, dự trữ ngoại hối được tính tỷ lệ phần trăm trên GDP. Riêng đối với mức độ
HNTC, nghiên cứu đo lường theo phương pháp thực được phát triển bởi Lane &
Milesti-Frerreti (2006), tính bằng tổng tích lũy tài sản và nợ phải trả của ba thành
phần vốn FDI, FPI và vốn đầu tư khác, tỷ lệ phần trăm trên GDP. Giai đoạn nghiên
cứu từ 2009Q1 – 2019Q2 nhằm tránh gãy cấu trúc trong giai đoạn khủng hoảng tài
chính toàn cầu ảnh hưởng đến kết quả nghiên cứu
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Nguyễn Thái Kim Ngọc & Lê Phương 2020, Ảnh hưởng của bộ ba bất khả thi đến
đầu tư trực tiếp nước ngoài ở các nước Đông Nam Á, Công thương ngày
21/06/2020, truy cập tại , [truy cập ngày
25/10/2020].
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Phạm Chí Quang & Nguyễn Hữu Tú 2018, ‘Tính liên thông lãi suất ở Việt Nam
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PHỤ LỤC
PHỤ LỤC A. KẾT QUẢ ĐO LƯỜNG TÁC ĐỘNG HỘI NHẬP TÀI CHÍNH ĐẾN
ĐỘC LẬP CHÍNH SÁCH TIỀN TỆ VIỆT NAM
Bảng A1. Bảng tính các biến số theo quý giai đoạn 2009 - 2019
FNI RES ES MI
Q1 2009 0.803677 0.23203 0.833421 0.227205
Q2 2009 0.827868 0.200979 0.854075 0.571261
Q3 2009 0.837342 0.177328 0.942329 0.794995
Q4 2009 0.931848 0.157691 0.485141 0.782848
Q1 2010 0.930921 0.125022 0.677709 0.809588
Q2 2010 0.944265 0.123665 0.812843 0.780975
Q3 2010 0.952026 0.119049 0.734846 0.719755
Q4 2010 1.019889 0.105231 0.925101 0.205522
Q1 2011 0.995621 0.097695 0.561534 0.857464
Q2 2011 0.929024 0.112558 0.783879 0.322871
Q3 2011 0.947156 0.110056 0.841487 0.717178
Q4 2011 0.959812 0.091843 0.921166 0.667372
Q1 2012 0.980677 0.120001 0.877886 0.643864
Q2 2012 0.980541 0.130536 0.854345 0.471366
Q3 2012 1.015414 0.139442 0.900584 0.435433
Q4 2012 0.956612 0.150424 0.941265 0.39471
Q1 2013 0.998464 0.169706 0.927872 0.410795
Q2 2013 1.057503 0.148711 0.857917 0.079182
Q3 2013 1.047275 0.140075 0.902661 0.572496
Q4 2013 1.076036 0.144892 0.963112 0.564059
Q1 2014 1.054722 0.184449 0.962358 0.485239
Q2 2014 1.083621 0.19359 0.91501 0.629339
Q3 2014 1.078203 0.194075 0.940578 0.440139
Q4 2014 1.125169 0.17921 0.850479 0.240342
Q1 2015 1.130541 0.191407 0.811443 0.452409
Q2 2015 1.17351 0.193204 0.914935 0.541931
Q3 2015 1.233835 0.158762 0.810392 0.232939
Q4 2015 1.287519 0.146943 0.79467 0.191128
Q1 2016 1.294338 0.162101 0.856729 0.600933
Q2 2016 1.286676 0.174706 0.876838 0.787422
Q3 2016 1.265794 0.18239 0.906772 0.849277
Q4 2016 1.296068 0.175514 0.841424 0.178898
Q1 2017 1.303919 0.179683 0.885675 0.370795
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Q2 2017 1.313618 0.181962 0.84103 0.795355
Q3 2017 1.321974 0.186199 0.959575 0.78148
Q4 2017 1.308585 0.208736 0.96547 0.514679
Q1 2018 1.333169 0.242181 0.961501 0.6775
Q2 2018 1.345053 0.243507 0.946618 0.739483
Q3 2018 1.356246 0.236762 0.891313 0.553284
Q4 2018 1.340157 0.220861 0.944886 0.446988
Q1 2019 1.371515 0.251592 0.980623 0.653112
Q2 2019 1.353632 0.272721 0.906908 0.301964
Q3 2019 1.326708 0.294701 0.921518 0.39
Bảng A2. Thống kê mô tả biến
MI IFI ES RES
Mean 0.535561 1.115472 0.865819 0.170416
Median 0.558672 1.077120 0.888494 0.175110
Maximum 0.857464 1.371515 0.980623 0.272721
Minimum 0.079182 0.803677 0.485141 0.091843
Std. Dev. 0.214468 0.174065 0.101982 0.044658
0.0
0.2
0.4
0.6
0.8
1.0
09 10 11 12 13 14 15 16 17 18 19
MI
0.7
0.8
0.9
1.0
1.1
1.2
1.3
1.4
09 10 11 12 13 14 15 16 17 18 19
IFI
0.4
0.5
0.6
0.7
0.8
0.9
1.0
09 10 11 12 13 14 15 16 17 18 19
ES
.08
.12
.16
.20
.24
.28
09 10 11 12 13 14 15 16 17 18 19
RES
Hình A1. Thống kê mô tả biến
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Bảng A3. Kiểm định nghiệm đơn vị
Biến độc lập tiền tệ - MI
Null Hypothesis: MI has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.529607 0.0000
Test critical values: 1% level -3.600987
5% level -2.935001
10% level -2.605836
*MacKinnon (1996) one-sided p-values.
Biến HNTC - IFI
Null Hypothesis: IFI has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.190094 0.6697
Test critical values: 1% level -3.600987
5% level -2.935001
10% level -2.605836
*MacKinnon (1996) one-sided p-values.
Biến HNTC lấy sai phân bậc 1 - D(IFI)
Null Hypothesis: D(IFI) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.086586 0.0000
Test critical values: 1% level -3.605593
5% level -2.936942
10% level -2.606857
*MacKinnon (1996) one-sided p-values.
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Biến ổn định tỷ giá - ES
Null Hypothesis: ES has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.593593 0.0006
Test critical values: 1% level -3.600987
5% level -2.935001
10% level -2.605836
*MacKinnon (1996) one-sided p-values.
Biến dự trữ ngoại hối - RES
Null Hypothesis: RES has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -0.635382 0.8514
Test critical values: 1% level -3.600987
5% level -2.935001
10% level -2.605836
*MacKinnon (1996) one-sided p-values.
Biến dự trữ ngoại hối lấy sai phân bậc 1 – D(RES)
Null Hypothesis: D(RES) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.458891 0.0010
Test critical values: 1% level -3.610453
5% level -2.938987
10% level -2.607932
*MacKinnon (1996) one-sided p-values.
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Bảng A4. Lựa chọn độ trễ tối ưu
Dependent Variable: MI
Method: ARDL
Date: 08/25/20 Time: 21:57
Sample (adjusted): 2009Q3 2019Q2
Included observations: 40 after adjustments
Maximum dependent lags: 4 (Automatic selection)
Model selection method: Akaike info criterion (AIC)
Dynamic regressors (4 lags, automatic): IFI ES RES
Fixed regressors: C
Number of models evalulated: 500
Selected Model: ARDL(1, 1, 2, 0)
Note: final equation sample is larger than selection sample
Variable Coefficient Std. Error t-Statistic Prob.*
MI(-1) 0.064649 0.159449 0.405451 0.6878
IFI -1.864860 1.078089 -1.729783 0.0933
IFI(-1) 1.624624 1.058705 1.534539 0.1347
ES -0.502710 0.352395 -1.426555 0.1634
ES(-1) -0.033702 0.392382 -0.085890 0.9321
ES(-2) -0.988383 0.370566 -2.667224 0.0119
RES 2.237837 1.370627 1.632710 0.1123
C 1.740494 0.511419 3.403265 0.0018
R-squared 0.283921 Mean dependent var 0.542378
Adjusted R-squared 0.127278 S.D. dependent var 0.214096
Bảng A5. Kiểm định đường bao và ước lượng mối quan hệ dài hạn
ARDL Long Run Form and Bounds Test
Dependent Variable: D(MI)
Selected Model: ARDL(1, 1, 2, 0)
Case 2: Restricted Constant and No Trend
Date: 08/25/20 Time: 21:57
Sample: 2009Q1 2019Q2
Included observations: 40
Levels Equation
Case 2: Restricted Constant and No Trend
Variable Coefficient Std. Error t-Statistic Prob.
IFI -0.256840 0.316363 -0.811853 0.4229
ES -1.630185 0.658465 -2.475733 0.0188
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RES 2.392509 1.425866 1.677934 0.1031
C 1.860792 0.510102 3.647884 0.0009
EC = MI - (-0.2568*FNI -1.6302*ES + 2.3925*RES + 1.8608 )
F-Bounds Test Null Hypothesis: No levels relationship
Test Statistic Value Signif. I(0) I(1)
F-statistic 7.293168
Asymptotic: n=1000
10% 2.37 3.2
k 3
5% 2.79 3.67
2.5% 3.15 4.08
1% 3.65 4.66
Actual
Sample Size 40 Finite Sample: n=40
Bảng A6. Ước lượng mối quan hệ ngắn hạn
ARDL Error Correction Regression
Dependent Variable: D(MI)
Selected Model: ARDL(1, 1, 2, 0)
Case 2: Restricted Constant and No Trend
Date: 08/25/20 Time: 21:58
Sample: 2009Q1 2019Q2
Included observations: 40
ECM Regression
Case 2: Restricted Constant and No Trend
Variable Coefficient Std. Error t-Statistic Prob.
D(IFI) -1.864860 0.910601 -2.047943 0.0488
D(ES) -0.502710 0.288184 -1.744409 0.0907
D(ES(-1)) 0.988383 0.290885 3.397848 0.0018
CointEq(-1)* -0.935351 0.146034 -6.405003 0.0000
R-squared 0.575173 Mean dependent var -0.006732
Adjusted R-squared 0.539771 S.D. dependent var 0.277961
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-20
-15
-10
-5
0
5
10
15
20
2011 2012 2013 2014 2015 2016 2017 2018 2019
CUSUM 5% Significance
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
2011 2012 2013 2014 2015 2016 2017 2018 2019
CUSUM of Squares 5% Significance
Hình A2. Kiểm định tính ổn định của mô hình
Bảng A7. Kiểm định tự tương quan của phần dư
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 0.252862 Prob. F(2,30) 0.7782
Obs*R-squared 0.663121 Prob. Chi-Square(2) 0.7178
0
1
2
3
4
5
6
7
-0.4 -0.3 -0.2 -0.1 0.0 0.1 0.2 0.3
Series: Residuals
Sample 2009Q3 2019Q2
Observations 40
Mean 8.16e-16
Median 0.002117
Maximum 0.290164
Minimum -0.372051
Std. Dev. 0.181171
Skewness -0.276725
Kurtosis 2.022802
Jarque-Bera 2.102037
Probability 0.349582
Hình A3. Kiểm định phân phối chuẩn của phần dư
Bảng A8. Kiểm định phương sai thay đổi
Heteroskedasticity Test: Breusch-Pagan-Godfrey
F-statistic 1.461647 Prob. F(7,32) 0.2162
Obs*R-squared 9.690894 Prob. Chi-Square(7) 0.2068
Scaled explained SS 3.171797 Prob. Chi-Square(7) 0.8687
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PHỤ LỤC B
KẾT QUẢ ĐO LƯỜNG TRUYỀN DẪN CHÍNH SÁCH TIỀN TỆ TRONG ĐIỀU
KIỆN HỘI NHẬP TÀI CHÍNH TẠI VIỆT NAM
Bảng B1. Bảng tính các biến số trong mô hình
LVIX DI_US_10Y DIP DIF DI_VN_ON DI_VN_10Y
2009M01 3.7996
2009M02 3.8193 0.3433 -4.1100 -2.7112 0.9477 0.2245
2009M03 3.8021 -0.1063 -6.7630 -3.5214 0.7937 -0.5733
2009M04 3.6393 0.1810 -1.9740 -2.0138 -0.0777 -0.0252
2009M05 3.4650 0.4315 -1.2770 -3.6477 1.1034 -0.0037
2009M06 3.3721 0.4571 3.3700 -1.6436 0.7909 0.1871
2009M07 3.2648 -0.1730 1.9070 -0.6270 -0.3054 0.0954
2009M08 3.2323 0.1580 2.0590 -1.3428 0.1238 0.0350
2009M09 3.2159 -0.1856 2.6670 0.4479 0.9001 -0.0848
2009M10 3.1885 -0.0218 1.1660 0.5746 -0.0215 0.8791
2009M11 3.1653 -0.0967 -5.6360 1.3596 -0.6519 -0.2659
2009M12 3.0559 0.0623 1.6180 2.1644 0.5088 0.5080
2010M01 3.0274 0.1458 17.9930 1.1043 -1.3814 0.5019
2010M02 3.1153 -0.0580 -28.9630 0.8404 0.9090 0.4187
2010M03 2.8774 -0.0335 11.9130 0.9996 -0.8461 0.3433
2010M04 2.8579 0.2194 -1.1120 -0.2291 -0.5007 -0.0152
2010M05 3.4635 -0.3573 2.9230 -0.1849 1.3523 -0.2164
2010M06 3.3984 -0.1767 -2.0760 -0.3579 1.1193 -0.1887
2010M07 3.2412 -0.2092 0.3580 -0.4974 -0.6329 -0.3320
2010M08 3.2087 -0.2177 -0.8970 -0.0108 -0.9392 -0.0791
2010M09 3.1143 -0.0403 -3.8740 0.7419 1.1317 -0.0062
2010M10 3.0142 -0.1310 6.6370 0.7380 0.5019 0.1132
2010M11 3.0005 0.1477 -0.2590 1.4287 1.4866 0.0173
2010M12 2.8662 0.4156 -5.6110 0.6575 -0.7605 -0.0339
2011M01 2.8516 0.1040 1.6910 0.4189 -0.8711 0.0377
2011M02 2.8582 0.1666 3.6580 0.1430 0.7816 0.3535
2011M03 3.0313 -0.2211 -6.1360 1.5829 2.7352 0.3252
2011M04 2.7877 0.1368 2.1930 3.6167 -0.1762 0.0913
2011M05 2.8280 -0.2250 -1.8560 2.2735 2.7674 0.3008
2011M06 2.9525 -0.1306 6.1760 1.0398 1.8528 -0.1401
2011M07 2.9563 -0.0182 -3.1030 1.3403 -1.8172 -0.1645
2011M08 3.5562 -0.6131 -3.7910 0.8532 -3.3042 -0.0719
2011M09 3.5981 -0.3399 6.1550 -0.5950 2.8648 0.0973
2011M10 3.4913 0.1783 -6.6580 -0.8359 0.0382 0.1432
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2011M11 3.4639 -0.2020 2.8080 -1.7547 -2.4028 -0.2020
2011M12 3.2208 -0.1098 -0.6110 -1.7038 -2.3505 -0.2074
2012M01 3.0071 -0.0161 -9.9070 -0.8592 0.0266 0.1923
2012M02 2.9135 0.0032 24.4630 -0.8270 -0.6161 -0.0534
2012M03 2.7830 0.1552 -15.5600 -2.2908 -1.2552 -0.3538
2012M04 2.8805 -0.0614 1.0170 -3.6128 -2.4984 -0.4199
2012M05 3.0446 -0.2099 -0.7280 -2.1954 -2.2970 -0.9579
2012M06 3.0507 -0.1594 1.2350 -1.4468 2.6468 -0.2726
2012M07 2.8659 -0.1136 -1.9200 -1.5426 -0.6602 0.1618
2012M08 2.7530 0.2277 -1.7000 -0.3131 -1.2899 -0.0308
2012M09 2.7269 0.0428 5.2520 1.4378 0.9851 -0.0389
2012M10 2.7897 0.0155 -4.8920 0.5199 -0.7750 0.2997
2012M11 2.8155 -0.1356 0.1100 0.0853 -1.2563 -0.1254
2012M12 2.8511 -0.0029 1.0570 -0.2769 0.2207 -0.3969
2013M01 2.6031 0.1886 15.1730 0.2644 -0.3696 -0.0780
2013M02 2.6442 0.0596 -31.2000 -0.0528 0.3539 -0.0458
2013M03 2.5674 -0.0567 15.7000 -0.3740 -0.0156 -0.1008
2013M04 2.6367 -0.1477 0.2000 -0.0320 -0.0707 -0.2394
2013M05 2.6022 0.2095 0.9000 -0.2554 -0.6738 -0.1653
2013M06 2.8445 0.4039 -0.2000 0.3306 -0.5372 -0.2747
2013M07 2.6372 0.2676 0.5000 0.5992 2.3892 0.0774
2013M08 2.6539 0.2608 -2.6000 0.2132 0.3852 -0.1242
2013M09 2.6873 0.0787 1.2000 -1.1991 -0.9392 0.1065
2013M10 2.7349 -0.2119 0.3000 -0.3795 0.6270 0.0933
2013M11 2.5591 0.0187 -0.2000 -0.1371 -0.0502 -0.0916
2013M12 2.6527 0.0804 1.3000 0.2532 -1.2691 -0.1071
2014M01 2.6561 -0.0315 -4.0000 -0.5865 0.6665 0.0272
2014M02 2.7389 -0.1616 12.2000 -0.8014 -1.4967 0.0200
2014M03 2.6971 -0.0344 -10.5000 -0.2621 0.1122 -0.1118
2014M04 2.6531 0.0625 1.3000 0.0626 0.2118 -0.1477
2014M05 2.5237 -0.1009 -0.1000 0.2717 1.4440 0.1353
2014M06 2.4459 0.0734 0.2000 0.2617 -0.4167 -0.0818
2014M07 2.5093 -0.0676 1.4000 -0.0419 0.1436 -0.0706
2014M08 2.6021 -0.0387 -0.8000 -0.6349 0.3992 -0.5114
2014M09 2.6002 0.1261 1.9000 -0.6812 -1.1433 -0.7027
2014M10 2.8936 -0.2470 -0.7000 -0.3919 0.3469 -1.0159
2014M11 2.5962 -0.0492 3.2000 -0.6276 0.2932 0.2990
2014M12 2.7907 -0.1985 -1.5000 -0.7656 -0.2552 0.3690
2015M01 2.9507 -0.3111 7.9000 -0.9002 -0.1647 -0.0259
2015M02 2.7666 0.0792 -10.5000 -0.6023 0.9531 -0.3298
2015M03 2.6955 0.0291 2.1000 0.5946 0.0511 -0.1268
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2015M04 2.6023 -0.0507 0.4000 0.0605 0.0622 0.0601
2015M05 2.5907 0.2966 -2.0000 -0.0403 -0.4260 -0.0145
2015M06 2.6630 0.1938 3.6000 0.0503 1.0049 0.1235
2015M07 2.6639 -0.0462 0.2000 -0.1008 -1.1932 0.0918
2015M08 2.9667 -0.0832 -2.3000 -0.2920 1.3997 0.0828
2015M09 3.1936 0.0115 1.1000 -0.6113 0.1274 0.2187
2015M10 2.8208 -0.1126 -1.3000 0.0000 -1.2950 0.0716
2015M11 2.7856 0.1317 0.1000 0.3411 -0.8682 -0.0669
2015M12 2.8918 -0.1046 0.1000 0.2582 1.5064 -0.1199
2016M01 3.1662 -0.1474 -3.1000 0.1998 -0.3220 0.0554
2016M02 3.1143 -0.3049 2.0000 0.4732 -0.8277 0.0447
2016M03 2.7631 0.0688 -1.7000 0.4242 0.6194 -0.0890
2016M04 2.6603 -0.0256 1.7000 0.1978 0.4861 0.0072
2016M05 2.6982 0.0296 -0.1000 0.3874 -1.6126 -0.0290
2016M06 2.8778 -0.1406 -0.4000 0.1167 -0.4410 -0.0451
2016M07 2.5771 -0.1454 -0.2000 -0.0020 -0.4172 0.0256
2016M08 2.5177 0.1075 0.1000 0.1767 -0.4443 -0.0718
2016M09 2.6546 0.0809 0.3000 0.7741 -0.4034 -0.2114
2016M10 2.6800 0.1369 -0.6000 0.7451 -0.0054 -0.5178
2016M11 2.7237 0.3211 0.2000 0.4270 0.9905 -0.0957
2016M12 2.5235 0.2587 1.1000 0.2203 1.8782 -0.0414
2017M01 2.4517 -0.0443 -7.6000 0.4799 0.0705 0.0363
2017M02 2.4450 -0.0249 14.5000 -0.1943 -0.7165 -0.0369
2017M03 2.4764 0.0099 -9.7000 -0.3775 1.2989 -0.0514
2017M04 2.5754 -0.1044 1.9000 -0.3458 0.0860 -0.1133
2017M05 2.3873 0.0433 -0.2000 -1.1082 0.1206 -0.0575
2017M06 2.3527 -0.0892 1.4000 -0.6529 -1.4270 -0.0146
2017M07 2.3287 0.1248 -0.5000 -0.0187 -1.3728 -0.3537
2017M08 2.4829 -0.0327 0.3000 0.8345 -0.8777 -0.0322
2017M09 2.3455 -0.0021 4.8000 0.0504 0.2938 0.0571
2017M10 2.3151 0.1665 3.8000 -0.4289 -0.0263 -0.0065
2017M11 2.3552 -0.0880 0.2000 -0.3579 0.1347 -0.0441
2017M12 2.3287 -0.0385 -6.0000 -0.0216 -0.2610 -0.2378
2018M01 2.4036 0.1886 10.7000 0.0528 0.4897 -0.5122
2018M02 3.1119 0.2502 -13.9000 0.5053 0.7057 -0.2333
2018M03 2.9457 -0.0723 0.7000 -0.4911 -1.1919 -0.1663
2018M04 2.9051 0.1129 0.7000 0.0823 0.1247 0.1481
2018M05 2.6479 0.1538 -2.3000 1.1113 0.6495 0.2136
2018M06 2.6158 -0.0279 5.2000 0.8111 -0.0517 0.1267
2018M07 2.5762 -0.0285 2.0000 -0.2094 0.9527 0.1541
2018M08 2.5295 0.0945 -3.0000 -0.4814 1.6012 0.1868
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2018M09 2.5580 0.1268 -2.2000 0.0014 -0.2549 0.0895
2018M10 2.9628 0.1584 -1.4000 -0.0849 0.3879 0.0287
2018M11 2.9647 -0.1499 1.9000 -0.4357 0.5895 0.0119
2018M12 3.2146 -0.3883 1.8000 -0.4750 -0.9589 -0.0663
2019M01 2.9741 -0.1085 -3.3000 -0.4200 -0.5290 -0.1496
2019M02 2.7236 -0.0502 2.0000 0.0758 0.0176 -0.1565
2019M03 2.6731 -0.1522 -0.9000 0.0612 -0.0420 0.0666
2019M04 2.5610 0.0414 0.1000 0.2322 0.0397 -0.0553
2019M05 2.8167 -0.0983 0.9000 -0.0568 0.2327 -0.0688
2019M06 2.7488 -0.2953 -1.2000 -0.7165 0.6436 -0.0875
2019M07 2.5882 -0.0204 0.8000 0.2783 -0.5972 -0.1230
2019M08 2.9433 -0.3811 0.7000 -0.1754 -0.3184 -0.2137
Bảng B2. Thống kê mô tả biến
VIX I_US_10Y IP IF I_VN_ON I_VN_10Y
Mean 18.32466 2.493565 8.800594 6.269985 4.816350 8.210783
Median 16.26010 2.403202 8.105500 4.581179 3.733627 8.652483
Maximum 45.57053 3.755953 27.93500 23.01658 16.50121 12.26164
Minimum 10.12545 1.510776 -10.10000 -0.002206 0.685768 4.208751
Std. Dev. 7.115604 0.578483 4.491586 5.371556 3.334750 2.482914
Observations 126 126 126 126 126 126
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0
10
20
30
40
50
09 10 11 12 13 14 15 16 17 18 19
VIX
1.0
1.5
2.0
2.5
3.0
3.5
4.0
09 10 11 12 13 14 15 16 17 18 19
I_US_10Y
-20
-10
0
10
20
30
09 10 11 12 13 14 15 16 17 18 19
IP
-5
0
5
10
15
20
25
09 10 11 12 13 14 15 16 17 18 19
IF
0
4
8
12
16
20
09 10 11 12 13 14 15 16 17 18 19
I_VN_ON
4
6
8
10
12
14
09 10 11 12 13 14 15 16 17 18 19
I_VN_10Y
Hình B1. Thống kê mô tả biến
Bảng B3. Kiểm định tính dừng
Biến Rủi ro toàn cầu – LVIX
Null Hypothesis: LVIX has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.848150 0.0032
Test critical values: 1% level -3.482453
5% level -2.884291
10% level -2.578981
*MacKinnon (1996) one-sided p-values.
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Biến Lãi suất dài hạn Mỹ – I_US_10Y
Null Hypothesis: I_US_10Y has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.021564 0.2774
Test critical values: 1% level -3.482879
5% level -2.884477
10% level -2.579080
*MacKinnon (1996) one-sided p-values.
Biến Lãi suất dài hạn Mỹ lấy sai phân bậc 1 – D(I_US_10Y)
Null Hypothesis: D(I_US_10Y) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -8.685709 0.0000
Test critical values: 1% level -3.482879
5% level -2.884477
10% level -2.579080
*MacKinnon (1996) one-sided p-values.
Biến Sản lượng công nghiệp – D(IP)
Null Hypothesis: DIP has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -11.75661 0.0000
Test critical values: 1% level -3.483751
5% level -2.884856
10% level -2.579282
*MacKinnon (1996) one-sided p-values.
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Biến Lạm phát – D(IF)
Null Hypothesis: DIF has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -4.092973 0.0014
Test critical values: 1% level -3.483751
5% level -2.884856
10% level -2.579282
*MacKinnon (1996) one-sided p-values.
Biến Lãi suất ngắn hạn Việt Nam – I_VN_ON
Null Hypothesis: I_VN_ON has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.824473 0.3673
Test critical values: 1% level -3.482453
5% level -2.884291
10% level -2.578981
*MacKinnon (1996) one-sided p-values.
Biến Lãi suất ngắn hạn Việt Nam lấy sai phân bậc 1 – I_VN_ON
Null Hypothesis: D(I_VN_ON) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -9.992035 0.0000
Test critical values: 1% level -3.483312
5% level -2.884665
10% level -2.579180
*MacKinnon (1996) one-sided p-values.
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Biến Lãi suất dài hạn Việt Nam – I_VN_ON
Null Hypothesis: I_VN_10Y has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -0.163822 0.9388
Test critical values: 1% level -3.482879
5% level -2.884477
10% level -2.579080
*MacKinnon (1996) one-sided p-values.
Biến Lãi suất dài hạn Việt Nam lấy sai phân bậc 1– D(I_VN_ON)
Null Hypothesis: D(I_VN_10Y) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -6.343981 0.0000
Test critical values: 1% level -3.483312
5% level -2.884665
10% level -2.579180
*MacKinnon (1996) one-sided p-values.
Bảng B4. Lựa chọn độ trễ tối ưu của mô hình
VAR Lag Order Selection Criteria
Endogenous variables: LVIX D(I_US_10Y) D(IP) D(IF) D(I_VN_ON) D(I_VN_10Y)
Exogenous variables: C
Date: 07/24/20 Time: 21:26
Sample: 2009M01 2019M06
Included observations: 121
Lag LogL LR FPE AIC SC HQ
0 -712.8521 NA 0.004803 11.68865 11.82583 11.74437
1 -537.5854 330.5844 0.000499 9.424153 10.38441* 9.814208*
2 -493.8080 78.30101* 0.000442* 9.297692* 11.08103 10.02208
3 -464.4689 49.61414 0.000497 9.405998 12.01241 10.46472
4 -442.6611 34.75071 0.000639 9.636765 13.06626 11.02982
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Bảng B5. Kiểm định nhận dạng quá mức
Log likelihood -558.2906
LR test for over-identification:
Chi-square(8) 3.680332 Probability 0.8848
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5
Inverse Roots of AR Characteristic Polynomial
Hình B1. Kiểm định tính ổn định của mô hình
Bảng B6. Kiểm định tự tương quan của phần dư
VAR Residual Serial Correlation LM Tests
Date: 07/24/20 Time: 21:29
Sample: 2009M01 2019M06
Included observations: 123
Null hypothesis: No serial correlation at lag h
Lag LRE* stat df Prob. Rao F-stat df Prob.
1 45.63076 36 0.1305 1.283165 (36, 446.3) 0.1310
2 54.33678 36 0.0255 1.542669 (36, 446.3) 0.0257
3 33.50286 36 0.5879 0.929696 (36, 446.3) 0.5887
4 37.76927 36 0.3884 1.052988 (36, 446.3) 0.3892
5 48.25900 36 0.0832 1.360993 (36, 446.3) 0.0836
6 46.10069 36 0.1207 1.297048 (36, 446.3) 0.1213
7 36.05652 36 0.4660 1.003356 (36, 446.3) 0.4668
8 36.39728 36 0.4502 1.013216 (36, 446.3) 0.4510
9 21.53534 36 0.9730 0.589856 (36, 446.3) 0.9731
10 43.09797 36 0.1936 1.208580 (36, 446.3) 0.1943
11 32.68224 36 0.6272 0.906112 (36, 446.3) 0.6279
12 48.34088 36 0.0820 1.363424 (36, 446.3) 0.0824
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-.03
-.02
-.01
.00
.01
.02
.03
.04
5 10 15 20 25 30 35
Response of D(I_VN_10SA) to Shock1
using Structural VAR Factors
Hình B2. Phản ứng của lãi suất dài hạn với rủi ro toàn cầu
-.01
.00
.01
.02
.03
.04
.05
.06
5 10 15 20 25 30 35
Response of D(I_VN_10SA) to Shock2
using Structural VAR Factors
Hình B3. Phản ứng của lãi suất dài hạn Việt Nam với lãi suất dài hạn Mỹ
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-.03
-.02
-.01
.00
.01
.02
.03
.04
5 10 15 20 25 30 35
Response of D(I_VN_10SA) to Shock3
using Structural VAR Factors
Hình B4. Phản ứng của lãi suất dài hạn Việt Nam với tăng trưởng sản lượng trong
nước
.00
.01
.02
.03
.04
.05
.06
.07
.08
5 10 15 20 25 30 35
Response of D(I_VN_10SA) to Shock4
using Structural VAR Factors
Hình B5. Phản ứng của lãi suất dài hạn Việt Nam với lạm phát trong nước
ccxxx
-.03
-.02
-.01
.00
.01
.02
.03
.04
5 10 15 20 25 30 35
Response of D(I_VN_10SA) to Shock5
using Structural VAR Factors
Hình B6. Phản ứng của lãi suất dài hạn Việt Nam với lãi suất ngắn hạn trong nước
0
20
40
60
80
100
5 10 15 20 25 30 35
Shock1 Shock2 Shock3
Shock4 Shock5 Shock6
Variance Decomposition of D(I_VN_10SA)
using Structural VAR Factors
Hình B7. Phân rã phương sai biến lãi suất dài hạn Việt Nam
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Bảng B7. Phân rã phương sai biến lãi suất dài hạn Việt Nam
Period S.E. Shock1 Shock2 Shock3 Shock4 Shock5 Shock6
1 0.164215 1.196162 0.103887 0.000000 0.000000 3.050471 95.64948
2 0.218428 1.114085 0.182003 0.011591 10.42207 4.404673 83.86558
3 0.244029 1.468685 5.091722 0.019654 13.84874 4.699175 74.87203
4 0.260731 1.928036 5.727557 0.163947 13.99966 4.678631 73.50216
5 0.271743 3.223557 5.704441 0.212330 13.87899 4.610508 72.37018
6 0.278582 4.616618 5.732867 0.211855 13.81294 4.526411 71.09931
7 0.283239 5.688296 5.794539 0.208809 13.74414 4.485327 70.07888
8 0.286506 6.484396 5.806329 0.214448 13.67742 4.444054 69.37335
9 0.288804 7.105895 5.795786 0.213470 13.63637 4.409531 68.83895
10 0.290442 7.569392 5.788976 0.213171 13.61613 4.384089 68.42825
11 0.291617 7.891827 5.783767 0.213264 13.60628 4.366412 68.13845
12 0.292475 8.121992 5.777936 0.212814 13.60301 4.353142 67.93110
13 0.293100 8.288929 5.773530 0.212700 13.60333 4.343368 67.77815
14 0.293557 8.408134 5.770441 0.212520 13.60513 4.336306 67.66746
15 0.293893 8.493893 5.768130 0.212351 13.60723 4.331178 67.58722
16 0.294141 8.556097 5.766438 0.212263 13.60912 4.327419 67.52867
17 0.294323 8.601390 5.765211 0.212176 13.61072 4.324660 67.48584
18 0.294457 8.634494 5.764338 0.212114 13.61198 4.322643 67.45443
19 0.294555 8.658719 5.763707 0.212071 13.61292 4.321162 67.43142
20 0.294628 8.676509 5.763243 0.212037 13.61362 4.320073 67.41452
21 0.294682 8.689598 5.762909 0.212013 13.61414 4.319273 67.40207
22 0.294721 8.699225 5.762664 0.211995 13.61451 4.318684 67.39292
23 0.294750 8.706315 5.762485 0.211981 13.61478 4.318250 67.38618
24 0.294772 8.711538 5.762354 0.211972 13.61498 4.317931 67.38122
25 0.294788 8.715385 5.762257 0.211965 13.61513 4.317696 67.37757
26 0.294799 8.718220 5.762186 0.211959 13.61523 4.317523 67.37488
27 0.294808 8.720308 5.762134 0.211956 13.61531 4.317395 67.37290
28 0.294814 8.721845 5.762095 0.211953 13.61537 4.317301 67.37144
29 0.294819 8.722978 5.762067 0.211951 13.61541 4.317232 67.37036
30 0.294822 8.723813 5.762046 0.211949 13.61544 4.317181 67.36957
31 0.294825 8.724427 5.762030 0.211948 13.61546 4.317144 67.36899
32 0.294826 8.724879 5.762019 0.211947 13.61548 4.317116 67.36856
33 0.294828 8.725213 5.762011 0.211947 13.61549 4.317096 67.36824
34 0.294829 8.725458 5.762004 0.211946 13.61550 4.317081 67.36801
35 0.294830 8.725639 5.762000 0.211946 13.61551 4.317070 67.36784
36 0.294830 8.725772 5.761997 0.211946 13.61551 4.317062 67.36771