Luận án Hội nhập tài chính và chính sách tiền tệ tại Việt Nam

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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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 ccxiii 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 ccxiv 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. ccxv 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. ccxvi 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 ccxvii 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 ccxviii -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 ccxix 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 ccxx 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 ccxxi 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 ccxxii 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 ccxxiii 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. ccxxiv 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. ccxxv 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. ccxxvi 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 ccxxvii 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 ccxxviii -.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 ccxxix -.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 ccxxxi 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

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