Luận án Nghiên cứu truyền dẫn tỷ giá hối đoái đến lạm phát tại Việt Nam

Truyền dẫn tỷ giá hối đoái đến lạm phát tại Việt Nam có thể gia tăng theo sau việc tham gia các hiệp định với các đối tác thương mại cũng như với những biến động ngoài dự kiến của nền kinh tế trong khu vực và trên thế giới đến Việt Nam. Vì vậy, cần phải thận trọng trong việc điều chỉnh chính sách tỷ giá để đáp ứng đồng thời các mục tiêu khác nhau của các nhà điều hành chính sách. Khi cần thiết thực hiện điều chỉnh tỷ giá thì các nhà điều hành chính sách có thể sử dụng đồng bộ các công cụ khác nhau của chính sách tài khóa và chính sách tiền tệ, và thậm chí là quán tính lạm phát, để làm dịu đi vấn đề lạm phát hiện tại như các nghiên cứu trước đây đã chỉ ra. Và có lẽ vì thế đây là một trong những lời giải thích cho việc tại sao điều chỉnh tỷ giá trong năm 2015 và năm 2016 vừa qua lại không gây ra lạm phát cao như dự tính ở trong nghiên cứu này hay các nghiên cứu khác trước đây. Tuy nhiên, tác giả khuyến khích các nhà điều hành chính sách vẫn nên giữ ổn định tỷ giá bởi vì không chắc rằng các chính sách thực hiện đồng bộ của các nhà điều hành chính sách có đủ bù đắp cho sự truyền dẫn tỷ giá đến lạm phát hay không, và có thể dẫn đến lạm phát cao ngoài mong đợi. Một hướng nghiên cứu tiềm năng có thể trong tương lai đó chính là việc kết hợp các chính sách khác nhau để vận hành nền kinh tế Việt Nam một cách hiệu quả khi mà các nhà điều hành chính sách thực hiện điều chỉnh tỷ giá (nếu có) vào thời gian sắp tới từ năm 2017

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Cholesky Ordering: DLNEER GAP DRFI DLCPI PHÂN RÃ PHƢƠNG SAI TRẠNG THÁI 3 Variance Decomposition of DLNEER: Period S.E. DLNEER GAP DRFI DLCPI 1 0.009993 100.0000 0.000000 0.000000 0.000000 2 0.010508 93.13798 0.044896 4.279126 2.537997 3 0.011119 83.19547 0.635229 9.260267 6.909036 4 0.011410 79.20600 0.604496 13.30921 6.880302 5 0.011438 79.14549 0.694069 13.29541 6.865030 6 0.011476 78.62846 0.839861 13.68986 6.841819 7 0.011486 78.49915 0.883149 13.66495 6.952755 8 0.011496 78.43654 0.884481 13.67209 7.006888 9 0.011500 78.41921 0.885896 13.66157 7.033322 10 0.011503 78.39752 0.888332 13.65541 7.058732 11 0.011505 78.38020 0.889247 13.65318 7.077378 12 0.011506 78.37163 0.889467 13.65172 7.087183 13 0.011507 78.36694 0.889661 13.65020 7.093198 14 0.011507 78.36333 0.889797 13.64920 7.097670 15 0.011508 78.36081 0.889838 13.64865 7.100704 16 0.011508 78.35928 0.889848 13.64830 7.102575 17 0.011508 78.35832 0.889855 13.64806 7.103770 18 0.011508 78.35768 0.889860 13.64790 7.104560 19 0.011508 78.35726 0.889861 13.64781 7.105069 20 0.011508 78.35700 0.889862 13.64775 7.105391 21 0.011508 78.35683 0.889862 13.64771 7.105598 22 0.011508 78.35673 0.889862 13.64768 7.105731 23 0.011508 78.35666 0.889862 13.64767 7.105817 24 0.011508 78.35661 0.889862 13.64765 7.105871 Variance Decomposition of GAP: Period S.E. DLNEER GAP DRFI DLCPI 1 0.047512 7.573422 92.42658 0.000000 0.000000 2 0.050205 6.797278 92.99498 0.207723 2.20E-05 3 0.053400 9.352846 90.33622 0.310718 0.000219 4 0.054678 9.881226 88.70511 1.290968 0.122694 5 0.055457 10.36063 87.60653 1.294894 0.737951 6 0.055893 10.75819 86.64328 1.327357 1.271173 7 0.056176 11.09395 85.95990 1.336168 1.609982 8 0.056341 11.25550 85.55628 1.330192 1.858031 9 0.056451 11.34667 85.27311 1.329403 2.050820 10 0.056524 11.41183 85.07318 1.331799 2.183196 11 0.056572 11.45692 84.93894 1.332444 2.271696 12 0.056603 11.48421 84.85006 1.332689 2.333042 13 0.056624 11.50121 84.79033 1.333394 2.375064 14 0.056638 11.51236 84.75087 1.334074 2.402688 15 0.056646 11.51954 84.72534 1.334458 2.420667 16 0.056652 11.52402 84.70883 1.334697 2.432458 17 0.056656 11.52686 84.69811 1.334879 2.440156 18 0.056658 11.52869 84.69117 1.335005 2.445132 19 0.056660 11.52986 84.68672 1.335084 2.448341 20 0.056661 11.53060 84.68385 1.335136 2.450412 21 0.056661 11.53107 84.68201 1.335171 2.451744 22 0.056662 11.53137 84.68084 1.335194 2.452598 23 0.056662 11.53156 84.68008 1.335209 2.453146 24 0.056662 11.53169 84.67960 1.335218 2.453497 Variance Decomposition of DRFI: Period S.E. DLNEER GAP DRFI DLCPI 1 0.000406 0.356060 0.415641 99.22830 0.000000 2 0.000458 1.629597 0.366164 87.79504 10.20920 3 0.000496 4.874931 1.184566 76.12453 17.81597 4 0.000519 7.297735 1.590224 70.75658 20.35546 5 0.000528 7.847686 1.639828 68.80689 21.70560 6 0.000532 7.986996 1.624597 67.91179 22.47662 7 0.000534 8.114228 1.614486 67.42809 22.84320 8 0.000535 8.225743 1.607504 67.12886 23.03789 9 0.000536 8.290624 1.602804 66.93513 23.17145 10 0.000536 8.330939 1.599609 66.80778 23.26168 11 0.000537 8.359279 1.597546 66.72789 23.31528 12 0.000537 8.377458 1.596328 66.67892 23.34730 13 0.000537 8.388178 1.595639 66.64866 23.36752 14 0.000537 8.394881 1.595229 66.62964 23.38025 15 0.000537 8.399298 1.594977 66.61762 23.38811 16 0.000537 8.402138 1.594827 66.61000 23.39304 17 0.000537 8.403924 1.594736 66.60516 23.39618 18 0.000537 8.405061 1.594681 66.60209 23.39817 19 0.000537 8.405791 1.594646 66.60014 23.39943 20 0.000537 8.406256 1.594625 66.59890 23.40022 21 0.000537 8.406551 1.594612 66.59811 23.40073 22 0.000537 8.406739 1.594604 66.59761 23.40105 23 0.000537 8.406859 1.594599 66.59729 23.40125 24 0.000537 8.406936 1.594596 66.59709 23.40138 Variance Decomposition of DLCPI: Period S.E. DLNEER GAP DRFI DLCPI 1 0.004576 1.014485 0.250050 2.187747 96.54772 2 0.005401 4.021603 0.544252 1.638498 93.79565 3 0.006264 13.75050 1.184938 1.267746 83.79682 4 0.006789 16.35657 1.293882 1.081913 81.26763 5 0.007144 16.82066 1.282413 1.675882 80.22105 6 0.007348 17.20279 1.277739 2.346693 79.17278 7 0.007444 17.54318 1.256213 2.448741 78.75187 8 0.007496 17.69710 1.238920 2.441983 78.62200 9 0.007530 17.78470 1.228046 2.446528 78.54073 10 0.007552 17.85778 1.221004 2.455189 78.46603 11 0.007565 17.90885 1.216766 2.457803 78.41658 12 0.007574 17.93830 1.214325 2.459090 78.38828 13 0.007579 17.95638 1.212864 2.460772 78.36999 14 0.007583 17.96850 1.211990 2.461849 78.35766 15 0.007585 17.97634 1.211493 2.462258 78.34991 16 0.007586 17.98122 1.211208 2.462469 78.34510 17 0.007587 17.98434 1.211035 2.462636 78.34199 18 0.007587 17.98637 1.210929 2.462743 78.33996 19 0.007588 17.98766 1.210865 2.462803 78.33867 20 0.007588 17.98848 1.210827 2.462840 78.33785 21 0.007588 17.98900 1.210804 2.462865 78.33733 22 0.007588 17.98934 1.210789 2.462880 78.33699 23 0.007588 17.98955 1.210780 2.462889 78.33678 24 0.007588 17.98969 1.210775 2.462895 78.33664 Cholesky Ordering: DLNEER GAP DRFI DLCPI PHỤ LỤC 8: KIỂM ĐỊNH PHI TUYẾN VỚI NGƢỠNG THAY ĐỔI TỶ GIÁ PHỤ LỤC 9: KẾT QUẢ ƢỚC LƢỢNG VỚI NGƢỠNG THAY ĐỔI TỶ GIÁ PHỤ LỤC 10: PHẢN ỨNG XUNG VỚI NGƢỠNG THAY ĐỔI TỶ GIÁ PHÂN TÍCH PHẢN ỨNG XUNG TRẠNG THÁI 1 Accumulated Response of DLNEER: Period DLNEER GAP DRFI DLCPI 1 0.005463 -0.000155 0.001439 0.001714 (0.00052) (0.00074) (0.00072) (0.00072) 2 0.005000 -0.000948 0.000828 9.94E-05 (0.00088) (0.00104) (0.00106) (0.00107) 3 0.006493 -0.001259 0.000698 -0.001298 (0.00119) (0.00144) (0.00149) (0.00142) 4 0.005314 -0.001596 -1.30E-05 -0.003394 (0.00161) (0.00185) (0.00180) (0.00180) 5 0.005226 -0.001507 -0.000363 -0.004582 (0.00189) (0.00225) (0.00211) (0.00213) 6 0.004291 -0.001400 -0.000798 -0.005499 (0.00210) (0.00256) (0.00230) (0.00238) 7 0.004094 -0.001151 -0.000943 -0.005715 (0.00221) (0.00281) (0.00242) (0.00255) 8 0.003718 -0.000970 -0.001059 -0.005718 (0.00223) (0.00295) (0.00246) (0.00264) 9 0.003752 -0.000804 -0.001030 -0.005465 (0.00217) (0.00303) (0.00244) (0.00264) 10 0.003729 -0.000723 -0.001000 -0.005231 (0.00207) (0.00304) (0.00239) (0.00258) 11 0.003859 -0.000679 -0.000935 -0.005005 (0.00196) (0.00302) (0.00233) (0.00248) 12 0.003924 -0.000681 -0.000896 -0.004879 (0.00187) (0.00299) (0.00228) (0.00237) 13 0.004013 -0.000695 -0.000862 -0.004813 (0.00181) (0.00296) (0.00225) (0.00228) 14 0.004044 -0.000719 -0.000853 -0.004813 (0.00178) (0.00293) (0.00223) (0.00222) 15 0.004069 -0.000737 -0.000852 -0.004837 (0.00178) (0.00292) (0.00223) (0.00219) 16 0.004062 -0.000751 -0.000860 -0.004876 (0.00180) (0.00292) (0.00223) (0.00219) 17 0.004055 -0.000756 -0.000868 -0.004908 (0.00182) (0.00292) (0.00224) (0.00220) 18 0.004040 -0.000756 -0.000876 -0.004932 (0.00184) (0.00293) (0.00225) (0.00222) 19 0.004030 -0.000754 -0.000881 -0.004943 (0.00185) (0.00294) (0.00226) (0.00224) 20 0.004022 -0.000750 -0.000884 -0.004946 (0.00186) (0.00294) (0.00226) (0.00225) 21 0.004019 -0.000747 -0.000884 -0.004943 (0.00186) (0.00295) (0.00226) (0.00226) 22 0.004018 -0.000745 -0.000884 -0.004938 (0.00186) (0.00295) (0.00226) (0.00226) 23 0.004020 -0.000743 -0.000882 -0.004933 (0.00185) (0.00295) (0.00226) (0.00226) 24 0.004021 -0.000743 -0.000881 -0.004930 (0.00185) (0.00295) (0.00226) (0.00226) Accumulated Response of GAP: Period DLNEER GAP DRFI DLCPI 1 -0.001159 0.040974 -0.010803 -0.008775 (0.00552) (0.00391) (0.00543) (0.00546) 2 0.009627 0.057795 -0.026925 -0.011418 (0.00968) (0.00833) (0.00977) (0.01008) 3 0.005793 0.069038 -0.031234 -0.017451 (0.01281) (0.01221) (0.01393) (0.01379) 4 0.010059 0.077482 -0.035507 -0.017799 (0.01644) (0.01672) (0.01761) (0.01772) 5 0.008835 0.082110 -0.038313 -0.019211 (0.01927) (0.02091) (0.02037) (0.02122) 6 0.010774 0.085529 -0.039471 -0.018856 (0.02124) (0.02443) (0.02250) (0.02402) 7 0.010534 0.087401 -0.040560 -0.019030 (0.02237) (0.02719) (0.02395) (0.02593) 8 0.011541 0.088703 -0.040930 -0.018734 (0.02285) (0.02927) (0.02495) (0.02708) 9 0.011536 0.089383 -0.041338 -0.018818 (0.02290) (0.03077) (0.02558) (0.02762) 10 0.011995 0.089849 -0.041488 -0.018782 (0.02275) (0.03183) (0.02597) (0.02775) 11 0.011972 0.090085 -0.041675 -0.018931 (0.02255) (0.03254) (0.02620) (0.02765) 12 0.012128 0.090258 -0.041760 -0.019010 (0.02237) (0.03302) (0.02634) (0.02747) 13 0.012075 0.090352 -0.041858 -0.019135 (0.02227) (0.03334) (0.02642) (0.02730) 14 0.012109 0.090430 -0.041905 -0.019196 (0.02224) (0.03355) (0.02648) (0.02720) 15 0.012066 0.090478 -0.041952 -0.019252 (0.02227) (0.03370) (0.02652) (0.02717) 16 0.012072 0.090519 -0.041972 -0.019266 (0.02231) (0.03380) (0.02655) (0.02718) 17 0.012054 0.090544 -0.041988 -0.019273 (0.02237) (0.03387) (0.02658) (0.02723) 18 0.012061 0.090564 -0.041993 -0.019264 (0.02241) (0.03392) (0.02660) (0.02728) 19 0.012059 0.090574 -0.041996 -0.019257 (0.02244) (0.03396) (0.02662) (0.02732) 20 0.012067 0.090582 -0.041995 -0.019247 (0.02245) (0.03399) (0.02663) (0.02735) 21 0.012069 0.090584 -0.041995 -0.019243 (0.02246) (0.03400) (0.02664) (0.02736) 22 0.012075 0.090586 -0.041995 -0.019240 (0.02245) (0.03402) (0.02664) (0.02737) 23 0.012076 0.090586 -0.041995 -0.019240 (0.02245) (0.03402) (0.02664) (0.02737) 24 0.012077 0.090586 -0.041995 -0.019241 (0.02244) (0.03403) (0.02664) (0.02736) Accumulated Response of DRFI: Period DLNEER GAP DRFI DLCPI 1 0.000130 -0.000130 0.000492 0.000233 (6.5E-05) (6.5E-05) (4.7E-05) (6.3E-05) 2 0.000149 -0.000144 0.000570 0.000396 (0.00010) (0.00010) (9.1E-05) (0.00010) 3 0.000293 -0.000186 0.000634 0.000496 (0.00012) (0.00014) (0.00013) (0.00013) 4 0.000296 -0.000231 0.000656 0.000489 (0.00015) (0.00017) (0.00015) (0.00016) 5 0.000343 -0.000257 0.000666 0.000470 (0.00017) (0.00020) (0.00017) (0.00019) 6 0.000322 -0.000279 0.000658 0.000422 (0.00018) (0.00022) (0.00018) (0.00020) 7 0.000321 -0.000287 0.000652 0.000387 (0.00018) (0.00023) (0.00018) (0.00021) 8 0.000297 -0.000291 0.000642 0.000358 (0.00017) (0.00024) (0.00018) (0.00021) 9 0.000289 -0.000289 0.000638 0.000346 (0.00017) (0.00024) (0.00018) (0.00021) 10 0.000277 -0.000286 0.000634 0.000342 (0.00016) (0.00024) (0.00018) (0.00020) 11 0.000275 -0.000282 0.000634 0.000345 (0.00015) (0.00024) (0.00018) (0.00019) 12 0.000273 -0.000280 0.000635 0.000351 (0.00015) (0.00024) (0.00018) (0.00019) 13 0.000275 -0.000278 0.000636 0.000357 (0.00015) (0.00024) (0.00018) (0.00019) 14 0.000277 -0.000278 0.000638 0.000361 (0.00015) (0.00024) (0.00018) (0.00018) 15 0.000279 -0.000279 0.000639 0.000364 (0.00015) (0.00024) (0.00018) (0.00018) 16 0.000280 -0.000279 0.000639 0.000365 (0.00015) (0.00024) (0.00018) (0.00019) 17 0.000281 -0.000280 0.000640 0.000365 (0.00015) (0.00024) (0.00018) (0.00019) 18 0.000281 -0.000280 0.000639 0.000364 (0.00015) (0.00024) (0.00018) (0.00019) 19 0.000281 -0.000280 0.000639 0.000363 (0.00015) (0.00024) (0.00018) (0.00019) 20 0.000281 -0.000281 0.000639 0.000362 (0.00015) (0.00024) (0.00018) (0.00019) 21 0.000281 -0.000281 0.000639 0.000362 (0.00015) (0.00024) (0.00018) (0.00019) 22 0.000281 -0.000280 0.000639 0.000362 (0.00015) (0.00024) (0.00018) (0.00019) 23 0.000280 -0.000280 0.000639 0.000362 (0.00015) (0.00024) (0.00018) (0.00019) 24 0.000280 -0.000280 0.000639 0.000362 (0.00015) (0.00024) (0.00018) (0.00019) Accumulated Response of DLCPI: Period DLNEER GAP DRFI DLCPI 1 0.001824 -0.001245 0.002751 0.005814 (0.00076) (0.00077) (0.00074) (0.00055) 2 0.003937 -0.002200 0.004107 0.009900 (0.00149) (0.00155) (0.00153) (0.00127) 3 0.005941 -0.003499 0.005221 0.011845 (0.00204) (0.00225) (0.00228) (0.00199) 4 0.006901 -0.004653 0.005820 0.012070 (0.00257) (0.00293) (0.00287) (0.00265) 5 0.007400 -0.005515 0.005999 0.011458 (0.00293) (0.00348) (0.00322) (0.00318) 6 0.007275 -0.006093 0.005914 0.010466 (0.00310) (0.00385) (0.00335) (0.00352) 7 0.006990 -0.006386 0.005750 0.009581 (0.00308) (0.00404) (0.00335) (0.00365) 8 0.006586 -0.006492 0.005573 0.008942 (0.00296) (0.00409) (0.00327) (0.00363) 9 0.006278 -0.006476 0.005456 0.008620 (0.00278) (0.00407) (0.00317) (0.00350) 10 0.006055 -0.006413 0.005394 0.008536 (0.00261) (0.00401) (0.00307) (0.00332) 11 0.005959 -0.006343 0.005389 0.008612 (0.00247) (0.00394) (0.00299) (0.00314) 12 0.005936 -0.006293 0.005411 0.008750 (0.00239) (0.00390) (0.00295) (0.00299) 13 0.005970 -0.006267 0.005448 0.008892 (0.00235) (0.00387) (0.00294) (0.00290) 14 0.006018 -0.006263 0.005482 0.008998 (0.00236) (0.00386) (0.00294) (0.00286) 15 0.006066 -0.006271 0.005508 0.009060 (0.00239) (0.00387) (0.00296) (0.00287) 16 0.006099 -0.006286 0.005523 0.009083 (0.00243) (0.00388) (0.00297) (0.00290) 17 0.006118 -0.006301 0.005528 0.009079 (0.00246) (0.00390) (0.00299) (0.00293) 18 0.006123 -0.006312 0.005528 0.009061 (0.00248) (0.00391) (0.00300) (0.00297) 19 0.006120 -0.006318 0.005524 0.009041 (0.00249) (0.00392) (0.00300) (0.00299) 20 0.006113 -0.006321 0.005519 0.009025 (0.00249) (0.00392) (0.00300) (0.00300) 21 0.006106 -0.006321 0.005515 0.009014 (0.00249) (0.00392) (0.00300) (0.00300) 22 0.006100 -0.006319 0.005513 0.009009 (0.00248) (0.00392) (0.00300) (0.00299) 23 0.006097 -0.006318 0.005512 0.009009 (0.00247) (0.00392) (0.00300) (0.00298) 24 0.006096 -0.006316 0.005512 0.009011 (0.00247) (0.00392) (0.00300) (0.00298) Generalized Impulse Standard Errors: Analytic TÍNH TOÁN HỆ SỐ TRUYỀN DẪN TỶ GIÁ Thời Kỳ DLNEER DLCPI Hệ số truyền dẫn Độ Lệch Chuẩn Của DLNEER 1 0.005463 0.001824 0.154028 0.006379 2 0.005000 0.003937 0.345988 3 0.006493 0.005941 0.461544 4 0.005314 0.006901 0.590182 5 0.005226 0.007400 0.637656 6 0.004291 0.007275 0.681818 7 0.004094 0.006990 0.667431 8 0.003718 0.006586 0.652273 9 0.003752 0.006278 0.619682 10 0.003729 0.006055 0.599030 11 0.003859 0.005959 0.582047 12 0.003924 0.005936 0.576143 13 0.004013 0.005970 0.574480 14 0.004044 0.006018 0.577377 15 0.004069 0.006066 0.580590 16 0.004062 0.006099 0.584139 17 0.004055 0.006118 0.586352 18 0.004040 0.006123 0.587676 19 0.004030 0.006120 0.587953 20 0.004022 0.006113 0.587732 21 0.004019 0.006106 0.587228 22 0.004018 0.006100 0.586708 23 0.004020 0.006097 0.586306 24 0.004021 0.006096 0.586154 PHẢN ỨNG XUNG TRẠNG THÁI 2 Accumulated Response of DLNEER: Period DLNEER GAP DRFI DLCPI 1 0.003547 -0.000465 0.000819 0.000808 (0.00032) (0.00044) (0.00044) (0.00044) 2 0.004054 -0.001172 0.001745 0.001539 (0.00059) (0.00067) (0.00070) (0.00069) 3 0.004094 -0.000702 0.002021 0.002062 (0.00080) (0.00083) (0.00089) (0.00085) 4 0.004324 -0.000894 0.002113 0.002590 (0.00091) (0.00102) (0.00103) (0.00102) 5 0.004293 -0.000873 0.002082 0.002708 (0.00097) (0.00120) (0.00111) (0.00112) 6 0.004315 -0.000986 0.001983 0.002812 (0.00102) (0.00135) (0.00117) (0.00120) 7 0.004275 -0.001055 0.001963 0.002845 (0.00104) (0.00148) (0.00120) (0.00125) 8 0.004263 -0.001139 0.001940 0.002873 (0.00105) (0.00159) (0.00122) (0.00127) 9 0.004250 -0.001212 0.001942 0.002885 (0.00105) (0.00168) (0.00123) (0.00129) 10 0.004246 -0.001277 0.001947 0.002895 (0.00105) (0.00176) (0.00124) (0.00130) 11 0.004244 -0.001333 0.001958 0.002903 (0.00105) (0.00183) (0.00125) (0.00131) 12 0.004244 -0.001379 0.001970 0.002910 (0.00105) (0.00188) (0.00125) (0.00132) 13 0.004245 -0.001417 0.001980 0.002917 (0.00105) (0.00193) (0.00126) (0.00132) 14 0.004246 -0.001449 0.001990 0.002924 (0.00106) (0.00197) (0.00127) (0.00133) 15 0.004247 -0.001475 0.001998 0.002929 (0.00106) (0.00201) (0.00127) (0.00134) 16 0.004249 -0.001496 0.002004 0.002934 (0.00106) (0.00204) (0.00128) (0.00134) 17 0.004249 -0.001514 0.002010 0.002938 (0.00106) (0.00207) (0.00128) (0.00135) 18 0.004250 -0.001528 0.002014 0.002941 (0.00106) (0.00209) (0.00129) (0.00135) 19 0.004251 -0.001540 0.002018 0.002944 (0.00107) (0.00211) (0.00129) (0.00135) 20 0.004251 -0.001550 0.002021 0.002946 (0.00107) (0.00212) (0.00129) (0.00136) 21 0.004252 -0.001558 0.002023 0.002948 (0.00107) (0.00214) (0.00130) (0.00136) 22 0.004252 -0.001565 0.002025 0.002949 (0.00107) (0.00215) (0.00130) (0.00136) 23 0.004252 -0.001570 0.002027 0.002951 (0.00107) (0.00216) (0.00130) (0.00136) 24 0.004253 -0.001575 0.002028 0.002952 (0.00107) (0.00216) (0.00130) (0.00137) Accumulated Response of GAP: Period DLNEER GAP DRFI DLCPI 1 -0.005185 0.039559 -0.005253 0.002000 (0.00496) (0.00352) (0.00496) (0.00498) 2 -0.000611 0.049254 -0.007992 0.011441 (0.00812) (0.00665) (0.00832) (0.00813) 3 -0.003550 0.065934 -0.012670 0.008869 (0.01167) (0.00950) (0.01194) (0.01155) 4 -0.002927 0.074471 -0.019039 0.008403 (0.01455) (0.01336) (0.01511) (0.01504) 5 -0.004676 0.083122 -0.022052 0.006327 (0.01714) (0.01714) (0.01806) (0.01821) 6 -0.005199 0.089429 -0.025039 0.005061 (0.01923) (0.02086) (0.02043) (0.02096) 7 -0.005817 0.094670 -0.026836 0.003719 (0.02089) (0.02442) (0.02242) (0.02322) 8 -0.006144 0.098900 -0.028388 0.002633 (0.02224) (0.02771) (0.02405) (0.02511) 9 -0.006400 0.102374 -0.029499 0.001739 (0.02329) (0.03075) (0.02539) (0.02665) 10 -0.006579 0.105250 -0.030392 0.001019 (0.02416) (0.03352) (0.02651) (0.02793) 11 -0.006707 0.107624 -0.031101 0.000442 (0.02486) (0.03601) (0.02745) (0.02899) 12 -0.006807 0.109592 -0.031681 -2.74E-05 (0.02545) (0.03826) (0.02824) (0.02989) 13 -0.006884 0.111221 -0.032159 -0.000409 (0.02593) (0.04026) (0.02892) (0.03065) 14 -0.006948 0.112570 -0.032554 -0.000722 (0.02633) (0.04204) (0.02949) (0.03129) 15 -0.007001 0.113687 -0.032882 -0.000978 (0.02666) (0.04362) (0.02998) (0.03183) 16 -0.007045 0.114612 -0.033155 -0.001190 (0.02694) (0.04500) (0.03040) (0.03229) 17 -0.007082 0.115377 -0.033381 -0.001365 (0.02717) (0.04622) (0.03075) (0.03268) 18 -0.007112 0.116009 -0.033568 -0.001510 (0.02736) (0.04729) (0.03105) (0.03301) 19 -0.007138 0.116532 -0.033724 -0.001629 (0.02752) (0.04822) (0.03130) (0.03329) 20 -0.007159 0.116965 -0.033852 -0.001728 (0.02765) (0.04902) (0.03152) (0.03352) 21 -0.007176 0.117322 -0.033959 -0.001810 (0.02776) (0.04972) (0.03170) (0.03372) 22 -0.007191 0.117618 -0.034047 -0.001878 (0.02785) (0.05033) (0.03186) (0.03389) 23 -0.007203 0.117863 -0.034120 -0.001934 (0.02793) (0.05085) (0.03199) (0.03403) 24 -0.007213 0.118065 -0.034180 -0.001980 (0.02799) (0.05130) (0.03210) (0.03415) Accumulated Response of DRFI: Period DLNEER GAP DRFI DLCPI 1 5.29E-05 -3.04E-05 0.000229 0.000116 (2.8E-05) (2.9E-05) (2.0E-05) (2.7E-05) 2 9.71E-05 -4.18E-05 0.000285 0.000159 (4.6E-05) (4.5E-05) (4.0E-05) (4.5E-05) 3 0.000126 -6.01E-05 0.000300 0.000180 (5.9E-05) (5.7E-05) (5.6E-05) (5.7E-05) 4 0.000132 -6.74E-05 0.000306 0.000193 (6.7E-05) (7.0E-05) (6.7E-05) (7.0E-05) 5 0.000134 -7.39E-05 0.000309 0.000204 (7.1E-05) (8.2E-05) (7.3E-05) (7.7E-05) 6 0.000135 -8.03E-05 0.000310 0.000210 (7.4E-05) (9.3E-05) (7.6E-05) (8.2E-05) 7 0.000134 -8.67E-05 0.000309 0.000213 (7.5E-05) (0.00010) (7.9E-05) (8.5E-05) 8 0.000134 -9.25E-05 0.000309 0.000215 (7.5E-05) (0.00011) (8.0E-05) (8.7E-05) 9 0.000134 -9.75E-05 0.000310 0.000216 (7.6E-05) (0.00012) (8.1E-05) (8.8E-05) 10 0.000134 -0.000102 0.000311 0.000217 (7.6E-05) (0.00012) (8.2E-05) (8.9E-05) 11 0.000134 -0.000106 0.000311 0.000218 (7.6E-05) (0.00013) (8.2E-05) (9.0E-05) 12 0.000134 -0.000109 0.000312 0.000219 (7.6E-05) (0.00013) (8.3E-05) (9.1E-05) 13 0.000134 -0.000111 0.000313 0.000219 (7.7E-05) (0.00013) (8.4E-05) (9.1E-05) 14 0.000134 -0.000113 0.000314 0.000219 (7.7E-05) (0.00014) (8.4E-05) (9.2E-05) 15 0.000134 -0.000115 0.000314 0.000220 (7.7E-05) (0.00014) (8.5E-05) (9.2E-05) 16 0.000134 -0.000117 0.000314 0.000220 (7.7E-05) (0.00014) (8.5E-05) (9.3E-05) 17 0.000134 -0.000118 0.000315 0.000220 (7.8E-05) (0.00014) (8.6E-05) (9.3E-05) 18 0.000134 -0.000119 0.000315 0.000221 (7.8E-05) (0.00014) (8.6E-05) (9.4E-05) 19 0.000134 -0.000120 0.000315 0.000221 (7.8E-05) (0.00015) (8.6E-05) (9.4E-05) 20 0.000134 -0.000120 0.000316 0.000221 (7.8E-05) (0.00015) (8.6E-05) (9.4E-05) 21 0.000134 -0.000121 0.000316 0.000221 (7.8E-05) (0.00015) (8.7E-05) (9.4E-05) 22 0.000134 -0.000121 0.000316 0.000221 (7.8E-05) (0.00015) (8.7E-05) (9.5E-05) 23 0.000134 -0.000122 0.000316 0.000221 (7.8E-05) (0.00015) (8.7E-05) (9.5E-05) 24 0.000134 -0.000122 0.000316 0.000221 (7.8E-05) (0.00015) (8.7E-05) (9.5E-05) Accumulated Response of DLCPI: Period DLNEER GAP DRFI DLCPI 1 0.000881 0.000195 0.001955 0.003864 (0.00048) (0.00049) (0.00045) (0.00034) 2 0.001198 -0.000173 0.003016 0.005976 (0.00089) (0.00089) (0.00088) (0.00073) 3 0.001473 -0.000680 0.002659 0.006763 (0.00125) (0.00119) (0.00127) (0.00109) 4 0.001463 -0.001347 0.002398 0.007142 (0.00152) (0.00154) (0.00158) (0.00144) 5 0.001329 -0.001870 0.002287 0.007351 (0.00169) (0.00187) (0.00180) (0.00171) 6 0.001263 -0.002394 0.002274 0.007509 (0.00183) (0.00217) (0.00196) (0.00192) 7 0.001220 -0.002851 0.002315 0.007597 (0.00193) (0.00244) (0.00209) (0.00207) 8 0.001207 -0.003251 0.002374 0.007664 (0.00200) (0.00269) (0.00219) (0.00219) 9 0.001202 -0.003585 0.002449 0.007719 (0.00206) (0.00292) (0.00227) (0.00229) 10 0.001206 -0.003865 0.002522 0.007770 (0.00211) (0.00312) (0.00233) (0.00237) 11 0.001214 -0.004095 0.002589 0.007815 (0.00215) (0.00330) (0.00239) (0.00243) 12 0.001222 -0.004286 0.002646 0.007855 (0.00218) (0.00346) (0.00244) (0.00249) 13 0.001230 -0.004443 0.002694 0.007888 (0.00221) (0.00361) (0.00248) (0.00254) 14 0.001237 -0.004572 0.002733 0.007917 (0.00224) (0.00373) (0.00252) (0.00258) 15 0.001242 -0.004679 0.002766 0.007941 (0.00226) (0.00385) (0.00255) (0.00262) 16 0.001247 -0.004767 0.002793 0.007962 (0.00228) (0.00395) (0.00258) (0.00265) 17 0.001251 -0.004840 0.002815 0.007978 (0.00230) (0.00403) (0.00261) (0.00268) 18 0.001254 -0.004900 0.002833 0.007992 (0.00231) (0.00411) (0.00263) (0.00270) 19 0.001256 -0.004949 0.002848 0.008004 (0.00232) (0.00418) (0.00265) (0.00272) 20 0.001258 -0.004990 0.002860 0.008013 (0.00233) (0.00424) (0.00266) (0.00274) 21 0.001260 -0.005024 0.002870 0.008021 (0.00234) (0.00429) (0.00267) (0.00275) 22 0.001261 -0.005052 0.002878 0.008027 (0.00234) (0.00433) (0.00268) (0.00277) 23 0.001262 -0.005076 0.002885 0.008033 (0.00235) (0.00437) (0.00269) (0.00278) 24 0.001263 -0.005095 0.002891 0.008037 (0.00235) (0.00440) (0.00270) (0.00278) Generalized Impulse Standard Errors: Analytic TÍNH TOÁN HỆ SỐ TRUYỀN DẪN TỶ GIÁ Thời Kỳ DLNEER DLCPI Hệ số truyền dẫn Độ Lệch Chuẩn Của DLNEER 1 0.003547 0.000881 0.121450 0.003707 2 0.004054 0.001198 0.154362 3 0.004094 0.001473 0.188822 4 0.004324 0.001463 0.182169 5 0.004293 0.001329 0.166125 6 0.004315 0.001263 0.157442 7 0.004275 0.001220 0.152844 8 0.004263 0.001207 0.151443 9 0.004250 0.001202 0.151062 10 0.004246 0.001206 0.151641 11 0.004244 0.001214 0.152685 12 0.004244 0.001222 0.153691 13 0.004245 0.001230 0.154678 14 0.004246 0.001237 0.155539 15 0.004247 0.001242 0.156148 16 0.004249 0.001247 0.156737 17 0.004249 0.001251 0.157240 18 0.004250 0.001254 0.157597 19 0.004251 0.001256 0.157829 20 0.004251 0.001258 0.158080 21 0.004252 0.001260 0.158311 22 0.004252 0.001261 0.158437 23 0.004252 0.001262 0.158563 24 0.004253 0.001263 0.158668 PHẢN ỨNG XUNG TRẠNG THÁI 3 Accumulated Response of DLNEER: Period DLNEER GAP DRFI DLCPI 1 0.008171 -0.002967 -0.000109 -0.002314 (0.00088) (0.00120) (0.00125) (0.00122) 2 0.011426 -0.003195 -0.001173 -0.004495 (0.00185) (0.00220) (0.00214) (0.00211) 3 0.012241 -0.002142 -0.002054 -0.003615 (0.00269) (0.00295) (0.00284) (0.00276) 4 0.012746 -0.001563 -0.001972 -0.003265 (0.00344) (0.00368) (0.00316) (0.00346) 5 0.012971 -0.001290 -0.002564 -0.002597 (0.00397) (0.00427) (0.00327) (0.00399) 6 0.013176 -0.000919 -0.003049 -0.002118 (0.00436) (0.00468) (0.00343) (0.00439) 7 0.013434 -0.000908 -0.003233 -0.001847 (0.00467) (0.00493) (0.00356) (0.00467) 8 0.013696 -0.000963 -0.003406 -0.001702 (0.00494) (0.00512) (0.00368) (0.00489) 9 0.013903 -0.001000 -0.003518 -0.001604 (0.00519) (0.00527) (0.00378) (0.00508) 10 0.014064 -0.001043 -0.003571 -0.001539 (0.00541) (0.00538) (0.00387) (0.00525) 11 0.014183 -0.001073 -0.003617 -0.001485 (0.00560) (0.00548) (0.00394) (0.00539) 12 0.014267 -0.001086 -0.003656 -0.001438 (0.00576) (0.00556) (0.00399) (0.00552) 13 0.014329 -0.001094 -0.003684 -0.001399 (0.00589) (0.00562) (0.00404) (0.00562) 14 0.014377 -0.001101 -0.003708 -0.001368 (0.00600) (0.00566) (0.00407) (0.00570) 15 0.014413 -0.001106 -0.003727 -0.001345 (0.00609) (0.00570) (0.00410) (0.00576) 16 0.014442 -0.001110 -0.003741 -0.001327 (0.00616) (0.00573) (0.00412) (0.00581) 17 0.014464 -0.001114 -0.003752 -0.001313 (0.00622) (0.00575) (0.00414) (0.00585) 18 0.014481 -0.001117 -0.003761 -0.001303 (0.00626) (0.00576) (0.00416) (0.00589) 19 0.014494 -0.001119 -0.003767 -0.001295 (0.00630) (0.00578) (0.00417) (0.00591) 20 0.014504 -0.001121 -0.003772 -0.001289 (0.00633) (0.00578) (0.00418) (0.00593) 21 0.014512 -0.001122 -0.003775 -0.001285 (0.00635) (0.00579) (0.00418) (0.00595) 22 0.014518 -0.001123 -0.003778 -0.001281 (0.00637) (0.00580) (0.00419) (0.00597) 23 0.014522 -0.001124 -0.003780 -0.001279 (0.00639) (0.00580) (0.00419) (0.00598) 24 0.014526 -0.001124 -0.003782 -0.001276 (0.00640) (0.00581) (0.00420) (0.00598) Accumulated Response of GAP: Period DLNEER GAP DRFI DLCPI 1 -0.017810 0.049047 -0.005235 0.003661 (0.00723) (0.00529) (0.00746) (0.00747) 2 -0.036786 0.066593 -0.006707 0.018648 (0.01269) (0.01119) (0.01280) (0.01278) 3 -0.046013 0.079121 -0.015811 0.026110 (0.01809) (0.01644) (0.01782) (0.01734) 4 -0.050375 0.084038 -0.020404 0.029773 (0.02325) (0.02201) (0.02057) (0.02230) 5 -0.050730 0.083839 -0.021015 0.029223 (0.02705) (0.02649) (0.02178) (0.02594) 6 -0.050240 0.082615 -0.021001 0.027771 (0.02946) (0.02918) (0.02228) (0.02842) 7 -0.050010 0.082011 -0.020514 0.026548 (0.03076) (0.03036) (0.02226) (0.02975) 8 -0.050106 0.081675 -0.019843 0.025740 (0.03159) (0.03068) (0.02228) (0.03040) 9 -0.050418 0.081664 -0.019492 0.025344 (0.03227) (0.03058) (0.02238) (0.03072) 10 -0.050795 0.081825 -0.019321 0.025190 (0.03292) (0.03042) (0.02249) (0.03099) 11 -0.051109 0.081955 -0.019210 0.025112 (0.03353) (0.03035) (0.02260) (0.03129) 12 -0.051336 0.082034 -0.019152 0.025051 (0.03406) (0.03036) (0.02271) (0.03160) 13 -0.051493 0.082080 -0.019109 0.024992 (0.03448) (0.03040) (0.02279) (0.03188) 14 -0.051599 0.082098 -0.019065 0.024932 (0.03481) (0.03046) (0.02285) (0.03211) 15 -0.051676 0.082105 -0.019027 0.024879 (0.03506) (0.03051) (0.02289) (0.03229) 16 -0.051734 0.082111 -0.018996 0.024837 (0.03524) (0.03053) (0.02293) (0.03242) 17 -0.051780 0.082116 -0.018971 0.024805 (0.03539) (0.03055) (0.02295) (0.03251) 18 -0.051816 0.082122 -0.018952 0.024782 (0.03550) (0.03056) (0.02298) (0.03258) 19 -0.051845 0.082127 -0.018938 0.024765 (0.03558) (0.03057) (0.02299) (0.03264) 20 -0.051867 0.082131 -0.018927 0.024752 (0.03565) (0.03057) (0.02301) (0.03268) 21 -0.051884 0.082134 -0.018919 0.024742 (0.03570) (0.03058) (0.02302) (0.03271) 22 -0.051897 0.082136 -0.018913 0.024735 (0.03574) (0.03058) (0.02302) (0.03274) 23 -0.051907 0.082138 -0.018909 0.024729 (0.03577) (0.03058) (0.02303) (0.03276) 24 -0.051915 0.082139 -0.018905 0.024724 (0.03580) (0.03059) (0.02303) (0.03278) Accumulated Response of DRFI: Period DLNEER GAP DRFI DLCPI 1 -7.88E-06 -6.30E-05 0.000590 0.000153 (9.0E-05) (9.0E-05) (6.4E-05) (8.8E-05) 2 -2.16E-06 -0.000162 0.000621 0.000282 (0.00014) (0.00014) (0.00011) (0.00013) 3 -4.41E-05 -1.08E-05 0.000410 0.000505 (0.00017) (0.00016) (0.00015) (0.00014) 4 -1.68E-05 1.98E-05 0.000390 0.000606 (0.00020) (0.00019) (0.00016) (0.00017) 5 5.04E-05 -3.00E-05 0.000357 0.000647 (0.00021) (0.00022) (0.00016) (0.00019) 6 0.000107 -4.34E-05 0.000314 0.000673 (0.00023) (0.00024) (0.00018) (0.00021) 7 0.000153 -6.01E-05 0.000306 0.000687 (0.00025) (0.00025) (0.00019) (0.00023) 8 0.000188 -7.62E-05 0.000299 0.000696 (0.00027) (0.00027) (0.00020) (0.00025) 9 0.000211 -8.08E-05 0.000289 0.000707 (0.00028) (0.00028) (0.00020) (0.00026) 10 0.000227 -8.27E-05 0.000282 0.000717 (0.00030) (0.00029) (0.00021) (0.00027) 11 0.000239 -8.46E-05 0.000277 0.000725 (0.00031) (0.00030) (0.00021) (0.00028) 12 0.000249 -8.55E-05 0.000271 0.000732 (0.00032) (0.00031) (0.00022) (0.00029) 13 0.000256 -8.64E-05 0.000268 0.000737 (0.00033) (0.00031) (0.00022) (0.00030) 14 0.000262 -8.74E-05 0.000265 0.000741 (0.00034) (0.00032) (0.00023) (0.00030) 15 0.000266 -8.82E-05 0.000263 0.000743 (0.00035) (0.00032) (0.00023) (0.00031) 16 0.000270 -8.88E-05 0.000261 0.000745 (0.00035) (0.00032) (0.00023) (0.00031) 17 0.000272 -8.93E-05 0.000260 0.000747 (0.00036) (0.00032) (0.00023) (0.00032) 18 0.000274 -8.96E-05 0.000259 0.000748 (0.00036) (0.00033) (0.00023) (0.00032) 19 0.000276 -8.99E-05 0.000258 0.000749 (0.00036) (0.00033) (0.00024) (0.00032) 20 0.000277 -9.01E-05 0.000257 0.000750 (0.00037) (0.00033) (0.00024) (0.00033) 21 0.000278 -9.02E-05 0.000257 0.000750 (0.00037) (0.00033) (0.00024) (0.00033) 22 0.000279 -9.03E-05 0.000257 0.000751 (0.00037) (0.00033) (0.00024) (0.00033) 23 0.000279 -9.04E-05 0.000256 0.000751 (0.00037) (0.00033) (0.00024) (0.00033) 24 0.000280 -9.05E-05 0.000256 0.000751 (0.00037) (0.00033) (0.00024) (0.00033) Accumulated Response of DLCPI: Period DLNEER GAP DRFI DLCPI 1 -0.002013 0.000531 0.001839 0.007108 (0.00106) (0.00108) (0.00107) (0.00077) 2 -0.001000 -0.000414 0.002446 0.009359 (0.00187) (0.00187) (0.00178) (0.00151) 3 -3.86E-05 -0.000707 0.000143 0.011963 (0.00276) (0.00272) (0.00264) (0.00225) 4 0.001331 -0.000757 -0.000720 0.013183 (0.00367) (0.00366) (0.00322) (0.00319) 5 0.002767 -0.001640 -0.000971 0.013732 (0.00446) (0.00451) (0.00369) (0.00396) 6 0.003902 -0.002073 -0.001454 0.014116 (0.00513) (0.00521) (0.00406) (0.00466) 7 0.004696 -0.002280 -0.001709 0.014456 (0.00569) (0.00577) (0.00432) (0.00522) 8 0.005284 -0.002449 -0.001875 0.014730 (0.00616) (0.00620) (0.00456) (0.00567) 9 0.005702 -0.002523 -0.002073 0.014980 (0.00658) (0.00653) (0.00476) (0.00604) 10 0.006009 -0.002555 -0.002230 0.015190 (0.00694) (0.00679) (0.00493) (0.00635) 11 0.006249 -0.002589 -0.002348 0.015350 (0.00726) (0.00700) (0.00507) (0.00662) 12 0.006436 -0.002618 -0.002446 0.015471 (0.00754) (0.00716) (0.00518) (0.00684) 13 0.006582 -0.002640 -0.002520 0.015562 (0.00777) (0.00730) (0.00527) (0.00703) 14 0.006696 -0.002660 -0.002574 0.015630 (0.00797) (0.00740) (0.00535) (0.00719) 15 0.006784 -0.002676 -0.002616 0.015681 (0.00813) (0.00749) (0.00541) (0.00732) 16 0.006852 -0.002688 -0.002648 0.015721 (0.00826) (0.00755) (0.00546) (0.00743) 17 0.006903 -0.002696 -0.002672 0.015752 (0.00837) (0.00760) (0.00549) (0.00751) 18 0.006943 -0.002703 -0.002691 0.015775 (0.00846) (0.00764) (0.00552) (0.00758) 19 0.006973 -0.002708 -0.002706 0.015793 (0.00853) (0.00767) (0.00555) (0.00764) 20 0.006996 -0.002712 -0.002717 0.015808 (0.00859) (0.00769) (0.00557) (0.00768) 21 0.007014 -0.002715 -0.002726 0.015818 (0.00864) (0.00771) (0.00558) (0.00772) 22 0.007027 -0.002717 -0.002732 0.015827 (0.00868) (0.00772) (0.00560) (0.00775) 23 0.007038 -0.002719 -0.002738 0.015833 (0.00871) (0.00773) (0.00561) (0.00777) 24 0.007046 -0.002720 -0.002741 0.015838 (0.00873) (0.00774) (0.00561) (0.00779) Generalized Impulse Standard Errors: Analytic TÍNH TOÁN HỆ SỐ TRUYỀN DẪN TỶ GIÁ DLNEER DLCPI Hệ số truyền dẫn Độ Lệch Chuẩn Của DLNEER 1 0.008171 -0.002013 -0.122497 0.008262 2 0.011426 -0.001000 -0.050792 3 0.012241 -0.000039 -0.001883 4 0.012746 0.001331 0.063357 5 0.012971 0.002767 0.130316 6 0.013176 0.003902 0.182013 7 0.013434 0.004696 0.216445 8 0.013696 0.005284 0.240641 9 0.013903 0.005702 0.257252 10 0.014064 0.006009 0.269148 11 0.014183 0.006249 0.278414 12 0.014267 0.006436 0.285676 13 0.014329 0.006582 0.291355 14 0.014377 0.006696 0.295773 15 0.014413 0.006784 0.299184 16 0.014442 0.006852 0.301797 17 0.014464 0.006903 0.303749 18 0.014481 0.006943 0.305281 19 0.014494 0.006973 0.306425 20 0.014504 0.006996 0.307300 21 0.014512 0.007014 0.307983 22 0.014518 0.007027 0.308472 23 0.014522 0.007038 0.308901 24 0.014526 0.007046 0.309198 PHỤ LỤC 11: PHÂN RÃ PHƢƠNG SAI VỚI NGƢỠNG THAY ĐỔI TỶ GIÁ PHÂN RÃ PHƢƠNG SAI TRẠNG THÁI 1 Variance Decomposition of DLNEER: Period S.E. DLNEER GAP DRFI DLCPI 1 0.005463 100.0000 0.000000 0.000000 0.000000 2 0.005815 88.86804 1.924666 1.654082 7.553215 3 0.006360 79.80783 1.787721 2.385339 16.01911 4 0.006769 73.49464 1.877460 2.725495 21.90241 5 0.006884 71.08611 1.831197 2.861880 24.22081 6 0.006979 70.95840 1.795179 2.851665 24.39476 7 0.006987 70.87730 1.912132 2.847464 24.36311 8 0.007001 70.87960 1.963365 2.837660 24.31938 9 0.007009 70.70737 2.015333 2.840003 24.43730 10 0.007016 70.58327 2.025065 2.842414 24.54925 11 0.007020 70.52451 2.027062 2.843169 24.60526 12 0.007021 70.50789 2.026342 2.843270 24.62250 13 0.007022 70.51028 2.026231 2.842818 24.62067 14 0.007022 70.50974 2.027253 2.842777 24.62023 15 0.007022 70.50754 2.027770 2.842832 24.62186 16 0.007023 70.50466 2.028050 2.842940 24.62435 17 0.007023 70.50303 2.028058 2.842997 24.62591 18 0.007023 70.50254 2.028033 2.843007 24.62642 19 0.007023 70.50248 2.028039 2.843004 24.62648 20 0.007023 70.50251 2.028056 2.843000 24.62644 21 0.007023 70.50246 2.028077 2.843000 24.62646 22 0.007023 70.50240 2.028085 2.843002 24.62651 23 0.007023 70.50236 2.028087 2.843003 24.62655 24 0.007023 70.50235 2.028086 2.843004 24.62656 Variance Decomposition of GAP: Period S.E. DLNEER GAP DRFI DLCPI 1 0.040974 0.080068 99.91993 0.000000 0.000000 2 0.048458 5.012136 83.94019 10.45469 0.592978 3 0.049949 5.306632 83.97708 9.848933 0.867353 4 0.050998 5.790354 83.38170 9.903430 0.924519 5 0.051241 5.792577 83.39724 9.884927 0.925253 6 0.051409 5.896700 83.30713 9.846578 0.949588 7 0.051451 5.889441 83.30566 9.843945 0.960957 8 0.051480 5.920892 83.27593 9.836308 0.966869 9 0.051486 5.919653 83.27595 9.836596 0.967805 10 0.051490 5.926569 83.26986 9.835814 0.967754 11 0.051491 5.926420 83.26958 9.836167 0.967837 12 0.051492 5.927188 83.26862 9.836195 0.967998 13 0.051492 5.927246 83.26827 9.836275 0.968214 14 0.051492 5.927264 83.26815 9.836291 0.968298 15 0.051492 5.927322 83.26806 9.836294 0.968325 16 0.051492 5.927319 83.26806 9.836292 0.968325 17 0.051492 5.927330 83.26805 9.836290 0.968327 18 0.051492 5.927330 83.26805 9.836287 0.968333 19 0.051492 5.927330 83.26805 9.836286 0.968339 20 0.051492 5.927332 83.26804 9.836286 0.968342 21 0.051492 5.927332 83.26804 9.836285 0.968343 22 0.051492 5.927333 83.26804 9.836285 0.968343 23 0.051492 5.927333 83.26804 9.836285 0.968343 24 0.051492 5.927333 83.26804 9.836285 0.968343 Variance Decomposition of DRFI: Period S.E. DLNEER GAP DRFI DLCPI 1 0.000492 6.938205 6.569252 86.49254 0.000000 2 0.000520 6.349598 5.944689 79.44123 8.264481 3 0.000543 12.82378 5.940180 72.90619 8.329847 4 0.000546 12.70843 6.555300 72.27334 8.462931 5 0.000550 13.24508 6.660964 71.20319 8.890772 6 0.000553 13.23213 6.758999 70.38700 9.621862 7 0.000555 13.16438 6.744906 70.04461 10.04610 8 0.000556 13.29373 6.724584 69.77897 10.20272 9 0.000556 13.30788 6.722567 69.74148 10.22807 10 0.000556 13.34880 6.721362 69.70683 10.22301 11 0.000556 13.34784 6.724504 69.69652 10.23114 12 0.000556 13.34672 6.724681 69.68426 10.24434 13 0.000556 13.34645 6.724328 69.67433 10.25489 14 0.000556 13.34634 6.723919 69.67022 10.25952 15 0.000556 13.34777 6.723710 69.66801 10.26051 16 0.000556 13.34812 6.723783 69.66760 10.26050 17 0.000556 13.34834 6.723842 69.66726 10.26055 18 0.000556 13.34829 6.723884 69.66701 10.26082 19 0.000556 13.34825 6.723884 69.66681 10.26106 20 0.000556 13.34826 6.723875 69.66668 10.26119 21 0.000556 13.34827 6.723870 69.66663 10.26123 22 0.000556 13.34829 6.723869 69.66661 10.26123 23 0.000556 13.34830 6.723871 69.66661 10.26123 24 0.000556 13.34830 6.723871 69.66660 10.26123 Variance Decomposition of DLCPI: Period S.E. DLNEER GAP DRFI DLCPI 1 0.005814 9.842477 4.217288 13.19340 72.74684 2 0.007208 14.99474 4.287509 9.309381 71.40837 3 0.007672 20.05997 6.410963 8.357812 65.17125 4 0.007823 20.79726 8.240979 8.043859 62.91790 5 0.007953 20.51578 9.108625 7.835647 62.53994 6 0.008063 19.98508 9.383408 7.695174 62.93634 7 0.008129 19.78459 9.369127 7.619149 63.22714 8 0.008162 19.87332 9.315493 7.576388 63.23480 9 0.008171 19.96826 9.293683 7.560571 63.17749 10 0.008175 20.02684 9.291029 7.554805 63.12733 11 0.008176 20.03140 9.293536 7.553662 63.12140 12 0.008178 20.02271 9.292821 7.553069 63.13140 13 0.008180 20.01722 9.290591 7.552456 63.13973 14 0.008181 20.01691 9.288911 7.551963 63.14222 15 0.008181 20.01892 9.288318 7.551633 63.14113 16 0.008181 20.02014 9.288415 7.551485 63.13996 17 0.008181 20.02044 9.288603 7.551417 63.13954 18 0.008181 20.02027 9.288687 7.551382 63.13966 19 0.008181 20.02012 9.288676 7.551358 63.13985 20 0.008181 20.02009 9.288642 7.551341 63.13993 21 0.008181 20.02012 9.288623 7.551332 63.13992 22 0.008181 20.02016 9.288620 7.551328 63.13989 23 0.008181 20.02017 9.288622 7.551326 63.13988 24 0.008181 20.02017 9.288624 7.551325 63.13988 Cholesky Ordering: DLNEER GAP DRFI DLCPI PHÂN RÃ PHƢƠNG SAI TRẠNG THÁI 2 Variance Decomposition of DLNEER: Period S.E. DLNEER GAP DRFI DLCPI 1 0.003547 100.0000 0.000000 0.000000 0.000000 2 0.003738 91.89061 2.987322 4.208295 0.913770 3 0.003801 88.84891 4.477225 4.810291 1.863579 4 0.003854 86.80308 4.536665 4.683649 3.976609 5 0.003857 86.65369 4.530520 4.678517 4.137270 6 0.003866 86.27899 4.592651 4.753535 4.374826 7 0.003867 86.21823 4.626989 4.752276 4.402502 8 0.003869 86.14929 4.672267 4.754305 4.424134 9 0.003870 86.11211 4.708587 4.752248 4.427060 10 0.003870 86.08476 4.736367 4.750735 4.428140 11 0.003871 86.06557 4.756376 4.749901 4.428151 12 0.003871 86.05240 4.770049 4.749479 4.428076 13 0.003871 86.04327 4.779430 4.749289 4.428011 14 0.003872 86.03708 4.785747 4.749196 4.427981 15 0.003872 86.03286 4.790022 4.749142 4.427979 16 0.003872 86.02999 4.792911 4.749107 4.427989 17 0.003872 86.02804 4.794870 4.749081 4.428004 18 0.003872 86.02672 4.796202 4.749061 4.428018 19 0.003872 86.02581 4.797110 4.749047 4.428029 20 0.003872 86.02520 4.797730 4.749037 4.428037 21 0.003872 86.02477 4.798153 4.749030 4.428042 22 0.003872 86.02449 4.798442 4.749025 4.428046 23 0.003872 86.02429 4.798640 4.749021 4.428049 24 0.003872 86.02415 4.798776 4.749019 4.428051 Variance Decomposition of GAP: Period S.E. DLNEER GAP DRFI DLCPI 1 0.039559 1.717744 98.28226 0.000000 0.000000 2 0.042574 2.637222 90.80349 0.436673 6.122610 3 0.045860 2.683560 91.10092 0.645006 5.570515 4 0.047072 2.564718 89.88239 2.131357 5.421536 5 0.047931 2.606702 89.82990 2.195062 5.368334 6 0.048404 2.567674 89.77331 2.376041 5.282980 7 0.048717 2.550896 89.76421 2.401701 5.283189 8 0.048923 2.533931 89.75604 2.429793 5.280232 9 0.049061 2.522498 89.75424 2.437486 5.285781 10 0.049154 2.514190 89.75474 2.441808 5.289259 11 0.049218 2.508379 89.75619 2.443774 5.291659 12 0.049262 2.504348 89.75761 2.444933 5.293105 13 0.049291 2.501570 89.75885 2.445703 5.293878 14 0.049312 2.499668 89.75980 2.446223 5.294310 15 0.049326 2.498366 89.76049 2.446601 5.294539 16 0.049335 2.497477 89.76098 2.446870 5.294671 17 0.049342 2.496870 89.76132 2.447063 5.294749 18 0.049346 2.496455 89.76155 2.447198 5.294798 19 0.049349 2.496172 89.76171 2.447293 5.294830 20 0.049352 2.495979 89.76181 2.447359 5.294852 21 0.049353 2.495846 89.76188 2.447404 5.294866 22 0.049354 2.495756 89.76193 2.447435 5.294877 23 0.049355 2.495694 89.76197 2.447456 5.294884 24 0.049355 2.495652 89.76199 2.447470 5.294889 Variance Decomposition of DRFI: Period S.E. DLNEER GAP DRFI DLCPI 1 0.000229 5.331577 1.069371 93.59905 0.000000 2 0.000238 8.358848 1.043626 90.31091 0.286616 3 0.000241 9.618356 1.385887 88.31087 0.684884 4 0.000242 9.638989 1.454323 87.99751 0.909178 5 0.000242 9.615000 1.517047 87.70866 1.159289 6 0.000242 9.598643 1.585448 87.55792 1.257988 7 0.000242 9.587710 1.653131 87.45997 1.299189 8 0.000243 9.580682 1.710811 87.39420 1.314308 9 0.000243 9.575902 1.754601 87.34902 1.320475 10 0.000243 9.572442 1.787132 87.31728 1.323148 11 0.000243 9.570003 1.810282 87.29533 1.324385 12 0.000243 9.568307 1.826445 87.28019 1.325061 13 0.000243 9.567146 1.837531 87.26985 1.325477 14 0.000243 9.566355 1.845092 87.26279 1.325761 15 0.000243 9.565818 1.850234 87.25798 1.325963 16 0.000243 9.565453 1.853731 87.25471 1.326107 17 0.000243 9.565205 1.856110 87.25248 1.326210 18 0.000243 9.565035 1.857730 87.25095 1.326283 19 0.000243 9.564920 1.858835 87.24991 1.326335 20 0.000243 9.564841 1.859590 87.24920 1.326370 21 0.000243 9.564787 1.860106 87.24871 1.326395 22 0.000243 9.564750 1.860458 87.24838 1.326412 23 0.000243 9.564724 1.860699 87.24815 1.326423 24 0.000243 9.564707 1.860864 87.24800 1.326431 Variance Decomposition of DLCPI: Period S.E. DLNEER GAP DRFI DLCPI 1 0.003864 5.195177 0.658016 22.78466 71.36215 2 0.004436 4.452483 1.051429 22.22025 72.27584 3 0.004648 4.406672 2.003528 21.33137 72.25843 4 0.004762 4.199077 3.911050 20.83299 71.05689 5 0.004815 4.184322 5.107831 20.46266 70.24518 6 0.004854 4.135682 6.252000 20.14645 69.46587 7 0.004879 4.100875 7.100327 19.93972 68.85908 8 0.004897 4.071383 7.732869 19.79433 68.40142 9 0.004910 4.050861 8.168540 19.70151 68.07909 10 0.004918 4.036763 8.466215 19.64075 67.85628 11 0.004924 4.027314 8.667861 19.60108 67.70375 12 0.004928 4.021021 8.804023 19.57459 67.60037 13 0.004931 4.016798 8.896057 19.55675 67.53040 14 0.004933 4.013946 8.958333 19.54465 67.48308 15 0.004934 4.012009 9.000610 19.53638 67.45100 16 0.004935 4.010688 9.029372 19.53073 67.42921 17 0.004936 4.009786 9.048979 19.52686 67.41438 18 0.004936 4.009169 9.062362 19.52420 67.40427 19 0.004936 4.008746 9.071505 19.52239 67.39736 20 0.004936 4.008457 9.077755 19.52114 67.39264 21 0.004937 4.008260 9.082029 19.52029 67.38942 22 0.004937 4.008124 9.084951 19.51971 67.38721 23 0.004937 4.008032 9.086949 19.51931 67.38571 24 0.004937 4.007969 9.088316 19.51904 67.38467 Cholesky Ordering: DLNEER GAP DRFI DLCPI PHÂN RÃ PHƢƠNG SAI TRẠNG THÁI 3 Variance Decomposition of DLNEER: Period S.E. DLNEER GAP DRFI DLCPI 1 0.008171 100.0000 0.000000 0.000000 0.000000 2 0.008966 96.22559 1.303900 1.018295 1.452211 3 0.009259 91.01808 3.670455 1.527991 3.783474 4 0.009324 90.03744 4.387013 1.546983 4.028563 5 0.009399 88.66256 4.481344 1.861098 4.995002 6 0.009450 87.75396 4.689015 2.046111 5.510915 7 0.009465 87.54820 4.688205 2.071485 5.692111 8 0.009475 87.45113 4.680943 2.097622 5.770310 9 0.009480 87.40570 4.677874 2.107675 5.808755 10 0.009482 87.38928 4.675748 2.109291 5.825679 11 0.009484 87.37827 4.674545 2.110711 5.836478 12 0.009484 87.37022 4.674109 2.111746 5.843929 13 0.009485 87.36531 4.673865 2.112282 5.848544 14 0.009485 87.36219 4.673707 2.112685 5.851418 15 0.009485 87.36028 4.673618 2.112951 5.853156 16 0.009486 87.35919 4.673558 2.113096 5.854152 17 0.009486 87.35857 4.673520 2.113181 5.854725 18 0.009486 87.35821 4.673497 2.113230 5.855059 19 0.009486 87.35800 4.673483 2.113258 5.855254 20 0.009486 87.35788 4.673476 2.113274 5.855369 21 0.009486 87.35781 4.673471 2.113284 5.855437 22 0.009486 87.35776 4.673468 2.113290 5.855477 23 0.009486 87.35774 4.673467 2.113293 5.855501 24 0.009486 87.35772 4.673466 2.113295 5.855515 Variance Decomposition of GAP: Period S.E. DLNEER GAP DRFI DLCPI 1 0.049047 13.18581 86.81419 0.000000 0.000000 2 0.054907 22.46573 73.61112 0.004261 3.918893 3 0.057648 22.94185 69.69711 1.981409 5.379625 4 0.058210 23.06214 68.73383 2.477326 5.726696 5 0.058219 23.05924 68.71774 2.489585 5.733430 6 0.058249 23.04222 68.68308 2.487371 5.787330 7 0.058270 23.02699 68.64221 2.490924 5.839875 8 0.058285 23.01544 68.61163 2.501216 5.871715 9 0.058291 23.01417 68.59984 2.504030 5.881957 10 0.058293 23.01646 68.59422 2.504681 5.884636 11 0.058294 23.01832 68.59110 2.504918 5.885661 12 0.058295 23.01931 68.58954 2.504950 5.886195 13 0.058295 23.01975 68.58871 2.504965 5.886574 14 0.058296 23.01991 68.58821 2.504994 5.886880 15 0.058296 23.01998 68.58791 2.505017 5.887095 16 0.058296 23.02001 68.58772 2.505034 5.887229 17 0.058296 23.02004 68.58761 2.505046 5.887308 18 0.058296 23.02005 68.58754 2.505053 5.887353 19 0.058296 23.02006 68.58750 2.505056 5.887378 20 0.058296 23.02007 68.58748 2.505058 5.887392 21 0.058296 23.02007 68.58747 2.505059 5.887400 22 0.058296 23.02008 68.58746 2.505060 5.887405 23 0.058296 23.02008 68.58745 2.505060 5.887408 24 0.058296 23.02008 68.58745 2.505061 5.887410 Variance Decomposition of DRFI: Period S.E. DLNEER GAP DRFI DLCPI 1 0.000590 0.017840 1.434264 98.54790 0.000000 2 0.000614 0.025142 4.215851 91.02258 4.736431 3 0.000721 0.355962 7.169718 73.32620 19.14812 4 0.000734 0.482300 7.279361 70.89730 21.34104 5 0.000742 1.291805 7.256486 69.58798 21.86373 6 0.000747 1.852844 7.158591 68.86414 22.12443 7 0.000750 2.212101 7.119419 68.49651 22.17197 8 0.000751 2.425086 7.098820 68.28498 22.19111 9 0.000752 2.515071 7.087660 68.16555 22.23172 10 0.000752 2.557996 7.083127 68.09719 22.26168 11 0.000752 2.582503 7.079669 68.05642 22.28141 12 0.000752 2.596503 7.077804 68.03118 22.29451 13 0.000752 2.605164 7.076658 68.01632 22.30186 14 0.000752 2.610700 7.075867 68.00761 22.30583 15 0.000753 2.614063 7.075398 68.00245 22.30809 16 0.000753 2.616061 7.075128 67.99943 22.30938 17 0.000753 2.617239 7.074968 67.99766 22.31013 18 0.000753 2.617923 7.074875 67.99662 22.31058 19 0.000753 2.618322 7.074822 67.99600 22.31085 20 0.000753 2.618555 7.074790 67.99564 22.31101 21 0.000753 2.618693 7.074772 67.99543 22.31111 22 0.000753 2.618774 7.074761 67.99530 22.31117 23 0.000753 2.618822 7.074754 67.99523 22.31120 24 0.000753 2.618851 7.074750 67.99518 22.31122 Variance Decomposition of DLCPI: Period S.E. DLNEER GAP DRFI DLCPI 1 0.007108 8.022057 0.091626 6.409528 85.47679 2 0.007672 8.629053 0.729322 6.016537 84.62509 3 0.008894 7.591408 0.547355 11.16356 80.69768 4 0.009258 9.192462 0.773366 11.03533 78.99884 5 0.009445 11.14429 0.911422 10.69080 77.25348 6 0.009567 12.27104 0.888973 10.66634 76.17365 7 0.009627 12.79867 0.886291 10.59345 75.72159 8 0.009660 13.08044 0.882518 10.54605 75.49098 9 0.009682 13.20893 0.886064 10.53461 75.37040 10 0.009695 13.27351 0.891578 10.52807 75.30685 11 0.009703 13.31335 0.893510 10.52392 75.26922 12 0.009707 13.33772 0.894576 10.52254 75.24517 13 0.009710 13.35275 0.895205 10.52153 75.23051 14 0.009712 13.36213 0.895458 10.52075 75.22166 15 0.009713 13.36773 0.895604 10.52031 75.21635 16 0.009713 13.37100 0.895704 10.52004 75.21325 17 0.009714 13.37291 0.895764 10.51988 75.21145 18 0.009714 13.37402 0.895801 10.51978 75.21039 19 0.009714 13.37467 0.895825 10.51973 75.20977 20 0.009714 13.37506 0.895838 10.51970 75.20941 21 0.009714 13.37528 0.895846 10.51968 75.20919 22 0.009714 13.37542 0.895851 10.51967 75.20906 23 0.009714 13.37550 0.895853 10.51966 75.20899 24 0.009714 13.37554 0.895855 10.51966 75.20894 Cholesky Ordering: DLNEER GAP DRFI DLCPI PHỤ LỤC 12: KIỂM ĐỊNH TÍNH ỔN ĐỊNH CỦA TỪNG TRẠNG THÁI TRONG ƢỚC LƢỢNG TVAR VỚI NGƢỠNG LẠM PHÁT Trạng thái 1 Trạng thái 2 Trạng thái 3 PHỤ LỤC 13: KIỂM ĐỊNH TÍNH ỔN ĐỊNH CỦA TỪNG TRẠNG THÁI TRONG ƢỚC LƢỢNG TVAR VỚI NGƢỠNG THAY ĐỔI TỶ GIÁ Trạng thái 1 Trạng thái 2 Trạng thái 3

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