Xây dựng dựng thị trường vàng hiệu quả, ổn định trên cơ sở
hoàn thiện cấu trúc và cơ sở hạ tầng vận hành. Đây là mục tiêu có tính chuẩn mực
đối với các thị trường vàng quốc tế, trong đó Việt Nam không phải là ngoại lệ. Ngoài
yêu cầu mục tiêu về hiệu quả, ổn định thì một yếu tố then chốt cần được nhấn mạnh
là tăng tính minh bạch đối với thị trường vàng. Nhằm đạt mục tiêu này thì kinh
nghiệm các nước trên thế giới là cần xây dựng một thị trường vàng tập trung, khi các
cơ quan QLNN sẽ là những nhà “hoạch định chính sách” đối với thị trường theo các
mục tiêu tổng thể của CSTT mà vẫn đảm bảo tôn trọng quy luật khách quan của thị
trường. Trong đó việc ban hành Nghị định 24/2012/NĐ-CP NHNN đã thể hiện rất rõ
quyết tâm việc kiểm soát thị trường vàng một cách ổn định trong đó NHNN đã đưa
ra các hàng rào chặt chẽ các quy định về hoạt động kinh doanh vàng miếng của các
đơn vị có đủ điều kiện kinh doanh, ngoài ra hoạt động đấu thầu vàng miếng của
NHNN cũng thể hiện tinh thần minh bạch hoạt động với các NHTM và các tổ chức
kinh doanh vàng bằng các phiên bán công khai, được công bố kết quả một cách rộng
rãi minh bạch. Việc hoàn thiện cấu trúc và cơ sở hạ tầng cũng cần được nhấn mạnh, đây
là điều kiện song hành và tương hỗ đối với tính hiệu quả, ổn định thị trường. Nếu một hệ
thống thị trường vận hành trơn tru và có kỷ luật thì các nguồn lực của thị trường sẽ được
khai thông và phát triển, tạo nền tảng cho sự ổn định và hiệu quả dài hạn.
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153
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28/12/2012 của NHNN về quy định Trạng thái vàng của các TCTD
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163
PHỤ LỤC 1: Mô tả các biến của mô hình nghiên cứu
INTEREST INTERGOLD FRES VCBXRATE VNCPI VNGOLD
Mean 7.650343 28.12334 16987.06 17842.33 63.10328 29.88777
Median 6.775000 30.73050 14945.50 16650.00 61.26000 34.42100
Maximum 13.99000 46.04200 37547.00 22820.00 104.9100 47.45000
Minimum 3.650000 6.840000 2895.000 14041.00 33.00000 7.683000
Std. Dev. 2.620491 10.93611 10879.30 2702.945 26.07157 11.77395
Skewness 0.839004 -0.272165 0.433702 0.331614 0.310500 -0.353698
Kurtosis 2.573700 1.897243 1.997104 1.504494 1.486269 1.828607
Jarque-Bera 25.47827 8.318029 14.06551 22.74947 22.75469 10.29914
Probability 0.000003 0.015623 0.000882 0.000011 0.000011 0.005802
Sum 1560.670 3712.281 3261516. 3639836. 12873.07 3945.185
Sum Sq. Dev. 1393.996 15667.40 2.26E+10 1.48E+09 137984.5 18160.00
Observations 204 132 192 204 204 132
164
PHỤ LỤC 2: Kiểm định phần dư của mô hình
1. Kiểm định tính dừng của phần dư 1:
Null Hypothesis: D(INTEREST) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -14.14347 0.0000
Test critical values: 1% level
-3.462737
5% level
-2.875680
10% level
-2.574385
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INTEREST,2)
Method: Least Squares
Date: 01/14/18 Time: 20:09
Sample (adjusted): 2000M03 2016M12
Included observations: 202 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(INTEREST(-1)) -1.000094 0.070711 -14.14347 0.0000
C 0.006882 0.050096 0.137373 0.8909
R-squared 0.500047 Mean dependent var 8.30E-18
Adjusted R-squared 0.497547 S.D. dependent var 1.004411
S.E. of regression 0.711965 Akaike info criterion 2.168277
Sum squared resid 101.3789 Schwarz criterion 2.201032
Log likelihood -216.9959 Hannan-Quinn criter. 2.181529
F-statistic 200.0377 Durbin-Watson stat 2.000000
Prob(F-statistic) 0.000000
165
2. Kiểm định tính dừng của phần dư 2:
Null Hypothesis: D(INTERGOLD) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -13.72991 0.0000
Test critical values: 1% level
-3.481217
5% level
-2.883753
10% level
-2.578694
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(INTERGOLD,2)
Method: Least Squares
Date: 01/14/18 Time: 17:38
Sample (adjusted): 2006M03 2016M12
Included observations: 130 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(INTERGOLD(-1)) -1.190950 0.086741 -13.72991 0.0000
C 0.195963 0.173664 1.128405 0.2613
R-squared 0.595590 Mean dependent var -0.004877
Adjusted R-squared 0.592430 S.D. dependent var 3.090535
S.E. of regression 1.973034 Akaike info criterion 4.212287
Sum squared resid 498.2865 Schwarz criterion 4.256403
Log likelihood -271.7987 Hannan-Quinn criter. 4.230213
F-statistic 188.5104 Durbin-Watson stat 2.026110
Prob(F-statistic) 0.000000
166
3. Kiểm định tính dừng của phần dư 3:
Null Hypothesis: D(FRES) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -8.668593 0.0000
Test critical values: 1% level
-3.464827
5% level
-2.876595
10% level
-2.574874
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(FRES,2)
Method: Least Squares
Date: 01/14/18 Time: 17:39
Sample (adjusted): 2001M03 2016M12
Included observations: 190 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(FRES(-1)) -0.571173 0.065890 -8.668593 0.0000
C 99.33579 65.33263 1.520462 0.1301
R-squared 0.285564 Mean dependent var -0.294737
Adjusted R-squared 0.281763 S.D. dependent var 1046.036
S.E. of regression 886.5038 Akaike info criterion 16.42292
Sum squared resid 1.48E+08 Schwarz criterion 16.45710
Log likelihood -1558.177 Hannan-Quinn criter. 16.43676
F-statistic 75.14450 Durbin-Watson stat 1.991343
Prob(F-statistic) 0.000000
167
4. Kiểm định tính dừng của phần dư 4:
Null Hypothesis: D(VCBXRATE) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -16.84041 0.0000
Test critical values: 1% level
-3.462737
5% level
-2.875680
10% level
-2.574385
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(VCBXRATE,2)
Method: Least Squares
Date: 01/14/18 Time: 17:40
Sample (adjusted): 2000M03 2016M12
Included observations: 202 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(VCBXRATE(-1)) -1.172930 0.069650 -16.84041 0.0000
C 50.89182 15.65548 3.250736 0.0014
R-squared 0.586435 Mean dependent var -0.084158
Adjusted R-squared 0.584367 S.D. dependent var 338.6205
S.E. of regression 218.3073 Akaike info criterion 13.61954
Sum squared resid 9531620. Schwarz criterion 13.65229
Log likelihood -1373.573 Hannan-Quinn criter. 13.63279
F-statistic 283.5994 Durbin-Watson stat 2.014610
Prob(F-statistic) 0.000000
168
5. Kiểm định tính dừng của phần dư 5:
Null Hypothesis: D(VNCPI) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -6.310424 0.0000
Test critical values: 1% level
-3.462737
5% level
-2.875680
10% level
-2.574385
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(VNCPI,2)
Method: Least Squares
Date: 01/14/18 Time: 17:40
Sample (adjusted): 2000M03 2016M12
Included observations: 202 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(VNCPI(-1)) -0.331901 0.052596 -6.310424 0.0000
C 0.115173 0.032464 3.547687 0.0005
R-squared 0.166046 Mean dependent var -0.001436
Adjusted R-squared 0.161876 S.D. dependent var 0.414385
S.E. of regression 0.379366 Akaike info criterion 0.909219
Sum squared resid 28.78365 Schwarz criterion 0.941974
Log likelihood -89.83111 Hannan-Quinn criter. 0.922472
F-statistic 39.82145 Durbin-Watson stat 2.015782
Prob(F-statistic) 0.000000
169
6. Kiểm định tính dừng của phần dư 6:
Null Hypothesis: D(VNGOLD) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -12.71408 0.0000
Test critical values: 1% level
-3.481217
5% level
-2.883753
10% level
-2.578694
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(VNGOLD,2)
Method: Least Squares
Date: 01/14/18 Time: 17:41
Sample (adjusted): 2006M03 2016M12
Included observations: 130 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(VNGOLD(-1)) -1.116206 0.087793 -12.71408 0.0000
C 0.215723 0.166805 1.293267 0.1982
R-squared 0.558084 Mean dependent var -0.002169
Adjusted R-squared 0.554631 S.D. dependent var 2.834754
S.E. of regression 1.891800 Akaike info criterion 4.128199
Sum squared resid 458.1000 Schwarz criterion 4.172315
Log likelihood -266.3330 Hannan-Quinn criter. 4.146125
F-statistic 161.6477 Durbin-Watson stat 2.005013
Prob(F-statistic) 0.000000
170
PHỤ LỤC 3: Kết quả hàm phản ứng đẩy (Impulse-Response)
Giai đoạn 1
Response
of DLOG
(VNCPI):
Period
DLOG
(VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOLD)
DLOG
(VCBXRATE)
DLOG
(FRES)
DLOG
(INTEREST)
1 0.007262 0.000000 0.000000 0.000000 0.000000 0.000000
(0.00060) (0.00000) (0.00000) (0.00000) (0.00000) (0.00000)
2 0.004771 0.000654 -0.001115 -0.000190 -0.000281 0.000903
(0.00080) (0.00090) (0.00087) (0.00083) (0.00071) (0.00086)
3 0.003324 0.000544 -0.000655 -0.000211 -0.000651 0.000382
(0.00092) (0.00061) (0.00060) (0.00051) (0.00092) (0.00058)
4 0.002194 0.000275 -0.000402 -0.000108 -0.000709 0.000281
(0.00092) (0.00044) (0.00044) (0.00035) (0.00090) (0.00039)
5 0.001420 0.000154 -0.000232 -6.80E-05 -0.000634 0.000192
(0.00083) (0.00031) (0.00031) (0.00025) (0.00078) (0.00028)
6 0.000900 7.89E-05 -0.000129 -4.09E-05 -0.000512 0.000126
(0.00070) (0.00023) (0.00023) (0.00017) (0.00062) (0.00020)
7 0.000558 3.69E-05 -6.81E-05 -2.37E-05 -0.000389 8.17E-05
(0.00056) (0.00016) (0.00017) (0.00012) (0.00047) (0.00014)
8 0.000338 1.44E-05 -3.36E-05 -1.33E-05 -0.000283 5.17E-05
(0.00044) (0.00011) (0.00012) (7.9E-05) (0.00034) (9.5E-05)
9 0.000199 3.16E-06 -1.46E-05 -7.14E-06 -0.000199 3.20E-05
(0.00033) (7.9E-05) (8.6E-05) (5.3E-05) (0.00025) (6.5E-05)
10 0.000114 -1.92E-06 -4.69E-06 -3.59E-06 -0.000136 1.93E-05
(0.00025) (5.5E-05) (6.0E-05) (3.5E-05) (0.00017) (4.5E-05)
171
Response
of DLOG
(VNGOLD):
Period DLOG (VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOLD)
DLOG
(VCBXRATE)
DLOG
(FRES)
DLOG
(INTEREST)
1 -0.000594 0.077391 0.000000 0.000000 0.000000 0.000000
(0.00900) (0.00636) (0.00000) (0.00000) (0.00000) (0.00000)
2 -0.004820 -0.004371 -0.004931 -0.003850 -0.008260 0.002034
(0.00733) (0.00945) (0.00925) (0.00887) (0.00754) (0.00914)
3 -0.002920 -0.000660 0.002800 0.000794 -0.005092 -0.002323
(0.00470) (0.00242) (0.00261) (0.00239) (0.00473) (0.00321)
4 -0.003292 -0.001352 0.000865 0.000347 -0.002506 0.000290
(0.00323) (0.00125) (0.00133) (0.00088) (0.00292) (0.00127)
5 -0.002377 -0.000537 0.000806 0.000121 -0.001188 -0.000297
(0.00227) (0.00078) (0.00082) (0.00046) (0.00184) (0.00057)
6 -0.001778 -0.000415 0.000485 0.000119 -0.000448 -0.000176
(0.00163) (0.00046) (0.00051) (0.00029) (0.00125) (0.00037)
7 -0.001263 -0.000243 0.000312 7.46E-05 -8.41E-05 -0.000141
(0.00118) (0.00032) (0.00034) (0.00020) (0.00088) (0.00026)
8 -0.000873 -0.000146 0.000193 4.87E-05 7.75E-05 -0.000103
(0.00086) (0.00021) (0.00024) (0.00014) (0.00064) (0.00018)
9 -0.000588 -8.51E-05 0.000117 3.11E-05 0.000133 -7.34E-05
(0.00062) (0.00015) (0.00016) (9.7E-05) (0.00046) (0.00013)
10 -0.000387 -4.79E-05 6.90E-05 1.94E-05 0.000136 -5.05E-05
(0.00045) (0.00010) (0.00011) (6.8E-05) (0.00034) (9.0E-05)
172
Response of
DLOG
(INTERGOL
D):
Period
DLOG
(VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOLD)
DLOG
(VCBXRATE)
DLOG
(FRES)
DLOG
(INTEREST)
1 -0.001621 0.060561 0.036569 0.000000 0.000000 0.000000
(0.00823) (0.00655) (0.00301) (0.00000) (0.00000) (0.00000)
2 -0.003789 -0.005077 -0.005840 -0.003785 0.000659 0.004883
(0.00669) (0.00863) (0.00843) (0.00808) (0.00689) (0.00836)
3 -0.000231 0.001068 0.001621 0.000291 0.000287 -0.002539
(0.00397) (0.00215) (0.00232) (0.00223) (0.00398) (0.00299)
4 -0.000908 -0.000499 -0.000189 0.000173 0.000430 0.000442
(0.00275) (0.00088) (0.00099) (0.00055) (0.00245) (0.00108)
5 -0.000417 7.22E-05 0.000106 -2.52E-05 0.000288 -0.000138
(0.00187) (0.00050) (0.00054) (0.00019) (0.00144) (0.00038)
6 -0.000272 -3.00E-05 2.14E-05 1.71E-05 0.000218 -3.51E-05
(0.00129) (0.00027) (0.00033) (9.6E-05) (0.00089) (0.00019)
7 -0.000160 -1.77E-06 1.38E-05 5.63E-06 0.000154 -2.57E-05
(0.00088) (0.00017) (0.00021) (6.2E-05) (0.00056) (0.00012)
8 -9.27E-05 5.82E-07 4.42E-06 2.96E-06 0.000106 -1.53E-05
(0.00059) (0.00010) (0.00013) (4.1E-05) (0.00036) (8.0E-05)
9 -5.15E-05 2.49E-06 5.91E-07 1.41E-06 7.11E-05 -9.21E-06
(0.00040) (6.5E-05) (8.2E-05) (2.6E-05) (0.00024) (5.4E-05)
10 -2.73E-05 2.80E-06 -1.18E-06 5.48E-07 4.67E-05 -5.25E-06
(0.00026) (4.0E-05) (5.1E-05) (1.7E-05) (0.00017) (3.6E-05)
173
Response of
DLOG(VCB
XRATE):
Period
DLOG
(VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOLD)
DLOG
(VCBXRATE)
DLOG
(FRES)
DLOG
(INTEREST)
1 0.002977 0.002058 0.004919 0.016012 0.000000 0.000000
(0.00198) (0.00195) (0.00190) (0.00132) (0.00000) (0.00000)
2 -0.000666 -0.000310 -0.002872 -0.001923 -0.001324 0.004972
(0.00175) (0.00220) (0.00214) (0.00205) (0.00176) (0.00206)
3 0.001065 0.000690 0.000669 -0.000250 -0.001246 -0.001271
(0.00105) (0.00090) (0.00091) (0.00089) (0.00104) (0.00101)
4 0.000188 -0.000316 -5.71E-05 0.000122 -0.000701 0.000260
(0.00068) (0.00037) (0.00039) (0.00034) (0.00061) (0.00044)
5 0.000101 -1.46E-05 6.48E-05 -1.48E-05 -0.000448 1.97E-05
(0.00049) (0.00017) (0.00017) (0.00012) (0.00040) (0.00017)
6 1.62E-05 -4.64E-05 3.86E-05 5.85E-06 -0.000271 1.35E-05
(0.00035) (9.4E-05) (0.00010) (5.8E-05) (0.00027) (7.5E-05)
7 -1.93E-05 -2.99E-05 3.08E-05 4.90E-06 -0.000160 5.17E-06
(0.00025) (5.9E-05) (6.7E-05) (3.6E-05) (0.00018) (4.5E-05)
8 -3.10E-05 -2.09E-05 2.21E-05 3.76E-06 -9.13E-05 7.53E-07
(0.00018) (3.8E-05) (4.4E-05) (2.2E-05) (0.00012) (2.9E-05)
9 -3.13E-05 -1.41E-05 1.56E-05 2.92E-06 -5.02E-05 -1.30E-06
(0.00012) (2.5E-05) (2.9E-05) (1.3E-05) (8.4E-05) (2.0E-05)
10 -2.70E-05 -9.30E-06 1.06E-05 2.14E-06 -2.62E-05 -1.88E-06
(8.6E-05) (1.6E-05) (1.9E-05) (8.3E-06) (5.7E-05) (1.3E-05)
174
Response
of DLOG
(FRES):
Period
DLOG
(VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOLD)
DLOG
(VCBXRATE)
DLOG
(FRES)
DLOG
(INTEREST)
1 -0.007728 0.006767 -2.00E-05 -0.002572 0.045291 0.000000
(0.00537) (0.00530) (0.00527) (0.00527) (0.00372) (0.00000)
2 0.001014 0.004704 -0.004509 -0.000876 0.028383 -0.001509
(0.00550) (0.00656) (0.00644) (0.00624) (0.00508) (0.00549)
3 0.003819 0.003401 -0.003573 -0.000528 0.016597 -0.000311
(0.00568) (0.00401) (0.00398) (0.00345) (0.00575) (0.00338)
4 0.004460 0.002369 -0.002572 -0.000469 0.009314 9.63E-05
(0.00526) (0.00250) (0.00248) (0.00199) (0.00519) (0.00196)
5 0.004092 0.001580 -0.001776 -0.000348 0.004991 0.000234
(0.00446) (0.00159) (0.00161) (0.00122) (0.00414) (0.00131)
6 0.003353 0.001028 -0.001198 -0.000249 0.002505 0.000268
(0.00357) (0.00107) (0.00110) (0.00075) (0.00308) (0.00088)
7 0.002571 0.000657 -0.000790 -0.000174 0.001127 0.000242
(0.00275) (0.00073) (0.00078) (0.00048) (0.00221) (0.00060)
8 0.001883 0.000410 -0.000509 -0.000118 0.000400 0.000197
(0.00206) (0.00051) (0.00055) (0.00032) (0.00156) (0.00042)
9 0.001332 0.000250 -0.000321 -7.80E-05 4.50E-05 0.000150
(0.00151) (0.00036) (0.00039) (0.00022) (0.00109) (0.00030)
10 0.000915 0.000149 -0.000198 -5.06E-05 -0.000107 0.000110
(0.00109) (0.00025) (0.00028) (0.00015) (0.00077) (0.00021)
175
Response of
DLOG
(INTEREST):
Period
DLOG
(VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOLD)
DLOG
(VCBXRATE)
DLOG
(FRES)
DLOG
(INTEREST)
1 -0.003410 0.026293 0.005551 -0.010674 -0.007997 0.098137
(0.01193) (0.01173) (0.01152) (0.01148) (0.01143) (0.00807)
2 0.024823 0.011903 0.000320 -0.011368 -0.008283 -0.010224
(0.01007) (0.01262) (0.01234) (0.01183) (0.01006) (0.01215)
3 0.013478 -0.000848 -0.002118 0.001269 -0.005700 0.001424
(0.00681) (0.00464) (0.00477) (0.00448) (0.00683) (0.00539)
4 0.008294 0.000823 -0.001352 -0.000431 -0.004624 0.001666
(0.00518) (0.00223) (0.00233) (0.00167) (0.00488) (0.00226)
5 0.005298 0.000430 -0.000632 -0.000274 -0.003578 0.000683
(0.00417) (0.00145) (0.00148) (0.00106) (0.00370) (0.00121)
6 0.003202 0.000134 -0.000333 -0.000118 -0.002612 0.000489
(0.00330) (0.00099) (0.00104) (0.00073) (0.00278) (0.00083)
7 0.001897 3.96E-05 -0.000147 -6.96E-05 -0.001846 0.000303
(0.00255) (0.00069) (0.00073) (0.00048) (0.00204) (0.00056)
8 0.001091 -1.22E-05 -5.07E-05 -3.53E-05 -0.001269 0.000183
(0.00193) (0.00047) (0.00051) (0.00032) (0.00147) (0.00038)
9 0.000604 -3.15E-05 -4.07E-06 -1.61E-05 -0.000850 0.000108
(0.00143) (0.00032) (0.00036) (0.00021) (0.00103) (0.00026)
10 0.000318 -3.48E-05 1.57E-05 -6.11E-06 -0.000557 6.20E-05
(0.00103) (0.00022) (0.00025) (0.00013) (0.00072) (0.00018)
Cholesky
Ordering:
DLOG
(VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOL
D) DLOG
(VCBXRAT
E) DLOG
(FRES)
DLOG
(INTEREST)
Standard
Errors:
Analytic
176
Giai đoạn 2
Response
of DLOG
(VNCPI):
Period
DLOG
(VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOLD)
DLOG
(VCBXRATE)
DLOG
(FRES)
DLOG
(INTEREST)
1 0.003645 0.000000 0.000000 0.000000 0.000000 0.000000
(0.00034) (0.00000) (0.00000) (0.00000) (0.00000) (0.00000)
2 0.001946 0.001741 0.000260 -0.000317 0.001192 -0.000255
(0.00057) (0.00055) (0.00053) (0.00053) (0.00053) (0.00024)
3 0.000706 0.000367 0.000134 -0.000238 0.000718 5.74E-05
(0.00054) (0.00042) (0.00036) (0.00041) (0.00054) (0.00017)
4 0.000327 0.000238 3.58E-05 -8.91E-05 0.000395 -3.64E-06
(0.00037) (0.00023) (0.00012) (0.00017) (0.00035) (6.2E-05)
5 0.000136 8.75E-05 2.50E-05 -4.65E-05 0.000189 7.07E-06
(0.00022) (0.00013) (7.5E-05) (9.6E-05) (0.00022) (3.4E-05)
6 6.07E-05 4.06E-05 8.16E-06 -1.99E-05 8.75E-05 2.20E-06
(0.00013) (7.6E-05) (3.2E-05) (4.8E-05) (0.00013) (1.5E-05)
7 2.66E-05 1.79E-05 4.36E-06 -9.11E-06 3.98E-05 1.21E-06
(7.0E-05) (4.1E-05) (1.7E-05) (2.5E-05) (7.4E-05) (7.0E-06)
8 1.18E-05 7.79E-06 1.77E-06 -4.06E-06 1.79E-05 5.63E-07
(3.7E-05) (2.2E-05) (7.9E-06) (1.3E-05) (4.1E-05) (3.1E-06)
9 5.23E-06 3.51E-06 8.15E-07 -1.80E-06 8.00E-06 2.44E-07
(1.9E-05) (1.1E-05) (3.8E-06) (6.3E-06) (2.2E-05) (1.4E-06)
10 2.32E-06 1.54E-06 3.58E-07 -8.05E-07 3.57E-06 1.14E-07
(9.6E-06) (5.8E-06) (1.9E-06) (3.2E-06) (1.1E-05) (6.6E-07)
177
Response of
DLOG
(VNGOLD):
Period
DLOG
(VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOLD)
DLOG
(VCBXRATE)
DLOG
(FRES)
DLOG
(INTEREST)
1 0.013311 0.046974 0.000000 0.000000 0.000000 0.000000
(0.00640) (0.00444) (0.00000) (0.00000) (0.00000) (0.00000)
2 -0.007122 -0.010283 0.002008 -0.000856 -0.002567 0.002211
(0.00630) (0.00670) (0.00670) (0.00681) (0.00687) (0.00318)
3 -0.001079 2.83E-05 -0.001207 0.000842 -0.001452 -0.000474
(0.00264) (0.00422) (0.00309) (0.00207) (0.00220) (0.00140)
4 -0.000755 -0.000530 0.000170 0.000137 -0.000801 5.39E-05
(0.00071) (0.00106) (0.00075) (0.00047) (0.00093) (0.00037)
5 -0.000293 -0.000225 -0.000109 0.000102 -0.000411 -1.21E-05
(0.00038) (0.00042) (0.00025) (0.00020) (0.00046) (0.00013)
6 -0.000126 -6.92E-05 -7.25E-06 4.43E-05 -0.000182 -8.47E-06
(0.00021) (0.00016) (7.6E-05) (9.7E-05) (0.00024) (4.4E-05)
7 -5.85E-05 -4.39E-05 -1.07E-05 1.85E-05 -8.61E-05 -9.80E-07
(0.00012) (7.3E-05) (3.1E-05) (4.5E-05) (0.00013) (1.7E-05)
8 -2.47E-05 -1.52E-05 -3.78E-06 9.00E-06 -3.79E-05 -1.69E-06
(6.3E-05) (3.8E-05) (1.7E-05) (2.3E-05) (6.9E-05) (7.0E-06)
9 -1.13E-05 -7.84E-06 -1.66E-06 3.76E-06 -1.72E-05 -3.96E-07
(3.3E-05) (2.0E-05) (7.1E-06) (1.1E-05) (3.7E-05) (3.0E-06)
10 -4.93E-06 -3.23E-06 -8.00E-07 1.74E-06 -7.61E-06 -2.71E-07
(1.7E-05) (1.0E-05) (3.7E-06) (5.8E-06) (2.0E-05) (1.4E-06)
178
Response
of DLOGb
(INTERGO
LD):
Period
DLOG
(VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOLD)
DLOG
(VCBXRATE)
DLOG
(FRES)
DLOG
(INTEREST)
1 0.009505 0.037567 0.037985 0.000000 0.000000 0.000000
(0.00720) (0.00619) (0.00359) (0.00000) (0.00000) (0.00000)
2 -0.002739 -0.012870 -0.006238 -0.001342 -0.004365 0.002351
(0.00707) (0.00752) (0.00748) (0.00759) (0.00765) (0.00353)
3 0.001257 0.003995 0.000695 0.000725 0.000335 -0.001107
(0.00298) (0.00477) (0.00353) (0.00241) (0.00247) (0.00160)
4 -0.000267 -0.000953 5.97E-05 -0.000219 -0.000238 0.000310
(0.00097) (0.00149) (0.00136) (0.00083) (0.00107) (0.00062)
5 9.19E-05 0.000223 -6.14E-05 5.80E-05 1.82E-05 -8.11E-05
(0.00046) (0.00066) (0.00039) (0.00021) (0.00053) (0.00020)
6 -1.02E-05 -3.40E-05 2.58E-05 -1.40E-05 -3.75E-06 1.62E-05
(0.00017) (0.00021) (0.00012) (8.3E-05) (0.00024) (6.7E-05)
7 4.90E-06 5.96E-06 -7.15E-06 1.96E-06 1.38E-06 -2.84E-06
(7.8E-05) (7.4E-05) (2.5E-05) (2.7E-05) (0.00011) (1.9E-05)
8 6.69E-07 8.24E-07 2.01E-06 -5.87E-07 1.16E-06 2.81E-07
(3.4E-05) (2.9E-05) (9.1E-06) (1.2E-05) (5.0E-05) (5.6E-06)
9 3.56E-07 -9.07E-08 -3.42E-07 -1.18E-07 3.87E-07 5.01E-08
(1.5E-05) (9.9E-06) (2.6E-06) (5.3E-06) (2.2E-05) (1.7E-06)
10 2.04E-07 2.60E-07 9.59E-08 -3.82E-08 2.68E-07 -2.79E-08
(6.6E-06) (4.7E-06) (1.1E-06) (2.2E-06) (1.0E-05) (4.2E-07)
179
Response
of DLOG
(VCBXRA
TE):
Period
DLOG
(VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOLD)
DLOG
(VCBXRATE)
DLOG
(FRES)
DLOG
(INTEREST)
1 0.000111 8.71E-05 -0.000313 0.005736 0.000000 0.000000
(0.00077) (0.00077) (0.00077) (0.00054) (0.00000) (0.00000)
2 -0.001004 -0.000988 0.000211 -0.000134 -0.000500 -0.000222
(0.00074) (0.00079) (0.00079) (0.00080) (0.00081) (0.00037)
3 -0.000145 -0.000118 -0.000148 8.82E-05 -0.000331 2.78E-05
(0.00042) (0.00044) (0.00029) (0.00023) (0.00038) (0.00014)
4 -9.01E-05 -3.17E-05 1.45E-05 3.22E-05 -0.000122 -1.47E-05
(0.00019) (0.00015) (8.1E-05) (7.8E-05) (0.00019) (4.0E-05)
5 -4.25E-05 -3.92E-05 -1.11E-05 1.18E-05 -6.32E-05 2.02E-06
(9.7E-05) (6.5E-05) (2.6E-05) (3.4E-05) (0.00010) (1.3E-05)
6 -1.66E-05 -7.94E-06 -2.28E-06 6.85E-06 -2.62E-05 -2.06E-06
(5.1E-05) (3.2E-05) (1.3E-05) (1.9E-05) (5.7E-05) (5.9E-06)
7 -8.14E-06 -6.19E-06 -1.11E-06 2.48E-06 -1.22E-05 -4.48E-08
(2.6E-05) (1.6E-05) (5.1E-06) (8.7E-06) (3.0E-05) (2.1E-06)
8 -3.40E-06 -2.12E-06 -6.09E-07 1.27E-06 -5.33E-06 -2.48E-07
(1.3E-05) (8.0E-06) (2.8E-06) (4.5E-06) (1.5E-05) (1.1E-06)
9 -1.56E-06 -1.06E-06 -2.12E-07 5.24E-07 -2.39E-06 -5.95E-08
(6.6E-06) (4.0E-06) (1.2E-06) (2.2E-06) (7.9E-06) (4.4E-07)
10 -6.83E-07 -4.54E-07 -1.14E-07 2.41E-07 -1.06E-06 -3.61E-08
(3.3E-06) (2.0E-06) (6.1E-07) (1.1E-06) (4.0E-06) (2.1E-07)
180
Response
of DLOG
(FRES):
Period
DLOG
(VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOLD)
DLOG
(VCBXRATE)
DLOG
(FRES)
DLOG
(INTEREST)
1 0.006769 0.000560 0.004534 -0.004659 0.045987 0.000000
(0.00624) (0.00621) (0.00619) (0.00616) (0.00435) (0.00000)
2 0.006206 0.003736 0.000121 -0.002966 0.015166 0.000935
(0.00626) (0.00669) (0.00675) (0.00685) (0.00675) (0.00305)
3 0.002943 0.002224 0.000650 -0.001167 0.006026 0.000185
(0.00491) (0.00321) (0.00157) (0.00244) (0.00465) (0.00091)
4 0.001308 0.000793 0.000186 -0.000527 0.002401 0.000121
(0.00292) (0.00169) (0.00093) (0.00121) (0.00281) (0.00043)
5 0.000612 0.000430 9.52E-05 -0.000216 0.001026 2.78E-05
(0.00163) (0.00096) (0.00038) (0.00058) (0.00164) (0.00017)
6 0.000269 0.000175 4.36E-05 -9.87E-05 0.000440 1.71E-05
(0.00086) (0.00051) (0.00019) (0.00030) (0.00092) (7.9E-05)
7 0.000122 8.21E-05 1.82E-05 -4.25E-05 0.000193 5.85E-06
(0.00044) (0.00027) (9.0E-05) (0.00015) (0.00050) (3.4E-05)
8 5.39E-05 3.59E-05 8.57E-06 -1.90E-05 8.48E-05 2.84E-06
(0.00022) (0.00014) (4.4E-05) (7.4E-05) (0.00026) (1.6E-05)
9 2.41E-05 1.60E-05 3.67E-06 -8.39E-06 3.75E-05 1.19E-06
(0.00011) (6.8E-05) (2.1E-05) (3.7E-05) (0.00013) (7.1E-06)
10 1.07E-05 7.14E-06 1.67E-06 -3.73E-06 1.66E-05 5.30E-07
(5.5E-05) (3.4E-05) (1.0E-05) (1.8E-05) (6.8E-05) (3.3E-06)
181
Response of
DLOG
(INTEREST):
Period
DLOG
(VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOLD)
DLOG
(VCBXRATE)
DLOG
(FRES)
DLOG
(INTEREST)
1 0.009118 0.000612 0.003976 0.001703 -0.000136 0.028016
(0.00389) (0.00379) (0.00377) (0.00375) (0.00374) (0.00265)
2 -0.003415 0.001718 -0.000104 0.001323 0.003771 -0.004161
(0.00381) (0.00411) (0.00415) (0.00422) (0.00424) (0.00197)
3 -0.001248 -0.002191 -9.84E-05 -0.000247 -0.000627 0.000923
(0.00180) (0.00242) (0.00165) (0.00111) (0.00150) (0.00076)
4 -0.000258 0.000176 -0.000133 0.000208 -0.000190 -0.000184
(0.00062) (0.00075) (0.00061) (0.00046) (0.00072) (0.00028)
5 -0.000193 -0.000199 1.49E-05 1.68E-05 -0.000185 3.88E-05
(0.00029) (0.00031) (0.00015) (0.00010) (0.00034) (8.3E-05)
6 -6.15E-05 -2.99E-05 -2.36E-05 2.75E-05 -8.58E-05 -9.75E-06
(0.00013) (0.00011) (7.0E-05) (6.5E-05) (0.00017) (3.5E-05)
7 -3.09E-05 -2.13E-05 -8.27E-07 8.70E-06 -4.15E-05 7.82E-08
(6.6E-05) (4.8E-05) (1.5E-05) (2.4E-05) (8.1E-05) (1.0E-05)
8 -1.30E-05 -8.98E-06 -2.90E-06 4.53E-06 -1.93E-05 -6.41E-07
(3.3E-05) (2.1E-05) (9.1E-06) (1.3E-05) (4.0E-05) (4.3E-06)
9 -5.74E-06 -3.65E-06 -7.07E-07 1.98E-06 -8.62E-06 -2.95E-07
(1.7E-05) (1.0E-05) (3.6E-06) (6.1E-06) (2.0E-05) (1.6E-06)
10 -2.57E-06 -1.78E-06 -4.24E-07 8.70E-07 -3.91E-06 -1.02E-07
(8.6E-06) (5.3E-06) (1.8E-06) (2.9E-06) (1.0E-05) (7.2E-07)
Cholesky
Ordering:
DLOG
(VNCPI)
DLOG
(VNGOLD)
DLOG
(INTERGOL
D) DLOG
(VCBXRAT
E) DLOG
(FRES)
DLOG
(INTEREST)
Standard
Errors:
Analytic