Luận án Quản lý nhà nước đối với thị trường vàng tại Việt Nam

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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Yu Shan Wang, Yen Ling Chueh (2013), “Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices”, Economic Modelling 30 (2013) 792–798. 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

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