Luận án Tác động của tỷ giá nhân dân tệ và đô la mỹ đến các yếu tố kinh tế vĩ mô Việt Nam

uất bản Tài chính – ISBN: 978-604-79-1435-7 Trang 163 4. Các bài tham luận hội thảo TT Tên bài tham luận Năm công bố Trách nhiệm tham gia Hội thảo 1 Chính sách tài khóa và chính sách tiền tệ của Việt Nam giai đoạn 2011 -2015 2015 Tác giả Hội thảo khoa học Khoa Tài chính – Ngân hàng – Trường ĐH Tài chính - Marketing 2 Tái cấu trúc doanh nghiệp Việt Nam giai đoạn 2015-2020 2015 Tác giả Hội thảo khoa học Khoa Tài chính – Ngân hàng – Trường ĐH Tài chính - Marketing 3 Phát triển các công cụ phái sinh trên thị trường chứng khoán việt nam 2015 Tác giả Hội thảo khoa học Khoa Tài chính – Ngân hàng – Trường ĐH Tài chính - Marketing 4 Năng lực cạnh tranh của các ngân hàng thương mại việt nam sau tái cơ cấu 2015 Tác giả Hội thảo khoa học Khoa Tài chính – Ngân hàng – Trường ĐH Tài chính - Marketing 5 Sử dụng giao dịch hoán đổi tiền tệ chéo để quản trị rủi ro cho các khoản vay của doanh nghiệp Việt Nam 2016 Đồng Tác giả Hội thảo khoa học Khoa Tài chính – Ngân hàng – Trường ĐH Tài chính - Marketing 6 Áp dụng hiệp ước quốc tế về an toàn vốn trong hoạt động ngân hàng theo Basel tại Việt Nam 2016 Đồng Tác giả Hội thảo khoa học Khoa Tài chính – Ngân hàng – Trường ĐH Tài chính - Marketing Trang 164 7 Phát triển thị trường chứng khoán phái sinh việt nam 2016 Tác giả Hội thảo khoa học Khoa Tài chính – Ngân hàng – Trường ĐH Tài chính - Marketing 8 Cấu trúc sở hữu chéo của các ngân hàng ở Việt Nam- Thực trạng và vấn đề chính sách 2017 Tác giả Hội thảo khoa học Khoa Tài chính – Ngân hàng – Trường ĐH Tài chính - Marketing 9 Hợp đồng quyền chọn tín dụng – Một phương thức bảo đảm tín dụng Đồng Tác giả Hội thảo khoa học Khoa Tài chính – Ngân hàng – Trường ĐH Tài chính - Marketing Trang 165 PHỤ LỤC PHỤ LỤC 1: KIỂM ĐỊNH TÍNH DỪNG CỦA CHUỖI THỜI GIAN PHỤ LỤC 1.1: KIỂM ĐỊNH TÍNH DỪNG CỦA CHUỖI LNRUSDVND00 Augmented Dickey-Fuller Unit Root Test on LNRUSDVND Null Hypothesis: LNRUSDVND has a unit root Exogenous: Constant Lag Length: 1 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.695152 0.8405 Test critical values: 1% level -3.531592 5% level -2.905519 10% level -2.590262 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNRUSDVND) Method: Least Squares Date: 08/15/17 Time: 14:44 Sample (adjusted): 2000Q3 2017Q1 Included observations: 67 after adjustments Variable Coefficient Std. Error t-Statistic Prob. LNRUSDVND(-1) -0.007807 0.011231 -0.695152 0.4895 D(LNRUSDVND(-1)) 0.473828 0.112470 4.212915 0.0001 C 0.074773 0.111376 0.671354 0.5044 R-squared 0.217169 Mean dependent var -0.004952 Adjusted R-squared 0.192705 S.D. dependent var 0.017966 S.E. of regression 0.016142 Akaike info criterion -5.371037 Sum squared resid 0.016676 Schwarz criterion -5.272319 Log likelihood 182.9297 Hannan-Quinn criter. -5.331974 F-statistic 8.877259 Durbin-Watson stat 2.037618 Prob(F-statistic) 0.000396 Trang 166 Augmented Dickey-Fuller Unit Root Test on D(LNRUSDVND00) Null Hypothesis: D(LNRUSDVND00) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.852368 0.0002 Test critical values: 1% level -3.531592 5% level -2.905519 10% level -2.590262 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNRUSDVND00,2) Method: Least Squares Date: 08/15/17 Time: 14:45 Sample (adjusted): 2000Q3 2017Q1 Included observations: 67 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNRUSDVND00(-1)) -0.537667 0.110805 -4.852368 0.0000 C -0.002637 0.002041 -1.292206 0.2009 R-squared 0.265914 Mean dependent var 5.40E-05 Adjusted R-squared 0.254620 S.D. dependent var 0.018622 S.E. of regression 0.016078 Akaike info criterion -5.393365 Sum squared resid 0.016802 Schwarz criterion -5.327554 Log likelihood 182.6777 Hannan-Quinn criter. -5.367324 F-statistic 23.54548 Durbin-Watson stat 2.014020 Prob(F-statistic) 0.000008 Trang 167 PHỤ LỤC 1.2: KIỂM ĐỊNH TÍNH DỪNG CỦA CHUỖI LNRUSDCNY00 Augmented Dickey-Fuller Unit Root Test on LNRUSDCNY00 Null Hypothesis: LNRUSDCNY00 has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.855582 0.3511 Test critical values: 1% level -3.530030 5% level -2.904848 10% level -2.589907 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNRUSDCNY00) Method: Least Squares Date: 08/15/17 Time: 14:43 Sample (adjusted): 2000Q2 2017Q1 Included observations: 68 after adjustments Variable Coefficient Std. Error t-Statistic Prob. LNRUSDCNY00(-1) -0.155828 0.083978 -1.855582 0.0680 C 0.731155 0.391764 1.866314 0.0664 R-squared 0.049583 Mean dependent var 0.004271 Adjusted R-squared 0.035182 S.D. dependent var 0.044650 S.E. of regression 0.043858 Akaike info criterion -3.386750 Sum squared resid 0.126952 Schwarz criterion -3.321470 Log likelihood 117.1495 Hannan-Quinn criter. -3.360884 F-statistic 3.443183 Durbin-Watson stat 1.888064 Prob(F-statistic) 0.067979 Trang 168 Augmented Dickey-Fuller Unit Root Test on D(LNRUSDCNY00) Null Hypothesis: D(LNRUSDCNY00) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.507079 0.0000 Test critical values: 1% level -3.531592 5% level -2.905519 10% level -2.590262 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNRUSDCNY00,2) Method: Least Squares Date: 08/15/17 Time: 14:44 Sample (adjusted): 2000Q3 2017Q1 Included observations: 67 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNRUSDCNY00(-1)) -1.051348 0.123585 -8.507079 0.0000 C 0.004112 0.005542 0.742039 0.4607 R-squared 0.526827 Mean dependent var -0.000301 Adjusted R-squared 0.519547 S.D. dependent var 0.065157 S.E. of regression 0.045164 Akaike info criterion -3.327652 Sum squared resid 0.132584 Schwarz criterion -3.261841 Log likelihood 113.4764 Hannan-Quinn criter. -3.301610 F-statistic 72.37040 Durbin-Watson stat 2.020595 Prob(F-statistic) 0.000000 Trang 169 PHỤ LỤC 1.3: KIỂM ĐỊNH TÍNH DỪNG CỦA CHUỖI GDP Augmented Dickey-Fuller Unit Root Test on GDP___ Null Hypothesis: GDP___ has a unit root Exogenous: Constant Lag Length: 2 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.533289 0.1124 Test critical values: 1% level -3.533204 5% level -2.906210 10% level -2.590628 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP___) Method: Least Squares Date: 08/15/17 Time: 14:32 Sample (adjusted): 2000Q4 2017Q1 Included observations: 66 after adjustments Variable Coefficient Std. Error t-Statistic Prob. GDP___(-1) -0.371004 0.146452 -2.533289 0.0138 D(GDP___(-1)) -0.184671 0.136200 -1.355884 0.1801 D(GDP___(-2)) -0.381196 0.118082 -3.228228 0.0020 C 2.464461 0.994385 2.478376 0.0159 R-squared 0.390524 Mean dependent var -0.027136 Adjusted R-squared 0.361033 S.D. dependent var 1.671454 S.E. of regression 1.336083 Akaike info criterion 3.476054 Sum squared resid 110.6773 Schwarz criterion 3.608760 Log likelihood -110.7098 Hannan-Quinn criter. 3.528492 F-statistic 13.24223 Durbin-Watson stat 2.129064 Prob(F-statistic) 0.000001 Trang 170 Augmented Dickey-Fuller Unit Root Test on D(GDP___) Null Hypothesis: D(GDP___) has a unit root Exogenous: Constant Lag Length: 2 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.584998 0.0000 Test critical values: 1% level -3.534868 5% level -2.906923 10% level -2.591006 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP___,2) Method: Least Squares Date: 08/15/17 Time: 14:32 Sample (adjusted): 2001Q1 2017Q1 Included observations: 65 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(GDP___(-1)) -2.482507 0.289168 -8.584998 0.0000 D(GDP___(-1),2) 0.924875 0.201544 4.588937 0.0000 D(GDP___(-2),2) 0.276490 0.122439 2.258185 0.0275 C -0.040440 0.167361 -0.241636 0.8099 R-squared 0.756951 Mean dependent var -0.033892 Adjusted R-squared 0.744998 S.D. dependent var 2.672001 S.E. of regression 1.349301 Akaike info criterion 3.496614 Sum squared resid 111.0574 Schwarz criterion 3.630423 Log likelihood -109.6400 Hannan-Quinn criter. 3.549410 F-statistic 63.32599 Durbin-Watson stat 2.066937 Prob(F-statistic) 0.000000 Trang 171 PHỤ LỤC 1.4: KIỂM ĐỊNH TÍNH DỪNG CỦA CHUỖI LNCPI00 Augmented Dickey-Fuller Unit Root Test on LN_CPI_VN00 Null Hypothesis: LN_CPI_VN00 has a unit root Exogenous: Constant Lag Length: 2 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.358024 0.9096 Test critical values: 1% level -3.533204 5% level -2.906210 10% level -2.590628 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LN_CPI_VN00) Method: Least Squares Date: 08/15/17 Time: 14:39 Sample (adjusted): 2000Q4 2017Q1 Included observations: 66 after adjustments Variable Coefficient Std. Error t-Statistic Prob. LN_CPI_VN00(-1) -0.001607 0.004490 -0.358024 0.7215 D(LN_CPI_VN00(-1)) 0.728427 0.122651 5.939007 0.0000 D(LN_CPI_VN00(-2)) -0.240407 0.120731 -1.991266 0.0509 C 0.017442 0.023102 0.754973 0.4531 R-squared 0.387406 Mean dependent var 0.017801 Adjusted R-squared 0.357765 S.D. dependent var 0.018929 S.E. of regression 0.015170 Akaike info criterion -5.480326 Sum squared resid 0.014268 Schwarz criterion -5.347620 Log likelihood 184.8508 Hannan-Quinn criter. -5.427888 F-statistic 13.06968 Durbin-Watson stat 1.915090 Prob(F-statistic) 0.000001 Trang 172 Augmented Dickey-Fuller Unit Root Test on D(LN_CPI_VN00) Null Hypothesis: D(LN_CPI_VN00) has a unit root Exogenous: Constant Lag Length: 1 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.808421 0.0002 Test critical values: 1% level -3.533204 5% level -2.906210 10% level -2.590628 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LN_CPI_VN00,2) Method: Least Squares Date: 08/15/17 Time: 14:39 Sample (adjusted): 2000Q4 2017Q1 Included observations: 66 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LN_CPI_VN00(-1)) -0.516129 0.107339 -4.808421 0.0000 D(LN_CPI_VN00(-1),2) 0.245142 0.119171 2.057061 0.0438 C 0.009225 0.002621 3.518937 0.0008 R-squared 0.268471 Mean dependent var 0.000319 Adjusted R-squared 0.245248 S.D. dependent var 0.017340 S.E. of regression 0.015064 Akaike info criterion -5.508564 Sum squared resid 0.014297 Schwarz criterion -5.409034 Log likelihood 184.7826 Hannan-Quinn criter. -5.469235 F-statistic 11.56052 Durbin-Watson stat 1.913959 Prob(F-statistic) 0.000053 Trang 173 PHỤ LỤC 1.5: KIỂM ĐỊNH TÍNH DỪNG CỦA CHUỖI LNM2 Augmented Dickey-Fuller Unit Root Test on LNM2 Null Hypothesis: LNM2 has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.520526 0.1151 Test critical values: 1% level -3.530030 5% level -2.904848 10% level -2.589907 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNM2) Method: Least Squares Date: 08/15/17 Time: 14:42 Sample (adjusted): 2000Q2 2017Q1 Included observations: 68 after adjustments Variable Coefficient Std. Error t-Statistic Prob. LNM2(-1) -0.007158 0.002840 -2.520526 0.0141 C 0.204764 0.059678 3.431126 0.0010 R-squared 0.087806 Mean dependent var 0.054561 Adjusted R-squared 0.073985 S.D. dependent var 0.027481 S.E. of regression 0.026445 Akaike info criterion -4.398565 Sum squared resid 0.046155 Schwarz criterion -4.333285 Log likelihood 151.5512 Hannan-Quinn criter. -4.372699 F-statistic 6.353049 Durbin-Watson stat 1.696912 Prob(F-statistic) 0.014143 Trang 174 Augmented Dickey-Fuller Unit Root Test on D(LNM2) Null Hypothesis: D(LNM2) has a unit root Exogenous: Constant Lag Length: 3 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.495658 0.1213 Test critical values: 1% level -3.536587 5% level -2.907660 10% level -2.591396 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNM2,2) Method: Least Squares Date: 08/15/17 Time: 14:42 Sample (adjusted): 2001Q2 2017Q1 Included observations: 64 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNM2(-1)) -0.499503 0.200149 -2.495658 0.0154 D(LNM2(-1),2) -0.250499 0.175846 -1.424537 0.1596 D(LNM2(-2),2) -0.279503 0.148116 -1.887055 0.0641 D(LNM2(-3),2) -0.397127 0.116709 -3.402713 0.0012 C 0.025994 0.011434 2.273386 0.0267 R-squared 0.489874 Mean dependent var -0.000194 Adjusted R-squared 0.455289 S.D. dependent var 0.033700 S.E. of regression 0.024872 Akaike info criterion -4.475219 Sum squared resid 0.036499 Schwarz criterion -4.306556 Log likelihood 148.2070 Hannan-Quinn criter. -4.408774 F-statistic 14.16444 Durbin-Watson stat 1.846672 Prob(F-statistic) 0.000000 Trang 175 Augmented Dickey-Fuller Unit Root Test on D(LNM2,2) Null Hypothesis: D(LNM2,2) has a unit root Exogenous: Constant Lag Length: 4 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.570107 0.0000 Test critical values: 1% level -3.540198 5% level -2.909206 10% level -2.592215 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNM2,3) Method: Least Squares Date: 08/15/17 Time: 14:42 Sample (adjusted): 2001Q4 2017Q1 Included observations: 62 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LNM2(-1),2) -3.382292 0.514800 -6.570107 0.0000 D(LNM2(-1),3) 1.843091 0.452682 4.071493 0.0001 D(LNM2(-2),3) 1.181569 0.339304 3.482336 0.0010 D(LNM2(-3),3) 0.498666 0.229630 2.171604 0.0341 D(LNM2(-4),3) 0.356697 0.123708 2.883383 0.0056 C -0.001480 0.003162 -0.468034 0.6416 R-squared 0.819239 Mean dependent var 0.000606 Adjusted R-squared 0.803100 S.D. dependent var 0.055894 S.E. of regression 0.024802 Akaike info criterion -4.463996 Sum squared resid 0.034449 Schwarz criterion -4.258145 Log likelihood 144.3839 Hannan-Quinn criter. -4.383174 F-statistic 50.76036 Durbin-Watson stat 1.964479 Prob(F-statistic) 0.000000 Trang 176 PHỤ LỤC 1.6: KIỂM ĐỊNH TÍNH DỪNG CỦA CHUỖI LNUSDVND00 Augmented Dickey-Fuller Unit Root Test on LN_USD_VND_00 Null Hypothesis: LN_USD_VND_00 has a unit root Exogenous: Constant Lag Length: 1 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.016469 0.9533 Test critical values: 1% level -3.531592 5% level -2.905519 10% level -2.590262 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LN_USD_VND_00) Method: Least Squares Date: 08/15/17 Time: 14:39 Sample (adjusted): 2000Q3 2017Q1 Included observations: 67 after adjustments Variable Coefficient Std. Error t-Statistic Prob. LN_USD_VND_00(-1) -0.000151 0.009174 -0.016469 0.9869 D(LN_USD_VND_00(-1)) 0.331156 0.123435 2.682846 0.0093 C 0.005711 0.044333 0.128822 0.8979 R-squared 0.101211 Mean dependent var 0.007212 Adjusted R-squared 0.073123 S.D. dependent var 0.011446 S.E. of regression 0.011020 Akaike info criterion -6.134533 Sum squared resid 0.007772 Schwarz criterion -6.035816 Log likelihood 208.5069 Hannan-Quinn criter. -6.095471 F-statistic 3.603448 Durbin-Watson stat 1.871360 Prob(F-statistic) 0.032889 Trang 177 Augmented Dickey-Fuller Unit Root Test on D(LN_USD_VND_00) Null Hypothesis: D(LN_USD_VND_00) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.466271 0.0000 Test critical values: 1% level -3.531592 5% level -2.905519 10% level -2.590262 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LN_USD_VND_00,2) Method: Least Squares Date: 08/15/17 Time: 14:40 Sample (adjusted): 2000Q3 2017Q1 Included observations: 67 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LN_USD_VND_00(-1)) -0.668929 0.122374 -5.466271 0.0000 C 0.004981 0.001570 3.173007 0.0023 R-squared 0.314925 Mean dependent var 0.000473 Adjusted R-squared 0.304385 S.D. dependent var 0.013110 S.E. of regression 0.010935 Akaike info criterion -6.164380 Sum squared resid 0.007772 Schwarz criterion -6.098568 Log likelihood 208.5067 Hannan-Quinn criter. -6.138338 F-statistic 29.88012 Durbin-Watson stat 1.871477 Prob(F-statistic) 0.000001 Trang 178 PHỤ LỤC 1.7: KIỂM ĐỊNH TÍNH DỪNG CỦA CHUỖI LNUSDCNY00 Augmented Dickey-Fuller Unit Root Test on LN_USD_CNY 00 Null Hypothesis: LN_ USD_CNY 00 has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.660885 0.8490 Test critical values: 1% level -3.530030 5% level -2.904848 10% level -2.589907 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LN_USD_CNY 00) Method: Least Squares Date: 08/15/17 Time: 14:36 Sample (adjusted): 2000Q2 2017Q1 Included observations: 68 after adjustments Variable Coefficient Std. Error t-Statistic Prob. LN_USD_CNY00(-1) -0.050138 0.075865 -0.660885 0.5110 C 0.236044 0.350443 0.673560 0.5029 R-squared 0.006574 Mean dependent var 0.004465 Adjusted R-squared -0.008478 S.D. dependent var 0.040866 S.E. of regression 0.041039 Akaike info criterion -3.519631 Sum squared resid 0.111156 Schwarz criterion -3.454352 Log likelihood 121.6675 Hannan-Quinn criter. -3.493765 F-statistic 0.436769 Durbin-Watson stat 1.943799 Prob(F-statistic) 0.510986 Trang 179 Augmented Dickey-Fuller Unit Root Test on D(LN_ USD_CNY 00) Null Hypothesis: D(LN_USD_CNY00) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.185733 0.0000 Test critical values: 1% level -3.531592 5% level -2.905519 10% level -2.590262 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(LN_USD_CNY00,2) Method: Least Squares Date: 08/15/17 Time: 14:36 Sample (adjusted): 2000Q3 2017Q1 Included observations: 67 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(LN_CNY_USD_00(-1)) -1.015373 0.124042 -8.185733 0.0000 C 0.004580 0.005097 0.898521 0.3722 R-squared 0.507599 Mean dependent var 0.000152 Adjusted R-squared 0.500024 S.D. dependent var 0.058667 S.E. of regression 0.041483 Akaike info criterion -3.497670 Sum squared resid 0.111855 Schwarz criterion -3.431859 Log likelihood 119.1720 Hannan-Quinn criter. -3.471629 F-statistic 67.00622 Durbin-Watson stat 2.003637 Prob(F-statistic) 0.000000 Trang 180 PHỤ LỤC 1.8: KIỂM ĐỊNH TÍNH DỪNG CỦA CHUỖI IRB Augmented Dickey-Fuller Unit Root Test on IRB____ Null Hypothesis: IRB____ has a unit root Exogenous: Constant Lag Length: 2 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.948639 0.3085 Test critical values: 1% level -3.533204 5% level -2.906210 10% level -2.590628 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(IRB____) Method: Least Squares Date: 08/15/17 Time: 14:33 Sample (adjusted): 2000Q4 2017Q1 Included observations: 66 after adjustments Variable Coefficient Std. Error t-Statistic Prob. IRB____(-1) -0.097447 0.050008 -1.948639 0.0559 D(IRB____(-1)) 0.543088 0.109071 4.979193 0.0000 D(IRB____(-2)) -0.401855 0.114817 -3.499960 0.0009 C 0.775260 0.408673 1.897021 0.0625 R-squared 0.361291 Mean dependent var 0.022121 Adjusted R-squared 0.330386 S.D. dependent var 1.334278 S.E. of regression 1.091839 Akaike info criterion 3.072295 Sum squared resid 73.91093 Schwarz criterion 3.205002 Log likelihood -97.38574 Hannan-Quinn criter. 3.124734 F-statistic 11.69028 Durbin-Watson stat 1.900743 Prob(F-statistic) 0.000004 Trang 181 Augmented Dickey-Fuller Unit Root Test on D(IRB____) Null Hypothesis: D(IRB____) has a unit root Exogenous: Constant Lag Length: 1 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.541439 0.0000 Test critical values: 1% level -3.533204 5% level -2.906210 10% level -2.590628 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(IRB____,2) Method: Least Squares Date: 08/15/17 Time: 14:33 Sample (adjusted): 2000Q4 2017Q1 Included observations: 66 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(IRB____(-1)) -0.950416 0.126026 -7.541439 0.0000 D(IRB____(-1),2) 0.474113 0.111050 4.269363 0.0001 C 0.023216 0.137372 0.169001 0.8663 R-squared 0.474446 Mean dependent var 0.003636 Adjusted R-squared 0.457762 S.D. dependent var 1.515294 S.E. of regression 1.115814 Akaike info criterion 3.101435 Sum squared resid 78.43761 Schwarz criterion 3.200965 Log likelihood -99.34735 Hannan-Quinn criter. 3.140764 F-statistic 28.43677 Durbin-Watson stat 1.928905 Prob(F-statistic) 0.000000 Trang 182 PHỤ LỤC 1.9: KIỂM ĐỊNH TÍNH DỪNG CỦA CHUỖI IRB CHINA Augmented Dickey-Fuller Unit Root Test on IRB_CHINA___ Null Hypothesis: IRB_CHINA___ has a unit root Exogenous: Constant Lag Length: 1 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.054225 0.2636 Test critical values: 1% level -3.531592 5% level -2.905519 10% level -2.590262 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(IRB_CHINA___) Method: Least Squares Date: 08/15/17 Time: 14:34 Sample (adjusted): 2000Q3 2017Q1 Included observations: 67 after adjustments Variable Coefficient Std. Error t-Statistic Prob. IRB_CHINA___(-1) -0.110032 0.053564 -2.054225 0.0440 D(IRB_CHINA___(-1)) 0.272354 0.122506 2.223196 0.0297 C 0.269153 0.139700 1.926655 0.0585 R-squared 0.102424 Mean dependent var -0.011194 Adjusted R-squared 0.074375 S.D. dependent var 0.294384 S.E. of regression 0.283226 Akaike info criterion 0.358596 Sum squared resid 5.133868 Schwarz criterion 0.457314 Log likelihood -9.012967 Hannan-Quinn criter. 0.397659 F-statistic 3.651589 Durbin-Watson stat 2.107512 Prob(F-statistic) 0.031497 Trang 183 Augmented Dickey-Fuller Unit Root Test on D(IRB_CHINA___) Null Hypothesis: D(IRB_CHINA___) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.528436 0.0000 Test critical values: 1% level -3.531592 5% level -2.905519 10% level -2.590262 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(IRB_CHINA___,2) Method: Least Squares Date: 08/15/17 Time: 14:34 Sample (adjusted): 2000Q3 2017Q1 Included observations: 67 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(IRB_CHINA___(-1)) -0.792051 0.121323 -6.528436 0.0000 C -0.008866 0.035474 -0.249935 0.8034 R-squared 0.396026 Mean dependent var 0.000000 Adjusted R-squared 0.386734 S.D. dependent var 0.370516 S.E. of regression 0.290156 Akaike info criterion 0.392598 Sum squared resid 5.472369 Schwarz criterion 0.458409 Log likelihood -11.15202 Hannan-Quinn criter. 0.418640 F-statistic 42.62047 Durbin-Watson stat 2.046266 Prob(F-statistic) 0.000000 Trang 184 PHỤ LỤC 2: KIỂM ĐỊNH ĐỒNG LIÊN KẾT Trang 185 Trang 186 PHỤ LỤC 3: KIỂM ĐỊNH ĐỘ TRỄ TỐI ƯU CỦA MÔ HÌNH Trang 187 Trang 188 Trang 189 PHỤ LỤC 4: KIỂM ĐỊNH TÍNH NHÂN QUẢ VAR Granger Causality/Block Exogeneity Wald Tests Date: 08/15/17 Time: 10:24 Sample: 2000Q1 2017Q1 Included observations: 64 Dependent variable: D(LNRUSDVND00) Excluded Chi-sq df Prob. D(GDP___) 3.674855 2 0.1592 D(LN_CPI_VN 5.591615 2 0.0611 D(LNM2,2) 4.826585 2 0.0895 All 12.04440 6 0.0610 Dependent variable: D(GDP___) Excluded Chi-sq df Prob. D(LNRUSDVN 0.063974 2 0.9685 D(LN_CPI_VN 0.147563 2 0.9289 D(LNM2,2) 0.363190 2 0.8339 All 0.875545 6 0.9899 Dependent variable: D(LN_CPI_VN00) Excluded Chi-sq df Prob. D(LNRUSDVN 3.874508 2 0.1441 D(GDP___) 2.593576 2 0.2734 D(LNM2,2) 0.902341 2 0.6369 All 8.224893 6 0.2221 Dependent variable: D(LNM2,2) Excluded Chi-sq df Prob. D(LNRUSDVN 15.68422 2 0.0004 D(GDP___) 1.281235 2 0.5270 D(LN_CPI_VN 1.464528 2 0.4808 All 24.54281 6 0.0004 Trang 190 VAR Granger Causality/Block Exogeneity Wald Tests Date: 08/14/17 Time: 09:55 Sample: 2000Q1 2017Q1 Included observations: 64 Dependent variable: D(LN_USD_VND_00) Excluded Chi-sq df Prob. D(GDP___) 8.094377 3 0.0441 D(LN_CPI_VN 1.870876 3 0.5996 D(LNM2,2) 4.264435 3 0.2343 All 11.64198 9 0.2343 Dependent variable: D(GDP___) Excluded Chi-sq df Prob. D(LN_USD_V 13.93387 3 0.0030 D(LN_CPI_VN 5.699449 3 0.1272 D(LNM2,2) 7.436853 3 0.0592 All 21.69471 9 0.0099 Dependent variable: D(LN_CPI_VN00) Excluded Chi-sq df Prob. D(LN_USD_V 3.673882 3 0.2989 D(GDP___) 3.351431 3 0.3405 D(LNM2,2) 3.676194 3 0.2986 All 13.30840 9 0.1491 Dependent variable: D(LNM2,2) Excluded Chi-sq df Prob. D(LN_USD_V 2.459427 3 0.4827 D(GDP___) 3.710594 3 0.2945 D(LN_CPI_VN 15.23620 3 0.0016 All 21.53341 9 0.0105 Trang 191 Dependent variable: D(LNRUSDCNY00) Excluded Chi-sq df Prob. D(LNRUSDVN 0.138934 1 0.7093 D(GDP___) 3.375152 1 0.0662 D(LN_CPI_VN 0.113320 1 0.7364 D(LNM2) 0.160865 1 0.6884 All 3.806861 4 0.4328 Dependent variable: D(LNRUSDVND00) Excluded Chi-sq df Prob. D(LNRUSDCN 0.002157 1 0.9630 D(GDP___) 0.524440 1 0.4690 D(LN_CPI_VN 2.478331 1 0.1154 D(LNM2) 0.233200 1 0.6292 All 5.307596 4 0.2572 Dependent variable: D(GDP___) Excluded Chi-sq df Prob. D(LNRUSDCN 2.412553 1 0.1204 D(LNRUSDVN 0.054283 1 0.8158 D(LN_CPI_VN 0.298756 1 0.5847 D(LNM2) 0.000265 1 0.9870 All 2.848928 4 0.5834 Dependent variable: D(LN_CPI_VN00) Excluded Chi-sq df Prob. D(LNRUSDCN 1.188327 1 0.2757 D(LNRUSDVN 0.077547 1 0.7807 D(GDP___) 2.126036 1 0.1448 D(LNM2) 12.50030 1 0.0004 All 19.54120 4 0.0006 Dependent variable: D(LNM2) Excluded Chi-sq df Prob. D(LNRUSDCN 0.081631 1 0.7751 D(LNRUSDVN 11.01326 1 0.0009 D(GDP___) 3.05E-05 1 0.9956 D(LN_CPI_VN 11.68198 1 0.0006 All 14.12626 4 0.0069 Trang 192 PHỤ LỤC 5: KIỂM ĐỊNH TÍNH NHIỄU TRẮNG CỦA PHẦN DƯ VAR Residual Portmanteau Tests for Autocorrelations Null Hypothesis: no residual autocorrelations up to lag h Date: 10/19/17 Time: 07:50 Sample: 2000Q1 2017Q1 Included observations: 64 Lags Q-Stat Prob. Adj Q-Stat Prob. Df 1 3.061755 NA* 3.110355 NA* NA* 2 22.01334 NA* 22.67328 NA* NA* 3 33.32862 NA* 34.54505 NA* NA* 4 50.54173 0.0000 52.90570 0.0000 16 5 59.58451 0.0022 62.71482 0.0009 32 6 77.94157 0.0040 82.97088 0.0013 48 7 88.40769 0.0234 94.72232 0.0076 64 8 107.7682 0.0210 116.8487 0.0045 80 9 127.3510 0.0178 139.6358 0.0024 96 10 140.0949 0.0373 154.7398 0.0047 112 11 153.3520 0.0628 170.7483 0.0069 128 12 176.8945 0.0324 199.7237 0.0015 144 *The test is valid only for lags larger than the VAR lag order. df is degrees of freedom for (approximate) chi-square distribution Trang 193 VAR Residual Portmanteau Tests for Autocorrelations Null Hypothesis: no residual autocorrelations up to lag h Date: 09/17/17 Time: 00:04 Sample: 2000Q1 2017Q1 Included observations: 66 Lags Q-Stat Prob. Adj Q-Stat Prob. Df 1 11.01059 NA* 11.17999 NA* NA* 2 46.51872 0.0056 47.79775 0.0039 25 3 88.74870 0.0006 92.03867 0.0003 50 4 119.6303 0.0008 124.9126 0.0003 75 5 144.4500 0.0024 151.7668 0.0007 100 6 167.9372 0.0063 177.6027 0.0014 125 7 191.8841 0.0119 204.3908 0.0021 150 8 209.8633 0.0369 224.8498 0.0065 175 9 251.1926 0.0082 272.7047 0.0005 200 10 271.2719 0.0188 296.3696 0.0010 225 11 289.7771 0.0425 318.5759 0.0022 250 12 333.1068 0.0094 371.5345 0.0001 275 *The test is valid only for lags larger than the VAR lag order. df is degrees of freedom for (approximate) chi-square distribution Trang 194 VEC Residual Portmanteau Tests for Autocorrelations Null Hypothesis: no residual autocorrelations up to lag h Date: 08/30/17 Time: 20:02 Sample: 2000Q1 2017Q1 Included observations: 67 Lags Q-Stat Prob. Adj Q-Stat Prob. Df 1 8.510649 NA* 8.639598 NA* NA* 2 29.19224 0.4028 29.95754 0.3653 28 3 57.81025 0.0791 59.91702 0.0552 44 4 67.63349 0.2328 70.36396 0.1694 60 5 79.93655 0.3565 83.65920 0.2562 76 6 89.65569 0.5498 94.33433 0.4130 92 7 103.7163 0.5987 110.0354 0.4274 108 8 111.7641 0.7768 119.1743 0.6057 124 9 122.3960 0.8553 131.4560 0.6849 140 10 134.8408 0.8885 146.0841 0.7039 156 11 139.4015 0.9676 151.5407 0.8673 172 12 148.9280 0.9838 163.1457 0.9046 188 *The test is valid only for lags larger than the VAR lag order. df is degrees of freedom for (approximate) chi-square distribution Trang 195 PHỤ LỤC 6: KIỂM ĐỊNH TÍNH ỔN ĐỊNH CỦA MÔ HÌNH VAR Stability Condition Check Roots of Characteristic Polynomial Endogenous variables: D(LNRUSDVND00) D(GDP__ Exogenous variables: C Lag specification: 1 3 Date: 08/24/17 Time: 15:54 Root Modulus 0.055713 - 0.881729i 0.883487 0.055713 + 0.881729i 0.883487 -0.786090 0.786090 -0.005371 - 0.783087i 0.783106 -0.005371 + 0.783087i 0.783106 0.628469 - 0.148206i 0.645708 0.628469 + 0.148206i 0.645708 -0.475907 0.475907 -0.203825 - 0.348864i 0.404043 -0.203825 + 0.348864i 0.404043 -0.002334 - 0.287802i 0.287811 -0.002334 + 0.287802i 0.287811 No root lies outside the unit circle. VAR satisfies the stability condition. Trang 196 VEC Stability Condition Check Roots of Characteristic Polynomial Endogenous variables: D(LNRUSDCNY00) D(LNRUS Exogenous variables: Lag specification: 1 2 Date: 08/15/17 Time: 20:04 Root Modulus 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000 0.432818 - 0.634098i 0.767731 0.432818 + 0.634098i 0.767731 -0.280085 - 0.632444i 0.691688 -0.280085 + 0.632444i 0.691688 -0.257657 - 0.591066i 0.644784 -0.257657 + 0.591066i 0.644784 -0.541792 0.541792 -0.399756 0.399756 0.020668 0.020668 VEC specification imposes 3 unit root(s). Trang 197 VAR Stability Condition Check Roots of Characteristic Polynomial Endogenous variables: D(LNRUSDCNY00) D(LNRUS Exogenous variables: C Lag specification: 1 1 Date: 09/16/17 Time: 23:59 Root Modulus 0.628805 0.628805 -0.236665 - 0.207521i 0.314762 -0.236665 + 0.207521i 0.314762 -0.170899 0.170899 0.087651 0.087651 No root lies outside the unit circle. VAR satisfies the stability condition. Trang 198 PHỤ LỤC 7: KIỂM ĐỊNH TƯƠNG QUAN CÁC BIẾN MÔ HÌNH Residual Correlation Matrix LNRUSDCNY LNRUSDVND IRB____ IRB_CHINA__ LNRUSDCNY 1.000000 -0.039968 -0.032206 -0.089643 LNRUSDVND -0.039968 1.000000 -0.141544 0.068911 IRB____ -0.032206 -0.141544 1.000000 0.598341 IRB_CHINA__ -0.089643 0.068911 0.598341 1.000000 Residual Correlation Matrix Residual Correlation Matrix D(LNRUSDCNY) D(LNRUSDVND) D(GDP___) D(LN_CPI_VND) D(LNM2,2) D(LNRUSDCNY) 1.000000 0.100176 -0.005585 -0.059899 -0.007489 D(LNRUSDVND) 0.100176 1.000000 0.153031 -0.625951 -0.027417 D(GDP___) -0.005585 0.153031 1.000000 -0.395729 0.239561 D(LN_CPI_VND) -0.059899 -0.625951 -0.395729 1.000000 -0.337028 D(LNM2,2) -0.007489 -0.027417 0.239561 -0.337028 1.000000 D(LNRUSDVND) D(LNRUSDCNY) D(GDP___) D(LN_CPI_VND) D(LNM2,2) D(LNRUSDVND) 1.000000 0.100176 0.153031 -0.625951 -0.027417 D(LNRUSDCNY) 0.100176 1.000000 -0.005585 -0.059899 -0.007489 D(GDP___) 0.153031 -0.005585 1.000000 -0.395729 0.239561 D(LN_CPI_VN) -0.625951 -0.059899 -0.395729 1.000000 -0.337028 D(LNM2,2) -0.027417 -0.007489 0.239561 -0.337028 1.000000 Trang 199 PHỤ LỤC 8: HẢM PHẢN ỨNG XUNG Trang 200 Trang 201 Trang 202 Trang 203 Trang 204 Trang 205 PHỤ LỤC 9: PHÂN RÃ PHƯƠNG SAI Variance Decomposition of D(LNRUSDVND00): Period S.E. D(LNRUSDV D(GDP___) D(LN_CPI_V D(LNM2,2) 1 0.015618 100.0000 0.000000 0.000000 0.000000 2 0.017255 91.95687 1.530619 3.638528 2.873983 3 0.017855 87.85880 2.187791 7.224460 2.728945 4 0.019005 79.46887 9.937881 7.669485 2.923765 5 0.019194 78.92539 9.973457 8.211390 2.889767 6 0.019259 78.39822 10.01194 8.485401 3.104440 7 0.019305 78.28042 10.02105 8.607173 3.091362 8 0.019322 78.27990 10.02943 8.604155 3.086518 9 0.019324 78.27396 10.02779 8.603456 3.094794 10 0.019333 78.22262 10.06725 8.597135 3.112999 Variance Decomposition of D(GDP___): Period S.E. D(LNRUSDV D(GDP___) D(LN_CPI_V D(LNM2,2) 1 1.734062 2.302213 97.69779 0.000000 0.000000 2 1.798063 2.167654 97.30540 0.284768 0.242177 3 1.804578 2.390899 96.98189 0.288063 0.339144 4 1.807590 2.506443 96.65930 0.337351 0.496906 5 1.810514 2.527105 96.36550 0.336424 0.770975 6 1.813562 2.518650 96.20009 0.370651 0.910606 7 1.814533 2.524861 96.13982 0.376686 0.958628 8 1.815408 2.533009 96.08246 0.382024 1.002506 9 1.816423 2.540961 96.02366 0.384548 1.050833 10 1.816853 2.539904 96.00118 0.386930 1.071991 Variance Decomposition of D(LN_CPI_VN00): Period S.E. D(LNRUSDV D(GDP___) D(LN_CPI_V D(LNM2,2) 1 0.015495 44.85235 12.43511 42.71254 0.000000 2 0.018472 49.60151 9.202773 40.95943 0.236292 3 0.019761 50.26070 8.918763 40.49315 0.327382 4 0.020501 46.70575 11.52800 40.92422 0.842035 5 0.020832 45.41120 12.47947 41.15871 0.950620 6 0.020876 45.25015 12.60773 41.19544 0.946674 7 0.020892 45.22999 12.59886 41.21827 0.952878 8 0.020945 45.31045 12.60754 41.02094 1.061065 9 0.020961 45.38759 12.58796 40.95768 1.066770 10 0.020967 45.39267 12.60049 40.94027 1.066565 Variance Decomposition of D(LNM2,2): Period S.E. D(LNRUSDV D(GDP___) D(LN_CPI_V D(LNM2,2) 1 0.026358 1.063606 9.421715 5.803830 83.71085 2 0.030997 9.982473 15.36009 7.474443 67.18300 3 0.031640 9.623628 18.06035 7.834814 64.48121 4 0.035229 18.53786 18.57076 6.439528 56.45185 5 0.037252 16.61573 21.75409 5.776495 55.85369 6 0.037931 16.06629 23.41227 6.120082 54.40136 7 0.038009 16.24070 23.35379 6.105812 54.29970 8 0.038360 16.32126 23.58148 6.042720 54.05454 9 0.038570 16.14722 23.88205 5.994738 53.97599 10 0.038617 16.10966 23.95569 6.019428 53.91522 Trang 206 Variance Decomposition of D(LN_USD_VND_00): Period S.E. D(LN_USD_ D(GDP___) D(LN_CPI_V D(LNM2,2) 1 0.010899 100.0000 0.000000 0.000000 0.000000 2 0.012296 89.44231 7.310238 2.902367 0.345086 3 0.012396 88.04907 7.279453 3.481982 1.189499 4 0.012428 87.65841 7.398226 3.471774 1.471590 5 0.012649 87.68663 7.463200 3.395726 1.454440 6 0.012843 86.99972 8.089795 3.449303 1.461180 7 0.012873 86.63194 8.213323 3.434242 1.720496 8 0.012877 86.60342 8.210054 3.446158 1.740370 9 0.012887 86.54702 8.235377 3.444077 1.773526 10 0.012901 86.50484 8.260649 3.464481 1.770025 Variance Decomposition of D(GDP___): Period S.E. D(LN_USD_ D(GDP___) D(LN_CPI_V D(LNM2,2) 1 1.235033 1.287642 98.71236 0.000000 0.000000 2 1.563180 9.250136 89.20298 0.408571 1.138312 3 1.668080 16.93412 80.23411 1.326849 1.504922 4 1.761147 17.82595 77.43085 1.212761 3.530444 5 1.790625 19.44307 75.95185 1.188718 3.416362 6 1.819558 19.45266 74.53180 1.747396 4.268151 7 1.831336 19.85547 74.11273 1.725518 4.306275 8 1.846992 19.73992 73.24894 1.926583 5.084557 9 1.851849 19.91308 73.07807 1.918540 5.090313 10 1.859355 19.86279 72.60925 2.110513 5.417453 Variance Decomposition of D(LN_CPI_VN00): Period S.E. D(LN_USD_ D(GDP___) D(LN_CPI_V D(LNM2,2) 1 0.014689 3.039137 13.37886 83.58200 0.000000 2 0.019176 3.534920 8.450312 86.06186 1.952912 3 0.020247 4.058738 7.580090 86.54378 1.817390 4 0.020330 4.054042 8.237820 85.87337 1.834764 5 0.020706 7.256507 8.064027 82.78731 1.892160 6 0.020993 9.152510 8.360097 80.57379 1.913602 7 0.021045 9.127565 8.733425 80.23463 1.904376 8 0.021053 9.123753 8.732601 80.19654 1.947110 9 0.021085 9.305958 8.764573 79.95707 1.972400 10 0.021117 9.486706 8.784846 79.72367 2.004781 Variance Decomposition of D(LNM2,2): Period S.E. D(LN_USD_ D(GDP___) D(LN_CPI_V D(LNM2,2) 1 0.023587 9.496057 4.753781 8.992150 76.75801 2 0.029562 14.18815 8.250411 6.342980 71.21846 3 0.030399 13.44055 11.55485 6.510062 68.49454 4 0.032814 13.39983 12.56373 15.17390 58.86254 5 0.035030 12.45720 11.84588 13.36643 62.33050 6 0.035554 12.22112 12.33848 13.23200 62.20839 7 0.036052 12.24871 12.12347 14.22586 61.40196 8 0.036251 12.11924 12.06833 14.97125 60.84119 9 0.036815 11.91152 12.02821 14.67396 61.38630 10 0.036860 11.90886 12.08491 14.66261 61.34363 Trang 207 Variance Decomposition of LNRUSDCNY00: Period S.E. LNRUSDCN LNRUSDVN IRB____ IRB_CHINA_ 1 0.041739 100.0000 0.000000 0.000000 0.000000 2 0.055430 94.17595 5.507157 0.173711 0.143182 3 0.065372 89.50095 8.155691 1.684692 0.658665 4 0.073919 85.23013 8.212194 4.335131 2.222547 5 0.081875 80.75680 7.401628 6.873642 4.967926 6 0.089386 76.28669 6.542253 8.781981 8.389077 7 0.096496 72.03043 5.821373 10.18761 11.96059 8 0.103301 68.04836 5.227428 11.31410 15.41010 9 0.109903 64.34523 4.721539 12.28487 18.64836 10 0.116360 60.92554 4.280258 13.13787 21.65634 Variance Decomposition of LNRUSDVND00: Period S.E. LNRUSDCN LNRUSDVN IRB____ IRB_CHINA_ 1 0.015004 0.088485 99.91151 0.000000 0.000000 2 0.024785 0.190251 95.90682 0.629857 3.273069 3 0.033965 0.761587 89.64960 1.210983 8.377835 4 0.042814 1.534341 83.54776 1.602235 13.31567 5 0.051393 2.343722 78.21440 1.902109 17.53977 6 0.059756 3.099461 73.69843 2.167494 21.03462 7 0.067936 3.763250 69.91459 2.409185 23.91298 8 0.075934 4.330425 66.75321 2.622348 26.29402 9 0.083731 4.811901 64.10781 2.803985 28.27631 10 0.091308 5.222017 61.88428 2.956343 29.93737 Variance Decomposition of IRB____: Period S.E. LNRUSDCN LNRUSDVN IRB____ IRB_CHINA_ 1 1.105766 2.048469 2.813378 95.13815 0.000000 2 1.952596 4.912871 13.49218 80.24771 1.347233 3 2.544076 7.186967 19.73129 70.47267 2.609073 4 2.918541 9.178613 22.52909 65.33652 2.955782 5 3.177269 11.00634 23.47556 62.77854 2.739564 6 3.394180 12.69341 23.57793 61.31468 2.413986 7 3.600827 14.25412 23.37059 60.21946 2.155835 8 3.802951 15.70661 23.09825 59.21414 1.981008 9 3.997990 17.06221 22.82849 58.23290 1.876388 10 4.184049 18.32332 22.55657 57.28746 1.832657 Variance Decomposition of IRB_CHINA___: Period S.E. LNRUSDCN LNRUSDVN IRB____ IRB_CHINA_ 1 0.271504 0.595024 0.072262 34.70677 64.62594 2 0.428827 0.668635 0.663656 21.30577 77.36194 3 0.537952 0.559554 0.481738 14.39008 84.56862 4 0.617748 0.443149 0.502279 11.00217 88.05240 5 0.682061 0.365612 0.791770 9.101130 89.74149 6 0.738968 0.313299 1.024520 7.910063 90.75212 7 0.792248 0.276629 1.129202 7.093394 91.50077 8 0.842947 0.250161 1.165605 6.468744 92.11549 9 0.891100 0.229734 1.183757 5.957680 92.62883 10 0.936738 0.213030 1.203024 5.532347 93.05160 Trang 208 Variance Decomposition Variance Decomposition of D(LNRUSDCNY00): Period S.E. D(LNRUSDC D(LNRUSDV D(GDP___) D(LN_CPI_V D(LNM2) 1 0.045076 100.0000 0.000000 0.000000 0.000000 0.000000 2 0.046288 94.90441 0.460574 4.429023 0.124144 0.081854 3 0.046445 94.40661 0.472962 4.894029 0.130573 0.095823 4 0.046456 94.38330 0.472926 4.903325 0.132677 0.107776 5 0.046459 94.37048 0.473373 4.902697 0.134826 0.118625 6 0.046462 94.35914 0.473933 4.902247 0.136974 0.127704 7 0.046464 94.34949 0.474337 4.901763 0.138786 0.135623 8 0.046466 94.34107 0.474693 4.901360 0.140378 0.142500 9 0.046468 94.33375 0.474998 4.901006 0.141767 0.148479 10 0.046470 94.32738 0.475262 4.900698 0.142977 0.153681 Variance Decomposition of D(LNRUSDVND00): Period S.E. D(LNRUSDC D(LNRUSDV D(GDP___) D(LN_CPI_V D(LNM2) 1 0.016001 2.074949 97.92505 0.000000 0.000000 0.000000 2 0.017331 1.914732 96.27164 0.158383 1.548582 0.106662 3 0.017735 1.862482 94.64468 0.151648 2.642628 0.698566 4 0.017948 1.844891 92.93044 0.155722 3.381250 1.687694 5 0.018115 1.817662 91.28800 0.158838 3.888962 2.846543 6 0.018266 1.790310 89.78283 0.161832 4.255424 4.009603 7 0.018405 1.764543 88.44713 0.164715 4.533348 5.090264 8 0.018530 1.741310 87.28327 0.167218 4.752329 6.055871 9 0.018641 1.720862 86.27836 0.169388 4.929899 6.901490 10 0.018739 1.703078 85.41422 0.171257 5.076835 7.634610 Variance Decomposition of D(GDP___): Period S.E. D(LNRUSDC D(LNRUSDV D(GDP___) D(LN_CPI_V D(LNM2) 1 1.614073 0.001819 2.218332 97.77985 0.000000 0.000000 2 1.706410 3.294098 2.137393 94.35351 0.214872 0.000127 3 1.710194 3.544898 2.138033 94.07269 0.233950 0.010426 4 1.710550 3.553353 2.139494 94.03348 0.242909 0.030761 5 1.710802 3.552358 2.138863 94.00688 0.251043 0.050856 6 1.711024 3.551438 2.138414 93.98254 0.256991 0.070619 7 1.711228 3.550613 2.138306 93.96026 0.261949 0.088875 8 1.711410 3.549860 2.138417 93.94029 0.266130 0.105306 9 1.711572 3.549191 2.138637 93.92258 0.269696 0.119898 10 1.711715 3.548602 2.138900 93.90698 0.272766 0.132747 Variance Decomposition of D(LN_CPI_VN00): Period S.E. D(LNRUSDC D(LNRUSDV D(GDP___) D(LN_CPI_V D(LNM2) 1 0.014602 0.146914 35.83045 9.211069 54.81157 0.000000 2 0.017399 1.699662 36.23955 6.725008 50.61172 4.724056 3 0.018896 1.526568 32.95742 5.742114 48.53229 11.24161 4 0.020070 1.391877 29.44949 5.119935 46.46100 17.57770 5 0.021093 1.273825 26.66358 4.670291 44.46935 22.92295 6 0.021992 1.176610 24.60115 4.324103 42.69710 27.20103 7 0.022776 1.099216 23.07623 4.055215 41.19891 30.57043 8 0.023455 1.037708 21.92743 3.843984 39.96371 33.22717 9 0.024039 0.988586 21.04194 3.676190 38.95429 35.33899 10 0.024541 0.949023 20.34487 3.541430 38.12975 37.03493 Variance Decomposition of D(LNM2): Trang 209 Trang 210 Variance Decomposition Variance Decomposition of D(LNRUSDCNY00): Period S.E. D(LNRUSDC D(LNRUSDV D(GDP___) D(LN_CPI_V D(IRB____) 1 0.059613 100.0000 0.000000 0.000000 0.000000 0.000000 2 0.069295 97.68586 0.127693 1.402541 0.461924 0.321986 3 0.082622 97.75322 0.128230 1.028479 0.772270 0.317799 4 0.091190 97.85055 0.254504 0.847957 0.664982 0.382005 5 0.100800 97.93176 0.241755 0.800016 0.687496 0.338973 6 0.108788 97.97500 0.254424 0.722870 0.752913 0.294793 7 0.116283 98.08650 0.267873 0.632722 0.747710 0.265197 8 0.123348 98.15270 0.280605 0.577611 0.730411 0.258676 9 0.130151 98.18547 0.281217 0.545123 0.747740 0.240451 10 0.136484 98.23082 0.287081 0.501610 0.756333 0.224152 Variance Decomposition of D(LNRUSDVND00): Period S.E. D(LNRUSDC D(LNRUSDV D(GDP___) D(LN_CPI_V D(IRB____) 1 0.018576 3.393737 96.60626 0.000000 0.000000 0.000000 2 0.022609 3.847858 95.73142 0.167119 0.239466 0.014139 3 0.027284 3.961435 95.42841 0.427108 0.173239 0.009804 4 0.030793 4.005961 95.44042 0.380000 0.157677 0.015945 5 0.034040 3.998078 95.46527 0.351354 0.171547 0.013750 6 0.037014 4.056704 95.37341 0.390527 0.167596 0.011762 7 0.039772 4.072423 95.35948 0.398978 0.158086 0.011034 8 0.042324 4.076258 95.37085 0.385192 0.157793 0.009905 9 0.044742 4.088432 95.35613 0.387889 0.158655 0.008895 10 0.047044 4.101837 95.33908 0.395463 0.155498 0.008125 Variance Decomposition of D(GDP___): Period S.E. D(LNRUSDC D(LNRUSDV D(GDP___) D(LN_CPI_V D(IRB____) 1 1.259681 0.382795 1.575252 98.04195 0.000000 0.000000 2 1.483268 1.346175 1.392198 79.03257 2.400175 15.82888 3 1.671700 3.602457 4.500661 69.60075 9.401246 12.89489 4 1.740662 3.363277 4.178381 71.19429 9.220580 12.04347 5 1.775055 3.429367 4.151846 69.48862 9.035005 13.89516 6 1.818793 4.188298 4.515127 68.07581 9.325744 13.89502 7 1.837663 4.366520 4.884451 66.78053 10.35507 13.61343 8 1.854994 4.387647 4.952460 66.66333 10.24449 13.75207 9 1.870574 4.727291 5.176926 65.57512 10.24789 14.27277 10 1.886191 5.040969 5.496408 64.51823 10.74568 14.19872 Variance Decomposition of D(LN_CPI_VN00): Period S.E. D(LNRUSDC D(LNRUSDV D(GDP___) D(LN_CPI_V D(IRB____) 1 0.016100 0.025670 37.80143 1.691950 60.48095 0.000000 2 0.023743 0.775547 39.40197 2.373802 56.75558 0.693095 3 0.028984 1.180140 42.29229 4.693409 51.36896 0.465198 4 0.033037 1.109457 44.11951 3.813980 50.55661 0.400451 5 0.036934 1.051479 44.01370 3.224318 51.35035 0.360154 6 0.040514 1.129178 44.34436 3.455446 50.74720 0.323811 7 0.043623 1.148902 44.96336 3.408439 50.19915 0.280145 8 0.046550 1.126892 45.17070 3.166584 50.28823 0.247599 9 0.049376 1.133854 45.24798 3.103558 50.28371 0.230896 10 0.052013 1.149704 45.45763 3.114770 50.06795 0.209945 Variance Decomposition of D(IRB____): Period S.E. D(LNRUSDC D(LNRUSDV D(GDP___) D(LN_CPI_V D(IRB____) Trang 211 1 1.471405 0.813445 1.976104 7.569983 31.78899 57.85148 2 2.194972 0.436028 12.09471 7.561989 35.82796 44.07932 3 2.710172 0.297081 13.07152 8.363533 36.42639 41.84148 4 3.149830 0.242451 13.96733 8.783341 36.29698 40.70990 5 3.530602 0.210109 14.38409 8.696189 36.45601 40.25360 Trang 212 Variance Decomposition Variance Decomposition of D(LN_USD_CNY_00): Period S.E. D(LN_USD_ D(LN_USD_ D(GDP___) D(LN_CPI_V D(IRB____) 1 0.050968 100.0000 0.000000 0.000000 0.000000 0.000000 2 0.056338 93.30470 0.374781 6.046102 0.078474 0.195947 3 0.059437 93.16501 0.898273 5.543953 0.114113 0.278650 4 0.067210 94.31755 0.707285 4.613056 0.113016 0.249093 5 0.071713 94.10008 0.757795 4.725198 0.167447 0.249477 6 0.075599 93.77650 0.830591 4.874849 0.184275 0.333783 7 0.080195 94.21058 0.763147 4.564726 0.164921 0.296626 8 0.084115 94.21936 0.792679 4.528626 0.185753 0.273579 9 0.087903 94.18260 0.791225 4.521140 0.213809 0.291225 10 0.091573 94.30282 0.761464 4.456053 0.203957 0.275705 Variance Decomposition of D(LN_USD_VND_00): Period S.E. D(LN_USD_ D(LN_USD_ D(GDP___) D(LN_CPI_V D(IRB____) 1 0.011446 0.383484 99.61652 0.000000 0.000000 0.000000 2 0.014000 2.933912 87.70516 5.967268 3.043107 0.350556 3 0.014988 4.466267 83.92126 6.788365 3.816470 1.007638 4 0.016331 3.856722 84.15322 6.645945 4.305498 1.038620 5 0.017433 4.175130 84.55291 5.840743 4.459074 0.972139 6 0.018663 4.412704 84.52691 6.088864 4.122998 0.848522 7 0.019916 4.051992 84.38887 6.634395 4.151290 0.773457 8 0.020805 4.137471 84.04987 6.522186 4.532789 0.757680 9 0.021662 4.087144 84.27368 6.278911 4.645136 0.715131 10 0.022626 3.934900 84.59017 6.225593 4.593416 0.655919 Variance Decomposition of D(GDP___): Period S.E. D(LN_USD_ D(LN_USD_ D(GDP___) D(LN_CPI_V D(IRB____) 1 1.314333 5.229215 0.161854 94.60893 0.000000 0.000000 2 1.576759 3.713491 5.929719 85.01452 3.112002 2.230270 3 1.651700 3.385581 9.969902 80.29505 4.157380 2.192086 4 1.824388 7.933361 11.84363 71.86924 3.956316 4.397453 5 1.895184 8.397362 11.10747 70.96866 4.913850 4.612653 6 1.911835 8.251739 10.92478 70.15399 5.033352 5.636145 7 1.931730 9.351272 10.93999 68.79493 5.031466 5.882340 8 1.975418 10.08891 10.88788 66.76274 6.330178 5.930290 9 2.005811 10.08877 11.08565 65.68440 7.293321 5.847859 10 2.019471 10.91230 11.01026 64.85954 7.353594 5.864310 Variance Decomposition of D(LN_CPI_VN00): Period S.E. D(LN_USD_ D(LN_USD_ D(GDP___) D(LN_CPI_V D(IRB____) 1 0.016399 1.153423 3.003463 14.78645 81.05666 0.000000 2 0.023781 0.898395 2.422400 8.604785 87.95570 0.118717 3 0.027349 1.677658 2.391131 6.862492 88.85162 0.217096 4 0.030116 2.646568 2.036258 8.539145 86.59539 0.182635 5 0.033079 2.659090 1.936667 9.453370 85.74274 0.208132 6 0.035713 2.424293 1.730369 8.762652 86.75181 0.330873 7 0.038017 2.575046 1.527115 8.202077 87.39753 0.298233 8 0.040399 2.755565 1.352395 8.373910 87.25389 0.264242 9 0.042652 2.715955 1.218176 8.590082 87.20187 0.273914 10 0.044615 2.733442 1.134973 8.440462 87.38977 0.301350 Trang 213 Variance Decomposition of D(IRB____): Period S.E. D(LN_USD_ D(LN_USD_ D(GDP___) D(LN_CPI_V D(IRB____) 1 1.141642 0.403961 1.773155 0.871403 25.23799 71.71349 2 1.826683 0.184445 2.239962 6.562124 48.54929 42.46418 3 2.079658 0.175727 5.465825 8.254532 51.29831 34.80561 4 2.187684 0.741782 4.981589 9.904753 48.88050 35.49138 5 2.350512 0.653063 4.334561 10.39753 48.14724 36.46761