Ảnh hưởng tích lũy dự trữ ngoại hối đến lạm phát và hoạt động can thiệp trung hòa của ngân hàng nhà nước Việt Nam - 20

-0.382152

0.053188

-7.184958

0.0000

C

0.270080

0.272733

0.990276

0.3305

F-statistic

0.325145

Prob. F(1,47)

0.5712

Obs*R-squared

0.336652

Prob. Chi-Square(1)

0.5618

Test Equation:

Dependent Variable: RESID^2

Method: Least Squares

Sample (adjusted): 2005Q2 2017Q2

Included observations: 49 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

4.03E-05

9.00E-06

4.478509

0.0000

RESID^2(-1)

0.086447

0.151604

0.570215

0.5712

R-squared

0.006870

Mean dependent var

4.39E-05

Adjusted R-squared

-0.014260

S.D. dependent var

4.52E-05

S.E. of regression

4.55E-05

Akaike info criterion

-17.11609

Sum squared resid

9.75E-08

Schwarz criterion

-17.03888

Log likelihood

421.3443

Hannan-Quinn criter.

-17.08680

F-statistic

0.325145

Durbin-Watson stat

1.913174

Prob(F-statistic)

0.571248

F-statistic

0.868879

Prob. F(4,24)

0.4969

Obs*R-squared

6.324750

Prob. Chi-Square(4)

0.1762

Test Equation:

Dependent Variable: RESID

Method: ARDL

Sample: 2005Q1 2017Q2

Included observations: 50

Presample missing value lagged residuals set to zero.

Variable

Coefficient

Std. Error

t-Statistic

Prob.

CPI(-1)

-0.084613

0.141166

-0.599382

0.5545

CPI(-2)

0.094145

0.130576

0.720996

0.4779

NFA_AD

-0.003753

0.022874

-0.164063

0.8711

NFA_AD(-1)

0.001987

0.016458

0.120740

0.9049

NDA_AD

-0.000716

0.027535

-0.025996

0.9795

NDA_AD(-1)

-0.002961

0.029509

-0.100334

0.9209

NDA_AD(-2)

0.011294

0.024479

0.461354

0.6487

MM

-0.001586

0.009337

-0.169918

0.8665

MM(-1)

0.001834

0.009365

0.195864

0.8464

MM(-2)

-0.003815

0.008937

-0.426854

0.6733

MM(-3)

0.003277

0.008833

0.370994

0.7139

Y

-0.000462

0.002709

-0.170431

0.8661

Y(-1)

0.000169

0.003170

0.053410

0.9578

Y(-2)

0.001272

0.004526

0.281010

0.7811

Y(-3)

-0.000483

0.004603

-0.104949

0.9173

Y(-4)

0.001458

0.003642

0.400247

0.6925

V

-0.003490

0.026296

-0.132732

0.8955

V(-1)

0.003045

0.018278

0.166596

0.8691

DL

0.002428

0.028211

0.086079

0.9321

DL(-1)

0.018498

0.039708

0.465857

0.6455

DL(-2)

-0.014911

0.032444

-0.459593

0.6499

C

-0.014532

0.092712

-0.156739

0.8768

0.213864

0.289935

0.737626

0.4679

RESID(-2)

-0.311583

0.275348

-1.131598

0.2690

RESID(-3)

-0.074138

0.283361

-0.261640

0.7958

RESID(-4)

-0.389531

0.274144

-1.420901

0.1682

R-squared

0.126495

Mean dependent var

-4.11E-16

Adjusted R-squared

-0.783406

S.D. dependent var

0.006627

S.E. of regression

0.008850

Akaike info criterion

-6.310791

Sum squared resid

0.001880

Schwarz criterion

-5.316539

Log likelihood

183.7698

Hannan-Quinn criter.

-5.932174

F-statistic

0.139021

Durbin-Watson stat

2.153697

Prob(F-statistic)

0.999997

Test Statistic

Value

df

Probability

t-statistic

5.495136

35

0.0000

F-statistic

30.19652

(1, 35)

0.0000

Chi-square

30.19652

1

0.0000

Null Hypothesis: C(2)=0 Null Hypothesis Summary:

Normalized Restriction (= 0)

Value

Std. Err.

C(2)

0.057581

0.010478

Restrictions are linear in coefficients.

Equation: Untitled

Test Statistic

Value

df

Probability

t-statistic

8.085833

35

0.0000

F-statistic

65.38070

(1, 35)

0.0000

Chi-square

65.38070

1

0.0000

Null Hypothesis: C(13)+C(14)=0

Null Hypothesis Summary:

Normalized Restriction (= 0)

Value

Std. Err.

C(13) + C(14)

0.215440

0.026644

Dependent Variable: CPI

Method: ARDL

Sample: 2007Q2 2017Q2

Included observations: 41

Maximum dependent lags: 4 (Automatic selection)

Model selection method: Schwarz criterion (SIC)

Dynamic regressors (4 lags, automatic): NFA_AD NDA_AD MM Y V DL

Fixed regressors: C

Number of models evalulated: 62500

Selected Model: ARDL(2, 1, 2, 3, 4, 1, 2)

Variable

Coefficient

Std. Error

t-Statistic

Prob.*

CPI(-1)

1.090409

0.129767

8.402797

0.0000

CPI(-2)

-0.330303

0.128279

-2.574884

0.0186

NFA_AD

0.055417

0.034445

1.608861

0.1241

NFA_AD(-1)

0.057844

0.021916

2.639330

0.0162

NDA_AD

-0.016263

0.042873

-0.379342

0.7086

NDA_AD(-1)

0.099410

0.034892

2.849085

0.0103

NDA_AD(-2)

0.086669

0.028844

3.004754

0.0073

MM

0.015776

0.010469

1.506865

0.1483

MM(-1)

-0.011813

0.010721

-1.101902

0.2843

MM(-2)

0.021543

0.009861

2.184793

0.0416

MM(-3)

0.027203

0.008905

3.054773

0.0065

Y

-0.004121

0.002685

-1.534930

0.1413

Y(-1)

0.002140

0.003332

0.642107

0.5285

Y(-2)

-0.004434

0.004391

-1.009701

0.3253

Y(-3)

-0.009630

0.004930

-1.953135

0.0657

Y(-4)

0.021809

0.004046

5.389790

0.0000

V

0.056209

0.042575

1.320232

0.2024

0.999459

Mean dependent var

1.201763

Adjusted R-squared

0.998862

S.D. dependent var

0.270628

S.E. of regression

0.009131

Akaike info criterion

-6.250236

Sum squared resid

0.001584

Schwarz criterion

-5.330759

Log likelihood

150.1298

Hannan-Quinn criter.

-5.915413

F-statistic

1672.284

Durbin-Watson stat

1.853627

Prob(F-statistic)

0.000000

V(-1)

0.071161

0.031078

2.289780

0.0336

DL

0.084813

0.035099

2.416388

0.0259

DL(-1)

-0.003138

0.045534

-0.068918

0.9458

DL(-2)

-0.163148

0.037348

-4.368363

0.0003

C

0.011897

0.101601

0.117098

0.9080

Sample: 2007Q2 2017Q2

Included observations: 41

Null Hypothesis: No long-run relationships exist

Test Statistic

Value

k

F-statistic

8.844508

6

Critical Value Bounds

Significance

I0 Bound

I1 Bound

10%

1.99

2.94

5%

2.27

3.28

2.5%

2.55

3.61

1%

2.88

3.99

Dependent Variable: D(CPI)

Method: Least Squares

Sample: 2007Q2 2017Q2

Included observations: 41

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(CPI(-1))

0.330303

0.128279

2.574884

0.0186

D(NFA_AD)

0.055417

0.034445

1.608861

0.1241

D(NDA_AD)

-0.016263

0.042873

-0.379342

0.7086

D(NDA_AD(-1))

-0.086669

0.028844

-3.004754

0.0073

D(MM)

0.015776

0.010469

1.506865

0.1483

D(MM(-1))

-0.048746

0.009775

-4.986874

0.0001

D(MM(-2))

-0.027203

0.008905

-3.054773

0.0065

D(Y)

-0.004121

0.002685

-1.534930

0.1413

D(Y(-1))

-0.007746

0.004193

-1.847490

0.0803

D(Y(-2))

-0.012180

0.004879

-2.496368

0.0219

D(Y(-3))

-0.021809

0.004046

-5.389790

0.0000

D(V)

0.056209

0.042575

1.320232

0.2024

D(DL)

0.084813

0.035099

2.416388

0.0259

D(DL(-1))

0.163148

0.037348

4.368363

0.0003

C

0.011897

0.101601

0.117098

0.9080

NFA_AD(-1)

0.113260

0.044745

2.531238

0.0204

NDA_AD(-1)

0.169816

0.056283

3.017171

0.0071

MM(-1)

0.052709

0.013763

3.829728

0.0011

Y(-1)

0.005765

0.002984

1.931594

0.0685

V(-1)

0.127371

0.050739

2.510323

0.0213

DL(-1)

-0.081473

0.028225

-2.886524

0.0095

CPI(-1)

-0.239894

0.053126

-4.515536

0.0002

R-squared

0.902568

Mean dependent var

0.021078

Adjusted R-squared

0.794879

S.D. dependent var

0.020161

S.E. of regression

0.009131

Akaike info criterion

-6.250236

Sum squared resid

0.001584

Schwarz criterion

-5.330759

Log likelihood

150.1298

Hannan-Quinn criter.

-5.915413

F-statistic

8.381300

Durbin-Watson stat

1.853627

0.000010

Original dep. variable: CPI

Selected Model: ARDL(2, 1, 2, 3, 4, 1, 2)

Sample: 2007Q2 2017Q2

Included observations: 41

Cointegrating Form

Variable

Coefficient

Std. Error

t-Statistic

Prob.

D(CPI(-1))

0.330303

0.074306

4.445152

0.0003

D(NFA_AD)

0.055417

0.014455

3.833630

0.0011

D(NDA_AD)

-0.016263

0.020397

-0.797325

0.4351

D(NDA_AD(-1))

-0.086669

0.019693

-4.400941

0.0003

D(MM)

0.015776

0.006193

2.547237

0.0197

D(MM(-1))

-0.048746

0.007139

-6.828306

0.0000

D(MM(-2))

-0.027203

0.007268

-3.742950

0.0014

D(Y)

-0.004121

0.001756

-2.347212

0.0299

D(Y(-1))

-0.007746

0.002434

-3.182507

0.0049

D(Y(-2))

-0.012180

0.003204

-3.801540

0.0012

D(Y(-3))

-0.021809

0.002918

-7.473937

0.0000

D(V)

0.056209

0.019886

2.826652

0.0108

D(DL)

0.084813

0.020131

4.213050

0.0005

D(DL(-1))

0.163148

0.028751

5.674522

0.0000

CointEq(-1)

-0.239894

0.024380

-9.839923

0.0000

Cointeq = CPI - (0.4721*NFA_AD + 0.7079*NDA_AD + 0.2197*MM + 0.0240

*Y + 0.5309*V -0.3396*DL + 0.0496 )

Long Run Coefficients

Variable

Coefficient

Std. Error

t-Statistic

Prob.

NFA_AD

0.472126

0.203852

2.316019

0.0319

0.707877

0.284288

2.490002

0.0222

MM

0.219718

0.038945

5.641800

0.0000

Y

0.024030

0.012781

1.880187

0.0755

V

0.530946

0.225999

2.349329

0.0298

DL

-0.339622

0.070567

-4.812768

0.0001

C

0.049594

0.419955

0.118093

0.9072

F-statistic

0.012986

Prob. F(1,38)

0.9099

Obs*R-squared

0.013665

Prob. Chi-Square(1)

0.9069

Test Equation:

Dependent Variable: RESID^2

Method: Least Squares

Sample (adjusted): 2007Q3 2017Q2

Included observations: 40 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

3.79E-05

9.69E-06

3.909969

0.0004

RESID^2(-1)

-0.018323

0.160786

-0.113958

0.9099

R-squared

0.000342

Mean dependent var

3.72E-05

Adjusted R-squared

-0.025965

S.D. dependent var

4.73E-05

S.E. of regression

4.79E-05

Akaike info criterion

-17.00473

Sum squared resid

8.73E-08

Schwarz criterion

-16.92029

Log likelihood

342.0947

Hannan-Quinn criter.

-16.97420

F-statistic

0.012986

Durbin-Watson stat

1.912885

Prob(F-statistic)

0.909871

F-statistic

1.543699

Prob. F(4,15)

0.2401

Obs*R-squared

11.95604

Prob. Chi-Square(4)

0.0177

Test Equation:

Dependent Variable: RESID

Method: ARDL

Sample: 2007Q2 2017Q2

Included observations: 41

Presample missing value lagged residuals set to zero.

Variable

Coefficient

Std. Error

t-Statistic

Prob.

CPI(-1)

0.010757

0.146072

0.073640

0.9423

CPI(-2)

0.012313

0.142844

0.086196

0.9325

NFA_AD

0.008726

0.036998

0.235849

0.8167

NFA_AD(-1)

0.013217

0.023884

0.553373

0.5882

NDA_AD

0.014059

0.047019

0.299013

0.7690

NDA_AD(-1)

0.005041

0.035937

0.140269

0.8903

NDA_AD(-2)

0.001909

0.028438

0.067139

0.9474

MM

0.004975

0.011481

0.433321

0.6709

MM(-1)

-0.000392

0.010935

-0.035852

0.9719

MM(-2)

-0.004942

0.010314

-0.479153

0.6387

MM(-3)

0.000208

0.008952

0.023285

0.9817

Y

0.002648

0.003472

0.762726

0.4575

Y(-1)

0.000632

0.003529

0.179165

0.8602

Y(-2)

-0.001985

0.005047

-0.393377

0.6996

Y(-3)

0.001131

0.004929

0.229438

0.8216

Y(-4)

0.002198

0.004062

0.541136

0.5964

V

0.014458

0.047122

0.306810

0.7632

V(-1)

0.021300

0.033481

0.636181

0.5342

DL

-0.004152

0.035115

-0.118239

0.9074

0.020809

0.046619

0.446367

0.6617

DL(-2)

-0.015808

0.037169

-0.425308

0.6767

C

-0.056613

0.108193

-0.523259

0.6084

RESID(-1)

-0.422109

0.377506

-1.118151

0.2811

RESID(-2)

-0.430861

0.295794

-1.456623

0.1658

RESID(-3)

-0.453701

0.279647

-1.622404

0.1255

RESID(-4)

-0.689115

0.353626

-1.948714

0.0703

R-squared

0.291611

Mean dependent var

-1.42E-16

Adjusted R-squared

-0.889038

S.D. dependent var

0.006293

S.E. of regression

0.008649

Akaike info criterion

-6.399876

Sum squared resid

0.001122

Schwarz criterion

-5.313221

Log likelihood

157.1975

Hannan-Quinn criter.

-6.004176

F-statistic

0.246992

Durbin-Watson stat

2.395481

Prob(F-statistic)

0.998982

II III IV

I

II III IV

I

II III IV

I

II III

IV

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