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 - 21


Bảng A3.6. Kết quả Kiem dinh wald bien NFA phương trình sai phân


Wald Test: Equation: Untitled


Test Statistic

Value

df

Probability

t-statistic

3.835237

26

0.0007

F-statistic

14.70904

(1, 26)

0.0007

Chi-square

14.70904

1

0.0001


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



Normalized Restriction (= 0)

Value

Std. Err.

C(2)

0.055448

0.014457

Restrictions are linear in coefficients.



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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 - 21


Bảng A3.7. Kết quả kiem dinh Wald biến DL phương trình sai phân



Wald Test:




Equation: Untitled




Test Statistic

Value

df

Probability

t-statistic

8.196629

26

0.0000

F-statistic

67.18472

(1, 26)

0.0000

Chi-square

67.18472

1

0.0000


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

Null Hypothesis Summary:

Normalized Restriction (= 0)

Value

Std. Err.

C(13) + C(14)


0.247890

0.030243


PHỤ LỤC 4

KẾT QUẢ ƯỚC LƯỢNG VÀ KIỂM ĐỊNH MÔ HÌNH HIỆU QUẢ CAN THIỆP TRUNG HÒA

Bảng A4.1. Thống kê mô tả các biến


Chỉ tiêu

CA_1

D1_1SDR_1

D2_1SDE_1

DCPI_1

DDL_1

Mean

-0.005115

-0.011810

-4.07E-05

0.020362

-0.018190

Median

0.000695

8.94E-05

-0.001514

0.016320

-0.017303

Maximum

0.157609

0.163090

0.018796

0.083215

0.153352

Minimum

-0.388327

-0.187884

-0.017948

-0.004749

-0.117449

Std. Dev.

0.069440

0.058126

0.007641

0.017941

0.055057


Chỉ tiêu

DMM

DNDA_AD

DNFA_AD

DR_E

Y_1

Mean

0.013331

-0.014198

0.026376

0.006096

-0.064223

Median

0.014299

-0.003859

0.010483

0.011936

-0.259937

Maximum

0.191770

0.166292

0.375314

0.587656

3.015828

Minimum

-0.137199

-0.320034

-0.130482

-1.381377

-1.835627

Std. Dev.

0.059390

0.074187

0.078434

0.365518

1.062466


Bảng A4.2. Ma trận hệ số tương quan giữa các biến



CA_1

D1_1SDR_1

D2_1SDE_1

DCPI_1

DDL_1

DMM

DNDA_AD

DNFA_AD

DR_E

Y_1

CA_1

1.00

-0.01

-0.06

-0.47

-0.13

0.01

-0.14

0.15

0.19

-0.40

D1_1SDR_1

-0.01

1.00

-0.43

0.08

0.35

0.02

-0.49

0.42

0.19

-0.04

D2_1SDE_1

-0.06

-0.43

1.00

-0.22

-0.20

-0.05

0.40

-0.41

0.11

0.01

DCPI_1

-0.47

0.08

-0.22

1.00

0.29

-0.09

0.03

-0.02

-0.32

0.41

DDL_1

-0.13

0.35

-0.20

0.29

1.00

-0.10

-0.01

-0.05

-0.07

0.07

DMM

0.01

0.02

-0.05

-0.09

-0.10

1.00

-0.32

0.02

0.07

-0.26

DNDA AD

-0.14

-0.49

0.40

0.03

-0.01

-0.32

1.00

-0.91

-0.02

0.09

DNFA_AD

0.15

0.42

-0.41

-0.02

-0.05

0.02

-0.91

1.00

-0.03

-0.03

DR_E

0.19

0.19

0.11

-0.32

-0.07

0.07

-0.02

-0.03

1.00

-0.43

Y_1

-0.40

-0.04

0.01

0.41

0.07

-0.26

0.09

-0.03

-0.43

1.00


Bảng A4.3.Kết quả ước lượng phương trình (3.6)


Dependent Variable: DNDA_AD

Method: Two-Stage Least Squares

Sample: 2004Q1 2017Q2

Included observations: 54

Instrument specification: DMM DCPI_1 Y_1 CA_1 DR_E DDL_1 KH

D1_1SDR_1 D2_1SDE_1

Constant added to instrument list

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

0.006201

0.004320

1.435386

0.1582

DNFA_AD

-0.679842

0.148963

-4.563831

0.0000

DMM

-0.394999

0.045195

-8.739840

0.0000

DCPI_1

-0.064275

0.152507

-0.421456

0.6755

Y_1

-0.245278

0.332218

-0.738302

0.4643

CA_1

-0.045958

0.072879

-0.630605

0.5316

DR_E

0.034058

0.147339

0.231152

0.8183

DDL_1

-0.015004

0.058633

-0.255897

0.7992

KH

0.046399

0.283150

0.163866

0.8706

D1_1SDR_1

-0.231484

0.131886

-1.755175

0.0862

R-squared

0.919966

Mean dependent var

-0.014198

Adjusted R-squared

0.903595

S.D. dependent var

0.074187

S.E. of regression

0.023034

Sum squared resid

0.023346

F-statistic

28.86512

Durbin-Watson stat

2.177201

Prob(F-statistic)

0.000000

Second-Stage SSR

0.153857

J-statistic

1.52E-43

Instrument rank


10


Bảng A4.4. Kết quả kiểm định phương sai thay đổi phương trình (3.6)


Heteroskedasticity Test: Breusch-Pagan-Godfrey

F-statistic

1.695426

Prob. F(9,44)


0.1190

Obs*R-squared

13.90471

Prob. Chi-Square(9)

0.1258

Scaled explained SS

22.98980

Prob. Chi-Square(9)

0.0062


Test Equation:





Dependent Variable: RESID^2

Method: Least Squares





Sample: 2004Q1 2017Q2

Included observations: 54

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

0.000244

0.000146

1.671598

0.1017

DNFA_AD

0.006677

0.001943

3.437031

0.0013

DMM

0.000177

0.001388

0.127919

0.8988

DCPI_1

-0.001572

0.007379

-0.213049

0.8323

Y_1

-0.010825

0.009142

-1.184049

0.2428

CA_1

-0.003317

0.002213

-1.498793

0.1411

DR_E

0.000528

0.003934

0.134183

0.8939

DDL_1

0.002417

0.001633

1.480287

0.1459

KH

-0.002368

0.005757

-0.411355

0.6828

D1_1SDR_1

-0.008176

0.005560

-1.470575

0.1485

R-squared

0.257495

Mean dependent var

0.000432

Adjusted R-squared

0.105619

S.D. dependent var

0.000974

S.E. of regression

0.000921

Akaike info criterion

-10.97657

Sum squared resid

3.73E-05

Schwarz criterion


-10.60824

Log likelihood

306.3674

Hannan-Quinn criter.

-10.83452

F-statistic

1.695426

Durbin-Watson stat

2.404850

Prob(F-statistic)

0.118952




Bảng A4.5. Kết quả kiểm định tự tương quan phần dư phương trình (3.6)


Breusch-Godfrey Serial Correlation LM Test:

Obs*R-squared

0.673330

Prob. Chi-Square(2)

0.7141


Test Equation:





Dependent Variable: RESID

Method: Two-Stage Least Squares

Sample: 2004Q1 2017Q2

Included observations: 54

Presample missing value lagged residuals set to zero.

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

0.000498

0.006054

0.082282

0.9348

DNFA_AD

-0.007500

0.168451

-0.044526

0.9647

DMM

0.005442

0.052489

0.103686

0.9179

DCPI_1

-0.015028

0.206902

-0.072633

0.9424

Y_1

0.071382

0.365617

0.195238

0.8461

CA_1

0.001921

0.074739

0.025709

0.9796

DR_E

0.002063

0.132414

0.015581

0.9876

DDL_1

0.010767

0.077047

0.139753

0.8895

KH

-0.001046

0.249220

-0.004197

0.9967

D1_1SDR_1

-0.015821

0.115855

-0.136560

0.8920

RESID(-1)

-0.121470

0.153977

-0.788884

0.4346

RESID(-2)

-0.055765

0.149918

-0.371974

0.7118

R-squared

0.012469

Mean dependent var

-4.12E-18

Adjusted R-squared

-0.246170

S.D. dependent var

0.020988

S.E. of regression

0.023429

Akaike info criterion

-4.476551

Sum squared resid

0.023055

Schwarz criterion


-4.034555

Log likelihood

132.8669

Hannan-Quinn criter.

-4.306090

F-statistic

0.048210

Durbin-Watson stat

2.045336

Prob(F-statistic)

0.999997




Bảng A4.6. Kết quả kiểm định tính dừng của phần dư phương trình (3.6)


Null Hypothesis: RESID01 has a unit root

Exogenous: Constant





Lag Length: 0 (Automatic - based on SIC, maxlag=10)



t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

-7.807966

0.0000

Test critical values:

1% level

-3.560019



5% level

-2.917650



10% level

-2.596689


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESID01)

Method: Least Squares





Sample (adjusted): 2004Q2 2017Q2

Included observations: 53 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

RESID01(-1)

-1.088798

0.139447

-7.807966

0.0000

C

5.66E-05

0.002927

0.019336

0.9846

R-squared

0.544498

Mean dependent var

6.25E-05

Adjusted R-squared

0.535566

S.D. dependent var

0.031264

S.E. of regression

0.021307

Akaike info criterion

-4.822603

Sum squared resid

0.023152

Schwarz criterion


-4.748252

Log likelihood

129.7990

Hannan-Quinn criter.

-4.794011

F-statistic

60.96434

Durbin-Watson stat

2.003870

Prob(F-statistic)

0.000000




Bảng A4.7. Kết quả ước lượng phương trình (3.7)


Dependent Variable: DNFA_AD

Method: Two-Stage Least Squares

Sample (adjusted): 2004Q2 2017Q2

Included observations: 53 after adjustments

Convergence achieved after 14 iterations

Instrument specification: DMM DCPI_1 Y_1 CA_1 DR_E DDL_1 KH

D1_1SDR_1 D2_1SDE_1

Constant added to instrument list

Lagged dependent variable & regressors added to instrument list

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

0.011971

0.003320

3.605932

0.0008

DNDA_AD

-0.879631

0.121957

-7.212607

0.0000

DMM

-0.372104

0.036889

-10.08710

0.0000

DCPI_1

-0.160884

0.118095

-1.362328

0.1804

Y_1

-0.385641

0.260697

-1.479268

0.1465

CA_1

0.097758

0.032140

3.041599

0.0040

DR_E

0.171524

0.123204

1.392193

0.1712

DDL_1

-0.145018

0.067198

-2.158088

0.0367

KH

0.527362

0.135101

3.903473

0.0003

D2_1SDE_1

-0.817518

0.517833

-1.578730

0.1219

AR(1)

-0.305037

0.114145

-2.672354

0.0107

R-squared

0.933803

Mean dependent var

0.026715

Adjusted R-squared

0.918042

S.D. dependent var

0.079145

S.E. of regression

0.022658

Sum squared resid

0.021562

Durbin-Watson stat

2.046397

J-statistic


17.91666

Instrument rank

20

Prob(J-statistic)


0.036153

Inverted AR Roots

-.31





Bảng A4.8. Kết quả kiểm định phương sai thay đổi phương trình (3.7)


Heteroskedasticity Test: Breusch-Pagan-Godfrey

F-statistic

0.257541

Prob. F(9,43)


0.9825

Obs*R-squared

2.710789

Prob. Chi-Square(9)

0.9747

Scaled explained SS

4.701598

Prob. Chi-Square(9)

0.8595


Test Equation:





Dependent Variable: RESID^2

Method: Least Squares





Sample: 2004Q2 2017Q2

Included observations: 53

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

0.000335

0.000203

1.652529

0.1057

DNDA_AD

0.000532

0.003891

0.136640

0.8920

DMM

-0.000759

0.001556

-0.488193

0.6279

DCPI_1

-0.000162

0.006153

-0.026277

0.9792

Y_1

-0.013181

0.011223

-1.174416

0.2467

CA_1

-0.000829

0.001675

-0.495026

0.6231

DR_E

2.59E-05

0.004653

0.005556

0.9956

DDL_1

-0.001548

0.002577

-0.600603

0.5513

KH

0.003671

0.004449

0.825195

0.4138

D2_1SDE_1

0.017013

0.012190

1.395640

0.1700

R-squared

0.051147

Mean dependent var

0.000407

Adjusted R-squared

-0.147450

S.D. dependent var

0.000965

S.E. of regression

0.001034

Akaike info criterion

-10.74244

Sum squared resid

4.60E-05

Schwarz criterion


-10.37068

Log likelihood

294.6746

Hannan-Quinn criter.

-10.59948

F-statistic

0.257541

Durbin-Watson stat

2.240505

Prob(F-statistic)

0.982533




Bảng A4.9. Kết quả kiểm định tự tương quan phương trình (3.7)


Breusch-Godfrey Serial Correlation LM Test:

Obs*R-squared

3.521321

Prob. Chi-Square(2)

0.1719


Test Equation:





Dependent Variable: RESID

Method: Two-Stage Least Squares

Sample: 2004Q2 2017Q2

Included observations: 53

Coefficient covariance computed using outer product of gradients

Presample missing value lagged residuals set to zero.

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

-0.000499

0.004551

-0.109762

0.9131

DNDA_AD

-0.066432

0.044537

-1.491622

0.1436

DMM

-0.024001

0.055394

-0.433275

0.6671

DCPI_1

0.039310

0.170067

0.231146

0.8184

Y_1

0.051647

0.283876

0.181936

0.8566

CA_1

-0.011069

0.050422

-0.219534

0.8274

DR_E

-0.026577

0.100069

-0.265585

0.7919

DDL_1

0.015045

0.051625

0.291428

0.7722

KH

-0.055033

0.112959

-0.487197

0.6288

D2_1SDE_1

0.276933

0.398700

0.694590

0.4913

AR(1)

-0.889198

1.110493

-0.800723

0.4280

RESID(-1)

0.892554

1.128218

0.791118

0.4335

RESID(-2)

-0.386280

0.365644

-1.056436

0.2971

R-squared

0.066440

Mean dependent var

-5.26E-14

Adjusted R-squared

-0.213628

S.D. dependent var

0.020363

S.E. of regression

0.022433

Akaike info criterion

-4.547420

Sum squared resid

0.020129

Schwarz criterion


-4.064141

Log likelihood

133.5066

Hannan-Quinn criter.

-4.361574

F-statistic

0.237228

Durbin-Watson stat

1.915000

Prob(F-statistic)

0.994930




Bảng A4.10. Kết quả kiểm định tính dừng phần dư của phương trình (3.7)


Null Hypothesis: RESID02 has a unit root

Exogenous: Constant





Lag Length: 0 (Automatic - based on SIC, maxlag=10)



t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

-7.244771

0.0000

Test critical values:

1% level

-3.562669



5% level

-2.918778



10% level

-2.597285


*MacKinnon (1996) one-sided p-values.


Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RESID02)

Method: Least Squares





Sample (adjusted): 2004Q3 2017Q2

Included observations: 52 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

RESID02(-1)

-1.023794

0.141315

-7.244771

0.0000

C

9.11E-05

0.002877

0.031675

0.9749

R-squared

0.512132

Mean dependent var

0.000125

Adjusted R-squared

0.502374

S.D. dependent var

0.029414

S.E. of regression

0.020749

Akaike info criterion

-4.874912

Sum squared resid

0.021527

Schwarz criterion


-4.799864

Log likelihood

128.7477

Hannan-Quinn criter.

-4.846141

F-statistic

52.48670

Durbin-Watson stat

1.997415

Prob(F-statistic)

0.000000




Bảng A4.11. Kết quả ước lượng với biến tương tác DDL_1*DNDA_AD phương trình (3.7)


Dependent Variable: DNFA_AD

Method: Two-Stage Least Squares

Sample (adjusted): 2004Q2 2017Q2

Included observations: 53 after adjustments

Instrument specification: DMM DCPI_1 Y_1 CA_1 DR_E DDL_1 KH

D1_1SDR_1 D2_1SDE_1 DDL_1*DNDA_AD

Constant added to instrument list

Lagged dependent variable & regressors added to instrument list

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

0.011678

0.002998

3.895062

0.0004

DNDA_AD

-0.935611

0.087389

-10.70633

0.0000

DMM

-0.380767

0.036860

-10.32997

0.0000

DCPI_1

-0.199571

0.132313

-1.508327

0.1391

Y_1

-0.358954

0.234116

-1.533232

0.1329

CA_1

0.101981

0.036870

2.765941

0.0085

DR_E

0.203104

0.121776

1.667847

0.1030

DDL_1

-0.142862

0.060949

-2.343966

0.0240

KH

0.572437

0.158229

3.617775

0.0008

D2_1SDE_1

-0.648703

0.405603

-1.599354

0.1174

DDL_1*DNDA_AD

-0.979765

1.138378

-0.860667

0.3944

AR(1)

-0.274233

0.115602

-2.372220

0.0225

R-squared

0.939082

Mean dependent var

0.026715

Adjusted R-squared

0.922738

S.D. dependent var

0.079145

S.E. of regression

0.021999

Sum squared resid

0.019842

Durbin-Watson stat

2.047711

J-statistic


19.05916

Instrument rank

22

Prob(J-statistic)


0.039518

Inverted AR Roots

-.27





Bảng A4.12. Kết quả kiểm định Wald biến KH của phương trình (3.7)


Wald Test:




Equation: Untitled




Test Statistic

Value

df

Probability

t-statistic

3.903473

42

0.0003

F-statistic

15.23710

(1, 42)

0.0003

Chi-square

15.23710

1

0.0001


Bảng A4.13. Kết quả ước lượng với biến tương tác KH*DNDA_AD phương trình (3.7)


Dependent Variable: DNFA_AD

Method: Two-Stage Least Squares

Sample (adjusted): 2004Q2 2017Q2

Included observations: 53 after adjustments

Instrument specification: DMM DCPI_1 Y_1 CA_1 DR_E DDL_1 KH

D1_1SDR_1 D2_1SDE_1 KH*DNDA_AD

Constant added to instrument list

Lagged dependent variable & regressors added to instrument list

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

0.014314

0.003956

3.618222

0.0008

DNDA_AD

-0.733288

0.147619

-4.967438

0.0000

DMM

-0.334188

0.047853

-6.983642

0.0000

DCPI_1

-0.139379

0.142487

-0.978185

0.3337

Y_1

-0.353213

0.284340

-1.242221

0.2212

CA_1

0.051985

0.025034

2.076619

0.0441

DR_E

0.119109

0.118822

1.002411

0.3220

DDL_1

-0.110423

0.055729

-1.981447

0.0543

KH

0.310557

0.115364

2.691987

0.0102

D2_1SDE_1

-1.390046

0.670350

-2.073611

0.0444

KH*DNDA_AD

-3.426963

1.379801

-2.483665

0.0172

AR(1)

-0.212667

0.091868

-2.314928

0.0257

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