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.



Có thể bạn quan tâm!

Xem toàn bộ 184 trang tài liệu này.

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

DNDAAD

-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

Xem tất cả 184 trang.

Ngày đăng: 23/04/2022
Trang chủ Tài liệu miễn phí