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Đánh giá mức độ tự do hóa và tác động của tự do hóa tài chính đến bất ổn tài chính ở Việt Nam - 7


Year

IRD

REB

RRR

ECC

IPR

SMR

PSB

EAL

FLI

Q3

0.1571

0

0

0

0.1244

0.1257

0

0

0.4072

Q4

0.1571

0

0

0

0.1244

0.1257

0

0

0.4072

2003Q1

0.1571

0

0

0

0.1244

0.1257

0

0

0.4072

Q2

0.1571

0

0

0

0.1244

0.1257

0

0

0.4072

Q3

0.1571

0

0

0

0.1244

0.1257

0

0

0.4072

Q4

0.1571

0

0

0

0.1244

0.1257

0

0

0.4072

2004Q1

0.1571

0

0

0

0.1244

0.1257

0

0

0.4072

Q2

0.1571

0

0

0

0.1244

0.1257

0

0

0.4072

Q3

0.1571

0

0

0

0.1244

0.1257

0

0

0.4072

Q4

0.1571

0

0

0

0.1244

0.1257

0

0

0.4072

2005Q1

0.1571

0

0

0

0.1244

0.1257

0

0

0.4072

Q2

0.1571

0

0

0

0.1244

0.1257

0.0785

0

0.4857

Q3

0.1571

0

0

0

0.1244

0.1257

0.0785

0

0.4857

Q4

0.1571

0

0

0

0.1244

0.1257

0.0785

0

0.4857

2006Q1

0.1571

0

0

0

0.1244

0.1257

0.0785

0

0.4857

Q2

0.1571

0

0

0

0.1244

0.1257

0.0785

0

0.4857

Q3

0.1571

0

0

0

0.1244

0.1257

0.0785

0

0.4857

Q4

0.1571

0

0

0

0.1244

0.1257

0.0785

0

0.4857

2007Q1

0.1571

0

0

0

0.1244

0.1257

0.0785

0.2323

0.718

Q2

0.1571

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.8381

Q3

0.1571

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.8381

Q4

0.1571

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.8381

2008Q1

0.1571

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.8381

Q2

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

Q3

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

Q4

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

2009Q1

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

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Đánh giá mức độ tự do hóa và tác động của tự do hóa tài chính đến bất ổn tài chính ở Việt Nam - 7


Year

IRD

REB

RRR

ECC

IPR

SMR

PSB

EAL

FLI

Q2

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

Q3

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

Q4

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

2010Q1

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

Q2

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

Q3

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

Q4

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

2011Q1

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

Q2

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

Q3

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

Q4

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

2012Q1

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

Q2

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

Q3

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681

Q4

0

0.1201

0

0

0.1244

0.1257

0.0785

0.2323

0.681


PHỤ LỤC 2

BẢNG SỐ LIỆU CỦA CÁC BIẾN TRONG GIAI ĐOẠN TỪ QUÝ 01/1996 ĐẾN QUÝ 04/2012




Year

FIS

LRR

LnFIS

LnLRR

FLI

1996Q1

13.1429

0.167

2.5759

-1.7898

0.1244

Q2

18.2

0.156

2.9014

-1.8579

0.1244

Q3

15.6667

0.143

2.7515

-1.9449

0.1244

Q4

11.625

0.144

2.4532

-1.9379

0.1244

1997Q1

13.0882

0.1137

2.5717

-2.1745

0.1244

Q2

11.1429

0.113

2.4108

-2.1804

0.1244

Q3

10.8219

0.114

2.3816

-2.1716

0.1244

Q4

1.3333

0.099

0.2877

-2.3126

0.1244

1998Q1

1.25

0.066

0.2231

-2.7181

0.1244

Q2

15.7143

0.054

2.7546

-2.9188

0.1244

Q3

21.6667

0.064

3.0758

-2.7489

0.1244

Q4

14.4444

0.052

2.6703

-2.9565

0.1244

1999Q1

110

0.132

4.7005

-2.0250

0.1244

Q2

90

0.132

4.4998

-2.0250

0.1244

Q3

100

0.124

4.6052

-2.0875

0.1244

Q4

120

0.12

4.7875

-2.1203

0.1244

2000Q1

9.5455

0.108

2.2561

-2.2256

0.1244


Year

FIS

LRR

LnFIS

LnLRR

FLI

Q2

7.3333

0.108

1.9924

-2.2256

0.1244

Q3

9.3333

0.104

2.2336

-2.2634

0.2815

Q4

8.7692

0.102

2.1712

-2.2828

0.2815

2001Q1

5.5714

0.0965

1.7177

-2.3382

0.2815

Q2

4.1579

0.0835

1.4250

-2.4829

0.2815

Q3

5.3333

0.08

1.6740

-2.5257

0.2815

Q4

6.75

0.0768

1.9095

-2.5666

0.2815

2002Q1

6.7961

0.0552

1.9164

-2.8973

0.2815

Q2

6.6355

0.0475

1.8924

-3.0470

0.2815

Q3

6.9307

0.075

1.9360

-2.5903

0.4072

Q4

6.8571

0.0748

1.9253

-2.5929

0.4072

2003Q1

2.9752

0.0841

1.0903

-2.4754

0.4072

Q2

3.0159

0.0645

1.1039

-2.7416

0.4072

Q3

0.3101

0.0754

-1.1709

-2.5846

0.4072

Q4

3.8852

0.0652

1.3572

-2.7308

0.4072

2004Q1

1.7969

0.0254

0.5860

-3.6730

0.4072

Q2

2.1212

0.0454

0.7520

-3.0922

0.4072

Q3

1.9118

0.0368

0.6480

-3.3023

0.4072

Q4

2.1642

0.0213

0.7720

-3.8490

0.4072

2005Q1

2.439

0.0287

0.8916

-3.5509

0.4072

Q2

2.4031

0.0288

0.8768

-3.5484

0.4857


Year

FIS

LRR

LnFIS

LnLRR

FLI

Q3

2.6718

0.0308

0.9827

-3.4802

0.4857

Q4

2.6016

0.0333

0.9561

-3.4031

0.4857

2006Q1

2.437

0.0418

0.8908

-3.1761

0.4857

Q2

2.439

0.0418

0.8916

-3.1761

0.4857

Q3

2.0149

0.0418

0.7006

-3.1761

0.4857

Q4

2.6316

0.0418

0.9676

-3.1749

0.4857

2007Q1

1.0526

0.0318

0.0513

-3.4483

0.7180

Q2

1.125

0.0318

0.1178

-3.4483

0.8381

Q3

0.7143

0.0318

-0.3365

-3.4483

0.8381

Q4

1.1765

0.0318

0.1625

-3.4483

0.8381

2008Q1

2.1333

-0.0868

0.7577

0.0000

0.8381

Q2

2

-0.0236

0.6931

0.0000

0.6810

Q3

1.381

-0.019

0.3228

0.0000

0.6810

Q4

3.1818

-0.0892

1.1575

0.0000

0.6810

2009Q1

1.4286

0.0354

0.3567

-3.3410

0.6810

Q2

1.6154

0.0357

0.4796

-3.3326

0.6810

Q3

1.5

0.0419

0.4055

-3.1725

0.6810

Q4

1.8333

0.0398

0.6061

-3.2249

0.6810

2010Q1

1.9231

0.033

0.6539

-3.4112

0.6810

Q2

2.1212

0.0444

0.7520

-3.1145

0.6810

Q3

1.8462

0.0537

0.6131

-2.9249

0.6810


Year

FIS

LRR

LnFIS

LnLRR

FLI

Q4

2.0155

0.0513

0.7009

-2.9693

0.6810

2011Q1

2.5893

0.0005

0.9514

-7.7063

0.6810

Q2

2.3077

0.0042

0.8362

-5.4727

0.6810

Q3

2.5424

-0.0109

0.9331

0.0000

0.6810

Q4

3.1193

-0.0316

1.1376

0.0000

0.6810

2012Q1

5.5224

0.063

1.7088

-2.7646

0.6810

Q2

5.5714

0.0487

1.7177

-3.0227

0.6810

Q3

5.0667

0.0349

1.6227

-3.3544

0.6810

Q4

5.1646

0.0323

1.6418

-3.4336

0.6810


PHỤ LỤC 3

KẾT QUẢ KIỂM ĐỊNH CỦA MÔ HÌNH




1. Kiểm định nghiệm đơn vị

Sử dụng kiểm định nghiệm đơn vị (unit root test) ADF để xác định chuỗi dữ liệu có dừng hay không? Kết quả cho thấy tất cả các chuỗi dữ liệu đều không dừng ở chuỗi gốc, sau khi lấy sai phân bậc 1 thì tất cả đều dừng. Chi tiết như sau:

Chuỗi LnFIS là không dừng


Null Hypothesis: LNFIS has a unit root Exogenous: None

Lag Length: 1 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.609439 0.0932

Test critical values: 1% level -2.600471

5% level -1.945823

10% level -1.613589

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


Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNFIS)

Method: Least Squares

Sample (adjusted): 1996Q3 2012Q4 Included observations: 66 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

LNFIS(-1)

-0.082693

0.050134 -1.649439

0.1040

D(LNFIS(-1))

-0.205056

0.120727 -1.698508

0.0943

R-squared

0.096635

Mean dependent var

-0.019085

Adjusted R-squared

0.082520

S.D. dependent var

0.775553

S.E. of regression

0.742865

Akaike info criterion

2.273228

Sum squared resid

35.31826

Schwarz criterion

2.339582

Log likelihood

-73.01654

Hannan-Quinn criter.

2.299448

Durbin-Watson stat

2.037438




Chuỗi FLI là không dừng


Null Hypothesis: FLI has a unit root Exogenous: None

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


t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 0.841244 0.8902

Test critical values:

1% level

-2.599934


5% level

-1.945745


10% level

-1.613633

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


Augmented Dickey-Fuller Test Equation Dependent Variable: D(FLI)

Method: Least Squares

Sample (adjusted): 1996Q2 2012Q4 Included observations: 67 after adjustments

Variable Coefficient Std. Error t-Statistic

Prob.

FLI(-1) 0.009607 0.011419 0.841244

0.4032

R-squared -0.023257 Mean dependent var

0.008307

Adjusted R-squared -0.023257 S.D. dependent var

0.045241

S.E. of regression 0.045764 Akaike info criterion

-3.315811

Sum squared resid 0.138229 Schwarz criterion

-3.282905

Log likelihood 112.0797 Hannan-Quinn criter.

Durbin-Watson stat 1.633412

-3.302790

Chuỗi LnLRR là không dừng



Null Hypothesis: LNLRR has a unit root Exogenous: None

Lag Length: 2 (Automatic - based on SIC, maxlag=10)


t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic -0.831527

0.3519

Test critical values: 1% level -2.601024


5% level -1.945903

10% level -1.613543


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


Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNLRR) Method: Least Squares

Sample (adjusted): 1996Q4 2012Q4 Included observations: 65 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

LNLRR(-1)

-0.039632

0.047662

-0.831527

0.4089

D(LNLRR(-1))

0.050820

0.115124

0.441441

0.6604

D(LNLRR(-2))

-0.436304

0.115296

-3.784207

0.0003

R-squared

0.218083

Mean dependent var

-0.022903

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