3.4639 | -0.2020 | 2.8080 | -1.7547 | -2.4028 | -0.2020 | |
2011M12 | 3.2208 | -0.1098 | -0.6110 | -1.7038 | -2.3505 | -0.2074 |
2012M01 | 3.0071 | -0.0161 | -9.9070 | -0.8592 | 0.0266 | 0.1923 |
2012M02 | 2.9135 | 0.0032 | 24.4630 | -0.8270 | -0.6161 | -0.0534 |
2012M03 | 2.7830 | 0.1552 | -15.5600 | -2.2908 | -1.2552 | -0.3538 |
2012M04 | 2.8805 | -0.0614 | 1.0170 | -3.6128 | -2.4984 | -0.4199 |
2012M05 | 3.0446 | -0.2099 | -0.7280 | -2.1954 | -2.2970 | -0.9579 |
2012M06 | 3.0507 | -0.1594 | 1.2350 | -1.4468 | 2.6468 | -0.2726 |
2012M07 | 2.8659 | -0.1136 | -1.9200 | -1.5426 | -0.6602 | 0.1618 |
2012M08 | 2.7530 | 0.2277 | -1.7000 | -0.3131 | -1.2899 | -0.0308 |
2012M09 | 2.7269 | 0.0428 | 5.2520 | 1.4378 | 0.9851 | -0.0389 |
2012M10 | 2.7897 | 0.0155 | -4.8920 | 0.5199 | -0.7750 | 0.2997 |
2012M11 | 2.8155 | -0.1356 | 0.1100 | 0.0853 | -1.2563 | -0.1254 |
2012M12 | 2.8511 | -0.0029 | 1.0570 | -0.2769 | 0.2207 | -0.3969 |
2013M01 | 2.6031 | 0.1886 | 15.1730 | 0.2644 | -0.3696 | -0.0780 |
2013M02 | 2.6442 | 0.0596 | -31.2000 | -0.0528 | 0.3539 | -0.0458 |
2013M03 | 2.5674 | -0.0567 | 15.7000 | -0.3740 | -0.0156 | -0.1008 |
2013M04 | 2.6367 | -0.1477 | 0.2000 | -0.0320 | -0.0707 | -0.2394 |
2013M05 | 2.6022 | 0.2095 | 0.9000 | -0.2554 | -0.6738 | -0.1653 |
2013M06 | 2.8445 | 0.4039 | -0.2000 | 0.3306 | -0.5372 | -0.2747 |
2013M07 | 2.6372 | 0.2676 | 0.5000 | 0.5992 | 2.3892 | 0.0774 |
2013M08 | 2.6539 | 0.2608 | -2.6000 | 0.2132 | 0.3852 | -0.1242 |
2013M09 | 2.6873 | 0.0787 | 1.2000 | -1.1991 | -0.9392 | 0.1065 |
2013M10 | 2.7349 | -0.2119 | 0.3000 | -0.3795 | 0.6270 | 0.0933 |
2013M11 | 2.5591 | 0.0187 | -0.2000 | -0.1371 | -0.0502 | -0.0916 |
2013M12 | 2.6527 | 0.0804 | 1.3000 | 0.2532 | -1.2691 | -0.1071 |
2014M01 | 2.6561 | -0.0315 | -4.0000 | -0.5865 | 0.6665 | 0.0272 |
2014M02 | 2.7389 | -0.1616 | 12.2000 | -0.8014 | -1.4967 | 0.0200 |
2014M03 | 2.6971 | -0.0344 | -10.5000 | -0.2621 | 0.1122 | -0.1118 |
2014M04 | 2.6531 | 0.0625 | 1.3000 | 0.0626 | 0.2118 | -0.1477 |
2014M05 | 2.5237 | -0.1009 | -0.1000 | 0.2717 | 1.4440 | 0.1353 |
2014M06 | 2.4459 | 0.0734 | 0.2000 | 0.2617 | -0.4167 | -0.0818 |
2014M07 | 2.5093 | -0.0676 | 1.4000 | -0.0419 | 0.1436 | -0.0706 |
2014M08 | 2.6021 | -0.0387 | -0.8000 | -0.6349 | 0.3992 | -0.5114 |
2014M09 | 2.6002 | 0.1261 | 1.9000 | -0.6812 | -1.1433 | -0.7027 |
2014M10 | 2.8936 | -0.2470 | -0.7000 | -0.3919 | 0.3469 | -1.0159 |
2014M11 | 2.5962 | -0.0492 | 3.2000 | -0.6276 | 0.2932 | 0.2990 |
2014M12 | 2.7907 | -0.1985 | -1.5000 | -0.7656 | -0.2552 | 0.3690 |
2015M01 | 2.9507 | -0.3111 | 7.9000 | -0.9002 | -0.1647 | -0.0259 |
2015M02 | 2.7666 | 0.0792 | -10.5000 | -0.6023 | 0.9531 | -0.3298 |
2015M03 | 2.6955 | 0.0291 | 2.1000 | 0.5946 | 0.0511 | -0.1268 |
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Hội nhập tài chính và chính sách tiền tệ tại Việt Nam 1674801841 - 29 -
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Xem toàn bộ 256 trang tài liệu này.
2.6023 | -0.0507 | 0.4000 | 0.0605 | 0.0622 | 0.0601 | |
2015M05 | 2.5907 | 0.2966 | -2.0000 | -0.0403 | -0.4260 | -0.0145 |
2015M06 | 2.6630 | 0.1938 | 3.6000 | 0.0503 | 1.0049 | 0.1235 |
2015M07 | 2.6639 | -0.0462 | 0.2000 | -0.1008 | -1.1932 | 0.0918 |
2015M08 | 2.9667 | -0.0832 | -2.3000 | -0.2920 | 1.3997 | 0.0828 |
2015M09 | 3.1936 | 0.0115 | 1.1000 | -0.6113 | 0.1274 | 0.2187 |
2015M10 | 2.8208 | -0.1126 | -1.3000 | 0.0000 | -1.2950 | 0.0716 |
2015M11 | 2.7856 | 0.1317 | 0.1000 | 0.3411 | -0.8682 | -0.0669 |
2015M12 | 2.8918 | -0.1046 | 0.1000 | 0.2582 | 1.5064 | -0.1199 |
2016M01 | 3.1662 | -0.1474 | -3.1000 | 0.1998 | -0.3220 | 0.0554 |
2016M02 | 3.1143 | -0.3049 | 2.0000 | 0.4732 | -0.8277 | 0.0447 |
2016M03 | 2.7631 | 0.0688 | -1.7000 | 0.4242 | 0.6194 | -0.0890 |
2016M04 | 2.6603 | -0.0256 | 1.7000 | 0.1978 | 0.4861 | 0.0072 |
2016M05 | 2.6982 | 0.0296 | -0.1000 | 0.3874 | -1.6126 | -0.0290 |
2016M06 | 2.8778 | -0.1406 | -0.4000 | 0.1167 | -0.4410 | -0.0451 |
2016M07 | 2.5771 | -0.1454 | -0.2000 | -0.0020 | -0.4172 | 0.0256 |
2016M08 | 2.5177 | 0.1075 | 0.1000 | 0.1767 | -0.4443 | -0.0718 |
2016M09 | 2.6546 | 0.0809 | 0.3000 | 0.7741 | -0.4034 | -0.2114 |
2016M10 | 2.6800 | 0.1369 | -0.6000 | 0.7451 | -0.0054 | -0.5178 |
2016M11 | 2.7237 | 0.3211 | 0.2000 | 0.4270 | 0.9905 | -0.0957 |
2016M12 | 2.5235 | 0.2587 | 1.1000 | 0.2203 | 1.8782 | -0.0414 |
2017M01 | 2.4517 | -0.0443 | -7.6000 | 0.4799 | 0.0705 | 0.0363 |
2017M02 | 2.4450 | -0.0249 | 14.5000 | -0.1943 | -0.7165 | -0.0369 |
2017M03 | 2.4764 | 0.0099 | -9.7000 | -0.3775 | 1.2989 | -0.0514 |
2017M04 | 2.5754 | -0.1044 | 1.9000 | -0.3458 | 0.0860 | -0.1133 |
2017M05 | 2.3873 | 0.0433 | -0.2000 | -1.1082 | 0.1206 | -0.0575 |
2017M06 | 2.3527 | -0.0892 | 1.4000 | -0.6529 | -1.4270 | -0.0146 |
2017M07 | 2.3287 | 0.1248 | -0.5000 | -0.0187 | -1.3728 | -0.3537 |
2017M08 | 2.4829 | -0.0327 | 0.3000 | 0.8345 | -0.8777 | -0.0322 |
2017M09 | 2.3455 | -0.0021 | 4.8000 | 0.0504 | 0.2938 | 0.0571 |
2017M10 | 2.3151 | 0.1665 | 3.8000 | -0.4289 | -0.0263 | -0.0065 |
2017M11 | 2.3552 | -0.0880 | 0.2000 | -0.3579 | 0.1347 | -0.0441 |
2017M12 | 2.3287 | -0.0385 | -6.0000 | -0.0216 | -0.2610 | -0.2378 |
2018M01 | 2.4036 | 0.1886 | 10.7000 | 0.0528 | 0.4897 | -0.5122 |
2018M02 | 3.1119 | 0.2502 | -13.9000 | 0.5053 | 0.7057 | -0.2333 |
2018M03 | 2.9457 | -0.0723 | 0.7000 | -0.4911 | -1.1919 | -0.1663 |
2018M04 | 2.9051 | 0.1129 | 0.7000 | 0.0823 | 0.1247 | 0.1481 |
2018M05 | 2.6479 | 0.1538 | -2.3000 | 1.1113 | 0.6495 | 0.2136 |
2018M06 | 2.6158 | -0.0279 | 5.2000 | 0.8111 | -0.0517 | 0.1267 |
2018M07 | 2.5762 | -0.0285 | 2.0000 | -0.2094 | 0.9527 | 0.1541 |
2018M08 | 2.5295 | 0.0945 | -3.0000 | -0.4814 | 1.6012 | 0.1868 |
2.5580 | 0.1268 | -2.2000 | 0.0014 | -0.2549 | 0.0895 | |
2018M10 | 2.9628 | 0.1584 | -1.4000 | -0.0849 | 0.3879 | 0.0287 |
2018M11 | 2.9647 | -0.1499 | 1.9000 | -0.4357 | 0.5895 | 0.0119 |
2018M12 | 3.2146 | -0.3883 | 1.8000 | -0.4750 | -0.9589 | -0.0663 |
2019M01 | 2.9741 | -0.1085 | -3.3000 | -0.4200 | -0.5290 | -0.1496 |
2019M02 | 2.7236 | -0.0502 | 2.0000 | 0.0758 | 0.0176 | -0.1565 |
2019M03 | 2.6731 | -0.1522 | -0.9000 | 0.0612 | -0.0420 | 0.0666 |
2019M04 | 2.5610 | 0.0414 | 0.1000 | 0.2322 | 0.0397 | -0.0553 |
2019M05 | 2.8167 | -0.0983 | 0.9000 | -0.0568 | 0.2327 | -0.0688 |
2019M06 | 2.7488 | -0.2953 | -1.2000 | -0.7165 | 0.6436 | -0.0875 |
2019M07 | 2.5882 | -0.0204 | 0.8000 | 0.2783 | -0.5972 | -0.1230 |
2019M08 | 2.9433 | -0.3811 | 0.7000 | -0.1754 | -0.3184 | -0.2137 |
Bảng B2. Thống kê mô tả biến
VIX | I_US_10Y | IP | IF | I_VN_ON | I_VN_10Y | |
Mean | 18.32466 | 2.493565 | 8.800594 | 6.269985 | 4.816350 | 8.210783 |
Median | 16.26010 | 2.403202 | 8.105500 | 4.581179 | 3.733627 | 8.652483 |
Maximum | 45.57053 | 3.755953 | 27.93500 | 23.01658 | 16.50121 | 12.26164 |
Minimum | 10.12545 | 1.510776 | -10.10000 | -0.002206 | 0.685768 | 4.208751 |
Std. Dev. | 7.115604 | 0.578483 | 4.491586 | 5.371556 | 3.334750 | 2.482914 |
Observations | 126 | 126 | 126 | 126 | 126 | 126 |
VIX I_US_10Y
50 4.0
40 3.5
3.0
30
2.5
20
2.0
10 1.5
0
09 10 11 12 13 14 15 16 17 18 19
1.0
09 10 11 12 13 14 15 16 17 18 19
IP IF
30 25
20 20
15
10
10
0
5
-10 0
-20
09 10 11 12 13 14 15 16 17 18 19
-5
09 10 11 12 13 14 15 16 17 18 19
I_VN_ON I_VN_10Y
20 14
16 12
12 10
8 8
4 6
0
09 10 11 12 13 14 15 16 17 18 19
4
09 10 11 12 13 14 15 16 17 18 19
Hình B1. Thống kê mô tả biến
Bảng B3. Kiểm định tính dừng Biến Rủi ro toàn cầu – LVIX
Null Hypothesis: LVIX has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic | Prob.* | ||
Augmented Dickey-Fuller test statistic | -3.848150 | 0.0032 | |
Test critical values: | 1% level | -3.482453 | |
5% level | -2.884291 | ||
10% level | -2.578981 | ||
*MacKinnon (1996) one-sided p-values.
Biến Lãi suất dài hạn Mỹ – I_US_10Y Null Hypothesis: I_US_10Y has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic | Prob.* | ||
Augmented Dickey-Fuller test statistic | -2.021564 | 0.2774 | |
Test critical values: | 1% level | -3.482879 | |
5% level | -2.884477 | ||
10% level | -2.579080 | ||
*MacKinnon (1996) one-sided p-values.
Biến Lãi suất dài hạn Mỹ lấy sai phân bậc 1 – D(I_US_10Y)
Null Hypothesis: D(I_US_10Y) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic | Prob.* | ||
Augmented Dickey-Fuller test statistic | -8.685709 | 0.0000 | |
Test critical values: | 1% level | -3.482879 | |
5% level | -2.884477 | ||
10% level | -2.579080 | ||
*MacKinnon (1996) one-sided p-values.
Biến Sản lượng công nghiệp – D(IP) Null Hypothesis: DIP has a unit root Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=12)
t-Statistic | Prob.* | ||
Augmented Dickey-Fuller test statistic | -11.75661 | 0.0000 | |
Test critical values: | 1% level | -3.483751 | |
5% level | -2.884856 | ||
10% level | -2.579282 | ||
*MacKinnon (1996) one-sided p-values.
Biến Lạm phát – D(IF)
Null Hypothesis: DIF has a unit root Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=12)
t-Statistic | Prob.* | ||
Augmented Dickey-Fuller test statistic | -4.092973 | 0.0014 | |
Test critical values: | 1% level | -3.483751 | |
5% level | -2.884856 | ||
10% level | -2.579282 | ||
*MacKinnon (1996) one-sided p-values.
Biến Lãi suất ngắn hạn Việt Nam – I_VN_ON Null Hypothesis: I_VN_ON has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic | Prob.* | ||
Augmented Dickey-Fuller test statistic | -1.824473 | 0.3673 | |
Test critical values: | 1% level | -3.482453 | |
5% level | -2.884291 | ||
10% level | -2.578981 | ||
*MacKinnon (1996) one-sided p-values.
Biến Lãi suất ngắn hạn Việt Nam lấy sai phân bậc 1 – I_VN_ON
Null Hypothesis: D(I_VN_ON) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic | Prob.* | ||
Augmented Dickey-Fuller test statistic | -9.992035 | 0.0000 | |
Test critical values: | 1% level | -3.483312 | |
5% level | -2.884665 | ||
10% level | -2.579180 | ||
*MacKinnon (1996) one-sided p-values.
Biến Lãi suất dài hạn Việt Nam – I_VN_ON Null Hypothesis: I_VN_10Y has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic | Prob.* | ||
Augmented Dickey-Fuller test statistic | -0.163822 | 0.9388 | |
Test critical values: | 1% level | -3.482879 | |
5% level | -2.884477 | ||
10% level | -2.579080 | ||
*MacKinnon (1996) one-sided p-values.
Biến Lãi suất dài hạn Việt Nam lấy sai phân bậc 1– D(I_VN_ON)
Null Hypothesis: D(I_VN_10Y) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic | Prob.* | ||
Augmented Dickey-Fuller test statistic | -6.343981 | 0.0000 | |
Test critical values: | 1% level | -3.483312 | |
5% level | -2.884665 | ||
10% level | -2.579180 | ||
*MacKinnon (1996) one-sided p-values.
Bảng B4. Lựa chọn độ trễ tối ưu của mô hình
VAR Lag Order Selection Criteria
Endogenous variables: LVIX D(I_US_10Y) D(IP) D(IF) D(I_VN_ON) D(I_VN_10Y) Exogenous variables: C
Date: 07/24/20 Time: 21:26 Sample: 2009M01 2019M06
Included observations: 121
LogL | LR | FPE | AIC | SC | HQ | |
0 | -712.8521 | NA | 0.004803 | 11.68865 | 11.82583 | 11.74437 |
1 | -537.5854 | 330.5844 | 0.000499 | 9.424153 | 10.38441* | 9.814208* |
2 | -493.8080 | 78.30101* | 0.000442* | 9.297692* | 11.08103 | 10.02208 |
3 | -464.4689 | 49.61414 | 0.000497 | 9.405998 | 12.01241 | 10.46472 |
4 | -442.6611 | 34.75071 | 0.000639 | 9.636765 | 13.06626 | 11.02982 |
Bảng B5. Kiểm định nhận dạng quá mức
-558.2906 | |||||
LR test for over-identification: | |||||
Chi-square(8) | 3.680332 | Probability | 0.8848 | ||
1.5
1.0
0.5
0.0
-0.5
-1.0
-1.5
-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5
Hình B1. Kiểm định tính ổn định của mô hình
Bảng B6. Kiểm định tự tương quan của phần dư
VAR Residual Serial Correlation LM Tests Date: 07/24/20 Time: 21:29
Sample: 2009M01 2019M06
Included observations: 123
Null hypothesis: No serial correlation at lag h
LRE* stat | df | Prob. | Rao F-stat | df | Prob. | |
1 | 45.63076 | 36 | 0.1305 | 1.283165 | (36, 446.3) | 0.1310 |
2 | 54.33678 | 36 | 0.0255 | 1.542669 | (36, 446.3) | 0.0257 |
3 | 33.50286 | 36 | 0.5879 | 0.929696 | (36, 446.3) | 0.5887 |
4 | 37.76927 | 36 | 0.3884 | 1.052988 | (36, 446.3) | 0.3892 |
5 | 48.25900 | 36 | 0.0832 | 1.360993 | (36, 446.3) | 0.0836 |
6 | 46.10069 | 36 | 0.1207 | 1.297048 | (36, 446.3) | 0.1213 |
7 | 36.05652 | 36 | 0.4660 | 1.003356 | (36, 446.3) | 0.4668 |
8 | 36.39728 | 36 | 0.4502 | 1.013216 | (36, 446.3) | 0.4510 |
9 | 21.53534 | 36 | 0.9730 | 0.589856 | (36, 446.3) | 0.9731 |
10 | 43.09797 | 36 | 0.1936 | 1.208580 | (36, 446.3) | 0.1943 |
11 | 32.68224 | 36 | 0.6272 | 0.906112 | (36, 446.3) | 0.6279 |
12 | 48.34088 | 36 | 0.0820 | 1.363424 | (36, 446.3) | 0.0824 |