Trang chủ / Tài Chính

Hội nhập tài chính và chính sách tiền tệ tại Việt Nam 1674801841 - 30


2011M11

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 - 30


2015M04

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


2018M09

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


Lag

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

Log likelihood

-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


Lag

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

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