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3. Kiểm định tính dừng của phần dư 3:

Null Hypothesis: D(FRES) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=14)
			t-Statistic	Prob.*
Augmented Dickey-Fuller test statistic			-8.668593	0.0000
Test critical values:	1% level		-3.464827
	5% level		-2.876595
	10% level		-2.574874
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(FRES,2)
Method: Least Squares
Date: 01/14/18 Time: 17:39
Sample (adjusted): 2001M03 2016M12
Included observations: 190 after adjustments
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(FRES(-1))	-0.571173	0.065890	-8.668593	0.0000
C	99.33579	65.33263	1.520462	0.1301
R-squared	0.285564	Mean dependent var		-0.294737
Adjusted R-squared	0.281763	S.D. dependent var		1046.036
S.E. of regression	886.5038	Akaike info criterion		16.42292
Sum squared resid	1.48E+08	Schwarz criterion		16.45710
Log likelihood	-1558.177	Hannan-Quinn criter.		16.43676
F-statistic	75.14450	Durbin-Watson stat		1.991343
Prob(F-statistic)	0.000000

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4. Kiểm định tính dừng của phần dư 4:

Null Hypothesis: D(VCBXRATE) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=14)
			t-Statistic	Prob.*
Augmented Dickey-Fuller test statistic			-16.84041	0.0000
Test critical values:	1% level		-3.462737
	5% level		-2.875680
	10% level		-2.574385
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(VCBXRATE,2)
Method: Least Squares
Date: 01/14/18 Time: 17:40
Sample (adjusted): 2000M03 2016M12
Included observations: 202 after adjustments
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(VCBXRATE(-1))	-1.172930	0.069650	-16.84041	0.0000
C	50.89182	15.65548	3.250736	0.0014
R-squared	0.586435	Mean dependent var		-0.084158
Adjusted R-squared	0.584367	S.D. dependent var		338.6205
S.E. of regression	218.3073	Akaike info criterion		13.61954
Sum squared resid	9531620.	Schwarz criterion		13.65229
Log likelihood	-1373.573	Hannan-Quinn criter.		13.63279
F-statistic	283.5994	Durbin-Watson stat		2.014610
Prob(F-statistic)	0.000000

5. Kiểm định tính dừng của phần dư 5:

Null Hypothesis: D(VNCPI) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=14)
			t-Statistic	Prob.*
Augmented Dickey-Fuller test statistic			-6.310424	0.0000
Test critical values:	1% level		-3.462737
	5% level		-2.875680
	10% level		-2.574385
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(VNCPI,2)
Method: Least Squares
Date: 01/14/18 Time: 17:40
Sample (adjusted): 2000M03 2016M12
Included observations: 202 after adjustments
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(VNCPI(-1))	-0.331901	0.052596	-6.310424	0.0000
C	0.115173	0.032464	3.547687	0.0005
R-squared	0.166046	Mean dependent var		-0.001436
Adjusted R-squared	0.161876	S.D. dependent var		0.414385
S.E. of regression	0.379366	Akaike info criterion		0.909219
Sum squared resid	28.78365	Schwarz criterion		0.941974
Log likelihood	-89.83111	Hannan-Quinn criter.		0.922472
F-statistic	39.82145	Durbin-Watson stat		2.015782
Prob(F-statistic)	0.000000

6. Kiểm định tính dừng của phần dư 6:

Null Hypothesis: D(VNGOLD) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
			t-Statistic	Prob.*
Augmented Dickey-Fuller test statistic			-12.71408	0.0000
Test critical values:	1% level		-3.481217
	5% level		-2.883753
	10% level		-2.578694
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(VNGOLD,2)
Method: Least Squares
Date: 01/14/18 Time: 17:41
Sample (adjusted): 2006M03 2016M12
Included observations: 130 after adjustments
Variable	Coefficient	Std. Error	t-Statistic	Prob.
D(VNGOLD(-1))	-1.116206	0.087793	-12.71408	0.0000
C	0.215723	0.166805	1.293267	0.1982
R-squared	0.558084	Mean dependent var		-0.002169
Adjusted R-squared	0.554631	S.D. dependent var		2.834754
S.E. of regression	1.891800	Akaike info criterion		4.128199
Sum squared resid	458.1000	Schwarz criterion		4.172315
Log likelihood	-266.3330	Hannan-Quinn criter.		4.146125
F-statistic	161.6477	Durbin-Watson stat		2.005013
Prob(F-statistic)	0.000000

Response of DLOG (VNCPI):
Period	DLOG (VNCPI)	DLOG (VNGOLD)	DLOG (INTERGOLD)	DLOG (VCBXRATE)	DLOG (FRES)	DLOG (INTEREST)
1	0.007262	0.000000	0.000000	0.000000	0.000000	0.000000
	(0.00060)	(0.00000)	(0.00000)	(0.00000)	(0.00000)	(0.00000)
2	0.004771	0.000654	-0.001115	-0.000190	-0.000281	0.000903
	(0.00080)	(0.00090)	(0.00087)	(0.00083)	(0.00071)	(0.00086)
3	0.003324	0.000544	-0.000655	-0.000211	-0.000651	0.000382
	(0.00092)	(0.00061)	(0.00060)	(0.00051)	(0.00092)	(0.00058)
4	0.002194	0.000275	-0.000402	-0.000108	-0.000709	0.000281
	(0.00092)	(0.00044)	(0.00044)	(0.00035)	(0.00090)	(0.00039)
5	0.001420	0.000154	-0.000232	-6.80E-05	-0.000634	0.000192
	(0.00083)	(0.00031)	(0.00031)	(0.00025)	(0.00078)	(0.00028)
6	0.000900	7.89E-05	-0.000129	-4.09E-05	-0.000512	0.000126
	(0.00070)	(0.00023)	(0.00023)	(0.00017)	(0.00062)	(0.00020)
7	0.000558	3.69E-05	-6.81E-05	-2.37E-05	-0.000389	8.17E-05
	(0.00056)	(0.00016)	(0.00017)	(0.00012)	(0.00047)	(0.00014)
8	0.000338	1.44E-05	-3.36E-05	-1.33E-05	-0.000283	5.17E-05
	(0.00044)	(0.00011)	(0.00012)	(7.9E-05)	(0.00034)	(9.5E-05)
9	0.000199	3.16E-06	-1.46E-05	-7.14E-06	-0.000199	3.20E-05
	(0.00033)	(7.9E-05)	(8.6E-05)	(5.3E-05)	(0.00025)	(6.5E-05)
10	0.000114	-1.92E-06	-4.69E-06	-3.59E-06	-0.000136	1.93E-05
	(0.00025)	(5.5E-05)	(6.0E-05)	(3.5E-05)	(0.00017)	(4.5E-05)

PHỤ LỤC 3: Kết quả hàm phản ứng đẩy (Impulse-Response) Giai đoạn 1

Response of DLOG

(VNGOLD):


Period	DLOG (VNCPI)	DLOG (VNGOLD)	DLOG (INTERGOLD)	DLOG (VCBXRATE)	DLOG (FRES)	DLOG (INTEREST)
1	-0.000594	0.077391	0.000000	0.000000	0.000000	0.000000
	(0.00900)	(0.00636)	(0.00000)	(0.00000)	(0.00000)	(0.00000)
2	-0.004820	-0.004371	-0.004931	-0.003850	-0.008260	0.002034
	(0.00733)	(0.00945)	(0.00925)	(0.00887)	(0.00754)	(0.00914)
3	-0.002920	-0.000660	0.002800	0.000794	-0.005092	-0.002323
	(0.00470)	(0.00242)	(0.00261)	(0.00239)	(0.00473)	(0.00321)
4	-0.003292	-0.001352	0.000865	0.000347	-0.002506	0.000290
	(0.00323)	(0.00125)	(0.00133)	(0.00088)	(0.00292)	(0.00127)
5	-0.002377	-0.000537	0.000806	0.000121	-0.001188	-0.000297
	(0.00227)	(0.00078)	(0.00082)	(0.00046)	(0.00184)	(0.00057)
6	-0.001778	-0.000415	0.000485	0.000119	-0.000448	-0.000176
	(0.00163)	(0.00046)	(0.00051)	(0.00029)	(0.00125)	(0.00037)
7	-0.001263	-0.000243	0.000312	7.46E-05	-8.41E-05	-0.000141
	(0.00118)	(0.00032)	(0.00034)	(0.00020)	(0.00088)	(0.00026)
8	-0.000873	-0.000146	0.000193	4.87E-05	7.75E-05	-0.000103
	(0.00086)	(0.00021)	(0.00024)	(0.00014)	(0.00064)	(0.00018)
9	-0.000588	-8.51E-05	0.000117	3.11E-05	0.000133	-7.34E-05
	(0.00062)	(0.00015)	(0.00016)	(9.7E-05)	(0.00046)	(0.00013)
10	-0.000387	-4.79E-05	6.90E-05	1.94E-05	0.000136	-5.05E-05
	(0.00045)	(0.00010)	(0.00011)	(6.8E-05)	(0.00034)	(9.0E-05)

Response of DLOG (INTERGOL

D):


Period	DLOG (VNCPI)	DLOG (VNGOLD)	DLOG (INTERGOLD)	DLOG (VCBXRATE)	DLOG (FRES)	DLOG (INTEREST)
1	-0.001621	0.060561	0.036569	0.000000	0.000000	0.000000
	(0.00823)	(0.00655)	(0.00301)	(0.00000)	(0.00000)	(0.00000)
2	-0.003789	-0.005077	-0.005840	-0.003785	0.000659	0.004883
	(0.00669)	(0.00863)	(0.00843)	(0.00808)	(0.00689)	(0.00836)
3	-0.000231	0.001068	0.001621	0.000291	0.000287	-0.002539
	(0.00397)	(0.00215)	(0.00232)	(0.00223)	(0.00398)	(0.00299)
4	-0.000908	-0.000499	-0.000189	0.000173	0.000430	0.000442
	(0.00275)	(0.00088)	(0.00099)	(0.00055)	(0.00245)	(0.00108)
5	-0.000417	7.22E-05	0.000106	-2.52E-05	0.000288	-0.000138
	(0.00187)	(0.00050)	(0.00054)	(0.00019)	(0.00144)	(0.00038)
6	-0.000272	-3.00E-05	2.14E-05	1.71E-05	0.000218	-3.51E-05
	(0.00129)	(0.00027)	(0.00033)	(9.6E-05)	(0.00089)	(0.00019)
7	-0.000160	-1.77E-06	1.38E-05	5.63E-06	0.000154	-2.57E-05
	(0.00088)	(0.00017)	(0.00021)	(6.2E-05)	(0.00056)	(0.00012)
8	-9.27E-05	5.82E-07	4.42E-06	2.96E-06	0.000106	-1.53E-05
	(0.00059)	(0.00010)	(0.00013)	(4.1E-05)	(0.00036)	(8.0E-05)
9	-5.15E-05	2.49E-06	5.91E-07	1.41E-06	7.11E-05	-9.21E-06
	(0.00040)	(6.5E-05)	(8.2E-05)	(2.6E-05)	(0.00024)	(5.4E-05)
10	-2.73E-05	2.80E-06	-1.18E-06	5.48E-07	4.67E-05	-5.25E-06
	(0.00026)	(4.0E-05)	(5.1E-05)	(1.7E-05)	(0.00017)	(3.6E-05)

Response of

DLOG(VCB XRATE):


Period	DLOG (VNCPI)	DLOG (VNGOLD)	DLOG (INTERGOLD)	DLOG (VCBXRATE)	DLOG (FRES)	DLOG (INTEREST)
1	0.002977	0.002058	0.004919	0.016012	0.000000	0.000000
	(0.00198)	(0.00195)	(0.00190)	(0.00132)	(0.00000)	(0.00000)
2	-0.000666	-0.000310	-0.002872	-0.001923	-0.001324	0.004972
	(0.00175)	(0.00220)	(0.00214)	(0.00205)	(0.00176)	(0.00206)
3	0.001065	0.000690	0.000669	-0.000250	-0.001246	-0.001271
	(0.00105)	(0.00090)	(0.00091)	(0.00089)	(0.00104)	(0.00101)
4	0.000188	-0.000316	-5.71E-05	0.000122	-0.000701	0.000260
	(0.00068)	(0.00037)	(0.00039)	(0.00034)	(0.00061)	(0.00044)
5	0.000101	-1.46E-05	6.48E-05	-1.48E-05	-0.000448	1.97E-05
	(0.00049)	(0.00017)	(0.00017)	(0.00012)	(0.00040)	(0.00017)
6	1.62E-05	-4.64E-05	3.86E-05	5.85E-06	-0.000271	1.35E-05
	(0.00035)	(9.4E-05)	(0.00010)	(5.8E-05)	(0.00027)	(7.5E-05)
7	-1.93E-05	-2.99E-05	3.08E-05	4.90E-06	-0.000160	5.17E-06
	(0.00025)	(5.9E-05)	(6.7E-05)	(3.6E-05)	(0.00018)	(4.5E-05)
8	-3.10E-05	-2.09E-05	2.21E-05	3.76E-06	-9.13E-05	7.53E-07
	(0.00018)	(3.8E-05)	(4.4E-05)	(2.2E-05)	(0.00012)	(2.9E-05)
9	-3.13E-05	-1.41E-05	1.56E-05	2.92E-06	-5.02E-05	-1.30E-06
	(0.00012)	(2.5E-05)	(2.9E-05)	(1.3E-05)	(8.4E-05)	(2.0E-05)
10	-2.70E-05	-9.30E-06	1.06E-05	2.14E-06	-2.62E-05	-1.88E-06
	(8.6E-05)	(1.6E-05)	(1.9E-05)	(8.3E-06)	(5.7E-05)	(1.3E-05)