Sự truyền dẫn chính sách tiền tệ thông qua sự truyền dẫn của lãi xuất kết quả thực nghiệm trọng khối ASEAN +3 - 5


C(9)

0.108288

0.019501

5.553041

0.0000

C(19)

0.461798

0.062679

7.367710

0.0000

C(29)

0.048661

0.020908

2.327391

0.0201

C(10)

0.068433

0.013716

4.989206

0.0000

C(20)

0.269831

0.069197

3.899444

0.0001

C(30)

0.058854

0.013708

4.293366

0.0000

C(11)

0.030155

0.057406

0.525286

0.5995

C(21)

0.043610

0.076062

0.573344

0.5665

C(31)

-0.003790

0.056851

-0.066670

0.9469

C(32)

0.312484

0.057154

5.467431

0.0000

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Sự truyền dẫn chính sách tiền tệ thông qua sự truyền dẫn của lãi xuất kết quả thực nghiệm trọng khối ASEAN +3 - 5

Determinant residual covariance 5.72E-15


Equation: D(LR_CHI) = C(1) + C(2)*D(MR_CHI) + C(12)*D(LR_CHI(-1)) + C(22)*D(MR_CHI(-1))

Observations: 130


R-squared

0.517832

Mean dependent var

-0.020077

Adjusted R-squared

0.506351

S.D. dependent var

0.195474

S.E. of regression

0.137340

Sum squared resid

2.376657

Durbin-Watson stat

2.088933



Equation: D(LR_IND) = C(1) + C(3)*D(MR_IND) + C(13)*D(LR_IND(-1)) + C(23)*D(MR_IND(-1))

Observations: 130


R-squared

0.464938

Mean dependent var

-0.046154

Adjusted R-squared

0.452198

S.D. dependent var

0.873653

S.E. of regression

0.646623

Sum squared resid

52.68323

Durbin-Watson stat

2.288591



Equation: D(LR_JAP) =C(1) + C(4)*D(MR_JAP) + C(14)*D(LR_JAP(-1)) + C(24)*D(MR_JAP(-1))

Observations: 130


R-squared

0.493459

Mean dependent var

-0.004338

Adjusted R-squared

0.481398

S.D. dependent var

0.014459

S.E. of regression

0.010413

Sum squared resid

0.013661

Durbin-Watson stat

2.173785



Equation: D(LR_KOR)=C(1)+C(5)*D(MR_KOR)+C(15)*D(LR_KOR(-1)) + C(25)*D(MR_KOR(-1))

Observations: 130


R-squared

0.815661

Mean dependent var

-0.032692

Adjusted R-squared

0.811271

S.D. dependent var

0.410834

S.E. of regression

0.178478

Sum squared resid

4.013653

Durbin-Watson stat

1.886445



Equation:D(LR_MAL)=C(1) +C(6)*D(MR_MAL) + C(16)*D(LR_MAL(-1)) + C(26)*D(MR_MAL(-1))

Observations: 130


R-squared

0.354222

Mean dependent var

-0.029538

Adjusted R-squared

0.338846

S.D. dependent var

0.247530

S.E. of regression

0.201270

Sum squared resid

5.104211

Durbin-Watson stat

2.127096



Equation:D(LR_MYA)=C(1)+C(7)*D(MR_MYA)+C(17)*D(LR_MYA(-1))+ C(27)*D(MR_MYA(-1))

Observations: 130


R-squared

0.277235

Mean dependent var

0.003846

Adjusted R-squared

0.260026

S.D. dependent var

0.654431

S.E. of regression

0.562953

Sum squared resid

39.93137

Durbin-Watson stat

2.287043



Equation: D(LR_PHI) = C(1) + C(8)*D(MR_PHI) + C(18)*D(LR_PHI(-1)) + C(28)*D(MR_PHI(-1))

Observations: 130


R-squared

0.155150

Mean dependent var

-0.029669

Adjusted R-squared

0.135034

S.D. dependent var

1.031496

S.E. of regression

0.959328

Sum squared resid

115.9590

Durbin-Watson stat

2.022388



Equation: D(LR_SIN) = C(1) + C(9)*D(MR_SIN) + C(19)*D(LR_SIN(-1)) + C(29)*D(MR_SIN(-1))

Observations: 130


R-squared

0.483690

Mean dependent var

-0.007154

Adjusted R-squared

0.471397

S.D. dependent var

0.139974

S.E. of regression

0.101768

Sum squared resid

1.304945

Durbin-Watson stat

2.093168



Equation:D(LR_THA)= C(1) + C(10)*D(MR_THA)+C(20)*D(LR_THA(-1))+C(30)*D(MR_THA(-1))

Observations: 130


R-squared

0.316555

Mean dependent var

-0.047308

Adjusted R-squared

0.300282

S.D. dependent var

0.286743

S.E. of regression

0.239858

Sum squared resid

7.249003

Durbin-Watson stat

2.159007



Equation: D(LR_VNA) = C(1) +C(11)*D(MR_VNA) + C(21)*D(LR_VNA(

-1))+ C(31)*D(MR_VNA(-1)) +C(32)*D(MR_VNA(-2))

Observations: 129


R-squared

0.175400

Mean dependent var

-0.029612

Adjusted R-squared

0.148800

S.D. dependent var

0.302067

S.E. of regression

0.278689

Sum squared resid

9.630774

Durbin-Watson stat

2.017426




4.3.2 Thời kỳ sau khủng hoảng


System: SYS01_DR

Estimation Method: Seemingly Unrelated Regression

Date: 03/16/13 Time: 14:20 Sample: 2008M03 2012M07

Included observations: 53

Total system (balanced) observations 530

Linear estimation after one-step weighting matrix



Coefficient

Std. Error

t-Statistic

Prob.

C(1)

-0.005274

0.015778

-0.334280

0.7383

C(11)

0.833525

0.100659

8.280681

0.0000

C(21)

0.133284

0.087272

1.527218

0.1273


C(2)

0.004831

0.018979

0.254552

0.7992

C(12)

0.182081

0.058699

3.101954

0.0020

C(22)

0.825788

0.059120

13.96791

0.0000

C(3)

-0.001055

0.013374

-0.078852

0.9372

C(13)

0.022918

0.416362

0.055044

0.9561

C(23)

0.111927

0.128332

0.872172

0.3835

C(4)

0.005586

0.031263

0.178683

0.8583

C(14)

0.666137

0.119097

5.593250

0.0000

C(24)

0.385228

0.080635

4.777415

0.0000

C(5)

0.006681

0.007813

0.855198

0.3929

C(15)

1.196968

0.096529

12.40008

0.0000

C(25)

-0.602095

0.100838

-5.970901

0.0000

C(6)

-0.040679

0.038400

-1.059331

0.2900

C(16)

0.961815

0.133346

7.212908

0.0000

C(26)

-0.019901

0.095295

-0.208840

0.8347

C(7)

0.011957

0.057940

0.206376

0.8366

C(17)

0.845549

0.323247

2.615795

0.0092

C(27)

-0.133811

0.112553

-1.188864

0.2351

C(8)

-0.004870

0.001988

-2.450397

0.0146

C(18)

0.013284

0.010048

1.322063

0.1868

C(28)

0.135877

0.126274

1.076053

0.2824

C(9)

0.029269

0.021506

1.360992

0.1741

C(19)

0.949311

0.115536

8.216599

0.0000

C(29)

-0.587961

0.114257

-5.145948

0.0000

C(10)

-0.033989

0.114347

-0.297246

0.7664

C(20)

0.433631

0.093405

4.642489

0.0000

C(30)

0.415197

0.100796

4.119199

0.0000

Determinant residual covariance 3.19E-18


Equation: D(DR_CHI) = C(1) + C(11)*D(MR_CHI) + C(21)*D(DR_CHI(-1))

Observations: 53


R-squared

0.642134

Mean dependent var

-0.021509

Adjusted R-squared

0.627819

S.D. dependent var

0.193345

S.E. of regression

0.117953

Sum squared resid

0.695649

Durbin-Watson stat

1.752198



Equation: D(DR_IND) = C(2) + C(12)*D(MR_IND) + C(22)*D(DR_IND(-1))

Observations: 53


R-squared

0.786634

Mean dependent var

-0.031887

Adjusted R-squared

0.778100

S.D. dependent var

0.296382

S.E. of regression

0.139615

Sum squared resid

0.974614

Durbin-Watson stat

1.848768



Equation: D(DR_JAP) = C(3) + C(13)*D(MR_JAP) + C(23)*D(DR_JAP(-1))

Observations: 53


R-squared

0.028175

Mean dependent var

-0.001623

Adjusted R-squared

-0.010698

S.D. dependent var

0.097343

S.E. of regression

0.097863

Sum squared resid

0.478854

Durbin-Watson stat

1.787401




Equation: D(DR_KOR) = C(4) + C(14)*D(MR_KOR) + C(24) *D(DR_KOR(-1))

Observations: 53


R-squared

0.507030

Mean dependent var

-0.034906

Adjusted R-squared

0.487311

S.D. dependent var

0.323886

S.E. of regression

0.231910

Sum squared resid

2.689115

Durbin-Watson stat

1.938743



Equation: D(DR_MAL) = C(5) + C(15)*D(MR_MAL) + C(25)*D(DR_MAL(-1))

Observations: 53

R-squared

0.755355

Mean dependent var

-0.003019

Adjusted R-squared

0.745569

S.D. dependent var

0.116596

S.E. of regression

0.058812

Sum squared resid

0.172944

Durbin-Watson stat

2.436589



Equation: D(DR_MYA) = C(6) + C(16)*D(MR_MYA) + C(26) *D(DR_MYA(-1))

Observations: 53


R-squared

0.490616

Mean dependent var

-0.075472

Adjusted R-squared

0.470240

S.D. dependent var

0.384760

S.E. of regression

0.280046

Sum squared resid

3.921299

Durbin-Watson stat

2.002579



Equation: D(DR_PHI) = C(7) + C(17)*D(MR_PHI) + C(27)*D(DR_PHI(-1))

Observations: 53

R-squared

0.072109

Mean dependent var

-0.006208

Adjusted R-squared

0.034994

S.D. dependent var

0.447453

S.E. of regression

0.439555

Sum squared resid

9.660408

Durbin-Watson stat

1.637830



Equation: D(DR_SIN) = C(8) + C(18)*D(MR_SIN) + C(28)*D(DR_SIN(-1))

Observations: 53


R-squared

0.024589

Mean dependent var

-0.006038

Adjusted R-squared

-0.014428

S.D. dependent var

0.013205

S.E. of regression

0.013300

Sum squared resid

0.008845

Durbin-Watson stat

2.044040



Equation: D(DR_THA) = C(9) + C(19)*D(MR_THA) + C(29)*D(DR_THA(-1))

Observations: 53


R-squared

0.536572

Mean dependent var

0.020755

Adjusted R-squared

0.518035

S.D. dependent var

0.232725

S.E. of regression

0.161566

Sum squared resid

1.305184

Durbin-Watson stat

2.176433



Equation: D(DR_VNA) = C(10) + C(20)*D(MR_VNA) + C(30) *D(DR_VNA(-1))

Observations: 53


R-squared

0.475375

Mean dependent var

0.000566

Adjusted R-squared

0.454390

S.D. dependent var

1.167435

S.E. of regression

0.862331

Sum squared resid

37.18074

Durbin-Watson stat

1.952531




System: SYS03 _LR

Estimation Method: Seemingly Unrelated Regression

Date: 03/16/13 Time: 14:38 Sample: 2008M03 2012M07

Included observations: 53

Total system (balanced) observations 530

Linear estimation after one-step weighting matrix



Coefficient

Std. Error

t-Statistic

Prob.

C(1)

-0.011498

0.016461

-0.698471

0.4852

C(11)

0.683672

0.100404

6.809216

0.0000

C(21)

0.217366

0.087214

2.492326

0.0130

C(2)

-0.007520

0.019102

-0.393667

0.6940

C(12)

0.055057

0.055247

0.996557

0.3195

C(22)

0.502097

0.090233

5.564424

0.0000

C(3)

-0.007529

0.001720

-4.377752

0.0000

C(13)

0.104185

0.039262

2.653620

0.0082

C(23)

0.146278

0.115907

1.262027

0.2075

C(4)

0.001909

0.016799

0.113649

0.9096

C(14)

0.634282

0.073947

8.577495

0.0000

C(24)

0.214814

0.073827

2.909700

0.0038

C(5)

-0.024449

0.009195

-2.658919

0.0081

C(15)

0.514778

0.076012

6.772362

0.0000

C(25)

0.001188

0.107328

0.011067

0.9912

C(6)

-0.038924

0.038386

-1.014001

0.3111

C(16)

1.007461

0.132518

7.602443

0.0000

C(26)

-0.019473

0.094629

-0.205778

0.8370

C(7)

-0.084474

0.063538

-1.329509

0.1843

C(17)

0.056724

0.389121

0.145775

0.8842

C(27)

-0.612748

0.102199

-5.995630

0.0000

C(8)

4.05E-07

0.000659

0.000614

0.9995

C(18)

1.82E-05

0.003840

0.004733

0.9962

C(28)

-0.552825

0.115484

-4.787044

0.0000

C(9)

0.008335

0.012124

0.687462

0.4921

C(19)

0.521314

0.070375

7.407679

0.0000

C(29)

-0.130798

0.111387

-1.174266

0.2408

C(10)

-0.001292

0.138658

-0.009314

0.9926

C(20)

0.408681

0.116232

3.516091

0.0005

C(30)

0.258272

0.123639

2.088918

0.0372

Determinant residual covariance 1.12E-21


Equation: D(LR_CHI) = C(1) + C(11)*D(MR_CHI) + C(21)*D(LR_CHI(-1))

Observations: 53


R-squared

0.621273

Mean dependent var

-0.027736

Adjusted R-squared

0.606124

S.D. dependent var

0.197782

S.E. of regression

0.124127

Sum squared resid

0.770379

Durbin-Watson stat

1.407436




Equation: D(LR_IND) = C(2) + C(12)*D(MR_IND) + C(22)*D(LR_IND(-1))

Observations: 53


R-squared

0.433645

Mean dependent var

-0.022264

Adjusted R-squared

0.410991

S.D. dependent var

0.188207

S.E. of regression

0.144443

Sum squared resid

1.043185

Durbin-Watson stat

1.783107



Equation: D(LR_JAP) = C(3) + C(13)*D(MR_JAP) + C(23)*D(LR_JAP(-1))

Observations: 53

R-squared

0.135126

Mean dependent var

-0.009792

Adjusted R-squared

0.100531

S.D. dependent var

0.010208

S.E. of regression

0.009681

Sum squared resid

0.004687

Durbin-Watson stat

2.229937



Equation: D(LR_KOR) = C(4) + C(14)*D(MR_KOR) + C(24)*D(LR_KOR(-1))

Observations: 53


R-squared

0.610678

Mean dependent var

-0.027358

Adjusted R-squared

0.595105

S.D. dependent var

0.200184

S.E. of regression

0.127380

Sum squared resid

0.811281

Durbin-Watson stat

1.673155



Equation: D(LR_MAL) = C(5) + C(15)*D(MR_MAL) + C(25)*D(LR_MAL(-1))

Observations: 53

R-squared

0.468385

Mean dependent var

-0.029434

Adjusted R-squared

0.447121

S.D. dependent var

0.089042

S.E. of regression

0.066208

Sum squared resid

0.219176

Durbin-Watson stat

2.274302



Equation: D(LR_MYA) = C(6) + C(16)*D(MR_MYA) + C(26) *D(LR_MYA(-1))

Observations: 53


R-squared

0.490400

Mean dependent var

-0.075472

Adjusted R-squared

0.470016

S.D. dependent var

0.384760

S.E. of regression

0.280106

Sum squared resid

3.922957

Durbin-Watson stat

2.001524



Equation: D(LR_PHI) = C(7) + C(17)*D(MR_PHI) + C(27)*D(LR_PHI(-1))

Observations: 53


R-squared

0.352986

Mean dependent var

-0.051453

Adjusted R-squared

0.327106

S.D. dependent var

0.573078

S.E. of regression

0.470096

Sum squared resid

11.04953

Durbin-Watson stat

2.209856



Equation: D(LR_SIN) = C(8) + C(18)*D(MR_SIN) + C(28)*D(LR_SIN(-1))

Observations: 53


R-squared

0.247209

Mean dependent var

0.000000

Adjusted R-squared

0.217098

S.D. dependent var

0.005547

S.E. of regression

0.004908

Sum squared resid

0.001204

Durbin-Watson stat

2.265560




Equation: D(LR_THA) = C(9) + C(19)*D(MR_THA) + C(29)*D(LR_THA(-1))

Observations: 53


R-squared

0.545184

Mean dependent var

0.005283

Adjusted R-squared

0.526992

S.D. dependent var

0.131962

S.E. of regression

0.090757

Sum squared resid

0.411845

Durbin-Watson stat

2.312467



Equation: D(LR_VNA) = C(10) + C(20)*D(MR_VNA) + C(30) *D(LR_VNA(-1))

Observations: 53


R-squared

0.301653

Mean dependent var

0.024906

Adjusted R-squared

0.273719

S.D. dependent var

1.222236

S.E. of regression

1.041616

Sum squared resid

54.24819

Durbin-Watson stat

2.149111




4.3.3 Kết quả tổng hợp


Để thể hiện rõ hơn kết quả hồi quy chúng ta có bảng tổng hợp kết quả hồi quy cho từng quốc gia với hai thời kỳ trước và sau khủng hoảng (Bảng 7 – 10). Với mức độ truyền dẫn ngắn hạn và dài hạn được tính bởi công thức

𝐤=𝟎

Trong ngắn hạn: 𝐦

suất huy động và cho vay

𝐜𝟐,𝐤

𝐦

𝐤=𝟎

𝐜𝟓,𝐤


tương ứng với truyền dẫn vào lãi



Trong dài hạn:

𝐦

𝐤=𝟎

𝟏− 𝐦

𝐜𝟐,𝐤

𝐜𝟑,𝐤

𝐦

𝐤=𝟎

𝟏− 𝐦

𝐜𝟓,𝐤

𝐜𝟔,𝐤


cũng tương ứng với truyền dẫn

𝐤=𝟎

vào lãi suất huy động và cho vay

𝐤=𝟎


m

𝑚

∆dr1t

= c1 +c2,k ∆mr1t−k +𝑐3,𝑘 ∆𝑑𝑟1𝑡−1−𝑘 + 𝜀1𝑡

(2)

k=0 𝑘=0


m

𝑚

∆lr2t

= c4 +c5,k ∆mr2t−k +𝑐6,𝑘 ∆𝑙𝑟2𝑡−1−𝑘 + 𝜀2𝑡

(3)

k=0 𝑘=0


Bảng 7: Mức độ truyền dẫn vào lãi suất HUY ĐỘNG của các quốc gia giai đoạn TRƯỚC khủng hoảng


Trung Quốc

Mức ý nghĩa

Indonesia

Mức ý nghĩa

Nhật Bản

Mức ý nghĩa

Hàn Quốc

Mức ý nghĩa

Malaysia

Mức ý nghĩa

Ngắn hạn

61.72%

1%

4.59%

1%

52.44%

1%

21.97%

1%

13.67%

1%

Dài hạn

64.19%

-

16.03%

5%

83.69%

5%

41.46%

1%

14.69%

10%

R-squared

0.396757

0.493712

0.171302

0.760024

0.194553

D-Wstat

1.98773

2.214267

2.038548

2.282466

1.851653



Myanmar

Mức ý nghĩa

Philippin

Mức ý nghĩa

Singapore

Mức ý nghĩa

Thái Lan

Mức ý nghĩa

Việt Nam

Mức ý nghĩa

Ngắn hạn

77.09%

1%

-0.44%

-

20.36%

1%

5.94%

1%

11.43%

-

Dài hạn

78.13%

-

-0.44%

-

52.78%

1%

8.38%

5%

17.85%

10%

R-squared

0.883851

0.002042

0.555322

0.247208

0.088427

D-Wstat

2.061077

2.072098

2.026234

2.173239

1.923271

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