B GIÁO D O I H C KINH T THÀNH PH H CHÍ MINH LÊ TH THANH B NG CH NG TH C NGHI M V TRUY N D N T GIÁ H VI T NAM LU Tp H Chí Minh N m 2013 I B GIÁO D O I H C KINH T THÀNH PH H CHÍ MINH LÊ TH THANH B NG CH NG TH C NGHI M V TRUY N D N T GIÁ H I VI T NAM Chuyên ngành : Tài Ngân hàng Mã s : 60340201 LU NG D N KHOA H C: GS.TS TR N NG C TH Tp H Chí Minh N m 2013 L u c a tơi, có s h tr t Giáo ng d n GS TS Tr n Ng c Th N i dung nghiên c u k t qu tài trung th c ch a t c công b b t c cơng trình Nh ng s li u b ng bi u ph c v cho vi c phân tích, nh n xét, nh giá c tác gi thu th p t ngu n khác có ghi ph n tài li u tham kh o Ngồi ra, lu n v n có s d ng m t s nh n xét tác gi khác có thích ngu n g c trích d nh giá c ng nh s li u c a d dàng tra c u, ki m ch ng N u phát hi n có b t k s gian l n tơi xin hồn tồn ch u trách nhi H ng, c ng nh k t qu lu n v n c a Tp.HCM, tháng 10 Tác gi Lê Th Thanh c L IC M c tiên, xin chân thành c m n Th y Tr n Ng c Th t n tì ng d n tơi su t q trình th c hi n hoàn thành lu n v n t t nghi p nà ng th i g il ic m ng n t t c Th y Cô khoa Tài Doanh nghi p - h c Kinh T TP.HCM t n tình d y b o truy n i t cho nh ng ki n th c q giá su t khóa h c Tơi xin c m n b n h c viên l p cao h c Tài Doanh nghi p Khóa 19 giúp , chia s ki n th c c ng nh thơng tin b ích thành khóa h c c lu n v n Trân tr ng! Lê Th Thanh m4 tơi có th hồn M CL C TÓM T T 1 Gi i thi 2 T ng quan nghiên c 2.1 Lý thuy t v truy n d n t giá h hàng hóa 2.2 T ng quan nghiên c 11 2.2.1 Nghiên c u th gi i 11 2.2.2 Nghiên c u t i Vi t Nam 16 P u 19 3.1 Gi i thi d ng 19 3.2 Mơ hình nghiên c u 21 3.3 D li u nghiên c u 23 3.4 24 c th c hi n q trình ch y mơ hình N i dung k t qu nghiên c u 4.1 Ki nh nghi l a ch 4.1.1 Ki nh nghi 4.1.2 Ch tr t 4.1.3 Ki m tra tính 4.2 ng m mơ hình VAR 25 c tr t v 25 n mơ hình 26 nh c a mơ hình 27 truy n d n c a t giá h s hàm ph n ng xung (Impulse response function) 29 4.2 29 4.2 34 4.3 ng m truy n d n c a t giá h tiêu dùng (CPI) b ng mơ hình VECM 4.3.1 Ki 25 ng liên k t s giá 36 36 4.3 ng m truy n d n c a t giá h dài h n b ng mơ hình VECM K t lu n s giá tiêu dùng 37 5.1 K t qu t hai mơ hình 40 40 5.2 40 K T LU N CHUNG 42 DANH M C TÀI LI U THAM KH O 43 PH L C 1: K t qu hàm ph n ng xung (Impulse Response) 45 PH L C 2: K T QU JOHANSEN 50 KI NG LIÊN K PH L C 3: K T QU H I QUI THEO MƠ HÌNH VECM 54 DANH M C CH - ADF: Augmented Dickey Fuller - CPI: Ch s giá tiêu dùng - ERPT: S truy n d n t giá h - GSO: T ng c c Th ng kê Vi t Nam - ti n t qu c t - IMP: Ch s giá nh p kh u - IRF: Impulse response funtion - NEER: T giá h - PPI: Ch s giá s n xu t - VAR: h i qui - VECM: Mơ hình véc t hi u ch nh sai s - WB: Ngân hàng Th gi i VI T T T DANH M C CÁC B NG BI U - - - B ng 4.3 K t qu ki nh s nh c a mơ hình (AR Roots) - B ng 4.4 K t qu hàm ph n ng xung c a ch s giá tiêu dùng v i cú s c 1% t NEER - B ng - B ng 4.6 K t qu ki - B ng 4.7 M ng liên k ng c a y u t vào ch s giá tiêu dùng CPI dài h n theo mơ hình VECM - B ng 5.1 Tóm t t m c truy n d n ERPT DANH M C - Hình 4.1 K t qu ki - Hình 4.2 Ph n nh s nh c a mơ hình (AR Roots) ng c TĨM T T Bài nghiên c ng m truy n d n t giá h (ERPT) vào ch s giá tiêu dùng (CPI) t i Vi ác gi s d ng hàm ph n ng xung v i mơ hì (VAR) sáu bi n (t giá h danh ngh a, ch s giá tiêu dùng, ch s giá s n xu t, ch s giá nh p kh u, giá d u th gi i t ng s n ph c) xung tr Gi i thi u Lý ch tài 2003 t l l m phá - l nà Nam Tính c p thi t c tài Ki n th c v truy n d n t giá h tr ng, v i m th i gian truy n d n khác có th l m phát quy t cá ối có h qu sách ti n t quan nh v sách ti n t khác a m t sách 42 K T LU N CHUNG àm ph n mơ hì (VAR) ,52 truy n d n sau m t n m nghiên c u c a Võ V n Minh 0,13; nghiên c u c a B ch Th Ph ng Th o 0,16; nghiên c u c a tác gi 0,16 M l n cao nh t nghiên truy n d n c u c a Võ V n Minh 0,21 sau 10 tháng; nghiên c u c a B ch Th Ph ng Th o 0,39 sau 15 tháng; nghiên c u c a tác gi 0,31, nh ng th i gian kéo dài h n, t c sau kho ng 24 tháng 43 DANH M C TÀI LI U THAM KH O Tài Li u Ti ng Vi t: - B ch Th o, 2011 Truy n d n t giá h Vi n 2001 - 2011 Lu cs s giá t i i h c Kinh t Thành ph H Chí Minh - Nguy n Th Thu H ng, Nguy l m phát Vi c Thành, 2010 Các nhân t nh n 2000-2010: b ng ch ng th o lu n Trung tâm Nghiên c u Kinh t Chính sách VEPR - i h c Kinh T i h c Qu c gia Hà N i - Tr n Qu c Phong, 2012 M Vi n 2000 truy n d n c a t giá vào ch s giá tiêu dùng 2011 Lu cs i h c Kinh t Thành ph H Chí Minh Tài Li u Ti ng Anh: - Felix P Hufner and Michael Schroder, 2002 Exchange Rate Pass-Through to Consumer Prices: A European Perspective, Discussion Paper No 02-20, ZEW Centre for European Economic Research - Hamid Faruqee, 2006 Exchange Rate Pass-Through In The Euro Area IMF Staff Papers Vol 53, 63-88 - Jane E Ihrig, Mario Marazzi, and Alexander D Rothenberg, 2006 ExchangeRate Pass-Through in the G-7 countries International Finance Discussion Papers Number 851 - Jeannine Bailliu and Hafedh Bouakez, 2004 Exchange Rate Pass-Through in Industrialized Countries Bank of Canada Review - John Beirne and Martin Bijsterbosch, 2009 Exchange Rate Pass-Through in Central and Eastern European Member States European Central Bank, Working Paper Series No.1120 44 - José Manuel Campa, Linda S Goldberg, José M González-Mínguez, 2005 Exchange Rate Pass-Through To Import Prices In The Euro Area NBER Working Paper No 11632 - Joseph E Gagnon and Jane Ihrig, 2004 Policy and Exchange Rate Division of International Finance, Board of Governors of the Federal Reserve System - Ki-Ho Kim, 1998 US Inflation and the Dollar Exchange Rate: A Vector Error Correction Model Applied Economics Volume 30, 613-619 - MacCarthy, Jonathan, 2000 Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies Staff Report Number 111, Federal Reserve Bank of New York - Michele Elke Hahn, and Marcelo Sanchez, 2007 Pass- Pinelopi K Goldberg and Michael M Knetter, 1996 Goods Prices and Exchange Rates: What Have We Learned?, NBER Working Paper No 5862 - Takatoshi Ito and Kiyotaka Sato, 2006 Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate PassThrough , JMCB #06-355 - Vo Van Minh, 2009 I Through and Its Implications for 45 PH L C 1: K t qu hàm ph n ng xung (Impulse Response) Accumulated Response of DLNOIL: Period DLNOIL DLNGDP DLNNEER DLNIMP DLNPPI DLNCPI 0 0.114599 0.003277 -0.007839 0.064432 0.039027 0.036255 -0.0208 -0.01959 -0.02401 -0.02027 -0.01753 0.081272 0.017132 -0.011803 0.102197 0.016456 0.012489 -0.02999 -0.02818 -0.03703 -0.03119 -0.02711 0.060312 0.02918 -0.000156 0.090768 -0.020441 -0.025973 -0.03324 -0.03057 -0.04282 -0.03858 -0.03209 0.03145 0.03197 0.001455 0.069697 -0.026186 -0.053899 -0.03398 -0.03243 -0.04487 -0.04392 -0.03341 0.021461 0.029321 -0.004856 0.035579 -0.03379 -0.050709 -0.03255 -0.03115 -0.04496 -0.04529 -0.03281 0.037971 0.018147 -0.014247 0.008444 -0.050943 -0.026786 -0.03048 -0.02862 -0.0429 -0.04422 -0.03035 0.056181 0.012347 -0.016555 0.010419 -0.065165 -0.006651 -0.02914 -0.0276 -0.04119 -0.0427 -0.02807 0.06379 0.010526 -0.017649 0.039718 -0.073348 -1.99E-03 -0.02801 -0.02961 -0.02818 -0.04205 -0.04148 -0.02745 0.058981 0.013477 -0.020432 0.064551 -0.06955 -0.003566 -0.02956 10 -0.02735 -0.02877 -0.03189 -0.03409 -0.03358 -0.031 -0.02369 -0.01112 0.10669 -0.03225 -0.02982 -0.04396 -0.04155 -0.02867 DLNNEER DLNIMP Accumulated Response of DLNGDP: Period DLNOIL DLNGDP DLNPPI DLNCPI 0 0 -0.00058 0 0 0.000547 0.004919 -0.000714 0.00217 0.000645 -0.000304 -0.00118 0.005574 -0.00082 0.000462 -0.00107 -0.00087 -0.00116 -0.00101 -0.0009 6.60E-05 0.002726 -0.00156 -0.000121 0.000411 -0.000595 -0.00119 -0.00116 -0.00104 -0.00154 -0.00136 -0.00118 46 -0.0013 -0.00115 -0.00158 -0.00149 -0.00119 -0.001377 0.005475 -0.002013 0.000877 -0.00333 -0.000964 -0.00148 -0.00132 -0.00172 -0.00173 -0.00128 -2.41E-03 0.00568 -0.002204 0.001711 -0.003879 -0.000876 -0.00178 -0.00161 -0.00211 -0.00206 -0.0015 -0.001567 0.004768 -0.00264 2.76E-04 -0.004638 -0.000707 -0.00207 -0.00182 -0.00248 -0.00244 -0.00181 -3.22E-04 0.003719 -0.003299 0.000658 -0.004933 -0.000496 -0.00219 -0.00201 -0.0026 -0.00272 -0.00194 -0.000281 0.004625 -0.003183 0.00199 -0.004775 0.000746 -0.00195 -0.00223 -0.00213 -0.00269 -0.00288 -0.00193 -6.86E-04 0.005483 -0.003176 0.003677 -0.005129 0.00092 -0.00207 10 -0.002175 -0.00188 -0.002436 -0.00183 0.000271 -0.00175 -0.002686 -0.00159 0.00304 -0.00132 -3.19E-04 -0.00245 -0.0023 -0.00288 -0.00306 -0.00194 Accumulated Response of DLNNEER: Period DLNOIL DLNGDP DLNNEER DLNIMP DLNPPI DLNCPI 0 0.015814 -0.007109 0.01498 0.003398 0.000679 -0.000981 -0.00354 -0.0029 -0.00342 -0.003 -0.00268 0.013308 -0.00898 0.01388 0.002818 0.002593 -0.007919 -0.00486 -0.00422 -0.00586 -0.00516 -0.00442 0.011514 -0.012311 0.018273 -0.001698 0.003535 -0.011807 -0.00603 -0.0051 -0.00704 -0.0066 -0.00541 0.007759 -0.011052 0.019387 -0.007685 0.002008 -0.011756 -0.00692 -0.00626 -0.00827 -0.00826 -0.00624 0.006459 -0.010215 0.019194 -0.013648 -3.30E-05 -0.013136 -0.00765 -0.00723 -0.00939 -0.00944 -0.00673 0.009247 -0.015094 0.020547 -0.018758 0.000513 -0.012431 -0.00872 -0.00806 -0.01027 -0.01056 -0.00737 0.010897 -0.018375 0.018921 -0.019798 0.000692 -0.010826 -0.00857 -0.00129 -0.00796 -0.00186 -0.00732 -0.00696 -0.00621 -0.0051 0.012386 -0.00393 -0.003505 -0.0022 0.010649 -0.00959 -0.00897 -0.01128 -0.01198 -0.00827 0.011371 -0.016894 0.018111 -0.017683 0.000469 -0.009186 47 -0.00865 -0.00962 -0.01229 -0.0131 -0.00886 0.011298 -0.01548 0.019723 -0.014596 0.001742 -0.007755 -0.0085 10 -0.01001 -0.01034 -0.00993 -0.01267 -0.01383 -0.00897 Accumulated Response of DLNIMP: Period DLNOIL DLNGDP DLNNEER DLNIMP DLNPPI DLNCPI 0 0.019364 0.008262 0.005532 0.025174 0.014341 0.012567 -0.00605 -0.00576 -0.00613 -0.00483 -0.00399 0.023035 0.005561 0.005212 0.037099 0.021489 0.012514 -0.00938 -0.00895 -0.01047 -0.00844 -0.00705 0.024221 0.007992 0.007313 0.038661 0.01993 0.00566 -0.01153 -0.01061 -0.01393 -0.01202 -0.01005 0.019073 0.006336 0.009863 0.03953 0.02128 -0.004853 -0.01286 -0.01217 -0.0161 -0.01505 -0.01155 0.009488 0.009197 0.01189 0.031764 0.021796 -0.010005 -0.01347 -0.01319 -0.01748 -0.01743 -0.0124 0.006381 0.009072 0.010628 0.0216 0.017163 -0.012575 -0.01328 -0.01317 -0.01767 -0.01857 -0.01239 0.008872 0.006012 0.011132 0.010281 0.014846 -0.009262 -0.01249 -0.0125 -0.01682 -0.01854 -0.01172 0.012382 0.001495 0.009664 0.009085 0.011742 -0.007185 -0.0085 -0.01134 -0.01151 -0.01549 -0.01775 -0.01054 0.014287 0.000998 0.008383 0.011704 0.009983 -0.004019 -0.00736 10 -0.00228 -0.00998 -0.00322 -0.01165 -0.00333 -0.01281 -0.01286 -0.0117 0.021836 -0.00963 -0.001788 -0.00638 0.007701 -0.00344 0.003412 -0.01038 -0.01045 -0.01455 -0.01654 -0.00941 Accumulated Response of DLNPPI: Period DLNOIL DLNGDP DLNNEER DLNIMP DLNPPI DLNCPI -0.001891 0.006285 0.000395 0.016652 -0.00272 0.006238 -0.00263 -0.00254 -0.00246 -0.00174 0.013401 -0.00283 0.009478 0.00291 0.032793 0.006299 -0.00607 -0.00594 -0.00572 -0.00626 -0.00491 -0.00311 48 -0.00838 -0.01051 -0.00867 -0.00651 0.018076 -0.00334 0.011712 0.003248 0.046266 0.002751 -0.01113 -0.01029 -0.01372 -0.0119 -0.00916 0.014061 -0.003897 0.015132 0.002816 0.049147 -0.004614 -0.01294 -0.01222 -0.01621 -0.01513 -0.01104 0.007188 -0.00198 0.014313 -0.002842 0.050286 -0.010951 -0.0143 -0.01407 -0.01832 -0.01793 -0.01228 0.004589 -0.002878 0.015282 -0.012269 0.050697 -0.013249 -0.01569 -0.01546 -0.01983 -0.02008 -0.01328 0.005675 -0.005142 0.016038 -0.02028 0.049248 -0.011082 -0.01684 -0.01657 -0.0208 -0.02187 -0.01422 0.007733 -0.006745 0.014537 -0.023084 0.046474 -0.009547 -0.01412 -0.01734 -0.01729 -0.02154 -0.02318 -0.01478 0.009488 -0.008552 0.014326 -0.021941 0.045748 -0.00859 -0.01401 10 -0.00883 -0.01413 0.00804 -0.0139 0.041003 -0.01359 0.004185 -0.01282 0.007351 -0.01117 -0.002297 -0.00892 0.016743 -0.0177 -0.01768 -0.02208 -0.02402 -0.01482 Accumulated Response of DLNCPI: Period DLNOIL DLNGDP DLNNEER DLNIMP DLNPPI DLNCPI -0.00165 -0.00162 -0.00129 -0.00063 0.010392 -0.002554 0.002104 -0.002164 0.018125 0.011296 -0.00372 -0.00362 -0.00402 -0.00334 -0.00229 0.014132 -0.002708 0.001897 0.000939 0.022961 0.013114 -0.0056 -0.00531 -0.00672 -0.0057 -0.00438 0.01426 -0.002887 0.003006 0.00431 0.02716 0.010057 -0.0071 -0.00658 -0.00887 -0.00778 -0.00606 0.010521 -0.001453 0.004742 0.005469 0.030747 0.005564 -0.00824 -0.00782 -0.01048 -0.00977 -0.00716 0.006683 0.00036 0.00522 0.002575 0.032341 0.002118 -0.00903 -0.00888 -0.01171 -0.01143 -0.00786 0.005475 0.000328 0.005754 -0.003683 0.032979 0.000945 -0.00873 -0.00167 -0.00864 0.00604 -0.00819 0.009008 -0.00718 -0.002592 -0.00574 0.001708 -0.00386 -0.001021 -0.00174 0.004672 -0.00976 -0.00966 -0.01255 -0.01269 -0.00836 0.006524 -0.00161 0.005931 -0.008677 0.032236 0.001025 49 -0.00871 -0.01304 -0.0137 -0.00884 0.007737 -0.003183 0.005286 -0.010698 0.030758 0.00161 -0.01067 -0.01065 -0.0134 -0.01442 -0.00913 0.007849 -0.003775 0.004824 -0.009926 0.029799 0.00193 -0.00855 10 -0.01025 -0.00865 -0.01037 -0.01083 -0.01085 -0.01367 -0.01484 -0.00913 Cholesky Ordering: DLNOIL DLNGDP DLNNEER DLNIMP DLNPPI DLNCPI Standard Errors: Analytic 50 PH L C 2: K T QU KI M NG LIÊN K T THEO PH NG PHÁP JOHANSEN Date: 10/29/13 Time: 17:19 Sample (adjusted): 2002Q1 2013Q2 Included observations: 46 after adjustments Trend assumption: Linear deterministic trend (restricted) Series: LNCPI LNNEER LNOIL LNGDP LNIMP LNPPI Lags interval (in first differences): to Unrestricted Cointegration Rank Test (Trace) Hypothesized No of CE(s) Eigenvalue Trace Statistic 0.05 Critical Value Prob.** None * At most * At most * At most * At most At most 0.788256 0.633079 0.494692 0.465521 0.279230 0.131944 199.3166 127.9073 81.78722 50.38820 21.57095 6.508957 117.7082 88.80380 63.87610 42.91525 25.87211 12.51798 0.0000 0.0000 0.0008 0.0076 0.1565 0.3985 Trace test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized No of CE(s) Eigenvalue None * At most * At most At most * At most At most 0.788256 0.633079 0.494692 0.465521 0.279230 0.131944 Max-Eigen 0.05 Statistic Critical Value 71.40936 46.12003 31.39902 28.81725 15.06199 6.508957 44.49720 38.33101 32.11832 25.82321 19.38704 12.51798 Prob.** 0.0000 0.0053 0.0610 0.0196 0.1903 0.3985 Max-eigenvalue test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): LNCPI -10.39962 140.3070 4.025805 73.14256 LNNEER 27.89183 2.205797 -36.35404 -29.73293 LNOIL -8.032741 -2.414788 7.284372 -11.84758 LNGDP 243.2392 -115.5501 -217.5551 -18.81053 LNIMP -21.20026 -43.06102 20.39656 25.83148 LNPPI 36.13272 -99.32658 -2.258292 -58.91298 @TREND(01Q2) -4.610798 1.885508 3.580713 0.525112 51 88.21474 82.63149 96.16895 6.037860 -31.54105 0.680339 277.0371 4.304054 64.44114 0.901729 -96.97449 -48.77640 -5.441809 -0.813480 -0.001964 0.000242 -0.002603 8.16E-05 -0.006888 -0.000438 -0.000333 -0.003915 0.004912 0.000834 0.004172 0.000179 0.000560 -0.001314 -0.018795 -0.000763 -0.000739 0.002045 Normalized cointegrating coefficients (standard error in parentheses) LNCPI LNNEER LNOIL LNGDP LNIMP 1.000000 -2.682005 0.772407 -23.38924 2.038561 (1.19675) (0.29470) (5.25250) (0.87282) LNPPI -3.474427 (0.52466) @TREND(01Q2) 0.443362 (0.10339) LNPPI -0.724045 (0.05685) 1.025495 (0.19558) @TREND(01Q2) 0.015944 (0.00459) -0.159365 (0.01579) Unrestricted Adjustment Coefficients (alpha): D(LNCPI) D(LNNEER) D(LNOIL) D(LNGDP) D(LNIMP) D(LNPPI) -0.001425 0.002344 0.026924 -0.002904 1.76E-05 -0.001412 -0.002407 0.003930 0.005728 0.000685 0.009811 0.001756 -0.005685 -0.005641 -0.038082 1.25E-05 0.001207 -0.009207 Cointegrating Equation(s): Log likelihood 860.5900 Adjustment coefficients (standard error in parentheses) D(LNCPI) 0.014823 (0.01892) D(LNNEER) -0.024378 (0.02566) D(LNOIL) -0.280004 (0.15740) D(LNGDP) 0.030203 (0.00643) D(LNIMP) -0.000183 (0.03668) D(LNPPI) 0.014686 (0.02948) Cointegrating Equation(s): Log likelihood 883.6500 Normalized cointegrating coefficients (standard error in parentheses) LNCPI LNNEER LNOIL LNGDP LNIMP 1.000000 0.000000 -0.012609 -0.955055 -0.293237 (0.02515) (0.23668) (0.09256) 0.000000 1.000000 -0.292698 8.364707 -0.869424 (0.08652) (0.81416) (0.31839) Adjustment coefficients (standard error in parentheses) D(LNCPI) -0.322940 -0.045064 (0.24724) (0.04917) D(LNNEER) 0.527078 0.074053 (0.32980) (0.06559) 52 D(LNOIL) 0.523665 (2.12359) 0.126382 (0.08485) 1.376383 (0.41584) 0.261042 (0.39592) 0.763607 (0.42231) -0.079494 (0.01687) 0.022132 (0.08270) -0.035515 (0.07874) Cointegrating Equation(s): Log likelihood D(LNGDP) D(LNIMP) D(LNPPI) 899.3495 Normalized cointegrating coefficients (standard error in parentheses) LNCPI LNNEER LNOIL LNGDP LNIMP 1.000000 0.000000 0.000000 -1.299811 -0.254978 (0.30345) (0.08481) 0.000000 1.000000 0.000000 0.361879 0.018690 (4.22557) (1.18099) 0.000000 0.000000 1.000000 -27.34163 3.034236 (15.7691) (4.40727) LNPPI -0.868757 (0.05749) -2.333709 (0.80057) -11.47671 (2.98758) @TREND(01Q2) 0.024630 (0.00601) 0.042258 (0.08372) 0.688843 (0.31241) LNPPI 0.232540 (0.12921) -2.640321 (0.40524) 11.68917 (1.68266) 0.847275 (0.11012) @TREND(01Q2) -0.020037 (0.00515) 0.054693 (0.01615) -0.250722 (0.06704) -0.034364 (0.00439) Adjustment coefficients (standard error in parentheses) D(LNCPI) -0.345826 0.161606 -0.024149 (0.19119) (0.06231) (0.01509) D(LNNEER) 0.504368 0.279123 -0.069412 (0.29088) (0.09481) (0.02296) D(LNOIL) 0.370354 2.148040 -0.507512 (1.84616) (0.60172) (0.14572) D(LNGDP) 0.126433 -0.079948 0.021765 (0.08488) (0.02767) (0.00670) D(LNIMP) 1.381244 -0.021758 -0.015039 (0.41468) (0.13515) (0.03273) D(LNPPI) 0.223978 0.299183 -0.059961 (0.30381) (0.09902) (0.02398) Cointegrating Equation(s): Log likelihood 913.7581 Normalized cointegrating coefficients (standard error in parentheses) LNCPI LNNEER LNOIL LNGDP LNIMP 1.000000 0.000000 0.000000 0.000000 -0.699303 (0.36820) 0.000000 1.000000 0.000000 0.000000 0.142394 (1.15477) 0.000000 0.000000 1.000000 0.000000 -6.312170 (4.79486) 0.000000 0.000000 0.000000 1.000000 -0.341838 (0.31379) Adjustment coefficients (standard error in parentheses) 53 D(LNCPI) -0.489475 (0.20662) 0.522053 (0.32773) 0.179945 (2.07899) 0.132403 (0.09563) 0.877415 (0.41530) 0.191923 (0.34211) 0.220000 (0.07121) 0.271934 (0.11295) 2.225443 (0.71651) -0.082375 (0.03296) 0.183051 (0.14313) 0.312214 (0.11791) -0.000881 (0.02116) -0.072276 (0.03356) -0.476670 (0.21287) 0.020798 (0.00979) 0.066571 (0.04252) -0.054769 (0.03503) Cointegrating Equation(s): Log likelihood 921.2891 D(LNNEER) D(LNOIL) D(LNGDP) D(LNIMP) D(LNPPI) 1.205205 (0.45161) 1.338702 (0.71633) 14.22112 (4.54411) -0.789896 (0.20901) -1.262477 (0.90774) 1.464809 (0.74777) Normalized cointegrating coefficients (standard error in parentheses) LNCPI LNNEER LNOIL LNGDP LNIMP 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 Adjustment coefficients (standard error in parentheses) D(LNCPI) -0.518880 0.187943 0.009633 (0.23612) (0.14391) (0.04615) D(LNNEER) 0.176661 -0.104602 0.051218 (0.34814) (0.21219) (0.06805) D(LNOIL) 0.613259 2.697828 -0.631600 (2.37243) (1.44595) (0.46373) D(LNGDP) 0.205995 -0.002146 -0.005515 (0.10531) (0.06419) (0.02059) D(LNIMP) 1.245447 0.584268 -0.065018 (0.45141) (0.27513) (0.08824) D(LNPPI) 0.207738 0.329455 -0.060423 (0.39141) (0.23856) (0.07651) 1.112857 (0.57736) 0.254002 (0.85125) 15.58193 (5.80092) -0.558780 (0.25750) -0.106678 (1.10376) 1.514476 (0.95704) LNPPI 23.73481 (4.11589) -7.425915 (1.18277) 223.8295 (37.6351) 12.33581 (2.05561) 33.60815 (5.72087) -0.054288 (0.11296) -0.580062 (0.16655) -1.344906 (1.13499) 0.088176 (0.05038) -0.307311 (0.21596) -0.233221 (0.18725) @TREND(01Q2) -0.656461 (0.10906) 0.184284 (0.03134) -5.995329 (0.99720) -0.345465 (0.05447) -0.910084 (0.15158) 54 PH L C 3: K T QU H I QUI THEO MƠ HÌNH VECM Vector Error Correction Estimates Date: 10/29/13 Time: 17:20 Sample (adjusted): 2002Q1 2013Q2 Included observations: 46 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 LNCPI(-1) 1.000000 LNNEER(-1) -0.524965 (0.21668) [-2.42272] LNOIL(-1) -0.007714 (0.10790) [-0.07149] LNGDP(-1) -0.107248 (0.26180) [-0.40965] LNIMP(-1) -1.310778 (0.38415) [-3.41214] LNPPI(-1) 0.180781 (0.22071) [ 0.81909] C 4.269554 Error Correction: D(LNCPI) CointEq1 -0.108850 (0.04989) [-2.18197] 0.085434 (0.07206) [ 1.18558] D(LNCPI(-1)) 0.695326 (0.31533) [ 2.20511] D(LNCPI(-2)) -0.884756 (0.39486) [-2.24070] D(LNNEER ) D(LNOIL) D(LNGDP) D(LNIMP) D(LNPPI) 0.417831 (0.46532) [ 0.89794] -0.067395 (0.02095) [-3.21726] 0.098178 (0.10215) [ 0.96110] -0.087791 (0.08218) [-1.06832] -0.025011 (0.45549) [-0.05491] 6.674950 (2.94127) [ 2.26941] -0.158699 (0.13241) [-1.19854] 2.238742 (0.64570) [ 3.46717] 0.901739 (0.51943) [ 1.73601] -1.638375 (0.57037) [-2.87246] -15.22888 (3.68311) [-4.13478] -0.282832 (0.16581) [-1.70580] -2.412554 (0.80855) [-2.98379] -1.480458 (0.65044) [-2.27607] 55 D(LNCPI(-3)) -0.154721 (0.33188) [-0.46619] 0.589406 (0.47941) [ 1.22945] 3.055976 (3.09571) [ 0.98716] 0.059180 (0.13936) [ 0.42465] 0.621185 (0.67960) [ 0.91404] 0.038004 (0.54671) [ 0.06951] D(LNNEER(-1)) 0.029170 (0.17284) [ 0.16877] 0.077109 (0.24967) [ 0.30884] -1.003249 (1.61222) [-0.62228] 0.014949 (0.07258) [ 0.20597] 0.371624 (0.35393) [ 1.04999] 0.053732 (0.28472) [ 0.18872] D(LNNEER(-2)) 0.044799 (0.18447) [ 0.24285] -0.553116 (0.26647) [-2.07569] -1.868108 (1.72072) [-1.08566] -0.075708 (0.07746) [-0.97735] -0.319997 (0.37775) [-0.84712] -0.273978 (0.30388) [-0.90159] D(LNNEER(-3)) 0.103998 (0.17065) [ 0.60942] 0.199853 (0.24651) [ 0.81074] -1.062881 (1.59179) [-0.66773] 0.110682 (0.07166) [ 1.54456] -0.037925 (0.34945) [-0.10853] 0.490032 (0.28111) [ 1.74318] D(LNOIL(-1)) 0.017819 (0.02505) [ 0.71145] 0.029492 (0.03618) [ 0.81518] -0.182908 (0.23362) [-0.78294] 0.003439 (0.01052) [ 0.32704] 0.012209 (0.05129) [ 0.23806] -0.004304 (0.04126) [-0.10432] D(LNOIL(-2)) 0.008460 (0.02159) [ 0.39182] 0.029755 (0.03119) [ 0.95405] -0.386312 (0.20139) [-1.91822] 0.013556 (0.00907) [ 1.49526] -0.043025 (0.04421) [-0.97317] 0.012863 (0.03557) [ 0.36167] D(LNOIL(-3)) 0.007681 (0.02057) [ 0.37334] 0.043312 (0.02972) [ 1.45732] 0.083356 (0.19192) [ 0.43433] 0.031081 (0.00864) [ 3.59746] 0.026005 (0.04213) [ 0.61724] 0.010646 (0.03389) [ 0.31411] D(LNGDP(-1)) -0.653812 (0.37075) [-1.76349] -0.443863 (0.53555) [-0.82880] -2.741461 (3.45824) [-0.79273] -0.479111 (0.15568) [-3.07749] 0.440847 (0.75919) [ 0.58068] -0.460717 (0.61073) [-0.75437] D(LNGDP(-2)) -0.191703 (0.27744) [-0.69098] -0.139145 (0.40076) [-0.34720] -0.057607 (2.58786) [-0.02226] -0.516147 (0.11650) [-4.43045] -0.051013 (0.56811) [-0.08979] 0.068078 (0.45702) [ 0.14896] D(LNGDP(-3)) -0.422678 (0.30417) [-1.38963] -0.521011 (0.43937) [-1.18581] 1.776832 (2.83718) [ 0.62627] -0.381828 (0.12772) [-2.98948] 0.769440 (0.62284) [ 1.23536] -0.106738 (0.50105) [-0.21303] D(LNIMP(-1)) -0.010266 (0.13222) [-0.07765] 0.237418 (0.19099) [ 1.24311] 4.185212 (1.23327) [ 3.39358] 0.010651 (0.05552) [ 0.19184] 0.523442 (0.27074) [ 1.93337] 0.125356 (0.21780) [ 0.57556] D(LNIMP(-2)) -0.125851 (0.11495) [-1.09481] -0.224571 (0.16605) [-1.35243] 0.759010 (1.07224) [ 0.70787] -0.201853 (0.04827) [-4.18174] 0.154405 (0.23539) [ 0.65595] -0.273007 (0.18936) [-1.44173] D(LNIMP(-3)) -0.238661 (0.09084) [-2.62724] -0.235571 (0.13122) [-1.79523] -1.237914 (0.84734) [-1.46094] -0.075437 (0.03815) [-1.97762] -0.085509 (0.18602) [-0.45969] -0.404324 (0.14964) [-2.70195] 56 D(LNPPI(-1)) 0.162725 (0.20484) [ 0.79440] 0.061066 (0.29589) [ 0.20638] -1.234024 (1.91069) [-0.64585] 0.119216 (0.08602) [ 1.38598] -0.342077 (0.41945) [-0.81553] 0.474486 (0.33743) [ 1.40617] D(LNPPI(-2)) 0.173800 (0.18884) [ 0.92036] 0.733913 (0.27278) [ 2.69051] 1.579954 (1.76143) [ 0.89697] 0.081297 (0.07930) [ 1.02523] 0.371882 (0.38669) [ 0.96171] 0.219321 (0.31107) [ 0.70505] D(LNPPI(-3)) 0.394289 (0.19926) [ 1.97878] 0.042182 (0.28783) [ 0.14655] 0.298250 (1.85863) [ 0.16047] -0.035795 (0.08367) [-0.42781] -0.135406 (0.40803) [-0.33186] 0.469910 (0.32824) [ 1.43162] C 0.035527 (0.01375) [ 2.58466] 0.038854 (0.01986) [ 1.95684] 0.177708 (0.12821) [ 1.38604] 0.046296 (0.00577) [ 8.02091] -0.020221 (0.02815) [-0.71841] 0.019801 (0.02264) [ 0.87451] 0.776188 0.612633 0.003426 0.011479 4.745738 153.3434 -5.797539 -5.002478 0.022425 0.018444 0.616628 0.336471 0.007149 0.016582 2.201008 136.4260 -5.062001 -4.266939 0.012291 0.020356 0.666021 0.421959 0.298091 0.107075 2.728902 50.62581 -1.331557 -0.536496 0.035041 0.140834 0.745414 0.559370 0.000604 0.004820 4.006660 193.2578 -7.532949 -6.737888 0.016942 0.007262 0.767082 0.596873 0.014366 0.023506 4.506710 120.3741 -4.364092 -3.569030 0.014505 0.037022 0.747453 0.562899 0.009297 0.018910 4.050052 130.3833 -4.799274 -4.004213 0.023738 0.028602 R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 9.73E-23 3.17E-24 852.8447 -31.60194 -26.59306 ... t giá h cb ng c a giá c th gi i sách ti n t c Giá d u th gi i m ng gián ti p thông qua t giá h c ng cho giá c th gi i, giá c th gi i tác c có giao d i Sau m t s nhân t ch s n s truy n d n t giá. .. t giá h Goldberg Knetter (1996) ph t giá h : truy n d n t giá h i c a giá nh p kh u b t l ng n i t m t ph i c xu t kh u nh p kh u Nh a giá nh p kh u có th i c truy n d n vào giá s n xu t giá. .. n t giá h (ERPT) vào ch s giá tiêu dùng (CPI) t i Vi ác gi s d ng hàm ph n ng xung v i mơ hì (VAR) sáu bi n (t giá h danh ngh a, ch s giá tiêu dùng, ch s giá s n xu t, ch s giá nh p kh u, giá