B GIÁO D O I H C KINH T THÀNH PH - H CHÍ MINH NGUY N THÙY LIÊN M TRUY N D N C A LÃI SU N VÀO LÃI SU T BÁN L T I VIETCOMBANK N 2007-2012 LU ng d n khoa h c: TS Nguy n Ng c nh TP.HCM, N 2012 B GIÁO D O I H C KINH T THÀNH PH - H CHÍ MINH NGUY N THÙY LIÊN M TRUY N D N C A LÃI SU N VÀO LÃI SU T BÁN L T I VIETCOMBANK N 2007-2012 Chuyên ngành : Kinh t Tài Ngân hàng Mã s : 60.31.12 LU ng d n khoa h c: TS Nguy n Ng c nh M CL C I THI U 1.1 Lý ch tài 1.2 M c tiêu nghiên c u 1.3 Câu h i nghiên c u 1.4 ng nghiên c u 1.5 Ph m vi nghiên c u 1.6 u 1.7 B c c lu 1.8 Tóm t : KÊNH TRUY N D N LÃI SU T VÀ CÁC NGHIÊN C U TH C NGHI M 2.1 Chính sách ti n t kênh truy n d n 2.1.1 Chính sách ti n t m c tiêu c a sách ti n t 2.1.1.1 Chính sách ti n t 2.1.1.2 M c tiêu c a sách ti n t 2.1.2 Các kênh truy n d n c a sách ti n t 2.1.2.1 Kênh lãi su t 2.1.2.2 Nh ng kênh tài s n khác 2.1.2.3 Các kênh tín d ng 2.2 Lãi su n 2.2.1 Lãi su 2.2.2 Lãi su i v i qu c gia khác th gi i n Vi t Nam 2.3 M i quan h truy n d n gi a lãi su 2.4 n lãi su t bán l 10 u hành lãi su t t i Vi t Nam 11 2.5 Nghiên c u th c nghi m v truy n d n lãi su t 13 2.5.1 Nghiên c u c a Ming-Hua Liu công s (2002) 13 2.5.2 Các nghiên c u khác th gi i 15 3:MƠ HÌNH NG M TRUY N D N LÃI SU T BÁN L T I VIETCOMBANK 19 3.1 Mơ hình nghiên c u 19 3.2 ng mơ hình nghiên c u 21 3.2.1 Tính d ng c a d li u chu i th i gian b c tích h p 21 3.2.2 Ki ng liên k t 23 3.3 Mơ hình hi u ch nh sai s ECM (Error corection model) 25 3.4 D li u nghiên c u 27 3.5 Tóm t 28 LI U VÀ K T QU NGHIÊN C U 30 4.1 Phân tích th ng kê mơ t 30 4.2 Ki nh nghi 4.3 Ki 4.4 Ch 4.5 33 ng liên k c tr t ng m 35 n mơ hình 37 truy n d n c a lãi su n vào lãi su t bán l dài h n 37 4.6 M 4.7 Tóm t truy n d n t truy n d n ng n h n 39 42 K T LU N 44 DANH M C TÀI LI U THAM KH O 47 PH L C 49 PH L C 59 PH L C 70 PH L C 77 PH L C 81 PH L C 87 L u c a tôi, có s h tr t Th y ng d n TS Nguy n Ng c trung th c ch a t nh Các n i dung nghiên c u k t qu 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 c tác gi thu th p t ngu n khác có ghi ph n tài li u tham kh th c hi n thông qua vi c v n d ng ki n th ng d n c cá nhân, t p th khác tài tài c, nhi u tài li u tham kh o s t n ng d n khoa h c, v i s i gi a tác gi oan nh ng l th t Tác gi Nguy n Thùy Liên L IC c tiên, xin chân thành c quý báu c a t y Nguy n Ng c nh dành nhi u th i gian ng d n tơi su t q trình th c hi n lu t nghi i l i tri ân Q th y Khoa Tài Doanh nghi p, nh t ki n th c cho c khóa h c, t o m i i u ki c ti p c n tri th c khoa h c th c s thành lu vô giá giúp tơi hồn il ic m TMCP Ngo li n anh ch ng nghi p t i Ngân hàng t Nam, nh khuy , h tr v m t s ng viên tơi su t q trình làm lu c th i gian h c cao h c v a qua chân thành c Toán Th chia s n Th y Hồng Tr ng, Tr n Th Tu n Anh thu c Khoa TP.HCM, anh Nguy n Tùng Bá Khơi ng viên giúp tơi có thêm ki n th c ng ng l c hoàn thành lu Nh ng l i c lòng quan tâm t ,c u ki n t t nh t c lu t nghi p Nguy n Thùy Liên DANH M C CÁC T Vietcombank VI T T T Ngân hàng TMCP Ngo LSCB t Nam Lãi su n TG_06M Lãi su t ti n g i k h n 06 tháng TG_12M Lãi su t ti n g i k h n 12 tháng TG_18M Lãi su t ti n g i k h n 18 tháng TG_24M Lãi su t ti n g i k h n 24 tháng VTC_NH Lãi su t cho vay th ch p ng n h n VTC_TDH Lãi su t cho vay th ch p trung dài h n ECM (Error Corrected Model) Mơ hình hi u ch nh sai s OLS (ordinary least square) ADF (Augemented Dickly-Fuller) PP (Phillips Perron) nh t Ki Ki nh tính d háp ADF nh tính d NHNN c NHTM i TĨM T T M truy n d n c a sách ti n t vào kênh truy n d n ch lu n m t cách sâu r ng th gi i m t th i gian dài Tuy nhiên, nghiên c u v ch c bi t m khiêm t n T iv n nay, v i vay v nh c nh i không ch nh ch tài mà cịn c Ngân hàng nhà u có th th y rõ qua vi c nhi lãi su t tr n ng doanh nghi p khó ti p c n ngu n v n vay lãi su t u ch nh nh ng xáo tr n góp ph n nh tình hình kinh t , ng bi n pháp c i thi su n, lãi su t tái c p v n, tái chi t kh Trên c s d li u lãi su th p t tháng 01/2007 u ch nh lãi u ch nh tr n lãi su n lo i lãi su t bán l c n tháng 10/2012, lu ng liên k t Vi t Nam truy n d n lên kênh lãi su t r t lãi su t m t v i g i ti c th o ng ki c thu nh tính d ng, ki m nh có t n t i m i quan h cân b ng dài h n gi a bi n, ng mơ hình hi u ch nh sai s ng n h n gi a lãi su nh m i quan h dài h n n lãi su t bán l K t qu nghiên c u cho th y, dài h n, lãi su n m c lãi su t ti n g i k h n 12 tháng, 18 tháng, 24 tháng, lãi su t vay ng n trung dài h n m truy n d su c r t cao Tuy nhiên m c truy n d n c a lãi i lãi su t ti n g i, m c truy n d n c a k h n ng n s i k h n dài Trong ng n h n, m c truy n d dài h n, m truy n d n lãi su t bán l c a lãi su n th i t cho vay ng n h n có m c truy n d n cao nh t, lãi su t ti n g i 12 tháng có m c truy n d n th p nh t DANH M C B NG BI U VÀ HÌNH V Trang B ng 4.1 K t qu th ng kê mô t chu i d li Ma tr u 29 a chu i lãi su t 30 31 K t qu ki nh tính d ng b 32 T ng h p k t qu ki K t qu l a ch M ng liên k t Johansen tr c truy n d n c a lãi su 33 n VAR(10) 35 n lên lãi su t bán l dài h n Hình 4.1 M 36 truy n d n c a lãi su n lên lãi su t bán l ng n h n Bi ng c a lo i lãi su t bán l so v i lãi su 38 n 28 GI I THI U 1.1 Lý ch tài Sau m t th i gian dài b t n, n n kinh t Vi kinh t ng nh nh ng thành t ng c a m t lo t cú s c kinh t c sau tác c bi t h u qu t cu c kh ng ho ng tài tồn c u kh ng ho ng n công kéo dài khu v r i ro kinh t tr gi t n vi c gia hi n qua t l l m phát cao, d t ngân sách, my uv m c ngân hàng doanh nghi p V i b i c nh n n kinh t hi n nay, vi c ho ti n t phù h p vô quan tr nh m th c hi sách ti n t , kênh truy n d u hành sách c u vi d n truy n sách ti n t c bi t kênh truy n d n lãi su t vô c n thiêt Lãi su t không ch công c u ti t th gi ng thái phát tín hi u v ch u hành sách ti n t c a NHNN vi sách ti n t Lãi su theo dõi, d u hành t ch s kinh t quan tr ng th chính, ti n t c t ch c, cá nhân ngồi có nh c quan tâm, ng, s bi ng c a lãi su t th ng u ti t trình phân b v n t i kênh d n v thơng c a dịng ch y v n t ng kênh Nh ng n n kinh t mà lãi su t th neo gi ng tài ng thái phù h p ng c a n n kinh t th nhân t ng c a Chính ph m c cao th ng d ng ng t p trung v n m i Và h qu t t y u kênh tín d ng ngân hàng o c p v n (c ng n h n, trung h n, dài h n) cho doanh nghi p nh ng kênh d n v ng ch ng khoán s 75 LSCB -0.728115 0.728157 VTC_NH 0.039131 -0.473552 Unrestricted Adjustment Coefficients (alpha): D(LSCB) D(VTC_NH) 0.233642 0.367583 Cointegrating Equation(s): -0.043233 0.202154 Log likelihood -137.4043 Normalized cointegrating coefficients (standard error in parentheses) LSCB VTC_NH 1.000000 -0.053743 (0.09499) Adjustment coefficients (standard error in parentheses) D(LSCB) -0.170118 (0.04172) D(VTC_NH) -0.267643 (0.09800) JOHANSEN VTC_TDH Date: 11/26/12 Time: 23:07 Sample (adjusted): 2007M04 2012M10 Included observations: 67 after adjustments Trend assumption: Linear deterministic trend Series: LSCB VTC_TDH 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 0.220243 0.054838 20.44658 3.778746 15.49471 3.841466 0.0082 0.0519 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 Max-Eigen Statistic 0.05 Critical Value Prob.** None * At most 0.220243 0.054838 16.66783 3.778746 14.26460 3.841466 0.0204 0.0519 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 76 Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): LSCB -0.753938 0.526922 VTC_TDH 0.057241 -0.379242 Unrestricted Adjustment Coefficients (alpha): D(LSCB) D(VTC_TDH) 0.234279 0.306157 Cointegrating Equation(s): -0.034840 0.206412 Log likelihood -140.1562 Normalized cointegrating coefficients (standard error in parentheses) LSCB VTC_TDH 1.000000 -0.075922 (0.08885) Adjustment coefficients (standard error in parentheses) D(LSCB) -0.176632 (0.04491) D(VTC_TDH) -0.230824 (0.10165) 77 PH L C TR LAG TG_06M VAR Lag Order Selection Criteria Endogenous variables: TG_06M LSCB Exogenous variables: C Date: 12/09/12 Time: 22:50 Sample: 2007M01 2012M10 Included observations: 60 Lag LogL LR FPE AIC SC HQ 10 -240.5183 -145.0350 -124.4802 -116.1970 -113.7182 -113.3356 -111.2493 -110.2161 -106.7156 -98.26035 -95.75065 NA 181.4184 37.68371 14.63362 4.214083 0.624843 3.268569 1.549838 5.017360 11.55548* 3.262609 11.11389 0.526719 0.303521 0.263496* 0.277874 0.314686 0.337287 0.375223 0.385445 0.336668 0.359770 8.083944 5.034499 4.482674 4.339901* 4.390606 4.511187 4.574976 4.673869 4.690519 4.542012 4.591688 8.153755 5.243933 4.831731 4.828582* 5.018909 5.279113 5.482526 5.721041 5.877315 5.868430 6.057730 8.111251 5.116420 4.619209 4.531051* 4.636370 4.811565 4.929969 5.083475 5.154740 5.060847 5.165138 * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion LAG TG_12M VAR Lag Order Selection Criteria Endogenous variables: TG_12M LSCB Exogenous variables: C Date: 12/09/12 Time: 22:47 Sample: 2007M01 2012M10 Included observations: 60 Lag LogL LR FPE AIC SC HQ 10 -236.1348 -149.5613 -127.0036 -115.3389 -114.6795 -112.8425 -112.1591 -107.8258 -100.7003 -99.48594 -93.60814 NA 164.4896 41.35573 20.60765 1.121047 3.000412 1.070568 6.499975 10.21321* 1.659668 7.641142 9.603022 0.612497 0.330155 0.256065* 0.286922 0.309555 0.347673 0.346487 0.315415 0.350707 0.334972 7.937826 5.185376 4.566787 4.311297* 4.422649 4.494749 4.605305 4.594194 4.490011 4.582865 4.520271 8.007637 5.394811 4.915845 4.799977* 5.050952 5.262676 5.512854 5.641366 5.676806 5.909283 5.986312 7.965133 5.267298 4.703323 4.502447* 4.668413 4.795128 4.960297 5.003801 4.954232 5.101700 5.093721 78 * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion LAG TG_18M VAR Lag Order Selection Criteria Endogenous variables: TG_18M LSCB Exogenous variables: C Date: 12/09/12 Time: 22:51 Sample: 2007M01 2012M10 Included observations: 60 Lag LogL LR FPE AIC SC HQ 10 -220.7128 -131.8869 -103.6116 -100.8992 -100.6864 -99.66415 -98.34607 -95.49008 -94.40929 -92.72642 -85.31216 NA 168.7691 51.83811 4.791991 0.361637 1.669715 2.064986 4.283996 1.549132 2.299916 9.638542* 5.743165 0.339814 0.151385* 0.158239 0.179968 0.199509 0.219385 0.229673 0.255747 0.279956 0.254046 7.423758 4.596231 3.787053* 3.829972 3.956214 4.055472 4.144869 4.183003 4.280310 4.357547 4.243739 7.493570 4.805666 4.136111* 4.318652 4.584517 4.823398 5.052418 5.230175 5.467105 5.683966 5.709780 7.451066 4.678152 3.923589* 4.021121 4.201978 4.355850 4.499862 4.592609 4.744530 4.876382 4.817188 * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion LAG TG_24M VAR Lag Order Selection Criteria Endogenous variables: TG_24M LSCB Exogenous variables: C Date: 12/09/12 Time: 22:49 Sample: 2007M01 2012M10 Included observations: 60 Lag LogL LR FPE AIC SC HQ -220.0785 -129.8811 -100.5214 -98.80708 -98.56540 -96.68344 -95.07873 -90.31594 -89.17741 -87.47537 NA 171.3751 53.82616* 3.028615 0.410868 3.073860 2.514054 7.144180 1.631898 2.326123 5.623025 0.317837 0.136568* 0.147580 0.167683 0.180639 0.196746 0.193288 0.214818 0.235003 7.402618 4.529371 3.684047* 3.760236 3.885513 3.956115 4.035958 4.010531 4.105914 4.182512 7.472429 4.738805 4.033104* 4.248917 4.513817 4.724041 4.943507 5.057704 5.292709 5.508930 7.429925 4.611292 3.820582* 3.951386 4.131277 4.256493 4.390950 4.420138 4.570134 4.701347 79 10 -81.49444 7.775209 0.223689 4.116481 5.582522 4.689931 * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion LAG VTC_NH VAR Lag Order Selection Criteria Endogenous variables: VTC_NH LSCB Exogenous variables: C Date: 12/09/12 Time: 22:38 Sample: 2007M01 2012M10 Included observations: 60 Lag LogL LR FPE AIC SC HQ 10 -251.8858 -160.9194 -142.5999 -127.2314 -126.3230 -122.0867 -121.1259 -118.8615 -115.7637 -111.7557 -108.4780 NA 172.8363 33.58567 27.15110* 1.544259 6.919190 1.505259 3.396685 4.440120 5.477686 4.260920 16.23408 0.894395 0.555262 0.380638* 0.422982 0.421272 0.468791 0.500547 0.521132 0.527918 0.549886 8.462861 5.563979 5.086664 4.707712* 4.810766 4.802891 4.904198 4.962049 4.992124 4.991855 5.015934 8.532672 5.773413 5.435721 5.196393* 5.439069 5.570818 5.811747 6.009222 6.178919 6.318273 6.481975 8.490168 5.645900 5.223199 4.898862* 5.056530 5.103269 5.259190 5.371656 5.456345 5.510690 5.589384 * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion LAG VTC_TDH VAR Lag Order Selection Criteria Endogenous variables: VTC_TDH LSCB Exogenous variables: C Date: 12/09/12 Time: 22:41 Sample: 2007M01 2012M10 Included observations: 60 Lag LogL LR FPE AIC SC HQ 10 -264.0591 -161.8270 -143.6667 -130.0261 -128.6143 -126.1152 -125.4310 -122.5939 -120.9340 -116.8814 -112.5247 NA 194.2410 33.29384 24.09834* 2.400061 4.081904 1.071848 4.255741 2.379108 5.538556 5.663814 24.35865 0.921866 0.575362 0.417802* 0.456554 0.481815 0.541130 0.566861 0.619149 0.626282 0.629294 8.868635 5.594232 5.122223 4.800871* 4.887144 4.937173 5.047701 5.086463 5.164468 5.162714 5.150822 8.938447 5.803667 5.471280 5.289551* 5.515447 5.705100 5.955251 6.133635 6.351263 6.489133 6.616863 8.895942 5.676153 5.258759 4.992020* 5.132908 5.237551 5.402694 5.496069 5.628689 5.681550 5.724271 80 * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion 81 PH C L C 05 : K T QU H I QUY THEO MƠ HÌNH ECM TRONG DÀI H N VECM TG_12M Vector Error Correction Estimates Date: 12/10/12 Time: 14:10 Sample (adjusted): 2007M05 2012M10 Included observations: 66 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 TG_12M(-1) 1.000000 LSCB(-1) 1.671736 (0.97940) [ 1.70689] C -25.80613 Error Correction: D(TG_12M) D(LSCB) CointEq1 -0.039526 (0.02504) [-1.57876] -0.042793 (0.01582) [-2.70582] D(TG_12M(-1)) -0.172934 (0.12787) [-1.35241] 0.198800 (0.08078) [ 2.46112] D(TG_12M(-2)) -0.126447 (0.11585) [-1.09146] 0.069232 (0.07318) [ 0.94601] D(TG_12M(-3)) 0.042139 (0.09740) [ 0.43265] -0.003924 (0.06153) [-0.06377] D(LSCB(-1)) 0.654963 (0.19627) [ 3.33702] 0.554433 (0.12398) [ 4.47178] D(LSCB(-2)) 1.249809 (0.24016) [ 5.20409] -0.204733 (0.15171) [-1.34952] D(LSCB(-3)) -0.229340 (0.28301) [-0.81037] -0.069044 (0.17877) [-0.38621] C 0.022594 (0.10121) [ 0.22323] -0.001765 (0.06394) [-0.02760] 0.614577 0.568060 39.10868 0.821150 13.21198 0.485016 0.422863 15.60607 0.518720 7.803550 R-squared Adj R-squared Sum sq resids S.E equation F-statistic 82 Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent -76.38071 2.556991 2.822404 0.031818 1.249427 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion -46.06410 1.638306 1.903719 0.011364 0.682799 0.181314 0.140023 -122.4235 4.255258 4.852437 VECM TG_18M Vector Error Correction Estimates Date: 12/10/12 Time: 14:11 Sample (adjusted): 2007M04 2012M10 Included observations: 67 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 TG_18M(-1) 1.000000 LSCB(-1) 1.530676 (0.67017) [ 2.28400] C -24.00756 Error Correction: D(TG_18M) D(LSCB) CointEq1 -0.047250 (0.02015) [-2.34499] -0.052150 (0.01685) [-3.09461] D(TG_18M(-1)) -0.212518 (0.12342) [-1.72197] 0.183805 (0.10322) [ 1.78074] D(TG_18M(-2)) 0.040242 (0.10324) [ 0.38979] 0.155457 (0.08634) [ 1.80045] D(LSCB(-1)) 0.931650 (0.14026) [ 6.64218] 0.548309 (0.11731) [ 4.67408] D(LSCB(-2)) 0.251969 (0.19570) [ 1.28753] -0.213258 (0.16367) [-1.30295] C 0.010809 (0.07577) [ 0.14265] -0.001101 (0.06337) [-0.01737] 0.556778 0.520449 23.41142 0.459619 0.415325 16.37577 R-squared Adj R-squared Sum sq resids 83 S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent 0.619511 15.32573 -59.84468 1.965513 2.162948 0.022388 0.894605 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 0.518127 10.37665 -47.87107 1.608092 1.805527 0.011194 0.677608 0.102810 0.085221 -107.6436 3.631154 4.091836 VECM TG_18M Vector Error Correction Estimates Date: 12/10/12 Time: 14:12 Sample (adjusted): 2007M04 2012M10 Included observations: 67 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 TG_24M(-1) 1.000000 LSCB(-1) 1.147634 (0.56396) [ 2.03497] C -20.66354 Error Correction: D(TG_24M) D(LSCB) CointEq1 -0.054471 (0.02316) [-2.35214] -0.061039 (0.02028) [-3.00991] D(TG_24M(-1)) -0.056502 (0.12426) [-0.45472] 0.162894 (0.10881) [ 1.49705] D(TG_24M(-2)) 0.023327 (0.10015) [ 0.23293] 0.153941 (0.08770) [ 1.75535] D(LSCB(-1)) 0.903905 (0.13487) [ 6.70215] 0.549724 (0.11810) [ 4.65466] D(LSCB(-2)) 0.108364 (0.18735) [ 0.57840] -0.191349 (0.16406) [-1.16632] C 0.008294 (0.07278) [ 0.11396] 0.002250 (0.06373) [ 0.03531] 84 R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent 0.558272 0.522065 21.63212 0.595504 15.41880 -57.19669 1.886468 2.083903 0.019403 0.861390 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 0.452615 0.407748 16.58800 0.521473 10.08780 -48.30245 1.620969 1.818404 0.011194 0.677608 0.096403 0.079910 -105.4882 3.566812 4.027494 VECM VTC_NH Vector Error Correction Estimates Date: 12/10/12 Time: 14:13 Sample (adjusted): 2007M06 2012M10 Included observations: 65 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 VTC_NH(-1) 1.000000 LSCB(-1) 3.956993 (1.88080) [ 2.10389] C -49.22785 Error Correction: D(VTC_NH) D(LSCB) CointEq1 -0.054290 (0.01825) [-2.97474] -0.015845 (0.00793) [-1.99861] D(VTC_NH(-1)) 0.007922 (0.11564) [ 0.06850] 0.118536 (0.05023) [ 2.35976] D(VTC_NH(-2)) 0.352024 (0.12995) [ 2.70888] 0.248552 (0.05645) [ 4.40294] D(VTC_NH(-3)) 0.165138 (0.12941) [ 1.27612] -0.084250 (0.05621) [-1.49874] D(LSCB(-1)) -0.302795 (0.27028) [-1.12029] 0.431283 (0.11741) [ 3.67328] D(LSCB(-2)) 0.873899 -0.056190 85 (0.27054) [ 3.23026] (0.11752) [-0.47813] D(LSCB(-3)) -0.031013 (0.25860) [-0.11992] -0.153992 (0.11234) [-1.37081] C 0.000794 (0.13713) [ 0.00579] 0.003714 (0.05957) [ 0.06235] 0.410163 0.337727 69.55184 1.104630 5.662415 -94.43077 3.151716 3.419333 0.022154 1.357370 0.566895 0.513707 13.12475 0.479853 10.65826 -40.23465 1.484143 1.751760 0.011538 0.688112 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 0.256654 0.197365 -131.7243 4.606901 5.209039 VECM VTC_TDH Vector Error Correction Estimates Date: 12/10/12 Time: 15:29 Sample (adjusted): 2007M10 2012M10 Included observations: 61 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 VTC_TDH(-1) 1.000000 LSCB(-1) 3.015040 (1.43159) [ 2.10607] C -42.62746 Error Correction: D(VTC_TDH) D(LSCB) CointEq1 -0.091157 (0.03364) [-2.70975] -0.007789 (0.01405) [-0.55427] D(VTC_TDH(-1)) -0.092970 (0.14769) [-0.62951] 0.109492 (0.06170) [ 1.77467] D(VTC_TDH(-2)) 0.389494 (0.15289) [ 2.54749] 0.260789 (0.06387) [ 4.08296] D(VTC_TDH(-3)) 0.142603 0.046199 86 (0.18188) [ 0.78404] (0.07598) [ 0.60802] D(LSCB(-1)) -0.356394 (0.36791) [-0.96869] 0.362548 (0.15370) [ 2.35881] D(LSCB(-2)) 0.943160 (0.39403) [ 2.39362] -0.130935 (0.16461) [-0.79543] D(LSCB(-3)) 0.152380 (0.41517) [ 0.36703] 0.118436 (0.17344) [ 0.68287] C -0.015484 (0.15961) [-0.09701] -0.002943 (0.06668) [-0.04414] 0.456950 0.242256 62.53691 1.205963 2.128378 -87.31418 3.452924 4.075805 0.053115 1.385392 0.639836 0.497445 10.91415 0.503803 4.493531 -34.07044 1.707227 2.330108 0.012295 0.710672 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 0.343261 0.170570 -119.1679 5.153044 6.468015 87 PH L C 06: K T QU H I QUY M C TRUY N D N TRONG NG N H N ECM TG_06M Dependent Variable: D(TG_06M) Method: Least Squares Date: 12/25/12 Time: 11:18 Sample (adjusted): 2007M02 2012M10 Included observations: 69 after adjustments Variable Coefficient Std Error t-Statistic Prob C D(LSCB) PHANDU_06M(-1) 0.015720 0.704378 -0.179707 0.116683 0.179095 0.060378 0.134719 3.932981 -2.976366 0.8932 0.0002 0.0041 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.310122 0.289216 0.968915 61.96056 -94.19427 14.83451 0.000005 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.017391 1.149256 2.817225 2.914360 2.855762 2.140142 ECM TG_12M Dependent Variable: D(TG_12M) Method: Least Squares Date: 12/06/12 Time: 15:11 Sample (adjusted): 2007M02 2012M10 Included observations: 69 after adjustments Variable Coefficient Std Error t-Statistic Prob C D(LSCB) PHANDU_12M(-1) 0.028596 0.438962 -0.289345 0.126474 0.195035 0.072209 0.226100 2.250676 -4.007064 0.8218 0.0277 0.0002 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.282386 0.260640 1.050382 72.81797 -99.76480 12.98570 0.000018 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat ECM TG_18M Dependent Variable: D(TG_18M) Method: Least Squares Date: 12/06/12 Time: 15:13 Sample (adjusted): 2007M02 2012M10 0.030435 1.221573 2.978690 3.075825 3.017227 1.711138 88 Included observations: 69 after adjustments Variable Coefficient Std Error t-Statistic Prob C D(LSCB) PHANDU_18M(-1) 0.017395 0.563420 -0.188525 0.090033 0.136785 0.065396 0.193207 4.119002 -2.882850 0.8474 0.0001 0.0053 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.301400 0.280230 0.747738 36.90144 -76.31473 14.23733 0.000007 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.021739 0.881359 2.298978 2.396113 2.337514 2.103272 ECM TG_24M Dependent Variable: D(TG_24M) Method: Least Squares Date: 12/06/12 Time: 15:14 Sample (adjusted): 2007M02 2012M10 Included observations: 69 after adjustments Variable Coefficient Std Error t-Statistic Prob C D(LSCB) PHANDU_24M(-1) 0.014492 0.561707 -0.179268 0.086489 0.131269 0.064729 0.167560 4.279053 -2.769526 0.8674 0.0001 0.0073 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.304643 0.283572 0.718302 34.05323 -73.54349 14.45765 0.000006 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.018841 0.848635 2.218652 2.315787 2.257189 1.930995 ECM VTC_VNH Dependent Variable: D(VTC_NH) Method: Least Squares Date: 12/06/12 Time: 15:17 Sample (adjusted): 2007M02 2012M10 Included observations: 69 after adjustments Variable Coefficient Std Error t-Statistic Prob C D(LSCB) PHANDU_VNH(-1) 0.019488 0.761162 -0.148809 0.143129 0.216224 0.061108 0.136156 3.520243 -2.435194 0.8921 0.0008 0.0176 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.209266 0.185304 1.188645 93.24980 -108.2973 8.733366 0.000432 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.022609 1.316904 3.226009 3.323144 3.264546 2.230987 89 ECM VTC_TDH Dependent Variable: D(VTC_TDH) Method: Least Squares Date: 12/06/12 Time: 15:40 Sample (adjusted): 2007M02 2012M10 Included observations: 69 after adjustments Variable Coefficient Std Error t-Statistic Prob C D(LSCB) PHANDU_TDH(-1) 0.042648 0.668019 -0.113556 0.144702 0.218450 0.051568 0.294729 3.058000 -2.202087 0.7691 0.0032 0.0312 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.172371 0.147291 1.201815 95.32764 -109.0576 6.872927 0.001943 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.048696 1.301479 3.248047 3.345182 3.286584 2.285114 ... a lãi su t, t lãi su t sách ng cu i sang lãi su t bán l , c th lãi su t huy ng lãi su t cho vay sách ti n t t gi mong mu ng y u t Vi t Nam v n d n truy n lãi su t bán l t i i di n lãi su t bán. .. tr c truy n d n c a lãi su 33 n VAR(10) 35 n lên lãi su t bán l dài h n Hình 4.1 M 36 truy n d n c a lãi su n lên lãi su t bán l ng n h n Bi ng c a lo i lãi su t bán l so v i lãi su 38 n 28 GI... vào m - Hi u rõ v su d n truy n lãi su n t i Vi t Nam, c th t lãi n sang lãi su t bán l bao g m lãi su ng lãi su t cho vay - nh y u t ng m truy n d n ng n h n dài h n c a y u t lên lãi su t bán