TRNG I HC NGOI THNG

----------

BO CO
BI TP KINH T LNG
ti: Lp m hnh kinh t phn tch s nh hng ca
mt s yu t n cu tin hin nay

Ging vin hng dn :

Nhm sinh vin thc hin
1. L Th N_1111110485
2. L Vit Thng_1111110159
3. Trn Cm T Anh_1111110136

H Ni, 2013
1

Li m u
Chnh sch tin t cng vi chnh sch ti kha, l mt trong hai chnh
sch c bn gip nh nc iu hnh nn kinh t mt cch hiu qu nht.
Chnh ph da vo nng lc ca nn kinh t, nh gi tng quan nn kinh
t, d bo t l lm pht, u t t nhn, chi tiu trong nn kinh t. a ra
mc cung tin hp l, hiu qu. Chnh sch tin t c nhng tc ng chnh sau
n nn kinh t:
Th nht, nhm mc ch, kch thch chi tiu, u t t nhn, kch thch
cc doanh nghip cung ng hng ha cho th trng, nu nn kinh t ang lm
trong thi k gim cu, nng lc ca nn kinh t ang gim
Th hai, nhm mc ch gim pht, rt tin v trong lu thng bng
nhng chnh sch tht cht tin t. Vi mc ch ny, chnh ph a ra rt nhiu
cc cng c ti chnh khc nhau nh: tri phiu kho bc, tri phiu chnh ph,
iu tit li sut ti NHTW, thu.
Th ba: kt hp cng chnh sch ti kha t hiu qu cao nht, trnh
nhng trng hp c tc ng ngc
Nh ta bit, thc tin v chnh sch tin t c nhng tc ng qua li
ln nhau:
Thc tin

Hoch nh chnh sch tin t

Khi , chnh ph vi vai tr ch ng, d on, a ra nhng chnh

sch kinh t ph hp, nh hng pht trin cho nn kinh t. Hoc chnh ph
nm trong th b ng, a ra chnh sch tin t cu nguy cho nn kinh t.
Phng tin chnh ph tip xc vi nn kinh t chnh l tin t, hay
ni cch khc, tin t l phng tin giao tip, truyn ti nhng chnh sch ca
chnh ph n nn kinh t
Vy nhng yu t no c th nh hng n lng tin c trong lu
thng, nghin cu nhng nh hng c th ca tng yu t s gip chnh ph
a ra nhng quyt nh hiu qu v chnh xc hay khng? Chnh v vy, chy
m hnh kinh t lng gip xc nh nh hng c th ca cc yu t nh ch s
GDP, li sut thng phiu, tn phiu kho bc, lm pht n lng tin M1, t
c th a ra nhng chnh sch c th.
Sau y, l phn trnh by ca chng em v m hnh kinh t lng vi
ti Money demand. Vi vn kin thc cn cha hon chnh, chng em rt
mong thy xem xt v to iu kin cho chng em !
2

C S L THUYT
- Trc ht, ta hnh dung khi nim c s tin t (monetary base; vn thng
c gi ting Vit thun hn l tin c s) v M1.
- M1= C+D. Gm c lng tin mt trong lu thng v tin gi khng k hn,
c kh nng thanh khon cao, nn c th coi l tin giao dch, l n v o
mc cung tin ca quc gia.
- T gc nhn ca ngn hng thng mi (NHTM), mt phng tin thay th
hon ho cho ng tin lu thng chnh l d tr ca cc NHTM nm ti ti
khon ca ngn hng trung ng (NHT). Nu mt NHTM cn tin, h c
th d dng chuyn t mn d tr (R) sang phng tin thanh ton l tin (C)
hu nh khng tn km g.
Mt s yu t nh hng n lng cung tin M1
1. nh hng ca GDP
- GDP c o lng qua cc ch s sau:GDP = C + G + I + NX
Trong iu kin kinh t tng trng, GDP thc t tng-> thu nhp thc t
ca cc ch th kinh t tng ln (gi nh gi tr tin t tng i n nh) ->
lng tin ca cc ch th kinh t nm gi s tng, ->mc cu tin tng v
ngc li trong iu kin nn kinh t suy thoi, thu nhp thc t ca cc ch
th kinh t gim xung lm cho s lng tin t nm gi cng gim t
lm gim cu tin.

nh hng dng

2. nh hng ca li sut tn phiu kho bc ( tbr)

- Tn phiu kho bc l cng c vay n ngn hn do Chnh ph do NHNN
pht hnh huy b p thm ht ngn sch nh nc tam thi, rt tin
trong lu thng.
- Mc d li sut tn phiu kho bc< lai sut chng ch tin gi< thng
phiu ngn hng, nhng dn chng vn c tm l thch nm gi tn phiu
3

kho bc, do an ton cao, ri ro thp, tnh lng cao nht trn th trng
tin t.
- Khi li sut tn phiu kho bc tng=> chnh ph rt tin trong lu thng v> lng tin trong lu thng gim-> M1 gim.
nh hng m
3. nh hng ca li sut thng phiu ( cpr)
- Thng phiu l nhng giy t n do cc cng ty c uy tn pht hnh
vay vn ngn hn trn th trng ti chnh. Nhng ngi u t thng
phiu, ngoi cc ngn hng cn c cc trung gian ti chnh v cng ty khc.
Thng phiu c pht hnh theo hnh thc chit khu.
- Khi li sut thng phiu tng cu v thng phiu tng ngi dn
nm gi thng phiu nhiu hn gi tin cu v tin tng
nh hng dng
4. T l lm pht
- T l lm pht (Inflation rate) l tc tng mt bng gi ca nn kinh t.
N cho thy mc lm pht ca nn kinh t. Thng thng, ngi ta
tnh t l lm pht da vo ch s gi tiu dng hoc ch s gim pht
GDP. T l lm pht c th c tnh cho mt thng, mt qu, na nm
hay mt nm.
- Nu Po l mc gi c trung bnh ca k hin ti v P-1 l mc gi ca k
trc, th t l lm pht ca k hin ti l:
T l lm pht = 100% x

Po P-1
P-1

- C mt s cng thc khc na, v d:

- T l lm pht = (log Po - log P-1) x 100%
T l lm pht =

Tc lu thng tin x Cung tin

GDP thc t

Do , Nu hai yu t cn li khng i, tc thay i ca t l lm pht

bng ng tc thay i ca cung tin
4

 nh hng dng
nghin cu nhng nhn t trn tc ng ti cu tin nh th no, chng em
xin trnh by m hnh kinh t lng c cc bin c lp gii thch cho s bin
ng ca cu tin m : y( log of GDP), cpr( li sut thng phiu), tbr( li
sut tn phiu kho bc). infl( t l lm pht qu).

XY DNG M HNH
I.

Thit lp m hnh tng qut

M hnh c dng: mi = 1+ 2*yi +

Bin ph thuc

4*tbri + 5*infli +ui

ngha

Tn bin
M
Bin gii thch

3 *cpri +

Log of real M1money stock

Tn bin

Du k vng

n v

Infl

%/nm

Triu USD

Cpr

%/nm

Tbr

%/nm

ngha
Quarterly inflation
rate
Log real GDP
Commercial paper
rate
Treasury bill rate

Model 1: OLS, using observations 1947:2-1995:2 (T = 193)

Dependent variable: m

Const
Y
Cpr
Tbr
Infl

Coefficient Std. Error t-ratio

3.54641
0.114474 30.9800
0.379952 0.0151177 25.1329
0.0248754 0.0126743 1.9627
-0.0573434 0.0134961 -4.2489
0.00182181 -1.5006
0.00273378

Mean dependent var 6.407268

Sum squared resid
0.748318
R-squared
0.779976
F(4, 188)
166.6129
Log-likelihood
261.9724
Schwarz criterion
-497.6314
Rho
0.917388

p-value
<0.00001
<0.00001
0.05116
0.00003
0.13514

***
***
*
***

S.D. dependent var

0.133094
S.E. of regression
0.063091
Adjusted R-squared 0.775294
P-value(F)
1.16e-60
Akaike criterion
-513.9449
Hannan-Quinn
-507.3385
Durbin-Watson
0.168337

c lng c kt qu ca hi quy mu:

m^=3.54641+0.379952*y + 0.0248754*cpr -0.0573434*tbr -0.00273378*infl
6

II.

Din gii m hnh

H s chn 1= 3.54641 cho bit khi y=cpr=tbr=infl hay tc tng

trng GDP, li sut thng phiu, li sut tn phiu kho bc v lm pht
th cu tin trung bnh bng 3.54641%
H s 2=0.379952 cho bit khi GDP tng trng 1% , cc yu t cn li
khng i th cu tin tng 0.379952 %
H s 3=0.0248754 cho bit khi li sut thng phiu tng trng 1% ,
cc yu t cn li khng i th cu tin tng 0.0248754 %
H s 4=-0.0573434cho bit khi li sut tn phiu kho bc tng trng
1% , cc yu t cn li khng i th cu tin gim 0.0573434%
H s 4=-0.00273378 cho bit khi lm pht qu tng trng 1% , cc
yu t cn li khng i th cu tin gim 0.00273378%.
Ch s
R-squared
0.779976
Ch ra rng 77.99% s bin ng ca cu tin c gii thch bi cc bin :
tc tng trng GDP, li sut thng phiu, li sut tn phiu kho bc v
lm pht qu

III. KIM NH V CHA LI M HNH

1. Phn phi chun:

Ta thy :
P-value = 0.3195 > 0.05 nn l phn phi chun.
M hnh ang chy c dng s liu time series nn ta u tin kim nh t
tng quan trc.
2. T tng quan
Kim tra li
Model 1: OLS, using observations 1947:2-1995:2 (T = 193)
Dependent variable: m
Coefficient Std. Error t-ratio
3.54641
0.114474 30.9800
0.00182181 -1.5006
0.00273378
0.379952 0.0151177 25.1329
0.0248754 0.0126743 1.9627
-0.0573434 0.0134961 -4.2489

Const
Infl
Y
Cpr
Tbr

Mean dependent var 6.407268

Sum squared resid
0.748318
R-squared
0.779976
F(4, 188)
166.6129
Log-likelihood
261.9724
Schwarz criterion
-497.6314
Rho
0.917388

p-value
<0.00001
0.13514

***

<0.00001
0.05116
0.00003

***
*
***

S.D. dependent var

0.133094
S.E. of regression
0.063091
Adjusted R-squared 0.775294
P-value(F)
1.16e-60
Akaike criterion
-513.9449
Hannan-Quinn
-507.3385
Durbin-Watson
0.168337

Ta c OLS:
m^=3.54641+0.379952*y + 0.0248754*cpr -0.0573434*tbr -0.00273378*infl
AR(1) : u t u t 1 vt
Ho: 0

1 1

khng c TTQ

Ha: 0 C TTQ
d* (DW*) = 0.168337
Vi mc ngha 5%, k=4, n=193

Critical value

d L 1.728
d U 1.810

1.525

1.703

DW* = 0.168337
C t tng quan bc nht dng

Kim nh TTQ bc cao

Breusch-Godfrey test for autocorrelation up to order 3
OLS, using observations 1947:2-1995:2 (T = 193)
Dependent variable: uhat
coefficient std. error t-ratio p-value
----------------------------------------------------------const 0.0139866 0.0472114 0.2963 0.7674
y
0.00274798 0.00623503 0.4407 0.6599
cpr
0.0163208 0.00537928 3.034 0.0028 ***
tbr
0.0167996 0.00572025 2.937 0.0037 ***
infl
0.000256102 0.000759332 0.3373 0.7363
uhat_1 1.06635
0.0713551 14.94 1.23e-033 ***
uhat_2 0.321496 0.103144 3.117 0.0021 ***
uhat_3 0.195420 0.0729187 2.680 0.0080 ***
Unadjusted R-squared = 0.833229
Test statistic: LMF = 308.101374,
with p-value = P(F(3,185) > 308.101) = 1.11e-071
Alternative statistic: TR^2 = 160.813155,
with p-value = P(Chi-square(3) > 160.813) = 1.22e-034
Ljung-Box Q' = 352.168,
with p-value = P(Chi-square(3) > 352.168) = 5.06e-076
P-value < 0.05=> c T tng quan bc 3
Cch khc phc t tng quan
Cch 1: TTQ bc nht da trn thng k d
= 1-d/2=0.91583

Model 2: OLS, using observations 1947:3-1995:2 (T = 192)

Dependent variable: dm1

Const
dinfl1
dtbr1

dcpr1
dy11

Coefficient Std. Error t-ratio

0.179829 0.0163992 10.9658
-0.0012048 0.00033991 -3.5444
3
0.0032732 -0.2691
0.00088090
2
0.00285113 -0.9385
0.00267584
0.262487 0.0244193 10.7491

Mean dependent var 0.355157

Sum squared resid
0.024755
R-squared
0.407915
F(4, 187)
32.20832
Log-likelihood
587.3608
Schwarz criterion
-1148.434
Rho
0.647109

p-value
<0.00001
0.00050

***
***

0.78813

0.34919
<0.00001

***

S.D. dependent var

0.014795
S.E. of regression
0.011506
Adjusted R-squared 0.395251
P-value(F)
2.04e-20
Akaike criterion
-1164.722
Hannan-Quinn
-1158.125
Durbin-Watson
0.700643

LM test for autocorrelation up to order 1 Null hypothesis: no autocorrelation

Test statistic: LMF = 142.406
with p-value = P(F(1,186) > 142.406) = 9.62904e-025
=> Kim nh Durbin-Watson cho kt qu d= 0.700643< dL => vn mc li t
tng quan.
=> kim nh BG cho P-value < 0.05 => vn mc li t tng quan.
Cch 2: phng php Durbin-Watson 2 bc
1/ c lng
Model 3: OLS, using observations 1947:3-1995:2 (T = 192)
Dependent variable: m

Const
Infl
infl_1

Coefficient Std. Error t-ratio

0.107004 0.0359644 2.9753
0.00025483 -8.0430
0.00204961
0.00025875 -0.5872
0.00015192 1

p-value
0.00332
<0.00001

***
***

0.55782
10

Y
y1
Cpr
cpr_1
Tbr
tbr_1
m_1

8
0.15477
0.0673489 2.2980
-0.121033 0.0680845 -1.7777
0.00205462 -1.9421
0.00399022
0.00032561 0.00207481 0.1569
5
0.0030184 0.00233969 1.2901
0.00237622 -0.5421
0.00128817
0.944889 0.00926787 101.9531

Mean dependent var 6.407401

Sum squared resid
0.010823
R-squared
0.996817
F(9, 182)
6333.162
Log-likelihood
666.7856
Schwarz criterion
-1280.996
Rho
0.531129

0.02270
0.07712
0.05367

**
*
*

0.87547
0.19866
0.58841
<0.00001

***

S.D. dependent var

0.133429
S.E. of regression
0.007712
Adjusted R-squared 0.996660
P-value(F)
3.8e-222
Akaike criterion
-1313.571
Hannan-Quinn
-1300.378
Durbin's h
7.401305

chnh l c lng ca h s ng vi m(-1): =0.944889 .

2/ Dng c lng phng trnh sai phn tng qut :

Dm= m-0.944889*m(-1)
Dcpr=cpr-0.944889 *cpr(-1)
Dy= y- 0.944889*y(-1)
Dtbr= tbr- 0.944889*tbr(-1)
Dinfl= infl-0.944889*infl(-1)
Model 4: OLS, using observations 1947:3-1995:2 (T = 192)
Dependent variable: dm
Coefficient Std. Error t-ratio
p-value
Const
1.21882
0.0395668 30.8042
<0.00001
Dcpr
0.0117122 0.0066794 1.7535
0.08116
Dtbr
-0.0309337 0.0073519 -4.2076
0.00004
Dinfl
0.00098673 -3.4868
0.00061
0.00344054 4
Dy
0.407132 0.0142681 28.5345
<0.00001
Mean dependent var
Sum squared resid
R-squared

2.336229
0.088275
0.824305

S.D. dependent var

S.E. of regression
Adjusted R-squared

***
*
***
***
***

0.051289
0.021727
0.820546
11

F(4, 187)
Log-likelihood
Schwarz criterion
Rho

219.3355
465.3045
-904.3215
0.840469

P-value(F)
Akaike criterion
Hannan-Quinn
Durbin-Watson

1.89e-69
-920.6090
-914.0124
0.302623

Vn cn TTQ bc nht tuy nhin R-squared= 0.824305> 0.779976( m hnh c),

cc h s u c ngha thng k nn m hnh 2 tt hn.

dm^= 1.21882+ 0.0117122*dcpr-0.0309337*dtbr - 0.00344054* dinfl +

0.407132*dy
3. a cng tuyn
Xt ma trn gia cc bin c lp
Correlation coefficients, using the observations 1947:1 - 1995:2
(missing values were skipped)
5% critical value (two-tailed) = 0.1409 for n = 194
Dy
1.0000

Dcpr
0.6646
1.0000

dtbr
0.6816
0.9937
1.0000

Dinfl
0.2685
Dy
0.5319
Dcpr
0.5258
Dtbr
1.0000
Dinfl
Nhn xt: c a cng tuyn mc cao gia 2 bin dtbr v dcpr do h s tng
quan gia 2 bin ln hn 0.9
Kim tra li: hi qui ph cc bin c lp
M hnh : dcpr= 1+ *dtbr+
*y+ui
Model 5: OLS, using observations 1947:3-1995:2 (T = 192)
Dependent variable: dcpr
Coefficient Std. Error t-ratio
p-value
Const
1.10046
0.42451
2.5923
0.01028
Dtbr
1.08487
0.0135583 80.0153
<0.00001
Dinfl
0.0117253 0.0107402 1.0917
0.27635
Dy
-0.302276 0.154226 -1.9600
0.05148
Mean dependent var
Sum squared resid
R-squared
F(3, 188)
Log-likelihood
Schwarz criterion
Rho

3.699578
10.58080
0.987771
5061.965
5.815442
9.399097
0.642499

**
***
*

S.D. dependent var

2.128411
S.E. of regression
0.237236
Adjusted R-squared 0.987576
P-value(F)
1.8e-179
Akaike criterion
-3.630885
Hannan-Quinn
1.646353
Durbin-Watson
0.714891
12

Ta thy:
- H s xc nh R-squared= 0.987771 rt ln, mc cng tuyn ca
dcpr v dtpr, difln, dy l rt ln.
- Kim nh F c Pvalue =1.8e-179 rt nh, nn bin dcpr ph thuc tuyn
tnh vo t nht 1 trong cc bin dtbr, difln, dy.
- Kim nh T cp gi thuyt : Ho:
,H1:
+ C P-value <0.00001< = 0.05=> Bc b gia thuyt Ho, hay dcpr c
quan h cng tuyn vi dtbr, v l quan h cng chiu.
- Tng t Kim nh T vi cc h s
,
c P-value= 0.27635,
0.05148 > => Chp nhn gi thuyt Ho, hay khng c quan h cng
tuyn gia dcpr v difln, dy.
Sa li a cng tuyn cho m hnh
+ TH1: B bin c lp l nguyn nhn gy cng tuyn (dcpr)
Model 6 : OLS, using observations 1947:3-1995:2 (T = 192)
Dependent variable: dm

Const
Dtbr
Dinfl
Dy

Coefficient Std. Error t-ratio

1.23171
0.039092 31.5080
-0.0182275 0.00124854 -14.5990
0.00098903 -3.3398
0.00330321 4
0.403592 0.0142022 28.4175

Mean dependent var 2.336229

Sum squared resid
0.089726
R-squared
0.821416
F(3, 188)
288.2416
Log-likelihood
463.7389
Schwarz criterion
-906.4478
Rho
0.845282

p-value
<0.00001
<0.00001
0.00101

***
***
***

<0.00001

***

S.D. dependent var

0.051289
S.E. of regression
0.021846
Adjusted R-squared 0.818566
P-value(F)
4.70e-70
Akaike criterion
-919.4778
Hannan-Quinn
-914.2005
Durbin-Watson
0.293331

+ TH2: B bin dtbr

Model 7: OLS, using observations 1947:3-1995:2 (T = 192)
Dependent variable: dm

Const
Dcpr
Dinfl
Dy

Coefficient
1.26642
-0.0159882
-0.0034549
0.392194

Std. Error t-ratio

0.0395637 32.0097
0.00117718 -13.5818
0.00102963 -3.3555
0.0144202 27.1976

p-value
<0.00001
<0.00001
0.00096
<0.00001

***
***
***
***
13

Mean dependent var 2.336229

Sum squared resid
0.096632
R-squared
0.807671
F(3, 188)
263.1641
Log-likelihood
456.6208
Schwarz criterion
-892.2116
Rho
0.838355

S.D. dependent var

0.051289
S.E. of regression
0.022672
Adjusted R-squared 0.804602
P-value(F)
4.96e-67
Akaike criterion
-905.2416
Hannan-Quinn
-899.9644
Durbin-Watson
0.307506

Kim tra m hnh mi:

- Ta xt ch s
+ VIF(Model 6)= 1/(1- R2 ) =3.0743<10
Khng cn a cng tuyn, cc bin u c ngha thng k
+VIF (Model 7)=2.8763<10
Khng cn a cng tuyn
Mt khc g tr R-squared( model 6) > model 7
la chn Model 6
Ta kim nh b bin vi Model 6:
- Cp gi thuyt kimnh:
Ho: M hnh ph hp c th b bin,
H1: khng nn b bin
- Tiu chun kim nh : Fqs =

( )

( )
( )

= 0.016< F(1,186)=3.88

Chp nhn gi thuyt Ho, hay m hnh c th b bin dcpr.

- Hoc tin hnh hi quy ph cc bin c lp kim tra a cng tuyn
trong m hnh mi
Model 8: OLS, using observations 1947:3-1995:2 (T = 192)
Dependent variable: dtbr

Const
Dinfl
Dy

Coefficient
-19.3959
0.38435
7.43956

Std. Error
1.78785
0.0503835
0.625914

Mean dependent var 3.176361

Sum squared resid
306.1626
R-squared
0.585931
F(2, 189)
133.7230
Log-likelihood
-317.2318
Schwarz criterion
650.2361
Rho
0.806510

t-ratio
-10.8487
7.6285
11.8859

p-value
<0.00001
<0.00001
<0.00001

S.D. dependent var

S.E. of regression
Adjusted R-squared
P-value(F)
Akaike criterion
Hannan-Quinn
Durbin-Watson

***
***
***

1.967538
1.272756
0.581550
6.51e-37
640.4636
644.4215
0.386063
14

Xt thy cc gi tr P-value ca kim nh T u << 0.05

Khng c quan h cng tuyn gia cc bin trong m hnh, m hnh
khng cn a cng tuyn.
M hnh :
dm^= 1.23171+0.403592*dy-0.00330321*difln-0.0182275*dtbr
4. Phng sai sai s thay i
Kim tra li
Cch 1: Kim nh White
White's test for heteroskedasticity
OLS, using observations 1947:3-1995:2 (T = 192)
Dependent variable: uhat^2
coefficient std. error t-ratio p-value
---------------------------------------------------------const
0.00149125 0.0341990 0.04361 0.9653
dtbr
0.000437089 0.00151131 0.2892 0.7727
dinfl 0.000793191 0.000909437 0.8722 0.3843
dy
0.00265264 0.0241291 0.1099 0.9126
sq_dtbr 4.24758e-05 1.87899e-05 2.261 0.0250
X2_X3 2.04392e-05 2.73707e-05 0.7468 0.4562
X2_X4 0.000311966 0.000514322 0.6066 0.5449
sq_dinfl 1.43782e-05 9.44169e-06 1.523 0.1295
X3_X4
0.000308152 0.000344576 0.8943 0.3723
sq_dy
0.000877532 0.00423041 0.2074 0.8359
Unadjusted R-squared = 0.170259
Test statistic: TR^2 = 32.689725,
with p-value = P(Chi-square(9) > 32.689725) = 0.000151
Xt cp gi thuyt
Ho: khng c PSSST
H1: c PSSST
Kim nh T vi P-value=0.000151<
M hnh mc li PSSST

hay bc b gi thuyt Ho

15

Cch 2: dng Breusch-Pagan

Breusch-Pagan test for heteroskedasticity
OLS, using observations 1947:3-1995:2 (T = 192)
Dependent variable: scaled uhat^2
coefficient std. error t-ratio p-value
-------------------------------------------------------const
5.79768 2.28130 2.541 0.0118 **
dtbr
0.291693 0.0728616 4.003 8.98e-05 ***
dinfl
0.217734 0.0577173 3.772 0.0002 ***
dy
2.46939 0.828803 2.979 0.0033 ***
Explained sum of squares = 35.0612
Test statistic: LM = 17.530609,
with p-value = P(Chi-square(3) > 17.530609) = 0.000550
Tng t P-value =0.000550 <0,05=> C hin tng PSSST
Cch 3: White ( square only)
White's test for heteroskedasticity (squares only)
OLS, using observations 1947:3-1995:2 (T = 192)
Dependent variable: uhat^2
coefficient std. error t-ratio p-value
--------------------------------------------------------const 0.0127143 0.0221543 0.5739 0.5667
dtbr
0.000447282 0.000124484 3.593 0.0004 ***
dinfl
1.70394e-05 5.80292e-05 0.2936 0.7694
dy
0.00733968 0.0151898 0.4832 0.6295
sq_dtbr 3.07452e-05 1.17064e-05 2.626 0.0094 ***
sq_dinfl 1.47938e-05 8.30777e-06 1.781 0.0766 *
sq_dy 0.000866674 0.00258020 0.3359 0.7373
Unadjusted R-squared = 0.166370
Test statistic: TR^2 = 31.943000,
with p-value = P(Chi-square(6) > 31.943000) = 0.000017< 0.05
C phng sai sai s thay i

16

Biu th hin PSSST

Cha li cho m hnh
Cch 1: Ly log d liu
Khng thc hin c do tn ti gi tr m ca bin c lp.
Cch 2:Chia cho cn bc hai
Ch c th chia cho dy, do ch c dy lun mang gi tr dng trong
mu s liu.
Model 9: OLS, using observations 1947:3-1995:2 (T = 192)
Dependent variable: cdm
Coefficient Std. Error t-ratio
p-value
dy1
1.2465
0.0393639 31.6660
<0.00001 ***
Cdtbr
-0.0181967 0.00126002 -14.4416 <0.00001 ***
Cdinfl
-0.0030801 0.00096880 -3.1793
0.00173
***
7
Cdy
0.398264 0.0143559 27.7422
<0.00001 ***
Mean dependent var 1.372489
Sum squared resid
0.030825
R-squared
0.999915
F(4, 188)
551631.8
Log-likelihood
566.3100
Schwarz criterion
-1111.590
Rho
0.847485

S.D. dependent var

0.026885
S.E. of regression
0.012805
Adjusted R-squared 0.999913
P-value(F)
0.000000
Akaike criterion
-1124.620
Hannan-Quinn
-1119.343
Durbin-Watson
0.287195
17

Test for normality of residual Null hypothesis: error is normally distributed

Test statistic: Chi-square(2) = 2.0919
with p-value = 0.351358
White's test for heteroskedasticity Null hypothesis: heteroskedasticity not present
Test statistic: LM = 55.8849
with p-value = P(Chi-square(13) > 55.8849) = 2.8242e-007
White's test for heteroskedasticity (squares only) Null hypothesis: heteroskedasticity not present
Test statistic: LM = 99.376
with p-value = P(Chi-square(7) > 99.376) = 1.45135e-018

Breusch-Pagan test for heteroskedasticity Null hypothesis: heteroskedasticity not present

Test statistic: LM = 16.8109
with p-value = P(Chi-square(3) > 16.8109) = 0.000772946
Breusch-Pagan test for heteroskedasticity (robust variant) Null hypothesis: heteroskedasticity not present
Test statistic: LM = 19.4373
with p-value = P(Chi-square(3) > 19.4373) = 0.000221992
P-value ca tt c cc kim nh u < 0.05 hay m hnh vn mc

li PSSST khi dng pp chia cho cn bc hai.

Cch 3: Chia cho bin dy
Model 10: OLS, using observations 1947:3-1995:2 (T = 192)
Dependent variable: dmdy

Const
dy2
Dtbrdy
Diflndy

Coefficient
0.392761
1.26172
-0.0181489
-0.00286356

Mean dependent var

Sum squared resid

Std. Error
0.0145211
0.039672
0.00127197
0.000947736

0.806884
0.010596

t-ratio
27.0475
31.8038
-14.2684
-3.0215

p-value
<0.00001
<0.00001
<0.00001
0.00287

S.D. dependent var

S.E. of regression

***
***
***
***

0.033749
0.007507
18

R-squared
F(3, 188)
Log-likelihood
Schwarz criterion
Rho

0.951294
1223.962
668.8257
-1316.621
0.849380

Adjusted R-squared
P-value(F)
Akaike criterion
Hannan-Quinn
Durbin-Watson

0.950517
4.6e-123
-1329.651
-1324.374
0.281598

Test for normality of residual Null hypothesis: error is normally distributed

Test statistic: Chi-square(2) = 1.97557
with p-value = 0.3724
White's test for heteroskedasticity Null hypothesis: heteroskedasticity not present
Test statistic: LM = 33.2323
with p-value = P(Chi-square(9) > 33.2323) = 0.000121666
White's test for heteroskedasticity (squares only) Null hypothesis: heteroskedasticity not present
Test statistic: LM = 32.2788
with p-value = P(Chi-square(6) > 32.2788) = 1.44276e-005
Breusch-Pagan test for heteroskedasticity Null hypothesis: heteroskedasticity not present
Test statistic: LM = 16.1657
with p-value = P(Chi-square(3) > 16.1657) = 0.00104864
Breusch-Pagan test for heteroskedasticity (robust variant) Null hypothesis: heteroskedasticity not present
Test statistic: LM = 19.1691
with p-value = P(Chi-square(3) > 19.1691) = 0.000252243
P-value tt c cc test u < 0.05 hay m hnh vn mc li
PSSST.
Cch 4 : Robust standard errors.
Model 11: OLS, using observations 1947:3-1995:2 (T = 192)
Dependent variable: dmdy
HAC standard errors, bandwidth 4 (Bartlett kernel)
Coefficient Std. Error t-ratio
p-value
Const
0.392761
0.0351618 11.1701
<0.00001
dy2
1.26172
0.0949592 13.2870
<0.00001
Dtbrdy
-0.0181489 0.00259135 -7.0037
<0.00001
Diflndy
-0.00286356 0.00173578 -1.6497
0.10067

***
***
***
19

Mean dependent var

Sum squared resid
R-squared
F(3, 188)
Log-likelihood
Schwarz criterion
Rho

0.806884
0.010596
0.951294
360.8062
668.8257
-1316.621
0.849380

S.D. dependent var

0.033749
S.E. of regression
0.007507
Adjusted R-squared 0.950517
P-value(F)
1.01e-77
Akaike criterion
-1329.651
Hannan-Quinn
-1324.374
Durbin-Watson
0.281598

White's test for heteroskedasticity Null hypothesis: heteroskedasticity not present

Test statistic: LM = 33.2323
with p-value = P(Chi-square(9) > 33.2323) = 0.000121666
White's test for heteroskedasticity (squares only) Null hypothesis: heteroskedasticity not present
Test statistic: LM = 32.2788
with p-value = P(Chi-square(6) > 32.2788) = 1.44276e-005

Breusch-Pagan test for heteroskedasticity Null hypothesis: heteroskedasticity not present

Test statistic: LM = 16.1657
with p-value = P(Chi-square(3) > 16.1657) = 0.00104864
Breusch-Pagan test for heteroskedasticity (robust variant) Null hypothesis: heteroskedasticity not present
Test statistic: LM = 19.1691
with p-value = P(Chi-square(3) > 19.1691) = 0.000252243
Test for normality of residual Null hypothesis: error is normally distributed
Test statistic: Chi-square(2) = 1.97557
with p-value = 0.3724
Kt lun:
- Khng qua c cc kim nh PSSST
- Ch qua c phn phi chun P-value =0.3724

20

Do : la chn m hnh 8 (chia cho cn bc hai)

Mc d vn cha sa c li PSSST nhng cng l m hnh gim bt li
PSSST so vi m hnh ban u, m hnh c gi tr R-square rt ln = 0.999915
T c l 99.99% bin ng ca bin ph thuc c gii thch bi 3 bin c lp
Cdm^=1.2465 *dy1- 0.0181967*cdtbr - 0.0030801*cdinfl + 0.398264*cdy
Trong :
M= log of M1
Cpr= Li sut thng phiu
Y= log of GDP
Tbr= li sut tn phieu kho bc
Infl= lm pht theo qu
Dm= m-0.944889*m(-1)
Dcpr=cpr-0.944889 *cpr(-1)
Dy= y- 0.944889*y(-1)
Dtbr= tbr- 0.944889*tbr(-1)
Dinfl= infl-0.944889*infl(-1)
cdy=sqrt(dy), cdm=dm/cdy, cdtbr=dtbr/cdy, cdinfl=dinfln/cdy,
dy1=1/dy
Din gii cc ch s:
H s chn 1= 1.2465 cho bit khi y=tbr=infl hay tc tng trng
GDP, li sut tn phiu kho bc v lm pht th cu tin trung bnh bng
1.2465 %
H s 2=- 0.0181967 cho bit khi li sut tn phiu kho bc tng trng
1% , cc yu t cn li khng i th cu tin gim 0.0181967%
H s 3=- 0.0030801 cho bit khi lm pht tng trng 1% , cc yu t
cn li khng i th cu tin gim 0.0030801%
H s 4=0.398264 cho bit khi GDP tng trng 1%, cc yu t cn li
khng i th cu tin tng 0.398264%

21

TNG KT
Qua vic chy m hnh ta thy cc nguyn nhn nh hng n cu tin a ra
l hon ton c l do, ph hp vi l thuyt. Cc yu t c th tc ng cng
chiu v ngc chiu n cu tin thc t, t c nhng ci nhn khch quan
v vic m bo sc mua ca ng tin hay n nh gi tr tin t.
S n nh tng trng kinh t l yu t quan trng trong n nh cu tin. Lm
pht cao l nhn t nh hng ln, gy bin ng cu tin. Nu lng tin cung
ng qu t s lm cho nn kinh t thiu phng tin trao i, km hm s pht
trin ca nn kinh t. Cn nu lng tin cung ng ra lu thng qu nhiu, s
lm cho nn kinh t tha tin, gy ra lm pht.
M hnh tuy cn nhiu khim khuyt: nh khng th hin c ht cc yu t
nh hng, cn phng sai sai s thay i. Nhng 99,99% s thay i ca bin
ph thuc M1 c gii thch bi cc bin c lp, cho ta thy phn no m
hnh c ngha.

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