B cc

M u
I. C s l thuyt
II. Xy dng m hnh kinh t lng
(la chn bin v a ra m hnh hi quy gc)
III. Kim nh v sa li m hnh
IV. Kt lun


I. C s l thuyt
Mc tiu ca m hnh l xem xt mi quan h gia cc khon cho vay (loans),
bao gm khon vay thng mi v cng nghip vi tng s tin gi trong h
thng ngn hng (deposits), li sut 3 thng tn phiu kho bc (tbill3), li sut
c bn ca ngn hng (r), ti sn t chnh b sung ca cng ty (rd), v ch s sn
sut cng nghip (ind).
loans = khon vay thng mi v cng nghip (t la)
cn gi l tn dng, l vic mt bn (bn cho vay) cung cp ngun ti chnh cho
i tng khc (bn i vay) trong bn i vay s hon tr ti chnh cho bn
cho vay trong mt thi hn tha thun v thng km theo li sut. Do hot
ng ny lm pht sinh mt khon n nn bn cho vay cn gi l ch n, bn i
vay gi l con n.
deposits = tng s tin gi trong h thng ngn hng (t)
l tin m cc doanh nghip v c nhn gi vo ngn hng thng mi nhm
mc ch phc v cc thanh ton khng dng tin mt. Chng c th d dng
chuyn thnh tin mt.
tbill3 = li tc Tn phiu Kho bc 3 thng
li sut ngn hn (3 thng) c (lin bang) ca chnh ph quc gia s dng
nh mt cng c chnh iu tit cung tin v huy ng vn thng qua nghip
v th trng m
r = li sut c bn ca ngn hng
Li sut c bn l li sut thp nht c cc ngn hng thng mi ch lc p
dng i vi cc khon vay dnh cho cc doanh nghip l khch hng ln. Li
sut ny c quyt nh bi Cc d tr Lin bang tng hoc gim li sut
hin hnh cho cc khon vay ngn hn. D cc ngn hng khng nht thit thu
li ng nh mc cng b, thng th thu cao hn v i khi thp hn, li sut
c bn c xem l c s cc mc li khc tham kho p dng hoc da vo
iu chnh. Li sut c bn c xem l li sut chnh, bi v cc khon
vay dnh cho cc khch hng nh hn cng s phi da theo li sut ny.

rd = ti sn ti chnh b sung ca cc cng ty
l nhng ti sn c gi tr khng da vo ni dung vt cht ca n (ging nh
bt ng sn gm nh ca, t ai) m da vo cc quan h trn th trng. N
bao gm cc cng c ti chnh nh c phiu, tri phiu, tin gi ngn hng, tin
t v cc giy t c gi khc. Ngi chp nhn thanh ton cc ti sn ti chnh
trong tng lai gi l ngi pht hnh (thng l chnh ph, cc t chc v cng
ty). Ngi s hu cc ti sn ti chnh gi l nh u t
ind = ch s sn xut cng nghip
l mt ch s o s tng trng ca cc lnh vc khc nhau trong nn kinh t
nh khai thc m, in v sn xut
Cc nhn t nu trn u c nh hng n cc khon cho vay, song c nhn t
nh hng su sc, c nhn t nh hng gin tip hoc rt t nh hng.

II. XY DNG M HNH KINH T LNG
1. La chn bin v d kin du
Ta s l chn cc bin sau hi quy m hnh:
- r: li sut chnh l chi ph ca vic vay vn, n nh hng trc tip n
quyt inh i vay ca cc cng ty. Nu li sut cao, chi ph ca vic i
vay vn ln, cc cng ty s phi cn nhc nhiu hn trc quyt nh u
t ca mnh. Do , lng vn vay s gim. Nh vy h s ny s mang
du m.
- rd: khi cng ty c thm ti sn ti chnh b sung cho thy cng ty ang
pht trin. Chnh v vy, cng ty s tip tc u t v vay thm vn. V
pha ngn hng, khi cng ty lm n pht trin th h c kh nng tr n
nn vn tip tc cho vay ly li nhun. Do vy, ti sn ti chnh b
sung cng nhiu th vic vay vn cng tng, h s mang du dng.
- ind: ch s sn xut cng nghip biu th nng sut ca qu trnh sn xut
kinh doanh. Ch s ny cng cao cng kch thch cc cng ty tin hnh vay
vn u t. Vy h s mang du dng.
Nhng bin khng hi quy trong m hnh:
- deposits: lng tin gi trong ngn hng nh hng n qu trnh vay
vn, bi ch khi c lng tin gi th qu trnh vay vn mi c tin
hnh. Tuy nhin, trong m hnh tn ti bin r, v nh ta bit, bin
deposits c mi quan h mt thit vi bin r, khi r tng th deposits cng
tng v ngc li. do trnh hin tng a cng tuyn.
- tbill3: li tct tn phiu kho bc 3 thng l bin khng thc s quan trng,
nu li tc tng ln th nh hng n quyt nh u t trong vic tin
hnh u t hay mua tn phiu kho bc hng li. Tuy nhin trong thc
t nhng tn phiu ny do nh nc pht hnh nn c mc li sut thp,
nu nh u t xc nh c lnh vc u t em li li nhun cao th
bin ny t nh hng.

2. M hnh hi quy gc
m hnh ca chng ta bao gm:
- Bin ph thuc LOANS
- Cc bin c lp R, RD, IND
(pt1) LOANS =
0
+

1
R +
2
RD +
3
IND + u
i

Trong :
o
: h s chn

1
: h s gc ca bin R

2
: h s gc ca bin RD

3
: h s gc ca bin IND
u
i
: nhiu h thng
Bng hi quy gc

Dependent Variable: LOANS
Method: Least Squares
Date: 06/19/14 Time: 13:51
Sample: 1968Q1 1984Q4
Included observations: 68


Variable Coefficient Std. Error t-Statistic Prob.


C -159.1152 79.05749 -2.012652 0.0484
R -15.47654 1.460815 -10.59446 0.0000
RD 36.18984 2.777972 13.02743 0.0000
IND 1.917040 0.488549 3.923944 0.0002


R-squared 0.743682
Mean dependent
var 353.8838
Adjusted R-
squared 0.731667
S.D. dependent
var 59.02936
S.E. of regression 30.57771
Akaike info
criterion 9.735442
Sum squared
resid 59839.78 Schwarz criterion 9.866002
Log likelihood -327.0050
Hannan-Quinn
criter. 9.787174
F-statistic 61.89663
Durbin-Watson
stat 0.581024
Prob(F-statistic) 0.000000





Phng trnh hi quy gc:
LOANS = -159.115191782 - 15.476537741*R + 36.1898422571*RD +
1.9170395858*IND

Nhn xt: mc ph hp ca m hnh so vi thc t l R
2
= 74,3682%. Da
vo bng hi quy gc ta thy cc bin r, rd, ind u c ngha thng k mc
ngha 5% (p-value < 0.05). du ca cc h s u ph hp.
ngha cc h s:
+ khi R tng 1 n v ca R th LOANS gim 15.47654 n v ca LOANS, du
(-) th hin bin ng ngc chiu, vi iu kin cc yu t khc khng i
+ khi RD tng 1 n v ca RD th LOANS tng 36.1898422571 n v ca
LOANS, vi iu kin cc yu t khc khng i
+ khi IND tng 1 n v ca IND th LOANS tng 01.917395858 n v ca
LOANS, vi iu kin cc yu t khc khng i

III. KIM NH V SA LI M HNH
1. Ramsey test
S dng Ramsey test xem xt m hnh c b sai s c trng khng (thiu
bin, tha bin, sai dng hm hoc c sai s trong o lng)
Bng1

Ramsey RESET Test:


F-statistic 0.214735 Prob. F(1,63) 0.6447
Log likelihood
ratio 0.231383
Prob. Chi-
Square(1) 0.6305



Test Equation:
Dependent Variable: LOANS
Method: Least Squares
Date: 06/19/14 Time: 18:19
Sample: 1968Q1 1984Q4
Included observations: 68


Variable Coefficient Std. Error t-Statistic Prob.


C 87.39122 537.8721 0.162476 0.8715
R -4.970656 22.71914 -0.218787 0.8275
RD 11.98693 52.30430 0.229177 0.8195
IND 0.442907 3.218915 0.137595 0.8910
FITTED^2 0.000963 0.002077 0.463395 0.6447


R-squared 0.744553
Mean dependent
var 353.8838
Adjusted R-
squared 0.728334
S.D. dependent
var 59.02936
S.E. of regression 30.76705
Akaike info
criterion 9.761451
Sum squared
resid 59636.51 Schwarz criterion 9.924651
Log likelihood -326.8894
Hannan-Quinn
criter. 9.826116
F-statistic 45.90657
Durbin-Watson
stat 0.586094
Prob(F-statistic) 0.000000




Bng2

F-statistic 0.422255 Prob. F(2,62) 0.6574
Log likelihood
ratio 0.919985
Prob. Chi-
Square(2) 0.6313



Test Equation:
Dependent Variable: LOANS
Method: Least Squares
Date: 06/19/14 Time: 18:21
Sample: 1968Q1 1984Q4
Included observations: 68


Variable Coefficient Std. Error t-Statistic Prob.


C 2918.638 3604.711 0.809673 0.4212
R 156.3564 204.3609 0.765099 0.4471
RD -365.4700 478.0487 -0.764504 0.4475
IND -19.41737 25.20870 -0.770265 0.4441
FITTED^2 0.031026 0.037903 0.818573 0.4162
FITTED^3 -2.85E-05 3.59E-05 -0.794376 0.4300


R-squared 0.747126
Mean dependent
var 353.8838
Adjusted R-
squared 0.726733
S.D. dependent
var 59.02936
S.E. of regression 30.85754
Akaike info
criterion 9.780737
Sum squared
resid 59035.65 Schwarz criterion 9.976576
Log likelihood -326.5450
Hannan-Quinn
criter. 9.858334
F-statistic 36.63637
Durbin-Watson
stat 0.537578
Prob(F-statistic) 0.000000




p-value trong kim nh Ramsey hai bng trn u ln hn 0.05 nn m hnh
khng c du hiu ca sai s c trng no.

2. Kim nh a cng tuyn
- Pht hin a cng tuyn
S dng correlation matrix pht hin a cng tuyn
R RD IND
R 1.000000 0.596068 0.087258
RD 0.596068 1.000000 -0.046362
IND 0.087258 -0.046362 1.000000

Nhn vo bng trn ta nhn thy h s tng quan gia cc bin thp nn khng
c hin tng a cng tuyn
- S dng nhn t phng i VIF
VIF = 1/(1-R
2
ph
)=1/(1-0.731667) = 3.72671 <10 nn khng c hin
tng a cng tuyn

3. Kim nh phng sai sai s thay i
- Ta s s dng White-test kim nh xem c hin tng phng sai sai s
thay i trong m hnh hay khng.
Gi thuyt: H
0
: PSSS khng i
H
1
: PSSS thay i

Heteroskedasticity Test: White


F-statistic 1.386527 Prob. F(9,58) 0.2154
Obs*R-squared 12.03987 Prob. Chi-Square(9) 0.2111
Scaled explained SS 7.942016 Prob. Chi-Square(9) 0.5400



Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 06/20/14 Time: 08:03
Sample: 1968Q1 1984Q4
Included observations: 68


Variable Coefficient Std. Error t-Statistic Prob.


C 95890.57 62866.92 1.525295 0.1326
R -3968.131 2491.481 -1.592679 0.1167
R^2 -5.857649 26.19111 -0.223650 0.8238
R*RD -8.271316 91.34637 -0.090549 0.9282
R*IND 28.60857 17.97274 1.591776 0.1169
RD 6612.586 5186.669 1.274920 0.2074
RD^2 23.73709 108.1430 0.219497 0.8270
RD*IND -47.88975 29.91486 -1.600868 0.1148
IND -1477.785 680.6029 -2.171288 0.0340
IND^2 5.678048 2.219212 2.558587 0.0131


R-squared 0.177057 Mean dependent var 879.9968
Adjusted R-squared 0.049359 S.D. dependent var 1081.924
S.E. of regression 1054.885 Akaike info criterion 16.89530
Sum squared resid 64541331 Schwarz criterion 17.22170
Log likelihood -564.4403 Hannan-Quinn criter. 17.02463
F-statistic 1.386527 Durbin-Watson stat 1.610244
Prob(F-statistic) 0.215395





V Prob.F = 0.2154, Prob.Chi-Square = 2.154 u ln hn 0.05 nn ta c th kt
lun khng c hin tng phng sai sai s thay i y.

- Kim nh BPG

Heteroskedasticity Test: Breusch-Pagan-Godfrey


F-statistic 0.572203 Prob. F(3,64) 0.6354
Obs*R-squared 1.776254 Prob. Chi-Square(3) 0.6201
Scaled explained SS 1.171694 Prob. Chi-Square(3) 0.7598



Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 06/20/14 Time: 22:54
Sample: 1968Q1 1984Q4
Included observations: 68


Variable Coefficient Std. Error t-Statistic Prob.


C 4530.673 2824.454 1.604088 0.1136
R 12.29218 52.18991 0.235528 0.8146
RD -67.80144 99.24745 -0.683155 0.4970
IND -20.04240 17.45419 -1.148286 0.2551


R-squared 0.026121 Mean dependent var 879.9968
Adjusted R-squared -0.019529 S.D. dependent var 1081.924
S.E. of regression 1092.437 Akaike info criterion 16.88723
Sum squared resid 76378816 Schwarz criterion 17.01779
Log likelihood -570.1659 Hannan-Quinn criter. 16.93896
F-statistic 0.572203 Durbin-Watson stat 1.521855
Prob(F-statistic) 0.635354




Ta c Prob.F = 0.6354 > 0.05. Prob.Chi-Square = 0.6201 >0.05 nn m hnh khng
c hin tng PSSST

4. Kim nh t tng quan
- Pht hin t tng quan bng phng php th

Da vo th, phn d phn b ngu nhin xung quanh trung bnh ca chng
C t tng quan.

- Kim nh durbin waston

Cp gi thuyt: H
0
: khng c t tng quan
H
1
: c t tng quan
n = 68, = 0.05 d
L
= 1.525, d
U
= 1,703

Trong bng kt qu hi quy dng Durbin-Watson ta c kt qu thng k
dw = 0.581024 < d
L
< d
U
nn nghi ng c t tng quan dng bc 1

- Kim nh Breusch-Godfrey

Breusch-Godfrey Serial Correlation LM Test:


F-statistic 59.50838 Prob. F(1,63) 0.0000
Obs*R-squared 33.03096 Prob. Chi-Square(1) 0.0000



Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 06/20/14 Time: 08:45
Sample: 1968Q1 1984Q4
Included observations: 68
Presample missing value lagged residuals set to zero.


Variable Coefficient Std. Error t-Statistic Prob.


C -14.66574 57.17291 -0.256516 0.7984
R 0.934990 1.062784 0.879756 0.3823
RD -0.945124 2.011602 -0.469837 0.6401
IND 0.092396 0.353317 0.261511 0.7946
RESID(-1) 0.728583 0.094447 7.714168 0.0000


R-squared 0.485749 Mean dependent var 2.32E-14
Adjusted R-squared 0.453099 S.D. dependent var 29.88530
S.E. of regression 22.10101 Akaike info criterion 9.099809
Sum squared resid 30772.64 Schwarz criterion 9.263009
Log likelihood -304.3935 Hannan-Quinn criter. 9.164474
F-statistic 14.87710 Durbin-Watson stat 1.496959
Prob(F-statistic) 0.000000





Ta thy Prob. Chi-Square(1) = 0.0000 < 0.05 nn bc b H
0
, kt lun c t
tng quan bc 1
Kim nh BG bc 2

Breusch-Godfrey Serial Correlation LM Test:


F-statistic 33.96733 Prob. F(2,62) 0.0000
Obs*R-squared 35.55292 Prob. Chi-Square(2) 0.0000



Test Equation:
Dependent Variable: RESID
Method: Least Squares
Date: 06/20/14 Time: 08:52
Sample: 1968Q1 1984Q4
Included observations: 68
Presample missing value lagged residuals set to zero.


Variable Coefficient Std. Error t-Statistic Prob.


C -15.72949 55.51716 -0.283327 0.7779
R 0.173071 1.088770 0.158960 0.8742
RD 0.067645 2.007016 0.033704 0.9732
IND 0.086533 0.343083 0.252222 0.8017
RESID(-1) 0.919252 0.126311 7.277666 0.0000
RESID(-2) -0.292961 0.133455 -2.195214 0.0319


R-squared 0.522837 Mean dependent var 2.32E-14
Adjusted R-squared 0.484356 S.D. dependent var 29.88530
S.E. of regression 21.46014 Akaike info criterion 9.054369
Sum squared resid 28553.33 Schwarz criterion 9.250208
Log likelihood -301.8485 Hannan-Quinn criter. 9.131966
F-statistic 13.58693 Durbin-Watson stat 1.892420
Prob(F-statistic) 0.000000




Prob. Chi-Square(2) = 0.0000 < 0.05 nn bc b H
0
, kt lun c t tng quan
bc 1
- Khc phc
+ da trn thng k d
Trong bng kt qu hi quy, t c dw=0.581024

m
= 1 d/2 = 1 - 0.581024/2 = 0.209448
phng trnh sai phn tng qut: