S 13 (23) - Thng 11-12/2013 PHT TRIN & HI NHP

Nghin Cu & Trao i

15
1. Gii thiu
Chnh sch tin t (CSTT) l
cng c chnh sch quan trng tc
ng vo nn kinh t nhm kim
sot gi c v n nh kinh t v m.
Vi mt h thng ti chnh tt th
nhng thay i trong CSTT s c
nh hng ng k n nhu cu, t
nh hng n gi c (Gerlash
& Smets, 1995; Ramaswami &
Slok, 1998; Mojon & Peersman,
2001; Smets & Wouters, 2002;
Ganev & cng s 2002; Norris
v Floerkemeir, 2006)
1
. i vi
VN, vn nghin cu truyn dn
CSTT cn kh mi m, s lng
cc nghin cu nh lng cn
kh t, nhng do vai tr ca CSTT
trong nn kinh t l ht sc quan
trng nn vic o lng cc tc
ng truyn dn tin t l rt cn
thit. Trong bi nghin cu ny,
1
Trch Rudrani & cng s (2011).
tc gi s tp trung lm r hai vn
l: (1) C ch truyn dn chnh
sch tin t VN din ra nh th
no; v (2) Tc ng ca c ch
ny ch yu c truyn dn thng
qua knh no? Mc tiu l nhm
h tr cho vic la chn cng c
iu hnh CSTT ph hp cho VN.
tho lun vn ny, tc gi
s dng phng php ng lin
kt Johansen, kt hp vi m hnh
vector hiu chnh sai s (VECM)
phn tch cc knh truyn dn
chnh sch tin t s tc ng nh
th no n hot ng kinh t v
kim sot gi c VN trong giai
on t thng 1/ 2001 n thng
7/ 2012.
Kt qu nghin cu cho thy
tht cht CSTT bng cng c li
sut s lm gim sn lng nhng
lm tng lm pht (hin tng
Puzzle), trong khi m rng
cung tin v gia tng t gi lm sn
lng gia tng v lm pht gim,
ngoi ra nghin cu ca tc gi
cng cho thy c sc t gi chng
khon c tc ng rt yu n sn
lng v lm pht.
Phn cn li ca bi nghin
cu c trnh by nh sau: Phn
k tip gii thiu tng quan cc
nghin cu trc y, phn 3 m
t phng php nghin cu, phn
4 trnh by kt qu v phn 5 l kt
lun cng vi mt s hn ch ca
bi vit.
2. Tng quan cc nghin cu
trc y
Hu ht cc nghin cu thc
nghim trn th gii u tp trung
o lng tc ng ca mt hoc mt
s knh truyn dn, nh McCarthy
(2000) phn tch tc ng ca
CSTT di gc knh t gi bng
cch s dng m hnh VAR quy
Nghin cu truyn dn
chnh sch tin t Vit Nam
TS. nGuyn Khc Quc Bo
Trng i hc Kinh t TP.HCM
B
i nghin cu ny xem xt c ch truyn dn chnh sch tin t VN
v s tng tc gia cc bin chnh sch tin t bng cch s dng
phng php ng lin kt Johansen kt hp vi m hnh vector hiu
chnh sai s (VECM). M hnh s dng cc bin l gi du, li sut c bn M
ng vai tr l cc c sc khu vc ngoi sinh, bin sn lng cng nghip, lm
pht, cung tin, li sut, t gi hi oi danh ngha a phng v ch s gi chng
khon i din cho nn kinh t trong nc. Kt qu nghin cu cho thy mc
truyn dn chnh sch tin t thng qua knh li sut c nh hng ln n sn
lng cng nghip, lm pht v th trng chng khon hn so vi cc knh cn
li.
T kho: C ch truyn dn, chnh sch tin t, knh li sut, VECM.
PHT TRIN & HI NHP S 13 (23) - Thng 11-12/2013
Nghin Cu & Trao i
16
cho 6 nc cng nghip ha thuc
OECD, Leon (2005) nghin cu
tc ng ca tn dng i vi cc
bin s v m ca nn kinh t trong
giai on ci cch ti chnh c,
Heiko (2007) nghin cu v c ch
truyn dn tin t Thi Lan da
trn m hnh VAR.
VN, nghin cu truyn dn
CSTT cn kh mi m, trong a
phn u tp trung vo knh t gi
v s dng phng php VAR nh
V Vn Minh (2009), Bch Th
Phng Tho (2011), Trn Ngc
Th & cng s (2012), Nguyn
Th Ngc Trang & cng s (2012).
Trong bi nghin cu ny, tc gi
s nghin cu tng ha cc knh
truyn dn CSTT tc ng n sn
lng v lm pht ra sao.
3. M hnh nghin cu v m t
d liu
Nghin cu p dng m hnh
vector hiu chnh sai s (VECM)
c dng nh sau:
y
t
= y
t-1
+
1
y
t-1
+ +

p-1
y
t-p+1
+ u
t
= y
t-1
+
1
y
t-1
+ +

p-1
y
t-p+1
+ u
t
Trong y
t
l vector (K 1) ca
K bin ti thi im t; u
t
l vector
nhiu trng (K 1); l ma trn
suy bin vi = vi l ma
trn tham s hiu chnh (K r) cho
ta bit tc iu chnh v trng
thi cn bng, l vector ng lin
kt (K r) biu th mi quan h di
hn gia cc bin; y
t-1
c gi l
phn hiu chnh sai s;
i
c gi
l ma trn h s ngn hn v nhng
gi nh khc (Lutkepolh, chng
6, 2005).
D liu c thu thp hng
thng, ly t Thng k ti chnh
quc t IMF (IFS), Cc nng
lng M (U.S. Department of
Energy), H thng d tr lin bang
(Board of Governors of the Federal
Reserve System), Tng cc Thng
k (GSO). Bin gi du v li sut
c bn ca Fed i din cho khu
vc ngoi sinh, cc bin cn li i
din cho nn kinh t ni a VN.
- Gi du (OIL): Gi du th
gii giao ngay Brent (USD/ thng)
(Ngun: U.S. Department of
Energy).
- Li sut c bn Fed (US_
INTEREST) (Ngun: Board of
Governors of the Federal Reserve
System).
- Sn lng cng nghip VN
(VN_IP): c s dng i
din cho GDP ca VN do GDP
ca VN khng c thng k theo
tng thng (Ngun: GSO).
- Ch s gi tiu dng (CPI):
CPI index (Ngun: IMF)
- Lng cung tin (M2) (Ngun:
IMF).
- Li sut k hn 3 thng
(INTEREST): Li sut tin gi 3
thng (Ngun: IMF).
- T gi hi oi danh ngha a
phng (NEER): c tnh ton
theo t trng thng mi ca 10
nc c giao thng ln nht vi
VN, bao gm c, Hng Kng,
Trung Quc, c, Nht, Thi Lan,
M, Singapore, Malaysia, Hn
Quc (Ngun: IMF. Tc gi t tnh
ton).
- Ch s gi chng khon
(SHARE) (Ngun: IMF).
Cc bin u dng logarithm
tr li sut c bn Fed v li sut k
hn 3 thng ca VN. Ngoi ra cc
bin Sn lng cng nghip VN,
Ch s gi tiu dng, Lng cung
tin v Ch s gi chng khon u
c hiu chnh v ma (Phng
php Census X12).
4. cc kim nh ban u
Da trn phng php ADF,
PP, KPSS, tc gi nhn thy sn
lng cng nghip v li sut k
hn 3 thng dng chui gc, cc
bin khc dng sai phn bc mt.
Vi tr bng 2 tm c t
phng php AIC, SC, HQ,, tc
gi tm c 4 quan h ng lin
kt Johansen (Bng 1).
Do c 2 bin dng trong tp
d liu nn theo Felix v cng s
(2000) hng ca ma trn tng
ln tng ng vi s bin dng.
ng tm s phng trnh ng
lin kt bng cch ly s quan h
ng lin kt theo phng php
Johansen tr (-) s bin dng.
Theo cch tnh trn tc gi c 2
phng trnh ng lin kt biu
th mi quan h cn bng di hn
gia cc bin.
Bng 1: Kim nh ng lin kt
Date: 03/19/13 Time: 21:39
Sample: 2001M01 2012M07
Included observations: 137
Series: OIL US_INTEREST VN_IP CPI M2 INTEREST NEER SHARE
Lags interval: 1 to 1
Selected (0.05 level*) Number of Cointegrating Relations by Model
Data Trend: None None Linear Linear Quadratic
Test Type No Intercept Intercept Intercept Intercept Intercept
No Trend No Trend No Trend Trend Trend
Trace 3 4 4 4 5
Max-Eig 3 4 3 3 3
*Critical values based on MacKinnon-Haug-Michelis (1999)
S 13 (23) - Thng 11-12/2013 PHT TRIN & HI NHP
Nghin Cu & Trao i
17
S dng kim nh AR root,
tc gi nhn thy rng m hnh
VECM n nh (Hnh 1). Ngoi
ra khi kim nh nhn qu
Granger tc gi nhn thy hon
ton khng c mi quan h nhn
qu hai chiu xy ra (xt mc
ngha 10%). Trong , t gi c
nhiu quan h nhn qu vi cc
bin ni a khc ngoi tr gi
chng khon (Bng 2).
5. Kt qu m hnh VEcM
Sau khi chy m hnh VECM
tc gi thu c 2 phng trnh
ng lin kt vi h s phng
trnh ng lin kt c
chun ha theo gi du (OIL)
v li sut c bn ca M (US_
INTEREST):
Mi quan h cn bng di
hn gia cc bin khng ch n
thun l h s trong phng trnh
ng lin kt trn v khi mt
bin thay i n s c nh hng
ln cc bin khc bn cnh bin
quan st v cc bin ny cng
c nh hng n bin quan st
(Lutkepohl, 2005). Do , tc gi
s tin hnh phn tch hm phn
ng xung c ci nhn tng
quan hn v mi quan h cn
bng di hn gia cc bin trong
phn sau.
Ngoi ra, tc gi c h s biu
th tc iu chnh v trng thi
cn bng nh sau:
Tc gi thy rng tnh trng
mt cn bng ca h thng s
c hiu chnh v trng thi cn
bng vi tc tng ng trong
phng trnh ng lin kt th
nht v th hai l 7.9492% v
0.8717% mi thng bi s thay
i trong sn lng cng nghip;
0.5748% v 0.0809% mi thng
Bng 2: Kim nh nhn qu Granger
STT GI THUYT Ho Xc sut
1 OIL does not Granger cause OIL 0
10 US_INTEREST does not Granger cause US_INTEREST 0
17 OIL does not Granger cause VN_IP 0.0755
19 VN_IP does not Granger cause VN_IP 0.0007
23 NEER does not Granger cause VN_IP 0.0144
26 US_INTEREST does not Granger cause CPI 0.0009
28 CPI does not Granger cause CPI 0
31 NEER does not Granger cause CPI 0
36 CPI does not Granger cause M2 0.0295
37 M2 does not Granger cause M2 0
39 NEER does not Granger cause M2 0.0464
44 CPI does not Granger cause INTEREST 0.0008
46 INTEREST does not Granger cause INTEREST 0
54 INTEREST does not Granger cause NEER 0.0186
55 NEER does not Granger cause NEER 0
62 INTEREST does not Granger cause SHARE 0.0952
64 SHARE does not Granger cause SHARE 0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5
Inverse Roots of AR Characteristic Polynomial
Hnh 1: Kim nh tnh n nh
ca m hnh
Ngun: Tc gi tng hp.
Bng 3: Phng trnh ng lin kt
Co
integrating
Eq:
OIL(-1)
US_
INTEREST
(-1)
VN_IP(-1) CPI(-1) M2(-1)
INTEREST
(-1)
NEER(-1) SHARE(-1) C
CointEq1 1.000000 0.000000 -9.02229 -10.11916 6.794425 0.076226 5.390624 -0.474573 70.27700
(0.97699) (1.64988) (0.80089) (0.03511) (1.29102) (0.15139)
[-9.23482] [-6.13329] [ 8.48354] [ 2.17106] [ 4.17546] [-3.13487]
CointEq2 0.000000 1.000000 -49.2237 -23.79909 32.47866 -0.191558 22.34076 -4.927555 460.5399
(6.42671) (10.8531) (5.26837) (0.23096) (8.49249) (0.99583)
[-7.65923] [-2.19285] [ 6.16484] [-0.82941] [ 2.63065] [-4.94820]
* ( lch chun) [thng k t]
PHT TRIN & HI NHP S 13 (23) - Thng 11-12/2013
Nghin Cu & Trao i
18
nh vo s thay i trong ch
s gi tiu dng; 1.8899% v
0.7320% mi thng t s bin
ng trong gi chng khon. H
s m hay dng cho ta bit s
iu chnh gim hay tng bao
nhiu % khi c c sc xy ra lm
h thng trn mc cn bng.
Tng t khi nhn xt cc trng
hp cn li.
Sau y tc gi s tin hnh
phn tch tc ng ca cc bin
t gi, li sut, cung tin v gi
chng khon ln cc bin khc
di dng hm phn ng xung
v phn r phng sai.
5.1 Hm phn ng xung
Tc gi tin hnh phn tch
hm phn ng xung da vo 3
trt t bin (Trn Ngc Th &
cng s, 2012; Leon, 2005) vi
c sc mt lch chun c
chun ha v 1% theo McCathy
(2000):
Trt t 1: OIL, US_
INTEREST, VN_IP, CPI, M2,
INTEREST, NEER, SHARE.
Trt t 2: OIL, US_
INTEREST, VN_IP, M2,
INTEREST, NEER, CPI,
SHARE.
Trt t 3: OIL, US_
INTEREST, VN_IP, M2, CPI,
INTEREST, NEER, SHARE.
Khi thc hin ba trt t bin
trn, tc gi khng tm thy s
khc bit ng k gia cc trt
t. Do , tc gi ch trnh by
kt qu trt t th 1.
5.1.1 Phn ng ca sn lng
cng nghip trc c sc t gi,
li sut, cung tin v gi chng
khon
Trc c sc 1% ca t gi,
sn lng cng nghip phn ng
gim mnh, m 0.5230% vo
thng th 2. Sang thng th 3,
sn lng cng nghip tng t
ngt, chm mc 0.5239% ri t
t i vo n nh. Lng cung
tin m rng thc y sn xut
pht trin, sn lng cng nghip
tng nhanh khong 2-3 thng u
(t nh mc 0.9353%) sau
dn n nh.
Gi chng khon tng 1% c
tc ng m n sn lng cng
nghip. Sn lng phn ng
gim m 0.0835% vo thng th
3 ri dn n nh. Phn ng ny
hon ton ngc vi l thuyt
TobinQ
2
v cng ngc vi hiu
2
Trch Minskin (2004).
Bng 4: H s biu din tc iu chnh v cn bng
Error Correction: D(OIL) D(US_INTEREST) D(VN_IP) D(CPI) D(M2) D(INTEREST) D(NEER) D(SHARE)
CointEq1 -0.089172 0.011749 0.079492 0.005748 0.006301 -0.584373 0.003200 -0.018896
(0.02726) (0.04437) (0.02373) (0.00146) (0.00394) (0.19283) (0.00524) (0.03367)
[-3.27164] [ 0.26480] [ 3.34959] [ 3.93995] [ 1.59927] [-3.03051] [ 0.61080] [-0.56123]
CointEq2 0.017195 0.003940 0.008717 -0.000809 -0.001614 0.112923 -0.000671 0.007320
(0.00466) (0.00759) (0.00406) (0.00025) (0.00067) (0.03300) (0.00090) (0.00576)
[ 3.68658] [ 0.51896] [ 2.14637] [-3.24041] [-2.39331] [ 3.42212] [-0.74789] [ 1.27042]
ng gi tr ti sn
3
. Li sut gia
tng 1% lm sn lng t mc
0.9595% vo thng th 3 sau c
sc, sau quay u gim mnh.
Hin tng Output Puzzle xut
hin v ko di khong 2 n 3
thng.
5.1.2 Phn ng ca lm pht
trc c sc t gi, li sut, cung
tin v gi chng khon
T gi tng 1% lm lm pht
phn ng tng 0.3373% sau 12
thng trong khi sn lng cng
nghip phn ng mc 0.1928%
sau 12 thng. Nh vy NHNN
cn ch trng hn vo vic qun
l bin ng t gi hi oi nu
khng s khin cho mc gia tng
ca sn lng cng nghip b hp
thu hon ton bi s gia tng lm
pht khi ng VND gim gi.
Hin tng Price Puzzle xut
hin. Trc c sc 1% ca li
sut, lm pht tng 1.0132% sau
3
Trch Minskin (2004).
* ( lch chun) [thng k t]
Hnh 2: Phn ng ca sn lng cng nghip trc c sc t gi, li sut,
cung tin v gi chng khon
S 13 (23) - Thng 11-12/2013 PHT TRIN & HI NHP
Nghin Cu & Trao i
19
12 thng. Trn Ngc Th & cng
s (2012) pht hin ra rng hin
tng ny gn nh bin mt sau
WTO, hm NHNN kim
sot lm pht hiu qu hn bng
cng c li sut sau khi VN gia
nhp WTO.
Khi m rng lng cung tin
1%, lm pht phn ng gim
khng ng k sau tng ln
mc 0.1018% sau 12 thng.
Theo Le Viet Hung & Wade D.
Pfau (2008) th hin tng ny
chnh l hin tng Sticky Price
ph bin trong kinh t hc.
Ch s gi chng khon c
quan h cng chiu vi lm pht
trong khi li c quan h ngc
chiu vi sn lng. Hm khi
sc mnh ti chnh c nng
cao, doanh nghip nhp khu
my mc, nguyn liu m
rng quy m sn xut; c nhn,
h gia nh tiu dng hng nhp
khu (tm l snh ngoi); dn n
lm pht gia tng do nhp siu
v lm sn lng trong nc st
gim. Trn Ngc Th & cng s
4
(2012) theo thng k thy rng
phn ln tng lng nhp khu
ca VN l hng t liu sn xut
trong giai on 1999-2010.
5.1.3 Phn ng ca gi chng
khon trc c sc t gi, li sut,
4
Nguyn Th Ngc Trang & cng s (2012).
cung tin v gi chng khon
Trc c sc t gi, gi chng
khon tng 0.0852% thng u
tin sau gim dn. Li sut gia
tng 1% khin gi chng khon
gim ngay lp tc, m 1.1232%
thng u tin v m 7.3057%
ch sau 12 thng. Sellin (2001)
gii thch hin tng ny l do li
sut gia tng lm chm li phn
no hot ng ca nn kinh t,
dn n s st gi chng khon.
Gi chng khon phn ng
tng khi c c sc 1% ca cung
tin, t mc 1.2201% vo thng
th 3 sau gim dn. Phn ng
gim dn ca gi chng khon c
th c gii thch l khi lng
cung tin qu nhiu s tng p
lc lm pht k vng, dn n li
sut tng v kt cc lm mc gi
chng khon gim (Yu Hsing,
2011).
5.1.4 Phn ng ca li sut
trc c sc t gi, li sut, cung
tin v gi chng khon
Trc c sc 1% t gi, li sut
phn ng li bng cch st gim
m 0.0079% thng th 2 sau
tng lin tc cho n thng 7 (t
mc 0.1286%) ri gim nh dn.
Trong khi mt s gia tng 1%
trong cung tin lm li sut gia
tng 0.0427% vo thng th 2.
Li sut gim m 0.0104% sau
12 thng xy ra c sc 1% gi
chng khon.
5.1.5 Phn ng ca cung tin
trc c sc t gi, li sut, cung
tin v gi chng khon
i vi c sc 1% gi chng
khon, cung tin tng n nh
v chm mc 0.0346% sau 12
thng. T gi tng 1 % lm cung
tin phn ng gim trong nhng
thng u sau n nh, phn
ng t mc m 0.2608% sau
12 thng. Cung tin c phn ng
Hnh 3: Phn ng ca lm pht trc c sc t gi, li sut,
cung tin v gi chng khon
Hnh 4: Phn ng ca gi chng khon trc c sc t gi, li sut,
cung tin v gi chng khon
PHT TRIN & HI NHP S 13 (23) - Thng 11-12/2013
Nghin Cu & Trao i
20
mnh i vi c sc 1% ca li
sut. C th l cung tin gim
nhanh v mc m 0.4946%
thng th hai v t mc m
0.6641% sau 12 thng.
5.1.6 Phn ng ca t gi
trc c sc t gi, li sut, cung
tin v gi chng khon
Tc gi nhn thy t gi v
li sut tun theo l thuyt kinh
doanh chnh lch li sut khng
phng nga (UIP). Trc c sc
1% cung tin, t gi st gim m
0.0129% vo thng th 2 ri tng
ln dn. T gi phn ng trc
c sc 1% ca t gi, li sut v
cung tin tng ng l 0.9175%,
0.4520% v 0.0312%. i vi c
sc gi chng khon th t gi c
phn ng tng lin tc, t mc
0.0175% sau 12 thng.
5.2 Phn r phng sai
Phn ny tc gi tin hnh gii
thch mc bin ng trong
phng sai sai s d bo ca cc
bin ni a di tc ng ca
cc c sc ca tt c cc bin
trong m hnh trong 3, 6, 9 v 12
giai on (Bng 5).
Tc gi nhn thy rng tc
ng ca t gi n sn lng kh
n nh trong khi cung tin, gi
chng khon, gi du v li sut
c bn ca M c nh hng
tng dn n sn lng. Lm
pht chu nh hng ln t s
thay i trong gi du (khong
28.7%) i hi vic thc hin
qun l nhp khu xng du cn
hiu qu hn na.
Lm pht tc ng ngy cng
nhiu n cung tin v li sut
(tng ng khong 14.55% v
34.3%). Li sut c bn ca M
cng gia tng nh hng ln
lng cung tin VN (khong
3.83%) v gi chng khon
(khong 10.3%). Mc nh hng
Hnh 5: Phn ng ca li sut trc c sc t gi, li sut,
cung tin v gi chng khon
Hnh 6: Phn ng ca cung tin trc c sc t gi, li sut,
cung tin v gi chng khon
Hnh 7: Phn ng ca t gi trc c sc t gi, li sut,
cung tin v gi chng khon
S 13 (23) - Thng 11-12/2013 PHT TRIN & HI NHP
Nghin Cu & Trao i
21
ca gi du n t gi
tng theo thi gian
(khong 8.56%)
Khi tin hnh phn
r phng sai s d
bo, tc gi thy rng
vai tr ca cc bin
khu vc ngoi sinh
(gi du v li sut
c bn ca M) ngy
cng quan trng i
vi nn kinh t ca
VN. Lm pht, li sut
v t gi l cc bin
ni a gy ra nhiu
nh hng n cc
bin v m khc. y
l l do m vic n
nh gi c, li sut v
t gi nm trong nhng
mc tiu hng u ca
Ngn hng Nh nc
VN.
6. Kt lun
Khi so snh vi
trng hp tht cht
CSTT (li sut tng),
tc gi nhn thy rng
trong giai on ny
NHNN nn bm thm
vn cho nn kinh t.
Tuy nhin, nu nh
m rng lng cung
tin qu nhiu s
khin ch s gi chng
khon st gim.
Sau 12 thng mc
li ch t c t sn
lng cng nghip
gia tng (0.1928%)
b xi mn hon ton
bi mc gia tng trong lm pht
(0.3373%) khi gim gi ni t
1%, i hi vic iu hnh t gi
hiu qu hn na. Gi chng
khon tng 1%, sn lng cng
nghip m 0.0772%, trong khi
lm pht tng 0.0288% sau 12
thng, iu ny c th c gii
thch thng qua hin tng nhp
siu.
Tc gi nhn thy rng mc
truyn dn CSTT thng qua
knh li sut c nh hng ln
n sn lng cng nghip, lm
pht v gi chng khon hn
so vi cc knh cn li. NHNN
nn tp trung qun l li sut to
mi trng lm n thun li cho
cc doanh nghip cng nh kch
thch tiu dng v u t ca
ngi dnl
Bng 5: Phn r phng sai
Phn r phng sai
C sc
Thi
k d
bo
(thng)
Phn trm phng sai sai s d bo
VN_IP CPI M2 INTEREST NEER SHARE
OIL 3 1.369328 21.1755 0.462259 18.83888 6.994143 0.096642
6 2.161099 28.07116 0.19972 20.25959 7.322907 0.337059
9 2.214211 31.77569 0.141407 19.21962 8.384998 1.985503
12 2.115721 33.81584 0.150933 18.26205 9.40258 4.352431
US_
INTEREST
3 1.368695 5.625826 1.19686 0.276739 0.076358 2.723624
6 1.75659 7.447823 3.068368 0.215769 0.140087 7.703079
9 3.202972 7.163244 4.879905 0.141824 0.147296 11.0409
12 4.973736 6.593965 6.177692 0.112275 0.137172 12.78458
VN_IP 3 88.71778 3.193446 1.062133 0.143399 0.729836 0.737921
6 79.87429 3.357892 2.175757 1.133754 0.676578 1.346903
9 71.39176 3.182577 2.471368 1.71385 0.654427 1.560499
12 63.94638 3.133725 2.525803 1.912165 0.675193 1.480687
CPI 3 1.056935 62.72458 8.461857 25.60357 1.427921 0.406724
6 3.462957 48.57094 14.84831 34.34151 2.089002 0.721177
9 6.745251 42.63226 16.90174 37.76135 2.089451 1.65642
12 9.897475 39.68172 18.00447 39.50735 1.916197 2.891455
M2 3 3.158956 0.004176 82.39754 0.234034 0.317613 0.891587
6 5.598522 0.102517 69.96284 0.099482 0.161815 0.692676
9 7.163651 0.217657 64.59354 0.071468 0.11846 0.458054
12 8.197277 0.283845 61.45339 0.064072 0.100626 0.325992
INTEREST 3 0.507514 1.750298 3.295807 54.74157 2.721829 0.106819
6 0.549428 4.642956 3.60233 42.63715 1.982951 0.518616
9 0.675043 6.510338 3.640045 39.00131 2.026649 1.846071
12 0.878378 7.532897 3.836891 37.67459 2.175648 3.298642
NEER 3 2.120651 5.242379 1.510332 0.160301 87.54616 0.004856
6 2.443512 6.958551 3.332611 1.278456 87.26625 0.005056
9 2.633808 7.165441 4.066777 1.903602 86.01859 0.042912
12 2.663165 7.264424 4.379518 2.111329 84.86582 0.159846
SHARE 3 1.700137 0.283795 1.613212 0.001508 0.186137 95.03183
6 4.153607 0.848162 2.810059 0.034286 0.360411 88.67543
9 5.973305 1.352798 3.305218 0.18698 0.560125 81.40964
12 7.327867 1.693587 3.471307 0.356168 0.726765 74.70637
PHT TRIN & HI NHP S 13 (23) - Thng 11-12/2013
Nghin Cu & Trao i
22
TI LIU THAM KHO
Aaron, T., & Frank, W. (2002), The Credit
Channel in Middle Income Countries,
NBER Working Paper.
Ca Zorzi, M., et al. (2007), Exchange Rate
Pass-Through in Emerging Markets,
European Central Bank Working Paper.
Charles, G. & Boris, H. (2001), Asset
Prices, Financial Conditions, and
the Transmission of Monetary Policy,
Stanford University.
Daniel, L., & Marco, R. (2002), Exchange
rate Pass-Through in Turkey, IMF
Working Paper.
o Hng & cng s (2012), Nhn li chnh
sch tin t (2011-2012) gi chnh
sch tin t nhng nm tip theo, Nhm
nghin cu Hc vin Chnh sch Pht
trin.
Felix, P. H., & Michael, S., (2002), Exchange
Rate Pass-Through to Consumer Prices:
A European Perspective, Centre for
European Economic Research.
Frank, H. (2011), A VECM Evaluation
of Monetary Transmission in
Uzbekistan, Institute of Forecasting and
Macroeconomic Research Department
of Monetary Economics.
Hakan, B., & Nergiz, N., D. (2008),
Measuring the Effects of Monetary
Policy for Turkey, Journal of Economic
Cooperation.
Heiko, H. (2007), Monetary Policy,
Structural Break, and the Monetary
Transmission Mechanism in Thailand,
World Bank Policy Research Working
Paper.
Ito, T., & Sato, K., (2006), Exchange Rate
Changes and Infation in Post-Crisis
Asian Economies: VAR Analysis of the
Exchange Rate Pass-Through, National
Bureau of Economic Research.
Karrar, H., (2009), Monetary Policy
Channels of Pakistan and Their Impact
on Real GDP and Infation, Center for
International Development at Harvard
University.
Laeven, L. & Tong, H. (2010), U.S. Monetary
Shocks and Global Stock Price, IMF
Working Paper.
Le Viet Hung & Wade D. Pfau (2008),
VAR Analysis of the Monetary
Transmission Mechanism in Vietnam,
Applied Econometrics and International
Development.
Leon, B., (2005), Credit and Monetary
Policy: An Australian SVAR, Economic
Research Department Reserve Bank of
Australia.
Lutke-pohl, H. (2005), New Introduction to
Multiple Time Series Analysis, Springer,
Berlin.
Lutke-pohl, H. (2011), Vector Autoregressive
Models, EUI working papers.
Lutke-pohl, H. (2007), Economics Analysis
with Vector Autoregressive Models, EUI
working papers.
McCathy, J. (2000), Pass-Through of
Exchange Rates and Import Prices to
Domestic Infation in Some Industrialized
Economies, Research Department
Federal Reserve Bank of New York.
Minskin, F. S., (1996), The Channels of
Monetary Transmission: Lessons for
Monetary Policy, NBER Working
Paper.
Minskin, F. S., (2004), The Economics of
Money, Banking and Financial Markets,
7th Edition, Pearson, the Addison
Wesley.
Mosconi & Giannini, (1992), Non-Causality
in Cointegrated System: Representation
Estimation and Testing, Oxford Bulletin
of Economics and Stastistics.
Mohanty, M., S., & Phillip, T. (2008),
Monetary Policy Transmission in
Emerging Market Economies: What is
New? , BIS Papers No 35.
Nguyn Phi Ln (2010), C ch truyn
dn tin t di gc phn tch nh
lng, Tp ch Ngn hng.
Nguyn Quan Dong (2010), Phn tch chui
thi gian trong ti chnh, Khoa Ton
kinh t, Trng i hc Kinh t Quc
dn, NXB Khoa hc v k thut.
Nguyn Th Ngc Trang & Lc Vn Cng
(2012), S Chuyn Dch T Gi Hi
oi Vo Cc Mc Gi Ti VN, Tp
ch Pht trin & hi nhp.
Oliver, H., et al (2001), Bank Lending and
Monetary Policy Transmission: A VECM
Analysis for Germany.
Rudrani, B., et al (2011), Monetary Policy
Transmission in an Emerging Market
Setting, IMF Working Paper.
Sellin, P., (2001), Monetary Policy and the
Stock Market: Theory and Empirical
Evidence, Journal of Economic
Surveys.
Soyoung, K., & Nouriel, R. (2000)
Exchange Rate Anomalies in the
Industrial Countries: A Solution with A
Structural VAR Approach, Journal of
Monetary Economics 45 (2000) 561-
586.
Trn Ngc Th & cng s (2012), Tc ng
truyn dn tin t VN, Trng i hc
Kinh t TP.HCM.
Verbeek, M., (2004), A Guide to Modern
Econometrics, Edition 2, New York:
John Wiley & Sons.
Vo Van Minh, (2009), Exchange Rate Pass-
Through and Its Implications for Infation
in Vietnam, Vietnam Development
Forum.
Yu Hsing, (2011), Effects of Macroeconomic
Variables on the Stock Market: The Case
of the Czech Republic, Theoretical and
Applied Economics.