Tải bản đầy đủ
2 Một vài khuyến nghị

2 Một vài khuyến nghị

Tải bản đầy đủ

- 30 -

- Lượng hàng nhập lậu không qua con đường chính thức đã không được tính
vào chỉ số giá nhập khẩu làm ảnh hưởng đến mức chính xác chỉ số giá nhập khẩu, từ
đó ảnh hưởng đến kết quả của mô hình.
Để bổ sung vào nghiên cứu này, tác giả nhận thấy cần bổ sung vào một số
nghiên cứu khác để đưa ra kết luận về ERPT ở Việt Nam một cách đầy đủ hơn. Một
số nghiên cứu cụ thể như sau :
-Do nghiên cứu chỉ nằm trong giai đoạn từ năm 2000 đến 2011 nhưng VNĐ
lại được phá giá mạnh vào năm 2008 nên chuỗi thời gian nghiên cứu ngắn chưa thể
đưa ra kết luận chính xác được. Vì vậy, cần có những nghiên cứu khác để cập nhật
về mức độ ERPT trong những nghiên cứu sau.
- Nghiên cứu về môi trường truyền dẫn tỷ giá ở Việt Nam.
- Nghiên cứu ERPT bằng mô hình ECM.

- 31 -

TÀI LIỆU THAM KHẢO
Tiếng Việt
1. Bạch Thị Phương Thảo (2011), “Truyền dẫn tỷ giá hối đoái vào các chỉ số giá tại
Việt Nam giai đoạn 2001 – 2011” Luận văn thạc sĩ kinh tế, Trường Đại Học Kinh
Tế Thành phố Hồ Chí Minh.
2. Trần Ngọc Thơ, 2012, Nghiên cứu sơ thảo về phá giá tiền tệ và một số khuyến
nghị chính sách cho Việt Nam, Nghiên cứu khoa học.
Tiếng Anh
1. Anderton, R. (2003), Extra-Euro Area Manufacturing Import Prices and
Exchange Rate Pass-Through, ECB Working Paper No. 219.
2. Bacchetta, P. and van Wincoop, E. (2003), Why do Consumer Prices React Less
than Import Prices to Exchange Rates?, Journal of European Economic Association,
1, 662-670.
3. Burstein, A., Eichenbaum, M. and Rebelo, S. (2005), Large Devaluations and the
Real Exchange Rate, Journal of Political Economy, 113, 742-784.
4. Burstein, A., Neves, J. and Rebelo, S. (2003), Distribution Costs and Real
Exchange Rate Dynamics During Exchange-Rate-Based-Stabilizations, Journal of
Monetary Economics, 50, 1189-1214.
5. Campa, J. and Goldberg, L. (2004), Exchange Rate Pass-Through into Import
Prices, CEPR Discussion Paper No. 4391.
6. Campa, J., Goldberg, L. and González-Mínguez, J. (2005), Exchange Rate PassThrough to Import Prices in the Euro Area, Federal Reserve Bank of New York
Staff Paper No. 219.
7. Choudhri, E. and Hakura, D. (2006), Exchange Rate Pass-Through to Domestic
Prices: Does the Inflationary Environment Matter?, Journal of International Money
and Finance, 25, 614-639.
8. Devereux, M, and Engel, C. (2001), “Endogenous Currency of Price Setting in a
Dynamic Open Economy Model”, NBER Working Paper No. 8559.
9. Dornbusch, R. (1987), Exchange Rates and Prices, American Economic Review,
77, 93-106.

- 32 -

10. Ito and Sato (2007), “Exchange Rate Changes and Inflation in Post-Crisis Asian
Economies: VAR Analysis of the Exchange Rate Pass-Through”
11. Frankel, J., Parsley, D. and Wei, S. (2005), Slow Pass-Through Around the
World: A New Import for Developing Countries, NBER Working Paper No. 11199.
12. Gagnon, J. and Ihrig, J. (2004), Monetary Policy and Exchange Rate PassThrough, International Journal of Finance and Economics, 9, 315-338.
13. Goldberg, P. K. and Knetter M. M. (1996), “Goods Prices and Exchange Rates:
What Have We Learned?”, NEBR Working Paper No.5862.
14. Hahn, E. (2003), Pass-Through of External Shocks to Euro Area Inflation,
European Central .
15. Hakan Kara (2005), “Exchange Rate Pass –Through in Turkey: Has It Changed
and to What Extent?”
16. Ihrig, J., Marazzi, M. and Rothenberg, A. (2006), Exchange Rate Pass-Through
in the G-7 countries, International Finance Discussion Paper No. 851, Federal
Reserve Board of Governors.
17. Mann, C.L, PETER HOOPER, 1986. Exchange Rate Pass-through in the
1980s: The Case of U.S. Imports of ManufacturesFederal Reserve Board.
18. McCarthy, J. (2000), Pass-Through of Exchange Rates and Import Prices to
Domestic Inflation in Some Industrialised Economies, Federal Reserve Bank of
New York Staff Report No. 111.
19. Mihaljek, D. and Klau, M. (2000), A Note on the Pass-Through from Exchange
Rate and Foreign Price Changes to Inflation in Selected Emerging Market
Economies, BIS Papers, 8, 69-81.
20. Romer, D. (1993), Openness and Inflation: Theory and Evidence, Quarterly
Journal of Economics, 4, 869-903.
21. Taylor, J. (2000), Low Inflation, Pass-Through and the Pricing Power of Firms,
European Economic Review, 44, 1389-1408.
22. Vo Van Minh (2009), “Exchange Rate Pass-Through and Its Implications for
Inflation in Vietnam”, VDF Working Paper 090

- 33 -

PHỤ LỤC
PHỤ LỤC 1: Kiểm định mô hình Var theo thứ tự sắp xếp biến số 1
Vector Autoregression Estimates
Date: 10/27/12 Time: 23:33
Sample (adjusted): 2001Q2 2011Q4
Included observations: 43 after adjustments
Standard errors in ( ) & t-statistics in [ ]

D(OIL(-1))

D(OIL(-2))

D(OIL)

D(GDP)

D(LS)

-0.192407

-5.915044

0.006186

D(NEER)

0.005291 0.022159

CPI
0.005210

(0.29152)

(6.26431)

(0.01318)

(0.03025) (0.01219)

(0.01980)

[-0.66002]

[-0.94425]

[ 0.46928]

[ 0.17492] [ 1.81848]

[ 0.26317]

-0.176919

-12.38884

0.026278

-0.018991

0.017540

(0.33249)

(7.14471)

(0.01503)

(0.03450) (0.01390)

(0.02258)

[[-0.53210]
D(OIL(-3))

IMP

-0.207151
(0.34925)

[-

[-1.73399]

[ 1.74795]

0.55051] 1.35850]

[ 0.77683]

3.164012

0.004623

0.001264 -0.031371

-0.009658

(7.50479) (0.01579) (0.03624) (0.01460) (0.02372)
[-

D(OIL(-4))

[-0.59314]

[ 0.42160]

[ 0.29273]

[ 0.03488] 2.14891]

[-0.40722]

-0.430639

-14.36974

0.001880

0.022208 -0.019404

-0.024144

(0.26081)

(5.60438)

(0.01179)

(0.02706) (0.01090)

(0.01771)

[-

D(GDP(-1))

[-1.65117]

[-2.56402]

[ 0.15944]

[ 0.82071] 1.77991]

[-1.36325]

0.009599

-0.114410

0.000200

-0.000379 9.73E-05

-7.04E-06

(0.00585)

(0.12572)

(0.00026)

(0.00061) (0.00024)

(0.00040)

[ 1.64070]

[-0.91004]

[ 0.75637]

0.62456] [ 0.39805]

0.007092

-0.012518

-2.40E-05

-0.000493 -0.000123

0.000351

(0.00560)

(0.12031)

(0.00025)

(0.00058) (0.00023)

(0.00038)

[-

D(GDP(-2))

[-

D(GDP(-3))

[-0.01773]

[-

[ 1.26667]

[-0.10405]

[-0.09497]

0.84870] 0.52373]

[ 0.92409]

0.006204

0.170920

-0.000196

0.000568 0.000517

7.50E-05

(0.00593)

(0.12737)

(0.00027)

(0.00061) (0.00025)

(0.00040)

- 34 -

D(GDP(-4))

[ 1.04669]

[ 1.34190]

[-0.72973]

[ 0.92407] [ 2.08480]

[ 0.18640]

0.010039

1.169640

0.000559

-0.002421 0.000400

0.000704

(0.00866)

(0.18615)

(0.00039)

(0.00090) (0.00036)

(0.00059)

[-

D(LS(-1))

[ 1.15886]

[ 6.28325]

[ 1.42606]

2.69345] [ 1.10477]

[ 1.19621]

-0.622611

220.9061

-0.389243

-0.054694 -0.096013

0.120476

(4.89985)

(105.291)

(0.22155)

(0.50838) (0.20482)

(0.33274)

[-

D(LS(-2))

[-

[-0.12707]

[ 2.09806]

[-1.75694]

0.10758] 0.46878]

[ 0.36208]

-17.10318

9.487800

-0.666849

-0.178190 0.138840

-0.137649

(4.84135)

(104.034)

(0.21890)

(0.50231) (0.20237)

(0.32877)

[-3.53273]

[ 0.09120]

[-3.04635]

0.35474] [ 0.68607]

3.389577

-377.8610

0.264748

1.126508 -0.093997

0.425507

(7.48534)

(160.849)

(0.33845)

(0.77663) (0.31289)

(0.50831)

[-

D(LS(-3))

[-0.41868]

[-

D(LS(-4))

D(NEER(-1))

[ 0.45283]

[-2.34916]

[ 0.78224]

[ 1.45050] 0.30041]

[ 0.83709]

9.647068

189.7636

-0.277556

0.097308 0.995259

0.828458

(8.41826)

(180.896)

(0.38063)

(0.87343) (0.35189)

(0.57167)

[ 1.14597]

[ 1.04902]

[-0.72920]

[ 0.11141] [ 2.82835]

[ 1.44920]

-1.615577

-72.11046

0.173917

-0.402593 -0.063627

0.054942

(2.09473)

(45.0127)

(0.09471)

(0.21734) (0.08756)

(0.14225)

[-0.77126]

[-1.60200]

[ 1.83625]

1.85239] 0.72666]

[ 0.38624]

[-

D(NEER(-2))

-0.875903

30.09865

0.016126

-0.323776 -0.062758

-0.226633

(2.19239)

(47.1112)

(0.09913)

(0.22747) (0.09164)

(0.14888)

[-

D(NEER(-3))

D(NEER(-4))

[-

[-

[-0.39952]

[ 0.63889]

[ 0.16268]

1.42339] 0.68481]

[-1.52225]

-0.584742

29.95820

0.166481

0.010580 0.036560

0.008475

(2.03149)

(43.6538)

(0.09185)

(0.21078) (0.08492)

(0.13795)

[-0.28784]

[ 0.68627]

[ 1.81246]

[ 0.05019] [ 0.43053]

[ 0.06144]

-0.791195

-35.35098

-0.053592

-0.192305 -0.046002

0.014517

(2.04529)

(43.9503)

(0.09248)

(0.21221) (0.08549)

(0.13889)

- 35 -

[[-0.38684]

IMP(-1)

IMP(-2)

[-0.80434]

[-0.57952]

[-

0.90621] 0.53807]

[ 0.10452]

6.863479

214.3036

-0.303376

0.910642 0.411779

0.431130

(5.59994)

(120.335)

(0.25320)

(0.58102) (0.23408)

(0.38028)

[ 1.22563]

[ 1.78090]

[-1.19816]

[ 1.56733] [ 1.75914]

[ 1.13372]

3.883102

185.3273

-0.094371

-0.142416 0.804811

-0.006306

(5.32742)

(114.478)

(0.24088)

(0.55274) (0.22269)

(0.36177)

[-

IMP(-3)

[ 0.72889]

[ 1.61888]

[-0.39178]

0.25765] [ 3.61407]

[-0.01743]

3.682204

-108.7921

0.133143

-0.740523 0.184484

0.121926

(5.07859)

(109.132)

(0.22963)

(0.52692) (0.21229)

(0.34488)

[ 0.72504]

[-0.99689]

[ 0.57982]

1.40537] [ 0.86903]

[-

IMP(-4)

[ 0.35353]

-0.456632

23.61387

0.243868

0.090460 -0.045259

0.133183

(3.37957)

(72.6220)

(0.15281)

(0.35064) (0.14127)

(0.22950)

[-

CPI(-1)

CPI(-2)

[-0.13512]

[ 0.32516]

[ 1.59593]

[ 0.25798] 0.32038]

[ 0.58032]

2.570148

-346.9152

0.692645

0.045415 0.114838

1.822375

(3.89702)

(83.7413)

(0.17620)

(0.40433) (0.16290)

(0.26464)

[ 0.65952]

[-4.14270]

[ 3.93095]

[ 0.11232] [ 0.70498]

[ 6.88629]

-8.359095

375.3749

-1.124572

-0.414943 -0.341259

-1.568022

(8.19047)

(176.001)

(0.37033)

(0.84979) (0.34237)

(0.55620)

[-1.02059]

[ 2.13280]

[-3.03667]

0.48829] 0.99677]

[-

CPI(-3)

[[-2.81918]

0.434682

95.84946

0.231182

0.565116 -0.462590

0.738932

(9.63858)

(207.119)

(0.43581)

(1.00004) (0.40290)

(0.65454)

[-

CPI(-4)

[ 0.04510]

[ 0.46277]

[ 0.53047]

[ 0.56509] 1.14816]

[ 1.12894]

5.737035

-113.6432

0.190924

-0.113972 0.730531

0.050387

(5.07233)

(108.997)

(0.22934)

(0.52627) (0.21203)

(0.34445)

[-

C

[ 1.13105]

[-1.04263]

[ 0.83248]

0.21656] [ 3.44549]

[ 0.14628]

-1462.557

-32240.74

1.720337

-14.48073 -39.83615

-72.51430

- 36 -

(734.649)

(15786.5)

(33.2170)

(76.2228) (30.7086)
[-

(49.8885)

[-

[-1.99082]

[-2.04229]

[ 0.05179]

0.18998] 1.29723]

[-1.45353]

R-squared

0.872056

0.926579

0.813638

0.800708 0.959649

0.999557

Adj. R-squared

0.701463

0.828685

0.565155

0.534986 0.905847

0.998965

Sum sq. resids

8800.909

4063890.

17.99242

94.74094 15.37760

40.58524

S.E. equation

22.11197

475.1544

0.999790

2.294207 0.924290

1.501578

F-statistic

5.111922

9.465117

3.274427

3.013329 17.83681

1690.353

Log likelihood

-175.4247

-307.3281

-42.28250

-77.99820 -38.90616

-59.77175

Akaike AIC

9.322078

15.45712

3.129418

4.790614 2.972380

3.942872

Schwarz SC

10.34603

16.48107

4.153372

5.814567 3.996333

4.966826

Mean dependent

6.802848

1851.434

0.221958

1.870057 100.3639

148.9777

S.D. dependent

40.46956

1147.988

1.516148

3.364339 3.012254

46.67817

Determinant resid covariance (dof
adj.)

1.28E+08

Determinant resid covariance

687604.5

Log likelihood

-655.0670

Akaike information criterion

37.44498

Schwarz criterion

43.58870

PHỤ LỤC 2: Phản ứng tích lũy của các yếu tố khi có sự thay đổi 1 đơn vị độ lệch
chuẩn của NEER (thứ tự 1)
Accumulated Response of D(OIL):
Period
1

2

3

4

5

6

D(OIL)

D(GDP)

D(LS)

D(NEER)

IMP

CPI

22.11197

0.000000

0.000000

0.000000

0.000000

0.000000

(2.38440)

(0.00000)

(0.00000)

(0.00000)

(0.00000)

(0.00000)

21.85489

3.310617

0.877705

-1.996554

5.760358

2.856637

(5.73704)

(4.68505)

(4.24095)

(4.00890)

(3.11243)

(4.34235)

19.76696

16.40419

-14.14474

-1.467516

5.988654

-5.164055

(8.39320)

(7.01740)

(6.36737)

(5.66924)

(4.22585)

(5.96528)

22.71116

30.01655

-12.97103

-2.787115

0.979988

-31.80602

(12.0683)

(10.7869)

(9.69919)

(8.91697)

(7.46510)

(8.39165)

4.945306

34.28927

-4.668618

2.696041

-3.396775

-34.10732

(16.2776)

(14.8602)

(13.5909)

(12.6630)

(10.1117)

(12.7960)

-4.257697

30.03231

6.731715

11.86831

3.098245

-24.81922

(18.2731)

(17.2272)

(15.9625)

(14.1542)

(11.3339)

(14.7525)

- 37 -

7

8

9

10

0.902749

20.56530

11.40325

18.21768

0.318699

-25.27221

(18.3499)

(18.7868)

(17.5691)

(15.0695)

(12.7031)

(15.6782)

10.45286

14.03501

2.018597

11.20923

1.071230

-11.43386

(17.2344)

(19.2017)

(18.0511)

(14.5908)

(12.8466)

(16.4009)

12.58915

18.57676

-9.430510

5.843955

3.038746

-8.582566

(15.2903)

(19.0960)

(16.5267)

(12.6429)

(12.6072)

(16.2989)

15.78589

25.37022

-10.92022

-1.704172

-3.341973

-25.20580

(14.7427)

(19.9787)

(16.0376)

(12.1717)

(12.8714)

(16.6128)

Accumulated Response of D(GDP):
Period

1

2

3

4

5

6

7

8

9

10

D(OIL)

D(GDP)

D(LS)

D(NEER)

IMP

CPI

138.6905

454.4630

0.000000

0.000000

0.000000

0.000000

(70.9002)

(49.0060)

(0.00000)

(0.00000)

(0.00000)

(0.00000)

143.1680

570.1856

22.36588

-46.60615

-72.61465

-385.5851

(153.174)

(130.401)

(107.008)

(102.768)

(87.8991)

(101.941)

-42.44513

688.3329

-69.74466

102.3122

-152.4969

-450.0524

(234.474)

(201.851)

(177.876)

(166.731)

(132.315)

(168.163)

-54.27953

670.7209

-160.3277

234.2213

-64.80208

-332.9461

(291.381)

(262.406)

(236.813)

(214.646)

(162.617)

(212.695)

-173.4832

1070.860

58.82157

166.5469

17.05887

-423.7387

(345.921)

(312.512)

(276.061)

(250.039)

(190.591)

(250.605)

-135.5620

1008.917

-107.0883

31.50720

-128.6534

-535.8346

(404.696)

(383.491)

(332.331)

(303.467)

(244.367)

(311.510)

-223.3410

791.3738

101.2699

144.1896

-81.02024

-476.5529

(433.947)

(424.811)

(359.932)

(330.175)

(273.628)

(352.828)

-279.4767

640.3829

-119.1899

365.8080

-63.79259

-111.3256

(423.874)

(457.812)

(367.912)

(324.107)

(284.494)

(366.261)

-57.43836

1092.275

-36.78354

58.72614

138.4834

-214.7684

(411.622)

(483.280)

(357.822)

(315.711)

(283.246)

(385.433)

-111.2476

1188.396

-149.4016

-62.02486

-192.0927

-602.3549

(440.411)

(542.312)

(363.466)

(346.041)

(283.408)

(418.728)

Accumulated Response of D(LS):
Period
1

D(OIL)

D(GDP)

D(LS)

D(NEER)

IMP

CPI

0.356097

-0.349383

0.866433

0.000000

0.000000

0.000000

(0.14755)

(0.13740)

(0.09343)

(0.00000)

(0.00000)

(0.00000)

- 38 -

2

3

4

5

6

7

8

9

10

0.328388

-0.592297

0.937230

0.175024

0.221915

0.769853

(0.31417)

(0.28735)

(0.24587)

(0.21466)

(0.18161)

(0.21271)

0.792370

-0.361604

0.555512

0.125514

0.368981

0.533805

(0.43119)

(0.37462)

(0.34830)

(0.31931)

(0.24429)

(0.33191)

1.133368

0.229797

0.343207

0.045301

-0.026087

-0.414600

(0.48388)

(0.42790)

(0.40614)

(0.36267)

(0.27454)

(0.36858)

0.795904

0.766340

0.180741

-0.075767

0.001886

-0.551394

(0.51851)

(0.48832)

(0.46281)

(0.41429)

(0.32046)

(0.43929)

0.251258

0.908352

0.585909

0.315427

0.034421

-0.971600

(0.54608)

(0.57758)

(0.53376)

(0.44318)

(0.39024)

(0.47724)

0.236401

0.600818

0.965553

0.629055

-0.056737

-0.954290

(0.59667)

(0.66171)

(0.59631)

(0.47982)

(0.44127)

(0.53916)

0.244198

0.274593

0.709306

0.654973

0.249064

-0.173949

(0.64016)

(0.69787)

(0.63699)

(0.51209)

(0.42506)

(0.61939)

0.444221

0.652038

0.719509

0.519479

0.271922

-0.251697

(0.61833)

(0.70188)

(0.62093)

(0.48886)

(0.42449)

(0.66047)

0.793551

0.583097

0.439991

0.153649

-0.047587

-0.816283

(0.59229)

(0.70655)

(0.61801)

(0.50296)

(0.46400)

(0.65606)

Accumulated Response of D(NEER):
Period
1

2

3

4

5

6

7

8

D(OIL)

D(GDP)

D(LS)

D(NEER)

IMP

CPI

0.659330

0.180002

1.105790

1.890370

0.000000

0.000000

(0.34256)

(0.33454)

(0.31197)

(0.20384)

(0.00000)

(0.00000)

0.960947

0.024111

0.907266

1.308855

0.589573

0.050478

(0.59843)

(0.53899)

(0.48962)

(0.43614)

(0.31967)

(0.44943)

0.613341

0.094015

0.309707

0.905218

0.419373

-0.103628

(0.70828)

(0.60554)

(0.58869)

(0.52551)

(0.38352)

(0.55530)

0.876123

0.088323

1.426160

1.072764

0.146463

-0.331262

(0.72817)

(0.67983)

(0.64285)

(0.54132)

(0.40598)

(0.53739)

0.298326

-0.770526

1.237494

1.220240

0.273911

-0.213241

(0.77484)

(0.76465)

(0.72313)

(0.61973)

(0.46593)

(0.65346)

0.515977

-0.636975

1.037153

1.324806

0.189081

0.208456

(0.80115)

(0.80171)

(0.70849)

(0.59894)

(0.51083)

(0.70553)

1.174165

-1.050687

1.651295

1.398763

0.167654

0.202983

(0.84352)

(0.91211)

(0.72884)

(0.60778)

(0.57462)

(0.71712)

0.912444

-0.479270

1.110815

0.946759

0.475865

0.616564

- 39 -

9

10

(0.96289)

(1.05329)

(0.84703)

(0.71601)

(0.59856)

(0.96788)

1.472920

-1.269036

0.449886

0.826453

0.147654

-0.034314

(0.97022)

(1.06517)

(0.77347)

(0.72076)

(0.52787)

(0.98647)

1.227812

-1.070005

1.385703

1.122687

0.383977

0.295760

(0.92349)

(1.14659)

(0.81224)

(0.79904)

(0.59527)

(0.97580)

Accumulated Response of IMP:
Period
1

2

3

4

5

6

7

8

9

10

D(OIL)

D(GDP)

D(LS)

D(NEER)

IMP

CPI

0.572963

0.110283

0.300798

0.203771

0.617949

0.000000

(0.12669)

(0.10996)

(0.10439)

(0.09676)

(0.06664)

(0.00000)

1.237157

0.144485

0.322011

0.152161

0.940282

0.127639

(0.29607)

(0.24574)

(0.22859)

(0.21801)

(0.16303)

(0.18158)

1.573086

0.340197

0.626552

0.187218

1.584689

-0.017855

(0.53031)

(0.46140)

(0.43360)

(0.40902)

(0.29876)

(0.35075)

1.611034

1.530315

0.047545

0.465281

1.580049

-0.991850

(0.78387)

(0.70298)

(0.64120)

(0.59750)

(0.45153)

(0.53643)

1.681502

2.381008

0.650469

0.454912

1.319490

-2.897314

(1.10802)

(1.00554)

(0.92276)

(0.86627)

(0.70599)

(0.80510)

0.550535

2.826794

1.359905

1.369352

0.991238

-3.304124

(1.47678)

(1.38018)

(1.24981)

(1.15035)

(0.93332)

(1.11655)

0.327588

2.480897

2.038107

2.072377

1.250715

-3.142623

(1.76588)

(1.70017)

(1.54580)

(1.38133)

(1.11400)

(1.36472)

0.530336

2.000893

2.136075

2.507491

1.050199

-3.137128

(1.95830)

(1.96105)

(1.76697)

(1.55576)

(1.25907)

(1.57018)

1.149170

1.778423

1.297351

1.971459

1.075447

-2.322025

(2.00185)

(2.09791)

(1.83900)

(1.61892)

(1.32705)

(1.72247)

1.254704

1.692518

0.634882

1.495606

1.065748

-2.532811

(1.89396)

(2.17565)

(1.80824)

(1.56962)

(1.38533)

(1.77039)

Accumulated Response of CPI:
Period
1

2

3

D(OIL)

D(GDP)

D(LS)

D(NEER)

IMP

CPI

0.007982

-0.675221

0.443213

-0.132714

0.591047

1.111468

(0.22899)

(0.21710)

(0.19886)

(0.19251)

(0.18108)

(0.11985)

0.462898

-1.893583

1.545735

-0.182856

1.934573

3.136979

(0.76037)

(0.71387)

(0.64999)

(0.62108)

(0.56070)

(0.44827)

1.812137

-2.895516

2.499390

-0.539029

3.680925

5.253563

- 40 -

4

5

6

7

8

9

10

(1.58589)

(1.46745)

(1.35253)

(1.29135)

(1.09554)

(1.06593)

3.687747

-3.058860

3.283980

-1.121373

5.466113

6.411482

(2.54871)

(2.35156)

(2.18413)

(2.05547)

(1.64914)

(1.78733)

5.344166

-1.918523

4.536696

-1.262967

7.062473

6.261254

(3.47910)

(3.21770)

(2.99969)

(2.78322)

(2.14089)

(2.51342)

6.569635

-0.029848

6.450883

-0.730040

8.641100

5.025543

(4.29033)

(4.02732)

(3.72760)

(3.41007)

(2.58434)

(3.15037)

7.360032

2.227734

9.134867

0.640120

10.26289

3.422593

(5.06460)

(4.90689)

(4.42709)

(3.97733)

(3.09555)

(3.76953)

8.282490

4.429877

12.12155

2.562942

12.05745

2.076180

(6.01295)

(5.99890)

(5.23566)

(4.62540)

(3.71654)

(4.51575)

9.541683

6.880240

14.75856

4.420228

14.03967

0.717987

(7.26683)

(7.34712)

(6.21438)

(5.49578)

(4.40288)

(5.51567)

11.13762

9.470288

16.67409

5.898255

15.77478

-1.064433

(8.73098)

(8.86468)

(7.33189)

(6.59289)

(5.13677)

(6.73354)

Cholesky Ordering: D(OIL) D(GDP) D(LS) D(NEER) IMP CPI
Standard Errors: Analytic

PHỤ LỤC 3: Phân rã phương sai theo thứ tự 1
Variance Decomposition of D(OIL):
Period

S.E.

D(OIL)

D(GDP)

D(LS)

D(NEER)

IMP

CPI

1

22.11197

100.0000

0.000000

0.000000

0.000000

0.000000

0.000000

(0.00000)

(0.00000)

(0.00000)

(0.00000)

(0.00000)

(0.00000)

89.55089

2.007123

0.141076

0.729992

6.076523

1.494398

(10.2702)

(7.83799)

(5.01330)

(3.23479)

(5.06472)

(3.45790)

48.74171

18.02030

22.37141

0.421468

3.283319

7.161793

(13.9395)

(11.0790)

(11.8102)

(3.60121)

(3.22670)

(6.69036)

25.82254

18.91289

11.71821

0.308999

2.999772

40.23759

(10.5814)

(10.0575)

(8.09396)

(4.09711)

(3.68504)

(10.7241)

34.04790

16.07141

12.35695

1.502083

3.226182

32.79547

(12.6530)

(10.1542)

(9.29890)

(4.61684)

(4.28967)

(8.92887)

2

3

4

5

23.36802

31.81513

44.09271

49.00506