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HƯỚNG PHÁT TRIỂN ĐỀ TÀI

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42

DANH MỤC TÀI LIỆU THAM KHẢO
DANH MỤC TÀI LIỆU TIẾNG ANH
1. Akihiro Kubo, 2008. Macroeconomic impact of monetary policy shocks: evidence
from recent experience in Thailand. Science Direct Jounal of Asean Economic, 19:
83-91.
2. Alain Ize and Eric parrado, 2002. Dollarixation, Monetary policy, and the pass
through, IMF Working Paper, WP/02/188.
3. Benjamin O.Maturu, 2007. Channels of Monetary Policy Transmission in Kenya. In:
Transmission Mechanism of Monetay Policy Seminar, 12th African Economic
Society Conference. Cape Town, South Africa.
4. Bernanke, Ben, and Ilian Mihov, 1998. Measuring monetary policy. The Quarterly
Journal of Economics, 3: 870-902.
5. Borys and Horváth, 2008. The Effects of Monetary Policy in the Czech Republic:
An Empirical Study. The Czech National Bank, Working paper series 4.
6. Camen, U., 2006. Monetary Policy in Vietnam: The case of a transition country in
Monetary Policy in Asia: approaches and implementation. BIS Papers, 31: 232-252.
7. Castelnuovo, Efrem and Paolo Surico, 2006. The price puzzle: fact or artifact ?.
Bank of England Working Paper No. 288.
8. Cho, Seong – Jei and Jongku Kang, 1999. The impact of Monetary Bank Lending
Behavior. The Bank of Korea economics Paper, 2 (1), P.1-28.
9. Choudhri, E. and Hakura, D, 2001. Exchange Rate Pass-Through to Domestic
Prices: Does the Inflationary Environment Matter? IMF, [Online], Available at:
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[Accessed

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February 2012].
10. Cushman, David O and Tao Zha, 1997. Indentyfying monetary Policy in a Smaill
Open Economy under Flexible Exchange Rates. Journals of Monetary economics, P.
39, 433-488.

43
11. Deepak Mohanty, 2012. Evidence of Interest Rate Channel of Monetary Policy
Transmission

in

India,

RBI

Working

Papers,

[online]

Available

at

, [Accessed
15 May 2013].
12. Ferri, G., Kang, T.S., 1999. The credit chanel at work: Lesson from the Republic of
Ko ea’s financail c isis. World Bank paper, WP 2190.
13. Frederic S. Mishkin, 2004. The economics of monetary, banking and financial
market. 7th edition. New York. With the Addsion Wesley, page 619.
14. Frederic. S Mishkin, 1996. The Channels of Monetary Transmission: Lessons for
Monetary Policy, NBER Working Paper Series 5464, [Online] Available at:
[Accessed 15 May 2013].
15. Friedman, Milton and Anna Schwartz, 1963. A Monetary History of the United
States, 1867-1960, Princeton, Princeton University Press.
16. Ganev G, Molnar K, Rybinski K, Wozniak P. , 2002. Transmission Mechanism of
monetary Policy in Central and Eastern Europe. CASE Report No.52.
17. Gert Peersman and Frank Smets, 2001. The monetary transmission mechanisim in
the Euro area: More evidence from Var Analysis. Woking Paper No 91.
18. Gottschalk, Jan, 2001. An Introduction into the SVAR Methodology: Identification,
Interpretation and Limitations of SVAR models. Kiel Working Paper, No. 1072.
19. Goujon, Michaël, 2006. Fighting inflation in a dollarized economy: The case of
Vietnam, Journal of Comparative Economics, 34: 564-581.
20. Hoffmaister, A.W., J.E. Roldos, and P.Wickham, 1998. Macroeconomic
Fluatuations in Sub-saharan Africa. IMF Staff Papers 45: 132-161.
21. International Monetary Fund, 2003. What Drives Inflation in Vietnam? A Regional
Approach. IMF Country Report No. 06/422, November, International Monetary
Fund, Washington, D.C., U.S.A.
22. International Monetary Fund, 2006. Inflation Dynamics in Vietnam. IMF Country
Report No. 03/381, August, International Monetary Fund, Washington, D.C., U.S.A.

44
23. Jan Gottschalk, 2001. An Introduction into the SVAR methodlogy: Indentification,
Interpretation and Limitation of SVAR Models. Kiel Working paper No.1072.
24. Jonathan McCarthy, 2007. Pass-through of exchange rates and Import prices to
domestic inflation in some industrialized economies. Eastern Economic Journal, 33:
4.
25. Le Viet Hung and Wade Pfau, 2008. VAR Analysis of the Monetary Transmission
Mechanism in Vietnam, Applied Econometrics and International Development, Vol.
9, No. 1, pp. 165-179, [Online] available at:
[Accessed 15 September 2012].
26. Mala Raghavan and Param Silvapulle, 2007. Structural VAR Approach to
Malaysian Monetary Policy Framework: Evidence from the Pre- and Post-Asian
Crisis Periods, Department of Econometrics and Business Statistics Monash
University, Caulfield, VIC 3145, Australia, [Online] at: , [Accessed 15 September 2012].
27. Mosis M. Sichei, 2005. Bank – Lending Chanel in South – Africa: Bank – Level
Dynamic panel Data Analysis, Departments of economics Working Paper Series,
WP 2005-10.
28. Nguyen, Huu Minh, Tony Cavoli, and John K. Wilson, 2012, The Determinants of
Inflation in Vietnam, 2001-09, ASEAN Economic Bulletin, 29: 1-14.
29. Nguyen, Thi Thu Hang and Duc Thanh Nguyen, 2010, Macroeconomic
Determinants of Vietnam’s Inflation 2000-2010: Evidence and Analysis, December,
Vietnam Centre for Economic and Policy Research, University of Economics and
Business, Vietnam National University, Hanoi, Vietnam.
30. Norman Loayza and Klaus Schmidt- Hebbel, 2006. Monetary policy functions
and transmission mechanism: An overview, Central Bank of Chile, P2, [Online] at:
,

Accessed

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September 2012].
31. Piti Disyatat and Pinnarat Vongsinsirikul, 2003. Monetary policy and the
transmission mechanism in Thailand. Journal of Asian Economics 14: 389–418.

45
32. Rina Bhattacharya, 2013. Inflation Dynamics and Monetary Policy Tranmission in
Vietnam and Emerging Asia. IMF Working papers, WP/13/155.
33. Rokon Bhuiyan, 2012. Monetary Transmission Mechanism in a Small Open
Economy: A Bayesian Structural VAR Approach. Canadian Journal of Economics,
45: 1037–1061.
34. Shahawaz Karim and Minsoo Lee and Christopher Gan, 2011. Price Effects of
Monetary Policy: The Case of a Small Open Economy of New Zealand, Economic
Analysis and Policy (EAP): 41: 253-272.
35. Sims, Christopher A, 1992. Interpreting the Macroeconomic Time Series Facts: The
Effects of Monetary Policy. European Economic Review, June, Vol. 36 No. 5: 9751011.
36. Sims, Christopher A, 2009. Inflation Expectations, Uncertainty and Monetary
Policy. BIS Working Papers, 275: 1 – 12.
37. Vo Van Minh, 2009. Exchange Rate Pass – Through and Its Implications for
Inflation in Vietnam, VDF Working Paper, No. 0902.

DANH MỤC TÀI LIỆU TIẾNG VIỆT

1. Bạch Thị Phương Thảo, 2011. Truyền dẫn tỷ giá hối đoái vào các chỉ số giá tại VN
giai đoạn 2001 – 2011. Luận ăn thạc sĩ inh tế. T ường Đại học Kinh tế TP.HCM.
2. Chu Khánh Lân, 2013. Nghiên c u thực nghiệm về truyền dẫn chính sách tiền tệ qua
kênh tín dụng tại Việt Nam. Tạp chí ngân hàng, số 5 tháng 3/2013, trang 17-23.
3. Nguyễn Hoàng Anh à cộng sự, 2012. Phân tích định lượng tác động của các kênh
truyền dẫn tiền tệ lên tổng sản lượng và mức giá tại Việt Nam sử dụng mô hình tự
hồi quy vector var. Bài dự thi nhà hoa học t ẻ. Đại học inh tế T .HCM.
4. Nguyễn Phi Lân, 2011. Cơ chế truyền dẫn tiền tệ dưới góc độ hân tích định lư ng,
[online] [Ngày truy
cập: 01/05/2013].

46
5. Nguyễn Thị Liên Hoa à T ần Đặng Dũng, 2013. Nghiên c u lạm hát tại Việt Nam
theo hương há SVAR. Tạp chí phát triển và hội nhập, số 10 tháng 5-6/2013,
trang 32-38.
6. Nguyễn Thị Ngọc Trang và Lục Văn Cường, 2012. Sự chuy n dịch tỷ giá hối đoái
vào các m c giá tại VN. Tạp chí Phát triển & hội nhập, Số 7 (17), trang 7-13
7. Nguyễn Thị Thu Hằng à Nguyễn Đ c Thành, 2011. Nguồn gốc lạm hát của Việt
Nam giai đoạn 2000-2010:

hát hiện từ những bằng ch ng mới, [online]

mid=498>. [ngày t uy cậ : 01/04/2013].
8. Phạm Thế Anh, 2008. Ứng dụng mô hình SVAR trong việc xác định hiệu ng của
chính sách tiền tệ và dự báo lạm phát ở Việt Nam. Tạp chí Kinh tế và phát triển.
9. Phạm Thế Anh, 2009. Xác định các nhân tố quyết định lạm phát VN. Tạp chí Kinh
tế và phát triển, số 150.
10. Phạm thế Anh, 2013. Kinh tế lượng ứng dụng phân tích chuỗi thời gian. Hà Nội:
NXB Lao Động.
11. Trần Ngọc Thơ à Nguyễn Hữu Tuấn, 2013. Cơ chế truyền dẫn chính sách tiền tệ ở
Việt Nam tiếp cận theo mô hình SVAR. Tạp chí phát triển và hội nhập, số 10 tháng
5-6/2013, trang 8-16.

47
PHỤ LỤC
Phụ lục 1: Kiểm định tính dừng của các biến
1.

Tính dừng biến VNLS: kết quả dừng tại sai phân bậc 1, không chặn, không xu thế.

Null Hypothesis: D(VNLS_SA) has a unit root
Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=13)

Augmented Dickey-Fuller test statistic
Test critical values: 1% level
5% level
10% level

t-Statistic

Prob.*

-5.256769
-2.580164
-1.942924
-1.615325

0.0000

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(VNLS_SA,2)
Method: Least Squares
Date: 07/28/13 Time: 21:10
Sample (adjusted): 2000M04 2012M12
Included observations: 153 after adjustments
Variable

Coefficient Std. Error

t-Statistic

Prob.

D(VNLS_SA(-1))
D(VNLS_SA(-1),2)

-0.467961 0.089021
-0.266328 0.078916

-5.256769
-3.374836

0.0000
0.0009

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.364385
0.360176
5.476197
4528.300
-476.2539
1.987440

2.

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

-0.046005
6.846187
6.251685
6.291298
6.267776

Tính dừng biến WCPI: kết quả dừng tại sai phân bậc 2

Null Hypothesis: D(LOGWCPI,2) has a unit root
Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=13)

Augmented Dickey-Fuller test statistic
Test critical values: 1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

t-Statistic

Prob.*

-13.20368
-2.580264
-1.942938
-1.615316

0.0000

48

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LOGWCPI,3)
Method: Least Squares
Date: 07/28/13 Time: 21:08
Sample (adjusted): 2000M05 2012M12
Included observations: 152 after adjustments
Variable

Coefficient Std. Error

t-Statistic

Prob.

D(LOGWCPI(-1),2) -1.537763 0.116465
D(LOGWCPI(-1),3) 0.329321 0.076989

-13.20368
4.277501

0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

3.

0.626369
0.623878
0.001403
0.000295
783.8014
2.064821

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

2.21E-05
0.002288
-10.28686
-10.24707
-10.27070

Tính dừng biến USSL: kết quả dừng tại sai phân bậc 1

Null Hypothesis: D(LOGUSSL) has a unit root
Exogenous: None
Lag Length: 2 (Automatic based on SIC, MAXLAG=13)

Augmented Dickey-Fuller test statistic
Test critical values: 1% level
5% level
10% level

t-Statistic

Prob.*

-4.568588
-2.580264
-1.942938
-1.615316

0.0000

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LOGUSSL,2)
Method: Least Squares
Date: 07/28/13 Time: 21:05
Sample (adjusted): 2000M05 2012M12
Included observations: 152 after adjustments
Variable

Coefficient Std. Error

t-Statistic

Prob.

D(LOGUSSL(-1))
D(LOGUSSL(-1),2)
D(LOGUSSL(-2),2)

-0.530373 0.116091
-0.381738 0.104392
-0.260078 0.079534

-4.568588
-3.656765
-3.270035

0.0000
0.0004
0.0013

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid

0.475100
0.468054
0.007169
0.007658

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion

-4.61E-05
0.009829
-7.018594
-6.958912

49
Log likelihood
Durbin-Watson stat

4.

536.4132
2.026910

Hannan-Quinn criter.

-6.994349

Tính dừng biến USCPI: kết quả dừng tại sai phân bậc 1

Null Hypothesis: D(LOGUSCPI) has a unit root
Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=13)

Augmented Dickey-Fuller test statistic
Test critical values: 1% level
5% level
10% level

t-Statistic

Prob.*

-6.415460
-2.580065
-1.942910
-1.615334

0.0000

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LOGUSCPI,2)
Method: Least Squares
Date: 07/28/13 Time: 21:04
Sample (adjusted): 2000M03 2012M12
Included observations: 154 after adjustments
Variable

Coefficient Std. Error

t-Statistic

Prob.

D(LOGUSCPI(-1))

-0.422298 0.065825

-6.415460

0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.211967
0.211967
0.003030
0.001405
675.0527
1.895088

5.

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

-1.52E-05
0.003413
-8.753931
-8.734211
-8.745921

Tính dừng biến USLS: kết quả dừng tại level

Null Hypothesis: USLS_SA has a unit root
Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=13)

Augmented Dickey-Fuller test statistic
Test critical values: 1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

t-Statistic

Prob.*

-2.010221
-2.580065
-1.942910
-1.615334

0.0429

50

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(USLS_SA)
Method: Least Squares
Date: 07/28/13 Time: 21:09
Sample (adjusted): 2000M03 2012M12
Included observations: 154 after adjustments
Variable

Coefficient Std. Error

t-Statistic

Prob.

USLS_SA(-1)
D(USLS_SA(-1))

-0.008211 0.004085
0.654147 0.059836

-2.010221
10.93224

0.0462
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.446844
0.443205
2.517620
963.4384
-359.7003
2.074044

6.

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

-0.599371
3.373979
4.697407
4.736848
4.713428

Tính dừng biến VNSL: kết quả dừng tại sai phân bậc 1

Null Hypothesis: D(LOGVNSL) has a unit root
Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=13)
t-Statistic

Prob.*

-13.43332
-2.580164
-1.942924
-1.615325

0.0000

Coefficient Std. Error

t-Statistic

Prob.

D(LOGVNSL(-1))
-1.882964 0.140171
D(LOGVNSL(-1),2) 0.214639 0.079617

-13.43332
2.695910

0.0000
0.0078

Augmented Dickey-Fuller test statistic
Test critical values: 1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LOGVNSL,2)
Method: Least Squares
Date: 07/28/13 Time: 21:07
Sample (adjusted): 2000M04 2012M12
Included observations: 153 after adjustments
Variable

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.785368
0.783947
0.065066
0.639277
201.9583

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

7.77E-05
0.139983
-2.613834
-2.574220
-2.597742

51
Durbin-Watson stat

7.

2.038648

Tính dừng biến VNCPI: kết quả dừng tại sai phân bậc 1

Null Hypothesis: D(LOGVNCPI) has a unit root
Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=13)
t-Statistic

Prob.*

-2.389505
-2.580164
-1.942924
-1.615325

0.0168

Coefficient Std. Error

t-Statistic

Prob.

D(LOGVNCPI(-1)) -0.100946 0.042246
D(LOGVNCPI(-1),2) -0.327212 0.077156

-2.389505
-4.240931

0.0181
0.0000

Augmented Dickey-Fuller test statistic
Test critical values: 1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LOGVNCPI,2)
Method: Least Squares
Date: 07/28/13 Time: 21:06
Sample (adjusted): 2000M04 2012M12
Included observations: 153 after adjustments
Variable

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

8.

0.173651
0.168179
0.004978
0.003742
595.2131
2.025174

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

2.88E-05
0.005459
-7.754419
-7.714806
-7.738328

Tính dừng biến VNM2: kết quả dừng tại sai phân bậc 2

Null Hypothesis: D(LOGVNM2,2) has a unit root
Exogenous: None
Lag Length: 2 (Automatic based on SIC, MAXLAG=13)

Augmented Dickey-Fuller test statistic
Test critical values: 1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

t-Statistic

Prob.*

-12.45570
-2.580366
-1.942952
-1.615307

0.0000

52

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LOGVNM2,3)
Method: Least Squares
Date: 07/28/13 Time: 21:04
Sample (adjusted): 2000M06 2012M12
Included observations: 151 after adjustments
Variable

Coefficient Std. Error

t-Statistic

Prob.

D(LOGVNM2(-1),2) -2.691986 0.216125
D(LOGVNM2(-1),3) 0.884700 0.161533
D(LOGVNM2(-2),3) 0.286992 0.088094

-12.45570
5.476913
3.257794

0.0000
0.0000
0.0014

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

9.

0.803433
0.800776
0.014467
0.030976
426.8730
2.015739

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

-9.44E-06
0.032412
-5.614212
-5.554266
-5.589859

Tính dừng biến EX: kết quả dừng tại sai phân bậc 1

Null Hypothesis: D(LOGEX) has a unit root
Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=13)

Augmented Dickey-Fuller test statistic
Test critical values: 1% level
5% level
10% level

t-Statistic

Prob.*

-14.02206
-2.580065
-1.942910
-1.615334

0.0000

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(LOGEX,2)
Method: Least Squares
Date: 07/28/13 Time: 21:03
Sample (adjusted): 2000M03 2012M12
Included observations: 154 after adjustments
Variable

Coefficient Std. Error

t-Statistic

Prob.

D(LOGEX(-1))

-1.124858 0.080221

-14.02206

0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid

0.562378
0.562378
0.010297
0.016223

Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion

-3.14E-05
0.015566
-6.307384
-6.287664