Luận văn Thạc sĩ Kinh tế: Tác động của rủi ro hệ thống đến đô la hóa tài chính tại các quốc gia đang phát triển

TR

– ăm 2017

–

0 0201

PGS.TS. H VI T TI N

– ăm 2017

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........................................................................................................ 32 ......................... 33 ....................................................................................................... 33

................................................................................................ 39

4.2.1 Ki ng h nh. .... 40

4.2.1.1 Gi a sai s ổi. ........................................................ 40

4.2.1.2 Gi ữ ầ ......................................... 40

4.2.1.3 Gi ữ c l ( y ra hi n ng tuy n). .................................................................................................... 41

4.2.1.4 Hi ng n i sinh. .......................................................................................... 42

i quy GMM ..................................................................................... 42

m c a GMM ............................................................................................ 42

4.2.2.2 Th t n. ................................................ 44

........................................................................................................ 46

ữ ......................................................................... 46

ổ ........................... 50

4.3.2.1 Ma tr ữ ặp bi n. ...................................... 50

4.3.2.2 Ki nh hi ổi phầ ữ – Greene (2000). ............................................................................................................... 53

4.3.2.3 Ki nh hi ng t ầ ữ – W e ( ) e ( ) ......................................................................... 55

....................................................................................................... 56

........................................................................................................ 63

5: ........................................................................................................ 64 .............................................................................................. 64

e ............................................... 65

......................................................................................................... 66

BLUE ( e e

Unbiased Estimators)

CFA ( )

CPI ( e e e )

EMU ( e e union)

FED ữ ( e e e e e)

GDP ổ (Gross Domestic Product)

GMM e e e e

IFS ( e )

IMF (International Monetary Fund)

MVP ( e )

WB (W )

WDI (W e e e )

WEG (W Outlook)

WGI ầ (W e e e )

ổ ............................................................. 23 –

2015 ............................................................................................................................... 30

W e 1996 – 2015 ................................................................................................................... 31

........................................................................ 35

B ng 4.2: Th ....................................................... 46

B ng 4.3: Ma tr ữ ặp bi ................. 51 B ng 4.4: K t qu ki m t ng tuy n v

..................................................................................................... 52

B ng 4.5: K t qu ki ổi c ............................... 54

B ng 4.6: K t qu ki m tra t ...................................... 55

B ng 4.7: K t qu h ......... 56

B ng 4.8: K t qu h

......................................................................................................................... 59

– 2015 .... 28

– 2015 .......................................................................................................... 29

– 2015 .................. 29

Ph l c 3: Ma tr

Ph l c 4 :

Ph l c 5 : Ki ổi

Ph l c 6 : T

Ph l c 7: K t qu h i quy 4.7

Ph l c 8: K t qu h 8

1

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u t i v i mỗi qu c gia

Baltagi (2008).

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(

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e

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quan –

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2 1 2

e ( ) n r

v r i ro h th c s d

ổ

( ee ) ặ

( e e ) m t

s lo i kh ng ho e ẹ

trong h th ặc e t r m t cu c kh ng ho ng

kinh t ( )

Theo ( )

ầ

11

ữ

e ( )

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e e e e ( ) (

) ổ (

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e e e ( )

ặ

( ầ

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( ặ ổ

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( ) ổ (

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12

ặ ầ

( ổ ) ặ

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–

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e ữ

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e

t c m r ng

cho t t c ng peso c a khu v ( khi

ph t phầ ầu c )

ầ ữ

ữ ổ

ặ

2 2 m

e

( e ).

2.2.1 m .

14

ầ ầ ữ

ổ e e W ổ (Savastano )

e

( )

e “C f x x

” e ( )

e

ầ

ặ

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e

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ầ

ữ

“A f x

x ” e ( )

15

ữ

“F z : ” e

e ( ) ầ ổ

“F z L A ” e

( )

ổ

2.2.2 m m .

“F z ” e e e ( )

m e

( )

ầ

ổ

ổ

ổ

ổ ữ

16

ổ

ầ

“F z L A ” Re

Nozaki (2006), “D z f : C ” e

( ) “ f D z ” ( )

ữ

ữ

ổ ầ

2.2.3 m .

ầ

“ f L A :

w” ( ) “F z :

con ” e e ( ) ổ

“F z L A ” e

( ) ữ

( ) ầ ầ

ữ

ầ ầ

“D z x ”

( )

ổ

17

ổ

ổ

“

: f x 7 ”

We ( )

( ữ – e e )

ữ ầ e

e e

ặ ữ

ữ

ầ ữ

e e

2.2.4 Quan m .

e e ( )

ữ

ữ

“F D z : w”

( )

ặ

ặ ổ ổ

ặ ữ

18

ặ ổ

“F D -D z : I f ?” e e

e ( )

ữ

(

ặ )

ặ

ầ

ầ ổ ữ e ữ

ữ e

e

e

( e e )

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( )

ầ ( ) “F al De-

D z : I f ?” e e e ( )

e

ữ ổ ổ

ữ

“F z : ” e

e ( )

19

ữ e

“F z : N w ”

e

e

t ầ ầ

( )

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ữ

e e

( )

e ặ

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ổ

20

ặ

ầ

ặ ( )

ổ ặ ữ

ặ ầ

ầ ( e )

ổ

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ổ

ầ

( e ) ầ

ữ

ầ ( )

ầ ầ

ữ ầ

ữ

ầ ặ (

) ầ

ầ

21

ầ

ầ

ầ

ầ

ầ

ổ e

ầ – e

ữ ầ

ữ ầ

ầ

ổ ầ e ầ

ầ

ổ

( e ) ặ

e

ầ

ữ

22

ặ

ầ

2

ổ

e

e

ữ

ổ

e

ặ

23

2 1

ăm

Currency substitution, flexible -  Marc A. Miles exchange rates and monetary 1978

independence .

A model of exchange rate  Guillermo A. Calvo determination under currency - G  Carlos Alfredo 1977 substitution and rational . Rodriguez expectations

- Nhu ầ ổ

Financial dollarization:  Eduardo Levy Yeyati 2006 evaluating the consequences -

-

24

-

ổ

-

 Robert Rennhack Financial dollarization in Latin 2006  Masahiro Nozaki America

-

ầ ầ

.

-

 Alain Ize

.

 Eduardo Levy Yeyati

- 2003 Financial dollarization

 e - tin c y c ng Dollarization of bank deposits:  Patrick Honohan c ch u t nh s 2005 Causes and consequences  Alain Ize bi t giữ c gia trong vi .

25

-

trong m ng l .

- S b t ổ nh v n

kinh t b .

-

- The Retreat of Deposit  Patrick Honohan . 2008 dollarization

- ổ

ầ

.

The pattern of currency - ổ  Miguel A. Savastano substitution in Latin America: an 1992

overview

-

Dollarization, exchange rate  Adam Honig 2009 regimes and government quality -

26

ổ

Political institutions and -

property rights: veto players and  Stephen J. Weymouth 2011 foreign exchange commitments ữ – e e

in 127 countries e e

 Financial Dollarization: an -  Alain Ize 2006 overview ặ

 Eduardo Levy Yeyati

-

Financial De-Dollarization: Is it  Alain Ize .

2005 for Real  Eduardo Levy Yeyati - ữ

.

Comment on Financial De- - e

Dollarization: Is it for Real  Roberto Chang 2006 (Alain Ize and Eduardo Levy

Yeyati)

27

-

( )  e Financial dollarization and ầ systemic risks: New empirical  2012

evidence  Marco F. Resende -

.

28

Trong b i c ng ho ng h i nh p v i n n kinh t th

gi ầ ữ

ặ ầ

e ặ ặ

.

30.00%

25.00%

20.00%

15.00%

10.00%

5.00%

0.00%

1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

1

1 27

1 – 2015

N : L

ổ

–

e

–

e e e

29

1

0.9

0.8

0.7

Belarus

0.6

Georgia

0.5

Peru

0.4

Philippines

0.3

Vietnam

0.2

0.1

0

1996

2000

2004

2008

2012

2016

2 M

1 – 2015

N : L

2

25.00%

20.00%

15.00%

10.00%

5.00%

0.00%

1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

2 1 m

m 27 1 – 2015

N : DI

–

ặ

30

– –

( )

ầ N

ặ u

1 m m

1996 – 2015

1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Belarus Georgia 39.36 7.09 3.57 19.19 4.06 4.65 5.59 0.84 5.66 8.25 9.16 9.24 10.00 1.73 7.11 8.54 - 0.94 - 0.51 3.07 4.00 52.71 63.94 72.87 293.68 168.62 61.13 42.54 28.40 18.11 10.34 7.03 8.42 14.84 12.95 7.74 53.23 59.22 18.31 18.12 13.53 Peru 11.54 8.56 7.25 3.47 3.76 1.98 0.19 2.26 3.66 1.62 2.00 1.78 5.79 2.94 1.53 3.37 3.65 2.82 3.23 3.56 Philippines Vietnam 5.68 3.21 7.27 4.12 - 1.71 - 0.43 3.83 3.22 7.76 8.28 7.39 8.30 23.12 7.05 8.86 18.68 9.09 6.59 4.09 0.63 7.48 5.59 9.23 5.94 3.98 5.35 2.72 2.29 4.83 6.52 5.49 2.90 8.26 4.22 3.79 4.65 3.17 3.00 4.10 1.43

N : I F

31

3.2.2

Th ch ng b ng c m nh n c p

v nhi a th ch W dữ li u dữ li u v qu n tr qu c

gia c ổ. Ch s W c

( ) W

ổ

3.2 m 27 ang p

1 – 2015

- 0.26 - 0.28 - 0.03 - 0.14 - 0.32 - 0.27 - 0.29 - 0.04 - 0.17 - 0.30 - 0.29 - 0.31 - 0.06 - 0.19 - 0.28 - 0.31 - 0.35 - 0.07 - 0.19 - 0.37 - 0.33 - 0.38 - 0.07 - 0.19 - 0.45 - 0.34 - 0.40 - 0.12 - 0.19 - 0.40 - 0.35 - 0.42 - 0.17 - 0.20 - 0.37 - 0.33 - 0.32 - 0.15 - 0.18 - 0.46 - 0.31 - 0.37 - 0.20 - 0.25 - 0.48 - 0.32 - 0.35 - 0.17 - 0.22 - 0.41 - 0.33 - 0.34 - 0.15 - 0.19 - 0.48 - 0.32 - 0.36 - 0.13 - 0.16 - 0.46 - 0.33 - 0.36 - 0.14 - 0.17 - 0.49 - 0.35 - 0.37 - 0.13 - 0.21 - 0.53 - 0.37 - 0.37 - 0.12 - 0.16 - 0.49 - 0.36 - 0.37 - 0.11 - 0.15 - 0.37 - 0.34 - 0.36 - 0.11 - 0.15 - 0.36 - 0.34 - 0.35 - 0.12 - 0.13 - 0.34 - 0.27 - 0.29 - 0.08 - 0.10 - 0.30 - 0.26 - 0.31 - 0.09 - 0.13 - 0.32 - 0.25 - 0.23 - 0.21 - 0.22 - 0.22 - 0.27 - 0.31 - 0.32 - 0.31 - 0.33 - 0.32 - 0.31 - 0.27 - 0.26 - 0.27 - 0.26 - 0.26 - 0.25 - 0.22 - 0.20 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

N :

32

27 – 2015.

e

W e

33

ầ

ổ

ti e ng GMM c a

Arrellano-Bond (1991).

ầ

1

e

“F z : N w ”

e ( )

e ( )

ữ

( )

ầ ầ

ữ ầ

Dollarized deposits(t) = α0 + α1Dollarized deposits(t-1) + α2Inflation(t) +

α3Inflation(t-1) + α4Inflation volatility(t) + α5Inflation volatility(t-1) + α6Inflation

+ + + acceleration(t) α7Inflation aceleration(t-1) α8MVP(t) α9MVP(t-1)

+ α10Rule of law(t) + α11Rule of law(t-1) + α12Debt/PIB(t) + α13Debt/PIB(t-1) + α14Debt

grade(t) + α15Debt grade(t-1) + α16Speculative grade + α17Financial openness

+ α18Initial per capita income + α19Foreign-exchange regime + α20Country size + εt

34

( e )

ữ

Dollarized deposits(t) = α0 + α1Dollarized deposits(t-1) + α2Debt/PIB(t) +

α3Debt/PIB(t-1) + α4Dept_grade(t) + α5Dept_grade(t-1) + α6Speculative grade + α7Rule of

(1) law(t) + α8Rule of law(t-1) + α9Country size

Dollarized deposits(t) = α0 + α1Dollarized deposits(t-1) + α2Debt/PIB(t) +

α3Debt/PIB(t-1) + α4Dept_grade(t) + α5Dept_grade(t-1) + α6Speculative grade + α7Rule of

(2) law(t) + α8Rule of law(t-1) + α9US interest rate

Dollarized deposits(t) = α0 + α1Dollarized deposits(t-1) + α2Debt/PIB(t) +

α3Debt/PIB(t-1) + α4Dept_grade(t) + α5Dept_grade(t-1) + α6Speculative grade + α7Control

(3) of corruption(t) + α8Control of corruption(t-1) + α9US interest rate

Dollarized deposits(t) = α0 + α1Dollarized deposits(t-1) + α2Debt/PIB(t) +

α3Debt/PIB(t-1) + α4Dept_grade(t) + α5Dept_grade(t-1) + α6Speculative grade +

(4) α7Regulatory quality(t) + α8Regulatory quality(t-1) + α9US interest rate

Dollarized deposits(t) = α0 + α1Dollarized deposits(t-1) + α2Debt/PIB(t) +

α3Debt/PIB(t-1) + α4Dept_grade(t) + α5Dept_grade(t-1) + α6Speculative grade +

α7Government effectiveness(t) + α8Government effectiveness(t-1) + α9US interest rate (5)

Dollarized deposits(t) = α0 + α1Dollarized deposits(t-1) + α2Debt/PIB(t) +

α3Debt/PIB(t-1) + α4Dept_grade(t) + α5Dept_grade(t-1) + α6Speculative grade + α7Political

stability and absence of violence/terrorism(t) + α8Political stability and absence of

(6) violence/terrorism(t-1) + α9US interest rate

Dollarized deposits(t) = α0 + α1Dollarized deposits(t-1) + α2Debt/PIB(t) +

α3Debt/PIB(t-1) + α4Dept_grade(t) + α5Dept_grade(t-1) + α6Speculative grade + α7Voice

and accountability(t) + α8Voice and accountability (t-1) + α9Country size + α10US interest

rate (7)

35

1 m

STT

ổ (

) e e e ( )

(2008). Dollarized 1 deposits

ỗ ổ ữ + 2 Inflation IFS ( )

+ 3 Inflation volatility ( )

ổ

( ) Inflation + 4 acceleration

+ 5 MVP e ữ ( )

36

( ) ( ) ( ) ( ) ( )

ổ .

ữ - 6 Rule of law e W

( W )

ữ + 7 Debt/PIB (2010).

Speculative grade ầ ầ - 8 (Igrade) ầ ữ ( ).

ữ ầ .

+ 9 Debt-grade

Financial + 10 ( ) openness

Initial per capita +/- 11 ầ ầ ữ W income

37

e e Foreign-exchange +/- ( ) 12 regime

ữ - 13 Country size ( ).

Control of - 14 ữ e corruption W ( W )

- 15 Regulatory quality e

W ( W )

Government - 16 effectiveness e W ( WB).

Political stability

- 17 and absence of ổ ữ e

violence/terrorism W ( W )

38

Voice and ầ - 18 accountability ổ

e W ( W )

ữ +/- 19 US interest rate ( ).

B ( ).

-

- ổ

-

- ầ ầ

.

39

2

Dữ li u b ( e ) ữ li u k t h p dữ li e

(cross – section, t c c thu th p cho m m u t i

t th ) ữ li u theo chuỗi th i gian (time series, t c a

c q e i gian). Dữ li u b i dữ li p

chung b ữ li p chung g p nhữ

ch ữ li u thuầ qua y u t th i gian. Vi c k t h p hai

lo i dữ li u thu n l i i quan h kinh t ặc bi t khi

mu bi ng c n

c hay theo th t giữ ng

i dữ li u b ng: dữ li u b ( e e ) ữ

li u b ng (unbalanced panels). Dữ li u b

v e i gian, dữ li u b

v e i gian. Trong lu s

d ng dữ li u b c gia theo chuỗi th ( ) c

i dữ li u b ữ m theo Baltagi (2008):

- Nh k t h p dữ li u chuỗi th i gian c ữ

li u b ng s ch a nhi ữ u

m hi ng tuy n giữ –

b c t e ng vững, hi u qu

ch;

- Dữ li u b n nhi u qu c gia theo th i gian, mỗi qu c

gia l ữ ặ thu ng

d ữ li u b n s ng nh

c giữ c th .

y, nh những l i th c s d ng dữ li u b

u c a lu c kỳ v e i hi u qu i

ữ li ữ li u chuỗi th i gian.

40

4.2.1 Ki m ng h m m m

nh.

4.2.1.1 Gi a sai s ổi.

ổ ầ ng

s d n v n

tin c i c a mỗ ( ữ li u) s

quan tr

nh . V s c i quan h v i m t hoặc

m t s bi n gi m gi nh r i c a phầ

ph i b n gi

Hi ổi s d n m t s h u qu : c

ng OLS v u qu nữ ng c

s b ch y s t hi u l c c a ki nh h s h i quy.

s t e i b n ch t c a v

th phầ ee e ( ) ữ li u b ng

ki e vi ph m gi thi t h –

ổ

4.2.1.2 Gi ầ

T ữ ần c a chuỗ

c s p x p theo th t th li u chuỗi th i gian, hoặc s p x p

theo th t i v li e

ki e m gi thi t h – t

s th v

ki nh d (Durbin-W ) ng t i

quy OLS. nh ki m tra s d ng ki

xu t b W e ( ) e ( )

41

Hi ng t d n m t s h u qu ng OLS

v ng tuy ng hi u qu nữa;

ng OLS b ch p so v

sai s n, d i t s ki

c y; a sai s ng ch ch c a

t s ng h ng th p c

sai th h s c

n c a d u qu .

4.2.1.3 Gi c lậ ( x y

ra hi ng tuy n).

ng tuy u bi n gi u th c h i quy

i quan h tuy i nhau. N i quan h tuy

h s

i quy, k t qu h h s nh R2

s t th ặp giữ n gi i quy

ph th n t i hi ữ c l

ph m gi thi t h – ng tuy n.

Hi n ng tuy n s d n m t s h u qu

hi ng OLS l n, kho ng tin c y r ng l n, t s t m

h s s t m

chu n tr t nh y v i nhữ ổi trong s li u, d u c ng c a

s h sai l n c ng tuy n v

bi s c ổi r t l ổi c d u

c

ng tuy n giữ bi n t t ch x y ra n u m c

ng tuy l t qu ng.

Theo Gujarati (2004), m t s m tra v ng tuy

- Nhi ng h 2 l | | th p.

42

- H s ữ ặp bi c l p cao. N tuy i

c a h s ữa 2 bi n l n t i hi n

ng tuy n giữa 2 bi

- S d ng h s khu ( ) u VIF c a m t bi n l n

n t i hi ng tuy n giữa bi n

gi i.

Trong lu s d ng h s ữ ặp bi c l p

k t h p v i s d ng h s khu ( ) e

Baltagi (2008), vi c s d ng dữ li u b n ch c hi ng

tuy ng tuy n x s kh c ph c

b ng tuy n hoặ

th li u.

4.2.1.4 Hi n ng n i sinh.

Hi ng n i sinh x y ra khi gi thi t v s ữa bi n

c l b vi ph m. Bi c l n

ngo ( ) n n i sinh (do b sai s t

ng).

n vi ph m gi thi t h – ng n s s

e ki m tra s p c a vi c thay

th bi n n i sinh b i bi .

2 2 i quy GMM

4 Ư m c a GMM

e ch, vữ

hi u qu n t m v ổi, t

bi n n t phổ bi

v c kinh t m c c t u

43

qu . V i m t s gi thi ầ d

ng hi u qu ững.

u v chuỗi dữ li u th u chuỗi vi ph m

m t hoặc m t s gi nh c c s b

m ữ ầm n u s d t trong những

d ng vi ph m gi nh phổ bi ng n i sinh.

V i những vi ph t qu e

u qu nh kh c ph

th e e ( ) e ( ) c s d

m l n. Vi c s d c ph c c vi ph m t

ổ n n t qu

ch, vữ u qu nh e - Bond

c thi t k kh c ph c hi u ng c a trong sai s

c ( ặ i m c n qu ổi theo

th u h n gi i

) c ph ần sai s , s gi m dần theo th i

gian (Roodman, 2006).

b ng h c l i phần

ng m (Instrumental Variables

– h ) ng c t b bi c g i

u ki ( ) n gi

( ) i phầ ững bi

v lo i b s ữ n gi ầ

i quy d n t ng c a h i

( )

e u ki n gi i h ( )

m t h ng ra h s v i s tham gia c a bi , xem

n sau:

44

i i, yi n ph thu c, xi c l p,

phầ s ng s

( )

V i x, y, n c t 𝑛 × . N u x i

̂ ữ c l i

x y ra, h s ng s b ch ữ u qu ,

ng c a bi n x n y y.

M t bi ng c z i bi n gi x

quan v i phầ s i quy IV s d ng

bi n gi nh h s

( )

n z i s ữ

ch tổ i m u bi n. Ta g i X

n 𝑛×K n gi Z n 𝑛×L v

ng bi n gi ng bi v n a mỗi bi n.

s ng

s

̂ ( )

u ki ≥

4.2.2.2 Th t G n n.

c p phầ c h s β ần m t b L vector

( c g u ki e )

s ng bi ph bi n gi ( ≥ )

45

u ki n m t bi c ch

quan v i phầ

( ( ))

ng ch o c

b a m u:

( ( )) ( ) ∑ ( )

e β

Khi s u ki n moment l bi ( > )

nh m t nghi ( u nghi m

) c g

( e e e ) ng h i th c hi i nh nh

β u ki n moment ( ( )) ầ ng 0 nh

( )

ni ầ c hi nh t, kho c

( ̂ ) ( )

Ma tr n ng ̂ ( ) c g i n tr ng s hi n m u ki e

ng GMM s c

β kho nh t.

Ki nh quan tr ng nh t c

( e e e e ) m

nh Sargent (Sargent Test) hoặc ki nh J (J – e ) nh cần thi t

ng h p s bi nhi bi ng c a

ki e i phầ

N l c

46

ch d ng bi p. Ki m

nh Sargent s d ng th ( – statistic) nh m ki nh gi thi t H0 –

p. Th ng k e

ng k t qu ng c a phần m m th

P – e ng c

4 t c ng GMM.

Khi s ng m β c s vữ

c s ần v th c c ng GMM s

e i chu t quan tr

d tin c y (confidence bands) c

hi t qu c

ng hi u qu nh t.

4.3.1 m

th n vi c ki m tra nhữ ặ

bi n. Gi suy di n th m i quan h giữ n trong

e e c t vi th

e c ổ u c a dữ li u

bi n thu th u th c nghi n những

m u, k t qu e ng th

trong b ng 4.2 t qu th c hi n th ng phần m m Stata ch ra

ph m vi kho l ch chu n c n s d ng

u c c l thu c.

4.2 m m

Bi n C m u l ch chu n nh nh t l n nh t

dolldep 540.00 0.21 0.21 0.00 0.86

47

1.03 540.00 resdoldep 1.68 0.00 5.00

8.72 540.00 inf 17.43 -18.11 293.68

1.33 540.00 infvol 2.72 -6.85 15.15

1.74 540.00 infacc 2.72 -6.44 15.55

0.79 540.00 mvp 1.73 -14.77 32.82

7.65 540.00 gdp 0.93 5.33 9.65

-0.32 540.00 rullaw 0.57 -1.52 1.06

-0.35 540.00 concorr 0.50 -1.39 1.27

-0.11 540.00 regqua 0.52 -1.85 1.12

-0.17 540.00 goveff 0.51 -1.20 1.24

-0.40 540.00 polsta 0.85 -2.39 1.30

-0.26 540.00 voiacc 0.62 -1.77 1.11

6.97 3.41 1.00 15.00 reaexdummy 540.00

0.25 540.00 fo 1.42 -1.89 2.39

3.79 540.00 pubdeb 0.64 1.55 5.58

size 2.03 19.28 28.43 540.00 23.81

usint 2.07 1.16 7.19 540.00 3.64

Ngu n: K t qu ổng h p bằ S ê li thu thập

v i cỡ mẫu g 540 27 qu c gia, ứng v i kho ng th i gian 1996 – 2015.

(Ph l c 2)

Bi n dolldep i di ng cho bi n dao

nh n nh i c m u trung ng v i

l ch chu ch giữ l ch chu a bi n

dữ li so v

48

Bi n resdoldep i di ng cho bi n dao

nh n nh

Bi n inf i di ng cho bi n ng nh nh

- n nh i c m ng v

l ch chu t hi n m ng dữ li u l n so

v i.

Bi n infvol i di ng cho bi n dao

nh - n nh i c m ng

v l ch chu t hi n m ng dữ li u

l n so v i.

Bi n infacc i di ng cho bi n

nh - n nh i c m

ng v l ch chu t hi n m ng dữ

li u l n so v i.

Bi n mvp i di ng cho bi n danh

nh - n nh i c m

ng v l ch chu t hi n m dao

ng dữ li u l n so v i.

Bi n gdp i di ng cho bi n GD ầ

nh n nh i c m

ng v l ch chu c l ch chu

ng dữ li u ổ

Bi n rullaw i di ng cho bi n ậ dao

nh - n nh i c m -0.32, ng

v l ch chu t hi n m ng dữ li u

l n so v i.

49

Bi n concorr i di ng cho bi n dao

nh - n nh i c m -0.35, ng

v l ch chu Xu t hi n m ng dữ li u l n

so v i.

Bi n regqua i di ng cho bi n dao

nh - n nh i c m -0.11, ng

v l ch chu t hi n m ng dữ li u

l n so v i.

Bi n goveff i di ng cho bi n dao

nh - n nh i c m -0.17, ng

v l ch chu t hi n m ng dữ li u

l n so v i.

Bi n polsta i di ng cho bi n ổ

nh - n nh i c m u

-0.4, ng v l ch chu t hi n m

ng dữ li u l n so v i.

Bi n voiacc i di ng cho bi n

nh - n nh

1.11, v i c m -0.26, ng v l ch chu t hi n m t

ng dữ li u l n so v i.

Bi n reaexdummy i di ng cho bi n gi

nh n nh

Bi n fo i di ng cho bi n

nh - n nh i c m u ng v l ch

chu t hi n m ng dữ li u l n so v i

i.

50

Bi n pubdeb i di ng cho bi n GD

nh nh n nh i c m ng v l ch

chu c l ch chu

ng dữ li u ổ

Bi n size i di ng cho bi n

nh nh n nh i c m ng v

l ch chu c l ch chu trung

ng dữ li u ổ

Bi n usint i di ng cho bi n dao

nh n nh i c m ng

v l ch chu c l ch chu n kh

ng dữ li u ổ

Th ng k e ng 4.2

i so v ầ ch giữ l ch chu

, dữ li ổ nh. C m u g m

540 m u l n trong vi c h i quy gi c l p trong th ng

4.3.2 m

4.3.2.1 Ma trậ tuy p bi n.

H s ch m i quan h giữ a

t qu ma tr s ữ n

ph thu c v c l ữ c bi c

l p v i nhau.

51

o f

f n i

p d g

e z i s

p v m

t n i s u

l o v f n i

c c a f n i

w a l l u r

b e d b u p

p e d l l o d

y m m u d x e a e r

4.3 ặ m

dolldep 1.0000

inf 0.2169 1.0000

infvol 0.3284 0.4125 1.0000

infacc 0.3278 0.4051 0.9999 1.0000

mvp 0.0002 0.0142 0.0143 0.0143 1.0000

rullaw -0.1271 -0.2463 -0.3786 -0.3783 -0.0097 1.0000

pubdeb -0.0320 -0.1107 0.0395 0.0403 0.0205 0.3225 1.0000

fo 0.2313 -0.1739 -0.1053 -0.1046 0.0584 0.0795 0.0535 1.0000

gdp -0.1040 -0.1334 -0.2642 -0.2641 0.0282 0.2946 -0.1407 0.1594 1.0000

reaexdummy 0.2127 0.3186 0.3015 0.3007 0.0256 -0.4069 -0.2626 -0.1179 -0.2521 1.0000

size -0.0671 0.0361 -0.0291 -0.0290 0.0294 -0.3683 -0.4168 -0.0483 0.2051 0.5392 1.0000

usint 0.0765 0.1750 0.1815 0.1809 -0.0287 0.0219 0.1146 -0.0307 -0.4002 0.1302 -0.2094 1.0000

Ngu n: K t qu ổng h p bằ S ê li thu thập v i cỡ mẫu g m 540 quan 27 qu c gia, ứng v i kho ng th i gian từ 996 – 2015. (Ph l c 3)

52

ng m i quan h s

e n b i Francis Galton (1880). H s t nh y c m v

y u t ch t p trung nh n m nh những h s

tuy i l th c m ng tuy ng c a

c l

K t qu ữ

e ng 4.3 cho th y, t n t s t ặp giữ c

l p l n t i hi ng tuy n chặ i quy.

K t luận: T n t i hi ng tuy ng v n

cặp tuy e ữ li u.

4.4 m

m

Bi c l p VIF 1/VIF

infvol 25339.65 0.000039

infacc 25247.8 0.00004

rullaw 41.02 0.024376

lrullaw 40.42 0.024741

pubdeb 10.23 0.097764

lpubdeb 9.79 0.102144

inf 5.93 0.168646

linfacc 2.87 0.348968

linf 2.78 0.359886

size 2.32 0.431116

reaexdummy 2.15 0.465215

gdp 1.59 0.629842

ldolldep 1.33 0.749583

fo 1.2 0.834443

53

lmvp 1.02 0.977779

mvp 1.01 0.985826

3169.44

Ngu n: K t qu ổng h p bằ S ê li thu thập

v i cỡ mẫu g 540 27 qu c gia, ứng v i kho ng th i gian 1996 – 2015.

(Ph l c 4)

D ng 4.4 k t qu ki ng tuy n v i

ầ

u l n t i bi c l s

y ra hi ng tuy n

K t luận: V n t i

hi ng tuy

e e e ( ) ữ ng h

t hi ng tuy n chặ v n giữ t

BLUE, t c hi u qu c t nh ch.

4.3.2.2 Ki nh hi ổi phầ ê

– Greene (2000).

ổ

ti nh

ổi b nh Greene (2000) v i gi

thuy

Gi thuy t H0 ổi

Gi thuy t H1 ổi

c ti nh bao g n

e i di n

ph thu c.

54

e e

rullaw lrullaw pubdeb lpubdeb fo gdp reaexdummy size

ep ldolldep pubdeb lpubdeb rullaw lrullaw size

e e e e

e e e e

e e e e e e

lldep ldolldep pubdeb lpubdeb goveff lgoveff usint

e e e e

e e e e e

4.5 m m

P-value (χ )

(1) 69022.58 0.0000

(2) 66473.32 0.0000

(3) 81727.25 0.0000

(4) 1.6e+05 0.0000

(5) 1.6e+05 0.0000

(6) 1.6e+05 0.0000

(7) 1.6e+05 0.0000

(8) 83527.57 0.0000

Ngu n: K t qu ổng h p bằ S ê li gi thu thập

v i cỡ mẫu g 540 27 qu c gia, ứng v i kho ng th i gian 1996 – 2015.

(Ph l c 5)

T b ng 4.5 k t qu ki nh Greene (2000) b ng phần m m Stata cho th y

k t qu v i P- e u b < α = gi

55

thuy t H0 m y t n t i hi ổi trong

t t c

K t luận: T n t i hi ổ m

4.3.2.3 Ki nh hi ng t ầ ê –

( 00 ) D ( 00 )

ầ

W e ( ) e ( ) ặt

gi thuy t ki

Gi thuy t H0 ng t c 1

Gi thuy t H1 ng t c 1

4.6 m m

P-value (χ )

(1) 10.629 0.0031

(2) 10.037 0.0039

(3) 9.849 0.0000

(4) 10.496 0.0033

(5) 8.627 0.0069

(6) 9.891 0.0041

(7) 10.055 0.0039

(8) 10.408 0.0034

56

Ngu n: K t qu ổng h p bằ S ê li thu thập

v i cỡ mẫu g 540 27 qu c gia, ứng v i kho ng th i gian 1996 – 2015.

(Ph l c 6)

K t qu ki nh b ng phần m m Stata 12 cho k t qu v i P- e u nh

α = gi thuy t H0 m y

t n t i hi ng t

K t luận: T n t i hi ng t c 1 trong t t c i

m

ổ

ổ

ữ

ổ

ặ ổ

ng n

ữ ti n

e ng GMM c a Arrellano-Bond (1991).

4.3.3

4.7

dolldep

ldolldep 0.272

(1.13)

inf 0.00207*

(1.81)

57

linf -0.000273

(-0.58)

infvol -0.732**

(-2.16)

infacc 0.733**

(2.16)

linfacc 0.00557**

(2.02)

mvp -0.00193

(-1.48)

lmvp -0.00277

(-1.49)

rullaw -0.000766

(-0.01)

lrullaw -0.142**

(-1.97)

pubdeb -0.0327

(-0.93)

lpubdeb -0.00651

(-0.19)

fo 0.00290

(0.12)

gdp 0.0470

(1.20)

reaexdummy 0.00539

58

(1.35)

-0.0732 size

(-1.62)

1.281 cons

(1.26)

0.011 AR(1)

0.857 AR(2)

1.000 Sargan / Hansen

* ** *** ng v i m

Ngu n: K t qu ổng h p bằ S ê li thu thập

v i cỡ mẫu g 540 27 qu c gia, ứng v i kho ng th i gian 1996 – 2015.

(Ph l c 7)

Nhậ xé : ng GMM c a Arellano– s

th e e u l ng v i b bi n

t qu ph p l c ng tham s b ng GMM.

K t qu ( ) ( ) u h p l , ch ng t c ph c hi ng t

ầ a chuỗi khi h i quy b ng GMM.

b ng 4.7 cho th y k t qu h i quy ch

u t m

c l i bi

chi u t i bi n ph thu ng v

e

59

–

( - )

( - )

e ( )

e ữ ầ

ầ ổ

4.8 m

(1)

(2)

(3)

(4)

(5)

(6)

(7)

dolldep

dolldep

dolldep

dolldep

dolldep

dolldep

dolldep

ldolldep 0.230***

0.398***

0.391***

0.270**

0.245**

0.514***

0.176**

(3.15)

(4.53)

(4.35)

(2.23)

(2.12)

(5.31)

(2.37)

pubdeb

-0.0149

-0.0114

-0.0265

0.0346*

0.0553**

-0.0147

-0.0239

(-0.60)

(-0.33)

(-0.75)

(1.70)

(2.54)

(-0.38)

(-0.97)

lpubdeb 0.0394*

0.0572*

0.0637*

0.0155

0.00836

0.0201

0.0629***

(1.88)

(1.74)

(1.90)

(0.89)

(0.49)

(0.60)

(2.89)

rullaw

-0.104

-0.177***

(-1.57)

(-3.42)

lrullaw

-0.126*

-0.0220

(-1.81)

(-0.47)

size

-0.0268***

-0.0284***

(-6.81)

(-7.58)

usint

0.00559*** 0.00608*** 0.00917*** 0.00414** 0.00558***

(3.13)

(3.35)

(4.46)

(2.36)

(2.93)

60

-0.114***

concorr

(-2.67)

-0.110***

lconcorr

(-2.72)

-0.330***

regqua

(-3.37)

0.00227

lregqua

(0.03)

-0.162*

goveff

(-1.84)

-0.192**

lgoveff

(-2.17)

-0.0415*

polsta

(-1.73)

-0.00145

lpolsta

(-0.06)

-0.139**

voiacc

(-2.54)

-0.112*

lvoiacc

(-1.89)

_cons

0.631***

-0.134*

-0.116*

-0.110*

-0.162**

0.0425

0.632***

(6.97)

(-1.87)

(-1.86)

(-1.68)

(-2.56)

(0.89)

(7.37)

AR(1)

0.000

0.000

0.000

0.000

0.000

0.000

0.000

AR(2)

0.949

0.502

0.470

0.899

0.908

0.480

0.747

Sargan

0.131

0.079

0.223

0.157

0.205

0.445

0.325

* ** *** ng v i m

61

Ngu n: K t qu ổng h p bằ S ê li thu thập

v i cỡ mẫu g 540 27 qu c gia, ứng v i kho ng th i gian từ

1996-2015. (Ph l c 8)

Nhậ xé : K t qu h i quy ng GMM, cho ch s

th

ng th s ( ) ( ) u th m

t

b ng 4.8 cho th y k t qu h i quy ch

( )

( ) ( ) ( ) ( )

( ) e e ( ) e

( )

( - ) ầ

ầ

( ) ( )

e e ( ) ữ

ầ

ữ ầ

e ổ

( ) ( )

- ( ) ( ) ( ) ( )

- ( ) e e ( )

ổ e

e e ( )

62

ổ

( ) ( ) (

( - )) u t i bi n ph thu (

) ng ch

ặ

ữ

( )

ầ

ổ

We ( ) ữ – e - e

g ặ ữ ữ

63

– 2015.

ổ

Sau khi

ổ

ti e ng GMM c a Arrellano-Bond

(1991)

t

64

5:

ữ

ữ

e

5 1 m .

d ữ

– e

kh c ph c c vi ph m t ổ n n

t qu ch, vữ u qu nh

e - c thi t k kh c ph c hi u ng c nh

a trong sai s c

(

)

e

(

ổ

)

ầ

e

( )

65

e ( ) e e ( )

ỗ e

( )

ữ

ữ

(

) e ữ

ầ

ổ ( )

ầ

(

)

5 2

ữ

– 2015.

gi u

e e e e e e

n ch

66

t qu gi ặ

ữ ặ

ữ

ẹ

ữ ữ

e

ngh

e

ặ ữ

ữ

ỗ

ữ

ữ ặ

ữ ẹ

ữ

e

m

2006 – c l n

cho ho ng qu i h i hi n nay. T C N

trang 18-22.

m qu c t

h c cho Vi t Nam. K -39.

T i h c Kinh t ữ li u -

, 2016. li u ph c v ê ứu ch : n d li

ê ứu v th ch

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1 m 27

Belarus Jamaica Nigeria

Belize Jordan Peru

Bhutan Malaysia Philippines

Colombia Maldives Russian Federation

Dominica Mauritius Sri Lanka

El Salvador Moldova Thailand

Georgia Mongolia Uganda

Guatemala Morocco Ukraine

Indonesia Nepal Vietnam

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Ph l c 6 : T

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