B GIÁO D O I H C KINH T TP.HCM - TR N NGUY NG C A CUNG TI N, TH CH N NG KINH T NGHIÊN C U T LU TP HCM, tháng NG 2014 - B GIÁO D O I H C KINH T TP.HCM - TR N NGUY NG C A CUNG TI N, TH CH NG NG KINH T - NGHIÊN C U T LU Chuyên ngành: Tài – Ngân hàng Mã s : 60340201 NG D N KHOA H C: PGS TS PHAN TH BÍCH NGUY T TP HCM, tháng 10 2014 L Tôi xin cam oan is y cơng trình nghiên c u khoa h c cl pc a ng d n c a PGS TS Phan Th Bích Nguy t Các thơng tin, s li u lu c có ngu n g c rõ ràng, c th K t qu nghiên c u lu c ch a t ng c công b b t k cơng trình nghiên c u khác Tác gi Tr n Nguy M CL C TRANG PH BÌA L M CL C DANH M C CÁC KÝ HI U, CH VI T T T DANH M C CÁC B NG DANH M C CÁC HÌNH V TH TÓM T T .1 - GI I THI U tv nghiên c u 1.2 M c tiêu nghiên c u 1.3 ng ph m vi nghiên c u u tài 1.6 N i dung c a lu - T NG QUAN CÁC NGHIÊN C 2.1 Các nghiên c u lý thuy t 2.1.1 Nghiên c u cho r ng th quan tr i v i ho ng th ng ti n t có m t vai trị ng kinh t 2.1.2 Nghiên c u cho th y nh ng r i ro c a th ng ti n t 2.2 Các nghiên c u th c nghi m m nghiên c u 11 -D LI U 16 3.1 D li u 16 nghiên c u 17 - K T QU NGHIÊN C U 20 4.1 Th ng kê d li u 20 4.2 Ki nh nghi 4.3 Ki 22 tr t 4.4 Ki 27 ng liên k t .29 4.5 K t qu c a mơ hình VAR VECM .32 4.6 Ki nh tính t 4.7 Ki nh v tính 4.8 Hàm ph n ng – 4.9 Ki a ph 38 nh c a mơ hình 40 truy n t i s c .42 52 - K T LU N .58 TÀI LI U THAM KH O PH L C DANH M C CÁC KÝ HI U, CH ADB Asia Development Bank – ADF Augmented Dickey–Fuller AIC Akaike information criterion – ECT Error correction term – GDP Gross Domestic Product – HOSE IMF International Monetary Fund – MC Market capitalization – OLS Ordinary least squares – VAR Vector autoregression – VECM Vector error correction model – VT Value traded – WFE World Federation of Exchange WTO World Trade Organization – VI T T T DANH M C CÁC B NG Trang 4.1 22 4.2 23 4.3 25 4.4 26 4.5 29 4.6 31 4.7 32 4.8 34 4.9 35 4.10 36 4.11 37 4.12 39 4.13 52 4.14 53 4.15 Phân tích phân 54 4.16 55 4.17 56 DANH M C CÁC HÌNH V TH Hình Trang 2.1 13 4.1 20 4.2 43 4.3 ) 4.4 4.5 45 47 ) 49 4.6 50 4.7 51 tài NG C A CUNG TI N, TH N NG CH NG NG KINH T NGHIÊN C U T I - C TÓM T T Bài nghiên c u ki ch ng khoán ch s nh m i quan h gi a cung ti n, th ng ng kinh t t (Indonesia, Hàn Qu c, Malaysia, Thái Lan Vi t Nam) b ng vi c s d ng mơ hình t h i quy vector (VAR) mơ hình sai s hi u ch nh (VECM) v i d li u c thu th p theo quý t ng th bao g m cu c kh ng ho ng kinh t th gi i 2008-2009 K t qu nghiên c u cho th y ph n l n có s khốn v i s a s phát tri n c a th ng/t n kinh t cho c nhiên có b ng ch ng cho th y s m r ng/phát tri n c a th ng kinh t , th m chí l i có d u hi Qu c m t ph n ti n t th m tm Indonesia K t qu có th cho th y r ng ch ng c nêu trên; ng ti n t s Hàn ng gây tr ng thái “bão hòa” cho n n kinh t , m t ng ch ng khoán phát tri n t t s ng m nh m y h th ng kinh t tài ngày GI I THI U tv nghiên c u Kh ng ho ng kinh t toàn c u 2008-2009 kh ng ho ng l ch s suy thoái kinh t kéo dài nh t nghiêm tr ng nh t k t niên 1930 Cu c kh ng ho ng nêu lên m t s v bao g m vai trò c a tình tr ng b t i Kh ng ho ng th p n kinh t i kinh t toàn c u, b n ch t c a th ng tài chính, hi u qu c a sách ti n t vi c tránh bong bóng tài s ng c a vi c n i l n “q l n khơng th s nh tài v c a nh ng th ch tài ” Trong ph m vi c a lu nghiên c u t p trung vào nguyên nhân t c th i, nguyên nhân thi t y u c a kh ng ho d i tín d ng T M , cu c kh ng ho m n r ng u cho cu c kh ng ho ng kinh t th gi nhìn l u ch nh sách kinh t k t qu là, m t s chuyên gia kinh t g i s bùng n tín d t ng tiêu c u bu c c n ph i c thi th i gian qua Và ng tín d ng m c, s i v i n n kinh t , n n n kinh i có m t s nghiên c u khác nói v v n này: - M t nghiên c u g a Rousseau Wachtel (2011) cho th y vi c th c hi n sách ti n t n i l vào n n kinh t không nh ng không t kh ng ho ng kinh t vào th p k 1997) y m nh dòng v n ch y ng mà gây c (kh ng ho ng kinh t Châu Á TÀI LI U THAM KH O Tài li u Ti ng Vi t T p chí Ngân hàng, 2008, s c Vi t Nam Tài li u Ti ng Anh Akaike, H., 1974 A new look at the statistical model identification IEEE Trans Autom Control 19, 716-723 Arestis, P., Demetriades, P.O., Luintel, K.B., 2001 Financial development and economic growth: the role of stock markets Journal of Money, Credit and Banking 33, 16–41 Asian Development Bank, 2001 In: Zhuang, J., Edwards, D., Capulong, V.A (Eds.), Corporate Governance and Finance in East Asia, t p Atje, R., Jovanovic, B., 1993 Stock markets and development European Economic Review 37, 632–640 Bekaert, G., Harvey, C.R., Lundblad, C.T., 2003 Equity market liberalization in emerging markets Journal of Financial Economics 26, 275–299 Bell, C., Rousseau, P.L., 2001 Post-independence India: a case of finance led industrialization? 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World Economic Outlook, pp 147–166 Zivot, E and Andrews, D W K (1992) Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis Journal of Business & Economic Statistics 10, 251-270 PH L C Ch Indonesia Y-M-MC Y-M-VT tr t I-M-MC I-M-VT Hàn Qu c Y-M-MC Y-M-VT I-M-MC I-M-VT Malaysia Y-M-MC Y-M-VT I-M-MC I-M-VT Thái Lan Y-M-MC Y-M-VT I-M-MC I-M-VT Ki nh t a ph Indonesia Y-M-MC Y-M-VT I-M-MC I-M-VT Y-M-VT I-M-MC I-M-VT I-M-MC I-M-VT Hàn Qu c Y-M-MC Malaysia Y-M-MC Y-M-VT Thái Lan Y-M-MC Ki Y-M-VT nh tính I-M-MC I-M-VT nh c a mơ hình Indonesia Y-M-MC Y-M-VT Inverse Roots of AR Characteristic Polynomial I-M-MC Inverse Roots of AR Characteristic Polynomial I-M-VT Inverse Roots of AR Characteristic Polynomial Inverse Roots of AR Characteristic Polynomial 1.5 1.5 1.5 1.5 1.0 1.0 1.0 1.0 0.5 0.5 0.5 0.5 0.0 0.0 0.0 0.0 -0.5 -0.5 -0.5 -0.5 -1.0 -1.0 -1.0 -1.0 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 -1.5 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 Hàn Qu c Y-M-MC Y-M-VT Inverse Roots of AR Characteristic Polynomial I-M-MC Inverse Roots of AR Characteristic Polynomial I-M-VT Inverse Roots of AR Characteristic Polynomial Inverse Roots of AR Characteristic Polynomial 1.5 1.5 1.5 1.5 1.0 1.0 1.0 1.0 0.5 0.5 0.5 0.5 0.0 0.0 0.0 0.0 -0.5 -0.5 -0.5 -0.5 -1.0 -1.0 -1.0 -1.0 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 -1.5 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 Malaysia Y-M-MC Y-M-VT Inverse Roots of AR Characteristic Polynomial I-M-MC Inverse Roots of AR Characteristic Polynomial I-M-VT Inverse Roots of AR Characteristic Polynomial Inverse Roots of AR Characteristic Polynomial 1.5 1.5 1.5 1.5 1.0 1.0 1.0 1.0 0.5 0.5 0.5 0.5 0.0 0.0 0.0 0.0 -0.5 -0.5 -0.5 -0.5 -1.0 -1.0 -1.0 -1.0 -1.5 -1.5 -1.5 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 -1.5 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 -1.5 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 Thái Lan Y-M-MC Y-M-VT Inverse Roots of AR Characteristic Polynomial I-M-MC Inverse Roots of AR Characteristic Polynomial I-M-VT Inverse Roots of AR Characteristic Polynomial Inverse Roots of AR Characteristic Polynomial 1.5 1.5 1.5 1.5 1.0 1.0 1.0 1.0 0.5 0.5 0.5 0.5 0.0 0.0 0.0 0.0 -0.5 -0.5 -0.5 -0.5 -1.0 -1.0 -1.0 -1.0 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 -1.5 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 ... ho ng n n kinh t m ts Nghiên c u khác v i nghiên c ng kinh t b khoán lên c ng h p c v th ng tài ng c a cung ti n th ng kinh t ng ch ng n có x y kh ng ho ng kinh t Trong nghiên c u khác, ph n... u: Có s ng bi n gi a th ng kinh t tác ng c a cung ti kinh t không rõ, th m chí có ngh ch bi n ng ch ng nn n T NG QUAN CÁC NGHIÊN C 2.1 Các nghiên c u lý thuy t 2.1.1 Nghiên c u cho r ng th ho... ho ng t n tình tr ng c 2.2 Các nghiên c u th c nghi m Các nghiên c u th c nghi m ph n l n h tr cho ý ki n phát tri n th ng tài s ng kinh t M t ng nghiên c u b ng cách s d ng d li u chéo gi a