B B - - LU LU TP.H TP.H - B Chuyên ngành: Tài chính- Ngân hàng Mã s LU TP H – L Tơi xin t cơng trình nghiên c Các thông tin d êng trung th trình bày lu k ình nghiên c ào, xin ch àn b TP.HCM, tháng 09 Tác gi Phan Th DANH M Kí hi DPD Dynamic Panel Data FDI Foreign Direct Investments GDP Gross Domestic Products IMF International Monetary Fund ICRG IV GMM IV 2SLS ODA OLS SGMM UNCTAD WDI Dynamic Panel Data T Qu International Country Risk Guide C Instrumental Variables Generalized Method of Moments Instrumental Variables Two Stage ình Least Squares Official Development Assistance Ordinary Least Squares ình System Generalized Method of Moments United Nations Conference on Trade and Development t H ên hi phát tri Word Bank’s Word Development Indicators World Bank M Tóm t 1 Gi 2 2.1 2.2 T ên c 3.1 3.1.1 3.1.2 10 3.2 12 27 4.1 Mô hình 27 31 4.3 D 4.3.1 4.3.2 Ngu 4.3.3 M nghiên c 35 mơ hình 35 42 43 K ên c 46 5.1 46 5.2 47 5.3 48 5.4 55 56 K 2000-2011 ( GDP : %) DANH M B 22 3.1: : B ng 4.1: 39 B ng 4.2: 2000-2011 40 2000- B ng 4.3: 2011 41 B ng 4.4: Các bi B 4.5: M ình ngu 42 - 2011 43 B 5.1: 46 B 5.2: 47 B 5.3: (2) 48 B 5.4: (3) 49 B 5.5: (4) 50 B 5.6: Ki 51 DANH M Hình 2.1: Các kênh Hình 2.2: Hình 2.3: 2000-2011 Hình 2.4: 10 Hình 3.1: 11 TÓM T Trong nh nh sách qu lý ki àm cho dịng ki v quan tr ành m Chính th ài kho ãng lai n ên c t 2000-2011 K g Theo IMF (2009), t khác , , , , , ,k tài tr v (ODA) (FDI) M ? ?N hút ng Tuy nhiên, n - ” xem dòng 47 5.2 ng 5.2 y y l gcf l pop i nf l m2 l gov l r em l r em2 l gcf l pop i nf 0000 2110 0090 - 0231 0057 - 1663 0076 1007 0000 - 4688 - 1902 4161 - 0167 4599 0048 0000 1608 - 2257 - 1067 - 1739 1211 0000 - 2223 1447 - 2176 1681 l m2 l gov l r em l r em2 0000 0852 0000 2895 - 1400 0000 0199 3844 1224 0000 : Stata D bi k ình bày , có th ngh kh ùh h ên c 48 5.3 5.3 it = 6INF it + (2) 1LREM it + 2LGCF it + 3LPOP it + 4LGOVit + 5LM2 it it Est i mat es ef f i ci ent f or hom oskedast i ci t y onl y St at i st i cs consi st ent f or hom oskedast i ci t y onl y Tot al ( cent er ed) SS Tot al ( uncent er ed) SS Resi dual SS Num ber of obs F( 6, 313) Pr ob > F Cent er ed R2 Uncent er ed R2 Root MSE = 3355 437466 = 3355 437466 = 2855 94292 y Coef St d Er r l r em l gcf l pop l gov l m2 i nf 742207 652601 - 4906889 - 18 94966 - 172973 - 038963 15447 801616 741043 951759 250758 0127918 z 14 37 - 28 - 80 - 30 - 05 P>| z | 033 018 778 000 022 002 = = = = = = 348 11 72 0000 1489 1489 992 [ 95% Conf I nt er val ] 5595587 161536 - 903071 - 26 69496 - 584378 - 0640344 12 92486 12 14367 921693 - 11 20435 - 761568 - 0138916 Under i dent i f i cat i on t est ( Ander son canon cor r LM st at i st i c) : Chi - sq( 1) P- val = 39 559 0000 W eak i dent i f i cat i on t est ( Cr agg- Donal d W d F st at i st i c) : al St ock- Yogo weak I D t est cr i t i cal val ues: 10% m m I V si ze axi al 15% m m I V si ze axi al 20% m m I V si ze axi al 25% m m I V si ze axi al Sour ce: St ock- Yogo ( 2005) Repr oduced by per m ssi on i 44 310 16 38 96 66 53 Sar gan st at i st i c ( over i dent i f i cat i on t est of al l i nst r um s) : ent 000 ( equat i on exact l y i dent i f i ed) I nst r um ed: ent l r em I ncl uded i nst r um s: l gcf l pop l gov l m i nf ent Excl uded i nst r um s: i ns ent + 49 ng 5.4 it = (3) + 1LREMit + 2(LREMit)2 + 6LM2 it + 7INF it it 3LGCF it + 4LPOP it + 5LGOVit FI XED EFFECTS ESTI M ATI ON Num ber of gr oups = 29 Obs per gr oup: m n = i avg = m = ax 12 12 12 2- St ep GM est i m i on M at Est i m es ef f i ci ent f or hom at oskedast i ci t y onl y St at i st i cs consi st ent f or hom oskedast i ci t y onl y Tot al ( cent er ed) SS Tot al ( uncent er ed) SS Resi dual SS y l l l l r em gcf pop gov lm i nf l r em = = = Coef 032971 609815 - 6177082 - 20 96585 - 544918 - 0476192 - 841358 Num ber of obs F( 7, 312) Pr ob > F Cent er ed R2 Uncent er ed R2 Root M SE 3355 437466 3355 437466 2750 481008 St d Er r 139139 793794 709139 96545 296807 0127089 691678 z - - - - - P>| z | 92 72 36 29 54 75 66 0 0 0 055 006 718 000 123 000 008 = = = = = = 348 11 61 0000 1803 1803 936 [ 95% Conf I nt er val ] - 1196287 134079 - 96756 - 28 73799 - 046576 - 0725282 - 197022 12 18557 13 08555 732143 - 13 19372 9567397 - 0227102 - 485694 Under i dent i f i cat i on t est ( Ander son canon cor r LM st at i st i c) : Chi - sq( 1) P- val = 38 675 0000 W eak i dent i f i cat i on t est ( Cr agg- Donal d W d F st at i st i al St ock- Yogo weak I D t est cr i t i cal val ues: 10% m m I axi al 15% m m I axi al 20% m m I axi al 25% m m I axi al Sour ce: St ock- Yogo ( 2005) Repr oduced by per m ssi on i 43 045 16 38 96 66 53 c) : V si V si V si V si ze ze ze ze ent 000 Sar gan st at i st i c ( over i dent i f i cat i on t est of al l i nst r um s) : ( equat i on exact l y i dent i f i ed) I nst r um ed: ent l r em I ncl uded i nst r um s: l gcf l pop l gov l m i nf l r em ent 2 Excl uded i nst r um s: i ns ent + 50 ng 5.5 it = 1LREM it + 2(LREM it) + 3(LREMxLM2) + + 6LGOVit + 7LM2 it + 8INFit it + (4) 4LGCF it + FI XED EFFECTS ESTI MATI ON Num ber of gr oups = 29 Obs per gr oup: m n = i avg = m = ax 12 12 12 2- St ep GMM est i m i on at Est i m es ef f i ci ent f or hom at oskedast i ci t y onl y St at i st i cs consi st ent f or hom oskedast i ci t y onl y Tot al ( cent er ed) SS Tot al ( uncent er ed) SS Resi dual SS = = = Num ber of obs F( 8, 311) Pr ob > F Cent er ed R2 Uncent er ed R2 Root MSE 3355 437466 3355 437466 4640 668764 y Coef St d Er r l r em l gcf l pop l gov lm i nf l r em l r em m xl 53 74738 729048 - 7631196 - 18 85276 214091 - 055889 - 810831 - 27 20838 61 0717 223914 229377 133839 139455 0235948 327474 32 64796 z 88 71 - 34 - 07 20 - 37 - 12 - 83 P>| z | 379 007 732 002 843 018 034 405 = = = = = = 348 28 0000 - 3830 - 3830 814 [ 95% Conf I nt er val ] - 65 95094 410292 - 132619 - 30 87487 - 10 81902 - 102134 - 412633 - 91 19722 Under i dent i f i cat i on t est ( Ander son canon cor r LM st at i st i c) : Chi - sq( 1) P- val = W eak i dent i f i cat i on t est ( Cr agg- Donal d W d F st at i st i c) : al St ock- Yogo weak I D t est cr i t i cal val ues: 10% m m I V si axi al 15% m m I V si axi al 20% m m I V si axi al 25% m m I V si axi al Sour ce: St ock- Yogo ( 2005) Repr oduced by per m ssi on i ze ze ze ze 173 4457 15 0478 60638 - 830659 13 2472 - 009644 - 2090298 36 78045 213 1369 172 16 38 96 66 53 ent 000 Sar gan st at i st i c ( over i dent i f i cat i on t est of al l i nst r um s) : ( equat i on exact l y i dent i f i ed) I nst r um ed: ent l r em I ncl uded i nst r um s: l gcf l pop l gov l m i nf l r em l r em m ent 2 xl Excl uded i nst r um s: i ns ent 5LPOP it 51 5.6 i trình (2) 6,6526 7,6098 8,7290 (2,72)*** (2,71)*** -0,4907 -0,6177 -0,7631 (-0,28) (-0,36) (-0,34) -18,9497 -20,9659 -18,8528 (-4,80)*** (-5,29)*** (-3,07)*** -5,1730 -3,5449 1,2141 (-2,30)** (-1,54) (0,20) -0,0390 -0,0476 -0,0559 (-3,05)*** (-3,75)*** (-2,37)** 6,7422 6,0330 53,7474 (2,14)** (1,92)* (0,88) -1,8414 -2,8108 (-2,66)*** LPOP trình (4) (2,37)** LGCF trình (3) (-2,12)** LGOV GDP LM2 GDP INF LREM LREM2 GDP -27,2084 LREMxLM2 (-0,83) GDP *c 5%, *** c 1% 10%, ** có ý 52 29 5.6 IV-GMM C (2), (3) (4) 4.6 trình (2), (3) (4) (2) , (3) (4) GDP p (2), (3) (4) , (6,7422), (6,0330) (53,7474) 5% 10% , (3) (4) kê (-1,8414), (-2,8108) có ý 1% 5% , Chami, R et al (2003) Chami, R et al (2008) nh , c 53 , tích , , , , , , Tuy nhiên, K làm gi , âm (27,2084) Chami, R et al (2008) OLS fixed - effects Nyamongo, E et al (2012) Tuy nhiên, riêng GDP , , GDP âm có , log 5% Khi th (3), 54 GDP Cịn hình, GDP , t : log ,t Catrinescu, N et al (2006) , Giuliano, P and Ruiz-Arranz, M (2005) , xed-effects chi ti , 1% Nyamongo, E et al (2012) , , phát cá Theo Nyamongo, E et al (2012) , 55 5.4 Theo Baum, C., 2008, s có : 1: Under-identified: , -GMM 2: Over-identified: , n 3: Exactly-identified: : , (INS) (LREM), 5.4 5.5) y Stata ( -indentified”, 5.3, 56 29 2000-2011 , có : , IV-GMM ng khác , , , , , Bài nghiên vào mơ hình Tuy nhiên, , 57 Bên , ,d q , Giuliano, P and Ruiz-Arranz, M (2006), Catrinescu, N et al (2006), World bank (2006), hay Chami, R et al (2008) ,b (enrolment) (2005), World bank (2006), Nyamongo, E et al (2012) , , , 29 2000-2011 , , , Chami, R et al (2008) 58 khác , theo có , 2000-2011 ( : %) 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 AGO 0.05 0.05 0.06 0.05 0.04 0.02 0.02 0.01 0.01 0.01 0.01 0.01 ARG 0.03 0.07 0.20 0.21 0.20 0.24 0.25 0.23 0.21 0.20 0.17 0.15 BGD 4.33 4.63 6.06 6.17 6.41 7.49 9.00 9.57 11.24 11.81 10.88 11.29 BRA 0.26 0.32 0.48 0.51 0.54 0.40 0.39 0.32 0.31 0.26 0.19 0.19 KHM 3.29 3.32 3.26 2.96 3.32 3.17 4.09 4.08 3.14 3.25 2.86 3.17 CMR 0.32 0.21 0.33 0.55 0.66 0.47 0.72 0.82 0.72 0.82 0.49 0.78 COL 1.61 2.09 2.53 3.25 2.72 2.28 2.42 2.18 2.00 1.79 1.42 1.26 ECU 8.12 6.68 5.82 5.75 5.63 6.66 7.03 6.80 5.22 4.81 4.02 4.08 EGY 2.98 3.21 3.34 4.00 4.22 5.31 4.95 5.79 5.27 3.80 3.33 3.48 GMB 1.79 1.02 1.21 11.10 10.50 9.42 9.72 6.94 6.58 8.80 12.02 10.19 GRD 8.86 8.93 8.74 8.14 11.99 7.36 7.65 7.17 6.65 6.88 6.82 7.08 IND 2.75 2.96 3.12 3.55 2.62 2.64 2.99 3.09 3.86 3.71 3.22 3.05 JOR 21.81 22.41 22.36 21.59 20.42 19.86 19.15 20.07 17.27 15.10 13.78 12.32 LBN 9.49 13.52 13.60 23.95 26.05 22.53 23.18 23.02 23.87 21.81 20.52 19.36 LSO 61.99 56.85 59.31 57.46 50.82 44.11 41.01 39.13 36.67 36.40 34.23 30.84 MYS 0.35 0.38 0.41 0.50 0.62 0.78 0.84 0.80 0.58 0.56 0.53 0.51 MEX 1.18 1.49 1.55 2.38 2.62 2.69 2.80 2.60 2.38 2.50 2.14 2.04 MNG 1.06 1.97 4.03 8.06 10.17 7.15 5.31 4.20 4.01 4.35 4.46 4.12 MAR 5.84 8.64 7.12 7.25 7.41 7.71 8.30 8.95 7.76 6.90 7.07 7.06 NAM 0.24 0.25 0.24 0.25 0.23 0.25 0.21 0.18 0.16 0.15 0.14 0.12 PAK 1.51 2.15 4.77 4.70 4.07 3.92 4.05 4.20 4.84 5.60 5.58 5.84 PAN 0.14 0.62 0.69 0.83 0.77 0.84 0.92 0.91 0.85 1.39 1.53 0.91 PNG 0.21 0.19 0.18 0.19 0.23 0.14 0.08 0.12 0.18 0.15 0.15 0.12 PRY 3.92 4.09 3.96 4.00 3.43 3.60 4.99 3.96 3.48 4.33 3.62 3.43 PHL 8.59 11.50 11.97 12.21 12.55 13.16 12.48 10.91 10.70 11.74 10.74 10.26 ZAF 0.26 0.25 0.26 0.26 0.24 0.27 0.28 0.29 0.30 0.32 0.31 0.30 THA 1.35 1.04 1.03 1.06 0.94 0.63 0.60 0.62 0.65 0.99 1.05 0.59 TUN 3.71 4.20 4.63 4.55 4.59 4.32 4.39 4.41 4.41 4.51 4.66 4.03 VNM 6.42 3.37 5.05 5.31 5.08 5.95 6.24 8.70 7.47 6.19 7.76 6.96 : UNCTAD Baltagi, B., 2005 Econometric Analysi of Panel Data 3rd edition Hoboken, NJ: Wiley Catrinescu, N et al., 2006 Remittances, Institution and Growth Bonn: IZA Discussion Paper No 2139 Baum, C., 2009 Instrumental variables and panel data methods in economics and finance Boston College and DIW Berlin Baum, C., 2008 Using Instrumental variables in economics and finance Boston College and DIW Berlin Baum, C et al., 2003 Instrumental variables and GMM: Estimation and testing The Stata Journal Chami, R et al., 2008 Macroeconomic Consequences of Remittances Occasional Paper No 259, International Monetary Fund Chami, R et al., 2003 Are Immigrant Remittance Flows a Source of Capital for Development? Washington DC: IMF Working Paper 03/189 De Bruyn, T and Wets, J., 2006 Remittances and Development Brussels: Conference Report on Migration and Development, International Organization for Migration Giuliano, P and Ruiz-Arranz, M., 2005 Remittances, Financial Development, and Growth IMF Working Paper No 05/234 10 International Monetary Fund, 2013 World Economic Outlook database 11 International Monetary Fund, 2009 Balance of Payments and International Investment Position Manua Sixth Edition Washington DC: IMF 12 International Monetary Fund, 2009 International Transactions in Remittances: Guide for Compliers and Users 13 International Monetary Fund, 2005 Two Current Issues Facing Developing Countries World Economic Outlook 14 Hassan, G et al., 2012 Nonlinear growth effect of remittances in recipient countries: an econometric analysis of remittances-growth nexus in Bangladesh Australia : The University of Waikato, Massey University, Macquarie University 15 Kenneth, B., 2011 Linear regression models with logarithmic transformations Methodology Institute London School of Economics 16 Nyamongo, E et al., 2012 Remittances, financial development and economic growth in Africa Journal of Economics and Business 17 The World Bank Groups, 2013 World Development Indicators 18 UNCTAD, 2013 World Investment Report 19 World Bank, 2012 Migration and Development Brief 19 20 World Bank, 2011 Migration and remittances factbook 2011 Second edition 21 World Bank, 2006 The Development Impact of Workers’ Remittances in Latin America, Vol 2: Detailed Findings Washington: Report No 37026 Chapter 3, Section V 22 World Bank, 2005 Global Economic Prospects: Economic Implications of Remittances and Migration Washington DC ... ch thành ph c i t g c ng ên GDP Các bi bao ( ), m phát, cán cân log c tri c a lao phát ài Nghiên c sinh heo Rajan Subramanian (2005), , hai công c ( i : ) qu cách qu gia 14 a ( ), m xem qu B... 4.4: Các bi B 4.5: M ình ngu 42 - 2011 43 B 5.1: 46 B 5.2: 47 B 5.3: (2) 48 B 5.4: (3) 49 B 5.5: (4) 50 B 5.6: Ki 51 DANH M Hình 2.1: Các. .. Chami, R et al (2008), tha, 11 V : , , 3.1 Tá ng a ki u h i tr ng kinh t Tích c c v n v t ch t o thu n l i cho ngu n v n ng i Phát tri n tr ng tài Hình 3.1 Tiêu c c " nh h ng a nh Hà Lan" Gián