ăm 1978 Currency substitution, flexible exchange rates and monetary independence.. 1977 A model of exchange rate determination under currency substitution and rational expectations Gu
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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
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5: 64
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e 65
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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
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– 2015 28 – 2015 29 – 2015 29
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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
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t c m r ng cho t t c ng peso c a khu v ( khi
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Trang 23ầ ầ ữ
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“F z L A ” Re Nozaki (2006), “D z f : C ” e ( ) “ f D z ” ( )
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ăm
1978
Currency substitution, flexible
exchange rates and monetary
independence
1977
A model of exchange rate
determination under currency
substitution and rational
expectations
Guillermo A Calvo
Carlos Alfredo Rodriguez
- G
2006
Financial dollarization:
evaluating the consequences
Eduardo Levy Yeyati
- Nhu ầ ổ
-
-
Trang 33-
ầ ầ
2003 Financial dollarization
Alain Ize
Eduardo Levy Yeyati
-
-
2005
Dollarization of bank deposits:
Causes and consequences
Trang 34trong m ng l
- S b t ổ nh v n kinh t b
-
- ổ
ầ
1992
The pattern of currency
substitution in Latin America: an
overview
Miguel A Savastano - ổ
2009
Dollarization, exchange rate
-
-
Trang 352011
Political institutions and
property rights: veto players and
foreign exchange commitments
in 127 countries
Stephen J Weymouth
-
- ữ
2006
Comment on Financial
De-Dollarization: Is it for Real
(Alain Ize and Eduardo Levy
Yeyati)
Roberto Chang
- e
Trang 362012
Financial dollarization and
systemic risks: New empirical
-
Trang 39– – ( )
ầ N
ặ u
Trang 403.2.2
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
Trang 41
27 – 2015
e
W e
Trang 42
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
Trang 43( 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
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
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
Dollarized deposits(t) = α0 + α1Dollarized deposits(t-1) + α2Debt/PIB(t) +
α3Debt/PIB(t-1) + α4Dept_grade(t) + α5Dept_grade(t-1) + α6Speculative grade +
α7Regulatory quality(t) + α8Regulatory quality(t-1) + α9US interest rate (4)
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
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
Trang 44STT
deposits
ổ ( ) e e e ( ) (2008)
+
e ữ ( )
+
Trang 45+
11 Initial per capita
Trang 47-
- ầ ầ
Trang 48
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
- Dữ li u b n nhi u qu c gia theo th i gian, mỗi qu c gia l ữ ặ thu ng
Trang 49xu t b W e ( ) e ( )
Trang 50Hi 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
Trang 52b 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:
Trang 53
i i, y i n ph thu c, x i c l p, phầ s ng s
( )
V i x, y, n c t 𝑛 × N u x i ̂ ữ c l i
( )
s ng bi ph bi n gi ( ≥ )
Trang 54u ki n m t bi c ch quan v i phầ
β u ki n moment ( ( )) ầ ng 0 nh
ni ầ c hi nh t, kho c
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