KIMI Tfe VA ^UA»r t r
DLT BAO HOAT OONG THUtfNG MAI N0( OIA DU'A TREN MO HINH TlT HOI QUY UEC TCf f UARJ
Masd: 98.1GEMg.12
Cao Tuan Khanh Trddng Dai hpc Thuong mai Email: [email protected]
Ngiy nhpn: 30/08/2016 Ngiy nhpn lai: 05/09/2016 Ngiy duypt dang: 19/09/2016 I ) ghien cQu nay tap trung du bao hoat ddng thUdng mai ndi dja trong pham vi lanh thd Viet Nam / v (dai dien la doanh sdban IS hang hda va dich vu tieu dung) dua tren md hinh TQ hoi quy Vec fo (VAR), trong dd cd tinh ddn cac yeu td chinh tic ddng chinh nhd: (I) thu nhip binh quin dau ngudi; (ii) dp md cua nen kinh te; (iii) lam phat va (iv) cung Qng tien.
TQkhda: VAR, thUdng mai ndi dja.
1. Gidi thl#u
Du bao su phat trien cua hoat dpng thuong mai cd vai trd quan trpng trong viec hoach dmh va phdi hdp cac ehinh saeh vT md lien quan den thuong mai, dau tu va hudng phat trien thj trddng hang hda va dich vu npi dja trong tddng lai, Tren the gidi, cd kha nhieu phuong phap va md hinh dinh luong dddc sd dung de du bao cae chi tieu vT mo nhu vay bao gdm: mo hinh trung binh trupt (ARIMA), mo hinh tu hdi quy Vec td (VAR) va cac bien the, md hinh kinh te lupng vT mo (Macro Econometrics Model) hay mo hinh mang than kinh nhan tao,
Trong sd dd, md hinh VAR va eac dang bien the cua nd thudng dupc cac nha nghien cQu sQ dung khi phan tich cung nhu du bao trong trung han, Vdi mot sd it blen trong mo hinh nhung tinh tin cay cua du bao thu dupc lai tdt hon so vdi mot md hinh he phupng trinh ddng thdi cdng kenh nhieu bien va nhieu phUdng trinh. Mat khac, md hinh nay cung ed Uu diem trong viec xay dung cac kich ban chinh saeh.
2. Cd sd ly thuyet md hinh VAR
Trudc nam 1980, nhieu NHTW tren the gidi va cac co quan du bao kinh te vT mo chu yeu sQ dung md hinh he phuong trinh ddng thdi trong cac nghien cQu ve chu ky kinh te va cung tien, Tuy nhien, nhupc diem cua udc lupng he phuong trinh ddng thdi bang phuong phap udc lupng binh phuong nhd nhat la ket qua udc IQpng bi chech ma
khdng vQng (nghTa la ngay khi kich thQdc ma'u tien ra vd cung thi gia tr; Udc lupng cung khdng hpity ve gia tri thuc),
Vdi sQ ra ddi cua ly thuyet tang trudng kinh te npi sinh trong nhQng nam 1980 thudng dUdcgoila Iy thuyet tang trudng kinh te mdi, cac nha kinhte da xem xet cac yeu td npi sinh glQa cae blen kinh te vT md va nhan dmh hau het cac blen kinh te vi mo deu la cac tjien npi sinh va cd mdi quan he qua lai vdi nhau. Trong dd ndi bat la nghien cdu ciJa Sims khi tap trung vao viec phan biet giOa nhOng thay ddi khdng ludng trudc cua cac bien sd nhu gia dau hay lai suat va nhOng thay ddi da lufing trudc de xac dmh tac dpng cua chung ddi vdi cac bien sd vT mo quan trpng, Ong cho rang hau het cac bien sd kinh te, nhat la bien kinh te vT md deu mang tinh npi sinh, nghTa la deu ed tae ddng qua lai vdi nhau, TQ dd, Sims da phat trien md hinh Til hdi quy Vec td (VAR) vdi nhieu bien sd, trong do cac bien sd deu la ndi sinh va ddng vai trd nhtl nhau de phan tich xem nhQng cu sdc tQ mdt bien sd se tac ddng ra sao tdi cac bien sd vT md khac, PhQOng phap cua ong cd tac dpng rat ldn ddi vdl nghien cQu dmh iQpng va la nen tang cho viec ban hanh ehinh sach kinh te den tan ngay nay
Mo hinh VAR la mpt mo hinh kinh te lUcln_g dung de xem xet dpng thai va su phu thupe la'n nhau glQa mpt bien sd theo thdi gian, Trong mo hinh VAR, mdi bien sd ddpc gjai thich bang mot phQdng trinh chQa cac gia tn tre'cua chinh bien so
18 khoa hoc
thifdng'mai So 98/2016
mma TE VA ftFAsr ix
va cac gia tri tre'cua cac bien sd khac.
Md hinh VAR cap p tdng quit cd dang:
Y, = A i Y , , + A , Y . , + . ' t - " 1 ' t-1 "^ ^^2' t-2'^- • • -^ApYf,^-!-s, + Ut Trong dd:
- Ai la ma tran vudng cap m'm, 1=1.2 p; sj =(si,, S2t s^t)
Y bao gdm m bien ngau nhien dQng;
- U( la vec to cac nhieu trang;
- S)^ vec to cac yeu td xac dmh, cd the bao gdm hang sd, xu the tuyen tinh hoac da thdc.
Viet dddi dang toan td trC ta cd:
Yt= (A1L+A2L2+.. .+_ApLP)Y,+s,+u, Md hinh SVAR thong thudng cd dang:
' Ay, = C(L)yt.i + Bu, Trong dd:
- A la mpt ma tran (G x G) cac he sd ddng thdi xac dmh cac mdi quan he ddng thdi giOa G bien trong cung mpt khoang thdi gian
- C(L) = Cg - C,L - CjL^ - .., - CpLP mo ta cac bien dpng tuong tac giQa cac bien (vi du nhu dd tre).
- u, = [ u „ . . . UQ,]' la mpt vec to nhie'u trang (G x 1) dUde dmh nghTa bdi E(u,) = 0; E(u,Us') = £ „ khi t = s va E(u,Us') = 0 trong tnJdng hpp khac.
- B la mpt ma tran (G x G) xac dmh cae mdi quan he ddng thdi trong nhQng cu sdc cau true.
- C(1) = CQ - C, - C2 -... - Cp xac dmh phan Qng dai han cua he thdng vdi mpt cu sdc eau true.
3. Lfng dung mo hinh VAR vao dU bao thUOng mai npi d|a cua Vipt Nam
Cau true mo hinh VAR
Nghien cdu xac dmh eau true bien sd cua md hinh VAR gdm cac nhan td ehi'nh sau:
(i) Ty le thu nhap binh quan dau ngudi: ngudi dan cang cd thu nhap cao hon cang cd dieu kien de tieu thij hang hda va djch vu nhieu hon va vdi gia trj ldn hdn.
(ii) Dd md cua nen kinh te: dupe do bang tdng kim ngach hang hda xuat nhap khau so vdi GDP. Ty le nay cang cad cho thay mQc dp giao thQOng trong nudc vdi qudc te cang ldn
(iv) Tdng phUdng tien thanh toan: quy md thanh toan cua nen kinh te cang ldn ddng nghTa vdi gia tr; hang hda va dich vu thanh toan npi dia cang eao.
Bang 1 •' Cic bien sd trong md hinh VARs
STT 1 Tenbien | N g i d u n g b i S i | Dang bISi | o ^ d a l m a u Bleh ngi sinh
1 2 3 4 5
RETAIL
GDP_CAPITA
OPEN CPI M2
Doanh so ban le hang hoa va djch vu lieu dunq
Gdp binh quan dau ngudi (dai dien cho thu nhap binh quan dau ngudi) Dp md cua nen kinh te Chi so gia tieu dung
Tong phuong tien thanh loan
Logarit cd so tu nhien Logarit co so
tu nhien Logarit cd sd
tu nhien Logarit cd so
tu nhien Logarit cd so
tu nhien
Q4/2006 - Q2/2016 Q4/2006 - Q2/2016 Q4/2006- Q2/2016 Q4/2006 - Q2/2016 Q4/2006 - Q2/2016 Bi&i ngoai sinh
6 c HesochSn
Ve dQ lieu sd dung trong md hinh: dO lieu ve GDP, CPI, dan sd dupe thu thap tQ ngudn Tdng Cue thdng ke; dO lieu ve xuat nhap khau hang hda dupe thu thap tQ Tdng Cue hai quan; dQ lieu M2 dupc thu thap tQ Ngan hang Nha nudc Viet Nam.
Tat ea cac dO lieu sQ dung de Udc lupng md hinh nay deu cd dd dai tQ quy 4/2006 den het quy 2/2016. Cac bien sd de Udc lupng md hinh deu dudi dang Logarit co sd tu nhien.
Sd lupng tre'cua md hinh: cac kiem dinh thdng ke nhu LR, FPE, HQ cho ket qua kiem tra sd tre"
phil hpp la 2, trong khi SC cho ket qua 1 tre'va AIC cho ket qua 2 tre! Do dd, tac gia lua chpn sd tre"tdi uu trong md hinh la 2 (dQa tren sd kiem dmh thdng ke nhieu hon), eu the nhu bang sau:
Bang 2 •' l-V^ cripn dp dai trf tdi Uu
Lag LogL LR FPE AIC SC HQ
200.1074 448.2546 486,5865 512,6383
NA 413.5786 53,23874*
28.94644 l,35e-ll 5,66c-17 2,94c-17*
3.50e-17
-10,83930 -23.23636 -23.97703 -24.03546*
-10,61937 -10.76254 -21.91677* -22.77579 -21.55776 -23.13264*
-20.51653 -22.80726
* indicates lag order selected by the criterion LR: sequential modified LR test statistic (each lest al 5%
(ill) Chi sd gia tieu dung: the hien levci)
mdc gia binh quan eua hang hda tieu ^^- '''"^' prodicuon error dung, do dd mdc gia cang cao thi gia
tri hang hda va dich vu tieu thu trong nudc (theo gia danh nghTa) cung cang ldn.
AIC: Akaike information criterion
SC: Schwar/, information criterion
HQ: Hannan-Quinn information criterion
So 98/2016 l(hoa hoc
thirtmg'mai 19
KIMI Tfe' VA ftuAiy LY J—--—
Ket qua Udc lupng md hinh
L O G ( R E T A I L ) L O G ( G D P _ C A P I T A ) L O G ( O P E N ) LOGCCPI) L O a ( M 2 ) L O G ( R E T A I L ( - l ) )
LOG(RETAIL(-2))
LOG(GDP_CAPITA(-1))
LOGCGDP„CAPlTA(-2))
L O G ( O P E N ( - l ) )
LOG(OPEN(-2))
LOG(CPI(-I))
LOG(CPIC-2))
L O G ( M 2 ( - l ) )
LOG(M2(-2))
0.413172 (0.21514) [ 1.920481
0.085504 (0.22650) [ 0.377501
0.710396 (0.88886) 1 0.799221 -1.446415
(0.74741) [-1.935221 -0.042963 (0.25516) [-0,16838]
-0,118381 (0.25176) [-0.47021]
-1.039916 (0.66234) [-1.57007J 1.843993 (0.59457) [ 3,10137]
0.183259 (0.54247) [ 0.33782]
0.393300 (0.47478) I 0.82838]
-3.21 1784 (2.55427) 1-1.237421 R-squarcd
Adj, R-squarcd Sum sq, resids S,E, equation F-statistic Log likelihood Akailce AIC Schwarz SC Mean dependent S.D, dependent
0,990168 0.986387 0.038279 0.047345 261.8502 66.88766 -3.020934 -2.342033 13.19624 0.405781 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood
Akaike information criterion Schwarz criterion
-0,094747 (0,03031) [-1.87567]
0.035225 (0.05318) I 1.03843]
1.192373 (0.20870) 1 3,71425]
-0.348833 (0.17349) 1-1.98777]
0.070112 (0.03991) [ 1,170281 -0.070927 (0,05911) 1-1.199851 0.310099 (0.13351) [ 1,994031 -0.107293
(0,13960) [-0.76856]
0,089804 (0,12737) [ 0,705061 -0.035324 (0,11148) [-0,31688]
-0,832360 (0,59973) 1-1,421241 0.999507 0,999317 0,003213 0.011 116 5272.078 120,3022 -5,919036 -3,440114 1,906994 0,423507 7 . 7 7 E - I 8 1.33E-18 498.9360 -23,99762 -21,60301
0,217439 (0,13776) I 1.57835J - 0 . 2 7 3 6 7 2
(0,14304) 1-1.88690]
0,486437 (0,36918) [ 0.85463]
- 0 . 4 0 3 2 4 4 (0,47860) [-0.84673]
1.089488 (0.16339) [ 6.66809]
- 0 . 4 3 6 8 8 3 (0,16121) 1-2.83400]
0,730847 (0,42412) I 1.72320]
-0,893377 (0,38073) [-2,35226]
0,049216 (0,34737) [ 0,14168]
0.058349 (0.30402) [ 0,192581 1,327934 (1,63360) I 0.93417]
0,874483 0,826208 0,023897 0.030317 18.11438 83.38048 -3,912458 -3,433337 5,069312 0,072722
0.019111 (0.06327) I 0,29281]
0,156163 (0,06871) [ 2.27269]
0.473138 (0.26965) [ 1.75462]
-0.398769 (0.22674) [-1.75869]
0 . 0 7 8 7 1 0 ( 0 , 0 7 7 4 1 ) [ 1.01684]
- 0 . 0 4 3 1 1 7 ( 0 . 0 7 6 3 8 ) 1-0.59072]
1,148094 ( 0 . 2 0 0 9 3 ) I 5.71384[
- 0 , 3 6 9 4 7 0 ( 0 . 1 8 0 3 7 ) [-3.15716]
0.192491 (0.16457) [ 1,16966]
-0.203663 (0.14403) [-1.41400J -0,626954 (0,77488) [-0.80910]
0.997341 0,996318 0,003364 0,014363 975,2109 111.0216 -5.406373 -4,927652 4.372511 0,236710
0.069903 (0.10364) I 0.66173]
-0,066053 (0.11121) (-0,59392) -0,357084
(0,43643) [-0,81816]
0,378237 (0,36699) [ 1.03064]
0.070208 (0.12529) [ 0,36038]
0,015270 (0.12362) [ 0.12352]
-0.618263 (0,32522) [-1,90107]
0,646755 (0.29194) [ 2.21533]
0.648613 (0.26636) [ 2.43507]
0.271339 (0.23312) [ 1.16478]
0,625606 (1.25418) r 0.49881]
0,998535 0.997972 0,014051 0.023247 1772.410 93.20497 -4.443512 -3.964591 14.87767 0,316197
20 lihoa hoc thifOng'mai
So 98/2016
nsma Ti) VA ftuAsr ix
Mpt so ket qui Idem dinh mo hinh - Md hmh thda man yeu cau ve tlnh dn djnh:
Root Modulus
0.972778 0.929364 0.929364 0.800641 0.800641 0.451315 0.451315 0.015752 0.015752 -0.519415 -0.519415 0.047328 0.047328 -0.057258 -0.057258
-0.153029i -1- 0.1530291 - 0.3822101 -1-0.3822101 - 0.7446281 -t 0.7446281 - 0.7666941 + 0.766694!
-0.3891861 + 0.3 891861 -0.4241501 -^ 0.4241501
-0.2951301 -1-0.2951301
0 972778 0.941879 0.941879 0.887193 0.887193 0.870721 0.870721 0.766856 0.766856 0.649043 0.649043 0.426782 0.426782 0.300634 0.300634
• Md hinh khdng cd tuang quan ehudi
V A R Residual Serial Correlation L M Tests Null Hypothesis: n o serial correlation at lag order h
Date: 09/25/16 T i m e : 22:29 Sample: 2 0 0 6 Q 4 2 0 1 6 Q 2 Included observations: 36
No root lies outside the unit circle.
VAR satisfies the stability condition.
Nhu vay, md hinh da vupt qua dupe mdt sd kiem dmh cd ban nen
cd the Qng dung cho - . , phan tich va dQ bao. « •<<^-
Ket qua du bao:
- DQ bao trong ma'u So sanh ket qua du bao trong ma'u va « ''
dieh bien thue te ^ , ^ trong qua khd tai Hinh " '' ^ _ 1 . . _ " "
1 cho thay mo hinh ed -~ ' " " " ' kha nang du bao cua • ' ' ' • — ~ md hinh cd the chap '-« <.
nhan dupe ddi v d i , . . . . ; bien sd retail, M2, ..^. ,!
GDP_capita. T i n h ' ^ ' J . / ' ' toan cu the kha nang ' " " j ^^-"^
md phdng cua md " " ; -.^-^"^
hinh dua tren cac •'•"';.-.--.;,---,-,;--...---.^-;-—,--,j;
phudng phap MAPE, — - — j ^ MAE, RMSE, Theil _ ^ J Z Z Z Z f (bang 3) cho thay sai ' " '
lech giQa sd lieu thuc ^ ^ j
te va sd lieu du bao .„ ,j , ^ cung khdng qua Idn. r*«J . ,, -^
Oieu nay chdng td mo . -: J hinh cd the sQ dung •
cho du bao doanh sd "
ban le hang hda va "
djch vu tieu dung (retail) ngoai ma'u.
Lags 1 2 3 4 5 6 7 g 9 10 11 12 Probs from chi
LM-Stat 33,36659 38.50014 29,99565 19.74841 2 9 . 4 3 2 5 6 21.62452 2 2 . 1 4 7 2 7 16.25778 15.49158 14.66451 13.12200 27.30960 square with 2 5 df.
Prob 0.1222 0.4413 0.2245 0.7399 0.2462 0.6573 0.6272 0.9069 0.9291 0.9489 0.9750 0.3406
IZ •
Hinh 1; Kdt qua du bio trong ma'u md hinh
So 98/2016
-ithoa hoc
thifdng'mai 21
l U M I TE VA QUAST TY
Bang 3 j^g^ q^g tmh toan sai sd du bio trong mau cua md hinh Forecast:
Actual:
Forecast sample:
Root Mean Squared Error:
Mean Absolute Error:
Mean Abs, Percent Error:
rheil Inequality Coefficient;
CPI f CPI 2007Q3 20I6Q2 2,485634 2,239839 2.801445 0.014818
GDP CAPITA f GDP CAPITA
2007Q3 20I6Q2 0,239354 0,187788 2,564866 0,015137
M2 f M2 2007Q3 2016Q2 76157,32 57377,03 1,890752 0,010400
OPEN f OPEN 2007Q3 2016Q2 8,625226 6,888733 4,371348 0.026937
RETAIL f RETAIL 2007Q3 2016Q2 27357,65 19635.40 3,261692 0,022061 Du bao ngoii mau
Forecast:
Actual:
Forecast sample:
tUob^- Ket qua du bao ngoai mau md hinh
1-, Kdt qua tlnh toan sai sd du bao ngoai mau cua md hinh
Root Mean Squared Eiror:
Mean Absolute Error:
Mean Abs, Percent Error:
rheil Inequality Coefficient:
CPI f CPI 2007Q2 20I8Q2
3.I95I37 2,890857 3,623736 0,019229
GDP CAPITA f GDP CAPITA 2007Q2 20I8Q2 0,306173 0,242498 3,337070 0,019610 Ket qua du bao CPI, GDP binh quan dau ngudi, M2 va doanh sd ban le hang hda qiai doan 2017-2020 theo md hinh VAR
lihoa hoc
22 thifdngmai -
M2 f M2 2007Q2 20I8Q2
75139,50 56625,32 1,934859 0,010386
OPEN f OPEN 2007Q2 2018O2
10,38487 7,987971 5,044915 0.032458
RETAIL f RETAIL 2007Q2 2018Q2
30898,11 24295,63 4,191307 0,025233
So 98/2016
ll W | M n
KHKH TE VA ftUA^ IX
Bang 5; Kdt qua du bao tdc dp ting tnidng den 2020 thuc sd phu hpp va can cai thien de Udc lupng (% so vdi eung ky nim trudc)
201701 2017Q2 2017Q3 2017Q4 201801 201802 201803 2018O4 201901 2019O2 2019O3 201904 2020Q1 2020Q2 2020Q3
^02004 CPI 4.91 4.85 4.78 4.71 4.62 4.54 4,45 4.35 4,25 4 15 4.05 3.95 3.85 3.75 3.65 3.56
GDP CAPITA 9.36 9.19 9.02 8.86 8.70 8.53 8.37 8.21 8.04 7.87 7.71 7.54 7.38 7.21 7.05 6.88
M2 13.46 13.11 12.78 12.46 12.15 11.85 11.56 11.28 11.01 10.75 10.50 10.26 10-02 9.79 9 5 7 9.35
OPEN 2.05 1.94 1.84 1.74 1.65 1.56 1.48 1.42 1.36 1 31 126 123 1.20 1.17 1.15 1.13
RETAIL 9.01 8.88 8.73 8.57 8.41 8.23 8.04 7.85 7.66 7.47 7.27 7.08 6.89 6.70 6.52 6.34
4. Mo hinh OLS udc Iddng doanh so' ban le.
hang hda va d|ch vu tieu dung Ket qui Udc lupng md hinh:
Mpt so tian chd cua md hinh:
Dependent Variable: L0G(RETA1L) Method: Least Squares
Date-09/08/16 Time" 09:58 Sample (adjusted): 2005Q4 2016Q2 Included obse^^'ations• 43 after adjustments
Variable C L0G(GDP POPU)
L0G(0PENESS) LOG(CPI) L0G(M2) R-squared Adjusted R-squaied S.E. of regression Sum squared resid Log likelihood F-staUstic Prob(F-statistic)
Coefficient 2.530752 -0.314834 -0.386751 1.235495 0.326387 0.986696 0.985296 0.064809 0.159610 59.30441 704.5691 0.000000
Std. Error 0.676378 0.102051 0.111348 0.206874 0.091723 Mean dependent var S.D- dependent var Akaike info criterion Sch\\ar2cnterion Hannan-Quinn criter Durbin-U'atson stat
t-Statisl!c 3.741621 -3.085051 -3.473352 5.972218 5.738854
Prob.
O0006 0.0038 0.0013 0.0000 0.0000 13.04590 0 534458 -2-525787 -2.320996 -2-450266 0.548617
-I- He sd Udc lupng ddi vdi bien sd log (GDP_popu) va log(openess) mang dau am la khdng phu hpp xet ve mdi quan he kinh te.
+ Mo hinli cd R2 cao (0.986696) nhung van tdn tai tiJ tuong quan (the hien qua thdng ke Durbin-Watson), do dd cac ket qua tinh toan khoang tin cay cd the bi sai lech.
Vdi cac ly do tren cho thay md hinh khong
chinh xac hOn va VAR la md hinh thich hpp.
Ket lu$n:
Xac lap mdt mo hinh hdi quy cang nhieu bien tudng nhu la cang ehinh xac nhung lai gap nhieu khd khan ve co sd dO lieu theo day thdi gian du dai; tin cay va thdng nhat. Nghien cdu cho thay viec van dung pooled OLS hoac FEM, REM de phan tich mdc dp, chieu hudng tac dpng cua cac bien quan sat den tong mdc luan chuyen hang hda ban le va doanh thu djch vu ban le xa hpi la khong thifc su phu hpp.
Nghien cdu nay da van dung va kiem dmh md hinh VAR cho thay tinh piiu hpp, kha giai thich va kha du b a o . *
1 H.Mano, R.Oliver (1993), Assessing DImmensionality and Structure of the Comsumption Experience, J. Consumer Research Vol. 20.
2. N.Shelth, B, Newman, B.Gross (1991), Why we buy what me buy: "Theory and Prognostic Models of Consumption Values", J of Business Research, Vol 22.
3. S.Amstrong (2001), Principles for Forecasting: A Handbook for Researchers and Practitioners, Kiumer Academic Publisher.
4. L.Hughes (2002), Econometries Take Root, J. of Advertising Age, Ang.5.2002.
5. G.lilien, R Kotier, K. Moorthy (1992), Marketing Moelels, Upper Saddle River, Prentice Hall, New Jersey.
6. Nguyeh Bach Khoa, Cao Tuan Khanh (2014), Marketing Thuang mai, NXB Thong ke.
7. Nguyen Bach Khoa (1992), Bai tip Td chde va Ky thuat Thuang nghiep, NXB Thdng ke.
Summary
The study focuses on prognosing the retailing saile of consumption goods and serice in Vietnam domestic markets based on VAR model with the main affecting factors such as: average GDP/persion, the economy openness.
So 98/2016
_lihoa hoc 'thiAAigmai
