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Unformatted text preview: ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE CONFERENCE PROCEEDINGS - 1 ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE 2 - CONFERENCE PROCEEDINGS ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE MỤC LỤC TT Tên bài Tác giả Trang PART 1: APPLICATIONS IN ECONOMICS 1 Inflation threshold and economic development in developing countries Dat Thanh Nguyen Viet Anh Hoang Tien Huu Ho 11 2 The impact of short-term debt on accruals based - Arnings management Evidence from Vietnam Liem Thanh Nguyen 25 3 Land policy reform and its’ welfare distributional impacts in Vietnam Cuong Tat Do Anh Ngoc Thi Ngo 39 4 Natural disasters and household’s health: A case study of rural Vietnam Thang T. Vo Kim M. Le 57 5 The impact of public and private governance institutions on foreign direct investment inflows in southeast asia countries: Approach from dynamic panel estimation Nguyen Thi My Hanh 83 6 An analysis of meat and fish demand by vietnamese households segmented by income Pham Thanh Thai 101 7 Panel data analysis of factors affecting employee compensation in Vietnam Nguyễn Minh Thu 117 8 The social health insurance in Vietnam: A panel data analysis Le Thi Nhu Quynh Hoang Thi Thu Hang 131 9 The impact of health insurance ownership on the demand for healthcare services in Vietnam Truong Anh Tuan 155 CONFERENCE PROCEEDINGS - 3 ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE 10 Phân tích đặc điểm cầu tiêu dùng của thị trường nội địa cho mặt hàng tôm tại Việt Nam ThS. Trương Ngọc Phong 173 TS. Phạm Thành Thái Analysis of domestic demand for shrimp in Vietnam 11 Ứng dụng mô hình dữ liệu hỗn hợp và các biến tài chính trong dự báo tăng trưởng kinh tế Việt Nam Đinh Thị Thu Hồng Lê Tuấn Anh 193 12 Tác động của các nhân tố đến tăng trưởng năng suất lao động của Việt Nam Trần Thị Thanh Hương 215 13 Mối quan hệ giữa chi tiêu công và một số chỉ tiêu kinh tế xã hội tại Thành phố Hồ Chí Minh Nguyễn Huy Hoàng Nguyễn Văn Phong Nguyễn Trung Đông 237 14 Sở hữu đất và vai trò của sở hữu đất lên hiệu quả sản xuất nông nghiệp: Trường hợp sản xuất lúa ở Việt Nam Kiều Nguyệt Kim 161 15 Đánh giá một số yếu tác động đến các khoản thu tài chính từ đất đai tại huyện Yên Khánh, tỉnh Ninh Bình Phạm Phương Nam 279 16 Kiểm định hiệu ứng kỳ thị tại thị trường nhà ở Việt Nam Nguyễn Thị Bích Hồng Trương Thành Hiệp 295 Nguyễn Thị Minh PART 2: APPLICATIONS IN FINANCE 17 The impact of financial distress, lifecycle on corporate asset and operational restructuring The likelihood of recovery Thi Cam Ha Huynh Thi Uyen Uyen Nguyen 323 18 Revisiting the empirical linkages between stock returns and trading volume: Evidence from thailand stock exchange Tran Nhu Quan Le Thi Thuy Chanchai Pattanathummasid 341 4 - CONFERENCE PROCEEDINGS ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE 19 Research framework for the impact of technology management on competitive advantage: The mediating role of innovation performance Nguyễn Văn Cang 357 20 An incentive for risk taking: The case of banks in Asean 6 Minh Le Thanh Ngo Tra Ngo 371 21 Estimating lgd for listed companies on the hose - Structural model approach Hoang Duc Manh Vu Duy Thanh Chu Thi Luong 391 22 Ownership, technology gap and technical efficiency of small and medium manufacturing firms in vietnam: A stochastic meta frontier approach Trần Thị Vân Hoa Nguyen Thi Minh Nguyễn Thị Minh Ngọc Bùi Dương Hải 403 23 Ảnh hưởng của tốc độ điều chỉnh tỷ lệ tiền mặt về mức tối ưu lên giá trị doanh nghiệp trong dài hạn Hoàng Thị Phương Anh Trương Trung Tài 415 24 Mô hình đo lường biến động thị trường chứng khoán dựa trên biên độ giá Ngô Văn Thứ 431 25 Mô hình định lượng phân tích nhân tố tác động đến rủi ro tín dụng của các ngân hàng thương mại Việt Nam Trần Thị Mộng Tuyết Nguyễn Ngọc Minh Thư 445 26 Ứng dụng biểu đồ xương cá (fishbone diagram) trong quản trị rủi ro tài chính của doanh nghiệp Nguyễn Lê Đình Quý Lê Phúc Minh Chuyên 469 27 Ảnh hưởng của can thiệp chính phủ đến thành quả hoạt động của các doanh nghiệp niêm yết tại Việt Nam Lương Thị Thảo 477 28 Định giá rủi ro thanh khoản hệ thống trên thị trường chứng khoán Việt Nam Võ Hoàng Oanh 504 CONFERENCE PROCEEDINGS - 5 ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE 29 Sử dụng phương pháp entropy để đo lường hiệu quả thông tin của thị trường chứng khoán - Một nghiên cứu thực nghiệm ở thị trường chứng khoán Việt Nam Nguyễn Thị Thảo Nguyễn Thị Hà Giang Nguyễn Thị Minh Ngọc 515 30 Các nhân tố ảnh hưởng đến hiệu quả hoạt động của các ngân hàng thương mại Việt Nam - Sử dụng phương pháp FEM, REM Nguyễn Tuyết Khanh 527 31 Ứng dụng mô hình độ trễ phân phối tự hồi quy (ARDL) trong lĩnh vực tài chính Nghiên cứu trường hợp hiệu ứng của cải trên thị trường bất động sản Việt Nam Bùi Ngọc Toản 541 PART 3: BUSINESS STATISTICS AND OTHERS 32 Application of structural equation modeling using partial least squares in order to study startup performance of small and medium entreprises (SMES) in Tien Giang province Nhan Vo Kim Nguyen Thanh Vu Nguyen Thanh An 559 33 Towards an understanding of individuals’ subjective career success Tran Ha Quyen 581 34 Applying the baysesian model averaging to detect factors affecting to economic growth: The case of Vietnam Thi Ngoc Mien Nguyen 605 35 Phương pháp đánh giá và đo lường bộ tiêu chí chất lượng thống kê Việt Nam Hà Mạnh Hùng 617 36 Ưu điểm của mô hình cấu trúc tuyến tính (SEM) so với mô hình hồi quy -Hàm ý cho việc lựa chọn kỹ thuật phân tích dữ liệu định lượng trong thực hiện Mai Thị Hoàng Minh Vũ Kiến Phúc 627 6 - CONFERENCE PROCEEDINGS ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE 37 Đo lường ảnh hưởng của các nhân tố đến đến ý định và quyết định sử dụng thẻ ngân hàng Lê Dân Phạm Nguyễn Thị Hoàng Hoa 669 38 Mạng xã hội: Sự hình thành và duy trì vốn xã hội trong thế giới phẳng Hà Văn Sơn Chu Nguyễn Mộng Ngọc Nguyễn Anh Lộc 679 39 Giới thiệu phương pháp phân tích thành phần chính và ứng dụng trong nghiên cứu mức độ hài lòng của khách hàng về chất lượng dịch vụ nước sạch ở Hà Nội Đỗ Văn Huân Nguyễn Thị Thu 697 40 Ảnh hưởng của hình ảnh quốc gia xuất xứ đến chất lượng cảm nhận và trung thành thương hiệu: Trường hợp thị trường trang phục thể thao Việt Nam Trương Bá Thanh Nguyễn Hoàng Ngân Trần Thị Kim Phương Trần Trung Vinh 719 41 Kết hợp các phương pháp phân tích thống kê đa biến trong phân tích chất lượng dịch vụ khách sạn Cao Quốc Quang 737 42 Ứng dụng phương pháp mô phỏng trong xác định năng lực phục vụ hàng chờ: Nghiên cứu thực nghiệm đối với thiết bị ATM Nguyễn Huy Tuân 757 43 Nghiên cứu hiện trạng và các yếu tố ảnh hưởng đến ý định mua hàng online của khách hàng trên địa bàn Thành phố Hồ Chí Minh Võ Thị Lan Nguyễn Thị Hồng Phúc 781 44 Những yếu tố ảnh hưởng đến quyết định lựa chọn dịch vụ mạng internet băng thông rộng của cá nhân/hộ gia đình tại TP.HCM Võ Thị Lan Nguyễn Bá Hoàng 809 45 Xây dựng chỉ số tổng hợp mới về sự hài lòng của người học với hoạt động đào tạo đại học Phạm Thị Mai Anh 833 CONFERENCE PROCEEDINGS - 7 ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE 46 Ứng dụng qui trình khai phá dữ liệu trong đo lường mức độ hài lòng về chất lượng dịch vụ khám chữa bệnh Lê Dân 849 47 Phân tích đa tiêu chí và định hướng ứng dụng trong phân tích kinh tế xã hội Nguyễn Thị Xuân Mai 859 48 Hiệu quả của các mô hình học máy trong xếp hạng tín dụng – Nghiên cứu thực nghiệm tại Việt Nam Phạm Thị Nga 877 49 Bàn về phương pháp thu thập thông tin khách du lịch nội địa ở Việt Nam Trần Thị Nga 897 50 Nghiên cứu yếu tố ảnh hưởng đến việc lập kế hoạch tài chính cho nghỉ hưu Nguyễn Thảo Nguyên 915 51 Các yếu tố ảnh hưởng đến sự lựa chọn siêu thị nội của người tiêu dùng Thành phố Hồ Chí Minh Hoàng Trọng Lê Đức Thịnh Nguyễn Thị Mai Trâm 933 52 Quản trị quốc gia khởi nghiệp: Các chỉ số toàn cầu và hàm ý quản trị Tạ Thị Kiều An Trần Hùng Mạnh 951 53 Nghiên cứu phương pháp phân tích bao dữ liệu (Data Envelopment Analysis) Trần Ngọc Thùy Dung 969 8 - CONFERENCE PROCEEDINGS ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE PART 1: APPLICATIONS IN ECONOMICS CONFERENCE PROCEEDINGS - 9 ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE 10 - CONFERENCE PROCEEDINGS ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE INFLATION THRESHOLD AND ECONOMIC DEVELOPMENT IN DEVELOPING COUNTRIES Dat Thanh Nguyen 1 Viet Anh Hoang Tien Huu Ho Abstract In this study, we investigate the effects of public debt, investment, public expenditure, trade openness and population growth on per capita GDP growth rate in 72 developing countries during the period of 2000 to 2016. We assume that these effects may be impacted by the value of inflation rate. Employing Hansen’s (1999) approach the paper shows that there exists an inflation threshold which takes a value of 8.3 percent. The direction of the effects of public debt, investment, public expenditure, trade openness and population growth are consistent in both low inflation and high inflation regimes. Specifically, in high inflation environment, investment and trade openness are less effective on economic growth, while the negative effects of public debt and public expenditure are stronger. In other words, the economic growth is dwarfed by high inflation via its indirect effects through several economic factors such as public debt, investment public expenditure, trade openness and population growth. Keywords: Economic growth, inflation threshold, developing countries. 1. INTRODUCTION Inflation has always been a topic that has received special attention from researchers and policymakers, especially those in developing countries. A high inflation rate obviously causes uncertainty that hinders the incentive of investment, other economic activities and therefore impedes economic efficiency. However, there is a common consensus that a moderate inflation rate helps economic growth via trade channel as a sufficient inflation helps to maintain a low exchange rate. In addition, a moderate inflation rate creates a sufficient room for central bank to manipulate interest rate and keep the economy away from deflation trap. This consensus raises 1 Faculty of Banking, University of Economics – The University of Danang; corresponding author: [email protected] CONFERENCE PROCEEDINGS - 11 ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE one interesting question “How much inflation is too much?” That is, at which rate inflation start to hinder economic growth? This paper attempts to estimate the threshold level of inflation in developing countries using a sufficient data set includes 72 countries in the time period from 2000 to 2016. There is a considerable amount of literature on the effect of inflation on economic growth. Many studies suggest that inflation negatively affect economic growth rate. For example, Thirlwall and Barton (1971) report a negative relationship in a cross section of developing countries. Lately, Fischer (1993) notes that high inflation is obviously not good for sustained economic growth, but even a low inflation rate also reduces investment and productivity growth. In a study of Organization for Economic Cooperation and Development (OECD), Alexander (1997) also finds a strong negative relationship between inflation and growth rate off per capita GDP. This result is echoed by Gillman, Harris and Matyas (2002) who indicate that a disinflation from high and medium levels has a significant impact on economic growth. In contrast, there are a few studies show that inflation has positive effect on economic development. The early work of Thirlwall and Barton (1971) reports this positive relationship in industrial countries. Similarly, Mallik and Chowdhury (2001) show that inflation has a positive relationship with economic growth in a study of four South Asian countries (Bangladesh, India, Pakistan, and Sri Lanka). Another strand of literature believes that the relationship between inflation and economic growth is nonlinear. In other words, there exist some thresholds at which the inflation’s coefficient changes its values, or even its sign. Bruno and Easterly (1996) find a low inflation, below 40 percent, has no effect on growth, but the economic development is harmed if inflation is above the 40 percent threshold. On the other hand, Ghosh and Phillips (1998) find the sign of inflation impact on economic growth changes its sign from low inflation to high inflation. In fact, while the economy accelerates under low inflation condition, a high rate of inflation reverses this trend and reduces the economic growth. Similarly, Nell (2000) suggests that inflation which is under 10 percent helps the economic growth, however growth is slower if inflation is in double digit zone. On the same trend, in a study using a sample of 140 developing countries and developed countries, Khan and Senhadji (2001) supports the existence of inflation threshold beyond which the inflation starts to have negative effect on economic development. In details, in developed countries the inflation threshold is 1-3 percent whilst that threshold in developing countries is 12 - CONFERENCE PROCEEDINGS ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE 7-11 percent. This study follows the suggestions of the later literature stand that there exists a threshold in the relationship of inflation and economic growth. We conduct an empirical study employing a sample of 72 developing countries around the world during the period of 2000 to 2016. First, we run a preliminary regression on the relationship between various economic factors, including public debt, investment, public expenditure, trade openness and population growth rate, and economic growth in these countries without controlling for inflation rate. Then, in order to estimate the inflation threshold, we employ Hansen’s (1999) approach and use this threshold to re-estimate the effects of these variables on growth under the existent of an inflation threshold. Our analysis shows that there exists an inflation threshold which takes a value of 8.3 percent. The direction of the effects of public debt, investment, public expenditure, trade openness and population growth remain the same across both low inflation and high inflation regimes. In details, we show that public debt and public expenditure have negative impact on economic growth. On the other hand, investment and trade openness have positive effect on growth. However, the sizes of effects are different between the two inflation regimes. Under high inflation environment, investment and trade openness are less effective on economic growth, while the negative effects of public debt and public expenditure are stronger. In addition, we find that population growth is not statistically significant under all regimes. The remainder of this paper is organised as followed. In the next section, we describe our data and methodology. Section 3 discusses our empirical results. Finally, section 4 sets our conclusion. 2. DATA AND METHODOLOGY 2.1. Data This study uses the World Bank's secondary data from 2000 to 2016 which includes 72 developing countries.2 The list of developing countries is based on data from the International Monetary Fund (IMF) and the World Bank. The choice of country and study stage is mainly based on the availability of data for the variables of the model. 2 See Appendix 1 CONFERENCE PROCEEDINGS - 13 ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE The final sample consisted of 1,224 observations. The variables used in the model are: Per capita GDP growth rate (%), public debt ratio of total GDP (%), annual average inflation rate (%), public expenditures as a percentage of GDP (%), share of total investment in GDP (%), and trade openness as a share of total imports and exports in GDP (%). 2.2. Threshold estimation Following Hansen (1999), we briefly describe the threshold regression technique using in our paper. Given a panel { yit , qit , xit : 1 i n,1 t T } . With i is an individual index and t is time index. While the dependent variable y it and the threshold variable are scalars, xit is k vector of independent variables. The interested equation is presented as followed: yit i xit I qit 2 xit I qit eit , where i is the individual fixed effect, eit 0, 2 (1) is error term. There exists two regimes with different coefficient 1 and 2 which are applied when the threshold variable q it is less than or equal to the threshold parameter and greater than it respectively. I . is an indicator function. By taking average of (1) over the time index t yields yi i xi ei , (2) where yi T1 Tt1yit , similar intuition is applied to other variables. Taking the difference between (1) and (2) provides: yit xit eit , where yit yit yi , and similar definitions are applied to other variables. Combining all observations, we have: y X e . (3) Given , the estimator of is: ) X X The vector of residuals is: 14 - CONFERENCE PROCEEDINGS 1 X y . (4) ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE ) ) e y X , (5) and the sum of squared errors is: ) ) S1 e e . (6) Thus, the least square estimator of is: ) arg min S1 . (7) The estimation of slope coefficient is . The residual vector is e e ) ) ) ) ) ) and its variance is: )2 ) 1 ) ) 1 e e S1 . nT nT (8) The estimation of is the solution of minimization problem (3). The sum of squared error function S1 is a steps function which depends on via the indicator function I qit . The maximum number of steps of this function is N nT steps which occur at different values of the threshold variable q it . Therefore, this minimization problem is simply the problem of searching the value of in the sample of q it . The minimization problem is solved by following steps. First, the distinct values of threshold variable q it are sorted. Then, the smallest and largest values are winsorized ) and the remained N values are used to search for . Regression of (4) is estimated using each of these N values, and the sum of squared errors in (5) is estimated ) accordingly. The estimated value is the one which yield minimum value of sum of squared errors. In practice, for simplicity, the search of may be reduced into specific quantiles, i.e. integer valued. After achieving the value of threshold, it is necessary to test whether it is statistically significant. The hypothesis is: H 0 : 1 2 , H1 : 1 2 . Under the null hypothesis, the model is: CONFERENCE PROCEEDINGS - 15 ECONOMETRICS AND STATISTICAL METHODS – APPLICATIONS IN ECONOMICS AND FINANCE yit i 1 xit eit , (9) yit 1 xit eit , (10) which yields: after the fixed effect transformation. Using OLS estimation, the estimated parameter ) ) ) ) 1 , residuals eit and the sum of squared errors S0 e e are achieved. The test of H0 is based on: ) ) S0 S1 S0 S1 F1 , ) )2 S1 / nT (11) which has a nonstandard asymptotic distribution. Since, there is a problem of nuisance parameter because the threshold is not identified under H 0 , the standard inferences are not applicable. Because of that, a bootstrapping procedure should be used. This procedure is described as followed. Under first step, the model under H1 ) is fitted and the residual eit is obtained. Then, the new residual v it is obtained by ) drawing eit with replacement. In the third step, a new series is generated yit xit vit where can take any values. The model under H 0 and H1 are fitted and F statistic is computed using (11). This process is repeated for B times, and the p value of F is the proportion of F F1 in B . We reject the null hypothesis if p -value is smaller the assigned significant value. 2.3. Regression model In this paper, firstly a preliminary regression is estimated: Growthit i xi , t 1 eit , (12) where Growthit is economic development variable which is measured by...
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