Professional Documents
Culture Documents
Nguyen Phi Lan
Nguyen Phi Lan
Nguyen Phi Lan
lng
Nguyn Phi Ln1
1. Li m u
V mt l thuyt kinh t, chnh sch tin t c xem l mt cng
c chnh sch quan trng nhm tc ng n nn kinh t t c cc
mc tiu nh n nh kinh t v m v kim sot gi c. Tc ng ca
chnh sch tin t lun c th hin r nt v c uy lc ti nn kinh t
ni chung v th trng ti chnh ni ring so vi nhiu chnh sch kinh t
v m khc trong sut qu trnh vn hnh ca nn kinh t, c bit l
trong ngn hn, thng qua cc ch tiu tin t nh: cung tin M2, tn
dng, li sut v t gi hi oi, m mc tiu cui cng ca cng tc iu
hnh chnh sch tin t l tc ng n th trng tin t, hot ng kinh
t v mc gi c trong nn kinh t.
V vy, c mt chnh sch tin t ph hp, i hi cc nh
hoch nh chnh sch phi c mt s hiu bit r rng v c ch truyn
dn tin t v tm quan trng ca cc knh truyn dn khc nhau nh tn
dng, li sut v t gi hi oi... v nh hng ca cc knh truyn dn
ny n cc khu vc ca nn kinh t, c bit l khu vc sn xut.
Kuttner v Mosser (2002) v Clinton v Engert (2000) ch ra rng,
hiu qu ca chnh sch tin t ph thuc rt nhiu vo kh nng ca cc
nh hoch nh chnh sch c th nh gi chnh xc v thi im v hiu
qu ca vic iu hnh chnh sch tin t thng qua cc knh truyn dn
s tc ng nh th no ti hot ng kinh t v kim sot gi c.
K t sau khng hong ti chnh khu vc nm 1997, Vit Nam
cng vi cc nc trong khu vc tin hnh nhng thay i mnh m
1
(1)
(2)
or
Yt = B1Yt 1 + B2Yt 2 + ... + B p Yt p + vt
1 1
vA0 ( A01 ) v
2
(3)
Vit tt
Ngun
WCPI
USSL
1998: 1-2009: 12
1998: 1-2009: 12
IFS-IMF
IFS-IMF
USCPI
USLS
1998: 1-2009: 12
1998: 1-2009: 12
IFS-IMF
FED
SL
1998: 1-2009: 12
IFS-IMF
CPI
M2
LS
EX
1998: 1-2009: 12
1998: 1-2009: 12
1998: 1-2009: 12
1998: 1-2009: 12
IFS-IMF
IFS-IMF
IFS-IMF
IFS-IMF
VND
Lu : IFS-IMF: H thng c s d liu cc ch tiu ti chnh ca Qu
Tin t Quc t;
(4)
(5)
(6)
(7)
bin
ph
thuc
WCPI
USSL
USCPI
USLS
SL
CPI
M2
CPI
0
0
0
0
0
1
a76
M2
0
0
0
0
0
0
1
LS
0
0
0
0
0
0
0
EX
0
0
0
0
0
0
0
LS
a81
0
0
a84
a85
a86
a87
1
0
EX
a91
a92
a93
a94
a95
a96
a97
a98
1
Lu : Cu trc m hnh ny c tham kho t cc nghin cu ca
(Mala v Param 2007); (Fry 2001), (Fung 2002) v (Joiner 2003)
b. Kim nh tnh dng ca cc bin v tr trong m hnh
Kt qu kim nh ADF cho chui d liu theo thng t thng
1/1998 n thng 12/2009 cho thy tt c cc bin u dng ti sai phn
bc 1. Do vy, 09 bin ni trn c th c s dng trong hi quy m
hnh SVAR.
Bng 3: Kim nh tnh dng ADF
Bin
WCPI
USSL
USCPI
USLS
SL
CPI
M2
LS
EX
Kim nh ADF
Khng c xu th (No trend)
C xu th (Trend)
-9.001946***
-9.004328***
-7.766784***
-9.138328***
-3.277818**
-10.77046***
-2.801047*
-5.590296***
-10.04247***
-14.94604***
Trng thi
Stationary
-15.02026***
(dng)
Stationary
-9.114256***
(dng)
Stationary
-3.267686*
(dng)
Stationary
-10.73992***
(dng)
Stationary
-3.612207**
(dng)
Stationary
-5.566622***
(dng)
Stationary
-10.06759***
(dng)
Stationary
-15.08577***
(dng)
Stationary
(dng)
Lu : *** c ngha thng k mc 1%; ** mc 5%; and * mc
1%; Kt qu c lng trn phn mm Eviews 7.0.
LogL
LR
999.4733
NA
3185.878 4115.586
2
3
4
5
6
3279.529
3352.718
3426.071
3491.805
3556.719
1.07e-27* 36.57093*
1.19e-27 -36.47904
1.35e-27 -36.38907
1.72e-27 -36.20947
2.28e-27 -36.02022
-33.41669
-31.83068
-30.24659
-28.57287
-26.88952
-35.29098
-34.59279
-33.89652
-33.11062
-32.31509
7
8
9
10
3647.124
*
3705.608 66.74035
3795.937 93.51673
3880.206 78.32034
2.34e-27
3.66e-27
4.22e-27
5.67e-27
-25.50605
-23.74704
-22.36267
-20.90701
-31.81945
-30.94825
-30.45171
-29.88387
166.3679
122.2691
114.7749
95.89404
87.82542
112.7409
FPE
AIC
SC
-36.13088
-35.86598
-35.97573
-36.01418
Q-Stat
HQ
df
1
2
3
4
5
6
7
10.46887
30.46925
110.4453
185.4877
275.2281
354.4152
443.9160
NA*
NA*
NA*
0.0000
0.0000
0.0000
0.0000
10.52835
30.75731
112.1123
188.8897
281.2389
363.2045
456.3906
NA*
NA*
NA*
0.0000
0.0000
0.0000
0.0000
NA*
NA*
NA*
81
162
243
324
*The test is valid only for lags larger than the VAR
lag order.
df is degrees of freedom for (approximate) chi-square
distribution
Tuy nhin, tr c xc nh trong cc kim nh AIC, HQ v
SC l khng thc hin nh gi tc ng ca cc c shock c
lng ha trong m hnh. Do vy, bi vit s dng phng php
Portmanteau v LM kim nh tnh t tng quan phn d trong m
hnh. Kt qu kim nh Portmanteau v LM test cho thy tr ca
phng trnh SVAR nn l 4. Do vy, bi vit s s dng m hnh SVAR
vi tr l 4.
5. Phn tch tc ng ca cc c shock bn ngoi nn kinh t v
c ch truyn ti chnh sch tin t ca Vit Nam
Phn ng ca li sut VND i vi cc c shock t bn ngoi nn
kinh t
Biu 1: Phn ng phn r ca li sut VND i vi cc c shock
t bn ngoi
Response of DEP_R to LOG(WCPI)
Response of DEP_R
to LOG(USCPI)
.3
.3
.3
.2
.2
.2
.1
.1
Response of LS to log(WCPI)
Response of LS to log(USSL)
.0
.0
.1
Response of LS to log(USCPI)
.0
-.1
-.1
-.1
-.2
-.2
-.2
-.3
-.3
10
15
20
25
30
35
40
45
50
10
15
20
25
30
35
40
45
50
-.3
5
10
15
20
25
30
35
40
45
50
.2
.004
.012
.002
.008
.1
.000
.0
.004
-.002
.000
-.1
-.004
-.2
-.006
-.004
5
10
15
20
25
30
35
40
45
50
10
15
20
25
30
35
40
45
50
10
15
20
25
30
35
40
45
50
Response of LS to LOG(SL)
.12
.25
.10
.20
.08
.15
.06
.10
.04
.05
.02
.00
.00
-.05
3.5
3.0
2.5
2.0
1.5
10
15
20
25
30
35
40
45
50
1.0
0.5
0.0
5
10
15
20
25
30
35
40
45
50
10
15
20
25
30
35
40
45
50
tng cao v nhanh trong khong thi gian 7-8 thng u tin v cung tin
M2 gim trong thi gian ny, kt qu l ch s CPI c xu hng tng
chm li v c thng gim xung. Tuy nhin, sau khong thi gian 8
thng kim sot v hn ch tc tng cao ca ch s CPI, chnh sch
tin t c xu hng ni lng (li sut VND trn th trng c xu hng
gim xung v cung tin M2 tip tc tng tr li) h tr cho hot ng
sn xut v kinh doanh trong nc.
Biu 4: Phn ng phn r ca CPI, cung tin M2 v li sut trc
bin ng ca sn lng trong nc
Response to Cholesky One S.D. Innovations
Response of LS to LOG(CPI)
.004
.002
.000
.000
-.004
-.002
-.008
.5
.4
.3
.2
.1
.0
-.1
-.012
-.004
5
10
15
20
25
30
35
40
45
50
10
15
20
25
30
35
40
45
50
10
15
20
25
30
35
40
45
50
Response of LS to LOG(M 2)
.6
.03
.010
.4
.02
.008
.2
.01
.006
.0
.00
.004
-.2
-.01
.002
-.02
-.4
5
10
15
20
25
30
35
40
45
.000
5
50
10
15
20
25
30
35
40
45
50
.6
.010
.4
.008
.2
.006
.0
.004
-.2
.002
-.4
10
15
20
25
30
35
40
45
50
10
15
20
25
30
35
40
45
50
.000
5
Response of LOG(EX) to LS
10
15
20
25
30
35
40
45
50
10
15
20
25
30
35
40
45
50
Response of LOG(SL) to LS
.004
.004
.000
.000
-.004
-.004
-.008
-.008
5
10
15
20
25
30
35
40
45
50
10
15
20
25
30
35
40
45
50
Response of LOG(CPI) to LS
.000
-.001
.000
-.002
-.003
-.004
-.004
-.005
-.008
5
10
15
20
25
30
35
40
45
50
10
15
20
25
30
35
40
Quan st biu 6 cho thy, khi Vit Nam thc hin chnh sch ni
lng tin t th hin thng qua vic cung tin M2 tng th tng trng
kinh t c xu hng tng (th hin qua vic tng sn lng cng nghip),
iu ny c ngha l tng trng cung tin M2 tc ng tch cc ti tng
trng kinh t. Ngc li, khi li sut VND tng ng ngha vi vic Vit
Nam tht cht chnh sch tin t th tng trng kinh t c xu hng gim
mnh v tng i nhy cm vi bin ng ca li sut. Tng t, vic
tht cht chnh sch tin t thng qua tng li sut s tc ng tc th v
khin CPI gim nhanh v mnh trong khong thi gian 5 thng, sau thi
gian , CPI c xu hng gim nhng vi tc thp hn so vi thi
gian 5 thng trc.
45
50
Variance Decomposition of SL
WCPI USSL USCPI USLS SL
CPI
M2
LS
EX
0.32118 2.47614 2.1960 0.1626 94.844 0.0000 0.0000 0.0000 0.0000
0
9
09
24
04
00
00
00
00
3.21715 9.94081 6.7122 3.4546 70.635 1.0496 1.5113 2.8193 0.6598
12
7
5
07
37
03
16
60
22
60
4.98768 10.8159 8.7040 5.3630 63.235 1.5916 1.8471 2.3539 1.1011
24
1
3
44
35
45
10
10
71
68
6.10756 12.8241 9.0365 6.8749 58.014 1.8147 1.9381 2.2428 1.1462
36
9
7
26
02
72
93
77
69
72
6.78076 14.4574 9.2524 8.1482 54.581 1.7859 1.7518 2.0907 1.1510
48
Period
81
98
33
43
36
98
60
Variance Decomposition of CPI
WCPI USSL USCPI USLS SL
CPI
M2
LS
EX
0.68299 1.25230 1.0936 7.1527 3.5530 86.265 0.0000 0.0000 0.0000
1
0
27
77
20
28
00
00
00
0.87178 9.93749 4.7011 22.887 3.4266 44.846 0.8917 7.1577 5.2796
12
6
6
36
43
51
43
00
33
39
1.09818 13.1225 6.7641 18.439 7.6286 35.645 0.6513 8.8133 7.8363
24
94
90
50
45
46
59
94
8
4
27
65
01
50
85
55
80
2.46923 18.7656 9.2028 11.355 15.980 25.676 0.5119 8.8314 7.2065
9
28
36
61
37
32
12
91
Variance Decomposition of M2
WCPI USSL USCPI USLS SL
CPI
M2
LS
EX
0.23020 0.06361 4.9278 3.3003 1.1046 0.0144 90.358 0.0000 0.0000
3
4
31
84
88
82
80
00
00
9.85746 1.63793 2.9939 2.9229 2.5642 11.269 56.419 7.5506 4.7835
12
4
9
11
61
99
35
93
34
12
12.5170 14.9367 5.0975 2.2892 16.283 5.9513 32.679 5.9178 4.3273
24
8
7
50
22
44
30
40
38
65
11.5829 19.0115 8.3481 3.9840 24.965 3.8347 20.884 4.3237 3.0651
36
8
9
97
06
37
13
23
63
51
11.0787 20.0738 9.6665 5.8986 28.945 2.9949 15.371 3.6040 2.3659
48
Period
87
56
37
85
73
32
68
Variance Decomposition of LS
WCPI USSL USCPI USLS SL
CPI
M2
LS
EX
0.66833 0.23303 10.185 0.3894 0.7010 2.3879 9.3800 76.054 0.0000
9
0
86
42
97
64
12
26
00
0.90318 7.29363 11.644 13.903 2.8095 22.534 12.071 20.022 8.8167
12
2
5
56
76
51
42
76
35
79
1.03503 7.08589 11.490 14.532 3.5425 21.965 11.404 19.227 9.7157
24
2
6
06
78
58
80
92
15
96
1.16944 7.48337 11.168 15.148 4.1822 21.572 11.079 18.749 9.4472
36
6
4
03
08
14
75
09
76
61
1.24027 7.66346 10.999 15.604 4.6186 21.249 10.910 18.409 9.3047
48
Period
04
08
51
56
49
69
65
Variance Decomposition of EX
WCPI USSL USCPI USLS SL
CPI
M2
LS
EX
0.14101 3.23449 0.0285 0.2001 0.0245 0.0845 1.0653 7.0022 88.219
8
7
39
75
89
62
74
15
03
0.47624 8.73800 3.1867 1.3001 1.5017 0.3065 1.6604 14.351 68.478
12
24
2
4
79
05
61
12
23
73
45
0.43312 12.3906 3.2857 3.6441 3.3801 1.9797 7.3206 12.051 55.514
9
4
82
10
31
66
35
76
06
0.95538 11.5966 2.9751 3.4051 3.2795 4.0740 11.359 10.791 51.563
36
2
6
58
91
97
95
01
27
64
1.51532 11.1783 3.0618 3.5666 3.7796 5.1699 12.077 10.129 49.521
48
1
7
78
19
90
90
80
29
04
Lu : Period l khong thi gian tnh theo thng (1 thng, 12 thng, 24
thng, 36 thng v 48 thng)
Trong khi , cc nhn t trong nc gii thch chnh cho s bin
ng sn lng trong nc l s thay i li sut trn th trng tin t,
tc tng CPI v cung tin M2. C th ni, trong qu trnh m ca v
hi nhp kinh t, tng trng kinh t Vit Nam chu nh hng rt ln
bi s bin ng ca nn kinh t th gii, c bit l s bin ng ca
nn kinh t Hoa K.
Tng t, chng ta c th thy, s bin ng ch s CPI trong nc
chu nh hng rt ln t chnh cc c shock do chnh n to ra, tip theo
l cc tc ng t cc yu t bn ngoi nh gi c, sn lng ti Hoa K
v vic iu hnh li sut ca FED. Nu loi b mc bin ng sn
lng, li sut v lm pht ti Hoa K th ng thi iu hnh li sut v
t gi trong nc cng tc ng khng nh ti mc bin ng CPI trong
nc trong trung hn.
i vi s bin ng ca cung tin M2 trong nc trong trung hn,
chng ta c th thy, khi h s gii thch ca bin USSL v SL i vi s
bin ng ca M2 ln lt l 20,07% v 28,94%. iu ny phn nh
rng, vic tng hay gim mc cung ng tin ra lu thng ph thuc rt
nhiu vo du hin tng trng kinh t trong nc cng nh tng trng
kinh t Hoa K, cng cn lu rng khi nn kinh t ca Vit Nam tng
trng thng dn ti vic tng phng tin thanh ton tng nhanh. S
bin ng ca li sut trong nc c gii thch ch yu bi cc nhn t
trong nc v ngoi nc nh: tc tng ca CPI trong nc v vic
VND trn th trng tin t gim xung nhng s mt khong thi gian t
5 n 10 thng; th nm, trc cc c shock v tng trng kinh t, c
th l nn kinh t ang trng thi tng trng nng overheating, ch
s CPI c xu hng tng nhanh v lin tc trong khong thi gian 5 - 10
thng (xem Biu 3). Tuy nhin, ch s CPI tng i nhy cm v
phn ng mnh trc ng thi tht cht chnh sch tin t, c th l gim
mnh trong khong thi gian 6 - 9 thng k t khi thc hin chnh sch
tin t tht cht (xem biu 6)