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Lam Phat Muc Tieu Va Ty Gia Hoi Doai Mo Hinh Tu Hoi Quy VAR PDF
Lam Phat Muc Tieu Va Ty Gia Hoi Doai Mo Hinh Tu Hoi Quy VAR PDF
+
(
+
(
=
(
zt
yt
t
t
t
t
z
y
c c
c c
b
b
z
y
b
b
1
1
22 21
12 11
20
10
21
12
1
1
(3)
n gin hn, ta vit gn li l
t t t
X BX + I + I =
1 1 0
(4) (y chnh l M hnh VAR cu trc (SVAR: Structural VAR) hay m
hnh VAR nguyn thy (the Primitive System)
chun ho pha bn tri ca phng trnh (4), ta nhn cho ma trn nghch o ca B l B
-
1
, lc ny, phng trnh (4) tr thnh
t t t
B X B B BX B
1
1 1
1
0
1 1
+ I + I =
19
i.i.d vit tt ca Independent and identically distributed random variables
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Vit gn li l
t t t
e X A A X + + =
1 1 0
(5). y chnh l ma trn dng chun ca VAR (UVAR:
unstructured VAR)
Hay
(
+
(
+
(
=
(
t
t
t
t
t
t
e
e
z
y
a a
a a
a
a
z
y
2
1
1
1
22 21
12 11
20
10
(6), vit tch ra thnh h 2 phng trnh nh sau
t t t t
e y a y a a y
, 1 1 , 2 12 1 , 1 11 10 , 1
+ + + =
v;
t t t t
e z a z a a z
, 2 1 , 2 22 1 , 1 21 20 , 1
+ + + =
Bc tip theo l bin gi tr
(
t
t
e
e
2
1
trong phng trnh (6) v dng ma trn
t
, ta c
t t
B e
1
= vi B
-1
l ma trn o ca B, tc
1
B =
a
B
B
1
=
T
B
B
*) (
1
= =
(
=
1
1
) 1 (
1
21
12
12 21
b
b
b b
(vi
* B l phn ph (cofactor) ca B v
T
B*) ( l ma trn chuyn v ca B), suy ra:
(
=
(
zt
yt
t
t
b
b
b b e
e
1
1
) 1 (
1
21
12
12 21 2
1
(7) hay
A
=
zt yt
t
b
e
12
1
(vi
12 21
1 b b = A ) v
A
+
=
zt yt
t
b
e
21
2
Suy lun ra hm s y, ta bt u t phng trnh (5), bin i thnh:
L A I
e
L A I
A
X e X A A X
t
t t t t
1 1
0
1 1 0
) 5 (
= + + =
(vi X
t-1
=L X
t
, L l ma trn h s)
u tin chng ta phn tch v phi (RHS: Right hand Side) ca phng trnh
12 21 22 11
20
10
22 12
21 22
22 21
12 11
0
22 21
12 11
1
0 1
0
1
1
1
0
) 1 )( 1 (
1
1
1
1
1
1
) (
) (
a a a a
a
a
a a
a a
a a
a a
A
a a
a a
A I
A A I
A A I
A I
A
a
(
=
(
= =
=
(
+
+
A
=
z
y
a a a a
a a a a
20 22 10 12
20 21 10 22
) 1 (
) 1 (
1
Tnh dng yu cu l gi tr gc ca L A I
1
phi nm ngoi (outside) ca vng n v. Vi
gi nh l c iu ny. Chng ta vit tip thnh phn s 2 ca phng trnh (5) ra thnh
(
= =
=
i t
i t
i
i i
i t
i t
e
e
a a
a a
e A
L A I
e
, 2
, 1
0
22 21
12 11
0
1
1
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Lc ny, phng trnh (5) tr thnh
(
+
(
=
(
i t
i t
i
i
A
t
t
e
e
a a
a a
z
y
z
y
i
, 2
, 1
0
22 21
12 11
(8)
Do c sai s phc hp trong m hnh cch tn m hnh cu trc nn ngi ta phi
chuyn
(
t
t
e
e
2
1
v dng
(
zt
yt
=
(
zt
yt
t
t
b
b
b b e
e
1
1
) 1 (
1
21
12
12 21 2
1
(vi
12 21
1 b b = A ), thay vo (8) cho ta phng trnh hm s y l:
(
+
(
=
(
=
u
i t z
i t y
i
i
t
t
i
b
b
b b
A
z
y
z
y
,
,
0
21
12
21 12
1
1
1
u u
u u
+
(
i t z
i t y
i
i i
i i
i
z
y
,
,
) (
22
) (
21
) (
12
) (
11
0
i t
i i
X
u + =
0
(9)
T phng trnh ny ta ly sai phn ca tng bin suy ra c tc ng y ca bin y ln z
v ngc li, nh sau:
Vi k hin ti
t
y v
t
z : ) 0 (
12
,
u =
t z
t
d
dy
, ) 0 (
22
,
u =
t z
t
d
dz
Vi k tng lai (xt 1 k)
1 + t
y v
1 + t
z : ) 1 (
12
,
1
u =
+
t z
t
d
dy
v ) 1 (
22
,
1
u =
+
t z
t
d
dz
Cch dn gii th hai c th tham kho thm trong sch Econometrics Analysis, ca
William H.Greence page 586 n page 595, sau qu trnh tnh ton th tc gi dn lun ra m
hnh hm s y l:
Phn tch phng sai
Sau y nhm xin trnh by v tng phn tch phng sai dn nhp t m hnh t hi quy
VAR nh sau
tng ca phn tch phng sai l tnh xem mt thay i/c sc ca mt bin nh hng
bao nhiu (c th din gii di dng % hoc s thc) ln cc bin khc.
Cch din gii 1:
Quay li cng thc s (9) trn, ta t
i t
x
+
l v tri (LHS) ca phng trnh (9), hay:
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(
+
(
=
(
=
u
+
i t z
i t y
i
i
i
t
t
i t
i
b
b
b b
A
z
y
z
y
x
,
,
0
21
12
21 12
1
1
1
u u
u u
+
(
i t z
i t y
i
i i
i i
i
z
y
,
,
) (
22
) (
21
) (
12
) (
11
0
i t
i i
X
u + =
0
hay
i t
i i
i t
X x
=
+
u + =
0
(10)
By gi chng ta nhn rng gi tr i (t 0 n ) ln.
+Vi i = 1 th
...
1 2 1 1 0 1
+ u + u + u + =
+ + t t t t
X x
...
1 2 1 1
+ u + u + =
+ t t t t
X x E
Suy ra, gi tr d bo trong k 1 l :
1 0 1 1 + + +
u =
t t t
Ex x
+ Tng t vi i = 2 th:
1 1 2 0 2 2 + + + +
u + u =
t t t t
Ex x
+Vi i = 3 th:
1 2 2 1 3 0 3 3 + + + + +
u + u + u =
t t t t t
Ex x
+Vi i = n k th:
=
+ + + + + + +
= u + + u + u + u =
1
0
1 1 2 2 1 1 0
...
n
i
i n t t n n t n t n t n t n t
Ex x
By gi, xt y, nhn t u tin trong ma trn x. Gi tr d bo ca n l
) ... (
1 , 1 , 11 1 , 1 , 11 , 0 , 11 + + + + +
u + + u + u =
t y n n t y n t y n t n t
Ey y ) ... (
1 , 1 , 21 1 , 1 , 21 , 0 , 21 + + +
u + + u + u +
t z n n t z n t z
Lc ny, gi tr bin s ca d bo n-step-ahead l:
+ u + + u + u =
time over Decreases
shock own to due
iance of proportion
n
y n y
var
1 , 11
2
1 , 11
2
0 , 11
2 2 2
,
) ... (
time over Grows
shock z a to due
iance of proportion
n
z
var
1 , 21
2
1 , 21
2
0 , 21
2 2
) ... ( u + + u + u
Cch din gii 2
20
:
Vi m hnh t hi quy VAR(p), p tr ta c
, vit gn l
Vi
20
Ngun http://en.wikipedia.org/wiki/Variance_decomposition
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, , , v
Trong , y
t
, v v u l ma trn dng ct c p gi tr. Ma trn A l k dng v p ct (kxp)
Tnh ton sai s trung bnh
21
ca h-step d bo ca bin j,
Trong , l ct th j ca ma trn n v I
k
v j j m ch nhn t ca ma trn.
(vi l ma trn tam gic yu trong phn tch ma trn tam gic ca Cholesky).
(vi , l ma trn hip phng sai ca sai s )
Gi tr ca bin s d bo ca nhn t j c tnh l
Trn y l nhng tm hiu s nt v hai m hnh b i ny vi hi vng tm hiu r nt
hn mt cht v b i lun i km trong phn tch m hnh hi quy. Tuy nhin, nu c
nhiu thi gian hn v c h tr thm t nhng c nhn c chuyn mn ton kinh t, nhm
c th hiu v din t tt hn hai m hnh ny.
May thay, ngy nay th vi khoa hc hin i, vic tnh ton tr nn n gin hn thng qua
phn mm Eviews, chng ta c th tham kho http://www.eviews.com/ tm hiu thm v
cch p dng n trong eviews
Tam gic ma trn Cholesky
Th t cc bin trong m hnh t hi quy VAR vit theo ma trn Cholesky
22
c xut
bi Bernanke v Mihov (1998) , theo bin phi chnh sch (sn lng) c t trc cc
bin. Tip n l cc bin lin quan n chnh sch (nh cung tin, t gi hi oi). Vi m
hnh ca hai tc gi nghin cu iu ny l ph hp theo th t ca hai phng trnh
21
MSE: the mean squared error
22
Ma trn Cholesky l ma trn c bit ca ma trn ng cho. Ma trn ba ng cho c ngoi tr cc phn t trn
ca 3 ng cho chnh, cc phn t cn li bng 0, tt nhin ta c th tch ma trn A = L.U vi A l ma trn 3 ng
cho, L l ma trn tam gic di v U l ma trn tam gic trn. Ma trn Cholesky: A = L.L (vi L l ma trn chuyn v
ca ma trn L)
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(m hnh 5 bin) v
(m hnh 7 bin)
Th nht, sn lng, gi du m l cc bin c lp khng b nh hng bi chnh sch ca
quc gia, hay cc c sc xy ra trong ni b cc quc gia.
Th hai, do sn lng quc gia thay i nn n nh hng n cung tin t, cung tin
thay i dn n t gi hi oi thay i, lm cho gi c ni a ca hng ha thay i, tc
gi tr ng tin dng mua mt loi hng ha cng thay i.
Vi mc ch ca ma trn cholesky l bin i gi tr phn d trong m hnh VAR dng rt
gn (
t
) v cc bin nhiu cu trc (e
t
) trong m hnh VAR cu trc trn.
Ta din t ma trn Cholesky theo tng phng trnh nh sau
+M hnh 5 bin:
+M hnh 7 bin:
c/ Phng php bnh phng nh nht (OLS)
tng ca phng php bnh phng ti thiu l tm
1
| v
2
| +
2
| X
i
+e
i
, suy ra:
i 2 1 i i i i
X
Y Y
Y e | | = =
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Vy ( )
2
n
1 i
i 2 1 i
n
1 i
2
i
X
Y e
= =
| | = (3.6)
iu kin (3.6) t cc tr l:
(1) ( ) 0 e 2 X
Y 2
e
n
1 i
i
n
1 i
i 2 1 i
1
n
1 i
2
i
= = | | =
| c
|
.
|
\
|
c
= =
=
(3.7)
(2) ( ) 0 X e 2 X X
Y 2
e
n
1 i
i i i
n
1 i
i 2 1 i
2
n
1 i
2
i
= = | | =
| c
|
.
|
\
|
c
= =
=
(3.8)
T (3.7) v (3.8) chng ta rt ra
| + | =
i 2 1 i
X
n Y (3.9)
| + | =
2
i 2 i 1 i i
X
X Y (3.10)
Cc phng trnh (3.9) v (3.10) c gi l cc phng trnh chun. Gii h phng
trnh chun ta c
X
2 1
| = | (3.11)
Thay (3.9) vo (3.8) v bin i i s chng ta c
( )( )
( )
=
=
= |
n
1 i
2
i
n
1 i
i i
2
X X
X X Y Y
(3.12)
t X X x
i i
= v Y Y y
i i
= ta nhn c
=
=
= |
n
1 i
2
i
n
1 i
i i
2
x
x y
d/ Phng php Census X-12
23
Chui d liu kinh t hay ti chnh thng ph thuc cc bin s theo ma v. Nhng bin
i theo ma lm kh khn hn khi phn tch nhng thay i v d liu cho tc ng tng
hay gim trong mt k nht nh, hn na v cc bin pht sinh mt cch u n. S dng
d liu th (raw data) trong mt vi trng hp c th sai lch. Trong phn tch kinh t, nh
23
Tham kho Explanatory Notes Monthly Seasonal Adjustment of Statistical Time Series v t chc United States
Census Bureau v Seasonal Adjustment using the x12 procedure ca Tammy Jackon v Michael Leonard, SAS
Institute.
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gi ban u v cc iu kin kinh t, c bit l vic nhn ra cc im vng quay kinh t, ch
c th nu phn tch ny da trn cc thng cch y khng lu ca chui thi gian.
Vic iu chnh gi theo ma mt qu trnh tnh ton v hn ch nh hng ma v trong
chui thi gian. Do , d liu c iu chnh theo ma lm cho phn tch d dng hn
trong ngn hn v xc nh nhng thay i trong khuynh hng. D liu c iu chnh th
tin ch cho cc t chc ti chnh, chnh ph, nh phn tch thng k, nh ton kinh t v
nhng nh kinh t nghin cu trong kinh t v m, nh d bo v nhng nghin cu sinh.
Mu hnh Census X12 hay Census-X12-ARIMA
24
da trn nguyn tc iu chnh chui gi
tr theo ma c a ra bi mt t chc ca chnh ph M - United States Census Bureau
v Statistic Canada. Chng trnh ny cn c lp trnh trong phn mm eview nhm ti
thiu ha nhng tc ng bp mo n nhng nhn t c nh gi theo ma.
M hnh ny c lp trnh nhiu trong cc phn mm thng k, l s kt hp gia nhng
kh nng ca chng trnh X-11 (do Shiskin, Young v Musgrage lp 1967), X11-Arima/88
(do Dagum 1988 lp) v gii thiu mt vi nhn t mi (do Findley v cng s, 1988 lp).
V vy, Census X12 hay X12 Arima l chng trnh cha ng cc phng php c pht
trin bi U.S Census Bureau v Statistic Canada. Vi 04 mu hnh chnh c s dng l hi
quy ARIMA (regARIMA), phng php d on (model diagnostics), iu chnh theo ma
dng phng php X-11 (X11 methodology) v phng php d on hu iu chnh (post-
adjustment diagnostics).
Phng php iu chnh theo ma ca chui d liu da trn gi nh rng bin ng theo
mua c th c o lng di dng chui ban u (O
t
, t = 1,.,n) v c phn chia t
chu k thay i (trend cycle), ngy giao dch (trading-day), v bin ng bt thng
(irregular fluctuations).
- Nhn t theo ma ca chui thi gian, S
t
, c nh ngha nh phng sai vng nm
(intrayear) m c phn chia lin tc hay trong mt dng suy lun ra (evolving
fashion) t nm ny sang nm khc.
- Nhn t chu k thay i (trend cycle), C
t
, o lng phng sai (variation) nh khuynh
hng di (long-term trend), vng i doanh nghip (business cycles), hay nhng
nhn t vng i di hn khc
- Nhn t ngy giao dch (trading-day), D
t
, l phng sai c m ch phn tch theo
lch dng
24
ARIMA: vit tt ca autoregressive integrated moving average:
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- Nhn t bt thng (irregular component), I
t
, l phng sai cn li.
C rt nhiu mu hnh O
t
khc nhau ty chui thi gian nh hay
hay hay
e/ Phng php kim nh s dng l Augmented Dickey-Fuller (ADF)
Nhm xin ly 01 v d dn gii cch la chn theo ADF
Vi c l hng s; t: l xu th theo thi gian, bc tr ti u c xc nh theo tiu chun
thng tin Akaike Infor (AIC).
Gi thuyt null: c mt nghim n v. Nu gi tr kim nh ln hn gi tr ti hn 5%, t
chi gi thuyt null. ng ngha vi vic mc thng k 5%: khng c nghim n v hay
chui l dng. V ngc li gi tr kim nh nh hn 5% th chp nhn gi thuyt null
ngha l cc chui c mt nghim n v hay l chui khng dng .
v d ny t-statistic <gi tr ti hn 5% nn chp nhn gi thuyt null. Kt lun chui c
mt nghim n v hay chui khng dng
Tm li l, vi gi thit
H
0
: l chui dng
H
1
: l chui khng dng
iu kin bc b H
0
l gi tr tau (tau statistic) phi ln hn gi tr ti hn tng ng vi
mc ngha 1%, 5% hoc 10% th chui l dng. Nu chui khng dng ta phi x l bng
phng php sai phn hoc phng php bnh phng nh nht
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2.3 Di d liu
M hnh 05 bin (05 variance VAR)
25
Trong
- oil: biu th di dng logarit t nhin ca gi du th gi
- gap: l chnh lch sn lng quc gia,
- m: biu th di dng log ca cung tin
- ner: biu th gi tr t gi hi oi danh ngha
- cpi: ch s gi tiu dng
- i din cho ton t sai phn bc 1
M hnh 07 bin (07 variance VAR)
Cng vi cng thc trn, ngi ta a thm hai bin na l ch s gi sn xut (PPI: product
price index) v ch s gi nhp khu (IMP: import price index). M hnh lc ny thnh:
M hnh ny gip chng ta kim tra tc ng truyn dn ca t gi hi oi theo knh gi.
Hay ni cch khc, gip chng ta xc nh c lm pht mc tiu c th c nh hng m
ln tc ng truyn dn vo gi tiu dng bng tc ng yu hn ln gi nh sn xut hay gi
nhp khu khng?
2.4 Cc khi nim cn lu
2.4.1 Lm pht mc tiu l g:
u tin, lm pht l g?
Nhiu nh kinh t i tm mt nh ngha ng cho thut ng lm pht (inflation), nhng
ni chung cha c mt s thng nht hon ton. Quan im c in cho rng lm pht xy ra
khi s tin lu hnh vt qu d tr vng lm m bo ca ngn hng pht hnh. Quan im
khc cho rng lm pht l s mt cn i gia tin v hng trong nn kinh t. Li c quan
im cho rng lm pht l s tng gi ca cc loi hng ha (t liu tiu dng, t liu sn
xut v hng ha sc lao ng). Lm pht xy ra khi mc chung ca gi c v chi ph tng.
25
M hnh ny tc gi da trn m hnh ca Ito v Sato (2007) khi cc ng dng n so snh tc ng truyn dn ca
t gi hi oi ti cc nc ng v Chu M La Tinh, sau Ito v Sato (2008) ng dng k thut phn tch VAR
cho tc ng truyn dn ca t gi ti cc nc ng Nam
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Nhng mt khi nim c nhiu ngi s dng l lm pht l hin tng tin trong lu
thng vt qu nhu cu cn thit lm cho chng b mt gi, gi c ca hu ht cc li hng
ha tng ln ng lot
Vy th lm pht mc tiu l g?
Lm pht mc tiu l mt c ch iu hnh chnh sch tin t da trn nn tng s dng vic
d bo lm pht lm ch s mc tiu trung gian, trong cc ngn hng trung ng tnh
ton, d bo v cng b mt mc lm pht mc tiu (nh hng bng mt ch s hoc mt
khong bin ) cho nm k hoch. Sau c gng lo li lm pht thc v mc lm pht
mc tiu thng qua vic s dng cng c li sut hay nhng cng c tin t khc. Thng
thng ngn hng trung ng s dng cng c li sut iu chnh lm pht v li sut v
lm pht thng c mi quan h nghch bin. Mt mc tng hay gim v li sut s iu
chnh lm pht mc tiu.
Cn theo Frederic S. Mishkin
26
cho rng lm pht mc tiu l mt chin lc ca chnh sch
tin t bao gm 05 yu t chnh l:
(i) Cng b ra cng chng mc tiu lm pht nh lng trong trung hn;
(ii) Cam kt th ch nhm n nh gi c nh mt mc tiu ch yu ca chnh sch
tin t;
(iii) Chin lc thng tin bao gm nhiu bin s, khng ch c tng cung tin hay
t gi hi oi, c s dng cho vic thit lp cng c chnh sch tin t;
(iv) Tng tnh minh bch ca chin lc chnh sch tin t thng qua vic thng
bo vi cng chng v th trng v k hoch, mc tiu, nhng quyt nh ca
Ngn hng Trung ng;
(v) Tng trch nhim gii trnh ca ngn hng TW cho vic t c mc tiu v lm
pht.
2.4.2 Tc ng truyn dn ca t gi hi oi
27
:
Tc ng truyn dn ca t gi hi oi l mt hin tng m nhng thay i v gi tr
giao dch ngoi t c phn nh trong nhng thay i ca gi nhp khu.
Trong nghin cu ca Eric ON Fisher ch ra rng nhng thay i v t gi gy ra nhng
thay i trong gi nhp khu, nhng mc truyn dn ca t gi hi oi ph thuc cu
26
Trch paper: Inflation targeting (2001) ca Frederic S.Mishkin, page 1
27
Trch dn paper: A model of Exchange Rate pass-through ca Eric ON Fisher (1987), page 1-2
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trc th trng ni a v quc t v ch t gi hi oi. Nhn chung, tc ng truyn dn
ca t gi hi oi th cao hn nu th trng ni a l c quyn hay nu th trng nc
ngoi l cnh tranh
2.4.2.1 C ch truyn dn ca nhng thay i t gi hi oi vo lm pht
Theo nghin cu ca Nicoleta (2007), nhng thay i ca t gi hi oi s nh hng n
lm pht qua hai knh c bn: trc tip v gin tip
a/ Knh trc tip:
n gin ha phn tch, khng mt tnh tng qut, ta c th xem c sc ny chnh l: s
mt gi ng ni t. iu ny s khin nhng hng ha v nguyn liu c nhp khu tr
nn t hn. Khi gi cc nguyn liu nhp khu tng, chi ph sn xut s tng v tng gi tiu
dng. Gi hng ha tiu dng nhp khu s phn nh ngay vo s tng ln ca ch s gi tiu
dng, nh hnh di y
Knh trc tip tc ng truyn dn ca t gi
28
Ngun: Nicoleta (2007)
Bn cnh c ch truyn dn t gi hi oi ti lm pht, cn 01 c ch truyn dn na n
lm pht, l c ch truyn dn li sut, c th m t qua hnh sau:
28
Trch t ti liu Estimating the exchange rate pass through into inflation in a vector autoregressive framework ca
Nicoleta, (2007) trang 234
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b/ Knh gin tip:
Khi ng ni t gim gi, hng ni a s tr nn r hn so vi hng quc t khin cu hng
ni a tng dn n gi tng theo c ch cung cu th trng hoc dn n gia tng sn
xut, tng cu lao ng, tip n l tng lng v tng tng cu, kt qu l t l lm pht gia
tng. Tuy nhin, tc ng ny ch yu l trong di hn do gi th trng cng nhc trong
ngn hn.
Mt knh gin tip quan trng khc trong ngn hn cng nh di hn l thng qua t l l
ha nn kinh t, tc l tnh trng ngi dn s hu cc ti sn tnh bng ngoi t. Gi nh, t
gi hi oi tng, tc l ni t gim gi v ngoi t tng gi, ngi dn c xu hng chuyn
sang nm gi cc ti sn bng ngoi t, y gi cc ti sn tnh bng ngoi t tng, thng
thng l bt ng sn v cc mt hng xa x, v mt bng gi ln hay CPI tng.
2.4.2.2 Cc nhn t c cho l nh hng n tc ng truyn dn ca t gi hi
oi
29
a/ Nhn t vi m
Theo nghin cu ca Lian (2006) ch ra 03 nhn t chnh nh hng n tc ng truyn dn
ny l:
- Phn ng gi n
30
- Mc doanh li theo quy m ca doanh nghip
29
Xem thm ph lc 03
30
Gi n = make up t l gia gi bn v chi ph sn xut bin
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- co gin ca cu cc hng ha nhp khu.
b/ Nhn t v m
Mt s nghin cu ca Mann (1986) v Taylor (2002) nhn dng mt vi nhn t nh
hng n tc ng truyn dn ca t gi hi oi theo mc v m gm
- Quy m ca mt quc gia
- m ca nn kinh t
- S dai dng v bt n nh ca cc c sc t gi
- Tnh khng n nh ca tng cu
- Mi trng lm pht
- Mi trng chnh sch tin t
2.5 L gii nh v l do la chn nghin cu mi quan h ca LMPT v Tc ng
truyn dn
31
hiu hn cch thc ngi ta la chn cc bin s trong m hnh, chng ta bt u vi
phn tch mi quan h gia bin s t gi hi oi v gi nhp khu. T c th suy dn ra
cch thc phn tch tc ng truyn dn ca t gi hi oi (exchange rate pass-through:
ERPT), hay phn trm thay i ca gi nhp khu c gii thch bng phn trm thay i
ca t gi hi oi. Chng ta s thy trong phn kt qu nghin cu rng mt s truyn dn
bin ng ca t gi trong bin ng ca gi nhp khu c th l mt truyn dn hon ton
hoc mt phn. Nu gi tr truyn dn ny l zero ngha l s thay i trong t gi hi oi
khng nh hng n gi nhp khu.
Th nht, gi nhp khu ti bt k quc gia i no , P
m,i
, l mt dng chuyn i ca gi
xut khu ca nc xut khu j , P
x,j
bng cch s dng t gi hi oi, ER. Trong iu kin
khng c ph, thu, chng s din t Quy lut mt gi gi nhp khu trong nc theo gi
xut khu ca nc xut nh sau:
j x i i m
P ER P
, ,
. = (1) hay
x
f
m
h
P ER P . = (2)
31
Trch dn nghin cu Ti liu Exchange rate pass-through and its applications for inflation in Vietnam, Vo Van
Minh, 2009, v paper Exchange rate pass-through: Evidence based on vector autoregression with sign restrictions, An,
Lian (2006)
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Trong : h k hiu l nc ni a (home country) v f l nc ngoi (foreign country).
m
h
P l gi nhp khu ti nc ni a, v
x
f
P l gi xut khu ti nc xut khu. ER l t gi
hi oi gia trong nc i vi nc ngoi (trong nc/nc ngoi)
32
Theo nghin cu ca Hooper and Man (1989), Goldberg and Knetter (1997) v Campa and
Goldberg (2002), gi nh rng cc cng ty xut khu nc ngoi c sc mnh quy m
(sizeable power) trong vic thit lp gi. Hnh vi thit lp gi ca cc cng ty xut khu ph
thuc vo mt khi nim make-up (Markup
x
), tm dch l gi n, trn chi ph bin ca
sn lng (
x
f
C ) ca cc cng ty xut khu nc ngoi nh sau
x
f
P =
x
f
x
C Markup . (3)
Hooper v Man (1989) xut rng gi n ca cc cng ty xut khu ph thuc vo p lc
cu ca th trng ti c th trng nc ch nh v nc ngoi (Y) v p lc cnh tranh
trong th trng nc ch nh. p lc cnh tranh ca th trng nhp khu c o lng
bi li nhun bin, v d gi phi ln hn chi ph sn xut bin (production costs). Gi n
c trnh by nh sau
Y
C ER
P
Markup
x
f
h x
. )
.
( = (4)
Trong , )
.
(
x
f
h
C ER
P
i din cho p lc cnh tranh ti nc nc ch nh (home market) v