Chuyên đề tốt nghiệp - Nguyễn Hoàng Như Thủy - Lớp TC4 k34

TRNG I HC KINH T TP.
HCM
KHOA TI CHNH DOANH NGHIP
CHUYN TT NGHIP
THM HT KP TI VIT NAM:

MI QUAN H NHN QU GIA THM HT
NGN SCH V TI KHON VNG LAI
GVHD: ThS. inh Th Thu Hng

SVTH: Nguyn Hong Nh Thy
MSSV: 108202334
Lp Kha: TC4 K34
LI CM N
Qua bn nm hc tp v rn luyn ti khoa Ti chnh Doanh
nghip, trng i hc Kinh t Thnh ph H Ch Minh, nhng kin thc
c bn t s truyn t tn tm ca Qu Thy C gip em hon thnh
chuyn tt nghip Thm ht kp ti Vit Nam: Mi quan h nhn qu
gia thm ht ngn sch v ti khon vng lai. Chuyn tt nghip l
c hi em c th p dng, tng kt nhng kin thc m mnh hc,
ng thi rt ra nhng kinh nghim thc t qu gi trong sut qu trnh
thc hin chuyn .
Trc tin em xin by t li cm n su sc n C inh Th Thu
Hng tn tnh hng dn, gp v ng vin em trong qu trnh thc
hin chuyn tt nghip ny.
Xin chn thnh cm n qu Thy C Khoa Ti chnh Doanh
nghip Trng i hc Kinh t thnh ph H Ch Minh nhit tnh gip
, ging dy em trong bn nm qua, nhng kin thc m em nhn c
trn ging ng i hc s l hnh trang gip em vng bc trong tng
lai.
Xin knh chc qu thy c mnh kho, hnh phc v vng bc
trn con ng s nghip trng ngi vinh quang.
Sinh vin
Nguyn Hong Nh Thy
ii
NHN XT CA GING VIN HNG DN
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GING VIN HNG DN
ThS. INH TH THU HNG
iii
NHN XT CA GING VIN CHM CHUYN 2
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GING VIN
iv
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MC LC
Tm tt............................................................................................................................ 1
1. GII THIU (INTRODUCTION) ....................................................................... 2
2. TNG QUAN V CC KT QU NGHIN CU TRC Y
(LITERATURE REVIEW) .......................................................................................... 5
2.1.
L thuyt nn tng v Thm ht kp (Theoretical basics) ................................. 5
2.1.1
Chnh sch ti kha ..................................................................................... 5
2.1.2
Ti khon vng lai ....................................................................................... 6
2.1.3
Thm ht kp............................................................................................... 7
2.2.
Nhng bng chng thc nghim v thm ht kp trn th gii ........................ 9
2.3.
Tng quan d kin ca thm ht kp ti Vit Nam ....................................... 22
3. PHNG PHP NGHIN CU (METHODOLOGY AND DATA) ............ 31

3.1.
Phng php nghin cu: ................................................................................ 31
3.2.
D liu: ............................................................................................................ 33
4. NI DUNG V KT QU NGHIN CU (RESULTS) ................................. 34

4.1.
Kim nh tnh dng ........................................................................................ 34
4.2.
Kim nh ng lin kt ................................................................................... 35
4.3.
Kim nh nhn qu Granger ........................................................................... 39
4.4.
Kim nh VECM ............................................................................................ 41
4.5.
Gii thch kt qu kim nh ............................................................................ 45
5. TNG KT (CONCLUSIONS) .......................................................................... 48

5.1.
Kt qu nghin cu: ......................................................................................... 48
5.2.
Khuyn ngh gii php ..................................................................................... 48
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DANH MC T VIT TT
CSTK:
Chnh sch ti kha
BD:
Thm ht ngn sch
CAD:
Thm ht ti khon vng lai
IR:
Li sut
ER:
T gi hi oi
LNER:
Logarit c s t nhin ca t gi hi oi
ADF:
Augmented Dickey Fuller
VECM:
Vector Error Correction Model
EU:
Lin minh Chu u
OECD:
T chc Hp tc v Pht trin Kinh t
IMF:
Qu tin t quc t
vi
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DANH MC BNG
Bng 2.1: T l thm ht ngn sch, t l tng trng GDP giai on 1990 1996.... 23
Bng 2.2: Thm ht ti khon vng lai Vit Nam giai on 1991-1996....................... 23
Bng 2.3: Thm ht ngn sch so vi GDP, tng trng GDP nm 1997-2001 .......... 24
Bng 2.4: Ti khon vng lai, ti khon vng lai so vi GDP nm 1997-2001 ............ 25
Bng 2.5: T l thm ht ngn sch so vi GDP nm 2002-2007 ................................ 26
Bng 2.6: T l thm ht ti khon vng lai so vi GDP nm 2002-2007 ................... 27
Bng 4.1: Kt qu kim nh nghim n v ADF cho cc bin................................... 34
Bng 4.2: Kt qu kim nh nghim n v ADF cho sai phn bc 1 v 2 ................. 35
Bng 4.3: Kt qu kim nh nghim n v ADF cho phn d theo phng php
Engle Granger ............................................................................................................. 37
Bng 4.4: Kt qu kim nh ng lin kt Johansen ................................................... 38
Bng 4.5: Kt qu kim nh nhn qu Granger ........................................................... 40
Bng 4.6: Kt qu kim nh VECM ............................................................................ 41
Bng 4.7: Kt qu kim nh ADF phn d m hnh VECM ....................................... 44
vii
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DANH MC HNH
Hnh 2.1: Bn mi quan h c th c ca thm ht kp.................................................. 9

Hnh 2.2: Mi quan h ca cc bin kinh t gia thm ht ngn sch, thm ht ti
khon vng lai, li sut v t gi ................................................................................... 20
Hnh 2.3: Thm ht ngn sch, thm ht ti khon vng lai giai on 1990-2010 ....... 30
viii
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Tm tt
Mc tiu ca bi nghin cu ny l ng gp hn na vo cuc tranh lun v gi
thuyt thm ht kp trong mt nn kinh t ang pht trin. Chng ti tin hnh kim
nh gi thuyt ny cho Vit Nam vi d liu t qu 1 nm 2000 n qu 3 nm 2011.
Kt qu thc nghim thu c qua cc kim nh tnh dng Unit root test, kim nh
quan h nhn qu Granger, kim nh ng lin kt Engle Granger v Johansen
Juselius (1990) cng m hnh VECM (Vector Error Correction Models) cho thy rng
thm ht ngn sch v thm ht ti khon vng lai ti Vit Nam l c mi quan h nhn
qu mt chiu, iu ny ng rng mt s gia tng trong thm ht ngn sch s lm
trm trng thm cn cn ti khon vng lai ti Vit Nam. Cc tc ng ca li sut v
t gi hi oi trong chui quan h nhn qu gia ngn sch v thm ht ti khon
vng lai cng c nhn mnh.
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1. GII THIU (INTRODUCTION)

Hu ht cc nh nghin cu u cho rng thm ht ti khon vng lai ln v lin tc l
nguyn nhn ca s mt cn bng trong kinh t v m v iu ny c nh hng ln
n tin trnh kinh t trong di hn. Mt trong cc bin php m cc nh hoch nh
chnh sch v chnh tr gia dng kim sot thm ht ti khon vng lai l tin hnh
thc hin cc chnh sch ti kha. Vn quan trng hn l Chnh ph nn lm g khi
c thm ht ngn sch v ti khon vng lai xut hin ng thi. Hin tng trn c tn
l thm ht kp, xut hin ln u tin Hoa K vo nhng nm 1980, nh du mt
giai on ng USD b nh gi cao v mt s thay i bt thng trong ti khon
vng lai cng nh thm ht ngn sch ca M. Cc nc Chu u nh c, Thy
in cng i mt vi vn tng t trong nhng nm u thp nin chn mi,
khi s gia tng trong thm ht ngn sch km theo mt s nh gi cao ng ni t
nh hng n ti khon vng lai (Ibrahim v Kumah, nm 1996). Gi thuyt thm ht
kp khng nh rng mt s gia tng trong thm ht ngn sch s gy ra mt s gia
tng tng t trong thm ht ti khon vng lai v ngc li. Mi lin h ca tnh trng
thm ht kp c th c xem nh l khi mt quc gia tri qua mt s bng n u t,
thm ht ti khon vng lai c th lm cho t nc hoc l gim cc ti sn nc
ngoi hoc l mn t phn cn li ca th gii ti tr cho vic u t mi bng
cch bn ti sn c nh v ti chnh (tri phiu chng khon, t...). V vy, thm ht
ti khon vng lai lin tc s lm cho t nc tng n nc ngoi rng v kt qu l
thm ht ngn sch. V mt l thuyt, cc c ch ng sau trng thm ht kp c th
c gii thch n gin thng qua hc thuyt Keynes. Keynes xem xt s thay i
ngn sch Chnh ph l yu t chnh lm thay i cc bin s kinh t. Mi vic gim
thu hoc tng chi tiu ca Chnh ph l nguyn nhn lm tng tng chi tiu ca nn
kinh t v ko theo s tng ln ca lm pht v li sut. Li sut tng nh hng n
nn kinh t trong nc v dng vn vo tng. iu ny dn n t gi hi oi tng,
ng ni t c nh gi cao, lm tng nhu cu nhp khu i vi sn phm nc
ngoi, cng nh dn n gim nhu cu ca ngi nc ngoi i vi sn phm trong
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nc. Hn na, lm pht tng gy ra do thc hin cc chnh sch m rng ti kha, kt
qu lm tng gi tr tng i ca hng ha trong nc i vi hng ha nc ngoi,
mt ln na lm gim nhu cu ca ngi nc ngoi i vi hng trong nc v tng
nhu cu ca ngi dn trong nc i vi hng ha nc ngoi, p lc lm tng thm
ht ti khon vng lai trong nn kinh t. S xut hin ca thm ht ngn sch v thm
ht ti khon vng lai rt nhiu nc thu ht s ch ngy cng tng ca nhiu
nh nghin cu v vn thm ht kp v c nhiu bi nghin cu l thuyt cng
nh thc nghim ca nhiu tc gi kim nh gi thuyt ny. Kt qu nghin cu
a ra bn mi quan h nhn qu gia thm ht ngn sch (BD) v thm ht ti khon
vng lai (CAD), bao gm BD CAD, BD CAD, CAD BD v BD CAD.
Vit Nam cng tn ti trng hp tng t nh cc nc trn th gii v trong sut
khong thi gian sau khi m ca, ngn sch Chnh ph v cn cn vng lai lun trong
trng thi thm ht. Tr nm cc t 1999-2001, nhng nm m ln u tin cn cn
vng lai Vit Nam chuyn sang thng d, sut thi gian cn li cn cn vng lai lun
trong trng thi thm ht, c bit l nm 2008, thm ht tng ln n mc 9 t la
M do b nh hng ca khng hong ti chnh th gii. Ngn sch ca Vit Nam lun
trong trng thi thm ht v thu khng b p cho chi tiu ca Chnh ph nhm
pht trin kinh t v iu tit nn kinh t v m. Liu rng thm ht cn cn vng lai v
thm ht ngn sch Vit Nam c tn ti mt mi quan h tc ng qua li hay khng,
nhm chng ti tin hnh thc hin bi nghin cu thc nghim kim nh mi
quan h ny ti Vit Nam, thu thp d liu v thm ht ti khon vng lai, thm ht
ngn sch, li sut ngn hn v t gi hi oi USD/VND theo qu, t qu 1 nm 2000
n qu 3 nm 2011. Phn 2 ca bi nghin cu ny trnh by v c s l thuyt ca
gi thuyt thm ht kp, cc kt qu nghin cu thc nghim trc y cc quc
gia trn th gii v thc trng thm ht kp ti Vit Nam trong nhng nm qua. Phn 3
trnh by m hnh v phng php c lng, chng ti s dng kim nh tnh dng
(unit root test) ADF (Augmented Dickey Fuller), kim nh ng lin kt bng
phng php Engle-Granger v phng php Johasen, tip n thc hin kim nh
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mi quan h nhn qu Granger v cui cng l dng kim nh VECM. Phn 4 a ra

cc kt qu kim nh v phn tch kt qu kim nh. Phn cui bi nghin cu s kt
lun v mi quan h gia thm ht ti khon vng lai v thm ht ngn sch ti Vit
Nam.
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2. TNG QUAN V CC KT QU NGHIN CU TRC

Y (LITERATURE REVIEW)
2.1.
L thuyt nn tng v Thm ht kp (Theoretical basics)
2.1.1 Chnh sch ti kha

Chnh sch ti kha (CSTK) l chnh sch ca Chnh ph nhm tc ng ln nh
hng pht trin ca nn kinh t, mc tiu iu tit v m nn kinh t, n nh nn kinh
t mc sn lng mc tiu (Yp) thng qua cc h thng cc gii php gm iu chnh
thu nhp v chi tiu ca Chnh ph.
Chnh sch ti kha, trong ngn hn, iu tit sn lng thc t, lm pht, tht nghip
nhm n nh kinh t. Trong di hn, chnh sch ti kha iu chnh c cu kinh t v
thc y tng trng lu di.
Chnh sch ti kha lin quan n tc ng tng th ca ngn sch i vi hot ng
kinh t. Ty vo thc trng ca nn kinh t v mc tiu iu tit nn kinh t, Chnh ph
s s dng cc chnh sch ti kha khc nhau:
-
Chnh sch ti kha trung lp l chnh sch cn bng ngn sch, khi
G=T, (trong G: chi tiu Chnh ph, T: thu nhp t thu), chi tiu ca Chnh
ph hon ton c cung cp do ngun thu t thu v nhn chung kt qu c nh
hng trung tnh ln mc ca cc ha ng kinh t.
-
Khi nn kinh t ang tnh trng suy thoi,Nh nc c th p dng
chnh sch ti kha m rng, chnh sch tng cng chi tiu ca Chnh ph (G >
T) thng qua chi tiu Chnh ph tng hoc gim bt ngun thu t thu hoc kt
hp c hai. Vic ny s dn n thm ht ngn sch nng n hn hoc thng d
ngn sch t hn nu trc c ngn sch cn bng.
-
Ngc li, khi nn kinh t tnh trng lm pht v c hin tng nng,
Nh nc c th s dng chnh sch ti kha thu hp, trong chi tiu ca

Chnh ph t i thng qua vic tng thu t thu hoc gim chi tiu hoc kt hp
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c hai. Vic ny s dn n thm ht ngn sch t i hoc thng d ngn sch

ln hn so vi trc , hoc thng d nu trc c ngn sch cn bng.
2.1.2 Ti khon vng lai
Ti khon vng lai (cn gi l cn cn vng lai) trong cn cn thanh ton ca mt quc
gia ghi chp nhng giao dch v hng ha, dch v v thu nhp gia ngi c tr trong
nc vi ngi c tr ngoi nc. Nhng giao dch dn ti s thanh ton ca ngi c
tr trong nc cho ngi c tr ngoi nc c ghi vo bn "n". Cn nhng giao
dch dn ti s thanh ton ca ngi c tr ngoi nc cho ngi c tr trong nc
c ghi vo bn "c". Thng d ti khon vng lai xy ra khi bn c ln hn bn n.
Cn cn ti khon vng lai bao gm:
-
Cn cn thng mi hng ha: ghi li cc giao dch v xut khu v nhp
khu hng ha ca mt quc gia. i vi phn ln cc quc gia th cn cn

thng mi l thnh phn quan trng nht trong ti khon vng lai. Tuy nhin,
i vi mt s quc gia c phn ti sn hay tiu sn nc ngoi ln th thu
nhp rng t cc khon cho vay hay u t c th chim t l ln. V cn cn
thng mi l thnh phn chnh ca ti khon vng lai, v xut khu rng th
bng chnh lch gia tit kim trong nc v u t trong nc, nn ti khon
vng lai cn c th hin bng chnh lch ny.
-
Cn cn dch v: ghi chp li cc giao dch v vn ti, du lch, v cc
dch v khc ca mt quc gia.

-
Cn cn thu nhp: ghi chp nhng khon thu nhp ca ngi lao ng
nh kiu hi, thu nhp t u t.

-
Cn cn chuyn khon: bao gm nhng khon vin tr khng hon li,
gi tr ca nhng khon qu tng, v cc chuyn giao khc bng tin v hin vt

cho mc ch tiu dng ca ngi c tr v khng c tr.
Tt c cc khon thanh ton ca cc b phn Nh nc hay t nhn u c gp
chung vo trong tnh ton ny.
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Cng vi ti khon vn, v thay i trong d tr ngoi hi, ti khon vng lai hp
thnh cn cn thanh ton.
Ti khon vng lai thng d khi quc gia xut khu nhiu hn nhp khu, hay khi tit
kim nhiu hn u t. Ngc li, ti khon vng lai thm ht khi quc gia nhp nhiu
hn hay u t nhiu hn. Mc thm ht ti khon vng lai ln hm quc gia gp
hn ch trong tm kim ngun ti chnh thc hin nhp khu v u t mt cch bn
vng.
2.1.3 Thm ht kp
Theo l thuyt thm ht kp, s thay i trong thm ht ngn sch dn n s thay i
tng t trong thm ht ti khon vng lai v ngc li. lm r mi quan h gia
hai bin ny, chng ta bt u vi nh ngha thu nhp quc gia cho mt nn kinh t
m:
Y=C+I+G+XM
(1)
Trong Y l thu nhp quc dn; C l tiu dng t nhn; I l chi tiu u t thc s
trong nn kinh t nh chi tiu cho thit b, xy dng, nh my; G l chi tiu ca Chnh
ph v hng ho v dch v; cui cng, X l xut khu hng ho v dch v, v M l
nhp khu hng ho v dch v.
T phng trnh (1), ti khon vng lai (CA) c nh ngha l bng s chnh lch
gia xut khu (X) tr nhp khu (M), c th c vit li l:
CA = Y - (C + I + G)
(2)
Vi (C + I + G) c xc nh l chi tiu ca ngi dn trong nc. Trong mt nn

kinh t ng, khng c thng mi quc t, tit kim (S) bng u t (I) (S = I). Tuy
nhin, trong mt nn kinh t m c c th c nh ngha l:
S = I + CA
(3)
T phng trnh (3), chng ta bit rng trong mt nn kinh t m, mt quc gia c th
tm kim qu u t c trong nc v quc t tng thu nhp trong tng lai. Tit
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kim quc gia c th c chia thnh cc thnh phn t nhn v Chnh ph. Tit kim
t nhn, k hiu l Sp trong khi tit kim Chnh ph, k hiu l Vn:
Sp = Y - T - C
(4)
Vn = T - G
(5)
trong T l thu thu ca Chnh ph. Sau , chng ta c th s dng cc phng trnh
(4) v (5) thay th vo phng trnh (3) v s c c kt qu:
Sp = I + CA Vn
(6)
Sp = I + CA + (G - T)
(7)
CA = Sp - I - BD
(8)
Hay
Hay
Phng trnh (8) ni ln rng s gia tng thm ht ngn sch s gy ra mt s gia tng
tng t trong thm ht ti khon vng lai, nu tit kim t nhn v u t khng thay
i nhiu hoc gi nguyn. iu ny ng h quan im ca Keynes. Ngc li,
Summers (1988) lp lun rng mt quan h nhn qu o ngc c th xy ra t ti
khon vng lai ti bin ngn sch Chnh ph khi suy gim trong thm ht ti khon
vng lai dn n tc tng trng kinh t chm hn v sau lm tng thm ht
ngn sch.
Trong bi cnh khc, theo gi thuyt cn bng Ricardo, khi Chnh ph ct gim thu v
tng thm ht ngn sch, ngi dn d on rng h s phi i mt vi thu cao hn
trong tng lai v sau h phi tr li cc khon n ca Chnh ph. V vy, ngi
dn s gim chi tiu ca h v tng tit kim (t nhn) b p cho s st gim trong
tit kim ca Chnh ph. Nh vy, thm ht ngn sch khng c nh hng n thm
ht ti khon vng lai.
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2.2.
Nhng bng chng thc nghim v thm ht kp trn th gii
Nh cp trc y, mi quan h gia thm ht ngn sch Chnh ph v thm ht

ti khon vng lai l mt vn c ch ca cc nh hoch nh chnh sch v cc
nh nghin cu trong cc thp k qua, v rt nhiu l thuyt v nghin cu v thc
nghim c thc hin. Cc nc i mt vi thm ht ti khon vng lai c
gng p dng chnh sch ti kha nhm gim thm ht hoc loi b n. c rt nhiu
nghin cu thc nghim v gi thuyt thm ht kp. Theo cc nghin cu, c th c 4
mi quan h nhn qu c th c gia thm ht ngn sch (BD) v thm ht ti khon
vng lai (CAD), bao gm BD CAD, BD CAD, CAD BD v BD CAD.
Hnh 2.1: Bn mi quan h c th c ca thm ht kp (4 possible types of
relationship between twin deficit)
Ngun: Jui-Chuan Chang v Zao-Zhou Hsu (2009)
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u tin, l thuyt gii thch quan h gia BD v CAD l m hnh Mundell-Fleming.

M hnh Mundell - Fleming cho rng s gia tng trong BD gy ra mt p lc ln li
sut, v li sut s tc ng n dng vn chy vo, lm tng t gi hi oi, cui cng
dn n s gia tng trong CAD. L thuyt th hai gii thch mi lin kt gia trng
thm ht kp l l thuyt hp th Keynes, cho thy rng s gia tng trong BD s gy ra
s hp th trong nc v do tng nhp khu, gy ra s gia tng hoc lm xu i
trng thi thm ht ti khon vng lai. C hai m hnh Mundell-Fleming v l thuyt
Keynes u h tr cc mi quan h gin tip BD ti CAD (BD CAD).
Laney (1984) tm thy mi quan h mt chiu t thm ht ngn sch ti thm ht ti
khon vng lai khi ng nghin cu mi quan h gia ng la M c nh gi qu
cao, thm ht ngn sch v thm ht ti khon vng lai ln ca M v cc nc pht
trin cng nh cc nc ang pht trin khc. S dng phng php bnh phng b
nht (OLS), kt qu cho thy rng cn bng ti kha l mt yu t quyt nh s cn
bng bn ngoi, c ngha thng k ng ch cc nc ang pht trin hn l cc
nc cng nghip. Trong khi , Ahmed (1986) bo co rng mt s thay i r rng
v tm thi trong chi tiu Chnh ph s dn n thm ht ti khon vng lai thng qua
cu gim. Cc nghin cu khc ng h cc xut ca Keynes, trong s gia tng
thm ht ngn sch dn n ti khon vng lai tr nn thm ht hn bao gm Abell
(1990), Zietz v Pemberto (1990), Bachman (1992), Rosensweig v Tallman (1993),
Dibooglu (1997), Vomvoukas (1997), Piersanti (2000), Akbostanci v Tunc (2001), v
Leachman v Francis (2002).
Trong bi nghin cu xem xt li gi thuyt thm ht kp, iu tra tc ng ca vic
cng c ti kha ln ti khon vng lai ca tc gi John Bluedorn v Daniel Leigh. D
liu c ly t nm 1978-2009 ca 16-17 quc gia. Kim nh bng m hnh hi quy
vi cc bin: thay i trong t l ti khon vng lai trn GDP, bin ln ca hnh
ng da trn s bn vng ti kha theo phn trm GDP, chnh l tc ng ca
ngn sch ln thay i trong thu v chi tiu c thc y bi mong mun gim thm
ht ngn sch da trn cc s liu ca Devries (2011). Xem kt qu thu c da trn
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phng php chun CAPB, kt qu cho thy s bn vng ti kha c tc dng ng k

n ti khon vng lai. c tnh cho thy t l bn vng ti kha trn GDP tng 1%
lm tng t l ti khon vng lai trn GDP khong 0,6%.
Th hai, Mt gii thch khc v mi quan h gia BD v CAD c da trn gi nh
rng thm ht kp ny khng lin quan vi nhau. H tuyn b rng thm ht ngn sch
khng gy ra bt k s thay i no v li sut v t gi hi oi (Garcia v Ramajo,
2004), do khng nh hng n s mt cn bng ti khon vng lai. Do , theo l
thuyt cn bng Ricardo, thm ht ngn sch v thm ht ti khon vng lai l c lp,
c ngha l, BD CAD.
Barro (1974) pht hin ra rng khng c mi tng quan gia thm ht trong khu vc
cng v s mt cn bng trong ti khon vng lai, khi ng bt u t trng hp tiu
chun "n trung lp". iu ny c th c hiu bng cch gim tit kim cng do
thm ht ngn sch s gn lin vi mt s gia tng tng ng trong tit kim t nhn
(xem Barro, 1989). L do ng sau l ngi tiu dng mong i rng ct gim thu
ngy hm nay m kt qu l thm ht ti kha s dn n s gia tng thu trong tng
lai phc v n cng, do , h s tit kim tin ngy hm nay tr tin tng thu
trong tng lai. Cc nghin cu thc nghim bi Miller v Russek (1989), Dewald v
Ulan (1990), Enders v Lee (1990), Evans v Hasan (1994), Wheeler (1999) cng tm
thy bng chng h tr cho l thuyt cn bng Ricardo, trong thm ht ti kha bn
trong v bn ngoi l khng tng quan.
Theo nghin cu ca Kaufmam v cc cng s (2002), liu ti khon vng lai ca ca
o c chu s tc ng ca thm ht ngn sch quc gia (thng qua lin kt gia thm
ht ngn sch v thm ht ti khon vng lai l li sut, nh c trnh by trong
m hnh truyn thng Mundell Fleming) hay chu s tc ng ca s ti phn b gia
chi tiu dng v u t (nh nhn mnh trong gi thuyt cn bng Ricardo). S
dng kim nh VECM bao gm 3 vecto ng tch hp v tr b sung ca bin ni
sinh l 4, tc gi tnh ton phng sai sai s d bo ca bin ti khon vng lai v phn
11
Chuyn tt nghip
ng y. S dng d liu theo qu t nm 1976 n nm 1997, cc bin bao gm GDP

l thc o thu nhp, nng sut ni a, v mt thc o cho nng sut nc ngoi, chi
tiu Chnh ph; thng d ngn sch v ti khon vng lai th hin di dng phn trm
trn GDP. Cc bin ti chnh bao gm li sut di hn v iu khon thng mi. Bin
nng sut l sn phm cng nghip bnh qun trn s lao ng, iu khon thng mi
l t l gi xut khu/gi nhp khu. Tnh ton phng sai sai s d bo a ra kt qu
l: trong di hn, nng sut ni a v iu khon thng mi chim 65% sai s d
on. Li sut ko c ngha ng k, thm ht ngn sch l 14%, trong khi chi tiu
Chnh ph ch chim khong gn 5% phng sai sai s d on. Mc d bng chng
ny khng mu thun vi gi thuyt thm ht kp, song phng sai sai s d bo cng
cho thy rng li sut ch gii thch mt phn nh ca sai s ca ti khon vng lai. Tc
gi lp lun rng li sut l mt bin quan trng trong m hnh Mundell-Fleming, do
c th xem y nh l bng chng chng li s lin kt gia thm ht ngn sch v
thm ht ti khon vng lai.
Trong bi nghin cu v c sc sn lng, thm ht ngn sch v ti khon vng lai
ca Matthieu Busiere, Marcel Fratzscher v Gernot J.Muller (2005), tc gi s dng
mu gm 21 quc gia thuc OECD vi d liu thi gian t nm 1960 n 2003. Tc
gi xem xt rt nhiu bin ti chnh tc ng n ti khon vng lai nh sn lng,
tit kim, u t, ngn sch Chnh ph. Kt qu kim nh v tc ng ca ngn sch
Chnh ph ln ti khon vng lai cho thy rng tc ng ny rt thp. i vi cc quc
gia G7 th m hnh hi quy khng c ngha cn i vi c mu trong OECD, h s
l 0.07. Trong khi , yu t c sc sn lng ca mi quc gia th c ngha hu
ht cc quc gia.
Th ba, Mt quan h nhn qu theo mt hng t thm ht ti khon vng lai tc
ng n thm ht ngn sch cng c th tn ti. Kt qu ny xy ra khi s suy thoi
trong ti khon vng lai dn n tc tng trng kinh t chm hn v dn n s
gia tng thm ht ngn sch. Mt t nc tri qua mt cuc khng hong ti chnh
hoc khng hong kh nng thanh ton do thm ht ti khon vng lai qu mc c th
12
Chuyn tt nghip
phi i mt vi tnh hung trong lng ln qu cng c bm vo phc hi

ngnh ti chnh ang gp kh khn, ci thin h thng qun tr doanh nghip, v
gim cuc suy thoi. V d ti Hn Quc, thm ht ti kha c php tng ng k
cho cc mc ch h tr cc hot ng kinh t v tng sc mnh mng li an ton x
hi sau cuc khng hong ti chnh nm 1997. Mi quan h nhn qu trong trng
hp ny c chiu t thm ht ti khon vng lai ti thm ht ngn sch (CAD BD).
Mi quan h nhn qu o ngc ny c gi l "ti khon vng lai mc tiu ' ca
Summers (1988). ng cho rng iu chnh bn ngoi c th tm kim thng qua chnh
sch ti kha. iu ny c bit ng i vi mt nn kinh t nh m ca, ang pht
trin ph thuc ln vo dng vn u t nc ngoi (v d nh u t trc tip nc
ngoi) ti tr cho s pht trin kinh t. Ni cch khc, ngn sch ca mt quc gia
s b nh hng bi dng vn chy vo ln hoc thng qua tch ly n v iu ny cui
cng s dn ti thm ht ngn sch. Nghin cu v tnh hnh ca chu M La Tinh v
mt s cc nc ng minh ha cho iu ny (xem Reisen, 1998). Cc bi vit
bi Anoruo v Ramchander (1998) v Philipin, n , Indonesia v Hn Quc; Khalid
v Teo (1999) v Indonesia v Pakistan cng cung cp y bng chng h tr
cho gi thuyt ny. Theo h, iu ny s xy ra nu Chnh ph ca mt quc gia s
dng chnh sch ti kha thc hin mc tiu cn bng ti khon vng lai.
Alkswani v Al-Towaijari (1999) cung cp bng chng thc nghim v mi quan h
nhn qu o ngc gia hai thm ht cho -rp X-t. Trong khi Anoruo v
Ramchander (1998) cng khm ph ra rng thm ht thng mi gy ra thm ht ngn
sch mt s nc chu . H lp lun rng cc Chnh ph cc nc ang pht trin
c th tham gia vo cc kch thch ti chnh gim bt hu qu kinh t v ti kha do
s thm ht thng mi ln. Nn kinh t tng trng chm do thm ht ti khon vng
lai ln hin nay khng nhng lm tng chi tiu ca Chnh ph m cn gim doanh thu
thu.
13
Chuyn tt nghip
Trong bi nghin cu ca ng Carlos Fonseca Marinheiro (2007), nghin cu v tnh

hp l ca gi thuyt thm ht kp Ai Cp. S dng d liu v CAD v BD theo t l
phn trm ca GDP trong giai on t nm 1974 n nm 2004. u tin, ng kim
nh gi thuyt cn bng Ricardo liu rng thm ht ngn sch v thm ht ti khon
vng lai c quan h vi nhau hay khng, mt s gia tng trong thm ht c c b
p bng mt s gia tng trong tit kim t nhn hay khng. Kt qu thc nghim
bc b tnh hp l ca gi thuyt ny i vi trng hp ca Ai Cp: ch c s cn
bng mt phn, tc l tiu dng t nhn ch b p c mt phn (cha c mt
na) thu hon i n cng trong tng lai. Tip tc nghin cu v gi thuyt thm ht
kp, ng cng thc s tm thy bng chng (yu) ng h mi quan h di hn gia
thm ht ngn sch v thm ht ti khon vng lai.
CADt = 0.308*BDEFt
Trong thc t, nu y l mt vector ng tch hp, n s cho thy mt mi tng quan
tch cc gia thm ht ngn sch v thm ht ti khon vng lai. Tuy nhin, vic pht
hin mt mi tng quan tch cc khng ch ra quan h nhn qu rng: liu thm ht
ngn sch l nguyn nhn gy thm ht bn ngoi, hay l chiu ngc li. ng tip tc
kim nh m hnh nhn qu Granger trong m hnh VECM v m hnh quan h nhn
qu Granger truyn thng, v kt qu ch ra rng: c mi quan h nhn qu Granger
chy t thm ht ti khon vng lai ti thm ht ngn sch:
CAD BD
Gii thch cho mi quan h nhn qu o ngc ny da trn s chu nh hng ca
cn cn ngn sch vi cc bin ng v sn lng trong nc. Th nht, dng vn vo
c xu hng nh gi cao t gi hi oi, t lm suy gim thng mi. Ngoi ra,
mt c sc ngoi sinh tiu cc, c th dn n s gim st trong xut khu hoc lm
tng nhp khu. S suy thoi trong cn bng bn ngoi, phn nh s thay th ca hng
sn xut trong nc bng hng nhp khu (tng i r hn), c tc ng tiu cc i
vi sn lng trong nc, t dn n doanh thu thu gim v lm suy gim cn cn
14
Chuyn tt nghip
ngn sch. Th hai, Chnh ph c th s dng kch thch ti chnh gim thiu tc
ng tiu cc ca thm ht ti khon vng lai i vi sn lng trong nc. Trong
trng hp ny, thm ht ti khon vng lai gy ra s suy thoi kinh t, lm tng chi
tiu Chnh ph v lm gim doanh thu thu. iu ny cho thy thm ht ngn sch ca
Chnh ph khng tc ng n thm ht bn ngoi, m thay vo l mi nhn qu
o ngc chy t thm ht bn ngoi ti thm ht ngn sch bn trong. Do , s ci
thin cn bng bn ngoi cho php lm gim thm ht ngn sch. Do khng phi
gim cc khon thu thu cng khng phi tng chi Chnh ph i ph vi s suy
gim tng trng. Tc gi xut rng chnh sch cn c p dng ch yu l gim
thm ht ti khon vng lai. T nhng phn tch, bi nghin cu cng nhn mnh tnh
quan trng ca vic duy tr tnh linh hot trong h thng t gi hi oi. iu ny s
lm cho nn kinh t Ai Cp t b tn thng do tc ng ca dng vn u c v trnh
cc chi ph v hiu ha.
Antonio Afonso v Christophe Rault (2009) cng s dng kim nh nhn qu Granger
kim nh mi quan h gia thm ht ngn sch v thm ht ti khon bn ngoi
cho cc nc EU v OECD. Bi nghin cu ny ny gp phn vo khng nh mi
quan h nhn qu gia cc cn i ngn sch v cn bng bn ngoi ti cc nc Lin
minh chu u v cc nc OECD, trong giai on 1970-2007. Trong cch tip cn tc
gi, tc gi chp nhn mi tng quan gia cc quc gia, m khng cn kim nh
nghim n v (unit root test). Tt c cc d liu s d ti khon vng lai, ngn sch
Chnh ph v t gi hi oi thc c ly t y ban chu u AMECO (Annual
Macro-Economic Data), t IMF v d liu ca OECD. Tc gi chia thnh bn nhm
quc gia khc nhau: EU15, EU25, Cgroup21, v Cgroup26 d dng trong vic kim
nh. Tc gi xy dng kim nh mi quan h nhn qu Granger da trn phng
php tip cn ca Konya (2006) trn hai bin (ti khon vng lao, (CA), ngn sch
Chnh ph, (BUD)) hoc ba bin (CA, BUD v t gi hi oi thc, (REX)) trong giai
on 1970-2007, cho mt s nc EU v cc nhm nc OECD. Tc gi s dng cc
phng php tip cn ca Konya (2006), da trn h thng SUR v kim nh Wald.
15
Chuyn tt nghip
Tc gi xy dng m hnh c mt s li th. Th nht, n khng gi nh rng cc d

liu bng l ng nht, do , c th kim tra quan h nhn qu Granger trn mi bng
ring bit. Tuy nhin, bi mi tng quan c chp nhn qua cc nc, lm cho c
th khai thc thm cc thng tin c cung cp bi cc d liu bng. Th hai, cch tip
cn ny khng yu cu kim nh nghim n v v kim nh ng lin kt, mc d
n vn cn i hi cc c im k thut ca cu trc tr. y l mt tnh nng
quan trng bi v kim nh nghim n v v ng lin kt ni chung l kh nng
thp, v cc kim nh khc nhau thng dn n kt qu tri ngc. Th ba, phng
php tip cn quan h nhn qu Granger cho php cc nh nghin cu pht hin cho
bao nhiu v cho bin no ca d liu tn ti mt quan h nhn qu, quan h nhn qu
hai chiu hoc khng c quan h nhn qu Granger. i vi thit lp da trn hai bin
thm ht ngn sch v thm ht ti khon vng lai, tc gi kim nh c s tn ti
ca mi quan h nhn qu Granger trc tip mt chiu t ngn sch Chnh ph n ti
khon vng lai (BD CAD) ti nm quc gia chu u: Bulgaria, Cng ha Sc, Phn
Lan, Lithuania, v Xl-va-ki-a, trong Phn Lan khng phi l mt nc thnh vin
mi (NMS) ca EU. Khi t gi hi oi thc c a vo m hnh, kim nh cn cho
thy tn ti mi quan h nhn qu mt chiu t ngn sch Chnh ph n ti khon
vng lai Estonia, Hungary, Ba Lan, Php v Italy. V s tn ti ca mi quan h nhn
qu t ti khon vng lai n Ngn sch Chnh ph ( CAD BD), c bng chng
thng k cho mt b khc nhau ca cc quc gia, by quc gia thuc Lin minh chu
u (o, B, Ireland, Ty Ban Nha, Cng ha Sc, Estonia, v ), v nm quc gia
khng thuc EU (c, Canada, Na Uy, Iceland, v Mexico). Kt qu khng thay i khi
thm bin t gi hi oi thc vo m hnh kim nh.
Th t, quan h nhn qu hai chiu c th tn ti gia ngn sch v thm ht ti khon
vng lai, (BD CAD). Trong khi thm ht ngn sch c th gy ra thm ht ti khon
vng lai, s tn ti ca thng tin phn hi c th gy ra mi quan h nhn qu gia hai
bin trong c hai hng. Cc nh nghin cu Darrat (1988), Islam (1998) v Mansouri
(1998) tin hnh mt s nghin cu thc nghim kim tra mi lin kt hai chiu ca
16
Chuyn tt nghip
thm ht kp. Darrat (1988) s dng kim nh nhn qu a bin Granger kt hp vi

tiu ch d on sai s Akaike nghin cu mi quan h nhn qu gia thm ht ngn
sch v thm ht ti khon vng lai M cho giai on t 1/1960 n 4/1984. Kt qu
thc nghim cho thy mt lin kt hai chiu tn ti gia hai bin. Islam (1998) phn
tch s lin quan ca gi thuyt trng thm ht kp Brazil cho giai on 1973 - 1991.
Kt qu ca ng cng cho kt qu quan h hai chiu gia cn cn ngn sch v s mt
cn bng thng mi. i vi trng hp ca Marc, s dng kim nh ng lin kt
v cc m hnh hiu chnh sai s, Mansouri (1998) cho rng c hai hng ngn hn v
di hn trong quan h nhn qu gia thm ht ti chnh trong v bn ngoi.
Trong bi nghin cu kim nh gi thuyt thm ht kp Iran (2011) ca tc gi
Akbar Zamanzadeh, b ni v Kinh t v Ti chnh Iran cng Mohsen Mehrara, khoa
kinh t, i hc Tehran, Iran. minh ha mi quan h gia chnh sch ti kha v ti
khon vng lai, bng cch s dng m hnh cung cu ca Keynes cho mt quc gia m
ca, tc gi xem xt phng trnh tng thu nhp quc dn, tc gi l lun rng trong
iu kin cn bng, xut khu rng phi bng tng tit kim t nhn v khu vc cng,
n c ngha l nu ngn sch Chnh ph cn bng (G-T=0), tit kim t nhn bng u
t (S-I=0), th s khng c bt k thm ht hay thng d ti khon vng lai (N-X=0).
NX = (S-I) + (G-T)
Chia phng trnh trn cho GDP
CBD
t + t
Cc bin c s dng bao gm tng sn phm quc ni (GDP), xut khu (khng tnh
xut khu du), nhp khu (M), chi tiu Chnh ph(G) v thu (T), tt c c tnh
mc gi khng i nm 1997, ngun ly t Ngn hng Trung ng Iran trong
khong thi gian t nm 1959-2007. S dng m hnh hiu chnh sai s (ECM), h s
ca sai s hiu chnh (EET) m v mc ngha 5%, iu ny chng minh cho s tn
ti ca mt mi quan h lu di n nh gia cc bin s. H s EET t gi tr khong
17
Chuyn tt nghip
-0,25, ng rng mt lch t trng thi cn bng c iu chnh t trng thi cn

bng khong 25% sau mi nm, cho bt k s mt cn bng trong ti khon vng lai
ca Iran phi mt bn nm t c trng thi cn bng mi. Kim nh quan h
nhn qu Granger gia thm ht ngn sch v thm ht ti khon vng lai, kt qu cho
thy c mi quan h ngu nhin hai chiu gia thm ht ngn sch v thm ht ti
khon vng lai mc tin cy 90%. Pht hin ny ti khng nh gi thuyt trng
thi thm ht kp, chng li gi thuyt tng ng vi Ricardo.
Trong mt cuc iu tra thc nghim cho gi thuyt thm ht kp cho 6 nc mi ni
l Brazil, cng ha Sc, Nam Phi, Colombia, Mexico v Th Nh K ca Sadullah
Ceck v Pinar Deniz, s dng d liu hng qu t nm 1996 n nm 2006. Cc quc
gia c la chn da theo s tn ti lu di ca thm ht thng mi v thm ht
ngn sch. C hai thm ht iu c chuyn i sang ng USD. Trung bnh hng
qu ca t gi hi oi c s dng c chuyn i t ni t sang la M. Ph
hp vi pht hin thc nghim, tc gi tm thy tn ti mi quan h gia hai tnh trng
thm ht.
Baharumshah c bi nghin cu thc nghim v gi thuyt thm ht kp ti chn
nc thuc khu vc ng v Nam (2006). Tc gi bi nghin cu a ra mt
nh gi ca cc nghin cu trong hai thp k qua cho thy: th nht,
nhn mnh tm quan trng ca cc bin s ti chnh nh li sut v t gi hi oi
trong mi quan h vi thm ht ngn sch v ti khon vng lai . Hu ht cc nghin
cu trc b qua vai tr ca hai bin ti chnh ny trong vic lm cu ni lin kt
gia hai thm ht. Th hai, khng ging nh cc cuc khng hong n vo nhng nm
1980 c thc y thm ht ngn sch, nm 1994 Mexico v cuc khng hong ng
1997-1998 l do s mt cn bng trong ti khon vng lai. Tc gi a bin c s
dng trong nghin cu l thm ht ti khon vng lai, thm ht ngn sch, t gi hi
oi danh ngha v li sut ngn hn c thng k t nm 1980 n nm 2001. Tc
gi xy dng mt d liu bng gm bn bin vi chn quc gia, mi bin s c 198
quan st (t = 22, n = 9) trong t l s chui thi gian v n l s quc gia. thng
18
Chuyn tt nghip
nht, tt c cc bin c th hin bng la M. Kt qu kim nh cho thy thm ht

ti kha khng gy ra thm ht ti khon vng lai c bc b ti mc ngha 5%.
Hn na, kim nh Wald cho thy mi quan h nhn qu hai chiu gia hai bin. iu
ny cho thy rng thm ht ti kha khng phi l nguyn nhn chnh ca thm ht
vng lai v nh hng t thm ht vng lai n thm ht ti kha c mc ngha cao
hn. iu ny ph hp vi cc bi nghin cu trc ca Anoruo v Ramchander
(1998), Khalid v Teo (1999) da trn cc nc ang pht trin. Khalid v Teo (1999)
lu rng mi quan h cht ch gia thm ht kp nhiu kh nng xy ra cc nc
ang pht trin hn l cc nn kinh t pht trin. Pht hin ny dng nh tri ngc
vi quan im thng thng, trong nhn mnh rng mi quan h nhn qu chy t
thm ht ngn sch n thm ht ti khon vng lai v khng th l ngc li. Kim
nh Granger cho thy thm ht ngn sch gy ra thm ht ti khon vng lai bng
thng qua cc knh t gi hi oi v li sut. Tc gi kim nh ln nhau gia cn cn
ti khon vng lai v cn cn ti kha bng cch s dng thit lp c th tng nc.
Tc gi tin hnh kim nh VAR. Kt qu l tn ti quan h hai chiu gia ngn sch
v cn cn ti khon vng lai su trong chn quc gia c iu tra. Kt lun, tc gi
bi nghin cu a ra mi quan h gia ngn sch Chnh ph v ti khon vng lai
theo nhng cch sau y. Th nht, tc gi thy rng mi quan h nhn qu gia thm
ht ngn sch v ti khon vng lai thng qua hai knh: mt cch trc tip gia thm
ht ngn sch v thm ht ti khon vng lai v mt cch gin tip l thng qua li sut
v t gi hi oi. Th hai, tc gi thy rng tn ti qu trnh lin tc vi hin tng
vng trn lun qun trong mi quan h gia ngn sch Chnh ph v cn cn vng
lai.Mi quan h vng trn lun qun ny c biu din hnh 2.2.
19
Chuyn tt nghip
Hnh 2.2: Mi quan h ca cc bin kinh t gia thm ht ngn sch, thm ht
ti khon vng lai, li sut v t gi.
IR
BD
EXC
CAD
: mi quan h mt chiu
: mi quan h hai chiu
Ngun: Khalid v Teo (1999)
Vng trn lun qun ny c gii thch nh l ngn sch Chnh ph tc ng ln li

sut, li sut thay i s nh hng n t gi, v sau t gi to p lc ln ti khon
vng lai, ti khon vng lai li nh hng tr li ngn sch Chnh ph. Trong khi ,
ngn sch Chnh ph cng tc ng ngc li ln ti khon vng lai. Mi quan h ny
tr thnh vng trn khp kn.
Tng kt cc nghin cu thc nghim:

Qua cc nghin cu v l thuyt thm ht kp, phn nh v mi quan h gia thm
ht ngn sch v thm ht ti khon vng lai cc nc trn th gii, thc t c th c
4 mi quan h khc nhau nh sau:
20
Chuyn tt nghip
-
BD CAD: mi quan h nhn qu mt chiu t thm ht ngn sch ln thm

ht cn cn vng lai, hay mt s tng (gim) thm ht ngn sch quc gia s lm
trm trng (ci thin) thm ht ti khon vng lai. C 2 m hnh gii thch cho
mi quan h ny: theo m hnh Mundell Flaming, s gia tng trong BD gy ra
mt p lc ln li sut, v li sut s tc ng n dng vn chy vo v v lm
tng t gi hi oi, cui cng dn n s gia tng trong CAD. L thuyt th hai
gii thch mi lin kt gia cc trng thm ht kp l l thuyt hp th Keynes,
cho thy rng s gia tng trong BD s gy ra s hp th trong nc v do
tng nhp khu, gy ra s tng hoc xu i ca CAD.
BD CAD: thm ht kp l khng lin quan vi nhau: thm ht ngn sch

khng gy ra bt k s thay i no v li sut v t gi hi oi (Garcia v
Ramajo, 2004), do khng nh hng n s mt cn bng ti khon vng lai,
thm ht ngn sch v thm ht ti khon vng lai l c lp. iu ny c th
c hiu bng cch gim tit kim cng do thm ht ngn sch s gn lin vi
mt s gia tng tng ng trong tit kim t nhn. L do ng sau l ngi tiu
dng tin rng ct gim thu ngy hm nay m kt qu l thm ht ti kha s
dn n s gia tng thu trong tng lai phc v n cng, do , h s tit
kim tin ngy hm nay tr tin tng thu trong tng lai.
CAD BD: quan h nhn qu theo mt hng t thm ht ti khon vng lai
tc ng n thm ht ngn sch cng c th tn ti. Kt qu ny xy ra khi s
suy thoi trong ti khon vng lai dn n tc tng trng kinh t chm hn
v dn n s gia tng thm ht ngn sch. Mi quan h nhn qu o ngc
ny c gi l "ti khon vng lai mc tiu. iu ny c bit ng i vi
mt nn kinh t nh m ca, ang pht trin ph thuc ln vo dng vn u t
nc ngoi (v d nh u t trc tip nc ngoi) ti tr cho s pht trin
kinh t. Ni cch khc, ngn sch ca mt quc gia s b nh hng bi dng
vn chy vo ln hoc thng qua tch ly n v iu ny cui cng s dn ti
thm ht ngn sch.
21
Chuyn tt nghip
-
BD CAD: quan h nhn qu hai chiu c th tn ti gia ngn sch v thm

ht ti khon vng lai: Trong khi thm ht ngn sch c th gy ra thm ht ti
khon vng lai, s tn ti ca thng tin phn hi c th gy ra mi quan h nhn
qu gia hai bin trong c hai hng. Mi quan h nhn qu gia ngn sch v
thm ht ti khon vng lai thng qua hai knh thng qua hai knh: mt cch
trc tip gia thm ht ngn sch v thm ht ti khon vng lai v mt cch
gin tip l thng qua li sut v t gi hi oi.
2.3.
Tng quan d kin ca thm ht kp ti Vit Nam
Nghin cu v gi thuyt thm ht kp ti Vit Nam, liu rng gi thuyt ny c tn ti

hay khng ti Vit Nam, v mi quan h ny c chiu nh th no, chng ti tin hnh
xem xt thc trng v ngn sch Chnh ph v ti khon vng lai qua nhiu giai on
nh sau:
Giai on tng trng (1991-1996):
Trong giai on t nm 1990-1996, Chnh ph thc hin chnh sch ti kha tht cht,
khng ch bi chi v kim ch lm pht. C cu chi Ngn sch Nh nc dn dn thay
i theo hng tch cc. Ngun thu trong nc cho chi thng xuyn, tnh trng
i vay hoc da vo pht hnh tin cho chi thng xuyn chm dt. H thng thu
bt u c ci cch, i mi tng i ng b, c cu tng i hp l, bc
u pht huy c nhiu tc dng tch cc nh m bo n nh v pht trin ngun
thu ngn sch Nh nc. Thm ht ngn sch trung bnh hng nm t 1991 n 1997
mc 3,7% so vi GDP, ci thin hn ng k so vi thm ht ngn sch trong giai
on 1987-1990, giai on m chnh sch ti kha m rng c thc thi, y mnh
tiu dng kch thch cung cu ca nn kinh t, thm ht ngn sch mc trung bnh
ln n 7,3% so vi GDP.
22
Chuyn tt nghip
Bng 2.1: T l thm ht ngn sch, t l tng trng GDP giai on 1990-1996
Nm
T l thm ht ngn
sch/GDP
T l tng GDP
n v
1991
1992
1993
1994
1995
1996
2,50
3,80
4,30
4,70
4,10
3,00
5,80
8,70
8,10
8,80
9,50
9,30
Ngun: Tng cc thng k, B ti chnh
L mt b phn chnh yu trong cn cn thanh ton quc t, cn cn vng lai ghi nhn
cc giao dch thng mi quc t v hng ha v dch v, thu nhp v chuyn giao
rng t nc ngoi. Trong , cn cn thng mi hng ha chim mt phn ln v
thm ht cn cn thng mi hng ha l nguyn nhn ch yu gy ra thm ht cn cn
vng lai ca Vit Nam. Bng 4.9 trnh by thm ht ti khon vng lai Vit Nam giai
on 1991-1996
Bng 2.2: thm ht ti khon vng lai Vit Nam giai on 1991-1996
Nm
Ti khon vng
lai
Ti khon vng
lai/GDP
n v
USD,
millions
(%)
1991
1992
1993
1994
1995
1996
-133
-8
-1395
-1872
-2648 -2431
-1,7
-0,1
-10,6
-11,5
-12,8
-9,9
Ngun: IMF
K t nm 1989, khi nn kinh t bt u c nhng chuyn i quan trng, tnh trng

thm ht cn cn vng lai ca Vit Nam gim nhanh. Trong nhng nm 1991-1992,
cn cn ti khon vng lai chuyn dn t thm ht sang cn bng vo nm 1992. Trong
khi , thm ht ngn sch trong nhng nm ny cng tng i thp, iu ny l do
trong nhng nm 1990-1992, Chnh ph thc hin chnh sch tht cht ti kha
kim sot lm pht phi m trong nhng nm 1986-1989 do kinh t khng hong, tng
23
Chuyn tt nghip
trng thp, th trng thiu cung, tin nhiu hn hng. ng thi, Chnh ph cng c
nhng hnh ng kim dot cht ch v cc khon giao dch vng lai mt chiu, kim
sot u t dn n u t gim, kim ngch sut khu rng c ci thin. Sau nm
1993, Vit Nam bt u tm kim cc ngun ti tr t nhiu nc v cn cn vng lai
bt u thm ht tr li vi mc ngy cng ln, nm 2005 thm ht ln ti 12,8%,
nm 1996, mc thm ht l 9,9% so vi GDP.
Giai on 1997-2001 (giai on suy thoi)
Cuc khng hong kinh t khu vc lm cho nn kinh t gp nhiu kh khn, tc
tng trng kinh t gim, chnh sch ti kha tht cht trong giai on 1991-1996
khng cn ph hp v kim hm s pht trin kinh t. Trc tnh hnh , Chnh ph
thc hin nhiu chnh sch nng ng khc nhau kch thch kinh t, nh y
mnh cc bin php kch cu u t v tiu dng, tng mc bi chi, tng lng ti
thiu, ci cch th ch kinh t vn hnh theo c ch th trng, m ca thu ht vn u
t v thc y thng mi quc t...
Bng 2.3: thm ht ngn sch so vi GDP, tng trng GDP nm 1997-2001
Nm
T l thm ht ngn
sch/GDP
T l tng GDP
n v
1997
1998
1999
2000
2001
4,00
3,8
4,90
4,98
4,6
8,2
5,8
4,8
6,8
6,9
Ngun: Tng cc thng k, B ti chnh
Tuy nhin, vic p dng chnh sch ti kha ni lng kch thch kinh t vn lm
thm ht ngn sch c kim ch mc thp, khong 4,4 % GDP. Giai on 19972001 tnh hnh thu chi NSNN tip tc c chuyn bin tch cc, thu khng nhng b
chi thng xuyn m cn cho u t pht trin. Cng vi vic c cu li cc khon n
24
Chuyn tt nghip
cng qua cu lc b Paris th n cng ca Vit Nam so vi GDP gim i ng k so

vi giai on trc . Gnh nng tr n cng thp hn.
Mc thm ht cn cn vng lai c co hp tr li trong hai nm 1997 - 1998 v t
thng d trong nm 1999. Nguyn nhn l do n lc ca Chnh ph nhm kim sot
nhp khu, c bit l hn ch nhp khu hng tiu dng, kch thch xut khu. Hn
na, cuc khng hong ti chnh khu vc c nhng nh hng tiu cc n dng
vn u t nc ngoi FDI vo Vit Nam. S lng v mc gii ngn cc d n FDI
mi gim mnh sau nm 1998. V vy, my mc, thit b nhp khu thuc khi FDI
cng gim theo. Nh vy, sau mt thi gian di trng thi cn cn vng lai lun trong
tnh trng thm ht, nm 1999, ln u tin cn cn ny chuyn v trng thi thng d.
Trong nhng nm tip theo, tc tng nhp khu cao hn tc tng xut khu nn
thng d cn cn vng lai dn thu hp li v chuyn sang trng thi thm ht ngy cng
rng ra, c bit trong nhng nm gn y.
Bng 2.4: Ti khon vng lai, ti khon vng lai so vi GDP nm 1997-2001
Nm
Ti khon vng lai
Ti khon vng
lai/GDP
n v
USD,
millions
%
1997
1998
1999
2000
2001
-1.664
-1.067
1.285
642
670
-6,2
-3,9
4,5
2,1
2,1
Ngun: IMF
Giai on 2002-2007 (phc hi)

Trong giai on ny, Chnh ph thc hin chnh sch ti kha m rng vi quan im
thc y s hnh thnh v pht trin ng b cc yu t ca nn kinh t th trng nh
hng x hi ch ngha, thc y tng trng kinh t nhanh, bn vng. Bi chi NSNN
trong giai on ny v c bn c cn i mc 4,9%-5% GDP. Nu ch xt t l
so vi GDP, cng thy bi chi NSNN trong nhng nm gn y tng cao hn cc nm
25
Chuyn tt nghip
trc kh nhiu v giai on nm 1991-2001, mc bi chi NSNN so vi GDP ch

mc 3,5% so vi GDP. Trong giai on ny, tng thu ngn sch Nh nc lin tc
tng, t khong 22,7% so vi GDP nm 2002 tng ln khong 27% so vi GDP nm
2007. Song song vi vic tng thu, chi ngn sch cng lin tc tng, nm 2002 chi
ngn sch l 27,7% so vi GDP v nm 2007 l 32,2% GDP. Bi chi gia tng dn n
lng tri phiu pht hnh cn i ln. Lut Ngn sch Nh nc v lut Ngn hng
Nh nc khng cho php in tin trc tip ti tr cho bi chi ngn sch, tuy nhin
vi c ch tin t hin nay, Ngn hng Nh nc gin tip pht hnh mt lng tin
khng nh tin t ha tri phiu Chnh ph. S cn i bi chi cn phi c vin
tr bi mt phn vn vay nc ngoi di hnh thc ODA. Quy m vn ODA tham gia
vo b p bi chi chim 1/3 tng s thiu ht, tng ng 1,5% 1,7% so vi GDP
hng nm. Lng ngoi t vo trong nc i hi Ngn hng Nh nc phi pht
hnh nhiu tin ng hn ni t ha v ng ni t mt gi so vi ngoi t Cng
vi mt vi nguyn nhn khc, kt qu c ch tin t trn dn n hu qu, trong 3 nm
t 2005 n 2007 lng tin trong lu thng tng ti 135%, trong khi tng trng
GDP ca Vit Nam ch mc 27%. iu ny c ngha rng Nh nc pht hnh
thm mt lng tin ln hn gp nhiu ln tr gi ca ci m x hi lm ra c trong
3 nm trn. iu ny cho thy sch ti kha gy ra lm pht. Lm pht tng cng l
mt trong nhng nguyn nhn lm gia tng thm ht ti khon vng lai.
Bng 2.5: T l thm ht ngn sch so vi GDP nm 2002-2007
Nm
T l thm ht
ngn sch/GDP
n v
%
2002
4,96
2003
4,9
2004
4,85
2005
4,86
2006
5,00
2007
5,00
Ngun: B ti chnh
Thng d cn cn vng lai thu hp trong nm 2000 v 2001 chuyn sang thm ht
vo nm 2002 v bt u tng mnh n nm 2007. Trong giai on ny, nhu cu u
26
Chuyn tt nghip
t ton x hi c xu hng tng, trong t l tit kim so vi GDP c phn gim hn

so vi nhng nm trc, mc chnh lch gia tit kim v u t m cng chnh l
nguyn nhn dn n tnh trng ca ti khon vng lai xu hn giai on trc. Cng
vi nguyn nhn l chnh sch ti kha m rng, vic ct gim thu nhp khu t
ASEAN, khuyn khch u t kim ngch nhp khu tng, c bit l nhp khu my
mc thit b lm cho thm ht ti khon vng lai trong giai on ny tng nhanh hn
thm ht ngn sch nh nc.
Bng 2.6: T l thm ht ti khon vng lai so vi GDP nm 2002-2007
Nm
T l ti khon
vng lai/GDP
n v
2002
-1,2
2003
-4,9
2004
-3,8
2005
-1,2
2006
-0,2
2007
-10
Ngun: IMF
Nm 2008-2010
y l giai on m kinh t th gii ni chung v kinh t Vit Nam ni ring c nhiu
bin i ng k do nh hng ca khng hong ti chnh. Nm 2008 tnh hnh lm
pht c xu hng tng lin tc. Trong giai on ny, Chnh ph thc hin quyt lit
8 nhm gii php nhm n nh kinh t v m, kim ch lm pht, tng trng bn
vng v thc thi chnh sch an sinh x hi m Ngh quyt s 10/2008/N-CP ngy 174-2008 ra: Trong thng 8-2008 c hai ln iu chnh gim gi bn xng v du
ha, bo m hi ha li ch ca Nh nc, doanh nghip v ngi s dng; tng
cng cng tc thu ngn sch m bo nhim v c giao, kt hp vi vic r sot
n ng thu, chng tht thu; tip tc r sot li chi ngn sch, yu cu cc b, ngnh
a phng ct gim, nh hon cc d n u t cha thc s cp bch v d n u
t khng hiu qu; khng tng chi ngoi d ton, dnh ngun kinh ph cho m bo an
sinh x hi; xem xt iu chnh gim mc thu xut khu, nhp khu nhm n nh th
27
Chuyn tt nghip
trng, hn ch nhp siu... Thm ht ngn sch nm 2008 mc khong 4,5% so vi

GDP.
Trong bi cnh kinh t ton cu suy thoi, kinh t trong nc ang i mt vi nhiu
kh khn v chu nh hng su sc v th trng Vit Nam c m tng i cao.
Sau khi khng hong n ra, th trng xut khu v u t gim st t ngt, nn kinh
t lp tc ri vo suy gim, t mc tng trng trn 7% (nm 2008) xung cn 3,1%
vo qu I-2009. Gi mt s mt hng xut khu chnh gim mnh. Kinh t ri vo kh
khn, km theo , trong nm 2008 v 2009, thin tai, dch bnh lin tip xy ra vi
mc ln. i sng nhn dn gp nhiu kh khn, lm pht tng, tht nghip
caoCc doanh nghip ri vo tnh trng suy kit, mt s doanh nghip b ph sn.
Trc tnh hnh , Chnh ph thc hin cc bin php iu hnh quyt lit nhm
chn suy gim kinh t, n nh v m v hng ti tng trng bn vng. Mt trong
nhng gii php ch yu l chnh sch ti kha m rng, gm cc gi kch cu. Gi th
nht c trin khai nhm h tr li sut khong 17.000 t ng, gi kch cu th hai,
vi tng ngun vn khong 8 t USD, h tr li sut trong trong trung v di hn nhm
kch cu u t, pht trin sn xut. u tin n nh kinh t v m v to vic lm, y
l hai iu quan trng nht th hin kh r vai tr ca Nh nc thng qua cc gi kch
cu. Vic thc hin mt cch linh hot v ng b cc chnh sch ti kha v cc chnh
sch v m khc gip nn kinh t Vit Nam vt qua khng hong v tc tng
trng kinh t nm 2009 t 5,3%, t l lm pht gim cn 6,88% (t 23% nm
2008). Thm ht ngn sch trong nm 2009 ln n gn 7% so vi GDP.
Thm ht ti khon vng lai nm 2008 tng ln n 11,92% so vi GDP. Cuc khng
hong ti chnh bt u nm 2007 lm cho lung vn vo Vit Nam gim mnh,
thoi u t v rt vn u t gin tip nc ngoi to p lc tng thm ht ti khon
vng lai. Thm ht ti khon vng lai nm 2009 gim cn 7,1 t USD, chim 7,8%
GDP.
28
Chuyn tt nghip
Nm 2010 thm ht ngn sch gim cn khong 6%. Thu ngn sch t 520.000 t
ng, tng 17,6% so vi nm 2009. Tng chi ngn sch khong 637.000 t ng, tng
9% so vi nm 2009. Bi chi ngn sch c gim so vi nm 2009 nhng vn cn
mc cao (cha v mc 5% nh duy tr trong nhiu nm) v l mt trong nhng nhn
t gp phn lm gia tng lm pht. Xut khu nm 2010 tng l do s ng gp ln ca
mt hng cng nghip ch bin cng vi s phc hi ca nn kinh t th gii lm cho
xut khu hng nng, lm, thy sn c li v gi.
Ti khon vng lai ca Vit Nam c chim phn ln bi cn cn thng mi. Thc
trng thm ht cn cn thng mi ln Vit Nam bt ngun t nhiu nguyn nhn.
C cu hng ha xut khu cho thy hng ha xut khu ca Vit Nam khng c g ni
tri so vi cc quc gia trong khu vc. C rt nhiu mt hng trong nhm hng cng
nghip nh, tiu th cng nghip, hn na phi nhp khu nguyn liu, nhp khu dy
chuyn sn xut. Tng gi tr nhp khu ngy cng gia tng v nhp khu thuc nhm
hng t liu sn xut chim t trng rt ln, trung bnh khong 92% tng gi tr nhp
khu, 8% cn li ch yu l hng tiu dng. Trong nhm hng t liu sn xut th
nhm hng my mc thit b chim khong 29% tng gi tr nhp khu. Ngoi ra, l
trnh t do ho thng mi ca Vit Nam k t nm 2007 - nm Vit Nam tr thnh
thnh vin WTO thu ht mt ngun vn FDI kh ln hng nm v km theo l
nhu cu nhp khu trang thit b, dy chuyn sn xut phc v u t. chnh l mt
s nguyn nhn gy thm ht cn cn thng mi hng ha, gy p lng ln thm ht
ti khon vng lai.
29
Chuyn tt nghip
Hnh 2.3: Thm ht ngn sch, thm ht ti khon vng lai giai on 1990-2010
14.00%
12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
-2.00%
-4.00%
-6.00%
Thm ht ngn sch / GDP

Thm ht ti khon vng lai/GDP
Ngun: B Ti chnh, IMF
V mt nguyn nhn lm thm ht ti khon vng lai m chng ti ni n y

chnh l thm ht ngn sch Nh nc. Hnh 2.3 th hin mc thm ht ngn sch v
thm ht vng lai trong giai on 1990-2010. Qua phn tch thc trng ngn sch Nh
nc v ti khon vng lai trong thi gian t 1991-2010, ti khon vng lai bin ng
mnh hn so vi ngn sch Chnh ph, tuy nhin nhn vo hnh 2.3 chng ta c th
thy c tng quan gia thm ht ngn sch v thm ht ti khon vng lai vi bin
tr khong gn hai nm. Vy liu rng thm ht ngn sch v thm ht ti khon vng
lai Vit Nam c tht s tn ti mi quan h vi nhau hay khng. Chng ti tin hnh
thc hin kim nh mi quan h ny.
30
Chuyn tt nghip
3. PHNG PHP NGHIN CU (METHODOLOGY AND

DATA)
3.1.
Phng php nghin cu:
S xut hin ca hin tng thm ht ti khon vng lai v thm ht ngn sch nhiu
nc thu ht c s ch ngy cng tng v vn thm ht kp. Theo Abell nm
1990, Ibrahim v Kumah nm (1996), li sut v t gi cng ng vai tr quan trng
trong knh m thng qua thm ht ngn sch nh hng n thm ht ti khon
vng lai. Theo nh gi ca Lau, Evan v cc cng s (2006) t cc nghin cu v
thm ht kp trong hai thp k qua, nhn mnh tm quan trng ca cc bin s ti
chnh nh li sut v t gi hi oi trong mi quan h vi thm ht ngn sch v ti
khon vng lai, v hu ht cc nghin cu trc b qua vai tr ca hai bin ti
chnh ny trong vic lm cu ni lin kt gia thm ht ngn sch v thm ht ti
khon vng lai. Lau v Evan tin hnh kim nh gi thuyt thm ht kp bng
nghin cu thc nghim ti cc nc thuc khu vc ng v Nam : Malaysia,
Singapore, Thi Lan, Indonesia, Hn Quc, Mianma, Philipin, Nepal, Sri Lanka. Tc
gi tin hnh kim nh mi quan h gia thm ht ngn sch v thm ht ti khon
vng lai thng qua ba bc: kim nh tnh dng, kim nh tnh ng lin kt v kim
nh mi quan h nhn qu Granger, vi cc bin c a vo m hnh l thm ht ti
khon vng lai, thm ht ngn sch, t gi hi oi danh ngha so vi USD v li sut
trong ngn hn, c thng k theo qu. Kt qu cho thy tn ti mi quan h trc tip
v gin tip gia thm ht ngn sch v thm ht ti khon vng lai. u tin, tc gi
thy rng thm ht ngn sch v thm ht ti khon vng lai c mi quan h trc tip
vi nhau, v gin tip thng qua li sut v t gi hi oi, th hai, tc gi cho thy
rng nhng bin kinh t ny tn ti mi quan h nh mt vng lun qun. Vi cc
nc thuc khu vc ng v Nam c nn kinh t m, theo chng ti th c th p
dng m hnh kim nh ny Vit Nam.
31
Chuyn tt nghip
Da trn phng php tip cn trong nghin cu ca tc gi Lau, Evan v cc cng s

(2006) nh cp trn, chng ti tin hnh xem xt cc yu t tc ng n cn
cn ti khon vng lai gm: thm ht ngn sch (BD), li sut (IR) v t gi hi oi
(ER), trong chng ti c hiu chnh bin t gi hi oi thnh logarit c s t nhin
ca t gi chui d liu n nh hn.
CAD = 1 + 2BDt + 3IRt + 4LNERt + Ut
Trong :
-
Bin thm ht ti khon vng lai CAD bin ph thuc, c o lng
bng t l thm ht ti khon vng lai so vi GDP, gi tr dng th hin thm

ht ti khon vng lai, gi tr m th hin thng d trong ti khon vng lai.
-
Bin thm ht ngn sch BD bin c lp, c o lng bng t l
thm ht ngn sch so vi GDP, gi tr m th hin thng d trong ngn sch,

gi tr dng th hin thm ht ngn sch.
-
Bin li sut ngn hn IR bin c lp.
Bin t gi hi oi ER bin c lp, v ng USD chim phn ln
trong cc giao dch quc t ca Vit Nam nn chng ti chn t gi USD/VND

lm t gi i din cho bin ER. V bin ER l n nh hn, chng ti o
lng bin ER bng cch tnh Logarit c s t nhin ca ER hay l bin LNER.
Phng php c lng:
Da trn phng php c lng ca Lau, Evan v cc cng s (2006), chng ti tin
hnh kim nh tnh dng, kim nh ng lin kt v kim nh nhn qu Granger.
Bn cnh , chng ti cng thm vo kim nh VECM kim nh mi quan h
trong ngn hn ca cc bin.
Bc 1: V CAD, BD, IR, LNER l cc chui thi gian, chui s l y theo thi gian ca
nhng i lng kinh t cn nhiu bin ng nn thng c nghi m n v (tc chui
khng dng), do chng ti tin hnh kim nh tnh dng ca cc bin (Unit Root
32
Chuyn tt nghip
Test) bng kim nh ADF (Augmented Dickey Fuller), nu cc bin l khng dng,
tip tc ly sai phn cho n khi chui dng trc khi a vo m hnh thc nghim.
Bc 2: Gia cc chui khng dng c th tn ti mi quan h ng lin kt, chng ti
tin hnh kim nh ng lin kt gia cc bin, s dng kim nh Engle Granger v
kim nh Johansen. Nu kt qu kim nh l tn ti ng lin kt gia cc bin, ngha
l c mi quan h trong di hn gia bin ph thuc l thm ht ti khon vng lai v
bin c lp l thm ht ngn sch, li sut v t gi hi oi. Sau , chng ti tin
hnh kim nh mi quan h nhn qu Granger gia cc bin xem xt tn ti hay
khng s tc ng qua li gia thm ht ngn sch v thm ht ti khon vng lai.
Bc 3: Nu cc chui l khng dng v c tnh ng lin kt, chng ti tip tc kim
nh mi quan h trong ngn hn gia cc bin, s dng m hnh VECM. Sau khi
c lng m hnh th ta tip tc kim nh s ph hp ca m hnh bng cch kim
nh phn d.
3.2.
D liu:
Chng ti s dng d liu theo chui thi gian c thu thp theo qu, t qu 1 nm
2000 n qu 3 nm 2011. C th:
-
S liu v thm ht ngn sch c thu thp t bo co quyt ton Ngn
sch Nh nc ca B Ti chnh Vit Nam, th hin bng ng VND.

-
S liu v thm ht ti khon vng lai, li sut, t gi hi oi v tng
sn phm quc ni GDP c ly t ngun IMF, trong GDP c tnh theo

VND, thm ht ti khon vng lai c tnh bng USD.
thng nht trong vic tnh ton, tt c d liu c a vo bi nghin cu ca
chng ti c tnh bng VND, s liu v thm ht ngn sch c chuyn i sang
VND theo t gi USD/VND tng ng.
33
Chuyn tt nghip
4. NI DUNG V KT QU NGHIN CU (RESULTS)

4.1.
Kim nh tnh dng
V cc chui thi gian thng khng c tnh dng, do chng ti tin hnh kim nh
tnh dng ca cc chui d liu. kim nh tnh dng, chng ti da vo kim nh
nghim n v (unit root test) ADF (Augmented Dickey Fuller) cho tng bin trong
phng trnh. Tiu chun ADF c p dng l nu |t-Statistic| ln hn |t| th bc b
gi thuyt H0, H0 tc l chui s liu l khng dng (c nghim n v). Kim nh
tnh dng trn phn mm EVIEW cho kt qu bng 4.1 (Xem ph lc)
Bng 4.1
Test Critical Value
Bin s
Thng k ADF
1%
5%
10%
CAD
-1.553168
-2.617364
-1.948313
-1.612229
BD
-0.176623
-2.619851
-1.948686
-1.612036
IR
0.612219
-2.618579
-1.948495
-1.612135
LNER
0.700368
-2.622585
-1.949097
-1.611824
Ngun: tc gi t tnh
Da trn tiu chun ADF c p dng, ta thy cc bin thm ht ti khon vng lai,
thm ht ngn sch, li sut v logarit c s t nhin ca t gi hi oi u l chui
khng dng, v |t-Statistic| ln hn |t| mi mc ngha 1%, 5% v 10%. Chng ti
tip tc ly sai phn bc mt v bc hai, cho n khi sai phn ny l dng. Kt qu
kim nh cho ra bng 4.2:
34
Chuyn tt nghip
Bng 4.2
Test Critical Value

Bin s
Thng k ADF
1%
5%
10%
D(CAD)
-10.12307
-2.617364
-1.948313
-1.612229
D(BD)
-14.13766
-2.619851
-1.948686
-1.612036
D(IR)
-6.738607
-2.618579
-1.948495
-1.612135
0.132584
-2.622585
-1.949097
-1.611824
-9.516367
-2.622585
-1.949097
-1.611824
D(LNER)
D(LNER,2)
Ngun: Tc gi t tnh
Sai phn bc nht ca cc bin thm ht ti khon vng lai, thm ht ngn sch v li
sut u l nhng chui dng, tuy nhin bin t gi hi oi phi n sai phn bc hai
mi dng. Sai phn ca cc chui ny s c s dng trong m hnh hi quy. Tuy
nhin, vi c dung sai phn c th dn ti m t thng tin v m i quan h di hn gia cc
bi n. V y li u chng ta c th ti n hnh h i qui gia hai bi n cc mc ban u, ngay
c khi c hai bi n u c nghi m n v hay khng. Theo R.F Engle v C.W.J. Granger
th i u ny c th c khi t h p tuy n tnh ca chng l m t chui dng, khi o ta
gi chng l hai chui ng lin kt. Chng ta s i kim nh mi quan h ng lin
kt ca cc bin.
4.2.
Kim nh ng lin kt
Kt hp tuyn tnh dng c gi l phng trnh ng lin kt v c th c gii

thch nh mi quan h cn bng di hn gia cc bin. Mi quan h trong di hn gia
cc bin s c s dng trong m hnh xc nh nhn t nh hng n thm ht ti
35
Chuyn tt nghip
khon vng lai c xem xt qua phn tch ng tch hp gia cc bin s. Chng ti
s dng hai phng php thc hin kim nh ny.
Phng php Engle-Granger
kim nh tnh ng tch hp theo phng php Engle-Granger, trc tin chng ti
c lng m hnh hi quy ban u vi bin thm ht ti khon vng lai l bin ph
thuc, bin thm ht ngn sch, li sut v t gi hi oi l bin c lp, t thu
c phn d. S dng tiu chun ADF kim tra tnh dng cho phn d. Kt qu
kim nh c cho ra bng 4.3. Theo kt qu cho thy phn d thu c t hm hi
quy c tnh dng (|t-Statistic| ln hn |ta| tt c cc mc ngha 1%, 5%, 10%), c
ngha l gia thm ht ti khon vng lai v cc bin thm ht ngn sch, li sut v t
gi c a vo m hnh hi quy tn ti mi quan h trong di hn.
36
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Bng 4.3
Ngun: Tc gi t tnh
Kim nh Johansen
Kt qu kim nh ng lin kt trong m hnh kim nh Johansen
37
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Bng 4.4
Ngun: Tc gi t tnh
Kim nh Johansen cho thy c tn ti t nht mt vct ng lin kt c hai mc

ngha 1% v 5%, c ngha l tn ti mi quan h gia hn gia bin ph thuc l thm
ht ti khon vng lai vi cc bin c lp l thm ht ngn sch, li sut v t gi hi
oi.
Da trn c lng ng lin kt trong kim nh VECM, chng ti c hm biu din
mi quan h ca bin s thm ht ti khon vng lai v thm ht ngn sch, li sut v
t gi hi oi:
38
Chuyn tt nghip
CAD = 4.1464.BD + 1.933184.IR 1.038043.LNER + 9.546370

(1.68239)
(0.37027)
(0.16897)
[2.46458]
[5.22100]
[-6.14319]
Gi tr trong ngoc trn l sai s chun, gi tr trong ngoc vung l gi tr thng k t.

Da trn hm biu din, ta c th phn tch ngha hi quy ca cc h s
H s phn nh tc ng ca thm ht ngn sch n thm ht ti khon
vng lai l 4.4146, ngha l nu thm ht ngn sch tng (gim) 1% so vi GDP
th thm ht ti khon vng lai tng (gim) 4.15% so vi GDP nu li sut v t
gi khng thay i.
H s phn nh tc ng ca li sut n thm ht ti khon vng lai l
1.933184, ngha l nu li sut tng (gim) 1% th lm cho thm ht ti khon

vng lai tng (gim) 1.93% so vi GDP, vi iu kin thm ht ti kha v t
gi hi oi khng i.
Nu thm ht ti kha v li sut khng i, mt s thay i gim (tng)
trong t gi USD/VND s lm thm ht ngn sch tng (gim) 1.04% so vi

GDP, vi iu kin thm ht ti kha v li sut l khng i.
4.3.
Kim nh nhn qu Granger
Liu thm ht ngn sch nh hng n thm ht ti khon vng li v ti khon vng
lai tc ng ngc tr li n thm ht ngn sch c tn ti trong di hn hay khng,
chng ti tin hnh kim nh nhn qu Granger trn Eviews. Ta xy dng hai phng
trnh sau:
CADt = 0 + 1CADt-1 + + lCADt-i + 1BDt-1 + + iBDt-i + t
BDt = 0 + 1BDt-1 + + iBDt-i + 1CAt-1 + + iCAt-i + t
xem bin tr ca thm ht ngn sch c gii thch cho thm ht ti khon vng lai
(thm ht ngn sch tc ng nhn qu Granger ln thm ht ti khon vng lai) v
39
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bin tr ca thm ht vng lai c gii thch cho thm ht ngn sch (thm ht ti khon
vng lai tc ng nhn qu Granger ln thm ht ngn sch) hay khng ta kim nh
gi thuyt:
H0 : 1 = 2 = 3 = = i = 0
Nu gi tr thng k F tnh ton ln hn gi tr thng k F ph phn mt mc ngha
xc nh ta bc b gi thuyt H0 v ngc li. Kt qu kim nh nhn qu Granger vi
bn bin c a vo m hnh nh bng 4.5
Bng 4.5
Ngun: Tc gi t tnh
Theo bng kt qu t Eviews cho thy, tr th 8, tn ti mi quan h mt chiu t

thm ht ngn sch n thm ht ti khon vng lai. C ngha l tc ng ca thm ht
ngn sch n thm ht ti khon vng lai vi tr l 2 nm.
40
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4.4.
Kim nh VECM
M hnh VECM l mt dng ca m hnh Var tng qut, c s dng trong trng
hp chui d liu khng dng v cha ng mi quan h ng tch hp. Chui d liu
thm ht ti khon vng lai, thm ht ngn sch, li sut trong ngn hn v t gi hi
oi l nhng chui khng dng v c mi quan h ng tch hp. Ta tin hnh kim
nh VECM thu c kt qu trong bng 4.6
Bng 4.6
41
Chuyn tt nghip
42
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43
Chuyn tt nghip
Ngun: Tc gi t tnh
Sau khi c lng m hnh bng kim nh VECM chng ti tin hnh kim nh
s ph hp ca m hnh bng cch kim nh tnh dng ca phn d ca m hnh.
Theo kt qu cho thy phn d thu c t hm hi quy c tnh dng v |t-Statistic| ln
hn |ta| tt c cc mc ngha 1%, 5%, 10%, chng t rng m hnh VECM m
chng ti va kim nh l c ngha.
44
Chuyn tt nghip
Bng 4.7
Ngun: Tc gi t tnh
4.5.
-
Gii thch kt qu kim nh

Chnh sch ti kha: Chnh sch ti kha l bin s kinh t c nh hng n
bin cn cn ti khon vng lai. Chnh sch ti kha m rng lm tng thm ht
ngn sch, thng qua tng chi tiu ca Chnh ph hoc gim t thu hoc c hai.
Chnh sch ti kha m rng s l tng tiu dng, tng u t. iu ny dn n
hng ha lu thng trong nc v hng ha nhp khu tng, t gy p lc ln
ti khon vng lai. Cng c th gii thch theo cch gin tip t chnh sch ti
kha m rng lm gia tng thm ht ti khon vng lai thng qua li sut v lm
pht. Chnh sch ti kha m rng lm gia tng li sut v lm pht. Li sut
45
Chuyn tt nghip
tng thu ht vn u t nc ngoi, dng ngoi t chy vo trong nc dn n

gi ng ni t tng, iu ny lm tng nhu cu ca ngi dn trong nc i
vi hng ha nc ngoi v gim nhu cu ca ngi nc ngoi i vi hng
ha trong nc. Tng t lm pht trong nc tng cng lm hng ha trong
nc cao hn tng i so vi hng ha nc ngoi, iu ny lm tng thm ht
cn cn thng mi hng ha, gy p lc lm tng thm ht ti khon vng lai.
Tng t i vi chnh sch tht cht ti kha s lm ci thin cn cn vng lai.
M hnh kim nh mi quan h ca chnh sch ti kha v cn cn vng lai ca
chng ti ph hp vi lp lun ca l thuyt, c th nu thm ht ngn sch tng
(gim) 1% so vi GDP th thm ht ti khon vng lai tng (gim) 4.15% so vi
GDP nu li sut v t gi khng thay i.
-
Li sut: nh lp lun trn, li sut tng s lm gia tng thm ht ti khon

vng lai. Trong m hnh kim nh ca chng ti, nu li sut tng (gim) 1%
th lm cho thm ht ti khon vng lai tng (gim) 1.93% so vi GDP, vi iu
kin thm ht ti kha v t gi hi oi khng i.
T gi USD/VND: t gi USD/VND tng c ngha l ng tin Vit Nam mt

gi hn, hng ha Vit Nam s tr nn r hn so vi hng ha nc ngoi, iu
ny lm tng nhu cu ca ngi nc ngoi i vi hng ha Vit Nam v gim
nhu cu ca ngi dn trong nc vi hng ha nc ngoi, xut khu tng v
nhp khu gim. Cn cn thng mi hng ha c ci thin v gp phn ci
thin cc cn vng lai. V iu ngc li, t gi USD/VND gim s to p lc
tng thm ht ti khon vng lai. Ti Vit Nam, cn cn thng mi hng ha
chim ch yu trong cn cn ti khon vng lai, nn mt s ci thin trong cn
cn thng mai hng ha s tc ng mnh ln cn cn vng lai. Kt qu kim
nh ca chng ti l, nu gim (tng) trong t gi USD/VND s lm thm ht
ngn sch tng (gim) 1.04% so vi GDP, vi iu kin thm ht ti kha v li
sut l khng i.
46
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Kt qun kim nh ti Vit Nam ph hp vi l thuyt ca Keynes cng nh kim

nh theo m hnh Mundell Flaming, tc l tn ti mi quan h mt chiu t thm ht
ngn sch Chnh ph n thm ht ti khon vng lai. tr ca s nh hng t ngn
sch n ti khon vng lai c kim nh y l hai nm. Kt qu kim nh ca
tc gi Lau, Evan v cc cng s (2006) nghin cu v thm ht kp thm ht kp
cc nc ng v Nam a ra l tn ti mi quan h hai chiu gia hai trng thi
thm ht. Da trn m hnh ca tc gi ny, kt qu kim nh Vit Nam ch cho
thy mi quan h mt chiu t thm ht ngn sch n thm ht ti khon vng lai. Kt
qu ny ging vi cc bi nghin ca ca nhng tc gi trc y, nh Abell (1990),
Zietz v Pemberto (1990), Dibooglu (1997), Vomvoukas (1997), Piersanti (2000),
Akbostanci v Tunc (2001), v Leachman v Francis (2002).
47
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5. TNG KT (CONCLUSIONS)
5.1.
Kt qu nghin cu:
Suy lun c rt ra t phn chui thi gian dn n cc kt lun sau. u tin, chng
ti tm thy rng li sut, t gi hi oi, thm ht ngn sch ng mt vai tr quan
trng trong vic gii thch cn cn ti khon vng lai. Trong , thm ht ngn sch c
tc ng ln nht n ti khon vng lai. Chng ti tm thy mi lin h di hn gia
thm ht ngn sch v thm ht ti khon vng lai thng qua cc kim nh ng lin
kt. Th hai, bng cch s dng kim nh Granger, chng ti tm thy mt quan h
nhn qu mt chiu chy t thm ht ngn sch ti thm ht ti khon vng. Mi quan
h nhn qu mt chiu t thm ht ti ngn sch ti thm ht ti khon vng lai cho
thy rng mt thay i trong chnh sch ti kha lm ci thin (hay thm ht) ngn
sch quc gia c th dn ti mt s ci thin (hay xu i) thm ht cn cn vng lai
tng ng.
5.2.
Khuyn ngh gii php
Vi kt qu kim nh cho thy rng tn ti mi quan h mt chiu t thm ht ngn

sch n thm ht ti khon vng lai ti Vit Nam. Nh vy, trong nhiu nhn t nh
hng n ti khon vng lai, thm ht ngn sch l mt nhn t m s tng ln (gim
xung) ca thm ht ngn sch gy p lc tng (gim) thm ht ti khon vng lai. V
vy, chng ta c th da vo mi quan h ny iu chnh thm ht cn cn vng lai
bng chnh sch ti kha, thng qua thu v chi tiu Chnh ph m s dng chnh sch
ti kha m rng (hay tht cht). Vi tnh hnh thm ht ngn sch v thm ht ti
khon vng lai ko di Vit Nam, vic s dng mt chnh sch ti kha tht cht v
cc bin php lm gim thm ht ngn sch l iu cn thit ci thin tnh trng
thm ht kp, n nh kinh t trong nn kinh t ton cu nhiu bt n v ri ro nh hin
nay.
48
Chuyn tt nghip
gim thm ht ti khon vng lai, vic ci thin ngn sch Chnh ph l iu cn
t ra. thm ht ngn sch th cn kt hp c vic kim sot vic thu v chi ngn
sch.
Tng thu ngn sch Nh nc:
-
Tng cng qun l, iu hnh thu ngn sch Nh nc; t chc thu ng, thu
, thu kp thi cc khon thu theo chnh sch, php lut thu; Tng cng qun
l i tng np thu m bo t l ng k thu. Nhng a phng c t l
doanh nghip lp b thu so vi DN c cp m s thu thp cn xc nh r
nguyn nhn v kim tra thc t chn chnh v a vo s b qun l. Tp
trung kim tra cc doanh nghip c hin tng nghi vn v chuyn nhng gi,
cc doanh nghip kinh doanh trong ngnh, lnh vc thun li c u th cnh
tranh song kinh doanh thua l nhiu nm nh: sn xut lp rp t, xe my, sn
xut kinh doanh bt git, m phm, ung, kinh doanh vn ti...; trin khai cc
bin php qun l n thu, kp thi thu hi s thu n ng c kh nng thu,
phn u gim n thu; tng cng kim tra v x l vi phm vic s dng ho
n, quyt ton ho n, tng cng cng tc thanh tra kim tra i tng np
thu, trong ch trng vo khu vc DN v nhng i tng np thu c quy
m ln. Kim sot vic k khai thu ca cc t chc c nhn nhm pht hin cc
trng hp k khai khng ng, khng s thu.
Thc hin cc c ch, chnh sch ti chnh to iu kin thun li cho pht trin
cc thnh phn kinh t; tp trung tho g kh khn cho sn xut kinh doanh;
pht trin h tng, chuyn dch c cu kinh t; trin khai tt cc chnh sch u
i u t v cc gii php v thu nhm tho g kh khn cho doanh nghip,
nht l cc doanh nghip va v nh.
Ci cch th tc hnh chnh trong lnh vc thu, n gin cc th tc hnh

chnh v thu, to iu kin thun li nht cho ngi np thu thc hip php
49
Chuyn tt nghip
lut thu; tng cng thu ht u t to nhng ngun ni lc t cc doanh

nghip.
-
Cng khai minh bch ngn sch Nh nc, to nim tin t nhn dn.
Chi ngn sch ca Vit Nam bao gm chi thng xuyn v chi u t. Hn ch bi chi
thng qua ct gim chi thng xuyn v chi u t, c bit l gim s lng chi u
t cung vi tng cht lng u t.
-
Ct gim cc chi ph thng xuyn ca cc c quan Nh nc cc cp. Tinh

gim bin ch khu vc cng, c bit trong cc c quan hnh chnh. Tng hiu
sut ca khu vc cng, tng nng sut lm vic ca cng chc. Thc hin tit
kim, hn ch mua sm cc ti sn c gi tr ln nh t, iu ha, cc thit b
vn phng khc, gim nhng kinh ph hi ngh, hi tho, l hi khng tht s
cn thit, trnh lng ph trong vic s dng in, nc, in thoi, vn phng
phmCt gim chi thng xuyn s gip ci thin ng k ngn sch Nh
nc c bit l trong hnh hnh lm pht cao nh hin nay.
Ct gim nhng d n khng tht s cn thit. R sot v ct b cc hng mc

u t km hiu qu v c th t u tin thp. Nhng sn chi ca nhng d
n cho doanh nghip t nhn hoc nc ngoi u t. Nhng d n thit thc
th c th tin hnh u t vi s hp tc cng doanh nghip t nhn chia s
khon vn u t. Chnh ph nn tp trung u t ch u t vo nhng d n
mang tnh ch o, hiu qu nhm to ra nhng t ph cho s pht trin kinh t
- x hi nh cc cng trnh thy in, cng trnh kt cu c s h tng cu,
ng Vic u t nh vy s ko theo ngun u t t cc doanh nghip t
nhn v nc ngoi, gi l hiu ng lan ta.
Thnh lp cc on kim tra, r sot ton b cc cng trnh, d n u t t

ngun vn ngn sch Nh nc v tri phiu Chnh ph
Ngun vn chi u t ca Nh nc hng nm s c phn phi vo cc tp

on, cng ty Nh nc. Trong khi cc tp on Nh nc tin hnh u t,
50
Chuyn tt nghip
kinh doanh khng hiu qu, lm tht thot vn Ngn sch ln. Chnh v vy, nn
kim tra, r sot li u t ca cc tp on kinh t, tng cng ty Nh nc,
doanh nghip Nh nc, kin ngh Th tng Chnh ph cc bin php x l,
loi, b cc d n u t km hiu qu, u t dn tri, k c cc d n u t
ra nc ngoi. Tin hnh ti cu trc doanh nghip Nh nc nhm s dng
ng vn ca Chnh ph hiu qu, trnh lng ph.
-
Ch s ICOR o lng hiu qu u t, tnh trn lng vn cn tng thm t

mc gia tng mt n v sn lng, chnh l thng s biu hin c th nht ca
th trng sc khe nn kinh t. Ch so ICOR cao ng ngha vi hiu sut kinh
t thp, ni ln s lng ph trong u t v hiu qu thp trong s dng ngun
lc. Thc t, ch s ICOR ca Vit Nam nhiu nm qua lun mc cao, hn
cc nc cng khu vc. Do , cn xem xt 2 vn : u t ng i tng, v
mi trng kinh doanh lin tc c ci thin (tnh cnh tranh), ci thin khung
php l cho hot ng u t, ci cch hnh chnh.
Vit Nam lu nay theo ui tng trng theo chiu rng, ly vic tng trng
lm mc tiu, tng trng da vo sn lng u vo hn l ngun lc con
ngi, ch yu da vo tng vn u t tng trng kinh t trong khi ng
gp t nm sut lao ng, cng ngh cn thp so vi cc nc trn th gii. Do
, iu cn thit pht trin kinh t bn vng, gim vic u t tha thi m
mang li tng trng khng tng xng l Vit Nam nn theo ui m hnh
tng trng theo chiu su, ly ng gp t ngun lc con ngi, cng ngh l
chnh, tng cng u t vo cc lnh vc cht xm.
Bn cnh vic gim bi chi ngn sch, tng cht lng u t th Chnh ph cng
cn c nhng bin php thc y xut khu, gim tnh trng nhp siu, ci thin tnh
trng thm ht ti khon vng lai: Thm ht ti khon vng lai Vit Nam nhiu nm
qua ch yu l do cn cn thng mi, tnh trng nhp siu qu ln lin tc trong nhiu
nm, m nguyn nhn ch yu l do cht lng hng ha Vit Nam ca km, cha p
51
Chuyn tt nghip
ng c cc yu cu v cht lng quc t. Do , bn cnh ci thin thm ht ngn

sch, th ci thin thm ht ti khon vng lai l thc s rt cn thit. Chng ti xut
mt s bin php nh sau:
-
u t v cng ngh thit b, nng cao cht lng hng ha xut khu
ng thi u t vo nhng ngnh cng ngh thit yu, trnh s l thuc qu

mc vo hng nhp khu
S dng thu, hng ro k thut hn ch nhp khu nhng mt hng ko thit

yu
Cui cng, nghin cu ca chng ti tp trung vo Vit Nam v do kt qu kim

nh gi thuyt thm ht kp khng th c tng qut cho cc nc ang pht trin
khc. Chng ti s dng mt cch tip cn tng i n gin phn tch vn
thm ht kp so vi nhiu m hnh tinh vi c pht trin bi cc nh nghin cu
khc, mc d pht hin ca bo co ny l ph hp vi nghin cu trc y. Hng
trong tng lai c th xem xt cc m hnh ca hin tng thm ht kp trong giai
on khng hong trc v sau nm 2008 c bit l s dng cc d liu t cc cuc
khng hong nh hng n nn kinh t.
52
Chuyn tt nghip
PH LC
Kt qu kim nh ADP bin CAD
53
Chuyn tt nghip
Kt qu kim nh ADF bin BD
54
Chuyn tt nghip
Kt qu kim nh ADF bin IR
55
Chuyn tt nghip
Kt qu kim nh ADF bin LNER
56
Chuyn tt nghip
Kt qu kim nh ADF sai phn bc 1 CAD
57
Chuyn tt nghip
Kt qu kim nh ADF sai phn bc 1 BD
58
Chuyn tt nghip
Kt qu kim nh ADF sai phn bc 1 IR
59
Chuyn tt nghip
Kt qu kim nh ADF sai phn bc 1 LNER
60
Chuyn tt nghip
Kt qu kim nh ADF sai phn bc 2 LNER
61
Chuyn tt nghip
Kt qu kim nh ADF cho phn d theo phng php Engle Granger
62
Chuyn tt nghip
Kt qu kim nh ng lin kt Johansen
63
Chuyn tt nghip
Kt qu kim nh quan h nhn qu Granger
64
Chuyn tt nghip
Kt qu kim nh m hnh VECM
65
Chuyn tt nghip
66
Chuyn tt nghip
67
Chuyn tt nghip
Kt qu kim nh ADF phn d m hnh VECM
68
Chuyn tt nghip
S liu:
Date
Q1
2000
Q2
2000
Q3
2000
Q4
2000
Q1
2001
Q2
2001
Q3
2001
Q4
2001
Q1
2002
Q2
2002
Q3
2002
Q4
2002
Q1
2003
Q2
2003
Q3
2003
Q4
2003
Q1
2004
Q2
2004
Q3
2004
Q4
2004
Q1
2005
Q2
2005
Q3
2005
Q4
2005
NGDP
(VND, T)
CAD
(USD,
T)
BD (VND)
CAD (VND)
CAD/
GDP
BD/
GDP
IR
LENDING
ER
LNER
90,059,000
3.0
3,642,400
42147.612
0.0005
0.0404
0.1080
14,062
9.5512
118,513,000
427.0
3,642,400
6014297.724
0.0507
0.0307
0.1080
14,085
9.5529
106,989,000
18.0
3,642,400
255917.688
0.0024
0.0340
0.1040
14,215
9.5621
126,085,000
178.0
7,284,800
2583481.65
0.0205
0.0578
0.1020
14,514
9.5829
96,443,000
-82.0
5,177,000
-1192710.581
-0.0124
0.0537
0.1065
14,545
9.5850
125,889,000
-78.0
5,177,000
-1157927.022
-0.0092
0.0411
0.0935
14,845
9.6054
116,440,000
-37.0
5,177,000
-555069.48
-0.0048
0.0445
0.0900
15,003
9.6160
142,523,000
765.0
10,354,000
11539232.17
0.0810
0.0726
0.0868
15,084
9.6214
109,180,000
569.0
5,119,400
8677298.86
0.0795
0.0469
0.0852
15,250
9.6323
141,481,000
567.0
5,119,400
8687074.881
0.0614
0.0362
0.0875
15,321
9.6370
132,836,000
419.0
5,119,400
6430457.924
0.0484
0.0385
0.0950
15,347
9.6387
152,265,000
970.0
10,238,800
14940850.86
0.0981
0.0672
0.0948
15,403
9.6423
122,610,000
741.2
5,987,200
11446379.16
0.0934
0.0488
0.0941
15,443
9.6449
156,991,000
1484.9
5,987,200
23013938.65
0.1466
0.0381
0.0945
15,499
9.6485
154,877,000
888.1
5,987,200
13815802.79
0.0892
0.0387
0.0954
15,557
9.6523
178,965,000
1055.9
11,974,400
16519901.22
0.0923
0.0669
0.0952
15,646
9.6580
137,070,000
672.9
6,940,600
10580707.44
0.0772
0.0506
0.0954
15,724
9.6629
182,105,000
1475.1
6,940,600
23193074.91
0.1274
0.0381
0.0954
15,723
9.6629
173,231,000
829.1
6,940,600
13062483.56
0.0754
0.0401
0.0968
15,755
9.6649
222,901,000
1072.9
13,881,200
16927101.94
0.0759
0.0623
0.1013
15,777
9.6663
164,243,000
1077.8
6,435,000
17053514.93
0.1038
0.0392
0.1082
15,823
9.6692
216,026,000
1720.7
8,150,000
27285379.96
0.1263
0.0377
0.1088
15,857
9.6714
206,829,000
260.4
8,150,000
4138648.29
0.0200
0.0394
0.1108
15,895
9.6738
252,113,000
881.3
18,015,000
14027315.21
0.0556
0.0715
0.1133
15,916
9.6751
69
Chuyn tt nghip
Q1
2006
Q2
2006
Q3
2006
Q4
2006
Q1
2007
Q2
2007
Q3
2007
Q4
2007
Q1
2008
Q2
2008
Q3
2008
Q4
2008
Q1
2009
Q2
2009
Q3
2009
Q4
2009
Q1
2010
Q2
2010
Q3
2010
Q4
2010
Q1
2011
Q2
2011
Q3
2011
184,359,000
64.1
8,550,000
1020980.142
0.0055
0.0464
0.1118
15,927
9.6758
242,186,000
1564.0
9,690,000
25018055.99
0.1033
0.0400
0.1118
15,996
9.6801
248,290,000
1261.6
18,300,000
20254753.33
0.0816
0.0737
0.1118
16,055
9.6838
299,431,000
1323.0
11,960,000
21239838.55
0.0709
0.0399
0.1118
16,054
9.6837
210,878,000
1738.2
15,454,000
27852977.12
0.1321
0.0733
0.1118
16,024
9.6818
282,577,000
3452.8
11,001,000
55675863.73
0.1970
0.0389
0.1118
16,125
9.6881
293,776,000
2955.3
8,675,000
47594649.76
0.1620
0.0295
0.1118
16,105
9.6869
356,783,000
3022.7
21,370,000
48708371.94
0.1365
0.0599
0.1118
16,114
9.6874
254,086,000
4858.0
4,511,000
77533072.47
0.3051
0.0178
0.1232
15,960
9.6778
371,652,000
3274.9
6,439,000
54081312.43
0.1455
0.0173
0.1664
16,514
9.7120
390,765,000
696.0
6,475,000
11495915.54
0.0294
0.0166
0.2010
16,517
9.7121
461,214,000
3870.6
48,775,000
65711003.44
0.1425
0.1058
0.1408
16,977
9.7396
311,136,000
-1341.0
14,290,000
-22735329.79
-0.0731
0.0459
0.0954
16,954
9.7383
420,464,000
3889.0
17,760,000
65930016.59
0.1568
0.0422
0.0957
16,953
9.7382
425,477,000
5041.0
15,806,000
85651498.44
0.2013
0.0371
0.1019
16,991
9.7404
501,312,000
5467.0
68,044,000
98083196.74
0.1957
0.1357
0.1098
17,941
9.7948
362,895,000
3863.0
12,660,000
71635473
0.1974
0.0349
0.1200
18,544
9.8279
492,305,000
1961.0
17,990,000
36364601.13
0.0739
0.0365
0.1344
18,544
9.8279
508,996,000
1784.0
16,675,000
33774938.58
0.0664
0.0328
0.1317
18,932
9.8486
616,718,000
4564.0
72,375,000
86405892.11
0.1401
0.1174
0.1393
18,932
9.8486
441,707,000
3231.0
11,465,000
66891224.67
0.1514
0.0260
0.1605
20,703
9.9380
628,223,000
2900.0
16,315,000
59792380.47
0.0952
0.0260
0.1802
20,618
9.9339
640,284,000
805.0
14,050,000
16605765.54
0.0259
0.0219
0.1791
20,628
9.9344
Ngun: IMF, Tng cc thng k
70
Chuyn tt nghip

TI LIU THAM KHO
1.
Nguyn nh Long; Nguyn Hoi Nam - Vin Chnh sch v Chin lc pht trin nng
thn - i hc Vinh, Tc ng ca chnh sch ti kha i vi s pht trin kinh t Vit
Nam
2.
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gii php
3.
V S Cng (29/04/2011), Chnh sch ti kha v lm pht: Bi hc t l thuyt v

kinh
nghim
ti
Vit
Nam,
Bo
Doanh
nghip,
truy
cp
ti
ch
http://www.baodoanhnghiep.com.vn/PrintPreview.aspx?ID=3004 vo ngy 15/03/2012

4.
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5.
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from five developing economies of Asia, Journal of Asian Economics, 9(3), 487-501.
6.
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EU, Cesifo Working Paper No. 2581
7.
Akbar Z., Mohsen M. (2011), Testing Twin Deficits Hypothesis in Iran,

Interdisciplinary Journal of Research in Business. Vol. 1, Issue. 9, 07- 11
8.
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Economics and Finance, Federal Reserve Bank of New York, 12, No. 7.
9.
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10. Barro, R.J. (1989), The Ricardian Approach to Budget deficits, The Journal of
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puzzle in Egypt
13. Chang, Jui-Chuan v Zao-Zhou Hsu (2009), Causality Relationships between the Twin
Deficits in the Regional Economy, Department of Economics, National Chi Nan
University Taiwan.
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14. Chin-Hong Puah, L. Evan, Kim-Lee Tan (2006), Budge-current acount deficits nexus in
Malaysia, The Journal of Global Business Management, Volume 2, Number 2, 126-135.
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Economic Journal, 54, 879-886.
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73

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TRNG I HC KINH T TP.

KHOA TI CHNH DOANH NGHIP

THM HT KP TI VIT NAM:

GVHD: ThS. inh Th Thu Hng

Nguyn Hong Nh Thy

NHN XT CA GING VIN HNG DN

ThS. INH TH THU HNG

NHN XT CA GING VIN CHM CHUYN 2

GVHD: ThS. inh Th Thu Hng

L thuyt nn tng v Thm ht kp (Theoretical basics) ................................. 5

Chnh sch ti kha ..................................................................................... 5

Ti khon vng lai ....................................................................................... 6

Nhng bng chng thc nghim v thm ht kp trn th gii ........................ 9

Tng quan d kin ca thm ht kp ti Vit Nam ....................................... 22

3. PHNG PHP NGHIN CU (METHODOLOGY AND DATA) ............ 31

Phng php nghin cu: ................................................................................ 31

4. NI DUNG V KT QU NGHIN CU (RESULTS) ................................. 34

Kim nh tnh dng ........................................................................................ 34

Kim nh ng lin kt ................................................................................... 35

Kim nh nhn qu Granger ........................................................................... 39

Kim nh VECM ............................................................................................ 41

Gii thch kt qu kim nh ............................................................................ 45

5. TNG KT (CONCLUSIONS) .......................................................................... 48

Kt qu nghin cu: ......................................................................................... 48

Khuyn ngh gii php ..................................................................................... 48

SVTH: Nguyn Hong Nh Thy

GVHD: ThS. inh Th Thu Hng

Chnh sch ti kha

Thm ht ngn sch

Thm ht ti khon vng lai

Augmented Dickey Fuller

Vector Error Correction Model

Lin minh Chu u

T chc Hp tc v Pht trin Kinh t

SVTH: Nguyn Hong Nh Thy

GVHD: ThS. inh Th Thu Hng

SVTH: Nguyn Hong Nh Thy

GVHD: ThS. inh Th Thu Hng

Hnh 2.1: Bn mi quan h c th c ca thm ht kp.................................................. 9

SVTH: Nguyn Hong Nh Thy

GVHD: ThS. inh Th Thu Hng

SVTH: Nguyn Hong Nh Thy

GVHD: ThS. inh Th Thu Hng

1. GII THIU (INTRODUCTION)

GVHD: ThS. inh Th Thu Hng

GVHD: ThS. inh Th Thu Hng

mi quan h nhn qu Granger v cui cng l dng kim nh VECM. Phn 4 a ra

SVTH: Nguyn Hong Nh Thy

GVHD: ThS. inh Th Thu Hng

2. TNG QUAN V CC KT QU NGHIN CU TRC

L thuyt nn tng v Thm ht kp (Theoretical basics)

2.1.1 Chnh sch ti kha

Khi nn kinh t ang tnh trng suy thoi,Nh nc c th p dng

Nh nc c th s dng chnh sch ti kha thu hp, trong chi tiu ca

GVHD: ThS. inh Th Thu Hng

c hai. Vic ny s dn n thm ht ngn sch t i hoc thng d ngn sch

Cn cn thng mi hng ha: ghi li cc giao dch v xut khu v nhp

khu hng ha ca mt quc gia. i vi phn ln cc quc gia th cn cn

Cn cn dch v: ghi chp li cc giao dch v vn ti, du lch, v cc

dch v khc ca mt quc gia.

nh kiu hi, thu nhp t u t.

Cn cn chuyn khon: bao gm nhng khon vin tr khng hon li,

gi tr ca nhng khon qu tng, v cc chuyn giao khc bng tin v hin vt