i

MC LC
DANH MC T VIT TT....................................................................................... III
DANH MC HNH ..................................................................................................... IV
DANH MC BNG BIU ........................................................................................... V
LI M U ................................................................................................................ 1
1. L DO CHN TI ..................................................................................... 1
2. MC TIU NGHIN CU .............................................................................. 1
3. PHNG PHP NGHIN CU ..................................................................... 2
4. NI DUNG NGHIN CU .............................................................................. 2
5. NGHA NGHIN CU ................................................................................. 3
6. HNG PHT TRIN TI ...................................................................... 3
1. GII THIU .............................................................................................................. 4
2. TNG QUAN CC NGHIN CU V HIU NG NG CONG J ............... 4
2.1. Cc nghin cu c s v mi quan h gia t gi v cc cn thng mi ... 4
2.2. Khun kh l thuyt ng cong J................................................................ 6
2.3. Kt qu thc nghim v hiu ng ng cong J cc nc trn th gii ... 8
3. KIM NH TM QUAN TRNG V XY DNG PHNG PHP O
LNG HIU NG NG CONG J VIT NAM ........................................... 16
3.1. Thc trng cn cn thng mi Vit Nam 2000-2010 ............................. 16
3.2. Cch x l d liu ......................................................................................... 19
3.2.1. D liu ........................................................................................................ 19
3.2.2. Kim nh tnh nghim n v ...................................................................... 20

ii

3.2.3. Xc nh tr ti u .................................................................................. 21
3.2.4. Xc nh s mi quan h ng tch hp ....................................................... 21
4. KT QU THC NGHIM VIT NAM TRONG GIAI ON 2000 2011 21
4.1. Phn tch kt qu v kim nh hiu ng ng cong J Vit Nam trong
giai on 2000 2011 .......................................................................................... 21
4.1.1. Phn tch phn r phng sai...................................................................... 21
4.1.2. Phn tch hm phn ng y tng qut........................................................ 22
4.1.3. Kim nh Robustness.................................................................................. 24
4.2. Nhng hn ch trong kt qu nghin cu ................................................... 26
5. KT LUN .............................................................................................................. 27
DANH MC TI LIU THAM KHO ....................................................................... I
PH LC ..................................................................................................................... III

iii

DANH MC T VIT TT
VN

Vit Nam

TGH

T gi hi oi

VND

Vit Nam ng

USD

la M

TGDN

T gi danh ngha

CCTM

Cn cn thng mi

NHNN

Ngn hng Nh nc

TCHQ

Tng Cc Hi Quan

TCTK

Tng Cc Thng K

CPI

Ch s gi tiu dng

GDP

Tng sn phm quc ni

REER

T gi hi oi hiu lc a phng

NEER

T gi hi oi danh ngha a phng

iv

DANH MC HNH
Hnh 1: Din bin TGDN gia VND/USD giai on 2000-2011.
Hnh 2: T gi thc hiu lc a phng Vit Nam (k gc l qu 1 nm 2000).
Hnh 3: Phn tch phn r phng sai.
Hnh 4: Kt qu hm phn ng y t m hnh VAR.
Hnh 5: Kt qu hm phn ng y t m hnh VECM.
Hnh 6: Kt qu hm phn ng y t m hnh VAR (trng hp kim nh Robustness).
Hnh 7: Kt qu hm phn ng y t m hnh VECM (trng hp kim nh
Robustness).

DANH MC BNG BIU

Bng 1: Kim nh nghim n v bng ADF v PP.
Bng 2: Kim nh Kwiatkowski-Philips-Schmidt-Shin (KPSS).
Bng 3: tr ti u ca m hnh VAR.
Bng 4: Kt qu c lng ng lin kt Johansen (kim nh trace).
Bng 5: Kt qu c lng ng lin kt Johansen (kim nh t s hp l).
Bng 6: Bng phn tch phn r phng sai.

LI M U
1. L DO CHN TI
Vit Nam tri qua kh nhiu ln ph gi VND vi mc ch c cc nh hoch
nh chnh sch nu ra l kch thch xut khu, nhng theo l thuyt ng cong J
th khi ph gi ng ni t s mt mt khong thi gian cn cn thng mi s tip tc
xu i do hiu ng gi c, sau khi hiu ng khi lng 1 bt u pht huy c tc
F
0

dng th cn cn thng mi mi bt u c ci thin. Trong khi cc nc th

trng mi ni ang vn hnh mt chnh sch ph gi ng ni t vi mong mun ci
thin ngay lp tc CCTM th kt qu thc nghim li khng h tr cho nhng k
vng ny. Nhiu nh nghin cu cho thy vic ph gi c th ci thin CCTM trong
di hn nhng xt v ngn hn th CCTM s b thm ht trong giai on u. ti
ny s nghin cu v l thuyt ng cong J xem xt liu ng cong J c tn ti
Vit Nam hay khng, liu ph gi c th ngay lp tc ci thin c CCTM v nu
c th hiu ng gi c s din ra trong bao lu trc khi hiu ng khi lng bt u
pht huy tc dng.
2. MC TIU NGHIN CU
ti tp trung nghin cu nhng ni dung:
C hay khng mi quan h gia t gi hi oi v cn cn thng mi.
Hin trng nh gi cao ng VN c tc ng nh th no n CCTM.
C hay khng hiu ng ng cong J ti Vit Nam.
Hm khi c hiu ng ng cong J ti VN.

Xem Nguyn Vn Tin (2010), gio trnh Ti chnh quc t. N c ngha l v di hn, nh sn xut

c kh nng thay i nng sn lng xut khu, t ci thin cn cn xut nhp khu.

Trong qu trnh i tm li gii cho nhng cu hi nghin cu va nu gii quyt

vn nghin cu t ra, ti ny nhm vo cc i tng nghin cu c th sau
y:
Tng quan cc bi nghin cu v hiu ng ng cong J cc nc trn th
gii.
Dng hm phn ng y tng qut t m hnh VAR v VECM qua xem xt
liu c hay khng ng cong J VN.
Xem xt s ph hp ca m hnh VN gip chng ta bit c tnh tri ca
hiu ng gi c din ra trong bao lu v sau bao lu hiu ng khi lng bt
u pht huy tc dng.
3. PHNG PHP NGHIN CU
Bi nghin cu s dng ch yu phng php nh tnh, nh lng v tng hp nhm
lm r nhng vn cn nghin cu. i vi nghin cu nh lng c s dng
trong nghin cu ny, chng ti dng hm phn ng y tng qut (IRF) t m hnh
VAR v VECM qua xem xt c hiu ng ng cong J Vit Nam hay khng. B
d liu c s dng ly t Qu 1 nm 2000 n Qu 4 nm 2011, s liu cp nht
ln ph gi gn y nht ca NHNN. S liu chui thi gian di c th tin tng
vo kt qu ca cc m hnh chui thi gian.
4. NI DUNG NGHIN CU
Ni dung chnh bao gm:
u tin, tng quan nghin cu ti cc nc trn th gii v hiu ng ng cong J.
Th hai, xem xt v thc trng VND ang b nh gi cao hay thp.
Th ba, xy dng m hnh nghin cu v s dng hm phn ng y tng qut t m
hnh VAR v VECM xem xt c ng cong J VN hay khng s dng s liu t
Qu 1 nm 2000 n Qu 4 nm 2011.

5. NGHA NGHIN CU
V mt l lun, ti h thng c nhng nghin cu v ng cong J ch ra
tm quan trng v mi lin h gia TGH v CCTM, ng thi ng gp bng chng
thc nghim cho kim nh ng cong J ti VN.
V mt thc tin, ti cho thy c mi lin h gia TGH v CCTM trong
ngn v di hn. Qua c th gi m v nhng gii php cho chnh sch t gi ca
VN trong tng lai.
6. HNG PHT TRIN TI
Do ti cn tp trung vo cc kim nh n thun mang tnh trc quan v mi quan
h gia TGH vo CCTM nn ti cn kh rng. C mt hng pht trin quan
trng cn c khai thc l: s dng m hnh ARDL phn tch nhm gim i mi
quan tm v tnh dng ti chui gc ca cc bin cn o lng.

1. GII THIU
Nu nh lm pht l mt ti nng trong nm 2011 th n vi nm 2012 t gi hi
oi c xem l trung tm ca s ch . Nguyn nhn l do t gi c mi quan h
mt thit vi cc bin v m trong nn kinh t, m nhng bin ny li c vai tr quan
trng trong tin trnh phc hi sau khng hong. Mi quc gia trong tng thi k,
tng mc tiu c th m h s hng n vic xem xt t gi nhiu kha cnh khc
nhau. Vi trng hp ca VN, l mt nc nhp siu v lun ri vo tnh trng thm
ht CCTM, th cu hi c t ra cho nhng nh hoch nh chnh sch hin nay l
liu cn phi iu chnh t gi theo hng no nhm ci thin cn cn thanh ton mt
cch hiu qu nht. Trc vn cp bch , chng ti s tp trung vo vic gii
quyt cho cu hi: hnh ng iu chnh t gi liu c ngay lp tc ci thin c cn
cn mu dch. Hay ni cch khc, VN c xy ra hiu ng ng cong J hay khng
vi cch kim nh thng qua phng php nghin cu chui thi gian s dng hm
IRF t m hnh VAR v VECM. Hn na, c th xem xt vn mt cch ton
din, chng ti c thc hin kim nh robustness xem xt thch hp ca m
hnh do vic chn tr nh hng kh nhiu n s mi quan h ng tch hp v
hnh dng ng cong J.
2. TNG QUAN CC NGHIN CU V HIU NG NG CONG J
2.1. Cc nghin cu c s v mi quan h gia t gi v cc cn thng mi
Trong nghin cu ca Bahmani-Oskooee v cng s (2008), cc ng tm lc ba
phng php tip cn mi lin h gia CCTM v TGH thc. N bao gm vic kim
nh cc iu kin Marshall-Lerner, ng cong J v ng cong S. V c bn, iu
kin Marshall-Lerner l mt phng php gin tip nh gi hiu qu ph gi trong
vic ci thin CCTM. Mc nh hng ca vic ph gi ng tin ln CCTM s
ph thuc ch yu vo co gin trong cung, cu xut nhp khu. Theo ph gi
ng tin ch thc s c tc ng tch cc n CCTM khi tng mc co gin ca cu
xut khu v nhp khu ln hn 1. Mc co gin ny xt trong ngn hn s thp

hn (cung v cu gn nh khng co gin) so vi di hn, v vy CCTM s c xu

hng xu i trong thi gian u (Bahman-Oskooee, 2004).
Trong khi mt s bi nghin cu ca Houthakker v Magee (1969) s dng phng
php nh lng c tnh co gin cu xut nhp khu, th cc nghin cu gn
y ca Rose (1990), Bahmani- Oskooee v Niroomand (1998), v Bahmani-Oskooee
v Kara (2005) da vo v b sung thm vic phn tch yu t hi nhp v c tnh
co gin cho cc quc gia khc nhau (pht trin cng nh km pht trin). Tuy
nhin, mt nhc im ca hng tip cn ny l n ch ng trong iu kin xem xt
v di hn. Cc tranh lun c a ra bi Magee (1973), Junz v Rhomberg (1973),
Meade (1988), Bahmani-Oskooee (1985), v Rose v Yellen (1989). iu ny xy ra
hng cc bi nghin cu sau ny chuyn sang vic kim nh mi tng quan
gia CCTM v hnh ng ph gi ng ni t trong ngn hn, t hnh thnh nn
ng cong J.
Hng tip cn th hai, ng cong J, vi gi nh rng gi tr trn ha n xut khu
s c tnh bng ng ni t v gi tr trn ha n nhp khu s c tnh bng
ngoi t nn vic ci thin CCTM trong thi gian u l khng c v gi c v khi
lng thng mi lc ny cha kp c nhng ng thi thay i. Mc nh hng
ca gi c sn xut trong v ngoi nc truyn sang tiu dng, quy m tnh cht co
gin ca cung cu hng ha xut v nhp khu s l nhng nhn t mang tnh quyt
nh n gi tr tc ng ca hiu ng Hsing (1999).
Hiu ng ng cong J c th c gii thch trong c hai trng hp truyn dn
hon ton (pass-through perfect) v khng c truyn dn (zero pass-through). Di c
ch truyn dn hon ton, gi c nhp khu ni a tng trong khi gi c xut khu ni
a vn gi mc khng i. Trong trng hp khng c truyn dn, gi c xut
khu ni a tng trong khi gi c nhp khu ni a c nh dn n vic sau khi ph
gi ng tin th CCTM thc s c ci thin. Do , mt s suy gim ngn hn l
ph hp vi mt s ci thin trong CCTM di hn.

Ngoi ra, khi m rng quan st i vi cc nc ang pht trin th trng mi ni,
mt bin th ca ng cong J l ng cong S xut hin. Backus v cng s
(1994) s dng hm tng quan cho cc nc OECD, l ngi u tin cho thy
rng CCTM tng quan m vi cc xu hng hin ti v tng lai trong iu kin
thng mi, nhng tng quan thun vi cc xu hng trong qu kh. Senhadji
(1998) cng ng tnh khi xem xt ti 30 quc gia km pht trin.
2.2. Khun kh l thuyt ng cong J
Trong m hnh thay th khng hon ho (the imperfect substitutes model) c a ra
bi Goldstein v Khan (1985), CCTM bao gm cc thnh phn hng ha xut nhp
khu. Thu nhp trong nc v gi nhp khu l nhng yu t chnh quyt nh nhu
cu nhp khu hng ha. Hm nhp khu c biu din nh sau:
Md = Md (Y, Pm, Pd)

(1)

Vi Md l nhu cu nhp khu trong nc, Y l thu nhp trong nc, Pm l gi c trong
nc v Pd l mc gi chung trong nn kinh t. Tng t, hm cung i vi hng xut
khu trong nc, biu din bi:
Xd = Xd (Y*, Px, E, Pf )

(2)

Vi Xd l s lng hng ha xut khu, Y* l thu nhp nc ngoi, Px l gi ngoi t

thanh ton cho hng nhp khu trong nc, Pf l mc gi chung nc ngoi v E l
TGH danh ngha c xc nh bi s lng n v tin t trong nc trn s n v
tin t nc ngoi. im chnh ca 2 phng trnh (1) v (2) l c thu nhp trong
nc v nc ngoi u dng, nh vy co gin cho ca gi mang gi tr m.
Trong m hnh ny, hm cu c m t bi thu nhp hin ti (khng phi thu nhp
thng xuyn hay tm thi). M hnh ny gi nh nn kinh t c phng trnh cu
khng i. Kt qu l ngi tiu dng a ra quyt nh da trn gi tr thc tri
ngc vi gi tr danh ngha. ng nh gi nh, v phi phng trnh (1) v (2) c
chia ra:

Md = Md (Yr , RPm)

(3)

Vi Yr l thu nhp trong nc v RPm l gi nhp khu tng i v phng trnh (4)
Xd = Xd (Yr*, RPx )

(4)

Vi Yr* l thu nhp nc ngoi v RPx l gi xut khu tng i.

Khi gi c hng ha xut khu nc ngoi c iu chnh t gi a v mc gi
thc, phng trnh s c vit li nh sau:
=

(5)

Vi Px* l gi xut khu nc ngoi v Q l TGH thc, khi tng Q s lm ng ni

t mt gi. Xut khu trong nc bng nhp khu nc ngoi, c ngha l nhu cu
nhp khu trong nc tng ng ngun cung xut khu nc ngoi v cung nhp
khu trong nc tng ng cu nhp khu nc ngoi, do ta c phng trnh:
Md = Xs* , Xd = Ms*

(6)

Vi Xs* v Ms* l cung xut khu v cung nhp khu nc ngoi. T CCTM c
tnh nh sau:
TB = Px* Xd QMd

(7)

T ta thy CCTM l s chnh lch gia gi tr xut khu v nhp khu. CCTM m
biu hin mt s thm ht, gi tr nhp khu vt qu gi tr xut khu. Mi lin h
gia cc bin trong phng trnh (7) c th c vit li di dng rt gn bng vic
s dng gi tr thc ca cc bin:
=

(8)

Phng trnh trn l phng trnh m t CCTM ca trng phi Keynes c in.
Trong , thu nhp thc trong nc, thu nhp thc nc ngoi v t gi thc l nhng
nhn t chnh c nh hng quyt nh n gi tr xut khu rng.

Trong bi nghin cu ny, chng ti p dng m hnh nghin cu tng t nh

nghin cu ca Anju Gupta-Kapoor v Uma Ramakrishnan (1999).
TB = 0 + 1 LREER + 2 LDI + 3 LFI +

Chng ti s dng bin t gi hiu lc a phng (REER) thay v s dng TGDN a

phng (NEER) nh trong bi nghin cu ca hai tc gi trn.
Tt c cc bin c s dng trong m hnh u c chuyn v logarit c s t
nhin tn dng c im ca h s co gin trong phng trnh logarit. Cc bin
c s dng trong bi nghin cu c k hiu nh sau: LTB l logarit t nhin ca t
l xut khu trn nhp khu, LREER l logarit t nhin ca t gi hiu lc a phng,
LDI l logarit t nhin ca GDP VN i din cho bin thu nhp trong nc, LFI l
logarit t nhin ca bnh qun c trng s ca GDP 15 i tc thng mi ln 2 vi
F
1

VN vi trng s l t trng thng mi ca VN vi cc nc. V ta s dng logarit t

nhin ca t xut khu trn nhp khu i din cho CCTM nn nu hiu ng ng
cong J xy ra th mt s gim gi ca VND s dn n mt s st gim trong t l
nhp khu trn xut khu (do tc ng ngn hn ca gi c) v mt s gia tng trong
t l xut khu trn nhp khu trong di hn do hiu ng khi lng.
2.3. Kt qu thc nghim v hiu ng ng cong J cc nc trn th gii
Hu ht nhng nghin cu v ng cong J a ra nhng kt qu kh khc nhau.
Trong mt s kt qu ph hp vi hin tng hiu ng ng cong J truyn thng,
tuy nhin vn c nhng kt qu xc nhn rng khng tn ti hiu ng ny hoc c
nhng bin th ca hiu ng ny ti cc quc gia ang nghin cu. Gupta-Kapoor v
Ramakrishnan (1999) s dng m hnh ECM kt hp hm phn ng y (IRF)
xc nh hiu ng ng cong J ti Nht Bn vi d liu qu 1 nm 1975 ti qu 4
nm 1996. Kt qu phn tch cho thy, c s tn ti ca ng cong J. Ngoi ra th
2

15 nc gm c Nht Bn, Hn Quc, M, Thi lan, c, Hng Kng, c, M Lai, Php, Anh, H

Lan, Nga, Phillippin, Thy S, B.

nghin cu ca Tihomir Stucka (2004) cng cho ra kt qu tng t v ng cong J

trn CCTM Croatia. Nghin cu ny dng mt m hnh gin c 3 c lng tc
F
2

ng ca mt c sc dai dng (permanent shock) ln CCTM. N cho thy khi ph gi

ng ni t 1% th s ci thin mc cn bng ca CCTM trong khong 0.94 1.3% v
cn khong 2,5 nm c th thit lp li trng thi cn bng.
Koch and Rosensweig (1990) tin hnh nghin cu mi lin h gia ng USD v
cc thnh phn trong CCTM M. H thc hin nhng kim nh v chui thi gian
v nhn qu Granger nhn dng. Kt qu cho thy hai trong bn thnh phn miu
t mi quan h ng ny l yu v chm hn chun ca hin tng ng cong J. Tri
ngc vi l thuyt ng cong J thng thng, s c mi lin h ph thuc mnh m
v nhanh chng gia nhp khu v gi c tin t.
Nghin cu ca Carter v Pick (1989) tm ra nhng bng chng thc nghim cho
thy s phn khc u tin ca ng cong J trn cn cn nng nghip M. CCTM c
tnh trng xu i v iu ny ko di khong 9 thng sau khi ng USD b ph gi
10%. S dng hm phn ng y tng qut t m hnh vect hiu chnh sai s
(VECM) kim nh s tn ti hiu ng ng cong J cho cc nn kinh t Nht
Bn, Hn Quc, i Loan, nghin cu ca Hsing (2003) cho thy hiu ng ng
cong J c xut hin trn CCTM Nht. Trong khi cc kim nh tng t ti Hn Quc
v i Loan li khng cho ra bt c bng chng c th no v s tn ti ca hiu ng
ng cong J. ng cho rng iu ny l mt hiu ng c trng ca nhng nn kinh
t nh v c m tng i. nhng nn kinh t nh v m nh Hn Quc v i
Loan, c gi tr xut khu v nhp khu u c tnh theo ngoi t. Do , nhng tc
ng ca vic ph gi tin t thc trong ngn hn s b hn ch v CCTM v th
khng b nh hng nhiu.
Tin hnh c lng nh hng ca t l mu dch ln CCTM M, nghin cu ca
Haynes and Stone (1982) ch ra rng khng c s ci thin CCTM theo sau s st
3

M hnh c lng cu xut khu v nhp khu

10

gim ca t l mu dch trong thi k 1947-1974. iu ny c kim nh li qua

nghin cu ca McPheters v Stronge (1974), kt lun c a ra l s c mt tr
khong 2 nm trc khi CCTM M c th c ci thin sau nhng thay i gi c.
y l bng chng cho s tn ti ca hin tng ng cong J.
Tri ngc hon ton, nghin cu ca Miles (1979) li cho ra nhng kt qu kh khc
bit, s nh gi thp tin t khng lm ci thin tnh trng CCTM song n gip ci
thin phn no trong cn cn thanh ton. ng cho rng vic nh gi thp ni t s dn
n vic c nhng iu chnh li danh mc u t v kt qu l s c thng d trong
ti khon vn. D liu c thu thp t 14 nc trong thi k 1956-1972. Kt qu
ny sau c kim nh li trong nghin cu ca Himarios (1985) v nhng
bng chng v ng cong J cng c tm thy. ng ch trch rng nhng kt qu
trong nghin cu ca Miles (1979) trc kh nhy cm khi tin hnh vi cc n
v o khc nhau v vic s dng TGDN s cho ra kt qu km chnh xc hn so vi
vic dng t gi thc.
Nghin cu ca Scott Hacker and Abdulansser Hatemi-J (2004) s dng s liu v
thng mi song phng c lng nhng hiu ng trong ngn hn v di hn ca
thay i TGH ln CCTM khu vc chu u gm Cng ha Sc, Hung-ga-ri v
Phn Lan. Nghin cu ca h tin hnh o lng cn cn thng mi thng qua t s
gia xut khu v nhp khu. nhng bin khc bao gm: ch s sn xut cng nghip
v TGH. Vic s dng ch s cng nghip cho php h c th c lng cc tham
s thng k vi d liu hng thng v cng bi v khng c d liu y , lin tc v
ng tin cy v ch s GDP. Nhng kt qu nghin cu ca h cho thy rng trong c
ba trng hp, u c mt vi bng chng cho thy c s xut hin ca hin tng
ng cong J theo sau vic ph gi tin t. H cng pht hin l hiu ng ng cong
J thay th TGH thc vi TGH danh ngha. Nhng thay i trong TGH thc l
kt qu ca c c sc v TGH thc v mc gi chung ca nn kinh t ni a.

11

Trong mt s trng hp c th kt hp c hai bin ny trong m hnh nghin cu

nh lng. Song nhng thay i trong TGDN l d quan st v o lng hn so vi
t gi thc. Bn cnh , TGDN cng c th d kim sot hn i vi nhng nh lm
chnh sch. V vy, nhng bi nghin cu thng s c khuynh hng xem xt tc
ng i vi bin TGDN. Kt qu nghin cu ca h tm thy nhng bng chng
tng i yu v hiu ng ng cong J, trong CCTM yu i v sau li c
ci thin sau c sc v t gi, tuy nhin qu trnh ny khng din ra nhanh chng nh
nhng d bo trong l thuyt.
Ngoi ra, nghin cu ca Paresh Narayan (2004) cng cho thy c hin tng hiu
ng ng cong J trn CCTM New Zealand. ng khng tm thy bt k mt mi
quan h ng lin kt no gia CCTM v t gi c hiu lc thc, cng nh gia thu
nhp quc ni v thu nhp nc ngoi khi kho st trong thi k 1970-2000. Tuy
nhin CCTM New Zealand hnh thnh hiu ng ng cong J. Theo sau s ph
gi thc ca ng la New Zealand, CCTM xu i trong khong 3 nm u tin v
sau c ci thin tr li.
Bahmani-Oskooee v cc cng s (2003) tin hnh nghin cu thc nghim cho
CCTM n , trong khi nhng nghin cu trc cho n khng tm thy bt
c mt du hiu no v s xut hin ca ng cong J trn CCTM ca nc ny.
Nhng nh nghin cu cho rng mt trong nhng vn c th l do vic s dng
nhng s liu c tnh tng hp, v kt qu qu l h tin hnh s dng nhng d
liu phi tng hp nhm pht hin hin tng ng cong J trong trng hp ca
n . Tuy nhin, cc kt qu thc nghim thu c khng h tr cho kt lun v
ng cong J. Mc d vy s nh gi thp tin t trong di hn ca ng rupi n
cng c nhng tc ng gp phn ci thin ng k tnh trng CCTM nc ny.
Nhng kt qu thu c t nghin cu v CCTM Th Nh K h tr mnh m
cho gi nh v iu kin Marshal-Lerner, n a ra c chng c v mi lin h
trong di hn ca vic ph gi tin t. iu ny r rng cho thy rng, khi nghin cu

12

v hin tng ng cong J nht thit cn phi tch bit v nhn dng nhng tc ng
v ngn v di hn ca ph gi tin t ln CCTM.
Xem xt hiu ng ny cc nc ln cn VN, mt nghin cu ca Olugbenga
Onafowora (2003) chn mu l ba nc Thi Lan, M Lai v Indonesia. Bng cch
vn dng m hnh VECM, tng th tc gi cho thy rng vi Indonesia v M Lai
trong mi thng mi song phng c M v Nht Bn u c hiu ng ng
cong J trong ngn hn. Ngc li, ti Thi Lan khi xem xt vi Nht Bn th mt c
sc gim t gi thc ban u ci thin CCTM, nhng sau li tr nn ti t v cui
cng l ci thin cn cn theo nh mong mun.
Trong nhng c lng v ng cong J, nghin cu c th s dng d liu v
thng mi a phng hoc song phng. Nghin cu ca Rose and Yellen (1989)
a ra kt lun rng vic dng d liu thng mi song phng s cho ra kt qu tt
hn v n khng i hi cn c s phn cch vi cc bin ng trong thu nhp th
gii nh khi phn tch mc tng th. iu ny s gp phn gim thiu nhng sai
lch tng th.
Vi cc phn tch v nhng hiu ng k vng ca ph gi tin t ln CCTM, gi thit
kim nh cho bi nghin cu s c xy dng nh sau: S c mt mi lin h trong
di hn gia cn cn thng mi v t gi thc c hiu lc v c bng chng v hin
tng ng cong J trn CCTM VN.

13

Nh nghin cu

i tng nghin

Mu (B d liu)

Phng php nghin

cu
Gupta-Kapoor
Ramakrishnan

cu

v Hiu ng ng D liu qu, t qu M hnh ECM kt hp Tn ti ng cong J

cong j ti nht bn

1 nm 1975 n qu hm phn ng y (IRF)

4 nm 1996

(1999)
Tihomir

Kt qu

Stucka Tc ng ca mt D liu hng thng, M hnh c lng cu Khi ph gi ng ni t 1% th

(2004)

c sc thng trc t

1/1990

n xut v nhp khu.

s ci thin mc cn bng ca

(permanent shock) 12/1993.

CCTM trong khong 0.94

ln CCTM croatia

1.3% v cn khong 2,5 nm

c th thit lp li trng thi cn
bng.

Koch

v Mi lin h gia D liu hng nm, Kim nh v chui thi Hai trong bn thnh phn miu

Rosensweig (1990) ng usd v cc giai on 1970 - gian

thnh phn trong 1988

nhn

qu t mi quan h ng ny l yu

granger.

CCTM m
Hsing (2003)

v chm hn chun ca hin

tng ng cong j

Hiu ng ng D liu hng qu, t Hm phn ng y tng Hiu ng ng cong j c xut

cong j cho cc nn qu 1 nm 1996 qut t m hnh vect hin trn CCTM nht. Trong khi
kinh t nht bn, n qu 1 nm 2006. hiu chnh sai s (vecm)

cc kim nh tng t ti hn

14

hn quc, i loan

quc v i loan li khng cho

ra bt c bng chng c th no
v s tn ti ca hiu ng ng
cong j

Haynes v Stone c

lng

nh D liu theo qu, M hnh chui thi gian

(1982); kim nh hng ca t l giai

li bi McPheters mu

dch

v Stronge (1974)

CCTM m

Miles (1979)

Kim

nh

on

S c mt tr khong 2 nm
trc khi CCTM m c th c

1947-

ci thin sau nhng thay i gi

ln 1974.

c.
hiu 14 nc trong thi S dng t gi danh S nh gi thp tin t khng

ng ng cong J

k 1956-1972

ngha

lm ci thin tnh trng CCTM

song n gip ci thin phn no
trong cn cn thanh ton.

Himarios (1985)

Kim nh li bi D liu hng nm, S dng t gi thc, m ng cong j c tm thy ti

nghin

cu

Miles (1979)

ca giai on 1956 hnh OLS.

9 trn 10 nc quan st (xem

thm himarios 1985)

1972

Scott Hacker v c lng nhng S dng s liu v o lng cn cn thng C ba trng hp, u c mt
ng

trong thng

Abdulansser

hiu

Hatemi-J (2004)

ngn hn v di phng

mi

song mi thng qua t s gia vi bng chng cho thy c s

xut khu v nhp khu, xut hin ca hin tng ng

15

hn ca thay i

nhng bin khc bao cong j theo sau vic ph gi tin

tgh ln CCTM

gm: ch s sn xut t

khu vc chu u

cng nghip v tgh

gm cng ha sc,
hung-ga-ri v phn
lan
Paresh

Narayan CCTM

(2004)

New 1970-2000

Phn tch ng tch hp

Hnh thnh hiu ng ng

cong j: CCTM xu i trong

Zealand

khong 3 nm u tin v sau

c ci thin tr li
Bahmani-Oskooee

D liu hng nm, M hnh cn cn thng Khng tm thy bt c mt du

v cc cng s

giai on 1962 mi (xem thm NC EB hiu no v s xut hin ca

(2003)

2006

ng cong j

Olugbenga

Thi Lan, M Lai D liu qu, t qu Phn tch ng lin kt Indonesia v M Lai u c hiu

Onafowora (2003)

v Indonesia trong 1 nm 1980 n qu v m hnh VECM.

mi

thng mi 4 nm 2001.

ng ng cong J trong ngn

hn. Ngc li, ti Thi Lan khi

song phng c

xem xt vi Nht Bn th khng

M v Nht Bn

thy xut hin.

16

3. KIM NH TM QUAN TRNG V XY DNG PHNG PHP O

LNG HIU NG NG CONG J VIT NAM
3.1. Thc trng cn cn thng mi Vit Nam 2000-2010
Hnh 1: Din bin TGDN gia VND/USD giai on 2000-2011
25000.000

20000.000

15000.000

10000.000

5000.000

20
00
Q
1
20
01
Q
1
20
02
Q
1
20
03
Q
1
20
04
Q
1
20
05
Q
1
20
06
Q
1
20
07
Q
1
20
08
Q
1
20
09
Q
1
20
10
Q
1
20
11
Q
1

0.000

Ngun: IFS
Qua Hnh 1 chng ta nhn thy rng t gi gia VND/USD lin tc tng v chia lm 2
giai on r rt: t qu 1 nm 2000 n u qu 1 nm 2008; t sau qu 1 nm 2008
n qu 1 nm 2011. Giai on u, t gi gia tng mt cch n nh. Nhn chung
khng c t tng gi no ng k. Nhng bc sang giai on th 2, TGDN gia tng
mt cch mnh m th hin nhng hnh ng ph gi lin tc v mnh m hn t pha
NHNN. c bit phi k n l t ph gi gn y nht vo thng 2/2011, vi mc
ph gi lm VND gim gi 9.3% so vi USD, t gi bnh qun lin ngn hng tng t
18 932 VND/USD ln 20 693 USD. 4
F
3

Di y, chng ti tin hnh xy dng TGDN a phng (NEER) v t gi hiu lc

a phng (REER).
4

Ngun: website Ngn hng nh nc.

17

Gi tin t m chng ti la chn gm 20 nc i tc thng mi chnh 5 vi VN (v

F
4

khng thu thp c s liu ca i Loan do i Loan vn cha l thnh vin ca

IMF). K gc m chng ti la chn l qu 1 nm 2000 v ti nm ny CCTM ca
VN tuy c thm ht nhng kh thp. Do , t gi phn nh c ngang gi sc mua
gia VND vi cc ng tin cn li hay t gi hiu lc a phng c th c xem l
bng 1. K gc nm 2000 cng l k gc m nhiu nghin cu v t gi hi oi la
chn, chng hn nghin cu ca Nguyn Th Thu Hng v cc cng s (2010).
TGDN a phng (NEER) v t gi hiu lc a phng (REER) c tnh ton bng
cng thc sau:

NEERt = (e jt )
n

w jt

j =1

P
REERt = e jt jt
Pt
j =1
n

w jt

Trong :

t l thi gian theo qu.

n = 20 l s nc i tc thng mi chnh ca Vit Nam.

ejt l TGDN ca ng tin nc j so vi VND (trong trng hp ny VND l

ng nh gi cn ng tin nc j l ng yt gi) ti qu t v c tnh theo
ch s vi k gc l qu 1 nm 2000.

Pt l ch s gi hng ha trong nc.

Pjt l ch s gi hng ha nc j.

Gm nhng nc sau Nht Bn, Hn Quc, M, Thi lan, c, Hng Kng, c, M Lai, Php,

Anh, H Lan, Nga, Philippin, Thy S, B, Singapore, Indonexia, , n .

18

Mt s gia tng trong ch s NEER (hoc REER) th hin s gim gi ca VND so

vi cc ng tin khc ca cc i tc thng mi chnh. Da vo Hnh 2 c th nhn
xt rng, trong giai on t u qu 1 nm 2000 n u qu 1 nm 2004, NEER v
REER bin ng cng chiu vi nhau. Chiu hng i ln ca REER trong giai on
ny th hin VND ang gim gi thc v chiu hng ny l c li cho xut khu. Bt
u t qu 1 nm 2004 n nay, REER v NEER ngy cng cch xa nhau. L do
gii thch cho iu ny l lm pht ca VN giai on t qu 1 nm 2004 cho n nay
cao hn hn so vi cc i tc thng mi. So vi k gc qu 1 nm 2000 th tnh n
ht qu 4 nm 2011, VND ln gi khong 24.48% so vi ng tin ca 20 i tc
thng mi chnh. Quan st Hnh 2 ta c th nhn thy tc ng tch cc t t ph
gi mnh m nht ca NHNN vo thng 2 nm 2011. T gi hiu lc a phng c
xu hng tng ln tuy nhin do hu qu lm pht kh cao trong nm 2011, nn REER
gim nhanh tr li.
Hnh 2: T gi thc hiu lc a phng Vit Nam (k gc l qu 1 nm 2000)
2
1.8
1.6
1.4
1.2
NEER

REER

0.8
0.6
0.4
0.2

20
00
Q
1
20
01
Q
1
20
02
Q
1
20
03
Q
1
20
04
Q
1
20
05
Q
1
20
06
Q
1
20
07
Q
1
20
08
Q
1
20
09
Q
1
20
10
Q
1
20
11
Q
1

Ngun: tnh ton ca tc gi da trn s liu ca IFS, Datastream

19

3.2. Cch x l d liu

3.2.1. D liu
Trong bi nghin cu ny, chng ti s dng d liu theo qu t qu 1 nm 2000 n
qu 4 nm 2011. Ngun d liu nh sau:
D liu v xut nhp khu ca VN vi 20 i tc thng mi chnh c thu
thp t Datastream giai on t qu 1 nm 2000 n qu 3 nm 2010, giai
on cn li chng ti tng hp t TCHQ.
D liu GDP theo qu ca VN t TCTK.
D liu GDP theo qu ca 15 i tc thng mi 6 vi VN c thu thp t
F
5

IFS.
T gi hiu lc a phng (REER) c tnh ton vi 20 i tc thng mi
chnh 7, k gc l qu 1 nm 2000.
F
6

D liu CPI ca cc nc c thu thp t CPI.

D liu TGH ca cc nc theo qu vi ng tin yt gi l USD c thu
thp t IFS, t gi s dng l t gi cui k.
VN l mt nc c nn kinh t m v nh nn tt c cc gi tr xut nhp khu u
c quy v n v tin t nc ngoi ( y s dng l USD). Do to s thng
nht trong d liu nghin cu, tt c b d liu m chng ti s dng u c n v l
USD. V mt s chui d liu GDP ca cc nc chng hn nh M v cc quc gia
chu u c hiu chnh yu t ma v, do chng ti s dng phng
php hiu chnh yu t ma v bng phng php X12 8 cho cc chui d liu xut
F
7

nhp khu, GDP v chui CPI ca VN.

6

Xem ph lc 1

Xem ph lc 3

Xem Eviews 6 Users Guide II Hiu chnh yu t ma.

20

3.2.2. Kim nh tnh nghim n v

Bng 1 (xem phn Ph lc) th hin kt qu kim nh nghim n v ca cc bin
(chui gc v sai phn bc 1) bng phng php kim nh nghim n v
Augmented Dickey-Fuller (ADF) v kim nh Philips-Perron (PP). Gi thit H0
trong c hai loi kim nh l bin khng dng (c nghim n v). C hai loi kim
nh cho thy bin LREER v LFI u khng dng v sai phn bc 1 ca chng dng
mc ngha 1% hay I(1) 9. Bin LTB dng mc ngha 1% hay I(0). Kim nh
F
8

ADF cho bin LDI v sai phn bc 1 ca n gy kh khn cho vic ra quyt nh v
tnh dng ca bin LDI, trong khi i vi m hnh c chn khng xu th, bin LDI
dng mc ngha 1% th trong m hnh c chn c xu th bin LDI li khng dng.
Kt qu ca kim nh ADF cho sai phn bc 1 ca LDI l LDI khng dng sai
phn bc 1. Trong khi , kim nh PP cho thy LDI l bin khng dng v dng
sai phn bc 1 vi mc ngha 1% hay I(1). i n kt lun v bin LDI, ta quan
st kt qu kim nh Kwiatkowski-Philips-Schmidt-Shin (KPSS) 10 trong Bng 2
9F

(phn Ph lc). Gi thit H0 ca kim nh KPSS l bin c kim nh l bin

dng. Kt qu Bng 2 cho thy rng, LDI l bin khng dng mc ngha 5% v
dng sai phn bc 1 hay I(1).
Tm li, cc bin LREER, LFI v LDI l tch hp bc 1 hay I(1) cn bin LTB l
dng chui gc hay I(0). Cc bin dng sai phn bc 1 hay I(1) nn c th tn ti
mi quan h ng tch hp gia cc bin. Theo Hansen v Juselius (1995), khng phi
tt c cc bin ring l trong m hnh phi dng sai phn bc 1, ch cn hai bin
trong s chng dng sai phn bc 1 hay I(1) l c th xc nh c mi quan h
ng tch hp gia cc bin khng dng. 11
F
0
1

Ngoi tr trng hp sai phn bc 1 ca LFI dng mc ngha 5% trong kim nh ADF m hnh

c chn v c xu th.
10

Tham kho Ng Yuen Ling (2008).

11

Tham kho Anju Gupta-Kapoor v Uma Ramakrishnan (1999).

21

3.2.3. Xc nh tr ti u
Trc khi thc hin vic kim nh s quan h ng tch hp chng ta phi xc nh
c tr ti u da vo ch tiu Akaike (AIC) v Schwartz (SBC). tr cc tiu
cc ch tiu trn s c la chn. Cn c la chn ny c thc hin nhiu bi
nghin cu chng hn nh nghin cu ca Ng Yuen-Ling (2008).
Bng 3 (xem Phn ph lc) cho thy tr ti u c la chn l 4 v y cng l
tr c la chn ca cc ch tiu LR, FPE, HQ.
3.2.4. Xc nh s mi quan h ng tch hp
Sau khi xc nh c tr ti u, ta thc hin kim nh ng lin kt
Jonhansen vi hai loi kim nh thng k, kim nh Trace v kim nh bng t s
hp l. Trong th tc kim nh s mi quan h ng tch hp ny, chng ta s s
dng ba m hnh kim nh khc nhau. M hnh 2 c chn v khng c xu th trong
m hnh ng tch hp, khng c chn trong m hnh VAR. M hnh 3 c h s chn
v khng c xu th trong m hnh ng lin kt, v khng c chn ln xu th trong m
hnh VAR. M hnh 4 c chn v c xu th trong m hnh ng lin kt, c chn v
khng c xu th trong m hnh VAR. Bng 4 (xem Phn ph lc) th hin kt qu
ca kim nh ng lin kt Johansen. C kim nh Trace v kim nh bng t s
hp l ch ra c hai mi quan h ng tch hp vi mc ngha 5%. Nh vy chng
t c mi quan h gia t gi hi oi v cn cn mu dch. Nh vy chng ta c th
s dng kt qu hm phn ng y tng qut (IRF) t m hnh VECM do c tn ti
cc mi quan h di hn trong cc bin.
4. KT QU THC NGHIM VN TRONG GIAI ON 2000 2011
4.1. Kim nh v phn tch kt qu hiu ng ng cong J VN trong giai
on 2000 2011
4.1.1. Phn tch phn r phng sai

22

Phn tch phng sai gip chng ta c c nhng thng tin quan trng lin quan n
ngun gc dn n thay i ca t l xut nhp khu.
Qua Hnh 3, chng ta nhn thy nhng thay i trong bn thn t l mu dch gii
thch phn ln nhng bin ng trong t l xut khu trn nhp khu theo khong thi
gian d bo. Nhng thay i trong t gi hiu lc a phng c ng gp quan trng
trong vic gii thch cc thay i ca t l ny. T l phn trm gii thch ca t gi
hiu lc a phng cho nhng thay i trong t l trn tng dn theo thi gian.
Hnh 3: Phn tch phn r phng sai
100%

80%

60%

LDI
LFI
LREER
LTB

40%

20%

0%
1

10

11

12

Ngun: Tnh ton ca chng ti

4.1.2. Phn tch hm phn ng y tng qut.
Trong phn ny, chng ti s gii quyt vn nghin cu t ra. Liu ng cong
J c tn ti Vit Nam.
ti s dng hm phn ng y tng qut t m hnh VAR v m hnh VECM nh
trong cch tip cn ca Han-Min Hsing (2003). Theo Han-Min Hsing (2003), vic s

23

dng hm phn ng y tng qut nh xut ca Pesaran v cc cng s (1998),

gip chng ti khng phi lo lng v trt t ca cc bin trong h thng.
Hnh 4: Kt qu hm phn ng y t m hnh VAR
0.1
0.08
0.06
0.04
0.02
0
-0.02
-0.04
-0.06
-0.08
1

10

11

12

Ngun: Tnh ton ca tc gi

Hnh 4 v 5 cho thy tc ng trong ngn hn ca hiu ng gi i vi t l xut khu
trn nhp khu sau khi ph gi. T l xut khu trn nhp khu gim xung gn
n 4.6% v n ko di n qu 3 sau khi c c sc khin VND xung gi. Tuy nhin,
i vi hm phn ng y tng qut thu c t m hnh VAR th t sau qu 3, tc
ng ca hiu ng gi gim v hiu ng khi lng bt u pht huy tc dng v
n gia qu 4 th t l xut khu trn nhp khu khi phc li mc nh trc
khi c c sc xy ra. Kt qu hm IRF t c hai m hnh VAR v VECM l nh nhau.

24

Hnh 5: Kt qu hm phn ng y t m hnh VECM

0.04
0.03
0.02
0.01
0
-0.01
-0.02
-0.03
-0.04
1

10

11

12

Ngun: Tnh ton ca tc gi

Tm li, kt qu cho thy hiu ng ng cong J c tn ti i vi trng hp ca
Vit Nam.
4.1.3. Kim nh Robustness.
Theo Han-Min Hsing (2003), vic la chn s tr trong m hnh c nh hng
ng k n vic kt lun s mi quan h ng tch hp v do nh hng n hnh
dng ca ng cong J. Do , xem xt s thch hp ca kt qu kt qu m hnh,
chng ti la chn s tr cho cc bin bng 1 da vo tiu ch Schwartz (SBC).
Kt qu la chn s mi lin h ng lin kt l 1.

25

Hnh 6: Kt qu hm phn ng y t m hnh VAR (trng hp kim nh

Robustness)
0.08
0.06
0.04
0.02
0
-0.02
-0.04
-0.06
-0.08
1

10

11

12

Ngun: Tnh ton ca tc gi

Hai Hnh 6 v 7 th hin kt qu hm phn ng y tng qut t m hnh VAR v m
hnh VECM. T l xut khu trn nhp khu bt u tng ln khi phc tr v v tr
nh trc khi xy ra c sc cng bt u t qu th 3 nhng khi phc nhanh hn i
vi m hnh VAR. Vy iu ny mt ln na ti khng nh hiu ng ng cong J
c tn ti i vi Vit Nam.

26

Hnh 7: Kt qu hm phn ng y t m hnh VECM (trng hp kim nh

Robustness)
0.01

-0.01

-0.02

-0.03

-0.04

-0.05
1

10

11

12

Ngun: Tnh ton ca tc gi

4.2. Nhng hn ch trong kt qu nghin cu
Chng ti nhn thy bi nghin cu cn mt s hn ch sau:
V ngun s liu: V s liu v xut nhp khu ca Vit Nam vi cc i tc thng
mi m Tng cc hi quan cng b ch mi t nm 2009 tr li y nn s liu phi
thu thp t 2 ngun, lm cho s liu khng c tnh ng nht. i Loan cng l mt
i tc thng mi chnh ca Vit Nam nhng v khng c c s liu v xut nhp
khu ca Vit Nam v i Loan giai on trc nm 2009 nn khng th a vo
phn tch c. Thm na, vic xc nh bin FI cng cha tht s chnh xc v
khng c s liu ca Trung Quc - mt i tc thng mi m Vit Nam lun chu
thm ht trong nhng nm gn y.

27

Ngoi ra, bi nghin cu s dng GDP Vit Nam v bnh qun GDP cc nc cng
cha tht s phn nh c thu nhp trong nc v thu nhp nc ngoi.
Mt hng nghin cu gn y s dng m hnh ARDL phn tch gim i mi
quan tm v tnh dng ti chui gc ca bin TB c th l mt hng nghin cu mi
ca ti chng hn nh nghin cu ca Tihomir Stuka (2004).
5. KT LUN
Bi nghin cu tm ra mi quan h di hn ca t gi hi oi hiu lc a phng
v CCTM. Chng ti cng tm thy hiu ng ng cong J c tn ti VN. iu
ny chng t sau khi ph gi, CCTM khng phi ngay lp tc c ci thin m phi
mt mt khong thi gian kh di, phi t qu 3 th hiu ng khi lng mi pht huy
tc dng. Bi nghin cu l c s tham kho cc nh hoch nh chnh sch bit
c khong thi gian din ra hiu ng tiu cc (hiu ng gi c) sau khi ph gi
ng ni t, t a ra c nhng quyt nh chnh sch thch hp trong vic iu
hnh t gi.

DANH MC TI LIU THAM KHO

1. Anju Gupta-Kapoor v Uma Ramakrishnan, 1999, Is there a j-curve? A new
estimation for Japan, International Economic Journal , Volume 13, Number 4,
Winter 1999.
2. Bahmani-Oskooee, Mohsen; Kutan, Ali & Ratha, Artatrana, 2008, The S-Curve
in Emerging Markets, Comparative Economic Studies, Vol. 50, Issue 2, pp. 341351.
3. Backus, D. K., Kahoe, P.J., Kydland, F.E., 1994, Dynamics of the Trade Balance
and the Terms of Trade: the J-Curve?, American Economic Review, March 1994,
84(1), Pp. 84-103.
4. Bahmani-Oskooee, M. v Brooks, T. J., 1999, Bilateral J -Curve Between U.S.
and her Trading Partners.
5. Bahmani-Oskooee, M. v F. Niroomand, 1998, Long-run Price Elasticities and
the Marshall-Lerner Condition Revisited, Economics Letters, 61(1):101-109.
6. Bahmani-Oskooee, M. v O. Kara, 2005, Income and Price Elasticities of Trade:
Some New Estimates, The International Trade Journal 19, 165178.
7. Carter, C.A. v D.H. Pick, 1989, The J-Curve Effect and the U.S. Agricultural
Trade Balance, American Journal of Agricultural Economics, 712-720.
8. Eric Ben Kamoto, 2006, The j-curve effect on the trade balance in malawi and
south Africa.
9. Goldstein, M. v M.S. Khan, 1985, Income and price effects in foreign trade, In
R.W. Jones v P.B. Kenen (eds.), Handbook of International Economics, vol. 2,
Elsevier Science Publishers B.V.
10. Haynes v Stone, 1982, A Neglected Method of Separating Demand and Supply
in Time Series Regression".

ii

11. Houthakker, Hendrik v Stephen Magee, 1969, Income and Price Elasticities in
World Trade, The Review of Economics and Statistics 51(2), 111-125.
12. Koch, Paul v Jeffrey Rosensweig, 1990, The Dynamic Relationship Between the
Dollar and the Components of U.S. Trade, Journal of Business and Economic
Statistics, 8(3). 355-364.
13. Mohsen Bahmani-Oskooee v cc cng s, 2003, Wisconsin-Milwaukee
Universities, Is there a J-curve at the Industry Level?.
14. Ng Yuen Ling, 2008, Real Exchange Rate and Trade Balance.
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there a J-curve?
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imports? Evidence from two Pacific Island Countries", Economic Papers: A
journal of applied economics and policy, Volume 23, Issue 2, pages 152164.
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Linear Multivariate Models, Economics Letters.
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and Management, Vol. 3, No. 8.
19. Rose, Andrew K., 1990, Exchange Rates and the Trade Balance: Some Evidence
from Developing Countries, Economic Letters, 271-75.
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Trade In LDCs: the S-Curve, Journal of International Economics, Vol. 46, pp.
105-131.
21. Tihomir Stucka, 2004, The effects of exchange rate change on the trade balance
in Croatia.

iii

PH LC
Bng 1: Kim nh nghim n v bng ADF v PP.
ADF

PP
Chn v xu

Chn

LTB

-4.4093*

-4.6592*

-4.8745*

-5.1982*

LREER

-1.2091

-2.1288

-1.3208

-2.0121

LDI

-3.6209*

-1.1648

-1.3848

-0.6661

LFI

0.0963

-3.4654

-0.0094

-2.8462

LTB

-4.2997*

-4.1477*

-16.5325*

-16.5150*

LREER

-6.1135*

-6.1905*

-6.1135*

-6.1911*

LDI

-0.4905

-1.2980

-7.5193*

-7.6636*

LFI

-4.0443*

-3.9503**

-4.9750*

-4.9592*

th

Chn

Chn v xu

Bin

th

Ghi ch: *,** th hin c kh nng bc b gi thit H0 mc ngha ln lt l 1%,5%.

iv

Bng 2: Kim nh Kwiatkowski-Philips-Schmidt-Shin (KPSS).

Bin
LDI

Gi tr KPSS

1%

5%

10%

0.8408*

0.739

0.463

0.347

0.1726**

0.2160

0.1460

0.1190

0.2872

0.7390

0.4630

0.3470

(c chn)
LDI
(c chn v
xu th)
LDI

(c chn)
Ghi ch: *,** th hin c kh nng bc b gi thit H0 mc ngha ln lt l 1%,5%.

Bng 3: tr ti u ca m hnh VAR.

Lag

LogL

LR

FPE

AIC

SC

HQ

172.1066

NA

5.64e-09

-7.641209

-7.479010

-7.581057

363.7500

339.7315

1.93e-12

-15.62500

-14.81400*

-15.32424

385.3050

34.29208

1.53e-12

-15.87750

-14.41771

-15.33614

405.5149

28.47763

1.33e-12

-16.06886

-13.96027

-15.28690

433.9934

34.95084*

8.29e-13*

-16.63606*

-13.87868

-15.61349*

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion

vi

Bng 4: Kt qu c lng ng lin kt Johansen (kim nh trace).

Rank test (trace)
Model 2
Trace

Hypothesized

0.05
Prob.**

Eigenvalue
No. of CE(s)

Statistic

Critical Value

None *

0.546422

81.32338

54.07904

0.0000

At most 1 *

0.476228

47.32808

35.19275

0.0016

At most 2

0.268451

19.52004

20.26184

0.0630

At most 3

0.131826

6.078627

9.164546

0.1847

Model 3
None *

0.539349

73.09328

47.85613

0.0000

At most 1 *

0.457701

39.76331

29.79707

0.0026

At most 2

0.260882

13.45002

15.49471

0.0993

At most 3

0.010438

0.451208

3.841466

0.5018

Model 4
None *

0.577251

89.91515

63.87610

0.0001

At most 1 *

0.485698

52.89315

42.91525

0.0038

At most 2

0.289704

24.30051

25.87211

0.0775

At most 3

0.199929

9.591339

12.51798

0.1469

Trace test indicates 2 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level

vii

Bng 5: Kt qu c lng ng lin kt Johansen (kim nh t s hp l).

Rank test (Maximum Eigenvalue)
Model 2
Hypothesized

Max-Eigen

0.05

Statistic

Critical Value

Prob.**

Eigenvalue
No. of CE(s)
None *

0.546422

33.99530

28.58808

0.0092

At most 1 *

0.476228

27.80804

22.29962

0.0077

At most 2

0.268451

13.44141

15.89210

0.1169

At most 3

0.131826

6.078627

9.164546

0.1847

Model 3
None *

0.539349

33.32997

27.58434

0.0082

At most 1 *

0.457701

26.31329

21.13162

0.0085

At most 2

0.260882

12.99881

14.26460

0.0785

At most 3

0.010438

0.451208

3.841466

0.5018

Model 4
None *

0.577251

37.02200

32.11832

0.0116

At most 1 *

0.485698

28.59265

25.82321

0.0210

At most 2

0.289704

14.70917

19.38704

0.2099

At most 3

0.199929

9.591339

12.51798

0.1469

Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level

viii

Bng 6: Bng phn tch phn r phng sai.

Variance Decomposition of LTB:
Period

S.E.

LTB

LREER

LFI

LDI

0.077820

100.0000

0.000000

0.000000

0.000000

0.089534

82.88142

12.58191

1.756194

2.780468

0.104935

66.77548

24.73001

5.360039

3.134464

0.110025

65.08085

25.25283

5.774092

3.892224

0.118708

55.91011

31.88164

8.864564

3.343689

0.132646

49.07557

40.35301

7.881942

2.689476

0.142770

42.48006

46.78117

7.771412

2.967355

0.152125

42.37854

47.98576

6.847407

2.788291

0.157341

40.01129

50.69279

6.561898

2.734018

10

0.160346

40.41920

50.42490

6.495422

2.660482

11

0.160689

40.24759

50.60117

6.467773

2.683467

12

0.161758

40.91006

49.99817

6.441968

2.649799