Professional Documents
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B GIO DC V O TO
TRNG I HC KINH T THNH PH H CH MINH
KHOA TI CHNH DOANH NGHIP
ti:
HIU NG TRUYN DN T GI HI OI
VO CC CH S GI TRONG NC
(EXCHANGE RATE PASS-THROUGH)
Nm hc: 2011-2012
LI CM N
Ti xin gi li cm n chn thnh nht n PGS.TS Nguyn Th Ngc Trang,
ngi tn tnh hng dn v trc tip gip ti hon thnh kha lun tt
nghip ny.
Ngoi ra ti cng xin cm n cc thy c gio trng i hc kinh t TPHCM,
gia nh v bn b gip ti c c nhng iu kin thun li nht hon
thnh kha lun tt nghip ny.
Xin chn thnh cm n!
Trnh Thanh Sn
Trang ii
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MC LC
LI M U......................................................................................1
TNG QUAN NI DUNG NGHIN CU......................................2
1.1. Ni dung nghin cu:................................................................................2
1.2. B cc trnh by:.......................................................................................3
KT LUN........................................................................................73
DANH MC TI LIU THAM KHO:........................................75
Trang v
DANH MC CC T VIT TT
Trang vi
DANH MC BNG
Bng 2.1: Phn ng ca gi tiu dngCPI ti 1% c sc t gi
Trang 18
Trang 46
Trang 69
Trang vii
DANH MC HNH
Trang 6
Trang 14
Trang 15
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Trang 24
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Trang 29
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Trang 40
Trang 41
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Trang 43, 44
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Trang 49
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Trang viii
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Trang ix
LI M U
Ngay 11 thang 02 nm 2011, Ngn hang Nha nc Vit Nam cng b c ch
iu hanh ty gia mi. Theo o, nhm tng tinh thanh khoan cua thi trng ngoai hi,
Ngn hang Nha nc a iu chinh ty gia binh qun lin ngn hang ln mc 20.693
VND/USD (tng 9,3% so vi mc trc o). C mi ln iu chinh ty gia nh vy,
cng lun lai nong ln vi nhiu nhn inh lin quan n tac ng cua bin ng ty gia
n gia ca, lam phat, i khi kem theo nhng phat biu inh lng thun tuy nh ty
gia c iu chinh 1% se lam lam phat thay i x%. Va vic lng hoa tac ng cua
ty gia n lam phat a c rt nhiu nha kinh t nc ngoai nghin cu vi khai nim
quen thuc Exchange rate Pass-through (ERPT) - hiu ng truyn dn ty gia. Cac bai
nghin cu c thc hin nhiu quc gia khc nhau, trong nhiu thi k khc nhau
cng nh vi nhng mc tiu nghin cu khc nhau v u i n nhng kt lun co y
nghia v mt thc nghim. Vy Vit Nam, c ch tac ng cua hiu ng truyn dn
ty gia (ERPT) tht s din ra nh th nao? Bai nghin cu chung ti se lam ro c ch
vn hanh cua hiu ng truyn dn ty gia (ERPT) song song vi vic gii thiu cac net
c ban t kt qua cua mt s cng trinh nghin cu tiu biu cua cac nha kinh t trong
v ngoi nc lin quan n chu nay. Bn canh o, chung ti se chu trong phn tich
inh lng chui s liu t 01/2001 n 06/2011 tim hiu tac ng cua bin ng ty
gia ln cc chi s gia tai Vit Nam. Bai nghin cu cua chung ti s dng m hnh
VAR cng cc kim nh c lng ERPT v o lng nh hng ca cc c sc
n cc ch s gi trong giai on t 01/2001 n 06/2011.
Trang 1
Trang 2
Trang 4
c c nh trong ngn hn, tin lng thc t s gim v sn lng s tng. Tuy
nhin khi tin lng thc t c y ln mc gc theo thi gian, chi ph sn xut s
tng, mc gi tng th s tng v sn lng gim. Do , cui cng s gim st trong
t gi v lu di s em n s tng ln trong mc gi cn sn lng ch tng ln tm
thi. (Kahn 1987).
Hnh 2.1: Trnh by c ch ca tc ng truyn dn t gi trc tip v gin tip.
Trang 6
ng tin mt gi
(T gi tng)
u vo nhp
khu t hn
Chi ph sn
xut tng
Tc ng
Tc ng
trc tip
gin tip
Hng ha nhp
khu t hn
Nhu cu ni a
cho cc hng
ha thay th
Nhu cu xut
khu tng
Nhu cu lao
ng tng
Hng ha thay
th vo hng
xut khu tr
nn t hn
Tin lng tng
Trang 7
Trang 8
ERPT cng ln.Ngc li, nu th trng cnh tranh khng hon ho, phn ng ca
cc cng ty i vi bin ng ca t gi c th khc nhau.C th nh theo Philips
(1998), nu mt cng ty c quyn lc th trng, v h t k vng ti a ha li
nhun ca mnh, ERPT s ph thuc nhiu vo cc nhn t khc.Mt khc, nu cng
ty hng n mc tiu ti a ha th phn ca mnh, ERPT s nh hn (Hooper &
Mann, 1989; Ohno, 1990). Hn na, nu tn ti kh nng phn bit ha gi c gia
cc th trng, c th pht sinh tnh hung nh gi theo th trng, dn n vic
hnh thnh ERPT khc nhau trn cc phn on th trng khc nhau (Krugman,
1986; Gagnon & Knetter, 1992). Cui cng, chin lc nh gi ca cng ty ph
thuc vo k vng bin ng tng i ca t gi trong tng lai v khung thi gian
d bo (Froot & Klemperer, 1988; Ohno, 1990).
Trn c s cc nguyn tc ny, Feinberg (1986, 1989) kt lun, hiu ng
truyn dn t gi hi oi n gi ca nh sn xut trong nc s mnh hn cc
ngnh c mc tp trung nh hn v cc ngnh, ni c t trng nhp khu cao
hn. Yang (1997) cho rng, mc truyn dn t gi c mi tng quan cng chiu
vi mc phn bit ha sn phm (ngha l c mi tng quan nghch vi kh nng
thay th cahng ha) v c mi tng quan nghch vi co gin ca chi ph bin
theo sn lng.
Menon (1996) nh gi ERPT n gi c mt s nhm hng ha ring bit
v pht hin rng, ERPT t l nghch vi cc hn ch nh lng (quota) i vi nhp
khu, kim sot ca nc ngoi (s hin din ca tp on a quc gia), mc tp
trung ha sn xut, mc phn bit ha sn phm v t l nhp khu trong tng
doanh thu bn hng v t l thun vi co dn thay th gia hng nhp khu v hng
trong nc. Mt phn kt lun ca Menon c s i lp vi kt lun ca Yang v mt
s tc gi khc.
CHNG 3:
Tnh n nh ca t gi hi oi:
CHNG 7:
Mc lm pht:
Mt nhn t khc gii thch nhng khc bit v ERPT gia cc quc gia c
th l nhng khc bit trong mc lm pht. Taylor (2000) khng nh mi trng lm
pht trong nc cng thp v n nh th ERPT cng cng nh. Gi thit ca Taylor
v mi quan h gia lm pht v ERPT c kim nh trong bi vit Exchange
Rate Pass-Through To Domestic Prices: Does The Inflationary Environment Matter?
ca Ehsan U. Choudhri v Dalia S. Hakura vo nm 2001.
Nhiu nghin cu thc nghim cho thy ERPT gim dn khi tnh hnh kinh t
v m n nh hn, cnh tranh tng ln v hnh vi ca cc cng ty hng n vic ti
Trang 12
Trang 16
Trang 17
Trang 18
Sau 6 thng
Sau 12 thng
Sau 18 thng
Sau 24 thng
Php
0,01
0,07
0,12
0,16
0,07
0,08
0,09
0,10
0,06
0,12
0,16
0,18
H Lan
0,12
0,11
0,11
0,11
Ty Ban Nha
0,09
0,08
0,08
0,08
Trang 20
+ Pakistan:
Bi nghin cu u tin l v Pakistan c thc hin nm 2004 bi Zulfiqar
Hyder v Sardar Shah. Bi nghin cu ny l mt nghin cu in hnh trong nhng
bi vit v cc quc gia mi ni. ng dng m hnh VAR qui c xut bi
McCarthy (2000), cc tc gi nu ra 6 kt lun ch yu:
Th nht, s thay i trong t gi hi oi ch c tc ng nh n gi tiu dng trong
nc, hay ni mt cch khc, mc truyn dn l rt thp Pakistan.
Trang 21
Trang 22
+ Colombia:
Trang 23
Sau 6 thng
0.64
0.21
0.02
Sau 12 thng
0.80
0.28
0.08
Sau 24 thng
0.80
0.29
0.03
CHNG 10:
Phn cui cng chng ta s cng im qua nhng nghin cu trong nc lin
quan n vn ny:
Tnh n thi im hin ti, s lng cc nghin cu tp trung vo ch
truyn dn t gi hi oi vo lm pht Vit Nam l rt t, tiu biu trong s c
cc bi nghin cu ca cc tc gi: V Vn Minh (2009), Trn Mai Anh v Nguyn
nh Minh Anh(2010) v Bch Th Phng Tho (2011). Ngoi ra cn mt s nghin
cu khc tuy khng trc tip tp trung vo truyn dn t gi hi oi nhng cng c
cp n vn ny nh mt trong nhng nhn t tc ng n lm pht Vit Nam
bao gm: V Tr Thnh (2001), Trng Vn Phc v Chu Hong Long (2005),
Nguyn Th Thu Hng v Nguyn c Thnh (2010) v nhng nghin cu khc do
IMF tin hnh.
Ni dung c bn ca nhng nghin cu trn nh sau:
Tc gi V Tr Thnh (2001): s dng m hnh VECM cho chui d liu
Trang 29
Trang 30
Vic quyn s cao ca lng thc thc phm trong r hng ha tnh CPI ca Vit
Nam khng phi l nguyn nhn c bn gy nn lm pht bi mt s quc gia
khc trong khu vc cng c quyn s lng thc thc phm cao nh Thi Lan
Trang 31
Tc gi khng nh cung tin tng trng nhanh trong nhng nm qua chnh l mt
trong nhng nguyn nhn quan trng gy nn mc lm pht cao.
Ngoi ra, u t khng hiu qu (th hin bng h s ICOR qu cao) cng c
xem l mt nguyn nhn ca lm pht.
Trang 32
Trang 34
nh dng v c lng m
hnh VAR rt gn
Kim nh m hnh
D bo
nh dng v c lng
VAR cu trc
Nhn qu Granger
IRF
thun tin trong vic nm bt l thuyt m hnh VAR, chng ti xin c trnh by
ni dung l thuyt m hnh VAR theo tng phn c nu trong s trn.
10.2.1.
Trong phn tch chui thi gian, bt k mt chui thi gian no c tnh cht dng mi
cho ra mt kt qu c lng ng tin cy. iu ny c cp n mt cch r rng
v chnh xc nht trong time series analysis: forecasting and control, Box-Jenkins
v Reinsel (1970). Do , vn u tin trong vic c lng v nh dng m hnh
VAR l kim nh xem chui d liu chng ta ang quan st l dng hay khng. Nu
Trang 35
chui d liu l dng th ta tin hnh c lng trn chui d liu ny, nu chui l
khng dng ta s tin hnh ly sai phn v xem xt tnh dng ca chui sai phn. Vic
ly sai phn s dng li khi kt qu ca chui sai phn l dng. nu chui dng sau khi
ly sai phn p ln, ta gi chui d liu gc ban u l chui tch hp bc p, k hiu
I(p).
Trong bi nghin cu ny, chng ti s dng phng php nghim n v ca DickeyFuller ( 1979) Distribution of the Estimators for Autoregressive Time Series with a
Unit Root, Journal of the American Statistical Association, 74, p. 427431 xem
xt tnh dng ca chui d liu quan st. Phn kim nh ny c trnh by mt cch
r rng trong Basic econometrics, 21,p. 814- 818, Gujarati ( 1978).
CHNG 12:
La chn di ca tr:
akaike
information
creterion),
SC(
schwarz
information
criterion),
Trang 36
Sau khi thc hin cc bc trn, ta tin hnh c lng tng phng trnh ca
m hnh VAR rt gn bng phng php OLS. Kt qu c lng thu c s c
xem xt bng cc kim nh c bn nh: kim nh Wald, xem xt ngha thng k
ca cc bin, kim nh t tng quan ca cc sai s, kim nh nhn qu Granger
nhm loi b nhng bin khng c quan h nhn qu ra khi phng trnh ang xem
xt.
y l nhng bc c bn c lng mt m hnh VAR rt gn. Tip theo
chng ti s trnh by v vn nh dng m hnh VAR cu trc t VAR rt gn.
y c xem l phn kh khn v c nhiu tranh lun nht khi nghin cu v m
hnh VAR.
13.1.1.
A0 =
=
A1 =
ma trn h s chn
l ma trn tham s ca bin Yt bn v phi phng trnh
l ma trn tham s ca bin Yt-1
Trang 37
(*)
Trang 38
.M= N. N
l ma trn phng sai- hip phng sai ca chui et v,
E(Ut, Ut) = I : tc l cc chui ut khng tng quan vi nhau v c phng sai bng
1.
Gi nh Cholesky qui c rng ma trn M l ma trn tam gic di vi cc h s
trn ng cho bng 1v N l ma trn cho nn (**) s c vit li nh sau:
Suy ra : (I-)-1=M-1. N
=> = I- N-1.M
V : A0= (I-). B0
A1= (I-). B1
Vic c lng cc h s ca m hnh SVAR c ngha kinh t ht sc to
ln, n cho php nhng nh nghin cu v lm chnh sch c th quan st mi quan h
ca cc yu t trong cng mt thi im, t c th a ra cc bin php ng ph
ngay tc khc vi cc c sc v tnh hung bt li.
Trong bi nghin cu ny, chng ti s p dng m hnh SVAR o lng
mc truyn dn t NEER n cc ch s gi Vit Nam. Ngun d liu chng ti
s dng nh sau
Bin gi du th gii (OIL) v bin li sut ngn hn (R) l li sut cho vay
(lending interest rate) chng ti ly ngun t Qu tin t IMF. Chng ta c th thy t
2001 n 2007, gi du th gii tng nh hng nm, nhng t nm 2007 n 2011, do
Trang 40
nng, trong sn lng tim nng c tnh bng cch s dng b lc HodrickPrescott (Hodrick- Prescott filter). T , chng ti ly chnh lch gia sn lng thc
t v sn lng tim nng tnh gi tr l hng sn lng. y chng ti ch quan
tm n ln ca l hng sn lng i din cho c sc pha cu nn chng ti
ly gi tr tuyt i ca bin ny. Ngun s liu GSO.
(1)
Trang 42
Trong :
REER: t gi hi oi thc c hiu lc
ejt : T gi hi oi ca hai ng tin trong k th t
Pjt: Ch s gi hng ha quc gia ang so snh
Pt: Ch s gi hng ha quc gia ang tnh REER
wjt: T trng thng mi gia quc gia ang tnh REER vi quc gia so
snh so vi tng gi tr thng mi ca quc gia ang tnh REER vi tt c cc quc
gia c chn.
Do chng ti s dng ch s NEER:
NEERt =
(2)
Trang 43
15.1.4.
Cc ch s gi:
Trang 44
Trang 45
Nh trnh by trong phn l thuyt m hnh, vic kim nh tnh dng nhm mc
ch m bo vic s dng m hnh VAR l hp l. Trong trng hp chui d liu
hay cc sai phn ca n khng dng, m hnh VAR s khng th c s dng. Bng
kt qu tm tt tnh dng ca cc bin IMP, PPI, CPI, NEER, OIL, OPG, R s dng
phng php kim nh nghim n v nh sau:
Hnh 4.1: Kim nh tnh dng chui d liu:
Bng kt qu trn cho thy, cc bin IMP, PPI, CPI, NEER, OIL, OPG, R s
dng trong bi nghin cu u l chui dng bc 1, tc l khi ta tin hnh ly sai phn
bc 1 chui gc ban u th kt qu kim nh cho chui ny l dng ( kt qu mi
bin u c ngha thng k vi gi tr p-value u b hn 1%). Nh vy vic s dng
m hnh VAR cho cc kim nh v c lng v sau l hon ton ph hp.
Trang 46
15.1.2.
Kim nh nhn qu Granger ( Var Granger Causality/ Block Exeneity Wald Tests)
Trn thc t ngoi 7 bin nu trn, chng ti tin hnh thu thp d liu v a vo
trong m hnh mt s bin nh: Cung tin M2, tc tng trng tn dng, gi thp
th gii, sn lng sn xut cng nghip.
Nguyn nhn th a cc bin trn vo m hnh bi mi bin u c nhng nh hng
nht nh ln ch s gi tiu dng trong nc:
Trang 47
+ Cung tin M2 l mt ch s i din cho chnh sch tin t ca Ngn hng trung
ng (ngoi bin li sut ngn hn R s dng)
+ Tc tng trng tn dng nh hng n dng tin thc s c bm vo nn
kinh t v chc chn s c nh hng n CPI
+ Thp chim mt phn t trng kh ln trong kim ngch nhp khu ca Vit Nam
trong nhiu nm qua. Do gi thp th gii chc chn s c nhng tc ng n ch
s gi trong nc
+ Sn lng sn xut cng nghip: chnh l thnh qu ca ton b nn sn xut cng
nghip ca nc ta, do y l ch s t nhiu s c th tc ng n CPI
Kt qu thc nghim m hnh cho thy:
+ 3 bin cung tin M2, gi thp th gii v sn lng sn xut cng nghip khng c
ngha v mt thng k hay ni cch khc l khng c nh hng n CPI
+ Bin tng trng tn dng c ngha v mt thng k song kh so snh trc v sau
khi a bin ny vo m hnh, ch s R2 khng thay i ng k, Do vic thm bin
ny vo m hnh hu nh khng c ngha ln.
Cui cng chng ti vn quyt nh s dng 7 bin nn tng m McCarthy xut,
l: CPI, IMP, PPI, NEER, OPG, R, OIL( chng ti s ly logarit cho tt c cc quan
st khi thc hin c lng).
15.1.3.
Trang 48
15.1.4.
Trang 49
Trang 50
15.2.
Trang 51
Sau khi c lng c ma trn M, N ta tin hnh c tnh ma trn cu trc theo cng
thc sau:
Ma trn h s cu trc: = I- N-1.M .
Ma trn h s chn: A0= (I-). B0
Ma trn h s trc bin Yt-1: A1= (I-). B1
Ma trn h s trc bin Yt-2: A2=(I-). B2
Khi m hnh SVAR c vit di dng ma trn nh sau:
Trang 52
Yt = A0+ .Yt+A1.Yt-1+ Ut
Bng 4.1: M hnh SVAR dng ma trn
LCPI
Vi: =
LCPI
LPPI
LIMP
LNEER
LOPG
LOIL
LR
LPPI
LIMP
0 0.10279 0.000858
232.7387
0 -0.01167
-6.87265 80.46023
0
-35.7508 -48.0417
65.4603
28.81458 -1.13882 19.60181
54.12261
6.07412 -8.69523
-28.4802 33.36929
-52.757
LNEER
0.02127
0.049041
0.107126
0
-16.0914
51.1126
3.401072
LOPG
0.000677
0.003776
0.00777
0.00257
0
-0.40111
-5.00E-02
LOIL
LR
0.015061 -0.01222
0.009079 0.000857
0.089046 -0.04851
0.014324 -0.02972
-2.29651 0.203649
0
-0.392
15.59714
0
Hm phn ng y IRF:
10
11
12
10
Trang 55
10
11
12
10
11
12
Trang 56
Trang 57
Trang 58
Vi mt trt t Cholesky nh trn : D(OIL) > D(NEER) > D(IMP) > D(OPG) > D(R)
> D(PPI) >D(CPI) kt qu cho thy mt s im ng lu nh sau:
-
Trang 59
Trang 60
Ai=
Et=
ma trn cc bin
phi l chui dng hay mt t hp tuyn tnh ca y1,t v y2,t l mt chui dng. vy
ngha m hnh:
H s trong ngoc n biu hin mi quan h di hn gia 2 bin y1,t v y2,t, h s
1, 2 th hin cho c ch iu chnh trong ngn hn.
Th tc Jonhansen trong c lng m hnh VECM:
Bc 1: kim nh tnh ng lin kt ca m hnh, nu khng c ng lin kt th s
khng s dng m hnh ny.
Bc 2: c lng m hnh VECM khng rng buc vi s vc t ng tch hp xc
nh bc trn thu c cc vc t ng tch hp.
Bc 3: c lng m hnh VECM c rng buc, trong cc rng buc da trn h
s c lng c t vc t ng tch hp bc trn. c m hnh v chn ra m
hnh ph hp nht.
Bc 4: s dng m hnh phn tch, d bo v hm phn ng y, phn r phng
sai.
Trong phn phn tch thc t Vit Nam, chng ti s trnh by kt qu c th hn
cho cc phn ny.
Phn kim nh tnh dng trn cho thy rng, cc bin v m CPI, PPI, IMP, NEER,
GDP, OIL, R u l chui tch hp bc 1.
By gi chng ta tin hnh kim nh qu trnh ng tch hp gia cc bin ny.
Kt qu kim nh trace v tnh ng tch hp gia cc bin c trnh di:
Hnh 4.8: Kim nh ng tch hp
Trang 62
Trang 63
Phn ny( hnh pha trn) ca bng c lng m t cc h s trong biu thc
ng tch hp. biu thc trn th hin mi quan h cn bng di hn gia cc bin c
trong m hnh. C th nhn thy r rng, trong di hn cc yu t PPI, IMP, NEER,
OIL, GDP, R u c tc ng n lm pht. Thng k t( trong du ngoc vung) u
c gi tr kh ln, u ny khng nh tc ng ca cc yu t ny n ch s CPI l
ngha thng k.
Kt qu cn bng di hn cho thy tc ng truyn dn t NEER n ch s CPI l
0.6%.
Hnh 4.10: M hnh VECM
Trang 64
Trang 65
Trang 67
Kt qu phn ra phng sai ca IMP cng cho thy nhng kha cnh tng t
nh CPI nhng ni bt ln l vai tr ca gi xng du OIL n IMP. Vai tr ca bin
OIL chim mt t trng ln( hn 30% tt c cc thng) trong vic gii thch s bt n
ca IMP v tip tc gia tng trong nhng thng tip theo. iu ny c l gii bi s
ph thuc rt nhiu vo gi xng du th gii ca nc ta, c bit trong thi k quan
st ca chng ti bao hm nhng giai on chin tranh en ti nhng khu vc khai
thc du m cng vi nhng s c quyn trong gi c ca khi cc nc khai thc
du ln.
Mt im th v c th hin trong kt qu trn l mc d tc ng ca
bin OIL i vi IMP l rt ln nhng n gim dn ng k khi truyn dn n CPI.
iu ny l ph hp trong thc t, mc d gi xng du th gii bin ng mnh
nhng trong nc chnh ph lun c nhng bin php khng ch gi xng du
nhm bnh n tiu dng trong nc.
Trang 68
Mogas
19.000
18.000
16.500
16.000
15.000
13.000
11.000
11.000
11.000
11.500
12.500
13.500
(ng/lt)
14.700
15.200
15.500
16.300
15.950
16.400
16.990
16.990
16.490
15.590
16.400
19.300
09/08/2009
01/10/2009
24/10/2009
20/11/2009
15/12/2009
14/01/2010
21/02/2010
03/03/2010
27/05/2010
08/06/2010
09/08/2010
24/02/2011
92
Trang 70
01/07/2009
14.200
29/03/2011
21.300
Ngun: www.xangdau.net
Chng ta c th d dng nhn thy rng t 2008 - 2011, gi du th gii c
nhiu bin ng, khong dao ng hn 50 USD/thng, t di 50 USD/thng n hn
100 USD/thng. Tuy nhin, gi xng du Vit Nam qua cc t iu chnh vn rt t
v tng i n nh, dao ng mi ln iu chnh khong 1000 /lt. iu ny nh s
tr gi v h tr bnh n th trng ca Nh nc. Mc d gi nguyn nhin liu th
gii bin ng, Nh nc vn m bo gi xng du trong nc n nh qua nhng
t iu chnh nh, nhm m bo mt bng gi c trong nc, do y l ngun u
vo quan trng ca tt c cc lnh vc sn xut.
iu ny c c th ha qua Thng t 234/2009/TT-BTC ngy 09 thng 12
nm 2009 ca B Ti chnh. Theo , nh mc chi ph kinh doanh, li nhun nh
mc v mc Qu Bnh n gi ln lc c quy nh l 600 ng/lt, 300 ng/lt v
300 ng/lt. Chi ph kinh doanh v li nhun nh mc c c nh trc s bin
ng ca gi du th gii. Ngoi ra, gi xng cn c tr gi bi Qu Bnh n gi.
Chnh cc yu t ny gim gi xng trong nc thp i nhiu so vi gi th gii. Do
, mt s tng ln (gim xung) ca t gi hi oi, vi t trng nhp khu ln
nguyn nhin liu t th gii ng l cc ch s gi trong nc s truyn dn ng k,
song hnh ng tr gi ca Nh nc gim ng k tc ng ny. iu ny, chng
ti cho l yu t quan trng nht nh hng n kt qu truyn dn t gi n cc ch
s gi IMP, PPI, CPI Vit Nam thp.
Mc cnh tranh:
Ngoi ra mt nguyn nhn quan trng khc gii thch cho mc dn truyn
thp Vit Nam l mc cnh tranh cao. Tnh n ngy 31 thng 12 nm 2011 Vit
Nam c tng cng 622.977 cng ty, cao hn rt nhiu so vi cc quc gia trong khu
vc (ngay c mt nc pht trin nh Singapore cng ch c khong 30.000 cng ty).
c bit hn, hu ht cc cng ty ca Vit Nam u l nhng cng ty va v nh nn
mc cnh tranh l rt cao. Bng chng l trong nm 2011 c 79.014 doanh
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nghip gii th. Mt khi mc cnh tranh l rt cao, cc nh xut khu nc ngoi s
phi rt cn nhc trong vic tng gi bn khi t gi thay i bi iu ny s trc tip
nh hng n th phn ca h. Chnh v th i khi chnh cc cng ty xut khu s
hp th nhng bin ng trong t gi m bo th trng.
Tuy nhin, tng hp tt c cc nguyn nhn trn cng kh c th gii thch cho
hin tng h s truyn dn qu thp Vit Nam nh kt qu ca m hnh VECM. Do
chc chn phi c mt nguyn nhn gc r hn khin cho vic tnh ton ch s
truyn dn b nh hng. Theo chng ti chnh l vn v gi tr t gi hi oi
c s dng.
Gi tr t gi hi oi dng tnh ton:
Gi tr t gi hi oi c dng trong m hnh trn l t gi bnh qun lin
ngn hng do Ngn hng Nh nc cng b. Theo nguyn tc, Ngn hng Nh nc
s thu thp s liu t gi ca cc Ngn hng Thng mi tnh ton t gi bnh qun
v lm gi tham chiu cho ngy tip theo. Mc d t gi ny c cng b nh gi th
trng nhng vn c kh nng t gi ny c Ngn hng Nh nc iu chnh cho
nhng mc tiu nht nh. Khi vic s dng t gi ny tnh ton r rng s
khng th c lng c chnh xc h s dn truyn nh m hnh VECM lm
c vi cc quc gia khc. Mc d cha c nhng dn chng thuyt phc cho vn
ny nhng y l l do thit yu m chng ti ngh lm cho h s dn truyn l qu
thp ti Vit Nam.
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KT LUN
Bi nghin cu ny chng ti phn tch mc v thi gian truyn dn t
gi ERPT Vit Nam giai on 2001 2011 bng vic s dng m hnh VAR (dng
VAR cu trc) v m hnh VECM. Vic la chn m hnh VAR cu trc v m hnh
VECM, hon ton khc so vi cc nghin cu Vit Nam trc y ch yu s dng
m hnh VAR rt gn, chng ti phn tch c tc ng trc tip ca t gi hi
oi n cc ch s gi trong nc cng thi im t, ng thi o lng c tc ng
cn bng trong di hn ca cc bin s.
Kt qu nghin cu chng ti c th c xem xt bi cc nh iu hnh
chnh sch tin t ti Vit Nam. Nu Vit Nam thc hin chnh sch lm pht mc tiu
th knh u hnh chnh sch tin t cn xem xt yu t t gi hoi tc ng n lm
pht, gi vng lm pht trong vng mc tiu. C th, mc iu chnh t gi ca
Ngn hng Nh nc, s da trn kt qu cng nhng tnh ton hp l a lm pht
v vng mc tiu bng cng c t gi hi oi hoc phi hp vi cc cng c tin t
khc.
T kt qu c lng m hnh, chng ti nhn thy rng h s dn truyn
ERPT Vit Nam l rt thp, u ny phn nh gn nh chnh xc mc cc tc
ng t cc c sc bn ngoi cc ch s gi trong iu kin Vit Nam. C th, rt
nhiu mt hng, c bit l cc mt hng nh nh hng ln n nn kinh t nh
nguyn nhin liu u c Nh nc kim sot gi v khng bin ng tc ng
n ch s gi tiu dng trong nc. Chnh sch ny lm gim ng k tc ng
truyn dn cc c sc n ch s gi trong nc. Do , khi thc hin chnh sch lm
pht mc tiu, Ngn hng Nh nc, cn phi hp tc ng gia cc chnh sch nhm
to c hiu qu cao nht, trnh chnh sch ny ln t chnh sch kia. Mt khc, mt
nguyn nhn chnh khin kt qu c lng thp l bi t gi c s dng l t gi
bnh qun lin ngan hng c th c Ngn hng Nh nc iu chnh.
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Bi nghin cu chng ti khi thc hin vn nhn thy cn nhiu khim khuyt
cha th gii quyt c. c bit chnh l s dng mt t s gi mang tnh th
trng thc s. Nu c th s dng mt t gi nh vy s cho chng ta nhng kt qu
chnh xc hn v mc truyn dn. y c th xem l mt hng nghin cu y
tim nng cho cc cng trnh tip theo.
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Felix P. Hfner and Michael Schrder (2002). "Exchange Rate Pass-Through to Consumer
Prices:A European Perspective"
Carlos Jose Garcia and Jorge Enrique Restrepo (2001), Price inflation and exchange rate
pass-through in Chile
Peter Rowland (2004), Exchange Rate Pass-through to domestic prices: the case of
Colombia
IMF (2003), Vietnam: Statistical Appendix, IMF Country Report No03/382, International
Monetary Fund.
IMF (2006), Vietnam: Statistical Appendix, IMF Country Report No.06/52, International
Monetary Fund.
Trng Vn Phc v Chu Hong Long (2005), Ch s gi tiu dng Vit Nam vcc yu t
tc ng: Phng php tip cn nh lng.
Nht Trung Nguyn Hng Nga (2011) Hiu ng trung chuyn tc ng ca t gi n gi
c v lm pht
Trn Mai Anh Nguyn nh Minh Anh (2010). c lng mc chuyn t gi vo lm
pht Vit Nam
Bch Th Phng Tho (2011), Truyn dn t gi hi oi vo cc ch s gi ti Vit Nam
giai on 2001 2011
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