Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate Pass-through

Takatoshi Ito and Kiyotaka Sato August 2006 Last Revised October 2007 Final Clean Copy

GII THIU CA NHM DCH

Trong bi dch ca nhm chng ti, cc thut ng nh exchange rate pass through, impulse response chng ti dch theo cch dch ca TS. Nht Trung (Ngn hng nh nc) v TS. Nguyn Hng Nga (i hc Quc gia Tp. H Ch Minh) trong bi bo Hiu ng trung chuyn ca t gi n gi c v lm pht c ng trn Tp ch Ngn hng s 14/2011, 16/2011 do Ngn hng Nh nc pht hnh. hiu r v khi nim exchange rate pass through, chng ti trch t bi bo ny phn gii thiu v exchange rate pass through (ERPT) nh sau: Tc ng ca t gi n mc gi tnh bng ni t c o lng bi hiu ng trung chuyn tc ng ca t gi (Exchange rate pass - through, ERPT). Hiu ng trung chuyn tc ng ca t gi thng c hiu l mc % thay i gi trong nc tnh bng ng tin ca nc nhp khu khi t gi tin t gia cc i tc thng mi thay i 1%. Ni cch khc, hiu ng trung chuyn tc ng ca t gi chnh l co dn ca gi trong nc so vi t gi. Vn ny c hai kha cnh: (1) c th nghin cu mi tng quan gia gi hng nhp khu v t gi; (2) mi quan tm c bit l tc ng ca t gi n mc gi chung (chng hn c biu hin thng qua ch s gi tiu dng CPI). Tt c cc phn chnh u c dch, i vi mc ti liu tham kho (References) chng ti gi nguyn, khng dch v a vo bi dch gip cho vic tham kho cc nghin cu lin quan c d dng. Ngoi ra, trong bi dch c s dng cc ch vit tt: TGH: t gi hi oi NHTW: ngn hng trung ng NEER: t gi hi oi danh ngha hiu lc CPI: ch s gi tiu dng PPI: ch s gi sn xut IMP: ch s gi nhp khu USD: la M VAR: m hnh t hi quy vector ERPT: exchange rate pass-through Sau y l phn dch ti nghin cu Exchange Rate Changes and Inflation in PostCrisis Asian Economies: VAR Analysis of the Exchange Rate Pass-through ca tc gi Takatoshi Ito v Kiyotaka Sato.

Bin ng t gi v lm pht thi hu khng hong ca cc nn kinh t chu : Phn tch VAR ca hiu ng trung chuyn tc ng ca t gi

Takatoshi Ito v Kiyotaka Sato

Ngi dch: Nhm 3 Ngn hng Ngy 1 K20

1. 2. 3. 4. 5.

Trn Th M Linh Trn Th Phng Mai Th Hng Nhung Nguyn Trng Sn Nguyn Ngc Phng Tho

Tp. H Ch Minh, thng 12 nm 2011

MC LC
1. 2. 3. 4. Gii thiu .................................................................................................................1 Kinh nghim ca cc nc Chu ..........................................................................2 Khung phn tch.......................................................................................................6 Phn tch thc nghim .............................................................................................9 4.1. D liu...............................................................................................................9 4.2. nh hng ca t gi n gi trong nc .......................................................11 4.3. Chnh sch tin t v lm pht ni a.............................................................15 4.4. Th tin thoi lng nan ca Ngn hng TW Indonesia: Ngn chn s mt gi v vai tr ca ngi cho vay cui cng..........................................................18 4.5. tin cy: La chn th t cc bin tromg m hnh VAR.............................21 4.6. S tc ng dy chuyn ca c sc n chui phn phi................................22 5. Kt lun.................................................................................................................. 25 Ti liu tham kho.......................................................................................................27 Ph lc 1...................................................................................................................... 30 Ch thch...................................................................................................................... 31 DANH MC HNH V BNG BIU HNH Hnh 1: T gi hi oi danh ngha so vi USD............................................................4 Hnh 2: Ch s gi tiu dng..........................................................................................5 Hnh 3: T gi hi oi thc so vi USD.......................................................................5 Hnh 4: Phn ng ca gi trong nc n c sc NEER..............................................12 Hnh 5: Phn ng ca chnh lch sn lng v tin c s ca c sc NEER...............16 Hnh 6: Phn ng ca c sc chnh sch tin t...........................................................17 Hnh 7: Phn ng n c sc NEER............................................................................18 Hnh 8: Phn ng ca li sut n c sc NEER..........................................................20 Hnh 9: Phn ng n c sc c cu............................................................................23 BNG BIU Bng 1: Tng quan cc quc gia Chu .......................................................................3 Bng 2: Kt qu ca kim nh tnh dng....................................................................10 Bng 3: co gin ca ERPT (M hnh VAR 5 bin)................................................14 Bng 4: Phn tch phng sai ca CPI (M hnh VAR 7 bin)....................................24

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1. Gii thiu
Mc tiu ca nghin cu ny l kho st hiu ng trung chuyn tc ng ca t gi gia cc nc ng , vi s nhn mnh c bit vo tc dng tng h gia chnh sch tin t v bin ng TGH. nh gi nh hng ng gia TGH, chnh sch tin t v gi trong nc, chng ti s dng m hnh t hi quy vector (VAR). Nhng nc chu chu nh hng ca cuc khng hong tri qua cc bin ng trong TGH v trong t l lm pht cc mc khc nhau sau khi tri qua c sc ban u ca s mt gi ng ni t trong na cui nm 1997. mt vi quc gia, nh Hn Quc, mc mt gi ng ni t danh ngha mnh sau t ngt gim trong vng vi thng ( TGH tng, phn ng ca ng ni t l mt gi mnh, sau t ngt gim mc mt gi ngi dch ), gy ra mt t nh hng i vi t l lm pht trong nc. vi quc gia khc, nh Indonesia, t mc mt gi ng ni t mt gi rt ln i n mt giai on lm pht cao, dn n Indonesia dn dn nh mt tnh cnh tranh v gi do TGH thc tng, hu qu t tnh trng lm pht cao. Trong nghin cu ERPT, mc ca hiu ng thng c kho st cho nhng cuc tho lun v nh hng ca chnh sch v m nhng nc pht trin hn. Khi mc ca ERPT i vi gi ngoi thng cao th bin ng TGH s nh hng n gi ngoi thng v phi ngoi thng, dn n s iu chnh cn cn thng mi s din ra tng i nhanh. Khi mc ca ERPT thp, bin ng TGH s khng gip g c cho iu chnh bn ngoi nn kinh t. V d, s gim gi ng ni t khng lm gim nhp khu khi m nhp khu nn c gim hoc khuyn khch xut khu, khi nn kinh t quc ni suy sp v mt vi l do. Trong cc ti liu v khng hong tin t gia cc nn kinh t th trng mi ni, ty theo mc bng n lm pht do s mt gi mnh ca ng ni t, s hnh thnh nn qu trnh phc hi t khng hong khc nhau. Nu gi trong nc ni chung c phn ng nhanh i vi s st gim TGH danh ngha theo mi quan h mt mt l ERPT ton phn (100%) - khng ch ti gi nhp khu m cn ti CPI sau , tnh cnh tranh ca hng xut khu thu c t s mt gi ng ni t danh ngha s b v hiu, khi TGH thc s khng thay i. S kt hp gia s mt gi ng ni t danh ngha v lm pht cao dn n tnh cnh tranh xut khu khng thay i, trong khi cc cng ty v nh ch ti chnh c ti sn n bng ngoi t rng s mang gnh nng n bi nhng khon n thc ln hn v khng th cho vay. y l cch iu hnh khng thch hp nht cho quc gia chu khng hong. V l do ny, nghin cu ERPT l quan trng v phng php s dng y c vi s thay i. V vy, t quan im s dng bin ng TGH nh l mt cng c iu chnh (gim thm ht v c th to thng d) cn cn thng mi, ERPT ln gi nhp khu v gi
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sn xut hp l buc thay i tiu dng th tt, nhng ERPT ln CPI, lm tng tt c mc gi th xu. Chnh sch tin t nn c iu hnh vi s trang b kin thc v biu hin c trng ny. Cc nc chu hu khng hong cung cp mt kinh nghim giu tnh t nhin v bin ng TGH ln v nhng phn ng quc ni khc nhau. kim tra chnh xc iu g din ra trong cc nn kinh t chu thi hu khng hong trong cc k ERPT nhng mc khc nhau, chng ti cn xy dng mt m hnh bao gm cc loi ch s gi khc nhau cng nh TGH danh ngha. Nhng nghi vn v ERPT l kho st chiu hng kt qu ERPT. C nhiu nghin cu v nh hng ERPT, s dng phng trnh hi quy n gii thch nhng phn ng ca ch s gi trong nc t bin ng trong TGH. V d, c th thy cc nghin cu ca Feenstra (1989), Olivei (2002), Campa & Goldberg (2005), Campa, Goldberg & Gonzles-Minguez (2005), Otani, Shiratsuka & Shirota (2005) 1. Tuy nhin, phng trnh hi quy n ca tc ng b qua trng hp t l lm pht ni a c th nh hng ti TGH. kim tra mi quan h cht ch gia gi trong nc v TGH, cn thit phi s dng phn tch VAR. Nhng nghin cu gn y, nh McCarthy (2000), Hahn (2003) v Faruquee (2006), s dng phng php VAR cho phn tch hiu ng trung chuyn ca mt vi loi sc n lm pht ni a. Tuy nhin, nhng nghin cu ny ch kim tra hiu ng trung chuyn nhng nc pht trin v s liu c ly c trong thi k khng khng hong, iu ny tri ngc r rt vi thi k khng hong m cc nn kinh t ng tri qua.2 Tnh mi l ca nghin cu ny th hin ba im: mt l, tp trung vo tng tc gia bin ng TGH v lm pht, nhng hiu bit mi su bn trong kh khn ca trng hp Indonesia trong thi k hu khng hong s c kim tra. Hu ht nhng nghin cu trc y, s dng TGH danh ngha m t qu trnh phc hi v khng phc hi. Nghin cu ny c bit ch n vi tr ca TGH thc. Hai l, phn tch VAR cho php gi li mi quan h nhn qu t lm pht ti TGH, c s dng cho nhng nc chu nh hng ca cuc khng hong. Tuy nhin c vi nghin cu, nh Baig & Goldfain (1999), s dng phn tch VAR cho nhng quc gia chu khng hong chu , cc bin c gii hn TGH v cc c sc gi. Nghin cu ny l nghin cu u tin s dng VAR cho TGH, chnh sch tin t v lm pht nhng quc gia chu chu khng hong. Ba l, bng cch s dng ba ch s gi, t ch s gi nhp khu ti ch s gi sn xut, ti ch s gi tiu dng, chng ti xem xt ERPT nh th no th c th c gim nh khi trng lng ca gi tr gia tng quc ni tng. Nhng pht hin mi ng ch trong nghin cu ny th ba im. Mt l, pht hin ra rng mc ca ERPT ln gi nhp khu lun cao tt c cc nc chu khng hong. Hai l, pht hin ra rng mc ca ERPT ln CPI lun thp tt c cc nc chu khng hong, ngoi tr Indonesia. Ba l, Indonesia, c hm phn ng ca c s tin cho s st

Nhm 3 Ngn hng Ngy 1 K20

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gim khng mong i ca TGH ln v c ngha v mt thng k v cng c phn ng ca CPI ti c shock c s tin ln v c ngha v mt thng k. Nhng pht hin ny ph hp vi tnh hnh kinh t Indonesia, khi ngn hng TW Indonesia thc hin mt chnh sch tin t thiu thn trng trong phn ng vi s st gim TGH. Chnh sch tin t trong cuc khng hong l mt trong nhng nhn t lm lm pht trm trng thm trong sut cuc khng hong tin t. Phn cn li ca nghin cu ny c trnh by nh sau. Phn 2 m t ngn gn bin ng tin t ca cuc khng hong ti chnh chu . Phn 3 tho lun kt cu phn tch ca nghin cu. Kt qu ca phn tch VAR c trnh by phn 4. Phn 5 l kt lun.

2. Kinh nghim ca cc nc chu

Trong giai an khng hang tin t ti chu , s tng tc gia t gi hi ai v gi c trong nc thay i t nc ny n nc khc. Sau khi Thi Lan th ni ng Bt vo ngy 02 thng 07 nm 1997, ngay lp tc mt s ng tin chu b mt gi (so snh vi USD hoc c lin quan ti USD), trong khi cc nc khc neo t gi thc t vi ng la mt vi thng trc khi xy ra s mt gi ln ln ny. Mc d cuc khng hong tin t chu c coi l mt trng hp ly lan nhanh chng trn khp chu , t Thi Lan n Indonesia, v sau lan ti Hn Quc, nhng tin trnh ca n cng mt n vi thng trc khi bng n tht s vo thng 12/1997 (xem bng 1). 3 L do ca s sp hng lot cc h thng tin t khc nhau gia cc quc gia. Bng 1: Tng quan cc quc gia chu

Ghi ch: * Malaysia bt u chnh sch neo t gi vo USD t 2/9/1998

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Bi v l do ca khng hong khc nhau gia cc quc gia nn cng d hiu khi tin trnh khi phc cng khc nhau cc quc gia ny. C th nhn thy rng cuc khng hong Indonesia din ra mt cch khc lit nht v qu trnh khi phc cng lu hn cc nc khc.4 Bng mt vi php o lng, c th thy Indonesia gnh hu qu ln nht trong cuc khng hong ti chnh nm 1997-1998. Vo gia thng 1/1998, ng rupi Indonesia mt gi n mc 1/6 so vi trc khng hong, vi mc 16,000 rupi i 1 la. ng rupi khi phc mt phn no vo ma xun, nhng li quay tr v mc 15,000 vo thng 5/1998 khi cuc khng hong chnh tr t nh im vi s ra i ca tng thng Suharto. Dng vn chy ra vn tip tc, s hi phc ca t gi danh ngha t y b tr hon rt ln. Gi tr ca cc ng tin chu khc phc hi nhanh hn so vi ng rupi Indonesia trong khong thi gian t thng mt n gia nm 1998, v cc ng tin ny t c mc n nh vo khong 60-70% ca thi k trc khng hong v gia nm 1998. S phc hi ca ng rupi Indonesia din ra ht sc chm v khng th no t c mc hi phc nh cc ng tin ca cc quc gia Chu khc (so vi thi k trc khng hong). Hnh 1 biu th s bin ng ca TGH cc nc chu . TGH c ch r l s tng ln ca TGH ng ngha vi s mt gi tin t. Hnh 1: T gi hi oi danh ngha so vi USD (1996 = 100)

Ghi ch:: T gi hoi oi tng c ngha l mt gi Ngun s liu: IMF, IFS, CD-ROM

Khng ch l TGH m t l lm pht Indonesia cng khc cc quc gia khc. T l lm pht ca Indonesia tr nn rt cao so vi mc trung bnh ca bt k quc gia no trong nhng nm 1998,1999 v cn cao hn hu ht cc quc gia chu trong khong thi gian t nm 2000 n nm 2003 (Hnh 2). Mc d s mt gi ng tin Indonesia nhiu hn rt
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nhiu so vi cc quc gi khc, nhng lm pht loi b mt vi s cnh tranh ca gi thu c t s mt gi tin t. n nm 2002, t gi thc ca Indonesia tr nn tng t nh cc nc Thi Lan, Philipin v Malaysia. Li th xut khu ca Indonesia c b p hon ton trong nm 2002 (hnh 3). Hnh 2: Ch s gi tiu dng (CPI: 1996 = 100)

Ngun: IMF, IFS, CD-ROM

Hnh 3: T gi hi oi thc so vi USD (1996 = 100)

Ghi ch: T gi hoi oi tng c ngha l mt gi Ngun s liu: IMF, IFS, CD-ROM v tnh ton ca tc gi

Nhm 3 Ngn hng Ngy 1 K20

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V vy, cu chuyn c hiu theo quan im v tnh hai mt ca t gi danh ngha v t gi thc khi neo gi ni t vi USD. Tuy nhin, kh nng cnh tranh ca mt quc gia c nh gi mt cch chnh xc nht bi t gi thc hiu dng (phin bn a phng ca t gi thc). Trng lng thng mi c th c s dng xc nh TGH a phng hiu lc.5 Hiu ng trung chuyn ca t gi nn c xc nh l do tc ng ca bin ng t gi hi oi ca cc i tc thng mi v tc ng c o lng bng cch ly trung bnh c trng s cc t gi hi oi .

3. Khung phn tch

TGH chu tc ng bi nhiu nhn t, trong c li sut, t l lm pht v cc bin kinh t v m khc, ty thuc vo chnh sch tin t v ti chnh. Xt v l thuyt v kim tra thc nghim vi d liu tn s thp th t l lm pht cao (trong mi tng quan so snh vi cc quc gia c hp tc thng mi) chc chn s lm gim gi ng tin v t l li sut thp cng s gy ra mt kt qu tng t. Tuy nhin, nhiu nghin cu thc nghim vi d liu tn s cao c lin quan ch ra rng TGH l khng th d bo v c quan h thng k ngoi sinh (Granger-cause) vi nhiu bin kinh t v m khc. Bin ng trong TGH c khuynh hng nh hng n hnh vi nh gi ca doanh nghip v gy nh hng n cc chnh sch kinh t v m. Do , mt cch l tng, bt k phn tch no v s tng tc gia t gi v lm pht trong nc s cho ra kt qu tng tc 2 chiu: t gi s tc ng n cc bin kinh t v m v ngc li. Tc ng ca bin ng TGH ln gi trong nc gi l hiu ng trung chuyn tc ng ca t gi ln gi trong nc; trong khi , tc ng ngc li l s xc nh t gi trong nn kinh t m. Trong c ch t gi c nh, cc chnh sch c ban hnh gi cho t gi mt mc c nh. Dng vn hnh thnh t nhng c sc kinh t v nh gi ca nh u t v tim nng u t ca quc gia (nh u t nh gi quc gia nh l mt im n ca danh mc u t) phi c iu chnh bi chnh sch, do , li sut v t l lm pht c th thay i, nhng t gi th khng. Trong c ch t gi th ni, t gi l mt trong nhng bin ni sinh ca chnh sch kinh t. V t gi v t l lm pht c mong i s c nh hng qua li trong nhiu m hnh l thuyt, do , tht hp l xc nh mt m hnh x l c hai bin ni sinh . c bit, sut thi k khng hong kinh t, bin ng ln trong t gi c kh nng tc ng n cc bin kinh t v m ni a. Phn tch VAR l mt phng php hu hiu phn tch tng tc gia t gi hi oi v cc nhn t kinh t ni a. Phn tch VAR ca ERPT c nhng ci tin hn so vi phn tch phng trnh hi quy n ca hiu ng trung chuyn. Th nht, k thut VAR cho chng ta kh nng xc nh nhng c sc c cu thng qua phn tch Cholesky cho nhng bin ng. Tc ng ca c sc c cu ti cc bin v m khc trong lm pht ni a, cng c nghin cu trong m hnh VAR. Th hai, nhng nghin cu trc y thng phn tch ERPT vi mt loi ch s

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gi bng phng trnh hi quy n.6 Ngc li, phng php VAR cho php chng ta xem xt ERPT vi mt h thng gi trong nc theo chui gi t mc gi nhp khu/sn xut cho n mc gi tiu th. Bi nghin cu ny phn tch hiu ng tc ng trung chuyn ca t gi ln lm pht trong nc theo nhng cch nh sau. Mt l, chng ti s dng m hnh VAR 5 bin (5variable VAR) bao gm t gi, gi trong nc v bin v m khc. Cc c sc c cu ca t gi c xc nh phn tch ERPT n lm pht gi trong nc. i vi bin gi trong nc c 3 bin gi l ch s gi tiu dng (CPI), ch s gi sn xut (PPI) v ch s gi nhp khu (hay gi tr n v nhp khu, c vit tt l IMP). Mi bin gi c c nghin cu ln lt trong m hnh VAR v so snh kt qu c lng ca 3 bin gi vi nhau. Kt qu c mong i l mc ERPT i vi IMP s ln hn so vi mc ERPT i vi PPI v i vi PPI th ln hn i vi CPI, bi v nhng thnh phn phi ngoi thng nh chi ph phn phi, phn chnh lch li nhun do c quyn (rents), li nhun trong PPI th nhiu hn IMP v trong CPI th nhiu hn PPI. Vic ct gim chui cung ng, mt cch t nhin, c th s dn n vic lm gim bt mc ERPT t gi sn xut n gi tiu dng. 7 Bng cch so snh h s ERPT i vi IMP, PPI, CPI, chng ti c th xc nh kh nng v mc m phn ng trong nc i vi c sc t gi, s lm gim nh hay trm trng thm c sc bn ngoi nh th no. Hai l, tc ng ca c sc kinh t v m i vi lm pht trong nc s c xem xt. Trong qu trnh tm hiu c ch lm pht trong nn kinh t mi ni, iu quan trng l phi xem xt gi trong nc phn ng nh th no trc cc c sc v chnh sch kinh t cng nh c sc v t gi. c lng VAR vi cch sp xp cc bin khc nhau c s dng kim nh tin cy ca cc kt qu m chng ta thu c. Th ba, chng ti m rng ra t m hnh VAR 5 bin thnh m hnh VAR 7 bin bng cch thm vo c 3 bin gi c, vi mc ch kho st phn ng ca cc loi gi trong nc i vi cc c sc khc nhau theo chui phn phi. Cui cng, chng ti s dng nhng c lng trn cho thi k hu khng hong cng nh cho thi k mu. 8 V s bng n khng hong tin t Thi Lan, nhng quc gia chu nh hng ca cuc khng hong thay i ch t gi ca h t ch c nh trn thc t (khng chnh thc) sang c ch t gi th ni, iu ny c th nh hng n thng s cu trc ca m hnh. Xt n hiu qu ca s thay i c ch t gi, chng ti ch yu gii thiu v kt qu o lng trong thi k hu khng hong.9 Tuy nhin, kt qu ca bo co ny khng thay i nhiu, ngay c khi chng ti da vo kt qu (chng ti s cung cp khi c yu cu) c lng cho thi k mu.10 Chng ti thit lp m hnh VAR nh sau (m hnh c s - baseline model) vi 5 vector bin ni sinh, xt = (oilt, gapt, mt, neert, pt). Trong , oilt biu th cho gi du, gapt l chnh lch sn lng, m t l cung tin (tin c s hoc M 1), neert l t gi hi oi danh ngha hiu lc, pt l gi trong nc, l (ton t hay hm) sai phn cp 1. y,

Nhm 3 Ngn hng Ngy 1 K20

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chng ti ly sai phn cp 1 ca tt c cc bit ngoi tr gap t m bo cho tnh dng ca cc bin s. Nghin cu ca chng ti vi mc tiu u tin l c lng tc ng ca t gi v cc c sc kinh t khc ln gi trong nc cng nh nh hng qua li gia chng. to ra nhng c sc c cu, chng ti s dng phn tch Cholesky cho ma trn , ma trn phng sai hip phng sai ca cc phn d trong m hnh VAR dng rt gn . Mi quan h gia cc phn d trong m hnh VAR dng rt gn (u t) v nhiu c cu t c vit nh sau:11

utoil S 0 0 0 0 oil 1 t utgap S S 0 0 0 gap m 21 2 t m ut = S31 S32 S3 0 0 t ne r S S S S 0 ne r ut 41 42 43 4 t up S51 S52 S53 S54 S5 tp t

(1)

gap Trong : oil l sc chnh lch sn lng (hay mc t l sc gi du (hoc cung du); t
neer cu) ; m l sc t gi danh ngha hiu lc (NEER) ; p t l sc chnh sch tin t ; t t l

sc gi M hnh c cu c xc nh v tc ng ca gii hn k(k-1)/2 ln ma trn S gn nh l khng, vi k l s lng bin ni sinh. Ma trn tam gic di S bao gm nhng c sc c cu khng c tc ng ng thi ln nhng bin ni sinh khc theo th t sp xp cc bin. Bin ca m hnh c s c thu thp theo mc ch nghin cu v theo kinh nghim. u tin, la chn bin cho m hnh VAR 5 bin da trn cc nghin cu trc y nh ca MC Carthy (2000) v Hahn (2003) cho d nhng nghin cu ny s dng VAR 7 hoc 8 bin vi CPI, PPI, IMP c gp chung. Th hai, gi du v chnh lch sn lng c cp trong m hnh VAR trong nhng nghin cu trc y. Gi du c nim yt bng USD, c s dng trong phn tch ca chng ti, do , chng ti c th kho st bn cht tc ng ca gi du ch khng phi tc ng ca nhng thay i ln trong t gi song phng so vi USD.12 Theo trng phi trng cu, chng ti thm bin chnh lch sn lng vo, bin ny thu c t s dng phng php lc HP (Hodrick-Prescott filter) cho ch s sn xut cng nghip.13 Th ba, tin c s c s dng c lng tc ng ca chnh sch tin t ln lm pht. Gagron v Ihrig (2004) nghin cu s kt hp gia chnh sch tin t v ERPT n CPI. Tuy nhin, h nh gi t l trung chuyn v thng s chnh sch tin t mt cch tch
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bit v kho st tng quan gia chng ch trong phm vi cc nc cng nghip. Ngc li, phng php VAR cho php chng ta xc nh s kim sot ca nhng c sc chnh sch tin t ln nhng nhn t khc.14 Nhng nghin cu a li sut hay cung tin vo m hnh VAR nhm xc nh c sc chnh sch tin t. M hnh c s ca chng ti bao gm tin c s tnh c sc chnh sch tin t, c pht trin bi McLeod (2003), chng minh rng lm pht cao Indonesia sau khng hong tin t c nguyn nhn su xa t s m rng tin c s - c phn nh trong chnh sch tin t ca NHTW Indonesia. Chng ti cng gii thiu kt qu c lng thu c t m hnh VAR c li sut i din cho bin chnh sch tin t v so snh kt qu ca phn tch phn ng gia 2 bin tin t khc nhau. Thc vy, nu bin tin t c nh hng ln, th chng ti s t tin khng nh rng ngun gc ca lm pht l do sai st ca chnh sch tin t. Vic xc nh th t hp l nht ca bin ni sinh l rt quan trng xc nh nhng c sc cu trc. Thay i trong gi du c xp ln u v phn d dng rt gn ca gi du him khi chu tc ng mt cch ng thi bi nhng c sc khc ngoi tr gi du (hay cung du); trong khi gi du thng tc ng ti tt c cc bin trong m hnh mt cch ng thi. Indonesia khng phi l quc gia cung cp du m c tm nh hng trn th trng du m th gii. Chnh lch sn lng c xp th 2, v chnh lch sn lng c th c xem l ch b tc ng bi gi du, trong khi , chnh lch sn lng (hay mc cu) c tc ng ng thi n cc bin khc tr gi du. Bin tin t (tin c s hay li sut) xp th 3 v trc NEER v bin gi c c xp cui cng. Nghin cu v ERPT ni chung, t gi trong nc v tr cui cng trong m hnh VAR, do , bin gi c ng thi chu nh hng ca cc bin khc trong khi gi c khng c nh hng ng thi n cc bin khc.15 Tuy nhin, vn cn tho lun l liu rng c hp l hay khng khi t bin tin t trc bin NEER? 16 V d, Kim v Ronbini (2000) ngh t bin t gi cui cng trong m hnh VAR trong phn tch ca h v tc ng ca chnh sch tin t ln t gi. Kim v Ying (2007) cng t bin cung tin trc bin t gi trong nghin cu ca h v tc ng ca s ph gi tin t ln cc bin kinh t v m khc. Xem t gi nh gi ti sn mong i, nhng nghin cu ny cho rng t gi c khuynh hng phn ng nhanh chng v ng thi n cc c sc kinh t v m (c ngha t gi chu nh hng ng thi ca cc c sc v m khc) . Chng ta i theo phng php lun ca nhng nghin cu ny v t bin chnh sch tin t th 3 trc neer trong m hnh VAR. Gi trong nc thay v NEER c t cui cng trong nghin cu v ERPT. Tuy nhin, tin cy ca s sp xp ny cn phi c kim nh. 4. Phn tch thc nghim 4.1. D liu

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Nm nc ng chu nh hng nng n bi khng hong tin t l Indonesia, Hn Quc, Thi Lan, Philippine v Malaysia c chn l mu cho nghin cu ny. D liu thu thp theo thng v cc mu ny c thu thp trong thi k t thng 1/1994 n thng 12/2006. Ton b chui s liu gi v ch s sn xut cng nghip (2000=100) c iu chnh theo ma. Ch s NEER (2000=100) c nh ngha l mt s gia tng trong ch s ny c ngha l s mt gi ca ng tin. i vi bin chnh sch tin t, s dng khi tin c s iu chnh theo ma cho Indonesia, Hn Quc, Thi Lan v Philippine v s dng khi tin hp M1 iu chnh theo ma cho Malaysia. Chng ti cn s dng li sut ngn hn nh l mt s thay th cho bin chnh sch tin t. Chnh lch sn lng c xc nh bng cch s dng phng php lc HP cho chui gi tr logarit c s t nhin (ln) ca ch s sn xut cng nghip.17 Ngun s liu cho tt c cc bin c ly t IMF, IFS (cc ch s thng k ti chnh quc t), CD Rom; IMF, Direction of Trade Statistics (phn cc ch s thng k thng mi), CD-Rom ; v c s d liu ton cu CEIC. Cc chi tit c m t trong ph lc 1. Bng 2: Kt qu ca kim nh nghim n v

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Ghi ch: Tn ca bin c k hiu nh sau: oil (gi du th gii); gap (chnh lch sn lng thc); m (tin c s hoc M1); ir (li sut); neer (t gi hi oai danh ngha hiu lc); cpi (ch s gi tiu dng); ppi (ch s gi sn xut); v imp (ch s gi nhp khu). Thi k mu: Indonesia (01/1998 12/2006); Hn Quc (12/1997 12/2006); Thi Lan (07/1997 12/2006); Philippine (08/1997 12/2006); v Malaysia (08/1997 12/2006). i vi imp ca Philippine, thi k mu t 01/1998 06/2005. Gi thuyt khng ca kim nh DFGL v PP l bin khng c tnh dng. Du (**), (*) v # tng ng biu th ngha thng k mc 1%, 5%, 10%. Khi kim nh tnh dng ca bin (ngoi tr chnh lch sn lng) s dng c hng s v thnh phn xu th. Khi kim nh sai phn cp 1 ca bin, ch s dng hng s.

c tnh chui thi gian ca cc bin c kim nh bi phng php DFGLS (kim nh Dickey Fuller vi vic gim khuynh hng GLS) c xut bi Elliot, Rothenberg v Stock(1996) v phng php kim tra Phillip Perron (PP). Kt qu ca

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kim nh nghim n v ca chui s liu trong thi k hu khng hong c bo co trong bng 2. Trc tin, kt qu ca th nghim DFGLS ch ra rng gi thit khng, bin s khng dng, c th b bc b i vi chnh lch sn lng thc v sai phn cp 1 ca cc bin khc trong hu ht cc trng hp, mc d c nhiu bin khng dng ngay c khi ly gi tr sai phn cp 1. Th hai, khi nhn vo kt qu ca thc nghim PP, ta c th bc b gi thit khng ca kim nh nghim n v ca chui s liu chnh lch sn lng thc v sai phn cp 1 ca cc bin khc trong tt c cc trng hp. Trong khi , trong mt s trng hp c s khc bit gia kt qu ca phng php kim tra DFGLS v PP, iu c v hp l, khi kt hp cc kt qu vi nhau, c th thy chnh lch sn lng c tnh dng v cc bin khc c xem l c tnh dng khi ly gi tr sai phn cp 1. 18 V vy, cc bin ni sinh trong m hnh c s, xt = (oil t , gap t , m t , neert , p t )' , c gi nh l c tnh dng v chng ti tin hnh c lng VAR. 19 tr ca m hnh VAR c la chn da trn tiu ch thng tin Akaike (AIC). L do ti sao chnh sch tin t, m, ng trc t gi hi oi, NEER, trong sp xp trnh t ca m hnh VAR l do 2 nguyn nhn sau. Trc tin, theo nh truyn thng, chnh sch tin t t trng tm vo cc mc tiu trong nc, v d nh lm pht v s bin ng ca GDP ng thi nh hng n TGH, nhng khng thay i chiu ngc li. Th hai, chnh sch tin t trong mt quc gia chu khng hong, mt mt phi p ng c s bin ng ca TGH (iu kin cn), mt khc cng phi p ng s tht cht thanh khon gia cc ngn hng trong nc (iu kin ). im ny s c tho lun mt cch chi tit ti phn 4.4. 4.2. nh hng ca t gi hi oi n gi trong nc Phn ny tho lun v mc nh hng t c sc NEER n ba bin gi c, bao gm CPI, PPI, IMP trong nm nc ng . 20 y, mt s gia tng trong NEER c nh ngha l s mt gi ca ng tin nc c lin quan. Ba m hnh c bn, vi mi m hnh bao gm mt trong ba bin s gi c trong nc, s c c lng v sau phn tch hm phn ng bin ng ly k qua 24 thng ca mt bin trong phn ng ca mt c sc ring bit. Tt c cc c sc c tiu chun ha n tng %, do , trc tung trong hnh bo co th hin gn ng % thay i ca gi trong nc trc 1% c sc. ng chm chm trong biu biu th tin cy bng hai ln lch chun.21 Hnh 4: Phn ng ca gi trong nc n c sc NEER (Phn ng ca gi trong nc khi NEER tng 1%)

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Ghi ch: ng m ch phn ng ly k n c sc NEER, c xc nh t m hnh c s. ng chm biu th tin cy bng hai ln lch chun.

Hnh 4 ch ra hm phn ng c trng ca CPI, PPI, IMP i vi 1% thay i ca c sc NEER trong thi k hu khng hong.22,23 u tin, phn ng i vi c sc NEER l thun chiu trong hu ht cc trng hp, d rng cha hn mang ngha thng k, ch ra rng TGH c ngha quan trng vi lam pht trong nc. Th hai, phn ng i vi c sc NEER ca 3 lai gi c l khng ging nhau. Phn ng ln nht xy ra i vi IMP, tip theo l PPI v nh nht i vi CPI. Bi v lng gi nhp khu l cao nht i vi IMP v thp nht i vi CPI nn kt qu ny c th chp nhn c. Kt lun ny cng ph hp vi nhng nghin cu trc ca McCarthy (2000), Hahn (2003), Faruqee (2006) v ERPT ti cc quc gia Chu u. Th ba, mc d khng c trnh by trong bi ny, nhng phn ng ca cc loi gi i vi c sc NEER thu c t s c lng vi thi k mu l tng t phn ng trong thi k hu khng hong c ch ra trong hnh 4, nhng mc

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ca phn ng c phn ln hn trong thi k trc. 24 Th t, iu th v hn na l mc phn ng ca gi i vi c sc NEER ln nht l Indonesia. c bit, phn ng ca CPI i vi c sc NEER l ln v c ngha v mt thng k Indonesia, iu ny tri ngc r rt vi phn ng tng t cc quc gia khc. Thm mt phn tch v s phn ng ca gi i vi c sc NEER, n hu ch cho vic nh gi mc ca ERPT khi tiu chun ha nhng phn ng ca gi i vi c sc NEER bng cch theo phn ng tng t ca NEER i vi nhng c sc ring. co gin thc ca ERPT c tnh theo cng thc sau: (2)

Trong , Pt,t+j biu th phn ng ca bin ng gi i vi c sc NEER sau j thng, Et,t+j biu th phn ng tng t ca bin ng NEER. co gin thc PT t,t+j - biu th phn ng ly k ca bin ng gi n c sc NEER sau j thng c tiu chun ha bi nhng phn ng tng t ca bin ng NEER. 25 Bng 3 ch ra co gin hiu ng trung chuyn ca 3 loi gi cho tt c mu nghin cu trong nhng thi k hu khng hong. u tin, co gin hiu ng trung chuyn ca IMP l ln nht v tng ng Indonesia, Hn Quc v Thi Lan. Th hai, co gin hiu ng trung chuyn ca PPI va CPI l nh hn rt nhiu ngoi tr Innxia. in hnh, trong thi k hu khng hong, co gin hiu ng trung chuyn ca CPI t 12 24 thng nm mc 0,4 - 0,4 ti Indonesia. Trong khi , co gin tng t ca CPI quanh mc 0,07 Hn Quc v Philipine, 0,03 Malaisia v t 0,11 0,15 ti Thi Lan. iu ny c ngha l kt qu ca vic ph gi 10% ng tin ti Indonesia lm lm pht ch s CPI tng 4%, trong khi vic ph gi tng t Hn Quc lm cho ch s lm pht CPI ch tng 0,7%. Hnh 4 cho thy phn ng ca CPI Thi Lan n c sc NEER c ngha v mt thng k trong 9 thng u tin. Ngoi ra, ch s ny ti cc nc Philipine v Malaisia khng c ngha v mt thng k trong vng 24 thng (hnh 4), iu ny cho thy lm pht CPI ca nhng quc gia ny v s st gim ca NEER th nh hn so vi c lng ca co gin hiu ng trung chuyn xc nh c biu th trong bng 3. V vy, chng ti i n kt lun rng lm pht CPI phn ng p li s mt gi ca tin t ti Indonesia l ln nht trong tt c cc nc ng chu nh hng ca khng hong. Bng 3: co gin ca ERPT (M hnh VAR 5 bin)

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Ghi ch: Kt qu ca % thay i trong gi chia cho % thay i trong NEER. co gin ca ERPT c tnh t c lng phn ng thu c t m hnh c s. IMP biu th ch s gi nhp khu; n.a biu th khng xc nh. co dn ca ERPT ln IMP Philippine s dng thi k mu t 01/1998 ti 06/2005.

Nhng kt qu ny khi kt hp li cung cp cho chng ta nhng hiu bit mi v s kin nh trong chnh sch n nh gi c i vi vic chng li nhng c sc bn ngoi khu vc ng . Trong cc nc ng , ngoi tr Innxia, gi nhp khu u phn ng vi c sc NEER, iu ny c th l do s m ca ca cc nn kinh t ti khu vc ny, tuy nhin i vi CPI th khng. iu ny ch ra rng s tn nhim vo ngn hng trung ng trong vic gi nhng k vng c li khi b nh hng bi lm pht trong thi k hu khng
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hong ti cc nc c chn lm mu nghin cu, iu ny s c nghin cu chi tit trong phn tip theo. Mt yu t quan trng khc l s nh hng ca gi du nhp khu n gi trong nc. cc quc gia nhp khu du, s ph gi tin t s nh hng rt ln n gi tiu dng trong nc, trong khi gi trong nc ca cc quc gia sn xut du t chu nh hng hn bi s ph gi tin t. Hnh 4 ch ra rng s phn ng khng ng k ca CPI Malaysia i vi c sc NEER, iu ny c th l do Malaysia l mt nc sn xut du.26 Mc d vy, tht ng ngc nhin khi Indonesia cng l mt quc gia sn xut du nhng CPI phn ng ln hn nhiu so vi cc quc gia khc. Hn th na, Indonesia, gi c ca cc sn phm t du m ti th trng quc ni b chnh ph qun l, do , gi trong nc t chu nh hng mt cch c h thng khi gi du tng v nguyn nhn mt gi tin t.27 iu ny cng ch ra rng, cc yu t kinh t v m khc nh chnh sch tin t cng chu nh hng mt cch ng k trong thi k lm pht hu khng hang. 4.3. Chnh sch tin t v lm pht ni a Nh cp phn trc, mc phn ng ca gi trong nc ln c sc NEER s c nh hng quan trng cho qu trnh phc hi gia nhng quc gia chu khng hong. C s tng ln ngay lp tc ca lm pht trong nc sau khi c s st gi mnh ca tin t s cn tr s ci thin tnh cnh tranh v gi ca xut khu. iu gy ra s cn tr qu trnh phc hi kinh t sau khng hong tin t. Tc phc hi dng nh ph thuc rt nhiu vo din bin lm pht sau s mt gi ca tin t. Trong sut giai on khng hong, TGH ca cc nc chu khng hong gim mnh. Cu hi t ra l phi chng s mt gi ln gy ra lm pht cao nhng nc . Nh bn lun trn, nhng nc ng chu khng hong cho thy mi tng quan yu gia CPI v lm pht ngoi tr Indonesia. Lm pht tng i nh c th mt phn l do s gim st mnh ca cu trong nc. Biu 5 chng minh cho phn bn lun trn, v nhng nc chu khng hong tr Philippine cho thy chnh lch sn lng c tc ng ngc chiu v hiu ng trung chuyn ln ca chnh lch sn lng ln c sc NEER, th nhng n ch c ngha v mt thng k Indonesia. Hnh 5: Phn ng ca chnh lch sn lng v tin c s n c sc NEER (Phn ng ca chnh lch sn lng v tin c s khi NEER tng 1%)

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Ghi ch: ng m ch phn ng ly k n cc c sc. ng chm biu th tin cy bng hai ln lch chun. C sc NEER c xc nh t m hnh c s, s dng CPI i din cho bin gi trong nc. i vi Malaysia, trnh by phn ng ca M1 n c sc NEER.

Phn ng ca NHTW ti c sc NEER rt khc nhau gia Indonesia v cc nc chu nh hng khng hong khc. c bit l ch Indonesia phn ng vi c sc NEER bng tng ng k lng tin c s (biu 5), iu ny ph hp vi thc t l tng trng tin c s ca Indonesia cao hn rt nhiu sau cuc khng hong so vi cc nc chu nh hng khng hong khc.28 Indonesia, khng hong tin t gy ra khng hong ti chnh trong nc cng nh nhng bt n chnh tr trong nc, n lm xu i mt cung ca nn kinh t. Trong s AD AS, ng AS dch chuyn sang tri vi mc ln. Khi , trong cng mt thi gian ng AD dch chuyn sang phi ng vi s tng ln trong cung tin, ng thi khng ch c s gim st t l tng trng kinh t m cn c s gia tng rt ln ca t l lm pht xut hin. Nhng bn lun trn c chng minh qua kt qu ca hm phn ng. Biu 6 cho thy phn ng ca chnh lch sn lng, NEER v CPI khi chnh sch tin t tng 1%. Khng ch Indonesia, phn ng ca CPI ti c sc chnh sch
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tin t l thun chiu vi mc ln v phn ng tng t ca chnh lch sn lng l ngc chiu vi mc ln.29,30 Hnh 6: Phn ng n c sc chnh sch tin t (Phn ng khi chnh sch tin t tng 1%)

Ghi ch: ng m ch phn ng ly k n c sc chnh sch tin t. ng chm biu th tin cy bng hai ln lch chun. C sc chnh sch tin t c xc nh t m hnh c s, s dng tin c s i din cho chnh sch tin t.

ng trc s mt gi ln ca tin t, cch iu hnh chnh sch tin t l phi c gng thi hnh chnh sch tin t tht cht ngn chn s mt gi tin t nhiu hn na. Tuy nhin, Indonesia khng thi hnh chnh sch nh vy, m li tng tin c s trong sut giai on khng hong nh trnh by trong biu 5. nghin cu su hn quan im chnh sch tin t ca NHTW Indonesia trong giai on khng hong, chng ti thit lp m hnh VAR 5 bin c li sut ngn hn thay cho tin c s v tin hnh c lng cu trc VAR.31
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4.4. Th tin thoi lng nan ca Ngn hng TW Indonesia: Ngn chn s mt gi v vai tr ca ngi cho vay cui cng32 S 7 cho thy phn ng ca chnh lch sn lng, li sut v CPI ti c sc NEER khi s dng m hnh VAR khng c tin c s m c li sut. Tt c cc nc u cho thy u c phn ng ca li sut ti c sc NEER, v c bit i vi Indonesia, phn ng ca li sut th ln hn nhiu v c ngha v mt thng k qua s liu 24 thng. 33 Kt qu ny cho thy du hiu l NHTW Indonesia tht s iu hnh theo chnh sch tin t tht cht nhm ngn chn khng cho ng ni t mt gi thm na. Hnh 7: Phn ng n c sc NEER (Phn ng khi NEER tng 1%)

Ghi ch: ng m ch phn ng ly k n c sc NEER. ng chm biu th tin cy bng hai ln lch chun. C sc NEER c xc nh t m hnh c s, s dng li sut thay cho tin c s i din cho chnh sch tin t.

IMF cho rng: T khi khng hong bt u, cch iu hnh tin t ca NHTW Indonesia l duy tr TGH ca ng rupi v hn ch bt k s gia tng no trong lm pht
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theo quan im duy tr ti chnh n inh. 34 Thc s, NHTW Indonesia tng li sut ( cc loi li sut m NHTW phi cng b khi iu hnh chnh sch tin t - ngi dch ) nhm phn ng vi s gim gi ca ng rupi. Tuy nhin, NHTW Indonesia ng u vi th tin thoi lng nan ca chnh sch tin t v vn nghim trng trong thanh khon khu vc ngn hng ni a. Khi c 16 ngn hng Indonesia ph sn v b ng ca trong thng 11 nm 1997, lo lng v mc an ton ca cc ngn hng a phng tng ln v tip theo , nhng khch hng gi tin ln rt ra khi h thng ngn hng Indonesia. Mt s ln, ngn hng ni a ri vo tnh trng thiu thanh khon v thiu vn. Khi , h thng ngn hng ni a cng tr nn yu hn na, NHTW Indonesia buc phi thc hin vai tr ca ngi cho vay cui cng cho nhng ngn hng trong tnh trng nguy cp v ti chnh c tnh thanh khon tt hn bng cch m rng tin c s. Phn ng i vi chnh sch tin t tht cht ca NHTW Indonesia bin ng gia tht cht v ni lng, iu ny c th c gii thch da trn nh gi hai m hnh VAR, mt m hnh c bin li sut v mt m hnh c bin tin c s. Theo , kt qu thc nghim ca chng ti cho thy c s khc bit khc thng trong biu hin ca lm pht thi hu khng hong gia Indonesia v cc nc chu nh hng khng hong khc, l do phn ng i vi chnh sch tin t ca NHTW Indonesia trong vai tr ngi cho vay cui cng ca NHTW Indonesia. Duy tr thanh khon dn n m rng cc khon cho vay ngn hng v cung tin din ra cc nc chu khc nhau trong nhng giai on khc nhau ca khng hong tin t vi tm vc khc nhau. Tuy nhin, Indonesia l trng hp i hi cung cp thanh khon mnh lit nht, v hu ht ngn hng u tnh trng ti sn rng c gi tr m trc khi chnh ph bm lng vn rt ln vo nm 1998.35 Kt qu ca vic gi cho ngn hng sng st v duy tr s n nh ca nn ti chnh, m mt s l cn thit v mt s l nhm ln, gii thch ti sao cung tin tng ln Indonesia v dn ti lm pht. NHTW Indonesia ng l nn thn trng trong to thm thanh khon cho khu vc ngn hng ngn chn s gia tng lm pht trong nc. S khc bit gia cc chnh sch tin t nhm duy tr tnh thanh khon cho s n nh ca nn ti chnh c phn nh trc tip qua cung tin, nhng c th c phn nh tt hn qua li sut, v vy xem xt m hnh VAR vi yu t li sut thay cho cung tin. C s phn ng ca li sut ti c sc NEER tt c cc quc gia, khng ph thuc vo cch sp xp th t cc bin, mc d chng ch c ngha Indonesia, Thi Lan, v Philippine (Biu 8). Do vy, khng nh rng NHTW Indonesia phn ng vi s gim st khng mong i ca NEER bng cch tng li sut, c l ngn chn s st gim su hn na. 36 Kt hp kt qu ca hai m hnh VAR vi cung tin v li sut c th rt ra kt lun tip theo. NHTW Indonesia n lc cn bng gia yu cu to tnh thanh khon cho nhu cu cp thit ca cc ngn hng thng mi v yu cu ngn chn s mt gi ca ng ni t bng cch tng li sut. Hnh ng lm cn bng khng n nh mc cao nht. Phn ng ca
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li sut khng ngn chn t l lm pht khi b tng ln rt nhanh trong nm 1998. Tuy nhin, ni chung s vic lm gim nh cho NHTW Indonesia hay cc NHTW trong cuc khng hong ko di l lm cho nn ti chnh v tin t n nh, nn iu cn c xem hn mt li bo cha. Hnh 8: Phn ng ca li sut n c sc NEER (Phn ng ca li sut khi NEER tng 1%) (M hnh giao hon v tr cc bin s dng li sut)

Ghi ch:: M hnh VAR 5 bin s dng li sut i din cho bin chnh sch tin t Alternaltive Model 1 (M hnh giao hon 1): xt = (oil t , gap t , neert , m t , p t )' Alternaltive Model 2 (M hnh giao hon 2): xt = (oil t , m t , neert , gap t , p t )' Alternaltive Model 3 (M hnh giao hon 3): xt = (oil t , neert , gap t , p t , m t )'

Khi s dng li sut thay cho cung tin trong m hnh VAR, nhng phn ng ca c CPI v li sut ti c sc NEER th ging nhau vi cc cch sp xp th t cc bin khc nhau.37 Phn ng ca CPI ti c sc NEER Indonesia c s ln hn ng k, trong khi nhng phn ng tng t cc nc khc th khng quan trng v khng ng k.

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4.5 tin cy: La chn th t cc bin trong m hnh VAR Kt qu ca hm phn ng v phn tch phng sai b nh hng bi s sp xp th t cc bin trong h thng VAR. Trong phn 3, chng ti bin lun cho vic la chn cch sp xp th t cc bin trong m hnh c s nh th no. Nhm kim tra s nhy cm ca kt qu thu c t trnh t sp xp cc bin, m hnh VAR vi nhng trnh t sp xp bin khc nhau c c lng v c gii thch nh di y. Chng ti cng kim tra xem liu rng c s khc bit khng khi s dng li sut thay cho tin c s i din cho bin chnh sch tin t. u tin, chng ti t NEER ln trn bin chnh sch tin t trong m hnh giao hon 1, l xt = (oilt, gapt, neert, mt, pt). Th t sp xp ny tnh n kh nng chnh sch tin t cng ng thi tc ng n bin ng t gi. c bit, nu li sut c iu chnh tng chng li s gim gi tin t trong sut thi k khng hong th th t sp xp bin ny cng hp l. Th hai, la chn hp l khc trong vic sp xp bin l t bin chnh lch sn lng sau bin chnh sch tin t v bin NEER. Thng tin tng trng sn lng thc c th c hiu lc vi mt tr thi gian, thng l 1 thng, trong khi , thay i chnh sch tin t v s st gim NEER c th ng thi tc ng n tng trng sn lng thc. Do , m hnh giao hon 2 l xt = (oilt, mt, neert, gapt, pt). Th ba, mt la chn khc na l t bin chnh sch tin t cui cng. McCarthy (2000) ngh t bin chnh sch tin t cui cng vi mt gi thit rng chnh sch tin t ca ngn hng trung ng phn ng li ng thi vi tt c cc c sc trong m hnh. iu ny c th ng, c bit trong trng hp s dng li sut i din mt bin chnh sch tin t, trong sut thi k khng hong tin t. Theo , m hnh giao hon 3 l x t = (oilt, neert, gapt, pt, mt). Mc d khng c gii thiu trong bi ny, nhng kt qu phn ng ca CPI i vi NEERv c sc chnh sch tin t vi cch sp xp bin khc nhau ca m hnh VAR bao gm c tin c s c tho lun sau y. 38 u tin, phn ng ca CPI i vi c sc NEER l nh nhau d vi cch sp xp bin khc nhau trong m hnh VAR khi s dng tin c s i din bin chnh sch tin t. c bit, phn ng ca CPI i vi c sc NEER Indonesia vi mc ln nht trong mi trng hp. Ngc li, phn ng ca CPI i vi c sc chnh sch tin t l khc nhau vi cch sp xp bin khc nhau trong m hnh VAR Indonesia. Phn ng ca CPI i vi c sc chnh sch tin t ln hn ng k khi t bin tin c s trc NEER (xem m hnh giao hon 2). Tuy nhin, phn ng ca CPI tr nn nh hn v khng ng k khi t bin tin c s sau bin NEER, tuy nhin phn ng ca CPI trong trng hp ca Indonesia vn ln hn cc quc gia khc. S khc bit ny trong phn ng ca CPI hon ton ph hp thc t khi NHTW Indonesia thc hin vai tr ngi cho vay cui cng, nh bn lun phn trc.
Nhm 3 Ngn hng Ngy 1 K20 22

GVHD: PGS.TS Nguyn Th Ngc Trang

4.6. S tc ng dy chuyn ca c sc n chui phn phi Qua nhng g phn tch, chng ta thy c nh hng ca c sc NEER v c sc chnh sch tin t n lm pht gi trong nc. Theo nghin cu ca Burstein, Eichenbaum v Rebelo (2002,2005), mc lm pht CPI khi xy ra mt s mt gi ln tin t ph thuc vo: (i) hm lng u vo nhp khu sn xut hng ha trong nc. (ii) s hin din ca chi ph phn phi. 39 Mc ca ERPT c coi l cao nht trong IMP v thp nht trong CPI tng t nh hm lng s dng u vo nhp khu cao nht trong IMP v thp nht trong CPI. 5 bin trong m hnh VAR ca chng ti cho thy s phn ng ca CPI rt ln Indonesia. Ngai ra, chi ph phn phi c th lm gia tng hoc lm gim s nhy cm ca lm pht trong nc, ty thuc vo liu nh phn phi trong nc c ch ng trong vic iu chnh li nhun phn phi trong nhng giai an khc nhau ca chui phn phi trc tc ng ca nhng c sc trong bn ngoi. Hn th na, trong phm vi ca vic phn tch cuc khng hong tin t, s sp ca mng li phn phi, l hu qu ca nhng cuc biu tnh ng ph v xung t sc tc, c kh nng nh hng n qu trnh lm pht gi c trong nc. Mt v d l s ph v mng li phn phi thc s xy ra ti Indonesia bi s bt n x hi y cc nh bun v cc nh phn phi tho chy khi t nc ny. Bn cnh , nhm gii quyt vn thm ht ngn sch, chnh ph Indonesia dn dn loi b s tr cp trong gi xng du v gi in trong phn ng vi cuc khng hong tin t. Nu c s khng cn xng khi CPI tng cao hn PPI v IMP trong mt vi thi k ca cuc khng hong th n c th c xem nh l mt bng chng gi m. phn tch nhng nh hng c gy ra bi s thay i chi ph phn phi hoc mng li phn phi, m hnh Var 5 bin s c m rng thnh m hnh 7 bin bng cch kt hp ba loi gi c trong nc vi nhau trong m hnh ny. iu ny tr nn kh thi khi nh r s phn ng ca 3 loi gi c trong nc n nhng c sc dc theo chui phn phi, iu phn nh tc ng ca s thay i chi ph phn phi v mng li phn phi trn lm pht CPI.40 Bng cch dng ng thi c ba bin, chng ta s dng 7 bin VAR vi trng vector xt = (oil t , gap t , m t , neert , imp t , ppi t , cpi t )' , trong impt , ppit , cpit ln lt biu th gi tr logarit c s t nhin (ln) ca IMP, PPI v CPI. nhn din c c sc cu trc trong m hnh VAR 7 bin, chng ta s dng php phn tch Cholesky theo sp xp th t nh sau:41

Nhm 3 Ngn hng Ngy 1 K20

23

GVHD: PGS.TS Nguyn Th Ngc Trang

Trong thit lp m hnh VAR ny, bin ng ca cc bin ni sinh IMP hoc PPI do cc bin ni sinh khc, c th k n l bin ng trong lng tin c s v NEER v n b loi tr khi c sc IMP ( imp ) hoc c sc PPI ( ppi ) . Do , c sc IMP hoc c sc PPI c th thu ht c s nh hng ca cc yu t khc nh s thay i trong li nhun v mng li phn phi. 42 Phn ng ln ca CPI ti c sc IMP hoc c sc PPI c th lm gia tng lm pht gi c trong nc. Hnh 9: Phn ng n c sc cu trc (M hnh VAR 7 bin)

Ghi ch: ng m ch phn ng ly k n cc c sc. ng chm biu th tin cy bng hai ln lch chun. Cc c sc cu trc c xc nh t m hnh VAR 7 bin (phng trnh 3 trong bi), s dng cng lc 3 bin gi v tin c s i din cho chnh sch tin t. Nhm 3 Ngn hng Ngy 1 K20 24

GVHD: PGS.TS Nguyn Th Ngc Trang

Hnh 9 cho thy kt qu ca phn ng thu c t m hnh VAR 7 bin s. u tin, ba dng hnh u trong hnh 9 biu din phn ng ca IMP, PPI, CPI ti c sc NEER, tng t vi kt qu thu c t phn tch m hnh VAR 5 bin s trong phn trc. Phn ng ca CPI ti c sc NEER Indonesia ln hn nhiu so vi cc quc gia khc. Th hai, phn ng ca PPI ti c sc IMP v phn ng ca CPI ti c sc IMP c trnh by dng 4 v 5. iu ht sc th v l Hn Quc v Thi Lan cho thy phn ng thun chiu vi mc ng k ca PPI i vi c sc IMP, trong khi Indonesia v Philippine th khng c phn ng nh vy. S phn ng khng ng k ca PPI ti c sc IMP Indonesia c th c cho l do nh lng IMP ti Indonesia cn thiu st (nh lng th s). Bi v ch s gi nhp khu khng c sn trong trng hp ca Innxia, thay vo gi tr n v c tnh bng cch ly tng khi lng tin giao dch thng mi chia cho tng khi lng thng mi, iu ny c th nh hng n s c lng cc phn ng. Ngc li, phn ng ca CPI i vi c sc PPI li ln v c ngha thng k ti Indonesia, trong khi phn ng tng t li rt nh v khng c ngha ti cc quc gia khc. Dng nh phn ng ca CPI i vi c sc PPI phn nh tc ng ca ca s ph v mng li phn phi bi khng hong ti Innxia, iu ny ng vai tr trong vic gia tng lm pht gi c trong nc. Thm na, iu ng ch l sau khi kim sot s tc ng ca c sc PPI, phn ng ca CPI i vi c sc chnh sch tin t cng nh c sc NEER, vn cn ln v mang ngha thng k Indonesia.(Hnh 9) Bng 4: Phn tch phng sai ca CPI (M hnh VAR 7 bin)

Ghi ch: Kt qu phn tch phng sai ca CPI thu c t c lng m hnh VAR 7 bin. Nhm 3 Ngn hng Ngy 1 K20 25

GVHD: PGS.TS Nguyn Th Ngc Trang

Cui cng, tip tc kim chng vn bn lun trn, s dng php phn tch khai trin phng sai cho m hnh VAR 7 bin s. 43 Bng 4 ch ra kt qu ca php khai trin phng sai ca CPI trn mt chui thi gian d bo 24 thng nhm kim tra mt cch tng i tm quan trng ca mi c sc trong vic gii thch sai s d bo ca CPI. iu ng lu tm u tin l ti Hn Quc, Thi Lan, Phillipin phng sai ca CPI c gii thch ch yu bi chnh c sc ca n. Trong trng hp ca Phillipin, khong 80% hoc hn na c gii thch bi c sc CPI, trong khi c sc PPI l yu t quyt nh th hai i vi phng sai ca CPI Thi Lan v Hn Quc. Ti Indonesia, c sc PPI cng l mt yu t quyt nh quan trng n phng sai ca CPI, khi m c n 33,8 % ca phng sai trong giai an u v 24% trong giai an sau c gii thch bi c sc PPI. Bng chng ny h tr cho phn bn lun trn, khi cho rng s ph v mng li phn phi Indonesia lm trm trng thm tnh hnh lm pht. Ngoi ra, c sc chnh sch tin t v c sc NEER cng l nhng yu t quyt nh quan trng i vi vic bin ng ca CPI. V vy, quan st thc nghim ny ph hp vi nhng pht hin c chng ti trnh by trong nhng phn trc v vn lm pht Indonesia c gy ra bi ERPT ln v vic bm vo qu nhiu tin ca ngn hng Indonesia. 5. Kt lun Trong bo co, hiu ng trung chuyn tc ng ca bin ng t gi ln gi nhp khu, gi sn xut v gi tiu dng c phn tch cho thi k hu khng hong cc quc gia ng . Phn tch VAR ca ERPT tit l vi pht hin mi quan trng. u tin, mc hiu ng trung chuyn ca c sc NEER i vi cc ch s gi ni a khc nhau l khc nhau, nhng chc chn theo d bo nh sau: hiu ng trung chuyn l ln nht i vi IMP, th hai l i vi PPI v nh nht l i vi CPI. iu ny hon ton ph hp vi nhn nh chung rng mc ca hiu ng trung chuyn ph thuc vo hm lng ngoi thng. Th hai, mc phn ng ca gi trong nc i vi c sc NEER l ln nht Indonesia so vi cc nc chu khng hong khc ng . S khc nhau trong phn ng ca gi i vi c sc NEER gia Indonesia v cc nc khc hu nh c phn nh trong CPI. Hn na, ch c Indonesia th hin mt phn ng ln v ng k ca CPI i vi c sc PPI, gi ra gi thuyt l c nh hng ca vic ph v mng li phn ln lm pht CPI. Th ba, s khc nhau ng k trong mc lm pht thi hu khng hong gia Indonesia v cc quc gia chu nh hng ca khng hong khc c th quy cho chnh sch tin t m NHTW Indonesia a ra phn ng li vi tnh hnh. Ch c Indonesia, phn ng ca tin c s i vi c sc NEER cng nh phn ng ca CPI i vi c sc tin t l thun chiu, mc ln v ng k. Xem xt hiu ng trung chuyn bng s dng k thut VAR cho thy mt hiu bit quan trng v c ch lan truyn khng hong cc nn kinh t mi ni. Khi s mt gi dn n lm pht trong nc, khin cuc khng hong tr nn phc tp hn v qu trnh hi phc s
Nhm 3 Ngn hng Ngy 1 K20 26

GVHD: PGS.TS Nguyn Th Ngc Trang

b ngng tr. Kt qu c lng ch ra rng qu trnh hi phc ng tht vng sau khng hong Indonesia t ra mt phn c th quy cho tc ng ln ca c sc t gi n CPI, s sp ca mng li phn phi v chnh sch tin t ca ngn hng trung ng phn ng vi s mt gi. Lm pht trong nc ca Indonesia b li tnh cnh tranh v gi ban u c c t s mt gi danh ngha ln v xa b mi kh nng tng gi danh ngha, iu ny s lm tn hi cho bn cn i ca cc tp on v cc ngn hng.

Nhm 3 Ngn hng Ngy 1 K20

27

Ti liu tham kho

Azis, Iwan J. and Willem Thorbecke. (2004)The Effects of Exchange Rate and Interest Rate Shocks on Bank Lending in Indonesia. Economics and Finance in Indonesia, 52:3, 279295. Baig, Taimur and Ilan Goldfajn. (1999) Financial Market Contagion in the Asian Crises. IMF Staff Papers, 46:2, 167-195. Bailliu, Jeannine and Eiji Fujii. (2005) Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation. paper presented at the APEA 2005 Conference at Hitotsubashi University, Tokyo, July 30-31. Belaisch, Agns. (2003) Exchange Rate Pass-Through in Brazil. IMF Working Paper, WP/03/141, International Monetary Fund. Burstein, Ariel, Martin Eichenbaum, and Sergio Rebelo. (2002) Why Are Rates of Inflation So Low after Large Devaluations? NBER Working Paper, No.8748, National Bureau of Economic Research. Burstein, Ariel, Martin Eichenbaum, and Sergio Rebelo. (2005) Large Devaluation and the Real Exchange Rate. Journal of Political Economy, 113:4, 742-784. Campa, Jos Manuel and Linda S. Goldberg. (2005) Exchange Rate Pass Through into Import Prices. Review of Economics and Statistics, 87:4, 679-690. Campa, Jos Manuel, Linda S. Goldberg, and Jos M. Gonzlez-Mnguez. (2005) Exchange Rate Pass-Through to Import Prices in Euro Area. NBER Working Paper, No.11632, National Bureau of Economic Research. Caporale, Guglielmo Maria, Andrea Cipollini, and Panicos O. Demetriades. (2005) Monetary Policy and the Exchange Rate during the Asian Crisis: Identification through Heteroscedasticity. Journal of International Money and Finance, 24:1, 39-53.

Cook, David and Michael B. Devereux. (2006) Accounting for the East Asian Crisis: A Quantitative Model of Capital Outflows in Small Open Economies. Journal of Money, Credit, and Banking, 38:3, 721-749. Djiwandono, J. Soedradjad. (2005) Bank Indonesia and the Crisis: An Insiders View. Singapore: Institute of Southeast Asian Studies, Singapore. Elliot, Graham, Thomas J. Rothenberg, and James H. Stock. (1996) Efficient Tests for an Autoregressive Unit Root. Econometrica, 64:4, 813-836. Faruqee, Hamid. (2006) Exchange Rate Pass-Through in the Euro Area. IMF Staff Papers, 53:1, 63-88. Feenstra, Robert C. (1989) Symmetric Pass-Through of Tariffs and Exchange Rates under Imperfect Competition: An Empirical Test. Journal of International Economics 27:1-2, 25-45. Friberg, Richard. (1998) In Which Currency Should Exporters Set their Prices? Journal of International Economics, 45:1, 59-76. Gagnon, Joseph E. and Jane Ihrig. (2004) Monetary Policy and Exchange Rate Pass28

Through. International Journal of Finance and Economics, 9:4, 315-338. Goldberg, Linda S. and Jos Manuel Campa. (2006) Distribution Margins, Imported Inputs, and the Sensitivity of the CPI to Exchange Rates. NBER Working Paper, No.12121, National Bureau of Economic Research. Hahn, Elke. (2003) Pass-Through of External Shocks to Euro Area Inflation. ECB Working Paper, No.243, European Central Bank. International Centre for the Study of East Asian Development (ICSEAD). (2006) East Asian Economic Perspectives: Recent Trends and Prospects for Major Asian Economies. 17, Special Issue. Ito, Takatoshi(2007)Asian Currency risis and the IMF, Ten Years Later:Overview. Asian Economic Policy Review, 2:1, 16-49. Ito, Takatoshi and Yuko Hashimoto. (2005) High-Frequency Contagion of Currency Crises in Asia. Asian Economic Journal, 19: 4, 357-381. Ito, Takatoshi, Eiji Ogawa, and Yuri N. Sasaki. (1998) How Did the Dollar Peg Fail in Asia? Journal of the Japanese and International Economies, 12:4, 256-304. Kim, Soyoung and Nouriel Roubini. (2000) Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach. Journal of Monetary Economics, 45:3, 561-586. Kim, Yoonbai and Yung-Hsiang Ying. (2007) An Empirical Assessment of Currency Devaluation in East Asian Countries. Journal of International Money and Finance, 26:2, 265-283. Knetter, Michael M. (1989) Price Discrimination by U.S. and German Exporters. American Economic Review, 79:1, 198-210. Knetter, Michael M.(1993)International Comparison of Pricing-to-Market Behavior. American Economic Review, 83:3, 473-486. Leigh, Daniel and Marco Rossi. (2002) Exchange Rate Pass-Through in Turkey. IMF Working Paper, WP/02/204, International Monetary Fund. Levina, Irina and Oleg Zamulin. (2006) Foreign Currency Pricing. Journal of Money, Credit, and Banking, 38:3, 681-696. Marston, Richard C. (1990) Pricing to Market in Japanese Manufacturing. Journal of International Economics, 29:3-4, 217-236. McCarthy, Jonathan. (2000) Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies. Staff Reports, No.111, Federal Reserve Bank of New York. McLeod, Ross H. (2003) Towards Improved Monetary Policy in Indonesia. Bulletin of Indonesian Economic Studies, 39:3, 303-324. Ohno, Kenichi. (1989) Export Pricing Behavior of Manufacturing: a US-Japan Comparison. International Monetary Fund Staff Papers, 36, 550-79. Olivei, Giovanni P. (2002) Exchange Rates and the Prices of Manufacturing Products
29

Imported into the United States. New England Economic Review, Federal Reserve Bank of Boston, First Quarter, 3-18. Otani, Akira, Shigenori Shiratsuka, and Toyoichiro Shirota.(2005)Revisiting the Decline in the Exchange Rate Pass-Through: Further Evidence from Japans Import Prices. IMES Discussion Paper, No. 2005-E-6, Institute for Monetary and Economic Studies, Bank of Japan. Parsons, Craig R. and Kiyotaka Sato. (2006) Exchang Rate Pass-Through and Currency Invoicing: Implications for Monetary Integration in East Asia. The World Economy, 29:12, 1759-1788. Ramsey, James B.(1969)Tests for Specification Errors in Classical Linear LeastSquares Regression Analysis. Journal of the Royal Statistical Society, Series B, 31, 350-371. Sasaki, Yuri N. (2005) Pass-Through of Exchange Rates on Import Prices in East Asian Countries. Keizai Kenkyu (The Papers and Proceedings of Economics), 132, The Society of Economics, Meiji Gakuin University, pp.23-33. Toh, Mun-Heng and Hwei-Jing Ho. (2001) Exchange Rate Pass-Through for Selected Asian Economies. Singapore Economic Review, 46:2, 247-273.

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Ph lc 1: M t s liu
Gi du th gii: Ch s gi du th gii theo ng USD (2000 = 100) l trung bnh ca ba ch s gi giao ngay ca Texas, U.K. Brent v Dubai. Gi du th gii c iu chnh theo ma theo phng php Census X12. Ngun s liu: IMF, International Financial Statistics (IFS), CD-ROM. Chnh lch sn lng: Chnh lch sn lng c thu nhn t s dng phng php lc Hodrick-Prescott loi tr xu th mnh cho ch s sn xut cng nghip iu chnh theo ma. Ngun s liu ca ch s sn xut cng nghip: IFS v c s d liu ton cu CEIC (CEIC Global Database). Cung tin: Tin c s iu chnh theo ma c s dng cho Indonesia, Hn Quc, Thi Lan v Philppines. S dng s liu M1 iu chnh theo ma cho Malaysia. Ngun s liu: IFS v CEIC Global Database. Li sut: S dng li sut ca tn phiu khuyt danh ca NHTW Indonesia (k hn 30 ngy). S dng li sut lin ngn hng (trung bnh hng thng) cho Hn Quc, Thi Lan v Phillippines. S dng li sut ca tri phiu kho bc k hn 3 thng, li tr trc. Tt c s liu l gi tr trung bnh hng thng (ly gi tr % /nm chia cho 12) v c ly t CEIC Global Database. T gi hi oi: S dng gi tr trung bnh trong mt chu k (1 thng) ca t gi hi oi danh ngha song phng so vi USD v s dng CPI tnh TGH thc song phng so vi USD. Ngun s liu: IFS, CEIC Global Database. TGH danh ngha hiu dng (2000 = 100) ca Indonesia, Hn Quc c tnh da trn gi tr bnh qun gia quyn ca cc TGH song phng gia ng ni t vi tng ng ngoi t ca nhng nc c nhiu hot ng giao thng (gm xut khu v nhp khu). S liu ca phn thng mi (xut khu + nhp khu) c ly t IMF, Direction of Trade Statistics, CD-ROM. Vi Thi Lan, Philippines v Malaysia, s liu ca TGH hiu dng c ly t IFS v CEIC Global Database. Gi: S liu hng thng ca CPI, PPI v gi nhp khu (IMP) c ly t IFS v CEIC Global Database. Vi Indonesia, ch s gi nhp khu hng thng (2000 = 100) c tnh bng cch ly tng kim ngch nhp khu (theo gi ca nm tnh ton) chia cho tng kim ngch nhp khu ca nm c chn lm gc so snh. S liu IMP c sn ch t thng 1/1998 ti thng 6/2005 cho Philippines v khng c sn cho Malaysia. Tng gi tr nhp khu theo USD c chuyn qua ni t bng cch s dng TGH song phng gia ng rupi v USD. Tt c s liu c iu chnh theo ma theo phng php Census X-12.

31

Ch thch
1. Bailliu & Fujii (2005) s dng phng php d liu bng kim tra hiu ng trung chuyn tc ng ca t gi n gi trong nc, nhng h ch thc hin cho cc nc pht trin. 2. Burstein, Eichenbaum & Rebelo (2002) kim tra phn ng ca lm pht sau s ph gi ln ca cc nc chu v M Latin. Tuy nhin, nghin cu ca h da trn phn tch hiu chnh (calibration analysis) vi s nhn mnh c bit vo phn b chi ph v s thay th trong tiu dng gia hng nhp khu v hng ni a nh l mt nhn t chnh trong phn ng ca gi c thi k hu ph gi). 3. Xem hiu ng lan truyn ca bin ng t gi hi oi gia cc nc Chu trong thi k khng hong tin t ca Ito v Hashimoto (2005) 4. Xem bng 1 tc tng GDP ca Indonesia ch c 0.8% sau khng hong (v d nh nm 1999), trong khi , cc nc khc c c s phc hi nhanh chng vi t l tng tng ng t 3.4 n 9.5%. 5. cho chnh xc, co dn ca gi nn c tnh. Xem Ito, Ogawa v Sasaki (1998). 6. Tho lun m rng v th no l tc ng trung chuyn ca t gi, c bit l nghin cu ca Knetter (1989, 1993) v Feenstra (1989). Mc d c rt nhiu nghin cu tp trung chuyn su v tc ng trung chuyn ca t gi trong giao dch thng mi ca Nht Bn nh Ohno (1989), Marston (1990) v Otani, Shiratsuka v Shirota (2005), nhng ch c mt vi nghin cu th nghim v tc ng trung chuyn ca t gi trong giao dch thng mi ng . C th thy trong cc nghin cu, v d nh Toh v Ho (2001), Sasaki (2005) v Parsons v Sato (2006). Parsons v Sato (2006) lin h hiu ng trung chuyn trong hot ng xut khu cc nc ng vi hnh vi lp ha n bng USD ca h - nhng nh xut khu ng . Hy xem phn tch l thuyt v nh gi da trn ng tin th ba (v d nh USD) ca Friberg (1998) v Levina v Zamulin (2006). 7. Goldberg v Campa (2006) theo kinh nghim ch ra rng phn phi bin cng nh t trng nhp khu cao trong u vo lm gim mc lan truyn ca s bin ng t gi n gi tiu th. 8. V mt sai lch c cu nh trong thi k khng hong nn kim nh Chow breakpoint (kim nh chia ct mu) v forcast test (kim nh d bo) u c tin hnh ln lt vi phng trnh VAR cho Indonesia, t nc vi bin ng ln nht. Gi thit khng c sai lch c cu vo thng 8 nm 1997 c loi khi phng trnh NEER, CPI v tin t bng kim nh Chow forecast, ch khng phi bng Chow breakpoint. y l mt trong nhng l do m chng ti tp trung nghin cu da vo thi k mu t sau thng 1 nm
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1998. Kt qu ca kim nh sai lch c cu c trn trang ch ca Ito (http://www.e.utokyo.ac.jp/~tito/index.html). 9. Thi k mu c trnh by trong bng 1. Indonesia thay i t ch neo t gi hi oi thnh ch t gi th ni vo thng 8 nm 1997, nhng t gi ng Rupiah st gim nhanh chng cho n gia thng 1 nm 1998. Mt kim nh VAR tuyn tnh c th khng hp l nu bao gm c thi k st gim nhanh chng trong thi k mu. Do , i vi trng hp ca Indonesia, thi k mu bt u t thng 1 nm 1998 thay v thng 8 nm 1997. 10. Chng ti nghin cu cn thn v kh nng kt qu ca kim nh s thay i khi chng ta thay i thi k mu. Khi s dng thi k tng th cho kim nh, mc phn ng ca gi trong nc v sc t gi tr nn mnh hn so vi kim nh trong thi k t hu khng hong v sau. 11. Mt ma trn tam gic ngc S duy nht c th c thit lp cho chng ta kh nng xc nh ma trn i xng . Tc l, khai trin Cholesky ca hm = PP vi nhn t Cholesky, P l mt ma trn tam gic ngc. V = E (u tut) = SE(tt)S=SS vi nhiu cu trc c gi nh l trc chun, v d E(tt)=I (tc l ma trn E(tt) l ma trn n v), nn ma trn tam gic ngc S bng vi nhn t Cholesky P. 12. Tht ra, bin ng gi du tnh theo ni t ca cc quc gia ng t gia thp nim 1990 phn nh mnh m nhng bin ng trong t gi song phng so vi USD hn l s bin ng gi du. 13. Chng ti da theo nghin cu ca Hahn (2003) v cc thnh phn chu k c to ra bng cch s dng phng php lc HP cho ch s sn xut cng nghip c s dng nh l chnh lch sn lng. 14. Gn y, vi nghin cu nh ca Azis v Thorbecke (2004) v Caporale, Cipollini v Demetriades (2005) s dng k thut VAR kim nh tng tc gia chnh sch tin t v bin ng t gi trong sut v sau khng khong tin t Chu . Cook v Devereux (2006) kim nh phn ng ca chnh sch tin t cc quc gia ng sut thi k khng hong bng vic s dng m hnh cn bng ng. Tuy nhin, nhng nghin cu ny khng cho php phn tch ERPT ca t gi. 15. C th thy trong cc nghin cu, v d nh Leigh v Rossi (2002), Hahn (2003), Belaisch (2003) v Faruqee (2006). 16. Hahn (2003) xp bin chnh sch tin t (li sut qua m call rate) trc t gi v gi bi gi thit rng chnh sch tin t phn ng li lm pht k vng ch khng phi lm pht hin hnh. Ngc li, McCarthy (2000) xp cung tin cui m hnh VAR.

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17. Phng php lc HP c s dng cho s liu mu di hn, s liu mu t 01/1983 ti 12/2006 i vi Hn Quc v Malaysia. S dng s liu ch s cng nghip t 02/1993 i vi Indonesia, t 01/1993 i vi Philippine v t 01/1987 i vi Thi Lan. 18. Chng ti cng thc hin kim nh v tnh dng cho ton thi k mu v thu c kt qu tng t, khng c trnh by trong bi ny nhng s cung cp khi c yu cu. 19. Cc nghin cu trc ngh s dng m hnh VAR vi mc chnh lch sn lng cng vi vi phn bc 1 ca cc bin khc. V vy, chng ti s phn tch cu trc VAR thay cho phn tch ng lin kt. C th c nghi ng h thng VAR, l mt tp hp hi quy tuyn tnh, l c thch hp xem xt h thng kinh t v m ca cc nc khng hong, nhng ni m bin ng ln xut hin mt vi bin s, bao gm TGH. Tht kh xua tan nhng bn khon nh vy, nu khng nh r m hnh thay th. C th c s tin tng vo nhng nhn xt v sai s v cc kim nh c im ca chui thi gian. Nhng iu s c cp nhng phn thch hp bn di. 20. Khi c lng m hnh VAR 5 bin cho thi hu khng hong, chn tr nh sau (xem s trong ngoc n): khi s dng CPI, Indonesia (3), Hn Quc (2), Thi Lan (8), Philippine (3) v Malaysia (2). Khi s dng PPI, Indonesia (3), Hn Quc (2), Thi Lan (8), Philippine (2) v Malaysia (2). Khi s dng IMP, Indonesia (8), Hn Quc (2), Thi Lan (8), Philippine (2). 21. tin cy c tnh bng phng php phn tch phi sinh. Chng ti s dng phn mm EViews 6 cho nghin cu thc nghim. 22. Kt qu phn ng ca IMP ln c sc NEER Malaysia khng c trnh by trong hnh 4, v khng c s liu IMP ca Malaysia. S liu IMP ca Philppine c t 01/1998 ti 06/2005. 23. Cc kt qu kim tra trc quan ca sai s c s dng cho tng phng trnh VAR ca tt c cc nc thi k mu v thi hu khng hong kim tra tnh thch hp ca c lng VAR tuyn tnh. K qu cho thy phng trnh NEER cho ra sai s bt thng tt c cc nc trong c lng s dng s liu thi k mu. Trong , sai s chun ca phng trnh NEER vt qu 7 sai s chun i vi Indonesia v 9 sai s chun i vi Hn Quc trong thi khng hong. Ngc li, c lng s dng s liu thi hu khng hong khng tm thy sai s ln bt thng tt c cc nc, mc d quan st c sai s ln vt qu 3 sai s chun Indonesia cho nhng thng u tin ca thi hu khng hong. Sau , chng ti s dng kim nh sai s m hnh hi quy (RESET) c xut bi Ramsey (1969) cho phng trnh NEER ca Indonesia bng s dng gi tr ly tha 2, 3 ca gi tr d on ca bin ph thuc. Cho thy gi thuyt khng: khng c sai s r rt c th b bc b. Thm na, ph hp cho tng phng trnh VAR c so snh gia Indonesia v cc nc mu
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khc, vi kt qu l khng tm thy s khc bit ln h s xc nh iu chnh gia Indonesia vi bt k nc no. 24. c lng cho thi k mu ko di t 01/1994 n 12/2006. Sn sng cung cp kt qu khi c yu cu. 25. Belaisch (2003) v Faruqee (2006) cng tnh co gin ca hiu ng trung chuyn da trn phn tch hm phn ng. 26. Mc d khng c trnh by trong bi ny, phn tch VAR ca chng ti cho thy phn ng ca CPI ti c sc du khng ng k v khng c ngha v mt thng k, c l iu ny ng v bin gi du trong phn tch VAR tnh theo gi USD, khc so vi gi trong nc. V vy, c sc NEER s lm tng gi du do s mt gi trong nghin cu ny. 27. Chnh ph Indonesia tng bc n lc gim bao cp trong tiu th du trong nc, chnh v iu ny thnh thong xy ra nhng cuc t tp ph ri cng cng. 28. Mc Leod (2003) so snh vic tng tin c s gia Indonesia, Hn Quc, Thi Lan v Malaysia v dn ti kt lun tng t. 29. Thi Lan cng cho thy phn ng m ca chch lch sn lng ln c sc chnh sch tin t, nhng n ch c ngha v mt thng k cho 8 thng u tin v mc phn ng nh hn rt nhiu so vi phn ng tng t ca Indonesia. 30. Nh trnh by trn, phn ng ca CPI ti c sc NEER l dng vi mc ng k (Biu 4) v phn ng tng t ca chnh lch sn lng l m vi mc ng k (Biu 5) Indonesia. N chng minh cho phn bn lun ca chng ti. 31. V tr ca cc bin tng t vi m hnh so snh nhng s dng li sut thay th cho tin c s. Trong c lng m hnh VAR, tr (lag) c chn theo th t nh sau (coi s trong ngoc n) : Indonesia (6), Hn Quc (8), Thi Lan (7), Philippine (3) v Malaysia (8). 32. Phn on ny c thm p li nhng bnh lun ca nhng ngi chng nhn (referees). Chng ti rt bit n nhng ngi chng nhn. 33. Ghi ch: phn ng ca chnh lch sn lng v CPI c trnh by biu 7 ging vi phn ng trn biu 4 v 5. c bit trong kt qu ca Indonesia. 34. IMF: Indonesia Memorandum of Economic and Financial Policies, 15/01/1998, (c trn: http://www.imf.org/external/np/loi/011598.htm). Phn bn lun pha sau da trn IMF Letter of Instent. Cng thy trong nghin cu ca McLeod (2004) v Ito (2007) rt nhiu kha cnh ca cuc khng hong tin t Indonesia.

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35. Xem Ito(2007), m t v tng thut cuc khng hong tin t chu , c bit Thi Lan, Indonesia, Hn Quc. i vi Indonesia cng thy trong nghin cu ca Djiwandono (2005) cho tnh hung tin thoi lng nan t quan im ca Thng c NHTW Indonesia, ngi b mc kt gia IMF v tng thng Soeharto. 36. Chng ti th c lng m hnh VAR vi s sp xp thch hp khc, nhng kt lun ca chng ti khng thay i. Kt qu ca ca cc cch sp xp khc s p ng khi c yu cu. 37. Kt qu ca CPI ti c sc NEER khi s dng li sut khng c trnh by trong bi ny, nhng s p ng khi c yu cu. 38. Chng ti th c lng VAR vi cc cch sp xp c th khc, nhng kt lun khng thay i. Kt qu thu c t nhng m hnh giao hon ny c sn trn trang web: http://www.e.u-tokyo.ac.jp/~tito/index.html 39. Mc d khng phn tch r nh hng ca s ph gi ln bin ng gi trong nc, Goldberg v Campa (2006) xem xt ti sao mc ERPT thay i t gi cng ti gi tiu th trong nc v cho thy nguyn liu u vo nhp khu chim t trng cao trong sn phm sn xut trong nc cng nh trong gi phn phi l nguyn nhn ca s khc bit trong ERPT. 40. Tng s lng bin trong m hnh VAR r rng s lm mt t do. V vy m hnh chun ca chng ti l m hnh 5 bin. 41. Gii hn zero c t mc 3, ging nghin cu ca Hahn (2003) v McCarthy (2000). 42. McCarthy (2000) v Hahn (2003) a ra gii thch tng t. 43. Th t tr ca m hnh VAR 7 bin nh sau: Indonesia (3), Hn Quc (2), Thi Lan (2) v Philippine (1) cho thi hu khng hong.

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