Ty Gia Thuc Va Can Can Thuong Mai: Nghien Cuu Thuc Nghiem Viet Nam

Trng i hoc Kinh T Tp.
HCM
Khoa Ti chnh Doanh nghip
----------
KHA LUN TT NGHIP
ti:
NH HNG CA T GI THC LN CN CN THNG

MI : MT NGHIN CU THC NGHIM VIT NAM
GVHD: PGS.TS. Trn Th Thy Linh

SVTT: Nguyn Vn Thnh
MSSV: 33111026049
TP.HCM, ngy 18 thng 10 nm 2013
Trng i hoc Kinh T Tp.HCM

Khoa Ti chnh Doanh nghip
----------
KHA LUN TT NGHIP
ti:

MI : MT NGHIN CU THC NGHIM VIT NAM
GVHD: PGS.TS. Trn Th Thy Linh

SVTT: Nguyn Vn Thnh
MSSV: 33111026049
TP.HCM, ngy 18 thng 10 nm 2013
nh hng ca t gi thc ln cn cn thng mi : nghin cu thc nghim Vit Nam
LI CM N
Li u tin ti xin chn thnh cm n c Trn Th Thy Linh hng dn tn

tnh cho ti hon thnh chuyn tt nghip ny.
Ti xin chn thnh cm n n tt c thy c trng i hc Kinh t TP.h
Ch Minh truyn t kin thc cho ti trong sut qu trnh hc va qua.
Sau cng ti xin cm n n tt c cc bn b, ngi thn ng h, gip ti
hon thnh chuyn tt nghip ny.
SVTT: Nguyn Vn Thnh
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GVHD: PG. TS. Trn Th Thy Linh
NHN XT CA GIO VIN HNG DN
SVTT: Nguyn Vn Thnh
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MC LC
Danh mc cc t vit tt ........................................................................................................ v

DANH MC CC HNH ..................................................................................................... vi
DANH MC CC BNG BIU ........................................................................................ vii
NH HNG CA T GI THC LN CN CN THNG MI: NGHIN CU
THC NGHIM VIT NAM .......................................................................................... 1
TM TT ............................................................................................................................... 1
1.
GII THIU .................................................................................................................. 2
1.1. L do chn ti nghin cu ..................................................................................... 2

1.2. Mc tiu nghin cu v cu hi nghin cu ............................................................. 2
1.2.1. Mc tiu nghin cu .................................................................................................. 2
1.2.2. Cu hi nghin cu ................................................................................................... 3
2.
TNG QUAN CC NGHIN CU TRC Y ................................................... 4
2.1. Khung l thuyt ........................................................................................................... 4

2.1.1. nh ngha cn cn thng mi ................................................................................ 4
2.1.2. Tc ng t gi thc ln cn cn thng mi. ........................................................... 4
2.1.3. L thuyt hiu ng ng cong J .............................................................................. 5
2.2. Cc nghin cu trc y .......................................................................................... 6
2.2.1. Nghin cu cc nc ang pht trin v km pht trin ....................................... 6
2.2.2. Nghin cu cc nc pht trin ........................................................................ 8
2.2.3. Tm tt cc kt qu nghin cu................................................................................. 9
3.
PHNG PHP NGHIN CU V D LIU ...................................................... 11
3.1.
3.2.
3.3.
3.4.
3.4.1.
3.4.2.
3.4.3.
3.4.4.
3.4.5.
4.
4.1.
4.2.
4.3.
4.4.
4.5.
D liu ........................................................................................................................ 11
Bin ............................................................................................................................. 11
M hnh nghin cu .................................................................................................. 11
Phng php kim nh ........................................................................................... 12
Kim nh nghim n v (unit test root) ................................................................ 12
Kim tra ng lin kt ............................................................................................. 13
Kim tra nguyn nhn Granger .............................................................................. 13
M hnh vecto hiu chnh sai s .............................................................................. 13
Hm phn ng xung ................................................................................................ 14
NI DUNG V CC KT QU NGHIN CU .................................................... 14

Kt qu kim nh nghim n v ADF .................................................................. 14
Kt qu kim tra ng lin kt ................................................................................ 14
Kt qu kim tra nguyn nhn Granger................................................................. 15
Kt qu m hnh hiu chnh sai s VECM ............................................................. 16
Kt qu Hm phn ng xung ................................................................................... 18
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4.6.
5.
5.1.
5.2.
6.
Tho lun v cc kt qu nghin cu t c .............................................. 20

KT LUN V GI CHNH SCH..................................................................... 23
Kt lun ...................................................................................................................... 23
Gi cc chnh sch ................................................................................................. 23
TI LIU THAM KHO ........................................................................................... 25
PHC LC ........................................................................................................................... 28
SVTT: Nguyn Vn Thnh
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Danh mc cc t vit tt
ADB: Ngn hng pht trin Chu
ADF : (Augemented Dicky Fuller): Kim nh ADF
ADRL: (Autoregressive Distributed Lag ) M hnh phn phi tr t hi quy
AIC: (Akaike info criterion) tiu chun AIC
IFS : ngun d liu thng k ca Qu tin t Quc t IMF
OLS : Phng php bnh phng nh nht
GSO: Tng cc thng k Vit Nam
REER: T gi thc a phng
RER: T gi thc song phng
NEER: T gi danh ngha
VECM : (Vecto error correction model): m hnh hiu chnh sai s
VAR : m hnh t hi quy
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DANH MC CC HNH
Hnh 0.1 : Mi quan h gia t gi thc v xut khu rng
Hnh 0.2: Hiu ng ng cong J
Hnh 0.3: th Hm phn phn ng xung
Hnh 0.4: th REER _ NEER
Hnh 0.5: th RER - USD
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DANH MC CC BNG BIU

Bng 0.1: Kt qu kim nh nghim n v
Bng 0.2: Kim tra ng tch hp
Bng 0.3: Kim tra nguyn nhn Granger
Bng 0.4 : Kt qu kim nh VECM
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MI: NGHIN CU THC NGHIM VIT NAM
TM TT
Bi nghin cu thc nghim s tc ng ca t gi thc ln cn cn thng mi ca
Vit Nam. Mu d liu quan st t qu 1/2000 n qu 4/2012 bng phng php kim
tra ADF kim nh n v (unit root test). Kt qu ch ra rng tt c cc bin l tch
hp bc mt, m n xc nhn tn ti trng thi cn bng trong di hn trn nn tng
ca phng php Engel Granger ti ng lin kt. Kt qu ny ch ra mi quan h
yu gia t gi thc v cn cn thng mi. M hnh hiu chnh c lng sai s cung
cp mt bng chng trong di hn trng thi cn bng s c thit lp sau khong
thay i trong ngn hn. Tuy nhin khng tm thy s tn ti ca hiu ng ng cong
J Vit Nam. Hn na bi nghin cu ny cng chng minh l t gi ca Vit Nam
ang b nh gi cao hn so vi cc i tc thng mi . iu ny c ngha l s thay
i t gi ring l s khng chn chc s thay i cn cn thng mi ca Vit Nam.
Do vy, bi nghin cu ny khuyn co rng chnh sch thay i t gi s phi thay
i nhng chnh sch v m khc i km.
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1. GII THIU
1.1. L do chn ti nghin cu
iu hnh chnh sch t gi rt quan trng i vi quc gia, hin nay (theo nm nghin
cu 2013) c rt nhiu vn tranh ci xung quanh t gi hi oi Vit Nam. Hin c
hai quan im tri ngc nhau, quan im th nht cho rng t gi thc ca Vit Nam
ang nh gi cao, do vy vic ph gi ng tin l cn thit y mnh xut khu v
hn ch nhp khu. Quan im th hai t pha NHNN cho rng vic ph gi ng tin
l khng c tc ng ti cn cn thng mi bi hng xut khu Vit Nam t co gin bi
gi (ng L Minh Hng - Ph Thng c Ngn hng Nh nc Vit Nam).
Liu rng ng tin Vit Nam ang b nh gi cao hay thp v vic ny c nh hng
nh th no ti cn cn thng mi ca Vit Nam. T gi thc ca Vit Nam c p ng
c mc tiu ci thin cn cn thng mi hay khng. C rt nhiu nghin cu thc
nghim cho rng ph gi ng tin s ci thin cn cn thng mi, tuy nhin cng c
nhng nghin cu bc b iu ny.
Do vy trong phm vi ti nghin cu ny s thc hin xem t gi thc ca Vit Nam
c tc ng ln cn cn thng mi nh no hay khng.trong ngn hn v di hn trong
trng hp Vit Nam.
1.2. Mc tiu nghin cu v cu hi nghin cu

1.2.1. Mc tiu nghin cu
Nhiu nghin cu thc nghim tm ra s h tr hay bc b gi thit rng s gim gi

ng tin trong ngn hn u tin s lm cho cn cn thng mi xu i ri sau mi
ci thin n, do n to ra hiu ng ng cong J; l nh gi thp cho co gin
ca cu cho nhp khu v xut khu trong tc khc kt qu ca s thay i t gi. Cc
gi tr thc nghim cng chng minh s hin din cc mi quan h trong di hn, cng
nh l thc cng ch ra rng tc ng ca s thay i t gi l c tc ng ln cn cn
thng mi. V d mt vi nghin cu thc nghim (Gylfason v Risager, 1984;
Himarios, 1989) l h tr cho s ph gi ng tin s ci thin cn cn thng mi,
nhng nghin cu khc (nh l ca Haynes & Stone, 1982; v Bahmani-Oskooee,
1994) nghi ng cho cch nhn nhn ny hoc l cung cp nhng bng chng rng ph
nh mi quan h gia thay i t gi v cn cn thng mi ch cho mt vi nc hoc
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trong mt khong thi gian. Rose v Yellen, (1989) v Rose, (1991) cung cp nhng
bng chng khng c bt k mi quan h no c ngha gia cn cn thng mi v s
thay i t gi thc. Cui cng mt nghin cu thc nghim hn hp bao gm cc quc
gia pht trin ( M, Canada v Nht) mt s nn kinh t mi ni Chu u v Chu
, cng nh mt vi nc pht trin Chu Phi nhng vn cn nhng nhn nh
nghing v gim gi ng tin s ci thin cn cn thng mi v hiu ng ng cong
J xy ra (nh l ca Petrovic v Gligoric, 2009). Tuy nhin vn khng chn chc
liu rng tnh trng ny c tn ti trong cc nn kinh t khc nhau hay khng trong khng
gian v thi gian. V vy, mt thc nghim c tin hnh, m bi nghin cu ny
c gng khm ph cho Vit Nam.
Bi nghin cu ny kho st tc ng ca t gi thc a phng ti cn cn thng mi
ca Vit Nam trong di hn v ngn hn.
ng thi da vo t gi thc xem xt ng tin Vit Nam ang b nh gi cao hay thp
so vi cc i tc thng mi ch yu.
1.2.2. Cu hi nghin cu
gii quyt cho mc tiu ca bi nghin cu cu hi sau y cn c tr li.

1. C tn ti mi quan h gia t gi thc vi cn cn thng mi trong ngn hn
v di hn Vit Nam hay khng?
2. Vic ph gi ng tin c ci thin cn cn thng mi ca Vit Nam hay khng?
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2. TNG QUAN CC NGHIN CU TRC Y

2.1. Khung l thuyt
2.1.1. nh ngha cn cn thng mi
Cn cn thng mi c hiu l cn cn o lng chnh lch gia gi tr xut khu

v nhp khu hng ho ca mt quc gia hay mt nn kinh t trong mt khong thi gian
nht nh.
2.1.2. Tc ng t gi thc ln cn cn thng mi.
T gi thc xem l t l gia hng ha v dch v trong nc giao dch vi cc nh sn

xut nc ngoi. Thay i t gi thc l iu cn thit t c gia tit kim rng
v xut khu rng. Thay i t gi thc l phn nh tnh cnh tranh ca quc gia t gi
thc cao, i vi ngi nc ngoi hng ha s tr nn t hn. Vi mt t gi thc cao,
xut khu mt quc gia s thp v nhp khu s cao bi v hng ha nc ngoi r hn.
V vy, t gi thc cao hn , mc xut khu rng s thp hn v thm ht ti khon vng
lai s cao hn (nghin cu Miles v Scott, 2005; Akpansung, 2011). Nh l gii thch
bi Abel (2008), v t gi thc l gi tng i ca hng ha v dch v mt quc gia,
mt s tng ln ca t gi thc ngi nc ngoi v ngi trong nc s tiu th t sn
phm trong nc v nhiu hng ha v dch v nc ngoi, dn ti xut khu rng thp.
Hnh 2.1 ch ra rng ch ra mi quan h nghch gia t gi thc v xut khu rng. Hnh
ny cng cho thy rng cc nc tri qua ph gi thc ti khon vng lai ca h cui
cng cng ci thin. Tng qut, cc nh kinh t hc thng s dng ng cong J
gii thch mi quan h cn cn thng mi v vic ph gi ng tin. H c kin rng
sau khi ph gi ng ni t (gim gi), ban u cn cn thng mi s b st gim nhng
cui cng th n c ci thin, cc gi nh khc l khng thay i. Tuy nhin, Miles
v Scott (2005) nhn mnh rng :
Nhng vn t gi thc, nu t gi danh ngha gim nhng c b p bi lm pht
trong nc cao v vy t gi thc s khng thay i, khi n s khng tc ng ti xut
khu rng;
Chng ta s khng nh hng c li ca s gim gi ng tin ngay tc khc trong
ngn hn, ti khon vng lai c th xu i.
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Hnh 2.1 : Mi quan h gia t gi thc v xut khu rng
Xut khu rng<0
T gi thc
Xut khu rng>0
00
Xut khu rng
2.1.3. L thuyt hiu ng ng cong J
Khi ph gi ng tin cn ph thuc vo nhp khu v xut khu phn ng nhanh nh

th no ti gi tng i thay i: nh hng ca thay i t gi thc trn xut khu
rng c th l yu trong ngn hn v thm ch l n khng ng. M hnh ng cong
J tc ng ca xut khu rng ti gim gi thc qua thi gian c m t trong hnh 2.2
. Trong ngn hn, xut khu rng s gim (ngha l tr nn tiu cc hn) cng nh l
gim t gi thc s lm tng ch ph nhp khu. Tuy nhin sau mt thi gian, xut khu
tng v s lng nhp khu gim nhiu hn b p vo chi ph tng ln ca nhp khu,
v xut khu rng c ci thin ( tng ln hn mc ban u)
Hnh 2.2: Hiu ng ng cong J
Xut khu ci thin
0
Xut khu xu i
Thi gian
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Ni chung s lin kt gia cc l thuyt v mi quan h t gi thc v cn cn thng

mi c xc nh cng thc sau :
BOT =F(Yd, Yf, XRr) (1)
M hnh ny th hin cn cn thng mi l mt hm ca thu nhp ni a, thu nhp
nc ngoi v t gi thc.
Phng trnh ny ni ln rng cn cn thng mi c mi quan h nghch vi thu nhp

trong nc (v thu nhp c nh hng ti nhp khu tiu dng), mi quan h cng chiu
vi thu nhp nc ngoi (cng mt l do), v mi quan h nghch vi t gi thc. bin
cui cng l ch s chi tiu ca quc gia v gi c cnh tranh trn th trng th gii.
Khi m chi tiu quc gia qu cao v gi sn phm cao, kt qu x lm gim xut khu
v gi tr nhp khu l ln, v ngc li (Munn v Mutti, 2004).
2.2. Cc nghin cu trc y

Sau nghin cu u tin ca Magee (1973), mt s lng ln cc nghin cu thc
nghim khm ph ra trong di hn tc ng ca t gi thc ln cn cn thng mi, v
hin tng hiu ng ng cong J u tn ti.
2.2.1. Nghin cu cc nc ang pht trin v km pht trin
Bahmani-Oskooee (1994) trong bi nghin cu Tc ng ca gim gi trong ngn

hn v di hn : M hnh hiu chnh sai s v ng lin kt th nghim 41 nc
pht trin v km pht trin v s tn ti ca ng lin kt (cointegration )v hiu
ng ng cong J p dng th tc hai bc Engle-Granger. Kt qu cho thy cn cn
thng mi v t gi hi oi thc l ng lin kt ch c 14 quc gia. Trong cc
nc tham gia ng lin kt, c mt s bng chng ca hiu ng ng cong J.
Wilson v Kua, (2001) trong cc nghin cu ca mnh T gi v cn cn thng mi:
Trng hp ca Singapore t 1970 n 1996 s dng phng php ARDL , kim tra
mi quan h gia cn cn thng mi thc v t gi hi oi thc cho thng mi
hng ha song phng gia Singapore, Hn Quc v Malaysia i vi Hoa K v
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Nht Bn. Kt qu khng c bng chng ca hiu ng ng cong J c tm thy

ngoi tr thng mi gia Hn Quc vi Hoa K
Trong nghin cu nh hng ca thay i t gi hi oi thc ln cn cn
thng mi Croatia ca Tihomir Stucka (2004) c tnh nh hng ca t gi
hi oi vi cn cn thng mi s dng mt m hnh tinh gin. M hnh ny c
c tnh bng cch s dng ba phng php ARDL tm thy tm thy bng chng
ca hiu ng ng cong J Croatia.
Trong cc nghin cu v thng mi song phng ca Trung Quc vi cc nc G7,
Ahmad v Yang, (2004) khng tm thy bng chng nh hng ca ng cong J.
Bhattarai v Armah, (2005) trong cc nghin cu ca h xc nhn mi quan h gia
xut khu v nhp khu v thay i ca t gi thc l n nh trong di hn. Thorbecke,
(2006) trong cc nghin cu thc nghim chng minh rng vic nh gi cao ng
tin ti Indonesia, M lai v Thi Lan lm gim xut khu.
Mt nghin cu Hiu ng ng cong J cc nn kinh t mi ni ng u m
rng cc nn kinh t mi ni ti Chu u (Bulgaria, Croatia, Cyprus, Czech
Republic, Hungary, Poland, Romania, Russia, Slovakia, Turkey v Ukraine) ca
Bahmani-Oskooee and Kutan, (2007) thc nghim tm thy ng cong J tn ti
ba nc Bulgaria, Croatia v Russia. iu ny c ngha rng trong ngn s c s st
gim kt hp vi di hn s ci thin.
Yuen- Ling (2008) trong bi nghin cu Mi quan h gia t gi thc v cn cn
thng mi: Nghin cu thc nghim ti Malaysia s dng phng php ng lin
kt v c ch hiu chnh sai s ECM, thng qua phng trnh th hin cn cn
thng mi l mt hm mc thu nhp trong nc v mc thu nhp nc ngoi v t gi
thc v vy :
ln(Tt ) 0 1 ln(Yt ) 2 ln(Yt* ) 3 ln( RERt ) t (1)
Kt qu ny h tr gi tr thc nghim v iu ca Marshall-Lerner ch ra rng ph gi

ng tin ci thin cn cn thng mi. S dng cc kt qu hi p phn tch
cho thy khng c tc ng ng cong J.
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Mt nghin cu nn kinh t Serbian ca Petrovic v Gligoric (2010) cho thy gim

t gi c ci thin cn cn thng mi trong di hn. H cng tm thy s tn ti
ca ng cong J.
Mt nghin cu Gi tr giao dch ca ng Rupee Pakistan v cn cn thng mi
ca Pakistan s dng phng php th nghim gii hn ARDL ti ng lin kt thc
hin bi Shahbaz (2011) tm thy mi quan h gia t gi, thu nhp v cung ng tin
trong di hn.
Shahbaz (2012) trong bi nghin cu S thay i ca t gi thc v cn cn thng
mi: Bng chng t Pakistan s dng phng php t hi quy tr (ARDL) ti ng
lin kt tm ra mi quan h gia t gi thc v cn cn thng ti Pakkistan. H
tm thy mi quan h trong di hn v khng tn ti mi quan h ng cong J. Tuy
nhin, h cho rng ng tin mt gi dn ti suy gim cn cn thng mi ca Pakistan.
Trong bi nghin cu Cn cn thng mi v t gi thc do Kharroubi (2011)
thc hin, ng xy dng m hnh kinh t da trn m hnh ca Goldstein v Khans
(1985) m hnh hnh thc gim ca cn cn thng mi, m cn cn thng mi l tiu
cc vi thu nhp trong nc, tch cc vi thu nhp nc ngoi v tiu cc vi t gi
thc (mt s tng ln ca t gi thc tng ng vi s nh gi cao). H cng tm
thy xc nhn rng vic iu chnh t gi hai i s phi km theo iu chnh cc
chnh sch khc.
2.2.2. Nghin cu cc nc pht trin
Rose v Yellen, (1989) trong bi nghin cu C tn ti ng cong J? S dng

d liu tch bit (disaggregated) v thng mi song phng trong trng hp
d liu ca M giai on 1960 n 1985 khng tm thy s tn ti ca ng
cong J v khng tm thy bng chng v mi quan h di.
Rose (1991) trong bi nghin cu Vai tr ca t gi trong m hnh thng mi ph
bin: iu kin Marshall-Lerner c tn ti? tm thy iu kin ca Marshall-Lerner
khng tn ti trong nm nc OECD (Anh, Canada, c, Nht Bn v M) . Kt qu
ca b ta ch ra mi quan h gia cn cn thng mi v t gi l khng ng k, iu
ny c ngha l gim gi tr s khng ci thin cn cn thng mi trong thi gian di.
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Trong bi nghin cu Mi quan h gia t gi thc v cn cn thng mi : Mt thc

nghim s dng phng php ng lin kt v c lng OLS ca Shirvani v
Wilbratte, (1997) kim mi quan h gia cn cn thng mi v cc quc gia G7
(Canada, Php, c, , Nht Bn, Lin hip Anh v M) theo m hnh.
log t 0 1 log( Qt ) 2 log( Yt ) 3 log( Yt* ) t i (2)
M hnh ny th hin cn cn thng mi l mt hm ca t gi thc (Qt) mc thu nhp

ni a (Yt) v thu nhp nc ngoi (Yt*). H tm thy gim gi ng tin s ci
thin cn cn thng mi.
2.2.3. Tm tt cc kt qu nghin cu
Stt
Tc ga
Tn bi nghin cu
Phng php s
nm nghin
Kt qu
dng
cu
1
Bahmani-
Tc ng ca gim M
Oskooee
gi trong ngn hn v chnh sai s v chng ca hiu ng
(1994)
di hn : M hnh ng lin kt
hnh
chnh
v phng
v hiu
T gi
v sai
cnscn
linmi:
kt Trng ARDL
Kua, (2001 ng
thng
Wilson
khng
bng
chng ca hiu
Tihomir
1970
n 1996
nh hng
ca thay phng
Stucka
i t gi hi oi ARDL
(2004)
thc ln cn cn
Bahmani-
thng
mi
Croatia
Hiu ng
ng
cong
mi J gia Hn
cong
Quc vi Hoa K
tm thy ng
Oskooee
J cc nn kinh t
cong J tn ti ba
and Kutan, mi ni ng u
5
php
ng cong J
ng ng cong J
hp ca Singapore t
3
hiu c mt s bng
c
tm chng
thy
php tm
thy bng
ngoi
ca
hiutr
ngthng
ng
nc
Bulgaria,
(2007) Ling Mi quan h gia t s dng phng ch

Croatia
v ph
Russia.
Yuenra rng
gi
(2008)
gi thc v cn cn php ng lin iu

ng ny
tin c
ci ngha
thin
rngcn
trong
ngnmi,
s
thng mi: Nghin kt v c ch hiu cn
thng
s st
gimng
kt
cu thc nghim ti chnh sai s ECM c
khng
c tc
hp
vicong
di Jhn s
ng
Malaysia
ci thin
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Shahbaz
Gi tr giao dch ca s dng phng thy mi quan h
(2011)
ng Rupee Pakistan php th nghim gia t gi, thu nhp

v cn cn thng gii hn ARDL v cung ng tin
mi ca Pakistan
ti ng lin kt
trong di hn.
Shahbaz
S thay i ca t gi s dng phng tm ra mi quan h
(2012
thc
cn
cn php t hi quy gia t gi thc v
thng mi: Bng tr (ARDL) ti cn cn thng ti

ng lin kt
chng t Pakistan
Pakkistan,
khng
tn ti mi quan h
ng cong J
8
Rose
Yellen,
v C tn ti ng S dng d liu khng tm thy s

cong J
tch
(1989)
9
bit tn ti ca ng
(disaggregated)
cong J v khng tm
chngthy
v
Shirvani v Mi quan h gia t s dng phng thy
H bng
tm
quan
di tin
Wilbratte,
gi thc v cn cn php ng lin mi
gim
gih
ng
(1997)
thng mi : Mt kt v c lng
s ci thin cn cn
thc nghim
thng mi.
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3.
PHNG PHP NGHIN CU V D LIU
3.1. D liu
D liu c s dng trong nghin cu ny l chui d liu theo thi gian ca cn cn
thng mi, t gi thc a phng, GDP thc trong nc (GDP_VN), GDP th gii
(GDP_W)
D liu c ly t nhiu c uy tn khc nhau nh l : Ngn hng nh nc Vit Nam,
Cc Thng k Vit Nam, Ngn hng pht trin Chu (ADB), Ngn hng Th gii
(WB), Qu Tin t quc t (IMF), IFS (International fanancial statictis) , Hp tc v
Pht trin kinh t (OECD), Cc thng k cc nc, t OADN trong thi gian qu 1
nm 2000 n qu 4 nm 2012.
i vi s liu t gi v CPI bi vit chn thi gian gc l qu 1/2000.
Tt c d liu (T gi thc, GDP Vit Nam, GDP nc ngoi) c chuyn sang logarit
t nhin trc khi kim nh m hnh.
3.2. Bin
Hnh 3.1: M t cc bin v ngun
Bin
K hiu
Ngun
Cn cn thng mi
BOT
GSO, IFS, ABD
T gi thc
REER
OADN
Tng thu nhp Vit Nam
GDP_VN
GSO, IFS
Tng thu nhp trung bnh cc i tc thng mi GDP_W
IFS
c trng s thng mi vi Vit Nam
3.3. M hnh nghin cu

L thuyt kinh t gii thch rng s mt gi thc ca tin t mt quc gia c nh hng
tch cc n cn cn thng mi, nhng tnh ph hp ca l thuyt ny ph thuc vo
nhy khi lng xut khu, nhp khu n t gi hi oi thc. Trong mt phn
ca nghin cu ny, chng ti s c gng ly cc iu kin c gi l iu kin
Marshall Lerner. Cc iu kin gii thch nu mt gi thc s gy ra ci thin cn
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cn thng mi khi co gin xut khu, nhp khu l kh cao v gi nh tt c cc

yu t khc khng thay i.
iu kin Marshall Lerner gii thch rng s mt gi thc gy ra s thng d cn cn
thng mi ch khi tng ca co gin ca xut khu v nhp khu hn ln hn 1
(Ngun: Kinh t quc t, Paul Krugman, n bn th t trang 477)
M hnh kinh t c s dng trong nghin cu ny l m hnh (tng t nh
Goldstein & Khan, 1985; Shirvani v Wilbratte, 1997; Yuen-Ling 2008; Kharroubi,
2011), cn cn thng mi ph thuc vo nhp trong nc, thu nhp nc ngoi v t
gi thc. Do , chuyn i sang log, ta c:
lnBOTt =0 + 1lnREERt + 1lnGDPt_VN+ 3lnGDPt_W+ t (3)
Trong :
lnBOTt : logarit t nhin cn cn thng mi
lnREERt : logarit t nhin t gi thc a phng
lnGDP_VN : logarit t nhin GDP thc ca Vit Nam
lnGDP_w : logarit GDP cc nc c trng s thng mi vi Vit Nam
t : nhiu sai s, vi cc gi nh ngu nhin l bnh thng
iu kin: 0 >0, 1 <0, 2 <0, 3>0

1 <0 c ngha iu kin Marshall-Lerner l tn ti, ngha rng gim gi thc s ci
thin cn cn thng mi ca Vit Nam.
3.4. Phng php kim nh

3.4.1. Kim nh nghim n v (unit test root)
Phng php kim tra ca kim nh nghim n v l bc u tin l phn tch ng

lin kt. kim nh tnh dng ca dy s liu trong nghin cu ny p dng kim
nh ADF. Nghin cu ny cng s dng tr theo tiu chun AIC (Akaike
information Criterion).
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3.4.2. Kim tra ng lin kt
Kim tra ng lin kt c tin hnh nhm trnh kt qu hi quy gi. Vic kim tra
ng tch hp nhm xc nh trng thi cn bng trong di hn gia cc bin. Trong
nghin cu ny s dng phng php Jonhansen v Juselius (1990). y l k thut
kim nh ng tch hp s dng nguyn tc hp l cc i (maximun likehihood,
maximun angle v trace value) xc nh s tn ti cc vec t ng tch hp gia cc
dy s thi gian khng dng.
3.4.3. Kim tra nguyn nhn Granger
Tng th, bin x l nhn qu Granger nu cc cc bin tr ca x tc ng ln bin tr

ca y .Theo Granger nu x khng l nguyn nhn Granger ca y, mi tng quan gia
hai bin l nh hng ca y ln x.
3.4.4. M hnh vecto hiu chnh sai s
Sau khi kim nh nghim n v v ng lin kt, bin ng trong thi gian ngn hn c
thit lp theo m hnh hiu chnh sai s VECM, m hnh s dng trong nghin cu ny c
dng chung nh sau :
1
i 1
i 0
i 0
i 0
BOTt 0 1,i BOTt i 2,i REER t i 3,i RGDPt i 4,i WGDPt i

1 ECM t 1 t (4)
q1
q2
q3
q4
i 1
i 0
i 0
i 0
r1
r2
r3
r4
i 1
i 0
i 0
i 0
REER t 0 1,i BOTt i 2,i REER t i 3,i RGDPt i 4,i WGDPt i

2 ECM 2t 1 t (5)
RGDPt 0 1,i BOTt i 2,i REER t i 3,i RGDPt i 4,i WGDPt i
3 ECM 3t 1 t (7)
s1
s2
s3
s4
i 1
i 0
i 0
i 0
WRGDPt 0 1,i BOTt i 2,i REER t i 3,i RGDPt i 4,i WGDPt i

4 ECM 3t 1 t (8)
Trong : l sai phn,1 2, 3 v 4 : bin iu chnh sai s ch tc m h

thng tip cn n trng thi cn bng di hn sau mt thi gian bin ng trong ngn
hn, ECM1t-1, ECM2t-1, ECM3t-1, ECM4t-1 : sai s tr dng t phng trnh ng lin kt
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3.4.5. Hm phn ng xung
Hm phn ng ca Choleskys s c lng nh hng t t gi thc ln cn cn

thng mi vi vic xem xt mt thit lp c hoc khng c nh hng ca ng
cong J.
4.
NI DUNG V CC KT QU NGHIN CU
4.1. Kt qu kim nh nghim n v ADF

Bng 4.1: Kt qu kim nh nghim n v
Kim nh ADF( t statistics)
Bin s
Level
Sai phn bc 1
T statistics
Test cricical values T statistics
Test cricical
BOT
-2,575084
-2,922449
11,01846
REER
-1,886674
-2,921175
-7,128629
-2,922449
values
-2,922449
GDP_VN -1,261812
-2,922449
-2,944603
-2,925169
GDP_W
-2,921175
-5,011397
-2,925169
-2.006248
Ngun tnh ton ca tc gi

Kt qu kim nh ADF ( unit test root) ch ra rng gi thit : H0 (bin khng dng )
khng th b bc b cc mc level (chui d liu gc) nhng b bc b sai phn
bc 1( I(1)) ca tt c cc bin mc ngha 5%.
Nh vy cc bin BOT, REER, GDP_VN, GDP_W l nhng chui thi gian khng
dng cho kim tra ng tch hp thit lp mi cn bng trong di di hn ca cc
bin nghin cu.
4.2. Kt qu kim tra ng lin kt

Bi nghin cu ny s dng phng php Jonhansen v Juselius (1990) kim nh
ng tch hp. Phng php Jonhansen v Juselius (1990) p dng nguyn tc hp l
cc i nh xc nh vec t ng tch hp gia cc dy s thi gian khng dng.
Trng hp kim nh c t nht mt vec t ng tch hp th gia cc bin c mi
quan h di hn.
Bi nghin cu chy m hnh vi nhiu tr khc nhau cho thy tr ph hp l
2.
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T bng kim tra ng tch hp (bng 4.3) theo phng php kim nh Jonhansen v
Juselius (1990) l kim nh vt ca ma trn (trace) v kim nh (maximal eigenvalue)
u bc b gi thit khng tn ti vec t ng tch hp v khng nh tn ti t nht
mt vec t ng tch hp. Nh vy l tn ti mi quan h di hn gia cc bin c
la
chn
ca
hnh.
Bng 4.2: Kim tra ng tch hp

Gi tr ti hn 0,05
Gi tr ring ca Gi tr thng k ca ma
ma trn
trn Trace Statistic
Critical
Gi thit H0
Eigenvalue
Value
Prob.**
None *
0,675180
80,09137
55,24578
0,0001
At most 1
0,210243
24,99172
35,01090
0,3841
At most 2
0,149147
13,42623
18,39771
0,2158
At most 3 *
0,106393
5,511944
3,841466
0,0189
Trace test ch ra tn ti mt vec t ng tch hp mc 5%
* bc b gi thit mc ngha 5%
Gi tr ti hn 0,05
Gi tr ring ca Gi tr thng k ca ma
ma trn
trn Max-Eigen Statistic Critical
Gi thit H0
Eigenvalue
Value
Prob.**
None *
0,675180
55,09965
30,81507
0,0000
At most 1
0,210243
11,56549
24,25202
0,7994
At most 2
0,149147
7,914287
17,14769
0,6123
At most 3 *
0,106393
5,511944
3,841466
0,0189
Max-eigenvalue test ch ra tn ti 1 vec t ng tch hp mc ngha 5%
* bc b gi thit mc ngha 5%
Cc h s iu chnh (alpha):
D(BOT)
-0,052467
0,057247
-0,010544 0,044827
D(REER)
-0,014234
0,003979
0,015942 0,000596
D(GDP_VN)
0,002271
0,002009
0,000825 -0,000899
D(GDP_W)
-0,003975
0,002350
4,68E-05 -0,001870
Phng trnh ng tch hp 1
Log likelihood
468,1790
Cc h s ng tch hp c chun ha ( sai s chun trong du ngoc trn)
BOT
REER
GDP_VN
GDP_W
1,000000
-3,921205
119,3241
-58,71059
(1,79976)
(13,7097)
(7,28625)
4.3. Kt qu kim tra nguyn nhn Granger

Dng kim nh F statistic tnh ton so snh vi kim nh ph phn tm thy nguyn
nhn nh hng ca t gi thc (REER) ln cn cn thng mi (BOT) mc ngha
10%, nhng theo chiu ngc li th khng tn ti( Bng 4.4 kim nh nguyn nhn
Granger ), ng th. Nh vy kt qu kim nh cho thy tn ti mi quan h trong di
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hn gi t gi thc REER v cn cn thng mi BOT. iu ny ng rng t gi thc

REER c nh hng ln cn cn thng mi trong di hn.
Bng 4.3: Kim tra nguyn nhn Granger
Pairwise Granger Causality Tests
Sample: 2000Q1 2012Q4
Lags: 2
Null Hypothesis:
D(REER) does not Granger Cause D(BOT)
D(BOT) does not Granger Cause D(REER)
D(GDP_VN) does not Granger Cause D(BOT)
D(BOT) does not Granger Cause D(GDP_VN)
D(GDP_W) does not Granger Cause D(BOT)
D(BOT) does not Granger Cause D(GDP_W)
D(GDP_VN) does not Granger Cause D(REER)
D(REER) does not Granger Cause D(GDP_VN)
D(GDP_W) does not Granger Cause D(REER)
D(REER) does not Granger Cause D(GDP_W)
D(GDP_W) does not Granger Cause
D(GDP_VN)
D(GDP_VN) does not Granger Cause D(GDP_W)
Ghi ch: *,**,*** c mc nga 1%, 5%, 10%
Ngun theo tnh ton ca tc gi
Obs
49
49
49
49
49
49
F-Statistic Probability
2,95246*** 0.06263
1.39852
0,25772
1,34746
0.27041
1,09644
0,34301
1,80700
0.17612
0,18325
0,83319
1,26743
0.29163
1,05960
0,35527
1,64717
0.20425
4,70124*** 0,01411
6,07090**
0,51557
0.00470
0,60072
4.4. Kt qu m hnh hiu chnh sai s VECM

T kt qu m hnh VECM ta c phn d sai s ca BOT v REER l mc ngha
5% bi nghin cu s dng ngha gi tr thng k t (t statistic) kim nh xem
cc bin c lp c nh ti bin ph thuc khng. iu ny cho thy c s cn bng
di hn sau khong thi gian bin ng trong ngn hn ( kt qu VECM c m t
chi tit trong ph lc kt qu m hnh VECM).
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Bng 4.4 : Kt qu kim nh VECM

Bin ph thuc : BOT
Mu: 2000Q4 2012Q4
Sai s chun trong du ngoc ( ), gi tr nm trong du ngoc [ ]
Error Correction:
D(BOT)
D(REER)
D(GDP_VN) D(GDP_W)
0,115607
0,031363
-0,005004
0,008759
(0,06833)
(0,01550)
(0,00208)
(0,00292)
CointEq1
[ 1,69186]*** [ 2,02362]*** [-2,40672]** [ 2,99973]*
-0,867042
-0,043900
0,001853
-0,008739
(0,13478)
(0,03057)
(0,00410)
(0,00576)
D(BOT(-1))
[-6,43295]*
[-1,43603]
[ 0,45185]
[-1,51735]
-0,492561
-0,057116
-0,001334
-0,007166
(0,12817)
(0,02907)
(0,00390)
(0,00548)
D(BOT(-2))
[-3,84297]*
[-1,96470]
[-0,34214]
[-1,30845]
-0,346240
-0,482341
0,001894
0,054452
(0,68698)
(0,15582)
(0,02090)
(0,02936)
D(REER(-1))
[-0,50400]
[-3,09556]
[ 0,09061] [ 1,85486]***
-1,524141
-0,211746
0,024608
0,090721
(0,68367)
(0,15507)
(0,02080)
(0,02921)
D(REER(-2))
[-2,22935]**
[-1,36552]
[ 1,18288]
[ 3,10532]*
-2,570906
-0,684941
0,180757
-0,472893
(5,52236)
(1,25255)
(0,16804)
(0,23598)
D(GDP_VN(-1))
[-0,46554]
[-0,54684]
[ 1,07568]
[-2,00392]**
-9,598354
-0,862490
-0,460142
-0,293016
(4,81441)
(1,09198)
(0,14650)
(0,20573)
D(GDP_VN(-2)) [-1,99367]***
[-0,78984]
[-3,14096]*
[-1,42426]
-3,219388
1,464411
-0,008086
0,518198
(3,65224)
(0,82838)
(0,11113)
(0,15607)
D(GDP_W(-1))
[-0,88148]
[ 1,76780]*** [-0,07276]
[ 3,32031]*
11,63095
1,193528
0,061591
0,159021
(4,25977)
(0,96618)
(0,12962)
(0,18203)
D(GDP_W(-2))
[ 2,73042]*
[ 1,23531]
[ 0,47517]
[ 0,87360]
R-squared
0,647742
0,368900
0,566283
0,428760
Adj. R-squared
0,555042
0,202821
0,452147
0,278434
Ghi ch: *,**,*** c mc nga 1%, 5%, 10%
Ngun theo tnh ton ca tc gi
T kt qu m hnh VECM ta thy s tc ng mnh ca t gi thc REER ln cn cn
thng mi trong ngn hn qu 2, c ngha l t mt s bin ng ca t gi t qu 2
tr v trc s c tc ng ln cn cn thng mi hin ti, c th t kt qu VECM
cho thy t gi thc REER tng ln 1% s lm cho cn cn thng mi BOT gim
1,524% y l mi quan h nghch chiu. Nh vy trong ngn hn khi ph gi ng tin
s khng ci thin cn cn thng mi m lm cho cn cn thng mi gim xung,
iu ny hon ton ph hp vi tnh trng xut khu ca Vit Nam l nng sn, thy sn
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c tnh thi v ng thi nhp khu ca Vit Nam khng hn l da vo chnh sch t
gi m cn nhiu yu t khc quyt nh.
Kt qu kim nh cng ch ra tng thu nhp GDP_VN cng c mi quan h nghch
chiu vi cn cn thng mi c th trong ngn hn 1% s tng ln ca GDP_VN s
lm cn cn thng mi gim xung 9,59%. ng thi cng trong qu 2 thu nhp trung
bnh ca cc i tc thng mi c t trng vi Vit Nam (GDP_W) c mi quan h
tuyn tnh, 1% tng ln GDP_W lm cho cn cn thng mi BOT tng ln 11,6 % .
Kt qu ca hai bin GDP_VN v GDP_W l hon ton ph hp vi l thuyt.
4.5. Kt qu Hm phn ng xung

Hnh 4.1: th Hm phn phn ng xung
T th hm phn ng xung ch ra rng khng c nh hng ca ng cong J ti

Vit Nam. ng thi s hi p ca BOT ti REER cng ch rng s suy gim mnh
ca cn cn thng mi thi k th 2 sau tng tr li v gim thi k th 6 tip
tng ln li v hu nh duy tr mt ng thng thi k th 15 trong sut qu trnh
nghin cu.
Sau khi thit lp cc kim nh, m hnh kim nh di hn v ngn hn, hm phn ng
xung ta c m hnh nh sau ( xem chi tit ph lc kt qu kim tra ng lin kt v
ph lc kt qu kim nh VECM):
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lnBOT=269,8620 +3,921205*lnREER - 119,3241*lnRDP_VN+ 58,71059*lnRDP_W

(1,79976)
(13,7097)
(7,28625)
[-2,17874]
[ 8,70364]
[-8,05773]
R-squared=0,647742, Adj, Adj. R-squared=0,555042, F-statistic=6,987538

y bi nghin cu s dng kim nh gi tr thng k t( t-statistic) kim nh
cc bin c lp ca m hnh c ngha khng. Vi gi tr thng k t-statistic nm
trong []ca cc bin ln lt l REER [-2,17874], bin GDP Vit Nam GDP_VN [
8,70364] v bin GDP nc ngoi GDP_W [-8,05773], vi gi tr kim nh t-statistic
tnh ton mc ngha 5% l 2,0106. Nh vy cc gi tr thng k t ca cc bin c
lp trong m hnh u ln hn gi tr thng k t tnh ton nn cc bin REER,
GDP_VN, GDP_W iu c ngha thng k v ph hp vi l thuyt. Trong t gi
thc REER t l thun vi cn cn thng mi, trong di hn 1% tng ln ca t gi
thc REER cn cn thng mi s tng ln 3,921205%. Tng thu nhp trong nc
bin RDP_VN t l nghch vi cn cn thng mi mt s tng ln 1% GDP_VN lm
cho cn cn thng mi gim xung 119,3241% u ny cng ph hp vi l thuyt.
Xt trong iu kin cc yu t khc khng i, khi GDP trong nc tng cng ng
ngha vi thu nhp ca ngi dn c ci thin lm cho tm l snh ngoi ca ngi
dn tng ln, nn hng nhp khu s tng theo dn ti cn cn thng mi gim. i
vi bin thu nhp trung bnh ca cc i tc c t trng thng mi vi Vit Nam
(GDP_W) c quan h thun vi cn cn thng mi, c th 1% tng ln ca GDP_W
s lm cn cn thng mi tng ln 58,71059%, xt trong cc iu khc khng i mt
s tng ln ca GDP_W cng c ngha l lm cho thu nhp ca ngi nc ngoi tng
ln dn ti nhu cu ca h i vi hng nhp khu tng ln, t xut khu ca Vit
Nam tng ln nn lm cho tit kim rng tng ln.
Nhn chung m hnh l c ngha th hin F-statistic=6,987538, tuy nhin mc gii
thch ca m hnh l khng cao th hin R-squared=0,647742, Adj. Rsquared=0,555042 iu ny hm rng vic ph gi ng tin mt cch ring l cn
cn thng mi ci thin yu, m cn phi i km vi cc chnh sch v m khc, lc
cn cn thng mi mi c ci thin tt.
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4.6. Tho lun v cc kt qu nghin cu t c

Kt qu ca m hnh cho thy 64,77% v 55,5% sau khi iu chnh s thay i tng
th ca cn cn thng mi l c gii thch bi phng trnh hi quy, tuy nhin mc
gii thch ca m hnh l khng cao. Kt qu nghin cu ny ging vi , cc nghin
cu tng t ca Yuen-Ling et al. (2008) Malaysia, Mohammad v Hussain (2010),
v Shahbaz (2012) Pakistan, Shirvani v Wilbratte (1997) M v cc nc G7,
cng nh Kharroubi (2011) 20 quc gia OECD.
T d liu thu thp c trong qu trnh nghin cu t qu 1/2000 n qu 1/2013 ta
thy rng t gi thc v t gi danh ngha gn nh l bng nhau trong giai on t qu
1/2000 n qu 4/2004, sau t gi danh ngha tng ln qua cc nm tuy nhin t gi
thc li gim v khong cch gi t gi danh ngha vi t gi thc cng cao. Vi chnh
sch duy tr t gi ca Vit Nam hin nay ch dao ng trong mt bin hp, c th
ni gn nh l c nh iu ny gp phn vo kim ch lm pht, tuy nhin lm pht
Vit Nam vn cao hn ca M v cc nc c quan h thng mi ch yu ca Vit
Nam. Chnh nhng iu ny lm cho ng tin Vit Nam ang b nh gi cao so
vi M v cc nc c quan h thng mi ca Vit Nam.
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Hnh 4.2: th REER _ NEER

REER - NEER
Q1-2000
Q3-2000
Q1-2001
Q3-2001
Q1-2002
Q3-2002
Q1-2003
Q3-2003
Q1-2004
Q3-2004
Q1-2005
Q3-2005
Q1-2006
Q3-2006
Q1-2007
Q3-2007
Q1-2008
Q3-2008
Q1-2009
Q3-2009
Q1-2010
Q3-2010
Q1-2011
Q3-2011
Q1-2012
Q3-2012
Q1-2013
200
180
160
140
120
100
80
60
40
20
0
NEER
REER
Hnh 4.3: th RER - USD
RER - USD
160
140
120
100
80
60
40
20
0
RER/USD
USD
Chnh sch t gi l mt vn nhy cm i vi nn kinh t v x hi ca Vit Nam,
n lin quan n hng lot cc cu trc ca nn kinh t, chnh tr v x hi. Do khi

iu chnh chnh sch t gi cn phi iu chnh cc chnh sch v m khc i km.
Trn thc t t d liu nghin cu cho thy t gi thc ca Vit Nam ang b nh gi
cao, mc d l t gi danh ngha tng ln, thm vo l cc iu chnh nn kinh t v
m cha tht ph hp cng gp phn vo lm cho xut khu gim.
Kt qu nghin cu ny cho thy vic ph gi ng tin mt cch ring l s c tc
ng khng ln ti cn cn thng mi ca Vit Nam. Theo kin ch quan ca ngi
thc hin cho rng l do t gi thc c tc ng khng ln n cn cn thng mi l
do cc nguyn nhn sau:
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Cc mt hng xut khu ca Vit Nam l mt hng th khng c hm lng cht
xm cao.
i vi cc mt hng xut khu ch lc nh dt may, giy da, nng sn th khng
c ngnh cng nghip ph tr trong nc m phn ln cc nguyn vt liu u phi

nhp t nc ngoi. Chnh v vy nn hng xut khu ca Vit Nam ra nc ngoi
chng khc no l ly cng lm li, ng thi chnh v cc nguyn ph liu phn ln
iu nhp khu nn c tc ng khng nh ti gi xut khu, do lm gim kh nng
cnh tranh ca hng ha Vit Nam trn th trng th gii.
Vit Nam ang trong giai on pht trin ang cn rt nhiu trang thit b- cng
ngh nhp v phc v cho mc tiu cng nghip ha hin i ha iu ny cng gp

phn lm tng nhp siu.
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5. KT LUN V GI CHNH SCH

5.1. Kt lun
Bi nghin cu ny xem xt nh hng ca t gi thc ln cn cn thng mi Vit
Nam. Cc phng php kim tra kinh t lng cho thy rng tt c cc bin l tng
quan bc 1 v hi quy. Trong thi gian ngn hn ch ra rng m hnh cn cn thng
mi c iu chnh tr li cn bng tr li trong di hn sau thi gian bin ng ngn
hn. Mc d c bng chng cn cn thng mi c ci thin theo sau ph gi ng
tin Vit Nam, tuy nhin mi quan h ny l yu th hin mc gii thch ca m
hnh l 55,5% sau khi iu chnh ( ngha mnh nm khi m hnh c ngha gii thch
t 80% tr ln ). Thm vo hm phn ng khng th thit lp s nh hng ca
ng cong J Vit Nam.
Kt qu nghin cu cho thy vic ph gi ng tin l c nh hng ti cn cn thng
mi trong ngn hn v di hn. Trong ngn hn nh hng tr mnh qu 2 ca thi
k nghin cu i vi t gi thc REER lm cn cn thng mi gim, trong di hn
th c ci thin. ng thi nghin cu cng ch r ra l ng tin Vit Nam ang b
nh gi cao so vi cc i tc thng mi, iu ny lm gim xut khu ca Vit Nam
thm ch lm cho cn cn thng mi thm ht trm trng.
Nghin cu cho thy rng mc d bng chng mi quan h ca cn cn thng mi v
t gi thc trong di hn nhng bng chng yu nguyn nhn gia hai bin. Do vy
hm khi iu chnh t gi thc mt mnh, n s nh hng khng ln ti cn cn
thng mi Vit Nam m khuyn ngh khi iu chnh chnh sch t gi nn km theo
cc chnh sch v m khc.
T cc kt lun trn cho thy Vit Nam cn phi ch ng ph gi ng tin ci
thin xut khu, tuy nhin vic ph gi ng tin phi nh th no l hp l. Khi ph
gi ng tin cn phi i km cc chnh sch v m khc nh n cng, li sut, lm
pht, GDP
5.2. Gi cc chnh sch

T nhng phn tch trn, khuyn ngh i vi vic hoch nh chnh sch t gi ca
Vit Nam l:
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Tng bin dao ng ca t gi, tp trung pht trin th trng ti chnh vng mnh
vi vai tr nh nc l ch o. S dng cc cng c phi sinh trong qun l ri ro ti
chnh, nh nc cho php s dng cc cng ny trong doanh nghip qun l ri ro
ti chnh, nhng nh nc cng cn phi hon thin cc c s php l v nng lc qun
l trnh trng hp s dng cc cng c phi sinh u c lm nh hng ti
nn ti chnh.
Hng xut khu ch yu ca Vit Nam l nng sn, thy sn, hng dt may, giy da.
Trong khi cc ngnh ny phn ln phi nhp khu nguyn vt liu, ph liu v nc
sn xut lm cho nng lc cnh tranh hng ha thp. V vy cn tp trung pht trin
cc ngnh cng nghip ph tr sn xut nguyn ph liu ph v cho cc ngnh xut
kh, nh nc cn c cc chnh sch khuyn khch, h tr cho cc ngnh h tr ny.
Ci thin mi trng php ch, nng cao nng lc qun l phc v cho hot ng sn
xut kinh doanh.
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6.
TI LIU THAM KHO
Abel, A. B.; Bernanke, B. S. and Crousore, D. (2008) Macroeconomics, Sixth Edition,

Boston: Pearson Education, Inc.
Ahmad, J. &Yang, J. (2004) Estimation of the J-curve in China, Economics Series East
West Center Working Papers.
Akpansung, A. O. (2011) Effects of Exchange Rate Devaluation on Industrial Growth
in Nigeria. International Journal of Economics and Management, Vol.3, No.1,pp.36 44
Bahmani-Oskooee, M. (1992) What Are the Long-Run Determinants of the U.S.
Trade Balance? Journal of Post Keynesian Economics, Fall, pp.85-98
Bahmani-Oskooee, M. (1994) Short-Run versus Long-Run Effects of Devaluation:
Error Correction Modelling and Cointegration, Eastern Economic Journal, Fall, pp.453-64.
Bahmani-Oskooee, M. & Ali, M. K. (2007) The J-Curve in the Emerging Economies of
Eastern Europe, The International Trade Journal,Vol.19,pp.165178.
Bhattarai, K. R. &Armah, M. K. (2005) The Effects of Exchange Rate on the Trade
Balance in Ghana: Evidence from Cointegration Analysis, Research Memorandum 52,
Centre for Economic Policy Business School, University of Hull, United Kingdom, August
Dunn, R. M. &Mutti, J. H. (2004) International Economics, Sixth Edition, London:
Routledge, Taylor & Francis Group, pp. 563
Goldstein, M. &Mohsin, S. K. (1985) Income and Price Effects in Foreign Trade, in:
Handbook of International Economics, Vol. II, pp.1041105.
Gylfason, T. &Risager, O. (1984) Does Devaluation Improve the Current Account?
European Economics Review, June, pp.37-64.
Haynes, S. E. & Stone, J. A. (1982) Impact of the terms of Trade on the U.S. Trade Balance:
A Reexamination, The Review of Economics and Statistics, November, pp.702-706.
Himarios, D. (1989) Do Devaluations Improve the Trade Balance? The Evidence
Revisited Economic Inquiry, January, pp.143-168.
Johansen, S.&Juselius, K. (1990) Maximum Likelihood Estimation and Inference on
Cointegration with Applications to the Demand for Money, Oxford Bulletin of
Economics and Statistics, May, pp.169-210.
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-25-

Kharroubi, E. (2011) The Trade Balance and the Real Exchange Rate, BIS Quarterly
Review, September, enisse.kharroubi@bis.org
Magee, S. P. (1973) Currency Contracts, Pass Through, and Devaluation. Brookings
Papers of Economic Activity, Vol.1,pp.303-325.
Miles, M. A. (1979) The Effects of Devaluation on the Trade Balance and the Balance of
Payments: Some New Results, Journal of Political Economy, June, pp.600 - 620.
Miles, D. & Scott, A. (2005) Macroeconomics: Understanding the Wealth of Nations.
Second Edition, London: John Wiley & Sons, Inc., pp. 519
Mohammad, S. D. &Hussain, A. (2010) The role of Exchange Rate on Balance of
Trade: Empirical from Pakistan, European Journal of Social Sciences, Vol.14, No.1, pp.150
156
Petrovic, P. &Gligoric, M. (2010) Exchange Rate and Trade Balance: J-curve
Effect PANOECONOMICUS, Vol.1,pp.23-41
Phillips, P. C. B. (1986) Understanding Spurious Regressions in Econometrics, Journal of
Econometrics, December, pp.311-40.
Rose, A. K. (1991) The Role of Exchange Rates in a Popular Model of International Trade:
Does the Marshall-Lerner Condition Hold? Journal of International Economics, May,
pp.301- 316.
Rose, A. K. &Yellen, J. L. (1989) Is There a J-Curve? Journal of Monetary Economics,
July, pp.53-68.
Shabahz, M., Awan, R. & Ahmad, K. (2011) The Exchange Value of the Pakistan Rupee
and Pakistan Trade Balance: An ARDL Bounds Testing Approach,The Journal of
Developing Areas, Vol. 44, No. 2, pp.69-93.
Shabahz, M., Jalil, A. & Islam, F. (2012) Real Exchange Rate Changes and the Trade
Balance: The Evidence from Pakistan,The International Trade Journal, Vol. 26, No. 2,
pp.139-153. Shirvani, H. &Wilbratte, B. (1997) Relationship between the Real Exchange
Rate and the Trade Balance: An Empirical Reassessment, International Economic Journal,
Vol.11, No.1,pp. 39 -50
Stucka, Tihomir (2003) The Impact of Exchange rate Changes on the Trade Balance in
Croatia Croatian National Bank Working Paper Series, No. W 11, October.
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Sugema, I. (2005) The Determinants of Trade Balance and Adjustment to the Crisis
in Indonesia. Centre for International Economics Studies, No.0508.
Thorbecke, W. (2006) The Effect of Exchange Rate Changes on Trade in East Asia.
RIETI Discussion Paper Series, 05-E-009
Wilson, P. &Kua, C.T. (2001) Exchange Rates and the Trade Balance: The Case of
Singapore 1970 to 1996. Journal of Asian Economics,Vol.12, pp.47-63.
Yuen-Ling, N., Wai-Mun, H. &Geoi-Mei, T. (2008) Real Exchange Rate and Trade
Balance Relationship: An Empirical Study on Malaysia, International Journal of Business
and Management, Vol.3, No.8,pp.130 -137
Cc trang web tham kho

http://aric.adb.org
https://elibrary-data.imf.org
http://www.oecd.org
http://www.oanda.com
http://www.gso.gov.vn
http://www.stats.gov.cn
http://www.singstat.gov.sg
http://www.worldbank.org
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PHC LC
Ph lc 1. Cc khi nim:
T gi danh ngha: l t gi c s dng hng ngy trong giao dch trn th trng ngoi hi,
n chnh l gi ca mt ng tin c biu th thng qua ng tin khc m cha cp n
tng quan sc mua hng ha v dch v gia chng.
T gi danh ngha a phng (NEERNominal Efective Exchange rate)
NEER khng phi l t gi, n l mt ch s c tnh bng cch chn ra mt s loi ngoi
t c trng (r tin t) v tnh t gi trung bnh cc t gi danh ngha ca cc ng tin c
tham gia vo r tin t vi t trng t gi tng ng.
T gi thc song phng (RER) l t gi danh ngha c iu chnh
theo mc chnh lch lm pht gia hai nc, n l ch s th hin sc mua ca ng ni t so
vi ng ngoi t. V th c th xem t gi thc l thc o sc cnh tranh trong mu dch
quc t ca mt quc gia so vi mt quc gia khc.
T gi thc a phng l mt ch s phn nh mc cnh tranh v gi c ca quc gia v l
c s nh gi ng ni t b nh gi cao hay thp. Ch s ny rt hu ch cho vic t
c mc tiu thch hp trong c ch t gi hn hp gia linh hot v c nh. V vy, n c
nhn nhn nh l d liu c bn cho qu trnh thc thi chnh sch.
T gi thc a phng c tnh ton nh ra gi tr thc ca ng ni t so vi cc ngoi
t (r ngoi t). Bng cch iu chnh t gi theo chnh lch lm pht quc ni so vi lm pht
cc i tc tc thng mi, ta s c t gi thc song phng vi tng ng ngoi t. Sau
xc nh quyn s (mc nh hng i vi t gi thc thng qua t trng thng mi ca
trong r tin t ti thi im t = i.
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Phc lc 2: d liu thu thp ( chi tit theo file d liu nh km)
D liu t gi thc REER, GDP Vit Nam, GDP nc ngoi, t s xut khu/ nhp khu
REER
GDP_VN
GDP_WORLD
Q1-2000
100,0000
105,6247
101,3090
0,7921
Q2-2000
101,2074
106,7184
101,3449
0,7395
Q3-2000
101,3878
106,9155
101,1628
0,8895
Q4-2000
100,8740
107,5622
100,3939
0,7017
Q1-2001
82,8471
107,1425
99,4984
0,7989
Q2-2001
99,3645
106,9004
99,0977
0,8279
Q3-2001
97,1451
106,9402
97,9953
0,8594
Q4-2001
94,2226
106,6798
98,6604
0,6339
Q1-2002
92,4203
106,5875
99,9888
0,7192
Q2-2002
99,2984
107,0399
101,0034
0,7528
Q3-2002
98,1135
107,1128
100,9937
0,8536
Q4-2002
99,7160
107,4326
100,4346
0,8532
Q1-2003
99,2876
106,7960
100,5949
0,8029
Q2-2003
100,8281
106,4593
99,9946
0,6673
Q3-2003
102,9891
108,1128
101,9706
1,2829
Q4-2003
106,6377
107,8831
103,7030
0,6818
Q1-2004
105,6898
106,9821
103,5912
0,8562
Q2-2004
100,8089
107,0796
104,0673
0,7271
Q3-2004
95,5312
108,0034
102,7576
0,3496
Q4-2004
108,3956
108,8139
103,2502
0,7168
Q1-2005
101,1203
107,4437
103,7216
0,4389
Q2-2005
98,4323
108,0414
105,2435
0,3330
Q3-2005
101,4786
109,2610
104,4480
1,0202
Q4-2005
99,0173
108,7820
104,8903
0,8219
Q1-2006
91,4692
107,3496
106,1251
0,4380
Q2-2006
95,9118
107,4187
105,8321
0,8479
Q3-2006
96,7123
108,7776
105,3118
0,7476
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XK/NK

Q4-2006
96,0541
109,0751
106,1184
0,7476
Q1-2007
94,9844
107,6588
106,9202
0,6884
Q2-2007
97,4957
107,9884
107,9021
0,6408
Q3-2007
97,4406
108,7299
107,8665
0,6994
Q4-2007
97,3637
109,1600
107,5514
0,6123
Q1-2008
95,3207
107,5207
106,8222
0,5799
Q2-2008
91,5790
105,8209
104,9306
0,5498
Q3-2008
82,6899
106,4724
103,6225
0,7420
Q4-2008
85,1588
105,8249
100,9120
0,7414
Q1-2009
83,8692
103,1400
99,6402
0,8123
Q2-2009
86,4203
104,4600
102,1913
0,6544
Q3-2009
89,1360
106,0400
103,7797
0,6425
Q4-2009
91,3392
106,9000
106,2025
0,5868
Q1-2010
91,4212
105,8400
107,8755
0,7401
Q2-2010
88,9132
106,4400
107,4916
0,6580
Q3-2010
94,7206
107,1800
106,5522
0,7563
Q4-2010
93,8592
107,3400
106,6007
0,6471
Q1-2011
96,8367
105,5700
105,9325
0,7185
Q2-2011
91,5800
105,6800
105,1446
0,6674
Q3-2011
87,7903
106,0700
105,9305
0,8077
Q4-2011
87,7518
106,1000
105,1071
0,7453
Q1-2012
85,2333
104,7500
105,3287
0,8190
Q2-2012
85,6832
104,8000
105,7790
0,7806
Q3-2012
85,6294
105,0500
105,3723
0,8816
Q4-2012
84,5556
105,4400
106,7635
0,7472
Q1-2013
104,7600
105,8382
81,4293
0,6385
D liu sau khi chuyn sang logarit t nhin.
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lnREER
lnGDP_VN
lnGDP_WORLD
lnXK/NK
Q1-2000
4,6052
4,6599
4,6182
-0,2331
Q2-2000
4,6172
4,6702
4,6185
-0,3017
Q3-2000
4,6190
4,6720
4,6167
-0,1171
Q4-2000
4,6139
4,6781
4,6091
-0,3542
Q1-2001
4,4170
4,6742
4,6001
-0,2245
Q2-2001
4,5988
4,6719
4,5961
-0,1889
Q3-2001
4,5762
4,6723
4,5849
-0,1516
Q4-2001
4,5457
4,6698
4,5917
-0,4559
Q1-2002
4,5263
4,6690
4,6051
-0,3297
Q2-2002
4,5981
4,6732
4,6152
-0,2839
Q3-2002
4,5861
4,6739
4,6151
-0,1583
Q4-2002
4,6023
4,6769
4,6095
-0,1587
Q1-2003
4,5980
4,6709
4,6111
-0,2196
Q2-2003
4,6134
4,6678
4,6051
-0,4046
Q3-2003
4,6346
4,6832
4,6247
0,2491
Q4-2003
4,6694
4,6810
4,6415
-0,3830
Q1-2004
4,6605
4,6727
4,6405
-0,1552
Q2-2004
4,6132
4,6736
4,6450
-0,3187
Q3-2004
4,5595
4,6822
4,6324
-1,0509
Q4-2004
4,6858
4,6896
4,6372
-0,3330
Q1-2005
4,6163
4,6770
4,6417
-0,8236
Q2-2005
4,5894
4,6825
4,6563
-1,0998
Q3-2005
4,6198
4,6937
4,6487
0,0200
Q4-2005
4,5953
4,6893
4,6529
-0,1961
Q1-2006
4,5160
4,6761
4,6646
-0,8256
Q2-2006
4,5634
4,6767
4,6619
-0,1650
Q3-2006
4,5717
4,6893
4,6569
-0,2909
Q4-2006
4,5649
4,6920
4,6646
-0,2909
Q1-2007
4,5537
4,6790
4,6721
-0,3734
Q2-2007
4,5798
4,6820
4,6812
-0,4451
Q3-2007
4,5792
4,6889
4,6809
-0,3575
Q4-2007
4,5785
4,6928
4,6780
-0,4905
Q1-2008
4,5572
4,6777
4,6712
-0,5448
Q2-2008
4,5172
4,6617
4,6533
-0,5983
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Q3-2008
4,4151
4,6679
4,6408
-0,2984
Q4-2008
4,4445
4,6618
4,6142
-0,2992
Q1-2009
4,4293
4,6361
4,6016
-0,2078
Q2-2009
4,4592
4,6488
4,6268
-0,4241
Q3-2009
4,4902
4,6638
4,6423
-0,4424
Q4-2009
4,5146
4,6719
4,6653
-0,5331
Q1-2010
4,5155
4,6619
4,6810
-0,3009
Q2-2010
4,4877
4,6676
4,6774
-0,4185
Q3-2010
4,5509
4,6745
4,6686
-0,2793
Q4-2010
4,5418
4,6760
4,6691
-0,4353
Q1-2011
4,5730
4,6594
4,6628
-0,3306
Q2-2011
4,5172
4,6604
4,6553
-0,4044
Q3-2011
4,4750
4,6641
4,6628
-0,2136
Q4-2011
4,4745
4,6644
4,6550
-0,2940
Q1-2012
4,4454
4,6516
4,6571
-0,1997
Q2-2012
4,4507
4,6521
4,6614
-0,2477
Q3-2012
4,4500
4,6544
4,6575
-0,1261
Q4-2012
4,4374
4,6581
4,6706
-0,2915
Q1-2013
4,6517
4,6619
4,3997
-0,4486
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Ph lc 3 : kt qu kim nh unit root ADF

Null Hypothesis: BOT has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic - based on AIC, maxlag=3)
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-2,575084
0,1050
Test critical values:
1% level
-3,571310
5% level
-2,922449
10% level
-2,599224
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(BOT)
Method: Least Squares
Date: 09/30/13 Time: 01:07
Sample (adjusted): 2000Q4 2012Q4
Included observations: 49 after adjustments
Variable
Coefficient
Std. Error
t-Statistic
Prob.
BOT(-1)
-0,593970
0,230661
-2,575084
0,0134
D(BOT(-1))
-0,381559
0,193418
-1,972722
0,0547
D(BOT(-2))
-0,356815
0,139079
-2,565556
0,0137
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C
-0,208069
0,086648
-2,401331
S.E. of regression
0,225384
Akaike info criterion
Sum squared resid
2,285904
Schwarz criterion
Log likelihood
5,565948
Hannan-Quinn criter,
Durbin-Watson stat
1,846853
0,0205
-0,063916
0,090518
-0,005324
kim nh level cho thy chui d liu BOT l khng dng

Null Hypothesis: D(BOT) has a unit root
Exogenous: Constant
t-Statistic
Prob.*
-11,01846
0,0000
1% level
-3,571310
5% level
-2,922449
10% level
-2,599224
*MacKinnon (1996) one-sided p-values,

Dependent Variable: D(BOT,2)
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Date: 09/30/13 Time: 01:08
Variable
Coefficient
D(BOT(-1))
-2,337125
D(BOT(-1),2)
0,556006
Std, Error
t-Statistic
Prob,
0,212110 -11,01846
0,0000
0,122454
4,540549
0,0000
-0,000924
0,034114 -0,027085
0,9785
S,E, of regression
0,238781
0,032728
Sum squared resid
2,622748
Schwarz criterion
0,148554
Log likelihood
2,198156
0,076672
Durbin-Watson stat
1,927618
kim nh sai phn bc mt cho thy chui d liu BOT l dng

Null Hypothesis: REER has a unit root
Exogenous: Constant
t-Statistic
Prob.*
-1.886674
0.3358
1% level
-3.568308
5% level
-2.921175
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10% level
-2.598551

Dependent Variable: D(REER)
Date: 09/30/13 Time: 01:12
Variable
Coefficient
Std. Error
t-Statistic
Prob.
REER(-1)
-0,218038
0,115568 -1,886674
0,0654
D(REER(-1))
-0,250477
0,144315 -1,735629
0,0892
0,988016
0,526236
1,877517
0,0667
S.E. of regression
0,050018
-3,094750
Sum squared resid
0,117584
Schwarz criterion
-2,980029
Log likelihood
80,36876
-3,051064
Durbin-Watson stat
2,076393
kim nh cp level cho thy chui d liu REER l khng dng
SVTT: Nguyn Vn Thnh
-36-
Null Hypothesis: D(REER) has a unit root

Exogenous: Constant
t-Statistic
Prob.*
-7,128629
0,0000
1% level
-3,571310
5% level
-2,922449
10% level
-2,599224

Dependent Variable: D(REER,2)
Date: 09/30/13 Time: 01:13
Variable
Coefficient
D(REER(-1))
-1,687273
D(REER(-1),2)
0,234843
-0,005989
SVTT: Nguyn Vn Thnh
Std. Error
t-Statistic
Prob.
0,236690 -7,128629
0,0000
0,143168
1,640329
0,1078
0,007319 -0,818238
0,4174
-37-

R-squared
0,700678
Mean dependent var
-0,000294
Adjusted R-squared
0,687664
S.D. dependent var
0,091156
S.E. of regression
0,050944
-3,056900
Sum squared resid
0,119384
Schwarz criterion
-2,941075
Log likelihood
77,89406
Hannan-Quinn criter.
-3,012956
F-statistic
53,84042
Durbin-Watson stat
2,054620
Prob(F-statistic)
0,000000
kim nh sai phn bc mt cho thy chui d liu REER l dng
Null Hypothesis: GDP_VN has a unit root

Exogenous: Constant
t-Statistic
Prob.*
-1,261812
0,6399
1% level
-3,571310
5% level
-2,922449
10% level
-2,599224
SVTT: Nguyn Vn Thnh
-38-

Dependent Variable: D(GDP_VN)
Date: 09/30/13 Time: 01:14
Coefficien
Variable
GDP_VN(-1)
-0,137144
D(GDP_VN(-1))
0,064924
D(GDP_VN(-2))
-0,470956
0,640451
Std, Error
t-Statistic
Prob,
0,108688 -1,261812
0,2135
0,136043
0,477232
0,6355
0,133960 -3,515657
0,0010
0,507862
1,261074
0,2138
R-squared
0,326862
Mean dependent var
-0,000284
Adjusted R-squared
0,281987
S,D, dependent var
0,008924
S,E, of regression
0,007562
-6,853248
Sum squared resid
0,002573
Schwarz criterion
-6,698814
Log likelihood
171,9046
-6,794656
F-statistic
7,283705
Durbin-Watson stat
1,925638
kim nh cp bc level cho thy chui d liu GDP_VN l khng dng
SVTT: Nguyn Vn Thnh
-39-

Null Hypothesis: D(GDP_VN) has a unit root
Exogenous: Constant
t-Statistic
Prob,*
-2,944603
0,0479
1% level
-3,577723
5% level
-2,925169
10% level
-2,600658

Dependent Variable: D(GDP_VN,2)
Date: 09/30/13 Time: 01:15
Variable
Coefficient
D(GDP_VN(-1))
-1,065344
D(GDP_VN(-1),2)
0,044858
SVTT: Nguyn Vn Thnh
Std, Error
t-Statistic
Prob,
0,361795 -2,944603
0,0053
0,290488
0,8780
-40-
0,154421

D(GDP_VN(-2),2)
-0,338219
0,203204 -1,664430
0,1035
D(GDP_VN(-3),2)
-0,350742
0,141685 -2,475499
0,0174
-0,000552
0,001061 -0,520888
0,6052
S,E, of regression
0,007217
-6,924415
Sum squared resid
0,002188
Schwarz criterion
-6,727591
Log likelihood
167,7238
-6,850349
Durbin-Watson stat
1,903455
kim nh sai phn bc mt cho thy chui d liu GDP_VN l dng
Null Hypothesis: GDP_W has a unit root

Exogenous: Constant
t-Statistic
Prob,*
-2,006248
0,2833
1% level
-3,568308
5% level
-2,921175
10% level
-2,598551
SVTT: Nguyn Vn Thnh
-41-

Dependent Variable: D(GDP_W)
Date: 09/30/13 Time: 01:19
Coefficien
Variable
GDP_W(-1)
-0,106149
D(GDP_W(-1))
C
Std, Error
t-Statistic
Prob,
0,052909 -2,006248
0,0506
0,414814
0,134732
3,078799
0,0035
0,493423
0,245571
2,009291
0,0503
R-squared
0,197958
Mean dependent var
0,001042
Adjusted R-squared
0,163829
S,D, dependent var
0,010816
S,E, of regression
0,009891
-6,336353
Sum squared resid
0,004598
Schwarz criterion
-6,221632
Log likelihood
161,4088
-6,292667
F-statistic
5,800228
Durbin-Watson stat
1,965581
Prob(F-statistic)
0,005606
kim nh cp level cho thy chui d liu GDP_W l khng dng
SVTT: Nguyn Vn Thnh
-42-

Null Hypothesis: D(GDP_W) has a unit root
Exogenous: Constant
t-Statistic
Prob,*
-5,011397
0,0001
1% level
-3,577723
5% level
-2,925169
10% level
-2,600658

Dependent Variable: D(GDP_W,2)
Date: 09/30/13 Time: 01:20
Variable
Coefficient
D(GDP_W(-1))
-1,092468
D(GDP_W(-1),2)
0,392107
SVTT: Nguyn Vn Thnh
Std, Error
t-Statistic
Prob,
0,217997 -5,011397
0,0000
0,188491
0,0436
-43-
2,080243

D(GDP_W(-2),2)
0,388679
0,167902
2,314918
0,0256
D(GDP_W(-3),2)
0,378190
0,145119
2,606063
0,0126
0,001499
0,001449
1,034140
0,3070
R-squared
0,434763
Mean dependent var
0,000470
Adjusted R-squared
0,380931
S,D, dependent var
0,012511
S,E, of regression
0,009844
-6,303630
Sum squared resid
0,004070
Schwarz criterion
-6,106806
Log likelihood
153,1353
-6,229564
F-statistic
8,076287
Durbin-Watson stat
2,001559
Prob(F-statistic)
0,000063
Kim nh sai phn bc mt cho thy chui d liu GDP_W l dng
ph lc Kim tra ng tch hp

Date: 10/20/13 Time: 15:51
Trend assumption: Quadratic deterministic trend
Series: BOT REER GDP_VN GDP_W
Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesize
d
Trace
No, of CE(s) Eigenvalue
Statistic
0,05
Critical
Value
None *
At most 1
At most 2
At most 3 *
80,09137
24,99172
13,42623
5,511944
55,24578
35,01090
18,39771
3,841466
0,675180
0,210243
0,149147
0,106393
SVTT: Nguyn Vn Thnh
-44-
Prob,**
0,0001
0,3841
0,2158
0,0189
Trace test indicates 1 cointegrating eqn(s) at the 0,05 level

* denotes rejection of the hypothesis at the 0,05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesize
d
Max-Eigen
No, of CE(s) Eigenvalue
Statistic
0,05
Critical
Value
None *
At most 1
At most 2
At most 3 *
55,09965
11,56549
7,914287
5,511944
30,81507
24,25202
17,14769
3,841466
0,675180
0,210243
0,149147
0,106393
Prob,**
0,0000
0,7994
0,6123
0,0189
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0,05 level

* denotes rejection of the hypothesis at the 0,05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
BOT
-2,203436
-6,597393
1,846961
-4,585515
REER
8,640125
1,642608
-28,57191
-18,67116
GDP_VN
-262,9231
-87,96982
-37,99886
56,71637
GDP_W
129,3650
-17,81957
54,99855
28,51080
Unrestricted Adjustment Coefficients (alpha):

D(BOT)
D(REER)
D(GDP_VN)
D(GDP_W)
-0,052467
-0,014234
0,002271
-0,003975
1 Cointegrating
Equation(s):
0,057247
0,003979
0,002009
0,002350
-0,010544
0,015942
0,000825
4,68E-05
Log
likelihood
468,1790
0,044827
0,000596
-0,000899
-0,001870
Normalized cointegrating coefficients (standard error in parentheses)

BOT
REER
GDP_VN
GDP_W
1,000000
-3,921205
119,3241
-58,71059
(1,79976)
(13,7097)
(7,28625)
Adjustment coefficients (standard error in parentheses)
D(BOT)
0,115607
(0,06833)
D(REER)
0,031363
SVTT: Nguyn Vn Thnh
-45-
D(GDP_VN)
D(GDP_W)
(0,01550)
-0,005004
(0,00208)
0,008759
(0,00292)
2 Cointegrating
Equation(s):
Log
likelihood
473,9618

BOT
REER
GDP_VN
GDP_W
1,000000
0,000000
6,147860
6,864731
(13,2371)
(7,13030)
0,000000
1,000000
-28,86262
16,72326
(4,93629)
(2,65899)
D(BOT)
-0,262072
-0,359286
(0,20580)
(0,26022)
D(REER)
0,005109
-0,116445
(0,04872)
(0,06160)
D(GDP_VN) -0,018261
0,022923
(0,00616)
(0,00779)
D(GDP_W) -0,006743
-0,030487
(0,00883)
(0,01116)
3 Cointegrating
Equation(s):
Log
likelihood
477,9189

BOT
REER
GDP_VN
GDP_W
1,000000
0,000000
0,000000
10,52339
(3,24965)
0,000000
1,000000
0,000000
-0,453198
(0,81717)
0,000000
0,000000
1,000000
-0,595111
(0,04300)
D(BOT)
-0,281547
-0,058017
9,159412
(0,21258)
(0,88306)
(8,26615)
D(REER)
0,034553
-0,571925
2,786564
(0,04684)
(0,19459)
(1,82155)
D(GDP_VN) -0,016738
-0,000640
-0,805228
(0,00630)
(0,02617)
(0,24497)
D(GDP_W) -0,006657
-0,031825
0,836688
(0,00913)
(0,03794)
(0,35516)
SVTT: Nguyn Vn Thnh
-46-
ph lc Kim nh nguyn nhn Granger

Pairwise Granger Causality Tests
Date: 10/20/13 Time: 16:17
Sample: 2000Q1 2012Q4
Lags: 2
Null Hypothesis:
Obs F-Statistic Probability
D(REER) does not Granger Cause D(BOT)

D(BOT) does not Granger Cause D(REER)
49
2,95246
1,39852
0,06263
0,25772
D(GDP_VN) does not Granger Cause D(BOT)

D(BOT) does not Granger Cause D(GDP_VN)
49
1,34746
1,09644
0,27041
0,34301
D(GDP_W) does not Granger Cause D(BOT)

D(BOT) does not Granger Cause D(GDP_W)
49
1,80700
0,18325
0,17612
0,83319
D(GDP_VN) does not Granger Cause D(REER)

D(REER) does not Granger Cause D(GDP_VN)
49
1,26743
1,05960
0,29163
0,35527
D(GDP_W) does not Granger Cause D(REER)

D(REER) does not Granger Cause D(GDP_W)
49
1,64717
4,70124
0,20425
0,01411
6,07090
0,51557
0,00470
0,60072
D(GDP_W) does not Granger Cause

D(GDP_VN)
49
D(GDP_VN) does not Granger Cause D(GDP_W)
Ph lc kim nh M hnh VECM
Vector Error Correction Estimates
Date: 10/20/13 Time: 16:42
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq:
CointEq1
BOT(-1)
1,000000
REER(-1)
-3,921205
(1,79976)
[-2,17874]
GDP_VN(-1)
119,3241
SVTT: Nguyn Vn Thnh
-47-
(13,7097)
[ 8,70364]
GDP_W(-1)
-58,71059
(7,28625)
[-8,05773]
@TREND(00Q1)
0,113413
-269,8620
D(GDP_VN
D(REER)
)
D(GDP_W)
Error Correction:
D(BOT)
CointEq1
0,115607
(0,06833)
[ 1,69186]
0,031363
(0,01550)
[ 2,02362]
-0,005004
(0,00208)
[-2,40672]
0,008759
(0,00292)
[ 2,99973]
D(BOT(-1))
-0,867042
(0,13478)
[-6,43295]
-0,043900
(0,03057)
[-1,43603]
0,001853
(0,00410)
[ 0,45185]
-0,008739
(0,00576)
[-1,51735]
D(BOT(-2))
-0,492561
(0,12817)
[-3,84297]
-0,057116
(0,02907)
[-1,96470]
-0,001334
(0,00390)
[-0,34214]
-0,007166
(0,00548)
[-1,30845]
D(REER(-1))
-0,346240
(0,68698)
[-0,50400]
-0,482341
(0,15582)
[-3,09556]
0,001894
(0,02090)
[ 0,09061]
0,054452
(0,02936)
[ 1,85486]
D(REER(-2))
-1,524141
(0,68367)
[-2,22935]
-0,211746
(0,15507)
[-1,36552]
0,024608
(0,02080)
[ 1,18288]
0,090721
(0,02921)
[ 3,10532]
D(GDP_VN(-1))
-2,570906
(5,52236)
[-0,46554]
-0,684941
(1,25255)
[-0,54684]
0,180757
(0,16804)
[ 1,07568]
-0,472893
(0,23598)
[-2,00392]
D(GDP_VN(-2))
-9,598354
(4,81441)
[-1,99367]
-0,862490
(1,09198)
[-0,78984]
-0,460142
(0,14650)
[-3,14096]
-0,293016
(0,20573)
[-1,42426]
D(GDP_W(-1))
-3,219388
(3,65224)
[-0,88148]
1,464411
(0,82838)
[ 1,76780]
-0,008086
(0,11113)
[-0,07276]
0,518198
(0,15607)
[ 3,32031]
D(GDP_W(-2))
11,63095
(4,25977)
1,193528
(0,96618)
0,061591
(0,12962)
0,159021
(0,18203)
SVTT: Nguyn Vn Thnh
-48-
[ 2,73042]
[ 1,23531]
[ 0,47517]
[ 0,87360]
-0,027415
(0,06775)
[-0,40464]
-0,003429
(0,01537)
[-0,22314]
0,001407
(0,00206)
[ 0,68237]
0,001019
(0,00290)
[ 0,35214]
@TREND(00Q1)
0,000399
(0,00226)
[ 0,17640]
-0,000186
(0,00051)
[-0,36241]
-6,21E-05
(6,9E-05)
[-0,90164]
-6,30E-06
(9,7E-05)
[-0,06509]
0,647742
0,555042
1,790690
0,217079
6,987538
11,54789
-0,022363
0,402332
-0,003558
0,325431
0,368900
0,202821
0,092122
0,049237
2,221231
84,24541
-2,989609
-2,564914
-0,003705
0,055146
0,566283
0,452147
0,001658
0,006605
4,961466
182,6737
-7,007090
-6,582396
-0,000284
0,008924
0,428760
0,278434
0,003270
0,009276
2,852198
166,0350
-6,327959
-5,903265
0,001100
0,010920
Determinant resid covariance (dof

adj,)
Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion
1,63E-13
5,90E-14
468,1790
-17,15016
-15,29695
R-squared
Adj, R-squared
Sum sq, resids
S,E, equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S,D, dependent
SVTT: Nguyn Vn Thnh
-49-

Ty Gia Thuc Va Can Can Thuong Mai: Nghien Cuu Thuc Nghiem Viet Nam

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Ty Gia Thuc Va Can Can Thuong Mai: Nghien Cuu Thuc Nghiem Viet Nam

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Trng i hoc Kinh T Tp.

KHA LUN TT NGHIP

NH HNG CA T GI THC LN CN CN THNG

GVHD: PGS.TS. Trn Th Thy Linh

TP.HCM, ngy 18 thng 10 nm 2013

Trng i hoc Kinh T Tp.HCM

KHA LUN TT NGHIP

NH HNG CA T GI THC LN CN CN THNG

GVHD: PGS.TS. Trn Th Thy Linh

TP.HCM, ngy 18 thng 10 nm 2013

nh hng ca t gi thc ln cn cn thng mi : nghin cu thc nghim Vit Nam

Li u tin ti xin chn thnh cm n c Trn Th Thy Linh hng dn tn

SVTT: Nguyn Vn Thnh

GVHD: PG. TS. Trn Th Thy Linh

nh hng ca t gi thc ln cn cn thng mi : nghin cu thc nghim Vit Nam

NHN XT CA GIO VIN HNG DN

SVTT: Nguyn Vn Thnh

GVHD: PG. TS. Trn Th Thy Linh

nh hng ca t gi thc ln cn cn thng mi : nghin cu thc nghim Vit Nam

Danh mc cc t vit tt ........................................................................................................ v

GII THIU .................................................................................................................. 2

1.1. L do chn ti nghin cu ..................................................................................... 2

TNG QUAN CC NGHIN CU TRC Y ................................................... 4

2.1. Khung l thuyt ........................................................................................................... 4

PHNG PHP NGHIN CU V D LIU ...................................................... 11

NI DUNG V CC KT QU NGHIN CU .................................................... 14

SVTT: Nguyn Vn Thnh

GVHD: PG. TS. Trn Th Thy Linh

nh hng ca t gi thc ln cn cn thng mi : nghin cu thc nghim Vit Nam

Tho lun v cc kt qu nghin cu t c .............................................. 20

SVTT: Nguyn Vn Thnh

GVHD: PG. TS. Trn Th Thy Linh

nh hng ca t gi thc ln cn cn thng mi : nghin cu thc nghim Vit Nam

SVTT: Nguyn Vn Thnh

GVHD: PG. TS. Trn Th Thy Linh

nh hng ca t gi thc ln cn cn thng mi : nghin cu thc nghim Vit Nam

SVTT: Nguyn Vn Thnh

GVHD: PG. TS. Trn Th Thy Linh

nh hng ca t gi thc ln cn cn thng mi : nghin cu thc nghim Vit Nam

DANH MC CC BNG BIU

SVTT: Nguyn Vn Thnh

GVHD: PG. TS. Trn Th Thy Linh

nh hng ca t gi thc ln cn cn thng mi : nghin cu thc nghim Vit Nam

NH HNG CA T GI THC LN CN CN THNG

SVTT: Nguyn Vn Thnh

GVHD: PG. TS. Trn Th Thy Linh

nh hng ca t gi thc ln cn cn thng mi : nghin cu thc nghim Vit Nam

1.2. Mc tiu nghin cu v cu hi nghin cu

Nhiu nghin cu thc nghim tm ra s h tr hay bc b gi thit rng s gim gi

GVHD: PG. TS. Trn Th Thy Linh

nh hng ca t gi thc ln cn cn thng mi : nghin cu thc nghim Vit Nam

gii quyt cho mc tiu ca bi nghin cu cu hi sau y cn c tr li.

SVTT: Nguyn Vn Thnh

GVHD: PG. TS. Trn Th Thy Linh

nh hng ca t gi thc ln cn cn thng mi : nghin cu thc nghim Vit Nam

2. TNG QUAN CC NGHIN CU TRC Y

Cn cn thng mi c hiu l cn cn o lng chnh lch gia gi tr xut khu

T gi thc xem l t l gia hng ha v dch v trong nc giao dch vi cc nh sn

SVTT: Nguyn Vn Thnh

GVHD: PG. TS. Trn Th Thy Linh

nh hng ca t gi thc ln cn cn thng mi : nghin cu thc nghim Vit Nam

Hnh 2.1 : Mi quan h gia t gi thc v xut khu rng

Xut khu rng<0