B GIO DC V O TO

TRNG I HC KINH T TP.HCM

-----------------
CNG TRNH D THI
GII THNG NGHIN CU KHOA HC SINH VIN
NH KINH T TR NM 2012


TN CNG TRNH:
XEM XT S TRUYN DN LI SUT, QUY LUT
CHNH SCH TIN T V S N NH V M
VIT NAM


THUC NHM NGNH: KHOA HC KINH T

MC LC
TM TT TI
LI M U ........................................................................................................................ 1
I. C S L THUYT: ......................................................................................................... 2
1.1. Nguyn tc Taylor (Taylor principle): .................................................................................... 2
1.2. M hnh gi cng nhc (Sticky price model): ......................................................................... 4
II. TNG QUAN CC NGHIN CU TRC Y: .......................................................... 4
2.1. p dng nguyn l Taylor vo chnh sch tin t: .................................................................. 4
2.2. S iu chnh ca li sut bn l trn thc nghim mt s khu vc in hnh: ................... 6
2.3. S iu chnh li sut bn l trong cc trng hp xy ra khng hong: ................................ 9
2.4. Bi nghin cu Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic
Stability: ..................................................................................................................................... 12
2.5. Hng i ca bi nghin cu i vi chnh sch tin t Vit Nam giai on 2000 2012: . 14
III. XY DNG M HNH NH LNG: ....................................................................... 15
3.1. M hnh l thuyt: ................................................................................................................. 15
3.1.1. Ngn hng ti a ha li nhun:.................................................................................... 15
3.1.2. Hnh vi ca cc h gia nh: ......................................................................................... 16
3.1.3. Hnh vi ca cc doanh nghip: ...................................................................................... 18
3.1.4. Phn ng ca chnh sch tin t: ................................................................................... 20
3.2. Hiu ng truyn dn li sut v tnh xc nh ca trng thi cn bng: ................................ 21
IV. KT QU THC NGHIM M V EURO: ............................................................ 25
4.1. D liu: .................................................................................................................................. 26
4.2. Kim nh nghim n v v ng lin kt: .......................................................................... 28
4.3. Hiu ng truyn dn di hn Kt qu thc nghim M v Euro: .................................... 29
4.3.1. M hnh hi quy: ............................................................................................................ 29
4.3.2. Hiu ng truyn dn M: ............................................................................................ 31
4.3.3. Hiu ng truyn dn khu vc ng Euro: ................................................................... 32
4.3.4. Tm lc kt qu: ........................................................................................................... 33
4.4. Cc tranh lun:....................................................................................................................... 34
V. QU TRNH TRUYN DN LI SUT VIT NAM KT QU THC NGHIM
TRONG GIAI ON 2000 2012: ...................................................................................... 36
5.1. D liu: .................................................................................................................................. 36
5.2. Xy dng cc m hnh nh lng: ....................................................................................... 37
5.3. Kim nh nghim n v v ng lin kt: .......................................................................... 38
5.4. Qu trnh truyn dn t li sut chnh sch n li sut th trng: ...................................... 42
5.5. Qu trnh truyn dn t li sut th trng n li sut bn l: ............................................. 44
5.6. Cc bin lun cho s truyn dn li sut Vit Nam giai on 2000 2012: ...................... 46
5.7. xut cc hng nghin cu m rng v hiu ng pass-through li sut Vit Nam: ..... 48
KT LUN .......................................................................................................................... 49
DANH MC TI LIU THAM KHO
PH LC ................................................................................................................................ i
PH LC A: M t d liu hi quy M v Euro. ....................................................................... i
PH LC B: Kim nh nghim n v v ng lin kt cc chui li sut M v Euro. ......... ii


DANH MC T VIT TT
VN Vit Nam
NHTM Ngn hng Thng mi
NHNN,
NHTW
Ngn hng Nh nc, Ngn hng Trung ng

DANH MC BNG BIU
Bng 1: Hiu ng truyn dn ngn v di hn M, thi k 1995 - 2003
Bng 2: Hiu ng truyn dn ngn v di hn khu vc Euro, thi k 1995 - 2003
Bng 3: Thng k d liu li sut Vit Nam t nm 2000 n 2012.
Bng 4: Kim nh nghim n v cc chui li sut Vit Nam. Thi k tng
ng mi loi li sut.
Bng 5: Kim nh ng lin kt gia cc cp li sut chnh sch v li sut th
trng Vit Nam.
Bng 6: Kim nh ng lin kt gia cc cp li sut th trng v li sut bn l
Vit Nam.
Bng 7: S truyn dn li sut chnh sch n li sut th trng Vit Nam.
Bng 8: S truyn dn li sut th trng n li sut bn l Vit Nam.

DANH MC HNH
Hnh : in xc nh v min hng xc nh.


DANH MC PH LC
PH LC A: M t d liu hi quy M v Euro.
PH LC B: Kim nh nghim n v v ng lin kt cc chui li sut M v
Euro.
PH LC C: M hnh kinh t hc Keynes mi v cc phng trnh c bn trong
bi nghin cu.





-----------------------------------------------

TM TT TI
1. L DO CHN TI
Nguyn tc Taylor ln u tin c cng b vo nm 993 bi nh kinh t hc
ni ting ngi M -John Brian Taylor. ng cng trong vic nghin cu
a ra cch tnh ton li sut danh ngha ph hp trong mi quan h vi tng
trng v lm pht. Nguyn tc Taylor s gip cho mt NHTW xc nh c li
sut danh ngha trong ngn hn hi cc iu kin kinh t thay i, t c hai
mc tiu l n nh kinh t trong ngn hn v kim sot lm pht trong di hn.
Tuy nhin, nhiu bng chng thc nghim cho thy li sut bn l iu chnh mt
cch chm chp vi s thay i trong li sut chnh sch. Ni cch khc, li sut
chnh sch thay i 1% th li sut bn l thay i t hn %. Trong trng hp ny
th cch xc nh li sut danh ngha theo nguyn l Taylor chun s hng m
bo cho trng thi cn bng xc nh c na.
Nhng pht hin thc nghim kh mi m ny thi thc chng ti tin hnh
nghin cu su hn v hiu ng dn truyn li sut (interest rate pass-through) v
nh hng ca n n chnh sch tin t cng nh s cn bng ca nn kinh t.
Trong bi nghin cu ca mnh, chng ti ch yu da trn nghin cu Interest
Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability(3/2006)
ca Claudia Kwapil v Johann Scharler, vi mc tiu chnh l tm hiu r rng, c
th hn v trng hp: s truyn dn hng hon ton i vi li sut bn l trong
di hn s nh hng nh th no n tnh cn bng xc nh v n nh trong nn
kinh t v m; quan st thc nghim M v khu vc Euro, t p dng vo phn
tch thc t hiu ng dn truyn li sut ti Vit Nam.
2. MC TIU NGHIN CU
Bi nghin cu ny c mc tiu chnh l tm hiu r rng, c th hn v trng
hp: s truyn dn hng hon ton i vi li sut bn l trong di hn s nh
hng nh th no n tnh cn bng xc nh v n nh trong nn kinh t v m
cc iu kin th trng khc nhau, t p dng vo phn tch hiu ng dn
truyn li sut ti Vit Nam. C th, nhm nghin cu thit lp cc cu hi nghin
cu sau:
- Trong mt mi trng m s truyn dn t li sut chnh sch n li sut bn
l l khng hon ton, th nguyn l Taylor chun phi c iu chnh nh th
no m bo tnh xc nh ca trng thi cn bng?
- S hnh thnh cc mi quan h v tha thun ngm gia ngn hng vi cc
khch hng thn thit, v chi ph ca cc trung gian ti chnh, nh hng nh
th no n qu trnh truyn dn li sut?
- C s khc bit no trong qu trnh truyn dn li sut gia hai h thng ti
chnh: H thng ti chnh ch yu da vo ngn hng v H thng ti chnh da
vo th trng?
- Hiu ng truyn dn (pass-through) t li sut chnh sch n li sut th trng
v t li sut th trng n li sut bn l ti Vit Nam nh th no?
3. PHNG PHP NGHIN CU
- y dng cc phng trnh xc nh s cn bng vi vng hp l da trn
cc m hnh v cng thc ph bin nh: hnh chu inh doanh chun theo
quan im inh t hc eynes mi, phng trnh uler, ng cong Phillips,
- So snh thc nghim hiu ng truyn dn li sut, gia Khu vc chu u
(Euro) v M, bng m hnh hi quy tng quan tr, cng vi mt s kim nh
nghim n v v ng lin kt.
- M t thc nghim hiu ng dn truyn li sut ti Vit Nam, s dng m hnh
ADL, m hnh ECM, cng vi kim nh nghim n v v ng lin kt.
4. NI DUNG NGHIN CU
Phn I ca bi nghin cu gii thiu v c s l thuyt- y chnh l nhng kin
thc nn tng xy dng m hnh nh lng, bao gm l thuyt v Nguyn tc
Taylor v m hnh gi cng nhc.
Phn II s gii thiu tng quan cc bi nghin cu trc y xoay quanh cc vn
v ng dng nguyn l Taylor, Taylor iu chnh v hiu ng dn truyn li sut.
phn III, bi nghin cu m t m hnh nh lng: Trc tin l gii thiu vic
xy dng m hnh l thuyt, t tin hnh bin lun v Hiu ng truyn dn li
sut v tnh xc nh ca trng thi cn bng nn kinh t.
Phn IV s m t thc nghim qu trnh truyn dn li sut M v Euro da trn
nghin cu Interest Rate Pass-Through, Monetary Policy Rules and
Macroeconomic Stability ca Claudia Kwapil v Johann Scharler (3/2006).
Phn V s tin hnh phn tch hiu ng truyn dn li sut Vit Nam v m t kt
qu thc nghim trong giai on 2000-2012.
Tm lc kt qu nghin cu:
- Nu s truyn dn t li sut chnh sch sang li sut bn l l khng hon ton
trong di hn th Nguyn l Taylor chun s hng m bo tnh xc nh
ca trng thi cn bng ca nn kinh t na. Ni cch khc, h s phn ng ca
chnh sch tin t vi bin lm pht theo Nguyn tc Taylor phi c iu
chnh ln hn ph hp vi trng thi cn bng n nh v duy nht.
- Phn tch thc nghim ch ra rng: S truyn dn li sut khng hon ton c
th c bit ph hp vi h thng ti chnh ly ngn hng lm trung tm (in
hnh l khu vc ng tin chung chu u).
- Kt qu phn tch thc nghim ti Vit Nam
- Truyn dn t li sut chnh sch n li sut tri phiu chnh ph k hn 1
nm: h cao trong ngn hn; tuy nhin trong di hn, s truyn dn mc
thp hn .
- Truyn dn t li sut chnh sch n li sut lin ngn hng: Trong ngn
hn, s truyn dn trc tip mc kh thp v hng ng nht, trong di
hn, ngc li, s truyn dn mc cao hn tuy nhin vn cha t c s
truyn dn hon ton
- Truyn dn t li sut tri phiu chnh ph k hn nm n li sut bn l:
trong ngn hn, s truyn dn trc tip mc kh thp; trong di hn, s
truyn dn mc tng i cao.
- Truyn dn t li sut th trng lin ngn hng n li sut bn l: Trong
ngn hn, s truyn dn trc tip mc rt thp cn trong di hn, ngc
li, s truyn dn mc rt cao v tin gn n mc truyn dn hon ton.
5. NG GP CA TI
Vi bi nghin cu ny, nhm chng ti mun gii thiu v hiu ng pass-through
t li sut chnh sch n li sut bn l - y l mt kha cnh quan trng trong c
ch truyn dn ca chnh sch tin t, tuy nhin vn cha c quan tm nghin
cu nhiu ti Vit Nam. T hy vng bi nghin cu ca nhm s ng gp c
mt s kin hu ch v vic xc nh li sut chnh sch, ph hp vi bi cnh s
dn truyn li sut trong di hn l khng hon ton, nhm t c trng thi cn
bng xc nh ca nn kinh t. Bn cnh , nhm cng xut mt s hng
nghin cu m rng v hy vng, bi nghin cu ny s cung cp nhng kin thc
c bn v Hiu ng pass-through li sut to nn tng gip cc nhm nghin cu
tip theo c th tip tc nghin cu su v hon thin ti.
6. HNG PHT TRIN CA TI
i vi Vit Nam, ti vn cn tn ti nhiu hn ch nh sau:
- Mu d liu c tnh ton theo IFS cha thc s chnh xc, do cha phn nh
ng bin ng ca li sut tin gi v cho vay thc t trn th trng.
- ti vn cha a ra t lun chc chn cho nguyn nhn gy nn s truyn
dn khng hon ton t li sut chnh sch n li sut th trng, cng nh t
li sut th trng n li sut bn l.
- ti vn cha tnh ton c gii hn di h s phn ng ca chnh sch tin
t i vi lm pht, do vn cha tm ra c phng php nh lng ph hp
vi iu kin th trng Vit Nam.
- ti vn cn b ng vn v s tc ng ca h thng ti chnh n s
truyn dn li sut cc nn kinh t khc nhau. C th l h thng ti chnh da
trn th trng hoc da trn ngn hng.
- ti vn cha xt n tc ng t quy m ca t chc tn dng, iu kin ti
cp vn v quan h vi cc t chc phi ngn hng hc n s dn truyn li
sut ti Vit Nam.
- S khc bit trong truyn dn li sut trong thi k khng hong cha c xt
n, do c th lm sai lch kt qu thc nghim khi xt chung c giai on
2000 2012.
- ti vn cha xem xt mc hi nhp ti chnh hay ni cch hc l m
ca nn kinh t Vit Nam nh hng n hiu ng truyn dn li sut.
Tt c cc hn ch trn u chnh l hng pht trin m nhm nghin cu a ra
i vi cc bi nghin cu sau ny, v vn pass-through li sut Vit Nam.
y l mt vn kh mi, v l mt nhnh nghin cu y trin vng Vit
Nam.

-------------------------------------------


1
LI M U
Nguyn tc Taylor ln u tin c cng b vo nm 993 bi nh kinh t hc
ni ting ngi M -John Brian Taylor. ng cng trong vic nghin cu
a ra cch tnh ton li sut danh ngha ph hp trong mi quan h vi tng
trng v lm pht. Tuy nhin, nhiu bng chng thc nghim cho thy li sut bn
l iu chnh mt cch chm chp vi s thay i trong li sut chnh sch. Ni
cch khc, li sut chnh sch thay i 1% th li sut bn l thay i t hn %.
Trong trng hp ny th cch xc nh li sut danh ngha theo nguyn l Taylor
chun s hng m bo cho trng thi cn bng xc nh ca nn kinh t na.
Trong bi nghin cu ca mnh, chng ti ch yu da trn nghin cu Interest
Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability(3/2006)
ca Claudia Kwapil v Johann Scharler, vi mc tiu chnh l tm hiu r rng, c
th hn v trng hp: s truyn dn hng hon ton i vi li sut bn l trong
di hn s nh hng nh th no n tnh cn bng xc nh v n nh trong nn
kinh t v m; quan st thc nghim M v khu vc Euro, t p dng vo phn
tch thc t hiu ng dn truyn li sut ti Vit Nam
Trong qu trnh nghin cu, nhm s kh trnh khi nhng sai st. Knh mong qu
thy c, cc anh ch, cc bn v nhng ai quan tm n ti ny cng ng gp
kin bi vit c hon thin hn.
Xin chn thnh cm n.
Nhm nghin cu.

-----------------------------------------------

2
I. C S L THUYT:
1.1. Nguyn tc Taylor (Taylor principle):
Cc lp lun v mt nh tnh:
Cc c tnh n nh nn kinh t da trn cc quy lut iu hnh chnh sch tin
t v ang thu ht rt nhiu s quan tm. T , John Taylor, mt tn tui
lng danh trong gii chuyn gia kinh t, nghin cu v a ra cch tnh ton
li sut danh ngha ph hp trong mi quan h vi tng trng v lm pht -
thng c gi l nguyn tc Taylor. Nguyn tc Taylor gip cho mt ngn
hng trung ng (NHTW) xc nh c cc t l li sut trong ngn hn khi
cc iu kin kinh t thay i t c hai mc tiu l n nh kinh t trong
ngn hn v kim sot lm pht trong di hn.
C th, ch khi no chnh sch tin t phn ng mnh vi lm pht, s cn
bng ca nn kinh t (equilibrium) mi dn c xc nh. Ni cch hc,
trnh trng hp khng xc nh c s cn bng (indeterminacy), li sut
danh ngha cn c iu chnh ln vi mt s gia tng trong lm pht,
nhm lm tng li sut thc. Do , li sut danh ngha phi c iu chnh t
nht l bng vi thay i trong t l lm pht (theo k vng), nhm xc nh
c s cn bng nn kinh t (equilibrium) mt cch n nh v n nht.
Trong trng hp ngc li, s cn bng nn kinh t s bin ng v hng t
c trng thi cn bng xc nh, xut pht t hiu ng t p ng cc thay
i k vng (self-fulfilling revisions in expectations). L gii cho iu ny,
nu li sut danh ngha hng iu chnh ln, th khi k vng v lm pht gia
tng, dn n li sut thc s gim. Li sut thc gim lm gim chi ph vn,
dn n tng chi tiu cho u t v tiu dng,v do lm tng tng cu. Tng
cu tng s lm lm pht thc t tng theo ng nh vng ban u.
1


1
Theo bi nghin cu gc, bi nghin cu Self-fulfilling expectations and fluctuations in
aggregate demand ca Woodford (990), Forward-looking vesus Backward-looking Taylor
rules ca Charles T.Carlstrom v cng s (2000) v Stable sunspot solutions in models with
Predetermined variables ca Evans v McGough (2002). Cc gi tr k vng v tng lai lun
3
Cc lp lun v mt nh lng:
2

Nguyn tc Taylor c th c m t theo phng trnh sau:

Trong :
: Li sut danh ngha ngn hn mc tiu ca NHTW
: T l lm pht thc t
: T l lm pht mc tiu ca NHTW
: Li sut thc ti im cn bng ca th trng
: Logarit ca tng sn lng GDP thc t
: Logarit ca tng sn lng GDP tim nng
Trong phng trnh trn,

v

>0 (theo bi nghin cu ca Taylor nm
1993,

=

=0,5).
Bng cch xc nh

, nguyn tc Taylor ni rng nu lm pht tng %

i hi NHTW tng li sut danh ngha ln hn % (c th, bng 1+

). V li
sut thc bng li sut danh ngha tr t l lm pht, m iu kin

c
ngha l hi lm pht tng th li sut thc nn c tng ln lm ngui khi
nn kinh t ang tng trng nng, lm pht cao. lm c iu ny th i
hi li sut danh ngha phi tng ln nhiu hn so vi s tng ln ca lm pht.
Tm li, nguyn tc Taylor khuyn ngh mt mc li sut tng i cao (chnh
sch tin t tht cht) gim p lc lm pht trong trng hp lm pht cao
hn mc lm pht mc tiu hoc sn lng vt trn mc sn lng tim nng.

ph thuc vo cc yu t ngoi sinh (sunspot) trong tm l. Khi cc yu t v m hng tha mn
gi tr k vng tng lai hp l, gi tr k vng tng lai s tip tc b iu chnh do bin ng
ngoi sinh trong tm l (sunspot fluctuations). Sau thng qua tc ng s nhn (multiplier
process) ca tiu dng v u t ln tng cu hin ti, cc yu t v m s bin ng cho n khi
cc thay i k vng ban u (initial revisions of expectations) c p ng.
2
Theo bi nghin cu Interest and prices: Foundations of a theory of monetary policy ca
Woodford, (2003).
4
Trong trng hp ngc li, nguyn tc Taylor khuyn ngh mt mc li sut
tng i thp (chnh sch tin t th lng) thc y tng trng.
1.2. M hnh gi cng nhc (Sticky price model):
3

M hnh gi cng nhc: L 1 cch tip cn nhm gii thch ti sao ng tng
cung ngn hn li dc ln. L thuyt gi c cng nhc nhn mnh rng gi c hng
ho v dch v cng chm iu chnh p li cc iu kin kinh t thay i. S
thay i chm chp trong gi c mt phn l do chi ph iu chnh gi c, gi l
chi ph thc n. Nhng chi ph ny, bao gm chi ph in v phn phi cc catal v
thi gian thay i cc nhn gi. V l do ny, gi c c th cng nhc trong ngn
hn.

II. TNG QUAN CC NGHIN CU TRC Y:
2.1. p dng nguyn l Taylor vo chnh sch tin t:
Nhiu bi nghin cu cho rng, s thnh cng rng ri ca chnh sch tin t k t
nhng nm u thp nin 80s, ch yu l do vic thc thi cc chnh sch tha mn
nguyn tc Taylor.
Bi nghin cu Taylors rules and the Fed (Judd, J. F., Rudebush, G. D.,
1998)
- Ni dung v phng php nghin cu: c lng m hnh n gin v
hm phn ng ca cc D tr lin bang M (FED). Xem xt quan h gia s
pht trin kinh t vi v phn ng ca Fed. Tp trung vo s thay i theo
thi gian ca hm phn ng c c lng,c th l xem xt cc chnh
sch tin t ca FD trong 3 giai on,di thi ca Arthur Burns
(1970.Q11978.Q1), Paul Volcker (1979.Q31987.Q2) v Alan Greenspan
(1987-2006) (cc ch tch ca FED).

3
Theo nghin cu Two new eynesian Theories of Sticy Price odel, Roger. .A. Farmer
(2000)
5
- Kt lun: Nguyn l Taylor l cng c hu ch gip nm bt nhng yu t
quan trng ca chnh sch tin t v gip nn kinh t pht trin n nh.
Bi nghin cu Monetary policy rules and macroeconomic stability: Evidence
and some theory (Clarida, R. H., Gal, J., Gertler, M., 2000)
- Ni dung v phng php nghin cu: c lng hm phn ng li ca
chnh sch tin t i vi nn kinh t M sau chin tranh, trc v sau khi
Volcer c b nhim lm ch tch Fed vo nm 979. S dng m hnh
kinh t v m,thc hin so snh cc tc ng theo nguyn tc c lng v
cc c tnh cn bng ca lm pht v sn lng.
- Kt lun: Chnh sch li sut trong giai on Volcker-Greenspan (Greenspan
l ch tch Fed sau Volcker) nhy cm hn vi s thay i trong lm pht k
vng, so vi giai on trc Volcer, iu ny vn ph hp vi nguyn l
Taylor.
Bi nghin cu A Historical Analysis of Monetary Policy Rules (Taylor, J.
B., 1999)
- Ni dung v phng php nghin cu: Bi nghin cu ny xem xt mt s
giai on v thi k trong lch s tin t ca M trn quan im cc bi
nghin cu v quy lut chnh sch tin t, nhm nh gi hiu qu ca
nhng chnh sch tin t.
- Kt lun: Nguyn tc chnh sch tin t m trong li sut l 1 hm ca
lm pht v li sut thc (cng thc ca nguyn tc Taylor chun v m
rng trong 1 s trng hp c th) l mt khun kh hiu qu nghin cu
lch s tin t ca M, lin quan n nhiu h thng tin t khc nhau.
6
2.2. S iu chnh ca li sut bn l trn thc nghim mt s khu vc in
hnh:
Thc nghim cho thy li sut bn l
4
(retail interest rate) iu chnh thp hn, so
vi mt s thay i ca li sut chnh sch
5
(policy interest rate) (theo De Bondt,
2005; Ehrmann v cng s, 2003). Ngoi ra, li sut bn l cn cho thy tc ng
ng n tng cu. Do , mc d chnh sch tin t c tht cht ln theo
nguyn tc Taylor, li sut bn l khng cho thy s iu chnh ln, nhm duy
tr s n nh ca li sut thc. Vn ny c pht hin kh r rng khu vc
ng Euro, l mt in hnh ca th trng da trn ngn hng (theo Allen v Gale,
2000).
Theo Berger v Udell (1992), s lm mt thanh khon
6
(liquidity smoothing) l
vn in hnh trong cc mi trng, m quan h thn thit gia ngn hng
v khch hng pht trin theo thi gian. C th, cc ngn hng c quan h thn thit
vi khch hng, c th yu cu s bo m ngm nh vi li sut dnh cho khch
hng (implicit interest rate insurance), v qua gi mc li sut c nh mt cch
tng i, k c hi c thay i quan im chnh sch tin t (tht cht hoc m
rng).
Retail bank interest rate pass-through: New evidence at the euro area level
(De Bondt, G., 2005)
- Ni dung v phng php nghin cu: Bi nghin cu trnh by m hnh hi
quy hiu chnh sai s (ECM - error correction model) ca qu trnh truyn

4
Li sut bn l (retail interest rate): L li sut huy ng hoc li sut cho vay p dng i vi
ngi tiu dng v doanh nghip. (Theo t in Investopedia).
5
Li sut chnh sch (policy interest rates): L li sut m cc ngn hng trung ng c th
kim sot c trc tip, qua im sot lm pht, cng nh m bo tnh thanh khon ca
cc ngn hng thng mi. (Theo t in Investopedia).
6
Theo bi nghin cu gc, v bi nghin cu Interest rate smoothing and financial stability
ca R.Todd Smith, Henry van Egteren (2005), s lm mt thanh khon (liquidity smoothing)
l trng hp ngn hng tha thun ngm li sut vi hch hng (c bit i vi cc khch
hng quen thuc). Nhm lm gim tnh bin ng ca li sut bn l i vi khch hng, k c
khi li sut chnh sch thay i, t gim ri ro v thanh khon ca ngn hng. Thut ng ny
cn c gi l s lm mt li sut (interest rate smoothing).
7
dn li sut t th trng (i din cho chnh sch) n bn l. Da trn c
ch nh gi chi ph bin, bao gm chi ph chuyn tip thng tin v chi ph
cho s bt cn xng thng tin, qua trnh by cc t qu c lng vi
khu vc ng Euro.
- Kt lun: khu vc ng Euro, t l truyn dn t li sut th trng sang
li sut tin gi v li sut cho vay trong vng mt thng (ngn hn) cao
nht l khong 50%. S truyn dn li sut th cao hn trong di hn, i vi
li sut cho vay th gn bng 100% (truyn dn hon ton).
Some evidence on the empirical significance of credit rationing (Berger v
Udell, 1992):
- Ni dung chnh: a ra s lm mt thanh khon (liquidity smoothing) l
in hnh cho cc mi trng, m trong mi quan h khch hng thn
thit pht trin theo thi gian. Ngha l, cc ngn hng c mi quan h gn
gi vi khch hng c th cung cp bo him li sut ngm v gi cho li
sut tng i n nh mc d c nhng thay i trong chnh sch tin t v
li sut. Qua xem xt tc ng n qu trnh truyn dn li sut trn thc
nghim.
- Kt lun: Chnh iu trn lm cho qu trnh truyn dn t li sut chnh sch
n li sut bn l chm chp hn. V trong trng hp ny, nguyn tc
Taylor hng cn m bo cho s cn bng xc nh ca nn kinh t.
Interest rate pass-through in Polish (Chmielewski, Tomasz,2003)
- Ni dung v phng php nghin cu: Nghin cu tc ng ca s gy
nhiu trong hot ng ca ngn hng Ba Lan, ln hiu qu ca chnh sch
tin t. Bi nghin cu tp trung vo c cu truyn dn t thay i trong li
sut th trng ti li sut bn l trong bi cnh cht lng danh mc u t
tn dng ca ngn hng b gim st, s suy gim v li nhun ngn hng
cng nh t l an ton vn. Bi nghin cu da trn da trn d liu bao
8
gm li sut tin gi ca h gia nh v doanh nghip theo tng k hn hp
ng ca ngn hng, c thu thp bi ngn hng quc gia ca Ba Lan.
- Kt lun: Cc kt qu nghin cu cho thy mt s tr tr v hng ng nht
trong s truyn dn li sut bn l Ba Lan.
- Nhng ngn hng c li nhun cao hn c xu hng iu chnh li sut
cho vay v li sut tin gi di hn nhanh hn v mnh hn, so vi cc
ngn hng c li nhun t.
- Cc ngn hng c cc khon vay cht lng thp th c xu hng iu
chnh li vay nhanh hn v mnh hn, so vi cc ngn hng c t cc
danh mc u t tn dng ri ro.
The pass-through from market interest rates to bank lending rates in
Germany (Mark A. Weth-2002)
- Ni dung v phng php nghin cu: Cc k khon v iu kin vay vn
ngn hng i vi cc cng ty phi ti chnh v h gia nh ng vai tr quan
trng trong vic truyn ti chnh sch tin t. Bi nghin cu ny phn tch
mi quan h gia li sut cho vay ca ngn hng c vi li sut th trng
tin t v li sut th trng vn.
- Kt lun: Bi nghin cu a ra cc bng chng cho thy s khc bit v c
cu truyn dn li sut gia cc ngn hng c. Tc iu chnh li sut
cho vay theo s thay i ca li sut th trng lin quan n quy m ca t
chc tn dng, iu kin ti cp vn v quan h vi cc t chc phi ngn
hng khc.
- Cc ngn hng ln v cc ngn hng c t tin gi tit kim iu chnh li
sut cho vay theo li sut th trng nhanh hn, c th l do phm vi thit
lp li sut ca cc ngn hng ny tng i hp.
9
- Trong ngn hn, li sut cho vay cng chm iu chnh hn, nu cc
ngn hng c th b p cc khon vay di hn t cc t chc phi ngn
hng, bng cc khon tin gi tng ng t cc khch hng ny.
Bank interest rate pass-through in the Euro area a cross country
comparison (Christoffer Kok Sorensen v Thomas Werner-2006)
- Ni dung v phng php nghin cu: Bi nghin cu kho st hiu ng
truyn dn t li sut th trng n li sut cc ngn hng ti cc quc gia
chu u. Tc gi s dng b d liu c hiu chnh - cc s liu thng k
ny mt phn l da vo d liu v li sut ngn hng mi do ngn hng
trung ng chu u. Qua s dng phng php hi quy bng trong kinh
t lng (panel econometric method) kim nh tnh hng ng nht
trong qu trnh truyn dn li sut gia cc ngn hng.
- Kt qu: Tc gi cho thy mc khng ng nht tng i ln trong qu
tnh truyn dn t li sut th trng n li sut ngn hng gia cc quc
gia chu u. iu ny cho thy s thiu thng nht v ng b trong h
thng li sut bn l ca chu u.
2.3. S iu chnh li sut bn l trong cc trng hp xy ra khng hong:
Interest rate pass-through during the global financial crisis: The case of
Sweden (Niels-Jakob Harbo Hansen, Peter Welz, 2011)
- Ni dung v phng php nghin cu:
- Mi lin kt bn vng gia li sut chnh sch, vi li sut huy ng v
cho vay ca ngn hng (i vi ngi tiu dng v cc doanh nghip) rt
cn thit cho s truyn dn hiu qu ca chnh sch tin t. Bi nghin
cu ny phn tch qu trnh m nhng thay i trong li sut chnh sch
do Ngn hng trung ng Thy in (Risban) a ra c truyn dn
n li sut th trng v li sut bn l trc v trong sut cuc khng
hong ti chnh bt u t ma h nm 2007.
10
- Tc gi u tin nghin cu v s truyn dn t li sut ca hp ng
mua li (repo rate) n li sut th trng (li sut lin ngn hng) trong
ngn hn v phn tch s nh hng ca cuc khng hong ti chnh n
qu trnh truyn dn ny. Sau , tc gi tip tc phn tch v s truyn
dn t li sut th trng n li sut bn l trc v trong sut cuc
khng hong ti chnh v tho lun v hnh vi nh gi ca cc t chc
ti chnh Thy in.
- Kt qu:
- Li sut th trng
o Trc khng hong, Riksbank kim sot li sut th trng trong
ngn hn kh tt, m bo s truyn dn hiu qu t li sut chnh
sch n li sut th trng. S chnh lch gia li sut th trng v
li sut k vng thp v n nh.
o Trong sut cuc khng hong ti chnh, mi lin kt gia li sut
chnh sch v li sut th trng yu i do mc chnh lch li sut
b p ri ro tn dng (risk premia) ln v d bin ng, v b nh
hng bi khng hong ti chnh ton cu.
- Li sut bn l
o Trc khng hong, s truyn dn t li sut th trng n li sut
bn l chm chp nhng vn truyn dn hon ton trong di hn. Li
sut bn l i vi cc cng ty phi ti chnh th c iu chnh
nhanh hn l i vi cc h gia nh.
o Khng khong ti chnh khng nh hng n s truyn dn trong
ngn hn, nhng trong di hn tc truyn dn b suy gim.
Bank interest rate pass-through in the eurozone: Monetary policy transmission
during the boom and since the financial crash (Christophe Blot, Fabien
Labondance, 2011)
11
- Ni dung v phng php nghin cu: Tc gi nghin cu v nh hng ca
khng hong ti chnh i vi qu trnh truyn dn t li sut th trng n
li sut ngn hng khu vc ng tin chung chu u. C th l phn tch
s truyn dn li sut 11 quc gia thuc khu vc ng Euro, liu c b nh
hng bi cuc khng hong bt ngun t s cho vay th chp bt ng sn
di chun. Bi nghin cu p dng m hnh chnh l SUR-ECM.
- Kt qu: Cuc khng hong ti chnh bt u t 8/2007 nh hng mnh
n qu trnh truyn dn li sut khu vc ng Euro. S truyn dn li sut
t sau cuc khng hong c mc hon ton thp hn so vi giai on
trc . Ngoi ra, tnh hng ng nht tng ln gia cc nc thnh vin
trong khu vc ng tin chung chu u
Interest rate pass-through and monetary transmission in Asia (Pih Nee Tai,
Siok Kun Sek-2012)
- Ni dung v phng php nghin cu: Kim tra tnh hiu qu ca c ch
truyn dn li sut th trng ti li sut bn l ca ngn hng mt vi
nc chu . c bit, bi nghin cu iu tra s khc bit trong mc
truyn dn t li sut chnh sch ti li sut tin gi v cho vay qua cc quc
gia trc v sau khng hong ti chnh ti chu 1997. Bi nghin cu s
dng m hnh SUR (Seemingly Unrelated Regression equations).
- Kt qu chnh: Tc gi cho thy vic truyn dn t li sut th trng tin t
ti li sut tin gi v cho vay l chm chp v tr tr. Khng c nhiu s
khc bit gia hiu ng truyn dn n li sut tin gi vi li sut cho vay,
tuy nhin hiu ng truyn dn vo li sut tin gi cao hn mt cht. hu
ht cc quc gia,li sut tin gi v cho vay u iu chnh kh chm chp
k t sau khng hong ti chnh 1997, cho thy hiu qu ca chnh sch tin
t thp, th trng ti chnh thiu hon ho, v mc hi nhp ti chnh
thp hn ti cc nn kinh t ny.

12
2.4. Bi nghin cu Interest Rate Pass-Through, Monetary Policy Rules and
Macroeconomic Stability:
Tc gi nghin cu tnh xc nh ca trng thi cn bng (equilibrium determinacy)
trong m hnh gi cng nhc (sticy price model) m trong , hiu ng truyn dn
t li sut chnh sch n li sut bn l din ra kh chm chp v khng hon ton.
c bit, bi nghin cu cp n chi ph ca cc trung gian ti chnh - mt trong
nhng nguyn nhn lm cho li sut bn l iu chnh chm chp hn. c d tc
gi xem xt s truyn dn li sut trong mt m hnh gin lc (hng a ra cc
iu kin c bn v vi m mt cch r rng), chi ph ny vn l mt kha cnh quan
trng trong c ch truyn dn chnh sch tin t (monetary transmission
mechanism) m thng b b qua hu ht cc m hnh khc.
Ngoi ra cn nhiu bi nghin cu cho thy, iu kin ca nguyn tc Taylor
xc nh trng thi cn bng cn phi c iu chnh trong mt s trng hp c
th:
- Theo Edge v Rudd (2002), cng Roisland (2003), khi c s tn ti ca thu
danh ngha trn thu nhp vn u t, li sut danh ngha theo nguyn tc Taylor
phi c iu chnh mnh hn.
7

- Theo Gal v cng s (2004), s hin din ca nhng ngi tiu dng theo quy
tc ph bin (rule-of-thumb) trong m hnh gi cng nhc, c th lm thay i
ng cc c tnh ca nhng quy lut li sut hin hnh. c bit, s iu
chnh li sut tha mn nguyn tc Taylor hng cn xc nh trng thi
cn bng.
8


7
Theo nghin cu Taxation and the Taylor principle ca Edge, R., Rudd, J. B. (2002), khi
thu nhp li sut danh ngha b nh thu, h s phn ng lm pht

trong cng thc Taylor

phi ln hn ng , cho m hnh kinh t c mt trng thi cn bng k vng hp l xc
nh. V khi thu sut c hiu lc tng ln do lm pht, s n nh ca trng thi cn bng
trong nn kinh t c th b nh hng theo chiu hng bt li.
8
Trong bi nghin cu Rule-of-thumb consumers and the design of interest rate rules. Ca
Gal, J., L`opez-Salido, D. J., Valles, J. (2004), mt phn ln ngi tiu dng hng gia tng
vay mn hoc tit kit ti tr chi tiu, m ngc li, theo quy lut ph bin: Mi thi k,
h ch chi tiu mt phn thu nhp t lao ng.
13
- Theo De Fiore v Liu (2005), i vi mt nn kinh t m c quy m nh, mc
m ca nn kinh t l iu kin c bit nh hng n s n nh kinh t.
Mc d vy, theo kin ca tc gi, nhiu bi nghin cu vn cha xem xt s tc
ng ca h thng ti chnh cng nh hiu ng truyn dn li sut, n tnh xc
nh ca trng thi cn bng nn kinh t. Do , bi nghin cu ny s tp trung
khai thc vn trn.
Trong bi nghin cu ny, tc gi tp trung vo kh nng xy ra bin ng ngoi
sinh (sunspot fluctuations) do hiu ng t p ng cc thay i k vng (self-
fulfilling revisions to expectations). Kt qu chnh yu cho rng, nu c s truyn
dn khng hon ton trong di hn, nguyn tc Taylor chun s hng cn
p ng iu kin xc nh trng thi cn bng v m. Do h s phn ng vi
lm pht phi ln hn m bo s cn bng n nh.
Ngoi ra, tc gi xem xt s quan trng v mt nh lng ca hiu ng truyn dn
li sut khng hon ton. Bi nghin cu m t theo thc nghim v so snh qu
trnh truyn dn li sut gia khu vc Euro (in hnh cho h thng ti chnh ch
yu da vo ngn hng, bank-based financial system) v M (in hnh cho h
thng ti chnh da vo th trng, market-based financial system)
9
. Kt qu cho
thy, s truyn dn khu vc Euro thp hn (m hon ton) so vi M. Ngoi ra,
da trn cc kt qu thc nghim, cng nh cc lp lun theo hm phn ng chnh
sch tin t, li sut th trng cho thy nh hng nhiu hn n tng cu, do
s truyn dn thp cha hn l nguyn do gy nn tnh bt n M v chu u.

9
Theo nghin cu Ban-Based or Market-Based Financial Systems: Which is Better?, Ross
Levine, NBER Working Paper n 9138 (2002). H thng ti chnh ly ngn hng lm trung
tm (huy ng tit kim, phn b vn, gim st cc hot ng u t v qun l ri ro) in
hnh l Nht, c, Php, Brazil, n H thng ti chnh ch yu da vo th trng chng
khon (ch yu huy ng vn thng qua pht hnh c phiu, tri phiu, ) in hnh l M,
Anh
14
2.5. Hng i ca bi nghin cu i vi chnh sch tin t Vit Nam giai on
2000 2012:
Nhm nghin cu xem xt hiu ng dn truyn li sut qua 2 giai on Vit Nam.
Da trn c s , nhm nh gi s b v nu mt s quan im l gii v tnh
hiu qu ca cng c iu hnh li sut mt trong nhng cng c quan trng ca
chnh sch lm pht mc tiu ang c quan tm hin nay.
Qua , nhm tham ho 3 bi nghin cu chnh:
- Interest Rate Pass-through, Monetary Policy Rules and Macroeconomic
Stability ca Kwapil v Schaler (2006) (bi nghin cu ti 6A).
- onetary Policy Transparency and Pass-through of Retail Interest Rates
ca Ming-Hua Liu v cng s (2005) (bi nghin cu ti 5B).
- Interest Rate Pass-through during the Global Financial Crisis: The case of
Sweden ca Peter Welz v cng s (2011).
u tin, nhm tin hnh xy dng m hnh nh lng hiu ng dn truyn 2 giai
on nhm xem xt ring bit hiu ng truyn dn t li sut chnh sch (gm li
sut ti cp vn hoc ti chit khu) n li sut th trng (gm li sut lin ngn
hng v tri phiu), v t li sut th trng n li sut bn l (gm li sut tin
gi v cho vay). Vic tch bit ny cho php chng ta im tra liu hiu ng dn
truyn t li sut chnh sch n li sut th trng c phi l hon ton (
tt
) nh
theo gi nh ca bi nghin cu gc hay s dn truyn ny b bp mp do cc
hn ch ca chnh sch v th trng.
Bn cnh , hiu ng truyn dn t li sut th trng n li sut bn l (
bl
) c
th c xem l ch bo cho hnh vi lm mt thanh hon (tha thun ngm vi
hch hng) ca cc ngn hng trong h thng ti chnh da trn ngn hng (ban-
based) Vit Nam hin nay.
Tuy b d liu v cc loi li sut Vit Nam (giai on 2000 - 202) vn cn mt
s hn ch nhng t qu c lng c l h ph hp vi thc trng Vit Nam.
Do , cc t qu ny vn c gi tr v mt l lun.
15
III. XY DNG M HNH NH LNG:
10

3.1. M hnh l thuyt:
Chng ta tin hnh xy dng cc phng trnh xc nh s cn bng vi vng
hp l da trn cc m hnh v cng thc ph bin. hnh s dng l: M hnh
chu inh oanh chun theo uan im inh t hc Keynes mi (c lin h
mt thit vi m hnh trong nghin cu ca Woodford (2003)).
3.1.1. Ngn hng ti a ha li nhun:
t ngn gn m hnh v cc gi nh:
- Cc ch th trong nn inh t bao gm: cc doanh nghip, trung gian ti
chnh (ngn hng) v h gia nh.
- Ti sn duy nht trong nn kinh t l tri phiu (B
t
) phi ri ro, mnh gi c
nh, thanh ton n gc v li ln hi o hn, vi li sut l R
t
.
- Cc h gia nh hng th mua trc tip tri phiu m phi gi tin thng
qua cc trung gian ti chnh. C th, h gi tin (D
t
) vo cc trung gian ti
chnh vi li sut R
D
t
, v cc trung gian s dng cc hon tin gi ny
u t vo tri phiu.
- Cc trung gian ti chnh (ngn hng) hng c ng c d tr tin gi
nn s dng tt c tin gi vo u t tri phiu. C th l D
t
= B
t
.
- Hn na, cc hot ng ca trung gian ti chnh l tn m v chi ph ny
c biu hin bng mt hm thay i theo li sut. Do , c th d dng
a s lm mt li sut (interest rate smoothing
11
) vo m hnh theo dng
n gin.
Cc trung gian ti chnh ti a ha li nhun vi hm li nhun:
Li nhun (Profit) =

10
Da theo bi nghin cu Interest Rate Pass-Through, Monetary Policy Rules and
Macroeconomic Stability (3/2006) ca Claudia Kwapil v Johann Scharler.
11
Tng t nh thut ng lm mt thanh khon (liquidity smoothing), c cp phn II.2.
16

Trong , +
t
> i din cho chi ph hot ng trung gian ti chnh (chi
ph ny thuc v cc nh trung gian). C th, chng ta gi nh:

. Gi tr

c chn sao cho +

t
> 1.
Vi cc gi nh trn, ta c lng gn ng logarit tuyn tnh (log-linear) ca
iu in cn thit ngn hng ti a ha li nhun (li ch bin t tri
phiu chi ph bin ca tin gi), ta c:

Trong , cc bin m phn nh t l phn trm () thay i so vi mc
n nh (steady state).
T (), chng ta nhn thy rng:
-

biu th hiu ng truyn n trc ti t li sut tri phiu c gi
nh l li sut mc tiu ca chnh sch tin t.
-

biu th un tnh tnh ) ca li sut tin gi (tc ng t li sut tin
gi thi k trc).

3.1.2. Hnh vi ca cc h gia nh:
Cc h gia nh ti a ha hu dng vng sut i (expected lifetime
utility):

Trong :
(1)
(2)
17
- > 0 v > 0. Trong , l h s c nh co dn thay th ca
tng trng tiu dng i vi tit kim, l h s c nh co dn
ca cung lao ng.
- l h s chit khu.
- C
t
phn nh tiu dng vi mt r hng ha thi k t.
- L
t
phn nh cung lao ng thi k t.
Tng tiu dng hng ha C
t
c tnh theo hm tng CS co dn ca s
thay th hng i (Constant lasticity of Substitution) ca lng tiu th cc
hng ha hc nhau, C
t
(i). C th:

()

i i e (0,1) v l co dn ca s thay th gia cc hng ha ca
cc doanh nghip sn xut.
12

Cc h gia nh bt u hn gi tin mi ( t) vi s d tin gi ngn hng
cui trc D
t-1
. Cc h gia nh cung ng L
t
n v lao ng (thng l
thi gian lao ng) ng vi mc lng danh ngha W
t
. Ngoi ra, mt s h gia
nh i din s hu cc doanh nghip v cc trung gian ti chnh; dn n thu
nhp h nhn c cn c c tc H
t
.
Do , cc hon tin gi vo cui c th c tnh bng:

Trong :
- P
t
phn nh ch s gi tng hp.
- H
t
phn nh c tc c chia vo cui k hn.

12
Tham kho bi nghin cu The impact of inflation and uncertainty on the optimum markup set
by firms ca Russell, Evans v Preton (2002).
18

Cui cng, hnh vi ca cc h gia nh c trnh by ngn gn qua phng
trnh tiu dng uler thng thng v phng trnh cung lao ng (s c s
dng phn sau):



i t
t
= log(P
t
) log(P
t-1
) l t l lm pht.

3.1.3. Hnh vi ca cc doanh nghip:
Lnh vc sn xut inh doanh ca nn inh t bao gm chui cc doanh nghip
cnh tranh c quyn c tiu chun ha thnh n v i chng (ng nht):
- Doanh nghip i thu lng lao ng H
it
.
- Sn lng u ra sn xut bi doanh nghip i c tnh: Y
it
= H
it
1-
vi e
(0,1).
13

Hn na, chng ta gi nh rng: tn ti s thit lp gi lch pha
14
(staggered
price) (mc gi cp y l gi bn sn phm) v lm pht ph thuc vo
gi tr lch s. C th:
- Vo mi thi , t l doanh nghip c th iu chnh mc gi sn phm l
(1-). Trong s cc doanh nghip ny, t l doanh nghip c th iu chnh
mc gi hin ti mt cch ti u l (1-); phn cn li tun theo quy lut

13
Theo nghin cu uropean inflation dynamics ca Gal v cng s (2001), hm sn xut tng
qut l Y
it
= A
it
H
it
1-
, trong A
i
biu th nhn t cng ngh ca doanh nghip i. Trong bi nghin
cu gc, tc gi n gin ha hm sn xut v lc b nhn t cng ngh. T , (-

) biu th
co gin ca sn lng theo lao ng, v () biu th co gin ca cc nhn t khc.

14
Theo nghin cu Inflation dynamics: A structural economitric analysis (999) v uropean
inflation dynamics (200) ca Gal v cng s. S thit lp gi lch pha (staggered price setting)
l trng hp cc doanh nghip iu chnh gi chm hn, so vi cc c nhn hoc doanh nghip
hc (v hng gian), hoc so vi thi im iu chnh hp l (v thi gian). iu ny dn n
tnh ca mc gi chung trong nn kinh t.
(3)
(4)
19



neo theo gi qu kh (bacward looing rule) (iu chnh mc gi ch da
trn cc d liu v inh nghim trong qu h).
T cc gi nh v hnh vi thit lp mc gi ca cc doanh nghip, Gal v cng
s (200) xut mt dng ng cong Phillips c phng trnh:

Trong :
-
()()()()
(())

( ( )).
- mc
t
phn nh chi ph bin thc trung bnh.
15


p dng cc iu in cn bng th trng:
- Y
t
= C
t
(cn bng th trng hng ha, t dng nn phng trnh ng
IS).
- H
t
= L
t
(cn bng th trng lao ng).
- Phng trnh ng cung lao ng (4).
Bin i m hnh logarit tuyn tnh (3) v (5), ta c:


i


.Trong , l h s c nh co dn thay th
ca tng trng tiu dng i vi tit kim, l h s c nh co dn
ca cung lao ng. 1- o l co gin ca sn lng theo lao ng.

15
Theo Gal v cng s (2001), chi ph bin thc l chi ph bin danh ngha iu chnh cho ch
s gi, qua phn nh chi ph thc ca doanh nghip tng ln hi gia tng sn lng. Ch ph ca
doanh nghip y ch yu l lng ca cng nhn.
(5)
(6)
(7)
20


Phng trnh ng nh i
16
(intertemporal) IS () v phng trnh
ng cong Phillips (7) to thnh m hnh c s, c s dng rng ri nh
gi chnh sch tin t (theo Clarida v cng s, 1999).
T phng trnh (), t

. Ta c phng trnh bin

ng ca li sut tin gi:

Trong :
-
1
phn nh hiu ng truyn dn trc tip t li sut chnh sch n
li sut tin gi, ti thi k t.
-
2
phn nh mc un tnh (tnh ) ca li sut tin gi (tc ng
truyn dn t li sut tin gi k trc).

3.1.4. Phn ng ca chnh sch tin t:
Nhm m t mt cch y cc im cn bng ng (equilibrium dynamics)
trong m hnh, tc gi a vo mt quy lut li sut nhm m t chnh sch tin
t. Gi nh rng, chnh sch tin t nhm n iu chnh li sut tri phiu R
t
:

Trong :
- R
t
l li sut tri phiu cng chnh l li sut mc tiu ca chnh
sch tin t.
- phn nh mc un tnh (tnh ) ca chnh sch tin t (nh hng
ca li sut tri phiu thi k trc).

16
Theo nghin cu Two new eynesian Theories of Sticy Price odel, Roger. .A. Farmer
(2000), s nh i (intertemporal) y l s nh i gia tiu dng hin ti v s tit kim
tng lai.
(8)
(9)
21
- k
t
, k
Y
m t phn ng ca li sut chnh sch ln lt i vi lm
pht v sn lng.

3.2. Hiu ng truyn dn li sut v tnh xc nh ca trng thi cn bng:
Bi nghin cu hn tch nh hng ca hiu ng truyn n li sut n c
tnh cn bng ca m hnh a trn iu in c nghim ca h hng trnh
6) ) vi cc bin chnh l

]
H phng trnh () (9) c th c vit gn li di dng ma trn:

)

Trong :
- u
t
= [

]
- A v B l ma trn h s vi cc phn t l hm ca cc tham s cu trc
(structural parameters) c xc lp trong mi phng trnh t (6) n
(9).
T , tnh xc nh (determinacy) hay s n nh (stability) ca trng thi cn
bng vi vng hp l
17
(rational-expections equilibrium) tng ng vi trng
hp: s lng cc gi tr c trng (eigenvalues) ca ma trn A
-1
B bn ngoi vng
n v (unit circle) bng vi s lng bin xc nh (predetermined variables).
18


17
Theo nghin cu Stable sunspot solutions in models with Predetermined variables ca Evans
v McGough (2002), trng thi cn bng hp l (rational-expectations equilibrirum) c ngha l:
Khi cc bin ngu nhin X
t
(stochastic) v cha xc nh (non-predeterminated) tha mn hm ph
thuc vo gi tr k vng tng lai hp l E
t
(X
t+1
). Trong trng hp ny, cc yu t ngoi sinh
(sunspot) biu th qua tm l c duy tr n nh, v k vng tng lai vn hng i. Ngc li,
khi cc bin X
t
khng tha mn hm ph thuc vo gi tr k vng tng lai hp l E
t
(X
t+1
), gi tr
k vng s b iu chnh do bin ng t yu t ngoi sinh (sunspot), qua tip tc lm bin
ng gi tr X
t
n khi k vng hp l c tha mn (self-fulfilling revisions of expectations).
18
Nghin cu The solution of Linear diffirence models under rational expectations ca
Blanchard v ahn (980), Predeterminated and Non-Predeterminated variables in rational
expectation models ca Willem H.Buiter (982), Self-fulfilling expectations and fluctuations in
aggregate demand ca Woodford (1990) l gii c th hn cho vn ny. Cc bin xc nh
(predetermitaned) l cc bin ph thuc vo cc bin bit trong qu kh hoc hin ti, m
khng ph thuc vo k vng tng lai. Cc bin cha xc nh (non-predetermitaned) ngoi ra
22
Bn cnh , bi nghin cu gi nh mt s iu in ca m hnh phn tch
nh hng ca cc tham s
1
v
2
(phn nh hiu ng truyn dn) n trng thi
n nh (tnh xc nh trng thi cn bng).
C th hn, cc tham s c chn nh sau:
- H s chit hu = 0.
- H s l h s xc nh co dn thay th ca tng trng tiu dng i vi
tit kim, l h s xc nh co dn ca cung lao ng
19
, = = 2.
- = 11 tng ng vi mc chnh lch n nh l 10% (steady state markup).
20

- = 033 biu th co gin ca sn lng theo lao ng
21
l (1- ) 0,7.
- = 03 ngha l c 30% cc doanh nghip tun theo quy lut neo theo gi qu
kh (backward-looking pricing rule).
- = 075 vi gi nh, mc gi c c nh mc trung bnh trong qu.
Vic cn chnh hnh vi thit lp gi ca cc doanh nghip rt ph hp vi cc
bng chng thc nghim gn y (nghin cu ca Leith v alley, 2005).
- = 0,8 da trn bng chng thc nghim trong bo co ca Gerdesmeier v
Roffia (200) hu vc ng Euro, Clarida cng s (2000) .

cn ph thuc vo k vng tng lai. T ta xc lp c bin sn lng Y
t
v lm pht t
t
l 2
bin cha xc nh. Li sut chnh sch R
t
v bn l R
t
D
l 2 bin xc nh theo sn lng v
lm pht hin ti. Quay li cch gii ma trn, h ma trn trn c th c bin i thnh

. Khi s gi tr c trng (eigenvalues) ca ma trn A

-1
B nm ngoi vng
n v bng vi s bin xc nh ( trn l 2), h phng trnh c lc gin thnh h 2 n 2
phng trnh, vi hng ln nht (rank) ca ma trn A
-1
B l 2, tha mn iu kin c nghim
ca ma trn.
19
Theo nghin cu Two new eynesian Theories of Sticy Price odel, Roger. .A. Farmer
(2000) v , h s co gin thay th ca tng trng tiu dng vi tit kim l / , h s co gin ca
cung lao ng l /.
20
Theo nghin cu Strategic Complementarities and Optimal monetay policy ca Andrew
T.Levin v cng s (2006), mc n nh (steady state) l khi tt c cc bin v danh ngha tng
cng t l vi nhau, v cc bin s gi nguyn quan h tng i. Mc n nh ca h s chnh
lch (steady state markup) l h s chnh lch (c k vng l hng i) gia mc gi so vi
chi ph bin trung bnh sn xut hng ha ni chung. Cng thc tnh l

, vi = 11 ta
tnh c = 1,1 biu th h s chnh lch n nh mc lch 10%.
21
Tham kho nghin cu uropean inflation dynamics (200) ca Gal v cng s.
23
n gin ha, chng ta xem xt trng hp chnh sch tin t hng phn ng
vi l hng sn lng (output gap), ngha l k
y
= 0.
t

, phn nh tc ng di hn ca li sut chnh sch n li sut tin

gi.
T iu in t c trng thi cn bng hp l (ni cch hc, h phng
trnh () (9) c nghim tha mn gi tr k vng hp l), ta c:
- Min xc nh l .k
t
> 1
- ng bin gii (gia 2 min) c phng trnh .k
t
= 1
Hnh : Min c nh v min khng c nh.

Hnh biu th ng bin gii chia mt phng tham s (, k
t
) thnh 2 phn tng
ng vi s cn bng xc nh v cn bng hng xc nh. ng bin gii dc
xung v li v pha gc ta .
- Nhng im nm bn phi ng bin gii tng ng vi b tham s (, k
t
)
thch hp to ra s cn bng xc nh.
- Ngc li, nhng im nm bn tri dn n s hng xc nh.
Do , ng bn gii xc nh gii hn di k

ca k
t
.
Min c nh
Min khng c nh
24
k

> k

tng ng vi tnh xc nh ca trng thi cn bng hp l.

D thy rng: Hiu ng truyn dn di hn cng yu, th i hi phn ng cng
mnh ca chnh sch tin t vi lm pht k
t
m bo tnh xc nh. C th hn,
vic t iu in ca chng ta trn ch ra rng vi k
y
0 th k

tng ng vi
1/.
Ta rt ra t lun: Trong mi trng ny vi cc gi nh trong bi) nguyn
tc Taylor cn c iu chnh thnh k
t
. 1 thay v k
t
> 1 nguyn tc
Taylor chun).
Vi cc gi tr ca k
t
< k

, s cn bng l hng xc nh v bin ng do hiu

ng t p ng cc thay i k vng (self-fulfilling revisions in expectations)
xy ra
22
. iu ny c th nhn thy d dng: Vi nh, thay i trong li sut
chnh sch b hp th phn ln bi lnh vc ngn hng v hng truyn n cc h
gia nh. Do , nu vng lm pht tng, chnh sch tin t phi tht cht mnh
m bo tc ng cn bng (n nh) ln tng cu.
t n hiu ng truyn dn di hn , qun tnh (tnh )
2
cao s b p cho mc
truyn dn ban u (trc tip)
1
thp. t trn ng bin, vi th k

, do
cn bng xc nh khi k
t
> 1. V vy, vi hiu ng truyn dn hon ton (t nht
l trong di hn), ta t c nguyn tc Taylor chun.
t s tranh lun:
- pha trn, chng ta gii hn phn tch trong trng hp k
y
0. Vi k
y
> 0,
ng bin gii dch chuyn xung di, do xt n c phn ng ca li sut
danh ngha n l hng sn lng (output gap). Theo ng cong Phillips, t l
lm pht cao hn (lin tc) hm l hng sn lng cao hn (lin tc), dn n
li sut cao hn trong di hn (theo nghin cu ca Woodford, 2003). Tuy
nghin, thc nghim cho thy nh hng ca k
y
n k

l hng ng .

22
Hiu ng t p ng cc thay i k vng c l gii phn I.1.
25
- Ch phng trnh (9): Li sut danh ngha c iu chnh ng thi theo
lch so vi trng thi n nh ca lm pht v sn lng. Nhng bng chng
thc nghim cho thy chnh sch tin t hot ng vi hng neo theo vng
tng lai (forward-looing manner). Trong m hnh vi quy lut li sut neo
theo k vng tng lai (forward-looing), nguyn tc Taylor vn l mt iu
in quan trng cho tnh xc nh (n nh) ca s cn bng, mc d nguyn tc
c ni lng. C th hn, hi li sut danh ngha iu chnh do phn ng
vi vng lm pht tng lai, tnh xc nh i hi k
t
hng qu ln
23
(theo
Woodford, 2003). Tuy nhin, gii hn trn ca k
t
l qu rng tha mn cho
nhiu cch tham s ha hp l (parameterizations), v tho mn cc quy lut li
sut theo thc nghim.V vy, vic tp trung phn tch da trn trng phi quy
lut li sut hng neo theo vng tng lai (non-forward-looing) hng
b gii hn qu mc (vn cho thy tnh thuyt phc).

IV. KT QU THC NGHIM M V EURO:
24

Trong phn ny, bi nghin cu s tin hnh so snh thc nghim hiu ng truyn
dn (pass-through) li sut gia 2 h thng ti chnh:
- Khu vc chu u Euro: H thng ti chnh da vo ngn hng.
- Nc M - U.S.: H thng ti chnh da vo th trng
M hnh thc nghim c s dng da trn phng trnh (8) phng trnh m t
quan h li sut bn l (retail interest rate) v li sut th trng. V m hnh ny
cha tnh n u t mt cch r rng, C
t
c hiu theo ngha rng: l thnh phn

23
Ngoi ra, theo nghin cu Forward-looking vesus Backward-looing Taylor rules ca Charles
T.Carlstrom v cng .s (2000), khi thm yu t k vng lm pht tng lai vo hm iu chnh
li sut danh ngha, h s phn ng i vi lm pht hin ti hoc qu kh c th c gim bt,
thng qua h s iu chnh k vng c. Cng thc tng qut l

( )

) . iu kin xc nh c trng thi cn bng thc l t v c . Nu

k vng v lm pht tng lai c xt n, c , h s phn ng li sut danh ngha lm pht
hin ti tc s st gim.
24
Theo bi nghin cu Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic
Stability (3/2006) ca Claudia Kwapil v Johann Scharler.
26
nhy cm vi li sut trong GDP, bao gm c tiu dng v u t. Do , bi
nghin cu s da trn mt lot cc li sut bn l thch hp vi ngi tiu dng
(li tin gi) v doanh nghip (li cho vay).
Qu trnh phn tch thc nghim bao gm cc bc:
- Bc 1: Kim nh nghim n v (unit roots) ca chui d liu v li sut bn
l v li sut chnh sch (li sut th trng k hn 3 thng c ly lm i
din cho li sut chnh sch).
- Bc 2: Kim nh ng lin kt (cointegration) gia li sut bn l v li sut
chnh sch, qua hi qut ha phng trnh (8) thnh m hnh hi quy sai s
hiu chnh (error-correction model).
- Bc 3: c lng hiu ng truyn dn trong ngn v di hn, s dng hm hi
quy tng t phng trnh (8).
4.1. D liu:
Do c s khc bit v h thng thng k d liu, vic tm chui li sut bn l
tng xng cho nc M v khu vc uro l h h hn. c s tng xng,
vi li tin gi ngn hng, bi nghin cu chn cc li sut c k hn tng t
nhau. Vi li cho vay, s bao gm cc li sut cho vay kinh doanh v tiu dng ph
bin t ngn n di hn. C th, bi nghin cu chia b d liu ring bit cho 2
khu vc:
- Nc M:
- Li sut tin gi: Bao gm 4 loi li sut khc nhau, k hn t n 12
thng.
- Li sut cho vay: Bao gm 3 loi li sut khc nhau: khon vay kinh doanh
ngn hn, tn dng tiu dng ngn hn, khon vay th chp cho kinh doanh
v tiu dng.
- Khu vc Euro:
27
- Li sut tin gi: Bao gm 5 loi li sut tin gi hc nhau: tin gi thanh
ton (sight deposits), tin gi tit kim (k hn di v trn 3 thng) v tin
gi c k hn (k hn di v trn 2 nm).
- Li sut cho vay: Bao gm 4 loi li sut cho vay hc nhau: hon vay kinh
doanh (k hn di v trn nm), hon vay tiu dng ngn hn v khon
vay tiu dng c th chp.
Cc loi li sut trn u l d liu hng thng, ngoi tr li tn dng tiu dng
M c bo co theo qu. D liu ch yu c ly trong thi t /995 n
9/2003 do cha th tm c chui d liu no di hn
25
. Bng m t d liu c th
c trnh by phn Ph lc A.
Nhiu li sut bn l c xem xt, nhm cho mt ci nhn tng quan v hiu ng
truyn dn (pass-through) qua nhiu loi li sut khc nhau. Tuy nhin, bi nghin
cu cn xy dng li sut bnh qun gia quyn, nhm xem xt tc ng nht qun
thng qua gi tr i din ny. Trng s c la chn da trn t trng ti khon
tin gi hoc cho vay trong danh mc ca ngn hng thng mi:
- Ti M, trng s c tnh t Flow of Fund Accounts of the United States,
c cng b bi Board of Governors of the Federal Reserve System
26
. Tuy
nhin, ti khon tin gi
27
hng c phn theo k hn, nn khng th xy
dng bnh qun gia quyn cho ring li sut tin gi ti M.
- Ti khu vc Euro, t trng c ly trc tip t bng cn i k ton theo cng
b ca Monetary Financial Institutions (MFI), trong thng k ca CBs
Monthly Bulletin
28
.

25
Nm 2003, Ngn hng Chu u CB thay i cch tnh li sut hng thng v ngng cng b
d liu theo trc 9/2003. D liu bt u t cui 2003 khng ph hp vi d liu trc .
26
Nm 2003, hon vay kinh doanh chim 29%, vay tn dng tiu dng chim 15% v vay th
chp chim 51% tng s cho vay ca ngn hng thng mi. Tng cng l 95%.
27
C tin gi c k hn v tin gi tit kim.
28
Nm 2003, hon vay kinh doanh, vay tiu dng ngn hn v vay th chp tiu dng chim ln
lt 52%, 8% v 40% tng cho vay. Ngoi ra, tin gi thanh ton, tit kim v c k hn chim
28
Cc bin li sut c m t c th Ph lc A.
4.2. Kim nh nghim n v v ng lin kt:
Kim nh nghim n v:
- Cc m hnh kim nh:
- ADF test (tham kho Dickey v Fuller (1979); Said v Fuller (1984))
- PP test (tham kho Phillips (1987); Phillips v Perron (1988))
- NgP tests: Ng v Perron (2001) cho rng cc kim nh nghim n v
trn c ngha thng k thp, v quy m b nhiu. Do , bi nghin cu
s dng thm 4 kim nh ca Ng v Perron nhm tng ngha v quy
m kim nh.
- Kt qu kim nh:
Tt c trng hp u cho thy chui d liu l lin kt bc nht I(), tng
ng vi c ADF test, PP test v NgP tests.
Cn mt trng hp ngoi l, l chui li sut tin gi thanh ton khu vc
Euro, ch c PP test cho kt lun lin kt bc nht I(1), ADF test v NgP
tests li kt lun chui d liu lin t bc hai I(2). Do , t lun theo a
s kim nh l I(2).
Kt qu kim nh chi tit c trnh by Ph lc B1 v B2.
Kim nh ng lin kt
phn ny, chng ta s tin hnh kim nh ng lin kt, do li sut th trng
v li sut bn l l lin kt bc nht I(1) (ngoi tr li sut tin gi thanh ton
khu vc Euro). Chui d liu li sut tin gi thanh ton hu vc uro c
loi b khi kim nh ny.
- Cc m hnh kim nh:

ln lt 38%, 31% v 31% tng tin gi ca t chc phi ti chnh v h gia nh trong hu vc
Euro.
29
- Kim nh phn d hi quy OLS (OLS-residual-based tests) c
xut bi Engle v Granger (1987) (ADF test), Phillips v Ouliaris (1990)
(PP test).
- PR tests c pht trin bi Perron v Rodriguez (2001), s dng hi
quy GLS vi d liu loi b xu hng (detrended), c thit k
tng t kim nh ca Ng v Perron (2001). C th hn, im nh gm
2 loi PR tests, l dng ci tin t thng k PP test (MZa) v ADF test
(ADF-GLS).
- Kt qu kim nh:
i vi M, kim nh chun (ADF v PP test) kt lun li sut bn l (tin
gi cng nh cho vay) ng lin kt vi li sut th trng (ti mc ngha
ti thiu l 10%). Tuy nhin, PR tests li ph nh kt lun trn.
i vi khu vc Euro, ADF v PP test cho kt lun hng ng b. Li sut
cho vay di hn cho kt qu ng lin kt, cn li cho vay ngn hn v li
tin gi ngn hn c v hng ng lin kt vi li sut th trng. Tuy
nhin, i vi li sut bn l , PR tests ci tin li cho kt lun r rng
hng c ng lin kt mi chui li sut.
Cc kt lun t PR tests cho thy ngha thng k cao t hi quy GLS vi
d liu loi b xu hng (detrended), nn bi nghin cu kt lun rng,
khng c li sut bn l no ng lin kt vi li sut th trng.
Kt qu kim nh chi tit c trnh by Ph lc B3 v B4.

4.3. Hiu ng truyn dn di hn Kt qu thc nghim M v Euro:
4.3.1. M hnh hi quy:
Chng ta c lng hiu ng truyn dn trong ngn v di hn da trn phng
trnh (8).
30
Do chui li sut c kim nh khng c tnh dng, l chui lin kt bc nht
I(1), nn cc bin s li sut u c ly vi phn bc . Bn cnh , do hng
tm thy tnh ng lin kt gia li sut th trng v li sut bn l, sai s hi
quy (theo m hnh C) c loi tr khi hm hi quy.
Phng trnh (8) c bin i thnh hm hi quy tng qut (10). M hnh hi
quy c s dng c lng l m hnh ADL (Autoregressive Distributed-
Lag) iu chnh tr hi quy. Cc bin tr ca li sut th trng v li sut
bn l c thm vo trong qu trnh hi quy. S lng bin tr c la chn
da trn iu kin Akaie Information vi s lng bin tr ti a l .


Trong :
- Cc bin s u dng sai phn bc 1.
- Hiu ng truyn dn ngn hn
1
c o lng bi a
o
, cho bit tc
ng trc tip ca li sut th trng hin hnh AR
t
n li sut bn
l hin hnh AR
D
t
.
- Hiu ng truyn dn di hn cho bit tc ng qua nhiu thi k
ca li sut th trng AR
t-i
ln li sut bn l AR
D
t-i
, ua nh
hng trc tip hoc gin tip n li sut bn l AR
D
t
trong hin ti.
c o lng nh sau:

(n v m cho bit s bc tr tng ng ca bin AR
t
v AR
D
t
)
31
Cc phn sau y s tip tc trnh by cc kt qu hi quy v tin hnh so snh
hiu ng truyn dn li sut M v khu vc Euro.
4.3.2. Hiu ng truyn dn M:
Bng 1: Hiu ng truyn dn ngn v di hn M, thi k 1995 - 2003

Ghi ch: TCD l vit tt ca Time Certificates of Deposit chng ch tin
gi tit kim. Trong ngoc n l sai s chun tng ng h s hi quy. Sai
s chun ca cc h s truyn dn di hn c tnh theo phng php
Delta (xem Greene, 2000, trang 330). Chui s liu v li sut cho vay th
chp M c rt ngn thnh 1995-2000, do nm 2000 c s thay i
ng k v s liu. Ngoi ra, hiu ng truyn dn ngn v di hn sau nm
2000 cng cho thy s st gim mnh. V vy, nhm trnh sai st t li sut
th chp, trng s c iu chnh theo giai on 1995-2000.
Hiu ng truyn dn di hn i vi li sut tin gi ngn hng gn nh l hon
ton. C th, i vi li sut k hn ngn (1 v 3 thng), gi thit H
o
: = 1
c chp nhn. i vi li sut k hn di (6 v 12 thng), hiu ng truyn
dn cng tin gn n mc n v ( thp hn hng ng ).
Ngoi ra, hiu ng truyn dn ngn hn vi li sut tin gi cng gn nh hon
ton. iu ny cho thy nhng thay i trong li sut th trng c truyn
32
dn mt cch nhanh chng. Trong vi trng hp, hiu ng truyn dn ngn
hn thm ch cn ln hn di hn.
Hiu ng truyn dn di hn i vi li sut cho vay hng c ng nht vi
nhau. Mt mt, trong di hn, li sut th chp M b ngn hng hp thu kh
nhiu, nu li sut th trng thay i 00 im c bn
29
, li sut th chp ch
thay i 29 im c bn. Mt khc, vi li vay kinh doanh ngn hn, hiu ng
truyn dn di hn gn nh l hon ton (chp nhn gi thit H
o
: = 1 vi
ngha thng cao). Tng t, hiu ng truyn dn ngn hn cho thy s khc
bit ln cc loi li sut khc nhau.
Cui cng, i vi bnh qun gia quyn ca li sut cho vay, hiu ng truyn
dn di hn M l 0,57. Ni cch khc, trong di hn, ch c gn 0% thay i
ca li sut th trng k hn 3 thng (0 im so vi 00 im c bn) c
truyn dn n ngi i vay, v phn cn li b hp th bi h thng ngn
hng.
4.3.3. Hiu ng truyn dn khu vc ng Euro:
Bng 2: Hiu ng truyn dn ngn v di hn khu vc Euro, thi k 1995 -
2003


29
im c bn (basis point) biu th lng thay i tuyt i ca cc s liu v li sut hoc t
sut sinh li. 00 im c bn tng ng vi im phn trm thay i ca li sut.
33
Ghi ch: TD l vit tt ca Time Deposits chng ch tin gi tit kim.
Trong ngoc n l sai s chun tng ng h s hi quy. Sai s chun ca
cc h s truyn dn di hn c tnh theo phng php Delta (em
Greene, 2000, trang 330).
Hiu ng truyn dn i vi li sut tin gi khu vc Euro thp hn nhiu so
vi M. Trong di hn, hiu ng truyn dn ch nm t 0,27 (li sut tit kim
k hn nh hn 3 thng) n 0,66 (li sut tit kim k hn 2 nm). t qu ny
nh hn so vi bo co ca De Bondt (2005), tng ng vi mi loi li sut.
Tuy nhin, ln tng i gia cc h s mi loi li sut vn gia nguyn
so vi bo co ca De Bondt (2005). Trung bnh, trong di hn, hiu ng truyn
dn khu vc Euro khong 0,32.
Hiu ng truyn dn ngn hn vi li sut tin gi khu vc uro cng hng
ng nht vi nhau. Vi li sut k hn ngn, hiu ng truyn dn ngn hn (1
thng) chim n 1/3 hoc hiu ng truyn dn di hn. Vi li sut k
hn di, truyn dn ngn v di hn tng i ging nhau.
Hiu ng truyn dn di hn vi li sut cho vay khu vc Euro vn thp hn
bo co ca De Bondt (2005). truyn dn ch nm trong khong t 0,43 (li
sut vay tiu dng k hn ngn) n 0,69 (li sut vay kinh doanh k hn 1
nm).
Bnh qun gia quyn li sut cho vay (k c k hn ngn v di) c truyn
dn di hn l 0,48. V vy, khu vc Euro, c gn 50% thay i ca li sut
th trng k hn 3 thng (50 im so vi 00 im c bn) c truyn dn
n ngi i vay, v phn cn li b hp th bi h thng ngn hng.
4.3.4. Tm lc kt qu:
Qua cc kt qu trn, chng ta tm gn kt qu thc nghim so snh truyn
dn nh sau:
- t trung bnh, hiu ng truyn dn di hn vi li sut tin gi M gn
nh l hon ton, cn khu vc Euro ch mc 0,32.
34
- t trung bnh, hiu ng truyn dn di hn vi li sut cho vay M (0,57)
cng ln hn so vi khu vc Euro (0,48). Tuy nhin, s khc bit khng c
ngha thng k cao.
T thc nghim trn cho thy, hiu ng truyn dn di hn M l ln hn so
vi khu vc Euro.
4.4. Cc tranh lun:
Mc tiu ca bi nghin cu ny l phn tch qu trnh truyn dn t li sut chnh
sch n li sut bn l, nh hng n tnh cn bng xc nh v n nh trong nn
kinh t v m. Tuy nhin vic tnh ton nh lng gp h hn, gia li sut bn
l v li sut th trng, li sut no c tc ng ng hn n tng cu.
Ch c mt phn nh cc h gia nh v cng ty a vo cc trung gian ti
chnh, phn cn li tham gia vo th trng ti chnh mt cch trc tip. Nu
s truyn dn li sut bn l b gii hn, do s hnh thnh cc mi quan h v
nhng tha thun ngm, th li sut th trng ni chung s iu chnh rt gn theo
li sut chnh sch. Gi nh rng, t nht s truyn dn t li sut chnh sch
sang li sut th trng trong di hn l gn nh hon ton th hiu ng
truyn dn n li sut mt cch tng th (li sut tc ng n tng cu), s
ln hn n ring li sut bn l.
M, s truyn dn trong di hn, i vi hu ht cc danh mc li sut tin
gi v 0,57 i vi li vay. Do t qu thc nghim cho thy rng

(gii
hn di ca

) nm gia 1 v 1,75 M
30
. Mc d vy, h thng ngn hng cng
nh li sut bn l ch ng vai tr tng i nh trong vic xc nh tng cu
M
31
. Vy nn chng ta c th kt lun rng

thc cht c th nm gn vi cn
di hn (gi tr ).

30
Bi nghin cu gi nh

= 0. Theo thc nghim, gi tr hp l ca

cng gn bng gi tr
ny.
31
Bi nghin cu gc tham ho Comparing Financial Systems (Allen, F., Gale, D., 2000) v
Ban finance versus bond finance: What explains the differences between the US and
urope?(De Fiore, F., Uhlig, H., 2005).
35
khu vc ng Euro, s truyn dn trung bnh trong di hn thp hn so vi M.
Do , gi tr

phi ln hn m bo tnh xc nh. Kt qu c lng i vi

s truyn dn trung bnh n li vay th cho ra

, cn i vi li sut tin gi
th

3. Tng t nh M, li sut th trng khu vc uro tc ng nhiu

n tng cu v n nh v m, hn l li sut bn l. Do s truyn dn i vi li
sut th trng l cao hn, nn nhng gi tr 2 v 3 ca

nn c hiu l gi tr
cn trn. Gi tr

s nm gia 1 v 2 (hoc 3). Mc d vy, trong h thng ti

chnh da trn ngn hng nh hu vc ng Euro,

khng nn qu nh so vi 2
hoc 3. Nhn chung, s truyn dn cao hn n li sut bn l M cng vi quy
m tng i nh hn ca ngnh ngn hng M cho thy rng,

M thp hn
so vi chu u.
So snh vi cc kt qu thc nghim khc, ta c:
- Clarida v cng s (2000) c lng

= 2.15 th trng M trong giai

on Volcker-Greenspan.
- Da vo d liu thi gian thc t (real-time-data), Orphanides (2005) cho ra kt
qu

1.8.
- Vi khu vc ng Euro, Gerdesmeier v Roffia (2004) c tnh

nm t 1.9
n 2.2.
Nhng c lng trn mt ln na lm vn tr nn phc tp hn. c d vy,
nhng gi tr c lng ca

thng ri vo min xc nh c M v khu vc

ng Euro (

>

). Tuy nhin, khu vc ng Euro vi h thng ti chnh da
trn ngn hng,

gn vi min hng xc nh hn M.

36
V. QU TRNH TRUYN DN LI SUT VIT NAM
KT QU THC NGHIM TRONG GIAI ON 2000
2012:
5.1. D liu:
Bng 3: Thng k d liu li sut Vit Nam t nm 2000 n 2012.
Li sut Ngun Cch tnh
Thi gian
ly mu
Li sut tin gi
(LSGUI)
IFS, NHNN
Gi tr cui thng. Tnh
theo %/nm. Tnh bnh
qun gia quyn tt c
hn.
2000:01 -
2010:12
Li sut cho vay
(LSVAY)
IFS, NHNN
Gi tr cui thng. Tnh
theo %/nm. Tnh bnh
qun gia quyn tt c
hn.
2000:01 -
2010:12
Li sut ti c vn
(LSTCV)
NHNN
Gi tr cui thng. Tnh
theo %/nm. Tnh ng
theo li sut NHNN cng
b trong thi .
2000:04 -
2012:02
Li sut ti chit hu
(LSTCK)
NHNN
Gi tr cui thng. Tnh
theo %/nm. Tnh ng
theo li sut NHNN cng
b trong thi .
2000:04 -
2012:02
Li sut th trng
lin ngn hng
(LSNH)
NHNN
Gi tr cui thng. Tnh
theo %/nm. Tnh bnh
qun n gin tt c
hn.
2004:07 -
2012:02
Li sut th trng
tri hiu chnh h
hn 1 nm LSTP)
Bloomberg
Gi tr cui thng. Tnh
theo %/nm. Tnh theo
thng ca Bloomberg.
2007:03 -
2012:02
37
Ghi ch:Li sut c bn cha c nhm nghin cu xem xt, do vic quy
nh li sut c bn Vit Nam vn cha pht huy nhiu hiu qu trong
iu hnh chnh sch (theo nhn nh ca TS. Nguyn Ngc Bo - V trng
V Chnh sch tin t - NHNN Vit Nam). Ngoi ra, k t khi p dng li
sut c bn 8/2000, NHNN mt s ln thay i cch tnh cng nh cch
p dng vi ngn hng, do gy nn nhiu bt li khi thng k.
5.2. Xy dng cc m hnh nh lng:
phn m rng ny, nhm nghin cu s xem xt hiu ng truyn dn ring th
trng Vit Nam, qua a ra nh gi s b v hiu qu ca chnh sch tin t
khi s dng cng c iu hnh li sut.
Qua , nhm tham ho 3 bi nghin cu chnh:
- Interest Rate Pass-through, Monetary Policy Rules and Macroeconomic
Stability ca Kwapil v Schaler (2006) (bi nghin cu ti 6A).
- onetary Policy Transparency and Pass-through of Retail Interest Rates
ca Ming-Hua Liu v cng s (2005) (bi nghin cu ti 5B).
- Interest Rate Pass-through during the Global Financial Crisis: The case of
Sweden ca Peter Welz v cng s (2011).
V xy dng m hnh nh lng Vit Nam nh sau:
1. Xem xt ring bit hiu ng truyn dn t li sut chnh sch (gm li sut
ti cp vn hoc ti chit khu) n li sut th trng (gm li sut lin
ngn hng v tri phiu), v t li sut th trng n li sut bn l (gm li
sut tin gi v cho vay).
2. Nu cc chui li sut l dng sai phn bc 1, v khng tn ti ng lin
kt gia cp li sut ang xt, th m hnh hi quy s l m hnh ADL
(Autoregressive Distributed-Lag) c iu chnh tr hi quy. tr ti a
l 8.
38

Trong : S truyn dn ngn hn (trc tip) l h s a
0
. S truyn dn
di hn c tnh

.
3. Nu cc chui li sut l dng sai phn bc 1, c tn ti ng lin kt gia
cp li sut ang xt, th vic s dng ring m hnh ADL s khng cn ph
hp na. Quan h di hn (s truyn dn di hn) c biu th qua hm hi
quy OLS:

Trong : S truyn dn di hn l h s o
1
.
Quan h ngn hn c biu th qua hm hi quy hiu chnh sai s theo m
hnh ECM (Error Correction Model), v ly bin tr tng qut theo m hnh
ADL (Autoregressive Distributed-Lag). tr ti a l 8.

Trong : S truyn dn ngn hn (trc tip) l h s |
1
. Cn c
t-1
chnh
l sai s hiu chnh ca m hnh ECM.

5.3. Kim nh nghim n v v ng lin kt:
Kim nh nghim n v:



39
Bng 4: Kim nh nghim n v cc chui li sut Vit Nam. Thi k
tng ng mi loi li sut.
Li sut ADF test PP test
Li sut bn l
LSGUI -1.16 -2.48
DLSGUI -5.28*** -8.10***
LSVAY -1.40 -2.63*
DLSVAY -5.64*** -9.82***
Li sut chnh sch
LSTCV -0.25 -1.08
DLSTCV -5.24*** -8.41***
LSTCK -1.41 -1.33
DLSTCK -4.58*** -8.79***
Li sut th trng
LSNH -2.23 -2.23
DLSNH -3.67*** -11.55***
LSTP -2.13 -2.43
DLSTP -4.75*** -4.38***
Ghi ch:
A i din cho sai phn bc 1 ca chui li sut tng ng.
Gi thit H
o
l chui d liu c nghim n v (khng c tnh dng). K hiu
***, **, * cho bit gi thit H
o
b bc b ti mc ngha , 5 hoc
10%. Tt c kim nh u s dng kim nh c hng s.
Theo kt qu kim nh trn, tt c cc chui li sut Vit Nam u l chui
khng dng, v l lin kt bc nht I(1) (dng sai phn bc 1). Ngoi tr chui li
sut cho vay c PP test cho kt qu l chui dng, vi mc ngha 0%, nhng
vn cha c s kt lun l chui dng.
40
Kim nh ng lin kt:
Do cc chui li sut u l lin kt bc nht I(1), nn t ta bt u kim nh s
tn ti ca ng lin kt gia cc cp li sut.
Bng 5: Kim nh ng lin kt gia cc cp li sut chnh sch v li sut
th trng Vit Nam.

LSTCK LSTCV

H s
ng
lin t
ADF
test
PP test
DF GLS
test
H s
ng
lin t
ADF
test
PP test
DF GLS
test
LSTP 0.72 -2.96** -2.61* -1.95** 0.78 -2.55 -2.26 -1.82*
LSNH 0.79 -3.02** -5.33*** -3.05*** 0.83 -3.83*** -5.26*** -2.77***
Ghi ch:
Gi thit H
o
l khng tn ti ng lin kt (gia li sut chnh sch v li
sut th trng). K hiu ***, **, * cho bit gi thit H
o
b bc b ti mc
ngha , 5 hoc 10%. Kim nh ADF, PP v DF-GLS u da trn hm
bao gm hng s.
T bng kt qu trn, ta rt ra cc kt lun sau (cc kt lun u da trn kt qu
theo a s t 3 kim nh ADF test, PP test v DF-GLS test).
- Gia li sut tri phiuv li sut ti chit khu: C 3 kim nh u kt lun c
th bc b gi thit H
0
ti mc ngha 5% hoc 10%. T kt lun gia 2
chui ny c tn ti ng lin kt, cho thy gia chng c quan h di hn vi
nhau. Ta s dng m hnh OLS v ECM-ADL.
- Gia li sut tri phiu v li sut ti cp vn: C 2/3 kim nh cho kt lun
cha th bc b H
0
, ch c kim nh DF-GLS bc b H
0
ti mc ngha 0%,
nhng hng ng . T t lun gia 2 chui li sut khng tn ti ng
lin kt. Ta s dng m hnh sai phn bc 1 vi ADL.
41
- Gia li sut lin ngn hng v li sut chnh sch: Tt c kim nh u cho kt
lun bc b H
0
mc ngha cao %. T t lun gia cc cp ny u tn
ti ng lin kt. Ta s dng m hnh OLS v ECM-ADL.
Bng 6: Kim nh ng lin kt gia cc cp li sut th trng v li sut
bn l Vit Nam.

LSTP LSNH

H s
ng
lin t
ADF
test
PP test
DF
GLS
test
H s
ng
lin t
ADF
test
PP test
DF GLS
test
LSGUI 0.80 -1.70 -1.91 -1.59 0.96 -3.39** -4.86*** -2.77***
LSVAY 0.75 -3.79*** -3.12** -1.62* 0.87 -3.43** -5.43*** -2.71***
Ghi ch:
Gi thit H
o
l khng tn ti ng lin kt (gia li sut th trng v li
sut bn l). K hiu ***, **, * cho bit gi thit H
o
b bc b ti mc
ngha , 5 hoc 10%. Kim nh ADF, PP v DF-GLS u da trn hm
bao gm hng s.
Tng t nh trn, ta rt ra cc kt lun sau:
- Gia li sut tri phiu v li sut tin gi: C 3 kim nh u cho thy cha
th bc b H
0
. Kt lun rng gia 2 chui li sut ny khng tn ti ng lin
kt. Ta s dng m hnh sai phn bc 1 ADL.
- Gia li sut tri phiu v li sut cho vay: C 3 kim nh u cho thy c th
bc b H
0
ti mc ngha %,5% hoc 10%. Kt lun gia 2 chui li sut ny
tn ti ng lin kt. Ta s dng m hnh OLS v ECM-ADL.
- Gia li sut lin ngn hng v li sut bn l: Tt c kim nh u cho kt
lun bc b H
0
mc ngha cao % hoc 5%. T t lun gia cc cp ny
u tn ti ng lin kt. Ta s dng m hnh OLS v ECM-ADL.
42
5.4. Qu trnh truyn dn t li sut chnh sch n li sut th trng:
Bng 7: S truyn dn li sut chnh sch n li sut th trng Vit
Nam. Giai on 3/2007 2/202 i vi li sut tri phiu chnh ph. Giai
on 7/2004 2/202 i vi li sut lin ngn hng.

LSTCK LSTCV

Truyn n
trc ti
Truyn n
i hn
Truyn n
trc ti
Truyn n
i hn
LSTP 0.83 0.72 1.08 0.81
LSNH 0.46 0.79 0.75 0.83
Ghi ch: Tt c cc h s u c ngha thng k vi mc ngha t 1%
n 0. Ring tc ng di hn trong m hnh ADL c tnh da trn cc
h s tng hp ca m hnh, nn nhm nghin cu ch c th m bo cc
h s thnh phn u c ngha thng k vi mc ngha n 10%.

4
8
12
16
20
24
2007 2008 2009 2010 2011
LSTP LSTCV LSTCK
LSTP
LSTCK
LSTCV
43

- Truyn dn t li sut chnh sch n li sut tri phiu chnh ph k hn 1
nm:
o Trong ngn hn, s truyn dn trc tip mc kh cao v gn n
mc hon ton (0,83 khi truyn dn t li sut ti chit khu v 1,08
khi t li sut ti cp vn). T th, ta cng thy c li sut tri
phiu kh nhy cm vi thay i li sut chnh sch trong ngn hn.
o Trong di hn, s truyn dn mc thp hn so vi ngn hn, v
cha t c s truyn dn hon ton (0,72 khi truyn dn t li sut
ti chit khu v 0,81 khi t li sut ti cp vn).
- Truyn dn t li sut chnh sch n li sut lin ngn hng:
o Trong ngn hn, s truyn dn trc tip mc kh thp v khng
ng nht (0,46 khi truyn dn t li sut ti chit khu v 0,75 khi t
li sut ti cp vn). iu ny cho thy, li sut th trng lin ngn
hng nhy cm hn i vi li sut ti cp vn theo quy nh ca
NHNN. Mc d vy, li sut lin ngn hng vn cho thy tnh bin
ng ngn hn kh ln so vi mc li sut m NHNN cng b.
o Trong di hn, ngc li, s truyn dn mc cao hn so vi ngn
hn, tuy nhin vn cha t c s truyn dn hon ton (0,79 khi
0
4
8
12
16
20
2005 2006 2007 2008 2009 2010 2011
LSNH LSTCV LSTCK
LSNH
LSTCV
LSTCK
44
truyn dn t li sut ti chit khu v 0,83 khi t li sut ti cp
vn).
- Ngoi ra, vic c lng trn c th tn ti mt s hn ch, khi trong mu
bao gm lun c giai on bin ng mnh ca li sut nm 2008 i ph
vi lm pht cao, cng nh hng hong. Theo nghin cu Interest Rate
Pass-through during the Global Financial Crisis: The case of Sweden ca
Peter Welz v cng s (2011), s truyn dn trong giai on ny c th s b
gim st, v nh hng n c lng cho c mu.
5.5. Qu trnh truyn dn t li sut th trng n li sut bn l:
Bng 8: S truyn dn li sut th trng n li sut bn l Vit Nam.
Giai on 3/2007 2/200 i vi li sut tri phiu chnh ph. Giai on
7/2004 2/200 i vi li sut lin ngn hng.

LSTP LSNH

Truyn n
trc ti
Truyn n
di hn
Truyn n
trc ti
Truyn n
i hn
LSGUI 0.52 0.70 0.23 0.96
LSVAY 0.37 0.75 0.19 0.87
Ghi ch: Tt c cc h s u c ngha thng k vi mc ngha t 1%
n 0. Ring tc ng di hn trong m hnh ADL c tnh da trn cc
h s tng hp ca m hnh, nn nhm nghin cu ch c th m bo cc
h s thnh phn u c ngha thng k vi mc ngha n 10%.
45


- Truyn dn t li sut tri phiu chnh ph k hn nm n li sut bn l:
o Trong ngn hn, s truyn dn trc tip mc kh thp (0,52 i vi
li sut tin gi v 0,37 i vi li sut cho vay). iu ny cho thy
trong ngn hn, cc li sut bn l iu chnh t hn so vi thay i t
li sut th trng tri phiu.
o Trong di hn, s truyn dn mc tng i cao, tuy nhin vn
cha t c mc truyn dn hon ton (0,70 i vi li sut tin
gi v 0,75 i vi li sut cho vay).
4
8
12
16
20
24
2008 2009 2010
LSTP LSGUI LSVAY
LSTP
LSGUI
LSVAY
4
8
12
16
20
24
2005 2006 2007 2008 2009 2010
LSNH LSGUI LSVAY
LSNH
LSGUI
LSVAY
46
- Truyn dn t li sut th trng lin ngn hng n li sut bn l:
o Trong ngn hn, s truyn dn trc tip mc rt thp (0,23 i vi
li sut tin gi v 0,9 i vi li sut cho vay). iu ny cho thy,
li sut bn l t b tc ng trong ngn hn khi li sut th trng
lin ngn hng thay i. Mt khc, t th ta c th thy, tnh bin
ng ngn hn ca li sut lin ngn hng kh ln, tuy nhin cc li
sut bn l khng bin ng nhiu trong ngn hn.
o Trong di hn, ngc li, s truyn dn mc rt cao v tin gn n
mc truyn dn hon ton (0,9 i vi li sut tin gi l 0,87 i
vi li sut cho vay). iu ny xut pht t quan h ng lin kt di
hn kh cao gia li sut lin ngn hng v li sut bn l. T cho
thy, trong di hn, cc ngn hng iu chnh li sut bn l mt cch
ph hp theo bin ng li sut lin ngn hng.
- Ngoi ra, vic c lng trn c th tn ti mt s hn ch, khi trong mu
bao gm lun c giai on bin ng mnh ca li sut nm 2008 i ph
vi lm pht cao, cng nh hng hong. S truyn dn trong giai on ny
c th s b gim st, v nh hng n c lng cho c mu.

5.6. Cc bin lun cho s truyn dn li sut Vit Nam giai on 2000
2012:
i vi qu trnh truyn dn t li sut chnh sch n li sut th trng:
- Trong ngn hn, hiu ng truyn dn trc tip t li sut ti cp vn n li
sut th trng ln hn t li sut ti chiu hu. Do li sut ti cp vn
c p dng hi NHTW ng vai tr l ngi cho vay cui cng ca cc
NHTM nn NHTW s tng cng im sot. V vy, hiu ng truyn dn t
li sut ti cp vn s cao hn.
- Cng trong ngn hn, hiu ng tuyn dn trc tip t li sut chnh sch n
li sut tri phiu th trng ln hn n li sut lin ngn hng. C th l do
47
li sut tri phiu bin ng do cc giao dch neo vng h cht vo bin
ng li sut chnh sch, cn li sut lin ngn hng phn no ph thuc vo
nhu cu v cung vn vay gia cc NHT duy tr tnh thanh khon ca h
thng.
- Trong di hn, hiu ng truyn dn t li sut chnh sch n li sut th
trng kh cao v ng u, iu ny biu th rng li sut th trng c
iu chnh dn dn theo xu hng chung ca chnh sch tin t, do th
trng v cc ngn hng thch nghi c thay i trong li sut chnh
sch.
i vi qu trnh truyn dn t li sut th trng n li sut bn l:
- Trong ngn hn, hiu ng truyn dn trc tip t li sut tri phiu ti li
sut bn l ln hn t li sut lin ngn hng.
- Nhn chung trong di hn, hiu ng truyn dn t li sut chnh sch n li
sut th trng v t li sut th trng n li sut bn l l hng ton hon
nhng vn mc cao (t 0.7 n 0.9). Theo quan im ca nhm, c 3
nguyn nhn sau:
- H thng ngn hng Vit Nam ch yu l cc ngn hng quc doanh.
Do , chnh ph v NHTW d dng thao tng. Dn n to hiu ng
truyn dn cao.
- Thiu minh bch thng tin chnh sch lm mt lng tin ca cc nh u
t. Do , cng c iu hnh li sut hng hiu qu. Dn n tc ng
ngc li: Lm gim hiu ng dn truyn.
- Vic im sot hot ng ca cc NHT vn cha thc s hiu qu (tn
ti cc tha thun ngm, hoc nh x ro li sut). iu ny cng dn
n hiu ng dn truyn hng hon ton.


48
5.7. xut cc hng nghin cu m rng v hiu ng pass-through li sut
Vit Nam:
i vi Vit Nam, ti vn cn tn ti nhiu hn ch nh sau:
- Mu d liu c tnh ton theo IFS cha thc s chnh xc, do cha phn nh
ng bin ng ca li sut tin gi v cho vay thc t trn th trng.
- ti vn cha a ra t lun chc chc cho nguyn nhn gy nn s truyn
dn khng hon ton t li sut chnh sch n li sut th trng, cng nh t
li sut th trng n li sut bn l.
- ti vn cha tnh ton c gii hn di h s phn ng ca chnh sch tin
t i vi lm pht, do vn cha tm ra c phng php nh lng ph hp
vi iu kin th trng Vit Nam.
- ti vn cn b ng vn v s tc ng ca h thng ti chnh n s
truyn dn li sut cc nn kinh t khc nhau. C th l h thng ti chnh da
trn th trng hoc da trn ngn hng.
- ti vn cha xt n tc ng t quy m ca t chc tn dng, iu kin ti
cp vn v quan h vi cc t chc phi ngn hng hc n s dn truyn li
sut ti Vit Nam.
- S khc bit trong truyn dn li sut trong thi k khng hong cha c xt
n, do c th lm sai lch kt qu thc nghim khi xt chung c giai on
2000 2012.
- ti vn cha xem xt mc hi nhp ti chnh hay ni cch hc l m
ca nn kinh t Vit Nam nh hng n hiu ng truyn dn li sut.
Tt c cc hn ch trn u chnh l hng pht trin m nhm nghin cu a ra
i vi cc bi nghin cu sau ny, v vn pass-through li sut Vit Nam.
y l mt vn kh mi, v l mt nhnh nghin cu y trin vng Vit
Nam.

49
KT LUN
S nh hng (hiu qu) ca chnh sch tin t ln tng cu v lm pht ph thuc
vo mc m cc thay i trong li sut chnh sch c truyn dn ti li sut
th trng v li sut bn l. Bi nghin cu tp trung vo kh nng xy ra bin
ng ngoi sinh (sunspot fluctuations) do hiu ng t p ng cc thay i k
vng (self-fulfilling revisions to expectations). Nu hiu ng truyn dn t li sut
chnh sch n li sut bn l khng hon ton trong di hn, th nguyn tc Taylor
chun s hng m bo tnh xc nh ca cn bng c na.
i vi vic so snh gia M v khu vc uro, th cc c lng thc nghim ch
ra rng, hiu ng pass-through hng hon ton ny c bit ph hp vi h thng
ti chnh da trn ngn hng, in hnh l khu vc ng Euro.
i vi Vit Nam, kt qu phn tch thc nghim cho thy rng s truyn dn li
sut trong di hn kh cao, v tin gn n mc hon ton. Tuy nhin, s truyn
dn t li sut chnh sch n li sut bn l vn cha t mc hon ton, cho thy
li sut danh ngha ca chnh sch tin t vn cha t c mt hiu qu cao nht.
Tuy nhin, kt qu nh lng ny phi c din gii mt cch cn trng. Bi v
cha r rng, so vi li sut th trng th li sut bn l nh hng n tng cu
mc no. Do , bi nghin cu ny vn cha a ra t lun chc chn v h
s hi quy ca cc li sut v tc ng ca chng n n nh kinh t v m Vit
Nam.

----------------------------------------------------

a
DANH MC TI LIU THAM KHO
Claudia wapil v Johann Scharler (200), Interest Rate Pass-Through, Monetary
Policy Rules and acroeconomic Stability, Oesterreichische Nationalbank,
Economic Analysis Division.
Ming-Hua Liu, Dimitri Margaritis v Alireza Tourani-Rad (2005), onetary
Policy Transparency and Pass-Through of Retail Interest Rates.
ichael Woodford (990), Self-fulfilling Expectations and Fluctuations in
Aggregate Demand, National Bureau of conomic Research.
Charles T.Carlstrom v Timothy S.Fuerst (2000), Forward-looking vesus
Backward-looing Taylor rules, Federal Reserve Ban of Cleveland.
Geogre W.vans v Bruce cGough (2002) , Stable Sunspot Solutions in Models
with Predetermined variables, University of Oregon.
ichael Woodford (2003), Chapter 2, The Taylor Principle and Determinacy,
Interest and Prices: Foundations of a Theory of onetary Policy, Princeton
University.
Roger. E.A. Farmer (2000), Two new eynesian Theories of Sticy Price odel,
European University Institute, Centre for Economic Policy Research.
Judd, J. F., Rudebush, G. D., (998), Taylors rules and the Fed.
Clarida, R. H., Gal, J., Gertler, ., (2000), onetary policy rules and
macroeconomic stability: vidence and some theory.
Taylor, J. B., (999), A Historical Analysis of Monetary Policy Rules.
De Bondt, G., (2005), Retail ban interest rate pass-through: New evidence at the
euro area level.
Berger v Udell, (992), Some evidence on the empirical significance of credit
rationing.
Chmielewsi, Tomasz, (2003), Interest rate pass-through in Polish.
b
R.Todd Smith, Henry van gteren (2005), Interest rate smoothing and financial
stability, Department of Economics, University of Alberta.
ar A. Weth (2002), The pass-through from market interest rates to bank
lending rates in Germany.
Christoffer o Sorensen v Thomas Werner (200), Ban interest rate pass-
through in the Euro area a cross country comparison.
Niels-Jaob Harbo Hansen, Peter Welz,(20), Interest rate pass-through during
the global financial crisis: The case of Sweden.
Christophe Blot, Fabien Labondance, (20), Ban interest rate pass-through in
the eurozone: Monetary policy transmission during the boom and since the
financial crash.
Pih Nee Tai, Sio un Se (202), Interest rate pass-through and monetary
transmission in Asia.
dge, R., Rudd, J. B. (2002), Taxation and the Taylor principle.
Gal, J., Lpez-Salido, D. J., Valls, J. (200), Rule-of-thumb consumers and the
design of interest rate rules.
Ross Levine (2002) , Ban-Based or Market-Based Financial Systems: Which is
Better?, NBR Woring Paper n 938.
Russell, vans v Preton, (2002), The impact of inflation and uncertainty on the
optimum marup set by firms.
Jordi Gal, ar Gertle v David Lpez (200), uropean inflation dynamics.
National Bureau of Economic Research.
Jordi Gal, ar Gertler (999), Inflation dynamics: A structural economitric
analysis, Department of conomics, New Yor Uni versity.
Blanchard v ahn (980) , The solution of Linear diffirence models under
rational expectations.
c
Willem H.Buiter (982), Predeterminated and Non-Predeterminated variables in
rational expectation models.
Andrew T.Levin, J. David Lopez-Salido, v Tac Yun (200) , Strategic
Complementarities and Optimal monetay policy. Board of Governors of the
Federal Reserve System.
Natalia Andries (202), Analysis of the retail interest rate pass-through in the
urop ean countries: The ARDL approach to cointegration.
----------------------------
i
PH LC
PH LC A: M t d liu hi quy M v Euro.
Da vo bi nghin cu Interest Rate Pass-Through, Monetary Policy Rules and
acroeconomic Stability (3/2006) ca Claudia Kwapil v Johann Scharler.
Bng A: D liu li sut th trng v li sut bn l M v khu vc Euro.


ii
Ghi ch:
TCD l vit tt ca Times Certificates of Deposit (chng ch tin gi k hn).
TD l vit tt ca Time Deposits (tin gi tit kim). Sight deposits l tin gi
thanh ton.
BIS i din cho Kho d liu ca Bank for International Settlements. IFS i
din cho Thng k ti chnh ton cu ca International Monetary Fund. Fed
i din cho Bo co thng k hng thng t Board of Governors of the
Federal Reserve System ca M.

PH LC B: Kim nh nghim n v v ng lin kt cc chui li sut
M v Euro.
Da vo bi nghin cu Interest Rate Pass-Through, Monetary Policy Rules and
acroeconomic Stability (3/2006) ca Claudia Kwapil v Johann Scharler.

iii

Kim nh nghim n v:
Bng B1: Kt qu kim nh nghim n v vi li sut M, thi k 1/1995
n 9/2003.

Ghi ch:
Gi thit H
o
l chui d liu c nghim n v (khng c tnh dng). K hiu
***, **, * cho bit gi thit H
o
b bc b ti mc ngha , 5 hoc
10%. Tt c kim nh u s dng hng s. i vi li sut cho vay th
chp, c hng s v xu th thi gian u c s dng.
-------------------------

iv
Bng B2: Kt qu kim nh nghim n v vi li sut khu vc ng
Euro, thi k /995 n 9/2003.


Ghi ch:
A (A
2
) i din cho sai phn bc 1 (hoc 2) ca chui li sut tng ng.
Gi thit H
o
l chui d liu c nghim n v (khng c tnh dng). K hiu
***, **, * cho bit gi thit H
o
b bc b ti mc ngha , 5 hoc
10%. Tt c kim nh u s dng hng s.




v
Kim nh ng lin kt:
Bng B3: Kt qu kim nh ng lin kt vi li sut M, thi k 1/1995
n 9/2003.

Ghi ch:
Gi thit H
o
l khng tn ti ng lin kt (gia li sut th trng v li
sut bn l). K hiu ***, **, * cho bit gi thit H
o
b bc b ti mc
ngha , 5 hoc 10%. Kim nh ADF v PP u da trn hm bao gm
hng s. Kim nh PR khng bao gm hng s.
---------------------------------

vi
Bng B4: Kt qu kim nh ng lin kt vi li sut khu vc ng Euro,
thi k /995 n 9/2003.

Ghi ch: Tng t Bng B3