truyền dẫn tỷ giá hối đoái vào chỉ số giá xuất nhập khẩu

i
MC LC

1. GII THIU ........................................................................................................... 2
2. TNG QUAN NHNG NGHIN CU TRC Y ....................................... 7
3. NGHIN CU THC NGHIM V HIU NG TRUYN DN CA T
GI HI OI VO GI NHP KHU .............................................................. 12
3.1. Cc yu t quyt nh ERPT .......................................................................... 12
3.2. Cc m hnh l thuyt ..................................................................................... 16
3.2.1. Ngang gi sc mua (PPP) v Lut Mt Gi (LOOP) .............................. 16
3.2.2. Pricing to market (PTM) v cnh tranh khng hon ho ........................ 17
3.2.3 Chin lc nh gi tin t a phng - ng ni t (LCP) v nh gi
ng tin ca nh sn xut (PCP)...................................................................... 19
3.2.4. M hnh l thuyt ...................................................................................... 19
3.3. M t bin v d liu ...................................................................................... 21
3.4. M hnh nghin cu thc nghim ................................................................... 22
3.4.1. Phng php nghin cu ......................................................................... 24
3.4.2. Kim nh tnh dng ca d liu (Unit root test) ..................................... 27
3.4.3. Kim tra mi quan h ng lin kt (Johansen)....................................... 31
3.5. M hnh nghin cu m rng: Tc ng ca nhng yu t kinh t vi m v v
m n s thay i ca ERPT ............................................................................... 34
3.6. M hnh truyn dn t gi bt cn xng ......................................................... 38
4. KT QU NGHIN CU ................................................................................... 39
4.1. M hnh thc nghim ...................................................................................... 39
4.1.1 Tc ng cn bng trong di hn (Hi quy theo m hnh DOLS) ............ 39
4.1.2. Tc ng trong ngn hn (Hi quy theo m hnh ECM) ......................... 44
4.2. Kt qu m hnh nghin cu m rng ............................................................ 46
4.3. S truyn dn bt cn xng ............................................................................ 51
5. KT LUN ........................................................................................................... 53
6. MT S KHUYN NGH TRONG VIC LA CHN CH T GI
VIT NAM ............................................................................................................... 54

ii

DANH MC CH VIT TT

ERPT (Exchange Rate Pass Through): Hiu ng truyn dn t gi hi oi
PTM: Pricing To Market
LCP (Local Currency Pricing): Chin lc nh gi tin t a phng - ng ni t
PCP (Producer currency pricing): Chin lc nh gi tin t ca nh sn xut
NHNN: Ngn hng nh nc
NHTM: Ngn hng thng mi
NTBs (Non-Tariff Barriers): Cc hng ro phi thu quan
GDP (Gross Domestic Product): Tng sn phm quc ni
CPI (Consumer Price Index): Ch s gi tiu dng
PPI (Producer Price Index): Ch s gi sn xut
WPI (Wholesale Price Index): Ch s gi bn bun
PPP (Purchasing Power Parity): Ngang gi sc mua
LOOP (Law of One Price): Lut mt gi
VAR (Vector Autoregression): M hnh vect t hi quy
ECM (Error Correction Model): M hnh hiu chnh sai s
VECM (Vector Error Correction Model): M hnh vect hiu chnh sai s
DOLS (Dynamic Ordinary Least Squares): Phng php bnh phng b nht ng
MC (Marginal Cost): Chi ph bin
P
M
(Import Price): Gi nhp khu
: Mc tng gi
FPE: Final prediction error AIC: Akaike information criterion
SC: Schwarz information criterion HQ: Hannan-Quinn information criterion
PL: Ph lc

iii

DANH MC BNG

Bng 3.1. Kt qu kim nh tnh dng (s dng kim nh KPSS) ...................... 30
Bng 3.2. Kt qu kim nh nghim n v (s dng kim nh Phillip-Perron) .....
....................... ............................. 31
Bng 3.3. La chn tr cho kim nh ng lin kt v m hnh ECM .... PL 2, 3
Bng 3.4, 3.5, 3.6. Kim nh ng lin kt, tr 1 4 ....................................... 33
Bng 3.7. Kt qu kim nh tnh dng (s dng kim nh KPSS) ...................... 37
Bng 3.8. Kim nh ng lin kt, tr 1 -3 ....................................................... 38
Bng 4.1. H s cn bng trong di hn theo ER v ch s PPI ca M (k = 4, p =1)
................................................................................................................................. 39
Bng 4.2. H s cn bng trong di hn theo ER v ch s CPI ca M (k = 4, p =1)
................................................................................................................................. 40
Bng 4.3. H s cn bng trong di hn theo NEER (k = 5, p = 2) ........................ 41
Bng 4.4. Kim nh tnh dng ca phn d .......................................................... 41
Bng 4.5. Tc ng truyn dn ca t gi vo gi nhp khu trong ngn hn ....... 44
Bng 4.8. Kim nh hin tng phng sai thay i v tng quan chui (m hnh
ECM trong ngn hn) .......................................................................................... PL 4
Bng 4.9. Tc ng ca cc yu t kinh t vi m v v m n ERPT ................... 47
Bng 4.10. Kim nh hin tng phng sai thay i v tng quan chui ........ 48
Bng 4.11. Kim nh tnh dng ca phn d ........................................................ 48
Bng 4.12. Kt qu kim nh ng lin kt, tr 1 4 ...................................... 51
Bng 4.13. Kt qu c lng phng trnh (12) H s cn bng trong di hn
................................................................................................................................. 51
Bng 4.14. Kim nh hin tng phng sai thay i v tng quan chui ........ 52
Bng 6.1. C ch t gi ca Vit Nam, giai on 1999 2009 .............................. 57
Bng 6.2. Nhng cng c hin i ca mt NHNN c lp .......................... PL 6, 7

iv

DANH MC HNH V

Hnh 3.1. Ch s gi nhp khu v NEER ca Vit Nam ................................... PL 1
Hnh 4.1. Kim nh phn phi chun ca phn d (resid 01) ............................... 40
Hnh 4.4. Kim nh s n nh ca m hnh ECM ........................................... PL 4
Hnh 4.5. Kim nh phn phi chun ca phn d trong m hnh ECM .......... PL 5
Hnh 4.6. c lng truy hi ERPT vo gi nhp khu Vit Nam ........................ 47
Hnh 4.7. Kim nh phn phi chun ca phn d ................................................ 49
Hnh 4.8. Kim nh phn phi chun ca phn d ................................................ 52
1

HIU NG TRUYN DN T GI HI OI
VO CH S GI NHP KHU VIT NAM

Tm tt

Mt knh truyn dn quan trng ca cc yu t ton cu vo gi trong nc
l thng qua cc bin ng ca t gi hi oi. Hiu ng truyn dn ca t gi
thng c hiu l mc % thay i gi trong nc tnh bng ng tin ca nc
nhp khu khi t gi tin t gia cc i tc thng mi thay i 1%. Ni cch
khc, hiu ng truyn dn ca t gi chnh l co gin ca gi trong nc so vi
t gi. Bi nghin cu ny xem xt mc truyn dn ca t gi (ERPT) vo ch s
gi nhp khu tng hp trong ngn hn v di hn nhm lm r tnh cht v quy
m hiu ng truyn dn ca t gi hi oi trong nn kinh t ca Vit Nam ph
thuc vo cc bin nh t gi, chi ph ca nh sn xut nc ngoi v cc yu t
lm tng gi (mark up). ng thi, bi nghin cu cng m rng v phn ng bt
cn xng ca ch s gi nhp khu i vi vic tng v gim gi tr ng ni t.
Kt qu kim nh cho thy s chuyn dch t t gi hi oi n ch s gi
nhp khu l hon ton trong di hn, ph hp vi nhng nghin cu trc . Bi
vit cng pht hin rng c s chuyn dch bt cn xng khi c s bin ng tng
v gim trong t gi hi oi, c th l nh hng ca vic t gi hi oi c hiu
lc danh ngha gim (ng ni t tng gi) ln gi nhp khu ln hn vic t gi
tng, tuy tc ng ny khng ng k nhng vn c ngha quan trng.
Bn cnh , bi nghin cu cn kim tra s tc ng ca cc yu t kinh t
vi m v v m ln ERPT nh bin ng t gi, lm pht, mc ph thuc vo
nhp khu, l hng sn lng, mc giu c xem xt xem ERPT c thay i
theo thi gian hay khng. Kt qu cho thy c mt s suy gim ca ERPT theo thi
gian khi ta thm vo tc ng ca cc yu t kinh t k trn.
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1. GII THIU
T gi hi oi c tm quan trng c bit vi nhiu nn kinh t, c bit l
nn kinh t ang hi nhp nh Vit Nam. T gi nh hng n gi c tng i
gia hng ha trong nc v nc ngoi, v vy n tc ng n nhu cu ca cc
loi hng ha. Kt qu l, c sn xut tng hp v mc gi ca mt nn kinh t m
ph thuc vo t gi hi oi. Mc gi c thay i phn ng li vi nhng
bin ng t gi c gi l hiu ng truyn dn t gi hi oi (ERPT), bao gm
tc ng ca nhng thay i t gi hi oi n mt trong nhng (1) gi nhp khu
v gi xut khu, (2) gi tiu dng, (3) u t, v (4) khi lng giao dch thng
mi (trade volumes) (theo Darvas, 2001). T nhng nm 1970, cc nh kinh t hc
nghin cu tc ng ca nhng bin ng t gi hi oi n gi c trong nc
v n c ngha quan trng trong vic truyn dn nhng c sc tin t quc t,
quyt nh ti u ca chnh sch tin t trong nc v gii php cho s mt cn i
ca thng mi ton cu.
Bin ng t gi hi oi nh hng n cc ch s gi trong nc thng qua
knh trc tip hoc gin tip. Knh truyn dn trc tip (theo Hyder v Shah
(2004)), din ra khi bin ng t gi nh hng n gi trong nc thng qua thay
i ca gi hng ho nhp khu tiu dng cui cng hoc hng ho nhp khu s
dng lm u vo cho sn xut trong nc. Khi mt s ph gi ng ni t s
lm gi nhp khu tng, ngc li mt s nng gi ni t s lm gi nhp khu
gim. Trong trng hp ph gi, chi ph nhp khu nguyn liu cao hn s lm tng
chi ph bin v dn ti chi ph sn xut hng ni a tng. Mt khc, cc cng ty
nhp khu hng ho tiu dng cui cng c th tng gi bn phn ng li vic
tng chi ph hng nhp khu. Nh vy, knh truyn dn t gi hi oi u tin l
cc thay i ca t gi hi oi lm tng gi nhp khu nh hng n mc gi sn
xut, v cui cng nh hng n mc gi tiu dng. Knh th hai l nhng thay
i trong t gi hi oi nh hng n gi nhp khu hng ho cui cng v do
tc ng vo gi tiu dng trong nc. Trong knh truyn dn gin tip ny, khi ph
gi ng tin, hng ha nhp khu tr nn t hn nn ngi dn trong nc c xu
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hng chuyn sang tiu dng sn phm sn xut trong nc. i vi th trng
nc ngoi, cu v hng ha ca nc c ng tin ph gi c xu hng tng ln.
C hai yu t ny u to p lc tng gi hng ni a.
T gi hi oi bin ng ln sau khng hong ti chnh gn y v cuc
khng hong n quc t lm tng s ch v ERPT. Cho n nay, c mt s
lng ln cc cng trnh l thuyt cng nh thc nghim nghin cu su rng v
cc yu t quyt nh, ng lc v mc ca ERPT cc quc gia, cc ngnh v
sn phm khc nhau. Nhng nghin cu l thuyt a ra mt lot cc yu t nh
hng n ERPT, chng hn nh phn bit gi quc t (Krugman, 1986), s hi
nhp ca nn kinh t, mc cnh tranh (Dornbusch, 1987), chi ph vn chuyn v
phn phi (Burstein v cng s 2003; Corsetti v Dedola, 2005), quyt nh nh
gi tin t (Bacchetta v Van Wincoop, 2005) kt hp vi mc t thay i ca
gi (stickiness), s n nh ca chnh sch tin t (Devereux v Engel, nm 2001;
Devereux v cng s, 2004), s bn vng trong nhng thay i ca t gi hi oi
(Froot v Klemperer, 1989; Taylor, 2000), v bin ng t gi hi oi (Corsetti v
Pesenti, 2004). Nh vy, ERPT vo gi c cng nhn l mt c ch truyn dn
quan trng v phc tp.
Tuy nhin, mi quc gia c nhiu yu t c trng nh hng n hiu ng
truyn dn, do vy c lng thc nghim cho mt quc gia khng p dng cho cc
quc gia khc. Thay vo , c tnh ring bit phi c thc hin i vi cc
quc gia khc nhau. Da trn phng php p dng, cc nghin cu thc nghim c
th c phn loi thnh ba nhm: nghin cu da trn cc m hnh c lng n
gin, cc m hnh vect t hi quy (VAR) v phn tch ng lin kt (bao gm cc
m hnh vect iu chnh sai s (VECM)).
Trong cc m hnh s dng mt phng trnh duy nht (m hnh c lng
n gin), gi hay t l lm pht c hi quy theo t gi hi oi v cc bin gii
thch khc (xem cuc kho st ca Menon (1995), nhiu nghin cu gn y p
dng phng php ny l Gagnon v Ihrig (2004), Campa v Goldberg (2005)).
Nhng pht hin ca cc nghin cu ny cho thy s thay i ng k trong mc
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ERPT gia cc nc. Nhiu nghin cu da trn cc m hnh VAR (tham kho
McCarthy (2000), Hahn (2003), Choudhri v cng s (2005), Cavaliere (2007)) tm
thy bng chng v ERPT ng k vo gi nhp khu v truyn dn gii hn vo
gi sn xut v gi tiu dng. Hn na, kt qu cho thy ln ca ERPT v tc
iu chnh gi gim dc theo chui phn phi. Bng chng v ERPT da trn vic
phn tch cc mi quan h ng lin kt hoc cc m hnh VECM l kh him. C
Kim (1998), Billmeier v Bonato (2004) tm thy mt tc ng di hn tng i
nh ca t gi hi oi vo cc ch s gi. Ngc li, nhng pht hin ca Masten
(2004), phn tch s gim gi tr tin t, t l lm pht v cc ch s gi cho thy
mt ERPT cao.
Tuy nhin, hu ht cc nghin cu l thuyt v thc nghim v s truyn dn
t gi hi oi tp trung vo cc nc pht trin, c bit l M, khu vc Euro, Nht
Bn v cc nc OECD, chng hn nh Knetter (1989), Marston (1990), Parsley
(1993), Campa v Goldberg (2002), Campa v Goldberg (2005), Otani, Shiratsuka
v Shirota (2005). Cho n nay ch c mt vi nghin cu iu tra ERPT ca cc
nc ang pht trin nh cc nc chu (tham kho Parsons v Sato (2006),
Takagi v Yoshida (2001), Lee (1995), Toh v Ho (2001), Ghosh v Rajan (2009)).
c bit, ERPT vo gi nhp khu ca Vit Nam cha c nghin cu nh lng
nhiu. iu ny c th gy kh khn trong vic hoch nh chnh sch, c bit, lm
pht Vit Nam khng ch l ni lo lng ko di hng bao thp k i vi ngi
dn m cn l vn gy au u i vi chnh ph ni chung v Ngn hng nh
nc (NHNN) ni ring. Lm pht i i vi thut ng ng tin mt gi. Tht vy,
trong hai nm (2007 v 2008), Vit Nam ri vo mt tnh hung khng n nh
vi t l lm pht mc hai con s (mt nh cao hn 25%), cng vi s mt gi
ng k ca tin ng Vit Nam so vi cc ng tin chnh, c bit l ng Yn
Nht Bn. Cho rng kim sot lm pht l chnh sch u tin hng u, chnh ph
Vit Nam thc hin tht cht tin t t thng 2 nm 2008 bng cch tng li sut
c bn ln n 14%. T l lm pht bt u gim t thng Mi nm 2008, nhng
vn cn cao mc hai con s, kinh t v m vn cn tn ti bt n, chng hn nh
tc tng trng kinh t chm li so vi d on v thm ht ti khon vng lai
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vt qu gii hn c th chp nhn c. Sau mi thng p dng mt chnh sch
tin t tht cht, Ngn hng Nh nc Vit Nam cng b ct gim li sut c bn
cn 8,5% trong thng 12 nm 2008. Thc trng ny cho thy tc ng ca thay i
t gi hi oi n lm pht trong nc khng c Chnh ph Vit Nam cn
nhc ng cch. NHNN cn phi bit v tc ng n lm pht ca s thay i t
gi hi oi trong mc tiu bnh n gi ca mnh. Kin thc ny l cn thit cho
vic xc nh chnh sch tin t ti u, d bo, kim sot lm pht hiu qu v c
ch truyn dn tin t. S hiu bit su sc hn cc c ch ca ERPT l cha kha
NHNN hoch nh chnh sch. V vy, thc s cn thit c mt nghin cu
thc nghim v ERPT vo gi nhp khu, n c ngha quan trng trong vic hoch
nh chnh sch tin t v la chn ch t gi hi oi ti u ti Vit Nam.
Trn thc t, ERPT vo gi nhp khu c th l hon ton hoc khng hon
ton. Nu hiu ng truyn dn khng hon ton th chng ta c bng chng cho vic
nh gi ng ni t ca cc nh nhp khu (LCP) hoc Pricing to market (PTM).
PTM l quan trng v n c th dn n bin ng t gi hi oi cao hn v gim
chia s ri ro quc t (Betts v Devereux, 2001) m nn kinh t ca cc th trng
mi ni u c th gp phi hai vn trn.
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Hiu ng truyn dn khng hon ton
c th l do cu trc th trng v s khc bit sn phm. Trong mt th trng cnh
tranh khng hon ho, cc cng ty c th tnh mt chi ph bin cao hn kim
c li nhun cao hn bnh thng trong thi gian di. S iu chnh tng gi ny
l khc nhau ty thuc vo mc thay th gia hng ha trong nc v hng ha
nhp khu da trn tng phn khc th trng (tham kho Krugman, 1987). Bn
cnh , mt vn quan trng cn xem xt l hiu ng truyn dn l mt hin
tng "vi m" hay "v m".

1
Mu nhng nn kinh t mi ni ca chu bao gm Armenia, Azerbaijan, Bangladesh, Bhutan,
Campuchia, Cng ha dn ch nhn dnTrung Quc, qun o Fiji, Georgia, Hng Kng, Trung Quc, n
, Indonesia, Kazakhstan, Cng ha Kyrgyz, Hn Quc, Cng ha Dn ch Nhn dn Lo, Malaysia,
Maldives, Micronesia, Mng C, Myanmar, Nepal, Pakistan, Papua New Guinea, Philippines, Samoa,
Singapore, qun o Solomon, SriLanka, Tajikistan, Thi Lan, Tonga, Turkmenistan, Uzbekistan, v Vit
Nam (theo Joshua Aizenman, Menzie D.Chinn, Hiro Ito, 2010).
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Trong mt nghin cu chuyn , Dornbusch (1987) cung cp mt m hnh
l thuyt gii thch hiu ng truyn dn khng hon ton vi cc yu t kinh t vi
m nh mc tp trung ca th trng, tnh ng nht/thay th ca cc sn phm,
th phn tng i ca cc doanh nghip trong v ngoi nc. Tip tc cuc tranh
lun, Campa v Goldberg (2005) nghin cu mc ERPT i vi thnh phn sn
phm nhp khu, v kt lun rng s bin ng trong ERPT l mt hin tng vi
m. Ngc li, Marazzi cng cng s (2005) cung cp bng chng cho thy mt s
thay i hng nhp khu theo khu vc a l ca M c th gii thch s gim st
hiu ng truyn dn cho t nc ny. Cc nghin cu khc cng cho rng s bin
ng trong ERPT l mt hin tng v m. V d, Choudhri v Hakura (2006) cho
thy hiu ng truyn dn ch s gi tiu dng (CPI) l dng v c ngha, u tin
l vi mc t l lm pht trung bnh, v th hai l vi bin ng ca lm pht v t
gi. Ca'Zorzi v cng s (2007) cho thy mt mi lin h tch cc gia bin ng
lm pht v s thay i hiu ng truyn dn vo ch s gi tiu dng gia cc th
trng mi ni. M rng cc phn tch cho c co gin ERPT vo gi nhp khu
v gi xut khu, Bussire v Peltonen (2008) tm thy cc lin h mnh m vi cc
yu t v m nh ch t gi hi oi v bin ng lm pht trong nc, trong khi
cc yu t vi m c i din bi mc ph thuc vo nhp khu v thnh
phn dng sn phm mu dch c tm thy l ng mt vai tr t quan trng hn,
gp phn vo vic nghin cu hiu ng truyn dn theo nhiu hng khc nhau.
Mc tiu ca bi nghin cu l c lng mc truyn dn ca t gi hi
oi vo gi nhp khu trong ngn hn v di hn nhm lm r tnh cht v quy m
hiu ng truyn dn t gi hi oi trong nn kinh t Vit Nam, ngoi ra cn kt
hp kim tra xem liu ERPT vo gi nhp khu c st gim theo thi gian hay
khng thng qua nhng bin kinh t vi m v v m khc nhau. ng thi, bi
nghin cu cng m rng v phn ng bt cn xng ca gi nhp khu i vi vic
tng v gim gi tr ng ni t (da trn m hnh c s dng trong nghin cu
ca Joseph P. Byrne, Aditya S. Chavali v Alexandros Kontonikas (2010)). tr
li nhng cu hi ny, bi nghin cu s dng phng php bnh phng b nht
ng (dynamic OLS) kt hp vi m hnh hiu chnh sai s (ECM), cng nh
7

phng php bnh phng nh nht (OLS) vi s liu t Qu 1/2000 n Qu
3/2012.
Phn cn li ca bi nghin cu c trnh by nh sau. Phn k tip gii
thiu tng quan cc nghin cu l thuyt v thc nghim v s truyn dn t gi hi
oi, phn 3 trnh by cc m hnh l thuyt v thc nghim, d liu v phng
php nghin cu, phn 4 m t kt qu, phn 5 l kt lun v phn cui cng l
nhng khuyn ngh cho vic la chn ch t gi Vit Nam.
2. TNG QUAN NHNG NGHIN CU TRC Y
Nhng nghin cu trc y v hiu ng truyn dn ca t gi hi oi vo
cc ch s gi c th c chia lm ba thnh phn khc nhau. Th h u tin l cc
m hnh da trn Lut Mt Gi (LOOP) th r rng gi trong nc l mt hm s
ca t gi hi oi (tham kho Isard (1977) v Goldberg v Knetter (1997)). Nhng
m hnh ny ng rng nhng sai lch so vi Lut Mt Gi (LOOP) c th gii
thch mt phn l do hiu ng truyn dn khng hon ton. Cc m hnh th h
th hai th ERPT c m hnh ha bng cch s dng cc gi tr tr ca t gi hi
oi nh l cc bin gii thch (c th tham kho Ohno, 1989). Mt cch tip cn
nh vy c th ch phn nh hnh vi nh gi ca cc cng ty khi h b qua vai tr
ca chi ph u vo. Cc m hnh ca th h th ba khng nht thit phi gi nh
th trng cnh tranh hon ho bng cch s dng Pricing to market (PTM), do
hiu ng truyn dn thp (tham kho Athukorala v Menon (1994), Menon (1996)
v Doyle (2004)). Hnh vi Pricing to market (PTM) ng rng cc nh xut khu
iu chnh gi so vi gi hin hnh trong cc th trng xut khu ca h. i vi
cc nc nhp khu, cc tc ng ca PTM c th c hiu nh l mt phng
php o lng s n nh ca gi c trong nc so vi gi nc ngoi v s gia
tng ca t gi hi oi. Krugman (1987) cho rng PTM c th bt ngun t s khc
bit trong cc tiu chun thng mi quc t hoc cnh tranh khng hon ho. Cc
nh nghin cu hoc a ra gi thuyt hiu ng truyn dn hon ton l c s
gi nh cnh tranh hon ho (ngi chp nhn gi) hoc gi nh cnh tranh
khng hon ho v gi xut khu c m hnh da trn PTM hoc c ch nh gi
8

tin t a phng (LCP). Do , PTM l hu ch cho gi nh ERPT khng hon
ton. V vn ny, Marston (1990) nghin cu hnh vi nh gi ca cc cng ty
xut khu Nht Bn. ng tm thy bng chng mnh m ca PTM k t khi nhng
nh xut khu ca Nht Bn tnh gi xut khu khc nhau khi cng quy ra ng Yn
so vi gi trong nc. Ngoi ra, Marston tm thy PTM l khng tuyn tnh, k t
khi s khc bit gia gi cao hn trong cc thi k ng Yn tng gi. ng kt lun
rng cc doanh nghip dng PTM mt cch c k hoch duy tr kh nng cnh
tranh trong gi xut khu ca h.
Hu ht cc nghin cu thc nghim v s truyn dn t gi hi oi u tp
trung cc nc pht trin, c bit l M. Kho st ca Menon (1995) m t kt
qu ca 43 nghin cu nh vy (Dobrynskaya v Levando, 2005). Cc nghin cu
thc nghim v ERPT cc nc ang pht trin cng cho thy ERPT suy gim
ng k t nhng nm 1990 nhng vn cao hn so vi s truyn dn cc nc
pht trin (Frankel, Parsley v Wei, 2005). Nghin cu v s truyn dn bt cn
xng ch chim mt phn nh v d nh Pollard v Coughlin (2004);
Wickremasinghe v Silvapulle (2004); Joseph P. Byrne, Aditya S. Chavali v
Alexandros Kontonikas (2010). Tuy nhin, ch c mt s lng hn ch cc bi
nghin cu phn tch tc ng ngn hn v di hn ca ERPT vo gi nhp khu
cc nn kinh t mi ni, c bit l chu , mt phn l do s thiu d liu. V
d, Lee (1995) nghin cu ERPT ti Hn Quc da trn ngnh nhp khu hng ha
sn xut. Toh v Ho (2001) iu tra ERPT mt mc bn tng hp cho
Malaysia, Singapore, i Loan v Thi Lan cn c trn vic nhp khu hng ha
thit yu v hng ha sn xut. Parsons v Sato (2006) c tnh ERPT Indonesia,
Malaysia, Philippines v Thi Lan. Ghosh v Rajan (2009) nghin cu ERPT vo
gi nhp khu v gi tiu dng tng hp ca Hn Quc v Thi Lan.
Hu ht cc nn kinh t chu tri qua mt s thay i t h thng t gi
hi oi c nh sang linh hot hn trong nhng nm 1990. y l mt l do ph
bin lm tng hiu ng dn truyn ca lm pht v t gi. Theo nghin cu ca
Khundrakpam (2007), tc gim t gi ca n chm li nhng c s gia
9

tng trong lm pht cng vi gi nhp khu k t cui nhng nm 1990. ng Rupi
ca Indonesia gim gn 50% gi tr ca n trong nm 1997, gi c mt i tnh cnh
tranh, lm pht tng v duy tr cao hn so vi cc nn kinh t chu khc mi n
nm 2003. Theo Webber (2000), Ringitt ca Malaysia b mt 34% gi tr ca n
trong thi gian 1996-1997 do nh hng ca cuc khng hong. Chan (2008) ghi
nhn rng Philippines c c trng bi bin ng t gi hi oi cao, dn truyn
vo gi nhp khu ca n, tip theo l ch s gi tiu dng cao. Thi Lan c mt
ch t gi hi oi c nh cng vi t l lm pht trung bnh trc nm 1997.
Mt s thay i t ngt do chuyn sang mt h thng t gi linh hot vo nm
1997 dn n s mt gi 25% ca ng Baht. Hu qu ln nht ca n l lm tng
ch s gi nhp khu, tip theo l ch s gi sn xut v gi tiu dng.
Sahminan (2002) kim tra ERPT gia cc nc ng Nam p dng
mt m hnh hiu chnh sai s. Kt qu ca ng cho thy i vi Thi Lan trong
ngn hn, nhu cu trong nc v gi nc ngoi c nh hng ng k n gi nhp
khu. Nhng i vi Singapore, ch c gi nc ngoi c tc ng ng k n gi
nhp khu. Trong khi , t gi hi oi khng th hin nh hng ng k n
gi nhp khu cho c hai quc gia.
Webber (2000) xem xt s bt cn xng trong hiu ng truyn dn bng
cch minh ha rng nhiu ng tin Chu khng truyn dn vo gi nhp khu
sau cuc khng hong cng nh trong sut cuc khng hong nm 1997.
Khundrakpam (2007) nghin cu hiu ng dn truyn t gi hi oi ln gi trong
nc n trong giai on ci cch (tc l t nm 1991) v khng tm thy bng
chng r rng ca s suy gim trong mc truyn dn. ng cng kt lun rng c
tn ti mt s truyn dn bt cn xng trong sut qu trnh ci cch. iu ny c
th do mt s yu t bao gm s gia tng trong t do ha thng mi, gim thu v
hn ch s lng. Ngoi nhng l do ny, k vng lm pht gia tng trong cui
nhng nm 90 cng gp phn lm cho hiu ng truyn dn cao hn trong di hn.
Quan im cho rng chnh sch tin t nh hng n tc ng truyn dn
ca t gi hi oi vo gi nhp khu, gi sn xut v gi tiu dng cho mt vi
10

nc ng cng c Ito v cng s (2005) nghin cu. Pht hin chnh ca h
l trc ht, cuc khng hong nh hng n cc nc nh Indonesia, Hn
Quc v Thi Lan c th hin thng qua vic ERPT vo gi trong nc cao hn.
Ring i vi Indonesia, hiu ng truyn dn ca t gi trong c ngn hn v di
hn u ln. Tuy nhin, nhng thay i chnh sch tin t cng gp phn tng
ERPT vo gi tiu dng Indonesia.
Kun v Zhanna (2008) nghin cu ERPT vo gi nhp khu cho bn quc
gia chu l Hn Quc, Malaysia, Singapore v Thi Lan. Th nht, mc
truyn dn l khc nhau gia cc quc gia, trong ni bt l tm quan trng ca
tnh khng ng nht. Singapore c ERPT cao hn, c th l do hai nguyn nhn
sau y. Do kt qu ca vic hng n t gi hi oi mc tiu n nh hn v sau
l hi nhp thng mi cao hn. Hi nhp thng mi nhiu hn c th lm cho
hiu ng truyn dn ca t gi vo gi nhp khu cao hn. Th hai, nhn chung,
mc truyn dn t gi hi oi cao hn vo ch s gi nhp khu, trung bnh vo
ch s gi sn xut (PPI) v thp vo ch s gi tiu dng (CPI).
Vit Nam, trong nhng nm gn y cng c mt s nghin cu thc
nghim v s truyn dn t gi hi oi, hu ht cc nghin cu ny u s dng
phng php vect t hi quy v m hnh vect hiu chnh sai s, kt qu cng
khng c s khc bit ng k. Chng ta c th k n nghin cu ca V Vn
Minh (2009), Bch Th Phng Tho (2011), hai tc gi ny s dng m hnh VAR
c lng mc tc ng ca c sc t gi hi oi n ch s gi nhp khu
v t l lm pht trong nc.
V Vn Minh (2009) s dng d liu nghin cu t thng 1 nm 2001, n
thng 2 nm 2007 tm thy mc truyn dn t gi hi oi n ch s gi nhp
khu sau 6 thng l 104% v sau 1 nm l 21%. Tuy nhin mc truyn dn n ch
s gi tiu dng mc thp so vi cc nc trong khu vc. Hn ch ca nghin cu
ny l khng c mt ch s gi sn xut trong c lng, ch s gi nhp khu
khng c s liu thng k chnh thc m c tc gi tnh ton t ch s gi xut
khu ca cc i tc thng mi chnh ca Vit Nam.
11

Bch Th Phng Tho (2011) cho thy mc truyn dn n ch s gi nhp
khu l ln nht, sau n ch s gi sn xut v gi tiu dng. nh hng ca c
sc t gi c hiu lc danh ngha (NEER) n ch s gi nhp khu c ngha
thng k sau 3 thng khi c c sc t gi hi oi v ko di n gn 2 nm sau khi
xy ra c sc ny.
Nghin cu ca GS.TS. Trn Ngc Th v cng s (2012) kt lun rng
ln ca mc truyn dn t gi hi oi n cc ch s gi ti Vit Nam ang c xu
hng tng nhanh v khng phi mc nh so vi cc nc khc. Do , cc c
sc v t gi hi oi chc chn c nh hng ln n cc ch s gi, qua nh
hng n cc ch s kinh t v m v t nh hng n i sng nhn dn.
Truyn dn t gi hi oi ln nht n ch s gi nhp khu, tip theo l ch s gi
sn xut v cui cng l ch s gi tiu dng. Trong di hn t gi hi oi truyn
dn hon ton vo ch s gi nhp khu.
Ngoi ra, nghin cu ca PGS.TS. Nguyn Th Ngc Trang v cng s
(2012) cn xem xt s truyn dn bt cn xng ca t gi. Theo PGS.TS. Nguyn
Th Ngc Trang v cng s (2012), mc truyn dn t gi hi oi vo gi nhp
khu l 144% - mt s truyn dn t gi hi oi hon ton trong di hn. Kt qu
ny cng tng t nh kt qu nghin cu ca GS.TS. Trn Ngc Th v cng s
(2012), trong khi , kt qu nghin cu ca Bch Th Phng Tho (2011) cho
thy s truyn dn mt phn t t gi hi oi vo gi nhp khu vi mc cao nht
l 77% sau 5 qu. S truyn dn hon ton vo gi nhp khu cho thy v mt vi
m, do c tnh t nhin ca sn phm, ca ngnh th trng Vit Nam, cc nh
xut khu nc ngoi khng phi i mt vi p lc cnh tranh ln v c sc mnh
th trng ng k nn h c th duy tr mc tiu li nhun ca mnh v y ton b
nhng thay i trong t gi hi oi v chi ph sn xut cho ngi mua. Kt qu
cng cho thy chi ph sn xut nc ngoi cng c truyn dn hon ton vo gi
nhp khu trong di hn. H s iu chnh sai s c ln l 0.4735, mang du m
v c ngha thng k mc 1% cho thy tc iu chnh v mc cn bng l
47.35% mt qu.
12

3. NGHIN CU THC NGHIM V HIU NG TRUYN DN CA T
GI HI OI VO GI NHP KHU
3.1. Cc yu t quyt nh ERPT
C mt kho tng ti liu s h tr cho s hiu bit v cc yu t nh
hng n mc ERPT vo gi nhp khu (xut khu), cng nh vo cc ch s
gi tng hp nh ch s gi tiu dng (CPI), gi sn xut (PPI) hoc ch s gi bn
bun (WPI).
Yu t u tin c xem xt l bn cht ca hng ho hoc cc ngnh cng
nghip. Nu xut khu khng phi i mt vi nhiu cnh tranh hoc cc yu t lm
tng gi th c th phn ng km vi nhng bin ng trong gi tr ng tin ca
nh xut khu theo hng bt li cho ngi mua. Trong tnh hung ny, thay i t
gi c truyn dn y vo ng tin ca ngi mua. Ngc li, nu th trng
c tnh cnh tranh cao, cc cng ty c th c gng bo v th phn ca mnh bng
cch hp th nhng thay i t gi hi oi thng qua chp nhn vic tng gi thp
hn, sn sng chp nhn gi trong nc thp hn dn n mc ERPT thp hn.
Bn cnh , trong mt nghin cu tin phong, Knetter (1993) tm thy s khc bit
gia cc ngnh l quan trng trong vic gii thch cc mc khc nhau ca ERPT.
V d, xut khu sang cc th trng M, chng hn nh cc ngnh cng nghip t
v ung c cn, cho thy PTM cao hn v tng ng l ERPT thp hn khi cc
nh xut khu c gng duy tr th phn. Ni rng hn, cc nghin cu u cho thy
rng hng ho sn xut c ERPT thp hn so vi cc sn phm nng nghip
(Campa v Goldberg (2005); Marazzi v cng s (2005)).
Yu t th hai l s bin ng ca t gi hi oi. V d, Meurers (2003)
thc hin phn tch Blanchard-Quah xc nh s thay i t gi vnh vin v tm
thi M, Nht Bn, c, Php v . Tc gi tm thy rng ERPT c xu hng
gn nh hon ton trong di hn vi nhng c sc lin tc ca t gi hi oi. Mann
(1986) cho rng, t gi thng xuyn bin ng c th lm gim ERPT bi v, cc
nh nhp khu c th thin v iu chnh li nhun bin hn l gi c. Wei v
Parsley (1995) v Engel v Rogers (1998) cung cp nhng bng chng thc
13

nghim khng nh gi thit ny phm vi ngnh v sn phm. Do , ERPT
phi thp hn cc nc c t gi bin ng thng xuyn hn c gii thch
bng hiu ng tr theo Baldwin (1988), Baldwin v Krugman (1989), Dixit
(1989), hoc theo m hnh nh gi theo tng phn khc th trng, nu gi nhp
khu c thit lp bng ng tin quc gia nhp khu v nu bt n t gi hi oi
l tm thi, cc nh xut khu nc ngoi s khng tng gi trnh cc chi ph
lin quan n iu chnh gi bn nh chi ph in n, qung co...Trong trng hp
ny h s chp nhn iu chnh li nhun bin. V vy ln truyn dn t gi hi
oi s gim. Tuy nhin, nu nh cc doanh nghip k vng rng s thay i ca t
gi c tnh cht lu di, ch khng phi mang tnh tm thi th nhiu kh nng, cng
ty s thay i gi c hng ha, ch khng phi li nhun bin, nn dn n vic
ERPT s cao hn. V vy, ERPT phi cao hn cc nc, ni m nhng thay i
ca t gi thng ko di hn (t gi n nh hn).
Yu t th ba l hng t gi thay i, cng c th c gii thch bng
hiu ng tr. Ta c th d dng thy c trong gia nhng nm 1980, s tng
gi ca ng la M lm gim gi nhp khu, nhng khi ng la M b
gim gi sau , gi nhp khu M ch tng ln mt phn. Cc nghin cu cho
rng phn ng ca cc nh xut khu i vi nhng thay i t gi hi oi thng
l bt cn xng. Mt s suy yu trong ng tin ca th trng ch c th lm cho
nh xut khu gim gi xut khu v gi cho gi ca sn phm nc nhp khu n
nh nhiu hn hoc t hn, ng mt ERPT thp hn. Tuy nhin, khi ng tin ca
nh xut khu gim gi, hng xut khu tr nn r hn ti cc th trng ch. iu
ny c th to ra mt s khuyn khch cho cc nh xut khu duy tr gi xut khu
ca h, hoc trong mt s trng hp, gim gi ng tin ca h v khuch i tc
ng ca vic gim gi ny ( chim c th phn), dn n mt ERPT cao hn
(Pollard v Coughlin 2003, Madhavi 2002).
Yu t th t l quy m ca vic t gi thay i. Khi t gi t thay i, cc
doanh nghip ni chung l sn sng hp th n v gi gi trong nc khng thay
i do chi ph thay i cng vi vic gi thay i. Theo Krugman (1987), khi mt
14

cng ty thng bo gi th n nhn thanh ton theo mc gi ny. V vy, nhng thay
i bt ng trong chi ph do nhng bin ng tm thi khng phi l 'qu ln', c
th khng c truyn dn do cc cng ty khng mun nh mt danh ting.
2
Tm
quan trng ca quy m t gi hi oi thay i ln ERPT vo gi nhp khu M
c xc nhn bng thc nghim theo Pollard v Coughlin (2003) v nhng
ngi khc.
Yu t th nm nh hng n mc ERPT vo gi nhp khu tng hp l
nhng nhn t kinh t v m c bn ca mt quc gia. Mt thc t c cng nhn
l s suy gim chung trong phm vi ca ERPT cc nc cng nghip k t cui
nhng nm 1980. Theo Taylor (2000), ERPT l ni sinh i vi chnh sch tin t
v s n nh tin t ca mt quc gia. Mt t nc c chnh sch tin t cng n
nh v lm pht cng thp th mc ERPT cng thp. Lun im ny c
khng nh bi Gagnon v Ihrig (2004) bng cch s dng d liu v m cho cc
nc cng nghip, cng nh Choudri v Hakura (2006), Frankel v cng s (2005)
v nhng ngi khc. Trong nghin cu c lin quan, Devereux v Engel (2001)
lp lun rng nu nhng nh xut khu xc nh gi ca h bng ng tin ca mt
t nc c mt chnh sch tin t n nh, th ERPT vo gi nhp khu tnh theo
ng ni t s thp i vi cc nc c bin ng tin t v t gi hi oi thp.
3

Campa v Goldberg (2005) kim tra tm quan trng ca nhng thay i
trong cc bin kinh t v m v mc ERPT vo gi nhp khu tng hp cho 25
nc OECD giai on 1975 - 1999. H nhn thy rng t l lm pht trung bnh
cng thp v t gi hi oi cng t bin ng th ERPT cng thp. Tuy nhin, cc
yu t v m ng mt vai tr th yu trong nh hng ca ERPT so vi s thay i
trong thnh phn nhp khu ca mt quc gia theo th t t nhp khu nguyn liu
th v nng lng n nhp khu hng sn xut. Otani v cng s (2003) cng nu

2
Goldfajn v Werlang (2000) cng nhn mnh tm quan trng ca chu k kinh doanh trong vic xc nh
mc ERPT, l, cc cng ty sn sng gia tng chi ph nhiu hn trong thi gian pht trin mnh.
3
l mt nghin cu ang pht trin v vn nh gi tin t a phng (LCP) - mt tr ct kinh t v
m ca nn kinh t mi hi nhp. Lin quan cht ch n vn ca LCP l s la chn ca cc cng ty
phng nga ri ro do t gi thay i (tham kho Mann 1986).
15

bt tm quan trng ca vic thay i thnh phn sn phm nh l mt trong cc yu
t chnh trong vic gii thch cc t l khc nhau ca ERPT theo thi gian Nht
Bn, trong khi Marazzi v cng s (2005) nhn mnh tm quan trng ca n trong
trng hp ca M.
4

Ngoi nhng g ni trn, chng ta thng tha nhn rng ERPT thng
c xu hng ln hn trong nn kinh t c thu nhp thp, nh hn v hi nhp hn,
ni c mt t l cao ca hng ho thng mi, khi lng nhp khu cao,
5
hng ha
thay th trong nc b hn ch, v mc hi nhp cao vi h thng thng mi
ton cu.
6
Nhng iu kin ny chc chn lm cho nhiu quc gia ang pht trin
ca Chu c kh nng d nhy cm vi ERPT hn l cc quc gia khc trn th
gii, c bit l nhng nc cng nghip.
7
Mt yu t khc c th nh hng n
ERPT l s hin din ca cc hng ro phi thu quan (NTBs), c ngha l, t gi hi
oi thay i truyn dn vo gi nhp khu c th c ngn chn hon ton do chi
ph nhp khu (Bhagwati 1991). Mt s bng chng thc nghim v mi quan h
ny chng ta c th tham kho Menon (1996), nghin cu cho thy rng s hn ch
s lng lm gim ERPT vo gi nhp khu sn xut ca Australia trong nhng
nm 1980.

4
Ngoi vic thay i thnh phn sn phm, cc tc gi cng nhn mnh vai tr ca cnh tranh t Trung Quc
nh l mt yu t hn ch phm vi ERPT vo gi nhp khu ca M. Marazzi v cng s (2005) khng tm
thy quy m hoc chiu hng bin ng ca t gi hi oi nh l nhng yu t quyt nh quan trng ca
truyn dn vo gi nhp khu M. Ganapolsky v Vilan (2005) cng khng tm thy bng chng ca s bt
cn xng trong trng hp gi nhp khu ca M t nm 1993 n 2004.
5
Tuy nhin, nu quc gia ng thi nhp khu v xut khu vi cng mt quc gia, ERPT c th thp hn.
6
S dng d liu cho (76 quc gia) da trn gi ca 8 loi hng ha trong giai on 1990 -2001, Frankel v
cng s (2005) kim nh mt s trong nhng yu t ni trn. H i n kt lun rng, trong khi c bng
chng mnh m cho rng ERPT chm hn v nh hn cc nc thu nhp thp, th li c nhiu bng chng
yu hn cho cc hiu ng quy m. H cng tm thy chi ph vn chuyn v cc hng ro thu quan l yu t
quan trng xc nh mc ERPT.
7
Tht s kh khn ni trc rng cc quc gia chu nhy cm vi ERPT hn cc nc chu M Latinh
da trn quan im v s n nh tin t thp hn v t l lm pht cao hn sau ny. V d, trong mt nghin
cu v hiu ng truyn dn nhng thay i t gi hi oi vo gi tiu dng 71 nc (1980 - 1988),
Goldfajn v Werlang (2000) tm thy bng chng l ERPT cao nht chu M Latinh. Kamin v Klau
(2003) cng tm thy s khc bit v mc ERPT theo khu vc.
16

3.2. Cc m hnh l thuyt
3.2.1. Ngang gi sc mua (PPP) v Lut Mt Gi (LOOP)
Mt mi quan h c bn gia t gi hi oi v gi c a ra l ngang gi
sc mua (PPP), trong ni rng khi chuyn i sang mt ng tin chung, mc
gi cc quc gia nn bng nhau. Hc thuyt ngang gi sc mua - c s lun ca
ERPT, cho rng s tc ng truyn dn ca t gi sang gi trong nc phi l ton
phn ( co gin phi bng 100%) v hon ton khng c mt c hi no cho kinh
doanh chnh lch gi trong di hn. V vy, nghin cu ERPT ng ngha vi
nghin cu PPP. Mi quan h tng t trn mt mc c th hn c gi l Lut
Mt Gi. i vi mi hng ha j, gi ni t (P
j
) bng vi gi nc ngoi (P
*
j
) khi
chuyn i sang ng ni t.
P
j
= SP
*
j

Trong , S biu th t gi hi oi danh ngha, c xc nh l gi ca mt
ngoi t tnh theo ng ni t. Lut Mt Gi, nh vo tc ng ca kinh doanh
chnh lch gi quc t, l mt yu cu quan trng duy tr PPP.
8

Ngay c trong mu hnh n gin trn ca PPP v Lut Mt Gi, mi quan
h gia gi c v t gi c th khc nhau gia cc quc gia. i vi mt nc nh
khng c kh nng nh hng n gi th trng th gii, Lut Mt Gi s bao hm
hiu ng truyn dn hon ton ca t gi n gi c (tc l ng ni t mt gi 1%
s dn n s gia tng ca gi trong nc 1%). Tuy nhin, khi cu nhp khu cc
quc gia l nh nhp khu ln trn th trng th gii gim, s lm gim gi ca
mt hng ny trn th gii. Nh vy, vic ph gi nhng nn kinh t ln chng
nhng va kch thch sn xut trong nc pht trin m cn c li do nhp khu vi
gi thp hn trc. Chng ta c th lp lun bng cch khc l nu t gi ca mt
nn kinh t ln gim, p lc ln gi c trong nc mt phn c b p bng vic

8
Tuy nhin, duy tr Lut Mt Gi khng nht thit c ngha rng PPP tn ti. Mt l do c th l s tn ti
ca hng ha phi thng mi. Gi hng ha phi thng mi c th c s khc bit gia cc quc gia, gy ra
mt hnh vi vi phm PPP. Theo m hnh Balassa-Samuelson, s khc bit trong gi c ca cc hng ha phi
thng mi pht sinh do s khc bit v nng sut (Asea v Corden (1994)).
17

gim gi th gii do nhu cu th gii thp hn. iu ny lm gim c lng ERPT
i vi cc nn kinh t ln. Do , quy m ca mt nn kinh t l mt trong nhng
yu t quyt nh mc ca ERPT vo gi (McCarthy (2000), trang 3).
M hnh l thuyt ca PPP da trn nhiu gi thit m trong th gii thc rt
kh xy ra, chng hn, gi thit v cnh tranh hon ho v chi ph vn chuyn bng
0. Cc kim nh thc nghim chng minh rng ERPT trong nhiu trng hp l
khng hon ton (khc 1 hoc 100%). Isards (1977) l mt trong nhng ngi u
tin nghi ng kh nng kinh doanh chnh lch gi trn phm vi ton cu c th gim
chnh lch gi c gia cc quc gia n mc chi ph vn chuyn. C nhiu l thuyt
gii thch ti sao ERPT khng hon ton. M hnh ca Obstfeld v Rogoff (2000)
cho rng s tn ti chi ph vn chuyn lm tng gi hng ha nhp khu v phn
khc th trng. Ngay c khi hng ha nhp khu l hon ton c th thay th hng
ha c sn xut trong nc, th chng cng khng th c tiu th vi khi
lng ln (t l nhp khu nh), bi v gi ca chng tng i cao. Trong trng
hp ny, s thay i t gi tc ng yu n s bin ng ca ch s gi nhp khu
v ch s gi tiu dng.
3.2.2. Pricing to market (PTM) v cnh tranh khng hon ho
M hnh vi lch so vi Lut Mt Gi cung cp ci nhn su sc hn v
ERPT n gi c. Nhng l do sai lch thng cho thy cc yu t quyt nh quan
trng ca ERPT. Mt yu t quan trng l cnh tranh khng hon ho. Khi khng
c kinh doanh chnh lch gi quc t, cc cng ty c gi khc nhau cc a im
khc nhau. Mt c s l thuyt cho mi quan h gia t gi v gi c trong bi cnh
phn bit gi c quc t c cung cp bi Krugman (1986) v Dornbusch (1987).
Krugman (1986) tho lun v mt s m hnh tnh v ng lin quan n
PTM, thut ng hin nay c s dng rng ri trong cc nghin cu. PTM m t
hnh vi nh gi (khng cnh tranh) ca doanh nghip la chn chin lc gi
trong nhng th trng khc nhau v tin n iu chnh gi khng hon ton khi t
gi bin ng, thay v iu chnh li nhun bin, th hin mc m cc nh xut
khu iu chnh gi ca h phn nh gi hin hnh c thit lp bi cc i th
18

cnh tranh. Ni cch khc, hnh vi PTM pht sinh thng qua hiu ng truyn dn
gii hn ca gi nc ngoi v t gi. ng trn quan im ca mt chnh sch tin
t vi mc tiu bnh n gi, PTM l quan trng bit mc m gi trong nc b
nh hng bi s tng gi ca nc ngoi v bin ng t gi hi oi. Mc hi
nhp thng l ch s duy nht c s dng gii quyt vn ny. Tuy nhin,
hiu ng truyn dn b hn ch tng i bi gi nc ngoi s b p mc
tng i cao ca hi nhp. V vy, phn tch cc tc ng ca PTM l mt yu t
quan trng trong vic nh gi s vng mnh ca gi trong nc chng li cc nh
hng bn ngoi. So snh nhng m hnh tnh, Krugman tm thy rng hnh vi
PTM c th pht sinh trong trng hp cnh tranh b gii hn (m hnh c quyn
nhm v phn bit gi c quyn ca Cournot), nhng khng phi trong mt khun
kh cnh tranh n gin. thc hin hnh vi PTM, m hnh cnh tranh cn phi
c m rng thm chi ph vn chuyn hoc phn phi.
Trong cuc tho lun ca mt s m hnh ng, Krugman cho rng nu s
iu chnh cho dch v v phn phi c s h tng ca mt cng ty rt tn km, thay
i t gi hi oi ng mt vai tr quan trng i vi ERPT. Mt doanh nghip
khng sn sng gnh chu chi ph iu chnh nu vic thay i t gi hi oi c
d kin s sm o ngc. S dng cc m hnh khc, Froot v Klemperer (1989)
v Taylor (2000) c c kt lun tng t: Mt t gi thay i thng xuyn th
vic gi iu chnh cng ln.
Hn na, Krugman (1986) lp lun rng nu tc iu chnh ca cc chi
ph ny ngy cng tng, gi ch s c iu chnh dn dn ngay c trong trng
hp t gi hi oi thay i thng xuyn. Krugman kt lun rng cc m hnh
ng ca s cnh tranh khng hon ho c th l cc m hnh thch hp nht gii
thch PTM. Nghin cu ca Dornbusch (1987) l mt chuyn l thuyt khc
nhn mnh vai tr ca cnh tranh khng hon ho i vi ERPT. Tng t nh
Krugman (1986), Dornbusch (1987) thc hin mt phng php tip cn cho rng
s thay i trong t gi hi oi c gi nh l ngoi sinh. M hnh c quyn
nhm ca Cournot vi mt hng ha ng nht, nhu cu l mt hm tuyn tnh v
19

mt s cc doanh nghip trong nc v nc ngoi, c th gii thch ton b phm
vi thay i ca t gi gy ra s thay i gi c gia 2 trng hp gii hn, mt mt
l gi c khng thay i v mt khc l ERPT hon ton (tc l gi iu chnh t l
thun vi s thay i ca t gi hi oi). Theo m hnh ny, ERPT cao hn cho
cc nc c th phn nhp khu ln v trong trng hp ny, nhiu cng ty phi i
mt vi mt s thay i trong chi ph bin ca h khi t gi thay i. Hn na,
ERPT gim khi mc cnh tranh tng bi v iu ny lm gim kh nng cc
cng ty hp th nhng c sc chi ph do t gi hi oi gy ra bng cch iu chnh
li nhun thay v thay i gi.
Dornbusch (1987) tho lun v mt s m hnh b sung v kt lun rng tt
c cc m hnh d on gi nhp khu gim sau khi ng ni t tng gi. Cc doanh
nghip trong nc c iu chnh gi ca h hay khng v mc nh th no th
ph thuc vo tng m hnh c th.
3.2.3 Chin lc nh gi tin t a phng - ng ni t (LCP) v nh gi
ng tin ca nh sn xut (PCP)
co gin ERPT vo gi nhp khu ty thuc vo chin lc nh gi ca
cc nh xut khu. Khi gi xut khu c thit lp l phn tng thm so vi chi ph
bin, cc cng ty nc ngoi sn sng b p nhng bin ng tin t bng cch
iu chnh gi tng, c gi l chin lc nh gi ng ni t (LCP), kt qu l
dn n ERPT khng hon ton. Nu iu ny chim u th, nn kinh t nhp khu
b c lp t cc c sc iu khon thng mi, v vy, bt k tc ng ca chi tiu
cho cc hiu ng chuyn i u c ngun gc t bin ng tin t.
Mt khc, nu cc doanh nghip xut khu khng iu chnh li nhun khi t
gi thay i, chin lc ny c gi l nh gi ng tin ca nh sn xut (PCP)
th hiu ng truyn dn l hon ton, ph hp vi Lut Mt Gi.
3.2.4. M hnh l thuyt
M hnh xc nh gi nhp khu theo cc bi nghin cu ca Fujii (2004),
Bailliu v Fujii (2004) v Khundrakpam (2007). iu ny cho php th hin vai tr
20

ca t gi hi oi, chi ph bin cng nh s tng gi trong vic xc nh gi nhp
khu. Trong mt th trng cnh tranh khng hon ho, i din cng ty nc ngoi
xut khu sn phm ca mnh cho mt doanh nghip trong nc. Hm cu ca
doanh nghip trong nc l Q
t
(P
t
M
, P
t
d
, E
t
), trong P
t
M
l gi hng ha nhp khu
tnh bng ni t, P
t
d
l gi hng ha cnh tranh trong nc v E
t
l tng chi ph trn
tt c cc hng ho. Phng trnh di y th hin mi quan h tuyn tnh cho gi
nhp khu (P
t
M
) da trn vic ti a ha li nhun tnh ca cc cng ty nc ngoi:
(1)
Trong , C
t
(Q
t
, W
t
) l tng chi ph ca cng ty, l mt hm ca sn
lng u ra (Q
t
) v chi ph u vo (W
t
).
t
f
biu th li nhun thu c bi i
din cng ty nc ngoi tnh bng ngoi t.
Cc cng ty nc ngoi chn gi nhp khu m n ti a ha li nhun. Do
, ti a ha phng trnh (1) c lin quan n gi nhp khu P
t
M
:

Trong , biu th chi ph bin (MC
t
). V vy, iu kin u tin
c th c vit li cung cp mt hm ca gi nhp khu l: P
t
M
= S
t
MC
t
t

Trong ,
t
l mc tng gi trong nc tng ng vi chi ph bin, c
nh ngha l
t
=
t
/ (
t
1), vi
t
l co gin trong nhu cu. V vy, gi trong
tng th trng c xc nh mt phn bi mc tng gi trong nc tng ng vi
chi ph bin.
Theo cc nghin cu trc nh Marston (1990), Pollard v Coughlin
(2004), Campa, Goldberg v Minguez (2005) cho thy, ERPT xy ra do vic
truyn dn ng thi nhng thay i trong chi ph bin v cc nhn t lm tng gi
thng qua t gi hi oi vo gi nhp khu. Th nht, s mt gi trong ng ni t
c th lm tng gi nhp khu tnh bng ngoi t, qua tng gi nhp khu trong
21

nc. Th hai, mt s gia tng trong chi ph bin ca ng ngoi t cng dn n s
gia tng trong gi nhp khu thng qua cc knh chi ph nh cc cng ty xut khu
s tm cch thu hi chi ph sn xut bng cch tnh gi cao hn. Th ba, da trn
PTM ca cc cng ty nc ngoi, bt k s gia tng no trong cc yu t lm tng
gi s c lin kt vi s gia tng nhu cu trong nc v iu ny s c truyn
dn thnh mt s gia tng trong gi nhp khu. y cng l mt vn thc
nghim v vic mi yu t k trn c tc ng n gi nhp khu hay khng, trong
ngn hn hay di hn v c tuyn tnh hay khng.
3.3. M t bin v d liu
Bi nghin cu ny xem xt ERPT vo gi nhp khu tng hp ca Vit
Nam lin quan n t gi hi oi c hiu lc danh ngha, cng nh t gi hi oi
song phng vi ng la M (USD). Cc bin trong nghin cu bao gm ch s
gi nhp khu, t gi hi oi, chi ph nhp khu bin t v nhu cu trong nc nh
l mt i din cho cc yu t lm tng gi. Thi gian mu ca bi nghin cu l
Qu 1/2000 n Qu 3/2012. D liu v ch s gi nhp khu (P
t
M
) c ly t c
s d liu thng k hng thng ca Tng cc thng k (Qu 1/2005 = 100). Gi
nhp khu c xc nh theo ng ni t. T gi c hiu lc danh ngha (NEER
t
)
c tnh ton da trn t gi danh ngha (trung bnh mi qu) ly t c s d liu
Thng k ti chnh quc t ca IMF v t trng thng mi da trn s liu ca
Tng cc thng k t 10 i tc thng mi chnh ca Vit Nam l Nht Bn,
Singapore, Trung Quc, Hn Quc, M, Thi Lan, c, Hng Kng, c, Malaysia
(Qu 1/2005 = 100). T gi hi oi c hiu lc danh ngha c nh ngha l s
lng n v tin t trong nc trn mt n v ngoi t, do mt s gia tng
trong NEER
t
th hin ng ni t mt gi. Kh khn c c mt bin php o
lng chi ph nhp khu bin, c bit l i vi nhng nn kinh t mi ni nh
Vit Nam. V vn ny mt s tc gi nh Bahroumi (2005), Khundrakpam
(2007) v Fujii (2004) ch ra rng i din cho chi ph nhp khu bin (MC
t
) c
th c xy dng t mt thc o s bin ng ch s gi bn bun ca cc i tc
thng mi chnh, tc l chi ph nhp khu bin (MC
t
) c tnh theo cng thc:
22

MC
t
= (REER
t
WPI
t
) / NEER
t

Trong , NEER
t
l t gi c hiu lc danh ngha
REER
t
t gi c hiu lc thc
WPI
t
l ch s gi bn bun trong nc.
Trong nghin cu ca Amit Ghosh, Ramkishen S. Rajan (2009) s dng
ch s CPI i din cho chi ph ca cc nh xut khu. Bi nghin cu ny bin
chi ph bin cng c o lng nh trn.
Mt s nghin cu v ERPT (tham kho Khundrakpam (2007), v Bahroumi
(2005)) xy dng cc yu t lm tng gi trong nc (
t
) bng cch s dng cc
bin php o lng co gin ca cu. Do cc yu t lm tng gi gin tip ph
thuc vo iu kin nhu cu ni a. Ch s ca nhu cu trong nc nh sn lng
cng nghip c s dng trong nghin cu ca Khundrakpam (2007) v tng sn
phm quc ni (GDP) theo Bahroumi (2005). GDP c coi nh l mt i din
cho nhu cu trong nc trong nghin cu ny. N c ly t c s d liu
Datastream ca Reuters.
3.4. M hnh nghin cu thc nghim
Theo GilPareja (2003), Khundrakpam (2007) v Bahroumi (2005), mi quan
h thc nghim trong di hn gia cc bin c c tnh da trn phng trnh
c trnh by theo logarit c s t nhin. Mc ch ca vic chuyn ha d liu
sang logarit nhm gim bt phn tn cao, cng nh mt s quan st c gi tr bt
thng ca d liu gc, do s thun li hn trong vic nhn dng v phn tch.
lnP
t
M
=
0
+
1
lnS
t
+
2
lnMC
t
+
3
ln
t
+
t
Da trn nhng gii thch v bin nghin cu v d liu trn, chng ta c
phng trnh c lng sau y cho t gi hi oi danh ngha song phng v
NEER (theo Ghosh v Rajan (2009)), tng ng l:
lnP
t
M
=
0
+
1
lnER
t
+
2
lnPPI
U
t
/ln CPI
U
t
+
3
lnGDP
t
+
t
(2)
lnP
t
M
=
0
+
1
lnNEER
t
+
2
lnCPI
W
t
+
3
lnGDP
t
+
t
(3)
23

Trong , ER
t
l t gi hi oi danh ngha song phng gia ng Vit
Nam (VND) v la M (USD), PPI
U
t
/CPI
U
t
l ch s gi sn xut / gi tiu dng
ca M, CPI
W
t
biu th ch s gi tiu dng th gii, v bin ph xu hng vi s
mu quan st hn hp l khng kh thi. Xu hng ca gi nhp khu v NEER theo
thi gian c th hin hnh 3.1 (phn ph lc).
Cc h s cn quan tm c bit l co gin ca ERPT
1
v
1
. Nu
1
= 0
c ngha l khng c ERPT vo gi nhp khu, trong khi nu mt
1
= 1 th ERPT
hon ton. Nu h s nm gia 0 v 1 chng t ERPT mt phn hay khng hon
ton.
Trong c lng phng trnh (2) v (3) chng ta c th kim sot nhng
thay i trong nhu cu trong nc v chi ph ca quc gia xut khu. Khi nhng nh
xut khu nc ngoi tham gia vo vic nh gi cho th trng bng cch tnh thm
cc chi ph sn xut bin ca h trong th trng cnh tranh khng hon ho, s gia
tng trong chi ph nhp khu bin cng lm tng gi nhp khu. Nh vy,
2
v
2

c k vng l dng. Mc ca ERPT cng b nh hng bi cc chi ph bin
ca cc nh xut khu, c i din bi ch s PPI/CPI ca M. i vi truyn
dn NEER, chng ta s dng ch s gi tiu dng (CPI) th gii nh l mt i din
cho chi ph ca tt c cc nh xut khu kt hp cung cp cho Vit Nam. Cui cng,
mt s gia tng trong thu nhp v nhu cu trong nc ng mt gia tng trong nhu
cu nhp khu hng ho, to iu kin thun li cho cc cng ty nc ngoi tnh
gi nhp khu cao hn, do h s
3
v
3
d kin s l dng.
9

9
Tuy nhin, s gia tng sn lng cng c th ng nhu cu t hn i vi hng ho nhp khu v mt s
suy gim trong gi nhp khu. V vy,
3
v
3
cng c th m.
24

3.4.1. Phng php nghin cu
Bi nghin cu c lng co gin ca hiu ng truyn dn t gi hi oi
vo gi nhp khu Vit Nam trong di hn bng cch s dng mt phng php
gn y c pht trin bi Saikkonen (1992), Stock v Watson (1993), v c s
dng trong nghin cu ca Amit Ghosh v Ramkishen S. Rajan (2009). Phng
php DOLS lin quan n vic lm tng hi quy ng lin kt tnh vi tr v xu
hng sai phn bc nht ca cc bin hi quy c lp c bc tch hp I (1) kt
qu s hng sai s (error term) ca phng trnh ng lin kt l trc giao vi ton
b qu trnh hi quy bin c lp ngu nhin. tng l loi b s khng hiu
qu ca phng php bnh phng nh nht trong hi quy tnh bng cch s dng
cc thng tin c lin quan trong h thng gii thch cho mi tng quan gia cc
bin hi quy c lp v bin ph thuc. Bng nhng nghin cu v m phng
Monte Carlo (v d, Carrion-i-Silvestre v Sans-i-Rossell, 2004), Stock v
Watson (1993) cho thy y l mt phng php ng tin cy, c bit l i vi
mu nh v n cho php hi quy cc bin c mi quan h ng lin kt vi nhau.
Hn na, bng cch bao gm cc gi tr tr v xu hng ca nhng thay i
trong cc bin hi quy c lp, phng php ny khc phc ng thi nhng sai
lch tim nng v sai lch do mu nh trong cc c lng hi quy. Mt vn
pht sinh khi s dng phng php hi quy DOLS l lm th no chn thng s
xu hng v tr. Mt phng php ph bin l s dng cc tiu ch nh Akaike
(1973), AIC, hoc BIC ca Schwarz (1978). iu ny cng c xut bi
Saikkonen (1992, trang 10) cho hi quy DOLS.
Bi nghin cu s dng phng php DOLS c lng tc ng cn bng
trong di hn ca t gi hi oi n gi nhp khu tng hp ca Vit Nam da trn
m hnh di y:
lnP
t
M
= BX
t
+
4i
lnER
t+i
5i
lnPPI
U
t+i
/ lnCPI
U
t+i

6i
lnGDP
t+i
+
t
(4)
lnP
t
M
= CY
t
+
4i
lnNEER
t+i
+
5i
lnCPI
W
t+i
+
6i
lnGDP
t+i
+
t
(5)
25

Trong , B = [
0
,
1
,
2
,
3
], X = [1, lnER, lnPPI
U
/lnCPI
U
, lnGDP], C = [
0
,
1
,
2
,
3
], Y = [1, lnNEER, lnCPI
W
, lnGDP], k l thng s tr (lags) v p l
thng s v xu hng (leads).
10

Ngoi ra, bi nghin cu cn s dng m hnh hiu chnh sai s (ECM)
c lng cc tc ng trong ngn hn.
11
M hnh hiu chnh sai s ECM l mt
gii php nng ng c ph bin trong nhng m hnh nghin cu kinh t v
m ca Granger and Newbold (1977). Mt iu quan trng l m hnh th hin mi
quan h trong ngn hn v di hn gia nhng chui d liu thi gian c quan h
ng lin kt khi chng cha ng nhng bin cng cp trong sai phn.
Khi nim quan h di hn trong m hnh hiu chnh sai s n khi nim
ng lin kt trong thng k c khm ph bi Engle and Granger (1987).
ng lin kt ch cung cp quan h trong di hn hoc l nhng tnh cht ca s cn
bng c gii thch bi l thuyt kinh t. Engle and Grange (1987), Lloyd and
Rayner (1990) kt lun nu hai hoc nhiu hn hai chui d liu thi gian tt c
u tch hp bc 1 hay I (1), v ng lin kt th tn ti mt c ch iu chnh sai s
cho cc bin trong ngn hn v di hn. Vic c lng m hnh hiu chnh sai s
ECM c tin hnh theo hai bc sau.
Bc 1: kim tra ng lin kt theo phng php ca Johansen and Juselius
(1990).
Kt qu kim tra nu pht hin c tn ti t nht mt vect ng lin kt gia
cc bin kho st, c ngha l tn ti mt quan h cn bng trong di hn gia cc
bin c lin quan (long- run relationship) th tip tc thc hin bc hai. Phng
trnh hi quy ng lin kt (th hin mi quan h cn bng trong di hn gia cc
bin kho st):
1
m
t j t
j
Y b ECON ECT |
=
= + +

10
Bi nghin cu cng s dng nhng thng s tr v xu hng khc nhng chng khng c ngha
thng k, ch c nhng thng s c ngha mi c trnh by trong phn 4 Kt qu nghin cu.
11
i vi nhng bi nghin cu s dng thi k mu di hn th nn s dng mt bin gi, nhn gi tr bng
1 trong giai on 1997Q1 1998Q2 nhm nm bt c nm bt nhng tc ng ca cuc khng hong tin
t.
26

Vect ng lin kt ECT c o b i phn d t phng
trnh hi quy
t
Y theo
t
ECON nh sau:

1
m
t t j t
j
ECT Y ECON b |
=
=

Trong :
t
Y ,
t
ECON tng ng l bin ph thuc v cc bin c lp
t
ECT l phn d ca phng trnh
,
j
b | l h s ca ma trn tng ng v kch c
m l s bin c lp
Bc hai: c lng m hnh hiu chnh sai s ECM.
Nu kt lun c ng lin kt gia cc bin kho st hay tn ti quan h di
hn gia cc bin nghin cu, m hnh hiu chnh sai s ECM trong ngn hn c
c lng nh sau:
1 1
1 1 1
p m k
t i t i ij t i t t
i j i
Y c Y ECON ECT |

= = =
A = + A + A + +

Trong :
t
Y A

l thay i (sai phn bc 1) ca bin ph thuc
1 t
Y
A l thay i (sai phn bc 1) ca bin ph thuc v ly tr l 1 t

1 t
ECON

A l thay i (sai phn bc 1) ca cc bin bin c lp v ly tr
l 1 t
1 t
ECT
l phn d thu c t phng trnh hi quy ng lin kt bc trn

v ly tr l 1 t
1
, , &
i i
c | l cc h s ca nhng ma trn tng ng v kch c
t
l phn d trong phng trnh hi quy
p, k l thng s tr tng ng, m l s bin c lp trong phng trnh.
iu kin ca m hnh hiu chnh sai s l h s phi c du (-), iu ny
cho bit rng c s hi t ca m hnh hng v trng thi cn bng trong di hn,
ng thi cng cho thy s iu chnh bao nhiu phn trm xy ra trong mi giai
on.
27

Phng trnh (2) v (3) c bin i thnh m hnh hiu chnh sai s nh
sau:
lnP
t
M
=
0
+
1i
lnP
M
t-i

+
2i
lnER
t-i
+
3i
lnPPI
U
t-i
/ lnCPI
U
t-i
+
4i
lnGDP
t-i
+
5i
lnP
M
t-1

+
6i
lnER
t-1
+
7i
lnPPI
U
t-1
/ lnCPI
U
t-1

+
8i
lnGDP
t-1
+
t-1
(6)
lnP
t
M
=
0
+
1i
lnP
M
t-i

+
2i
lnNEER
t-i
+
3i
lnCPI
W
t-i
+
4i
lnGDP
t-i
+
5i
lnP
M
t-1

+
6i
lnNEER
t-1
+
7i
ln CPI
W
t-1
+
8i
lnGDP
t-1

+
t-1
(7)
Trong , l sai phn bc nht,
ji
v
ji
(j=1, 4) l h s iu chnh ngn
hn, v ECT v ECT l s hng sai s. Thng qua m hnh ECM, co gin di
hn l cc h s ca cc bin gii thch c tr mt qu (k=1) chia cho h s ca
bin ph thuc cng c tr mt qu (Bardsen (1989)). Nh vy phng trnh
(6), co gin di hn i vi t gi, chi ph bin v cc yu t lm tng gi (mark
up) tng ng l (
6
/
5
), (
7
/
5
), v (
8
/
5
). Cc tc ng ngn hn s c
o lng bi cc h s nhng bin sai phn bc nht trong m hnh (tng t cho
phng trnh (7)).
3.4.2. Kim nh tnh dng ca d liu (Unit root test)
Khi s dng d liu di dng chui d liu thi gian (time series), vic u
tin nn lm l kim tra xem nhng bin c s dng trong m hnh nghin cu l
dng (stationary) hay khng dng (non-staionary). Hu ht cc chui thi gian
trong kinh t v m c xu hng v do trong hu ht nhng trng hp l chui
khng dng (v d GDP, FDI). Vn ca chui thi gian khng dng hay c xu
hng l hi quy OLS c th dn n nhng kt lun khng chnh xc. Theo
Asteriou, trong nhng trng hp ny kt qu hi quy c R
2

cao v c gi tr t cao
nhng cc bin c s dng trong phn tch khng c gi tr gii thch. Asteriou
ni r nhiu chui thi gian kinh t c bit c t l tng trng c bn, c th l
hng s hoc khng, v d GDP, gi, cung tin c xu hng tng trng hng nm.
Nhng d liu chui thi gian nh vy l khng dng v trung bnh tip tc tng
theo thi gian, tuy nhin nhng chui ny li khng c ng lin kt m sai phn
28

ca n c th dng theo thi gian. y l mt trong nhng l do chnh ca vic ly
logarit cc d liu trc khi tin hnh phn tch. Hi quy gia hai chui d liu
khng lin quan (v khng dng) iu m chng ta nhn c qua h s R
2
cao
chng qua th hin xu th cng nhau (hoc tri ngc nhau) ca hai chui d liu.
Mc d R
2
c th cao nhng kt qu c th khng c ngha kinh t. Bi v cc c
lng ca OLS c th khng bn vng theo thi gian, v do cc kim nh thng
k c suy ra t m hnh l khng c gi tr.
Mt d liu chui thi gian c xem l dng nu nh trung bnh v phng
sai ca n khng thay i theo thi gian, v gi tr ca hip phng sai ch ph
thuc vo khong cch hay tr v thi gian gia hai thi on ch khng ph
thuc vo thi im thc t m hip phng sai c tnh (Ramanathan, 2002). C
th l:
Trung bnh:
( )
t
E Y const = =
Phng sai:
( )
2
t
Var Y const o = =
Hip phng sai: Covar (Y
t
, Y
t-k
) = g
k

Tnh dng ca d liu chui thi gian l mt khi nim v cng quan trng,
v thc t hu ht tt c nhng m hnh thng k u c thc hin di gi nh
l d liu chui thi gian phi dng. Nhng kt qu xut pht t nhng phn tch
kinh t khi s dng d liu khng dng u l hi quy gi mo (Granger and
Newbold, 1977). Du hiu ca hi quy gi mo (spurious regression) l gi tr ca
R
2
ln hn gi tr thng k Durbin Watson. Nhng nu phn d ca m hnh dng,
th cc bin c mi quan h cn bng trong di hn v m hnh c chp nhn. V
vy xc nh tnh dng (xc nh bc tch hp) cho chui d liu thi gian ca m
hnh nn c kim tra trc tin.
Bi nghin cu thc hin kim tra tnh dng v xc nh bc tch hp cho
cc bin phng trnh (2) v (3) bng cch s dng c kim nh Kwiatkowski-
Phillips-Schmidt-Shin (KPSS) v Phillip-Perron (P-P) tng thm tnh chnh xc
i vi kt lun v tnh dng ca cc chui. Phillips v Perron (1988) pht trin mt
s kim nh nghim n v tr nn ph bin trong phn tch chui thi gian ti
29

chnh. Kim nh nghim n v Phillips-Perron (P-P) khc vi kim nh ADF ch
yu l trong cch h gii quyt tng quan chui v phng sai khng ng nht
trong cc s hng sai s. c bit, khi m kim nh ADF s dng mt tham s t
hi quy c lng cu trc ARMA ca cc sai s,th kim nh P-P b qua
tng quan chui trong cc kim nh hi quy. Mt li th ca kim nh P-P so vi
kim nh ADF l kim nh P-P mnh m, ng tin cy i vi cc dng phng
sai khng ng nht trong s hng sai s (error term). Mt li th khc l ngi
dng khng phi ch nh mt chiu di tr (lag length) cho cc kim nh hi
quy. Nu gi tr tuyt i ca gi tr thng k trong kim nh P-P ln hn gi tr ti
hn mc ngha % th d liu ang xt c tnh dng. Khi ta s dng kim nh
ADF v P-P m c s khc bit v tnh dng ca d liu th ta s dng b sung
kim nh KPSS c kt lun chnh xc.
Cc kim nh nghim n v ADF v P-P c gi thuyt H
0
l mt chui thi
gian y
t
l I (1). Mt khc, kim nh tnh dng cn da trn gi thuyt chui y
t
l I
(0). Kim nh tnh dng c s dng ph bin nht l KPSS ca Kwiatkowski,
Phillips, Schmidt v Shin (1992). M hnh nh vy c xut vo nm 1982
bi Alok Bhargava trong lun n tin s ca mnh, trong mt s loi kim nh
nghim n v cho mu hn ch ca John von Neumann hoc Durbin-Watson
c pht trin (tham kho Bhargava, 1986). Sau , Denis Kwiatkowski, Peter CB
Phillips, Peter Schmidt v Yongcheol Shin (1992) xut mt loi kim nh vi
gi thuyt H
0
l chui quan st c tnh dng xu hng (dng xung quanh mt xu
hng xc nh). Kim nh ny bt u vi m hnh:
y
t
= D
t
+ t + ut
t =
t-1
+
t
,
t
~ WN (0,
2
)
Trong , D
t
cha cc thnh phn xc nh (h s chn hoc h s chn cng
vi xu hng), u
t
l I (0) v c th c phng sai khng ng nht. Ch rng t c
mt bc i ngu nhin l
2
. Gi thuyt H
0
: y
t
l I (0) (tc y
t
c tnh dng) c
trnh by nh sau:
30

H
0
:
2
= 0, n hm rng t l mt hng s.
Gi tr thng k kim nh KPSS l nhn t Lagrange (LM) hoc s liu
thng k ca kim nh gi thuyt
2
= 0 so vi gi thuyt i
2
> 0.
KPSS = T
-2
/ (8)
Trong , = , l phn d ca c lng hi quy ca y
t
theo D
t

v l c lng phng sai di hn ph hp ca u
t
bng cch s dng .
Nu D
t
= 1 th: KPSS dr (9)
Trong , V
1
(r) = W(r) r W(1), W(r) l mt tiu chun Brown vi r [0,1].
Nu D
t
= (1, t) th: KPSS dr (10)
Trong , V
2
(r) = W(r) r (2 3r) W(1) + 6r (r
2
1)
Nhng gi tr ti hn t phn phi ca ng tim cn phng trnh (9) v
(10) c c t nhng phng php m phng. Kim nh tnh dng l mt kim
nh ui phi bc b gi thuyt H
0
ti mc ngha 100. % nu gi tr thng k
ca kim nh thng k KPSS phng trnh (8) ln hn vi phn 100.(1-)% t
phn phi cc tim cn thch hp ca phng trnh (9) hoc (10).
Bng 3.1. Kt qu kim nh tnh dng (s dng kim nh KPSS)

Vit Nam
Gi tr KPSS
ca d liu gc
Gi tr ti hn
5%
Gi tr KPSS ca
sai phn bc nht
Gi tr ti hn
5%
Null hypothesis: variable is stationary
H
0
: d liu c tnh dng
ER 0.833865 0.463000 0.311346 0.463000
NEER 0.904766 0.463000 0.258865 0.463000
GDP 0.956526 0.463000 0.237082 0.463000
PPI
U
0.918533 0.463000 0.055594 0.463000
CPI
U
0.955801 0.463000 0.106491 0.463000
CPI
W
0.961005 0.463000 0.039997 0.463000
P
M
0.909237 0.463000 0.072002 0.463000

31

Bng 3.2. Kt qu kim nh nghim n v (s dng kim nh Phillip-Perron)
Vit Nam
Gi tr P-P ca
d liu gc
Gi tr ti hn
5%
Gi tr P-P ca
sai phn bc nht
Gi tr ti hn
5%
Null hypothesis: variable has a unit root
H
0
: d liu c nghim n v
ER 0.984678 -2.921175 -4.992189 -2.922449
NEER 0.931433 -2.921175 -7.680883 -2.922449
GDP -2.605433 -2.921175 -7.863726 -2.922449
PPI
U
-0.612696 -2.921175 -4.070607 -2.922449
CPI
U
-0.819191 -2.921175 -5.345942 -2.922449
CPI
W
-0.387940 -2.921175 -3.566563 -2.922449
P
M
-0.216070 -2.921175 -4.963699 -2.922449

Kim tra tnh dng c thc hin trn cc d liu c iu chnh yu t
ma v theo census X12. Chng ta thy rng, theo kim nh KPSS v P-P th tt c
d liu u khng dng chui gi tr gc m dng chui sai phn bc 1 (mc
ngha 5%).
Trc khi i vo c lng m hnh DOLS v m hnh hiu chnh sai s
(ECM), cn phi xc nh bc tch hp ca cc bin c xem xt a vo m hnh.
Ch c nhng bin c cng bc tch hp mi c th c ng lin kt v khi c s tn
ti ca ng lin kt mi hm rng c c s vng chc cho vic vn dng m hnh
hiu chnh sai s v DOLS. Mt chui d liu
t
Y c gi l tch hp bc d nu
chui d liu
t
Y

tr nn dng sau d phn sai, biu th l
( )
t
Y I d ~ . Chng hn nh,
nu chui d liu
t
Y

tr nn dng sau mt ln sai phn, tc l
1 t t
Y Y
hoc
t
Y A
dng, iu ny c biu th nh
( ) 1
t
Y I ~ hay
( ) 0
t
Y I A ~ . Nh vy, bc tch hp
ca mi bin trong nghin cu c xc nh trong phn kim tra tnh dng l I (1).
3.4.3. Kim tra mi quan h ng lin kt (Johansen)

C s vng chc ca m hnh hiu chnh sai s ECM v DOLS da trn khi
nim rng c tn ti mt mi quan h cn bng trong di hn gia cc bin c lin
quan. Vic kim tra ng lin kt l tr li cho cu hi tn ti hay khng mi
quan h ny. Phng php ca Johansen and Juselius (1990) tip cn da trn gi tr
Maximum Likelihood, Maximum Engle v Trace Value tm ra s lng vect
32

ng lin kt. Phng php ny cung cp l thuyt cho vic kim tra ng lin
kt trong cch tip cn vi ni dung vect t hi quy (Vector Autoregressive).
Phng php Johansen c trnh by nh sau:
0
1
k
t j t j t
j
x A A x c
=
= + +

Trong :
0
A l mt vect (n x 1) hng s,
j
A l mt ma trn (n x n) ca h s
t
x l mt vect (n x 1) ca nhng bin dng sai phn bc 1 hay I(1)
k l tr (lags),
t
c l mt vect (n x 1) ca sai s Gaux (Gaussian)
Qu trnh t hi quy ca nhng vect c iu chnh li v chuyn vo m
hnh hiu chnh sai s (ECM).
0
1
1
k
t j t j t k t
j
x A x x c

=
A = + I A + H +

Trong :

1
k
j j
i j
A
= +
I =

1
k
j
i j
I A
= +
H = +

I l mt ma trn ng nht (n x n)
Chng ta da trn gi thit
0
H : khng c ng lin kt (non-cointegration).
xc nh c ng lin kt hay khng, ta so snh gi tr ca kim nh Trace
(Trace value) hoc gi tr ca kim nh Maximum Eigen (Maximum Eigen value)
vi gi tr ti hn (critical value) mc ngha % o (1%, 5% hay 10%).
Nu: (Trace value) hoc (Maximum Eigen value) < (critical value), ta chp
nhn gi thit
0
H (khng c ng lin kt).
Nu: (Trace value) hoc (Maximum Eigen value) > (critical value), ta bc
b gi thit
0
H (tn ti ng lin kt).
Chng ta thc hin kim nh ng lin kt vi tr l 4 qu c chn
theo cc tiu chun la chn tr LR, FPE, AIC v HQ kim tra mi lin h di
hn gia cc bin.
12

12
Cch la chn tr c trnh by trong phn ph lc (Bng 3.3)
33

Bng 3.4 Kim nh ng lin kt, tr 1 4
Mi quan h
ng lin
kt gi nh
Tr ring
(Eigen value)
Thng k
Trace
Gi tr ti
hn 5%
Thng k
Max-Eigen
Gi tr ti
hn 5%
Khng * 0.519588 63.08900 47.85613 33.72310 27.58434
Ti a 1 0.365322 29.36589 29.79707 20.91334 21.13162
Ti a 2 0.164878 8.452548 15.49471 8.288147 14.26460
Ti a 3 0.003568 0.164402 3.841466 0.164402 3.841466

i vi phng trnh (2), khi ta s dng ch s gi sn xut ca M i
din cho chi ph bin (MC
t
), th theo kt qu kim nh Trace v kim nh tr ring
ti a cho thy c mt mi quan h ng lin kt trong di hn vi mc ngha 5%
(Bng 3.4).
Mi quan h
ng lin kt
gi nh
Tr ring
(Eigen value)
Thng k
Trace
Gi tr ti
hn 5%
P-value
Khng * 0.441720 58.62037 47.85613 0.0036
Ti a 1* 0.336878 31.80726 29.79707 0.0289
Ti a 2 0.242590 12.91059 15.49471 0.1181
Ti a 3 0.002811 0.129477 3.841466 0.7190

Tng t, cng vi phng trnh (2), khi ta s dng ch s gi tiu dng ca
M i din cho chi ph bin (MC
t
), th kt qu cho thy c hai mi quan h
ng lin kt trong di hn vi mc ngha 5% (Bng 3.5).
Mi quan
h ng lin
kt gi nh
Tr ring
(Eigen value)
Thng k
Trace
Gi tr ti
hn 5%
Thng k
Max-Eigen
Gi tr ti
hn 5%
Khng * 0.570855 80.16910 47.85613 38.91422 27.58434
Ti a 1* 0.405688 41.25489 29.79707 23.93614 21.13162
Ti a 2* 0.287256 17.31875 15.49471 15.57714 14.26460
Ti a 3 0.037153 1.741610 3.841466 1.741610 3.841466
i vi phng trnh (3), ta nhn thy c ba mi quan h ng lin kt trong
di hn ti mc ngha 5% (Bng 3.6).
34

3.5. M hnh nghin cu m rng: Tc ng ca nhng yu t kinh t vi
m v v m n s thay i ca ERPT
Cc kha cnh kinh t khc nhau c th gii thch khong 1/3 nhng bin
ng trong co gin ca ERPT v nhng thay i cn li n t nhng tc ng
c trng kh c th quan st c ca mi quc gia. Lm pht, bin ng t gi
hi oi, hi nhp v mc giu c tng i gi vai tr r rng nh l mt h
thng iu khin ERPT ca nhng th trng mi ni, trong khi l hng sn
lng v chnh sch bo h mu dch c nh hng tng qut hn.
Phn di y m t mi bin s v tc ng ca tng bin s n co gin
ca ERPT theo l thuyt, i din cho cc kha cnh khc nhau ca nn kinh t
nc nhp khu. Hu ht trong s l yu t "v m" nhng mt s yu t c th
c lin kt vi cc vn "vi m".
Bin ng t gi hi oi nc ngoi (FX). Nghin cu l thuyt cho thy
mt mi quan h gia ERPT vo gi nhp khu v bin ng trong t l FX nhng
khng r rng. Bin ng FX cng cao c kt hp vi ERPT cng thp (tc l
quan h ph nh) trong mt mi trng cnh tranh cao, bi v nhng nh xut khu
chun b nm bt bin ng to c hi lm tng gi hoc gia tng th phn
(Froot v Klemperer, 1989). Ngc li, nu nh xut khu ch yu hng ti mc
tiu n nh li nhun bin th h s c xu hng duy tr gi n nh bng ng tin
ca h, tc l ERPT cao hn, v v vy tc ng k vng l dng (Devereux v
Engel, 2002). Cng theo Gaulier v cng s (2008), mi quan h khng r rng ny
phn nh mt s cn bng trong chin lc chnh ca nh xut khu, c ngha l,
n nh s lng xut khu hay li nhun bin. Mt lp lun c lin quan l liu c
sc v tnh bin ng c nhn thc l lu bn hay tn ti trong thi gian ngn c
ph thuc vo nh xut khu hay khng; trong trng hp bin ng tm thi, h
rt c th iu chnh gim li nhun bin kt hp vi thay i gi thng xuyn hn
l chp nhn gnh chu chi ph (Froot v Klemperer, 1989). Bin ng t l FX
c o lng nh sau (theo Amit Ghosh, Ramkishen S. Rajan (2009)):
35

FX =
Trong , m=4 l s tr, E l t gi hi oi, c th l ER hoc NEER,
nhng bi nghin cu s dng ER tng thch vi cc d liu khc.
Lm pht (Inflation). Cc nc nhp khu ni m c quan tin t khng ng
tin cy thng tri qua mc / bin ng cao ca lm pht, v vy dn n ERPT
cao n gi trong nc (tham kho Taylor, 2000; Choudhri v Hakura, 2006). Bng
cch iu tra xem liu lm pht c dn n ERPT vo nhp khu hay khng, chng
ta kim tra gin tip mi lin h gia chnh sch tin t v gi c ca nh xut khu.
Lm pht ca Vit Nam theo qu c xc nh l log (CPI
i, t
/ CPI
i, t-1
) v c
tnh trung bnh di ng mt nm.
L hng sn lng (Output gap). Mt phng php o lng l hng sn
lng ca quc gia l sai lch ca GDP thc so vi GDP thc "tim nng".
Choudhry v Hakura (2006) a ra mt m hnh l thuyt v hiu ng truyn dn,
trong chnh sch tin t theo quy tc Taylor c gi nh bao gm l hng sn
lng nh l mt yu t u vo. Output gap dng ng rng nn kinh t ang
pht trin tim nng v do , nhu cu trong nc ang m rng, trong bi cnh
ny, ERPT thp c th c quan st thy nu cc doanh nghip xut khu c gng
"lp y l hng" (tc l gia tng bn hng) bng cch hp th nhng bin ng FX
trong phm vi li nhun bin ca h. V vy, cc nn kinh t nhp khu vi nhng
l hng sn lng ln c th i din cho mt c hi khuyn khch cc doanh
nghip nc ngoi gim bt ERPT. Output gap c tnh bng logarit ca chnh
lch gia GDP thc v xu hng GDP thc Hodrick-Prescott, log (GDP
i,t
/ GDP
*
i,t
).
S ph thuc nhp khu (Import dependence ID). M hnh Dornbusch
(1987) v phn bit gi kt hp co gin ca truyn dn vi th phn tng i
ca cc doanh nghip nc ngoi v cc nh sn xut a phng. Mt c tnh gn
ng vi khi nim ny (c cu th trng) l mc ca s hi nhp nhp khu
hoc ph thuc nhp khu c tnh ton bng M
t
/ GDP
t
, trong M
t
, GDP
t
ln
lt l tng gi tr ca hng ho nhp khu v GDP danh ngha ca Vit Nam, c
36

hai u tnh bng la M. Lp lun ca Dornbusch hm ERPT ln hn trong
nhng nn kinh t nh v ph thuc vo nhp khu nhiu. Mt phng php o
lng mc ph thuc nhp khu c lin quan l M
t
/ (GDP
t
- X
t
), vi X
t
l tng
gi tr hng ho xut khu ca Vit Nam c tr ra khi GDP.
Chnh sch bo h. Thu nhp khu l mt loi thu lm tng chi ph ca cc
doanh nghip nhp khu (tc l mt vn vi m) v do c th ni l mt ro
cn thng mi. Bo h cao hn c lin kt vi ERPT khng hon ton v mt l
thuyt, n i din cho mt hnh vi c th vi phm Lut Mt Gi (LOOP). tm
hiu vn ny, ch s thu nhp khu c xy dng bi Gwartney v cng s
(2010) t ngun World Tariff Proles ca WTO; mc 10 cho thy khng c thu v
ch s di chuyn v s 0 chng t thu nhp khu tng. Mt h s dng c hiu
l ph hp vi l thuyt, c th l, cc ro cn i vi kinh doanh chnh lch gi
quc t tng th mc m rng hiu ng truyn dn gim. Tuy nhin, do Vit
Nam l thnh vin ca WTO ngy 11/01/2007 nn khng c d liu cho bin ny.
S giu c (Weath). Mt kin thc ph bin l cc nc giu c quyn nh
gi ln hn v v vy, ERPT vo gi nhp khu thp hn so vi cc nc ngho (gi
nh cc yu t khc khng thay i), iu ny i din cho mt v d ca hnh vi
phn bit gi (hoc PTM). kim nh vn "vi m" ny, s giu c trong iu
kin tng i c nh ngha l logarit ca GDP thc bnh qun u ngi ca
Vit Nam chia cho GDP thc bnh qun u ngi ca M.
13

Mc hi nhp thng mi (OPENNESS). Mt mt, hi nhp thng mi
nhiu hn ng rng gi trong nc b tc ng trc tip v ng k hn khi t gi
thay i, mt khc, n cng cho thy s cnh tranh nhiu hn v dn n ERPT
thp hn. OPENNESS c o lng bng t s ca gi tr xut khu v nhp khu
chia cho GDP danh ngha, (X
t
+ M
t
) / GDP
t
.

13
Theo Raphael Brun-Aguerre, Ana-Maria Fuertes v Kate Phylaktis (2012) th ta ly GDP thc bnh qun
u ngi ca Vit Nam chia cho GDP thc bnh qun u ngi ca Th gii, tuy nhin, m bo s
tng thch gia cc bin (c bit l vi ER v CPI
U
/PPI
U
) nn Weath c o lng nh trn.
37

Ngoi ra, c lng ERPT cn b nh hng ca tm l kinh t ton cu.
Tng th hot ng kinh t ang bng n lm tng nhu cu i vi hng ha no ,
v vy, t p lc ln chi ph sn xut v c th lm tng truyn dn. Mt lp lun
ngc li l trong giai on m rng ca tng th nn kinh t, nh xut khu c th
"chi tr" cho bin ng trong vic tng gi ERPT thc s c th gim. Chng ta
s dng phng php bnh phng nh nht (OLS) c lng m hnh di y,
sau kim tra tnh dng ca phn d xc nh xem y c l mt m hnh hp
l v hiu qu hay khng.
=
0
+
1
FX
t-1
+
2
ID
t-1
+
3
Inflation
t-1
+
4
Openness
t-1
+
5
(Output gap)
t-1
6
Weath
t-1
+
t
(11)
Trong , l mc ca ERPT khi ta c lng hi quy phng trnh
ca ch s gi nhp khu theo ER, GDP v ch s PPI ca M. kim tra tc ng
ca cc yu t kinh t vi m, v m n ERPT theo thi gian, chng ta s dng
phng php c lng truy hi. Trong khi phng php DOLS c s dng
trong phn trc cung cp mt c lng im ca ERPT trong ton b thi
gian mu, th phng php truy hi lin quan n tng c lng im cho tng
qu v chy li m hnh hi quy.
Bng 3.7. Kt qu kim nh tnh dng (s dng kim nh KPSS)
Vit Nam
Gi tr KPSS
ca d liu
gc
Gi tr ti hn
5%
Gi tr KPSS
ca sai phn
bc nht
Gi tr ti
hn 5%
H
0
: d liu c tnh dng
ERPT 0.469703 0.463000 0.200746 0.463000
FX 0.309995 0.463000 0.112697 0.463000
INFLATION 0.673426 0.463000 0.149947 0.463000
OUTPUT GAP 0.105433 0.463000 0.362743 0.463000
ID 0.730869 0.463000 0.099545 0.463000
WEATH 0.782943 0.463000 0.376503 0.463000
OPENNESS 0.823597 0.463000 0.046579 0.463000

Chng ta thc hin kim tra tnh dng cho cc bin c b sung phng
trnh (11) bao gm FX, lm pht, l hng sn lng, s giu c, mc ph thuc
38

nhp khu, mc hi nhp v ERPT bng cch s dng kim nh KPSS. Ta thy
tt c cc bin u dng sai phn bc nht, v vy bc tch hp ca chng l I (1)
(Bng 3.7).
Tip theo, chng ta thc hin kim tra mi quan h ng lin kt vi thng
s tr c la chn l 3 qu theo tiu chun LR. Da trn kim nh Trace v
kim nh tr ring ti a th c 4 mi quan h ng lin kt gia cc bin, mc
ngha 5% (Bng 3.8).
Bng 3.8. Kim nh ng lin kt, tr 1 -3

Mi quan
h ng lin
kt gi nh
Tr ring
(Eigen value)
Thng k
Trace
Gi tr ti
hn 5%
Thng k
Max-Eigen
Gi tr ti
hn 5%
Khng * 0.822060 254.7581 125.6154 81.13644 46.23142
Ti a 1* 0.735661 173.6217 95.75366 62.53458 40.07757
Ti a 2* 0.689223 111.0871 69.81889 54.92791 33.87687
Ti a 3* 0.462186 56.15917 47.85613 29.15136 27.58434
Ti a 4 0.289834 27.00782 29.79707 16.08603 21.13162
Ti a 5 0.201286 10.92179 15.49471 10.56336 14.26460
Ti a 6 0.007597 0.358425 3.841466 0.358425 3.841466

3.6. M hnh truyn dn t gi bt cn xng
Cch tip cn ny gi nh mt mi quan h tuyn tnh gia t gi hi oi
v gi nhp khu. Theo mt s tc gi nh Menon (1996), Wickramasinghe (1999),
Webber (2000) v Khundrakpam (2007), bi nghin cu ny gii thiu mt bin gi
cho s bt cn xng c th c trong vic tng v gim t gi hi oi. Tng tc
ca bin gi vi t gi hi oi c th c th hin theo cng thc sau y:
NEER
t
= (
1
+

2
D
t
) NEER
t
Bin gi gi nh nhn gi tr l 1 cho cc giai on ng ni t tng gi
(NEER
t
gim) v bng 0 trong thi gian ng ni t gim gi v c th c m t
theo cng thc sau y:

D
t
= 0 nu NEER
t
> 0 v D
t
= 1 nu NEER
t
< 0
39

S tng tc ca bin gi vi NEER theo phng trnh:
lnP
t
M
=
0
+
1
lnNEER
t
+
2
lnNEER
t
D
t
+
3
lnCPI
W
t
+
4
lnGDP
t
+ ECT
t-1
(12)
Trong phng trnh trn, tng tc thi k c k vng nm bt c s
bt cn xng trong cc bin ng t gi. Nu h s ca n (ngha l
2
) dng th
c ngha l nh hng ca vic t gi hi oi c hiu lc danh ngha tng (ng
ni t gim gi) ln gi nhp khu ln hn vic t gi gim. Ngc li, mt h s
m v c ngha trn cc bin tng tc ng mt tc ng ln hn ca t gi
gim ln gi nhp khu.
Bi nghin cu s dng m hnh ECM c lng cc h s cn bng
trong di hn cho phng trnh (12), kt qu c lng c trnh by trong phn 4.
4. KT QU NGHIN CU
4.1. M hnh thc nghim
4.1.1 Tc ng cn bng trong di hn (Hi quy theo m hnh DOLS)
Di y l kt qu hi quy tc ng truyn dn trong di hn ca t gi hi
oi vo gi nhp khu theo m hnh DOLS.
Bng 4.1. H s cn bng trong di hn theo ER v ch s PPI ca M (k = 4, p =1)

Bin H s lch chun Thng k t P value
ER 1.504028 0.098040 15.34091 0.0000
PPI
U
1.804289 0.103292 17.46785 0.0000
0.0000 GDP -0.508979 0.073058 -6.966809
C -11.87938 0.680859 -17.44764 0.0000
R-squared 0.993219 Mean dependent var 4.709303
Adjusted R-squared 0.987028 S.D. dependent var 0.256805
S.E. of regression 0.029249 Sum squared resid 0.019677
Durbin-Watson stat 1.744657 Long-run variance 0.000119

40

Hnh 4.1. Kim nh phn phi chun ca phn d (resid 01)

Bng 4.2. H s cn bng trong di hn theo ER v ch s CPI ca M (k = 4, p =1)
ER 1.302181 0.128171 10.15970 0.0000
CPI
U
4.223675 0.710205 5.947121 0.0000
0.0047 GDP -0.880133 0.281508 -3.126491
C -16.62298 0.955203 -17.40256 0.0000


0
1
2
3
4
5
6
7
-0.04 -0.02 0.00 0.02 0.04
Series: Residuals
Sample 2001Q2 2012Q2
Observations 45
Mean 1.54e-15
Median 0.000207
Maximum 0.046431
Minimum -0.052852
Std. Dev. 0.021147
Skewness -0.120271
Kurtosis 2.985536
Jarque-Bera 0.108880
Probability 0.947015
0
1
2
3
4
5
6
7
8
-0.04 -0.02 0.00 0.02 0.04
Series: Residuals
Observations 45
Mean -1.12e-15
Median 0.001912
Maximum 0.040153
Minimum -0.049998
Std. Dev. 0.020919
Skewness -0.219133
Kurtosis 2.529125

Resid 01
lch chun 0.021147
H s bt i xng -0.120271
li (Kurtosis) 2.985536
Prob 0.947015

Resid 02
lch chun 0.020919
H s bt i xng -0.219133
Prob 0.678455

41

Bng 4.3. H s cn bng trong di hn theo NEER (k = 5, p = 2)
NEER 1.212046 0.256724 4.721205 0.0003
CPI
W
-6.667036 3.057192 -2.180771 0.0455
GDP 3.662648 1.399583 2.616957 0.0194
C -14.77861 3.928602 -3.761797 0.0019


Bng 4.4. Kim nh tnh dng ca phn d
Viet Nam
KPSS
stat.levels
Five percent
critical value
Resid 01 0.035112 0.463000
Resid 02 0.033492 0.463000
Resid 03 0.051926 0.463000

Cc kt qu cho thy m hnh l ph hp phn tch. Lin quan n t gi
danh ngha song phng vi la M, ln truyn dn t gi hi oi vo gi
nhp khu l 150.4% khi s dng ch s PPI, v 130.2% khi s dng ch s CPI ca
M, mt s truyn dn t gi hi oi hon ton trong di hn. i vi NEER, ta
0
2
4
6
8
10
12
-0.06 -0.04 -0.02 0.00 0.02 0.04
Series: Residuals
Observations 43
Mean -3.86e-15
Median 0.003586
Maximum 0.044489
Minimum -0.058134
Std. Dev. 0.024145
Skewness -0.273278
Kurtosis 2.572764

Resid 03
lch chun 0.024145
H s bt i xng -0.273278
Prob 0.649779

42

tm thy ln ca ERPT l 121.2%.
14
Cc kt qu ny ph hp vi nhng nghin
cu trc y v ERPT Vit Nam.
Chng ta c th gii thch cho s truyn dn hon ton ny bi nhng l do
sau. Th nht, do th trng Vit Nam khng c tnh cnh tranh cao, ng thi cc
nh xut khu nc ngoi c sc mnh th trng ng k nn y ton b nhng
thay i trong t gi v chi ph sn xut v pha ngi mua. Th hai, nc ta gn
nh phi chu nhng c sc lin tc t t gi, do , c im ca bin ng t gi
c coi nh l vnh vin (t gi n nh) dn n mt hiu ng truyn dn hon
ton. Th ba, ERPT thng c xu hng ln hn trong nn kinh t c thu nhp
thp, nh hn v hi nhp hn, ni c mt t l cao ca hng ho thng mi, khi
lng nhp khu cao, hng ha thay th trong nc b hn ch, v mc hi nhp
cao vi h thng thng mi ton cu. Nhng iu kin ny chc chn lm cho
quc gia ang pht trin nh Vit Nam d nhy cm vi bin ng t gi hn do
trn thc t, Vit Nam l mt quc gia c thu nhp thp, mc hi nhp cao, tuy
khng ph thuc qu nhiu vo mt i tc thng mi no nhng c mt s hng
ha nc ta khng th sn xut c hay c sn xut i chng na th cht lng
khng bng hoc gi c cao hn nn ngi tiu dng khng th mua hng ha trong
nc, v vy dn n ERPT hon ton trong di hn. Cui cng, ng tin nh gi
hng ha cng nh hng n ERPT. L do la chn ng tin nh gi, c
nghin cu nhiu cng trnh khoa hc (Bachetta v Van Wincoop (2001),
Devereux v Engel (2001), Giovannini (1998)) c cho l tnh n nh ca ni t.
Mt nc vi ng tin quc gia km n nh c t l nhp khu kh ln c nh
gi bng ngoi t th vic yt gi bng ngoi t cng s c li hn i vi cc cng
ty ch kinh doanh trn th trng ni a. Trong tnh hung ny, t gi c nhng tc
ng khng ch i vi gi hng ha nhp khu, m cn i vi gi hng ha phi
thng mi, v ERPT s hon ton (Tsesliuk, 2002). Nh vy, nc ta c mc
truyn dn t gi hi oi ln th mt khi ng ni t b ph gi tt yu s nh

14
Theo h s ng lin kt trong di hn ca m hnh ECM, ln truyn dn tng ng l 116.1% /
109.7% khi s dng ch s PPI / CPI ca M, v l 136.3% khi s dng ch s CPI ca th gii.
43

hng mnh n t l lm pht v nh hng n an sinh x hi, ng thi gy kh
khn trong vic thc hin chnh sch tin t c lp cng nh vic thc hin chnh
sch lm pht mc tiu trong tng lai.
Tuy nhin, h s ca
3
v
3
m, khc so vi k vng (d kin l dng).
Theo nh l thuyt, chng ta s dng GDP i din cho nhu cu trong nc v
hng ha nhp khu, khi GDP tng th nhu cu nhp khu tng v dn n gi nhp
khu tng. Nhng thc t c mt cht khc bit. Ta xut pht t cng thc tnh
GDP, theo phng php chi tiu, tng sn phm quc ni c xem nh l tng chi
tiu cho hng ha v dch v cui cng hng nm c cng thc tnh nh sau:
Tng sn phm quc ni (GDP) = Tiu dng ca cng chng (C) + Chi tiu ca
Chnh Ph (G) + Tng u t (I) + Xut khu (X) Nhp khu (M)
Trong , chi tiu cng khng thay i nhiu khi tnh hnh chnh tr - x hi
khng c nhiu thay i, mt phn gia tng do chi cho quc phng, lut php,
ng x, gio dc, y t, ... Tiu dng ca cng chng ph thuc vo thu nhp thc
t, thu nhp tng th chi tiu rng ri hn v ngc li. Nhng theo thc trng hin
nay, tin lng tng m thu nhp thc t cng ngy cng gim, nh vy nhu cu gia
tng nhp khu xut pht t tiu dng ca cng chng l khng c. Tip theo l
xut khu v nhp khu th c th kim sot c bng chnh sch thu, tuy Chnh
ph c gim thu nhp khu nhng nhu cu nhp khu vn khng tng nhiu do hn
ch v vnV cui cng, cha kha tng trng GDP chnh l tng u t. N
bao gm cc khon chi tiu ca doanh nghip v trang thit b v nh xng hay s
xy dng, mua nh mi ca h gia nh, nhng lu hng ha tn kho khi c
a vo kho m cha em i bn th vn c tnh vo GDP.
Trn thc t tnh n thi im thng 10-2012, c nc c trn 47,000 doanh
nghip ph sn hoc ngng sn xut kinh doanh, sn xut kinh doanh dch v pht
trin chm v khng bn vng. Tnh trng tc nghn tn dng, dn n s st gim
kh mnh v vn u t x hi, gy nn s suy yu v tng cu ca nn kinh t.
Mt trong nhng nguyn nhn trc tip quan trng dn n tnh trng suy yu tng
cu l lng hng tn kho cng nghip, c bit l hng tn kho trong cc lnh vc
44

sn xut c lin quan n xy dng - bt ng sn,... ang tng cao. Mt s ngnh
c t l tn kho tng cao nh nha (56.5%), phn bn (55.1%), xi mng (53.1%),
may mc (48.3), st, thp, gang (38.8%), t - xe my (37%). c bit, tnh trng
th trng bt ng sn ng bng ko di n thng 12-2012, khin trn 16,000
cn h cao cp v hng chc nghn cn h khc tn ng,
Nh vy, GDP Vit Nam gia tng (ng thu nhp gia tng) khng th hin
mt s gia tng trong nhu cu v chi tiu cho hng ha nhp khu m ch yu l gia
tng trong hng tn kho nhiu lnh vc. Cc yu t tc ng thun li n gia tng
nhp khu tuy c, nhng khng nhiu v khng mnh ln t cc tc ng tiu
cc. Nguyn nhn chnh l do vn hp th trong sn xut kinh doanh thp, hng ha
ng, sn phm khng lu thng ra th trng nn cc doanh nghip khng th
m rng sn xut kinh doanh, khng vn nhp khu vt t, nguyn liu.
Nhiu doanh nghip ph sn v ngng hot ng, trong khi cc doanh nghip mi
thnh lp cha vn v cng ngh u t chiu su, m rng sn xut kinh
doanh. Tuy nhin, mi quan h nghch bin gia GDP v gi nhp khu c th thay
i trong tng lai, khi tnh hnh hng tn kho c ci thin.
4.1.2. Tc ng trong ngn hn (Hi quy theo m hnh ECM)
Bng 4.5 v 4.6 th hin kt qu hi quy trong ngn hn ca phng trnh (6)
tng ng khi s dng ch s PPI v CPI ca M, kt qu c lng ca phng
trnh (7) c trnh by trong bng 4.7.
Bng 4.5. Tc ng truyn dn ca t gi vo gi nhp khu trong ngn hn
Bin H s lch chun Thng k t Prob
D(PM(-1)) 0.450522 0.236617 1.904019 0.0672
D(PM(-2)) 0.693774 0.234779 2.955001 0.0063
D(ER(-1)) -3.422062 0.846288 -4.043613 0.0004
D(ER(-3)) -1.669435 0.740488 -2.254507 0.0322
D(PPI(-2)) -1.324047 0.500236 -2.646843 0.0132
R-squared
Adjusted R-squared
Durbin-Watson stat
Prob (F-stat)
0.726737
0.560828
1.967981
0.000281
45


D(ER(-1)) -1.439479 0.770705 -1.867742 0.0723
D(CPIUS(-1)) 6.452263 2.193729 2.941231 0.0065
R-squared
Adjusted R-squared
Durbin-Watson stat
Prob (F-stat)
0.640654
0.422480
1.873397
0.005613

D(PM(-2)) 0.557466 0.203153 2.744067 0.0105
D(NEER(-2)) -0.625513 0.350522 -1.784520 0.0852
D(NEER(-3)) -0.676585 0.330701 -2.045913 0.0503
D(NEER(-4)) -0.545038 0.294743 -1.849198 0.0750
D(GDP(-1)) -2.962212 1.276862 -2.319916 0.0279
D(GDP(-2)) -4.358218 1.280014 -3.404821 0.0020
D(GDP(-3)) -2.881957 1.289566 -2.234826 0.0336
D(CPI(-1)) 11.30476 2.521834 4.482754 0.0001
R-squared
Adjusted R-squared
Durbin-Watson stat
Prob (F-stat)
0.710337
0.534471
2.040941
0.000545

Lu rng bi nghin cu ch trnh by nhng h s c ngha thng k,
nhng kim nh v phng sai thay i (ARCH), hin tng tng quan chui
(kim nh BG), cng nh kim nh tnh dng ca phn d c trnh by trong
phn ph lc (bng 4.8, hnh 4.4, hnh 4.5).
Cc kim nh cho thy m hnh l hp l phn tch. Kt qu cho thy
rng, t gi hi oi danh ngha song phng v t gi c hiu lc danh ngha c
quan h nghch bin vi ch s gi nhp khu trong ngn hn (a s l c ngha
thng k mc 10%). Khi s dng t gi hi oi danh ngha song phng, th
hin mt s truyn dn nghch bin hon ton, tuy nhin khi s dng NEER th tc
ng ny l khng hon ton. iu ny c th gii thch da trn k vng ca cc
46

doanh nghip v bin ng t gi l tm thi nn ERPT s thp hn, v mt phn l
do hiu ng tr. H s bin chi ph ca nh xut khu (c i din bi PPI/ CPI
ca M, CPI th gii) trong ngn hn mang du dng, ph hp vi l thuyt cng
nh nhng tc ng trong di hn, th hin mt s gia tng trong gi nhp khu khi
chi ph sn xut hng nhp khu tng. Nhu cu trong nc v gi nhp khu vn c
quan h nghch bin trong ngn hn.
4.2. Kt qu m hnh nghin cu m rng
Bi nghin cu s dng SSPACE (State space) trong Eviews c lng
co gin ca ERPT theo chui thi gian mu. Eviews cung cp mt lot cc cng
c k thut, nh lc d liu, lm trn d liu, v cc cng c d bo khc lm vic
vi cc h thng ng.
Mt lot cc m hnh chui thi gian, bao gm c m hnh hi quy tuyn
tnh c in v cc m hnh ARIMA, c th c vit v c tnh nh l nhng
trng hp c bit ca mt sspace. Cc m hnh sspace c p dng trong cc
nghin cu kinh t lng m hnh ha nhng c im khng quan st c nh
(l tr) k vng, sai s o lng, thiu mu quan st, thu nhp thng xuyn, cc
thnh phn khng quan st c (chu k v xu hng). Cuc kho st cc ng dng
ca m hnh sspace trong kinh t lng c th c tm thy trong Hamilton (1994,
chng 13; 1994b) v Harvey (1989, chng 3, 4).
Mt h thng ng dng sspace c hai li ch chnh. u tin, sspace cho
php cc bin khng quan st c (c gi l cc bin trng thi) c kt hp
v c tnh cng vi cc m hnh c th quan st. Th hai, cc m hnh sspace c
th c phn tch bng cch s dng mt thut ton truy hi mnh m c gi l
b lc Kalman (Bucy). Thut ton b lc Kalman c s dng tnh ton chnh
xc, d bo khi mu hu hn cho m hnh ARMA Gaux (Gaussian), cc m hnh
ARMA a bin (vect), MIMIC, m hnh Markov chuyn i, v m hnh h s
(ngu nhin) thi gian khc nhau. V vy, chng ta s dng sspace c lng
truy hi ERPT vo gi nhp khu dc theo chui thi gian quan st khi s dng ch
s PPI ca M i din cho chi ph ca nh xut khu (hnh 4.6).
47

Nhn vo hnh 4.6, chng ta thy rng ERPT trong ngn hn lin tc bin
ng theo thi gian (ERPT thp nht vo qu 4/2004) khc vi s truyn dn hon
ton cn bng trong di hn v c xu hng ang gia tng. Bi nghin cu s dng
nhng c lng truy hi ny ca ERPT v gi tr c tr mt qu ca nhng
bin kinh t vi m, v m m t trn kim tra vai tr ca nhng bin ny ln
s thay i ca ERPT theo thi gian.
Hnh 4.6. c lng truy hi ERPT vo gi nhp khu Vit Nam

Bng 4.9. Tc ng ca cc yu t kinh t vi m v v m n ERPT
C 35.66186 6.176632 5.773675 0.0000
FX(-1) -12.88426 15.02885 -0.857302 0.3960
ID(-1) 0.295205 0.046534 6.343874 0.0000
INFLATION(-1) 10.29789 10.71928 0.960688 0.3421
OPENNESS(-1) -2.714803 0.501851 -5.409576 0.0000
OUTPUT GAP(-1) 61.07195 12.08978 5.051534 0.0000
WEATH(-1) 13.61790 2.357327 5.776840 0.0000
R-squared 0.737342 Mean dependent var -0.098945
S.E. of regression 0.316976 Akaike info criterion 0.669194
Sum squared resid 4.320366 Schwarz criterion 0.936877
Log likelihood -9.729852 Hannan-Quinn criter. 0.771129
F-statistic 20.11851 Durbin-Watson stat 1.117966
Prob(F-statistic) 0.000000
-1.6
-1.2
-0.8
-0.4
0.0
0.4
0.8
00 01 02 03 04 05 06 07 08 09 10 11 12
ERPT
ERPT
48

Kt qu c lng tc ng ca nhng bin kinh t vi m, v m ln co
gin ca ERPT vo gi nhp khu c trnh by trong bng 4.9. Chng ta s dng
phng php OLS c lng cho chui d liu khng dng, nhng c mi quan
h trong di hn (chng minh trong phn kim nh ng lin kt), sau thc hin
kim tra tnh dng ca phn d xem kt qu c l hi quy gi mo hay khng.
Kt qu kim nh hin tng phng sai thay i (ARCH) v s tng quan
chui ca m hnh cho thy khng c tc ng ARCH v khng c s tng quan
chui trong m hnh, mc ngha 1% (Bng 4.10).
Bng 4.10. Kim nh hin tng phng sai thay i v tng quan chui
Heteroskedasticity Test: ARCH
F-statistic 2.553291 Prob. F(4,41) 0.0532
Obs*R-squared 9.173532 Prob. Chi-Square(4) 0.0569
Breusch-Godfrey Serial Correlation LM Test

Sau khi kim nh tnh dng (KPSS = 0.075018 < gi tr ti hn = 0.739000)
cng nh s phn phi chun ca phn d, chng ta thy rng kt qu hi quy l
hp l, tn ti mi quan h cn bng trong di hn gia cc bin. ng thi, gi tr
thng k Durbin-Watson ln hn 1 nn y l mt c lng hiu qu. By gi,
chng ta xt n h s ca nhng bin kinh t vi m v v m (Hnh 4.7 v Bng
4.11).
Bng 4.11. Kim nh tnh dng ca phn d

Viet Nam
KPSS
stat.levels
One percent
critical
value
Resid 0.075018 0.739000
49

Hnh 4.7. Kim nh phn phi chun ca phn d

Tp trung vo ERPT ca ch s gi nhp khu, chng ta thy rng bin ng
t gi hi oi c tc ng tiu cc (nghch bin) ln co gin ERPT. Pht hin
ny c v nh ph hp vi lp lun ca Froot v Klemperer (1989) cho rng bin
ng t gi hi oi tm thi cng cao c kt hp vi ERPT cng thp (tc l
quan h ph nh) trong mt mi trng cnh tranh cao, bi v nhng nh xut khu
chun b nm bt bin ng to c hi lm tng gi hoc gia tng th phn.
Tuy nhin, h s c lng ca bin ny li khng c ngha thng k trong di
hn Vit Nam.
H s ca bin ID (i din cho mc ph thuc vo nhp khu) l
0.295205, c ngha thng k mc 1%. Kt qu c lng ny ph hp vi lp
lun ca Dornbusch hm ERPT ln hn trong nhng nn kinh t nh v ph thuc
vo nhp khu nhiu. i vi Vit Nam, h s ny nh c l l do nc ta khng
ph thuc vo bt k mt i tc thng mi no qu nhiu, cc hot ng thng
mi, xut nhp khu c thc hin vi nhiu bn hng trn th gii.
Tc ng ca lm pht n ERPT vo gi nhp khu ca Vit Nam khng c
ngha thng k trong di hn, tuy nhin, chng ta cng xem xt n h s ca n.
H s dng ng rng c quan tin t khng ng tin cy dn n mc /bin
ng cao ca lm pht, v vy dn n ERPT cao n gi trong nc (tham kho
Taylor, 2000; Choudhri v Hakura, 2006).
0
1
2
3
4
5
6
7
8
9
-0.6 -0.4 -0.2 0.0 0.2 0.4 0.6
Series: Residuals
Observations 50
Mean -5.66e-16
Median 0.031196
Maximum 0.629780
Minimum -0.594145
Std. Dev. 0.296936
Skewness -0.007285
Kurtosis 2.151210

Residual
lch chun 0.296936
H s bt i xng -0.007285
Prob 0.472043

50

Theo l thuyt, mc hi nhp thng mi va c tc ng lm tng hay
gim mc ca ERPT. Trong m hnh c lng ca Vit Nam, th hi nhp
nhiu hn cng lm gim ERPT (h s l -2.714803, c ngha mc 1%) c
nguyn nhn l do s cnh tranh nhiu hn.
Mt kin thc ph bin l cc nc ngho c quyn nh gi t hn v v
vy, ERPT vo gi nhp khu cao hn so vi cc nc giu (gi nh cc yu t
khc khng thay i), iu ny i din cho mt v d ca hnh vi phn bit gi
(hay Pricing to market - PTM). H s ca bin Weath (i din cho mc giu c
ca mt quc gia) l 13.61790, c ngha thng k mc 1% nhng tri vi l
thuyt.
T nm 2002 n 2006, d liu cho thy nc ta c Output gap m, v trong
nhng nm khc, l hng sn lng vn m. Output gap m ng rng nn kinh t
cn nhiu ro cn cha th pht trin ht tim nng v do , nhu cu trong nc
hn ch, trong bi cnh ny, ERPT cao c th c quan st thy. L hng sn
lng cng ln c th i din cho mt c hi khuyn khch cc doanh nghip nc
ngoi gim bt ERPT, v vy th hin mt mi quan h nghch bin theo l
thuyt. Tuy nhin, c lng hi quy cho thy h s ny l dng ng k v c
ngha thng k nhng tri vi l thuyt.
Nh vy, khi ta xem xt tc ng ca nhng yu t kinh t vi m, v m ln
s thay i ca ERPT theo thi gian th ch c hai nhn t c nh hng n ERPT
ph hp vi l thuyt cng nh c ngha thng k l mc ph thuc vo
nhp khu v s hi nhp ca nn kinh t. Khi kt hp tc ng ca hai nhn t ny
vi nhau ta nhn thy c mt s st gim ca ERPT theo thi gian khi nc ta ngy
cng hi nhp v sn xut pht trin, hng ha thay th trong nc a dng hn,
cht lng c ci thin, ng thi, ERPT gim khi mc cnh tranh tng bi v
iu ny lm gim kh nng cc cng ty hp th nhng c sc chi ph do t gi hi
oi gy ra bng cch iu chnh li nhun thay v thay i gi. Nh vy c th ni
ERPT vo gi nhp khu ca Vit Nam l mt hin tng vi m.
51

4.3. S truyn dn bt cn xng
Bi nghin cu xem xt c s truyn dn bt cn xng trong di hn hay
khng bng cch s dng m hnh ECM vi thng s tr l 4 qu. Kt qu kim
nh ng lin kt Johansen (bng 4.12) cho thy c ba mi quan h ng lin kt
trong di hn mc ngha 5% c lng m hnh ECM. Kt qu c lng
phng trnh (12) c trnh by bng 4.13.
Bng 4.12. Kt qu kim nh ng lin kt, tr 1 4

Mi quan h
ng lin kt
gi nh
Tr ring
(Eigen value)
Thng k
Trace
Gi tr ti
hn 5%
P-value
Khng * 0.762008 129.7262 69.81889 0.0000
Ti a 1* 0.509271 63.69234 47.85613 0.0008
Ti a 2* 0.309768 30.94659 29.79707 0.0367
Ti a 3 0.233858 13.89315 15.49471 0.0859
Ti a 4 0.035009 1.639289 3.841466 0.2004

Bng 4.13. Kt qu c lng phng trnh (10) H s cn bng trong di hn

Bin H s lch chun Thng k t
NEER 0.779592 0.16964 -4.59553
NEER*DUMMY - 0.029631 0.00675 4.39106
CPI
W
1.429462 1.58140 -0.90392
GDP - 0.161993 0.77280 0.20962
ECT
t-1
- 0.810911 0.19159 -4.23256
R-squared 0.781277
Adjusted R-squared 0.589894
Durbin-Watson 1.843094
Prob (F stat) 0.0003

Kt qu kim nh hin tng phng sai thay i (ARCH) v s tng quan
chui ca m hnh ECM cho thy khng c tc ng ARCH v khng c s tng
quan chui trong m hnh (Bng 4.14). ng thi, kim nh tnh dng KBSS cho
thy phn d ca m hnh hi quy dng chui gi tr gc (KBSS = 0.092842 < gi
tr ti hn = 0.463000) vi mc ngha 5%.
52


Hnh 4.8. Kim nh phn phi chun ca phn d

Ta thy h s ca NEER*DUMMY (ngha l
2
) m c ngha l nh
hng ca vic t gi hi oi c hiu lc danh ngha gim (ng ni t tng gi)
ln gi nhp khu ln hn vic t gi tng, chng t c s truyn dn bt cn xng
trong di hn. Nguyn nhn c th l do s gia tng trong t do ha thng mi,
gim thu v cc hn ch s lng. Khi ng tin ca nh xut khu gim gi, hng
xut khu tr nn r hn ti cc th trng Vit Nam, iu ny c th to ra mt s
khuyn khch cho cc nh xut khu duy tr gi xut khu, hoc trong mt s trng
hp, gim gi ng tin ca h v khuych i tc ng ca vic gim gi ny (
chim c th phn), dn n mt ERPT cao hn (tham kho Pollard v Coughlin
2003, Madhavi 2002). Tuy gi tr ca n khng ln lm (-0.029631), nhng vn c
nh hng quan trng. H s iu chnh sai s c ln l 0.810911, mang du m
v c ngha thng k mc 1% cho thy tc iu chnh v mc cn bng l
81.09% mt qu.
0
2
4
6
8
10
12
-0.06 -0.04 -0.02 0.00 0.02 0.04 0.06
Series: Residuals
Observations 46
Mean -1.13e-17
Median 0.000544
Maximum 0.054122
Minimum -0.065612
Std. Dev. 0.024184
Skewness -0.258454
Kurtosis 3.352045

Residual
lch chun 0.024184
H s bt i xng -0.258454
Prob 0.687404

53

5. KT LUN
Bi nghin cu ny c tnh co gin ERPT vo gi nhp khu cho Vit
Nam, sau khi nc ta la chn mt h thng t gi hi oi linh hot hn k t
sau khng hong tin t 1997-1998. Chng ta xem xt ERPT theo hai loi t gi,
tc l t gi hi oi danh ngha song phng trn mt n v la M (USD), v
t gi hi oi c hiu lc danh ngha (NEER). Bi vit ny cng kim tra cc tc
ng ca ERPT theo thi gian v tc ng c th c ca cc bin kinh t vi m, v
m ln nhng thay i trong ERPT. ng thi cng xem xt l liu c hay khng
s truyn dn bt cn xng ca t gi vo ch s gi nhp khu ca Vit Nam.
Kt qu kim nh cho thy s chuyn dch t t gi hi oi n ch s gi
nhp khu l hon ton trong di hn, y l ph hp vi nhng nghin cu trc
cho rng ERPT c xu hng ln hn trong nn kinh t c thu nhp thp,
tng i nh v mc hi nhp ton cu cao vi t trng nhp khu ln, s thay
th ca hng ha trong nc cn hn ch. Kt qu c lng cng cho thy tc
ng ca chi ph sn xut ca nh xut khu nc ngoi cng c chuyn dch
hon ton vo ch s gi nhp khu trong di hn. Bi vit cng pht hin rng c s
chuyn dch bt cn xng khi c s bin ng tng v gim trong t gi hi oi,
tuy tc ng ny khng ng k nhng vn c ngha quan trng. ng thi, khi
chng ta kt hp cc yu t kinh t vi m v v m vo phng trnh hi quy vi
mc ca ERPT theo thi gian l bin ph thuc, kt qu cho thy rng c s
gim st trong ERPT do s gia tng trong mc hi nhp thng mi v t ph
thuc vo nhp khu hn. Kt qu trn y l ngun thng tin hu ch gip cho cc
nh hoch nh chnh sch tin t trong quyt nh iu hnh t gi v kim sot
lm pht.
Tuy nhin, bi vit c mt s hn ch. Th nht, do s lng quan st t
(khong 50 quan st cho mi bin) nn vng mnh ca kt qu vn cha cao.
Th hai, cha nghin cu ERPT vo ch s gi nhp khu cc sn phm khc
nhau m ch nghin cu mc ch s gi nhp khu tng hp. Th ba, bi vit
ng thi cng cha nh gi ln ca ERPT khi thay i thnh phn sn phm
54

nhp khu, v y l mt yu t quan trng gii thch s khc nhau trong mc
ERPT theo thi gian. Cui cng, cc yu t nh chi ph vn chuyn v hng ro
thu quan cha c xt n do kh khn trong vic tm s liu. Bn cnh l
lng hng nhp lu khng qua con ng chnh thc Vit Nam rt ln nhng
khng c tnh vo ch s gi nhp khu c th nh hng n mc chnh xc ca
s liu v ch s gi nhp khu, v qua lm nh hng n kt qu m hnh.
Vi kt qu ca bi nghin cu, giai on tip theo ca nghin cu v truyn
dn ca t gi hi oi, c bit l trong bi cnh cc nn kinh t chu cn phi
ch nhiu hn n tc ng ca cc ch t gi khc nhau ln mc ca
ERPT.
6. MT S KHUYN NGH TRONG VIC LA CHN CH T GI
VIT NAM
V nguyn l, t gi hi oi thay i s lm thay i mc gi tng i ca
hng ho v dch v tnh bng ni t v ngoi t, nn t gi s c nh hng nht
nh n xut - nhp khu. Tuy nhin, do t gi c tc ng khng ch n xut -
nhp khu m n c tc ng n lm pht v n nh th trng ti chnh. Chnh v
vy, t gi l mt cng c qun l v m rt quan trng ca Chnh ph, v khi s
dng cng c ny trong qun l v m, c hai vn quan trng m cc nh hoch
nh chnh sch u phi xem xt khi quyt nh c ch iu hnh t gi l nh
hng ca t gi n n nh v m v nh hng ca t gi n xut - nhp khu.
T thc t, vic iu hnh t gi nhm thc y xut khu v hn ch nhp
khu l vn mang tnh trung hn. V mt l thuyt, c ch t gi c th tc ng
n xut - nhp khu qua 3 knh. Th nht, chnh sch t gi c th tc ng trc
tip n cc dng thng mi, t dn n p lc phi can thip bng cc chnh
sch thng mi nh tr gi hoc thu quan. Knh th hai l thng qua tc ng
chung ca chnh sch t gi n cn cn thanh ton ni chung. Knh cui cng l
thng qua tc ng gin tip ca chnh sch t gi n tng trng v lm pht
trong nc.
55

Gn y, ngy cng xut hin nhiu nhng n lc nghin cu v c ch t
gi ca Vit Nam. ng k nht trong s l cc nghin cu ca V Tr Thnh v
cng s (2000), Ohno (2003), Nguyn Trn Phc v Nguyn c Th (2009). Cc
nghin cu ny u ch ra rng c ch t gi ca Vit Nam, mt mt cn c duy
tr n nh, nhng mt khc nn linh ng hn na theo tn hiu th trng. V Tr
Thnh v cng s (2000) xut Vit Nam nn theo c ch neo t gi theo r tin
t vi bin iu chnh dn (Band-Basket-Crawling), cn Ohno (2003) xut
Vit Nam nn theo c ch neo t gi c iu chnh (crawling peg). Trn thc t,
trong nhng nm va qua Vit Nam theo ui c ch neo t gi c iu chnh
nh xut ca hai nghin cu trn.
15
Nhng hai nghin cu gn y ca Nguyn
Trn Phc v Nguyn c Th (2009), Nguyn Trn Phc (2009) li ch ra rng c
ch neo t gi c iu chnh ny khng hot ng hiu qu, gy ra cc bt n cho
th trng ti chnh, khng nhng th, n cn ngn cn s pht trin ca th trng
ngoi hi ca Vit Nam.
C ch t gi hin nay khng gip cho Vit Nam kim ch lm pht v cng
nh khng gip hn ch nhp siu, v vy Vit Nam hin ti ang ng gia hai la
chn: quay tr li c ch neo t gi nh cc giai on hu bt n kinh t nh trc
y hay chuyn i mnh sang c ch t gi th ni. Trong thi im hin ti, th
ni hon ton khng phi l mt la chn tt ca Vit Nam v m ca nn kinh
t Vit Nam rt cao trong khi h thng ti chnh li cha hon chnh. Nhng bin
ng qu mc v qu nhanh ca t gi, c bit l vic nhp khu lm pht v cc
bin ng tiu cc ca th trng th gii c th lm gin on cc hot ng kinh
t trong nc, gy thit hi ln cho khu vc thng mi v gin tip cho khu vc
phi thng mi thng qua nhng lin kt gia cc khu vc ny. Nhng bin ng
ny s lm nh hng n s n nh ca cn cn thanh ton, s n nh v ti

15
C ch t gi ca Vit Nam n thng 4/2008 c IMF xp vo nhm Neo c nh. Tuy nhin, nu xt
mt qu trnh th nn c xp vo nhm Neo t gi c iu chnh (t gi c iu chnh vi mt mc
rt nh xoay quanh mt mc ngang gi n nh trc, cc ngang gi ny c iu chnh dn v mi ln
iu chnh vi mt lng nh, thng l c thng bo trc).

56

chnh cng nh tng trng ca nn kinh t. Trong bi cnh th gii gn y c
nhiu bin ng, theo nghin cu ca Nguyn Th Thu Hng v cng s (2010)
khuyn ngh rng nhanh chng dch chuyn sang c ch t gi th ni c qun l l
la chn khn ngoan cho Vit Nam trong thi gian ti. Vit Nam hi t mt
s cc iu kin quan trng nh gi c ca hu ht cc loi hng ha vn hnh
theo c ch th trng, v tuy c m ca nn kinh t ln nhng Vit Nam khng
ph thuc qu nhiu vo mt i tc thng mi no. chnh sch t gi th ni
c qun l thc s pht huy tc dng, lm nng uy tn ca VND, th Vit Nam cn
phi chun b thm mt s iu kin khc nh (i) xy dng mt NHNN hot ng
tng i c lp
16,17
c nhim v chnh l kim sot lm pht theo mc tiu, kim
sot cung tin v p dng mt s bin php thu quan mc hp l nhm gim p
lc gim gi VND, (ii) xy dng th trng ngoi hi hin i sao cho c nhiu sn
phm phi sinh lin quan n ngoi hi c tc dng phng nga v chia s ri ro
cho nn kinh t v hp dn c nhiu tc nhn kinh t tham gia. Xy dng NHNN
c lp v th trng ngoi hi hin i l nhng nhim v tuy c tnh trung hn
nhng khng th khng bt u ngay chuyn sang ch t gi mi hiu qu
hn. Trn th trng ngoi hi, nim tin v tm l rt quan trng cho vic n nh t
gi. V th, NHNN nn cng khai thng k chnh sch iu chnh t gi ca mnh
cho cng chng v nhng nh u t, tng cng hn na tnh minh bch trong
iu hnh t gi. ng thi iu chnh t gi phi i km vi vic kim sot lm
pht, nu khng s sa vo vng xoy iu chnh t gi - lm pht - iu chnh t gi,
khng nhng khng c tc dng m cn c hi cho nn kinh t. Tuy nhin, trong

16
Tnh c lp tng i ca NHNN bao gm:
- c lp v lut php: NHNN cn c a v php l r rng trong mi quan h vi Chnh ph v Quc hi.
- c lp v mc tiu: NHNN c ton quyn quyt nh cc mc tiu chnh sch ca mnh: kim sot lm
pht, kim sot cung tin, hay n nh t gi. Cc mc tiu ny thng c NHNN cng b cng khai v
c theo ui mt cch nht qun.
- c lp v s dng cng c: NHNN c ton quyn la chn cc cng c ph hp t c mc tiu
chnh sch ca mnh.
- c lp v qun l: NHNN c c lp trong vic la chn nhn s v t chc b my hnh chnh ca
mnh m khng chu s chi phi ca Chnh ph.
17
Nhng cng c hin i ca mt NHNN c lp nh lit k trong phn ph lc.
57

qu trnh chun b cc iu kin cn thiu, trong ngn hn, NHNN cng cn c
nhng bin php nhm gim bt nhng hn ch ca c ch iu hnh t gi hin ti.
Bng 6.1. C ch t gi ca Vit Nam, giai on 1999 - 2009
Thi gian C ch p dng c im ch t gi thc t
1999 - 2000 C ch neo t
gi c nh
(conventional
fixed peg
arrangement)
- OER cng b l t gi lin ngn hng trung bnh
ngy lm vic hm trc.
- Bin t gi ti cc ngn hng thng mi
gim xung khng qu 0.1%.
- OER c gi n nh mc 14,000 VND/USD.
2001 - 2007

C ch neo t
gi c iu
chnh (crawling
peg)

- OER c iu chnh dn t mc 14,000
VND/USD nm 2001 ln 16,100 VND/USD nm
2007.
c iu chnh ln mc +/-0,25% (t 01/07/2002
n 31/12/2006) v +/-0,5% nm 2007.
2008 - 2009

Neo t gi vi
bin c
iu chnh
(crawling bands)

- OER c iu chnh dn ln 16.500 VND/USD
(06/2008 n 12/2008), 17.000 VND/USD
(01/2009 n 11/2009), 17.940 VND/USD
(12/2009 n 01/2010), 18.544 VND/USD nm
2010.
c iu chnh nhiu ln ln mc +/-0,75% (t
23/12/2007 n 09/03/2008), +/-1% (10/03/2008
n 25/06/2008), +/-2% (26/05/2008 n
05/11/2008), +/-3% (06/11/2008 n 23/03/2009),
+/-5% (24/03/2009 n 25/11/2009), v +/-3%
(26/11/2009 n nm 2010).

Ghi ch: T gi chnh thc c thng nht (OER)
Hin ti Vit Nam cha hi ht cc iu kin ch t gi th ni c
qun l pht huy c tc dng. Vit Nam c th vn cn iu chnh t gi theo
hng lm ng ni t yu i khuyn khch xut khu v hn ch nhp khu.
Tuy nhin, kim nghim h s co gin cu xut nhp khu Vit Nam (h s co gin
c nhng thay i ng k v tin gn n 1) c th rt ra kt lun vic gim gi
58

ng ni t vi iu kin hin ti ca Vit Nam trong ngn hn, c th s khng ci
thin ng k cn cn thng mi. Nhng nu chnh sch t gi c thc hin vi
s h tr t cc chnh sch v m khc ti c cu nn kinh t v ti c cu li
hot ng xut nhp khu trong di hn th s c th ci thin c cn cn thng
mi. Cc bin php can thip khc nh hng ro thu quan, hng ro k thut, kim
sot cc dng ngoi t, s dng hiu qu qu d tr ngoi hi v.v vn cn tip tc
s dng mc hp l gim bt sc p ph gi ng ni t.
ng thi, trong di hn mc truyn dn t gi n ch s gi nhp khu l
hon ton. V khi xy ra c sc, qu trnh iu chnh v cn bng mt nhiu thi
gian, do nh hoch nh chnh sch nn ch ng t ra mt l trnh ph gi
dn VND vi bin hp l, u n gim cc c sc t ngt ca t gi hi
oi n i sng x hi. Ngoi ra, trnh hiu ng tm l gm gi ngoi t khi
ng ni t mt gi, nh hoch nh chnh sch cn ch ng cng b nh hng
iu chnh t gi hi oi doanh nghip v ngi dn bit hoch nh k
hoch kinh doanh, k hoch chi tiu ca mnh.

1

PH LC
NGUN D LIU (Data Sources)
P
M
: Ch s gi nhp khu, tnh theo qu (Qu 1/2005 = 100), c iu
chnh theo ma bng phng php Census X12. Ngun d liu: Tng cc Thng
k.
PPI: Ch s gi sn xut, tnh theo qu (Qu 1/2005 = 100), c iu chnh
theo ma bng phng php Census X12. Ngun d liu: IMF.
CPI: Ch s gi tiu dng, tnh theo qu (Qu 1/2005 = 100), c iu
chnh theo ma bng phng php Census X12. Ngun d liu: IMF.
GDP: Tng sn phm trong nc vi gi c nh 1994, tnh theo qu (n v
tnh l t VND), c iu chnh theo ma bng phng php Census X12. Ngun:
Datastream, Tng cc thng k.
ER: T gi hi oi danh ngha theo ng la M (USD), n v tnh l
VND/USD. Ngun: IMF.
NEER: T gi hi oi danh ngha c hiu lc a phng gia VND vi
ng tin ca 10 i tc thng mi chnh l Nht Bn, Singapore, Trung Quc,
Hn Quc, M, Thi Lan, c, Hng Kng, c v Malaysia, tnh theo qu (Qu
1/2005 = 100). Ngun: Tng cc Thng k, IMF v t tnh ton.
Import (M), Export (X): Gi tr nhp khu v xut khu ca Vit Nam, tnh
theo qu, n v tnh l triu USD. Ngun: IMF.
Tng dn s: c dng tnh GDP bnh qun u ngi ca Vit Nam v
M. Ngun: IMF.

2

BNG V HNH

Hnh 3.1. Ch s gi nhp khu v NEER ca Vit Nam
Bng 3.3. La chn tr cho kim nh ng lin kt v m hnh ECM
lnP
t
M
=
0
+
1
lnER
t
+
2
lnPPI
U
t
+
3
lnGDP
t
+
t

VAR Lag Order Selection Criteria
Endogenous variables: D(PM) D(ER) D(GDP) D(PPI)

Lag LogL LR FPE AIC SC HQ
0 488.2863 NA 8.43e-15 -21.05593 -20.89691* -20.99636
-20.82108 1 505.7351 31.10447 7.94e-15 -21.11892 -20.32386
2 527.7768 35.45826 6.21e-15 -21.38160 -19.95049 -20.84550
-20.50722 3
4
541.4766 19.65624 7.16e-15 -21.28159 -19.21443
580.5119 49.21843* 2.86e-15* -22.28313* -19.57992 -21.27049*
Endogenous variables: D(PM) D(ER) D(GDP) D(PPI)

0 464.2483 NA 9.65e-15 -20.92038 -20.75818* -20.86023
-20.66560 1 481.2599 30.15681 9.25e-15 -20.96636 -20.15536
2 503.9766 36.14019 6.95e-15 -21.27166 -19.81187 -20.73030
-20.35549
3
4
5
6
517.0241 18.38513 8.35e-15 -21.13746 -19.02887
553.7765 45.10528* 3.58e-15* -22.08075 -19.32337 -21.05818*
566.7191 13.53087 4.87e-15 -21.94178 -18.53560 -20.67860
587.7026 18.12215 5.12e-15 -22.16830* -18.11333 -20.66452

60
80
100
120
140
160
180
200
60
80
100
120
140
160
180
200
00 01 02 03 04 05 06 07 08 09 10 11 12
Import price NEER
3

lnP
t
M
=
0
+
1
lnER
t
+
2
ln CPI
U
t
+
3
lnGDP
t
+
t

Endogenous variables: D(PM) D(ER) D(GDP) D(CPIUS)

0 552.1633 NA 5.24e-16 -23.83319 -23.67418* -23.77362
-23.59686 1 569.5779 31.04331 4.95e-16 -23.89469 -23.09963
2 591.2435 34.85337 3.93e-16 -24.14102 -22.70991 -23.60492
-23.19483 3
4
603.2916 17.28651 4.87e-16 -23.96920 -21.90204
644.8824 52.44048* 1.74e-16* -25.08184* -22.37863 -24.06920*
Endogenous variables: D(PM) D(ER) D(GDP) D(CPIUS)

0 525.0147 NA 6.09e-16 -23.68249 -23.52029* -23.62233
-23.43630 1 542.2153 30.49199 5.79e-16 -23.73706 -22.92606
2 568.0182 41.05009 3.78e-16 -24.18265 -22.72285 -23.64128
-23.17394
3
4
5
6
579.0300 15.51657 4.99e-16 -23.95591 -21.84732
618.1661 48.03072* 1.92e-16* -25.00755* -22.25017 -23.98498*
631.9133 14.37204 2.51e-16 -24.90515 -21.49897 -23.64197
640.9214 7.779716 4.55e-16 -24.58734 -20.53236 -23.08355

lnP
t
M
=
0
+
1
lnNEER
t
+
2
lnCPI
W
t
+
3
lnGDP
t
+
t

Endogenous variables: D(PM) D(NEER) D(GDP) D(CPI)

0 548.2469 NA 6.22e-16 -23.66291 -23.50390* -23.60334*
-23.34470 1 563.7782 27.68625 6.36e-16 -23.64253 -22.84747
2 582.5428 30.18651 5.74e-16 -23.76273 -22.33162 -23.22663
-22.49839 3
4
587.2734 6.787406 9.78e-16 -23.27276 -21.20560
626.0478 48.88944* 3.95e-16* -24.26295* -21.55974 -23.25031
Endogenous variables: D(PM) D(NEER) D(GDP) D(CPI)

0 523.4612 NA 6.54e-16 -23.61187 -23.44967* -23.55172*
-23.29944 1 539.2044 27.90839 6.64e-16 -23.60020 -22.78920
2 558.3667 30.48552 5.87e-16 -23.74394 -22.28415 -23.20258
-22.52979
3
4
5
6
564.8587 9.147841 9.49e-16 -23.31176 -21.20317
604.1162 48.17965 3.63e-16 -24.36892 -21.61154 -23.34635
629.4499 26.48526* 2.81e-16* -24.79318* -21.38700 -23.53000
645.2710 13.66361 3.74e-16 -24.78504 -20.73007 -23.28126
4

(m hnh ECM trong ngn hn)
(1)
(2)
(3)

Hnh 4.4. Kim nh s n nh ca m hnh ECM

(1) (2) (3)

Ghi ch: (1) Phng trnh (6) khi s dng ch s PPI ca M.
(2) Phng trnh (6) khi s dng ch s CPI ca M.
(3) Phng trnh (7).

-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5
Inverse Roots of AR Characteristic Polynomial
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5
5

Hnh 4.5 Kim nh phn phi chun ca phn d trong m hnh ECM

(1)

(2)

(3)

0
1
2
3
4
5
6
7
8
9
-0.08 -0.06 -0.04 -0.02 0.00 0.02 0.04 0.06
Series: Residuals
Observations 46
Mean -2.06e-15
Median 8.25e-05
Maximum 0.052646
Minimum -0.070574
Std. Dev. 0.027031
Skewness -0.168882
Kurtosis 3.017580
0
2
4
6
8
10
-0.06 -0.04 -0.02 0.00 0.02 0.04 0.06 0.08
Series: Residuals
Observations 46
Mean -2.00e-15
Median -0.005117
Maximum 0.079949
Minimum -0.067193
Std. Dev. 0.030998
Skewness 0.456956
Kurtosis 3.102414
0
1
2
3
4
5
6
7
8
9
-0.06 -0.04 -0.02 0.00 0.02 0.04 0.06 0.08
Series: Residuals
Observations 46
Mean 5.00e-16
Median 0.001259
Maximum 0.078479
Minimum -0.061565
Std. Dev. 0.027831
Skewness 0.108794
Kurtosis 3.207942
6

Bng 6.2. Nhng cng c hin i ca mt NHNN c lp
Cng c thc thi chnh sch tin t:
Li sut nh hng lin ngn hng, c hiu l li sut m cc NHTM cho vay
ln nhau trn th trng lin ngn hng cho cc khon vay qua m. NHNN iu
chnh li sut ny thng qua cc hot ng th trng m di hnh thc mua bn
trc tip tri phiu chnh ph v/hoc tham gia vo cc hp ng mua bn li
(repos) tri phiu chnh ph vi cc NHTM.
Li sut NHNN tr cho cc khon d tr (reserves) ca cc NHTM gi trong ti
khon ti NHNN. C th phn bit li sut cho d tr bt buc (required reserve) v
li sut cho d tr tng thm (excess reserves).
Li sut ti chit khu (discount rate) l li sut m NHNN cho cc NHTM vay v
cc t chc ti chnh trong din c vay t NHNN.
nh mc t l d tr bt buc, ngha l t l d tr bt buc trn tng s tin gi
ca mi NHTM.
Tri phiu NHNN, ngha l cc loi tri phiu do NHNN pht hnh cho mc ch
iu hnh thanh khon.
Cc khon cho vay t xut cho cc t chc thng mi v phi thng mi trong
iu kin th trng ti chnh b khng hong.
Cng c thc thi chnh sch ngoi hi:
Mua bn trc tip trn th trng ngoi hi trong nc v quc t: spot v
forward.
S dng repos cung cp thanh khon ngoi t cho th trng trong nc.
Tham gia cc hp ng swap ngoi t vi cc t chc ti chnh trong nc.
Mua bn tri phiu Chnh ph Vit Nam nh gi bng ngoi t trong nc v
quc t.
Cho vay ngoi hi cho cc t chc tn dng trong nc.
7

Hon i ngoi t v SDR trong khun kh IMF, m phn vay ngoi t trc tip
t IMF v cc t chc ti chnh quc t khc.
m phn v thc thi cc hot ng phi hp quc t nhm n nh t gi v h
thng ti chnh (swap lines, vay v cho vay gia cc NHNN).
Cng c thc thi chnh sch qun l d tr ngoi hi:
Mua bn trc tip trn th trng ngoi hi trong nc v quc t: spot v
forward.
Mua bn cc loi ti sn ti chnh nh gi bng ngoi t (theo danh mc cho
php) trong nc v quc t.
Mua bn vng (spot v forward) trong nc v quc t.
Mua bn cc sn phm phi sinh qun l ri ro, tuy nhin khng c php mua
v mc ch u c.

TI LIU THAM KHO

Ti liu Ting Vit

Bch Th Phng Tho (2011), Truyn dn t gi hi oi vo cc ch s gi ti
Vit Nam giai on 2001 2011, Lun vn thc s kinh t, Trng i Hc Kinh
t TP.HCM.
GS.TS. Trn Ngc Th & cng s (2012), Nghin cu s tho v ph gi tin t v
mt s khuyn ngh chnh sch cho Vit Nam, ti nghin cu khoa hc s CS-
2011-14, Trng i Hc Kinh T TP.HCM.
Nguyn Th Thu Hng, inh Tun Minh, T Trung Thnh, L Hng Giang, Phm
Vn H (2010), La chn chnh sch t gi trong bi cnh phc hi kinh t.
[Online] Available at http://vepr.org.vn/upload/Colombo/533/20120831/173.pdf.
PGS.TS. Nguyn Th Ngc Trang & ThS. Lc Vn Cng (2012), S chuyn dch
t gi hi oi vo cc mc gi ti Vit Nam, Trng i hc Kinh t TP.HCM,
Bo Pht Trin & Hi Nhp, S 7 (17) - Thng 11- 2/2012.

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