Nhm 01-Lp Ngn hng m 01-K23

LI M U
Cung tin c nh hng n sn lng thc? cng l vn c cc nh kinh t
hc quan tm. C trng phi ng c v cng c trng phi khng ng v vn
ny. Thc t, sau ch bn v vng kt thc v c thay th bng rt nhiu hnh
thc t gi hoi oi khc nhau, trong c neo t gi c nh, c nhng minh
chng g cho vn cung tin c nh hng n sn lng v khi s dng ch t gi
neo c nh, quc gia la chn liu c b nh hng khng?
Nu neo gi ng USD vo vng, M buc phi tng li sut khi vng tr nn khan
him, bt chp tnh trng ca nn kinh t. S thiu linh hot trong chnh sch l nguyn
nhn chnh gy ra cuc i suy thoi, khi chnh ph cc nc buc phi tht cht tin t
trong hon cnh nn kinh t ti t nht.
Khng c g ngc nhin khi cng sm bi b bn v vng, nn kinh t mt quc gia
cng sm phc hi. Khng ai mun quay tr li thi k en ti khi bn v vng ngn
cc ngn hng trung ng in thm tin kch thch kinh t. Bn v vng cng ngn
chn thm ht ngn sch khi cc chnh ph ri vo giai on cn phi thm ht ngn
sch.
Cung tin c nh hng n sn lng thc? cng l vn c cc nh kinh t
hc quan tm. C trng phi ng c v cng c trng phi khng ng v vn
ny. Thc t, sau khi ch bn v vng kt thc v c thay th bng rt nhiu
hnh thc t gi hoi oi khc nhau, trong c neo t gi c nh. c nhng minh
chng g cho vn cung tin c nh hng n sn lng v khi s dng ch t gi
neo c nh, quc gia la chn liu c b nh hng khng?
Trong khun kh ca bi tiu lun ny, chng ti s phn tch bi bo Ti sao chnh
sch tin t ca M khng nh hng n sn lng ca M m li nh hng n
sn lng ca Hng Kng ca Gabriel Rodrguez v Nicholas Rowe (2007). Qua
vic tm tt tng, xem xt m hnh v phn tch kt qu ca bi bo ny, chng ta s
thy c mt kha cnh mi ca ch t gi hi oi c nh m tc gi kim
chng. V t , chng ti cng a ra nhng vn mi v vic cc quc gia t b
ch bn v vng c mt s phc hi nhanh chng hn sau khng hong c phi l
iu ng n hay khng?

Nhm 01-Lp Ngn hng m 01-K23

MC LC
TM TT ........................................................................................................................ 4
1. GII THIU ............................................................................................................ 5
2. TNG QUAN CC KT QU NGHIN CU TRC Y ......................... 6
3. PHNG PHP NGHIN CU ........................................................................... 8
3.1 tng cho m hnh nghin cu ............................................................................... 8
3.2 L do chn Hng Kng lm quc gia nghin cu ...................................................... 9
3.3 M t d liu: ............................................................................................................ 10
3.4 M hnh nghin cu: ................................................................................................. 11
3.5 Phng php nghin cu: ......................................................................................... 11
4. NI DUNG V CC KT QU NGHIN CU .............................................. 12
4.1 M t bc 1 ............................................................................................................. 12
4.2 M t bc 2 ............................................................................................................. 13
4.3 M t bc 3 ............................................................................................................. 17
5. KT LUN ............................................................................................................. 25

Nhm 01-Lp Ngn hng m 01-K23

CC T VIT TT S DNG
CSTT
EU
Fed
HK
LNH
NHTW
TGH
US
USD

Chnh sch tin t

Cc nc trong khi Chu u
Cc d tr lin bang M
Nc Hng Kng
Lin ngn hng
Ngn hng trung ng
T gi hi oi
Nc M
la M

Nhm 01-Lp Ngn hng m 01-K23

TM TT
Cc kim nh tiu chun v nh hng ca tin n sn lng s v ngha nu chnh
sch tin t c s dng hon ton lm gim bin ng trong sn lng. Nu nh
ni rng chnh sch tin t M c dng n nh sn lng M, th kt qu nghin
cu ca tc gi s cho thy rng tin M s khng tc ng nhn qu Granger n sn
lng M. Tht vy, nh Rowe v Yetman cho thy (2002. Xc nh cc mc tiu
ca nh hoch nh chnh sch: mt nghin cu i vi ngn hng Canada. Tp ch
Kinh t Canadian 35 (2), 239-256), nu c tr 6 qu trong nh hng ca tin n
sn lng, th sn lng US s khng th d on c t bt k tp hp thng tin c
sn i vi tr 6 qu ca Fed. Tuy nhin, tc ng ny i vi cc nc khc li c
din bin khng ging nh din bin ca M. C th l Hng Kng, mt quc gia c
ng tin c c nh theo ng -la M. Nh vy, chnh sch tin t ca Hng
Kng c xem nh ph thuc vo M, hay ni cch khc chnh sch tin t Hng
Kng s c thit lp Washington D.C. V mt iu tt yu rng nhng chnh sch
c a ra ti M l khng h c ch s tc ng n sn lng Hng Kng. Tuy
nhin, kim nh nhn qu bng thc nghim ca tin -la M i vi sn lng Hng
Kng cho thy bng chng v mi quan h nhn qu. Tc gi s kim tra vic ny
bng thc nghim. V vic phn tch thc nghim ny ca tc gi cng s cung cp mt
s o lng mc hi sinh n nh kinh t v m bng vic p dng t gi hi oi c
nh thay v bng chnh sch tin t c lp.

Nhm 01-Lp Ngn hng m 01-K23

1. GII THIU
Cu hi c t ra l: c hay khng tc ng ca tin n sn lng thc?. Trng
hp nu Fed gim cung tin 20% mt cch t ngt, bt thng v khng cnh bo th
s gy nh hng nh th no n nn kinh t? c hai trng phi kinh t v m th
hin quan im vi vn ny:
-

Mt l, cc nh kinh t v m sau Keynes, h lp lun rng cung tin khng nh

hng n tng cu, v do khng tc ng n sn lng.

Hai l, mt s nh kinh t v m c in vi quan im cho rng cung tin c th

tc ng n tng cu, nhng gi v lng hon ton linh hot; v kt qu l
ng tng cung dch chuyn theo chiu dc, c ngha l ch mc gi gim cn
sn lng thc th khng.

Ngc li vi quan im trn, gn nh tt c cc nh kinh t v m ng rng gim

cung tin s lm tng cu gim, v tng cu gim s lm sn lng gim, t nht l
trong ngn hn. Tuy nhin bng chng h tr cho quan im ny l yu v khng
thuyt phc. Nguyn nhn c bn l loi thc nghim c m phng theo m hnh nh
vy rt kh xy ra. Fed r rng s khng sn sng thc hin loi thc nghim khi
tin rng vic gim bt thng 20% cung tin s dn n mt hu qu nghim trng
trong sn lng thc. Fed s khng gim 20% cung tin mt cch bt thng ch n
thun quan st mt cuc suy thoi xy ra ln nh th no. Do , loi thc nghim
m c th kim nh mt cch ng n liu tin c tc ng n sn lng th khng
bao gi c thc hin trong thc t. Khi Fed p dng mc tiu gim bin ng sn
lng quc gia l mc tiu quan trng nht th, mt kim nh OLS c th pht hin
mt s tc ng ca cung tin n sn lng ca US ng ngha vi vic y l mt
chnh sch v trch nhim v US khng t c mc tiu nu trn. kim chng cho
nhng g Fed lm l c v trch nhim hay khng, tc gi tin hnh nghin cu. Lc
ny, tc gi t ra hai cu hi nghin cu:
Cu hi 1: Liu chnh sch tin t ca US khi phn ng vi cc trng thi ca nn kinh
t th c tc ng nhn qu vi sn lng ca US khng?

Nhm 01-Lp Ngn hng m 01-K23

Cu hi 2:Khi chnh sch tin t ca US khi phn ng vi cc trng thi ca nn kinh

t m khng quan tm n HK, th Chnh sch tin t ca US c nh hng nhn qu
ln sn lng ca HK khi quc gia ny neo t gi c nh theo ng USD hay khng?
2. TNG QUAN CC KT QU NGHIN CU TRC Y
V mi quan h nhn qu kinh t ca tin ln sn lng, tng c rt nhiu tc gi
thc hin cc ti nghin cu nhm a ra quan im bc b quan h ny.
Buiter (1984) vi bi vit Granger-Tnh nhn qu v s hiu qu ca cc chnh sch
chng minh rng vi mt chnh sch ti u ha sn xut, s dng tin tc ng
n sn lng, cc d liu khng cho thy mi quan h nhn qu Granger ca tc
ng t tin ln sn lng.
Cover (1988) trong nghin cu M hnh kinh t v m Keynes v ti sn kinh t c
in mi xy dng m hnh v m Keynes, cho thy rng nu chnh sch tin t
c thc hin mt cch ti u, th tin cng s khng to ra sn lng theo tnh nhn
qu Granger.
Hayo, B., (1999) thc hin mt nghin cu thc tin t cc nc EU v mt s nc
khc vi bi vit S xem xt li tnh nhn qu Granger gia cung tin v sn lng.
Kt qu cho thy c s xut hin ca mi quan h nhn qu ny ti mt s nc. Tuy
nhin s cc kt qu v vic bc b mi quan h ny l nhiu hn, trong phi k n
nh M, Canada, c,
Tc gi Rowe v Yetman (2002) trong bi vit Xc nh cc mc tiu ca nh hoch
nh chnh sch: mt nghin cu i vi ngn hng Canada cho thy tc ng ca cc
mc tiu t cc chnh sch ti Canada. Nu Ngn hng Canada ang s dng li sut
nh l cng c thc hin t l lm pht mc tiu mc 2% v c mt tr 8 qu
trong nh hng ca li sut i vi lm pht, sau lch ca lm pht so vi mc
mc tiu 2% trm l khng d bo c v khng tng quan vi bt k thng tin no
c cng b t Ngn hng Canada vi tr l 8 qu. iu ny c ngha rng cc xt
nghim quan h nhn qu thc nghim ca chnh sch tin t i vi lm pht c th l
rt sai lm.
Maral Kichian (2012) vi nghin cu Nhng iu kin ti chnh v mi quan h cung
tin-sn lng ti Canada, nghin cu nh hng ca tin ln tng trng sn lng
6

Nhm 01-Lp Ngn hng m 01-K23

Canada v xem xt vai tr ca cc iu kin ti chnh hin hnh n mi quan h. Tc

gi cho rng vic nghin cu ny c th gii thch s thiu ng nht trong cc bi
nghin cu trc kia khi nghin cu v mt quan h cung tin-sn lng. Ngoi ra,
Maral cng cho thy iu kin tn dng cng ng mt vai tr trong mi quan h .
c bit, c mt tc ng tiu cc ngn hn ca tin ln tng trng sn lng khi c
s thiu ht tn dng. Cui cng, trong di hn, cung tin khng nh hng n s tng
trng ca sn lng.
Cc nghin cu khc v mi quan h gia tin v sn lng, c bit s dng m hnh
VAR trong bi vit c cc tc gi nh: McCallum (1979), Bernanke (1986), Blanchard
v Quah (1989), King v Watson (1992), v Thoma (1994), mt ln na, a ra cc kt
lun tng th l khng tm thy bng chng v mi quan h nhn qu gia tin v sn
lng. Trong , c nhiu nghin cu tp trung v mi quan h ny gia sn lng v
tin trong ngn hn, mt s khc tp trung vo mi qua h di hn gia tin, thu nhp,
gi v li sut, cho d Swason (1998) th hin nhng nghi ng v tnh hiu lc ca
phng php kim tra c s dng trong trng hp ny.
Swason (1998) trong bi nghin cu v mi quan h gia cung tin v sn lng cho
thy, vi d liu l hng qu, c cung tin M1 v M2 u c nhng tc ng n sn
lng nu mu d liu l ln th hin c dim chnh cc mi quan h ng lin
kt gia cc bin li sut.

Nhm 01-Lp Ngn hng m 01-K23

3. PHNG PHP NGHIN CU

3.1 tng cho m hnh nghin cu
Gi nh c mt s phng trnh cu trc c bn, m Fed tin, lin kt mc sn lng
thc

vi mc cung tin

, v mt s bin khc, vi mt tr j trong nh hng

ca tin n sn lng:
= F(

,)

(1)

Fed mun sn lng thc l tng duy tr tng trng vi mt tc khng i g. Do

,
=

(2)

Gi nh Fed c mt hm h bc 2 v cu trc ca nn kinh t l tuyn tnh, Fed s thit

lp cung tin ti tng giai on k vng sn lng thc thi im t+j bng vi mc
l tng, trong iu kin cc thng tin l c sn ti thi im t ( ):
E(

| ) = E[F(

,)| ] =

(3)

Bi v bt k bin no cng c th tch thnh k vng v sai s d bo, ti sai s d

bo phi khng tng quan vi bt k thng tin no ti thi im t, chng ta c:
= E(

| )+

(4)

(5)

Thay th phng trnh (2) v (3) vo (4) c:

=
Phng trnh (5) ni rng:
- Sn lng s bng xu hng thi gian cng sai s ngu nhin m hon ton khng
tng quan vi bt k thng tin no l c sn ti thi im t. C kh nng, cung tin l
mt phn ca tp hp thng tin y.
- C ngha l, nu Fed ang s dng CSTT n nh sn lng thc, sn lng nht
thit phi khng tng quan vi cung tin trong qu kh; xem Rowe v Yetman (2002).
Thm ch d gi nh cung tin tc ng n sn lng, vi mt tr j, bt k kim
nh nhn qu no cng khng tm c bng chng c quan h nhn qu.
8

Nhm 01-Lp Ngn hng m 01-K23

hiu c tt hn v kt qu ny, cc tc gi xem xt trong hon cnh no m Fed

s gim 20% cung tin. C 2 kh nng xy ra:
- Fed s ch gim khi bit c mt s thng tin (v mt trong cc bin khc ca hm
s F, v d nh gim mnh thu) lm Fed k vng l nu duy tr mt mc cung tin lin
tc th sn lng s tng mnh.
- Nu Fed d on ng, cung tin s gim 20% nhng sn lng tip tc tng trng
bnh thng. Bin ng duy nht trong sn lng s l kt qu ca cc sai s d bo
ca Fed, v do phi khng tng quan vi bt k iu g Fed bit trong thi gian
CSTT c th tc ng n sn lng.
3.2 L do chn Hng Kng lm quc gia nghin cu
kim nh liu cung tin c tc ng n sn lng, tc gi phi tm ra d liu m
ti C qun qun l tin t thay i cung tin v khng quan tm n nh hng ca
n n sn lng. HK cung cp nhng loi d liu nh vy. Trong nhiu nm, HK
duy tr TGH gn c nh vi ng USD. V HK c mi quan h l quc gia nh hn
so vi US v v Fed khng cam kt trch nhim gip HK duy tr TGH c nh, nn
CSTT HK xem nh c thit lp tp Washington DC, ng chnh sch tin t ca US
s tc ng v chi phi nh l chnh sch tin t ca HK. Nu c sc i vi nn kinh t
US v HK l tng quan khng hon ton, v nu Fed thc hin CSTT n nh sn
lng US, m khng quan tm n sn lng HK, iu ny c ngha l phn no CSTT,
t nht, l bin ngoi sinh i vi sn lng HK.
Gi nh:
- Fed bit c c sc tch cc (k vng lm gia tng sn lng) vo nn kinh t
US. Fed s gim cung tin ngc chiu gi gim bt c sc, trnh a nn
kinh t ri vo tng trng nng. Nu d on l ng, sn lng US tip tc tng
trng bnh thng. Nhng nu khng c c sc tng t vo nn kinh t HK,
HK s chu ton b tc ng ca vic gim cung tin US, m khng c gim
bt c sc, v s b suy thoi.

Nhm 01-Lp Ngn hng m 01-K23

- Tng t, nu Fed d on mt c sc tiu cc vo nn kinh t US th s tng

cung tin. Khng c thay i trong sn lng US c thy sau , nhng HK s
c hng 1 s thay i ln trong sn lng1.
Trong thc tin, tnh hung c quan st HK ging vi tnh hung c quan st
trong thi k i Suy thoi, lc nhiu nc ang vn hnh theo ch bn v vng.
Thc t, mt s l thuyt v i Suy thoi trnh by bng chng c lin quan n vai
tr ca yu t tin t trong thi gian ny, xem Bernanke (1995). Theo ng, cc c sc
c truyn dn ton cu ch yu thng qua vic vn hnh theo bn v vng; xem
thm Choudhri v Kochin (1980), Eichengreen (1984), Hamilton (1988) v mt s
nghin cu khc.
Thc t, nghin cu mi v bn v vng cho php cc nh kinh t khng nh vi tin
cy cao l cc yu t v tin t ng mt vai tr nguyn nhn quan trng, c trong vic
gim gi, gim sn lng th gii v s phc hi sau cng. Bng chng cho thy cc
nc t b bn v vng phc hi sau khng hong nhanh hn cc nc vn duy tr bn
v vng. Khng c nc no cng b s phc hi ng k khi duy tr bn v vng. S
ph thuc mnh m ca tc phc hi vo vic la chn ch TGH l bng chng
b sung v mnh m v tm quan trng ca cc yu t v tin t.
3.3 M t d liu:
D liu c ly theo qu v khong t 1986:1 n 1999:4 v gm c vector zt cp
nx1, bao gm ba chui thi gian c s dng phn tch:

zt = (y1t , y2t , y3t )

Trong :

l log ca sn lng HK (

l log ca sn lng US (

Cu chuyn trn c gi nh c sc i vi nn kinh t US l mt c sc IS. Mt c sc IS tch cc n nn

kinh t, US tng chi tiu chnh ph v lm dch chuyn ng cung, US ngh l Fed s gim cung tin v tng li
sut gi tng cu US khng i. Nhng li sut US cao hn th li sut HK cng vy, s c t nht mt vi s
lun chuyn vn gia 2 quc gia cho vic tm kim li nhun. V li sut HK cao hn s lm gim tng cu HK
(tr khi HK cng c c sc IS tch cc tng t). Nu c sc n nn kinh t US l mt c sc LM, nh gim cu
tin US, Fed s gim cung tin tng ng, lm li sut khng i, v s khng c tc ng no trong c 2 quc
gia.
1

10

Nhm 01-Lp Ngn hng m 01-K23

l log ca cung tin US (

hng ca Fed (
)

), hoc l log ca mc li sut lin ngn

3.4 M hnh nghin cu:

y l m hnh c ngh bi Johansen (1988, 1991, 1995) v c s dng rng
ri trong cc nghin cu. Ta c m hnh VAR nh sau:
(6)

Trong :

c gi nh l mt chui theo phn phi phn phi Gauss l

~ N(0,

gm c nhng thnh phn c th xc nh ca qu trnh, v d nh mt hng

s, bin xu hng thi gian, bin gi thi v v bin gi can thip

Tuy nhin, do VAR gp vn vi cc chui thi gian c hin tng ng lin kt nn

tc gi s dng VAR hiu chnh, c tn l m hnh sai s hiu chnh (VECM), c dng:
(7)

Trong :

. Ch rng ma trn

3.5 Phng php nghin cu:

Gm c 3 bc:
Bc 1: tc gi kim tra tnh dng ca tng chui thi gian, s dng kim nh
nghim n v theo ADF (Dickey v Fuller, 1979; Said v Dickey, 1984).
Bc 2: tc gi kim nh s tn ti ca quan h ng lin kt bng phng
php Johansen (Johansen, 1988).
Bc 3: tc gi c lng m hnh vector hiu chnh sai s (VECM) v kim
nh nhn qu Granger t cc khuyn ngh ca Phillips v Toda (1994). Thc t,
11

Nhm 01-Lp Ngn hng m 01-K23

cch thch hp kim nh nhn qu ph thuc vo liu c tn ti quan h ng

lin kt hay khng. Khi c quan h ng lin kt, tc gi c th kim nh nhn
qu ngn hn bng kim nh F cho ngha ca sai phn bc 1 ca cc bin c
lin quan (trong trng hp ny,

hoc

vi k = 1, 2, ..., k*). Ngoi

ra, tc gi c th kim nh nhn qu di hn bng kim nh F cho ngha ca

bin hiu chnh sai s. Mt s tham kho l Hayo (1999), Khalid v Guan
(1999), v Wernerheim (2000).
4. NI DUNG V CC KT QU NGHIN CU
4.1 M t bc 1
tin hnh m hnh hi quy, chui d liu phi m bo tnh dng. o , bc 1 s
trnh by cch thc tc gi kim tra v x l d th hin tnh dng ny.
Khi dng kim nh ADF, tr c chn tun t theo phng php ca Campbell v
Perron (1991), gm c gi nh ban u l tr ti a (kmax) trong vic nh gi t hi
quy ADF v kim nh ngha thng k (ti 90%) ca tr cui. Nu khng c
ngha thng k no, lp li quy trnh nh gi vi tr kmax 1. Phng php c lp
li cho n khi tm thy tr c ngha thng k. Nu khng tm thy tr no c
ngha th chn k = 0.
bi bo c ngn gn v tp trung cho nhng bc sau, tc gi khng trnh by
chi tit vic thc hin ca bc kim nh nghim n v theo ADF. Tc gi ch a ra
kt qu ca kim nh ADF l cc chui d liu thi gian l khng dng. Ni cch khc
l chui d liu ch dng ti sai phn bc 1, I(1). iu ny cho php tc gi nghi ng c
s ng lin kt ti y. Do vy, tc gi khng th s dng m hnh hi quy OLS
thc hin v chui d liu khng dng, m hnh VAR cng khng ph hp v c hin
tng ng lin kt. Cui cng, m hnh hiu chnh sai s (VECM) c s dng
kim chng cc nghi ng ca tc gi.
M hnh VECM c dng:

12

Nhm 01-Lp Ngn hng m 01-K23

Trong :

. Ch rng ma trn

Hin tng ng lin kt xy ra khi ma trn

suy bin, lc ny nh thc ca ma trn

bng 0, r<n (hng ma trn nh hn s bin).

4.2 M t bc 2
Thc hin vic kim nh s ng lin kt c th c di hn gia 3 loi chui thi
gian: Sn lng HK, Sn lng US, chnh sch tin t (gm cung tin US hoc li
sut LNH US)
kim tra s lng ng lin kt, tc gi i kim nh hng ma trn

ging vi

nghin cu ca Johansen (1998, 1995), pht trin phng php kim nh kh nng
ng lin kt ti a bng k thut hi quy suy bin da trn cc tng quan chnh tc.
Quy trnh c c mt vector n x 1ca cc phn d
quy ca

trn mt hng s v tr

t cc hi quy ph (hi

, ,

). Nhng phn d

ny c s dng c ma trn phn d (n x n):

(8)
Vi i, j = 0, 1. Bc k tip gii quyt vn eigenvalue di y:
|

(9)
, v cc eigenvector tng ng t

cho cc eigenvalue

nhng vector ng lin kt. Mt php kim tra hng ma trn

vic kim tra xem c bao nhiu eigenvalue

, cng l

c th thc hin bng

bng 1. Kim tra Trace c s dng

cho bit s lng quan h ng lin kt c trong ma trn

, l mt kim nh da trn

t s kh nng, c xc nh theo cng thc sau:

Trace =

) (10)

Trong kim tra Trace:

13

Nhm 01-Lp Ngn hng m 01-K23

- H0 l r = 0 (khng ng lin kt)

- H1 l r > 0 (c ng lin kt)
chc chn hn, mt kim nh hu ch khc c tc gi s dng l kim tra ngha
thng k ca bn thn cc eigenvalue:
(11)
Cc kim nh

vi gi thuyt:

- H0 l r =
- H1 l r =

+ 1, vi

= 0, 1,, n 1.

Gi tr tiu chun cho cc kim nh ny c sp thnh bng bi Osterwald-Lenum

(1992). Tuy nhin, gii hn vic phn phi ph thuc vo cc thnh phn xc nh c
xem xt phng trnh (6) v cng ph thuc vo cc thnh phn xc nh trong cc
quan h ng lin kt. Do tnh cht ca chui, tc gi lun xem xt h s chn khi c
lng phng trnh (6) (iu ny tng ng vi vic tc gi gi nh c xu hng
tuyn tnh trong chui thi gian). i vi cc quan h ng lin kt, tc gi xem xt 2
trng hp.
Trng hp 1: ch bao gm h s chn trong mi quan h di hn.
Trng hp 2: bao gm c h s chn v bin xu hng thi gian trong phng
trnh di hn.
Trong cc bng, tc gi gi trng hp trc l Bn thng k 1 v trng hp sau l
Bn thng k 2.
Mt vn quan trng khc trong kim nh Johansen l tr ti u. Nu l VAR th
m hnh VAR s t ng la chn tr ti u da trn cc tiu chun: tiu chun
thng tin Akaike (AIC), tiu chun thng tin Schwarz (SC) v tiu chun thng tin
Hannan-Quinn (HQ). C nhiu ngh trong l thuyt. C mt ngh s dng tiu
chun thng tin nh AIC hoc SIC. Vi mc tiu l xc nh quan h nhn qu, bi vit
c bit quan tm n mt s thng k tr di hn. Do , phng php SIC khng
c xem xt, bi v chng ta bit rng tiu chun ny s dng mt m hnh hn ch
hn. S dng AIC, tc gi chn k = 8 cho m hnh VAR, v vy, k = 7 trong m hnh
VECM s l tr ti u cho m hnh.
14

Nhm 01-Lp Ngn hng m 01-K23

Kt qu cho kim nh ng lin kt

nh sau:

Bng 1a
Kim nh ng lin kt
Nhm bin

H0

HA

Bn thng k 1

Bn thng k 2

H s chn

H s chn v bin xu
hng

r=0

r=1

38.58a

38.58a

r=1

r=2

14.58b

19.79b

r=2

r=3

7.00a

11.03

r=0

r=1

29.46a

32.74a

r=1

r=2

13.53

28.47a

r=2

r=3

1.02

8.95

a, b l mc ngha thng k ln lt ti 99.0% v 95.0%.

Cch c bng kt qu: Xt tnh ng lin kt gia

, hng 1 nu chp

nhn H0 tc l khng c ng lin kt, ngc li l chp nhn H1 s c 1 mi quan h

ng lin kt. Tng t cho cc dng sau. Cc k hiu a, b l mc ngha thng k ln
lt ti 99.0% v 95.0%.
Nh vy c Bng 1a, ta c th thy:
15

Nhm 01-Lp Ngn hng m 01-K23

- S dng li sut LNH l cng c tin t cho thy 1 mi quan h ng lin kt trong
Bn thng k 1, v 2 mi quan h ng lin kt trong Bn thng k 2.
- S dng cung tin US l cng c tin t cho thy 2 mi lin kt trong Bn thng k
2, v 3 mi lin kt trong Bn thng k 1.

Tng t, cho kim nh Trace, ta c bng kt qu sau:

Bng 1b
Kim nh ng lin kt Trace
Nhm bin

H0

HA

Bn thng k 1

Bn thng k 2

H s chn

H s chn v bin xu
hng

r=0

r>0

59.87a

69.40a

r1

r>1

21.29a

30.82b

r2

r>2

6.71a

11.03

r=0

r>0

44.27a

70.18a

r1

r>1

14.81

37.47a

r2

r>2

1.02

8.95

a, b l mc ngha thng k ln lt ti 99.0% v 95.0%.

c Bng 1b ta thy kt qu ca kim nh Trace cng ging kt qu ca kim nh
ng lin kt max.
Trong kt qu ca cc kim nh trn, ta lu trng hp c 3 ng lin kt khi s
dng cung tin US lm cng c tin t Bn thng k 1. V r = 3 cho thy l tt c cc
bin u dng. Kt qu ny c th l do kch thc mu nh. Thc t, c bng chng
16

Nhm 01-Lp Ngn hng m 01-K23

(xem Maddala v Kim, 1999, mt cuc kho st) cho rng mu nh lm s bc b H0 l

gi mo. Mt gii php c khuyn ngh cho vn ny l iu chnh gi tr thng k
c tnh n kch thc mu nh. Tc gi p dng phng php iu chnh ny trong
trng hp r = 3. Theo Reimers (1992), tc gi iu chnh kim nh

bng cng

thc (T kn)/T, vi T l tng s quan st, k l tr v n l s bin s dng trong m

hnh. Vi iu chnh ny, cc gi tr cho kim nh

l 21.70, 11.13 v 6.21. Ch

vector u tin ca cc vector ny l c ngha thng k ti 95%. Do , khi kt hp c

ba iu trn (kt qu kim nh Trace v

, iu chnh

trng hp r=3

v chn mc ngha l 95%) tc gi chn r = 1, tc c 1 mi quan h ng lin kt xy

ra gia 3 bin

hoc

4.3 M t bc 3
Tc gi i kim nh m hnh t hi quy (6), tuy nhin n c th hin di dng
VECM m hnh n nh hn nh sau:

(12)

(13)
Chng ta c th hiu:
- Phng trnh (12) m t mi quan h gia bin sn lng ca HK b nh hng nh
th no bi cc bin ngoi sinh: Sn lng HK tr 1 k v bin ngoi sinh l sn lng
ca US v li sut LNH US, m hnh n nh, tc gi thm cc bin hiu chnh sai s
v bin gi thi v Di vo, vi i= 1, 2, 3 l bin th hin cho qu 1, 2, 3.
- Tng t, Phng trnh (13) m ta mi quan h gia bin sn lng ca HK b nh
hng nh th no bi cc bin ngoi sinh: Sn lng HK tr 1 k v bin ngoi sinh:
sn lng ca US v cung tin ca US, m hnh n nh, tc gi thm cc bin hiu
chnh sai s

v bin gi thi v Di vo, vi i= 1, 2, 3 l bin th hin cho qu 1,

2, 3.
- Thay i bng j ta s c 2 phng trnh cho th trng US.
17

Nhm 01-Lp Ngn hng m 01-K23

Kim nh nhn qu Granger c gi thit cho th trng HK rng:

- H0: Chnh sch tin t ca US khng nh hng n s thay i ca sn lng HK
- H1: Chnh sch tin t ca US c nh hng n s thay i ca sn lng HK.
Tng t cho th trng US, ta c:
- H0: Chnh sch tin t ca US khng nh hng n s thay i ca sn lng US
- H1: Chnh sch tin t ca US c nh hng n s thay i ca sn lng US.
kim nh mi quan h nhn qu, tc gi dng thng k F v P-value c lin quan
(trong ngoc).
- Dng thng k F kim nh nhn qu trong ngn hn, c ngha sai phn bc 1.
- Trong di hn, tc gia dng kim nh F cho bin hiu chnh sai s, tc l c xem xt
n mi quan h di hn (khi tham kho bi vit ca Hayo (1999), Khalid v Guan
(1999), v Wernerheim (2000)).
- H0 c gi nh l Ch=0, nu xem xet di hn th Ch=0 v Ds=0
- Nu P_value nh (t 1-10%), chng t thng k F c ngha, lc ta bc b H0 v
chp nhn H1.
Kt qu kim nh c th hin 2 bng sau:
Bng 2a
Kim nh
bin:

Bin ph
thuc

nhn

qu

vi

tr

cng

tin

t;

hnh

Bn thng k 1

Bn thng k 2

H s chn

H s chn v bin xu hng

ch = 0
h = 1, , 1.79 (0.14)
7
2.09 (0.09)
h = 2, ,
2.51 (0.16)

ch = 0, ds = 0

ch = 0

ch = 0, ds = 0

2.04 (0.09)

1.74 (0.15)

3.21 (0.01)

2.32 (0.06)

2.03 (0.10)

3.60 (0.01)

2.68 (0.04)

2.42 (0.07)

4.09 (0.00)
18

Nhm 01-Lp Ngn hng m 01-K23

3.05 (0.04)

3.22 (0.02)

3.00 (0.04)

4.77 (0.00)

h = 3, , 3.22 (0.04)
7
1.96 (0.16)
h = 4, ,
3.82 (0.06)
7

3.84 (0.02)

3.27 (0.04)

5.53 (0.00)

4.37 (0.01)

2.00 (0.16)

6.19 (0.00)

5.35 (0.01)

3.86 (0.06)

7.19 (0.00)

h = 1, , 0.33 (0.91)
7
0.36 (0.88)
h = 2, ,
0.39 (0.88)
7

0.35 (0.94)

0.49 (0.83)

0.74 (0.66)

0.35 (0.92)

0.48 (0.81)

0.79 (0.61)

0.34 (0.90)

0.55 (0.74)

0.84 (0.56)

0.48 (0.78)
h = 3, ,
7
0.56 (0.67)

0.40 (0.84)

0.64 (0.64)

0.98 (0.46)

0.50 (0.74)

0.85 (0.48)

1.16 (0.36)

h = 4, , 0.81 (0.48)
7
1.62 (0.25)
h = 5, ,
7

0.66 (0.58)

1.26 (0.30)

1.45 (0.25)

0.98 (0.39)

2.52 (0.13)

1.93 (0.15)

h = 5, ,
7
h = 6, 7
h=7

h = 6, 7
h=7
Thng k F c th hin trong trng hp xt mi quan h nhn qu gia bin li sut
LNH US c nh hng n sn lng HK hay sn lng US hay khng? Kt qu chy
m hnh cho thy thng k F hu ht c ngha mc 90%, th hin c mi quan h
nhn qu gia bin li sut LNH US v bin sn lng HK, nhng li khng c ngha
khi xt quan h nhn qu gia bin li sut LNH US vi bin sn lng US.
Tng t Bng kt qu 2b khi thay bin li sut bng bin cung tin:
Bng 2b
Kim
bin:

nh

nhn

qu

vi

cng

tin

t;

hnh

3
19

Nhm 01-Lp Ngn hng m 01-K23

Bin ph
thuc

tr

Bn thng k 1

Bn thng k 2

H s chn

H s chn v bin xu hng

ch = 0

ch = 0, ds = 0

ch = 0

ch = 0, ds = 0

h = 1, , 2.19 (0.07)
7
2.13 (0.09)
h = 2, ,
2.49 (0.06)
7

2.86 (0.02)

2.40 (0.06)

4.24 (0.00)

3.23 (0.02)

2.03 (0.10)

4.73 (0.00)

3.72 (0.01)

2.42 (0.07)

5.34 (0.00)

3.10 (0.04)
h = 3, ,
7
0.74 (0.54)

4.21 (0.01)

2.96 (0.04)

5.95 (0.00)

3.85 (0.02)

1.00 (0.41)

5.66 (0.00)

h = 4, , 1.09 (0.35)
7
1.52 (0.23)
h = 5, ,
7

4.06 (0.02)

1.40 (0.27)

6.01 (0.00)

5.40 (0.01)

2.11 (0.16)

7.41 (0.00)

h = 1, , 0.67 (0.69)
7
0.75 (0.62)
h = 2, ,
0.89 (0.50)
7

0.59 (0.77)

0.72 (0.65)

0.83 (0.60)

0.64 (0.72)

0.78 (0.59)

0.90 (0.53)

0.75 (0.62)

0.93 (0.48)

1.03 (0.44)

0.96 (0.45)
h = 3, ,
7
1.28 (0.30)

0.79 (0.57)

0.93 (0.46)

1.10 (0.39)

0.97 (0.44)

1.18 (0.34)

1.32 (0.29)

h = 4, , 0.34 (0.72)
7
0.12 (0.73)
h = 5, ,
7

0.42 (0.74)

0.31 (0.74)

0.94 (0.46)

0.07 (0.93)

0.11 (0.74)

0.86 (0.47)

h = 6, 7
h=7

h = 6, 7
h=7
20

Nhm 01-Lp Ngn hng m 01-K23

Ta c th thy: kt lun trng yu ca tc gi r rng v mnh m khi li sut LNH US

hay cung tin US l cng c tin t. C bng chng r rng ng h gi thuyt ca tc
gi l CSTT US tc ng n sn lng HK, m khng tc ng n sn lng US. Khi
kim nh F gm c kim tra bin hiu chnh sai s, cc kt qu a ra nhng bng
chng thm ch mnh m hn cho nhn qu di hn ca CSTT US i vi sn lng
HK.
Tuy nhin ch rng, cc kt qu ca tc gi t kim nh nhn qu Granger cn c
xem xt cn thn v kch thc mu nh. Phillips v Toda (1994) cho thy rng, da
trn nhng m phng Monte Carlo, rt kh ng h thng k F c hiu lc khi mu
nh v s dng t 3 bin tr ln trong m hnh.
tnh n cc kh nng ny, Bng 3a v 3b trnh by cc kt qu c c t m hnh
2 bin. C ngha l khi c lng phng trnh (12) v (13) cho HK, cc bin

(h

= 1, 2,.., k) b loi b. Tng t, khi c lng phng trnh (12) v (13) cho US, cc
bin

(h = 1, 2,, k) b loi b.

Nhn chung, cc kt qu a ra cc kt lun ging cc kt qu trc. S dng Bn

thng k 1, quan h khng nhn qu Granger b bc b i vi sn lng thc HK (xem
Bng 3a). Khi cc bin hiu chnh sai s c xt vo thng k F, bng chng l mnh
m v do quan st c nhn qu di hn. Khi s dng Bn thng k 2, bng chng
l yu. Quan st cc kt qu i vi sn lng US (Bng 3a, bng pha di), bng
chng cho thy vic bc b gi thuyt H0, khng c quan h nhn qu Granger, l yu.

21

Nhm 01-Lp Ngn hng m 01-K23

Bng 3a
Kim nh nhn qu vi

Bin ph
thuc

l cng c tin t; m hnh 2 bin:

tr

Bn thng k 1

Bn thng k 2

H s chn

H s chn v bin xu hng

ch = 0

ch = 0, ds = 0

ch = 0

ch = 0, ds = 0

h = 1, , 7

2.20 (0.06)

2.81 (0.02)

0.68 (0.68)

1.05 (0.43)

h = 2, , 7

5.55 (0.04)

3.12 (0.01)

0.67 (0.67)

1.12 (0.38)

h = 3, , 7

2.96 (0.03)

3.27 (0.01)

0.69 (0.63)

1.05 (0.42)

h = 4, , 7

3.38 (0.02)

3.87 (0.00)

0.66 (0.62)

1.19 (0.34)

h = 5, , 7

3.56 (0.03)

4.74 (0.00)

0.69 (0.56)

1.37 (0.26)

h = 6, 7

4.34 (0.02)

6.21 (0.00)

0.45 (0.64)

1.65 (0.19)

h=7

8.46 (0.00)

8.65 (0.00)

0.61 (0.44)

1.88 (0.16)

h = 1, , 7

0.64 (0.72)

0.66 (0.72)

1.27 (0.30)

1.13 (0.37)

h = 2, , 7

0.69 (0.66)

0.65 (0.71)

1.44 (0.23)

1.17 (0.35)

h = 3, , 7

0.72 (0.61)

0.74 (0.62)

1.66 (0.17)

1.31 (0.28)

h = 4, , 7

0.85 (0.50)

0.77 (0.57)

1.97 (0.13)

1.43 (0.24)

h = 5, , 7

0.98 (0.42)

0.92 (0.46)

2.55 (0.08)

1.67 (0.17)

h = 6, 7

1.26 (0.30)

1.18 (0.33)

3.74 (0.04)

2.05 (0.11)

h=7

2.49 (0.13)

1.59 (0.22)

6.95 (0.01)

2.66 (0.07)

22

Nhm 01-Lp Ngn hng m 01-K23

Bng 3b
Kim nh nhn qu vi

Bin ph
thuc

l cng c tin t; m hnh 2 bin:

tr

Bn thng k 1

Bn thng k 2

H s chn

H s chn v bin xu hng

ch = 0

ch = 0, ds = 0

ch = 0

ch = 0, ds = 0

h = 1, , 7

1.11 (0.38)

1.92 (0.09)

1.66 (0.16)

2.54 (0.03)

h = 2, , 7

1.185 (0.34)

2.20 (0.06)

1.53 (0.20)

2.86 (0.02)

h = 3, , 7

1.42 (0.24)

2.45 (0.05)

1.76 (0.15)

3.16 (0.01)

h = 4, , 7

1.77 (0.16)

2.72 (0.04)

2.18 (0.09)

3.48 (0.01)

h = 5, , 7

1.62 (0.20)

3.27 (0.02)

2.18 (0.11)

4.05 (0.00)

h = 6, 7

1.36 (0.27)

4.33 (0.01)

1.69 (0.20)

5.04 (0.00)

h=7

2.26 (0.14)

5.48 (0.01)

2.76 (0.10)

5.95 (0.00)

h = 1, , 7

0.59 (0.76)

0.54 (0.82)

0.61 (0.74)

0.73 (0.68)

h = 2, , 7

0.62 (0.72)

0.53 (0.80)

0.62 (0.71)

0.74 (0.65)

h = 3, , 7

0.69 (0.63)

0.59 (0.73)

0.70 (0.62)

0.83 (0.57)

h = 4, , 7

0.71 (0.59)

0.57 (0.72)

0.62 (0.65)

0.84 (0.55)

h = 5, , 7

0.93 (0.44)

0.70 (0.59)

0.83 (0.49)

1.00 (0.44)

h = 6, 7

0.07 (0.94)

0.11 (0.95)

0.25 (0.78)

0.61 (0.66)

h=7

0.01 (0.91)

0.05 (0.95)

0.22 (0.64)

0.74 (0.54)

Cc kt qu c trnh by trong Bng 3b, khi s dng cung tin l cng c tin t,
khng nh rng cng c tin t US tc ng n sn lng HK. Cn phi ni l kt qu
ny c c khi bin hiu chnh sai s c xt trong thng k F v cc kt qu c lp
vi s lng cc thnh phn xc nh c xt trong mi quan h ng lin kt (Bn
thng k 1 hoc 2).

23

Nhm 01-Lp Ngn hng m 01-K23

Tm li, cc kt qu c c t m hnh 2 bin khng nh rng cng c tin t US

tc ng n sn lng HK m khng tc ng n sn lng US. c bit, cc kt
qu c quan st r rng khi cc bin hiu chnh sai s c xt trong thng k F
v khng c quan h nhn qu.
Phn r phng sai c th c dng o lng tm quan trng ca mt c sc (tc l
d bo sai lch so vi thc t) trong vic gii thch phng sai ca sai s. Bi vit trnh
by cc kt qu ny ch khi tin US l cng c tin t, qua Bn thng k 1. Kim nh
ADF cn c c im l c th xc nh th t lin kt gia cc bin trong m hnh.
Tuy nhin, phi nh rng m hnh ch c ng lin kt ti r = 1. Cc kt qu c trnh
by Bng 4 v chng khng b nh hng bi trnh t cc bin c dng o
lng phng trnh (6).

Bng 4 cho thy bin ng ca sn lng HK c gii thch bng 35,5% t sn lng
US v 26,4% t tin US ti cui nm th 3 (mc 12 qu). Vi mc 24 qu, cc gi tr
ln lt l 43,6% v 17,6%. Khi bin ng ca sn lng US hoc tin US c phn
tch, tc gi thy mt hnh nh khc: sn lng HK khng c tc ng ngn hay di hn
n sn lng US. Nhng quan trng hn, tin US khng th gii thch bin ng ca
sn lng US. iu ny ph hp vi phn tch nhn qu ca tc gi.

24

Nhm 01-Lp Ngn hng m 01-K23

5. KT LUN
Bi nghin cu ny phn tch hai vn lin quan n vic s dng kim nh nhn qu
Granger kim tra nh hng ca tin ln hot ng kinh t:
-

Th nht, nu CSTT phn ng vi trng thi ca nn kinh t, kim nh Granger

c th khng thy cung tin tc ng n sn lng. Vn ny r rng khng
qu mi. Hin ti cng cng nhn rng C quan qun l tin t phn ng vi nn
kinh t bng mt chc nng phn ng; xem Christiano & ctg (1999).

Th hai, i vi nn kinh t duy tr TGH c nh vi US, th kim nh nhn

qu Granger v cung tin US n nn kinh t c sn lng thp cho thy nhng
nh hng thc ca cung tin. Vn th hai ny c th c thy l lin quan
cht ch n vai tr ca cc yu t tin t trong giai on i Suy thoi. Thc t,
nh Bernanke (1995) lp lun, cch cc nc duy tr TGH i vi bn v vng
quyt nhcch hi phc v tc hi phc sau i Suy thoi. Quan im cho
rng mt nn kinh t c ch TGH c nh vi mt nc khc hm mt s
h tr mnh m t vai tr ca cc yu t tin t trong hot ng kinh t.

Nghin cu ny cho thy CSTT US khng tc ng n sn lng US, m tc ng n

sn lng HK. cho thy iu ny, tc gi dng kim nh nhn qu Granger trong
iu kin ng lin kt, nh ngh ca Phillips v Toda (1994). Bi v kch thc mu
c dng rt nh, cc kt qu ca tc gi phi c din gii cn thn. Tuy nhin, tt
c cc kt qu khng nh rng cng c tin t US (li sut LNH US hoc cung tin US)
tc ng n sn lng thc HK nhng khng tc ng n sn lng US.
Lm th no m CSTT US khng nh hng trong ni b quc gia m nh hng ln
n phn cn li ca th gii? Cu tr li ca tc gi vi vn nghch l c tm thy
ny tht n gin. CSTT US c dng n nh sn lng US, nn bin ng ca
sn lng US t xu hng l sai s d bo ca Fed, m phi c k vng hp l vi
thng tin m FED c c thit lp ti tr c kim sot, v trong thng tin ny, cng
c tin t c tham gia vo. Cha tng c kim nh Granger c th cho thy rng mt
s thay i CSTT US ngoi sinh s gy ra mt s thay i trong sn lng US, v CSTT
US c bit c dng trnh to ra thay i ngoi sinh m s gy bin ng sn
lng US. Nhng iu ny khng c ngha l CSTT US khng lin quan n cc bin
thc. Thc t rng sn lng HK chc chn b nh hng mnh m bi mt CSTT US
25

Nhm 01-Lp Ngn hng m 01-K23

ngoi sinh (i vi HK), ngha l sn lng US cng b nh hng mnh m nu CSTT

US l ngoi sinh vi US (nhng iu ny c l phi thc t).
Cu tr li n gin v tc gi tin rng n ng tin cy. Khng c li gii hp l no
khc. S l bt hp l nu lp lun rng, US c gi c trong nc hon ton linh hot v
do cung tin mang tnh trung tnh vi US, trong khi HK c gi t linh hot v do
tin khng trung tnh vi HK. Nu cu tr li ca tc gi c chp nhn, iu ny c
ngha l tt c cc kim nh trc y v nh hng thc ca CSTT sai st cc ln v
t c nh gi thp tm quan trng ca CSTT i vi cc bin thc. Thc t rng
d rt kh ch ra tc ng thc ca CSTT US trong US bng thc nghim nhng
cng khng cho thy l CSTT khng c lin quan. Thay vo , thc t cho thy Fed
khng qun l CSTT lm cung tin bin ng theo kiu thi v. Tht vy, mt pht
hin mnh m, rng cung tin tc ng nhn qu Granger n sn lng, s l cn c
vng chc yu cu Ch tch ca Fed t chc, bi l do ng khng gi ng li
ha gi sn lng M lun n nh.
Hn ch ca bi vit:
Bi vit cp n vn kch thc mu qu nh s khin cho cc kt qu thng k
khng cn chnh xc, nn tc gi phi dng cc phng php iu chnh cho kt qu
ph hp vi kch thc mu nh.
Bi vit ch dng li kt lun c mi quan h nhn qu gia chnh sch tin t ca M
v sn lng ca Hng Kng m cha o lng c th tc ng s th hin mc bao
nhiu. y c th l hng nghin cu tip cho nhng bi sau.
M rng vn :
K t sau s sp ca cc ch bn v vng (trc Th chin th Hai) v ch
Bretton Woods m thi k hong kim l giai on 1958-1971, nhiu c ch t gi
xut hin trn th gii. Mt quc gia la chn mt c ch t gi no khng nhng
ph thuc vo li ch m c ch em li cho nn kinh t ti thi im m cn ph
thuc vo vic liu quc gia c th duy tr c c ch nh n ha hay khng.
Chng hn, nu mt quc gia la chn chnh sch t gi c nh th vn t ra l liu
quc gia c kh nng duy tr c t gi tuyn b hay khng trc cc bin ng
bn ngoi. V nu quc gia chn c ch t gi th ni th liu nn kinh t c kh nng
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Nhm 01-Lp Ngn hng m 01-K23

chp nhn c s dao ng ca t gi theo thi gian hay sau li phi quay tr li cc
bin php can thip trc tip? Ngoi ra vic la chn c ch t gi cn ph thuc vo
iu kin kinh t, vo kh nng qun tr h thng ti chnh ca ngn hng ca quc gia,
v vo th t u tin trong chnh sch.
Tuy nhin, vic h thp li sut v bm tin ca Fed dn ti vic mt lng tin ln
ca M chy vo chu to ra nguy c "bong bng" ti sn trong khu vc ny. Lo
ngi v vn ny, Ngn hng trung ng cc nc trong khu vc phi tht cht chnh
sch tin t, gim tng trng ca khu vc trong bi cnh khng hong ti chnh tin
t.
C th ni, Hng Kng v Singapore c th chu tc ng mnh nht t cc chnh sch
ni lng tin t ca M. ng la Hng Kng trn danh ngha neo t gi theo USD
nn khi Fed tip tc trin khai chnh sch ni lng tin t, Hng Kng buc phi nh
gi li chnh sch neo t gi ny. Gi nh ti Hng Kng tng 20% trong nm 2012
dn ti nguy c bong bng bt ng sn phnh to hn v thm ch c th v. iu
ny s khin n xu trong h thng ngn hng Hng Kng tng cao nh tnh trng
M, chu u, Trung Quc...
i vi Vit Nam, Vit Nam c giai on c nh t gi t u nm 1993 n nm
1996 chng lm pht v thu ht u t nc ngoi. Nhng vic duy tr t gi hi
oi c nh trong iu kin lm pht c kim ch song vn cao hn lm pht
M v cc nc c quan h thng mi ch yu vi Vit Nam. ng thi, ng USD
c xu hng tng gi t nm 1995 lm cho VN c xu hng ngy cng b nh gi
cao hn thc t. iu ny to ra v tch ly nhng nhn t gy mt n nh v km
hm s pht trin kinh t. n ngy 02/07/1997, khi Thi Lan phi th ni TGH v
kt thc 14 nm duy tr TGH c nh dn n cuc khng hong ti chnh ng
Nam . V Vit Nam cng khng trnh khi b nh hng. Sau hai nm, ngy
26/02/1999, ngn hng nh nc Vit Nam cng b chn ch t gi th ni c
qun l ch c xem l tng i hp l vi tnh hnh kinh t Vit Nam .
Cu hi m vi tnh hnh kinh t th gii hin nay l Liu th gii ti lc quay tr
li bn v vng?

27

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TI LIU THAM KHO

-

Maral Kichian (2012). Bi vit iu kin ti chnh v mi quan h gia cung

tin v sn lng CanadaFinancial Conditions and the Money-Output
Relationship in Canada. Nghin cu ca Ngn hng Canada nm 2012- trang 33.
Hayo, B., 1999. Bi vit Quan h nhn qu gia cung tin v sn lng. Bng
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(11), 1489e1501.
Rowe, N., Yetman, J., 2002. Identifying policy-makers objectives: an application
to the bank of Canada. Canadian Journal of Economics 35 (2), 239e256.
Reimers, H.E., 1992. Comparisons of tests for multivariate cointegration.
Statistical Papers 33, 335e359.
Tp ch ngn hng thng 10/2008 Chnh sch t gi ca Vit Nam thc trng v
gii php.
Johansen, S., 1988. Statistical analysis of cointegration vectors. Journal of
Economics Dynamics and Control 12, 231e254.
Johansen, S., 1991. Estimation and hypothesis testing of cointegration vectors in
Gaussian vector autoregressive models. Econometrica 59, 1551e1580.
Johansen, S., 1995. Likelihood-Based Inference in Cointegrated Vector
Autoregressive Models. Oxford University Press, Oxford.
Johansen, S., Juselius, K., 1990. Maximum likelihood estimation and inference
on cointegration e with applications to the demand for money. Oxford Bulletin of
Economics and Statistics 52, 169e210.
Johansen, S., Juselius, K., 1992. Testing structural hypothesis in a multivariate
cointegration analysis of the PPP and the UIP for UK. Journal of Econometrics
53, 211e244.

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