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Mc lc
BNG K HIU VIT TT_______________________________________________________3
DANH MC BNG V BIU __________________________________________________4
PHN M U_________________________________________________________________6
1. Tnh cp thit ca d n............................................................6
2. Mc tiu ca d n....................................................................6
3. i tng v phm vi nghin cu ..............................................7
4. Phng php nghin cu v s liu s dng ..............................7
5. Kt cu ca d n.....................................................................8
PHN 1
CC M HNH XY DNG NG CONG LI SUT CHUN________________________9
1.1. Cc ng cong li sut hon vn...........................................9
1.2. Cc m hnh xy dng ng cong li sut chun...................11
1.2.1. M hnh mt nhn t...................................................................................11
1.2.1.1. M hnh Vasicek...................................................................................13
1.2.1.2. M hnh Merton....................................................................................15
1.2.1.3. M hnh Cox-Ingersoll-Ross (CIR)..........................................................16
1.2.2. Cc m hnh t do chnh lch gi...............................................................18
1.2.2.1. M hnh Ho-Lee....................................................................................19
1.2.2.2. M hnh Hull-White...............................................................................19
1.2.2.3. M hnh Black-Derman-Toy (BDT)........................................................20
1.2.3. M hnh a nhn t.....................................................................................20
1.2.3.1. M hnh hai nhn t..............................................................................20
1.2.3.2. M hnh a nhn t Heath-Jarrow-Morton (HJM)...................................21
1.2.4. Cc k thut s dng phng php tham s...............................................21
1.2.4.1. M hnh Nelson-Siegel..........................................................................21
1.2.4.2. M hnh hm ni trc bc ba (cubic spline model)...............................23
1.2.4.3. M hnh hm ni trc c bn (B-spline)................................................24

1.3. iu kin p dng cc m hnh xy dng ng cong li sut


chun.........................................................................................25
1.3.1. Yu cu ca m hnh xy dng ng cong li sut chun.........................25
1.3.2. iu kin p dng ca cc m hnh xy dng ng cong li sut chun. .26
a. M hnh mt nhn t.....................................................................................26
b. M hnh a nhn t.......................................................................................27
c. M hnh chnh lch gi..................................................................................28
d. M hnh s dng phng php tham s........................................................28

1.4. Thc t xy dng ng cong li sut chun ca mt s nc 29


1.4.1.Thc t ca cc nc...................................................................................29
1.4.1.1. Thc t ca M.....................................................................................29
1.4.1.2. Thc t ca Malaysia............................................................................32
1.4.1.3. Thc t ca Singapore.........................................................................34
1.4.2. Bi hc t vic xy dng ng cong li sut chun ca cc nc.............37

PHN 2
C IM TH TRNG CC CNG C N VIT NAM____________________________41
2.1.Th trng tri phiu Chnh ph.............................................41
2.1.1. Thc trng th trng tri phiu Chnh ph.................................................41
2.1.1.1. Pht hnh tri phiu Chnh ph............................................................42

2.1.1.2. Qui m ca th trng..........................................................................44


2.1.2. c im th trng tri phiu Chnh ph...................................................49
2.1.2.1. Tnh thanh khon ca th trng..........................................................49
2.1.2.2. Li sut TPCP........................................................................................50

2.2. Th trng tri phiu doanh nghip.......................................55


2.2.1. Thc trng th trng tri phiu doanh nghip...........................................55
2.2.1.1. S lng doanh nghip pht hnh tri phiu .......................................55
2.2.1.2. Qui m th trng tri phiu doanh nghip .........................................57

2.3. Th trng tn dng ngn hng .............................................64


2.3.1. Th trng gia t chc tn dng v doanh nghip, c nhn (th trng 1). 64
2.3.1.1. Thc trng th trng ..........................................................................64
2.3.1.2. c im th trng.............................................................................66
2.3.2. Th trng tin t lin ngn hng (th trng 2)..........................................75
2.3.2.1. Thc trng hot ng th trng..........................................................75
2.3.2.2. c im th trng trng tin t lin ngn hng...............................78

PHN 3
XY DNG NG CONG LI SUT CHUN CA VIT NAM______________________82
3.1. Quan im v thc t xy dng ng cong li sut hon vn
ca Vit Nam..............................................................................82
3.1.1. Quan im xy dng ng cong li sut chun........................................82
3.1.2. ng cong li sut chun hin hnh.........................................................83

3.2. Xy dng ng cong li sut chun ca Vit Nam.................86


3.2.1. La chn m hnh xy dng ng cong li sut chun cho Vit Nam.......86
3.2.1.1. Xc nh ng cong li sut hon vn mc tiu.................................86
3.2.1.2. La chn m hnh xy dng ng cong li sut chun ......................87
3.2.2. La chn li sut u vo cho m hnh Vacisek..........................................89
3.2.2.1. Phng n 1: S dng li sut u thu nghip v th trng m 14
ngy .................................................................................................................89
3.2.2.2. Phng n 2: S dng li sut lin ngn hng qua m ......................91
3.2.2.3. Phng n 3: S dng c li sut th trng m v li sut lin ngn
hng qua m ..................................................................................................92

3.3. Th nghim xy dng ng cong li sut chun ca Vit Nam


..................................................................................................93
3.3.1. H thng d liu.........................................................................................93
3.3.2. Xc nh cc thng s ca m hnh............................................................95
3.3.3. ng cong li sut m phng...................................................................97

3.4. Kt lun.............................................................................102
KT LUN___________________________________________________________________104
DANH MC TI LIU THAM KHO_____________________________________________106
PH LC____________________________________________________________________110

BNG K HIU VIT TT


NHNN

Ngn hng Nh nc

TPCP
CSTT

Tri phiu Chnh ph


Chnh sch tin t

BTC

B Ti chnh

KBNN

Kho bc Nh nc

NHTM

Ngn hng thng mi

HNX

S giao dch chng khon H Ni

HSX
TPKB
TCTD
NVTTM
TDNDTW
VKD

S giao dch chng khon TP.HCM


Tri phiu kho bc
T chc tn dng
Nghipv th trng m
Tn dng Nhn dn Trung ng
Vn kh dng

CSTT

Chnh sch tin t

TTTT

Th trng tin t

TTCK

Th trng chng khon

GTCG

Giy t c gi

OMO

Th trng m

CTNY

Cng ty nim yt

CTC

Cng ty i chng

CTCP

Cng ty c phn

TD

Tn dng

VN

Vit Nam

BFV

Bloomberg Fair Value

DANH MC BNG V BIU


1. Danh mc bng
STT

Ni dung

Bng 1.1

c im ca cc m hnh xy dng ng cong li sut chun

Bng 1.2

iu kin p dng cc m hnh xy dng ng cong li sut chun

Bng 2.1

Gi tr TPCP nim yt ti S giao dch chng khon

Bng 2.2

Gi tr TPCP giao dch v gi tr TPCP nim yt

Bng 2.3

Quy m nim yt ti HNX

Bng 2.4

S lng thnh vin th trng m

Bng 2.5

Khi lng trng thu v phng thc giao dch OMO 2005 -2009

Bng 2.6

Kt qu giao dch tri phiu ti HNX ngy 12/3/2010

Bng 2.7

Tn sut giao dch OMO 2005-2009

Bng 2.8

T l tri phiu trng thu/ tri phiu gi thu

Bng 2.9

K hoch v thc hin huy ng TPCP 2008 2010

Bng 2.10

S lng doanh nghip c nc 2007-2009

Bng 2.11

S lng Cng ty i chng (2001-2009)

Bng 2.12

Mt s t pht hnh tri phiu doanh nghip tiu biu

Bng 2.13

C cu tri phiu pht hnh ca Vit Nam v mt s nc 2009

Bng 2.14

Mt s t pht hnh tri phiu doanh nghip tiu biu

Bng 2.15

Tc tng huy ng vn v cho d n ca h thng ngn hng

Bng 2.16

Li sut cho vay tha thun cho cc i tng theo Thng t 01

Bng 2.17

Li sut huy ng v cho vay bnh qun thng 12/2009 (%/nm)

Bng 2.18

Li sut cho vay bnh qun thng 02 - 3/2010

Bng 2.19

Doanh s giao dch trn TTTT lin ngn hng

2. Danh mc biu
STT
Biu 1.1
Biu 1.2

Ni dung
Cc dng ng cong li sut hon vn
Hnh nh ng cong li sut chun ca M (thng 12/2009)

Biu 1.3

Hnh nh ng cong li sut chun ca Malaysia

Biu 1.4

Hnh nh ng cong li sut chun ca Singapore

Biu 2.1

Gi tr TPCP pht hnh 2006-2009


Li sut trng thu tn phiu kho bc, li sut cho vay ngn hn ca
cc ngn hng (%/nm) 2000-2009
Li sut OMO v cp li sut ch o ca NHNN nm 2008
Li sut OMO v cp li sut ch o ca NHNN thng 4/2010
Li sut tri TPCP mi pht hnh, li sut hon vn TPCP v li
sut tin gi NHCT Vit Nam
Vn huy ng qua TTCK
Gi tr tri phiu doanh nghip pht hnh
T trng gi tr tri phiu doanh nghip pht hnh so vi tng vn
huy ng qua TTCK
C cu tri phiu pht hnh Vit Nam
Li sut danh ngha ca tri phiu doanh nghip
Tng d n tn dng ca h thng TCTD
Li sut cho vay ngn hn ca NHTM
Din bin cc mc li sut ch o ca NHNN,li sut tn dng
ngn hng 2007-2009
Din bin li sut c bn v li sut TDNH thng 02 7/2009
Li sut th trng tin t lin ngn hng (2005-2010)
Li sut qua m lin ngn hng, li sut huy ng v cho vay ngn
hn ca cc ngn hng (2008-2010)
Hnh dng ng cong li sut chun ca Vit Nam trn Bloomberg
Din bin ca li sut lin ngn hng loi OND
Din bin li sut OMO 14 ngy
Din bin ca li sut lin ngn hng loi 1 thng
Thit lp cc thng s ca m hnh
Mn hnh Solver
Mn hnh Solver Options

Biu 2.2
Biu 2.3
Biu 2.4
Biu 2.5
Biu 2.6
Biu 2.7
Biu 2.8
Biu 2.9
Biu 2.10
Biu 2.11
Biu 2.12
Biu 2.13
Biu 2.14
Biu 2.15
Biu 2.16
Biu 3.1
Biu 3.2
Biu 3.3
Biu 3.4
Biu 3.5
Biu 3.6
Biu 3.7

PHN M U
1. Tnh cp thit ca d n
ng cong li sut chun l mt trong nhng ch bo kinh t rt quan trng
cn c vo ni dung thng tin m n phn nh. Phn ln cc nc chn li sut tri
phiu kho bc cho vic xy dng ng cong li sut chun. Song vic xc nh
mt hoc mt s li sut c th v la chn m hnh xy dng ng cong li
sut chun khng ging nhau gia cc nc.
Vit Nam ang tham gia su vo phn cng lao ng quc t, cc giao dch
vn ang ngy cng c t do ho i hi phi c h tr bi cc cc cng c d
bo v m theo chun mc quc t ph hp vi c im ca th trng ti chnh
Vit Nam. Vic nghin cu hnh thnh ng cong li sut chun ca Vit Nam s
phn no p ng c yu cu ny.
c mt s t chc cng b ng cong li sut chun ca Vit Nam trong
khong 2 nm tr li y da trn s liu ca li sut kho bc. Tuy vy cn c vo
c im ca th trng tri phiu chnh ph, cc ng cong li sut chun ny
cha phn nh y ni dung thng tin vn c trong iu kin c th ca Vit
Nam. Trong iu kin c th ca Vit Nam khi m th trng tri phiu chnh ph
ang cn rt mng, k hn tri phiu cha a dng, li sut th trng cha c t
do ho v tnh thanh khon ca th trng cn yu th vic la chn mt hoc mt
s loi li sut thay th vi m hnh ph hp xy dng ng cong li sut chun
l rt cn thit.
Tip theo ti nghin cu khoa hc cp ngnh "Hon thin cc iu kin
xy dng ng cong li sut chun ca Vit Nam", d n "Xy dng ng cong
li sut chun ca Vit Nam" hng ti vic la chn li sut thch hp vi m
hnh phn nh tng thch, t xy dng ng cong li sut chun ca Vit
Nam.
2. Mc tiu ca d n

- Kho st cc m hnh xy dng ng cong li sut v cc iu kin p


dng cho mi m hnh.
- Nghin cu thc t xy dng ng cong li sut chun ca mt s nc t
rt ra nhng bi hc cn thit cho Vit Nam.
- Phn tch c im th trng cc cng c n v h thng li sut ca Vit
Nam la chn cc li sut thch hp cho vic xy dng ng cong li sut
chun
- La chn m hnh tng thch vi h thng s liu v c im ca VN
xy dng ng cong li sut chun
- Xy dng phn mm m phng phn nh ng cong li sut ca VN.

3. i tng v phm vi nghin cu


- i tng nghin cu: Nghin cu cc m hnh xy dng ng cong li
sut chun v l thuyt, kinh nghim cc nc v vn dng cho Vit Nam.
- Phm vi nghin cu: Nghin cu th trng cc cng c n Vit nam t
nm 2000 m ch yu t nm 2005 n nay tm ra loi li sut ph hp s dng
cho m hnh xy dng ng cong li sut chun ca Vit Nam.
4. Phng php nghin cu v s liu s dng
- S dng phng php nghin cu thc nghim, da trn c im v iu
kin p dng cc m hnh, kinh nghim ca cc nc trn th gii trong vic xy
dng m hnh cho ng cong li sut ca Vit Nam.
- S liu li sut c thu thp t B ti chnh, U ban chng khon Nh
Nc, Ngn hng Nh nc v cc websites c la chn. H thng s liu ny s
c phn tch, la chn v loi tr ti a cc yu t nhiu l sai lch bn cht
ca s liu

- M hnh ng cong li sut chun ca VN c xy dng trn c s vn


dng nhng m hnh c s dng v c s iu chnh ph hp vi iu th
trng ti chnh Vit nam
5. Kt cu ca d n
Ngoi phn m u, kt lun, d n gm 3 phn:
Phn 1: Cc m hnh xy dng ng cong li sut chun
Phn 2: c im th trng cc cng c n Vit Nam
Phn 3. Xy dng ng cong li sut chun ca Vit nam

PHN 1

CC M HNH XY DNG NG CONG LI SUT CHUN


1.1. Cc ng cong li sut hon vn
ng cong li sut hon vn (yield curve): c hnh thnh bng cch
minh ha cc mc li sut hon vn ca cc tri phiu ch khc nhau v k hn o
hn trn cng mt th.
Biu 1.1: Cc dng ng cong li sut hon vn

ng cong li sut hon vn n k o hn (yield-to-maturity yield


curve): c hnh thnh bng cch minh ha cc mc li sut hon vn n k o
hn ca cc tri phiu ch khc nhau v k hn o hn trn cng mt th. ng
cong li sut hon vn n k o hn l ng cong quan st c ph bin nht
v n l cng c o li nhun c s dng thng xuyn nht. Thng thng,
ngi ta hay nim yt ng cong ny trn cc phng tin thng tin i chng
trong chuyn mc v lnh vc ti chnh. Hn ch ch yu ca ng cong li sut
hon vn l c hnh thnh trn gi nh v vic ti u t coupon (phiu li tc)
mt mc t sut c nh trong sut k hn ca tri phiu. Tuy nhin, trong thc
t, li sut th trng bin ng theo thi gian. iu ny khin gi nh nu trn kh
c th c tha mn trong thc t v l nguyn nhn dn n ri ro ti u t. Ch

10

c nhng ngi nm gi tri phiu chit khu mi trnh c ri ro ti u t v


khng c coupon c tr trong sut k hn ca tri phiu chit khu.
Bn cnh , ng cong li sut hon vn n k o hn cng khng ch
ra c s khc bit gia cc cch thc thanh ton khc nhau ca cc tri phiu c
coupon khc nhau. V d: cc tri phiu c coupon thp th thng thanh ton dng
tin vi t trng cao dn khi cng gn ngy o hn so vi cc tri phiu c coupon
cao. iu ny xy ra v ng cong li sut hon vn n k o hn cng gi nh
l cch thc thanh ton dng tin mt l nh nhau cho tt c cc loi tri phiu. Do
, cc dng tin khng c chit khu theo ng t sut ph hp vi cc tri
phiu trong cng mt nhm c dng xy dng ng cong. khc phc vn
ny, cc nh phn tch tri phiu i khi xy dng nn ng cong li sut hon
vn n k o hn ca cc tri phiu c cng mc coupon (coupon yield curve).
ng cong li sut hon vn n k o hn ca cc tri phiu c cng
mc coupon (coupon yield curve): minh ha li sut hon vn n k o hn ca
cc tri phiu c cng mc coupon v ch khc nhau v k hn o hn ln cng
mt th. ng cong ny th c th ch ra c rng cc tri phiu c coupon cao
th c li sut hon vn cao tng i so vi cc tri phiu c coupon thp. Ni
cch khc, khi biu din trn cng mt th th ng cong li sut hon vn ca
cc tri phiu tr coupon cao s nm pha trn ng cong biu din li sut hon
vn ca cc tri phiu tr coupon thp. Tuy nhin, do hn ch ca s liu nn vic
xy dng ng cong ny khng phi l d.
ng cong li sut hon vn ca tri phiu c giao dch vi gi bng
mnh gi (par yield curve): minh ha cc mc li sut hon vn n k o hn ca
cc tri phiu hin hnh ch khc nhau v k hn v u c giao dch mc gn
bng mnh gi. Li sut hon vn trong trng hp ny s bng vi li sut coupon
i vi cc tri phiu c nh gi bng mnh gi hoc gn bng mnh gi (v li
sut hon vn n k o hn ca cc tri phiu giao dch ti gi bng mnh gi
bng li sut coupon). Tuy nhin, ng cong ny thng c s dng trn th
trng s cp gii quyt cc vn lin quan n vic xc nh mc coupon cho

11

t pht hnh tri phiu mi vi gi pht hnh bng mnh gi. Nu cc tri phiu
trn th trng c giao dch mc gi thp hn rt nhiu so vi mnh gi th
khng th xy dng ng cong loi ny mt cch trc tip m phi gin tip thng
qua ng cong li sut hon vn giao ngay.
Cu trc k hn ca li sut (the term structure of interest rates): chnh l
ng cong li sut hon vn ca tri phiu chit khu (zero-coupon yield curve)
hay ng cong li sut hon vn giao ngay (spot yield curve). Li sut hon vn
ca tri phiu chit khu c coi l li sut hon vn chnh xc nht nu ngi ta
nm gi tri phiu ny n khi o hn. Do khng c ri ro ti u t v khng c
lung tin pht sinh trong k nh cc loi tri phiu coupon nn li sut hon vn
ca tri phiu chit khu khc phc c hn ch ca hai gi nh c s dng
xy dng ng cong li sut hon vn n k o hn nh trnh by trn.
i vi cc th trng m tri phiu chit khu c giao dch ph bin vi
k hn phong ph, ngi ta c th xy dng c ng cong tri phiu chit khu
mt cch trc tip trn c s cc d liu quan st c. Ngc li, i vi cc th
trng tri phiu chit khu km thanh khon th ngi ta cng c th xy dng
c ng cong li sut hon vn giao ngay mt cch gin tip t mt ng cong
li sut hon vn n k o hn thng thng tng ng. Trong d n ny, chng
ti s dng cm t cu trc k hn ca li sut v ng cong li sut hon vn
ca tri phiu chit khu hoc ng cong li sut hon vn giao ngay vi
ngha tng ng nhau.
1.2. Cc m hnh xy dng ng cong li sut chun
1.2.1. M hnh mt nhn t
M hnh mt nhn t l loi m hnh cho php xy dng c mt cu trc
k hn hon chnh t mt loi li sut ngn hn. Chng ta c th minh ha qu trnh
ny bng cch ch ra phng php s dng cc m hnh nh gi tri phiu chit
khu vi bt c k hn no.

12

Loi m hnh ny thuc dng m hnh im cn bng ca cu trc k hn v


c xy dng da trn m hnh cn bng tng th ca nn kinh t. Cc m hnh
ny thng s dng cc tham s c nh m quan trng nht l s bin ng ca
chui s liu l n nh v cc tham s thc t c s dng hnh thnh cu trc
k hn u c c lng t s liu lch s. Tuy nhin, ngi ta thng dng cc
tham s c c lng t b s liu thc t v cc bin ng ca b s liu thc t
c suy ra t gi ca cc hp ng k hn c mua i bn li.
Gi nh P(t , T ) l gi ca mt tri phiu chit khu phi ri ro ti thi im t,
o hn ti thi im T v c gi tr ti thi im o hn l 1. Mc gi ny l mt
qu trnh ngu nhin mc d chng ta u bit gi ti thi im o hn l 1. Gi
nh rng mt nh u t gi tri phiu ny bng cch vay mt lng gi tr Ct
ti tr. V vy ti bt k thi im t gi tr on ca dng tin phi l Ct = P(t , T )
nu khng s c hot ng kinh doanh chnh lch gi din ra. Gi tr ca dng tin
on s tng dn theo mt t l c gi l li sut phi ri ro ngn hn r(t) ti thi
im t c tnh nh sau:
dCt
= r ( t ) Ct
dt

(1.1)

Ly tch phn phng trnh trn chng ta thu c:


Ct = C0 exp

( r ( s ) ds )
t

(1.2)

trong : C0 v Ct ln lt l gi tr dng tin ti tr vic nm gi tri phiu ti


thi im gc v thi im t; r(s) l hm li sut ngn hn vi s chy t 0 n t.
Nh vy, qu trnh ngu nhin ca hai v trong phng trnh (1.2) l nh
nhau v gi tr k vng ca hai v l nh nhau. Do , chng ta c th s dng
tnh gi ca mt tri phiu chit khu ti bt k thi im t nh sau:
P (t , T ) = E exp

( r ( s ) ds )
T

(1.3)

13

Mt khi chng ta xy dng c mt cng thc m t qu trnh ngu nhin


ca li sut ngn hn r th chng ta c th tnh ton c gi v li sut hon vn c
th ca mt tri phiu chit khu ti bt k thi im no bng cch tnh gi tr k
vng nu trn. ngha ca m hnh ni trn l: Nu xc nh c qu trnh li
sut ngn hn r ( t ) quyt nh n din bin ca ton b cu trc k hn th chng
ta c th xy dng c m hnh cu trc k hn ch cn thng qua vic xc nh
c qu trnh li sut ngn hn r ( t ) .
V vy, m hnh li sut ngn hn lin quan n s bin ng ca li sut
hon vn ca tri phiu v c th s dng hnh thnh nn cu trc k hn ca li
sut, nh gi tri phiu vi mi k hn o hn. Cc m hnh c bn ch yu l m
hnh mt nhn t trong miu t qu trnh li sut ngn hn r di dng mt
ngun ca s bt n nh nh sau:
dr = r ( t ) dt + r ( t ) dW

(1.4)

trong l t l thay i trung bnh ca li sut ngn hn, l lch chun


ca li sut ngn hn r. Tt c cc khi nim ny c gi nh rng hm ca li
sut ngn hn v c lp theo thi gian. Gi nh quan trng ca m hnh mt
nhn t l tt c cc li sut bin ng cng chiu.
1.2.1.1. M hnh Vasicek
M hnh ny c xy dng da trn ba gi nh quan trng.
Gi nh th nht l li sut ngn hn tun theo mt quy trnh c tnh thng
k c m t nh sau:
dr = a ( b r ) dt + dW

(1.5)

M hnh ny cp n vn hi phc trung bnh. y l mt qu trnh m


trong nu li sut ngn hn cao th n s c xu hng quay tr li mc li sut
di hn trung bnh; khi li sut ngn hn thp th n s c xu hng tng ln tr
v mc trung bnh. Trong m hnh ca Vasicek, li sut ngn hn c ko v mc

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li sut trung bnh di hn b vi tc a. Quy trnh hi phc trung bnh c phn


nh bi khi nim thng k dW tun theo phn phi chun.
Gi nh th hai l gi ca mt tri phiu chit khu P ( t , T ) c quyt nh
bi vic nh gi ti thi im t v gi tr ca li sut giao ngay r ( ) vi t T
trong sut k hn cn li ca tri phiu.
Gi nh th ba l th trng hiu qu. iu ny c ngha l khng c chi ph
giao dch, thng tin l c sn i vi mi nh u t v mi nh u t u hnh x
mt cch hp l (hm l mi nh u t u mong mun c nhiu ti sn hn v
s dng tt c cc thng tin c sn ra quyt nh). Gi nh ny cng hm rng
cch nh u t c k vng ng nht v do khng c ch cho hnh vi kinh
doanh chnh lch gi phi ri ro v sinh li.
Nh vy, vi gi nh th nht th s pht trin ca quy trnh li sut giao
ngay trong mt khong thi gian ( t , T ) , t T ch ph thuc vo gi tr hin hnh r ( t )
, vi cc gi tr nhn ti cc thi im trc t l bit trc. Gi nh th hai hm
rng mc gi P ( t , T ) l mt hm s ca r ( t ) . Ni cch khc, k vng c hnh
thnh t nhng hiu bit v ton b qu trnh pht trin trong qu kh ca li sut
tt c k hn o hn.
T ba gi nh trn v s dng qu trnh bin i ton hc, Vasicek a ra
gi ti thi im t ca mt tri phiu chit khu c k hn o hn T l:
P(t,T)=A(t,T)e-B(t,T)r(t)

(1.6)

Trong : r ( t ) l gi tr ca li sut ngn hn r ti thi im t,


B ( t, T ) =

1 e A(t T )
a

(1.7)

B ( t , T ) ( T t ) a 2b ( 2 / 2 ) 2 B ( t , T ) 2

A ( t , T ) = exp

a2
4a

(1.8)

15

B ( t , T ) , A ( t , T ) l nghim ca phng trnh vi phn tng phn xy dng trn

c s ba gi nh ca m hnh m gi ca tri phiu chit khu ti thi im t, o


hn ti thi im T. P ( t , T ) phi tha mn vi iu kin bin l gi ti thi im o
hn P ( T , T ) = 1 .
Trn c s cng thc tnh gi tri phiu (1.6), cui cng chng ta thu c
cng thc miu t cu trc k hn hon chnh l mt hm ca li sut ngn hn r ( t )
vi cc tham s a, b v lch chun ca phn phi li sut nh sau:
r ( t, T ) =

1
1
ln A ( t , T ) +
B ( t,T ) r ( T )
T t
T t

(1.9)

Cng thc (1.9) ni ln rng r ( t , T ) , li sut hon vn ca mt tri phiu


chit khu ti thi im t o hn ti thi im T, l mt hm tuyn tnh ca li sut
ngn hn r ( t ) v gi tr ca li sut ngn hn r ( t ) s quyt nh mc ca cu
trc k hn ti thi im t.
Bn cnh u im l d phn tch, m hnh Vasicek c mt s nhc im
chnh nh sau: v li sut ngn hn thng c phn b mt cch thng thng khi
chy m hnh, ng vi mi bin t chng ta u c th xc nh c bin r mang
du m v iu ny, theo quan im kinh t l khng th chp nhn c. n gin
l v li sut danh ngha khng th gim xung di mc 0% nu mt ngi gi
tin mt. Li sut danh ngha c th gim xung n mc 0% trong mt thi gian
di, ph thuc vo thi gian nm gi tin mt ca ngi .
1.2.1.2. M hnh Merton
M hnh Merton (1971) gi nh rng quy trnh li sut l mt quy trnh
Weiner tng hp c m t nh sau:
r ( t ) = r0 + t + W ( t )

(1.10)

Trong : r(t) l li sut ti thi im t, r0 l li sut tc thi ti thi im gc.


Ly vi phn c hai v ca phng trnh (1.10) ta c:

16

dr = dt + d W

(1.11)

Vi cc gi tr t nm trong on 0 t T , ta c c:
r ( T ) = r ( t ) + ( T t ) + ( W ( T) W ( t) )

(1.12)

Trong r ( T ) tun theo phn phi chun vi trung bnh l r ( t ) + ( T t ) v


lch chun l

( T t) .

V vy, R(t,T), li sut hon vn lin tc ti thi im t ca mt tri phiu chit


khu c mnh gi 1 o hn ti thi im T, c tnh nh sau:
R ( t, T ) =

1
1
ln

T t P ( r ( t ) , T t )

(1.13)

1
A( T t ) + r ( t )
T t
= R ( r ( t ) ,T t )
=

trong R l mt hm nh sau:
R ( t, T ) =

1
1
2 2
A ( T ) + r = T
T +r
T
2
6

(1.14)

Trong m hnh ca Merton, lch chun ca li sut tng lai th c nh


hng mnh n cc mc li sut k hn, v vy m hnh Merton c th a ra mc
li sut k hn nhn gi tr m i vi cc k hn di hn.
M hnh Vacisek v Merton c th c ng dng mt cch trc tip nh
gi cc cng c ti chnh. Mc d cc m hnh ni trn c th a ra kt qu l cc
gi tr li sut m trong mt s iu kin nht nh. Tuy nhin, thc t cho thy, li
sut m ch xut hin trong cc iu kin m hnh c th vi xc sut thp nn cc
m hnh loi ny vn c s dng ph bin.
1.2.1.3. M hnh Cox-Ingersoll-Ross (CIR)
Trong hai m hnh nghin cu trn, chng ta u thy rng nu gi nh li
sut ngn hn tun theo phn phi chun th kt qu s cho ra li sut k hn c gi

17

tr m. M hnh CIR (1985) ra i vi mc ch l khc phc vn ny. Theo ,


cu trc ng ca li sut ngn hn c m t l:
dr = a ( b r ) dt + rdW

(1.15)

Cng thc trn cng cp n vn hi phc trung bnh nh trong m hnh


Vacisek. Tuy nhin, im khc bit ca m hnh CIR l ton t thng k cha
lch chun c t trng ha theo

r . y l c im ni bt ca m hnh CIR v

n hm rng khi li sut ngn hn tng ln th lch chun gim i. Kt qu l


cc mc li sut k hn s lun lun nhn gi tr dng. Trong m hnh CIR, gi
ca tri phiu chit khu c tnh nh sau:
P ( t,T ) = A ( t , T ) e B (t ,T ) r

(1.16)

trong
B ( t, T ) =

(
( + a) ( e (

)
1) + 2

2 e ( T t ) 1
T t )

2 e( a + ) ( T t ) / 2

A(t , T ) =
( + a ) e ( T t ) 1 + 2

2 ab / 2

(1.17)

= a 2 + 2 2

Do , chng ta tnh c R(t,T), li sut hon vn ca mt tri phiu chit


khu ti thi im t o hn ti thi im T, nh sau:
R ( t , T ) = rB ( t , T ) log A(t , T ) / ( T t )

(1.18)

V li sut trong di hn R ( t , T ) l mt hm ca li sut ngn hn r ( t ) nn


ch cn duy nht li sut ngn hn c th tnh c ton b cu trc k hn hon
chnh.
Chnh v c xy dng da trn mc ch khc phc hn ch ca m hnh
Vacisek v Merton v kh nng a ra cc mc li sut k hn c gi tr m c

18

c lng t hai m hnh ni trn, m hnh CIR t ra u vit hn trong mi trng


li sut thp v n gii hn li sut khng m.
1.2.2. Cc m hnh t do chnh lch gi
M hnh t do chnh lch gi c mc ch l xy dng nn mt cu trc k
hn l thuyt tng thch vi cu trc thc t quan st c khin cho li sut
hon vn quan st trn th trng th c gi tr bng vi li sut hon vn c tnh
ton trn c s m hnh. V vy, m hnh t do chnh lch gi thng c xu hng
ph hp vi ng cong li sut chit khu quan st c trn th trng, v tc
hi phc trung bnh ca li sut ngn hn s ph thuc vo thi gian bi v xu
hng trung bnh trong tng lai hnh thnh bi li sut ngn hn c quyt nh
bi hnh dng ca ng cong hon vn ban u. iu ny hm rng l i vi
ng cong c h s gc dng th li sut ngn hn s tng ln v mt trung bnh
trong khi n s gim nu ng cong ban u c h s gc m. Ngc li, i vi
mt ng cong li (lm) th xu hng bin ng ca cc mc li sut ngn hn k
vng cng s li (lm). Trong khi , mc hi phc trung bnh trong m hnh im
cn bng th khng ph thuc vo thi gian.
V mt l thuyt, mc gi c tnh ton t bt k m hnh no m bng gi
tr c th quan st c trn th trng th m hnh thuc dng m hnh t do
chnh lch gi. Tuy nhin, y chng ta s dng thut ng m hnh v bn cht l
chng ta ang so snh gia mc gi tnh ton bng l thuyt vi mc gi thc s
ca th trng. Nu trong m hnh im cn bng th cu trc k hn l sn phm
u ra th trong m hnh t do chnh lch gi cu trc k hn quan st c trong
thc t s l nhn t u vo. Thc t cho thy, m hnh im cn bng khng th l
m hnh t do chnh lch gi trong mt s iu kin nht nh v n hm cha
nhng sai s nh ti mt s im trn ng cong do s to ra sai s ln i vi
c cu trc k hn. Vn c bn nht cn phi xem xt y l khi nim li sut
ngn hn phi ri ro.
V vy, nhng ngi ng dng m hnh trong thc t thng s dng m
hnh t do chnh lch gi nu h thnh cng trong vic lm cho m hnh tng

19

thch vi s liu thc t. Tuy nhin, vic p dng m hnh t do chnh lch gi
khng h n gin, cho nn trong mt s iu kin nht nh, m hnh im cn
bng c a thch hn. Chng hn nh trong iu kin m ngun d liu thc t
ng tin cy khng sn c v phong ph th ngi ta thng c xu hng chn m
hnh im cn bng. c bit, trong iu kin ca cc th trng ang pht trin th
khi m hnh ha cu trc k hn ca li sut ngi ta thy rng vic s dng m
hnh im cn bng th c hiu qu hn.
1.2.2.1. M hnh Ho-Lee
Ho-Lee (1986) l mt trong nhng nghin cu u tin v m hnh t do
chnh lch gi v s dng cch tip cn li nh thc vi hai tham s: lch chun
ca li sut ngn hn v phn b ri ro ca li sut ngn hn. M hnh ca Ho-Lee
s dng thng tin c sn t cu trc k hn hin hnh quan st c trn th trng
to ra m hnh l thuyt ph hp nht vi cu trc k hn hin hnh quan st
c. Tuy nhin, m hnh ny n nh mc bin ng l nh nhau cho cc mc li
sut giao ngay v mc li sut k hn nn cu trc bin ng dng ny ch ph hp
vi mt s ch th tham gia th trng nht nh. Bn cnh , m hnh ny cng
khng cp c n vn hi phc trung bnh.
1.2.2.2. M hnh Hull-White
Hull-White (1990) m rng m hnh Vasicek nhm to ra mt kt qu
phn nh chnh xc nht cu trc k hn hin hnh quan st c trn th trng.
M hnh Hull-White cng c bit n vi tn gi l m hnh Vasicek m rng.
Trong m hnh ny quy trnh li sut c m t nh sau:

dr = a r dt + dw(t)
a

(1.19)

trong a l tc hi phc trung bnh ca li sut v l hng s, l lch


chun ca li sut v l hng s. Tng t m hnh Vasicek, li sut c tc hi
phc trung bnh ph thuc thi gian. Nu nh trong m hnh Vacisek a # 0 v
=a.b trong b l mt hng s th trong m hnh ca Hull-White iu kin khng

20

ch n gin hn ch vi a # 0. u im ca m hnh Hull-White l khng nhng


c th phn nh chnh xc vi cu trc k hn ban u l d liu u vo ca m
hnh m cn c cu trc k hn c s bin ng mnh.
1.2.2.3. M hnh Black-Derman-Toy (BDT)
Trong cc m hnh ni trn th ch c tham s l mt hm s theo thi
gian. iu ny c ngha l s bin ng ca li sut ngn hn t l vi li sut ngn
hn tc thi, cho nn t l tng i gia mc bin ng so vi mc li sut l
hng s. Tuy nhin, do trong m hnh BDT tc thay i trung bnh ca li sut
phc tp hn trong cc m hnh m t trn, nn m hnh ny i hi vic biu
din ton hc ph hp vi c cu trc k hn hin hnh v bin ng li sut hin
hnh. M hnh ny cng phn nh c hin tng hi phc trung bnh.
V c bn, m hnh BDT da trn nhn t then cht l li sut ngn hn
hnh thnh cu trc k hn. S dng cch tip cn cy nh thc, trong nhnh th
nht c dng tnh li sut ngn hn hin hnh ca cc mc li sut ngn hn
ca mt k hn trong tng lai. Sau , cc mc li sut mi hnh thnh ny s tip
tc c s dng tnh ra cc mc li sut cho hai giai on tip theo. Vic tnh
ton c tip tc nh vy cho n khi ton b cu trc k hn c hnh thnh.
1.2.3. M hnh a nhn t
Nu nh m hnh mt nhn t ch m t c kiu thay i duy nht ca
ng cong li sut hon vn l dng dch chuyn song song th cc m hnh a
nhn t cho php gii thch c dng thc thay i phi song song hoc nhng thay
i v dc ca ng cong.
1.2.3.1. M hnh hai nhn t
M hnh a nhn t ra i sm nht l m hnh hai nhn t ca Brennan v
Schwartz (1982). M hnh ny s dng hai nhn t l quy lut thng k ca li sut
ngn hn r v li sut hon vn ca cc tri phiu chnh ph di hn. Trong m hnh
ny, hai nhn t ny bin ng c lp nn cho php vic dch chuyn song song v
phi song song ca ng cong li sut hon vn din ra.

21

Mt m hnh hai nhn t khc c pht trin trn c s m hnh ca


Brennan v Schwartz l m hnh trong hai nhn t c s dng l gi ca tri
phiu di hn v chnh lch gia li sut hon vn di hn v li sut ngn hn.
1.2.3.2. M hnh a nhn t Heath-Jarrow-Morton (HJM)
Heath-Jarrow-Morton (1992) tip cn bng cch m hnh ha ng cong k
hn nh l mt qu trnh sinh ra t ton b ng cong hon vn ban u ch
khng ch n thun da vo yu t li sut ngn hn. Trong , li sut giao ngay
tun theo quy lut thng k v ng cong li sut hon vn c to ra t m hnh
l mt hm ca cc nhn t mang tnh thng k. M hnh HJM s dng ng cong
li sut hon vn hin hnh v ng cong li sut hon vn k hn xc nh quy
lut thng k theo thi gian lin tc nhm mc ch m t s pht trin ca ton b
ng cong hon vn qua tng giai on thi gian c th. im ct li trong m
hnh ca HJM l yu t u vo ca m hnh l ng cong li sut k hn hin
hnh v mt hm s m t c s bin ng theo quy lut thng k ca li sut k
hn v trn c s cc yu t m hnh HJM cho php xy dng nn ton b cu
trc k hn ca li sut.
1.2.4. Cc k thut s dng phng php tham s
1.2.4.1. M hnh Nelson-Siegel
Bn cht ca k thut ny l m hnh ha li sut k hn bng cch s dng
hm s ha. Mt trong cc cng trnh pht trin sm nht k thut ny l m hnh
ca Nelson v Siegel (1987). Cch tip cn ca m hnh ny c hnh thnh trn
gi nh l nu bit c mi quan h gia li sut giao ngay v li sut k hn th
c th m hnh ha ng cong li sut giao ngay bng cch da trn trung bnh
hnh hc ca ng cong li sut k hn. Theo , Nelson-Siegel nh ngha ng
cong li sut k hn l mt hm ca cc tham s cn tm m nhng tham s ny th
hin mi lin quan ca li sut k hn n li sut ngn hn v hnh dng ca ng
cong k hn.

22

C th l cch tip cn ca Nelson-Siegel a ra mt hm linh ng cn


bng m t li sut k hn f(T) c bit n vi tn gi l hm Laguerre c
thm hng s nh sau:
f ( T ) = 0 + 1e T /1 +

2 T / 1
Te
1

(1.20)

trong : T l bin s c tnh ton da trn cc tham s 0 , 1 , 2 v 1 ; 0 , 1 , 2


(n v l %/nm) ln lt th hin sc mnh ca thnh phn di hn, ngn hn v
trung hn cu thnh nn li sut k hn; 1 l tham s thi gian (thng tnh theo
n v nm) m gi tr ln hay nh ca n tng ng s quyt nh n vic ng
cong l thuyt s phn nh tt ng cong thc t i vi cc k hn ngn hay di;
hnh dng ca ng cong li sut k hn f(T) s c th l n iu, hnh ch U
hoc hnh ch S ty thuc vo gi tr tham s 1 , 2 c lng c v s tim cn
vi gi tr 0 - cc mc li sut trong di hn. Cc tham s 0 , 1 , 2 v 1 ny phi
c c lng. i vi d liu theo thi gian nh cc b s liu v li sut th
phng php GMM (General Method of Moments) v ML (maximum likelihood) l
hai k thut ph bin nht c lng cc tham s nu trn.
Bit rng li sut giao ngay rs c tnh bng trung bnh ca cc li sut k
hn f(u) nh sau:
T

rs =

f ( u ) du

(1.21)

th cng thc (1.20) c th c dng tnh rs(T), mc li sut giao ngay ti thi
im T, nh sau:
rs ( T ) = 0 + ( 1 + 2 )

1
1 e T /1 ) 2 eT /1
(
T

(1.22)

Mt phng php tham s khc c xut bi Svensson (1994,1995) v


c bit n vi tn gi l m hnh Nelson-Siegel m rng. Bng cch thm mt
tham s vo trong m hnh gc ca Nelson-Siegel, m hnh mi cho php c nhiu

23

s linh ng hn nn ng cong li sut thu c c th m t ng cong k hn


f(T) vi nhiu im un hn. C th nh sau:
f ( T ) = 0 + 1e T /1 + 2

T T /1
T
e
+ 3 eT / 2
1
1

(1.23)

trong T l bin s c tnh ton da trn cc tham s 0 , 1 , 2 , 3, 2 v 1 . Cc


tham s 0 , 1 , 2 , 3, 2 v 1 ny phi c c lng. Nh vy, so vi m hnh gc
th m hnh mi ny cn phi c lng nhiu hn 2 tham s l 3, cho php m t
hnh dng ch U cc k hn o hn di hn v 2 cng l tham s thi gian
(thng tnh theo n v nm) quyt nh n vic ng cong hnh ch U cc k
hn o hn di hn c phn nh chnh xc hay khng hnh dng ng cong trong
thc t.
u im ca m hnh tham s l ng cong li sut hon vn l thuyt ph
hp vi ng cong quan st trong thc t cc k hn o hn di. Nhng cc
k hn o hn ngn th m hnh ny li biu hin khng tt bng cc m hnh li
sut ngn hn/m hnh mt nhn t.
1.2.4.2. M hnh hm ni trc bc ba (cubic spline model)
M hnh hm ni trc ra i vi mc ch l pht huy u im ca m
hnh tham s trong vic m phng tt cc mc li sut hon vn ca cc k hn o
hn di ng thi khc phc nhc im ca m hnh tham s cc k hn o hn
ngn.
Mt hm ni trc tng qut l mt ng cong c hnh thnh t cc on
a thc ring l c ni vi nhau ti cc im kt ni bit trc. V mt k thut,
trc honh s c chia thnh cc phn on c la chn sn (da trn cc im
kt ni bit trc) vi di nh nhau hoc khc nhau. Ti cc im kt ni cho
trc, ng cong v o hm bc mt ca n c tnh lin tc ti tt c cc im
nm trn ng cong. Mt hm ni trc bc ba c cng thc nh sau:

24

N 1

S ( x ) = x 3 + x 2 + x + + i x ki

(1.24)

i =1

trong , , , v l cc hng s v ki , i = [ 0, N ] l tp hp cc im kt ni
cho trc.
1.2.4.3. M hnh hm ni trc c bn (B-spline)
Bn cnh cng thc tng qut ca hm ni trc bc ba nh trn, ngi ta
cng thng to ra cc ng ni trc bng cch kt hp tuyn tnh cc ng ni
trc c bn li vi nhau. Phng php ny c tn gi l ni trc c bn. y l mt
cch bin i tng qut cho php hn ch cc vn v tr s ca cng thc (1.24).
Mt hm ni trc c bn bc n c th c vit di dng sau:
Bi ,n ( x ) =

x ki
k x
Bi ,n 1 ( x ) + i +n
Bi +1, n 1 ( x )
ki + n 1 ki
ki + n ki +1

(1.25)

trong Bi ,1 ( x) = 1 nu ki x ki +1 v Bi ,1 ( x) = 0 cho cc trng hp cn li.


Trong iu kin s im kt ni cho trc l ln th ngi ta c th s
dng cc m hnh ni trc ny ni suy. Tuy nhin, nu p dng trong vic hoch
nh chnh sch tin t th khng nn s dng m hnh ny v n khng to ra cc
ng cong t trn (Anderson-Sleath, 1999).
C th tng hp c im phn nh s s khc bit ca cc m hnh trong
vic xy dng ng cong li sut chun bng 1.1:
Bng 1.1: c im ca cc m hnh xy dng ng cong li sut chun
STT
1

M hnh
M hnh
mt
nhn t

Vacisek

c im m hnh
- Li sut ngn hn c ko v mc li sut trung bnh di hn
b vi tc a
- Quy trnh hi phc trung bnh c phn nh bi thng k
dW tun theo quy lut chun

- P(t,T) c quyt nh bi vic nh gi ti thi im t v gi


tr ca li sut giao ngay.
Merton

Quy trnh li sut l mt quy trnh Weiner tng hp

CIR

- c pht trin t m hnh Vacisek

25

- Trong cu trc ng ca li sut ngn hn, ton t thng k


lch chun c t trng ha theo r khin cho cc mc li
sut k hn mang gi tr dng.
2

M hnh
chnh
lch gi

M hnh
a nhn
t

M hnh
s dng
phng
php
tham s

Ho-Lee

- Mc bin ng li sut giao ngay v li sut k hn l nh


nhau
- Khng c s hi phc trung bnh

Hull-White

- Phn nh chnh xc cu trc k hn c s bin ng mnh.

BlackDermanToy

- Tnh ton c cu trc k hn v bin ng li sut hin hnh

Hai
t

- S dng quy lut thng k ca li sut ngn hn r v li sut


hon vn ca tri phiu chnh ph di hn

nhn

- S dng cch tip cn nh thc


- Phn nh c hin tng hi phc trung bnh

- M t c s dch chuyn song song v phi song song ca


ng cong li sut hon vn.
HealthJarrowMorton

- Li sut giao ngay tun theo quy lut thng k

NelsonSiegel

- Tm mi lin h gia li sut giao ngay v li sut k hn (xc


nh cc h s ca m hnh)

- ng cong li sut hon vn l mt hm ca cc nhn t


mang tnh cht thng k.

- T mt loi li sut ngn hn, s suy ra cc mc li sut


nhng k hn di hn.
Svenson

L s m rng ca m hnh Nelson-Siegel vi 2 bin mi c


a vo m hnh m t cc im un

Ni
trc
bc ba

ng cong li sut c hnh thnh t cc on a thc ring


l c ni vi nhau ti cc im bit trc

1.3. iu kin p dng cc m hnh xy dng ng cong li sut chun


1.3.1. Yu cu ca m hnh xy dng ng cong li sut chun
Vic xy dng ng cong li sut chun da trn nguyn l v cu trc k
hn ca li sut. V li sut gia cc k hn c mi lin h cht ch vi nhau theo
cu trc k hn ca li sut, theo li sut di hn bng trung bnh ca cc mc li
sut ngn hn. v cc m hnh u c xy dng da trn nguyn tc t mt loi
li sut (thng l ngn hn) tnh ton cc loi li sut khc (thng l di hn)
Mc ch ca m hnh ha cu trc k hn l xy dng c mt ng
cong l thuyt tha mn cc tiu chun sau: (i) phn nh ph hp cc mc li sut
k hn (ii) ng cong k hn c tnh ra t m hnh phi c trn cung
cp thng tin v cc mc li sut trong tng lai cng nh xu hng din bin ca

26

chng, phn nh c k vng v chnh sch tin t v (iii) cng t gi nh cng


tt, c th l:
Th nht, m hnh c th a ra c mt ng cong l thuyt khp vi s
liu hin hnh trn th trng.
Th hai, m hnh c th phn nh c din bin ca li sut theo thi gian
v din bin ny phi theo di c thng qua vic tnh ton c th trn c s cc
hm ton hc trc quan.
Th ba, m hnh phi m bo tnh hiu qu v kp thi trn c s cc ngun
lc c sn nh mc c sn v ng tin cy ca s liu, nng lc x l s liu ca
my tnh,...
T nhng yu cu ni trn, ta c th thy rng m hnh c s dng s a
ra kt qu chnh xc khi: (i) Li sut u vo phn nh tnh khch quan ca th
trng, (ii) Cc thng tin v th trng l minh bch, v (iii) Phi c th trng tri
phiu pht trin vi cc k hn a dng v khi lng pht hnh ln.
1.3.2. iu kin p dng ca cc m hnh xy dng ng cong li sut chun
Vic nghin cu cc m hnh xy dng ng cong li sut chun cho thy
mi m hnh s pht huy hiu qu ring bit trong vic xy dng ng cong li
sut chun ca tng quc gia. Trong phn ny, d n s lm r kh nng cng nh
iu kin p dng ca cc m hnh ni trn.
a. M hnh mt nhn t
y l loi m hnh n gin nht, trong s dng cc tham s c nh
c c lng t s liu lch s. M hnh mt nhn t rt linh hot trong vic s
dng s liu, c ngha l m hnh ny khng yu cu c th v ln ca s liu.
T mu s liu thu thp c, m hnh s c lng cc tham s v v c ng
cong li sut chun da trn bt k mt mc li sut no ti thi im hin ti c
la chn lm mc li gc.

27

T c im trn, ta thy rng m hnh mt nhn t c th c p dng


ngay c nhng nc ang pht trin vi su ca th trng ti chnh cn hn
ch hay th trng tri phiu chnh ph cha c pht trin vi cc k hn a dng
v khi lng ca cc t pht hnh khng nhiu v li sut u thu tri phiu
chnh ph cha thc s phn nh c quy lut cung cu trn th trng.
Bn cnh , khi hiu qu ca th trng mc thp, bao gm c hiu qu
v mt phn phi, v t chc hot ng v v thng tin dn n c s d liu thu
thp c b hn ch v ln, da trn quy trnh hi phc trung bnh ca li sut,
ngi ta vn c th xy dng c ng cong li sut chun theo m hnh mt
nhn t.
b. M hnh a nhn t
V bn cht, m hnh a nhn t s dng cc nhn t l quy lut thng k
ca li sut ngn hn r v li sut hon vn ca cc tri phiu chnh ph di hn (m
hnh Brennan v Schwartz) hoc m hnh ha ng cong k hn nh l mt qu
trnh sinh ra t ton b ng cong hon vn ban u ch khng ch n thun da
vo yu t li sut ngn hn (m hnh HJM).
Xut pht t c im trn, ta thy rng p dng m hnh a nhn t, li
sut giao ngay phi tun theo quy lut thng k ca li sut k hn. V vy, kim
nghim s tun theo quy lut thng k, s liu u vo phi ln v c tnh lin
tc. iu ny khin cho mt quc gia mun p dng m hnh a nhn t trong vic
xy dng ng cong li sut chun phi c mt th trng tri phiu pht trin, cc
t pht hnh phi m bo tnh lin tc trong mt thi gian di v c cc thng tin
lin quan n th trng tri phiu chnh ph phi minh bch, cung cp cc s
liu cn thit v th trng. Tuy nhin, mi ch l iu kin cn p dng m
hnh a nhn t. iu kin l cc s liu thu thp c v li sut giao ngay phi
tun theo quy lut thng k ca li sut k hn. V t c s ph hp nh vy gia
cc loi li sut nn trn thc t m hnh a nhn t khng c s dng ph bin
xy dng ng cong li sut chun ca cc nc.

28

c. M hnh chnh lch gi


Bn cht ca m hnh chnh lch gi l c lng cu trc k hn l thuyt
tng thch vi cu trc thc t quan st c khin cho li sut hon vn quan
st trn th trng c gi tr cn bng vi li sut hon vn c tnh ton trn c s
m hnh. Tuy nhin, vic lm cho m hnh tng thch vi s liu thc t khng h
n gin nu s dng cch tip cn nh thc vi hai tham s l lch chun v
phn b ri ro ca li sut ngn hn (m hnh Ho-Lee), hoc a thm bin vo m
hnh Vacisek (m hnh Hull-White v BDT).
Ngoi ra loi m hnh ny cng a ra gi nh rng tc hi phc trung
bnh ca li sut ngn hn ph thuc vo thi gian v yu cu cc s liu u vo
phi ln c lng cu trc k hn tng thch. iu ny ch c th c c
nhng nc c th trng tri phiu pht trin, li sut trn th trng phn nh
ng quan h cung cu. Thc t cho thy, m hnh ny t c p dng xy dng
ng cong li sut chun ca cc nc.
d. M hnh s dng phng php tham s
M hnh s dng phng php tham s c bn cht l m hnh ha li sut
k hn bng cch s dng cc hm s ha. Cc m hnh ny khng c nhiu gi
nh, tuy nhin c lng c chnh xc cc tham s u ca m hnh t s liu
sn c i hi phi c mt c s d liu ln. Trn l thuyt, khi s dng cc
phng php GMM hay MLE th c s d liu cng ln s cho php c lng
cng chnh xc cc tham s ca m hnh.
p ng yu cu ny, quc gia mun xy dng ng cong li sut chun
da trn phng php tham s phi c th trng tri phiu pht trin vi k hn
pht hnh ca tri phiu chnh ph l a dng, cc t pht hnh l thng xuyn
vi khi lng pht hnh ln. Quan trng hn, cc thng tin trn th trng phi
t c s minh bch v phn nh ng quan h cung cu trn th trng l hiu
qu. Thc t cho thy, nhng nc pht trin nh M, Nht... mi c th m bo
c nhng yu cu ni trn.

29

Bng 1.2. iu kin p dng cc m hnh xy dng ng cong li sut chun


M hnh

ngha ca m hnh

iu kin p dng

Hn ch

M
hnh
mt nhn
t

- Cho php xy dng mt


cu trc k hn hon chnh
v mt loi li sut ngn
hn

- p dng c hiu qu ngay c


khi ngun s liu khng sn c

- Ch m t c kiu thay
i duy nht ca ng
cong li sut hon vn l
dng dch chuyn song
song

- Sn phm u ra l cu
trc k hn

- c khuyn ngh s dng


cc nc m th trng tri
phiu cha thc s pht trin,
s liu cn hn ch.

- S dng tham s c nh
c c lng t s liu
lch s

- S bin ng ca chui
s liu u vo phi n
nh

M
hnh
a nhn t

Gii thch c dng thc


thay i phi song song
hoc nhng thay i v
dc

Mun s dng m hnh a


nhn t cn phi c thi gian,
kh nng x l s liu mnh
ca my tnh, v s liu ln

Ch p dng c hiu qu khi


li sut giao ngay tun theo
quy lut thng k

M
hnh
chnh
lch gi

Xy dng cu trc k hn
l thuyt tng thch vi
cu trc thc t quan st
c

- Ch p dng khi ngun d


liu thc t phong ph.

- Yu cu s liu phi
ln

- Thc t l m hnh ny
khng c p dng ph bin

- Tc hi phc trung
bnh ca li sut ngn hn
ph thuc vo thi gian

M
hnh
s dng
phng
php tham
s

Nu bit c mi quan h
gia li sut giao ngay v
li sut k hn th c th
m hnh ha ng cong
li sut giao ngay bng
cch da trn trong bnh
ca ng cong li sut k
hn

- c p dng nhng
nc c th trng tri phiu
pht trin.

- Ch c p dng khi th
trng tri phiu pht trin
v cc thng tin trn th
trng l hiu qu

- M hnh ny c coi l xc
nh chnh xc cc mc li
sut th trng

- Phi c c s d liu
ln

1.4. Thc t xy dng ng cong li sut chun ca mt s nc


1.4.1.Thc t ca cc nc
1.4.1.1. Thc t ca M
Hin nay, M l nc cng b ng cong li sut chun mt cch rng ri
trn cc phng tin thng tin i chng. Chng ta c th tham kho cc s liu v
li sut tri phiu chnh ph M trn website ca Kho bc Hoa K 1 v c th tham

Website ca Kho bc Hoa K: http://www.treas.gov

30

kho ng cong li sut chun trn webstie v ti chnh c tn Bloomberg 2. Thc


t cho thy, vic M la chn m hnh xy dng ng cong li sut chun ph
thuc rt ln vo s pht trin ca th trng tri phiu chnh ph nc ny.
* Th trng tri phiu ca M
Th trng tri phiu chnh ph M bt u hnh thnh t nm 1776 vi vic
B ti chnh M di s u quyn ca Quc hi M pht hnh cc chng khon n
nhm p ng nhu cu vn cho Cuc chin cch mng ginh c lp 1776. Tuy
nhin, khi lng pht hnh vo giai on ny kh nh v ch bt u tng mnh
vo giai on Ni chin v Chin tranh th gii ln th I, v thc s bng n trong
nhng nm 40 trc nhu cu ti tr cho cc ph tn ca cuc chin tranh th gii ln
II. Trong nhng nm gn y, th trng tri phiu chnh ph M vn tip tc pht
trin mnh m, tr thnh th trng tri phiu ln nht v c tnh thanh khon cao
nht th gii.
Vic iu hnh chnh sch tin t ca FED thng qua vic kim sot li sut
ngn hn, li sut ti cp vn - l li sut m FED tnh cho nhng khon vay qua
m ca cc ngn hng trn th trng lin ngn hng. V vy, FED l ngi c vai
tr cung cp im u ca ng cong li sut v kim sot phn ng cong li
sut trong ngn hn hay kim sot on pha di ca ng cong li sut.
Chnh ph M xy dng mt lch trnh pht hnh tri phiu chnh ph
thng xuyn v c h thng. Vic u thu tri phiu chnh ph c thc hin
theo nguyn tc u thu cnh tranh. Mc li sut t thu phi cnh tranh c th
c chn nu s tin t thu ln ti 1 triu USD. Ngoi ra, Chnh ph M
ngng vic pht hnh tri phiu k hn 20 nm t nm 1986, k hn 4 nm t nm
1991, k hn 7 nm t nm 1993, k hn 3 nm t nm 1998 v hon vic pht
hnh tri phiu loi k hn 30 nm t nm 2002 nhm tp trung vo vic pht hnh
cc loi tri phiu c th trng a thch hn khi m mc d n tri phiu chnh
ph trong nhng nm gn y ang c xu hng gim.

Website ca Bloomberg: http://www.bloomberg.com

31

Nh vy, Chnh ph M pht trin c mt th trng tri phiu chnh


ph vi cc k hn a dng, v qu trnh ny tri qua vic th nghim pht hnh
nhiu loi vi cc k hn khc nhau, c nhng loi k hn tip tc c tp trung
pht hnh nhng cng c nhng loi k hn khng cn c tip tc pht hnh
hoc tm thi b tr hon. Lch trnh pht hnh tri phiu chnh ph c tin hnh
mt cch thng xuyn, c k hoch c th v rt n nh, iu ny gip cho th
trng c th d bo chnh xc khi lng cng nh thi gian m Chnh ph pht
hnh cc loi tri phiu. Thc t cho thy Chnh ph M ang tp trung pht hnh
cc tri phiu c k hn trung hn l ch yu (57%), cc tri phiu k hn ngn v
di chim t trng tng ng nhau l 20%.
* K thut xy dng ng cong li sut chun
Vic xy dng v cng b li sut chun ca M da trn c im ca th
trng tri phiu trong nc. Thc t cho thy, th trng tri phiu chnh ph pht
trin vi nhng t pht hnh lin tc, cc k hn ca tri phiu rt a dng v k
hn v th trng th cp pht trin l nhng nguyn nhn khin li sut tri phiu
chnh ph M c la chn lm li sut chun ca th trng.
Sau khi chn c loi li sut, phn tip theo l cng vic tnh ton v cng
b li sut ca cc loi tri phiu c cng thi gian cn li. Hin nay, trn website
ca Kho Bc M cng ch cng b cc mc li sut ri rc ca cc cng c n c c
cc mc thi gian cn li khc nhau nh: 1 thng, 3 thng, 6 thng, 9 thng, 1 nm,
2 nm, 3 nm, 5 nm, 7 nm, 10 nm, 20 nm v 30 nm3. Vic cng b ng
cong li sut chun ca tri phiu chnh ph M c th c tm thy trn trang
thng tin ti chnh nh Bloomberg. Di y l hnh nh minh ha ca ng cong
li sut chun ca M trn trang ny.
Biu 1.2: Hnh nh ng cong li sut chun ca M (thng 12/2009)

Tham kho thm ti: http://www.treas.gov/offices/domestic-finance/debt-management/interestrate/yield.shtml

32

Ngun: Bloomberg
Khi tm hiu, vic xy dng ng cong li sut chun ni trn ca M da
trn phng php lun v cu trc k hn ca li sut. iu ny c ngha l, t mt
mc li sut c bit ti thi im hin ti, ngi ta s xc nh cc mc li sut
k hn trong tng lai. K thut cc nh cc mc li sut cn li da trn vic p
dng m hnh Svenson hay cn gi l Nelson-Siegel m rng vi vic a thm 2
bin s mi vo m hnh Nelson-Siegel cho php m t cc k hn o hn di
v cc im un ca th (nu c) mt cch chnh xc. Thc t cho thy, vic p
dng m hnh Svenson mi cho php c nhiu s linh ng hn nn ng cong li
sut thu c c th m t ng cong k hn f(T) vi nhiu im un hn.
u tin, ngi ta s s dng nhng s liu trong qu kh a vo m
hnh Svenson nhm xc nh cc h s 0 , 1 , 2 , 3, 2 v 1 . xc nh cc h s
ny, ngi ta s dng c hai phng php GMM (General Method of Moments) v
MLE (Maximum Likelihood Estimator) nh gi. Nh vy, so vi cc nc
khc, vic xc nh cc h s ni trn khi xy dng ng cong li sut chun ca
M rt phc tp. S d cn phi lm nh vy v cng xc nh cc h s ni trn
chnh xc bao nhiu th s gip cho vic xc nh li sut di hn (10 nm, 20 nm,
30 nm v lu hn) cng chnh xc by nhiu.
Sau khi xc nh c cc h s ni trn, ngi ta s dng li sut tri phiu
chnh ph M vi thi hn 1 thng lm bin s u vo ca m hnh. Theo ,
li sut cc k hn cn li s c tnh da trn cu trc k hn ca li sut.
1.4.1.2. Thc t ca Malaysia

33

Hin nay, chng ta c th tham kho mc li sut tri phiu chnh ph


Malaysia theo cc k hn trn website ca ngn hng trung ng Malaysia 4. Ngoi
ra, ng cong li sut chun ca Malaysia cn c cng b trn website ca
Ngn hng Pht trin Chu 5.
* Th trng tri phiu ca Malaysia
Hin ti, th trng tri phiu Malaysia l th trung tri phiu ln th 2
trong s th trng tri phiu ca cc nc chu ang pht trin, ng sau Hn
Quc, chim 55% trong tng GDP (so vi con s 90% GDP ca cc nc pht
trin).
iu ng ni l khi nhn vo c cu ca th trng tri phiu cc nc ni
trn, ta cn thy rng, Malaysia, t trng tri phiu chnh ph v tri phiu cng ty
chim mt t l cn xng. Malaysia, tri phiu chnh ph (Malaysian
Government Securities - MGS) l nhng tri phiu trung v di hn vi mc li sut
c nh do chnh ph pht hnh vi mc ch l h tr khu vc cng cng pht
trin. Cc loi tri phiu ny c ghi bng ng ringgit v c mnh gi trung bnh
l 1000RM.
Trc nm 1989, tri phiu chnh ph c bn vi s tin ng bng mnh
gi tri phiu v ngi mua c hng coupon theo nh k vi s tin c
xc nh t trc. Vic pht hnh tri phiu chnh ph c din ra theo hnh thc
u thu tri phiu gia cc nh thu khc nhau. Vic u thu c thc hin vi
cc tri phiu c k hn ln n 10 nm. Vi cc tri phiu c k hn trn 10 nm
c bn vi mnh gi v li sut coupon c xc nh i vi mt s nh u t
c t chc nh Ngn hng tit kim quc gia Malaysia.
Cc k hn ca tri phiu Malaysia c th l 3, 5, 7, 10, 15 v 20 nm. Tn
sut v quy m pht hnh tri phiu chnh ph ph thuc v mc tiu ca chnh ph
nhm b p thm ht ngn sch hoc thay th cc tri phiu n lc o hn.
* K thut xy dng ng cong li sut chun
4
5

Tham kho ti Website: http://www.bnm.gov.my/ mc Rates and Statistics


Tham kho ti Website: http://asianbondsonline.adb.org/malaysia.php

34

Thc t cho thy, vic xy dng v cng b ng cong li sut chun ca


Malaysia da trn k thut n gin hn so vi M. Khi tm hiu v k thut xy
dng ng cong li sut chun ca Malaysia, chng ti thy rng ng cong li
sut chun ca nc ny c xy dng theo m hnh Vacisek. u tin, ngi ta
s dng s liu trong qu kh xc nh cc h s ca m hnh Vacisek. Khi ly
s liu trong qu kh ( bit trc) l s liu u vo ca m hnh Vacisek, ngi
ta c th d dng c lng cc h s a, b v ca m hnh thng qua phng
php hp l cc i (Maximum Likelihood). Sau khi xc nh c cc h s ni
trn, vic tip theo l la chn li sut u ca m hnh v ng cong li sut
chun. Nh trnh by trn, m hnh Vacisek cho php c lng li sut trung
v di hn da trn li sut ngn hn u vo, do vic la chn li sut u vo
khng chnh xc s nh hng n s chnh xc ca ng cong. Trn l thuyt, li
sut u vo cng ngn th ng cong li sut cng c phn nh chnh xc. Tuy
nhin, do hn ch v s liu, khi xc nh li sut u vo ca m hnh, ngi ta s
dng li sut tri phiu chnh ph vi k hn 7 ngy. Vi li sut u vo nh vy,
m hnh Vacisek, thng qua cu trc k hn ca li sut, c lng c li sut
cc thi im khc nhau trong tng lai t v m phng ng cong LS chun.
Biu 1.3: Hnh nh ng cong li sut chun ca Malaysia

Ngun: http://asianbondsonline.adb.org/malaysia.php

1.4.1.3. Thc t ca Singapore

35

Hin nay, chng ta c th tham kho mc li sut tri phiu chnh ph


Singapore theo cc k hn trn website ca Cc Qun l Tin t (Monetary
Authority of Singapore - MAS)6. Ngoi ra, trn website ca Ngn hng Pht trin
Chu 7 cng cng b ng cong li sut chun ca Singapore.
* Th trng tri phiu Singapore
Singapore c bit n nh l mt trung tm ti chnh ln ca chu v
th gii. Trong th trng ti chnh ca nc ny, th trng tri phiu chnh ph
ng vai tr quan trng.
Trc nm 1998, th trng tri phiu ca Singapore cha pht trin v Chnh
ph duy tr tnh trng thng d NSNN v khng c nhu cu tng vn trn th trng vn.
Tri phiu Chnh ph Singapore (Singapore Government Securities - SGSs) l cng c
n do Chnh ph pht hnh nhm p ng nhu cu chi tiu ca ngn sch v to ra cng
c ca th trng ti chnh tin t. Cc qun l tin t Singapore (ng vai tr nh l
NHTW ca Singapore MAS) l i l pht hnh tri phiu ca Chnh ph.
Trc nm 1998, ng cong li sut tri di trn 6 k hn: 3 thng, 6 thng, 1
nm, 2 nm, 5 nm v 7 nm. n nm 2004, ng cong li sut ko di thm t dng
k hn 7 nm n dng k hn 15 nm. Trong nhng nm gn y, do nhu cu v
tri phiu c k hn di hn bt u tng ln, v vy n nm 2003, ng cong li sut
ko di thm nh vo vic TPCP k hn 20 nm c pht hnh bi y ban giao
thng ng b.
Lch trnh pht hnh SGS ca nm sau c MAS thng bo vo cui nm
trc v c k hoch r rng. Vic u thu SGS c p dng theo hai phng
thc l u thu cnh tranh v u thu khng cnh tranh, trong u thu khng
cnh tranh c gii hn mc ti a l 40% tng s SGS d kin pht hnh trong
phin u thu . Khi lng u thu khng cnh tranh c p dng theo mc
li sut trung bnh ca cc mc li sut trng thu trong u thu cnh tranh (i

6
7

Tham kho ti Website: http://www.mas.gov.sg/data_room/Financial_Databases.html


Tham kho ti Website: http://asianbondsonline.adb.org/singapore.php

36

vi TPKB) v li sut trng thu thng nht (i vi Tri phiu). Mc t thu ca


mt n thu l bi s ca S$ 1000 (mc ti thiu l 1000 SGD).
Th trng th cp SGS ht sc pht trin vi khi lng giao dch trung bnh
hng ngy ca th trng th cp SGS ln ti hn 2500 t SGD, gp rt nhiu ln doanh
s pht hnh trn th trng s cp l 60 t SGD (2003). T nm 1998 n 2004, d n
tri phiu chnh ph v tn phiu kho bc tng khong 152% .
i vi cc tri phiu chnh ph ch t khi lng giao dch nh th s c
MAS mua li tp trung vo vic pht hnh cc tri phiu chnh ph khc c khi
lng giao dch ln hn. Hng nm, Chnh ph Singapore vn pht hnh mt khi
lng khng l SGS to cng c ti chnh nhm vn hnh linh hot v c hiu
qu th trng ti chnh - tin t. Doanh s pht hnh SGS tng ln mnh m, nu
nh cui nm 1990 s d pht hnh SGS mi ch t 8,68 t SGD (chim 13,1%
GDP), 1995 l 18,6 t SGD th n 30/6/2004, s d SGS ln ti 64 t SGD
(chim 40,2% GDP).
MAS lun n lc trong vic pht trin mt th trng Repo hiu qu nhm
tng cng tnh thanh khon ca th trng tri phiu v khuyn khch cc giao dch
trn th trng. Mt th trng repo si ng, c tnh thanh khon cao s gp phn
lm nn s pht trin mnh m ca th trng SGS v th trng n trong nc.
Hin nay, th trng Repo Singapore cho php cc ngn hng giao dch cc hp
ng Repo c gi tr ln ti 20 triu SGD vi cc t chc phi ngn hng v i tc
nc ngoi.
* K thut xy dng ng cong li sut chun ca Singapore
Theo nghin cu ca nhm ti, ng cong li sut chun ca Singapore
cng b trn website ca Ngn hng Pht trin chu (ADB) c xy dng trn
c s p dng m hnh Nelson-Siegel. K thut xy dng ng cong li sut chun
nh sau: Vi mc li sut o hn ca tri phiu khi pht hnh c bit, thng
qua phng php hp l cc i (Maximun Likelihood), ngi ta s xc nh c
cc tham s ca m hnh Nelson-Siegel nh 0 , 1 , 1 . Sau khi xc nh c

37

cc tham s ny, vic tip theo l xc nh li sut giao ngay ca tri phiu Chnh
ph mt thi im bt k. Thng qua vic xc nh ny, ngi ta c th v ng
cong li sut ca tri phiu Chnh ph (ng cong li sut chun) ti mi thi
im. ng cong li sut chun, do , c tnh lin tc cao. Di y l hnh nh
ng cong li sut chun ca Singapore c cng b trn website ca Ngn hng
Pht trin chu .

Biu 1.4: Hnh nh ng cong li sut chun ca Singapore

Ngun: http://asianbondsonline.adb.org/singapore.php
1.4.2. Bi hc t vic xy dng ng cong li sut chun ca cc nc
Nghin cu l thuyt cho thy, mi m hnh c xy dng trn mt gi
nh ring v cc nc khi la chn m hnh u xem xt s ph hp ca cc gi
nh i vi trng hp ca ring mnh.
Thng qua vic nghin cu tnh hnh thc t v xy dng ng cong li
sut chun ca mt s nc ni trn, chng ta thy rng vic la chn m hnh
xy dng ng cong li sut chun ca cc nc ny ph thuc vo rt nhiu yu
t nh mc pht trin ca th trng tri phiu, mc a dng v cc k hn

38

ca tri phiu chnh ph, khi lng cc t pht hnh, tnh hiu qu ca th trng
cng nh s sn c ca s liu...
Nc M vi th trng tri phiu pht trin mc cao, tri phiu chnh ph
a dng v k hn, khi lng pht hnh ln v cc t pht hnh l lin tc. Ngoi
ra, li sut tri phiu chnh ph nc ny phn nh tng i trung thc mi quan
h cung cu trn th trng. Ngoi ra, s liu c th thu thp c v li sut tri
phiu chnh ph M l rt sn c. chnh l l do M la chn m hnh Svenson
xy dng ng cong li sut chun cho mnh.
Ngc li, vi nhng nc c th trng tri phiu cha pht trin mc cao
nh Malaysia, m hnh Vacisek c la chn xy dng ng cong li sut
chun. Thc t cho thy, th trng tri phiu chnh ph ca Malaysia mi chim
khong 30% trong tng GDP, tri phiu chnh ph ch yu l nhng tri phiu trung
v di hn. Hn na mc li sut ca cc loi tri phiu ny thng l c nh do
chnh ph ban hnh, v vy khng phn nh ng mi quan h cung cu trn th
trng. Mt khc, tn sut cng nh quy m pht hnh ca tri phiu chnh ph ph
thuc vo mc tiu b p thm ht ngn sch hoc thay th cho tri phiu sp o
hn. Cn c vo cc gi nh m hnh Vacisek v c im ca th trng tri phiu
Malaysia, vic la chn m hnh Vacisek xy dng ng cong li sut chun l
ph hp.
Singapore c th trng tri phiu chnh ph tng i pht trin vi t l
tri phiu chnh ph chim khong 45% trong tng GDP, cc k hn ca tri phiu
chnh ph tri di trn cc k hn t 3 thng n 20 nm v t l tri phiu chnh
ph ang tng dn, vic u thu tri phiu chnh ph c thc hin ch yu theo
hnh thc u thu cnh tranh (khong 60%). T nhng c im trn, ta c th a
ra nhn xt rng cng vi s pht trin ca th trng tri phiu, cc mc li sut
ca tri phiu chnh ph nc ny mang tnh th trng, tc l da trn mi quan
h cung cu. Bn cnh , cc s liu c lin quan n li sut, n cc t u thu
cng nh cc loi tri phiu chnh ph c cng b cng khai trn website ca

39

Cc Qun l tin t. V vy, Singapore la chn m hnh Nelson-Siegel xy


dng ng cong li sut chun cho ring mnh.
im quan trng rt ra t qu trnh nghin cu pha trn l chng ta s xy
dng loi ng cong no v bng m hnh no. Tip cn t gic NHTW th
chng ta c th xy dng cu trc k hn ca li sut hay ng cong li sut hon
vn giao ngay hoc ng cong li sut ca tri phiu chit khu.
Th nht, ng cong li sut hon vn giao ngay khc phc c nhng
hn ch ca ng cong li sut hon vn n k o hn thng thng v do
cht lng thng tin hm cha cng nh kh nng d bo ca n s cao hn.
Th hai, vic hnh thnh cu trc k hn ca li sut cng khng nht thit
i hi phi c d liu v li sut hon vn ca cc cng c n trn th trng m
hon ton c th da trn cc loi li sut khc hin hnh trn th trng tin t nh
li sut lin ngn hng xy dng.
Th ba, t ng cong li sut hon vn giao ngay ngi ta c th hnh
thnh nn c cc loi ng cong khc chng hn nh ng cong li sut k
hn phc v cho cc mc ch nh gi cng nh u t khc.
Th t, nu th trng tri phiu chnh ph thanh khon cao v mc gi giao
dch thc s quan st c cng khng sn c vi mc tin cy cao th vic xy
dng ng cong li sut hon vn n k o hn thng thng da trn tri phiu
chnh ph vi cc k hn v coupon khc nhau s i hi thi gian rt ln.
Cui cng, tt c cc m hnh m chng ta nghin cu u cho php vic
m phng cu trc k hn ca li sut v mt l thuyt da trn cc d liu quan st
c. D liu u vo ca mi m hnh c th n gin v phc tp khc nhau
nhng kt qu u ra u thng nht l cu trc k hn l thuyt. Mi m hnh u
cha nhng u nhc im nht nh xt trn gc l thuyt cng nh ng dng
thc t.
Phn 1 ca d n nghin cu cc m hnh xy dng ng cong li sut
chun vi nhng c im v iu kin p dng. ng thi tm hiu thc t ca mt

40

s quc gia trong vic xy dng ng cong li sut chun. la chn mt m


hnh ph hp v loi li sut tng thch cho vic xy dng ng cong li sut
chun ca Vit Nam, chng 2 ca d n s nghin cu c im th trng cc
cng c n Vit Nam.

41

PHN 2
C IM TH TRNG CC CNG C N VIT NAM

Phn 2 ca d n nghin cu thc trng qui m th trng cc cng c n


Vit Nam v c im v tnh thanh khon, li sut ca mi th trng. Mc ch
ca vic nghin cu l tm ra mc li sut ca mt th trng ph hp xy dng
ng cong li sut chun cho Vit Nam. Th trng c la chn phi p ng
c yu cu ln v qui m, tnh thanh khon cao, li sut mang tnh th trng.
ng thi li sut c la chn lm c s xy dng ng cong li sut chun
phi phan anh c kha nng va mc anh hng cua CSTT i vi thi trng tai
chinh. la chn li sut ph hp cho vic xy dng ng cong li sut chun
ca Vit Nam, d n nghin cu th trng cc cng c n theo 3 b phn: Th
trng tri phiu chnh ph; Th trng tri phiu doanh nghip v Th trng tn
dng ngn hng.
2.1.Th trng tri phiu Chnh ph
2.1.1. Thc trng th trng tri phiu Chnh ph
Theo iu 4 Ngh nh s 141/2003/N-CP ngy 20/11/2003 ca Chnh ph
"V vic pht hnh tri phiu Chnh ph, tri phiu c Chnh ph bo lnh v tri
phiu Chnh quyn a phng", tri phiu Chnh ph bao gm: Tn phiu Kho bc;
Tri phiu Kho bc; Tri phiu cng trnh trung ng; Tri phiu u t; Cng tri
xy dng T quc; Tri phiu ngoi t.
TPCP ngn hn l Tn phiu kho bc c k hn di 01 nm do Kho bc
Nh nc pht hnh nhm pht trin th trng tin t v huy ng vn b p
thiu ht tm thi ca ngn sch nh nc trong nm ti chnh. Theo Thng t s
19/2004/TT-BTC Hng dn vic u thu tn phiu kho bc v tri phiu ngoi t
qua Ngn hng Nh nc Vit Nam, Tn phiu kho bc c cc loi k hn: 91 ngy,
182 ngy, 273 ngy v 364 ngy.

42

TPCP di hn c k hn t 1 nm tr ln. Hin nay tri phiu Chnh ph


c pht hnh vi thi hn 2 nm, 3 nm, 5 nm, 7 nm n 10 nm v 15 nm.
Nh vy, theo nhng vn bn hin hnh ca Vit Nam, TPCP tri di 10 k hn t
91 ngy, 182 ngy, 273 ngy, 364 ngy; 2 nm, 3 nm, 5 nm, 7 nm n 10 nm
v 15 nm. Song trn thc t loi TPCP ang lu hnh hin nay c thi hn ngn
nht l TPKB 364 ngy. Vo cui nm 2001, KBNN cng tng pht hnh tn
phiu thi hn 6 thng, ri n cui nm 2002, pht hnh mt t tn phiu thi hn
9 thng. Tuy nhin cc t pht hnh u nh l v khng c k hoch trc,
hn na cc tn phiu ny u mn hn.
2.1.1.1. Pht hnh tri phiu Chnh ph
a/ K hoch pht hnh tri phiu Chnh ph
T nm 2007, KBNN trin khai n pht hnh TPCP l ln. B Ti
chnh xy dng k hoch pht hnh hng nm v lch trnh pht hnh TPCP tng
qu. Cn c nhim v huy ng vn c giao trong mt nm, KBNN d kin pht
hnh cc loi tri phiu k hn t 2 nm n 15 nm, mi loi k hn s pht hnh
khong 4-5 l ln, mi l c khi lng tnh theo mnh gi t nht 1.000 t ng tr
ln vi thi hn pht hnh thng l mt qu. Trng hp cc loi tri phiu c k
hn di hn 10 nm c th pht hnh b sung vo cc loi tri phiu pht hnh t
nhng nm trc. Ngy pht hnh tri phiu l ngy pht hnh t 1 ca l tri
phiu, ngy pht hnh cc t b sung c thc hin u n sau ngy pht hnh
t u tin v c cng b cng khai cho cc nh u t hng qu. u nm
2007, KBNN pht hnh thnh cng l u tin c tng khi lng tnh theo
mnh gi l 1.000 t ng, l ny pht hnh lm ba t vo cc ngy 19/3, 27/4 v
17/5, c cng ngy n hn thanh ton l 19/3/2012, li sut thanh ton hng nm
(7,8%/nm).
Nm 2008 theo Ngh quyt s 08/2007/QH12 ngy 12/11/2007 v d ton
ngn sch nh nc nm 2008, Quc hi ph chun nm 2008 pht hnh tri
phiu Chnh ph khng qu 37.000 t ng, trong u t cho cc d n, cng
trnh giao thng thu li khng qu 28.000 t ng, phn cn li s dng u t

43

xy dng, nng cp bnh vin tuyn huyn, tip tc thc hin chng trnh kin c
ha trng lp hc. Trn c s Kho bc Nh nc lp k hoch huy ng
tri phiu hng qu. K hoch huy ng vn thng qua pht hnh TPCP cng c
xy dng cho nhng nm 2009 v 2010.
b/ Phng thc pht hnh tri phiu Chnh ph
- Bn l qua h thng Kho bc Nh nc
y l phng thc pht hnh tri phiu ch yu Vit Nam trong nhng nm
u thp k 90. T nm 2006 khi lng TPCP pht hnh qua h thng KBNN
gim hn trong tng gi tr tri phiu c pht hnh. Do hn ch c nhng
nhc im ca vic pht hnh TPCP qua knh ny nh thi gian pht hnh di, chi
ph cao, manh mn, kh thc hin vic nim yt v giao dch trn th trng chng
khon.
- Pht hnh tn phiu kho bc qua u thu ti NHNN
Ngh nh 72/1995/N-CP nh du mt bc chuyn bin quan trng
trong qu trnh pht trin th trng TPCP. y l vn bn php l u tin iu
chnh hot ng pht hnh TPCP Vit Nam vi vic u thu tn phiu kho bc
qua NHNN.
Theo Thng t 19/2004/TT-BTC, hin nay c hai loi tri phiu ang c
u thu ti NHNNVN l Tn phiu kho bc Nh nc v Tri phiu Chnh ph
bng ngoi t (tri phiu ngoi t).
Nguyn tc u thu: Cng khai, bnh ng v quyn li v ngha v gia
cc thnh vin; B mt thng tin t thu ca cc thnh vin v li sut trn (nu
c); n v trng thu c trch nhim mua TPCP theo khi lng v li sut trng
thu c thng bo.
- Pht hnh TPCP qua u thu ti S giao dch chng khon
Thng 6/2008 B Ti chnh va c quyt nh s 46/2008/Q - BTC ban
hnh quy ch qun l giao dch tri phiu Chnh ph ti TTGDCK H Ni (nay l

44

S giao dch chng khon H Ni - HNX) to c s php l cho hot ng qun l


giao dch TPCP chuyn bit ti HNX. Quy ch ny quy nh v hot ng ng k
nim yt, cng b thng tin, thnh vin giao dch tri phiu Chnh ph, giao dch v
qun l giao dch TPCP nim yt ti HNX.
Theo Quy ch, TPCP c giao dch trn h thng giao dch ca HNX l cc
loi TPCP, tri phiu chnh quyn a phng v tri phiu do Chnh ph bo lnh
ng k nim yt, c k hn danh ngha trn 1 nm.
- Bo lnh pht hnh TPCP
KBNN bt u pht hnh tri phiu theo phng thc ny t nm 2000 bng
vic u thc cho cc cng ty chng khon, cc NHTM, cng ty ti chnh thc hin
vic bn chng khon cho cc nh u t v c hng ph bo lnh pht hnh.
i tng tham gia vo th trng u thu v bo lnh pht hnh TPCP
cha nhiu, ch yu l cc NHTM, cc cng ty chng khon, cng ty bo him.
Vic phn phi TPCP ra th trng cn hn ch. V vy, mt khi lng tri phiu
ln pht hnh qua u thu hay bo lnh khng n c vi cng chng m
c gi li gn nh 100%. S thnh vin thc s tham gia u thu TPCP cn hn
ch trong tp trung ch yu vo mt s NHTM ln, s tham gia ca cc thnh
vin khc khng ng k. Th trng tri phiu vn cha thc s hp dn cc nh
u t v giao dch tri phiu i hi mt lng vn ln, ch thch hp vi cc nh
u t c t chc.
- Pht hnh qua knh Bo him X hi mua
T nm 2003 mt lng TPCP c pht hnh bng vic mua ca Bo him
x hi. n nm 2006, gi tr TPCP Bo him X hi mua t 14 nghn t. Lng
TPCP pht hnh qua knh ny l rt t.
2.1.1.2. Qui m ca th trng
a/ Gi tr tri phiu Chnh ph pht hnh
Gi tr pht hnh TPCP tng ln t nm 2006 n nm 2007 (nm 2006 l
29.400 t ng, nm 2007 ln 50.300 t ng). Hai nm 2008 - 2009 gi tr pht

45

hnh TPCP li gim mc 20.350 t ng v 16.800 t ng tng ng (biu


2.1).
Biu 2.1 : Gi tr tri phiu Chnh ph pht hnh 2006 2009

(n v 1000 t VN)
60

49.4

50.3

50
40
30

20.35

20

16.8

10
0
2006

2007

2008

2009

b/ Gi tr giao dch TPCP ti S giao dch chng khon


Vi s ra i ca TTGDCK Thnh ph H Ch Minh (nay l S giao dch), th
trng th cp TPCP c nhng bc tin ng k. S tng trng tch cc ca hot
ng giao dch tri phiu th hin r qua gi tr giao dch TPCP nm 2004, bo hiu
thi k khi sc ca th trng TPCP. Khi lng giao dch TPCP tng mnh do cc
cng ty chng khon trin khai nghip v hp ng mua li (repo) i vi tri phiu.
ng thi lng tri phiu c giao dch qua phng thc khp lnh ngy cng thu
hp so vi phng thc giao dch tho thun. Vo nm 2005 ton b tri phiu c
chuyn sang phng thc giao dch tho thun (bng 2.1).
Bng 2.1: Giao dch TPCP c nim yt ti S giao dch chng khon
Nm

Khi lng Giao dch


(t tri phiu)

Gi tr giao dch
(triu ng)

2005

203.822.404

21.014.853,47

2006

412.149.140

42.044.492,50

2007

183.279.832

19.250.086,56

2008

68.464.772

6.386.000

2009

763.303,430

80.181,881

46

Ngun: B Ti Chnh, n xy dng th trng giao dch TPCP chuyn bit


T nm 2005 gi tr giao dch TPCP cng tng mnh so vi gi tr TPCP nim
yt. iu ny cho thy tc lun chuyn ca tri phiu Chnh ph c ci thin
ng k so vi trc v cc nh u t quan tm hn n giao dch TPCP. Tuy
nhin t l ny cn qu khim tn, c bit l trong nm 2009 (bng 2.2).
Bng 2.2: Gi tr TPCP giao dch v gi tr TPCP nim yt
Nm

Gi tr nim yt
(t ng)

Gi tr giao dch
(t ng)

Gi tr giao dch/ gi tr
nim yt (%)

2005

34.610,33

21.14.853,47

60,72

2006

47.245,70

42.044.492,50

88,90

2007

118.670.016

12.240

10,3

2008

11.348

6.386

56,27

2009
166.314
3.062
1.8
Ngun: B Ti Chnh, n xy dng th trng giao dch TPCP chuyn bit
n 15/3/2010 s tri phiu nim yt ti HNX l 508 vi tng gi tr tri
phiu nim yt l 166.314 t ng (Bng 2.3).
Bng 2.3: Qui m nim yt ti HNX (n 15/3/2010)
Ton th trng

C phiu

Tri phiu

UPCoM

S chng khon
nim yt

827

269

508

50

Tng khi
lng nim yt

6,077,399,300

Tng gi tr
nim yt (t
VN)

210,456.5

3,755,111,648 1,663,140,000

37,551.1

166,314

659,147,652

6,591.4

Ngun: hnx.vn
c/ Qui m hot ng th trng m
Nghip v th trng m ra i t 12/7/2000 gp phn lm tng tnh
thanh khon ca TPKB. Cc cng c ti chnh c php giao dch qua nghip v
TTM bao gm cc loi giy t c gi pht hnh bng ng Vit Nam nh: Tn

47

phiu NHNN, TPCP (tn phiu kho bc, tri phiu kho bc, tri phiu cng trnh
Trung ng, tri phiu u t do Ngn hng Pht trin pht hnh, cng tri) v tri
phiu chnh quyn a phng do U ban nhn dn TP H Ch Minh v TP H Ni
pht hnh.
n nm 2009 c 58 t chc tn dng c cp giy chng nhn l thnh
vin nghip v th trng m; trong c 5 NHTM Nh nc v ngn hng c
phn Nh nc nm c phn ch yu, 34 NHTM c phn, 3 ngn hng lin doanh,
14 chi nhnh NH nc ngoi, 1 Cng ty ti chnh v QTD Trung ng (bng 2.4).
Bng 2.4: S lng thnh vin th trng m (2000 - 2009)
Nm
200
0

Nm
200
1

Nm
200
2

Nm
200
3

Nm
200
4

Nm
200
5

Nm
200
6

Nm
200
7

Nm
200
8

Nm
2009

NHTM NN

NHTM c phn

10

10

11

13

14

19

26

32

34

NH nc ngoi

11

14

14

NH lin doanh

TCTD phi NH

Qu TDNDTW

21

22

23

25

28

30

35

47

56

58

S lng thnh
vin OMO

Tng s

Ngun: Ngn hng Nh nc Vit Nam


Doanh s trng thu: t nm 2000 n 2005 hng nm bnh qun tng gp
khong 3 ln so vi nm trc. Ring nm nm 2005, mc d khi lng trng thu
tng mnh 40.543 t, nhng tnh theo t l th ch tng 165,5%. Doanh s trng thu
tng nhanh bi cc phin nghip v th trng m c t chc thng xuyn
hn v do vic cc TCTD quen dn vi knh cung ng vn mi nn doanh s giao
dch tng phin cng tng ln. Trong doanh s mua tng nhanh hn tc tng
ca doanh s giao dch. Doanh s trng thu bnh qun ca tng phin cng tng
ln qua cc nm.
Nm 2006, cc iu kin tin t trn th trng c nhiu im thay i so vi
giai on trc.Vo thi im thng 1, na cui thng 3/2006 v mt s ngy cui
thng 12/2006, c th kp thi h tr vn kh dng cho cc TCTD m bo kh

48

nng thanh ton, duy tr n nh th trng tin t, NHNN thc hin 29 phin
cho mua giy t c gi vi k hn ngn 7; 14; 21; 28; 56 ngy, phng thc u
thu li sut. Tng doanh s bn ra t khong 89.102 t ng, tng mnh so vi
cc nm 2005 v 2004. Vic cho bn giy t c gi ch yu c thc hin i vi
tn phiu NHNN theo phng thc bn hn do lng tn phiu Kho bc Nh nc
do NHNN nm gi qu thp khng s dng can thip th trng.
Nm 2007, doanh s giao dch 415.861 t ng, giao dch mua c k hn
59.011t ng, giao dch bn hn l 356.850 t ng. Lai sut trung thu binh qun
trong cac phin chao ban la 4,35%/nm. C th thy, lng phin cho bn v
doanh s giao dch bn c khi lng tng p o so vi giao dch mua, cho thy
y l mt nm m trng thi vn kh dng ca cc TCTD tng i d tha.
Nm 2008, kinh t th gii bin ng phc tp v kh lng. Khng hong
h thng ti chnh th gii ko theo tng trng kinh t th gii suy gim mnh. Vai
tr ca cng c NVTTM trong iu tit VKD ca cc TCTD th hin mt cch
tng i hu hiu thng qua vic iu hnh linh hot t NHNN Vit Nam.
NVTTM l cng c iu hnh CSTT ch yu nht v c khi lng giao dch chim
phn ln trn TTTT. Doanh s giao dch t 1.024.179 t ng, tng 148% so vi
nm 2007, trong mua GTCG chim n 64,67% tng s phin giao dch vi
doanh s trng thu chim 91,42% v gp 15 ln so vi nm 2007. Khng ch tng
s phin giao dch, doanh s giao dch cng tng k lc so vi nm 2007, trong
ch yu l giao dch Mua c k hn (tng gp 15 ln so vi nm 2007). Trong khi
, giao dch bn hn ch cn 76.972 t ng, gim 4,6 ln so vi 2007.
Nm 2009, cng vi mt chnh sch kch cu chung ca Chnh ph, NHNN
Vit Nam tip tc thc hin mt CSTT ni lng cn trng c th hin thng qua
NVTTM bng cc phin giao dch mua k hn 7 ngy, 14 ngy vi doanh s gn
100 nghn y VND, trong khi doanh s bn ch l 100 t vi thi hn 91 ngy, 182
ngy (bng 2.5).

49

Bng 2.5. Khi lng trng thu v phng thc giao dch OMO 2005 -2009
n v: t ng
Doanh s trng thu
Nm

Mua
Tng s

Giao
ngay

Bn

k hn

Giao
ngay

Doanh s
bnh qun/ph

k hn

2005

102.479

100.679

1.100

700

649

2006

125.935

36.833

89.102

777

2007

415.861

59.011

356.850

1.171

2008

1.024.179

947.207

76.972

2.600

2009

966.900

966.800

100

2.930

Ngun: Ngn hng Nh nc Vit Nam


2.1.2. c im th trng tri phiu Chnh ph
2.1.2.1. Tnh thanh khon ca th trng
- Tnh thanh khon ti s giao dch chng khon H Ni thp: Hot ng
mua bn li TPCP ti s giao dch chng khon H Ni rt hn ch. Mc d c 508
m TPCP c nim yt ti HNX nhng mi ngy ch c vi m tri phiu c
giao dch, thm ch nhiu ngy khng c tri phiu no c giao dch. Hin tng
ny duy tr lin tc trong mt thi gian di. V d, trong thi gian t 1-11/3/10 hu
nh khng c giao dch tri phiu no c thc hin, n 12/3/2010 ch c 1/508
m tri phiu c giao dch (Bng 2.6).
Bng 2.6: Kt qu giao dch tri phiu ti HNX ngy 12/3/2010
Khi lng giao dch tha thun :
200,000
STT M CK

K Li sut Li
Hn Coupon sut

Gi tr giao dch tha thun :


19,812,800,000

Gi
Khi lng giao
giao
Gi tr giao dch
dch
dch

1 VE061101

9.50 10.04 99,064

2 VE061102

9.60 0.00

--

Tng
KL
thc
hin

Tng GT
thc hin

200,000 19,812,800,000 200,000 19,812,800,000


--

--

--

--

50

Ngun: hnx.vn
- Tnh thanh khon trong giao dch th trng m tng i cao: Th hin
tn sut v s lng cc phin giao dch th trng m lin tc tng. Vo thi im
mi khai trng, NHNN t chc thc hin 10 ngy/phin; t thng 1/2001 n
4/2002 tng ln 1 tun/phin (c nh vo th 4 hng tun), t thng 5/2002 t
chc 2 phin/tun (vo th 3 v th 5 hng tun). T nm 2004 t chc 3 phin 1
tun, nm 2006, 4 phin 1 tun. n nm 2008 giao dch th trng m c thc
hin gn nh hng ngy, thm ch c thi im 2-3 phin 1 ngy m bo thanh
khon ca cc ngn hng, nng tng s phin giao dch c nm 2008 ln 394 phin,
tng 39 phin so vi 2007, n nm 2009 bnh qun giao dch t 5-12 phin mt
tun. Nhng giao dch thng xuyn trn th trng tin t th hin tnh thanh
khon trn th trng ny kh cao (bng 2.7). Tuy nhin cng cn lu rng hng
ho giao dch khng ch c tn phiu kho bc, tri phiu chnh ph m mt phn ln
l tn phiu NHNN.
Bng 2.7. Tn sut giao dch OMO 2005-2009
Nm

Tn sut giao dch bnh qun

2005

1 tun/3 phin

2006

1 tun/3 phin

2007

1 tun/3 phin

2008

1tun/5-12 phin

2009

tun/5-12 phin

Ngun: Ngn hng Nh nc Vit Nam


2.1.2.2. Li sut TPCP
a/ Tnh th trng ca li sut TPCP
- Tnh th trng ca li sut TPCP mi pht hnh thp
Li sut tri phiu chnh ph mi pht hnh ti s giao dch chng khon
c n nh hoc xc nh trn nguyn tc u thu. Trong nhiu thi im, li
sut TPCP c n nh qu thp so vi mt bng li sut chung khin cho Chnh

51

ph khng huy ng c vn theo k hoch, nhiu t u thu TPCP theo khi


lng khng thnh cng.
Khi lng trng thu chim t l thp so vi khi lng gi thu. T khi i
vo hot ng, trong 4 nm lin tip tng khi lng TPCP trng thu ti Trung
tm giao dch chng khon H Ni (nay l s giao dch chng khon H Ni HNX)
lun thp hn nhiu so vi tng khi lng tri phiu gi thu. Nm 2005 khi
lng tri phiu trng thu/lng tri phiu gi thu l 15%; nm 2006 tng mnh
ln 67%, song t l ny nm 2007 ch cn 65%. T nm 2008 mc d xy dng
c lch trnh pht hnh TPCP v t chc cc t pht hnh theo lch biu song
t l ny rt thp, nm 2008 -2009 mc 8-10% (Bng 2.8).
Bng 2.8: T l tri phiu trng thu/ tri phiu gi thu

T l tri phiu trng thu/tri


phiu gi thu

2005

2006

2007

2008

2009

15%

67%

65%

10%

8.7%

Ngun: B Ti Chnh
Trong nm 2009, c trn 40 t pht hnh tri phiu bng tin ng v 2
t pht hnh tri phiu bng ngoi t do Chnh ph bo lnh pht hnh, huy ng
c 460 triu USD. C 36 t pht hnh tri phiu tin ng hon ton tht bi khi
khng thu c mt ng no. T l trng thu TPCP thp dn n vic NSNN
khng huy ng vn qua pht hnh TPCP theo k hoch. Bng 2.9 phn nh mc
thc hin huy ng vn qua pht hnh tri phiu chnh ph nm 2008, 2009 v k
hoch pht hnh TPCP nm 2010.
Bng 2.9: K hoch v thc hin huy ng TPCP 2008 - 2010
2008

2009

n v: T VN
2010

K hoch

37.000

56.000

56.000

Thc hin/K hoch

55%

30%

Ngun: B Ti Chnh

52

Li sut pht hnh tn phiu kho bc qua NHNN dn theo st v phn nh


ng li sut ngn hn trn th trng tin t song tnh th trng ca i khi cn
hn ch.
T nm 2000, li sut TPKB c xc nh trn nguyn tc u thu, tuy
nhin cng c nhng t n nh li sut. Vi nhng t pht hnh theo li sut n
nh qu thp vic u thu TPKB cng khng thnh cng. Trong thi im b ti
chnh a ra mc trn li sut, li sut trng thu TPKB theo st li sut trn ca B
ti chnh. Mc li sut TPKB c xu hng thp hn li sut ca cc cng c n
khc, phn nh mc ri ro thp ca TPCP. Biu 2.2 phn nh mi tng quan
gia li sut pht hnh tn phiu kho bc vi li sut cho vay ngn hn ca cc ngn
hng thng mi (s liu cui nm).
Biu 2.2: Li sut trng thu tn phiu kho bc, li sut cho vay ngn hn ca
cc ngn hng (%/nm) 2000-2009
14
12
10
8
6
4
2
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
L i s u t TTP K B L S c ho va y ng n h n

Ngun: Ngn hng Nh nc Vit Nam


- Li sut hon vn ca TPCP mang tnh th trng: Li sut ca cc tri
phiu pht hnh khng chu s khng ch ca trn li sut do B ti chnh qui
nh m b chi phi bi li sut ca cc cng c n khc, c bit l li sut tin gi,
li sut cho vay ca cc NHTM.

53

Gia nm 2008 khi li sut huy ng khng k hn ca cc NHTM ln ti


8%/nm, li sut c k hn ti 18-19%/nm, li sut coupon ca TPCP ch c
9%/nm. tng tnh thanh khon ca TPCP, nh u t buc phi tng li sut
chit khu khin cho gi tri phiu b y xung mc thp. Cui thng 5/2008,
TPCP c giao dch vi mc li sut chit khu ln ti 25%, thm ch 30% i vi
loi c thi hn hn di 2 nm v t 14-16% i vi loi c thi hn 5 nm tr
ln. Li sut chit khu cao lm gi TPCP gim xung cn 75.000 ng/TP vi
TPCP mnh gi 100.000 ng, k hn 5 nm v 80.000 ng/TP, k hn ln hn 5
nm. Gi TPCP cng thp hn vo u thng 6/2008 khi d on mc li sut ngn
hng s tip tc tng trc ng thi NHNN cng b tng li sut c bn ln
14%/nm. H qu l li sut chit khu TPCP b y ln cao, c bit l nhng TP
c thi hn ngn 2 hoc 3 nm ch cn c giao dch vi mc gi 65.000
ng/TPCP c mnh gi 100.000 ng.
Bng 2.6 phn trn th hin kt qu giao dch tri phiu ti HNX ngy
12/3/2010 phn nh li sut hon vn tri phiu chnh ph ti thi im ngy
12/3/2010.
b/ Mc nhy cm ca li sut i vi s tc ng ca Ngn hng Trung ng
- Li sut nghip v th trng m chu s chi phi bi cp li sut ch o
ca NHNN: Li sut th trng m c hnh thnh thng qua u thu v c
NHNN t mc tiu dao ng trong khong trn l li sut ti cp vn v sn l li
sut chit khu GTCG ca NHNN. Tuy nhin ti nhng thi im nht nh li sut
th trng m bin ng ra khi cp li sut ch o, th hin cc phin thc
hin theo phng thc u thu li sut. Biu 2.3 phn nh din bin li sut
nghip v th trng m cc thng ca nm 2008. mt s phin giao dch ca
nhng thng u nm theo phng thc u thu li sut v NHNN cha iu chnh
cp li sut ch o, li sut th trng m cao hn rt nhiu so vi li sut ti
cp vn. Vo nhng thng cui nm, hu ht cc phin giao dch c thc hin
theo phng thc u thu khi lng, li sut trng thu bng li sut thng bo.
Thi hn giao dch ngn (7 ngy, 14 ngy).

54

Biu 2.3: Li sut OMO v cp li sut ch o ca NHNN nm 2008


20
15
10
5
0
t1/08

t2/08

t3/08

t4/08

t5/08

Li sut ti cp vn

t6/08

t7/08

t8/08

Li sut ti chit khu

t9/08

t10/08

t11/08

t12/08

Li sut TTM

Khi NHNN thc hin nghip v th trng m theo li sut thng bo nhm
thc hin mc tiu CSTT, li sut th trng m nm trong gii hn mc li sut
ny. Chng hn, thng 4 nm 2010, thc hin ch chng ca Chnh ph gim mt
bng li sut th trng, NHNN h li sut nghip v th trng m xung 8%/nm,
cc phin u thu thc hin theo phng thc u thu khi lng theo li sut
thng bo. Biu 2.4 phn nh li sut OMO ca cc phin giao dch trong thng
4/2010 v cp li sut ch o. Li sut nghip v th trng m khng vt qu 8%
v trong gii hn li cp li sut ch o ca NHNN ti thi im ny.
Biu 2.4: Li sut OMO v cp li sut ch o ca NHNN thng 4/2010
9
8
7
6
5
4
3
2
1
4/
3/
20
10
4/
5/
20
10
4/
7/
20
10
4/
9/
20
10
4/
11
/2
01
0
4/
13
/2
01
0
4/
15
/2
01
0
4/
17
/2
01
0
4/
19
/2
01
0
4/
21
/2
01
0
4/
23
/2
01
0
4/
25
/2
01
0
4/
27
/2
01
0
4/
29
/2
01
0

4/
1/
20
10

LS ti cp vn

LS th trng m

LS ti chit khu

Ngun: S giao dch - NHNN Vit Nam


- Li sut pht hnh TPCP hu nh khng chu s chi phi bi mc li sut
ch o ca NHNN m theo mc ch huy ng vn cho NSNN trong tng thi k.

55

Tuy nhin, li sut trn do B ti chnh a ra thng qu thp so vi mt bng li


sut th trng nn hu nh khng t k hoch pht hnh nh ch ra bng 2.8.
- Li sut TPCP i khi tng cao, hn c li sut tn dng ngn hng: Cui
nm 2007, u nm 2008, li sut tri phiu kho bc c y ln cao, li sut tri
phiu a phng tng vt. nhng thi im li sut th trng tng, gi TPCP
gim, li sut hon vn ca TPCP pht hnh tng mnh, thm ch cao hn li
sut ngn hng, c bit l tri phiu di hn. Biu 2.5 phn nh mi tng quan
gia li sut tri TPCP mi pht hnh, li sut hon vn TPCP v li sut tin gi
ca ngn hng cng thng Vit Nam gia thng 8/2008. Ti thi im ny li sut
TPCP mi pht hnh ca tt c cc k hn li sut u mc trn do B ti chnh
qui nh l 15%/nm. Li sut hon vn xc nh theo k hn cn li tng ng.
k hn 3 nm v 5 nm, li sut TPCP cao hn li sut tin gi ngn hng.
Biu 2.5: Li sut tri TPCP mi pht hnh, li sut hon vn TPCP v li sut
tin gi NHCT Vit Nam
20
15
10
5
0
3t

6t

9t

12t

LS tin gi NH

18t

2n

3n

LS TPCP mi pht hnh

4n

5n

10n

15n

LS hon vn TPCP

Ngun: B Ti chnh, NHNN Vit Nam


2.2. Th trng tri phiu doanh nghip
2.2.1. Thc trng th trng tri phiu doanh nghip
2.2.1.1. S lng doanh nghip pht hnh tri phiu
Doanh nghip cung ng vn v c nhu cu v vn trn th trng ti chnh
rt a dng bao gm c cng ty c phn, cng ty TNHH v doanh nghip t nhn.

56

Tnh n 12/2009 c trn 460.000 doanh nghip ng k kinh doanh trong s


289.272 doanh nghip tn ti trong thc t
Bng 2.10 : S lng doanh nghip c nc 2007-2009 (S liu cui nm)
Nm

2000

2008

2009

S lng doanh ngh ip (n v:1000)

31

380

460

Ngun: Tng cc thng k


Trong s 460 ngn doanh nghip, Cng ty i chng (cng ty c phn
pht hnh chng khon ra cng chng hoc cng ty c c phiu nim yt Hose v
HNX hoc cng ty c vn 10 t ng tr ln v s nh u t trn 100 ngi) l
ch th huy ng vn ln thng qua TTCK. i vi cng ty i chng, TTCK
tr thnh knh huy ng vn quan trng thng qua pht hnh c phiu v tri phiu.
Bng 2.11: S lng Cng ty i chng (2001-2009)
Nm
Cng ty nim yt
Cng ty i chng ng
k (khng bao gm CTNY)

2001

2005

2006

2007

2008

2009

32

41

193

342

457

NA

NA

NA

NA

728

950

1070

1407

Tng CTC
Ngun: UBCKNN

Ty thuc din bin TTCK v c th ca tng t chc pht hnh cng nh


bin ng li sut trn th trng, cng ty i chng s la chn knh huy ng vn
thch hp.
Trc nm 2006, vic pht hnh tri phiu doanh nghip ch tp trung cc
t chc tn dng; s doanh nghip pht hnh tri phiu rt t v a s quy m pht
hnh nh. Trong s , c th k n mt s t pht hnh tri phiu doanh nghip
u tin nh ca REE nm 1996 thu v 5 triu USD; EIS nm 1998 vi 10 t ng;
Tng cng ty Du kh pht hnh 3.400 t ng nm 2003; v sau l Tng cng
ty Xi mng vi 200 t ng v Tng cng ty in lc 300 t ng.
Nm 2006 nh du mt bc ngot mi cho th trng tri phiu doanh
nghip Vit Nam khi Ngh nh 52/2006/N-CP v pht hnh tri phiu doanh

57

nghip chnh thc c ban hnh. Theo , ch th pht hnh tri phiu khng ch
l doanh nghip nh nc nh trc y m cn c cc cng ty TNHH, cng ty c
phn v doanh nghip c vn u t nc ngoi vi mt nguyn tc chung l cc
doanh nghip phi t vay, t tr, t chu trch nhim v cng khai minh bch thng
tin. Trong nm 2006, Cng ty Cng nghip tu thu Vit Nam (Vinashin) huy ng
c 800 t ng, Tp on EVN 5000 t ng.
Vo u qu 4/2009, mt lot doanh nghip bt u tm n tri phiu, khi
cc iu kin thun li hn, in hnh l CTCP u t a c Novaland v
CTCP Vincom pht hnh tri phiu vi gi tr tng ng l 1922 v 1000 t VN.
Bng 2.12: Mt s t pht hnh tri phiu doanh nghip tiu biu
T chc pht hnh

Thi gian
pht hnh

Gi tr tri phiu pht


hnh (T VN)

Thi hn
(nm)

Nm 2006
EVN

600

EVN

24/3/2006

350

EVN

6/7/2006

1150

EVN

8/11/2006

>1000

10

PVFC

6/06

200

Nm 2007
Tp on Ti chnh du kh

19/6/07

1000

Vinaconex

19/9/07

Vinashin pht hnh

20/9/07

3.000

10

Vincom

22/10/07

1000

Nm 2009
CTCP u t a c
Novaland

30/11/09

1922

CTCP Vincom (VIC)

18/12/09

1000

Ngun: UBCKNN
2.2.1.2. Qui m th trng tri phiu doanh nghip

58

- Vn huy ng ca cc DN qua TTCK: Trong nm 2006 v 2007 vi din


bin thun li ca TTCK, cc doanh nghip pht hnh chng khon v huy ng
lng vn ln tng ng 91 v 126 nghn t VN. Di tc ng ca khng hong
ti chnh ton cu v s st gim ca TTCK trong nm 2008 v u nm 2009, knh
huy ng vn qua TTCK bao gm c pht hnh c phiu v pht hnh tri phiu st
gim mnh. Gi tr vn huy ng qua TTCK giai on ny rt thp, ch t 15-20%
lng vn doanh nghip huy ng nm 2007 (Biu 2.6).
Biu 2.6 Vn huy ng qua TTCK

(n v: 1000 T VN)
140

126

120
100

91

80
60
40

29

21

20
0
2006

2007

2008

2009

- Gi tr tri phiu doanh nghip pht hnh: Trong s chng khon doanh
nghip pht hnh, tri phiu l cng c c cc doanh nghip la chn trong vi
nm tr li y, c bit l giai on TTCK si ng v mt bng li sut th trng
thp (2006 - 2007 v 2009).
Biu 2.7: Gi tr tri phiu doanh nghip pht hnh

(n v:1000 t VN)

59

18
15

16

16

14
12

10.1

10

TPDN

8
6
4
2

1.18

0
2005

2006

2007

2008

2009

Trong nm 2007, c trn 7 t pht hnh tri phiu doanh nghip vi tng
lng tin huy ng l 16.000 t ng.
T gia nm 2008, hot ng pht hnh tri phiu ca doanh nghip hu nh
khng li trc nh hng ca khng hong ti chnh th gii. Bn cnh , s leo
thang ca li sut sau lm pht cng l mt tr ngi khi tnh ton chi ph nu gi
vn qua knh ny. y chnh l l do trong phn ln thi gian ca nm 2008 cc
t pht hnh tri phiu doanh nghip hu nh khng c tin hnh ngoi tr
Tng cng ty ng cao tc Vit Nam (VEC) pht hnh mt t tri phiu c
Chnh ph bo lnh v mt s TCTD pht hnh tri phiu thnh cng, cn cc tp
on, tng cng ty Nh nc khc cha t chc pht hnh c t no. VEC
pht hnh thnh cng 500 t ng tri phiu vo ngy 28/8/2008 vi li sut trn v
li sut trng thu bng nhau l 16%.
- T trng gi tr tri phiu doanh nghip pht hnh so vi tng vn huy
ng qua TTCK: Gi tr tri phiu doanh nghip pht hnh so vi tng vn huy
ng qua TTCK chim t trng nh, c bit nm 2008 t l ny ch t 4,07%.
Biu 2.8: T trng gi tr tri phiu doanh nghip pht hnh so vi tng vn huy
ng qua TTCK (%)

60

50.00
45.00
40.00
35.00
30.00
48.10

25.00
20.00
15.00
10.00
5.00
0.00

16.48

12.70
4.07

2006

2007

2008

2009

- T trng gi tr tri phiu doanh nghip pht hnh trong tng gi tr tri
phiu pht hnh: T trng ny chim t l rt thp khong 23-37%, thm ch ch
chim 5,28% trong nm 2008. C cu ny l rt thp nu so snh vi nhiu nc
trong khu vc (biu 2.9 v bng 2.13).

Biu 2.9 : C cu tri phiu pht hnh Vit Nam


120.00
100.00
80.00
60.00

76.71

62.45

75.87

TPCP
TPDN

94.52

40.00
20.00
23.29

24.13

2006

2007

37.55
5.48

0.00

2008

2009

Bng 2.13: C cu tri phiu pht hnh ca Vit Nam v mt s nc 2009

61

2.2.2. c im th trng tri phiu doanh nghip


2.2.2.1. Th trng tri phiu doanh nghip c tnh thanh khon thp
c im ny th hin ch th trng th cp tn ti yu t. Cc tri phiu
doanh nghip nim yt trn HNX ch yu l tri phiu ca cc doanh nghip c
Chnh ph bo lnh nh tp on Vinashin. Vic giao dch cc loi tri phiu ny
cng rt tha tht. Hu ht cc nh u t tri phiu coi nh l mt khon tit
kim nn thng nm gi cho n khi o hn.
2.2.2.3. Li sut tri phiu doanh nghip
- Tnh th trng ca tri phiu doanh nghip:
Li sut tri phiu doanh nghip pht hnh ph thuc rt ln vo uy tn ca
doanh nghip, thi hn tri phiu, phng thc tr li, mt bng li sut ca tri
phiu Chnh ph, li sut trn th trng v cc iu khon km theo ca tri phiu
nh tri phiu chuyn i, tri phiu km chng quynThi gian qua li sut tri
phiu c iu chnh linh hot t 9,6 - 11,75%/nm trong nm 2006 n 8,110,3%/nm trong nm 2007 v khong 16% nm 2008 v 12 -14,5% nm 2009. Li
sut tri phiu huy ng thng tng cao trong bi cnh lm pht cao v c xu
hng gim trong iu kin lm pht thp (biu 2.10).
Biu 2.10: Li sut danh ngha ca tri phiu doanh nghip

62

18
16
14
12
10
8
6
4
2
0
2006

2007

2008

2009

Ngun: UBCKNN
Xt theo k hn ca tri phiu pht hnh, li sut tri phiu doanh nghip
pht hnh c xu hng cao i vi k hn di. iu ny hon ton ph hp vi
nguyn l v tnh ri ro ca tri phiu di hn so vi ngn hn. Cc tri phiu doanh
nghip c thi hn 2 nm, 3 nm, 5 nm, 7 nm, 10 nm v 15 nm. So vi li sut
TPCP c cng k hn, li sut tri phiu doanh nghip bin ng cng chiu v
thng cao hn khong 2,5% phn nh mc chnh lch ri ro ca 2 loi tri phiu
ny. Trn thc t mc chnh lch ri ro ny khng n nh v cha c s tnh ton
c th do cha c c quan nh mc tn nhim cho cc doanh nghip. Hn na
TPDN c pht hnh rt t v hu nh khng c mua bn li trn th trng nn
vic so snh li sut hon vn ca TPCP v TPDN mt thi im l rt kh v
khng chnh xc.
- Mc nhy cm ca li sut tri phiu doanh nghip i vi s tc ng
ca NHNN:
Cc DN pht hnh tri phiu thng dng mc li sut bnh qun ca bn
ngn hng thng mi ln l BIDV, Vietcombank, Vietinbank v Agribank lm li
sut tham chiu. Ngoi ra, mt s t khc th dng li sut c bn hoc li sut trn
ca tri phiu chnh ph k hn tng ng.

63

Nh vy, li sut TPDN phn no chu s chi phi bi li sut ch o ca


NHNN, song qui m th trng tri phiu doanh nghip qu nh b, li sut tri
phiu doanh nghip khng phi l mc li sut tiu biu ca th trng.
Bng 2.14: Mt s t pht hnh tri phiu doanh nghip tiu biu
T chc
pht hnh

Thi gian
pht hnh

Li sut

Thi
hn
(nm)

Nm 2006
EVN

9,6%/nm, tr sau hng nm.

EVN

24/3/2006

9,6%/nm, cc nm tip theo bng li sut tin


gi k hn 12 thng bnh qun ca 4 ngn hng
thng mi quc doanh + 1,2%.

EVN

6/7/2006

9,6 %/nm, cc nm sau bng li sut tin gi k


hn 12 thng tr sau bnh qun ca 4 ngn hng
thng mi nh nc + 1,2 %/nm, trong li
sut tin gi bnh qun l li sut tin gi do S
giao dch I ca 4 ngn hng thng mi nh nc
cng b vo ngy xc nh li tri phiu.

EVN

8/11/2006

9,6 cho nm u v 9,95 cho cc nm tip theo

10

PVFC

6/06

Th ni (nm u 9.05%)

Nm 2007
Tp on 19/6/07
Ti chnh
du kh

8,6

Vinaconex

19/9/07

li sut 3% km theo chng quyn

Vinashin
pht hnh

20/9/07

9,4

10

Vincom

22/10/07

10,3%

5
Nm 2009

CTCP u
t a c
Novaland

30/11/09

12

CTCP
Vincom
(VIC)

18/12/09

14,5%, (nm sau bng li sut tit kim 1 nm


ca Ngn hng Hng hi)

Ngun: UBCKNN

64

2.3. Th trng tn dng ngn hng


2.3.1. Th trng gia t chc tn dng v doanh nghip, c nhn (th trng 1)
2.3.1.1. Thc trng th trng
a/ H thng ngn hng
Tn dng ngn hng l hot ng truyn thng v l knh huy ng v cung
ng vn ch yu Vit Nam. H thng ngn hng thng mi Vit Nam bao gm
5 NHTM ln thuc s hu Nh nc v Nh nc nm c phn ch yu, 39 NHTM
c phn, 5 ngn hng lin doanh, 39 chi nhnh ngn hng nc ngoi, 5 ngn hng
100% vn nc ngoi. HSBC v Standard Chartered c cp giy php ngy
8/9/2008; ANZ c cp giy php ngy 9/10/2008; Hong Leong v Shinhan cp
giy php ngy 29/12/2008 nhng n ngy 5/1/2009, HSBC l ngn hng nc
ngoi u tin a ngn hng con 100% vn trc thuc i vo hot ng ti Vit
Nam. Bn cnh cn c 1 ngn hng Chnh sch x hi thuc s hu Nh Nc, 1
Qu tn dng nhn dn Trung ng v 1.016 Qu Tn dng Nhn dn c s. C 1
ngn hng Pht trin trc thuc B Ti chnh.
Theo quy Ngh nh s 141/2006/N-CP ca Chnh ph ban hnh ngy
22/11/2006, mc vn iu l p dng cho cc NHTM c phn n cui nm 2008
ti thiu l 1.000 t ng v cui nm 2010 l 3.000 t ng. H thng Ngn hng
ngy cng pht trin thc hin huy ng vn nhn ri v p ng nhu cu vn
trong nn kinh t bao gm c ngn hn v di hn. Theo Thng t s 15/2009/TTNHNN ban hnh ngy 10/8/2009, t l ti a ca ngun vn ngn hn c s dng
cho vay trung hn v di hn i vi cc ngn hng thng mi l 30%; vi cc
cng ty ti chnh v cng ty cho thu ti chnh l 30%; vi qu tn dng nhn dn
trung ng l 20%. Theo quy nh c, cc t l ti a i vi cc ngn hng thng
mi l 40%, vi cc t chc tn dng khc l 30%.
b/ Qui m ca th trng
Vi vai tr l trung gian tn dng trn th trng ti chnh, cc t chc tn
dng, c bit l cc Ngn hng thng mi thc hin vic huy ng vn v p
ng phn ln nhu cu vn ca cc doanh nghip v c nhn trong nn kinh t. Khi

65

lng vn huy ng v cho vay tng lin tc qua cc nm. c bit nm 2007 d n
tn dng tng trng mnh, ti 53,89% p ng nhu cu vay vn ln ca nn kinh
t, trong khi tng trng huy ng vn ca ton h thng t chc tn dng l
22,87%. Nm 2008, vi chnh sch tht cht tin t trong 3 qu u nm, khng ch
tc tng trng d n tn dng trong gii hn 30% nhm chng lm pht, d n
tn dng ca ton h thng ngn hng tng mc 25,3% so vi nm 2007. Tuy
nhin, vi mt bng li sut huy ng cao, tc tng trng vn huy ng ti
47.64% so vi nm trc. Nm 2009, NHNN thc hin mt chnh sch tin t linh
hot, ni lng hn nhm chng suy gim kinh t, d n tn dng d tng ln
37,73%, tc tng vn huy ng l 28% so vi nm 2008 (Bng 2.15).
Bng 2.15: Tc tng huy ng vn v cho d n ca h thng ngn hng
(n vi: %/nm)
Mc tng vn huy ng

Mc tng d n TD

2000

43.3

38.1

2001

25.1

21.1

2002

19.4

22.2

2003

25.8

28.41

2004

33.2

41.6

2005

38.08

31.04

2006

36.53

25.43

2007

22,87

53.89

2008

47.64

25.3

2009

28
37.73
Ngun: Bo co thng nin, NHNN Vit Nam

Biu 2.11 th hin khi lng d n tn dng. Tnh n nm 2009 tng d


n tn dng chim khong 101,3% GDP c nc, vt xa so vi qui m ca th
trng tri phiu chnh ph v th trng tri phiu doanh nghip (gi tr tri phiu
Chnh ph ch bng 17% GDP, tri phiu doanh nghip ch bng 23% so vi tng
gi tr tri phiu chnh ph v tri phiu doanh nghip).
Biu 2.11: Tng d n tn dng ca h thng TCTD

66

(n v: nghn t ng)
D n tn dng
2000
1500
1000
500
0

2 9 6 .7

420

5 5 3 .1

6 9 3 .8

2003

2004

2005

2006

1 0 6 7 .7

2007

1 3 3 7 .8

2008

1 6 6 7 .3

2009

Ngun: Bo co thng nin, NHNN Vit Nam


2.3.1.2. c im th trng
a/ Tnh thanh khon ca th trng
Th trng tn dng ngn hng c tnh thanh khon rt cao. Vi mng li
ngn hng ngy cng pht trin, h thng ngn hng Vit Nam ng vai tr ch yu
trong vic huy ng vn v cho vay i vi nn kinh t. Quan h tn dng gia ngn
hng v khch hng din ra thng xuyn. Khch hng c th gi tin khng k hn
v rt ra theo yu cu; c th rt trc hn tin gi c k hn; s dng cc giy t
c gi do ngn hng pht hnh lm m bo cho cc khon vay. Nghip v ti cp
vn bng vic cho vay li theo h s tn dng, mua bn n gia cc ngn hng cng
lm tng tnh thanh khon i vi cc kh c cho vay ca ngn hng.
b/ Li sut trn th trng
* Mc t do ho li sut
- Mc t do ho li sut ngy cng cao qua vic iu chnh c ch li
sut: Nm 2002, li sut tin gi v cho vay ca cc t chc tn dng c t do
ho v mang tnh th trng. Nm 2008, NHNN thc hin c ch li sut c bn
nhm kim sot trc tip li sut th trng, kim ch lm pht. Song t u nm
2009, c ch kim sot hnh chnh dn dn c d b, tr li tnh th trng cho
li sut vi ngha l gi v quyn s dng vn.

67

+ C ch li sut tho thun p dng t ngy 1/6/2002


xo b bin khng ch li sut cho vay, cho php cc t chc
tn dng c t tho thun li sut cho vay bng ng Vit Nam
da theo quan h cung - cu vn v mc tn nhim i vi
khch hng. C ch li sut ny nhm m bo tnh th trng
ca li sut v to iu kin khai thc trit sc mnh ca c
ch th trng trong cc hot ng iu tit kinh t v m v
kinh t vi m. Cc TCTD ch ng, linh hot hn trong quyt
nh a ra li sut kinh doanh ca mnh.
+ Tng bc khi phc li c ch li sut tha thun t u nm 2009
Vt qua nm 2008 vi y kh khn v thch thc, nn kinh t nc ta v
c bn n nh v c du hiu phc hi. NHNN chuyn dn t CSTT tht cht
kim ch lm pht sang ni lng thn trng gip phc hi kinh t. C ch li sut
tng bc c s iu chnh.
C ch li sut tha thun i vi cho vay phc v nhu cu i sng v
thng qua nghip v pht hnh v s dng th tn dng: Ngy 23/01/2009, NHNN
ban hnh Thng t s 01/2009/TT-NHNN hng dn v li sut tho thun ca
TCTD i vi cho vay cc nhu cu vn phc v i sng, cho vay thng qua nghip
v pht hnh v s dng th tn dng. nh l mt bc m quay li c ch
li sut tha thun.
C ch li sut tha thun vi khch hng vay trung, di hn p ng nhu
cu kinh doanh: Ngy 26/2/2010 NHNN ban hnh Thng t s 07/2010/TTNHNN cho php cc ngn hng c php p dng c ch li sut tha thun vi
cc khch hng vay trung v di hn nhm p ng nhu cu vn sn xut, kinh
doanh, dch v v u t pht trin. C ch ny cng p dng vi cc khon vay
ngn hn, trung hn v di hn nhm p ng nhu cu vn trc tip phc v i
sng ca c nhn v h gia nh ca khch hng vay; cc hot ng cho vay tiu
dng thng qua nghip v pht hnh v s dng th tn dng.
C ch cho vay tha thun i vi cc khon vay ngn hn: Tip ni c ch
cho vay tha thun trung di hn, NHNN m cht t do cui cng i vi cho

68

vay ngn hn. Theo Thng t 12/2010/Q-NHNN ngy 14/4/2010, TCTD thc
hin cho vay bng VND phi nim yt cng khai li sut cho vay mc hp l, trn
c s cung - cu vn th trng, nhu cu vay vn v mc tn nhim ca khch
hng vay. NHNN yu cu TCTD to iu kin tt nht cho khch hng tip cn vn
vay pht trin sn xut - kinh doanh, nht l khu vc nng nghip, nng thn,
doanh nghip xut khu, doanh nghip nh v va.
Nh vy, sau 2 nm thc hin c ch li sut c bn nhm kim ch lm
pht, thot khi khng hong, NHNN quay tr li c ch li sut tha thun.
iu ny s gip cho li sut tn dng ngn hng mang tnh th trng hn.
- Trong nhng thi im, thi k nht nh, tnh th trng ca li sut b
hn ch do c khng ch bi trn li sut v s can thip ca Hip hi ngn
hng
+ C ch li sut c bn thng 5/2008: Thc hin kin ca U ban
Thng v Quc hi kha XII v ch o ca Th tng Chnh ph, NHNN xy
dng c ch iu hnh li sut c bn trnh Thng trc Chnh ph xem xt, nht tr
ti vn bn s 3168/VPCP-KTTH ngy 16/5/2008 v c ch iu hnh li sut c
bn ca Vn phng Chnh ph. Trn c s , Thng c NHNN ban hnh
Quyt nh s 16/2008/Q-NHNN ngy 16/5/2008 v c ch iu hnh li sut c
bn bng ng Vit Nam. Theo , cc TCTD n nh li sut kinh doanh (li sut
huy ng vn, li sut cho vay) bng ng Vit Nam i vi khch hng theo
nguyn tc li sut kinh doanh khng vt qu 150% ca li sut c bn do NHNN
cng b p dng trong tng thi k. nh k hng thng, NHNN cng b li sut c
bn. Trong trng hp cn thit, NHNN cng b iu chnh kp thi li sut c bn.
Ti thi im 19/05/2008, li sut cho vay ca cc NHTM khng c vt qu
18%/nm. Vi c ch li sut c bn, NHNN s dng bin php hnh chnh
kim sot li sut.
+ Quy nh trc tip mc li sut trn huy ng: Trong nhiu thi im,
theo ngh ca Hip hi ngn hng, NHNN qui nh trn li sut huy ng.
u nm 2008, khi cc tc ng bng li sut ch o khng c hiu qu,
ngy 27/02/2008 NHNN quy nh trc tip mc li sut trn huy ng l 12%.

69

Vic duy tr mc li sut trn 12% ko di trong gn 3 thng (t 27/02/2008 n


19/5/2008) vi mc ch hn ch cuc chy ua li sut ca cc NHTM.
Thng 4/2008, Hip hi Ngn hng ng thun gi mc li sut huy ng
khng vt qu 11% i vi tt c cc ngn hng.
Ngy 02/12/2009, NHNN phi ban hnh quyt nh s 9484/NHNN. Theo
vn bn ny, to s n nh mt bng li sut chung, cc NHTM p dng li sut
huy ng VND cao nht di 10,5%/nm. Nhng trng hp tng li sut huy ng
t mc 10,5%/nm tr ln, ph v mt bng huy ng trn th trng, thanh tra
NHNN s tin hnh xem xt ton din hot ng ca t chc tn dng .
* Mc nhy cm ca li sut tn dng ngn hng i vi s tc ng ca
NHNN:
- Li sut tn dng ngn hng phn nh s tc ng CSTT ca NHNN: Cc
T chc tn dng, trc ht l NHTM xc nh li sut kinh doanh (huy ng vn v
cho vay) trn c s iu hnh li sut ca NHTW, cung - cu vn th trng. Hin nay
NHNN Vit Nam n nh cc loi li sut c bn, li sut ti cp vn, li sut ti
chit khu, li sut cho vay qua m, li sut tin gi d tr bt buc iu hnh
li sut th trng. Bn cnh cn s dng cc cng c CSTT tc ng n li
sut lin ngn hng, li sut nghip v th trng m, t nh hng n li sut
ca cc NHTM, nhm thc hin mc tiu chnh sch tin t v mc tiu kinh t v
m trong tng thi k.
Biu 2.12 phn nh mc li sut cho vay ngn hn ph bin ca cc
NHTM thi im cui nm t nm 2000 n 2009 trong mi tng quan vi lm
pht v tng trng kinh t. Li sut tng i n nh v c xu hng tng nh t
nm 2000 n gia nm 2007. T nm cui 2007 c bit sang u nm 2008 li
sut c nhiu bin ng. Mc d mc li sut cui nm 2008 thp hn so vi cui
nm 2007, nhng trong nm ny nn kinh t chng kin s ln xung lin tc
ca li sut tin gi v cho vay. Vi c ch li sut c bn c phn mang tnh hnh
chnh, mc li sut y cng cha thc s mang tnh th trng.
Biu 2.12: Li sut cho vay ngn hn ca NHTM

70

25
20
15
10
5

LS cho vay

Mc lm pht

20
09

20
08

20
07

20
06

20
05

20
04

20
03

20
02

20
00

-5

20
01

Tng trng KT

Ngun: NHNN Vit Nam v IMF


T nm 2007 n nay nn kinh t Vit nam v th gii c nhiu bin ng,
c ch iu hnh li sut cng c nhiu thay i, NHNN tc ng n li sut tn
dng ngn hng hng ti cc mc tiu u tin trong tng thi k.
T nm 2007 n thng 1/2008, NHNN gi c nh cc mc li sut c bn
8,25%, li sut ti cp vn v li sut chit khu cng c gi c nh mc 6.5%
v 4.5%. Trong thi gian ny mc d cc mc li sut NHNN cng b khng thay
i nhng do nhu cu vay vn trn th trng tn dng rt ln, khch hng chp
nhn vay vn vi li sut cao, cc TCTD ua nhau tng li sut huy ng vn
cho vay, iu lm cho TTTT nng ln. Vi tc ng ca th trng, ca chnh
sch li sut ni ring v CSTT ni chung, li sut th trng vo nhng thng u
nm tng cao cha tng c.
T thng 2/2008 n thng 9/2008, kim ch cuc ua li sut ca cc
NHTM, vo u thng 2/2008, NHNN cng b mt lot cc mc li sut ch o
mi. Theo , li sut c bn tng t 8,25% ln 8,75%, li sut ti cp vn tng t
6,5% ln 7,5%, li sut chit khu tng t 4,5% ln 6,0%. Li sut ch o tng nh
nhng li sut huy ng v cho vay ca cc NHTM tng mnh.
Vi c ch li sut c bn mi cng vi s iu chnh lin tip cc mc li
sut ch o ca NHNN, vai tr ca li sut c bn c th hin, tr thnh mt

71

hnh lang php l i vi li sut cho vay ca cc NHTM. Li sut cho vay bnh
qun ca cc NHTM lun bm st trn li sut ti a.
T thng 10/2008 n 2/2009, NHNN chuyn hng iu hnh CSTT t
"tht cht" chng lm pht sang "ni lng" nhm mc tiu hng u l ngn chn
suy gim kinh t, iu chnh gim mnh cc li sut ch o. Cui nm 2008,
NHNN ba ln gim cc loi li sut ch o v li sut c bn (li sut ti cp
vn t 15%-14%-13%-12%/nm, li sut chit khu t 13%-12%-11%-10%/nm,
li sut c bn gim t 14%-13%-12%-11%/nm). S iu chnh ny nhm hn ch
tc ng ca cuc khng hong ti chnh v suy thoi kinh t ton cu, bo m n
nh kinh t v m, to iu kin cho cc cc t chc tn dng gim li sut cho vay,
duy tr tng trng bn vng.
Ngy 25/11/2009, NHNN thng bo tng li sut c bn bng ng Vit
Nam ln mc 8%/nm, p dng t ngy 1/12/2009. Li sut c bn c nng
ln 1%, sau 10 thng lin tip gi mc 7%/nm k t thng 2/2009, li sut ti
cp vn i vi cc TCTD s tng t 7% ln mc 8%/nm v li sut ti chit khu
ca NHNN tng t 5%/nm ln mc 6%/nm. Vi mc li sut c bn l 8%, mc
cho vay ti a ca cc NHTM i vi khch hng c tng ln n 12%. Vic
iu chnh tng cc li sut ch o v quy nh trn li sut huy ng nhm kim
sot cht ch quy m v cht lng tn dng, n nh mt bng li sut chung.
T cui thng 10/2008 n 2/2009, li sut c bn gim mnh lm cho trn
li sut 150% gim theo khin cc NHTM buc phi gim li sut cho vay. Vic
ngn hng tip tc h li sut l ng thi tch cc gp phn kch cu u t thng
qua tng cng kh nng tip cn ngun vn tn dng cho cc doanh nghip, c
bit l cc doanh nghip va v nh, doanh nghip sn xut kinh doanh ph hp vi
mc tiu kch cu ca chnh ph.
Biu 2.13: Din bin cc mc li sut ch o ca NHNN, li sut tn dng ngn
hng 2007-2009

72

25
20
15
10
5
0
c
De

7
-0

n
Ja

8
-0

bFe

08
M

8
8
8
8
08
08
09
08
08
08
08
09
-0
-0
-0
r- 0
nncgpbulctar
ay
ov
u
e
a
u
e
J
Ap
J
O
J
N
M
A
S
D
Fe

LS c bn

LS ti cp vn

LS chit khu

LS huy ng ngn hn

LS cho vay ngn hn

LS cho vay ti a

Ngun : Ngn hng Nh nc Vit Nam


Biu 2.13 phn nh din bin cc mc li sut ch o ca NHNN, li
sut tn dng ngn hng cc thng t nm 2007 n thng 2/2009. C s din bin
cng chiu gia cc mc li sut ch o v ngn hng. Li sut chnh thc v tin
gi v cho vay ca cc ngn hng u chp hnh qui nh v trn li sut huy ng,
gii hn li sut cho vay ti a trn c s li sut c bn.
T thng 3/2009 n cui nm 2009, theo c ch li sut tho thun ca
TCTD i vi cho vay cc nhu cu vn phc v i sng, cho vay thng qua nghip
v pht hnh v s dng th tn dng. Bn cnh li sut tha thun, li sut huy
ng v cho vay thng thng giai on ny cng tng song mc li sut thng bo
chnh thc vn nm trong gii hn qui nh (biu 2.14).

Biu 2.14: Din bin li sut c bn v li sut TDNH thng 02 - 7/2009

73

Ngun: Thng tin v hot ng ngn hng hng thng ca NHNN,


www.sbv.org.vn
- Li sut thc s trn th trng tn dng ngn hng i khi cha chu s
chi phi bi li sut ch o ca NHNN.
Trong nhng thi m th trng tn dng cng thng, li sut thng bo
chnh thc ca cc NHTM chu tc ng bi li sut ch o ca NHNN song trn
thc t cc NHTM p dng mc li sut vt qu mc qui nh di nhiu hnh
thc khc nhau. NHNN phi s dng bin php hnh chnh kim sot li sut.
Khi li sut ch o cha thc s linh hot, cc NHTM lch lut, y li
sut ln st trn cho php v thu thm ph ph. Ngy 10/6/2008 Thng c NHNN
ban hnh vn bn s 5158/NHNN-CSTT yu cu cc t chc tn dng khng c
thu ph lin quan n hot ng cho vay. Ngy 03/03/2010, NHNN mi ra cng vn
1641/NHNN-CSTT yu cu cc ngn hng tin hnh kim tra v gi bo co v
tnh hnh khuyn mi i vi cc khon tin gi VND v thu ph i vi cc khon
cho vay VND ca cc t chc tn dng trn a bn tnh, thnh ph.
T thng 3/2009 n cui nm 2009, da trn Thng t 01/2009/TT-NHNN
hng dn v li sut tho thun ca TCTD i vi cho vay cc nhu cu vn phc
v i sng, cho vay thng qua nghip v pht hnh v s dng th tn dng, cc
NHTM v khch hng ca mnh c th t do tha thun mc li sut cho vay m

74

khng cn ph thuc vo li sut cho vay ti a tnh theo li sut c bn. Mc li


sut cho vay tha thun cao hn nhiu so vi mc trn li sut cho vay ti a
(thi k ny l 10,5%).
Bng 2.16: Li sut cho vay tha thun cho cc i tng theo Thng t 01
nm 2009
Thng

02/2009

Li sut tha thun


12~14%
ca cc NHTM

3/2009

5/2009

7/2009

12/2009

12~15%

12~16,5%

14~16,5%

15~18%

Ngun: Thng tin v hot ng ngn hng hng thng ca NHNN, www.sbv.org.vn
u thng 12/2009, li sut huy ng tng ln mc 10,49% st vi trn quy
nh. Km theo nhiu ngn hng ang tung ra nhng chng trnh khuyn mi
hp dn, khng ch tng tin mt, vng hay li sut tng ng vi s tin v k hn
gi, m cn a ra nhng hnh thc rt thm trng thng vi gi tr gii thng rt
ln. Vi mc li sut huy ng chm nh nu cng thm li sut khuyn mi th li
sut huy ng thc t ti mt s ngn hng thi k ny vt trn li sut huy ng
cho php. Li sut cho vay cng tng ln ph bin mc 11-12%/nm (bng 2.16).
Bng 2.17: Li sut huy ng v cho vay bnh qun thng 12/2009 (%/nm)

Li sut huy ng bnh qun


- Khng k hn
- 3 thng
- 6 thng
- 12 thng

Nhm NHTMNN

Nhm NHTMCP

2,4-3,0
10-10,2
10-10,3
10,4-10,49

2,4-4,2
10,0-10,49
10,0-10,49
10,0-10,49

Li sut cho vay bnh qun


- Ngn hn
11-12
12,0
- Trung, di hn
12,0
12,0
Ngun: Thng tin v hot ng ngn hng hng thng ca NHNN
T u nm 2010, theo thng t s 07/2010/TT-NHNN cho php cc ngn
hng c p dng c ch li sut tha thun vi cc khch hng vay trung v di
hn nhm p ng nhu cu vn sn xut, kinh doanh, dch v v u t pht trin.

75

li sut cho vay bnh quuan tng mc d NHNN vn gi nguyn cc mc li sut


ch o.
Bng 2.18: Li sut cho vay bnh qun thng 02 - 3/2010
Li sut cho vay

Thng

Ngn hn

Trung,di hn

Nhm
NHTMNN

02/2010

12,0

12,0

3/2010

12,0

14,0-15,0

Nhm
NHTMCP

02/2010

12,0

12,0

3/2010
12,0
15,0-17,0
Ngun: Thng tin v hot ng ngn hng hng thng ca NHNN

Vo ngy 14/4/2010, c ch cho vay tha thun c m ca hon ton, cc


NHTM khng chu nh hng ca quy nh trn li sut huy ng 10,5% bt u
tng li sut huy ng. nh li sut huy ng vn c ghi nhn mc
11,99%/nm, ph bin mc 11,5% mc d li sut ch o khng tng v
NHddaojddax c nhng bin php h mt bng li sut.
2.3.2. Th trng tin t lin ngn hng (th trng 2)
2.3.2.1. Thc trng hot ng th trng
a/ T chc th trng
Nm 1992, NHNN ban hnh Ch th s 07/CT-NH1 ngy 7/10/1992, l vn
bn php l u tin quy nh v hot ng v quan h tn dng gia cc TCTD.
Thng 6 nm 1993, NHNN ng ra t chc th trng TTLNH tp trung vi nghip
v ch yu l cho vay, gi tin. Thng 10/1993 NHNN cho php cc TCTD giao
dch trc tip vi nhau. Nm 1995 NHNN t chc th trng mua bn giy t c gi
gia cc TCTD v t nm 2001 n nay, NHNN ch trng y mnh vic pht trin
TTTT theo ban hnh ng b hn cc vn bn th ch i vi hot ng TTTT,
tng bc tin gn hn ti thng l quc t.
Hin nay cc TCTD thc hin hot ng cho vay, gi tin v mua bn giy
t c gich yu qua h thng giao dch do hng Reuters cung cp v giao dch trc
tip qua in thoi. Sau xc nhn giao dch qua SWIFT (i vi giao dch qua
mng Reuters) hoc xc nhn bng FAX c m kho (i vi cc giao dch qua

76

in thoi). Chi ph lp t v tr tin thu bao cho Reuters tng i ln. Do vy,
ch c cc NHTM ln mi c iu kin lp t v s dng h thng giao dch
Reuters. a s cc NHTMCP vn thc hin cc giao dch tin t qua in thoi.
Cho n nay, cha xy ra tranh chp no lin quan ti giao dch cho vay, gi tin v
mua bn giy t c gi lin ngn hng. Th trng tin t hot ng an ton, t ri
ro. Trn th trng ang dn hnh thnh thi quen giao dch cho vay, gi tin lin
ngn hng theo chun mc quc t vi s tin ti thiu thng l trn 1 t ng,
thi hn 360 ngy; i vi cc giao dch repo, tri phiu Chnh ph tnh theo thi
hn 365 ngy...
b/ Qui m th trng tin t lin ngn hng
Doanh s giao dch trn th trng nhn chung c s tng trng mnh theo
tng nm, c bit l trong khong 10 nm tr li y. Ch tnh ring t nm 2005
n nay, doanh s cho vay, gi tin u duy tr mc cao, ph hp vi kh nng
cung ng ngn qu ca cc TCTD d tha v nhu cu b p thiu ht thanh khon
ca cc TCTD cn thiu trn th trng. S tng trng mc ln trong giao
dch cho vay, gi tin gia cc TCTD trn th trng lin ngn hng phn no
phn nh vai tr ngy cng quan trng ca TTTT vi t cch l knh iu tit,
huy ng vn th cp gia cc TCTD tham gia TTTT lin ngn hng. Tuy nhin,
th trng tin t lin ngn hng c s phn khc ngy cng r nt trong cc
TCTD nh nc vi li th v thng hiu, mng li huy ng rng ln, chi ph
huy ng vn r, d tr th cp cao thng l nhng i tng cung ng vn cho
th trng. Ngc li cc TCTD nh, lin doanh hoc nc ngoi, b hn ch v
ngun vn VN, thng l nhng i tng nhn tin gi hoc i vay trn th
trng.
+ Doanh s gi tin lun t mc cao nht. T cui nm 2005 n na u
nm 2007, trc s tng trng mnh m ca kinh t Vit Nam, chnh sch tin t
c ni lng trong thi gian di, s phc hi v pht trin mnh m ca th trng
chng khon, th trng bt ng sn... khin cho ngun cung vn t huy ng trn
th trng 1 tr nn di do, cc TCTD cng y mnh u t tn dng v s dng

77

phn ln ngun vn huy ng ny cho vay pht trin sn xut kinh doanh. Trong
giai on ny, nhu cu cho vay, gi tin trn th trng 2 ch mc khim tn do
hiu qu u t trn th trng ny km hn so vi th trng 1, doanh s gi tin
giai on ny ch dng trong khong di 100.000 t n 200.000 t VN. Tuy
nhin, vo thi im cui nm 2007 v u nm 2008, trc nhng du hiu ngy
cng nghim trng ca khng hong ti chnh ton cu, gi du, gi vng v cc loi
nguyn vt liu tng nh hng n chi ph sn xut, li sut huy ng t dn c
tng cao, NHTW thc hin Chnh sch tin t tht cht nhm i ph vi lm
pht cao khin cho lng tin cung ng gim. S iu chnh lin tc trong chnh
sch tin t ca NHNNVN (iu chnh tng li t l d tr bt buc, tng cng bn
GTCG trn th trng m, yu cu cc TCTD thc hin mua tn phiu bt buc...)
khin cho nhu cu vn ca cc TCTD tr nn v cng cp bch. Thi im ny
li sut trn TTTT tng rt cao v v vy doanh s cho vay, gi tin trn TTTT cng
c s gia tng t bin, c thi im doanh s gi tin VN trn TTTT lin ngn
hng ln n gn 300.000 t VN (gn bng tng mc u t tn dng ca
ton nn kinh t). C th ni y l thi k giao dch c doanh s cao nht tnh t
nm 2005 - 2008. T qu VI nm 2008 n nhng thng u nm 2009 tnh hnh
kh khn v vn kh dng ca h thng ngn hng v c bn c khc phc, v
vy doanh s giao dch trn th trng cng dn i vo n nh.
+ Doanh s cho vay trn TTTT lin ngn hng chim t trng nh hn so
vi doanh s gi tin v ch hn ch trong vic p ng nhu cu thanh khon ti cc
k hn rt ngn. Doanh s cho vay, gi tin bng ngoi t (USD) n nh hn v
mi ch bin ng vo cui nm 2008, u nm 2009 trc nhng tc ng xu do
khng hong ti chnh v suy thoi kinh t ton cu dn n bin ng v t gi
trong nc (Bng 2.13).

78

Bng 2.19: Doanh s giao dch trn TTTT lin ngn hng
n v: t VN, triu USD.
Thi gian

Doanh s cho vay


VN

Doanh s gi tin

USD

VN

USD

Thng 3/2005

5.666,996

10,806

173.040,654

1.122,367

Thng 6/2005

3.607,946

126,474

54.270,735

9.581,736

Thng 9/2005

2.226,001

865,113

36.168,561

5.873,413

Thng 12/2005

3.114,982

1.097,279

52.016,579

5.412,309

Thng 3/2006

4.355,734

96,601

66.923,788

6.227,707

Thng 6/2006

5.064,782

59,629

73.365,203

6.985,973

Thng 9/2006

5.433,203

71,862

79.982,433

4.244,080

Thng 12/2006

2.113,922

50,202

101.414,707

5.802,178

Thng 3/2007

4.708,105

75,346

160.785,478

3.938,408

Thng 6/2007

5.315,113

95,652

182.096,691

7.014,132

Thng 9/2007

4.141,573

92,851

157.073,562

9.748,162

Thng 12/2007

9.081,304

332,282

288.894,953

9.064,491

Thng 3/2008

6.512,323

16.542,549

222.503,712

9.831,015

Thng 6/2008

8.184,298

67.800,000

190.322,905

74.515,960

Thng 9/2008

4.157,700

78.700,000

168.191,372

15.429,387

Thng 12/2008

4.208,455

37.100,000

129.085,297

15.061,279

Thng 3/2009

13.825,800

170.213,516

239.478,368

10.520,537

Ngun: NHNNVN
2.3.2.2. c im th trng trng tin t lin ngn hng
a/ Tnh thanh khon ca th trng: Tnh thanh khon ca th trng lin ngn hng
rt cao, cc giao dch trn th trng lin ngn hng din ra hng ngy vi doanh s
giao dch ngy cng ln, c bit trong nhng thi im cc ngn hng cng thng
v vn kh dng.
b/ Li sut trn th trng lin ngn hng
* Tnh th trng ca li sut lin ngn hng:

79

- Li sut lin ngn hng c tnh th trng cao, ngy cng phn nh st
thc hn cung cu vn kh dng ca cc ngn hng
T sau cuc khng hong ti chnh tin t Chu nm 1997-1998, d tr
cu cc ngn hng di do, li sut cho vay, gi tin VN bnh qun trn th trng
tin t lin ngn hng Vit Nam ti hu ht cc k hn u tng i n nh, c
bit l giai on 2005 n cui nm 2007. Li sut bnh qun VN trn th trng
tin t lin ngn hng ch mc 6 n 8%/nm v bin dao ng hng ngy ch
mc thp. Khi cc ngn hng cng thng v d tr, c bit t u nm 2008 n
khong thng 9/2008 li sut bnh qun trn th trng lin ngn hng tt c cc
k hn c s bin ng tng t bin v ng mc cao, bnh qun gn 18%/nm.
C bit c thi im ln n 43%/nm. T thng 9 nm 2008 n nhng thng u
nm 2009 li sut cc k hn trn th trng tin t lin ngn hng gim mnh
khi cc ngn hng c b sung thm d tr v dn i vo n nh.
Biu 2.15 phn nh din bin li sut trn th trng tin t lin ngn hng
vo thi im cui qu t 3/2005 3/2010 ph hp vi tnh trng cung cu vn kh
dng ca cc ngn hng trong mi thi k
Biu 2.15: Li sut th trng tin t lin ngn hng (2005-2010)

20
18
16
14

Qua m

12

1 thng

10

3 thng

6 thng

12 thng

4
2

3/

20
0
6/ 5
20
0
9/ 5
20
0
De 5
cM 05
ar
-0
Ju 6
n9/ 06
20
0
D 6
ec
-0
M 6
ar
-0
6/ 7
20
0
Se 7
pD 07
ec
3/ 07
20
0
Ju 8
n0
9/ 8
20
08
De
c0
3/ 8
20
0
Ju 9
nSe 09
pDe 09
cM 09
ar
-1
0

Ngun: NHNN Vit Nam


- Li sut lin ngn hng c quan h cht ch vi li sut huy ng, cho vay
trn th trng 1 song c mc bin ng mnh:

80

Biu 2.19 phn nh mi tng quan gia li sut qua m lin ngn hng
thi im cui thng v li sut huy ng, li sut cho vay ngn hn ph bin ca
cc ngn hng t u nm 2008 n nay. Nhn chung li sut lin ngn hng v li
sut trn th trng tn dng bin ng cng chiu. Song li sut lin ngn hng, c
bit l li sut qua m bin ng mnh. Mt mt do mc li sut ny phn nh
cung - cu vn kh dng ngay tc thi ca cc ngn hng, thm na thi hn li rt
ngn nn c nhng thi im li sut lin ngn hng ln rt cao v cc ngn hng
phi chu ng b p vn kh dng.
Biu 2.16: Li sut qua m lin ngn hng, li sut huy ng v cho vay ngn
hn ca cc ngn hng (2008-2010)
25
20
15
10
5

LS cho vay

3/
10

1/
10

Th
n
g

11
/0
9

Th
n
g

9/
09

Th
n
g

7/
09

Th
n
g

5/
09

Th
n
g

3/
09

LS huy ng

Th
n
g

1/
09

Th
n
g

11
/0
8

Th
n
g

9/
08

Th
n
g

7/
08

Th
n
g

5/
08

Th
n
g

3/
08

Th
n
g

Th
n
g

Th
n
g

1/
08

LS lin ngn hng qua m

Ngun: NHNN Vit Nam


- Li sut lin ngn hng cng b khng ch bi trn li sut: Thng 8/2008
thng c NHNN ban hnh Quyt nh s 1849/Q-NHNN. Theo , t ngy
19/8/2008, cc t chc tn dng n nh li sut huy ng v li sut cho vay bng
ng Vit Nam gia cc t chc tn dng trn TTLNH khng vt qu 150% ca
li sut c bn do NHNN Vit Nam cng b p dng trong tng thi k. Do vy
sau thi im ny, mc d li sut c th bin ng mnh hng ngy nhng khng
vt qu mc cho php, v vy cng khng c mc li sut cao "k lc" nh trc
y.
* Mc nhy cm vi tc ng ca NHNN

81

- Li sut lin ngng hng phn nh r tc ng ca NHNN n d tr ca


cc ngn hng: Trong iu hnh chnh sch tin t, NHNN la chn mc tiu trung
gian l tng phng tin thanh ton M2, mc tiu hot ng l d tr ca cc ngn
hng. Khi NHNN s dng cc cng c thc hin chnh sch tin t tht cht, c
bit l tng d tr bt buc, bn cc giy t c gi dn n vic cc ngn hng khan
kim v d tr, li sut lin ngn hng b y ln cao. Ngc li khi NHNN thc
hin CSTT ni lng hn, tnh trng cng thng v d tr khng cn, thm ch d
tha v vn kh dng, li sut lin ngn hng gim r rt. NHng din bin ca li
sut lin ngn hng t u nm 2008 nh phn tch trn phn nh rt r iu
.
- Li sut lin ngn hng i khi t chu tc ng bi li sut ch o ca
NHNN: Cc mc li sut do NHNN qui nh trc ht l li sut li sut ti cp
vn, li sut ti chit khu, li sut c bn c nhng thi k di khng iu chnh
nhng li sut lin ngn hng vn bin ng. Hoc li sut ch o tng nh nhng
li sut lin ngn hng li tng rt cao (V d t thng 2/2008 n thng 9/2008). S
bin ng ca li sut th trng lin ngn hng chu p lc bi cc yu t cung cu
vn trn th trng mnh hn l t li sut ch o.
Phn 2 ca d n tp trung nghin cu c im th trng cc cng c n
Vit Nam t nm 2005 n nay, c bit l t u nm 2008 khi th trng ti
chnh c nhiu bieebs ng, Kt hp vi cc iu kin ca tng m hnh xy dng
ng cong li sut chun phn 1, phn 3 ca d n s la chn loi li sut v
m hnh ph hp xy dng ng cong li sut chun ca Vit Nam.

82

PHN 3
XY DNG NG CONG LI SUT CHUN CA VIT NAM

3.1. Quan im v thc t xy dng ng cong li sut hon vn ca Vit


Nam
3.1.1. Quan im xy dng ng cong li sut chun
Yu cu hnh thnh mt h thng cc ch bo kinh t cho cng tc d bo v
nh hng k vng ca th trng l rt cn thit trong iu kin hin nay. Trong
iu kin th trng ti chnh phi i mt vi lung vn ngoi di chuyn ngoi kh
nng kim sot ca NHTW, tnh trng la ha lm cho mt bng li sut bin
ng ni a ph thuc vo s bin ng ca li sut ngoi, NHNN Vit nam
chn gii php kim sot trc tip mt bng li sut v v th xu hng bin ng
li sut v kh nng d bo xu hng hu nh b bp mo. Trong bi cnh ny,
quan im ca nhm nghin cu khi xy dng ng cong li sut chun ca VN
th hin nh sau:
Th nht, Xy dng 1 ng cong li sut c tc dng l li sut tham kho
trong h thng ngn hng.
Vic xy dng mt ng cong li sut chun cho c th trng ti chnh vi
vic s dng li sut cng c n chnh ph l khng th thc hin c Vit nam
bi c im ca th trng tri phiu chnh ph. Mt khc, th trng tn dng
ang gi vai tr ch o trong h thng th trng ti chnh v li sut ca ngn
hng phn ng nhy cm nht vi nhng tc ng ca NHTW, c kh nng nh
hng ti c h thng th trng ti chnh cng nh nh hng ti chi ph vn ca
cc ch th phi ngn hng.
Th hai, ng cong li sut mang c im ring ca Vit nam
Quan im ny cho php nhm nghin cu mnh dn s dng loi li sut c
kh nng biu t thng tin tch cc nht m khng nht thit phi tun th cc

83

nguyn tc thng thng ca ng cong li sut. Vic nghin cu th trng ti


chnh VN cho thy, c th s dng cc cng c n ngn hn th trng tn dng
thay th cho tri phiu kho bc khi xt n mc ri ro tn dng. V nhng din
bin ca ng cong li sut i khi phi c gii thch bi nhiu gi thit gn vi
thc t vn hnh chnh sch v iu tit h thng li sut ca NHNN Vit nam
cng nh xu hng phn ng ca th trng i vi cc chnh sch iu tit.
Th ba, Hon thin dn theo chun mc quc t
Khi nghin cu su vo s vn thnh ca h thng th trng ti chnh v s
vn ng cng nh tng quan gia cc mc li sut ca cc b phn th trng,
nhm nghin cu nhn thy, cc iu kin cn bn cho vic xy dng mt chui li
sut phn nh quy lut vn ng ca li sut c xc lp mt mc nht
nh. Tuy vy li sut thc s l kt qu ca quan h cung cu vn v do
ng cong li sut thc s l cng c d bo bin ng li sut cng nh phn nh
mc tc ng ca cc bin s v m khc cn phi c thi gian chun ha dn
cc iu kin th trng. Theo , ng cong li sut s c iu chnh dn theo
chun mc quc t.
3.1.2. ng cong li sut chun hin hnh
Hin nay c hai t chc chnh thc cng b li sut hon vn i vi tri
phiu chnh ph Vit Nam l hng tin ti chnh Bloomberg v Ngn hng pht trin
chu . Trn website ca mt s cng ty chng khon cng cng b li sut hon
vn ca tri phiu chnh ph trn c s trch dn s liu c cung cp bi
Bloomberg.
Biu 3.1: Hnh dng ng cong li sut chun ca Vit Nam trn
Bloomberg (Ngy 20/4/2010)

84

xy dng ng cong ny, Bloomberg pht trin mt m hnh c tn gi


l Bloomberg Fair Value (BFV) cho php tnh ton gi ca mt tri phiu. M hnh
BFV ch ra mc gi m mt tri phiu nn c giao dch da trn c s mc gi
m cc tri phiu c xp hng tn nhim tng t v thi k o hn tng t ang
c giao dch trong thc t. Mc gi BFV c tnh ton bng cch s dng cc
tri phiu c tnh thanh khon cao m c cng cc c tnh nh cng thuc mt
ngnh cng nghip, c cng mc xp hng tn nhim, cng thuc mt loi th
trng v cng c nim yt theo mt ng tin. T ng cong li sut hon
vn c hnh thnh theo mi ngy cho mi lnh vc da trn mu tri phiu c
la chn cho lnh vc . M hnh BFV s tnh ton gi cho mt tri phiu bt k
da trn ng cong th trng BFV c xy dng nh m t trn. iu ny cho
php ngi ta xc nh c mc gi BFV ca rt nhiu tri phiu m bn thn cc
tri phiu ny khng hin din v mt vt l trn ng cong.
Cht lng ca ng cong BFV ph thuc rt nhiu vo tnh minh bch v
tnh thanh khon ca th trng. Vi th trng tri phiu Vit Nam, ni m d liu
v gi mua bn ca tri phiu thng khng c sn vi cht lng cao, tnh thanh
khon tng i thp do vic giao dch tri phiu ch tp trung vo mt s ch th
kinh t nht nh v gi giao dch ca cc tri phiu km thanh khon rt kh thu
thp, th cht lng ca ng cong BFV s mc khim tn l iu hp l.
Trong ton b quy trnh xy dng m hnh BFV, c mt bc quan trng l
m hnh ha ng cong li sut hon vn ca tri phiu chit khu. Theo ,
Bloomberg s dng hm tuyn tnh ri rc c lng ng cong li sut hon
vn ca tri phiu chit khu. u im ca m hnh ri rc l n bao gm nhiu
tham s hn so vi cc phng php lm trn thng thng nh cc k thut s
dng phng php tham s trnh by mc 1.5 ch bao gm 4 n 6 tham s.
Nhiu tham s s cho php nng cao cht lng khp cc ng cong thuc cc
lnh vc khc nhau bng cng mt m hnh.

85

Thng thng, chng ta ch thu c s liu v li sut hon vn o hn


thng thng bng cch s dng lnh YCRV (Yield Curve Relative Value) trn
mn hnh Bloomberg. Nu mun thu thp ng cong li sut hon vn ca tri
phiu chit khu th lnh Swap Valuation c sn trong h thng lnh Bloomberg s
cho php chng ta tnh ton c ng cong mc tiu bng cch nhp d liu li
sut swap tng ng vi cc ngy thanh ton m chng ta mong mun (nu chui
s liu b ngt qung th buc phi s dng phng php ni suy).
T nhng tm hiu v phng php m Bloomberg s dng a ra gi
tham kho cho cc tri phiu, lm cn c hnh thnh nn ng cong li sut hon
vn n k o hn thng thng v ng cong li sut hon vn ca tri phiu
chit khu, chng ta c th thy rng cc d liu v li sut hon vn ca tri phiu
chnh ph Vit Nam m Bloomberg cung cp rt c th l nhng s liu ch bo
(hay l nhng gi tr m ti tri phiu NN c giao dch hn l n THC S
c giao dch indicative prices/yields versus executable prices/yields). Ni cch
khc, ng cong li sut do Bloomberg cung cp ch mang tnh cht tham kho v
c gi tr nh hng cho cc giao dch trn th trng. Trong mt bo co nm
2007, chuyn gia phn tch cc chng khon c thu nhp c nh Michael Lee ca
Bloomberg cng khng nh rng gn n 90% s liu v gi tri phiu c sn trong
khi d liu tri phiu ca Bloomberg l cc mc gi ch bo; s liu thc hin thc
t ch c sn cho cc tri phiu c giao dch ti mt s sn giao dch in t.
V vy, vic t xy dng ng cong li sut hon vn thng thng v c
bit l ng cong li sut hon vn giao ngay (hay ng cong li sut hon vn
ca tri phiu chit khu hay cu trc k hn ca li sut) l rt quan trng i vi
Ngn hng Nh nc Vit Nam (NHNNVN). Khi , bn thn NHNNVN s a ra
c mt ch bo cho th trng cng nh cung cp i tng th trng so snh
vi d liu ca Bloomberg. ng thi, NHNNVN s ch ng trong vic nh gi
k vng ca th trng v li sut trong tng lai cng nh a ra cc d bo
thc hin chnh sch tin t quc gia. Tuy nhin, iu ny cng cho thy, giai

86

on tnh th trng ca vic hnh thnh li sut cha hon thin th khng th c
mt ng cong li sut chun cho c th trng.
3.2. Xy dng ng cong li sut chun ca Vit Nam
3.2.1. La chn m hnh xy dng ng cong li sut chun cho Vit Nam
3.2.1.1. Xc nh ng cong li sut hon vn mc tiu
im quan trng rt ra t qu trnh nghin cu l ng cong li sut c th
c xy dng da trn li sut hon vn giao ngay (cu trc k hn ca li sut)
hoc li sut hon vn n k o hn (yield to maturity) ca cng c n c la
chn. Tip cn ca gc NHNN v t c im th trng cng c n Vit Nam,
vic s dng cch tnh li sut hon vn giao ngay l thch hp xut pht t l do
sau:
Th nht, ng cong li sut hon vn giao ngay (on the run) khc phc
c nhng hn ch ca ng cong li sut hon vn n k o hn thng
thng (off the run) v do cht lng thng tin hm cha cng nh kh nng d
bo ca n s cao hn. Trong iu kin th trng l hon ho, s chnh lch gia
mc thu nhp gia loi tri phiu mi pht hnh v li sut hon vn ca loi tri
phiu pht hnh (c thi hn cn li tng ng) l khng ng k khi cc loi
tri phiu vi k hn khc nhau c th thay th cho nhau tng i hon ho. Tuy
nhin vi mt th trng c ri ro cao, thi hn u t ngn c a thch cng
vi tnh thanh khon thp nh ca Vit Nam th mc chnh lnh gia hai loi li
sut l rt ln.
Th hai, vic hnh thnh cu trc k hn ca li sut cng khng nht thit
i hi phi c d liu v li sut hon vn ca cc thi hn ca cng c n trung
di hn m hon ton c th da trn cc loi li sut ngn hn trn th trng tin
t xy dng ng cong li sut vi m hnh thch hp.
Th ba, v th trng th cp tri phiu chnh ph Vit Nam cha thc s
thanh khon nn cc giao dch ca cc tri phiu pht hnh khng ln hnh

87

thnh gi chnh xc. Nu xc nh gi th trng theo nguyn tc tnh gi tr hin ti


ca tri phiu vi k hn cn li th mc gi ch l gi l thuyt, i khi khc xa
gi th trng. Nu tnh thm ri ro tnh lng th mc gi thc s s thp hn rt
nhiu so vi gi l thuyt.
Cui cng, tt c cc m hnh m chng ta nghin cu pha trn u cho
php vic m phng cu trc k hn ca li sut v mt l thuyt da trn cc d
liu quan st c. D liu u vo ca mi m hnh c th n gin v phc tp
khc nhau nhng kt qu u ra u thng nht l cu trc k hn l thuyt. Mi m
hnh u cha nhng u nhc im nht nh xt trn gc l thuyt cng nh
ng dng thc t. Vic la chn m hnh ph hp cho Vit Nam s c trnh by
chi tit hn mc tip theo.
3.2.1.2. La chn m hnh xy dng ng cong li sut chun
Xut pht t iu kin p dng cc m hnh xc nh ng cong li sut
in hnh, m hnh im cn bng mt nhn t s l thch hp vi iu kin ca
Vit nam. M hnh ny cho php s dng li sut ngn hn suy din ra cc mc
li sut cc k hn khc theo ng bn cht ca cu trc k hn li sut. Kh nng
s dng cc m hnh xc nh ng cong li sut khc l khng ph hp trong
iu kin hin nay vi l do c th nh sau:
- i vi m hnh t do chnh lch gi
iu kin cn bn cho php ng dng m hnh ny l da vo vic s dng
h thng li sut hon vn ca k hn n hn xc nh cc im trn ng
cong li sut. Tuy vy, c im th trng th cp khng pht trin ca Vit Nam
khng cho php s dng chui gi tr ny cho vic s dng m hnh t do chnh
lch gi. Thng tin ca ng cong li sut, trong trng hp ny, c th gy ra d
bo sai v chiu hng bin ng li sut khi c s chnh lch ln gia li sut th
trng thc t vi mc li sut l thuyt (li sut hon vn tnh ton da theo
nguyn tc gi tr hin ti i vi cc cng c n pht hnh).
- i vi m hnh a nhn t

88

S bin ng li sut ni t ca th trng ti chnh Vit Nam b nh hng


bi nhiu yu t khc ngoi s chi phi ca NHNN nh li sut ngoi t, t gi, s
can thip ca chnh ph trc tip hoc gin tip thng qua mc n cng, lm
mc li sut thc t bin ng hon ton xa vi s trng i ca NHNN cng nh
ca th trng. Vic tnh n cc yu t ny v th s lm lu m din bin li sut
theo k vng ca NHNN trong iu hnh chnh sch tin t v v th ni dung thng
tin ca li sut vi t cch l ch bo ca chnh sch tin t s khng chnh xc. S
dng m hnh mt nhn t cho php phn nh nh hng ca CSTT ti ng cong
li sut, hy vng s tch c cc nhn t nh hng ti li sut thc khng xut
pht t CSTT. Vi quan im xy dng ng cong li sut cho mc tiu tham
kho ca NHNN th la chn ny l thch hp. Hn na, h thng d liu v k
thut khng cho php s dng m hnh a nhn t.
- i vi cc m hnh phc tp v i hi h thng d liu phong ph vi
chnh xc cao khi s dng k thut tham s hay k thut ni suy bng cc hm ni
trc bc ba th h thng d liu hin ti ca VN khng iu kin p ng.
V vy, trong iu kin ca Vit Nam, m hnh thch hp hn c l m hnh
im cn bng mt nhn t. Trong chng ti kin ngh s dng m hnh Vasicek
v/hoc CIR bi kh nng ng dng trc tip vi b s liu Vit Nam cng nh
chnh xc nht nh ca m hnh i vi trng hp cc th trng ang pht trin
nh trong cc phn tch v m hnh mt nhn t trn ch ra. Vic s dng m
hnh CIR s ch c t ra khi kt qu c lng m hnh Vacisek cho cc gi tr
li sut m.
V bn cht hai m hnh ny s cho php hnh thnh nn ton b cu trc k
hn ca li sut t mt nhn t l li sut ngn hn. V vy, vn y l (i) la
chn mc li sut ngn hn ph hp; (ii) la chn phng php c lng cc
tham s mt cch chnh xc nht; v (iii) lm th no nh gi c chnh xc
ca m hnh trong bi cnh rt kh hnh thnh c cu trc k hn quan st t
thc t (observed term structure) so snh vi cu trc k hn m phng (modeled

89

term structure or fitted term structure). Chng ta s xem xt c th m hnh Vacisek


di gc ng dng gii thch r hn vic la chn m hnh ny.
3.2.2. La chn li sut u vo cho m hnh Vacisek
Khi s dng m hnh Vacisek xy dng ng cong li sut chun cho
Vit Nam, cn la chn li sut u vo cho m hnh. Bn cht ca m hnh
Vacisek l xut pht t mt mc li sut hon vn giao ngay xy dng nn ton
b cu trc k hn ca li sut. Nh vy, d liu u vo i hi phi l loi li sut
ngn hn. Cc nghin cu ng dng u ch ra rng c th s dng cc mc li sut
ngn hn trn th trng lin ngn hng hoc tnh ton li sut hon vn ca cng
c n m thi hn o hn l ngn hn, thm ch 1 ngy.
Cn c vo c im th trng cc cng c n Vit Nam nhm ti a ra
ba phng n la chn li sut u vo l li sut nghip v th trng m 14 ngy,
li sut lin ngn hng qua m v s dng phi hp c 2 loi li sut.
3.2.2.1. Phng n 1: S dng li sut u thu nghip v th trng m 14 ngy
* C s la chn
- Qui m hot ng th trng m: Nghip v th trng m ngy cng th
hin l mt cng c quan trng trong iu hnh chnh sch tin t ca NHNNVN.
Nghip v th trng m pht trin c v doanh s giao dch, s lng cc phin
giao dch, hnh thc giao dch.
- Hng ho giao dch: Hng ho giao dch trong hot ng nghip v th
trng m l tn phiu kho bc, tri phiu chnh ph, tn phiu NHNN c an ton
cao, mc ri ro gn nh bng khng.
- Thi hn giao dch: Theo qui nh, kho bc Nh nc pht hnh tn phiu
kho bc vi cc k hn 91 ngy, 182 ngy, 273 ngy v 364 ngy. Cc tri phiu di
hn c k hn thi hn 2 nm, 3 nm, 5 nm, 7 nm n 10 nm v 15 nm. Nhng
trn thc t, trong vi nm gn y, tn phiu kho bc ch c thi hn 364 ngy. Tuy
vy cc thi hn giao dch ca OMO l kh a dng vi cc k hn giao dch t 7
ngy, 14 ngy, 21 ngy, 28 ngy n 56 ngy to nn cc mc li sut ca cc k

90

hn ngn ca tri phiu Chnh ph. C th chn mc li sut ca k hn giao dch


ngn ph bin hin nay l 14 ngy lm mc li sut u vo cho m hnh. Nhng
din bin thc t ca cc li sut vi cc thi hn giao dch khc nhau cho thy cc
mc li sut ny din bin theo nhau.
- Tnh thanh khon: Mc d tnh thanh khon ca th trng tri phiu
Chnh ph ti s giao dch chng khon H Ni thp, song tnh thanh khon ca
cng c n trn nghip v th trng m rt cao th hin tn sut giao dch, s
lng cc phin giao dch lin tc tng ln. Mt khc, OMO ngy cng tr thnh
th trng cng c ch yu ca NHNN iu chnh mc thanh khon cho h thng
NHTM trong nhng nm gn y.
- Mc chi phi ca NHNN. Li sut nghip v th trng m l mt trong
cc mc li sut mc tiu ca NHNN Vit Nam trong iu hnh chnh sch tin t.
NHNN c gng duy tr mc li sut nghip v th trng m trong cp li sut ch
o, ph hp mc tiu CSTT trong tng thi k. Trong thi gian gn y, OMO
thc s pht huy vai tr can thip ca NHNN vo th trng thanh khon v do
lm cho li sut u thu nghip v th trng m bin ng gn vi quan h
cung cu thanh khon hn. Vic la chn li sut OMO cho ng cong li sut v
th c kh nng phn nh tc ng ca NHNN v phn no th hin c quan h
cung cu ca th trng thanh khon.
* Nhng kh khn:
Hn ch ln nht khi s dng li sut OMO l tnh th trng ca vic hnh
thnh li sut. Mc d c s thay i rt r rng trong vai tr iu tit ca cng
c ny nhng nhng hn ch lin quan n tnh tch cc ca th trng, s lng
ngi tham gia lm hn ch tnh lin tc v tnh ng nht ca dy s liu theo thi
gian. Vn quan trng l cc mc li sut hnh thnh cc phin u thu khng
phi hon ton hnh thnh do quan h cung cu. Trong nhiu trng hp, NHNN
cn can thip vo li sut th trng bng vic a ra mc li sut thng bo, mang
tnh n nh vo nhng thi im li sut th trng vt qu gii hn mong mun
ca NHNN.

91

3.2.2.2. Phng n 2: S dng li sut lin ngn hng qua m


* C s la chn
- V qui m v thi hn giao dch: Th trng lin ngn hng c s pht
trin nhanh chng v doanh s giao dch, phng thc giao dch, ch th tham gia
th trng. Thi hn giao dch trn th trng lin ngn hng tng i a dng vi
cc k hn ngn: qua m, 1 tun, 2 tun, 1 thng, 2 thng, 3 thng, 6 thng, 12
thng to nn chui li sut a dng.
- Tnh th trng v mc thanh khon: Cc giao dch trn th trng lin
ngn hng c thc hin hng ngy v v th cc li sut vi cc thi hn khc
nhau cng c hnh thnh hng ngy to nn s lin tc ca dy s liu. Nhng
bin ng ca li sut lin ngn hng phn nh chnh xc quan h cung cu vn
gia cc NH trong tng thi im.
- Phn nh tc ng ca NHNN: Th trng lin ngn hng l ni phn nh
phn no tc ng ca CSTT khi nhng can thip ca NHNN trn OMO chuyn ti
nh hng ca n ti cung cu vn lin ngn hng. Li sut qua m cng phn nh
kh r cung cu v vn kh dng v phn no chi phi li sut trn th trng tn
dng gia cc t chc tn dng v khch hng ca h - mt th trng p ng phn
ln nhu cu vn cho cc ch th kinh t. .
* Nhng kh khn:
Kh khn trc ht ca vic s dng li sut lin ngn hng hnh thnh
nn ng cong li sut tham chiu l ch: bn thn cung cu trn thi trng lin
ngn hng khng ch phn nh quan h cung cu thanh khon ngn hn m th
trng ny cn l ni cung ng cc khon cho vay trung di hn ( bng cch quay
vng cc khon vay ngn hn) cho nn kinh t. iu ny c th gy ri ro h thng
khi cc NH ph thuc vo nhau qua khon tn dng trung v di hn. Mt khc lm
sai lch tnh cht ngn hn ca cc giao dch vn lin ngn hng v lm cho li sut
bin ng vt khi mc chi phi v kim sot ca NHNN.

92

Bn cnh , T thng 8/2008, li sut lin ngn hng b khng ch trong


gii hn 150% li sut c bn. Trong thc t, nhiu giai on th trng vn cng
thng th hin mc li sut lin ngn hng tng cao nh nm 2005, 2006 cui
2007 u 2008, c nhng thi im ln ti 40%/ nm. Mc d mc bin ng li
sut lin ngn hng cao hn nhiu ln s bin ng ca li sut th trng vn
nhng n lun phn nh chnh xc chiu hng trong quan h cung cu vn v phn
nh chnh xc mc cng thng thanh khon ca h thng NH Vit Nam trong
tng thi k vi nhng c im trong lun chuyn vn ca h thng. V th vic
khng ch mc li sut trn i vi th trng lin ngn hng cng mc vi trn li
sut ca th trng tn dng ni chung (vi thi hn di hn) s hn ch kh nng
biu t thng tin ca ng cong li sut lin ngn hng.
3.2.2.3. Phng n 3: S dng c li sut th trng m v li sut lin ngn hng
qua m
Vic la chn hoc li sut lin ngn hng hoc li sut nghip v th trng
m lm li sut c bn ca ng cong li sut tham chiu u khng phi l la
chn hon ho. V bn cht, trong iu kin th trng tin t hot ng tch cc
vi kh nng qun tr v kinh doanh thanh khon chuyn nghip ca h thng
NHTM, hai mc li sut ny c mi quan h cht ch. Trong , li sut lin ngn
hng l li sut th trng, lun bin ng xoay quanh mc li sut mc tiu b chi
phi bi cc can thip trc tip ca NHTW trong cc hot ng giao dch ca
nghip v th trng m. Trong iu kin ca Vit Nam, hai mc li sut ny c
chnh lch kh ln. iu ny th hin mc v phm vi nh hng hn ch ca
li sut nghip v th trng m ti chu chuyn vn ca th trng lin ngn hng.
Trong chng mc nht nh, chnh lch ny cng ln, s bin ng ca li sut
lin ngn hng cng vt khi tm kim sot ca NHNN.
Vic s dng c hai ng cong li sut, v l do trn, cho php phn nh
hai dng thng tin lin quan n xu hng iu chnh li sut ca NHNN v xu
hng bin ng li sut th trng mt cch ring bit. Vi mt quy m th trng

93

nht nh, NHNN c th iu chnh mc v phng thc can thip ca OMO


nhm m bo kh nng chi phi li sut th trng.
3.3. Th nghim xy dng ng cong li sut chun ca Vit Nam
3.3.1. H thng d liu
Trong th nghim ny, s liu li sut lin ngn hng qua m c thu thp
t 22/06/2005 ti 08/03/2010 v li sut tri phiu chnh ph loi ngn hn (li sut
nghip v th trng m 14 ngy) quan st c t 04/03/2008 ti 31/03/2010.
Trong cc li sut lin ngn hng qua m l loi li sut tha mn iu kin l
li sut hon vn giao ngay (on the run), trong khi li sut tri phiu chnh ph c
tnh ton trn c s s dng cng thc xc nh li sut hon vn ca cc tri phiu
pht hnh (off the run). Nh vy li sut lin ngn hng tha mn iu kin ca
m hnh ng cong li sut hn.
Giai on nghin cu li sut tri di t 22/6/2005 ti 8/3/2010 l giai on
th trng lin ngn hng hot ng tch cc th hin doanh s giao dch, tnh a
dng ca thi hn v mc bin ng ca li sut, c bit li sut qua m. Thi
im trc 2005, th trng lin ngn hng t bin ng. Tuy vy s liu cng bao
gm c giai on b chi phi bi trn li sut c bn t thng 8/2008 nn s bin
ng trong c giai on s khng ng nht.
Biu 3.2: Din bin ca li sut lin ngn hng loi OND
(t 22/06/2005 ti 8/3/2010)

94

Giai on nghin cu ca li sut giao dch nghip v th trng m thi hn


14 ngy trong thi gian 2 nm tr li y c la chn bi y l giai on hot
ng OMO tch cc nht vi s can thip ca NHNN khi s dng kh thng
xuyn cng c OMO chi phi vo mc tiu thanh khon ca h thng NHTM.
Vi mc tiu thng tin k vng t vic thit lp hai ng cong li sut tham chiu,
h thng s liu c la chn c th p ng c trong mt chng mc nht nh
Biu 3.3: Din bin li sut OMO 14 ngy

(t 11/12/2008 n 7/3/20010)

Biu 3.4: Din bin ca li sut lin ngn hng loi 1 thng
(t 22/06/2005 ti 8/3/2010)

95

3.3.2. Xc nh cc thng s ca m hnh


Vic c lng cc tham s a,b, v r(0) t b d liu u vo lm c s
tnh ton cu trc k hn thng da trn mt s phng php nh OLS, GMM v
ML. Cc nghin cu thc nghim hin nay a phn s dng phng php ML
tm ra bn tham s ny (James and Webber, 2004). Bng cch a ra hm ti u
cho bn tham s ny vi cc iu kin bin, chng ta c th s dng linh hot cc
on m c sn c xy dng trn phn mm Matlab hoc n gin l s dng
phn mm nhng Solver trn Excel hon tt qu trnh ti u ha v tm ra cc gi
tr ca bn tham s.
T tp d liu c, ta s chn ra tp d liu ph hp nh sau:
- Loi b c cc quan st c s lng nh nht.
- C trung bnh ln nht.
Do cc li sut ngn hn tho mn c phng trnh vi phn:
(1.5) (M hnh Vasicek)
Vi:

b l mc li sut trung bnh di hn.

a l tc a li sut ngn hn v li sut trung bnh di hn b.

l lch chun ca r.
T tp d liu u vo ta s dng phng php MLE (maximum likehood

estimator) thit lp cc thng s a, b v thng qua Microsoft Excel c m t


Biu 3.5, 3.6 v 3.7

96

Biu 3.5: Thit lp cc thng s ca m hnh

Biu 3.6: Mn hnh Solver

97

Biu 3.7: Mn hnh Solver Options

Loi li sut
Lin ngn hng 1MD
Lin ngn hng OND
Tri phiu chnh ph k

7.1861
7.696

0.1035
0.0906

0.0254
0.0493

hn 14 ngy

3.5841

0.094

0.0622

3.3.3. ng cong li sut m phng


Gi s ti thi im 8/03/2010, yu cu d on ng cong li sut ca
ngy 9/03/2010 vi m hnh ng cong Vasicek bng vic s dng thng tin n
ngy 08/03/2010. d on c, trc tin ta phi xc nh cc tham s a, b v
ca ngy 8/3/2010 theo mc 3.3.2 trn.
Sau s dng cng thc:
P(t,T)=A(t,T)e-B(t,T)r(t)
B ( t, T ) =

(1.6)

1 e a ( t T )
a

(1.7)

(B ( t, T ) ( T t ) ) a2b ( 2 / 2)
2 B2 ( t, T )

A ( t , T ) = exp

4a
a2

(1.8)

98

V cui cng chng ta tnh ton c cu trc hon chnh:


ln(

r ( t, T ) =

1
)
P (t , T )
T t

(1.9)

Vi d liu l li sut lin ngn hng 1MD th ta c c bng d liu cc


thng s v th ca ng cong li sut nh sau:

Time to maturity B(t,T)

A(t,T)

P(t,T)

R(t,T)

(year)
0
0.083333
0.166667
0.25
0.333333
0.416667
0.5
0.75
0.833333
0.916667
1
1.083333
1.166667
1.25
1.333333
1.416667
1.5
1.583333

0
0.062698
0.097147
0.116075
0.126475
0.13219
0.13533
0.138523
0.13881
0.138967
0.139053
0.139101
0.139127
0.139141
0.139149
0.139153
0.139156
0.139157

1
0.997867
0.992831
0.986236
0.97882
0.970989
0.962964
0.938681
0.930648
0.922672
0.914757
0.906907
0.899122
0.891403
0.883749
0.876161
0.868638
0.861179

1
0.99412
0.987061
0.979391
0.971421
0.963318
0.955177
0.930911
0.922929
0.915011
0.907157
0.899369
0.891648
0.883992
0.876401
0.868876
0.861415
0.854019

6.0000%
7.0769%
7.8140%
8.3297%
8.6987%
8.9691%
9.1717%
9.5455%
9.6243%
9.6894%
9.7440%
9.7903%
9.8301%
9.8646%
9.8948%
9.9215%
9.9452%
9.9665%

99

1.666667
1.75
1.833333
1.916667
2
2.25
2.75
3
3.25
3.5
3.75
4
4.25
4.5
4.75
5

0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158
0.139158

0.853784
0.846453
0.839185
0.831979
0.824835
0.803769
0.763237
0.743744
0.724749
0.706239
0.688202
0.670626
0.653498
0.636808
0.620544
0.604695

0.846685
0.839415
0.832207
0.825061
0.817977
0.797086
0.756891
0.73756
0.718723
0.700367
0.68248
0.665049
0.648064
0.631513
0.615384
0.599667

9.9856%
10.0028%
10.0186%
10.0329%
10.0461%
10.0797%
10.1286%
10.1469%
10.1624%
10.1757%
10.1873%
10.1973%
10.2062%
10.2142%
10.2212%
10.2276%

Vi d liu l li sut lin ngn hng loi OND th ta c c bng d liu


cc thng s v th ca ng cong li sut nh sau:

Time to maturity
0
0.083333
0.166667
0.25
0.333333
0.416667
0.5

B(t,T)
0
0.063225
0.098613
0.118422
0.129509
0.135715
0.139189

A(t,T)
1
0.998185
0.993871
0.988184
0.981756
0.974939
0.967931

P(t,T)
1
0.994405
0.988008
0.981187
0.974156
0.967033
0.959882

100

0.75
0.833333
0.916667
1
1.083333
1.166667
1.25
1.333333
1.416667
1.5
1.583333
1.666667
1.75
1.833333
1.916667
2
2.25
2.75
3
3.25
3.5
3.75
4
4.25
4.5
4.75
5

0.142831
0.143172
0.143362
0.143469
0.143529
0.143562
0.143581
0.143592
0.143598
0.143601
0.143603
0.143604
0.143604
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605
0.143605

0.946629
0.939559
0.932529
0.925545
0.918609
0.911722
0.904887
0.898102
0.891367
0.884682
0.878048
0.871463
0.864928
0.858442
0.852004
0.845615
0.826732
0.790223
0.772578
0.755326
0.73846
0.721971
0.705849
0.690088
0.674678
0.659613
0.644884

0.938551
0.931523
0.924542
0.917612
0.910732
0.903903
0.897125
0.890397
0.88372
0.877093
0.870515
0.863987
0.857508
0.851077
0.844694
0.83836
0.81964
0.783444
0.76595
0.748846
0.732125
0.715777
0.699794
0.684167
0.66889
0.653954
0.639352

Vi d liu l li sut tri phiu chnh ph thi hn 14 ngy vi 143 quan


st th ta c c bng d liu cc thng s v th ca ng cong li sut nh
sau:

101

Time to maturity B(t,T)


0
0.083333
0.166667
0.25
0.333333
0.416667
0.5
0.75
0.833333
0.916667
1
1.083333
1.166667
1.25
1.333333
1.416667
1.5
1.583333
1.666667
1.75
1.833333
1.916667
2
2.25
2.75
3
3.25
3.5
3.75

0
0.07204
0.12548
0.165122
0.194528
0.216342
0.232524
0.260037
0.264936
0.268571
0.271267
0.273267
0.274751
0.275852
0.276668
0.277274
0.277723
0.278056
0.278303
0.278487
0.278623
0.278724
0.278799
0.278926
0.278999
0.279008
0.279011
0.279013
0.279013

A(t,T)
1
0.998939
0.996137
0.992056
0.987044
0.981358
0.975189
0.955029
0.948023
0.940956
0.93386
0.926756
0.919663
0.91259
0.905548
0.898543
0.891579
0.884659
0.877786
0.870961
0.864185
0.857459
0.850783
0.831059
0.792958
0.774566
0.7566
0.73905
0.721908

P(t,T)

R(t,T)
1
0.993198
0.986187
0.979038
0.971802
0.964519
0.957217
0.935367
0.928141
0.920954
0.913812
0.906716
0.899669
0.892672
0.885726
0.878831
0.871988
0.865198
0.858459
0.851771
0.845136
0.838551
0.832018
0.81272
0.775456
0.757469
0.739899
0.722737
0.705973

8.0000%
8.1897%
8.3454%
8.4740%
8.5808%
8.6701%
8.7451%
8.9088%
8.9486%
8.9831%
9.0131%
9.0393%
9.0624%
9.0829%
9.1011%
9.1173%
9.1319%
9.1451%
9.1570%
9.1678%
9.1777%
9.1868%
9.1951%
9.2164%
9.2474%
9.2591%
9.2690%
9.2774%
9.2848%

102

4
4.25
4.5
4.75
5

0.279013
0.279013
0.279014
0.279014
0.279014

0.705163
0.688807
0.672829
0.657223
0.641978

0.689597
0.673602
0.657978
0.642715
0.627807

9.2912%
9.2968%
9.3019%
9.3064%
9.3104%

3.3.4. Kim nh m hnh

kim nh tnh chnh xc ca m hnh trong bi cnh ca th trng Vit


Nam - cu trc k hn da trn vic tnh ton li sut hon vn giao ngay khng
phi lc no cng xc nh c - th gii php l s dng b d liu u vo, tch
lm hai phn, mt phn dng tnh ton cc gi tr ti u, mt phn dng kim
nh nng lc d bo ca m hnh. i vi b phn d liu th nht, chng ta s s
dng tm ra bn tham s quan trng bng phng php ti u ha nh nu
trn. T bn tham s ny s hnh thnh c cu trc k hn l thuyt. Dng cu
trc k hn l thuyt tnh ton cc gi tr l thuyt tng ng vi thi gian ca
b s liu th hai. Cui cng so snh cc gi tr l thuyt vi gi tr thc t ca b
s liu th hai. Tng bnh phng lch cng nh th chng t chnh xc ca
m hnh cng cao.
3.4. Kt lun
Vic th nghim xy dng ng cong li sut chun vi 3 loi li sut ngn
hn: li sut lin ngn hng qua m, li sut nghip v th trng m 14 ngy tham
kho thm li sut lin ngn hng 1 thng trn c s s dng m hnh Vacisek mt
nhn t cho thy hnh dng tng t ca ng cong li sut c 3 loi li sut. Xu
hng dc ln trn theo dng thng thng th hin chnh xc xu hng bin ng
ca li sut nu nghin cu din bin li sut trong thi gian nghin cu. Tuy vy,
qu trnh nghin cu ny sinh mt s vn lin quan n h thng d liu, tnh th
trng ca li sut cng nh mc lin h thp gia cc th trng. Nhng hn
ch ny lm cho ng cong li sut khng th phn nh ni dung thng tin mt
cch chnh xc. c mt ng cong li sut hon ho hn, cn ci thin cc iu
kin th trng ca li sut lin quan n h thng thng tin, mc v phng

103

thc can thip vo th trng ti chnh cng nh s pht trin ca th trng tri
phiu chnh ph ( c trnh by ti nghin cu m s NH/2007-03)
Trc mt, th nghim ny mi dng li vic m phng mt m hnh
ng cong li sut vi h thng d liu cha y . ng cong li sut ca Vit
nam cha th gi l ng cong chun c tc dng nh hng k vng ca th
trng v lm cn c xc nh ng cong li sut ca cc ch th pht hnh cng
c n trn th trng ti chnh. ng cong li sut m phng cho bit xu hng
vn ng ca li sut v cung cp mt cn c tham kho cho cc ch th tham gia
trn th trng ti chnh. i vi NHNN, vic quan st din bin hai ng cong li
sut cho php nh gi c mc chnh lch gia li sut mc tiu v li sut th
trng- i tng cn kim sot. Trn c s c th iu chnh mc can thip
cn thit.

104

KT LUN
ng cong li sut chun l mt trong nhng ch bo kinh t rt quan trng
trong iu hnh kinh t v m v cho c cc ch th kinh t trong hot ng kinh t
vi m. Phn ln cc nc u xy dng ng cong li sut chun da trn c
im th trng cc cng c n, li sut vi m hnh ph hp. c mt s t chc
quc t cng b ng cong li sut chun ca Vit Nam theo li sut kho bc nn
cha mang tnh thc t cao. V vy vic la chn mt hoc mt s loi li sut thay
th vi m hnh ph hp xy dng ng cong li sut chun ca Vit Nam l
rt cn thit.
Xut pht t yu cu trn, d tp trung gii quyt cc vn sau:
Mt l: Nghin cu cc m hnh xy dng ng cong li sut chun vi c
im, iu kin p dng v ngun s liu, mc pht trin ca th trng cc cng
c n v ngha ca mi m hnh.
Hai l: Tm hiu thc t xy dng ng cong li sut chun ca mt s
quc gia trn th gii v rt ra bi hc b ch cho Vit Nam.
Ba l: Kho st thc trng qui m th trng cc cng c n Vit Nam v
c im v tnh thanh khon, li sut ca mi th trng nhm tm ra mc li sut
ca mt th trng ph hp xy dng ng cong li sut chun cho Vit Nam.
Bn l: Nu r quan im ca nhm d n ti v la chn m hnh xy dng
ng cong li sut chun cho Vit Nam.
Nm l: Th nghim xy dng ng cong li sut chun ca Vit Nam vi
ng cong li sut m phng da trn d liu ca li sut lin ngn hng v li
sut hot ng th trng m.
Trn c s l thuyt, kinh nghim ca cc nc v thc t Vit Nam, nhm
d n xy dng ng cong li sut chun trong iu kin hin ti ca Vit
Nam. Trong kh nng ca mnh, nhm d n c gng thc hin mc tiu nghin

105

cu ca ti song khng trnh khi nhng khim khuyt. Nhm d n rt mong


nhn c s ng gp ca cc nh khoa hc hon thin thm vn nghin cu
v kt qu nghin cu c th ng gp thit thc vo thnh cng ca hot ng
ti chnh - ngn hng v nn kinh t.
Xin chn thnh cm n.

106

DANH MC TI LIU THAM KHO

1. Ting Vit
1. B Ti chnh (2008), n xy dng th trng giao dch tri phiu chnh

ph chuyn bit, H Ni 1/2008.


2. Trn Vit Dng Li sut ch o trong u thu tri phiu chnh ph: B
hay khng b? Tp ch ti chnh s 10/2001
3. H Quang o Nhn li c ch iu hnh li sut trong thi gian qua Gii
php thi gian ti Nghin cu kinh t s 310/2004
4. H Th Su (2009), Gii php pht trin th trng tin t Vit Nam, ti

nghin cu khoa hc cp c s (Hc vin Ngn hng)


5. Gangadhar Darbha, c lng ng cong li sut chun Phng php
s dng hm bin ngu nhin, Trung tm nghin cu ti chnh Rodney L.
White, thng 3/2004
6. Ngiam Kee Jin v Lixia Loh, Pht trin th trng tri phiu doanh nghip
Kinh nghim ca Singapore, Tp ch Kinh t v Ti chnh, s 2/2002
7. Nguyn H u thu tn phiu kho bc qua 2 thng u nm Kt qu kh
quan Thi bo ti chnh 3/2004
8. L Thu H Giao dch tri phiu Chnh ph, nhng kh khn ban u v
gii php tho g - Tp ch chng khon Vit Nam s 3/2001
9. Trn Xun H Vai tr ca tri phiu chnh ph v th trng tri phiu
chnh ph i vi pht trin kinh t - Tp ch chng khon Vit Nam s
03/2003
10. L Vn Hinh, Ng Vit Phng Li sut trn th trng ti chnh Vit nam
Nghin cu kinh t s 301/2003
11. Bi Nguyn Hon Tri phiu Chnh ph - Tp ch Ti chnh s 11/2003
12. L Hng Mt s kin v t chc th trng u thu tn phiu kho bc
nm 2003 Tp ch ngn hng s 1/2004
13. Nguyn c Hng Mt s kin gp phn hon thin c ch iu hnh i
sut v pht trin th trng tin t - Tp ch ngn hng s 10/2003
14. Nguyn Vn Hng Bn v gii php pht trin th trng ti chnh Vit
Nam Tp ch chng khon Vit nam s 5/2003
15. Nguyn Xun Lut Th trng m v th trng u thu tn phiu kho bc
tc ng c hiu qu n c ch iu hnh li sut tha thun Tp ch ngn
hng s 6/2003

107

16. Nguyn Th Hng Lin Pht hnh v giao dch tri phiu chnh ph ti
trung tm giao dch chng khon thnh ph H Ch Minh Hn ch v gii
php Tp ch ti chnh s 10/2001
17. T Kim Ngc (2008), Hon thin iu kin xy dng ng li sut chun

ca Vit Nam, ti nghin cu khoa hc cp ngnh, m s KNH 2007-03


18. TS. Phng Khc K - Ph Thng c NHNN Vit Nam Th trng tin t
trong qu trnh xy dng nn kinh t th trng nh hng XHCN nc ta
19. V Th Kim Lin Cc gii php pht trin th trng tri phiu, Tp ch
chng khon Vit Nam s 4/2003
20. Trng Cu Long Gii php pht trin th trng tri phiu Tp ch
chng khon Vit Nam s 2/2002
21. Michael Briers, Suresh Cugenesan, Vai tr ca th trng tri phiu

chu trong cuc khng hong chu , Ti liu nghin cu ca SIRCA,


thng 1/1999
22. Frederic S.Mishkin Tin t, Ngn hng v Th trng ti chnh Nh xut
bn khoa hc v k thut, 1999
23. PGS.TS. L Hong Nga Thnh lp cng ty mi gii trn th trng tin t
Vit Nam Tp ch ngn hng s 14/2003
24. Nitin Jaiswal, Xy dng ng cong li sut cho th trng chu Thch
thc v con ng pha trc, Thng Hi 5/2006
25. T Kim Ngc (2004) L thuyt tin t - Ngn hng Gio trnh i hc
NXB Thng k
26. Philip D Wooldridge, S hnh thnh cc ng cong li sut chun mi,
BIS Quarterly Review, thng 12/2001
27. Ng. Nam Sin, Pht trin th trng tri phiu Trng hp ca Singapore,
Hi tho Pht trin th trng tri phiu APEC, thng 6/2005
28. S giao dch NHNN Tng hp 5 nm thc hin u thu tn phiu kho bc
qua Ngn hng Nh nc 2001 2005
29. Suresh Menon, Pht trin th trng tri phiu th trng cc nc mi
ni, SBP Research Bulletin, Volume 3, Number 1, 2007
30. Th.S Trn Vn Tn Th trng tri phiu Singapore v bi hc kinh
nghim cho Vit Nam Th trng ti chnh tin t s 30/2005
31. http://www.acb.com.vn/
32. http://www.bidv.com.vn
33. http://www.icb.com.vn/
34. http://www.mof.gov.vn

108

35. http://www.hse.org.vn/
36. http://www.hsx.vn/
37. http://www.sacombank.com
38. http://www.sbv.gov.vn
39. http://www.vcb.com.vn/
40. http://www.vnexpress.net
41. http://vpbank.com.vn

2. Ting Anh
1. Benniga, Simon & Wiener, Zvi (1998) - Term Structure of Interest Rates -

Mathematica in Education and Research, Vol. 7, No. 2.


2. Bernard, Henri & Gerlach, Stefan (1996) Does the Term Structure Predict
3. Recessions? The International Evidence - Working Paper No. 37, Bank for

International Settlements, Basel.


4. Bolder, David (2001) Affine Term Structure Models: Theory and

Implementation. Working Paper No. 15, Bank of Canada


5. Brigo, Damiano, Dalessandro, Antonio, Neugebauer, Matthias & Triki, Fares

(2007) A Stochastic Processes Toolkit for Risk Management.


6. Copeland, Weston & Shastri (2005) Financial Theory and Corporate

Policy Pearson Addison Wesley.


7. Episcopos, Athanasios (2000) Further evidence on alternative continuous
time models of the short-term interest rate - Journal of International
Financial Markets, Institutions and Money 10.
8. Heitmann & Trautmann (1995) Gaussian Multi-Factor Interest Rate

Models: Theory, Estimation and Implications for Option Pricing - Working


Paper, Johannes Gutenberg University, Mainz, Germany.
9. Hull, John (2003) Options, Futures & Other Derivatives, 5th Edition -

Prentice Hall.
10. James, Jessica & Webber, Nick (2004) Interest Rate Modelling - John

Wiley & Sons: Chichester.

109

11. Kim, Don & Orphanides, Athanasios (2005) Term Structure Estimation

with Survey Data on Interest Rate Forecasts - Finance and Economics


Discussion Series, Divisions of Research & Statistics and Monetary Affairs.
Federal Reserve Board, Washington, D.C.
12. Kppi, Jari (1997), Doctors Dissertation The Term Structure of Interest

Rates and Fixed Income Securities - Acta Universitatis Oeconomicae


Helsingiensis A-126.
13. Lanne, Markku (1994) Co-integration and the Term Structure of Finnish

Short-term Interest Rates - Helsingin yliopiston keskustelualoitteita 362.


14. Leippold, Markus & Wiener, Zvi (2000) Algorithms Behind Term
Structure Models of Interest Rates II: The Hull-White Trinomial Tree of
Interest Rates Hebrew University Working Paper No. int071899
15. Murto, Risto (1992) Testing Continuous Time Models of the Term

structure of Interest Rates in the Finnish Money Market - Etlan


keskustelualoitteita 392.
16. Piazzesi, Monica (2003) Affine Term Structure Models - Published in

Handbook of Financial Econometrics.


17. Seppl, Juha & Vierti, Petri (1996) The Term Structure of Interest

Rates:

Estimation

&

Interpretation

Suomen

Pankin

keskustelualoitteita19/96.
18. Svoboda, Simona (2004) Interest Rate Modelling. Palgrave Macmillan.
19. Vasicek, Oldrich A (1977) An equilibrium characterization of the term

structure - Journal of Financial Economics 5.

110

PH LC
PH LC 1 - BO CO THNG K
TNG HP KT Qu U THU TPCP THEO PHIN GIAO DCH
Ngy u
thu
15/01/2009
11/01/2010
5/2/2009
14/01/2010
09/02/2009
18/01/2010
16/02/2010
25/01/2010
23/02/2009
28/01/2010
02/03/2009
01/02/2010
09/03/2009
16/03/2009
01/03/2010
23/03/2009
04/03/2010
30/03/2009
08/03/2010
09/04/2009
11/03/2010
23/04/2009
15/03/2010
11/05/2009
18/03/2010
18/05/2009
22/03/2010
21/05/2009
25/03/2010
25/05/2009
29/03/2010
28/05/2009
30/10/2008
01/06/2009
03/11/2008
04/06/2009
06/11/2008
08/06/2009
10/11/2008
11/06/2009
13/11/2008
15/06/2009
17/11/2008
18/06/2009

LS trng thu
(%/nm)
7,49
10,06
0
10,59
0
10,59
0
10,06
0
0
0
0
0
0
0
0
0
0
11,07
0
11,69
7,2
11,68
7,5
0
7,40
0
0
11,68
7,50
11,68
0
13,45
8,00
12,99
8,00
12,48
0
11,88
0
11,10
0
10,05
0

Ngy n hn
thanh ton
18/01/2010
12/01/2011
08/02/2010
17/01/2011
10/02/2010
19/01/2011
17/02/2010
26/01/2011
24/02/2010
31/01/2011
03/03/2010
02/02/2011
10/03/2010
17/03/2010
02/03/2011
24/03/2010
07/03/2011
31/03/2010
09/03/2011
12/04/2010
14/03/2011
26/04/2010
16/03/2011
12/05/2010
21/03/2011
19/05/2010
23/03/2011
24/05/2010
28/03/2011
26/05/2010
30/03/2011
31/5/2010
02/11/2009
02/06/2010
04/11/2009
07/06/2010
09/11/2009
09/06/2010
11/11/2009
14/06/2010
16/11/2009
16/06/2010
18/11/2009
21/06/2010

Ngy u
thu
20/11/2009
22/06/2009
24/11/2008
25/06/2009
27/11/2008
29/06/2009
01/12/2008
02/07/2009
04/12/2008

LS trng thu
(%/nm)
9,88
0
9,00
8,40
9,00
0
8,98
8,4
0

Ngy n hn
thanh ton
23/11/2009
23/06/2010
25/11/2002
28/06/2010
30/11/2009
30/06/2010
02/12/2009
05/07/2010
07/12/2009

06/07/2009
08/12/2008
09/07/2009
12/11/2008
13/07/2009
15/12/2008
16/07/2009
16/07/2009
20/07/2009
23/07/2009
27/07/2009
03/08/2009
13/08/2009
17/08/2009
19/10/2009
22/10/2009
26/10/2009
29/10/2009
02/11/2009
05/11/2009
09/11/2009
12/11/2009
16/11/2009
19/11/2009
23/11/2009
26/11/2009
30/11/2009
03/12/2009
17/12/2009
24/12/2009
24/12/2009
29/12/2009
29/12/2009

0
8,38
0
8,5
8.3
8,38
8,35
8,3
8,3
0
8,3
0
8,3
0
9,0
9,0
9,0
0
0
0
0
0
0
0
9,7
9,7
0
9,70
10,20
10,20
10,40
10,20
10,40

07/07/2010
09/12/2009
12/07/2010
14/12/2009
13/01/2010
16/12/2009
19/04/2010
18/01/2010
20/01/2010
26/07/2010
27/01/2010
04/08/2010
16/08/2010
18/08/2010
20/10/2010
25/10/2010
27/10/2010
01/11/2010
04/08/2010
10/05/2010
10/11/2010
15/10/2010
17/11/2010
22/11/2010
24/11/2010
29/11/2010
01/12/2010
07/06/2010
21/06/2010
28/06/2010
27/09/2010
01/07/2010
30/09/2010

111

112

Ph lc 2 Li sut trng thu nghip v th trng m bnh qun qu


Qu
III/2000
IV/2000
I/2001
II/2001
III/2001
IV/2001
I/2002
II/2002
III/2002
IV/2002
I/2003
II/2003
III/2003
IV/2003
I/2004
II/2004
III/2004
IV/2004
I/2005
II/2005
III/2005
IV/2005
I/2006
II/2006
III/2006
IV/2006
I/2007
II/2007
III/2007
IV/2007
I/2008
II/2008
III/2008
IV/2008
I/2009
II/2009
III/2009
IV/2009
I/2010

LS trng thu bq(%/n)


4.5-4.9
3.4-5.3
5-5.1
4.9
4.8-5.0
4.9-5.1
4.8-5.02
4.5-4.9
4.5-5.1
4.5-5.1
4.5-5.0
2.6-4.2
1.58-3.8
3.25-3.8
3.0-4.0
3.5-4.7
4-6.6
3.7-7.4
5.05-6.4
5.75-6.81
5.85-6.68
4.2-7.1
1.5-4.4
1-1.5
0.8-8.5
7.5-30
7.75-15
15
4.5-15
7.8-8
7.8-8
7.8-8
7.8-8
7.5-8
6.5-7
7-9.2
7.0-8.0
7.8-8

113

Ph lc 3 - Li sut mt s t pht hnh TPCP


t

Ngy Hp

TRES
TRES u thu
TRES - u thu
VDB t 1
VDB t 2
TRES BL T 4
NH CHNH SCH
TRES - u thu t 2
VDB t 3
TRES BL
TRES - u thu t 3
NHCS u thu
KBNN TP USD (trieu)
Tres - BL t 5
KBNN TP USD (trieu)
KBNN TP USD (trieu)
NHCS u thu
Tres - BL t 6
KBNN u thu t 4
Tres u thu t 5
Tres - BL t 7
NHCS u thu
CTCP ng cao tc
u thu NHPT pht
hnh
KBNN u thu t 6
CTCP ng cao tc
NHCS u thu
KBNN BL t 8
KBNN BL t 9
CTCP ng cao tc
VDB u thu
CTCP ng cao tc
NHCS u thu
VDB u thu
Cng ty TPT ng
cao tc VN
KBNN bo lnh t
10/2009

12/1/2009
9/2/2009
12/2/2009
13/02/2009
20/02/2009
23/02/2009
24/02/2009
26/02/2009
27/02/2009
9/3/2009
12/3/2009
16/03/2009
20/03/2009
23/03/2009
24/03/2009
27/03/2009
13/04/2009
8/4/2009
16/04/209
14/05/2009
19/05/2009
20/05/2009
27/05/2009

Li sut
Ngy pht
hnh
1 nm 2 nm 3 nm 5 nm 10 nm
14/01/2009
8
8.05
8.15
11/2/2009
6.7
6.75
16/02/2009
6.7
17/02/2009
7
7
24/02/2009
7
7
25/02/2009
6.95
7.2
27/02/2009
7.00
2/3/2009
6.95
7.00
3/3/2009
7
7
7.2
7.3
7.5
16/03/2009
7.2
7.3
18/03/2009
7.45
24/03/2009
3
25/03/09
7.2
7.3
26/03/09
3.2
31/03/2009
3.6
15/04/2009
7.9
10/4/2009
7.6
7.7
20/04/2009
7.6
7.9
18/05/2009
8.3
8.4
20/05/2009
8.1
8.3
22/05/2009
8.4
29/05/2009
8.8

29/05/2009

2/6/2009

4/6/2009
9/6/2009
10/6/2009
9/6/2009
17/06/2009
17/6/2009
19/06/2009
23/06/2009
24/06/2009
26/06/2009

8/6/2009
11/6/2009
12/6/2009
11/6/2009
18/6/2009
19/6/2009
23/06/2009
25/06/2009
26/06/2009
30/06/2009

30/06/2009

2/7/2009

6/7/2009

8/7/2009

8.5

8.7
8.5
8.7

8.8
9

8.9
9.1

8.8
9
9

9.1

8.7

9.2
9.3

9.4

9
8.7

8.7

9.2
9.3

9.4

9.1

114

KBNN u thu t 8
VDB u thu
VDB u thu
VDB u thu
Cng ty TPT ng
cao tc VN (u thu)
KBNN bo lnh t
112009

9/7/2009
10/7/2009
17/07/2009
24/07/2009

13/07/2009
14/7/2009
21/07/2009
28/07/2009

14/07/2009

16/07/2009

21/7/2009

23/7/2009

8.7

9.1

8.9

9.2

9.3

115

Ph lc 4: Li sut trng thu tn phiu kho bc qua NHNN


STT t
t 1/2008
t 2
t 3
t 4
t 5
t 6
t 7
t 8
t 9
t 10
t 11
t 12
t 13
t 14
t 15
t 16
t 17
t 18
t 19
t 20
t 21
t 22
t 23
t 24
t 25
t 26
t 27
t 28
t 29
t 30
t 31
t 1/2009
t 2
t 3
t 4
t 5
t 6
t 7
t 8
t 9
t 10

Ngy

LS trng thu(%/nm)

Thi hn GTCG(ngy)

11/8

15.5

364

25/8
1/9
8/9
15/9
22/9
29/9
6/10
9/10
13/10

15.7
15.5
15.5
15.5
15.5
15.5
14.9
14.5
14.39

364
364
364
364
364
364
364
364
364

16/10
20/10
23/10
27/10
30/10
3/11
6/11
10/11
13/11
17/11
20/11
24/11
27/11
1/12
4/12
8/12
11/12
15/12
15/1
5/2
9/2
16/2
23/2
2/3
9/3
16/3
23/3
30/3

14.4
14
13.89
13.7
13.45
12.99
12.48
11.88
11.1
10.5
9.88
9
9
8.98
0
8.38
8.5
8.38
7.49
0
0
0
0
0
0
0
0
0

364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364

116

t 11
t 12
t 13
t 14
t 15
t 16
t 17
t 18
t 19
t 20
t 21
t 22
t 23
t 24
t 25
t 26
t 27
t 28
t 29
t 30
t 31
t 32
t 33
t 34
t 35
t 36
t 37
t 38
t 43
t 44
t 45
t 46
t 47
t 48
t 49
t 50
t 51
t 52
t 53
t 54
t 55
t 56
t 57
t 58

9/4
23/4
11/5
18/5
21/5
25/5
28/5
1/6
4/6
8/6
11/6
15/6
18/6
22/6
25/6
29/6
2/7
6/7
9/7
13/7
16/7
16/7
20/7
23/7
27/7
3/8
13/8
17/8
19/10
22/10
26/10
29/10
2/11
5/11
9/11
12/11
16/11
19/11
23/11
26/11
30/11
3/12

0
7.2
7.5
7.4
0
7.5
0
8
8
0
0
0
0
0
8.4
0
8.4
0
0
8.3
8.35
8.3
8.3
0
8.3
0
8.3
0
9
9
9
0
0
0
0
0
0
0
9.7
9.7
0
9.7

364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
364
182
273
182
182
364
182
364
364
364
364
364
364
364
273
182
364
364
364
364
364
364
364
182

117

t 59
t 60
t 61
t 62
t 63

17/12
24/12
24/12
29/12
29/12

10.2
10.2
10.4
10.2
10.4

182
182
273
182
273

118

Ph lc 5: Kt qu u thu th trng m nm 2010


Ch tiu
t 01/2010 04/01/2010
t 02/2010 04/01/2010
t 03/2010 05/01/2010
t 04/2010 05/01/2010
t 05/2010 06/01/2010
t 06/2010 06/01/2010
t 07/2010 07/01/2010
t 08/2010 07/01/2010
t 09/2010 08/01/2010
t 10/2010 08/01/2010
t11/2010 11/01/2010
t 12/2010 11/01/2010
t 13/2010 12/01/2010
t 14/2010 12/01/2010
t 15/2010 13/01/2010
t 16/2010 13/01/2010
t 17/2010 14/01/2010
t 18/2010 14/01/2010
t 19/2010 15/01/2010
t 20/2010 15/01/2010
t 21/2010 18/01/2010
t 22/2010 18/01/2010
t 23/2010 19/01/2010
t 24/2010 19/01/2010
t 25/2010 20/01/2010
t 26/2010 20/01/2010
t 27/2010 21/01/2010
t 28/2010 21/01/2010
t 29/2010 22/01/2010
t 30/2010 22/01/2010
t 31/2010 25/01/2010
t 32/2010 25/01/2010
t 33/2010 26/01/2010
t 34/2010 26/01/2010
t 35/2010 27/01/2010
t 36/2010 27/01/2010
t 37/2010 28/01/2010
t 38/2010 28/01/2010
t 39/2010 29/01/2010
t 40/2010 29/01/2010

Li sut trng
thu (%/nm)
8.00
8.00
8.00

Ngy n hn
18/01/2010
18/01/2010
19/01/2010

Thi gian
giao dch
14
14
14

8.00

20/01/2010

14

8.00
8.00
8.00
8.00
8.00

21/01/2010
21/01/2010
22/01/2010
22/01/2010
25/01/2010

14
14
14
14
14

8.00

26/01/2010

14

8.00

27/01/2010

14

8.00
8.00
8.00

28/01/2010
28/01/2010
29/01/2010

14
14
14

8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00

02/01/2010
02/01/2010
02/02/2010
02/02/2010
02/03/2010
02/03/2010
18/2/2010
18/2/2010
19/2/2010

14
14
14
14
14
14
28
28
28

8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00

22/2/2010
22/2/2010
23/2/2010
23/2/2010
24/2/2010
24/2/2010
25/2/2010
25/2/2010
26/2/2010
26/2/2010

28
28
28
28
28
28
28
28
28
28

119

t 41/2010 01/02/2010
t 42/2010 01/02/2010
t 43/2010 02/02/2010
t 44/2010 02/02/2010
t 45/2010 03/02/2010
t 46/2010 03/02/2010
t 47/2010 04/02/2010
t 48/2010 04/02/2010
t 49/2010 05/02/2010
t 50/2010 05/02/2010
t 51/2010 08/02/2010
t 52/2010 08/02/2010
t 53/2010 09/02/2010
t 54/2010 09/02/2010
t 55/2010 10/02/2010
t 56/2010 10/02/2010
t 57/2010 11/02/2010
t 58/2010 11/02/2010
t 59/2010 12/02/2010
t 60/2010 12/02/2010
t 61/2010 22/02/2010
t 62/2010 22/02/2010
t 63/2010 23/02/2010
t 64/2010 23/02/2010
t 65/2010 24/02/2010
t 66/2010 24/02/2010
t 67/2010 25/02/2010
t 68/2010 25/02/2010
t 69/2010 26/02/2010
t 70/2010 26/02/2010
t 71/2010 27/02/2010
t 72/2010 27/02/2010

8.00
8.00
8.00

03/01/2010
03/01/2010
03/02/2010

28
28
28

8.00
8.00
8.00

03/03/2010
03/03/2010
03/04/2010

28
28
28

8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
7.80
8.00
7.80
8.00
7.80
8.00
7.80
8.00
7.80
8.00

03/05/2010
03/05/2010
03/08/2010
03/08/2010
03/09/2010
03/09/2010
03/10/2010
03/10/2010
03/11/2010
03/11/2010
03/12/2010
03/12/2010
22/03/2010
03/01/2010
23/03/2010
03/02/2010
24/03/2010
03/03/2010
25/03/2010
03/04/2010
26/03/2010
03/05/2010
27/03/2010

28
28
28
28
28
28
28
28
28
28
28
28
28
7
28
7
28
7
28
7
28
7
28

888
t 73/2010 27/02/2010
t 74/2010 01/03/2010
t 75/2010 01/03/2010
t 76/2010 02/03/2010
t 77/2010 03/03/2010
t 78/2010 03/03/2010
t 79/2010 04/03/2010
t 80/2010 04/03/2010
t 81/2010 04/03/2010
t 82/2010 05/03/2010

8.00
7.80
8.00
7.80
8.00
7.80
8.00
7.80
8.00

1/3/2010
2/3/2010
3/3/2010
29/03/2010
03/08/2010
30/03/2010
03/09/2010
31/03/2010
03/10/2010
04/01/2010
11/3/2010
19/03/2010

2 34
28
7
28
7
28
7
28
7
14

120

t 83/2010 08/03/2010
t 84/2010 09/03/2010
t 85/2010 10/03/2010
t 86/2010 11/03/2010
t 87/2010 12/03/2010
t 88/2010 15/03/2010
t 89/2010 16/03/2010
t 90/2010 17/03/2010
t 91/2010 18/03/2010
t 92/2010 19/03/2010
t 93/2010 22/03/2010
t 94/2010 23/03/2010
t 95/2010 24/03/2010
t 96/2010 25/03/2010
t 97/2010 26/03/2010
t 98/2010 29/03/2010
t 99/2010 30/03/2010
t 100/2010 31/03/2010
t 101/2010 01/04/2010
t 102/2010 01/04/2010
t 103/2010 01/04/2010
t 104/2010 02/04/2010
t 105/2010 02/04/2010
t 106/2010 05/04/2010
t 107/2010 05/04/2010
t 108/2010 06/04/2010
t 109/2010 06/04/2010
t 110/2010 07/04/2010
t 111/2010 07/04/2010
t 112/2010 08/04/2010
t 113/2010 08/04/2010
t 114/2010 09/04/2010
t 115/2010 09/04/2010
t 116/2010 12/04/2010
t 117/2010 12/04/2010
t 118/2010 13/04/2010
t 119/2010 13/04/2010
t 120/2010 14/04/2010
t 121/2010 14/04/2010
t 122/2010 15/04/2010
t 123/2010 15/04/2010
t 124/2010 16/04/2010
t 125/2010 16/04/2010
t 126/2010 19/04/2010

8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00

22/03/2010
23/03/2010
24/03/2010
25/03/2010
26/03/2010
29/03/2010
30/03/2010
31/03/2010

14
14
14
14
14
14
14
14

8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.50
8.00
7.00

04/02/2010
04/05/2010
04/06/2010
04/07/2010
04/08/2010
04/09/2010
04/12/2010
13/04/2010
28/04/2010
04/07/2010
29/04/2010
04/08/2010
30/04/2010
04/09/2010
05/03/2010
04/12/2010
05/04/2010
13/04/2010
05/05/1020
14/04/2010
05/06/2010
15/04/2010
05/07/2010
16/04/2010
05/10/2010
19/04/2010
05/11/2010
20/04/2010
05/12/2010
21/04/2010

14
14
14
14
14
14
14
14
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7

7.00
8.00
7.00
8.00

22/04/2010
14/05/2010
23/04/2010
17/05/2010

7
28
7
28

121

t 127/2010 19/04/2010
t 128/2010 20/04/2010
t 129/2010 20/04/2010
t 130/2010 21/04/2010
t 131/2010 21/04/2010
t 132/2010 22/04/2010
t 133/2010 22/04/2010
t 134/2010 26/04/2010
t 135/2010 26/04/2010
t 136/2010 27/04/2010
t 137/2010 27/04/2010
t 138/2010 28/04/2010
t 139/2010 28/04/2010
t 140/2010 29/04/2010
t 141/2010 29/04/2010
t 142/2010 04/05/2010
t 143/2010 04/05/2010
t 144/2010 05/05/2010
t 145/2010 05/05/2010
t 146/2010 06/05/2010
t 147/2010 06/05/2010
t 148/2010 07/05/2010
t 149/2010 07/05/2010
t 150/2010 10/05/2010
t 151/2010 10/05/2010
t 152/2010 11/05/2010
t 153/2010 11/05/2010
t 154/2010 12/05/2010
t 155/2010 12/05/2010
t 156/2010 13/05/2010
t 157/2010 13/05/2010
t 158/2010 14/05/2010
t 159/2010 14/05/2010
t 160/2010 17/05/2010
t 161/2010 17/05/2010

7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00
8.00
7.00

26/04/2010
18/05/2010
27/04/2010
19/05/2010
28/04/2010
20/05/2010
29/04/2010
24/05/2010
05/03/2010
25/05/2010
05/04/2010
26/05/2010
05/05/2010
27/05/2010
05/06/2010
06/01/2010
05/11/2010
06/02/2010
05/12/2010
06/03/2010
13/05/2010
06/04/2010
14/05/2010
06/07/2010
17/05/2010
06/08/2010
18/05/2010
06/09/2010
19/05/2010
06/10/2010
20/05/2010
06/11/2010
21/05/2010
14/06/2010
24/05/2010

7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7
28
7

122

Ph lc 6: Li sut lin ngn hng nm 2010


Date (GMT)

OND

1MD

3MD

1/01/2010

9.5

9.8

10.5

1/04/2010

10

10

10.5

1/05/2010

10

11.8

10.5

1/06/2010

10

10

10.25

1/07/2010

10

10.8

9.9

1/08/2010

10

11

11.5

1/11/2010

7.8

11

10.2

1/12/2010

10

10

10.8

1/13/2010

7.8

10

11

1/14/2010

8.7

9.8

11

1/15/2010

10

10

11

1/18/2010

10

10

11

1/19/2010

7.5

10

11

1/20/2010

7.25

10

11

1/21/2010

10

11

1/22/2010

7.5

10

11

1/25/2010

9.25

10.25

10.75

1/26/2010

10

10.25

10.75

1/27/2010

8.7

10

11.5

1/28/2010

9.25

11

11.5

1/29/2010

10.5

11.5

2/01/2010

10.25

11.5

2/02/2010

10.3

10.5

2/03/2010

9.25

10.5

10.5

2/04/2010

11

10.5

2/05/2010

11

11

2/08/2010

11

11

11

2/09/2010

11

11.5

2/10/2010

10.5

11

10.7

2/11/2010

10

11

10.7

2/12/2010

10.25

11

11.8

2/15/2010

10.25

11

11.8

2/16/2010

10.25

11

11.8

2/17/2010

10.25

11

11.8

123

2/18/2010

10.25

11

11.8

2/19/2010

10.5

11

11.5

2/22/2010

11.8

11

11.8

2/23/2010

9.25

11

11.8

2/24/2010

6.8

10

10

2/25/2010

10

10

2/26/2010

6.8

10

10.5

3/01/2010

10

10.5

3/02/2010

10

11.5

3/03/2010

7.8

10

11.5

3/04/2010

6.8

10

11

3/05/2010

6.65

10

11

3/08/2010

10.5

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