1

TRNG I HC KINH T TP.HCM

KHOA TI CHNH DOANH NGHIP

TI 5B:

Tnh minh bch trong chnh sch tin t v s dn truyn ca li sut bn l

Nhm thc hin:

Nguyn Th V Uyn Phm Nguyn Qung Ha Hunh Thy Thy Tin Nguyn Vn Tt Trn Ngc Phng Anh V Minh Tin

TC08 TC08 TC08 TC08 TC09 TC09

Tp.HCM, ngy 20, thng 3, nm 2012

Tnh minh bch trong chnh sch tin t v s dn truyn ca li sut bn l

Mc lc:
Mc lc: ......................................................................................................................................2 PHN 1. TM TT CHN TI........................................................................................2 L do chn ti:....................................................................................................................2 Mc tiu nghin cu:...............................................................................................................3 Phng php nghin cu:.......................................................................................................3 Ni dung nghin cu:..............................................................................................................4 PHN 2. BI NGHIN CU GC CA TC GI...............................................................4 Tm tt:...................................................................................................................................4 GII THIU............................................................................................................................5 TNG QUAN TI LIU.......................................................................................................8 Tnh minh bch ca chnh sch tin t...............................................................................8 S dn truyn t li sut chnh sch sang li sut th trng v li sut bn l................9 Phn tch nh lng.........................................................................................................14 CHNH SCH TIN T NEW ZEALAND ...................................................................15 S CNG NHC TRONG TIN TRNH IU CHNH LI SUT..............................17 D LIU V KT QU PHN TCH...............................................................................25 D liu...............................................................................................................................25 Kim nh tnh dng v kim nh ng lin kt.............................................................27 S dn truyn trong di hn v s thay i cu trc........................................................29 KT LUN...........................................................................................................................35 PHN 3. TM TT BI NGHIN CU...............................................................................36 Gii thch t: .............................................................................................................................39 Phn 4: M RNG xem xt s dn truyn ca li sut Vit Nam...................................41

PHN 1. TM TT CHN TI L do chn ti: Trong thi gian va qua, li sut l mt vn nhc nhi khng ch i vi ngi i vay, ngi gi tin, cc nh ch ti chnh m cn c Ngn hng nh nc. Nhiu ngn hng cho vay vt trn li sut 14% ln n 17%, 18% mt nm cng nh hin tng cc doanh nghip kh tip cn ngun vn vay do li sut qu cao. Tuy nhin,

iu chnh nhng xo trn trn v gp phn n nh tnh hnh kinh t, ngn hng nh nc a ra nhng bin php nhm ci thin tnh hnh nh iu chnh li sut c bn, li sut ti cp vn, li sut ti chit khu, m mi y nht l iu chnh trn li sut huy ng t 14% xung cn 13%. R rng, li sut khng ch l cng c iu tit th trng m cn l ng thi pht tn hiu v ch trng ca Chnh ph v gii php iu hnh chnh sch tin t ca Ngn hng nh nc. Li sut v ang l mt ch s kinh t quan trng trn th trng ti chnh, tin t nc ta, c cc t chc, c nhn trong v ngoi nc quan tm, theo di, d bo c nhng ng thi ph hp. Chnh v tm quan trng ca bin li sut i vi s n nh kinh t v m, c rt nhiu tc gi phn tch v li sut v c th hn y l vn dn truyn t li sut chnh sch sang li sut bn l v tnh minh bch ca chnh sch tin t. R rng, hiu lc trong vic iu hnh chnh sch tin t ca Ngn hng nh nc ph thuc rt nhiu vo s dn truyn ny, bi nu mt s dn truyn nh th nhng hnh ng Ngn hng nh nc tc ng ti th trng s khng cn hiu qu. V vy, nhm chng em tm hiu v s dn truyn ca li sut v tnh minh bch ca chnh sch tin t ca New Zealand nh gi nhng yu t tc ng n dn truyn cng nh o lng n mt cch c th, thng qua nc ny hiu r hn v c nhng nn tng l thuyt cng nh bin php thch hp p dng cho Vit Nam sau ny. Mc tiu nghin cu: Bi nghin cu ny ch n thun a ra c ch dn truyn cn bn ca li sut, t li sut chnh sch sang li sut th trng v cui cng l sang li sut bn l, c th l li sut huy ng v li sut cho vay. ng thi, cc tc gi cng a ra nhng yu t tc ng n s dn truyn ny v phn tch c th v cc mt nh tnh v nh lng cho nc New Zealand. Thng qua bi nghin cu, chng ta s c ci nhn c th hn v s dn truyn li sut v s tng dn tnh minh bch trong chnh sch tin t ca New Zealand mt cch r rng hn. Phng php nghin cu: Bi nghin cu s dng ch yu m hnh VECM (m hnh hiu chnh sai s) kim tra mc dn truyn v tc iu chnh v trng thi cn bng ca li sut bn l

phn ng vi s thay i trong li sut chnh sch New Zealand. Bn cnh , tc gi cn s dng phng php thng k, kim nh nghim n v m c th l s dng phng php ca Phillips-Perron v phng php ADF v kim nh ng lin kt Johansen c iu kin hp l chy m hnh VECM. Ngoi ra, tc gi cng s dng hi quy OLS so snh vi phng php Phillips-Loretan nhm tnh ton s dn truyn trong di hn v s dng bin gi cho thy tc dng ca chnh sch tin t minh bch, ngha l trc v sau khi c s thng bo li sut chnh sch s tc ng ti mc dn truyn c th. Ni dung nghin cu: Bi nghin cu tp trung vo hai phn chnh, bao gm nh tnh v nh lng. Phn nh tnh cho ci nhn c th v s dn truyn li sut, chnh sch tin t ca New Zealand t nm 1990 (sau khi p dng lm pht mc tiu nm 1989) thy r Ngn hng d tr nc ny ngy cng nng cao tnh minh bch ca n. ng thi, bi vit cng ch ra nguyn nhn ca s dn truyn l do tnh cng ca li sut trong tin trnh iu chnh li sut. Phn nh lng ch yu s dng m hnh VECM o lng s dn truyn trong di hn v s dn truyn trong ngn hn cng nh tc iu chnh v trng thi cn bng ca li sut. Kt qu, cc tc gi rt ra c cc kt lun sau: s dn truyn di hn ca cc li sut bn l khc nhau th khc nhau; li sut ngn hn dn truyn cao v tc nhanh hn li sut di hn v cui cng l OCR (li sut tin mt chnh thc mc li sut tham kho New Zealand) ra i lm tng s dn truyn li sut th ni v li sut tin gi nhng khng nh hng n li sut th chp c nh.

PHN 2. BI NGHIN CU GC CA TC GI
Tm tt:
Bi vit xem xt mc dn truyn v iu chnh tc li sut bn l p ng vi nhng thay i trong mc li sut bn bun chun New Zealand trong thi gian t nm 1994 n 2004. Cc tc gi xem xt n nh hng ca chnh sch minh bch v cu trc ti chnh trong c ch dn truyn. New Zealand l quc gia OECD u tin thng qua ch lm pht mc tiu chnh thc vi trch nhim c

th v cc quy nh minh bch. Tnh minh bch trong chnh sch c tng cng hn na bi mt s chuyn i t mc tiu s lng (ti khon thanh ton) sang mc tiu v gi (li sut) vo nm 1999. Cc tc gi tm thy s dn truyn hon ton trong di hn cho mt s li sut bn l. Kt qu cho thy rng s ra i ca li sut tin mt chnh thc (OCR) lm tng mc dn truyn ca li sut th ni v li sut tin gi nhng khng lm tng mc dn truyn ca li sut th chp c nh. Nhn chung, kt qu ca cc tc gi xc nhn rng li sut chnh sch tin t li sut c nh hng nhiu hn n li sut trong ngn hn v tng tnh minh bch lm gim bin ng ca cng c v nng cao hiu qu ca chnh sch.

GII THIU
Chnh sch tin t l cng c ch yu iu tit nn kinh t v m ti hu ht cc nc cng nghip. Khi chnh sch tin t cn c tht cht (ni lng), ngn hng trung ng hoc c quan c thm quyn tin t s tng (gim) li sut chnh thc, ngn hng v cc t chc ti chnh khc s theo tng (gim) li sut tin gi v li sut cho vay. i mt vi chi ph ti tr cao hn (hay thp hn), ngi tiu dng v cc cng ty s iu chnh tiu dng v chi tiu ca h cho ph hp, t nh hng n sn lng v lm pht. Do , hiu qu ca chnh sch tin t ph thuc vo tc v mc cc t chc ti chnh dn truyn nhng thay i trong li sut chnh thc ti khch hng ca h. Trong khi c nhiu nghin cu v s dn truyn ca chnh sch tin t th s dn truyn ca li sut bn l dng nh cha c tm hiu, t nht l cho n gn y. Hu ht cc nghin cu v c ch truyn dn chnh sch tin t gi nh rng s thay i ca li sut chnh thc dn truyn ngay lp tc v hon ton n li sut bn l ngn hng. (v d nh: Bernanke v Gertler, 1995; Kashyap v Stein, 2000; Altunbas, 2002). Tuy nhin, nhng nghin cu gn y cho thy s dn truyn c th l khng hon ton v tc iu chnh c th b chm li. S dn truyn v tc iu chnh cng khc nhau gia cc nh ch ti chnh v sn phm ti chnh khc nhau, m ch rng tc ca s dn truyn tin t khc nhau gia cc phn khc khc nhau ca khu vc ngn hng. Hn na, mt s nghin cu cng tm thy rng tc iu

chnh l khc nhau ty thuc vo li sut cao hn hay thp hn mc cn bng di hn. (Chong v cc cng s, 2005; Kleimeier v Sander, 2005) Trong bi nghin cu ny, cc tc gi kim tra mc dn truyn v tc iu chnh ca li sut bn l khi li sut chun thay i New Zealand. c bit, cc tc gi phn tch nhng vn sau: Th nht, tc gi xem xt s dn truyn di hn ca li sut chnh thc v li sut lin ngn hng n cc li sut bn l khc nhau nh l li tin gi v li sut cho vay k c li sut cho vay c bn v li sut th chp cc k hn khc nhau. Tc gi s dng phng php lun ca Phillips-Loretan (1991) l phng php loi b vn tim cn v ch n cc kt lun c ngha thng k i vi cc h s trong di hn. Bng cch kt hp nh hng ca ng lc trong tin trnh to d liu (DGP), phng php ny cng gii thch vai tr ca s bt ng ca cc chnh sch trong qu kh v thit lp cc chnh sch k vng trong tng lai trong mi quan h gia li sut bn l v cc cng c ca chnh sch. Th hai, tc gi kim tra s dn truyn ngn hn v tc iu chnh ca li sut bn l bng cch s dng m hnh hiu chnh sai s v cng kim tra xem liu tc iu chnh l i xng hay khng i xng. Cui cng, tc gi iu tra xem liu s thay i trong tin trnh iu hnh v tng tnh minh bch cho chnh sch tin t (kt qu c c thng qua cng c li sut tin mt chnh thc nm 1999) c tc ng khc nhau ln s dn truyn v tc iu chnh li sut New Zealand hay khng? C t nht 3 l do ti sao bi nghin cu ca c ch dn truyn New Zealand l quan trng. u tin, New Zealand l nc u tin chnh thc thng qua c ch lm pht mc tiu vi trch nhim c th v nhng quy nh minh bch. Nhng sp xp ny tr thnh m hnh nguyn mu cho khung chnh sch c thng qua bi cc nc OECD v nhiu nc ang pht trin gn y. Th hai, khng ging hu ht cc nc khc, c s thay i chnh trong c ch kim sot tin t New Zealand t vic ri b mc tiu s lng ( s d ti khon thanh ton) sang li sut OCR. Mc d di mt trong hai ch ny, s dn truyn chnh sch tin t ch yu thng qua li sut. Cu hi t ra l c hay khng v vi quy m no th s c s thay i trong tc v mc iu chnh s dn truyn t cng c chnh sch n li sut bn l v n hiu qu ca s qun l tin t bng mt quan h mt thit. Tc gi cng hy vng

rng di ch OCR, vai tr ca li sut trong c ch dn truyn s tr nn minh bch hn. Cn bng s d tin mt, khng ging nh li sut, thng khng c mi quan h chc chn n nh vi thu nhp danh ngha hay lm pht v thng thng dn ti bin ng li sut cao hn ng k so vi li sut mc tiu. Tuy nhin, mc tiu s lng cung cp mt s li th hot ng v chng cung cp mt bc m tt hn chng li s iu tit s tng ln ca lm pht khng mong mun. y l mt trng hp thng thng di ch li sut mc tiu. Chng cng d dng to ra mt phm ng nhanh chng trong li sut, c th l quan trong trong sut mt thi k lm pht nng n. (xem Spencer, 1992). L do th 3 lin quan n quan st rng New Zealand l mt trong nhng nc OECD n nhiu nht v khu vc t nhn trong nc li c mt t l khng my kh quan. Khu vc ngn hng, hu ht l ch s hu nc ngoi, ph thuc ngy cng nhiu vo vay mn nc ngoi. Cn quan tm n hiu qu ca chnh sch tin t khi c l hng trong h thng. Theo s liu thng k chnh thc ca ngn hng d tr ca New Zealand, 3/2005, n nc ngoi ca khu vc t nhn l 149 t $NZ, bng 101% GDP New Zealand, gp 8.8 ln n nc ngoi ca chnh ph (17 t $NZ chim 12% GDP). Trong khi khu vc doanh nghip tng tit kim nh vo li nhun cao th tit kim khu vc t nhn li gim nhanh chng. Khu vc t nhn New Zealand c t l tit kim thp nht trong s nhng nc OECD. Theo thng k ca New Zealand, dn c c thu nhp trung bnh y khng tit kim bt c th g ngoi thu nhp hin ti nhng thay vo khng tit kim khong 12% thu nhp mi nm. N th chp dn c chim khong 90% n ca khu vc dn c, n ca khu vc dn c chim hn 50% tng danh mc n ca cc nh ch ti chnh New Zealand. V kt qu ca s thiu ht tit kim ni a, ngn hng New Zealand ngy cng vay vn t th trng nc ngoi p ng nh cu mnh cho vic th chp, y l nhu cu c tc ng n quan h gia OCR v li sut th chp c nh. Nhng vn tc gi tm ra cho thy rng s dn truyn di hn ca li sut th trng n li sut bn l khc nhau ty theo cc sn phm ti chnh. Mt s li sut c s dn truyn hon ton trong khi mt s khc li khng nh vy. S dn truyn ngn hn v tc iu chnh cng khc nhau ty theo sn phm. Tc gi khng tm

c bng chng rng ngn hng New Zealand iu chnh tng li sut chm hn so vi khi iu chnh gim li sut (c li sut cho vay v li sut tin gi). S xut hin ca OCR lm tng s dn truyn di hn ca li sut tin gi c nh v li sut th ni nhng khng c tc ng ln cc li sut khc. Phn cn li ca bi nghin cu c cu nh sau: phn 2 cung cp nn tng v chnh sch tin t New Zealand. Phn 3 a ra khung khi nim v cc ti liu xem xt.Phn 4 ni v phng php lun. Phn 5 tho lun v d liu v kt qu v cui cng l kt lun.

TNG QUAN TI LIU

Tnh minh bch ca chnh sch tin t Malcolm Edey and Andrew Stone (2004) lm r nhn thc v chnh sch tin t cng nh s minh bch v truyn thng ca chnh sch tin t. Theo tc gi, minh bch trong chnh sch tin t l mt khi nim vi nhiu kha cnh. Nghin cu ca Geraats (2001) phn loi cc kha cnh khc nhau ca minh bch thnh nm loi chnh: chnh tr, kinh t, th tc, chnh sch v hot ng. Hn na, do cc loi hnh ny c mc thay th nhau nht nh nn chng c Hahn (2002) chia thnh ba loi l : minh bch v mc tiu, minh bch v thng tin v minh bch trong hot ng. Minh bch v mc tiu: lin quan n tnh minh bch v mc tiu tng th ca ngn hng trung ng, m c ngha l m rng mc tiu chnh sch, hn na l mc tiu hot ng tng ngy v d nh duy tr li sut tin mt qua m ti cc mc tiu mong mun. Cn phn bit r rng gia tnh minh bch ca mt mc tiu chnh sch nht nh vi chnh xc m mc tiu c a ra. Minh bch v thng tin: lin quan n cc thng tin m ngn hng trung ng cung cp cho cng chng ni chung v: u tin, l cc d liu ngn hng trung ng da vo xy dng chin lc nhm t c mc tiu tng th ca n, v th hai, lm th no n s dng d liu i n mc tiu chin lc cui cng. Minh bch trong hot ng: lin quan ch yu n s ci m ca mt ngn hng trung ng v cc cng c s dng c gng t c cc mc tiu chnh sch ca mnh v v vic s dng cc cng c ny nh th no.

Guthrie v Wright (2000) tm hiu v hot ng Open mouth operations. Bi vit trnh by mt m hnh thc hin chnh sch tin t m trong mt khi li sut i lch ra khi yu cu ca c quan tin t, mt hot ng Open mouth operations l tt c nhng g cn thit khi phc li chng. Sau thng bo tht cht ca RBNZ (Ngn hng d tr New Zealand), li sut ca tt c cc k hn tng. Nhng s thay i ny khng phi do hot ng ca th trng m. ng lp lun rng thng bo tht cht khng h thp mc tiu lm pht ca RBNZ, hay gy ra lm pht cao hn trong di hn. Thay vo , ng cho rng li sut tng sau thng bo tht cht ch yu l bi v chng bo hiu rng RBZN mong mun mt li sut cao hn so vi li sut trong th trng lc by gi. S dn truyn t li sut chnh sch sang li sut th trng v li sut bn l Sarno, L., Thornton, D.L., (2003) tm thy c s n nh ng k trong mi quan h di hn gia li sut qu lin bang (li sut chnh sch) v li sut tn phiu kho bc (li sut th trng tin t) trong sut giai on nghin cu mc d tri qua cc thay i trong quy trnh hot ng chnh sch tin t. Cc tc gi cng l lun s hp l ca m hnh cn bng hiu chnh VECM phi tuyn v bt cn xng v s dng n nh lng cho mi quan h di hn n nh gia li sut qu lin bang v li sut tn phiu kho bn 3 thng ng thi tm hiu tc iu chnh v trng thi cn bng thng qua li sut qu lin bang, s iu chnh v trng thi cn bng ca li sut di mc cn bng l nhanh hn so vi li sut trn mc cn bng. Dan Chirlean Marius Constantin Apostoaie (2011) tm hiu s dn truyn t li sut chnh sch sang li sut lin ngn hng Romani. Theo cc tc gi ny, s phn ng ca li sut lin ngn hng i vi s thay i trong chnh sch tin t l chm trong giai on 2003-2008 v mnh t sau 10/2008. Nhng nguyn nhn chnh nh hng n s dn truyn ny l: s thay i v tr ca ngn hng quc gia Romani trong mi quan h vi h thng ngn hng, lm tng s khng tin cy gia cc t chc tn dng, gia tng nhn thc v ri ro, k vng v vic suy gim gi tr ngn hng lin quan n s pht trin ca li sut chnh sch tin t, s thiu ht ngun ti chnh, s gim gi tr ch s kinh t v m,

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Altunbas, Fazylov v Molyneux (2002) nghin cu bng chng v cc knh cho vay ngn hng chu u. ng cho rng, cc ngn hng thiu vn c xu hng dn truyn nhiu hn nhng thay i trong chnh sch tin t ti cc nc nh trong mt h thng lin minh kinh t tin t (EMU). Kashyap v Stein (2000) cho rng h thng cc ngn hng nh c nhng thay i nhiu hn i vi vic cho vay khi ni dung chnh sch tin t thay i. Bi vit cng mt ln na khng nh li vai tr ca cc ngn hng trong s truyn dn ca chnh sch tin t. Cottarelli v Kourelis (1994) l nhng ngi u tin nghin cu s dn truyn n li sut cho vay. H thy rng s dn truyn li sut khc nhau gia cc nc v tnh cng li sut cho vay ny c th gim xung nh mt vi nhn t: s tn ti ca th trng i vi thng phiu, li sut th trng tin t t bin ng v ro cn kh yu cnh tranh hay gia nhp ngnh. Paisley (1994) v Heffernan (1997) kim tra mi quan h gia li sut th trng v li sut bn l Anh thng qua m hnh hiu chnh li. Bi nghin cu cng cho thy th trng ngn hng bn l l mt trong nhng th trng cnh tranh khng hon ho phc tp. Whilst Paisley (1994) khng tm thy s dn truyn hon ton trong li sut th chp t chc xy dng Anh. Heffernan (1997) tm thy s dn truyn hon ton trong vic hon tr th chp nhng s dn truyn khng hon ton cho ti khon tit kim v ti khon vng lai ca ngn hng Anh v t chc xy dng. Hofmann v Mizen (2004) nghin cu 13 sn phm huy ng v th chp ca nh ch ti chnh t nhn Anh s dng m hnh phi tuyn v tm thy s dn truyn hon ton cho li sut huy ng nhng khng hon ton cho li sut th chp. Mojon (2000) kim tra s dn truyn ngn hn n li sut cho vay v huy ng 5 nc khu vc ng tin chung chu u (B, c, Php, Ty Ban Nha v H Lan), gi

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nh rng c s dn truyn hon ton trong di hn. ng thy rng li sut bn l phn ng chm i vi thay i trong li sut th trng tin t; li sut di hn phn nh chm hn so vi li sut ngn hn, v c s bt cn xng trong mc dn truyn. S dn truyn n li sut cho vay cao hn khi li sut th trng ang tng hn l khi n ang gim xung, nhng iu ngc li l ng cho li sut tin gi. Bondt (2002) kim tra mi quan h gia li sut tri phiu chnh ph v li sut huy ng cng nh li sut cho vay trn c s k hn ph hp cho khu vc Euro. ng ta tm thy rng s dn truyn l hon ton cho hu ht li sut cho vay nhng khng hon ton ln tc ng ca c li sut tin gi v mt s li sut cho vay. Kleimeier v Sander (2005) kim tra s dn truyn trong th trng bn l ca ngn hng i vi khu vc ng Euro v thy rng li sut cho vay phn nh nhanh hn i vi s thay i trong chnh sch tin t d on. Bi ny cng rt ra c mt s kt lun nh sau: li sut ngn hng c tnh cng v c s khc nhau cn xem xt trong s dn truyn gia li sut cho vay v li sut tin gi cc ngn hng khc nhau, c th l li sut cho vay s dn truyn nhanh hn. Dn truyn l hon chnh nht trong cho vay ngn hn doanh nghip v c s khc nhau trong c ch dn truyn ca cc nc trong khu vc ng tin chung chu u. Chong v cc cng s (2005) kim tra li sut huy ng cc k hn khc nhau v li sut cho vay c ngn hng thng mi v cng ty ti chnh Singapore v thy rng nh ch ti chnh iu chnh li sut ca h tng ln chm hn so vi iu chnh gim. H cng thy rng tc iu chnh khc nhau qua cc sn phm ti chnh v khc nhau gia cc ngn hng v cng ty ti chnh. H khng tm thy s dn truyn hon ton ca li sut. Mark A.Weth (2002) nghin cu v s dn truyn t li sut th trng sang li sut cho vay c. ng cho rng t chc tn dng ln hn iu chnh li sut cho vay th trng nhanh hn t chc nh do cc t chc ln tip cn tt hn vi th trng vn v linh hot thay i b p s thay i trong li sut chnh sch.

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Hasan Muhammad Mohsin (2011) tin hnh nghin cu v rt ra kt lun ti Pakistan th i vi li sut cho vay, s dn truyn cao nht l cho ngn hng nh nc, sau l ngn hng t nhn, ngn hng nc ngoi v cc ngn hng c bit khc. V vy, chnh sch tin t nh hng n li sut cho vay nhiu hn li sut huy ng Pakistan. Cn theo Stelios Karagiannis, Yannis Panagopoulos v Prodromos Valmis, (2010) C hai l do chnh gii thch cho s iu chnh bt cn xng ca li sut bn l p ng s thay i li sut bn bun l do hnh vi ca ngi tiu dng (hay l thuyt phn ng ca ngi tiu dng customer reaction hypothesis l l thuyt lin quan n mc tinh t ca ngi tiu dng lin quan n th trng vn). Ngi i vay hoc ngi gi tin cng tinh t, ngn hng cng min cng thc hin sc mnh th trng n li ch ca n. Gi thuyt ny cho thy s iu chnh bt cn xng, vi li sut cho vay l tng nhanh cn li sut tin gi l gim chm. y l trng hp m ngn hng hot ng c tnh cnh tranh cao v n lo s phn ng tiu cc t khch hng khi tng li sut cho vay v gim li sut tin gi v gi thuyt thng ng gi ca ngn hng (banks collusive pricing hypothesis l thuyt cho rng ngn hng c khuynh hng gim li sut huy ng v tng li sut cho vay khi h c kh nng thc hin sc mnh th trng v iu chnh li sut c li cho mnh). Trng hp ny th li sut cho vay l gim chm v li sut tin gi l tng chm. Ben Petro, John Mcdermott (2003) kho st mi quan h gia li sut tin mt, li sut th trng tin t v li sut c tnh bi cc nh ch ti chnh New Zealand. Ngoi ra, tc gi cn xem xt s khc bit trong quy m dn truyn trc v sau khi thc hin OCR v mc thay i trong li sut th trng tin t c dn truyn vo li sut cho vay nh ca ngn hng. Bi vit cn tranh lun rng, vi chnh sch mi, th trng tr nn minh bch hn, nh vo cc hng s OCR trong mt thi gian di. Mc dn truyn hin ti cho li sut th ni l ln mc d c cc yu t gim nh nh mc cnh tranh, cu trc bng cn i k ton ca cc ngn hng v ri ro tn dng nh hng n li nhun

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Harald Sander, Stefanie Kleimeier (3.2006) iu tra s dn truyn li sut trong bn khu vc th trng tin t thng thng (CMA) ca cc nc thuc lin minh thu quan Nam Phi (SACU) trong khong thi gian t 1991 n 2005. Kt qu ca tc gi ch ra rng cc th trng cho vay ngn hng ca CMA, s dn truyn thng thng nhanh v hon ton. Th trng tin gi th thng khng ng nht hn bng vic th hin ra cc mc khc nhau trong tnh cng ca li sut v s iu chnh khng i xng trong mt vi nc. V vy nh lm chnh sch nn ch n s canh tranh khng hon ho c th l trng tm ca s khc bit gia cc nc trong s truyn dn tin t CMA. Hannan v Berger (1991) v Neuman v Sharpe (1992) l nhng ngi u tin nghin cu tnh cng ca li sut tin gi. Trong khi gi nh s dn truyn l hon ton v lp tc cho li sut cho vay, h kim tra s tc ng ca sc mnh th trng trong th trng tin gi da trn tnh cng ca n M. H thy rng s iu chnh bt cn xng trong li sut tin gi, nhng ngn hng iu chnh li sut tin gi tng chm hn so vi khi iu chnh xung v h cho rng l do sc mnh th trng ca cc ngn hng trong th trng tin gi (nhng ngn hng c th chi phi li sut). Marco v Alessandro (2003) nghin cu v tnh cng ca li sut bn l ngn hng M, trong phn tch ca mnh, h ng rng, cc ngn hng khng th gy nh hng n hnh vi cho vay v h ch l mt phn t nh trong th trng, do , h cho rng, s dn truyn n li sut bn l l ngay lp tc v hon ton. Dutta v cc cng s (1999) a ra kt qu nghin cu l chi ph thc n cho mi ln thay i gi c ca chui cc ca hng thuc ln M l tng t vi nhng bo co cho chui cc siu th ln M. Ngoi ra, cc nh nghin cu cn nhn thy rng, c hai hnh thc bn l trn u ph thuc rt nhiu vo chin dch qung co v c hai u s dng quy tc nh gi ph thuc vo thi gian. iu ny cho thy l, t nht mt phn no ca chi ph thc n c kh nng nh hng i vi nhiu loi sn phm bn l khc nhau, khng ch ring nhng sn phm c nim yt. Chng

14

ta cng c th hnh dung rng, nhng kt qu trn cng ng trong lnh vc ti chnh khi m li sut c xem nh l gi c ca nhng khon vay. Claudia Kwail and Johann Scharler (1.2007) phn tch v tnh chc chn ca m hnh gi c tnh cng n gin, th hin c rng li sut bn l iu chnh chm chp so vi nhng thay i ca li sut chnh sch tin t v s dn truyn ny c kh nng s khng hon ton. Mt kt qu ch yu ca tc gi na l nu s dn truyn n li sut bn l l khng hon ton trong di hn, th nguyn tc Taylor tiu chun s khng cn m bo cho mt mc cn bng c xc nh. M. van Leuvensteijn a, C. Kok Srensen b, J.A. Bikkerc, A.A.R.J.M. van Rixteld (2008) phn tch cc tc ng ca cnh tranh th trng cho vay i vi li sut cho vay v tin gi p dng cc ngn hng khu vc chu u trong thi gian 19942004, bng cch s dng mt bin php mi cnh tranh c gi l ch s Boone. S dng phng php tip cn mt m hnh hiu chnh sai s (ECM) o lng hiu qu ca cnh tranh trn s dn truyn ca li sut th trng sang li sut ngn hng, tc gi tm thy rng cc ngn hng c xu hng nh gi cc khon vay ca h theo quy nh ca th trng trong nc khi p lc cnh tranh mnh hn. Phn tch nh lng MacKinnon(1999) cp n kim nh phn s kh nng nh gi tnh vng chc ca m hnh. Bi nghin cu cng cho rng cch tip cn ca Johansen c s dng rng ri trong cng tc ng dng, cung cp mt khun kh thng nht nh gi v th nghim trong bi cnh ca mt vector t hi qui a bin trong m hnh hiu chnh sai s (VECM) vi cc li thng thng. Phillips v Loretan (1991) dng nhiu phng php khc nhau c lng s cn bng di hn ca nn kinh t hay mi quan h ng lin kt. H tp trung vo thc hin bng cc phng trnh n gin. Ngoi ra h cn s dng cc m hnh nh OLS, FM, SEECM. T kt qu chy m hnh v so snh vi thc t cho thy, kt qu ca hai m hnh FM, ECM, SEECM c ngha thng k hn hn so vi m hnh OLS.

15

Henry (1995) pht trin mt phng php kinh t lng hot ng c thc hin bng vic lp m hnh xy dng. Gio s Hendry gii quyt cc vn v phng php lun (tm m hnh, o bi d liu, chin dch nghin cu hi qui); vi cc cng c ch yu cho vic lp m hnh (phng php hi qui, s hon thnh, siu ngoi sinh, kim nh bt bin); v vi cc vn thc nghim (cng tuyn, phng sai thay i, o lng sai s.

CHNH SCH TIN T NEW ZEALAND

Ngn hng d tr New Zealand (RBNZ) c trch nhim iu hnh chnh sch tin t c lp t c s n nh gi c, iu ny c nh r trong Tha thun v cc mc tiu chnh sch (PTA). PTA l mt hp ng c th gia thng c ngn hng d tr v b trng b ti chnh trn danh ngha ca chnh ph. y l thnh phn quan trng ca khung kh chnh sch tin t trong o lut ngn hng d tr c a ra nm 1989. PTA hin ti, k kt vo thng 9 nm 2002, yu cu ngn hng d tr gi cho lm pht c o bng s tng trng CPI hng nm cn bng mc 13% trong trung hn. Trong nhng nm 1990 v 1993 s n nh gi c c nh ngha l lm pht t 0 n 2 phn trm trong mt nm. H thng mc tiu c m rng ra t 0 n 3 phn trm trong thng 12 nm 1996. V lm pht thc s bn ngoi phm vi mc tiu trong gn hai nm t thi im v khng bao gi di 1 phn trm. Trc y, cc ngn hng t ra chnh sch trnh lch khi phm vi mc tiu, cn c vo hiu ng dn truyn trc tip t gi c nc ngoi thng qua t gi ln lm pht (xem Huang, Margaritis v Mayes, 2001). iu ny nhm thit lp h thng t gi nh mt mc tiu trung gian. Sau ngn hng a lm pht trong phm vi mc tiu trong 6-8 qu tip theo. T thng 7/ 1997 n thng 3/ 1999, RBNZ s dng ch s tin t c iu kin (MCI) nh mt phng tin thng tin cho cc yu cu ca chnh sch tin t. K t thng 3 nm 1999, RBNZ thay i cng c chnh ca chnh sch qun l s lng tin mt qua m thit lp mc li sut cho n (li sut OCR). T l ny c xem xt li tm ln mt nm. Khng ging nh hu ht cc quc gia khc, New Zealand khng t li sut nh vy trc nm 1999. Thay vo RBNZ iu khin iu kin th trng bng cch

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nh r li sut tn phiu ngn hng 90 ngy ph hp vi mc tiu n nh gi c kt hp vi 1 phm vi cho t gi hoi oi , y l s kt hp li sut v t gi hi oi trong 1 ch s MCI. Ngn hng thit lp chnh sch thng qua hot ng Open mouth operations (Guthrie v Wright, 2000). Thng thng vic tuyn b chnh sch tin t hng qu nh l phng tin c s dng nhng khi xy ra sc gia 2 qu hoc th trng di chuyn qu xa cc thng c hay cc thnh vin cao cp ca cc ngn hng s pht hnh mt tuyn b ngn gn ni v nhng g cc ngn hng mun. Thay i bt ng him khi xy ra v cc quyt nh ca ngn hng s c th trng thng qua. Bng cch thay i mt OCR ngn hng thng qua mt quy c t l tin l thay th cho mc tiu nh lng. Theo thng tin m rng t webside ca RBNZ, hu ht cc ngn hng thng mi u ng k ti khon thanh ton ti RBZN. Thng thng cc c nhn trn th trng thanh ton vi nhau qua ti khon ti cc ngn hng khc nhau. Cc ngn hng ny thc hin ngha v thanh ton vi nhau, thay cho khch hng, thng qua ti khon thanh ton ng k ti ngn hng d tr. ngn chn vic tch tr tin mt qu nhiu trong ti khon thanh ton, RBZN qui nh 1 h thng phn tng s lng tin mt. Ngha l mi ngn hng thng mi ch c gi 1 s lng tin mt xc nh ph hp vi nhu cu thanh ton. Vo cui ngy, s c 1 s ngn hng c thng d tin mt( s lng tin mt cao hn nhu cu), trong khi 1 s ngn hng khc thm ht tin mt. i vi cc ngn hng c thng d tin mt, RBZN s tr 1 mc li sut di mc OCR cho s lng thng d ny. i vi cc ngn hng thiu ht, RBZN s cho vay vi mc li sut trn mc OCR. Ngn hng trung ng hot ng nh mt ngi to th trng trong th trng tin t ngn hn m khng c bt k gii hn p t trn s tin giao dch mua bn, khng c ngn hng thng mi c kh nng cung cp cc khon vay ngn hn ti mt t l cao hn ng k so vi mc OCR. Trong mt h thng ti chnh cnh tranh, cc ngn hng khc a ra gi r hn bng cch vay mn tin t ngn hng d tr. Tng t, mt t chc ti chnh khng cho vay ngn hn ti

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mc thp hn nhiu so vi OCR t khi n c th cho vay t ngn hng d tr mc OCR, m khng c bt k ri ro tn dng no. Bng cch cho vay hoc vay tin qua m khng hn ch, ngn hng d tr c th duy tr t l li sut lin ngn hng ngn hn ti mc OCR. Bng cch thit lp OCR, ngn hng d tr c nh hng ng k n cc loi li sut ngn hn, v d, li sut tn phiu 90 ngy,li sut th ni th chp, vv. OCR cng c th nh hng n t l li sut bn l khc c qun l bi ngn hng thng mi v cc loi hnh t chc ti chnh khc. Do , nhng thay i trong OCR s nh hng n mc tng th ca hot ng kinh t trong nc v lm pht. Tuy nhin, qu trnh ny mt thi gian v tc iu chnh khc nhau trn cc phng tin v theo thi gian.

S CNG NHC TRONG TIN TRNH IU CHNH LI SUT

S iu chnh li sut bn l bi cc nh ch ti chnh khi c s thay i trong li sut chun trn th trng tin t hoc li sut chnh sch l c d tnh trc v s dn truyn c th l khng hon ton. Trong ti liu ca nhng t nc cng nghip, hin tng ging nhau th trng hng ha c bit n nh l s cng nhc trong vic thay i gi (gi c chm thay i). S cng nhc trong tin trnh iu chnh li sut l do mt s nhn t nh chi ph thc n, chi ph chuyn i cao (chi ph pht sinh khi khch hng chuyn i nhn hiu, sn phm qua sang i th cnh tranh), cnh tranh khng hon ho v bt cn xng thng tin. Di gi thuyt chi ph thc n, ngn hng min cng thay i li sut ca h nu s thay i trong li sut chun l rt nh v/hoc tm thi (xem Dutta et al. 1999). V c s iu chnh chi ph bao gm s thay i trong li sut bn l ca ngn hng n khch hng, ngn hng c th phn hi chm n thay i tm thi trong li sut chnh sch tin t, nhng nhanh chng hn trong nhng thay i vnh vin ca li sut chnh sch. Di gi thuyt chi ph chuyn i, khch hng khng c khuynh hng chuyn i sn phm ti chnh v/hoc nh ch ti chnh tm kim nhng ngun vn hay c hi u t tt hn v chi ph chuyn i cao (xem Heffernan, 1997). Khch hng cn tn thi gian v cng sc tm hiu ngn hng no cung cp ngh tt nht v h c th nhanh chng nhn thy s bt tin v/hoc tn qu nhiu chi ph cho vic

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chuyn i ngn hng. V d, trong trng hp thanh ton trc cc khon vay v rt sm cc khon tin gi, mt s ngn hng c th tnh ph cho khch hng hn ch vic ny. S cng nhc trong li sut c th l do vic ngn hng li dng tnh khch hng ca cc trong vic chuyn i sn phm ti chnh v/hoc nh ch ti chnh. Nu cc ngn hng c th nh gi sn phm ca h li dng tnh ca khch hng th li sut c k vng s tng chm cho tin gi ca khch hng, gim chm cho n. Theo ngha khc, ngn hng c th iu chnh li sut tin gi ln chm v iu chnh li sut n xung chm. iu ny s dn n s bt cn xng trong tc iu chnh li sut. Di l thuyt cnh tranh khng hon ho, bi v c s bt tay lm gi gia cc ngn hng, iu chnh li sut trong th trng khng cnh tranh c th bt cn xng, li sut huy ng c k vng tng chm trong khi li sut cho vay c k vng gim chm (xem Hannan v Berger, 1991, Neuman v Sharpe, 1992). Cui cng, theo gi thuyt bt cn xng thng tin, ngn hng phi i mt vi tnh trng xu khi bt cn xng thng tin gia ngi mua v ngi bn v vn ri ro o c khi ngn hng c yu cu tng li sut cho vay p ng s tng ln trong li sut th trng (xem Stiglitz v Weiss, 1981). S xut hin ca chi ph i din lm cho ngn hng min cng tng li sut cho vay ln ng k trong thi gian ngn. Li sut cho vay cao hn lm cho vic thu hi n kh khn hn, iu ny dn n nhiu vn v cho vay (vn v n). Tr khi ngn hng phi chu p lc v li sut th trng c k vng duy tr mc cao th ngn hng mi min cng tng li sut cho vay. Thay vo , nhng ngn hng c khuynh hng hn ch d n tn dng khi c p lc tng trn li sut cho vay. Kt qu, li sut cho vay c k vng tng chm hn di mu bt cn xng thng tin. S phi hp gia nhng nhn t trn c th ng vai tr khc nhau trong tin trnh iu chnh li sut bn l ngn hn v li sut di hn. V d, chi ph chuyn i v chi ph thc n c khuynh hng l nhn t chnh nh hng n tc iu chnh trong ngn hn trong khi cnh tranh khng hon ho v bt cn xng thng tin c khuynh hng l nhn t chnh tc ng n s dn truyn di hn (xem Bondt, 2002).

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V vy, n t ra vn l liu li sut tin gi v li sut cho vay c tng chm v gim chm hay khng. Hn na. cng c khuynh hng s cng nhc trong li sut bn l n cc sn phm ti chnh khc nhau l khc nhau. V d, nhng khc nhau ny c th thy li sut cho vay so vi li sut huy ng, th chp th ni so vi th chp li sut c nh, li sut ngn hn vi li sut di hn, ph thuc vo mc tng i ca tnh khch hng hoc mc quan trng ca chi ph chuyn i. V d, tnh ca khch hng c th ln hn nhiu i vi tin gi tit kim hn l ti khon tin gi. Hannan v Berger (1991) v Neuman v Sharpe (1992) l nhng ngi u tin nghin cu tnh cng ca li sut tin gi. Trong khi gi nh s dn truyn l hon ton v lp tc cho li sut cho vay, h kim tra s tc ng ca sc mnh th trng trong th trng tin gi da trn tnh cng ca n M. H thy rng s iu chnh bt cn xng trong li sut tin gi, nhng ngn hng iu chnh li sut tin gi tng chm hn so vi khi iu chnh xung v h cho rng l do sc mnh th trng ca cc ngn hng trong th trng tin gi (nhng ngn hng c th chi phi li sut). Cottarelli v Kourelis (1994) l nhng ngi u tin nghin cu s dn truyn n li sut cho vay. S dng m hnh t hi quy vi bin tr (ADL), h kim tra s tc ng ca li sut cho vay i vi cc nc pht trin v nc ang pht trin vi s thay i trn li sut th trng. H thy rng s dn truyn li sut khc nhau gia cc nc v tnh cng li sut cho vay ny c th gim xung nh mt vi nhn t: s tn ti ca th trng i vi thng phiu, li sut th trng tin t t bin ng v ro cn kh yu cnh tranh/gia nhp ngnh. Paisley (1994) v Heffernan (1997) kim tra mi quan h gia li sut th trng v li sut bn l Anh. Whilst Paisley (1994) khng tm thy s dn truyn hon ton trong li sut th chp t chc xy dng Anh. Heffernan (1997) tm thy s dn truyn hon ton trong vic hon tr th chp nhng s dn truyn khng hon ton cho ti khon tit kim v ti khon vng lai ca ngn hng Anh v t chc xy dng. Hofmann v Mizen (2004) nghin cu 13 sn phm huy ng v th chp ca nh ch ti chnh t nhn Anh s dng m hnh phi tuyn v tm thy s dn truyn hon ton cho li sut huy ng nhng khng phi cho li sut th chp.

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Mojon (2000) kim tra s dn truyn ngn hn n li sut cho vay v huy ng 5 nc khu vc ng tin chung chu u (B, c, Php, Ty Ban Nha v H Lan), gi nh rng c s dn truyn hon ton trong di hn. ng thy rng li sut bn l phn ng chm i vi thay i trong li sut th trng tin t; li sut di hn phn nh chm hn so vi li sut ngn hn, v c s bt cn xng trong mc dn truyn. S dn truyn n li sut cho vay cao hn khi li sut th trng ang tng hn l khi n ang gim xung, nhng iu ngc li l ng cho li sut tin gi. Bondt (2002) kim tra mi quan h gia li sut tri phiu chnh ph v li sut huy ng cng nh li sut cho vay trn c s k hn ph hp cho khu vc Euro. ng ta tm thy rng s dn truyn l hon ton cho hu ht li sut cho vay nhng khng hon ton ln tc ng ca c li sut tin gi v li sut cho vay. Kleimeier v Sander (2005) kim tra s dn truyn trong th trng bn l ca ngn hng i vi khu vc ng euro v thy rng li sut cho vay phn nh nhanh hn i vi s thay i trong chnh sch tin t d on. Chong v cc cng s (2005) kim tra li sut huy ng cc k hn khc nhau v li sut cho vay c ngn hng thng mi v cng ty ti chnh Singapore v thy rng nh ch ti chnh iu chnh li sut ca h ln chm hn so vi iu chnh gim. H cng thy rng tc iu chnh khc nhau qua cc sn phm ti chnh v khc nhau gia cc ngn hng v cng ty ti chnh. H khng tm thy s dn truyn hon ton ca li sut.

I. PHNG PHP NGHIN CU

Trong ti liu ny, tc gi xem xt s dn truyn c trong ngn hn v di hn ca cc li sut chnh sch tin t n cc loi li sut bn l khc nhau cng nh l tc iu chnh ca cc ng lc ngn hn n mi quan h cn bng trong di hn. Mi quan h trong di hn gia li sut bn l v li sut th trng tiu chun c th hin nh sau:
(1)

y t = 0 + 1 x t + t yt l li sut cho vay ca ngn hng hay li sut tin gi,

Trong :

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xt th hin li sut chnh sch tng ng hay li sut ca th trng tin t; t l sai s; 0 v 1 l tham s di hn. Cc chui li sut c mong i l s ly sai phn bc 1, (I1), cn cc bin v sai s li c k vng l s dng. Nh c tho lun trong Rousseas (1985), 0 l tung gc, 1 o lng mc dn truyn trong di hn. Dn truyn di hn l hon ton nu 1 l khng khc bit thng k so vi 1. Tc gi c lng phng trnh (1) l s dng phng php Phillips- Loretan (1991). Phng php ny p ng tt vic c lng mi quan h di hn, bao gm cc bin c hp nht, ni m cc ng lc c th ng vai tr quan trng trong DGP (tin trnh to d liu) cho yt. N c m hnh ha bi h thng ba phng trnh sau y: (1a) yt = + xt + u1t (1b) xt= u 2t y u t= [u1t2t 2t ] ,u l mt vector c nh

Phng trnh (1a) c th c c lng bng cc cch s dng cc phng trnh bc nht, v vi iu kin l phng trnh c lm tng mt cch thch hp, tnh cht gn ng ca phng thc c lng v phn phi ca n c th c xc nh mt cch d dng. Cc tnh cht ny xoay quanh mi quan h qua li tn ti gia u1t v u2t, chng c gi nh rng khng i. Nu ma trn hip phng sai ca ut l ma trn ng cho (l ma trn ch c gi tr ng cho, cn cc gi tr cn li u bng 0), (v th m cc thnh phn phn chia ca vector khng cng thay i) v ut cng vy. Sau , phng trnh (1a) c th c c lng bng cch dng phng php bnh phng b nht. Cc c lng s c phn phi chun, gn nh l b nht, v s c cn bng n cc c lng hp l cc i ca h thng cc tham s. Kt qu ny quan trng v n cho php c

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mt s suy lun thng k, bng vic s dng cc bng thng k chun c dng vi cc bin hp nht. Nu ma trn hip phng sai ca ut l ma trn ng cho nhng cc s d b t tng quan (nhng cng l ma trn ng cho), th s hi qui c th c tng ln trong gii hn iu chnh sai s b tr, ngc li vi tc ng ca s t tng quan ca u1t. Gii php ny c tc dng bi v cc bin hi qui c lp- xt - l siu ngoi sinh. Chng c lp vi gi tr trong qu kh v tng lai ca u 1t. V chng vung gc vi {u1t} t =

Nu u1t v u2t tng quan vi nhau, ngi ta c th lm du bt cc vn m chng gy nn bng s gia tng h s hi quy vi sm v tr pha (lead and lag) ca x t. S khc c th suy ngh v iu ny ging nh vic d bo u1t chng li s sm v tr pha ca u2t, v sau ng dng nh l Frisch- Waugh Lovell. Sai s t vic d bo ny th khng tng quan vi u2t, v vn ni sinh hay khng ng nht, v th m c x l. Vic cp n s sm pha gii hn cc phn hi t u1t v li u2t v iu ny quan trng trong iu kin hp l. Vn c bn l, vi mt tin liu trc chng ta khng bit rng u1t l tng quan vi s sm pha ca u2t hay l ngc li. K c cc khc bit v s tr pha hai pha c gii hn c vn ni sinh, th khi , vn t tng quan c th cn c khc phc bng vic vic bao gm thm c tr pha trong gii hn iu chnh sai s, Phillips v Loretan sau c c lng phng trnh tip theo bng cch dng phng php bnh phng b nht:

(1c) Phillips v Loretan chng minh rng cc c lng tham s t vic c lng phng trnh bc nht ny s cn bng vi c lng hp l cc i ca h thng v do c hiu qu. Hn th na, cc tham s gn nh c phn phi chun v khng

23

chch. Ngc li, c lng OLS (bnh phng b nht) ca (1) trong khi c s tng thch mnh, li gn nh khng chch hay c phn phi bnh thng; v chch mu hu hn ca n c th ln v khng i. Mt thun li na ca vic xem xt im c bit ca (1c) l n gii thch r rng cho vai tr ca tnh bt ng trong chnh sch qu kh v s thit lp chnh sch mong i trong tng lai, trong mi quan h gia li sut bn l v cc cng c chnh sch. Phng trnh (1) l mt m hnh di hn. V s thay i trong li sut ca chnh sch tin t, cc ngn hng s khng iu chnh li sut bn l ngay lp tc. Li sut ngn hn c k vng s c iu chnh nhanh hn li sut trung v di hn, v n ph thuc vo li sut ngn hn trong tng lai cng nh li sut ngn hn hin ti. kim tra cc ng lc trong ngn hn ca s thay i trong li sut m p ng li vi s thay i ca li sut chnh sch hay li sut th trng tin t, tc gi s dng phng php hiu chnh sai s cu trc (structural error-correction). Phng php ny l cc m hnh r rng cng vi nhng thay i trong bin chnh sch. S th hin ca m hnh hiu chnh sai s (ECM) tng ng vi m hnh ADL(p.q) thng dng, c th hin nh sau:

(2) Trong : th hin tin trnh ly sai phn bc mt; ^ t-1 = ( yt 1 0 1 xt 1 )th hin ln ca s mt cn bng ti thi im (t-1) v n l s d ca mi quan h di hn c cho trong phng trnh (1); vt l mc sai s (error term). 0 o lng li sut ng thi hay nh hng ca li sut dn truyn i v I l cc h s iu chnh linh ng; v th hin tc iu chnh vic hiu chnh sai s khi m li sut cch xa mc cn bng. Du hiu ca c k vng l s m do s tr v mc trung bnh

24

t nhin ca li sut. Kiu phng trnh ging nhau c th c ch r, m t cc ng lc ca s iu chnh trong li sut chnh sch (xt ) tr iu chnh trung bnh (mean adjustment lag- MAL) ca s dn truyn hon ton cho mt m hnh ADL(q,p) thng thng hay s tham s ha m hnh ECM tng ng ca n, c th c tnh ton bng cch s dng cng thc ca Hendry (1995). Cho trng hp c bit ca mt m hnh ADL(1,1), c n gin ha nh sau: MAL = ( o 1) / (3)

MAL n gin l bnh qun gia quyn ca tt c cc tr v n l mt phng php o lng tc li sut bn l phn ng li vi s thay i ca li sut chnh sch. Mt vi hc thuyt ch ra rng s iu chnh trong ngn hn c th khng i xng, mt khc, tc iu chnh c th khc bit khi m li sut nm trn mc cn bng vi khi li sut nm di mc cn bng (xem Chong et al, 2005 v Scholnick, 1996). kim nh s tn ti ca s iu chnh bt i xng trong li sut bn l New Zealand, tc gi thm mt bin gi vo phng trnh (2). bng vi 1 nu s d ^t-1 l dng, v bng 0 cho cc trng hp khc. Phng trnh ng lc bt i xng trong ngn hn c th hin di y:

(4) Trong 2 th hin tc iu chnh hiu chnh sai s khi m li sut nm trn gi tr cn bng ca n. 3 th hin tc iu chnh hiu chnh sai s khi li sut nm di mc cn bng ca n. kim nh s tn ti ca s iu chnh bt i xng, tc gi s dng kim nh Wald tiu chun xc nh xem 2 c sai khc nhiu so vi 3 hay khng. V vi trng hp iu chnh bt i xng, c th ch r tr iu chnh trung bnh bt i xng (MAL) ca s dn truyn hon ton bng cch s dng cng thc ca Hendry (1995). i vi trng hp c bit ca m hnh ADL(p,q), th c cho nh di y

25

MAL+= ( 0 1) / 2 MAL= ( 0 1) / 3

(5) (6)

Trong , MAL+ th hin tr iu chnh trung bnh khi m li sut bn l nm trn gi tr cn bng v MAL- th hin tr iu chnh trung bnh khi m li sut bn l nm di gi tr trung bnh ca chng.

D LIU V KT QU PHN TCH

D liu
Tc gi dng chui d liu hng thng ca li sut t hai ngun. Li sut th chp c nh ca cc k hn t 1 n 3 nm, ca cc ngn hng thng mi ln New Zealand, v phn d liu cn li, c th l li sut cho vay c bn, li sut th chp th ni v li sut tin gi trong thi gian 6 thng, OCR v li sut lin ngn hng qua m. Tt c chng n t Ngn hang d tr New Zealand. Khong thi gian mu l t thng 8/1994 n 12/2004, l mt khong thi gian trn 10 nm. ln ca mu l 125 cho hu ht cc chui li sut. Bng 1 cung cp cc thng k m t cho d liu mu, Panel A ch ra rng cc thng k m t cho ton b mu v Panel B ch ra iu cho mu con sau khi OCR c gii thiu, khong thi gian mu l t 3/1999 n 12/2004. Li sut th chp c nh trung bnh c tng quan dng vi k hn, th hin bng mt ng cong dc ln. Panel B cng ch ra rng lch tiu chun ca li sut New Zealand thc t gim xung vi s ra i ca OCR. Trc , bin ng hng thng ca li sut cao hn nhiu, ln hn 1% cho hu ht cc chui, vi li sut lin ngn hng qua m c s bin ng cao nht l 1.72%. Sau khi OCR c gii thiu, li sut tr nn bnh n nhiu hn so vi trc , bin ng hng thng ca li sut gim xung mc t 0.6 n 0.75%

Panel A: mu ton b, giai on 8/1994 12/2004 * Bt u t thng 3/1999 khi OCR ln u c a ra

Mean Median Maximum Minimum Std Dev Obs.

26
OCR* Interbank Floating_rate Fixed_1YR Fixed_2YR Fixed_3YR Base_lending Time_deposit (6MTH) 5.54 6.54 8.67 8.04 8.27 8.41 10.55 6.39 5.50 6.15 8.44 7.50 7.95 8.25 10.36 6.20 6.50 10.00 11.50 11.50 11.50 11.50 12.75 9.17 4.50 3.30 6.50 5.90 6.25 6.30 8.36 4.15 0.65 1.72 1.56 1.49 1.30 1.17 1.24 1.45 70 125 125 125 125 125 125 125

Panel B: mu con sau khi c OCR, giai on 3/1999 12/2004 (s lng quan st:70)
Maximum 6.50 6.50 8.77 9.25 8.70 8.80 11.09 6.70

Series OCR Interbank Floating_rate Fixed_1YR Fixed_2YR Fixed_3YR Base_lending Time_deposit (6MTH)

Mean 5.43 5.44 7.49 6.91 7.27 7.55 9.70 5.31

Median 5.38 5.53 7.58 6.85 7.15 7.50 9.88 5.25

Minimum 4.50 4.07 6.50 5.90 6.25 6.30 8.36 4.27

Std.Dev. 0.63 0.64 0.68 0.65 0.59 0.61 0.75 0.62

Bng 1: thng k m t
Cc h s tng quan tng cp gia cc li sut khc nhau c ghi trong bng 2. OCR c th hin c mi tng quan cao vi li sut th chp th ni, li sut tin gi theo thi gian v li sut cho vay c bn, nhng li tng quan t vi li sut th chp c nh. OCR cng tng quan cao vi li sut lin ngn hng qua m.

OCR* Interbank Floating_ Rate Fixed_ 1YR Fixed_ 2YR Fixed_ 3YR .984 0.981 0.677 0.385 0.230

Interbank

Floating_ Rate

Fixed_ 1YR

Fixed_ 2YR

Fixed_ 3YR

Base_ lending

0.975 0.912 0.856 0.814 0.938 0.888 0.844 0.981 0.959 0.990

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Base_ Lending Time_ deposit

0.931 0.931

0.952 0.972

0.973 0.984

0.863 0.960

0.796 0.918

0.744 0.880 0.941

Bng 2: nhng h s tng quan

Kim nh tnh dng v kim nh ng lin kt Trc khi thc hin kim nh ng lin kt (cointegration), cn xc nh cc chui li sut c nhn l cc giai on nghim n v (unit root processes) v v th s khc bit u tin ca chng l chui c tnh dng. Tc gi kim nh gi thit H0 l chui c nghim n v (chui khng c tnh dng), v gi thit thay th H1 l chui c tnh dng, s dng Phillips- Perron (PP) v cc tin trnh Dickey- Fuller tng thm (ADF). Cc kt qu ca kim nh tnh dng i vi cc chui li sut khc nhau c tm tt bng 3. i vi bc ca cc chui ny, cc kt qu ch ra rng chng ta khng th bc b gi thuyt m cc chui ny c nghim n v (khng c tnh dng) ti mc ngha 1%. V tt c cc chui sai phn bc mt c tnh dng ti mc ngha 1%, ngoi tr OCR m chui sai phn bc mt ca n l c tnh dng ti mc ngha 5% i vi kim nh ADF. Cc kt qu ca vic kim nh ng lin kt c th hin trong bng 4, v s dng kim nh Johansens Trace. Cc kt qu ca Johansen ch ra rng tt c cc chui li sut bn l l ng lin kt vi li sut lin ngn hng iv
Kim nh Phillips-Perron Level Series OCR Interbank Floating_Rate Fixed_1YR Fixed_2YR Fixed_3YR Base_lending Time_deposit First difference Series Prob. D(OCR) 0.0% D(Interbank) 0.0% D(Floating_Rate) 0.0% D(Fixed_1YR) 0.0% D(Fixed_2YR) 0.0% D(Fixed_3YR) 0.0% D(Base_lending) 0.0% D(Time_deposit) 0.0%

Prob. 33.5% 29.5% 36.3% 32.3% 32.1% 31.6% 26.4% 37.1%

Bandwidth 5 6 6 3 2 1 6 7

Obs 69 124 124 124 124 124 124 124

Bandwidth 4 2 2 1 3 3 2 3

Obs 68 123 123 123 123 123 123 123

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Kim nh ADF
Level Series OCR Interbank Floating_Rate Fixed_1YR Fixed_2YR Fixed_3YR Base_lending Time_deposit Prob. 6.1% 28.2% 14.8% 48.5% 45.7% 38.6% 20.3% 21.7% Lag 2 1 2 0 0 0 1 1 Max Lag 10 12 12 12 12 12 12 12 Obs 67 123 122 124 124 124 123 123 1st difference Series D(OCR) D(Interbank) D(Floating_Rate) D(Fixed_1YR) D(Fixed_2YR) D(Fixed_3YR) D(Base_lending) D(Time_deposit) Prob. 3.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Lag 1 0 1 0 0 0 0 0 Max Lag 10 12 12 12 12 12 12 12 Obs 67 123 122 123 123 123 123 123

Bng 3: Kim nh nghim n v

Series Floating_rate Fixed_1YR Fixed_2YR Fixed_3YR Base_lending Time_deposit

Cointegration of series (y) with interbank rate(x) r=0 r1 15.79 4.84 (.051) (302) 19.48 (.064) 21.61 (.045) 21.53 (.033) 14.78 (.064) 24.56 (.012) 5.39 (.243) 5.53 (.230) 5.48 (.235) 5.12 (.024) 6.59 (.150)

(Normalised) Cointegrating Vector (1, -1, o) (1, -0.91, -2.71) (1, -0.82, -2.64) (1, -0.69, -3.69) (1, -0.61, -4.39) (1, -0.61, -6.53)

(1, -0.84, -0.85)

S trong ngoc l gi tr p-values (MacKinnon-Haug-Michelis (1999))

Bng 4: Kt qu kim nh ng lin kt ca Jonhansen ( yt = 0 + 1 xt + t )

29

S dn truyn trong di hn v s thay i cu trc

bit c rng li sut lin ngn hng qua m ng lin kt vi cc li sut bn l khc nhau, tc gi sau c th c lng din bin trong di hn cho ton b mu. Cc kt qu ca c hai c lng Phillips- Loretan v c lng OLS c th hin trong bng 5. Cc kt qu ca tc gi ch ra rng c lng Phillip- Loretan c th khc bit rt ln trong mt vi trng hp vi c lng OLS. V th, cc kt qu OLS, c bit l t- values, nn c gii thch cn trng. Mt khc, t bng 4 v 5 chng ta c th thy rng, c lng Phillip- Loretan tng ng vi nhng kt qu t c bng vic s dng cc chi tit ca m hnh 2 bin JohansenV. Xuyn sut trong ton b khong thi gian mu, kim nh thng k X2 v p-value trong hai ct cui ca cc kt qu bng 5, cho thy rng s dn truyn trong di hn l khng hon ton cho tt c cc chui ngoi tr li sut th chp 1 nm c nh v th ni ti mc 5%. Cc h s dc nm trong phm vi 58.8% n 93.4% (s dn truyn). Thng thng, mc ca s dn truyn di hn th cao hn i vi li sut bn l ngn hn. y l iu ph hp vi cc gi thuyt k vng ca cu trc k hn ca li sut. V OCR l li sut qua m, nn n tng quan cao vi li sut ngn hn hn l di hn. Li sut di hn khng ch b nh hng bi li sut ngn hn hin hnh m cn bi li sut ngn hn tng lai.

30

Dependent Variable (y) Floating_rate Fixed_1YR Fixed_2YR Fixed_3YR Base_lending Time_deposit

Constant 2.498* (6.033) 2.780* (3.720) 3.742* (4.953) 4.511* (5.236) 3.825* (2.440) 0.957* (2.688)

Constant (OLS) 2.094* (11.258) 3.648* (6.775) 5.772* (9.717) 6.857* (11.390) 4.098* (15.701) 0.445 (1.503)

Slope 0.934* (15.056) 0.793* (7.051) 0.686* (6.015) 0.588* (4.532) 0.761* (9.598) 0.825* (15.350)

Slope (OLS) 1.004* (29.529) 0.621* (6.402) 0.297* (2.776) 0.147 (1.349) 1.035* (22.021) 0.907* (17.113)

DW 1.826 1.964 1.976 2.026 1.929 1.981

(1 =1) 1.127 3.374 7.713* 10.043* 9.105* 10.669*

Prob. 0.289 0.066 0.006 0.001 0.002 0.001

0.978 0.954 0.943 0.922 0.989 0.991

Ghi ch: bin x l li sut lin ngn hng. Tc ca s dn truyn c o lng bi h s 1. * mc ngha 5% Nhng s trong ngoc l gi tr t ca cc h s c lng (gi thuyt H0: 1=0); tt c nhng c lng v s liu thng k u c tnh ton bng cch s dng phng php Phillips-Loretan nu khng c iu kin khc. X2 (1=1) l thng k kim nh cho l thuyt rng h s dc th bng 1 (complete pass-through). Gi tr DW vi hi quy OLS (ko c cp y) l kh thp cho thy s hin din ca tng quan tun t v c th b qua nhng tc ng ny.

Bng 5: s dn truyn di hn (c lng Phillips-Loretan) ( yt = 0 + 1x1 + t)

V s ra i ca OCR vo thng 3.1999 th hin mt s thay i ln trong chnh sch tin t New Zealand, nn tip theo chng ta kim nh vn l phi chng c mt s thay i cu trc kt hp vi s ra i ca cng c chnh sch mi. Kim nh bin gi tiu chun c dng kim nh s chc chn ca h s khng i v h s dc ca phng trnh (1). Bin gi (D) nhn ly gi tr 0 vo gia thng 8 nm1994 v thng 2 nm 1999. (trc khi c s xut hin ca OCR) v nhn gi tr 1 vo gia thng 3.1999 v 12.2004 (sau khi xut hin OCR). Cc kt qu kim nh i vi s dn truyn di hn c th hin trong bng 6

31
Slope Dummy (D*x) Coef. 0.322 -0.086 -0.371 -0.304 0.278 0.216 t-value 2.944* -0.341 -1.341 -1.070 2.410* 1.954**

Constant Coef. Floating_rate Fixed_1YR Fixed_2YR Fixed_3YR Base-lending Time_deposit 5.021 4.141 5.018 5.162 6.126 2.983 t-value 8.478* 3.613* 3.220* 3.497* 6.655* 5.794*

Slope Coef. 0.629 0.646 0.537 0.526 0.674 0.593 t-value 8.720* 4.632* 2.818* 2.911* 6.020* 9.492*

Dummy (D) Coef. -2.690 -0.199 1.471 1.272 -1.586 -2.053 t-value -3.831* 0.128 0.855 0.714 -2.054* -3.002*

Ghi ch: D l mt bin gi. D=0 cho nhng quan st trc thng 3 nm 1999 v bng 1 t thng 3 nm 1999 Ct slope dummy o lng nhng thay i trong s dn truyn di hn sau khi ch OCR c gii thiu. *mc ngha 5%, ** mc ngha 10%

Bng 6: S thay i cu trc (c lng Phillips-Loretan) (yt = 0 + 1x1 + 2D + 3D*xt + t)

Cc kt qu cho thy rng trc khi ra i OCR vo 1999, mc dn truyn di hn cho tt c cc chui nm trong khong 52.6% n 67.4%, khng c ci no l dn truyn hon ton. So snh vi sau khi ra i OCR, mc dn truyn cho li sut th chp th ni, li sut cho vay c bn v li sut tin gi 6 thng tng, nhng i vi li sut th chp 1-3 nm c nh th khng thay i nhiu. Thc cht, mc dn truyn l hon ton v mt thng k i vi li sut c bn v th ni ti mc 5%, v i vi li sut tin gi 6 thng ti mc 10% (p- value cho kim nh cc gi thuyt m tng cc h s dc bng 1 trong bng 6 l 0.653, 0.746 v 0.087, c th l i vi phng trnh li sut th ni, li sut tin gi 6 thng v li sut cho vay c bn) S tng ln ca s dn truyn di hn t li sut chnh thc n li sut bn l hu nh l do bin ng li sut t hn, c tnh minh bch hn v cng bi v tnh cnh tranh trong th trng. Sau khi c s ra i ca OCR, li sut, c mong i l tr nn t bin ng hn, iu ny c th hin trong bng 1. Vi nhiu li sut t bin ng hn, chng ta k vng rng chi ph iu chnh li sut ngn hng s gim i,

32

v t c s dn truyn mc cao hn. Thm na, vi s ra i ca OCR, s c s minh bch hn trong vic thit lp chnh sch v truyn dn n th trng ti chnh, dn n s cnh tranh nhiu hn trong ngnh cng nghip ngn hng. Kleimeier v Sander (2005) cng ch ra rng tnh minh bch nhiu hn trong s qun l ca chnh sch tin t c th lm tng mc s dn truyn di hn. Trong khi tnh minh bch tng ln trong chnh sch tin t v s gim xung sau ca bin ng c th gii thch cho s tng ln trong mc dn truyn di hn i vi li sut th ni v li sut tin gi c nh, th n li khng c nh hng g ti li sut th chp c nh. Mt l do cho vic ny c th l s tn nhim qu ln ca cc ngn hng New Zealand i vi n nc ngoi Do t l tit kim l m i vi khu vc dn c New Zealand, cc ngn hng v cc nh ch ti chnh khc New Zealand thu ht ngun ti chnh mt cch linh hot t ngn qu ton cu ca h, c th l th trng ng Euro v ng la. Mrt cng c hn hp nh cc khon n ngn hng, thng phiu Euro, k phiu trung hn v c phn c s dng. Trong l thuyt, mt s lng ln n nc ngoi khng th lm cho chnh sch tin t NEW Zealand t hiu qu hn, nu cc ngn hng dng ro cn mt cch hiu qu chng li ri ro tin t i vi n nc ngoi. Bng vic hon i thnh ni t tri ni hay c nh (c th l la New Zealand) thng qua hp ng hon i ngoi hi (FX) v hon i li sut tin t cho, chi ph vay n nc ngoi c hiu qu s ging nh li sut trong nc c cng k hn, b qua chi ph giao dch khi c ro cn. Trong trng hp ny, cc ngn hng ang vay tng hp t nc ngoi. Di s ngang gi li sut, cc thay i trong li sut ni a s c phn nh trong chi ph ngn qu. Nu bo him ri ro ngoi hi khng c thc hin, th vic vay t nc ngoi s c nh hng ln n tnh hiu qu ca chnh sch tin t trong mt t nc chnh v s thiu ht. Thc t th, ri ro ngoi hi ngn hn c th c gim thiu d dng bng cc hp ng hon i ngoi hi, hon i tin t, vic hn ch ri ro tin t di hn th tn km v t hiu qu hn, lm suy gim tnh hiu qu ca chnh sch tin t trong nc. Hn na, nu bo him ri ro c thc hin bng cc hp ng quyn chn, th bin ng tin t cng nh li sut ni a c th nh hng n chi ph bo him cng nh chi ph ngn qu thc s, nh hng n tnh hiu qu ca chnh sch tin t ln li sut bn l. Cc kt qu ca tc gi gi m rng

33

ri ro ngoi hi cc k hn di hn c th khng c m bo mt cch hiu qu New Zealand.

S dn truyn ngn hn v tc iu chnh

Tc gi s dng cc trnh by chi tit ca cc m hnh hai bin s hiu chnh sai s cu trc (SEC) c lng cc ng lc ngn hn ca s iu chnh cho li sut bn l v li sut bn bun tiu chun. Cc kt qu ca iu chnh li sut bn l c th hin trong bng 7. Tc gi ch th hin cc c lng cho nh hng v h s hiu chnh sai s. Cc c lng h s cho cc bin khc phng trnh li sut bn l v cc kt qu ca phng trnh li sut lin ngn hng khng c th hin nhng li c sn cng theo yu cu. Tt c cc tham s u c du hiu ng k vng v c ngha thng k. Cc h s dn truyn nh hng, 0, th dng v c ngha thng k. i vi li sut th chp c nh, s dn truyn i km, gii hn t 35.3% cho li sut cho vay c bn n 86.2% cho li sut c nh 1 nm. Tt c cc c lng ca tc hiu chnh sai s hay tc iu chnh, , th m v c ngha thng k, ch ra tc iu chnh tr li mc trung bnh ca li sut bn l n cc gi tr cn bng di hn ca n. tr iu chnh trung bnh ch ra 1 mt hin ti kh n gin, ch tn t hn 1 thng i vi li sut c nh 1 nm iu chnh v n mc trung bnh, nhng tn gn 4 thng cho li sut th chp c nh 3 nm thc hin tin trnh ging vy.
Series Floating_rate Fixed _1YR Fixed _2YR Fixed _3YR Base_lending Time_deposit o 0.415 0.862 0.480 0.486 0.353 0.829 t-value 1.87** 4.20* 2.09* 2.49* 6.46 * 8.50 * -0.321 -0.216 -0.154 -0.138 -0.153 -0.237 t-value -3.74* -3.14* -2.76* -2.53* -3.11 * -3.54 * MAL 0.94 0.64 1.75 3.79 3.24 0.72

MAL: tr ca s iu chnh trung bnh (see Hendry 1995) Mc ngha 5%; ** mc ngha 10%

34

Bng 7: S dn truyn ngn hn v tc iu chnh (c lng SEC) (yt = ixt-I + iyt-I + t-1 + t) Li sut bn l ngn hn,e.g, li sut c nh 1 nm v li sut tin gi thi gian 6
thng ch ra mc dn truyn ngn hn ln hn v tc iu chnh cng nhanh hn. Cc ngn hng bit iu ny cnh tranh mnh m trong nhng phn khc nh vy v nhiu hn na di ch OCR. Th chp nh rt quan trng vi cc ngn hng New Zealnad. Sut vi nm qua, chng chim ti 50% trong tt c cc danh mc cho vay ca ngn hng. Vi vi ngn hng, n chim ti hn 70% trong tng cho vay v cng ngy cng tng. t c th phn th trng th chp nh , cc ngn hng cnh tranh d di vi nhau, c bit l trong th trng th chp li sut ngn hn c nhvi. Cnh tranh i vi vn tin gi cng c quan tm. Nh tho lun trc, li sut tit kim New Zealand l thp nht trong cc nc cng nghip v cc ngn hng phi vay mt s lng ln ca cc qu bn bun t nc ngoi ti tr cho tng trng cc khon cho vay ca h. Tin gi trong nc c a thch hn v chng n nh hn v t nhy cm vi thay i trong li sut.

Tc iu chnh khng i xng.

Tc gi c lng cc m hnh hiu chnh sai s cu trc, chp nhn tc khc nhau ca vic iu chnh n mc cn bng. Cc kt qu trong m hnh iu chnh bt i xng c th hin bng 8. So snh vi cc h s tc iu chnh khng i xng, 2 v 3, khng c bng chng no v tc iu chnh khng i xng cho bt k li sut bn l no. Tc gi cng c lng nh hng ca s ra i OCR trn tc iu chnh khng i xng, khng c khc bit no mang ngha thng k. C vi bng chng gi rng tc khc bit ca s iu chnh c th tn ti i vi li sut cho vay c bn, nhng cc kt qu li khng kt lun iu . Tc gi cng iu tra kh nng ngn hng iu chnh li sut tng ln ti mt tc khc hn l iu chnh chng gim xung trong sut thi k OCR c hiu lc, nhng li khng c bng chng kt lun gi m rng y thc ra ch l mt trng hp. C vi bng chng khng r lp li rng cc ngn hng iu chnh li sut tng nhanh i vi li sut cho vay c bn OCR v cng lp li rng h iu chnh li sut gim nhanh hn cho li sut c nh 1 nm. Kt qu sau ny c th ch ra s cnh tranh

35

gay gt ang din ra gia cc ngn hng trong thi gian gn y v th phn trong phn khc th trng c th ny.
Series Floating_rate Fixed 1YR Fixed 2YR Fixed 3YR Base_lending Time_deposit o 0.411** (1.760) 0.802* (4.112) 0.479* (2.076) 0.483* (2.461) 0.391* (9.922) 0.825* (8.331) 2 0.324* (3.118) -0.220* (2.517) -0.162* (2.156) -0.145* (2.041) -0.108; (1.426) -.0.248* (2.923) 3 -0.314* (2.381) - 0.296** (1.928) - 0.144** (1.684) -0.126 (1.402) -0.214* (2.774) -.0.219* (2.058)
2

(1=2)) 0.004 0.182 0.026 0.027 0.823 0.049

MAL+ 0.94 0.90 1.70 3.55 7.84 0.70

MAL0.97 0.67 1.81 4.09 3.95 0.80

Ghi ch:trong ngoc l gi tr T-value. * mc ngha 5%, ** mc ngha 10% D l bin gi. D = 0 cho nhng quan st trc thng 3 nm 1999 v bng 1 cho nhng quan st t thng 3 nm 1999 Vi m hnh ECM i xng, MAL+ i din cho tr ca vic iu chnh trung bnh khi li sut bn l trn gi tr trung bnh v MAL- i din cho tr ca vic iu chnh trung bnh khi li sut bn l di gi tr trung bnh. 0 o lng mc ca s dn truyn trong ngn hn

Table 8: S dn truyn ngn hn v tc iu chnh bt i xng (c lng SEC)

KT LUN
Trong ti liu ny, tc gi xem xt cc vn sau: u tin: xem xt s dn truyn di hn ca cc li sut bn l khc nhau, bao gm, li sut th chp cc k hn khc nhau. Th hai: kim tra s dn truyn ngn hn v tc iu chnh ca nhng li sut ny, bng cch dng m hnh hiu chnh sai s v kim nh s iu chnh i xng v khng i xng.

36

Cui cng: iu tra mt thay i trong tin trnh iu hnh chnh sch tin t nh l kt qu ca vic chp nhn s dng cng c li sut tin mt chnh thc (OCR) vo 1999, c tc ng khc nhau n s dn truyn v tc iu chnh ca li sut New Zealand Cc tm kim ca tc gi ch ra rng dn truyn trong di hn ca li sut bn l khc nhau gia cc sn phm ti chnh. Li sut ngn hn cho thy mc dn truyn cao hn v tc iu chnh nhanh hn li sut di hn, nhng khng c bng chng mnh m no v s iu chnh khng i xng. Bi nghin cu cng tm ra rng s ra i ca OCR dn n s dn truyn tng ln cho li sut th ni v tin gi nhng li khng c vi li sut th chp c nh. Kt qu sau gi m rng trong mt nn kinh t nh vi s lng ln n nc ngoi th hiu qu ca chnh sch tin t c th b suy gim. Tng quan: cc kt qu ca bi nghin cu ny ch ra rng li sut chnh sch tin t c nhiu nh hng hn ln li sut ngn hn. Chng ti cng tm ra bng chng gi m rng tnh minh bch tng ln trong vic thc hin chnh sch tin t lm gim tnh bin ng ca li sut chnh sch chnh thc v dn n s cnh tranh nhiu hn trong ngnh cng nghip ngn hng. V tnh minh bch ca chnh sch tin t tng ln v bin ng li sut gim i, cc thay i li sut ngn hn trong tng lai tr nn khng nhiu na, bng cch lm tng mc dn truyn ca li sut chnh thc n li sut bn l trong s kt ni vi tnh hiu qu ca chnh sch tin t. PHN 3. TM TT BI NGHIN CU Bi vit ny nghin cu thc t th trng New Zealand nhm gii quyt vn : Quy m dn truyn v tc iu chnh ca li sut bn l khi li sut chun thay i New Zealand. Chi tit hn, tc gi i su vo phn tch ba yu t ca vn trn, gm: Th nht, tc gi xem xt s dn truyn di hn ca li sut chnh thc v li sut lin ngn hng n cc loi li sut bn l khc nhau, tiu biu nh: li sut huy ng v tn dng, bao gm li sut tn dng c bn v li sut th chp ti cc mc k hn khc nhau. Phn tch yu t ny cung cp cho chng ta mt ci nhn tng qut v th trng ti chnh New Zealand, nhm lm c s phn tch cc yu t sau y. V

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qu trnh dn truyn t li sut chnh sch sang li sut bn l, c th din ra qua hai giai on: t li sut chnh sch dn truyn sang li sut ca th trng tin t (chng hn nh: li sut lin ngn hng, li sut tn phiu kho bc hay tri phiu chnh ph), sau t li sut th trng tin t dn truyn qua li sut bn l. Giai on 1 c xem nh l dn truyn hon ton, do , trong bi vit ca mnh tc gi xem ngun dn truyn l li sut chnh sch hay li sut th trng tin t u c. Mt khc, giai on 2, s dn truyn nhiu kh nng l khng hon ton, giai on ny s c nghin cu c th trong bi vit. Th hai, tc gi kim tra s dn truyn ngn hn v tc iu chnh ca li sut bn l bng m hnh hiu chnh sai s (ECM), ngoi ra ng cn kim nh tc iu chnh l cn xng hay bt cn xng. Tc iu chnh l khong thi gian cn thit li sut thay i t gi tr ny sang gi tr mc tiu ca n ( xem Saleh M. Nsouli, Mounir Rachel v Norbert Funke). Hiu c tc iu chnh ny, nh lm chnh sch c th tc ng vo qu trnh iu chnh ca cc yu t nhm em li hiu qu mong mun cho nn kinh t. Do , phn ny, tc gi phn tch qu trnh sau: trong ngn hn, s thay i trong li sut chnh sch tin t hay li sut chun trn th trng tin t dn truyn n cc loi li sut bn l, sau li sut bn l s c cc nh ch ti chnh iu chnh p ng s thay i trong li sut chnh sch tin t hay li sut chun trn th trng tin t nhm t c gi tr mc tiu. phn hai ca qu trnh tc gi a ra mt s yu t lm nh hng n qu trnh iu chnh li sut, bao gm: chi ph thc n, chi ph chuyn i, cnh tranh khng hon ho v bt cn xng thng tin. Bn yu t ny, tc ng ring r hay kt hp li vi nhau, lm cho qu trnh iu chnh li sut din ra chm chp hn mong mun, y tc gi gi l tnh cng nhc trong qu trnh iu chnh li sut. Cui cng, tc gi phn tch liu s thay i trong chnh sch tin t, c th l gia tng tnh minh bch ca n, c gy ra mt tc ng no n s dn truyn v tc iu chnh ca cc li sut bn l New Zealand hay khng? Chnh sch tin t New Zealand tri qua mt s thay i ln: chuyn t mc tiu s lng tin t sang mc tiu li sut trong iu hnh th trng. Bi vit cho rng, s thay i ny lm cho chnh sch tin t tr nn minh bch hn, kim tra tc ng ca s thay

38

i ny, ng dng cc m hnh kinh t lng phn tch s dn truyn ca cc li sut bn l trc v sau khi c OCR. M hnh chung tc gi kim nh cc vn t ra l: Yt = 0 + 1 xt + t y, yt l li sut cho vay ca ngn hng hay li sut tin gi, xt th hin li sut chnh sch tng ng hay li sut ca th trng tin t; t l sai s; 0 v 1 l tham s (parameters) di hn. Ngoi ra, hiu chnh cc sai s c lng, tc gi s dng mt s m hnh khc nhm tng ng n ca cc kt lun, cc m hnh ny s c trnh by c th trong phn IV ca bi vit. Trong bi, tc gi s dng phng php Phillips Loretan, m hnh ECM, m hnh OLS, ngoi ra ng cn dng kim nh s tng quan, kim nh ng lin kt phc v cho vic chy m hnh. Bng cc bng chng thc nghim tc gi a ra kt lun cho ba yu t ca vn trn l: Th nht, cc mc li sut bn l ngn hn c s dn truyn vi quy m ln hn ng thi c tc iu chnh nhanh hn so vi cc mc li sut di hn. V s dn truyn t li sut th trng tin t sang cc loi li sut bn l l khng hon ton. Th hai, OCR lm gia tng s dn truyn cho li sut th ni v li sut huy ng nhng khng gy nh hng n cc mc li sut th chp c nh. Ngoi ra, cc kt qu cn ng rng, vi mt nn kinh t nh m, nu ph thuc qu nhiu vo nc ngoi s lm gim hiu qu ca chnh sch tin t. Tng quan, tc gi kt lun rng, chnh sch tin t gy nh hng ln hn i vi cc mc li sut trong ngn hn. Hn na, ng cn thy rng, gia tng tnh minh bch trong chnh sch tin t lm gim bin ng i vi li sut chnh thc v lm ngnh cng nghip ngn hng tr nn cnh tranh hn. Cui cng, vi s gia tng tnh minh bch trong chnh sch tin t v li sut bin ng t hn dn n s thay i trong tng lai ca li sut ngn hn s tr nn t bin ng hn, t lm tng mc dn truyn ca li sut chnh thc n li sut bn l ng thi gp phn gia tng hiu qu ca chnh sch tin t.

39

Gii thch t:
1. Pass through: s dn truyn. y l s dn truyn t li sut chnh sch, li sut lin ngn hng sang li sut bn l.
2. Adjustment Speed: tc iu chnh. L khong thi gian cn thit li sut

thay i t gi tr ny sang gi tr mc tiu ca n 3. Retail interest rate: li sut bn l. L li sut cho cc sn phm ca ngn hng bn l cung cp bao gm li sut huy ng v li sut cho vay di cc k hn v hnh thc khc nhau.
4. Wholesale rate: l li sut c bn m ngn hng trung ng thit lp v l li

sut lin ngn hng c xc nh bi s tng quan cung cu ca nhng nh ch tham gia trn th trng tin t.
5. The Policy Targets Agreement (PTA): Tha thun v cc mc tiu chnh sch.

L mt hp ng c th gia thng c ngn hng d tr v b trng b ti chnh trn danh ngha ca chnh ph v vic quyt nh cc chnh sch tin t nh n nh gi c, mc tiu chnh sch, lm pht xung quanh mc tiu. 6. The Official Cash Rate (OCR): li sut c thit lp bi ngn hng d tr p ng mc tiu lm pht c th theo tha thun PTA. OCR c gii thiu vo 3/1999 v c xem xt li 8 ln/nm, ngoi ra OCR cn c th c iu chnh bi nhng tc ng bt ng n vi nn kinh t. OCR tc ng n li sut bn l ca New Zealand do ngn hng d tr ra v l cng c tc ng n mc hot ng ca nn kinh t v lm pht.
7. Monetary Conditions Index (MCI): ch s tin t c iu kin. L ch s c

tnh t mt s kt hp tuyn tnh ca 1 s lng nh cc bin trong nn kinh t c lin quan n chnh sch tin t. Cc bin ny bao gm li sut ngn hn v t gi hi oi. 8. The 90-day bill rate: li sut tn phiu 90 ngy. Tng t nh tn phiu kho bc, nh u t mua tn phiu 90 ngy vi gi thp hn mnh gi sau 90 ngy bn ra vi mnh gi, phn chnh lch chnh l li nhun nh u t c c.

40

9. The menu costs: chi ph thc n, l chi ph cng ty phi chu khi thay i gi sn phm ca n, bao gm chi ph phi b ra in n, pht hnh giy t, bng gi c lin quan khi c s thay i gi v bao gm c phn doanh s bn hng mt i do khch hng e ngi mua sn phm do gi thay i. 10. The switching cost: chi ph chuyn i. L chi ph m khch hng phi tr khi thay i sn phm hay thay i ngn hng cung cp. v d: khch hng rt tin trc hn t ngn hng ny em gi vo ngn hng khc th phi tn ph rt tin, ph tm hiu ngn hng mi 11. Mean adjustment lag( MAL): tr hiu chnh trung bnh. l bnh qun gia quyn ca tt c cc tr v n l mt phng php o lng tc li sut bn l phn ng li vi s thay i ca li sut chnh sch.

41

Phn 4: M RNG xem xt s dn truyn ca li sut Vit Nam Bi ny s dng s liu ly t ngn hng nh nc Vit Nam bao gm s liu ca li sut tin gi, li sut cho vay v li sut lin ngn hng (tt c u c ly gi tr cui thng v c tnh theo n v %/nm) v tnh theo bnh qun tt c cc k hn. Mu c ly t 7/2004 n thng 12/2010 kim tra v s dn truyn ca li sut lin ngn hng n li sut cho vay v li sut bn l ng thi kim tra tc iu chnh v trng thi cn bng di hn ca li sut bn l. u tin, chng ta s kim nh tnh dng v s dng phng php bnh phng b nht tnh ton s dn truyn trong di hn, sau rt ra phn d v kim nh tnh dng ca phn d kim nh s ng lin kt (mi quan h di hn gia cc bin). Cui cng chng ta chy OLS cho ECM tm c s dn truyn trong ngn hn v tc iu chnh li sut v trng thi cn bng trong di hn.

Bng 1: Kim nh tnh dng cho 3 chui d liu gc: LSCHOVAY, LSTIENGOI, LSLNH (unit root test)
Null Hypothesis: LSCHOVAY has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Fixed) t-Statistic Augmented Dickey-Fuller statistic Test critical values: test 1% level 5% level 10% level -2.078631 0.5491 -4.081666 -3.469235 -3.161518 Prob.*

42

Null Hypothesis: LSTIENGOI has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Fixed) t-Statistic Augmented Dickey-Fuller statistic Test critical values: test 1% level 5% level 10% level -1.86074 -4.08167 -3.46924 -3.16152 0.6651 Prob.*

Null Hypothesis: LSLNH has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Fixed) t-Statistic Augmented Dickey-Fuller statistic Test critical values: test 1% level 5% level 10% level -2.04388 -4.08167 -3.46924 -3.16152 0.5681 Prob.*

Sau khi kim nh tnh dng (unit root test) bng phng php ADF, ta thy c ba chui li sut huy ng, li sut cho vay v li sut lin ngn hng u khng dng. Ta tip tc ly sai phn bc I ca chui d liu gc kim tra tnh dng ca sai phn bc I ny.

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Bng 2: Kim nh tnh dng ca d liu sai phn bc 1

Null Hypothesis: D(LSCHOVAY) has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Fixed) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level Null Hypothesis: D(LSLNH) has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Fixed) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic -9.56151 -4.08336 -3.47003 -3.16198 Prob.* 0.0000 t-Statistic -6.04874 -4.08336 -3.47003 -3.16198 Prob.* 0.0000

Null Hypothesis: D(LSTIENGOI) has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Fixed) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic -4.90827 -4.08336 -3.47003 -3.16198 Prob.* 0.0008

T bng trn, ta thy gi tr |t| u ln hn gi tr |t| cc mc 1%, 5% v 10% nn c ba chui s liu u dng sai phn bc I. Do vy, ta s dng chui s liu gc kim nh ng lin kt (tnh dng ca phn d) v chui s liu sai phn bc I chy m hnh ECM theo phng php OLS.

Bng 3: S dn truyn trong di hn (yt = 0 + 1xt + t)

44

Dependent Variable: LSCHOVAY Method: Least Squares Date: 03/23/12 Time: 09:49 Sample: 2004M07 2010M12 Included observations: 78 Variable C LSLNH R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

Coefficient 4.840162 0.865364 0.784503 0.781668 1.154304 101.2637 -120.857 1.061823

Std. Error t-Statistic 0.466111 10.38415 0.052025 16.63351 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

Prob. 0.0000 0.0000 12.28218 2.470365 3.150178 3.210607 276.6736 0.0000

Dependent Variable: LSTIENGOI Method: Least Squares Date: 03/23/12 Time: 09:47 Sample: 2004M07 2010M12 Included observations: 78 Variable Coefficient Std. Error t-Statistic C 0.569523 0.467957 1.217042 LSLNH 0.961608 0.052231 18.41054 R-squared 0.816845 Mean dependent var Adjusted R-squared 0.814435 S.D. dependent var S.E. of regression 1.158876 Akaike info criterion Sum squared resid 102.0675 Schwarz criterion Log likelihood -121.1653 F-statistic Durbin-Watson stat 0.911487 Prob(F-statistic) Trong : yt: li sut cho vay hoc li sut huy ng (li sut bn l) xt: li sut lin ngn hng t: sai s

Prob. 0.2274 0.0000 8.839231 2.690224 3.158085 3.218513 338.948 0.0000

Bng 4: Kim nh tnh dng ca phn d (ng lin kt)

45

Null Hypothesis: RESIDCHOVAY has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Fixed) Augmented Dickey-Fuller test statistic Test critical values: t-Statistic -5.37308 -4.08167 -3.46924 -3.16152 Prob.* 0.0002

1% level 5% level 10% level

Null Hypothesis: RESIDTIENGOI has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Fixed) Augmented Dickey-Fuller test statistic Test critical values: t-Statistic -5.07562 -4.08167 -3.46924 -3.16152 Prob.* 0.0004

1% level 5% level 10% level

T kim nh trn, ta thy phn d dng nn bin li sut bn l (li sut cho vay v li sut tin gi) v bin li sut lin ngn hng l c mi quan h ng lin kt vi nhau. Vy chui s liu gc khng dng v c mi quan h ng lin kt gia cc bin to iu kin cho ta thc hin m hnh ECM. y, ta thc hin m hnh ECM theo phng php OLS.

46

Bng 5: S dn truyn ngn hn v tc iu chnh

(yt = ixt-I + iyt-I + t-1 + t)

47

Dependent Variable: DTIENGOI Method: Least Squares Date: 03/27/12 Time: 05:41 Sample (adjusted): 2004M10 2010M12 Included observations: 75 after adjustments Variable C DLSLNH(-1) DLSLNH(-2) DTIENGOI(-1) RESIDTIENGOI(-1) R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficie nt 0.03384 0.17192 5 0.30977 7 0.31540 5 -0.27464 0.50583 3 0.47759 4 0.70373 6 34.6670 6 Std. Error 0.081679 0.100944 0.089995 0.116273 tStatistic 0.41430 5 1.70317 4 3.44214 9 2.71263 5 3.32310 8 Prob. 0.6799 0.093 0.001 0.0084 0.0014 0.0793 33 0.9736 56 2.1995 12 2.3540 12 2.2612 02 1.7746 62

0.082644 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn -77.4817 criter. Durbin-Watson 17.9131 stat 0

T nhng s liu trn, ta c th rt ra kt lun i vi th trng Vit Nam l cc li sut bn l khc nhau th dn truyn khc nhau, c th y l li sut cho vay v li sut tin gi. Bn cnh , li sut cho vay c s dn truyn tt hn li sut tin gi. Bi nhng hn ch trong thi gian v s liu, nhm khng th tm c nhng chng minh thc nghim chng t cho nhng l thuyt trong bi nn ch dng li hai kt lun trn.