Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

LM PHT MC TIU C LM GIM HIU NG TRUYN DN T GI HI OI CC NN KINH T MI NI?

Dramane Coulibaly Paris School of Economics University Paris 1 Pantheon Sorbonne Hubert Kempf Banque de France Paris School of Economics

Bi nghin cu ny c khi xng khi Dramane Coulibaly tham gia vo v tr nghin cu Ngn Hng Php. Ngn Hng Php khng nht thit phi chia s kin v bi nghin cu ny. Cc iu khon thng bo c p dng. Chng ta rt bit n Isabelle Me1jean v Michel Normandin cho bn d tho trc . Nhng kin v cu hi hu ch t nhng ngi tham gia hi tho ti CEPII v Ngn Hng Php c nh gi cao.

Lp TCDN Ngy 1 Cao hc K20

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

Tm Tt: Trong bi nghin cu ny chng ta kim tra thc nghim s tc ng ca lm pht mc tiu n c ch truyn dn t gi hi oi thng qua gi c cc nn kinh t mi ni. Chng ta s dng cng c VAR, cng c ny cho php chng ta s dng mt b d liu trn 27 nn kinh t mi ni (15 nc theo ui lm pht mc tiu v 12 khng theo ui lm pht mc tiu). Cc bng chng cho thy lm pht mc tiu cc nn kinh t mi ni gp phn lm gim s lan truyn n cc ch s gi c khc nhau (gi nhp khu, gi sn xut v gi tiu dng) t cp cao hn n mt cp mi c ngha khc 0. S phn tch phng sai cho thy s tc ng ca nhng c sc t gi hi oi n bin ng ca gi c nhng nn kinh t mi ni c theo ui lm pht mc tiu quan trng hn so vi cc nc khng theo ui; v s tc ng ca t gi hi oi n bin ng gi c cc nn kinh t mi ni c theo ui lm pht mc tiu gim sau khi p dng lm pht mc tiu. Phn loi JEL: E31,E52,F41 T kha: Lm pht mc tiu, s lan truyn t gi hi oi, cng c VAR

Lp TCDN Ngy 1 Cao hc K20

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

1. Gii Thiu Sau khi New Zealeand khi xng lm pht mc tiu vo nm 1990, mt s lng ln cc quc gia cng nghip ha v cc quc gia mi ni thng qua lm pht mc tiu nh mt chic neo danh ngha. Trong sut hai thp k qua, mi nc cng nghip ha v hai mi nn kinh t mi ni1 thng qua chnh thc lm pht mc tiu nh l mt cng c qun l trong chnh sch tin t. Nhiu nn kinh t mi ni khc c nh thng qua chnh sch tin t ny trong mt trong tng lai gn. Do tnh d b tn thng ca cc nn kinh t mi ni bi cc c sc t gi hi oi, nn mt yu t quyt nh thnh cng ca chin lc ny chnh l kh nng lm gim tc ng ca hiu ng t gi hi oi truyn dn. Nhiu bi nghin cu cho thy mt s st gim v tc ng ca t gi hi oi trong sut hai thp k qua: liu iu ny c lin quan n lm pht mc tiu? Nhiu bi nghin cu cung cp mt vi bng chng cho thy lm pht mc tiu c lin quan n s pht trin tng th ca nn kinh t (Bernanke v Mishkin (1997); Svensson (1997); Bernanke etnal (1999) v nhng ngi khc). Ball v Sheridan (2005), mt trong s t bi ph phn v lm pht mc tiu, cho rng vic thc hin lm pht mc tiu c v khng lin quan n cc nc cng nghip ha. Da vo c tnh cho OLS, kt qu ch ra rng vic gim mc v s bin ng ca lm pht cc nc c lm pht mc tiu ch n gin l phn nh hi quy i vi gi tr trung bnh, tc l, lm pht s gim nhanh hn cc nc bt u vi lm pht cao hn so vi cc nc ban u c lm pht thp hn. V cc quc gia thc hin lm pht mc tiu c mc lm pht ban u cao, nn s st gim ln trong lm pht cc quc gia ny ch n gin l phn nh mt xu hng cho thy bin ny tr v mc trung bnh ca n. Nhng nghin cu ca h ch tp trung cc nc cng nghip ha v v th khng th gii quyt cc vn cho cc nn kinh t mi ni c lm pht mc tiu. Goncalves v Salles (2008) m rng phn tch ca Ball v Sheridan cho 36 nn kinh t mi ni v thy rng, i vi cc nc , kt qu l khc nhau. c bit, cc nn kinh t mi ni p dng lm pht mc tiu c
1

10 nc cng nghip theo ui lm pht mc tiu l c, Canada, Phn Lan, New Zealand, Nauy, Ty Ban Nha, Thy in, Thy S v Vng quc Anh. Phn Lan v Ty Ban Nha hin nay trong khu vc s dng ng Euro. 20 quc gia mi ni theo ui lm pht mc tiu bao gm Brazin, Chil, Colombia, Cng ha Sc, Gana, Guatemala, Hungary, Indonesia, Israel, Hn Quc, Mehico, Peru, Philippines, Ba Lan, Rumani, Scbia, Slovakia, Nam Phi, Thi Lan v Th Nh K. Lp TCDN Ngy 1 Cao hc K20 GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

kinh nghim gim lm pht v gim bin ng tng trng nhiu hn, thm ch sau khi phn tch gi tr trung bnh. Bi nghin cu hin ti ng gp cho ngun ti liu v lm pht mc tiu bng vic phn tch nh hng ca lm pht mc tiu ln hiu ng truyn dn ca t gi ln lm pht cc nn kinh t mi ni. iu ny c da trn gi thuyt ca Taylor (2000) tranh lun rng hiu ng truyn dn t gi l thp hn trong mi trng lm pht thp. Hon ton ng nh vy, cc cng ty trong mi trng lm pht thp mong ch mt lch trong lm pht km lin tc hn v v vy s vt qua gim t gi to ra t vic tng gi nhp khu u vo so vi gi bn ca n. Gi thuyt ny c ng h bi bng chng thc t da trn t s gi tiu dng cho c cc nc cng nghip ha v nn kinh t mi ni (xem trong v d Gagnon v Ihrig, 2001, hoc Choudhri v Hakura, 2006).T lc Gonalves v Salles (2008) ch ra rng lm pht mc tiu gip lm gim lm pht cc nn kinh t mi ni, n ang c quan tm phn tch liu rng s chp nhn lm pht mc tiu dn n vic lm gim hiu ng truyn dn ca t gi.2 Bi nghin cu ny t vn s dng mt tp hp con ca 27 nn kinh t mi ni (15 nc lm pht mc tiu v 12 nc lm pht phi mc tiu).3 Sau phn tch kim nh VAR ln u tin bao gm ch s gi tiu dng nh mt loi gi duy nht, chng ta thc hin phn tch kim nh VAR ln th hai bao gm 2 loi gi
2

tng ny khm ph bi Mishkin v Schmidt Hebbel (2007). Mishkin v Schmidt Hebbel (2007)

nghin cu thc nghim mi lin kt gia lm pht mc tiu v mt vi thc o hiu qu kinh t bao gm s truyn dn t gi hi oi n gi tiu dng. S dng d liu trn 21 quc gia cng nghip ha v quc gia mi ni c theo ui lm pht mc tiu (gi l targeters) v 13 quc gia pht trin khng theo ui lm pht mc tiu (gi l nontargeters), h p dng k thut VAR. kim tra nhng sai lch, h thng qua nghin cu bng cch so snh cc hm phn ng y trn nhng quc gia mu khc nhau ty vo quc gia c p dng lm pht mc tiu hay khng. Kt qu ca nhng phn tch ny ch ra rng hiu ng truyn dn ln gi tiu dng tin v 0 nhng nc cng nghip trc v sau khi theo ui lm pht mc tiu (targeters) v nhng nc khng theo lm pht mc tiu (nontargeters). Ti nhng quc gia mi ni theo ui lm pht mc tiu hiu ng truyn dn t gi hi oi n gi tiu dng gim xung sau khi cc nc ny t c mc tiu n nh, nhng vn gi mc khc 0 (khc bit ng k so vi 0). Tuy nhin, nhng kt qu trong nghin cu ca Mishkin v Schimidt-Hebbel (2007) vn b sai lch i cht do khng c cc nc mi ni khng theo ui lm pht mc tiu trong nhm cc nc c la chn.
3

Trong on tip theo, targeters dng ch nhng quc gia mi ni theo ui lm pht mc tiu, v

nontargeters dng m ch nhng quc gia mi ni khng theo ui lm pht mc tiu. Lp TCDN Ngy 1 Cao hc K20 GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

khc: gi nhp khu (IMP) v gi sn xut (PPI). Vic s dng 2 loi gi trong kim nh VAR cho php chng ta tr li trc tip gi thuyt ca Taylor. Gim hiu ng truyn dn nh hng ti gi nhp khu ngha l; sau khi chp nhn lm pht mc tiu, hng ha nhp khu t nc ngoi ca cc cng ty bn l hp th mt phn ln c sc t gi thng qua s bin i nh trong gi bn ca n. Gim hiu ng truyn dn nh hng n gi sn xut ngha l sau khi chp nhn lm pht mc tiu, cng ty nhp khu u vo t nc ngoi hp th phn ln c sc t gi thng qua s bin i nh trong gi ca sn phm cui cng ca n. Mc d s phn ng y a thng tin v ln ca hiu ng truyn dn ca t gi ti gi trong nc, chng cng khng th hin cc c sc t gi quan trng nh th no trong vic gii thch s bin ng gi c trong nc. V vic thc hin lm pht mc tiu yu cu ch t gi hi oi linh hot nn lm pht mc tiu dn n s bin i ln trong t gi hi oi. V vy, thm ch nu lm pht mc tiu dn n s st gim trong hiu ng t gi truyn dn ti gi trong nc, n vn c th dn n s gim nh sc p t gi ti bin ng ca gi trong nc. Do , nh gi nh hng ca sc p t gi ti bin ng ca gi trong nc, chng ta tin hnh phn tch bin thin ca gi trong nc. Kt qu chnh ca bi nghin cu ny l nhng im sau. S chp nhn lm pht mc tiu cc nn kinh t mi ni lm gim hiu ng ti gi tiu dng t mc cao ban u ti mt mc mi, tuy nhin vn duy tr cch bit ln vi 0. i vi nhng nc mi ni khng theo ui lm pht mc tiu, hiu ng truyn dn i vi gi tiu dng gn bng 0 (khng c nhiu khc bit so vi 0) trc nm 1999 v c xu hng tch cc sau nm 1999. Bng vic so snh lm pht cc nc mi ni theo ch lm pht mc tiu sau khi chp nhn lm pht mc tiu vi cc nc mi ni khng theo chnh sch lm pht mc tiu sau nm 1999, hiu ng truyn dn n gi c tiu dng khng khc bit nhiu gia 2 nhm nc ny. S st gim ca hiu ng t gi truyn dn ti gi tiu dng ti cc quc gia mi ni c lm pht mc tiu c th quy cho vic st gim ca hiu ng t gi truyn dn i vi chui gi. Hiu ng truyn dn i vi gi nhp khu v gi sn xut b gim nhiu trong cc nn kinh t mi ni c theo ui lm pht mc tiu sau khi chp nhn khung lm pht mc tiu. Nhng kt qu ny c chng thc bng cc phn tch s bin

Lp TCDN Ngy 1 Cao hc K20

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

thin. Cc phn tch s bin thin ch ra rng c sc t gi gii thch mt phn quan trng trong bin ng gi c ti cc nc theo ui lm pht mc tiu, trong khi nh hng ca ca c sc t gi ti bin ng gi cc nc khng c lm pht mc tiu l khng ng k. Phn tch bin ng cng ch ra rng nh hng ca c sc t gi ti bin ng gi cc nc lm pht mc tiu gim sau khi chp nhn lm pht mc tiu. Phn cn li ca bi nghin cu c cu trc nh sau. Phn 2 trnh by phng php lun v d liu. Phn 3 trnh by kt qu theo li kinh nghim v s gii thch. Phn 4 kt lun bi nghin cu. 2. Phng php nghin cu v s liu B s liu theo qu gm 27 nn kinh t mi ni (15 nc lm pht mc tiu v 12 nc lm pht phi mc tiu), trong thi k t Qu 1 nm 1989 n Qu 1 nm 2009. S dng m hnh VAR c s dng bi Mishkin v Schmidt-Hebbel (2007), chng ta iu tra liu lm pht mc tiu c lm gim s truyn dn ca t gi ln gi hng ni a cc quc gia mi ni. Chng ta s dng m hnh VAR c lng hm phn ng y. S dng m hnh VAR c 2 u im chnh. Th nht, phng php VAR xc nh bin ni sinh. Th hai, cc kt qu tim cn d dng ly c t bng s liu. M hnh c dng nh sau:

Yit = ( L)Yit + u i + it

(1)

Vi Yit l vector ca bin c nh, (L) l ma trn a thc vi (L) = 1L1 + 2L2 + . . . + pLp , ui l vector ca hiu ng quc gia c th, v it l vector ca sai s c tnh. Mt vn trong c lng m hnh ny lin quan n s hin din ca cc hiu ng c nh. Cc hiu ng c nh tng quan vi bin hi quy c lp, do tr ca bin ph thuc, chng ta s dng sai s trung bnh chuyn tip (phng php Helmert), theo Love v Zicchino (2006). Trong phng php ny, loi b nhng hiu ng c nh, tt c cc bin trong m hnh c bin i thnh lch t s trung bnh chuyn tip.

Lp TCDN Ngy 1 Cao hc K20

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

m m y it = Ti=t +1 yis (Ti t ) biu th cch thc thu c t gi tr tng lai ca yit s
1 2 M , mt bin trong vector Yit = ( y it , y it ,..., y it ) ,vi Ti biu th khong thi gian

cui cng ca s liu c sn cho mt lot quc gia nht nh. it biu th s chuyn
1 2 M m i tng t ca it , vi it = ( it , it ,..., it ) . Do chng ta c:

~m = ( ym y ) yit it it it
v
m m ~ itm = it ( it it )

(2)

(3)

vi it = (Ti t ) (Ti t + 1) . i vi nm cui ca s liu, php bin i ny khng c tnh ton, bi v khng c gi tr tng lai cho vic xy dng s trung bnh chuyn tip. M hnh chuyn i cui cng c a ra nh sau:

~ ~ ~ Yit = ( L)Yit + it
vi

(4)

~ ~ ~ ~ ~ Yit = ( ~it , ~it2 ,..., ~itM ) v it = ( it1 , it2 ,..., itM ) y1 y y

Vic chuyn i ny l mt lch trc giao, trong mi quan st c th

hin nh l lch t nhng quan st tng lai trung bnh. Mi quan st c xem xt nh vy chun ha phng sai. Nu cc sai s ban u khng t tng quan v c m t bi phng sai c nh, sai s chuyn i nn biu hin cc c tnh tng t. Do , vic chuyn i ny bo ton hip phng sai ng nht v khng gy ra h s tng quan chui (Arelano v Bover, 1995). Hn na, k thut ny cho php s dng nhng gi tr tr ca hi quy nh l cng c v c lng cc h s bng phng php tng qut ca thi im (GMM). Khi tt c cc h s ca m hnh VAR c c lng, chng ta tnh ton hm phn ng y (IRFs).4 tnh ton IRFs chng ta s dng phn tch Cholesky. Gi nh pha sau phn tch Cholesky l chui lit k trc trong m hnh VAR tc ng cng lc ln nhng bin khc, trong khi chui lit k sau ny trong m hnh
4

Cng c VAR c c lng bng cch s dng gi d liu do Inessa Love cung cp. Gi d liu ny l

chng trnh Stata dng cho nghin cu ca Love (2001) v cng c dng trong Love v Zicchino (2006). Lp TCDN Ngy 1 Cao hc K20 GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

VAR tc ng c tr ln chui lit k trc . Do , nhng bin lit k trc trong m hnh VAR c xem l ngoi sinh hn. Chng ta p dng phng php ly mu c hon li xy dng khong tin cy ca IRFs. Do chng ta khng th gi nh s c lp trong s cc mu khc nhau, chng ta cng s dng phng php ly mu c hon li xy dng khong tin cy cho sai s trong IRFs thay v ch ly sai s ca chng.5 Theo Ito v Sato (2007, 2008)6, chng ta bt u bng xy dng m hnh VAR 5 bin, Yit = (oilit , gapit , mit , nerit , cpiit )', vi oil biu th log t nhin ca gi du th gii; gap l khe h sn lng u ra; m l log t nhin ca cung tin; ner l t gi hi oi danh ngha; cpi l ch s gi tiu dng (CPI); v l sai s u tin. S thay i trong gi du c bao gm xc nh c sc ngun cung. Chng ta bao gm sn lng u ra nm bt c phn cu. Cung tin c bao gm trong m hnh VAR xem hiu ng ca chnh sch tin t phn ng vi dao ng ln trong t gi hi oi hoc ph gi tin t. tr li trc tip cho phng on Taylor, chng ta cng tin hnh mt c lng b sung vi m hnh VAR 7 bin bng cch bao gm hai ch s gi khc: ch s gi sn xut (PPI) v ch s gi nhp khu (IMP). Nh cp trn, s st gim trong hiu ng truyn dn ln gi nhp khu c ngha rng cc cng ty bn l nhp khu hng ha chuyn mt phn nh ca c sc t gi vo gi bn ca h; v s st gim trong hiu ng truyn dn ln gi sn xut s c ngha rng cc cng ty nhp khu u vo chuyn mt phn nh ca c sc vo gi hng ha cui cng. Theo Burstein, Eichenbaum v Rebelo (2002, 2005), mc lm pht CPI sau mt thay i ln trong t gi hi oi ph thuc vo tm quan trng tng i ca cc u vo nhp khu c s dng cho sn xut trong nc v s hin din ca chi ph phn phi. Cc knh sn xut hoc phn phi c th lm gim tc ng ca thay i t gi hi oi v l l do cho s truyn dn thp vo gi tiu dng. Tip theo, m hnh VAR 7 bin cho php chng ta kim tra hiu ng truyn dn ca t gi theo chui gi c. Ni cch khc, n cho php chng ta kim tra xem lm pht mc
5 6

Nu chng ta gi nh c lp mu, khong tin cy ca sai s trong IRFs s hp hn. Ito v Sato (2007) s dng k thut phn tch VAR so snh hiu ng t gi hi oi truyn dn cc

quc gia ng v M Latinh, trong khi Ito v Sato (2008) p dng phn tch VAR trong vic phn tch gi hi oi truyn dn cc quc gia ng . Lp TCDN Ngy 1 Cao hc K20 GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

tiu c nh hng tiu cc trong hiu ng truyn dn vo gi tiu dng bng cch h thp gi nhp khu v/hoc gi sn xut. Nh tho lun trn, th t ca cc bin ni sinh l ch yu xc nh cu trc cc c sc. S thay i trong gi du bao gm xc nh c sc ngun cung l th t u tin trong m hnh VAR. Khe h sn lng c t th hai. Nhng cu sc cu va cung anh hng n khe h san lng c gia inh la a c inh trc. Cung tin c t th t th ba va trc ty gia hi oai danh nghia va bin gia ca. i vi m hinh VAR 5 bin, th t la: oil, gap, m, ner, cpi. Trong m hinh VAR 7 bin dng nh thich hp t gia nhp khu trc gia san xut va tiu dung, va t gia tiu dung th t cui cung. Do o, i vi m hinh VAR 7 bin, th t la: oil, gap, m, ner, imp, ppi, cpi. 3. Kt qu thc nghim Phn ny th hin kt qu ca phn tch hm phn ng y. D liu chi tit ca c lng thc nghim c th hin ph lc. Trc khi tin hnh c lng VAR, chng ta kim nghim im dng. Bi v gi du l bin khng ph thuc vo cc quc gia, kim nghim im dng trn bin ny c thc hin bng cch kim tra cc n v nghim tiu chun Dickey-Fuller. i vi cc bin khc, chng ta s dng bng kim nh n v nghim Maddala v Wu (nm 1999). Kim nh cho kt qu (xem Bng 1) gi du, ba loi gi trong nc, cung tin v t gi hi oi danh ngha khng dng cng mc nhng dng ng ng ng th nht i vi tt c quc gia. Khe h sn lng c pht hin dng cng mc. Cc nghin cu trc (V d Ito v Sato nm 2007, 2008, Miskhin v Shmidt Hebel, 2007) ngh a 1 bin khe h sn lng vo cng mc vi cc bin khc trn ng ng ng th nht. Chng ta theo phng php ny trong phn tch VAR ca mnh. M hnh li tc tng t nh m hnh IRFs khi chng ta a hn ba mc tr vo mu mc tiu. i vi cc mu phi mc tiu, nhiu hn ba tr th khng c chp nhn i vi c lng IRFs do tham s ma trn gn nh l duy nht. V th, chng ta chn lnh c tr mc ba cho l do thiu ht. Chng ta bt u bng vic tho lun v phn ng y ca ch s CPI i vi mt c sc t gi hi oi trong m hnh phng sai 5 bin cho cc nc lm pht

Lp TCDN Ngy 1 Cao hc K20

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

mc tiu v phi mc tiu. Chng ta cng tho lun phn ng y ca tt c gi c (CPI, PPI, IMP) i vi c sc t gi hi oi trong m hnh phng sai 7 bin cho cc nc theo lm pht mc tiu. Bng 1: Kim nh n v
Bin oil Kim nh -2.225 -4.532*** 238.9443*** 63.4918 203.5607*** 38.3284 199.9251*** 42.3842 104.0440*** 52.8330 160.7035*** 58.7423 93.6602***

oil
g m

m
ner

ner
cpi

cpi
imp

imp
ppi

ppi

Lu : Kim nh n v cho du v du l kim nh bnh phng tng qut ha Dickey- Fuller (GFGLS) bi v cc bin ny khng ph thuc quc gia. Gi thuyt khng ca kim nh DFGLS l bin s khng dng. i vi cc bin khc, kim nh n v l kim nh n v bng c pht trin Maddala v Wu (1999) vi gi thuyt khng l tt c cc chui khng dng so vi la chn l t nht mt chui trong bng phi dng. tr khng c s dng cho g. di ca tr c s dng trong kim nh bng l chiu di tr ti a ca kim nh ring l c chn da trn chun thng tin ca Schwarz. 1(3) tr c s dng cho du (du). 10(5), 10(6), 10(7), 10(8), 10(10) c s dng cho m (m) , ner, (ner) , cpi, (cpi) , imp (imp) v ppi (ppi) . S dng chiu di tr cao hn kt qu tm thy vn tng t. i vi mc ca cc bin s (g k vng), hng s v xu hng thi gian c da vo. i vi ng ng ng u tin ca cc bin, ch hng s c a vo. ***, **, * k hiu cho mc ngha ln lt l 10%, 5%, 1%.

Lp TCDN Ngy 1 Cao hc K20

10

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

3.1 Hiu ng truyn dn t gi n gi ni a trong nhng nc mi ni c lm pht mc tiu: trc v sau lm pht mc tiu Trong bi ny chng ta tho lun nhng phn ng y ca gi ni a n c sc t gi c s dng d liu ca 15 nc mi ni c lm pht mc tiu. Nhng phn ng y cho nhiu mu khc nhau c bo co trong Hnh 1 v 2. Mi bng bo co s so snh trc v sau: trc v sau khi chp nhn lm pht mc tiu. Trong nhng s liu ny phn 3 bo co s khc nhau gia 2 phn ng trc. (phn ng trong phn 2 tr phn ng trong phn 1). Hnh 1 bo co phn ng ng ca lm pht CPI n c sc t gi s dng m hnh VAR 5 bin. Hnh 1 ch ra mt ngha tch cc ca hiu ng truyn dn ca t gi ln gi tiu dng nhng nuc c lm pht mc tiu, ci m s gim sau khi h chp nhn lm pht mc tiu. Nh phn nh bi cc bin c lp trong phn 3, s suy gim trong hiu ng truyn dn ca t gi ln gi tiu dng th khc 0 theo thng k. Bng chng ny cho rng s chp nhn lm pht mc tiu trong nn kinh t mi ni gip gim hiu ng truyn dn t mc cao, v nh hng ca hiu ng truyn dn vn khc 0 c ngha. Nh tho lun trn, phn ng ca gi tiu dng n s thay i trong t gi da vo phm vi d liu u vo c s dng cho sn xut ni a v s hin din ca chi ph phn phi. Knh sn xut hay phn phi c th lm gim nh hng ca s thay i t gi ln gi tiu dng v gii thch cho 1 hiu ng truyn dn thp ca t gi n gi tiu dng. tnh n knh sn xut v phn phi chng ta c lng m hnh VAR 7 bin bao gm 2 ch s gi khc: ch s gi sn xut (PPI) v ch s gi nhp khu (IMP). c lng ny gip chng ta kim tra trc tip gi thuyt ca Taylor, ngi m tranh ci rng nhng doanh nghip c mi trng lm pht thp k vng mt lch chun lm pht t bn vng v do s t iu chnh gi bn p ng s tng ln ng khch l ca t gi trong gi ca nhng d liu u vo. Hnh 2 bo co phn ng ng ca 3 ch s gi lm pht (CPI, IMP, PPI) n c sc t gi s dng m hnh VAR 7 bin. Hnh 2 ch ra rng s st gim ca hiu ng truyn dn t gi n gi tiu dng nhng nuc c lm pht mc tiu c cho rng dn n s suy gim ca nh hng truyn dn ca t gi theo chui gi. Hiu ng truyn dn i vi c 3 loi gi nhng nc mi ni c lm pht mc tiu sau

Lp TCDN Ngy 1 Cao hc K20

11

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

khi chp nhn lm pht mc tiu gim ng k n nhng mc khc 0 c ngha. Bng cch so snh hiu ng truyn dn ca t gi n lm pht theo chui gi, kt qu cho thy tc ng l ln nht trong gi nhp khu, sau l gi sn xut, v thp nht i vi gi tiu dng. S khm ph ny ph hp vi nhng kt qu trc ca McCarthy (2000), Hahn (2003), Faruque (2006) v Ito v Sato (2007, 2008). Tm li, chng ta c nhng chng c rng vic chp nhn lm pht mc tiu s gip gim hiu ng truyn dn n 3 ch s gi t mc cao n mt mc mi m vn duy tr n khc 0 c ngha. Chng c ca chng ta xc nhn rng khi tin cy ban u ca cc ngn hng trung ng cc th trng mi ni thp, vic thc hin lm pht mc tiu s lm chnh sch tin t ng tin cy hn, v do dn n mi trng lm pht thp hn. Hnh 1: Phn ng ca lm pht ch s gi tiu dng (CPI) ca nc s dng chnh sch lm pht mc tiu n c sc t gi (VAR 5 bin)
Trc IT Sau IT Chnh lch

Ghi ch: Cc nt lin th hin s phn ng y n c sc t gi. Cc nt t th hin 5 di sai s tiu chun ng tin cy xung quanh s c lng. Cc sai s ny c a ra bi Monte Carlo vi 500 s lp li.

C th l, ph hp vi tranh lun ca Taylor, lm pht mc tiu bng cch thm vo mi trng lm pht thp nhng nc mi ni em li cho nhng cng ty c nhp khu u vo cng nh nhng cng ty bn l s suy gim hiu ng truyn dn t gi i vi nhng ch s gi cao hn (gi sn xut v gi nhp khu). Nh vy nhng bin ng t gi dn n hiu ng truyn dn t gi n ch s sn xut ni a v gi nhp khu thp hn. 3.2 So snh gia nhng nc theo ui lm pht mc tiu v nhng nc khng theo ui lm pht mc tiu

Lp TCDN Ngy 1 Cao hc K20

12

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

Trong phn trc, chng ta tm thy nhng chng c ch ra rng lm pht mc tiu gip lm gim hiu ng truyn dn t gi n ton b ba ch s gi (CPI, IMP, PPI). Mt s so snh gia cc nc ang pht trin khng theo ui lm pht mc tiu trong cng thi k cung cp nhng thng tin b sung th v. D liu t 12 nc khng theo ui lm pht mc tiu c dng tin hnh cuc phn tch so snh ny. th hin nghin cu so snh dnh cho cc nc khng theo ui lm pht mc tiu, ct mc thi gian l nm 1999, y l nm m mc trung bnh lm pht mc tiu c thng qua cc nc ang pht trin.7 Hnh 3 v 4 bo co s so snh trc v sau cho cc nc khng theo ui lm pht mc tiu trc v sau nm 1999. Hnh 3 th hin phn ng ca ch s lm pht tiu dng n mt c sc t gi hi oi bng cch s dng VAR 5 bin, trong khi hnh 4 th hin s phn ng ca ba ch s i vi c sc t gi bng cch s dng VAR 7 bin.8

Chng ta cng chy ng dng d on, 1998 v 2000 nh ct mc thi gian. S thay i ny cng khng nh hng n kt qu ca chng ta.
8

Trung quc v Uruguay khng bao gm trong VAR 7 bin, v d liu gi c nhp khu v gi nh sn c gi tr cho cc nc ny. Lp TCDN Ngy 1 Cao hc K20 GVHD: TS. Nguyn Khc Quc Bo

13

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

Hnh 2: Phn ng ca gi cc nc s dng chnh sch lm pht mc tiu n c sc t gi (VAR 7 bin)

nh hng ca IMP lm pht trc IT nh hng ca IMP lm pht sau IT Chnh lch

nh hng ca PPI lm pht trc IT

nh hng ca PPI lm pht sau IT

Chnh lch

nh hng ca CPI lm pht trc IT

nh hng ca CPI lm pht sau IT

Chnh lch

Ghi ch: Cc nt lin th hin s phn ng y n c sc t gi. Cc nt t th hin 5 di sai s tiu chun ng tin cy xung quanh s c lng. Cc sai s ny c a ra bi Monte Carlo vi 500 s lp li.

Hnh 3 th hin rng i vi cc nc khng theo chnh sch lm pht mc tiu, th hiu ng truyn dn t gi ln CPI gn bng 0 trc nm 1999 v tr thnh i lng dng c ngha sau nm 1999. Hnh 4 th hin rng, trc nm 1999, hiu ng lan truyn nh hng n 3 ch s trong cc nc ny gn bng 0, trong khi nhng nh hng ny l nhng i lng dng c ngha sau nm 1999. so snh cc quc gia theo ui chnh sch lm pht mc tiu v cc quc gia khng theo ui chnh sch lm pht mc tiu, hnh 5 v 6 cho bit s so snh cho gia hai mu ca cc nc: cc quc gia theo chnh sch lm pht mc tiu sau khi
Lp TCDN Ngy 1 Cao hc K20 GVHD: TS. Nguyn Khc Quc Bo

14

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

chp nhn lm pht mc tiu c so snh vi cc quc gia khng theo chnh sch lm pht mc tiu sau nm 1999. Hnh 3: Phn ng ca lm pht CPI trong cc nc khng theo chnh sch lm pht mc tiu n c sc t gi (VAR 5 bin)
nh hng ca IMP lm pht trc IT nh hng ca IMP lm pht sau IT Chnh lch

Ghi ch: Cc nt lin th hin s phn ng y n c sc t gi. Cc nt t th hin 5 di sai s tiu chun ng tin cy xung quanh s c lng. Cc sai s ny c a ra bi Monte Carlo vi 500 s lp li.

Hnh s 5 so snh hiu ng ca lm pht CPI n c sc t gi bng cch dng VAR 5 bin, trong khi hnh th 6 so snh s phn ng ca 3 ch s n c sc t gi bng s dng VAR 7 bin. Hnh 5 th hin rng s lan truyn t gi n gi tiu dng l tng ng cho cc quc gia khng theo chnh sch lm pht mc tiu sau lm pht mc tiu v cc quc gia khng theo chnh sch lm pht mc tiu sau nm 1999. Tuy nhin, hnh 6 xc nhn kt qu ny. Cc con s phn ng thc y trong hnh 6 th hin rng hiu ng lan truyn t gi ln gi tiu dng v gi nhp khu nhng nc theo chnh sch lm pht mc tiu sau khi thng qua lm pht mc tiu l cao hn mt t so vi cc quc gia khng theo lm pht mc tiu sau nm 1999, trong khi hiu ng lan truyn t gi n gi sn xut trong cc nc theo chnh sch lm pht mc tiu sau lm pht mc tiu khng c s khc bit no ng k so vi n trong cc nc khng theo chnh sch lm pht mc tiu sau nm 1999. Chng ta c th a ra hai pht biu t nhng s so snh ny. Th nht, i vi cc nc ang pht trin khng theo chnh sch lm pht mc tiu, s lan truyn khng c my ngha trc 1999, v tr nn c c ngha thc s sau nm 1999. Th hai, bng cch so snh cc nc theo chnh sch lm pht mc tiu sau khi thng qua chnh sch lm pht mc tiu vi cc nc khng theo chnh sch ny sau nm 1999, nh hng ca s lan truyn ny tc ng ln hai nhm nc ny kh

Lp TCDN Ngy 1 Cao hc K20

15

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

gn nhau. Bng chng ny cho thy, cc quc gia pht trin c hiu ng lan truyn t gi cao, d hn trong vic chp nhn lm pht mc tiu t c s tin cy so vi cc nc c hiu ng lan truyn thp. 3.3 Phn tch phng sai Ngay c khi phn ng y cho thng tin v ln ca hiu ng truyn dn t gi ln gi ni a, h khng c ch ra tm quan trng ca cc c sc t gi trong vic gii thch nhng bin ng ca gi ni a.. Hnh 4: S phn ng ca gi nhng nc khng c chnh sch lm pht mc tiu i vi bin ng t gi (VAR 7 bin)
nh hng ca IMP lm pht trc 1999 nh hng ca IMP lm pht sau 1999 Chnh lch

nh hng ca PPI lm pht trc 1999

nh hng ca PPI lm pht sau 1999

Chnh lch

nh hng ca CPI lm pht trc 1999

nh hng ca CPI lm pht sau 1999

Chnh lch

Lp TCDN Ngy 1 Cao hc K20

16

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

Ghi ch: C

c nt lin th hin s phn ng y n c sc t gi. Cc nt t th hin 5 di

sai s tiu chun ng tin cy xung quanh s c lng. Cc sai s ny c a ra bi Monte Carlo vi 500 s lp li..

nh gi tm quan trng ca cc c sc t gi i vi nhng bin ng ca gi ni a, chng ta thc hin phn tch phng sai cho ch s gi ni a. Chng ta bt u bng cch kim tra tm quan trng ca c sc t gi tc ng ti gi tiu dng bng cch s dng VAR 5 bin (Bng 2). Bng 2 ch ra rng nhng c sc t gi quan trng hn gii thch bin ng ca ch s tiu dng CPI i vi nhng quc gia mi ni c lm pht mc tiu. Kt qu trong Bng 2 cng ch ra rng c sc t gi gp phn to ra bin ng gim gi tiu dng nhng quc gia c lm pht mc tiu sau khi chng p dng lm pht mc tiu, trong khi n li tng trong nhm quc gia khng c lm pht mc tiu sau nm 1999. Cc c sc t gi gii thch (sau 20 qu) 19,21% bin d bo gi tiu dng nhng nc theo ui lm pht mc tiu trc khi h p dng mc tiu lm pht. Phn trm gim xung 11,82% sau khi lm pht mc tiu c p dng. nhng nc khng theo ui lm pht mc tiu, nhng c sc t gi gii thch (sau 20 qu) 0,92% s bin ng gi tiu dng trc nm 1999, v phn trm ny l 3,72% sau nm 1999.

Lp TCDN Ngy 1 Cao hc K20

17

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

Hnh 5: Phn ng ca lm pht CPI ti c sc t gi: Lm pht mc tiu (ITers) i vi lm pht phi mc tiu (NITers) (VAR 5 bin)
C lam phat muc tiu sau IT Khng c lam phat muc tiu sau 1999 Khc bit

Ghi ch: Cc nt lin th hin s phn ng y n c sc t gi. Cc nt t th hin 5 di sai s tiu chun ng tin cy xung quanh s c lng. Cc sai s ny c a ra bi Monte Carlo vi 500 s lp li.

Bng 2: Phn trm ca lm pht CPI d on nh hng vo c sc t gi (VAR 5 bin)

ng ngang Cc nc theo ui lm pht mc tiu Sau IT 5.62 11.19 12.91 12.06 11.86 11.82 Cc nc khng theo ui lm pht mc tiu Trc 1999 Sau 1999 0.07 3.72 1.20 5.46 1.03 4.25 0.86 3.76 0.81 3.61 0.78 3.61

Trc IT 1 9.05 2 14.69 4 22.58 8 20.19 12 19.28 20 19.21 Ghi Ch: IT biu th l lm pht mc tiu

Bng 3 hin th s nh hng ca c sc t gi trong vic gii thch s bin ng ca c 3 ch s gi s dng VAR 7 bin. Kt qu trong Bng 3 th hin rng c sc t gi quan trng hn gii thch s bin ng ca c 3 ch s gi trong nhng quc gia c theo ui lm pht mc tiu, trong khi s nh hng ca c sc t gi ti bin ng ca cc ch s gi nhng nc khng theo ui lm pht mc tiu th khng ng k. T l sai s d bo ca gi v cc c sc t gi gim trong nhng nc c mc tiu sau khi h p dng mc tiu lm pht, trong khi n tng nh trong nhng nc khng c mc tiu sau nm 1999. Trong nhng nc theo ui lm pht mc tiu trc khi h p dng mc tiu, c sc t gi gii thch (sau 20 qu) 43,47%, 43,7% v 19,76% s bin ng ca gi nhp khu, gi nh sn xut v tng ng vi gi tiu dng. Sau vic p dng mc tiu lm pht, cc t l ny gim xung tng ng 12,54%; 23,30% v 13,89%. Trong nhng nc khng
Lp TCDN Ngy 1 Cao hc K20 GVHD: TS. Nguyn Khc Quc Bo

18

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

theo ui lm pht mc tiu trc nm 1999, cc c sc t gi gii thch (sau 20 qu) 0,31%, 0,35% v 1,32% s bin ng gi nhp khu, gi ca nh sn xut v gi tiu dng tng ng. Sau nm 1999, s nh hng ny l 5,31%, 3,56% v 1,73%. Hnh 6: nh hng ca gi ti c sc t gi: Lm pht mc tiu (ITers) vi lm pht phi mc tiu (NITers) (VAR 7 bin)
Bin ng IMP lm pht trong ITers sau IT Bin ng IMP lm pht trong ITers sau 1999 Chnh lch

Bin ng PPI lm pht trong ITers sau IT

Bin ng PPI lm pht trong ITers sau 1999

Chnh lch

Bin ng CPI lm pht trong ITers sau IT

Bin ng CPI lm pht trong ITers sau 1999

Chnh lch

Ghi Ch:Nt lin th hin phn ng y n c sc t gi. Cc nt t th hin 5 di sai s tiu chun ng tin cy xung quanh s c lng. Cc sai s ny c a ra bi Monte Carlo vi 500 s lp li.

Ni tm li, phn tch phng sai ch ra rng c sc t gi gii thch mt phn quan trng ca s bin ng gi c trong cc nc mi ni c theo ui chnh sch

Lp TCDN Ngy 1 Cao hc K20

19

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

lm pht mc tiu, trong khi s nh hng ca cc c c t gi n s bin ng gi nhng nc khng theo lm pht mc tiu khng ng k. Bng 3: Phn trm ca bin ng gi d on nh hng ti c sc t gi trong cc nc lm pht mc tiu (VAR 7 bin)
ng ngang 1 2 4 8 12 20 1 2 4 8 12 20 1 2 4 8 12 20 C lm pht mc tiu Trc IT Sau IT Gi nhp khu 52.09 11.38 53.25 12.24 50.83 11.51 45.30 11.43 43.60 12.20 43.47 12.54 Gi sn xut 52.09 22.59 60.34 28.02 56.44 25.27 47.48 23.68 44.60 23.33 43.70 23.30 Gi tiu dng 8.80 6.31 15.38 12.48 22.95 14.21 20.70 13.69 19.83 13.74 19.76 12.89 Khng c lm pht mc tiu Trc 1999 Sau 1999 Gi nhp khu 0.00 7.11 0.00 5.17 0.05 5.62 0.28 5.68 0.31 5.46 0.31 5.31 Gi sn xut 0.03 1.05 0.06 2.14 0.09 2.84 0.32 3.66 0.34 3.65 0.35 3.56 Gi tiu dng 0.28 0.05 1.87 1.63 1.66 1.32 1.46 1.73 1.38 1.59 1.32 1.73

Phn tch phng sai cng ch ra rng s nh hng ca c sc t gi n s bin ng gi trong nhng nc c theo ui lm pht mc tiu gim sau khi h p dng lm pht mc tiu. V vy phn tch phng sai cng c thm hiu ng lan truyn t gi cc nc theo ui lm pht mc tiu gim sau khi p dng lm pht mc tiu.

Lp TCDN Ngy 1 Cao hc K20

20

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

4. Kt lun Trong bi vit ny, chng ta xem xt trn thc nghim tc ng ca vic thc thi chin lc lm pht mc tiu i vi hiu ng truyn dn ca t gi hi oi ln gi c cc quc gia mi ni. tin hnh nghin cu thc nghim ny, chng ta s dng cng c VAR vi d liu ca hai mi by quc gia mi ni (Mi lm quc gia c lm pht mc tiu v mi hai quc gia c lm pht phi mc tiu). Chng ta thc hin cch tip cn trc sau bng vic so snh hm phn ng y trong cc t hp quc gia khc nhau, ph thuc vo vic thc hin lm pht mc tiu. Vic thc hin lm pht mc tiu lm thay i cc quyt nh nh gi trn cc quc gia mi ni bng cch m ph hp vi quan im tn nhim. Vic thc hin lm pht mc tiu gip lm gim hiu ng truyn dn i ba ch s gi m chng ta xem xt (gi nhp khu, gi sn xut v gi tiu dng) trn cc quc gia c lm pht mc tiu t mt mc cao hn ln mt mc mi m vn khc khng mt cch c ngha. i vi cc quc gia phi lm pht mc tiu c hiu ng truyn dn t gi trn c ba ch s gi c th gn bng 0 v c ngha trc nm 1999, trong khi sau nm 1999 hiu ng t gi trn ba loi gi c th khc khng c ngha. Bng vic so snh cc quc gia c lm pht mc tiu vi cc quc gia phi lm pht mc tiu sau nm 1999, bng chng ca chng ta ch ra rng hiu ng truyn dn t gi n gi c cc quc gia lm pht mc tiu sau khi p dng mc tiu lm pht th gn vi cc quc gia khng theo lm pht mc tiu sau nm 1999. Phn tch phng sai m t nhng kt qu ny. Phn tch phng sai ch ra rng nh hng ca c sc t gi i vi bin ng gi c cc quc gia lm pht mc tiu l quan trng, trong khi nh hng ca c sc t gi i vi bin ng gi c cc quc gia lm pht phi mc tiu l khng ng k. Phn tch phng sai cng cho thy l nh hng ca c sc t gi i vi bin ng gi c cc quc gia lm pht mc tiu suy gim sau khi thc hin lm pht mc tiu. Cui cng, chng ta c bng chng kin ngh rng cc quc gia tri qua hiu ng truyn dn t gi cao c thin hng thc hin lm pht mc tiu t c s tn nhim hn so vi cc quc gia c hiu ng truyn dn thp.

Lp TCDN Ngy 1 Cao hc K20

21

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

TI LIU THAM KHO

Arelano, J. and O. Bover (1995). Another look at the instrumental variable estimation of error-components model Journal of Econometrics 68, pp.29-51. Ball, L. and N. Sheridan (2003). Does inflation targeting matter?In B.S. Bernanke and M. Woodford, Editors, The Inflation-Targeting Debate, Uni-versity of Chicago Press (2005). Bernanke, B. and F. Mishkin (1997). Inflation targeting: a new framework of monetary policy ? Journal of Economic Perspectives 11, pp.97-116. Mishkin, F. and K. Schmidt-Hebbel (2007). Does inflation targeting make a difference ? NBER Working Paper 12876, National Bureau of Economic Research. Burstein, A., M. Eichenbaum and S. Rebelo (2002). Why Are Rates of Inflation So Low After Large Devaluations? NBER Working Paper 8748, National Bureau of Economic Research. (2005).Large Devaluation and the Real Exchange RateJournal of Political Economy 113, pp.742-784. Choudrhi, E.U. and D.S. Hakura (2006). Exchange Rate Pass-Through to Domestic Prices: Does inflationary Environment matter ?Journal of In-ternational Money and Finance 25, pp.614-639. Faruqee, H. (2006).Exchange Rate Pass-Through in the Euro area IMF Sta Papers 53(1), pp.63-88. Gagnon, J.E. and J. Ihrig (2004). Monetary Policy and Exchange Rate Passthrough International Finance Discussion Papers n#704, Board of Governors of Federal Reserve System. Goncalves, C. E. S. and J. M. Salles (2008). Inflation targeting in emerging economies: What do the data say ? Journal of Development Economics 85, pp.312-318. Hahn, E. (2003). Pass-Through of External Shocks to Euro Area Inflation European Central Bank Working Paper, n#243. Ito, T. and K. Sato (2007). Exchange Rate Pass-Through and Domestic Inflation: A comparison between East Asia and Latin American Countries Research institute of
Lp TCDN Ngy 1 Cao hc K20 GVHD: TS. Nguyn Khc Quc Bo

22

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

Economy, Trade and Industry, RIETI Discussion Papers n#07040. (2008). Exchange Rate Changes and Inflation in Post-Crisis Asian Economics: VAR Analysis of Exchange Rate Pass-ThroughJournal of Money, Banking and Credit 40 (7), pp. 1407-1438 Love, I. (2001). Estimating Panel-Data Autoregressions, Package of Programs for Stata. Columbia University, Mimeo. Love, I. and L. Zicchino (2006). Financial development and dynamic in-vestment behavior: Evidence from a panel VAR Quarterly Review of Economics and Finance 46, pp.190-210. Maddala, G.S. and , S Wu (1999).A Comparative Study of Unit Root Tests With Panel Data and A New Simple Test Oxford Bulletin of Economics and Statistics 61, pp. 631-652. McCarthy, J., (2000). Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized EconomiesFederal Reserve Bank of New York Star Reports n#111. Svensson, L.E. (1997). Inflation forecast targeting: implementing and mon-itoring inflation targetsEuropean Economic Review 41, pp.111-146. Taylor, J. (2000). Low Inflation, Pass-Through, and the Pricing Power of Firms European Economic Review 44, pp.1389-1408.

Lp TCDN Ngy 1 Cao hc K20

23

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

PH LC
Nhng quc gia in hinh ly mu s dung: Nhng nc mi ni ap dung chinh sach lam phat muc tiu va thi im ap dung: Brazil (1999: Q2), Chile (1991: Q1), Colombia (1999: Q4), Cng ha Sc (1997: Q4), Hungary (2001: Q2, Indonesia (2005: Q3), Israel (1991: Qu 4) Mexico (1998: Q4), Peru (1999: Q3), Philippines (1999: Q3), Ba Lan (1998: Q3), Nam Phi (2001: Q1), Hn Quc (1997: Q4), Thi Lan (2000: Q2), Th Nh K (2006: Q1). Nhng nc mi ni khng ap dung chinh sach lam phap muc tiu: Argentina, Bulgaria, Trung Quc, Estonia, n , Latvia, Lithuania, Malaysia, Singapore, i Loan, Uruguay, Venezuela. Nhng ngun d liu: Gia du th gii: Chi s gia du c tinh trn dollar cua My la trung binh cua 3 chi s gia giao ngay tai Texas, du brent tai Vng Quc Anh, va Dubai. Gia du th gii c iu chinh theo mua thng qua phng phap iu tra dn s X12. Ngun d liu ly t IMF, T chc Thng k Tai chinh Quc T (vit tt la IFS) S thiu hut cua san lng: c tao ra bng vic ap dung chc nng loc cua Hodrick-Prescott (HP) loai bo khuynh hng iu chinh manh cua GDP thc theo thi ky. Nu day GDP gc khng c iu chinh, thi cac day nay c iu chinh bng vic s dung phng phap iu tra dn s X12 theo tng thi ky. D liu hang quy c thu thp bng vic s dung Day D Liu. Nhng ngun d liu nay tuy thuc mi quc gia nh sau: Argentina: ch s khi lng GDP (2000 = 100), T chuc Thng K Ti chnh quc t cua IMF Thng k (IFS) Brazil: ch s khi lng GDP (1995 = 100) (iu chnh theo ma), Instituto Brasileiro de Geografia e Estatistica. (IBGE) (Brazil). Bulgaria: ch s khi lng GDP, IFS. Chile: GDP theo gia nm 2003 (iu chnh theo ma) Banco Central de Chile Trung Quc: GDP theo gi hin hnh (t IFS) chia cho ch s gi tiu dng.
Lp TCDN Ngy 1 Cao hc K20 GVHD: TS. Nguyn Khc Quc Bo

24

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

Colombia: GDP theo gia nm 2000 (iu chnh theo ma), Cuc Thng K Hnh chnh Quc gia (Colombia). Cng ha Sc: GDP theo gia nm 2000, (iu chnh theo ma), T chc Kinh t Hp tc v Pht trin (OECD). E-xt-ni-a: GDP theo gia nm 2000, Cuc Thng k (Estonia). Hungary: ch s khi lng GDP (2000 = 100) (iu chnh theo ma), OECD. n : ch s khi lng GDP (2005 = 100) (iu chnh theo ma), OECD. In--n-xi-a GDP theo gia nm 2000 (iu chnh theo ma), OECD. Israel: GDP theo gi nm 2005 (iu chnh hng lot), Cc Thng k Trung ng (Israel). Latvia: GDP theo gia nm 2000, Cc Thng k Trung ng Latvia (Latvia). Lithuania: GDP theo gia nm 2000 (iu chnh theo ma), Cuc Thng k Lithuania (Lithuania). Malaysia: ch s khi lng GDP (2000 = 100), IFS. Mexico: ch s khi lng GDP (2000 = 100), IFS. Peru: ch s khi lng GDP (2000 = 100), IFS. Vit Nam: GDP theo gia nm 1885 (iu chnh theo ma), Ban iu phi thng k quc gia (NSCB) (Vit Nam). Ba Lan: GDP theo gia nm 2000 (iu chnh theo ma), OECD Singapore: ch s khi lng GDP (2000 = 100), IFS. Nam Phi: GDP theo gia nm 2000, (iu chnh theo ma), IFS. Hn Quc: GDP theo gia nm 2000 (iu chnh theo ma), OECD, (hng qu Ti khon Quc gia). i Loan: GDP theo gia nm 2001,Tng cc Ngn sch, K ton v Thng k (DGBAS). Thi Lan: GDP theo gia nm 1988 (iu chnh theo ma), Vn phng Quc Ban Pht trin Kinh t v X hi (Thi Lan). Th Nh K: GDP theo gia nm 1995, Eurostat. Uruguay: ch s khi lng GDP (2005 = 100) (iu chnh theo ma), Banco Central de Uruguay (Uruguay).

Lp TCDN Ngy 1 Cao hc K20

25

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

Venezuela: GDP theo gia nm 1997 (iu chnh theo ma), Banco Central de Venezuela (Venezuela). Cung tin: D liu c thu thp bng vic s dung Day D Liu. mt vai quc gia, tin c s c s dung. Nhng nhng quc gia khac, Cung tin M1 c s dung. Nu nhng day s gc khng c iu chinh, thi cac day nay c iu chinh theo thi ky bng vic s dung phng phap iu tra dn s X-12. Nhng ngun d liu nay tuy thuc mi quc gia nh sau: Argentina: Tin c s, IFS. Brazil: Tin c s, (iu chnh theo ma), IFS.Bulgaria: Cung tin M1(Khao sat ngn hang), IFS. Chile: Cung tin M1, IFS. Trung Quc: Cung tin, Ngn hng Nhn dn Trung Quc. Colombia: Cung tin M1(Khao sat ngn hang), IFS. Cng ha Sc: Cung tin M1(Khao sat ngn hang), IFS. E-xt-ni-a: Cung tin M1(Kho st ngn hng), (iu chnh theo ma), IFS. Hungary: tin c s, IFS. n : Cung tin M1(Khao sat ngn hang), IFS. In--n-xi-a Cung tin M1(Khao sat ngn hang) (iu chnh theo ma), IFS. Israel: Cung tin M1(iu chnh theo ma), IFS. Latvia: Cung tin M1(Khao sat ngn hang) (iu chnh theo ma), IFS. Lithuania: Cung tin M1(Khao sat ngn hang) (iu chnh theo ma), IFS. Malaysia: Cung tin M1, (iu chnh theo ma), IFS. Mexico: Cung tin M1(Khao sat ngn hang) (iu chnh theo ma), IFS. Peru: Cung tin, IFS. Vit Nam: Cung tin M1(Khao sat ngn hang) (iu chnh theo ma), IFS. Ba Lan: Cung tin M1, IMF, T chc Thng k ti chnh quc t (IFS). Romania: Cung tin M1(Khao sat ngn hang) (iu chnh theo ma), IFS. Singapore: Cung tin M1(Khao sat ngn hang) (iu chnh theo ma), IFS. Nam Phi: tin M1, IFS. Hn Quc: Cung tin M1(iu chnh theo ma), IFS. i Loan: tin cung ng, Ngn hng Trung ng Trung Quc.

Lp TCDN Ngy 1 Cao hc K20

26

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

Thi Lan: Cung tin M1(Khao sat ngn hang), IFS. Th Nh K: Cung tin M1(Khao sat ngn hang) (iu chnh theo ma), IFS. Uruguay: Cung tin M1(Khao sat ngn hang) (iu chnh theo ma), IFS. Venezuela: Cung tin M1(Khao sat ngn hang) (iu chnh theo ma), IFS. Hungary: Tin t c s, IFS. n : Cung tin M1 (kho st ngn hng), IFS. Indonesia: Cung tin M1 (kho st ngn hng) (c iu chnh theo ma), IFS. Israel: Cung tin M1 (c iu chnh theo ma), IFS. Latvia: Cung tin M1 (kho st ngn hng) (c iu chnh theo ma), IFS. Lithuania: Cung tin M1 (kho st ngn hng) (c iu chnh theo ma), IFS. Malaysia: Cung tin M1, (c iu chnh theo ma), IFS. Mexico: Cung tin M1 (kho st ngn hng) (c iu chnh theo ma), IFS. Peru: Cung tin, IFS. Philippines: Cung tin M1 (kho st ngn hng) (c iu chnh theo ma), IFS. Ba Lan: Cung tin M1, IMF, T chc Thng k ti chnh quc t (IFS). Romania: Cung tin M1 (kho st ngn hng) (c iu chnh theo ma), IFS. Singapore: Cung tin M1 (kho st ngn hng) (c iu chnh theo ma), IFS. Nam Phi: Cung tin M1, IFS. Hn Quc: Cung tin M1 (c iu chnh theo ma), IFS. i Loan: Cung tin, Ngn hng Trung ng Trung Quc. Thi Lan: Cung tin M1 (kho st ngn hng), IFS. Th Nh K: Cung tin M1 (kho st ngn hng) (c iu chnh theo ma), IFS Uruguay: Cung tin M1 (kho st ngn hng) (c iu chnh theo ma), IFS. Venezuela: Cung tin M1 (kho st ngn hng) (c iu chnh theo ma), IFS. Ty gia hi oai: D liu c thu thp bng cch s dng Datastream. T gi hi oi danh ngha song phng bng la M c s dng. i vi tt c cc nc, ngoi tr i Loan, d liu c ly t IFS ca IMF. i vi i Loan d liu c ly t IFO World Economic Survey (WES). Chi s gia tiu dung: D liu c thu thp bng cch s dng Datastream. i vi tt c cc nc, ngoi tr Trung Quc, ch s gi tiu dng (2000 = 100) c ly t IMF, Thng k ti chnh quc t (IFS). i vi Trung Quc, CPI hng thng

Lp TCDN Ngy 1 Cao hc K20

27

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

ly t EOCD c s dng xy dng CPI hng qu. Tt c cc chui d liu c iu chnh theo ma bng cch s dng phng php Census X-12. Chi s gia nhp khu: D liu c thu thp bng cch s dng datastream. Ch s gi nhp khu c th hin bng ng ni t. Tt c cc chui d liu c iu chnh theo ma bng phng php Cenus X-12. Ngun d liu ph thuc vo cc nc theo sau: Argentina: Ch s gi nhp khu l gi tr n v nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi. Brazil: Ch s gi nhp khu l gi tr n v nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi. Bulgaria: Chui d liu hng qu ca ch s gi nhp khu c xy dng bng cch chia tng gi tr nhp khu cho tng khi lng nhp khu (gi nm 1995). Gi tr nhp khu v khi lng nhp khu c ly t Vin Thng k quc gia (Bulgaria) v Eurostat, tng ng. Chile: Ch s gi nhp khu (2003 = 100), Banco Central de Chile (Chile). Colombia: Ch s gi nhp khu l gi tr n v nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi. Cng ha Sc: Ch s gi nhp khu (2005 = 100), Vn phng thng k Sc. Estonia: Chui d liu hng qu ca ch s gi nhp khu c xy dng bng cch chia tng gi tr nhp khu cho tng khi lng nhp khu (gi nm 2000). D liu c ly t Cc thng k Estonia. Hungary: Ch s gi nhp khu l gi tr n v nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi. n : Chui d liu hng qu ca ch s gi nhp khu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 1990). D liu c ly t OECD. Indonesia: Chui d liu hng qu ca ch s gi nhp khu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 2000). D liu c ly t EOCD. Israel: Ch s gi nhp khu l gi tr n v nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi.

Lp TCDN Ngy 1 Cao hc K20

28

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

Latvia: Ch s gi nhp khu l gi tr n v nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi. Lithuania: Chui d liu hng qu ca ch s gi nhp khu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 2000). D liu c ly t Cc thng k Lithuania. Malaysia: Chui d liu hng qu ca ch s gi nhp khu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 2000). D liu c ly t Cc Thng k Malaysia. Mexico: Ch s gi nhp khu hng qu c xy dng bng ch s gi nhp khu hng thng (1980 = 100) ly t Banco de Mexico (Mexico). Peru: Ch s gi nhp khu hng qu c xy dng bng trung bnh ca ch s gi nhp khu hng thng (1994 = 100) ly t Banco Central Reserva (Peru). Philippines: Ch s gi nhp khu l gi tr n v nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi. Ba Lan: Ch s gi nhp khu l gi tr n v nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi. Singapore: Ch s gi nhp khu l gi tr n v nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi. Nam Phi: Ch s gi nhp khu l ch s gi nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi. Hn Quc: Ch s gi nhp khu l gi tr n v nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi. i Loan: Ch s gi nhp khu hng qu c xy dng bng bng trung bnh ca ch s gi nhp khu hng thng (2001 = 100) ly t Tng cc Ngn sch, K ton v Thng k (DGBAS). Thi Lan: Ch s gi nhp khu l gi tr n v nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi. Th Nh K: Ch s gi nhp khu l gi tr n v nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi. Venezuela: Ch s gi nhp khu l gi tr n v nhp khu bng la M (2000 = 100) ly t IFS nhn vi t gi.

Lp TCDN Ngy 1 Cao hc K20

29

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

Ch s gi sn xut: D liu c thu thp bng cch s dng Datastream. i vi tt c cc nc, ngoi tr i Loan v Th Nh K, ch s gi sn xut c ly t IFS. i vi i Loan, ch s gi sn xut hng qu l trung bnh hng thng ca ch s gi sn lng (2006 = 100) ly t Tng cc Ngn sch , K ton v Thng k ca oi loan. i vi Th Nh K, d liu qu c ly t Vin Thng k quc gia ca Th Nh K.

+ Khe hng sn lng l g? Chenh lech san luong thuc te va san luong tiem nang Khe hong san luong cang lon thi hieu ung truyen dan ty gia tang hay giam?neu chenh lech cang lon c ngha l tng trng qu nng s dn n lm pht cng cao + Sau khi thc hin lam pht mc tiu th s thay i ca t gi lm ch s CPI thay i t hn so vi trc khi thc hin lm pht mc tiu + Cac cong ty ban le nhap khau hang hoa hoac cac nha san xuat chi chuyen 1 phan nho cua su bien dong ty gia vao trong gia ban? Do nhieu nguyen nhan anh huong den gia san xuat ko chi do ty gia Do nguyen tac ke toan chenh lech ty gia ko dua vao gia ban Gia ban con phu thuoc vao do co gian cua cau + tac dong truyen dan o cac nuoc co lam phat muc tieu thap hon o cac nuoc ko co lam phat muc tieu + Cu soc gia dau khi vao Viet Nam da giam di rat nhieu co the do chinh phu da kiem soat + Gia dau ko co tac dong truc tiep den CPI (do ty trong cua gia dau trong ro tien te thap), nhung co tac dong gian tiep + Muc do truyen dan cua ty gia len CPI cao hay thap la tot?Muc do truyen dan ty gia thap la tot (ly do) nhung ko han la tot + Nhung bat loi cua on dinh ty gia khi tu do hoa tai chinh la ko phat trien duoc cac san pham phai sinh, tam ly y lai ko han che rui ro ty gia + i vi nhng nuoc co chinh sach on dinh ty gia co nen thuc hien lam phat muc tiey hay ko? Vi dua vao ty gia linh hoat thi chpu moi co the thuc hien lam phat phuc tieu, khi co nhung bien dong vy mo thi NHTW co the dieu chinh ty gia de

Lp TCDN Ngy 1 Cao hc K20

30

GVHD: TS. Nguyn Khc Quc Bo

Lm pht mc tiu Hiu ng truyn dn t gi hi oi Nn kinh t mi ni

thuc hien lam phat muc tieu do. Neu da lua chon lam phat muc tieu thi NHTW phai doc lap -> ko phai doi NHTW doc lap moi thuc hien lam phat muc tieu -> muc lam phat cua VN hang nam dua ra ko phai la lam phat muc tieu vi VN muc dich hien nay la tang truong va on dinh gia ca (neu nhu chi theo duoi lam phat ko moi la lam phat muc tieu) -> tai sao My ko su dung lam phat muc tieu neu nhu cho muc tieu lam phat la tot + Neo danh nghia cua lam phat: ghm lai ky vong cua DN, nguoi dan trong tuong lai de ko du bao qua cao ve muc lam phat, day la muc ky vong duoc dat ra de tao niem tin cho dan chung, co nhiu hinh thuc khac nhau:neo ve mat so luog hoac neo ve mat gia ca

Tac dong cua chinh sach lam phat muc tieu, co su khac biet trong su truyen dan cua ty gia hay ko doi voi cac nuoc thuc hien chinh sach nay Co cac yeu to lam anh huong den muc do truyen dan ngoai chinh sach muc tieu lam phat do la chi phi thuc don Phuong phap:giai thich cac bien, du lieu lay tu dau

Lp TCDN Ngy 1 Cao hc K20

31

GVHD: TS. Nguyn Khc Quc Bo