Chnh lch t gi hi oi thc a phng v t gi thc a phng cn bng ca Vit Nam

TS. H Th Thiu Dao v ThS. Phm Th Bnh Minh1 1. t vn T gi thc cn bng (EREER) l mt trong nhng bin s kinh t v m quan trng trong nn kinh t m v n c inh nghia l thc o dn n s t c ng thi ca cn bng bn trong v bn ngoi. IMF khuyn co cc nn kinh t nn gi cho t gi hi oi thc a phng thc t (REER) gn vi t gi thc cn bng (EREER) t c cn bng i ni v i ngoi ca nn kinh t. T gi hi oi thc b nh gi cao hay thp u khng tt cho cn bng chung ca nn kinh t. T gi hi oi thc b nh gi cao s gim sc cnh tranh ca hng ni a v gim v th i ngoi (v d lm cn cn thng mi mt cn i). Ngc li, t gi hi oi thc b nh gi thp s gy ra lm pht v tng gi hng nhp khu s lm tng ch s gi tiu dng. nh gi mc chnh lch ca t gi hi oi thc so vi cn bng phi thc hin cc bc: (i) tnh t gi hi oi thc a phng; (ii) c lng phng trnh cn bng di hn ca t gi hi oi thc a phng; (iii) tnh ton t gi hi oi thc a phng cn bng; (iv) xc nh chnh lch t gi hi oi thc a phng cn bng v t gi hi oi thc. Nghin cu ny cng thc hin cc bc trn nhm: (i) xc nh cc nhn t tc ng n t gi thc a phng ca Vit Nam trong ngn v di hn; (ii) xem xt din bin ca t gi thc a phng cn bng trong di hn; v (iii) xc nh chnh lch ca t gi hi oi thc a phng so vi mc cn bng di hn. 2. C s l thuyt
1

Trng i hc Ngn hng TP.HCM

2.1 Cc bin s kinh t v m tc ng n t gi thc T gi hi oi thc a phng chu tc ng bi cc bin s kinh t v m c bn i din cho chnh sch ti kho, chnh sch tin t, chnh sch ngoi thng v bao gm cc bin: (1) m nn kinh t (OPEN) (+/-) m nn kinh t c s dng lm bin i din cho chnh sch ngoi thng, c tnh bng t l tng kim ngch xut nhp khu so vi GDP. Chnh sch ngoi thng cng theo hng t do ha, th m ca nn kinh t cng ln. Edwards (1994) v Elbadawi (1994) ch ra rng khi ngoi thng c t do ha, tiu dng hng nhp khu s tr nn r hn trong tng lai, lm ngi tiu dng trong nc c xu hng thay th hng phi ngoi thng (non-tradables) sang hng ngoi thng (tradables), theo , lm cn cn thng mi xu i. Kt qu l t do ha ngoi thng tng s lm tng t gi thc (trong bi vit ny, t gi hi oi c yt theo gi ca mt n v ngoi t c quy i thnh ni t). Tuy nhin, mt s nh nghin cu li cho rng m nn kinh t tng s dn n gim t gi thc. Connolly v Devereux (1995) l gii trong trng hp m nn kinh t tng do gim thu xut khu th REER s gim. Fernandez (2006) v Miyajima (2007) cng cho rng trong trng hp m nn kinh t tng ln c gii thch bi tng trng kinh t (economic growth) do tng hot ng ngoi thng v t ph thuc vo c ch bo h cng nh ti khon i ngoi b mo m, th t gi thc s gim. Nh vy, tc ng ca m nn kinh t n t gi thc c th l cng chiu hoc tri chiu. (2) iu kin thng mi (terms of trade- TOT) (+/-) iu kin thng mi ca mt nc c nh ngha l t s ca ch s gi xut khu so vi ch s gi nhp khu. Bin s ny c dng i din cho tc ng ca mi trng kinh t quc t n hot ng ngoi thng ca mt quc gia. Theo Edwards (1988), Edwards v Wijnbergen (1987), tc ng ca TOT n

REER ph thuc vo tc ng ca hiu ng thay th (substitution effect) v hiu ng thu nhp (income effect). Hiu ng thu nhp: khi thu nhp tng, TOT tng lm tng cu i vi hng ha. V gi hng ngoi thng chu tc ng bi gi th gii, gi hng phi ngoi thng s tng ln tng ng theo mc tng ca thu nhp. Nh , cn cn thng mi ci thin, REER gim. Hiu ng thay th: TOT tng lm gim xut khu do hng xut khu trong nc tr nn t hn. Sn xut trong nc s chuyn sang hng phi ngoi thng, lm gi cc mt hng ny gim xung tng ng. Cn cn thng mi theo xu i, REER tng. Nh vy, ty thuc vo ln tc ng ca hiu ng thu nhp v hiu ng thay th m t gi thc s gim (tc ng ca hiu ng thu nhp ln hn tc ng ca hiu ng thay th) hay tng (tc ng ca hiu ng thu nhp nh hn tc ng ca hiu ng thay th) khi TOT tng. (3) Chi tiu chnh ph (GOVEX) (+/-) Chi tiu chnh ph (GOVEX) c tnh bng t l tng chi tiu chnh ph so vi GDP, ch tiu ny i din cho chnh sch ti kha ca chnh ph. Mi quan h gia GOVEX v REER c Frenkel v Razin (1996) phn tch hon chnh. Theo , GOVEX tc ng n tiu dng t nhn v REER thng qua 2 hng: (i) Nu chi chnh ph bao gm phn ln l hng ha phi ngoi thng, GOVEX tng s lm tng p lc cu ni a, gia tng gi tng i ca hng ha phi ngoi thng dn n gim REER. Theo hng ny, tc ng ca GOVEX n tiu dng t nhn v REER ph thuc vo c im ca hm hu dng; (ii) Nu phn ln chi tiu chnh ph l hng ha ngoi thng, GOVEX tng s lm cn cn thng mi xu i, REER tng. V vy, kh d on hng tc ng ca GOVEX ln REER (Ting, 2009). (4) Chnh lch nng lc sn xut (PROD) (+) Hiu ng Balassa - Samuelson (Balassa, 1964; Samuelson, 1964) ch ra rng nng lc sn xut trong nc c tp trung vo khu vc sn xut hng ha ngoi

thng v khu vc sn xut hng ha phi ngoi thng. Nu nng lc sn xut khu vc sn xut hng ha ngoi thng tng nhanh hn (so vi cc nc i tc ngoi thng), REER s tng (Feyzioglu, 1997). Nghin cu ca Dibooglu v Kuntan (2001), Choudhi v Khan (2004) b sung cc bng chng thc nghim cho thy chnh lch nng lc sn xut l mt nhn t quan trng xc nh REER. Tuy nhin, cng c nhiu nghin cu kt lun khng tn ti mi quan h ny (chng hn Chinn v Johnston, 1999; Fitzgeral, 2003). S khc bit ny l do cch cc nh nghin cu o lng nng lc sn xut cc quc gia khc nhau (Lee v Tang, 2003). Thng thng, nng lc sn xut ca mt nn kinh t c tnh t nng lc sn xut ca mi khu vc trong nn kinh t hay t l GDP so vi tng lao ng ca mi khu vc. Tuy nhin, do cc loi s liu ny thng kh thu thp, Drine v Rault (2001), Goh v Kim (2006), Yang v cc tc gi (2007) s dng thu nhp bnh qun u ngi thay th. (5) Tn dng ni a (DC) (-) Tc ng ca chnh sch tin t n t gi thc c i din bng DC. DC tng khi ngn hng trung ng (NHTW) thc hin chnh sch tin t m rng, dn n cung tin trong nn kinh t tng, gy p lc ln gi trong nc (thng l cc mt hng phi ngoi thng), lm tng gi hng ha phi ngoi thng lm REER gim. Do vy, DC c k vng tc ng ngc chiu vi REER. (6) Ti sn c ngoi t rng (NFA) (-) Ti sn c ngoi t rng (NFA) bao gm gi tr tnh bng ng bn t ca (i) d tr quc t chnh thc rng (bn ti sn c bao gm vng, ngoi t, v th d tr quc gia ti IMF, SDRs); bn ti sn n bao gm cc khon n ngn hn ca cc NHTW nc ngoi (tin gi ca cc ngn hng nc ngoi, cc giao dch hon i, cc khon thu chi v mt s khon n nc ngoi trung v di hn, v d vic s dng tn dng IMF ca quc gia); (ii) cc ti sn c v ti sn n ngoi t khc ca NHTW m khng bao gm trong nh ngha v d tr chnh thc.

V nguyn tc, phn thay i trong ti sn c ngoi t rng d ly t cn i tin t hay ly t cc cu phn ca cn cn thanh ton u phi bng nhau. Do vy, trn cn i tin t NFA = M2 DC; trn cn cn thanh ton, CAB + KI + RES = 0; NFA = -RES1 nn NFA = CAB + KI. Tc ng ca ti sn c ngoi t rng ln REER c xem xt t hai gc . Theo quan im cn cn thanh ton, tnh trng thm ht hoc bin ng theo chiu hng gim ca cn cn vng lai cn phi c ti tr t cc nh u t nc ngoi. Trong trng hp chnh lch gia li sut trong nc v li sut trn th trng quc t l khng i, c ti tr, tc NFA gim, t gi phi tng lm gia tng li nhun, thu ht cc nh u t. V vy, s tng ln ca NFA thng tc ng lm gim REER v ngc li. 2.2 Cc m hnh nghin cu v t gi hi oi thc cn bng trn th gii Trong cc m hnh t gi thc cn bng, m hnh ca Edward (1988) c xem l m hnh in hnh c s dng rng ri c lng t gi thc cn bng ca cc nn kinh t ang pht trin. Theo m hnh ca Edward (1988), t gi thc cn bng c nh ngha l gi tng i ca hng ha ngoi thng v phi ngoi thng, c kh nng cng lc m bo cn bng bn trong v cn bng bn ngoi ca nn kinh t c s lu chuyn vn. Theo , trong di hn, Edward (1988) cho rng t gi thc cn bng chu nh hng ca cc bin s kinh t nn tng nh: iu kin thng mi (terms of trade - TOT), m ca nn kinh t (the openness of the economy - OPEN), chi tiu cng (public expenditure - GOVEX), pht trin cng ngh (technical progress - PROD) v lu chuyn vn (capital flows CAPINF). M hnh c dng nh sau: REER= f (TOT, OPEN, GOVEX, PROD, CAPINF) (*) Khi ng dng m hnh (*) vo c lng t gi hi oi thc cn bng ca mt nn kinh t ang pht trin, cc nh nghin cu thng s dng ng m hnh

gc vi 5 bin gii thch, chng hn nh Cottani (1990), Krumm (1993), Elbadawi (1994), Chinn (1998), Hinkle v Montiel (1999), Lin (2002), Goh v Kim (2006). Bn cnh , nhiu nh nghin cu m rng m hnh (*) theo hng thay th bin hoc a thm bin gii thch vo m hnh, in hnh l m hnh ca Elbadawi (1998) v Montiel (1999). Elbadawi (1998) thm cc nhn t quan trng trong cn cn vng lai v cn cn vn ca cc nc ang pht trin vo m hnh (*), bao gm: h tr pht trin chnh thc (ODA), d tr quc t (international reserve - RESV), u t nc ngoi rng (net foreign capital inflows - NKI), thu nhp nc ngoi rng (net foreign income - NFI). Trong khi , Montiel (1999) phn chia cc bin s nn tng c tc ng di hn n bin ng ca t gi hi oi thc thnh 4 nhm, bao gm: (i) chnh sch ti kha (c i din bi chi tiu chnh ph); (ii) chnh sch ngoi thng (c i din bi tr cp xut khu - export subsidies - EXSUB); (iii) nhn t cung ni a (domestic supply side factors) (c i din bi nng lc sn xut) v (iv) mi trng kinh t quc t (c i din bi iu kin thng mi hoc lu chuyn vn). Theo , ty thuc vo tnh hnh c th ca mi nn kinh t m bin i din ca mi nhm c th c la chn. Nh vy, m hnh m rng cho php thy c c th nhng nhn t nh hng n t gi hi oi thc cn bng ca mt nn kinh t ang pht trin (Noor v Mohammed, 2009). Cc nghin cu thc nghim trong nhng nm gn y v t gi hi oi thc cn bng ng dng kh nhiu quan im m rng m hnh gc ca Edwards (1988). Nghin cu ca Zulfiqar v Adil (2005) a thm bin u t thc (real investment - RIGDP), kiu hi (workers remittances - REMG) o lng t gi hi oi thc cn bng ca Pakistan. L do l v u t v kiu hi l mt trong nhng nguyn nhn quan trng dn n thm ht cn cn vng lai ca Pakistan. M hnh ca Plamen v Elena (2007) nghin cu cho trng hp Gana thay th bin chi tiu chnh ph bng cn cn ti kha (financial balance - FBY),

lu chuyn vn bng ti sn c ngoi t rng ca h thng ngn hng ngoi thng (net foreign assets of banking system - NFAB). Nghin cu t gi hi oi thc cn bng ca Trung Quc (Ting, 2009), cng a bin s cung tin rng (M2) vo m hnh i din cho chnh sch tin t v loi b bin lu chuyn vn. M hnh t gi hi oi thc cn bng ca Jamaica (James, 2010) thm bin chnh lch li sut thc i din cho tc ng ca thuyt ngang gi li sut (IRD), v n chnh ph (NGD) i din cho phn b ri ro pht sinh khi iu chnh trng thi ngoi hi. T cho thy, t gi thc cn bng c phn ln cc nh nghin cu tha nhn l c th gii thch bi cc bin s kinh t v m c bn. Tuy nhin, khng c mt m hnh chun cho tt c mi nn kinh t ang pht trin khi mun c lng t gi thc cn bng. Ty thuc vo tnh hnh c th ca mi nc m cc bin gii thch c th c thay th, c thm vo, b loi b t n mt m hnh ti u c th gii thch nhiu nht cho bin ng ca t gi thc. Cc m hnh nhm tc gi nghin cu c tm tt trong bng 1. Bng 1. M hnh t gi thc cn bng ca mt s nh nghin cu
Tc gi Edwards Elbadawi Montiel Zulfiqar v Adil Plamen v Elena Ting James Nm 1988 1998 1999 2005 2007 2009 2010 Nc p dng Cc nc ang pht trin Cc nc ang pht trin Cc nc ang pht trin Pakistan Gana Trung Quc Jamaica M hnh REER = (TOT, OPEN, GOVEX, PROD, CAPINF) REER = (TOT, OPEN, GOVEX, PROD, ODA, RESV, NKI, NFI) REER = (TOT, OPEN, GOVEX, PROD, EXSUB) REER = (TOT, OPEN, GOVEX, RIGDP, REMG, CAPINF, PROD) REER = (TOT, OPEN, FBY, NFY, PROD) REER = (TOT, OPEN, GOVEX, PROD, M2) REER = (TOT, NFA, PROD, NGD, IRD) Ngun: Tng hp ca nhm tc gi

3. Xy dng m hnh t gi hi oi thc a phng cn bng cho Vit Nam 3.1 M hnh cc nhn t tc ng n t gi hi oi thc a phng 3.1.1 Cc nhn t tc ng trong di hn Da vo m hnh ca Edwards (1988), Elbadawi (1998), Montiel (1999) v phn tch cc bin s kinh t nn tng ca Vit Nam, nhm tc gi xc nh m hnh cc nhn t tc ng n t gi thc a phng ca Vit Nam vi cc bin gii thch (bng 2) nh sau: LREERt=0+1LOPENt+2TOTt+3GOVEX+4PRODt+5LDCt+6NFAt+t (2) Ghi ch: L- logarithm t nhin ca cc bin Bng 2. M t bin gii thch s dng trong m hnh Bng 2. M t bin gii thch s dng trong m hnh
Cch tnh Bin s Ni dung ton/Ch s i din m nn kinh t iu kin TOT thng mi GOVEX Chi tiu chnh ph Nng lc sn xut Tn dng (Xut khu + Nhp khu) /GDP 2000(1)2010(4) Thi gian Tc ng k vng n REER Xut OPEN +/khu, nhp khu t GSO, GDP t Bloomberg Ch s gi xut khu/gi nhp khu Tng chi tiu chnh ph/GDP 2000-2010 +/UNCTAD Tng chi tiu 2000-2010 +/chnh ph t ADB Tnh ton ca + nhm tc gi t s liu IFS Tn dng ni Ngun s liu

PROD DC

GDP thc/dn s Tn dng ni

2000(1)2010(4) 2000(1)-

ni a Ti sn C NFA ngoi t rng

a/GDP Ti sn C ngoi t rng/GDP

2010(3) 2000(1)2010(3) -

a t IFS Ti sn C ngoi t rng t IFS

Ngun: Nhm tc gi Trong m hnh (2), bin ph thuc - t gi hi oi thc a phng hiu dng, c tnh theo phng php trung bnh hnh s hc 2 vi r tin t ca 17 quc gia v vng lnh th c tng t trng ngoi thng hai chiu chim n 85 90% tng kim ngch xut nhp khu hng nm ca Vit Nam. TOT, GOVEX, PROD l s liu nm. Ch s TOT ca cc nc so vi nm gc 2000 (2000 = 100), c Hi ngh Lin Hip Quc v Thng mi v Pht trin (UNCTAD - United Nation Conference on Trade and Development) cng b hng nm trn website. chuyn s liu nm sang s liu qu, nhm tc gi s dng k thut chuyn theo php ni suy tuyn tnh (linear interpolation) ca Eview. S liu chi tiu chnh ph c ly t ngun Ngn hng Pht trin Chu (ADB). so snh nng lc sn xut ca Vit Nam vi cc i tc ngoi thng, nghin cu tnh ton chnh lch nng lc sn xut. S liu v chnh lch nng lc sn xut c tnh ton theo cc bc. Bc th nht, tnh GDP thc = GDP danh ngha/ Ch s gim pht GDP. Bc th hai, tnh thu nhp bnh qun u ngi = GDP thc/dn s. Bc th ba, quy i thu nhp bnh qun u ngi ra USD bng cch chia cho t gi danh ngha trung bnh ca nm. Bc th t, tnh chnh lch nng lc sn xut bng cch ly thu nhp thc bnh qun u ngi chia cho trung bnh thu nhp bnh qun u ngi tnh theo nm ca 17 i tc ngoi thng. Sau khi loi b yu t ma v kim nh tnh dng ca cc chui d liu, vi c im ca cc chui thi gian s dng cho c lng l cc chui dng sai

phn bc 1, I(1), chng ti s dng phng php phn tch ng lin kt 2 bc ca Engle-Granger (1987) c lng tc ng di hn v ngn hn ca cc bin s kinh t v m n t gi thc a phng. Kt qu c lng cn bng di hn cui cng (sau khi loi b cc bin khng c ngha) c trnh by trong bng 3. Kim nh phn d t kt qu c lng cng cho thy phn d l chui dng I(0) mc ngha 1% (Tr thng k ADF = -4,7107, gi tr p = 0,0004, tr bc b = -3,5966). Nh vy, gia REER v OPEN, GOVEX, DC, NFA c tn ti mi quan h ng lin kt trong di hn. Ngoi ra, kt qu c lng hi quy m hnh di hn trong bng 3 cng vt qua cc kim nh chn on (diagnostic test) trn phn d, bao gm: kim nh phn phi chun, phng sai thay i, t tng quan v n nh. Bng 3. Kt qu c lng cn bng di hn
C LOPEN LGOVEX LDC LNFA H s c lng 6,154 0,293 0,929 -0,237 -0,107 Tr thng k t 15,386 4,900 3,577 -8,491 -3,863 Gi tr p 0,000 0,000 0,001 0,000 0,000

Ghi ch: Cc bin ny l chui d liu lun dng, phn phi lch phi, v vy, nhm tc gi gim bt lch bng cch ly logarit; R2=0,84; R2 hiu chnh=0,82; F-stat=50,32, Prob=0,0000, Mean Dependent var = 4,579, SD depedent var=0,0867, AIC =-3,682; SBC=-3,4772, DW=1,4311

Ngun: Nhm tc gi

Kt qu c lng trong bng 3 cho thy, GOVEX c tc ng mnh nht n REER, 1% tng ln ca GOVEX lm REER tng ln 0,92%. Tng t nh GOVEX, OPEN cng c tc ng cng chiu i vi REER, nhng mc nh hn, 1% tng ln ca OPEN lm REER tng ln 0,29%. Trong khi , DC v NFA c tc ng ngc chiu n REER, 1% tng ln ca DC v NFA lm REER gim tng ng l 0,23% v 0,1%.

Th nht, m nn kinh t ca Vit Nam ngy cng tng, nh im t c vo qu 2 nm 2008, t l ny ln n 250% nhng sau gim mnh v n nay khong 170%. m nn kinh t Vit Nam t c ch yu do tng trng kinh t mnh m ko theo s gia tng hot ng xut nhp khu. Tuy nhin, vic gia tng m nn kinh t khng phi do thay i chnh sch ngoi thng theo hng t do ha, gia tng tiu dng hng ngoi thng. Trong c cu nhp khu, vn ch yu l t liu sn xut (bng 4), do vy, t gi hi oi thc tng khi m nn kinh t ca Vit Nam tng. (Xem Hnh 1) Hnh 1. m nn kinh t giai on 2000 - 2010

Ngun: Tnh ton t s liu IFS v Bloomberg

Bng 4. T trng t liu sn xut v hng tiu dng trong tng gi tr nhp khu ca Vit Nam qua cc nm (n v tnh: %)
Nm 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 92,2 31,6 60,6 7,8 0,0 2,4 1,6 93,3 28,8 64,5 6,7 0,0 2,4 1,4 89,6 25,3 64,4 8,2 0,0 3,0 1,4 88,0 90,5 88,8 24,6 28,6 28,0 63,4 61,9 60,9 7,8 0,0 2,8 1,3 7,4 0,0 2,5 1,2 7,8 0,0 2,7 1,1 S b 2010 90,2 90,0 29,3 60,9 9,3 29,2 60,8 8,8 1,5

T liu sn xut 93,8 92,1 92,1 My mc, thit b, 30,6 30,5 29,8 dng c, ph tng Nguyn, nhin, vt 63,2 61,6 62,3 liu Hng tiu dng 6,2 7,9 7,9 Lng thc 0,0 0,0 Thc phm 1,9 3,0 2,5 Hng y t 2,2 2,0 1,8

Hng khc Vng phi tin t

2,1

3,0

3,6

3,8

2,9

3,7 2,2

3,7 4,2

3,7 2,1

4,0 3,4

0,5

1,2

Ngun: Tng cc Thng k Th hai, chi tiu chnh ph tng dn vi tc nhanh, chnh v vy, c tc ng rt ln n t gi hi oi thc. Tc ng ca GOVEX ln REER ph thuc vo t trng hng ngoi thng v hng phi ngoi thng trong c cu chi ca chnh ph. Chi ca ngn sch nh nc bao gm phn ln l hng ngoi thng, GOVEX tng, cn cn thng mi s xu i, REER tng (VND gim gi thc). Trong c cu chi tiu ca Vit Nam (bng 5), nhm tc gi khng th xc nh chi tiu ca chnh ph lch v pha hng ngoi thng hay hng phi ngoi thng. Tuy nhin, t mi quan h thun gia tng chi tiu chnh ph v tng t gi hi oi thc c th suy ra c cu chi tiu ca chnh ph lch v pha hng ngoi thng nn khng th phn tch thm. (Xem Hnh 2) Hnh 2. T l chi chnh ph so vi GDP

Ngun: IFS, Bloomberge v tnh ton ca nhm tc gi

Bng 5. C cu chi ca NSNN 2003 - 2010

Lnh vc Chi theo d ton Quc hi ( bao gm chi tr n gc) Chi u t pht trin Chi thng xuyn 2002 100, 0 36,5 63,0 2003 100, 0 32,9 52,8 2004 100, 0 30,9 50,4 2005 100, 0 30,1 50,4 2006 100, 0 28,7 52,5 2007 100, 0 27,4 53,8 2008 100, 0 26,4 55,7 2009 100, 0 34,1 2010*

100,0 25,9

Chi tr n, vin tr 0,0 Chi b sung qu d tr 0,4 ti chnh H tr ti chnh cho doanh nghip kinh doanh 0,0 xng du Chi tinh gin bin ch 0,0

14,0 0,1

16,0 0,0

15,4 0,0

15,6 0,0

15,2 0,1

12,9 0,0

12,1

13,7

0,2 0,0

2,6 0,1

4,1 0,0

3,1 0,0

3,5 0,1

4,9 0,0

*Nm 2010 tnh ton t c cu chi theo chc nng s liu quc t

Ngun: BTC (2010), Cng khai NSNN S liu trong nc v quc t Th ba, nhng nm qua, tc tng quy m tn dng tng i cao, c bit nm 2007 v 2009 tc tng cao gn gp i so vi nm lin k mt phn do th trng chng khon, th trng bt ng sn thng hoa nm 2007 v gi kch thch kinh t nm 2009 (bng 6). Ngoi ra, tc tng trng tn dng cn ng lo ch tc tng kh ln nhng tc tng trng kinh t cng ch xoay quanh 6% /nm. iu ny t ra vn v hiu qu s dng vn v gia tng ri ro tn dng do vic ni lng tin t. (Xem Hnh 3, bng 6) Hnh 3. Din bin NDC/GDP
NDC/GDP 25.00 20.00 15.00 10.00 5.00 0.00

NDC/GDP

Ngun: IFS, Bloomberge v tnh ton ca nhm tc gi

Bng 6. Tc tng trng tn dng ca Vit Nam qua cc nm

Tin dng trong nc Tn dng chnh ph 2003 316,9 20,1 2004 435,2 14,9 2005 585,6 32,5 2006 730,3 36,5 2007 1096,8 29,1 2008 1400,7 61,4 2009 2039,7 170,4

Tn dng cho nn kinh t 296,7 Tn dng cho doanh nghip nh nc 105,4 Tn dng cho khu vc khc 191,3 Tc tng quy m tn dng trong nc (%) Tc tng quy m tn dng ca nn kinh t (%)

420,3 142,9 277,4

553,1 181,3 371,8

693,8 218,5 475,3

1067,7 334,2 733,5

1339,3 413,8 925,5

1869,3 -

37,3

34,6

24,7

50,2

27,7

45,6

41,7

31,6

25,4

53,9

25,4

39,6

Ngun: World Bank (2010) Nu xt quy m tn dng so vi GDP, ch trong vng 6 nm t l tn dng so vi GDP tng gp hn hai ln, t trn 40% ln trn 110% v tc ny kh cao trong tng quan so snh vi vi cc nc trong khu vc (hnh 4). Kt qu ny cng ph hp vi nghin cu ca Guo v Stepanyan (2011): trc khng hong 1997, cc nc Philippines, Thi Lan, Malaysia v Hn Quc c tc tng trng tn dng tng i; Vit Nam, Indonesia v Trung Quc c tc tng trng tn dng khong 15-33%. Nhng sau khng hong, cc nc Trung Quc, Malaysia, Phillipines, Vit Nam u m rng tn dng, trong Vit Nam duy tr tc ny mc kh cao trn 30%. Hnh 4. So snh tng trng tn dng ngn hng so vi GDP

Ngun: Trch li t Johanna Chua (2011)

Th t, trong nhng nm gn y, cn cn thanh ton ca Vit Nam bin ng mnh. c bit trong nm 2007 dng vn FPI vo tng t bin; nm 2008, thng d cn cn thanh ton gim mnh; nm 2009, thm ht trn 8 t USD v nm 2010, thm ht trn 3 t USD. S bin ng ca cn cn thanh ton ko theo s bin ng ca ti sn c ngoi t rng (v thay i trong d tr bng thay i trong ti sn c ngoi t rng). (Hnh 5) (Bng 7) Hnh 5. Din bin NFA v NFA/GDP
450000.00 400000.00 350000.00 300000.00 250000.00 200000.00 150000.00 100000.00 50000.00 0.00 4.50 4.00 3.50 3.00 2.50 2.00 1.50 1.00 0.50 0.00

NFA Tai san ngoai rong (billion VND)

NFA/GDP

Ngun: IFS, Bloomberge v tnh ton ca nhm tc gi Bng 7. C cu tng cung tin M2 (t VND)
2000 M2 NFA/ M2 (%) NDC/ M2 (%) 57,5 61,5 100,4 83,0 88,0 71,5 58,3 71,2 93,2 124,8 111,8 80236 42,5 2001 56899 38,5 2002 49369 -0,4 2003 82082 17,0 2004 121114 12,0 2005 158306 28,5 2006 232020 41,7 2007 425572 28,8 2008 273886 6,8 2009 470317 -24,8 2010* 414433 -11,8

*9 thng u nm 2010

Ngun: IFS v tnh ton ca nhm tc gi Ngoi tr nm 2002 v 2009, NFA gim, cc nm cn li NFA tng trung bnh 25%/nm, ng gp trung bnh 27% trong tng trng cung tin ca nn kinh t hng nm, NFA tng lm t gi hi oi thc gim. Mc gim t gi gy ra do

tng NFA v gim t gi do tng tn dng ni a tng i tng ng vi nhau v quy m. 3.1.2 Cc nhn t tc ng trong ngn hn T kt qu c lng v kim nh bc 1, m hnh hiu chnh sai s (ECM) cho php phn tch tc ng ngn hn ca cc bin c lp n bin ph thuc REER. M hnh (2) c vit li nh sau:

DLREERt = 0 + t DOPEN t i + i i DLGOVEX t i + i DLDCt i

i=0 t =0 t =0

+ i DNFAt i + ECt 1 + t
i=0

(3)

Ghi ch: p l bc tr ti u; v EC = LREER 6,15 0,29LOPEN 0,92LGOVEX + 0,23LDC + 0,10LNFA. Vi bc tr ti u l 2 theo tiu chun la chn ca AIC (Akaike Information Criterion), SC (Schwarz Information Criterion) v HQ (Hannan-Quinn Information Criterion) (bng 8). Chng ti tin hnh c lng m hnh (3) vi p = 2, loi b cc bin khng c ngha, kt qu cui cng c trnh by trong bng 9. Bng 8. Kt qu la chn bc tr ti u
Bc tr 0 1 2 3 AIC -8,6685 -19,3947 -20,4647* -20,3737 SC -8,4574 -18,1280 -18,1425* -16,9959 HQ -8,5922 -18,9367 -19,6251* -19,1524

* Bc tr ti u la chn bi cc tiu chun

Ngun: Tnh ton ca nhm tc gi t d liu nghin cu Bng 9. Kt qu c lng m hnh ECM (3)
EC D(LOPEN) D(LOPENt-1) D(LOPENt-2) D(LGOVEX) D(LGOVEXt-1) C H s c lng -0,7512 0,3560 0,0267 -0,2517 0,6913 -0,4853 -0,0059 lch chun 0,1477 0,0797 0,0149 0,0763 0,3748 0,3567 0,0054 Thng k t -5,0846 4,4670 1,7953 -3,2976 1,8443 -1,3604 -1,1046 Gi tr p 0,0000 0,0001 0,0815 0,0023 0,0739 0,1827 0,2771

Ghi ch: R2 = 0,62; R2 hiu chnh = 0,55; F_stat = 9,34 (Prob = 0,000); Mean Dependent var = -0,00; SD depedent var = 0,04;AIC = -4,0957; SBC = -3,81; DW = 1.89

Ngun: Tnh ton t d liu nghin cu Ghi ch: R2 = 0,62; R2 hiu chnh = 0,55; F_stat = 9,34 (Prob = 0,000); Mean Dependent var SBC = -3,81; DW = 1.89 Ngun: Tnh ton t d liu nghin cu Theo kt qu c lng, trong ngn hn, DC v NFA khng c ngha thng k. iu ny cho thy trong ngn hn, bin nh hng c ngha n REER khng phi l tn dng ni a v chnh lch ti sn c ngoi t rng. Tuy nhin, OPEN v GOVEX li c tc ng kh mnh. OPEN tc ng mnh, cng chiu ln REER khi p = 0, p = 1, nhng li i chiu tc ng khi p = 2. GOVEX th tc ng rt mnh, cng chiu ln REER khi p = 0 v i chiu tc ng khi p = 1. Bng 9 cng cho thy, sai s hiu chnh EC c gi tr -0,75, h s c lng nh hn 1 cng c thm cho tnh n nh ca m hnh c lng di hn v phn nh s iu chnh hng v mc cn bng ca t gi thc a phng l kh cao. EC trong hm REER ngn hn c du m v c ngha thng k mc 1% cho thy nu tc ng ca cc bin s kinh t nn tng y REER tng (gim) qu ny th REER s iu chnh gim (tng) hng v mc cn bng khong 75% qu sau. = -0,00; SD depedent var = 0,04;AIC = -4,0957;

y l mc iu chnh kh cao ca t gi thc a phng so vi cc nc ang pht trin khc (Theo Edwards (1989) v Elbadawi (1994), mc iu chnh v cn bng ca t gi thc cc nc ang pht trin trong khong 40-45%) v t gi v cc bin tin t rt nhy cm cc nc c th trng tin t cha hon chnh v nhiu bin ng do nh hng tm l. Ngoi ra, kt qu c lng (trong bng 9) cng vt qua cc kim nh chn on. 3.2 T gi hi oi thc cn bng ca Vit Nam Da vo kt qu c lng cn bng di hn (Bng 3), chng ti tnh ton t gi thc cn bng EREER ca Vit Nam theo cc bc sau: Bc 1: S dng b lc Hodrick - Prescott (1984) loi b bin ng ngn hn ca 4 chui OPEN, GOVEX, DC, NFA (di dng logarithm c s t nhin). Thng s lm nhn (smoothing parameter) c la chn l 50 (John, 2003). Chng ti thu c cc ng biu din bin ng ca cc yu t kinh t nn tng trong di hn c m t trong hnh 6. Hnh 6. Bin s kinh t v m sau khi x l lc bng Hodrick Prescott (1984)
.8 .7 .6 .5 .4 .3 .2 .1 .0 00 01 02 03 04 05 06 07 08 09 10

-1.15 -1.20 -1.25 -1.30 -1.35 -1.40 -1.45 -1.50 -1.55 00 01 02 03 04 05 06 07 08 09 10

HPTREND_LOPEN

LOPEN

HPTREND_LGOVEX

LGOVEX

3.0

1.4 1.2

2.5

1.0
2.0

0.8 0.6 0.4

1.5

1.0

0.2
0.5 00 01 02 03 04 05 06 07 LDC 08 09 10

0.0 00 01 02 03 04 05 06 07 08 09 10

HPTREND_LDC

HPTREND_LNFA

LNFA

Ghi ch: HPTREND_: x l lc bng Hodrick Prescott

Ngun: Tnh ton v v t d liu nghin cu Bc 2: S dng cc h s c lng trong m hnh cn bng di hn, bao gm c h s chn (constant) v cc s liu thu thp c ca cc bin s sau khi lc Hodrick - Prescott tnh EREER di dng logarithm c s t nhin. Bc 3: Chuyn EREER di dng logarithm c s t nhin sang dng s tuyt i bng hm @exp ca excel. Chnh lch REER v EREER c biu din trong hnh 7. Hnh 7. Din bin ca REER so vi EREER
REER <EREER REER >EREER

Ngun: Tnh ton t d liu nghin cu

Da vo mc chnh lch ca t gi hi oi thc khi t gi hi oi thc cn bng, nghin cu chia thnh 3 giai on: qu 1/2000 - qu 4/2002, qu 4/2002 - qu 2/2008 v qu 1/2008 - qu 3/2010. Trong giai on u, REER nh hn EREER, giai on 2 REER ln hn EREER v giai on 3, mc chnh lch bin ng nhanh v i chiu lin tc. Trong hnh 7, lch m th hin gi tr ca REER thp hn EREER v ngc li, hay VND b nh gi cao so vi gi tr cn bng. Nhn chung, gi tr ca REER xoay quanh EREER v theo xu hng EREER gim gi tr dn trong giai on nghin cu. Nm 2010, gi tr ca REER thp hn gi tr EREER khong 2% cho thy REER xoay xung quanh gi tr cn bng v t hay nhiu cng phn nh c cc yu t kinh t v m nn tng. nh gi cc nhn t ng gp vo thay i ca REER, nhm tc gi phn tch lch (deviation). Bin ng REER mang du dng th hin s xung gi ca VND v bin ng m th hin s ln gi ca VND. Bng 10. ng gp ca cc nhn t nn tng vo REER
2000Q1-2002Q4 Tc ng ln REER REER thay 0,04 i LOPEN 0,62 LGOVEX -0,08 LNDC -0,19 LNFA -0,23 Khng gii thch c Tng cng ng gp (%) 2002Q4-2008Q1 Tc ng ln REER -0,12 1446,20 -189,30 -438,40 -529,40 -189,00 100,00 0,39 -0,10 -0,24 -0.,9 -33,95 85,97 208,58 161,99 -26,00 100,00 ng gp (%) 2008Q1-2010Q3 Tc ng ln REER -0,08 -0,02 -0,03 -0,07 0,06 26,75 40,17 87,72 -71,72 17,00 100,00 ng gp (%)

Ghi ch: VND ln gi (-)/ Xung gi (+)

Ngun: Tnh ton ca nhm tc gi

Bng 10 cho thy s xung gi ca VND trong giai on ny ch yu l do m nn kinh t. Tc ng ca bin s ny ln t hon ton tc ng ca chi tiu chnh ph, tn dng ni a v ti sn c ngoi t rng. Ngoi ra, nu nhn t cch tnh ton, REER tng trong giai on ny cn nh vo t l lm pht thp. Trong giai on 2, thay i trong REER chuyn t dng sang m th hin VND trong tng quan so snh vi cc i tc ngoi thng chnh b nh gi cao so vi giai on trc. m ngoi thng cng tc ng kh ln ln REER, tuy nhin, tc ng tng hp ca cc bin chi tiu chnh ph, tn dng ni a v ti sn c ngoi t rng c nh hng nhiu hn n s thay i ca REER. Gi tr ca VND so vi nm 2000 bt u b ln gi t thi im cui nm 2005 dn n chnh lch ln gia REER v EREER. Xem xt bin ng ca t gi hi oi danh ngha v t l lm pht, nghin cu cho thy trong khong thi gian ny, t gi hi oi danh ngha tng kh nhanh, tuy nhin, khng b p lm pht nn t gi hi oi thc gim. Dao ng trong chnh lch REER v EREER trong giai on ba bin ng lin tc khng r xu hng m hay dng. Tuy nhin, tnh ton trong bng 10 cho thy REER tng gi 0,08 m nguyn nhn phn ln l do tn dng ni a v chi tiu chnh ph. Hin ti, REER ang thp hn EREER, theo nghin cu ca ADB (Jongwanich, 2009) s tc ng lm gim xut khu. Chnh lch gia REER v EREER cn l mt trong nhng du hiu cnh bo nguy c mt nc c th b tn cng tin t dn n khng hong. Nghin cu ca ADB (Jongwanich, 2009) trn cc nn kinh t ng ch ra rng, trc khng hong nm 1997, phn ln REER ca cc nc ng u lch m so vi EREER (ng tin b nh gi cao) v nhng nc c mc lch ln l nhng nc b tn cng tin t mnh nht. Nu nh mc lch ca Indonesia trc nm 1997 l 20% th Thi Lan ch l 15%, Malaysia l 10% v Hn Quc ch khong 7%.

Chnh lch ca Vit Nam cng khong 7% v dao ng i chiu kh nhanh. iu ny cng gi ra mt cu hi: Vn ng quan tm y l mc lch bao nhiu l ng cnh bo cho mt cuc tn cng tin t? Cu hi ny i hi phi c mt nghin cu su hn nhng bin ng kh nhanh ca chnh lch gia REER v EREER gy ra s khng n nh v tnh hnh kinh t v m ca Vit Nam. 4. Kt lun v gi chnh sch Th nht, t gi hi oi thc ca Vit Nam b nh gi cao so vi cc i tc ngoi thng chnh trong tng quan vi thi im gc ca giai on nghin cu, nm 2000; cho thy sc cnh tranh ca hng ha Vit Nam so vi cc i tc ngoi thng chnh ngy cng gim. Din bin ny cng lm cho mc tiu cn bng cn cn thng mi bng cch y mnh xut khu cng kh c thc hin. V l thuyt, vic ci thin cn cn thng mi bng cch tng t gi hi oi thc, c th c thc hin bng cch iu chnh tng t gi hi oi danh ngha thng qua can thip vo th trng ngoi t lin ngn hng hoc kim sot lm pht mc thp so vi cc i tc ngoi thng. Theo chng ti, hng iu chnh bng cch tng t gi hi oi danh ngha khng nn qu h hi p dng v: (i) Cn cn thng mi ch c ci thin mt thi gian sau khi p dng iu chnh t gi, ch khng gim ngay. iu ny c gii thch thng qua hiu ng tuyn J v tc ng ca hiu ng gi c v hiu ng khi lng ln cn cn thng mi, c th hin trong cc nghin cu thc nghim cc quc gia ng Nam khc v tc ng tr ca thay i t gi n xut khu, nhp khu v mi quan h ny ca Vit Nam cng c chng minh trong cc nghin cu ca tc gi Phan Thanh Hon v Nguyn ng Ho (2007), Phm Th Tuyt Trinh (2011); Nguyn Hu Tun (2011); (ii) chnh sch t gi c vn dng trong trng hp Vit Nam thng tng i nhy cm v mt tm l nn d gy nhng bin ng khng ng c hoc nhng tc ng ngoi d kin hoc tc ng ngc. Do , vic xem xt

chnh sch t gi phi c t trong mt tng th chnh sch ca Chnh ph v cch tt hn c l Vit Nam a t gi hi oi thc v gi tr ca n bng cch kim sot tt lm pht. Hng iu chnh bng cch gim lm pht s kh thi hn v trn thc t y l vn cp bch v c tc ng ln i vi i sng kinh t x hi ca Vit Nam. Hn na, so vi cc i tc ngoi thng chnh lm pht ca Vit Nam hin mc kh cao. Th hai, kt qu c lng cng cho thy, trong di hn, cc nhn t tc ng n t gi thc bao gm: m nn kinh t, chi tiu ca chnh ph, tn dng ni a v ti sn c ngoi t rng. Xt v mc tc ng v hng tc ng: chi tiu chnh ph v m nn kinh t c tc ng mnh nht v c xu hng lm tng t gi hi oi thc, gim gi tr ni t. Tn dng ni a v ti sn c ngoi t rng ln lt c tc ng gim dn v ngc chiu vi t gi hi oi thc (tng gi tr ni t). Xt v kh nng iu chnh chnh sch thay i: m nn kinh t kh kim sot v xut khu chu nh hng rt ln t mi trng kinh t quc t; ti sn c ngoi t rng kh kim sot v phi iu chnh cc b phn cu thnh cn cn thanh ton nh xut nhp khu, chuyn giao mt chiu, dng vn vo, c bit l dng vn gin tip v ty thuc vo tng tc gia nn kinh t vi phn cn li ca th gii. Ngc li, tn dng ni t c th kim sot thng qua chnh sch tin t, quy m v c cu chi tiu ca chnh ph c th iu chnh thng qua chnh sch ti kha. Th ba, trong ngn hn cc nhn t gii thch cho t gi thc bao gm m nn kinh t v chi tiu ca chnh ph. Tc iu chnh v cn bng ca t gi thc cng rt nhanh, ph hp vi mt th trng tin t v ngoi hi b tc ng mnh bi yu t tm l thng thy cc nc ang pht trin. Th t, t gi hi oi thc ca Vit Nam b nh gi cao so vi t gi hi oi thc cn bng. T gi hi oi thc b nh gi cao c nguyn nhn t lm pht cao. Phn tch su hn cc bin s v m tc ng n REER trong giai on

2000 - 2010, nghin cu nhn thy REER b nh gi cao l do tc ng ca tn dng ni a v ti sn c ngoi t rng. Th nm, bin ng lin tc ca t gi thc trong 3 nm cui ca giai on nghin cu l do s bin ng mnh ca tn dng ni a v m nn kinh t. Th su, Vit Nam c nhng iu chnh gim bt chnh lch gia t gi hi oi thc v t gi hi oi thc cn bng. n qu 4/2010, chnh lch gia REER v EREER gim xung cn trn 2%. Tuy nhin, cha c bng chng cho thy chnh lch ny l bn vng.
1

i vi cc quc gia, d tr quc t chnh thc rng ch gm d tr quc

t chnh thc rng do NHTW nm gi th NFA bng d tr quc t rng do NHTW nm gi m khng bng NFA ca ton h thng ngn hng. i vi cc quc gia m v th ngoi t rng ca cc ngn hng thng mi chu s kim sot hu hiu ca NHTW th RES bng NFA ca ton h thng ngn hng.
2

REERt = t =1 RERit wit

k

Trong RERi l t gi hi oi thc ca ng ni t so vi ngoi t v c tnh theo cng thc tin i, t l khong thi gian Ti liu tham kho 1. Balassa, B. (1964). The purchasing power parity: A reappraisal. Journal of Political Economy, 72(6), 584-596. 2. Chinn, M. D. (1998). Before the fall: Were East Asian currencies overvalued?. Working Paper Rep. No. 6491, Cambridge, MA: National Bureau of Economic Research, Inc. , wi i din cho phn trng s gn vi ng

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