Chinh Sach Vo Hieu Hoa

Mc lc
TM TT TI ........................................................................................................................... v L do chn ti ........................................................................................................................... v Mc tiu nghin cu...................................................................................................................... v Phng php nghin cu ............................................................................................................. vi Ni dung nghin cu .................................................................................................................... vi ng gp ca ti ..................................................................................................................... vii Hng pht trin ca ti ........................................................................................................ vii Tng quan cc nghin cu trc y: ........................................................................................ vii CHNG I: C S L LUN ....................................................................................................... 1 1.1. 1.1.1. 1.1.2. 1.1.2.1. 1.1.2.2. 1.2. 1.2.1. 1.2.2. 1.2.3. 1.3. B BA BT KH THI ........................................................................................................ 1 L thuyt b ba bt kh thi.......................................................................................... 1 Thay i cu trc ti chnh quc t di gc b ba bt kh thi............................. 4 B ba bt kh thi v d tr ngoi hi ......................................................................... 4 Thay i cu trc b ba bt kh thi ............................................................................ 7
TC NG CA CHNH PH VO T GI .................................................................. 9 Mt s h thng t gi. ............................................................................................... 10 Tc ng ca chnh sch ti kha v tin t vo t gi ............................................. 12 Can thip trc tip v can thip gin tip ................................................................. 14 KHI QUT V CHNH SCH V HIU HA............................................................ 15
CHNG II: CHNH SCH V HIU HA V O LNG PHN NG V HIU HA . 18 2.1 TNG QUAN V V HIU HA........................................................................................... 18 2.1.1. 2.1.2. Li ch v chi ph ca chnh sch v hiu ha ........................................................... 18 Tch ly d tr v phn ng v hiu ha .................................................................. 23
2.2 C LNG M HNH PHN NG V HIU HA, TRNG HP TRUNG QUC. 27 2.2.1. 2.2.2. M t d liu v m hnh s dng ............................................................................. 27 c lng mc phn ng v hiu ha.................................................................. 27
2.3 CC YU T KHC TC NG N S V HIU HA................................................ 30 2.4 BI HC T TRUNG QUC ................................................................................................. 34 CHNG III: NG DNG V HIU HA TI VIT NAM......................................................... 38
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DANH MC T VIT TT
EMS FDI FED GDP M2
H thng ng tin chung Chu u u t trc tip t nc ngoi Cc d tr lin bang M Tng sn ph m quc n i Khi tin bao gm tin m t, tin gi khng k hn v tin gi c k h n
NHTM NHTW OMO PBC RBI VAR
Ngn hng thng mi Ngn hng trung ng Ho t ng nghip v th trng m Ngn hng nhn dn Trung Qu c Ngn hng d tr n Gi tr c ri ro
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DANH MC BNG BIU
Bng 1 Bng 2
Chnh lch v li sut v gi tr danh ngha nm 2006 Kt qu hi quy tn dng ni a rng ca NHTW theo d tr ngoi hi rng v c iu ch nh theo s thay i trong GDP.
Bng 3 Bng 4
Bng h i quy vi vic thm bin ph INFL cho Trung Qu c. Bng kt qu h i quy vi vic thm bin CA cho Trung Quc.
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DANH MC HNH V
Hnh 1 Hnh 2 Hnh 3 Hnh 4 Hnh 5
Tam gic b ba bt kh thi Thuyt tam gic m rng ca Yigang v Tangxian Cu trc b ba bt kh thi v d tr ngoi hi Tm tt tc ng c a chnh ph n t gi Nh ng t l li sut trong 1 nm ca NHND Trung Quc v Kho Bc M
Hnh 6
Chch lch li sut trong 1 nm c a tri phiu 5 quc gia Chu so vi tri phiu Kho Bc M
Hnh 7
Tch ly d tr c a mt vi qu c gia Chu (% trn tn dng ni a)
Hnh 8
Cc quc gia c chn, tch ly d tr ca mt vi qu c gia Chu (% trn kh i tin M2)
Hnh 9
D tr ngo i h i rng v s thay i tn dng ni a rng ca NHTW nhng nc chu c chn (nhng thay i trong 4 qu c lin h ti tin d tr cui 4 qu, tnh theo phn trm)
Hnh 10
D tr ngo i h i rng v s thay i tn dng ni a rng ca NHTW c a Trung Quc (nh ng thay i trong 4 qu c lin h ti tin d tr cu i 4 qu, tnh theo phn trm, t qu 2/2000 n ht qu 1/2010)
Hnh 11
H s v hiu ha chy hi quy 40 qu, qu 2/2000 n qu 1/2010 ca Trung Quc
Hnh 12 Hnh 13 Hnh 14 Hnh 15
Cn cn thanh ton (% theo GDP) D tr ngoi hi ca Vit Nam t 2000 n 2009 Thay i t gi so vi ng USD Lch s giao dch t gi VND/USD
TM TT TI L do chn ti ti i su tm hiu v th no l mt chnh sch v hiu ha, vic thc hin chnh sch v hiu ha ny em li nhng tc ng nh m t c mc tiu m cc nh iu hnh chnh sch mong mun. Tuy nhin, thc hin mt chnh sch v hiu ha thnh cng khng phi l d dng. Bn cnh nhng li ch t c th v hiu ha cng c rt nhiu i hi nh phi b ra cc khon chi ph ng ch nht chnh l chi ph ti chnh, cc ri ro khi th c hin v hiu ha. M t quc gia thng thng s thc hin v hiu ha khi m lng ngoi hi vo n n kinh t nhiu, t lm tng d tr ngoi h i, song n cng tc ng lm gim cc ti sn tn dng ni a rng xem xt vic d tr ngoi hi tc ng nh th no n phn ng v hiu ha thng qua m hnh h i quy bnh phng phng sai b nht (OLS) vi trng hp l Trung Quc cho kt qu l cc h s c ngh a. T trng hp c a Trung Quc rt ra c bi hc kinh nghim khi p dng v hiu ha, t vic i mt vi thng d kp trong ti khon vng lai v ti kho n vn, Trung Quc ph i s dng n v hiu ha c gng gi cho ng nhn dn t n nh, tuy nhin vi ng thi ny th Trung Qu c phi ch u nhng ch trch t pha M. ng thi tm hiu thc trng ca Vit Nam tr li cho cu hi ti sao Vit Nam vn cha cn p dng mt chnh sch v hiu ha. Mc tiu nghin cu Ti sao chnh ph cn phi tc ng vo t gi? Chnh sch v hiu ha l g? o lng mc phn ng c a chnh sch ny nh th no? Cc bin no s tc ng ln vic thc hin chnh sch ny? Li ch v chi ph phi b ra khi thc hin chnh sch ny nh th no? Vit Nam c cn thit phi thc hin chnh sch ny? Nhng tin cn thit vic thc hin chnh sch ny Vit Nam trong tng lai s mang li thnh cng?
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Phng php nghin cu ti ch yu s dng cc phng php nghin cu nh tnh, nh lng, thng k, so snh, phn tch v tng hp nhm lm r nhng vn m ti hng ti. i vi phng php nh lng, ti s dng phng php h i quy bnh phng phng sai b nht (OLS), vi s h tr t phn mm EVIEW 4.0. N i dung nghin cu Vit Nam ngy m t ha nhp su vo th trng th gii, m ca ngy cng rng hn. Theo l thuyt ni ting b ba bt kh thi, mt qu c gia khng th ng thi t c c ba m c tiu chnh sch tin t c lp, t gi n nh v h i nhp ti chnh. Do , c c m t th trng m ca rng nhng khng tc ng xu n sn xut trong nc th t gi l mi quan tm hng u c a chnh ph, cho th y s cn thit c a chnh ph can thip tc ng vo t gi, trong thi k m nn sn su t hin ti trong nc cn kh nhiu yu km. C rt nhiu la chn v mt h thng t gi m t m t quc gia c th theo ui nh h thng t gi c nh, h th ng t gi th ni t do v h thng t gi gia c nh v t do. Vit Nam v ang theo ui h thng t gi th n i c qu n l, y l h thng t gi thuc h thng t gi gia c nh v th ni. C rt nhiu phng php can thip tc ng vo t gi, nhng trong bi ny s trnh by phng php can thip v hiu ha. Nhng nghin cu xung quanh khi nim v s v hiu ha, cc chi ph ph i b ra thc hin chnh sch ny. Bn cnh , vic thc hin chnh sch ny c chc chn s mang n nhng kt qu theo mun ca nhng nh lm chnh sch. Bi hc ln v thnh cng c a v hiu ha Trung Quc, i mt vi thng d kp; d tr ngoi hi hung mnh v cc bin php can thip trn th trng m hiu qu, gip Trung Qu c thnh cng trong vic iu tit gi cho t gi dao ng mc n nh. Vi thc trng n n kinh t ca Vit Nam th c cn n mt chnh sch can thip phc tp nh v hiu ha. Liu chng vi d tr ngoi hi ca mnh, Vit Nam c th t c thnh cng trong vic s dng n tc ng trn th trng ngoi hi tc ng n t gi nh m nhng mc ch ring, ng thi vi cc bin php tc ng ln th trng m nhm khng lm nh hng n cc chnh sch ca chnh ph. Cc n i dung nghin cu nh sau:
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Chng 1: S cn thit c a chnh ph tc ng vo t gi Chng 2: Chnh sch v hiu ha v o lng phn ng v hiu ha Chng 3: ng dng ti Vit Nam ng gp ca ti Bi vit da trn n n tng b ba b t kh thi ni ting, tm hiu su rng v chnh sch v hiu ha , tc ng ca chnh ph vo h thng t gi hi oi thng qua hai hnh thc trc tip v gin tip. Vic thc hin chnh sch v hiu ha ny em li nhng tc ng nhm t c mc tiu m cc nh iu hnh chnh sch mong mun nh th no. Thng qua bi hc t ngi lng ging Trung Qu c, xem xt vic c nn p dng chnh sch v hiu ha vo Vit Nam hay khng ? Hng pht trin ca ti Bi nghin cu ca chng ti ch cp n vn thnh cng khi p dng chnh sch V hiu ha c a Trung Quc nhng cha quan st c nhng nc ln khc trn th gii. Hn na, vic c nn p dng chnh sch ny Vit Nam , chng ti ch nghin cu trn cc yu t cn cn thanh ton, d tr ngoi h i, th trng ngoi hi v hot ng th trng m. Hy vng cc bi nghin cu sau s pht trin nhiu hn cc yu t khc d a trn bi hc t nhiu nc ln, khng ch Trung Quc.
T ng quan cc nghin cu trc y: C rt nhiu nh nghin cu kinh t v nhng nh lm chnh sch nghin cu v nhng kha cnh c a v hiu ha.Ph i k n Robert Lavigne (2004), tc gi kho st cc xu hng can thip v hiu ha, bao gm cc quc gia c nn kinh t th trng mi n i nhm xc nh kch c v thi gian ko di ca chnh sch ny trong m i quan h vi giai on trc khi tch ly d tr ln, sau tc gi i phn tch nhng chi ph v r i ro ni a trng yu v ko di v hiu ha bt u chng minh cho nhng iu .Kt qu h t c, s can thip v hiu ha t dc m c cao trong lch s nh t l cc nc Chu trong c cc nc xut kh u du. M u nm 2007, du hiu cho thy rng tch ly d tr tng vi tc cao, cho th y rng hot ng v hiu ha phi mnh kim ch sc p t lm pht trong tm kim
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sot.Trong iu kin , cc chi ph ti chnh v gn nh ti chnh vn cn thp, tuy nhin s tng ln.ng nhn m nh chnh l vic s dng cc bin php phi thi trng s mang n nhng kt qu khng mong mun, chng tc ng ln s n nh c a th trng ti chnh trung v di h n. Phi lun gim st m t cch thn tr ng cc du hiu c a s thay i trong chnh sch v hiu ha. M t nghin cu khc ca Nirvikar Singh v T.N. Snirivasan (2004) cho trng hp c th ca n , bi nghin cu ny h tho lu n nhng vn lin quan trong n n kinh t v m t vn ti chnh cng cho n nhng vn pht trin kinh t. Bao gm nhng thm ht ti chnh rt ln ngay lc khng ho ng 1991, nhng thm ht mt khon ln tin t hay tng ln trong lm pht, hay li sut, dng thu tng ln t vn bn ngoi, c s h tr t v hiu ha c a RBI1 ln dng thu v mt tch ly d tr ln. H a ra vi bnh lun trong mt s phn tch trc y v a ra mt s m hnh nhm ngh nhng yu t thc v yu t tin t c th kt hp nhau nh th no nhm cung cp m t nn tng vng ch c cho trng hp n . M hnh th nht h s sng l Harrod-Domar gip a ra kt lun l t trng thi cn b ng t l thm ht v tng trng c hai u phi gim ng bng thu nh p t thu gim xung. M hnh th hai tc gi cp n bin ni sinh l s ct gim chi tiu ca chnh ph, m hnh cho kt qu l s tng trng lin quan n cc khon u t khng r rng ca chnh ph v ph thu c vo cc kho n u t khu vc cng v khu vc t, v b tc ng bi li sut tit kim v li su t u t. M t nghin cu gn y nht l ca Aizenman v Glick (2009), nhm tc gi nghin cu m hnh bin i v tnh v hiu ha trong cc th trng m i ni khi cc nc t do ha th trng v h i nh p vi n n kinh t th gii. H pht hin ra quy m ca s v hiu ha dng thu d tr ngoi hi tng ln trong nhng nm gn y vi cc mc khc nhau Chu cng nh cc nc chu M Latinh, ph hp vi s quan tm ngy cng ln v nh hng c a lm pht tim n ti cc dng thu d tr . Mt vi nghin cu i trc cho ra rt nhiu kt qu ng quan tm, gii hn ti ny i gii quyt m t s vn sau: Ti sao chnh ph cn phi tc ng vo t gi?
Ngn hng trung ng n
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Chnh sch v hiu ha l g? o lng mc ph n ng ca chnh sch ny nh th no?Cc bin no s tc ng ln vic thc hin chnh sch ny?Li ch v chi ph ph i b ra khi thc hin chnh sch ny nh th no? Vit Nam c cn thit phi thc hin chnh sch ny?Nh ng tin cn thit vic thc hin chnh sch ny Vit Nam trong tng lai s mang li thnh cng?
CHNG I: C S L LUN
1.1. B BA BT KH THI 1.1.1. L thuy t b ba b t kh thi L thuyt ny cho bit, mt quc gia khng th t ng thi c ba mc tiu: chnh sch tin t c lp, n nh t gi v hi nhp ti chnh.Ln lt ta s nghin cu l thuyt ca Robert Mundell v Marcus Fleming, v m t l thuyt m rng ca b ba bt kh thi ca nhm cc tc gi trong thi gian gn y. L thuyt b ba bt kh thi ca Robert Mundell v Marcus Fleming,l thuyt ny c minh ha nh hnh 1; mi cnh tng ng cho chnh sch tin t c lp, n nh t gi v hi nhp ti chnh.Mi cnh m t mt mc tiu k vng, nhng khng th thc hin ng thi ba cnh ca tam gic. Cc nh ca tam gic, th trng vn ng l s kt hp gia c lp tin t v n nh t gi, nhng khng c hi nhp ti chnh, chnh ph ph i thit lp kim sot vn v chp nhn ph v mi lin h gia li su t v t gi; T gi th ni l s kt hp gia chnh sch tin t c lp v hi nhp ti chnh khi b qua vic n nh t gi, chnh ph c quyn t do n nh li sut tuy nhin t gi ph i c vn hnh theo quy tc c a th trng; tng t t gi c nh chnh l giao c a n nh t gi v hi nhp ti chnh khi b qua yu t chnh sch tin t c lp khi chnh ph chp nhn la chn ny c ngh a l mt i mt cng c iu chnh li sut trong nc c lp vi li sut nc ngoi.
Hnh 1: Tam gic b ba bt kh thi
Th trng vn Chnh sch tin t c lp n nh t gi
T gi th n i Hi nhp ti chnh
T gi c nh
Ngun: Gio trnh Ti chnh quc t, i hc kinh t thnh ph H Ch Minh
Ba nhn t c a m hnh: c lp tin t gip cho chnh ph ch ng s dng cc cng c chnh sch tin t th c hin chnh sch ph n chu k kinh t. Ch ng hn nn kinh t c d u hiu pht trin nng, chnh ph s tng li su t hoc tht ch t cung tin, v ngc li. Trong cc trng hp ny chnh ph khng quan tm n t gi tng hay gim v cc bin s v m khc. Chnh v s c lp tin t ny m nhiu nh kinh t tin rng chng s gip nn kinh t tng trng n nh hn. Tuy nhin vn l trong mt th gii m gi c v tin lng tng i cng nh c, c lp tin t qu mc c th l mt ci c chnh ph lm dng th c hin cc chin lc tng trng mo m trong ngn hn. c lp tin t nhiu hn v vy d dn n b t n nh trong tng trng v tim n nguy c lm pht cao. l cha k, c lp tin t qu mc c kh nng lm cho chnh ph tin t ha chi tiu ca chnh ph bng cch pht hnh tin trang tri cho thm ht ngn sch.Hu qu l n n kinh t ri vo mt n nh vi tnh trng lm pht cao. n nh t gi gip to ra ci neo danh ngha chnh ph tin hnh cc bin php n nh gi c. Ci neo ny lm cho nhn th c ca nh u t i vi ri ro kinh t gim i, lm tng thm nim tin ca cng chng vo ng ni t. Tt c gip lm cho mi trng u t tt ln. Tuy nhin, t gi n nh qu mc c mt tri c a n, lm cho chnh ph mt i cng c h p th cc c s c bn trong v bn ngoi truyn dn vo nn kinh t; n cn ngn cn khng cho cc nh lm chnh sch s dng cng c chnh sch ph hp vi th c tin din bin ca nn kinh t, nht l khi c d u hiu bong bong ti sn. Nhn chung, t gi qu cng nhc s d dng d n n bt n trong tng trng, tng trng khng b n vng, ri ro lm pht cao v phn b sai ngun lc. H i nh p ti chnhl mt xu th kh th cng li trong bi cnh ton cu ha. Li ch t h i nhp l gip quc gia tng trng nhanh hn, phn b ngun lc tt
hn. Chng cn gip nh u t a dng ha u t, to c hi cho cc nh u t mnh d n b vn vo nn kinh t. Tuy nhin, li ch ln nh t m hi nh p mang li chnh l to ra ng l c cho chnh ph tin hnh nhiu ci cch v qun tr tt hn theo kp nhng thay i ca hi nhp. Bn cnh nhng li ch cn c nhng tc ng xu i km l nhng b t n kinh t gn y, tnh trng bong bong chng khon v bt ng sn, dng vn gin tip ch y vo n n kinh t a phn l ngn hn v mang tnh ch t u c. Thuyt tam gic m rng ca Yigang v Tangxian, Yigang v Tangxian (2001) tip tc pht trin l thuyt b ba bt kh thi ca Mundell va ln thnh thuyt tam gic m rng. Nn tng ca thuyt ny l nhng quan nim mi v s c lp c a chnh sch tin t v n nh t gi.Tam gic bt kh thi ca Mundellch mi tp trung n cc c ch t gi nm cc nh tam gic m cha cp nmt c ch t gi trung gian nm u trong tam gic bt kh thi.Yigang v Tangxian m rng m hnhny v kt lu n rng m t qu c gia c th c nhng phi hp mc tiu khc nhau v khng ph ichp nh n s nh i hon ton nh tam gic c a Mundell.Ba cnh trong tam gic m rng cng tng ng cho 3m c tiu chnh sch. Gi nh: cnh M tng trng cho chnh sch tin t c lp; cnh y K,tng trng cho dng vn lu ng hon ho; v cnh phi E, tng trng cho n nh t gi. Banh ca gc tam gic, A1 = c nh, A2 = Th n i hon ton,A3 = th trng vn ng. G i Ms, Kc v Ev l cc khong cch t im O tu n 3 cnh, tngtrng ln lt cho m c ca c lp chnh sch tin t, mc kim sot vn v m c binng t gi.
Hnh 2: Tam gic m rng c a Yigang v Tangxian
4 Ngun:Yigang v Tangxian, 2001
Trong : (1) Khi Kc = 0, tc l dng vn lu ng hon ton v Kc = 1 tc l kim sotvn hon ton. (2) Ms = 0, ngha l chnh sch tin t hon ton v Ms = 1, ngha l m t c lpv chnh sch tin t. (3) Ev = 0, tc l t gi c nh v Ev = 1, tc l t gi th ni. Ta c c 3 tnh hungsau : Tnh hung 1:Khi Kc = 0, dng vn hon ton lu ng, c ba skt hp: (1) dng vnlu ng hon ton kt hp chnh sch c lp tin t hon ton kt hp t gi th ni t do; (2) dng vnlu ng hon ton kt hp mt c lp v chnh sch tin t kt h p tgi c nh; (3) dng vn lu nghon ton kt h p c lp chnh sch tin t c gii hn kt hp t gi th ni c gii hn. Tnh hung 2: Khi Kc=1, kim sot vn hon ton, chng ta c cc kt hp: kim sot vn hon ton kt hp chnh sch tin t c lp hon ton kt hp t gi c nh. Thc t, ch t gi c nh thng c trong cc quc gia ang pht trin vi thtrng ti chnh yu km. Tnh hung 3:Khi 0<Kc<1, dng vn lu ng gii hn, c ba s kt hp: (1) dng vn lu ng c gii hn kt h p chnh sch tin t c lp hon ton kt h p t gi th n i c gii hn; (2) dng vn lu ng gii h n kt hp chnh sch tin t c lp c gii hn kt hp t gi th ni c gii h n; (3) dng vn lu ng gii hn kt hp chnh sch tin t c lp c gii h n kt hp t gi c nh. 1.1.2. Thay i cu trc ti chnh quc t di gc b ba bt kh thi. 1.1.2.1. B ba bt kh thi v d tr ngo i h i Nh ng nghin cu gn y cho thy s thay i ca b ba b t kh thi v mc d tr ngoi hi l c m i lin quan vi nhau, do , m mt nghin cu ca Aizzenman, Chinn v Ito nm 2008 , trin khai mt dng th kim cng o lng xu hng ca nhng thay i nay. Cc ng xy dng cho mi qu c gia mt vector b ba b t kh thi v nhng cu hnh ca d tr ngoi hi o lng c lp tin t, n nh t gi, d tr ngoi h i v h i nh p ti chnh ca m i quc gia. Nhng thc o ny dao ng t 0 n 1. Cu hnh ca mi quc gia c to bi bn nh
o lng c lp tin t, n nh t gi v d tr ngoi hi trn GDP v h i nhp ti chnh. Hnh 3: Cu trc b ba bt kh thi v d tr ngo i hi:
6 Industrialized Countries
Moneytary Independence
Non-Euro Industrialized Countries

Financial Integration
.2 .4 .6 .8 1
Exchange rate Stability
.2 .4 .6 .8 1
1971-1980 1981-1990 1991-2000 2001-2006
1971-1980 1981-1990 1991-2000 2001-2006
International reserve/GDP
Emerging Market Countries

Non-Emerging Market Developing Countries

.2 .4 .6 .8 1
.2 .4 .6 .8 1
1971-1980 1981-1990 1991-2000 2001-2006
1971-1980 1981-1990 1991-2000 2001-2006
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Ngu n: The Impossible Trinity Hypothesis in an Era of Global Imbalances: Measurement and Testing Aizenman, D.Chinn, v Ito(2008).
Hnh 3 tng kt cc xu hng ca cc quc gia cng nghip ha, loi tr 12 qu c gia Chu u, cc quc gia mi ni, cc quc gia ang pht trin. Cc quc gia cng nghip ha c xu hng di chuyn v pha hi nhp ti chnh hon ton qua cc nm, mt iu khc na l cc quc gia ny c xu hng t gi n nh.Nhng kt qu ny ch lm i din tt cho ng euro. biu k tip cc tc gi loi tr cc qu c gia s dng ng euro, cc quc gia cng nghip ha cn li khi kim nh vn cho kt qu l c lp tin t. Cc biu trn nhm nhn mnh vo cc quc gia ang pht trin, s th t th cc quc gia ny ang di chuyn v hng t gi hoi i linh ho t v ha nhp ti chnh su hn, c hai xu hng ny u rt r rt cc quc gia c th trng mi ni hn l cc quc gia ang pht trin (non-emerging market developing countries). Thm vo , cc nhm th trng mi ni ca cc quc gia ny cng rt khc bit trong nhng th i k tng trng nhanh chng qua v mc ca vic tch tr ngoi hi. Trong khi cc quc gia pht trin v a tri qua giai on tng trng d tr ngoi hi, s thay i trong d tr ca cc qu c gia ny ch mc tng nh. Ngc li, cc quc gia cng nghip ha li c c gng lm gim mc d tr ang nm gi c a mnh. 1.1.2.2. Thay i cu trc b ba bt kh thi M t bi h c ln c rt ra t qu kh l cc ri ro c a s kt hp gia h i nhp ti chnh quc t vi ch t gi h i oi c nh theo kiu linh ho t. M i cuc khng ho ng ti chnh quc t trng yu gia cc th trng lin quan vi nhau t nm 1994, Mexico vo nm 1994, Thi Lan, Indonesia, v Hn Quc nm 1997, Nga v Brazil nm 1998, Argentina v Th Nh K nm 2000, u c s lin quan n t gi hi oi c nh. ng th i, cc quc gia khng c ch t gi c nh, trong Israel, Mexico, v Nam Phi vo nm 1998, trnh c cc cuc khng hong cng loi lm hoang mang cc th trng mi ni c ch t gi c nh. Kt qu l, nhiu th trng mi ni thng qua chnh sch t gi hi oi th n i c qu n l, trong khi vn c gng duy tr m t mc kim sot tin t trong nc cng vi tng cng h i nhp ti chnh. H th c hin iu ny vi m t
chnh sch kt h p tch ly d tr ln v v hiu ha.Vic p d ng khun kh l thuyt b ba bt kh thi hu ch trong vic gii thch s thay i cu trc chnh sch tin t bi cc nc ang pht trin. Vi th trng vn ng, m t quc gia c th c quyn kim sot chnh sch tin t v t gi h i oi c nh, nhng khng hi nhp ti chnh. y l s la chn chnh sch a thch ca h u ht cc nc ang pht trin vo gia n cui thp nin 1980, khi h duy tr m t s kt hp gia n nh t gi v c lp tin t, vi cc ti khon vn gn nh ng ca. Trong nh ng nm cui 1980 v u nhng nm 1990 cc nc nh Mexico, Hn Quc v m t s n n kinh t khc chu , i theo con ng pht trin t do ha ti chnh v m ca. Tuy nhin, khi h m ca ti chnh, h th y rng cc mc tiu ca hi nhp ti chnh ln hn, n nh t gi v c lp tin t ng th i khng th t c.Cc mc tiu chnh sch khng ph hp d n n cc cuc khng ho ng ti chnh nghim trng, ti Mexico trong thi gian 1994-1995 v ng trong thi gian 1997-1998. Nhng cu c khng hong khng nh s th a hip cn bng vi l thuyt b ba bt kh thi: m t quc gia ch n tham gia hi nhp ti chnh m c cao phi t b s n nh ca t gi nu mun b o tn mc c lp c a tin t. T nhng sai lm dn ti cc cuc khng hong xy ra, sau Mexico, Hn Quc, v cc nc khc chn mt cu trc chnh sch mi. Cu trc b ba bt kh thi mi ny lin quan quan n hi nhp ti chnh su hn v t gi hi oi linh hot c qun l h n, hn l cn bng gia s n nh t gi hi oi vi vic chu chuyn vn trong khi duy tr mt mc c lp tin t. Trong nhng nm u 1990, Argentina thng qua m t cu trc khc c a b ba b t kh thi lin quan n tnh c nh ca t gi hi oi, c h tr b i m t chun tin t, v hi nhp ti chnh hon ton.Argentina cng tri qua m t cuc khng hong u nhng nm 2000 khi t b chnh sch tin t c lp khng cn kh thi. Sau khng ho ng, nhiu th trng mi ni chn mt cu trc chnh sch lin quan n t gi h i oi linh hot hn, c lp tin t trong nc v tng cng hi nhp ti chnh. Nhng h vn cn can thip m t mc ln trong vic qun l t gi hi oi. V vy, khi i m t vi p lc nh gi cao ng tin, h thc hin tch ly d tr v v hiu ha. Trung Quc l m t minh chng tiu biu cho
chnh sch hn hp ny, cho php s hi nhp ti chnh su hn trong thc t, v vo gia nm 2005 p dng t gi linh hot c qun l, trong khi vn tch ly v v hiu ha cc dng thu d tr ngo i hi khng l. Phn tch kinh t cho th y s thay i cu trc trong cc m hnh tch ly d tr ca cc nc ang pht trin. M t s thay i xy ra trong nhng nm u 1990, c phn nh trong s tng t l d tr ngo i h i/GDP, mt xu hng tng vot5ngay sau khng hong ng 1997-1998, nhng gim xung vo nm 2000. Mt s thay i cu trc th hai din ra vo nm 2000, nh hng ch yu do s gia tng cha tng c trong tch ly d tr ngoi h i ca Trung Quc. S tch ly d tr ngoi hi ln c th l do mt s yu t. u tin, m t s nc ginh d tr p ng nhu cu phng nga.D tr cung cp b o him cho chnh quc gia khi c s dng li t ngt ca lung vn nc ngoi chuyn vo trong nc, qua b p ri ro khi hi nhp ti chnh mc su hn.Th hai, d tr ngoi hi c th c s dng lm gim nh tc ng c a cc c sc thng mi ln t gi h i oi thc t v xut khu ca mt quc gia, iu ha cc iu ch nh ti khon vng lai. Thm vo , chng nh l mt kho n b o him ngm, cho php cc nc trnh ph thuc vo qu tin t Th gii (IMF), Ngn hng Th gii (WB) v cc t chc ti chnh quc t khc. Cuc cng, tch ly d tr c th xut hin nh l m t sn phm ph c a vic qun l t gi hi oi thc y xu t khu b ng cch nh gi thp ng n i t.
1.2. TC NG CA CHNH PH VO T GI Mi quc gia theo ui mt h thng t gi ring, t s c nhng chnh sch, bin php can thip khc nhau ng vi tnh hnh kinh t cng nh m c tiu m chnh ph theo ui. Tip theo, i tm hiu cc tc ng t nhng chnh sch ti kha v tin t tc ng n t gi nh th no, sau chng ta tm hiu k hn m t vi bin php can thip ca chnh ph nhm tc ng vo t gi h i oi t c mc tiu c a mnh v mt s khi nim v th no l m t chnh sch v hiu ha
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1.2.1. Mt s h thng t gi. H th ng t gi c nh .T gi hoc c gi khng i hoc ch c php dao ng trong m t ph m vi rt hp. Nu t gi bt u dao ng qu nhiu, chnh ph c th can thip duy tr t gi trong vng gii hn ny. Khi m t quc gia la chn ch t gi c nh l chp nhn chu tc ng mnh b i nhng c sc, nh c sc gi l iu m cc quc gia ny phi thng xuyn i m t. Bn cnh , th gii trong giai on ton cu ha, hi nhp ti chnh, do , nim tin ca ngi dn v cc doanh nghip l iu rt quan tr ng nu nh chnh ph gi cho t gi n nh. Tuy nhin, ch t gi ny cng c u im ca n, v l t gi c nh, nn cc doanh nghip ca qu c gia ny khng phi lo ngi nhiu ri ro t gi m ch tp trung vo cng vic chnh yu c a mnh l sn xut kinh doanh. H th ng t gi th n i t do. T gi s bin i theo quan h cung cu m khng hoc t c s can thip c a chnh ph. Nu la chn h thng ny, cc quc gia s cn b ra nhiu th i gian v ti sn tnh ton v qun l r i ro t gi.H thng ny c u im l gip cho ngn hng trung ng (NHTW) ch ng trong chnh sch tin t ca mnh m khng b n tm nhiu n gi cho t gi khng i trong mt bin no . Nh trong cu c khng hong ti chnh ton cu, kch thch nn kinh t, cc NHTW ca cc nc lin tc gim li sut kch cu m khng cn b n tm nhiu n ng ni t c th b mt gi. Tuy nhin, h thng ny cng c mt tri, nhng lc m nn kinh t ri vo tnh trng bp bnh th h thng th ni t do s kch ho t thm na tnh trng kh khn ny. c bit l cc quc gia ang pht trin, ang c th trng ti chnh mi ni, vn rt d b tn thng do xu hng tm l b y n nu nh ng n i t rt gi mnh do th ni t gi. Vic phn chia h thng t gi thnh hai cc th ni hon ton v c nh hon ton ch c ngha tng trng.Trn thc t, chnh sch m cc quc gia la chn li nm u gia th ni v c nh. H thng t gi gi a c nh v th ni. H thng neo t gi (con rn tin t).i vi nhng n n kinh t ang pht trin, h thng thng thy nh t l neo t gi.Theo , cc qu c gia s neo ng tin ca nc mnh vo mt ngo i t mnh no , thng l USD.Trong h thng
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ny, m t qu c gia s n nh mt mc ngang gi cho ng tin c a mnh v ch cho php m t thay i nh xoay quanh ngang gi.Trong h thng ny cc gi tr danh ngha s c thay i vi s lng nh v thng c thng bo trc vi m t khong th i gian th t c th. Cc t l ngang gi ny s c iu chnh dn vi m t s lng nh v tun theo cc ch d n trong hnh vi cc bin s v m ca nn kinh t nh v th d tr ngoi h i quc gia, nhng thay i gn y trong cung tin hoc lm pht v thm ht cn cn thanh ton hoc nhng thay i gn y ca t gi xoay quanh m c ngang gi trung tm. Khi nhng bin s ny ra nhng sc p tim n lm cho d tr quc gia suy yu chng hn, ng n i t c th c ph gia m t cch chnh thc vi m t t l ph n trm nh. Do nhng thay i lin tc trong ngang gi nn v mt hnh hc ta thy dng i ca t gi gn ging nh con rn. Nh ng nh lm chnh sch ng h h thng neo t gi thng lp lun rng t nht v mt l thuyt, s hin hu ca m c trn v sn t gi c th to ra tnh k lut trong chnh sch tin t v to c nim tin ca dn chng vo ng n i t. Ngoi ra, t gi thay i nh k s ph hp hn vi nhng thay i trong cc bin s v m. Tuy nhin, nhng lp lu n chng li h thng ny cng a ra nhng lp lun c a mnh; r nht l mi khi xut hin nhng c sc th khng th duy tr mi h thng neo tin t. Trong trng hp ny, cn cn thanh ton quc t s b tc ng mnh v do cn phi c nhng thay i mnh tng ng ti lp cn bng. Bn cnh , m t s nh kinh t cng cho rng nn t b h thng neo t gi theo USD (phn no v v th ng USD khng cn nh trc y) v nn chuyn sang iu hnh t gi theo m t r tin t, hn l neo theo mt ng ngo i t no . H thng t gi th n i c qu n l.Hay cn c gi l h thng t gi th ni khng hon ton, s d c gi l th n i bi v t gi c php dao ng hng ngy v khng c cc bin chnh thc. Nhng n li ging h thng c nh do NHTW c th can thip trnh ng ni t khng vt qua mt ngng no . Nhng l do khin NHTW phi can thip vo t gi thng l do nhng c sc kinh t hoc nhng xo trn tc ng n t gi buc NHTW ph i can thip; tuy nhin, i khi khng c nhng c sc kinh t r rt no nhng t gi vn c nhng thay i tc ng xu n n n kinh t th NHTW vn can thip lm du bt cc bin ng t gi; ngoi ra, cn c m t l do khc NHTW can thip vo t gi nhm
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thit lp mt bin t gi n nhm thc hin mt mc tiu chnh sch no . Tuy nhin, cc nh kinh t nghin cu v cho thy rng cc tc ng c a chnh ph vo t gi l khng lu di.Trong mt vi trng h p, NHTW b cc lc cung cu trn th trng ngoi hi p o.Mc d vy, cc NHTW vn ph i ho t ng da trn l thuyt l phi lm mt iu g cho tnh hnh gim xu i ch khng th khng lm g ht. Quan trng hn ht, chnh l NHTW s dng nhng phng php can thip g v can thip nh th no, s c trnh by r hn trong cc phn tip theo. 1.2.2. Tc ng ca chnh sch ti kha v tin t vo t gi Vi cc bin php can thip c a mnh th chnh ph tc ng nh hng ln t gi, tuy nhin, t gi cng c th v tnh b tc ng b i nhng thm h t trong ngn sch c a chnh ph. V d, khi thm ht ngn sch tng mnh, cc nh u t c th d bo chnh ph phi vay n nhiu. D bo ny s to p lc tng li sut. Li sut cao hn s hp dn u t nc ngoi vo chng khon trong nc, lm tng nhu cu i vi ng ni t v v vy lm tng gi ni t.Nghin cu thc nghim trong cu c bu c tng thng M nm 1984 ch ra kt qu ny. Thm h t ngn sch cao lm cho li sut USD tng ln v t thu ht mt dng v n quc t chy vo M , kt qu l USD ln gi. USD ln gi tc ng mnh n xut khu nng sn v khuyn khch ngi tiu dng M chuyn sang nhp nng sn nc ngoi. Mc d vy, nhng bng chng thc nghim sau cho kt qu ngc li.T cui nm 1985 n 1987, ng USD gim gi ngay c khi ngn sch M tip t c thm ht ln. M t s nghin cu cho rng m c vay n cao c a chnh ph lm cho cc nh u t nc ngoi d on li su t M s tng cao v v vy h bn tri phiu do lo s gi tri phiu s gim v li sut tng. Dng tin m cc nh u t nhn c t vic bn tri phiu M sau c chuyn sang cc th trng khc. Phn ng ny dn n s gim gi ca ng USD.Ngoi ra, thm ht ngn sch ln cn th hin m c thu su t nh trn ngi tiu dng v cc cng ty M thp hn mc thch hp.Mt s nh kinh t tin rng iu ny dn n chi tiu ca M qu cao, v mt ph n ca chi tiu ny dnh cho hng nc ngoi.Chi tiu cao cho hng ha nc ngoi to p lc lm h gi ng USD.T nn kinh t M, chng ta c nhiu bng ch ng khc nhau, liu rng thm ht ngn
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sch tc ng nh th no n t gi. Ph n ng ca th trng i vi thm h t ngn sch ph thu c phn nhiu vo mc ca thm ht l cao hay thp v vic s dng n c a chnh ph c hiu qu hay khng, in hnh gn y chnh l khng hong n cng Chu u nm 2010 vi ngi n l Hy Lp lm gim gi ng Euro rt ng k, iu ny s dn n ci kt l lm pht hoc chnh ph buc phi tuyn b v n . iu ny ph thuc rt ln vo ng tin m qu c gia ang n.Tn ti hai kch b n, m t l quc gia vay bng ni t s dn n tnh trng lm pht, hai l vay bng ngo i t s d n n ri ro v n rt ln.Tuy nhin, c hai kch b n ny u tc ng xu n t gi. Cc chnh sch tin t tc ng th no n t gi, chnh sch tin t y l ni lng tin t c th l thng qua v d phn ng ca FED vo thang 11 nm 2010. i ph vi tnh hnh suy thoi kinh t k t sau cuc khng hong kinh t ton cu, thng 11 nm 2010 FED tin hnh ni lng tin t b ng chng trnh ni lng nh lng ln 2. Qua FED bm vo nn kinh t 600 t USD b ng cch mua tri phiu chnh ph v cc kho n n khu vc t. ng thi ny nh m lm li sut c a ton n n kinh t gim i to iu kin phc hi n n kinh t. Tuy nhin, mc tri ca chnh sch ny l lm ng USD gim mnh, m ng USD yu i s lm dng vn t M chy sang cc nc khc. Tuy nhin, vo thi gian nhiu nh kinh t li c kin ngc li, chnh sch ni lng nh lng ny c kh nng lm mnh ng USD v vic ni lng nh lng ny ch gii hn t c m c tiu lm pht k v ng ca FED l 2%. V v th th trng s k vng rng iu ny s h tr thm cho s n nh ca h thng ti chnh. n lt mnh, s n nh ca th trng ti chnh s lm cho gi c phiu h p dn hn v thu ht dng vn chy vo nc M v lm cho ng USD m nh ln. Ch cn truyn ti thng tin ny vo cng chng, thm ch khng cn hnh ng (khng cn in tin hoc in vi s lng t hn thng bo), nn kinh t s dn phc hi v ng USD s m nh ln. Nhn chung tc ng c a thm ht ti kha v chnh sch tin t ln ga tr c a mt ng tin no ty thuc khng t vo vic th trng nh gi kh nng chuyn ti cc thng ip n cng chng v kh nng iu hnh ca nh hoch nh chnh sch.
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1.2.3. Can thip trc tip v can thip gin tip Can thip tr c tip vo t gi l cch thc m ngn hng trung ng tc ng trc tip trn th trng ngo i hi lm cho ng tin nc mnh tng hoc gim gi. V d nu mun cho ng n i t ln gi, ngn hng trung ng s can thip bng cch bm ng USD ra th trng mua li ng ni t, d n n kt qu l ng ni t s ln gi bn cnh l d tr ngoi h i s st gim. Ngc li, nu mun cho ng ni t mt gi, ngn hng trung ng tin hnh tung ng n i t ra th trng mua vo ng USD, kt qu l ng n i t s nh mun c a chnh ph v d tr ngoi hi cng s tng ln. Vic ngn hng trung ng can thip vo th trng ngoi h i m khng c bt c s iu ch nh no trong cung tin th gi l can thip khng v hiu ha. Theo , ngn hng trung ng mun cho ng ni t ln gi bng cch mua vo ng ni t th cung tin gim i. Ngc li,ci gi phi tr ca can thip lm cho ng ni t gim gi l cung tin tng ln. Trong trng hp th nht, cung tin gim i c th lm nh hng n chnh sch tng trng kinh t ca chnh ph v trong trng hp th hai, cung tin tng ln c th lm cho lm pht tng tc. vic can thip trn th trng ngoi hi khng lm nh hng n cc mc tiu chnh sch ca chnh ph , ngn hng trung ng tin hnh s dng phng thc can thip v hiu ha. Can thip v hiu ha c ngn hng trung ng tin hnh bng cch thc hin ng thi song song hai giao dch (1) trn th trng ngoi h i v (2) trn th trng m. Nu nh trong can thip khng v hiu ha, ngn hng trung ng ch thc hin duy nht can thip trn th trng ngoi hi (kt qu cung tin s thay i), th trong can thip v hiu ha ngn hng trung ng li thc hin can thip tip tc trn th trng m. Mt nh ngha r rang, cng nh can thip v hiu ha th no s c phn tch m t cch c th chng hai. Ngn hng trung ng cn c th can thip vo t gi b ng can thip gin tip, y l cch thc ngn hng th c hin thng qua cng c li sut. V d, mun ng ni t ln gi, ngn hng trung ng tng li su t thu ht dng vn chy vo ho c chuyn d ch cc khon tin g i t ng ngoi t sang ni t. Ngc li, nu mun cho ng ni t gim gi th ngn hng trung ng gim li sut. Ngoi ra vic can thip gin tip i vi t gi cn c thc hin thng qua cc hng ro
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c a chnh ph nh cc ro cn k thut. i khi, chnh ph cng c th p dng nhng hn ngch i vi hng nh p nhm mc ch gim nhu cu ca Chu u i vi cc ngo i t v to mt p lc tng gi trn ng EUR. Cu i cng, chnh ph c th gim hay min thu nh trn bt c thu nhp no t cc hot ng u t ngc ngoi ti Chu u tc ng lm tng hay gim nhu cu ca cc nh u t quc t ln ng EUR. V d nhin nhng can thip bng cc hng ro nh trn s b chnh ph cc nc tin hnh tr a.
1.3. KHI QUT V CHNH SCH V HIU HA. Theo cch hiu chung nht, chnh sch v hiu ha l s can thip trc tip c a chnh ph vo t gi, m bo rng vic tc ng ln th trng ngoi hi khng lm nh hng n cc m c tiu chnh sch khc ca chnh ph. Ngn hng trung ng tin hnh s d ng phng thc can thip v hiu ha, c tin hnh bng cch thc hin ng thi song song hai giao dch trn th trng ngoi h i v trn th trng m . Theo mt nghin cu ca hai tc gi Richard J.Herring v Richard C. Marston, khi c s thay i trong d tr ngoi hi tt yu s dn n s thay i trong d tr ca ngn hng trung ng, mun iu ny khng xy ra, ngn hng trung ng phi ngn chn c cc tc ng khc ca s thay i ny. Mt hnh ng v hiu ha c nh ngha l s n lc ca c h th ng nhm ngn chn s nh hng tin t do thay i d tr ngoi hi bi mt hnh ng ngc li trong vic n m gi nhng ti sn trong nc. Tuy nhin, mt iu chnh khc trong b ng cn i ca ngn hng trung ng c th p ng c s v hiu ha cc nh hng ca tin t do vic thay i d tr ngoi hi. V d, ngn hng phi i ph li s thay i trong d tr ngoi hi b ng cch iu chnh li s d (s thiu ht) bng cch gim (tng) cc khon chit kh u vay mn. V hiu ha trong ho t ng ngoi h i l m t hot ng c trng ca chnh sch tin t cc nc cng nghip. Th c vy, v hiu ha thng xuyn l mt hot ng kh n i ting cc ngn hng nh cc d tr lin bang FED, ngn hng Nh t Bn, v Bundesbank. Hn na, v hiu ha cc hot ng can thip c a cc
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quc gia khc c thc hin kh ph bin Php v c. Cc nghin cu thc nghim xc nh n cho cc quc gia ny, c lng v h s v hiu ha l ln hn 0 v nh hn 1 (nghin cu c a Mastropasqua et al. 1988). Herring v Marston (1977) a ra nhng quan im v s v hiu ha ca hot ng ngo i hi, h cho rng ho t ng v hiu ha c th to ra c m t mc c lp tin t cho m t qu c gia. Tuy nhin, n s km theo mt h u qu quan trng cho s n nh c a dng ch y d tr. Thm vo , trong phm phi h thng t gi hi oi c giao kt, vic can thip v hiu ha c th ngn chn c s trng ph t v cc chnh sch tin t trong nc v s lin kt li su t cn thit cho s n nh ca h thng. Matropasqua et al. (1988) ghi ch vn ny v nh n mnh vo chnh sch thnh vin EMS s tin cy qu m c vo can thip v hiu ha, thnh thong nhm mc tiu ng h cng nhc mt ch t gi c bit m thiu i s h tr t pha cc cng c tin t trong nc (nh li sut). V vy, mc thch hp ca can thip v hiu ha l m t vn rt quan trng cho cc nh lm chnh sch. Vn v mt chnh sch can thip ti u nht m c d nhn c rt nhiu s quan tm ch t nhng chuyn gia, tuy nhin, vn s ph hp ca chnh sch can thip v hiu ha th vn cn nhiu lo ngi. y l vn ch yu bi v h u ht cc m hnh l thuyt truyn thng u cho rng dng vn di chuyn hon ho v v vy can thip v hiu ha ngo i hi ri khi quc gia ch nh khng thay i v cng khng c hiu qu. Nh m t kt qu, m t lnh vc ch yu c a cc trung tm nghin cu can thip v hiu ha s lm nh hng th trng ngoi hi. C hai phng php ph bin, can thip v hiu ha ti hn c th t c hiu qu. Mt l phng php thng co, thng tin bt cn xng hay th trng khng hiu qu. Phng php ny chnh l vic m ngn hng trung ng nm gi mi thng tin c bn cng nh nhng tn hiu c a nn kinh t, tt c nhng thng tin ny s c cng chng bit n thng qua cc chnh sch hnh ng. Th hai l phng php danh mc, ni m ti sn thay th khng hon ho trn bnh din quc t, v can thip v hiu ha t hiu qu bi s thay i trong mi quan h cung ca cc ti sn .Bordo v
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Schwartz (1991), Dominguez v Frankel (1994) cung cp m t bn tm tt v vn ny v m i lin h c a cc nghin cu.Mt nhm nghin cu khc, thng da trn phng php danh mc, chp nh n bin v hiu ha v i xc nh m c ti u c a v hiu ha v can thip ngo i h i.Mt s nghin cu ca Benavie v Froyen (1992), Natividad v Stone (1990), Kenen (1982), Marston (1980). Mt nghin cu khc ca Robert Lavigne (2008) li nh ngha v hiu ha l h p thu nhng hiu ng t vic cung cp ng ni t mua vo ngoi t, nhm ngn chn nhng tc ng c a li sut trong nc v lm pht. Trn y l nhng tm hiu chung nh t v mt chnh sch v hiu ha v s quan tm ca ngn hng trung ng ti cc chnh sch ny. cc ph n tip theo s i vo phn tch r hn cc c im c a chnh sch v hiu ha, ng thi i su phn tch cc chi ph v li ch m chnh sch ny em n, bn cnh s tm hiu su hn v tch ly d tr v phn ng v hiu ha. B ba bt kh thi m rng cng vi xu hng thay i cu trc trong b ba bt kh thi trong thi gian sp ti, cho ta thy tm quan trng ca vic qun l t gi. Nht l, cc quc gia hin nay ang gia nhp vo nn kinh t hi nhp su, theo ui chnh sch t gi gia c nh v th ni, cn phi qun l tt hn h thng t gi m mnh theo ui. Ngoi ra xu hng ca cu trc b ba bt kh thi cho ta thy m i lin quan vi d tr ngo i hi ngy cng ch t ch. Trong chng mt tng ni n chnh sch can thip v hiu ha, vy chnh sch ny s gy ra nhng hiu ng nh th no, o lng ra sao, v m t d tr ngoi hi nh th no s h tr cho vic thc hin chnh sch v hiu ha, trong chng sau s phn tch c th.
18
CHNG II: CHNH SCH V HIU HA V O LNG PHN NG V HIU HA
2.1 TNG QUAN V V HIU HA. 2.1.1. Li ch v chi ph ca chnh sch v hiu ha Tng cng hi nhp ti chnh l m t kt qu tt yu ca h i nhp thng mi su hn cc nc ang pht trin. Mt mt khc ca tng cng hi nhp ti chnh l tin gn hn vi s bt n ti chnh. Nhng quan ngi v s bt n ti chnh v tin t lm tng s b sung gia quy m tch ly d tr v v hiu ha: Quy m m mi nc c th tip tc tch ly d tr v v hiu ha, v s n nh c a chnh sch h n hp ny ph thuc vo cc li ch v chi ph lin quan. Trong khi cung cp cc dch v hu ch, vic qun l d tr ngoi hi li b gii h n nghim trng.u tin, l chi ph c h i trc tip ca d tr lin quan ti nng sut bin c a vn cng v chi ph vay vn bn ngoi. Th hai, s v hiu ho c chi ph ti chnh lin quan ti s khc bit gia s chi tr nhng khon n ngn hn NHTW pht hnh v hiu ha thanh khon trong nc ho c chi ph c hi t li nhun thu c trn ti sn ni a, chng hn nh tri phiu chnh ph, c bn cho t nhn v thu c t ti sn d tr ngo i hi. Hnh 5 m t gn ng cc chi ph ti chnh ca s v hiu ho trong trng hp caTrung Quc, c a ra bi s khc bit v li sut gia tn phiu ca Ngn hng Nhn DnTrung Qu c v Kho Bc M (chnh lch l s khc bit theo chiu dc gia hai ng). Quan st cho thy s chnh lch li sut l kh quan, nhng co li trong nm 2003 v 2004,v thc s bin ng tiu cc trong nm 2005, tc Trung Quc sau kim c tintrn s d t cc hot ng v hiu ho ca nc ny. Vic thu hp cc khc bit ny trong nhng qu gn y (n thc s bin ng tch cc mt ln na vo thng 12 nm 2007); tuy nhin, hm rng chi ph v hiu ha ca Trung Quc tng ln. Hnh 6 m t s
19
thay i trong chnh lch li su t ca nm quc gia Chu t thng 6 nm 2004 v thng 5 nm 2007, cho th y rng chi ph v hiu ho gia tng tt c cc nc ny. S v hiu ho v tch lu d tr ngo i h i cng lin quan n chi ph r i ro o c v m v vi m. Cc ri ro o c v m pht sinh khi tch lu d tr khuyn khch c hi chi tiu trong ch c trng bi s bt n chnh tr v gim st hn ch, nghin cu c a Aizenman v Marion, nm 2004, cho th y rng cc nc c trng bi s bt n v phn ho chnh tr ln la chn vic d tr ngoi hi t hn. Cc ri ro o c vi m pht sinh khi tch lu d tr tr cp r i ro, nghin cu Levy-Yeyati (2008),yu cu d tr bt bu c c tnh thanh khon trong cc ngn hng cng nh mt iu kho n nh ch vic chuyn i trc.Cui cng, tch ly d tr v v hiu ho c th kch thch nhng bin dng khu vc ti chnh.V d, vic s dng nhiu hn cc cng c phi th trng (nh yu cu d tr bt buc, kim sot tn dng trc tip) c th cn tr s pht trin ca th trng tri phiu doanh nghip v thay i hnh vi ca cc ngn hng.Ngoi ra n c th cn tr s pht trin ti chnh bng cch phn loi th trng n cng thng qua vic pht hnh n NHTW thay v chng khon Kho bc. Hnh 5: Nhng t l li sut trong 1 nm c a NHND Trung Quc v Kho Bc M (%).
Ngun: Sterilization, Monetary Policy, and Global Financial Intergration, Aizenma v Glick (2009).
20
Hnh 6: Chch lch li sut trong 1 nm c a tri phiu 5 qu c gia Chu so vi tri phiu Kho Bc M (%).
Ngun: Sterilization, Monetary Policy, and Global Financial Intergration, Aizenma v Glick (2009)
Tho lun ny cho th y quy m m mt quc gia c th tip t c v hiu ha cng ph thuc vo mc m n sn sng chu ng kim ch ti chnh v nhng bin dng khc ln nn kinh t.Bn cnh , nhm tc gi th y rng chnh sch khuyn khch kim ch ti chnh trong nc cng gim chi ph v hiu ho. iu ny cho thy rng cc nc c kh nng v sn sng tham gia vo v hiu ho ti chnh m c ln hn s c th duy tr cu trc chnh sch tch lu d tr v v hiu ha trong mt thi gian di hn. S n nh ca chnh sch hn hp hin nay th ph c tp hn do mc tnh ton chi ph - li ch ca mi nc ph thuc vo cc hnh ng c a cc nc khc. Cc qu c gia c chin lc pht trin nh hng xu t khu c th chn tham gia tch ly d tr cnh tranh ci thin v duy tr kh nng cnh tranh c a h trong vic xut kh u sang cc nc cng nghip. Vic duy tr can thip v hiu ha c th ko di trong bao lu, khng th xc nh c m t gii hn r rng, n c th ko di n khi cc quc gia cn c th v hiu ha vic mua ngo i t b ng cch ngn chn nhng tc ng c a h thng tin t c a h. V chnh l chi ph v hiu ha. V pha i ngo i, hiu ng bp mo do duy tr vic ph gi t gi tht n bao gm c vic tr cp ngm
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cho xu t khu ln vic m rng kim sot vn s lm tng mi e da tr a v vic b o h trong nc. Nhng tt c sc p trong nc bao gm chi ph ti chnh c a s v hiu ha v s bp mo th trng c th a vo h thng ti chnh trong nc. D nhin, n s bao gm c mt chi ph c hi kh ng k cng vi m t s tch ly d tr v tt hn gia tn dng ngun ca cc th trng kinh t mi n i so vi vic nm gi nhng ti sn ngoi vi t sut th p (Rodrirk 2006, Summers 2006). Chi ph ti chnh c a can thip v hiu ha pht sinh l do s khc bit gia li su t phi tr cho tri phiu v hiu ha h pht hnh v khon li h nh n li t ti sn d tr ca h a vo. Theo thc nghim, s khc bit ny cc th trng mi ni l kh r rang, b i v tri phiu tron g nc thng c li sut cao hn nhng ti sn d tr ph bin khc. Bng 1 cho th y s khc bit gia cc li sut danh ngh a trn tri phiu mt nm trong nc so vi giy t c gi ca M cc quc gia nm d tr hng u nm 2006, n cung cp mt c lng v chi ph ti chnh, mc d n ch l tng trng cho nhiu loi li sut trn cc cng c n trong nc v s khc bit v kt cu tin t cng nh s hon thin cu trc cc ti sn nc ngoi ca ngn hng trung ng.
B ng 1: Chnh lch v li sut v gi tr danh ngha nm 2006: Chnh lch TSSL China SaudiArabia SouthKorea India Russia -1.42% 0.00% -0.66% +1.25% -1.32% Tng tr ngha +3.2% 0% +6.7% +1.8% +8.7% Singapore Malaysia Thailand HongKong Indonesia gi danh Chnh lch TSSL -1.80% -1.52% -0.11% -1.46% +4.43% Tng tr ngha +4.2% +3.0% +6.0% +0% +6.0% gi danh
Ngun: InternationalFinancialStatistics,BankofCanadacalculations.
S chnh lch trong li sut trn cc khon n ngn hn ca chnh ph hu ht cc qu c gia l khng r rng, iu ny c ngh a l li su t ngn h n M cao hn a s cc th trng kinh t mi ni. iu ny gi rng s khc nhau gia
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phn li nhn v d a trn cc ti sn d tr v chi ph ca cc cng c v hiu ha l rt th p, v cc hot ng v hiu ha cn pht trin lin tc khng t ra nhiu vn v ti chnh cho nhng nh lm chnh sch. Tuy nhin, m t s quc gia nh n v Indonesia vn phi gnh ch u nhng chi ph ti chnh kh ng k. Chi ph ti chnh c k v ng s tng ln trong nhn nm ti, v hai l do. Th nht, nu li sut th trng m i n i tr v mc trong lch s th chi ph ti chnh v hiu ha k vng tng trn tt c cc nn kinh t mi ni nh li su t cao nht v tri phiu trong nc cng s tng. Th hai l vic ko di v hiu ha s dn n li sut th c ni a tng dn n vic khu vc t s n m vai tr thc y s tng trng ca tri phiu v hiu ha ca chnh ph. Hnh 7 v 8 di y cho thy tch ly v hiu ha ang tng khu v c n n kinh t mi ni ln nht Chu nh m t ph n c a tn dng ni a v kh i tin M2. Cng m t mu hnh c quan st khi mu chung l GDP hay cc ch ng khon n. Tm li, hu ht cc thc o kch c th trng v su ti chnh u cho thy v hiu ha tip t c l mt phn quan trng ca cc hot ng ti chnh th trng mi ni chu . Hnh 7: Tch ly d tr ca m t vi qu c gia Chu (% trn tn dng n i a):
Ngun:
SterilizedIntervention
in
Emerging-Market,
Economies:Trends,
Costs,andRisks, Robert Lavigne.
Hnh 8: Cc quc gia c chn, tch ly d tr ca mt vi quc gia Chu (% trn khi tin M2)
23
Ngun: SterilizedIntervention in Emerging-Market, Economies: Trends, Costs, and Risks, Robert Lavigne.
Rt kh xc nh c im m tch ly v hiu ha bt u chuyn sang thnh sc p ln li su t hay gp phn vo s b t n ca h thng ti chnh. Kinh nghim t chu v chu M Latinh nhng nm 90 a ra m t t s c trung cho m i quc gia, l sc ch u ng ca m t h thng ti chnh ph i gnh vc vic tng ln ca cc ho t ng v hiu ha ph thuc vo rt nhiu yu t phc tp nh s trong sch ca h thng th trng ti chnh, trnh pht trin ca h thng ti chnh, s tn nhim ca ngn hng trung ng. Nhng mc l m t lo i t s rt kh a ra nhng gii thch, vic tng u ca hu ht cc qu c gia chu l ng ch , v s ph hp th p vi vic tng cc chi ph tim tng c a cc hot ng v hiu ha. Nh ng thay i ng k trong mc v hiu ho c a nhiu th trng m i ni ph hp vi cu trc l thuyt b ba bt kh thi m i, trong th trng mi n i tham gia tch ly d tr ngo i hi ng thi tm cch duy tr mt mc t ch v tin t. 2.1.2. Tch ly d tr v phn ng v hiu ha Tch ly d tr ko theo nhng h qu v tin t. Khi NHTW mua cc ti sn d tr ngo i hi, phi quyt nh rng c nn ti tr b ng cch gi tng lng tin d tr c s, t gy ran guy c lm pht, hay gim i ti sn rng ni a khin v hiu ha cc tc ng ln d tr tin c s trong nc.Cc NHTW c th b p nh hng tch ly d tr ln lng tin c s theo mt s cch sau. Bn cc cng
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c th trng, chng hn nh tri phiu chnh ph hoc hi phiu c a cc NHTW hoc bng cc nghip v hon i hoc mua li. Nu l nghip v hon i, NHTW ng mua hp ng t gi k hn, trong khi , vi nghip v mua li, NHTW s bn i cc ch ng t c gi vi tha thu n s mua chng li trong tng lai. Khi th trng suy gim, m t s nh ch c trch tin vo nhng cng c phi th trng, nh l chuyn tin k qu c a chnh ph v nhng c quan ti chnh cng t nhng ngn hng thng mi vo NHTW hay bn d tr ngo i hi cho chnh ph c th gip chnh ph gim ti a mc n t bn ngoi. Mt nghin cu ca Aizenman v Reuven Glick (2009) cung cp m t biu (hnh 9), giai on t nm 1985 n 2007, th hin s thay i c a ti sn d tr ngoi hi (FR) v ti sn tn d ng rng (DC) trong mi 4 qu NHTW, c v da trn t l d tr tin (RM) vo m i thi k 4 qu ca Trung Quc, Hn Quc, v Thi Lan. D tr ngoi hi rng c xc nh bng cch da trn gi tr ng la nh danh ca d tr ngoi hi v iu chnh theo s thay i ca t gi h i oi, a ra mt thang o gi tr iu ch nh ca nh ng thay i trong d tr ngoi hi so vi ng tin ni a. Ti sn tn dng ni a rng bng tin d tr c s tr cho d tr ngo i hi rng. Nhng gi tr dng ca tch ly d tr ngoi h i rng trong NHTW tng ng vi dng thu d tr ngoi h i. Gi tr m ca tn dng ni a rng tng ng vi cc m c st gim ti sn ni a c nm gi b i nhng nh iu hnh tin t. Hnh 9 : D tr ngoi hi rng v s thay i tn dng ni a rng ca NHTW nhng nc chu c chn (nh ng thay i trong 4 qu c lin h ti tin d tr cu i 4 qu, tnh theo phn trm).
25
Ngun: Sterilization, Monetary Policy, and Global Financial Intergration, Aizenma v Glick (2009).
Trng h p Trung Quc, nh ng dng thu tin d tr (tc l FR/RM dng) gy ra tc ng tin t: quy m v hiu ha ca Trung Qu c b gii hn mt cch tng i cho ti nhng nm 2000; tc ng ny c tng ln m t cch tng th b ng cc tc nhn kch thch tin t c c t vic tng ln ti sn ni a c a NHTW (c ngh a l DC/RM dng). Tuy nhin, t gia nm 2002, Trung Quc tch ly c kinh nghim gia tng cc dng tu d tr ngo i hi, nhng dng thu ny t l nghch vi vic n m gi cc ti sn ni a ca NHTW, trc ht thng qua vic mua bn hi phiu ca ngn hng Nhn Dn Trung Qu c, k c nhng dng thu d tr c v hiu ha. S gia tng quy m v hiu ha u nhng nm 2000 n cha mt kh nng tng ln vt b c hnh vi v hiu ha ca Trung Quc. V iu ny l ng, c minh ha trong biu 10, nhng nm gn y ng ch l nm 2007 dng thu d tr ngoi hi ca Trung Quc l rt ln. t bit dng thu ny c xu hng tng cao qu 2 v qu 3 ca nm va rt thp vo qu u tin.
26
Hnh 10: D tr ngo i hi rng v s thay i tn d ng ni a rng ca NHTW ca Trung Quc (nhng thay i trong 4 qu c lin h ti tin d tr cu i 4 qu, tnh theo phn trm, t qu 2/2000 n h t qu 1/2010).
Hn Qu c v Thi Lan cng c nhng dng thu d tr ng k sau cuc khng hong Chu . Hn Qu c, dng thu d tr tng ln trong nm 1999. Tuy nhin, nm 2000, li gim xung mt mc no , v sau li tng trng li trong giai on 2002-2005 xung quanh khong th i gian m Trung Quc bt u tng t l d tr. Nh ng nh iu hnh tin t Hn Qu c phn ng li tc ng tin t ca cc dng thu bng cch v hiu ha. Thi Lan cng xut hin mt m hnh tng t . Aizenman v Glick (2008b) cho thy kt qu ca nhng nc c chn khc trong khu vc chu (Singapore, Malaysia, n ) v chu M Latinh (Argentina, Brazil, v Mexico giai on m u cho Argentina v Brazil bt u qu 1/1992 cho Argentina v qu 2/1995 cho Brazil). Trong trng h p ca Argentina, m t dng thu d tr khim tn ni ln nm 2003 sau cuc khng hong ti chnh c a chnh mnh 2001-2002; tuy nhin, nhng dng thu ny khng b v hiu ha cho ti cui nm 2004 khi nhng thay i trong ti sn tn dng ni a do NHTW nm gi gim xung ti mc m. i vi Brazil, dng thu d tr b t u gia tng vo na cui nm 2004, ko theo l vic v hiu ha dng tin ny. M hnh tng t dng thu d tr v cn bng mc st gim trong ti sn ni a do NHTW nm gi cng xy ra Mexico vo nm 1996 sau nhng thit h i ca khng ho ng ng peso vo 1995-1996.
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2.2 C L NG M HNH PHN NG V HIU HA, TR NG HP TRUNG QUC. 2.2.1. M t d liu v m hnh s dng V nh ng thnh cng, cng nh mc v hiu ha Trung Qu c th c hin l mt in hnh. Do , ti chn la cc d liu ca Trung Quc. Vi vic s dng m hnh hi quy theo phng php bnh phng b nht (OLS), s ph n ng v hiu ha thay i thng qua bin ph thuc l s thay i ca ti sn tn dng ni a rng da trn lng tin d tr (DC/RM), chu s tc ng ca bin c lp l s thay i ca d tr ngo i hi d a trn lng tin d tr (FR/RM), nhn vo s liu bng A phn ph lc, ta thy qua cc nm d tr ngo i hi ca Trung Quc c tng dn v tng c bit n tng vo nhng nm 2004 v nm 2006, y l du hiu r rng cho vic thc hin v hiu ha. Ngoi ra, kinh nghim ca cc nghin cu trc cn cho thy ngoi chu s tc ng ca bin FR/RM th phn ng v hiu ha cn chu nh hng t nhng thay i trong GDP v nhng thay i trong GDP s tc ng n nhng khon tit kim trong nc t dn n nhng thay i trong ti sn tn dng ni a rng (DC).Cng trong bng ph lc A ta thy, xu hng ca GDP v DC l cng chiu nhau. 2.2.2. c lng mc ph n ng v hiu ha. M hnh c c lng da trn m hnh ca hai tc gi Aizenman v Glick vi vic cp nh p s liu m i nh t gm 50 k quan st ca Trung Quc, t qu 2 nm 2000 n qu 1 nm 2010. M hnh c lng ny ch n gin l m t m hnh hi quy a bin v s thay i ti sn rng ni a da trn s thay i ti sn rng nc ngoi v a vo bng cn b ng, ni m s thay i c o lng qua 4 qu v da trn t l d tr tin vo cui mi 4 qu. Ngoi ra, m hnh cn xem xt thm t l tng trng GDP danh ngha ca 4 qu kim sot nhng bin gii thch khc. DC/RM = + 0 * FR/RM + 1 * GDP (1) Cc bin trn c o lng nh sau,
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FR/RM l lng d tr ngo i h i rng c tnh trn c s tin d tr. Lng d tr ngo i hi rng c nh lng nh sau: FR = St * (FRt FRt-1) (FLt FLt-1) Trong : Stl t gi Yuan/$ FRt, FRt-1 l d tr ngo i hi c tnh b ng $ FLt, FLt-1 l biu th trch nhim ca ngn hng Nhn Dn Trung Quc, c tnh bng n i t. DC/RM l lng tn dng ni a rng c tnh trn c s tin d tr, c xc nh nh sau: DC = RM -FR. GDP l s thay i trong GDP. c tnh cc h s v hiu ha () vi m hnh nh lng phng php bnh ph ng b nht (OLS) s d ng cho mu 40 qu nh ni trn. Trong nhng trng hp ny, mt h s n nht, tc l 0 = -1, trn bin FR/RM th hin s v hiu ha hon ton khi c s thay i trong d tr, trong khi 0 = 0, c ngh a l khng c s v hiu ha. Gi tr ca h s v hiu ha gia cc cp trong kho ng 1< 0< 0, cho th y s v hiu ha tng ph n.Trong khi , GDP c hiu l t l tng trng GDP danh ngha.Gi s cu tin n nh, iu ny hiu l vic m rng DC b i NHTW ti m t t l tng trng ca GDP s p ng s gia tng ca cu tin m khng cn phi tch ly d tr ngoi hi. Nh vy, vic v hiu ha hon ton (0 =-1) ng l NHTW cho php tn dng ni a thch nghi vi cu tin ngy cng cao do GDP tng trng, nhng ngn chn bt k s m rng tn dng ni a no do tch ly d tr ngo i hi. Khi gi tr c a v hiu ha nh hn -1 c th i din cho mt chnh sch tht cht hn, do nhng lo lng v lm pht. Trong trng hp ny vic tch ly mt n v d tr ngo i hi s lm gim nhiu hn mt n v ti sn ni a c nm gi bi NHTW, do gim lng tin c s. Tng t nh vy, khi gi tr ca vic v hiu ha ln hn 0 c th cho thy m t chnh sch tin t m rng, do nh ng lo ngi v m t cuc khng hong tn dng hoc b nh hng bi m t cu c khng hong c h thng. Tuy nhin, phi ch rng h s v hiu ha ch l mt tham s xc nh lp trng ca chnh sch tin t, s hiu bit
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y v chnh sch tin t i h i thng tin v nhng thay i trong yu cu d tr ngn hng t nhn v ngn hng quc doanh, gim gi cc hot ng. Hnh 11: H s v hiu ha chy hi quy 40 qu, qu 2/2000 n qu 1/2010 ca Trung Quc.
.15 .10 .05 .00 -.05 -.10 -.15 2000 2002 2004 2006 2008 2010
_DC_RM01
_FR_RM01
Ta th y r h n t s v hiu ha v d tr ngoi h i l nghch bin nhau. Trn biu hi quy ny ta thy rng, h s v hiu ha ca Trung Quc c xu hng tng t qu u tin ca quan st, qu 1 nm 2000 v t bit trong nm 2006 tng mnh nht cho thy s biu hin r trong hnh vi. Biu cng cho thy rng hnh vi v hiu ha ca Trung Qu c bt u b o chiu vo qu 4/2006. y l mt bng chng cho thy s suy gim trong mc v hiu ha ca Trung Quc c th do hai kh nng. Th nh t, tch ly d tr ngoi hi ca Trung Quc trong thi gian gn y c th c phng i n mc cc s liu bo co cha c iu chnh c nh ng ti khon chuyn i v chuyn d ch ca ti sn d tr ngoi hi ti qu ti sn nh nc ca Trung Qu c v ti ngn hng nh nc. Th hai, Trung Quc th c s chm ti gii hn ca n trong kh nng v hiu ha nhng dng thu d tr khng l.
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Bng 2: Kt qu h i quy tn dng ni a rng c a NHTW theo d tr ngoi hi rng v c iu chnh theo s thay i trong GDP. Thng k F kim nh gi thuyt vi mc ngh a 1%, 10% c nh du tng ng vi *, **, kim nh hai bn. DC/RM01 = 1 * FR/RM +2 * GDP + C Variable FR/RM GDP C R-squared Adjusted R-squared Period Sample Included observations Coefficient -0.6732 (-3.105843)* 0.0345 (1.877098)*** 0.0146 -1.0631 0.5737 0.5386 Qu 1/1999 - Qu 3/2011 50
Hm hi quy cho ra kt qu nh trn bng 2, h s trn bin dng thu d tr ngoi hi rng v tn dung ni a c tng quan m, vi 1 = -0.6732 mc ngha 1%, kt qu ny cho ta thy m t s nh hng ln t vic thay i trong d tr ngoi h i s tc ng vo hiu qu c a v hiu ha, mt s thay i trong FR s tc dn n s thay i nghch chiu 67,32% trong DC. iu ny c hiu rng nhng dng thu b v hiu ha bi s ct gim ti sn ni a c a NHTW v t s v hiu ha gia tng, ngha l s thay i trong vic nm gi ti sn ni a ngy cng gim nhiu hn. Ngoi ra 2 = 0.0345 m c ngha l 10%, cho thy s thay i trong GDP v ti sn tn dng ni a rng l cng chiu vi nhau, m c d nh hng ny l khng ln. 2.3 CC YU T KHC TC NG N S V HIU HA.
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Kinh nghim t nhng bi nghin cu trc cn cho thy yu t lm pht (INFL) v s thay i ti khon vng lai (CA) cng nh hng n mc v hiu ha. Trong nghin cu ca Aizenma v Glick (2008), hai tc gi cng chy m t m hnh v cho ra c kt qu.Kt qu cho thy rng yu t lm pht t nhng thay i trong GDP thc da trn c s qun l v vic nm gi ti sn n i a ca NHTW c tc ng ti s v hiu ha ca cc dng vn c ti tr t bn ngoi. V kt qu ny cn ch ra rng nhng nc ang pht trin ang tng dn mc v hiu ha trong nhng nm gn y c th vng m nh hn trong vic khc ph c sc p ca lm pht bng nhng bin php trc tip, kt qu ny cng trng khp vi nghin cu ca Nirvikar Singh v T.N. Snirivasan (2004). p dng m hnh cho Trung Quc c c kt qu ph hp vi hai nghin cu trn. Bng 3:Bng hi quy vi vic thm bin ph lm pht INFL cho Trung Quc. Thng k F kim nh gi thuyt vi mc ngha 1%, 10% c nh du tng ng vi *, **, kim nh hai bn. DC/RM01 = 1 * FR/RM +2 * GDP +3 * INFL + C Variable FR/RM GDP INFL C R-squared Adjusted R-squared Period Sample Included observations Coefficient -0.813003 (-3.50167)* 0.047928 (1.204629)** 0.004755 (1.538869)** 0.012645 -0.929053 0.614192 0.562944 Qu 1/1999 - Qu 3/2011 50
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Kt qu hi quy cho thy h s 3 = 0.004755 m c ngha 10%, tng t nh s thay i trong GDP, ch s INFL c tc ng khng ln vi m c phn ng v hiu ha, tuy nhin vic thm bin ny lm cho m hnh ng tin cy hn, theo ch s R2 v R2 iu chnh u tng. Mt s nghin cu khc cho th y tnh hnh cuc khng hong vo nhng nm u 90 c a cc nn kinh t m i n i, cc nh lm chnh sch n lc h n ch nhng dng vn. H c gng v hiu ha cc dng vn thng qua vic bn cc tri phiu ni a trn th trng m v tng yu cu d tr . Nh ng can thip v hiu ha rt ln, mt v d in hnh trong giai on ny l Chile, vic v hiu ha cc can thip t gi lm tng t s d tr quc t v t c s tin l 3.5 nm 1990 ln n 6.0 nm 1993. y cng l mt mu hnh c lp li kh nhiu nc c nn kinh t mi ni vo nhng nm 90 khi m cc dng v n bt u pht trin ra khp th gii.V hiu ha ngy cng tr thnh mt chnh sch ph bin b c nht nhm tc ng ln dng vn vo, n c nhn xt rng th c hin t c mc tiu th c rt nhiu yu t phc tp cn phi quan tm. Mi quan tm c t ra trn vic thc hin chnh sch nhng li khng hiu qu, t dn n nhng hiu ng khng mong i, chnh sch thu ht c ngun vn vo c bit l nhng dng vn ngn h n dn n vic m rng hn l thu hp cc nhu cu tng th. iu ny c gii thch theo m hnh Mundell-Fleming (MF), hng ti mt vin cnh l cc nh iu hnh chnh sch c m t t gi m c tiu v c gng m rng lu chuyn vn. Theo MF (Mundell 1962), hiu qu c a v hiu ha ph thuc vo h thng t gi m quc gia theo u i v gim s can thip vo th trng ti chnh quc t. Trong m t trng hp xu nh t, h thng t gi l c nh v quc gia c nhiu phng th c can thip vo th trng ti chnh quc t, trong trng h p ny, v hiu ha s c tho g bi khu vc t do nhng dng vn vo b li v li sut khng thay i. Li su t n m gi bn ngoi ln li sut ni a c xc nh bng li sut quc t. Chi ph dng vn cng khng thay i do mt hnh ng ca NHTW. Theo , m hnh ca MF c kh nng gii thch c vic ti sao v hiu ha khng hiu qu, nhng cch gii thch my mc ny li khng ph hp cho cc nc c nn kinh t m i n i. V d Chile, theo MF th do NHTW khng c kh nng thu hp trng thi tin t c a mnh v sau dn n vic t gi peso tng.
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Nhng, m t trong nhng bng chng tht s a ra th nguyn nhn dn n s tng t gi ny l do vic thc hin v hiu ha, v vn n m ch c s lin kt gia tng t gi, tc ng gi ti sn v tc ng u t thc. Trong bi nghin cu c a Ricardo J.Caballero v Arvind Krishnamurthy (2001), h ch n im ny v n lc tm li gii thch hon h o nh t. H a ra m t nn tng mi v s khng hiu qu ca chnh sch v hiu ha cn phi hiu theo m t hnh th c khc chnh l kt qu ngc li s mong i. Trong nghin c u ny h a ra hai ngh l khi quan st. Th nht, phn tch mt cch y nht v v hiu ha cn phi nhn vo hiu qu chi ph bng la ch khng ch c chi ph b ng n i t.Th hai l n u cc cng c c s d ng khi can thip v hiu ha l khng lng2, cn phi nm c t gi k vng tng lai v chi ph bng la ca vn c th thp hn vic tng ln bi v hiu ha. Tip theo, phi k n tc ng c a thnh phn dng thu trong cn cn thanh ton. Quy m m NHTW qu n l vic nm gi ti sn ni a ph thu c vo dng thu d tr kt h p vi dng tin t cn cn vng lai, kim ch ng bng cch chy m hnh cho kt qu cc h s u c ngha. Bng 4 : Bng kt qu h i quy vi vic thm bin CA3 ca cc qu c gia Trung Quc.Thng k F kim nh gi thuyt vi m c ngha 1%, 5%, 10% c nh du tng ng vi *, **, *** kim nh hai bn.
DC/RM01 = 1 * FR/RM +2 * GDP +3 * INFL + 4 * CA + C (3) Variable FR/RM GDP INFL CA C
2 3
Coefficient -0.773036 (-3.481561)* 0.041388 (1.088039)*** 0.00515 (1.745011)*** -0.026045 (-2.364339)** 0.010689
D chuyn thnh tin Thng d ti khon vng lai tch ly
34
-0.821902 R-squared Adjusted R-squared Period Sample Included observations 0.701022 0.638891 Qu 1/1999 - Qu 3/2011 50
4 = -0.026045, mc ngh a 10% iu ny c ngh a l thay i trong ti khon vng lai tc ng ngc chiu ln ti sn tn dng ni a rng. Ni m t cch khc l s v hiu ha ch u tc ng t s thay i trong ti kho n vng lai mc khong 2.6%. Cui cng, cc qu c gia c n n kinh t mi n i l nhng i din tiu biu cho nhng th trng ti chnh cn ch a pht trin v lin kt vn cn lng lo vi th trng ti chnh th gii, khng hiu qu v hiu qu i ngc li s mong mun c nhn bit nh l mt kh nng thc c ph n nh nh l mt vn v cu trc c a h thng t gi hay do h thng tin t. Ngoi ra, khi cn nhc vic thc m t chnh sch v hiu ha cn phi quan tm n cc chi ph thc hin v hiu ha v n s dn n nhng p lc trong tng lai c kh nng khng th tip tc th c hin c chng trnh nguyn nhn l do nhng gnh n ng n khng hp l m c cao do v hiu ha pht sinh. 2.4 BI HC T TRUNG QU C Chn Trung Quc a ra bi hc v quc gia ny c bit n vi lng d tr khng l t nm 2001, khi chy m hnh cho h s bin s thay i d tr ngoi h i l m, h s ny c ngh a, chng t rng quc gia ny c th c hin chnh sch v hiu ha, kt qu ny cng ph hp vi kt qu c a Aizenma v Glick (2009) chy cc h s cho cc nc c nn kinh t mi n i4. Phn tch nhng iu kin thc hin, hiu qu t c v chi ph m phi b ra trn phng din nh tnh. T u nm 2000, Trung Quc bt u c nhng dng thu ln do xut khu pht trin mnh v do u c tng. Quc gia ny phi i mt vi vic thng d kp trn ti khon vn v ti khon vng lai. Ti khon vng lai b t u dng t nhng
4
Cc h s ny c hai tc gi chy trong giai on qu 1 nm 1987 n qu 2 nm 2007, 1 =-0.786
35
nm 90 v ngy cng tr thnh trng yu vo nm 2005, buc Trung Quc phi duy tr c mc thay i nh cho h thng t gi trong mt gii hn thi gian, h phi duy tr vic mua vo ngoi t ngn chn ni t tng gi. Kt qu l h tch ly c mt d tr ngoi hi mt tc chng mt. H vt qua mt Nht Bn vo nm 2006 v tr thnh quc gia n m gi d tr ngoi h i ln nht th gii hn 2,65 nghn t USD vo thng 9 nm 2010. D tr ngoi hi tng gn nh lin tc m i thng t nm 2004, ngoi tr mt thng ca nm 2008, mt thng ca nm 2009 v thng 5 nm 2010. Mt vi ngi cng cho rng c mt lng nh ngo i hi chy ra do tc ng cu c khng hong chung. Mt d tr ngoi h i ln cng c hai mt c a n.Mt tt ca n l vi m t lng d tr ln cho php duy tr c t gi n nh cng nh kh nng ng u vi ngha v n bn ngoi. N c th l mt bc m to nn c sc cho cn cn thng mi qu c gia v ti khon vn. Tuy nhin, n cng c mt tc hi chnh l vic tng d tr ngoi h i s dn n vic tch ly cc ti sn nc ngoi, tr thnh mt b phn cu thnh ca tin.V d , nu NHTW quyt nh mua ngoi t t nh xu t khu a phng, d nhin NHTW phi tr li cho nh xut khu y m t lng n i t. Nh xut khu s dng lng tin mang tr cho NHTM hay l k gi vo NHTM. iu ny s lm tng d tr trong NHTM ln trn m c d tr bt buc v cho php NHTM c quyn m rng vic cho vay. Kt qu dn n, khi nhn vo bng cn i c a NHTW lc ny, ta thy s tng ln trong ti sn nc ngoi ln d tr tin trn phng din trch nhim php l. Tng ln trong ti sn nc ngoi, cc iu kin khc khng thay i, do m rng tin t v v vy c m t p lc lm pht ln nn kinh t, kt qu l s tng ln trong t gi hi oi thc. T nhng l do , tch ly d tr t ra mt thch thc cho vic qun l v m trong nc. Nhiu quc gia ng cng tng tri qua mt vn tng t t nhng 80, tuy nhin nguyn nhn do cc ngun vn vo t khu vc t. b tr cho hiu ng m rng do vic tch ly d tr tng ln, NHTW thc hin v hiu ha ti sn nc ngoi b ng mt hnh ng ngc li trn ti sn n i a. Mc d, n lc th c hin cc hot ng v hiu ha trn ti sn nc ngoi nhng Trung Quc vn cha t c cc kt qu mong mun. Trung Quc la chn kt hp 2 cnh trong tam gic b ba b t kh thi l kt hp ca n nh t gi
36
v c lp tin t, iu ny tt yu d n n vic Trung Quc phi kim sot vn ch t ch. Tuy nhin, cc ti liu c li cho thy mt mc kim sot c nhiu l h. Prasad v Wei (2005) a ra nhng bng chng v li cng nh nhng b st di d tr ngoi h i c a Trung Qu c, vic gim ti sn ni a s khin nhiu hn dng vn vo hay dng vn ra, iu ny lm nh hng n cc chnh sch tin t nh chnh sch v hiu ha. S thay i trong ti sn ni a v trong d tr ngoi hi c mi quan h ng thi.S thay i din ra bin ny cng dn n s thay i bin cn li. iu ny dn n vic o lng phn ng v hiu ha c th o lng da trn s tc ng ln ti sn ni a gy ra bi dng vo c a d tr ngoi hi nh m hnh trn. Phng php thc hin v hiu ha c a Trung Quc ch yu l hot ng trn th trng m (OMO) v tng t s yu cu d tr. OMO lm gim ti sn ni a bng cch lm tng dng ra c a h thng, trong khi tng yu cu d tr lm gim s nhn tin. Vic tng yu cu d tr ln nh l mt n lc tc ng v hiu ha ln b ng cn i ging nh cch hot ng ca th trng m. Nu li sut trn yu cu d tr b ng vi li sut tn phiu ca NHTW, th c hai phng php ny l nh nhau.Ch pht sinh chi ph v hiu ha khi li sut trn yu cu d tr thp hn trn th trng m. Trong mt nghin cu ca Chenying Yang (2010), nghin cu v mc v hiu ha v lu chuyn vn Trung Quc trong giai on gn y, giai on m Trung Quc n lc duy tr mt s thay i rt nh trong h thng t gi trong su t m t kho ng th i gian v tch ly d tr ngoi hi th li tng mt cch nhanh chng. Kt qu h i quy5 ca tc gi, h s v hiu ha nm gi a -0.8 v 0.9.iu ny ng rng, PBC6 ang thc hin v hiu ha gn nh hon ton, tuy l kim sot vn vn cn m t s bt cp nhng vn mang n hiu qu.Mc d vy, nhng dng ngo i hi vn tip tc chy vo Trung Quc, v Trung Quc c v duy tr c mc tng n nh ca c s tin.Thm vo , gim VAR cng chng minh kt qu tc ng ca s thay i ti sn nc ngoi rng b tc ng v hiu ha. Ngoi ra tc gi cn c tnh c gii h n trn v gii hn di ca chi ph v hiu ha kt hp vi thu nhp ca PBC kim c t u t vo d tr ngo i hi trn tri phiu chnh ph nc ngoi di hn.Vic tnh
5 6
Phng php hi quy l 2SLS, m hnh hi quy phng sai b nht hai giai on. Ngn hng nhn dn Trung Quc
37
ton ny cho thy chi ph v hiu ha ca PBC c b li bi thu nhp ca d tr ngoi hi. D phng tng laic ho chi ph v hiu ha v thu nhp u t d tr ngoi hi, khng c du hiu no cho th y vic khng chng c trong m t tng lai gn. Tuy nhin, ngy cng c nhiu ch trch vo t gi ca Trung Quc v s bin i bt thng ca cc tri phiu ngn hn iu ny s nh hng m nh khng tt tc ng ln thu nh p c a PBC t u t vo d tr ngoi h i trong gii hn tin t ni a, nhng kt qu c a d phng li cho thy xu hng u c gim t lm gim p l c cho v hiu ha. 4.3.
38
CHNG III: NG DNG V HIU HA TI VIT NAM
xem xt Vit Nam c cn n mt chnh sch v hiu ha hay khng, ta da trn nhng phn tch v kim nh, trng hp mu t Trung Qu c ta i xem xt cc yu t c lin quan tc ng n vic thc hin chnh sch v hiu ha bao gm cn cn thanh ton, d tr ngo i h i, th trng ngoi hi v ho t ng th trng m . Th nht, cn cn thanh ton trong nhng nm gn y c nhng chuyn bin kh tch cc, nm 2009 thm ht mc 8,8 t USD th sang nm 2010 gim xung cn 1,7 t USD v tuy cha c con s chnh thc cho nm 2009 nhng c tnh l s thng d khon 3 t USD. Trong cn cn thanh ton ny cho ta thy m t du hiu c kh nng thng d, chiu hng tt, tuy nhin vn cha n mc cn m t chnh sch v hiu ha cc dng vo, v y ch m i l s tng nh trong cn cn tng th. Trong khi cc cn cn thnh phn nht l cn cn vng lai vn cn m. Hnh 12 : Cn cn thanh ton (% theo GDP).
Ngun: Ngn hng Nh nc Vit Nam (SBV).
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Th hai, phi xem xt mt cch cn thn nh t l d tr ngoi hi v nhng s thay i trong d tr ngoi h i trong thi gian qua.T nm 2008 n nm 2010 d tr ngoi hi c xu hng gim. Hnh 13 : D tr ngo i hi ca Vit Nam t 2000 n 2009
Ngun: World Bank.
Vit Nam c ADB nh gi l mt nc c d tr ngoi hi th p nht trong khu vc ng ch p ng c gn 2 thng nh p khu. Theo s liu tnh ton ca ADB th con s ny trong 7 thng u nm 2009 l 13 t USD. Do d tr ngoi hi th p, thm ht thng mi cao, Vit Nam phi iu chnh gim 5.3% gi tr tin so vi ng la M, v l m t trong s t cc quc gia c ng tin mt gi so vi ng USD. Hnh 14 : Thay i t gi so vi ng USD
40 Ngun: ADB
Vi lng d tr thp v ng tin trong th mt gi, vic th c hin mt chnh sch v hiu ha khng mang n tc dng g.Thm ch c th mang n kt qu ngc li mun, cng thm nhng chi ph ti chnh v nhng tc dng xu i km.Vi tnh hnh hin ti khng m t nh lm chnh sch no ngh n vic thc hin chnh sch ny, v n hon ton khng c ngha. Th ba, quan st th trng ngo i h i ca Vit Nam, c nhiu bin ng trong nh ng nm qua v cc bin ng ny cng khng l ng lc thi hnh m t chnh sch v hiu ha tn kh nhiu chi ph v phc tp. Th trng ngo i hi hot ng kh cng thng, nm 2009 t gi tng lin tc trong 4 thng u nm, sau NHTW phi iu chnh cho bin m rng ra 5%, tuy nhin vn c t t
gi tng t bin. Sang nm 2010, t gi c xu hng gim nh v xoay quanh mc 18.479 ng/USD trong giai on u nm v m t s l do kh quan nh kim ngch xu t nhp kh u chuyn t m sang dng, khch qu c t quay li vi Vit Nam nhiu hn; c bit, do cc doanh nghip ln, cc tng cng ty Nh nc lo ngi ri ro t gi gim nn khng dm gm gi USD, t to ra chnh lch trn th trng t do v th trng nim yt nh hn. n cui nm 2010, th trng ngoi hi li ri vo tnh trng cng thng do cu rt ln nhng cung li khan him, y t gi tng mnh. S liu cp nht n 6 thng u nm 2009, vi chnh sch tht ch t tin t ca NHTW, tc ng ln th trng ngoi h i gip th trng ny duy tr s n nh, t gi giao dch dn h xung. Bt u t s gim nhit ca t gi trn th trng t do, chnh lch gia th trng ny v th trng nim yt gim xung. Trn th trng chnh thc, t gi ca cc NHTM nim yt cng dao ng thp hn bin ti a theo quy nh ca NHTW l +1%. Theo s liu tnh ton ca NHTW n h t thng 7/2009 mua c 5 t USD d tr ngoi hi. Biu 15: Lch s giao d ch t gi VND/USD
41
Ngun: Bloomberg, Citi Investment research and analysis.
Th trng ngoi hi n nh gp phn vo vic chng la ha, vng ha nn kinh t, gp phn vo vic n nh tm l, to tin thc hin vic kim ch lm pht, n nh kinh t v m, cng c v nng cao lng tin vo ng tin quc gia. Tuy nhin, th trng ny cn cha rt nhiu thch thc, chnh lch qu ln gia li sut ng ni t v ngoi t khin vic i vay USD bn ra ly VND t c chnh lch, lm cho ngun cung o tng ln. n thi gian o hn, nhng ngun cung o ny s tr thnh cu thc v to p lc ln t gi nhng thng cui nm. Nhp siu lin tc tng ln trong cc thng u nm 2011 lm cho cn cn thng mi, cn cn thanh ton mt cn i, to sc p ln t gi. Ngo i ra, nhng ngun ngoi t t u t trc tip nc ngo i gim, nhng ngun ngoi t t u t gin tip, h tr chnh thc v khch quc t n Vit Nam c th tng nhng n khng c ngha quyt nh. Trong thi gian ti, gii quyt trit lu di vn t gi ca Vit Nam th cn phi gii quyt c vn nhp siu v kh khn hn l vn lng tin ca cng chng vo tin ng. Cc hot ng trn th trng m (OMO) l mt iu kin cn quan tm to tin cho m t chnh sch v hiu ha thnh cng, OMO cn phi hot ng c hiu qu.Mc d, OMO ca Vit Nam ngy cng ci tin v hon thin. Tuy nhin, vn cn rt nhiu bt cp, tc ng ca OMO n th trng tin t l cn hn ch, cha c mi quan h gia OMO v tng th cc phng tin thanh ton ca nn kinh t.Ngoi ra, c s h tng cho hot ng OMO cn nhiu thiu st.S khng ng b trong ng dng cng ngh thng tin gia NHTW v cc thnh vin th trng lm hn ch s lng thnh vin tham gia, c bit l cc NHTM. Vic nng
42
cp h thng my mc thit b phc v cho cc nghip v th trng m ni ring v cc nghip v ca NHTW ni chung cn chm lm h n ch n tin trin khai cc ng dng cng ngh hin i vo cc giao dch nghip v th trng tin t trong c nghip v OMO.Bn cnh , cc t chc tn dng vn cha quan tm v cha nhn thc y tnh hiu qu ca cng c ny.NHTW tng cng cng tc thng tin tuyn truyn, t chc tp hun trin khai hot ng th trng m nhm pht trin hot ng OMO ni ring cng nh cc hot ng th trng tin t ni chung nhng vn cha c m t s t ch c tn dng thc s quan tm. S lng thnh vin thng xuyn tham gia OMO tng nhng vn cn hn ch. OMO ngy cng hon thin v cht lng cn phi nh hng xy dng v pht trin h thng cng c chnh sch tin t ca NHTW trong thi gian ti, NHTW cn phi to mt h thng cng c hp l v hiu qu. Ph i l a chn c nhng cng c m NHTW s s dng iu hnh chnh sch tin t, v xc lp h thng cc cng c, a ra c ch vn hnh ca h thng v hng hon thin tip theo ca h thng .
43
KT LUN
Chuyn tng h p c mt vi khi nim v s v hiu ha, m c d, c rt nhiu nghin cu trong lch s a ra nhiu kin, mi mt nghin cu u c mt ngh a, mt nt ring; nhng tu chung li, chnh sch v hiu ha l vic thc hin ng thi hai hnh ng, mt trn th trng ngo i hi nhm iu tit t gi, hai trn th trng m , nh m m b o rng mt hnh ng trn ti sn nc ngoi s c b li b i ti sn ni a rng, hng ti mc ch cc chnh sch chung ca nn kinh t khng b nh hng bi cc dng ngoi h i. Bn cnh , cho thy rng vic thc hin mt chnh sch v hiu ha bao gm rt nhiu yu t phc tp nh xem xt cc bin i trong d tr ngoi hi rng, cc ti sn tn dng ni a rng. Ngoi ra cn phi tnh n cc chi ph ti chnh v cc chi ph ging ti chnh. Sau khi cn nhc tt c cc yu t , cn phi xem xt n kh nng thnh cng ca chnh sch ny, nu s v hiu ha khng thnh cng n s mang n nhng kt qu ngc li s mong i, n s lm vn tr nn nghim trng hn. Trung Qu c l mt bi h c ln v s thnh cng trong v hiu ha, cc h s v hiu ha c kim nh l c ngha v t gi ca Trung Quc c iu tit kh n nh trong su t thi gian t nm 2000 n 2010, t c thnh cng do quc gia ny c mt d tr m nh v m t h thng cng c trn th trng m hot ng tt. Ngoi ra, Trung Qu c cn l m t quc gia c xem l c bit v chuyn kho n chi ph v hiu ha, chnh lch gia chi ph trn th trng m v khon thu c do u t vo cc ti sn nc ngoi, thnh khon li nhun, do chi ph phi b ra trn th trng m th p hn cc khon thu c do u t hiu qu trn cc ti sn nc ngoi. Xem xt vn ti Vit Nam, hin ti ti khon vng lai vn thm ht ti khon vn c d u hiu hi phc, bn cnh d tr ngoi h i ca Vit Nam b ADB nh gi l thp nh t trong cc nc ng , chng t rng Vit Nam vn cha cn n mt chnh sch ph c tp v tn kh nhiu chi ph nh l v hiu ha.
44
Danh mc ti liu tham kho 1. Joshua Aizenma, Menzie D.Chinn, Hiro Ito (2008): The Imposible Trinity Hypothesis in an Era of Global Imbalances: Measurement and Testing, Jel Classification Nos.. 2. Joshua Aizenma (2010): The Impossible Trinity (aka The Policy Trilemma) the Encyclopedia of financial globalization, USCS and the NBER. 3. Robert N. McCauley (2002): Setting Monetary Policy In East Asia: Goals, Developments and Intitutions, The South East Asian Central Bank. 4. Christopher J. Neely (2001): The Practice of Central Bank Intervention: Looking Under The Hood, Federal Reserve Bank. 5. Madura (2007): International Financial Management, Thomson South-Western. 6. Kulachet Mongkol (2010): Is Intervention Effective After All, Journal of Economics and International Finance vol.3(1). 7. Joseph Daniels (1997): Optimal Sterilization Policies In e-
Interdependent
Economies,
Marquette
University
Publications@Marquette. 8. Richard J. Herring, Richard C. Marson: Sterilization Policy: The Trade-off Between Monetary Autonomy And International Reserve Stability, Roney L. White Center For Financial Research, University of Pennsylvania, The Wharton School. 9. Robet Lavigne (2008): Sterilization Intervention in EmergingMarket Economies: Trends, Costs, and Risks, Bank of Canada.
45
10.
Ricardo J. Caballero, Arvind Krishnamurthy (2001): International Liquidity Illusion: On The Risks of Sterilization, Massachusetts Intitude of Technology Department of Economics.
11.
Guillermo
A.
Calvo
(1990):
The Perils
of
Sterilization,
International Monetary Fund-Research Department. 12. Chenying Zhang (2010): Sterilization in China: Effectiveness and Cost, The Wharton School, University of Pennsylvania, Financial Department. 13. Chirster Ljyungwall, Yi Xiong, Zou Yutong (2009): Central Bank Financial Strength and The Cost of Sterilization in China, China Center of Economic Research. 14. Kenneth Kletzer, Mark M. Spiegel (2000): Sterilization Costs and Exchange Rate Targeting, J.E.L Classification Number: F32. 15. Ricardo J. Caballero, Arvind Krishnamurthy (2000): International Liquidity Illusion: Sterilization Policy in Illiquid Financial Markets, MIT and NBER, Northwestern Univesity. 16. Nirvikar Singh, T. N. Srinivasan (2004): Foreign Capital, Sterilization, Crowding-Out and Growth: Some Illustrative Models, J.E.L. codes: F40, F41, F43, H62, O4. 17. Joshua Aizenma, Menzie D. Chinn, Hiro Ito (2008): Assessing The Emerging Global Financial Architechture: Measuring The Trilemma Configuration Over Time, National Bureauof Economics Research. 18. Joshua Aizenma, Reuven Glick (2009): Sterilization, Monetary Policy, and Global Financial Integration, Blackwell Publishing Ltd. 19. Trn Ngc Th, Nguyn Ngc nh (2011), Ti chnh qu c t, i hc kinh t thnh ph H Ch Minh. 20. Mai Thu Hin, V Thu Huyn (2011): D tr ngo i hi Vit Nam: Thc trng v m t s gii php gi .
46
21.
L Th Thanh Hng (2007): M t s gii php nng cao hiu qu hot ng ca nghip v th trng m trong iu hnh chnh sch tin t ca ngn hng nh nc Vit Nam.
22. 23. 24. 25. 26. 27. 28. 29. 30.
http://beta.adb.org http://www.imf.org http://data.worldbank.org http://stats.oecd.org http://unstats.un.org http://www.sbv.gov.vn http://www.gso.gov.vn http://www.pbc.gov.cn http://timetric.com
47
Ph lc Ph lc A: D liu tp hp theo qu ca Trung Qu c t qu 1/1999 n qu 3/2011.

FR (100 RM (100 S GDP(%) Million Milion (Yuan/ USD) Yuan) USD) 1999Q1 1999Q2 1999Q3 1999Q4 2000Q1 2000Q2 2000Q3 2000Q4 2001Q1 10.4319 14.5076 6.0411 20.2961 8.2520 9.5300 9.1510 8.1880 7.4100 1233.5000 33519.0000 8.2787 1436.6500 32820.0000 8.2786 1533.7800 31538.0000 1546.7500 1568.2000 1585.6800 1600.9200 1655.7400 1758.4700 33620.0000 32290.2900 32469.9400 33845.8500 36491.4800 35634.1200 8.2774 8.2783 8.2785 8.2782 8.2793 8.2778 8.2782 FL(100 Million Yuan) INFL( %) CA (100 Million USD 66 53 46 25 41 49 58 9 44
366.7500 -1.432 366.7500 -2.054 366.7500 366.7500 366.7500 366.7500 366.7500 366.7500 355.2100 -1.300 -0.834 0.101 0.096 0.265 0.568 0.663
48
2001Q2 2001Q3 2001Q4 2002Q1 2002Q2 2002Q3 2002Q4 2003Q1 2003Q2 2003Q3 2003Q4 2004Q1 2004Q2 2004Q3 2004Q4 2005Q1 2005Q2 2005Q3 2005Q4 2006Q1 2006Q2 2006Q3
7.1250 6.7180 6.8480 8.0480 9.1990 10.1660 9.9360 9.8140 8.2450 9.6660 10.2920 9.3850 9.8710 9.2760 9.9380 10.1920 10.1410 10.0610 10.4400 11.4670 11.3370 10.8320
1808.3800 1957.6400 2121.6500 2276.0500 2427.6300 2586.3000 2864.0700 3160.1000 3464.7600 3838.6300 4032.5100 4398.2200 4706.3900 5145.3800 6099.3200 6591.4400 7109.7300 7690.0400 8188.7200 8750.7000 9411.1500 9879.2800
35596.8000 36029.4600 39851.7300 41221.0800 40554.4500 39863.9700 45138.1800 44111.3100 43205.9600 46730.4000 52841.3600 50461.5900 51305.7700 53150.0200 58856.1100 57588.3200 57360.2200 60771.2100 64343.1300 62551.3100 63096.1900 66187.1000
8.2773 8.2768 8.2769 8.2768 8.2769 8.2768 8.2772 8.2770 8.2771 8.2771 8.2769 8.2770 8.2768 8.2767 8.2765 8.2765 8.2765 8.0994 8.0779 8.0398 8.0103 7.9468
355.2100 355.2100 355.2100 484.6100 454.3900 442.1800 423.0600 433.4700 440.2100 450.2500 482.5800 517.6700 524.9100 525.7000 562.2800 617.3700 622.3000 641.6300 641.5700 692.6700 717.9400 715.7700
1.567 0.799 -0.136 -0.599 -1.069 -0.767 -0.632 0.497 0.669 0.833 2.672 2.765 4.394 5.267 3.155 2.832 1.734 1.334 1.368 1.200 1.366 1.266
47 85 40 63 18 86 61 114 81 107 121 122 165 203 229 138 113 221 220 146 208 257
Bng A: D liu tp hp theo qu ca Trung Quc t qu 2/2000 n qu 1/2010 (tip theo): GDP(%) FR (100 RM (100 S Million Milion (Yuan/ USD) Yuan) USD)
2006Q4 2007Q1 2007Q2 2007Q3 2007Q4 2008Q1 2008Q2 2008Q3 2008Q4 2009Q1 2009Q2 10.9860 13.2860 13.7130 13.1700 12.4780 10.8710 9.9010 9.0550 7.0630 6.0370 7.7900 10663.4400 12020.3100 13326.2500 14336.1100 15282.4900 16821.7700 18088.2800 19055.8500 19460.3000 19537.4100 21316.0600 77757.8300 76990.0900 82663.9800 88212.3300 101545.4000 104224.1800 115353,05 117336.0600 129222.3300 124276.6600 123929.7400 7.8438 7.7509 7.6572 7.5484 7.3912 7.1034 6.9355 6.8305 6.8453 6.8339 6.8298
FL(100 Million Yuan)

926.3300 924.1100 925.1800 931.6800 947.2800 948.5500 904.8800 892.2800 732.5900 750.3200 723.3200
INFL (%)
2.038 2.730 3.596 6.101 6.634 8.035 7.768 5.265 2.450 -0.609 -1.500
CA (100 Million USD

112 113 167 212 64 325 262 316 288 287 254
49
2009Q3 2009Q4 2010Q1 2010Q2 2010Q3 2010Q4 2011Q1 2011Q2 2011Q3
9.1230 10.8100 10.6230 9.8120 9.6490 9.3430 9.5270 9.9960 9.9990
22725.9500 23991.5200 24470.8400 24542.7500 26483.0300 28473.3800 30447.0000 31975.0000 32017.0000
133406.6400 143985.0000 150032.8400 154234.4800 161320.3400 185311.0800 185211.0800 184211.0800 185201.0500
6.8308 6.8278 6.8267 6.8234 6.7699 6.6609 6.5846 6.5022 6.4177
746.9200 761.7200 746.6900 719.1000 715.7000 720.0800 723.0200 720.3200 719.1500
-1.336 0.668 2.198 2.933 3.467 4.702 5.065 5.729 6.267
269 243 391 327 463 426 389 456 449
Bng B: D liu u vo ca m hnh (1), (2), (3).

DC= RMFR -2380.6301 -2085.9468 1974.1504 -1507.5338 34.9465 1249.7340 2191.8392 -1719.3195 -450.4417 -802.7302 2464.7702 220.8069 -1951.4625 INFL(%) DC/RM -0.0725 -0.0661 0.0587 -0.0467 0.0011 0.0369 0.0601 -0.0482 -0.0127 -0.0223 0.0618 0.0054 -0.0481 GDP 0.3298 -0.8761 0.5332 -0.2213 0.1440 -0.0406 -0.1112 -0.0998 -0.0392 -0.0588 0.0192 0.1615 0.1337 CA -0.2194 -0.1417 -0.6098 0.4947 0.1782 0.1686 -1.8632 1.5870 0.0660 0.5925 -0.7538 0.4543 -1.2528 -1.432 -2.054 -1.300 -0.834 0.101 0.096 0.265 0.568 0.663 1.567 0.799 -0.136 -0.599
1999Q2 1999Q3 1999Q4 2000Q1 2000Q2 2000Q3 2000Q4 2001Q1 2001Q2 2001Q3 2001Q4 2002Q1 2002Q2
FR/RM 0.0512 0.0255 0.0032 0.0055 0.0045 0.0037 0.0124 0.0242 0.0116 0.0343 0.0341 0.0279 0.0317
50
2002Q3 2002Q4 2003Q1 2003Q2 2003Q3 2003Q4 2004Q1 2004Q2 2004Q3 2004Q4 2005Q1 2005Q2 2005Q3 2005Q4 2006Q1 2006Q2 2006Q3
0.0333 0.0514 0.0553 0.0582 0.0660 0.0298 0.0593 0.0496 0.0683 0.1335 0.0698 0.0747 0.0770 0.0626 0.0714 0.0834 0.0562
-2015.9699 2955.9414 -3466.7102 -3420.3214 439.9082 4538.5711 -5371.6739 -1699.2415 -1788.3632 -2152.6144 -5285.7312 -4512.7972 -1269.8622 -456.4438 -6258.9081 -4720.2526 -631.3955
-0.0506 0.0655 -0.0786 -0.0792 0.0094 0.0859 -0.1065 -0.0331 -0.0336 -0.0366 -0.0918 -0.0787 -0.0209 -0.0071 -0.1001 -0.0748 -0.0095
0.1000 -0.0229 -0.0124 -0.1742 0.1590 0.0628 -0.0923 0.0505 -0.0622 0.0689 0.0252 -0.0050 -0.0079 0.0370 0.0938 -0.0114 -0.0456
1.5640 -0.3435 0.6253 -0.3417 0.2784 0.1230 0.0082 0.3019 0.2073 0.1205 -0.5065 -0.1999 0.6708 -0.0045 -0.4100 0.3539 0.2115
-1.069 -0.767 -0.632 0.497 0.669 0.833 2.672 2.765 4.394 5.267 3.155 2.832 1.734 1.334 1.368 1.200 1.366
Bng B: D liu u vo ca m hnh (1) (tip theo)

FR/RM 0.0764 0.1366 0.1210 0.0863 0.0687 0.1049 0.0765 0.0564 0.0654 0.0041 0.0982 0.0720 0.0599 DC=RMFR 5630.4697 -11286.9237 -4324.8838 -2067.9772 6353.8177 -8254.0202 2301.3199 -4638.6091 3437.2559 -5454.9046 -12521.6845 -130.2236 1952.0590 DC/RM 0.0724 -0.1466 -0.0523 -0.0234 0.0626 -0.0792 0.0200 -0.0395 0.0266 -0.0439 -0.1010 -0.0010 0.0136 GDP 0.0141 0.1901 0.0316 -0.0404 -0.0540 -0.1379 -0.0935 -0.0893 -0.2484 -0.1570 0.2549 0.1580 0.1697 CA -0.8306 0.0089 0.3906 0.2386 -1.1977 1.6249 -0.2155 0.1874 -0.0928 -0.0035 -0.1221 0.0574 -0.1016
INFL(%)
2.038 2.730 3.596 6.101 6.634 8.035 7.768 5.265 2.450 -0.609 -1.500 -1.336 0.668
2006Q4 2007Q1 2007Q2 2007Q3 2007Q4 2008Q1 2008Q2 2008Q3 2008Q4 2009Q1 2009Q2 2009Q3 2009Q4
51
2010Q1 2010Q2 2010Q3 2010Q4 2011Q1 2011Q2 2011Q3
0.0219 0.0034 0.0814 0.0715 0.0701 0.0539 0.0015
2760.6202 3683.3829 -6053.1115 10737.6887 -13092.4684 -10938.0267 719.2574
0.0184 0.0239 -0.0375 0.0579 -0.0707 -0.0594 0.0039
-0.0175 -0.0794 -0.0168 -0.0322 0.0195 0.0481 0.0003
0.4756 -0.1787 0.3478 -0.0833 -0.0909 0.1589 -0.0155
2.198 2.933 3.467 4.702 5.065 5.729 6.267
Ph lc C: Kt qu hi quy OLS m hnh: DC/RM01 = 1 * FR/RM +2 * GDP + C (1) Dependent Variable: DC/RM (1) Method: Least Squares Date: 04/03/12 Time: 21:14 Sample: 1999:2 2011:3 Included observations: 50 Variable Coefficient Std. Error t-Statistic Prob.
52
FR/RM GDP C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat * INFL + C (2).
-0.6732 0.0345 0.0146 0.5737 0.5386 0.0509 0.1219 79.4614 2.2858
0.2167 0.0394 0.0137
-3.1058 0.8771 1.0631
0.0032 0.0849 0.2932 -0.0218 0.0549 -3.0585 -2.9437 4.9413 0.0113
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)
Ph lc D: M hnh hi quy OLS: DC/RM01 = 1 * FR/RM +2 * GDP +3
Dependent Variable: DC/RM (2) Method: Least Squares Date: 04/03/12 Time: 21:30 Sample: 1999:2 2011:3 Included observations: 50 Variable FR/RM01 GDP INFL C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient Std. Error -0.813003 0.047928 0.004755 0.012645 0.614192 0.562944 0.050208 0.11596 80.71639 2.35141 0.232176 0.039786 0.00309 0.013611 t-Statistic -3.50167 1.204629 1.538869 0.929053 Prob. 0.001 0.0945 0.1307 0.3577 -0.021765 0.054878 -3.068656 -2.915694 4.179494 0.010667
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Fstatistic Prob(F-statistic)
Ph lc E:M hnh hi quy OLS: DC/RM01 = 1 * FR/RM +2 * GDP +3 * INFL + 4 * CA + C (3). Dependent Variable: DC/RM (3) Method: Least Squares Date: 04/03/12 Time: 21:34 Sample: 1999:2 2011:3 Included observations: 50
53
Variable FR/RM01 GDP INFL CA C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Coefficient Std. Error -0.773036 0.041388 0.00515 -0.026045 0.010689 0.701022 0.638891 0.047876 0.103147 83.64373 2.190301 0.222037 0.038039 0.002951 0.011016 0.013005
t-Statistic -3.481561 1.088039 1.745011 -2.364339 0.821902
Prob. 0.0011 0.0824 0.0878 0.0224 0.4155 -0.021765 0.054878 -3.145749 -2.954547 4.844932 0.00246
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

Chinh Sach Vo Hieu Hoa

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Mc lc

EMS FDI FED GDP M2

NHTM NHTW OMO PBC RBI VAR

DANH MC BNG BIU

Hnh 1 Hnh 2 Hnh 3 Hnh 4 Hnh 5

Tch ly d tr c a mt vi qu c gia Chu (% trn tn dng ni a)

Cc quc gia c chn, tch ly d tr ca mt vi qu c gia Chu (% trn kh i tin M2)

H s v hiu ha chy hi quy 40 qu, qu 2/2000 n qu 1/2010 ca Trung Quc

Hnh 12 Hnh 13 Hnh 14 Hnh 15

Ngn hng trung ng n

Hnh 1: Tam gic b ba bt kh thi

Th trng vn Chnh sch tin t c lp n nh t gi

Ngun: Gio trnh Ti chnh quc t, i hc kinh t thnh ph H Ch Minh

Hnh 2: Tam gic m rng c a Yigang v Tangxian

4 Ngun:Yigang v Tangxian, 2001

Non-Euro Industrialized Countries

Exchange rate Stability

Exchange rate Stability

1971-1980 1981-1990 1991-2000 2001-2006

1971-1980 1981-1990 1991-2000 2001-2006

Emerging Market Countries

Non-Emerging Market Developing Countries

Exchange rate Stability

Exchange rate Stability

1971-1980 1981-1990 1991-2000 2001-2006

1971-1980 1981-1990 1991-2000 2001-2006

CHNG II: CHNH SCH V HIU HA V O LNG PHN NG V HIU HA

Costs,andRisks, Robert Lavigne.

D chuyn thnh tin Thng d ti khon vng lai tch ly

Cc h s ny c hai tc gi chy trong giai on qu 1 nm 1987 n qu 2 nm 2007, 1 =-0.786

CHNG III: NG DNG V HIU HA TI VIT NAM

Ngun: Ngn hng Nh nc Vit Nam (SBV).

Ngun: World Bank.

Ngun: Bloomberg, Citi Investment research and analysis.

22. 23. 24. 25. 26. 27. 28. 29. 30.

http://beta.adb.org http://www.imf.org http://data.worldbank.org http://stats.oecd.org http://unstats.un.org http://www.sbv.gov.vn http://www.gso.gov.vn http://www.pbc.gov.cn http://timetric.com

Ph lc Ph lc A: D liu tp hp theo qu ca Trung Qu c t qu 1/1999 n qu 3/2011.

FL(100 Million Yuan)

CA (100 Million USD

2009Q3 2009Q4 2010Q1 2010Q2 2010Q3 2010Q4 2011Q1 2011Q2 2011Q3

9.1230 10.8100 10.6230 9.8120 9.6490 9.3430 9.5270 9.9960 9.9990

22725.9500 23991.5200 24470.8400 24542.7500 26483.0300 28473.3800 30447.0000 31975.0000 32017.0000

133406.6400 143985.0000 150032.8400 154234.4800 161320.3400 185311.0800 185211.0800 184211.0800 185201.0500

6.8308 6.8278 6.8267 6.8234 6.7699 6.6609 6.5846 6.5022 6.4177

746.9200 761.7200 746.6900 719.1000 715.7000 720.0800 723.0200 720.3200 719.1500

-1.336 0.668 2.198 2.933 3.467 4.702 5.065 5.729 6.267

269 243 391 327 463 426 389 456 449

Bng B: D liu u vo ca m hnh (1), (2), (3).

Bng B: D liu u vo ca m hnh (1) (tip theo)

2010Q1 2010Q2 2010Q3 2010Q4 2011Q1 2011Q2 2011Q3

0.0219 0.0034 0.0814 0.0715 0.0701 0.0539 0.0015

2760.6202 3683.3829 -6053.1115 10737.6887 -13092.4684 -10938.0267 719.2574

0.0184 0.0239 -0.0375 0.0579 -0.0707 -0.0594 0.0039

-0.0175 -0.0794 -0.0168 -0.0322 0.0195 0.0481 0.0003

0.4756 -0.1787 0.3478 -0.0833 -0.0909 0.1589 -0.0155

2.198 2.933 3.467 4.702 5.065 5.729 6.267

-0.6732 0.0345 0.0146 0.5737 0.5386 0.0509 0.1219 79.4614 2.2858

0.2167 0.0394 0.0137

-3.1058 0.8771 1.0631

0.0032 0.0849 0.2932 -0.0218 0.0549 -3.0585 -2.9437 4.9413 0.0113

Ph lc D: M hnh hi quy OLS: DC/RM01 = 1 * FR/RM +2 * GDP +3

t-Statistic -3.481561 1.088039 1.745011 -2.364339 0.821902

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