Nghien Cuu Cac Cu Soc Tac Dong Den Cac Bien So Vi Mo Cua Viet Nam - SVAR.

BFDDDSDDWSSASa|saszxczcxc
B GIO DC V O TO
TRNG I HC KINH T TP.HCM
-----------------

BI ANH CHNH
NGHIN CU CC C SC TC NG
N CC BIN S KINH T V M CA
VIT NAM

LUN VN THC S KINH T

TP. H Ch Minh Nm 2013

B GIO DC V O TO
TRNG I HC KINH T TP.HCM
-----------------
BI ANH CHNH
NGHIN CU CC C SC TC NG
N CC BIN S KINH T V M
CA VIT NAM
Chuyn ngnh : Ti chnh - Ngn hng
M s : 60340201

LUN VN THC S KINH T
NGI HNG DN KHOA HC:
TS NGUYN TN HONG

TP. H Ch Minh Nm 2013
1

LI CAM OAN
Ti xin cam oan y l cng trnh nghin cu ca ring ti. Cc s liu, kt qu nu trong lun vn l
trung thc v c ngun gc r rng.
Tc gi lun vn

BI ANH CHNH
1

MC LC
LI TA ............................................................................................................................................. 1
I. GII THIU.................................................................................................................................... 1
II. CC NGHIN CU TRC Y ............................................................................................. 4
2.1 Cc nghin cu nc ngoi ............................................................................................................. 4
2.2 Cc nghin cu trong nc .............................................................................................................. 10
III. M HNH V D LIU NGHIN CU ................................................................................... 14
3.1. Mt s phng thc tc ng ca cc c sc t bn ngoi n cc bin s kinh t v m trong nc .........
............................................................................................................................................................. 14
3.2. Xy dng m hnh SVAR cho bi nghin cu ................................................................................ 17
3.2.1 La chn cc bin v phn tch s lc ........................................................................................ 17
3.2.2 M hnh Structural VAR (SVAR)................................................................................................. 18
3.2.3 Cc rng buc cho ma trn ca SVAR .......................................................................................... 19
3.3. D liu nghin cu ........................................................................................................................ 20
IV. KT QU NGHIN CU ........................................................................................................... 22
4.1 Phn tch hm phn ng y hay phn ng xung ............................................................................. 22
4.1.1 Hm phn ng y ca sn lng cng nghip trong nc vi cc bin bn ngoi ........................ 23
4.1.2 Hm phn ng y ca li sut trong nc (IR) vi cc bin v m bn ngoi .............................. 25
4.1.3 Hm phn ng y ca t gi hi oi trong nc (EX) vi cc bin v m bn ngoi .................. 27
4.1.4 Hm phn ng y ca ch s gi tiu dng trong nc (CPI) vi cc bin v m bn ngoi 29
4.1.5 Hm phn ng y ca cung tin (M1) vi cc bin v m bn ngoi ........................................... 31
4.2. Phn tch phng sai ..................................................................................................................... 33
4.3. Phn tch phn ng ca cc bin v m ti Vit Nam ..................................................................... 38
4.3.1 Hm phn ng y hay hm phn ng xung ................................................................................ 39
4.3.2 Phn tch phng sai ................................................................................................................... 41
V. KT LUN V HN CH NGHIN CU ............................................................................... 42
2

3

PH LC 1: TNG QUAN NN KINH T VIT NAM
PH LC 2: S NT V M HNH SVAR
DANH MC TH - HNH NH
Hnh 3.1: Tc ng lan truyn ca gi du v gi thc phm bn ngoi tc ng n cc bin v m trong
nc...................................................................................................................................................... 15
Hnh 3.2: C ch lan truyn ca cc c sc ngoi sinh ti cc bin s v m trong nc ........................ 16
th 4.1: Phn ng ca sn lng cng nghip vi c sc ch s gi Th gii (Shock 1) ..................... 23
th 4.2: Phn ng ca sn lng cng nghip vi c sc ch s sn lng cng nghip M (Shock 2) .........
............................................................................................................................................................. 23
th 4.3: Phn ng ca sn lng cng nghip vi c sc ch s gi ca M (Shock 3) ...................... 23
th 4.4: Phn ng ca sn lng cng nghip vi li sut ca Fed (Shock 4) .................................... 23
th 4.5: Phn ng ca bin li sut (IR) vi c sc ch s gi Th gii (Shock 1) ............................. 25
th 4.6: Phn ng ca bin li sut (IR) vi c sc sn lng cng nghip M (Shock 2) ................ 25
th 4.7: Phn ng ca bin li sut (IR) vi c sc ch s gi tiu dng M (Shock 3) ...................... 25
th 4.8: Phn ng ca bin li sut (IR) vi c sc li sut ca FED (Shock 4) ................................. 25
th 4.9: Phn ng ca bin t gi hi oi vi c sc ch s gi Th gii (Shock 1) .......................... 27
th 4.10: Phn ng ca bin t gi hi oi vi c sc sn lng cng nghip M (Shock 2) ........... 27
th 4.11: Phn ng ca bin t gi hi oi vi c sc ch s gi tiu dng M (Shock 3) ................ 27
th 4.12: Phn ng ca bin t gi hi oi vi c sc li sut FED (Shock 4) ................................. 27
th 4.13: Phn ng ca bin ch s gi CPI vi c sc ch s gi Th gii (Shock 1) ....................... 29
th 4.14: Phn ng ca bin ch s gi CPI vi c sc sn lng cng nghip M (Shock 2) ........... 29
th 4.15: Phn ng ca bin ch s gi CPI vi c sc ch s gi tiu dng M (Shock 3) ................ 29
th 4.16: Phn ng ca bin ch s gi CPI vi c sc li sut FED (Shock 4) ................................. 29
th 4.17: Phn ng ca bin cung tin M1 vi c sc ch s gi Th gii (Shock 1) .......................... 31
th 4.18: Phn ng ca bin cung tin M1 vi c sc sn lng cng nghip M (Shock 2) ............. 31
th 4.19: Phn ng ca bin cung tin M1 vi c sc ch s gi tiu dng M (Shock 3) ................. 31
4

th 4.20: Phn ng ca bin cung tin M1 vi c sc li sut FED (Shock 4) ................................... 31
th 4.21: Phn ng ca sn lng cng nghip vi c sc v m khc ti Vit Nam ......................... 39
th 4.22: Phn ng ca ch s gi tiu dng vi c sc v m khc ti Vit Nam .............................. 39
th 4.23: Phn ng ca cung tin M1 vi c sc v m khc ti Vit Nam ........................................ 39
th 4.24: Phn ng ca li sut (IR) vi c sc v m khc ti Vit Nam .......................................... 39
th 4.25: Phn ng ca t gi hi oi danh ngha vi c sc v m khc ti Vit Nam .................... 40
Biu PL.1.1 Gi tr GDP tnh theo USD t 1985 n 2012 ............................................................... 1
Biu PL.1.2 Tng trng GDP trung bnh cc nc.......................................................................... 2
Biu PL.1.3 Tng trng GDP ca Vit Nam v GDP thc ca M t 1990 n 2011 ..................... 2
Biu PL.1.4 Tng trng GDP ca Vit Nam v GDP danh ngha ca M t 1990 n 2012 ........... 3
Biu PL.1.5 Mc thay i t gi hi oi danh ngha ca Vit Nam t 1995 2012 ......................... 3
Biu PL.1.6 Mc thay i trung bnh t gi hi oi danh ngha (theo USD) hng nm ca cc nc
t 1995 -2012........................................................................................................................................ 4
Biu PL.1.7 Tnh hnh xut nhp khu Vit Nam t nm 1986 n 2012 (VT Millions USD) ....... 5
Biu PL. 1.8 So snh mc trung bnh xut nhp khu thay i hng nm gia cc nc t 1995 2012
............................................................................................................................................................. 5
Biu PL. 1.9 Chnh lch trung bnh gia Xut khu Nhp khu giai on t 1995 2012 ............. 6
Biu PL.1.10 Gi tr xut nhp khu Vit Nam t 1996 2012 ........................................................ 6
Biu PL. 1.11 Bin ng CPI hng nm t 1995 2012 ................................................................... 7
Biu PL.1.12 Bin ng CPI trung bnh qua cc nm t 1995 n 2012 gia cc nc ..................... 8
DANH MC BNG BIU
Bng 3.1: Cc bin s nghin cu trong m hnh SVAR ....................................................................... 17
Bng 3.2: Cu trc h phng trnh SVAR dng ma trn ...................................................................... 19
Bng 3.3: Kt qu ca kim nh tnh dng theo phng php ADF cho cc bin ................................. 20
Bng 4.1: Gi tr trung bnh t k 1 n k 20 phn ng ca bin ch s sn xut cng nghip trong nc
(IP) vi cc c sc t bn ngoi ............................................................................................................ 24
5

Bng 4.2: Gi tr trung bnh t k 1 n k 20 phn ng ca bin li sut trong nc (IR) vi cc c sc
t bn ngoi .......................................................................................................................................... 26
Bng 4.3: Gi tr trung bnh t k 1 n k 20 phn ng ca bin t gi hi oi danh ngha trong nc
(EX) vi cc c sc t bn ngoi ........................................................................................................... 28
Bng 4.4: Gi tr trung bnh t k 1 n k 20 phn ng ca bin ch s gi tiu dng trong nc (CPI)
vi cc c sc t bn ngoi ................................................................................................................... 30
Bng 4.5: Gi tr trung bnh t k 1 n k 20 phn ng ca bin cung tin trong nc (M1) vi cc c
sc t bn ngoi .................................................................................................................................... 32
Bng 4.6: Phn tch phng sai ca ch s sn xut trong nc (IP) vi cc bin ngoi sinh ................. 33
Bng 4.7: Phn tch phng sai ca ch s gi tiu dng trong nc (CPI) vi cc bin ngoi sinh ....... 34
Bng 4.8: Phn tch phng sai ca cung tin M1 trong nc (M1) vi cc bin ngoi sinh ................. 35
Bng 4.9: Phn tch phng sai ca li sut bn bun trong nc (IR) vi cc bin ngoi sinh ............. 36
Bng 4.10: Phn tch phng sai ca t gi hi oi trong nc (EX) vi cc bin ngoi sinh .............. 37
Bng 4.11: Gi tr trung bnh t k 1 n k 20 phn ng ca cc bin v m trong nc vi cc c sc
khc ti Vit Nam ................................................................................................................................. 41
Bng 4.12: Phn tch phng sai ca cc bin ni sinh ti Vit Nam .................................................... 41
Bng 4.13: Cc loi puzzle ph bin trong nghin cu thc nghim ...................................................... 44
Bng PL.1.1 Cc th trng xut khu chnh ca Vit Nam ................................................................... 7
DANH MC T VIT TT
SVAR: M hnh vector t hi quy cu trc (Structural Vector Autoregression hay Structural VAR)
VAR: M hnh vector t hi quy (Vector Autoregression)
ADF: Phng php kim nh nghim n v Augmented Dickey Fuller
Shock 1: C sc t ch s gi hng ha th gii (WCPI)
Shock 2: C sc t ch s sn xut cng nghip ca M (US_IP)
Shock 3: C sc t ch s gi tiu dng ca M (US_CPI)
Shock 4: C sc t li sut FED (FED)
Shock 5: C sc t ch s sn xut cng nghip trong nc (IP)
6

Shock 6: C sc t ch s gi tiu dng trong nc (CPI)
Shock 7: C sc t ch s cung tin M1 trong nc (M1)
Shock 8: C sc t ch s li sut bn bun (IR)
Shock 9: C sc t ch s t gi hi oi danh ngha trong nc (EX)

Nghin cu cc c sc tc ng n cc bin s kinh t v m ca Vit Nam
HVTH: Bi Anh Chnh Trang 1
LI TA
Bi lun vn s dng phng php nh lng bng vic p dng m hnh Structural Vector
Autoregression (Structural VAR), gi tt l SVAR, nghin cu tc ng ca cc c sc
bn ngoi, nht l c sc t nn kinh t M, tc ng nh th no ti cc bin s kinh t v
m trong nc nh cung tin M1, li sut, t gi hi oi danh ngha, ch s gi tiu dng
CPI, ch s sn xut cng nghip (IIP), ti Vit Nam v mt s nc trong khu vc Chu
giai on t 2004 n 2012. Qua o lng mc tc ng ca cc c sc ngoi sinh ti
Vit Nam v so snh n vi cc nc trong khu vc. Cc nc c la chn so snh vi
Vit Nam gm: Nht Bn, Hn Quc v Malaysia, di d liu ly theo thng t thng 1/2004
n thng 12/2012. D liu c chy v kim nh trn phn mm Eviews 6.0. Qua phn
tch cho thy mc nh hng ca cc bin ngoi sinh l dai dng, phn ng cu trc ca
cc nc trc cc c sc ngoi sinh khng ng u, cc c sc c khuynh hng mnh
k 2-3 v sau khuynh hng tim cn dn v gi tr 0 t k 13 tr i. So vi cc nc th
khi phn tch phng sai cho thy cung tin M1 c gii thch nhiu bi bin ch s gi sn
xut th gii (WCPI), bin ng ca ch s gi tiu dng ca Vit Nam c gii thch nhiu
ca bin ch s gi tiu dng ca M (US_CPI); tng t, bin ng trong t gi hi oi ca
Vit Nam c gii thch nhiu bi bin WCPI (ln lt l 18.40% cho k 6 v 17.89% k
24); so vi cc nc th bin li sut ca Vit Nam c gii thch nhiu bi bin FED (sau
Nht Bn), mc gii thch ny c khuynh hng gim dn theo thi gian.
I. GII THIU
Chnh sch tin t lun l cng c gip n nh kinh t v m vi ht nhn l n nh tin t,
to lp nn tng cho s pht trin chung. Mt khc, nn kinh t th trng bn cht l mt nn
kinh t tin t. Do , vic n nh gi tr ng tin cng vi vic thit lp nn ti chnh quc
gia mnh l mt c s u tin cho vic kim ch lm pht v n nh nn kinh t. Ty vo
c im kinh t hay thi im c th ti mi quc gia m chnh sch tin t c th xc nh
theo hai hng: chnh sch tin t m rng (tng cung tin, gim li sut thc y sn xut
kinh doanh, gim t l tht nghip nhng lm pht c th tng cao) hay chnh sch tin t tht
cht gip n nh ng tin (gim cung tin, tng li sut lm gim u t vo sn xut kinh
doanh t gim lm pht nhng tht nghip tng).
Bng nhiu cng c khc nhau ca chnh sch tin t nh cng c ti cp vn, t l d tr bt
buc, nghip v th trng m, li sut tn dng, lm cho vai tr ca c quan iu hnh
(thng l Ngn hng trung ng) gip n nh gi tr ng tin, kim ch lm pht, to cng
n vic lm, thc y pht trin kinh t - x hi, m bo s n nh nn kinh t trong nc
cng th hin r nt hn.
Mc hiu qu ca chnh sch tin t ph thuc vo kh nng ca nh hoch nh chnh
sch trong vic nh gi chnh xc thi im, mc nh hng ca chnh sch ln cc hot
ng kinh t v gi c hng ha. V vy nhu cu nh gi chnh xc mc nh hng ca
cc c sc kinh t trong v ngoi nc hay mc nh hng ca cc chnh sch tin t ln
nn kinh t trong nc l mt nhu cu thit yu, gip cc nh to lp chnh sch a ra cc
quyt nh ng v chnh sch tin t nhm t c mc ch pht trin n nh nn kinh t.
Ti Vit Nam, k t khi t nc chuyn sang nn kinh t th trng theo nh hng x hi
ch ngha, chnh sch tin t c nhiu i mi linh hot hn, mang nhiu tnh thc tin.
Chng hn, vo thi k bao cp quan nim v lng tin cung ng cho nn kinh t ch bao
gm tin mt v mc cung bao nhiu, th sang nn kinh t th trng bn cnh lng tin mt
(C) cn tnh n kh nng to tin ca cc ngn hng thng mi, t chc tn dng khc (D).
Hay nh mc li sut cng iu chnh linh ng qua cc nm, cc giai on kinh t, ch
khng cng nhc li sut c nh trong nhiu nm nh thi k bao cp.
Ngy nay, trong bi cnh hi nhp su rng nn kinh t ton cu cng nh vic Vit Nam gia
nhp nhiu t chc kinh t th gii nh Qu tin t quc t (IMF), Ngn hng Th Gii
(Worldbank), t chc thng mi th gii (WTO), din n hp tc u (ASEM), hip hi
cc quc gia ng Nam (ASEAN), din n hp tc kinh t Chu -Thi Bnh Dng
(APEC), hay hip nh thng mi t do song phng v a phng Vit Nam k vi
t cch quc gia v t cch thnh vin nh Vit Nam-ASEAN, Vit Nam Nht Bn,
ASEAN Trung Quc, ASEAN Australia/New Zealand,t Vit Nam vo sn chi
chung ca Th gii, chu nh hng ca nhiu tc ng n t ni ti nn kinh t cng nh
n t bn ngoi quc gia. p ng c qu trnh hi nhp ny, chnh sch tin t ca
Vit Nam cn phi thay i linh hot theo hng thch nghi nhng khng b ha tan trc cc
c sc bn ngoi, t ny sinh nhu cu cp thit cn phi nghin cu tc ng ca cc c
sc kinh t ni sinh v ngoi sinh nh hng nh th no v mc nh hng l bao nhiu
ti nn kinh t trong nc, i din qua cc bin kinh t v m. y cng chnh l l do ti
chn ti Nghin cu cc c sc tc ng n cc bin s kinh t v m ca Vit Nam.
Trn th gii c nhiu phng php hay m hnh khc nhau nghin cu nh hng ca cc
c sc kinh t nh phng php VECM, phng php VAR, Structural VAR, Bayesian
vector autoregression (BVAR), generalized method of moments (GMM),. tuy nhin Vit
Nam s lng cc nghin cu s dng cc m hnh nh lng trn l rt t, v vy bi nghin
cu mong mun s dng mt trong nhng phng php trn, phng php Structural VAR
(tm dch l m hnh vector t hi quy cu trc), nghin cu nh hng hay tc ng ca
cc c sc bn ngoi, nht l cc c sc n t nn kinh t M, tc ng nh th no ti cc
bin s v m ca Vit Nam trong giai on t thng 01/2004 n thng 12/2012. D liu
c ly theo thng, ngoi bin ch s sn xut cng nghip Vit Nam c ly t Tng cc
thng k Vit Nam, cc bin khc c ly t d liu IMF.
Bi nghin cu tp trung vo gii quyt ba mc tiu chnh sau y: u tin l o lng mc
tc ng ca cc bin ngoi sinh tc ng nh th no ti Vit Nam?; th hai l so snh
mc chu nh hng ca cc bin v m Vit Nam so vi mt s nc khc nh Nht Bn,
Hn Quc, Malaysia vi cng cc yu t ngoi sinh bn ngoi (ch yu l cc bin v m ca
M)?; v cui cng l o lng phn ng ca chnh cc bin v m ti Vit Nam vi nhau
nh th no?. y l cc nc c kim ngch xut khu ca Vit Nam cao (theo s liu thng
k ca Cc hi quan Vit Nam), c mi quan h kh gn v a l nhau v cng thng c
chn trong nghin cu v cc c sc kinh t ti th trng mi ni. Nn vic tm hiu nh
hng ca cc c s ngoi sinh nh hng nh th no ti cc nc ny cng kh quan trng
cho Vit Nam.
Cc c sc ngoi sinh bao gm cc c s t ch s gi hng ha th gii (the world
commodity price index), ch s sn xut cng nghip ca M (U.S Indutrial Production
Index), ch s gi tiu dng CPI ca M (U.S Consumer Price Index), li sut cng b ca
FED. Cc bin s kinh t v m trong nc bao gm ch s sn xut cng nghip (IIP), ch s
gi tiu dng CPI, cung tin M1, li sut cho vay bn bun trung bnh ca cc ngn hng
thng mi, t gi hi oi danh ngha tnh theo USD. Cc bin c chy ring bit theo
m hnh SVAR cho tng nc, sau so snh cc nc vi nhau. Vic la chn cc bin ph
thuc rt ln vo vic xc nh c ma trn ton Ao hay khng (xem thm phn 3.2.3), gip
m hnh Structural VAR c ngha thng k vi cc bin nghin cu hay khng, v th bi
nghin cu s dng cc bin nghin cu theo nghin cu ca Raghavan and Param Silvapulle
(2007)
1
khi nghin cu v chnh sch tin t ca Malaysia trc v sau cuc khng hong ti
chnh nm 1997. Cc bin ny cng c Cushman v Zha (1997), Fung (2002) c s
dng trong nghin cu v cc nc trong khu vc ng Nam .
Bi nghin cu gm cc phn sau: phn 2 l tng quan cc nghin cu trc y v nh
hng ca cc c sc kinh t, tip n l phn phng php lun, d liu nghin cu v cui
cng l kt qu nghin cu cng nh nhng hn ch trong nghin cu.
II. CC NGHIN CU TRC Y
2.1 Cc nghin cu nc ngoi
a/ u tin l nghin cu Bartosz Mackowiak
2
(2006), External Shocks, U.S Monetary
Policy and Macroeconomic Fluctuations in Emerging Markets
Bi nghin cu ny, tc gi tp trung vo ba cu hi chnh sau:
- Mc bin ng ca cc bin v m ti th trng mi ni c gy ra bi cc c sc
ngoi sinh, c th hn l cc c sc t chnh sch tin t ca M?
- Cc nh hng t cc c sc tin t M ln th trng mi ni ln hn hay l nh hn
trn chnh nc M?
- Cc nh hng t cc c sc tin t M ti th trng mi ni l nhanh chng hay vi
mt tr?

1
Bi Structural VAR approach to Malaysian Monetary Policy Framework: Evidence from the Pre- and Post-Asian Crisis
Periods
2
Department of Economics, Humboldt Universitat zu Berlin, Germany
Tc gi s dng m hnh Structural VAR (SVAR) vi cc bin kinh t v m ca mt s nc
ti th trng mi ni, M v gi c hng ha th gii. Vi gi nh rng mt th trng mi
ni l mt nn kinh t nh m (a small economy). Vi gi thit ny gip loi b vic cc bin
ni sinh (trong nc) tc ng mnh ln cc bin ngoi sinh (nc ngoi) v gip o lng
tt hn mc nh hng ca cc bin ngoi sinh ln cc bin v m trong nc.
M hnh Structural VAR m tc gi s dng din gii nh sau:
=
(
P
S
s A s A
s A s A
0 22 21
12 11
) ( ) (
) ( ) (
(
) (
) (
2
1
s t y
s t y
=
(
) (
) (
2
1
t
t

Trong ,
- Vector bin ni sinh y
1
={li sut ngn hn, t gi hi oi, sn lng thc (real
aggregate output), ch s gi c (aggregate price level)}
- Vector bin ngoi sinh y
2
={li sut ca FED, ch s gi hng ha th gii, cung tin
ca M, sn lng thc ca M (the U.S real aggregate output), ch s gi c ca M
(the U.S aggregate price level)}.
- )] ( ); ( [ ) (
2 1
t t t l vector theo phn phi ngu nhin Gaussian tha mn
0 ] 0 ), ( | ) ( [ = > s s t y t E v E[ I s s t y t t E = > ] 0 ), ( | ) ' ( ) ( ( .
- ) (
1
t l vector c sc cu trc (structural shocks) c ngun gc ni sinh (trong nc).
- ) (
1
t l vector c sc cu trc c ngun gc ngoi sinh (nc ngoi).
- Do c gi nh mt nn kinh t mi ni l mt nn kinh t nh m (small open
economy), nn A
21
(s) =0 (vi s = 0,1,,p).
Bi nghin cu, nghin cu ti 08 nc mi ni gm HongKong, Hn Quc (Korea),
Malaysia, Phillipines, Singapore, Thi Lan v cc nc Chu M Latinh l Chil v Mexico,
vi di d liu ly t thng 1/1986 n 12/2000, tr Thi Lan t thng 1/1987 do thiu d
liu.
Tc gi tm thy kt qu rng:
- Cc c sc ngoi sinh gi vai tr quan trng trong vic gii thch s bin ng trong
cc bin s kinh t v m ti cc th trng mi ni, y l khu vc ng Nam v
khu vc Chu M Latinh. Cc bin ny gii thch gn 1/2 bin ng trong t gi hi
oi (chng hn Thi Lan l 60% cho k 1-24, 65% cho k 25-48; Malaysia l 55%
cho k 1-24, 58% cho k 25-48 ) v mc gi (chng hn Singapore l 51% cho k 1-
24, 81% cho k 25-48; Mexico l 47% cho k 1-24, 78% cho k 25-48); gii thch
khong 1/5 trong bin ng trong li sut (chng hn Philippines l 29% cho k 1-24,
42% cho k 25-48) v sn lng thc (chng hn Hongkong l 50% cho k 1-24, 72%
cho k 25-48).
- Mc gii thch ca cc bin ngoi sinh l khc nhau gia cc th trng khc nhau.
- Qua bi nghin cu, tc gi cng xut rng cc c sc ngoi sinh nn ng mt vai
tr quan trng trong cc m hnh p dng cho th trng mi ni; v nhng thay i
trong t gi bn ngoi c th c cc nh hng khc nhau ph thuc vo c hay khng
vic chng phn nh c sc vi chnh sch tin t ca M hay phn ng mang tnh h
thng t li sut ca Fed n cc loi c sc khc; cng nh lm th no gi cn
bng nn kinh t trc nh hng ca cc c sc bn ngoi.
b/. Tip n l nghin cu ca 03 tc gi Jean-Pierre Allegret, Ccile Couharde v Cyriac
Guillaumin, bi nghin cu The impact of External Shocks in East Asia: Lessons from a
Structural VAR Model with Block Exogeneity. Cc tc gi mun kim tra mc nh hng
ca cc c sc ngoi sinh (external shocks) ti cc bin ng trong nc ti cc nc ng
Nam (East Asian) bng m hnh Structural VAR vi cc bin chia lm 02 nhm vector:
vector cc bin ni sinh (y
2
) v vector cc bin ngoi sinh (y
1
). Cc bin ni sinh gm: sn
lng thc (y
d
)
3
, ch s gi nh sn xut trong nc (p
d
), v t gi danh ngha tnh theo USD
(n
d
); bin ngoi sinh gm c gi du thc (rBent the real oil price), GDP thc ca M
(U.S.gdp the real U.S.GDP), li sut ca Fed (Fed Funds - the Fed Funds interest rate) v
ch s MSCI (MSCI). Cc tc gi nghin cu ti cc nc: Trung Quc, Hn Quc, Hng

3
Trong bi nghin cu, tc gi ghi nhn ch s ny ly l GDP hoc nu khng c th ly ch s sn xut cng nghip
(industrial production index).
Kong SAR
4
, Indonesia, Nht Bn, Malaysia, Philippines, Singapore v Thi Lan, di d liu
ly theo Qu, t Qu 1/1997 ti Qu 4/2010, vi 02 nhm c tch ra cho ring 2 thi k
khng hong 1997 v 2008. Tc gi s dng bin gi, nhm 1 cho giai on Qu 2/1997 n
Qu 3/2008 v nhm hai cho giai on Qu 3/2008 n Qu 4/2010.
Cng nh cc bi nghin cu khc, cc tc gi tch ring o lng nh hng ca tng nc,
sau tng hp v so snh mc nh hng ca cc bin ngoi sinh gia cc nc vi
nhau. Qua phn tch, tc gi tm thy cc kt qu sau:
V GDP:
- Trong tt c cc nc, tr Indonesia, vi khong thi gian t k 1 n k 4 th cc c
sc ngoi sinh gii thch t nht 11% cho bin ng ca GDP, ring GDP ca Nht Bn
v Hng Kng d b nhy cm nht vi cc c sc ngoi sinh ny, tng ng l 58.8%
v 36.8%.
- Trong giai on t Qu 1/1996 n Qu 4/2010, th hin s tng ln r rng nh
hng ca cc c sc ngoi sinh. Nht l trong ngn hn, cc c sc ny gii thch hn
15% bin ng ca GDP; cn trong di hn xt t k 16-20 cc c sc ny u tng,
tr Hng Kng gim xung mc 28.92% so vi mc ngn hn 32.87% (mc ngn
hn t k 1 n k 4).
- Cc c sc ngoi sinh nh hng nhiu ln ch s gi ngi sn xut (PPI-producer
price index) hn so vi ch s GDP. Trong khi giai on 1996-2010, th GDP trong
nc c khuynh hng b nh hng nhiu hn bi gi du th gii.
V gi tr t gi danh ngha:
- Tc ng ca cc c sc ngoi sinh ln bin t gi danh ngha tnh theo USD (gi tt l
NER) th thp trong k 1-4 cho cc nc v c 06 nc di 10% l Trung Quc
(9.53%), HongKong (8.11%), Indonesia (7.46%), J apan (1.63%), Malaysia (8.87%) v
Thailand (6.29%); cn trong di hn vi k 16-20 th gi tr tc ng ny ln vi tt c

4
Hong Kong Special Administrative Region (Hong Kong SAR) l mt c khu hnh chnh thuc Cng ha Nhn dn
Trung Hoa nm trn b bin ng Nam ca Trung Quc, gm hn 260 hn o, nm v pha ng ca ng bng chu
th Chu Giang, gip vi tnh Qung ng v pha Bc v nhn ra bin ng pha ng, Ty v Nam.
cc nc nghin cu. c bit trong giai on 1996-2010, gi tr tc ng ny tng
ng k, nh Japan (t 1.63% ln 23.65% cng k 1-4), Trung Quc (t 9.53% ln
46.02% cho k 1-4, 90.89% cho k 16-20).
V ch s PPI:
- nh hng ca gi du th mnh hn ln ch s PPI so vi cc bin s khc. Bi
nghin cu cng cho thy rng cc c sc thc th nh hng mnh hn cc c sc v
ti chnh (i din l ch s MSCI) hay tin t (i din l ch s Fed Funds). Trong tt
c cc nc, trong ngn hn c sc gi du tc ng ln ch s PPI hn 20% (tr Trung
Quc 15.75%)
Trong bi ny, tc gi cng ch ra 02 nguyn nhn chnh dn n s gim st nh hng GDP
ca M ln cc nc Asian. Th nht l do bt u t nhng nm 1990 giao dch gia cc
nc trong khu vc tng ln. Th hai l do s nh hng thng mi ca Trung Quc ngy
cng tng trong khu vc v trn th gii, theo tc gi ghi nhn th mc ny mnh hn t
sau nm 2000.
c/ Tip na l bi Structural VAR approach to Malaysian Monetary Policy Framework:
Evidence from the Pre- and Post-Asian Crisis Periods, Mala Raghavan and Param Silvapulle
(2007).
Trong bi nghin cu ny tc gi cng s dng m hnh Structural VAR, vi d liu t thng
01/1980 n thng 05/2006, vi 09 bin c s dng nghin cu phn ng trc cc c
sc ngoi sinh tc ng nh th no ti nn kinh t nh mi ni nh Malaysia, nht l tc
ng ti cc chnh sch tin t ca Malaysia trc v sau cuc khng hong ti chnh nm
1997. Di d liu chia lm 02 giai on: giai on trc khng hong t thng 1/1980 n
thng 06/1997 v giai on sau khng hong t thng 1/1998 n thng 5/2006. Cc bin
nghin cu chia thnh 02 nhm: nhm ngoi sinh gm ch s gi hng ha th gii (PC
World Commodity Price Index), ch s sn xut cng nghip M (IP
u
Industrial
Production), ch s gi tiu dng M (P
u
Consumer Price Index), li sut Fed (IR
u
Federal
Funds rate); nhm th hai gm ch s sn xut cng nghip Malaysia (IP
M
Industrial
Production), ch s gi tiu dng Malaysia (P
M
Consumer Price Index), cung tin M1 (M
1M
-
Monetary Aggregate M1), li sut qua m (IR
M
- Overnight Inter-bank rate) v t gi danh
ngha (EX
M
Nominal Effective Exchange Rate). Ngoi bin li sut Fed v li sut qua m
c tnh bng n v phn trm (%), cc bin khc c ly logarit. Tc gi p t cc rng
buc xc nh trong m hnh SVAR nhm mc ch xc nh liu chng cc bin ng trong
cc c ch truyn dn tin t ca Malaysia thay i sau cuc khng hong. Hay tc gi k
vng c th cung cp cho ngn hng trung ng Malaysia (BNM Bank Negara Malaysia)
cc quan im gi tr trong vic xc nh cc knh truyn dn quan trng, cung cp nhiu
thng tin v cc c sc chnh sch tin t, gip Ngn hng trung ng Malaysia tc ng ln
cc knh ph hp m bo chnh sch tin t mang li hiu qu, gp phn tng trng kinh
t v duy tr n nh gi hng ha.
Qua phn tch tc gi thu c cc kt qu sau:
- Trong giai on trc khng hong, cc c sc tin t v t gi c khuynh hng nh
hng ng k ln sn lng, gi, li sut, cung tin v t gi. Sau giai on khng
hong, cung tin c khuynh hng nh hng mnh ln sn lng.
- Mc ca cc c sc bn ngoi v bn trong gim sau giai on khng hong. C
th, vi c sc ca cc bin bn ngoi nh gi c hng ha th gii gim t 0.0198
xung 0.0185, sn lng cng nghip ca M gim t 0.0052 xung 0.0049, li sut
ca FED gim t 0.4473 xung 0.1178, ring ch s gi tiu dng ca M tng t
0.0020 ln 0.0025; cc bin ni sinh nh ch s sn xut cng nghip ca Malaysia
gim t 0.0510 xung 0.0235, ch s sn xut cng nghip gim t 0.0035 xung
0.0025, cung tin gim t 0.0220 xung 0.0192,
- Phn tch hm phn ng y trc v sau khng hong cho thy cc bin ni sinh c
khuynh hng phn ng dng vi cc bin ngoi sinh, nht l bin li sut qua m
ca Malaysia trc khng hong phn ng m bin li sut fed, nhng sau khng
hong phn ng ny l dng.
- Khi phn tch phng sai (variance decomposition) tc gi thy rng trc giai on
khng hong th k ngn t k 1 n k 12, mc bin ng ca cc bin ni sinh
ch yu c gii thch bng cc bin ni sinh trong nc, cc bin ngoi sinh tc
ng nhiu v r nt hn t k 24 n k 48 (chng hn output c gii thch bng
ch s gi th gii k 1 l 0%, k 12 l 0.7%, sang k 24 l 0.95%, sang k 48 l
15.86%), tuy nhin vi t gi th mc gii thch ca cc bin ngoi sinh a phn c
khuynh hng gim dn (chng hn k 12 ch s sn xut cng nghip M gii thch
10.89%, sang k 24 gim xung 9.83%, k 48 xung 4.78%)
- Trong khi giai on sau khng hong th mc gii thch ca cc bin ngoi
sinh li tng mnh hn nhiu theo k di hn (chng hn ch s gi th gii k 12
gii thch 3.15% bin ng ca cung tin, sang k 24 l 7.25%, k 48 tng vt ln
31.53%; iu ny cng xy ra tng t vi ch s gi sn xut cng nghip M tc
ng ln li sut t mc 2.83% k 12 ln mc 23.72% k 48)
2.2 Cc nghin cu trong nc
Trong phn ny, bi nghin cu ch nu 02 bi nghin cu in hnh v s dng m hnh nh
lng nghin cu cc c sc Vit Nam. V a phn, cc bi nghin cu ti Vit Nam ch
yu tp trung vo cc c sc ni sinh (c sc trong nc) tc ng ln cc bin s kinh t v
m trong nc, m phn ln l cc nghin cu yu t tc ng ln lm pht ti Vit Nam, cc
nghin cu c sc c s dng m hnh SVAR l rt t.
u tin l nghin cu nh lng o lng nh hng ca cc c sc ngoi sinh tc ng
n nn kinh t Vit Nam ca tc gi Nguyn Phi Ln, tc gi s dng phng php m
hnh Structural VAR (SVAR) m hnh ha khun kh chnh sch tin t ca mt nn kinh
t th trng vi m ln nh Vit Nam trong giai on sau khng hong ti chnh khu vc
nm 1997 vi chui d liu t thng 1/1998 n thng 12/2009, vi cc bin thuc hai khu
vc. Khu vc quc t: Ch s CPI ca th gii (WCPI), sn lng cng nghip ca Hoa K
(USSL), ch s CPI ca Hoa K (USCPI), li sut cng b ca FED (USLS) v khu vc
trong nc gm: Sn lng cng nghip trong nc (SL), ch s CPI trong nc (CPI), cung
tin M2 (M2), li sut ngn hn 3 thng VND (LS), t gi hi oi gia USD v VND (EX).
Tc gi thy rng li sut VND ca Vit Nam c xu hng chu tc ng tng i mnh v
ngay lp tc trc xu th bin ng ca gi c th gii v gi c ti Hoa K. iu ny hm
rng nn kinh t Vit Nam c m tng i ln, do chnh sch tin t ca Vit Nam
tng i nhy cm v d b tn thng trc cc tc ng ca vic tng gi c hng ha th
gii. Cn khi nn kinh t Hoa K c xu hng phc hi v n nh th li sut VND c xu
hng gim v t bin ng hn so vi mc bin ng ca n trc vic tng gi c trn th
trng th gii v ti Hoa K. V sn lng cng nghip, CPI v li sut trong nc phn
ng tng i mnh m khi FED thc hin chnh sch tin t tht cht. S bin ng ca sn
lng cng nghip trong nc trong trung hn ch yu do cc nhn t bn ngoi c th l
mc bin ng sn lng cng nghip (h s gii thch 14,45%), lm pht ca Hoa K (h s
gii thch 9,25%) v vic iu chnh li sut ca FED (h s gii thch 8,14%) cng nh ch
s gi c hng ha th gii (h s gii thch 6,78%). Cc nhn t trong nc gii thch chnh
cho s bin ng sn lng trong nc l s thay i li sut trn th trng tin t (4.62%
cho k 48 thng), tc tng CPI (15.98% cho k 48 thng) v cung tin M2 (28.94% cho k
48 thng). Ngoi ra, phn tch phng sai cho thy h s gii thch ca bin sn lng cng
nghip ca Hoa K (USSL) v sn lng cng nghip trong nc (SL) i vi s bin ng
ca cung tin M2 (M2) ln lt l 20,07% v 28,94%, cho thy vic tng hay gim mc cung
ng tin ra lu thng ph thuc rt nhiu vo du hin tng trng kinh t trong nc cng
nh tng trng kinh t Hoa K.
Tip n l nghin cu ca hai tc gi Nguyn Th Thu Hng v Nguyn c Thnh (2010),
bi Cc nhn t v m quyt nh lm pht Vit Nam giai on 2000 2010: cc bng
chng v tho lun. Hai tc gi s dng phng php tip cn da theo cc bng chng
nhm xc nh v phn tch cc nguyn nhn c bn ca lm pht Vit Nam trong nhng
nm gn y. Theo tc gi, nhng nghin cu v lm pht Vit Nam a phn tp trung vo
nhn t cu ko ca lm pht v b qua cc nhn t chi ph y. Nhn t duy nht t
pha cung c a vo m hnh nghin cu ny l gi quc t (thng c gi l c sc
cung t bn ngoi). ng thi, mt nhn t quan trong t pha cu cha c nghin cu
nh lng l vai tr ca thm ht ngn sch v n cng n lm pht. Nghin cu ca tc gi
vi hi vng s em n nhng tho lun chnh sch hin nay Vit Nam mt nghin cu v
m ng tin cy vi mt phng php mang tnh khoa hc v da vo cc bng chng thc
nghim v cc nguyn nhn ca lm pht.
M hnh s dng 12 bin v m vi s liu theo thng trong giai on t nm 2000 n nm
2010, chia lm hai nhm bin l nhm bin truyn thng vi cc ch s: Ch s gi tiu dng
(cpi), Gi tr sn xut cng nghip (ind), cung tin (m2), t gi (ex_rate), li sut (in_rate),
gi du th gii (wp_oil) v nhm bin m rng thm nhm lm phong ph thm m hnh
cng nh ph hp hn vi trng hp Vit Nam vi cc ch s thm l: ch s gi go th
gii (wp_rice), ch s gi nhp khu (pi), ch s gi bn ca ngi sn xut (ppi), thm ht
ngn sch cng dn (p_debt), gi ti sn ti chnh (t_val). Cc bin c c lng da trn
m hnh iu chnh sai s VECM (Vector Error Correction Model) tc gi tm thy cc kt
qu sau:
Vi nhm bin truyn thng:
- Th nht l lm pht t l nghch mc thp vi thay i trong tc tng trng
sn lng. Kt qu ny khng nh l thuyt kinh t rng tc tng trng cao hn
lm gim p lc i vi lm pht.
- Th hai l kt qu ca m hnh khng nh li kt qu ca cc nghin cu trong qu
kh rng: trong ngn hn, lm pht trong qu kh ng vai tr quan trng trong vic
quyt nh lm pht hin ti. Tnh tr tr cao ny ca lm pht khng phi l iu ngc
nhin, bi do k c ca ngi dn v siu lm pht nhng nm 1980 - 1990 v vic
lm pht quay tr li mc trn mt con s ca 2008 vn cn su m.
- Th ba l cc kt qu ca m hnh vi nhm bin truyn thng cng khng nh li
nhng pht hin trc y v vai tr rt khim tn thm ch hu nh khng c ca tin
t v li sut trong ngn hn. Tc ng ca tin t ln lm pht ch bt u c nh
hng sau 5 thng. Vic tng li sut cng c tc ng gim lm pht nhng rt nh.
Mc khc lm pht trong qu kh c tc dng lm tng li sut vi tr 3 thng
chng t chnh sch tin t ng vai tr b ng v chm tr trong phn ng vi lm
pht
- Th t l vic ph gi c tc ng lm tng lm pht, kt qu ny khc vi kt qu ca
cc nghin cu trc y ch yu c nghin cu trong giai on t gi c gi
tng i cng nhc, v cng do giai on 2009 2010 nim tin ca ngi dn vo
tin ng b st gim, hot ng u c v tnh trng la ha dn n k vng lm
pht tr li ca ngi dn tng
- Th nm l m hnh c s (truyn thng) khng nh kt qu nghin cu trc y
rng gi quc t khng c nhiu tc ng n lm pht v cng lu rng do bin gi
du th gii i din cho gi ca th gii, cn hin Chnh ph Vit Nam vn cn ang
tr gi cho gi du.
Vi m hnh c thm cc bin m rng th:
- Th nht, trong ngn hn tc tng cung tin c tc ng ln hn v di hn (nhng
vn l tc ng nh) ln PPI hn l ln lm pht v iu tng t cng ng vi tn
dng. Cho thy chnh sch tin t tc ng ln hn i vi nn kinh t hn l lm pht,
cn lm pht c th ch yu ph thuc vo k vng ca ngi dn. V bin ng ngn
hn trong li sut cng c tc ng nhanh hn, nhng nh hn i vi lm pht hn so
vi tc ng ca cung tin.
- Th hai, t gi khng ch c tc dng ln lm pht m ln c PPI nhng chm hn.
iu ny l do hnh vi nh gi ca doanh nghip thng cng nhc hn do cn phi
c thi gian t khi u vo c nhp khu cho n khi sn lng c sn xut v
bn ra trn th trng.
- Th ba, nhng thay i trong thm ht ngn sch cng dn khng c tc ng n lm
pht trong ngn hn, v c tc ng tuy nh n PPI sau 4-5 thng.
- Th t, cc c sc gi th gii nh hng nhiu n ngi sn xut hn l ngi tiu
dng. Nhng thay i trong gi du hay gi go th gii c tc ng nh hn nhiu so
vi tc ng ca ch s chung v gi go th gii c tc ng ln hn mt cht so vi
gi du th gii.
Tm li
Trn th gii c rt nhiu cc nghin cu s dng m hnh SVAR k t nghin cu ca
Sims (1972) o lng mc phn ng ca cc c sc ngoi sinh tc ng n cc bin s
kinh t v m trong nc, tuy nhin Vit Nam s lng cc nghin cu s dng m hnh
ny cn rt t. Cc bi nghin cu ni chung u cho thy mc tng phn ng ca cc
bin ngoi sinh ti cc bin ni sinh c xu hng tng theo thi gian, nht l sau cc cuc
khng hong ti chnh, c bit l cc c sc t nn kinh t M, thay i li sut ca Cc d
tr lin bang M (Fed). Mc tc ng ca cc c sc ngoi sinh n t nn kinh t M tc
ng khc nhau ln cc bin s v m trong nc v khuynh hng phn ng dai dng trong
di hn. Chng hn nh nghin cu ca Mackowiak (2003), ng s dng m hnh SVAR
nh lng mc ph thuc quc t ca mt vi nc mi ni ti Chu v Chu M
La Tinh. ng ch ra rng phn ln bin ng kinh t v m ti cc th trng mi ni b nh
hng nhiu bi cc c sc ngoi sinh, nhiu trng hp trn 50%. Markowiak tm ra hai kt
qu chnh: u tin, cc bin ng ngoi sinh trong c sc n t chnh sch tin t M gii
thch mt phn ng k bin ng ca cc bin ni sinh ti cc th trng mi ni. Th hai,
tt c cc c sc ngoi sinh c khuynh hng nh hng dai dng trong di hn. Hay Gimet
(2011) nghin cu mc d b tn thng ca cc nc ng Nam s dng m hnh
vector t hi quy cu trc Bayesian. B so snh hai giai on khng hong l khng hong
nm 1997 1999 v giai on khng hong 2007 2009. Kt qu ca B ch ra rng mc
tn thng ti chnh ca cc nc ng Nam gim trong sut thi k ny nhng mc
phn ng vi cc c sc ti chnh th gii l khng ging nhau gia cc nc.
III. M HNH V D LIU NGHIN CU
3.1. Mt s phng thc tc ng ca cc c sc t bn ngoi n cc bin s kinh t v
m trong nc.
nh hng ca cc c sc bn ngoi mt quc gia theo nhiu phng thc truyn dn tc
ng ln cc bin s kinh t v m trong nc theo cc mc khc nhau. c th l nh
hng ca gi du th gii, gi thc phm th gii tc ng ln gi c hng ha trong nc,
gy ra lm pht, gi c hng ha cao trong khi thu nhp cha tng kp lm gim mc
tiu th hng ha, ko theo sn xut tr tr, hng ha tiu th chm hn, lm tng t l tht
nghip cng nh thu nhp thc trong dn c gim do chi ph sinh hot tng ln. Vic tiu th
hng ha kh khn, y doanh nghip lm n km hiu qu hn, thu nhp rng gim, khin
lng tin dnh ti u t cng gim theo. Lm pht tng ln dn n vic Ngn hng nh
nc (NHNN) phi can thip bng chnh sch tin t tht cht, tng li sut ht tin trong
dn c, kt qu l lm pht gim nhng lng tin cho u t gim theo ko kinh t tng
trng chm hn,
Phng thc lan truyn ny c th c m phng qua bi nghin cu ca Muhammad
Arshad Khan et al (2011) Macroeconomic Effects of Global Food and Oil price Shocks to
the Pakistan Economy: A Structural Vector Autoregressive (SVAR) analysis.

Ngun: paper Macroeconomic Effects of Global Food and Oil price Shocks to the Pakistan Economy: A
Structural Vector Autoregressive (SVAR) analysis ca Muhammad Arshad Khan et al (2011)

Mt phng thc truyn dn na theo Jarir Ajluni (2005) a ra qua bi Monetary Policy
Shocks in a small open economy: assessing the Puzzles of Monetary Policy by SVAR
(trang 5) l tc ng ca cc c sc bn ngoi ln chnh k vng ca cc yu t trong nc.

Ngun: paper Monetary Policy Shocks in a small open economy: assessing the Puzzles of Monetary Policy
by SVAR ca Jarir Ajluni (2005)
c hai phng thc tc ng trn u cho thy cc yu t bn ngoi c tc ng trc tip
hoc gin tip ti cc bin s v m trong nc. Phng thc tc ng trc tip ln gi c
hng ha trong nc, sn lng hoc tc ng gin tip ln k vng ca ngi dn dn ti s
tc ng ln sn lng sn xut v gi c hng ha, lm pht trong nc,
3.2. Xy dng m hnh SVAR cho bi nghin cu
3.2.1 La chn cc bin v phn tch s lc
Cc bin trong nc v quc t c s dng trong bi lun vn da trn cc bin ca Mala
Raghavan and Param Silvapulle (2007) nghin cu trong bi nghin cu Structural VAR
approach to Malaysian Monetary Policy Framework: Evidence from the Pre- and Post-Asian
Crisis Periods. Cc bin ny cng c Cushman v Zha (1997), Fung (2002) s dng khi
nghin cu v cc nc trong khu vc ng Nam .
Theo , cc bin nghin cu gm:
Bng 3.1: Cc bin s nghin cu trong m hnh SVAR
5

STT Bi n Di n gi i K hiu
1 Ch s gi hng ha th gii Commodity Prices, (Index, 2005 =100), logs WCPI
2 Sn lng cng nghip M Industrial Production (Index, 2005 =100), logs US_IP
3 Ch s gi tiu dng M Consumer Price Index (2005 =100), logs US_CPI
4 Li sut Fed Federal Funds Rate, %/nm FED
5 Sn lng cng nghip Industrial Production (Index, 2005 =100), logs IP
6 Ch s gi tiu dng Consumer Price Index (Index, 2005 =100), logs CPI
7 Cung tin M1 Monertary Aggregate M1, logs, vt: USD M1
8 Li sut cho vay Interest Rates, Lending Rate, %/nm IR
9 T gi hi oi T gi hi oi tnh theo USD, logs EX
Cc bin trong nc
Cc bin ngoi si nh t M

Trong 9 bin c s dng c 4 bin i din cho nhm cc bin s ngoi sinh gm gi hng
ha quc t (WCPI), bin sn lng cng nghip ca M (US_IP), bin ch s gi tiu dng
ca M (US_CPI), li sut cc d tr lin bang M Fed (FED). Nm bin ni sinh trong nc
gm ch s sn xut cng nghip (IP), ch s gi tiu dng (CPI), cung tin (M1), li sut cho
vay bnh qun (IR) v t gi hi oi danh ngha (EX) c k hiu ln lt nh sau: vi Vit
Nam ln lt l VN_IP, VN_CPI, VN_M1, VN_IR, VN_EX; vi Nht Bn ln lt l J P_IP,
J P_CPI, J P_M1, J P_IR, J P_EX, vi Hn Quc ln lt l HQ_IP, HQ_CPI, HQ_M1, HQ_IR,
HQ_EX; vi Malaysia ln lt l Malay_IP, Malay_CPI, Malay_M1, Malay_IR, Malay_EX.

5
Ngoi bin li sut cho vay ly theo n v phn trm, th cc bin khc ly theo logarit t nhin
Nm bin ni sinh th hin cho nn kinh t trong nc gm ch s sn xut cng nghip
(Industrial Production Index), ch s gi tiu dng (Consumer Price Index) hai bin ny i
din cho cc bin mc tiu ca chnh sch tin t v c bit n nh cc bin phi chnh
sch. Theo Tang (2006) cho rng bin cung tin M1 l ph hp khi phn tch cc cng c ca
chnh sch tin t. Theo cc nghin cu ca Domac (1999), Ibrahim (2005), Umezaki (2006)
v nghin cu ca Mala Raghavan and Param Silvapulle (2007) v chnh sch tin t th bin
li sut qua m l ph hp khi la chn phn tch cng c ca chnh sch tin t, tuy
nhin do khng di d liu t 2004 n 2012 cho mc li sut ny ti Vit Nam, nn trong
bi s dng li sut bn bun bnh qun hng thng, d liu c ly t Qu tin t th gii
(IMF). Bin cung tin M1 v bin t gi hi oi danh ngha (tnh theo USD) i din cho
bin chnh sch tin t ca Ngn hng trung ng cc nc. Thng thng cc nc xc
nh v iu hnh, qun l bin ng t gi hi oi ca nc mnh theo gi tr ng dollar
M (USD).
3.2.2 M hnh Structural VAR (SVAR)
Mi quan h gia cc bin kinh t v m bn trong v bn ngoi c th c m hnh ha
theo phng trnh SVAR sau y:
t p t p t t t
Y A Y A Y A Y A + + + + =

..
2 2 1 1 0
(i)
Vi )' , (
, 2 , 1 t t t
Y Y Y = trong :
- Y
1,t
l vector bin ngoi sinh i din cho cc bin v m bn ngoi.
)' , _ , _ , (
, 1 t t t t t
FED CPI US IP US WP Y =
- Y
2,t
l vector bin ni sinh i din cho cc bin v m trong nc
)' , , 1 , , (
, 2 t t t t t t
EX IR M CPI IP Y =
1 0 0 0 0 0 0 0 0 b
11
0 0 0 0 0 0 0 0
0 1 0 0 0 0 0 0 0 0 b22 0 0 0 0 0 0 0
0 a
32
1 a
33
0 0 0 0 0 0 0 b
33
0 0 0 0 0 0
0 a
42
a
43
1 0 0 0 0 0 0 0 0 b
44
0 0 0 0 0
0 0 0 0 1 0 0 0 0 = 0 0 0 0 b
55
0 0 0 0
0 0 0 0 a65 1 0 0 0 0 0 0 0 0 b66 0 0 0
0 0 0 0 a
75
a
85
1 0 0 0 0 0 0 0 0 b
77
0 0
a
81
0 0 a
84
a
85
a
86
a
87
1 0 0 0 0 0 0 0 0 b
88
0
a
91
a
92
a
93
a
94
a
95
a
96
a
97
a
98
1 0 0 0 0 0 0 0 0 b
99
WCPI
u
IP US
u
_
CPI US
u
_
FED
u
IP
u
CPI
u
1 M
u
IR
u
EX
u
WCPI
IP US _
CPI US _
FED
IP
CPI
1 M
IR
EX
V | |' ) ( ), ( ) (
2 1
t t t = l sai s nhiu trng a bin hay c sc cu trc tha mn cc c tnh
sau:
, 0 ) ( =
t
E
( )

=
=
) ( 0
) (
'
otherwise
t
E
t

6

Trong m hnh SVAR gi nh rng cc c sc cu trc
t
l trc giao, nh m cc nhiu
cu trc (structural disturbances) khng tng quan v ma trn gi tr phng sai hip
phng sai (k hiu l) l khng i.
3.2.3 Cc rng buc cho ma trn ca SVAR
Trong bi nghin cu ny s dng theo ma trn rng buc A
0
ca tc gi Mala Raghavan v
Param Silvapulle trong bi Structural VAR approach to Malaysian Monetary Policy
Framework: Evidence from the Pre- and Post-Asian Crisis Periods. Theo ma trn trong
SVAR c xc nh nh sau
7

Bng 3.2: Cu trc h phng trnh SVAR dng ma trn

6
Gi tr ( )
'

t
E = l gi tr phng sai var, cn ( )
'

t
E =0 chnh l ma trn covariance gia hai c sc.
7
Cc k hiu bin IP, CPI, M1, IR v EX i din cho bin sn lng cng nghip, ch s gi, cung tin M1, li sut v t
gi hi oi danh ngha ca cc nc.
Theo ma trn ny th cc bin trong nc khng gii thch cho bin ng cc bin ngoi sinh,
gi thit ny gip o lng st hn tc ng ca cc c sc bn ngoi tc ng ln cc bin s
trong nc. iu ny tng t nh gi thit ca cc bi nghin cu lin quan n th trng
mi ni v nn kinh t nh (a small open economy). Bin ch s gi hng ha th gii ch
c gii thch bng bin ng ca chnh n.
3.3. D liu nghin cu
Di d liu ly theo thng, t thng 01/2004 n thng 12/2012, cc ch s ly t Qu tin t
th gii (IMF). Ring ch s sn xut cng nghip ca Vit Nam ly t Tng cc thng k
Vit Nam. Li sut ca cc d tr lin bang M ly t website http://ycharts.com/. Cc ch s
gi v ch s sn xut cng nghip ly theo nm gc l 2005. Ngoi tr bin li sut ly theo
gi tr phn trm (%), cc bin khc ly theo hm logarit t nhin. Cc nc nghin cu ngoi
Vit Nam l Nht Bn, Hn Quc, Malaysia. Vic ly cc ch s dng logarit t nhin s
lm gim nh hng ca bin ng phi tuyn ca di d liu. Hn na, theo Mala Raghavan
v Param Silvapulle (2007), Trn Ngc Th (2013) u cho rng khi chuyn cc bin c c
tnh khng dng v sai phn p dng VAR l m hnh ng nhng khng hiu qu. V
vy, Mala Raghavan v Param Silvapulle (2007) chn ly logarit t nhin cho cc bin
nghin cu sau tin hnh m hnh SVAR.
Kim nh tnh dng theo phng php ADF ca cc bin ta c nh sau:
Bng 3.3: Kt qu ca kim nh tnh dng theo phng php ADF cho cc bin
8

Kim nh tnh dng (theo phng php ADF)
Bin
Khng sai
phn
Sai phn
bc 1
Sai phn bc 2
WCPI -0.433 -7.150 -3.624
US_IP -3.498** -1.811 -4.570
US_CPI -1.318 -6.243 -10.883
FED -1.079 -3.912 -8.559

8
Cc gi tr ny mang tnh i din, sau khi so snh vi gi tr Test Critical Values cc mc ngha khc nhau,
th hin tng bin s dng mc sai phn bc my v dng mc ngha no.

VN_IP -2.345 -7.033 -8.969
VN_CPI 0.288 -5.614 -13.732
VN_M1 -1.493 -7.974 -8.213
VN_IR -3.376** -6.632 -16.271
VN_EX 0.742 -8.290 -8.094

JP_IP -2.492 -2.77*** -7.694
JP_CPI -2.161 -8.475 -8.178
JP_M1 -0.174 -9.890 -7.800
JP_IR -1.008 -2.164 -14.755
JP_EX -0.483 -8.670 -9.339

Malay_IP -2.173 -11.901 -6.211
Malay_CPI -1.066 -6.774 -13.262
Malay_M1 0.034 -10.015 -10.170
Malay_IR -0.569 -4.715 -19.272
Malay_EX -1.102 -7.285 -10.022

HQ_IP -1.679 -13.970 -5.851
HQ_CPI -0.105 -9.115 -8.448
HQ_M1 -1.307 -9.254 -8.863
HQ_IR -2.098 -5.949 -12.272
HQ_EX -1.976 -7.064 -10.002
Ngun: Tc gi tnh ton v tng hp li t phn mm thng k
Cc s bi m th hin chui d liu mc sai phn tng ng dng vi mc ngha 1%,
du ** th hin dng vi mc ngha 5% v du *** dng vi mc ngha 10%. Qua
bng trn cho thy cc bin a phn u dng sai phn bc 1, t y ta c th s dng kim
nh ng lin kt da trn phng php VAR ca Johansen
9
tm kim mi quan h di
hn gia cc bin, tuy nhin bi nghin cu ny ch tp trung su hn vo m hnh SVAR v
tp trung vo phn ng ng thi trong ngn hn gia cc bin nh gi nh hng ca
chnh sch tin t.
Cc bc tin hnh chy m hnh SVAR trn Eviews 6.0 nh sau:
- Bc 1: Kim nh tnh dng ca cc bin.
- Bc 2: Chy m hnh theo cch chy ca VAR (vi iu kin cc bin c khai bo
dng mc sai phn thch hp) ra m hnh VAR dng gin lc.
- Bc 3: Kim nh gi tr tr ti u (Lag Structure/Lag Length Criteria).
- Bc 4: Kim nh gi tr tr cn loi b v chn m hnh li tr nu c tr
cn loi b (Lag Structure/Lag Exclusion Tests)..
- Bc 5: Kim nh t tng quan phn d (phng php kim nh Autocorrelation
LM Test v phng php kim nh Portmanteau Autocorrelation Test).
- Bc 6: Kim nh vng trn n v xc nh m hnh VAR thc s dng hay
cha. Nu cha th kim nh li cc tr, chy li cho n khi no vng trn n v
ny th hin cc gi tr u <=1.
- Bc 7: Khai bo ma trn Ao vo m hnh VAR hin ti (Proc/Estimation Structural
Factorization.).
- Bc 8: c kt qu hm phn ng y v phn tch phng sai theo phn tch cu
trc (Structural Decomposition).
IV. KT QU NGHIN CU
4.1 Phn tch hm phn ng y hay phn ng xung
Cc th di y c tc gi tnh ton t phn mm thng k tc gi thc hin v v li
di dng th.

9
Cch kim nh ny ch c hiu lc khi cc bin l khng dng
4.1.1 Hm phn ng y ca sn lng cng nghip trong nc vi cc bin bn ngoi

-0.03
-0.02
-0.01
0
0.01
0.02
0.03
0.04
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.1 Phn ng ca sn lng cng nghip vi c sc ch s gi
Th gii (Shock 1)
Phn ng ca bin HQ_IP Phn ng ca bin JP_IP
Phn ng ca bin MALAY_IP Phn ng ca bin VN_IP
-0.03
-0.02
-0.01
0
0.01
0.02
0.03
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.2: Phn ng ca sn lng cng nghip vi c sc ch s
sn lng cng nghip M (Shock 2)
-0.02
-0.015
-0.01
-0.005
0
0.005
0.01
0.015
0.02
0.025
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.3: Phn ng ca sn lng cng nghip vi c sc ch s gi
ca M (Shock 3)
-0.015
-0.01
-0.005
0
0.005
0.01
0.015
0.02
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.4: Phn ng ca sn lng cng nghip vi li sut ca Fed
(Shock 4)
Phn ng cu trc ca bin sn lng cng nghip ca cc nc vi cc c sc gn nh t l
thun t k 07 tr i, cc phn ng phn ln khc nhau k ngn hn, phn ng cu trc ca
cc bin s v m ca Vit Nam phn ng mnh hn vi shock 2, 3 v 4 so vi cc nc,
nhng li phn ng yu vi shock 1 k u. Cc bin u phn ng tr vi cc bin v m
v bt u phn ng t k 2 tr i. Vi shock 1 v shock 2 th phn ng ny din ra dai dng
kh mnh t k 01 n k 10, sau yu dn. Ngoi ra, phn ng ca Nht Bn v Hn Quc
kh tng ng nhau v ng phn ng bm kh st nhau shock 1 v shock 2. Mc
phn ng ca hai nc ny ch th hin khng ng u shock 3 v shock 4.
Gi tr phn ng ca bin ch s sn xut cng nghip vi cc c shock trung bnh t k 1 n
k 20 l.
WCPI US_IP US_CPI FED
Phn ng ca bin HQ_IP -0.000463 -0.000695 0.000292 -0.000043
Phn ng ca bin JP_IP 0.000189 -0.000684 0.000149 0.000388
Phn ng ca bin MALAY_IP 0.000103 -0.000004 -0.000107 0.000256
Phn ng ca bin VN_IP -0.000915 0.000174 0.000539 0.000055
Bng 4.1: Gi tr trung bnh t k 1 n k 20 phn ng ca bi n ch s sn xut
cng nghip trong nc (IP) vi cc c sc t bn ngoi

Ngun: Kt qu thut ton t phn mn thng k tc gi thc hin
4.1.2 Hm phn ng y ca li sut trong nc (IR) vi cc bin v m bn ngoi (trc tung bn phi biu th cho Vit Nam)

-0.3
-0.2
-0.1
0
0.1
0.2
0.3
0.4
-0.05
-0.04
-0.03
-0.02
-0.01
0
0.01
0.02
0.03
0.04
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.5: Phn ng ca bin li sut (IR) vi c sc ch s gi Th
gii (Shock 1)
Phn ng ca bin HQ_IR Phn ng ca bin JP_IR
Phn ng ca bin MALAY_IR Phn ng ca bin VN_IR
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
-0.08
-0.06
-0.04
-0.02
0
0.02
0.04
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.6: Phn ng ca bin li sut (IR) vi c sc sn lng cng
nghip M (Shock 2)
-0.25
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
0.2
0.25
-0.04
-0.03
-0.02
-0.01
0
0.01
0.02
0.03
0.04
0.05
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.7: Phn ng ca bin li sut (IR) vi c sc ch s gi tiu
dng M (Shock 3)
-0.3
-0.2
-0.1
0
0.1
0.2
0.3
0.4
0.5
-0.1
-0.08
-0.06
-0.04
-0.02
0
0.02
0.04
0.06
0.08
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.8: Phn ng ca bin li sut (IR) vi c sc li sut ca FED
(Shock 4)
Phn ng ca li sut kh nhanh nhy vi bin ng ca cc yu t v m bn ngoi, phn
ng ny xy ra ngay k u tin. Sau phn ng mnh k 4 (shock 1), k 2 (shock 2),
k 3 (shock 3). Phn ng li sut ca Vit Nam mnh nht so vi cc nc, sau gim su
cc k tip theo trc khi tin tim cn v gi tr 0. Vi shock 1 a phn cc bin v m phn
ng m, trong khi shock 2 a phn cc bin u phn ng thun chiu dng. Ring
shock 2 v shock 4, Vit Nam phn ng nghch chiu so vi cc bin v phn ng ny kh
mnh.
Gi tr phn ng ca bin li sut vi cc c shock trung bnh t k 1 n k 20 l
Phn ng ca bin HQ_IR -0.004962 -0.006582 0.002859 -0.009149
Phn ng ca bin JP_IR 0.000251 -0.000434 0.000036 0.000259
Phn ng ca bin MALAY_IR 0.001474 -0.002446 -0.002652 0.005299
Phn ng ca bin VN_IR 0.009070 -0.004357 -0.008458 0.009568
Bng 4.2: Gi tr trung bnh t k 1 n k 20 phn ng ca bin li sut trong
nc (IR) vi cc c sc t bn ngoi
4.1.3 Hm phn ng y ca t gi hi oi trong nc (EX) vi cc bin v m bn ngoi

-0.006
-0.004
-0.002
0
0.002
0.004
0.006
0.008
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.9: Phn ng ca bin t gi hi oi vi c sc ch s gi
Th gii (Shock 1)
Phn ng ca bin HQ_EX Phn ng ca bin JP_EX
Phn ng ca bin MALAY_EX Phn ng ca bin VN_EX
-0.006
-0.005
-0.004
-0.003
-0.002
-0.001
0
0.001
0.002
0.003
0.004
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.10: Phn ng ca bin t gi hi oi vi c sc sn lng cng
nghip M (Shock 2)
-0.004
-0.003
-0.002
-0.001
0
0.001
0.002
0.003
0.004
0.005
0.006
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.11: Phn ng ca bin t gi hi oi vi c sc ch s gi
tiu dng M (Shock 3)
-0.006
-0.004
-0.002
0
0.002
0.004
0.006
0.008
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.12: Phn ng ca bin t gi hi oi vi c sc li sut FED
(Shock 4)
Phn ng cu trc ca bin t gi hi oi danh ngha ca cc nc kh ng u cc nc
trong sut k 1 n k 20. Phn ng kh mnh k 3, k 9-10 shock 1, shock 2 v shock 3.
Nhng vi shock 4 th phn ng mnh k 5, k 9-10 sau gim su k 14 ri mi tin
tim cn v gi tr 0.
Gi tr phn ng ca bin t gi hi oi danh ngha vi cc c shock trung bnh t k 1 n
k 20 l.
Phn ng ca bin HQ_EX -0.000072 0.000463 0.000102 0.000155
Phn ng ca bin JP_EX -0.000258 -0.000677 0.000525 0.000105
Phn ng ca bin MALAY_EX 0.000182 0.000141 -0.000014 -0.000151
Phn ng ca bin VN_EX 0.000121 -0.000198 -0.000167 0.000056
Bng 4.3: Gi tr trung b nh t k 1 n k 20 phn ng ca bi n t gi hi oi
danh ngh a trong nc (EX) vi cc c sc t bn ngoi

4.1.4 Hm phn ng y ca ch s gi tiu dng trong nc (CPI) vi cc bin v m bn ngoi

-0.0015
-0.001
-0.0005
0
0.0005
0.001
0.0015
0.002
0.0025
0.003
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.13: Phn ng ca bin ch s gi CPI vi c sc ch s gi
Th gii (Shock 1)
Phn ng ca bin HQ_CPI Phn ng ca bin JP_CPI
Phn ng ca bin MALAY_CPI Phn ng ca bin VN_CPI
-0.001
-0.0005
0
0.0005
0.001
0.0015
0.002
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.14: Phn ng ca bin ch s gi CPI vi c sc sn lng cng
nghip M (Shock 2)
-0.0015
-0.001
-0.0005
0
0.0005
0.001
0.0015
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.15: Phn ng ca bin ch s gi CPI vi c sc ch s gi
tiu dng M (Shock 3)
-0.002
-0.0015
-0.001
-0.0005
0
0.0005
0.001
0.0015
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.16: Phn ng ca bin ch s gi CPI vi c sc li sut FED
(Shock 4)
Qua th cho thy ch s gi tiu dng Vit Nam b nh hng kh mnh bi cc c sc bn
ngoi so vi cc nc. Mc d phn ng ca Vit Nam kh ging phn ng ca cc nc
nhng mc phn ng mnh hn v mc hi phc dch chuyn tr li chm hn so vi
cc nc. Ring shock 2 th phn ng ca Vit Nam quay tr li chm hn k 7 - k 10 so
vi cc nc.
Gi tr phn ng ca bin ch s gi tiu dng cc nc vi cc c shock trung bnh t k 1
n k 20 l.
Phn ng ca bin HQ_CPI 0.000023 0.000027 -0.000009 0.000020
Phn ng ca bin JP_CPI 0.000005 0.000044 0.000002 0.000013
Phn ng ca bin MALAY_CPI 0.000030 0.000028 -0.000010 0.000009
Phn ng ca bin VN_CPI 0.000152 0.000059 -0.000203 0.000040
Bng 4.4: Gi tr trung b nh t k 1 n k 20 phn ng ca bi n ch s gi ti u
dng trong nc (CPI) vi cc c sc t bn ngoi

4.1.5 Hm phn ng y ca cung tin (M1) vi cc bin v m bn ngoi

-0.02
-0.015
-0.01
-0.005
0
0.005
0.01
0.015
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.17: Phn ng ca bin cung tin M1 vi c sc ch s gi
Th gii (Shock 1)
Phn ng ca bin HQ_M1 Phn ng ca bin JP_M1
Phn ng ca bin MALAY_M1 Phn ng ca bin VN_M1
-0.01
-0.005
0
0.005
0.01
0.015
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.18: Phn ng ca bin cung tin M1 vi c sc sn lng cng
nghip M(Shock 2)
-0.015
-0.01
-0.005
0
0.005
0.01
0.015
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.19: Phn ng ca bin cung tin M1 vi c sc ch s gi
tiu dng M (Shock 3)
-0.015
-0.01
-0.005
0
0.005
0.01
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.20: Phn ng ca bin cung tin M1 vi c sc li sut FED
(Shock 4)
Cng nh cc phn ng trn, phn ng cc nc l kh tng ng nhau cng tng v
cng gim cc k, tuy nhin phn ng Vit Nam bin i su hn so vi cc nc trc
khi quay u tr li. Phn ng cung tin ca cc nc th hin khuynh hng tin tim cn
xoay quanh gi tr 0, th hin phn ng yu ca bin cung tin M1 trc cc c sc ngoi sinh
t bn ngoi.
Gi tr phn ng ca bin cung tin M1 vi cc c shock trung bnh t k 1 n k 20 l.
Phn ng ca bin HQ_M1 0.000263 -0.000178 -0.000158 0.000417
Phn ng ca bin JP_M1 0.000079 0.000627 -0.000422 -0.000231
Phn ng ca bin MALAY_M1 -0.000365 -0.000010 -0.000085 0.000301
Phn ng ca bin VN_M1 -0.000716 0.000331 0.000598 -0.000042
Bng 4.5: Gi tr trung bnh t k 1 n k 20 phn ng ca bin cung ti n trong
nc (M1) vi cc c sc t bn ngoi

4.2. Phn tch phng sai
Phn tch hay phn r phng sai l mt cng c hu ch, gip c th ha mc cc bin
ni sinh c gii thch bng bao nhiu phn trm bin ngoi sinh. Chi tit nh sau:
K Vit Nam Hn Quc Malaysia Nht Bn
K 1 - - - -
K 6 2.52 6.07 22.62 5.88
K 12 4.72 12.26 17.62 7.24
K 18 5.43 15.26 22.55 7.30
K 24 8.67 16.33 21.53 8.70
K 48 10.26 19.44 23.22 11.31
K 1 - - - -
K 6 6.17 0.85 8.69 5.86
K 12 7.08 10.36 21.45 5.67
K 18 7.07 9.13 19.91 7.93
K 24 7.07 9.13 19.91 7.93
K 48 6.57 11.80 23.08 7.22
K 1 - - - -
K 6 9.91 5.46 2.36 2.84
K 12 8.21 4.79 2.57 8.31
K 18 8.49 5.67 2.96 7.31
K 24 8.49 5.67 2.96 7.31
K 48 9.15 7.41 3.86 5.42
K 1 - - - -
K 6 0.26 15.17 11.24 14.46
K 12 1.61 15.75 12.35 13.42
K 18 2.41 15.60 12.98 11.59
K 24 2.41 15.60 12.98 11.59
K 48 3.59 13.31 12.56 13.71
Bng 4.6: Phn tch phng sai ca ch s sn xut trong nc (IP) vi cc bin ngoi sinh
Ch s gi sn xut th gii (WCPI) -
Shock 1
Ch s sn xut cng nghip M
(US_IP) - Shock 2
Ch s gi tiu dng M (US_CPI) -
Shock 3
Li sut FED - Shock 4

Ti cc nc ang nghin cu th bin ng trong ch s sn xut cng nghip ca Nht Bn
c gii thch nhiu nht bi c sc ca cc bin ngoi sinh (chng hn vo k 6 l 5.88%,
sang k 24 l 8.7% vi bin WCPI ), trong bin ng ca ch s sn xut cng nghip ca
Malaysia c gii thch nhiu bi ch s sn xut cng nghip ca M v mc gii thch ny
theo hng tng ln t 0.85% k 6 tng vt ln mc 10.36%, sau y bin ng nh v
mc 9.13% k 24.
Ngoi mc gii thch ca ch s gi tiu dng M th bin ng ch s sn xut cng nghip
cc nc th bin ng sn lng cng nghip Vit Nam khng khc nhiu so vi cc nc
khc ang so snh, iu ny c th mt phn do giai on ny Vit Nam bt u hi nhp
WTO, ng ch l so vi cc bin ng ca ch s sn xut cng nghip c gii thch
nhiu bi WCPI v xu hng tng ln ny rt r nt.
Tip n l bng phn tch phng sai cho bin ch s gi tiu dng CPI
K 1 - - - -
K 6 14.38 19.49 10.38 17.83
K 12 10.61 19.17 9.85 17.96
K 18 11.46 20.24 14.13 20.61
K 24 11.35 20.57 14.16 22.49
K 48 12.15 21.31 15.73 25.85
K 1 - - - -
K 6 0.82 3.19 1.29 1.99
K 12 4.10 6.86 7.62 9.65
K 18 3.95 7.64 7.92 8.39
K 24 3.92 8.20 8.36 8.14
K 48 4.10 8.70 8.63 7.26
K 1 - - - -
K 6 7.68 3.58 8.44 6.94
K 12 8.48 7.12 6.34 8.86
K 18 7.87 6.72 6.94 8.29
K 24 8.14 7.83 6.41 7.54
K 48 8.87 8.62 6.19 6.92
K 1 - - - -
K 6 6.04 9.02 11.37 18.64
K 12 4.10 6.86 7.62 9.65
K 18 6.15 7.70 12.30 19.48
K 24 6.49 8.02 12.32 20.55
K 48 6.47 8.14 12.39 22.09
Shock 1
(US_IP) - Shock 2
Shock 3
Bng 4.7: Phn tch phng sai ca ch s gi tiu dng trong nc (CPI) vi cc bin ngoi sinh

Ngc li vi ch s sn xut cng nghip, th mc gii thch ca bin WCPI trong bin
ng ca ch s gi tiu dng Vit Nam c khuynh hng dao ng nh, trung bnh khong
11%. L gii cho iu ny c th l do kinh t Vit Nam chu nh hng ca tnh trng nhp
siu cao trong cc nm gn y, cng nh chu nh hng ln ca gi c hng ha th gii.
Xu hng phn ng vi cc bin ca Vit Nam tri ngc vi cc nc, trong khi Hn Quc,
Malaysia v Nht Bn th phn ng theo chiu hng tng, th Vit Nam li phn ng theo
chiu hng gim mc tc ng ca cc bin ni sinh.
Tng t, bin ng CPI ca Nht Bn c gii thch ch yu bi bin WCPI v bin
US_CPI, mc gii thch ny c khuynh hng tng nh theo thi gian, trung bnh l
21.15% cho bin WCPI v 19.00% cho bin US_CPI (gi tr trung bnh c tnh cho 48 k).
iu ny c phn tng ng vi Hn Quc, mc gii thch ca bin WCPI cho bin ng
ca bin CPI trung bnh l 19.90%.
Bng tip theo l phn tch phng sai cho bin cung tin M1
K 1 - - - -
K 6 28.48 4.67 11.91 17.06
K 12 27.30 8.71 13.62 12.96
K 18 25.86 8.22 16.62 13.44
K 24 25.98 8.88 17.54 13.75
K 48 24.48 10.43 19.82 15.00
K 1 - - - -
K 6 2.92 5.49 8.35 4.04
K 12 3.04 5.62 7.07 6.35
K 18 3.74 6.38 7.35 7.75
K 24 3.97 6.93 7.50 7.22
K 48 4.32 7.93 7.46 7.11
K 1 - - - -
K 6 2.92 5.49 8.35 4.04
K 12 13.21 1.46 7.41 13.57
K 18 12.13 2.70 7.36 13.56
K 24 14.80 2.81 7.08 13.64
K 48 16.16 3.74 6.90 12.29
K 1 - - - -
K 6 2.92 5.49 8.35 4.04
K 12 4.78 20.52 18.09 10.67
K 18 4.97 20.68 16.29 11.47
K 24 5.05 21.49 16.63 12.37
K 48 5.44 20.00 17.35 13.69
Bng 4.8: Phn tch phng sai ca cung tin M1 trong nc (M1) vi cc bin ngoi sinh
Shock 3
Shock 1
(US_IP) - Shock 2

So vi cc nc, bin ng trong bin cung tin Vit Nam c gii thch nhiu nht bi bin
WCPI v US_CPI, trong di hn mc gii thch ca WCPI gim dn, ngc vi khuynh
hng gim mc gii thch ca bin WCPI, th bin US_CPI ca M li tng mc gii
thch trong bin ng ca bin cung tin M1 ca Vit Nam, t mc 16.03% tng nh ln mc
17.29% k 3, sau y li gim dn t ngng 12.28% v quay u tng dn u ln mc
16.16% k 48.
Ngoi ra, bin ng trong cung tin M1 ca Malaysia cng c gii thch nhiu bi bin
WCPI t mc rt thp 0.31% k 3 tng vt ln mc 13.22% k 5, v tng dn u cho
ti ht k 48 (19.82%).
Bng di y l bng phn tch phng sai li sut bn bun trong nc
K 1 18.94 0.02 3.32 31.27
K 6 11.06 2.73 14.29 26.52
K 12 7.23 4.84 12.69 25.43
K 18 9.24 7.41 11.97 22.95
K 24 10.55 7.97 12.26 22.42
K 48 11.28 9.75 13.02 21.96
K 1 - - - -
K 6 1.29 10.25 3.53 2.03
K 12 1.30 7.65 7.80 3.01
K 18 2.36 6.56 9.85 5.09
K 24 2.25 7.02 9.85 5.08
K 48 2.76 7.36 10.47 5.49
K 1 - - - -
K 6 4.50 6.36 1.86 5.42
K 12 4.32 4.83 3.06 5.74
K 18 6.65 4.95 4.51 5.21
K 24 7.55 5.16 4.75 5.01
K 48 9.21 6.17 5.42 4.89
K 1 25.59 9.91 6.23 29.94
K 6 19.26 11.65 8.61 29.42
K 12 14.84 27.73 9.88 28.14
K 18 12.90 29.42 11.29 27.45
K 24 12.31 26.47 10.74 26.06
K 48 12.09 24.50 11.95 24.71
Shock 1
(US_IP) - Shock 2
Shock 3
Bng 4.9: Phn tch phng sai ca li sut bn bun trong nc (IR) vi cc bin ngoi sinh

Nh k vng, khi quan st bin ng li sut ca Vit Nam trong giai on gn y th dng
nh bin ng ca li sut Fed t quan h vi bin ng li sut trong nc Vit Nam. Qua
phn tch phng sai ta thy xu hng nh hng ny gim t 25.59 % k 1 gim
19.26% k 6 ri mc 12.90% k 18, c th l do li sut ca Vit Nam chu chi phi
nhiu ca Ngn hng nh nc, cng nh sc cu ca nn kinh t cha hi phc k t sau
khng hong ti chnh th gii 2008.
Ngc vi khuynh hng i xung th Hn Quc li c khuynh hng i ln t mc 9.91%
k 1 tng ln mc 29.42% k 18 v gim nh v mc 24.50% k 48.
Bng cui cng l phn tch phng sai ca t gi hi oi trong nc.
Vit Nam Hn Quc Malaysia Nht Bn
K 1 11.23 2.02 0.78 0.02
K 6 15.12 3.38 3.89 12.66
K 12 18.40 6.48 11.88 12.76
K 18 18.27 7.01 13.51 12.89
K 24 17.89 7.29 13.68 12.55
K 48 17.30 8.94 16.00 12.17
K 1 9.24 0.19 0.58 1.42
K 6 5.87 3.48 4.20 5.73
K 12 6.29 4.23 5.14 6.02
K 18 6.94 7.71 5.30 8.43
K 24 7.17 7.48 5.19 8.12
K 48 7.15 7.87 5.16 8.28
K 1 14.96 1.25 8.51 0.22
K 6 21.07 3.70 13.46 10.38
K 12 19.51 3.56 11.66 11.21
K 18 18.80 5.15 11.16 11.93
K 24 18.36 4.81 11.37 12.14
K 48 18.25 5.19 10.67 11.55
K 1 19.90 0.44 0.00 0.29
K 6 12.57 6.83 8.82 8.30
K 12 10.85 18.33 14.17 13.06
K 18 10.67 17.50 13.46 12.87
K 24 11.50 18.42 13.33 13.08
K 48 11.99 17.16 14.71 13.46
Shock 1
(US_IP) - Shock 2
Shock 3
Bng 4.10: Phn tch phng sai ca t gi hi oi trong nc (EX) vi cc bin ngoi sinh

T gi hi oi chu nh hng mnh ca tnh hnh xut nhp khu, cung cu ngoi t quyt
rt ln ln gi tr ca ng tin giao dch hay t gi hi oi. Nht l Vit Nam khi m th
trng M ang tr thnh th trng xut khu chnh ca Vit Nam, nh hng ca tiu dng
M tc ng khng nh n t gi Vit Nam. Qua phn tch phng sai, ti Vit Nam bin
ng trong t gi chu c gii thch nhiu bi bin s WCPI (15.12% cho k 6 v 18.27%
k 18), tip n l Malaysia v Nht Bn.
Mc gii thch trong bin ng t gi bi cc bin ngoi sinh l nh nht trong cc nc
nghin cu, tr bin FED. Bin FED gii thch ngy cng mnh bin ng trong t gi hi
oi ca Hn Quc t mc 0.44% k 1 tng vt ln mc 6.83% k 6, ri 18.33% k
12,
4.3. Phn tch phn ng ca cc bin v m ti Vit Nam
Mt trong nhng nhn t quan trng na l phn tch nh hng ca chnh cc bin s kinh t
v m trong nc vi nhau. iu ny gp phn o lng tng tc gia cc bin s kinh t v
m ti Vit Nam, gip cc nh hoch nh chnh sch c ci nhn tng quan hn v nh
hng ca cc bin s ny
u tin ta i vo phn tch hm phn ng y gia cc bin.
4.3.1 Hm phn ng y hay hm phn ng xung (Ngun: Kt qu thut ton t phn mn thng k tc gi thc hin)

-0.06
-0.04
-0.02
0
0.02
0.04
0.06
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.21: Phn ng ca sn lng cng nghip vi c sc v m
khc ti Vit Nam
Phn ng ca bin VN_CPI (Shock 6) Phn ng ca bin VN_M1 (Shock 7)
Phn ng ca bin VN_IR (Shock 8) Phn ng ca bin VN_EX (shock 9)
-1.50E-03
-1.00E-03
-5.00E-04
0.00E+00
5.00E-04
1.00E-03
1.50E-03
2.00E-03
2.50E-03
3.00E-03
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.22: Phn ng ca ch s gi tiu dng vi c sc v m khc
ti Vit Nam
Phn ng ca bin VN_IP (Shock 5) Phn ng ca bin VN_M1 (Shock 7)
-0.01
-0.008
-0.006
-0.004
-0.002
0
0.002
0.004
0.006
0.008
0.01
0.012
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.23: Phn ng ca cung tin M1 vi c sc v m khc ti Vit
Nam
Phn ng ca bin VN_IP (Shock 5) Phn ng ca bin VN_CPI (Shock 6)
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.24: Phn ng ca li sut (IR) vi c sc v m khc ti Vit
Nam
Phn ng ca bin VN_M1 (Shock 7) Phn ng ca bin VN_EX (shock 9)
-0.0025
-0.002
-0.0015
-0.001
-0.0005
0
0.0005
0.001
0.0015
0.002
0.0025
0.003
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
th 4.25: Phn ng ca t gi hi oi danh ngha vi c sc v m
khc ti Vit Nam
Phn ng ca bin VN_M1 (Shock 7) Phn ng ca bin VN_IR (Shock 8)
Phn ng ca ch s sn xut cng nghip v ch s gi tiu dng phn ng t l thun vi cc
bin s kinh t v m khc t k 03 tr i. k 01 cc bin hu nh khng phn ng (gi tr
bng 0), phn ng bt u xy ra k tip v th hin r nt cc k di hn. ch s gi
tiu dng phn ng dng vi cc bin mnh k 4 sau gim dn, cn sn lng cng
nghip th phn ng dng mnh k 8, k 10 v m su k 9.
Phn ng ca li sut, CPI v t gi vi cung tin M1 kh ng u nhau, nhng phn ng
ca ch s sn xut cng nghip li bin ng theo hng nghch chiu so vi phn ng ca
cc bin s kinh t khc vi cung tin M1 v li sut.
Vi phn ng t gi hi oi danh ngha phn ng thun chiu vi phn ng ca li sut v
cung tin, phn ng ca cung tin M1 v li sut bin ng st nhau trong k 1 10, sau
bin ng cch xa nhau k 11 v k 17 trc khi quay li bin ng st nhau. Trong k 1
v k 2 th phn ng ca ch s cng nghip bin ng nghch chiu so vi cc bin cn li,
phn ng ch s gi tiu dng nghch chiu so vi cc bin cung tin M1 v li sut k 1-2
sau bin ng thun chiu vi hai bin ny k 3 tr i.
Gi tr phn ng cu trc ca cc bin v m trong nc vi cc c sc khc
VN_IP VN_CPI VN_M1 VN_IR VN_EX
Phn ng ca bin VN_IP -0.00032 0.00102 -0.00007 -0.00009 -0.00047
Phn ng ca bin VN_CPI 0.00008 -0.00023 0.00029 -0.00003 0.00035
Phn ng ca bin VN_M1 -0.00020 0.00033 -0.00050 0.00008 -0.00055
Phn ng ca bin VN_IR 0.03326 -0.00095 0.01227 -0.01821 0.01486
Phn ng ca bin VN_EX 0.00010 -0.00022 0.00012 -0.00006 0.00014
Ghi ch:
VN_IP: C sc t bin ch s sn xut cng nghip (shock 5)
VN_CPI: C sc t bin ch s gi tiu dng CPI (shock 6)
VN_M1: C sc t bin cung tin M1 (shock 7)
VN_IR: C sc t bin li sut (shock 8)
VN_IP: C sc t bin t gi hi oi danh ngha (shock 9)
Bng 4.11: Gi tr trung bnh t k 1 n k 20 phn ng ca cc bin v m trong nc vi cc c sc khc
ti Vit Nam

4.3.2 Phn tch phng sai.
VN_IP VN_CPI VN_M1 VN_IR
K 1 100.00 - - -
K 6 65.39 10.86 2.37 2.05
K 12 43.27 22.28 8.27 1.65
K 18 41.71 21.78 7.52 1.80
K 24 37.73 21.67 8.29 1.74
K 48 35.39 20.75 8.36 1.97
K 1 0.08 99.92 - -
K 6 4.69 33.74 27.40 0.66
K 12 4.11 41.39 17.20 1.47
K 18 4.13 41.65 15.64 1.44
K 24 4.23 39.75 16.95 1.49
K 48 4.96 37.92 16.10 1.52
K 1 9.43 4.84 85.74 -
K 6 8.62 13.64 24.90 1.65
K 12 9.23 15.69 22.32 2.12
K 18 9.05 17.62 20.91 2.17
K 24 8.74 16.06 19.60 2.23
K 48 9.83 15.63 18.02 2.44
K 1 18.38 1.14 10.17 25.80
K 6 12.12 28.23 20.07 8.43
K 12 12.12 28.23 20.07 8.43
K 18 11.72 29.08 17.19 7.64
K 24 10.99 28.00 16.89 7.27
K 48 11.02 26.12 16.14 6.73
K 1 6.05 14.36 1.47 1.09
K 6 4.62 15.38 9.81 0.79
K 12 4.91 15.55 10.22 1.20
K 18 5.45 15.64 10.50 1.29
K 24 5.56 15.61 10.42 1.46
K 48 6.21 16.19 10.13 1.83
Ch s li sut bn bun (VN_IR) -
Shock 8
T gi hi oi (VN_EX) - Shock 9
Bng 4.12: Phn tch phng sai ca cc bin ni sinh ti Vit Nam
Ch s sn xut cng nghip trong
nc (VN_IP)-Shock 5
Ch s gi hng ha tiu dng
(VN_CPI)-Shock 6
Ch s cung tin M1 (VN_M1) -Shock
7

Phn tch phng sai gip ta c ci nhn chi tit hn v phn ng v tc ng gia cc bin.
Theo , bin ng ca ch s sn xut cng nghip c gii thch nhiu nht bi bin CPI
trong nc, trung bnh 48 k mc 18.86%, cao nht l 22.46% k 20; bin ng ca CPI
c gii thch nhiu nht bi bin cung tin M1, trung bnh 48 k mc 16.51%; bin cung
tin M1 c gii thch nhiu nht bi bin CPI, trung bnh 48 k l 14.71%; bin li sut
c gii thch nhiu nht bi bin CPI, trung bnh 24.72% cho 48 k; cui cng l t gi hi
oi c gii thch nhiu nht bi bin CPI, trung bnh 48 k l 15.37%.
Nhn chung cc bin v m trong nc gii thch t trong bin ng ca cc bin v m khc,
c th mt phn do cc bin ny ch yu chu tc ng ln bi ch trng chnh sch ca nh
nc v do NHNN trc tip qun l.
V. KT LUN V HN CH NGHIN CU
Qua phn tch hm phn ng y, phn tch phng sai theo phng php SVAR cho ta ci
nhn tng quan v phn ng gia cc bin s ni sinh v bin s ngoi sinh. Mc nh
hng ca cc bin ngoi sinh l dai dng v c xu hng tng theo thi gian. So vi cc
nc th li sut chu tc ng nhiu bi bin ch s gi c hng ha th gii (WCPI) v bin
li sut FED sau Nht Bn, trung bnh ln lt l 12.29% v 5.96%, bin li sut c xu hng
chu nh hng t bi bin ng ca li sut Fed, tng nh nh hng ca bin ch s sn xut
cng nghip M, mt phn c th do ngoi M, Vit Nam vn xut khu ln sang rt nhiu
th trng khc nht l Chu u v Trung Quc.
Bn cnh bin ng trong cung tin M1 ca Vit Nam c gii thch nhiu bi bin ch
s gi c hng ha th gii (WCPI) v CPI trong nc ln lt l 25.46% v 14.71% tnh
trung bnh trong 48 k; ngoi ra bin ch s t s gi hi oi ca Vit Nam c gii thch
nhiu bi bin ch s CPI ca M (US_CPI) v ch s CPI trong nc ln lt l 18.79% v
15.37% trung bnh tnh cho 48 k. Tng t nh bin cung tin M1, bin CPI ca Vit Nam
chu nh hng nhiu bi WCPI v bin cung tin M1 ln lt l 12.29% v 16.51% trung
bnh cho 48 k.
Bi nghin cu gip a ra mt ci nhn tng quan phn ng ca cc c sc ti nn kinh t
Vit Nam so vi cc nc khc nh th no, o lng mc gii thch bin ng ca cc
bin s v m Vit Nam cng nh cc nc so snh.
Tng t nh nghin cu ca Nguyn Phi Ln, bi nghin cu cng cho thy rng li sut v
ch s sn xut cng nghip ca Vit Nam b nh hng mnh bi bin WCPI. Ngoi ra, bi
nghin cu cho thy thm rng trong cc bin nghin cu ti Vit Nam bin cung tin M1 b
nh hng mnh nht vi bin ch s gi c hng ha th gii (WCPI) v c khuynh hng
gim nh (t mc 27.65% k 2 gim nh v mc 24.48% k 48). Hn na, so vi cc bi
nghin cu trc y, bi nghin cu cho thy bin CPI ca Vit Nam phn ng mnh vi
bin ch s gi tiu dng ca M (US_CPI) trung bnh 8.00% cho 48 k, ln nht trong cc
nc nghin cu.
Bn cnh cc kt qu t c, bi nghin cu cng gp phi khng t cc hn ch thng
gp nh ch s gi sn xut cng nghip, ch s gi hng ha th gii, ch s gi tiu dng cc
nc thng c tnh ring cho tng nc, mi nc c quan im cng nh la chn cc
gi hng ha lm tiu chun khc nhau. Mc d bi nghin cu la chn thng nht mt
ngun d liu tin cy (IMF) nhng hn ch ny kh trnh khi. Hn na, d liu v m Vit
Nam, nht l ch s sn xut cng nghip ang trong giai on hon chnh nn khng trnh
khi nhng thiu st khi tnh ton d liu nghin cu. Hn na, bi nghin cu ch dng li
vic xc nh phn ng cc c sc kinh t v o lng gi tr trong phn tch phng sai m
cha i su vo kim nh cc hin tng puzzle (tm dch l vn rc ri kh gii quyt)
c th xy ra khi nghin cu chnh sch tin t gip o lng su hn phn ng ca cc bin
s.
Hin tng puzzle gm mt s tnh hung sau:
STT Loi M t
1 The output puzzle Sn lng tng khi tht cht chnh sch tin t
2 The liquidity puzzle Cu tin c xu hng tng ln khi tht cht chnh sch tin t
3 The price puzzle Gi c tng ln khi tht cht tin t
4 The exchange rate puzzle
ng ni t mt gi (t gi tng) ngay lp tc hoc tng gi sut
thi gian di khi c c sc tng li sut. Theo ng l thuyt, ng
ni t tng gi ngay lp tc khi tng li sut v mt gi trong tng
lai theo l thuyt kinh doanh chnh lch li sut khng phng nga
Bng 4.13: Cc loi puzzle ph bin trong nghin cu thc nghim

Ngun: Trn Ngc Th (2013) C ch truyn dn chnh sch tin t Vit Nam tip cn
theo m hnh SVAR, Tp tr pht trin & hi nhp
Cui cng, d c gng hon thin bi nghin cu c sc chnh sch tin t Vit Nam t
trong mi quan h so snh vi cc nc, gip loi b nhng nh gi ch quan ring cho Vit
Nam, nhng tc gi cng cha th nh gi bao qut ht c cc vn trong chnh sch
tin t. V th tc gi cng xut nghin cu v:
- Nghin cu cc c sc ngoi sinh tc ng n ch s gi vng, ch s gi chng khon
trong nc. (Cc c sc ngoi sinh tp trung vo gi du m, gi vng v gi chng
khon ca mt s th trng ln trn th gii)
- Nghin cu c sc t M, Trung Quc v Chu u ti ch s xut nhp khu ca Vit
Nam. (bi l y l ba nc ang c xem l c nh hng ln ti kinh t th gii,
trong c Vit Nam, nht l trc v sau khng hong ti chnh 1997 v 2008).
Nghin cu cc c sc tc ng n cc bin s kinh t v m Vit Nam
PH LC I
TNG QUAN NN KINH T VIT NAM
Vit Nam l mt nc ang pht trin vi dn s ng, hn 30 nm qua Vit Nam vn ang tri qua
gii on phc hi nn kinh t sau s tn ph nng n ca chin tranh, s mt mt ch da v ti
chnh sau khi Lin bang X vit tan r cng nh s cng nhc ca nn kinh t k hoch ha tp trung
tht li nn kinh t. Sang thp nin 1990, m nt hn l k t khi tng thng M Bill Clinton
thng bo quyt nh bi b lnh cm vn thng mi i vi Vit Nam (3/2/1994), tip l hip
nh thng mi song phng Vit M (25/7/1999), hay Vit Nam gia nhp WTO (2006), kinh
t Vit Nam c nhiu chuyn bin tch cc, hi nhp su rng vi sn chi chung cho tt c cc
nc.
Bi lun vn gii thiu s nt mt s kha cnh kinh t Vit Nam thng qua mt s ch tiu sau:
1.1 V GDP:
GDP ca Vit Nam tng trng u qua hng nm, trung bnh 14.8%/nm (tnh theo GDP thc), mc
tng ln nht trong giai on 2003 n 2008, trong giai on ny GDP tng trng trung bnh
17.35%/nm.
Biu PL.1.1 Gi tr GDP tnh theo USD t 1985 n 2012

Ngun: V theo d liu t world bank
So vi cc nc trong khu vc, tc tng trng GDP trung bnh t 1990 n 2012 tnh theo gi tr
cao th hai sau Trung Quc (15.1%).
Biu PL.1.2 Tng trng GDP trung bnh cc nc

Ngun: Tnh ton theo d liu Worldbank
y l kt qu rt ng ghi nhn, mc d tng gi tr GDP ca Vit Nam to ra trong tng nm thp
hn nhiu so vi cc nc.
Ngoi ra khi quan st bin ng tng trng GDP ca Vit nam v GDP ca M (GDP danh ngha v
GDP thc ca M) th s bin ng ny kh tng ng. C th:
Biu PL.1.3 Tng trng GDP ca Vit Nam v GDP thc ca M t 1990 n 2011

Ngun: Tnh ton theo d liu Worldbank
Biu PL.1.4 Tng trng GDP ca Vit Nam v GDP danh ngha ca M t 1990 n 2012

Ngun d liu: Tnh ton theo d liu Worlbank
1.2 Cung tin v t gi hi oi danh ngha
Vi
Biu PL.1.5 Mc thay i t gi hi oi danh ngha ca Vit Nam t 1995 - 2012

Ngun d liu: Tnh ton t d liu IMF
Biu PL.1.6 Mc thay i trung bnh t gi hi oi danh ngha (theo USD) hng nm ca cc
nc t 1995 -2012

Ngun: Tnh ton t d liu IMF theo nm
Trong cc nc th Indonesia l mt trong nhng nc thay i t gi hi oi danh ngha cao nht
(15.45%) tip n l Vit Nam (3.65%) t nm 1995 n 2012. Vit Nam bin ng cao nht ri vo
giai on 1996 1999 t trung bnh 11.149 VND/USD ln trung bnh 14.028 VND/USD v giai
on 2010 2011 t trung bnh 18.932 VND/USD ln 20.828 VND/USD. Indonesia thay i mnh
nht nm 1997-1998 t trung bnh 2.909 IDR/USD ln 10.103 IDR/USD, 2000 2011 t trung bnh
8.471 IDR/USD ln 10.260 IDR/USD sau y li gim dn, ti 2008 2009 li tng ln li mc trung
bnh 10.389 IDR/USD. Cc giai on ny a phn u ri vo giai on khng hong ti chnh khc
nhau, c l mc phn ng gia cc nc i vi cc bin ng kinh t khc nhau, nh Vit Nam
th tr khong 1 nm, trong khi Indonesia th mc phn ng ln t gi gn nh ngay nm
xy ra khng hong.
1.3. Tnh hnh xut nhp khu Vit Nam
Biu PL.1.7 Tnh hnh xut nhp khu Vit Nam t nm 1986 n 2012 (VT Millions USD)

Ngun: Tnh ton t d liu IMF
Biu PL. 1.8 So snh mc trung bnh xut nhp khu thay i hng nm gia cc nc t 1995 -
2012

So vi cc nc trong khu vc th Vit nam vn l nc c mc nhp siu cao, nht l trong giai
on 2007 2010 mc nhp siu trung bnh khong 11t USD/nm.
Biu PL. 1.9 Chnh lch trung bnh gia Xut khu Nhp khu giai on t 1995 - 2012

Tuy nhin khi nhn trong di hn, so snh tng trng xut khu v nhp khu th chnh lch gia
trung bnh nhp khu v xut khu Vit Nam kh cao (1.34%) sau Philipines (1.96%), y l du
hiu tch cc cho thy kinh t Vit Nam ang khuynh hng gim nhp siu, hng ti xut rng.
Biu PL.1.10 Gi tr xut nhp khu Vit Nam t 1996 - 2012
-
20,000,000,000
40,000,000,000
60,000,000,000
80,000,000,000
100,000,000,000
120,000,000,000
140,000,000,000
19961997199819992000200120022003200420052006200720082009201020112012
Tnh hnh Xut nhp khu Vit Nam qua cc nm
(VT: USD)
Goods, Value of Exports Goods, Value of Imports

Bng PL.1.1 Cc th trng xut khu chnh ca Vit Nam
20 nc c m Vit Nam xut khu nhiu nht
STT Nc Tr gi VT: USD)
1 M 8,846,228,449
2 NHT BN 5,289,945,574
3 TRUNG QUC 4,948,500,551
4 HN QUC 2,646,632,754
5 MALAYSIA 1,971,483,759
6 C 1,950,352,034
7 CC TIU VNG QUC A RP 1,598,172,733
8 ANH 1,425,149,215
9 THI LAN 1,360,307,763
10 HNG KNG 1,325,447,851
11 CAMPUCHIA 1,270,415,543
12 AUSTRALIA 1,258,150,583
13 H LAN 1,137,762,006
14 SINGAPORE 1,035,197,712
15 N 1,021,073,929
16 INDONSIA 930,991,171
17 897,802,778
18 I LOAN 844,409,039
19 TY BAN NHA 814,512,173
20 PHP 809,907,297
Ngun: Tng cc hi quan Vit Nam (http://www.customs.gov.vn/)
1.5 Ch s gi tiu dng
Biu PL. 1.11 Bin ng CPI hng nm t 1995 - 2012

Ngun: Tnh ton t ngun d liu IMF
Biu PL.1.12 Bin ng CPI trung bnh qua cc nm t 1995 n 2012 gia cc nc

Ngun: Tnh ton t d liu ca IMF
So snh vi cc nc th ch s gi tiu dng Vit Nam tng ln hng nm kh cao, trung bnh 7.28%
(Thailand: 3.20%, Philipines: 5.08%, Indonesia: 11.31%, Singapore: 1.80%, Malaysia: 2.51%,
HongKong:1.24%, Japan: -0.08%, China: 2.29%, c l 2.64% v Korea: 3.41%)

PH LC 2
S NT V M HNH SVAR
1. tng hnh thnh m hnh SVAR
Mt trong nhng mc tiu ca cc nh kinh t v m l lm th no gii thch tng th nn kinh
t thng qua cc ch s nh GDP, u t, t l tht nghip, lm pht. Cc chnh sch kinh t tc
ng nh th no ti cc bin s v m ny? Mt kha cnh khc khi nghin cu l tm ra vai tr v
mc nh hng ca ngn hng trung ng ln nn kinh t, cng nh kh nng ca n trong vic
lm n nh cc bin ng khng mong mun trong tng th nn kinh t? Thomas J. Sargent v
Christopher A. Sims pht trin cc phng php thc nghim gip tr li cc loi cu hi nh
vy. Trong bi nghin cu ny tp trung chnh vo m hnh Strutural VAR m Sims l ngi u
tin khi xng. Nhng trc khi i vo tm hiu k hn v m hnh ca Sims v Sargent, ta quay
li tm hiu mt s tng lm tin xy dng cc m hnh kinh t lng kinh in ca hai ng.
Trong nhng nm 1960, l thuyt Keynes gn nh chim v tr ch o lm c s xy dng cc m
hnh thc nghim sau ny, nht l cun sch L thuyt tng qut v vic lm, li sut v tin t
1

c tm nh hng ln ti cc nh kinh t thi . Keynes cng l ngi a ra hng nghin cu
kinh t mi xc nh ng thi cc bin s (lao ng, thu nhp, li sut v gi c hng ha) cng
mt lc theo thi gian, thay v tch ri nh trc, nhn mnh ti tnh ca lng v gi c (thay v
bin ng tc thi nh l thuyt c in). Mt trong nhng m hnh kinh t lng xy dng t l
thuyt Keynes ni ting m hnh phn ng ng thi (dynamic simultaneous equation models). M
hnh phn ng ng thi ny chnh l c s hnh thnh nn m hnh SVAR. M hnh SVAR v
m hnh phn ng ng thi khc nhau ng k trong cch tip cn ca n vi vn
indentification. Vn ny c th c m phng vi s tr gip ca m hnh cu trc tng th
sau, m hnh ny c gi nh l th hin cu trc ng ca nn kinh t:
t t t
e BX Y (1)
Vi
t
Y l ma trn vector n v (nx1) ca cc bin ni sinh (endogenous variable),
t
X cha ng
cc bin ngoi sinh v ni sinh c tr. Vn nn tng trong c tnh m hnh cu trc l ai
khng th c tnh mt cch trc tip phng trnh (1) v suy ra gi tr ng cho ma trn v

1
tn gc ting Anh: The General Theory of Employment, Interest, and Money, John Maynard Keynes (1883-1946)
B v thng tin mu khng thc hin vic ny nu nh khng c cc rng buc xc nh
(indentifying restrictions). Cc gi tr thc ca v B c xem nh l khng nhn bit c
(unidentified).
Vic bc tch trong cc m hnh phng trnh ng thi c thc hin mt cch c th bng vic
p t cc rng buc mang tnh loi tr (exclusion restrictions) ln cc tham s trong ma trn v
B . Nhng rng buc ny khng th kim nh c. Vi cc rng buc trong ma trn , ai cng
c th cho rng do tr trong vic thu thp d liu thng k trn hot ng kinh t ca cc nh
thc hin chnh sch tin t nn h khng th quan st mt bin no trong k v khng th phn
ng mt cch ng thi ti bin ny. Hay vic c tr l do tr trong k thut truyn dn
(transmission mechanism). Hai iu ny dn n vic xut gn nh l bin ni sinh ny khng
phn ng ng thi ln bin ni sinh khc
2
.
V d vi m hnh ba tham s n gin bao gm bin sn lng hay bin output (yt) v bin cung
tin (mt). Bin output th hin cho bin kinh t v m phi chnh sch, cn bin cung tin th hin
cho bin cng c chnh sch tin t. M hnh cu trc c dng nh sau
t
d t ym t yy t t
e m L B y L B m y y ) ( ) (
1
(2)
t
ms t mm t my t t
e m L B y L B y y m ) ( ) (
2
(3)
Vi B(L) l a thc trong ton t L c tr. Phng trnh (2) m t nh hng ng ca cng c
chnh sch tin t ln hot ng thc hay m t nh hng ca cng c chnh sch tin t ln
output.
Ti hai phng trnh (2) v (3) ny theo quan im truyn thng th hai bin y
1
v y
2
s tin v 0.
Theo quan im ca m hnh SVAR, rng buc ny c loi b. Ma trn B m t nh hng ca
cc bin ni sinh c tr ln sn lng v cung tin. Ma trn B ny cng l ma trn m t mi
quan h ng gia cc bin trong m hnh. Nhng theo quan im ca m hnh phng trnh ng
thi th cc bin ni sinh c tr ny khng tng quan ng thi hin ti hay tng lai vi cc
c sc cu trc. Nhng rng buc trn cc bin ni sinh ny tht kh kim nghim t mt quan
im mang tnh l thuyt, cn trong m hnh SVAR khng c gii hn no c p t cho cc
tham s trong ma trn.

Cng theo quan im truyn thng th mt bin c gi l ngoi sinh mnh khi n khng tng
quan vi bt k bin no mt cch ng thi, trong tng lai hay trong qu kh. Lucas v Sargent
(1979), hai ng cho rng cc bin s kinh t khng ch ph thuc vo quan h hin thi m cn ph
thuc vo k vng trong tng lai.
Lucas v Sargent cho rng s thay i trong chnh sch nht thit phi dn n s thay i no
trong vi tham s cu trc v do n cng nh hng n cc tham s trong m hnh rt gn. Hai
ng ch trch rng nu khng bit c tham s cu trc no s bt bin trc s thay i ca
chnh sch v tham s cu trc no s thay i v thay i nh th no th mt m hnh kinh t thc
nghim s khng c gi tr trong vic nh gi nhng chnh sch thay th.
Mt ph phn khc n n t Sims (1980) khi cho rng cc bin cng c ngoi sinh rt kh c
c v cc bin ngoi sinh trong m hnh thc nghim Keynes ch c x l trn c s tin
nghim mc nh ch khng ng tin cy. c bit khi cho php cc tc nhn hnh thnh quyt nh
ca mnh trn c s k vng hp l v ti u ha lin thi gian.
Theo sau nhng ph phn ny ca Lucas Sargent Sims, kinh t hc thc nghim pht trin
hai phng php tip cn khc nhau, nhng b sung cho nhau. Sargent tp trung vo xc nh mt
cch chnh xc tham s cu trc, trong khi Sims li tp trung vo vic bc tch cc nh hng
ca cc c sc m khng cn phi bc tch cc tham s cu trc.
Sargent phn tch cc giai on lm pht rt cao. ng nghin cu lm pht cao ti M trong thi
k nhng nm 1970 v nhng thay i xy ra sau gy ra s tng nhanh chng, ko di hay s st
gim trong lm pht. Trong phn tch ny, Sargent cho rng k vng lm pht tc ng tr li ti
cc s kin hin hnh v cha dng hm rng lm th no cc s kin ny nh hng ti nn kinh
t. iu ny m ch rng bt k cc thay i mang tnh h thng no trong thit lp chnh sch s
nh hng n k vng, y cng chnh l hm chnh trong phn tch chnh sch ca Sargent.
Phng php ca Sargent da trn nn tng ca kinh t vi m (microeconomic). Sargent i su vo
tm hiu cu trc su ca nn kinh t hay cu trc bt bin trc s thay i ca chnh sch. iu
ny i hi phi tm kim cc tham s su iu chnh hnh vi c nhn lin quan n th hiu, cng
ngh, gii hn ngun lc, k vng, Cc tham s su ny phn nh hnh vi c nhn bao hm k
vng chnh sch v do khng b thay i trc s thay i ca chnh sch. M hnh ca Sargent
t k vng lm trng tm. Phng php ca Sargent ra rt phc tp bi l cn xc nh mt
cch chnh xc cc tham s cu trc, n i hi nhng lp lun cht ch c sc thuyt phc cao v
c bit kh khn hn khi cc bin c mi quan h phi tuyn. Mt iu na khin cho m hnh ca
Sargent phc tp l do gi thuyt k vng hp l cho rng cc ch th k vng ng nht v x l
ti u trong iu kin c y thng tin v dn hng ti o lng k vng thc t nn kinh t.
Trng phi th hai n t Sims, mc tiu chnh ca Sims l xc nh cc thay i trong chnh sch
khng c k vng v cc nh hng ca n ln hot ng kinh t. Vi c trng ct yu gia
c k vng (expected) v khng c k vng (unexpected), phng php ca Sims xut cch
thc tch ri k vng (expected) t cc thay i trong chnh sch khng c k vng nh mt
ngi dn dt cc bin s kinh t v m. Sims tp trung vo tc ng ca cc c sc kinh t m
khng c lng cc tham s cu trc. Phng php ny ca ng nhn c s tn ng rng ri,
cho php chng ta thit lp lm th no cc thay i trong chnh sch tin t khng c k vng
dn n cc nh hng trc tip ln cc bin kinh t v m. M hnh SVAR ra i da trn nhng
kh khn vn c ca phng trnh ng thc ng thi, khi m m hnh ny kh khn trong vic
tm kim cc bin s ni sinh thc s v cc bin ny khng c nh hng ti cc bin khc. Pht
trin t nhng kh khn ny, m hnh SVAR x l tt c cc bin nh l cc bin ni sinh, xem xt
cc c sc vi gi nh trc giao (orthogonal). M hnh ni ting c Sims xut l m hnh
vector t hi quy (VAR), vi dng rt gn. Khc vi phng php truyn thng, phng php VAR
tp trung vo xc nh sai sc cu trc . Bng k thut phi l thuyt hay phn r Cholesky,
phng php VAR p t mt trt t quy ln ma trn phng sai hip phng sai. Phn r
Cholesky p t mt ma trn tam gic di hoc tam gic trn cho cc bin s, do i hi trc
giao vi cc c sc khc. Bng cch ny, Sims xc nh c cc sai s cu trc. Kt hp vi
hm phn ng y, phng php VAR gip cc nh kinh t c tnh c mc khc nhau v
thi gian phn ng ca mt nn kinh t c th trc tng loi c sc khc nhau. Tuy nhin, vi
phng php phi l thuyt ny gp phi ch trch ca Cooley & LeRoy v Leaner cho rng: th nht
l nu phn r Cholesky thc s phi l thuyt, nhng c sc c c tnh v cc m phng khng
th mang n mt biu din cu trc thc s; th hai l liu phn r Cholesky c thc s phi l
thuyt? Vic sp xp trt t cc phng trnh trong m hnh i hi phi da trn nhng lp lun l
thuyt. Do , phn r Cholesky thc t hm mt cu trc kinh t c bit m khng phi bao gi
cng ph hp vi l thuyt.
khc phc hn ch ca VAR, phng php SVAR thay th k thut xc nh phi l thuyt -
da trn m hnh rt gn - bng cch xc nh sai s cu trc trc tip t m hnh gc, t tin
hnh cc phn tch phn ng y tng t nh phng php lun VAR (do c gi l
Structural VAR). Chng ta s tm hiu su hn trong phn tip theo sau y.
2. Phng php SVAR
M hnh Structural Vector Autoregression (Structural VAR), gi tt l SVAR, ngy cng tr thnh
mt cng c ph bin trong phn tch s truyn dn chnh sch tin t. Phng php SVAR c p
dng rng ri trong mt s phn mm kinh t lng nh Eviews, Stata hay RATs, gip vic s
dng m hnh ny tr nn d dng hn.
M hnh SVAR hay VAR c xut u tin bi Sims (1980) nh l mt phng php thay th
cho phng php m hnh ng thc ng thi (dynamic simultaneous equation models).
Tng t nh phng php VAR, phng php SVAR khng quan st trc tip tng quan ng
gia cc bin m quan st tc ng ca cc c sc ln m hnh. Phng php SVAR cng gi nh
cc sai s cu trc l trc giao, sai s cu trc ny chim mt v tr trung tm trong phng php
SVAR.
M hnh SVAR c th vit nh sau:
t t t t t
t t t t t
e y y y b y
e y y y b y
2 1 2 22 1 1 21 1 21 2
1 1 2 12 1 1 11 2 12 1
(4)
Trong ,
2
2
2
1
2
1
0
0
,
0
0
. . ~ d i i
e
e
t
t 3
(5) v t = 1,,T;
t
y
1
v
t
y
2
i din cho hai bin s nghin cu;
2
1
l
phng sai ca c sc cho bin s
t
y
1
v
2
2
l phng sai cho bin s
t
y
2
, M hnh (4) gi l m
hnh Structural VAR (SVAR). C sc
t
e
1
v
t
e
2
l c lp v c gi nh l mt structural
innovations tm dch l c sc cch tn cu trc, theo
t
e
1
v
t
e
2
l khng tng quan vi nhau,
n i din cho tng c sc khng c k vng (unexpected shocks) tc ng ln cc bin ni
sinh. V vy, gi tr 0 trong ma trn gia hai c sc
t
e
1
v
t
e
2
th hin s khng tng quan gia hai
c sc, nn gi tr hip phng sai (covariance) ca chng bng 0

3
i.i.d vit tt ca Independent and identically distributed random variables
V d:
t
y
1
i din cho bin logarit ca GDP thc v
t
y
2
i din cho logarit ca cung tin danh
ngha, th
t
e
1
c gii thch nh l c sc khng c k vng tc ng ln bin GDP v khng
tng quan ti
t
e
2
- c sc khng c k vng tc ng ln cung tin.
By gi, t phng trnh (4), ta chuyn
t
y b
2 12
v
t
y b
1 21
sang v tri ca tng phng trnh, th m
hnh (4) c th vit li di dng ma trn nh sau:
t
t
t
t
t
t
e
e
y
y
y
y
b
b
2
1
1 2
1 1
22 21
12 11
2
1
21
12
1
1

hay
t t t
e y L B y ) ( (6)
(
1
1
21
12
b
b
,
22 21
12 11
) (L B ,
t
t
t
y
y
y
2
1
)
y l cch din gii phng php SVAR, thng thng ngi ta cn din gii (6) di dng gin
lc, hay m hnh VAR chun, bng cch nhn c hai v vi ma trn nghch o
1
, gi nh ra c
tn ti
1
, ta chuyn phng trnh (6) thnh:
t t t
e y L B y
1 1
) ( (7)
hay
t t t
u y L B y ) ( * (8)
vi
1
1
1
1
1
1
det
1
21
12
21 12 21
12 1
b
b
b b b
b

) ( ) ( *
1
L B L B v
t t
e u
1

M hnh SVAR gi nh cc c sc cch tn cu trc (structural innovations) l trc giao hay
t
e
1
v
t
e
2
l khng tng quan vi nhau - y l gi thuyt quan trng phn bit m hnh SVAR vi cc
m hnh truyn thng trc y. iu ny yu cu ma trn phng sai - hip phng sai
e
c
dng
2
2
2
1
0
0
e
.
Khc bit gia m hnh VAR v SVAR
Chng ta xem xt khc bit gia m hnh SVAR v VAR thng qua hai h phng trnh sau vi 02
tr:
+ H phng trnh - VAR: theo m hnh VAR th bin
t
y
1
c gii thch bng tr ca chnh n
v tr ca
t
y
2
, c th
t t t t t t
y y y y y
1 2 2 22 1 2 21 2 1 12 1 1 11 1 1

t t t t t t
y y y y y
2 2 1 12 1 1 11 2 2 22 1 2 21 2 2
(9)
+ H phng trnh - SVAR:
T h phng trnh (9) by gi ta khng ch xem xt phn ng ca y
1t
hay y
2t
c gii thch chnh
n v tr ca bin kia m n cn c gii thch bng chnh bin kia ti thi im hin ti (thi
im t ang xt) (v d: y
1t
khng ch c gii thch bng cc tr ca y
1t
v y
2t
m cn c gii
thch bng chnh y
2t
ti thi im t v ngc li). C th, lc ny h phng trnh (9) tr thnh
t t t t t t t
y y y y y y
1 2 2 22 2 1 12 1 2 21 1 1 11 2 12 11 1

t t t t t t t
y y y y y y
2 2 1 12 2 2 22 1 1 11 1 2 21 1 22 21 2
(10)
By gi ta chuyn v ca h phng trnh ny v bn tri v vit gn li cho d nhn di dng ma
trn, ta c:
t
t
y
y
2
1
22 21
12 11
t
t
t
t
y
y
2
1
1 2
1 1
22 21
21 11
hay
t
t
s t
s t
y
y
A A
A A
2
1
2
1
22 21
21 11

hay A
0
Y
t
= BY
t-1
+ e (vi
22 21
12 11
0
A
22 21
21 11
B
t
t
e
2
1
) vi s = 0,1,,p (p l tr p
=0,1,,p)
By gi ta cng dng cch tnh ca VAR c lng phng trnh A
0
Y
t
= BY
t-s
+ e bng cch
nhn hai v ca phng trnh cho A
0
-1
thnh Y
t
= A
0
-1
BY
t-s
+e A
0
-1
, vi phng php tnh nh m
hnh VAR ta tnh c tham s A
0
-1
B. By gi mun xc nh c A
0
trong dng Structural VAR,
ngi ta a ra 2 / ) 1 (k k rng buc nhm lm cho A
0
v A
0
-1

tn ti v c th xc nh c. Cc
rng buc p t ln ma trn A
0
thng thng phi da vo cc l thuyt kinh t hoc nghin cu
no xy dng. V c xc nh theo dng long-run restrictions hay short-run restrictions.
Cc tham s trong m hnh SVAR c c lng qua hai bc sau:
Bc 1: c lng phng trnh (i) dng rt gn nh sau
t p t p t t t
A Y A A Y A A Y A A Y
1
0
1
0 2 2
1
0 1 1
1
0
.... (ii)
Hay
t p t p t t t
v Y B Y B Y B Y ....
2 2 1 1
(iii)
Vi
i i
A A B
1
0
, i=1,2,,p,
t t
A v
1
0
. Cc din gii phng trnh (iii) chnh l VAR gin lc v
v
t
l c sc cch tn (innovations) tng ng vi dng gin lc v c trung bnh bng 0, phng
sai ca ) , 0 ( ~ N v
t
. ' ' ) ( ) (
1
0
` 1
0
1
0
1 1
0
1
A A A A v v E
t t t r

Bc th 2: Xc nh ma trn ng thi A
0

S phng trnh trong (iii) c c lng theo phng php OLS v thu c phn d v
t
.
M hnh SVAR c c tnh da trn phn mm Eviews, chia lm 02 bc bng cch ti a
iu kin hm hp l (likelihood function) c iu kin trn tham s c tnh ca VAR tm c
trong bc 1. Cng thc hm hp l cc i (full information maximum likelihood FIML) ca
m hnh VAR cu trc c tnh theo Hamilton (1994) th hin qua cng thc sau:
v A A v A A L
t
)' ( '
2
1
)' ( log ) 2 / 1 ( ) 2 log( ) 2 / 1 ( ln
1
0
1
0
1
0
1
0

Trong b rng buc bi ma trn cho, trong
t
v l phn d c c tnh t VAR gin lc
(reduced VAR). Trong h SVAR, A
0
c N
2
tham s, trong ch c N(N+1)/2 gi tr ring bit.
iu ny dn n vn v indentification v m hnh cu trc yu cu N(N-1)/2 s rng buc c
p t ln h SVAR thit lp cc iu kin identification chnh xc.
3. Hm phn ng y (impulse responses):
Mt c sc tc ng ti bin s th i (i
th
variable) th n khng ch nh hng mt cch trc tip
n bin s th i , m n cn b lan truyn ti tt c cc bin ni sinh khc thng qua cu trc
ng (cu trc c tr) ca VAR. Hm phn ng y cho thy nh hng ca mt c sc cu trc
tc ng nh th no ti mt thnh t trong vector cc bin ni sinh y theo thi gian
Vi chui thi gian l n k, bin y
t
vit thnh dng ma trn chuyn v l )' ..., , (
, 2 1 nt t t t
y y y y , mt m
hnh VAR vi tr l p VAR(p) c vit di dng:
t p t p t t t
u y A y A y A y ...
2 2 1 1
(11)
Vi A
i
(i = 1,2,, n) l ma trn h s (nxn) v )' ,..., , (
2 1 nt t t t
u u u u l mt sai s trung bnh l zero theo
phng php i.i.d (Independent and identically distributed random variables) c tnh ngu nhin.
By gi, gi s chng ta c hai bin (k =2) v tr l 1 (p=1) th VAR (1) lc ny l
yt t t t t
z c y c z b b y
1 12 1 11 12 10
(12)
zt t t t t
z c y c y b b z
1 22 1 21 21 20
(13)
vi ) , 0 ( . . ~
2
i it
d i i v 0 ) , cov(
z y

T (8) v (9) ta bin i n v dng ma trn nh sau:
zt
yt
t
t
t
t
z
y
c c
c c
b
b
z
y
b
b
1
1
22 21
12 11
20
10
21
12
1
1 (14)
n gin hn, ta vit gn li l
t t t
X BX
1 1 0
(15) (y chnh l M hnh VAR cu trc (SVAR: Structural VAR) hay m
hnh VAR nguyn thy (the Primitive System)
chun ho pha bn tri ca phng trnh (15), ta nhn cho ma trn nghch o ca B l B
-1
, lc
ny, phng trnh (15) tr thnh
t t t
B X B B BX B
1
1 1
1
0
1 1

Vit gn li l
t t t
e X A A X
1 1 0
(16). y chnh l ma trn dng chun ca VAR (UVAR:
unstructured VAR)
Hay
t
t
t
t
t
t
e
e
z
y
a a
a a
a
a
z
y
2
1
1
1
22 21
12 11
20
10
(17), vit tch ra thnh h 2 phng trnh nh sau
t t t t
e y a y a a y
, 1 1 , 2 12 1 , 1 11 10 , 1
v;
t t t t
e z a z a a z
, 2 1 , 2 22 1 , 1 21 20 , 1

Bc tip theo l bin gi tr
t
t
e
e
2
1
trong phng trnh (17) v dng ma trn
t
, ta c
t t
B e
1
vi B
-1
l ma trn o ca B, tc
1
B =
a
B
B
1 T
B
B
*) (
1
=
1
1
) 1 (
1
21
12
12 21
b
b
b b
(vi * B l
phn ph (cofactor) ca B v
T
B*) ( l ma trn chuyn v ca B), suy ra:
zt
yt
t
t
b
b
b b e
e
1
1
) 1 (
1
21
12
12 21 2
1
(18) hay
zt yt
t
b
e
12
1
(vi
12 21
1 b b ) v
zt yt
t
b
e
21
2

Suy lun ra hm s y, ta bt u t phng trnh (16), bin i thnh:
L A I
e
L A I
A
X e X A A X
t
t t t t
1 1
0
1 1 0
) 12 ( (vi X
t-1
= L X
t
, L l ma trn h s)
u tin chng ta phn tch v phi (RHS: Right hand Side) ca phng trnh
12 21 22 11
20
10
22 12
21 22
22 21
12 11
0
22 21
12 11
1
0 1
0
1
1
1
0
) 1 )( 1 (
1
1
1
1
1
1
) (
) (
a a a a
a
a
a a
a a
a a
a a
A
a a
a a
A I
A A I
A A I
A I
A
a

z
y
a a a a
a a a a
20 22 10 12
20 21 10 22
) 1 (
) 1 (
1

Tnh dng yu cu l gi tr gc ca L A I
1
phi nm ngoi (outside) ca vng n v. Vi gi nh
l c iu ny. Chng ta vit tip thnh phn s 2 ca phng trnh (16) ra thnh
i t
i t
i
i i
i t
i t
e
e
a a
a a
e A
L A I
e
, 2
, 1
0
22 21
12 11
0
1
1

Lc ny, phng trnh (16) tr thnh:
i t
i t
i
i
A
t
t
e
e
a a
a a
z
y
z
y
i
, 2
, 1
0
22 21
12 11

(19)
Do c sai s phc hp trong m hnh cch tn m hnh cu trc nn ngi ta phi chuyn
t
t
e
e
2
1
v
dng
zt
yt
. M phng trnh (18) ta c
zt
yt
t
t
b
b
b b e
e
1
1
) 1 (
1
21
12
12 21 2
1
(vi
12 21
1 b b ), thay
vo (15) cho ta phng trnh hm s y l:
i t z
i t y
i
i
t
t
i
b
b
b b
A
z
y
z
y
,
,
0
21
12
21 12
1
1
1

i t z
i t y
i
i i
i i
i
z
y
,
,
) (
22
) (
21
) (
12
) (
11
0
i t
i i
X
0
(20)
T phng trnh ny ta ly sai phn ca tng bin suy ra c tc ng y ca bin y ln z v
ngc li, nh sau:
Vi k hin ti
t
y v
t
z : ) 0 (
12
,t z
t
d
dy
, ) 0 (
22
,t z
t
d
dz

Vi k tng lai (xt 1 k)
1 t
y v
1 t
z : ) 1 (
12
,
1
t z
t
d
dy
v ) 1 (
22
,
1
t z
t
d
dz

4. Phn tch phng sai (variance decomposition)
Bi nghin cu trnh by tm lc v tng phn tch phng sai dn nhp t m hnh t hi quy
SVAR hay VAR nh sau:
tng ca phn tch phng sai l tnh xem mt thay i hay c sc ca mt bin nh hng bao
nhiu (c th din gii di dng % hoc s thc) ln cc bin khc.
Quay li cng thc s (20) trn, ta t
i t
x l v tri (LHS) ca phng trnh (20), hay:
i t z
i t y
i
i
i
t
t
i t
i
b
b
b b
A
z
y
z
y
x
,
,
0
21
12
21 12
1
1
1

i t z
i t y
i
i i
i i
i
z
y
,
,
) (
22
) (
21
) (
12
) (
11
0

i t
i i
X
0

hay
i t
i i
i t
X x
0
(10)
By gi chng ta nhn rng gi tr i (t 0 n ) ln.
+ Vi i = 1 th
...
1 2 1 1 0 1 t t t t
X x
...
1 2 1 1 t t t t
X x E
Suy ra, gi tr d bo trong k 1 l :
1 0 1 1 t t t
Ex x
+ Tng t vi i = 2 th:
1 1 2 0 2 2 t t t t
Ex x
+ Vi i = 3 th:
1 2 2 1 3 0 3 3 t t t t t
Ex x
+ Vi i = n k th:
1
0
1 1 2 2 1 1 0
...
n
i
i n t t n n t n t n t n t n t
Ex x
By gi, xt y, nhn t u tin trong ma trn x. Gi tr d bo ca n l
) ... (
1 , 1 , 11 1 , 1 , 11 , 0 , 11 t y n n t y n t y n t n t
Ey y ) ... (
1 , 1 , 21 1 , 1 , 21 , 0 , 21 t z n n t z n t z

Lc ny, gi tr bin s ca d bo n-step-ahead l:

time over Decreases
shock own to due
iance of proportion
n
y n y
var
1 , 11
2
1 , 11
2
0 , 11
2 2 2
,
) ... (

time over Grows
shock z a to due
iance of proportion
n
z
var
1 , 21
2
1 , 21
2
0 , 21
2 2
) ... (

1

TI LIU THAM KHO
Ti liu trong nc
1. Damodar N Gujarati xut bn ln 3, Bn dch Gio trnh kinh t lng i hc Fullbright t cun
Basic Econometrics, nh xut bn McGraw-Hill (2003)
2. L Tn Lut, Bi ging Kinh t lng, H Ngn hng TP.HCM
3. Nguyn Th Thu Hng v Nguyn c Thnh (2010) ,Cc nhn t v m quyt nh lm pht Vit
Nam giai on 2000 2010: cc bng chng v tho lun
(http://www.undp.org.vn/digitalAssets/24/24640_InflationFinalReport-V-formatx.pdf)
4. Nguyn Phi Ln, Nghin cu nh lng o lng nh hng ca cc c sc ngoi sinh tc ng n
nn kinh t Vit Nam
5. Nguyn Trng Hoi, Phng Thanh Bnh, Nguyn Khnh Duy (2009), D bo v Phn tch d liu
trong Kinh t v Ti chnh, NXB Thng k
6. Phng Thanh Bnh, Hng dn s dng Eviews 5.1
7. Trn Ngc Th (2013) C ch truyn dn chnh sch tin t Vit Nam tip cn theo m hnh
SVAR, Tp tr pht trin & hi nhp (http://www.uef.edu.vn/resources/newsletter_uef/2013_05/2.pdf)
Ti liu nc ngoi
8. Bartosz Mackowiak (2006), External Shocks, U.S Monetary Policy and Macroeconomic Fluctuations
in Emerging Markets
(http://www.sciencedirect.com/science/article/pii/S0304393207000724)
9. Mardi Dungey and Adrian Pagan (2000), A Structural VAR Model of the Australian Economy
(http://www.dungey.bigpondhosting.com/pdfs/dunpag.pdf )
10. Eric Zivot (2000), Notes on Structural VAR Modeling
(http://www.eco.uc3m.es/~jgonzalo/teaching/timeseriesma/zivotvarnotes-reading.pdf)
11. Fung (2002), A VAR Analysis of the Effects of Monetary Policy in East Asia
(http://www.bis.org/publ/work119.pdf)
12. Jarir Ajluni (2005), Monetary Policy Shocks in a small open economy: assessing the Puzzles of
Monetary Policy by SVAR
(http://mpra.ub.uni-muenchen.de/22880/)
2

13. Jean-Pierre Allegret, Ccile Couharde v Cyriac Guillaumin (2010), The impact of External Shocks in
East Asia: Lessons from a Structural VAR Model with Block Exogeneity
(http://economix.fr/en/dt/2012.php?id=218)
14. Jan Gottschalk (2001), An introduction into the SVAR Methodology: Indentification, Interpretation
and Limitations of SVAR Model
(http://mercury.ethz.ch/serviceengine/Files/ISN/124218/ipublicationdocument_singledocument/1815f8a
0-33b6-4ef3-96ac-6f1093c5d4c8/en/kap1072.pdf)
15. Kungl. Vetenskaps Akademien (2011), Empirical Macroeconomics
16. Lutz Kilian (2011), Structural Vector Autoregressions
(http://www-personal.umich.edu/~lkilian/elgarhdbk_kilian.pdf)
17. Mala Raghavan and Param Silvapulle (2007), Structural VAR approach to Malaysian Monetary
Policy Framework: Evidence from the Pre- and Post-Asian Crisis Periods.
(http://nzae.org.nz/wp-content/uploads/2011/08/nr1215397050.pdf)
18. Muhammad Arshad Khan et al (2011), Macroeconomic Effects of Global Food and Oil price Shocks
to the Pakistan Economy: A Structural Vector Autoregressive (SVAR) analysis
(http://econpapers.repec.org/article/pidjournl/v_3a50_3ay_3a2011_3ai_3a4_3ap_3a491-511.htm)
19. Tang, HC (2006), The relative Importance of Monetary Transmission Mechanism in Malaysia,
CAMA Working Paper Series
(http://cbe.anu.edu.au/research/papers/camawpapers/Papers/2006/Tang_232006.pdf)
20. Williame. H. Greence, Econometrics Analysis, page 586 n page 595
V nhiu ti liu, website khc nh:
http://ycharts.com/indicators/
http://elibrary-data.imf.org/
http://ssrn.com/
http://www.customs.gov.vn/
http://google.com.vn
http://www.customs.gov.vn/
http://www.investopedia.com/
http://scholar.google.com.vn/

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