TM TT NGHIN CU

Nghin cu c lng mc chuyn t gi vo lm pht Vit Nam

theo m hnh t hi quy Vect VAR, vi s h tr ca phn mm Eview 5.0.
Kt qu thu c, mc chuyn t gi vo lm pht l 0,07 sau mt khong
thi gian l 2 thng k t thi im t gi hi oi thay i. Theo so snh cc
h s MCTG vi mt s quc gia khc th cc h s mc chuyn ca Vit
Nam mc trung bnh. C sc ca t gi vo lm pht trit tiu hon ton sau
mt thi k l 3 thng. Nghin cu cng pht hin ra rng lm pht cao
Vit Nam trong thi gian qua ch yu l do cung tin m rng lin tc. Do
vy, t c mc tiu kim sot lm pht trc ht cn phi kim sot
cung tin. ng thi, chnh sch t gi nn c ni lng vi mt bin dao
ng ln hn, to iu kin t do hn cho chnh sch tin t thc hin cc
mc tiu kinh t v m khc.
2

MC LC
DANH MC HNH ............................................................................................................. 4
DANH MC BNG ............................................................................................................. 4
DANH MC CC CH VIT TT ................................................................................. 5
CHNG 1: GII THIU CHUNG ................................................................................. 6
1.1 C s nghin cu ............................................................................................................ 6
1.2 Phm vi nghin cu ....................................................................................................... 8
1.3 Cu hi nghin cu ........................................................................................................ 9
1.4 Phng php lun v s liu nghin cu ..................................................................... 9
1.5 Cu trc nghin cu .................................................................................................... 10
CHNG 2: TNG QUAN L THUYT V MC CHUYN T GI VO LM
PHT .................................................................................................................................. 12
2.1 Cc khi nim MCTG v c ch chuyn dch ca nhng thay i TGH vo lm
pht ...................................................................................................................................... 12
2.1.1 Khi nim ..................................................................................................... 12
2.1.2 C ch chuyn dch ca nhng thay i TGH vo lm pht ............... 13
2.2 Cc nhn t nh hng n ln MCTGLP .......................................................... 14
2.2.1 Nhn t vi m .............................................................................................. 14
2.2.2 Nhn t v m .............................................................................................. 16
2.3 K thut kinh t lng o lng MCTGLP .............................................................. 19
2.3.1 Hi quy phng trnh n dng chun .................................................... 19
2.3.2 M hnh t hi quy theo Vct .................................................................. 20
CHNG 3: CHNH SCH T GI VIT NAM .................................................... 22
3.1 C ch v din bin t gi ........................................................................................... 22
3.2 T gi thc RE ............................................................................................................. 30
3

3.3 Chnh sch n nh t gi v kim sot lm pht ..................................................... 33
CHNG 4: M HNH PHN TCH ............................................................................ 36
4.1 C s xy dng m hnh thc nghim ....................................................................... 36
4.1.1 T gi hi oi - ch s gi tiu dng ........................................................ 36
4.1.2 Cc bin khc .............................................................................................. 39
4.2 S liu nghin cu ........................................................................................................ 41
4.3 M hnh thc nghim .................................................................................................. 50
CHNG 5: KT QU M HNH ................................................................................ 55
5.1 Kim nh nghim n v ............................................................................................ 55
5.2 di ca tr v tnh n nh ca m hnh VAR ..................................................... 56
5.3 Cc kt qu c lng ................................................................................................. 57
5.3.1 Tc ng ca s thay i ca t gi n lm pht .................................... 58
5.3.2 Phn ng ca CPI vi cc c sc khc ....................................................... 60
5.3.3 Phn tch phng sai ................................................................................... 62
5.4 So snh kt qu vi cc nc khc ............................................................................. 63
CHNG 6: KT LUN V MT S GI CHNH SCH .................................. 65
6.1 Kt lun ......................................................................................................................... 65
6.2 Khuyn ngh chnh sch .............................................................................................. 66
6.3 Nhng hn ch ca ti v hng nghin cu tip theo ....................................... 67
TI LIU THAM KHO ................................................................................................. 69
PH LC 1: M HNH VAR .......................................................................................... 73
PH LC 2: KIM NH NGHIM N V .............................................................. 75
PH LC 3: TNH N NH CA M HNH VAR ................................................... 76
PH LC 4: KIM NH DIAGNOSTIC CC PHNG TRNH TRONG M
HNH VAR ......................................................................................................................... 77
4

DANH MC HNH

Hnh 2.1: Knh trc tip ca mc chuyn t gi ............................................................ 13
Hnh 3.1: T gi danh ngha Vit Nam VND/USD giai on 1986-2009 ...................... 22
Hnh 3.2: Nhp siu v t l nhp siu/GDP ................................................................... 24
Hnh 3.3: u t trc tip nc ngoi vo Vit Nam ..................................................... 25
Hnh 3.4: T gi VND/USD nm 2008-2009 .................................................................... 28
Hnh 3.5: T gi VND/USD nm 2009 ............................................................................. 29
Hnh 3.6: T gi thc v t gi danh ngha VND/USD 1996-2009 (2000=100) ............ 31
Hnh 3.7: Lm pht v t gi hi oi danh ngha VND/USD....................................... 34
Hnh 4.1: Ch s gi du UK Brent (2005 =100) ............................................................. 42
Hnh 4.2: Khong cch sn lng v ch s CPI ............................................................. 43
Hnh 4.3: Lm pht Vit Nam ....................................................................................... 44
Hnh 4.4: Cung tin m rng ............................................................................................ 45
Hnh 4.5: Tin gi ngoi t ................................................................................................ 46
Hnh 4.6: Li sut Vit Nam ng .................................................................................... 47
Hnh 4.7: Li sut tin gi USD Vit Nam (%/nm) ................................................... 48
Hnh 4.8: T gi hi oi danh ngha VND/USD ............................................................ 49
Hnh 5.1: Tc ng ca s thay i ca t gi n lm pht ......................................... 58
Hnh 5.2: Phn ng ca CPI vi cc c sc kinh t khc ............................................... 60

DANH MC BNG
Bng 3.1: Ch s t gi thc ca cc ng tin so vi la M ..................................... 32
Bng 4.1: Ma trn tam gic Cholesky .............................................................................. 53
Bng 5.1: Xc nh di ca tr trong m hnh VAR ................................................. 56
Bng 5.2: H s mc chuyn ............................................................................................. 59
Bng 5.3: Phn tch phng sai ca ch s gi tiu dng CPI ....................................... 62

5

DANH MC CC CH VIT TT

ADF Kim nh nghim n v
CPI Ch s gi tiu dng
FCD Tin gi ngoi t
GSO Tng cc thng k Vit Nam
IFS Thng k ti chnh quc t
IMF Qy tin t quc t
IPI Ch s gi nhp khu
MCTG Mc chuyn t gi
MCTGLP Mc chuyn ca t gi vo lm pht
MCTGNK Mc chuyn ca t gi vo gi nhp khu
NHNN Ngn hng nh nc
NHTM Ngn hng thng mi
OLS Phng php bnh phng nh nht
PPI Ch s gi sn xut
TGH T gi hi oi
TGHDN T gi hi oi danh ngha
TLLP T l lm pht
VAR M hnh t hi quy theo vect
VND ng Vit Nam
USD ng la M

6

CHNG 1
GII THIU CHUNG

1.1 C s nghin cu
T gi hi oi (TGH) l mt bin s kinh t quan trng vi hu ht
cc nn kinh t m ca. c bit hn khi m qu trnh khu vc ho cng nh
ton cu ho ang din ra mt cch mnh m nh hin nay th vai tr ca
TGH ngy cng ln bi y l mt trong nhng nhn t kt ni cc nn kinh
t quc gia. Cng chnh do c im kt ni ny, TGH l nguyn nhn
chnh ca nhiu cuc khng hong ti chnh khu vc v ton cu. V d,
nhiu cuc khng hong gn y nh Mexico nm 1994; Thi Lan, Indoneisa
v Hn Quc nm 1997; Nga v Brazil nm 1998; Argentina nm 2000 v
Th Nh K nm 2000, 2001 t nhiu lin quan n khng hong t gi hi
oi.
Trn thc t, t gi hi oi c th tc ng n nn kinh t qua nhiu
knh khc nhau nh: cn cn thng mi xut khu - nhp khu, ngn sch
quc gia, Mt trong nhng tc ng quan trng trong s chnh l nh
hng ca nhng thay i trong t gi hi oi n cc ch s gi ni a, c
bit l ch s gi tiu dng hay t l lm pht hay cn c gi l mc
chuyn ca t gi vo lm pht (MCTGLP). Tuy nhin mc chuyn ny
cc nn kinh t khc nhau th khng ging nhau v ph thuc vo c trng
kinh t ca mi nn kinh t. V d nh, trng hp ca Hn Quc v
Indonesia trong cuc khng hong nm 1997, s gim gi danh ngha ca
ng won Hn Quc dng nh khng nh hng nhiu n t l lm pht
ca quc gia ny, trong khi s gim gi danh ngha ca ng Rupiah
dn n vic lm pht tng cao Indonesia.
7

Gi nh cc yu t khc khng i v h s MCTGLP l x, ngha l 1%
tng gi (hoc gim gi) ca ng ni t s lm lm pht gim (hoc tng)
x%. Nu x = 1 ngha l mc chuyn ny l hon ton. Mc chuyn cng cao
th t gi hi oi cng tr thnh mt cng c quan trng iu chnh t l
lm pht.
Xem xt nn kinh t Vit Nam trong thi gian qua, bn cnh nhng
thnh tu t c trong tng trng kinh t vi s bng n ca thng mi
cng nh u t quc t, s tham gia ngy cng su rng hn vo sn chi
khu vc v ton cu nh: Hp tc Kinh t Chu - Thi Bnh Dng
(APEC), T chc thng mi th gii (WTO) th nn kinh t hin ang
phi i mt vi mt s vn nh: lm pht gia tng, thm ht thng mi
ngy cng ln, t trng nhp khu/GDP cao v p lc do s tng ln ca cc
dng u t nc ngoi, tnh trng la ho nn kinh t cao Chnh nhng
vn ny mt mt gp phn to ra sc p buc TGH dao ng, c th nh
trong giai on 2008-2009, mt khc t ra mt cu hi v tc ng dn
truyn ca t gi hi oi vo lm pht Vit Nam. iu ny cng tr nn
quan trng i vi Ngn hng Nh nc trong vic iu hnh chnh sch tin
t bi MCTGLP s gip NHNN hiu r hn v mc v thi im ca bt
k c sc t gi no n s thay i ca lm pht, t y c th a ra c
nhng d bo cng nh nhng phn ng chnh xc v kp thi gi lm
pht trong khu vc mc tiu. Cui cng, quy m ca MCTG c mt hm
quan trng vi hiu ng chuyn dch tiu dng vi c sc TGH. Ni cch
khc, mt mc chuyn thp ca TGH s khng nh hng nhiu n dng
thng mi, mc d cu c th co gin mnh. Mt khc, nu gi phn ng
chm vi nhng thay i trong TGH v dng thng mi phn ng chm
vi nhng thay i gi tng i, th nhng s iu chnh ca cn cn thanh
ton chung s b hn ch, v iu ny s to ra mt mc nht nh ca s
8

t qung t gi. Do vy, mc v thi gian ca mc chuyn t gi tng
hp, cng nh cc nhn t ca n c mt vai tr ht sc quan trng i vi
nn kinh t.
c mt s nghin cu v mi quan h gia TGH v TLLP cng nh
nhng nhn nh nh gi v chnh sch t gi Vit Nam trong thi gian
qua nhng ch yu dng li vic phn tch nh tnh a ra nhng nh gi
da trn cc s liu thng k m thiu cc m hnh thc nghim o lng
MCTG c th xc nh gc r ca vn v xy dng c s vng chc cho
cc khuyn ngh chnh sch. Mt s nghin cu nh lng nh hng ca
TGH vo lm pht m nhm nghin cu tm hiu c l V Vn Minh
(2009), V Tr Thnh (2000). Tuy nhin trong cc nghin cu ny xut hin
mt vi mu thun vi l thuyt kinh t, v d nh s gia tng ca tng cu
khng lm nh hng n lm pht ca Vit Nam, ng thi bin sai s rt
rng v thiu mt vi kim nh cn thit trong m hnh, nn lm gim tin
cy cng nh tnh chnh xc ca kt qu nghin cu. Do vy vic nghin cu
quy m cng nh thi im ca mc chuyn t gi vo lm pht tr nn ht
sc cn thit.
1.2 Phm vi nghin cu
Mi quan h gia t gi hi oi v lm pht l mt ch kinh t rng
v c th c nhiu cch tip cn khc nhau. Vi ti ny, nhm nghin cu
s tin hnh o lng quy m v xc nh thi im ca mc chuyn ca t
gi hi oi
1
, c th hn chnh l s gim gi ni t, vo lm pht Vit
Nam. M hnh phn tch t hi quy theo vect VAR c s dng c th
phn tch su hn phn ng ca CPI vi nhng thay i ca TGH cng nh

1
Nghin cu s dng khi nim t gi hi oi l s ng ni t i ly mt ng ngoi t, hay ni t/
ngoi t.
9

cc bin kinh t v m khc. T a ra nhng nhn nh v mt s kin
ngh chnh sch lin quan.
1.3 Cu hi nghin cu
Mc tiu ca nghin cu l xc nh mc chuyn ca t gi vo lm pht
trong trng hp c th l Vit Nam. Do vy, cu hi nghin cu trng tm
t ra l:
S thay i ca t gi hi oi danh ngha nh hng nh th no
n t l lm pht ?
tr li cu hi trng tm ny, nghin cu t ra mt s vn lin
quan sau:
+ Nhng nhn t no nh hng n mc chuyn t gi vo CPI?
+ Gi nh cc yu t khc khng i, t gi thay i (mt gi) 1% th lm
pht thay i bao nhiu phn trm?
+ T gi hi oi c th gii thch bao nhiu phn trm nhng thay i ca
lm pht?
+ S dng m hnh g t nhng kt qu trn?
+ Liu t gi hi oi c phi l mt knh ph hp t c kim ch
lm pht Vit Nam? Chnh sch t gi hi oi cn c iu chnh
nh th no?
+ Nhng hn ch v hng nghin cu tip theo c xut?
1.4 Phng php lun v s liu nghin cu
C nhiu nghin cu v mc chuyn ca t gi vo lm pht c
thc hin nhiu quc gia khc nhau. Nhn chung cc nghin cu ny i theo
hai hng tip cn chnh l tip cn vi m v tip cn v m. Th nht, cc
10

nh kinh t hc nh Dornbursh (1987), Feinberg (1986), v Krugman (1986)
s dng cch tip cn vi m bng cc phn tch hnh vi ca cc hng nh
hng nh th no n mc ca MCTGLP. Trong khi , Taylor (2000),
McCarthy (2000), Takatoshi Ito and Kiyotaka Sato (2006) s dng cc
bin kinh t v m xc nh mc v thi im ca MCTGLP trong mt
nn kinh t hoc mt nhm cc nn kinh t. Tuy nhin v nhng hn ch v s
liu ca hng cng nh chi ph v thi gian nn tip cn theo hng vi m
khng ph hp vi nhm nghin cu sinh vin. Do vy nghin cu ny c
thc hin theo cch tip cn v m mt phn do s sn c ca s liu cc bin
v m. Nghin cu cng s dng m hnh phn tch VAR vi s h tr ca
phn mm Eview 5.0 c th phn tch su hn phn ng ca CPI vi
nhng thay i ca TGH cng nh cc bin kinh t v m khc.
S liu hng thng t thng 1:2005 n thng 3:2009 c s dng
trong nghin cu bao gm gi du, t gi hi oi doanh ngha (VND/USD),
khong cch sn lng, ch s gi tiu dng, cung tin Vit Nam ng, tin
gi ngoi t trong ngn hng, li sut tin gi Vit Nam ng k hn 3 thng,
li sut tin gi USD k hn 3 thng. Tt c cc s liu, ngoi tr khong
cch sn lng
2
, c ly t Tng cc thng k, Thng k ti chnh quc t
ca Qu tin t quc t, Ngn hng u t v pht trin Vit Nam (BIDV).
1.5 Cu trc nghin cu
Nghin cu gm c bn chng. Chng 1 a ra nhng gii thiu
chung v ti nghin cu gm c c s, phm vi, cu hi cng nh phng
php nghin cu. Nhng ni dung ny to cho ti mt khung nh hng
cn thit cho cc chng sau.

2
Khong cch sn lng c tnh bi tc gi theo phng php Hodrick-Prescott.
11

Chng 2 s tng quan v l thuyt cng nh cc nghin cu lin quan
n MCTGLP, trong trnh by v mt s k thut thng c s dng
c lng MCTG.
Tip n, chng 3 phn tch c ch v chnh sch t gi ca Vit Nam
trong thi gian nghin cu. Mc ch ca chng 3 s h thng ho v a ra
nhng nhn nh cng nh phn tch c s, lm nn tng cho vic x l m
hnh, gn l thuyt cng nh thc t vo vic x l m hnh, tng tnh ph
hp ca kt qu trong iu kin ca Vit Nam.
Tip n, chng 4 cp phng php nghin cu, la chn m hnh,
ng thi gii thch cc bin trong m hnh.
Chng 5 trnh by kt qu o lng nh hng ca c sc TGH n
lm pht bao gm cc phn tch nguyn nhn, ln, thi gian ca MCTGLP
v cc kt qu kim nh.
Chng cui ca nghin cu tng kt cc vn c trnh by gm c
nhng pht hin chnh ca nghin cu v mt s gi chnh sch, ng thi
ch ra nhng hn ch cn gp phi v gi hng nghin cu tip theo.
12

CHNG 2
TNG QUAN L THUYT V MC CHUYN T GI VO LM
PHT
Mc tiu ca chng ny l tng quan v l thuyt MCTGLP, trong
cc khi nim v cc knh tc ng ca nhng c sc t gi ln lm pht
c trnh by phn 2.1; phn 2.2 phn tch cc nhn t nh hng n
ln MCTGLP v phn cui trong chng ny s gii thiu hai phng php
thc nghim thng c s dng o lng MCTGLP v lin h n k
thut m nghin cu s dng trong ti.

2.1 Cc khi nim MCTG v c ch chuyn dch ca nhng thay i
TGH vo lm pht.
2.1.1 Khi nim
Theo Olivei (2002), mc chuyn t gi l phn trm thay i trong gi
nhp khu tnh theo ni t do 1% thay i ca t gi hi oi danh ngha.
Tuy nhin cc nghin cu (nh Lian (2006), Nkunde Mwase (2006)) thng
s dng khi nim m rng ca MCTG phn nh nhng thay i ca
nhng mc gi ni a (khng ch ch s gi nhp khu m c ch s gi sn
xut v gi tiu dng) do 1% thay i ca TGHDN.
to s thng nht cho nghin cu, nhm tc gi thng nht s s
dng khi nim:
Mc chuyn t gi vo lm pht (MCTGLP) hm phn trm thay i
ca ch s gi tiu dng hay t l lm pht khi TGHDN thay i 1%. y s
l trng tm nghin cu ca ti. Thut ng mc chuyn t gi s cp
n c sc t gi n cc mc gi ni a ni chung.
13

Ngoi ra, nghin cu s s dng thm hai khi nim sau:
+ Mc chuyn t gi vo gi nhp khu (MCTGNK) hm phn trm thay
i ca ch s gi nhp khu khi TGHDN thay i 1%.
+ Mc chuyn t gi vo gi sn xut (MCTGSX) hm phn trm thay
i ca ch s gi sn xut khi TGHDN thay i 1%.
2.1.2 C ch chuyn dch ca nhng thay i TGH vo lm pht
Theo nghin cu ca Nicoleta (2007), nhng thay i ca TGH s nh
hng n t l lm pht qua hai knh c bn l: trc tip v gin tip.
a. Knh trc tip: n gin ho phn tch, khng mt tnh tng qut, ta
c th xem c sc ny chnh l: s mt gi ng ni t. iu ny s khin
nhng hng ho v nguyn liu c nhp khu tr nn t hn. Khi gi cc
nguyn liu nhp khu tng, chi ph sn xut s tng v tng gi tiu dng.
Gi hng ho tiu dng nhp khu tng s phn nh ngay vo s tng ln ca
ch s gi tiu dng. (Hnh 2.1).
Hnh 2.1: Knh trc tip ca mc chuyn t gi







Ngun: Nicoleta (2007)
b. Knh gin tip: Khi ng ni t gim gi, hng ni a s tr nn r hn
so vi hng quc t khin cu hng ni a tng dn n gi tng theo c ch
Hng ho tiu dng
cui cng nhp khu
(Ch s gi tiu dng
CPI)
Hng ho nhp
khu (Ch s
gi nc ngoi
P*)
Hng ho nhp
khu (Ch s gi
nhp khu P)
Nguyn vt liu
sn xut (Ch s
gi sn xut
PPI)
Hng tiu dng
cui cng (Ch
s gi tiu dng
CPI)
1.
4.
3. 2.
14

cung - cu th trng hoc dn n gia tng sn xut, tng cu lao ng, tip
n l tng lng v tng tng cu, kt qu l t l lm pht gia tng. Tuy
nhin, tc ng ny ch yu l trong di hn do gi thng cng nhc trong
ngn hn. Mt knh gin tip quan trng khc trong ngn hn cng nh di
hn l thng qua t l la ho nn kinh t, tc l tnh trng ngi dn s hu
cc ti sn tnh bng ngoi t. Gi nh TGH tng, tc l ni t mt gi v
ngoi t tng gi, ngi dn c xu hng chuyn sang nm gi cc ti sn
bng ngoi t, y gi ca cc ti sn tnh bng ngoi t tng, thng thng l
bt ng sn v cc mt hng xa x, v mt bng gi ln hay CPI tng.
2.2 Cc nhn t nh hng n ln MCTGLP
Trong phn ny, nghin cu s ln lt xem xt cc nhn t nh hng
n mc chuyn t gi c gc vi m ln v m. Cc nhn t ny trc ht
s nh hng n ch s gi nhp khu thng qua MCTGNK, tip n s nh
hng n ch s gi tiu dng theo ng chui phn phi nh c trnh by
phn 2.1.2.
2.2.1 Nhn t vi m
Xt phng din vi m, nhng nhn t chnh nh hng n MCTG
l: phn ng gi n
3
, mc doanh li theo quy m trong sn xut v co
gin ca cu cc hng ha nhp khu theo gi. (Lian, 2006).
(1) Gi n l mt khi nim ch sc mnh ca mt doanh nghip trong vic
nh gi sn phm ca mnh. c bit, trong th trng c quyn thun tu
ni mt doanh nghip nc ngoi c kh nng gi nguyn gi n th nhng
dao ng ca t gi s c chuyn hon ton vo gi nhp khu. Tuy nhin,
trn thc t li khng nh vy. Thng thng, gi n s iu chnh phn

3
Gi n = mark-up = t l gia gi bn v chi ph sn xut bin.
15

ng li vi nhng thay i ca t gi gi mc gi trong cc th trng xut
khu khng i m chng ta vn thng gi l nh gi theo th trng do
cc doanh nghip nc ngoi mun gi th phn nn h phi chp nhn nhng
thay i ng k trong li nhun bin khi t gi thay i. V vy, mc chuyn
ca t gi s t c tc ng. S phn ng gi n thng c hiu nh l mt
du hiu ca nhng thay i trong iu kin cnh tranh m cc nh xut khu
nc ngoi ang phi i mt th trng nhp khu. Mt vi nghin cu
nh Dornbusch (1987), Hooper and Mann (1989), nhn thy rng s iu
chnh ca gi n trc nhng dao ng ca t gi ph thuc vo mc
ng nht v kh nng thay th ca sn phm, th phn tng i ca cc
doanh nghip trong nc v ngoi nc, mc tp trung ca th trng v
quy m c th ca phn bit gi. Mt kt qu chung m cc nghin cu ny
c c l cc sn phm cng khc bit (hay t c kh nng thay th) trong
mt ngnh cng nghip, cc doanh nghip xut khu nc ngoi c th phn
ln hn so vi cc nh sn xut trong nc, mc phn bit i x gi cao
hn hoc l mc th trng tp trung ln hn s dn ti kh nng duy tr
gi n lu di, v do vy mc chuyn t gi s cao hn.
(2) Nhn t vi m th hai nh hng ti mc chuyn t gi l mc doanh li
theo quy m ca doanh nghip. Theo Olivei (2002), nu mt doanh nghip
nc ngoi nh gi cho mt hng ho xut khu sang th trng khc ti mt
mc gi n khng i so vi chi ph bin (vi gi v chi ph bin c tnh
bng tin ni a), th mc chuyn hon ton s xy ra khi m doanh li
khng i theo quy m. Trong trng hp ny, gi ca ng ni a tng m
phn trm (m%) s lm chi ph bin ca doanh nghip nc ngoi c tnh
theo ng tin ni a gim m%. Ngc li, khi doanh li ca doanh nghip
gim theo quy m th mc chuyn s t hn so vi mc trn. Khi ng tin
ni a tng gi, cu ni a v hng ho nhp khu tng, to p lc gia tng
16

sn xut v dn n s tng ln ca chi ph bin ca doanh nghip nc
ngoi. V vy, chi ph bin gim t hn m% phn ng li m% ng tin ni
a tng gi, to ra mc chuyn khng hon ton. Trong mt nghin cu
tng t, Yang (1997) cng cho rng mc chuyn t gi t l nghch so vi
co gin ca chi ph bin/sn lng.
(3) Tng t nh phn ng ca gi n v mc doanh li theo quy m,
co gin ca cu cc hng ho nhp khu cng nh hng ti mc chuyn t
gi. Khi t gi thay i, mc gi ca doanh nghip xut khu s thay i ph
thuc vo cong ca cu co gin. Nu cu cng co gin khi gi tng ln,
doanh nghip s c li khi hn ch c mc chuyn ca c sc t gi vo gi
mua bn bng cch gi nguyn gi hoc ch thay i rt t (Yang, 1997).
2.2.2 Nhn t v m
Xt n cc nhn t v m, mt s nghin cu nh Mann (1986) v
Taylor (2002) nhn dng mt vi nhn t nh hng ti MCTG theo mc
v m. l: quy m ca mt quc gia, m ca nn kinh t, s dai
dng v bt n nh ca c sc t gi, tnh khng n nh ca tng cu, mi
trng lm pht v mi trng chnh sch tin t.
(1) Theo McCarthy (2000), trong mt nc ln, hiu ng lm pht ca vic
gim gi tin t ln mc gi trong nc b trung ho do gi th gii gim (do
cu th gii gim) nn mc chuyn gim. Vi nc nh, gim gi tin t s
khng c nh hng ti gi th gii, v MCTG c th l hon ton.
(2) m ca nn kinh t c th c i din thng qua t l sn phm
trao i thng mi quc t (hoc l t trng nhp khu) trong tng sn xut.
Thng thng mt nc c m cng cao (hay c t trng nhp khu cng
cao trong tng sn xut) th mc chuyn t gi cng ln.
17

(3) Theo nguyn tc nh gi theo th trng, Mann (1986) cho rng tnh bt
nh ca c sc t gi c mi quan h t l nghch so vi MCTG. Vic iu
chnh cc mc gi i hi nhng chi ph nht nh m in hnh l chi ph
thc n v thay i chin lc qung co. Do vy, nu cc nh xut khu
nhn thy rng c sc ny ch l nht thi, h s hn ch thay i gi sn
phm. Thay vo , h s thay i gi n v chuyn sang hng ch i v
quan st, v vy mc chuyn s gim. Mt khc, nu cc doanh nghip cho
rng c sc ca t gi l dai dng, h s thc hin chin lc thay i gi thay
v iu chnh li nhun bin. Do vy, mc chuyn ca t gi s ln hn nhiu.
(4) Mt bin kinh t khc theo Mann (1986) l tnh khng chc chn ca
tng cu. Cc nh xut khu s thay i li nhun bin khi tng cu dch
chuyn song song vi s thay i ca t gi trong mi trng cnh tranh
khng hon ho, v vy gim mc chuyn. Do vy, mc chuyn s yu trong
nhng nc m mc tng cu l kh nhy cm.
(5) Ngoi ra, theo Taylor (2000), tn ti mt mi quan h gia mc chuyn
t gi v mi trng lm pht ca mt quc gia. Theo Taylor, trong mt mi
trng lm pht cao v dai dng, thng to ra k vng lm pht cao do vy
mt c sc t gi s khin cc doanh nghip nc ngoi thay i gi xut
khu gi mc li nhun bin, to ra mt mc chuyn t gi ln vo nn
kinh t. Tuy nhin, ngc li trong mt mi trng lm pht thp v n nh,
cc doanh nghip nc ngoi nhn thc y ch l thay i nht thi v k
vng lm pht thp nn h s hn ch thay i gi bn v chp nhn thay i
li nhun bin, khin mc chuyn ca t gi s thp nhng quc gia ny.
(6) Tng t mi trng lm pht, Taylor (2000) cng cho rng s n nh
tng i ca chnh sch tin t c nhng nh hng nht nh n mc
chuyn t gi. Lp lun ny c cng c bi Deverux, Engel v Stogaard
18

(2004). H pht trin m hnh kinh t v m ca mt nn kinh t m trong
mc chuyn t gi l bin ni sinh. Kt qu m hnh cho thy, cc quc
gia c tng trng tin t cng t bin ng th mc chuyn t gi cng thp
v ngc li. iu ny c th c gii thch bi nhng bin ng khng n
nh dai dng trong cung tin s to ra s khng n nh dai dng trong mc
gi. Do vy, mt s thay i ca t gi hi oi s khin doanh nghip nc
ngoi a ra nhng quyt nh thay i gi, iu ny phn nh mt mc
chuyn cao ca t gi vo nn kinh t.
Ngoi 6 nhn t trn, theo nhm nghin cu, t l la ho ni a cng
l mt trong nhng nhn t quan trng nh hng n ln ca t gi. Mt
nn kinh t m t l la ho cng cao th mc chuyn cng ln v ngc li.
Bn cnh vic phn tch l thuyt tng quan v mc chuyn t gi, mt
lot nghin cu khc xem xt vn ny theo cc giai on khc nhau ca
chui phn phi. y chnh l c ch nh hng trc tip t c sc t gi n
lm pht c trnh by phn 2.1.2. Tuy nhin cc mc chuyn t gi khc
nhau khi phn tch theo chui phn phi, ph thuc vo t l ca mc chuyn
n gi nhp khu, phn trm ca nhp khu trong cu phn tnh PPI v CPI,
v phn ng ca gi hng ho sn xut trong nc khi t gi thay i.
Gi s ti mt thi im m gi hng ho sn xut trong nc khng
phn ng li vi nhng thay i ca t gi, ta nhn thy ln ca mc
chuyn t gi gim dn khi i t IPI ti PPI v CPI. Lian (2006) gii thch
iu ny da trn mt s l do sau. Th nht, phn trm hng ho nhp khu
b nh hng bi c sc t gi gim theo chui phn phi, to ra s gim dn
trong mc chuyn ca t gi theo di ca chui phn phi (Clark (1999).
Th hai, theo Bacchetta v Van Wincoop (2002), s khc nhau trong chin
lc gi ti u ca cc nh bn bun nc ngoi v cc nh bn l trong nc
19

l gii ti sao mc chuyn ti PPI v CPI thp hn t trng hng ho nhp
khu trong ch s ngay c khi mc chuyn t gi n gi nhp khu l hon
ton, dn n mc chuyn thp ca PPI v CPI. Th ba, do mc chuyn
khng hon ton ti cc giai on ring l nn s tch ly gia cc giai on
khc nhau cng hm mt s gim trong mc chuyn dc theo chui phn
phi.
Lin quan n tc iu chnh, s cng nhc ca gi c trong ngn hn
c th hn ch nhng nh hng ca mc chuyn t gi vo cc mc gi
trong nn kinh t, do vy gim tc iu chnh gi dc theo chui phn
phi.
2.3 K thut kinh t lng o lng MCTGLP
Phn 2.3 ny s a ra nhng nh gi ca nhm nghin cu v 2 k
thut chnh thng c s dng trong cc nghin cu o lng MCTGLP
trc y v lin h n m hnh m nhm nghin cu s dng phn tch
MCTGLP Vit Nam.
2.3.1 Hi quy phng trnh n dng chun
Nhiu nh nghin cu

(V d nh Olivei (2002); Campa v Goldberg
(2005); Campa, Goldberg v Gonzlez-Mnguez (2005); v Otani, Shiratsuka
v Shirota (2005)) s dng phng php bnh phng nh nht OLS o
lng mc chuyn, trong cc tr c phn b a thc thu c
phn ng c sc ca cc hng ha c giao dch vi nhng thay i ca
TGH. Tuy nhin, cc nghin cu li khng quan tm ti c tnh chui thi
gian ca s liu. Nhiu nghin cu cho thy mt s lng ln cc chui bin
v m v gi ti sn chng hn nh TGH l nhng chui khng dng
4
. V

4
Chui dng l chui c k vng, phng sai v hip phng sai khng i theo thi gian.
20

vy, gi nh o lng OLS b xm phm, c kh nng gy ra vn hi quy
gi, dn n nhng sai lm ng k trong kt qu c lng cng nh d bo.
o lng MCTGLP t m hnh phng trnh hi quy n thng gi nh
rng khng c s iu chnh ni sinh trong cc gi khi TGH thay i. C
th hn, quan h mc chuyn trong loi m hnh ny c cho rng vn ng
theo chiu t TGH n cc bin v m trong nc. Tuy nhin tc ng
ngc li t s thay i ca cc gi ni a c th khng c phn tch. Kt
qu l, c lng b nh hng bi nhng vn khng thng nht do s xc
nh tnh ni sinh ca TGH v gi c.
2.3.2 M hnh t hi quy theo Vct
McCarthy (2000) l ngi tin phong trong vic s dng m hnh VAR
kt hp cht ch vi mt chui phn phi quy ca gi. So vi nhng
phng php da trn m hnh phng trnh n th vic ng dng m hnh
VAR sai phn c mt vi li th gm c: th nht, n cho php chng ta khc
phc cc gi nh vn c trong m hnh phng trnh n gin. Th hai, nh
c xut bi m hnh tin t chun, mt s tng trong cc mc gi ni a
c kh nng lm TGH gim, nn m hnh hp l cn phi phn tch TGH
v cc mc gi u l nhng bin ni sinh. C th d dng nhn thy iu ny
trong c ch t gi hi oi th ni khi m cc bin v m c nh hng nht
nh n TGH. Nhng c tnh ca m hnh VAR cho php chng ta x l
vn ny. Ngoi ra, chng ta khng ch xc nh mc chuyn trong mt
khong thi gian c bit m c nhng thay i ca n theo thi gian. V vy,
y l mt php o thun tin v c mc ln tc ca cc tham s ca
mc chuyn. Mt s nghin cu tiu biu s dng m hnh VAR l
McCarthy (2000), Hahn (2003) v Faruqee (2006) s dng tip cn VAR
o mc chuyn t gi trong cc quc gia pht trin, c bit l khu vc
chu u. Ito v Sato (2006) cng ng dng m hnh VAR phn tch
21

mc chuyn t gi vo cc nc ng . Trong khi , Belaish (2003) s
dng k thut VAR cho Brazil v Leigh v Rossi (2002) tnh ton MCTG cho
Th Nh K.
Chnh nhng thun li ni trn cng nh kh nng c lng hp l cao
ca m hnh VAR: bao gm phn ng c sc v phn tch phng sai, nn
nhm nghin cu quyt nh s dng m hnh VAR trong vic nghin cu
MCTGLP Vit Nam, v quy trnh cng nh kt qu c lng c th
hin trong chng tip theo.
Trong chng 2, nhm nghin cu h thng ha l thuyt lin quan
n mc chuyn t gi cng nh a ra l do la chn phng php nghin
cu theo m hnh VAR. C th hn, trong chng 4, nhm nghin cu s
lng ha cc yu t cp trn gm c: Tng cu, Lm pht, Cung v cu
tin t, mc la ha Vit Nam v rt ra nhng kt qu v phn tch i
vi nn kinh t Vit Nam. Tip theo, chng 3 s cung cp nhng phn tch
c bn v chnh sch t gi ca Vit Nam trong thi gian qua.

22

CHNG 3
CHNH SCH T GI VIT NAM

3.1 C ch v din bin t gi
Trc 1989, Vit Nam p dng mt h thng t gi c nh v phc
tp vi hai t gi chnh thc i vi cc hot ng ngoi thng v cc hot
ng ni thng (T gi ni b). Trong , t gi ni b c p dng cho
nhng giao dch gia cc doanh nghip trong nc v cng c s dng
tnh cc khon tr cp nc ngoi ch yu n t Hi ng tng tr Kinh t
v Lin bang X vit. Do c mt s chnh lnh ln gia t gi chnh thc ca
nh nc v t gi th trng t do nn trong nm 1988, Ngn hng nh nc
Vit Nam c nhng iu chnh mnh m trong t gi, tng t
225VND/USD n 900VND/USD (gn 300%) cho cc giao dch thng mi
v t 368VND/USD n 3.500VND/USD (gn 850%) cho cc giao dch phi
thng mi. Trong thng 3 nm 1989, hai t gi ny c thng nht v mc
t gi c xc lp l 4.500VND/USD. (V Tr Thnh, 2000).
Hnh 3.1: T gi danh ngha Vit Nam VND/USD giai on 1986-2009

Ngun: IFS
23

Trong giai on 1989-1990, NHNN p dng c ch neo t gi vi
bin c iu chnh, trong t gi c NHNN iu chnh da trn cc
tn hiu lm pht, li sut, cn cn thanh ton, v t gi th trng t do. Cc
ngn hng thng mi c php thit lp t gi giao dch trong bin +/-
5% v vic s dng ngoi t c kim sot cht ch. Mc d t gi chnh
thc c cng b l xc nh da trn cung cu ngoi t nhng trn thc t
t gi chnh thc lun thp hn t gi th trng t do. Do vy, gii quyt
tnh trng t gi chnh thc khng phn nh ng cc tng tc kinh t v s
tn ti ca ch en ngoi t, th trng ngoi t chnh thc c thnh
lp vo nm 1991 vi hai sn giao dch ti H Ni v H Ch Minh. Da trn
cc t gi u thu ti hai sn, NHNN t ra mc t gi giao dch chnh thc,
ng thi, NHNN can thip mnh vo giao dch trn hai sn. Nhm hn ch
bin ng t gi chnh thc, bin giao ng cng c thu hp t +/-5%
xung cn +/- 0,5%. NHNN cng thnh lp qu d tr ngoi t chnh thc
n nh t gi. Tuy nhin, khng lu sau khi cc sn giao dch ngoi t i
vo hot ng, t gi chnh thc li tip tc mc thp hn t gi th trng
t do bi v cc giao dch trn th trng chnh thc lun b kim sot bi
NHNN vi lng mua v bn rt ln. Phm Minh Chnh v Vng Qun
Hon (2009).
24

Hnh 3.2: Nhp siu v t l nhp siu/GDP

Ngun: IFS
Trong giai on t 1993-1996, NHNN p dng c ch t gi neo c
nh nhm n nh ho nn kinh t v m. Trong giai on ny vn u t
nc ngoi, ch yu l FDI, gia tng mnh, cng vi s pht trin kinh t i
hi th trng ngoi t hot ng mnh m v hiu qu hn, vi s lng
ngy mt ng o cc thnh phn tham gia giao dch. Do vy, thng 9/1994,
th trng ngoi hi lin ngn hng c hnh thnh thay th cho 2 sn giao
dch t gi; t gi c hnh thnh v cng b da trn t gi lin ngn hng
v NHNN tip tc can thip mnh vo giao dch trn th trng ny. T gi ti
cc ngn hng thng mi dao ng trong bin +/-0,5%. n cui 1996,
bin c ni rng t thp hn +/-0,5% ln +/-1% (11/1996). ng thi t
gi c c nh mc 11.100VND/USD. (Nguyn Th Thu Hng, 2010).
Ngoi ra theo Phm Minh Chnh v Vng Qun Hon (2009), vic nh gi
ng Vit Nam cao hn gi tr thc t 20% n 15% l mt nguyn nhn
quan trng gy ra thm ht ti khon vng lai ca thi k ny. in hnh nm
1996, thm ht ti khon vng lai ca Vit Nam tng ng 16% (Hnh
3.2).
25

Hnh 3.3: u t trc tip nc ngoi vo Vit Nam

Ngun:GSO
T nm 1997 n nm 1999, cuc khng hong ti chnh ng 1997
khin nhiu quc gia lng ging ph gi ng ni t nh Thi Lan,
Indonesia v Philippine. iu ny lm cho hng xut khu ca Vit Nam
gim tnh cnh tranh so vi hng ho cc nc i th trong khu vc, v
chnh cuc khng hong lm cho u t trc tip ngc ngoi c xu hng
gim mnh do cc nh u t lo ngi ri ro khi u t vo cc quc gia ng
. i mt vi khng hong, chnh sch kch cu ni a c thc hin
cng vi vic tin trnh t do ho thng mi ngy cng tng l nhng
nguyn nhn thc y gim gi ng Vit Nam. T gi chnh thc c
iu chnh t 11.175VND/USD ln 11.800VND/USD (16/02/1998) v
12.998VND/USD (07/08/1998). ng thi, bin dao ng c ni
lng ln 5% vo thng 2/1997 v 10% vo thng 10/1997. n thng 8/1998,
NHNN thu hp bin xung 7% (Nguyn Th Thu Hng, 2010).
Theo Phm Minh Chnh v Vng Qun Hon (2009), mc d ng Vit
Nam mt gi ti 16,3%, t gi chnh thc cha thc s phn nh ng
26

quan h cung cu ngoi t ca nn kinh t. Ti cc ngn hng thng mi, t
gi lun c p dng st ngng trn c NHNN cho php, ngha l lun
cao hn t gi chnh thc hnh thnh trn th trng lin ngn hng. khc
phc tnh trng ny, t ngy 28/02/1999, t gi c xc nh l t gi lin
ngn hng trung bnh ngy lm vic hm trc, v bin t gi ti cc ngn
hng thng mi gim xung khng qu 0,1%.
T nm 1999 c ch t gi c p dng l c ch t gi neo c nh
mc 14.000VND/USD. T gi dng nh khng c bin ng g ng k
ngoi vic Vit Nam ng gim gi t 1-2% mi nm. T gi chnh thc c
iu chnh dn t mc 14.000VND/USD nm 2001 ln 16.100VND/USD
nm 2007. V bin t gi ti cc ngn hng thng mi c iu chnh
ln mc +/-0,25% (t 1/7/2002 n 31/12/2006) v +/-0,5% nm 2007.
(Nguyn Th Thu Hng, 2010).
Giai on 2008-2009 nh du s bin ng trong cc phn ng chnh
sch t gi Vit Nam. T nm 2007, do s gia tng t ca lung vn u
t nc ngoi, c bit l trong nm 2008, vn u t trc tip nc ngoi
ng k t k lc vi 60 t USD v vn thc hin t hn 10 t USD, khin
cho ngun cung USD tng mnh (Hnh 3.3). Trn thc t, vo na u nm
2007 v t thng 10/2007 n thng 3/2008, t gi NHTM lun nm
ngng sn bin . Chnh iu ny lm cho thm ht ti khon vng lai
trong nm 2007 v nm 2008 c xu hng tng mnh (Hnh 3.4).
Hnh 3.4 cho thy t gi c nhng bin ng mnh trong nm 2008
do lm pht tng cao trong na u nm v cuc khng hong kinh t th gii
bt u tc ng ti nn kinh t Vit Nam vo na cui nm 2008. Bn
thng u nm 2008, t gi st gim trn 150VND/USD, t 16.100VND/USD
trong thng 1 xung 15.959VND/USD vo thng 4/2008. Tuy nhin t gia
27

nm 2008, cng vi s suy thoi kinh t, lung u t trc tip nc ngoi v
gin tip bt u o chiu. Tr li mc 16.000VND/USD trong thng
5/2008, t gi tng thm 300VND/USD thng k tip. Tc tng gn ti
2% trong mt thng.
Theo Phm Minh Chnh v Vng Qun Hon (2009), trn th trng t
do bt u t thng 3/2008, do khng chu s kim sot ca mt mc c bn
hay bin dao ng, nn t gi th trng t do lin tc tng, c thi im
USD bn ra vi gi 19.700VND/USD (thng 6/2008) trc khi gim dn v
cui thng, khin chnh lch gia t gi chnh thc ca cc NHNN v t gi
th trng t do chnh lch, mc d cc NHTM p dng mc t gi st
ngng trn c cho php k t thng 3/2008. Vi n lc bnh n th trng,
NHNN iu chnh bin dao ng t gi thnh +/-2% (26/05/2008 n
05/11/2008), khin t gi chnh thc tng t 16.100VND/USD vo u nm
2008 ln 16.500VND/USD (06/2008 n 12/2008). Trc , ngy
06/06/2008, bin php gim st hnh chnh cht ch c p dng nhm
chm dt cc hot ng trao i t do ng VND v USD. Th trng ngoi
hi dn bnh n vo thng 7/2008 khi t gi do cc ngn hng cng b v t
gi giao dch t do bt u hi t. n ngy 06/11/2008, NHNN Vit Nam
quyt nh ni lng bin dao ng thnh +/-3% so vi t gi bnh qun
lin ngn hng (06/11/2008 n 23/03/2009).
K t na cui nm 2008, t gi NHTM li ti din mc kch trn, ng
Vit Nam gim gi so vi ng USD, khin thm ht cn cn thng mi ca
Vit Nam t k lc gn 18 t . ng thi to iu kin tng tnh cnh
tranh cho hng ho xut khuVit Nam, mt khc i mt vi khng hong
kinh t th gii, NHNN ph gi t gi n 17.000VND/USD (khong 3%)
vo thng 1/2009 v gi nguyn cho n thng 11/2009. Nh Hnh 3.4 th
hin, xu hng chung ca nm 2009 l s mt gi danh ngha ca VND so vi
28

USD v t gi ca cc NHTM lun mc trn ca bin dao ng m
NHNN cng b.
Hnh 3.4: T gi VND/USD nm 2008-2009

Ngun: Nguyn Th Thu Hng et al (2010)
L do ca hin tng ny c phn tch c th trong nghin cu ca
Nguyn Th Thu Hng et al (2010). Th nht do trong c nm 2009 p lc
cung cu trn th trng cng vi p lc tm l khin t gi trn th trng
t do ngy cng xa ri t gi chnh thc. Mc d NHNH buc phi m
bin dao ng t +/-3% n +/-5% vo ngy 24/03/2009, bin ln nht
trong vng 10 nm qua, nhng cc NHTM vn giao dch mc trn. Tnh
trng nhp siu ko di v ngy cng tng, gi tr nhp khu trong ba thng
cui nm tng mnh so vi 3 thng u nm, chim 30% tng gi tr nhp
khu. Gi tr nhp khu trong c nm 2009 gim 10% so vi nm 2008 l do
mt bng gi xut khu gim. Hnh 3.2 cho thy, nhp siu tng mnh trong
2007 v 2008, c v tuyt i ln tng i so vi GDP. Mt nguyn nhn
khc theo Nguyn Th Thu Hng et al (2010) l do chnh lch ln gia gi
vng trong nc v gi vng quc t khin cho nhu cu v USD tng
29

phc v vic nhp khu vng. Gi vng v gi USD u tng mnh. Do
vy, ngi dn y mnh vic mua USD trn th trng t do, khin gi ca
USD trn th trng t do tng mnh. Chnh s khan him ngun cung USD
buc cc doanh nghip phi huy ng USD t th trng ch en hoc phi
thm ph ph khi mua USD cc ngn hng thng mi. Tm l hoang mang
v s mt lng tin vo ng VND khin nhn dn c xu hng tng cu USD,
y gi th trng t do ln hng ngy.
Hnh 3.5: T gi VND/USD nm 2009

Ngun: Nguyn Th Thu Hng et al (2010)
Nh vy, c th thy rng, t gi th trng t do c nhng nh hng
rt ln n t gi chnh thc. iu ny cng th hin c trng trong nm
2009. T u nm, t gi th trng cao hn tng i so vi t gi
NHTM mc d t gi NHTM mc kch trn cho php ca NHNN (Hnh
3.4 v Hnh 3.5). gim s chnh lch ny, NHNN quyt nh ni lng
bin t gi thnh +/-5% vo ngy 24/03/2009, v c gi nguyn n
ngy 25/11/2009 (nh cp trn). Sau khi ni lng bin , t gi
NHTM bt kp th trng t do ti mc 17.750VND/USD. Tuy nhin v
30

nhng l do nh phn tch: p lc cung cu trn th trng cng vi p lc
tm l lo ngi s ph gi ng VND v vic gi vng th gii tng khin t
gi th trng t do tng ln mnh v ngy cng xa ri t gi NHTM.
V n ngy 26/11/2009, NHNN buc phi chnh thc ph gi VND
5,4% chng u c tin t v gim p lc th trng, ng thi thu hp
bin xung cn +/-3% (26/11/09). Tuy nhin, nh c thy trong Hnh
3.5, t gi th trng t do vn mc cao khong 19.400VND/USD v cc
NHTM vn giao dch mc kch trn.
Nh vy, qua nhng phn tch c bn trn, nghin cu rt ra nhng kt
qu sau: Th nht, Vit Nam c nhng iu chnh sang cc c ch c bin
rng hn trong cc giai on 1989-1991 khi Vit Nam d b c ch bao
cp, giai on 1997-1999 khi khng hong ti chnh chu xy ra, v giai
on 2008-2009 vi khng hong kinh t-ti chnh th gii. Th hai, chnh
lnh gia t gi th trng t do v t gi NHTM vn cn tn ti ng k,
mc d NHNN c nhng n lc ng k nhm rt ngn khong cch ny.
lm r hn xu hng bin ng t gi VND/USD cng nh gi tr
ca ng Vit Nam so vi cc ng tin quc t khc, nghin cu s phn tch
xu hng ca t gi thc
5
trong thi gian qua trong phn tip theo.
3.2 T gi thc RE
Hnh 3.6 cung cp cho chng ta mt ci nhn tng quan v din bin ca
t gi thc v t gi danh ngha. Nh vy, c th thy rng mc d t gi danh
ngha tng ln r rt trong thi gian qua, nhng t gi thc li c xu hng
gim t nm 2003 tr li y v khong cch gia t gi thc v t gi danh
ngha ngy cng gia tng, c bit l nm 2007 tr i. Nguyn do chnh l t

5
T gi thc (RE): t gi c iu chnh loi tr yu t lm pht ca hai nc lin quan.
31

l lm pht Vit Nam tng i cao so vi M: T l lm pht trong giai on
2000-2009 ca Vit Nam v M ln lt l: 90% v 24,6%, trong t gi
hi oi danh ngha tng 20,4% nn t gi thc ca Vit Nam gim i
khong 21,3 %, ni cch khc ng Vit Nam ln gi xp x 21,3 % so vi
ng USD.
Hnh 3.6: T gi thc v t gi danh ngha VND/USD 1996-2009
(2000=100)

Ngun: Tnh ton ca tc gi theo s liu IFS
Trong khi , ng USD c xu hng mt gi so vi hu ht cc ng
tin khc, ngoi tr yn Nht v la i Loan (Bng 3.1). Tuy nhin, ng
Vit Nam vn ln gi nhiu hn so vi cc ng tin khc, trong c Nhn
dn t, la Singapore, ringit Malasyia, iu ny lm gim kh nng cnh
tranh ca hng ho xut khu ca Vit Nam trn th trng th gii. Thc t
nhp siu ln hn trong thi gian gn y l mt minh chng c th cho s
tng gi ca ng Vit Nam trong thi gian qua.


32

Bng 3.1: Ch s t gi thc ca cc ng tin so vi la M
(% - nm 2000 l nm gc)

Ngun: Nguyn Th Thu Hng et al (2010) v tnh ton ca tc gi theo s liu IFS
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
Nhn dn t 100,00 101,67 104,95 104,11 104,07 103,85 100,64 91,90 84,30 84,87
Euro 100,00 105,12 88,56 73,50 68,70 80,51 72,30 65,32 68,45 66,56
Yn Nh t 100,00 118,75 111,19 101,61 101,73 120,05 123,32 122,18 97,60 102,48
la Singapore 100,00 109,50 104,95 103,97 101,74 106,15 99,16 93,35 89,11 89,30
la i Loan 100,00 109,64 111,24 110,66 105,35 110,18 110,61 111,18 108,92 107,96
la U c 100,00 108,49 96,87 72,80 70,50 75,53 69,31 62,90 84,35 65,14
Won Tri u Tin 100,00 103,03 92,01 90,71 78,54 77,67 71,34 72,34 93,80 85,95
Baht Tha

i 100,00 105,00 103,27 95,10 93,96 96,88 84,86 79,26 82,63 77,91
Ringgit Malaysia 100,00 100,36 101,36 102,10 103,11 103,05 95,43 91,04 92,13 91,39
Vit Nam ng 100,00 107,3 109,0 109,6 106,0 102,0 98,8 94,5 80,7 78,7
33

Nhng phn tch trong phn 3.1 v 3.2 l ht sc cn thit xc nh
gi tr ca Vit Nam hin nay ng cng nh lm r hn v din bin v c
ch chnh sch t gi m NHNN ang p dng. y l nhng lp lun c s
ban u trc khi phn tch v a ra nhng khuyn ngh chnh sch lin
quan n chnh sch t gi kim sot lm pht. Phn tip theo nghin cu
phn tch mi lin h gia chnh sch n nh t gi v kim sot lm pht
trong thi gian qua Vit Nam nhm a ra nhng nhn nh c bn trc
khi tin hnh lng ho tc ng ca t gi n lm pht Vit Nam.
3.3 Chnh sch n nh t gi v kim sot lm pht
Vic n nh t gi s gip tng cng lng tin vo ng ni t, buc
chnh ph phi kim sot thm ht ngn sch v tc tng tn dng v thng
qua tng cng mc tin cy vo chnh sch ca chnh ph. Nh vy,
khi nhng yu t ny c kim sot tt, lm pht cng s gim i v dn n
nh. (Nguyn Th Thu Hng, 2010).
34

Hnh 3.7: Lm pht v t gi hi oi danh ngha VND/USD

Ngun: Nguyn Th Thu Hng et al (2010) v Tnh ton ca tc gi theo s liu ca IFS
Tuy nhin, c nhiu nhn t nh hng n mi quan h gia t gi v
lm pht, nh c phn tch trong phn 2.2. Trong c: tnh khng chc
chn tng cu, mi trng lm pht, s n nh ca chnh sch tin t. Chiu
theo nhng yu t ny l gii ti sao cng mt ch t gi m tc ng
n lm pht trong cc giai on khc nhau li khc nhau: giai on 1992-
1996 v 2004-2008.
Giai on 1992-1996: Trong nhng nm u ca thp k 1990, t l lm
pht rt cao (lm pht phi m), ng ch l lm pht nm 1992 ln n 35%,
lm cho ngi dn mt nim tin vo tin Vit Nam ng. Trc tnh cnh
ny, vic p dng mt chnh sch t gi tng i c nh l ht sc hp l v
lm pht trong giai on 1992-1996 c kim sot tt.
Giai on 2004-2008: Tuy nhin iu tng t khng xy ra trong
giai on 2004-2008, khi chnh sch t gi tng i cng nhc c p dng
nhng lm pht vn tng dn qua cc nm v kt thc thi k bng mt cuc
lm pht cao 2007-2008 (gn 23%).
35

Nhng nghin cu khc nhau nh V Tr Thnh et al (2000) v Nguyn
c Thnh et al (2009) a ra nhng l gii cho vn ny: trong s
gia tng cung tin v tn dng trong nn kinh t l nguyn nhn chnh dn n
thi k lm pht cao Vit Nam trong giai on qua. V chnh sch t gi ch
c tc ng cng hng cho cc tc ng ca chnh sch tin t n nn kinh
t ch khng c tc ng mnh m trc tip n lm pht. (Nguyn Th Thu
Hng, 2010).
Nhm nguyn nhn th hai c th l gii ti sao chnh sch n nh t
gi trong cc giai on khc nhau li khc nhau l b ba bt kh thi: t gi
hi oi c nh, t do ha ti khon vn v s c lp ca chnh sch
tin t. Trong giai on 1992-1996, khi m cha c t do ha ti khon vn
th NHNN va c th thc hin c chnh sch TGH c nh va kim
sot c chnh sch tin t, hn ch lm pht. Tuy nhin, khi m hi nhp
kinh t ngy cng su th ti khon vn d dng chu chuyn hn do vy
NHNN kh t c c vic c nh TGH v s c lp ca chnh sch tin
t. iu ny c th l gii cho giai on 2004-2008.
Nh vy, mi quan h gia t gi v lm pht l ht sc phc tp trong
bi cnh ca nn kinh t Vit Nam. Do vy, vic xc nh quy m v ln
ca tc ng t gi n lm pht l ht sc cn thit NHNN c th a ra
nhng chnh sch t gi ph hp nhm t c cc mc tiu kinh t v m,
hn ch s lng l v khng nht qun trong chnh sch t gi. Chng tip
theo s xy dng m hnh c lng mc chuyn t gi vo lm pht Vit
Nam v phn tch nguyn nhn chnh ca hin tng lm pht Vit Nam.

36

CHNG 4
M HNH PHN TCH
Trong chng ny, nghin cu s a ra m hnh c lng mc
chuyn t gi n lm pht. Trong c s xy dng m hnh thc nghim
c cp n trong phn 4.1, tip n phn 4.2 gii thiu cc bin trong
m hnh v nhng m t d liu lin quan, phn cui ca chng trnh by
m hnh thc nghim VAR c lng MCTGLP.

4.1 C s xy dng m hnh thc nghim
Xc nh cc bin thch hp l mt trong nhng yu cu u tin xy
dng m hnh. Do vy, trong phn 4.1 ny, nghin cu s a ra nhng phn
tch v cc bin lin quan n m hnh c lng mc chuyn t gi vo lm
pht. Ngoi ra, trng tm ca nghin cu chnh l lm pht, nn ngoi bin t
gi hi oi, khng th thiu c sc tng cung, c sc tng cu v bin tin t.
4.1.1 T gi hi oi - ch s gi tiu dng
Theo l thuyt v cc knh tc ng ca t gi n lm pht c cp
phn 2.1 th, nhng thay i ca t gi n lm pht s c truyn dn
theo knh phn phi t ch s gi nhp khu, ch s gi sn xut v cui cng
l ch s gi tiu dng hay cn gi l lm pht. Do vy, vic xy dng m
hnh bt u t vic nghin cu c ch truyn dn t nhng thay i ca t
gi n ch s IPI l ht sc hp l.
Theo l thuyt ca Quy lut mt gi, ta c:
(4.1)
37

Trong : h - nc nh (nc nhp khu); f - nc ngoi (nc xut
khu);
m
h
P
- gi nhp khu c tnh bng ni t ;
x
f
P
- gi xut khu c
tnh bng ngoi t, E l t gi hi oi gia nc nhp khu v nc xut
khu (ni t/ngoi t).
Theo Hooper v Man (1989), Goldberg v Knetter (1997) v Campa v
Goldberg (2002), cc doanh nghip xut khu nc ngoi c quyn ng k
thit lp gi. Hnh vi thit lp gi ca doanh nghip nc ngoi ph thuc
vo gi n (xem thm 2.2) v chi ph sn xut bin di y:
.
x x x
f f
P Markup C =
(4.2)
Hooper v Man (1989) cng lp lun rng gi n ca doanh nghip
xut khu nc ngoi ph thuc vo p lc cu trong c th trng nc v
nc nhp khu
6
(Y), v p lc cnh tranh trong th trng nc nhp khu.
p lc ny c o bng li nhun bin (gi/ chi ph sn xut). Gi n c
minh ho nh sau:
(4.3)


Trong :
( )
h
x
f
P
EC
o
i din cho p lc cnh tranh trong nc nhp khu
v Y
|
i din p lc cu trong c th trng trong nc v ngoi nc v
0<o <1; | >0. T phng trnh (4.1), (4.2) v (4.3), ta c:

6
p lc cu trong th trng nhp khu t gi c mi quan h thun vi t trng nhp khu, phn nh cu
hng ho nc ngoi ca th trng y.
38


(4.4)
n gin ha phng trnh 4.4 ta c:
(4.5)

Ly logarit ca phng trnh 4.5, ta c kt qu sau:
(4.6)
Nh vy, gi nhp khu b nh hng bi TGH (e), chi ph sn xut
bin ca hng nc ngoi (
x
f
c
), gi ni a (
h
p
) v cu th trng (y). ng
thi mc chuyn t gi vo gi nhp khu theo phng trnh (4.6) chnh l
1 o . Nh vy c mt mi quan h m gia o v MCTGNK.
+ Nu o = 0, th MCTGNK = 1, tc l nhng c sc TGH s c
chuyn ton b vo IPI hay MCTGNK hon ton
+ Nu o = 1, th MCTGNK = 0, tc l nhng c sc TGH s khng c
chuyn ton b vo IPI
+ Nu 0 < o < 1, th nhng c sc TGH s c chuyn mt phn vo
IPI hay c gi l MCTGNK khng hon ton
+ Trong mt s tnh hung s thy o >1 khi doanh nghip nh gi qu
mc nh hng ca c sc t gi v ngc li o < 0 khi doanh nghip nh
gi qu thp nh hng ca c sc t gi
Rt o t phng trnh (4.6) ta c:
39

m x
h f
x
h f
p e c y
p e c
|
o

=

(4.7)
T phng trnh 4.7 ta c mt s nhn xt sau:
+ o c mi quan h nghch vi y, p
h.
Ngc li, MCTGNK s t l thun
vi y, p
h

+ o c mi quan h thun vi e
7
,
m
h
p
. Ngc li, MCTGNK s t l
nghch vi e,
m
h
p

Nhng nhn xt ny tng t vi nhng phn tch phn 2.2 v cc
nhn t nh hng n MCTG. V cng t phng trnh 4.7 ta c th suy ra,
mt s bin khc cn c trong m hnh o lng MCTGLP l: cu th trng
y (sc cu) v c sc cung th gii - gi du - nh hng n chi ph sn xut
bin.
4.1.2 Cc bin khc
cng c thm nhng lp lun trong phn 4.1.1 v cc bin lin quan
n m hnh c lng MCTGLP, nghin cu s xem xt mt s nguyn
nhn khc nh hng n t l lm pht ngoi t gi hi oi. Vic xem xt
tng th cc nguyn nhn ca lm pht s nh gi y hn tc ng tng
th cng nh tng nhn t n lm pht. Ngoi ra, hn ch hin tng thiu
bin khin kt qu thiu tnh chnh xc. Trc ht l C sc tng cung: Gi
nh tng cu khng i, c sc tng cung s lm ng AS (M hnh AD-
AS) dch chuyn khin mc gi chung thay i quanh im cn bng. c
bit khi AS dch chuyn sang tri, mc gi chung s tng v sn lng gim.

7
V 0 1 o s s nn khi c t v mu cng tr i mt gi tr nh nhau th o s gim.
40

Xem xt C sc tng cu: Da trn m hnh AS-AD vi gi nh cc yu t
khc khng i th khi AD dch chuyn s khin mc gi chung thay i
quanh im cn bng. c bit khi AD dch chuyn sang phi s lm mc gi
chung tng v sn lng tng. Bin sn lng cng nghip thc c s dng
i din cho nhng thay i trong tng cu. V mt trong nhng bin v
m khng th thiu khi nghin cu lm pht chnh l bin tin t - Theo nh
kinh t hc tin t Milton Friedman, lm pht lun l mt hin tng tin t.
y l mt bin chnh sch ng vai tr ht sc quan trng trong vic n nh
kinh t v m, trong c mc tiu lm pht, nhng mt khc cng c th l
nguyn nhn chnh gy ra lm pht cao cng nh nhng bt n khc ca kinh
t v m. Do vy, s c mt ca bin tin t trong m hnh nghin cu
MCTGLP l ht sc cn thit. Nghin cu s dng bin cung tin v li sut
i din cho cung v cu ca th trng tin t. Ngoi ra, v Vit Nam l
mt quc gia c t l la ha cao, tuy nhin khng c d liu v lng tin
nc ngoi ang lu hnh ngoi h thng ngn hng, nn nghin cu s dng
bin tin gi ngoi t trong ngn hng i din cho s la ho trong nn
kinh t Vit Nam.
Qua nhng phn tch trn, ta c th kt lun v by bin ni sinh c mt
trong m hnh l:
+ Khong cch sn lng: OPGAP - sn lng cng nghip thc, i
din cho c sc tng cu
+ Ch s CPI - Lm pht
+ Bin tin t - Th trng tin t
+ Pha cu tin: Cung tin m rng: Tng cung tin Vit Nam
(VND) v tin gi ngoi t (USD)
41

+ Pha cung tin: Li sut tin gi k hn ba thng ca Vit
Nam ng v USD
+ T gi hi oi: VND/USD
Ring bin gi du c xem nh ngoi sinh v gi du Vit Nam c
ch yu quy nh bi nh nc v khng vn ng theo gi du th gii.
Nhm nghin cu cng xy dng m hnh trong gi du c xem l
bin ni sinh nhng kt qu khng c ngha nghin cu cao
8
.
4.2 S liu nghin cu
Nghin cu s dng cc s liu lin quan n gi du th gii, khong
cch sn lng, t gi danh ngha, cung tin ni a, tin gi ngoi t, li sut
tin gi Vit Nam ng, li sut USD v ch s gi tiu dng v c ly tnh
theo thng t thng 1/2005 n thng 3/2009, nh vy l c tt c 51 quan st.
Tt c cc s liu ny c ly t cc ngun c bn: Thng k ti chnh quc
t (IFS) ca qu tin t quc t IMF, Tng cc thng k Vit Nam (GSO) v
Ngn hng u t v Pht trin (BIDV) Vit Nam.
a. Gi du (USD/barrel)
Gi du c ly theo ch s gi du UK Brent (2005=100), t ngun
Thng k ti chnh quc t - IFS. Tuy nhin, gi du Vit Nam c qun
l bi nh nc v s dao ng ca gi du Vit Nam tng i khc so vi
gi du th gii, nn nghin cu xem gi du l mt bin ngoi sinh trong m
hnh.
M t d liu:

8
M hnh ny khng c trnh by trong nghin cu, c th lin h trc tip nhm nghin cu tm hiu
chi tit.
42

Hnh 4.1: Ch s gi du UK Brent (2005 =100)

Ngun: IFS
Mc d, gi du Vit Nam c qun l bi nh nc, tuy nhin
nhng thay i trong gi du th gii c nhng nh hng nht nh v tng
i ln vo t l lm pht Vit Nam. C th thy rng, nhng giai on m
gi du tng mnh, v d nh giai on 2007-2008 khi gi du ln nh im
vo gia nm 2008 (tng 250% so vi u nm 2007), th lm pht ca Vit
Nam cng tng rt nhanh v trong giai on ny vi t l lm pht nm 2007
v 2008 ln lt l 8% v 23%.
b. Khong cch sn lng
Khng c thng k v tng sn lng theo thng nn nhm nghin cu
s dng ch s sn lng cng nghip hng thng theo nm c s 2005=100
ly t s liu ca Tng cc thng k lm bin thay th, i din cho p lc
tng cu. Ring sn lng tim nng c c lng theo sn lng thc da
trn k thut Hodrick-Prescott
9
. Khong cch sn lng khng cn iu chnh
theo ma v cc nh hng ma v c loi khi thc hin k thut ny.
M t d liu:

9
y l k thut o lng khong cch sn lng da trn nhng s d c c t s hi quy logarit t
nhin ca ch s sn lng cng nghip theo khuynh hng tuyn tnh v ton phng.
43

Hnh 4.2: Khong cch sn lng v ch s CPI

Ngun: Tnh ton ca tc gi theo s liu GSO
Bin sn lng cng nghip c s dng trong m hnh i din cho
p lc tng cu. Trong khong cch sn lng (OPGAP) hm s chnh
lch gia mc sn lng thc t v sn lng tim nng. Khi cc yu t khc
khng i, sn lng thc tng vt qu sn lng tim nng (OPGAP
dng), hm cu tng nn lm pht bt u tng v ngc li khi OPGAP
m th lm pht s gim. Mt s nghin cu
10
ch ra rng mi quan h ny
khng r rng Vit Nam, thm ch khi OPGAP tng khng lm lm pht
tng. Tuy nhin, Hnh 4.2 cho thy nhng thi k m OPGAP dng v
tng i ln nh cui nm 2007 na u nm 2008, th lm pht cng tng
i cao.
Ngc li khi OPGAP m, th t l lm pht dng nh khng c thay
i, v d nh trong nm 2009, khi m tng cu gim do tc ng ca cuc
khng hong kinh t th gii th ch s CPI cng khng thay i ng k. L
do CPI khng gim l do cc yu t khc lin quan n cung tin v li sut.
V mt tng qut c th nhn thy trong cng 1 thi k (1 thng) khi OPGAP

10
V Vn Minh (2009).
44

thay i th ch s gi CPI thay i ng thi nhm phn ng li s thay i
ca tng cu.
c. Ch s gi tiu dng
y l ch s thng c s dng o lm pht ca nn kinh t quc
gia. Do vy hai thut ng CPI v lm pht c th dng thay th cho nhau. S
liu ca CPI (CPI thng 1-2005 =100) c ly t Thng k ti chnh quc t
IFS-IMF.
M t d liu:
Hnh 4.3: Lm pht Vit Nam

Ngun: IFS
Lm pht Vit Nam th hin r tnh ma v, thng thng lm pht
cao vo cui nm v bt u gim vo thng 2. ng ch , bt u t na
sau ca nm 2007, lm pht c xu hng tng mnh, v t nh vo thng
5/2008 (khi m lm pht thng 5 so vi thng 4 ln n hn 4%). Tuy t l
lm pht gim dn v cui nm nhng lm pht ca nm 2008 cng ln
mc k lc so vi mc 23% so vi nm 2007, v l mc lm pht cao nht
trong nhng nm gn y. Nguyn nhn chnh l do mc tng cung tin tng
45

i cao trong giai on ny khi cc dng vn u t nc ngoi vo nhiu
v vic NHNN c gng n nh t gi. Ngoi ra tng cu tng cng gy
thm p lc tng gi.
d. Cung tin M2 (t ng)
Bin cung tin c s dng trong m hnh l tng ca cung tin M1,
tin Qua-si v cng c th trng tin t v tri phiu. Tt c cc d liu u
c ly t ngun thng k ti chnh quc t hng nm IFS.
M t d liu:
Hnh 4.4: Cung tin m rng

Ngun: IFS
Bin cung tin m rng M2 c s dng phn nh c sc tin t t
pha cu tin. Nh nh kinh t hc tin t Milton Friedman tng ni lm
pht lun l cu chuyn chuyn tin t v iu ny rt ph hp trong bi cnh
ca nn kinh t Vit Nam. Trong giai on 2004-2006, khi mc cung tin
tng u n th lm pht cng tng i n nh (6-8%/nm). V khi tc
cung tin m rng tng nhanh hn (t nm 2006) th lm pht cng c xu
hng tng nhanh hn. D liu v tin gi ngoi t l mt cu phn ca
46

Quasi-Money. Cung tin rng bao gm tng cung tin Vit Nam ng v
cung tin ngoi t (c i din bi cc khon tin gi ngoi t.)
Hnh 4.5: Tin gi ngoi t

Ngun: IFS
Tin gi ngoi t phn nh lng tin ca ngi dn vo Vit Nam ng
cng nh mc la ho nn kinh t. FCD c xu hng vn ng thun so
vi lm pht. Khi lm pht tng, ngi dn s k vng vo s mt gi trong
thi gian ti nn c xu hng chuyn sang gi ti sn di cc cc loi ngoi
t khc, ch yu l la. S vn ng ca FCD tng t nh s vn ng ca
lm pht, khi lm pht tng (v d nh thi k u nm 2008) th tc tng
ca FCD cng ln hn.
e. Li sut (%/nm)
Li sut tin gi Vit Nam ng 3 thng c s dng i din cho li
sut th trng, phn nh nhng thay i trong bin tin t t pha cung tin.
D liu v li sut c khai thc theo Thng k ti chnh quc t IFS.
M t d liu:
47

Bin li sut i din cho phn ng ca NHNN trc nhng thay i
ca sn lng, gi v nhng iu kin ca th trng tin t. Li sut tin gi
dng nh khng c thay i g ng k cho n u nm 2008 khi cung tin
m rng v lm pht tng nhanh. V s tng ln ca li sut khin cho CPI
gim dn, ng thi cng c th thy s st gim ca FCD trong giai on
ny (na u nm), do li tc gi Vit Nam ng lc ny cao hn gi la.
Hnh 4.6: Li sut Vit Nam ng

Ngun: IFS
Ngc li, s m rng cung tin vo na cui nm 2008 v na u nm
2009 khin li sut gim dn (chnh sch tin t ni lng), nhm mc ch
kch cu khi m nn kinh t phi i mt tc ng ca cuc khng hong ti
chnh.
f. Li sut USD (%/nm)
Bn cnh li sut VND, li sut tin gi USD cng c s dng v mt
s mc tiu chnh sch nht nh: kim sot lm pht da trn nhng nh
hng n cung tin m rng ca nn kinh t thng qua vic tc ng trc
tip n tin gi ngoi t. Ngoi ra li sut USD l mt cng c chnh sch
48

hiu qu kim sot hin tng la ha Vit Nam. Li sut USD c
s dng trong nghin cu l li sut tin gi USD k hn 3 thng v c ly
t Ngn hng BIDV Vit Nam.
M t d liu:
Li sut USD Vit Nam b tc ng ng thi bi li sut USD ca th
gii v nhng thay i trong nn kinh t quc t. Trong giai on 2005-2007,
li sut th gii tng ln, th li sut USD cng tng ln mc d li sut VND
trong thi gian ny khng c nhng thay i ng k. Sang nm 2008, khi
lm pht Vit Nam tng cao (Hnh 4.7), xu hng vn ng ca li sut
USD, cng tng t nh li sut VND, tng rt nhanh v cao nht vo thng
5/2008 ti mc 6,5%. Giai on tip theo khi lm pht gim dn th li sut
USD cng gim dn.
Hnh 4.7: Li sut tin gi USD Vit Nam (%/nm)

Ngun: BIDV Vit Nam
49

g. T gi hi oi (VND/ USD)
T gi hi oi l t gi trung bnh hng thng, c tnh theo ni
t/ngoi t, tc l s n v Vit Nam ng phi b ra mua mt USD.
Nghin cu s dng t gi hi oi VND/USD thay v t gi hu hiu thc v
phn ln cc giao dch ca Vit Nam vi quc t u s dng ng USD.
Ngoi ra, nghin cu cng th s dng t gi hu hiu thc nhng kt qu
khng c ngha cao. D liu v t gi hi oi c ly t thng k ti
chnh quc t IMF.
M t d liu:
Hnh 4.8: T gi hi oi danh ngha VND/USD

Ngun: IFS
Nh phn tch c th trong chng chnh sch t gi Vit Nam,
NHNN c nhng can thip nht nh vo th trng ngoi hi vi mc
ch n nh t gi hi oi, do vy TGH hu nh khng thay i nhiu
trong sut giai on t 2004-2006 (trong giai on ny d tr ngoi hi ca
Vit Nam cng tng ln ng k, iu ny c th hm rng NHNN mua
la khi m cc dng vn u t vo nn kinh t ngy cng tng) nhng t
50

nm 2007 tr i, t gi hi oi c nhng bin ng nht nh
11
. Theo l
thuyt v t gi hi oi da trn cch tip cn th trng ti sn, th nhng
dao ng v t gi trong ngn hn l trc ht l do s thay i ca cung tin
v sau l li sut. Trong iu kin ngn hn, mc gi cng nhc, khi cung
tin ni a tng, li sut tin gi ni t gim so vi ngoi t, do cu ni t
gim, v ngi dn chuyn sang gi cc ti sn ngoi t, cu ngoi t tng,
khin ngoi t ln gi v TGH tng. Vi mt quc gia p dng c ch
TGH c nh, NHNN ca quc gia s c nhng bin php can thip
neo mm
12
t gi vo thi k sau y. Quan h ny khng r rng nhng t
quan st Hnh 4.7 v Hnh 4.8, chng ta c th nhn ra mt vi bng chng
sau: thng 1/2007 v in hnh l na u nm 2008, khi li sut tng ln th
t gi hi oi c xu hng gim i, nhng ngay sau NHNN thc thi
cc bin php can thip hn ch TGH gim bi iu ny hm rng
ng Vit Nam tng gi so vi ng la, do vy nh hng n sc cnh
tranh ca hng ho xut khu ca Vit Nam.
4.3 M hnh thc nghim
phn tch nh hng ca c sc t gi vo lm pht nh mc tiu
nghin cu ra, nhm nghin cu s dng m hnh t hi quy theo Vect
VAR.
Da trn nhng lp lun trong phn 3.1, nghin cu xy dng m hnh
VAR gm 7 bin ni sinh : x
t
= OPGAP; DLOG(CPI); DLOG(VND);
DLOG(FCD); DLOG(RVND); DLOG(RUSD); DLOG(ER) v mt bin ngoi
sinh l gi du DLOG(OIL). Trong : OIL: gi du c iu chnh loi b

11
Nguyn nhn c phn tch r trong phn c ch v din bin t gi.
12
Neo mm: dao ng trong mt bin cho php.
51

yu t v ma; OPGAP: khong cch sn lng hay cn c gi l chnh
lch gia sn lng thc v sn lng tim nng; ER l t gi danh ngha
VND/USD c iu chnh loi b yu t v ma; cung tin M2; CPI: ch
s gi tiu dng c iu chnh loi b yu t v ma; RVND l li sut
tin gi Vit Nam ng k hn 3 thng; RUSD l li sut tin gi USD k
hn 3 thng; LOG: c ch logarit t nhin v D minh ho cho sai phn cp
mt ca LOG cc bin.
to ra nhng c sc cu trc, nghin cu s dng phn tch
Cholesky
13
ca ma trn , ma trn phng sai - hip phng sai ca phn d
VAR theo dng rt gn. V nhim v ca phn ny l xy dng ma trn quan
h gia cc phn d VAR dng rt gn (
t
) v cc bin nhiu cu trc (e
t
).
Tuy nhin, xy dng c ma trn ny, ta cn phi xc nh c th t
ca cc bin bi th t ny s nhn dng cc c sc cu trc v nh hng
nht nh n kt qu nghin cu. Cc th t khc nhau th to ra cc kt qu
khc nhau.
Th t ca cc bin trong m hnh VAR quy c cn c theo nhng
lp lun c xut bi Bernanke v Mihov (1998): Nhng bin phi chnh
sch (sn lng v gi c) xp trc v tip n l cc bin lin quan n
chnh sch (cung tin, li sut, t gi hi oi). Th t ny cng th hin
nhng gi nh ngm v cu trc ng ca nn kinh t Vit Nam. Th nht,
sn lng cng nghip khng b nh hng ng thi bi cc c sc ca cc

13
Ma trn Cholesky l mt trng hp c bit ca ma trn ba ng cho. Ma trn ba ng cho c ngoi
tr cc phn t trn 3 ng cho chnh, cc phn t cn li iu l 0, v tt nhin khi ta c th tch A = LU
A: Ma trn 3 ng cho
L: Ma trn tam gic di
U: Ma trn tam gic trn
Ma trn Cholesky : A = LL' (L' l chuyn v ca L)

52

bin khc. Th hai, mc gi b nh hng bi nhng thay i trong sn
lng. C sn lng v gi c khng b nh hng cng lc bi bt k c sc
chnh sch no trong cng mt thi k. Ni cch khc, nhng thay i trong
bin chnh sch khng lm sn lng v mc gi thay i ngay trong thi k
y, m nhng s thay i ny ch bt u cc thi k sau 1 n 2 thng
hoc di hn ( tr ca chnh sch). Tuy nhin, nhng thay i trong sn
lng v gi c dn n nhng thay i trong cung tin ca Vit Nam ng
cng nh ngoi t. Bi v Vit Nam ng l ng tin chnh cho cc giao dch
Vit Nam nn cu tin Vit Nam ng c gi nh phn ng trc i
vi nhng thay i trong sn lng v mc gi. Sau , cu tin ngoi t
(c i din bi tin gi ngoi t ngn hng) th b nh hng bi nhng
thay i trong sn lng, gi c v cung tin ni a.
Cn c vo nhng thay i ca sn lng, gi c v nhng iu kin
trong th trng tin t, Ngn hng nh nc Vit Nam c th xc nh li
sut ca cc khon tin gi Vit Nam ng v USD bng cch s dng nhng
cng c gin tip hoc trc tip. Nhng thay i ca li sut s lm thay i
t gi ngay trong thi k y (da trn cch tip cn ti sn v l thuyt v s
thay i ca t gi trong ngn hn cng nh thc t ca Vit Nam nh c
phn tch trong phn 4.2 m t d liu v TGH). Nhng thay i trong cung
tin, li sut v t gi hi oi c gi nh tc ng n sn lng v gi c
trong thi k tip theo.
T nhng lp lun trn, m hnh rt gn VAR
14
c xy dng nh sau:

14
Cch xy dng m hnh VAR rt gn nh cc phng trnh ban u v mi lin h vi m hnh VAR cu
trc c trnh by trong ph lc 1.
53

Bng 4.1: Ma trn tam gic Cholesky
11
21 22
31 32 33
41 42 43 44
51 52 53 54 55
61 62 63 64 65 66
71 72 73 74 75 76 77
opgap opgap
cpi cpi
vnd vnd
usd usd
rvnd rvnd
rusd rusd
er er
b e
b b e
b b b e
b b b b e
b b b b b e
b b b b b b e
b b b b b b b e
c
c
c
c
c
c
c
| | | ||
| |
| |
| |
| |
=
| |
| |
| |
| |
| |
\ . \ .\
|
|
|
|
|
|
|
|
|
|
.

Ngun: Tnh ton bi nhm nghin cu
Nhng gi nh ny c th hp l vi nhng hnh vi thc t ca nn kinh
t Vit Nam. u tin, cc hng khng thay i sn lng v gi mt cch bt
ng phn ng li nhng thay i khng c d bo trong chnh sch tin
t trong cng mt thi k do chi ph iu chnh tng i cao cng nh vic
lp k hoch i hi nhiu thi gian, trong khi Ngn hng nh nc Vit
Nam c th thit lp chnh sch tin t mt cch nhanh chng phn ng li
nhng thay i trong sn lng v gi c. Gi nh ny c c s do Ngn
hng nh nc Vit Nam c th thit lp chnh sch tin t trong khun kh
c quy nh bi Quc hi h tr nn kinh t t c nhng mc tiu
sn lng v lm pht nht nh. Hn na, nhng thay i trong sn lng
thng thng nh hng ngay n nhng thay i trong mc gi v sn lng
thng phn ng chm hn so vi gi c. Do vy, gi c gi nh phn
ng li sn lng ngay lp tc.
Th hai, nhng thay i trong sn lng v gi c dn n nhng thay
i trong cu v cung tin. Trong m hnh nghin cu, phng trnh tin t
da trn cu tin cho Vit Nam ng v ngoi t c th hin bng phng
trnh dng 3 v 4 trong Bng 4.1. Phng trnh cung tin c th hin bi
cc phng trnh dng 5 v 6 trong Bng 4.1.
54

Theo cch tip cn ti sn v thc t nn kinh t Vit Nam, nhng thay
i trong th trng tin t s lm t gi hi oi dao ng trong ngn hn, v
ngay trong thng m thay i ny xy ra. Nghin cu ca Ito v Sato (2006)
v MCTGLP mt vo nc ng cng t bin TGH sau bin tin t v
ngay thi k sau y (thng lin sau), khi m TGH thay i do nhng thay
i ca th trng tin t th NHNN s trc tip can thip t neo t gi
trong mt bin dao ng nht nh. Do vy, nghin cu hon ton c l do
t bin TGH sau bin li sut.
55

CHNG 5
KT QU M HNH
Nh c tho lun trong chng 4, m hnh c s dng l m
hnh VAR gm 7 bin ni sinh l: khong cch sn lng, dao ng ca t gi
hi oi, thay i ca cung tin Vit Nam ng, tin gi ngoi t, li sut tin
gi k hn 3 thng ca Vit Nam ng v USD v lm pht, t gi hi oi.
Bin gi du c xem l bin ngoi sinh trong m hnh. Phn d dng rt
gn t m hnh VAR c trc giao bng cch s dng phn tch Cholesky
nhn dng cc c sc cu trc theo ma trn (Bng 4.1). Do vy, nhim v ca
chng ny gm c: kim nh nghim n v, xc nh di ca tr, kim
nh tnh n nh ca m hnh, phn tch phn ng c sc v phng sai.

5.1 Kim nh nghim n v
Kim nh nghim n v ADF c s dng xc nh tnh dng ca
chui d liu. Vn tnh dng l mt trong nhng iu kin quan trng khi
phn tch chui d liu theo thi gian. Nu chui khng dng th s to ra hi
quy gi mo v lm sai lch kt qu m hnh.
Kim nh gi thit:
H
0
: chui khng dng
H
1
: chui dng
iu kin bc b H
0
nu: t ln hn gi tr tuyt i ca gi tr thng k
ti cc mc ngha 1%, 5% hoc 10% ty thuc vo tin cy s dng.
Nh vy, kt qu kim nh ADF (ph lc 2) cho thy tt c cc bin u
c hin tng l chui khng dng v c lin kt bc 1-I(1) v c tnh xu
hng nn c thay th bi sai phn bc mt ca bin. Tuy nhin, sai
56

phn bc mt ny c tnh dng theo xu hng nn nghin cu s dng sai
phn bc mt ca logarit t nhin cc bin s. Kt qu cho thy sai phn bc
nht ca logarit t nhin cc bin s - k hiu l DLOG(X) - l chui dng t
nhin. Ring bin OPGAP c x l theo k thut Hodrick-Prescott nn
OPGAP l chui dng t nhin.
5.2 di ca tr v tnh n nh ca m hnh VAR
S bc ca chui dng (hin tng tr) trong m hnh VAR c ngha
ht sc quan trng nh dng m hnh. Bng 5.1 th hin nhng tiu chun
xc nh tr ca phn tch VAR.
Theo cc tiu chun di y, tr c th l 0; 2 v 3. Nghin cu chn
la tr l 2 v nhng l do sau: Th nht, tr l 0 l khng hp l do gi
tr ca k trc thng c nhng nh hng nht nh n k sau v k vng
gi tr tng lai thng c da trn gi tr hin ti. Th hai, tr cng nh
cng tt v s quan st l c hn nn nu tng di ca tr s lm cho bc t
do b gim, do vy nh hng n cht lng ca cc c lng. Th ba, cc
kim nh diagnostic di y chng minh rng tr bng 2 l ph hp.
Bng 5.1: Xc nh di ca tr trong m hnh VAR


Lag LogL LR FPE AIC SC HQ


0 212,1675 NA 5,14e-13 -8,432659 -7,881551* -8,225273*
1 272,1337 96,96663 3,33e-13 -8,899306 -6,419321 -7,966071
2 326,1330 71,23307* 3,17e-13* -9,112041 -4,703178 -7,452956
3 384,7112 59,82462 3,29e-13 -9,519627* -3,181887 -7,134693


Ngun: Tnh ton ca tc gi da trn phn mm EVIEW 5.0
Tnh n nh ca m hnh VAR c trnh by Ph lc 3, chng minh
rng m hnh VAR tha mn cc iu kin n nh v tt c cc gc (roots of
57

modulus) u nm trong ng trn n v. Do vy, sai s chun trong cc
phn tch cc thay i xy ra c trnh by trong m hnh c gi tr.
Nhng kim nh Diagnostic c trnh by trong ph lc 4 cng chng
minh rng ti mc ngha 1%, tt c u c phn phi chun, phng sai ca
sai s khng i v khng c hin tng t tng quan ti cc tr. Tuy
nhin vi mc ngha 5%, mt s kt qu kim nh cho thy c cc hin
tng trn xut hin, tuy nhin mc tiu chnh ca m hnh VAR l phn
tch mi lin h ng, ln nhau gia cc bin trong h thng hn l c lng
tham s trong tng phng trnh c th, do vy s hin din ca nhng hin
tng ny trong m hnh VAR c th khng phi l mi quan tm chnh trong
nghin cu ny. Ngoi ra, kim nh tnh n nh ca m hnh VAR chng
minh rng nhng lch chun trong phn tch cc thay i u c gi tr.
5.3 Cc kt qu c lng
Trong phn ny, nghin cu s phn tch hai c tnh thng k trong m
hnh VAR c s dng nh gi mc chuyn t thay i ca mt bin ni
sinh vo cc bin ni sinh: phn ng c sc
15
v phn tch phng sai
16
. Mt
tc ng (mt c sc) n mt bin khng ch lm thay i bin m cn
c truyn ti n cc bin khc trong m hnh thng qua cc mi quan h
cng tn ti thi im m tc ng ny xy ra v thng qua cu trc tr
ca m hnh VAR. Nghin cu trc ht s phn tch phn ng ca lm pht
i vi s tng ln ca t l (ni cch khc s gim gi ca ng ni t), sau
s phn tch cc tc ng khc n t l lm pht Vit Nam, t xc
nh c ln, thi gian ca cc tc ng. Cc phn ng c sc do t gi

15
phn ng c sc = impulse response.
16
Phn tch phng sai = variance decomposition.
58

gy ra c c lng qua mt thi k l 40 thng. Cc c sc ny u c
chun ho theo 1% tng ln. Th hai, phn tch phng sai c s dng
c lng nguyn nhn ca s thay i phng sai ca cc bin c cp
trong m hnh, c bit l bin ch s gi tiu dng hay lm pht.
5.3.1 Tc ng ca s thay i ca t gi n lm pht
Hnh 5.1 minh ho tc ng ca s thay i ca t gi n lm pht. Do
t gi c xp sau ch s gi tiu dng trong ma trn tam gic Cholesky nn
s thay i ca t gi n lm pht ch xy ra trong thi k tip theo. V vy,
trong thi k u tin - thng th nht - khi TGH thay i th ch s gi
khng thay i v ch thay i bt u t thng th hai. ng nh k vng
17
,
lm pht tng ngay sau khi t gi hi oi tng v mnh nht vo thng th
hai, sau gim dn v mt hn vo thng th 3 sau c sc t gi. V sau
khong 10 thng, lm pht tr li mc nh ban u. Ngoi ra, bin sai s rt
hp cho thy kt qu rt ng tin cy.
Hnh 5.1: Tc ng ca s thay i ca t gi n lm pht
-.004
-.003
-.002
-.001
.000
.001
.002
.003
5 10 15 20 25 30 35 40

Ngun: Tnh ton bi nhm nghin cu theo cc ngun IFS, GSO, BIDV.

17
Gii thch phn 2.1.2.
59

o lng mc chuyn t gi vo gi nhp khu v gi tiu dng,
nhiu nghin cu (v d nh MaCarthy (2000); Leigh v Rossi (2002); Ito v
Sato (2006); Lian (2007)) s dng phng php tiu chun ho, trong
lch chun ca TGH s c tiu chun ho thnh c sc tng 1%. ng
thi, khi tnh MCTGLP phi xem xt n s thay i ca chnh t gi do c
sc ca chnh n gy ra vo cc thi k sau y.
p dng cng thc ca Leigh v Rossi (2002) o lng h s mc
chuyn (PT) nh sau:
, 1
, 1
t t
t t
t
P
PT
E
+
+
=

Trong : P
t,t+1
l s thay i trong cc ch s gi ti thi im t nhm
phn ng li vi c sc ban u trong TGH, E
t
l s thay i tch ly theo
thi gian ca TGH vi c sc ca chnh n.
Do vy, ta tnh c h s mc chuyn nh sau:
Bng 5.2: H s mc chuyn
Ngun: Tnh ton bi nhm nghin cu theo cc ngun IFS, GSO, BIDV.
Thi k CPI Thi k CPI
1 0 9 -0,01
2 0,069567 10 -0,09
3 -0,32682 11 -0,12
4 -0,52774 12 -0,19
5 -0,46276 15 0
6 -0,18333 20 0
7 -0,03 40 0
8 -0,05
60

-.003
-.002
-.001
.000
.001
.002
.003
.004
.005
.006
5 10 15 20 25 30 35 40
-.005
-.004
-.003
-.002
-.001
.000
.001
.002
.003
.004
5 10 15 20 25 30 35 40
-.002
-.001
.000
.001
.002
.003
.004
.005
5 10 15 20 25 30 35 40
-.004
-.003
-.002
-.001
.000
.001
.002
.003
.004
.005
5 10 15 20 25 30 35 40
Nh vy, khi TGH tng ln 1% th ch lm ch s CPI tng ln 0,07 %
v ngay sau khi s thay i ca TGH xy ra. Ni cch khc, MCTGLP
Vit Nam l 0,07. Tuy nhin, tc ng ny cng b trit tiu hon ton vo
thng th 3 sau y v sau 15 thng th CPI tr li nh ban u trc khi c
sc xy ra.
nh gi MCTGLP ny l ln hay nh th cn phi so snh vi cc
quc gia khc, so snh ny s c tin hnh cui chng.
5.3.2 Phn ng ca CPI vi cc c sc khc
Hnh 5.2: Phn ng ca CPI vi cc c sc kinh t khc
(a) OPGAP (b) VND
(c) RVND (d) RUSD
61

Ngun: Tnh ton bi nhm nghin cu theo cc ngun IFS, GSO, BIDV.
Xem xt phn ng ca CPI vi cc c sc v m khc nh c minh
ho trong hnh 5.2, ta c mt s nhn xt sau:
Hnh 5.2a minh ho phn ng ca CPI khi tng cu thay i. Nh c
k vng, khi tng cu tng th gi s tng ngay trong cng thi k tng cu
tng v tng cu c xp trc CPI trong m hnh VAR. S tng ny xy ra
lin tc t thng th nht n thng th t, v mnh nht vo thng th hai
khi 1% thay i ca tng cu lm lm pht tng 0,0025%. Kt qu ny khc
vi nghin cu ca V Vn Minh (2009) v kt lun rng tng cu tng ln
lm lm pht gim.
Hnh 5.2b minh ho phn ng ca CPI khi cung tin tng. Tng t nh
tng cu, cung tin tng lm lm pht tng t thng th 2 v nh th t ca
m hnh th cung tin ng sau ch s gi tiu dng nn s thay i ca cung
tin ch tc ng n t gi vo thng k tip. Cung tin tng lm lm pht
tng t thng th 2 n thng th 13 sau c sc, sau tr v mc ban u
truc khi b tc ng. nh hng ln nht l vo thng th t sau tc ng
khi m 1% thay i ca cung tin lm lm pht tng 0,0021%. So vi c sc
tng cu th s tng ln ca cung tin nh hng n lm pht lu hn.
Tip n, hnh 5.3c v 5.3d minh ha tc ng ca li sut Vit Nam
ng v li sut USD n t l lm pht. Trong , s tng ln ca li sut
VND i din cho chnh sch tin t tht cht, do vy lm pht gim ngay
thng th hai (v lm pht ng trc RVND trong ma trn tam gic
Cholesky) v gim mnh nht vo thng th ba khi m 1% tng ln ca li
sut lm lm pht gim 0,0017%. Sau 15 thng, tc ng ca li sut n lm
pht trit tiu v lm pht tr li mc ban u trc khi b tc ng.
62

Tuy nhin, khi RUSD tng th lm pht tng ngay trong thi k sau y,
tng 0,013%. iu ny c th do chi ph ca cc hng tng ln do cc khon
vay tnh bng USD, v hng buc phi phi tng gi vo thng lin sau b
vo chi ph ny. Tuy nhin, t thng th 3 tr i, lm pht bt u gim v v
mt di hn th ng nh l thuyt.
Kt qu m hnh cho thy, tt c cc bin sai s rt hp nn kt qu rt
ng tin cy.
5.3.3 Phn tch phng sai
Theo lp lun ca Taylor (2000), cng c thm kt lun v nh hng
ca c sc t gi n cc mc gi ni a, ngoi phn tch phn ng c sc
cn phi thc hin phn tch phng sai. C th hn, nu mc chuyn t gi
n cc mc gi ni a cao hm mt s chuyn dch mnh t nhng thay
i ca TGH vo cc mc gi ni a, c bit l CPI, nhng nu t gi hi
oi ch gy ra mt nh hng nh n phng sai ca DLOG(CPI) th t gi
hi oi khng phi l mt nhn t quan trng trong vic quyt nh s thay
i ca CPI. Do vy, phn tch phng sai ca bin mc tiu ht sc cn thit.
C th trong nghin cu bin mc tiu chnh l CPI.
Bng 5.3: Phn tch phng sai ca ch s gi tiu dng CPI


Thi k S.E. OPGAP DLOG(CPI) DLOG(VND) DLOG(FCD) DLOG(RVND) DLOG(RUSD) DLOG(ER)


1 4863.302 1.050354 98.94965 0.000000 0.000000 0.000000 0.000000 0.000000
5 6286.387 9.436129 66.44666 7.730055 0.931146 5.364308 4.020434 6.071270
10 6342.600 8.973445 63.96962 8.841355 1.546502 6.551830 3.999989 6.117255
15 6344.096 8.977591 63.83607 8.845178 1.573841 6.622441 4.012543 6.132335
20 6344.209 8.977506 63.83208 8.844949 1.573890 6.624366 4.014191 6.133022
25 6344.218 8.977466 63.83168 8.844945 1.573957 6.624674 4.014257 6.133017
30 6344.218 8.977467 63.83166 8.844942 1.573960 6.624695 4.014260 6.133019
35 6344.218 8.977467 63.83166 8.844942 1.573960 6.624696 4.014260 6.133019
40 6344.218 8.977467 63.83166 8.844942 1.573960 6.624696 4.014260 6.133019
Ngun: Tnh ton bi nhm nghin cu theo cc ngun IFS, GSO, BIDV
63

Kt qu ca phn tch phng sai (Bng 5.3) cho thy: c OPGAP v
cung tin ni a l nhng tc nhn chnh nh hng n t l lm pht Vit
Nam, tuy nhin theo phn tch phn 5.3.2 th tc ng ca OPGAP n t l
lm pht ch xy ra trong mt thi gian rt ngn, cn tc ng ca cung tin
th tng i di hn. iu ny tng t i vi tc ng ca s thay i ca
t gi. Hn na, li sut VND c tc ng n t l lm pht Vit Nam ln
hn tc ng ca li sut USD. Ni cch khc, cung tin tng nhanh l mt
trong nhng tc nhn chnh nh hng n t l lm pht v kim sot cung
tin cng nh tht cht li sut VND l mt trong nhng cch hiu qu nht
t c mc tiu lm pht Vit Nam.
5.4 So snh kt qu vi cc nc khc
Phn ng c sc xc nh c h s mc chuyn t gi vo gi tiu
dng theo tng thi k sau c sc. V mt trung bnh, MCTGLP ln lt l
0,07 sau hai thng. Tuy nhin, c mt ci nhn ton din hn v MCTGLP
Vit Nam, nghin cu so snh kt qu ny vi mt s nc pht trin v
ang pht trin khc. So snh MCTGLP, nghin cu ca Chouhdri v Hakura
(2001) tnh c MCTGLP bng 0 Ethiopia. Tng t, MCTGLP
Tazania theo nghin cu ca Mwase (2006) l 0,023. Ito v Sato (2006) cng
tnh kt qu MCTGLP vo cc nn kinh t ng trong Hn Quc
(0,08), Thi Lan (0,07), Malaysia (0,03), Philippines (0,03), Indonesia
(0,31) Do vy, h s MCTGLP ca Vit Nam l mc trung bnh.
L gii v nguyn nhn MCTGLP Vit Nam mc trung bnh l do
mt s nguyn nhn sau: th nht, lm pht Vit Nam ch yu l do s tng
gi ca lng thc, thc phm, v d nh trong nm 2008, khi lm pht Vit
Nam leo n 23% th gi ca lng thc thc phm tng hn 30%. M gi
ca lng thc thc phm khng chu tc ng ln ca TGH. Th hai, s
64

hi nhp ca Vit Nam ngy cng su vo nn kinh t th gii, cng vi y
l tnh cnh tranh ngy cng c ci thin, iu ny hn ch kh nng iu
chnh gi c ca cc doanh nghip khi mt s thay i ca t gi din ra, nh
phn tch trong phn 2.2.
65

CHNG 6
KT LUN V MT S GI CHNH SCH

6.1 Kt lun
Nghin cu tin hnh o lng mc chuyn t gi vo lm pht Vit
Nam da trn m hnh t hi quy Vect VAR, v s dng phn mm
Eview thu c cc kt qu c lng. rt ra mt s kt lun, ng
thi m bo tnh h thng ca nghin cu, phn kt lun s tr li trc tip
cc cu hi nghin cu t ra chng 1 gm c:
+ Nhng nhn t no nh hng n mc chuyn t gi vo CPI?
+ Gi nh cc yu t khc khng i, t gi thay i (mt gi) 1% th lm
pht thay i bao nhiu phn trm?
+ T gi hi oi c th gii thch bao nhiu phn trm nhng thay i ca
lm pht?
+ S dng m hnh g t nhng kt qu trn?
+ Liu t gi hi oi c phi l mt knh ph hp t c kim ch
lm pht Vit Nam? Chnh sch t gi hi oi cn c iu chnh
nh th no?
Th nht, nghin cu h thng ha l thuyt v nh hng ca nhng
thay i ca t gi n lm pht gm c: khi nim v MCTGLP, hai knh tc
ng, v xem xt cc tc nhn nh hng n mc chuyn ny gm c
phng din vi m ln v m.
66

Th hai, nghin cu xc nh c mc chuyn t gi Vit Nam l
MCTG khng hon ton thuc nhm trung bnh thp, trong MCTGLP ca
Vit Nam l 0,07 sau 2 thng k t c sc.
Th ba, phn tch phng sai cho thy TGH c th gii thch khong
6-7% nhng thay i ca lm pht, tuy nhin v tc ng ca s thay i
TGH nh hng n lm pht khng nhiu nn c th kt lun rng tc
ng ca c sc t gi n t l lm pht khng ln.
Th t, nghin cu s dng m hnh VAR rt gn, kt hp vi phn
mm EVIEW rt ra nhng kt qu c lng v thc hin cc kim nh
cn thit. y l mt cch tip cn ph bin i vi cc nghin cu v
MCTGLP.
Th nm, nghin cu chng minh rng nh hng ca TGH n ch s
CPI l tng i nh v trong mt thi gian rt ngn, do vy y khng phi
l mt knh ph hp thc hin chnh sch mc tiu lm pht.
Ngoi ra, nghin cu pht hin tng cung tin l nguyn nhn chnh
nh hng n lm pht Vit Nam v chnh ln cng nh s dai dng
ca tc ng ny n lm pht.
6.2 Khuyn ngh chnh sch
T nhng kt lun nghin cu thu c, nhm nghin cu xin xut
mt s chnh sch lin quan nh sau:
Th nht, v mc chuyn ca t gi hi oi n cc mc gi ni a l
trung bnh thp, c bit l ch s gi tiu dng, hn na cc tc ng ny n
lm pht b trit tiu hon ton sau thng th 3, cng vi vic t gi
VND/USD ca cc NHTM lun kch trn cng nh vic chnh lch gia t
gi chnh thc v t gi th trng t do tng i cao, do vy Ngn hng
67

trung ng nn p dng mt c ch t gi hi oi linh hot hn, m rng
bin dao ng. iu ny s to ra s t do hn cho chnh sch tin t
thc hin cc mc tiu v m khc.
Th hai, ngoi ra nghin cu cng pht hin rng s can thip ca
NHNN vo th trng ngoi hi i khi lm nhiu v trm trng thm cc
vn ca nn kinh t do vy chnh sch iu hnh t gi cn linh hot theo
th trng nhm gim bt nhng hn ch ca c ch t gi hin ti, nu khng
s can thip qu mc ca NHNN c th s lm tn thng tnh lng ca th
trng v y lm pht ngy cng cao hn.
Th ba, lm pht cao Vit Nam ch yu l do cung tin m rng lin
tc trong thi gian qua. Do vy, kim sot lm pht trc ht cn kim sot
cung tin. Ngoi ra, tng li sut VND l mt trong nhng cng c mnh
t c nhng mc tiu v lm pht. Nghin cu cng pht hin rng c sc
cu ch nh hng n lm pht nht thi nn NHNN khng nn s dng cc
bin php can thip khi tng cu tng trong ngn hn.
6.3 Nhng hn ch ca ti v hng nghin cu tip theo
Nghin cu c gng lng ho c sc TGH vo lm pht Vit
Nam, tuy nhin nghin cu vn tn ti mt vi hn ch nht nh, lm tin
cho nhng nghin cu v sau. Trong c:
C sc t gi n cc mc gi ni a din ra theo chui phn phi t tc
ng n gi nhp khu, gi sn xut v cui cng l gi tiu dng. Tuy
nhin, vic thiu d liu ca gi nhp khu v gi sn xut nh hng nht
nh n MCTGLP. Do vy, vic tm cc bin i din cho hai ch s ny l
ht sc cn thit trong cc nghin cu v sau.
Trong nhiu nghin cu, cc tc gi xy dng mi quan h di hn
gia t gi hi oi v cc bin lin quan cng nh nh hng ca nhng thay
68

i cu trc n MCTG. Tuy nhin, do hn ch ca s liu ch c trong 5 nm
t 2005 n 2009, nn rt kh xc nh cc mi quan h di hn mt cch
ph hp.
Chnh nhng hn ch trn gi cho nhng nghin cu xa hn i vi
ti ny. Trong vic khc phc cc hn ch l u tin hng u. Ngoi ra,
nghin cu xa hn s m rng khong thi gian nghin cu, ci thin cc s
liu c th t c nhng kt qu ng tin cy.
69

TI LIU THAM KHO

1. Bacchetta, P., and Van Wincoop, E., 2002, Why Do Consumer Prices
React Less than Import Prices to Exchange Rates? NBER Working
Papers, No. 9352.
2. Belaisch, A., 2003, Exchange Rate Pass-Through in Brazil, IMF
Working Paper,WP/03/141, International Monetary Fund.
3. Campa, J. M. and L. S. Goldberg, 2005, Exchange Rate Pass Through
into Import Prices, Review of Economics and Statistics, 87(4), pp.
679-690.
4. Campa, M. Jose and Goldberg, Pinelopi Koujianou (2002), Exchange
Rate Pass-Through into Import Prices: A Macro or Micro
Phenomenon, NBER Working Paper 8934.
5. Clark, P. B. and R. Macdonald (1999), Exchange rates and economic
fundamentals: A methodological comparison of BEERs and FEERs
in R.. MacDonald and J. L. Stein: Equilibrium exchange rates,
Norwell, MA., pp. 285-322.
6. Devereux, M., C. Engel and P. Storgaard (2004), Endogenous Exchange
Rate Pass-Through When Prices Are Set in Advance, Journal of
International Economics, Vol 63, pp. 263-291.
7. Dornbusch, R., (1987), Exchange Rates and Prices, American Economic
Review, 77, pp. 93-106.
8. Dornbusch, Rudi (1987), Exchange Rates and Prices, NBER Working
Paper, No.1769.
70

9. Faruqee, H. (2006), Exchange Rate Pass-Through in the Euro Area,
IMF Staff Papers, 53(1), pp.63-88.
10. Feinberg, R. (1986), The Interaction of Foreign Exchange and Market
Power Effects on German Domestic Prices, Journal of Industrial
Economics 35 (1), pp. 61-70.
11. Goldberg, P.K. and Knetter, M.K.(1997), Goods Prices and Exchange
Rates: What have we Learned?, Journal of Economic Literature, 35,
pp. 1243-1272.
12. Hahn, E. (2003), Pass-Through of External Shocks to Euro Area
Inflation, Working Paper, 243, European Central Bank.
13. Hooper, Peter and Mann, Catherine L. (1989), Exchange Rate Pass-
Through in the 1980s: the Case of the U.S. Imports of
Manufactures, Brookings Papers of Economic Activity, 1.
14. IFS- International Financial Statistics
15. IMF, (2003) Ol Unteroberdoerster, Rania Al-Mashat, Shanaka J. Peiris
(All APD), Qing Wang (PDR), and Erik Lueth (FAD): Vietnam:
Selected Issues.
16. Ito, Takatoshi and Sato, Kiyotaka (2006), Exchange Rate Changes and
Inflation in Post-Crisis Asian Economies: VAR Analysis of the
Exchange Rate Pass-Through, NBER working paper 12395.
17. Leigh, D. and M. Rossi (2002), Exchange Rate Pass-Through in
Turkey, IMF Working Paper, WP/02/204, International Monetary
Fund.
71

18. Lian, An (2006), Exchange Rate Pass-Through: Evidence Base on
Vector Autoregression with Sign Restrictions, MPRA paper, No.
527.
19. Mann, C.L. (1986), Prices, Profit Margins and Exchange Rates, Federal
Reserve Bulletin 72, pp. 366-79.
20. McCarthy, J. (2000), Pass-Through of Exchange Rates and Import Prices
to Domestic Inflation in Some Industrialized Economies, Staff
Reports, 111, Federal Reserve Bank of New York.
21. Ngn hng u t v pht trin BIDV Vit Nam.
22. Nkunde Mwase. (2006), An Empirical Investigation of the Exchange
Rate Pass-Through to Inflation in Tanzania, IMF Working Paper,
WP/05/150.
23. Nicoleta, C. (2007), Estimating the exchange rate pass through into
inflation in a vector autoregressive framework.
24. Nguyen Thi Thu Hang et al (2010), La chn chnh sch t gi, Bo
co kinh t thng nin, VEPR.
25. Olivei, G. P. (2002), Exchange Rates and the Prices of Manufacturing
Products Imported into the United States, New England Economic
Review, Federal Reserve Bank of Boston, First Quarter, pp. 3-18.
26. Otani, A., S. Shiratsuka and T. Shirota (2005), Revisiting the Decline in
the Exchange Rate Pass-Through: Further Evidence from Japans
Import Prices, IMES Discussion, No. 2005-E-6, Institute for
Monetary and Economic Studies, Bank of Japan.
72

27. Paul Krugman (1986), Pricing to Market when the Exchange Rate
Changes, NBER Working Papers 1926, National Bureau of
Economic Research, Inc.
28. Pham Minh Chinh v Vng Quan Hon (2009), Kinh t Vit Nam:
Thng trm v t ph, sch tham kho.
29. Taylor, J.B. (2000) Low Inflation, Pass-through, and the Pricing Power
of Firms, European Economic Review, 44, pp. 1389-1408.
30. Tng cc thng k Vit Nam GSO.
31. Vo Tri Thanh; Dinh Hien Minh; Do Xuan Truong; Hoang Van Thanh;
Pham Chi Quang (2000), Exchange Rate Arrangement in Vietnam:
Information Contents and Policy Option, East Asian Development
Network (EADN), Individual Research Project.
32. Vo Van Minh (2009), Exchange rate pass-through and its implications
for inflation in Vietnam, VDF Working Paper.
33. Yang J.W. (1997), Exchange Rate Pass-through in U.S. Manufacturing
Industries, The Review of Economics and Statistics, 79, pp. 95-104.
73

PH LC
PH LC 1: M HNH VAR

Xem xt ba h thng bin sau:
y
t
= -b
12
z
t
-

b
13
g
t
+
11
y
t-1
+
12
z
t-1
+
13
g
t-1
+
yt
(1)

z
t
= -b
21
y
t
-

b
23
g
t
+
21
y
t-1
+
22
z
t-1
+
23
g
t-1
+
zt
(2)
g
t
= -b
31
y
t
-

b
32
z
t
+
31
y
t-1
+
32
z
t-1
+
33
g
t-1
+
gt
(3)
vi gi nh y
t
, z
t
v g
t
l khng thay i;
yt
,
zt
, v
gt
l nhng nhiu trng v
khng tng quan vi nhau. Cc cng thc (1); (2) v (3) c gi l h
thng nguyn thy. H thng nguyn thy khng tnh ton trc tip c do
vn tng quan gia cc hi quy v cc sai s.
Chng ta cng c th vit li h thng nh di y:
y
t
+ b
12
z
t
+ b
13
g
t
=
11
y
t-1
+
12
z
t-1
+
13
g
t-1
+
yt
(4)

b
21
y
t
+ z
t
+ b
23
g
t
=
21
y
t-1
+
22
z
t-1
+
23
g
t-1
+
zt
(5)
b
31
y
t
+

b
32
z
t
+ g
t
=
31
y
t-1
+
32
z
t-1
+
33
g
t-1
+
gt
(6)
S dng ma trn s hc, ta c th vit li l:
B
o
x
t
= B
1
x
t-1
+
t
(7)
Vi
12 13
0 21 23
31 32
1
1
1
b b
B b b
b b
| |
|
=
|
|
\ .
,
11 12 13
1 21 22 23
31 32 33
B



| |
|
=
|
|
\ .
,
t
t t
t
y
x z
g
| |
|
=
|
|
\ .
,
yt
t zt
gt
c
c c
c
| |
|
=
|
|
\ .

Nhn c hai v vi B
o
1
, ta c dng rt gn hay dng chun s l:
x
t
= A
0
x
t-1
+ e
t
(8)
vi A
0
=

B
0
-1
B
1
(9)
74

v e
t
= B
0
-1

t
hoc
t
= B
0
e
t
(10)
Chng ta c th coi a
ij
l mt bin hng i v ct j ca ma trn A, v e
it
l
bin i ca vc t e
i
. Cng thc rt gn, ch bao gm cc bin qu kh, c th
c tnh ton mt cch trc tip:
y
t
= a
11
y
t-1
+ a
12
z
t-1
+ a
13
g
t-1
+ e
yt
(11)

z
t
= a
21
y
t-1
+ a
22
z
t-1
+ a
23
g
t-1
+ e
zt
(12)
g
t
= a
21
y
t-1
+ a
22
z
t-1
+ a
23
g
t-1
+ e
zt
(13)
Tuy nhin, s tham s ca gc nguyn s ln hn so vi m hnh thu gn. V
vy, chng ta cn a ra gii hn khi phc thng tin t h thng tnh ton
thng qua mi quan h ng thi hay vc t B
0
.
M hnh ph bin nht l gi thit quy trong cc c sc lan truyn gia
cc bin trong h theo hn ch mt chiu. M hnh ny c gi l phn tch
Choleski. Phng php ny s hn ch ma trn cng thi ca h s cu trc
(ma trn B
0
) gim xung tam gic v tt c cc h s trn u bng 0. H
thng nguyn s vi cng thc (4), (5) v (6), v d, h s b
12
, b
13
v b
23
c
th hn ch n khng. Chng ta c h thng mi:
y
t
=
11
y
t-1
+
12
z
t-1
+
13
g
t-1
+
yt
(14)

b
21
y
t +
z
t
=
21
y
t-1
+
22
z
t-1
+
23
g
t-1
+
zt
(15)
b
31
y
t
+

b
32
z
t
+g
t
=
31
y
t-1
+
32
z
t-1
+
33
g
t-1
+
gt
(16)


75

PH LC 2: KIM NH NGHIM N V

Group unit root test: Summary
Date: 07/30/10 Time: 16:03
Sample: 2005M01 2009M03
Series: CPI, ER, FCD, OIL, RUSD, RVND, VND
Exogenous variables: Individual effects
Automatic selection of maximum lags
Automatic selection of lags based on SIC: 0 to 4
Newey-West bandwidth selection using Bartlett kernel


Cross-
Method Statistic Prob.** sections Obs
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* -8.36329 0.0000 7 339
Breitung t-stat -7.85405 0.0000 7 332

Null: Unit root (assumes individual unit root process)
Im, Pesaran and Shin W-stat -10.2278 0.0000 7 339
ADF - Fisher Chi-square 121.433 0.0000 7 339
PP - Fisher Chi-square 102.855 0.0000 7 343

Null: No unit root (assumes common unit root process)
Hadri Z-stat 1.18112 0.1188 7 350


** Probabilities for Fisher tests are computed using an asympotic Chi
-square distribution. All other tests assume asymptotic normality.


76

PH LC 3: TNH N NH CA M HNH VAR







Roots of Characteristic Polynomial
Endogenous variables: OPGAP DLOG(CPI) DLOG(VND) DLOG(FCD) DLOG(RVND)
DLOG(RUSD) DLOG(ER)
Exogenous variables: C DLOG(OIL)
Lag specification: 1 2
Date: 07/30/10 Time: 13:02


Root Modulus


0.367512 - 0.668206i 0.762604
0.367512 + 0.668206i 0.762604
-0.425861 - 0.598481i 0.734532
-0.425861 + 0.598481i 0.734532
0.696142 - 0.167243i 0.715950
0.696142 + 0.167243i 0.715950
-0.543306 - 0.111454i 0.554620
-0.543306 + 0.111454i 0.554620
-0.101345 - 0.491341i 0.501684
-0.101345 + 0.491341i 0.501684
-0.347862 0.347862
0.073805 - 0.204161i 0.217092
0.073805 + 0.204161i 0.217092
0.210858 0.210858


No root lies outside the unit circle.
VAR satisfies the stability condition.
77

PH LC 4: KIM NH DIAGNOSTIC CC PHNG
TRNH TRONG M HNH VAR
1. KIM NH PHNG SAI CA SAI S KHNG I



Dependent Chi-sq(30) Prob.


res1*res1 23.61313 0.7892
res2*res2 32.75736 0.3332
res3*res3 28.29743 0.5547
res4*res4 39.24267 0.1204
res5*res5 38.23255 0.1439
res6*res6 44.20604 0.0457
res7*res7 23.86202 0.7782
res2*res1 30.51614 0.4395
res3*res1 27.20582 0.6124
res3*res2 39.97541 0.1053
res4*res1 31.32896 0.3994
res4*res2 31.89555 0.3724
res4*res3 37.50074 0.1630
res5*res1 34.43757 0.2637
res5*res2 33.77062 0.2901
res5*res3 30.76108 0.4272
res5*res4 38.41713 0.1393
res6*res1 40.01251 0.1046
res6*res2 40.28299 0.0995
res6*res3 34.38598 0.2657
res6*res4 43.79419 0.0498
res6*res5 46.71394 0.0265
res7*res1 33.25259 0.3117
res7*res2 38.59700 0.1350
res7*res3 40.22355 0.1006
res7*res4 38.05574 0.1483
res7*res5 36.88892 0.1804
res7*res6 41.88165 0.0733

78

2. KIM NH TNH PHN PHI CHUN


Component Jarque-Bera df Prob.


1 3.038227 2 0.2189
2 3.271247 2 0.1948
3 7.299513 2 0.0260
4 5.981509 2 0.0502
5 1.888228 2 0.3890
6 5.029677 2 0.0809
7 3.240797 2 0.1978



3. KIM NH TNH T TNG QUAN


Lags LM-Stat Prob


1 74.83582 0.0102
2 60.28117 0.1296
3 42.76038 0.7228


Probs from chi-square with 49 df.