CC THC O B BA BT KH THI

Ging vin hng dn: TS. Nguyn Khc Quc Bo

S LC BI NGHIN CU

Cc php o lng b ba bt kh thi cho ti nay vn cha c thng nht gia cc nh nghin cu Nhng u im v nhc im ca cc phng php a ra mt nhn xt tng quan v u, nhc im gia cc phng php o lng vi nhau.

CC THC O B BA BT KH THI
o lng mc hi nhp ti chnh De jure De facto o lng mc c lp tin t o lng da trn li sut ngn hn o lng theo quan im ca Aizenman, Chinn, Ito o lng mc n nh t gi

HN CH TRONG O LNG MC HI NHP TI CHNH

1 2 3

Cc phng php trc y thng tht bi trong vic tnh ton c c cht lng (intensity) v s lng (extent) ca cc bin php kim sot vn. D liu c s ly t IMF qu tng qut nn khng th hin c hot ng kim sot vn thc cht.

Hu nh khng th phn bit c vic kim sot trn thc t (de facto) v trn php l (de jure)

THC O PHP L DA TRN CC CH S CA IMF

Thng tin tng hp t AREAER S liu hng nm t mu cc quc gia c xem l c ti khon vn m Hn ch ca phng php Khng phn nh chnh xc mc m ca ti khon vn Khng th hin ng mc p t ca cc bin php kim sot vn Cc thc o ny khng phn nh mc hi nhp thc t ca nn kinh t.

O LNG MC HI NHP TI CHNH THEO HNG TIP CN DE JURE NGHIN CU CA AIZENMAN, CHINN V ITO

Bi nghin cu: A New Measure of Financial Openness Tc gi: Chinn & Ito Mc ch: Xy dng mt ch s v m ti chnh thng qua vic th hin c s lng ln cht lng ca cc bin php kim sot vn ng thi, hng n vic nghin cu c cng nhiu quc gia v nhiu nm trong b d liu AREAER nht c th

O LNG MC HI NHP TI CHNH THEO HNG TIP CN DE JURE NGHIN CU CA AIZENMAN, CHINN V ITO

Phng php tip cn:

B d liu : Bo co hng nm ca IMF (AREAER) p dng cho 181 nc trong giai on t 1970-2005 Ch s KAOPEN bao gm 4 bin gi nh phn
k1
k2 K3 k4

Bin biu th cho ch a t gi Bin biu th cho nhng hn ch v giao dch ti khon vng lai Bin biu th cho nhng hn ch v giao dch ti khon vn Bin biu th cho nhng yu cu kt hi ngoi t cho NHTW

CH S KAOPEN

KAOPEN c xy dng thng qua phng php chun ha thnh phn chnh th nht t b 4 bin nu trn. Ch s KAOPEN cng cao th m ti chnh ca quc gia cng cao V mt bn cht, KAOPEN o lng c s lng (phm vi) cc bin php kim sot vn m khng th o lng chnh xc cht lng ( mnh) ca vic kim sot vn. Tuy nhin, theo 2 tc gi, vic nh lng s lng kim sot vn c th l mt cng c tt tnh c mc kim sot vn

Cc ch s khc

Tng quan vi ch s KAOPEN

Quinn (1997)

83,9

Miniane (2004)

80,2

D liu AREAER sau 1996 k1 (a t gi) k2 (giao dch trn ti khon vng lai) k3 (giao dch trn ti khon vn) k4 (giao np s ngoi t thu c)

82 38,4 78,8 83 88

Kaminsky v Schmukler (2003)

57,6

Ghi ch D liu c chng nhn bi 1957 - 1997 gm 21 quc gia AREAER trc 1996, cng nghip b sung bng thng tin v cc 1958, 1973, 1982, v 1988 gm hip c quc t vi cc t 40 quc gia km pht trin chc v quc gia khc. Da vo bng lit k 13 giao 1983 - 2004 gm 34 quc gia dch ti khon vn sau 1996 v ngoi suy v 1983 Ly trung bnh ca 13 giao 1995 - 2005, 181 quc gia dch ti khon vn 1967 - 2005, 181 quc gia Bin nh phn 1967 - 2005, 181 quc gia Bin nh phn 1967 - 2005, 181 quc gia Bin nh phn 1967 - 2005, 181 quc gia Bin nh phn Da vo bng thng k cc bin php kim sot trn 1973 - 2000, 28 quc gia 1) th trng ti chnh ni a, 2) giao dch ti khon vn, 3) th trng vn 1996 - 2005, 2) ch gm cc giao dch ti khon vn

Phm vi ly mu

Kaminsky v Schmukler trng tm cc giao dch trn ti khon vn Kim sot dng vn i vo Potchamanawong (2007) Kim sot dng vn i ra Potchamanawong (2007)

67,6

61,1

Da vo thng tin t AREAER v 13 giao dch ti 1995 - 2004, 26 quc gia mi ni khon vn sau 1996, v da trn kim sot vn c p dng vi dng vn vo hay ra 1995 - 2004, 26 quc gia mi ni Nh trn

70,8

Kt qu o lng KAOPEN

Kt qu o lng ch s Kaopen ca cc nc cng nghip ha v cc nc mi ni (ngun: Chinn, Ito (2007))

10

Kt qu o lng KAOPEN

Kt qu o lng ch s Kaopen ca cc nc km pht trin theo cc khu vc a l khc nhau (Ngun: Chinn, Ito (2007))

11

O LNG HI NHP TI CHNH THEO HNG TIP CN DE FACTO DA TRN KHC BIT V GI C

Bi nghin cu: Chinese economies in global context: the integration process and its determinants Tc gi: Cheung, Chinn, & Fujii Mc ch:
Xy dng thc o mc hi nhp thng qua mc chnh lch gi c gia 2 nn kinh t (price-base) v cho chng ta thy c cc yu t kinh t nh hng n mc hi nhp ti chnh v thng mi.

12

O LNG HI NHP TI CHNH THEO HNG TIP CN DE FACTO DA TRN KHC BIT V GI C

Phng php tip cn: Cc tc gi lp lun da trn 3 iu kin ngang gi: ngang gi li sut c phng nga ngang gi li sut khng phng nga ngang gi sc mua tng i Cc tc gi o lng trn mi lin h gia Trung Quc i lc (PRC) vi cc nn kinh t thuc Trung Quc nh Hng Kng & i Loan, v vi cc nn kinh t bn ngoi nh Nht & M.

13

PHNG TRNH NGANG GI LI SUT C PHNG NGA

e l li sut thc ni a k vng ti thi im t (vi k l t , k thi im o hn ca cng c n) ca quc gia th nht.
li sut danh ngha ni a ti thi im t t l lm pht k vng ni a ti thi im t

it , k
e t,k

mc gim gi k vng (gia t gi k hn vi t gi giao ngay)

14

KT QU THC NGHIM

15

HN CH

Hn ch ca phng php ny l chng ta khng th xc nh c liu vic st gim s chnh lch (nu n xy ra) c phi l do gia tng tnh hi nhp hay l do s hi t ca cc chnh sch v m xc nh liu lch ca cc iu kin cn bng c phi l hm s gim ca cc ro cn v thng mi v gii hn ti chnh hay khng, cc tc gi tin hnh phn tch hi quy bng (panel regression)

16

KT QU THC NGHIM
KAOPENi,j nh hng tri du n chnh lch ba mc ngang gi. Kim sot vn thng i km vi cc ro cn thng mi

FDI
nh hng tri du i vi lch ba mc ngang gi, ngha l s chnh lch nh (ca UIP v PPP) hm mt mc cao FDI; Bin ng t gi nh hng cng du vi lch ba mc ngang gi, t gi d bin ng dn n mc chnh lch ln trong UIP v PPP.

17

KT LUN

1. lch trong IRP, UIP v PPP cng cao th mc hi nhp cng thp. 2. Mc hi nhp ti chnh v thng mi ph thuc vo phm vi kim sot vn, FDI v tnh bin ng ca t gi. 3. Vic la chn c ch t gi c nh hng lch ca ba iu kin cn bng. 4. Vic thu thp d liu t nhiu ngun to ra s khng ng b cng nh thiu tnh chun ha cho b d liu mu.

18

O LNG HI NHP TI CHNH THEO HNG TIP CN DE FACTO, DA VO KHI LNG TI SN V N NC NGOI

Bi nghin cu: The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities Tc gi: Philip R.Lane v Milesi-Feretti Mc ch: Cc tc gi xut s dng ch s m ti khon vn thc t bng cch o lng ti sn v n nc ngoi M ra ci nhn bao qut v xu hng hi nhp ti chnh ca cc nhm nc trn th gii din ra nh th no trong giai on va qua

19

O LNG HI NHP TI CHNH THEO HNG TIP CN DE FACTO, DA VO KHI LNG TI SN V N NC NGOI

Phng php tip cn Phng php o lng ca 2 tc gi da trn 2 cch c lng: Trc tip: tc gi s ly s liu v cc bo co ca cc t chc ti chnh kinh t trn th gii nh IMF, World Bankv ca cc nc nghin cu Gin tip: trong nhiu trng hp thiu vng s liu hoc s liu khng ng nht, tc gi s dng phng php dng tch ly vi gi tr tng thm. (cumulative flows with appropriate valuation adjusments).

20

O LNG HI NHP TI CHNH THEO HNG TIP CN DE FACTO, DA VO KHI LNG TI SN V N NC NGOI

N nc ngoi c chia thnh 4 khon mc: u t danh mc: chng khon vn v chng khon n (tri phiu v cc cng c n th trng ) u t trc tip: u t mi (greenfield investment) v u t nm quyn kim sot ti sn (t 10% tr ln). u t khc ( cng c n v tn dng thng mi) Chng khon phi sinh Ti sn nc ngoi chia thnh 5 khon mc: 4 khon mc tng t n nc ngoi cng thm d tr chnh thc. (

21

KT QU THC NGHIM
Thc o hi nhp ti chnh xut th nht

FA: tng ti sn t u t nc ngoi. FL: tng ngun vn t u t ca nc ngoi.

22

23

KT QU THC NGHIM

Thc o hi nhp ti chnh xut th hai ch yu da trn u t danh mc vn v FDI:

FDIL: Dng FDI i vo FDIA : Dng FDI i ra PEQL: Dng danh mc u t VCP i vo PEQA: Dng danh mc u t VCP i ra

24

25

HN CH

Phng php ca hai tc gi c mt s hn ch sau: Bo co t cn cn thanh ton quc t v c bit l t v th u t quc t khng y . Ti chnh quc t pht trin khng ngng v rt phc tp. Xy ra sai s thng k ( BOP) 1 s nc.

26

o lng mc c lp tin t Nhm trnh by 2 quan im o lng c lp tin t Quan im ca Obstfeld, Shambaugh v Taylor

Quan im ca Aizenman, Chinn v Ito

27

o lng da trn li sut ngn hn

Obsetfeld, Shambaugh v Taylor

Bi nghin cu: The trillema in history, tradeoff s among Exchange Rates, Monetary Policies, and Capital Mobility Tc gi: Obstfeld, Shambaugh, Taylor, 2004,

Quan im: Cc thay i trong li sut danh ngha l nhn t chnh trong iu hnh chnh sch tin t. NHTW khng iu chnh trc tip li sut danh ngha trn th trng m s dng cc cng c th trng m hay thay i t l d tr bt buc th kt qu ca cc iu chnh ny cng l nhm thay i mc li sut danh ngha trn th trng
28

o lng da trn li sut ngn hn

Obsetfeld, Shambaugh v Taylor

V sao chn li sut danh ngha?

Li sut danh ngha l li sut ca NHTW cng b, biu hin r nt l mt cng c cng nh quyn lc ca chnh ph trong vic thc thi chnh sch tin t.

Khi thc hin t gi c nh v hi nhp ti chnh th li sut danh ngha ca nc s ti s bng vi li sut danh ngha ca nc c s

29

o lng da trn li sut ngn hn

Obsetfeld, Shambaugh v Taylor
M hnh o lng

ngha cc bin
Rit : l li sut ca nc s ti ti thi im t Rbit : l li sut ca nc c s ti thi im t : l phng php ly sai phn : l h s chn uit : l sai s ngu nhin Rit : l li sut ca nc s ti ti thi im t Rbit : l li sut ca nc c s ti thi im t : l phng php ly sai phn : l h s ng lin kt : l h s tc iu chnh Ri,t-1, Rbi,t-1 : M hnh cng bao gm tr (1) ca li sut nc s ti v li sut nc c s PEGit : l 1 bin nh tnh PEGit = 0 khi xt Nonpegs PEGit = 1 khi xt n pegs) 2 : l s chnh lch ca h s ca pegs v nonpegs.

Rit= + Rbit+ uit

Rit = + Rbit + (c + Ri,t-1 - Rbi,t-1) + uit

Rit = + Rbit + 2PEGitRbit + uit, (*)

30

Kt qu thc nghim
Gold Standard de facto classification Pool oservations 499 Peg 399 Non-peg 85 Pool 484

std error
2 2 std error

.42aa .03

.52aa .04

.05 .09

.05 .10
.47aa .09

.26

.41

.00

.33

Kt lun: y l thi k c mc c lp tin t thp nht trong c 3 thi k. Trong thi k ny th non-pegs c mc c lp tin t cao hn so vi pegs

31

Kt qu thc nghim
Bretton Woods Pool oservations 227 std error 2 2 std error .02 .04 -.20 .11 Peg 208 - .26* .11 Non-peg Na Pool Na

Kt lun: thi k ny cc quc gia c mc c lp tin t cao nht bi cc quc gia neo t gi theo ng USD v thc hin chnh sch kim sot vn.

32

Kt qu thc nghim
Post - Bretton Woods Pool oservations 1920 std error 2 2 std error .03 .19 .01 .36aa .05 Peg 748 .46aa .04 Non-peg 1103 .27aa .08 Pool 1848 .26aa .08 .19* .09 .03

Kt lun: chu chuyn vn + neo t gi mc ph thuc li sut ca pegs: - Hi nhp tng quan li sut mnh CSTT ph thuc hn - Kim sot vn tng quan li sut yu CSTT c lp hn

33

Kt lun
- Thay i li sut nc c s mnh + nhanh li sut Pegs
- Pegs him khi c nh t gi hon ton di bin hp. Cc nc nonpegs cng khng th ni hon ton. - Li sut Nonpegs lin kt ngy cng cht ch

- Kim sot vn ngy cng c nhiu hn ch kt hp neo t gi v c lp tin t cng tr nn lung lay

34

o lng mc c lp tin t

theo quan im ca Aizenman, Chinn, Ito Bi nghin cu: The Impossible Trinity Hypothesis in an Era of Global Imbalances: Measurement and Testing Tc gi: Aizenman, Chinn, Ito, 2008, Mc c lp tin t c o lng bng hm o nghch ca mc tng quan hng nm ca li sut hng thng gia quc gia s ti v quc gia c s. Ch s mc c lp tin t bng:

MI= 1

, (1) 1(1)

35

Kt qu t thc nghim

36

o lng mc n nh t gi

theo quan im ca Aizenman, Chinn, Ito Bi nghin cu: The Impossible Trinity Hypothesis in an Era of Global Imbalances: Measurement and Testing Tc gi: Aizenman, Chinn, Ito, 2008,

n nh t gi c o lng bng s liu thc t v t gi ca cc quc gia, thay v ch t gi m quc gia cam kt vi IMF n nh t gi chnh l lch chun t gi, c tnh theo nm da trn d liu t gi mi thng gia quc gia s ti v quc gia c s. n nh t gi nm gia gi tr 1 v 0, cng tin v 1 t gi cng n nh.
ERS =
0,01 0,01+( log )

37

Kt qu thc nghim

38

Xin cm n qu thy v cc bn lng nghe

Nhm thc hin: Nguyn Minh Quang L Minh ng Khoa Lp TC002 K35 Lp TC002 K35

Hong Quc Thi

Dip Tun Khanh Bi c Ha L Minh Tin Trn Ngc Duy Quang Vn V Thoi

Lp TC003 K35
Lp TC002 K35 Lp TC002 K35 Lp TC008 K35 Lp TC003 K35 Lp TC002 K35

39