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LP CAO HC M 1 - KHO 20 GVHD: PGS.TS NGUYN TH NGC TRANG NHM THC HIN: NHM 6
THNG 05 NM 2012
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DANH SCH NHM THC HIN

STT 1 2 3 4 5 6 7 8 9 H Bi Anh Nguyn Tun Nguyn Th Thanh Nguyn Th Bi Th Thanh Phm Th Tr Nguyn Trn Qunh Mai Th Thanh L Th TN Chnh t Ho Hoa Hng Mi Tin V Hng GHI CH
MC LC
I. MC TIU NGHIN CU ......................................................................................... 1 1.1. Tn paper .................................................................................................................... 1 1.2. Mc tiu nghin cu ca paper .................................................................................... 1 Tm li. .............................................................................................................................. 3 Bin mi ca hai tc gi ..................................................................................................... 3 II/ PHNG PHP NGHIN CU ............................................................................... 3 2.1. Phng php nghin cu ............................................................................................. 3 2.2 M hnh ton hc s dng cho nghin cu ................................................................... 4 a/ M hnh t hi quy vector v hn ch ca n. ................................................................. 4 Cc din t m hnh VAR trong paper: ............................................................................. 5 Mt s cch din t m hnh VAR khc: .......................................................................... 6 iu kin tn ti m hnh VAR .......................................................................................... 7 u im ca VAR .............................................................................................................. 7 Th t thng thng khi s dng m hnh VAR l ............................................................. 7 Hn ch ca VAR .............................................................................................................. 8 b/ M hnh hm s y v phn tch phng sai ................................................................. 9 M hnh hm s y (IRFs) ................................................................................................ 9 Phn tch phng sai .......................................................................................................... 11 Tam gic ma trn Cholesky ................................................................................................ 13 c/ Phng php bnh phng nh nht (OLS) .................................................................... 14 d/ Phng php Census X-12 ............................................................................................. 15 e/ Phng php kim nh s dng l Augmented Dickey-Fuller (ADF) ............................ 17 2.3 Di d liu .................................................................................................................... 18 M hnh 05 bin (05 variance VAR) .......................................................................................... 18 M hnh 07 bin (07 variance VAR) .................................................................................. 18 2.4 Cc khi nim cn lu ............................................................................................... 18 2.4.1 Lm pht mc tiu l g: ............................................................................................ 18 2.4.2 Tc ng truyn dn ca t gi hi oi: ................................................................... 19 2.4.2.1 C ch truyn dn ca nhng thay i t gi hi oi vo lm pht ........................ 20
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a/ Knh trc tip: ............................................................................................................... 20 b/ Knh gin tip: ............................................................................................................... 21 2.4.2.2 Cc nhn t c cho l nh hng n tc ng truyn dn ca t gi hi oi 21 a/ Nhn t vi m: ............................................................................................................... 21 b/ Nhn t v m: .............................................................................................................. 22 2.5 L gii nh v l do la chn nghin cu mi quan h ca LMPT v Tc ng truyn dn ............................................................................................................................................ 22 III/ CC NGHIN CU TRC Y ........................................................................ 25 1.1 Trn th gii ................................................................................................................ 25 a/ Hai kt qu nghin cu ca l thuyt Taylor ................................................................... 26 b/ M hnh hiu chnh sai s ECM ..................................................................................... 26 c/ M hnh ca Ramakrishnan v Vamvakidis (2002): ....................................................... 26 d/ Mu hnh VAR .............................................................................................................. 27 2. Ti Vit Nam .................................................................................................................. 27 a/ M hnh a thc tr: ....................................................................................................... 27 b/ M hnh hi quy theo bin logarit: ................................................................................. 27 c/ M hnh t hi quy VAR nghin cu tc ng truyn dn ......................................... 28 IV. KT QU NGHIN CU ........................................................................................ 29 4.1 Cc kt qu nghin cu thc nghim: ........................................................................... 29 4.1.1 Tc ng truyn dn ca t gi ln gi c ni a ti cc nc mi ni p dng lm pht mc tiu: trc v sau khi p dng: .................................................................................... 29 4.1.2 So snh gia cc nc p dng v khng p dng lm pht mc tiu: ....................... 32 4.1.3 Phn tch phng sai: ................................................................................................ 37 4.2. Kt lun: ...................................................................................................................... 40 V. KIN CA NHM V HNG NGHIN CU TIP THEO ........................... 42 5.1 kin ca nhm .......................................................................................................... 42 5.2 Hng nghin cu tip theo ......................................................................................... 43 PH LC 1: PHNG PHP BNH PHNG NH NHT PH LC 2: TNH DNG PH LC 03: CC YU T VI M V V M TC NG N TC NG TRUYN DN CA T GI HI OI
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PH LC 04: KIM NH N V TRONG EVIEWS PH LC 05: HI QUY GI TO V NG LIN KT PH LC 06: D LIU CC NC C NGHIN CU PH LC 07: DANH SCH MT S BI NGHIN CU TRC Y
TI LIU THAM KHO
Tiu lun: Lm pht mc tiu
GVHD: PGS.TS Nguyn Th Ngc Trang
I. MC TIU NGHIN CU 1.1. Tn paper C chng lm pht mc tiu (inflation targeting) lm gim tc ng truyn dn ca t gi hi oi trong cc nn kinh t mi ni khng? 1 ca tc gi Dramane Coulibaly v Hubert Kempf cng b thng 10/2010. 1.2. Mc tiu nghin cu ca paper2 Khi u ca vic p dng lm pht mc tiu trong chnh sch tin t l New Zealand, sau mt s lng ln cc nh kinh t hc (nh Bernanke v Mishkin (1997), Svensson (1997), Bernake v cc cng tc vin (1999)) v mt s ngn hng trung ng khng nh li ch tim tng thu c t vic p dng chnh sch lm pht mc tiu l ng k. Mt vi cc khon li ch thu c kh chng minh (alleged gains) th thp hn v lm pht cng nh t l li sut t bin i hn, tng trng n nh v tng kh nng phn ng vi nhng bin ng bt thng (shocks) m khng mt tn nhim hay chi ph c ct gim cng vi nhng giai on gim pht3, Cc tc gi cho rng lm pht mc tiu c lin quan n s ci thin trong bc tranh kinh t chung. Chnh v th, khuynh hng p dng c ch lm pht mc tiu ngy cng ph bin hn khng ch cc nc cng nghip4 m cn cc nc mi ni5 trong chnh sch tin t ca h. Mt nghin cu ca Laurence Ball v Niamh Sheridan (2003)6 ch ra trong mt paper mang tn Does inflation targeting matter? vi cc bng chng thc nghim7 ca mnh ti cc nc p dng lm pht mc tiu (targerters) v khng p dng (non-targeters) hai ng ch ra 02 lun im tng phn vi lm pht mc tiu8: u tin, cc kha cnh ca lm pht mc tiu c l c xem xt cho mc ch chnh tr hn l do kinh t. Th hai, Hai ng lp lun rng vic thc hin lm pht mc tiu hnh nh l khng thch hp i vi cc nc cng nghip Lm pht mc tiu c th ci thin bc tranh kinh t trong tng lai. Mi trng kinh t c th tnh lng trong thi k lm pht mc tiu, v nhiu ngn hng trung ng khng kim tra mt cch kht khe. V c l nhng nh hoch nh chnh sch tng
Nguyn bn l: Does inflation targeting decrease exchange rate pass through in emerging countries? Trch paper: Inflation Targeting in Emergin Economies: What do the data say? Carlos Eduardo S. Goncalves v Joao M.Salles, (2005), page 2 v Does inflation targeting decrease exchange rate pass-through in emerging countries?, Dramane Coulibaly v Hubert Kempf (2010), page 3-4 3 Gim pht (Disinflation) l tnh trng mc gi chung ca nn kinh t gim xung lin tc, thng xut hin khi kinh t suy thoi hay nh n. Gim pht, do , tri ngc vi lm pht. 4 Mi nc cng nghip nh: Australia, Canada, Finland, New Zealand, Norway, Spain, Sweden, Switzerland and UK 5 Mi hai nc mi ni l: Brazil, Chile, Colombia, Czech republic, Ghana, Guatemala, Hungary, Indonesia, Israel, Korea, Mexico, Peru, Philipines, Poland, Romania, Slovakia, South Africa, Thailand and Turkey 6 Laurence Ball work in Johns Hopkins University and Niamh Sheridan work in international Monetary Fund 7 Cc nc m Laurence Ball v Niamh Sheridan ly mu l Australia, Canada, New Zealand, Sweden, United Kingdom, Finland, Spain, United States, Japan, Denmark, Austria, Belgium, France, Germany, Ireland, Italy, Netherlands, Portugal, Norway, Switzerland. 8 Trch Does inflation targeting matter? page 29 - 30
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lai s i din vi nhng bin ng mc cung trong giai on 1970 (1970s-size supply shocks) hay nhng p lc chnh tr mnh m cho nhng chnh sch lm pht. Vi quan im ny, hai ng thy rng nhng nc p dng lm pht mc tiu x l nhng th thch ny tt hn nhng nh hoch nh chnh sch ngi m C lm i (just do it) Hay ngi ta da trn vic tnh ton gi tr in hnh bng phng php c lng bnh phng nh nht (OLS: Ordinary Least Squares9) v cng vi vic quan st ti cc nc p dng lm pht mc tiu so snh vi (vis--vis) cc nc khng p dng lm pht mc tiu, kt qu nghin cu ca h ch ra rng vic gim mc (level) v bin ng (volatility) ca lm pht cc nc p dng lm pht mc tiu ch n gin l phn nh s hi quy v quanh gi tr trung bnh (regression toward the mean10). Chng hn, ti cc nc p dng lm pht mc tiu, lm pht s ri nhanh hn ti cc nc c mc lm pht ban u cao v th hin mt xu hng r rng s dch chuyn v gi tr trung bnh ca n. Nhng nghin cu ca h tp trung hon ton vo cc nc cng nghip v do khng th gii quyt vn ny i vi cc nc mi ni p dng lm pht mc tiu. GonCalves v Salles (2008) m rng phn tch ca Ball v Sheridan (2005) cho mt tp hp ca 36 nn kinh t mi ni ln v thy rng, i vi cc nuc kt qu l khc nhau. C th, cc nc mi ni thng qua chnh sch lm pht mc tiu thc hin th gim ln hn i vi lm pht v bin ng tng trng, ngay c sau khi kim sot i vi vic tr li gi tr trung bnh ca n Ngy nay, s tht l cc tc gi trn ch mi tp trung cc nc c nn kinh t pht trin (cc nc OCDE), nhng nghin cu ca h c l b nhiu (plagued) vi mt loi la chn lch lc: nhng gi tr thu c t vic p dng nn tng lm pht mc tiu trong cc nc pht trin c th gn nh khng n gin vy, bi nhng nc ny khng chu ng nhng vn lm pht nghim trng hay nhng ri lon kinh t v m (macroeconomic disturbances) khc. V vy, v mt nguyn tc, khi lm pht mc tiu khng a ra nhng kt qu tt p c bo trc trong mt th gii pht trin ny, n c th lm tng kt qu v m trong s cc nc ngho hn, ni gp phi nhng bin ng mnh hn v i din vi nhng kh khn ln hn trong vic xy dng chnh sch kinh t. Do , chng ta khng th p dng rp khun cch iu hnh chnh sch lm pht mc tiu ca cc nc pht trin ti cc nc mi ni c. Bi nghin cu ca Dramane Coulibaly v Hubert Kempf (paper ang nghin cu) tp trung vo phn tch nh hng ca lm pht mc tiu trn tc ng truyn dn ca t gi hi oi trong nhng nn kinh t mi ni (emerging countries).
Phng php c lng bnh phng nh nht - OLS (Ordinary Least Squares hay Linear least squares) l mt phng php c a ra bi nh ton hc ngi c Carl Friedrich Gaus, y l phng php rt hay dng trong phn tch hi quy nht l lnh vc kinh t lng, n thng k hiu l OLS (Ordinary Least Squares). T tng ca phng php ny l cc tiu tng bnh phng cc phn d. 10 Regression toward the mean: l hin tng m nu c mt bin vt xa ch s ban u ca n, n s c khuynh hng tin gn hn ti gi tr trung bnh trong s o u tin.
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Da trn l thuyt ca Taylor (2000) cho rng tc ng truyn dn ca t gi hi oi th yu hn (lower) trong mi trng lm pht thp. Hay trong mi trng lm pht thp, cc cng ty k vng mt s thay i ca lm pht th t dai dng hn, v do s dn n (pass on) vic loi tr (less of) t gi hi oi bao gm vic tng gi nhp khu nh hng n gi bn ca n. L thuyt ny c ng h bi bng chng thc nghim da trn ch s gi tiu dng (CPI: Customer price index), k c ti cc nc cng nghip v cc nc mi ni. Tm li. Goncalves v Salles (2008) ch ra rng lm pht mc tiu gip gim lm pht ti cc nc mi ni. V tng v mi quan h gia lm pht mc tiu v tc ng truyn dn ca t gi hi oi c khm ph bi Mishkin v Schmitt Hebbel (2007), khi hai ng nghin cu thc nghim s lin kt gia lm pht mc tiu v mt vi o lng ca yu t kinh t bao gm tc ng truyn dn ca t gi hi oi ln ch s gi tiu dng11. iu ny lm hai tc gi l Dramane Coulibaly v Hubert Kempf quan tm n vn Vy th tc ng truyn dn ca t gi hi i c lin quan n lm pht mc tiu khng? hay c chng vic p dng lm pht mc tiu dn ti lm gim tc ng truyn dn ca t gi hi oi? Vi vic b sung thm cc mu nghin cu so vi nghin cu ca Mishkin v Schmitt Hebbel l cc nc mi ni khng p dng lm pht mc tiu. Bin mi ca hai tc gi Cng s dng mt tp con ca hai by nc mi ni (15 nc c p dng lm pht mc tiu v 12 nc khng). Cc tc gi cng s dng m hnh t hi quy VAR cho mt ch s gi tiu dng (CPI: customer prices) v cho hai loi gi khc nhau gi nhp khu (IMP: import prices) v gi sn xut (PPI: producer prices) II/ PHNG PHP NGHIN CU 2.1. Phng php nghin cu Cc tc gi s dng phng php nghin cu nh lng tm cch gii quyt vn c cp c chng vic p dng lm pht mc tiu dn ti gim tc ng truyn dn ca t gi hi oi? bng cch s dng mt b d liu ca 27 nn kinh t mi ni (15 nc c p dng lm pht mc tiu v 12 nc khng p dng lm pht mc tiu mc tiu). M hnh kinh t lng p dng l m hnh vcto t hi quy VAR, bng cch a vo ch s gi tiu dng (CPI) nh l ch s gi duy nht, sau tc gi tin hnh phn tch m hnh VAR tip theo bng cch a thm hai ch s gi khc: gi nhp khu (IMP: import prices) v gi c sn xut (PPI: producer prices).
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D liu Mishkin v Schmitt Hebbel s dng l 21 nc c pht trin v mi ni p dng lm pht mc tiu, vi 15 nc cng nghip khng p dng lm pht mc tiu vi phng php VAR (khng c mu nghin cu vi cc nc mi ni v cc nc ny cng khng p dng lm pht mc tiu). kim tra s chnh lch, h p dng cc tip cn trc v sau bng cch so snh cc cng thc o lng phn ng su (impulse response) trong cc mu hnh nh nc khc nhau, v ph thuc vo nc c p dng lm pht mc tiu hay khng. Kt qu l, nh hng truyn dn n gi tiu dng tin gn n mc 0 (zero) hn ti cc nc cng nghip c p dng lm pht mc tiu v c trong cc nc khng p dng. Cn trong cc nc mi ni th tht bi sau khi cc nc ny t c mt mc tiu n nh, nhng li vn duy tr sai lch so vi mc zero.
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T m hnh ny, tc gi tnh ton gi tr ca m hnh hm s y (impulse response functions) o lng bin ng ca cc bin. Cui cng l phng php phn tch phng sai (variance decomposition) c suy ra t m hnh t hi quy VAR o lng con s c th nh hng ca cc bin nghin cu Sau y chng ta tm hiu m hnh kinh t lng p dng nghin cu v nn l thuyt cn thit hiu r hn lm pht mc tiu v tc ng truyn dn ca t gi hi oi. 2.2 M hnh ton hc s dng cho nghin cu Nh chng ta bit, trong nghin cu nh lng, tn ti 03 loi s liu c bn l s liu theo thi gian, s liu cho v s liu hn hp. i vi cc vn kinh t, loi s liu chng ta thng xuyn tip cn nht c l l s liu theo thi gian, hay cn gi l cc chui thi gian, chng hn GDP, VN-index, hay gi vng, Tuy nhin, chui thi gian cng gy ra khng t kh khn cho cc nh nghin cu, chnh v th m hng lot cc nghin cu phn tch cc d liu ny, vi trit l hy d liu t ni. Trong ngi ta thng s dng 04 phng php nghin cu l12: M hnh hi quy n phng trnh, M hnh hi quy phng trnh ng thi, M hnh trung bnh trt kt hp t hi quy (ARIMA: Autoregressive integrated moving average), thng c gi l phng php lun Box-Jenkins13 M hnh t hi quy vct (VAR) Nh vy, c rt nhiu phng php phn tch chui d liu thi gian lin quan n lm pht, phn ny, nhm ch a ra m hnh t hi quy vector v cc suy dn t n lm d hiu hn paper nghin cu v tc ng truyn dn14 ca t gi hi oi (exchange rate passthrough) ln lm pht mc tiu. M hnh t hi quy vector (VAR: Vector Autoregression Model) v suy dn t n a/ M hnh t hi quy vector v hn ch ca n. C th ni y l mt trong nhng m hnh ph bin nht trong nghin cu nh lng cc chnh sch tin t. Bi l mi quan h gia cc bin s kinh t khng n thun ch theo mt chiu, bin c lp (bin gii thch) nh hng ln bin ph thuc m trong nhiu trng hp n cn c nh hng ngc li. Do m ta phi xt nh hng qua li gia cc bin ny cng mt lc. M hnh VAR gip gii quyt c vn ny, l m hnh kh linh ng v d dng s dng trong phn tch vi chui thi gian a bin (multivariate). N l s m rng thm m hnh t hi quy n bin (univariate). M hnh VAR c bit rt hu ch cho vic m t nhng bin ng ca chui thi gian kinh t v d bo.
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Ti liu dch Fulbright Kinh t lng cn bn ca Damodar N Gujarati xut bn ln 3, nh xut bn McGraw-Hill International, chng 22 page 1 13 G.P.E Box & G.M.Jenkins, Time series analysis: Forecasting and Control (Phn tch chui thi gian: D bo v kim sot. 14 Mt s ti liu Vit Nam cn dch exchange rate pass-through l mc chuyn t gi hi oi
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M hnh Var v cu trc gm nhiu phng trnh (m hnh h phng trnh) v tr p (lag)15 ca cc bin s. Var l m hnh ng ca mt s bin thi gian. Cc din t m hnh VAR trong paper: Dng rt gn:
Trong , l l vect ca cc bin dng tham gia m hnh. Chng hn GDP, cung tin M2, CPI, PPI, IMP (L) l ma trn a thc trong ton t tr (the lag operator k hiu l p tr )
ui l vect ca nhng tc ng c th quc gia l vctor sai s c th Mt vn ang tranh ci trong c lng m hnh VAR ny l s xut hin ca nh hng c nh (fixed effects). Khi nhng yu t tc ng c nh ny tng quan vi cc bin hi quy, nguyn nhn t cc gi tr tr ca bin ph thuc, nhm tc gi s dng k thut trung bnh sai phn k tng lai (forward mean differencing) (quy trnh Helmert), sau l Love v Zicchino (2006). Trong k thut ny, loi b nh hng c nh ra khi m hnh, tt c cc bin trong m hnh c chuyn sang dng lch t trung bnh k tng lai. Vcto Yit lc ny thnh ma trn chuyn v t dng sang dng ct k hiu l v cng vy s thnh . Vi Ti l thi k k cui cng (last period) ca d liu sn c trong chui d liu, ta bin gi tr y trung bnh thnh Khi ny cng thc mi l: v
Vi
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Tnh cht tr trong cc m hnh hi quy nh lng trong kinh t c hiu nh sau: Khi chng ta s dng mt m hnh hi quy tng quan no th thng gi nh rng cc bin c lp tc ng tc th ln bin phu thuc v bin ph thuc ch chu s tc ng ca bin c lp. Tuy nhin, cc bin s trong kinh t thng khng ng, tc ng ca cc bin c th tc thi, c th khng. Nguyn nhn c th do yu t tm l, sc ca nn kinh t, nh ch,. Chnh v th m hnh hi quy thng thng dng (vi t l k th t) thng khng chnh xc, nn m hnh hi quy VAR c thm k hiu tr p VAR(p). Chng ta phi xc nh p tr ny.
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S chuyn i ny s khng tnh c d liu ca nm cui cng, v khng c gi tr tng lai cho vic xy dng trung bnh k tng lai. Kt qu ca tt c bin i ny l:
Vi cc ma trn chuyn v
Chuyn i ny l mt lch trc giao (orthologonal), trong mi quan st c din t nh l mt lch t nhng quan st trung bnh trong tng lai. Mi quan st ny c nh lng (weighted) c th chun ha phng sai. Nu cc sai s ban u khng t tng quan v c tnh ho bi mt gi tr phng sai c th no , th cc sai s c chuyn i nn biu th tnh cht tng t. V vy, dng bin i ny lu gi hin tng phng sai khng i (homoscedasticity) v khng gy ra tng quan chui (Arelano v Bover,1995). K thut ny cho php s dng cc gi tr tr p ca bin hi quy nh l cc cng c v c tnh cc h s bng phng php tng qut ha thi im (GMM: the generalized method of moment) Mt s cch din t m hnh VAR16 khc nh sau:
Trong , Yt l vecto ma trn ca cc bin, Nu trong paper ny th (m hnh 5 bin) hay (m hnh 7 bin) : Ma trn h s chn - intercept : sai s nhiu (error disturbance)
- Bi l ma trn hip phng sai ca cc bin tr, loi 5x5 hoc 7x7 nh bi nghin cu Theo Gio trnh Econometric Analysis, William H . Greene, 2000, page 586 din gii VAR l
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Ti liu Exchange rate pass-through and its applications for inflation in Vietnam, Vo Van Minh, 2009, page 25 v paper Exchange rate pass-through: Evidence based on vector autoregression with sign restrictions, An, Lian (2006) page 16
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Trong l vector nhiu khng t tng quan (non-autocorreclated disturbances) vi gi tr trung bnh E( ) = 0 v ma trn hip phng sai xy ra cng lc iu kin tn ti m hnh VAR Cc bin theo thi gian phi c tnh dng17 (stationary) tc l c cc gi tr trung bnh, phng sai v hip phng sai ti cng mt tr ca n l khng i theo thi gian (Xem phu lc 2). Bi v nu bin s khng dng s gy ra hin tng hi quy gi to (Xem ph lc 5), lm phng php OLS trong phn tch hi quy khng p dng c
u im ca VAR Hn ch ca m hnh ARIMA l ch tin hnh phn tch trn mt chui thi gian. Khi chng ta cn phn tch nhiu chui thi gian khc nhau v cn phi xem xt mi quan h gia chng th m hnh VAR tr thnh mt la chn ph hp. M hnh VAR gip xem xt cc chui thi gian khc nhau. Hn na, m hnh VAR cn c u im l khng cn phi xc nh bin no l bin ni sinh, bin no l bin ngoi sinh hay ta c th s dng phng php OLS cho tng phng trnh ring r. Bng cch cho php cc tng tc ni sinh gia cc bin trong h thng. Th t thng thng khi s dng m hnh VAR l Xt tnh dng ca chui d liu, nu d liu cha dng th s dng phng php sai phn bin i v chui dng, u tin l sai phn bc 1, nu bc 1 cha c th bc hai, bc ba, La chn khong tr ph hp, kt hp vi kim nh diagnostic xc nh, thng thng tr l 1,2,3. tr = 0 l v l v o Gi tr k trc thng c nh hng nht nh n gi tr k sau o K vng tng lai thng da trn gi tr hin ti hoc qu kh o Thng tr l 2 v tr cng nh cng tt v s lng quan st l c hn, nu tng tr ln th i hi tham s d liu a vo m hnh cng ln. Gi
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Khi nim tnh dng c s dng rt nhiu trong m hnh ARIMA, Mt qu trnh ngu nhin Yt c coi l dng nu k vng, phng sai v hip phng sai ti cng mt tr ca n khng i theo thi gian. Vi d liu l cc chui khng dng, cc gi thit ny b vi phm, cc kim nh t, F mt hiu lc, c lng v d bo khng hiu qu hay ni cch khc phng php OLS khng p dng cho cc chui khng dng. Xem thm ph lc 2 r hn.
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tr Chi bnh phng trong kim nh diagnostic s gim khi s tr cng tng ln qu mc ph hp. Xt mc ph hp ca m hnh chy ra (bng vic kim nh tnh dng ca phn d. Nu phn d ca m hnh dng th m hnh l ph hp vi chui thi gian v ngc li). - So snh vi cc m hnh ph hp v la chn m hnh ph hp nht Hn ch ca VAR Bn cnh nhng hn ch trn, phng php vector VAR cn c cc hn ch sau Kh khn trong vic xc nh tr v s mu quan st cn a vo m hnh. Ngi ta tnh ra rng vi k bin s (variance) v p tr (lag operators) th cn k2p h s gc v k h s chn. Gi d vi m hnh 3 bin v tr l 8 th s h s gc l 32 * 8 + 3 = 75 quan st. Nu k v p cng ln th tham s i hi cng cao Yu cu ca m hnh VAR m bin th m bin cng phi dng. Nu khng dng th ta phi dng sai phn tnh. Nhng nu mt chui gm c cc bin dng v bin khng dng th vic ly sai phn l kh khn. V kt qu t vic bin i c th lm sai lch gi tr thc phn nh ca s liu Nu c mt vi tr trong phng trnh, khng phi lc no cng c th d dng gii thch tng h s, c bit l nu cc du trong h s thay i k tip nhau. V l do ny, ngi ta mi xem xt hm phn ng y (IRFs: impulse response functions) c suy ra t m hnh t hi quy vector (VAR) ny. IRF gip pht hin c phn ng ca bin ph thuc trong m hnh VAR i vi cc c sc ca cc s hng sai s. y cng chnh l trng tm ca phn tch theo phng php m hnh t hi quy VAR. Hin nhiu nh ton hc ang nghi ng kh nng thc s ca n18. Hm s y cho chng ta bit c c hay khng s nh hng ca c sc n cc bin cn li. Nhng nh th l cha , v c th tc ng truyn dn (hoc mc chuyn) ca mt c sc t mt bin n bin cn li l rt nh trong khi bin khc nh hng li ln hn. Nn ngi ta phi s dng phng php phn tch phng sai (variance decomposition) xc nh xem mc nh hng ca mt bin l bao nhiu.
18
D.E.Runkle, Vector Autoregression and Reality, journal of Business and Economic Statistics, page 437-454, (1996)
Nhm 6 TCDN m 1
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b/ M hnh hm s y v phn tch phng sai T nhng hn ch ny ngi ta gii quyt n bng nhiu cch khc nhau v dn n ba ng dng c bn trong m hnh VAR ng dng trong d bo Suy dn ra m hnh hm s y (Impulse Response Functions IRFs) Suy dn ra phn tch phng sai (variance decomposition)
y nhm trnh by v b i m hnh hm s y v phn tch phng sai nh th no trong phng php phn tch m hnh t hi quy M hnh hm s y (IRFs: Impulse response funtions) Cch dn gii th nht: Vi chui thi gian l n k, bin yt vit thnh dng ma trn chuyn v l m hnh VAR vi tr l p VAR(p) c vit di dng:
yt A1 yt 1 A2 yt
2
yt ( y1t , y2t , ..., ynt )' ,
mt
... Ap yt
ut
u t (u1t , u2t ,...,unt )'
(0) l mt sai s trung bnh l zero
Vi Ai (i = 1,2,,n) l ma trn h s (nxn) v theo phng php i.i.d 19 c tnh ngu nhin.
By gi, gi s chng ta c hai bin (k =2) v tr l 1 (p=1) th VAR (1) lc ny l

yt b10 b12 z t c11 yt 1 c12 z t 1 zt b20 b21 yt c21 yt 1 c22 zt 1
zt yt
(1) (2)
vi
it
~ i.i.d (0,
) v cov(
) 0
T (2) v (3) ta bin i n v dng ma trn nh sau:

1 b21 b12 yt 1 zt b10 b20 c11 c21 c12 yt 1 c22 zt 1
yt zt
(3)
n gin hn, ta vit gn li l

BX t
0 1
Xt 1
(4) (y chnh l M hnh VAR cu trc (SVAR: Structural VAR) hay m
hnh VAR nguyn thy (the Primitive System) chun ho pha bn tri ca phng trnh (4), ta nhn cho ma trn nghch o ca B l B1 , lc ny, phng trnh (4) tr thnh B 1BX t B 1 0 B 1 X1 t 1 B 1 t
19
i.i.d vit tt ca Independent and identically distributed random variables
Nhm 6 TCDN m 1
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Vit gn li l
X t A0 A1 X t 1 et
(5). y chnh l ma trn dng chun ca VAR (UVAR:
unstructured VAR) Hay

y zt
t
a 10 a20
a 11 a21
a12 y t 1 a22 zt 1
e 1t e2t
(6), vit tch ra thnh h 2 phng trnh nh sau
y1,t a10 a11 y1,t 1 a12 y2,t 1 e1,t z1,t a20 a21 z1,t
1
v;
a22 z 2,t 1 e2,t e 1t trong phng trnh (6) v dng ma trn e2t
B1
Bc tip theo l bin gi tr
, ta c
1 b21 b12 1
et B
vi B-1 l ma trn o ca B, tc
1 a B B
1 ( B*)T = B
1 (1 b21b12 )
(vi
B * l phn ph (cofactor) ca B v (B*)T l ma trn chuyn v ca B), suy ra: e1t e2t 1 (1 b21b12 ) 1 b21 b12 1
yt
(7) hay
e
1t
b
yt 12 zt
b21
yt
zt
zt
(vi
1 b21b12 )
e2t
Suy lun ra hm s y, ta bt u t phng trnh (5), bin i thnh:

(5) X t A0 A1 X
t 1
et
Xt
A0 I A1L
et (vi Xt-1 = L Xt, L l ma trn h s) I A1 L
u tin chng ta phn tch v phi (RHS: Right hand Side) ca phng trnh
a
A0 (I A )11 A I A1
(I A1 ) A0 I A1
1 a11 a12 A 0 a 21 1 a 22 1 a11 a12 a 21 1 a 22
1 a22 a12
a 21 a10 1 a 22 a20
(1 a11 )(1 a 22 ) a 21 a12
1 (1 a 22 )a10 a 21 a20 y a12 a10 (1 a22 )a 20
z
I A1 L
Tnh dng yu cu l gi tr gc ca
phi nm ngoi (outside) ca vng n v. Vi
gi nh l c iu ny. Chng ta vit tip thnh phn s 2 ca phng trnh (5) ra thnh
et I A1 L Ae
i 1 t i
i0
i0
a11 a12 a 21 a22
e1,t i 2,t ie
Nhm 6 TCDN m 1
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Lc ny, phng trnh (5) tr thnh

yt zt y z a11
i0
a21
A
i
a12 e1,t i a22 e2,t i
(8)
Do c sai s phc hp trong m hnh cch tn m hnh cu trc nn ngi ta phi chuyn
1t
e e2t
v dng
yt zt
. M phng trnh (7) ta c
1t
e e2t
1 1 (1 b21b12 ) b21
b 12 1
yt zt
(vi 1 b21b12 ), thay vo (8) cho ta phng trnh hm s y l:

y zt X
t
y z
i0
1 Ai 1 b12 b21 b21

i
b 12 1
y ,t i z ,t i
y z
i0
(i ) 11 (i ) 21
(i ) 12 (i ) 22
i y ,t i z ,t i
i0 i t i
(9)
T phng trnh ny ta ly sai phn ca tng bin suy ra c tc ng y ca bin y ln z v ngc li, nh sau: Vi k hin ti yt v zt :
dy t d z ,t
12
(0) ,
dz t d z ,t dyt 1 d z ,t
22
(0) dz t 1 d z ,t
Vi k tng lai (xt 1 k) yt 1 v z t 1 :
12
(1)
22
(1)
Cch dn gii th hai c th tham kho thm trong sch Econometrics Analysis, ca William H.Greence page 586 n page 595, sau qu trnh tnh ton th tc gi dn lun ra m hnh hm s y l:
Phn tch phng sai Sau y nhm xin trnh by v tng phn tch phng sai dn nhp t m hnh t hi quy VAR nh sau tng ca phn tch phng sai l tnh xem mt thay i/c sc ca mt bin nh hng bao nhiu (c th din gii di dng % hoc s thc) ln cc bin khc. Cch din gii 1: Quay li cng thc s (9) trn, ta t xt i l v tri (LHS) ca phng trnh (9), hay:
Nhm 6 TCDN m 1
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xt i
yt
t
y 1 z
i0
Ai
12 21
1
21
b12 1
y ,t i , zt i
y
21
11 (i )
12 (i ) 22
y ,t i z ,t i
z X
i0 i t i
b b
b
i
i0
hay xt i X
i0
t i i
(10)
By gi chng ta nhn rng gi tr i (t 0 n ) ln. + Vi i = 1 th

xt 1 X Et xt 1 X
0 t1 1 t 2 t1
...
1 t
2 t1
...
0 t1
Suy ra, gi tr d bo trong k 1 l : xt 1 Ext 1 + Tng t vi i = 2 th: xt 2 Ext 2 + Vi i = 3 th: xt 3 Ext 3

0 t3 1 t2 0 t2 1 t1
2 t1
+ Vi i = n k th: xt n Ext n
0 tn
1 tn1
2 tn 2
...
n 1 n 1 t1 i0 t n i
By gi, xt y, nhn t u tin trong ma trn x. Gi tr d bo ca n l

yt n Eyt n ( 11,0
y ,t n 11,1 y ,t n 1
...
11,n 1 y ,t 1
) (
21,0 z ,t n
21,1 z ,t n 1
...
21,n 1 z ,t 1
Lc ny, gi tr bin s ca d bo n-step-ahead l:

2 y ,n y
11,0
11,1
...2
11,n 1
21,0
21,1
...
21,n 1
proportion of var iance due to own shock Decreases over time
proportion of var iance due to a z shock Grows over time
Cch din gii 220: Vi m hnh t hi quy VAR(p), p tr ta c , vit gn l Vi
20
Ngun http://en.wikipedia.org/wiki/Variance_decomposition
Nhm 6 TCDN m 1
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, v
Trong , yt, v v u l ma trn dng ct c p gi tr. Ma trn A l k dng v p ct (kxp) Tnh ton sai s trung bnh21 ca h-step d bo ca bin j,
Trong ,
l ct th j ca ma trn n v Ik v j j m ch nhn t ca ma trn. (vi (vi , l ma trn hip phng sai ca sai s )
l ma trn tam gic yu trong phn tch ma trn tam gic ca Cholesky).
Gi tr ca bin s d bo ca nhn t j c tnh l
Trn y l nhng tm hiu s nt v hai m hnh b i ny vi hi vng tm hiu r nt hn mt cht v b i lun i km trong phn tch m hnh hi quy. Tuy nhin, nu c nhiu thi gian hn v c h tr thm t nhng c nhn c chuyn mn ton kinh t, nhm c th hiu v din t tt hn hai m hnh ny. May thay, ngy nay th vi khoa hc hin i, vic tnh ton tr nn n gin hn thng qua phn mm Eviews, chng ta c th tham kho http://www.eviews.com/ tm hiu thm v cch p dng n trong eviews Tam gic ma trn Cholesky Th t cc bin trong m hnh t hi quy VAR vit theo ma trn Cholesky22 c xut bi Bernanke v Mihov (1998) , theo bin phi chnh sch (sn lng) c t trc cc bin. Tip n l cc bin lin quan n chnh sch (nh cung tin, t gi hi oi). Vi m hnh ca hai tc gi nghin cu iu ny l ph hp theo th t ca hai phng trnh
21 22
MSE: the mean squared error Ma trn Cholesky l ma trn c bit ca ma trn ng cho. Ma trn ba ng cho c ngoi tr cc phn t trn ca 3 ng cho chnh, cc phn t cn li bng 0, tt nhin ta c th tch ma trn A = L.U vi A l ma trn 3 ng cho, L l ma trn tam gic di v U l ma trn tam gic trn. Ma trn Cholesky: A = L.L (vi L l ma trn chuyn v ca ma trn L) Nhm 6 TCDN m 1
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(m hnh 5 bin) v (m hnh 7 bin) Th nht, sn lng, gi du m l cc bin c lp khng b nh hng bi chnh sch ca quc gia, hay cc c sc xy ra trong ni b cc quc gia. Th hai, do sn lng quc gia thay i nn n nh hng n cung tin t, cung tin thay i dn n t gi hi oi thay i, lm cho gi c ni a ca hng ha thay i, tc gi tr ng tin dng mua mt loi hng ha cng thay i. Vi mc ch ca ma trn cholesky l bin i gi tr phn d trong m hnh VAR dng rt gn (t) v cc bin nhiu cu trc (et) trong m hnh VAR cu trc trn. Ta din t ma trn Cholesky theo tng phng trnh nh sau + M hnh 5 bin:
+ M hnh 7 bin:
c/ Phng php bnh phng nh nht (OLS) tng ca phng php bnh phng ti thiu l tm 1 v 2 sao cho tng bnh phng phn d c gi tr nh nht. T hm hi quy Yi = 1 + 2Xi + ei
e i Yi Yi Yi 1 2 X i
, suy ra:
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Vy
e i2
Yi
X 2 i
(3.6)
i1
i1
iu kin (3.6) t cc tr l:
n i n n
(1)
e2 i1 2 Y i1
1 n i 2 n
X 2 i
2 ei 0
i1
(3.7)
(2)
i1
e
2
Yi
2 Xi X i
2
i1
ei X i 0
(3.8)
i1
T (3.7) v (3.8) chng ta rt ra

Yi n 1 2 Xi YiXi
1
(3.9)
Xi
2
X2
(3.10)
Cc phng trnh (3.9) v (3.10) c gi l cc phng trnh chun. Gii h phng trnh chun ta c
1
Y 2 X
(3.11)
Thay (3.9) vo (3.8) v bin i i s chng ta c

n
Yi Y X i X
i1 2 n
(3.12)
Xi X
i1 2
x i Xi X
n
v y i Yi Y
ta nhn c
yix i
i1 2 n
x2
i1
d/ Phng php Census X-12 23 Chui d liu kinh t hay ti chnh thng ph thuc cc bin s theo ma v. Nhng bin i theo ma lm kh khn hn khi phn tch nhng thay i v d liu cho tc ng tng hay gim trong mt k nht nh, hn na v cc bin pht sinh mt cch u n. S dng d liu th (raw data) trong mt vi trng hp c th sai lch. Trong phn tch kinh t, nh
23
Tham kho Explanatory Notes Monthly Seasonal Adjustment of Statistical Time Series v t chc United States Census Bureau v Seasonal Adjustment using the x12 procedure ca Tammy Jackon v Michael Leonard, SAS Institute. Nhm 6 TCDN m 1 Trang 15
gi ban u v cc iu kin kinh t, c bit l vic nhn ra cc im vng quay kinh t, ch c th nu phn tch ny da trn cc thng cch y khng lu ca chui thi gian. Vic iu chnh gi theo ma mt qu trnh tnh ton v hn ch nh hng ma v trong chui thi gian. Do , d liu c iu chnh theo ma lm cho phn tch d dng hn trong ngn hn v xc nh nhng thay i trong khuynh hng. D liu c iu chnh th tin ch cho cc t chc ti chnh, chnh ph, nh phn tch thng k, nh ton kinh t v nhng nh kinh t nghin cu trong kinh t v m, nh d bo v nhng nghin cu sinh. Mu hnh Census X12 hay Census-X12-ARIMA24 da trn nguyn tc iu chnh chui gi tr theo ma c a ra bi mt t chc ca chnh ph M - United States Census Bureau v Statistic Canada. Chng trnh ny cn c lp trnh trong phn mm eview nhm ti thiu ha nhng tc ng bp mo n nhng nhn t c nh gi theo ma. M hnh ny c lp trnh nhiu trong cc phn mm thng k, l s kt hp gia nhng kh nng ca chng trnh X-11 (do Shiskin, Young v Musgrage lp 1967), X11-Arima/88 (do Dagum 1988 lp) v gii thiu mt vi nhn t mi (do Findley v cng s, 1988 lp). V vy, Census X12 hay X12 Arima l chng trnh cha ng cc phng php c pht trin bi U.S Census Bureau v Statistic Canada. Vi 04 mu hnh chnh c s dng l hi quy ARIMA (regARIMA), phng php d on (model diagnostics), iu chnh theo ma dng phng php X-11 (X11 methodology) v phng php d on hu iu chnh (postadjustment diagnostics). Phng php iu chnh theo ma ca chui d liu da trn gi nh rng bin ng theo mua c th c o lng di dng chui ban u (O t, t = 1,.,n) v c phn chia t chu k thay i (trend cycle), ngy giao dch (trading-day), v bin ng bt thng (irregular fluctuations). Nhn t theo ma ca chui thi gian, St, c nh ngha nh phng sai vng nm (intrayear) m c phn chia lin tc hay trong mt dng suy lun ra (evolving fashion) t nm ny sang nm khc. Nhn t chu k thay i (trend cycle), Ct, o lng phng sai (variation) nh khuynh hng di (long-term trend), vng i doanh nghip (business cycles), hay nhng nhn t vng i di hn khc Nhn t ngy giao dch (trading-day), Dt, l phng sai c m ch phn tch theo lch dng
24
ARIMA: vit tt ca autoregressive integrated moving average:
Nhm 6 TCDN m 1
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Nhn t bt thng (irregular component), It, l phng sai cn li. hay
C rt nhiu mu hnh Ot khc nhau ty chui thi gian nh hay hay
e/ Phng php kim nh s dng l Augmented Dickey-Fuller (ADF) Nhm xin ly 01 v d dn gii cch la chn theo ADF
Vi c l hng s; t: l xu th theo thi gian, bc tr ti u c xc nh theo tiu chun thng tin Akaike Infor (AIC). Gi thuyt null: c mt nghim n v. Nu gi tr kim nh ln hn gi tr ti hn 5%, t chi gi thuyt null. ng ngha vi vic mc thng k 5%: khng c nghim n v hay chui l dng. V ngc li gi tr kim nh nh hn 5% th chp nhn gi thuyt null ngha l cc chui c mt nghim n v hay l chui khng dng . v d ny t-statistic < gi tr ti hn 5% nn chp nhn gi thuyt null. Kt lun chui c mt nghim n v hay chui khng dng Tm li l, vi gi thit H0: l chui dng H1: l chui khng dng iu kin bc b H0 l gi tr tau (tau statistic) phi ln hn gi tr ti hn tng ng vi mc ngha 1%, 5% hoc 10% th chui l dng. Nu chui khng dng ta phi x l bng phng php sai phn hoc phng php bnh phng nh nht
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2.3 Di d liu M hnh 05 bin (05 variance VAR) 25
Trong oil: biu th di dng logarit t nhin ca gi du th gi gap: l chnh lch sn lng quc gia, m: biu th di dng log ca cung tin ner: biu th gi tr t gi hi oi danh ngha cpi: ch s gi tiu dng i din cho ton t sai phn bc 1
M hnh 07 bin (07 variance VAR) Cng vi cng thc trn, ngi ta a thm hai bin na l ch s gi sn xut (PPI: product price index) v ch s gi nhp khu (IMP: import price index). M hnh lc ny thnh:
M hnh ny gip chng ta kim tra tc ng truyn dn ca t gi hi oi theo knh gi. Hay ni cch khc, gip chng ta xc nh c lm pht mc tiu c th c nh hng m ln tc ng truyn dn vo gi tiu dng bng tc ng yu hn ln gi nh sn xut hay gi nhp khu khng? 2.4 Cc khi nim cn lu 2.4.1 Lm pht mc tiu l g: u tin, lm pht l g? Nhiu nh kinh t i tm mt nh ngha ng cho thut ng lm pht (inflation), nhng ni chung cha c mt s thng nht hon ton. Quan im c in cho rng lm pht xy ra khi s tin lu hnh vt qu d tr vng lm m bo ca ngn hng pht hnh. Quan im khc cho rng lm pht l s mt cn i gia tin v hng trong nn kinh t. Li c quan im cho rng lm pht l s tng gi ca cc loi hng ha (t liu tiu dng, t liu sn xut v hng ha sc lao ng). Lm pht xy ra khi mc chung ca gi c v chi ph tng.
25
M hnh ny tc gi da trn m hnh ca Ito v Sato (2007) khi cc ng dng n so snh tc ng truyn dn ca t gi hi oi ti cc nc ng v Chu M La Tinh, sau Ito v Sato (2008) ng dng k thut phn tch VAR cho tc ng truyn dn ca t gi ti cc nc ng Nam
Nhm 6 TCDN m 1
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Nhng mt khi nim c nhiu ngi s dng l lm pht l hin tng tin trong lu thng vt qu nhu cu cn thit lm cho chng b mt gi, gi c ca hu ht cc li hng ha tng ln ng lot Vy th lm pht mc tiu l g? Lm pht mc tiu l mt c ch iu hnh chnh sch tin t da trn nn tng s dng vic d bo lm pht lm ch s mc tiu trung gian, trong cc ngn hng trung ng tnh ton, d bo v cng b mt mc lm pht mc tiu (nh hng bng mt ch s hoc mt khong bin ) cho nm k hoch. Sau c gng lo li lm pht thc v mc lm pht mc tiu thng qua vic s dng cng c li sut hay nhng cng c tin t khc. Thng thng ngn hng trung ng s dng cng c li sut iu chnh lm pht v li sut v lm pht thng c mi quan h nghch bin. Mt mc tng hay gim v li sut s iu chnh lm pht mc tiu. Cn theo Frederic S. Mishkin 26 cho rng lm pht mc tiu l mt chin lc ca chnh sch tin t bao gm 05 yu t chnh l: (i) Cng b ra cng chng mc tiu lm pht nh lng trong trung hn; (ii) Cam kt th ch nhm n nh gi c nh mt mc tiu ch yu ca chnh sch tin t; (iii) Chin lc thng tin bao gm nhiu bin s, khng ch c tng cung tin hay t gi hi oi, c s dng cho vic thit lp cng c chnh sch tin t; (iv) Tng tnh minh bch ca chin lc chnh sch tin t thng qua vic thng bo vi cng chng v th trng v k hoch, mc tiu, nhng quyt nh ca Ngn hng Trung ng; (v) Tng trch nhim gii trnh ca ngn hng TW cho vic t c mc tiu v lm pht. 2.4.2 Tc ng truyn dn ca t gi hi oi27: Tc ng truyn dn ca t gi hi oi l mt hin tng m nhng thay i v gi tr giao dch ngoi t c phn nh trong nhng thay i ca gi nhp khu. Trong nghin cu ca Eric ON Fisher ch ra rng nhng thay i v t gi gy ra nhng thay i trong gi nhp khu, nhng mc truyn dn ca t gi hi oi ph thuc cu
26 27
Trch paper: Inflation targeting (2001) ca Frederic S.Mishkin, page 1 Trch dn paper: A model of Exchange Rate pass-through ca Eric ON Fisher (1987), page 1-2
Nhm 6 TCDN m 1
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trc th trng ni a v quc t v ch t gi hi oi. Nhn chung, tc ng truyn dn ca t gi hi oi th cao hn nu th trng ni a l c quyn hay nu th trng nc ngoi l cnh tranh 2.4.2.1 C ch truyn dn ca nhng thay i t gi hi oi vo lm pht Theo nghin cu ca Nicoleta (2007), nhng thay i ca t gi hi oi s nh hng n lm pht qua hai knh c bn: trc tip v gin tip a/ Knh trc tip: n gin ha 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 ha 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 ha tiu dng nhp khu s phn nh ngay vo s tng ln ca ch s gi tiu dng, nh hnh di y Knh trc tip tc ng truyn dn ca t gi28
Ngun: Nicoleta (2007) Bn cnh c ch truyn dn t gi hi oi ti lm pht, cn 01 c ch truyn dn na n lm pht, l c ch truyn dn li sut, c th m t qua hnh sau:
28
Trch t ti liu Estimating the exchange rate pass through into inflation in a vector autoregressive framework ca Nicoleta, (2007) trang 234
Nhm 6 TCDN m 1
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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 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 th trng cng nhc trong ngn hn. Mt knh gin tip quan trng khc trong ngn hn cng nh di hn l thng qua t l l ha nn kinh t, tc l tnh trng ngi dn s hu cc ti sn tnh bng ngoi t. Gi nh, t gi hi oi tng, tc l ni t gim gi v ngoi t tng gi, ngi dn c xu hng chuyn sang nm gi cc ti sn bng ngoi t, y gi 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. 2.4.2.2 Cc nhn t c cho l nh hng n tc ng truyn dn ca t gi hi oi29 a/ Nhn t vi m Theo nghin cu ca Lian (2006) ch ra 03 nhn t chnh nh hng n tc ng truyn dn ny l: 29 30
Phn ng gi n30 Mc doanh li theo quy m ca doanh nghip
Xem thm ph lc 03 Gi n = make up t l gia gi bn v chi ph sn xut bin
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co gin ca cu cc hng ha nhp khu.
b/ Nhn t v m Mt s nghin cu ca Mann (1986) v Taylor (2002) nhn dng mt vi nhn t nh hng n tc ng truyn dn ca t gi hi oi theo mc v m gm Quy m ca mt quc gia m ca nn kinh t S dai dng v bt n nh ca cc c sc t gi Tnh khng n nh ca tng cu Mi trng lm pht Mi trng chnh sch tin t
2.5 L gii nh v l do la chn nghin cu mi quan h ca LMPT v Tc ng truyn dn31 hiu hn cch thc ngi ta la chn cc bin s trong m hnh, chng ta bt u vi phn tch mi quan h gia bin s t gi hi oi v gi nhp khu. T c th suy dn ra cch thc phn tch tc ng truyn dn ca t gi hi oi (exchange rate pass-through: ERPT), hay phn trm thay i ca gi nhp khu c gii thch bng phn trm thay i ca t gi hi oi. Chng ta s thy trong phn kt qu nghin cu rng mt s truyn dn bin ng ca t gi trong bin ng ca gi nhp khu c th l mt truyn dn hon ton hoc mt phn. Nu gi tr truyn dn ny l zero ngha l s thay i trong t gi hi oi khng nh hng n gi nhp khu. Th nht, gi nhp khu ti bt k quc gia i no , Pm,i , l mt dng chuyn i ca gi xut khu ca nc xut khu j , Px,j bng cch s dng t gi hi oi, ER. Trong iu kin khng c ph, thu, chng s din t Quy lut mt gi gi nhp khu trong nc theo gi xut khu ca nc xut nh sau:
P m,i ERi .P x , j (1) hay Phm ER.P x f (2)
31
Trch dn nghin cu Ti liu Exchange rate pass-through and its applications for inflation in Vietnam, Vo Van Minh, 2009, v paper Exchange rate pass-through: Evidence based on vector autoregression with sign restrictions, An, Lian (2006)
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Trong : h k hiu l nc ni a (home country) v f l nc ngoi (foreign country).

Phm l gi nhp khu ti nc ni a, v Pfx l gi xut khu ti nc xut khu. ER l t gi
hi oi gia trong nc i vi nc ngoi (trong nc/nc ngoi)32 Theo nghin cu ca Hooper and Man (1989), Goldberg and Knetter (1997) v Campa and Goldberg (2002), gi nh rng cc cng ty xut khu nc ngoi c sc mnh quy m (sizeable power) trong vic thit lp gi. Hnh vi thit lp gi ca cc cng ty xut khu ph thuc vo mt khi nim make-up (Markupx), tm dch l gi n, trn chi ph bin ca sn lng ( C x ) ca cc cng ty xut khu nc ngoi nh sau f
Pfx = Markup x .C fx (3)
Hooper v Man (1989) xut rng gi n ca cc cng ty xut khu ph thuc vo p lc cu ca th trng ti c th trng nc ch nh v nc ngoi (Y) v p lc cnh tranh trong th trng nc ch nh. p lc cnh tranh ca th trng nhp khu c o lng bi li nhun bin, v d gi phi ln hn chi ph sn xut bin (production costs). Gi n c trnh by nh sau
Markup x ( Ph ) .Y ER.C fx
(4)
Trong , (
Ph ) i din cho p lc cnh tranh ti nc nc ch nh (home market) v ER.C x f 1; 0)
Y i din cho p lc cu ti c nc ch nh v nc ngoi ( 0
T (2), (3) v (4) suy ra, gi nhp khu bng

Phm ER( Ph ) . Y . C fx (5) ER.C x f
=> Phm ER.C x .P h.(ER.C x )f .Y . f

x => Phm ( ER.C f ) 1
.Y .Ph
Ly logarit ca hai v ta c log Phm (1 ).log ER (1 ).log C x

; t log Phm ph mlog ER e; log C f
32
f x
.log Ph
log Y
(6)
c f x log Ph ph ; log Y y ;
Ghi ch: x k hiu cho gi xut khu v m k hiu cho gi nhp khu
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m Th (6) vit li thnh: ph (1 ).e (1 ).c x
. ph . y
(7)
Phng trnh (7) mun ni rng ch s gi nhp khu ti nc nhp khu b nh hng bi t gi hi oi (e), chi ph bin ca sn phm ca cng ty nc ngoi (c x ) , mc gi nc ni f a ( ph ) v cu th trng ca c nc ch nh v nc ngoi (y) Phng trnh (7) cng th hin rng tc ng ERPT ti nc ch nh (home country), h s 1 th hin bin ng ca gi nhp khu ( p m h vi t gi hi oi (e). )so Nu nh 0 th chng ta c c nh hng truyn dn (pass-through) y v cc cng ty xut khu i mt vi vic khng cnh tranh c trong xut khu. Nu nh 1 th h s trc e l 0, hay tc ng truyn dn l zero, cc cng ty xut khu i mt vi mt cuc cnh tranh kh khn hn (tough competition) trong xut khu, v khng c kh nng iu chnh gi. Tng t nh vy, p lc cu khng th khng phn nh gi nhp khu c. Chnh v vy m 0
1; 0
Trong thc t, cc nh nghin cu s dng cc bin kim sot phn nh tt hn s di chuyn ca gi nhp khu, nh c sc gi du m th hin cho p lc cung ca th trng th gii, v chnh sch tin t ti quc gia ch nh cho bit phn ng ca chnh sch vi tnh hung a ra. Bin output gap i din cho p lc cu phn tch tc ng truyn dn, t cng thc (7) chng ta bin i thnh cng thc sau (7) =>
m ph e
.e c x .p
h
.c x
f
. ph . y .y p m
h h
<=> .e .c x <=> .(e c x <=> .

f
e cx
f
p h) e c x
h
.y pm
e c x f .y pm e cx f p h
m ph e c x f . y ph e c x f
<=> .
(8)
Cng thc th (8) ny ch ra rng:
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Khi y tng ln (tc tng ln c cu nc ch nh v nc ngoi) th t gim lm cho gim v ERPT tng tc ng (1- ). S thm thu ca gi nhp khu th hin phn trm ca hng ha c nhp khu trong gi CPI. V nhu cu ni a tng (y) vi mc tng ca hng ha nhm tha mn nhu cu ca ni a. Kt qu l s thm thu ca gi nhp khu c th ch r mt s tng ln trong nhu cu ni a v v vy tng tc ng truyn dn ERPT
Nu ph tng, tng lm pht ti th trng ni a, th mu tng ln, lm cho gim v ERPT tng tc ng.
m Nu ph gim, t gim, lm cho gim v ERPT tng tc ng
Mt s gim t gi (e gim) th c t v mu cng tng ln, lm gi tr ERPT gim tc ng v ngc li
tng ln, th
Chnh v vy, mt s thay i trong tc ng truyn dn ERPT s nh hng n nhng nhn t c cp trn. Tht kh khn khi tp hp vai tr ca tng nhn t trong vic xc nh tc ng truyn dn, nn ngi ta xut mt s cc nhn t nh hng chnh tin hnh nghin cu III/ CC NGHIN CU TRC Y Da trn cc m hnh phn tch chui thi gian, nhiu tc gi trong v ngoi nc nghin cu theo nhiu mc ch khc nhau, di y nhm xin gii thiu mt s m hnh nghin cu c lin quan n lm pht v t gi hi oi. 1.1 Trn th gii a/ Hai kt qu nghin cu ca l thuyt Taylor Mt s st gim trong hiu ng truyn dn n gi nhp khu ngha l sau khi p dng lm pht mc tiu cc cng ty bn l m hng ha nhp khu t nc ngoi hp th ln hn bin ng ca t gi hi oi thng qua mt bin s nh hn trong gi bn Mt s st gim hiu ng ny n gi sn xut ngha l sau khi p dng lm pht mc tiu, mt cng ty nhp khu nguyn liu u vo ca h t nc ngoi cng hp th ln bin ng ca t gi hi oi thng qua mt bin s nh trong gi ca hng ha cui cng
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b/ M hnh hiu chnh sai s ECM Mohammad (1999) nghin cu lm pht Trung Quc trong ngn hn v di hn bng m hnh hiu chnh sai s ECM (error correction model), m hnh ny c dng.
Trong : P: ch s gi chung, M: Cung tin, g: khong chnh lch sn lng so vi sn lng tim nng, W: lng c bn, AP: l ch s sn lng nng nghip, IP:l ch s sn xut nng nghip, (L):l ton t tr, : bin ngu nhin. c/ M hnh ca Ramakrishnan v Vamvakidis (2002): Hai ng bng lp lun ca mnh xy dng nn m hnh c lng nh sau nghin cu thc nghim ca cc yu t trong nc v nc ngoi ln lm pht Indonesia. M hnh c dng.
Trong , DCPI: Lm pht gi tiu dng(%), DCPI*: Lm pht gi tiu dng ca nc ngoi. DEXC:T l tng t gi hoi i, DM: t l tng trng tin danh ngha. LWAG: T l tng trng tin lng ti thiu, LPRO:s thay i nng sut lao ng(GDP/ngi). OG: Khong chnh lch sn lng so vi sn lng tim nng, DR: phn chnh lch li sut. ecmM: dao ng ca cung tin so vi trng thi n nh di hn. ecmL: dao ng ca lao ng so vi trng thi n nh di hn. ecmE: lch ca cc c sc ngoi sinh so vi mc n nh di hn. CRISIS: Bin gi nh nhn gi tr 1 trong giai on Qu3 nm 1997 ti Qu 4 nm 1998. SEAS: Cc bin gi kim tra mc nh hng ca yu t ma v.
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Nhm tc gi kt lun rng t gi hi oi v lm pht nc ngoi l yu t then cht nh hng ti lm pht trong nc, cung tin ch c ngha thng k cn mc tc ng th rt t. d/ Mu hnh VAR Nghin cu ca An, Lian (2006) Exchange Rate Pass-through: Evidence Based on Vector Autoregression with Sign Restrictions, Mu hnh
2. Ti Vit Nam Ti Vit nam a/ M hnh a thc tr:
Trong : : t l lm pht, gM: t l tng trng cung tin danh ngha. gY: t l tng trng sn lng. : o lng lch gia t l mt gi tin ni a v li sut. e: lm pht k vng. Ti Vit Nam c tc gi TS. V Tr Thnh (1997), Ph vin trng Vin Nghin cu qun l kinh t , s dng m hnh tr a thc nghin cu v lm pht Vit Nam na u thp k nm 1990. Tc gi kt lun , gM c ngha cao nn y l yu t dng d bo lm pht, gY ch tc ng trong ngn hn b/ M hnh hi quy theo bin logarit:
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Trong : lnMt: logarit c s t nhin ca cung tin danh ngha. lnYt: logarit c s t nhin ca sn lng trong nc. lnNERt: logarit c s t nhin ca t gi hi oi. t: sai s Ti Vit Nam c tc gi TS. Dng Th Thanh Mai (2002), Trng H Kinh t Quc dn, nh gi lm pht ca cc nc ang pht trin, ph thuc vo ba yu t: tng lng cung tin, tng thu nhp, t gi. Vi chui d liu nghin cu t nm 1997-2000, kt qu l khng c tn hiu bo trc cho lm pht c/ M hnh t hi quy VAR nghin cu tc ng truyn dn Tc phm Exchange rate pass-through and its implications for inflation in Vietnam xut bn nm 2009, tc gi V Vn Minh, Vietnam Development Forum.
Vi Yt l vctor matrn ca 6 bin s (gi du Oil, NEER, GAP, IMP, CPI, M2), Bi l ma trn h s 6 dng v 6 ct (6x6), ui l sai s nhiu, Cc bin s l Output Gap: (GAP) sai lch gia sn lng tim nng v sn lng thc t, Customer Price Index (CPI), Import Price Index (IMP), Broad Money (M2) Exchange rate (NEER: the normalized nominal effective exchange rate) Oil price: Ly t gi du m UK Brent Oil l hm s chn
ng nu ra c 0633 kt qu t m hnh nghin cu, trong hm s y th hin t gi hi oi biu l tc ng truyn dn ln gi nhp khu (import prices) v gi tiu dng (customer prices). Tc ng truyn dn mnh hn trong nhng nm u v gim dn v sau. Gi du v cung tin nh hng mt cch ng k ln gi tiu dng.
33
Xem phn kt qu nghin cu
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IV. KT QU NGHIN CU 4.1 Cc kt qu nghin cu thc nghim: Phn ny trnh by cc kt qu phn tch hm phn ng y. Cc chi tit ca cc d liu cho c tnh thc nghim c trnh by ph lc. Trc khi tin hnh c tnh VAR, nhm tc gi kim nh tnh dng ca cc bin. V gi du l mt bin khng ph thuc vo yu t quc gia nn kim nh tnh dng ca bin ny c tin hnh bng cch s dng kim nh nghim n v Augmented Dickey-Fuller. i vi cc bin khc, nhm tc gi s dng kim nh nghim n v theo mu hnh ca Maddala v Wu (1999). Cc kt qu kim nh cho thy rng gi du, ba loi ch s gi ni a, cung tin v t gi hi oi danh ngha l khng dng theo chui thi gian, nhng dng sai phn bc nht tt c cc quc gia . Chnh lch sn lng u ra c tm thy l c tnh dng trong chui thi gian. Cc nghin cu trc y (v d nh Ito v Sato, 2007, 2008, Mishkin v Schmidt-Hebbel nm 2007) ngh a vo m hnh VAR bin chnh lch sn lng theo chui thi gian cng vi sai phn bc 1 ca cc bin khc . Nhm tc gi cng tin hnh theo phng thc ny trong m hnh phn tch VAR ca h. Nhm tc gi bt u bng cch tho lun v cc phn ng y vo ch s gi tiu dng trc tng bin ng ca t gi hi oi trong m hnh VAR 5 bin cho c cc nc c p dng lm pht mc tiu ln ko p dng lm pht mc tiu. H cn nghin cu v cc phn ng y vo c 3 ch s gi CPI, PPI v IMP i vi cc bin ng ca t gi trong m hnh VAR 7bin cho cc nc mi ni p dng lm pht mc tiu. 4.1.1 Tc ng truyn dn ca t gi ln gi c ni a ti cc nc mi ni p dng lm pht mc tiu: trc v sau khi p dng: Trong phn ny, nhm tc gi tho lun v cc phn ng y vo gi c ni a trc bin ng ca t gi hi oi bng cch s dng d liu ca 15 nc mi ni p dng lm pht mc tiu. Kt qu ca cc phn ng y cho cc mu khc nhau c th hin trong Hnh 1 v 2. Mi hnh u a ra s so snh trc v sau khi p dng lm pht mc tiu. Trong nhng hnh ny, th ba cho thy s chnh lch gia hai phn ng trc (ly phn ng trong th hai tr i phn ng trong u tin).
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Hnh 1: Phn ng ca ch s CPI ti cc nc p dng lm pht mc tiu ti bin ng t gi hi oi (mu hnh 05 bin VAR)
hnh 1: Th hin mc phn ng ca CPI trc nhng bin ng ca t gi hi oi (s dng m hnh 5 bin 5 variance VAR). Hnh trn cho thy tc ng truyn dn ca t gi hi oi ln ch s gi tiu dng c mt s st gim ng k sau khi cc nc ny p dng lm pht mc tiu. (so snh ng biu din trong 1 v 2) iu cn c phn nh bi khong chnh lch ca mc bin ng gia trc v sau khi p dng lm pht mc tiu ti th 3, mc gim xung trong tc ng truyn dn ca t gi hi oi ln gi c tiu dng l khc 0. Bng chng ny cho thy vic p dng lm pht mc tiu ti cc nc mi ni gip lm gim tc ng truyn dn t mc cao xung mc thp hn nhng vn cn duy tr s chnh lch ng k quanh mc 0 tc vn cn tc ng ln gi c vi mt mc khc 0 ng k ch khng phi l gn bng 0, hay hon ton khng cn tc ng. S phn ng ca ch s gi tiu dng trc nhng thay i ca t gi hi oi ph thuc vo quy m ca cc gi tr u vo nhp khu (imported inputs) c s dng cho sn xut ni a v s hin din ca chi ph phn phi (distribution costs). Knh sn xut v phn phi c th lm gim tc ng ca t gi hi oi ln gi tiu dng v iu gii thch cho s tc ng truyn dn ca t gi hi oi thp n gi tiu dng (consumer prices).
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Chnh v vy nhm tc gi a thm knh sn xut v phn phi vo phn tch, bng cch l h s dng thm 02 bin na (tc c lng m hnh VAR 7 bin) l: bin ch s gi sn xut (PPI: producer price index) v bin ch s gi nhp khu (IMP: import price index). Vi vic a vo thm 2 bin ny, cc tc gi k vng gii thch c l thuyt ca Taylor rng trong mt mi trng lm pht thp, cc cng ty k vng mt s sai lch ca lm pht s nh v v vy h s t iu chnh gi bn ca mnh phn ng vi s bin ng lm cho gi u vo nhp khu tng ln ca t gi hi oi. Hnh s 2: m t phn ng ca gi trong cc nc p dng lm pht mc tiu trc bin ng ca t gi hi oi (m hnh 7 bin s)
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hnh s 02: Hnh s 2 th hin mc phn ng ca ba ch s gi (CPI, IMP, PPI) trc bin ng ca t gi bng vic s dng m hnh 7 bin (7 variance VAR) Mc gim trong tc ng truyn dn n gi tiu dng cc nc mi ni p dng lm pht mc tiu c th c cho l do vic gim st trong tc ng truyn dn theo chui gi. Tc ng truyn dn n 03 loi ch s gi gim i ng k cc nc mi ni sau khi p dng lm pht mc tiu nhng vn nhng mc xoay quanh gi tr zero (0) Bng cch so snh tc ng truyn dn ca t gi hi oi dc theo chui gi, th kt qu cho thy rng mc phn ng l ln nht trong gi nhp khu, sau l gi sn xut, v thp nht l trong gi tiu dng. iu ny cng c ch ra trong nghin cu ca McCarthy (2000), Hahn (2003), Faruque (2006), v Ito v Sato (2007,2008) Tm li: Nhm tc gi cung cp bng chng cho thy rng vic p dng lm pht mc tiu gip lm gim tc ng truyn dn n c 3 ch s gi t mc cao xung mc thp nhng vn chnh lch ng k quanh so vi 0. Bng chng ca cc tc gi khng nh quan im rng vi s tn nhim ban u i vi ngn hng trung ng cc th trng mi ni thp, th vic thc hin lm pht mc tiu s lm cho chnh sch tin t ca h ng tin cy hn, v do dn n mt mi trng lm pht thp hn. C th hn, n ph hp vi cc lp lun c a ra bi Taylor, rng lm pht mc tiu c thc thi trong mi trng lm pht thp cc nc mi ni lm cho cc cng ty nhp khu u vo cng nh cc cng ty bn l t b tc ng truyn dn do t gi lm gim gi tr trong cc loi gi cao hn (gi sn xut v gi nhp khu). V vy nhng bin ng ca t gi dn n tc ng truyn dn ca t gi n gi sn xut trong nc v gi nhp khu s nh hn. 4.1.2 So snh gia cc nc p dng v khng p dng lm pht mc tiu: Ti phn trn, chng ta c bng chng cho thy rng lm pht mc tiu gip gim tc ng truyn dn ca t gi ln c ba loi ch s gi (CPI, IMP, PPI). Mt so snh vi cc nc mi ni nhng khng p dng lm pht mc tiu (non-targeters) trong cng thi gian trn cung cp thm mt s thng tin ng quan tm. D liu ly t 12 nc khng p dng lm pht mc tiu c s dng tin hnh phn tch so snh ny. thc hin so snh trcNhm 6 TCDN m 1 Trang 32
sau cho cc nc khng t lm pht mc tiu, nhm tc gi chn mc thi gian l nm 1999 v y l thi im nhiu nc mi ni bt u p dng chnh sch lm pht mc tiu. Hnh 3 v hnh 4 di y trnh by cc so snh cho cc nc nhm 2 (khng p dng lm pht mc tiu) trc v sau nm 1999. Ti hnh 03 th hin phn ng ca CPI (customer price index) trc cc bin ng ca t gi hi oi (exchange rate shock) s dng m hnh 05 bin (5 variance VAR). Trong khi hnh 04 li th hin phn ng ca 03 ch s gi trc bin ng ca t gi hi oi khi dng m hnh 07 bin (07 variance VAR). Ti hnh 03: Phn ng ca ch s CPI cc nc khng p dng lm pht mc tiu i vi bin ng ca t gi hi oi (mu hnh VAR vi 05 bin s)
Hnh 03 cho thy: Ti cc nc khng p dng lm pht mc tiu th trc nm 1999, tc ng truyn dn ca t gi hi oi ln ch s CPI th sai lch khng ng k so vi mc 0. Sau nm 1999 th mc ny dao ng mnh hn.
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Ti hnh 04: Phn ng ca gi c cc nc khng p dng lm pht mc tiu n bin ng t gi hi oi (7-variance VAR)
hnh s 04 ny cho thy trc nm 1999 tc ng truyn dn n 03 ch s gi trn (PPI, IMP, PPI) ti cc nc ny sai lch khng ng k (not significant different) so vi mc 0, sau nm 1999 th th hin mc chnh lch ng k so vi mc 0. (positive) so snh gia cc nc p dng v khng p dng lm pht mc tiu, nhm tc gi c s so snh gia 2 mu nghin cu ly t 2 nhm nc l : cc nc (p dng lm pht
Nhm 6 TCDN m 1
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mc tiu) sau khi p dng chnh sch lm pht mc tiu so snh vi cc nc khng p dng lm pht mc tiu sau nm 1999. Hnh 05 v 06 th hin iu ny. Hnh s 05: Phn ng ca ch s CPI trc bin ng ca t gi hi oi: Cc nc p dng lm pht mc tiu so snh vi cc nc khng p dng lm pht mc tiu (s dng mu hnh 05 bin s)
Ti hnh 05 cho thy: tc ng truyn dn ln ch s gi tiu dng l nh nhau i vi nhm nc p dng lm pht mc tiu sau khi thc hin chnh sch ny vi nhm cc nc khng p dng lm pht mc tiu sau thi im 1999. Nhng tc ng truyn dn ny li khc nhau hn khi s dng mu hnh 07 bin
Nhm 6 TCDN m 1
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Hnh s 06: Phn ng ca cc ch s gi trc bin ng ca t gi hi oi: Cc nc p dng lm pht mc tiu (Gi tt l Iters) so vi cc nc khng p dng lm pht mc tiu (gi tt l Niters) vi m hnh 7 bin s
Ti hnh ny cho thy c s khc bit trong tc ng truyn dn ca t gi hi oi ln 03 loi gi khc nhau (PPI, CPI, IMP) xt giai on sau nm 1999, theo : Tc ng truyn dn ny ln gi tiu dng (CPI) v gi nhp khu (IMP) ti cc nc p dng lm pht mc tiu sau khi thc hin chnh sch cao hn cc nc khng p dng lm pht mc tiu sau nm 1999.
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Trong khi , tc ng ny ln ch s gi sn xut th sai lch khng ng k (not significantly different) ti cc nc p dng lm pht mc tiu sau khi p dng chnh sch so vi nc khng p dng lm pht mc tiu sau nm 1999.
Tm li, chng ta thu c 02 kt qu t vic so snh trn l: Th nht, vi cc nc mi ni khng p dng lm pht mc tiu, tc ng truyn dn khng c sai lch ng k so vi mc gi tr zero (0) trc nm 1999 v sau nm 1999 th chnh lch ng k so vi mc 0. Th hai, bng vic so snh cc nc p dng c ch lm pht mc tiu (sau thi im p dng) vi cc nc khng p dng (sau nm 1999), th tc ng truyn dn l kh ging nhau trong 2 mu nghin cu ny. Cc kt qu ny khng nh rng cc nc chu s tc ng truyn dn ca t gi hi oi cao th c khuynh hng nghing v p dng lm pht mc tiu tng s tn nhim ln, hn l cc nc c mc truyn dn thp. 4.1.3 Phn tch phng sai (Variance decomposition): Tuy hm phn ng y (impulse responses) cho ta nhng nhn nh tng quan v mc tc ng truyn dn ca t gi hi oi ln gi ni a, nhng n khng th hin c bin ng ca t gi hi oi c th l ng gp bao nhiu trong vic gii thch bin ng ca gi ni a. Do , nh gi tm quan trng ca bin ng t gi ln bin ng ca gi c, cc tc gi thc hin phng php phn tch phng sai? (variance decomposition) cho cc ch s gi ni a (domestic price indexes). H bt u gii thch bng vic kim tra mc tc ng ca bin ng t gi n bin ng gi hng ha tiu dng vi vic s dng m hnh VAR 5 bin (5 variance VAR). theo bng di y
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Bng 1: Phn trm ca bin d bo ch s CPI c quy cho bin ng ca t gi gy ra (vi m hnh 5 bin s)
Bng trn cho thy mc bin ng ca t gi ng gp rt ng k trong vic gii thch s dao ng ca ch s gi tiu dng ti cc quc gia c t ra lm pht mc tiu. Nhng kt qu trong bng trn cn cho thy rng s ng gp ca bin ng t gi n bin ng ca gi tiu dng gim xung sau khi cc nuc thc hin chnh sch lm pht mc tiu, trong khi n s tng nhng nc ko t ra lm pht mc tiu sau nm 1999. Nhng bin ng ca t gi hi oi ( sau 20 qu ) gii thch 19.21% bin thin ca gi tiu dng cc nc trc khi p dng lm pht mc tiu . T l ny gim xung cn 11.82 % sau khi cc nc ny p dng lm pht mc tiu. nhng nc khng t ra lm pht mc tiu th nhng bin ng ca t gi gii thch 0.92% bin thin ca gi tiu dng trc 1999, v t l ny l 3.72% sau 1999.
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Bng 2 : Phn trm thay i ca bin ch s gi tiu dng (bin d bo lm pht) c gy nn bi s bin ng ca t gi hi oi ti cc nc c p dng lm pht mc tiu (vi m hnh 7 bin s)
Bng th 2 ny ch ra rng: Bng trn th hin s ng gp ca cc mc bin ng ca t gi hi oi trong vic gii thch mc bin ng ca c 3 ch s gi thng qua m hnh VAR 7 bin. Bin ng ca t gi hi oi ng gp mt cch ng k trong s bin ng ca 03 ch s gi (IMP, PPI, CPI) cc nc p dng lm pht mc tiu, trong khi ti cc nc khng p dng lm pht mc tiu th iu ny l khng ng k. Phn trm bin thin ca cc bin ch s gi c cho l do s bin ng ca t gi th gim xung sau khi cc nc thc hin chnh sch lm pht mc tiu, trong khi n tng nh nhng nc ko t ra lm pht mc tiu sau nm 1999. Vi cc nc p dng lm pht mc tiu:
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o Giai on trc khi p dng c ch ny th bin ng ca t gi hi oi gii thch ln lt vi bin ng ca tng loi gi l 43.47% (IMP), 43..70% (PPI) v 19.76% (CPI) (xt vi 20 qu quan st). o Sau khi p dng c ch lm pht mc tiu, cc gi tr ny gim tng ng v mc l 12,54% (IMP), 23,30% (PPI), 13,89% (CPI) Vi cc nc khng p dng lm pht mc tiu: o Giai on trc nm 1999: Bin ng ca t gi hi oi ch gii thch c 0.31% (IMP), 0.35% (PPI) v 1.32% (CPI) bin ng ca gi. o Giai on sau nm 1999: Con s ny ln lt l 5,31% (IMP), 3,56% (PPI), 1,73% (CPI). Tm li, vi phng php phng sai cc tc gi cho thy: Bin ng t gi gii thch mt phn quan trng trong bin ng ca gi c ti cc nc mi ni c p dng lm pht mc tiu, trong khi , ti cc nc khng p dng lm pht mc tiu th iu ny khng ng k. Mc ng gp ca bin ng t gi hi oi vo bin ng ca gi c ti cc nc p dng lm pht mc tiu gim sau khi thc hin c ch ny. V vy, vi phng php phn tch bin s ny minh chng cho vic gim st trong tc ng truyn dn ca t gi hi oi ln gi c ti cc nc c p dng lm pht mc tiu. 4.2. Kt lun: Trong bi nghin cu ny, nhm tc gi kim nh bng thc nghim v s nh hng ca vic p dng chnh sch lm pht mc tiu i vi tc ng truyn dn ca t gi hi oi n gi c cc nc mi ni. tin hnh nghin cu thc nghim ny h p dng k thut phn tch VAR bng vic s dng d liu ti 27 nc mi ni (15 nc mi ni c p dng lm pht mc tiu v 12 nc mi ni khng p dng lm pht mc tiu). H thc hin cch tip cn trc v sau bng cch s dng hm phn ng y trong cc mu nghin cu khc nhau trn tng nhm quc gia, tnh cht ca tng mu da vo vn
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p dng lm pht mc tiu chn (tc trc v sau khi thc hin chnh sch lm pht mc tiu, hoc cc nc c p dng lm pht mc tiu hay khng) Vic p dng chnh sch lm pht mc tiu iu chnh cc quyt nh v gi cc nc mi ni theo cch ph hp vi quan im ng tin cy. Ti cc nc p dng lm pht mc tiu: Vic p dng lm pht mc tiu gip gim tc ng truyn dn ca t gi hi oi ln 03 loi ch s gi chnh m nhm tc gi xem xt l ch s gi nhp khu (import prices), ch s gi tiu dng (customer prices) v ch s gi nh sn xut (producer prices) t mc cao xung mc thp hn nhng vn cn sai lch ng k so vi mc zero (0). Vi cc nuc khng p dng lm pht mc tiu: tc ng truyn dn ca t gi hi oi n 03 loi ch s gi trn khng c sai lch ng k so vi mc 0 trc nm 1999, nhng sau nm 1999, tc ng ny tr nn ng k hn, gi tr sai lch nhiu hn so vi mc zero (0). Ngoi ra, bng cch so snh cc nc c p dng lm pht mc tiu sau khi thc hin chnh sch ny v cc nc khng p dng lm pht mc tiu sau nm 1999, nhm tc gi cn ch ra rng tc ng truyn dn ca t gi hi oi ti cc nc c p dng lm pht mc tiu sau khi p dng chnh sch ny v cc nc khng p dng lm pht mc tiu sau nm 1999 th kh ging nhau . Phn tch phng sai cng cho thy r nhng kt qu trn. Phn tch phng sai ch ra rng s tc ng ca cc bin ng v t gi hi oi ln bin ng v gi c cc nc p dng lm pht mc tiu l ng k, trong khi s tc ng ca cc bin ng v t gi hi oi ln bin ng v gi c cc nc khng p dng lm pht mc tiu l khng ng k. Phn tch phng sai cng cho thy tc ng ca cc bin ng trong t gi hi oi ln bin ng trong gi c cc nc p dng lm pht mc tiu gim sau khi thc hin chnh sch ny. Cui cng, vi nghin cu thc nghim ny, cc tc gi cho thy c nhng nc chu tc ng truyn dn ca t gi hi oi cao c khuynh hng p dng lm pht mc tiu thu c mc tn nhim hn cc nc c mc truyn dn thp hn.
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V. KIN CA NHM V HNG NGHIN CU TIP THEO 5.1 kin ca nhm Kt lun s b ca paper (i) Vic p dng lm pht mc tiu trong cc nc mi ni gip gim tc ng truyn dn ca t gi hi oi ln gi c tiu dng t mc ban u cao sang mt mc mi, tuy nhin vn duy tr sai lch ng k quanh zero (0). (ii) V cc nc mi ni khng p dng lm pht mc tiu nn tc ng truyn dn cu t gi ln gi c tiu dng khng sai lch ng k so vi mc zero trc nm 1999 v sau nm 1999 th tr nn dng ng k (iii) Bng vic so snh cc nc mi ni c lm pht mc tiu vi cc nc mi ni khng c lm pht mc tiu sau nm 1999 th thy: Tc ng truyn dn ln gi tiu dng (customer prices) th khng sai lch ng k trong s hai nhm ny S gim tc ng truyn dn ln gi tiu dng ti cc nc mi ni c p dng lm pht mc tiu th c th quy cho s st gim tc ng truyn dn theo knh gi
(iv) Tc ng truyn dn ln c gi sn xut v gi nhp khu tht bi ng k ti cc nc mi ni c p dng lm pht mc tiu Cc kt lun ny cn da trn phng php phn tch phng sai (variance decomposition analysis) mt im mi trong nghin cu v lnh vc ny m cc tc gi s dng. Nhn xt Do c im s liu c iu chnh theo sai phn bc 1 cho mc ch dng ca chui thi gian nn chnh xc ca d liu gim xung. Tuy nhin, nhm tc gi khng a ra nhng nh gi hay nhn xt v tin cy ca d liu iu chnh M hnh ny d bo s liu qu kh, trong khi ti thi im sau cuc khng hong ti chnh ton cu cc yu t v m ca nn kinh t thay i, s ph thuc cung v cu tin ph thuc rt nhiu vo hng ha nhp khu. Nn nghin cu ny, mi ch dng li mc im li cc kt qu qu kh ca cc chui thi gian. 5.2 Hng nghin cu tip theo Trong nghin cu ny, tc gi mi nghin cu mi quan h tc ng truyn dn ca t gi hi oi ti cc nc mi ni m cha nghin cu tc ng ny cc nc pht trin nh th no.
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Ti cc nghin cu Vit Nam, ch yu tp trung vo 02 b bin l Yt = (gi du Oil, NEER, GAP, IMP, CPI, M2) ca tc gi V Vn Minh hay Yt = (OPGAP, CPI, ER, VND, USD, RUSD, RVND34), nhng dng nh cha c nghin cu bin s PPI vo m hnh. PPI (ch s gi nhp khu) chng ta c th d vo l thuyt lut mt gi (the Law of One Price Exchange Rate theory) tnh ra. M hnh ngh nghin cu tip l Yt = (Oil, GAP, M vnd, Musd, Rusd, Rvnd, NNER, PPI, IMP, CPI) cho Vit Nam.
34
RUSD, RVND ln lt l li sut tin gi USD v VND
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PH LC 1 PHNG PHP BNH PHNG NH NHT
PH LC 2 TNH DNG
10
PH LC 03 CC YU T VI M V V M TC NG N TC NG TRUYN DN CA T GI HI OI
PH LC 04 KIM NH N V TRONG EVIEWS
PH LC 5 HI QUY GI TO V NG LIN KT
1. Hi quy gi to
2. ng lin kt
PH LC 6 D LIU CC NC C NGHIN CU
Cc nc c nghin cu Cc nc mi ni p dng lm pht mc tiu Brazil (1999:Q2), Chile (1991:Q1), Colombia (1999:Q4), Czech Repub-lic (1997:Q4), Hungary (2001:Q2), Indonesia (2005:Q3), Israel (1991:Q4), Mexico (1998:Q4), Peru (1999:Q3), Philippines (1999:Q3), Poland (1998:Q3), South Africa (2001:Q1), South Korea (1997:Q4), Thailand (2000:Q2), Turkey (2006:Q1). Cc nc mi ni khng p dng lm pht mc tiu Argentina, Bulgaria, China, Estonia, India, Latvia, Lithuania, Malaysia, Singapore, Taiwan, Uruguay, Venezuela Cch chn d liu Gi du th gii (world oil price): ly trung bnh 03 ch s gi ti 03 th trng Texas, U.K.Brent v Dubai. Gi du th gii c iu chnh theo ma theo phng thc Census X12. D liu ly t Thng k ti chnh ton (IFS) ca Qu IMF Output gap: c to ra bng cch p dng b lc Hodrick-Prescott (HP)1 loi tr xu hng mnh trong GDP thc iu chnh. Nu gi tr GDP ban u khng c iu chnh, th chui d liu cn c iu chnh theo phng thc Census X12 Method. D liu hng qu c thu thp bng cch dng chui d liu theo tng quc gia. Cung tin (Money Supply): D liu c thu thp di dng chui gi tr. Mt s nc dng khi nim tin c bn. Mt s th dng khi nim cung tin M12. Nu chui gi tr ban u khng c iu chnh th s iu chnh theo phng thc Census X12. D liu c thu thp t ngn hng trung ng ca tng quc gia hoc t chc IFS, T gi hi oi (Exchange rate): D liu c thu thp di dng chui gi tr. T gi hi oi danh ngha c quy i sang t gi vi ng dollar M. Ch s gi tiu dng (CPI: consumer price index) : D liu c thu thp di dng chui gi tr. D liu c iu chnh theo ma vi phng thc Census X12 Ch s gi nhp khu (IMP: import price index): D liu c thu thp di dng chui gi tr. D liu c iu chnh theo ma vi phng thc Census X12. Ch s gi nh sn xut (PPI: producer price index): D liu c thu thp di dng chui gi tr. D liu c iu chnh theo ma vi phng thc Census X12.
B lc Hodrick-Prescott l mt cng c ton hc c dng trong kinh t v m, c bic trong l thuyt chu k kinh t. N s dng cc thut ton bng phng ha gi tr theo thi gian. Hay ni khc i, n l k thut loi b dao ng ngn hn c lin quan n cc chu k kinh doanh, do l xu hng lu di. Cc b lc c p dng u tin do kinh t Robert J. Hodrick v gn y nhng ngi ot gii Nobel Edward C. Prescott. 2 M1: bng tng lng tin mt (M0) v tin m cc ngn hng thng mi gi ti ngn hng trung ng. M1 cn c gi l ng tin mnh.
D liu: Quc gia trong bi nghin cu - Cc quc gia lm pht mc tiu v ngy ca lm pht mc tiu: Stt Quc gia Thi im 1 Brazil 1999:Q2 2 Chile 1991:Q1 3 Colombia 1999:Q4 4 Cng ho Czech 1997:Q4 5 Hungary 2001:Q2 6 Indonesia 2005:Q3 7 Israel 1991:Q4 8 Mexico 1998:Q4 9 Peru 1999:Q3 10 Philippines 1999:Q3 11 Phn Lan 1998:Q3 12 Nam M 2001:Q1 13 Hn Quc 1997:Q4 14 Thi Lan 2000:Q2 15 Th Nh K 2006:Q1 Cc nc ang pht trin khng theo lm pht mc : n , Latvia, Lithuania, Malaysia, Singapore, i Loan, Uruguay, Venezuela
Bin s v ngun d liu Gi du th gii: Ch s gi du c bn theo la M - l trung bnh ca 3 ch s giao ngay ti Texas, U.K. Brent v Du bai. Gi du th gii c iu chnh thi v bng cch s dng phng php Census X12. Ngun d liu: IMF, Thng k ti chnh quc t (IFS) Khong cch sn lng - Output gap: Khon cch sn lng c to ra bng cch p dng b lc Hodrick Prescott (HP) loi b xu hng mnh trong vic iu chnh theochu k i vi GDP thc. Trong trng hp chui GDP nguyn gc khng b iu chnh, th chui iu hnh theochu k s dng phng php Census X-12. D liu theo qu c chn lc bng cch s dng Datastream. Ngun d liu da trn cc thng tin sau: Quc gia Argentina: Brazil: Bulgaria Chile China Colombia Czech Republic Estonia Hungary India Ngun d liu Ch s GDP (2000=100), theo Thng k ti chnh quc t (IFS) IMF. Ch s GDP (1995=100) c iu chnh theochu k, IBGE Ch s GDP, IFS GDP ti gi 2003 c iu chnh thepchu k, Ngn hng Trung ng Chile GDP gi hin ti (IFS) chia cho CPI GDP ti gi nm 2000 c iu chnh theochu k, National Administrative Department of Statistics GDP nm 2000 c iu chnh theochu k, T chc kinh t hp tc v pht trin (OECD) GDP nm 2000, Thng k EStonia Ch s GDP (2000=100) c iu chnh theochu k, OECD Ch s GDP (2005=100) c iu chnh theochu k, OECD 2
Indonesia Israel Latvia Lithuania Malaysia Mexico Peru Philippines Poland Singapore South Africa South Korea Taiwan Thailand Turkey Uruguay Venezuela
Ch s GDP (2000=100) c iu chnh theochu k, OECD Ch s GDP (nm 2005 c iu chnh), Central Bureau of Statistics (Israel). GDP nm 2000, Central Statistics Bureau of Latvia (Latvia). GDP nm 2000 c iu chnh theochu k, Statistics Lithuania Ch s GDP (2000=100), IFS Ch s GDP (2000=100), IFS Ch s GDP (2000=100), IFS GDP nm 1985 c iu chnh theochu k, National Statistical Coordination Board (NSCB) GDP nm 2000 c iu chnh theochu k, OECD Ch s GDP (2000=100), IFS GDP nm 2000 c iu chnh theochu k, IFS GDP nm 2000 c iu chnh theochu k, OECD GDP nm 2001, Directorate General of Budget, Accounting and Statistics (DGBAS). GDP nm 1988 c iu chnh theochu k, Office of National Economic and Social Development Board (Thailand). GDP nm 1995, Eurostat Ch s GDP (2005=100) c iu chnh theochu k, Ngn hng Trung ng Uruguay GDP nm 1997 c iu chnh theochu k, Ngn hng trung ng Venezuela
Cung tin t - Money supply: D liu c la chn t Datastream. i vi mt vi quc gia, tin c s c s dng. Nhng quc gia khc, M1 c s dung. Nu d liu nguyn gc khng c iu chnh, chui d liu c iu chnh theochu k bng vic s dng phng php Census X-12. Ngun d liu da trn cc quc gia c ly nh sau: Argentina Brazil Bulgaria Chile China Colombia Czech Republic Estonia Hungary India Indonesia Israel Latvia Lithuania Malaysia Mexico Peru Philippines Poland Romania Singapore South Africa South Korea : Tin c s,IFS. : Tin c s iu chnh theochu k, IFS. : Tin M1 (Banking Survey), IFS. : Tin M1, IFS. : Tin Supply, People Bank of China. : Tin M1 (Banking Survey), IFS. : Tin M1 (Banking Survey), IFS. : Tin M1 (Banking Survey),(iu chnh theochu k), IFS. : Monetary Base, IFS. : Tin M1 (Banking Survey), IFS. : Tin M1 (Banking Survey) (iu chnh theochu k), IFS. : Tin M1 (iu chnh theochu k), IFS. : Tin M1 (Banking Survey) (iu chnh theochu k), IFS. : Tin M1 (Banking Survey) (iu chnh theochu k), IFS. : Tin M1, (iu chnh theochu k), IFS. : Tin M1 (Banking Survey) (iu chnh theochu k), IFS. : Tin supply, IFS. : Tin M1 (Banking Survey) (iu chnh theochu k), IFS. : Tin M1, IMF, International Financial Statistics (IFS). : Tin M1 (Banking Survey) (iu chnh theochu k), IFS. : Tin M1 (Banking Survey) (iu chnh theochu k), IFS. : Tin M1, IFS. : Tin M1 (iu chnh theochu k), IFS. 3
Taiwan Thailand Turkey Uruguay Venezuela
: Tin supply, Bank Central of China. : Tin M1 (Banking Survey), IFS. : Tin M1 (Banking Survey) (iu chnh theochu k), IFS. : Tin M1 (Banking Survey)(iu chnh theochu k), IFS. : Tin M1 (Banking Survey)(iu chnh theochu k), IFS.
T gi hi oi - Exchange rate: D liu c la chn t Datastream. Thi gian bnh qun tu gi hi oi song phng vi ng la M c s dung. i vi cc nc, ngoi tr i loan, d liu c ly t IFS ca IMF. i Loan ly d liu t IFOWorld Economic Survey (WES). Consumer Price Index: D liu c la chn t Datastream. Tt c cc quc gia, ngoi tr Trung Quc, CPI (2000=100) c ly t IFS ca IMF. Trung Quc, CPI hng thng ly t OECD v c s dng cu trc CPI theo qu Tt c cc chui trn c iu chnh theochu k bng phng php Census X-12. Import Price Index: D liu c la chn t Datastream. Ch s gi nhp khu c nhn mnh trong ng ni t . Tt c cc chui trn c iu chnh theochu k bng phng php Census X-12. Ngun d liu ca cc quc gia ly theo cc ngun: CHI TIT : Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi.Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Brazil : Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Bulgaria : Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 1995). Gi tr v khi lng nhp khu ly t National Statistics Institute (Bulgaria) and Eurostat . Chile : Ch s gi nhp khu (2003=100), NHTW Chile. Colombia : Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Czech Republic: Ch s gi nhp khu (2005=100), Van phng Thng k Cng ho Czech. Estonia : Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 1995). D liu c ly t Cc thng k Estonia Hungary : Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. India : Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 1990). D liu c ly t OECD. Indonesia : Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 2000). D liu c ly t OECD. Israel : Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Latvia : Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Lithuania : Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 2000). D liu c ly t Cc thng k Lithuania. Malaysia : Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 2000). D liu c ly t Cc thng k (Malaysia). Argentina 4
: Ch s nhp khu theo qu c tnh ton bng ch s gi nhp khu hng thng (1980=100) ly t Ngn hng Trung ung Mexic. Peru : Ch s nhp khu theo qu c tnh ton ch s gi nhp khu trung hng thng (1994=100) t Ngn hng Trung ng Reserva (Peru). Philippines : Ch s nhp khu l gi tr nhp khu n v theo la M (2000=100) ly t IFS nhn vi t gi . Poland : Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Singapore : Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. South Africa : Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi.. South Korea : Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Taiwan : Ch s gi nhp khu theo qu l gi tr trung bnh ca ch s gi nhp khu theo thng (hng ho sn suaastt) (2001=100) ly t Directorate General of Budget, Accounting and Statistics (DGBAS). Thailand :Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Turkey :Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Venezuela : Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Mexico Producer Price Index: D liu c la chn t Datastream. Tt c cc nc ngoi tr i Loan v Th Nh K, Ch s gi sn xut c ly t IFS ca IMF. i vi i Loan ch s gi theo qu l gi tr trung bnh hng thng ca ch s gi sn lng (2006 =100) c ly t Taiwans Directorate General of Budget, Accounting and Statistics. i vi Th Nh K, d liu qu c ly t Turkeys National Institute of Statistics. Ghi ch: Cung ng tin t, gi tt l cung tin, ch lng cung cp tin t trong nn kinh t nhm p ng nhu cu mua hng ha, dch v, ti sn, v.v... ca cc c nhn (h gia nh) v doanh nghip (khng k cc t chc tn dng). M0: tng lng tin mt. M0 cn c gi l tin c s hoc tin hp ( Anh). M1: bng tng lng tin mt (M0) v tin m cc ngn hng thng mi gi ti ngn hng trung ng. M1 cn c gi l ng tin mnh. M2: bng M1 cng vi chun t (tit gi tit kim c k hn). M3: bng M2 cng vi tt c cc khon tit kim khc gi ti cc t chc tn dng. M4 ( Anh): bng M0 cng vi tin trong ti khon cc loi. Tnh thanh khon theo ngha rng: bng M3 cng vi cc tri phiu v cc khon u t tn thc.
PH LC 7 DANH SCH MT S BI NGHIN CU TRC Y STT NM TIU GC Arellano, J. and O. Bover. 1995.Another Look at the 1 1995 Instrumental Variable Estimation of Error-Components model Journal of Econometrics 68 (1): 29-51. Ball, L. and N. Sheridan. 2006.Does Inflation Targeting Matter? In Bernanke, Ben S. and Michael Woodford (eds.) 2 2006 The Inflation-Targeting Debate (National Bureau of Economic Research Studies in Income and Wealth) The Inflation- Targeting Debate, University of Chicago Press (2005). Banerjee, A., Marcellino, M., and Osbat, C. 2005. Testing 3 2005 for PPP: Should we use panel methods? Empirical Economics 30 (1): 77-91. Bernanke, B. and F. Mishkin. 1997.Inflation Targeting: A 4 1997 New Framework of Monetary Policy? Journal of Economic Perspectives 11 (2): 97-116. 5 2002 Burstein, A., M. Eichenbaum and S. Rebelo. 2002.Why TIU DCH Mt ci nhn khc v M hnh cng c c lng bin ca li thnh phn trch tp ch Kinh t (Journal of Econometrics): 29 51 ca Arellano,J v O.Bover 1995.
C phi lm pht mc tiu l vn ? ca Ball, L v N.Sheridan 2006. Ti Bernanke, Ben.S v Micheal Woodford. Tranh lun v lm pht mc tiu (Nghin cu kinh t quc gi v thu nhp v s giu c). Tranh lun v lm pht mc tiu, i hc Chicago. (2005). Tc gi Ball, L. v N. Sheridan. 2006.
Kim chng v ngang gi sc mua PPP: Chng ta c nn s dng Phng php bng iu khin ? Thc nghim kinh t 30 (1): 77 91 ca Banerjee,A., Marcellino, M., v Osbat, C. 2005. Lm pht mc tiu: Nn tng mi ca Chnh sch tin t ? ca Bernanke, B. v F. Mishkin 1997, Tp ch Trin vng kinh t 11 (2): 97 116. Ti sao t l lm pht thp sau khi ph gi ln ? ca tc gi
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Are Rates of Inflation So Low After Large Devaluations? NBER Working Paper 8748, National Bureau of Economic Research. . 2005.Large Devaluation and the Real 6 2005 Exchange Rate Journal of Political Economy 113 (4): 742-84. Campa, J.M. and L.S. Goldberg. 2008. Pass-Through of 7 2008 Exchange Rates to Consumption Prices: What has Changed and Why? NBERWorking Papers 12547, National Bureau of Economic Research. . 2010. The Sensitivity of the CPI to Exchange 8 2010 Rates: Distribution Margins, Imported Inputs, and Trade Exposure The Review of Economics and Statistics 92 (2):392-407. Choudrhi, E.U. and D.S. Hakura. 2006. Exchange Rate 9 2006 Pass-Through to Domestic Prices: Does Inflationary Environment Matter? Journal of InternationalMoney and Finance 25: 614-639. 10 2006 Faruqee, H., 2006.Exchange Rate Pass-Through in the
Burstein, A., M. Eichenbaum v S. Rebelo. 2002 trong nghin cu ca NBER, Vn phng nghin cu kinh t quc gi
Ph gi ln v T gi hi oi thc, Tp ch chnh sch kinh t 113 (4): 742-84 ca Burstein, A., M. Eichenbaum v S. Rebelo. 2005
Tc ng truyn dn ca t gi ti gi c tiu dng: Ci g thay i v ti sao? ca Campa, J.M. v L.S. Goldberg. 2008 trong nghin cu NBER, Vn phng nghin cu kinh t quc gia.
S nhy cm ca CPI i vi t gi hi oi: Phn phi li nhun, u vo nhp khu v Xc tin thng mi ca Campa, J.M. v L.S. Goldberg. 2010; Tp ch Kinh t v Thng k 92 (2): 392-407. Truyn dn t gi hi oi vi gi c hng trong nc: C phi lm pht l nguyn nhn ca Choudrhi, E.U. v D.S. Hakura. 2006 trong Tp ch Ti chnh v tin t quc t 25: 614 639. Tc ng truyn dn t gi trong khu vc Chu u EURO
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Euro Area IMF Staff Papers 53 (1): 63-88. Gagnon, J.E. and J. Ihrig. 2001.Monetary Policy and 11 2001 Exchange Rate Passthrough Board of Governors of Federal Reserve System, International Finance Discussion Papers n#704. Goncalves, C. E. S. and J. M. Salles. 2008.Inflation 12 2008 Targeting in Emerging Economies: What Do the Data Say? Journal of Development Economics 85 (1-2): 312-18. Hahn, E. 2003.Pass-Through of External Shocks to Euro 13 2003 Area Inflation European Central Bank Working Paper, n#243. Huang, X. 2008. Panel vector autoregression under cross14 2008 sectional dependence, Econometrics Journal, 11 (2):219243. Ilzetzki,E., C.M. Reinhart and K.S. Rogoff. 2011. The 15 2011 Country Chronologies and Background Material to Exchange Rate Arrangements into the 21st Century: Will the Anchor Currency Hold? 16 2007 Ito, T. and K. Sato. 2007. Exchange Rate Pass-Through
ca Faruqee, H., 2006, nghin cu ca IMF 53 (1): 63-88 Chnh sch tin t v truyn dn t gi ca Gagnon, J.E. v J. Ihrig. 2001, Hi ng Thng c D tr lin bang, bi tham lun Hi tho Ti chnh quc t
Lm pht mc tiu ti cc nc ang pht trin: D liu ni ln iu g ? Goncalves, C. E. S. v J. M. Salles. 2008, Tp ch Pht trin kinh t 85 (1-2): 312-18. Truyn dn ca khng hong bn ngoi i vi lm pht khu vc Chu u ca Hahn, E. 2003, bi nghin ca ca Ngn hng Trung ng Chu u n#243. M hnh vector t hi quy di yu t ph thuc ca Huang, X. 2008. Tp ch Ton kinh t, 11 (2): 219-243
Nin gim quc gia v D liu nn i vi t gi tho thun trong th k 21: S neo gi tin t ? Ilzetzki,E., C.M. Reinhart v K.S. Rogoff. 2011.
Truyn dn t gi v lm pht quc gia: Mt s so snh gia

3
and Domestic Inflation: A comparison between East Asia and Latin American Countries Research institute of Economy, Trade and Industry, RIETI Discussion Papers n#07040. . 2008.Exchange Rate Changes and Inflation in 17 2008 Post-Crisis Asian Economics: VAR Analysis of Exchange Rate Pass-Through Journal of Money, Banking and Credit 40 (7): 1407-38. Levin, A., C.-F. Lin, and C.-S. J. Chu. 2002. Unit root 18 2002 tests in panel data: Asymptotic and finite-sample properties Journal of Econometrics 108: 1-24. Love, I. 2001. Estimating Panel-Data Autoregressions, 19 2001 Package of Programs for Stata. Columbia University, Mimeo. Love, I. and L. Zicchino. 2006.Financial Development 20 2006 and Dynamic Investment Behavior: Evidence from a Panel VAR Quarterly Review of Economics and Finance 46 (2): 190-210. 21 2005 Lutkepohl, H. 2005. New Introduction to Multiple Time
cc nc ng Nam v Chu M Latin ca Ito, T. and K. Sato. 2007, nghin cu kinh t, Thung mi v cng nghip, Ti liu tho lun RIETI.
Thay i t gi v lm pht trong cuc khng hong kinh t Chu : Phn tch VAR v truyn dn t gi ca Ito, T. and K. Sato. 2008; Tp ch tin t, Ngn hng v Tn dng 40 (7): 140738. Nhng kim tra v n v gc trong bng d liu: tim cn v hu hn mu ca Levin, A., C.-F. Lin, v C.-S. J. Chu. 2002.; tp ch kinh t 108: 1-24
c lng Bng iu khin d liu t hi qui, gi chng trnh cho Stata ca Love, I. 2001; i hc Columbia
Pht trin ti chnh v hnh vi u t nng ng: bng chng t bng iu khin hi quy t ng ca Love, I. v L. Zicchino. 2006; Quarterly Review of Economics and Finance 46 (2): 190210 Lutkepohl, H. 2005, Gii thiu mi v phn tch dng thi gian
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Series Analysis. Springer Lyhagen, J. 2008. Why not use standard panel unit root test for testing PPP Economics Bulletin 3 (26): 1-11. Maddala, G.S. and S., Wu. 1999.A Comparative Study of 22 1999 Unit Root Tests With Panel Data and A New Simple Test Oxford Bulletin of Economics and Statistics 61 (0): 631-52. McCarthy, J. 2000.Pass-Through of Exchange Rates and 23 2000 Import Prices to Domestic Inflation in Some Industrialized Economies Federal Reserve Bank of New York Staff Reports n#111. Mishkin, F. and K. Schmidt-Hebbel. 2007. Does Inflation 24 2007 Targeting Make a Difference? National Bureau of Economic Research, NBER Working Paper 12876. Mutl, J. 2002. Panel var models with spatial dependence Institute for Advanced Studies Economics Series No 237. Reinhart, C.M. and K.S. Rogoff. 2004. The Modern 26 2004 History of Exchange Rate Arrangements: A Reinterpretation Quarterly Journal of Economics 119 (1): 1-48.
a dng. Ti sao khng s dng bng iu khin kim tra tiu chun gc n v cho cc nghim PPP ca Springer Lyhagen, J. 2008; Economics Bulletin 3 (26): 1-11.
Mt s so snh tiu chun n v gc kim tra vi bng d liu v mt kim tra n gin mi
Truyn dn t gi v gi nhp khu i vi lm pht quc gia trong mt vi nn kinh t cng nghip ca McCarthy, J. 2000, bo co ca Ngn hng D tr lin bang New York n#111.
C phi lm pht mc tiu to nn s khc bit ? ca Mishkin, F. and K. Schmidt-Hebbel. 2007, Vn phng nghin cu Kinh t quc gia, bi nghin cu ca NBER 12876. Bng iu khin m hnh VAR phc thuc khng gian ca Mutl, J. 2002, Vin Nghin cu Kinh t nng cao, bi s 237
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2002
Lch s hin i ca t gi tho thun: Mt gii thch li ca Reinhart, C.M. v K.S. Rogoff. 2004, tp ch kinh t qu 119 (1): 1-48
Rose, A.K. 2007. A Stable International Monetary 27 2007 System Emerges: Inflation Targeting is Bretton Woods, Reversed Journal of International Money and Finance 26 (5): 663-681. Svensson, L.E. 1997.Inflation Forecast Targeting: 28 1997 Implementing and Monitoring Inflation Targets European Economic Review 41 (6): 111-46. Taylor, J. 2000. Low Inflation, Pass-Through, and the 29 2000 Pricing Power of Firms European Economic Review 44 (7): 1389-1408. Wagner, M. 2008. On PPP, unit roots and panels Empirical Economics 35 (2): 229-249.
Mt s n nh h thng tin t quc t mi ni: Lm pht mc tiu l Bretton Woods, v ngc li ca Rose, A.K. 2007., Tp ch ti chnh v tin t quc t 26 (5):663-681.
D on lm pht mc tiu: t chc thc hin v gim st lm pht mc tiu ca Svensson, L.E. 1997, European Economic Review 41 (6): 111-46. Lm pht thp, truyn dn v Sc mnh gi c ca cc cng ty ca Taylor, J. 2000; European Economic Review 44 (7): 1389-1408. Ngang gi sc mua PPP, gc n v v bng iu khin ca Wagner, M. 2008, Thc nghim kinh t 35 (2): 229-249.
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B GIO DC V O TO TRNG I HC KINH T TP.

HCM VIN O TO SAU I HC

Nhn xt ca Ging vin:

DANH SCH NHM THC HIN

TI LIU THAM KHO

Tiu lun: Lm pht mc tiu

GVHD: PGS.TS Nguyn Th Ngc Trang

Tiu lun: Lm pht mc tiu

GVHD: PGS.TS Nguyn Th Ngc Trang

Tiu lun: Lm pht mc tiu

GVHD: PGS.TS Nguyn Th Ngc Trang

Tiu lun: Lm pht mc tiu

GVHD: PGS.TS Nguyn Th Ngc Trang

Tiu lun: Lm pht mc tiu

GVHD: PGS.TS Nguyn Th Ngc Trang

Tiu lun: Lm pht mc tiu

GVHD: PGS.TS Nguyn Th Ngc Trang

Tiu lun: Lm pht mc tiu

GVHD: PGS.TS Nguyn Th Ngc Trang

Tiu lun: Lm pht mc tiu

GVHD: PGS.TS Nguyn Th Ngc Trang

Tiu lun: Lm pht mc tiu

GVHD: PGS.TS Nguyn Th Ngc Trang

yt ( y1t , y2t , ..., ynt )' ,

(0) l mt sai s trung bnh l zero

By gi, gi s chng ta c hai bin (k =2) v tr l 1 (p=1) th VAR (1) lc ny l

T (2) v (3) ta bin i n v dng ma trn nh sau:

n gin hn, ta vit gn li l

(4) (y chnh l M hnh VAR cu trc (SVAR: Structural VAR) hay m

i.i.d vit tt ca Independent and identically distributed random variables

Tiu lun: Lm pht mc tiu

GVHD: PGS.TS Nguyn Th Ngc Trang

(5). y chnh l ma trn dng chun ca VAR (UVAR:

unstructured VAR) Hay

(6), vit tch ra thnh h 2 phng trnh nh sau

Bc tip theo l bin gi tr

Suy lun ra hm s y, ta bt u t phng trnh (5), bin i thnh:

et (vi Xt-1 = L Xt, L l ma trn h s) I A1 L

1 a11 a12 A 0 a 21 1 a 22 1 a11 a12 a 21 1 a 22

(1 a11 )(1 a 22 ) a 21 a12

1 (1 a 22 )a10 a 21 a20 y a12 a10 (1 a22 )a 20

phi nm ngoi (outside) ca vng n v. Vi

a11 a12 a 21 a22

Tiu lun: Lm pht mc tiu

GVHD: PGS.TS Nguyn Th Ngc Trang

Lc ny, phng trnh (5) tr thnh

a12 e1,t i a22 e2,t i

. M phng trnh (7) ta c

(vi 1 b21b12 ), thay vo (8) cho ta phng trnh hm s y l:

1 Ai 1 b12 b21 b21

Vi k tng lai (xt 1 k) yt 1 v z t 1 :

Tiu lun: Lm pht mc tiu

GVHD: PGS.TS Nguyn Th Ngc Trang

By gi chng ta nhn rng gi tr i (t 0 n ) ln. + Vi i = 1 th

Suy ra, gi tr d bo trong k 1 l : xt 1 Ext 1 + Tng t vi i = 2 th: xt 2 Ext 2 + Vi i = 3 th: xt 3 Ext 3

By gi, xt y, nhn t u tin trong ma trn x. Gi tr d bo ca n l

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

proportion of var iance due to own shock Decreases over time

proportion of var iance due to a z shock Grows over time

Cch din gii 220: Vi m hnh t hi quy VAR(p), p tr ta c , vit gn l Vi

Tiu lun: Lm pht mc tiu

GVHD: PGS.TS Nguyn Th Ngc Trang

Gi tr ca bin s d bo ca nhn t j c tnh l