Mối quan hệ giữa kiều hối, phát triển tài chính và tăng trưởng

B© GIAO DIjC VA DAO T@O TRY©NG D@I KINH TE TP ECM H©C NGUYEN VAN TUYEN MOI QUAN H,E GI‘YA KIEU HOI, PIT/IT TRIEN TAI CHINH VA TANG TRIfONG Chuyén nganh: Tiii chinh - Ngan hiing Ma so: 60340201 LUAN VAN THAC SI KINII TE NGUfiI HUNG DAN KHOA HQC: GIAO SP TIN NGOC THO TP Ho Chi Minh — Nam 2013 L©I CAM DOAN Tfii xin cam doan rang luan vén “Moi quan he giiia kiéu hoi, ph:it trién tai chinh va tiing truéng” la cfing trinh nghién ctiu cua riéng tfii Dii li(u dupc su dqng lua(n van la trung thuc dupc thu thap In nhfmg nguon déng tin cay v:i cac két quit trinh bay lua(n van chua dupc cfing bo tai bat cfing trinh nghién ciiu nao truoc day Néu ph:it hi(n co bat gian la)n nao, Hi xin chiu to n bo trach nhi(m truoc Hoi dong TP.HCM, th:ing 10 nam 2013 Tire gia lu§n viin Nguyen Vii n Tuyen MIjC LtjC Trang phu bra Léi cam doan Danh muc cum tii viét tat Danh muc cac bring, biéu Tém tat Trang 1 Gi6i thi(u Trang 2 Tong quan c:ie két quit nghién elm truoc day Trang 14 Phuong ph:ip nghién ctru Trang 27 3.1 Du li(u Trang 27 3.2 Phuong ph:ip nghién elm Trang 37 Noi dung va cac két quit nghién cttu Trang 42 Két lua)n Trang 54 DAI$ H MtJC CUM TY VIET TAT Tén day dfi tién g Anh Tén dfiy dfi tiéng Vi(t Autoregressive Distributed Phuong ph:ip phfin phoi tré Lag hoi quy Balance of Payment Statistics Yearbook Nién gi:inn thong ké c:in can to:in CPI Consumer Price Index Chi so gi:i tiéu diing FDI Foreign Direct Investment FEM Fixed Effects Model ARDL BOPSY Gross Domestic Product Generalized Method of Moments Phuong ph:ip u‹ic luong GMM IMF International Monetary Fund Quy tién t( quoc té ODA Official Development Assistance Ho tro ph:it trién chinh thuc OLS Ordinary Least Squares Phuong ph:ip binh phuong nho nhat PFMOLS Panel Fully Modified Ordinary Least Squares Phuong ph:ip binh phuong nho nhat voi dli li(u bang duoc hi(u chinh hoan toén REM Random Effects Model GMM System Generalized Method of Phuong phiip uoc lupng Moments SGMM um viét tit VECM • Tén diy dfi tiéng Anh Tén diy du tiéng Vi(t United Nations Conference on Trade and Development Dién dan thuong mai va phiit trién ctia Lien Hi(p Quoc Var Error Correction Model Méi hinh vector hi(u chinh sai World Bank WDI World Development Indicators C:ic chi so ph:it trién the gioi DANH MtJC CAC BANG, BIEU IFinh I.I: Top 10 quoc gia dang phiit trién co nguon kiéu hoi nhat ITinh 1.2: Top 10 quoc gia cé› 1( kiéu hoi GDP nhat ITinh 1.3: Kiéu hoi va ciic nguon von khac chay vao cac nuoc dang phiit trién Téim tii t (Abstract) Kiéu hoi dé›ng vai trfi c:ing quan trpng tong so ciic dong von quoc té nhung moi quan h( gitia kiéu hoi va tang tru6ng van chua dupc nghién mot c:ich day dti va chi tiét Do dfi, bai nghién ctiu sé di sau tim hiéu ve ' mot nhiing mol lien h( gitia kiéu hoi v:i tang truéng, da)c bi(t lit nghién ctiu ve ph:it trién ctia linh vuc tai chinh dia phuong anh huéng den kha nang t(an dqng kiéu hoi cua mot quoc gia nhu the nao Nfii ciich kh:ie mqc dich cua bai nghién c u la tim hiéu xem phiit trién tai chinh énh huéng den su t:ic dong ciia kiéu hoi den ting truéng nhu the nao Lua)n st1 dung 40 quoc gia dang ph:it trién cé› thu nha)p thap va trung binh, két qu cho thay rang kiéu hoi thuc day tang truéng o nhiing quoc gia co h( thong tai chinh phat trién thong qua vi(c cung cap mot ciich thuc dau tu tai chinh khiic va giiip quoc gia dé› vupt qua nhiing kho khan khoiin Cac quoc gia dang phiit trién thuéing ga)p khé› khén vi(c vay von, do kiéu hoi co the gop phan bo sung cho sir thieu phiit trién Hi chinh va thuc day tang tru6ng Moi quan h( n:iy kiém soiit tinh noi sinh ctia kiéu hoi va phat trién tai chinh bang cach std dung mo hinh SGMM (System Generalized Method of Moments), va moi quan h( nity cling khfing phu thuoc vao bi(n ph:ip ph:it trién tai chinh cu the duoc std dung Nghién ciing dna nhting dan chting chting minh rang kiéu hoi la mot kénh dau tu ma cé› the thuc day tang truéng, da)c bi(t la ma linh vuc tai chinh van chua the d:ip King dupc nhu cau cua nguc i dén Tu khé›a: Kiéu hoi, ph:it trién tai chinh va tang truéng Gi‹ii thi(u (Introduction) Kiéu hoi cua nhiing nguéi di cu quoc té chinh la nguon tai chinh vi(n tro tu bén ngoai léin nhat doi voi cac quoc gia dang phiit trién, chi dting sau Dau In trpc tiép nuoc ngoai (FDI) Theo uoc tinh ctia Ngan héng The gioi, kifiu hoi dat 479 USD nam 2011, dé› 381 USD duoc chuyén sang c:ie nué c dang phiit trién, tuong Eng voi khoang 215 tri(u lao dong di en trén toén the gioi Nam 2012, lupng kiéu hoi chinh thuc vao ciic nuoc dang ph:it trién uoc tinh dat 406 USD, tiing khoiing 6.56% so véi ném 2011 Dong kiéu hoi vpng sé tang 8% nam 2013, 10% n in 2014 va dat 534 dfi nam 2015 (theo Migration and Development Brief 19 — The World Bank 20/11/2012) Ciic nuoc dang phiit trién hi(n ding dau ve nguon kiéu hoi chay vao, gom nhiing quoc gia nhu: Do, Trung Quoc, Philippines, Mexico, Nigeria, theo so li(u thong ké uéic tinh ném 2012 cua World Bank /L/ $ 6i//iort, 2OJJe/ 70 66 24 ITinh 1.1 Top 10 quoc gia dang ph:it trién co nguon kiéu hoi nhat (Nguon: Migration and Development Brief 19 — The World Bank 20/11/2012) Doi voi mot so nuoc tiép nha( n, kiéu hoi cé› the chiém den mot phan ba GDP cua hp C:ic nuoc dfmg dau ve ti 1( kiéu hoi GDP bao gom cac nén kinh té nhé› nhu Tajikistan (47%), Liberia (31%), Kyrgyz Republic (29%), va Lesotho (27%) theo so 1i(u thong ké vao nam 2011 Ci nhfmg quoc gia kh:ic, thf›ng thuéng kiéu hoi chiém khoéng hon 10% GDP 48 dong Hi chinh khac Mot kiéu hoi duqc gui ve nuoc mpt c:ich chinh quy , thong qua h( thong ngén hang, sé thuc day cac hoat dong ngan hfing hoat dcing tich cuc hon Nguoi nhan tién kiéu hoi cling cé› dong cc de thong qua ciic hoat dpng ngan hang tién hinh vi(c giao dich kiéu hoi dviac an toan va thuan loi Sau dfi, co the str dung c:ic cong cu ciia Deposits de gtii tién tiét ki(m, lam cho ciic hoat dcing tai chinh ph:it trién hon, va cuoi cling la lam tang tru6ng kinh té nuoc Lan lupt dna timg bién dai di(n cho phiit trién tai chinh vao mo hinh hoi quy Tuong nhu qu:i trinh dira bién Deposits viio mo hinh, tiep theo ta thay bang bién Loans, két qua hoi quy the hi(n nhu sau: Dynamic panel-data estimation, two-step system GMM , Tree vari abJ e : year Nueber of nstruoents = J r(10, J7) = 64 J1 Prob > F = OOO 1ngdpgroxth Coef 8umber of groups = eJ n = corrected Std Err t P> |t | [95X conf Interva1 J l ni ngdpgro-h ) govfi sca)bal 1ni nvgdp J nyearedu 36572ZS -.2407609 0135519 66009/9 - 1850006 1681737 2090982 0164655 28/3119 4143256 2.17 -1.1J 0.82 1.60 -0 45 0.036 0.257 0.416 118 618 0249752 -.6644342 -.Ol98l05 - 1220919 -1.024104 («f)ation -.0026)73 0115)2A -0.23 0.819 -.0260647 -,0017229 ,O12l64l 0012275 0009851 -0.14 1.25 O.8B8 0.221 -,O26J6D8 -.0007686 IôĐ4 l oansgdp remgdpJoan-p - 018888 37 Obs per group: 0251009 -0 76 0.457 -.0697472 1.012288 6141029 0319712 ,0Z2924 003Z236 Arel l8r0-80hd ttst ter ARf U ir fi rst differeites: z = -?.41 Pr › z = 0.01 srellaio-Bond test for SP(2) in first differences: z = 0.71 Pr › z = 0.414 Nais4i t£st of overid restri tti0is: clit(15) = 17.48 Proh › tli2 = 291 B:ing 4.3 Hoi quy voi Loans la bién dai di(n cho ph:it trién t:ii chinh Tat cii c:ic bién déu khfing co y nghia thong ké, ngoai trir bién tré cua bién tang truéng lningdpgrowth Loans la bién luéng muc ma khu vuc tu nhan dua vao ngiln hang de tai trp cho tiéu diing, von luu dong va dau tu Mo hinh SGMM cho két quit khfing cé› y nghia thong ké Diéu cé› the giiii thich la kiéu hoi thuc su la cé› lien quan den linh vpc ngén hiing nhieu hon la linh vuc tu nhan bcii cac hoat dong gtii va nhan kiéu hoi déu phan thong qua ciic giao dich ng:in héng Do 49 dfi, ca chting ta tao bién tuong tire tuong t:ic giiia kiéu hoi v:i Loans thi y nghia cua mo hinh ciing khfing duoc cai thi(n Them niia, tai c:ic nuoc cé› thu nh(ap thap va trung binh thi cé› h( thong tai chinh chua duoc phiit trién, do cite hoat dong tai trc, tin dung cho tiéu dung o khu vpc tu nhiin chua phiit trién mot c:ich ro rang Tuong t:ic giiia kiéu hoi va • Loans cho két qua khfing cé› y nghia thong ké nén chilng ta khfing the két luan duoc ve sir tuong tac ctia kiéu hoi ta’ng truéng thong qua yéu to dai di(n cho " ph:it trién t:ii chinh Yéu to thu dai di(n cho phiit trién tai chinh la Credit Credit l:i tin dung xét cho ca khu vpc nha nuoc va tu nhén dupc cung cap boi h( thong ng n h:ing Két qua chay mo hinh hoi quy nhu bring 4.4 bén duoi: Dynamic pane)-data estimation, two-step system cMM Group variable: countryno Numbe of obs Tise varJ abJ e : year F(10, J7) PF0b > F 1npopgro×th = sur›ber of groups ?4 12 = 30 = 37 avg • 0.000 -.3909887 = 16 eax = 24JJ681 Are11ano-eond test for aR(11 in fi rst Are1 J ano-eond test for AR(2) J r fJ rst di 706J486 1061742 1?0 -.O5O55J) O2ZZ4Z1 -1.82 O.0ZZ -.004808? 0OJ885I -1 O.218 OO0ZZ9Z OO043Z3 1.78 0.083 16 -.1O6ZZ6 -.O1Z7433 -.OOO1O68 O0566J5 OO3OO7 OO166S2 z= -2.39 PF›z= O.017 z= 72 Pr › z - 0,470 fferences Naissi test of ove ri , rsstrictiois: tin(11) • 1J.4$ éro6 › clit = 0.191 Bang 4.4 Hoi quy voi Credit la bién dat di(n cho ph:it trién tai chinh Hau hét cac bién kiém so:it déu khfing cé› y nghia thong ké Bién kiéu hoi remgdp va bién tuong I:ic remgdpcreditgdp cé› y nghia thong ké o muc 10% XM AR (1) value '0›017 < 0.05 H Bac bo gia thiét Ho, tuc la co tuong quan bac AR (2) GO Pp al ue '0.47 > 0.05 H Chap nh(an giii thiét Ho, co nghia la khfing co tu tuong quan b(ac 51 Dynamic paneJ-data estimation, two-step system flMM Group vari able: countryno Number of obs Nuober of nstrurxents - 25 F(10, 37) = 46 15 Obs per g coup: ntin = avg = TJ ate va rd abJ e : year Prob » F ' - OOO J ngdpgrowth Coef .3483566 -.5045329 0152638 637446 -.3123985 0721435 -.0102897 -.0723613 — 0102937 ]ningdpgr h J npopqrowth govfl scaJbaJ J nd nvqdp nyearedu nopenness inflation remgdp ix2qdp remgdpm2gdp »rel I anoBond A red l anoBond Nurrbe r of groups 0010075 test test = 302 = 37 16 16 max - Corrected Std Err .1593412 2509443 0203261 338083 4499514 158978 0120g9 031294 0057849 000461 t 2.19 -2.01 0.75 1.89 -0.69 0.45 -0.85 -2.31 —1 78 Z.19 P›|t| 0.035 0.052 0.457 0.067 0.492 0.653 0.400 0.026 083 0.035 lirst differences: z = n IIrst differences: z = Hansen test of overi d restrictions: ch)2(15) = 17.35 [95¾ Conf Interval] 0255005 -1.012994 -.0259208 -.0475751 -1.224087 -.2499766 -.0347844 -.1357689 — 0220151 0000734 -2.41 0.64 6712126 0039285 0564483 1.322467 5992896 3942636 0142051 - 0089536 0014278 0019417 Pr > z = Pr > z —— 0.016 0.519 Prob » chi = 0.299 Bang 4.5 Hoi quy voi M2 la bién dai di(n cho phat trién tai chinh Theo nhu vpng cua bai nghién cilu, kiéu hoi sé giai quyét tot cite van de ve khoan cho ciic quoc gia dang phat trién Két qua chay hoi quy phan :inh • dfing nhfmg vpng Voi muc y nghia 10% thi c:ic bién remgdp, m2gdp, remgdpm2gdp va ca c:ic bién kiém soat nhu lninvgdp, lnpopgrowth ciing déu co y nghia thong ké Xem xét cac yéu to AR (1), AR (2) hay Hansen test déu the hi(n rang mii hinh la phii hpp Ciing giong nhu cac bién trén, dti dau cua , kiéu hoi hay bién ph:it trién I:ii chinh déu ngupc dau so vcii ting truéng, nhurig ' két quit ciing phiin anh mot diéu rang, o cac nuoc dang phat trién, kiéu hoi chua thirc su t:ic do( den tang truong Du rang kieu hoi co tac dpng den phat ng trién Hi chinh nhung van chua du manh mé de kich thich su tang truéng cua nén kinh té Khi xem xét nhiing nghién truoc day voi bo dti li(u duoc xay d g cho c:ic quoc gia khfing phan bi(t thu nhap cao thap, dang phat trién hay da phiit trién, ta • vpng rang dfii voi cac nuoc dang phiit trién céi thu nhap thap, trung binh ma chung ta dang xét mau kiéu hoi ciing sé cé› I:ic dong tich cuc den tang truéing Tuy nhién dna lan lupt yéu to dai di(n cho tang truéng viio mo hinh thi nhat co Loans la khfing co y nghia thong ké, yéu to cfin lai du cé› y nghia thong ké nhung déu chi rang, kiéu hoi khfing co su thuc day tang truéng init chi thong qua sir tuong t:ic voi cac yéu to phiit trién tai chinh gé›p phan thuc day them nguon kiéu hoi va cac dong von khac Kiéu hoi khfing co chuc nang thay the c:ic bién ph:it trién tai chinh su tang truéng cua quoc gia Ket lu§n (Conclusions) 55 cite quoc gia dang ph:it trién thi bai nghién cif u ciing da phan nao tiep can , dupe gan hon voi nhfmg bang chtmg thirc nghi(m co tain kiéu hoi va phat trién Hi chinh t:ic dong den su thuc day tang truéng Mong rang voi nhfmg két qua thuc nghi(m thu dupc sé gop mot phan y nghia nao dé› vao nhfmg t:ii 1i(u tham khao nghién c u ve kiéu hoi TAI LIEU THAM KHAO Tiéng niroc ngoai: • Acosta, P A., Baerg, N R., and Mandelman, F S., 2010 Financial development, remittances, and real exchange rate appreciation Economic Review, 1-12 Adams, R H., and Page, J., 2005 Do international migration and remittances reduce poverty in developing countries? World Development, 33(10), 1645-1669 Aggarwal, R., Demirgiiq-Kunt, A., and Peria, M.S M., 2006 Do Worker' Remittances Promote Financial Development? World Bank Policy Research Paper Series, WBPR WP No.3975, The World Bank Aggarwal, R., Demirgiiq-Kunt, A., and Peria, M.S M., 2011 Do remittances promote financial development? Journal of Development Economics, 96(2), 255-264 Anyanwu, J C., and Erhijakpor, A.E 0., 2010 Do International Remittances Affect Poverty in Africa? * African Development Review, 22(l), 51-91 Arellano, M., and Bover, 0., 1995, Another Look at the InstrumentalVariable Estimation of Error-Components Models Journal of Econometrics, No 68, pp 29-52 Brown, R.P C., Carmignani, F., and Fayad, G., 2011 Migrants' Remittances and Financial Development Macro-and Micro-level Evidence ofa Perverse Relationship OxCarre Working Papers Chami, R., Fullenkamp C., and Jahjah S., 2003, Are Immigrant Remittance Flows a Source of Capital for Development? IMF Working Paper 03/189 (Washington: International Monetary Fund) Chowdhury, M B., 2011 Remittances fiow and financial development in Bangladesh Economic Modelling, 28(6), 2600-2608 10.Englama, A., 2009 The Economics of Remittances Theories and Issues Paper presented at the High-Level Seminar on International Remittances for Economic Development, Banjul, The Gambia 11.Esteves, R., and Khoudour-Castéras, D., 2011 Remittances, capital fiows and financial development during the mass migration period, 1870-1913 European Review of Economic History, 15(3), 443-474 12.Fayissa, B., and Nsiah, C., 2012 Financial Development and Remittances in Africa and the Americas A Panel Unit-Root Tests and Panel Cointegration Analysis Department of Economics and Finance Working Paper Series 03/2012 13.Gapen, M T., Barajas, A., Chami, R., Montiel, P., and Fullenkamp, C., 2009 Do workers’ remittances promote economic growth? International Monetary Fund 14.Giuliano, P., and Ruiz-Arranz, M., 2005 Remittances, financial development, and growth IMF Working Paper, WP/05/234 15 Giuliano, P., Remittances, and Ruiz-Arranz, M., 2009 financial development, and growth Journal of Development Economics, 90(1), 144- 152 16.Gupta, S., Pattillo, C A., and Wagh, S., 2009 Effect of remittances on poverty and financial development in Sub-Saharan Africa World Development, 37(1), 104-115 17.Hassan, M K., Sanchez, B., and Yu, J S., 2011 Financial development and economic growth New evidence from panel data The Quarterly Review of Economics and Finance, l(1), 88-104 18.Kumar, R R., 2011 Trade, Aid, Remittances and Financial Development The Case of Pakistan J-SAPS Volume 02, Number 01 19.La Porta, R., Lopez-De-Silanes, F., Shleifer, A., and Vishny, R., 1997 Legal determinants of external finance The Journal of Finance 52 (3), 1131— 1150 20 Murinde, V., 2012 Financial Development and Economic Growth.‘ Global and African Evidence Journal of African Economies, 21(suppl 1), i10-i56 21 Oke, B 0., Uadiale, M., and Okpala, P., 2011 Impact of Workers Remittances on Financial Development in Nigeria International Business Research, 4(4), 218-225 22.Rajan, R., and Subramanian, A., 2005 What undermines aid's impact on growth? IMF Working Paper, Vol 05/126 23 Sharif, B., Tufail, S and Amjad, S., 2013 Impact of Remittances on Financial Development A Case of Latin America and Caribbean Region Proceedings of 3rd International Conference on Business Management (ISBN: 978-969-9368-07-3) 24 World Bank., 20/11/2012 Migration and Development Brief 19 25 World Economic Forum., 2011 The Financial Development Report 2011 New York, USA.: World Economic Forum 26 Yang, D., 2006 International migration, remittances, and household investment Evidence from Philippine migrants’ exchange rate shocks National Bureau of Economic Research 27 Zhang, J., Wang, L., and Wang, S., 2012 Financial development and economic growth Recent evidence from China Journal of Comparative Economics Cite trang di(n tfr: Credit/GDP [online] Available at: [Accessed 13 September 2013] Deposits/GDP [online] Available at: [Accessed 20 September 2013] Deposits/GDP [online] Available at: [Accessed 13 September 2013] Fiscal Balance/GDP [onlineJ Available at: