Nghiên cứu hiệu quả các kênh truyền dẫn chính sách tiền tệ ở

BO GIAO DUC VA DAO TAO TRUCiNG DAI HOC KINH TE TP HCM LE VAN NGHIEN CIIU HI,EU QUA CAC KENH TRUVEN DAN CHINH SACH TIEN T¶ D VI¶T NAM Chuyén nganh : Tai chinh — Ngfi n hang Ma so : 60340201 TP HCM — NAM 2014 L€fI CAM DOAN Toi xin cam doan day la cong trinh nghién cu’u cua ca nhan toi, duoi su hu6ng dan khoa h9c cila TS Tran Thi Hai Ly Nhung noi dung nghien cuu va két qua nghién ctiu de tai la trung thuc, ciic so li(u phuc vu cho nghién cuu thi dang tin cay n ‹ie de dan, ac nguon khac nhau, déu dupc chu thich ro rang rh attu va kuem chfrng TP.Ido Chi Minh, thang 11 nam 2014 Tire gia • Le Van Lsi cam doan Muc luc .3 Danh muc chu viét tat Danh muc hinh ve Tom tat Chu'irng I: GiéJ thi(u .9 Chirirng 2: Khung ly thiiyét ve truyén dan chinh s:ich tién I( va két qua t ir c:ie nghién elm tru’érc day .13 Khung ly thuyét ve ciic kénh truyén dan chinh siich tién t( 13 2.1.1 Kenh lai suat truyén thong .13 1.2 Kenh ty gia 2.1.3 Kenh gia tai san 15 2.1.4 Kenh tin dung 16 2.2 Cac két qua nghién ciru tru’cic day ve truyen dan chinh sach tién I( .211 2.2.1 Truyén dan chinh sach tién t( tai cac nucic cong nghi(p 20 an cchhiinnhh sach tién te tai cac nuoc thu nhap thap 22 2.2.3 Truyén dan chinh siich tién I( ci Vi(t Nam 27 Chirirng 3: Phircrng ph:ip nghién elm va 3.1 Mo hinh vec-to hi(u chinh sai so (VECM) 29 3.2 Mé tadulieu Chirirng 4: Ket b ua nghién elm •• „ 34 4.1.1 Kiém d|nh tinh dimg cua chuoi dir lieu 34 1.2 Lua chpn dp tre thich hpp 35 4.1.4 d!nh cua mo hinh 39 Kiém d !nh tinh 4.2 Két gun uéc lupig 40 4.2.1 Két qua dong lien ket va hieu chinh sai so (ECM) 40 4.2.2 Ham phan ung xung .42 4.2.3 Phan phuong sai 50 Chirong 5: Thao lu)n két qua nghién cfru va tinh vfrng cfia mfi hinh SVAR „ ,., , , „ , , , , , 53 Danh muc tai lieu tham khao Phu luc 66 DANH MUC CH AIC VIET TAT : Akaike Information Criterion CPI Consumer Price Index FED : Federal Reserve System FPE : Akaike's Final Piediction Error Gross Domcstic Products : General Statistics Office of Viet HQ Nairi Hannan-Quinn Information Criterlon International Monetary , KPSS Fund Kwiatkowski—Phillips—Schmidt— Shin : Likelihood Ratio : Phillips-Perron Purchasing Power Parity : Schwarz Information Criterion UIP VAR VECM Structural Vector Autoregression Uncovered Interest Rate Parity : Vector Autoregression : Vector Error Correction Model World Trade Organization DANH MUC BANG BIEU Béng 1: Mo ta cac bién mo hinh 33 Béng 2: Kiém dinh unit root vcii bien goc 34 Béng 3: Kiém dinh unit root vcii sai phén bac .34 Bang 4: Kiem d|nh ve do( tré ciia mo hinh .36 ' Bang 5: Kiém dinh dong lién ket Johansen (theo chi tieu Trace) 37 Bang 6: Kiem d)nh dong lien két Johansen (theo chi tieu Eigenvalue) 38 Bang 7: Bang h( so can bang dai han 40 Bang 8: Cac loai “puzzle” bién nghién ciru thuc nghi(m 53 ' Bang 9: Ket qua thu nghiem trat tir bien lan Bang 10: Két qua thu nghiem tr(at tu bien lan 56 Hinh 1: Dién bién CPI den thang nam 2013 l II Hinh 2: Tong hpp cac kénh truyén dan truyen thong 12 Hinh 3: Kiém d|nh sq on dinh ciia mo hinh 39 Hinh 4: Phan ti’ng tich luy ciia san lupng cfing nghi(p trii’cic ciic cti soc 44 Hinh 5: Phan ung tich liiy cua lain phat trufic ciic cu soc 45 Hinh 6: Phan ung tich liiy cfia gia chirng khoan truoc cac cu soc 4G Hinh 7: Phan ting tich luy cua lai suat tru’cic ciic cti soc 47 Hinh 8: Phan ting tich luy ciia cung tién trucic cac cii soc .48 - Hinh 9: Phan trng tich lfiy cua ti gi:i trucic cac cu soc 49 Hinh 10: Bieu phan phuong sai ctia san lupng I Hinh 11: Bieu phan phuong sai cua CPI .51 TOM TAT Bai nghién ciru xem xét cc ché truyén dan chinh sach tién te ‹i Vi(t Nam va su tirong tac giua cac bién i mo te cua My nen kinh te Vi(t Nam Bai nghién cthi std dung phuong phép mo hinh vector hieu chinh sai so (VECM) voi c:ic bien la giii dau, lai suat cc ban My dai di(n cho cac cu soc ngoai sinh, bién san lupng cfing nghi(p, lam phat, cung tién, lai suat, ty giii hoi ‹to:ii danh nghia va giii churig kho:in dai dien cho nén kinh te nude Két qua nghién cuu cho thay rang mfrc do( truyén dan chinh siich tien t( thong qua kénh lai suat khong co anh huéng den siin luong cong nghi(p, lam phat va thi tru6iig chung khoiin so voi cac kenh lai Tir khéa: Truyén dén tién Ie, kénh truyén déin, VECM, phan Eng xung Chiro’ng Chinh sach tien t( (CSTT) la mo(t chinh sach kinh Ie trpng nham kiém soét gia ca vé on ‹tinh nén kinh te Trong nghién cfru nity chung toi tiép can tac ‹1f›ng cua CSTT len nen kinh Ie tii' gfic d ‘p cac kénh truyén dan CST4“ De cong diéu hanh CSTT, iiha hoach dinh chinh sach can hieu ro cac cong cu va cc ché truyén dan CSTT cua nén hinh Ie c|uoc gia minh Mishkin (1996) la mpt tiong nhiing nha kinh té dan tién co nhu‘ng nghién cuu he thong ve cac kenh truyén dan CSTT Ngoai l‹énh truyén dan triiyén thong la lai suat theo tru’cing phai kinh Ie h pc Keynes, Mishkin phat trlén ly thuyét vé truyén dam tien t( thong qua c‹ac kénh khac nliu ty gia, gia Hi san va kénh tin dung Khi nghién ctru ve truyen dan CSTT ci An Do, Abdul Aleem (2010) khang dinh CSTT anh hucing dén nén kinh té thuc it nhat ngan han Cac quyét dinh cua nha hoach dinh chinh sach ‹rule truyén dan den nen kinh Ie thu’c thong qua cac cci che khac Cac cc che khong gif›ng giiia cac quoc gia da)c diéin luat le va cau ti iic Hi chinh Abdul Aleem (2010) ciing cho rang ngan h:ing trung uong cila cac nén kinh té mcii noi thpc hi(n inuc tieu on dinh ty gia hoi doai V‹ii da)c diem th| truéng tai chinh phat trien ngan hang trung uong can thuc hi(n can thi(p de on dinh ty gia Chinh vi dieu nity, de hieu biet tot hon ve cci ché truyén clan CSTT doi hoi cac ngan hang trung uong khong chi phfin tich phan irng cua tong cau ma phan ring cua ty gia hoi doai truoc cii soc cua CSTT Gan day, Catik & Martin (2012) cho biet nhiéu phan tich kinh te • kénh truyén dan CSTT Cac nghién cuu tap trung vao kénh truyén hien co qua nhiéu kénh truyén dan va su phuc tap ciia 'n CCSSTTTT b‹ i chung Theo thong ke ciia Mohanty & Phillip (2008) tai cac nén kinh Ie moi noi, hau hét cac quoc gia su dung cong cu CSTT gran tiép nhu: nghi(p vu th| trucrng mci, lai suat chiét khau va hoén doi ngoai t( de dieu hanh CSTT Hoat dong ciia ngan hang trung uong cac quoc gia moi noi huéng den da)c diem ctia ngan hang trung ucnig cac nuoc cfing nghi(p Ng$n hang trung uong cac quoc gia thiét lap lai suat ngan han (gpi la Hi suat chinh sach) va cho phép th| trudng tao cac intic lai suat kh:ic Nghién ciru cho bill CSTT ‹i c:ic nén kinh té moi noi co thay doi tot hon vi(c kiéin soat 65 Soyoung, K , & Nouriel, R., 2000 Exchange rate anomalies in the industrial ' countries: A solution with a structural VAR approach”, Journal of Monetary €«o»o /« , 45 (2000) 561-586 Stiglitz, Joseph E & Weiss, Andrew, 1981 CrGdit Rationing in Markets with imperfect Information American Economic Ileview, American Economic Association, vol 71(3), pages 393-410, June akatoshi Ito & Kiyotaka Sato, 2008 I xchange Rate Changes and Inflation in Post- Crisis Asian Economies: Vector Autoregression Analysis of the Exchangc Rate Pass-Through Journal of Money, Credit and Banking, Blackwell Publishing, vol 40(7), 1407-1438, October aylor, John B., 1995 The Monetary Transmission Mechanism: An Eiripirical Framework Journal of Economic Perspectives, American Economic Association, vol 9(4), pages 11-26, Fall obin, James, 1969 Money and Income: Post Hoc Ergo Propter Hoc? Cowles Foundation Discussion Papers 283, Cowles Foundation for Research in Economics, Yale University erbeek, M., 2004 A Guide to Modern Econoirietrics 2º‘ Edition , New York: John Wiley & Sons o Van Minh, 2009 Exchange Rate Pass-Through And Its Implications For Inflation In Vietnam Vietnam Development Forum Xiaowen Jin, 2010 An Empirical Study of Exchange Rate Pass Through in China Munich Graduate School of Economics u Hsing, 2011 Impacts of Macroeconomic Variables on the U.S Stock Market Index and Policy Implications Economics Be //e /in, AccessEcon, vol I (1), pages 883-892 • iaei, S.M., 2009 Assess the long run effects of monetary policy on bank lending, foreign asset and liability in MENA countries MPRA Paper 14331, Munich 66 PHjjl4jC Két quf mf hinh VECM Victor Error Correction Estimates Included observations: 134 after adjustments , St indard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq M2 SA(-1) 1.000000 TEREST_SA(-1) 0.019773 (0.01079) NEER SA(- I) 0.480633 (0.26249) [ 1.83 103 SHARE_SA(-1) 0.236000 (0.05019) [ 4.70201] • VN_IP SA(-1) -1.669024 (0.16988) [-9.82481] CPI SA(- I) -1.814280 (0.29833) [-6.08152] 23.06717 67 Error Correction: D(M2_SA) CointEq I ’ D(M2 SA(- I )) D(M2 SA(-2)) D(M2 SA(-3)) D(M2_SA(-4)) D(INTEREST_SA)D(NEER_SA) D(SHARE _SSAA)) D(VVNN_IP_SSAA)) D(CPI 0.02 1927 I 296105 0.045071 -0.596561 0.270004 0.015742 (0.01578) (0.81 177) (0.01949) (0.12280) (0.10942) (0.00536) [ 1.38949J [ 59664J [ 2.3 I 198J [-4.85808] [ 2.46748J [ 2.93963J -0 130676 3.043470 -0 145968 1.931303 -0.005842 -0.028694 (0 10101) (5 19632) (0 12479) (0.78605) (0.70045) [- I 29364] [ 0.58570] [- I 16972] [ 2.45696] [-0.00834J [-0.83709] 0.010435 -4.59127 -0.045432 -0.0192 14 -0.324926 -0.0075 73 (0.09699) (4.98922) (0 11982) (0.75473) (0.67254) (0.03291) [ 10759] [-0.92024] [-0.37918] [-0.02546] [-0.48314] [-0.23010] 151809 -5.323727 -0.020064 l 902688 0.333996 0.050876 (0.092 18) (4.74 166) (0 11387) (0.71728) (0.63916) (0.113128) [ 1.64696] [-1.12276J [-0 17620] [ 2.65266] [ 0.52255] [ 1.62649] 155864 2.635048 177479 -0.419303 -0 186815 0.020354 (0.09696)‘ (4.98786) (0 11978) (0.75452) (0.67235) (0.03290) [ 1.60748] [ 0.52829] [ 1.48167] [-0.55572] [-0.27785] [ 0.61859J (0.03428) 68 -0.003401 D(NEER SA(-2)) 0.332845 -0.007447 0.054629 0.001260 0.000109 (0 10425) (0.00250) (0.01577) (0.01405) (0.00069) [-1.67790] [ 3.19263] [-2.97457J [ 3.46397] [ 0.08968] [ 0.15860] -0.002820 -0 131570 0.002774 0.028330 0.004202 -0.002279 (0.00227) (0 ll663) (0.00280) (0.01764) (0.01572) (0.00077) [-I 24390J [-I 12809J [ 0.99033J [ 1.60574) [ 0.26728J [-2.96184J -0.001673 0.129599 0.001911 0.017397 -0.012533 0.002051 (0.00234) (0 12060) (0.00290) (0.01824) (0.01626) (0.00080) [-0.71373] [ 1.07463J [ 0.65993] [ 0.95361] [-0.77096] [ 2.57809J -0.001189 -0 155302 -0.000867 -0.008105 -0.016681 -0.001127 (0.00213) (0 109d0) (0.00263) (0.01658) (0.01477) (0.00072) [-0.55813] [-1.4l698J [-0.32951] [-0.48884J -0.147268 -3.184318 -0.089774 1.145188 -0.601648 0.070235 (0.08355) (4.29777) (0.10321) (0.65013) (0.57933) (0.02835) [-I.76271 [-0.74092] [-0.86982] [ I 76148] -0 103941 6.868557 -0 152545 1.240621 0.754897 0.097900 1.4.59495) f,0.I 1035) f,0.69508) f0.61939) (0.0303 I) [‘ 1.49480] [-1.38241] [ 1.78485] [ 1.21878] [ 3.22978] [-1 16364] [- I 12908J [-1.55$97J [-I 03852] [ 2.47729] 69 D(NEER_SA(-3)) -0.011636 0.072693 0.203244 -0.022549 (0.08642) (4.44547) (0 10676) (0.67247) (0.59924) (0.02933) [-0.80678] [ 0.09753J [-0 l0900J [ l0810J [ 0.339l7J [-0.76892J -1.649514 -0 126807 -0.202451 130735 0.000729 (0.08084) (4 15861) (0.09987) (0.62908) (0.56057) (0.02743) [ 1l755J [-0.39665] [-1.26974] [-0.32182J [ 0.23322] [ 0.02657J 0.008228 -0.429860 0.002296 0.319860 -0.009816 0.001322 (0.01124) (0.57831) (0.01389) (0.08748) (0.07796) (0.00381) ( 0.73 I 87J [-0.74330J [ 16J33] ( 5.65630J [-0.12592) [ 0.34643J 0.0153 89 1.209988 0.001004 -0.0 16988 -0.058544 -0.00 190 (0.01098) (0.56464) (0.01356) (0.08541) (0.0761 I) (0.110572) [ I 40204] [ 14293] [ 0.07406J [-0 19889] [-0.76918] [-0.31954] -0.001036 -1.899279 -0.003348 -0.264924 -0.02 1592 -0.005426 (0.01 102) (0.56663) (0.01361) (0.0857 1) (0.07638) (0.00374) D(SHARE SA(- l)) D(SHARE SA(-2)) • 0.433552 0.009503 D(NEER SA(-4)) D(SHARE SA(-3)) -0.069720 ‘[-0.09407] [-3.35188] [-0.24601] [-3.09076] D(SHARE SA(-4)) -0.000277 -0.2973 83 0.013058 0.232165 0.040627 0.00011 I (0.01 1 1) (0.57 175) (0.01373) (0.08649) (0.07707) (0.00377) (-0.02490J [-0.520 I 3J [ 0.95103] ‘ [ 2.68431] [-0.28270] [-1.45172] [ 0.527 14] [ 0.02939] 70 D(VN IP_SA(-1)) D(VN IP SA(-2)) (VN_IP_SA(—3)) (VN IP SA(-4)) D(CPI SA(- I )) D(CPI SA(-2)) 0.041874 1.750430 0.074745 -0.901277 -0.682545 0.022664 (0.02560) (1.31702) (0.03163) (0 19923) (0 17753) (0.00869) [ l 63557] [ 1.32909] [ 2.36324] [-4.52388] [-3.84466] [ 2.60868] 0.034184 1.566900 0.065086 -0.688330 -0.347743 0.021227 (0.02527) (1.29967) (0.03121) (0.19660) (0 17519) (0.00857) [ 1.35303] [ 1.20561] [ 2.0853 1] [-3.501 13] [-1.98492] [ 2.47589] 0.013589 1.117384 0.056934 -0.324559 -0.176627 0.016225 (0.02188) (1 12549) (0.02703) (0.17025) (0.15171) (0.00742) [ 0.62109] [ 0.99279] [ 2.10643] [-l 90631) [-1.16421] [ 18528] 0.008323 0.495525 0.033788 -0 183324 -0.167589 0.004809 (0.01400) (0.71999) (0.01729) (0.10891) (0.09705) (0.00475) [ 0.59468J [ 0.68824J [ 1.95417) [-I 68321] [-1.72678] [ 1.01257] -0.564149 20.87663 -0 145667 -I 967478 -2.253595 0.307511 (0.28199) (14.5060) (0.34836) (2 19434) (I 95538) (0.09569) [-2.00060] [ 1.43917] [-0.4 1815) [-0.89662) -0 178414 20.72721 0.175189 3.572660 -0.439040 [-0.63025] [ 1.42336] [ 0.50096] ( 1.62184] (-0.22366J [ 3.35341 [-1 15251] ( 3.2 1353] 0.322 140 0.3 15993 0.542064 -0.215587 -0.40852 0.152719 139353 (0.277 15) (14.2569) (0.34238) (2 15665) (1.92 180) (0.09405) [ 1.14016] [ 0.03802] [-0.62968] [-0.18942] [ 0.07947] [ 1.48170] 0.420202 -34.94702 -0.001980 -3.200920 0.014760 -0 105604 (0.25896) (13.3215) (0.31992) (2.01516) (1.79571) [ 1.62262] [-2.62335] [-0.00619] [- 1.58842] [ 0.00822J [-1.20l70J -0.014977 -1.925017 -0.060610 0.7 16698 -0.371753 -0.027242 (0.02369) (1.21858) (0.02926) (0.18434) (0 16425) [-0.63224J [-1 57972J [-2.071 12] [ 3.88800] 0.008077 0.516176 0.019050 -0.213195 113229 0.007454 (0.00700) (0.36019) (0.00865) (0.05449) (0.04855) (0.00238) [ 1.15354J [ 1.43308J [ 2.20240] [-3.91285] [ 2.33211] [ 13693J -0.000407 -0.079533 -0.005087 0.050396 -0.019267 -0.001174 (0.00 144) (0.07432) (0.00178) (0.01124) (0.01002) [-0.28150] [-1.07018] [-2.85046J [ 4.48287] [-1.92332] [-2.39485] R-squared 0.360085 0.466309 0.258033 0.446216 0.659728 0.751671 Adj R-squared 197088 0.330369 0.069042 0.305157 0.573054 0.6884 18 Sum sq resids 0.014531 38.45103 0.022175 0.879873 0.698671 0.001673 S.E equation 0.0 11708 0.602284 0.014464 0.091 108 0.081 186 0.003973 D(CPI SA(-3)) D(CPI SA(-4)) OIL SA US INTEREST SA (0.08788) (0.00804) [—2.253 7J [-3.38883] (0.00049) 72 F-statistic 2.209151 3.430255 I 365317 163342 7.611670 ll 88345 Log likelihood 421.5283 -106.4913 393.2053 146.5920 162.0420 566.3462 Akaike AIC -5.873557 2.007333 -5.450825 -1.770030 -2.000627 -8.035018 Schwarz SC -5.268038 2.612852 -4.845306 -1 164512 -1.395109 -7.429500 M n dependent 0.019573 0.031920 0.004848 0.000481 0.010430 0.007390 S.D dependent 0.013066 0.736009 0.014991 109298 124250 0.0071 18 Determinant resid covariance (dof adj.) 12E-18 Determinant resid covariance I 74E-18 Lo§ likelihood 1598.830 Ak ike information criterion Schwarz criterion -2 l 26612 -17.50326 73 Két qua ham phan frng xung vfri cii sfic l(ch chufin Response to Cholesky One S.D Innovations Response of M2_SA to M2_SA Response of M2_SA to INTEREST_SA 016 016 012 - 012 008 - 004 004- Response of M2_SA to NEER_SA 016 Response of M2_SA to SHARE_SA 016 012 - 004 - -004- -.008 = -008-.01 -.012 — 10 12 14 16 18 20 22 24 Response of M2_SA to VN_IP_SA 10 12 14 16 18 20 22 24 Response of M2_SA to CPI_SA 016 016 - 012 - 004- -004 -.004 - ,008-.012 - -.012 10 12 14 16 18 20 22 24 10 12 14 16 18 20 22 24 74 Response of INTEREST_SA to M2_SA 1.2 Response of INTEREST_SA to INTEREST_SA 1.2 0.80.4 - ’ ' ' ' ' 1'0 ' 12 ' 1'4 ' 1'6 ' 1’8 ! 2'0 ' 22 ' 24 Response of INTEREST_SA to NEER_SA 1.2 Response of INTEREST_SA to SHARE_SA 1.2 0.8 - -0.4 - -0.8 10 12 14 16 18 20 22 24 -08 10 12 14 16 18 20 22 24 Response of INTEREST_SA to CPI_SA Response of INTEREST_SA to VN_IP_SA 1.2 08- 10 12 14 16 18 20 22 24 10 12 14 16 18 20 22 24 75 Response of NEER_SA to M2_SA 016 Response of NEER_SA to INTEREST_SA 016 012 - ³ 012 - 10 12 14 16 18 20 22 24 10 12 14 16 18 20 22 24 Response of NEER_SA to SHARE_SA Response of NEER_SA to NEER_SA 016 - 016 012 - 012 - -.004 — 24 10 12 14 16 18 20 22 -.004 — 10 12 14 16 18 20 22 24 Response of NEER_SA to CPI_SA Response of NEER_SA to VN_IP_SA 016 - 016 012 - 012 — 004 - -004 ' ' ' ' 1'0 ' 1'2 ' 1'4 ' 1'6 ‘ 1'8 ' 2'0 ' 22 ' 24 -.004 — 10 12 14 16 18 20 22 24 76 Response of SHARE_SA to M2_SA Response of SHARE_SA to INTEREST_SA 12 12 08 - 24 10 12 14 16 18 20 22 10 12 14 16 18 20 22 24 Response of SHARE_SA to SHARE_SA Response of SHARE_SA to NEER_SA 12 24 10 12 14 16 18 20 22 Response of SHARE_SA to VN_IP_SA 12 — 24 10 12 14 16 18 20 22 Response of SHARE_SA to CPI_SA 12 - 10 12 14 16 18 20 22 24 Response of VN_IP_SA to NEER_SA 10 10 08 - 08 - 06 - Response of VN_IP_SA to SHARE_SA 06 - 04 - 10 12 14 16 18 20 22 24 ' ' ' 1'0 ' 12 ' 14 ' 16 ' 1'8 ' 20 ' 2'2 24 Response of VN_IP_SA to CPI_SA Respons e of VN_IP_SA to VN_IP_SA 10 10 12 14 16 18 20 22 24 .10 ReSponSe of c l_SA to INTEREST SA 10 10 12 14 18 18 ” 20 ’ 22 24 12 14 16 18 20 ' 22 ' 24 ReSponse of CPI_SA t‹› SHARE Sa Response of cPl_SA t• NEER SA 010 10 12 14 16 18 20 22 24 Response of CPI_SA IO CPI_SA -.010 10 12 14 16 18 20 22 24 Response of CPI_SA tO VN_IP_SA 010 10 ' 1'2 ' 14 ' 16 ” 18 20 22 24