Tác động của dòng vốn quốc tế đến sự ổn định tài chính ASEAN

BỘ GIÁO DỤC VÀ ĐÀO TẠO NGÂN HÀNG NHÀ NƯỚC VIỆT NAM TRƯỜNG ĐẠI HỌC NGÂN HÀNG TP.HỒ CHÍ MINH LƯƠNG THỊ THU THỦY TÁC ĐỘNG CỦA DÒNG VỐN QUỐC TẾ ĐẾN SỰ ỔN ĐỊNH TÀI CHÍNH ASEAN LUẬN ÁN TIẾN SĨ TÀI CHÍNH NGÂN HÀNG Thành phố Hồ Chí Minh - Năm 2022 TRƯỜNG ĐẠI HỌC NGÂN HÀNG TP.HỒ CHÍ MINH LƯƠNG THỊ THU THỦY TÁC ĐỘNG CỦA DỊNG VỐN QUỐC TẾ ĐẾN SỰ ỔN ĐỊNH TÀI CHÍNH ASEAN LUẬN ÁN TIẾN SĨ TÀI CHÍNH NGÂN HÀNG Chuyên ngành: Tài – Ngân hàng Mã ngành: 34 02 01 Người hướng dẫn khoa học: TS NGUYỄN TRẦN PHÚC TS TRẦN VIỆT DŨNG TP HỒ CHÍ MINH, NĂM 2022 i LỜI CAM ĐOAN Tôi, tác giả đề tài nghiên cứu, cam đoan cơng trình nghiên cứu riêng cá nhân Số liệu nêu đề tài có nguồn gốc rõ ràng kết đề tài trung thực Tơi xin hồn tồn chịu trách nhiệm lời cam đoan Người thực ThS Lương Thị Thu Thủy LỜI CẢM ƠN Tôi muốn gửi lời cảm ơn chân thành đến Quý Thầy Cô Trường Đại học Ngân hàng TP HCM tạo điều kiện thuận lợi suốt trình thu thập liệu tài liệu nghiên cứu Đặc biệt, dành riêng lời cảm ơn đến tất bạn bè, đồng nghiệp người giúp đỡ việc đóng góp ý kiến nhiều thời gian thực hoàn thành đề tài Trân trọng! TÓM TẮT LUẬN ÁN Tiêu đề: Nghiên cứu tác động dòng vốn quốc tế đến ổn định tài ASEAN Tóm tắt: Dựa mẫu gồm 96 ngân hàng thương mại 06 quốc gia thuộc khu vực ASEAN từ năm 2008 đến năm 2019, nghiên cứu nhằm mục đích đánh giá tác động loại hình dịng vốn quốc tế đến ổn định tài nước Kết thực nghiệm nêu bật vấn đề sau: (i) mối liên quan dịng vốn gián tiếp với bất ổn tài đáng kể Việt Nam nước ASEAN thuộc mẫu nghiên cứu; (ii) xét cách tương đối, dòng vốn trực tiếp lẫn dòng vốn khác cho kết hỗn hợp rõ nét hơn, có chứng cho thấy dịng vốn trực tiếp làm gia tăng ổn định tài dịng vốn khác có liên quan đến gia tăng bất ổn; (iii) sau giai đoạn khủng hoảng, biến động dòng vốn quốc tế, cụ thể dòng vốn gián tiếp, tác động đến ổn định tài mạnh mẽ so với giai đoạn khủng hoảng (iv) tác động thể tương đối rõ ràng thông qua ngân hàng lớn so với ngân hàng nhỏ Đây báo quan trọng việc sau giai đoạn khủng hoảng, áp lực cạnh tranh thu hút đầu tư, có nới lỏng định phủ kiểm sốt dịng vốn quốc tế Tác giả tin nghiên cứu thu hút quan tâm nhà quản lý lẫn hoạch định sách Từ khóa: Dòng vốn quốc tế; Dòng vốn gián tiếp, Dòng vốn trực tiếp; Ổn định tài ABSTRACT Title: The study on the impact of international capital flows on financial stability in ASEAN countries Summary: Based on the sample from 96 commercial banks in six countries of the ASEAN spanning from 2011 to 2019, the study aims to estimate the influences of the types of international captial flow on the financial stability in these nations The empirical results emphasize on the main issues as follows Firstly, the increase of the indirect capital flow has significant association with the instability of financial system in both Vietnam and ASEAN countries Secondly, The results of the impact of the direct capital flow and other flow are mixed but the magnitude of these effects is also relatively unclear in comparison with the indirect capital flow Thirdly, it seems that these nations have witnessed the remarkable rise of these influences after the crisis period compared to during the crisis Such increase may signal the certain narrow of tightening regulations to supervise the international capital flows in ASEAN countries, where have faced the fierce competition in attracting the foreign investments The author believes that the study will be of interest for regulators as well as policymakers, espectially in the time of reform Keywords: The international capital flows; The indirect capital flow, The direct capital flow; The financial stability DANH MỤC BẢNG Hình 2.1: Mối liên kết ổn định tài ổn định giá 13 Hình 2.2: Cơ chế truyền dẫn bất ổn tài qua kênh ngân hàng tồn cầu 38 Hình 4.1: Đầu tư trực tiếp vào nước ASEAN 68 Hình 4.2: Tỷ trọng giá trị giao dịch nhà đầu tư nước ngồi thị trường chứng khốn giai đoạn 2011-2019 (%) .70 Bảng 1.1: Danh sách quốc gia ASEAN mẫu nghiên cứu Bảng 2.1: Tổng hợp lược khảo nghiên cứu 51 Bảng 3.1: Diễn giải biến sử dụng 61 Bảng 4.1: Thống kê mô tả 71 Bảng 4.2: Ma trận tương quan biến 75 Bảng 4.3: Kết hồi quy 76 Bảng 4.4: Kết hồi quy với biến phụ thuộc thay 77 Bảng 4.5: Kết hồi quy với biến giải thích có độ trễ kỳ .79 Bảng 4.6: Kiểm tra tượng đa cộng tuyến .81 Bảng 4.7: Kết hồi quy theo phương pháp Fixed effects 82 Bảng 4.8: Kết theo phương pháp GMM 84 Bảng 4.9: Kết theo quy mô ngân hàng 88 Bảng 4.10: Kết theo giai đoạn sau khủng hoảng .91 Bảng 4.11: Thống kê mô tả (Việt Nam) 93 Bảng 4.12: Ma trận tương quan biến (Việt Nam) .94 Bảng 4.13: Kết hồi quy (Việt Nam) 96 Bảng 4.14: Kết hồi quy với biến độc lập thay (Việt Nam) .97 Bảng 4.15: Kiểm tra tượng đa cộng tuyến (Việt Nam) 98 Bảng 4.16: Kết theo phương pháp GMM (Việt Nam) .99 Bảng 4.17: Kết theo tác động từ khủng hoảng (Việt Nam) 102 Bảng 4.18: Kết theo quy mô ngân hàng (Việt Nam) .105 DANH MỤC TỪ VIẾT TẮT STT Viết tắt Tiếng Anh ASEAN Association of Southeast Asian Nations Tiếng Việt Hiệp hội quốc gia Đông Nam Á BCTC Báo cáo tài IMF International Monetary Fund Quỹ Tiền tệ quốc tế FDI Foreign Direct Investment Dòng vốn đầu tư trực tiếp FII Foreign Indirect Invesment Dòng vốn đầu tư gián tiếp FEM Fixed Effects Model Mơ hình tác động cố định REM Random Effects Model Mơ hình tác động ngẫu nhiên OLS Ordinary Least Squares Phương pháp bình phương bé GMM Generalized Method of moments Phương pháp ước lượng moment 10 GDP Gross Domestic Product Tổng sản phẩm quốc nội 11 GNP Gross National Product Tổng sản phẩm quốc dân 12 NHNN Ngân hàng Nhà nước Việt Nam 13 NHTM Ngân hàng thương mại 14 NHTW Ngân hàng trung ương 15 WB World Bank Ngân hàng giới i MỤC LỤC LỜI CAM ĐOAN i LỜI CẢM ƠN ii TÓM TẮT LUẬN ÁN iii ABSTRACT iv DANH MỤC BẢNG v DANH MỤC TỪ VIẾT TẮT vi CHƯƠNG 1: GIỚI THIỆU ĐỀ TÀI NGHIÊN CỨU 1.1 Tính cấp thiết đề tài 1.2 Mục tiêu đề tài 1.3 Câu hỏi nghiên cứu 1.4 Đối tượng phạm vi nghiên cứu 1.4.1 Đối tượng nghiên cứu 1.4.2 Phạm vi nghiên cứu 1.5 Phương pháp nghiên cứu 1.5.1 Dữ liệu nghiên cứu 1.5.2 Phương pháp phân tích 1.6 Đóng góp đề tài 1.7 Kết cấu đề tài CHƯƠNG 2: CƠ SỞ LÝ THUYẾT VÀ TỔNG QUAN NGHIÊN CỨU 10 2.1 Các khái niệm liên quan đến vấn đề nghiên cứu: 10 2.1.1 Khái niệm dòng vốn quốc tế 10 2.1.2 Khái niệm ổn định tài 12 2.1.3 Cơ sở lý thuyết liên quan đến vấn đề nghiên cứu 17 2.1.1 Lý thuyết dòng vốn quốc tế 17 2.1.1.1 Lý thuyết dòng vốn trực tiếp 17 2.1.1.2 Lý thuyết dòng vốn gián tiếp dòng vốn khác 18 2.1.2 Lý thuyết ổn định tài 19 2.1.3 Lý thuyết tác động dòng vốn quốc tế đến ổn định tài 25 2.2 Lược khảo nghiên cứu liên quan 31 2.2.1 Lược khảo yếu tố tác động đến ổn định tài 31 2.2.1.1 Tác động đến ổn định tài từ hội nhập tài tồn cầu .31 2.2.1.2 cầu Tác động đến ổn định tài yếu tố nước yếu tố toàn 33 2.2.1.3 Tác động đến ổn định tài thơng qua kênh ngân hàng toàn cầu .35 2.2.1.4 Tác động vay nợ nước ngồi cơng ty thị trường nổi38 2.2.2 Đo lường ổn định tài 40 2.2.3 Các chứng thực nghiệm tác động dịng vốn quốc tế đến ổn định tài 43 2.3 Một số nhận xét khoảng trống nghiên cứu 58 KẾT LUẬN CHƯƠNG 61 CHƯƠNG 3: PHƯƠNG PHÁP VÀ MƠ HÌNH NGHIÊN CỨU 62 3.1 Quy trình nghiên cứu 62 3.2 Xây dựng giả 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Hai là, tác động dịng vốn quốc tế đến ổn định tài ASEAN khác biệt giai đoạn khủng hoảng sau khủng hoảng? Ba là, tác động dòng vốn quốc tế đến ổn. .. tố tác động đến ổn định tài 31 2.2.1.1 Tác động đến ổn định tài từ hội nhập tài toàn cầu .31 2.2.1.2 cầu Tác động đến ổn định tài yếu tố nước yếu tố tồn 33 2.2.1.3 Tác động đến ổn định tài. .. CHƯƠNG 4: TÁC ĐỘNG CỦA DÒNG VỐN QUỐC TẾ ĐẾN ỔN ĐỊNH TÀI CHÍNH TẠI CÁC NƯỚC ASEAN 75 4.1 Thực trạng dòng vốn quốc tế ASEAN Việt Nam .75 4.1.1 Thực trạng dòng vốn quốc tế quốc gia ASEAN