Mẫu bìa Đề cương luận văn 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 LUẬN ÁN TIẾN SĨ TÁC ĐỘNG CỦA DÒNG VỐN QUỐC TẾ ĐẾN SỰ ỔN ĐỊNH TÀI[.]
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 LUẬN ÁN TIẾN SĨ TÁC ĐỘNG CỦA DÒNG VỐN QUỐC TẾ ĐẾN SỰ ỔN ĐỊNH TÀI CHÍNH ASEAN Thành phố Hồ Chí Minh - Năm 2023 Tai ngay!!! Ban co the xoa dong chu nay!!! 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 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 2023 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 ii 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! iii 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, luận án sử dụng phương pháp nghiên cứu định lượng dựa mơ hình hồi quy OLS (Ordinary least squares), mơ hình hồi quy tác động cố định (FEM-Fixed effect model) mơ hình ước lượng GMM (Generalized method of moments) để 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 dòng vốn gián tiếp với bất ổn tài đáng kể nước ASEAN Việt Nam 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 dòng 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 dòng vốn quốc tế Tác giả tin nghiên cứu thu hút quan tâm nhà quản lý lẫn hoạch định sách Từ khóa: Dịng vốn quốc tế; Dòng vốn gián tiếp, Dòng vốn trực tiếp; Ổn định tài iv 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 by using the regression models of OLS (Ordinary least squares), FEM (Fixed effect model) and GMM (Generalized method of moments) 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 v 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 75 Hình 4.2: Tỷ trọng giá trị giao dịch nhà đầu tư nước thị trường chứng khoán giai đoạn 2011-2019 (%) 77 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 69 Bảng 4.1: Thống kê mô tả 78 Bảng 4.2: Ma trận tương quan biến 80 Bảng 4.3: Kết hồi quy theo phương pháp OLS 83 Bảng 4.4: Kết hồi quy với biến phụ thuộc thay 84 Bảng 4.5: Kết hồi quy với biến giải thích có độ trễ kỳ 87 Bảng 4.6: Kiểm tra tượng đa cộng tuyến 88 Bảng 4.7: Kết hồi quy theo phương pháp Fixed effects 89 Bảng 4.8: Kết theo phương pháp GMM 92 Bảng 4.9: Kết theo quy mô ngân hàng 95 Bảng 4.10: Kết theo giai đoạn sau khủng hoảng 98 Bảng 4.11: Thống kê mô tả (Việt Nam) 100 Bảng 4.12: Ma trận tương quan biến (Việt Nam) 101 Bảng 4.13: Kết hồi quy (Việt Nam) 103 Bảng 4.14: Kết hồi quy với biến độc lập thay (Việt Nam) 104 Bảng 4.15: Kiểm tra tượng đa cộng tuyến (Việt Nam) 105 Bảng 4.16: Kết theo phương pháp GMM (Việt Nam) 107 Bảng 4.17: Kết theo tác động từ khủng hoảng (Việt Nam) 109 Bảng 4.18: Kết theo quy mô ngân hàng (Việt Nam) 112 vi 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 ASEAN Economic Community Cộng đồng Kinh tế ASEAN AEC BCTC 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 FSI Financial Stability Index Chỉ số ổn định tài FEM Fixed Effects Model Mơ hình tác động cố định REM Random Effects Model Mơ hình tác động ngẫu nhiên 10 OLS Ordinary Least Squares Phương pháp bình phương bé 11 GMM Generalized Method of Phương pháp ước lượng moment Báo cáo tài moments 12 GDP Gross Domestic Product Tổng sản phẩm quốc nội 13 GNP Gross National Product Tổng sản phẩm quốc dân 14 NHNN Ngân hàng Nhà nước Việt Nam 15 NHTM Ngân hàng thương mại 16 NHTW Ngân hàng trung ương 17 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 11 2.1 Các khái niệm liên quan đến vấn đề nghiên cứu: 11 2.1.1 Khái niệm dòng vốn quốc tế 11 2.1.2 Khái niệm ổn định tài 12 2.1.3 Cơ sở lý thuyết liên quan đến vấn đề nghiên cứu 17 2.1.4 Lý thuyết dòng vốn quốc tế 17 2.1.4.1 Lý thuyết dòng vốn trực tiếp 17 2.1.4.2 Lý thuyết dòng vốn gián tiếp dòng vốn khác 18 ii 2.1.5 Lý thuyết ổn định tài 20 2.1.6 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 32 2.2.1.1 Tác động đến ổn định tài từ hội nhập tài tồn cầu 32 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 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