Truyền dẫn chính sách tiền tệ và kênh cho vay tại Việt Nam

Header Page of 126 B GIO DC V O TO TRNG I HC KINH T THNH PH H CH MINH ***** NGUYN PHC CNH TRUYN DN CHNH SCH TIN T V KấNH CHO VAY TI VIT NAM Chuyờn ngnh: Ti chớnh Ngõn hng Mó s: 62.34.02.01 TểM TT LUN N TIN S KINH T Tp H Chớ Minh, nm 2016 Footer Page of 126 Header Page of 126 DANH SCH CC CễNG TRèNH CễNG B Bi bỏo Vừ Xuõn Vinh, Nguyn Phỳc Cnh (2015), Cỏc yu t nh hng n kờnh cho vay truyn dn chớnh sỏch tin t, Tp Cụng ngh ngõn hng 112, 7/2015, p.38-47, Trng i hc Ngõn hng Tp H Chớ Minh, Vit Nam Nguyn Phỳc Cnh (2015), C ch truyn dn ca Chớnh sỏch tin t: Cỏc nghiờn cu lý thuyt v thc nghim trờn th gii, Tp khoa hc v o to ngõn hng 154, 3/2015, p.29 41, Hc vin ngõn hng, Vit Nam Vừ Xuõn Vinh & Nguyn Phỳc Cnh (2014), Monetary policy and bank credit risk in Vietnam pre and post global financial crisis, Contemporary Studies in Economic and Financial Analysis, Vol 96; Risk Management Post Financial Crisis: A Period of Monetary Easing, Emerald Group Publishing Limited, United Kingdom, p.277-290 Nguyn Phỳc Cnh, Trm Th Xuõn Hng, Vừ Xuõn Vinh (2014), Truyn dn ca chớnh sỏch tin t: mt s mụ hỡnh kim nh phự hp, Tp phỏt trin v hi nhp 16 (26), P.41 - 46, 6/2014, Trng i hc kinh t ti chớnh Tp H Chớ Minh, Vit Nam Nguyn Phỳc Cnh, Trm Th Xuõn Hng, Vừ Xuõn Vinh (2014), Ni lng nh lng v lm phỏt mc tiờu trờn th gii - bi hc cho Vit Nam, Tp Cụng ngh ngõn hng 99, p.40 48, 6/2014, Trng i hc Ngõn hng Tp H Chớ Minh, Vit Nam Nguyn Phỳc Cnh, Trm Th Xuõn Hng, Vừ Xuõn Vinh (2014), Truyn dn ca chớnh sỏch tin t qua kờnh lói sut ngõn hng ti Vit Nam trc v sau khng hong, Tp phỏt trin kinh t 283, p.42 - 67, 5/2014, Trng i hc kinh t Tp H Chớ Minh, Vit Nam Nguyn Phỳc Cnh, Trm Th Xuõn Hng, Vừ Xuõn Vinh (2014), Truyn dn ca chớnh sỏch tin t qua kờnh t giỏ ti Vit Nam trc v sau khng hong, Tp khoa hc v o to ngõn hng 143, p.27 - 35, 4/2014, Hc vin ngõn hng, Vit Nam Nguyn Phỳc Cnh (2014), Truyn dn ca chớnh sỏch tin t qua kờnh giỏ ti sn ti chớnh: nghiờn cu thc nghim ti Vit Nam, Tp phỏt trin v hi nhp 19(29), 11-12/2014, Trng i hc kinh t ti chớnh thnh ph H Chớ Minh, Vit Nam Nguyn Phỳc Cnh (2013), Chớnh sỏch lm phỏt mc tiờu- c ch giỏm sỏt c lp v c hi cho vit nam quỏ trỡnh tỏi cu trỳc h thng ngõn hng thng mi, Tp phỏt trin v hi nhp 13 (23), 11/2013, Trng i hc kinh t ti chớnh Tp H Chớ Minh, Vit Nam Nguyn Phỳc Cnh, Nguyn Quc Anh, Nguyn Hng Quõn (2013), c im ngõn hng tỏc ng n s truyn dn ca chớnh sỏch tin t qua kờnh tớn dng ngõn hng ti Vit Nam, Tp phỏt trin kinh t 276, 10/2013, p.75 91, Trng i hc kinh t Tp H Chớ Minh, Vit Nam Hi tho Vừ Xuõn Vinh, Nguyn Phỳc Cnh (2014), Monetary policy transmission in Vietnam: evidence from a VAR approach, the 27th Australasian Finance and Banking conference, 16 18 December 2014, UNSW Business School, Sydney, Australia Footer Page of 126 Header Page of 126 Trm Th Xuõn Hng, Vừ Xuõn Vinh, Nguyn Phỳc Cnh (2014), Effect of monetary policy to trade balance on open developing country: a case of Vietnam, ICFE 2014 - The International Conference on Finance and Economics Ton Duc Thang University, Ho Chi Minh City, Vietnam, June 2nd - 4th, 2014 Nguyn Phỳc Cnh (2014), Bank risk pre and post global financial crisis in Vietnam: a survey, ICFE 2014 - The International Conference on Finance and Economics Ton Duc Thang University, Ho Chi Minh City, Vietnam, June 2nd - 4th, 2014 Trm Th Xuõn Hng, Vừ Xuõn Vinh, Nguyn Phỳc Cnh (2014), Hiu qu cụng c lói sut iu hnh chớnh sỏch tin t Vit Nam, Hi tho tng kt cỏc lý thuyt v thc tin 30 nm i mi, Trng i hc kinh t Tp H Chớ Minh, 01/21/2014 Trm Th Xuõn Hng, Nguyn Phỳc Cnh (2013), Truyn dn ca Chớnh sỏch tin t qua kờnh lói sut ngõn hng thng mi Vit Nam, Hi tho phõn tớch ri ro lói sut ca ngõn hng thng mi ti khu vc Tp H Chớ Minh, i hc ngõn hng Tp H Chớ Minh, Vit Nam Cụng trỡnh nghiờn cu Nguyn Phỳc Cnh, Vừ Xuõn Vinh (2015), Vai trũ ca t giỏ hi oỏi iu hnh chớnh sỏch tin t ti Vit Nam, ti cp trng, trng i hc kinh t Tp.HCM, ch nhim, CS2015-44 Vừ Xuõn Vinh, Nguyn Phỳc Cnh (2014), ti nghiờn cu khoa hc cp trng Monetary policy and bank credit risk in Vietnam pre and post global financial crisis, Trng i hc kinh t Tp H Chớ Minh, Vit Nam Nguyn Phỳc Cnh, Nguyn Quc Anh, Nguyn Hng Quõn (2013), ti nghiờn cu khoa hc cp trng: c im ngõn hng tỏc ng n s truyn dn ca chớnh sỏch tin t qua kờnh tớn dng ngõn hng ti Vit Nam, Trng i hc kinh t Tp H Chớ Minh, Vit Nam Sỏch Vừ Xuõn Vinh, Nguyn Phỳc Cnh (2016), Sỏch chuyờn kho: Chớnh sỏch tin t: nghiờn cu ng dng cỏc mụ hỡnh nh lng, Nh xut bn kinh t Thnh ph H Chớ Minh Footer Page of 126 Header Page of 126 Túm tt Nghiờn cu ny xem xột s tn ti ca kờnh lói sut, kờnh t giỏ, kờnh giỏ ti sn v kờnh cho vay truyn dn chớnh sỏch tin t ti Vit Nam Thờm vo 1o, nghiờn cu ny xem xột cỏc yu t tỏc ng n kờnh cho vay cng nh nh hng ca khng hong ti chớnh ton cu nm 2008 n kờnh truyn dn ny Nghiờn cu phỏt hin bng chng ca kờnh chi phớ ti Vit Nam, iu ny phn ỏnh tớnh khụng hiu qu ca chớnh sỏch tin t kim soỏt lm phỏt, vỡ vy õy l thỏch thc rt ln cho cỏc nh hoch nh chớnh sỏch Vit Nam iu hnh chớnh sỏch tin t Tuy nhiờn, nghiờn cu ny li khụng phỏt hin bng chng cú ý ngha thng kờ v kờnh t giỏ v kờnh giỏ ti sn chng t hai kờnh truyn dn ny yu hoc khụng tn ti Vit Nam Nghiờn cu ny cng phỏt hin bng chng ca kờnh cho vay ti Vit Nam, ú kờnh cho vay b nh hng bi c im ca ngõn hng thng mi nh quy mụ v ca ngõn hng Nghiờn cu ny cng phỏt hin thy rng khng hong ti chớnh ton cu nm 2008 cú tỏc ng mnh n kờnh cho vay lm kờnh cho vay mnh hn giai on khng hong Trc tiờn, vi cỏc kt qu nghiờn cu ú, lun ỏn ny cú úng gúp v mt lý thuyt v s tn ti ca kờnh chi phớ ti quc gia nh v m ca Tip n lun ỏn ny cú úng gúp bng chng thc nghim v s tn ti ca kờnh cho vay, cỏc yu t tỏc ng bao gm c tỏc ng ca khng hong n kờnh cho vay ti mt quc gia mi ni nh Vit Nam Th ba, lun ỏn ny cú úng gúp quan trng cho nh hoch nh chớnh sỏch Vit Nam thc thi chớnh sỏch tin t v n nh h thng ngõn hng v th trng ti chớnh, c bit trng hp Vit Nam phi i mt vi cỏc cỳ sc t bờn ngoi nh khng hong ton cu Vi khớa cnh hc thut, lun ỏn ny xỏc nh rng nhng nh nghiờn cu kinh t nờn kim tra s tn ti ca tt c cỏc kờnh truyn dn cựng mt mụ hỡnh d dng kim soỏt tt hn cỏc tng tỏc gia cỏc kờnh v hiu qu ca tng kờnh Vi kt qu thc nghim, lun ỏn cú nhng hm ý chớnh sỏch quan trng cho nh hoch nh chớnh sỏch Vit Nam nh phỏt trin th trng n v vn, kim soỏt cỏc hot ng cú tớnh ri ro ca h thng ngõn hng v ỏp dng cỏc chớnh sỏch tin t phi truyn thng nh chớnh sỏch lm phỏt mc tiờu Footer Page of 126 Header Page of 126 CHNG GII THIU 1.1 Tng quan v kinh t Vit Nam v chớnh sỏch tin t 1.1.1 Kinh t Vit Nam Nn kinh t Vit Nam ó trai qua nhiu giai on tng trng cao t nm 1994, c bit giai on t nm 2000 n nm 2007 Trong ú, kinh t Vit Nam tri qua hai giai on tng trng chm li khng hong kinh t chõu nm 1997 v khng hong ti chớnh ton cu nm 2008 1.1.2 Ngõn hng nh nc Vit Nam Trong ú, hot ng ca ngõn hng nh nc Vit Nam cng thu hỳt nhiu chỳ ý giai on 2007 2012 nn kinh t ri vo giai on bt n Nm 2010, quc hi Vit Nam ó thụng qua lut Ngõn hng nh nc nm 2010 vi nhiu thay i quan trng so vi phiờn bn nm 2003, ú thay i quan trng nht l ngõn hng nh nc c xỏc nh rừ rng l c quan thc thi chớnh sỏch tin t iu ca lut ny 1.1.3 Chớnh sỏch tin t Vit Nam Ngõn hng nh nc Vit Nam ó thc thi chớnh sỏch tin t m rng giai on 2000 2007 nhm i phú vi khng hong 1997 v thỳc y kinh t phỏt trin, sau ú ngõn hng nh nc tip tc m rng v tht cht tin t nhiu ln giai on 2008 - 2012 1.1.4 Chớnh sỏch tin t v cỏc yu t v mụ ca Vit Nam 1.1.4.1 Lói sut th trng Lói sut tin gi v lói sut cho vay cng thay i theo xu hng ca VNIBOR, hai lói sut ny n nh mc thp giai on 2000 2007, sau ú bin ng cựng vi thay i chớnh sỏch tin t nh tng nm 2008, gim nm 2009, tng tr li nm 2010, 2011 v gim nm 2012 1.1.4.2 Lm phỏt Tng trng kinh t núng, u t cụng ln v thiu hiu qu cựng vi tng cu tng sau gia nhp WTO, thõm ht ngõn sỏch di hn, tng trng tớn dng v tng trng cung tin cao cựng nh hng ca s gia tng giỏ c hng húa th gii lm tng lm phỏt ca Vit Nam giai on 2008 2012, c bit mt s nm nh 2008, 2010, 2011 1.1.4.3 T giỏ hi oỏi T giỏ USD/VND tng liờn tc t mc 10,966 nm 1994 lờn 15,994 nm 2006 v 20,293 nm 2012, ú t giỏ USD/VND ó tng vi tc thp v n nh sau nm 2000 Nhng sau nm 2007, t giỏ USD/VND tng vi tc cao nhng nm 2008, 2009, 2010, 2011 v tip tc xu hng tng nm 2012 1.1.4.4 Tớn dng Tớn dng m rng nhanh v rng giai on 2000 2007 t mc 50,000 t VND nm 1994 lờn n trờn 700,000 t VND nm 2006 v trờn 3,200,000 t VND nm 2012 1.1.4.5 Th trng chng khoỏn Vit Nam phỏt trin th trng chng khoỏn t nhng nm u th k 21 vi s i ca S giao dch chng khoỏn thnh ph H Chớ Minh nm 2000 (HSX) v sau ú l S giao dch chng khoỏn H Ni nm 2006 (HNX), nhng th trng chng khoỏn Vit Nam cũn cú quy mụ nh v thiu cỏc sn phm ti chớnh cn thit ỏp ng nhu cu ca nn kinh t 1.1.4.6 Footer Page of 126 Túm li Header Page of 126 Kinh t Vit Nam tng trng nhanh giai on 2000 2007 Kt qu ú mt phn úng gúp t chớnh sỏch tin t m rng, hot ng tớn dng ca h thng ngõn hng vi lói sut thp v nhng yu t khỏc Chớnh sỏch tin t m rng bng lói sut thp, tng trng cung tin cao giai on 2000 2007 nhng sau ú thay i nhiu ln giai on 2008 2012 1.2 Mc tiờu nghiờn cu v cõu hi nghiờn cu Th nht, lun ỏn ny kim tra s tn ti ca kờnh lói sut, kờnh t giỏ v kờnh giỏ ti sn truyn dn ca chớnh sỏch tin t ti Vit Nam, kt qu ny s cú úng gúp cú ý ngha cho cỏc nh hoch nh chớnh sỏch thc thi chớnh sỏch tin t Tip n, lun ỏn ny kim tra s tn ti ca kờnh cho vay v phõn tớch cỏc yu t tỏc ng n kờnh cho vay bao gm c khng hong ti chớnh ton cu nm 2008 t c cỏc mc tiờu nghiờn cu ú, lun ỏn ny tr li cỏc cõu hi nghiờn cu sau: Kờnh no cỏc kờnh lói sut, kờnh t giỏ v kờnh giỏ ti sn tn ti Vit Nam truyn dn chớnh sỏch tin t? Kờnh cho vay cú tn ti Vit Nam hay khụng? V cỏc yu t bao gm quy mụ, vn, tớnh khon, ri ro ca ngõn hng thng mi v khng hong ti chớnh ton cu nm 2008 cú nh hng n kờnh cho vay ti Vit Nam hay khụng? 1.3 Phm vi nghiờn cu Lun ỏn ny kim tra cỏc kờnh truyn dn ca chớnh sỏch tin t v kờnh cho vay ti Vit Nam giai on 2003 - 2012 1.4 Phng phỏp nghiờn cu v d liu 1.4.1 Phng phỏp nghiờn cu Trong phn chớnh th nht, lun ỏn s s dng mụ hỡnh VAR kim tra s tn ti ca tng kờnh truyn dn bao gm kờnh lói sut, kờnh t giỏ, v kờnh giỏ ti sn Vit Nam thụng qua d liu theo thi gian t nm 2003 n nm 2012 Sau ú lun ỏn s dng mụ hỡnh SVAR nh mụ hỡnh chớnh kim tra cỏc kờnh truyn dn trờn mt mụ hỡnh Trong phn chớnh th hai, lun ỏn s dng mụ hỡnh GMM h thng kim tra s tn ti ca kờnh cho vay ti Vit Nam, ú lun ỏn cng ng thi o lng tỏc ng ca cỏc c im ngõn hng v khng hong ti chớnh ton cu nm 2008 n kờnh cho vay thụng qua d liu bng theo nm giai on 2003 2012 1.4.2 D liu nghiờn cu Lun ỏn s dng hai nhúm d liu: d liu v mụ Vit Nam v d liu vi mụ thu thp t bỏo cỏo ti chớnh ca ngõn hng thng mi Vit Nam giai on 2003 2012 1.5 Mt s khỏi nim chớnh Chớnh sỏch tin t, ngõn hng trung ng, mc tiờu ca chớnh sỏch tin t, cụng c ca chớnh sỏch tin t, truyn dn ca chớnh sỏch tin t, kờnh cho vay 1.6 Cu trỳc lun ỏn Chng 1: Gii thiu Chng 2: C s lý thuyt v tng quan nghiờn cu Chng 3: Phng phỏp nghiờn cu Chng 4: Bng chng thc nghim ti Vit Nam Chng 5: Kt lun v hm ý chớnh sỏch Footer Page of 126 Header Page of 126 CHNG C S Lí THUYT V TNG QUAN NGHIấN CU 2.1 Chớnh sỏch tin t 2.1.1 Gii thiu Chớnh sỏch tin t c th hin di nhiu khớa cnh, ú chớnh sỏch tin t c xem l cỏc hnh ng ca ngõn hng trung ng nhm thay i cung tin hoc lói sut chớnh sỏch hng n mc tiờu n nh lm phỏt, tng trng kinh t, ton dng lao ng v n nh t giỏ hi oỏi (Araỳjo, 2015, Drakos and Kouretas, 2015, Sỏnchez, 2012) 2.1.2 Ngõn hng trung ng Ngõn hng trung ng l c quan c quyn in v phỏt hnh tin, ngõn hng trung ng cũn úng vai trũ l ngõn hng ca chớnh ph, ngõn hng ca ngõn hng thng mi, ngi cho vay cui cựng, c quan qun lý h thng toỏn, c quan giỏm sỏt h thng ngõn hng v l c quan thc thi chớnh sỏch tin t (Blinder et al., 2008, Friedman, 1999) 2.1.3 Mc tiờu ca chớnh sỏch tin t Ngõn hng trung ng thc thi chớnh sỏch tin t hng n n nh kinh t, to vic lm, n nh h thng ti chớnh, nhng n nh giỏ c luụn l mc tiờu quan trng nht (Cecchetti and Krause, 2002, Geraats, 2002, Issing, 2004, Spyromitros and Tuysuz, 2012, Van der Cruijsen and Demertzis, 2007, Jean Louis and Balli, 2013) 2.1.4 Cụng c ca chớnh sỏch tin t Ngõn hng trung ng s dng lói sut chớnh sỏch thc thi chớnh sỏch tin t nh lói sut tỏi chit khu, lói sut liờn ngõn hng Ngõn hng trung ng cũn cú th mua hoc bỏn chng khoỏn ngn hn trờn th trng m tỏc ng trc tip n cung tin v cu tin t ú tỏc ng n lói sut th trng v cỏc yu t kinh t khỏc (Thnh and Hng, 2008) Bờn cnh ú, ngõn hng trung ng cũn cú th s dng d tr bt buc tỏc ng n cung tin vỡ d tr bt buc cú tỏc ng trc tip n h s to tin ca h thng ngõn hng thng mi 2.1.5 S thiu hiu qu ca chớnh sỏch tin t Chớnh sỏch tin t m rng ụi khụng th kớch thớch tng trng kinh t by khon (Dieppe and McAdam, 2006) Tỡnh trng gim phỏt cng l mt khỏc thc thi chớnh sỏch tin t 2.1.6 Chớnh sỏch tin t v chớnh sỏch ti khúa Tng tỏc gia chớnh sỏch tin t v chớnh sỏch ti khúa cú nh hng n hiu qu chung ca chớnh sỏch v mụ ti nhiu quc gia (Buti et al., 2001a, Buti et al., 2001b, Melitz, 2000, Leith et al., 2015) 2.1.7 Chớnh sỏch tin t phi truyn thng 2.1.7.1 Chng trỡnh ni lng nh lng Chng trỡnh ni lng nh lng l chớnh sỏch tin t phi truyn thng c mt s quc gia nh Nht Bn, Anh, M s dng i phú vi tỡnh trng gim phỏt v lói sut gn mc khụng Hiu qu ca chớnh sỏch ni lng nh lng cũn l tranh cói, thc t chớnh sỏch ny giỳp Nht Bn i phú vi khng hong v kớch thớch tng trng kinh t (Girardin and Moussa, 2011), nhng chớnh sỏch ny li khụng th cú tỏc ng tng t ti Anh (Lyonnet and Werner, 2012) 2.1.7.2 Chớnh sỏch lm phỏt mc tiờu Chớnh sỏch lm phỏt mc tiờu i u tiờn New Zealand nm 1989, sau ú nhiu quc gia ỏp dng nh Chi lờ, Canada, Israel, Anh, Thy in, Phn Lan, c v Tõy Ban Nha (Svensson, 2000) Trong Footer Page of 126 Header Page of 126 chớnh sỏch lm phỏt mc tiờu, ngõn hng trung ng thit lp mc tiờu lm phỏt cho chớnh sỏch tin t v sau ú thc thi chớnh sỏch tin t nhm t c mc tiờu ú 2.1.8 Túm lc Ngõn hng trung ng thc thi chớnh sỏch tin t hng n n nh giỏ c, tng trng kinh t, ton dng lao ng v n nh h thng ti chớnh Tuy nhiờn, ngõn hng trung ng khụng th t c tt c cỏc mc tiờu ú cựng lỳc, ú ngõn hng trung ng phi ỏnh i mt s mc tiờu chng hn nh gia lm phỏt v tht nghip Ngõn hng trung ng thc thi chớnh sỏch tin t thụng qua lói sut chớnh sỏch, hot ng th trng m v d tr bt buc tỏc ng n tng cu v tng cung thụng qua cỏc bin s trung gian nh lói sut th trng, t giỏ hi oỏi, giỏ ti sn v c mong i ca ngi dõn ụi khi, chớnh sỏch tin t mt hiu qu mt s trng hp nh gim phỏt, by khon hay lói sut gn bng khụng 2.2 Truyn dn chớnh sỏch tin t 2.2.1 C s lý thuyt Truyn dn chớnh sỏch tin t l quỏ trỡnh truyn dn nhng thay i lói sut chớnh sỏch hoc cung tin n cỏc thay i khỏc ca cỏc yu t kinh t nh lói sut th trng, giỏ ti sn, t giỏ hi oỏi, dũng tin, cung tớn dng ngõn hng, tiờu dựng t nhõn. hng n mc tiờu cui cựng l mc giỏ, tng trng kinh t v lao ng ca nn kinh t (Mankiw and Taylor, 2011) Tỏc ng ca nhng thay i cung tin hay lói sut chớnh sỏch ca ngõn hng trung ng lờn cỏc bin s v mụ khỏc c nghiờn cu mụ hỡnh IS LM, õy c xem l mụ hỡnh nn tng mụ t quỏ trỡnh truyn dn ca chớnh sỏch tin t thụng qua nhiu kờnh khỏc 2.2.2 Cỏc kờnh truyn dn ca chớnh sỏch tin t 2.2.2.1 Kờnh lói sut Ngõn hng trung ng cú th thay i cung tin v hoc lói sut chớnh sỏch tỏc ng n lói sut thc, u t, tng cu v sn lng Kờnh lói sut c c xem l kờnh truyn dn chớnh ca chớnh sỏch tin t v c khng nh nhiu nghiờn cu ti nhiu khu vc v quc gia khỏc (Friedman, 1956, Hannan and Liang, 1993, Taylor, 1995, Cecchetti, 1995) 2.2.2.2 Kờnh t giỏ Bờn cnh kờnh lói sut, kờnh t giỏ cng l kờnh truyn dn quan trng ca chớnh sỏch tin t (Golinelli and Rovelli, 2005, Demir, 2014), theo ú kờnh t giỏ truyn dn chớnh sỏch tin t thụng qua t giỏ hi oỏi n hot ng thng mi v u t ca nn kinh t, bờn cnh ú kờnh t giỏ cũn truyn dn cỏc cỳ sc bờn ngoi n nn kinh t, vỡ th kờnh t giỏ gn nh khụng tn ti cỏc quc gia úng ca nn kinh t Cỏc nghiờn cu thc nghim tỡm thy kờnh t giỏ úng vai trũ quan trng truyn dn chớnh sỏch tin t nhiu quc gia Tuy nhiờn, Mengesha & Holmes (2013) khụng tỡm thy bng chng v s tn ti ca kờnh t giỏ ti Eritrea, nhng h li phỏt hin kờnh t giỏ tn ti th trng ngoi hi bt hp phỏp ca nc ny 2.2.2.3 Kờnh giỏ ti sn Kờnh giỏ ti sn cú hai c ch truyn dn l lý thuyt Tobin's q v hiu ng ca ci, c hai c ch truyn dn ny u cú liờn quan n mi quan h gia giỏ ti sn v hot ng u t v tiờu dựng Kờnh giỏ ti sn tn ti hu ht cỏc quc gia phỏt trin, nhng ch tn ti mt s quc gia ang phỏt trin bi vỡ th trng n v th trng ca cỏc quc gia ny cũn nh hoc cha phỏt trin (Mishra and Montiel, 2012) Footer Page of 126 Header Page of 126 2.2.2.4 Kờnh tớn dng Kờnh tớn dng bao gm kờnh cho vay, kờnh bng cõn i k toỏn, kờnh dũng tin, kờnh mc giỏ khụng mong i, v kờnh hiu ng khon h gia ỡnh Cỏc kờnh truyn dn ny khỏ khỏc bit so vi kờnh lói sut, kờnh t giỏ v kờnh giỏ ti sn vỡ nhng kờnh ny trung vo gii thớch tỏc ng ca chớnh sỏch tin t lờn tớn dng ca ngõn hng thng mi v bng cõn i k toỏn ca doanh nghip v h gia ỡnh (Bernanke and Gertler, 1995, Ramey, 1993, Iacoviello and Minetti, 2008, Kashyap and Stein, 1995, Ciccarelli et al., 2014) Hu ht cỏc nghiờn cu v kờnh tớn dng ch yu trung cỏc quc gia ln v phỏt trin vỡ d liu ca cỏc quc gia ú y nh M v Chõu u; cỏc nghiờn cu trung vo hai kờnh chớnh l kờnh cho vay v kờnh bng cõn i k toỏn Kờnh tớn dng c tỡm thy M (Bernanke and Blinder, 1992, Kashyap and Stein, 2000, Kishan and Opiela, 2000, Liu and Minford, 2014, Orlowski, 2015), chõu u (Altunbas et al., 2002, Mojon et al., 2002, Chrystal and Mizen, 2002, Altunbas et al., 2009), v nhiu quc gia khỏc 2.2.2.5 Kờnh mong i Kờnh mong i thng khú cú th tn ti c lp vỡ kờnh mong i cú tỏc ng khch i tỏc ng ca cỏc kờnh truyn dn khỏc Mukherjee and Bhattacharya (2011) v nghiờn cu ca Dabla-Norris and Floerkemeier (2006) cú cp n kờnh mong i truyn dn chớnh sỏch tin t 2.2.3 Tớnh tr v hiu qu ca truyn dn chớnh sỏch tin t 2.2.3.1 Tớnh tr truyn dn chớnh sỏch tin t Mc giỏ c thng phn ng chm vi chớnh sỏch tin t v tr thng kộo di n mt nm (Christiano et al., 1999, Mojon, 2001, Goodhart and Hofmann, 2001, Sander and Kleimeier, 2002, Hỹlsewig et al., 2009) 2.2.3.2 Hiu qu truyn dn chớnh sỏch tin t Chớnh sỏch tin t thng khụng truyn dn hon ton di hn v khụng hiu qu tt c cỏc nc bi cỏc ro cn trờn th trng lm cn tr quỏ trỡnh truyn dn (de Bondt, 2002) 2.3 Kờnh cho vay 2.3.1 Gii thiu úng vai trũ nh mt kờnh truyn dn chớnh kờnh tớn dng, kờnh cho vay b sung cho kờnh lói sut giỳp khch i tỏc ng ca chớnh sỏch tin t n cỏc bin s kinh t v mụ thụng qua cung tớn dng ca ngõn hng thng mi 2.3.2 C ch truyn dn Khi ngõn hng trung ng tht cht chớnh sỏch tin t, ngun ca ngõn hng thng mi b suy gim, nu ngõn hng thng mi khụng th hoc gp khú khn vic phỏt hnh cụng c n hoc trờn th trng huy ng nhm bự vo phn suy gim ú thỡ ngõn hng thng mi phi ct gim cung cho vay v ngc li (Bernanke and Blinder, 1988) 2.3.3 iu kin tn ti Kờnh cho vay s tn ti vi mt s iu kin nht nh nn kinh t, ca ngõn hng thng mi v ca khỏch hng nh: cỏc doanh nghip da vo ngun t ngõn hng thng mi (Bernanke and Blinder, 1988), ngõn hng thng mi khụng th thay th ton b ngun t tin gi (Bernanke and Blinder, 1988), ngõn hng trung ng cú kh nng tỏc ng n cung tớn dng ca ngõn hng thng mi (Kashyap and Stein, 1995) 2.3.4 Bng chng thc nghim Footer Page of 126 Header Page 10 of 126 Nghiờn cu u tiờn cp n kờnh cho vay nh mt kờnh truyn dn ca chớnh sỏch tin t l Bernanke (1986), sau ú cỏc nghiờn cu khỏc nh Bernanke et al (1991), Bernanke and Blinder (1992), Kashyap et al (1993), v nhiu nghiờn cu khỏc tỡm hiu v kờnh truyn dn ny chi tit hn Kờnh cho vay c tỡm thy Nht Bn (Asako et al., 1989, Hoshi and Kashyap, 1990, Hayashi and Inoue, 1991, Ogawa and Suzuki, 1998), Hn Quc (Ferri and Kang, 1999, Kim, 1999), c (Barran et al., 1996, De Bondt, 2004, Ehrmann, 2004, Ehrmann and Worms, 2004, Holtemửller, 2003, Hulsewig et al., 2001, Kakes and Sturm, 2002, Von Kalckreuth, 2001, Worms, 2001), chõu u (Altunbas et al., 2002, Altunbas et al., 2009, Altunbas et al., 2010, Altunbas et al., 2012, Sander and Kleimeier, 2004, Angeloni and Ehrmann, 2003, Bredin et al., 2001, Burgstaller, 2003, de Bondt, 2002, De Bondt, 2004, Petturson, 2001, Kleimeier and Sander, 2000, Sander and Kleimeier, 2002, Toolsema et al., 2001, Cantero-Saiz et al., 2014, Leroy, 2014, Apergis and Christou, 2015), v nhiu quc gia khỏc nh Indonesia, Cananda, Thỏi Lan v khu vc Nam (Perera et al., 2014) 2.3.5 Cỏc yu t tỏc ng n kờnh cho vay 2.3.5.1 iu kin kinh t v mụ Kờnh cho vay cú s khỏc bit cỏc quc gia khỏc vỡ s khỏc bit iu kin kinh t v mụ, kờnh cho vay s mnh hn quc gia nh vi th trng ti chớnh phỏt trin thp, nhng kờnh cho vay cũn b tỏc ng bi cỏc c im kinh t a phng Kờnh cho vay cũn cú th b tỏc ng bi m ca nn kinh t, khng hong, cu trỳc nn kinh t v c mc n cụng ca mt quc gia c bit, kờnh cho vay s mnh hn nu ngõn hng trung ng cú tớnh c lp cao hn 2.3.5.2 S phỏt trin ca th trng ti chớnh Kờnh cho vay yu hn nu th trng ti chớnh phỏt trin mnh hn, kờnh cho vay cũn b tỏc ng bi cu trỳc ca th trng ti chớnh, chi phớ giao dch ti chớnh v c cỏc ci tin th trng ti chớnh 2.3.5.3 Lut phỏt ngnh ngõn hng Kờnh cho vay b tỏc ng bi cỏc quy nh v qun lý ch s hu, hay c ch giỏm sỏt ca ngõn hng trung ng, c bit cỏc quy nh v lói sut v s minh bch húa chớnh sỏch v mụ 2.3.5.4 Cnh tranh ngnh ngõn hng Kờnh cho vay s yu i nu ngnh ngnh ngõn hng ớt cnh tranh hn 2.3.5.5 Cỏc yu t vi mụ Quy mụ ca ngõn hng thng mi Kờnh cho vay s mnh hn ngõn hng thng mi nh, ngõn hng thng mi nh phn ng vi chớnh sỏch tin t qua cung tớn dng, ngõn hng ln phn ng vi chớnh sỏch tin t ch yu qua lói sut Vn ca ngõn hng thng mi Ngõn hng thng mi vi cỏc ro cn v s phn ng mnh hn vi chớnh sỏch tin t tht cht, ú cỏc ngõn hng ny li phn ng yu hn chớnh sỏch tin t m rng Thanh khon ca ngõn hng thng mi Kờnh cho vay s mnh hn ti ngõn hng thng mi cú khon thp, ú kờnh cho vay s yu hn nu ti sn ca ngõn hng cú cht lng tt hn, ng thi hot ng chng khoỏn húa cỏc khon vay cng lm suy yu kờnh cho vay, nhng cng hot ng ny ụi lm mnh thờm kờnh cho vay Ri ro ca ngõn hng thng mi Ngõn hng thng mi luụn quan tõm n yu t ri ro trc quyt nh phn ng li vi thay i chớnh sỏch tin t ú kờnh cho vay cng b nh hng bi ri ro ca chớnh ngõn hng thng mi Footer Page 10 of 126 Header Page 19 of 126 Kờnh giỏ ti sn Hỡnh 4.3 Hm phn ng xung cho APC Response to Cholesky One S.D Innovations S.E Res pons e of CPI to LIPVN Res pons e of CPI to VNIBOR 3 2 1 0 -1 -1 -2 -2 10 11 12 Res pons e of CPI to DLVNI 10 11 12 10 11 12 Res pons e of CPI to CPI 3 2 1 0 -1 -1 -2 -2 10 11 12 Ngun: tớnh toỏn ca tỏc gi Kờnh truyn dn thụng qua giỏ chng khoỏn cú th khụng tn ti Vit Nam th trng chng khoỏn cũn cha phỏt trin, ú cỏc trung gian ti chớnh bao gm ngõn hng thng mi úng vai trũ quan trng th trng ti chớnh Kt qu ny xỏc nhn gi thuyt rng kờnh giỏ ti sn yu hoc khụng tn ti Vit Nam 4.1.3 Kt qu mụ hỡnh SVAR Hỡnh 4.4 Hm phn ng xung ca SVAR Res pons e to Choles ky One S.D Innovations S.E Response of CPI to DLOIL Response of CPI to LIPVN Response of CPI to VNIBOR 3 2 1 0 -1 -1 -1 -2 -2 10 11 12 -2 Response of CPI to DLM2 10 11 12 3 2 1 0 -1 -1 -1 -2 -2 10 11 12 10 11 12 11 12 Response of CPI to DLER Response of CPI to DLNEER -2 Response of CPI to DLVNI 10 11 12 10 11 12 10 Response of CPI to CPI 3 2 1 0 -1 -1 -2 -2 10 11 12 Ngun: tớnh toỏn ca tỏc gi Footer Page 19 of 126 Header Page 20 of 126 Trong lm phỏt cú phn ng vi lói sut chớnh sỏch, cung tin v lói sut th trng xỏc nhn li rng kờnh chi phớ cú tn ti Vit Nam, cỏc kt qu khỏc cng xỏc nhn li kt qu ca mụ hỡnh VAR phớa trờn 4.1.4 Kim nh tớnh bn kim tra tớnh bn ca mụ hỡnh, bin M2 c thu thp thay th cho VNIBOR i din cho chớnh sỏch tin t Vit Nam; cỏc kờnh lói sut, t giỏ v giỏ ti sn ln lt c kim nh bng mụ hỡnh VAR theo tng kờnh mt Hỡnh 4.5 Hm phn ng xung cho IRC vi bin DLM2 Response to Cholesky One S.D Innovations S.E Res pons e of CPI to LIPVN Res pons e of CPI to DLM2 3 2 1 0 -1 -1 10 11 12 Res pons e of CPI to DLER 10 11 12 10 11 12 Res pons e of CPI to CPI 3 2 1 0 -1 -1 10 11 12 Ngun: tớnh toỏn ca tỏc gi Kt qu ny xỏc nhn li rng lói sut chớnh sỏch hiu qu hn iu hnh chớnh sỏch tin t so vi cựng tin bi vỡ cung tin dng nh khụng cú tỏc ng n lói sut cho vay ca ngõn hng thng mi Khi nghiờn cu s dng bin lói sut tỏi chit khu thay cho bin VNIBOR, hm phn ng xung cho thy rng CPI cú phn ng dng mnh vi cỏc bin DRDR, DLER cho bờn kờnh chi phớ tn ti Vit Nam Phn ng dng ca CPI vi lói sut chớnh sỏch v lói sut cho vay khng nh li s tn ti ca kờnh chi phớ nh cỏc kt qu ca VAR v SVAR ó trỡnh by trờn kim tra tớnh bn vng, nghiờn cu tip tc s dng lói sut tỏi cp (RFR) thay th cho VNIBOR VAR Kt qu vi RFR cng ging nh RDR vỡ ngõn hng nh nc Vit Nam thng thay i hai lói sut ny theo cựng xu hng 4.2 Kờnh cho vay ti Vit Nam 4.2.1 D liu Nghiờn cu s dng b d liu t bng cõn i k toỏn ca ngõn hng thng mi v cỏc bin v mụ ca Vit Nam giai on 2003 2012 B d liu c thu thp t nhiu ngun khỏc nhau, ú cỏc c im ca ngõn hng thng mi c thu thp t bỏo cỏo ti chớnh v bỏo cỏo thng niờn, ú cỏc d liu cũn li thu thp t ADB, v cỏc ngun khỏc Bng 4.9 Mụ t thng kờ d liu s dng GMM LnLOAN SIZE LIQ CAP LLP i LnGDP RFR RDR Trung bỡnh 16.320 17.260 0.381 0.130 1.180 0.188 14.271 0.663 0.631 Ln nht 19.990 20.242 0.823 0.712 7.425 6.143 14.795 5.330 -4.430 Footer Page 20 of 126 Header Page 21 of 126 Nh nht lch chun N 11.478 12.198 0.036 0.027 0.032 -5.339 13.481 -3.920 5.750 1.700 1.556 0.149 0.103 1.005 3.847 0.403 2.800 3.094 282 283 282 279 271 300 270 270 282 Ngun: tớnh toỏn ca tỏc gi 4.2.2 Kt qu t GMM v tho lun kim nh kờnh cho vay, nghiờn cu a tt c cỏc yu t tỏc ng vo mt mụ hỡnh, kt qu c trỡnh by bng 4.11 Bng 4.11 Kờnh cho vay vi tng th cỏc tỏc ng t c im ca ngõn hng thng mi ln(loan)t Cha a yu t ri ro vo Cú yu t ri ro Coeff P-Value Coeff P-Value ln(loan)t-1 -0.595*** 0.000 -0.621*** 0.000 Ln(GDP) t-1 0.417*** 0.003 0.420*** 0.003 i -0.207*** 0.009 -0.212** 0.029 it-1 -0.021*** 0.002 -0.021*** 0.002 i*sizet-1 0.010** 0.019 0.010* 0.080 i*capt-1 0.041 0.449 0.044 0.439 i*liqt-1 0.012 0.700 0.013 0.721 0.039 0.979 i*llpt-1 sizet-1 0.172 0.205 0.197 0.155 capt-1 -0.093 0.773 -0.007 0.984 liqt-1 0.174 0.542 0.144 0.620 llpt-1 2.439 0.552 2.926 0.503 AR(-2) test (p-value) 0.955 0.913 Sargan test (p-value) 0.128 0.125 N 182 182 *, **, *** xỏc nh mc ý ngha 10%, 5% v 1% Ngun: tớnh toỏn ca tỏc gi Kt qu ny trựng khp vi cỏc kt qu ó c phỏt hin rng kờnh cho vay tn ti Vit Nam, c bit cỏc ngõn hng thng mi Vit Nam cú hnh ng tỡm kim ri ro phn ng li vi chớnh sỏch tin t Nhng theo nh nghiờn cu ca Nguyen and Boateng (2013), v Nguyen and Boateng (2015a) v Nguyen and Boateng (2015b) cú xut rng s dng cỏc c im ca ngõn hng thng mi kim tra kờnh cho vay chỳng ta phi i mt vi chun húa d liu hin tng phng sai thay i cho nờn nht thit phi tin hnh chun húa cỏc d liu liờn quan n ngõn hng thng mi kt qu kim nh cú tin cy cao hn Vỡ vy, nghiờn cu ny chun húa d liu liờn quan n c im ca ngõn hng thng mi bng cỏch tớnh trung bỡnh cho tng c im ca tng ngõn hng thng mi sau ú ly cỏc d liu hin cú tr i trung bỡnh ú Bng 4.13 trỡnh by kt qu c lng sau tin hnh s lý d liu theo cỏch trờn Footer Page 21 of 126 Header Page 22 of 126 Bng 4.13 Kờnh cho vay ti Vit Nam sau chun húa d liu Cha a yu t ri ro vo ln(loan)t ó cú yu t ri ro Coeff P-Value Coeff P-Value ln(loan)t-1 -0.548*** 0.000 -0.548*** 0.000 Ln(GDP) t-1 0.323*** 0.005 0.322*** 0.005 i -0.040*** 0.000 -0.039*** 0.000 it-1 -0.025*** 0.000 -0.025*** 0.000 i*sizet-1 0.043*** 0.000 0.042*** 0.000 i*capt-1 0.222*** 0.001 0.217*** 0.001 i*liqt-1 -0.006 0.901 0.001 0.979 0.773 0.593 i*llpt-1 sizet-1 0.188 0.101 0.189* 0.099 capt-1 0.470 0.111 0.478 0.105 liqt-1 0.323 0.186 0.324 0.185 llpt-1 1.960 0.575 1.474 0.683 AR(-2) test (p-value) 0.967 0.955 Sargan test (p-value) 0.305 0.275 N 182 182 *, **, *** xỏc nh mc ý ngha 10%, 5% v 1% Ngun: tớnh toỏn ca tỏc gi Kt qu c lng xỏc nhn cỏc phỏt hin ó tỡm thy rng v quy mụ ca ngõn hng thng mi cú tỏc ng mnh n kờnh cho vay ti Vit Nam v kờnh cho vay cú tn ti 4.2.3 Kim tra tớnh bn vng Trc tin, lói sut tỏi chit khu (RDR), lói sut tỏi cp (RFR) c s dng thay th VNIBOR i din cho chớnh sỏch tin t, ú cỏc d liu liờn quan n c im ca ngõn hng thng mi c o lng theo cỏch ó chun húa cú kt qu GMM tt hn Kt qu c lng ca GMM cho bin cỏc bin thay th nh RFR v RDR cho thy kt qu cú tớnh bn vng cao 4.2.4 Tỏc ng ca khng hong n kờnh cho vay ti Vit Nam kim tra tỏc ng ca khng hong ti chớnh nm 2008 n kờnh cho vay ti Vit Nam, chỳng ta cú th chia d liu thnh hai giai on bao gm giai on trc v sau khng hong, nhng vỡ b d liu b hn ch cho nờn nghiờn cu ny khụng s dng phng phỏp ú Thay vo ú, nghiờn cu ny s dng bin i din cho khng hong ti chớnh nm 2008, ú l ch s VIX (ch s bin ng n ca hp ng quyn chn trờn S&P 500) c xut s dng o lng tỏc ng ca khng hong nm 2008 (Druck et al., 2015) Kt qu c lng a thờm bin VIX vo mụ hỡnh ging nh cỏc kt qu phn 4.2.1 v 4.2.2 cho tt c cỏc bin Trong ú tỏc ng dng cú ý ngha thng kờ ca VIX lờn d n tớn dng ngõn hng cho thy cỏc ngõn hng thng mi Vit Nam m rng tớn dng giai on khng hong, iu ú cho thy rng kờnh cho vay mnh hn giai on khng hong Trong ú, bin tng tỏc gia lói sut chớnh sỏch, quy mụ ngõn hng, ngõn hng v ch s VIX cú tỏc ng dng cú ý ngha thng kờ lờn tớn dng ngõn hng xỏc nh thờm rng kờnh cho Footer Page 22 of 126 Header Page 23 of 126 vay mnh hn giai on khng hong ng thi mnh hn ti ngõn hng cú quy mụ ln hn v c ti ngõn hng cú tt hn Nhng kt qu ny xỏc nhn gi thuyt Bng 4.18 Tỏc ng ca khng hong ti chớnh ton cu nm 2008 lờn kờnh cho vay ti Vit Nam Kờnh cho vay vi VNIBOR ln(loan)t Kờnh cho vay vi RDR Kờnh cho vay vi RFR Coeff P-Value Coeff P-Value Coeff P-Value ln(loan)t-1 -0.536*** 0.000 -0.671*** 0.000 -0.672*** 0.000 Ln(GDP) t-1 0.372*** 0.003 0.474*** 0.000 0.476*** 0.000 i -0.041*** 0.000 -0.043*** 0.000 -0.048*** 0.000 it-1 -0.031*** 0.000 -0.030*** 0.000 -0.032*** 0.000 i*sizet-1*vix 0.002*** 0.000 0.001*** 0.000 0.002*** 0.000 i*capt-1*vix 0.006*** 0.007 0.006** 0.031 0.006** 0.031 i*liqt-1*vix 0.000 0.917 -0.001 0.604 -0.001 0.603 i*llpt-1*vix 0.024 0.650 0.036 0.563 0.041 0.556 sizet-1 0.116 0.324 0.233** 0.046 0.230** 0.049 capt-1 0.060 0.843 0.540* 0.067 0.509* 0.084 liqt-1 0.354 0.152 0.364 0.153 0.363 0.154 llpt-1 2.634 0.467 2.493 0.495 2.418 0.507 Vix 0.010*** 0.001 0.007*** 0.011 0.007*** 0.010 AR(-2) test (p-value) 0.983 0.804 0.791 Sargan test (p-value) 0.357 0.182 0.180 N 182 182 *, **, *** xỏc nh mc ý ngha thng kờ ti 10%, 5% v 1% 182 Ngun: tớnh toỏn ca tỏc gi Footer Page 23 of 126 Header Page 24 of 126 CHNG KT LUN V HM í CHNH SCH 5.1 Gii thiu Chng ny i n kt lun v tng hp nhng úng gúp cng nh nhng im mi ca lun ỏn 5.2 Tng hp li cõu hi nghiờn cu, phng phỏp nghiờn cu v úng gúp ca lun ỏn 5.2.1 Cõu hi nghiờn cu 1: Kờnh no cỏc kờnh lói sut, kờnh t giỏ v kờnh giỏ ti sn tn ti Vit Nam truyn dn chớnh sỏch tin t? Kt qu ca mụ hỡnh VAR v SVAR xỏc nhn im mi u tiờn ca lun ỏn: kờnh chi phớ tn ti Vit Nam, ú nghiờn cu khụng tỡm thy bng chng thng kờ v kờnh t giỏ v kờnh giỏ ti sn cú ngha rng hai kờnh truyn dn ny cú th yu hoc khụng tn ti Vit Nam Bng chng thc nghim ca kờnh chi phớ t nh hoch nh chớnh sỏch Vit Nam vo tỡnh khú thc thi chớnh sỏch tin t chớnh sỏch tin t khụng hiu qu kim soỏt lm phỏt 5.2.2 Cõu hi nghiờn cu 2: Kờnh cho vay cú tn ti Vit Nam hay khụng? V cỏc yu t bao gm quy mụ, vn, tớnh khon, ri ro ca ngõn hng thng mi v khng hong ti chớnh ton cu nm 2008 cú nh hng n kờnh cho vay ti Vit Nam hay khụng? Thụng qua mụ hỡnh GMM, nghiờn cu tỡm mt s phỏt hin mi: th nht, mc d n hin ti ca ngõn hng thng mi Vit Nam cú xu hng hi t cú ngha rng cỏc ngõn hng thng mi nh dn dn s m rng danh mc tớn dng ca h tin gn vi ngõn hng thng mi ln, kt qu ny s giỳp tớnh cnh tranh h thng ngõn hng Vit Nam s cng cnh tranh hn Th hai, chớnh sỏch tin t cú tỏc ng mnh lờn d n tớn dng ca ngõn hng thng mi Vit Nam c k hin ti v kỡ tip theo, iu ny cú ngha rng chớnh sỏch tin t truyn dn thụng qua kờnh cho vay ti Vit Nam Th ba, phỏt hin mi chớnh ca lun ỏn v cng l mc tiờu ca nghiờn cu ny l kờnh cho vay tn ti Vit Nam Th t, quy mụ ngõn hng thng mi cú tỏc ng dng cú ý ngha thng kờ lờn d n tớn dng ca ngõn hng thng mi Vit Nam, bờn cnh ú ca ngõn hng cng cú tỏc ng dng cú ý ngha thng kờ lờn d n tớn dng ngõn hng thng mi phn ng vi thay i chớnh sỏch tin t Th t, kờnh cho vay mnh hn giai on khng hong, bờn cnh ú quy mụ v ngõn hng cú tỏc ng mnh hn lờn kờnh cho vay giai on khng hong 5.3 Cỏc úng gúp v mt hc thut Lun ỏn ny cú mt s úng gúp quan trng bao gm c lý thuyt v truyn dn chớnh sỏch tin t v kờnh cho vay Nhng kt qu nghiờn cu cho cõu hi nghiờn cu s chng cho thy kt qu cú ý ngha thng kờ v kờnh chi phớ, ú cỏc kt qu khỏc chng khụng phỏt hin bng chng ca kờnh t giỏ v kờnh giỏ ti sn Vit Nam Do ú, cho n hin ti, õy l nghiờn cu u tiờn s dng lý thuyt ng thi a tt c cỏc kờnh truyn dn vo mt mụ hỡnh kim nh ti mt nn kinh t ang chuyn i nh Vit Nam Trong ú vi khớa cnh phng phỏp nghiờn cu nghiờn cu truyn dn chớnh sỏch tin t, nhiu nghiờn cu nh ó c trỡnh by mc 2.2 chng cho thy rng lói sut chớnh sỏch cú hiu qu hn o lng chớnh sỏch tin t hn cung tin, c bit ti nn kinh t nh v m ca nh Vit Nam Lun ỏn ny ng thi úng gúp v mt lý thuyt cho kờnh cho vay, ng thi quy mụ ngõn hng v ngõn hng cú ý ngha quan trng hn kờnh cho vay ti quc gia mi ni nh Vit Nam Bờn cnh ú, bờn cnh quy mụ v ca ngõn hng, cỏc bin kim soỏt khỏc liờn quan n cõu hi nghiờn cu s nh d n tớn dng tr mt k v tng trng kinh t cng cú vai trũ quan trng vi cung tớn dng ca ngõn hng thng mi Nghiờn cu ny thờm Footer Page 24 of 126 Header Page 25 of 126 vo lý thuyt v kờnh tớn dng theo ú c cung tớn dng v cu tớn dng u quan trng truyn dn chớnh sỏch tin t qua kờnh tớn dng V khớa cnh phng phỏp nghiờn cu, lun ỏn ny cng a mt s ci tin tin cho cỏc nghiờn cu hin ti Nghiờn cu ny kim nh kt qu nghiờn cu (liờn quan n cõu hi nghiờn cu 2) vi nhiu cỏch o lng khỏc cho bin c im ca ngõn hng thng mi theo nhiu phng phỏp c lng khỏc kim soỏt hin tng ni sinh, phng sai thay i v t tng quan, ú kt qu nghiờn cu cú tớnh bn vng mnh 5.4 Hm ý chớnh sỏch 5.4.1 La chn cụng c cho chớnh sỏch tin t Vit Nam, ngõn hng nh nc cú th s dng hot ng th trng m, cụng c lói sut (bao gm lói sut c bn, lói sut tỏi chit khu, lói sut tỏi cp vn), d tr bt buc v cụng c khỏc theo lut ngõn hng nh nc nm 2010 iu hnh chớnh sỏch tin t Theo kt qu nghiờn cu, c lói sut tỏi chit khu v lói sut tỏi cp u cú hiu qu truyn dn chớnh sỏch tin t ú ngõn hng nh nc cú th s dng c hai cụng c lói sut ny Tuy nhiờn, ngõn hng nh nc nờn trung vo lói sut tỏi chit khu vỡ cụng c ny giỳp nh hng mong i ca th trng v iu chnh lói sut th trng tt hn Bờn cnh ú, nu ngõn hng nh nc s dng lói sut tỏi chit khu cú th hn ch hnh ng tỡm kim ri ro ca cỏc ngõn hng thng mi hot ng tớn dng ú giỳp n nh h thng ngõn hng thng mi 5.4.2 p dng cỏc chớnh sỏch tin t phi truyn thng Thụng thng, mt ngõn hng trung ng cú th thc thi chớnh sỏch tin t d dng nu khụng i mt vi cỏc tớnh khú khn nh gim phỏt, lói sut gn khụng, by khon hay khng hong Do ú, chng trỡnh ni lng nh lng v chớnh sỏch lm phỏt mc tiờu c thc thi nhiu nc nhm i phú vi cỏc khú khn ú Vit Nam hin ang ngy cng hi nhp sõu v rng hn vo th trng quc gia ú khú khn cng xut hin nhiu hn cho nh lm chớnh sỏch, c bit l ngõn hng nh nc iu hnh chớnh sỏch tin t, ú ngõn hng nh nc nờn hc hi cỏc ci tin mi chớnh sỏch tin t t quc gia khỏc ỏp dng cho Vit Nam tng lai 5.4.3 Phỏt trin th trng n v th trng Nh ó cp, Vit Nam ó v ang phỏt trin th trng ti chớnh bao gm th trng n v th trng Mc dự ó phỏt trin th trng chng khoỏn vi s i ca HSX v HNX nhng s lng cụng ty niờm ý cũn rt nh Cho nờn, cỏc doanh nghip Vit Nam cũn b hn ch kh nng tỡm kim ngun m ch yu da vo h thng ngõn hng thng mi Do ú, Vit Nam nht thit phi phỏt trin th trng ti chớnh m ú trung vo th trng n cung cp ngun cho nn kinh t 5.4.4 Kh nng ca cỏc ngõn hng thng mi Bờnh cnh thay i chớnh sỏch tin t v th trng ti chớnh, Vit Nam cn ci thin cỏc yu t liờn quan n kh nng ca ngõn hng thng mi h thng ngõn hng an ton v hiu qu hn Th nht, cỏc ngõn hng thng mi Vit Nam cn gia tng ngun ch s hu cú kh nng chng chi vi cỏc cỳ sc bờn ngoi linh hot hn Th hai, bi vỡ quy mụ v khon ca ngõn hng cú tỏc ng quan trng n truyn dn ca chớnh sỏch tin t ú cỏc ngõn hng thng mi Vit Nam nờn: cõn nhc tt c cỏc yu t v mụ, cu tớn dng, quy mụ v khon ca chớnh mỡnh a k hoch tng trng tớn dng phự hp 5.4.5 Ri ro ca ngõn hng thng mi Footer Page 25 of 126 Header Page 26 of 126 Ri ro khon l mt nhng ri ro ln nht ca h thng ngõn hng Vit Nam giai on bt n t nm 2008 n nm 2012, ri ro khon lm gim sc khe ti chớnh ca cỏc ngõn hng thng mi Ngõn hng nh nc nờn chia cỏc ngõn hng thng mi thnh cỏc nhm nh theo cỏc yu t: vn, ti sn, khon v ri ro tớn dng, sau ú s dng cỏc cụng c thớch hp thc thi chớnh sỏch tin t Vi chớnh sỏch tớn dng, ngõn hng nh nc nờn loi b quy nh v gii hn tớn dng cho tt c cỏc ngõn hng thng mi, thay vo ú ngõn hng nh nc nờn mc tng trng tớn dng cho tng nhúm ngõn hng da vo vn, quy mụ, khon v ri ro ca cỏc ngõn hng thng mi ú 5.5 Gii hn v gi ý nghiờn cu tip theo Bờn cnh cỏc úng gúp mi, nghiờn cu ny cũn mt s gii hn Mc dự cỏc gii hn ú khụng nh hng n ý ngha ca lun ỏn nhng cng cn c xem xột nghiờm tỳc: th nht, nghiờn cu ny kim tra ba kờnh quan trng truyn dn chớnh sỏch tin t nhng cha kim tra kờnh mong i, ng thi ú nghiờn cu ny cng cha kim tra cỏc kờnh truyn dn ph khỏc kờnh tớn dng nh kờnh bng cõn i ti sn, kờnh dũng tin, kờnh mc giỏ khụng mong i, kờnh hiu ng khon h gia ỡnh; th hai, nghiờn cu v kờnh cho vay nghiờn cu ny cha a cỏc bin v mụ v bin liờn quan n h thng ngõn hng vo mụ hỡnh kim tra cỏc yu t ny vi kờnh cho vay; th ba, nghiờn cu ny cha s dng b d liu giai on 2003 2012, cn cú thờm b d liu di hn kim tra cỏc thay i mang tớnh h thng Footer Page 26 of 126 Header Page 27 of 126 Ti liu tham kho ALEEM, A 2010 Transmission mechanism of monetary policy in India Journal of Asian Economics, 21, 186-197 ALTUNBAS, Y., FAZYLOV, O & MOLYNEUX, P 2002 Evidence on the bank lending channel in Europe Journal of Banking & Finance, 26, 20932110 ALTUNBAS, Y., GAMBACORTA, L & MARQUES-IBANEZ, D 2009 Securitisation and the bank lending channel European Economic Review, 53, 996-1009 ALTUNBAS, Y., GAMBACORTA, L & MARQUES-IBANEZ, D 2010 Bank risk and monetary policy Journal of Financial Stability, 6, 121-129 ALTUNBAS, Y., GAMBACORTA, L & MARQUES-IBANEZ, D 2012 Do bank characteristics influence the effect of monetary policy on bank risk? 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The Quarterly Journal of Economics, 301-317 TOOLSEMA, L A., STURM, J.-E & DE HAAN, J 2001 Convergence of Monetary Transmission in EMU New Evidence CESifo Group Munich VAN DER CRUIJSEN, C & DEMERTZIS, M 2007 The impact of central bank transparency on inflation expectations European Journal of Political Economy, 23, 51-66 VON KALCKREUTH, U 2001 Monetary transmission in Germany: New perspectives on financial constraints and investment spending Discussion paper Series 1/Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank WORMS, A 2001 The reaction of bank lending to monetary policy measures in Germany Footer Page 33 of 126 ... ti Vit Nam hin cha cú mt nghiờn cu cn thn v y v truyn dn chớnh sỏch tin t v kờnh cho vay ti Vit Nam, nhng cỏc nghiờn cu liờn quan li cho thy cú nhng iu kin cho kờnh cho vay tn ti Vit Nam Bờn... 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