Đánh giá mức độ tự do hóa và tác động của tự do hóa tài chính đến bất ổn tài chính ở việt nam

B GIO DC V O TO TRNG I HC KINH T TP HCM - NGUYN NGC YN TRANG NH GI MC T DO HểA V TC NG CA T DO HểA TI CHNH N BT N TI CHNH VIT NAM LUN VN THC S KINH T TP H Chớ Minh Nm 2013 B GIO DC V O TO TRNG I HC KINH T TP HCM - NGUYN NGC YN TRANG NH GI MC T DO HểA V TC NG CA T DO HểA TI CHNH N BT N TI CHNH VIT NAM Chuyờn ngnh : Ti chớnh Ngõn hng Mó s : 60340201 LUN VN THC S KINH T NGI HDKH: TS NGUYN KHC QUC BO TP H Chớ Minh Nm 2013 LI CAM OAN Tụi xin cam oan rng õy l cụng trỡnh nghiờn cu ca tụi, cú s h tr t Thy hng dn l TS g y n h c c o Cỏc ni dung nghiờn cu v kt qu ti ny l trung thc v cha tng c cụng b bt c cụng trỡnh no Nhng s li cỏc b ng bi phc v cho vic phõn tớch, nhn xột, ỏnh giỏ c chớnh tỏc gi thu thp t cỏc ng n khỏc cú ghi phn ti li tham kh o N phỏt hin cú bt k s gian ln no tụi xin hon ton ch trỏch nhim trc Hi ng, cng nh kt q l n ca mỡnh TP HCM, ngy thỏng nm 2013 Tỏc gi Nguyn Ngc Yn Trang MC LC CH G GII THIU 1.1 Tng q an 1.2 Mc tiờ nghiờn c 1.3 t c ti CH G T G UA CC GHIấ CU 2.1 an im tớch cc v t húa ti chớnh 2.2 Cỏc cụng trỡnh nghiờn c v m i q an h gia t húa ti chớnh v tớnh bt n ti chớnh 2.2.1 Cụng trỡnh nghiờn c ca Min ahad r Shrestha (2005) 2.2.2 Cụng trỡnh nghiờn c ca Asli Demirgỹỗ-Kunt and Enrica Detragiache (1998) 2.2.3 Cụng trỡnh nghiờn c ca mt s tỏc gi khỏc CH G PH G PHP GHIấ CU 14 3.1 Phng phỏp nghiờn c 14 3.1.1 Phng phỏp ỏnh giỏ mc t húa ti chớnh 14 3.1.2 Phng phỏp kim nh tỏc ng ca t húa ti chớnh n bt n ti chớnh 14 3.2 Mụ hỡnh nghiờn c 15 3.2.1 Mụ hỡnh ỏnh giỏ mc t húa ti chớnh 15 3.2.2 Mụ hỡnh kim nh tỏc ng ca t húa ti chớnh n bt n ti chớnh Vit am 15 3.3 g n s li v phng phỏp th thp s li 16 CH G I DU G V T U GHIấ CU 17 4.1 Xõy dng cỏc bin d kin s a vo mụ hỡnh 17 4.1.1 in ph th c Ch s bt n ti chớnh (Financial Instability - FIS) 17 4.1.2 Bin c lp Ch s t húa ti chớnh (Financial Liberalization Index - FLI) 18 4.1.3 in c lp Lói s t cho vay thc (Real Lending Rate LRR) 18 4.2 Tp hp m nghiờn c 18 4.3 t q nghiờn c 20 4.3.1 ỏnh giỏ mc t húa ti chớnh Vit am 20 im nh tỏc ng ca t húa ti chớnh n bt n ti chớnh Vit 4.3.2 Nam 21 4.3.2.1 im nh tớnh dng ca ch i s li 21 4.3.2.2 im nh m i q an h ng tớch hp 22 4.3.2.3 im nh m i q an h nhõn q 4.3.2.4 Kt q Engle-Granger 22 kim nh mụ hỡnh hi q y 22 CH G T LU 23 5.1 Túm t t nhng im chớnh ca ti 23 5.2 Gi ý nhng bin phỏp giỳp n nh nn kinh t ti chớnh hi nhp vo nn kinh t q c t 24 5.2.1 C ch giỏm sỏt an ton v hi q 5.2.2 Lnh mnh húa nn ti chớnh q 24 c gia 25 5.2.3 Lnh mnh húa h th ng ngõn hng 26 5.3 Hn ch v hng nghiờn c tip theo 28 DA H MC CC TI LIU THAM HO 30 PH LC T H TO CH S FLI 32 PH LC G S LIU CA CC I TRO G GIAI O 01/1996 T Uí Uí 04/2012 46 PH LC T U IM H CA Mễ Hè H 50 DANH MC CC BNG, BIU ng 4.1 Th ng kờ mụ t cỏc bin mụ hỡnh nghiờn c 18 ng 4.2 Ma trn tng q an gia cỏc bin mụ hỡnh nghiờn c 19 ng 4.3 in v ký hi s dng mụ hỡnh kim nh 20 ng 4.4 t q ng PL1.1 kim nh tớnh dng ca ch i d li 21 ng chm im cỏc nhõn t t húa ti chớnh Vit am t nm 1996 n nm 2012 39 ng PL1.2 Giỏ tr riờng v vộc-t riờng ca ma trn tng q an cỏc nhõn t t húa ti chớnh Vit am 42 ng PL1.3 Ch s FLI ca Vit am giai on 1996-2012 43 DANH MC CC TH i 4.1: i ch s FLI ca Vit am giai on 1996 n 2012 20 -1- CHNG GII THIU 1.1 Tng quan T thp niờn 1970 cỏc quc gia ang phỏt trin ó tin hnh ci cỏch nhm phỏt trin nn kinh t ca mỡnh Nhng ci cỏch ny ch yu trung vo phỏt trin c s h tng vỡ cỏc quc gia ang phỏt trin tin rng c s h tng tt s thu hỳt c khu vc t nhõn u t vo t nc Trỏi li vi nhng mong i ca Chớnh ph, s tham gia ca khu vc t nhõn khụng tng lờn ch yu s khan him ngun lc Cho dự ngun lc cú y thỡ khụng th c s dng hiu qu nguyờn nhõn l nn kinh t cũn kộm phỏt trin v b kim soỏt cht ch bi Chớnh ph Vỡ vy, cỏc quc gia ang phỏt trin ó chuyn t phỏt trin c s h tng sang phỏt trin kinh t Tuy nhiờn Chớnh ph nm gi nn kinh t nờn khu vc t nhõn khụng th cú iu kin tham gia vo cụng cuc phỏt trin kinh t nh mong i Chớnh ph kim soỏt lói sut v trn tớn dng, s hu ngõn hng v cỏc nh ch ti chớnh cng nh iu hnh t nc bng nhng lut l cng nhc Do lói sut danh ngha b kim soỏt v lói sut thc hu nh mc õm nờn tit kim khụng th gia tng Kt qu l u t khụng t c nh mong i iu ny lm cho nn kinh t chm phỏt trin McKinnon (1973) v Shaw (1973) ó nhn nh õy l hin tng ỏp ch ti chớnh v ó xut vic t húa h thng ti chớnh cho cỏc quc gia ny Vỡ vy t gia nhng nm 1980, Ngõn hng th gii v T chc Tin t th gii ó bt u xem t húa ti chớnh l cụng c cỏc quc gia ang phỏt trin thỳc y nn kinh t tng trng (Ngõn hng th gii, 2005) T ú, k nguyờn t húa ti chớnh bt u ti cỏc quc gia ang phỏt trin vi s h tr v cụng c v ti chớnh ca Ngõn hng th gii v T chc Tin t th gii Mt s chớnh sỏch t húa u tiờn c vi quc gia ang phỏt trin thc hin t u nhng nm 1980 ó em n nhng kt qu n tng iu ny l ng lc nhng quc gia ang phỏt trin khỏc thc hin t húa nn ti chớnh ca t nc mỡnh Tuy nhiờn t húa ti chớnh khụng ch em li nhng trin vng cho cỏc quc gia ang phỏt trin m cũn l nguyờn nhõn ca tỡnh trng bt n ti chớnh -2- Khng hong ti chớnh Chõu nm 1997 chớnh l kt qu ca t húa ti chớnh Tuy nhiờn, t húa ti chớnh l quỏ trỡnh ang din nhng quc gia ang phỏt trin Vit Nam cng khụng nm ngoi xu hng ú Vic thc thi cỏc chớnh sỏch t húa ti chớnh Vit Nam ch thc s din t nm 1996 V tri qua thi gian di thc hin, quỏ trỡnh thc thi cỏc chớnh sỏch t húa ti chớnh Vit Nam ang mc no, ó hon ton t húa cha hay ch l t húa tng phn; nn kinh t ti chớnh ca Vit Nam cú n nh khụng? Cn c vo nhng lý ny, tỏc gi ó la chn ti ỏnh giỏ mc t húa v tỏc ng ca t húa ti chớnh n bt n ti chớnh Vit Nam lm ti nghiờn cu ca mỡnh 1.2 Mc tiờu nghiờn cu Mc dự, ó cú rt nhiu nghiờn cu lý thuyt v thc nghim nghiờn cu tỏc ng ca t húa ti chớnh n bt n ti chớnh Tuy nhiờn vic nghiờn cu mi quan h gia hai bin ny quy mụ mt quc gia l rt ớt v liu vic ỏp dng vo nghiờn cu Vit Nam cú phự hp khụng? Ngoi ra, cỏc nghiờn cu trc õy hu nh xem xột quỏ trỡnh t húa ti chớnh sau quỏ trỡnh ny ó c hon thnh Vic ny vụ tỡnh ó b sút vic ỏnh giỏ quỏ trỡnh t húa t quc gia ú bt u thc thi chớnh sỏch Trờn c s ny, mc tiờu nghiờn cu chớnh ca ti s bao gm: Nghiờn cu cỏc nhõn t tỏc ng n tớnh bt n ti chớnh Trong ú bao hm c tm quan trng ca vic xõy dng ch s lm cụng c ỏnh giỏ mc t húa ti chớnh Trờn c s nghiờn cu cỏc nhõn t tỏc ng, tỏc gi s xõy dng mụ hỡnh nh lng ỏnh giỏ tỏc ng ca t húa n bt n ti chớnh Vit Nam Da vo nhng phõn tớch v nhn nh, tỏc gi s trỡnh by v nhng hn ch v hng nghiờn cu tip theo cho ti -3- 1.3 Kt cu ti ti bao gm 05 chng vi kt cu nh sau: Chng 1: Gii thiu Phn ny s trung trỡnh by v lý thc hin ti v mc tiờu nghiờn cu ca ti Chng 2: Tng quan cỏc nghiờn cu Ni dung chớnh ca chng ny l trỡnh by cỏc kt qu thc nghim v tỏc ng ca t húa ti chớnh n bt n ti chớnh Chng 3: Phng phỏp nghiờn cu Trờn c s mc tiờu nghiờn cu ó c xỏc inh, tỏc gi s trỡnh by phng phỏp thc hin, mụ hỡnh nghiờn cu cng nh ngun s liu v phng phỏp thu thp s liu Chng 4: Ni dung v kt qu nghiờn cu Chng ny s trỡnh by chi tit cỏc kt qu thc nghim da trờn ngun s liu v phng phỏp nghiờn cu ó xỏc nh chng Chng 5: Kt lun Cn c vo kt qu nghiờn cu ó trỡnh by chng 4, tỏc gi s a nhng nhn nh, gii phỏp cho mc tiờu nghiờn cu ca ti Trong phn ny tỏc gi s trỡnh by v nhng mt hn ch v hng phỏt trin tip theo cho ti -4- CHNG - TNG QUAN CC NGHIấN CU 2.1 Quan im tớch cc v t húa ti chớnh Xu hng thiờn v t húa ti chớnh l mt phn ca xu hng ln hn hng ti gim bt s can thip trc tip ca nh nc vo nn kinh t Tuy nhiờn, ti mt s quc gia ang phỏt trin, t húa ti chớnh cng l mt n lc nhm thoỏt s ỏp ch ti chớnh Vic i t ỏp ch ti chớnh n t húa ti chớnh c c v bi cỏc cụng trỡnh nghiờn cu cú nh hng ca McKinnon v Shaw (1973) Theo McKinnon v Shaw, ỏp ch ti chớnh thụng qua c ch buc cỏc t chc ti chớnh chi tr lói sut thc thp v thng cú giỏ tr õm s lm gim tit kim t nhõn v qua ú s lm gim cỏc ngun lc dnh tớch ly Xột theo gúc ny, t húa ti chớnh cú th giỳp cỏc quc gia ang phỏt trin kớch thớch tit kim nc v tng trng, ng thi gim s ph thuc quỏ mc vo cỏc dũng nc ngoi Nghiờn cu ca McKinnon v Shaw ó dy mt dũng nghiờn cu ang ln mnh nhm phõn tớch tỏc ng tớch cc ca phỏt trin ti chớnh n tng trng kinh t thụng qua tng nng sut thay vỡ huy ng tit kim (Levine 1997) Nghiờn cu ny bao gm mt s cụng trỡnh thc nghim v mi quan h gia phỏt trin ti chớnh v tng trng; hu ht cỏc nghiờn cu nhn thy cỏc i lng khỏc o lng s phỏt trin ti chớnh cú tng quan ng bin vi c tc tng trng GDP hin ti v tng lai T ú cho thy rng t húa ti chớnh, bng cỏch tng cng phỏt trin ti chớnh, cú th lm tng t l tng trng di hn ca nn kinh t (King v Levine 1993) Tuy nhiờn quan im tớch cc ca t húa ti chớnh phn no b nh hng bi s gia tng rừ rt tỡnh trng mng manh v ti chớnh m c cỏc quc gia ó phỏt trin v ang phỏt trin u tri qua nhng nm 80 v 90 Phn tip theo lun s trỡnh by nhng nghiờn cu thc nghim v tỏc ng ca t húa ti chớnh n bt n ti chớnh -44- Year IRD REB RRR ECC IPR SMR PSB EAL FLI Q3 0.1571 0 0.1244 0.1257 0 0.4072 Q4 0.1571 0 0.1244 0.1257 0 0.4072 2003Q1 0.1571 0 0.1244 0.1257 0 0.4072 Q2 0.1571 0 0.1244 0.1257 0 0.4072 Q3 0.1571 0 0.1244 0.1257 0 0.4072 Q4 0.1571 0 0.1244 0.1257 0 0.4072 2004Q1 0.1571 0 0.1244 0.1257 0 0.4072 Q2 0.1571 0 0.1244 0.1257 0 0.4072 Q3 0.1571 0 0.1244 0.1257 0 0.4072 Q4 0.1571 0 0.1244 0.1257 0 0.4072 2005Q1 0.1571 0 0.1244 0.1257 0 0.4072 Q2 0.1571 0 0.1244 0.1257 0.0785 0.4857 Q3 0.1571 0 0.1244 0.1257 0.0785 0.4857 Q4 0.1571 0 0.1244 0.1257 0.0785 0.4857 2006Q1 0.1571 0 0.1244 0.1257 0.0785 0.4857 Q2 0.1571 0 0.1244 0.1257 0.0785 0.4857 Q3 0.1571 0 0.1244 0.1257 0.0785 0.4857 Q4 0.1571 0 0.1244 0.1257 0.0785 0.4857 2007Q1 0.1571 0 0.1244 0.1257 0.0785 0.2323 Q2 0.1571 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.8381 Q3 0.1571 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.8381 Q4 0.1571 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.8381 2008Q1 0.1571 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.8381 0.718 Q2 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 Q3 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 Q4 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 2009Q1 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 -45- Year IRD REB RRR ECC IPR SMR PSB EAL FLI Q2 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 Q3 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 Q4 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 2010Q1 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 Q2 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 Q3 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 Q4 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 2011Q1 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 Q2 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 Q3 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 Q4 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 2012Q1 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 Q2 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 Q3 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 Q4 0.1201 0 0.1244 0.1257 0.0785 0.2323 0.681 -46- PH LC BNG S LIU CA CC BIN TRONG GIAI ON T QUí 01/1996 N QUí 04/2012 Year FIS LRR LnFIS LnLRR FLI 1996Q1 13.1429 0.167 2.5759 -1.7898 0.1244 Q2 18.2 0.156 2.9014 -1.8579 0.1244 Q3 15.6667 0.143 2.7515 -1.9449 0.1244 Q4 11.625 0.144 2.4532 -1.9379 0.1244 1997Q1 13.0882 0.1137 2.5717 -2.1745 0.1244 Q2 11.1429 0.113 2.4108 -2.1804 0.1244 Q3 10.8219 0.114 2.3816 -2.1716 0.1244 Q4 1.3333 0.099 0.2877 -2.3126 0.1244 1998Q1 1.25 0.066 0.2231 -2.7181 0.1244 Q2 15.7143 0.054 2.7546 -2.9188 0.1244 Q3 21.6667 0.064 3.0758 -2.7489 0.1244 Q4 14.4444 0.052 2.6703 -2.9565 0.1244 1999Q1 110 0.132 4.7005 -2.0250 0.1244 Q2 90 0.132 4.4998 -2.0250 0.1244 Q3 100 0.124 4.6052 -2.0875 0.1244 Q4 120 0.12 4.7875 -2.1203 0.1244 2000Q1 9.5455 0.108 2.2561 -2.2256 0.1244 -47- Year FIS LRR LnFIS LnLRR FLI Q2 7.3333 0.108 1.9924 -2.2256 0.1244 Q3 9.3333 0.104 2.2336 -2.2634 0.2815 Q4 8.7692 0.102 2.1712 -2.2828 0.2815 2001Q1 5.5714 0.0965 1.7177 -2.3382 0.2815 Q2 4.1579 0.0835 1.4250 -2.4829 0.2815 Q3 5.3333 0.08 1.6740 -2.5257 0.2815 Q4 6.75 0.0768 1.9095 -2.5666 0.2815 2002Q1 6.7961 0.0552 1.9164 -2.8973 0.2815 Q2 6.6355 0.0475 1.8924 -3.0470 0.2815 Q3 6.9307 0.075 1.9360 -2.5903 0.4072 Q4 6.8571 0.0748 1.9253 -2.5929 0.4072 2003Q1 2.9752 0.0841 1.0903 -2.4754 0.4072 Q2 3.0159 0.0645 1.1039 -2.7416 0.4072 Q3 0.3101 0.0754 -1.1709 -2.5846 0.4072 Q4 3.8852 0.0652 1.3572 -2.7308 0.4072 2004Q1 1.7969 0.0254 0.5860 -3.6730 0.4072 Q2 2.1212 0.0454 0.7520 -3.0922 0.4072 Q3 1.9118 0.0368 0.6480 -3.3023 0.4072 Q4 2.1642 0.0213 0.7720 -3.8490 0.4072 2005Q1 2.439 0.0287 0.8916 -3.5509 0.4072 Q2 2.4031 0.0288 0.8768 -3.5484 0.4857 -48- Year FIS LRR LnFIS LnLRR FLI Q3 2.6718 0.0308 0.9827 -3.4802 0.4857 Q4 2.6016 0.0333 0.9561 -3.4031 0.4857 2006Q1 2.437 0.0418 0.8908 -3.1761 0.4857 Q2 2.439 0.0418 0.8916 -3.1761 0.4857 Q3 2.0149 0.0418 0.7006 -3.1761 0.4857 Q4 2.6316 0.0418 0.9676 -3.1749 0.4857 2007Q1 1.0526 0.0318 0.0513 -3.4483 0.7180 Q2 1.125 0.0318 0.1178 -3.4483 0.8381 Q3 0.7143 0.0318 -0.3365 -3.4483 0.8381 Q4 1.1765 0.0318 0.1625 -3.4483 0.8381 2008Q1 2.1333 -0.0868 0.7577 0.0000 0.8381 Q2 -0.0236 0.6931 0.0000 0.6810 Q3 1.381 -0.019 0.3228 0.0000 0.6810 Q4 3.1818 -0.0892 1.1575 0.0000 0.6810 2009Q1 1.4286 0.0354 0.3567 -3.3410 0.6810 Q2 1.6154 0.0357 0.4796 -3.3326 0.6810 Q3 1.5 0.0419 0.4055 -3.1725 0.6810 Q4 1.8333 0.0398 0.6061 -3.2249 0.6810 2010Q1 1.9231 0.033 0.6539 -3.4112 0.6810 Q2 2.1212 0.0444 0.7520 -3.1145 0.6810 Q3 1.8462 0.0537 0.6131 -2.9249 0.6810 -49- Year FIS LRR LnFIS LnLRR FLI Q4 2.0155 0.0513 0.7009 -2.9693 0.6810 2011Q1 2.5893 0.0005 0.9514 -7.7063 0.6810 Q2 2.3077 0.0042 0.8362 -5.4727 0.6810 Q3 2.5424 -0.0109 0.9331 0.0000 0.6810 Q4 3.1193 -0.0316 1.1376 0.0000 0.6810 2012Q1 5.5224 0.063 1.7088 -2.7646 0.6810 Q2 5.5714 0.0487 1.7177 -3.0227 0.6810 Q3 5.0667 0.0349 1.6227 -3.3544 0.6810 Q4 5.1646 0.0323 1.6418 -3.4336 0.6810 -50- PH LC KT QU KIM NH CA Mễ HèNH Kim nh nghim n v S dng kim nh nghim n v (unit root test) ADF xỏc nh chui d liu cú dng hay khụng? Kt qu cho thy tt c cỏc chui d liu u khụng dng chui gc, sau ly sai phõn bc thỡ tt c u dng Chi tit nh sau: Chui LnFIS l khụng dng Null Hypothesis: LNFIS has a unit root Exogenous: None Lag Length: (Automatic - based on SIC, maxlag=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -1.609439 -2.600471 -1.945823 -1.613589 0.0932 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNFIS) Method: Least Squares Sample (adjusted): 1996Q3 2012Q4 Included observations: 66 after adjustments Variable Coefficient Std Error t-Statistic Prob LNFIS(-1) D(LNFIS(-1)) -0.082693 -0.205056 0.050134 0.120727 -1.649439 -1.698508 0.1040 0.0943 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.096635 0.082520 0.742865 35.31826 -73.01654 2.037438 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Chui FLI l khụng dng Null Hypothesis: FLI has a unit root Exogenous: None Lag Length: (Automatic - based on SIC, maxlag=10) -0.019085 0.775553 2.273228 2.339582 2.299448 -51- Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* 0.841244 -2.599934 -1.945745 -1.613633 0.8902 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(FLI) Method: Least Squares Sample (adjusted): 1996Q2 2012Q4 Included observations: 67 after adjustments Variable Coefficient Std Error t-Statistic Prob FLI(-1) 0.009607 0.011419 0.841244 0.4032 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat -0.023257 -0.023257 0.045764 0.138229 112.0797 1.633412 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.008307 0.045241 -3.315811 -3.282905 -3.302790 Chui LnLRR l khụng dng Null Hypothesis: LNLRR has a unit root Exogenous: None Lag Length: (Automatic - based on SIC, maxlag=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -0.831527 -2.601024 -1.945903 -1.613543 0.3519 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNLRR) Method: Least Squares Sample (adjusted): 1996Q4 2012Q4 Included observations: 65 after adjustments Variable Coefficient Std Error t-Statistic Prob LNLRR(-1) D(LNLRR(-1)) D(LNLRR(-2)) -0.039632 0.050820 -0.436304 0.047662 0.115124 0.115296 -0.831527 0.441441 -3.784207 0.4089 0.6604 0.0003 R-squared 0.218083 Mean dependent var -0.022903 -52- Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.192860 1.076823 71.89197 -95.50627 2.051233 S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 1.198588 3.030962 3.131318 3.070559 Chui LnFIS dng sai phõn bc Null Hypothesis: D(LNFIS) has a unit root Exogenous: None Lag Length: (Automatic - based on SIC, maxlag=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -10.33689 -2.600471 -1.945823 -1.613589 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNFIS,2) Method: Least Squares Sample (adjusted): 1996Q3 2012Q4 Included observations: 66 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNFIS(-1)) -1.242184 0.120170 -10.33689 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.621760 0.621760 0.752633 36.81964 -74.39037 2.050599 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter -0.004642 1.223769 2.284557 2.317733 2.297666 Chui FLI dng sai phõn bc Null Hypothesis: D(FLI) has a unit root Exogenous: None Lag Length: (Automatic - based on SIC, maxlag=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values t-Statistic Prob.* -6.584914 -2.600471 -1.945823 -1.613589 0.0000 -53- Augmented Dickey-Fuller Test Equation Dependent Variable: D(FLI,2) Method: Least Squares Sample (adjusted): 1996Q3 2012Q4 Included observations: 66 after adjustments Variable Coefficient Std Error t-Statistic Prob D(FLI(-1)) -0.800307 0.121536 -6.584914 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.400154 0.400154 0.045428 0.134140 110.9015 1.983412 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.000000 0.058655 -3.330349 -3.297172 -3.317239 Chui LnLRR dng sai phõn bc Null Hypothesis: D(LNLRR) has a unit root Exogenous: None Lag Length: (Automatic - based on SIC, maxlag=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -9.103698 -2.601024 -1.945903 -1.613543 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNLRR,2) Method: Least Squares Sample (adjusted): 1996Q4 2012Q4 Included observations: 65 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LNLRR(-1)) D(LNLRR(-1),2) -1.428018 0.457777 0.156861 0.112092 -9.103698 4.083955 0.0000 0.0001 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.596567 0.590163 1.074183 72.69372 -95.86671 2.068388 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Kt qu kim nh mi quan h ng tớch hp Sample (adjusted): 1996Q4 2012Q4 Included observations: 65 after adjustments 0.000120 1.677926 3.011283 3.078187 3.037681 -54- Trend assumption: Linear deterministic trend Series: FLI LNFIS LNLRR Lags interval (in first differences): to Unrestricted Cointegration Rank Test (Trace) Hypothesized No of CE(s) Eigenvalue Trace Statistic 0.05 Critical Value Prob.** None * At most At most 0.265233 0.125765 0.019373 30.04104 10.00797 1.271585 29.79707 15.49471 3.841466 0.0469 0.2801 0.2595 Trace test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Kt qu ny cho thy tn ti mi quan h ng tớch hp gia bin FLI, LnLRR v LnFIS giỏ tr trace statistic < giỏ tr ti hn mc ý ngha 5% Nh vy iu kin ca kim nh Granger ó tha vỡ vy ta tin hnh kim nh Granger xỏc nh liu cú tn ti mi quan h nhõn qu gia cỏc bin hay khụng Kt qu kim nh nhõn qu Granger Pairwise Granger Causality Tests Sample: 1996Q1 2012Q4 Lags: Null Hypothesis: Obs F-Statistic Prob D(FLI) does not Granger Cause D(LNFIS) D(LNFIS) does not Granger Cause D(FLI) 65 0.79448 1.67346 0.4565 0.1962 D(LNLRR) does not Granger Cause D(LNFIS) D(LNFIS) does not Granger Cause D(LNLRR) 65 0.04857 0.61168 0.9526 0.5458 D(LNLRR) does not Granger Cause D(FLI) D(FLI) does not Granger Cause D(LNLRR) 65 0.79567 0.19829 0.4560 0.8207 Kt qu ny cho thy mi quan h nhõn qu di hn gia bin FLI v FIS, bin FIS v bin LRR, bin LRR v bin FLI Kt qu kim nh mụ hỡnh hi quy S dng mụ hỡnh vộc-t hiu chnh sai s kim nh mi quan h tỏc ng qua li gia cỏc bin õy lun s a thờm bin gi v thi gian vo mụ hỡnh -55- kim nh Theo ú giai on t quý 01/1996 n quý 04/2007 s mang giỏ tr D = v giai on t quý 01/2008 n quý 04/2012 s mang giỏ tr D = Kt qu kim nh mụ hỡnh nh sau: Vector Error Correction Estimates Sample (adjusted): 1997Q1 2012Q4 Included observations: 64 after adjustments Standard errors in ( ) & *, ** cú ý ngha mc 5%, 10% Cointegrating Eq: CointEq1 D(LNFIS(-1)) 1.000000 D(FLI(-1)) 9.270876 (2.78512) [ 3.32872] C -0.062990 Error Correction: D(LNFIS,2) D(FLI,2) CointEq1 -0.983826 (0.27708) [-3.55070] -0.044616 (0.01675) [-2.66344] D(LNFIS(-1),2) -0.142146** (0.21941) [-0.64787] 0.029359 (0.01326) [ 2.21334] D(LNFIS(-2),2) -0.107654 (0.14153) [-0.76066] 0.006223* (0.00856) [ 0.72736] D(FLI(-1),2) 6.780859** (2.42861) [ 2.79208] -0.253662* (0.14683) [-1.72763] D(FLI(-2),2) 1.343110 (2.22379) [ 0.60397] -0.167385 (0.13444) [-1.24502] C 0.031715 (0.12826) [ 0.24726] 0.001432** (0.00775) [ 0.18465] D01 -0.082683** (0.23007) [-0.35938] 0.004635 (0.01391) [-0.33320] D(LNLRR) 0.056804 (0.09185) [ 0.61843] -0.000946 (0.00555) [-0.17037] 0.583935 0.531927 0.339701 0.257164 R-squared Adj R-squared -56- Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent 40.39851 0.849354 11.22775 -76.08918 2.627787 2.897647 0.004959 1.241457 Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion 0.147658 0.051349 4.115728 103.4836 -2.983861 -2.714001 0.000000 0.059578 0.001773 0.001358 29.64144 -0.363795 0.243391 Kt qu kim nh cho thy t húa ti chớnh cú tỏc ng n tớnh bt n ti chớnh theo mi quan h thun sau mt tr, tc l 1% m rng chớnh sỏch t húa s lm gia tng 1% tớnh bt n ti chớnh Ngoi ra, bin gi cho thy cú mt tỏc ng nghch chiu i vi tớnh bt n ti chớnh ngha l khng hong kinh t ti chớnh M xy ra, Vit Nam ó thc hin cỏc bin phỏp sit cht i vi t húa ti chớnh, iu ny lm cho tớnh bt n ti chớnh gim i Mc gii thớch ca mụ hỡnh l 53.19% ngha l mi quan h ny khỏ bn cht Kim nh s phự hp ca mụ hỡnh Phn d ca FLI l dng Null Hypothesis: PHANDU_DFLI has a unit root Exogenous: None Lag Length: (Automatic - based on SIC, maxlag=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -6.659515 -2.600471 -1.945823 -1.613589 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(PHANDU_DFLI) Method: Least Squares Date: 01/08/14 Time: 04:26 Sample (adjusted): 1996Q3 2012Q4 Included observations: 66 after adjustments Variable Coefficient Std Error t-Statistic Prob -57- PHANDU_DFLI(-1) -0.811355 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.405572 0.405572 0.045245 0.133060 111.1682 1.976987 0.121834 -6.659515 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.0000 9.82E-05 0.058684 -3.338430 -3.305254 -3.325321 Phn d ca LnFIS l dng Null Hypothesis: PHANDU_DLNFIS has a unit root Exogenous: None Lag Length: (Automatic - based on SIC, maxlag=10) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.* -9.090674 -2.601024 -1.945903 -1.613543 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(PHANDU_DLNFIS) Method: Least Squares Date: 01/08/14 Time: 03:55 Sample (adjusted): 1996Q4 2012Q4 Included observations: 65 after adjustments Variable Coefficient Std Error t-Statistic Prob D(PHANDU_DLNFIS (-1)) 0.457290 0.112131 4.078184 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.595735 0.589318 1.074168 72.69167 Mean dependent var -0.000472 S.D dependent var 1.676175 Akaike info criterion 3.011255 Schwarz criterion 3.078159 Hannan-Quinn -95.86579 criter 3.037653 2.066681 Phn d ca LnLRR l dng Null Hypothesis: PHANDU_DLNLRR has a unit root Exogenous: None Lag Length: (Automatic - based on SIC, maxlag=10) t-Statistic Prob.* -58- Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level -7.155146 -2.600471 -1.945823 -1.613589 0.0000 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(PHANDU_DLNLRR) Method: Least Squares Date: 01/08/14 Time: 03:58 Sample (adjusted): 1996Q3 2012Q4 Included observations: 66 after adjustments Variable Coefficient Std Error t-Statistic Prob PHANDU_DLNLRR (-1) -0.880645 0.123079 -7.155146 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat 0.440583 0.440583 0.043914 0.125346 113.1390 1.976255 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter 0.000332 0.058713 -3.398151 -3.364975 -3.385042 ... TRNG I HC KINH T TP HCM - NGUYN NGC YN TRANG NH GI MC T DO HểA V TC NG CA T DO HểA TI CHNH N BT N TI CHNH VIT NAM Chuyờn ngnh : Ti chớnh Ngõn hng Mó s : 60340201 LUN VN THC S KINH... Vit Nam cng khụng nm ngoi xu hng ú Vic thc thi cỏc chớnh sỏch t húa ti chớnh Vit Nam ch thc s din t nm 1996 V tri qua thi gian di thc hin, quỏ trỡnh thc thi cỏc chớnh sỏch t húa ti chớnh Vit Nam. .. húa ti chớnh Vit Nam Tỏc gi s dng th cú c t s liu tớnh toỏn ca phng trỡnh (3.1) ỏnh giỏ mc t húa ti chớnh Vit Nam giai on t nm 1996 n nm 2012 Biu 4.1: Biu ch s FLI ca Vit Nam giai on 1996