Ước lượng hàm cầu tiền thực cho việt nam hàm ý chính sách từ kết quả so sánh được

64 Pham Dinh Long & Btii Quang Hien, Tap chi Phat trien Kinh te, 28(1) 64-83 Iro.c ltromg ham cau fien thkrc cho Vqt Nam: Ham y chinh sach tir ket qua so sinh dirge PHAM DINH LONG Trtrong DAi hoc Mo TP.HCM — long.pham@ou.edu.vn BUI QUANG HIEN hienbq.16ae@ou.edu.vn Ngay nhan: 10/10/2016 Ngay nha'n 10: 25/01/2017 Ngay duyet clang: 25/01/2017 Ma so: Viec dinh Itrong ham cau tien co,y quan trong viec xfic dinh mem tang cung tien, gap phin thuc hien chinh sach tien to dat hieu qua Nghien cau trOc luvn$ ham cau tien thoc cho VN giai doan thing 12/2003-12/2014 bang cac mo hinh vector hi8u chinh sai so va hoi quy &Ong lien ket Sau phan tich cac you to anh huirrig den ham cau tien thkrc (Ml va M2) ca ngAn va dai han, ket qua nghi8n ciru lam re vai tro,cfra,gia yang thkrc va ti gia thkrc da phtrang tic &Ong manh den,ham cau Wen dal han Ham cau tien thuc (Ml va M2) chum the lc& luan la On dinh giai doan nghien ciru Abstract 1016-E4I-VOI lit khoo: Cu A tien; Chinh sach tien t8; Vector hieu chinh sai so; Hoi quy (long li8n ket Keywords: Money demand; Monetary policy; Vector error correction model; Cointegration regressions The quantitative analysis of money demand meaningfully specifies money supply growth, contributing to the implementation of effective monetary policy This study attempts to estimate money demand for Vietnam between December 2003 and December 2014, using vector error correction and cointegration regression models By considering the determinants of money demand (MI and M2) in short and long terms, the empirical results verify the roles of real gold price and effective exchange rate, which strongly and significantly affect money demand in the long run The other determinants, however, only have subtle effects, concerning money demand functions, which suggests that real money demand functions (M1 and M2) cannot be confirmed as being stable during the surveyed period Some policy implications are thus recommended based on the analytically comparable results Pham Dinh Long & Bui Quang Hien, Tap chi Phat trien Kinh te, 28(1) 64-83 65 Gioi thieu Trong bOi canh nen kinh te c6 nhieu bien &Ong, viec dieu hanh chinh sach tien te (CSTT) can Oa tren nhieu co ser ca ve li thuyet fan thuc nghiem dot ket qua tot nhat Nhieu nghien ciru lien quan da dugc thuc hien, CO mot s6 nghien cuu ve ham cau tien Ve Ii thuyet, ham cau tien coy nghia quan trong viec phan tich cac chinh sach vi ma Xet tren thi trutring tien te, ham cung va cau tien hinh nen duang LM ma hinh IS—LM, theo do, lei suet nhtr la mot kenh truyen clan cue CSTT den cac chi so chinh nen kinh te Sr On dinh cita ham cau tien gidp ngan hang trung uang (NHTU) theo dal su bien Ong dieu chinh cung tien a mix phir hgp, tranh cac khoan thieu but hay du thira cung tien lam lei silk bien do, ng va anh huang den cac yeu to khac Vi vay, van de nghien ciru thuang dugc chit va lam ca sa cho viec hinh CSTT hieu qua Theo Sriram (1999c), nghien curl ve ham cau tien tren the giai co lich sir lau dal vai cac nghien ciru tieu bieu ciia Fisher (1911), Keynes (1936), Friedman(1956) Nhieu ket luan khac dugc dua bai cac phuang phap trac luting da clang va phong phu Cac nghien ciru lien quan rat quan tam den van de Iva ch9n mo hinh cho phu hap nhat va cap nhat cac yeu to mai ang vai tinh hinh thuc te c6 nhieu hien dOi Dieu dOi hOi can c6 cac nghien ciru tie!) theo ve viec ti'ep tuc nghien cuu ham cau tien nham phan anh r6 hon thuc trang nen kinh te O VN, s6 Juan cac nghien ciru dinh luting ve ham cau tien chua dugc thuc hien nhieu Cac nghien ciru chi clang Iai a tang m6 hinh cu the, dien hinh nhu sir dung mo hinh VAR hoc VECM de phan tich (Ha HuSrnh Hoa, 2008; Nguyen & Pfau, 2010) Ha Hujrnh Hoa (2008) chi Hen lai suet tin phieu kho bac, bien su mAt gia cira d6ng n6i to tac dOng den ham cau tien Trong do, Nguyen va Pfau (2010) chi lei suet tien giri ngoai to va 'chi s6 cluing khoan cling tac Ong den ham eau tier' Ham cau tien tang duqc ket Van la On dinh giai doan 1996-2006 (Ha Hujrnh Hoa, 2008) va giai doan 1999-2010 (Nguyen & Pfau, 2010) Theo Luat Ngan hang Nha nark (NHNN)', muc ti'eu cua CSTT la On dinh gia tri Sing tien the hien qua chi s6 lam phat O theri diem nem 2008 va 2011, sau cung tien co clau hieu dugc ma rang, chi s6 CPI ca dau hieu tang cao Ian luqt a mire 23,12%, 18,68% (Hinh 1) nhung CSTT lei dugc that chat vao giai doan tiOp theo Ve ti gia thuc da phuang, NEER mAt gia 16,65% nhung REER tang gen 39,82% tinh tir thong 12/2007 http://vanban.chinhphu.vn/portal/page/portal/chinhphu/hethongvanban? class_id=l& mode=detail&document_id=96040 ▪ 66 • ▪ • ▪ Plum Dinh Long & Bui Quang HiAn, Top chi Mint tri&n Kinh t& 28(I) 64-83 den thing 12/2014 Gia tri REER tang Wang ducrng vii deng VND len gia (Hinh 2) Hang h6a mr6c bi mat din tinh canh tranh Ve gia yang, giai doan 2007-2011 bian clOng manh so Wei giai doan 2003-2007 (Hinh 3) Sau giai doan dau thau yang mieng dr thang 03/2013 den thang 12/2013, kat qua cho thay boat ding dau co tren thi truerng yang da giam so vai giai doan truck Mat bang lai suit g6m: Lai suit tin girl, lai suit cho vay va lai suit tin phiau kilo bac cla tang len rat cao Mang frng v6i th6i diem tinh hinh lam ph& cling tang cao a th6i diem nam 2008 va 2011 (Hinh 4) Tin dung duric that chat lai vao nam lien sau (nam 2009, 2012) kiem cht lam phat a 60.00 25.00 50.00 20.00 40.00 15.00 30.00 10.00 20.00 5.00 10.00 0.00 0.00 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 IMITOc (10 tang M2 (%) Hinh Tang CPI (%) truing cung tin M2 (tral), chi s6 CPI (phai) giai doan 2003-2014 Ngu'on: Du lieu thong ke tai chinh quec to (IFS) dm Qu9 Tien to Quec to (IMF) NEER_138_VN 140 REER_138_VN 130 120 110 100 lo**/ 90 %.4 •10 4r• "10 % So, • 80 70 n-1 0 N • N 0 0 0 0 0 0 N N N • N N 01 1-1 01 N 1-1 I-I Hinh NEER 0 o0 CO 0 N N ▪ 1-1 0 0 0 01-I q-I 0 N N N N N 1-1 o-1 e-I N ■■•••• -N011.1.0.0 t-1 •-1 0 0 N N IN N N N N N N or ‘—o 1-1 s-I 1-1 va REER cua VN giai doan thang 12/2003-12/2014 Ngujn: Zsolt (2012) tinh town vi ductc cap nhet du lieu den thang 06/2015 - Pham Dinh Long & BUi Quang Hien, Tap chi Phat tri&I Kinh t& 28(1) 64 83 67 45 Gia yang S1C nuot (Trreu VND/Lucng) 35 25 15 DAu thilu yang m4ng L.n JD tO n N 00 00 CO 01 01 0 0.1 eV CV IV 01 1 01 3* 0 0 0 0 0 0 I-1 ■-1 000000000 0000000000000000 IN CV CV IN IN CV IN CV IN N IN CV IN IN IN IN NJ IV NJ IN IN IN IN NJ IN "N 'N 01 CO rl JD IT CV IN IN Ul rn 03 I-I 3' 01 N IN ul -10) 0 0000 ,-1 ,-1 0000 ,-1 00 00 ,-1 Hinh Dien bien gia yang nuerc giai doan thang 12/2003-12/2014 Ngujn: Tting cuc thOng ke, Vietstocks — 18 — • 13 suat tien giyi (%) suat tin phigu kho bac (%) suat cho vay (%) - 11 • • •7, J _ ••• • • M .0 Lc, 14 LO to tO c N 00 00 00 ch al 0 -I t-I -I IN IN 01 01 01 •O' '0' 0 0 0 0 0 p l0 0 eV r1 -I 04 -I -1 t-I -I %-1 01 eV 0000000000 0000000000000000 IN CV CV CV NJ CV CV IN IN N IV CV IN ni IN CV NJ NI CV CV NI IN IN CV IN NJ S S ' 5, " N ' ' N ' ' ' "• S " " - \J ` - " '.• IN L01 C01 03 I-I LO t-I •::t 01 N N IN Lel 01 03' -I kJ] -I Cr 01 IN N IN LI1 %-1 0,-1 0000,-1 0000,40J-40000,-1 0000 ,-1 001 Hinh Lai suat tien gtri, lai suat cho vay, lai suat tin phieu kho bac ctia VN giai doan thang 12/2003-12/2014 Ngui3n: Da lieu thiing ke tai chinh qtaic to (IFS) caa Qu9 Tien to Quac to (IMF) Ket qua ham cau tien dOi ltic khong ging gift cac nghien cfru có su khac viec lua chop bien chi phi co hqi, lua chon mo hinh trac luting hoac giai loan nghien cuu Tir nhu cat' thuc tien ctia dieu hanh kinh to vi mo va dien bien thuc te, nghien cfru se phan tich cac yeu to tic dOng den ham cau tien va ix& luting ham cau tien cho Pham Dinh Long & Ain Quang Hien, Tgp chi Phat trien Kinh te, 28(I) 64-83 68 VN giai doan thong 12/2003-12/2014 co bo sung them hai yeti to mai ve ti gia thuc da phuang va gia yang Nguai m6 hinh vector hieu chinh sai so, tac gia sir dung ma hinh hOi quy Sing lien ket Theo Wang va Wu (2012), uu diem dm ma hinh giup wan quan chuOi va hien tuang nOi sinh th6ng qua viec hieu chinh khac phyc yen cac he so tir ma trait hiep phucmg sai cita phan du dai han Ket qua trac lucmg tir viec hieu chinh m6 hinh hoi quy ding lien ket va ma hinh vector hieu chinh sai se se duac nghien ciru so sanh va phan tich Vai uu diem ciia m6 hinh hOi quy ding lien ket, cac yeti to tac Ong den ham cAu tien phan anh dtroc ket qua vet ham va c6 the phat hien them yeu to tac Ong mai Qua do, nghien cau dua mot so khuyen nghi viec hoach dinh CSTT a VN a Ca sa li thuyet vii pinning phi') nghien 2.1 Ca so li thuyet via khung pluin tich Nghien cau ham cAu tien sir dung gia thuyet thi twang tien to can bang de danh gia m6 hinh uac Luang (Blanchard, 2016) mOi mac !Ai suat cho truac, duang cAu tien cho biet cong chung muOn nam gift Wong tien la bao nhieu Thi truing tien to can bang Luang tien ma dan chung thuc su nam gift (Wong cung tien) bang vai Wong tien ma clan chimg muen nam gift (lacing cau tien) Lucmg cau tien ducc hieu la cac tai san tai chinh mong dal dual hinh thirc tien bao gem tien mat hoac tien gtri ngan hang Li thuyet cau tien duac ph& trien tirng buac ma khoi dau tir If thuyet ltrang Wen giai trich Ong ca nam gift tien ca ban vai myc dich giao dich (Lam Chi Dung, 2009) Fisher (1911) kitting de cap trip tiep ham cAu tien ma dua phtrcmg trich P.Y=M.V vai P, Y, M, V fan hrot mac gia, thu nhap, khOi luong tien va tic dO chu chuyen tien tg (Sriram, 1999c) Phucmg trinh viet Lai M = k P.Y (k =1/V la he se nhan tien) Cac li thuyet sau phat trier' them cac Ong ca khic la Ong co nam gift tai san de dau tu, hoac du ca Theo Sriram ,(1999c), Ii thuyet cAu tien tiep tuc dtroc bO sung nhung nghien cau chi chin Ii thuyet cita Keynes (1936) va Friedman (1956) c6 sir dyng de li giai phan tich ket qua Theo Keynes (1936, duct trich bai Babic, 2000; Kumar & cong sir, 2011) cho rang viec gift tien c6 ba Ong ca gOm: Giao dich, du phong va dau tu tai chinh Nguai dan mong mu& gift tien de thuc hien cac giao dich hang va sir dyng cho nhftng nhu cAu bat nga Hai Ong ca ti le thuart vai thu nhap DOi vai Ong ca dau tu tai chinh, lai suAt ding vai tro quan tong quyet dinh cau tien cho dau ca va ti le nghich vai nhu cau gift tien (Kumar & cong su, 2011) Mo hinh ham cAu tien ma ong de xuat co phan biet gifta *mg Pham Dinh bong & Rini Quang Hien, Tap chi Ph& trien Kinh te, 28(1) 64-83 69 D tien danh nghia va thuc te r = f(i_,Y+) Friedman (1956) clua tren li thuyet lugng tien cho rang tien nhu met 14 tai san va ham cau tien chiu tac Ong bad nhftg yeu to lien quan den nhu cau sa huu cac loci tai san khac Li thuyet lucrng eau ve tai san cho rang day met ham s6 cua nhiTing tai nguyen san sang dung cho ca nhan va Igi nhuan ki vong dm cac loai tai san khac so vai lgi nhuan ki vong cua tien te MO hinh ham cau tien cho bai phucrng trinh (1) MD — p = f(Yp+, rb — r„,_, re — rre _, Tre — r._) (1 ) Trong : MD „ Cau tien thuc te; Yp: Thu nhap dai han; rm: Lai nhuan ki vong cua tien te; rb: Lcri nhuan ki vong cua trai phieu; re: Lai nhuan ki vong cua co phieu; va Ire: Ti le lam phat ki vong Nghien cuu ve Anh twang cua lai suat den su on dinh dm ham eau tien da xuAt hien nhang tranh Wan khac Fisher (1911) va Friedman (1956) this nhan ham au tien on dinh the chu chuyen tien te on dinh Trong do, Keynes (1936) chi ham eau tien khong en dinh lai suat Anh huang Ian den ham call tien (Nguyen & Pfau, 2010) Nhin chung, cau tien cep quan he nghich bien vai cac Wen phan anh chi phi ca hei cua viec gift tien (0) va co quan he Ong bien vai bien quy m6 (S) (Ha Huynh Hoa, 2008; Zuo & Park, 2011; Dogan, 2015) Viec lua chon Wen vac) m6 hinh khong chi dUng lai voi cac bien da de cap a phan tren ma hp chon thuc vac) dac diem tinh hinh kinh to a moi nudrc (Alsahafi, 2009; Helmi & Ong su, 2015; Inoue & Hamori, 2009; Joseph & Ong su, 2013; Siregar & Nguyen, 2013) Cac nghien ciru da co ve hArn cau tien a VN (Ha Huynh Hoa, 2008; Nguyen & Pfau, 2010) lay gia tri san xtdt tong nghiep hoac t6ng san pham quit nOi dai dien cho 'Dien quy mo Nh6m bien dai dien cho chi phi co hei thi c6 su khac biet a cac nghien dru Cac nghien dru a VN chua that su Old den v* lip ellen m8 hinh ket quA chi Ong a met me hinh cu the Nhirng diem se ducrc tac gia can nhic x'ay dung m6 hinh 70 Pham Dinh Long & Bin Quang Hien, Tap chi Phil trien Kinh te, 28(I) 64-83 nghien dm Cu the, tac giA dua vao each tip can tir Ii thuyet ham cau tien Friedman (1956) cho rang tien nhu mot loci tai san va ham au tien ti le nghich vii Igi nhuan ki vong cua cac loci tai san khac so vii lgi nhuan ki vong cua tien te Tir dO, cac bien gOm: VN-Index, ti giA thuc da phuung, giA yang dugc dua vao mO hinh nghien eau dua theo each tiep can va xem cac Wen nhu IA bien chi phi ccrh9i gia tien Bien phu thuc dugc chon IA: cung tien MI, M2; va cac bien &X lap g9m: gia tri san xuAt citing nghiep, chi se gia tieu dung, lai suat tien girl, lai suat tin phieu kho bac, va bien ti gia (USD/VND) dua theo nghien ciru dm HA Huynh Hoa (2008) Bien VN-Index &rye chon dua tren nghien ciru dm Nguyen va Pfau (2010) Mac du ngutri clan i VN thulang co nhu cau gia yang ben canh gia tien nhung tac gia chua tim thay bien gia yang nghien dm ham cat' tien Siregar va Nguyen (2013) cho rang thay doi caa ti le lam phat bang hieu cua thay d6i cung tien danh nghia vii thay d6icau tien thuc (AR= AML - pP) Trong do, cau tien thuc bi anh huOng kri thu nhap (y+), lai suat tien girl (r.„-T) va lgi nhuan ki vong cua viec gift yang (rg-) (Siregar & Nguyen, 2013) Tuy d9ng USD co the dugc nam gia vii so lugng nhieu hem cac loci ngoai to khac nhung VN da co quan he giao thuung vii nhieu nuic (chang han nhu Msr, EU, Nhat, Trung Quoc, HAn Qu6c ) nen nghien ciru nay, tac giA chon bien ti giA la ti gia thuc da phuung 2.2 Plutung phap nghien cti-u Nghien ciru sir dung phuung phap dinh lugng g9m cac kiem dinh truot h9i quy, mO hinh vector hieu chinh sal s9 (VECM), m6 hinh hoi quy d9ng lien kat nhu h9i quy hieu chinh toan phan binh phuung be nhat (FMOLS), hoi quy dOng lien kat Canonical (CCR), h9i quy Ong binh phuung be nhat (DOLS) 2.2.1 MO hinh nghien ciru Irmis = fOrgolds_, vnindex+/ _, reer+/ _, rfidr_, rfitbr_, cpi_) lrm2s = f(lrgolds_, Irips+, vnindex+/ _, reer+/ _, rfitbr_, cpi_) (2) (3) MO hinh nghien ciru dugc thiet lap bC'ri phuung trinh (2) va (3) Ki hieu (+) hoac (-) the hien ki vong dAu Cac bien dugc churl sau dua vao phan co si li thuyet va nghien cau truck Vii gia thief MD=Ms, cung tien that M l (Irmls) va cung tien that M2 (Irm2s) dugc ch9n lam bien phu thu9c Bien quy mo dugc chon la gia tri san xuat Ong nghiep thuc nuic (kips) Cac bien chi phi co h9i gom gia yang that nuic (II-golds), chi so VN-Index (vnindex), ti gia that da phuang (reer), tai suat tien girl that (rfidr), lai Pham Dinh 1,ong & Biti Quang Hien, Top chi !That trien Kinh te, 28(1) 64-83 71 suat fin phieu kho bac thuc (rfitbr) va chi s6 gia tieu dung (cpi) 2.2.2 Du lieu nghien eau Ngu6n du lieu dugc thu thap giai doan thang 12/2003-12/2014, tir cac ngu6n gem: T6ng cuc Th6ng ke (GSO), Quy Tien te Qu6c te (IMF), Vietstocks va Zsolt (2012) De sir dung cho muc dich nghien ciru, tac gia chqn cac hien va dinh nghia nhung tren Bang Cac bien Irmls, Irm2s, lrgolds, kips da khir tinh mica vu sir dung bien gia mita vu Lai suat tien giri thuc va lai suat tin phieu kho bac thuc dugc tinh bari i r=(in—rr)/(1+n) v6i ir, in, Ir Ian Itroi la tai suat thuc, lai suat danh nghia, ti le lam Oat va lay CPI lam chi s6 dai dien Tir thang 12/2003 den thang 03/2009, du lieu gia yang danh nghia khong = gold, * 100 / chi thu thap dugc Tac gia ix& luqng du lieu theo citing thirc s6 gia yang Chi s6 gia yang 6* day m6 to chi s6 gia yang a thang hien tai so voi thang Tien trait Gia yang theo thang la gia yang dugc tinh trung binh tir gia yang cua cac thang Bang M6 to cac hien, dinh nghia va ngu6n chi lieu Ten yeu to vi ma Ki hieu Dinh nghia Cung tien thuc MI Irmls Luang cung tien dugc ch9n IA cung tien MI Cung tien thuc M2 Irm2s Luang cung tien dugc chgn IA cung tien M2 Ngu6n du lieu IFS tir Qtfy Tien te Quac te Lai suat tien gal thuc rfidr Lai suat huy clang tien geri thuc, trung binh ki han thang cua ban ngan hang thucrng mai Ian o VN theo thang Lai suat tin phieu kho bac thuc rfitbr LA lai suat tin phieu kho bac thgc, ki han nam theo thang Chi so gia tieu dung cpi LA chi s6 gia tieu dung theo thang c6 nam g6c 2010 lrgolds La gia yang nu& (gia ban) trung binh thang c6 loai bo y6u Tong cuc Thong ke to gia, hieu chinh mita vu va lAy va Vietstocks logarith to nhien Gia yang thuc 72 Pham Dinh Long & Bui Quang Hien, Tap chi Plait triAn Kinh 28(1) 64-83 Ten yEu to vT ma Ki hiau Dinh nghia Ngu6n dft lieu Gia tri sari xuat tong nghiep thuc (rips Li gia tri sin xuit cua town nganh tong nghiap nuarc thing co loaf bo yeu to gia, hiau chinh mita vu vi liy logarith to nhien Tong cuc Thong k8 Chi so VN-Index vnindex Chi s6 VN—Index la chi so dung cua trung binh thing, co dang phin Vietstocks trim Ti gia that da phucmg reer Ti gia thuc da phtrang ducra tinh Ung vai r6 hang h6a cila 138 ntr6c c6 giao dich ngoai thuong yeti VN theo thing Zsolt (2012) tinh toan va dtrqc cap nhat dvlieu cl8n thang 06/2015 Ket qua th6ng ke mo to cac bien cua mo hinh giai (loan thang 12/2003-12/2014 ducfc minh hog Bang Trong tap da lieu chua bien d6i, piing s6 quan sat la 133 va khong co quan sat nao bi thieu Dan vi tinh cho hien gia tri la VND Ket qua cho thy cac bien du lieu d'eu co sit hien Ong Ian qua d6 lech chuin Ching han, gia yang SJC co gia tri trung binh 23.500.000 VND/Itrung nhung d6 lech chitin lai Ian 12.100.000VND/luong Giai loan 2011-2012, gia yang tang manh the hien a gia tri Ian nhit 44.600.000 VND/luomg Chi s6 VN-Index co gia tri cao nhAt khoang 1.110 diem phin tram phi' hop vii thoi diem thi truing chimg khoan tang vao cac thang !lam 2007 Lai silk tien girl, lai suit tin phieu kho bac cling tang cao phi hop v6i dien bien lai suit nAm 2008 Do chi s6 CPI c6 nam gOc la !lam 2010, gia tri nhe nhit (51,8) va I6n nhit (144,8) lin !trot roi vao thang 3/2003 va thang 8/2014 (gin th6i gian v6i ram g6c) nen tinh trung binh chi s6 CPI a VN cho ket qua nh6 100 Dua ket qua, gia tri cua cac bien du lieu the hien mot cach hop li, s6 quan sat day du, do co the tin hanh cac bu6c tier, theo Bang Ket qua th6ng ke mo to BF& S6 quan sat Trung binh D6 lech chuAn NhO nhAt Lem nhit ml 133 5,04x1014 2,69x10'4 1,57x10" 1,20x10" m2 133 1,99x1015 1,32x10" 3,78x10" 5,02x10" Pham Dinh Long & Bui Quang Hien, Tap chi Phat trien Kinh te, 28(1) 64-83 73 Bien Sa quan sat Trung binh DO lech chuan Nho Mit Lan nhat gold 133 23500000 12100000 7923848 44600000 ip 133 8,03x10'3 5,39x10'3 2,09x10'3 2,32x1014 vnindex 133 483,2438 206,9747 164,9674 1110,986 reer 133 101,0071 0,1221009 100,8086 101,2978 fidr 133 8,856887 2,977005 4,92 17,16 fitbr 133 7,523451 2,895747 3,34 15,6 cpi 133 95,73148 31,18521 51,83432 144,8551 Ket qui va thin luin Dau tien, tac gia kiem tra tinh dirng caa da lieu bang kiem dinh Augmented DickeyFuller (ADF) Ngoai ra, kiem dinh ADF c6 x8t den tinh pha vet cau frac cang dugc sir dung de khang dinh them cho ket luan tir ADF ve kiem tra tinh dung Ket qua cho May tat ca cac bien deu dirng a sai phan bac I (Bang 3) NM kh6ng c6 su khac biet giira hai ket qua kiem dinh tinh dung Day la dieu kien tien quyet that hien hei quy deng lien JCL Qua kiem dinh, cac tieu chi FPE, AIC, HQIC, SBIC deu ang he de tre la dO tre pha hop caa me hinh (Bang 4) Sau chen dugc de tre pha hop, ket qua kiem dinh to tucmg quan Johansen cho May tem tai mtii quan he dai han din tai giUa cac hien me hinh (Bang 5) Day la ccr sa tiep tuc that hien !lei quy and hinh da de xuat Bing Ket qua kiem dinh nghi'em dun vi Kiem dinh ADF Bien Kiem dinh ADF co xet tinh pha va cau trilc Sai phan Sai phan Sai phan bac bac bac Irmls -2,582 -5,920*1 -3,812 2/2011 -8,845*1 2/2008 Irm2s -2,854 -7,474*1 -4,475 12/2006 -7,724*1 2/2008 Irgolds -0,522 -7,859*1 -3,569 2/2011 -10,484*1 6/2006 !rips -1,959 -13,315*1 -4,081 11/2010 -13,576*1 8/2011 vnindex -2,532 _6,587*1 -5,458 11/2007 -7,895*1 3/2007 Thing Sai phan bac Thang 74 Pharn Dinh Long & Bin Quang Hien, Tap chi Phat trien Kinh te, 28(1) 64-83 Kitm dinh ADF Bitn Kiem dinh ADF có xet tinh phi va cAu tr(ic Sai phan b4c Sai phan bac Sai phan bac Thang Sai phan Thang reer -2,334 -8,89151 -3,379 7/2010 -9,92651 12/2008 rfidr -0,518 -10,3425' -3,728 12/2007 -14,997*' 1/2007 rfitbr -0,923 -7,5325' -3,261 2/2008 -10,2145 ' 7/2008 cpi -2,220 -4,7585' -3,205 11/2010 -6,35151 9/2010 Ghi chi): Zt a mac ji nghia 1%, 5%, 10%, 1% = -4,022 (*'), 5% = -3,443 (55), 10% = -3,143 (*10) 1% = -5,57 (51), 5% = -5,08 (*5), 10% = -4,82 (*10) Bang Ke't qua Ira chon tra toi uu tre DO, LR FPE AIC HQIC SBIC 6,55313 24,583 24,655 24,7603 2781,6 7,60E-09 4,01216 4,66072 5,60833* 223,63 3,7x1095 3,27081* 4,49586* 6,2858 93,37 4,90x109 3,53926 5,34081 7,97307 100,86* 6,40x109 3,74963 6,12767 9,60227 Bang K.tt qua kitm dinh dang lien kt Johansen Gia tri a Gia tri a mac 5/ nghia 5% mac y nghia 1% 212,0584 170,8 182,51 0,43647 136,9243*' 136,61 146,99 0,27784 94,282855 104,94 114,36 0,233 59,5332 77,74 85,78 0,16278 36,2584 54,64 61,21 0,1177 19,8535 34,55 40,49 Max rank Gia tri Eigen Thang ke Trace - Ghi chic (*1), (*5) In lucrt twang ang voi cac mac y nghia 1%, 5% Pharr Dinh Long &Bill Quang Hien, Tap chi Phat trien Kinh te, 28(1) 64-83 75 3.1 Ham cdu tin thuc MI Trong ngin han, 1(61 qua cAu tien thuc MI chiu tac Ong bai cac bien vnindex, reer, rfitbr va cpi (Bang 6) M6 hinh VECM cho thAy ton tai mOi quan he ngAn hp vai he s6 dm ECT(-1) am va c6 y nghia thong ke Khi cAu tien thuc MI tech khoi gia tri can bAng thi ki ke tiep cua cAu tien thuc MI se dieu chinh tang khoang 3,4% d6 Zech de dat duqc mix can bang Phucmg trinh Irmls ngan han duqc viet 14i: LIIrmls = -0,0340634 ECT(-1) + 0,06I 7752 Alrmls(-1) + 0,0471475 1llrgolds(-1) + 0,0270579 L\Irips + 0,0001469 Xvnindex(-1) + 0,4521859 Lreer(-1) -0,0007669 Arfidr(-1) - 0,0058979 Arfitbr(-1)- 0,0211578 Acpi(-1) + 0,0157713 Bang Ket qua cAu tien thuc M1 dai han Bien He s6 Hi?' lech chuAn Gia tri p -0,0340634 0,0167926 0,043* Alrm1s(-1) 0,0617752 0,0852173 0,469 Alrgolds(-1) 0,0471475 0,0829781 0,570 Alrips(-1) 0,0270579 0,0206414 0,190 Avnindex(-1) 0,0001469 0,0000563 0,009*** freer(-1) 0,4521859 0,2108798 0,032** Arfidr(-1) -0,0007669 0,0019962 0,701 Arfitbr(-1) -0,0058979 0,0024104 0,014*** Acpi(-1) -0,0211578 0,0042211 0,000*** Wang s6 0,0157713 0,0042211 0,000*** ECT(-1) Ghi cha:*,**,*** ran lugt Mang irng voi cac mirc y nghia 10%, 5% va 1% Bi6n gia yang thuc khong coy nghia th6ng ke ngAn ban mot so thi diem gia yang tang cao, ngtroi dan d6 xo di mua yang sq yang tang gia Tuy nhien, nhu cau chua chAc duqc dap Ung du vi nhieu Ii Nghien dru cho rang Ii c6 the den tir ngu6n cung yang nude chua dit dap tang kip, tir viec han the lugng yang ban de ch6 gia yang tiep tuc tang hoac ChInh phu trAn an tam II nguel dan ve viec se on dinh d6ng not te, quan II chat the thi true:mg yang 76 Phgm Dinh Long & Bdi Quang Hien, Top chi Phit trien Kinh te, 28(1) 64-83 Khi thi trading chang khoan tang diem, nhu cau gia den cua cua nguiri dan chi tang rat nhe (0,01469%) Theo Friedman (1956), cAu tien nghich bien vii suit sinh lqi ki vong cua co tirc Tuy nhien, ket qua gitmg vii Oat hien dm Nguyen va Pfau (2010) Tac gia cho rang niem tin dm ngtroi dan vao thi truing chang khoan VN chua that so yang chic Trong ngan han, nha du to c6 the ch6t khoan den 161 thay vi chi tra co tac Khi chang khoan tang diem, au v6' tien cua ngudri clan se c6 xu huang tang len Ngoai ra, c6 the la quy mo thi truing chang khoan VN nho (v6n h6a thi tru&ng chang khoan/GDP dual 40% theo lily ban Chang khoan Nha mac thing 11/2016), s6 lugng nguari dan gia tai san dudri dang chang khoan chua nhieu nen c6 the din den hien tugng Bien ti gia thuc da phucmg tic do, ng mph va cling chieu len au den thuc MI a mac nghia 5% Bi'n dugc xem la bien chi phi co hOi cua viec gia tien va c6 ki vong ngtroc chieu vii au tien Tuy nhien, theo cach tiep can thay the tai san, ngtrai dan se mu6n nam gia nhieu tai san hon dong not to mit gia Hang h6a nuac se re hon so vii hang Ma nuac ngoai De co the mua dugc nhieu tai san nuac bang d6ng not to nhieu hon, ngudri dan se tang nhu cAu gia den bang d6ng not to (Ha Hujmh Hoa, 2008) Bien lai suit tien gui thrc khong co y nghia thong ke Theo quan diem Friedman, cau tien &roc cho la it nhay cam vii lai suit Ngu6i dan luon mong mu6n co lai suit thuc ducrng gui tien Trong dieu kien lam phat a VN c6 giai doan tang cao, lai suit thuc se am, dO, hien Wong by khoan (Liquidity Trap) c6 the xay Hien Wong &roc hitt' NHTLf nal long CSTT nham !Ai suit va kith thich kinh to nhung khong dat dupc Khi tai mot giai han nao do, NHTIf c6 gang born den tang len bao nhieu di nua thi lai suit ding kh6ng the giam hon CAu den theo lai suit co xu hu6ng co gian hoan toan Ngoai ra, viec NHNN ap tran 'Ai suit huy (ging cling co the lam cho mac d'6 hAp clan cua viec gui tiet kiem bi giam di GiOng vii ket luan dia Freidman (1956), bien la' suit tin phieu kho bac there co j nghia th6ng ke di mac 1% va c6 m6i quan he nghich bien vii au den thuc MI Tac do, ng la nho kenh dAu to co rliri ro rat tik) Rut ro cang thap thi mac d6 hap clan ve suit sinh lqi ki vong ding cang thap Do do, c6 the giai thich tai tic clOng it anh hudmg den nhu cau gut den dm ngirdri dan Bien chi s6 gia tieu dung c6 m6i quan he trai chieu vii cau den thuc Ml Nghien tiro chon MI la cau den hp Nhu cAu ve den MI therng cho yAu la moc dich giao dich, so Pham Dinh Long & Biii Quang Hien, Tap chi Phat trien Kinh te, 28(1) 64-83 77 vai muc Bich dAu ca va du phong Vi day la eau tien that Ml nen c6 the lam phat tac dOng y6u den call tien Trong dai han tit ket qua h6i quy so sanh dugc, cac bien a cac mo hinh deu coy nghin thong ke Mac dO giai thich dm m6 hinh DOLS (97,1%) cao nhAt so vai cac m6 hinh VECM (40,7%), FMOLS (84,1%), CCR (86,9%) (Bang 7) Dip vao mac y nghia, mac clO giai thich mo hinh va dAu ki v9ng, m6 hinh CCR cho ket qua tot nh'At M6 hinh hei quy 'ling lien ket c6 hieu chinh cac he s6 th6ng qua ma tran hiep phuang sai cua phAn du dai han, c6 the khac phut van de tuang quan chu6i, hien tucmg nOi sinh (Wang & Wu, 2012) Dieu c6 the Ii giai vi 1(61 qua mo hinh VECM kh6ng tot han cac ket qua a mo hinh h6i quy d6ng lien ket Ket qua cho thay c6 them bien gia tri san xuAt coring nghiep that Lac do, ng len cau tien that MI Quy m6 san xuAt ding nghiep tang Ian thi nhu cau gift tien cfla ngueri dan cang tang theo (Ha Huynh Hoa, 2008) Tuy nhien, lai suat tin phieu kho bac thuc lai ding Nen vai cau tien that Ml khac vai ket Juan cua Friedman (1956) Trong mot thi trutrng tien to can bang, neu ngual dan c6 nhu cau nam gift luting tien it km luting tien ma 119 aux su co thi 119 se mu6n nam gia nhieu han cac loai trai phieu, tit d6 lam gia trai phieu tang Khi gia cac loai trtii phieu tang thi lai suAt se giam xuong Bien gia yang thuc nghich bien vai cau tien that MI dai han Dieu dung nhu ki v9ng ma nghien eau da dua va la phat hien mai cua nghien cau so yeti cac phat hien truac day cita Ha Huynh Hoa (2008), Nguyen va Pfau (2010) Khac ngin han, Wen ti gia thuc da phucmg cho ket qua nghich bien cau tien that MI Dieu cluing to ngtroi dan c6 xu huang gift it tien han tiring nOi tg bi mat gia Tren thuc te, tai VN yang va ngoai to dugc xem la hai kenh chinh de du phong song song vai viec gift tien nen cho ket qua tac dOng Ian Phuong trinh ham cau tien thuc MI dai han dugc vi6t 10: Irm1sCCR = 105,9 — 0,245 Irgolds + 0,282 Irips + 0,00031 vnindex — 0,753 reer — 0,0245 rfidr + 0,0117 rfitbr — 0,00757 cpi Bang Ket qua cau tien thuc MI dai han VECM FMOLS CCR DOLS Irmis Irmis km s Irmis —0,4595683** —0,242*** —0,245*** —0,147* (0,2336489) (0,0510) (0,0520) (0,0840) Bien Irgolds 78 Phom Dinh Long & Bin Quang Hien, Top chi Phan trien Kinh te, 28(1) 64-83 VECM FMOLS CCR DOLS Irmis Irmis Irmis Irmis 0,5403968*** 0,282*** 0,282*** 0,324*** (0,2014496) (0,0360) (0,0478) (0,0860) -0,0013442*** 0,000308*** 0,000310*** 0,000412*** (0,0001489) (2,93e-05) (3,45e-05) (6,40e-05) -4,324238*** -0,772*** -0,753*** -0,441 (0,914772) (0,163) (0,199) (0,380) 0,0843073*** -0,0245*** -0,0245*** -0,0383*** (0,009864) (0,00197) (0,00235) (0,00397) -0,1001702*** 0,0117*** 0,0117*** 0,0278*** (0,0107419) (0,00209) (0,00250) (0,00460) -0,0089349** -0,00745*** -0,00757*** -0,00738*** (0,0049226) (0,000995) (0,00111) (0,00192) 395,3594 107,8 105,9 71,31 131 132 132 129 0,3782 0,841 0,869 0,971 Bien Irips vnindex reer rfidr rfitbr cpi Hang so SO quan sat R2 Ghi chit: DO lech chuan dtmc clan ( ) *, **, *** In Itrot twang img veri cfic mac j, nghia 10%, 5% va 1% 3.2 Ham cdu tien thvc M2 Trong ngan han, me hinh VECM van cho thay c6 m6i quan he ngan han xet cho twang hop eau tien thkrc M2 (1-le s6 ctla ECT(-1) am va co 3', nghia th6ng ke) T6c dO hieu chinh ye can bang dai han dm eau tien thkrc M2 charn han so vai cau tien thkrc Ml Phuang trinh ngan han &Tic vier lai: Alrm2s = - 0,0093823 ECT(-1) + 0,3788643 LtIrm2s(-1) + 0,0378465 Alrgolds(-1) - 0,0059791 Alrips(-1) - 1,23e-07 Lvnindex(-1) + 0,4357892 freer(-1) - 0,0023811 Arfitbr(-1) - 0,0139992 Acpi(-1) + 0,0121702 Trong dai han, mo hinh CCR cho ket qua tot nhat vbi s6 hien coy nghia thong ke, Pham Dinh Long & Bid Quang Hien, Tap chi Phit trien Kinh te, 28(1) 64-83 79 dau ki v9ng va mac dO giai thich y nghia cita mo hinh (R2) Ket qua cho thay gia yang thuc, ti gia thuc da phuang khong co m6i quan he vgi cau tien thuc M2 Bien gia tri san xuAt citing nghiep thuc, chi s6 vnindex van c6 tac dOng ding chieu va lai silk tin phieu kho bac dux, chi s6 gia tieu dung c6 tac idOng ngugc chieu vai cAu tien thuc M2 Phuang trinh ham cau tien thuc M2 dai han dugc viet Igi: Irm2sccR = 39,12 - 0,0321 Irgolds + 0,206 Irips + 0,000181 vnindex - 0,0918 reer 0,0143 rfitbr - 0,00581 cpi Bang Ket qua cAu tien thuc M2 ngan han Bia'n He s6 D6 la.ch chuan -0,0093823 0,0167987 0,576 Alrm2s(-1) 0,3788643 0,0916015 0,000*** Alrgolds(-1) 0,0378465 0,0736611 0,607 -0,0059791 0,0197422 0,762 ,avnindex(-1) -1,23e-07 0,0000499 0,998 1ireer(-I ) 0,4357892 0,1875344 0,020** Arfitbr(-1) -0,0023811 0,0020533 0,246 Acpi(-1) -0,0139992 0,0041164 0,00l*** Hang s.6 0,0121702 0,0037056 0,001*** ECT(-I) Alrips(-1) Gid tri p Ghi chit: *,**,*** Ian WO tmmg Ong voi cdc muc 5/ nghia 10%, 5% va 1% Bang Ket qua cat' tien thuc M2 dai hp Bia'n Irgolds Irips VECM FMOLS CCR Irm2s Irm2s Irm2s Irm2s 1,191325*** -0,0295 -0,0321 -0,195 (0,2537973) (0,0660) (0,0676) (0,202) -0,9199653*** 0,202*** 0,206*** 0,318* DOLS (0,2135979) (0,0464) (0,0604) (0,182) vnindex 0,0004825*** 0,000182*** 0,000181*** 8,39e-05 (0,0001522) (3,70e-05) (4,27e-05) (0,000126) reer 6,625071*** -0,110 -0,0918 -0,904 (0,9861726) (0,210) (0,254) (0,823) rfitbr 0,0502971*** -0,0141*** -0,0143*** -0,0183*** (0,0030224) (0,00123) (0,00131) (0,00468) cpi 0,0230532*** -0,00561*** -0,00581*** -0,00744* 80 Pham Dinh Long & Bin Quang Hi6n, Tap chi Ph& triln Kinh 28(I) 64-83 VECM Bi611 I-dng s6 S6 quan sat R2 Irm2s FMOLS Irm2s Irm2s CCR DOLS Irm2s (0,0053437) (0,00127) (0,00142) (0,00430) —698,8036 39,12 132 120,7 131 41,06 132 0,3495 0,970 0,975 0,985 *,**,*** lArt lugt img voi cac mirc y nghia 10%, 5% va Ghi 129 1% 3.3 Kam tra tinh on dinh aria ham cdu tien thuc MI va M2 01111.114 Hinh Ket qua kiem dinh CUSUM, CUSUMQ cho cAtt tien thuc MI 0.41001■004/441 20140112 Ulm 2040112 Ntre huh Ket qua kiem dinh CUSUM, CUSUMQ cho cAu tien dux M2 MOt me hinh du bao dang tin clay thi cac he s6 trac ItKrng dai han can thoa dieu kien khong co su Wen dOng Dip vao cac he so, kiem dinh CUSUM se tinh toan phan du tich lily, sau so sanh vOi gia thuyet Ho la cac he st, hOi quy On dinh Neu gia tri tinh toan vuoi qua gia tri thong ke a mirc y nghia cho truck thl ket lua'n la khong On dinh va ngugc lai Bing kiem dinh CUSUM, chi co ham cAu tien M2 the hien su on dinh giai doan nghien cfru Ham cAu tien M I c6 \fact khOi giai han tren vao cac thang a giai doan cu6i Bing kiem dinh CUSUMQ, ham cAu tien MI va M2 deu cho ket qua Pham Dinh Long & Bui Quang Hien, Tap chi Ph& trien Kinh te, 28(1) 64-83 81 kitting on dinh Ket qua khac ket luan cua nghien ciru truac cho rang ham au tien a VN on dinh Li c6 the den to viec Itra chon hai nham bien chinh (Wen quy mo, hien chi phi ca hOi, d6 c6 gia yang va ti gia that da phuang) Ngoai ra, giai doan nghien dru khac co the din den ket qua Ket Wan va ham 5, chinh sach De giai quyet cac van de Tat ra, tic gia da sir dung m6 hinh vector hieu chinh sai s6 va mo hinh hOi quy dOng lien ket de phan tich cac yeti t6 anh huang den cat' tien thuc M l , cau tien that M2 ca ngan han va dai han Ngoai cac yeti t6 anh huang da duct tim thay a nghien ciru truac, ket qua chi tic Ong manh va trai chieu cua gia vang va ti gia that da phtrang den ham eau tien that Ml va M2 Ngoai ra, ham cau tien MI va M2 chua the hien tinh 6n dinh dai han qua ca hai kiem dinh CUSUM, CUSUM binh phtrang Dua vao ket qua so sanh dugc, tic gia dua met s6 khuyen nghi nham nang cao hieu qua qua trinh dieu hanh CSTT Thzi nhdt, them mot yeu t6 mai so vai nhang nghien cdu da c6, lc& qua chi gia yang c6 tic dOng manh va trai chieu vai ham cau tien thuc chi dai han Dieu ham y thei gian ngan gia yang c6 len cao thi Ngan hang Nhantrac (NHNN) cung chua can phai v i yang can thiep ma NHNN nen tang cuing thong tin kip thei nham 6n dinh tam Ii cua nguai dan Trong dai han, thi twang yang bat 6n se chic chin se anh huang Ian den cau tien Viec can thiep vao thi truing yang cua NHNN la c6 ca se va can thiet MOt s6 tranh luan ve hoat Ong dau thAu yang chin dung nhieu rill ro truing hap gia yang the giai bat nga giam sau ma NHNN van gift lucmg yang Ian, chuan bi (tau that, Chinh sach chi nen that hien truing hap that can thiet Thay vao da, NHNN c6 the can nhac cac bien phap hanh chinh de han the tinh trang yang h6a nhu quy dinh mire lai suit giri yang a cac NHTM, quy dinh cac giao dich dan sty c6 lien quan den yang, kiem soat chit viec bu6n lau yang Thu hai, ket qua thtrc nghiem cho thay tic Ong manh cua ti gia that da phuong vai ham cau tien thuc Dieu ham y rang viec 6n dinh ti gia nen dugc can nhic uu tien CSTT ca ngan han va dai han NHNN kh8ng nen dOng thai sir dung tong cu ti gia va cac ding cu khac de tang cung tien Viec ti gia tang thai gian dai mai that su clang ngai han so vai viec tang ti gia mot thai gian ngan Trong ngin han, ti gia tang se kith thich cau tien tang len de c6 the mua dugc nhieu hang hoa nuac vai gia re hen Trong dai han, cac nha lam chinh sach can than gift viec xac 82 Pham Dinh Long & Biii Quang Hien, Tap chi Phat trien Kinh te, 28(1) 64-83 dinh tiem nang xuAt kitAu nuerc vai viec xac dinh mire can thiep vao ti gia Cau tien se c6 xu twang giam ti gia tang Khi ngu6n luc dm nen kinh to chua clugc cai thien thi xuAt kitAu cung kho co the tang dugc Trong do, cung tien lai tang khong dung vai mac tang caa cau tien se lam ap luc lam phat tang cao Thu ba,t6c dO dieu chinh cua ham cau tien co bien Ong la thap Dieu cho thay thi truerng tien to se to dieu chinh ve can bang se tra nen kh6 khan hon cac yAu t6 vi and co lien quan den ham cau tien co dau hieu bien dOng Chinh sach 6n dinh vi m6 cda Chinh phis an la dieu can thiet, giup thi truerng tien tg khong bi bat on th6i gian dai■ 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(Blanchard, 2016) mOi mac !Ai suat cho truac, duang cAu tien cho biet cong chung muOn nam gift Wong tien la bao nhieu Thi truing tien to can bang Luang tien ma dan chung thuc su nam gift (Wong cung tien)... suit cho vay va lai suit tin phiau kilo bac cla tang len rat cao Mang frng v6i th6i diem tinh hinh lam ph& cling tang cao a th6i diem nam 2008 va 2011 (Hinh 4) Tin dung duric that chat lai vao nam. .. clOng manh so Wei giai doan 2003-2007 (Hinh 3) Sau giai doan dau thau yang mieng dr thang 03/2013 den thang 12/2013, kat qua cho thay boat ding dau co tren thi truerng yang da giam so vai giai