Truoc tién, ta sé uoc tinh tiic dong cfia kiéu hoi doi voi tiing truéng kinh té , bang vi(c sts dung mo hinh SGMM. Voi mqc dich de so siinh, chung ta khfing
dna v:to trong hoi quy dau tién su tuong tiic giiia kiéu hoi va phiit trién tai chinh '
ho)ac cac . phiit . . chinh. Ta uoc lupng theo cfing thuc sau:
(1)
Trong do:
fi GDP;,t.; biéu thi muc do ban dau (Logarit) cfia GDP binh qu n dau ngucii fi REM bang kiéu hoi tren GDP
fi X 1:i ma tran cua ciic bién kiém soat da ducic mo ta
ìã Pu 1a mot hi(u Eng thoi gian cq the
quoc gia cu the khfing quan siit dupc
Ci phuong trinh nay, chung ta sé kiém dinh xem rang 1i(u tac dong bien cua kiéu
' fi2l co y nghia thong ké hay khfing.
' Ci giai doan hoi quy thu 2, chung ta sé xem xét vai trfi cua kiéu hoi doi voi tang truéng thong qua thi truéing t:ii chinh. Gia thuyét ma chung ta can ph:ii kiém dinh 1:i 1i(u do sau tai chinh (muc do ph:it trién tai chinh) cua quoc gia tiep nhan co anh huéng den su tire dcing ciia kiéu hoi doi véii tang truéng hay khfing. Cuoi ciing chung ta cho bién kiéu hoi tuong I:ic voi mot chi so ve do s3u tai chinh va kiém tra y nghia cua c:ic h( so tuong I:ic. Néu h( so ctia bién tuong t:ic la rim thi diéu nay co y nghia rang kiéu hoi se co y nghia nhiéu hon o ciic nucic cé› h(
thong tai chinh nong hon, hay noi cach khac day chinh la bang chfmg ve kh:i nang thay the giiia kiéu hoi v:i ciic cfing cu tai chinh. Tr:ii lai, mot su tuong tiic dong bién sé ngu y rang I:ic dong cua kiéu hoi lén tiing truéng dupc ta’ng cuéing
' .. . . . . . - - -
trong h( thong tai chinh sau hon, va su tac dpng nay sé thuc day bfi sung ngufin kiéu hoi va ciic dong tai chinh
khac. Hoi quy dupc uoc lupng nhu sau:
Néu sfi dung phuong ph:ip hoi quy OLS, dii co hay khfing co tuong tiic voi phat trién tai chinh thi cling khfing giai quyét dupe van de lien quan den noi sinh. Tuy nhién ve ma( t 1y thuyét thi diéu nay ciing hpp ly va ciing co khii nang rang la ca lupng kieu hoi vii hi(u qu:i cua thi truéing tai chinh déu gia ting vcii toc do tang truéng cao hon. Diéu nay co the dan toi su phong dai ve t:ic dong ciia mot trong hat bién va tuong tiic cua chung doi voi toc do tang truéng.
Trong nhfmg nghién trucic day, cac bién thu6ng duoc sit dpng khfing tr:inh khoi quan h( nhan quit, chang han nhu nguon goc ciia h( thong phiip luat cua mot nuoc va quyen ciia chu np (La Porta et a1., 1997). Rajan v:i
Subramanian (2005) std dung kho:ing ciich tu“ quoc gia xuat xu nhu mot cfing cp cho kiéu hoi. Chami et a1. (2003) std dung su khac bi(t trong thu nha(p cung voi lai suat cua quoc gia ngucii di cu va qufic gia so tai, dai di(n la nuoc My. Cac bién nay co nhuoc diem la khfing ph:in iinh day du dong kiéu hoi va khfing thay doi theo thoi gian, vi the chiing ta khfing the su dpng chung trong khufin kho cua dti 1i(u bang.
phai thfia man dupc cac gia thiét cc ban nhu: tuyén tinh, khfing thién 1(ch, nhat quan v:i hi(u qu:i. Cp the la ciic giii thiét quan trpng nhu:
• Quan h( gitia Y va X la tuyén tinh, ciic giii tri| Xi cho truoc va khfing ngau nhién
• Ciic sai so Ui la dai luopng ngaauu nhién co gii::ii tri trung binh bdang 0:
• Ciic sai dat lupng ngau nhién cé› phuong sai khfing thay doi: i i) '6'= const
• Khfing co su tuong quan giiia cac U, (hi(n tupng tu tuong quan):
COV Ui› j i›X; '0, i j
• Khfing cé› su tuong quan gitia ii Va Xi hi(n tirpng noi sinh): Cov (U; | X;) =
0
Do vay chung ta giai quyét van de da cong tuyén va tu tuong quan bang vi(c sir dung dii li(u Bring Panel Data, két hpp vcii vi(c chay mo hinh hoi quy SGMM (System Generalized Method of Moments) ciia Arellano v:i Bover (1995) de tr:inh lufin hi(n tupng noi sinh ma nhting hi(n tupng nay néu thuc hi(n hoi quy OLS sé rat kho xi1 ly dupc ho)ac cho ra két quit uoc lupng khfing nhu mong muon.
Ciic kiém dinh cua phuong ph:ip System GMM:
Kiém dinh tp tuong quan bac 1: co hi(n tupng tu tuong quan bac 1 trong phuong trinh (2). Gia thuyét He;. khfing co tu tuong quan bac 1.
Kiém dinh tp tuong quan ba)c 2: khfing cé› hi(n tupng tp luong quan bac 2 trong phuong trinh (2). Gié thuyét Hoz. khfing cé› tu tuong quan ba)c 2.
Kiém dinh Hansen: kiém tra do tin cay ctia bién cong eg su dung trong mo hinh. Gici thuyét Ho3- bién cfing cu khfing co tuong quan voi sai so ngau nhién.
4. Noi dung va c:ie ket qua nghién cfru (Results)
Trucic tién, ta chay mo hinh hoi quy cho phuong trinh (1):
Ci buoc so khmi nay chting ta chua xét den su tuong tiic giiia kiéu hoi va ph:it trién t:ii chinh, do do chua dna bat bién nao dai di(n cho ph:it trién tai chinh v:to mo hinh ca.
Sti dijng phuong ph:ip uoc lupng SGMM voi dii 1i(u b:ing Panel Data cho 40 nuoc dang ph:it trién cé› thu nh(ap thap va trung binh trong giai doan 1995 — 2012, ta dupc bang sau két qua hoi quy nhu sau:
oyr anJ c panel -data estJ riation, txo-step systes cxx
croup varJ able: countryno nuober of obs = J06 TJrie varJ abJ e : year sueber of grocps - 38
number of ›nstruoents = 23 obs per group: eJ n = 1
Prob > F = 0.000
corrected
max = 16
1ngdpgroxth Coef. std. Err. t P> |t | [9Jk conf. Interval ]
J n J ngdpgro=h .446?33I .I69269J 2. 64 0.012 .1040654 . 7894009