ng dng cc m hnh VAR v VECM trong

phn tch tc ng ca t gi ln cn cn
thng mi Vit Nam 1999-2012.
Nguyn c Hng
Hc vin Chnh tr- Hnh chnh KvI
Email: hungftu89@gmail.com

 Phn 1. L thuyt v t gi, cn cn thng

mi v mi quan h gia t gi v cn cn
thng mi.
Phn 2. Tng hp cc nghin cu v tc ng
ca t gi ti CCTM
Phn 3. M hnh VAR v VECM
Phn 4. xut gii php

Nhng ni dung c bn v t gi
Khi nim t gi
Phng php yt t gi
Phn loi t gi

1.1.Khi nim t gi
T gi hi oi (foreign exchange
rate/exchange rate) l gi c ca mt ng tin
ny tnh bng ng tin khc hoc s lng
mt ng tin c th em ra trao i ly 1 n
v ng tin khc.

1.2. Phng php yt gi

Yt gi trc tip (direct quotation) l kiu yt gi trong
ngoi t ng vai tr ng tin yt gi cn ni t ng vai
tr ng tin nh gi, v d yt gi USD = 15913 VND.
(Vit Nam s dng phng php ny l ch yu)
Yt gi gin tip (indirect quotation) l kiu yt gi trong
ni t ng vai tr ng tin yt gi cn ngoi t ng vai
tr ng tin nh gi, v d yt gi 1GBP = 1,7618 USD
London.
Theo thng l cc ng tin nh bng Anh (GBP), dollar
M v dollar c thng yt gi gin tip cn nhng ng
tin khc thng yt gi trc tip. So vi hu ht cc ng
tin, ng USD ng vai tr l ng yt gi (ng trc)
ngoi tr cc ng tin sau: EUR, GBP, AUD, NZD

1.3.Cc nhn t nh hng ti t gi

Cn cn thanh ton quc t

T l lm pht.
Mc chnh lch li sut gia cc nc
Tc ng ca hot ng u c ngoi t
Tng trng kinh t hay suy thoi kinh t

Ngoi ra cn c cc yu t tc ng khc nh:

yu t tm l; cc chnh sch lin quan ti qun l
ngoi hi; cc ri ro nh dch bnh, thin
tai, chin tranh . . .

1.4. Phn loi t gi

T gi hi oi danh ngha song phng

T gi danh ngha a phng (NEER)
T gi thc song phng (RER)
T gi thc a phng hay t gi thc hiu lc
(REER)

 T gi hi oi danh ngha song phng l gi c

ca mt ng tin so vi mt ng tin khc m
cha cp n chnh lch lm pht gia hai
nc.
T gi danh ngha a phng (NEERNominal
Efective Exchange rate): NEER khng phi l t
gi, n l mt ch s c tnh bng cch chn ra
mt s loi ngoi t c trng (r tin t) v tnh
t gi trung bnh cc t gi danh ngha ca cc
ng tin c tham gia vo r tin t vi t trng t
gi tng ng.

 T gi thc song phng (RER) l t gi danh

ngha1 c iu chnh theo mc chnh
lch lm pht gia hai nc, n l ch s th
hin sc mua ca ng ni t so vi ng
ngoi t. V th c th xem t gi thc l thc
o sc cnh tranh trong mu dch quc t ca
mt quc gia so vi mt quc gia khc.

 T gi thc a phng (REER) : T gi thc

a phng l mt ch s phn nh mc cnh
tranh v gi c ca quc gia v l c s
nh gi ng ni t b nh gi cao hay thp.
T gi thc a phng c tnh ton:

Nhng ni dung c bn v CCTM

Khi nim: Cn cn thng mi l mt thnh
phn ch yu trong cn cn vng lai (bao gm
cn cn thng mi, cn cn dch v v
chuyn nhng n phng). Cn cn thng
mi ghi li cc hot ng xut nhp khu ca
mt quc gia trong mt thi k nht nh.
Ta c: TB = X M

Cc nhn t nh hng:
nh hng ca thu nhp quc dn (GDP)
nh hng ca t gi hi oi
nh hng ca lm pht
nh hng bi cc bin php ca chnh ph

1.3 Tc ng ca t gi ln cn cn
thng mi
H s co dn xut nhp khu v iu kin
Marshall-Lenner
L thuyt ng cong J
L thuyt ng cong S

Phn 2: Tng hp cc nghin cu

Nh nghin cu

Miles (1979)

i tng nghin cu

Kim nh hiu
ng ng cong J

Mu
(B d liu)

Phng php
nghin cu

S nh gi thp tin t khng

14 nc trong
thi k 1956-

S dng t gi
danh ngha

1972

Himarios (1985)

Kim nh li bi nghin
cu ca Miles (1979)

D liu hng
nm, giai on

Abdulansser Hatemi-J tgh ln CCTM ti cng

(2004)

ha sc, hung-ga-ri v
phn lan.

song n gip ci thin phn

S dng t gi thc, m
hnh OLS.

ng cong j c tm thy
ti 9 trn 10 nc quan st.

1956 1972

ng trong ngn hn v
di hn ca thay i

lm ci thin tnh trng CCTM

no trong cn cn thanh ton.

c lng nhng hiu

Scott Hacker v

Kt qu

o lng CCTM thng

S dng s liu qua t s gia xut khu
v thng mi v nhp khu, ch s sn
song phng

xut cng nghip v tgh

C ba trng hp, u c mt
vi bng chng cho thy c s
xut hin ca hin tng
ng cong j theo sau vic ph
gi tin t.

Hnh thnh hiu ng

Paresh Narayan
(2004)

ng cong j: CCTM xu

New Zealand

1970-2000

Phn tch ng tch

i trong khong 3 nm u
hp
tin v sau c ci
thin tr li

Bahmani-Oskooee
v cc cng s

(2003)

Khng tm thy bt c mt

D liu hng nm,

Phn tch ng lin

du hiu no v s xut hin
giai on 1962 2006 kt v m hnh VECM.
ca ng cong j

Phm Hng Phc

(2009)

Vit Nam

D liu theo qu t
1999-2008

S dng t gi thc
USD/VND, REER
vi m hnh OLS.

Phm Th Hong
nh

CCTM Vit
Nam- Trung
Quc

D liu theo qu t
2000-2011

M hnh OLS vi
bin gi.

C tm thy mi quan h
gia t gi v CCTM, tuy
nhin tc ng ny l kh
nh

C tm thy mi quan h
gia t gi v CCTM.

Indonesia v M Lai
u c hiu ng ng

Thi Lan, M Lai v

Olugbenga Onafowora
(2003)

Indonesia trong mi

D liu qu, t qu 1

thng mi song

nm 1980 n qu 4

phng c M v

nm 2001.

Nht Bn

Phn tch ng lin

kt v m hnh VECM.

cong J trong ngn hn.

Ngc li, ti Thi Lan
khi xem xt vi Nht
Bn th khng thy
xut hin.

Phn 3. Thc trng v t gi v CCTM

ca Vit Nam giai on 1999-2012
Thc trng cn cn thng mi
Thc trng t gi

3.1. Thc trng cn cn thng mi

Q3-2012

Q4-2011

Q1-2011

Q2-2010

Q3-2009

Q4-2008

Q1-2008

Q2-2007

Q3-2006

Q4-2005

Q1-2005

Q2-2004

Q3-2003

Q4-2002

Q1-2002

Q2-2001

Q3-2000

Q4-1999

Q1-1999

3.2. Thc trng t gi

T gi danh ngha v t gi thc ca USD/VND

1.6

1.4

1.2

0.8
NER (USD/VND)

0.6
RER (USD/VND)

0.4

0.2

 RER index ca mt s ng tin so vi USD

 NEER v REER

4. M hnh VAR v VECM

4.1. Kim nh tnh dng
ADF

PP

Bin

Intercept

Trend, Intercept Intercept

Trend, Intercept

LTB

-4.507316*

-4.567176*

-4.423676*

-4.499028*

LREER

-1.974282

-3.175802***

-1.914700

-3.175802***

LGDPV

-2.070906

-0.290962

0.507203

-3.446348***

LGDPW

0.962742

-0.990116

0.665041

-4.437779*

LTB

-11.05622*

-10.99405*

-24.28087*

-39.37805*

LREER

-8.360578*

-8.337444*

-8.502754*

-8.490811*

LGDPV

-2.990945**

-3.619750**

-12.21596*

-12.46109*

LGDPW

-5.995448*

-6.023554*

-13.00227*

-13.57769*

 4.2. Xc nh tr ti u
Lag

LogL

LR

FPE

AIC

SC

HQ

414.7281

NA

1.19e-12

-16.10698

-15.95547* -16.04908

432.4283

31.92977

1.11e-12

-16.17366

-15.41608

-15.88416

456.1619

39.09076

8.33e-13

-16.47694

-15.11330

-15.95585

485.5633

43.81375

5.08e-13

-17.00248

-15.03278

-16.24980

516.9044

41.78811*

2.96e-13*

-17.60409* -15.02832

-16.61982*

4.3. Xc nh mt s mi quan h ng tch hp

S dng kim nh Trace
S dng kim nh t s hp l
S dng kim nh Granger Causality/Block
Exogeneity Wald Tests

Kim nh ng lin kt Johansen

Hypothesized

Trace

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Prob.**

None *

0.602957

85.44036

54.07904

0.0000

At most 1 *

0.322252

35.56000

35.19275

0.0456

At most 2

0.167122

14.55507

20.26184

0.2530

At most 3

0.083020

4.680172

9.164546

0.3203

Trace test indicates 2 cointegrating eqn(s) at the 0.05 level

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized

Max-Eigen

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Prob.**

None *

0.602957

49.88036

28.58808

0.0000

At most 1

0.322252

21.00492

22.29962

0.0750

At most 2

0.167122

9.874903

15.89210

0.3459

At most 3

0.083020

4.680172

9.164546

0.3203

Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level

Kim nh nhn qu
Dependent variable: D(LTB)
Excluded

Chi-sq

df

Prob.

D(LREER)

14.98446

0.0047

D(LGDPVN)

5.882674

0.2081

D(LGDPW_SA)

15.00689

0.0047

All

35.63869

12

0.0004

Dependent variable: D(LREER)

Excluded

Chi-sq

df

Prob.

D(LTB)

1.221184

0.8746

D(LGDPVN)

2.444909

0.6545

D(LGDPW_SA)

4.008136

0.4049

All

9.971102

12

0.6185

Dependent variable: D(LGDPVN)

Excluded

Chi-sq

df

Prob.

D(LTB)

0.591424

0.9640

D(LREER)

2.843776

0.5843

D(LGDPW_SA)

25.88834

0.0000

All

40.16406

12

0.0001

Dependent variable: D(LGDPW_SA)

Excluded

Chi-sq

df

Prob.

D(LTB)

10.22976

0.0367

D(LREER)

2.504625

0.6438

D(LGDPVN)

6.267068

0.1801

All

20.40519

12

0.0598

 Da trn cc kim nh thc hin s c mt

mi quan h ng tch hp. Nh vy ta c th
s dng kt qu hm phn ng y tng qut
(IRF) t m hnh VECM do c tn ti mi
quan h di hn trong cc bin.

4.4. Phn r phng sai

M hnh VAR
Period

S.E.

LTB

LREER

LGDPVN

LGDPW_SA

0.090948

100.0000

0.000000

0.000000

0.000000

0.114927

89.83658

0.398080

9.592961

0.172382

0.136225

71.62246

18.94371

9.257040

0.176798

0.137790

70.78125

18.52587

10.51806

0.174810

0.146129

64.80453

16.47223

9.381952

9.341290

0.149640

64.09226

15.71056

10.13553

10.06164

0.154216

62.91373

15.03863

9.645079

12.40256

0.161957

63.76176

13.64288

11.11453

11.48082

0.164503

64.71396

13.22557

10.86495

11.19552

10

0.174022

65.97764

11.97167

11.47949

10.57119

11

0.177322

66.56211

12.12212

11.10918

10.20659

12

0.186824

66.46418

10.94740

11.53674

11.05167

4.4. Phn r phng sai

M hnh VECM
Period

1
2
3
4
5
6
7
8
9
10
11
12

S.E.

LTB

LREER

LGDPW_SA

LGDPVN

0.092518
0.118025
0.144590
0.149282
0.158001
0.165663
0.172637
0.183862
0.187457
0.196434
0.200839
0.210081

100.0000
93.23320
74.73202
74.15780
71.33844
71.30134
70.57187
70.55577
71.31163
71.75889
71.88534
72.13686

0.000000
0.069235
19.13205
18.33448
16.55267
15.17066
13.97386
12.62348
12.34551
11.60151
11.96598
10.96361

0.000000
0.034868
0.412061
1.343430
6.605290
6.838006
9.292891
8.617557
8.296616
8.055272
7.923722
8.607478

0.000000
6.662694
5.723871
6.164290
5.503592
6.689996
6.161388
8.203196
8.046245
8.584337
8.224959
8.292048

4.5 Kt qu hm phn ng y
T m hnh VAR

Accumulated Response of LREER to Cholesky

One S.D. LTB Innovation
.04

.03

.02

.01

.00

-.01

-.02
1

10

11

12

 T m hnh VECM
Response of LREER to Cholesky
One S.D. LTB Innovation
.004
.002
.000
-.002
-.004
-.006
-.008
-.010
1

10

11

12

4.6. Kim nh m hnh

Root
0.039889 - 0.979743i
0.039889 + 0.979743i
-0.839508 - 0.342385i
-0.839508 + 0.342385i
-0.871512
0.615792 - 0.552927i
0.615792 + 0.552927i
0.296928 - 0.702278i
0.296928 + 0.702278i
-0.135624 - 0.690632i
-0.135624 + 0.690632i
0.626044 - 0.211132i
0.626044 + 0.211132i
-0.342348 - 0.463054i
-0.342348 + 0.463054i
-0.553368
No root lies outside the unit circle.
VAR satisfies the stability condition.

Modulus
0.980555
0.980555
0.906643
0.906643
0.871512
0.827604
0.827604
0.762470
0.762470
0.703823
0.703823
0.660687
0.660687
0.575866
0.575866
0.553368

Inverse Roots of AR Characteristic Polynomial

1.5

1.0

0.5

0.0

-0.5

-1.0

-1.5
-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

5. xut gii php ci thin CCTM

Tin hnh gim gi ni t mt cch ch ng
da vo tng quan cc nhn t v m gia
Vit Nam v th gii c th l s chnh lch
lm pht, chnh lch li sut.