Mi quan h gia tng trng v lm pht qua kt qu phn tch ti Vit Nam Nguyn Trung Chnh**i hc Ngoi thng

Mi lin h gia tng trng v lm pht l vn thu ht c s quan tm ca nhiu nh nghin cu kinh t. Trong thi gian gn y, kinh t th gii c nhiu bin ng, c bit l cuc khng hong kinh t ton cu, lm gim tc tng trng v khin lm pht tng cao nhiu nc, trong c Vit Nam. iu ny t ra yu cu cn nghin cu mt cch su sc s tc ng qua li gia tng trng v lm pht, t tm ra bin pht nhm n nh lm pht v thc y tng trng cho tng quc gia. Bi vit nhm nghin cu mi quan h gia tng trng v lm pht Vit Nam trong thi gian gn y. y. Kt qu phn tch t phng php hi qui ng ng lin kt, m hnh hnh ECM v m hnh VAR cho thy lm pht v tng trng c s lin h mt thit vi nhau trong c ngn hn v di hn. T , bi vit xut nhng chnh sch thch hp nhm gip nn kinh kinh t t c mc tng trng ti u trong thi gian ti.

1. C s l thuyt v cc nghin cu lin quan V mt l thuyt, lm pht c nh hng c tch cc ln tiu cc n tng trng. T l lm pht thp s c tc dng thc y tng trng. Trng phi tin t cho rng trong ngn hn, khi chnh ph tng lng cung tin gp phn thc y tng trng, ng thi cng s lm gia tng lm pht v do tng trng v lm pht c mi quan h cng chiu. Theo trng phi Keynes, mi quan h gia tng trng v lm pht mang du dng, iu ny cng trng vi kt qu nghin cu ca Tobin c cng b nm 1965. Tuy nhin, t l lm pht cao s nh hng tiu cc n nn kinh t. Lm pht mc cao s dn n s bt n trong lnh vc kinh t v lm tng ri ro ca cc hot ng u t. Lm pht lm thay i gi c tng i v c xem nh mt loi thu i vi nn kinh t. Nhng nghin cu gn y ca Fisher (1993), Barro (1996), Bruno and Easterly (1998) ch ra mi quan h gia tng trng v lm pht mang du m nhiu nc khc nhau. Xa hn, Khan and Senhadji (2001) tm thy ngng ca mc lm pht l 11% m theo , mi quan h tng trng- lm pht mang du m khi t l lm pht vt qu ngng ny v mang du dng trong trng hp cn li. Bn cnh , cc nghin cu ca Fisher (1993) v Sarel (1996) cho thy lm pht v tng trng c mi quan h phi tuyn.

Ni tip cc kt qu trn, rt nhiu cc nghin cu khc v s nh hng qua li gia tng trng v lm pht vi cc phng php khc nhau c cng b. Mallik v Chowdhury (2001) s dng hi quy ng lin kt (co- integration regression) v m hnh sai s hiu chnh (ECM- Error Correction Model) xem xt mi quan h cng chiu gia tng trng v lm pht trong di hn ti bn nc Nam (Bangladesh, n , Pakistan v Sri-Lanka). Thm vo , Faria and Carneiro (2001) cng s dng kim nh nghim n v (unit root test) c xut bi Dickey-Fuller (DF) v Augmented Dickey-Fuller (ADF) (1979) v phng php phn tch phng sai (Variance Decomposition) da trn m hnh VAR (Vector Autoregressive Model) cho thy, lm pht khng nh hng n sn lng thc t (GDP) trong di hn, tuy nhin trong ngn hn th s nh hng ca lm pht n sn lng thc t (GDP) li mang du m. Da trn cc kt qu nghin cu trn, trong nghin cu ca mnh, chng ti s dng ng thi hi qui ng lin kt, m hnh sai s hiu chnh (ECM) v phng php phn tch phng sai da trn m hnh VAR xem xt mi quan h gia tng trng v lm pht Vit Nam trong ngn hn v di hn thi k 1995-2008. 2. Phng php lun nghin cu nghin cu mi quan h gia tng trng (G) v lm pht (I), chng ti s dng phng php hi qui ng lin kt v m hnh sai s hiu chnh c xut bi Engle v Granger (1987). Thng thng khi hi qui 2 bin ngu nhinv d 2 bin G v I- theo m hnh tuyn tnh c dng:
G t = 1 + 1I t + t +... I t = 2 + 2 G t + t +... (1) (2)

y, t v t l nhiu trng. Khi m hnh phn nh mi quan h trong di hn gia 2 bin G v I. Tuy nhin, mt vn t ra l nu G v I khng dng (non-stationary) th s xy ra hin tng hi qui gi mo (spurious regression) v kt qu thu c khng phn nh ng mi quan h gia G v I. Tuy nhin, khi G, I khng dng nhng tha mn l lin kt bc I (I(1)): First-ordered integration, cn gi l dng sai phn) v cc yn t ngu nhin t v t l dng (I(0): stationary) th m hnh trn vn phn nh ng s nh hng gia G v I v kt qu hi qui vn c ngha, khi 2 bin G v I c gi l ng lin kt (cointergration). Trong trng hp ny, kim nh xem cc bin G v I trong m hnh c dng hay dng sai phn hay khng, phng php c s dng ph bin l kim nh nghim n v da trn tiu chun kim nh Augmented Dickey-Fuller (ADF) do Dickey v Fuller (1979) xut. ng thi, Johansen (1988) v JohansenJuselius (1990) cng a ra phng php kim nh tnh ng lin kt ca 2 bin ngu nhin da trn th tc kim nh hp l cc i (maximum-likelihood test procedure). Th tc trn a ra 2 tiu chun kim nh v s phng trnh ng lin kt gia hai bin G v I: (a) Tiu chun kim nh gi tr ring cc i

(maximal eigen value test)- y gi thuyt gc (null hypthesis) l c t nht r vector ng lin kt v gi thuyt i l c r+1 vector ng lin kt- v (b) tiu chun kim nh vt (trace-test)- vi gi thuyt gc (null hypthesis) l c t nht r vector ng lin kt v gi thuyt i l c ti a r+1 vector ng lin kt. Xa hn, theo Engle v Granger (1987), khi G v I l lin kt bc nht (I(1)) v ng lin kt vi nhau th chng tng tc qua li theo m hnh sai s hiu chnh (ECM) c dng:
G t = 1 + 1i I t i + 1j G t j + 1 t + u t
i =0 j=1 q p q

(3) (4)

I t = 2 + 2i G t i + 2 jI t j + 2 t + v t
i=0 j=1

Trong m hnh trn t v t l h s sai s hiu chnh phn nh s mt cn bng trong ngn hn gia tng trng (G) v lm pht (I). G v I l sai phn bc nht ca G v I, phn nh s thay i trong ngn hn ca cc bin tng trng v lm pht. M hnh sai s hiu chnh (ECM) c dng nghin cu s bin ng trong ngn hn ca G v I. c lng t v t a vo m hnh trn, phng php ph bin l s dng th tc Engle-Granger hai bc. Ngoi ra, phn tch r v s bin ng ca tng trng v lm pht trong ngn hn, ta c th s dng phng php phn tch phng sai (Variance Decomposition) da trn m hnh VAR (Vector Autoregressive Model):
G t = k1 + 1i I t i + 1jG t j + t
i =1 j=1 n m n

(5) (6)

I t = k 2 + 2i G t i + 2 jI t j + t
i =1 j=1

y, t v t l cc nhiu trng. Phng php trn nhm phn tch cc thnh phn tc ng ln s bin ng ca tng trng v lm pht da trn cc bin yu t tr ca chng. nhn dng m hnh VAR, phng php c s dng ph bin l kim nh mi quan h nhn qu Granger (Granger Causality Test). Kt qu phn tch s c trnh by trong phn tip theo. 3. S liu ca Vit Nam v kt qu thc nghim Khi nghin cu mi quan h gia tng trng v lm pht ti Vit Nam, s liu s dng trong nghin cu trn v ch s gi tiu dng CPI (Customer Price Index) v tng thu nhp quc ni GDP (Gross Domestics Product) giai on t 1995 n 2008 do Tng cc Thng k Vit Nam cng b. S liu v CPI v GDP c tnh li theo qu, t qu 1 nm 2005 n ht qu 2 nm 2008 ti mc gi nm 1994. T l lm pht (I) v tng trng (G) c tnh theo cng thc: It = ln(CPIt) - ln(CPIt-1) and Gt = ln(GDPt) - ln(GDPt-1) It v Gt l t l tng trng v lm pht ti thi im t. Ln(CPIt), ln(GDPt) v ln(GDPt-1), ln(CPIt-1) ln lt l logarit c s t nhin tng ng ca cc bin ti
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cc thi im t v t-1. Cc gi tr thng k m t v t l lm pht (I) v tng trng (G) ca Vit Nam trong giai on ny c trnh by trong Bng 1. Bng 1. Cc gi tr thng k m t v t l tng trng v lm pht theo qu ca Vit Nam giai on 1995 - 2008
Mean G I 0.0169 0.0155 Median 0.0045 0.0120 Maximum 0.1465 0.0880 Minimum -0.0540 -0.0181 Std Dev 0.0493 0.0209 Skewness 0.6926 1.2717 Kurtosis 2.7404 5.6301 JarqueBera 4.3866 29.5608 P-value (JB test) 0.1116 0.0000 Obs 53 53

H s tng quan gia G v I tnh c l 0,58, chng t G v I c mi tng quan dng kh mnh. Kt qu kim nh nghim n v Augmented DickeyFuller (ADF) cho cc chui s liu G, I, I , G c trnh by trong Bng 2. Bng 2. Kim nh nghim n v Augment Dickey-Fuller
I ADF-statistic -0.1405
I

G -0.4677

-2.9729**

-24.3722*

Ch thch: * v **: c ngha thng k ti cc mc 1% v 5%

Kt qu kim nh cho thy, cc chui G v I khng dng, tuy nhin cc chui sai phn I v G l chui dng, cc du hiu khc cng cho cng nhn nh nh trn. Nh vy, bin I v G l lin kt bc nht (I(1)). Tip theo, xem xt mi quan h gia tng trng v lm pht, hi qui G v I vi nhau theo cc theo m hnh (1):
G t = 1 + 1I t + t (1)

c lng cc m hnh trn bng phng php bnh phng nh nht (OLS: Ordinary Least Squares). Trong qu trnh c lng, khc phc khuyt tt t tng quan v thu c c lng xp x tt nht ca 1 , ta s dng phng php kh t tng quan da trn th tc lp vi cc h s t AR(p), kt qu c lng c trnh by Bng 3. Bng 3. M hnh hi qui ng lin kt gia tng trng v lm pht
G t = 1 + 1I t + t (1)

t = 11 t-1 + 12 t-2 +13 t-3 + 14 t-5 + t

H s
c lng Thng k T (hoc F cho R2)

1
0.008546 8.582018*

1
0.588282 10.28628*

11
-0.696569 -4.787100*

12
-0.893998 -10.14589*

13
-0.813292 -11.52318*

14
-0.319788

R2
0.893008

-2.425256** 70.11053*

Ch thch: * v **: c ngha thng k ti cc mc 1% v 5%

Tip tc kim nh tnh dng ca cc phn d t ca m hnh (1) da trn tiu chun kim nh Augmented Dickey-Fuller (ADF) ( y: t = G t 1I t 1 ) kt qu cho c trnh by trong Bng 4. Bng 4. Kim nh nghim n v cho phn d v c lng h s ng lin kt
G t = 1 + 1I t + t (7)

H s ng lin kt 1 Gi tr c lng 0.588282 (10.28628)*

Thng k - ADF ca t -4.582472*

Ch thch: * v **: c ngha thng k ti cc mc 1% v 5%; Gi tr trong du ( ) l gi tr thng k T.

Kt qu cho thy G v I l ng lin kt vi h s ng lin kt 1 c c lng bng 0,588282 l dng v c ngha thng k mc 1%. Nh vy, c th thy mi quan h gia tng trng v lm pht trong di hn l ng bin, ng thi gi tr ny nh hn 1 cho thy, trong di hn, tng trng s tng nhanh hn lm pht. H s ph hp R2 c lng c bng 89,3% cho thy lm pht c nh hng kh ln n tng trng. Thm vo , kim nh ng lin kt Johansen (Johansen Cointergration Test) da trn 2 tiu chun kim nh gi tr ring cc i (maximal eigen value test) v kim nh vt (trace-test) cng cho php khng nh tnh ng lin kt gia G v I vi s vector ng lin kt l 2, kt qu trnh by trong Bng 5. Bng 5. Kim nh hi qui ng lin kt Johansen cho I v G
Gi tr ring 0.808406 0.156957 Gi thuyt gc r=0 r <= 1 Gi thuyt i r=1 r = 2 (hoc r <= 2) Thng k Trace 94.80178* 8.878310* Thng k max-eigen 85.92347* 8.878310*

Ch : * v **: c ngha thng k mc 1% v 5%; r: s vc t ng lin kt.

Nh trnh by trn, khi 2 bin tng trng v lm pht l lin kt bc mt (I(1)) v ng lin kt vi nhau, ta c th s dng m hnh sai s hiu chnh (ECM) xem xt s bin ng trong ngn hn ca tng trng c dng:
G t = 1 + 1i I t i + 1j G t j + 1 t + u t (7)
i =0 j=1 p q

Trong ut l nhiu trng, t l h s hiu chnh (Error Correction Term) c c lng trong m hnh (1) phn nh mc mt cn bng trong di hn gia tng trng v lm pht. G v I l sai phn bc nht ca G v I ti cc thi im khc nhau phn nh s thay i trong ngn hn ca tng trng v lm pht. Cc kim nh nhn dng v cc tiu chun AIC v SC cho thy m hnh c ch nh tt nht ti p=2 v q=3 v c dng:
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G t = 1 + 10 I t + 11I t 1 + 12 I t 2 + 11G t 1 + 13 G t 3 + 1 t + u t (7)

Kt qu c lng m hnh (7) c trnh by trong Bng 6. Bng 6. M hnh sai s hiu chnh gia G v I
H s
1 10 11 12 11 13 1

Kt qu c lng 0.019123 (7.727579)* 0.568621 (3.597152)* -0.525045 (-3.653626)* 0.320378 (2.024642)** 0.590619 (8.343071)* -0.382148 (-11.96307)* -2.197601 (-18.65582)* 0.973035 252.5976* 0.969183 1.339654 2.773019 1.189659 4.954084 -5.386655 -5.116395

R2 FF R2 F- White test F- BG test F-Ramsey test JB AIC SC

Ch thch: * v **: c ngha thng k ti cc mc 1% v 5%; Gi tr trong du ( ) l gi tr thng k T.

FF: F-statistic (Gi thuyt gc: H0: R2 = 0, Gi thuyt i: H1: R2 >0) F-White test: Thng k F ca kim nh White cho hin tng phng sai khng ng u F- BG test: Thng k F ca kim nh B-G cho hin tng t tng quan vi 2 bc tr F- Ransey test: Thng k F ca kim nh Ramsey v nh dng hm (3 h s) JB: Thng k JB kim nh v tnh chun AIC: Tiu chun thng tin Akaike (Akaike information criterion) SC: Tiu chun thng tin Schwarz (Schwarz criterion). T kt qu c lng trn ta thy m hnh c nh dng ng v tt c cc h s u c ngha thng k cc mc 1% v 5%, do m hnh khng tha bin. c lng h s 10 i vi bin I t dng cho thy, trong ngn hn, khi
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lm pht tng th tng trng cng tng, ng thi c lng h s 10 bng 0,569621 < 1, do vy, tng trng s tng nhanh hn lm pht. c lng ca h s 1 i vi tha s hiu chnh t bng -2,197601 l m cho thy, trong di hn, khi lm pht v tng trng chch khi v tr cn bng th s xut hin s iu chnh khin tng trng thay i theo xu hng a cc yu t ca nn kinh t quay tr li trng thi cn bng, ng thi ln ca h s ny ln hn 1 cho thy s iu chnh trn khin tng trng vt qu mc cn bng. Cc h s c lng khc u c ngha thng k cho thy nhng yu t tr ca s thay i ca lm pht v tng trng nhng thi k trc u c nh hng ln s thay i ca tng trng ti thi im hin ti. phn tch r hn v s thay i ca tng trng ph thuc th no vo s thay i ca lm pht v bn thn s thay i ca tng trng trong nhng thi k trc , phng php c s dng ph bin l phng php phn tch phng sai da trn vic s dng m hnh VAR. T Bng 1, chng ta bit G v I l cc chui dng, thc hin kim nh mi quan h nhn qu Granger (Granger Causality Test) gia G v I vi 3 bc tr phn tch s nh hng ca cc bin trn vi nhau, chng ta thu c kt qu th hin Bng 7. Bng 7. Kt qu kim nh mi quan h nhn qu Granger gia G v I
Pairwise Granger Causality Test

G # I
I # G

5.68506* 7.18297*

Ch thch: * v **: c ngha thng k ti cc mc 1% v 5%.

Kt qu kim nh cho thy c s tc ng qua li ln nhau gia G v I v do vy chng tun theo m hnh VAR vi 3 bc tr c dng:
G t = 1 + 11I t 1 + 12 I t 2 + 13 I t 3 + 11G t 1 + 12 G t 2 + 13 G t 3 + t I t = 2 + 21I t 1 + 22 I t 2 + 23 I t 3 + 21G t 1 + 12 G t 2 + 23 G t 3 + t (8) (9)

t v t l cc nhiu trng. Cc phn tch cho thy m hnh VAR vi 3 bc tr

nh trn c nh dng kh tt v c th dng phn tch phng sai, cc h s c lng c trnh by trong Bng 8. Bng 8. M hnh VAR phn tch bin ng ngn hn ca tng trng v lm pht vi 3 bc tr
G t = 1 + 11I t 1 + 12 I t 2 + 13 I t 3 + 11G t 1 + 12 G t 2 + 13 G t 3 + t
H s c lng Thng k T

(8) 13
0.977322 16.0096* R2 0.956371 153.4443*

1
0.00124 5 0.44316

11
0.513524 2.36278**

12
0.868112 4.43346*

13
0.371736 1.57430

11
-1.152153 -19.9019*

12
-1.169492 -15.2813*

(hoc F cho R2)

I t = 2 + 21I t 1 + 22 I t 2 + 23 I t 3 + 21G t 1 + 12 G t 2 + 23 G t 3 + t
H s c lng Thng k T (hoc F cho R2)

(9) 23
0.133036 2.87393* R2 0.500533 7.014939*

2
0.001742 0.81792

21
-0.047719 -0.28955

22

23

21
-0.111622

22
-0.089309

-0.476402 0.191115 -3.20852* 1.06736

-2.54272** -1.53895

Ch thch: * v **: c ngha thng k ti cc mc 1% v 5%.

Cc m hnh trn u c ph hp cao, s dng m hnh trn phn tch s bin ng ca lm pht v tng trng da trn phng php phn tch phng sai (Variance Decomposition) trong thi gian 2 nm tng ng vi 8 thi k tr, thu c kt qu th hin Bng 9. Bng 9. Kt qu phn tch phng sai ca G v I trong thi gian 2 nm
Phn tch bin ng phng sai ca Thi k tr 1 2 3 4 5 6 7 8 Sai s tiu chun (SE) 0.019498 0.028214 0.028636 0.030774 0.034029 0.040198 0.040535 0.043406

Phn tch bin ng phng sai ca

I I
81.57211 79.37839 81.29923 81.18322 79.27706 77.05651 77.08085 76.82961

G
100.0000 94.09283 92.88542 80.76088 83.44677 75.68383 76.04161 66.72889

I
0.000000 5.907166 7.114579 19.23912 16.55323 24.31617 23.95839 33.27111

Thi k tr 1 2 3 4 5 6 7 8

Sai s tiu chun (SE) 0.014785 0.015005 0.016786 0.016976 0.017547 0.017899 0.017922 0.017960

G
18.42789 20.62161 18.70077 18.81678 20.72294 22.94349 22.91915 23.17039

T kt qu phn tch phng sai nh trn ta thy, trong khong thi gian 2 nm, 33,27% s bin ng ca tng trng ( G ) c gii thch bi s bin ng ca lm pht ( I ) v 66,73% c gii thch bi bn thn s bin ng ca tng trng trong qu kh. Ngc li, cng trong khong thi gian trn, 76,83% s bin ng ca lm pht c gii thch bi s bin ng ca tng trng v 23,17% c gii thch bi chnh s bin ng ca lm pht trong cc thi im trc . ng thi, t m hnh VAR trn ta thy, ph hp ca m hnh (8) xem xt s bin ng ca tng trng l 95,64% v ph hp ca m hnh (9) xem xt s bin ng ca lm pht l 95,64%. iu cho thy, trong ngn hn, s thay i lm pht nh hng n tng trng nhiu hn s nh hng tr li ca tng trng n lm pht, nh vy, lm pht ph thuc phn ln vo nhiu yu t khc nh cc c sc cung, sc cu... 4. Kt lun Nghin cu trn ni tip cc nghin cu trc y nhm phn tch s nh hng qua li gia tng trng v lm pht Vit Nam giai on t nm 1995 n ht
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na u nm 2008 bng cc phng php hi qui ng lin kt, m hnh sai s hiu chnh ECM v phn tch phng sai da trn m hnh VAR, kt qu cho thy nhng bng chng thc nghim r rt v tng tc qua li gia 2 yu t ny trong c di hn v ngn hn, kt qu thu c thng nht vi cc kt qu ca Tobin (1965), Mallik and Chowdhury (2001), Faria v Carneiro (2001) cng b. T kt qu phn tch, chng ta thy gia tng trng v lm pht c mi quan h dng (ng bin) trong c di hn v ngn hn v s thay i ca tng trng nhanh hn s thay i ca lm pht trong c hai trng hp trn, nh vy, trong giai on ny lm pht c tc dng tch cc n tng trng v cha vt qu ngng kim sot. ng thi, lm pht c nh hng n tng trng nhiu hn nh hng ngc tr li ca tng trng n lm pht, iu cho thy lm pht cn b chi phi bi nhiu yu t khc, c bit l nhng bin ng trong ngn hn. Nghin cu trn cho thy, Chnh ph khng nn theo ui mc tiu gi lm pht thp bng mi gi, m cn thc hin cc chnh sch hng ti mc tiu u tin hng u l thc y tng trng nhanh rt ngn thi gian thc hin cng nghip ha hin i ha t nc. ng thi, qua nghin cu, ta cng thy lm pht cn b chi phi bi rt nhiu yu t khc, do vy, Chnh ph cn thc hin cc bin php thch hp nhm n nh lm pht, to tin thc y tng trng mt cch bn vng v trnh nhng c sc lm pht khng c li cho nn kinh t. Ti liu tham kho 1. Barro, R., 1996. Inflation and growth, Federal Reserve Bank of St. Louis Review, vol. 78, pp. 153-169 2. Bruno, M. and W. Easterly, 1998. Inflation crises and long-run growth, Journal of Monetary Economics, vol. 41, pp. 3-26 3. Dickey, D.A. and W.A. Fuller, 1979. Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, vol. 74, pp. 427-431 4. Engle, R.F. and C. Granger, 1987, Cointegration and error correction: Representation, estimation and testing, Econometrica 55, 251-276 5. Faria, J. R. and Carneiro, F. G (2001) (2001), Does high inflation affect growth in the long and short run?, Journal of Applied Economics, Vol. IV, No. 1 (May 2001), 89-105 6. Fischer, S., 1993. The role of macroeconomic factors in economic growth, Journal of Monetary Economics, vol. 32, pp. 485-512 7. Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press, ISBN: 0-691-04289-6

8. Johansen, S., 1988. Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, vol. 12, pp. 231-254 9. Johansen, S. and K. Juselius, 1990. Maximum likelihood estimation and inference on cointegration-with the application to the demand for money, Oxford Bulletin of Economics and Statistics, vol. 52, pp. 169-210 10. Khan, M. S. and Senhadji, A. S. (2001), Threshold Effects in the Relationship between Inflation and Growth, IMF Staff Papers Vol. 48, No.1. 11. Mallik and Chowdhury (2001), Inflation and economic growth: evidence from four South Asian countries, Asia-Pacific Development Journal, Vol. 8, No. 1, June 2001 12. Sarel, M. (1996), Nonlinear Effects of Inflation on Economic Growth, IMF Staff Papers 43: 199-215 13. Tobin, J. (1965), Money and Economic Growth, Econometrica 32: 671684.

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