PHT TRIN & HI NHP S 10 (20) - Thng 05-06/2013

Nghin Cu & Trao i

32
1. Tng quan
Da theo nhng l thuyt
c v lm pht, cc nghin cu v
lm pht VN gn y kt hp
nhiu nhn t t c pha chi ph y
v pha cu ko ca lm pht nhm
gii thch nhng bin ng ca
lm pht. Tuy nhin, do thiu s
liu hoc do ch ca cc tc gi,
phn ln cc nghin cu u b
qua cc yu t thuc pha cung v
tp trung ch yu vo cc nhn t
thuc pha cu. Nhn t cung duy
nht c xem xt l cc c sc t
quc t (gi ca du v trong mt
vi trng hp gi ca go).
Tm li, nhng nghin cu gn
y v lm pht VN xoay quanh
cc nhn t: CPI, cung tin, li sut,
t gi, sn lng, gi du v gi go
th gii v hu ht cc nghin cu
u s dng m hnh VAR hoc
VECM. Trong nghin cu ny tc
gi s cn nhc vic a thm cc
bin thuc pha cung v s dng s
liu cp nht n thng 6 nm 2011,
qua xem xt cc vn mi
cung cp bc tranh ton din hn,
mi m hn v lm pht VN.
xy dng c m hnh
SVAR thc nghim, chng ta cn
phi gii quyt hai ni dung: (1)
La chn cc bin trong m hnh;
v (2) Thit lp cc hn ch ca m
hnh a ra ma trn cu trc.
1.1. La chn cc bin cho m
hnh
Lm pht khng ch l mt hin
tng tin t do nhng mo m
trn th trng tin t trong nc
m cn l kt qu ca cc yu t c
cu/chi ph y. Theo nghin cu
ca Chhibber (1991) v mt s
nghin cu thc nghim gn y
i vi cc nn kinh t nh, m th
mc gi ca nn kinh t (thng
c o bng ch s gi tiu dng
CPI) s c din t thng qua
gi ca cc hng ha thng mi
PT (gi cc loi hng ha v dch
v m nc xut khu hoc
nhp khu) v gi c hng ha phi
thng mi PN (gi c cc hng
ha v dch v c sn xut v
tiu th trong nc):
logP =
1
logP
T
+
2
logP
N
Trong : 0 <
1
,
2
< 1
v
1
+
2
= 1
i vi hng ha thng mi,
nhng thay i trong gi hng ha
thng mi ph thuc vo nhng
thay i trong gi quc t logP
F
v
nhng thay i trong t gi hin ti
logE. logP
T
= logP
F
+ logE
i vi gi hng ha phi thng
mi s ph thuc vo tng cung v
tng cu.
V pha cu, tng cu s ph
thuc vo thu nhp Y, li sut R,
gi ti sn W, thu v chi tiu ca
chnh ph T. Nhng nhn t ny c
th to ra d cu v tc ng ln
gi nn c gi l yu t lm pht
do cu ko.
logP
N
= (Y, R, W, T)
V pha cung, theo m hnh
tng gi chun ca Bruno (1979)
v Gordan (1975) th gi hng ha
phi thng mi s l mt hm ca
chi ph lao ng (W
C
), chi ph u
vo M
C
(cc hng ha trung gian
Nghin cu lm pht
ti Vit Nam theo phng php SVAR
PGS.TS. NGuyN Th LiN hoa
& ThS. TRN NG DNG
B
i vit ny nghin cu v cc yu t no , ang v s nh hng
n lm pht ti VN, ng thi chy m hnh nh lng SVAR
kim nh mc nh hng n lm pht ca tng yu t. y l
phng php mi v hiu qu c p dng nhiu quc gia hin nay trong
vic phn tch chnh sch vi m. Bi nghin cu i su vo gii quyt cc vn
sau: (1) Cc yu t tc ng n lm pht VN; (2) nh hng ca c sc trong
chnh sch n lm pht? (3) Thi gian lm pht phn ng li mt chnh sch
mi; v (4) Tc ng ngc tr li ca mt c sc trong lm pht n cc yu t
khc.
T kho: Lm pht, m hnh SVAR, chnh sch v m.
S 10 (20) - Thng 05-06/2013 PHT TRIN & HI NHP
Nghin Cu & Trao i
33
nhp khu v sn xut trong nc)
v s tng gi t pha cung (M
U
)
do th trng khng hon ho. Cc
nhn t ny cn c gi l nhn t
chi ph y, tc ng ln lm pht
trong nc.
logP
N
= (1 + M
U
) * (W
C
, M
C
)

Trong , M
U
i din cho s
tng gi theo nhng thay i ca
nn kinh t khi cu vt mc v
bn thn cu vt mc dn n
lng tin thc t trong th trng
tin t trong nc (EMB) d tha.
Do kh khn trong vic lng ha
M
U
nn cc nghin cu thng s
dng bin EMB thay th. Trong
:
EMB = (M
S
, M
D
) = (M
S
, Y, R,
P
E
)
M
S
, M
D
ln lt l cung v cu
tin. Th trng tin t cn bng
khi EMB bng 0.
Y, R, P
E
ln lt l sn lng, li
sut v mc gi k vng.
Tng hp li ta c: P = (P
F
,
E, Y, R, W, T, P
E
, M
S
,
W
C
, M
C
)
y l m hnh chung xc
nh cc nhn t c bn gy ra
lm pht cc nn kinh t nh,
m. Cc nhn t ny c phn
thnh 4 nhm c bn: (i) gi ca
khu vc nc ngoi; (ii) t gi; (iii)
cu ko; v (iv) chi ph y. Tuy
nhin, s dng mi nn kinh
t chng ta cng cn quan tm n
2 vn . Mt l ty thc trng lm
pht mi quc gia m chng ta
s dng cc bin i din cho ph
hp, c th s dng thm cc bin
c trng cho mi quc gia. Hai l
d liu c sn chng ta s dng
cho m hnh hay khng. Da trn
hai vn ny, tc gi c mt s
iu chnh i vi cc bin s dng
trong m hnh.
Th nht, i vi bin gi t khu
vc nc ngoi, tc gi s dng gi
du - hng ha c nh hng quan
trng n hu ht cc loi hng ha
khc trong nn kinh t, v gi go
do vai tr quan trng ca gi lng
thc - thc phm trong r hng ha
tnh CPI ca VN thay th.
Th hai, i vi bin lm pht
k vng, do s liu ny vn cha
c o lng VN nn trong m
hnh y, bin ny s khng c
xem xt ti.
Th ba, do thiu d liu u
vo ng tin cy, tc gi s khng
s dng bin tin lng. Thay vo
s xem xt bin s gi bn ca
ngi sn xut (PPI), cng c th
xem nh bin i din cho chi ph
t pha ngi sn xut.
Th t, khng c mt bin c
th no c th i din v pha
cung, c th l cc yu t chi ph
u vo sn xut trong nc.
y bi nghin cu ch xt n
trng hp yu t u vo ca cc
doanh nghip c nhp khu t
khu vc nc ngoi, v th n s
chu nh hng bi ch s gi nhp
khu (IMP).
Th nm, v pha cu tc gi s
dng bin l hng sn lng cng
nghip c o lng bng chnh
lch gia sn lng thc t v sn
lng tim nng th hin p lc
v pha cu.
Th su, nghin cu s dng
bin t gi danh ngha hiu dng
(NEER) c tnh bng mt r t
gi ca tp 20 cc nc c lng
giao dch thng mi (c nhp
khu v xut khu) ln nht vi VN
thay v dng t gi song phng
(thng l dng t gi VND/USD)
th hin chnh xc hn mi lin
h gia t gi v lm pht.
Nh vy, da trn cc phn tch
trn, chng ta s xem tin hnh
xem xt m hnh vi h thng cc
bin sau:
CPI = (OIL, RICE, ER, R,
IND, M2, IMP, PPI)
1.2. Thit lp cc hn ch ca m
hnh
Vic thit lp cc hn ch t
xy dng nn ma trn cu trc cho
m hnh l cng vic quan trng
v c nh hng xuyn sut n
kt qu c lng cng nh cc
phn tch sau . Trong phn ny,
ti s thit lp cc hn ch trong
ngn hn da trn cc l thuyt
kinh t v cc nghin cu thc
nghim trc c cng nhn
rng ri, nh nghin cu ca Mardi
Dungey v Adrian Pagan (2000),
Alessandro Cologni and Matteo
Manera (2005).
Da trn cc nhn t c bn tc
ng n lm pht nh phn tch
trn, ng thi lm r phn ng
ca lm pht trc cc thay i bt
ng trong chnh sch tin t, tc
gi phn chia cc c sc thnh 5
nhm: (i) c sc gi ca khu vc
nc ngoi; (ii) c sc trong t gi;
(iii) c sc trong chnh sch tin t;
(iv) c sc trong tng cu; v (v) c
sc trong tng cung.
1.2.1. C sc gi ca khu vc
nc ngoi
Trong cc c sc trong nc
s khng c tc ng n khu vc
nc ngoi, m bn thn cc c sc
ny s do chnh n gy ra:

OIL
= U
OIL

Vi gi go th gii, Mondi v
cng s (2011) cho thy trong thp
k gn y cc c sc trong gi du
th gii c tc ng r nt n gi
lng thc, c th l gi go th
gii. Do nh hng ca cuc khng
hong nng lng v lng thc
trong nhng nm gn y khin
cng chng lo ngi trc mt c
sc gi nng lng s dn n gi
lng thc tng cao nn thc hin
PHT TRIN & HI NHP S 10 (20) - Thng 05-06/2013
Nghin Cu & Trao i
34
tch tr lng thc, y gi lng
thc tng trong ngn hn:

RICE
= U
RICE
+
21
U
OIL
1.2.2. C sc trong ty gi
T gi ti VN c iu tit
bi NHNN v thng c xu hng
gi n nh trong thi gian di,
do , t gi c cho l hu nh
khng chu tc ng tc thi bi
cc c sc khc (Ulrich Camen,
2006; IMF, 2006b; Phm Th Anh,
2009):
ER
= U
ER
1.2.3. C sc trong chnh sch
tin t
Cung tin M2 c gi nh
chu nh hng tc thi bi cc c
sc trong lm pht, li sut v sn
lng (Sousa v Zaghini, 2004;
Cologni v Manera, 2005). Hn
na do t gi VN theo ch th
ni c qun l (thc t l gi n
nh trong mt thi gian di) cho
nn cung tin M2 v li sut cng
c iu chnh thc hin c
iu ny:

M2
= U
M2
+
64
U
IND
+
65
U
CPI
+

67
U
R
+
63
U
ER
Li sut c k vng tng khi
sn lng cao hn sn lng tim
nng v t l lm pht vt mc
tiu di hn ca chnh ph:

R
= U
R
+
74
U
IND
+
75
U
CPI
+

73
U
ER
1.2.4. C sc trong cu:
C sc trong cu c th hin
qua s gia tng trong l hng sn
lng. Nhng thay i trong hot
ng kinh t c quan h mt thit
vi lm pht, nhng thay i trong
t gi, li sut v gi du. i vi
nn kinh t nh, m nh VN, sn
xut trong nc ph thuc cht ch
vo cc yu t u vo c nhp
khu t nc ngoi th mt s thay
i trong t gi s c tc ng ng
k n sn lng trong nc (V
Vn Minh, 2009):

IND
= U
IND
+
41
U
OIL
+
43
U
CPI

+
45
U
R
+
47
U
ER
1.2.5. C sc trong cung
Theo l thuyt th c ch dn
truyn s i t t gi n ch s gi
nhp khu, ch s gi sn xut v
cui cng l ch s gi tiu dng.
V cc ch s gi ny u chu nh
hng mnh m bi nhng thay
i trong gi nhin liu (Nguyn
Th Thu Hng v Nguyn c
Thnh, 2010).

IMP
= U
IMP
+
83
U
ER
+
81
U
OIL

PPI
= U
PPI
+
91
U
OIL
+
95
U
CPI
+

97
U
R
+
93
U
ER
2. D liu v cc kim nh ban
u
2.1. D liu
Theo ni dung phn tch trn,
tc gi s dng h thng cc bin
trong m hnh cng nh cc k
vng ban u v mi tng quan
gia phn ng ca lm pht trc
cc c sc t cc yu t khc qua
bng tng hp c lng k vng
di y.
D liu tt c cc bin l s
liu th cp u c ly theo
thng t thng 1 nm 2001 n
thng 6 nm 2011. Ring d
liu v PPI ch c theo qu, ti
s dng phng php ni suy
tnh ton d liu theo thng.
Cc bin u c s dng
dng logarit c s t nhin e tr
bin li sut R. Ring cc bin:
RICE, OIL, GIND, CPI, M2,
IMP, PPI s c iu chnh ma
v trc khi ly logarit. Trong
bin L hng sn lng cng
nghip GIND c tnh t s
liu sn lng cng nghip v
s dng phng php Hodrick
Prescott (Prescott, Nobel kinh t
2004).
2.2. Cc kim nh ban u
2.2.1. Kim nh tnh dng
kim nh nghim n v (Unit
Root Test)
S dng kim nh Augmented
Dickey - Fuller (ADF) xem xt
tnh dng ca cc bin u vo,
ln lt trong cc trng hp
c chn, c chn v xu hng,
khng chn v khng xu hng,
kt qu cho thy cc bin ngoi
tr GIND v R u khng dng
mc ngha 5%. Tip tc kim
nh ADF cho cc bin (cha
dng) sai phn bc nht I(1) ta
Bang 1. Tng hp ngun d liu i vi cac bin s dng
Bin K hiu Thi gian Ngun
Cu
sc
K vng
anh
hng
Gia du th gii OIL 1/2001 6/2011 IMF 1 +
Gia go th gii RICE 1/2001 6/2011 IMF 2
Khng
nhiu
Ty gia danh ngha hiu
dng
NEER 1/2001 6/2011 IMF 3 +
L hng san lng GIND 1/2001 6/2011
Tinh
theo
IMF
4
Khng
nhiu
Ch s gia tiu dng
trong nc
CPI 1/2001 6/2011 IMF 5 +
Cung tin rng M2 1/2001 6/2011 IMF 6 +
Lai sut cho vay
k hn 1 nm
R 1/2001 6/2011 IMF 7
Khng
nhiu
Ch s gia nhp khu IMP 1/2001 6/2011
World
Bank
8 +
Ch s gia san xut PPI 1/2001 6/2011 GSO 9 +
S 10 (20) - Thng 05-06/2013 PHT TRIN & HI NHP
Nghin Cu & Trao i
35
nhn c ton b cc chui u
dng mc ngha 5%.
Vy m hnh s c c
lng vi sai phn bc nht I(1)
ca cc bin: OIL, RICE,
CPI, M2, ER, IMP, PPI
v hai bin ban u GIND v R.
2.2.2. Kim nh tr ti u
ca m hnh
Trong m hnh VAR, tr
ti u ca m hnh thng c
la chn da trn cc kim nh
Akaike Information Criterion
(AIC), Schwarz Information
Criterion (SC) v LR.
Nu theo tiu chun AIC, SC
v LR th tr c la chn
ln lt l 8, 1 v 5. Tuy nhin
i vi m hnh SVAR th cc
kim nh ny khng nh
gi tc ng ca cc c sc c
lng ha. Chnh v th trong
bi ny ti s dng phng php
Portmanteau kim nh tnh
t tng quan phn d trong
m hnh v a ra tr ti u.
Kt qu kim nh Portmanteau
cho thy tr ca m hnh
SVAR nn l 6. Do vy, bi
nghin cu s s dng tr l 6
c lng m hnh.
Sau khi thc hin cc kim
nh lin quan, tc gi tin hnh
c lng m hnh theo cc c
sc c thit lp phn trn
bng phn mm Eview. Sau
s dng hm phn ng y v
phn r phng sai tin hnh
cc phn tch. Kt qu s c
trnh by phn tip theo.
3. Phn tch kt qu
3.1. Phn tch tc ng ca cc c
sc n lm pht VN
3.1.1. Phn ng ca lm pht
trc c sc v gi t khu vc
nc ngoi
Kt qu cho thy CPI c chu
nh hng t c sc gi khu vc
nc ngoi, c bit l trong gi
du. Mc phn ng ca CPI
trc c sc trong gi du mnh
hn so vi c sc trong gi go
(v v c bn VN vn l nc
xut khu go, ngun cung go
hon ton p ng c nhu
cu trong nc), tuy nhin mc
nh hng khng ln. iu ny
mt ln na khng nh lm pht
trong nc nguyn nhn ch yu
khng phi do cc yu t gi khu
vc nc ngoi (gi du v gi
go). ng thi tc ng ca cc
c sc ny khng phi l tc thi
m c mt tr nht nh, nh
gi du th hin tc ng r nht
ca n ln lm pht trong nc l
sau khong 6 thi k (thng) v
tc ng ca n l dai dng. Kt
qu ny tng t nh kt qu ca
cc nghin cu trc y.
Gi du nh hng ln gi
c ca nn kinh t thng qua 2
knh: trc tip nh l mt loi
hng ha tiu dng cui cng v
gin tip nh mt yu t u vo
ca qu trnh sn xut. Theo hiu
ng lan truyn ny th cn phi
mt mt thi gian gi du tc
ng ln gi c trong nc, kt
qu chy ra hon ton ph hp
nhng vn cn xem xt ti l
mc tc ng ca gi du ln gi
c VN c th khc bit so vi
nhiu quc gia.
3.1.2. Phn ng ca lm pht
trc c sc ty gi
C sc trong t gi c tc
ng lm tng lm pht nhng
khng ln. Tc ng ny khng
tc thi, th hin r nht t k
th 4 n k th 12 v sau c
xu hng gim dn v 0. Ring
i vi VN, t gi c gi
tng i cng nhc, ch t cui
nm 2008 tr li y th NHNN
mi c nhng t iu chnh t
gi vi bin ln hn, c th
ln ph gi gn y nht l 9,3%.
Do m tc ng ca t gi ln
lm pht mi khng ln nh lp
lun trn. y cng l l do m
cc nghin cu v tc ng ca t
gi ln lm pht i vi chui d
liu trc nm 2008 u khng
cho thy tc ng ny.
3.1.3. Phn ng ca lm pht
trc c sc trong chnh sch
tin t
Phn ng ca CPI trc c
sc li sut khng nhiu trong khi
trc c sc trong cung tin M2
th CPI li phn ng rt mnh. C
sc trong cung tin s lm tng
Hinh 1a. Phan ng ca CPI
trc cu sc gia du
Hinh 1b. Phan ng ca CPI
trc cu sc gia go
Hinh 2. Phan ng ca CPI
trc cu sc t gia
-.02
-.01
.00
.01
.02
.03
.04
2 4 6 8 10 12 14 16 18 20 22 24
Accumulated Response of D(CPI) to Structural
One S.D. Shock1
-.02
-.01
.00
.01
.02
.03
.04
2 4 6 8 10 12 14 16 18 20 22 24
Accumulated Response of D(CPI) to Structural
One S.D. Shock2

-.02
-.01
.00
.01
.02
.03
.04
2 4 6 8 10 12 14 16 18 20 22 24
Accumulated Response of D(CPI) to Structural
One S.D. Shock3
PHT TRIN & HI NHP S 10 (20) - Thng 05-06/2013
Nghin Cu & Trao i
36
CPI nhng CPI khng phn ng
ngay lp tc m tr khong 6 thi
k (thng) v tc ng ny l dai
dng. Tc ng ny c th thy r
nht trong giai on 2005 2007,
mc tng cung tin ca VN l
khong 91,93% gp 3,6 ln mc
tng trng GDP (25,1%), ring
nm 2007 mua li hn 10 t
USD ngoi t th NHNN b
ra gn 180.000 t ng (khong
14% GDP), iu ny gp phn l
gii cho lm pht tng cao trong
nm 2007 (12,63%) v 2008
(19,95%). Kt qu ny cng ph
hp kt qu ca cc nghin cu
trc y, hu ht u cho thy
CPI phn ng rt mnh trc c
sc trong cung tin nhng phn
ng khng nhiu vi c sc t li
sut.
3.1.4. Phn ng ca lm pht
trc c sc t pha cu
C sc trong l hng sn
lng cng nghip (GIND) tc
ng khng ng k lm pht
trong nc. Kt qu ny cho thy
lm pht VN nguyn nhn ch
yu khng phi l do cu ko.
Tuy nhin cn lu , trong mt
s nghin cu do d liu c s
dng trong giai on mt bng
lm pht VN cao (thng l t
nm 2005 tr i) dn n kt qu
l GIND v CPI c mi quan h
ngc chiu nhau, c hiu l
khi c sc trong GIND lm tng
GIND ln s lm cho lm pht c
xu hng gim xung. iu ny
c th l gii bi t l lm pht
cao VN trong nhng nm gn
y, nh im nh nm 2008
lm pht VN ln ti 19,95%.
3.1.5. Phn ng ca lm pht
trc c sc t pha cung
C sc gi nhp khu lm tng
lm pht trong nc v c xu
hng ko di trong khi c sc
t gi ca ngi sn xut cng
lm tng lm pht nhng theo
thi gian mc tc ng gim dn
v tin v 0 sau khong 20 thi
k (thng). S tc ng ca hai
c sc ny n lm pht cng
mnh hn, cho thy nguyn nhn
lm pht VN do yu t chi ph
y em li. Trong khi tc ng
ca ch s gi nhp khu l c
tr th lm pht phn ng ngay
lp tc trc c sc gi bn ca
ngi sn xut mc d mc tc
ng nh.
3.1.6. Phn r phng sai
phn tch mc ng
gp ca cc c sc ca cc yu t
c chn i vi lm pht trong
tng thi im cng nh khng
nh li cc phn tch kt qu thu
c t cc hm phn ng y
ta s dng thm kt qu phn r
phng sai.
Kt qu cho thy mt iu
l l ngay ti thi im u tin
CPI ch b nh hng 41,30% bi
c sc t tr ca chnh n, t l
ny cn thp hn c nh hng
bi c sc t PPI chim 42,78%.
Kt qu ca nhng nghin cu
trc y v lm pht VN u
cho thy CPI thng chu nh
hng rt ln t c sc tr ca
chnh n n hn 80%. C sc
t IMP cng tc ng kh ln
n CPI, d ch chim 6,15%
k u song n k th hai
bt ng chim 16,13% v gi
mc khong 20% cho n 12
k, trong khi cung sc n t
pha cu m i din l l hng
sn lng cng nghip GIND rt
yu, cao nht ch 3% cho c 24
k. Nh vy kt qu bi nghin
cu ny mt ln na khng nh
Hinh 3a. Phan ng ca CPI
trc cu sc cung tin
Hinh 3b. Phan ng ca CPI
trc cu sc lai sut
Hinh 4. Phan ng ca CPI trc cu sc
trong l hng san lng cng nghip
-.02
-.01
.00
.01
.02
.03
.04
2 4 6 8 10 12 14 16 18 20 22 24
Accumulated Response of D(CPI) to Structural
One S.D. Shock7

-.01
.00
.01
.02
.03
.04
2 4 6 8 10 12 14 16 18 20 22 24
Accumulated Response of D(CPI) to Structural
One S.D. Shock6

Hinh 5a. Phan ng ca CPI
trc cu sc gia nhp khu
Hinh 5b. Phan ng ca CPI trc cu sc
gia ban ca ngi san xut
-.02
-.01
.00
.01
.02
.03
.04
2 4 6 8 10 12 14 16 18 20 22 24
Accumulated Response of D(CPI) to Structural
One S.D. Shock8

-.02
-.01
.00
.01
.02
.03
.04
2 4 6 8 10 12 14 16 18 20 22 24
Accumulated Response of D(CPI) to Structural
One S.D. Shock4
-.02
-.01
.00
.01
.02
.03
.04
2 4 6 8 10 12 14 16 18 20 22 24
Accumulated Response of D(CPI) to Structural
One S.D. Shock9
S 10 (20) - Thng 05-06/2013 PHT TRIN & HI NHP
Nghin Cu & Trao i
37
tnh trng lm pht cao VN ch
yu l do c sc t pha cung/chi
ph y nhiu hn do c sc t
pha cu/cu ko. Ngoi vic tc
ng mnh nht ngay t u vi
c sc t PPI cng cho thy tc
ng dai dng sau 24 k vn cn
tc ng trn 20%, cn IMP l
trn 15%.
Bn cnh ta thy c sc t
cung tin M2 c tc ng khi
u rt yu t ch 1,28%, tuy
nhin sau su k chim 9% v
sau 12 k l 27%, t l ny gi n
nh n ht 24 k cho thy tc
ng dai dng ca n; trong khi
tc ng t c sc li sut th
khng ng k. iu ny khng
nh li rng chnh sch tin t
m c th l cung tin ch c tc
dng sau khong thi gian t nht
l 6 thng.
Cn li, tc ng ca c sc
trong gi du, gi go v t gi
n lm pht VN l khng
ng k.
Tm li, da trn cc phn
tch hm phn ng y v phn
r phng sai ca lm pht trc
cc c sc trong giai on 2001
- 2011, chng ta c th rt ra cc
kt lun s b quan trng ban
u nh sau:
Th nht, lm pht trong
nc c nguyn nhn ch yu
khng phi do gi khu vc nc
ngoi (gi du, gi go) m chu
nh hng ch yu t cc ngun
trong nc hay ni cch khc l
do cc yu t ni ti ca nn kinh
t.
Th hai, tc ng ca c sc
trong t gi ln lm pht trong
nc l khng ln. Tuy nhin
nu t gi tip tc bin ng vi
bin mnh hn trong thi gian
ti th tc ng ny cn xem xt
li. T gi ng vai tr l knh
dn truyn c sc t cc nhn t
khc gy tc ng ln lm pht
nhiu hn l nhn t tc ng
trc tip.
Th ba, c sc trong cung tin
c nh hng ln n lm pht,
tr ca nh hng ny t nht
l 6 thng v ko di dai dng.
Trong c sc li sut gy tc
ng khng nhiu v thc t th
hin nh l chnh sch mang tnh
thch ng nhiu hn l mang tnh
ch ng ngn chn.
Th t, lm pht c nguyn
nhn do yu t chi ph y nhiu
hn l do cu ko.
Nh vy khi dng NEER, tc
gi mun nhn mnh n c sc
trong t gi ni chung ch khng
ch c t gi danh ngha VND/
USD, kt qu cho ra cng hp l
v nh s bnh qun ca cc t
gi danh ngha gia VND v cc
ngoi t khc lm du bt tnh
c quyn ca t gi VND/
USD.
3.2. Tc ng ca c sc t lm
pht
Vi u im ca m hnh
VAR - SVAR chng ta c th
xem xt ngc tr li tc ng
c sc trong CPI n cc nhn
t khc thy r mi quan h
ng v c ci nhn ton din v
tng th nn kinh t.
3.2.1.Tc ng dai dng ca
lm pht trong qu kh
Cng chng c khuynh hng
lu gi n tng v lm pht
trong qu kh ng thi c k
vng nhy cm v lm pht trong
tng lai. K c hay n tng v
mt giai on lm pht cao trong
qu kh thng ch bt u m
nht dn sau khong 8 thng c
lm pht thp lin tc.
3.2.2. Tc ng ca lm pht
n cc nhn t khc
Xem xt tc ng ngc tr
li ca c sc trong CPI n cc
nhn t khc thng qua phn ng
y chng ta nhn thy hu ht
cc nhn t u c bin ng
ngc chiu khi c mt c sc
trong lm pht, ni cch khc
l nh hng ca c sc n t
lm pht tht nng n v mang
nhiu thit hi cho nn kinh t
ni chung.
B qua tc ng i vi cc
nhn t bn ngoi (gi du, gi
go, t gi v ch s gi nhp
khu) tc gi ch ch phn tch
n cc nhn t bn trong nn
kinh t.
Trc ht l s st gim trong
ch s gi sn xut cng nghip
PPI, iu ny c th c gii
thch bi nhiu l do nhng l do
quan trng nht l c th xy ra
tnh trng nh lm, sn xut b
nh tr, hng ha kh tiu th
nn doanh nghip phi c gng
kim gi mc d chi ph u
vo c th gia tng lan ta n
gi bn u ra phi tng nhng
doanh nghip phi chu ct gim
li nhun, thm ch chu l. Tht
vy, nhiu doanh nghip trong
thi k lm pht tng cao s rng
nu tng gi s khng bn c
sn phm nn c khng tng
trong thi gian c th. Tuy nhin
iu ny khng th ko di, nu
khng doanh nghip s dn n
ph sn v ko theo l s gia tng
-.003
-.002
-.001
.000
.001
.002
.003
.004
2 4 6 8 10 12 14 16 18 20 22 24
Response of D(CPI) to Structural
One S.D. Shock5

Hinh 6. Phan ng ca CPI trc
cu sc t chinh n
PHT TRIN & HI NHP S 10 (20) - Thng 05-06/2013
Nghin Cu & Trao i
38
v lm pht trong thi k tip
theo.
Tip theo ta thy cc nhn
t nh l hng sn lng cng
nghip, cung tin v li sut
cng u c kt qu ngc du
vi mt c sc tng ca lm pht.
Theo tc gi, cc kt qu ny ch
yu th hin s thch ng trong
chnh sch nhm km hm
tng ca lm pht. L hng sn
lng mang du m cho thy du
hiu gim p lc ln lm pht t
pha cu, cung tin cng gim
tng ng, ring li sut gim
sau 14 k.
Nh vy so vi kt qu ca
cc nghin cu trc th kt qu
ca nghin cu ny nhn mt
cch tng qut xt c phn ng
ca CPI trc cc c sc t cc
nhn t khc v ngc li l phn
ng ca cc nhn t khc trc
c sc t CPI cho thy mt s
im khc bit ng k sau:
Th nht, c sc trong CPI
lm gim PPI ch khng phi l
lm tng PPI.
Th hai, c sc trong CPI
v cung tin ngc du mt
cch hon ton ch khng cng
chiu.
Th ba, phn ng ca CPI
vi c sc t chnh n khng
mnh m nh cc nghin cu
trc (qua phn r phng sai
thng chim hn 80% trong cc
k u).
Th t, c sc t pha cung v
t chnh sch tin t u c mc
gii thch cao n bin ng
trong CPI ch khng nh hu
ht cc nghin cu trc ch cho
thy mc tp trung cao vo
chnh sch tin t m cha cho
thy nh hng cao t c sc ca
cc nhn t khc.
4. Kt lun
Trong bi vit ny, tc gi
tin hnh xem xt vn lm
pht VN trong khun kh ca
phng php SVAR v nhn thy
lm pht VN c ngun gc ch
yu t khu vc trong nc, b tc
ng bi yu t chi ph y nhiu
hn l yu t cu ko. Chnh sch
tin t trong nc c nh hng
ng k n lm pht, c bit
l cung tin M2. Tuy nhin, tc
ng ca cung tin n lm pht
trong nc c mt tr nht
nh (khong 6 thng). T gi
c tc ng n lm pht trong
nc nhng mc tc ng khng
nhiu v ch yu th hin vai tr
knh truyn dn.
Bn cnh , bi nghin cu
cn cho thy vai tr ca yu t
k vng ln vic tng gi trong
nc, s k vng ny bt ngun
t nhiu nguyn nhn khc nhau
nhng tu trung li ch yu l do
s nh hng ca lm pht cao
trong qu kh v vn iu
hnh ca ngi lm chnh schl
TI LIU THAM KHO
Bicchaln, Motilal (2010), Monetary Policy
and Infation in India: A Structural VAR
Analysis, Available at: http://papers.
ssrn.com/sol3/papers.cfm?abstract_
id=1813886.
Camen, Ulrich (2006), Monetary Policy
in Vietnam: The case of a Transition
country, BIS Papers, No. 31 20.
Chhibbe, Ajay (1991), Africas Rising
Infation Causes, Consequences, and
Cures, PRE Working Papes, WPS 577.
Gottschalk, Jan (2001), An Introduction into
the SVAR Methodology: Identifcation,
Interpretation and Limitations of SVAR
models, Kiel Working Paper, No. 1072.
Lucas, Robert Jr. and Thomas J.
Sargent (1979), After Keynesian
macroeconomics, Federal Reserve
Bank of Minneapolis Quarterly Review,
Issue Spr.
Manera, Matteo and Alessandro Cologni
(2008), Oil prices, infation and interest
rates in a structural cointegrated VAR
model for the G-7 countries, Elsevier
Energy Economics, Vol. 30(3), P. 856
888.
Mondi, A., Chung Mo Koo and Won Joong
Kim (2011), Oil Shocks and the World
Rice Market Puzzle: A Structural
VAR Analysis, Korea and the World
Economy, Vol. 12, No. 2, P. 281 325.
Mwase, Nkunde, (2006), An Empirical
Investigation of the Exchange Rate
Pass-through to Infation in Tanzania,
IMF Working Paper, No. 06/150.
Nguyen Thi Thu Hang and Nguyen
Duc Thanh (2010), Macroeconomic
Determinants of Vietnams Infation 2000
2010: Evidence and Analysis, VEPR
Working Paper, WP 09, University
of Economics and Business, Vietnam
National University Hanoi.
Nguyen Thi Thuy Vinh and S. Fujita (2007),
The Impact of Real Exchange Rate on
Output and Infation in Vietnam: A VAR
Approach, Discussion Paper, No. 0625.
Phm Th Anh (2009), Xc nh cc nhn
t quyt nh lm pht VN, Tp ch
Kinh t v pht trin, s 150, http:ktpt.
edu.vn/website/magazine2.aspx
Pham The Anh (2007), Nominal Rigidities
And The Real Effects Of Monetary Policy
In A Structural VAR Model, DEPOCEN
Working Paper Series, No. 2007/06.
Sims, Christopher A. (1986), Are forecasting
models usable for policy analysis?,
Federal Reserve Bank of Minneapolis
Quarterly Review, Issue win, P. 2 16.
Sims, Christopher A. (2009), Infation
Expectations, Uncertainty and Monetary
Policy, BIS Working Papers, No. 275, P.
1 12.
The Economic Sciences Prize Committee
(2011), Empirical macroeconomics, The
Royal Swedish Academy of Sciences.
Vo Van Minh (2009), Exchange Rate Pass
Through and Its Implications for
Infation in Vietnam, VDF Working
Paper, No. 0902.