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Tỷ Giá Hối Đoái - Lạm Phát Mục Tiêu
Tỷ Giá Hối Đoái - Lạm Phát Mục Tiêu
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Bi Anh
Nguyn Tun
Nguyn Th Thanh
Nguyn Th
Bi Th Thanh
Phm Th Tr
Nguyn Trn Qunh
Mai Th Thanh
L Th
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Chnh
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Ho
Hoa
Hng
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GHI CH
MC LC
I. MC TIU NGHIN CU ......................................................................................... 1
1.1. Tn paper .................................................................................................................... 1
1.2. Mc tiu nghin cu ca paper .................................................................................... 1
Tm li. .............................................................................................................................. 3
Bin mi ca hai tc gi ..................................................................................................... 3
II/ PHNG PHP NGHIN CU ............................................................................... 3
2.1. Phng php nghin cu ............................................................................................. 3
2.2 M hnh ton hc s dng cho nghin cu ................................................................... 4
a/ M hnh t hi quy vector v hn ch ca n. ................................................................. 4
Cc din t m hnh VAR trong paper: ............................................................................. 5
Mt s cch din t m hnh VAR khc: .......................................................................... 6
iu kin tn ti m hnh VAR .......................................................................................... 7
u im ca VAR .............................................................................................................. 7
Th t thng thng khi s dng m hnh VAR l ............................................................. 7
Hn ch ca VAR .............................................................................................................. 8
b/ M hnh hm s y v phn tch phng sai ................................................................. 9
M hnh hm s y (IRFs) ................................................................................................ 9
Phn tch phng sai .......................................................................................................... 11
Tam gic ma trn Cholesky ................................................................................................ 13
c/ Phng php bnh phng nh nht (OLS) .................................................................... 14
d/ Phng php Census X-12 ............................................................................................. 15
e/ Phng php kim nh s dng l Augmented Dickey-Fuller (ADF) ............................ 17
2.3 Di d liu .................................................................................................................... 18
M hnh 05 bin (05 variance VAR) .......................................................................................... 18
M hnh 07 bin (07 variance VAR) .................................................................................. 18
2.4 Cc khi nim cn lu ............................................................................................... 18
2.4.1 Lm pht mc tiu l g: ............................................................................................ 18
2.4.2 Tc ng truyn dn ca t gi hi oi: ................................................................... 19
2.4.2.1 C ch truyn dn ca nhng thay i t gi hi oi vo lm pht ........................ 20
1
I. MC TIU NGHIN CU
1.1. Tn paper
C chng lm pht mc tiu (inflation targeting) lm gim tc ng truyn dn ca t gi hi
oi trong cc nn kinh t mi ni khng?1 ca tc gi Dramane Coulibaly v Hubert Kempf
cng b thng 10/2010.
1.2. Mc tiu nghin cu ca paper2
Khi u ca vic p dng lm pht mc tiu trong chnh sch tin t l New Zealand, sau
mt s lng ln cc nh kinh t hc (nh Bernanke v Mishkin (1997), Svensson
(1997), Bernake v cc cng tc vin (1999)) v mt s ngn hng trung ng khng nh
li ch tim tng thu c t vic p dng chnh sch lm pht mc tiu l ng k. Mt vi
cc khon li ch thu c kh chng minh (alleged gains) th thp hn v lm pht cng
nh t l li sut t bin i hn, tng trng n nh v tng kh nng phn ng vi nhng
bin ng bt thng (shocks) m khng mt tn nhim hay chi ph c ct gim cng vi
nhng giai on gim pht3, Cc tc gi cho rng lm pht mc tiu c lin quan n s
ci thin trong bc tranh kinh t chung.
Chnh v th, khuynh hng p dng c ch lm pht mc tiu ngy cng ph bin hn
khng ch cc nc cng nghip4 m cn cc nc mi ni5 trong chnh sch tin t ca h.
Mt nghin cu ca Laurence Ball v Niamh Sheridan (2003)6 ch ra trong mt paper mang
tn Does inflation targeting matter? vi cc bng chng thc nghim7 ca mnh ti cc
nc p dng lm pht mc tiu (targerters) v khng p dng (non-targeters) hai ng ch ra
02 lun im tng phn vi lm pht mc tiu8:
-
Th hai, Hai ng lp lun rng vic thc hin lm pht mc tiu hnh nh l khng
thch hp i vi cc nc cng nghip
Lm pht mc tiu c th ci thin bc tranh kinh t trong tng lai. Mi trng kinh
t c th tnh lng trong thi k lm pht mc tiu, v nhiu ngn hng trung ng
khng kim tra mt cch kht khe. V c l nhng nh hoch nh chnh sch tng
Nguyn bn l: Does inflation targeting decrease exchange rate pass through in emerging countries?
Trch paper: Inflation Targeting in Emergin Economies: What do the data say? Carlos Eduardo S. Goncalves v Joao
M.Salles, (2005), page 2 v Does inflation targeting decrease exchange rate pass-through in emerging countries?,
Dramane Coulibaly v Hubert Kempf (2010), page 3-4
3
Gim pht (Disinflation) l tnh trng mc gi chung ca nn kinh t gim xung lin tc, thng xut hin khi kinh t
suy thoi hay nh n. Gim pht, do , tri ngc vi lm pht.
4
Mi nc cng nghip nh: Australia, Canada, Finland, New Zealand, Norway, Spain, Sweden, Switzerland and UK
5
Mi hai nc mi ni l: Brazil, Chile, Colombia, Czech republic, Ghana, Guatemala, Hungary, Indonesia, Israel,
Korea, Mexico, Peru, Philipines, Poland, Romania, Slovakia, South Africa, Thailand and Turkey
6
Laurence Ball work in Johns Hopkins University and Niamh Sheridan work in international Monetary Fund
7
Cc nc m Laurence Ball v Niamh Sheridan ly mu l Australia, Canada, New Zealand, Sweden, United Kingdom,
Finland, Spain, United States, Japan, Denmark, Austria, Belgium, France, Germany, Ireland, Italy, Netherlands,
Portugal, Norway, Switzerland.
8
Trch Does inflation targeting matter? page 29 - 30
2
Nhm 6 TCDN m 1
Trang 1
Phng php c lng bnh phng nh nht - OLS (Ordinary Least Squares hay Linear least squares) l mt phng
php c a ra bi nh ton hc ngi c Carl Friedrich Gaus, y l phng php rt hay dng trong phn tch hi
quy nht l lnh vc kinh t lng, n thng k hiu l OLS (Ordinary Least Squares). T tng ca phng php ny
l cc tiu tng bnh phng cc phn d.
10
Regression toward the mean: l hin tng m nu c mt bin vt xa ch s ban u ca n, n s c khuynh hng
tin gn hn ti gi tr trung bnh trong s o u tin.
Nhm 6 TCDN m 1
Trang 2
D liu Mishkin v Schmitt Hebbel s dng l 21 nc c pht trin v mi ni p dng lm pht mc tiu, vi 15
nc cng nghip khng p dng lm pht mc tiu vi phng php VAR (khng c mu nghin cu vi cc nc mi
ni v cc nc ny cng khng p dng lm pht mc tiu). kim tra s chnh lch, h p dng cc tip cn
trc v sau bng cch so snh cc cng thc o lng phn ng su (impulse response) trong cc mu hnh nh nc
khc nhau, v ph thuc vo nc c p dng lm pht mc tiu hay khng. Kt qu l, nh hng truyn dn n
gi tiu dng tin gn n mc 0 (zero) hn ti cc nc cng nghip c p dng lm pht mc tiu v c trong cc nc
khng p dng. Cn trong cc nc mi ni th tht bi sau khi cc nc ny t c mt mc tiu n nh, nhng li
vn duy tr sai lch so vi mc zero.
Nhm 6 TCDN m 1
Trang 3
12
Ti liu dch Fulbright Kinh t lng cn bn ca Damodar N Gujarati xut bn ln 3, nh xut bn McGraw-Hill
International, chng 22 page 1
13
G.P.E Box & G.M.Jenkins, Time series analysis: Forecasting and Control (Phn tch chui thi gian: D bo v kim
sot.
14
Mt s ti liu Vit Nam cn dch exchange rate pass-through l mc chuyn t gi hi oi
Nhm 6 TCDN m 1
Trang 4
Trong ,
l l vect ca cc bin dng tham gia m hnh. Chng hn GDP, cung tin M2, CPI,
PPI, IMP
(L) l ma trn a thc trong ton t tr (the lag operator k hiu l p tr )
Vi
15
Tnh cht tr trong cc m hnh hi quy nh lng trong kinh t c hiu nh sau: Khi chng ta s dng mt m
hnh hi quy tng quan no th thng gi nh rng cc bin c lp tc ng tc th ln bin phu thuc v bin ph
thuc ch chu s tc ng ca bin c lp. Tuy nhin, cc bin s trong kinh t thng khng ng, tc ng ca cc
bin c th tc thi, c th khng. Nguyn nhn c th do yu t tm l, sc ca nn kinh t, nh ch,. Chnh v th
m hnh hi quy thng thng dng
(vi t l k th t) thng khng
chnh xc, nn m hnh hi quy VAR c thm k hiu tr p VAR(p). Chng ta phi xc nh p tr ny.
Nhm 6 TCDN m 1
Trang 5
Vi cc ma trn chuyn v
Trong ,
-
Nu trong paper ny th
(m hnh 5 bin) hay
(m hnh 7 bin)
-
- Bi l ma trn hip phng sai ca cc bin tr, loi 5x5 hoc 7x7 nh bi nghin cu
Theo Gio trnh Econometric Analysis, William H . Greene, 2000, page 586 din gii VAR l
16
Ti liu Exchange rate pass-through and its applications for inflation in Vietnam, Vo Van Minh, 2009, page 25 v
paper Exchange rate pass-through: Evidence based on vector autoregression with sign restrictions, An, Lian (2006)
page 16
Nhm 6 TCDN m 1
Trang 6
Trong
l vector nhiu khng t tng quan (non-autocorreclated disturbances) vi gi tr trung
bnh E( ) = 0 v ma trn hip phng sai xy ra cng lc
iu kin tn ti m hnh VAR
-
u im ca VAR
Hn ch ca m hnh ARIMA l ch tin hnh phn tch trn mt chui thi gian. Khi chng
ta cn phn tch nhiu chui thi gian khc nhau v cn phi xem xt mi quan h gia
chng th m hnh VAR tr thnh mt la chn ph hp. M hnh VAR gip xem xt cc
chui thi gian khc nhau.
Hn na, m hnh VAR cn c u im l khng cn phi xc nh bin no l bin ni sinh,
bin no l bin ngoi sinh hay ta c th s dng phng php OLS cho tng phng trnh
ring r. Bng cch cho php cc tng tc ni sinh gia cc bin trong h thng.
Th t thng thng khi s dng m hnh VAR l
-
Xt tnh dng ca chui d liu, nu d liu cha dng th s dng phng php sai
phn bin i v chui dng, u tin l sai phn bc 1, nu bc 1 cha c th
bc hai, bc ba,
17
Khi nim tnh dng c s dng rt nhiu trong m hnh ARIMA, Mt qu trnh ngu nhin Yt c coi l dng nu
k vng, phng sai v hip phng sai ti cng mt tr ca n khng i theo thi gian. Vi d liu l cc chui
khng dng, cc gi thit ny b vi phm, cc kim nh t, F mt hiu lc, c lng v d bo khng hiu qu hay ni
cch khc phng php OLS khng p dng cho cc chui khng dng. Xem thm ph lc 2 r hn
Nhm 6 TCDN m 1
Trang 7
tr Chi bnh phng trong kim nh diagnostic s gim khi s tr cng tng
ln qu mc ph hp.
-
Hn ch ca VAR
Bn cnh nhng hn ch trn, phng php vector VAR cn c cc hn ch sau
-
18
D.E.Runkle, Vector Autoregression and Reality, journal of Business and Economic Statistics, page 437-454, (1996)
Nhm 6 TCDN m 1
Trang 8
ng dng trong d bo
mt
(0)
l mt sai s trung bnh l zero
vi it ~ i.i.d (0, 2i ) v
cov( y , z ) 0
b21 1 zt b20 c21 c22 zt 1 zt
(3)
Nhm 6 TCDN m 1
Trang 9
Vit gn li l
X t A0 A1 X t 1 et
unstructured VAR)
y
a a
a y e
B-1 l ma trn o ca B, tc
B 1
1 a
B
B
1
b12
1
1
( B*)T =
(vi
1
(1 b21b12 ) b21
B
1 zt
2t (1 b21b12 ) 21
A0
et
u tin chng ta phn tch v phi (RHS: Right hand Side) ca phng trnh
a 21 a10
1 a11 a12
1 a22
A0
a
a
1 a 22 a20
A0
( I A1 ) A0 21 1 a 22
( I A1 ) 1 A0
12
1 a11 a12
I A1
I A1
(1 a11 )(1 a 22 ) a 21a12
a 21 1 a 22
a
1 (1 a 22 )a10 a 21 a20 y
Tnh dng yu cu l gi tr gc ca
I A1 L
gi nh l c iu ny. Chng ta vit tip thnh phn s 2 ca phng trnh (5) ra thnh
et
a
i 0 A1i et i i 0 11
I A1 L
a 21
Nhm 6 TCDN m 1
a12
a22
e1,t i
e
2, t i
Trang 10
22
e1,t i
e (8)
2,t i
Ai
1 zt
e2t
zt
e2t (1 b21b12 ) b21
(vi 1 b21b12 ), thay vo (8) cho ta phng trnh hm s y l:
b12 y ,t i y
yt y
1
Ai
i 0
z z i 0 1 b b b
1 z ,t i z
21
t
1221
(i )
11
(i )
21
(i )
12
(i )
22
y ,t i
z ,t i
X i 0 i t i (9)
dy t
dz t
12 (0) ,
22 (0)
d z ,t
d z ,t
dyt 1
dz
12 (1) v t 1 22 (1)
d z , t
d z , t
Cch dn gii th hai c th tham kho thm trong sch Econometrics Analysis, ca
William H.Greence page 586 n page 595, sau qu trnh tnh ton th tc gi dn lun ra m
hnh hm s y l:
Nhm 6 TCDN m 1
Trang 11
xt i
b12
y y
1
Ai
t i 0
1
1 b12b21 b21
zt z
(i )
y ,t i y
11
i 0 (i )
z ,t i z
21
(i )
12
(i )
22
y ,t i
z ,t i
X i 0 i t i
hay xt i X i0 i t i (10)
By gi chng ta nhn rng gi tr i (t 0 n ) ln.
+ Vi i = 1 th
xt 1 X 0 t 1 1 t 2 t 1 ...
Et xt 1 X 1 t 2 t 1 ...
proportion of var iance
due to own shock
20
Ngun http://en.wikipedia.org/wiki/Variance_decomposition
Nhm 6 TCDN m 1
Trang 12
, v
Trong ,
(vi
l ma trn tam gic yu trong phn tch ma trn tam gic ca Cholesky).
(vi
21
Nhm 6 TCDN m 1
Trang 13
(m hnh 5 bin) v
(m hnh 7 bin)
Th nht, sn lng, gi du m l cc bin c lp khng b nh hng bi chnh sch ca
quc gia, hay cc c sc xy ra trong ni b cc quc gia.
Th hai, do sn lng quc gia thay i nn n nh hng n cung tin t, cung tin
thay i dn n t gi hi oi thay i, lm cho gi c ni a ca hng ha thay i, tc
gi tr ng tin dng mua mt loi hng ha cng thay i.
Vi mc ch ca ma trn cholesky l bin i gi tr phn d trong m hnh VAR dng rt
gn (t) v cc bin nhiu cu trc (et) trong m hnh VAR cu trc trn.
Ta din t ma trn Cholesky theo tng phng trnh nh sau
+ M hnh 5 bin:
+ M hnh 7 bin:
, suy ra:
Y X
e i Yi Y
i
i
1
2 i
Nhm 6 TCDN m 1
Trang 14
Vy
e Y
2
i
i 1
1 2Xi
(3.6)
i 1
iu kin (3.6) t cc tr l:
(1)
(2)
e i2
n
n
i 1 2 Y X 2 e 0
i
1
2
i
i
1
i 1
i 1
e 2i
n
n
i 1 2 Y X X 2 e X 0
i
1
2 i
i
i
i
2
i 1
i 1
(3.7)
(3.8)
Y n X
Y X X X
i
(3.9)
2
i
(3.10)
(3.11)
Y X i X
i 1
(3.12)
i 1
x i X i X v y i Yi Y ta nhn c
n
y x
i
i 1
n
2
i
i 1
Tham kho Explanatory Notes Monthly Seasonal Adjustment of Statistical Time Series v t chc United States
Census Bureau v Seasonal Adjustment using the x12 procedure ca Tammy Jackon v Michael Leonard, SAS
Institute.
Nhm 6 TCDN m 1
Trang 15
24
Nhn t theo ma ca chui thi gian, St, c nh ngha nh phng sai vng nm
(intrayear) m c phn chia lin tc hay trong mt dng suy lun ra (evolving
fashion) t nm ny sang nm khc.
Nhn t chu k thay i (trend cycle), Ct, o lng phng sai (variation) nh khuynh
hng di (long-term trend), vng i doanh nghip (business cycles), hay nhng
nhn t vng i di hn khc
Nhn t ngy giao dch (trading-day), Dt, l phng sai c m ch phn tch theo
lch dng
Nhm 6 TCDN m 1
Trang 16
hay
hay
Nhm 6 TCDN m 1
Trang 17
2.3 Di d liu
M hnh 05 bin (05 variance VAR) 25
Trong
-
M hnh ny tc gi da trn m hnh ca Ito v Sato (2007) khi cc ng dng n so snh tc ng truyn dn ca
t gi hi oi ti cc nc ng v Chu M La Tinh, sau Ito v Sato (2008) ng dng k thut phn tch VAR
cho tc ng truyn dn ca t gi ti cc nc ng Nam
Nhm 6 TCDN m 1
Trang 18
Nhng mt khi nim c nhiu ngi s dng l lm pht l hin tng tin trong lu
thng vt qu nhu cu cn thit lm cho chng b mt gi, gi c ca hu ht cc li hng
ha tng ln ng lot
Vy th lm pht mc tiu l g?
Lm pht mc tiu l mt c ch iu hnh chnh sch tin t da trn nn tng s dng vic
d bo lm pht lm ch s mc tiu trung gian, trong cc ngn hng trung ng tnh
ton, d bo v cng b mt mc lm pht mc tiu (nh hng bng mt ch s hoc mt
khong bin ) cho nm k hoch. Sau c gng lo li lm pht thc v mc lm pht
mc tiu thng qua vic s dng cng c li sut hay nhng cng c tin t khc. Thng
thng ngn hng trung ng s dng cng c li sut iu chnh lm pht v li sut v
lm pht thng c mi quan h nghch bin. Mt mc tng hay gim v li sut s iu
chnh lm pht mc tiu.
Cn theo Frederic S. Mishkin 26 cho rng lm pht mc tiu l mt chin lc ca chnh sch
tin t bao gm 05 yu t chnh l:
(i) Cng b ra cng chng mc tiu lm pht nh lng trong trung hn;
(ii) Cam kt th ch nhm n nh gi c nh mt mc tiu ch yu ca chnh sch
tin t;
(iii) Chin lc thng tin bao gm nhiu bin s, khng ch c tng cung tin hay
t gi hi oi, c s dng cho vic thit lp cng c chnh sch tin t;
(iv)
Tng tnh minh bch ca chin lc chnh sch tin t thng qua vic thng
Nhm 6 TCDN m 1
Trang 19
28
Trch t ti liu Estimating the exchange rate pass through into inflation in a vector autoregressive framework ca
Nicoleta, (2007) trang 234
Nhm 6 TCDN m 1
Trang 20
29
30
Phn ng gi n30
Xem thm ph lc 03
Gi n = make up t l gia gi bn v chi ph sn xut bin
Nhm 6 TCDN m 1
Trang 21
b/ Nhn t v m
Mt s nghin cu ca Mann (1986) v Taylor (2002) nhn dng mt vi nhn t nh
hng n tc ng truyn dn ca t gi hi oi theo mc v m gm
-
m ca nn kinh t
S dai dng v bt n nh ca cc c sc t gi
Mi trng lm pht
31
Trch dn nghin cu Ti liu Exchange rate pass-through and its applications for inflation in Vietnam, Vo Van
Minh, 2009, v paper Exchange rate pass-through: Evidence based on vector autoregression with sign restrictions, An,
Lian (2006)
Nhm 6 TCDN m 1
Trang 22
Ph
) .Y (4)
ER.C xf
Trong , (
Ph
) i din cho p lc cnh tranh ti nc nc ch nh (home market) v
ER.C xf
Ph x
) .Y .C f (5)
ER.C fx
Ghi ch: x k hiu cho gi xut khu v m k hiu cho gi nhp khu
Nhm 6 TCDN m 1
Trang 23
Chnh v vy m 0 1; 0
phm e .e c xf .c xf . ph . y
<=> .e .c xf . ph e c xf . y phm
<=> .(e c xf ph ) e c xf . y phm
<=> .
<=> .
e c xf . y phm
e c xf ph
phm e c xf . y
ph e c xf
(8)
Nhm 6 TCDN m 1
Trang 24
Mt s st gim trong hiu ng truyn dn n gi nhp khu ngha l sau khi p dng
lm pht mc tiu cc cng ty bn l m hng ha nhp khu t nc ngoi hp th ln
hn bin ng ca t gi hi oi thng qua mt bin s nh hn trong gi bn
Nhm 6 TCDN m 1
Trang 25
Trong ,
DCPI: Lm pht gi tiu dng(%), DCPI*: Lm pht gi tiu dng ca nc
ngoi.
DEXC:T l tng t gi hoi i, DM: t l tng trng tin danh ngha.
LWAG: T l tng trng tin lng ti thiu, LPRO:s thay i nng sut lao
ng(GDP/ngi).
OG: Khong chnh lch sn lng so vi sn lng tim nng, DR: phn chnh lch li sut.
ecmM: dao ng ca cung tin so vi trng thi n nh di hn.
ecmL: dao ng ca lao ng so vi trng thi n nh di hn.
ecmE: lch ca cc c sc ngoi sinh so vi mc n nh di hn.
CRISIS: Bin gi nh nhn gi tr 1 trong giai on Qu3 nm 1997 ti Qu 4 nm 1998.
SEAS: Cc bin gi kim tra mc nh hng ca yu t ma v.
Nhm 6 TCDN m 1
Trang 26
2. Ti Vit Nam
Ti Vit nam
a/ M hnh a thc tr:
Trong :
: t l lm pht,
gM: t l tng trng cung tin danh ngha.
gY: t l tng trng sn lng.
: o lng lch gia t l mt gi tin ni a v li sut. e: lm pht k vng.
Ti Vit Nam c tc gi TS. V Tr Thnh (1997), Ph vin trng Vin Nghin cu
qun l kinh t , s dng m hnh tr a thc nghin cu v lm pht Vit Nam na u
thp k nm 1990. Tc gi kt lun , gM c ngha cao nn y l yu t dng d bo
lm pht, gY ch tc ng trong ngn hn
b/ M hnh hi quy theo bin logarit:
Nhm 6 TCDN m 1
Trang 27
Trong :
lnMt: logarit c s t nhin ca cung tin danh ngha.
lnYt: logarit c s t nhin ca sn lng trong nc.
lnNERt: logarit c s t nhin ca t gi hi oi.
t: sai s
Ti Vit Nam c tc gi TS. Dng Th Thanh Mai (2002), Trng H Kinh t Quc
dn, nh gi lm pht ca cc nc ang pht trin, ph thuc vo ba yu t: tng lng
cung tin, tng thu nhp, t gi. Vi chui d liu nghin cu t nm 1997-2000, kt qu l
khng c tn hiu bo trc cho lm pht
c/ M hnh t hi quy VAR nghin cu tc ng truyn dn
Tc phm Exchange rate pass-through and its implications for inflation in Vietnam xut
bn nm 2009, tc gi V Vn Minh, Vietnam Development Forum.
Vi Yt l vctor matrn ca 6 bin s (gi du Oil, NEER, GAP, IMP, CPI, M2), B i l ma
trn h s 6 dng v 6 ct (6x6), ui l sai s nhiu,
l hm s chn
Cc bin s l
-
Output Gap: (GAP) sai lch gia sn lng tim nng v sn lng thc t,
Nhm 6 TCDN m 1
Trang 28
IV. KT QU NGHIN CU
4.1 Cc kt qu nghin cu thc nghim:
Phn ny trnh by cc kt qu phn tch hm phn ng y. Cc chi tit ca cc d liu
cho c tnh thc nghim c trnh by ph lc. Trc khi tin hnh c
tnh VAR, nhm tc gi kim nh tnh dng ca cc bin. V gi du l mt bin khng
ph thuc vo yu t quc gia nn kim nh tnh dng ca bin ny c tin hnh bng
cch s dng kim nh nghim n v Augmented Dickey-Fuller. i vi cc
bin khc, nhm tc gi s dng kim nh nghim n v theo mu hnh ca Maddala v
Wu (1999). Cc kt qu kim nh cho thy rng gi du, ba loi ch s gi ni a, cung
tin v t gi hi oi danh ngha l khng dng theo chui thi gian, nhng dng sai phn
bc nht tt c cc quc gia . Chnh lch sn lng u ra c tm thy l c tnh dng
trong chui thi gian. Cc nghin cu trc y (v d nh Ito v
Sato, 2007, 2008, Mishkin v Schmidt-Hebbel nm 2007) ngh a vo m hnh VAR
bin chnh lch sn lng theo chui thi gian cng vi sai phn bc 1 ca cc bin khc .
Nhm tc gi cng tin hnh theo phng thc ny trong m hnh phn tch VAR ca h.
Nhm tc gi bt u bng cch tho lun v cc phn ng y vo ch s gi tiu dng trc
tng bin ng ca t gi hi oi trong m hnh VAR 5 bin cho c cc nc c p dng
lm pht mc tiu ln ko p dng lm pht mc tiu. H cn nghin cu v cc phn ng y
vo c 3 ch s gi CPI, PPI v IMP i vi cc bin ng ca t gi trong m hnh VAR 7bin cho cc nc mi ni p dng lm pht mc tiu.
4.1.1 Tc ng truyn dn ca t gi ln gi c ni a ti cc nc mi ni p dng
lm pht mc tiu: trc v sau khi p dng:
Trong phn ny, nhm tc gi tho lun v cc phn ng y vo gi c ni a trc
bin ng ca t gi hi oi bng cch s dng d liu ca 15 nc mi ni p dng lm
pht mc tiu. Kt qu ca cc phn ng y cho cc mu khc nhau c th hin trong
Hnh 1 v 2. Mi hnh u a ra s so snh trc v sau khi p dng lm pht mc
tiu. Trong nhng hnh ny, th ba cho thy s chnh lch gia hai phn ng trc (ly
phn ng trong th hai tr i phn ng trong u tin).
Nhm 6 TCDN m 1
Trang 29
hnh 1:
-
Nhm 6 TCDN m 1
Trang 30
Chnh v vy nhm tc gi a thm knh sn xut v phn phi vo phn tch, bng cch
l h s dng thm 02 bin na (tc c lng m hnh VAR 7 bin) l: bin ch s
gi sn xut (PPI: producer price index) v bin ch s gi nhp khu (IMP: import price
index). Vi vic a vo thm 2 bin ny, cc tc gi k vng gii thch c l thuyt ca
Taylor rng trong mt mi trng lm pht thp, cc cng ty k vng mt s sai lch ca
lm pht s nh v v vy h s t iu chnh gi bn ca mnh phn ng vi s bin ng
lm cho gi u vo nhp khu tng ln ca t gi hi oi.
Hnh s 2: m t phn ng ca gi trong cc nc p dng lm pht mc tiu trc bin
ng ca t gi hi oi (m hnh 7 bin s)
Nhm 6 TCDN m 1
Trang 31
hnh s 02:
-
Trang 32
Nhm 6 TCDN m 1
Trang 33
Nhm 6 TCDN m 1
Trang 34
mc tiu) sau khi p dng chnh sch lm pht mc tiu so snh vi cc nc khng p dng
lm pht mc tiu sau nm 1999. Hnh 05 v 06 th hin iu ny.
Nhm 6 TCDN m 1
Trang 35
Nhm 6 TCDN m 1
Trang 36
Nhm 6 TCDN m 1
Trang 37
Nhm 6 TCDN m 1
Trang 38
Bng th 2 ny ch ra rng:
-
Nhm 6 TCDN m 1
Trang 39
Mc ng gp ca bin ng t gi hi oi vo bin ng ca gi c ti cc nc p
dng lm pht mc tiu gim sau khi thc hin c ch ny.
V vy, vi phng php phn tch bin s ny minh chng cho vic gim st trong tc
ng truyn dn ca t gi hi oi ln gi c ti cc nc c p dng lm pht mc tiu.
4.2. Kt lun:
Trong bi nghin cu ny, nhm tc gi kim nh bng thc nghim v s nh
hng ca vic p dng chnh sch lm pht mc tiu i vi tc ng truyn dn ca t gi
hi oi n gi c cc nc mi ni. tin hnh nghin cu thc nghim ny h p
dng k thut phn tch VAR bng vic s dng d liu ti 27 nc mi ni (15 nc mi
ni c p dng lm pht mc tiu v 12 nc mi ni khng p dng lm pht mc tiu).
H thc hin cch tip cn trc v sau bng cch s dng hm phn ng y trong cc
mu nghin cu khc nhau trn tng nhm quc gia, tnh cht ca tng mu da vo vn
Nhm 6 TCDN m 1
Trang 40
p dng lm pht mc tiu chn (tc trc v sau khi thc hin chnh sch lm pht mc
tiu, hoc cc nc c p dng lm pht mc tiu hay khng)
Vic p dng chnh sch lm pht mc tiu iu chnh cc quyt nh v gi cc nc mi
ni theo cch ph hp vi quan im ng tin cy.
Ti cc nc p dng lm pht mc tiu: Vic p dng lm pht mc tiu gip gim tc ng
truyn dn ca t gi hi oi ln 03 loi ch s gi chnh m nhm tc gi xem xt l ch s
gi nhp khu (import prices), ch s gi tiu dng (customer prices) v ch s gi nh sn
xut (producer prices) t mc cao xung mc thp hn nhng vn cn sai lch ng k so
vi mc zero (0). Vi cc nuc khng p dng lm pht mc tiu: tc ng truyn dn ca t
gi hi oi n 03 loi ch s gi trn khng c sai lch ng k so vi mc 0 trc nm
1999, nhng sau nm 1999, tc ng ny tr nn ng k hn, gi tr sai lch nhiu hn so
vi mc zero (0). Ngoi ra, bng cch so snh cc nc c p dng lm pht mc tiu sau
khi thc hin chnh sch ny v cc nc khng p dng lm pht mc tiu sau nm 1999,
nhm tc gi cn ch ra rng tc ng truyn dn ca t gi hi oi ti cc nc c p dng
lm pht mc tiu sau khi p dng chnh sch ny v cc nc khng p dng lm pht mc
tiu sau nm 1999 th kh ging nhau .
Phn tch phng sai cng cho thy r nhng kt qu trn. Phn tch phng sai ch ra rng
s tc ng ca cc bin ng v t gi hi oi ln bin ng v gi c cc nc p dng
lm pht mc tiu l ng k, trong khi s tc ng ca cc bin ng v t gi hi oi
ln bin ng v gi c cc nc khng p dng lm pht mc tiu l khng ng k. Phn
tch phng sai cng cho thy tc ng ca cc bin ng trong t gi hi oi ln bin ng
trong gi c cc nc p dng lm pht mc tiu gim sau khi thc hin chnh sch ny.
Cui cng, vi nghin cu thc nghim ny, cc tc gi cho thy c nhng nc chu
tc ng truyn dn ca t gi hi oi cao c khuynh hng p dng lm pht mc tiu
thu c mc tn nhim hn cc nc c mc truyn dn thp hn.
Nhm 6 TCDN m 1
Trang 41
Nhm 6 TCDN m 1
Trang 42
34
Nhm 6 TCDN m 1
Trang 43
PH LC 1
PHNG PHP BNH PHNG NH NHT
PH LC 2
TNH DNG
10
PH LC 03
CC YU T VI M V V M
TC NG N TC NG TRUYN DN CA T GI HI OI
PH LC 04
KIM NH N V TRONG EVIEWS
PH LC 5
HI QUY GI TO V NG LIN KT
1. Hi quy gi to
2. ng lin kt
PH LC 6
D LIU CC NC C NGHIN CU
Cc nc c nghin cu
Cc nc mi ni p dng lm pht mc tiu
Brazil (1999:Q2), Chile (1991:Q1), Colombia (1999:Q4), Czech Repub-lic (1997:Q4), Hungary
(2001:Q2), Indonesia (2005:Q3), Israel (1991:Q4), Mexico (1998:Q4), Peru (1999:Q3), Philippines
(1999:Q3), Poland (1998:Q3), South Africa (2001:Q1), South Korea (1997:Q4), Thailand (2000:Q2),
Turkey (2006:Q1).
Cc nc mi ni khng p dng lm pht mc tiu
Argentina, Bulgaria, China, Estonia, India, Latvia, Lithuania, Malaysia, Singapore, Taiwan, Uruguay,
Venezuela
Cch chn d liu
Gi du th gii (world oil price): ly trung bnh 03 ch s gi ti 03 th trng Texas, U.K.Brent v
Dubai. Gi du th gii c iu chnh theo ma theo phng thc Census X12. D liu ly t Thng
k ti chnh ton (IFS) ca Qu IMF
Output gap: c to ra bng cch p dng b lc Hodrick-Prescott (HP)1 loi tr xu hng mnh
trong GDP thc iu chnh. Nu gi tr GDP ban u khng c iu chnh, th chui d liu cn
c iu chnh theo phng thc Census X12 Method. D liu hng qu c thu thp bng cch dng
chui d liu theo tng quc gia.
Cung tin (Money Supply): D liu c thu thp di dng chui gi tr. Mt s nc dng khi
nim tin c bn. Mt s th dng khi nim cung tin M1 2. Nu chui gi tr ban u khng c iu
chnh th s iu chnh theo phng thc Census X12. D liu c thu thp t ngn hng trung ng
ca tng quc gia hoc t chc IFS,
T gi hi oi (Exchange rate): D liu c thu thp di dng chui gi tr. T gi hi oi danh
ngha c quy i sang t gi vi ng dollar M.
Ch s gi tiu dng (CPI: consumer price index) : D liu c thu thp di dng chui gi tr. D
liu c iu chnh theo ma vi phng thc Census X12
Ch s gi nhp khu (IMP: import price index): D liu c thu thp di dng chui gi tr. D
liu c iu chnh theo ma vi phng thc Census X12.
Ch s gi nh sn xut (PPI: producer price index): D liu c thu thp di dng chui gi tr.
D liu c iu chnh theo ma vi phng thc Census X12.
B lc Hodrick-Prescott l mt cng c ton hc c dng trong kinh t v m, c bic trong l thuyt chu k kinh t. N
s dng cc thut ton bng phng ha gi tr theo thi gian. Hay ni khc i, n l k thut loi b dao ng ngn hn c
lin quan n cc chu k kinh doanh, do l xu hng lu di. Cc b lc c p dng u tin do kinh t Robert J.
Hodrick v gn y nhng ngi ot gii Nobel Edward C. Prescott.
2
M1: bng tng lng tin mt (M0) v tin m cc ngn hng thng mi gi ti ngn hng trung ng. M1 cn c gi l
ng tin mnh.
D liu:
Quc gia trong bi nghin cu
- Cc quc gia lm pht mc tiu v ngy ca lm pht mc tiu:
Stt Quc gia
Thi im
1
Brazil
1999:Q2
2
Chile
1991:Q1
3
Colombia
1999:Q4
4
Cng ho Czech
1997:Q4
5
Hungary
2001:Q2
6
Indonesia
2005:Q3
7
Israel
1991:Q4
8
Mexico
1998:Q4
9
Peru
1999:Q3
10
Philippines
1999:Q3
11
Phn Lan
1998:Q3
12
Nam M
2001:Q1
13
Hn Quc
1997:Q4
14
Thi Lan
2000:Q2
15
Th Nh K
2006:Q1
-
Ngun d liu
Argentina:
Brazil:
Bulgaria
Chile
China
Colombia
Czech Republic
Estonia
Hungary
India
Indonesia
Israel
Latvia
Lithuania
Malaysia
Mexico
Peru
Philippines
Poland
Singapore
South Africa
South Korea
Taiwan
Thailand
Turkey
Uruguay
Venezuela
: Tin c s,IFS.
: Tin c s iu chnh theochu k, IFS.
: Tin M1 (Banking Survey), IFS.
: Tin M1, IFS.
: Tin Supply, People Bank of China.
: Tin M1 (Banking Survey), IFS.
: Tin M1 (Banking Survey), IFS.
: Tin M1 (Banking Survey),(iu chnh theochu k), IFS.
: Monetary Base, IFS.
: Tin M1 (Banking Survey), IFS.
: Tin M1 (Banking Survey) (iu chnh theochu k), IFS.
: Tin M1 (iu chnh theochu k), IFS.
: Tin M1 (Banking Survey) (iu chnh theochu k), IFS.
: Tin M1 (Banking Survey) (iu chnh theochu k), IFS.
: Tin M1, (iu chnh theochu k), IFS.
: Tin M1 (Banking Survey) (iu chnh theochu k), IFS.
: Tin supply, IFS.
: Tin M1 (Banking Survey) (iu chnh theochu k), IFS.
: Tin M1, IMF, International Financial Statistics (IFS).
: Tin M1 (Banking Survey) (iu chnh theochu k), IFS.
: Tin M1 (Banking Survey) (iu chnh theochu k), IFS.
: Tin M1, IFS.
: Tin M1 (iu chnh theochu k), IFS.
3
Taiwan
Thailand
Turkey
Uruguay
Venezuela
T gi hi oi - Exchange rate:
D liu c la chn t Datastream. Thi gian bnh qun tu gi hi oi song phng vi ng la
M c s dung. i vi cc nc, ngoi tr i loan, d liu c ly t IFS ca IMF. i Loan ly
d liu t IFOWorld Economic Survey (WES).
Consumer Price Index:
D liu c la chn t Datastream. Tt c cc quc gia, ngoi tr Trung Quc, CPI (2000=100) c
ly t IFS ca IMF. Trung Quc, CPI hng thng ly t OECD v c s dng cu trc CPI theo
qu Tt c cc chui trn c iu chnh theochu k bng phng php Census X-12.
Import Price Index:
D liu c la chn t Datastream. Ch s gi nhp khu c nhn mnh trong ng ni t . Tt c
cc chui trn c iu chnh theochu k bng phng php Census X-12. Ngun d liu ca cc
quc gia ly theo cc ngun:
CHI TIT
: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000
= 100) ly t IFS nhn vi t gi.Ch s gi nhp khu l gi tr nhp khu n v theo
bng la M (2000 = 100) ly t IFS nhn vi t gi.
Brazil
: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t
IFS nhn vi t gi.
Bulgaria
: Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi
tng khi lng nhp khu (gi nm 1995). Gi tr v khi lng nhp khu ly t
National Statistics Institute (Bulgaria) and Eurostat .
Chile
: Ch s gi nhp khu (2003=100), NHTW Chile.
Colombia
: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t
IFS nhn vi t gi.
Czech Republic: Ch s gi nhp khu (2005=100), Van phng Thng k Cng ho Czech.
Estonia
: Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi
tng khi lng nhp khu (gi nm 1995). D liu c ly t Cc thng k Estonia
Hungary
: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t
IFS nhn vi t gi.
India
: Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi
tng khi lng nhp khu (gi nm 1990). D liu c ly t OECD.
Indonesia
: Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi
tng khi lng nhp khu (gi nm 2000). D liu c ly t OECD.
Israel
: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t
IFS nhn vi t gi.
Latvia
: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t
IFS nhn vi t gi.
Lithuania
: Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi
tng khi lng nhp khu (gi nm 2000). D liu c ly t Cc thng k Lithuania.
Malaysia
: Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi
tng khi lng nhp khu (gi nm 2000). D liu c ly t Cc thng k (Malaysia).
Argentina
: Ch s nhp khu theo qu c tnh ton bng ch s gi nhp khu hng thng
(1980=100) ly t Ngn hng Trung ung Mexic.
Peru
: Ch s nhp khu theo qu c tnh ton ch s gi nhp khu trung hng thng
(1994=100) t Ngn hng Trung ng Reserva (Peru).
Philippines
: Ch s nhp khu l gi tr nhp khu n v theo la M (2000=100) ly t IFS nhn
vi t gi .
Poland
: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t
IFS nhn vi t gi.
Singapore
: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t
IFS nhn vi t gi.
South Africa : Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t
IFS nhn vi t gi..
South Korea : Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t
IFS nhn vi t gi.
Taiwan
: Ch s gi nhp khu theo qu l gi tr trung bnh ca ch s gi nhp khu theo thng
(hng ho sn suaastt) (2001=100) ly t Directorate General of Budget, Accounting and
Statistics (DGBAS).
Thailand
:Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t
IFS nhn vi t gi.
Turkey
:Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t
IFS nhn vi t gi.
Venezuela
: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t
IFS nhn vi t gi.
Mexico
M1: bng tng lng tin mt (M0) v tin m cc ngn hng thng mi gi ti ngn hng
trung ng. M1 cn c gi l ng tin mnh.
Tnh thanh khon theo ngha rng: bng M3 cng vi cc tri phiu v cc khon u t tn
thc.
PH LC 7
DANH SCH MT S BI NGHIN CU TRC Y
STT NM
1995
TIU GC
Arellano, J. and O. Bover. 1995.Another Look at the
2006
2005
1997
2002
TIU DCH
11 (2): 97 116.
Are Rates of Inflation So Low After Large Devaluations? Burstein, A., M. Eichenbaum v S. Rebelo. 2002 trong nghin
NBER Working Paper 8748, National Bureau of Economic
Research.
2005
742-84.
2005
2008
10
2010
2006
2006
(2):392-407.
k 92 (2): 392-407.
639.
2001
12
2008
Say? Journal of Development Economics 85 (1-2): 312-18. Pht trin kinh t 85 (1-2): 312-18.
13
2003
n#243.
2008
15
2011
16
2007
n#07040.
. 2008.Exchange Rate Changes and Inflation in Thay i t gi v lm pht trong cuc khng hong kinh t
17
18
2008
2002
Rate Pass-Through Journal of Money, Banking and Credit Sato. 2008; Tp ch tin t, Ngn hng v Tn dng 40 (7): 140740 (7): 1407-38.
38.
Levin, A., C.-F. Lin, and C.-S. J. Chu. 2002. Unit root
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21
2006
2005
46 (2): 190-210.
210
1999
Unit Root Tests With Panel Data and A New Simple Test
Oxford Bulletin of Economics and Statistics 61 (0): 631-52.
McCarthy, J. 2000.Pass-Through of Exchange Rates and
23
2000
24
25
2007
2002
2004
2007
28
29
30
1997
2000
2008
(7): 1389-1408.
1389-1408.