Nghin Cu & Trao i

Kim chng bng m hnh ARDL

tc ng ca cc nhn t v m
n ch s chng khon Vit Nam
ThS. L HONG PHONG

Trng i hc Ti chnh - Marketing

ThS. NG TH BCH VN

Trng i hc Kinh t TP.HCM

c tiu ca nghin cu ny l kim tra tc ng ca cc nhn t kinh

t v m n th trng chng khon VN trong giai on 1/200112/2013. Bng cch tip cn phn phi tr t hi quy (ARDL:
Autoregressive Distributed Lag), nghin cu kim nh mi quan h di hn gia
cc nhn t v m vi ch s VN-Index theo phng php kim nh ng bao
(Bound test) lm c s tnh ton tc ng di hn v dng m hnh hiu chnh sai
s (ECM) theo cch tip cn ARDL xc nh tc ng ngn hn gia chng. T
cc pht hin nghin cu, bi vit xut mt vi gii php pht trin n nh
th trng chng khon VN trong thi gian ti.
T kha: Th trng chng khon, VN-Index, nhn t v m, m hnh
ARDL.

1. Gii thiu

Th trng chng khon

VN t khi hnh thnh v i vo
hot ng hn mt thp k qua
l knh thu ht vn hiu qu,
c nhng ng gp tch cc
vo s pht trin ca nn kinh
t. Tuy nhin, bn cnh nhng
thnh tu t c th th trng
chng khon VN cng ang phi
i mt vi nhng kh khn,
thch thc do s bin ng bt
thng ca th trng trong thi
gian gn y. S thng trm ca
th trng trong thi gian qua do
tc ng bi nhiu nhn t khc
nhau trong khng th loi tr
tc ng ca cc nhn t kinh t
v m.
Thng qua nghin cu thc
nghim bng m hnh ARDL

cch tip cn kh mi m
VN nghin cu ny ch ra
chiu hng mc nh hng
ca cc nhn t kinh t v m
n TTCK VN trong giai on
01/2001-12/2013.
2. C s l thuyt v khung
phn tch

Tc ng ca cc bin kinh t
v m i vi ch s chng khon
c nhiu nh nghin cu trn
th gii quan tm. Nhiu nghin
cu chng minh bng thc
nghim tc ng ca cc nhn t
v m nh: lm pht, cung tin,
t gi hi oi, li sut, gi du,
GDP, sn lng cng nghip, cc
ch s chng khon th trng khu
vc n TTCK nh: Merton
(1973); Nelson (1976); Jaffe &
Melker (1976); Ross (1976);

Fama & Schwert (1977); Chen,

Roll, & Ross (1986); Ferson &
Harvey (1994); Mukherjee &
Naka (1995); Mukhejee v Naka
(1995); Kwon, Shin & Bacon
(1997); Yin-Wong Cheung &
Kon S.Lai (1998); Gjerde v
Saettem (2000); Achsani v
Strohe (2003; Maysami v cc
cng s (2004); Christopher Gan
v cc cng s (2006); Humpe
& Macmillan (2007); Suliaman
D. Mohammad v cc cng s
(2009); Pal and Mittal (2011).
i vi th trng chng
khon mi ni v rt gn gi
vi VN l Malaysia, c nhiu
nghin cu nh: Ibrahim &
Yusoff (2001); Rahman v cng
s (2009); Mohamed & cng
s (2009). Gn y, Bekhet &

S 20 (30) - Thng 01-02/2015 PHT TRIN & HI NHP

61

Nghin Cu & Trao i

Mugableh (2012) nghin cu
bng m hnh ARDL trong giai
on 1977-2011, cho thy trong
di hn ch s gi sn sut (PPI),
lm pht (CPI), t gi (ER) v
cung tin (M3) c tc ng m
n TTCK Malaysia (SMI) trong
khi GDP c tc ng dng;
trong ngn hn th GDP, PPI
v ER c tc ng m n SMI
trong khi CPI v M3 c tc ng
dng n SMI. Tip ni nhng
nghin cu trc, Vejzagic v
Zarafat (2013) nghin cu nh
hng ca li sut, t gi, cung
tin v lm pht i vi TTCK
Malaysia bng m hnh VECM
cho thy lm pht v t gi c tc
ng m trong khi cung tin c
tc ng dng i vi TTCK
Malaysia.
Mt s nhn t v m tc ng
n ch s chng khon c
xem xt di y:
- Lm pht: Lm pht tng
lm tng chi ph s dng vn ca
doanh nghip do li sut tng,
ng thi chi ph u vo ca
doanh nghip cng tng, trong
khi cu v hng ha gim do gi
cao, dn n gim li nhun k
vng trong tng lai ca doanh
nghip, v iu ny s gy ra
bin ng gi c phiu. Lm pht
c th tc ng n tm l nh
u t v gi tr ca cc khon
u t trn TTCK. Nu lm pht
cao, ng tin b mt gi nhanh,
nh u t s chuyn hng sang
tch tr cc ti sn khng b mt
gi khc nh vng, hoc u t
vo tri phiu chnh ph hay gi
tit kim do li sut tng. Lc
ny TTCK tr nn km hp dn
hn so vi cc hnh thc u t
khc. Nh vy, lm pht tng s
nh hng theo chiu hng tiu
cc n TTCK.

62

- Li sut: Gia li sut v

gi chng khon c mi quan h
ngc chiu nhau v khi li sut
tng ng ngha vi li nhun
mong i ca nh u t tng.
Ngoi ra, li sut tng s thu ht
mt lng dng tin chy vo h
thng ngn hng hoc u t vo
tri phiu chnh ph v mc sinh
li tng, khin cho dng tin
vo TTCK thp v ngc li. Bn
cnh, khi li sut cho vay tng
ln s lm hn ch dng tin vo
th trng chng khon v chi ph
u t s tng v li nhun mong
i cng tng. Mt khc, li sut
tng cng nh hng n chi ph
s dng vn ca doanh nghip,
lm gim dng tin k vng thu
c trong tng lai ca doanh
nghip, s tc ng n gi chng
khon. Do , c th thy li sut
c tc ng ngc chiu n gi
chng khon.
- Cung tin: Cung tin (M2)
v TTCK c mi quan h cng
chiu nhau: Khi ni lng cung
tin kch thch tng trng
kinh t th li sut gim v t l
tng trng tn dng cao, chi ph
s dng vn ca doanh nghip
gim lm gia tng c hi u t
v tm kim li nhun tt hn.
Nh u t cng s dng c
vn nhiu hn vi chi ph r hn
(nu dng n by ti chnh) v
chi ph c hi s dng vn cho
u t chng khon gim xung.
Do , tng cung tin kch thch
TTCK tng trng, v ngc li
khi tht cht cung tin th TTCK
s st gim.
- T gi: Khi t gi tng s
to thun li cho doanh nghip
xut khu nhng gy ra bt li
cho doanh nghip nhp khu.
Nh vy, t gi tc ng khc
nhau n kt qu kinh doanh khi

PHT TRIN & HI NHP S 20 (30) - Thng 01-02/2015

doanh nghip c pht sinh dng

tin bng ngoi t. Bn cnh, t
gi cn nh hng n dng tin
u t ca khi ngoi. H s tch
cc mua c phiu khi ng ni t
b yu i, tuy nhin khi xu hng
ng ni t lin tc gim gi s
cn tr dng vn nc ngoi do
nhng ri ro do t gi mang li.
Do , nh hng ca t gi n
bin ng gi c phiu v TTCK
khng xc nh r chiu hng
c th m ty thuc vo c th
cc cng ty nim yt v c th
nn kinh t.
3. Phng php nghin cu

Bi nghin cu ny chn lc
6 nhn t thng gp trong cc
kt qu nghin cu ca th gii
xem xt c th cho trng hp
VN, bao gm: lm pht (CPI);
cung tin (M2); t gi (E); cc li
sut k hn 1 nm: li sut tri
phiu chnh ph (TB), li sut
tin gi (DR), li sut cho vay
(LR).
Mu quan st c thu thp
theo thng, t thng 01/2001 n
thng 12/2013 (156 quan st), t
ngun h thng c s d liu cc
ch tiu ti chnh ca Qu Tin t
Quc t (IFS-IMF). D liu ch
s VN-Index theo thng c
tnh l trung bnh ca ch s VNIndex ng ca cui mi ngy
giao dch trong thng, phn
nh xc thc v gim s sai lch
so vi vic ly ch s u thng
hoc cui thng, d liu ly t S
Giao dch Chng khon TP.HCM
(http://www.hsx.vn). Cc bin
c chuyn sang dng logarit
t nhin c lng, ngoi tr
bin CPI do c thi gian bin
ng m (-).
Nghin cu ny dng phng
php phn tch nh lng tip
cn m hnh phn phi tr t hi

Nghin Cu & Trao i

quy (ARDL: Autoregressive Distributed Lag)
c xut bi Pesaran, Shin & Smith (1996)
xc nh tc ng ca cc nhn t kinh t v

m n TTCK VN. M hnh ARDL (p0, p1, p2, p3,...,

pn) c dng:

p0

p1

p2

k 0

LVNI t i 0 LVNI t i j1 LM 2t j k 2 LEt k

i 1

j 0

p3

p4

p5

p6

l 0

m0

n0

q 0

l 3CPI t l m 4 LDRt m n 5 LTBt n q 6 LLRt q t .

(1)

khng c tnh h phng trnh, thay vo , n ch

c tnh mt phng trnh duy nht;
Th ba, cc k thut ng lin kt khc yu cu
cc bin hi quy c a vo lin kt c tr nh
nhau th trong cch tip cn ARDL, cc bin hi quy
c th dung np cc tr ti u khc nhau;
Th t, nu nh tc gi khng m bo v thuc
tnh v nghim n v hay tnh dng ca h thng
d liu, mc lin kt I(1) hoc I(0) th p dng th
tc ARDL l thch hp nht cho nghin cu thc
nghim.

Theo Pesaran & Pesaran (1997), th tc chy

m hnh phn tch nh lng ARDL c tin
hnh theo trnh t sau:
Th nht, kim nh ng bao (Bound test)
xc nh ng lin kt gia cc bin, tc l tm mi
quan h di hn gia cc bin.
Th hai, xc nh tr ca cc bin trong m
hnh ARDL bng ch tiu SBC hoc AIC.
Th ba, chy m hnh ARDL vi cc tr
c xc nh kim nh mi quan h di hn
gia cc bin trong m hnh.
Th t, tnh tc ng ngn hn ca cc bin bi
m hnh hiu chnh sai s (ECM) da trn cch
tip cn ARDL i vi ng lin kt.
Theo Pesaran & Pesaran (1997), phng php
ARDL c nhiu u im hn so vi cc phng
php ng lin kt khc:
Th nht, trong trng hp s lng mu nh,
m hnh ARDL l cch tip cn c ngha thng
k hn kim nh tnh ng lin kt, trong khi
k thut ng lin kt ca Johansen yu cu s
mu ln hn t c tin cy;
Th hai, tri vi cc phng php thng thng
tm mi quan h di hn, phng php ARDL

4. Kt qu v tho lun

(i) Kim nh nghim n v: Kt qu kim nh

nghim n v cho thy cc bin LVNI, LM2, LE,
LDR, LLR, LTB cng tch hp bc 1, ring bin
CPI tch hp bc 0. Theo Pesaran v Shin (1996),
Hamuda v cng s (2013), Mehrara v Musai
(2011), cc bin khng cng mc lin kt I(1) hoc
I(0) th p dng th tc ARDL l thch hp nht cho
nghin cu thc nghim.
(ii) Kim nh ng bao (bound test): th tc
kim nh ng bao ca phng php ARDL cho
bi nghin cu nh sau:

p0

p1

p2

i 1

j 0

k 0

LVNI t i 0 LVNI t i j1LM 2t j k 2 LEt k

p3

p4

p5

p6

l 0

m0

n 0

q 0

l 3 CPI t l m 4 LDRt m n 5 LTBt n q 6 LLRt q

(2)

0 LVNI t 1 1 LM 2t 1 2 LEt 1 3CPI t 1 4 LDRt 1 5 LTBt 1 6 LLRt 1 t .

S 20 (30) - Thng 01-02/2015 PHT TRIN & HI NHP

63

Nghin Cu & Trao i

Bng 1. Kt qu kim nh ng bao (Bound test)
S
bc

Gi tr
thng k F

F-statistic

3,847753

Gi tr gii hn ca cc ng bao theo Pesaran (1997), trang 478,

phn ph lc, trng hp Intercept and no trend
90%

95%

97,5%

99%

I(0)

I(1)

I(0)

I(1)

I(0)

I(1)

I(0)

I(1)

2,141

3,25

2,476

3,646

2,823

4,069

3,267

4,54

Ngun: Tc gi t tnh ton trn phn mm Microfit for Windows 4.1.

Bng 2. c lng m hnh ARDL

(Bin ph thuc LVNI)
Bin

H s

lch chun

Thng k t

Xc sut

LVNI(-1)

1,26350***

0,07704

16,4003

0,000

LVNI(-2)

-0,38357***

0,07298

-5,2560

0,000

LM2

0,11973***

0,02943

4,0678

0,000

LE

-0,61208***

0,18634

-3,2847

0,001

CPI

-0,00614***

0,00222

-2,7613

0,007

LDR

-0,04562

0,12648

-0,3607

0,719

LDR(-1)

0,02151

0,11004

0,1955

0,845

-0,10942***

0,03533

-3,0968

0,002

LLR

-0,29381**

0,12855

-2,2856

0,024

INPT

4,63120***

1,46670

3,1577

0,002

LTB

R-Squared

0,82201

DW-statistic

1,9315

R-Bar-Squared

0,63257

S.D. of Dependent Variable

0,50103

S.E. of Regression

0,08298

Equation Log-likelihood

129,9915

Mean of Dependent Variable

5,91390

Schwarz Bayesian Criterion

-1,80670

Residual Sum of Squares

0,99143

F-statistic

6,42710

Akaike Info. Criterion

-1,99150

Pob (F-statistic)

0,000

Ghi ch: ***, ** v * tng ng vi mc ngha 1%, 5% v 10%.

Ngun: Tc gi t tnh ton trn phn mm Microfit for Windows 4.1.

Bng 3. c lng cc h s di hn ca m hnh ARDL

(Bin ph thuc LVNI)
Bin

H s

lch chun

Thng k t

Xc sut

LM2

0,99683***

LE

-5,0961***

0,16535

6,0285

0,000

1,2468

-4,0873

0,000

CPI

-0,051107***

LDR

-0,20073

0,01893

-2,6996

0,008

0,74771

-0,26845

0,789

LTB
LLR

-0,91102***

0,28931

-3,1489

0,002

-2,4463**

0,99656

-2,4547

0,015

INPT

38,5594***

9,8509

3,9143

0,000

Ghi ch: ***, ** v * tng ng vi mc ngha 1%, 5% v 10%.

Ngun: Tc gi t tnh ton trn phn mm Microfit for Windows 4.1.

64

PHT TRIN & HI NHP S 20 (30) - Thng 01-02/2015

Cc gi thuyt kim nh:

- Gi thuyt H0: 0 = 1
= 2 = 3 = 4 = 5 = 6 = 0 :
khng tn ti mi quan h
ng lin kt gia cc bin;
- Gi thuyt H1: 0 0, 1
0, 2 0, 3 0, 4 0, 5
0, 6 0: tn ti mi quan h
ng lin kt gia cc bin.
Kt qu kim nh ng
bao (Bng 1) cho thy gi tr
thng k F ln hn gi tr gii
hn ng bao trn ng vi
mc ngha 5%. Nh vy
c th bc b gi thuyt H0,
chp nhn gi thuyt H1: tn
ti mi quan h ng lin kt
gia cc bin, hay ni cch
khc l tn ti mi quan h
di hn gia cc bin trong
m hnh.
(iii) La chn tr ca
m hnh ARDL: da vo cc
tiu ch AIC v SBC, Bng 2
th hin tr ti u ca m
hnh ARDL l (2, 0, 0, 0, 1,
0, 0).
(iv) c lng cc h s
di hn ca m hnh ARDL:
Bng 3 trnh by kt qu c
lng cc h s di hn ca
m hnh ARDL (2, 0, 0, 0, 1,
0, 0).
(v) c lng cc h s
ngn hn ca m hnh ARDL:
Bng 4 trnh by kt qu c
lng cc h s ngn hn t
m hnh hiu chnh sai s
(ECM) da trn cch tip cn
ARDL vi cc tr c
la chn.
(vi) Cc kim nh chn
on: Cc kim nh c
thng qua nh: kim nh
Wald, kim nh dng sai
m hnh thng qua kim
nh RESET ca Ramsey,
kim nh Larange multiplier

Nghin Cu & Trao i

kim tra tnh t tng quan,
kim nh phng sai sai s thay
i (Bng 5):
(vii) Kim nh phn d: tng
tch ly ca phn d (CUSUM:
Cumulative Sum of Recursive
Residuals) v tng tch ly hiu
chnh ca phn d (CUSUMSQ:
Cumulative Sum of Square of
Recursive Residuals) u nm
trong di tiu chun ng vi mc
ngha 5% (Hnh 1) nn c th
kt lun phn d ca m hnh c
tnh n nh v v th m hnh l
n nh.
Nh vy, kt qu nghin cu
cho thy, c trong ngn hn v di
hn, cung tin c tc ng cng
chiu ln ch s gi chng khon,
cn cc nhn t nh t gi, lm
pht, li sut tri phiu chnh ph
v li sut cho vay c tc ng
ngc chiu ln ch s gi chng
khon. Kt qu ny ph hp vi
c s l thuyt v khung phn
tch trn v ph hp vi thc
tin VN.

Bng 4. Kt qu tnh ton tc ng ngn hn bng m hnh ECM

(Bin ph thuc LVNI)

Bin

H s

lch chun

Thng k t

Xc sut

LVNI1

0,38357***

0,072978

5,2560

0,000

LM2

0,11973***

0,029433

4,0678

0,000

LE

-0,61208***

0,18634

-3,2847

0,001

CPI

-0,0061382***

0,0022229

-2,7613

0,007

LDR

-0,045619

0,12648

-0,3607

0,719

LTB

-0,10942***

0,035333

-3,0968

0,002

LLR

-0,29381 **

0,12855

-2,2856

0,024

INPT

4,6312***

1,4667

3,1577

0,002

-0,12011***

0,024637

-4,8751

0,000

ECM(-1)

LVNI = LVNI-LVNI(-1)
LVNI1 = LVNI(-1)-LVNI(-2)
LM2 = LM2-LM2(-1)
LE = LE-LE(-1)
CPI = CPI-CPI(-1)

LDR = LDR-LDR(-1)
LTB = LTB-LTB(-1)
LLR = LLR-LLR(-1)
INPT = INPT-INPT(-1)

ECM = LVNI - 0,99683*LM2 + 5,0961*LE + 0,051107*CPI + 0,20073*LDR +

0,91102*LTB - 2,4463*LLR - 38,5594*INPT.
Ghi ch: ***, ** v * tng ng vi mc ngha 1%, 5% v 10%.
Ngun: Tc gi t tnh ton trn phn mm Microfit for Windows 4.1.

Bng 5. Cc kim nh chn on.

STT
1

Kim nh

Thng k

Wald

Dng hm

T tng quan
Phng sai
sai s thay i

Gi tr thng k

Xc sut

CHSQ( 9)

5434,6

0,000

5. Kt lun v gi chnh sch

CHSQ( 1)

0,62953

0,428

F(1, 143)

0,58696

0,445

CHSQ( 1)

0,86247

0,353

Kt qu phn tch hi quy

cho thy cc nhn t kinh t v
m thc s c tc ng n th
trng chng khon. Do ,
chnh sch v nh hng pht
trin nn kinh t phi bn vng,

F(1, 143)

0,80537

0,371

CHSQ( 1)

0,01624

0,899

F(1, 152)

0,01603

0,899

Ngun: Tc gi t tnh ton trn phn

Hnh 1. Kim nh tng tch ly v tng tch ly hiu chnh ca phn d

Plot of Cumulative Sum of Squares

of Recursive Residuals

Plot of Cumulative Sum of Recursive

Residuals
40
30
20
10
0
-10
-20
-30
-40
3

1.5
1.0
0.5
0.0

18

33

48

63

78

93

108

123

138

153

The straight lines represent critical bounds at 5% significance level

156

-0.5
3

18

33

48

63

78

93

108

123

138

153

156

The straight lines represent critical bounds at 5% significance level

Ngun: Tc gi t chy trn phn mm Microfit for Windows 4.1.

S 20 (30) - Thng 01-02/2015 PHT TRIN & HI NHP

65

Nghin Cu & Trao i

n nh di hn v cn phi quan
tm n s pht trin bn vng
cho th trng chng khon.
Lm pht l nguyn nhn gy
ra bt n kinh t v m v nh
hng n nim tin ca nh u
t. V vy, Chnh ph cn kim
ch v kim sot lm pht trong
gii hn hp l, kin nh vi
mc tiu lm pht. NHNN cn
c trao cho vai tr c lp hn
trong iu hnh chnh sch tin
t vi nhim v trng tm l thc
hin chnh sch lm pht mc
tiu.
Chnh sch tin t ti VN cn
phi ph hp mc tiu c th theo
tng giai on pht trin ca t
nc. Chnh sch tin t cn c
l trnh c th, NHNN cn trnh
nhng ng thi bt ng trong
iu hnh chnh sch cung tin,
trnh gy ra nhng c sc tm
l mnh cho nh u t, cng
hng vi tm l by n vn
d tn ti trn TTCK VN s nh
hng tiu cc n TTCK. V
vy, NHNN nn sm thc hin
chnh sch v chin lc tng
trng cung tin hp l da trn
d bo hm cu tin ph hp vi

66

nhu cu ca nn kinh t.
Chnh sch iu hnh li sut
ca NHNN phi hng n mt
mi trng li sut n nh, iu
hnh mt cch linh hot, ch ng
mang tnh nh hng th trng
v hng n chnh sch li sut
t do theo c ch tha thun da
trn cung cu ca th trng. Xu
hng iu chnh li sut c
NHNN iu chnh theo l trnh
trnh nhng c sc do thay
i t ngt lm cho cc ch th
trong nn kinh t khng kp phn
ng v gy ra kt qu xu trong
hot ng sn xut kinh doanh
ca doanh nghip cng tc ng
tiu cc n TTCK.
Chnh sch iu hnh t gi
cn linh hot theo quan h cung
cu trn th trng, trong mi
quan h ph hp vi cc bin
s v m khc ca nn kinh t,
p ng c s cn bng tng
th ca nn kinh t va m bo
cc cn i v m, kim sot lm
pht, kch thch xut khu, kim
sot nhp khu, khuyn khch u
t nc ngoi vo VN, nng cao
qu d tr ngoi t ca NHNN
c th can thip khi cn thit.

PHT TRIN & HI NHP S 20 (30) - Thng 01-02/2015

Ngoi ra, NHNN cng nn cho

thc hin thanh ton quc t
bng cc ngoi t khc, thay th
ng USD gim p lc cung
tin ln ngoi t ny. ng thi,
pht trin cc nhm cng c phi
sinh nh hp ng k hn, quyn
chn vn cung cu ngoi t
khng gy tr ngi cho hot ng
sn xut kinh doanh v theo ,
c phiu cc cng ty ny tng
trng n nh hn tc ng tch
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