B GIO DC V O TO TRNG I HC KINH T TP.

HCM

CNG TRNH D THI GII THNG NGHIN CU KHOA HC SINH VIN NH KINH T TR - NM 2010

TN CNG TRNH:

D TR NGOI HI BAO NHIU L HP L CHO NN KINH T VIT NAM

THUC NHM NGNH KHOA HC KINH T

PHN M U
1. L DO NGHIN CU

Hu qu nng n t khng hong ti chnh buc Chnh ph cc quc gia phi c nhng bin php can thip kp thi v cc chng trnh kch cu l u tin hng u trong chui can thip ny. i u l Hoa K vi gi cu tr 700 t USD cho ngnh ti chnh v 800 t USD cho th trng tn dng; Anh kch thch kinh t bng 85 t USD cho h thng ti chnh ca mnh; v d l nn kinh t tng trng nhanh nht th gii, Trung Quc cng tung ra gi kch thch 586 t USD. Vit Nam cng khng l ngoi l vi gi kch cu tr gi 6 t USD (trong 1 t USD t d tr quc gia), mt trong nm bin php khn cp ngn chn suy thoi kinh t v duy tr tng trng. Tuy nhin, cc gi kch cu a n nguy c thm ht ngn sch v cc khon n khng l. V vy, cn c h thng ti chnh vng mnh tng cng kh nng phng ng ca nn kinh t, trong DTNH quc gia ng vai tr khng nh. Ngoi ra, cc cuc khng hong trong nhng nm va qua, c bit l cuc khng hong tin t ng cng li bi hc v tm quan trng ca DTNH quc gia. Duy tr lng d tr mc cao hay thp gip mt quc gia c th ng vng trc nhng nh hng t cc c sc kinh t bn ngoi lun l cu hi, v ch ny c cc nh hoch nh chnh sch quan tm. Rt nhiu quc gia nghin cu v vn ny v c gng xc nh mc d tr hp l cho nn kinh t t nc pht huy li ch ca n, ng thi lm gim i c hi ph khi phi nm gi nhng ti sn ny. Cn Vit Nam mc d tr ngoi hi bao nhiu l hp l cho nn kinh t, hin cha c ti no tr li c cu hi trn, chnh iu l thc y chng ti thc hin ti ny. 2. XC NH VN NGHIN CU

Bi nghin cu ny c thc hin nhm a ra mt ci nhn tng quan v d tr ngoi hi, nh lng nhng nhn t nh hng n d tr ngoi hi cng nh tc ng ca n n cc nhn t v m v cc khon n ca Vit Nam tm trung v di hn. Da trn nhng phn tch trn cng nhng k thut tnh ton, chng ti xy dng m hnh xc nh mc d tr ti u cho Vit nam v cui cng xut mt s khuyn ngh gip Vit Nam hnh thnh nn tng vng chc khi bc vo hi nhp trn din rng c th vt qua nhng bin ng ln nh cuc khng hong ti chnh va qua. 3. CU HI V MC CH NGHIN CU D tr ngoi hi l g v tm quan trng ca n nh th no? Mi tng quan gia chi ph v li ch ca vic nm gi chng? Thc trng v xu hng ca d tr ngoi hi trn th gii v Vit Nam trong thi gian qua c nhng g ni bt?

S bin i ca d tr ngoi hi c nhng tc ng no n cc bin v m trong nn kinh t? Cc m hnh xc nh mc d tr ngoi hi hp l trn th gii hin ny ang c s dng? V m hnh no ph hp vi iu kin ca Vit Nam? Nhng lu g v chnh sch qun l ngun d tr ny? Trong qu trnh i tm li gii cho nhng cu hi nghin cu va nu gii quyt vn t ra, ti ny nhm vo cc i tng nghin cu c th sau y: Phn tch cc nghin cu ca ca cc hc gi trn th gii v d tr ngoi hi cng nh tm quan trng v li ch ca n mang li. Thc hin hi quy cc phng trnh c lng nh gic tc ng ca d tr ngoi hi ti cc bin v m trong nn kinh t. Tnh ton mc d tr ngoi hi hp l cho nn kinh t Vit Nam thng qua hai m hnh: mt theo tiu chun W-K v mt theo m hnh Buffer Stock. Xem xt s ph hp ca m hnh v a ra cc khuyn ngh v m hnh nng cao hiu qu, ng thi xut nhng khuyn ngh v mt chnh sch gip cho th trng ti chnh Vit Nam bn vng. 4. PHNG PHP NGHIN CU

Bi nghin cu s dng ch yu phng php nh tnh, nh lng, thng k, so snh v tng hp nhm lm r vn nghin cu. Phng php nghin cu s liu th cp c s dng y lm sng t thc trng d tr ngoi hi trn th gii v Vit Nam. i vi nghin cu nh lng, chng ti s dng phng php c lng theo bnh phng nh nht, ng thi kim nh thm cc phn m rng lm tng tnh hiu qu ca m hnh. Ngun s liu c ly t cc ngun IFS, WB, ADB, EIUs v Tng cc thng k nn rt ng tin cy. 5. NI DUNG NGHIN CU

Chng 1: Cc nghin cu v d tr ngoi hi trn th gii bao gm tm quan trng, li ch cng nh chi ph. Phn tch mi tng quan ca d tr ngoi hi vi cn cn thanh ton v b ba bt kh thi trong thi k khng hong. Chng 2: Phn tch thc trng d tr ngoi hi trn th gii v Vit Nam. Sau l phn tch nh lng tc ng ca d tr ngoi hi ti cc bin v m trong nn kinh t. V cui cng l m hnh xc nh mc d tr hp l cho Vit nam. Chng 3: Da trn m hnh trong chng 2, ti tin hnh xc nh mc hp l cho giai on 2010 2013 v qua a ra nhng xut kin ngh.

6.

NGHA NGHIN CU CNG TRNH

V l lun, ti ny gip cho chng ta c ci nhn su hn v d tr ngoi hi thng qua cc l thuyt v nghin cu trn th gii v d tr ngoi hi. Bn cnh , da vo m hnh Buffer Stock c p dng kh thnh cng ti nhiu nc, ti ny cn ng gp c cc bin ph hp cho nn kinh t Vit Nam khi a vo p dng m hnh. V mt thc tin, ti ny c ngha ht sc quan trng, c bit l trong bi cnh kinh t ton cu ni chung v Vit Nam ni ring va tri qua cuc khng hong ti chnh ton cu. ti cung cp mt ci nhn tng i ton din v thc trng ca d tr ngoi hi trn th gii v Vit Nam, trn c s phn tch nh lng tc ng ca d tr ngoi hi ti cc bin v m trong nn kinh t, ti xc nh c tm quan trng ca d tr ngoi hi trong bi cnh ton cu ha ang din ra ngy cng su rng nh hin nay. T , ti s dng m hnh nh lng theo tiu chun W-K v Buffer Stock xc nh mc d tr ngoi hi hp l cho Vit Nam giai on 2010 2013, v nu ra cc gi v mt chnh sch trong vic qun l ngun d tr ny. 7. HNG PHT TRIN TI

Do gii hn v mt thi gian v s trang vit ca ti nghin cu nn ti cha phn tch su mt s vn kinh nghim ca cc nc trn th gii cng nh cha c nhng phn tch thc s y v tng tc gia cc bin trong m hnh. Nu c iu kin pht trin, ti hy vng ti s c pht trin theo hng i su hn, c th hn nhm a ra nhng gii php mang tnh ton din cao hn cho qu trnh hi nhp v t do ha kinh t nc ta.

MC LC
DANH MC T VIT TT DANH MC CC HNH DANH MC CC BNG DANH MC PH LC CHNG 1 CC TRNG PHI NGHIN CU D TR NGOI HI TRN TH GII 1.1 TNG QUAN V DTNH ....................................................................................... 1 1.1.1 DTNH l g ? ....................................................................................................... 1 1.1.2 Tm quan trng DTNH trong pht trin kinh t .................................................. 1 1.1.3 Cc ch tiu nh gi DTNH. .............................................................................. 3 1.1.4 Chi ph ca vic nm gi ..................................................................................... 4 1.2 QUAN H GIA CN CN THANH TON V DTNH. ................................... 6 1.2.1 Ti khon vng lai ............................................................................................... 6 1.2.2 Ti khon vn ...................................................................................................... 7 1.2.3 Cn cn thanh ton .............................................................................................. 8 1.3 QUAN H GIA D TR NGOI HI V B BA BT KH THI TRONG THI K KHNG HONG ............................................................................................. 9

CHNG 2 XC NH MC D TR NGOI HI HP HP L 2.1 XU HNG D TR NGOI HI TRONG THI GIAN QUA ....................... 13 2.1.1.1 Xu hng ca cc ng tin d tr ............................................................ 14 2.1.1.2 Xu hng di chuyn ca DTNH t cc nc pht trin sang nhng nc mi ni .................................................................................................................... 14 2.1.2 Xu hng ca cc nc mi ni v cc nc ang pht trin .......................... 16 2.1.2.1 S gia tng DTNH thay i tu theo tng khu vc ................................... 16 2.1.2.2 Nguyn nhn ca s gia tng DTNH trong cc nc mi ni ................... 17 2.1.3 Thc trng DTNH ti Vit Nam thi gian qua .................................................. 21 2.1.1 Xu hng chung ca th gii ............................................................................ 13

2.1.3.1 Mt s ch s quan trng ............................................................................ 22 2.1.3.2 nh gi cc nhn t ng gp vo D tr ngoi hi................................ 25 2.1.3.3 nh gi chi ph khi nm gi d tr ngoi hi .......................................... 27 2.1.3.4 Tnh hnh s dng ngoi t ca NHTW ..................................................... 28 2.2 TC NG CA D TR NGOI HI LN CC BIN V M .................... 30 2.2.1 Tc ng ln n nc ngoi .............................................................................. 30 2.2.2 Tc ng ln cc bin v m .............................................................................. 32 2.2.3 Tc ng ln lm pht ....................................................................................... 33 2.3 M HNH XC NH MC D TR NGOI HI HP L ........................... 35 2.3.1.1 C s l lun ca m hnh.......................................................................... 35 2.3.1.2 Tnh ton cho Vit Nam ............................................................................. 37 2.3.2 Tnh ton DTNH theo m hnh Buffer Stock ................................................... 38 2.3.2.1 C s l lun ca m hnh.......................................................................... 38 2.3.2.2 p dng tnh ton ti Vit Nam ................................................................. 40 2.3.1 Theo tiu chun W - K ...................................................................................... 35

CHNG 3 D TR NGOI HI CHO GIAI ON 2010 2013 V NHNG XUT CHNH SCH 3.1 TRIN VNG KINH T ...................................................................................... 46 3.1.1.1 Kinh t M: ................................................................................................ 46 3.1.1.2 Khu vc s dng ng Euro ...................................................................... 47 3.1.1.3 Chu (tr Nht Bn) ............................................................................... 47 3.1.1.4 Nht Bn..................................................................................................... 48 3.1.1.5 Trung Quc ................................................................................................ 48 3.1.2 Trin vng kinh t Vit Nam ............................................................................. 48 3.1.2.1 Trin vng GDP ......................................................................................... 49 3.1.2.2 Trin vng lm pht ................................................................................... 50 3.1.2.3 Trin vng xut khu ................................................................................. 50 3.1.2.4 Trin vng FDI........................................................................................... 50 3.2 D BO KHON D TR NGOI HI CHO GIAI ON 2010 2013 ....... 51 3.2.1 Theo tiu chun W-K ........................................................................................ 51 3.1.1 Trin vng kinh t th gii ................................................................................ 46

3.2.1.1 D bo tng n Vit Nam .......................................................................... 51 3.2.1.2 D bo n ngn hn Vit Nam................................................................... 52 3.2.1.3 D bo M2 ................................................................................................. 52 3.2.1.4 Tnh ton khong d tr hp l.................................................................. 52 3.2.2 Theo m hnh Buffer Stock ............................................................................... 53 3.2.2.1 D bo li sut ca Vit Nam. ................................................................... 54 3.2.2.2 D bo li sut M. .................................................................................... 55 3.2.2.3 Tnh ton khong mc DTNH hp l ........................................................ 55 3.3 NHNG XUT KIN NGH ..................................................................... 56 3.3.1 nh gi kt qu ca m hnh xc nh mc d tr.......................................... 56 3.3.2 Khc phc nhc im ca m hnh ................................................................. 57 3.3.3 Nhng khuyn ngh ........................................................................................... 57 3.3.3.1 V mt tng qut - Khuyn ngh v chnh sch v m ............................... 57 3.3.3.2 Nhng kin ngh c th .............................................................................. 59 THAY LI KT TI LIU THAM KHO

DANH MC T VIT TT
ADB BS BIS BMI CPI DNNN PT DTNH FDI FPI GDP GNI IMF NHTW OLS TKV TKVL TTCK WB WEO Ngn hng pht trin Chu Bt ng sn Ngn hng thanh ton quc t Bussiness Monitor International Lm pht Doanh nghip Nh nc (Cc nc) ang pht trin D tr ngoi hi Vn u t trc tip nc ngoi Vn u t gin tip nc ngoi Tng sn phm quc ni Tng thu nhp quc dn Qu tin t Quc t Ngn hng trung ng Hi quy theo bnh phng nh nht Ti khon vn Ti khon vng lai Th trng chng khon Ngn hng th gii Bo co trin vng kinh t th gii

DANH MC CC HNH
Hnh 1.1 Hnh 1.2 Hnh 2.1 Hnh 2.2 Hnh 2.3 Hnh 2.4 Hnh 2.5 Hnh 2.6 Hnh 2.7 Hnh 2.8 Hnh 2.9 Hnh 2.10 Hnh 2.11 Hnh 2.12 Hnh 2.13 Hnh 2.14 Hnh 2.15 Hnh 2.16 Hnh 2.17 Hnh 2.18 Hnh 2.19 Hnh 3.1 Hnh 3.2 Hnh 3.3 Mi quan h gia ti khon vng lai v d tr ngoi hi Mi quan h gia cc thnh phn cn cn thanh ton v d tr ngoi hi Xu hng d tr ngoi hi th gii qua cc nm Thay i c cu d tr ngoi hi trn th gii Xu hng di chuyn d tr ngoi hi Xu hng d tr ngoi hi cc nc ang pht trin Xu hng bin ng TKVL T trng TKVL/DTNH FDI vo cc nc ang pht trin Vay n cc nc PT Thc trng vay n cc nc mi ni v ang pht trin Xu hng d tr ngoi hi Vit Nam trong thi gian va qua Biu th hin DTNH/N ngn hn Xu hng ca M2 D tr ngoi hi th hin theo thng nhp khu Thc trng cn cn thng mi v ti khon vng lai Tnh hnh thu ht FDI v FP Chi ph c hi ca vic nm gi ngoi hi D tr ngoi hi, n v k hn thanh ton D tr ngoi hi v cc bin v m D tr ngoi hi v lm pht GDP d bo ca Vit Nam D bo lm pht Mc d tr ngoi hi hp l cho Vit Nam giai on 2010 - 2013

DANH MC CC BNG
Bng 2.1 Bng 2.2 Bng 2.3 Bng 2.4 Bng 2.5 Bng 2.6 Bng 2.7 Bng 2.8 Bng 3.1 Bng 3.2 Bng 3.3 Bng 3.4 Bng 3.5 Bng 3.6 Bng 3.7 Bng 3.8 Bng 3.9 Bng 3.10 D tr ngoi hi mt s nc nm 2009 Kt qu c lng tc ng ca d tr ngoi hi Mi tng quan gia d tr ngoi hi v lm pht Tnh ton theo tiu chun W-K S liu cho m hnh Buffer Stock Kim nh n v cc bin m hnh Buffer Stock Kt qu c lng theo m hnh Buffer Stock Kt qu kim nh tha bin trong m hnh hi quy Trin vng kinh t th gii 2010 - 2011 Tng n trn GDP Kt qu d bo tng n D bo n ngn hn D bo M2 Kt qu d bo DTNH theo tiu chun W-K D bo cc bin cho m hnh Buffer Stock D bo li sut Cc bin tnh ton cho m hnh Buffer Stock Kt qu d bo D tr ngoi hi 2009 -2013

DANH MC PH LC
Ph lc 1 Ph lc 2 Ph lc 3 Ph lc 4 Ph lc 5 Ph lc 6 Ph lc 7 Ph lc 8 Ph lc 9 Gi tr cc ng tin d tr trn th gii Cc ch s lin quan n DTNH tnh trn ton th gii Cc ch s lin quan n DTNH ti cc nc mi ni S liu kinh t v m Vit Nam S liu theo tiu chun W-K S liu m hnh Buffer Stock Tin trnh Weiner Kim nh n v Kim nh tha bin trong m hnh

CHNG 1 CC TRNG PHI NGHIN CU D TR NGOI HI TRN TH GII

1.1

Tng quan v DTNH

1.1.1 DTNH l g ?

D tr ngoi hi, hay cn gi l d tr ngoi t, l lng ngoi t m NHTW hoc c quan chu trch nhim v tin t ca mt quc gia nm gi. y l mt loi ti sn ca Nh nc c ct gi di dng ngoi t (thng l cc ngoi t mnh nh : USD, EURO, YEN, v.v) nhm mc ch thanh ton quc t hay h tr gi tr ng tin quc gia. Cc hnh thc ngoi hi c th c d tr di cc hnh thc sau : (i) Tin mt ; (ii) S d ca ti khon tin gi bng ngoi t nc ngoi ; (iii) Hi phiu, tri phiu hoc cc giy t ghi n khc ca Chnh ph nc ngoi, ngn hng nc ngoi, cc t chc ti chnh tin t quc t; (iv) Vng ; (v) Cc loi ngoi hi khc. 1.1.2 Tm quan trng DTNH trong pht trin kinh t

Gi vai tr ngy cng quan trng trong vic pht trin kinh t, hu ht cc quc gia u duy tr v qun l DTNH nhm phc v cc mc tiu c bn: Thc hin chnh sch tin t v t gi. Duy tr tnh thanh khon ca th trng ngoi hi hn ch tc ng tiu cc khi khng hong ti chnh xy ra, n nh t gi, t gp phn thc y hot ng xut nhp khu, m bo cho tnh cn i ca cn cn thanh ton. Duy tr lng tin v kh nng m bo thanh ton ngha v n nc ngoi ca nn kinh t, kh nng h tr gi tr ca ng ni t, th hin kh nng m bo ti chnh ca quc gia, gp phn thu ht FDI v FPI, gip xy dng c s h tng kinh t, pht trin kinh t. D tr cho cc trng hp khn cp v thm ha mang tnh quc gia. im c bit i vi cc nc ang pht trin: Cn lng DTNH ln nh tm m gim sc1. cc nc mi ni, ban u, DTNH ch n thun l m bo khi nguy c v tc ng ca khng hong, trong bi cnh ngy cng nhiu ng tin neo vo ng USD. Bi hc t khng hong Ti chnh 1997 thc tnh cc nc ang pht trin, buc h xy dng DTNH v hiu ho, chn trc tn cng t cc nh u c v c th gii quyt tt hn nhng c sc v m do dng vn o chiu t ngt. Xie Taifeng, trong tc phm Mc DTNH cao: Li nhiu hn hi cng c cho nim tin ny ca cc nc:
1

Mr. Christian Noyer, Foreign Reseves Accumulation: Some systemic Implications, October 1st, 2007

2 Nu Thi Lan d tr ngoi t, khng hong 1997 khng ti t v lan rng ra nhiu nc nh vy. Nu Hn Quc c mt kho DTNH ln, h s khng b y vo tnh th huy ng vn trong dn c vt qua hon cnh kh khn. Hng Kng c th tn ti trong nm 1997 v h nm gi lng ln ngoi t.2 Vic t bo him cho mnh bng DTNH cng gip cc quc gia gim mc ph thuc vo cc cu tr t cng ng quc t nh IMF hay WB, v n khng ch to ra s ph thuc vo cc t chc ny, m cn a n nhng h ly v chnh tr, v th quc gia..., v i khi nhng liu thuc ca IMF cn lm bnh tnh tr nn trm trng hn. Thm ch nhng nc khng b nh hng trc tip t khng hong, th DTNH cng ng mt vai tr quan trng, phng trng hp dng vn b rt ra t ngt do khng hong nim tin i vi cc nc ang pht trin. DTNH l mt ch tiu quan trng nh gi sc mnh kinh t v v th trn th trng ti chnh quc t. Mt vi chuyn gia cho rng, lng DTNH ca cc nc ang pht trin hin qu ln so vi nhu cu ca h, dn n lng ph, gia tng chi ph c hi ca vic nm gi tin thay v em u t pht trin kinh t trong nc. Tuy nhin, trong trng hp ny DTNH khng ch l phng tin pht trin kinh t m cn nng cao v th chnh tr. Trung Quc t nc c DTNH chim 2/3 GDP3- l minh chng cho vic DTNH cao c th lm tng v th chnh tr ca quc gia. Trong mt bo co v tng trng d tr Trung Quc, Robert Pringle ch ra rng, chnh s nng ng ca nn kinh t, cng DTNH khng l gip cho quan im, ting ni ca Trung Quc trn th trng quc t c lng nghe v tn trng nhiu hn so vi trc y. ng cng cho rng, DTNH ca Trung Quc khng ch gim sc khi c khng hong, m cn nhn c s quan tm v tn trng ca th gii . Mt cuc kho st ca BIS (Bank for International Settlements) cc nc ang pht trin, 16 NHTW cc nc c kho st u tin rng DTNH c mi tng quan cng chiu vi xp hng tn nhim. Nhiu NHTW bt k quc gia theo ui c ch t gi linh hot hay c nh u c quan im rng mc d tr cao cho h nim tin v tn nhim cao trn th trng ngoi hi. D tr ln hm kh nng tr n cao v gim i ri ro b tn cng u c trn ng ni t. Cc NHTW cng cho bit, t chc xp hng tn nhim xem mc n nh ca DTNH nh mt ch s th hin sc mnh ca nn kinh t. Vi nhng mc tiu trn, cng tc qun l DTNH thng c giao cho NHTW l c quan hoch nh v thc thi chnh sch tin t m quc gia ang thc hin. NHTW s a ra cc bin php nhm duy tr mc DTNH va bo v gi tr ng ni t, hn ch s bin ng qu mc ca t gi hi oi, p ng nhu cu ngoi t ca nn kinh t. Cng tc
2 3

The Foreign Exchange Reserves Buildup Business as usual? http://www.sbv.gov.vn/vn/home/tinnghiencuu.jsp?tin=720

3 ny c bit quan trng hn i vi cc nn kinh t ang pht trin bt u thc hin m ca, t do ha cc giao dch vn quc t. Hi nhp kinh t ton cu i i vi chnh sch t do ha, tng bc ni lng giao dch vn. Nhng hot ng ny, tuy thc y u t trong nc, nng cao mc tng trng kinh t, ci thin i sng ngi dn nhng cng tim n ri ro ti chnh. Thc t, nhiu nc t do ha TKV qu nhanh phi i mt vi khng hong ti chnh nng n khi c hin tng o chiu dng vn. NHTW ti cc nc t do ha TKV thng phi can thip bng cch mua ngoi t tng d tr; ng thi, thc hin cc nghip v ca th trng m ht bt lng tin a vo lu thng duy tr kh nng cnh tranh ca cc mt hng xut khu v kim ch nguy c lm pht khi vn vo vi khi lng qu ln. Song song vi qu trnh , NHTW cng phi lun trong tnh trng sn sng bn ngoi t ra can thip khi c s rt vn t t pha cc nh u t n nh th trng ngoi hi. lm c c hai iu ny, NHTW cc nc phi d tr mt lng ngoi t khng nh ngoi mc p ng cc nhu cu nhp khu theo thng l quc t. 1.1.3 Cc ch tiu nh gi DTNH.

L cng c quan trng ngn chn khng hong nhng DTNH vn cn tn ti mt vi hn ch trong vic phng nga hn loi ti chnh, nht l khi nm gi lng d tr qu ln c th s dn n chi ph ln. Rt kh xc nh mc DTNH hp l, nn cc nh kinh t hc a ra ba tiu ch c bn xc nh mc d tr tm n cho cc hot ng kinh t trong v ngoi nc ca tng quc gia: T l gia DTNH v n ngn hn nc ngoi: y l ch tiu chnh v ph bin nht nh gi mc tng xng ca cc ti sn DTNH. Ch tiu ny (cng c bit n nh nguyn tc Greenspan-Guidotti) phn nh kh nng i ph ca mt quc gia khi c hin tng tn cng ngoi t hoc rt tin t ra nc ngoi. Tiu biu, mt quc gia c xem l thn trng v khn ngoan nu quc gia nm gi lng d tr tin t tr cho cc khon n nc ngoi trong vng mt nm (Rodrik v Velasco, 1999 v Garcia Soto, 2004). T l gia DTNH v gi tr tun nhp khu trong nm tip theo: quy m DTNH c tnh bng s tun nhp khu, n cho thy mc h tr thanh ton quc t ca DTNH. V theo nh gi ca IMF, DTNH c quy m tng ng 12 n 14 tun ( tng ng 3 n 4 thng) nhp khu th quc gia s c coi l DTNH. T l gia DTNH v mc cung tin rng: cho thy kh nng can thip t gi ca NHTW. Nu t l ny gn vi 0%, cung tin rng vt qu mc DTNH. Trong ch t gi c nh, mc gia tng trong tng tin lin qua n DTNH cng cao, th kh nng i ph vi cc c sc cu tin cng phi cao. Vi tiu ch ny, t l t 10% n 20% c xem l hp l.

4 1.1.4 Chi ph ca vic nm gi

Tc tng trng mc d tr ca nhng quc gia ang gi k lc ln nht trn th gii ang tng ln ng k t nhng mu hnh trc t qu trnh tch ly, v gn nh l tt c nhng trng hp u vt qu nhng mc tiu chun cho s d tr thch hp. C phi l c mt gii hn c th t c t qu trnh tch ly d tr, hay c phi nhiu hn th lun lun tt hn khng? Li nhun bin t ca s tch ly d tr nhiu hn th chc chn b st gim ti mt vi im. Hn na, kinh t hc c bn nhc nh chng ta v nhu cu kt hp li nhun bin t vi chi ph bin t. D tr l mt cng c bo him t , vi nhng chi ph t nhiu ngun khc nhau v thng l kh lng ha. Chi ph v hiu ha: s v hiu ha lm trung ha nh hng lm pht tin t ca qu trnh tch ly d tr bng cch b p kt hp mc tng trong cung tin vi s hot ng ca th trng tin t ni a, tiu biu bo him n quc gia. hai chi ph ca s v hiu ha ny, th nht l chi ph ti kha trc tip i vi quyn tin t v th hai l chi ph h thng gin tip ca vic ngn nga s iu chnh ti khon vng lai, v thng chi ph trc tip c quan tm v xem xt nhiu nht. Chi ph ti kha i din s khc bit gia nhng g ngn hng trung ng kim c trn d tr quc t v nhng g n tr cho khon n quc gia m c pht hnh v hiu ha d tr ny. i vi mt vi nn kinh t vi li sut ni a thp, chi ph ti kha thm ch c th l m. Ngun d liu qu t trn nhng phn nm gi ca d tr quc t hoc quy m y v thnh phn kt cu ca s v hiu ha lm cho chi ph ti kha tr nn kh khn o lng ph hp cho mu hnh y 4. Tuy nhin, bng chng thn k d bo rng s v hiu ha ln tng din ra ng nhiu nm trc y. Bng cch kim ch tc ng tin t ca s can thip ngoi hi, s v hiu ha cho php mt ngn hng trung ng tc ng ln t gi hi oi thc. Phng php ngn nga iu chnh t gi hi oi thc t di ln, to ra s kh thi thng qua s v hiu ha, c th gy hi thng qua vic bp mo du hiu gi. iu c th dn n vic u t qu mc trn khu vc thng mi ti mc chi ph ca phi thng mi. K vng s iu chnh cui cng c th thu ht cc dng vn u c v do cc bong bng ti sn, mc d nhng dng vn ny cng hng li sut li sut ni a thp hn v v vy c th thp hn chi ph ti kha trc tip. khng c cc dng vn ny, li sut s c kh nng tng, c kh nng ln p khu vc u t t nhn. Cng vi nhiu nhn t quan trng khc, vic ngn
4

S v hiu ha i khi c tnh xp x trong mt khong thi gian ngn thng qua s khc bit gia nhng thay i trong ti sn nc ngoi rng v ti sn ni a rng, khi s v hiu ha tp trung vo vic gi cho cung tin khng i v vic tnh ton c s tin ng nht, cho chng ta c s tin = NFA + NDA. Thm ch, i vi vic thiu s can thip ngoi hi, c s tin s khng gi nguyn khng i trong mt nn kinh t ang tng trng nhanh vi mt khu vc ti chnh ang pht trin v chnh sch tin t tch cc. Tng trng cung tin trn tng trng t nhin ca cu tin dn n qu nhiu s nhiu tp trong vic nhn dng s v hiu ha quy m tng ng. Ngay c khi t l v hiu ha l c bit trc, tnh m h tt yu trong s khc bit v li sut gia d tr v cc cng c v hiu ha s nh hng n cc c lng mt cch mnh m.

5 chn t gi hi oi thc tng gn y gp phn dn n mt s mt cn bng trong cn cn ti khon vng lai ton cu, mt trong nhng quan tm ch yu ca IMF i vi kinh t th gii (IMF 2006). Chi ph c hi: cc ngun ti nguyn s dng cho vic mua d tr ngoi hi c th c s dng bng nhiu cch khc nhau. Mt chnh ph c th tr trc khon n nc ngoi ngn hn ca quc gia chnh ph , khi chi ph li sut ca mt khon n nc ngoi ngn hn d rt kh o lng c kh nng vt qu khon thu nhp trn mt khon d tr tng ng. Vic tr trc n nc ngoi ngn hn ca quc gia v vy c mt tc ng l gim tnh d tn thng ca vic nm gi d tr, khi tun theo nguyn tc Greenspan Guidotti, vi mt mc chi ph rng thp hn. Mt chnh ph cng c th chi tiu ngun d tr ny cho cc d n u t, vi mt s p buc m d tr c th khng chuyn i v tin t trong nc c nu cc nh chc trch mong mun ngn nga mt mt s nh hng ln t gi hi oi. V d, d tr c th c s dng mua cc cng c hay cc ngun cung ng y t nc ngoi. Hu ht cc nc d tr cao c t l vn/lao ng thp hn cc nc cng nghip m tri phiu d tr s c gi tr. Thm vo , ngun thu nhp t khu vc u t cng c th c ngha quan trng cao hn cc khon thu nhp t vic kinh doanh trn ngun d tr vi iu kin l chng c phn phi mt cch hiu qu. Nhiu nh chc trch tin t gn y ang qun l ngun d tr ca h mt cch tch cc hn ci thin thu nhp ca h. Mt cch gii quyt hiu qu hn c th dn n t b s tch ly d tr, cho php khu vc t nhn xc nh s phn phi thu nhp ngoi hi mt cch tt nht. Thng qua vic t c d tr, ngn hng trung ng v c bn, ang phn phi t l thu nhp quc dn sang hnh thc tit kim c bit. Nhiu phng php khc nhau ca vic ti a ha nhng ngun thu nhp b t b ny c xut, t vic chn li sut th trng hay tnh thanh khon n vic tm ngun gc thu nhp t mt hm sn xut quc gia c gi nh. Ri ro bng cn i k ton ca ngn hng trung ng: d tr ngoi hi, ch ging nh bt k ti sn ngoi t khc, c th mt gi tr trong thi gian ngn khi t gi hi oi tng. Trong nhiu trng hp m ti sn nc ngoi t mt phn ln trong bng cn i k ton ca ngn hng trung ng, th ch s phi i mt vi ri ro tn tht rt ln. d nhin, mt ngn hng trung ng c th tnh ton cho nhng khon thit hi ny trong nhiu nm, ph thuc vo nt c trng trong k hn thanh ton ca cc ti sn nc ngoi v tc ca s tng gi. Nhng ma h c xy dng c bit v gi nh mt t l 6% - thu nhp rng trn ti sn d tr phi ri ro trong khu vc ni a u t c s h tng ni a, tr trc n nc ngoi ngn hn hay danh mc a dng ha. Hn na, vi iu kin li sut bin v dng tin cn li m, n c th kh thi cho cc ngn hng trung ng trong vic qun l dng

6 vn m trong mt thi k xem xt. Tuy nhin, ngng vic cp vn khng c th gy nguy hi cho tin cy v kh nng ca ngn hng trung ng i vi mc tiu n nh gi c, trung gian vay mn nc ngoi ca chnh ph, thc hin vai tr ngn hng cho vay cui cng, hay duy tr mt h thng thanh ton ni a. iu ny i din mt ri ro c th ca ngn hng trung ng vi s k vng chi ph tng lai cao, nh li sut ln t vic nm gi n. Vic bm vn v bo him l thng xuyn t b ti chnh quc gia lm pht sinh chi ph ti kha n chnh ph v c th gy nh hng khng mong mun ln tnh c lp ca ngn hng trung ng i vi chnh ph. Thm ch, nu ngn hng trung ng ti cp vn t li nhun gi li, nhng khon li nhun i din cho doanh thu. Cui cng, chi ph ny nh hng n ti khon ti kha. Cc chi ph khc: qu trnh tch ly d tr c th dn n mt cm gic sai lm v s an ton, ph hy nhng ci cch cn thit.trong khi d tr c th em li mt s bo h i vi cc cuc khng hong nc ngoi, ni cch khc, cc chnh sch km l nguyn nhn ca s bp mo khng mong mun. V d, thm ht ti kha ln, c th chn ln khu vc u t t nhn hay to ra cc mi nguy v n. V tnh d tn thng ny, nu c cho php tng qu ln, c th lm mt i tnh bo v ca d tr v gy bt ng cho mt nc m trc y c xem l ang c bo v t d tr. 1.2

Quan h gia cn cn thanh ton v DTNH.

Trong mu dch quc t, mt quc gia s xut khu v kim c ngoi hi thng qua vic h bn hng ha v dch v sang nc ngoi. Khi cu ca mt quc gia dn n nhp khu nhiu hn xut khu, nhng ngoi t t xut khu khng b p cho nhp khu s dn n thm ht TKVL. Thng thng, TKV dng b p cho s thm ht ny, nhng khi khng b tr n s dn n mt s st gim trong cn cn tin mt v ngoi t, dn n st gim trong DTNH. Tng t, DTNH s tng nu xut khu nhiu hn nhp khu. Tm li : Ti khon vng lai + Ti khon vn = DTNH Cc giao dch bn trong cn cn thanh ton c phn loi thnh 2 loi chnh: giao dch trn TKVL v giao dch trn TKV. 1.2.1 Ti khon vng lai

Giao dch trn TKVL gm chnh lch xut nhp khu, chi tr tin li v li tc c phn cho cc nh u t nc ngoi v cc khon chuyn giao n phng nh vin tr. Mi quan h tng quan gia cn cn TKVL v DTNH c m t trong s sau:

Hnh 1.1: Mi quan h gia ti khon vng lai v d tr ngoi hi

Ngun :Tc gi tng hp Trong , A. Nh xut khu ca mt nc bn hng ha (hoc dch v) cho i tc nc ngoi v nhn v ngoi t. B. Nh xut khu i n NHTW i ngoi t v ni t, v vy lm tng lng ni t trong nc. C. Trong giao dch xut nhp khu, c quan i din Chnh ph y c th l cc c quan thu. Cc c quan ny nh thu trn hot ng xut nhp khu vi t l thu ni chung l x%, thu v x% ni t tnh trn cc giao dch ngoi t, iu ny gip gim lng tin t lu hnh trong nc. D. Lng x% ni t ny s c chuyn v cho NHTW. E. Gip gim bt lng tin t lu hnh trong nc nhm cc mc tiu c bn ca Nh nc, nh kim ch lm pht.. NHTW lc ny bn tri phiu trn th trng m m in hnh y l th trng tri phiu Chnh ph nhm thu tin v. Lc ny, trn bng bo co ca NHTW s thy mt lng d tr c tch ly hng nm. 1.2.2 Ti khon vn

Giao dch trn TKV gm nhng khon u t nc ngoi ngn v di hn. C th gm: cc khon u t trc tip nc ngoi FDI, khon u t ca cc t chc u t nc

8 ngoi vo trong nc QFII quota, khon u t ca cc t chc u t trong nc ra nc ngoi QDII quota v cc khon vay mn nc ngoi, cc dng vn u c. Qu trnh dch chuyn dng vn trn TKV c minh ha trong s : S dch chuyn dng vn t nc ngoi vo ni a ca mt quc gia trn TKV cng chu s qun l t Chnh ph tng t nh ti khon vng lai. Ch khi c s chp nhn t pha Chnh ph, cc dng vn ny mi c php vo ni a, thng qua cc d n hp tc kinh doanh gia khu vc cng l cc doanh nghip Nh nc v khu vc t l cc cng ty t nhn m cc t chc u t nc ngoi thnh lp. Cc d n ny thng thng l nhng d n nh BOT, BT, BTO; gp phn xy dng cc c s h tng, pht trin kinh t t nc. Khi cc hp ng, d n c k kt, qu trnh chuyn tin vo ni a mt quc gia s thng qua h thng ngn hng ca quc gia . Bn cnh vic gia tng hot ng u t cho t nc, vi lng vn vo, ngn hng trung ng cng gi li mt phn d tr ca t nc cho nhng mc ch bnh n kinh t. Khi cc dng vn nc ngoi vo s khin cho mt lng ln ni t c quy i v lu hnh trong nn kinh t, iu ny khin nguy c gy p lc lm pht rt cao, lm cho gi c trong khu vc th trng ti chnh d thay i. T , buc lng ngn hng trung ng phi c s iu tit t ngun d tr ca mnh bnh n gi. 1.2.3 Cn cn thanh ton

Trong cn cn thanh ton, TKVL v TKV cng c mi quan h b sung cho nhau. Gi tr rng gia TKVL v TKV cng s nh hng n DTNH ca quc gia, v s thm ht hay thng d trn ti khon ny s c b p cho ti khon kia. Thm ht trong TKVL khng nht thit l mt ch bo m, min l s thm ht ny c dng tng kh nng sn xut v iu ny gip tng kh nng m rng nn kinh t v gi tr xut khu trong tng lai. Tng t, mt s thng d trong TKVL cng khng nht thit a n s phn thnh kinh t. Nc Nga nhng nm 90 ca th k XX l mt v d in hnh. Hot ng xut khu hng ha v qun s mang li cho h ngun ngoi t ln, nhng o chiu dng vn xy ra v dn n thm ht trn TKV. Trung Quc hin nay c mt s thng d ln trn c TKVL v TKV nn DTNH ca h tng ln theo tng thng. Ngoi ra, thay i t gi trn th trng ti chnh cng dn n s thay i trn DTNH quc gia. C th nh sau: Trong h thng t gi hi oi c nh5, thng d (thm ht) trong cn cn thanh ton s lm tng (gim) lng DTNH ca NHTW. Thng d trong cn cn thanh ton hm cung ngoi t trong th trng ngoi hi tng ln v c xu hng lm gim t gi hi oi.
5

T gi nim yt tnh theo phng php trc tip

9 trnh hin tng ny, NHTW mua ngoi t (bn ni t), kt qu l DTNH (v cung tin) tng. Trong h thng t gi hi oi th ni hon ton, cn cn thanh ton t ng cn bng. Nu c thm ht (thng d) trong cn cn thanh ton, hm cu (cung) ngoi t tng nn t gi hi oi s tng (gim) gi cn bng trong cn cn thanh ton. Tuy nhin, y ch l h thng t gi v mt l thuyt. Thc t, hu ht cc quc gia theo ui ch t gi th ni c qun l. Do vy, thay i trong cn cn thnh ton cng tc ng n lng ngoi hi m NHTW nm gi. Mi quan h gia cc thnh phn ca cn cn thanh ton v DTNH c th c tm li theo s sau: Hnh 1.2: Mi quan h gia cc thnh phn cn cn thanh ton v d tr ngoi hi

Ngun: Tc gi tng hp 1.3

Quan h gia DTNH v b ba bt kh thi trong thi khng hong

Mt ng gp c bn ca m hnh Mundell Fleming l b ba bt kh thi, hoc b ba chnh sch khng th ng thi, ch ra rng mt t nc ch c th thc hin ng thi bt c hai mc tiu no nhng khng thc hin c mt lc ba mc tiu: chnh sch tin t c lp, ch t gi hi oi c nh v t do ha ti chnh. B ba chnh sch khng th ng thi c gi l b ba bt kh thi c minh chng nh trong hnh pha di. Mi cnh ca mt tam gic i din cho chnh sch tin t c lp, ch t gi hoi oi c nh v t do ha ti chnh m t mong mun mc tiu tim nng, cha bao gi c th t c ng thi c ba cnh ca mt tam gic. nh cao nht th hin cho nhng th trng vn ng ca lin kt vi chnh sch t do ha tin t v ch t gi hi

10 oi c nh, nhng khng t do ha ti chnh, y l la chn hon ho ca hu ht cc nc ang pht trin vo nhng nm cui ca thp nin 806. Th trng vn ng ca Chnh sch tin t c lp T gi th ni T do ha ti chnh Trong sut 20 nm qua, hu ht cc quc gia ang pht trin chn tng cng t do ha ti chnh. B ba bt kh thi ng rng mt quc gia chn xu hng ny th phi t b ch t gi hi oi c nh nu mun duy tr mt mc chnh sch tin t c lp hoc t b chnh sch tin t c lp nu n mun duy tr ch t gi hi oi c nh. S tht l nhiu nc ang pht trin chn ch t gi hi oi hn hp v d: th ni c qun l c bo m an ton bng vic gia tng qu d tr ngoi hi (gi tt l DTNH). Mc d t gi hi oi linh hot hn, t s DTNH/GDP vn tng ng k, c bit l sau khng hong ng . Thc t, vic duy tr s gia tng t s DTNH/GDP xy ra cc nc mi ni. Nhng thay i ln sut nhng nm gn y rt kinh ngc7. Ton cu ha th trng ti chnh l iu hin nhin trong xu th hi nhp ti chnh ngy cng tng ca tt c cc nc. Trong khi cu trc ban u ca b ba bt kh thi t cp n vai tr ca d tr, th cc xu hng gn y cho thy rng qu d tr c th lin quan cht ch n vic thay i m hnh ca b ba bt kh thi cho cc nc ang pht trin. Cc nghin cu trc y tp trung vo vai tr ca d tr ngoi hi nh l mt cng c quan trng cho vic qun l ch t gi c iu chnh hay ch t gi th ni c qun l8. Mc d c ch nhng m hnh d tr b gii hn kh nng gii thch cho s m rng gn y trong qu d tr ngoi hi - t gi hi oi linh hot hn trong nhng thp k gn gim bt s tch ly d tr, tri ngc vi cc xu hng c trnh by pha trn. Cc ti liu gn y tp trung vo cc tc dng ph bt li ca s hi nhp ngy cng su v ti chnh ca cc nc ang pht trin s gia tng dng vn ngn hn khng n nh (c gi l "tin nng"), ty thuc vo s dng li v o chiu t ngt thng xuyn ca dng vn (xem Calvo, 1998). Bng chng thc nghim cho thy rng d tr ngoi hi c th lm gim kh nng dng li t ngt v chiu su ca s st gim sn lng u ra
6

T gi hi oi c nh

Lin minh tin t

Xem Obstfeld, Shambaugh, v Taylor (2005) tho lun v tham kho su hn vic gii quyt b ba bt kh thi. 7 iu ny s c lm r trong chng 2 8 Theo , ci gi phi tr cho cn bng d tr ti u trong iu chnh kinh t v m pht sinh khi khng d tr vi cc chi ph c hi khi d tr (Frenkel v Jovanovic, 1981).

11 khi s ngng li t ngt ny xy ra9. Aizenman v Lee (2007) kt ni s gia tng trong vic s dng d tr vi s hi nhp ti chnh ngy cng su ca nc ang pht trin v tm thy bng chng cho thy qu d tr ngoi hi c s dng nh l mt phng tin t bo him chng li s o chiu t ngt. Theo cch phn tch thc nghim tng qut ca vic thay i lng d tr ngoi hi ang nm gi ca hn 100 nn kinh t trong giai on 1975-2004, Cheung v Ito (2007) tm thy rng trong khi m ca thng mi l yu t duy nht c ngha trong hu ht cc thng s k thut v mu c xem xt di y th kh nng gii thch ca n li gim dn theo thi gian. Ngc li, kh nng gii thch ca cc bin ti chnh li c tng ln theo thi gian. Tm quan trng ngy cng tng ca hi nhp ti chnh nh l mt yu t quyt nh cho qu d tr ngoi hi m ch s lin kt gia s thay i trong cch sp xp ca b ba bt kh thi v mc ca d tr ngoi hi. Thc t, Obstfeld, et al. (2008) tm thy khi lng cc khon n ti chnh ni a c kh nng c chuyn i thnh ngoi t (M2), s m ca v ti chnh, kh nng tip cn th trng ngoi t thng qua cc khon n, v chnh sch t gi hi oi l tt c nhng d on quan trng ca d tr ngoi hi.

Do chng ti tm tt nhng xu hng ny dng mt s hnh thoi, chng ti thm vo b ba bt kh thi yu t thc o ca qu d tr ngoi hi (DTNH/GDP) ngoi 3 yu t - chnh sch tin t c lp, t gi hi oi n nh v hi nhp ti chnh. Chng ta c th thy rng nhng li ch, chi ph, vi tr ca d tr ngoi hi th hin tm quan trng kh ln trong nn kinh t v trong mi tng quan mt thit vi cc thnh phn khc nhau, c bit l sau khi tri qua cuc khng hong ti chnh nm 2008. Do , c th c mt hiu bit su sc v d tr ngoi hi v vn dng vo khi qun l v m Vit
9

Xem cc bi vit ca Ben-Bassat v Gottlieb (1992), Rodrik v Velasco (1999), v Aizenman v Marion

(2004) cho thy d tr quc t nh l s n nh trong sn lng u ra v tiu th.

12 Nam mt cch linh hot v hiu qu nht, trong phn k tip chng ti s tin hnh nh gi thc trng d tr ngoi hi v kim nh tc ng ca n ti cc bin v m trong nn kinh t, ng thi xy dng c m hnh xc nh mc d tr ngoi hi hp l cho Vit Nam da trn quan im cn bng chi ph v li ch. T , a ra mc d tr ngoi hi thch hp cho giai on sp ti 2010 -2013.

13

CHNG 2 XC NH MC D TR NGOI HI HP HP L
2.1

Xu hng d tr ngoi hi thi gian qua

2.1.1 Xu hng chung ca th gii

DTNH c xu hng tng lin tc t nm 1995 v bt u tng mnh t nm 2000 cho n nay. DTNH ti cc nc chu mi ni tng t 600 t USD nm 2003 n hn 3000 t USD nm 2009 v ti sn d tr ca cc nc xut khu du bng n trong hai nm 2005, 2006 vi gi tr gia tng hn 200 t USD mi nm10. Hnh 2.1: Xu hng d tr ngoi hi th gii qua cc nm

Ngun: S liu tng hp t IMF Xu hng ca DTNH chng minh s d on sai lm ca nhiu chuyn gia. K t sau nm 1975, nhiu nc bt u theo ui c ch t gi th ni, DTNH c k vng s gim, v cc quc gia s cung cu th trng quyt nh t gi. Tuy nhin, theo thng k ca IMF t nm 1975 n 2001, DTNH chnh thc ca cc nc tng hn 10 ln, trung bnh 10.2% . Nhng nm m DTNH cc nc khng tng l do khng hong h thng, dn n s st gim mnh trong gi c hng ho, k c vng v ngoi t, t dn n nhng thay i trong gi tr ti sn. D tr quc t trong mt thp k qua cn bn l mt cng c gii quyt nhng c sc trong th trng ti chnh. Rt ra bi hc t vic Thi Lan v Indonesia phi ph gi ng tin do khng DTNH chng li s tn cng ca cc qu u c v vic tho vn ca cc nh u t nc ngoi trong khng hong chu 1997, nn DTNH c xu hng tng mnh t nm 2000.

10

Mr. Christian Noyer, Foreign Reseves Accumulation: Some systemic Implications, October 1st, 2007

14 2.1.1.1 Xu hng ca cc ng tin d tr

Trc khi ng tin chung Euro c gii thiu vo nm 1999, th nhng ng tin i biu ca Chu u c t trng tng i ln trong kho DTNH cc nc l Mark c (chim t 10.5% -11.7%) v ECUs11 (chim t 4.8% n 6.4%, tr nm 1998 c s gim t ngt, ch cn 1%). Ngoi ra, nhng ng tin khc nh bng Anh, Francs Php, Guilder H Lan cng c trong danh mc d tr ca cc nc, nhng t trng khng ng k. Hnh 2.2: Thay i c cu d tr ngoi hi trn th gii

Ngun: S liu tng hp t IMF Qu trnh ton cu ho din ra thc y thng mi song phng v a phng dn n s cn thit gia tng DTNH m bo kh nng chi tr ngoi t. Cho nn, nhn chung gi tr tuyt i cc ng tin trong DTNH u tng nhng c nhng iu chnh trong t trng ca chng. USD l ng tin c bin ng mnh nht v gi tr v t trng trong DTNH ca cc quc gia. Gi tr d tr bng cc ti sn USD tng gn nm ln t 610 t nm 1995 ln n 2,840 t nm 2009. Tuy nhin, t trng USD lin tc gim v ch cn 35% trong DTNH nm 2009 ca cc nc trn th gii so vi mc 56% ca nm 1995. Mc d tr bng ng Bng Anh tng t 40 t ln 194 t Bng v d tr bng Euro tng t 247 t ln 1,259 t Euro vo nm 2009 v y l 2 ng tin c t trng tng i n nh, chim khong 2.2% v 16% trong tng DTNH th gii hn 10 nm qua. 2.1.1.2 mi ni Xu hng di chuyn ca DTNH t cc nc pht trin sang nhng nc

Mc DTNH c xu hng chuyn sang cc nc mi ni v cc nc ang pht trin. Nm 1995, DTNH ca cc nc pht trin chim khong 65% tng DTNH quc t th n nm
11

ECUs = European Currency Units

15 2009, con s ny gim xung ch cn hn 30%. Ni cch khc, vo nm 2009, gia tng trong DTNH ch yu l nh cc nc ang pht trin, khi h chim hai phn ba tng DTNH trn th gii. Ngoi tr M Latinh, gia tng DTNH l mt hin tng ph bin hu ht cc quc gia, bao gm c Chu Phi v cc nc xut khu du, c bit l cc quc gia ng Nam v Trung Quc. Sau chin tranh, cc nc chu bt u nm gi lng ngoi hi ngang vi G7. Sau khng hong ng 1997, mt quan st cho thy DTNH ca chu gp 10 ln G7. Thc t l tnh n cui thng 3/2010, theo cng b ca Ngn hng Trung ng Trung Quc, d tr ngoi t ca nc ny t mc k lc mi, gn 2,450 t USD, (tng 25,25% so vi mc 1,954 t USD cng k nm trc) v tip tc dn u th gii.12 Hnh 2.3: Xu hng di chuyn d tr ngoi hi

Ngun: S liu tng hp t IMF Trong khi cc nc mi ni c gng m rng DTNH v tc ng mnh m ca n ln nn kinh t quc gia, th cc nc pht trin li c nhng khc bit c bn. cc nc pht trin c ng tin mnh nh USD, gi tr nhng ng tin ny him khi tng hay gim do lng DTNH m NHTW ang nm gi, m thng da vo nhng ch s doanh nghip, bin s c bn ca nn kinh t v nhng bin ng ca th trng vn. V vy, DTNH khng phi l u tin hng u ca cc nc mnh trong vic pht trin kinh t. Ngoi ra, s ra i ca Lin minh chu u v ng tin Euro cng l mt trong nhng nguyn nhn lm cho DTNH ca cc nc pht trin gim, v ng tin ny cho php cc nc EU tit kim vic s dng ngoi t n gin l v nhng giao dch trong cc nc thuc khi EU c xem nh nhng giao dch ni a v thc t ny lm cho khi EU t quan tm n vic tng cng DTNH nh h lm trc y. Vo cui nm 2004, DTNH ca Php ch bng 75% so vi lc trc khi gia nhp EU. Ln lt, con s ny
12

http://vneconomy.vn/20100412112910359P0C99/du-tru-ngoai-te-cua-trung-quoc-lap-ky-luc-moi.htm

16 trong trng hp ca c l 62%, Hy Lp 22%, B 52%, Ireland 57%, H Lan 45% v Ty Ban Nha 21.5%. Tnh trung bnh, cc quc gia EU ch nm gi 40% so vi 1998.13 D khng phi l nhn t chnh, nhng s ra i EU gp phn y nhanh xu hng di chuyn DTNH sang cc nc ang pht trin. 2.1.2 Xu hng ca cc nc mi ni v cc nc ang pht trin

Trong nhng nm u ca th k XXI, cc nc ang pht trin xy dng c v th ca mnh, gp phn quan trng vo s pht trin chung ca th gii. Hnh 2.4: Xu hng d tr ngoi hi cc nc ang pht trin

Ngun: S liu tng hp t IMF Khng khc bit vi xu hung chung ca th gii, DTNH cc nc ang pht trin tng lin tc trong thi gian qua, tng t 472 t USD nm 1995 ln 5,350 t USD nm 2009. Qu trnh tng mnh din ra t nm 2002, trong 7 nm tng hn 5 ln. Nu xu hng DTNH tnh theo gi tr danh ngha ng USD cha th hin c v th ca DTNH trong quc gia th t l vi GDP cho cc nh nghin cu mt ci nhn r hn. th ch ra r xu hng tng ca DTNH khng nhng bt kp m cn tng nhanh hn GDP v t l ny cc nc mi ni lun cao hn khi tnh trn ton th gii. DTNH trong nm 1995 chim cha n 5% GDP nhng n nm 2009 chim gn 14%. cc nc ang pht trin, gi tr tng t 9% ln 30%. 2.1.2.1 S gia tng DTNH thay i tu theo tng khu vc

Trong nhng nm gn y, c bit l sau khng hong n Argentina, ch s DTNH/N ngn hn c xem l mt gi tr quan trng dng nh gi sc mnh DTNH mt nc. Ch s ny dao ng khc nhau cc nc ang pht trin.
13

Dr. Marion V. Williams, Foreign Exchange Reserves: How much is enough?, November 2, 2005

17 S gia tng mnh m c quan st thy Chu Phi v c bit l cc nc xut khu du. Ti Chu Phi qu trnh ton cu ho ti chnh din ra kh chm, dn n nhng kh khn trong vay n nc ngoi, nn tc tng n nc ngoi chm hn nhiu so vi tc tng DTNH. Ring cc nc xut khu du DTNH tng lin tc do gi du tng lm cho thng d ti khon vng lai. Tuy cc nc mi ni ng gp nhiu vo DTNH ton th gii, nhng vn c hai nhm quc gia khng tng: cc nc M La tinh v cc nc Chu u khng thuc khi EU ch yu gm cc nc Trung v ng u. Ti cc nc M Latinh, khc bit ny xy ra l do vay n nhiu, tc vay n gn bng tc gia tng DTNH. Bng 2.1: D tr ngoi hi mt s nc nm 2009 Xp hng 1 2 3 4 5 6 7 8 Quc gia Trung quc n Hn Quc Singapore Thi Lan Malaisia Indonexia Philipines D tr ngoi hi (T USD) 2,206 287 246 188 138 98 63 44 Ngun: CIA Cc nc ng Nam (bao gm Trung Quc) ng ngoi mi xu hng. Vi khon n vay khng l, nhng tc tch lu ngoi hi nhanh hn tc vay n, trong mt qung thi gian tng trng nhanh, Trung Quc c kh nng s chm c mc gii hn m Greenspan-Guidotti-Fischer kin ngh.14 2.1.2.2 Nguyn nhn ca s gia tng DTNH trong cc nc mi ni

Th nht, Thng d trong TKVL l mt ng gp ln vo DTNH cc quc gia Tc ng u tin ca qu trnh ton cu ho chnh l m rng giao thng cc nc, t nh hng mnh n ti khon vng lai cc quc gia ny. y l ngun ng gp u tin cho DTNH cc nc. Nm 1999, TKVL cc quc gia ang pht trin t mc cn bng sau nhiu nm thm ht.
14

Greenspan-Guidotti-Fischer cho rng DTNH t nht phi ti tr n ngn hn. Cc nc ang ph trin, do c th vay n nhiu, c khuynh hng chuyn t nguyn tc thng xut khu sang nguyn tc Greenspan-Guidotti-Fischer.

18 T nm 2000 n nay, d c vi bin ng nh nhng nhn chung DTNH c xu hng tng v c d bo s tip tc duy tr. Thng d TKVL tng t 86,5 t USD ln 723,2 t USD vo nm 2008, tng hn 8 ln trong 8 nm. ng ch l nm 2008, di tc ng ca khng hong, TKVL th gii v cc nc pht trin u gim nhng cc quc gia mi ni vn khng b nh hng. Hnh 2.5: Xu hng bin ng TKVL Hnh 2.6: T trng TKVL/DTNH

Ngun: S liu tng hp t IMF Khng ch tng v gi tr, t trng ng gp ca TKVL vo DTNH cng tng ln ng k vi nh im l nm 2006, khi thng d TKVL chim n 21,5% DTNH. Sau , t trng ny gim dn cn 15,7% nm 2007 v 14,8% nm 2008; nhng tnh hnh c k vng s ci thin vo nm 2010 do gi kch cu ca Chnh ph sau khng hong kch thch tiu dng, gp phn ci thin thng mi gia cc nc. Cc nc mi ni l ni sn xut v cung cp sn phm ln cho ton th gii, nn thu nhp t xut khu l mt bin s ng quan tm. S gia tng mnh m t gi tr xut khu l ngun cung cp di do cho DTNH ca cc quc gia. Khng ch l vn cht lng, gi thnh sn phm, cc nh kinh t hc cho rng cc nc mi ni Chu theo ui chin lc tng trng t xut khu, nn c duy tr t gi thp, hay ni cc khc l nh gi thp ng ni t, iu dn n s thng d trong TKVL ca cc nc ny, v i li l thm ht trong TKVL ca M, v M l khch hng quan trng ca cc nh xut khu ny. T gi hin nay l 1USD = 6,83 Nhn dn t, nhng theo nhng tnh ton mi nht, cc chuyn gia ca WB v IMF cho rng ng nhn dn t b nh gi thp c th ln n 40%. C IMF v M u ln ting yu cu Trung Quc nh gi li ng Nhn dn T nhm thit lp li th cn bng ton cu, c bit l tng kh nng cnh tranh cho hng ho ca

19 M v cc nc pht trin, nhng Trung Quc khng nh rng gi tr ng tin ca mnh khng b nh gi thp ng thi nhn mnh rng t gi l vic ni b ca quc gia. Hy vng Trung Quc s thay i quan nim cng tr nn kh khn khi u thng 4/2010, Tng cc Hi quan Trung Quc cng b thm ht thng mi thng 3/2010 ca nc ny l 7,24 t USD. y l ln u tin trong vng 6 nm qua, Trung Quc b thm ht thng mi theo thng. Mc d cc nh kinh t cho rng thm ht xut hin mt ln v khng phi l khi u ca mt xu hng mi, n vn c th khin quan chc tm dng li trc khi quyt nh nh gi li ng nhn dn t. Nh vy, c th trong trung hn, vn t gi gia M v Trung Quc s khng c gii quyt, v thng d TKVL cc nc ang pht trin c th vn tng. Th hai, Cc nc ang pht trin ch ng xy dng DTNH ln thu ht FDI, ngun FDI ln n lt n lm tng DTNH ca cc nc iu ng quan tm ca cc nc ang pht trin, khng phi l s ph thuc ca DTNH vo cn cn thng mi, m chnh l TKV. Cuc khng hong ng nm 1997, ri nh im Argentina v Brazil l nhng v d in hnh. Trng hp nhng quc gia ny, iu ng quan tm khng phi l GDP hay xut khu, m l s o chiu t ngt ca dng vn. Xy dng DTNH mnh, chnh l to ra s m bo vi cc nh u t v kh nng ti chnh ca quc gia, t thu ht dng vn di hn n nh ch khng phi ngn hn, mang tnh u c. Trong vi thp k qua, mt dng vn ln vo cc nc mi ni v hin nay xu hng vn cn tip din. Trong giai on u thp nin 1990, ngun vn vo cc nc ang pht trin tng v t nh ngay trc khi khng hong ng xy ra vo nm 1997. Sau mt khong thi gian ng bng, dng ngoi t bt u tng li t nm 2002. C th, dng vn thun hng nm chy vo cc nc ang pht trin trung bnh chim 3.3% GDP giai on 2003 -2008, ring nm 2008 t l ny t gn 4.5% do y l knh u t y tim nng v mang TSSL cao, khi th trng cc nc pht trin gn nh bo ho.

20

Hnh 2.7: FDI vo cc nc ang pht trin

Hnh 2.8: Vay n cc nc PT

Ngun: Tng hp t Economywatch v IMF15 Trong nhng nm gn y, dng vn t nc ngoi c nhng thay i ng ch . Dng vn vo khu vc t nhn ng vai tr ch o, FDI chim mt t trng ln hn trong tng ngun vn v nn kinh t ca cc nc ang pht trin - ni nhn nhng dng vn ny mnh v n nh hn trc kia16: thm ht khu vc cng gim, ch t gi linh hot hn, lm pht thp hn v DTNH cao hn17. iu chng t rng, dng vn trong thi gian gn y c th n nh v c nhng tc ng tch cc ln nn kinh t cc nc nhn vn. Trong thp k va qua, tuy dng vn vo tng i n nh nhng n quc t vn l mt mi lo ngi ln ca cc nc ang pht trin. Trong qu trnh ton cu ho, vic trao i vn din ra kh d dng. Chnh iu khuyn khch vay n gia cc khu vc, k c khu vc t nhn. Do vy, NHTW cn chu thm p lc cung cp ngoi t cho i tng ny. iu ny s to sc p ln t gi, t tc ng ln DTNH nu NHTW mun can thip n nh th trng ngoi hi. y l mt trong nhng ng lc mnh m buc Chnh ph phi gia tng DTNH. Qu trnh quc t ho cng din ra mnh m, cc NHTW cng cn thit nm gi lng ngoai t cao.

15

V mt l thuyt, t s ny s c tnh ton gia DTNH v N ngn hn, nhng do gii hn trong tip cn s liu, ti s dng t s DTNH/ Tng n nc ngoi nh mt ch tiu tham kho 16 Trc kia l giai on thp nin 1990, khi khng hong ng xy ra. Lc , cc nc nhn c ngun vn nng, nhng a s l u t ngn hn (Foreign Portfolio Investment) nn khi c nhng tn hiu khng tt t th trng, rt d xy ra hin tng o chiu dng vn. Bn cnh , mt nn kinh t nh nhng nhn c mt dng vn qu ln th khng th hp thu c, gy ra tnh trng pht trin nng qu mc, nh hng n s pht trin bn vng ca nn kinh t . 17 IMF. Capital Inflows and Balance of Payment Pressure tailoring policy responses in emerging ecomonies, 2003

21

Hnh 2.9: Thc trng vay n cc nc mi ni v ang pht trin

Ngun: Tng hp t Economywatch v IMF18 Trong giai on t u thp nin 1990, mc m bo ca DTNH trn n nc ngoi c nhng bin ng khng ng k, trung bnh t 25%. T u th k 21, bi hc v khng hong n ca Argentina lm hu ht cc quc gia, nht l cc quc gia ang pht trin, phi tng DTNH m bo cho cc khon n, kt qu l t l DTNH/N tng lin tc cho n nay. ng k l, n nm 2007 mi khon n nc ngoi u c m bo, thm ch n nm 2009, t l m bo tng ln 120%. Ngoi ra, t nm 1983, t l n nc ngoi c m bo bi DTNH ca cc quc gia mi ni lun cao hn mc trung bnh ca ton th gii. Tm li, DTNH tng lin tc trn bnh din th gii v t l nm gi ca cc nc mi ni tng dn qua cc nm. Nguyn nhn chnh l nhu cu DTNH phng v trc nhng bin ng ln ca th trng quc t v gia tng v th chnh tr. 2.1.3 Thc trng DTNH ti Vit Nam thi gian qua

Theo sau mt giai on tng trng n tng, t 2007 n nay, Vit Nam phi i mt vi nhiu thch thc. Sau khi tng trng qu nng trong nm 2007, tnh hnh kinh t xu i nhiu trong na u nm 2008, lm pht cao v thm ht cn cn thng mi gy ra p lc gim gi VND. n nh t gi, bn cnh ni lng bin , NHTW cng cn ngun DTNH mnh can thip ng lc v hiu qu.

18

V mt l thuyt, t s ny s c tnh ton gia DTNH v N ngn hn, nhng do gii hn trong tip cn s liu, ti s dng t s DTNH/ Tng n nc ngoi nh mt ch tiu tham kho

22

Hnh 2.10: Xu hng d tr ngoi hi Vit Nam trong thi gian va qua

Ngun: ADB Sau mt khong thi gian tng lin tc, DTNH Vit Nam gim mnh trong hai nm tr li y do nh hng t khng hong. Xu hng tng bt u t nm 1992 nhng cn chm. Tc c ci thin r rt t nm 1998 do bi hc t khng hong ng , khi lng ngoi hi d tr bt u tng t 2,1 t USD ln 23,75 t USD vo nm 2007. Trong giai on ny, nm 2006 v 2007, DTNH c tc tng trng nh k, ln lt l 47,46% v 74,73%. Tuy nhin, hai nm tip theo, khng hong tc ng mnh m n TKVL v FDI, khng ch lm cho ngun thu ca DTNH gim, m NHTW cn phi chi tin ra h tr nhp siu, ring trong thng 11/2009, Nh nc chi hn 360 triu USD nhp vng vt cht p ng nhu cu trong nc ang ln cao v nhm bnh n th trng ngoi hi . DTNH Vit Nam ch cn 16 t USD trong nm 2009, gim 5,7 t USD so vi nm 2008. Khng ch gia tng v gi tr tuyt i, t l DTNH so vi GDP cng lin tc tng v ch gim trong hai nm gn y. Ring nm 2009, s st gim trong DTNH ln hn nhiu so vi GDP dn n t l ny gim t 33,39% nm 2008 xung cn 17,44%. 2.1.3.1 Mt s ch s quan trng

Th nht: D tr ngoi hi/ N ngn hn Tnh hnh n nc ngoi ca Vit Nam thi gian qua vn nm trong tm kim sot v khng ng lo ngi. a s cc khon n l n vay u i di hn vi li sut thp t cc quc gia khc. D t s N/GDP an ton m Chnh ph t ra l 50% 19 nhng thc t t l ny gim lin tc, lun duy tr mc di 40% t nm 2001 v t mc 34,7% nm 2008.

19

Kalpana Kochhar, Tessa van der Willigen, Carlos Braga and Vikram Nehru, Vietnam: Joint IMF/World Bank Debt Sustainability Analysis 2008, 2008

23

Hnh 2.11: Biu th hin DTNH/N ngn hn

Ngun: Tnh ton ca tc gi da trn s liu ADB Thi gian qua, vic vay n c gii hn li do cc khon thm ht t TKVL c ti tr bi FDI v n ngn hn. Trong phm vi nghin cu DTNH, n ngn hn l thnh phn cn c quan tm hn v kh nng tr n ngn hn phn nh kh nng m bo tnh thanh khon v uy tn quc gia trn th trng quc t. T nm 2003, d n ngn hn ca Vit Nam c xu hng tng nhng khng ng lo ngi. T l gia n ngn hn v GDP kh n nh, thng dao ng quanh mc 5%. Tuy nm 2007 t l ny tng ln 6,59% nhng gim cn 5,42% ngay trong nm sau. Bn cnh , t s DTNH/ N ngn hn, lun ln hn 1 t nm 1998, tho mn nguyn tc ca Greenspan-Guidotti-Fischer. Nm 2008, v DTNH gim nhng n ngn hn khng thay i nn t s ch gim nh, t 506,7% nm 2007 xung cn 445,7%. Vi nhng ch s nh trn, c th thy n nc ngoi trong ngn hn khng phi l p lc ln DTNH Vit Nam. Th hai: D tr ngoi hi/ M2 C nhng bin ng trong sut thi gian qua, nhng t s DTNH/ M2 lun trn 20% t nm 1994, chng t DTNH Vit Nam hp l nu tnh ton da trn M2. iu ny cng cho thy rng xc sut xy ra khng hong tin t ca Vit Nam lun mc thp v mc d tr nhn chung cao hn mc cn thit.

24 Hnh 2.12: Xu hng ca M2

Ngun: ADB C hai ch s trn cp n vic ti gim bt n ca quc gia ti nhng c sc trn tri khon vn. Tuy nhin, vic ton cu ha ang din ra ngy cng su rng lm ni bt ti khon vn v ti khon vng lai nh hai mt ca vn xc nh mc d tr ngoi hi . Mt thc o thch hp vi ti khon vng lai ca d tr ngoi hi l s thng nhp khu m mt quc gia c th trang tri, iu ny c ngha l s lm gim bt n ca nhng c sc lin quan n ti khon vng lai. Theo nh tiu chun ca IMF th t l ny nm ti thiu l 3 n 4 thng nhp khu. Th ba: D tr ngoi hi/ nhp khu Hnh 2.13: D tr ngoi hi th hin theo thng nhp khu

Ngun: Tc gi tnh ton da trn s liu ADB

25 Nhn chung trong giai on 1992 n nm 2009, tnh theo thng nhp khu th Vit Nam ang dn khc phc tin ti mc chun theo nguyn tc nh gi ca cc t chc trn th gii. Trong giai on 2005-2009, t l ny c th thy l ang nm trng vng an ton. 2.1.3.2 nh gi cc nhn t ng gp vo D tr ngoi hi

Th nht: Ti khon vng lai Hnh 2.14: Thc trng cn cn thng mi v ti khon vng lai

Ngun: ADB Khng ging nh cc quc gia ang pht trin khc, Vit Nam khng to c thng d cn cn TKVL t xut khu. D xut khu c tng u qua cc nm, nhng tc v gi tr gia tng vn thp hn so vi nhp khu, gy ra thm ht trong cc cn thng mi. Thm ht TKVL sau khi c ci thin trong giai on 1999-2006, tip tc gim trong nhng nm sau. Mc thm ht TKVL nm 2007 ln ti 7 t USD, tng ng 9,8% GDP, trong khi trn th gii, mc thm ht TKVL 5% c xem l ng lo ngi. Vo nhng thng u nm 2008, di tc ng ca khng hong ti chnh, tiu dng ca cc nc pht trin gim mnh ko theo s gim st ca th trng xut khu ton cu, lm thm ht trong TKVL Vit Nam trm trng hn. Hn na, th trng tiu th gn nh bo ho, xu hng nhp khu gim mnh trn ton cu, nn cc nc nu mun tng th trng xut khu th cch duy nht l chim th phn cc nc khc. V vy, nhng nc ang pht trin nh Vit Nam gp s cnh tranh mnh t cc nc ln, c bit l Trung Quc ch n ln ca M, bn hng ln ca nhiu nc khin cho h c li th m phn trong xut khu. Bn cnh , nhu cu gim lm gi c cc mt hng xut khu ch yu ca Vit Nam nh ti nguyn thin nhin v nng sn gim r rt. Trong khi xut khu gp kh khn, nhp siu trong 6 thng u nm 2008 tng t bin do gi du lin tc to nh, gia tng tiu dng ca ngi dn sau hai nm giai on tng trng kinh t cao nh vo th trng chng khon v th trng bt ng sn, cng nh

26 ch t gi c nh lm gi nhp khu tng. n thng 7/2008, nhp khu Vit Nam c nhng chuyn bin ng ch . Khng ch xut khu, m c nhp khu cng gim nghim trng do gi th gii gim mnh v nhu cu trong nc i xung. Xut khu gim cng lm gim cu i vi nguyn vt liu sn xut cc sn phm ny, t lm kim ngch nhp khu lin tc i xung, D chnh lch gia xut nhp khu c thu hp trong su thng cui nm, nhng vn khng th ci thin c ti khon vng lai lm mc thm ht t ngng 10,7 t USD, chim 11,9% GDP. Nhng thng u nm 2009, tnh hnh xut nhp khu bt u c chuyn bin v Vit Nam c thng d cn cn thng mi Qu 1/2009. Tuy nhin, xu th xut siu khng c duy tr lu khi 9 thng tip theo, nhp siu tng dn v kt qu l thm ht trong nm 2009 c tnh 11,57 t USD.20 Bn cnh cn cn thng mi, cn cn dch v l mt trong nhng nguyn nhn chnh dn ti thm ht TKVL vi chiu hng gim trong 3 nm gn y v chm y 5,2 t USD nm 2008. Tri vi xu hng ca hai yu t quan trng nht trong ti khon vng lai, chuyn giao khc, ch yu l kiu hi, tng lin tc trong thi gian qua, t mc 7,3 t USD nm 2008 tng ng 8% GDP, gim nh cn 6,8 t trong nm 2009. Vn ng quan tm l lng kiu hi ch yu chy vo khu vc t nhn, khng vo h thng ngn hng c th lm tng DTNH. Nhn chung, mc d c s h tr t ngun kiu hi chuyn v nc, TKVL Vit Nam thi gian qua gn nh lun thm ht, nm 2009 c vi chuyn bin nhng vn khng ci thin c tnh hnh v TKVL khng to ngun thu cho DTNH. Th hai: Cn cn ti khon vn c s tng trng trong DTNH v ti tr cho thm ht TKVL, Vit Nam thi gian qua ch yu da vo TKV, c bit l dng FDI v FPI. Hai dng vn u t ny u c xu hng tng mnh trong giai on trc khng hong, c bit l s hng phn ca TTCK v th trng BS nm 2007 thu ht ngun vn ngn hn ca cc nh u t. Nu nm

. Sau s gia tng t bin nm 2008, FDI nm 2009 gim cn 21,48 t, khng t hn nm 2007 l bao. Tuy nhin, iu ng ch l tc gii ngn ngun FDI qu chm, nh hng n dng tin vo Vit Nam. Trong nm nay, tnh hnh hy vng s c ci thin, khi trong ba thng u nm gii ngn c 2,5 t USD, tng 13,6% so vi cng k nm 2009.

20

http://vneconomy.vn/20091230113944360P0C10/10-diem-dang-chu-y-cua-xuat-nhap-khau-2009.htm

27

Hnh 2.15: Tnh hnh thu ht FDI v FPI

Ngun: Tng hp t ADB, MPI FDI ton cu c d bo s phc hi dn trong nm 2010 v FDI vo Vit Nam s phc hi sm hn do xu hng dch chuyn FDI t cc nc cng nghip pht trin sang cc nc mi ni, c bit l Chu , trong c nc ta. Ngoi ra, khi Trung Quc c xu hng chuyn nn kinh t s dng nhiu nhn cng sang mt nn kinh t trong cc sn phm cha ng hm lng cht xm cao hn, Vit Nam ang tr thnh mt a im u t thay th cho Trung Quc vi nhng d n vo cc ngnh thm dng lao ng. 2.1.3.3 nh gi chi ph khi nm gi d tr ngoi hi

nh gi chi ph khi nm gi lung ngoi t l khng d. Hauner (2006) thc hin o lng chi ph ti chnh ca d tr ngoi hi cho 100 quc gia. S c gng ca Hauner l mt bc quan trng trong vic c lng chi ph ca cc nc ang pht trin bi v s tng ln mnh m trong ngun d tr ca cc nc ny. Tuy nhin, ng cng gp phi nhng kh khn trong qu trnh thc hin ca mnh (nh vic thiu s liu chi ph ct tr, hay s phc tp ca nhng tin t khc nhau trong r d tr). Nm bt c nhng kh khn ny, ti a ra mt phng php tnh chi ph c hi bng cch so snh li sut ca tri phiu M v li sut ca Vit Nam theo phng php tnh: Ln(1+i)/(1+ius)21 trong i l li sut chit khu ca Vit Nam, cn ius l li sut tri phiu M thi hn mt nm.

21

y cng chnh l cch tnh chi ph c hi c lng m hnh Buffer Stock s c trnh by trong nhng phn k tip

28 R d tr ca Vit Nam gm cc thnh phn chnh nh la M (USD), EURO, vng Tuy nhin n gin ha cch tnh ton v xem xt c thc trng ca chi ph c hi, ti xem nh r d tr ca Vit Nam ton b gm USD. Hnh 2.16: Chi ph c hi ca vic nm gi ngoi hi

Ngun: Tnh ton ca tc gi T phng php ny, ti tnh c cc khon chi ph c hi ca vic nm gi lng ngoi t v phn trm trn GDP. Tnh hnh khon chi ph ny nm di 700 triu USD, mt con s khng qu ln. ng thi nu so snh vi GDP th khon chi ph ny chim di 1% GDP. Trong iu kin nm gi DTNH nhm cc mc ch khc nhau cho nn kinh t th c th nh gi c rng mc 1% GDP l co th chp nhn c. 2.1.3.4 Tnh hnh s dng ngoi t ca NHTW

Sau khng hong 1997-1998, DTNH c ch nhm to ra mt ngun ni lc i ph vi cc c sc c th c trong tng lai. Tuy nhin, nhng nm gn y, mc tiu ny chuyn hng sang vic can thip vo th trng khi ng ni t ln gi. iu cng th cho thy Vit Nam ang nm trong vng b ba bt kh thi v th hin tm quan trng ca d tr ngoi hi vi thnh phn ny nh cp trong chng 1. Trong nm 2007, do s gia tng mnh m ca c dng vn u t trc tip, u t gin tip v lung tin kiu hi to nn thng d ln trong cn cn thanh ton quc t tng th, NHNN mua mt lng ngoi t ngoi t cho d tr ngoi hi va m bo kh nng can thip trong tng lai, va duy tr kh nng cnh tranh ca hng xut khu, trnh s ln gi ca ng Vit Nam. Tuy nhin, vic mua ngoi t cho d tr buc NHNN phi bm ra mt s tin ng vo lu thng gy p lc cho lm pht. kim sot lm pht, NHNN phi thng qua hot ng ca th trng m ht bt s tin ng bm ra di hnh thc bn tn phiu ca NHNN. Tuy nhin kt qu li to nn s thiu thanh khon tin ng ca mt s NHTM, y li sut trn th trng lin ngn hng cao ln mc cha tng c, th trng chng khon c nhiu bin ng nng lnh tht thng

29 v hin ang mc st gim nghim trng. NHNN phi xc lp trn huy ng li sut tin ng v ngoi t cng nh trn quy m tn dng cho cc Ngn hng thng mi (NHTM). Nhu cu mua, bn ngoi t ca cc NHTM cng bin ng khn lng to nn kh khn cho iu hnh, can thip ca NHNN trn th trng ngoi hi. Nguyn nhn ca s bin ng a chiu trn th trng tin t v th trng ngoi hi thi gian qua l s i mt vi nh hng ca b ba bt kh thi ca mt nc m ca nn kinh t kh mnh m, mt nc m ca cn cn vn khng th va t c mc tiu n nh gi c va t c mc tiu n nh t gi. Vic tng li sut nhm hn ch tin cung ng trong lu thng kim sot lm pht s cng lm tng sc ht dng vn nc ngoi vo, cng lm tng sc p ln gi ca ng ni t, s kh cho php nc ny n nh t gi. iu ny gy nh hng n xut khu, khuyn khch nhp khu v lm gia tng mc thm ht cn cn vng lai. Nu duy tr n nh t ga, Ngn hng trung ng phi mua ngoi t vo v phi bm tin ra lu thng th li gy nn p lc lm pht. Theo nh gi ca cc chuyn gia kinh t hng u th gii, nh hng ca b ba bt kh thi ny cng nghim trng i vi cc nc mi ni c th trng tin t v ti chnh cn cha thc s pht trin. Thi lan phi la chn vic kim sot lung vn c th kim sot lm pht v n nh t gi khi lung vn nc ngoi vo trong nc mc cao trong thi k khng hong. i vi cng c li sut, cc nc khng b tnh trng la ho v c mt bng li sut thp c th s dng kim sot lm pht bng cch tng li sut v th t gi tng i t do. Tuy nhin, vi Vit Nam, vi mt bng li sut cao trong khu vc v trn th gii v vi bi cnh kh t do ho cc giao dch vn th bin php tng li sut tht cht tn dng s kh pht huy tc dng. C th, khi li sut ln cao, do chnh lch li sut trong v ngoi nc vi bi cnh li sut trn th trng quc t c xu hng gim, cng lm tng lung vn vo Vit Nam. Tn dng bng USD tng nhanh v c xu hng nh u t nc ngoi chuyn i USD mua tri phiu VND ca cc NHTM. Khi , p lc lm pht khng gim m cn tng. Do vy, c th cho rng vic NHNN p dng ring r cc bin php li sut hay t gi m khng c phi hp ca vic qun l cc lung vn ca cc b ngnh, c bit l lung vn ngn hn th mc tiu kim sot lm pht kh c th t c. Trong bi cnh lm pht gia tng mnh, thm ht cn cn thng mi ln v dng vn u t nc ngoi vo nhiu Vit Nam, vic la chn mt c ch iu hnh t gi ph hp vi tnh hnh v chnh sch tin t hin ti c ngha quan trng trong vic bnh n kinh t v m. n gia nm 2008, nhp siu tng mnh cng vi lm pht trong nc gy p lc ln t gi USD/VND, buc Chnh ph phi cng b DTNH v chi ra mt lng ngoi t ln bnh n th trng. Nhng k t cui nm 2009 n nay, t gi i vo n nh gip bnh n th trng tin t v gim p lc ln vic iu chnh DTNH quc gia.

30

2.2

Tc ng ca DTNH ln cc bin v m
2.2.1 Tc ng ln n nc ngoi

Cng vi qu trnh pht trin ca DTNH, trong phn tip theo, ti s tp trung phn tch xem xt liu s tng DTNH ca quc gia c tc ng di hn ln cc bin v m hay khng. S tc ng ny, tuy nhin ph thuc vo gi tr ca cc tham s cng nh t l li sut. u tin ti nghin cu s nh gi mi quan h gia DTNH v tng n nc ngoi cng nh mi quan h gia DTNH v k hn thanh ton cc khon n . Xt theo tnh lng ca cc khon n th n ngn hn s c tnh lng hn cc khon n di hn, bi v s thay i bt ng trong dng vn trong di hn s c kh nng cao hn trong ngn hn. Cc khon k hn thanh ton trung bnh cc n ngn hn do c th xem nh i din cho mc ca n nc ngoi. Cc l thuyt cho chng ta thy rng s tng ln trong DTNH khng ch tng n nc ngoi m cn lm cho n khng lng tr nn lng hn22. Do , trong php c lng sau y, ti s xem xt DTNH c tc ng tch cc n cc khon n nc ngoi v tc ng tiu cc n k hn thanh ton trung bnh hay khng? ti c lng theo hai cng thc sau: (Nt/ GNIt) = a1.(DTNHt / GNIt) + a2. log GNIt, K hn thanh tont = b1. DTNHt/ GNIj,t + b2. log GNIt, Trong N: tng n nc ngoi; K hn thanh ton (Maturity): k hn trung bnh ca nhng hp ng mi; GNI l tng thu nhp quc ni; DTNH (Foreign Reserve): tng s DTNH. Bin xj,t i din cho phng sai bc nht ca xj,t. trnh hin tng phng sai khng ng u23, DTNH c chia bi GNI trong cng thc (1) trn nh mt bin gii thch trong c hai phng trnh. DTNH c ly t ngun thng k ca IFS, trong khi s liu v tng n nc ngoi, k hn trung bnh ca cc khon n, v GNI c ly t ngun ca ADB. S liu ly t nm (1) (2)

22

Shin-ichi Fukuda and Yoshifumi Ko, 2010: Macroeconomic Impacts of Foreign Exchange Reserve Accumulation: Theory and International Evidence 23 Phng sai khng ng u (Heteroskedasticity) l hin tng mt bin c lp trong m hnh c quan h mt cch h thng vi sai s ca m hnh. Vic tn ti phng sai khng ng u trong m hnh tuy khng lm nh hng ti kt qu h s c lng tc l h s c lng vn thng nht (consistent) v khng chch (unbiased) nhng li lm nh hng ti phng sai ca h s v v vy lm cho kim nh F v kim nh t t c ngha. Hin tng ny kh ph bin vi chui s liu cho.

31 1992 n 2009. Phng php c lng l bnh phng b nht (OLS) vi thi k khng i. (N/ GNIt) = -0.4889 + 0.1723.(DTNHt / GNIt) + 0.2301. log GNIt Vi R2 = 0.2514 K hn thanh ton = 19.2592 + 15.0005. DTNHt/ GNIj,t + 6.9951. log GNIt Vi R2 = 0.3016 Vi kt qu c lng ca hai cng thc (1) v (2) nh trn, ta c th kt lun nh sau. Th nht, tng n nc ngoi c tn hiu ng k v c s tng quan vi DTNH v tng quan khng nh vi Log GNI (iu ny cng ph hp vi nghin cu ca Shin-ichi Fukuda and Yoshifumi Ko, 2010). S tng ln trong DTNH c ti tr bi nhng khon n mi khi s khc bit v thu nhp c iu chnh. Th hai, tuy nhin khc vi kt qu nghin cu ca Shin-ichi Fukuda and Yoshifumi Ko (2010) v mt l thuyt ca vn , mi quan h trong m hnh hi quy gia k hn thanh ton n nc ngoi c mi tng quan khng nh vi GNI v khon DTNH. Phn tch l thuyt hm rng, DTNH tng s lm gim ri ro tnh lng, th hin qua s tng ln s lm cho nhng mn n t tnh lng s tr nn lng hn. Nhng kt qu thc nghim nc ta cho thy, khi khon DTNH tng s lm tng ri ro tnh lng hn, cng gy thit hi hn cho nn kinh t. Hnh 2.17: D tr ngoi hi, n v k hn thanh ton

Ngun: ADB Kt qu cng tng i ph hp vi thc t khi trong gian on kim nh t 1992 n 2009 khi DTNH tng th n cng c tng, c bit l giai on t sau nm 1997-1998 , khi t l tng ca DTNH v n gn nh c mi tng quan rt cao.

32 2.2.2 Tc ng ln cc bin v m

Khng ch c mi lin h tng i cht ch vi cc khon n, DTNH cn c tc ng ng k n nhng bin v m khc, nh: tiu dng, u t vn, t trng xut khu v t l tng trng GDP. y l nhng bin quan trng o lng mc th hin ca mt nn kinh t. M hnh k thuyt cho mt nn kinh t m nh24 cho thy rng, khi li sut trn cc khon DTNH thp th mt s tng ln trong DTNH s c nhiu tc ng: Tc ng ph nh ln tiu dng; Tc ng khng nh ln t trng xut khu; Tc ng khng nh ln u t vn v sn lng ca nn kinh t, nu khu vc thng mi (c trao i quc t) c nhiu vn hn khu vc phi thng mi. ti s c lng 4 cng thc sau: Tiu dngt/GDPt = c1 (DTNHt/GNIt) + c2 log GNIt Xut khut/GNIt = d1 (DTNHt/GNIt) + d2 log GNIt u tt/GDPt = e1 (DTNHt/GNIt) + e2 log GNIt GDPt/GDPt = f1 (DTNHt/GNIt) + f2 log GNIt Trong : Tiu dng: tiu dng ni a; GDP: tng sn phm quc ni; Xut khu: tng s xut khu; u t: u t vn ni a t l i din cho nm. trnh hin tng phng sai khng ng u 25, DTNH v xut khu c chia bi GNI, trong khi tiu dng v u t c chia bi GDP. Bng 2.2: Kt qu c lng tc ng ca d tr ngoi hi Hng s C Tiu dngt/GDPt Xut khut/GNIt Xut khut/GNIt GDPt/GDPt 1.1379 - 0.5563 - 0.0915 - 0.3323 DTNHt/GNIt 0.0452 0.0379 + 0.0004 + 0.0111 log GNIt - 0.2472 + 0.6552 + 0.2585 + 0.1324 R2 0.7777 0.9143 0.9574 0.1710 (3) (4) (5) (6)

Ngun : Tc gi tnh ton

24

Shin-ichi Fukuda and Yoshifumi Ko, 2010: Macroeconomic Impacts of Foreign Exchange Reserve Accumulation: Theory and International Evidence 25 Nh c ch thch bn trn

33 Cc kt qu c lng c trnh by nh trn. Mi tng quan ca DTNH c tn hiu ng k trong cc trng hp. DTNH c mi tng quan ph nh vi tiu dng v t trng xut khu (Kt qu cng tng t nh kim nh ca Shin-ichi Fukuda and Yoshifumi Ko, 2010). iu ny ng rng s tng ln trong DTNH lm gim tiu dng trong nc v thu hp t trng xut khu ca khu vc thng mi. Trong phm vi li sut, li nhun t DTNH th thp, iu ny ph hp vi l thuyt. DTNH c mi tng quan khng nh vi t l tng trng v u t vn nh c trnh by trong bng kt qu. iu ny cho thy rng, s tch ly DTNH lm tng tch ly vn v pht trin tng trng Vit Nam. Theo mt l thuyt t Shinichi Fukuda and Yoshifumi Ko th iu ny xy ra khi khu vc thng mi c nhiu vn hn khu vc phi thng mi. Hnh 2.18: D tr ngoi hi v cc bin v m

Ngun: Tng hp t ADB v IMF Kt qu t m hnh cho thy mi tng quan kh cao gia DTNH v cc bin cn li, v iu cng ph hp vi kt qu thc t khi trn th, giai on t nm 1992 n nm 2009, cc ch tiu (bin) u tng. T nm 1992 khi m cc bin u gn nh xut pht t mt gc th sau tng nhiu hn, mc tng th hin c s tng quan cao hay khng cao trong m hnh kim nh nh trn. Mc tng quan cng cao, cng th hin s quan trng ca DTNH i vi cc thnh phn ny. 2.2.3 Tc ng ln lm pht

Theo nh hai nh khoa hc Mei-Yin Lin v Jue-Shyan Wang, c mi quan h mt thit gia DTNH v lm pht26. Bt u t nghin cu ca Lucas vi hm tng cung trong nn
26

Mei-Yin Lin and Jue-Shyan Wang, Foreign Exchange Reserves and Infation: anEmpirical Study of Five East Asian Economies, 2008

34 kinh t, cc nhn t tc ng n tng trng ngun cung trong nn kinh t gm tc ng ngoi mong i ca tin t, tc ng t gi hi oi v cc nhiu. Tc ng ngoi mong i ca tin t l tiu chun v m t tng cung l hm hu dng ca lm pht ngoi mong i. iu ny c minh ha r nt trong hp ng lng danh ngha ca mt thi k thit lp trn mong i c nhn theo t l lm pht. Nu t l lm pht thc t cao hn t l lm pht mong i, cho thy mt iu l mc lng thc t nhn c s thp hn mc mong i v lao ng (sn lng) s tng. Nu t l lm pht thp hn mc mong i, lng thc t nhn c s cao hn mc lng mong i v sn lng s gim. Tc ng ca t gi n sn lng: V mt l thuyt, s tng trong t gi hi oi (thc) s lm cho gi c ca hng ha nc ngoi tr nn thp hn. N s gim nhu cu cho hng ha trong nc v n dn n sn lng quc ni thp i cng nh l s c t lao ng hn. Phn ng ca sn lng v s lao ng ti s thay i ca t gi hi oi s tr nn ln khi th trng cnh tranh mnh m. V Ngn hng trung ng c gng ti gim s nh hng ny bng iu hnh th trng ngoi hi. Da trn quan im l NHNN khng thch lm pht, chnh iu c th hin qua cch can thip ca Nh nc27. Nhn chung, mi quan h gia lm pht v DTNH l mt mi quan h phc tp v c truyn dn qua nhiu knh cng nh t s iu hnh ca ngn hng Nh nc28. Trong phn ny, chng ta s c gng tm ra mi quan h gia DTNH v lm pht bng thc nghim Vit Nam. Bt ngun t phng php t Mei-Yin Lin and Jue-Shyan Wang chng ti c lng m hnh hi quy sau:

Trong Trendt l khuynh hng thi gian, et l nhiu. hng nm ca mc DTNH. K hiu ca vic ng lng

i din cho t l thay i c th cho chng ta bit mt

iu rng mi quan h gia t l lm pht v mc DTNH. Ngun s liu ca CPI c ly t IFS. c lng cng thc ta c c bng kt qu: Bng 2.3 : Mi tng quan gia d tr ngoi hi v lm pht Bin C Lm pht M Thay i DTNH Xu hng thi gian R2
27 28

H s 5.619923 4.052213 -0.072600 -0.776209

lch chun 7.353930 2.553848 0.042867 0.429893 0.455640

Thng k t 0.764207 1.586709 -1.693621 -1.805587

Wonnacott, P. (1965), The Canadian Dollar, 1948-62, Toronto Xem thm ph lc

35 Bng kt qu cho thy mi quan h gia DTNH v lm pht Vit Nam l mi tng quan ph nh, trong khi mi quan h gia CPI M v CPI Vit Nam c mi tng quan khng nh (iu ny cng ph hp vi kt qu c lng ca Mei-Yin Lin and Jue-Shyan Wang vi nm nc chu trong ti ca mnh). 1% tng trong DTNH s dn ti gim 0.0726% trong lm pht Vit Nam. Hnh 2.19: D tr ngoi hi v lm pht

Ngun: ADB Vi R2 = 0.4564 th cng cho thy m hnh c mc chnh xc nht nh. Kt qu ny nhn chung cng ph hp vi thc t khi quan st th ca DTNH v lm pht trong gian on 1992 n nm 2008. Cng vi s tng ln ca d tr ngoi hi t nm 1992 n nm 2008, th t l lm pht cng c xu hng gim, ph hp vi kt qu m hnh thc nghim cng nh l thuyt ra. Trong giai on 2001 n 2008 cng vi vic tng DTNH th lm pht cng tng29, nh ni trn, m hnh c mc ph hp nht nh, trong giai on ngn c th khng ph hp, nhng nhn vi giai on di th kt qu c th c s dng mt cch hp l hn v t s thy tm quan trng ca DTNH nhiu hn. 2.3

M hnh xc nh mc d tr ngoi hi hp l
2.3.1 2.3.1.1 Theo tiu chun W - K C s l lun ca m hnh

Xc nh c tm quan trng ca DTNH ti pht trin kinh t v tc ng ti nhng bin khc trong nn kinh t, mt cu hi t ra l DTNH bao nhiu l hp l. Nhng nghin cu v DTNH cung cp mt vi l thuyt v vn ny, bao gm nhng s so snh ca DTNH vi tng lng cung tin (M2), nhp khu v cc khon n, c bit l cc khon n ngn hn. Hu ht cc ch s , nh t l gia DTNH v tng n ngn hn c s dng mt cch hp l trong mt ci trng hp. Tiu chun v nhp khu (t l DTNH
29

iu ny c l gii trong phn 2.1.3

36 trn nhp khu) c bit quan trng i vi nhng nc c s hn ch i vi ngun ti chnh quc t. Ly mt in hnh, Wijnhold v Kapteyn (2001) xut ng dng tiu chun da trn nhp khu lm thc o cho khon DTNH cc nc ang pht trin c thu nhp thp, ni m s lu chuyn gia ngun vn trong nc v quc t cn b gii hn. T l gia DTNH trn khon cung tin c th c xem nh mt tiu chun hu dng vi nhng quc gia c h thng ngn hng yu km nhng cn c h tr vi mt phn tch v cc nguyn nhn khc nhau ca s bc hi cc ngun vn. Nm 2001, Wijnholds v Kapteyn xut mt tiu chun mi ca vic xem xt tnh y ca DTNH cho cc quc gia ang pht trin da trn tiu chun v n. N bao gm 3 yu t: N ngn hn nc ngoi, khon iu chnh M2 v ri ro quc gia: Bin M2: Mt vi nghin cu lin quan n ch s ny nh nghin cu trn H thng cnh bo sm (EWS) c thc hin sau khng hong Mexico nm 1995. Nghin cu ny ch ra rng t l DTNH trn lng cung tin (M2) s c th c xem nh ch s tin on khng hong ti chnh. T l ny cng cao, c ngha l xc sut xy ra khng hong cng c ti gim. Calvo (1996), tranh ci rng t l ny l tiu chun cho nhng nc c ch t gi hi oi c nh. Nhng nghin cu khc cng xem im chun ny nh l tiu chun tin on khng hong: Esquivel v larrian (1998), Kminsky, Lizondo v Reinhart (1998). Cc khon n, c vai tr quan trng trong cc nn kinh t ang pht trin, lin quan ti khon d tr trn cc khon n ngn hn nc ngoi (STED), cc khon n ngn hn c nh ngha nh cc khon n m c k hn phi thanh ton di 1 nm. Mt vi nghin cu EWS cho thy rng R/STED l ch s c th tin on c khng hong ti chnh (Bussiere v Mulder (1999), Rodrik v Velassco(1999)). Kim tra ch s ny xuyn quc gia cho kt qu mt cch tng quan ng nh mong i, vi cc quc gia c ch t gi th ni c qun l s c t l d tr trn n ngn hn nc ngoi cao hn nhng nc c ch t gi th ni. Ri ro quc gia: c xem nh ch s xem xt tnh bay hi dng vn vo cc nc. Mt quc gia vi mt yu t ti chnh, kinh t v chnh tr tt s c nhng ri ro t hn cc nc c nhng ch tiu xu. Phng php W-K khng a ra mt gi tr c th cho DTNH hp l m a ra mt khong gi tr. Trong phn ny ti p dng phng php W-K c lng xem khon d tr thc t ca Vit Nam c ng nh nhng g m phng php ny a ra: DTNH nh nht = n ngn hn + M2 nh nht x ri ro quc gia DTNH ln nht = n ngn hn + M2 ln nht x ri ro quc gia

37 2.3.1.2 Tnh ton cho Vit Nam Bng 2.4: Tnh ton theo tiu chun W-K n v tnh (t la M) Nm N ngn hn a 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2.37 58 0.92 30 0.78 31 0.78 43 1.28 94 2.14 11 2.57 46 2.50 43 4.68 70 4.86 10.2 4 15.7 3 18.9 1 21.5 6 26.5 2 33.8 3 43.5 6 57.7 1 83.8 3 98.6 M2 Khon iu chnh M2 Nh nht b1 1.023 7 1.573 3 1.890 6 2.156 2 2.652 2 3.382 6 4.356 1 5.770 6 8.382 9 9.860 Ln nht b2 2.0474 3.1467 3.7813 4.3124 5.3044 6.7653 8.7122 11.5413 16.7658 19.7216 Ri ro quc gia c 0.67 0.65 0.67 0.62 0.68 0.71 0.69 0.68 0.72 0.67 DTNH theo W-K Nh nht a+(b1xc) 3.06 1.95 2.05 2.12 3.09 4.54 5.58 6.43 10.72 11.48 Ln nht a+(b2xc) 3.75 2.97 3.32 3.46 4.90 6.94 8.59 10.35 16.76 18.08 3.42 3.51 3.77 4.23 6.36 7.19 9.22 13.59 23.75 21.70 DTNH thc t

86 1 8 Trong khon iu chnh ca M2 c tnh nh sau: Vi cc nc c ch t gi hi oi th ni th khong iu chnh ca M2 l t 5% n 10% ca M2 thc t. Vi cc nc c ch t gi hi oi c nh hay ch t gi th ni c qun l th khong iu chnh ca M2 l t 10% n 20% ca M2. Vit Nam hin ti c xem nh nc c ch t gi th ni c qun l nn phn iu chnh s l 10% n 20% ca M230. Ri ro quc gia c ly t ngun EIU (The Economics Intelligence Unit), ch s ri ro quc gia ny c tng hp t 77 ch s khc nhau t chnh sch tin t cho n chnh sch ti kha v s n nh v chnh tr. Ch s ny c m t t 0 n 100, ch s cng cao th ri ro ca quc gia cng cao. T kt qu tnh ton cho thy trong giai on t nm 1999 n nm 2008, mc DTNH thc t vt qua gii hn trn theo tiu chun W-K. iu ny th hin lng ngoi hi m NHTW nm gi cao hn mc cn thit, ngha l Vit Nam c kh nng p ng cc khon n ngn hn, hay ni chung l m bo trc nhng c sc kinh t.

30

J. onno de beaufort Wijnholds and Arend Kapteyn: Reserve Adequacy in Emerging Market Economies, 2005

38 Tiu chun ny, tuy hu ch trong vic xc nh ngng hp l ca DTNH i vi mt quc gia v n n gin, d tnh ton nhng n vn tn ti mt vi im yu: V ch da trn khon n v ri ro quc gia nn m hnh cn nhiu thiu st. c bit l giai on ny, Vit Nam tham gia vo th trng quc t cha lu nn m ca nn kinh t cn phn hn ch, lung tin ra vo quc gia cha tht cao, cc khon n c kh nng thay i ln trong tng lai. Do , nu ch dng ch s ny nh gi th cha thc s hp l. Hn ch ny gii thch nguyn nhn mc DTNH thc t ca Vit Nam trong giai on va qua lun cao hn mc thuyt ca m hnh. M hnh ny khng nh gi c chi ph c hi khi nm gi cc khon ngoi t, thay v i u t kim li nhun, v vy cn nhiu khong cch so vi thc t. 2.3.2 2.3.2.1 Tnh ton DTNH theo m hnh Buffer Stock C s l lun ca m hnh

xy dng lng DTNH hp l v nh gi c chi ph c hi trong vic xc nh, m hnh Buffer Stock s dng t tng mt kinh t rt truyn thng: l cn bng gia chi ph v li ch. M hnh pht biu rng mc ch ban u ca DTNH l gim sc v hp th nhng dao ng ca s mt cn bng thanh ton cc khon n v cc khon giao thng vi nc ngoi. Khi thiu ngoi hi, cc nh chc trch s tp trung b sung vo nhng chnh sch xy dng li khon d tr, iu ny c th lm gim sn lng. iu ny c nh ngha nh chi ph iu chnh v m. Khi nhu cu ca cc khon DTNH tng ln ng ngha vi vic cc chi ph ny cng tng. Tuy nhin nm gi ngoi hoi mt khc lm pht sinh chi ph c hi. Cc bi nghin cu thc nghim c thc hin nhm tm ra mc d tr hp l ti thiu ha tng chi ph ca vic nm gi cc khon d tr ny. Hellar (1996) xc nh mc d tr hp l lin quan n cn bng gia chi ph bin v li ch ca vic nm gi cc ti sn. Sau , ng y so snh mc d tr thc t v mc d tr theo tnh ton ca mnh kim tra xem tnh ng n ca cc khon d tr. Frankel v Jovanovic (1981) m rng tng ca Hellar v pht trin mt m hnh l thuyt da trn ngun gc ca vic qun l hng tn kho xc nh mc d tr hp l. H c lng nhu cu cho khon d tr da trn cho ph cho vic iu chnh v m v chi ph c hi s dng chui s liu thi k 1971-75 vi phng php xuyn quc gia ca 21 nc ang pht trin. V nhng c lng ca h c kt qu rt gn vi tin on theo l thuyt. Flood v Marion (2002) trong bi nghin cu ca mnh pht hin ra rng m hnh Buffer Stock c th thc hin tt trong thi k t gi hi oi th ni nh h thc hin trong giai on theo ch t gi Bretton Woods. Disyatat v Mathieson (2001) c lng cng thc d tr kiu Jovanovic cho 15 nc chu v Chu M Latinh, v h tm ra rng khng hong ti chnh 1997-1998 khng gy ra mt s gin on cu trc no trong m hnh. H cng cho thy rng, bt n ca t gi cng ng mt vai tr ht sc quan trng.

39 IMF (2003) nghin cu trn cc nc ang pht trin Chu , s dng m hnh Buffer Stock v kt lun rng mc d tr cao v tng nhanh cc nc ny gia nm 1997 v nm 2001 c s tng quan mt thit vi m hnh, nhng vo cc nm 2002 v 2003, th cc khon DTNH trn tiu chun c m hnh a ra. Nhng bng chng thc nghim nh trn c th xc nhn rng m hnh Buffer Stock c th hu ch trong vic xc nh mc DTNH hp l cho Vit Nam. M hnh Buffer Stock M hnh Buffer Stock ca Frenkel v Jovanovic (1981) xc nh s bin ng ca DTNH trong cc thi k lin tip nh mt tin trnh Weiner31:

Trong : Rt l mc d tr c nm gi ti thi im t; W(t) l tin trnh Weiner chun vi trung bnh bng 0 v bin i t. Ti mi thi im ca s phn phi DTNH c th hin nh sau:

Trong : R* i din cho mc DTNH hp l; l mt phn ca s thay i tc thi trong khon DTNH; l lch chun ca ca s gia Weiner trong d tr.. Nh trn trnh by, m hnh ny c thc hin nhm ti thiu ha hai loi chi ph: (1) chi ph ca s iu chnh khi khon DTNH di mc mong mun v (2) cc khon kim c trn vic nm gi khon d tr . Cng thc ca v m hnh c th c trnh by nh sau:

Trong : c, r v l chi ph c nh ca vic iu chn;

chi ph c hi ca vic nm gi DTNH v lch chun trong s thay i d tr.

31

Xm thm phn ph lc l gii thm tin trnh Weiner

40 M hnh c lng c th c vit nh sau:

Trong ut l cc nhiu. Cng thc trn c xem nh hm xc nh mc hp l cho khon d tr trong hu ht cc nghin cu thc nghim. Theo nh l thuyt th cc h s b1= 0.5 v b2 = -0.25, nghin cu ca Frenkel v Jovanovic (1982) c lng cc h s ny v n cng gn nh nhng g l thuyt cp. Tuy nhin, nhng nghin cu sau v d nh Flood v Marion (2002), Ramachandran (2004) a ra nhng gi tr khc nhau ca cc h s. S khc bit ny c nguyn nhn t vic s liu ca m hnh, phng php c lng cng nh cc bin c thm vo. 2.3.2.2 p dng tnh ton ti Vit Nam

Trong bi nghin cu ny, hai bin: bin th hin quy m v bin th hin hin s bin ng c t gi hi oi c thm vo m hnh ph hp vi iu kin Vit Nam. Vic thm cc bin cng ph hp vi nghin cu ca Aizenman & Marion 2004. iu ny c ngha bi v trong giai on 1992 n ny nn kinh t Vit Nam c s tham gia vo nn kinh t th gii v ngy cng mt mnh m. Do , vic thm bin vo s nh gi tt hn nhng ri ro chng ta s gp phi. Nhng bin quy m s o lng s giao dch vi quc t, trong khi bin t gi hi oi s nh gi mc v bin ng trong lu chuyn dng tin ca Vit Nam. Do m hnh Buffer Stock s c vit li nh sau:

Trong : Rt l mc d tr; L b bt n ca nhng giao dch quc t; rt l bin th hin chi ph c hi; yt l bin quy m; et l b bt n ca t gi hi oi; ut l nhiu. M t cc bin: Nhng bin quy m c s dng trong m hnh l GDP, dn s, GPD bnh qun u ngi, v nhp khu. S liu cho tt c nhng bin ny c ly t ngun ADB. bt n ca nhng giao dch quc t thng c o bng lch chun ca s thay i DTNH trong mt thi k (Frenkel v Jovanovic 1981, Landell v Mills 1989, Ford v

41 Huang 1994). Tuy nhin nh c trnh by trong nghin cu ca Flood v Marion (2002), dng ch tiu ny s c nhng sai st nht nh, v khi khng hong ti chnh xy ra, y l bin b tc ng nhiu nht. trnh hin tng ny, ti s dng thc o ca Edwards (1985) cng nh ca Aizenman v Marion (2002), l dng bt n xut khu c tnh bng cch ly lch chun ca chui s liu xut khu ca 12 thng trc sau khi ly logarit. Chi ph c hi ng mt vai tr quan trng trong vic xc nh mc d tr cn thit. Tuy nhin hu ht cc nghin cu thc nghim khng th tm ra tc ng ca chi ph c hi ln mc DTNH ca cc quc gia. ti ny chng ti s dng phng php tnh chi ph c hi bng cch so snh li sut ca tri phiu M v li sut ca Vit Nam theo phng php tnh: Ln(1+i)/(1+ius) Bng phng php va ri, chng ti tnh c bng s liu cho mnh nh sau: Bng 2.5: S liu cho m hnh Buffer Stock Dn s 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 1.84 1.84 1.85 1.86 1.86 1.87 1.88 1.88 1.89 1.90 1.90 1.91 1.91 1.92 1.93 1.93 1.94 PPP 3.00 3.06 3.11 3.15 3.19 3.23 3.25 3.27 3.30 3.34 3.36 3.40 3.41 3.43 3.44 3.45 3.47 Nhp khu/GDP 0.26 0.30 0.36 0.39 0.45 0.43 0.42 0.41 0.50 0.50 0.56 0.64 0.70 0.69 0.74 0.88 0.90 Bt n t gi 0.008 0.007 0.007 0.004 0.002 0.016 0.030 0.013 0.006 0.011 0.008 0.003 0.003 0.002 0.002 0.002 0.015 Bt n xut khu 0.040 0.035 0.070 0.056 0.048 0.091 0.083 0.069 0.081 0.055 0.049 0.044 0.064 0.073 0.046 0.078 0.059 Khc DTNH bit li sut 0.014 -0.333 0.012 0.026 0.022 0.020 0.031 0.022 0.023 0.032 0.018 0.017 0.017 0.025 0.030 0.018 0.032 0.018 -0.394 -0.057 0.140 0.259 0.322 0.322 0.534 0.545 0.576 0.627 0.803 0.856 0.965 1.133 1.376 1.336

(Tt c cc bin u ly Logarit)

42

T nhng gii thch v cc bin, cui cng ti i c lng cho m hnh sau: Ln (DTNH) = a1. Dn s + a2. GDP bnh qun u ngi + a3. Nhp khu/GDP + a4. Bt n t gi + a5. Bt n xut khu + a6. Khc bit v li sut. Nhn xt cc bin theo l thuyt: Chi ph c hi (khc bit v li sut) s cho mt tc ng ngc chiu (ph nh). bt n xut khu s cho kt qu cng chiu (khng nh): bt n cng cao s tng ri ro ca vic d tr s lm cho bin ng v gi v thu nhp ni a gim i. Do , ngn hng Nh nc mong i s gi lng d tr cao trnh khi chi ph cho vic xy dng li lng d tr. bt n t gi c xem nh bin nh gi thi k t gi (c nh hay th ni). T gi hi oi cng t do th mong i s c nhu cu t hn cho khon DTNH v h s tc ng ca bin ny s ngc chiu (mang tnh ph nh). Nhp khu/GDP c nh gi nh xem xt cc c sc bn ngoi v mong i s cho tc ng cng chiu. Cc bin quy m nh dn s, GDP bnh qun u ngi th hin s giao thng quc t v k vng s cho tc ng cng chiu. Phng php trong ngn hn Trong m hnh hi quy c in chng ta gi thuyt rng sai s ngu nhin c k vng bng 0, phng sai khng i v chng khng tng quan vi nhau. Xt bin s l cc chui thi gian, thng bao gm cc yu t: (i) Xu th; (ii) Ma; (iii) Yu t chu k; v (iv) Thnh phn bt quy tc. Trong yu t xu th biu hin kh r nt trong cc chui s liu kinh t. Trong trng hp nh vy nu c lng m hnh s dn n mt vi hu qu. Mt trong cc gi thuyt ca m hnh hi quy c in l cc bin c lp l phi ngu nhin, chng c gi tr xc nh. Nu chng ta vn c lng th gi thuyt s b vi phm. Vn khc lin quan n tnh khng dng l khi phn tch chui thi gian l vn tng quan gi mo. Nu m hnh c t nht mt bin c lp khng dng, bin ny th hin mt xu th tng (gim) v bin ph thuc cng nh vy, th khi c lng m hnh c th chng ta c c cc h s c ngha thng k v R2, nhng iu ny c th l gi mo, R2 c th l do hai bin u c cng xu th. Do , hi quy c cng thc trn th u tin chng ta kim nh xem chui s liu c tnh dng hay khng. Phng php kim nh l kim nh n v32:
32

Xem thm phn ph lc kim nh n v

43

Bng 2.6 Kim nh n v cc bin m hnh Buffer Stock ADF test Ho: Bin c tnh dng Bin Tnh dng ti ban u Tnh dng ti sai phn bc nht -2.80*

Dn s PPP -0.09** Im/GDP -1.08** Bt n t gi -0.82*** Bt n xut khu -0.86** Chnh lch li sut -1.11* D tr ngoi hi -1.26* Php kim nh c da trn tiu chun AIC * ** *** C ngha ti mc 1% C ngha ti mc 5% C ngha ti mc 10%

Ngun: Tc gi tnh ton T kt qu kim nh tnh dng, ta iu chnh chui s liu ly chui c tnh dng v tin hnh hi quy theo phng php OLS v c c kt qu c lng nh sau: Bng 2.7: Kt qu c lng theo m hnh Buffer Stock Bin C Dn s PPP Nhp khu/GDP bt n t gi bt n xut khu Li sut R R iu chnh
2 2

H s -16.30268 7.149273*** 0.823433*** 0.847315*** 2.848426 -2.102686 12.34051

lch chun 7.489431 5.446633 0.963771 0.454455 30.80631 29.02169 68.56844 0.980346 0.968554

Thng k t -2.176757 1.312604 0.854386 1.864463 0.092462 -0.072452 0.179974

Ghi ch * ** *** C ngha ti mc 1% C ngha ti mc 5% C ngha ti mc 10%

44 Hay c th vit li cng thc: Ln (DTNH) = -16.30268 + 7.149273. Dn s + 0.823433. GDP bnh qun u ngi + 0.847315. Nhp khu/GDP + 2.848426. Bt n t gi + -2.102686. Bt n xut khu + 12.34051. Khc bit v li sut. th biu din mc xc nh theo m hnh v gi tr thc ca DTNH:
1.5 1.0 0.5 .2 0.0 .1 -0.5 .0 -.1 -.2 2 4 6 8 10 12 14 16

So Du Gia tri thuc te Gia tri theo mo hinh

Xt tha bin trong m hnh: y l mt ni dung trong kim nh sai dng m hnh. Kim nh ny cho php ta kim nh xem mt nhm bin a vo m hnh c ngha thng k hay khng. Ni cch khc, y l kim nh xem cc h s ca mt nhm bin a vo m hnh c ng thi bng khng hay khng quyt nh c nn loi chng ra khi m hnh hay khng. Bng 2.8: Kt qu kim nh tha bin trong m hnh hi quy Thng k F Bin dn s PPP IM/GDP Bt n t gi Bt n xut khu Chnh lch li sut 1.722929 0.729975 3.476223 0.008549 0.0052 0.032391 Xc sut 0.218642 0.412891 0.091840 0.928157 0.943671 0.860768 Ngun: Tc gi tnh ton

45

Trong tt c cc trng hp nhn chung trong cc trng hp, gi tr ca thng k F l tng i nh, do , trong m hnh khng xc nh c bin tha, hay ni mt cch khc, cc bin s dng trong m hnh l tng i ph hp. nh gi kt qu: Bin dn s: H s theo m hnh l 7.149273, iu ny c ngha khi dn s thay i 1% th nhu cu v d tr ngoi ti s tng ln 7.14%. iu ny c c lng ng nh l thuyt mong i l c tc ng cng chiu vi khon DTNH. Bin GDP bnh qun u ngi: H s theo m hnh l 0.8234, c ngha khi GDP bnh qun y ngi ca Vit Nam tng 1 % th DTNH s tng ln 0.8283%. Kt qu ny tng i nh nhng cng cho thy c mc tc ng ca n ti DTNH v cng ng nh l thuyt mong i l n c tc ng cng chiu. Bin nhp khu trn GDP: h s theo m hnh l 0.8473. Cng ging nh bin GDP bnh qun u ngi, khi T l ny tng 1% th gy tc ng ti DTNH v y mc DTNH tng ln 0.84%, gn bng vi kt qu cyar GDP bnh qun u ngi. V kt qu ny cng phn nh c l thuyt mong i l c tc ng cng chiu vi nhau. Bin li sut c h s l 12.34. Bin bt n t gi v bt n v xut khu c h s ln lt l 2.8484 v -2.1026. Kt qu ny hon ton ngc li vi l thuyt mong i: Vi l thuyt mong i rng li sut v bt n v t gi s cho tc ng ph nh cn bt n xut khu s cho tc ng khng nh hay tc ng cng chiu. Vi kt qu c lng th ngc li, bin li sut v bin t gi cho tc ng cng chiu cn bin bt n xut khu cho tc ng ngc chiu. Thc ra kt qu c lng khi ti p dng Vit Nam cng ging nh kt qu c lng ca Sula v Ozan (2008) khi nh gi nhu cu cho d tr tr ngoi hi cc nc ang pht trin, v kt qu c lng ca Gab-Je-Jo (2007) khi dng m hnh tng t nh gi mc DTNH Hn Quc. iu ny c ngha y l vn chung ca cc nc ang pht trin. Hay c th ni, vi cc nc ang pht trin th cc bin ny th hin cha cao trong vic xc nh DTNH, c th ng gp ca cc bin ny c thc hin qua cc knh truyn dn khc, vn cc nh khoa hc vn cha tm ra. Nhng d c sai lch mt cht so vi l thuyt nhng l phn nh thc t qua m hnh nh lng, n cng c ngha hn khi kt qu c cng mi tng quan vi cc nghin cu khc trn th gii. Nhn li m hnh chng ta thy R2 = 0.98 l mt mc rt cao th hin tnh ng n ca m hnh. iu ny li cng tng thm s tin tng vo m hnh khi nh gi v d bo mc d tr cn thit cho nn kinh t Vit Nam khi trn pht trin kinh t. Vi mc d bo cho tng bin, ta c th d bo c Vit Nam c mc DTNH cn thit cha, cn thiu hay l tha, t a ra nhng chnh sch hp l trong cng cuc pht trin t nc.

46

CHNG 3 D TR NGOI HI CHO GIAI ON 2010 2013 V NHNG XUT CHNH SCH
3.1

Trin vng kinh t

3.1.1 Trin vng kinh t th gii

IMF d bo kinh t th gii trong hai nm 2010 2011 s tng trng mc 3,9% nm 2010 sau khi gim 0,6% trong nm 2009. i vi cc nc pht trin, tc phc hi din ra chm v tng trng ch tr v mc tim nng khi nhng nc ny s dng ht cng sut tha do cuc khng hong gy ra. Trong khi , cc nc mi ni c tc phc hi nhanh hn v c th tr v gn mc tng trng trc khng hong vi mc tng trng l 2,3% nm 2009 v 6,0% nm 2010. Bng 3.1: Trin vng kinh t th gii 2010 - 2011 2009 Th gii Cc nn kinh t pht trin Hoa k Khu vc ng Euro Nht Bn Cc nn kinh t ang pht trin v ang ni Trung quc n Brasil Cc nc ang ni chu ASEAN - 4 -0.6 -3.1 -2.4 -4.0 -5.0 2.3 8.7 5.6 -0.4 5.6 0.9 2010 3.9 2.1 2.7 1.0 1.7 6.0 10.0 7.7 4.7 8.1 4.6 2011 4.3 2.4 2.4 1.6 2.2 6.3 9.7 7.8 3.7 8.0 5.2

Ngun: Trin vng kinh t th gii - IMF 3.1.1.1 Kinh t M:

Nn kinh t M kt thc nm 2009 vi du hiu lc quan v s phc hi theo m hnh ch "V" (tng trng GDP qu 3/2009 t 2,8% v d bo t 3,5% trong qu 4/2009 sau 5 qu suy gim lin tip). Tuy nhin, tng trng GDP ca M nm 2010 ch t 2,7% do cc khon n ng ln trong khu vc ti chnh v h gia nh. V nguy c i vi nn kinh t M, t l tht nghip ngy cng gia tng s gy cn tr n s phc hi k vng v chi tiu cho nh v tiu dng; v nu lm pht trong di hn tip tc gim c th xy ra tnh trng gim pht nghim trng hn d kin.

47 3.1.1.2 Khu vc s dng ng Euro

Nn kinh t ang phc hi nh nh xut khu sang cc th trng mi ni phc hi mnh m (d bo xut khu rng s ng gp vo 0,8% tng trng GDP ca khu vc ny trong nm 2010). Tuy nhin, do ng Euro ang mnh ln (d bo t 1,6 USD vo qu 4/2010) v cc iu kin tin t bt u c tht cht, nn kinh t cc nc s dng ng Euro s ch tng trng mnh tr li vo cui nm 2011. D bo, tng trng GDP ca khu vc ny l 1,0% nm 2010 v 1,6% nm 2011; lm pht thng l 0,3% nm 2009; 1,2% nm 2010 v 1,5% nm 2011. n qu 3/2010, li sut trn th trng tin t khu vc ny s tng do cc ngn hng trung ng chu u ang c du hiu tht cht tin t. Chnh ph cc nc trong khu vc s dng cc gi h tr chm hn do bin php ny ng vai tr qua trng trong n nh kinh t. S phc hi gi hng ho v s v hn na trong h thng ngn hng l ri ro chnh i vi trin vng ca cc nc s dng ng Euro. Nu gi tr ng Euro thp hn d kin, nn kinh t cc nc khu vc ny s tng mnh tr li vo nm 2010 . 3.1.1.3 Chu (tr Nht Bn)

Vic cc nh hoch nh chnh sch chu thc hin gi chnh sch v m ni lng ln nht t trc n nay (li sut c bn bnh qun trong khu vc gim 3%, tng thm ht ti kho tng 3,6% GDP trong giai on 2007-2009) gip kinh t chu phc hi nhanh hn so vi cc khu vc khc v n nm 2009, chu lc ny ang dn chuyn t m hnh tng trng nh xut khu sang m hnh tng trng nh nhu cu ni a. Kinh t chu s tng trng 8,3%/nm trong giai on 2010-2011, trong , Trung Quc tip tc phc hi nhanh (do u t v tiu dng tip tc bng n), dn u v tng trng (10,2%) v h tr cc nc khc cn li trong khu vc (thng qua nhp khu hng ho thng thng p ng nhu cu tiu dng, c tnh khong 500 t USD nm 2009). Cc nc chu tip tc dng cc bin php hnh chnh kim ch lm pht gi bt ng sn ang tng nhanh thay v tht cht chnh sch tin t s gy ra mt s nguy c sau: N xu gia tng v xy ra tnh trng bong bng bt ng sn; Gi ng ni t di gi tr bng cch tng tch lu d tr ngoi hi c th khuyn khch nn u c i cc ng tin ny tng gi; Kim sot vn s gp kh khn do cc tho thun hon i ng tin trong khu vc tng i nh (120 t USD). D bo, trin vng tng trng ca chu c th xu i nu gi du bng n tr li v kinh t cc nc nhm G-3 mt ln na sp .

48 3.1.1.4 Nht Bn

Tng trng GDP ca Nht Bn s chm li trong na u nm 2010 do ng Yn tng gi khin xut khu chm li v Chnh ph Nht Bn dng cc gi kch thch v s tng trng n nh tr li trong na cui nm 2010 nh xut khu sang cc nc chu tng. Nu ng Yn tng mnh, kinh t Nht Bn s tng trng chm hn d bo, buc Chnh ph Nht Bn thc hin cc chnh sch ti kho v tin t mnh hn trong nm 2010 (c th thc hin gi kch thch b sung vo ma xun nm 2010). Tnh trng gim pht, xut hin Nht Bn nm 2009 do tha cung, s ch c th c gii quyt trong nm 2010. 3.1.1.5 Trung Quc

Nm 2010, kinh t Trung Quc s t mc tng trng cao nht (10,%) trong u t mang li 6,6% tng trng GDP; ng gp ca tiu dng c nhn vo tng trng GDP tng t 4% ln 4,4% GDP; tiu dng ca Chnh ph ng gp 1,5% GDP; tng trng xut khu t 11% v tng trng nhp khu t 20%, khin thm ht thng mi s l 2,4%. Lm pht theo gi sn xut s mc 6% (ch yu do nhu cu v nguyn liu th v hng ho, vn cho u t tng mnh), lm pht theo ch s gi tiu dng s mc 2,5% trong nm 2010. Cc chuyn gia nhn nh, thi gian ti Trung Quc s i mt vi mt s nguy c sau: Nu tht cht chnh sch tin t, Chnh ph Trung Quc c th lm gim tng trng ca nc ny trong nm 2010. Trung Quc c th s phn ng qu mc trc tnh trng nng ln nhanh chng ca nn kinh t, lm cho tng trng GDP c th thp hn d kin. Tnh trng tha thanh khon c th gy lm pht v bong bng bt ng sn. Mt s kin cho rng, thi gian ti, ch c 5% kh nng Chnh ph Trung Quc s tht cht mnh chnh sch tin t khi Ngn hng trung ng nc ny p dng hn ngch cho vay v gii hn hn ngch cho vay xung di 7-8 nghn t Nhn dn t, iu ny s tc ng mnh n nn kinh t Trung Quc do nhu cu u t ln; c n 95% kh nng Trung Quc thc hin tht cht va phi chnh sch tin t (d bo tng 0,81% li sut c bn, 1% t l d tr bt buc). Theo cc chuyn gia, nm 2010 s l c hi Chnh ph Trung Quc thc hin ci cch c cu nng cao cht lng tng trng. 3.1.2 Trin vng kinh t Vit Nam

Nhng phn hi chnh sch mnh m v kp thi gip nn kinh t vt qua cuc suy thoi ton cu, cho php kinh t tng trng tng i cao vo nm 2009. Tng trng GDP c d kin tng mnh vo nm 2010 v 2011, mc d khng t ti mc tng nhanh nh nhng nm 2001 2007. Nhng p lc ph gi v lm pht c hnh thnh cui nm 2009 phn no do cc chnh sch kch thch kinh t. D bo lm pht s tng nhanh vo nm 2010.

49 3.1.2.1 Trin vng GDP

Khi Vit Nam hon thnh k hoch pht trin Kinh t X hi 2006 2010 vi mc tiu nhm a Vit Nam tr thnh nn kinh t c thu nhp trung bnh th thch thc hin ny l va phi y mnh tng trng kinh t va bo m n nh v m. Chnh sch ti chnh phn no c tht cht hn: ngn sch nm 2010 nhm vo mt mc tng thm ht ti chnh hp hn vo khong 8.3% GDP. V mt tin t, tr cp li sut cho cc khon vay ngn hn kt thc, nhng tr cp vn c duy tr cho nhng khon vay trung hn cho mt s ngnh c la chn mc gim 2% im. Ngn hng Trung ng cng loi b trn li sut cho vay trung v di hn vo thng 2 nm 2010, cho php cc ngn hng tng li sut cho vay. Ngoi vic tng li sut c bn vo cui nm 2009, cc nh chc trch t mc tiu tng trng tn dng trong nm 2010 di 25%, di mc tng trng thc t 39.6% ca nm ngoi. Hnh 3.1: GDP d bo ca Vit Nam

Ngun: ADB Trn cc gi nh ny, tng trng GDP d kin tng tc ln 6.5% vo nm 2010 v 6.8% vo nm 2011. Mc tng d kin trong lung kiu hi v thu nhp s tng tc tng trng tiu dng t nhn. Vic ci thin v cng c cc iu kin ti chnh ton cu s mang li mt s ci thin trong dng vn FDI v u t ti chnh nc ngoi. ng thi, tng trng tiu dng x hi v u t ti chnh trong nc s mc va phi do s suy gim trong chi tiu ngn sch v tn dng ngn hng cht ch. S mnh ln ca nhu cu bn ngoi d kin gp phn thc y tng trng nng nghip sn xut trong c hai nm 2010 v 2010. Sn lng du c th s vo khong 16.5 triu tn trong nm 2010 nhng gim vo nm 2011 do sn lng cc gings du c gim i. Ngnh xy dng s b gim st tng trng do s suy yu ca u t ti chnh trong nc. Ngnh dch v d kin s c hng li t vic m rng cc hot ng ngoi thng v lng khch du lch tng ln.

50 3.1.2.2 Trin vng lm pht

Lm pht trong nm 2010 c d bo s tng tc mc trung bnh khong 10.0%, do s tng trng nhanh chng ca cung tin trong nm 2009, vic ph gi ng tin Vit Nam, v s gia tng d kin trong hot ng kinh t v gi c hng ha th gii vo nm 2010. Lm pht tng ln 8.5% trong qu u tin ca nm 2010 so vi cng k nm ngoi. Gi nh chnh sch tin t v ti chnh c tht cht nm nay, lm pht c th gim xung khong 8.0% vo nm 2011. Hnh 3.2: D bo lm pht

Ngun: ADB 3.1.2.3 Trin vng xut khu

Xut khu s tng vo nm 2010 do s tng cng nhu cu bn ngoi. Du lch v cc lng kiu hi d kin tng ln do tnh hnh kinh t ca cc nn kinh t cng nghip c ci thin. Tuy nhin, nhp khu s tng hn xut khu do s gia tng d kin ca tng trng trong nc v gi nhp khu cao hn. Thng mi vi Trung quc c k vng m rng nhanh chng ngy lc ny sau khi hip nh thng mi t do gia Trung Quc v hip hi cc nc ng Nam c hiu lc t ngy 1 thng 1 nm 2010. Theo , d kin thm ht ti khon vng lai s ni rng mt cht ti mc 7.6% GDP vo nm 2010. 3.1.2.4 Trin vng FDI

Dng vn FDI s phc hi, do iu kin ti chnh ton cu c ci thin. Lung u t gin tip c th vn quy m nh v lung ra ca vn ngn hn s c th mc va phi. Ti khon vn c k vng s c thng d v v tr cn cn thanh ton gn vi mc cn bng, vi iu kin duy tr c nim tin v n nh kinh t v m trung hn v mc d tr ngoi hi chnh thc t thay i. Trong nm 2011, mt s tng trng nhanh hn d kin trong xut khu, du lch v kiu hi ko theo thm ht ti khon vng lai mc 5.5% GDP. Lung vn cng tng do

51 phc hi ton cu. Cn cn thanh ton tng th c d kin s trong thng d vo nm 2011, nng mc d tr chnh thc. Cng c mt s ri ro t trong nc i vi trin vng kinh t trn. Nu chnh sch tin t v ti chnh khng tht cht mt cch y , lm pht c th tng ln mc d kin v thm ht ti khon vng lai hin ny s xu i (GDP tng trng trong nm 2010 c kh nng s vt qua d bo). Lm pht tng mnh v cn cn thng mi xu i c th i hi chnh sch tht cht t ngt vo nm 2011, ko theo tng trng GDP di mc d bo. Chc chn, hai t lm pht cao trong vng 3 nm (lm pht trung bnh 23% trong nm 2008) s xi mn nim tin kinh doanh v tiu dng, v cn tr n lc xa i gim ngho 3.2

D bo khon d tr ngoi hi cho giai on 2010 n 2013

3.2.1 Theo tiu chun W-K

nh gi c mc d tr ngoi hi hp l theo tiu chun W-K, chng ta cn d bo c cc bin n ngn hn, lng cung tin M2 t xc nh c khon iu chnh ca M2, v ri ro quc gia ca Vit Nam cng trong giai on ny. 3.2.1.1 D bo tng n Vit Nam Bng 3.2: Tng n trn GDP
Nm Tng n/GDP (%) 2000 41,1 2001 38,7 2002 38,0 2003 40,4 2004 39,7 2005 36,3 2006 33,2 2007 34,1 2008 28,2 2009 34,8

Ngun: Tc gi tnh ton trn s liu ADB D trong thi gian qua, n ca Vit Nam c xu hng tng, nhng nhng quan st ch ra, t l N/ GDP khng bin ng nhiu, n trung bnh chim 36,4% GDP (Ngoi tr nm 2008 do khng hong). V vy, ti s s dng gi tr trung bnh 36,4% lm gi tr tiu chun tnh ton cho nhng nm sau, vi d bo GDP ly t BMI: Bng 3.3: Kt qu d bo tng n 2009 GDP (t USD) N/ GDP N (T USD) 85,7 36,40% 33,65 2010 96,1 36,40% 37,54 2011 108,1 36,40% 42,14 2012 123,7 36,40% 46,95 2013 138,5 36,40% 52,21

Ngun: Tc gi tnh ton v t BMI

52 3.2.1.2 D bo n ngn hn Vit Nam.

N ngn hn Vit Nam trong 2 nm 2007, 2008 khng c nhiu bin ng. Nhng nghin cu gn y cng cho thy n Vit Nam trong nhng nm tip theo s tng i n nh nn chng ti s s dng t s N ngn hn/N di hn nh c s d bo n ngn hn trong tng lai. T s trung bnh tnh t 2 nm qua l 19.3%. Bng 3.4: D bo n ngn hn T USD N (T USD) N ngn hn (T USD) N ngn hn/ N (%) 2007 24,22 4,69 19,35 2008 25,32 4,87 19,23 2009 31,90 6,16 19,30 2010 37,54 7,24 19,30 2011 42,14 8,13 19,30 2012 46,95 9,06 19,30 2013 52,2 1 10,0

8 19,3 0 Ngun: BMI

3.2.1.3

D bo M2

Giai on 2001-2008, trong khi GDP tng tng ng 7,5%/nm th cung tin c m rng t mc bnh qun rt cao vi mc 26,7% nm. Chnh iu ny l yu t gy nn mc lm pht cao cha k tr v ly tch ca vic tng cung tin i vi nn kinh t trong cc nm k tip. c bit vo nm 2006 l nm trc khi bng n lm pht, tc m rng cung tin t ti nh im 33,6% v cng vi cc yu t khc gp phn lm tng lm pht trong nm k tip. Nm 2009, vic iu hnh ca Ngn hng Nh nc c v khoa hc hn nh vic tip thu c cc bi hc t nhng nm trc. Mi y Ngn hng Nh nc t ra mc tiu gii hn tng tng phng tin thanh ton trong khong 25%, tn dng tng t 25% n 27%. Theo BMI mc tng ca lng cung tin trong cc nm ti s tng u mc 20% so vi nm trc. Bng 3.5: D bo M2 Nm Tng M2 (%) Gi tr M2 (T USD) 2009 20 118.33 2010 20 142.00 2011 20 170.40 2012 20 204.48 2013 20 245.37 Ngun: BMI 3.2.1.4 Tnh ton khong d tr hp l

T cc kt qu d bo chng ta c c bng tnh d tr ngoi hi theo phng php W-K nh sau:

53

Bng 3.6: Kt qu d bo DTNH theo tiu chun W-K Nm N ngn hn A 2010 2011 2012 2013 7.24 8.13 9.06 10.08 142.00 170.40 204.48 245.37 M2 Khon iu chnh M2 Nh Ln nht nht b1 b2 14.20 17.04 20.45 24.54 28.40 34.08 40.90 49.07 Ri ro quc gia c 0.67 0.67 0.67 0.67 DTNH theo W-K Nh nht a+(b1xc) 16.75 19.55 22.76 26.52 Ln nht a+(b2xc) 26.27 30.96 36.46 42.96

Ngun: Tc gi tnh ton Trong , ri ro quc gia Vit Nam xem nh khng thay i trong sut giai on 2009 n nm 2013. 3.2.2 Theo m hnh Buffer Stock

Theo nh BMI chng ta c c cc d bo v dn s, GDP bnh qun u ngi, nhp khu trn GDP, xut khu v t gi hi oi trong giai on t 2009 n 2013 nh sau: Bng 3.7: D bo cc bin cho m hnh Buffer Stock Dn s 2009 2010 2011 2012 2013 88.00 89.20 90.40 91.60 92.80 PPP 3,032.00 3,123.00 3,214.00 3,305.00 3,396.00 IM/GDP 0.79 0.78 0.77 0.74 0.72 Bt n t gi 0.015 0.015 0.015 0.015 0.015 Bt n xut khu 0.061 0.062 0.064 0.064 0.064

Ngun: BMI v tnh ton ca tc gi Trong mc bin ng (bt n) xut khu v nh theo cch tnh c trnh by trong phn trc s khng s liu tnh, nn ti s ly trung bnh ca nhng nm trc lm thc o. V mc bt n t gi do theo nh gi ca cc t chc quc t th t gi ca Vit Nam s cn nhiu bin ng nh nhng g c th hin trong nm 2008 nn trong phn ny, ti s ly mc bin ng c tnh cho nm 2008 lm mc tnh cho cc nm tip theo.

54 3.2.2.1 D bo li sut ca Vit Nam.

Trong phn trc, khi c lng m hnh Buffer Stock, xc nh chi ph c hi ti c dng li sut chit khu ca Vit Nam. d bo cho li sut chit khu l iu rt kh, trong khi d c sai lch cht t nhng xc nh chi ph c hi da trn mc li sut ny Vit Nam khng khc bit ln so vi li sut chit khu. Nn trong phn ny, ti s d bo mc li sut c bn v dng vo m hnh tnh ton mc d tr hp l cho Vit Nam. Li sut c bn l c s cc Ngn hng tnh ton li sut huy ng v cho vay. Theo l thuyt v Chi ph c hi, ngi dn ch gi tin vo Ngn hng khi li sut h nhn c t nht phi b p lm pht trong cng khon thi gian. V vy, v l thuyt, trn li sut tin gi s khng nh hn t l lm pht, m bo li sut thc dng. T , chng ti ngh quy trnh d bo li sut c bn ca Vit Nam nh sau:

Bng 3.8: D bo li sut 2007 Lm pht Trn LS huy ng Li sut c bn Li sut thc t Sai lch 12,6% 12,6% 2008 19,9% 19,9% 2009 6,5% 6,5% 4,33% 7% 2010 12,5% 12,5% 8,33% 8% 2011 8% 8% 5,33% 2012 5% 5% 3,33% 2013 5% 5% 3.33%

8,40% 13,27% 8,25% 14,00% -0,15% 0,73%

2,67% -0,33% Ngun: Tc gi tnh ton

Thc t cho thy, d bo bng phng php ny vn c nhng sai lch nht nh. Tuy nhin, ngoi tr nm 2009, s chnh lch ng k (2,67%) do cc iu kin v m thay i mnh trong thi k khng hong gy ra sai s ln trong cng tc d bo; cc nm cn li, sai lch thng di 0,7%. iu chng minh rng khi nn kinh t n nh, phng php

55 d bo ny ng tin cy. Do ti s ly kt qu ny, cho cc nm tip theo, ring nm 2009 s ly theo li sut thc l 7%. 3.2.2.2 D bo li sut M.

Trong phn trc, ti trnh by s dng li sut ca tri phiu M k hn 1 nm, v s liu cho thy mc li sut ny trong gn 20 nm va c t bin ng, do , phn d bo ca li sut ny s c tnh bng cch ly trung bnh ca cc nm trc . T vic tnh ton v d bo cho cc bin trong m hnh Buffer Stock chng ta c c bng tnh ton bin nh sau (cch tnh nh khi tnh ton chy m hnh ny, l ly logarit tt c cc bin): Bng 3.9: Cc bin tnh ton cho m hnh Buffer Stock Dn s 2009 2010 2011 2012 2013 1.94 1.95 1.96 1.96 1.97 PPP IM/GDP Bt n t gi 0.015 0.015 0.015 0.015 0.015 Bt n xut khu 0.058 0.062 0.064 0.063 0.064 Khc DTNH bit li sut 0.023 0.022 0.023 0.023 0.024 1.337 1.368 1.406 1.441 1.486

3.48 3.49 3.51 3.52 3.53

0.79 0.78 0.77 0.74 0.72

Ngun: Tc gi tnh ton 3.2.2.3 Tnh ton khong mc DTNH hp l

T kt qu log10 (DTNH) nh trn ta tnh c mc DTNH bng s t la: Bng 3.10: Kt qu d bo D tr ngoi hi 2009 -2013 Nm DTNH (t USD) 2009 21.727 2010 23.335 2011 25.468 2012 27.606 2013 30.619

So snh kt qu ca m hnh Buffer Stock vi tiu chun W-K:

56

Hnh 3.3 Mc d tr ngoi hi hp l cho Vit Nam giai on 2010 - 2013

Ngun: Tc gi tnh ton Trn th trn, ng t mu cam v mu xanh chnh l mc thp nht v cao nht trong bin hp l ca DTNH theo tiu chun W-K xc nh cho Vit Nam giai on 2009 2013. ng mu l mc xc nh theo m hnh Buffer Stock. T kt qu ny cho thy, trong giai on 2009 n 2013 th mc hp l theo m hnh Buffer Stock l nm trong vng ca tiu chun W-K vng c xem l hp l, iu ny mt ln na khng nh tnh ng n ca c hai m hnh. C hai cch u a ra kt qu giao thoa vi nhau trong vic xc nh mc DTNH hp nht cho Vit Nam trong giai on pht trin sp ti, to s tin tng hn trong vic p dng cc m hnh ny. 3.3

Nhng xut kin ngh

3.3.1 nh gi kt qu ca m hnh xc nh mc d tr

Nhn nhn li vn , m bo cho nn kinh t c pht trin mt cch bn vng khi hi nhp sau rng vo nn kinh t th gii th DTNH , ang v s l yu t khng th thiu i vi bt k quc gia no. Kt qu thc nghim cng cho thy tc ng ca DTNH ln cc thnh phn khc ca nn kinh t rt quan trng, nn vic xc nh mc hp l l iu ht sc cn thit. Nm gi DTNH lm cho quc gia chng li vi nhng c sc bt ng t bn ngoi vo, tng v th ca quc gia. Trong tin trnh t do ha ti chnh, bc cao nht l t do ha ti khon vn, khi iu ny din ra tc l ngun vn c lu chuyn t do gia quc gia vi nn kinh t th gii, hot ng u t v rt vn c th din ra mt cch kh kim sot hn, nn mt mc d tr cao s bo m c tnh n nh ca t nc.

57 Cng vi lun im trn, kt hp vi xu hng ca DTNH theo d bo cho giai on 2010 2013 th c th thy m hnh cho nhng kt qu tng i ph hp khi mc DTNH cn thit tng dn theo thi gian. 3.3.2 Khc phc nhc im ca m hnh

Do vic gp kh khn v s liu nn trong cc m hnh chng ti ch s dng s liu theo nm xem xt, do , hiu qu ca vic xc nh mc d tr ngoi hi hp l l cha cao chng hn nh: tng cung tin M2, chnh lch li sut ca M v Vit Nam, s liu xut khu, s liu t gi. Trong khi m hnh ny s hiu qu hn khi c x l di dng d liu hng qu hoc tt hn na n nn c xem xt di d liu hng thng. Ngoi ra, khi x l s liu vi dng ny, s c mu quan st cho cc bin v t c th kim nh nh gi mi tng quan trong di hn iu m m hnh trong phn trnh by ca chng ti khng th thc hin v khng c mu. Ngoi ra, mt vn t ra l cht lng v tnh y ca d liu x l. Trong bi nghin cu ny, chng ti thu thp s liu t nhiu ngun khc nhau, do , vic xut hin lch vi cc nghin cu khc l khng th trnh khi. Chnh v vy, m bo cho vic hot ng tt v a ra kt qu nh gi chnh xc nht ca cc m hnh, cn thit phi c mt trung tm x l d liu p ng yu cu cho m hnh c v s lng cng nh chnh xc. M hnh ny c xy dng v s dng cc nc khc trn th gii, do , khi p dng vo Vit Nam c kh nng c s khc bit v tnh cht ca mi nn kinh t l khc nhau. y l vn tn ti m chng ti cha gii quyt mt cch cn k, t chng ti hy vng vi nhng nghin cu su hn v ch ny, c th gii quyt tt nht cho nhng vn m chng ti va nu ra. 3.3.3 3.3.3.1 Nhng khuyn ngh V mt tng qut - Khuyn ngh v chnh sch v m

Chnh sch d tr ngoi hi: V s lu chuyn vn ngy cng ln trong qu trnh hi nhp kinh t Vit Nam, chnh sch v d tr ngoi hi cng tr nn quan quan trng hn bao gi ht. Vi vai tr l mt phng tuyn bo v, mc d tr ngoi hi ti u khng ch gn lin vi vic nhp khu m phi c xem xt trong mi tng quan vi cc dng vn chy vo. Nhnng d tr ngoi hi nn ln hn nu ti khon vng lai ang thm ht ln, nu t gi c c nh (do nn kinh t d b tn thng hn), hoc nu nn kinh t c xu hng i ti s bt n trong qu kh. l bi s ph thuc vo hng ha v tnh chu k ca cc c sc thng mi. Bn cnh , chc chn s lng ti u ca d tr ngoi hi cn phi xem xt trong mi quan h vi chi ph c hi khi nm gi chng. i vi d tr ngoi hi, rt kh khn tnh ton c khi lng d tr cn thit, nhng vi vic ng dng m hnh nh trong cc phn trn c th gi cho cc nh lm chnh sch c phn no. Ni nh vy, nhng chng ta cn trnh tnh trng nhng ngi lm lut,

58 bao gm c cc vin ti chnh quc t u c khuynh hng nh gi thp s lng cn thit i ph vi cc tn thng bn ngoi, v mi khi mc d tr c nhn thy l cao, s c rt nhiu nhng sc p ln yu cu s dng chng cho nhiu nhu cu ngay lp tc, hn l cho php tch ly, chng li cc cuc tn cng u c sau . Chnh sch ti kha v chnh sch tin t: Cc chnh sch a ra nn da trn nn tng tng cu ca nn kinh t trnh vic tha thi thi qu trong tn dng ni a v rt ngn s l thuc vo tn dng nc ngoi. Hin ny t s cung tin M2/GDP ca Vit Nam gia tng nhanh chng, cho thy chiu su ti chnh ang gia tng mnh m, iu ny cng ng ngha vi s mng manh d v ca h thng ti chnh. T tiu chun W K t phn trnh by trn, th mc d tr ngoi hi phi bao ph c mc n ngn hn v phn iu chnh ca M2, nu nh lng M2 tng ln nhanh chng, iu ny gy p lc ln mc d tr ngoi hi hp l cho nn kinh t, v lng d tr ny tng khng v tha mn c nh tiu chun ny a ra th c th to nn mt iu khng tt v gia tng ri ro cho quc gia. Do , t nhn nhn ny c th thy rng, Vit Nam cn c chnh sch iu chnh lng cung tin cng vi tng trng tn dng qu nng, iu ny tuy s l gim s m rng ca nn kinh t nhng n gip cho cn cn ti khon vng lai li ngy cng lnh mnh hn, ng thi lm chm qu trnh tch t n nc ngoi ngn hn vi tch t d tr ngoi hi. Chnh sch t gi hi oi: Nhng quc gia c thm ht ti khon vng lai ln thng da vo dng vn chy vo cn bng cn cn i ngoi ca h. Nu cc nh u t mt i nim tin vo gi tr tin t th d th no vic o chiu ca cc dng vn l iu khng th trnh khi. Trong thi gian qua, NHTW thng dng ngun d tr ngoi hi m bo c t gi ph hp, tuy nhin iu ny lm gim i ngun d tr ngoi hi ca NHTW. Cho nn, iu quan trng trong vic iu hnh chnh sch t gi hin ny l c gng xy dng c mt chnh sch thch hp, tng bc n nh t gi trnh lm tng p lc ln vic gim ngun d tr ngoi hi. S t do ha ti khon vn: Vic t do ha ti khon vn gip cho cc t chc ti chnh c c hi tip cn vi cc khon tit kim nc ngoi gi r, nhng c th gy tnh trng mt cn i trong bng cn i ti sn c v n. Dng lu chuyn vn t do qu mc c th l nguy him nu nn tng nguyn tc v chnh sch gim st yu. Trong qu trnh t do ha, DTNH ng mt vai tr ht sc quan trng, nh l mt tm m gim sc trc nhng thay i ngy cng t do ca lung vn trong nn kinh t. Tuy nhin, nu t do ha qu nhanh cc ti khon vn s rt l sai lm v phi chu ci gi phi tr m chng ta cha lng trc ht c. Cho d lc mc d tr ngoi hi c ln bao nhiu cng s phi cn kit, v h ly cho nhng thnh phn khc l iu rt ng s. V vy, Vit Nam cn phi xy dng mt l trnh t do ha cc ti khon vn hp l ph hp vi tng giai on ca h thng ti chnh.

59 3.3.3.2 Nhng kin ngh c th

Xy dng m hnh qun l d tr ngoi hi thch hp: Cn xy dng quy trnh qun l d tr ngoi hi khoa hc theo thng l quc t: Qun l d tr ngoi hi cn c thc hin y theo cc bc sau: (i) Xy dng chnh sch, chin lc qun l d tr ngoi hi; (ii) Xy dng tiu chun, hn mc v c cu u t d tr ngoi hi; (iii) Xy dng k hoch u t d tr ngoi hi v thc hin u t; (iv) Thanh ton, k ton v bo co; (v) Kim sot v phng nga ri ro; (vi) Phn tch, nh gi qu trnh thc hin. p dng phng php, k thut qun l hin i trong vic u t d tr ngoi hi c c c cu d tr ngoi hi hp l nhng vn ti a ho mc sinh li trong vng ri ro cho php.Tun th ba nguyn tc c bn ca qun l d tr theo th t u tin: An ton (security), Thanh khon (Liquidity) v C li nhun. Qun l ri ro v p dng cc cng c phng nga ri ro: Hon thin cng tc kim tra, gim st ni b ngn hng Nh nc v hon thin ch hch ton, k ton: Cng tc o to cn b qun l: Thnh lp n v chuyn trch qun l d tr ngoi hi Cng khai kha s liu d tr quc t tng tnh minh bch trong qun l d tr ngoi hi, to lp nim tin ca dn chng vo vic n nh t gi v tng cng vic thu ht vn u t nc ngoi. Gia tng d tr ngoi hi: Gim p lc ln D tr ngoi hi: T m hnh Buffer Stock cho ta thy, gim p lc ln d tr ngoi hi th iu chng ta c th lm l gim bt n xut khu v bt n t gi. V t gi th NHNN phi c mt chnh sch iu chnh t gi thch hp, khng cho nhng bin ng ngoi mc mong i xy ra, thm ch l bin ng giai on cng gay kh khn ln d tr ngoi hi. V xut khu, C chnh sch khuyn khch xut khu vi cc thnh phn kinh t, v hn ch ti a nhng bin ng ln trong gi tr xut khu, hay c th ni l cn c phng php v bin php gii hn trong kh nng chp nhn c ca nhng bin ng . Cn bng xut nhp khu: C th ni Ti khon vng li thm ht trong giai on va qua khng ng gp c nhiu vo ngun d tr ngoi hi. Do vy, chng ta phi c chnh sch thch hp trong vic gim t trng nhp khu v tng t trng nhp khu, t vi ngun thu ngoi t c th ng gp vo ngun d tr ca quc gia. Tng cng thu ht FDI v FPI: Trong thi gian qua thng d trong ti khon vn chnh l nhn t chnh ng gp vo lng DTNH vi s gia tng cao ca ngun vn u t trc tip nc ngoi. Cho nn trong giai on sp ti, i i vi vic ci thin cn cn ti khon

60 vng lai th phi tip tc c nhng bin php thu ht FDI, ngun vn quan trng trong vic pht trin kinh t. Ni nh th khng c ngha l chng ta thu ht mt cch khng c t chc, m iu quan trng hn ht chnh l thu ht v qun l c chng, khng c nhng lung vn o chiu ngoi mong i, khi s c nhng hu qu s rt ln. Do , cn tip tc ci thin mi trng u t, m bo huy ng ngun vn t cc thnh phn kinh t, gim thiu thi gian, chi ph, nhng phin h v th tc hnh chnh cho cc nh u t. Kp thi gii quyt, tho g nhng kh khn trong cc hot ng sn xut kinh doanh. Xy dng c ch chnh sch ph hp v cc gii php kp thi thc y s pht trin ca th trng vn, lao ng, cng ngh Kim sot lng kiu hi: tng cng ht lng kiu hi, v c nhng chnh sch kim sot cht ch chng. C th nghim cm cc dch v kiu hi khgn qua ngn hng, ngi th hng kiu hi khng c lnh kiu hi bng ngoi t tin mt v phi bn ton b cho ngn hng ly tin mt theo t gi bn, Ngi th hng kiu hi khi c yu cu chuyn ngoi t ra nc ngoi c quyn mua ngoi t theo t gi mua, ri thc hin chuyn qua ngn hng. Thu ht lng ngoi t trong nhn dn: Theo ngn hng th gii nh gi, Vit Nam cn mt lng ln ngoi t nm trong tay nhn dn, c ngha l NHTW khng th qun l v khng th coi l ngun d tr ngoi hi chnh thc ca nh nc. Do , iu cn lm l lm sao thu ht c lng ngoi t ny b sung cho ngun d tr. Tng cng u t sinh li: ng lc ca vic d tr ngoi hi ca cc nc l can thip t gi khi cn thit, p ng thanh khon v thanh ton quc t v tr n khi cn thit nn vic u t d tr phi m bo tnh thanh khon l hng u p ng mc tiu n nh tin t. Sau vi qui m d tr ngy cng tng, NHTW cng phi a dng ha cng c u t sinh li mc cao hn. T kinh nghim ca cc nc in hnh trn th gii, Vit nam vi qui m d tr hin ti cha phi l qu mc nhng cng c tng tng trng mnh trong my nm gn y cng cn c mt s i mi trong cng tc qun l d tr ngoi hi theo hng nng cao hiu qu u t d tr ngoi hi thng qua vic xy dng tiu chun, c cu ng tin hp l hn theo thng l quc t, tng cng cng tc qun l ri ro. Thi gian qua, t trng u t vo tri phiu M ca Vit Nam l kh ln, nhng d tr qu nhiu trn mt ng tin trn mt ng tin cng mang n s bt n. Chng ta cn a dng ho r tin t gim thiu ri ro trong DTNH v: Th nht: Cn cn thanh ton ca M thm ht qu ln, thm ht ngn sch ngy cng trm trng lm nhng nh u t mt nim tin vo ng USD, lo ngi v kh nng tr n

61 ca M (Theo s liu 3/2010, tng n quc gia M l 12,500 t USD33 v thng 12/2009 Trung Quc ln u tin bn tri phiu kho bc M trong hn 15 thng). Th hai: Vi v th ca mt ngoi t mnh, USD c mt trong hu ht cc giao dch trn ton cu v kho DTNH cc nc. iu ny lm cho USD tr nn d tn thng v nhiu i tng c th tc ng vo n, nht l cc quc gia hay cc t chc ti chnh ln. Th ba: Mt s quc gia ch ng thay th USD bng nhng ng tin khc gim s nh hng ca bin ng trong kinh t chnh tr M n quc gia mnh, to nn s cn bng cho th gii. Hng i ti l trnh c th V iu hnh t gi v qun l ngoi hi, NHNN cng cn lp chng trnh vi l trnh tch cc nht, tng bc trit chng USD ho v c chng vng ha. hu thun cho chng trnh ni trn, Chnh ph nn ch o cc b chc nng c c ch gim st, k c c ch cng ch cht ch kim sot vic s dng ngoi t trong thanh ton, lu thng hng ha, dch v ni a; trong tn dng ngoi t v trong vic xut, nhp khu v bun bn vng thanh ton, vng trn ti khon, vng thi trn th trng vng. Ring v c ch iu hnh li sut trong thi gian ny, nn l: nhanh chng t do ha hon ton li sut tn dng u ra, tip tc khng ch li sut huy ng u vo thm mt thi gian ngn na, nhng theo c ch trn mm kt hp vi s dng ti lc thc c ca NHNN trong vic h tr thanh khon cho NHTM gp kh khn trong ngn hn. V t gi, nn sm gn vic iu hnh t gi trong khun kh ca chnh sch qun l ngoi hi ca Nh nc, theo , thc hin chng trnh chng USD ha (chng ngoi t ha ni chung), gim dn, tin ti gim trit tn dng ngoi t trong nc, sm thng nht mt loi t gi, khuyn khch pht trin th trng ngoi t a dng, a phng thc v iu hnh t gi theo nguyn tc th ni, c kim sot, tin ti th ni c iu kin: khng cn ngoi t ha nn kinh t. Nh vy, vic iu hnh chnh sch li sut, chnh sch t gi cn sm da vo nghip v NHTW thay dn vic lin tc ban hnh cc chnh sch. Hi nhp v khng hong s c rt nhiu thun li gip chng ta pht trin kinh t v i i vi l nhng kh khn rt ln, vai tr ca d tr ngoi hi c khng nh, tuy nhin chng ta cn phi c nhng bin php kt hp lm sao pht huy tt vai tr ca mi thnh phn. Vit Nam va tri qua giai on kh khn ca cuc khng hong ti chnh ton cu, trong giai on kh khn nh vy, chng ta cn tnh to v v ch ng trong vic thc hin cc bin php kch thch, cng nh xy dng cc chin lc pht trin mt cch ph hp gip chng ta thot khi khng hong tht nhanh v gi vng c tc tng trng kinh t v n nh chnh tr.
33

IMF cnh bo tnh trng n nn cc nc giu, http://www.vtca.vn/TabId/70/ArticleId/2864/PreTabId/66/Default.aspx

62

THAY LI KT
Mc d chu nhng tc ng bt li ca nn kinh t th gii, nht l cuc khng hong ti chnh ton cu nm 2008, cng vi nhng nhc im mang tnh ni ti, kinh t Vit Nam nm 2009 v nhng thng u nm 2010 vn c nhiu bin chuyn tch cc, v t c nhng thnh tch rt ng khch l. iu cng cho thy, mc hi nhp vo kinh t th gii c bc nhy vt so vi nhng nm trc y. Tuy nhin, nhn nhn mt cch khch quan, Vit Nam cn rt nhiu vic phi lm gii quyt hu qu do khng hong ti chnh mang li, ng thi cn c nhng bin php ph hp khc phc nhng kh khn. Nm 2008, vi nh cao l cuc khng hong ti chnh, l ct mc ng nh i vi chng ta k t khi gia nhp t chc thng mi th gii WTO, n nh l mt chng ngi vt th thch nn kinh t trc khi c nhng bc hi nhp su hn. Trong bi cnh , ngun d tr ngoi hi s l mt trong nhng thc o mnh nht, mc nh hng s ph thuc rt nhiu yu t, c yu t trong nc v ngoi nc. Gii quyt c nhng vn trn s l tin rt tt cho chng ta thot khi khng hong, to c mt tm m gim sc vng chc v c nhng bc pht trin mnh m sau ny. Nhng nghin cu ca tc gi v cc nhn t tc ng, cng nh xem xt cc nh hng ca khng hong ti chnh ton cu, t xy dng m hnh xc nh mc d tr hp l l nhm mc ch cung cp nhng c s a ra mt s xut hng ti ci thin ngun d tr ca Vit Nam ni ring v thc y pht trin kinh t ca t nc ni chung. Nhng chnh sch ph hp s l nhng liu thuc cng hiu gii quyt cc kh khn trong nn kinh t c nhiu ri ro v bt n nh hin nay, nht l sau cuc khng hong c nh gi ln nht trong lch s.

TI LIU THAM KHO

TI LIU TING ANH Andrews, Edmund L. Greenspan concedes error on regulation. New York Times 24/12/2008 Akash Gupta and Rahul Agarwal, How should emerging economies manage their foreign exchange reserves? Atish Ghosh, Manuela Goretti, Bikas Joshi, Uma Ramakrishnan, Alun Thomas, and Juan Zalduendo, Capital Inflows and Balance of Payment Pressure tailoring policy responses in emerging ecomonies, IMF Policy Discussion Paper, 2008 Bo Yu, Xiaojing Zhang, Yuanyuan -School of Management, Harbin Yang Institute of Technology, Analysis of the Causes of China's Foreign Exchange Reserves Increase, 2007 Charles Wyplosz, The Foreign Exchange Reserves Buildup Business as usual?, (Paper prepared for the Workshop on Debt, Finance and Emerging Issues in Financial Integration to be held on 6-7 March 2007 at the Commonwealth Secretariat in London) Charles Wyplosz, The Foreign Exchange Reserves Buildup: Business as Usual?, 2007 Chistopher Mun-Yin Seek, China's Foreign Exchange Reserves: Balancing Consumption with Investments in Treasury Bonds and Sovereign Funds, 1999 Christian Noyer, Foreign Reseves Accumulation: Some systemic Implications, Banque de France, 2007. Christopher J. Neely, Are Changes in Foreign Echange Reserves Well Correlated with Official Intervention?, 2000 Christopher J. Neely, Are Changes in Foreign Exchange Reserves Well Correlated with Official Intervention?, 2009. Cox, Christopher. Swapping secrecy for transparency. New York Times, Week in Review 19/12/2008 Dani Rodrik - Harvard University, The social cost of foreign exchange reserves, 2005 Dr. Marion v. Williams, foreign exchange reserves: how much is enough?, 2007 Dr. N. K. Dashora* Ms Payal Sachdeva, Foreign Exchange Reserve- How Much Is Sufficient, 2008. Duhigg, Charles (2008, October 5). Pressured to take more risk, Fannie reached a tipping point.

Duan Penga and Claustre Bajona 2007: China's vulnerability to currency crisis: A KLR signals approach Goodman, Peter S. v Morgenson, WaMu built empire on shaky loans. New York Times 28/12/2008 Haukur C. Benediktsson and Sturla Plsson, Central bank foreign reserves, 2005 Hon Cheung, Regional Director - Asia, Official Institutions Group, Chinas Foreign Exchange Reserve Allocation, 2005 International Monetary Fund, Balance of Payments Manual, 2005 International Relations Committee Task Force, The Accumulation of foreign reserves, 2006 J. onno de beaufort Wijnholds and Arend Kapteyn: Reserve Adequacy in Emerging Market Economies Kalpana Kochhar, Tessa van der Willigen, Carlos Braga and Vikram Nehru, Vietnam: Joint IMF/World Bank Debt Sustainability Analysis 2008, 2008. Labaton, Agencys 04 rule let banks pile up new debt and risk, New York Times, 03/12/2008 Marc-Andr Gosselin and Nicolas Parent, An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia, 2005 Marion V Williams, Foreign Exchange Reserve - How Much Is Enough, 2005 Martin Oluba N, How should we manage our foreign exchange reserves?, 2008 Mei-Yin Lin and Jue-Shyan Wang, Foreign Exchange Reserves and Infation: an Empirical Study of Five East Asian Economies Mr. Christian Noyer, Foreign Reserve Accumulation: Some Systemic Implications, 2007 Morgenson, Gretchen. After huge losses, a move to reclaim executives, 2009 Nocera, Joe (2008, December 20). How India avoided a crisis. P. Wonnacott, The Canadian Dollar 1948-62, Toronto, 1965. Ph.D Hershey H. Friedman and Ph.DLinda W. Friedman, The Global Financial Crisis of 2008: What Went Wrong? Shin-ichi Fukuda and Yoshifumi Ko, Macroeconomic Impacts of Foreign Exchange Reserve Accumulation: Theory and International Evidence, 2010

Sula, Ozan (Western Washington University), Demand for International Reserves: A Quantile Regression Approach, 2008. Taleb, Nassim N. (2007). The black swan: The impact of the highly improbable Victor Polterovich, Vladimir Popov, Accumulation of Foreign Exchange Reserves and Long-Term Growth, 2003 CC WEBSITE THAM KHO Hi t vn thu Vit Nam <http://www.vtca.vn> Website VnEconomy <http://vneconomy.vn> Ngn hng Nh nc Vit Nam <www.sbv.gov.vn> Qu tin t quc t <www.imf.org> Ngn hng Pht trin Chu <www.adb.org> B k hoch v u t <www.mpi.gov.vn> Bo Doanh nhn Si Gn < http://doanhnhansaigon.vn> Thi bo kinh t Si Gn < http://www.thesaigontimes.vn> Bo khoa hc pht trin < http://www.khoahocphattrien.com.vn> Bo www.vneconomist.net Tng cc thng k http://www.gso.gov.vn Trang thng tin ti chnh kinh t < http://www.cafef.vn>

PH LC 1: GI TR CC NG TIN C D TR TRN TH GII

T USD Th gii USD GBP Mark c Francs Php Yn Nht Francs Thu S Guilder H Lan ECUs Euro Cc ng tin khc Cc nc khc 1995 1,390 610 22 163 24 70 3 3 88 0 49 356 1996 1,566 760 33 180 23 82 4 3 87 0 53 342 1997 1,616 829 33 184 18 73 4 4 77 0 48 344 1998 1,644 889 34 177 21 80 4 3 17 0 57 361 1999 1,782 980 40 88 3 247 22 402 2000 1,936 1,080 42 92 4 278 23 418 2001 2,050 1,122 42 79 4 301 20 480 2002 2,408 1,205 51 78 7 427 28 612 2003 3,025 1,466 62 88 5 559 44 802 2004 3,748 1,751 89 102 4 659 50 1,093 2005 4,303 1,903 102 102 4 684 49 1,459 2006 5,235 2,171 145 102 6 832 60 1,920 2007 6,682 2,642 193 120 6 1,082 76 2,563 2008 7,322 2,699 169 132 6 1,112 93 3,111 2009 8,087 2,838 194 138 5 1,250 142 3,520

Ngun: IMF Khi nim DT khng chnh thc (Unallocated Reserves) o lng s khc bit gia tng d tr bo co cho IFS (International Financial Statistics) v cho COFFER (Currency Composition of Official Foreign Exchange Reserves). Nguyn nhn gy ra s khc bit: c nhng quc gia COFFER khng thu thp c s liu v ch tiu ny cng c s dng trit tiu nhng sai s xy ra trong qu trnh thu thp v thng k.

PH LC 2: CC CH S LIN QUAN N DTNH TNH TRN TON TH GII

T USD GDP DTNH/GDP TKVL 1995 29,649 4.69 (55) 1996 30,373 5.16 (38) 1997 30,245 5.34 9 1998 30,017 5.48 (68) 1999 31,180 5.72 (102) 2000 32,114 6.03 (150) 2001 31,903 6.42 (149) 2002 33,210 7.25 (98) 2003 37,332 8.10 (20) 2004 41,998 8.93 55 2005 45,431 9.47 103 2006 49,155 10.65 254 2007 55,392 12.06 403 2008 61,221 11.96 298 2009 57,937 13.96

Ngun: IMF

PH LC 3: CC CH S LIN QUAN N DTNH TI CC NC MI NI

T USD GDP DTNH/GDP (%) TKVL TKVL/DTNH (%) DPT DTNH/ N(%) FDI FDI/GDP(%) 1995 5,408 8,73 -98 -20,80 1.974 23.92 92 1.99 1996 5,993 9,39 -75 -13,25 2.072 27.17 108 2.23 1997 6,314 9,77 -81 -13,16 2.189 28.18 134 2.77 1998 6,043 10,50 -114 -17,94 2.394 26.52 175 2.95 1999 5,910 11,40 -13 -1,98 2.435 27.67 178 3.15 2000 6,433 11,39 86 11,80 2.369 30.94 186 2.63 2001 6,511 12,56 43 5,30 2.386 34.29 169 2.81 2002 6,675 14,81 87 8,83 2.445 40.45 183 2.61 2003 7,572 16,98 154 11,94 2.662 48.30 174 2.24 2004 8,997 18,97 225 13,20 2.911 58.65 170 2.72 2005 10,746 20,99 466 20,68 3.161 71.36 245 3.18 2006 12,679 23,79 649 21,53 3.483 86.61 342 3.52 2007 15,519 27,63 674 15,72 4.307 99.56 446 4.43 2008 18,950 25,70 723 14,85 4.529 107.54 687 3.84% 4.575 116.96 728 2009 17,881 29,92

Ngun: IMF

PH LC 4: S LIU KINH T V M VIT NAM

1992 DTNH Dn s (t ngi) M2 GDP GNI Tng ngoi n nc 0.47 68.45 2.42 9.87 9.53 24.33 24.43 2.58 2.54 9.02 1.85 1993 0.4 69.64 3.03 13.18 12.68 24.17 30.55 2.99 3.92 10.76 3.14 1994 0.88 70.82 3.92 16.28 15.87 24.8 26.33 4.05 5.83 13.4 4.12 1995 1.38 72 4.79 20.8 20.57 25.43 26.27 5.45 8.16 17 5.64 1996 1.81 73.16 5.87 24.69 24.3 26.26 29.63 7.26 11.14 20.2 6.86 1997 2.1 74.31 6.99 26.89 26.4 21.78 27.15 9.19 11.59 20.39 7.22 1998 2.1 75.46 7.73 27.23 26.73 22.46 29.1 9.36 11.5 20.41 7.55 1999 3.42 76.6 10.24 28.7 28.32 23.21 33.97 11.54 11.74 21.51 7.88 2000 3.51 77.64 15.73 31.18 30.73 12.83 36.14 14.48 15.64 22.18 9.01 2001 3.77 78.69 18.91 32.52 32.09 12.59 38.69 15.03 16.22 22.71 9.95 2002 4.23 79.73 21.56 35.1 34.53 13.34 36.02 16.71 19.75 24.81 11.56 2003 6.36 80.9 26.52 39.56 38.93 15.99 27.94 20.15 25.26 28.46 13.9 2004 7.19 82.03 33.83 45.45 44.6 18.05 29.93 26.49 31.97 32.4 16.08 2005 9.22 83.11 43.56 52.93 51.87 19.21 27.01 32.45 36.76 36.74 18.76 2006 13.59 84.14 57.71 60.93 59.62 20.2 32.3 39.83 44.89 42.1 22.34 2007 23.75 85.17 83.83 71.11 68.98 24.22 37.47 48.56 62.77 50.26 30.61 2008 21.7 86.21 98.61 89.83 86.86 25.32 42.72 62.69 80.71 63.9 35.8

K hn (nm) Xut khu Nhp khu Tiu dng u t

Ngun ADB

PH LC 5: S LIU THEO TIU CHUN W-K

N ngn hn a 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2.38 0.92 0.78 0.78 1.29 2.14 2.57 2.50 4.69 4.87 10.24 15.73 18.91 21.56 26.52 33.83 43.56 57.71 83.83 98.61 M2 Khon iu chnh M2 Ri ro DTNH theo W-K quc Nh Ln nht Nh nht Ln nht gia nht b1 1.02 1.57 1.89 2.16 2.65 3.38 4.36 5.77 8.38 9.86 11.83 14.20 17.04 20.45 24.54 b2 2.05 3.15 3.78 4.31 5.30 6.77 8.71 11.54 16.77 19.72 23.67 28.40 34.08 40.90 49.07 c 0.67 0.65 0.67 0.62 0.68 0.71 0.69 0.68 0.72 0.67 0.67 0.67 0.67 0.67 0.67 a+(b1xc) 3.06 1.95 2.05 2.12 3.09 4.54 5.58 6.43 10.72 11.48 14.09 16.75 19.55 22.76 26.52 a+(b2xc) 3.75 2.97 3.32 3.46 4.90 6.94 8.59 10.35 16.76 18.08 22.02 26.27 30.96 36.46 42.96

6.16 118.33 7.24 142.00 8.13 170.40 9.06 204.48 10.08 245.37

Ngun: Tnh ton ca tc gi

PH LC 6: S LIU M HNH BUFFER STOCK

Dn s 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 68.45 69.64 70.82 72.00 73.16 74.31 75.46 76.60 77.64 78.69 79.73 80.90 82.03 83.11 84.14 85.17 86.21 88.00 89.20 90.40 91.60 92.80 PPP 999.80 1,139.55 1,279.30 1,417.40 1,562.10 1,696.90 1,790.10 1,868.20 2,014.00 2,173.60 2,299.20 2,486.00 2,577.00 2,668.00 2,759.00 2,850.00 2,941.00 3,032.00 3,123.00 3,214.00 3,305.00 3,396.00 IM/GDP 0.26 0.30 0.36 0.39 0.45 0.43 0.42 0.41 0.50 0.50 0.56 0.64 0.70 0.69 0.74 0.88 0.90 0.79 0.78 0.77 0.74 0.72 Bt n t gi 0.008 0.007 0.007 0.004 0.002 0.016 0.030 0.013 0.006 0.011 0.008 0.003 0.003 0.002 0.002 0.002 0.015 0.015 0.015 0.015 0.015 0.015 Bt n xut khu 0.040 0.035 0.070 0.056 0.048 0.091 0.083 0.069 0.081 0.055 0.049 0.044 0.064 0.073 0.046 0.078 0.059 0.061 0.062 0.064 0.064 0.064 Khc bit li sut 0.0136 0.0118 0.0264 0.0218 0.0196 0.0309 0.0216 0.0231 0.0315 0.0185 0.0173 0.0172 0.0254 0.0300 0.0184 0.0317 0.0183 0.0273 0.0234 0.0115 0.0030 0.0023

Ngun: Tnh ton ca tc gi

PH LC 7 TIN TRNH WEINER

I. nh ngha 1.

Cho(, F, P) l mt khng gian xc sut, t X l tp hp tt c cc bin s ngu nhin. Cho I l mt khong trong tp cc s thc, T l mt nh x t I vo X. t vi mi t thuc I. Ta ni l mt tin trnh ngu nhin.

Th d. lp n xy dng mt p thy in, chng ta phi o lu lng nc ti mt v tr no ca mt dng sng. Gi X(t) l lu lng ti v tr ti ngy th t trong nm. D nhin con s X(t) ny thay i hng nm, nhng nu chng ta ly mu trong vi mi nm (k hiu tp hp cc nm ny l ), chng ta c th chp nhn X(t)() = vi hm phn phi FX(t) v hm mt PX(t). Lc ta c mt tin trnh ngu nhin X(t) thay v mt hm s thc tX(t). Nh vy chng ta phi m hnh nhiu bi ton vi cc phng trnh ngu nhin. II. nh ngha 2:

Cho (, F, P) l mt khng gian xc sut, cho X l mt nh x t [0,) vo tp hp cc bin ngu nhin trong (, F, P) c cc tnh cht sau: X(0) = 0 Nu Nu th X(t) X(s) l phn phi chun N (0, t-s) th h vi c lp. Lc X

c gi l mt tin trnh Wiener hay mt chuyn ng Brownian. III. nh ngha 3. Cho W(t) l mt tin trnh Wiener trong mt khng gian xc sut (, F, P). Cho mt s thc khng m r, ta t V-(r) l - i s nh nht cha cc tp , vi mi v mi tp m U

trong R. Ta gi V-(r) l lch s ca tin trnh Wiener W(t) cho n thi im r. V+(r) l - i s nh nht cha cc tp , vi mi v mi tp m U

trong R. Ta gi V+(r) l tng lai ca tin trnh Wiener W(t) k t thi im r. IV. nh ngha 4.

Cho W(t) l mt tin trnh Wiener trong mt khng gian xc sut (, F, P). Cho mt h i s vi W(t) nu nu vi mi , , trn sao cho vi mi t. Ta ni h A(t) nonanticipating i

A(t) c lp V+(r) vi mi t 0 . Lc mt tin trnh ngu nhin trn (, F, P), c gi l nonanticipating

i vi {A (t)}nu X(t) o c trn (, A(t)) vi mi t 0. V. nh ngha 5: Chng ta k hiu Lp(0,T) l khng gian tt c cc qu trnh ngu nhin thc G(t) tho mn

VI.

nh ngha 6

Cho X(t) l mt qu trnh ngu nhin thc tha mn

Trong c vi phn ngu nhin i vi .

v vi mi

. Chng ta ni

PH LC 8: KIM NH N V
Th no l tnh dng Chui Yt bt k c gi l dng nu k vng, phng sai v hip phng sai khng i theo thi gian. V mt ton hc, chui Yt c gi l dng nu:

Chui Yt gi l khng dng nu n vi phm mt trong 3 iu trn. iu kin th 3 trong nh ngha chui dng l hip phng sai, h s tng quan gia ch ph thuc vo

di ca (k) v mt thi gian gia t v t+k, khng ph thuc vo thi im t. y chng ta cng thy mt iu l, trong phn tch chui thi gian, chng ta c th gp hin tng bin ph thuc thi k t ph thuc vo chnh bin thi k t-1 v cc bin khc. Nh vy n gy nn hin tng t tng quan ca chui s liu theo thi gian. Khng c hin tng t tng quan khi

Khi c hin tng t tng quan nh vy th vic c lng cng s gp nhiu bt li v cng nhue phng sai thay i, kt qu nh vy s khng mang li s tin cy cao. Cch xc nh v chuyn i C nhiu cch kim nh tnh dng ca chui s liu, c mt m phn mm Eviews a vo ng dng l kim nh n v (Unit root test) thng qua kim nh ADF v PACF. Cc a cc chui s liu khng dng thnh chui s liu dng nh th no? y xin trnh by cch ly ton t sai phn a chui s liu khng dng thnh chui s liu dng. Chng ta xt m hnh

Nu nh

bng 1 khi =1

l mt bc i ngu nhin v

chui thi gian khng dng. Do

ta s kim nh Ho:

By gi kim nh gi thuyt Ho: Khi Gi l dng v

= 0 nu Ho c chp nhn th

l nhiu trng.

l ton t sai phn, sai phn cp I:

Sai phn cp II: Sai phn cp k: Khi chng ta kim nh cc lin kt sai phn khi no chng ta tm c chui mi l chui dng, iu ny cng c thc hin trong phn mm Eviews thng qua ng dng kim nh ADF v PACF. i lc lm gim thiu hin tng phng sai thay i ngi tat hay v c lng bng m hnh gc, ngi ta c th chuyn sang c lng chui logagit ha, hn ch thm. Tuy nhin cn cn thn trong vic p dng tnh cht ny v chng ta khng c dng trong trng hp chui s liu c gi tr m.

Kt qu kim nh tnh dng cho cc bin trong m hnh Buffer Stock Bin dn s: Chui s liu ban u Null Hypothesis: SER01 has a unit root Exogenous: Constant Lag Length: 2 (Automatic based on AIC, MAXLAG=3) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level -0.855313 -4.004425 -3.098896 -2.690439 Prob.* 0.7708

Tr tuyt i T-statistic < T - alpha nn chui ban u khng c tnh dng Chui sai phn bc nht Null Hypothesis: D(SER01) has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on AIC, MAXLAG=3) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level -8.774964 -4.004425 3.09889 6 2.69043 9 Prob.* 0.0000

Tr tuyt i T-statistic > T - alpha nn chui sai phn bc nht c tnh dng. C mc ngha ti 1%

Bin PPP Chui s liu ban u Null Hypothesis: SER02 has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on AIC, MAXLAG=3) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level -5.688799 -3.920350 -3.065585 -2.673459 Prob.* 0.0004

Tr tuyt i T-statistic > T - alpha nn chui sai phn bc nht c tnh dng. C mc ngha ti 1%

Bin IM/GDP Chui s liu ban u Null Hypothesis: SER03 has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on AIC, MAXLAG=3) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level 0.485957 -3.920350 -3.065585 -2.673459 Prob.* 0.9802

Tr tuyt i T-statistic < T - alpha nn chui ban u khng c tnh dng Chui sai phn bc nht Null Hypothesis: D(SER03) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on AIC, MAXLAG=3) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level -3.879417 -3.959148 -3.081002 -2.681330 Prob.* 0.0116

Tr tuyt i T-statistic > T - alpha nn chui sai phn bc nht c tnh dng. C mc ngha ti 5%

Bin bt n t gi Chui s liu ban u Null Hypothesis: SER04 has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on AIC, MAXLAG=3) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level -2.817540 -3.959148 -3.081002 -2.681330 Prob.* 0.0793

Tr tuyt i T-statistic > T - alpha nn chui sai phn bc nht c tnh dng. C mc ngha ti 10%

Bin bt n xut khu Chui s liu ban u

Exogenous: Constant Lag Length: 0 (Automatic based on AIC, MAXLAG=3) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level -3.455025 -3.920350 -3.065585 -2.673459 Prob.* 0.0243

Tr tuyt i T-statistic > T - alpha nn chui sai phn bc nht c tnh dng. C mc ngha ti 5%

Bin chnh lch li sut Chui s liu ban u Null Hypothesis: SER06 has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on AIC, MAXLAG=3) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level -4.391369 -3.920350 -3.065585 -2.673459 Prob.* 0.0041

Tr tuyt i T-statistic > T - alpha nn chui sai phn bc nht c tnh dng. C mc ngha ti 1%

Bin D tr ngoi hi Chui s liu ban u Null Hypothesis: SER07 has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on AIC, MAXLAG=3) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level -0.658104 -3.920350 -3.065585 -2.673459 Prob.* 0.830 4

Tr tuyt i T-statistic < T - alpha nn chui ban u khng c tnh dng Chui sai phn bc nht Null Hypothesis: D(SER07) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on AIC, MAXLAG=3) t-Statistic Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level -4.840163 -3.959148 -3.081002 -2.681330 Prob.* 0.002 0

Tr tuyt i T-statistic > T - alpha nn chui sai phn bc nht c tnh dng. C mc ngha ti 1%.

PH LC 9: KIM NH THA BIN TRONG M HNH

Bin dn s Redundant Variables: SER01 F-statistic Log likelihood ratio 1.722929 2.702347 Prob. F(1,10) Prob. Chi-Square(1) 0.218642 0.100201

Test Equation: Dependent Variable: SER07 Method: Least Squares Date: 05/18/10 Time: 14:09 Sample: 1 17 Included observations: 17 Variable C SER02 SER03 SER04 SER05 SER06 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -6.630563 1.933647 1.251315 8.665701 -6.449994 20.69354 0.976960 0.966488 0.095627 0.100590 19.48229 2.017460 Std. Error 1.382972 0.476958 0.345174 31.47169 29.76444 70.48027 t-Statistic -4.794431 4.054128 3.625170 0.275349 -0.216701 0.293608 Prob. 0.0006 0.0019 0.0040 0.7882 0.8324 0.7745 0.530000 0.522371 -1.586152 -1.292077 93.28691 0.000000

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

Bin PPP : Redundant Variables: SER02 F-statistic Log likelihood ratio 0.729975 1.197755 Prob. F(1,10) Prob. Chi-Square(1) 0.412891 0.273771

Test Equation: Dependent Variable: SER07 Method: Least Squares Date: 05/18/10 Time: 14:10 Sample: 1 17 Included observations: 17 Coefficien t -21.28096 11.23323 0.740314 -4.618533 4.628558 -2.249537 0.978912 0.969326 0.091488 0.092070 20.23459 1.870067

Variable C SER01 SER03 SER04 SER05 SER06 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

Std. Error 4.647271 2.578785 0.431463 29.17580 27.58689 65.58783

t-Statistic -4.579239 4.356017 1.715823 -0.158300 0.167781 -0.034298

Prob. 0.0008 0.0011 0.1142 0.8771 0.8698 0.9733 0.530000 0.522371 -1.674658 -1.380582 102.1233 0.000000

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

Bin IM/GDP: Redundant Variables: SER03 F-statistic Log likelihood ratio 3.476223 5.071810 Prob. F(1,10) Prob. Chi-Square(1) 0.091840 0.024318

Test Equation: Dependent Variable: SER07 Method: Least Squares Date: 05/18/10 Time: 14:12 Sample: 1 17 Included observations: 17 Variable C SER01 SER02 SER04 SER05 SER06 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -27.22495 14.02690 0.328245 2.072875 -3.905456 18.22833 0.973514 0.961475 0.102529 0.115635 18.29756 1.561518 Std. Error 5.164821 4.435488 1.025443 34.09477 32.10474 75.81427 t-Statistic -5.271229 3.162426 0.320101 0.060797 -0.121647 0.240434 Prob. 0.0003 0.0090 0.7549 0.9526 0.9054 0.8144 0.530000 0.522371 -1.446772 -1.152697 80.86380 0.000000

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

Bin bt n t gi : Redundant Variables: SER04 F-statistic Log likelihood ratio 0.008549 0.014528 Prob. F(1,10) Prob. Chi-Square(1) 0.928157 0.904063

Test Equation: Dependent Variable: SER07 Method: Least Squares Date: 05/18/10 Time: 14:13 Sample: 1 17 Included observations: 17 Variable C SER01 SER02 SER03 SER05 SER06 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient -16.35674 7.221723 0.798152 0.846747 0.563138 6.056478 0.980330 0.971388 0.088359 0.085880 20.82620 1.923971 Std. Error 7.122137 5.141337 0.881543 0.433452 3.164645 8.671794 t-Statistic -2.296606 1.404639 0.905404 1.953499 0.177947 0.698411 Prob. 0.0423 0.1877 0.3847 0.0767 0.8620 0.4994 0.530000 0.522371 -1.744259 -1.450184 109.6430 0.000000

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

Bin bt n xut khu Redundant Variables: SER05 F-statistic Log likelihood ratio 0.005249 0.008922 Prob. F(1,10) Prob. Chi-Square(1) 0.943671 0.924749

Test Equation: Dependent Variable: SER07 Method: Least Squares Date: 05/18/10 Time: 14:14 Sample: 1 17 Included observations: 17 Coefficien t -16.32669 7.194307 0.804477 0.848412 0.631073 7.381515 0.980336 0.971398 0.088344 0.085852 20.82901 1.935275

Variable C SER01 SER02 SER03 SER04 SER06 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

Std. Error 7.135765 5.160588 0.884644 0.433179 3.358694 3.921662

t-Statistic -2.288009 1.394087 0.909379 1.958571 0.187892 1.882242

Prob. 0.0429 0.1908 0.3826 0.0760 0.8544 0.0865 0.530000 0.522371 -1.744589 -1.450514 109.6799 0.000000

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

Bin chnh lch li sut

Redundant Variables: SER06 F-statistic Log likelihood ratio 0.032391 0.054975 Prob. F(1,10) Prob. Chi-Square(1) 0.860768 0.814622

Test Equation: Dependent Variable: SER07 Method: Least Squares Date: 05/18/10 Time: 14:15 Sample: 1 17 Included observations: 17 Coefficie nt 16.33525 7.240248 0.780235 0.851081 2.646949 3.111051 0.980283 0.971320 0.088464 0.086084 20.80598 1.893424

Variable

Std. Error

t-Statistic

Prob.

C SER01 SER02 SER03 SER04 SER05 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

7.150359 5.179115 0.891407 0.433547 3.900686 1.662099

-2.284536 1.397970 0.875285 1.963068 -0.678586 1.871761

0.0432 0.1897 0.4001 0.0754 0.5114 0.0881 0.530000 0.522371 -1.741880 -1.447805 109.3772 0.000000

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)