C ch truyn dn tin t di gc phn tch nh

lng
Nguyn Phi Ln1
1. Li m u
V mt l thuyt kinh t, chnh sch tin t c xem l mt cng
c chnh sch quan trng nhm tc ng n nn kinh t t c cc
mc tiu nh n nh kinh t v m v kim sot gi c. Tc ng ca
chnh sch tin t lun c th hin r nt v c uy lc ti nn kinh t
ni chung v th trng ti chnh ni ring so vi nhiu chnh sch kinh t
v m khc trong sut qu trnh vn hnh ca nn kinh t, c bit l
trong ngn hn, thng qua cc ch tiu tin t nh: cung tin M2, tn
dng, li sut v t gi hi oi, m mc tiu cui cng ca cng tc iu
hnh chnh sch tin t l tc ng n th trng tin t, hot ng kinh
t v mc gi c trong nn kinh t.
V vy, c mt chnh sch tin t ph hp, i hi cc nh
hoch nh chnh sch phi c mt s hiu bit r rng v c ch truyn
dn tin t v tm quan trng ca cc knh truyn dn khc nhau nh tn
dng, li sut v t gi hi oi... v nh hng ca cc knh truyn dn
ny n cc khu vc ca nn kinh t, c bit l khu vc sn xut.
Kuttner v Mosser (2002) v Clinton v Engert (2000) ch ra rng,
hiu qu ca chnh sch tin t ph thuc rt nhiu vo kh nng ca cc
nh hoch nh chnh sch c th nh gi chnh xc v thi im v hiu
qu ca vic iu hnh chnh sch tin t thng qua cc knh truyn dn
s tc ng nh th no ti hot ng kinh t v kim sot gi c.
K t sau khng hong ti chnh khu vc nm 1997, Vit Nam
cng vi cc nc trong khu vc tin hnh nhng thay i mnh m
1

V D bo, thng k tin t - NHNN

trong vic thc hin ca chnh sch tin t v la chn cc c ch iu

hnh chnh sch tin t ph hp vi c im, quy m ca nn kinh t
cng nh ph hp vi tng giai on pht trin kinh t. Mt s nc
la chn c ch iu hnh chnh sch tin t c c trng bi mc
t ch cao trong vic iu hnh chnh sch tin t hay vic la chn cc
ch t gi v mc t do dng vn quc t vi mc tiu chnh l
hng ti mt th trng tin t n nh v minh bch, thc y tng
trng v n nh gi c hng ha trong nc. c th iu hnh chnh
sch tin t hiu qu v m bo t c cc mc tiu v m ra cng
nh nh gi cc tc ng bn trong v bn ngoi nn kinh t em li,
Ngn hng Trung ng (NHT) nhiu nc tin hnh phn tch v
nh gi c ch truyn dn tin t ca nc mnh thng qua cc nghin
cu nh lng t ra cc gii php nhm nng cao hiu qu thc
thi chnh sch tin t cng nh cc gii php nhm hn ch cc tc ng
tiu cc hoc tn dng cc c hi trong qu trnh hi nhp v t do ha
th trng ti chnh. i vi Vit Nam, vic phn tch v nh gi c ch
truyn dn tin t c cp n ti mt s cc nghin cu trong v
ngoi nc, tuy nhin, vic tip cn phn tch nh lng vn cn hn ch
trong nhiu nghin cu.
Do vy, bi vit ny s dng phng php m hnh cu trc t hi
quy vc t (SVAR) m hnh ha khun kh chnh sch tin t ca mt
nn kinh t th trng vi m ln nh Vit Nam trong giai on sau
khng hong ti chnh khu vc nm 1997. Cc phng php SVAR c
xem l linh hot v n c th cha nhiu mi quan h gia cc bin s
kinh t v m da trn l thuyt kinh t v ln lt cho php chng ta xc
nh c nhng c sc (shock) tin t trc giao. Trong m hnh ny, tc
gi thit lp cc iu kin cn thit tm ra nhng c shock tin t v t
gi ca Vit Nam, sau nh gi hiu qu tc ng ca chnh sch tin
t v cc knh truyn dn khc nhau n gi c hng ha v cc hot

ng sn xut kinh doanh ca nn kinh t trong nc da trn cp s liu

thu thp t H thng c s d liu cc ch tiu thng k ti chnh ca Qu
Tin t Quc t (IFS-IMF) t nm 1998 - 2009.
2. M hnh thc nghim
Trong nhng nm 1990, cc nh nghin cu kinh t trn th gii
s dng cc m hnh t hi quy vc t (vit tt l VAR) phn tch c
ch truyn ti chnh sch tin t v khun kh chnh sch tin t ca cc
nn kinh t. Cc nm sau , cc dng bin th ca m hnh VAR
c pht trin mnh m, c bit l m hnh SVAR hay m hnh t hiu
chnh vc t (VECM) v c s dng ph bin phn tch cc mi
quan h gia cc bin kinh t v m v cc cng c chnh sch.
V mt l thuyt, mi quan h gia cc bin kinh t v m v cc
cng c chnh sch c th hin qua m hnh SVAR nh sau:
A0Yt = A1Yt 1 + A2Yt 2 + ... + A p Yt p + t

(1)

Ti : Yt l vc t (Nx1) cc bin ni sinh ti thi gian t,

Ai l ma trn ca cc tham s (NxN) vi i=0, 1, 2, , p.
Cc tham s ca m hnh SVAR s c c lng thng qua 2
giai on. Giai on 1 l giai on rt gn hay gin c m hnh (1)
thng qua vic c lng cc phng trnh sau:
Yt = A01 A1Yt 1 + A01 A2Yt 2 + ... + A01 A p Yt p + A01 t

(2)

or
Yt = B1Yt 1 + B2Yt 2 + ... + B p Yt p + vt

Ti : Bi=A0-1Ai, i=1, 2, , p v vt=A0-1t.

Giai on 2 l giai on xc nh cc ma trn A0 v ma trn
variance-covariance thng qua phng trnh sau:
ln Lt = (1 / 2) log( 2 ) (1 / 2) log A01( A01 )

1 1
vA0 ( A01 ) v
2

(3)

Ti l ma trn variance-covariance v vt l c phn d

(residuals) t m hnh VAR rt gn.
Vic phn tch c ch truyn ti chnh sch tin t v phn ng ca
chnh sch tin t trc tc ng ca cc c shock bn ngoi nn kinh t
s c thc hin thng qua c ch phn r Choleski.
3. La chn cc bin m hnh v c s d liu phc v phn
tch
Trn c s phn tch khun kh chnh sch tin t v c ch truyn
dn cng nh cc tc ng ca cc c shock bn ngoi nn kinh t ti
chnh sch tin t Vit Nam, m hnh SVAR s bao gm 9 bin v c
chia lm 2 khu vc bao gm: khu vc quc t v khu vc trong nc.
Bng 1 m t ni dung chi tit cc bin trong m hnh v ngun d liu.
Bng 1: Cc bin trong m hnh cu trc t hi quy vc t (SVAR)
Cc bin trong m hnh
Khu vc quc t:
Ch s CPI ca th gii
Sn lng cng nghip ca Hoa
K
Ch s CPI ca Hoa K
Li sut cng b ca FED
Khu vc trong nc:
Sn lng cng nghip trong
nc
Ch s CPI trong nc
Cung tin M2
Li sut ngn hn 3 thng VND
T gi hi oi gia USD v

Vit tt

Thi gian (thng)

Ngun

WCPI
USSL

1998: 1-2009: 12
1998: 1-2009: 12

IFS-IMF
IFS-IMF

USCPI
USLS

1998: 1-2009: 12
1998: 1-2009: 12

IFS-IMF
FED

SL

1998: 1-2009: 12

IFS-IMF

CPI
M2
LS
EX

1998: 1-2009: 12
1998: 1-2009: 12
1998: 1-2009: 12
1998: 1-2009: 12

IFS-IMF
IFS-IMF
IFS-IMF
IFS-IMF

VND
Lu : IFS-IMF: H thng c s d liu cc ch tiu ti chnh ca Qu
Tin t Quc t;

FED: Cc D tr lin bang Hoa K.

4. Cu trc v cc kim nh m hnh
a) Cu trc m hnh SVAR trong phn tch c ch truyn dn
chnh sch tin t ca Vit Nam
Trn c s l thuyt v cu trc m hnh SVAR c trnh by
trn, m hnh SVAR ca Vit Nam l nh sau:
Yt = (Y1,t , Y2,t )

(4)

Y1,t = (WCPI t , USSLt ,USCPI t , USLS t )

(5)

Y2,t = ( SLt , CPI t , M 2 t , LS t , EX t )

(6)

Trong : Y1,t l tp hp cc bin i din khu vc quc t; Y 2,t l

tp hp cc bin i din khu vc kinh t trong nc. Phng trnh (4),
(5) v (6) c th vit li di dng:
Y1,t
v1,t
B ( L) B12 ( L)
Yt = ; B ( L) = 11
; v t =
B21 ( L) B22 ( L)
Y2,t
v 2,t

(7)

Theo : B(L) c xc nh da trn ma trn A0. Trong , A0

trong m hnh SVAR c xc nh nh sau:
Bng 2: Cu trc ma trn A0
Cc

Cc bin gii thch

bin
ph
thuc
WCPI
USSL
USCPI
USLS
SL
CPI
M2

WCPI USSL USCPI USLS SL

1
0
0
0
0
0
1
0
0
0
0
0
1
0
0
0
0
a32
1
0
0
0
a42
a43
1
0
0
0
0
a65
0
0
0
0
a75

CPI
0
0
0
0
0
1
a76

M2
0
0
0
0
0
0
1

LS
0
0
0
0
0
0
0

EX
0
0
0
0
0
0
0

LS
a81
0
0
a84
a85
a86
a87
1
0
EX
a91
a92
a93
a94
a95
a96
a97
a98
1
Lu : Cu trc m hnh ny c tham kho t cc nghin cu ca
(Mala v Param 2007); (Fry 2001), (Fung 2002) v (Joiner 2003)
b. Kim nh tnh dng ca cc bin v tr trong m hnh
Kt qu kim nh ADF cho chui d liu theo thng t thng
1/1998 n thng 12/2009 cho thy tt c cc bin u dng ti sai phn
bc 1. Do vy, 09 bin ni trn c th c s dng trong hi quy m
hnh SVAR.
Bng 3: Kim nh tnh dng ADF
Bin
WCPI
USSL
USCPI
USLS
SL
CPI
M2
LS
EX

Kim nh ADF
Khng c xu th (No trend)
C xu th (Trend)
-9.001946***
-9.004328***
-7.766784***
-9.138328***
-3.277818**
-10.77046***
-2.801047*
-5.590296***
-10.04247***
-14.94604***

Trng thi
Stationary

-15.02026***

(dng)
Stationary

-9.114256***

(dng)
Stationary

-3.267686*

(dng)
Stationary

-10.73992***

(dng)
Stationary

-3.612207**

(dng)
Stationary

-5.566622***

(dng)
Stationary

-10.06759***

(dng)
Stationary

-15.08577***

(dng)
Stationary

(dng)
Lu : *** c ngha thng k mc 1%; ** mc 5%; and * mc
1%; Kt qu c lng trn phn mm Eviews 7.0.

Bc tip theo l kim nh tr ca m hnh. Sau khi s dng

cc kim nh AIC, HQ v SC, kt qu cho thy tr ti u c la
chn cho m hnh SVAR ca Vit Nam l 2 i vi kim nh AIC v l
1 i vi HQ v SC (xem Bng 4).
Bng 4: Kim nh tr ti u ca m hnh SVAR
Lag

LogL

LR

999.4733

NA

3185.878 4115.586

1.23e-27 -36.42210 34.76197* 35.74844*

-

2
3
4
5
6

3279.529
3352.718
3426.071
3491.805
3556.719

1.07e-27* 36.57093*
1.19e-27 -36.47904
1.35e-27 -36.38907
1.72e-27 -36.20947
2.28e-27 -36.02022

-33.41669
-31.83068
-30.24659
-28.57287
-26.88952

-35.29098
-34.59279
-33.89652
-33.11062
-32.31509

7
8
9
10

3647.124
*
3705.608 66.74035
3795.937 93.51673
3880.206 78.32034

2.34e-27
3.66e-27
4.22e-27
5.67e-27

-25.50605
-23.74704
-22.36267
-20.90701

-31.81945
-30.94825
-30.45171
-29.88387

166.3679
122.2691
114.7749
95.89404
87.82542
112.7409

FPE

AIC

SC

7.03e-17 -11.65263 -11.48661 -11.58526

-

-36.13088
-35.86598
-35.97573
-36.01418

* indicates lag order selected by the

criterion
LR: sequential modified LR test statistic (each test at
5% level)
FPE: Final prediction error
AIC: Akaike information
criterion
SC: Schwarz information
criterion
HQ: Hannan-Quinn information criterion
Bng 5: Kim nh Portmanteau
Lags

Q-Stat

HQ

Prob. Adj Q-Stat Prob.

df

1
2
3
4
5
6
7

10.46887
30.46925
110.4453
185.4877
275.2281
354.4152
443.9160

NA*
NA*
NA*
0.0000
0.0000
0.0000
0.0000

10.52835
30.75731
112.1123
188.8897
281.2389
363.2045
456.3906

NA*
NA*
NA*
0.0000
0.0000
0.0000
0.0000

NA*
NA*
NA*
81
162
243
324

*The test is valid only for lags larger than the VAR
lag order.
df is degrees of freedom for (approximate) chi-square
distribution
Tuy nhin, tr c xc nh trong cc kim nh AIC, HQ v
SC l khng thc hin nh gi tc ng ca cc c shock c
lng ha trong m hnh. Do vy, bi vit s dng phng php
Portmanteau v LM kim nh tnh t tng quan phn d trong m
hnh. Kt qu kim nh Portmanteau v LM test cho thy tr ca
phng trnh SVAR nn l 4. Do vy, bi vit s s dng m hnh SVAR
vi tr l 4.
5. Phn tch tc ng ca cc c shock bn ngoi nn kinh t v
c ch truyn ti chnh sch tin t ca Vit Nam
Phn ng ca li sut VND i vi cc c shock t bn ngoi nn
kinh t
Biu 1: Phn ng phn r ca li sut VND i vi cc c shock
t bn ngoi
Response of DEP_R to LOG(WCPI)

Response of DEP_R to LOG(USOUT PUT )

Response of DEP_R
to LOG(USCPI)

.3

.3

.3

.2

.2

.2

.1

.1

Response of LS to log(WCPI)

Response of LS to log(USSL)

.0

.0

.1

Response of LS to log(USCPI)
.0

-.1

-.1

-.1

-.2

-.2

-.2

-.3

-.3

10

15

20

25

30

35

40

45

50

10

15

20

25

30

35

40

45

50

-.3
5

10

15

20

25

30

35

40

45

50

Biu 1 th hin phn ng ca li sut VND trc cc c shock

v gi c hng ha trn th gii, sn lng cng nghip v gi c hng
ha ti Hoa K. Nhn vo biu 1 c th thy li sut VND ca Vit
Nam c xu hng chu tc ng tng i mnh v ngay lp tc (trong
khong thi gian 5 thng) trc xu th bin ng ca gi c th gii v
gi c ti Hoa K. iu ny hm rng nn kinh t Vit Nam c m
tng i ln, do , chnh sch tin t ca Vit Nam tng i nhy
cm v d b tn thng trc cc tc ng ca vic tng gi c hng ha
th gii. Tuy nhin, khi nn kinh t Hoa K c xu hng phc hi v n
nh th li sut VND c xu hng gim v t bin ng hn so vi mc
bin ng ca n trc vic tng gi c trn th trng th gii v ti Hoa
K.
Phn ng ca nn kinh t trong nc bao gm: sn lng cng
nghip, gi c v li sut VND trc ng thi ca FED
Biu 2: Phn ng phn r ca sn lng, CPI v li sut trc
ng thi tht cht tin t ca FED
Response to Cholesky One S.D. Innovations
Response of LS to USLS

Response of LOG(CPI) to USLS

Response of LOG(SL) to USLS

.2

.004

.012

.002

.008

.1

.000
.0

.004
-.002
.000

-.1

-.004

-.2

-.006

-.004
5

10

15

20

25

30

35

40

45

50

10

15

20

25

30

35

40

45

50

10

15

20

25

30

35

Biu 2 th hin phn ng phn r ca sn lng cng nghip, ch

s gi tiu dng v li sut trc din bin ca li sut do FED cng b.
Kt qu cho thy sn lng cng nghip, CPI v li sut trong nc phn
ng tng i mnh m khi FED thc hin chnh sch tin t tht cht.
Theo sn lng cng nghip trong nc bin ng mnh trong thi

40

45

50

gian 5 thng u v sau c xu hng tng dn, trong khi ch s CPI

c xu hng bin ng v gim mnh. Trc ng thi tng li sut ca
FED th li sut VND trong nc c xu hng gim xung (ti mt s
nc trong khu vc nh Malaysia, trong cng thi gian ny, khi FED tin
hnh nng li sut th ng thi ca NHTW Malaysia l nng li sut
trong nc). Tm li, sn lng cng nghip, ch s CPI v li sut trong
nc c xu hng chu tc ng mnh bi cc c shock tin t t bn
ngoi.
Phn ng ca nn kinh t trong nc bao gm sn lng cng
nghip, gi c, cung tin M2 v li sut VND trc cc bin ng v sn
lng v gi c hng ha trong nc
Biu 3: Phn ng phn r ca CPI, cung tin M2 v li sut trc
bin ng ca sn lng trong nc

Response of LOG(CPI) to LOG(SL)

Response of LS to LOG(SL)

Response of LOG(M2) to LOG(SL)

.12

.25

.10

.20

.08

.15

.06

.10

.04

.05

.02

.00

3.5
3.0
2.5
2.0
1.5

.00

-.05
10

15

20

25

30

35

40

45

50

1.0
0.5

0.0
10

15

20

25

30

35

40

45

50

10

15

20

25

30

35

Nhn vo biu 3 c th thy cc ch s CPI, M2 v li sut phn

ng tng i mnh m khi nn kinh t tng trng cao (th hin qua
vic tng trng khu vc sn xut). Trc cc c shock v tng trng
trong nc (trng thi nn kinh t tng trng qu nng), ch s CPI bin
ng mnh theo chiu hng tng cao trong khong thi gian 5 thng.
i ph vi chiu hng tng mnh ca CPI trong nc, chnh sch tin
t trong nc c xu hng tht cht, th hin ng li sut phn ng

40

45

50

tng cao v nhanh trong khong thi gian 7-8 thng u tin v cung tin
M2 gim trong thi gian ny, kt qu l ch s CPI c xu hng tng
chm li v c thng gim xung. Tuy nhin, sau khong thi gian 8
thng kim sot v hn ch tc tng cao ca ch s CPI, chnh sch
tin t c xu hng ni lng (li sut VND trn th trng c xu hng
gim xung v cung tin M2 tip tc tng tr li) h tr cho hot ng
sn xut v kinh doanh trong nc.
Biu 4: Phn ng phn r ca CPI, cung tin M2 v li sut trc
bin ng ca sn lng trong nc
Response to Cholesky One S.D. Innovations
Response of LS to LOG(CPI)

Response of LOG(M2) to LOG(CPI)

Response of LOG(SL) to LOG(CPI)

.004

.004

.002

.000

.000

-.004

-.002

-.008

.5
.4
.3
.2
.1
.0
-.1

-.012

-.004
5

10

15

20

25

30

35

40

45

50

10

15

20

25

30

35

40

45

50

10

15

20

25

30

35

Quan st biu 4, chng ta c th thy din bin ca nn kinh t

v vic iu hnh chnh sch tin t trc c shock v lm pht trong
nc tng cao l hp l v ph hp v mt l thuyt kinh t. Khi ch s
CPI tng cao, tc ng tiu cc ti tng trng kinh t th phn ng tc
th ca chnh sch tin t l iu chnh li sut VND theo hng tng v
gim mnh lng tin cung ng v ht tin t lu thng v.
Phn ng ca cc bin chnh sch tin t i vi s thay i v
cung tin, li sut v t gi
Biu 5: Phn ng phn r ca cc bin chnh sch tin t trc
bin ng li sut, cung tin M2 v t gi

40

45

50

Response to Cholesky One S.D. Innovations

Response of LOG(M 2) to LS

Response of LS to LOG(M 2)

Response of LOG(EX) to LOG(M 2)

.6

.03

.010

.4

.02

.008

.2

.01

.006

.0

.00

.004

-.2

-.01

.002

-.02

-.4
5

10

15

20

25

30

35

40

45

.000
5

50

Response ofLS to LOG(EX)

10

15

20

25

30

35

40

45

50

.6

.010

.4

.008

.2

.006

.0

.004

-.2

.002

-.4
10

15

20

25

30

35

40

45

50

10

15

20

25

30

35

40

45

50

Response of LOG(M 2) to LOG(EX)

.03
.02
.01
.00
-.01
-.02

.000
5

Response of LOG(EX) to LS

10

15

20

25

30

35

40

45

50

10

15

20

25

30

35

Nhn vo Biu 5, chng ta c th thy vic tng lng tin cung

ng ra lu thng lm cung tin M2 tng s tc ng lm li sut VND
trn th trng gim dn xung v ngc li vic tng li sut s khin
cung tin M2 gim. Tuy nhin, mc thay i ca li sut VND trn th
trng tin t trc cc ng thi iu chnh chnh sch tin t s mt
thi gian khong t 3 n 5 thng c hiu lc (khi ng VND b ph
gi th sau khong thi gian t 5 n 10 thng li sut VND s gim
xung). Biu 5 cng cho thy t gi gia VND v USD tng i
nhy cm trc cc bin ng v li sut VND v lng tin cung ng ra
lu thng.
Phn ng ca nn kinh t trc s thay i v cung tin, li sut
v t gi
Biu 6: Phn ng phn r ca cc bin chnh sn lng cng
nghip, CPI trc bin ng li sut, cung tin M2 v t gi

40

45

50

Response to Cholesky One S.D. Innovations

Response of LOG(SL) to LOG(M2)

Response of LOG(SL) to LS

.004

.004

.000

.000

-.004

-.004

-.008

-.008
5

10

15

20

25

30

35

40

45

50

10

15

20

25

30

35

40

45

50

Response of LOG(CPI) to LS

Response of LOG(SL) to LOG(EX)

.001
.004

.000
-.001

.000
-.002
-.003

-.004

-.004
-.005

-.008
5

10

15

20

25

30

35

40

45

50

10

15

20

25

30

35

40

Quan st biu 6 cho thy, khi Vit Nam thc hin chnh sch ni
lng tin t th hin thng qua vic cung tin M2 tng th tng trng
kinh t c xu hng tng (th hin qua vic tng sn lng cng nghip),
iu ny c ngha l tng trng cung tin M2 tc ng tch cc ti tng
trng kinh t. Ngc li, khi li sut VND tng ng ngha vi vic Vit
Nam tht cht chnh sch tin t th tng trng kinh t c xu hng gim
mnh v tng i nhy cm vi bin ng ca li sut. Tng t, vic
tht cht chnh sch tin t thng qua tng li sut s tc ng tc th v
khin CPI gim nhanh v mnh trong khong thi gian 5 thng, sau thi
gian , CPI c xu hng gim nhng vi tc thp hn so vi thi
gian 5 thng trc.

45

50

S dng phn tch Variance Decomposition nh gi mc tc

ng trong ngn hn v trung hn
S dng phn tch Variance Decomposition nh gi bin ng
ca nn kinh t cng nh chnh sch tin t trc cc c shock bn trong
v ngoi nn kinh t trong ngn hn v trung hn cho thy, s bin ng
ca sn lng cng nghip trong nc trong trung hn ch yu do cc
nhn t bn ngoi c th l mc bin ng sn lng cng nghip, lm
pht ca Hoa K v vic iu chnh li sut ca FED cng nh ch s gi
c hng ha th gii. H s gii thch ca cc bin ny ln lt l
14,45%; 9,25%; 8,14% v 6,78% (xem Bng 6).
Bng 6: Cc nhn t tc ng n s bin ng ca sn lng, CPI,
M2, Li sut v T gi
Period

Variance Decomposition of SL
WCPI USSL USCPI USLS SL
CPI
M2
LS
EX
0.32118 2.47614 2.1960 0.1626 94.844 0.0000 0.0000 0.0000 0.0000

0
9
09
24
04
00
00
00
00
3.21715 9.94081 6.7122 3.4546 70.635 1.0496 1.5113 2.8193 0.6598

12

7
5
07
37
03
16
60
22
60
4.98768 10.8159 8.7040 5.3630 63.235 1.5916 1.8471 2.3539 1.1011

24

1
3
44
35
45
10
10
71
68
6.10756 12.8241 9.0365 6.8749 58.014 1.8147 1.9381 2.2428 1.1462

36

9
7
26
02
72
93
77
69
72
6.78076 14.4574 9.2524 8.1482 54.581 1.7859 1.7518 2.0907 1.1510

48
Period

81
98
33
43
36
98
60
Variance Decomposition of CPI
WCPI USSL USCPI USLS SL
CPI
M2
LS
EX
0.68299 1.25230 1.0936 7.1527 3.5530 86.265 0.0000 0.0000 0.0000

1
0
27
77
20
28
00
00
00
0.87178 9.93749 4.7011 22.887 3.4266 44.846 0.8917 7.1577 5.2796

12

6
6
36
43
51
43
00
33
39
1.09818 13.1225 6.7641 18.439 7.6286 35.645 0.6513 8.8133 7.8363

24

94

90

50

45

46

59

94

1.72795 16.1884 8.2588 14.273 11.865 30.188 0.5785 9.0275 7.8914

36
48
Period

8
4
27
65
01
50
85
55
80
2.46923 18.7656 9.2028 11.355 15.980 25.676 0.5119 8.8314 7.2065
9

28
36
61
37
32
12
91
Variance Decomposition of M2
WCPI USSL USCPI USLS SL
CPI
M2
LS
EX
0.23020 0.06361 4.9278 3.3003 1.1046 0.0144 90.358 0.0000 0.0000

3
4
31
84
88
82
80
00
00
9.85746 1.63793 2.9939 2.9229 2.5642 11.269 56.419 7.5506 4.7835

12

4
9
11
61
99
35
93
34
12
12.5170 14.9367 5.0975 2.2892 16.283 5.9513 32.679 5.9178 4.3273

24

8
7
50
22
44
30
40
38
65
11.5829 19.0115 8.3481 3.9840 24.965 3.8347 20.884 4.3237 3.0651

36

8
9
97
06
37
13
23
63
51
11.0787 20.0738 9.6665 5.8986 28.945 2.9949 15.371 3.6040 2.3659

48
Period

87
56
37
85
73
32
68
Variance Decomposition of LS
WCPI USSL USCPI USLS SL
CPI
M2
LS
EX
0.66833 0.23303 10.185 0.3894 0.7010 2.3879 9.3800 76.054 0.0000

9
0
86
42
97
64
12
26
00
0.90318 7.29363 11.644 13.903 2.8095 22.534 12.071 20.022 8.8167

12

2
5
56
76
51
42
76
35
79
1.03503 7.08589 11.490 14.532 3.5425 21.965 11.404 19.227 9.7157

24

2
6
06
78
58
80
92
15
96
1.16944 7.48337 11.168 15.148 4.1822 21.572 11.079 18.749 9.4472

36

6
4
03
08
14
75
09
76
61
1.24027 7.66346 10.999 15.604 4.6186 21.249 10.910 18.409 9.3047

48
Period

04
08
51
56
49
69
65
Variance Decomposition of EX
WCPI USSL USCPI USLS SL
CPI
M2
LS
EX
0.14101 3.23449 0.0285 0.2001 0.0245 0.0845 1.0653 7.0022 88.219

8
7
39
75
89
62
74
15
03
0.47624 8.73800 3.1867 1.3001 1.5017 0.3065 1.6604 14.351 68.478

12
24

2
4
79
05
61
12
23
73
45
0.43312 12.3906 3.2857 3.6441 3.3801 1.9797 7.3206 12.051 55.514

9
4
82
10
31
66
35
76
06
0.95538 11.5966 2.9751 3.4051 3.2795 4.0740 11.359 10.791 51.563
36

2
6
58
91
97
95
01
27
64
1.51532 11.1783 3.0618 3.5666 3.7796 5.1699 12.077 10.129 49.521

48
1
7
78
19
90
90
80
29
04
Lu : Period l khong thi gian tnh theo thng (1 thng, 12 thng, 24
thng, 36 thng v 48 thng)
Trong khi , cc nhn t trong nc gii thch chnh cho s bin
ng sn lng trong nc l s thay i li sut trn th trng tin t,
tc tng CPI v cung tin M2. C th ni, trong qu trnh m ca v
hi nhp kinh t, tng trng kinh t Vit Nam chu nh hng rt ln
bi s bin ng ca nn kinh t th gii, c bit l s bin ng ca
nn kinh t Hoa K.
Tng t, chng ta c th thy, s bin ng ch s CPI trong nc
chu nh hng rt ln t chnh cc c shock do chnh n to ra, tip theo
l cc tc ng t cc yu t bn ngoi nh gi c, sn lng ti Hoa K
v vic iu hnh li sut ca FED. Nu loi b mc bin ng sn
lng, li sut v lm pht ti Hoa K th ng thi iu hnh li sut v
t gi trong nc cng tc ng khng nh ti mc bin ng CPI trong
nc trong trung hn.
i vi s bin ng ca cung tin M2 trong nc trong trung hn,
chng ta c th thy, khi h s gii thch ca bin USSL v SL i vi s
bin ng ca M2 ln lt l 20,07% v 28,94%. iu ny phn nh
rng, vic tng hay gim mc cung ng tin ra lu thng ph thuc rt
nhiu vo du hin tng trng kinh t trong nc cng nh tng trng
kinh t Hoa K, cng cn lu rng khi nn kinh t ca Vit Nam tng
trng thng dn ti vic tng phng tin thanh ton tng nhanh. S
bin ng ca li sut trong nc c gii thch ch yu bi cc nhn t
trong nc v ngoi nc nh: tc tng ca CPI trong nc v vic

iu chnh li sut ca FED. Tng t, mc bin ng ca t gi cng

l thuc rt ln vo cng tc iu hnh chnh sch tin t, cc nhn t bn
ngoi tc ng ti mc bin ng ca t gi gia VND v USD khng
ln hn so vi cc nhn t ni ti bn trong nn kinh t.
6. Kt lun
S dng m hnh SVAR phn tch c ch chuyn dch chnh
sch tin t i vi mt nn kinh t c m ln nh Vit Nam, c th l
tr li cu hi: Nn kinh t v cng tc iu hnh chnh sch tin t Vit
Nam phn ng ra sao trc s bin ng ca cung tin, li sut, t gi v
cc c shock bn ngoi nn kinh t, cho thy: Th nht, cung tin M2 c
xu hng tc ng tch cc ti tng trng kinh t. Tuy nhin, mc
tc ng ca cung tin M2 ti khu vc sn xut cng nghip cn cha ln
mc d cung tin M2 v tn dng tng trong mt thi gian t sau
khng hong ti chnh nm 1997, iu ny c th do mt phn tn dng
ngn hng khng c mt s t chc kinh t v dn c s dng ng
mc ch sn xut kinh doanh m thay vo l u t vo cc lnh vc
c mc ri ro cao nh chng khon hay bt ng sn...; th hai, kt
qu phn tch cng cho thy s bin ng ca t gi ph thuc rt ln vo
cng tc iu hnh chnh sch tin t thng qua cc cng c li sut v
lng tin cung ng ra lu thng, cc nhn t bn ngoi nn kinh t cng
tc ng ti s bin ng ca t gi nhng khng qu ln; th ba, khu
vc tin t - ngn hng trong nc tng i nhy cm v chu tc ng
rt ln bi cc c shock bn ngoi nn kinh t, c bit l s bin ng
ca gi c hng ha th gii v du hiu suy thoi hay phc hi ca nn
kinh t th gii ni chung v nn kinh t Hoa K ni ring cng nh cc
ng thi iu hnh chnh sch tin t ca FED; th t, vic thay i li
sut VND trn th trng tin t thng qua s dng cc cng c tin t
nh OMO hay ti cp vn... s mt thi gian khong l 3 - 5 thng c
hiu lc (xem Biu 5). Vic ng VND b mt gi cng khin li sut

VND trn th trng tin t gim xung nhng s mt khong thi gian t
5 n 10 thng; th nm, trc cc c shock v tng trng kinh t, c
th l nn kinh t ang trng thi tng trng nng overheating, ch
s CPI c xu hng tng nhanh v lin tc trong khong thi gian 5 - 10
thng (xem Biu 3). Tuy nhin, ch s CPI tng i nhy cm v
phn ng mnh trc ng thi tht cht chnh sch tin t, c th l gim
mnh trong khong thi gian 6 - 9 thng k t khi thc hin chnh sch
tin t tht cht (xem biu 6)