S TRUYN DN CA T GI TRONG TH TRNG MI NI EXCHANGE RATE PASS-THROUGH IN EMERGING MARKETS

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Ni dung chnh

Mc tiu nghin cu Cc nghin cu trc y Phng php v d liu nghin cu M hnh v kt qu nghin cu Cc hn ch ca bi nghin cu

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Gii thiu v pass-through

Cm t pass-through ln u tin c s dng trong ngn ng kinh t bi Steve Magee (1873) trong bi bo ca mnh trong khi gii thch s tc ng ca s gim gi tin t. Khi nhc n thut ng ny, ngi ta lun nghin cu s truyn dn ca t gi ln gi xut/ nhp khu, gi tiu dng trong nc v mc m ca nn kinh t.

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Mc tiu nghin cu
Kim nh mi quan h gia ERPT v lm pht. Kim nh mi quan h gia ERPT v mc m ca nhp khu . Kim nh nhng thay i ca t gi hoi i t ngn hn n trung hn c cng chiu vi nhng thay i gi c. Mc tc ng t gi ln gi nhp khu v gi tiu dng nh th no cc nc pht trin cng nh cc nc kinh t mi ni.

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Cc nghin cu trc y

1. Cc nghin cu c tin hnh cc nc pht trin 2. Mt s nghin cu p dng cho nn kinh t mi ni 3. Cc nghin cu cung cp nhng gii thch khc nhau rng ti sao ERPT l khng hon ton: 4. Cc nghin cu nhn mnh vai tr ca chnh sch tin t 5. Nghin cu v vai tr ca s m ca i vi ERPT

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Cc nghin cu trc y

Cc nghin cu c tin hnh cc nc pht trin: Theo Campa v Goldberg (2004): Theo Campa, Goldberg v Gonzlez-Mnguez (2005) Theo Hahn (2003) Theo Ihrig v cng s (2006) Theo McCarthy (2000)

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Cc nghin cu trc y
Cc nghin cu c tin hnh cc nc pht trin:
Theo Ihrig v cng s (2006): Exchange Rate Pass-Through in the G-7 countries C s st gim gi nhp khu v bin ng gi tiu dng din ra ng thi trong khong thi gian nghin cu gn nh tt c cc nc G7 Nguyn nhn l do c s st gim ng k trong bin ng t gi S st gim bin ng ln gi NK tng i ln c th gii thch cho s thay i trong bin ng gi tiu dng.

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Cc nghin cu trc y

Mt s nghin cu p dng cho nn kinh t mi ni: Theo Choudri v Hakura (2006) Theo Dubravko Mihaljek and Marc Klau Theo Jeffrey Frankel, David Parsley, and Shang-Jin Wei

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Cc nghin cu trc y
Mt s nghin cu p dng cho nn kinh t mi ni:
Theo Choudri v Hakura (2006): Exchange Rate Pass-Through to Domestic Prices: Does the Inflationary Environment Matter? S dng s liu ca 71 nc pht trin v mi ni trong giai on 1979 2000 kim chng mc ca s ph gi ln lm pht. Mc chuyn dch mnh hay yu ph thuc vo mc lm pht ban u ca nc ph gi.

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Cc nghin cu trc y
Cc nghin cu cho rng ERPT l khng hon ton: Dornbusch (1987) Taylor (2000) Burstein, Neves v Rebelo (2003) Burstein, Eichenbaum v Rebelo (2005)

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Cc nghin cu trc y
Cc nghin cu cho rng ERPT l khng hon ton :
Nghin cu s thay i ca t gi nh hng n gi c hng ha v cc ngnh cng nghip. Nghin cu nhng lnh vc b nh hng nhiu v nhng lnh vc b nh hng t khi t gi thay i. Ch ra ERPT khng hon ton l do cc Cty hot ng trong 1 th trng khng hon ho v c s iu chnh tng gi phn ng vi c sc t gi. 3/7/2012

Dornbusch (1987): Burstein, Neves v Exchange Rates Rebelo (2003) and Prices

Distribution Costs And Real Exchange Rate Dynamics During ExchangeRate-BasedStabilizations

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Cc nghin cu trc y
Cc nghin cu v vai tr ca Chnh Sch Tin T:

Gagnon v Ihrig (2004) Devereux v Engel (2001) Bacchetta v Wincoop (2003) Burstein (2005)

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Cc nghin cu trc y
Cc nghin cu v vai tr ca Chnh Sch Tin T:
Bacchetta v Van Wincoop (2003): Why Do Consumer Prices React Less Than Import Prices To Exchange Rates? Doanh nghip xut khu c xu hng nh gi bng ng tin ca nc xut khu v nh sn xut nh gi bng ni t v lc ny s chuyn dch hon ton ln gi nhp khu v khng c s chuyn dch ln gi tiu dng. Ngoi chi ph sn xut, cc nh sn xut hng ha phi i mt vi ri ro t

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gi nn h mun nh gi bng ni t
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Phm vi nghin cu
Nhm 1: Cc nn kinh t mi ni vi lm pht 01 con s 3 khu vc: Chu (Trung Quc, Hn Quc, Singapore, Hng Kng, i Loan) Chu M La Tinh (Argentina, Chile, Mexico) Trung v ng u (Cng ha Sc, Ba Lan, Hungary, Th Nh K). Nhm 2: Cc nc v khu vc c kinh t pht trin (EU, M, Nht ) Sau khi kim nh m hnh, kt qu bi nghin cu ch ng khi loi tr 02 nc Argentina v Th Nh K

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Phng php nghin cu

Phn tch c thc hin bng cch s dng mt m hnh tiu chun (m hnh vect t hi quy rt gn) VAR cho c 02 nhm c la chn ly mu nhm mc ch c th so snh 02 nhm ny vi nhau theo cng 01 tiu chun.

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D Liu Nghin Cu
Cc bin trong m hnh nghin cu
oilt yt et
pimpt

ch s gi du bin u ra (sn lng) t gi hi oi ch s gi nhp khu ch s gi tiu dng li sut ngn hn gi sn xut ni a
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cpit it

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ppit

M t d liu
1.Ch s Gi du: c i din bng mt ch s gi du th, tnh bng la M (USD). 2.Bin sn lng: l GDP, trong vi trng hp, d liu l sn lng ca sn xut cng nghip c th c s lng mu ln hn. 3.T gi: chui t gi danh ngha 4.Ch s gi nhp khu: ch s gi nhp khu tnh theo ni t 5.Ch s tiu dng: Tnh theo ch s gi tiu dng CPI 6.Li sut ngn hn: li sut ngn hn i din cho cc cng c

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chnh sch tin t

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M t d liu

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M t d liu
Bng 1: Cc nc thuc khu vc Chu c t l lm pht trung bnh tng i thp (t 2.1-7.0), c bit l trng hp ca Singapore (2.1) v i Loan (2.5). Bn cnh , 2 nc ny cng c s kt hp cht ch gia vic tng trng GDP thc s mnh m vi vic gi lm pht thp v n nh t gi danh ngha. Khu vc Trung v ng u kt hp tng trng sn lng khong 2% n 3% vi t l tng i cao nhng lm pht gim Cc nc M Latinh: mt s quc gia tri qua p lc lm pht mnh m trong thi gian c nghin cu

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M t d liu

Bng 2: l bng tm tt cc iu kin kinh t v m trung bnh ca M, khu vc ng tin chung Chu u (EURO) v Nht Bn
Qua cho thy rng mc m ca c th ng vai tr i trng bng cch lm gim cc tc ng n ch s CPI trong cc nn kinh t tng i ng ca M Latinh, v em li tc ng tch cc c bit l trong trng hp ca Hng Kng v Singapore cc nc hu nh m ca trong hot ng thng mi trong bi nghin cu ca chng ta.

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Ni dung v kt qu nghin cu
Nhng nghin cu thc nghim ch ra rng nhng thay i ca t gi hi oi t ngn hn n trung hn khng ng thi vi nhng thay i ca gi c v nhng l gii khc nhau v l do ti sao nh hng ca t gi hi oi ln nhp khu v gi tiu dng l khng hon ton v a ra bng chng v s khc nhau ca hiu ng truyn dn t t gi i vi cc quc gia. Taylor (2000) a ra 1 lun chng chnh cho vn ny, ng c gng hon thnh nhng gi thuyt v phn ng ca gi c do tc ng ca t gi hi oi ph thuc hon ton vo lm pht.

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Ni dung v kt qu nghin cu

Bi nghin cu ny tin hnh kim nh lun c ny thng qua 03 m hnh vector t hi quy: M hnh baseline M hnh thay th th 1 M hnh thay th th 2

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Ni dung v kt qu nghin cu
M hnh baseline:
oilt yt et
pimpt

ch s gi du bin u ra (sn lng) t gi hi oi ch s gi nhp khu ch s gi tiu dng li sut ngn hn

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cpit

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it

Ni dung v kt qu nghin cu
M hnh baseline:

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Ni dung v kt qu nghin cu
M hnh baseline:
Bng 3: ERPT st gim theo chui gi c, tc l ERPT ln gi nhp khu cao hn gi tiu dng. 1 nm sau c sc, s chuyn dch ln gi nhp khu cao hn v khng c s khc bit cc nc Argentina, Chile, Hungary, Mexico, Ba Lan v Th Nh k; hi thp hn ti Cng ha Sc v Hn Quc, v kh thp hu ht nhng nc Chu khc. Bng 4: ERPT n CPI cao nht ti Hungary v Mexico. Chu , s chuyn dch t gi ln CPI thp c sau 4 qu v 8 qu. i vi Singapore, s chuyn dch n CPI l m.

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Ni dung v kt qu nghin cu
M hnh baseline:

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Theo bng ny, khi so snh cc d tnh v mc tc ng passthrough cc nn kinh t tin tin v mi ni, kt qu nghin cu ca chng ti mt phn no thay i cch suy ngh thng thng rng mc nh hng ca ERPT th trng mi ni lun cao hn cc nc pht trin. c bit, vi mt nn kinh t mi ni c lm pht thp th tc ng pass-through vi gi tiu dng l thp.
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Ni dung v kt qu nghin cu
M hnh baseline:
Hnh 1: S chuyn dch gi tiu dng so vi lm pht trung bnh th trng mi ni.

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Trc y: Tch ly phn ng ca gi tiu dng ln 1% c sc t gi sau 1 nm Trc x: Lm pht trung bnh trong thi gian d on
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Ni dung v kt qu nghin cu
M hnh baseline:
Bng 6 : Nhng phng php o lng ny ch ra rng c mt s tng quan cng chiu gia pass through v lm pht ti T=4, T=8. Cc h s tng quan ny c gii thch trong c trng hp ca Pearson v Spearman. H s ti T= 4 v T= 8 mc ngha 1%. Cc phng php o lng ca s bt n kinh t v m cng tng quan cng chiu vi ERPT, mc d mc ngha ni chung l hi nh hn. Rt t bng chng ca tng quan dng gia ERPT ti gi tiu dng v mc m ca.

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Ni dung v kt qu nghin cu
M hnh Thay Th 1:
oilt it yt et
pimpt

ch s gi du li sut ngn hn bin u ra (sn lng) t gi hi oi ch s gi nhp khu ch s gi tiu dng

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cpit

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Ni dung v kt qu nghin cu
M hnh Thay Th 1:

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Ni dung v kt qu nghin cu
M hnh Thay Th 1:
Bng 7: Mt nm sau c sc, mc chuyn dch ln gi nhp khu vn gi mc rt thp trong trng hp ca Singapore v i Loan, so vi nhng trng hp trc, mc ny tng ln nhanh chng sau 2 nm sau c sc. Bng 8: H s chuyn dch vn gi mc kh thp so vi gi nhp khu tng ng. H s by gi l cao nht trong vng 1 nm sau c sc ti CH Sc, Mexico v Ba Lan. Ti Chu , ERPT ln gi tiu dng li cho thy l thp. Trng hp ca Singapore, mc d c lng im ca cc h s l s m nhng chng khng khc 0 l bao nhiu.

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Argentina v Turkey ni bt ln vi mc chuyn dch ln gi tiu dng rt thp.

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Ni dung v kt qu nghin cu
M hnh Thay Th 1:

Bng 9: Mt ln na chng ti khng tm thy bng chng v mt thng k ca mi lin h gia ERPT v mc m ca, thm ch sau khi iu chnh theo lm pht.

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Ni dung v kt qu nghin cu
M hnh Thay Th 2:
et
pimpt

t gi hi oi ch s gi nhp khu bin u ra (sn lng) gi sn xut ni a ch s gi tiu dng li sut ngn hn
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yt ppit cpit

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it

Ni dung v kt qu nghin cu
M hnh Thay Th 2:

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Ni dung v kt qu nghin cu
M hnh Thay Th 2:

Bng 10: S chuyn dch n gi nhp khu rt gn vi 1, c giai on sau 1 v 2 nm, Argentina, Chile, Hungary, Poland, Mexico v Turkey. Trong khi , kt qu li thp hn nhiu nhng nc Chu v CH Sc.

Bng 11: S chuyn dch ln gi tiu dng l thp hn s chuyn dch ln gi nhp khu i vi tt c cc quc gia v mt vi trng hp cc nc chu th li gn bng 0 sau c giai on 1 v 2 nm.

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Ni dung v kt qu nghin cu
M hnh Thay Th 2:

Bng 12:

Tm ra c nhng bng chng ca s tng quan dng gia chuyn dch ln gi CPI v lm pht ( mc ngha 1%) sau khi loi b Argentina v Turkey khi mu. Mi quan h gia s chuyn dch CPI v m ca nn kinh t cng c mi quan h cng chiu sau khi iu chnh t l lm pht nhng li khng c ngha thng k.
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Kt lun
Cc h s tng quan gia CPI pass- through v cc gii php n nh kinh t v m cng cng chiu v hu ht u c ngha cho ton b chui thi gian c xem xt. Mi lin h gia CPI pass- through v s m ca l tng quan cng chiu vi iu kin lm pht c kim sot, nhng khng c ngha thng k ng k. C mi quan h gia ERPT v lm pht. Mi quan h gia ERPT v mc m ca nhp khu ch c ngha v mt l thuyt nhng khng c ngha thng k. Nhng thay i ca t gi hoi i t ngn hn n trung hn c cng chiu vi nhng thay i gi c. Phn tch ny phn no cho thy lp lun thng thng rng ERPT trong nn kinh t "ang pht trin" th lun cao hn so vi nn kinh t "pht trin" l cha chnh xc

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Nhng hn ch ca bi nghin cu

Kt qu bi nghin cu cha thc s ng khi bao gm 2 nc Argentina & Th nh k a ra nhng kh khn d ton vi nhng bt n nghim trng ca nn kinh t v m. D liu cho cc bin khng ng nht gia cc quc gia, lm cho m hnh cha thc s chnh xc. iu kin kim nh ca m hnh b gii hn Cha nu c nh hng ca chnh tr x hi ln s tc ng ny.

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GVHD: C inh Th Thu Hng Nhm thc hin : Nguyn Th Nguyt Yn Trn Th Hu Hunh Cao Khoa Nguyn Ngc Tun V Th Phng Nhi
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Chc cc bn thi tt

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