Nghin Cu & Trao i

Qun l gi vng
nhn t gc kinh t v m
PGS.TS. BI KIM YN

Trng i hc Kinh t TP.HCM

ThS. NGUYN KHNH HONG

Ngn hng thng mi c phn Chu - ACB

bin ng kh lng ca gi vng trong thi gian va qua gy ra

nhiu tc ng tiu cc cho nn kinh t, chnh v vy vn c t ra
l phi nghin cu cc gii php gip hn ch n mc thp nht tc
ng tiu cc ca n v gp phn bnh n th trng vng VN. Ni dung nghin
cu ca bi bo ny c t di gc nhn ca nh qun l i vi th trng
vng trong nc. Thng qua vic xc nh cc nhn t tc ng n gi vng
trong nc s gip a ra c cc gii php qun l s bin ng ca gi vng
v a th trng vng i vo hot ng n nh gp phn vo s pht trin n
nh ca th trng ti chnh VN. Bi nghin cu ch yu s dng phng php
nh tnh, nh lng, thng k so snh tng hp lm r vn nghin cu.
ng thi s dng m hnh VAR kim nh tc ng ca cc nhn t n gi
vng. Phn mm c s dng chy m hnh l Eviews 6.
T kha : Ch s gi tiu dng CPI, S Giao dch Vng Quc gia SGDV,
thu gi tr gia tng VAT, m hnh vect t hi quy VAR.

1. Gii thiu

Ti VN, t sau giai on nm

1975 th trng vng pht trin
mnh m khng ngng v n nay
sau nhiu bin c thng trm nhng
th trng vng vn c sc ht rt
mnh m i vi cc ngun lc ca
x hi. Theo c lng ca cc t
chc trong v ngoi nc, ch vi
lng vng ang c d tr trong
dn l khong 400 tn quy ra tng
ng vi 20 t USD theo gi tr
hin ti cha tnh n cc ngun
vng khc cho thy quy m th
trng vng VN l khng nh cht
no. iu ny cho thy tim nng
ca th trng ny l rt ln, vic
khi thng ngun vn khng l
ny s gip to pht trin cho c

h thng ti chnh ni ring v c

nn kinh t ni chung.
2. C s l thuyt v phng
php nghin cu

2.1. C s l thuyt
Cc nhn t tc ng n gi
vng
Lm pht:
Lm pht xt v khi nim l
hin tng cung tin t ko di lm
cho mc gi c chung ca nn kinh
t tng ln lin tc trong mt thi
gian nht nh. Xut pht t gi tr
ni ti, vng c s dng rng
ri nh l mt loi tin t t rt lu
v do c cho l c hiu qu
phng nga lm pht v gim pht.
Sherman (1983) v Moore (1990)
kt lun rng gia gi vng v

lm pht c mi quan h cng

chiu vi nhau, v lm pht c th
c s dng nh l mt ch bo
quan trng d bo gi vng.
T gi hi oi:
Khi gi tr ng ngoi t thay
i s dn n vic gi vng c
nh gi theo ngoi t thay i
theo. Hin nay do USD l ng
tin thanh ton mang tnh ton cu
nn cc hng ha, giao dch trn
th gii ch yu c nh gi theo
ng USD trong bao gm c
vng. Cho nn bt c tc ng no
tc ng lm tng gim gi tr ng
USD cng lm bin ng n gi
vng. Mt khc, vng cng l mt
cng c phng nga ph bin ca
cc t chc ln phng nga ri

S 19 (29) - Thng 11-12/2014 PHT TRIN & HI NHP

67

Nghin Cu & Trao i

ro khi ng USD mt gi. Khi ng USD mt gi so
: sai s ca m hnh
vi cc loi tin t cn li th vng tng gi v ngc
Phn phn tch nh lng s i theo cc bc sau:
li nhng iu ny khng phi lc no cng ng v
Bc 1: T s liu thu thp c tin hnh nhp liu
cn phi tnh n nhiu nhn t tc ng n gi vng vo phn mm Eview 6 x l v chy m hnh
khc.
Bc 2: Kim tra tnh dng ca cc bin trong m
i vi th trng vng trong nc, gi vng trong hnh bng vic kim nh nghim n v, qua xc
nc c quy i t gi vng th gii theo cng nh tr thch hp ca m hnh
thc:
Bc 3: Kim tra t tng quan trong phn d ca
Gi vng quy i (VND/lng) = Gi vng m hnh
th gii (USD/Oz) * 1.20556 * T gi USD/VND
Bc 4: Kim nh quan h nhn qu gia cc bin
(Ngun: www.acb.com.vn)
Bc 5: Phn tch tc ng phn ng y gia cc
Nh vy t trong cng thc ta thy c gi bin
vng v t gi c mi quan h cht ch nh th no.
Bc 6: Phn tch phn r phng sai
c bit do c th VN l nc nhp khu vng l
Kt lun rt ra t m hnh
chnh nn t gi USD/VND bin ng th s lm gi
Gii hn cc bin nghin cu
vng trong nc bin ng theo.
Cc bin trong
Li sut:
K hiu
Ngun s liu
m hnh
Gia gi vng v li sut c mi quan h Gi vng trong
GIAVANGTRONGNUOC
http://www.acb.com.vn/tygia/
cht ch vi nhau. Vi tn hiu gim li sut nc
ca Ngn hng Trung ng s dn n vic Gi vng th gii
GIATG
http://www.reuters.com/
tng cng tin cho nn kinh t ko theo h
gi bnh qun
TGLNH
http://www.reuters.com/
ly s lm cho lm pht tng qua lm tng T
lin ngn hng
nhu cu mua vng bo ton gi tr chng Ch s gi tiu
CPIMY
http://elibrary-data.imf.org/
li lm pht nn ko theo vic gi vng cng dng M
Ch s gi tiu
s tng theo.
CPIVN
http://elibrary-data.imf.org/
dng VN
2.2. Phng php nghin cu
Li sut huy ng
LSHD
http://elibrary-data.imf.org/
* M hnh kim nh cc nhn t tc bnh qun
ng n gi vng
Bi nghin cu s dng m hnh VAR gm 6
Trong phm vi bi vit ny, do cn gp nhiu kh
bin phn tch kim nh cc nhn t tc ng n khn trong vic thu thp s liu nghin cu (cc bin
gi vng VN giai on 10 nm t thng 8.2003 n v chnh sch) cng nh phng php x l nh lng
07.2013, y l mt h phng trnh gm 6 phng (hnh vi ca nh u t) nn nghin cu ch tp trung
trnh:
vo s tc ng gia cc bin kinh t nh gi vng th
GIAVANGTRONGNUOC = a
t

+b
i =1

i =1

i =1

i =1

+ d 1iTGLNH t i + e 1iCPIMY t i + f

GIAVANGTRONGNUOC

1i

CPIVN

1i

t i

Trong :
k: gi tr tr
, , , , , , : ma trn h s vung ca h
phng trnh.
GIAVANGTRONGNUOC: Gi vng trong nc
GIATG: Gi vng giao ngay th gii
TGLNH: T gi USD/VN bnh qun lin ngn
hng
CPIMY: Ch s gi tiu dng CPI ca M
CPIVN: Ch s gi tiu dng ca VN
LSHD: Li sut huy ng bnh qun trong nc.

68

PHT TRIN & HI NHP S 19 (29) - Thng 11-12/2014

+ j
i =1

1i

LSHD

t i

t i

+c
i =1

GIATG

1i

t i

+ w1t

gii, li sut, CPI, t gi n gi vng trong nc.

Phm vi d liu nghin cu: t thng 8/2003 n
thng 7/2013 gm 120 k mi k tng ng vi 1
thng.
* Kt qu v nh gi
Kim nh mi tng quan gia gi vng th
gii v gi vng trong nc
Nhn chung VN l nc nhp khu 95% lng vng
nguyn liu t th trng bn ngoi nn gi vng trong
nc ph thuc rt nhiu vo gi vng th gii. T s
liu thu thp c trong giai on nghin cu, ta thu

Nghin Cu & Trao i

c kt qu chy thng k nh sau v tnh tng
quan gia gi vng trong nc v gi vng th gii
nh sau:
Correlation

GIATG

GIAVANGTRONGNUOC

0.990453753

0.990453753

GIATG
GIAVANGTRONGNUOC

C th thy mc tng quan 99.045% l rt

cao v l tng quan cng chiu vi nhau. Khi gi
th gii tng th gi vng trong nc cng tng theo
v ngc li.
Kim nh tc ng cc nhn t n gi vng
trong nc
M hnh VAR c thc hin nh sau:
Bc 1: T s liu thu thp c tin hnh nhp
liu vo phn mm Eview 6 x l v chy m
hnh ta c m hnh gm 2 nhm bin:
Bin ni sinh: GIAVANGTRONGNUOC,
CPIVN, LSHD, TGLNH
Bin ngoi sinh: GIATG, CPIMY
Bc 2: Kim nh nghim n v:
u tin ta phi kim tra xem cc tp s liu
theo cc bin theo chui thi gian c thu thp
trong bi nghin cu c tnh dng hay cha bng
cc s dng kim nh Augmented Dickey-Fuller
(ADF). Thc hin kim nh trn vi cc bin ta
thy tt c d liu ca cc bin u khng c tnh
dng. Nn ta xt tip n sai phn ca cc bin trn,
ta c kt qu sau:

Gi thit Ho: D(CPIMY) khng c tnh dng

Ngoi sinh: Hng s
Chiu di tr: 1 (T ng tnh da trn gi tr ca SIC,
MAXLAG=12)
Thng k t

Prob.*

Kim nh Augmented Dickey-Fuller

-6.918109

0.0000

Gi tr tra bng:

Mc 1%

-3.487046

Mc 5%

-2.886290

Mc 10%

-2.580046

*Phng php MacKinnon (1996)

Gi thit Ho: D(GIATG) khng c tnh dng

Ngoi sinh: Hng s
Chiu di tr: 0 (T ng tnh da trn gi tr ca SIC,
MAXLAG=12)

Kim nh Augmented Dickey-Fuller

Gi tr tra bng:
Mc 1%
Mc 5%
Mc 10%

Chiu di tr: 0 (T ng tnh da trn gi tr ca SIC,

MAXLAG=12)

Xc sut

-13.17044
-3.486551
-2.886074
-2.579931

0.0000

*Phng php MacKinnon (1996)

Gi thit Ho: D(GIAVANGTRONGNUOC) khng c tnh dng

Ngoi sinh: Hng s
Chiu di tr: 0 (T ng tnh da trn gi tr ca SIC,
MAXLAG=12)

Gi thit Ho: D(CPIVN) khng c tnh dng

Ngoi sinh: Hng s

Thng k t

Kim nh Augmented Dickey-Fuller

Gi tr tra bng:
Mc 1%
Mc 5%
Mc 10%

Thng k t

Xc sut

-10.66990
-3.486551
-2.886074
-2.579931

0.0000

Thng k t

Xc sut

Kim nh Augmented Dickey-Fuller

-5.135575

0.0000

Gi tr tra bng:

Mc 1%

-3.486551

Mc 5%

-2.886074

Gi thit Ho: D(LSHD) khng c tnh dng

Mc 10%

-2.579931

Ngoi sinh: Hng s

*Phng php MacKinnon (1996)

Ta thy gi tr tuyt i t tnh ton theo m hnh

l 5.135575 ln hn gi tr tuyt i tra bng l
3.486551; 2.886074; 2.579931 nn ta bc b gi
thit Ho ngha l sai phn bc 1 ca CPIVN c tnh
dng. Tng t vi cc sai phn ca cc bin cn
li ta cng c kt qu tng t.
Kt qu sau khi chy m hnh cho thy hu ht
cc bin u l cc chui thi gian khng dng

*Phng php MacKinnon (1996)

Chiu di tr: 1 (T ng tnh da trn gi tr ca SIC,

MAXLAG=12)
Thng k t

Xc sut

Kim nh Augmented Dickey-Fuller

-4.507015

0.0003

Gi tr tra bng:

Mc 1%

-3.487046

Mc 5%

-2.886290

Mc 10%

-2.580046

*Phng php MacKinnon (1996)

S 19 (29) - Thng 11-12/2014 PHT TRIN & HI NHP

69

Nghin Cu & Trao i

Gi thit Ho: D(TGLNH) khng c tnh dng
Ngoi sinh: Hng s
Chiu di tr: 0 (T ng tnh da trn gi tr ca SIC,
MAXLAG=12)

Thng k t

Xc sut

Kim nh Augmented Dickey-Fuller

-10.89549

0.0000

Gi tr tra bng:

Mc 1%

-3.486551

Mc 5%

-2.886074

Mc 10%

-2.579931

phi ph hp vi d liu. Mc d tiu ch tr

l 8 tha mn nhiu nht nhng nu chn tr
l 8 th ta phi iu chnh gim 9*4+2=38 bc t
do trong khi nghin cu ch c 120 quan st nn
ta chn tr ph hp l 1.
Bc 3
Kim nh t tng quan phn d ca m hnh
Gi thit Ho: khng c t tng quan trong tr
Ngy: 08/23/13 Gi: 15:37
C mu: 2003M08 2013M07
Tng hp bin quan st: 118

*Phng php MacKinnon (1996)

k gc nhng u l cc chui dng sai phn bc 1

vi mc ngha l 1%.
* Xc nh tr ti u cho cc bin ca m
hnh:
Mc ch l nhm la chn c s bin tr a
vo m hnh, trnh b st cc bin gii thch quan
trng tm ra m hnh ti u nht.
Tiu ch la chn tr ti u ca m hnh l cn
c theo cc tiu ch mc nh ca m hnh, tr no
t c nhiu tiu ch th cng tt nhng phi m
bo thm iu kin v s bc t do trong m hnh

tr

Kim nh LM

Xc sut

1
2
3
4
5
6
7
8
9
10
11
12

100.9542
20.07863
15.24902
14.88273
33.10388
52.65696
13.37506
11.49933
20.07447
28.32294
24.60184
24.89659

0.0000
0.2167
0.5065
0.5332
0.0072
0.0000
0.6452
0.7777
0.2169
0.0289
0.0772
0.0717

Probs from chi-square with 16 df.

Tiu chun la chn tr m hnh

Bin ni sinh: D(GIAVANGTRONGNUOC) D(CPIVN) D(LSHD) D(TGLNH)
Bin ngoi sinh: C GIATG CPIMY
Ngy: 08/23/13 Gi: 15:35
C mu: 2003M08 2013M07
Tng hp bin quan st : 111
Lag

LogL

LR

FPE

AIC

SC

HQ

-2757.883

NA

5.56e+16

49.90779

50.20072

50.02662

-2719.477

71.96645

3.71e+16

49.50410

50.18758*

49.78137*

-2706.840

22.77001

3.95e+16

49.56468

50.63873

50.00039

-2701.694

8.901049

4.83e+16

49.76025

51.22486

50.35440

-2691.494

16.90770

5.40e+16

49.86476

51.71994

50.61735

-2672.829

29.59564

5.20e+16

49.81674

52.06247

50.72777

-2639.686

50.16198

3.88e+16

49.50786

52.14416

50.57733

-2623.366

23.52438

3.94e+16

49.50209

52.52895

50.73000

-2602.241

28.92871*

3.69e+16*

49.40974*

52.82716

50.79609

* Tiu ch la chn tr ca m hnh

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

70

PHT TRIN & HI NHP S 19 (29) - Thng 11-12/2014

Nghin Cu & Trao i

M hnh VAR
c lng vect t hi quy
Ngy: 08/23/13 Gi: 15:36
C mu iu chnh: 2003M10 2013M07
Tng hp s bin quan st: 118 sau iu chnh
Sai s chun l ( ) & gi tr thng k t l [ ]
D(GIAVANG
TRONGNUOC)

D(CPIVN)

D(LSHD)

D(TGLNH)

-0.041457

1.20E-07

1.19E-07

-7.29E-06

(0.09497)

(8.2E-08)

(5.7E-08)

(1.4E-05)

[-0.43651]

[ 1.46778]

[ 2.07102]

[-0.52938]

-40858.23

0.548383

0.198812

24.39374

(104289.)

(0.08975)

(0.06299)

(15.1279)

[-0.39178]

[ 6.11026]

[ 3.15634]

[ 1.61250]

97722.74

0.082332

0.232364

-46.23157

(160620.)

(0.13822)

(0.09701)

(23.2991)

[ 0.60841]

[ 0.59563]

[ 2.39523]

[-1.98426]

-681.4367

0.000468

-0.000143

-0.000634

(659.803)

(0.00057)

(0.00040)

(0.09571)

[-1.03279]

[ 0.82476]

[-0.35799]

[-0.00663]

14344518

4.677452

-0.310809

-419.3957

(4351911)

(3.74514)

(2.62846)

(631.278)

[ 3.29614]

[ 1.24894]

[-0.11825]

[-0.66436]

2661.932

0.001093

-0.000415

-0.072099

(752.433)

(0.00065)

(0.00045)

(0.10915)

[ 3.53777]

[ 1.68839]

[-0.91356]

[-0.66057]

-153045.7

-0.048409

0.003938

4.693683

(46327.2)

(0.03987)

(0.02798)

(6.72012)

[-3.30358]

[-1.21424]

[ 0.14073]

[ 0.69845]

R-squared

0.114746

0.438530

0.280702

0.047753

Adj. R-squared

0.066894

0.408181

0.241821

-0.003719

Sum sq. resids

1.69E+14

125.4056

61.77108

3563057.

S.E. equation

1235120.

1.062911

0.745987

179.1636

D(GIAVANG
TRONGNUOC(-1))

D(CPIVN(-1))

D(LSHD(-1))

D(TGLNH(-1))

GIATG

CPIMY

F-statistic

2.397956

14.44924

7.219507

0.927741

Log likelihood

-1818.975

-171.0260

-129.2470

-776.0460

Akaike AIC

30.94872

3.017390

2.309272

13.27197

Schwarz SC

31.11309

3.181752

2.473634

13.43633

Mean dependent

260423.7

1.209153

-0.025932

47.38136

S.D. dependent

1278627.

1.381664

0.856732

178.8314

Determinant resid covariance (dof adj.)

Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion

2.46E+16
1.93E+16
-2882.064
49.32312
49.98057

Bc 3: Kim tra t tng

quan trong phn d ca m
hnh.
Ho: M hnh khng c hin
tng t tng quan trong phn
d.
Ta so snh cc gi tr p-value
vi 0.05
- Nu p-value > 0.05: chp nhn
Ho; m hnh khng c hin tng
t tng quan trong phn d.
- Nu p-value < 0.05: bc b
Ho; m hnh c hin tng t
tng quan trong phn d.
T kt qu thu c, ta thy
nhn chung khng c mt xu th
bin ng gi tr p-value c th r
rng ngha l v tng th m hnh
khng c s t tng quan gia
cc phn d trong m hnh.
Bc 4: Kim nh mi quan
h nhn qu gia cc bin.
Nguyn tc l ta so snh ln
lt cc gi tr p-value thu c
vi 0.05: Nu p-value < 0.05 th
bin c tc ng n bin
cp, v ngc li nu p-value >
0.05 th bin khng c tc ng
n bin cp.
Trong trng hp bin cp
l bin GIAVANGTRONGNUOC
do cc gi tr p-value u ln
hn 0.05 nn cc bin CPIVN,
LSHD, TGLNH l khng tc
ng (hoc tc ng rt t) n
GIAVANGTRONGNUOC u
ny c th gii thch l do gi vng
trong nc hin nay bin ng ch
yu l do hot ng u c cng
nh chu nh hng ca chnh sch
iu tit ca Chnh ph nn c th
tc ng ca thay i CPI, li sut
huy ng ca nn kinh t cng
nh t gi ln gi vng l khng
r rng. V trong 3 bin ny th tc
ng ca bin t gi ln gi vng
trong nc c mc cao hn 2
bin cn li.

S 19 (29) - Thng 11-12/2014 PHT TRIN & HI NHP

71

Nghin Cu & Trao i

Bc 4:
VAR: Kim nh Granger /Kim nh Wald Tests b bin ngoi sinh
Ngy: 08/23/13 Gi: 15:37
C mu: 2003M08 2013M07
Tng hp s quan st: 118
Bin ph thuc: D(GIAVANGTRONGNUOC)
Bin tc ng

Chi-sq

df

Prob.

D(CPIVN)

0.153492

0.6952

D(LSHD)

0.370164

0.5429

D(TGLNH)

1.066650

0.3017

All

1.366908

0.7133

Bin ph thuc: D(CPIVN)

Bin tc ng

Chi-sq

df

Prob.

D(GIAVANGTRONGNUOC)

2.154377

0.1422

D(LSHD)

0.354781

0.5514

D(TGLNH)

0.680226

0.4095

All

3.937614

0.2683

Bin ph thuc: D(LSHD)

Bin tc ng

Chi-sq

df

Prob.

D(GIAVANGTRONGNUOC)

4.289121

0.0384

D(CPIVN)

9.962453

0.0016

D(TGLNH)

0.128160

0.7203

All

16.46947

0.0009

Bin ph thuc: D(TGLNH)

Bin tc ng

72

Chi-sq

df

Prob.

D(GIAVANGTRONGNUOC)

0.280240

0.5965

D(CPIVN)

2.600170

0.1069

D(LSHD)

3.937302

0.0472

All

4.525453

0.2100

PHT TRIN & HI NHP S 19 (29) - Thng 11-12/2014

Tng t tc ng ca 3 bin gi vng trong nc,

li sut v t gi ln ch s CPI cng khng r rng.
i vi bin li sut huy ng th bin gi vng
trong nc v ch s CPI c tc ng ln li sut huy
ng v khi gi vng v CPI tng ng ngha vi vic
lm pht s tng, khi buc lng ngn hng phi
tng li sut kim ch lm pht.
i vi kim nh nhn t tc ng n t gi,
th trong giai on nghin cu ta thy ch c bin
li sut huy ng l c tc ng n t gi v khi li
sut VND tng so vi USD, ngi dn s c khuynh
hng chuyn t s hu USD sang VND lm cho
cu USD gim, cu VND tng hay USD s gim gi
so vi VND tc l t gi USD/VND s gim. Bin
GIAVANGTRONGNUOC khng tc ng n
TGLNH.
Bc 5: Phn tch tc ng phn ng y gia cc
bin nhm xc nh cc bin trong m hnh tc ng
ln nhau nh th no.
Nhn vo th, ta thy bin CPIVN nhn chung
khng c tc ng i vi bin gi vng trong nc

Nghin Cu & Trao i

th hin bng ng mu xanh
nm ngang gc ta . Trong khi
chiu ngc li tc ng t c
shock bin ng gi vng i vi
CPIVN l kh mnh ngay tc th,
t nh chu k th 2 sau trt
gim dn u v kt thc sau 8 chu
k.
i vi bin LSHD th ta thy
nu c c shock xy ra vi li sut
th tc ng vi gi vng trong nc
l tc thi nhng khng mnh v
s kt thc sau 4 chu k. Ngc li
n phin mnh bin ng v gi
vng s c tc ng tc th n li
sut khin li sut tng mnh chu
k th 2 sau gim dn v n
nh khi kt thc chu k th 8.
i vi c shock v t gi th
mi bin ng v t gi cng s
c tc ng tc th i vi gi
vng trong nc nhng tc ng l
ngc chiu v kh yu i vi gi
vng trong nc nhng sau tng
dn v kt thc sau 3 chu k. iu
ny c th c gii thch l do khi
chnh lch gi vng trong nc
v th gii tng cao th xut hin
tnh trng gom ngoi t nhp lu
vng t nc ngoi dn n t gi
tng cao. Lng vng nhp lu sau
khi c gia cng s lm tng cung
vng trn th trng dn n gim
gi vng. Sau t gi khi c
iu chnh gim li v mc ban u
nhng vn cn thi gian tiu th
ht s lng vng ny nn gi vng
vn duy tr mc thp nhng thi
gian duy tr thng khng ko di
(theo nh m hnh l 3 thng).
Trong khi bin ng gi vng
trong nc tc ng tc th n t
gi nhng gim dn v bt u n
nh chu k th 2. Nh vy tc
ng ca c shock gi vng trong
nc i vi t gi c thi gian tc
ng kh ngn.

Phn tch phn r i vi D(GIAVANGTRONGNUOC):

K hn

S.E.

D(GIAVANG
TRONGNUOC)

D(CPIVN)

D(LSHD)

D(TGLNH)

1235120.

100.0000

0.000000

0.000000

0.000000

1244706.

98.88783

0.009374

0.202373

0.900426

1245252.

98.81705

0.012372

0.270900

0.899674

1245285.

98.81245

0.012571

0.274221

0.900760

1245290.

98.81176

0.012796

0.274659

0.900784

1245292.

98.81158

0.012931

0.274706

0.900784

1245292.

98.81151

0.012989

0.274713

0.900783

1245292.

98.81149

0.013012

0.274715

0.900783

1245292.

98.81148

0.013020

0.274715

0.900783

10

1245292.

98.81148

0.013023

0.274715

0.900783

Bc 6: Phn tch phn r

phng sai
Xem mt bin gii thch cho cc
bin khc bao nhiu phn trm.
T kt qu thu c ta thy:
Bin CPIVN gii thch cho bin
GIAVANGTRONGNUOC mc
0.013% l kh thp.
Bin LSHD gii thch cho bin
GIAVANGTRONGNUOC mc
0.27% l kh thp.
Bin TGLNH gii thch cho
bin GIAVANGTRONGNUOC
mc 0.9% l kh thp.
3. Kt qu v tho lun

- M hnh VAR trnh by trn

khng c hin tng t tng quan
gia cc phn d, m bo tnh
dng ca d liu cc bin sai
phn bc 1 vi mc ngha 1%
nn c ngha v mt thng k.
- M hnh ph hp vi thc t
ti VN l cc bin kinh t nh
ch s CPI, t gi, li sut th hin
vai tr ca n i vi gi vng
trong nc rt thp th hin tn
sut tc ng, mnh tc ng
cng nh mc gii thch cho
gi vng trong nc u kh thp.
iu ny c th hiu xut pht t
thc t l gi vng trong nc
ch yu ph thuc vo gi vng

th gii do VN l nc nhp khu

trn 95% vng nguyn liu t th
trng bn ngoi. Hn na vi
c th chnh lch gi vng trong
nc v th gii thng rt cao
to mi trng thun li cho hot
ng u c vng pht trin mnh
nn gi vng khng phn nh ng
bn cht cung cu ca th trng.
Mt nguyn nhn na l do th
trng vng chu s kim sot cht
ch ca Ngn hng Nh nc nn
gi vng thng chu nh hng
mnh ca thay i v mt chnh
sch cng nh s iu tit mang
tnh cht hnh chnh ca cp qun
l th trng. Ba nguyn nhn k
trn l nhn t chnh khin gi vng
ti VN mang tnh c th khc bit
vi cc th trng khc v khng
phn nh ng i vi cc thay i
ca bin kinh t khc.
4. Kt lun v kin ngh

4.1. Kt lun
T kt qu chy ra ca m hnh
vi phm vi d liu 10 nm (t
08/2003 n 07/2013) ta thy c
rng gi vng khng phn nh y
nh hng ca cc bin kinh t
nh li sut, t gi, CPI. Tc ng
ca cc bin ny n gi vng l rt
yu. Cc bin ng xy ra i vi

S 19 (29) - Thng 11-12/2014 PHT TRIN & HI NHP

73

Nghin Cu & Trao i

cc bin trn tc ng n gi vng

tc th nhng thi gian ko di ch
t 2-3 thng, trong khi tc ng
ca bin ng gi vng trong nc
ln cc bin ny li kh mnh v
thng ko di c khi n 8 thng.
Trong khi mt thc t l gi
vng trong nc chu nh hng
nhiu ca chnh sch qun l iu
tit t Chnh ph nn vn t ra
l vic qun l th trng vng ca
Chnh ph cn mm do linh hot,
chnh sch ban hnh cn nghin
cu k tc ng n th trng.
Cn trnh thay i chnh sch t
ngt lm gi vng bin ng tht
thng s gy tc ng mnh v
ko di nh hng n s n nh
v m ca nn kinh t. Bn cnh
vic cn lm ngay l phi gim
chnh lch gi vng trong v ngoi
nc xung mc cho php c
th hn ch tnh trng u c gy
bin ng gi vng trong thi gian
qua.
4.2. Kin ngh
4.2.1. Nhm gii php nhm
kim sot t gi
Thng qua m hnh nghin cu
i vi 3 bin kinh t k trn trong
mi quan h tc ng vi gi vng
trong nc th bin t gi c tc
ng ln nht, tip theo l li sut

74

v cui cng l lm pht. iu ny

c l gii mt phn l do t gi
c dng xc nh gi vng quy
i trong nc t gi vng th gii
nn vai tr ca t gi l quan trng
hn c. Vic kim sot t gi c
ngha quan trng khng ch i vi
vic n nh gi vng ni ring m
cn c ngha cho c nn kinh t
ni chung. th trng VN, t kt
qu nghin cu ta thy c s gia
tng trong t gi c khuynh hng
lm gim gi vng trong nc v
tc ng ny khng xut hin kt
qu ngay tc th m c chu k l 3
thng (d l kh yu). Nhm gii
php n nh t gi bao gm:
- Tng cng hn na cng
tc kim tra, thanh tra, gim st
kp thi x l cc hnh vi u
c, mua bn ngoi t tri php trn
th trng c bit l cc nh ch
ti chnh ngn hng cn phi minh
bch hot ng kinh doanh ngoi
hi ca n v mnh vi vai tr l
cu ni gia cung v cu ngoi t
trong nn kinh t.
- Gim ngay chnh lch gi
vng trong v ngoi nc trnh
hin tng gii u c tin hnh
thu gom ngoi t nhp lu vng
kim li lm mt cn bng cung
cu ngoi t gy nn bin ng t

PHT TRIN & HI NHP S 19 (29) - Thng 11-12/2014

ngt v t gi.
- Khng ngng ci thin nng
lc cnh tranh cng nh mi
trng kinh doanh ca nn kinh t
nc nh, nng cao cht lng dch
v kiu hi, du lch nhm thu ht
nhiu hn na dng vn trc tip
v gin tip u t vo VN. y s
l mt knh cung cp ngoi t hiu
qu cho d tr ngoi hi quc gia
khi cn c ngun can thip vo
th trng trong giai on t gi
bin ng bt li cho nn kinh t.
- Ngn hng Nh nc cn can
thip th trng mt cch linh hot
iu chnh tng bc, khng nn
thay i chnh sch qu t ngt
nhm hn ch tnh trng u c
n u chnh sch kim li bt
hp php.
- Xy dng nim tin ca ngi
dn vo tin ng, vo s pht trin
n nh ca nn kinh t qua hn
ch thi quen tch tr ngoi t ca
ngi dn c nh vy mi gip hn
ch c tnh trng la ha gip
n nh t gi trn th trng.
4.2.2. Nhm gii php nhm
kim sot li sut:
i vi mi quan h gia li
sut v gi vng m hnh nghin
cu cho thy tc ng ca li sut
n gi vng l kh yu, cng chiu

Nghin Cu & Trao i

v c chu k l 3 thng. Nn cn
theo di bin ng ca gi vng
trong chu k 3 thng ny nh
gi kt qu ca chnh sch v li
sut khi cn. ng thi kim sot
li sut cng c vai tr quan trng
gip n nh gi vng. Nhm gii
php nhm kim sot li sut bao
gm:
- Ngn hng Nh nc cn theo
di st sao tnh hnh li sut huy
ng, cho vay trn th trng
c chnh sch iu tit li sut linh
hot theo din bin ca h thng
ti chnh v ca c nn kinh t.
Gim st quy nh v trn li sut
huy ng VND v USD ca cc t
chc tn dng vi khch hng x
l kp thi cc trng hp vi phm.
Tin ti xy dng trn li sut cho
vay hp l kch thch sn xut
tiu dng n nh sn xut.
- Chnh sch v li sut ban
hnh khng nn t ngt m phi
linh hot tng bc trnh dn
n phn ng mnh ca th trng
v theo kt qu m hnh th bin
ng ca li sut c tc dng tc
th n gi vng.
- Tng cng hn na cht
lng hot ng ca th trng
lin ngn hng, to nim tin trong
giao dch gia cc t chc tn dng
vi nhau. Mt khi li sut trn th
trng lin ngn hng n nh s
gip cho li sut ca c nn kinh t
t bin ng t ngt hn.
4.2.3. Nhm gii php nhm
kim ch lm pht:
Tc ng ca lm pht n gi
vng trong nc t kt qu ca m
hnh nghin cu l rt yu gn nh
l bng 0. Tuy nhin trong iu
kin c nc ang thc hin chnh
sch lm pht mc tiu nh hin
nay vic kim sot lm pht khng
ch c ngha i vi s n nh
ca gi vng v c th trng vng

m qua cn gp phn gip cho

s pht trin n nh ca c nn
kinh t, gi vng thnh qu tng
trng ca t nc. Nhm gii
php nhm kim ch lm pht bao
gm:
- Xy dng c ch li sut linh
hot theo kp vi din bin ca th
trng tin t, ng thi iu chnh
hot ng tn dng tp trung vo
cc lnh vc trng im c hiu
qu cao trong vic kim ch lm
pht. Phi hp hot ng gia cc
c quan ban ngnh qun l cng
nh ton h thng cc nh ch ti
chnh m bo thanh khon tt
cho c nn kinh t.
- V chnh sch ti kha: Cn
ct gim u t cng mt cch
c chn lc i vi nhng cng
trnh cha tht cn thit, gim chi
thng xuyn trong tng chi ngn
sch ca nh nc mc ch nhm
gim cung tin ra nn kinh t, m
bo b sung kp thi cho cc ngun
chi thit yu khc b nh hng bi
lm pht.
- y mnh xut khu gim
nhp siu, h tr sn xut nng
nghip, lng thc, thc phm n
nh cung cu hng ha cho nn
kinh t, n nh gi c tin ti
n nh lm pht.
- Theo di cht ch din bin th
trng ngn chn kp thi cc hot
ng u c, lng on th trng,
thng tin khng ng s tht nhm
to tm l bt n khin gi c bin
ng gy mt n nh cho nn kinh
tl
TI LIU THAM KHO
Baur & Lucey (2010), Is Gold a Hedge or
a Safe Haven?An Analysis of Stocks,
Bonds and Gold, The Financial Review,
School of Business and Institute for
International Integration Studies, Trinity
College Dublin.
Blose (2010), Gold Prices, Cost Of Carry,
And Expected Inflation, Journal of

Economics and Business, Grand Valley

State University, United States.
Erste Group Research, Gold Report 2012,
Erste Bank, Vienna, Austria
Gary OCallaghan (1993), The Structure
And Operation Of The World Gold
Market, Occational Paper, International
Monetary Fund, Washington DC, USA
Jaffe (1989), Gold and Gold Stocks as
Investments for Institutional Portfolios,
Financial Analysts Journal, CFA
Institute.
L ng Yn Ngc (2011), Php lut v
qun l hot ng kinh doanh vng
ming, ti tt nghip i hc, i hc
Lut TP.HCM.
Mahdavi & Zhou (1997), Gold And
Commodity
Prices As
Leading
Indicators Of Inflation: Tests Of LongRun Relationship And Predictive
Performance, Journal of Economics
and Business, The University of Texas at
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Moore (1990), Gold Prices and a Leading
Index of Inflation, M.E. Sharpe, USA
Nguyn Th Hng Nhung (2011), ng dng
m hnh Vect t hi quy VAR kim nh
v d bo thc trng lm pht VN,
ti nghin cu khoa hc, trng i hc
Kinh t Tp H Ch Minh.
Sherman (1983), A Gold Pricing Model,
The Journal of Portfolio Management,
USA.
Srivyal Vuyyuri v Ganesh Mani (2005),
Gold pricing in India an Econometric
Analysis, Management consultants in
Hyderabad India.
Thi Th Hnh Nhi (2011), M hnh d bo
gi vng VN, Lun vn thc s kinh t,
trng i hc Kinh t TP.HCM
Wei Fan, Sihai Fang v Tao Lu (2012), Gold
Pricing Model During The Financial
Crisis, School of
Economics and
Management, University of Electronic
Science and Technology of China.
www.bloomberg.com; cmegroup.com;
http://elibrary-data.imf.org/
www.gold.org; www.kitco.com
http://www.reuters.com/; www.acb.com.vn/
www.cafef.vn; www.giavang.net;
http://sbv.gov.vn/; www.sjc.com.vn

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