M HNH O LNG SAI LCH T GI - NG DNG

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Tm tt: Sau hip nh Smithsonian Agreement 1973, nhiu quc gia trn
th gii chuyn sang ch t gi linh hot hn. C ngha l cc quc gia phi
tm mt mc t gi danh ngha thch hp, v vai tr iu tit t gi ca NHTW
ngy cng nng n. Hng lot s kin iu chnh t gi danh ngha cho ph hp
vi cc bin s kinh t trn th gii l mt cu hi kh i vi cc nh hoch
nh chnh sch: t gi mc no cho ph hp, ng thi th hin t gi thc
ca cc ng tin b lch khi mc cn bng di hn (sai lch t gi).
Trong vng 14 nm, Vit Nam 10 ln iu chnh bin t gi v 6 ln
iu chnh t gi bnh qun lin ngn hng, chng minh s cn thit phi iu
chnh t gi cho ph hp vi cc bin s kinh t v m quan trng ca nn kinh
t, ph hp vi din bin th trng ti chnh quc t, v phn no phn nh mc
sai lch ca t gi vi gi tr thc cn bng di hn. Mc d trong ba nm gn
y 2012 - 2014, Ngn hng Nh nc c xu hng n nh t gi, song khng
phi l khng c s iu chnh. V vy, hiu v o lng mc sai lch ca t
gi USD/VND l ht sc cn thit. Trng tm bi vit s trnh by hai vn :
(i) cc m hnh c s dng o lng sai lch t gi; (ii) ng dng m
hnh VECM o lng mc sai lch t gi Vit nam.
1. Cc m hnh c s dng o lng sai lch t gi
1.1. Khi nim sai lch t gi

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 Sai lch t gi l vn c nhiu nghin cu cp trong nhng nm
gn y, nht l trong bi cnh cc quc gia tm hng i cho mnh n nh,
pht trin kinh t v n nh nn kinh t ton cu.
C nhiu khi nim v sai lch t gi. Theo Peter J. Montiel (1999): sai
lch t gi l tnh trng t gi thc b lch tng i ln so vi gi tr cn bng
di hn. Cn Couharde, Ccile (2013) nh ngha: sai lch t gi l chnh
lch gia mc t gi thc hin ti vi mc cn bng, vi iu kin mc cn
bng c xc nh theo m hnh t gi cn bng hnh vi (behavioural
equilibrium exchange rate - BEER).
Nh vy, cc nh ngha u c im chung ging nhau, l sai lch t
gi xut hin khi t gi thc khc bit so vi t gi thc mc cn bng. Vi
mi phng php tnh t gi thc khc nhau, t gi thc ti mc cn bng s c
kt qu khc nhau. Hiu mt cch gin n hn, khi ng tin b nh gi danh
ngha cao hay thp so vi mc t gi cn bng ca th trng, th hin nhin l
ng tin c gi tr thc sai lch so vi mc cn bng.
1.2. M hnh o lng sai lch t gi
C nhiu m hnh c s dng o lng sai lch t gi trn th gii.
Bi vit cp ti ba m hnh, vi cch tip cn khc nhau o lng sai lch t
gi i vi Trung Quc (c coi l c ni t b nh gi thp) v Botswana
(c coi l c ni t nh gi cao).
1.2.1. M hnh o lng sai lch t gi ca Trung Quc
1.2.1.1. M hnh t gi thc cn bng hnh vi - phng php multivariate
cointegration Johansen (1995)
Michael Funke and Jrg Rahn, trong bi vit Just How Undervalued is
the Chinese Renminbi?, s dng m hnh t gi thc cn bng hnh vi
Behaivior Equilibrium Exchange Rate - BEER v t gi thc cn bng di
hn Permanent Equilibrium Exchange Rate - PEER. Hai m hnh gn nh
khng c s khc bit v l thuyt, nhng tng i khc nhau v k thut thc

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hin. M hnh c s dng o lng sai lch t gi ng Nhn dn t -
RMB giai on qu 1 nm 1985 ti qu 4 nm 2002.
M hnh 1: M hnh t gi thc cn bng hnh vi
M hnh: qt 0 1Z t t (1.1)
Trong Zt l vector cc bin s v m c bn c nh hng ti t gi
thc trong trung hn v di hn. Bt c sai lch no so vi t gi thc cn bng
u c th hin qua phn d t , bao gm nhng tc ng ca cc bin s v
m c bn ln t gi thc trong ngn hn v sai s ngu nhin. Do vy, t gi
thc cn bng hnh vi qt c xc nh l: qt 0 1Z t (1.2)
Trong cc nghin cu thc nghim vi cc nc, cc bin s kinh t v
m c bn trong vector Zt c th l chnh lch nng sut lao ng ca hai
nc, ti sn c ngoi t rng, v cu hng ha c th tham gia thng mi quc
t gia hai quc gia. Nhng yu t cu hng ha c th tham gia thng mi
quc t gia hai quc gia rt kh o lng, nn thng b qua bin s ny, v
vy, m hnh (1.2) vit li l:
qt f ( PRODd PROD f ; NFA ) (1.3)
Tc gi s dng phng php multivariate cointegration ca Johansen
(1995), bt u bng m hnh hiu chnh sai s (VECM):
p 1
xt i xt i xt 1 t (1.4)
i 1

Trong : xt
RERt ; PRODd t PROD f ; NFAt
' l ma trn (3x1);
t
l ma

trn (3x1) ca cc hng s; l sai phn bc nht; t l ma trn (3x1) vector

sai s Gausian; l ma trn 3x (p-1) cc h s ngn hn; l ma trn (3x3)
h s hi quy. Nu c hng ma trn r <3 th s tn ti hai ma trn , sao
cho: / vi l ma trn hiu chnh v l vector tuyn tnh c lp ng
tch hp ca m hnh VECM. Vector tuyn tnh c lp ng tch hp chnh l
BEER.
M hnh 2: T gi thc cn bng di hn

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 Cc bin s ca m hnh t gi thc cn bng di hn c th gp vn l
chui s liu khng dng. Nu cc chui s liu l ng tch hp v ma trn
c hng ma trn r <n, v c n - r cc bin s chung ft . Gi nh ft l cc t hp
tuyn tnh, th ft c th vit di dng: f t xt (1.5)
Vi c tnh ca cc bin s chung ft , ta c th phn r chui s liu

/
xt RERt ; PRODd t PROD f t ; NFA t thnh ma trn permanent

x p t RERtperm ; PRODdperm
t
PROD fperm
t
; NFAtperm v ma trn chuyn v /

RER ; PROD /
xT t T
t
T
dt PRODTft ; NFA tT cc phn t theo:

xt P A1 / xt ( / ) 1 / xt (1. 6)
v xtT A1 / xt ( / ) 1 / xt (1.7)
Trong : , l the orthogonal complements cho , , ngha l
/ 0; / 0 . quy nh vector xc nh khong cch ca xu hng bin
ng hn lon chung, do vy xc nh cc lc lng tc ng mnh. Cn l
cc bin s b iu chnh theo xu hng chung.
1.2.1.2. M hnh t gi thc cn bng hnh vi - phng php Markov Switching
Cng xut pht t m hnh t gi thc cn bng hnh vi - BEER, tc gi
ng dng phng php Markov switching. ti s dng kt qu nghin cu
ca Shinji Takagi and Zongying Shi, trong bi vit Dynamics of Renminbi
Misalignment: A Markov Switching Approach o lng sai lch t gi ca
Trung quc theo qu giai on 1992 - 2009. Trong cng giai on nghin cu, t
gi thc a phng RMB khng phi lc no cng cng mt trng thi, m n
c th chuyn ha t trng thi nh gi thc cao thi gian ny nhng li c
th nh gi thc thp thi gian khc.
M hnh: qt 0 1Z t t (1.8)
Cng nh m hnh nguyn thy xc nh BEER, u tin Shinji Takagi et
all hi quy t gi thc a phng vi cc bin s v m c bn c nh hng ti

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t gi thc trong trung hn v di hn: iu kin thng mi TOT, ti sn c
ngoi t rng NFA, m ca nn kinh t OPEN, chi tiu ca chnh ph GOV,
v chnh lch li sut ca hai ng tin INT. Sau , tc gi cng o lng mc

sai lch t gi ca mi giai on theo cng thc:

Cui cng, tc gi s dng mc sai lch t gi c o lng

bc 2 l u vo cho m hnh hai giai on, 4 bc hi quy (two-state, fourth-
order autoregression (AR)) Markov Switching theo l thuyt ca Hamilton
(1989) and Terra and Valladares (2010)
4
mt st i (mt i st 1 ) t (1.9)
i 1

t ~N(0, 2 ) St = 0 hoc 1 st 1S1t 2 S 2t

Trong : l gi tr trung bnh; 2 l phng sai; l h s AR v l

sai s.
CNY c coi l nh gi thc cao khi St = 0 v CNY nh gi thc thp
khi
St = 1. phn bit trng thi nh gi thc cao v nh gi thc thp, ta

c th vit li ma trn chuyn i thnh:

Trong : POO l xc sut duy tr trng thi CNY nh gi thc cao cho hai
giai on lin tc; PUU l xc sut duy tr trng thi nh gi thc thp cho hai
giai on lin tc; PUO l xc sut chuyn t trng thi nh gi thc cao sang
trng thi nh gi thc thp; POU l xc sut chuyn t trng thi nh gi thc
thp sang nh gi thc cao.
1.2.2. M hnh o lng sai lch t gi ca Bostwana
Cng ging nh cc m hnh o lng sai lch t gi khc, vic u tin
ca m hnh l tnh ton t gi thc. Nhng vi c im Botswana cc k ch

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trng ti hot ng thng mi v phn b ngun lc trong nc, nn khi la
chn t gi thc (tm dch l t gi thc i ni internal real exchange rate -
IRER) c tnh bng tng mc gi hng ha c th tham gia thng mi quc
t v khng th tham gia thng mi quc t. Nu ta k hiu PT l gi hng ha
c th tham gia thng mi quc t v PNT l gi hng ha khng th tham gia
thng mi quc t, th mc gi hng ha trong nc s l:

P PNT PT1 (1.10)
Tnh tng t cho nc i tc: mc gi hng ha nc ngoi:
* *1
P* PNT PT (1.11)
Theo quy lut mt gi, t gi thc REER c xc nh bng:
IRER
REER (1.12)
IRER*

Trong t gi IRER ca hai quc gia c xc nh theo cng thc:

PNT *
PNT
IRER v IRER* (1.13)
PT PT*

Cng thc (1.13) cho php so snh mc gi tng i ca khu vc sn

xut hng c th tham gia thng mi quc t v khng th tham gia thng mi
quc t. Nu nng sut lao ng tng i gia khu vc sn xut hng c th
tham gia thng mi quc t v khng th tham gia thng mi quc t ca mt
quc gia tng nhanh hn nc i tc, th ni t ln gi thc (Balassa-
Samuelson hiu ng)
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Nu mc gi hng ha trong nc c k hiu l: P PNT PIM PEX
(1.14)
V gi hng ha nc ngoi l: P PNT* a PIM* b PEX* 1 a b
Th t gi thc i ngoi (the external REER) c xc nh bng:
IRERM
REER *
.TOT 1 a b (1.15)
IRERM

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 P
trong : IERM P
NT
(1.16)
IM

v iu kin thng mi TOT PEX

PIM
(1.17)

cho n gin, tc gi b qua thu sut nhp khu hng ha v gi nh

IRER nc ngoi l n nh. Nh vy, ni t ln gi thc vi ngoi t s gii
thch bi t hp ln gi ca IRER v ci thin iu kin trao i thng mi.
Tuy nhin, hot ng nhp khu hng ha (ch yu l lng thc v nhin liu),
xut khu kim cng s chu nh hng ln khi gi c thay i, nn iu kin
thng mi quc t c th thay i theo thi gian.
M hnh rt gn: REERt f (rt rt* , ltott , ltntt , nfat , lt ) (1.18)
Trong :
r r* l chnh lch li sut ca hai quc gia;
ltnt l mc gi tng i ca hng ha khng th tham gia thng mi
quc t v hng ha c th tham gia thng mi quc t ( dng logarit);
nfa l ti sn c ngoi t rng, th hin s d rng v gi tr vn chu
chuyn ca quc gia vi th gii, cho thy tc ng ca bin s bn ngoi ti t
gi thc cn bng. nfa c th dng gi tr hoc sai phn.
cho thy nguy c ri ro, c th gy bin ng t gi thc trong ngn hn
v gi nh ph thuc vo chi tiu chnh ph
M hnh (1.18) da trn khun kh l thuyt v: (i) iu kin ngang gi
li sut khng bo him; (ii) hiu ng Fisher quc t;
T gi thc ti thi im t c tnh theo k vng t gi thc thi im
t + k, c th c vit di dng:
ln REERt Et ln REERt k (rt rt* ) lt (1.19)
kim nh n v, tc gi s dng vector hiu chnh sai s VEC 71
bao gm cc tham s:

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 z (ln REER, r r * , ltot , ltnt , nfa, l , cons tan t ) ' (1.20)
M hnh c bn l:
p 1
zt !zt Ai zt i t (1.21)
i 1

Vi v l ma trn n r matrices, Ai l ma trn nn Vector zt c mi

quan h ng tch hp vi (hng ma trn r).
2. ng dng m hnh hiu chnh sai s VECM o lng mc sai lch t
gi Vit nam
2.1. M hnh o lng
M hnh: qt 0 1Z t t (2.1)
Trong Zt l vector cc bin s v m c bn c nh hng ti t gi
thc trong trung hn v di hn. Bt c sai lch no so vi t gi thc cn bng
u c th hin qua phn d t , bao gm nhng tc ng ca cc bin s v
m c bn ln t gi thc trong ngn hn v sai s ngu nhin. Do vy, t gi
thc cn bng qt c xc nh l: qt 0 1Z t (2.2)
y, chng ti s dng phng php multivariate cointegration ca
Johansen (1995), bt u bng m hnh hiu chnh sai s (VECM):

xt = xt-1 + 1xt-1 + 2xt-2 ++ p-1xt-p+1 + + ut (2.3)

trong xt = [lnREER, lnGDPVN, lnRVNDUSD, lnNFA, lnOPEN, lnM2,

lnRR] l ma trn cp (71); l ma trn cp 71 cc hng s; l sai phn bc

nht; t l ma trn cp 71 vc t sai s Gausian; l ma trn cc h s ngn

hn cp 7(p 1); l ma trn cp 77 h s hi quy. Trong :

REER: t gi thc a phng VND, tnh theo cng thc (1.2a) v (1.2b)

GDPVN: Tng sn phm quc ni ca Vit nam

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 RVNDUSD: chnh lch li sut USD v VND. Nu chnh lch dng th

hin u t VND hp dn hn, s lm cho VND ln gi.

NFA: ti sn c ngoi t rng: th hin mi quan h nghch bin vi t gi

OPEN: m ca nn kinh t c o bng t s gia tng kim ngch

xut nhp khu vi GDP. m ca nn kinh t c k vng c quan h ng

bin vi REER.

RR: thay i d tr ngoi hi. Vi mt nc c nn kinh t nh, ch t

gi c nh v chnh ph can thip nhiu vo t gi, do , thay i d tr ngoi

hi s c tc ng ln ti s n nh t gi.

M2: mc cung tin, c cho l c mi quan h nghch bin vi t gi.

M hnh cha s hng Yt-1, y chnh l phn hiu chnh sai s. Grange

chng t rng nu hng ca ma trn l r() = r < k th s tn ti hai ma

trn cp mr v cp rm sao cho = v Yt l I(0), r l s quan h

ng tch hp; mi ct ca l mt vc t ng tch hp; l ma trn cc tham

s hiu chnh, r() = r. Nu = 0 th m hnh VAR khng tn ti quan h ng

tch hp no.Nu = m th cc bin s u dng.

Vector tuyn tnh c lp ng tch hp chnh l BEER.

2.2. Ngun s liu

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 Cc s liu c ly t qu 1 nm 1995 ti qu 4 nm 2013. GDPVN
c ly t ngun Tng cc Thng k. Cc s liu khc ly t ngun Thng k
Ti chnh quc t - IFS.
2.3. Kt qu thc nghim
Bc 1: M t s liu
Bng 1: M t d liu
LNGDPVN LNM2 LNNFA LNOPEN LNREER LNRR LNRVNDUSD
Mean 13,02449 14,28724 13,71740 3,926941 -0,233661 22,61484 1,745694
Median 13,01228 14,27981 13,78010 3,905466 -0,070145 22,60441 1,743774
Maximum 13,81304 17,07425 15,57113 5,442277 0,114579 24,17124 2,714695
Minimum 12,16220 11,00095 11,16369 2,675631 -0,892111 20,68435 -0,356675
Std, Dev, 0,390322 1,842309 1,281686 0,752884 0,308805 1,005118 0,629292
Skewness 0,061636 -0,063704 -0,276936 0,172090 -0,891218 -0,136440 -0,807027
Kurtosis 2,034034 1,676184 1,777375 1,873756 2,223450 1,680209 3,999865
Jarque-Bera 3,002905 5,600953 5,705019 4,391804 11,97034 5,751652 11,41552
Probability 0,222806 0,060781 0,057699 0,111258 0,002516 0,056370 0,003320
Sum 989,8610 1085,830 1042,522 298,4475 -17,75826 1718,728 132,6727
Sum Sq, Dev, 11,42637 254,5576 123,2039 42,51263 7,152027 75,76968 29,70060
Observations 76 76 76 76 76 76 76
Bc 2: Kim nh tnh dng ca cc chui s liu
Cc chui s liu l chui khng dng (tnh theo gi tr tuyt i). th
di y ca 6 chui ch ra cc chui u khng dng. V vy, ti s dng
kim nh Dickey - Fuller (ADF) p dng cho chui ln v chui sai phn. Kt
qu kim nh nh sau:
Bng 2: Kim nh tnh dng ca cc bin
Gi tr ti hn
Thng k kim nh
Bin s (Critical Value)
(ADF Test Statistic)
1% 5% 10%
LNREER -2.558149 -3.5213 -2.9012 -2.5876
LNREER -3.993872 -3.5226 -2.9017 -2.5879
LNGDPVN 0.086828 -3.5213 -2.9012 -2.5876
LNGDPVN -5.643279 -3.5226 -2.9012 -2.5876
LNRVNDUSD -1.026828 -3.5213 -2.9012 -2.5876
LNRVNDUSD -3.337913 -3.5226 -2.9017 -2.5879
LNNFA -1.318140 -3.5213 -2.9012 -2.5876
LNNFA -3.551128 -3.5226 -2.9017 -2.5879

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LNOPEN -2.148749 -3.5213 -2.9012 -2.5876
LNOPEN -3.264547 -3.5226 -2.9017 -2.5879
LNM2 -1.448250 -3.5213 -2.9012 -2.5876
LNM2 -4.519598 -3.5226 -2.9017 -2.5879
LNRR -0.645500 -3.5213 -2.9012 -2.5876
LNRR -3.487338 -3.5226 -2.9017 -2.5879
Cc chui LNREER, LNGDPVN, LNRVNDUSD, LNNFA, LNOPEN,
LNM2, LNRR u khng dng mc ngha 1%, sai phn ca 4 bin
LNREER, LNGDPVN, LNNFA, LNOPEN, LNM2 dng mc ngha 1%, sai
phn bin LNRVNDUSD, LNRR dng mc ngha 5%.
Bc 3: Kim nh tnh ng lin kt (Bng 3 v 4)
Theo kim nh Trace ch ra c 1 quan h ng lin kt vi mc ngha
c 5% v 1% . Cn kim nh bng t s hm hp l ch ra c 1 quan h ng
lin kt vi mc ngha c 5% v 1%. Nh vy c 2 kim nh trn khng nh
s quan h ng lin kt r = 1 vi mc ngha c 5% v 1%.
Bng 3: Kim nh tnh ng lin kt bng kim nh Trace:
Date: 05/22/14 Time: 07:10
Sample(adjusted): 1995:4 2013:4
Included observations: 73 after adjusting endpoints
Trend assumption: No deterministic trend
Series: LNGDPVN LNM2 LNNFA LNOPEN LNREER LNRR
LNRVNDUSD
Lags interval (in first differences): 1 to 2

Unrestricted Cointegration Rank Test

Hypothesize Trace 5 Percent 1 Percent
No. of Eigenvalue Statistic Critical Critical
CE(s) Value Value
None ** 0.673556 158.3280 109.99 119.80
At most 1 0.258918 76.60475 82.49 90.45
At most 2 0.237963 54.73076 59.46 66.52
At most 3 0.194080 34.89224 39.89 45.58
At most 4 0.152405 19.14096 24.31 29.75
At most 5 0.082581 7.070204 12.53 16.31
At most 6 0.010604 0.778239 3.84 6.51
*(**) denotes rejection of the hypothesis at the 5%(1%) level

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 Bng 4: Kim nh tnh ng lin kt bng t l hm hp l:
Hypothesize Max-Eigen 5 Percent 1 Percent
No. of Eigenvalue Statistic Critical Critical
CE(s) Value Value
None ** 0.673556 81.72324 41.51 47.15
At most 1 0.258918 21.87399 36.36 41.00
At most 2 0.237963 19.83852 30.04 35.17
At most 3 0.194080 15.75127 23.80 28.82
At most 4 0.152405 12.07076 17.89 22.99
At most 5 0.082581 6.291965 11.44 15.69
At most 6 0.010604 0.778239 3.84 6.51
*(**) denotes rejection of the hypothesis at the 5% (1%) level

Bc 4: c lng m hnh hiu chnh sai s ca LNREER, LNH,

LNGDPVN, LNOPEN, LNNFA, LNM2
Bng 5: Ma trn hiu chnh sai s
Coef. Std. Err
lnREER -0.053702 0.11505
lnOPEN 0.118752 0.23836
Bc 5: Kim nh m
lnGDPVN -0.324126 0.16573
hnh tnh n nh thng
lnRVNDUSD -0.611806 0.71049
qua tnh nghim ca a
lnM2 -0.236904 0.18359
thc c trng cc
lnNFA 0.805668 0.26982
bin. Dng AR root table.
lnRR 0.862284 0.28089

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 th 1: Kim nh tnh n nh ca m hnh

Inverse Roots of AR Characteristic Polynomial

1.5

1.0

0.5

0.0

-0.5

-1.0

-1.5
-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5

Bc 6: Tnh mc sai lch t gi

Bng 6: Mc sai lch t gi VND giai on 1995 - 2013
Qu (1) Actual (2) Fitted (3) Residual (%) (4)
1996 Q1
1996 Q2 0.414314 0.418478 -0.41639
1996 Q3 0.442081 0.435626 0.645542
1996 Q4 0.47016 0.458392 1.176877
1997 Q1 0.435221 0.414708 2.05133
1997 Q2 0.484179 0.436494 4.768495
1997 Q3 0.483028 0.449297 3.373077
1997 Q4 0.470485 0.45224 1.824452
1998 Q1 0.462037 0.439824 2.221284
1998 Q2 0.485643 0.454876 3.07675
1998 Q3 0.536563 0.493535 4.30279
1998 Q4 0.574905 0.520138 5.476662
1999 Q1 0.507544 0.499888 0.765634
1999 Q2 0.549146 0.532586 1.656002
1999 Q3 0.610687 0.590337 2.03494

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1999 Q4 0.644384 0.602389 4.199412
2000 Q1 0.665464 0.630293 3.517114
2000 Q2 0.697173 0.643591 5.358193
2000 Q3 0.726315 0.667557 5.875867
2000 Q4 0.758076 0.694001 6.407486
2001 Q1 0.741195 0.695141 4.605468
2001 Q2 0.770889 0.688747 8.214171
2001 Q3 0.774544 0.693218 8.132601
2001 Q4 0.784702 0.701257 8.344529
2002 Q1 0.80312 0.716648 8.647246
2002 Q2 0.847121 0.743333 10.37885
2002 Q3 0.886529 0.73231 15.42191
2002 Q4 0.910782 0.72841 18.23725
2003 Q1 0.903896 0.723604 18.02919
2003 Q2 0.926945 0.730964 19.5981
2003 Q3 0.964041 0.745977 21.80648
2003 Q4 0.997063 0.764655 23.24086
2004 Q1 0.979159 0.774311 20.48477
2004 Q2 0.967973 0.785487 18.24858
2004 Q3 0.959895 0.794819 16.50764
2004 Q4 0.983644 0.811849 17.17953
2005 Q1 0.966097 0.81819 14.79073
2005 Q2 0.966072 0.811557 15.45152
2005 Q3 0.942436 0.81034 13.20959
2005 Q4 0.937595 0.835628 10.19665
2006 Q1 0.97209 0.843352 12.8738
2006 Q2 0.990805 0.875884 11.4921
2006 Q3 0.997456 0.875543 12.19132
2006 Q4 0.95733 0.871795 8.553512
2007 Q1 0.988786 0.880125 10.8661
2007 Q2 1.013108 0.907174 10.59341
2007 Q3 1.054791 0.920902 13.38888
2007 Q4 1.055192 0.902451 15.27414
2008 Q1 1.016569 0.8762 14.03688
2008 Q2 0.911597 0.837385 7.421195
2008 Q3 0.880446 0.820631 5.981412
2008 Q4 0.875914 0.800434 7.548015
2009 Q1 0.910568 0.868454 4.211401
2009 Q2 0.962783 0.906666 5.611708
2009 Q3 0.976581 0.947052 2.95293

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2009 Q4 0.992521 0.95237 4.015047
2010 Q1 0.993176 0.96003 3.314663
2010 Q2 1.019837 0.983772 3.606507
2010 Q3 1.04669 0.98894 5.774959
2010 Q4 1.060715 1.010665 5.004929
2011 Q1 1.121406 0.99869 12.27158
2011 Q2 1.103021 1.025642 7.737898
2011 Q3 1.048597 0.981453 6.714375
2011 Q4 1.037447 1.012031 2.541632
2012 Q1 1.024621 1.011292 1.332893
2012 Q2 1.021593 0.997791 2.380138
2012 Q3 1.034308 1.017287 1.702169
2012 Q4 1.001594 1.034821 -3.32273
2013 Q1 0.991281 1.007104 -1.58229
2013 Q2 0.985874 0.987517 -0.16438
2013 Q3 0.990815 0.996226 -0.54107
2013 Q4 0.972294 0.9723 -0.00058
(Gi tr ct 4 dng th hin VND ln gi thc)
th 2: Mc sai lch t gi VND giai on 1995 - 2013

(Ngun: Tc gi t tnh ton)

Quan st bng 6 v th 2 th hin mc sai lch t gi VND (ct 4
bng 6). Actual l gi tr t gi thc. Fitted l gi tr cn bng di hn BEER.
Residual th hin mc sai lch t gi. Trong sut giai on nghin cu, t gi

15
thc v BEER lun c xu hng bin ng ging nhau. T gi thc lch khi gi
tr cn bng di hn tng i ln giai on 2002 - 2008, tng ng vi mc
sai lch lun cao hn 10%. Mc sai lch t gi cao nht l 23% vo qu
4/2003. Ngoi tr nm 2013, nhng nm cn li, t gi thc lun b nh gi cao
so vi BEER.
Nhng kt qu thc nghim cha cho thy, v gi tr danh ngha th VND
b nh gi cao hay thp? ti lp li 6 bc nh trn o lng sai lch t
gi gia t gi danh ngha song phng USD/VND vi gi tr cn bng di hn.
th 3 cho thy mc sai lch t gi gia t gi danh ngha USD/VND vi
gi tr cn bng di hn (mc c tnh theo n v VND). Cc gi tr
Residual dng cho thy VND b nh gi danh ngha cao trong giai on qu
2/2005 ti qu 1/2009.
th 3: Mc sai lch t gi VND danh ngha giai on 1995 - 2013

(Ngun: Tc gi t tnh ton)

th 2 v 33 cho thy kt qu trc quan ng th v. Ngoi tr giai on
qu 2/2005 ti qu 1/2009 VND b nh gi danh ngha cao, cn cc giai on
khc b nh gi thp. Nh vy, xu hng bin ng nh gi cao, thp ca VND
c v gi tr danh ngha v gi tr thc khng ging nhau.

16
2.2. Gi chnh sch
T kt qu thc nghim, mc sai lch t gi trong nm 2013 tng i
nh, VND b nh gi thc thp, th hin nhng n lc ca NHNN Vit nam
trong iu hnh t gi, v nh hng hot ng th trng ngoi hi. Tuy rng
cc yu t h tr n nh t gi tng i thun li, song trong bi cnh kinh t
th gii bt n v tnh hnh kinh t Vit nam cng cha hn thot y khng
hong, lm pht vn l mi lo thng xuyn, thm din bin bt n trn bin
ng t nhiu tc ng ti hot ng kinh t, tc ng ti tm l nm gi ti sn
khc thay v VND, nn trong ngn hn, ti xut NHNN nn tip tc
iu hnh n nh t gi, neo c nh gi tr VND vi USD. n nh t gi s
thc y hot ng u t nc ngoi v nh hng hot ng th trng ngoi
hi, tip tc to nim tin cho nn kinh t vo gi tr VND. n nh t gi cn l
tn hiu pht i t NHNN cho thy kh nng can thip, chi phi ca Chnh ph
vo th trng ngoi hi v th trng tin t, l m neo cn thit khi yu t tm
l ca nn kinh t cha vng vng mi khi c tc ng t bn ngoi.
Trong di hn, t gi thc s b iu chnh bi cc yu t v m c bn,
c th sai lch t gi c th c mc ln hn v tn sut th hin nhiu hn,
cng c th xu th VND nh gi thc cao khng chim u th na, m xen vo
s c giai on nh gi thc cao i cng vi nh gi thc thp, trong khi th
trng ti chnh cha pht trin, v t hay nhiu th Vit nam cng thc hin
mt phn t do ha cn cn vn, th sai lch t gi s tr thnh vn tng i
trm trng vi Vit nam. Thm vo , cng ging nh cc nc ang pht trin
khc, c ch dn truyn cc c sc bn ngoi vo t gi thng qua knh xut
nhp khu v kiu hi l ch yu, ch khng phi qua knh chu chuyn vn
quc t, do , s tc ng ngc li ti cc yu t cn bng di hn. Do vy,
ch t gi s c coi l cng c hn ch mc v xu th sai lch t gi.
Tuy rng ch t gi th ni c th khc phc nhng c tnh cng nhc, h
tr nn kinh t, v ch t gi c nh to nn nim tin kim ch lm pht,

17
nhng s la chn hp l vn l ch t gi trung gian m Vit nam vn ang
s dng. C th hn, c ch iu hnh t gi th ni c iu tit cho php c
quan qun l tin t khung hot ng rng hn trong vic hn ch mc sai
lch t gi. Ty thuc vo mc v xu th sai lch t gi, NHNN c th cn
nhc s dng yu t th trng hay yu t can thip nhiu hn duy tr mc
sai lch t gi cng nh xu th sai lch t gi hp l ty theo mc tiu theo ui
tng thi k.

18
 TI LIU THAM KHO

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current account imbalances: Size matters. Journal of Macroeconomics, 32(1),
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4. Ccile Couharde, Audrey Sallenave (2013), How do currency misalignments
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Misalignment: A Markov Switching Approach

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