TP CH KHOA HC I HC M TP.

HCM S 52 (1) 2017 43

TC NG CA GI DU N NN KINH T
V PHN NG CA CHNH SCH TIN T TI VIT NAM

PHM TH TUYT TRINH

Trng i hc Ngn hng Thnh ph H Ch Minh - trinhptt@buh.edu.vn

(Ngy nhn: 04/10/2016; Ngy nhn li: 18/10/16; Ngy duyt ng: 26/12/2016)

TM TT
Nghin cu s dng m hnh t hi qui vec t (VAR)/m hnh hiu chnh sai s vect (VECM) khm ph
tc ng c sc tng gi du di s can thip Chnh ph n nn kinh t Vit Nam v phn ng ca chnh sch tin
t (CSTT) vi c sc tng gi du trong giai on thng 1/2008 - 12/2015. Kt qu nghin cu cho thy, trong di
hn gi du tng 1% lm lm pht tng 0,2% v sn lng gim 0,1%; trong ngn hn, sau c sc tng gi du, lm
pht tng lin tc trong 6 thng u, sn lng bin ng mnh vi mc tch ly gim trong 12 thng. Trc c sc
tng gi du, CSTT tht cht mnh trong vng 3 thng ri gim dn mc tht cht trong cc thng tip theo v
ngng phn ng t thng th 7 sau sc. Tuy nhin, CSTT khng dnh nhiu s quan tm n din bin gi du m
phn ng ch yu vi din bin ca gi c chung trong nn kinh t.
T kha: chnh sch tin t; gi du; lm pht; tng trng; Vit Nam.

The macro-economic effects of oil price shocks and the reaction of monetary policy in
Vietnam
ABSTRACT
The study explores the macroeconomic impacts of oil price fluctuation under the control of government and
examines how the monetary policy reacts to oil price shocks. By employing VAR/VECM and using monthly data of
Vietnam in the period from January, 2008 to December, 2015, the study finds significant impacts of oil price on
inflation and output growth in both the short term and long term. In the long term, 1 percent increase in oil price
causes inflation and output growth to increase by 0.2 and 0.1 percent respectively. In the short term, after the
positive oil price shock, inflation increased consecutively in the first six months while output growth fluctuated
dramatically in twelve months. Following the positive oil price shock, the monetary policy was kept very tight in the
first 3 three months. The level of contraction was gradually reduced in the next 3 months and the monetary policy
stopped reaction from the seventh month. However, the monetary policy is not concerned for oil price fluctuation;
instead it is more concerned for the price fluctuation of the economy.
Keywords: inflation; macroeconomic impact; monetary policy; oil price shock; Vietnam.

1. Gii thiu ca gi c hay hn ch s st gim ca tng

C sc tng gi du c nh hng ln n
nn kinh t do du l yu t u vo thit yu
ca nhiu qu trnh sn xut. Tc ng ca c
sc gi du n cc nn kinh t khng ging
nhau ch yu ph thuc vo mc thm
dng nng lng ca sn xut v phn ng
ca chnh sch, trong c CSTT. Cc l
thuyt theo nhiu tip cn khc nhau cho
thy rng CSTT c th hn ch tc ng
khng tch cc ca c sc gi du n nn
kinh t hoc lm nghim trng hn tc ng
ny ph thuc vo s la chn chiu hng
phn ng ca CSTT - kim sot s gia tng
trng sn lng.
i vi cc nn kinh t ang chuyn i,
nhng mt hng thit yu nh xng du
thng c s can thip iu tit ca Chnh
ph qua cc chnh sch gi. Nhng iu tit
gi ti mt thi im thng km theo nhng
nhn nh v s thay i vnh vin v nhng
k vng v cc t iu chnh gi tip theo
(Coorey & cng s, 1996) lm cho phn ng
ca nn kinh t v theo l iu hnh CSTT
ng ph vi bin ng gi c nhng kh
khn nht nh.
Vit Nam l nc nhp khu du nn v
44
c bn din bin gi du trong nn kinh t gn
cht vi din bin gi du trn th gii nhng
li c nhng din bin khc bit mc
linh hot ca bin ng gi du v c s can
thip ca Chnh ph thng qua chnh sch
kim sot gi. Trong bi cnh nh vy, c sc
tng gi du di s iu tit ca Chnh ph
s c nh hng nh th no n nn kinh t?
Thm vo , CSTT s c nhng phn ng
nh th no trc nhng ln iu tit tng gi
du ca Chnh ph? Nghin cu c thc
hin nhm tr li nhng cu hi ny.
2. C s l thuyt
nh hng ca c sc tng gi du n
nn kinh t c gii thch theo 3 hng tip
cn, trong tip cn c sc pha cung l tip
cn c bn nht ng thi gii thch y va chng gim sn lng m phi chp nhn
nht din bin trong thc t (Brown & Yucel,
2002). Theo tip cn ny, gi du tng l du
hiu ca khan him nng lng c s dng
lm u vo cho qu trnh sn xut, dn n
sc sn xut v tng trng sn lng b chm
li. Nu ngi tiu dng cho rng c sc tng
gi du l tm thi, hoc nu ngi tiu dng
k vng tc ng ca c sc tng gi du
trong ngn hn mnh hn so vi trong di
hn, h s iu ha tiu dng bng cch gim
tit kim hoc i vay nhiu hn, lm li sut
thc cn bng tng. Vi tng trng sn
lng chm li v li sut thc tng, lm cu
tin thc gim; ti mc tng trng cung tin
cho trc, lm pht s tng. Nh vy, gi du
tng lm sn lng gim, li sut thc v lm
pht tng. Trong khi , tip cn chuyn giao
thu nhp cho rng gi du tng lm cho thu
nhp t cc nc nhp khu du chuyn sang
cc nc xut khu du. Mc d s st gim
c th c b p phn no nh s gia tng nh hng n nn kinh t. Thm vo , vi
nhu cu hng nhp khu ca nc xut khu
du, thu nhp rng vn s b st gim, lm
gim cu hng ha trong nn kinh t, dn n
p lc gi c gim cho n khi tng cu v thu
nhp tr v trng thi trc khi xy ra c sc.
Tuy nhin, nu gi danh ngha gim cng
nhc, gi s khng gim v tng cu, thu nhp
s khng th c khi phc (Cologni &
Manera, 2005).
Ngoi ra, hiu ng cn bng thc cn l
KINH T
gii gi du tng s lm tng cu tin. Nu
ngn hng trung ng (NHTW) khng tng
cung tin p ng cu tin s lm li sut
trong nn kinh t tng, lm gim u t, kim
hm tng trng kinh t.
Nh vy, cc tip cn u cho thy rng
c sc tng gi du s dn n gim sn lng
v tng lm pht. Tuy nhin, trong c ch tc
ng ny, CSTT c vai tr khng nh quyt
nh phn ng ca nn kinh t do sn lng
v lm pht l nhng mc tiu cui cng ca
CSTT. NHTW c th hoc tht cht tin t
kim sot lm pht, hoc m rng tin t
chng nh hng lm gim tng trng sn
lng. Nh vy, trc c sc tng gi du,
NHTW khng th cng lc va n nh gi c
la chn mang tnh nh i trong ngn hn.
Bernanke & cng s (1997) chng
minh cho tm quan trng ca yu t phn ng
CSTT i vi tc ng ca c sc tng gi
du n nn kinh t. S dng m hnh VAR
v d liu ca nn kinh t M, nghin cu lp
lun rng Cc d tr Lin bang M (FED)
c nhng phn ng khc bit khi CSTT c
rng buc v khi CSTT khng c rng buc -
rng buc y l p lc gi li sut lin
bang khng i. Trong trng hp CSTT
khng c rng buc, FED tng li sut lin
bang khi c c sc tng gi du, theo lm
tng trng sn lng gim nhng gi c
c kim sot. Ngc li, khi CSTT c rng
buc, li sut lin bang khng i, c sc tng
gi du lm sn lng tng v lm pht gia
tng. Phn ng khc nhau ca CSTT v sn
lng nn kinh t cho thy CSTT quyt
nh ng k cch thc c sc tng gi du
nh ngha CSTT trung tnh l khi li sut lin
bang khng i, nghin cu ca Bernanke &
cng s (1997) cng ch ra rng CSTT khng
trung tnh trc cc c sc tng gi du m
lun c nhng phn ng nht nh theo hng
tng li sut. Kt qu ny cng ng thi hm
rng n nh gi c l la chn ca FED khi
ng ph vi cc c sc tng gi du.
Cologni & Manera (2008) s dng
VECM v d liu ca cc nn kinh t G7
 TP CH KHOA HC I HC M TP.HCM S 52 (1) 2017
cng cho thy a s cc nn kinh t tht cht
tin t bng cch tng li sut phn ng vi
gi du tng, theo chp nhn gim sn
lng kim sot gi c. Tuy vy, mt vi
nn kinh t la chn gim li sut, m rng
tin t chng gim sn lng.
Hamilton & Herrera (2004) thc hin li
nghin cu ca Bernanke & cng s (1997)
vi phng php tng t, d liu tng t
nhng vi s bc tr di hn nn i n cc
kt qu tranh lun vi kt qu c tm thy
trc . Nghin cu cho thy c sc tng gi
du c nh hng mnh hn n nn kinh t
M, ngay c khi li sut lin bang khng i,
c sc gi du vn lm gim ng k sn
lng nn kinh t. Kt qu ny hm rng
CSTT khng hn c vai tr quyt nh tc
ng ca c sc tng gi du n nn kinh t.
Cng quan im v vai tr khng ng k
ca CSTT vi Hamilton & Herrera (2004),
trc nghin cu ca Ferderer (1996) ch
ra rng CSTT chng lm pht phn no gii
thch cho nh hng ca c sc tng gi du
trong lch s n nn kinh t. CSTT tht
cht hn trong giai on gi du tng nhng
c sc gi du c tc ng n nn kinh t
mnh hn vi mc ngha ln hn so vi tc
ng ca CSTT.
Brown & Yucel (1999) cng xy dng
m hnh VAR tng t nh Bernanke & cng
s (1997) v cng s dng d liu ca nn
kinh t M. Nghin cu cho thy c sc tng
gi du lm sn lng thc gim, li sut tng
v lm pht tng. Tuy nhin, v mc gim ca
sn lng thc bng vi mc tng ca gim
pht, sn lng danh ngha khng i. S
dng khi nim CSTT trung tnh ca Gordon
(1998) l khi sn lng danh ngha khng i,
Brown & Yucel (1999) cho rng FED
khng phn ng vi s tng ln ca gi du.
Thm vo , khi gi li sut lin bang khng
i, nghin cu cn cho thy c sc tng gi
du c tc ng nh trong trng hp CSTT
m rng v lm tng sn lng thc, gi c v
sn lng danh ngha.
Nh vy, cc nghin cu thc nghim
cho n hin nay kh thng nht v tc ng
ca c sc tng gi du n nn kinh t nhng
45
vn cn nhiu tranh ci v vai tr ca NHTW
nh mt nhn t quyt nh tc ng ca c
sc ny. D vy, cc nghin cu vn cho rng
NHTW c th tc ng lm gim nh
hng ca tc ng c sc gi du, v thng
thng, gia hai mc tiu chnh sch l gi c
v sn lng, cc NHTW c xu hng la
chn n nh gi c.
3. Phng php nghin cu
3.1. M hnh nghin cu
M hnh c s dng trong nghin cu
c xy dng da trn m hnh VAR
(reduced form VAR) ca Bernanke & cng s
(1997), Brown & Yucel (1999), Cologni &
Manera (2008) c iu chnh cho ph hp vi
c th din bin gi du v iu hnh CSTT
ca Vit Nam. VAR c s dng bi c th
cho thy tc ng mang tnh truyn dn ca
c sc gi du n nn kinh t cng nh phn
ng ca CSTT di tc ng ca c sc .
M hnh VAR trong nghin cu c vect Yt
bao gm lm pht, sn lng, cung tin, li
sut th trng, li sut chnh sch v gi du,
Yt = [CPIt, IPIt, M2t, IRATEt, PRATEt,
POILt], c dng nh sau:
(1)
Trong , C l vect ca hng s, i l ma
trn ca cc h s tr v t l vect ca hng
nhiu. Trong m hnh (1), lm pht (CPI)
c i din bng ch s gi tiu dng; ch s
sn xut cng nghip (IPI) i din cho tng
trng sn lng ca nn kinh t trong mi
quan h vi gi du bi cng nghip l ngnh
thm dng nng lng du hn so vi nng
nghip, dch v; cung tin (M2), li sut cho
vay ca th trng (IRATE) v li sut chit
khu (PRATE) i din cho iu hnh CSTT
vi M2 l mc tiu trung gian, IRATE l knh
truyn dn li sut v PRATE l cng c
chnh sch. V bin gi du (POIL), do du l
loi hng ha c B Ti chnh kim sot
gi bn trn th trng nn din bin gi du
ti Vit Nam mc d c s tng ng cao v
bm kh st vi din bin gi du th gii vn
c nhng khc bit nht nh (Hnh 1).
Nghin cu khng s dng gi du th gii
nh nhng nghin cu cho nn kinh t khng
46
c s kim sot gi du t chnh ph, m s
dng gi du diesel bn l ti th trng Vit
Nam. Gi du diesel c chn (m khng
phi l cc sn phm t du khc nh xng
Hnh 1. Din bin gi du diesel (VND/lt) v gi du brent (USD/thng)
Ngun: Diesel: Petrolimex (2016), Brent: FRED (2016).
3.2. Bin s, d liu v phng php
c lng
CPI, IRATE v M2 c ly t Thng k
Ti chnh Quc t (IFS, 2016), IPI c ly
t tng cc thng k (GSO, 2016), PRATE
c ly t Ngn hng Nh nc (SBV,
2016) v POIL c ly t cc thng co bo
ch iu chnh gi du ca Tp on Xng
du Vit Nam (Petrolimex, 2016). D liu
cho nghin cu c ly theo tn sut thng
t 1/2008 n 12/2015 ch yu ph thuc vo
kh nng tip cn d liu gi du diesel ti
Vit Nam. Thm vo , y cng ng thi
l giai on m gi du trn th gii v Vit
Nam c s bin ng mnh vi cc mc tng
cao v gim su.
Cc bin s dng ch s (CPI, IPI) v
dng s tuyt i (OIL, M2) u c ly
logarithm c s t nhin v l bin lch phi
mnh. Ring bin gi du POIL c a vo
m hnh theo 2 phng php tnh. Mt l,
KINH T
ron 92, ron 95....) do du diesel l sn phm t
du c tiu th nhiu nht ti Vit Nam
theo c s d liu ca C quan Nng lng
Quc t (IEA, 2016).
POIL1 c tnh l logarithm c s t nhin
ca din bin gi du thc t. Hai l, POIL2
c tnh theo phng php gi du rng (net
oil price) ca Hamilton (1996), l chnh lch
ca logarithm c s t nhin ca gi ti thi
gian t so vi logarithm c s t nhin ca gi
cao nht trong 12 thng trc . Nu gi ti
thi gian t cao hn gi cao nht trong 12
thng trc, gi tr c ghi nhn theo mc
chnh lch; ngc li, nu gi ti thi gian t
thp hn so vi gi cao nht trong 12 thng,
gi tr c ghi nhn l 0. Phng php tnh
ton ca Hamilton c s dng nhm phn
nh thc t nhng bin ng tng ca gi du
iu chnh gi ca nhng ln iu chnh
gim trc . Vic thc hin hai phng
php tnh ton gi du cng ng thi nhm
mc ch kim nh tnh vng ca m hnh.
Bng 1 cho thy gi tr thng k m t ca cc
bin s v hnh 2 cho thy din bin ca cc
bin s.
 TP CH KHOA HC I HC M TP.HCM S 52 (1) 2017 47

Bng 1
Thng k m t ca cc bin s
CPI IPI M2 IRATE PRATE POIL1 POIL2
Trung bnh 4,758 5,130 14,834 11,998 7,192 9,749 0,663
Trung v 4,828 5,131 14,836 11,860 6,000 9,694 0,000
Ln nht 4,977 5,452 15,536 20,250 13,000 10,042 8,216
Nh nht 4,329 4,778 14,061 6,960 4,500 9,210 0,000
Sai s chun 0,198 0,167 0,449 3,559 3,081 0,240 1,991
nghing -0,414 0,009 -0,141 0,250 0,994 -0,444 2,804
nhn 1,657 2,137 1,882 1,385 2,422 2,041 9,332
Ngun: Tnh ton ca tc gi.

CPI IPI M2
5.0 5.6 15.6

4.9
5.4
15.2
4.8
5.2
4.7
14.8
4.6 5.0
4.5
14.4
4.8
4.4

4.3 4.6 14.0

2008 2009 2010 2011 2012 2013 2014 2015 2008 2009 2010 2011 2012 2013 2014 2015 2008 2009 2010 2011 2012 2013 2014 2015

IRATE PRATE POIL1

24 14 10.2

20 12 10.0

16 10 9.8

12 8 9.6

8 6 9.4

4 4 9.2
2008 2009 2010 2011 2012 2013 2014 2015 2008 2009 2010 2011 2012 2013 2014 2015 2008 2009 2010 2011 2012 2013 2014 2015

POIL2
10

0
2008 2009 2010 2011 2012 2013 2014 2015

Hnh 2. Din bin ca cc bin s

Ngun: Tnh ton ca tc gi.
48
Kt qu kim nh nghim n v
Augmented Dickey-Fuller (ADF) trong
Bng 2 cho thy tr POIL2, cc bin s u
l chui dng ti sai phn bc 1, I(1). Do
cch tnh ton theo Hamilton (1996), chui
POIL2 dng chnh lch gi tr gia hai
thi im nn l chui I(0). Da trn kt qu
Bng 2
Kt qu kim nh nghim n v
Bin s Tr thng k t ca kim nh
bc gc ADF
CPI -1,712
IPI 0,502
M2 -0,806
PRATE -2,220
POIL1 -1,104
POIL2 -8,295***
Ghi ch: ***, ** ch mc ngha 1%, 5% v 10%
Ngun: Tnh ton ca tc gi.
c lng m hnh (1) bng VECM,
nghin cu thc hin cc bc sau: (i) La
chn bc tr ti u v loi phng trnh ng
lin kt theo chun thng tin Akaike; (ii) Kim
nh quan h ng lin kt bng phng php
Johanson; (iii) c lng quan h di hn v
m hnh VECM; (iv) Kim nh nhn qu
Granger kim nh chiu hng mi quan
h; (v) o lng tc ng ca c sc tng gi
du n nn kinh t qua phn ng ca CPI v
IPI, ng thi, xem xt phn ng ca CSTT
qua cc bin M2, IRATE v PRATE vi c
sc gi du bng phn ng y tng qut ha
(generalize impulse response function, GIRF).
Theo Pasaran & Shin (1998), GIRF cho kt
qu phn ng sc khng ph thuc vo trt t
ca cc bin trong h phng trnh VAR.
GIRF c s dng v vic xc nh quan h
qui cho cc bin khng hon ton r rng.
Chng hn mi quan h gia gi v sn lng,
KINH T
kim nh, nghin cu s dng phng php
ng lin kt v VECM theo tip cn
Johanson c lng mi quan h di hn
v ngn hn ca cc bin s vi bin gi du
POIL1 v s dng phng php VAR
c lng m hnh (1) vi bin gi du l
POIL2.
Bin s sai Tr thng k t ca kim nh
phn ADF
DCPI -4,666***
DIPI -10,810***
DM2 -8,948***
DPRATE -4,913***
DPOIL1 -8,906***
POIL2
hay gia li sut chnh sch v li sut th
trng, hay gia gi du v li sut chnh
sch; (vi) Phn tch vai tr ca gi du i vi
din bin sn lng, gi v CSTT bng phn
tch phn r phng sai. i vi phng php
VAR, cc bc c lng c thc hin
tng t tr phn kim nh quan h ng lin
kt v c lng quan h di hn.
4. Kt qu nghin cu v tho lun
4.1. Quan h di hn
Da trn khuyn ngh ca chun thng tin
Akaike cho ba bc tr v loi quan h ng
lin kt c xu hng, kt qu kim nh
Johanson tm tt trong bng 3 cho thy c t
nht 3 phng trnh ng lin kt theo kim
nh Trace v t nht 2 phng trnh ng lin
kt theo kim nh Maximum Eigenvalue.
Nghin cu la chn kt qu c c hai
kim nh thng qua, c t nht hai phng
trnh ng lin kt.
 TP CH KHOA HC I HC M TP.HCM S 52 (1) 2017 49

Bng 3
Kt qu kim nh ng lin kt

Gi thit Thng k Trace Gi thit Thng k Max-Eigen

H0 H1 H0 H1

r=0 r1 150,911*** r=0 r=1 49,007**

r1 r2 101,904*** r1 r=2 38,331**

r2 r3 66,867** r2 r=3 32,936

r3 r4 33,930 r3 r=4 21,136

Ghi ch: ***, ** ch mc ngha 1%, 5%

Ngun: Tnh ton ca tc gi.

Bng 4 cho thy kt qu c lng hai nn kinh t c kim sot gi du nh Srilanka

phng trnh ng lin kt c h s c lng
c chun ha theo CPI v IPI. POIL1 c tc
ng cng chiu n CPI, phn nh gi du
tng lm tng lm pht trong nn kinh t
mc 1% tng ca gi du lm lm pht tng
0,215%. So vi kt qu nghin cu ti cc nn
kinh t khng c kim sot gi du, tc ng
ca bin ng gi du n lm pht ti Vit
Nam l mnh hn kh nhiu; tuy nhin, so vi
v Colombo, mc tc ng ca bin ng gi
du n lm pht ti Vit Nam mc tng
ng. Trong khi , gi du c tc ng
ngc chiu n sn lng cng nghip, 1%
tng ln ca gi du lm sn lng cng
nghip gim 0,113%. Ngoi ra, M2 cng c
tc ng cng chiu n CPI v IPI, phn nh
CSTT m rng tng cung tin lm lm pht
v sn lng cng nghip tng.

Bng 4
Kt qu c lng phng trnh di hn

CPI IPI M2 IRATE PRATE POIL1 C TREND

1 0 0,243 -0,019 0,019 0,215 -0,935 0,002

(0,093) (0,003) (0,003) (0,021) (0,002)

[2,607] [5,959] [6,587] [10,153] 3,843 [1,113]

0 1 0,134 0,014 -0,003 -0,113 0,005

(0,074) (0,003) (0,003) (0,017) (0,001)

[1,809] [5,617] [1,240] [6,707] [3,989]

Ghi ch: sai s chun trong (), gi tr tuyt i ca tr thng k t trong []

Ngun: Tnh ton ca tc gi.
50 KINH T

4.2. Quan h ngn hn: VECM
Da trn quan h ng lin kt c tm
thy, quan h ngn hn gia cc bin trong h
phng trnh c c lng bng VECM.
Cc kt qu kim nh LM v Portmanteau
cho thy phn d ca VECM khng c hin
tng t tng quan; cc nghim c trng t
hi qui u nm trong vng trn n v nn
m hnh c tnh n nh.
Nghin cu tip tc thc hin kim nh
nhn qu Granger da trn kt qu c lng
VECM xc nh chiu hng mi quan h
gia cc bin s trong h phng trnh (1).
Kt qu tm tt trong bng 5 cho thy gi thit
POIL1 khng phi nguyn nhn ca CPI b
bc b ti mc ngha 5%; tuy nhin, gi
thit POIL1 khng phi nguyn nhn ca IPI
khng th b bc b. Ngoi ra, gi thit OIL1
khng l nguyn nhn ca M2, IRATE v
PRATE u khng th b bc b. Kt qu ny
cho thy gi du l yu t nguyn nhn ca
lm pht m khng l yu t nguyn nhn ca
cc bin cn li.

Bng 5
Kim nh nhn qu Granger da trn kt qu c lng m hnh VECM

Bin ph Thng k 2 ca bin c lp

thuc
Kt hp DCPI DIPI DM2 DIRATE DPRATE DPOIL1

DCPI 23,471* 4,193 5,123 9,565** 0,822 10,174**

DIPI 26,245** 0,166 3,724 13,499*** 6,606* 2,808

DM2 32,691*** 3,665 0,437 14,696*** 0,804 0,672

DIRATE 52,299*** 13,054*** 20,989*** 0,334 4,620 3,534

DPRATE 31,542*** 7,681* 1,558 0,955 8,966 2,124

DOIL1 23,502* 3,646 1,084 1,358 8,558** 0,922

Ghi ch: ***, **, * ln lt cho bit mc ngha 1%, 5% v 10%, D_ ch bin s dng sai phn
Ngun: Tnh ton ca tc gi.

Nghin cu tip tc s dng GIRF thy
c tc ng ca c sc gi du n nn kinh
t v phn ng ca CSTT. Hnh 3 cho thy
phn ng tch ly ca cc bin s trong h
phng trnh VECM vi c sc POIL1. Theo
sau c sc gi du tng, CPI tng mnh vi
mc tng cao nht vo thng th 3 sau sc v
t thng th 5 th CPI tng khng ng k; IPI
bin ng mnh trong 6 thng u sau sc vi
mc tch ly gim, t thng th 7 sau sc IPI
gn nh khng cn phn ng. Nh vy, theo
sau c sc gi du, lm pht tng v sn lng
gim, trong phn ng ca lm pht mang
tnh mt chiu r nt vi bin ng tng nht
qun, sn lng cng nghip mc d gim v
mc tch ly nhng li c bin ng kh mnh.
 TP CH KHOA HC I HC M TP.HCM S 52 (1) 2017 51

DCPI DIPI
.0032 .015

.0028
.010
.0024

.0020 .005
.0016

.0012 .000

.0008
-.005
.0004

.0000 -.010
5 10 15 20 25 30 35 5 10 15 20 25 30 35

DM2 DIRATE
.002 .20

.001 .15

.000 .10

-.001 .05

-.002 .00

-.003 -.05

-.004 -.10
5 10 15 20 25 30 35 5 10 15 20 25 30 35

DPRATE DPOIL1
.3 .06

.05
.2
.04

.03
.1
.02

.01
.0
.00

-.1 -.01
5 10 15 20 25 30 35 5 10 15 20 25 30 35

Hnh 3. Phn ng ca cc bin s vi c sc gi du POIL1

Ghi ch: D_ch bin s dng sai phn
Ngun: Tnh ton ca tc gi.

i vi phn ng ca CSTT, theo sau c CSTT c phn ng vi c sc gi du theo

sc gi du, PRATE v IRATE tng mnh,
lm cho M2 gim mnh n ht thng th 4
sau sc, t thng th 5 PRATE v IRATE
gim nh ri ngng phn ng t thng 12 sau
sc lm cung tin cng o chiu phn ng
tng tng nh tr li. Din bin ny cho thy
hng tht cht tin t, tng li sut, gim
cung tin kim sot tc ng n lm pht.
Sau 6 thng tht cht, mc d khng tht s r
nt, CSTT c s o chiu theo hng m
rng nh hn ch nh hng ca c sc gi
du n tng trng sn lng.
52 KINH T

Vi phn ng va kim sot lm pht t c nguyn nhn khng nh t din bin gi

trong 6 thng u sau sc v hn ch nh
hng n tng trng sn lng sau sc 6
thng, gi du c nh hng nh th no
trong din bin ca gi v sn lng? Phn
tch phn r phng sai trong bng 6 cho thy
ti thng th 12, OIL1 quyt nh 14,106%
din bin ca CPI nhng ch quyt nh
3,301% din bin ca IPI. i vi cc bin s
i din cho CSTT, OIL1 ch quyt nh ln
lt 4,134%, 1,529% v 4,723% din bin ca
M2, IRATE v PRATE, trong khi CPI
quyt nh n 12,891%; 26,404%
27,232% din bin cc bin s ny. iu ny
cho thy, (i) din bin lm pht trong nn kinh
du; (ii) gi du khng nh hng nhiu n
sn lng cng nghip nn kinh t; (iii) CSTT
mc d c phn ng vi bin ng ca gi
du, bin ng gi du khng phi l s quan
tm ln ca iu hnh CSTT m CSTT quan
tm n ch s gi c chung ca nn kinh t.
Phn ng ny ca CSTT phn nh c th
din bin gi du c can thip ca Chnh ph
ti Vit Nam. Din bin tng ca gi du bn
l ti Vit Nam thng i sau c sc tng gi
du th gii, trong khi CSTT thng s c
v nhng phn ng ngay khi gi du th gii
tng bi lo ngi v p lc lm pht cho nn
kinh t.

Bng 6
Phn r phng sai sau 12 thng

Phn r phng
DCPI DIPI DM2 DIRATE DPRATE DOIL1
sai ca

DCPI 69,222 2,290 10,240 1,576 2,565 14,106

DIPI 4,350 81,122 4,212 6,617 1,398 3,301

DM2 12,891 4,450 62,308 13,914 2,323 4,134

DIRATE 26,404 5,213 3,187 58,481 5,183 1,529

DPRATE 27,232 1,339 5,214 21,348 40,142 4,723

DOIL1 19,428 3,014 4,065 19,960 5,378 48,159

Ghi ch: D_ch bin s dng sai phn

Ngun: Tnh ton ca tc gi.

4.3. Quan h ngn hn: M hnh VAR
Thc hin c lng m hnh VAR vi
bin gi du POIL2 tnh theo phng php
Hamilton (1996). GIRF da trn kt qu c
lng VAR trong hnh 4 cho thy kt qu kh
tng ng vi GIRF da trn kt qu c
lng VECM trong hnh 5 nhng r rng hn.
CPI tng mnh nht thng th 3 sau sc
POIL2, mc tng gim dn v gn nh khng
phn ng t thng 12 sau sc. IPI bin ng
khng c chiu hng nht qun nhng mc
tch ly c chiu hng gim trong 12 thng
u sau sc v ngng phn ng t sau thng
th 12. CSTT cng c chiu hng tht cht r
nt theo sau c sc POIL2, PRATE tng mnh
trong 3 thng du lm IRATE tng v M2 gim
mnh trong 6; PRATE v IRATE v M2 u
bin bin ng khng ng k t thng th 7.
 TP CH KHOA HC I HC M TP.HCM S 52 (1) 2017 53

DCPI DIPI
.0030 .004

.0025
.002

.0020
.000
.0015
-.002
.0010

-.004
.0005

.0000 -.006
2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24

DM2 DIRATE
.001 .20

.15
.000

.10
-.001
.05
-.002
.00

-.003
-.05

-.004 -.10
2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24

DPRATE POIL2
.6 .025

.5 .020

.4
.015
.3
.010
.2
.005
.1

.0 .000

-.1 -.005
2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24

Hnh 4. Phn ng ca cc bin s vi c sc gi du POIL2

Ghi ch: D_ch bin s dng sai phn
Ngun: Tnh ton ca tc gi.

Kt qu c lng phn ng ngn hn cc thng tip theo v tng khng ng k

ca nn kinh t v CSTT vi bin ng gi
du bng m hnh VECM v VAR tng ng
vi hai cch tnh ton bin gi du theo s
tuyt i POIL1 v theo Hamilton (1996)
POIL2 cho kt qu tng i nht qun. Lm
pht c phn ng tng mnh vi c sc tng
gi du trong 3 thng u, mc tng gim dn
t thng th 7 sau sc. Trong khi sn
lng li phn ng khng r nt trong ngn
hn d mc phn ng tch ly c xu hng
gim nh. Thm vo , bin ng gi du
khng gii thch ng k v khng c quan h
nguyn nhn cho s thay i ca sn lng
nhng gii thch c kh ln v c quan h
54
nguyn nhn vi din bin lm pht. Phn ng
ny ca nn kinh t cho thy rng th trng
chp nhn kh nhanh s thay i gi du do
nhng iu chnh gi du ca Chnh ph c
nhn nh l nhng thay i lu di m khng
phi l bin ng tc thi. i vi CSTT, kt
qu nghin cu cho thy CSTT c phn ng
vi c sc gi du tng theo hng tht cht
trong 6 thng u sau sc. iu ny c ngha
CSTT ngay lp tc la chn kim sot lm
pht khi gi du tng. Tuy vy, iu hnh
CSTT khng dnh s quan tm ng k cho
din bin ca ch ring gi du bi gi du
khng phi l nguyn nhn v khng gii
thch nhiu cho cc bin s CSTT. Thay vo
, CSTT quan tm nhiu hn din bin
chung ca gi c trong nn kinh t v phn
ng theo din bin chung ca gi c.
5. Kt lun, hn ch v hng nghin
cu tip theo
Bng cch s dng phng php VECM
v VAR cho hai cch o lng gi du trong
giai on 1/2008-12/2015 nghin cu cho
thy lm pht v sn lng ca nn kinh t c
chu nh hng ca gi du trong c di hn
v ngn hn. Trong di hn, gi du tng lm
lm pht tng v sn lng gim, trong ,
mc tng ca lm pht cao hn mc gim ca
sn lng. Trong ngn hn, lm pht phn
ng theo hng tng mnh vi c sc tng gi
du trong khi sn lng c bin ng khng
r nt d c mc tch ly gim. i vi bin
ng ca gi du, CSTT Vit Nam cng c
phn ng theo hng tht cht kim sot
lm pht; tuy nhin, phn ng ca CSTT tp
trung nhiu hn vo din bin chung ca gi
c trong nn kinh t ch khng dnh nhiu s
quan tm cho ring din bin gi du.
Kt qu ca nghin cu c th vng
phi tranh lun bi nghin cu c thc
Ti liu tham kho
Bernanke, B. S., Gertler M. & Watson, M. (1997). Systematic Monetary Policy and the Effects of Oil Price Shocks.
Brookings Papers on Economic Activity, 1, 91142.
Brown, S. P. A. & Yucel. M. K. (2002). Energy prices and aggregate economic activity: an interpretative
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KINH T
hin trong giai on nn kinh t c tng
trng chm li do nh hng ca khng
hong ton cu 2008 v lm pht tng cao t
bin. Tuy vy, vi cc kt qu c lng c
tnh tin cy v tnh n nh, kt qu nghin
cu mc nht nh cho thy tc ng
ca bin ng gi du di s kim sot ca
Chnh ph n nn kinh t v cch phn ng
ca CSTT. Tuy nhin, kh c th nhn nh
rng s kim sot ca Chnh ph i vi gi
du l ph hp hay khng ph hp hoc cch
phn ng ca CSTT l ng hay l sai.
Nguyn nhn l v nghin cu cn c nhng
hn ch nht nh ba kha cnh.
Th nht, nghin cu cha khm ph tc
ng bt i xng ca bin ng gi du n
nn kinh t cng nh nhng phn ng c th
cng bt i xng ca CSTT vi bin ng
tng gim ca gi du. C th hn, gi du
tng d dn n tng lm pht v gim sn
lng nhng gi du gim cha hn lm
lm pht gim v sn lng tng do gi c c
tnh cng nhc i vi nhng din bin i
xung. Theo , CSTT c th tht cht
phn ng vi c sc gi du tng nhng
khng hn s m rng khi gi du gim.
Th hai, nghin cu cha cho thy c
trong trng hp CSTT khng c phn ng
th nn kinh t s phn ng nh th no vi c
sc gi du.
Th ba, nghin cu cng cha cho thy
c nu Chnh ph khng can thip vo gi
du th nhng c sc gi du trn th gii s
tc ng nh th no n nn kinh t.
y l nhng vn cn b ng m cc
nghin cu sau c th tp trung gii quyt. Vic
gii quyt cc vn ny s cho thy r rng
hn vn can thip vo gi du ca Chnh
ph cng nh hiu qu can thip ca CSTT i
vi cc c sc gi du trn th gii.
 TP CH KHOA HC I HC M TP.HCM S 52 (1) 2017 55

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