B GIO DC V O TO TRNG I HC KINH T TP.HCMVIN O TO SAU I HC- -- -- - - -- -- -

LP CAO HC M 1 - KHO 20GVHD: PGS.TS NGUYN TH NGC TRANG NHM THC HIN: NHM 6 THNG 05 NM 2012 Nhn xt ca Ging vin: ................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................ DANH SCH NHM THC HIN STTHTNGHI CH 1Bi AnhChnh2Nguyn Tunt3Nguyn Th ThanhHo4Nguyn ThHoa5Bi Th ThanhHng6Phm Th TrMi7Nguyn Trn QunhTin8Mai Th ThanhV9L Th Hng 1MC LC I. MC TIU NGHIN CU......................................................................................... 1 1.1. Tn paper.................................................................................................................... 1 1.2. Mc tiu nghin cu ca paper.................................................................................... 1 Tm li. .............................................................................................................................. 3 Bin mi ca hai tc gi..................................................................................................... 3 II/ PHNG PHP NGHIN CU ............................................................................... 3 2.1. Phng php nghin cu............................................................................................. 3 2.2 M hnh ton hc s dng cho nghin cu................................................................... 4a/ M hnh t hi quy vector v hn ch ca n. ................................................................. 4Cc din t m hnh VAR trong paper: ............................................................................. 5 Mt s cch din t m hnh VAR khc:.......................................................................... 6 iu kin tn ti m hnh VAR.......................................................................................... 7 u im ca VAR .............................................................................................................. 7 Th t thng thng khi s dng m hnh VAR l ............................................................. 7 Hn ch ca VAR.............................................................................................................. 8 b/ M hnh hm s y v phn tch phng sai................................................................. 9 M hnh hm s y (IRFs)................................................................................................ 9 Phn tch phng sai.......................................................................................................... 11 Tam gic ma trn Cholesky................................................................................................ 13 c/ Phng php bnh phng nh nht (OLS).................................................................... 14 d/ Phng php Census X-12............................................................................................. 15 e/ Phng php kim nh s dng l Augmented Dickey-Fuller (ADF)............................ 17 2.3 Di d liu .................................................................................................................... 18 M hnh 05 bin (05 variance VAR) .......................................................................................... 18 M hnh 07 bin (07 variance VAR).................................................................................. 18 2.4 Cc khi nim cn lu ............................................................................................... 18 2.4.1 Lm pht mc tiu l g:............................................................................................ 18 2.4.2 Tc ng truyn dn ca t gi hi oi:................................................................... 19 2.4.2.1 C ch truyn dn ca nhng thay i t gi hi oi vo lm pht ........................ 20 2a/Knh trc tip: ............................................................................................................... 20 b/ Knh gin tip:............................................................................................................... 21 2.4.2.2 Cc nhn t c cho l nh hng n tc ng truyn dn ca t gi hi oi 21 a/Nhn t vi m: ............................................................................................................... 21 b/Nhn t v m:.............................................................................................................. 22 2.5 L gii nh v l do la chn nghin cu mi quan h ca LMPT v Tc ng truyn dn............................................................................................................................................ 22 III/ CC NGHIN CU TRC Y ........................................................................ 25 1.1 Trn th gii................................................................................................................ 25 a/ Hai kt qu nghin cu ca l thuyt Taylor ................................................................... 26 b/ M hnh hiu chnh sai s ECM..................................................................................... 26 c/ M hnh ca Ramakrishnan v Vamvakidis (2002):....................................................... 26d/ Mu hnh VAR.............................................................................................................. 27 2. Ti Vit Nam .................................................................................................................. 27 a/ M hnh a thc tr:....................................................................................................... 27 b/ M hnh hi quy theo bin logarit:................................................................................. 27c/ M hnh t hi quy VAR nghin cu tc ng truyn dn......................................... 28 IV. KT QU NGHIN CU........................................................................................ 29 4.1 Cc kt qu nghin cu thc nghim:........................................................................... 29 4.1.1 Tc ng truyn dn ca t gi ln gi c ni a ti cc nc mi ni p dng lm pht mc tiu: trc v sau khi p dng:.................................................................................... 29 4.1.2 So snh gia cc nc p dng v khng p dng lm pht mc tiu:....................... 32 4.1.3 Phn tch phng sai:................................................................................................ 37 4.2. Kt lun: ...................................................................................................................... 40 V. KIN CA NHM V HNG NGHIN CU TIP THEO ........................... 42 5.1 kin ca nhm.......................................................................................................... 42 5.2 Hng nghin cu tip theo......................................................................................... 43 PH LC 1:PHNG PHP BNH PHNG NH NHT PH LC 2: TNH DNG PH LC 03: CC YU T VI M V V M TC NG N TC NG TRUYN DN CA T GI HI OI 3PH LC 04: KIM NH N V TRONG EVIEWS PH LC 05: HI QUY GI TO V NG LIN KT PH LC 06: D LIU CC NC C NGHIN CU PH LC 07: DANH SCH MT S BI NGHIN CU TRC Y TI LIU THAM KHO Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 1 I. MC TIU NGHIN CU 1.1. Tn paper C chng lm pht mc tiu (inflation targeting) lm gim tc ng truyn dn ca t gi hi oi trong cc nn kinh t mi ni khng?1 ca tc gi Dramane Coulibaly v Hubert Kempf cng b thng 10/2010. 1.2. Mc tiu nghin cu ca paper2 Khi u ca vic p dng lm pht mc tiu trong chnh sch tin t lNew Zealand, sau mtslnglnccnhkinhthc(nhBernankevMishkin(1997),Svensson (1997), Bernake v cc cng tc vin (1999)) v mt s ngn hng trung ng khng nh li ch tim tng thu c t vic p dng chnh sch lm pht mc tiu l ng k. Mt vi cckhonlichthuckhchngminh(allegedgains)ththphnvlmphtcng nh t l li sut t bin i hn, tng trng n nh v tng kh nng phn ng vi nhng bin ng bt thng (shocks) m khng mt tn nhim hay chi ph c ct gim cng vi nhnggiai ongimpht3, Cc tcgi cho rng lm phtmc tiu c linquan ns ci thin trong bc tranh kinh t chung.Chnhvth,khuynhhngpdngcchlmphtmctiungycngphbinhn khng ch cc nc cng nghip4 m cn cc nc mi ni5 trong chnh sch tin t ca h. Mt nghin cu ca Laurence Ball v Niamh Sheridan (2003)6 ch ra trong mt paper mang tnDoesinflationtargetingmatter?viccbngchngthcnghim7camnhticc nc p dng lm pht mc tiu (targerters) v khng p dng (non-targeters) hai ng ch ra 02 lun im tng phn vi lm pht mc tiu8: -u tin, cc kha cnh ca lm pht mc tiu c l c xem xt cho mc ch chnh tr hn l do kinh t.-Thhai,Hainglplunrngvicthchinlmphtmctiuhnhnhlkhng thch hp i vi cc nc cng nghip -Lm pht mc tiu c th ci thin bc tranh kinh t trong tng lai. Mi trng kinh tcthtnhlngtrongthiklmphtmctiu,vnhiungnhngtrungng khngkim tramt cchkhtkhe. V c l nhng nh hoch nh chnh sch tng 1 Nguyn bn l: Does inflation targeting decrease exchange rate pass through in emerging countries?2 Trch paper: Inflation Targeting in Emergin Economies: What do the data say? Carlos Eduardo S. Goncalves v Joao M.Salles,(2005),page2vDoesinflationtargetingdecreaseexchangeratepass-throughinemergingcountries?, Dramane Coulibaly v Hubert Kempf (2010), page 3-4 3 Gim pht (Disinflation) l tnh trng mc gi chung ca nn kinh t gim xung lin tc, thng xut hin khi kinh t suy thoi hay nh n. Gim pht, do , tri ngc vi lm pht.4 Mi nc cng nghip nh: Australia, Canada, Finland, New Zealand, Norway, Spain, Sweden, Switzerland and UK 5Mihaincminil:Brazil,Chile,Colombia,Czechrepublic,Ghana,Guatemala,Hungary,Indonesia,Israel, Korea, Mexico, Peru, Philipines, Poland, Romania, Slovakia, South Africa, Thailand and Turkey 6 Laurence Ball work in Johns Hopkins University and Niamh Sheridan work in international Monetary Fund7 Cc nc m Laurence Ball v Niamh Sheridan ly mu l Australia, Canada, New Zealand, Sweden, United Kingdom, Finland,Spain,UnitedStates,Japan,Denmark,Austria,Belgium,France,Germany,Ireland,Italy,Netherlands, Portugal, Norway, Switzerland.8 Trch Does inflation targeting matter? page 29 - 30 Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 2 laisidinvinhngbinngmccungtronggiaion1970(1970s-size supply shocks) hay nhng p lc chnh trmnh m cho nhng chnh sch lm pht. Vi quan im ny, hai ng thy rng nhngnc p dng lm phtmc tiu x l nhng th thch ny tt hn nhng nh hoch nh chnh sch ngi m C lm i (just do it) Hayngitadatrnvictnhtongitrinhnhbngphngphpclngbnh phng nh nht (OLS: Ordinary Least Squares9) v cng vi vic quan st ti cc nc p dng lmphtmc tiu so snhvi (vis--vis) cc nc khng p dng lm phtmc tiu, ktqunghincucah chrarng vicgimmc(level)v binng (volatility) ca lmpht ccnc pdnglmphtmctiuch n gin l phnnh shiquyv quanhgitrtrungbnh(regressiontowardthemean10).Chnghn,ticcncpdng lm pht mc tiu, lm pht s ri nhanh hn ti cc nc c mc lm pht ban u cao v th hin mt xu hng r rng s dch chuyn v gi tr trung bnh ca n.Nhng nghin cu ca h tp trung hon ton vo cc nc cng nghip v do khng th gii quytvn ny ivi cc ncmi ni p dng lm phtmc tiu. GonCalvesv Salles(2008)mrngphntchcaBallvSheridan(2005)chomttphpca36nn kinhtminilnvthyrng,iviccnucktqulkhcnhau.Cth,ccnc mi ni thng qua chnh schlm phtmc tiu thc hin thgim ln hn ivi lm phtvbinngtngtrng,ngaycsaukhikimsotivivictrligitrtrung bnh ca n Ngynay, s tht l cc tcgi trn chmi tp trung cc nc c nnkinh t pht trin (cc nc OCDE), nhng nghin cu ca h c l b nhiu (plagued) vi mt loi la chn lch lc: nhnggi tr thu c t vic p dng nn tng lm pht mc tiu trong cc nc pht trin c th gn nh khng n gin vy, bi nhng nc ny khng chu ng nhng vnlmphtnghimtrnghaynhngrilonkinhtvm(macroeconomic disturbances) khc.V vy, v mt nguyn tc, khi lm pht mc tiu khng a ra nhng kt qu tt p c bo trc trongmt thgii pht trin ny, n c th lm tngkt qu vm trong s cc nc ngho hn, nigp phi nhng bin ngmnh hnv i dinvi nhngkhkhn ln hn trong vic xy dng chnh sch kinh t.Do , chng ta khng th p dng rp khun cch iu hnh chnh sch lm pht mc tiu ca cc nc pht trin ti cc nc mi ni c.Bi nghin cu ca Dramane Coulibaly v Hubert Kempf (paper ang nghin cu) tp trung vo phn tch nh hng ca lm pht mc tiu trn tc ng truyn dn ca t gi hi oi trong nhng nn kinh t mi ni (emerging countries). 9 Phng php c lng bnh phng nh nht - OLS (Ordinary Least Squares hay Linear least squares) l mt phng php c a ra bi nh ton hc ngi c Carl Friedrich Gaus, y l phng php rt hay dng trong phn tch hi quy nht l lnh vc kinh t lng, n thng k hiu l OLS (Ordinary Least Squares). T tng ca phng php ny l cc tiu tng bnh phng cc phn d. 10 Regression toward the mean: l hin tng m nu c mt bin vt xa ch s ban u ca n, n s c khuynh hng tin gn hn ti gi tr trung bnh trong s o u tin.Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 3 Da trn l thuyt ca Taylor (2000) cho rng tc ng truyn dn ca t gi hi oi th yu hn (lower) trong mi trng lm pht thp. Hay trongmi trng lm pht thp, cc cng ty kvngmt s thayi ca lm pht th t dai dnghn, v do s dn n (pass on) vic loi tr (less of) t gi hi oi bao gm vic tng gi nhp khu nh hng n gi bn ca n. L thuyt ny c ng h bi bng chng thc nghim da trn ch s gi tiu dng (CPI: Customer price index), k c ti cc nc cng nghip v cc nc mi ni.Tm li. GoncalvesvSalles(2008)chrarnglmphtmctiugipgimlmphtticcnc mi ni. V tngvmiquan hgia lmphtmc tiuvtc ng truyn dn ca t gi hi oi c khm ph bi Mishkin v Schmitt Hebbel (2007), khi hai ng nghin cu thc nghim s lin ktgia lm phtmc tiu vmt vi o lng ca yu t kinh t bao gm tc ng truyn dn ca t gi hi oi ln ch s gi tiu dng11.iu ny lm hai tc gi l Dramane Coulibaly v Hubert Kempf quan tm n vn Vy thtcngtruyndncatgihiiclinquannlmphtmctiukhng? hay c chng vic p dng lm pht mc tiu dn ti lmgim tc ng truyn dn ca t gi hi oi? VivicbsungthmccmunghincusovinghincucaMishkinvSchmitt Hebbel l cc nc mi ni khng p dng lm pht mc tiu. Bin mi ca hai tc gi Cng s dng mt tp con ca hai by nc mi ni (15 nc c p dng lm pht mc tiu v 12 nckhng). Cc tcgi cng s dngm hnh t hi quy VAR chomt ch sgi tiu dng (CPI: customer prices)v cho hai loi gikhc nhaugi nhpkhu(IMP: import prices) v gi sn xut (PPI: producer prices) II/ PHNG PHP NGHIN CU2.1. Phng php nghin cu Cc tc gi s dng phng php nghin cu nh lng tm cch gii quyt vn c cp c chng vic p dng lm pht mc tiu dn ti gim tc ng truyn dn ca t gi hi oi? bng cch s dng mt b d liu ca 27 nn kinh t mi ni (15 nc c p dng lm pht mc tiu v 12 nc khng p dng lm pht mc tiu mc tiu).M hnh kinh t lng p dng l m hnh vcto t hi quy VAR, bng cch a vo ch s gitiudng (CPI) nhl chsgiduynht, sautcgi tinhnhphntch m hnh VAR tiptheobngcchathmhaichsgikhc: ginhpkhu (IMP:import prices) v gi c sn xut (PPI: producer prices). 11 D liu Mishkin v Schmitt Hebbel s dng l 21 nc c pht trin v mi ni p dng lm pht mc tiu, vi 15 nc cng nghip khng p dng lm pht mc tiu vi phng php VAR (khng c mu nghin cu vi cc nc mi nivccncnycngkhngpdng lmphtmctiu).kimtraschnh lch,hpdngcctipcn trc v sau bng cch so snh cc cng thc o lng phn ng su (impulse response)trong cc mu hnh nh nc khc nhau, v ph thuc vo nc c p dng lm pht mc tiu hay khng. Kt qul, nh hng truyn dn n gi tiu dng tin gn n mc 0 (zero) hn ti cc nc cng nghip c p dng lm pht mc tiu v c trong cc nc khng p dng. Cn trong cc nc mi ni th tht bi sau khi cc nc ny t c mt mc tiu n nh, nhng li vn duy tr sai lch so vi mc zero. Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 4 Tmhnhny,tcgitnhtongitrcamhnhhmsy(impulseresponse functions) o lng bin ng ca cc bin. Cui cng l phng php phn tch phng sai (variance decomposition) c suy ra t m hnh t hi quy VAR o lng con s c th nh hng ca cc bin nghin cu Sau y chng ta tm hiu m hnh kinh t lng p dng nghin cu v nn l thuyt cn thit hiu r hn lm pht mc tiu v tc ng truyn dn ca t gi hi oi. 2.2 M hnh ton hc s dng cho nghin cu Nh chng ta bit, trong nghin cu nh lng, tn ti 03 loi s liu c bn l s liu theo thi gian, s liu cho v s liu hn hp. i vi cc vn kinh t, loi s liu chng tathngxuyntipcnnhtcllsliutheothigian,haycngilccchuithi gian,chnghnGDP,VN-index,haygivng,Tuynhin,chuithigiancnggyra khngtkhkhnchoccnhnghincu,chnhvthmhnglotccnghincuphn tch cc d liu ny, vi trit l hy d liu t ni. Trong ngi ta thng s dng 04 phng php nghin cu l12: -M hnh hi quy n phng trnh,-M hnh hi quy phng trnh ng thi,-M hnh trung bnh trt kt hp t hi quy (ARIMA: Autoregressive integrated moving average), thng c gi l phng php lun Box-Jenkins13 -M hnh t hi quy vct (VAR) Nhvy,crtnhiuphngphpphntchchuidliuthigianlinquannlm pht, phn ny, nhm ch a ra m hnh t hi quy vector v cc suy dn t n lm d hiu hn paper nghin cu v tc ng truyn dn14 ca t gi hi oi (exchange rate pass-through) ln lm pht mc tiu. M hnh t hi quy vector (VAR: Vector Autoregression Model) v suy dn t n a/ M hnh t hi quy vector v hn ch ca n. C th ni y l mt trong nhngm hnh ph bin nht trong nghin cu nh lng cc chnh sch tin t. Bi l mi quan h gia cc bin s kinh t khng n thun ch theo mt chiu, bin c lp (bin gii thch) nh hng ln bin ph thuc m trong nhiu trng hp n cn c nh hngngc li. Do m taphi xt nh hng qua ligia cc bin ny cng mt lc. M hnh VAR gip gii quyt c vn ny, l m hnh kh linh ng v d dng s dng trong phn tchvi chui thi gian a bin (multivariate). N l sm rng thmm hnhthiquynbin(univariate).MhnhVARcbitrthuchchovicmt nhng bin ng ca chui thi gian kinh t v d bo. 12 Ti liu dch Fulbright Kinh t lng cn bn ca Damodar N Gujarati xut bn ln 3, nh xut bn McGraw-Hill International, chng 22 page 113 G.P.E Box & G.M.Jenkins, Time series analysis: Forecasting and Control (Phn tch chui thi gian: D bo v kim sot. 14 Mt s ti liu Vit Nam cn dch exchange rate pass-through l mc chuyn t gi hi oiTiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 5 MhnhVarvcutrcgmnhiuphngtrnh(mhnhhphngtrnh)vtrp (lag)15 ca cc bin s. Var l m hnh ng ca mt s bin thi gian.Cc din t m hnh VAR trong paper: Dng rt gn: Trong ,llvectcaccbindngthamgiamhnh.ChnghnGDP,cungtinM2,CPI, PPI, IMP (L) l ma trn a thc trong ton t tr (the lag operator k hiu l p tr) uil vect ca nhng tc ng c th quc gia l vctor sai s c th Mt vn ang tranh ci trong c lng m hnh VAR ny l s xut hin ca nh hng c nh (fixed effects). Khi nhng yu t tc ng c nh ny tng quanvi cc bin hi quy, nguyn nhn t cc gi tr tr ca bin ph thuc, nhm tc gi s dng k thut trung bnh sai phn k tng lai (forward mean differencing) (quy trnh Helmert), sau l Love v Zicchino (2006). Trong k thut ny, loi b nh hng c nh ra khi m hnh, tt c cc bin trong m hnh c chuyn sang dng lch t trung bnh k tng lai.VctoYit lcnythnhmatrnchuynvtdngsangdngctkhiul v cng vy s thnh. Vi Ti l thikkcuicng(lastperiod)cadliusnctrongchuidliu,tabingitry trung bnh thnh Khi ny cng thc mi l:v Vi 15 Tnh cht tr trong cc m hnh hi quy nh lng trong kinh t c hiu nh sau: Khi chng ta s dng mt m hnh hi quy tng quan no th thng gi nh rng cc bin c lp tc ng tc th ln bin phu thuc v bin ph thuc ch chu s tc ng ca bin c lp. Tuy nhin, cc bin s trong kinh t thng khng ng, tc ng ca cc bin c th tc thi, c th khng. Nguyn nhn c th do yu t tm l, sc ca nn kinh t, nh ch,. Chnh v th m hnh hi quy thng thng dng (vi t l k th t) thng khng chnh xc, nn m hnh hi quy VAR c thm k hiu tr p VAR(p). Chng ta phi xc nh p tr ny. Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 6 S chuyn i ny s khng tnh c d liu ca nm cui cng, vkhng c gi tr tng lai cho vic xy dng trung bnh k tng lai. Kt qu ca tt c bin i ny l: Vi cc ma trn chuyn v v Chuyninyl mt lch trcgiao(orthologonal),trong mi quanst cdin t nhlmt lch tnhngquanst trung bnh trong tnglai.Miquanstnyc nhlng(weighted)cth chunha phngsai.Nu ccsais banu khng t tngquan v ctnhhobi mtgitrphngsaicthno,thccsaisc chuyn i nn biu th tnh cht tng t. V vy, dng bin i ny lu gi hin tng phngsaikhngi (homoscedasticity)vkhnggyratngquan chui (Arelanov Bover,1995).Kthut ny chophp s dng ccgitr trpcabinhiquy nh lcc cngc v ctnh cchs bngphngphp tngqutha thiim (GMM:the generalized method of moment)Mt s cch din t m hnh VAR16 khc nh sau: Trong ,-Yt l vecto ma trn ca cc bin,-Nu trong paper ny th (m hnh 5 bin) hay (m hnh 7 bin) -: Ma trn h s chn - intercept - : sai s nhiu (error disturbance) -Bi l ma trn hip phng sai ca cc bin tr, loi 5x5 hoc 7x7 nh bi nghin cu Theo Gio trnh Econometric Analysis, William H . Greene, 2000, page 586 din gii VAR l 16 Ti liu Exchange rate pass-through and its applications for inflation in Vietnam, Vo Van Minh, 2009, page 25 v paperExchange rate pass-through: Evidence based on vector autoregression with sign restrictions, An, Lian (2006) page 16 Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 7 Trong l vector nhiu khng t tng quan (non-autocorreclated disturbances) vi gi tr trung bnh E( ) = 0 v ma trn hip phng sai xy ra cng lc iu kin tn ti m hnh VAR -Ccbintheothigianphictnhdng17(stationary)tclcccgitrtrung bnh, phng sai v hip phng sai ti cng mt tr ca n l khng i theo thi gian (Xem phu lc 2). Bi v nu bin s khng dng s gy ra hin tng hi quy gi to (Xem ph lc 5), lm phng php OLS trong phn tch hiquykhng p dng cu im ca VAR Hn ch ca m hnh ARIMA l ch tin hnh phn tch trn mt chui thi gian. Khi chng tacnphntchnhiuchuithigiankhcnhauvcnphixemxtmiquanhgia chngthmhnhVARtrthnhmtlachnphhp.MhnhVARgipxemxtcc chui thi gian khc nhau.Hn na, m hnh VAR cn c u im l khng cn phi xc nh bin no l bin ni sinh, bin no l bin ngoi sinh hay ta c th s dng phng php OLS cho tng phng trnh ring r. Bng cch cho php cc tng tc ni sinh gia cc bin trong h thng. Th t thng thng khi s dng m hnh VAR l -Xt tnh dng ca chui d liu, nu d liu cha dng th s dng phng php sai phn bin iv chui dng, u tin l sai phn bc 1, nu bc1 cha c th bc hai, bc ba, -Lachnkhongtrphhp,kthpvikimnhdiagnosticxcnh,thng thng tr l 1,2,3. tr = 0 l v l voGi tr k trc thng c nh hng nht nh n gi tr k sau oK vng tng lai thng da trn gi tr hin ti hoc qu kh oThng tr l 2 v tr cng nh cng tt v s lng quan st l c hn, nu tng tr ln th i hi tham s d liu a vo m hnh cng ln. Gi 17 Khi nim tnh dng c s dng rt nhiu trong m hnh ARIMA, Mt qu trnh ngu nhin Yt c coi l dng nu kvng, phng sai v hip phng sai ti cng mt tr ca n khng i theo thi gian. Vi d liu l cc chui khng dng, cc gi thit ny b vi phm, cc kim nh t, F mt hiu lc, c lng v d bo khng hiu qu hay ni cch khc phng php OLS khng p dng cho cc chui khng dng. Xem thm ph lc 2 r hn Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 8 tr Chi bnh phng trong kim nh diagnostic s gim khi s tr cng tng ln qu mc ph hp. -Xtmcphhpcamhnhchyra(bngvickimnhtnhdngcaphn d.Nuphndcamhnhdngthmhnhlphhpvichuithigianv ngc li).-So snh vi cc m hnh ph hp v la chn m hnh ph hp nht Hn ch ca VAR Bn cnh nhng hn ch trn, phng php vector VAR cn c cc hn ch sau-Kh khn trong vic xc nh tr v s mu quan st cn a vo m hnh. Ngi ta tnh ra rng vi k bin s (variance) v p tr (lag operators) th cn k2p h s gc v k h s chn. Gi d vi m hnh 3 bin v tr l 8 th s h s gc l 32 * 8 + 3 = 75 quan st. Nu k v p cng ln th tham s i hi cng cao -Yu cu ca m hnh VAR m bin th m bin cng phi dng. Nu khng dng th ta phidngsaiphntnh.Nhngnumtchuigmcccbindngvbin khng dng th vic ly sai phn l kh khn. V kt qu t vic bin i c th lm sai lch gi tr thc phn nh ca s liu -Nucmtvitrtrongphngtrnh,khngphilcnocngcthddng gii thch tng h s, c bit l nu cc dutrong h s thay ik tip nhau. V l do ny, ngi tami xem xthm phn ngy (IRFs: impulse response functions) c suy ra t m hnh t hi quyvector (VAR) ny.IRFgip pht hin c phn ng ca bin ph thuc trong m hnh VAR i vi cc c sc ca cc s hng sai s. ycngchnhltrngtmcaphntchtheophngphpmhnhthiquy VAR. Hin nhiu nh ton hc ang nghi ng kh nng thc s ca n18. -Hmsychochngtabitcchaykhngsnhhngcacscncc bincnli.Nhngnhthlcha,vcthtcngtruyndn(hocmc chuyn) ca mt c sc t mt bin n bin cn li l rt nh trong khi bin khc nh hnglilnhn.Nnngitaphisdngphngphpphntchphngsai (variancedecomposition)xcnhxemmcnhhngcamtbinlbao nhiu. 18 D.E.Runkle, Vector Autoregression and Reality, journal of Business and Economic Statistics, page 437-454, (1996) Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 9 b/ M hnh hm s y v phn tch phng sai T nhng hn ch ny ngi ta gii quyt n bng nhiu cchkhc nhauv dn n ba ng dng c bn trong m hnh VAR -ng dng trong d bo -Suy dn ra m hnh hm s y (Impulse Response Functions IRFs) -Suy dn ra phn tch phng sai (variance decomposition) y nhm trnh by v b i m hnh hm s y v phn tch phng sai nh th no trong phng php phn tch m hnh t hi quy M hnh hm s y (IRFs: Impulse response funtions) Cch dn gii th nht: Vi chui thi gian l n k, bin yt vit thnh dng ma trn chuyn v l)' ..., , (, 2 1 nt t t ty y y y = , mt m hnh VAR vi tr l p VAR(p) c vit di dng: t p t p t t tu y A y A y A y + + + + = ...2 2 1 1 (0) Vi Ai (i = 1,2,,n) l ma trn h s (nxn) v)' ,..., , (2 1 nt t t tu u u u =l mt sai s trung bnh l zero theo phng php i.i.d 19 c tnh ngu nhin. By gi, gi s chng ta c hai bin (k =2) v tr l 1 (p=1) th VAR (1) lc ny lyt t t t tz c y c z b b y + + + = 1 12 1 11 12 10 (1) zt t t t tz c y c y b b z + + + = 1 22 1 21 21 20 (2) vi) , 0 ( . . ~2i itd i i v0 ) , cov( =z y T (2) v (3) ta bin i n v dng ma trn nh sau: ((

+((

((

+((

=((

((

ztytttttzyc cc cbbzybb1122 2112 112010211211 (3) n gin hn, ta vit gn li lt t tX BX + I + I =1 1 0 (4) (y chnh l M hnh VAR cu trc (SVAR: Structural VAR) hay m hnh VAR nguyn thy (the Primitive System) chun ho pha bn tri ca phng trnh (4), ta nhn cho ma trn nghch o ca B l B-1, lc ny, phng trnh (4) tr thnh t t tB X B B BX B 11 1101 1 + I + I = 19 i.i.dvit tt ca Independent and identically distributed random variables Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 10 Vitgnlil t t te X A A X + + =1 1 0(5).ychnhlmatrndngchuncaVAR(UVAR: unstructured VAR) Hay ((

+((

((

+((

=((

tttttteezya aa aaazy211122 2112 112010 (6), vit tch ra thnh h 2 phng trnh nh sau t t t te y a y a a y, 1 1 , 2 12 1 , 1 11 10 , 1+ + + = v; t t t te z a z a a z, 2 1 , 2 22 1 , 1 21 20 , 1+ + + = Bc tip theo l bin gi tr ((

ttee21 trong phng trnh (6) v dng ma trn t , ta ct tB e 1 = vi B-1 l ma trn o ca B, tc 1 B= aBB1=TBB*) (1= = ((

=11) 1 (1211212 21bbb b (vi * B l phn ph (cofactor) ca B v TB*) ( l ma trn chuyn v ca B), suy ra: ((

((

=((

ztytttbbb b ee11) 1 (1211212 21 21 (7) hay A=zt yttbe 121 (vi 12 211 b b = A ) v A + =zt yttbe 212 Suy lun ra hm s y, ta bt u t phng trnh (5), bin i thnh:L A IeL A IAX e X A A Xtt t t t1 101 1 0) 5 (+= + + = (vi Xt-1 = L Xt, L l ma trn h s) u tin chng ta phn tch v phi (RHS: Right hand Side) ca phng trnh12 21 22 11201022 1221 2222 2112 11022 2112 1110 101110) 1 )( 1 (111111) () (a a a aaaa aa aa aa aAa aa aA IA A IA A IA IAa ((

((

= ((

== = ((

=((

++ A=zya a a aa a a a20 22 10 1220 21 10 22) 1 () 1 (1 Tnh dng yu cu lgi trgc caL A I1phi nm ngoi (outside) cavng nv. Vi gi nh l c iu ny. Chng ta vit tip thnh phn s 2 caphng trnh (5) ra thnh((

((

= = == i ti tii ii ti teea aa ae AL A Ie, 2, 1022 2112 11011 Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 11 Lc ny, phng trnh (5) tr thnh ((

((

+((

=((

=i ti tiiAtteea aa azyzyi, 2, 1022 2112 11 (8) Docsaisphchptrongmhnhcchtnmhnhcutrcnnngitaphi chuyn((

ttee21vdng ((

ztyt.Mphngtrnh(7)tac ((

((

=((

ztytttbbb b ee11) 1 (1211212 21 21 (vi 12 211 b b = A ), thay vo (8) cho ta phng trnh hm s y l: ((

((

+((

=((

=ui t zi t yiittibbb bAzyzy,,0211221 12111 ((

((

u uu u+((

= =i t zi t yii ii iizy,,) (22) (21) (12) (110i ti iX=u + = 0 (9)T phng trnh ny ta ly sai phn ca tng bin suy ra c tc ng y ca bin y ln z v ngc li, nh sau: Vi k hin ti ty v tz :) 0 (12,u =t ztddy,) 0 (22,u =t ztddz Vi k tng lai (xt 1 k) 1 + ty v 1 + tz :) 1 (12,1u =+t ztddyv) 1 (22,1u =+t ztddz CchdngiithhaicththamkhothmtrongschEconometricsAnalysis,ca William H.Greence page 586 n page 595, sau qu trnh tnh ton th tc gi dn lun ra m hnh hm s y l: Phn tch phng sai Sau y nhm xin trnh by v tng phn tch phng sai dn nhp t m hnh t hi quy VAR nh sau tng ca phn tch phng sai l tnh xem mt thay i/c sc ca mt bin nh hng bao nhiu (c th din gii di dng % hoc s thc) ln cc bin khc.Cch din gii 1: Quay li cng thc s (9) trn, ta t i tx + l v tri (LHS) ca phng trnh (9), hay: Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 12 ((

((

+((

=((

= =u+ i t zi t yiiitti tibbb bAzyzyx,,0211221 12111 ((

((

u uu u+((

= =i t zi t yii ii iizy,,) (22) (21) (12) (110 i ti iX=u + = 0 hay i ti ii tX x=+ u + = 0 (10)By gi chng ta nhn rng gi tr i (t 0 n) ln. + Vi i = 1 th...1 2 1 1 0 1+ u + u + u + = + + t t t tX x ...1 2 1 1+ u + u + = + t t t tX x E Suy ra, gi tr d bo trong k 1 l : 1 0 1 1 + + +u = t t tEx x + Tng t vi i = 2 th: 1 1 2 0 2 2 + + + +u + u = t t t tEx x + Vi i = 3 th: 1 2 2 1 3 0 3 3 + + + + +u + u + u = t t t t tEx x + Vi i= n k th: = + + + + + + += u + + u + u + u = 101 1 2 2 1 1 0...nii n t t n n t n t n t n t n tEx x By gi, xt y, nhn t u tin trong ma trn x. Gi tr d bo ca n l) ... (1 , 1 , 11 1 , 1 , 11 , 0 , 11 + + + + +u + + u + u = t y n n t y n t y n t n tEy y ) ... (1 , 1 , 21 1 , 1 , 21 , 0 , 21 + + +u + + u + u +t z n n t z n t z Lc ny, gi tr bin s ca d bo n-step-ahead l:+ u + + u + u = time over Decreasesshock own to dueiance of proportionny n yvar1 , 1121 , 1120 , 112 2 2,) ... ( time over Growsshock z a to dueiance of proportionnzvar1 , 2121 , 2120 , 212 2) ... ( u + + u + u Cch din gii 220: Vi m hnh t hi quy VAR(p), p tr ta c, vit gn l Vi 20 Ngun http://en.wikipedia.org/wiki/Variance_decompositionTiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 13 ,,, v Trong , yt, v v u l ma trn dng ct c p gi tr. Ma trn A l k dng v p ct (kxp)Tnh ton sai s trung bnh21 ca h-step d bo ca bin j, Trong , l ct th j ca ma trn n v Ik v j j m ch nhn t ca ma trn. (vi l ma trn tam gic yu trong phn tch ma trn tam gic ca Cholesky). (vi, l ma trn hip phng sai ca sai s)Gi tr ca bin s d bo ca nhn t j c tnh l Trn y l nhng tm hiu s ntv haimhnh b i nyvi hivng tm hiu r nt hn mt chtvb i lun ikm trongphn tchm hnh hi quy. Tuy nhin, nu c nhiu thi gian hn v c h tr thm t nhng c nhn c chuyn mn ton kinh t, nhm c th hiu v din t tt hn hai m hnh ny.May thay, ngy nay th vi khoa hc hin i, vic tnh ton tr nn n gin hn thng qua phn mm Eviews, chng ta c th tham kho http://www.eviews.com/ tm hiu thm v cch p dng n trong eviews Tam gic ma trn Cholesky ThtccbintrongmhnhthiquyVARvittheomatrnCholesky22cxut bi Bernanke v Mihov (1998) , theo bin phi chnh sch (sn lng) c t trc cc bin. Tip n l cc bin lin quan n chnh sch (nh cung tin, t gi hi oi). Vi m hnh ca hai tc gi nghin cu iu ny l ph hp theo th t ca hai phng trnh 21 MSE: the mean squared error 22 Ma trn Cholesky l ma trn c bit ca ma trn ng cho. Ma trn ba ng cho c ngoi tr cc phn t trn ca 3 ng cho chnh, cc phn t cn li bng 0, tt nhin ta c th tch ma trn A = L.U vi A l ma trn 3 ng cho, L l ma trn tam gic di v U l ma trn tam gic trn. Ma trn Cholesky: A = L.L (vi L l ma trn chuyn v ca ma trn L) Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 14 (m hnh 5 bin) v (m hnh 7 bin) Th nht, sn lng, gi du m l cc bin c lp khng b nh hng bi chnh sch ca quc gia, hay cc c sc xy ra trong ni b cc quc gia.Thhai,dosnlngqucgiathayinnnnhhngncungtint,cungtin thay i dn n t gi hi oi thay i, lm cho gi c ni a ca hng ha thay i, tc gi tr ng tin dng mua mt loi hng ha cng thay i. Vi mc ch ca ma trn cholesky l bin i gi tr phn d trong m hnh VAR dng rt gn (t) v cc bin nhiu cu trc (et) trong m hnh VAR cu trc trn. Ta din t ma trn Cholesky theo tng phng trnh nh sau + M hnh 5 bin: + M hnh 7 bin: c/ Phng php bnh phng nh nht (OLS) tng ca phng php bnh phng ti thiu l tm 1|v 2|sao cho tng bnh phng phn d c gi tr nh nht. T hm hi quy Yi = 1|+ 2| Xi + ei , suy ra: i 2 1 i i i iX Y YY e | | = =Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 15 Vy ( )2n1 ii 2 1 in1 i2iX Y e = =| | = (3.6) iu kin (3.6) t cc tr l: (1) ( ) 0 e 2 X Y 2en1 iin1 ii 2 1 i1n1 i2i= = | | =| c|.|

\|c = ==(3.7) (2) ( ) 0 X e 2 X X Y 2en1 ii i in1 ii 2 1 i2n1 i2i= = | | =| c|.|

\|c = == (3.8) T (3.7)v (3.8) chng ta rt ra | + | =i 2 1 iX n Y (3.9) | + | =2i 2 i 1 i iXXX Y(3.10) Cc phng trnh (3.9) v (3.10) c gi l cc phng trnh chun. Gii h phng trnh chun ta c XY2 1| = |(3.11) Thay (3.9) vo (3.8) v bin i i s chngta c ( )( )( )== = |n1 i2in1 ii i2X XX X Y Y(3.12) tX X xi i =vY Y yi i =ta nhn c === |n1 i2in1 ii i2xx y d/ Phng php Census X-12 23 Chui d liu kinh t hay ti chnh thng ph thuc cc bin s theo ma v. Nhng bin i theo ma lm khkhn hn khi phn tch nhng thay i vd liu cho tc ng tng hay gim trong mt k nht nh, hn na v cc bin pht sinh mt cch u n. S dng d liu th (raw data) trong mt vi trng hp c th sai lch. Trong phn tch kinh t, nh 23 Tham kho Explanatory Notes Monthly Seasonal Adjustment of Statistical Time Series v t chc United States Census Bureauv Seasonal Adjustment using the x12 procedure ca Tammy Jackon v Michael Leonard, SAS Institute. Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 16 gi ban u v cc iu kin kinh t, c bit l vic nhn ra cc im vng quay kinh t, ch c th nu phn tch ny da trn cc thng cch y khng lu ca chui thi gian.Viciuchnhgitheomamtqutrnhtnhtonvhnchnhhngmavtrong chuithigian.Do,dliuciuchnhtheomalmchophntchddnghn trong ngn hn v xc nh nhng thay i trong khuynh hng. D liu c iu chnh th tinchchocctchctichnh,chnhph,nhphntchthngk,nhtonkinhtv nhng nh kinh t nghin cu trong kinh t v m, nh d bov nhng nghin cu sinh. Mu hnh Census X12 hay Census-X12-ARIMA24 da trn nguyn tc iu chnh chui gi tr theo ma c a ra bi mt t chc ca chnh ph M - United States Census Bureau v Statistic Canada. Chng trnh ny cn c lp trnh trong phn mm eview nhm ti thiu ha nhng tc ng bp mo n nhng nhn t c nh gi theo ma.Mhnhnyclptrnhnhiutrongccphnmmthngk,lskthpgianhng kh nng ca chng trnh X-11 (do Shiskin, Young v Musgrage lp 1967), X11-Arima/88 (do Dagum 1988 lp)vgii thiumtvi nhn tmi (do Findleyvcng s, 1988 lp). V vy, Census X12 hay X12 Arima l chng trnh cha ng cc phng php c pht trin bi U.S Census Bureau v Statistic Canada. Vi 04 mu hnh chnh c s dng l hi quy ARIMA (regARIMA), phng php d on (model diagnostics), iu chnh theoma dng phng php X-11 (X11 methodology) v phng php d on hu iu chnh (post-adjustment diagnostics). Phngphpiuchnhtheomacachuidliudatrnginhrngbinngtheo mua c th c o lng di dng chuiban u (Ot, t = 1,.,n)v c phn chia t chukthayi(trendcycle),ngygiaodch(trading-day),vbinngbtthng (irregular fluctuations).-Nhn t theo ma ca chui thi gian, St, c nh ngha nh phng sai vng nm (intrayear)mcphnchialintchaytrongmtdngsuylunra(evolving fashion) t nm ny sang nm khc. -Nhn t chu k thay i (trend cycle), Ct, o lng phng sai (variation) nh khuynh hngdi(long-termtrend),vngidoanhnghip(businesscycles),haynhng nhn t vng i di hn khc -Nhntngygiaodch(trading-day),Dt,lphngsaicmchphntchtheo lch dng 24 ARIMA: vit tt ca autoregressive integrated moving average: Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 17 -Nhn t bt thng (irregular component), It, l phng sai cn li. CrtnhiumuhnhOtkhcnhautychuithigiannhhay hay hay e/ Phng php kim nh s dng l Augmented Dickey-Fuller (ADF) Nhm xin ly 01 v d dn gii cch la chn theo ADF Viclhngs;t:lxuththeothigian,bctrtiucxcnhtheotiuchun thng tin Akaike Infor (AIC).Gi thuyt null: c mt nghim n v. Nu gi tr kim nhln hn gi tr ti hn 5%, t chi gi thuyt null. ng ngha vi vic mc thng k 5%: khng c nghim n v hay chuildng.Vngcligitrkimnhnhhn5%thchpnhngithuytnull ngha l cc chui c mt nghim n v hay l chui khng dng . v d ny t-statistic < gi tr ti hn 5% nn chp nhn gi thuyt null. Kt lun chui c mt nghim n v hay chui khng dng Tm li l, vi gi thit H0: l chui dng H1: l chui khng dng iu kin bc b H0 l gi tr tau (tau statistic) phi ln hn gi tr ti hn tng ng vi mc ngha 1%, 5% hoc 10% th chui l dng. Nu chui khng dng ta phi x l bng phng php sai phn hoc phng php bnh phng nh nht Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 18 2.3 Di d liu M hnh 05 bin (05 variance VAR) 25 Trong -oil: biu th di dng logarit t nhin ca gi du th gi -gap: l chnh lch sn lng quc gia,-m: biu th di dng log ca cung tin -ner: biu th gi tr t gi hi oi danh ngha -cpi: ch s gi tiu dng- i din cho ton t sai phn bc 1 M hnh 07 bin (07 variance VAR) Cng vi cng thc trn, ngi ta a thm hai bin na l ch s gi sn xut (PPI: product price index) v ch s gi nhp khu (IMP: import price index). M hnh lc ny thnh: M hnh nygip chng takim tra tc ng truyn dn ca tgi hi oi theoknhgi. Hay ni cch khc, gip chng ta xc nh c lm pht mc tiu c th c nh hng m ln tc ng truyn dn vo gi tiu dng bng tc ng yu hn ln gi nh sn xut hay gi nhp khu khng? 2.4 Cc khi nim cn lu 2.4.1 Lm pht mc tiu l g:u tin, lm pht l g? Nhiu nhkinh t i tmmt nh ngha ng cho thut ng lm pht (inflation), nhng ni chung cha c mt s thng nht hon ton. Quan im c in cho rng lm pht xy ra khi s tin lu hnh vt qu d tr vng lm m bo ca ngn hng pht hnh. Quan im khcchornglmphtlsmtcnigiatinvhngtrongnnkinht.Licquan imchornglmphtlstnggicaccloihngha(tliutiudng,tliusn xut v hng ha sc lao ng). Lm pht xy ra khi mc chung ca gi c v chi ph tng. 25 M hnh ny tc gi da trn m hnh ca Ito v Sato (2007) khi cc ng dng n so snh tc ng truyn dn ca t gi hi oi ti cc nc ng v Chu M La Tinh, sau Ito v Sato (2008) ng dng k thut phn tch VAR cho tc ng truyn dn ca t gi ti cc nc ng Nam Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 19 Nhngmtkhinimcnhiungisdngllmphtlhintngtintronglu thngvt qu nhu cu cn thit lm cho chng bmtgi, gi c ca hu ht ccli hng ha tng ln ng lot Vy th lm pht mc tiu l g? Lm pht mc tiu l mt c ch iu hnh chnh sch tin t da trn nn tng s dng vic dbolmphtlmchsmctiutrunggian,trongccngnhngtrungngtnh ton, d bo v cng b mt mc lm pht mc tiu (nh hng bng mt ch s hoc mt khong bin ) cho nmk hoch.Sau cgng lo li lm pht thcvmc lm pht mctiuthngquavicsdngcngclisuthaynhngcngctintkhc.Thng thng ngn hng trung ng s dng cng c li sut iu chnh lm pht v li sut v lmphtthngcmiquanhnghchbin.Mtmctnghaygimvlisutsiu chnh lm pht mc tiu. Cn theo Frederic S. Mishkin26 cho rng lm pht mc tiu l mt chin lc ca chnh sch tin t bao gm 05 yu t chnh l:(i)Cng b ra cng chng mc tiu lm pht nh lng trong trung hn;(ii) Camktthchnhmnnhgicnhmtmctiuchyucachnhsch tin t;(iii)Chin lc thng tin baogm nhiu bin s, khng ch c tng cung tin hay t gi hi oi, c s dng cho vic thit lp cng c chnh sch tin t;(iv)Tngtnhminhbchcachinlcchnhschtintthngquavicthng bovicngchngvthtrngvkhoch,mctiu,nhngquytnhca Ngn hng Trung ng; (v) Tng trch nhim gii trnh ca ngn hng TW cho vic t c mc tiu v lm pht.2.4.2 Tc ng truyn dn ca t gi hi oi27: Tc ng truyn dn ca t gi hi oi l mt hin tng m nhng thay i v gi tr giao dch ngoi t c phn nh trong nhng thay i ca gi nhp khu.TrongnghincucaEricONFisherchrarngnhngthayivtgigyranhng thayitrongginhpkhu,nhngmctruyndncatgihioiphthuccu 26 Trch paper: Inflation targeting (2001) ca Frederic S.Mishkin, page 1 27 Trch dn paper: A model of Exchange Rate pass-through caEric ON Fisher (1987), page 1-2 Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 20 trc th trng ni a v quc t v ch t gi hi oi. Nhn chung, tc ng truyn dn ca t gi hi oi th cao hn nu th trng ni a l c quyn hay nu th trng nc ngoi l cnh tranh 2.4.2.1 C ch truyn dn ca nhng thay i t gi hi oi vo lm pht Theo nghin cu ca Nicoleta (2007), nhng thay i ca t gi hi oi s nh hng n lm pht qua hai knh c bn: trc tip v gin tip a/Knh trc tip: n gin ha phn tch, khng mt tnh tng qut, ta c th xem c sc ny chnh l: s mt gi ng ni t. iu ny s khin nhng hng ha v nguyn liu c nhp khu tr nn t hn. Khi gi cc nguyn liu nhp khu tng, chi ph sn xut s tng v tng gi tiu dng. Gi hng ha tiu dng nhp khu s phn nh ngay vo s tng ln ca ch s gi tiu dng, nh hnh di yKnh trc tip tc ng truyn dn ca t gi28

Ngun: Nicoleta (2007) Bn cnh c ch truyn dn t gi hi oi ti lm pht, cn 01 c ch truyn dn na n lm pht, l c ch truyn dn li sut, c th m t qua hnh sau: 28 Trch t ti liu Estimating the exchange rate pass through into inflation in a vector autoregressive framework ca Nicoleta, (2007) trang 234 Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 21

b/ Knh gin tip:Khi ng ni t gim gi, hng ni a s tr nn r hn so vi hng quc t khin cu hng niatngdnngitngtheocchcungcuthtrnghocdnngiatngsn xut, tng cu lao ng, tip n l tng lng v tng tng cu, kt qu l t l lm pht gia tng.Tuynhin,tcngnychyultrongdihndogithtrngcngnhctrong ngn hn.Mt knh gin tip quan trng khc trong ngn hn cng nh di hn l thng qua t l l ha nn kinh t, tc l tnh trng ngi dn s hu cc ti sn tnh bng ngoi t. Gi nh, t gi hi oi tng, tc l ni t gim gi v ngoi t tng gi, ngi dn c xu hng chuyn sangnmgicctisnbngngoit,ygicctisntnhbngngoittng,thng thng l bt ng sn v cc mt hng xa x, v mt bng gi ln hay CPI tng. 2.4.2.2Ccnhntccholnhhngntcngtruyndncatgihi oi29 a/Nhn t vi m Theo nghin cu ca Lian (2006) ch ra 03 nhn t chnh nh hng n tc ng truyn dn ny l:-Phn ng gi n30 -Mc doanh li theo quy m ca doanh nghip 29 Xem thm ph lc 03 30 Gi n = make up t l gia gi bn v chi ph sn xut bin Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 22 - co gin ca cu cc hng ha nhp khu. b/Nhn t v m Mt s nghin cu ca Mann (1986) v Taylor (2002) nhn dng mt vi nhn t nh hng n tc ng truyn dn ca t gi hi oi theo mc v m gm -Quy m ca mt quc gia - m ca nn kinh t -S dai dng v bt n nh ca cc c sc t gi -Tnh khng n nh ca tng cu -Mi trng lm pht -Mi trng chnh sch tin t 2.5LgiinhvldolachnnghincumiquanhcaLMPTvTcng truyn dn31 hiuhncchthcngitalachnccbinstrongmhnh,chngtabtuvi phn tch mi quan h gia bin s t gi hi oi v gi nhp khu. T c th suy dn ra cchthcphntchtcngtruyndncatgihioi(exchangeratepass-through: ERPT), hay phn trm thay icagi nhpkhucgii thch bng phn trm thay i ca t gi hi oi. Chng ta s thy trong phn kt qu nghin cu rng mt s truyn dn bin ng ca t gi trong bin ng caginhp khu c th l mt truyn dn hon ton hoc mt phn. Nu gi tr truyn dn ny l zero ngha l s thay i trong t gi hi oi khng nh hng n gi nhp khu.Th nht,ginhpkhu ti btk qucgia i no , Pm,i , lmt dng chuyn i cagi xut khu ca nc xut khu j , Px,j bng cch s dng t gi hi oi, ER. Trong iu kin khng c ph, thu, chng s din t Quy lut mt gi gi nhp khu trong nc theo gi xut khu ca nc xut nh sau: j x i i mP ER P, ,. =(1) hay xfmhP ER P . =(2) 31 Trch dn nghin cu Ti liu Exchange rate pass-through and its applications for inflation in Vietnam, Vo Van Minh, 2009, v paperExchange rate pass-through: Evidence based on vector autoregression with sign restrictions, An, Lian (2006)Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 23 Trong:hkhiulncnia(homecountry)vflncngoi(foreigncountry). mhP l gi nhp khu ti nc ni a, v xfP l gi xut khu ti nc xut khu. ER l t gi hi oi gia trong nc i vi nc ngoi (trong nc/nc ngoi)32 Theo nghin cu ca Hooper and Man (1989), Goldberg and Knetter (1997)v Campa and Goldberg(2002),ginhrngcccngtyxutkhuncngoicscmnhquym (sizeable power) trong vic thit lp gi. Hnh vi thit lp gi ca cc cng ty xut khu ph thucvomtkhinimmake-up(Markupx),tmdchlgin,trnchiphbinca sn lng (xfC ) ca cc cng ty xut khu nc ngoi nh sau xfP = xfxC Markup .(3) Hooper v Man (1989) xut rng gi n ca cc cng ty xut khu ph thuc vo p lc cucathtrngticthtrngncchnhvncngoi(Y)vplccnhtranh trongthtrngncchnh.plccnhtranhcathtrngnhpkhucolng bi li nhun bin, v d gi phi ln hn chi ph sn xut bin (production costs). Gi n c trnh by nh sau YC ERPMarkupxfh x. ).( =(4) Trong ,).(xfhC ERPi din cho p lc cnh tranh ti nc nc ch nh (home market) v Yi din cho p lc cu ti c nc ch nh v nc ngoi ( 0 ; 1 0 > < < ) T (2), (3) v (4) suy ra, gi nhp khu bngxf xfh mhC YC ERPER P . . ).( =(5) =>. . ) . .( . . Y C ER P C ER Pxf hxfmh==> hxfmhP Y C ER P . . ) . (1=Ly logarit ca hai v ta c log Y P C ER Phxfmhlog log . log ). 1 ( log ). 1 ( + + + =(6) ty Y p P c C e ER p Ph hxfxfmhmh= = = = = log ; log ; log ; log ; log 32 Ghi ch: x k hiu cho gi xut khu v m k hiu cho gi nhp khu Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 24 Th (6) vit li thnh:y p c e phxfmh. . ). 1 ( ). 1 ( + + + =(7) Phng trnh (7) mun ni rng ch s gi nhp khu ti nc nhp khu b nh hng bi t gi hi oi (e), chi ph bin ca sn phm ca cng ty nc ngoi) (xfc , mc gi nc ni a) (hp v cu th trng ca c nc ch nh v nc ngoi (y) Phng trnh (7) cng th hin rng tc ng ERPT ti nc ch nh (home country), h s 1 th hin bin ng ca gi nhp khu (mhp )so vi t gi hi oi (e).-Nu nh0 = th chng ta c c nh hng truyn dn (pass-through) y v cc cng ty xut khu i mt vi vic khng cnh tranh c trong xut khu.-Nu nh1 = th h s trc e l 0, hay tc ng truyn dn l zero, cc cng ty xut khu i mt vi mt cuc cnh tranh kh khn hn (tough competition) trong xut khu, v khng c kh nng iu chnh gi. -Tng t nh vy, p lc cu khng th khng phn nh gi nhp khu c. -Chnh v vy m0 ; 1 0 > < < Trong thc t, cc nh nghin cu s dng cc bin kim sot phn nh tt hn s di chuyn ca gi nhp khu, nh c sc gi du m th hin cho p lc cung ca th trng th gii, v chnh sch tin t ti quc gia ch nh cho bit phn ng ca chnh sch vi tnh hung a ra. Bin output gap i din cho p lc cu phn tch tc ng truyn dn, t cng thc (7) chng ta bin i thnh cng thc sau (7) =>y p c c e e phxfxfmh. . . . + + + =

mhxf hxfp y c e p c e + + = + . . . . mhxf hxfp y c e p c e + + = + . ) .( hxfmhxfp c ep y c e + + +=..

xf hxfmhc e py c e p =..(8) Cng thc th (8) ny ch ra rng: Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 25 -Khiytngln(tctnglnccuncchnhvncngoi)thtgimlm cho gimvERPTtngtcng(1- ).Sthmthucaginhpkhuthhin phntrmcahnghacnhpkhutronggiCPI.Vnhucuniatng(y) vimctngcahnghanhmthamnnhucucania.Ktqulsthm thu ca gi nhp khu c th ch r mt s tng ln trong nhu cu ni a v v vy tng tc ng truyn dn ERPT -Nu hptng, tng lm pht ti th trng ni a, th mu tng ln, lm cho gim v ERPT tng tc ng.-Nu mhp gim, t gim, lm cho gim v ERPT tng tc ng -Mt s gim t gi (e gim) th c t v mu cng tng ln, lm gi tr tng ln, th ERPT gim tc ng v ngc li Chnhvvy,mtsthayitrongtcngtruyndnERPTsnhhngnnhng nhn t c cp trn. Tht kh khn khi tp hp vai tr ca tng nhn t trong vic xc nh tc ng truyn dn, nn ngi ta xut mt s cc nhn t nh hng chnh tin hnh nghin cu III/ CC NGHIN CU TRC YDatrnccmhnhphntchchuithigian,nhiutcgitrongvngoincnghin cutheonhiumcchkhcnhau,diynhmxingiithiumtsmhnhnghin cu c lin quan n lm pht v t gi hi oi. 1.1 Trn th gii a/ Hai kt qu nghin cu ca l thuyt Taylor -Mt s stgim trong hiu ng truyn dn ngi nhpkhu ngha l saukhi p dng lm pht mc tiu cc cng ty bn l m hng ha nhp khu t nc ngoi hp th ln hn bin ng ca t gi hi oi thng qua mt bin s nh hn trong gi bn-Mtsstgimhiungnyngisnxutnghalsaukhipdnglmphtmc tiu, mt cng ty nhp khu nguyn liu u vo ca h t nc ngoi cng hp th ln binngcatgihioithngquamtbinsnhtronggicahnghacui cng Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 26 b/ M hnh hiu chnh sai s ECM Mohammad (1999) nghin cu lmpht TrungQuc trongngn hn v di hn bng m hnh hiu chnh sai s ECM (error correction model), m hnh ny c dng. Trong:P:chsgichung,M:Cungtin,g:khongchnhlchsnlngsovisn lng tim nng, W: lng c bn, AP: l ch s sn lng nng nghip, IP:l ch s sn xut nng nghip, (L):l ton t tr, : bin ngu nhin.c/ M hnh ca Ramakrishnan v Vamvakidis (2002): Haingbnglpluncamnhxydngnnmhnhclngnhsaunghincuthc nghimca cc yuttrongnc v nc ngoi ln lmpht Indonesia. M hnh c dng. Trong ,DCPI: Lm pht gi tiu dng(%), DCPI*: Lm pht gi tiu dng ca nc ngoi.DEXC:T l tng t gi hoi i, DM: t l tng trng tin danh ngha.LWAG:Tltngtrngtinlngtithiu,LPRO:sthayinngsutlao ng(GDP/ngi).OG: Khong chnh lch sn lng so vi sn lng tim nng, DR: phn chnh lch li sut.ecmM: dao ng ca cung tin so vi trng thi n nh di hn.ecmL: dao ng ca lao ng so vi trng thi n nh di hn.ecmE: lch ca cc c sc ngoi sinh so vi mc n nh di hn.CRISIS: Bin gi nh nhn gi tr 1 trong giai on Qu3 nm 1997 ti Qu 4 nm 1998.SEAS: Cc bin gi kim tra mc nh hng ca yu t ma v. Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 27 Nhm tc gi kt lun rng t gi hi oi v lm pht nc ngoi l yu t then cht nh hng ti lm pht trong nc, cung tin ch c ngha thng k cn mc tc ng th rt t. d/ Mu hnh VARNghincucaAn,Lian(2006)ExchangeRatePass-through:EvidenceBasedonVector Autoregression with Sign Restrictions,Mu hnh 2. Ti Vit Nam Ti Vit nam a/ M hnh a thc tr: Trong :: t l lm pht,gM: t l tng trng cung tin danh ngha.gY: t l tng trng sn lng. : o lng lch gia t l mt gi tin ni a v li sut. e: lm pht k vng. Ti Vit Nam c tcgi TS. V Tr Thnh (1997), Phvin trng Vin Nghincu qun l kinh t , s dng m hnh tr a thc nghin cu v lm pht Vit Nam na u thp k nm 1990. Tc gi kt lun , gM c ngha cao nn y l yu t dng d bo lm pht, gY ch tc ng trong ngn hn b/ M hnh hi quy theo bin logarit: Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 28 Trong :lnMt: logarit c s t nhin ca cung tin danh ngha.lnYt: logarit c s t nhin ca sn lng trong nc.lnNERt: logarit c s t nhin ca t gi hi oi.t: sai s Ti Vit Nam c tc gi TS. Dng Th Thanh Mai (2002), Trng H Kinh t Quc dn,nhgilmphtcaccncangphttrin,phthucvobayut:tnglng cung tin, tng thu nhp, t gi. Vi chui d liu nghin cu t nm 1997-2000, kt qu l khng c tn hiu bo trc cho lm pht c/ M hnh t hi quy VAR nghin cu tc ng truyn dn Tc phm Exchange rate pass-through and its implications for inflation in Vietnam xut bn nm 2009, tc gi V Vn Minh, Vietnam Development Forum. Vi Yt l vctor matrn ca 6 bin s (gi du Oil, NEER, GAP, IMP, CPI, M2), Bi l ma trn h s 6 dng v 6 ct (6x6), ui l sai s nhiu, l hm s chn Cc bin s l-Output Gap: (GAP) sai lch gia sn lng tim nng v sn lng thc t,-Customer Price Index (CPI),-Import Price Index (IMP),-Broad Money (M2)-Exchange rate (NEER: the normalized nominal effective exchange rate) -Oil price: Ly t gi du m UK Brent Oil ng nu ra c 0633 kt qu t m hnh nghin cu, trong hm s y th hin t gi hi oi biu l tc ng truyn dn ln gi nhp khu (import prices) v gi tiu dng (customer prices). Tc ng truyn dn mnh hn trong nhng nm u v gim dn v sau. Gi du v cung tin nh hng mt cch ng k ln gi tiu dng. 33 Xem phn kt qu nghin cu Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 29 IV. KT QU NGHIN CU 4.1 Cc kt qu nghin cu thc nghim: Phn nytrnhbycc kt qu phntch hmphnngy.Ccchititca ccdliu cho ctnh thcnghim ctrnhby phlc.Trc khi tinhnh c tnh VAR, nhm tcgikim nh tnh dng ca cc bin. V gi du l mt binkhng phthucvoyutqucgiannkimnhtnhdngcabinny c tinhnh bng cchsdng kimnhnghimnv Augmented Dickey-Fuller. i vi cc bin khc, nhmtcgisdng kimnhnghimnvtheomuhnhcaMaddala v Wu(1999). Ccktqu kimnhcho thyrng gidu, baloi chsginia, cung tin v t gi hi oi danh ngha l khng dng theo chui thi gian, nhng dng sai phn bcnhtttcccqucgia . Chnhlchsnlng u ractmthyl ctnhdng trongchuithigian. Cc nghincu trcy(vdnhItov Sato, 2007, 2008, Mishkin v Schmidt-Hebbelnm2007) ngha vomhnh VAR bin chnh lch sn lng theo chui thi gian cng vi sai phn bc 1 ca cc bin khc . Nhm tc gi cng tin hnh theo phng thc ny trong m hnh phn tch VAR ca h.Nhm tc gi bt u bng cch tho lun v cc phn ng y vo ch s gi tiu dng trc tngbinngca tgihioi trongmhnh VAR 5 bincho cccnccpdng lm pht mc tiu ln ko p dng lm pht mc tiu. H cn nghin cu v cc phn ng y vo c 3 ch s giCPI, PPI v IMP i vi cc bin ng ca t gi trong m hnh VAR 7- bin chocc nc mi ni p dng lm pht mc tiu.4.1.1Tcngtruyndncatgilngicniaticcncminipdng lm pht mc tiu: trc v sau khi p dng: Trong phn ny, nhm tc gi tho lun v cc phn ng y vo gi c ni a trc binng catgihioi bng cch s dngdliu ca 15 ncminipdnglm phtmctiu. Ktqucaccphnngychoccmu khcnhau cthhin trong Hnh1v 2.Mi hnh uara ssosnh trcvsaukhipdng lmpht mc tiu. Trong nhng hnh ny, th ba cho thy s chnh lch giahai phn ng trc (ly phn ng trong th hai tr i phn ng trong u tin). Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 30 Hnh 1: Phn ng ca ch s CPI ti cc nc p dng lm pht mc tiu ti bin ng t gi hi oi (mu hnh 05 bin VAR) hnh 1: -Th hin mc phn ng ca CPI trc nhng bin ng ca t gi hi oi (s dng m hnh 5 bin 5 variance VAR).-Hnh trn cho thy tc ng truyn dn ca t gi hi oi ln ch s gi tiu dng c mt sstgimngksaukhiccncnypdnglmphtmctiu.(sosnhng biu din trong 1 v 2)-iu cn c phn nh bi khong chnh lch ca mc bin ng gia trc v sau khi p dng lm pht mc tiu ti th 3, mc gim xung trong tc ng truyn dn ca t gi hi oi ln gi c tiu dng l khc 0. Bng chng ny cho thy vic p dng lm pht mc tiu ti cc nc mi ni gip lm gim tc ng truyn dn t mc cao xung mc thp hn nhng vn cn duy tr s chnh lch ng k quanh mc 0 tc vn cn tc ng ln gi c vi mt mc khc 0 ngk chkhng phi l gn bng 0, hay hon ton khng cn tc ng. S phn ng ca ch s gi tiu dng trc nhng thay i ca t gi hi oi ph thuc vo quy m ca ccgi tr u vo nhpkhu (imported inputs) c s dng cho sn xut ni a v s hin din ca chi ph phn phi (distribution costs). Knh sn xut v phn phi c th lmgim tc ng ca t gi hi oi lngi tiu dngv iu gii thch cho s tc ng truyn dn ca t gi hi oi thp n gi tiu dng (consumer prices). Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 31 Chnh v vy nhm tc gi a thm knh sn xut v phn phi vo phn tch, bng cch l h s dng thm 02 bin na (tc c lngm hnh VAR 7 bin) l: bin ch s gisnxut(PPI:producerpriceindex)vbinchsginhpkhu(IMP:importprice index). Vi vic a vo thm 2 bin ny, cc tc gi k vng gii thch c l thuyt ca Taylorrngtrongmtmitrnglmphtthp,cccngtykvngmtssailchca lm pht s nh v v vy h s t iu chnh gi bn ca mnh phn ng vi s bin ng lm cho gi u vo nhp khu tng ln ca t gi hi oi.Hnh s 2: m t phn ng ca gi trong cc nc p dng lm pht mc tiu trc bin ng ca t gi hi oi (m hnh 7 bin s) Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 32 hnh s 02: -Hnh s 2 th hin mc phnng ca ba ch s gi (CPI,IMP, PPI) trc bin ng ca t gi bng vic s dng m hnh 7 bin (7 variance VAR) -Mcgimtrongtcngtruyndnngitiudngccncminipdng lm pht mc tiu c th c cho l do vic gim st trong tc ng truyn dn theo chui gi. -Tc ng truyn dn n 03 loi ch sgigim i ngk cc ncmi ni sau khi p dng lm pht mc tiu nhng vn nhng mc xoay quanh gi tr zero (0) Bng cch so snh tc ng truyn dn ca t gi hi oi dc theo chui gi, th kt qu cho thy rng mc phn ng l ln nht trong gi nhp khu, sau l gi sn xut, v thp nht ltronggitiudng.iunycngcchratrongnghincucaMcCarthy(2000), Hahn (2003), Faruque (2006), v Ito v Sato (2007,2008) Tm li: Nhm tc gi cung cp bng chng cho thy rng vic p dng lm pht mc tiu giplmgimtcngtruyndnnc3chsgitmccaoxungmcthp nhng vn chnh lch ng k quanh so vi 0. Bng chng ca cc tc gi khng nh quan im rng vistnnhim banu ivi ngnhngtrungng ccthtrng mi ni thp, th vic thc hin lm pht mc tiu s lm cho chnh sch tin t ca h ng tin cy hn, v do dn n mt mi trng lm pht thp hn. C th hn, n ph hp vi cclplun carabi Taylor, rnglmpht mc tiu cthcthitrong mi trng lm pht thp cc nc mi ni lm chocc cng ty nhp khu u vo cng nhcc cng ty bn l t b tc ng truyn dn do t gi lm gim gi tr trong cc loi gi cao hn(gi snxut v ginhpkhu). Vvy nhngbinngcatgi dnntcng truyn dn ca t gi n gi sn xut trong nc v gi nhp khu s nh hn. 4.1.2 So snh gia cc nc p dng v khng p dng lm pht mc tiu: Ti phn trn, chng ta c bng chng cho thy rng lm pht mc tiu gip gim tc ng truyn dn ca t gi ln c ba loi ch s gi (CPI, IMP, PPI). Mt so snh vi cc nc mi ninhngkhngpdnglmphtmctiu(non-targeters)trongcngthigiantrn cung cp thmmt s thng tin ng quan tm. D liu ly t 12 nc khng p dng lm pht mc tiu c s dng tin hnh phn tch so snh ny. thc hin so snh trc-Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 33 sau cho cc nc khng t lm phtmc tiu, nhm tc gi chn mc thi gian l nm 1999 v y l thi im nhiu nc mi ni bt u p dng chnh sch lm pht mc tiu. Hnh 3 v hnh 4 di y trnh by cc so snh chocc nc nhm 2 (khng p dng lm phtmctiu)trcvsaunm1999.Tihnh03thhinphnngcaCPI(customer price index) trc cc bin ng ca t gi hi oi (exchange rate shock) s dng m hnh 05bin(5varianceVAR).Trongkhihnh04lithhinphnngca03chsgi trc bin ng ca t gi hi oi khi dng m hnh 07 bin (07 variance VAR). Ti hnh 03: Phn ng ca ch s CPI cc nc khng p dng lm pht mc tiu i vi bin ng ca t gi hi oi (mu hnh VAR vi 05 bin s) Hnh 03 cho thy: -Ti cc nc khng p dng lm pht mc tiu th trc nm 1999, tc ng truyn dn ca t gi hi oi ln ch s CPI th sai lch khng ng k so vi mc 0. Sau nm 1999 th mc ny dao ng mnh hn. Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 34 Ti hnh 04: Phn ng ca gi c cc nc khng p dng lm pht mc tiu n bin ng t gi hi oi (7-variance VAR) hnh s 04 ny cho thy trc nm 1999 tc ng truyn dn n 03 ch s gi trn (PPI, IMP, PPI)ti cc nc ny sai lch khng ng k (not significant different) so vi mc 0, sau nm 1999 th th hin mc chnh lch ng k so vi mc 0. (positive) so snh gia cc nc p dng v khng p dng lm pht mc tiu, nhm tc gi c ssosnhgia2munghinculyt2nhmncl:ccnc(pdnglmpht Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 35 mc tiu) sau khi p dng chnh sch lm pht mc tiu so snh vi cc nc khng p dng lm pht mc tiu sau nm 1999. Hnh 05 v 06 th hin iu ny. Hnh s 05: Phn ng ca ch s CPI trc bin ng ca t gi hi oi: Cc nc p dng lm pht mc tiu so snh vi cc nc khng p dng lm pht mc tiu (s dng mu hnh 05 bin s) Ti hnh 05 cho thy: tc ng truyn dn ln ch s gi tiu dng l nh nhau i vi nhm nc p dng lm pht mc tiu sau khi thc hin chnh sch ny vi nhm cc nc khng p dng lm pht mc tiu sau thi im 1999. Nhng tc ng truyn dn ny li khc nhau hn khi s dng mu hnh 07 bin Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 36 Hnh s 06: Phn ng ca cc ch s gi trc bin ng ca t gi hi oi: Cc nc p dnglmphtmctiu(GittlIters)soviccnckhngpdnglmphtmc tiu (gi tt l Niters) vi m hnh 7 bin s Tihnhnychothycskhcbittrongtcngtruyndncatgihioiln03 loi gi khc nhau (PPI, CPI, IMP) xt giai on sau nm 1999, theo : -Tc ng truyn dn ny ln gi tiu dng (CPI) v gi nhp khu (IMP) ti cc nc p dng lm phtmc tiu saukhi thc hinchnh sch cao hn cc nckhng p dng lm pht mc tiu sau nm 1999. Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 37 -Trongkhi,tcngnylnchsgisnxutthsailchkhngngk(not significantly different) ti cc nc p dng lm pht mc tiu sau khi p dng chnh sch so vi nc khng p dng lm pht mc tiu sau nm 1999. Tm li, chng ta thu c 02 kt qu t vic so snh trn l: -Thnht,viccncminikhngpdnglmphtmctiu,tcngtruyn dn khng c sai lch ng k so vi mc gi tr zero (0) trc nm 1999 v sau nm 1999 th chnh lch ng k so vi mc 0.-Th hai, bng vic so snh cc nc p dng c ch lm pht mc tiu (sau thi im p dng) vi cc nc khng p dng (sau nm 1999), th tc ng truyn dn l kh ging nhau trong 2 mu nghin cu ny.Ccktqunykhngnhrngccncchustcngtruyndncatgihioi caothckhuynhhngnghingvpdnglmphtmctiutngstnnhimln, hn l cc nc c mc truyn dn thp. 4.1.3 Phn tch phng sai (Variance decomposition): Tuy hm phn ng y (impulse responses) cho ta nhng nhn nh tng quan v mc tc ng truyn dn ca t gi hi oi ln gi ni a, nhng n khng th hin c bin ng ca t gi hi oi c th l ng gp bao nhiu trong vic gii thch bin ng ca gi ni a.Do , nh gi tm quan trng ca bin ng t gi ln bin ng ca gi c, cc tc gi thc hin phng php phn tch phng sai? (variance decomposition) cho cc ch s gi ni a (domestic price indexes). H bt u gii thchbngvickim tramc tc ng ca bin ng t gi n bin ng gi hng ha tiu dng vi vic s dng m hnh VAR 5 bin (5 variance VAR). theo bng di y Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 38 Bng 1: Phn trm ca bin d bo ch s CPI c quy cho bin ng ca t gi gy ra (vi m hnh 5 bin s) Bngtrnchothymcbinngcatginggprtngktrongvicgii thchsdaongcachsgitiudngticcqucgiactralmphtmctiu. Nhng kt qu trong bng trn cn cho thy rng s ng gp ca bin ng t gi n bin ng ca gi tiu dng gim xung sau khi cc nuc thc hin chnh sch lm pht mc tiu, trong khi n s tng nhng nc ko t ra lm pht mc tiu sau nm 1999. Nhng bin ng ca t gi hi oi ( sau 20 qu ) gii thch 19.21%bin thin ca gi tiu dng cc nc trc khi p dng lm phtmc tiu . T l nygim xung cn 11.82 % saukhi cc ncnypdnglmphtmctiu.nhngnckhngtralmphtmctiuth nhng bin ng ca t gi gii thch 0.92% bin thin ca gi tiu dng trc 1999, v t l ny l 3.72% sau 1999. Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 39 Bng2:Phntrmthayicabinchsgitiudng(bindbolmpht)c gy nn bi s binng ca t gi hi oi ti cc nc c p dng lm pht mc tiu (vi m hnh 7 bin s) Bng th 2 ny ch ra rng: -Bng trn th hin s ng gp ca cc mc bin ng ca t gi hi oi trong vic gii thch mc bin ng ca c 3 ch s gi thng qua m hnh VAR 7 bin. -Bin ng ca t gi hi oi ng gp mt cch ng k trong s bin ng ca 03 ch s gi (IMP, PPI, CPI) cc nc p dng lm pht mc tiu, trong khi ti cc nc khng p dng lm pht mc tiu th iu ny l khng ng k. -Phn trm bin thin ca cc bin ch s gi c cho l do s bin ng ca t gi th gim xung sau khi cc nc thc hin chnh sch lm pht mc tiu, trong khi n tng nh nhng nc ko t ra lm pht mc tiu sau nm 1999. -Vi cc nc p dng lm pht mc tiu:Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 40 oGiai on trckhi pdng c ch ny th bin ng ca tgi hi oigii thch ln lt vi bin ng ca tng loi gi l 43.47% (IMP), 43..70% (PPI) v 19.76% (CPI) (xt vi 20 qu quan st).oSaukhi p dng c ch lm phtmc tiu, cc gi trnygim tngngv mc l 12,54% (IMP), 23,30% (PPI), 13,89% (CPI) -Vi cc nc khng p dng lm pht mc tiu: oGiaiontrcnm1999:Binngcatgihioichgiithchc 0.31% (IMP), 0.35% (PPI) v 1.32% (CPI) bin ng ca gi. oGiaionsaunm1999:Consnylnltl5,31%(IMP),3,56%(PPI), 1,73% (CPI). Tm li, vi phng php phng sai cc tc gi cho thy:-Bin ng t gi gii thch mt phn quan trng trong bin ng ca gi c ti cc nc mi ni c p dng lm pht mc tiu, trong khi , ti cc nc khng p dng lm pht mc tiu th iu ny khng ng k. -Mc ng gp ca bin ng t gi hi oi vo bin ng ca gi c ti cc nc p dng lm pht mc tiu gim sau khi thc hin c ch ny. Vvy,viphngphpphntchbinsnyminhchngchovicgimsttrongtc ng truyn dn ca t gi hi oi ln gi c ti cc nc c p dng lm pht mc tiu.4.2. Kt lun: Trongbinghincuny, nhmtcgi kimnhbngthcnghim vsnh hng ca vic p dng chnh sch lm pht mc tiu i vi tc ng truyn dn ca t gi hi oi n gi c cc nc mi ni. tin hnh nghin cu thc nghim ny h p dngk thut phn tch VAR bngvic s dng d liu ti 27 ncmi ni (15 ncmi nicpdnglmphtmctiuv12ncminikhngpdnglmphtmctiu). H thc hin cchtip cn trcv sau bng cch s dng hm phn ng ytrong cc mu nghin cu khc nhau trn tng nhm quc gia, tnh cht ca tng mu da vo vn Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 41 p dng lm pht mc tiu chn (tc trc v sau khi thc hin chnh sch lm pht mc tiu, hoc cc nc c p dng lm pht mc tiu hay khng) Vic p dng chnh sch lm pht mc tiu iu chnh cc quyt nh v gi cc nc mi ni theo cch ph hp vi quan im ng tin cy.Ti cc nc p dng lm pht mc tiu: Vic p dng lm pht mc tiu gip gim tc ng truyn dn ca t gi hi oi ln 03 loi ch s gi chnh m nhm tc gi xem xt l ch s ginhpkhu(importprices),chsgitiudng(customerprices)vchsginhsn xut(producerprices)tmccaoxungmcthphnnhngvncnsailchngkso vi mc zero (0). Vi cc nuc khng p dng lm pht mc tiu: tc ng truyn dn ca t gihioin03loichsgitrnkhngcsailchngksovimc0trcnm 1999, nhng sau nm 1999, tc ng ny trnn ngk hn, gi tr sai lch nhiu hn so vimczero(0).Ngoira,bngcchsosnhccnccpdnglmphtmctiusau khi thc hin chnh sch nyv cc nc khng p dng lm phtmc tiu sau nm 1999, nhm tc gi cn ch ra rng tc ng truyn dn ca t gi hi oi ti cc nc c p dng lm pht mc tiu sau khi p dng chnh sch ny v cc nc khng p dng lm pht mc tiu sau nm 1999 th kh ging nhau .Phn tch phng sai cng cho thy r nhng kt qu trn. Phn tch phng sai ch ra rng s tc ng ca cc bin ng v t gi hi oi ln bin ng v gi c cc nc p dng lmphtmctiu l ngk, trongkhi stcng caccbinngvtgihioi ln bin ng v gi c cc nc khng p dng lm pht mc tiu l khng ng k. Phn tch phng sai cng cho thy tc ng ca cc bin ng trong t gi hi oi ln bin ng trong gi c cc nc p dng lm pht mc tiu gim sau khi thc hin chnh sch ny. Cui cng, vi nghin cu thc nghim ny, cc tc gi cho thy c nhng nc chu tc ng truyn dn ca t gi hi oi cao c khuynh hng p dng lm pht mc tiu thu c mc tn nhim hn cc nc c mc truyn dn thp hn. Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 42 V. KIN CA NHM V HNG NGHIN CU TIP THEO 5.1 kin ca nhm Kt lun s b ca paper (i)Vicpdnglmphtmctiutrongccncminigipgimtcngtruyndn ca t gi hi oi ln gi c tiu dng t mc ban u cao sang mt mc mi, tuy nhin vn duy tr sai lch ng k quanh zero (0). (ii) V cc nc mi ni khng p dng lm pht mc tiu nn tc ng truyn dn cu t gi lngictiudngkhngsailchngksovimczerotrcnm1999vsaunm 1999 th tr nn dng ng k(iii) Bng vic so snh cc nc mi ni c lm pht mc tiu vi cc nc mi ni khng c lm pht mc tiu sau nm 1999 th thy: -Tcngtruyndnlngitiudng(customerprices)thkhngsailchngk trong s hai nhm ny -Sgim tc ng truyn dn lngi tiu dng ti cc ncmi ni c p dnglm pht mc tiu th c th quy cho s st gim tc ng truyn dn theo knh gi(iv) Tc ng truyn dn ln c gi sn xut v gi nhp khu tht bi ng k ti cc nc mi ni c p dng lm pht mc tiu Cc kt lun ny cn da trn phng php phn tchphng sai(variance decomposition analysis) mt im mi trong nghin cu v lnh vc ny m cc tc gi s dng. Nhn xt Do c im s liu c iu chnh theo sai phn bc 1 cho mc ch dng ca chui thigiannnchnhxccadliugimxung.Tuynhin,nhmtcgikhng a ra nhng nh gi hay nhn xt v tin cy ca d liu iu chnh Mhnhnydbosliuqukh,trongkhitithiimsaucuckhnghongti chnh ton cu cc yu t vm ca nn kinh t thay i, s ph thuc cung v cu tin ph thuc rt nhiuvo hng ha nhpkhu. Nn nghin cu ny,mi ch dng li mc im li cc kt qu qu kh ca cc chui thi gian.5.2 Hng nghin cu tip theo Trongnghincuny,tcgiminghincumiquanhtcngtruyndncatgi hi oi ti cc nc mi ni m cha nghin cu tc ng ny cc nc pht trin nh th no. Tiu lun: Lm pht mc tiu GVHD: PGS.TS Nguyn Th Ngc Trang Nhm 6 TCDN m 1 Trang 43 TiccnghincuVitNam,chyutptrungvo02bbinlYt=(giduOil, NEER, GAP, IMP, CPI, M2) ca tc gi V Vn Minh hayYt = (OPGAP, CPI, ER, VND, USD, RUSD, RVND34), nhng dng nh cha c nghin cu bin s PPIvo m hnh. PPI(chsginhpkhu)chngtacthdvolthuytlutmtgi(theLawofOne Price Exchange Rate theory) tnh ra.M hnh ngh nghin cu tip l Yt = (Oil, GAP, Mvnd, Musd, Rusd, Rvnd, NNER, PPI, IMP, CPI) cho Vit Nam. 34 RUSD, RVND ln lt l li sut tin gi USD v VND 1PH LC 1 PHNG PHP BNH PHNG NH NHT 2345 1PH LC 2 TNH DNG 2345678910 1PH LC 03 CC YU T VI M V V MTC NG N TC NG TRUYN DN CA T GI HI OI 234 PH LC 04 KIM NH N V TRONG EVIEWS 1PH LC 5 HI QUY GI TO V NG LIN KT 1. Hi quy gi to 22. ng lin kt 1PH LC 6 D LIU CC NC C NGHIN CU Cc nc c nghin cuCc nc mi ni p dng lm pht mc tiu Brazil(1999:Q2),Chile(1991:Q1),Colombia(1999:Q4),CzechRepub-lic(1997:Q4),Hungary(2001:Q2),Indonesia(2005:Q3),Israel(1991:Q4),Mexico(1998:Q4),Peru(1999:Q3),Philippines (1999:Q3),Poland(1998:Q3),SouthAfrica(2001:Q1),SouthKorea(1997:Q4),Thailand(2000:Q2), Turkey (2006:Q1). Cc nc mi ni khng p dng lm pht mc tiu Argentina,Bulgaria,China,Estonia,India,Latvia,Lithuania,Malaysia,Singapore,Taiwan,Uruguay, Venezuela Cch chn d liu Gi du th gii (world oil price): ly trung bnh 03 ch s gi ti 03 th trng Texas, U.K.Brent v Dubai. Gi du th gii c iu chnh theo ma theo phng thc Census X12. D liu ly t Thng k ti chnh ton (IFS) ca Qu IMF Output gap: c to ra bng cch p dng b lc Hodrick-Prescott (HP)1 loi tr xu hng mnh trong GDP thc iu chnh. Nu gi trGDPban u khng c iu chnh, th chui d liu cn c iu chnh theo phng thc Census X12 Method. D liu hng qu c thu thp bng cch dng chui d liu theo tng quc gia. Cungtin(MoneySupply):Dliucthuthpdidngchuigitr.Mtsncdngkhi nim tin c bn. Mt s th dng khi nim cung tin M12. Nu chui gi tr ban u khng c iu chnh th s iu chnh theo phng thc Census X12. D liu c thu thp t ngn hng trung ng ca tng quc gia hoc t chc IFS, T gi hi oi (Exchange rate): D liu c thu thp di dng chui gi tr. T gi hi oi danh ngha c quy i sang t gi vi ng dollar M. Ch s gi tiu dng (CPI: consumer price index) : D liu c thu thp di dng chui gi tr. D liu c iu chnh theo ma vi phng thc Census X12 Ch s gi nhp khu (IMP: import price index): D liu c thu thp di dng chui gi tr. D liu c iu chnh theo ma vi phng thc Census X12. Ch s gi nh sn xut (PPI: producer price index): D liu c thu thp di dng chui gi tr. D liu c iu chnh theo ma vi phng thc Census X12.

1 B lc Hodrick-Prescott l mt cng c ton hc c dng trong kinh t v m, c bic trong l thuyt chu k kinh t. N s dng cc thut ton bng phng ha gi tr theo thi gian. Hay ni khc i, n l k thut loi b dao ng ngn hn c lin quan n cc chu k kinh doanh, do l xu hng lu di. Cc b lc c p dng u tin do kinh t RobertJ. Hodrick v gn y nhng ngi ot gii Nobel Edward C. Prescott. 2 M1: bng tng lng tin mt (M0) v tin m cc ngn hng thng mi gi ti ngn hng trung ng. M1 cn c gi l ng tin mnh. 2D liu: Quc gia trong bi nghin cu -Cc quc gia lm pht mc tiu v ngy ca lm pht mc tiu: SttQuc giaThi im 1Brazil1999:Q2 2Chile1991:Q1 3Colombia1999:Q4 4Cng ho Czech1997:Q4 5Hungary2001:Q2 6Indonesia2005:Q3 7Israel1991:Q4 8Mexico1998:Q4 9Peru1999:Q3 10Philippines1999:Q3 11Phn Lan1998:Q3 12Nam M2001:Q1 13Hn Quc1997:Q4 14Thi Lan2000:Q2 15Th Nh K2006:Q1 -Cc nc ang pht trin khng theo lm pht mc : n , Latvia, Lithuania, Malaysia, Singapore, i Loan, Uruguay, Venezuela Bin s v ngun d liu Gi du th gii: Ch s gi du c bn theo la M - l trung bnh ca 3 ch s giao ngay ti Texas, U.K. Brent v Du bai. Gi du th gii c iu chnh thi v bng cch s dng phng php Census X12. Ngun d liu: IMF, Thng k ti chnh quc t (IFS) Khong cch sn lng - Output gap:Khon cch sn lng c to ra bng cch p dng b lc Hodrick Prescott (HP) loi b xu hng mnh trong vic iu chnh theochu k i vi GDP thc. Trong trng hp chui GDP nguyn gc khng b iu chnh, th chui iu hnh theochu k s dng phng php Census X-12.D liu theo qu c chn lc bng cch s dng Datastream. Ngun d liu da trn cc thng tin sau: Quc giaNgun d liu Argentina: Ch s GDP (2000=100), theo Thng k ti chnh quc t (IFS) IMF. Brazil: Ch s GDP (1995=100) c iu chnh theochu k, IBGE BulgariaCh s GDP, IFS ChileGDP ti gi 2003 c iu chnh thepchu k, Ngn hng Trung ng Chile ChinaGDP gi hin ti (IFS) chia cho CPI ColombiaGDP ti gi nm 2000 c iu chnh theochu k, National Administrative Department of Statistics Czech RepublicGDP nm 2000 c iu chnh theochu k, T chc kinh t hp tc v pht trin (OECD) EstoniaGDP nm 2000, Thng k EStonia HungaryCh s GDP (2000=100) c iu chnh theochu k, OECD IndiaCh s GDP (2005=100) c iu chnh theochu k, OECD 3IndonesiaCh s GDP (2000=100) c iu chnh theochu k, OECD Israel Ch s GDP (nm 2005 c iu chnh), Central Bureau of Statistics (Israel). Latvia GDP nm 2000, Central Statistics Bureau of Latvia (Latvia). LithuaniaGDP nm 2000 c iu chnh theochu k, Statistics Lithuania MalaysiaCh s GDP (2000=100), IFS MexicoCh s GDP (2000=100), IFS PeruCh s GDP (2000=100), IFS PhilippinesGDP nm 1985 c iu chnh theochu k, National Statistical Coordination Board (NSCB) PolandGDP nm 2000 c iu chnh theochu k, OECD SingaporeCh s GDP (2000=100), IFS South AfricaGDP nm 2000 c iu chnh theochu k, IFS South KoreaGDP nm 2000 c iu chnh theochu k, OECD TaiwanGDP nm 2001, Directorate General of Budget, Accounting and Statistics (DGBAS). Thailand GDP nm 1988 c iu chnh theochu k, Office of National Economic and Social Development Board (Thailand). TurkeyGDP nm 1995, Eurostat UruguayCh s GDP (2005=100) c iu chnh theochu k, Ngn hng Trung ng Uruguay VenezuelaGDP nm 1997 c iu chnh theochu k, Ngn hng trung ng Venezuela Cung tin t - Money supply:D liu c la chn t Datastream. i vi mt vi quc gia, tin c s c s dng. Nhng quc giakhc, M1 c s dung. Nu d liunguyngckhng c iu chnh, chui d liu c iu chnhtheochukbngvicsdngphngphpCensusX-12. Ngundliudatrnccqucgia c ly nh sau: Argentina: Tin c s,IFS. Brazil: Tin c s iu chnh theochu k, IFS. Bulgaria: Tin M1 (Banking Survey), IFS. Chile: Tin M1, IFS. China: Tin Supply, People Bank of China. Colombia: Tin M1 (Banking Survey), IFS. Czech Republic: Tin M1 (Banking Survey), IFS. Estonia: Tin M1 (Banking Survey),(iu chnh theochu k), IFS. Hungary: Monetary Base, IFS. India: Tin M1 (Banking Survey), IFS. Indonesia: Tin M1 (Banking Survey) (iu chnh theochu k), IFS. Israel: Tin M1 (iu chnh theochu k), IFS. Latvia: Tin M1 (Banking Survey) (iu chnh theochu k), IFS. Lithuania: Tin M1 (Banking Survey) (iu chnh theochu k), IFS. Malaysia: Tin M1, (iu chnh theochu k), IFS. Mexico: Tin M1 (Banking Survey) (iu chnh theochu k), IFS. Peru: Tin supply, IFS. Philippines: Tin M1 (Banking Survey) (iu chnh theochu k), IFS. Poland: Tin M1, IMF, International Financial Statistics (IFS). Romania: Tin M1 (Banking Survey) (iu chnh theochu k), IFS. Singapore: Tin M1 (Banking Survey) (iu chnh theochu k), IFS. South Africa: Tin M1, IFS. South Korea: Tin M1 (iu chnh theochu k), IFS. 4Taiwan: Tin supply, Bank Central of China. Thailand: Tin M1 (Banking Survey), IFS. Turkey: Tin M1 (Banking Survey) (iu chnh theochu k), IFS. Uruguay: Tin M1 (Banking Survey)(iu chnh theochu k), IFS. Venezuela: Tin M1 (Banking Survey)(iu chnh theochu k), IFS. T gi hi oi - Exchange rate: D liu c la chn t Datastream. Thi gian bnh qun tu gi hi oi song phng vi ng la M c s dung. i vi cc nc, ngoi tr i loan, d liu c ly t IFS ca IMF. i Loan ly d liu t IFOWorld Economic Survey (WES). Consumer Price Index:D liu c la chn t Datastream. Tt c cc quc gia, ngoi tr Trung Quc, CPI (2000=100) c lytIFS ca IMF. Trung Quc, CPI hng thng ly t OECDv c s dng cu trc CPI theo qu Tt c cc chui trn c iu chnh theochu k bng phng php Census X-12. Import Price Index:D liu c la chn t Datastream. Ch s gi nhp khu c nhn mnh trong ng ni t . Tt c ccchuitrnciuchnhtheochukbngphngphpCensusX-12.Ngundliucacc quc gia ly theo cc ngun: CHI TIT Argentina:Chsgi nhpkhu lgitrnhpkhu nv theobnglaM(2000 = 100) ly t IFS nhnvi tgi.Chsginhpkhulgitrnhpkhunvtheo bng la M (2000 = 100) ly t IFS nhn vi t gi. Brazil: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Bulgaria: Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi tngkhilngnhpkhu(ginm1995).Gitrvkhilngnhpkhulyt National Statistics Institute (Bulgaria) and Eurostat . Chile : Ch s gi nhp khu (2003=100), NHTW Chile. Colombia: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi.Czech Republic: Ch s gi nhp khu (2005=100), Van phng Thng k Cng ho Czech. Estonia: Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 1995). D liu c ly t Cc thng k Estonia Hungary: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. India: Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 1990). D liu c ly t OECD. Indonesia: Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 2000). D liu c ly t OECD. Israel: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Latvia: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Lithuania: Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 2000). D liu c ly t Cc thng k Lithuania. Malaysia: Ch s gi nhp khu theo qu c xy dng bng cch chia tng gi tr nhp khu vi tng khi lng nhp khu (gi nm 2000). D liu c ly t Cc thng k (Malaysia). 5Mexico:Chsnhpkhutheoquctnhtonbngchsginhpkhuhngthng(1980=100) ly t Ngn hng Trung ung Mexic. Peru:Chsnhpkhutheoquctnhtonchsginhpkhutrunghngthng (1994=100) t Ngn hng Trung ng Reserva (Peru). Philippines: Ch s nhp khu l gi tr nhp khu n v theo la M (2000=100) ly t IFS nhn vi t gi .Poland: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Singapore: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. South Africa: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi.. South Korea: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Taiwan: Ch s gi nhp khu theo qu l gi tr trung bnh ca ch s gi nhp khu theo thng (hng ho sn suaastt) (2001=100) ly t Directorate General of Budget, Accounting and Statistics (DGBAS). Thailand:Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Turkey:Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Venezuela: Ch s gi nhp khu l gi tr nhp khu n v theo bng la M (2000 = 100) ly t IFS nhn vi t gi. Producer Price Index:D liu c la chn t Datastream. Tt c cc nc ngoi tr i Loan v Th Nh K, Ch s gi sn xut c ly t IFS ca IMF. i vi i Loan ch s gi theo qu l gi tr trung bnh hng thng ca ch s gisn lng (2006 =100) c ly t Taiwans DirectorateGeneral of Budget, Accountingand Statistics. i vi Th Nh K, d liu qu c ly t Turkeys National Institute of Statistics. Ghi ch: Cung ng tin t, gi tt l cung tin, ch lng cung cp tin t trong nn kinh t nhm p ng nhu cumua hngha, dchv, tisn,v.v...cacccnhn(hgianh)v doanhnghip (khngk cc t chc tn dng). M0: tng lng tin mt. M0 cn c gi l tin c s hoc tin hp ( Anh). M1:bngtnglngtinmt(M0)vtinmccngnhngthngmigitingnhng trung ng. M1 cn c gi l ng tin mnh. M2: bng M1 cng vi chun t (tit gi tit kim c k hn). M3: bng M2 cng vi tt c cc khon tit kim khc gi ti cc t chc tn dng. M4 ( Anh): bng M0 cng vi tin trong ti khon cc loi. Tnhthanh khontheongharng:bngM3cngvicc triphiu vcckhon uttn thc. 1PH LC 7 DANH SCH MT S BI NGHIN CU TRC Y STTNMTIU GCTIU DCH 11995 Arellano, J. and O. Bover. 1995.Another Look at the Instrumental Variable Estimation of Error-Components model Journal of Econometrics 68 (1): 29-51. Mt ci nhn khc v M hnh cng c c lng bin ca li thnh phn trch tp ch Kinh t (Journal of Econometrics): 29 -51 ca Arellano,J v O.Bover 1995. 22006 Ball, L. and N. Sheridan. 2006.Does Inflation Targeting Matter? In Bernanke, Ben S. and Michael Woodford (eds.) The Inflation-Targeting Debate (National Bureau of Economic Research Studies in Income and Wealth) The Inflation- Targeting Debate, University of Chicago Press (2005). C phi lm pht mc tiu l vn ? ca Ball, L v N.Sheridan 2006. Ti Bernanke, Ben.S v Micheal Woodford. Tranh lun v lm pht mc tiu (Nghin cu kinh t quc gi v thu nhp v s giu c). Tranh lun v lm pht mc tiu, i hc Chicago. (2005). Tc gi Ball, L. v N. Sheridan. 2006. 32005 Banerjee, A., Marcellino, M., and Osbat, C. 2005. Testing for PPP: Should we use panel methods? Empirical Economics 30 (1): 77-91. Kim chng v ngang gi sc mua PPP: Chng ta c nn s dng Phng php bng iu khin ? Thc nghim kinh t 30 (1): 77 91 ca Banerjee,A., Marcellino, M., v Osbat, C. 2005. 41997 Bernanke, B. and F. Mishkin. 1997.Inflation Targeting: A New Framework of Monetary Policy? Journal of Economic Perspectives 11 (2): 97-116. Lm pht mc tiu: Nn tng mi ca Chnh sch tin t ? ca Bernanke, B. v F. Mishkin 1997, Tp ch Trin vng kinh t 11 (2): 97 116. 52002Burstein, A., M. Eichenbaum and S. Rebelo. 2002.WhyTi sao t l lm pht thp sau khi ph gi ln ? ca tc gi 2Are Rates of Inflation So Low After Large Devaluations? NBER Working Paper 8748, National Bureau of Economic Research. Burstein, A., M. Eichenbaum v S. Rebelo. 2002 trong nghin cu ca NBER, Vn phng nghin cu kinh t quc gi 62005 . 2005.Large Devaluation and the Real Exchange Rate Journal of Political Economy 113 (4): 742-84. Ph gi ln v T gi hi oi thc, Tp ch chnh sch kinh t 113 (4): 742-84 ca Burstein, A., M. Eichenbaum v S. Rebelo. 2005 72008 Campa, J.M. and L.S. Goldberg. 2008. Pass-Through of Exchange Rates to Consumption Prices: What has Changed and Why? NBERWorking Papers 12547, National Bureau of Economic Research. Tc ng truyn dn ca t gi ti gi c tiu dng: Ci g thay i v ti sao? ca Campa, J.M. v L.S. Goldberg. 2008 trong nghin cu NBER, Vn phng nghin cu kinh t quc gia. 82010 . 2010. The Sensitivity of the CPI to Exchange Rates: Distribution Margins, Imported Inputs, and Trade Exposure The Review of Economics and Statistics 92 (2):392-407. S nhy cm ca CPI i vi t gi hi oi: Phn phi li nhun, u vo nhp khu v Xc tin thng mi ca Campa, J.M. v L.S. Goldberg. 2010; Tp ch Kinh t v Thng k 92 (2): 392-407. 92006 Choudrhi, E.U. and D.S. Hakura. 2006. Exchange Rate Pass-Through to Domestic Prices: Does Inflationary Environment Matter? Journal of InternationalMoney and Finance 25: 614-639. Truyn dn t gi hi oi vi gi c hng trong nc: C phi lm pht l nguyn nhn ca Choudrhi, E.U. v D.S. Hakura. 2006 trong Tp ch Ti chnh v tin t quc t 25: 614 639. 102006Faruqee, H., 2006.Exchange Rate Pass-Through in theTc ng truyn dn t gi trong khu vc Chu u EURO 3Euro Area IMF Staff Papers 53 (1): 63-88.ca Faruqee, H., 2006, nghin cu ca IMF 53 (1): 63-88 112001 Gagnon, J.E. and J. Ihrig. 2001.Monetary Policy and Exchange Rate Passthrough Board of Governors of Federal Reserve System, International Finance Discussion Papers n#704. Chnh sch tin t v truyn dn t gi ca Gagnon, J.E. v J. Ihrig. 2001, Hi ng Thng c D tr lin bang, bi tham lun Hi tho Ti chnh quc t122008 Goncalves, C. E. S. and J. M. Salles. 2008.Inflation Targeting in Emerging Economies: What Do the Data Say? Journal of Development Economics 85 (1-2): 312-18. Lm pht mc tiu ti cc nc ang pht trin: D liu ni ln iu g ? Goncalves, C. E. S. v J. M. Salles. 2008, Tp ch Pht trin kinh t 85 (1-2): 312-18. 132003 Hahn, E. 2003.Pass-Through of External Shocks to Euro Area Inflation European Central Bank Working Paper, n#243. Truyn dn ca khng hong bn ngoi i vi lm pht khu vc Chu u ca Hahn, E. 2003, bi nghin ca ca Ngn hng Trung ng Chu u n#243. 142008 Huang, X. 2008. Panel vector autoregression under cross-sectional dependence, Econometrics Journal, 11 (2):219-243. M hnh vector t hi quy di yu t ph thuc ca Huang, X. 2008. Tp ch Ton kinh t, 11 (2): 219-243 152011 Ilzetzki,E., C.M. Reinhart and K.S. Rogoff. 2011. The Country Chronologies and Background Material to Exchange Rate Arrangements into the 21st Century: Will the Anchor Currency Hold?Nin gim quc gia v D liu nn i vi t gi tho thun trong th k 21: S neo gi tin t ? Ilzetzki,E., C.M. Reinhart v K.S. Rogoff. 2011. 162007Ito, T. and K. Sato. 2007. Exchange Rate Pass-ThroughTruyn dn t gi v lm pht quc gia: Mt s so snh gia 4and Domestic Inflation: A comparison between East Asia and Latin American Countries Research institute of Economy, Trade and Industry, RIETI Discussion Papers n#07040. cc nc ng Nam v Chu M Latin ca Ito, T. and K. Sato. 2007, nghin cu kinh t, Thung mi v cng nghip, Ti liu tho lun RIETI. 172008 . 2008.Exchange Rate Changes and Inflation in Post-Crisis Asian Economics: VAR Analysis of Exchange Rate Pass-Through Journal of Money, Banking and Credit 40 (7): 1407-38. Thay i t gi v lm pht trong cuc khng hong kinh t Chu : Phn tch VAR v truyn dn t gi ca Ito, T. and K. Sato. 2008; Tp ch tin t, Ngn hng v Tn dng 40 (7): 1407-38.182002 Levin, A., C.-F. Lin, and C.-S. J. Chu. 2002. Unit root tests in panel data: Asymptotic and finite-sample properties Journal of Econometrics 108: 1-24. Nhng kim tra v n v gc trong bng d liu: tim cn v hu hn mu ca Levin, A., C.-F. Lin, v C.-S. J. Chu. 2002.; tp ch kinh t 108: 1-24 192001 Love, I. 2001. Estimating Panel-Data Autoregressions, Package of Programs for Stata. Columbia University, Mimeo. c lng Bng iu khin d liu t hi qui, gi chng trnh cho Stata ca Love, I. 2001; i hc Columbia 202006 Love, I. and L. Zicchino. 2006.Financial Development and Dynamic Investment Behavior: Evidence from a Panel VAR Quarterly Review of Economics and Finance 46 (2): 190-210.Pht trin ti chnh v hnh vi u t nng ng: bng chng t bng iu khin hi quy t ng ca Love, I. v L. Zicchino. 2006; Quarterly Review of Economics and Finance 46 (2): 190-210 212005Lutkepohl, H. 2005. New Introduction to Multiple TimeLutkepohl, H. 2005, Gii thiu mi v phn tch dng thi gian 5Series Analysis. Springer Lyhagen, J. 2008. Why not use standard panel unit root test for testing PPP Economics Bulletin 3 (26): 1-11. a dng. Ti sao khng s dng bng iu khin kim tra tiu chun gc n v cho cc nghim PPP ca Springer Lyhagen, J. 2008; Economics Bulletin 3 (26): 1-11. 221999 Maddala, G.S. and S., Wu. 1999.A Comparative Study of Unit Root Tests With Panel Data and A New Simple Test Oxford Bulletin of Economics and Statistics 61 (0): 631-52. Mt s so snh tiu chun n v gc kim tra vi bng d liu v mt kim tra n gin mi 232000 McCarthy, J. 2000.Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies Federal Reserve Bank of New York Staff Reports n#111. Truyn dn t gi v gi nhp khu i vi lm pht quc gia trong mt vi nn kinh t cng nghip ca McCarthy, J. 2000, bo co ca Ngn hng D tr lin bang New York n#111. 242007 Mishkin, F. and K. Schmidt-Hebbel. 2007. Does Inflation Targeting Make a Difference? National Bureau of Economic Research, NBER Working Paper 12876. C phi lm pht mc tiu to nn s khc bit ? ca Mishkin, F. and K. Schmidt-Hebbel. 2007, Vn phng nghin cu Kinh t quc gia, bi nghin cu ca NBER 12876. 252002 Mutl, J. 2002. Panel var models with spatial dependence Institute for Advanced Studies Economics Series No 237. Bng iu khin m hnh VAR phc thuc khng gian ca Mutl, J. 2002, Vin Nghin cu Kinh t nng cao, bi s 237 262004 Reinhart, C.M. and K.S. Rogoff. 2004. The Modern History of Exchange Rate Arrangements: A Reinterpretation Quarterly Journal of Economics 119 (1): 1-48. Lch s hin i ca t gi tho thun: Mt gii thch li caReinhart, C.M. v K.S. Rogoff. 2004, tp ch kinh t qu 119 (1): 1-48 6272007 Rose, A.K. 2007. A Stable International Monetary System Emerges: Inflation Targeting is Bretton Woods, Reversed Journal of International Money and Finance 26 (5): 663-681. Mt s n nh h thng tin t quc t mi ni: Lm pht mc tiu l Bretton Woods, v ngc li ca Rose, A.K. 2007., Tp ch ti chnh v tin t quc t 26 (5):663-681. 281997 Svensson, L.E. 1997.Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets European Economic Review 41 (6): 111-46. D on lm pht mc tiu: t chc thc hin v gim st lm pht mc tiu ca Svensson, L.E. 1997, European Economic Review 41 (6): 111-46. 292000 Taylor, J. 2000. Low Inflation, Pass-Through, and the Pricing Power of Firms European Economic Review 44 (7): 1389-1408. Lm pht thp, truyn dn v Sc mnh gi c ca cc cng ty ca Taylor, J. 2000; European Economic Review 44 (7): 1389-1408. 302008 Wagner, M. 2008. On PPP, unit roots and panels Empirical Economics 35 (2): 229-249. Ngang gi sc mua PPP, gc n v v bng iu khin ca Wagner, M. 2008, Thc nghim kinh t 35 (2): 229-249.