nghien cuu cac cu soc tac dong den cac bien so vi mo cua viet nam_svar

7/29/2019 Nghien Cuu Cac Cu Soc Tac Dong Den Cac Bien So Vi Mo Cua Viet Nam_SVAR.

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BFDDDSDDWSSASa|saszxczcxc

B GIO DC V O TO

TRNG I HC KINH T TP.HCM

-----------------

BI ANH CHNH

NGHIN CU CC C SC TC NGN CC BIN S KINH T V M CA

VIT NAM

LUN VN THC S KINH T

TP. H Ch Minh Nm 2013


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B GIO DC V O TO

TRNG I HC KINH T TP.HCM

-----------------

BI ANH CHNH

NGHIN CU CC C SC TC NG

N CC BIN S KINH T V MCAVIT NAM

Chuyn ngnh : Ti chnh - Ngn hng

M s : 60340201

LUN VN THC S KINH T

NGI HNG DN KHOA HC:

TS NGUYN TN HONG

TP. H Ch Minh Nm 2013


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1

LI CAM OAN

Ti xin cam oan y l cng trnh nghin cu ca ring ti. Cc s liu, kt qu nu trong lun vn ltrung thc v c ngun gc r rng.

Tc gi lun vn

BI ANH CHNH


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1

MC LC

LI TA ............................................................................................................................................. 1

I. GII THIU.................................................................................................................................... 1

II. CC NGHIN CU TRC Y ............................................................................................. 4

2.1 Cc nghin cu nc ngoi ............................................................................................................. 4

2.2 Cc nghin cu trong nc .............................................................................................................. 10

III. M HNH V DLIU NGHIN CU ................................................................................... 14

3.1. Mt sphng thc tc ng ca cc c sc tbn ngoi n cc bin s kinh t v m trong nc ....

............................................................................................................................................................. 14

3.2. Xy dng m hnh SVAR cho bi nghin cu ................................................................................ 17

3.2.1 La chn cc bin v phn tch s lc ........................................................................................ 17

3.2.2 M hnh Structural VAR (SVAR)................................................................................................. 18

3.2.3 Cc rng buc cho ma trn ca SVAR .......................................................................................... 19

3.3. D liu nghin cu ........................................................................................................................ 20

IV. KT QU NGHIN CU ........................................................................................................... 22

4.1 Phn tch hm phn ng y hay phn ng xung ............................................................................. 22

4.1.1 Hm phn ng y ca sn lng cng nghip trong nc vi cc bin bn ngoi ........................ 23

4.1.2 Hm phn ng y ca li sut trong nc (IR) vi cc bin v m bn ngoi .............................. 25

4.1.3 Hm phn ng y ca t gi hi oi trong nc (EX) vi cc bin v m bn ngoi .................. 27

4.1.4 Hm phn ng y ca ch sgi tiu dng trong nc (CPI) vi cc bin v m bn ngoi 29

4.1.5 Hm phn ng y ca cung tin (M1) vi cc bin v m bn ngoi ........................................... 31

4.2. Phn tch phng sai ..................................................................................................................... 33

4.3. Phn tch phn ng ca cc bin v m ti Vit Nam ..................................................................... 38

4.3.1 Hm phn ng y hay hm phn ng xung ................................................................................ 39

4.3.2 Phn tch phng sai ................................................................................................................... 41

V. KT LUN V HN CH NGHIN CU ............................................................................... 42


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2


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3

PH LC 1: TNG QUAN NN KINH T VIT NAM

PH LC 2: SNT V M HNH SVAR

DANH MC TH - HNH NH

Hnh 3.1: Tc ng lan truyn ca gi du v gi thc phm bn ngoi tc ng n cc bin v m trong

nc...................................................................................................................................................... 15

Hnh 3.2: Cch lan truyn ca cc c sc ngoi sinh ti cc bin s v m trong nc ........................ 16

th 4.1: Phn ng ca sn lng cng nghip vi c sc ch s gi Th gii (Shock 1) ..................... 23

th 4.2: Phn ng ca sn lng cng nghip vi c sc ch s sn lng cng nghip M (Shock 2) ....

............................................................................................................................................................. 23

th 4.3: Phn ng ca sn lng cng nghip vi c sc ch s gi ca M (Shock 3) ...................... 23

th 4.4: Phn ng ca sn lng cng nghip vi li sut ca Fed (Shock 4) .................................... 23

th 4.5: Phn ng ca bin li sut (IR) vi c sc ch s gi Th gii (Shock 1) ............................. 25

th 4.6: Phn ng ca bin li sut (IR) vi c sc sn lng cng nghip M (Shock 2) ................ 25

th 4.7: Phn ng ca bin li sut (IR) vi c sc ch s gi tiu dng M (Shock 3) ...................... 25

th 4.8: Phn ng ca bin li sut (IR) vi c sc li sut ca FED (Shock 4) ................................. 25

th 4.9: Phn ng ca bin t gi hi oi vi c sc ch s gi Th gii (Shock 1) .......................... 27

th 4.10: Phn ng ca bin t gi hi oi vi c sc sn lng cng nghip M (Shock 2) ........... 27

th 4.11: Phn ng ca bin t gi hi oi vi c sc ch s gi tiu dng M (Shock 3) ................ 27

th 4.12: Phn ng ca bin t gi hi oi vi c sc li sut FED (Shock 4) ................................. 27

th 4.13: Phn ng ca bin ch s gi CPI vi c sc ch s gi Th gii (Shock 1) ....................... 29

th 4.14: Phn ng ca bin ch s gi CPI vi c sc sn lng cng nghip M (Shock 2) ........... 29

th 4.15: Phn ng ca bin ch s gi CPI vi c sc ch s gi tiu dng M (Shock 3) ................ 29

th 4.16: Phn ng ca bin ch s gi CPI vi c sc li sut FED (Shock 4) ................................. 29

th 4.17: Phn ng ca bin cung tin M1 vi c sc ch s gi Th gii (Shock 1) .......................... 31

th 4.18: Phn ng ca bin cung tin M1 vi c sc sn lng cng nghip M (Shock 2) ............. 31

th 4.19: Phn ng ca bin cung tin M1 vi c sc ch s gi tiu dng M (Shock 3) ................. 31


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th 4.20: Phn ng ca bin cung tin M1 vi c sc li sut FED (Shock 4) ................................... 31

th 4.21: Phn ng ca sn lng cng nghip vi c sc v m khc ti Vit Nam ......................... 39

th 4.22: Phn ng ca ch s gi tiu dng vi c sc v m khc ti Vit Nam .............................. 39

th 4.23: Phn ng ca cung tin M1 vi c sc v m khc ti Vit Nam ........................................ 39

th 4.24: Phn ng ca li sut (IR) vi c sc v m khc ti Vit Nam .......................................... 39

th 4.25: Phn ng ca t gi hi oi danh ngha vi c sc v m khc ti Vit Nam .................... 40

Biu PL.1.1 Gi tr GDP tnh theo USD t1985 n 2012 ............................................................... 1

Biu PL.1.2 Tng trng GDP trung bnh cc nc.......................................................................... 2

Biu PL.1.3 Tng trng GDP ca Vit Nam v GDP thc ca M t1990 n 2011 ..................... 2

Biu PL.1.4 Tng trng GDP ca Vit Nam v GDP danh ngha ca M t1990 n 2012 ........... 3

Biu PL.1.5 Mc thay i t gi hi oi danh ngha ca Vit Nam t 1995 2012 ......................... 3

Biu PL.1.6 Mc thay i trung bnh t gi hi oi danh ngha (theo USD) hng nm ca cc nc

t 1995 -2012........................................................................................................................................ 4

Biu PL.1.7 Tnh hnh xut nhp khu Vit Nam tnm 1986 n 2012 (VT Millions USD) ....... 5

Biu PL. 1.8 So snh mc trung bnh xut nhp khu thay i hng nm gia cc nc t 1995 2012

............................................................................................................................................................. 5

Biu PL. 1.9 Chnh lch trung bnh gia Xut khu Nhp khu giai on t 1995 2012 ............. 6

Biu PL.1.10 Gi tr xut nhp khu Vit Nam t 1996 2012 ........................................................ 6

Biu PL. 1.11 Bin ng CPI hng nm t 1995 2012 ................................................................... 7

Biu PL.1.12 Bin ng CPI trung bnh qua cc nm t1995 n 2012 gia cc nc ..................... 8

DANH MC BNG BIU

Bng 3.1: Cc bin s nghin cu trong m hnh SVAR ....................................................................... 17

Bng 3.2: Cu trc h phng trnh SVAR dng ma trn ...................................................................... 19

Bng 3.3: Kt qu ca kim nh tnh dng theo phng php ADF cho cc bin ................................. 20

Bng 4.1: Gi tr trung bnh t k1 n k 20 phn ng ca bin ch s sn xut cng nghip trong nc

(IP) vi cc c sc t bn ngoi ............................................................................................................ 24


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Bng 4.2: Gi tr trung bnh t k1 n k 20 phn ng ca bin li sut trong nc (IR) vi cc c sc

t bn ngoi .......................................................................................................................................... 26

Bng 4.3: Gi tr trung bnh t k1 n k 20 phn ng ca bin t gi hi oi danh ngha trong nc

(EX) vi cc c sc t bn ngoi ........................................................................................................... 28

Bng 4.4: Gi tr trung bnh t k1 n k 20 phn ng ca bin ch s gi tiu dng trong nc (CPI)

vi cc c sc t bn ngoi ................................................................................................................... 30

Bng 4.5: Gi tr trung bnh t k1 n k 20 phn ng ca bin cung tin trong nc (M1) vi cc c

sc t bn ngoi .................................................................................................................................... 32

Bng 4.6: Phn tch phng sai ca ch s sn xut trong nc (IP) vi cc bin ngoi sinh ................. 33

Bng 4.7: Phn tch phng sai ca ch s gi tiu dng trong nc (CPI) vi cc bin ngoi sinh ....... 34

Bng 4.8: Phn tch phng sai ca cung tin M1 trong nc (M1) vi cc bin ngoi sinh ................. 35

Bng 4.9: Phn tch phng sai ca li sut bn bun trong nc (IR) vi cc bin ngoi sinh ............. 36

Bng 4.10: Phn tch phng sai ca t gi hi oi trong nc (EX) vi cc bin ngoi sinh .............. 37

Bng 4.11: Gi tr trung bnh t k1 n k 20 phn ng ca cc bin v m trong nc vi cc c sc

khc ti Vit Nam ................................................................................................................................. 41

Bng 4.12: Phn tch phng sai ca cc bin ni sinh ti Vit Nam .................................................... 41

Bng 4.13: Cc loi puzzle ph bin trong nghin cu thc nghim ...................................................... 44

Bng PL.1.1 Cc th trng xut khu chnh ca Vit Nam ................................................................... 7

DANH MC TVIT TT

SVAR:M hnh vector t hi quy cu trc (Structural Vector Autoregression hay Structural VAR)

VAR: M hnh vector t hi quy (Vector Autoregression)

ADF: Phng php kim nh nghim n v Augmented Dickey Fuller

Shock 1: C sc t ch s gi hng ha th gii (WCPI)

Shock 2: C sc t ch s sn xut cng nghip ca M (US_IP)

Shock 3: C sc t ch s gi tiu dng ca M (US_CPI)

Shock 4: C sc t li sut FED (FED)

Shock 5: C sc t ch s sn xut cng nghip trong nc (IP)


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6

Shock 6: C sc t ch sgi tiu dng trong nc (CPI)

Shock 7: C sc t ch s cung tin M1 trong nc (M1)

Shock 8: C sc t ch s li sut bn bun (IR)

Shock 9: C sc t ch s t gi hi oi danh ngha trong nc (EX)


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Nghin cu cc c sc tc ng n cc bin s kinh t v m ca Vit Nam

HVTH: Bi Anh Chnh Trang 1

LI TA

Bi lun vn s dng phng php nh lng bng vic p dng m hnh Structural Vector

Autoregression (Structural VAR), gi tt l SVAR, nghin cu tc ng ca cc c sc

bn ngoi, nht l c sc t nn kinh t M, tc ng nh th no ti cc bin s kinh t v

m trong nc nh cung tin M1, li sut, t gi hi oi danh ngha, ch s gi tiu dng

CPI, ch s sn xut cng nghip (IIP), ti VitNam v mt s nc trong khu vc Chu

giai on t 2004 n 2012. Qua o lng mc tc ng ca cc c sc ngoi sinh ti

Vit Nam v so snh n vi cc nc trong khu vc. Cc nc c la chn so snh vi

Vit Nam gm:Nht Bn,Hn Quc v Malaysia, di d liu ly theo thng t thng 1/2004

n thng 12/2012. D liu c chy v kim nh trn phn mm Eviews 6.0. Qua phn

tch cho thy mc nh hng ca cc bin ngoi sinh l dai dng, phn ng cu trc ca

cc nc trc cc c sc ngoi sinh khng ng u, cc c sc c khuynh hng mnh

k 2-3 v sau khuynh hng tim cn dn v gi tr 0 t k 13 tr i. So vi cc nc th

khi phn tch phng sai cho thy cung tin M1 c gii thch nhiu bi bin ch s gi sn

xut th gii (WCPI), bin ng ca ch s gi tiu dng ca Vit Nam c gii thch nhiu

ca bin ch s gi tiu dng ca M (US_CPI); tng t, bin ng trong t gi hi oi ca

Vit Nam c gii thch nhiu bi bin WCPI (ln lt l 18.40% cho k 6 v 17.89% k

24); so vi cc nc th bin li sut ca Vit Nam c gii thch nhiu bi bin FED (sau

Nht Bn), mc gii thch ny c khuynh hng gim dn theo thi gian.

I. GII THIU

Chnh sch tin t lun l cng c gip n nh kinh t v m vi ht nhn l n nh tin t,

to lp nn tng cho s pht trin chung. Mt khc, nn kinh t th trng bn cht l mt nn

kinh t tin t. Do , vic n nh gi tr ng tin cng vi vic thit lp nn ti chnh quc

gia mnh l mt c s u tin cho vic kim ch lm pht v n nh nn kinh t. Ty vo

c im kinh t hay thi im c th ti mi quc gia m chnh sch tin t c th xc nh

theo hai hng: chnh sch tin t m rng (tng cung tin, gim li sut thc y sn xut

kinh doanh, gim t l tht nghip nhng lm pht c th tng cao) hay chnh sch tin t tht


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cht gip n nh ng tin (gim cung tin, tng li sut lm gim u t vo sn xut kinh

doanh t gim lm pht nhng tht nghip tng).

Bng nhiu cng c khc nhau ca chnh sch tin t nh cng c ti cp vn, t l d tr bt

buc, nghip v th trng m, li sut tn dng, lm cho vai tr ca c quan iu hnh(thng l Ngn hng trung ng) gip n nh gi tr ng tin, kim ch lm pht, to cng

n vic lm, thc y pht trin kinh t - x hi, m bo s n nh nn kinh t trong nc

cng th hin r nt hn.

Mc hiu qu ca chnh sch tin t ph thuc vo kh nng ca nh hoch nh chnh

sch trong vic nh gi chnh xc thi im, mc nh hng ca chnh sch ln cc hot

ng kinh t v gi c hng ha. V vy nhu cu nh gi chnh xc mc nh hng ca

cc c sc kinh t trong v ngoi nc hay mc nh hng ca cc chnh sch tin t ln

nn kinh t trong nc l mt nhu cu thit yu, gip cc nh to lp chnh sch a ra cc

quyt nh ng v chnh sch tin t nhm t c mc ch pht trin n nh nn kinh t.

Ti Vit Nam, k t khi t nc chuyn sang nn kinh t th trng theo nh hng x hi

ch ngha, chnh sch tin t c nhiu i mi linh hot hn, mang nhiu tnh thc tin.

Chng hn, vo thi k bao cp quan nim v lng tin cung ng cho nn kinh t ch bao

gm tin mt v mc cung bao nhiu, th sang nn kinh t th trngbn cnh lng tin mt(C) cn tnh n kh nng to tin ca cc ngn hng thng mi, t chc tn dng khc (D).

Hay nh mc li sut cng iu chnh linh ng qua cc nm, cc giai on kinh t, ch

khng cng nhc li sut c nh trong nhiu nm nh thi k bao cp.

Ngy nay, trong bi cnh hi nhp su rng nn kinh t ton cu cng nh vic Vit Nam gia

nhp nhiu t chc kinh t th gii nh Qu tin t quc t (IMF), Ngn hng Th Gii

(Worldbank), t chc thng mi th gii (WTO), din n hp tc u (ASEM), hip hi

cc quc gia ng Nam (ASEAN), din n hp tc kinh t Chu -Thi Bnh Dng

(APEC), hay hipnh thng mi t do song phng v a phng Vit Nam k vi

t cch quc gia v t cch thnh vin nh Vit Nam-ASEAN, Vit Nam Nht Bn,

ASEAN Trung Quc, ASEAN Australia/New Zealand,t Vit Nam vo sn chi

chung ca Th gii, chu nh hng ca nhiu tc ng n t ni ti nn kinh t cng nh


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n t bn ngoi quc gia. p ng c qu trnh hi nhp ny, chnh sch tin t ca

Vit Nam cn phi thay i linh hot theo hng thch nghi nhng khng b ha tan trc cc

c scbn ngoi, t ny sinh nhu cu cp thit cn phi nghin cu tc ng ca cc c

sc kinh t ni sinh v ngoi sinhnh hng nh th no v mc nh hng l bao nhiuti nn kinh t trong nc, i din qua cc bin kinh t v m. y cng chnh l l do ti

chn ti Nghin cu cc c sc tc ng n cc bin s kinh t v mca Vit Nam.

Trn th gii c nhiu phng php hay m hnh khc nhau nghin cu nh hng ca cc

c sc kinh t nh phng php VECM, phng php VAR, Structural VAR, Bayesian

vector autoregression (BVAR), generalized method of moments (GMM),. tuy nhin Vit

Nam s lng cc nghin cu s dng cc m hnh nh lng trn l rt t, v vy bi nghin

cu mong mun s dng mt trong nhng phng php trn, phng php Structural VAR

(tm dch l m hnh vector t hi quy cu trc), nghin cu nh hng hay tc ng ca

cc c sc bn ngoi, nht l cc c sc n t nn kinh t M, tc ng nh th no ti cc

bin s v m ca Vit Nam trong giai on t thng 01/2004 n thng 12/2012. D liu

c ly theo thng, ngoi bin ch s sn xut cng nghip Vit Nam c ly t Tng cc

thng k Vit Nam, cc bin khc c ly t d liu IMF.

Bi nghin cu tp trung vo gii quyt ba mc tiu chnh sau y: u tin l o lng mc

tc ng ca cc bin ngoi sinh tc ng nh th no ti Vit Nam?; th hai l so snh

mc chu nh hng ca cc bin v m Vit Nam so vi mt s nc khc nh Nht Bn,

Hn Quc, Malaysia vi cng cc yu t ngoi sinh bn ngoi (ch yu l cc bin v m ca

M)?; v cui cng l o lng phn ng ca chnh cc bin v m ti Vit Nam vi nhau

nh th no?. y l cc nc c kim ngch xut khu ca Vit Nam cao (theo s liu thng

k ca Cc hi quan Vit Nam), c mi quan h kh gn v a l nhau v cngthng c

chn trong nghin cu v cc c sc kinh t ti th trng mi ni . Nn vic tm hiu nhhng ca cc c s ngoi sinh nh hng nh th no ti cc nc ny cng kh quan trng

cho Vit Nam.

Cc c sc ngoi sinh bao gm cc c s t ch s gi hng ha th gii (the world

commodity price index), ch s sn xut cng nghip ca M (U.S Indutrial Production


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Index), ch s gi tiu dng CPI ca M (U.S Consumer Price Index), li sut cng b ca

FED. Cc bin s kinh t v m trong nc bao gm ch s sn xut cng nghip (IIP), ch s

gi tiu dng CPI, cung tin M1, li sut cho vay bn bun trung bnh ca cc ngn hng

thng mi, t gi hi oi danh ngha tnh theo USD. Cc bin c chy ring bit theom hnh SVAR cho tng nc, sau so snhcc nc vi nhau. Vic la chn cc bin ph

thuc rt ln vo vic xc nh c ma trn ton Ao hay khng (xem thm phn 3.2.3), gip

m hnh Structural VAR c ngha thng k vi cc bin nghin cu hay khng, v th bi

nghin cu s dng cc bin nghin cu theo nghin cu ca Raghavan and Param Silvapulle

(2007)1 khi nghin cu v chnh sch tin t ca Malaysia trc v sau cuc khng hong ti

chnh nm 1997. Cc bin ny cng c Cushman v Zha (1997), Fung (2002) c s

dng trong nghin cu v cc nc trong khu vc ng Nam .

Bi nghin cu gm cc phn sau: phn 2 l tng quan cc nghin cu trc y v nh

hng ca cc c sc kinh t, tip n l phnphng php lun, d liu nghin cu v cui

cng l kt qu nghin cu cng nh nhng hn ch trong nghin cu.

II. CC NGHIN CU TRC Y

2.1 Cc nghin cu nc ngoi

a/ u tin l nghin cu Bartosz Mackowiak2 (2006), External Shocks, U.S Monetary

Policy and Macroeconomic Fluctuations in Emerging Markets

Bi nghin cu ny, tc gi tp trung vo ba cu hi chnh sau:

- Mc bin ng ca cc bin v m ti th trng mi ni c gy ra bi cc c scngoi sinh, c th hn l cc c sc t chnh sch tin t ca M?

- Cc nh hng t cc c sc tin t M ln th trng mi ni ln hn hay l nh hntrn chnh nc M?

- Cc nh hng t cc c sc tin t M ti th trng mi ni l nhanh chng hay vimt tr?

1 Bi Structural VAR approach to Malaysian Monetary Policy Framework: Evidence from the Pre- and Post-Asian CrisisPeriods2 Department of Economics, Humboldt Universitat zu Berlin, Germany


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Tc gi s dng m hnh Structural VAR (SVAR) vi cc bin kinh t v m ca mt s nc

ti th trng mi ni, M v gi c hng ha th gii. Vi gi nh rng mt th trng mi

ni l mt nn kinh t nh m (a small economy). Vi gi thit ny gip loi b vic cc bin

ni sinh (trong nc) tc ng mnh ln cc bin ngoi sinh (nc ngoi) v gip o lngtt hn mc nh hng ca cc bin ngoi sinh ln cc bin v m trong nc.

M hnh Structural VAR m tc gi s dng din gii nh sau:

P

S sAsA

sAsA

0 2221

1211

)()(

)()(

)(

)(

2

1

sty

sty=

)(

)(

2

1

t

t

Trong ,

- Vector bin ni sinh y1 = {li sut ngn hn, t gi hi oi, sn lng thc (realaggregate output), ch s gi c (aggregate price level)}

- Vector bin ngoi sinh y2 = {li sut ca FED, ch s gi hng ha th gii, cung tinca M, sn lng thc ca M (the U.S real aggregate output), ch s gi c ca M

(the U.S aggregate price level)}.

- )]();([)( 21 ttt l vector theo phn phi ngu nhin Gaussian tha mn0]0),(|)([ sstytE v E[ IsstyttE ]0),(|)'()(( .

- )(1 t l vector c sc cu trc (structural shocks) c ngun gc ni sinh (trong nc).- )(1 t l vector c sc cu trc c ngun gc ngoi sinh (nc ngoi).- Do c gi nh mt nn kinh t mi ni l mt nn kinh t nh m (small open

economy), nn A21(s) =0 (vi s = 0,1,,p).

Bi nghin cu, nghin cu ti 08 nc mi ni gm HongKong, Hn Quc (Korea),

Malaysia, Phillipines, Singapore, Thi Lan v cc nc Chu M Latinh l Chil v Mexico,

vi di d liu ly t thng 1/1986 n 12/2000, tr Thi Lan t thng 1/1987 do thiu d

liu.

Tc gi tm thy kt qu rng:


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- Cc c sc ngoi sinh gi vai tr quan trng trong vic gii thch s bin ng trongcc bin s kinh t v m ti cc th trng mi ni, y l khu vc ng Nam v

khu vc Chu M Latinh. Cc bin ny gii thch gn 1/2 bin ng trong t gi hi

oi (chng hn Thi Lan l 60% cho k 1-24, 65% cho k 25-48; Malaysia l 55%cho k 1-24, 58% cho k 25-48) v mc gi (chng hn Singapore l 51% cho k 1-

24, 81% cho k 25-48; Mexico l 47% cho k 1-24, 78% cho k 25-48); gii thch

khong 1/5 trong bin ng trong li sut (chng hn Philippines l 29% cho k 1-24,

42% cho k 25-48) v sn lng thc (chng hnHongkong l 50% cho k 1-24, 72%

cho k 25-48).

- Mc gii thch ca cc bin ngoi sinh l khc nhau gia cc th trng khc nhau.- Qua bi nghin cu, tc gi cng xut rng cc c sc ngoi sinh nn ng mt vai

tr quan trng trong cc m hnh p dng cho th trng mi ni; v nhng thay i

trong t gi bn ngoi c th c cc nh hng khc nhau ph thuc vo c hay khng

vic chng phn nh c sc vi chnh sch tin t ca M hay phn ng mang tnh h

thng t li sut ca Fed n cc loi c sc khc; cng nh lm th no gi cn

bng nn kinh t trc nh hng ca cc c sc bn ngoi.

b/. Tip n l nghin cu ca 03 tc gi Jean-Pierre Allegret, Ccile Couharde v CyriacGuillaumin, bi nghin cu The impact of External Shocks in East Asia: Lessons from a

Structural VAR Model with Block Exogeneity. Cc tc gi mun kim tra mc nh hng

ca cc c sc ngoi sinh (external shocks) ti cc bin ng trong nc ti cc nc ng

Nam (East Asian) bng m hnh Structural VAR vi cc bin chia lm 02 nhm vector:

vector cc bin ni sinh (y2) v vector cc bin ngoi sinh (y1). Cc bin ni sinh gm: sn

lng thc (yd)3, ch s gi nh sn xut trong nc (pd), v t gi danh ngha tnh theo USD

(nd); bin ngoi sinh gm c gi du thc (rBent the real oil price), GDP thc ca M(U.S.gdp the real U.S.GDP), li sut ca Fed (Fed Funds - the Fed Funds interest rate) v

ch s MSCI (MSCI). Cc tc gi nghin cu ti cc nc: Trung Quc, Hn Quc, Hng

3 Trong bi nghin cu, tc gi ghi nhn ch s ny ly l GDP hoc nu khng c th ly ch s sn xut cng nghip(industrial production index).


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Kong SAR4, Indonesia, Nht Bn, Malaysia, Philippines, Singapore v Thi Lan, di d liu

ly theo Qu, t Qu 1/1997 ti Qu 4/2010, vi 02 nhm c tch ra cho ring 2 thi k

khng hong 1997 v 2008. Tc gi s dng bin gi, nhm 1 cho giai on Qu 2/1997 n

Qu 3/2008 v nhm hai cho giai on Qu 3/2008 n Qu 4/2010.Cng nh cc bi nghin cu khc, cc tc gi tch ring o lng nh hng ca tng nc,

sau tng hp v so snh mc nh hng ca cc bin ngoi sinh gia cc nc vi

nhau. Qua phn tch, tc gi tm thy cc kt qu sau:

V GDP:

- Trong tt c cc nc, tr Indonesia, vi khong thi gian t k 1 n k 4 th cc csc ngoi sinh gii thch t nht 11% cho bin ng ca GDP, ring GDP caNht Bnv Hng Kng d b nhy cm nht vi cc c sc ngoi sinh ny, tng ng l 58.8%

v 36.8%.

- Trong giai on t Qu 1/1996 n Qu 4/2010, th hin s tng ln r rng nhhng ca cc c sc ngoi sinh. Nht l trong ngn hn, cc c sc ny gii thch hn

15% bin ng ca GDP; cn trong di hn xt t k 16-20 cc c sc ny u tng,

tr Hng Kng gim xung mc 28.92% so vi mc ngn hn 32.87% (mc ngn

hn t k 1 n k 4).

- Cc c sc ngoi sinh nh hng nhiu ln ch s gi ngi sn xut (PPI-producerprice index) hn so vi ch s GDP. Trong khi giai on 1996-2010, th GDP trong

nc c khuynh hng b nh hng nhiu hn bi gi du th gii.

V gi tr t gi danh ngha:

- Tc ng ca cc c sc ngoi sinh ln bin t gi danh ngha tnh theo USD (gi tt lNER) th thp trong k 1-4 cho cc nc v c 06 nc di 10% l Trung Quc

(9.53%), HongKong (8.11%), Indonesia (7.46%), Japan (1.63%), Malaysia (8.87%) v

Thailand (6.29%); cn trong di hn vi k 16-20 th gi tr tc ng ny ln vi tt c

4 Hong Kong Special Administrative Region (Hong Kong SAR) l mt c khu hnh chnh thuc Cng ha Nhn dnTrung Hoa nm trn b bin ng Nam ca Trung Quc, gm hn 260 hn o, nm v pha ng ca ng bng chuth Chu Giang, gip vi tnh Qung ng v pha Bc v nhn ra bin ng pha ng, Ty v Nam.


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cc nc nghin cu. c bit trong giai on 1996-2010, gi tr tc ng ny tng

ng k, nh Japan (t 1.63% ln 23.65% cng k 1-4), Trung Quc (t 9.53% ln

46.02% cho k 1-4, 90.89% cho k 16-20).

V ch s PPI:

- nh hng ca gi du th mnh hn ln ch s PPI so vi cc bin s khc. Binghin cu cng cho thy rng cc c sc thc th nh hng mnh hn cc c sc v

ti chnh (i din l ch s MSCI) hay tin t(i din l ch s Fed Funds). Trong tt

c cc nc, trong ngn hn c sc gi du tc ng ln ch s PPI hn 20% (tr Trung

Quc 15.75%)

Trong bi ny, tc gi cng ch ra 02 nguyn nhn chnh dn n s gim st nh hng GDPca M ln cc nc Asian. Th nht l do bt u t nhng nm 1990 giao dch gia cc

nc trong khu vc tng ln. Th hai l do s nh hng thng mi ca Trung Quc ngy

cng tng trong khu vc v trn th gii, theo tc gi ghi nhn th mc ny mnh hn t

sau nm 2000.

c/ Tip na l bi Structural VAR approach to Malaysian Monetary Policy Framework:

Evidence from the Pre- and Post-Asian Crisis Periods, Mala Raghavan and Param Silvapulle

(2007).

Trong bi nghin cu ny tc gi cng s dng m hnh Structural VAR, vi d liu t thng

01/1980 n thng 05/2006, vi 09 bin c s dng nghin cu phn ng trc cc c

sc ngoi sinh tc ng nh th no ti nn kinh t nh mi ni nh Malaysia, nht l tc

ng ti cc chnh sch tin t ca Malaysia trc v sau cuc khng hong ti chnh nm

1997. Di d liu chia lm 02 giai on: giai on trc khng hong t thng 1/1980 n

thng 06/1997 v giai on sau khng hong t thng 1/1998 n thng 5/2006. Cc bin

nghin cu chia thnh 02 nhm: nhm ngoi sinh gm ch s gi hng ha th gii (PC

World Commodity Price Index), ch s sn xut cng nghip M (IPu Industrial

Production), ch s gi tiu dng M (Pu Consumer Price Index), li sut Fed (IRu Federal

Funds rate); nhm th hai gm ch s sn xut cng nghip Malaysia (IP M Industrial

Production), ch s gi tiu dng Malaysia (PM Consumer Price Index), cung tin M1 (M1M -


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Monetary Aggregate M1), li sut qua m (IRM - Overnight Inter-bank rate) v t gi danh

ngha (EXM Nominal Effective Exchange Rate). Ngoi bin li sut Fed v li sut qua m

c tnh bng n v phn trm (%), cc bin khc c ly logarit. Tc gi p t cc rng

buc xc nh trong m hnh SVAR nhm mc ch xc nh liu chng cc bin ng trongcc c ch truyn dn tin t ca Malaysia thay i sau cuc khng hong. Hay tc gi k

vng c th cung cp cho ngn hng trung ng Malaysia (BNM Bank Negara Malaysia)

cc quan im gi tr trong vic xc nh cc knh truyn dn quan trng, cung cp nhiu

thng tin v cc c sc chnh sch tin t, gip Ngn hng trung ng Malaysia tc ng ln

cc knh ph hp m bo chnh sch tin t mang li hiu qu, gp phn tng trng kinh

t v duy tr n nh gi hng ha.

Qua phn tch tc gi thu c cc kt qu sau:

- Trong giai on trc khng hong, cc c sc tin t v t gi c khuynh hng nhhng ng k ln sn lng, gi, li sut, cung tin v t gi. Sau giai on khng

hong, cung tin c khuynh hng nh hng mnh ln sn lng.

- Mc ca cc c sc bn ngoi v bn trong gim sau giai on khng hong. Cth, vi c sc ca cc bin bn ngoi nh gi c hng ha th gii gim t 0.0198

xung 0.0185, sn lng cng nghip ca M gim t 0.0052 xung 0.0049, li sutca FED gim t 0.4473 xung 0.1178, ring ch s gi tiu dng ca M tng t

0.0020 ln 0.0025; cc bin ni sinh nh ch s sn xut cng nghip ca Malaysia

gim t 0.0510 xung 0.0235, ch s sn xut cng nghip gim t 0.0035 xung

0.0025, cung tin gim t 0.0220 xung 0.0192,

- Phn tch hm phn ng y trc v sau khng hong cho thy cc bin ni sinh ckhuynh hng phn ng dng vi cc bin ngoi sinh, nht l bin li sut qua m

ca Malaysia trc khng hong phn ng m bin li sut fed, nhng sau khng

hong phn ng ny l dng.

- Khi phn tch phng sai (variance decomposition) tc gi thy rng trc giai onkhng hong th k ngn t k 1 n k 12, mc bin ng ca cc bin ni sinh

ch yu c gii thch bng cc bin ni sinh trong nc, cc bin ngoi sinh tc


19/74



ng nhiu v r nt hn t k 24 n k 48 (chng hn output c gii thch bng

ch s gi th gii k 1 l 0%, k 12 l 0.7%, sang k 24 l 0.95%, sang k 48 l

15.86%), tuy nhin vi t gi th mc gii thch ca cc bin ngoi sinh a phn c

khuynh hng gim dn (chng hn k 12 ch s sn xut cng nghip M gii thch10.89%, sang k 24 gim xung 9.83%, k 48 xung 4.78%)

- Trong khi giai on sau khng hong th mc gii thch ca cc bin ngoisinh li tng mnh hn nhiu theo k di hn (chng hn ch s gi th gii k 12

gii thch 3.15% bin ng ca cung tin, sang k 24 l 7.25%, k 48 tng vt ln

31.53%; iu ny cng xy ra tng t vi ch s gi sn xut cng nghip M tc

ng ln li sut t mc 2.83% k 12 ln mc 23.72% k 48)

2.2 Cc nghin cu trong nc

Trong phn ny, bi nghin cu ch nu 02 bi nghin cu in hnh v s dng m hnh nh

lng nghin cu cc c sc Vit Nam. V a phn, cc bi nghin cu ti Vit Nam ch

yu tp trung vo cc c sc ni sinh (c sc trong nc) tc ng ln cc bin s kinh t v

m trong nc, m phn ln l cc nghin cu yu t tc ng ln lm pht ti Vit Nam, cc

nghin cu c sc c s dng m hnh SVAR l rt t.

u tin l nghin cu nh lng o lng nh hng ca cc c sc ngoi sinh tc ng

n nn kinh t Vit Nam ca tc gi Nguyn Phi Ln, tc gi s dng phng php m

hnh Structural VAR (SVAR) m hnh ha khun kh chnh sch tin t ca mt nn kinh

t th trng vi m ln nh Vit Nam trong giai on sau khng hong ti chnh khu vc

nm 1997 vi chui d liu t thng 1/1998 n thng 12/2009, vi cc bin thuc hai khu

vc. Khu vc quc t: Ch s CPI ca th gii (WCPI), sn lng cng nghip ca Hoa K

(USSL), ch s CPI ca Hoa K (USCPI), li sut cng b ca FED (USLS) v khu vc

trong nc gm: Sn lng cng nghip trong nc (SL), ch s CPI trong nc (CPI), cung

tin M2 (M2), li sut ngn hn 3 thng VND (LS), t gi hi oi gia USD v VND (EX).

Tc gi thy rng li sut VND ca Vit Nam c xu hng chu tc ng tng i mnh v

ngay lp tc trc xu th bin ng ca gi c th gii v gi c ti Hoa K. iu ny hm

rng nn kinh t Vit Nam c m tng i ln, do chnh sch tin t ca Vit Nam


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tng i nhy cm v d b tn thng trc cc tc ng ca vic tng gi c hng ha th

gii. Cn khi nn kinh t Hoa K c xu hng phc hi v n nh th li sut VND c xu

hng gim v t bin ng hn so vi mc bin ng ca n trc vic tng gi c trn th

trng th gii v ti Hoa K. V sn lng cng nghip, CPI v li sut trong nc phnng tng i mnh m khi FED thc hin chnh sch tin t tht cht. S bin ng ca sn

lng cng nghip trong nc trong trung hn ch yu do cc nhn t b n ngoi c th l

mc bin ng sn lng cng nghip (h s gii thch 14,45%), lm pht ca Hoa K (h s

gii thch 9,25%) v vic iu chnh li sut ca FED (h s gii thch 8,14%) cng nh ch

s gi c hng ha th gii (h s gii thch 6,78%). Cc nhn t trong nc gii thch chnh

cho s bin ng sn lng trong nc l s thay i li sut trn th trng tin t (4.62%

cho k 48 thng), tc tng CPI (15.98% cho k 48 thng) v cung tin M2 (28.94% cho k48 thng). Ngoi ra, phn tch phng sai cho thy h s gii thch ca bin sn lng cng

nghip ca Hoa K (USSL) v sn lng cng nghip trong nc (SL)i vi s bin ng

ca cung tin M2 (M2) ln lt l 20,07% v 28,94%, cho thy vic tng hay gim mc cung

ng tin ra lu thng ph thuc rt nhiu vo du hin tng trng kinh t trong nc cng

nh tng trng kinh t Hoa K.

Tip n l nghin cu ca hai tc gi Nguyn Th Thu Hng v Nguyn c Thnh (2010),

bi Cc nhn t v m quyt nh lm pht Vit Nam giai on 2000 2010: cc bng

chng v tho lun. Hai tc gi s dng phng php tip cn da theo cc bng chng

nhm xc nh v phn tch cc nguyn nhn c bn ca lm pht Vit Nam trong nhng

nm gn y. Theo tc gi, nhng nghin cu v lm pht Vit Nam a phn tp trung vo

nhn t cu ko ca lm pht v b qua cc nhn t chi ph y. Nhn t duy nht t

pha cung c a vo m hnh nghin cu ny l gi quc t (thng c gi l c sc

cung t bn ngoi). ng thi, mt nhn t quan trong t pha cu cha c nghi n cu

nh lng l vai tr ca thm ht ngn sch v n cng n lm pht. Nghin cu ca tc gi

vi hi vng s em n nhng tho lun chnh sch hin nay Vit Nam mt nghi n cu v

m ng tin cy vi mt phng php mang tnh khoa hc v da vo cc bng chng thc

nghim v cc nguyn nhn ca lm pht.


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M hnh s dng 12 bin v m vi s liu theo thng trong giai on t nm 2000 n nm

2010, chia lm hai nhm bin l nhmbin truyn thngvi cc ch s: Ch s gi tiu dng

(cpi), Gi tr sn xut cng nghip (ind), cung tin (m2), t gi (ex_rate), li sut (in_rate),

gi du th gii (wp_oil) vnhm bin m rng thm nhm lm phong ph thm m hnhcng nh ph hphn vi trng hp Vit Nam vi cc ch s thm l: ch s gi go th

gii (wp_rice), ch s gi nhp khu (pi), ch s gi bn ca ngi sn xut (ppi), thm ht

ngn sch cng dn (p_debt), gi ti sn ti chnh (t_val). Cc bin c c lng da trn

m hnh iu chnh sai s VECM (Vector Error Correction Model) tc gi tm thy cc kt

qu sau:

Vi nhm bin truyn thng:

- Th nht l lm pht t l nghch mc thp vi thay i trong tc tng trngsn lng. Kt qu ny khng nh l thuyt kinh t rng tc tng trng cao hn

lm gim p lc i vi lm pht.

- Th hai l kt qu ca m hnh khng nh li kt qu ca cc nghin cu trong qukh rng: trong ngn hn, lm pht trong qu kh ng vai tr quan trng trong vic

quyt nh lm pht hin ti. Tnh tr tr cao ny ca lm pht khng phi l iu ngc

nhin, bi do k c ca ngi dn v siu lm pht nhng nm 1980 - 1990 v viclm pht quay tr li mc trn mt con s ca 2008 vn cn su m.

- Th ba l cc kt qu ca m hnh vi nhm bin truyn thng cng khng nh linhng pht hin trc y v vai tr rt khim tn thm ch hu nh khng c ca tin

t v li sut trong ngn hn. Tc ng ca tin t ln lm pht ch bt u c nh

hng sau 5 thng. Vic tng li sut cng c tc ng gim lm pht nhng rt nh.

Mc khc lm pht trong qu kh c tc dng lm tng li sut vi tr 3 thng

chng t chnh sch tin t ng vai tr b ng v chm tr trong phn ng vi lm

pht

- Th t l vic ph gi c tc ng lm tng lm pht, kt qu ny khc vi kt qu cacc nghin cu trc y ch yu c nghin cu trong giai on t gi c gi

tng i cng nhc, v cng do giai on 2009 2010 nim tin ca ngi dn vo


22/74



tin ng b st gim, hot ng u c v tnh trng la ha dn n k vng lm

pht tr li ca ngi dn tng

- Th nm l m hnh c s (truyn thng) khng nh kt qu nghin cu trc yrng gi quc t khng c nhiu tc ng n lm pht v cng lu rng do bin gidu th gii i din cho gi ca th gii, cn hin Chnh ph Vit Nam vn cn ang

tr gi cho gi du.

Vi m hnh c thm cc bin m rng th:

- Th nht, trong ngn hn tc tng cung tin c tc ng ln hn v di hn (nhngvn l tc ng nh) ln PPI hn l ln lm pht v iu tng t cng ng vi tn

dng. Cho thy chnh sch tin t tc ng ln hn i vi nn kinh t hn l lm pht,cn lm pht c th ch yu ph thuc vo k vng ca ngi dn. V bin ng ngn

hn trong li sut cng c tc ng nhanh hn, nhng nh hn i vi lm pht hn so

vi tc ng ca cung tin.

- Th hai, t gi khng ch c tc dng ln lm pht m ln c PPI nhng chm hn.iu ny l do hnh vi nh gi ca doanh nghip thng cng nhc hn do cn phi

c thi gian t khi u vo c nhp khu cho n khi sn lng c sn xut v

bn ra trn th trng.

- Th ba, nhng thay i trong thm ht ngn sch cng dn khng c tc ng n lmpht trong ngn hn, v c tc ng tuy nh n PPI sau 4-5 thng.

- Th t, cc c sc gi th gii nh hng nhiu n ngi sn xut hn l ngi tiudng. Nhng thay i trong gi du hay gi go th gii c tc ng nh hn nhiu so

vi tc ng ca ch s chung v gi go th gii c tc ng ln hn mt cht so vi

gi du th gii.

Tm li

Trn th gii c rt nhiu cc nghin cu s dng m hnh SVAR k t nghin cu ca

Sims (1972) o lng mc phn ng ca cc c sc ngoi sinh tc ng n cc bin s

kinh t v m trong nc, tuy nhin Vit Nam s lng cc nghin cu s dng m hnh


23/74



ny cn rt t. Cc bi nghin cu ni chung u cho thy mc tng phn ng ca cc

bin ngoi sinh ti cc bin ni sinh c xu hng tng theo thi gian, nht l sau cc cuc

khng hong ti chnh, c bit l cc c sc t nn kinh t M, thay i li sut ca Cc d

tr lin bang M (Fed). Mc tc ng ca cc c sc ngoi sinh n t nn kinh t M tcng khc nhau ln cc bin s v m trong nc v khuynh hng phn ng dai dng trong

di hn. Chng hn nh nghin cu ca Mackowiak (2003), ng s dng m hnh SVAR

nh lng mc ph thuc quc t ca mt vi nc mi ni ti Chu v Chu M

La Tinh. ng ch ra rng phn ln bin ng kinh t v m ti cc th trng mi ni b nh

hng nhiu bi cc c sc ngoi sinh, nhiu trng hp trn 50%. Markowiak tm ra hai kt

qu chnh: u tin, cc bin ng ngoi sinh trong c sc n t chnh sch tin t M gii

thch mt phn ng k bin ng ca cc bin ni sinh ti cc th trng mi ni. Th hai,tt c cc c sc ngoi sinh c khuynh hng nh hng dai dng trong d i hn. Hay Gimet

(2011) nghin cu mc d b tn thng ca cc nc ng Nam s dng m hnh

vector t hi quy cu trc Bayesian. B so snh hai giai on khng hong l khng hong

nm 19971999 v giai on khng hong 2007 2009. Kt qu ca B ch ra rng mc

tn thng ti chnh ca cc nc ng Nam gim trong sut thi k ny nhng mc

phn ng vi cc c sc ti chnh th gii l khng ging nhau gia cc nc.

III. M HNH V D LIU NGHIN CU

3.1. Mt s phng thctc ng ca cc c sc t bn ngoi n cc bin s kinh t v

m trong nc.

nh hng ca cc c sc bn ngoi mt quc gia theo nhiu phng thc truyn dn tc

ng ln cc bin s kinh t v m trong nc theo cc mc khc nhau. c th l nh

hng ca gi du th gii, gi thc phm th gii tc ng ln gi c hng ha trong nc,

gy ra lm pht, gi c hng ha cao trong khi thu nhp cha tng kp lm gim mctiu th hng ha, ko theo sn xut tr tr, hng ha tiu th chm hn, lm tng t l tht

nghip cng nh thu nhp thc trong dn c gim do chi ph sinh hot tng ln. Vic tiu th

hng ha kh khn, y doanh nghip lm n km hiu qu hn, thu nhp rng gim, khin

lng tin dnh ti u t cng gim theo. Lm pht tng ln dn n vic Ngn hng nh


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nc (NHNN) phi can thip bng chnh sch tin t tht cht, tng l i sut ht tin trong

dn c, kt qu l lm pht gim nhng lng tin cho u t gim theo ko kinh t tng

trng chm hn,

Phng thc lan truyn ny c th c m phng qua bi nghin cu ca MuhammadArshad Khan et al (2011) Macroeconomic Effects of Global Food and Oil price Shocks to

the Pakistan Economy: A Structural Vector Autoregressive (SVAR) analysis.

Ngun:paper Macroeconomic Effects of Global Food and Oil price Shocks to the Pakistan Economy: A

Structural Vector Autoregressive (SVAR) analysis ca Muhammad Arshad Khan et al (2011)


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Mt phng thc truyn dn na theo Jarir Ajluni (2005) a ra qua bi Monetary Policy

Shocks in a small open economy: assessing the Puzzles of Monetary Policy by SVAR

(trang 5)l tc ng ca cc c sc bn ngoi ln chnh k vng ca cc yu t trong nc.

Ngun:paperMonetary Policy Shocks in a small open economy: assessing the Puzzles of Monetary Policy

by SVAR ca Jarir Ajluni (2005)

c hai phng thc tc ng trn u cho thy cc yu t bn ngoi c tc ng trc tip

hoc gin tip ti cc bin s vm trong nc. Phng thc tc ng trc tip ln gi c

hng ha trong nc, sn lng hoc tc ng gin tip ln k vng ca ngi dn dn ti s

tc ng ln sn lng sn xut v gi c hng ha, lm pht trong nc,


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3.2. Xy dng m hnh SVAR cho bi nghin cu

3.2.1 La chn cc bin v phn tch s lc

Cc bin trong nc v quc t c s dng trong bi lun vn da trn cc bin ca Mala

Raghavan and Param Silvapulle (2007) nghin cu trong bi nghin cu Structural VAR

approach to Malaysian Monetary Policy Framework: Evidence from the Pre- and Post-Asian

Crisis Periods. Cc bin ny cng c Cushman v Zha (1997), Fung (2002) s dng khi

nghin cu v cc nc trong khu vc ng Nam .

Theo , cc bin nghin cu gm:

Bng 3.1: Cc bin s nghin cu trong m hnh SVAR5

STT Bin Din gii K hiu1 Ch s gi hng ha th gii Commodity Prices, (Index, 2005 = 100), logs WCPI

2 Sn lng cng nghip M Industrial Production (Index, 2005 =100), logs US_IP3 Ch s gi tiu dng M Consumer Price Index (2005 =100), logs US_CPI4 Li sut Fed Federal Funds Rate, %/nm FED

5 Sn lng cng nghip Industrial Production (Index, 2005 =100), logs IP6 Ch s gi tiu dng Consumer Price Index (Index, 2005 =100), logs CPI

7 Cung tin M1 Monertary Aggregate M1, logs, vt: USD M18 Li sut cho vay Interest Rates, Lending Rate, %/nm IR9 T gi hi oi T gi hi oi tnh theo USD, logs EX

Cc bin trong nc

Cc bin ngoi sinh t M

Trong 9 bin c s dng c 4 bin i din cho nhm cc bin s ngoi sinh gm gi hng

ha quc t (WCPI), bin sn lng cng nghip ca M (US_IP), bin ch s gi tiu dng

ca M (US_CPI), li sut cc d tr lin bang M Fed (FED). Nm bin ni sinhtrong nc

gm ch s sn xut cng nghip (IP), ch s gi tiu dng (CPI), cung tin (M1), li sut cho

vay bnh qun (IR) v t gi hi oi danh ngha (EX) c k hiu ln lt nh sau: vi VitNam ln lt l VN_IP, VN_CPI, VN_M1, VN_IR, VN_EX; vi Nht Bn ln lt l JP_IP,

JP_CPI, JP_M1, JP_IR, JP_EX, vi Hn Quc ln lt l HQ_IP, HQ_CPI, HQ_M1, HQ_IR,

HQ_EX; vi Malaysia ln lt l Malay_IP, Malay_CPI, Malay_M1, Malay_IR, Malay_EX.

5 Ngoi bin li sut cho vay ly theo n v phn trm, th cc bin khc ly theo logarit t nhin


27/74



Nm bin ni sinh th hin cho nn kinh t trong nc gm ch s sn xut cng nghip

(Industrial Production Index), ch s gi tiu dng (Consumer Price Index) hai bin ny i

din cho cc bin mc tiu ca chnh sch tin t v c bit n nh cc bin phi chnh

sch. Theo Tang (2006) cho rng bin cung tin M1 l ph hp khi phn tch cc cng c cachnh sch tin t. Theo cc nghin cu ca Domac (1999), Ibrahim (2005), Umezaki (2006)

v nghin cu ca Mala Raghavan and Param Silvapulle (2007) v chnh sch tin t th bin

li sut qua m l ph hp khi la chn phn tch cng c ca chnh sch tin t, tuy

nhin do khng di d liu t 2004 n 2012 cho mc li sut ny ti Vit Nam, nn trong

bi s dng li sut bn bun bnh qun hng thng, d liu c ly t Qu tin t th gii

(IMF). Bin cung tin M1 v bin t gi hi oi danh ngha (tnh theo USD) i din cho

bin chnh sch tin t ca Ngn hng trung ng cc nc. Thng thng cc nc xcnh v iu hnh, qun l bin ng t gi hi oi ca nc mnh theo gi tr ng dollar

M (USD).

3.2.2 M hnh Structural VAR (SVAR)

Mi quan h gia cc bin kinh t v m bn trong v bn ngoi c th c m hnh ha

theo phng trnh SVAR sau y:

tptpttt YAYAYAYA ..22110 (i)

Vi )',( ,2,1 ttt YYY trong :

- Y1,t l vector bin ngoi sinh i din cho cc bin v m bn ngoi.)',_,_,(,1 ttttt FEDCPIUSIPUSWPY

- Y2,t l vector bin ni sinh i din cho cc bin v m trong nc)',,1,,(,2 tttttt EXIRMCPIIPY


28/74



1 0 0 0 0 0 0 0 0 b11 0 0 0 0 0 0 0 0

0 1 0 0 0 0 0 0 0 0 b22 0 0 0 0 0 0 0

0 a32 1 a33 0 0 0 0 0 0 0 b33 0 0 0 0 0 0

0 a42 a43 1 0 0 0 0 0 0 0 0 b44 0 0 0 0 0

0 0 0 0 1 0 0 0 0 = 0 0 0 0 b55 0 0 0 0

0 0 0 0 a65 1 0 0 0 0 0 0 0 0 b66 0 0 0

0 0 0 0 a75 a85 1 0 0 0 0 0 0 0 0 b77 0 0a81 0 0 a84 a85 a86 a87 1 0 0 0 0 0 0 0 0 b88 0

a91 a92 a93 a94 a95 a96 a-97 a98 1 0 0 0 0 0 0 0 0 b99

WCPIuIPUSu

_

CPIUSu_

FEDu

IPu

CPIu

1MuIR

uEX

u

WCPI

IPUS_

CPIUS_

FED

IP

CPI

1M

IR

EX

V ')(),()( 21 ttt l sai s nhiu trng a bin hay c sc cu trc tha mn cc c tnh

sau:

,0)( tE

)(0

)('otherwise

tE t

6

Trong m hnh SVAR gi nh rng cc c sc cu trctl trc giao, nh m cc nhiu

cu trc (structural disturbances) khng tng quan v ma trn gi tr phng sai hip

phng sai (k hiu l ) l khng i.

3.2.3 Cc rng buc cho ma trn ca SVAR

Trong bi nghin cu ny s dng theo ma trn rng buc A0 ca tc gi Mala Raghavan v

Param Silvapulle trong bi Structural VAR approach to Malaysian Monetary Policy

Framework: Evidence from the Pre- and Post-Asian Crisis Periods. Theo ma trn trong

SVARc xc nh nh sau7

Bng 3.2: Cu trc h phng trnh SVAR dng ma trn

6 Gi tr '

tE = l gi trphng sai var, cn 'tE = 0 chnh l ma trn covariance gia hai c sc.7 Cc k hiu bin IP, CPI, M1, IR v EX i din cho bin sn lng cng nghip, ch s gi, cung tin M1, li sut v tgi hi oi danh ngha ca cc nc.


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Theo ma trn ny th cc bin trong nc khng gii thch cho bin ng cc bin ngoi sinh,

gi thit ny gip o lng st hn tc ng ca cc c sc bn ngoi tc ng ln cc bin s

trong nc. iu ny tng t nh gi thit ca cc bi nghin cu lin quan n th trng

mi ni v nn kinh t nh (a small open economy). Bin ch s gi hng ha th gii chc gii thch bng bin ng ca chnh n.

3.3. D liu nghin cu

Di d liu ly theo thng, t thng 01/2004 n thng 12/2012, cc ch s ly t Qu tin t

th gii (IMF). Ring ch s sn xut cng nghip ca Vit Nam ly t Tng cc thng k

Vit Nam. Li sut ca cc d tr lin bang M ly t website http://ycharts.com/. Cc ch s

gi v ch s sn xut cng nghip ly theo nm gc l 2005. Ngoi tr bin li sut ly theogi tr phn trm (%), cc bin khc ly theo hm logarit t nhin. Cc nc nghin cu ngoi

Vit Nam l Nht Bn, Hn Quc, Malaysia.Vic ly cc ch s dng logarit t nhin s

lm gim nh hng ca bin ngphi tuyn ca di d liu.Hn na, theo Mala Raghavan

v Param Silvapulle (2007), Trn Ngc Th (2013) u cho rng khi chuyn cc bin c c

tnh khng dng v sai phn p dng VAR l m hnh ng nhng khng hiu qu. V

vy, Mala Raghavan v Param Silvapulle (2007) chn ly logarit t nhin cho cc bin

nghin cu sau tin hnh m hnh SVAR.

Kim nh tnh dng theo phng php ADF ca cc bin ta c nh sau:

Bng 3.3: Kt qu ca kim nh tnh dng theo phng php ADF cho cc bin8

Kim nh tnh dng (theo phng php ADF)

BinKhng sai

phn

Sai phn

bc 1Sai phn bc 2

WCPI -0.433-7.150

-3.624US_IP -3.498** -1.811 -4.570

US_CPI -1.318 -6.243 -10.883

FED -1.079 -3.912 -8.559

8 Cc gi tr ny mang tnh i din, sau khi so snh vi gi tr Test Critical Values cc mc ngha khc nhau, th hin tng bin s dng mc sai phn bc my v dng mc ngha no.


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VN_IP -2.345 -7.033 -8.969

VN_CPI 0.288 -5.614 -13.732

VN_M1 -1.493 -7.974 -8.213

VN_IR -3.376** -6.632 -16.271

VN_EX 0.742 -8.290 -8.094

JP_IP -2.492 -2.77*** -7.694

JP_CPI -2.161 -8.475 -8.178

JP_M1 -0.174 -9.890 -7.800

JP_IR -1.008 -2.164 -14.755

JP_EX -0.483 -8.670 -9.339

Malay_IP -2.173 -11.901 -6.211

Malay_CPI -1.066 -6.774 -13.262

Malay_M1 0.034 -10.015 -10.170

Malay_IR -0.569 -4.715 -19.272

Malay_EX -1.102 -7.285 -10.022

HQ_IP -1.679 -13.970 -5.851

HQ_CPI -0.105 -9.115 -8.448

HQ_M1 -1.307 -9.254 -8.863

HQ_IR -2.098 -5.949 -12.272

HQ_EX -1.976 -7.064 -10.002

Ngun: Tc gi tnh ton v tng hp li t phn mm thng k

Cc sbi m th hin chui d liu mc sai phn tng ng dng vi mc ngha 1%,

du ** th hin dng vi mc ngha 5% v du *** dng vi mc ngha 10%. Qua

bng trn cho thy cc bin a phn u dng sai phn bc 1, t y ta c th s dng kim


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nh ng lin kt da trn phng php VAR ca Johansen9 tm kim mi quan h di

hn gia cc bin, tuy nhin bi nghin cu ny ch tp trung su hn vo m hnh SVAR v

tp trung vo phn ng ng thi trong ngn hn gia cc bin nh gi nh hng ca

chnh sch tin t.Cc bc tin hnh chy m hnh SVAR trn Eviews 6.0 nh sau:

- Bc 1: Kim nh tnh dng ca cc bin.- Bc 2: Chy m hnh theo cch chy ca VAR(vi iu kin cc bin c khai bo

dng mc sai phn thch hp) ra m hnh VAR dng gin lc.

- Bc 3: Kim nh gi tr tr ti u (Lag Structure/Lag Length Criteria).- Bc 4: Kim nh gi tr tr cn loi b v chn m hnh li tr nu c tr

cn loi b (Lag Structure/Lag Exclusion Tests)..

- Bc 5: Kim nh t tng quan phn d(phng php kim nh AutocorrelationLM Test vphng php kim nh Portmanteau Autocorrelation Test).

- Bc 6: Kim nh vng trn n v xc nh m hnh VAR thc s dng haycha. Nu cha th kim nh li cc tr, chy li cho n khi no vng trn n v

ny th hin cc gi tr u


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4.1.1 Hm phn ng y ca sn lng cng nghip trong nc vi cc bin bn ngoi

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

0.04

1 2 3 4 5 6 7 8 9 10 11 12 1 3 14 15 16 17 18 19 2 0

th 4.1 Phn ng ca sn lng cng nghip vi c sc ch s giTh gii (Shock 1)

Phn ng ca bin HQ_IP Phn ng ca b in JP_IP

Phn ng ca bin MALAY_IP Phn ng ca bin VN_IP

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

1 2 3 4 5 6 7 8 9 10 1 1 12 1 3 1 4 1 5 1 6 1 7 18 1 9 2 0

th 4.2: Phn ng ca sn lng cng nghip vi c sc ch ssn lng cng nghip M (Shock 2)

Phn n g c a b in HQ_IP Phn n g ca bin JP_IP


-0.02

-0.015

-0.01

-0.005

0

0.005

0.01

0.015

0.02

0.025

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

th 4.3: Phn ng ca sn lng cng nghip vi c sc ch s ca M (Shock 3)

Phn ng ca bin HQ_IP Phn ng ca bin JP_IP


-0.015

-0.01

-0.005

0

0.005

0.01

0.015

0.02

1 2 3 4 5 6 7 8 9 10 1 1 12 13 14 1 5 16 17 1 8 1

th 4.4: Phn ng ca sn lng cng nghip vi li sut ca Fe(Shock 4)

Phn ng ca bin HQ_IP Phn ng ca bin JP_IP



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Phn ng cu trc ca bin sn lng cng nghip ca cc nc vi cc c sc gn nh t l

thun t k 07 tr i, cc phn ng phn ln khc nhau k ngn hn, phn ng cu trc ca

cc bin s v m ca Vit Nam phn ng mnh hn vi shock 2, 3 v 4 so vi cc nc,

nhng li phn ng yu vi shock 1 k u. Cc bin u phn ng tr vi cc bin v mv bt u phn ng t k 2 tr i. Vi shock 1 v shock 2 th phn ng ny din ra dai dng

kh mnh t k 01 n k 10, sau yu dn. Ngoi ra, phn ng ca Nht Bn v Hn Quc

kh tng ng nhau v ng phn ng bm kh st nhau shock 1 v shock 2. Mc

phn ng ca hai nc ny ch th hin khng ng u shock 3 v shock 4.

Gi tr phn ng ca bin ch s sn xut cng nghip vi cc c shock trung b nh t k 1 n

k 20 l.

WCPI US_IP US_CPI FEDPhn ng ca bin HQ_IP -0.000463 -0.000695 0.000292 -0.000043Phn ng ca bin JP_IP 0.000189 -0.000684 0.000149 0.000388Phn ng ca bin MALAY_IP 0.000103 -0.000004 -0.000107 0.000256Phn ng ca bin VN_IP -0.000915 0.000174 0.000539 0.000055

Bng 4.1: Gi tr trung bnh t k 1 n k 20 phn ng ca bin ch s sn xutcng nghip trong nc (IP) vi cc c sc t bn ngoi

Ngun: Kt qu thut ton t phn mn thng k tc gi thc hin


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4.1.2 Hm phn ng y ca li sut trong nc (IR) vi cc bin v m bn ngoi (trc tung bn phi biu th cho Vit Nam)

-0.3

-0.2

-0.1

0

0.1

0.2

0.3

0.4

5

4

3

2

1

0

1

2

3

4

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

th 4.5: Phn ng ca bin li sut (IR) vi c sc ch s gi Thgii (Shock 1)

Phn ng ca bin HQ_IR Phn ng ca bin JP_IR

Phn ng ca bin MALAY_IR Phn ng ca bin VN_IR

-0.15

-0.1

-0.05

0

0.05

0.1

0.15

8

6

4

2

0

2

4

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

th 4.6: Phn ng ca bin li sut (IR) vi c sc sn lng cngnghip M (Shock 2)



-0.04

-0.03

-0.02

-0.01

0

0.01

0.02

0.03

0.04

0.05

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 2

th 4.7: Phn ng ca bin li sut (IR) vi c sc ch s gi tidng M (Shock 3)



-0.1

-0.08

-0.06

-0.04

-0.02

0

0.02

0.04

0.06

0.08

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19

th 4.8: Phn ng ca bin li sut (IR) vi c sc li sut ca F(Shock 4)

Phn ng ca bin HQ _IR Phn ng ca bin JP_IR



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Phn ng ca li sut kh nhanh nhy vi bin ng ca cc yu t v m bn ngoi, phn

ng ny xy ra ngay k u tin. Sau phn ng mnh k 4 (shock 1), k 2 (shock 2),

k 3 (shock 3). Phn ng li sut ca Vit Nam mnh nht so vi cc nc, sau gim su

cc k tip theo trc khi tin tim cn v gi tr 0. Vi shock 1 a phn cc bin v m phnng m, trong khi shock 2 a phn cc bin u phn ng thun chiu dng. Ring

shock 2 v shock 4, Vit Nam phn ng nghch chiu so vi cc bin v phn ng ny kh

mnh.

Gi tr phn ng ca bin li sut vi cc c shock trung bnh t k 1 n k 20 l

WCPI US_IP US_CPI FED

Phn ng ca bin HQ_IR -0.004962 -0.006582 0.002859 -0.009149Phn ng ca bin JP_IR 0.000251 -0.000434 0.000036 0.000259Phn ng ca bin MALAY_IR 0.001474 -0.002446 -0.002652 0.005299Phn ng ca bin VN_IR 0.009070 -0.004357 -0.008458 0.009568

Bng 4.2: Gi tr trung bnh t k 1 n k 20 phn ng ca bin li sut trongnc (IR) vi cc c sc t bn ngoi



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4.1.3 Hm phn ng y ca t gi hi oi trong nc (EX) vi cc bin v m bn ngoi

006

004

002

0

002

004

006

008

1 2 3 4 5 6 7 8 9 10 11 12 1 3 14 15 16 1 7 18 1 9 20

th 4.9: Phn ng ca bin t gi hi oi vi c sc ch s giTh gii (Shock 1)

Phn ng ca bin HQ_EX Phn ng ca bin JP_EX

Phn ng ca bin MALAY_EX Phn ng ca bin VN_EX

006

005

004

003

002

001

0

001

002

003

004

1 2 3 4 5 6 7 8 9 10 11 12 1 3 14 15 16 1 7 18 1 9 20

th 4.10: Phn ng ca bin t g i hi oi vi c sc sn lng cngnghip M (Shock 2)

Phn n g ca bi n HQ_EX Phn ng ca bin JP_EX


-0.004

-0.003

-0.002

-0.001

0

0.001

0.002

0.003

0.004

0.005

0.006

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 1

th 4.11: Phn ng ca bin t gi hi oi vi c sc ch s gitiu dng M (Shock 3)

Phn ng ca bin HQ_EX Phn ng ca bin JP_EX


-0.006

-0.004

-0.002

0

0.002

0.004

0.006

0.008

1 2 3 4 5 6 7 8 9 10 1 1 12 1 3 1 4 1 5 16 1 7 1 8 1

th 4.12: Phn ng ca bin t gi hi oi vi c sc li sut FE(Shock 4)

Phn ng ca b in HQ_EX Phn ng ca bin JP_EX



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Phn ng cu trc ca bin t gi hi oi danh ngha ca cc nc kh ng u cc nc

trong sut k 1 n k 20. Phn ng kh mnh k 3, k 9-10 shock 1, shock 2 v shock 3.

Nhng vi shock 4 th phn ng mnh k 5, k 9-10 sau gim su k 14 ri mi tin

tim cn v gi tr 0.

Gi tr phn ng ca bin t gi hi oi danh ngha vi cc c shock trung b nh t k 1 n

k 20 l.

WCPI US_IP US_CPI FEDPhn ng ca bin HQ_EX -0.000072 0.000463 0.000102 0.000155

Phn ng ca bin JP_EX -0.000258 -0.000677 0.000525 0.000105Phn ng ca bin MALAY_EX 0.000182 0.000141 -0.000014 -0.000151Phn ng ca bin VN_EX 0.000121 -0.000198 -0.000167 0.000056

Bng 4.3: Gi tr trung bnh t k 1 n k 20 phn ng ca bin t gi hi oidanh ngha trong nc (EX) vi cc c sc t bn ngoi



38/74



4.1.4 Hm phn ng y ca ch s gi tiu dng trong nc (CPI) vi cc bin v m bn ngoi

0015

.001

0005

0

0005

.001

0015

.002

0025

.003

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

th 4.13: Phn ng ca bin ch s gi CPI vi c sc ch s giTh gii (Shock 1)

Phn ng ca bin HQ_CPI Phn ng ca bin JP_CPI

Phn ng ca bin MALAY_CPI Phn ng ca bin VN_CPI

.001

0005

0

0005

.001

0015

.002

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

th 4.14: Phn ng ca bin ch s gi CPI vi c sc sn lng cngnghip M (Shock 2)



-0.0015

-0.001

-0.0005

0

0.0005

0.001

0.0015

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 1

th 4.15: Phn ng ca bin ch s gi CPI vi c sc ch s gitiu dng M (Shock 3)



-0.002

-0.0015

-0.001

-0.0005

0

0.0005

0.001

0.0015

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 1

th 4.16: Phn ng ca bin ch s gi CPI vi c sc li sut FE(Shock 4)




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Qua th cho thy ch s gi tiu dng Vit Nam b nh hng kh mnh bi cc c sc bn

ngoi so vi cc nc. Mc d phn ng ca Vit Nam kh ging phn ng ca cc nc

nhng mc phn ng mnh hn v mc hi phc dch chuyn tr li chm hn so vi

cc nc. Ring shock 2 th phn ng ca Vit Nam quay tr li chm hn k 7 - k 10 sovi cc nc.

Gi tr phn ng ca bin ch s gi tiu dng cc nc vi cc c shock trung b nh t k 1

n k 20 l.

WCPI US_IP US_CPI FED

Phn ng ca bin HQ_CPI 0.000023 0.000027 -0.000009 0.000020Phn ng ca bin JP_CPI 0.000005 0.000044 0.000002 0.000013Phn ng ca bin MALAY_CPI 0.000030 0.000028 -0.000010 0.000009Phn ng ca bin VN_CPI 0.000152 0.000059 -0.000203 0.000040

Bng 4.4: Gi tr trung bnh t k 1 n k 20 phn ng ca bin ch s gi tiudng trong nc (CPI) vi cc c sc t bn ngoi



40/74



4.1.5 Hm phn ng y ca cung tin (M1) vi cc bin v m bn ngoi

0.02

015

0.01

005

0

005

0.01

015

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

th 4.17: Phn ng ca bin cung tin M1 vi c sc ch s giTh gii (Shock 1)

Phn ng ca bin HQ_M1 Phn ng ca bin JP_M1

Phn ng ca bin MALAY_M1 Phn ng ca bin VN_M1

0.01

005

0

005

0.01

015

1 2 3 4 5 6 7 8 9 10 1 1 1 2 13 1 4 1 5 1 6 17 18 1 9 20

th 4.18: Phn ng ca bin cung tin M1 vi c sc sn lng cngnghip M(Shock 2)



-0.015

-0.01

-0.005

0

0.005

0.01

0.015

1 2 3 4 5 6 7 8 9 10 11 1 2 13 1 4 15 16 17 18 1

th 4.19: Phn ng ca bin cung tin M1 vi c sc ch s gitiu dng M (Shock 3)

Phn ng ca bi n HQ_M1 Phn ng ca bi n JP_M1


-0.015

-0.01

-0.005

0

0.005

0.01

1 2 3 4 5 6 7 8 9 10 11 1 2 13 14 15 16 17 18 1

th 4.20: Phn ng ca bin cung tin M1 vi c sc li sut FED(Shock 4)




41/74



Cng nh cc phn ng trn, phn ng cc nc l kh tng ng nhau cng tng v

cng gim cc k, tuy nhin phn ng Vit Nam bin i su hn so vi cc nc trc

khi quay u tr li. Phn ng cung tin ca cc nc th hin khuynh hng tin tim cn

xoay quanh gi tr 0, th hin phn ng yu ca bin cung tin M1 trc cc c sc ngoi sinht bn ngoi.

Gi tr phn ng ca bin cung tin M1 vi cc c shock trung bnh t k 1 n k 20 l.

WCPI US_IP US_CPI FEDPhn ng ca bin HQ_M1 0.000263 -0.000178 -0.000158 0.000417

Phn ng ca bin JP_M1 0.000079 0.000627 -0.000422 -0.000231Phn ng ca bin MALAY_M1 -0.000365 -0.000010 -0.000085 0.000301Phn ng ca bin VN_M1 -0.000716 0.000331 0.000598 -0.000042

Bng 4.5: Gi tr trung bnh t k 1 n k 20 phn ng ca bin cung tin trongnc (M1) vi cc c sc t bn ngoi



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4.2. Phn tch phng sai

Phn tch hay phn r phng sai l mt cng c hu ch, gip c th ha mc cc bin

ni sinh c gii thch bng bao nhiu phn trm bin ngoi sinh. Chi tit nh sau:

K Vit Nam Hn Quc Malaysia Nht BnK 1 - - - -K 6 2.52 6.07 22.62 5.88K 12 4.72 12.26 17.62 7.24K 18 5.43 15.26 22.55 7.30K 24 8.67 16.33 21.53 8.70K 48 10.26 19.44 23.22 11.31K 1 - - - -K 6 6.17 0.85 8.69 5.86

K 12 7.08 10.36 21.45 5.67K 18 7.07 9.13 19.91 7.93K 24 7.07 9.13 19.91 7.93K 48 6.57 11.80 23.08 7.22K 1 - - - -K 6 9.91 5.46 2.36 2.84K 12 8.21 4.79 2.57 8.31K 18 8.49 5.67 2.96 7.31K 24 8.49 5.67 2.96 7.31K 48 9.15 7.41 3.86 5.42K 1 - - - -

K 6 0.26 15.17 11.24 14.46K 12 1.61 15.75 12.35 13.42K 18 2.41 15.60 12.98 11.59K 24 2.41 15.60 12.98 11.59K 48 3.59 13.31 12.56 13.71

Bng 4.6: Phn tch phng sai ca ch s sn xut trong nc (IP) vi cc bin ngoi sinh

Ch s gi sn xut th gii (WCPI) -Shock 1

Ch s sn xut cng nghip M(US_IP) - Shock 2

Ch s gi tiu dng M (US_CPI) -Shock 3

Li sut FED - Shock 4


Ti cc nc ang nghin cu th bin ng trong ch s sn xut cng nghip ca Nht Bn

c gii thch nhiu nht bi c sc ca cc bin ngoi sinh (chng hn vo k 6 l 5.88%,

sang k 24 l 8.7% vi bin WCPI ), trong bin ng ca ch s sn xut cng nghip caMalaysia c gii thch nhiu bi ch s sn xut cng nghip ca M v mc gii thch ny

theo hng tng ln t 0.85% k 6 tng vt ln mc 10.36%, sau y bin ng nh v

mc 9.13% k 24.

Ngoi mc gii thch ca ch s gi tiu dng M th bin ng ch s sn xut cng nghip

cc nc th bin ng sn lng cng nghip Vit Nam khng khc nhiu so vi cc nc


43/74



khc ang so snh, iu ny c th mt phn do giai on ny Vit Nam bt u hi nhp

WTO, ng ch l so vi cc bin ng ca ch s sn xut cng nghip c gii thch

nhiu bi WCPI v xu hng tng ln ny rt r nt.

Tip n l bng phn tch phng sai cho bin ch s gi tiu dng CPI

K Vit Nam Hn Quc Malaysia Nht BnK 1 - - - -K 6 14.38 19.49 10.38 17.83K 12 10.61 19.17 9.85 17.96K 18 11.46 20.24 14.13 20.61K 24 11.35 20.57 14.16 22.49K 48 12.15 21.31 15.73 25.85K 1 - - - -K 6 0.82 3.19 1.29 1.99K 12 4.10 6.86 7.62 9.65K 18 3.95 7.64 7.92 8.39K 24 3.92 8.20 8.36 8.14K 48 4.10 8.70 8.63 7.26K 1 - - - -K 6 7.68 3.58 8.44 6.94K 12 8.48 7.12 6.34 8.86K 18 7.87 6.72 6.94 8.29K 24 8.14 7.83 6.41 7.54

K 48 8.87 8.62 6.19 6.92K 1 - - - -K 6 6.04 9.02 11.37 18.64K 12 4.10 6.86 7.62 9.65K 18 6.15 7.70 12.30 19.48K 24 6.49 8.02 12.32 20.55K 48 6.47 8.14 12.39 22.09

Ch s gi sn xut th gii (WCPI) -

Shock 1

Ch s sn xut cng nghip M

(US_IP) - Shock 2

Ch s gi tiu dng M (US_CPI) -

Shock 3


Bng 4.7: Phn tch phng sai ca ch s gi tiu dng trong nc (CPI) vi cc bin ngoi sinh


Ngc li vi ch s sn xut cng nghip, th mc gii thch ca bin WCPI trong binng ca ch s gi tiu dng Vit Nam c khuynh hng dao ng nh, trung b nh khong

11%. L gii cho iu ny c th l do kinh t Vit Nam chu nh hng ca tnh trng nhp

siu cao trong cc nm gn y, cng nh chu nh hng ln ca gi c hng ha th gii.

Xu hng phn ng vi cc bin ca Vit Nam tri ngc vi cc nc, trong khi Hn Quc,


44/74



Malaysia v Nht Bn th phn ng theo chiu hng tng, th Vit Nam li phn ng theo

chiu hng gim mc tc ng ca cc bin ni sinh.

Tng t, bin ng CPI ca Nht Bn c gii thch ch yu bi bin WCPI v bin

US_CPI, mc gii thch ny c khuynh hng tng nh theo thi gian, trung b nh l21.15% cho bin WCPI v 19.00% cho bin US_CPI (gi tr trung bnh c tnh cho 48 k).

iu ny c phn tng ng vi Hn Quc, mc gii thch ca bin WCPI cho bin ng

ca bin CPI trung bnh l 19.90%.

Bng tip theo l phn tch phng sai cho bin cung tin M1

K Vit Nam Hn Quc Malaysia Nht Bn

K 1 - - - -K 6 28.48 4.67 11.91 17.06K 12 27.30 8.71 13.62 12.96K 18 25.86 8.22 16.62 13.44K 24 25.98 8.88 17.54 13.75K 48 24.48 10.43 19.82 15.00K 1 - - - -K 6 2.92 5.49 8.35 4.04K 12 3.04 5.62 7.07 6.35K 18 3.74 6.38 7.35 7.75K 24 3.97 6.93 7.50 7.22

K 48 4.32 7.93 7.46 7.11K 1 - - - -K 6 2.92 5.49 8.35 4.04K 12 13.21 1.46 7.41 13.57K 18 12.13 2.70 7.36 13.56K 24 14.80 2.81 7.08 13.64K 48 16.16 3.74 6.90 12.29K 1 - - - -K 6 2.92 5.49 8.35 4.04K 12 4.78 20.52 18.09 10.67K 18 4.97 20.68 16.29 11.47

K 24 5.05 21.49 16.63 12.37K 48 5.44 20.00 17.35 13.69

Bng 4.8: Phn tch phng sai ca cung tin M1 trong nc (M1) vi cc bin ngoi sinh

Ch s gi tiu dng M (US_CPI) -Shock 3



Ch s sn xut cng nghip M(US_IP) - Shock 2


So vi cc nc, bin ng trong bin cung tin Vit Nam c gii thch nhiu nht bi bin

WCPI v US_CPI, trong di hn mc gii thch ca WCPI gim dn, ngc vi khuynh

hng gim mc gii thch ca bin WCPI, th bin US_CPI ca M li tng mc gii


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thch trong bin ng ca bin cung tin M1 ca Vit Nam, t mc 16.03% tng nh ln mc

17.29% k 3, sau y li gim dn t ngng 12.28% v quay u tng dn u ln mc

16.16% k 48.

Ngoi ra, bin ng trong cung tin M1 ca Malaysia cng c gii thch nhiu bi binWCPI t mc rt thp 0.31% k 3 tng vt ln mc 13.22% k 5, v tng dn u cho

ti ht k 48 (19.82%).

Bng di y l bng phn tch phng sai li sut bn bun trong nc

K Vit Nam Hn Quc Malaysia Nht BnK 1 18.94 0.02 3.32 31.27K 6 11.06 2.73 14.29 26.52

K 12 7.23 4.84 12.69 25.43K 18 9.24 7.41 11.97 22.95K 24 10.55 7.97 12.26 22.42K 48 11.28 9.75 13.02 21.96K 1 - - - -K 6 1.29 10.25 3.53 2.03K 12 1.30 7.65 7.80 3.01K 18 2.36 6.56 9.85 5.09K 24 2.25 7.02 9.85 5.08K 48 2.76 7.36 10.47 5.49K 1 - - - -

K 6 4.50 6.36 1.86 5.42K 12 4.32 4.83 3.06 5.74K 18 6.65 4.95 4.51 5.21K 24 7.55 5.16 4.75 5.01K 48 9.21 6.17 5.42 4.89K 1 25.59 9.91 6.23 29.94K 6 19.26 11.65 8.61 29.42K 12 14.84 27.73 9.88 28.14K 18 12.90 29.42 11.29 27.45K 24 12.31 26.47 10.74 26.06K 48 12.09 24.50 11.95 24.71



(US_IP) - Shock 2


Shock 3


Bng 4.9: Phn tch phng sai ca li sut bn bun trong nc (IR) vi cc bin ngoi sinh


Nh k vng, khi quan st bin ng li sut ca Vit Nam trong giai on gn y th dng

nh bin ng ca li sut Fed t quan h vi bin ng li sut trong nc Vit Nam. Qua

phn tch phng sai ta thy xu hng nh hng ny gim t 25.59 % k 1 gim

19.26% k 6 ri mc 12.90% k 18, c th l do li sut ca Vit Nam chu chi phi


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nhiu ca Ngn hng nh nc, cng nh sc cu ca nn kinh t cha hi phc k t sau

khng hong ti chnh th gii 2008.

Ngc vi khuynh hng i xung th Hn Quc li c khuynh hng i ln t mc 9.91%

k 1 tng ln mc 29.42% k 18 v gim nh v mc 24.50% k 48.

Bng cui cng l phn tch phng sai ca t gi hi oi trong nc.

Vi t Nam Hn Quc Malaysia Nht BnK 1 11.23 2.02 0.78 0.02K 6 15.12 3.38 3.89 12.66K 12 18.40 6.48 11.88 12.76K 18 18.27 7.01 13.51 12.89K 24 17.89 7.29 13.68 12.55K 48 17.30 8.94 16.00 12.17K 1 9.24 0.19 0.58 1.42K 6 5.87 3.48 4.20 5.73K 12 6.29 4.23 5.14 6.02K 18 6.94 7.71 5.30 8.43K 24 7.17 7.48 5.19 8.12K 48 7.15 7.87 5.16 8.28K 1 14.96 1.25 8.51 0.22K 6 21.07 3.70 13.46 10.38K 12 19.51 3.56 11.66 11.21K 18 18.80 5.15 11.16 11.93K 24 18.36 4.81 11.37 12.14K 48 18.25 5.19 10.67 11.55K 1 19.90 0.44 0.00 0.29K 6 12.57 6.83 8.82 8.30K 12 10.85 18.33 14.17 13.06K 18 10.67 17.50 13.46 12.87K 24 11.50 18.42 13.33 13.08K 48 11.99 17.16 14.71 13.46

Ch s gi sn xut th gii (WCPI) -

Shock 1


(US_IP) - Shock 2


Shock 3


Bng 4.10: Phn tch phng sai ca t gi hi oi trong nc (EX) vi cc bin ngoi sinh


T gi hi oi chu nh hng mnh ca tnh hnh xut nhp khu, cung cu ngoi t quyt

rt ln ln gi tr ca ng tin giao dch hay t gi hi oi. Nht l Vit Nam khi m th

trng M ang tr thnh th trng xut khu chnh ca Vit Nam, nh hng ca tiu dng

M tc ng khng nh n t gi Vit Nam. Qua phn tch phng sai, ti Vit Nam bin

ng trong t gi chu c gii thch nhiu bi bin s WCPI (15.12% cho k 6 v 18.27%

k 18), tip n l Malaysia v Nht Bn.


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Mc gii thch trong bin ng t gi bi cc bin ngoi sinh l nh nht trong cc nc

nghin cu, tr bin FED. Bin FED gii thch ngy cng mnh bin ng trong t gi hi

oi ca Hn Quc t mc 0.44% k 1 tng vt ln mc 6.83% k 6, ri 18.33% k

12,4.3. Phn tch phn ng ca cc bin v m ti Vit Nam

Mt trong nhng nhn t quan trng na l phn tch nh hng ca chnh cc bin s kinh t

v m trong nc vi nhau. iu ny gp phn o lng tng tc gia cc bin s kinh t v

m ti Vit Nam, gip cc nh hoch nh chnh sch c ci nhn tng quan hn v nh

hng ca cc bin s ny

u tin ta i vo phn tch hm phn ng y gia cc bin.


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4.3.1 Hm phn ng y hay hm phn ng xung (Ngun: Kt qu thut ton t phn mn thng k tc gi thc hin)

06

04

02

0

02

04

06

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

th 4.21: Phn ng ca sn lng cng nghip vi c sc v mkhc ti Vit Nam

Phn ng ca bin VN_CPI (Shock 6) Phn ng ca bin VN_M1 (Shock 7)

Phn ng ca bin VN_IR (Shock 8) Phn ng ca bin VN_EX (shock 9)

50E-03

00E-03

00E-04

0E+00

00E-04

00E-03

50E-03

00E-03

50E-03

00E-03

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

th 4.22: Phn ng ca ch s gi tiu dng vi c sc v m khcti Vit Nam

Phn ng ca bin VN_IP (Shock 5) Phn ng ca bin VN_M1 (Shock 7)

Phn ng ca bin VN_IR (Shock 8) Phn ng ca bin VN_EX (shock 9)

-0.01

-0.008

-0.006

-0.004

-0.002

0

0.002

0.004

0.006

0.008

0.01

0.012

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18

th 4.23: Phn ng ca cung tin M1 vi c sc v m khc tiNam

Phn ng ca bin VN_IP (Shock 5) Phn ng ca bin VN_CPI (Shock

Phn ng ca bin VN_IR (Shock 8) Phn ng ca bin VN_EX (shock

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1 2 3 4 5 6 7 8 9 10 1 1 12 13 1 4 15 16 1 7 18

th 4.24: Phn ng ca li sut (IR) vi c sc v m khc ti VNam

Phn ng ca bin VN_IP (Shock 5) Phn ng ca bin VN_CPI (Shock

Phn ng ca bin VN_M1 (Shock 7) Phn ng ca bin VN_EX (shock


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-0.0025

-0.002

-0.0015

-0.001

-0.0005

0

0.0005

0.001

0.0015

0.002

0.0025

0.003

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 2 0

th 4.25: Phn ng ca t gi hi oi danh ngha vi c sc v mkhc ti Vit Nam

Phn ng ca bin VN_IP (Shock 5) Phn ng ca bin VN_CPI (Shock 6)

Phn ng ca bin VN_M1 (Shock 7) Phn ng ca bin VN_IR (Shock 8)


Phn ng ca ch s sn xut cng nghip v ch s gi tiu dng phn ng t l thun vi cc

bin s kinh t v m khc t k 03 tr i. k 01 cc bin hu nh khng phn ng (gi tr

bng 0), phn ng bt u xy ra k tip v th hin r nt cc k di hn. ch s gi

tiu dng phn ng dng vi cc bin mnh k 4 sau gim dn, cn sn lng cng

nghip th phn ng dng mnh k 8, k 10 v m su k 9.Phn ng ca li sut, CPI v t gi vi cung tin M1 kh ng u nhau, nhng phn ng

ca ch s sn xut cng nghip li bin ng theo hng nghch chiu so vi phn ng ca

cc bin s kinh t khc vi cung tin M1 v li sut.

Vi phn ng t gi hi oi danh ngha phn ng thun chiu vi phn ng ca li sut v

cung tin, phn ng ca cung tin M1 v li sut bin ng st nhau trong k 1 10, sau

bin ng cch xa nhau k 11 v k 17 trc khi quay li bin ng st nhau. Trong k 1

v k 2 th phn ng ca ch s cng nghip bin ng nghch chiu so vi cc bin c n li,

phn ng ch s gi tiu dng nghch chiu so vi cc bin cung tin M1 v li sut k 1-2

sau bin ng thun chiu vi hai bin ny k 3 tr i.


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Gi tr phn ng cu trc ca cc bin v m trong nc vi cc c sc khc

VN_IP VN_CPI VN_M1 VN_IR VN_EX

Phn ng ca bin VN_IP -0.00032 0.00102 -0.00007 -0.00009 -0.00047Phn ng ca bin VN_CPI 0.00008 -0.00023 0.00029 -0.00003 0.00035Phn ng ca bin VN_M1 -0.00020 0.00033 -0.00050 0.00008 -0.00055Phn ng ca bin VN_IR 0.03326 -0.00095 0.01227 -0.01821 0.01486Phn ng ca bin VN_EX 0.00010 -0.00022 0.00012 -0.00006 0.00014Ghi ch:VN_IP: C sc t bin ch s sn xut cng nghip (shock 5)VN_CPI: C sc t bin ch s gi tiu dng CPI (shock 6)VN_M1: C sc t bin cung tin M1 (shock 7)VN_IR: C sc t bin li sut (shock 8)VN_IP: C sc t bin t gi hi oi danh ngha (shock 9)

Bng 4.11: Gi tr trung bnh t k 1 n k 20 phn ng ca cc bin v m trong nc vi cc c sc khc

ti Vit Nam


4.3.2 Phn tch phng sai.

VN_IP VN_CPI VN_M1 VN_IR

K 1 100.00 - - -

K 6 65.39 10.86 2.37 2.05

K 12 43.27 22.28 8.27 1.65

K 18 41.71 21.78 7.52 1.80

K 24 37.73 21.67 8.29 1.74

K 48 35.39 20.75 8.36 1.97

K 1 0.08 99.92 - -

K 6 4.69 33.74 27.40 0.66

K 12 4.11 41.39 17.20 1.47

K 18 4.13 41.65 15.64 1.44

K 24 4.23 39.75 16.95 1.49

K 48 4.96 37.92 16.10 1.52

K 1 9.43 4.84 85.74 -

K 6 8.62 13.64 24.90 1.65

K 12 9.23 15.69 22.32 2.12

K 18 9.05 17.62 20.91 2.17

K 24 8.74 16.06 19.60 2.23

K 48 9.83 15.63 18.02 2.44

K 1 18.38 1.14 10.17 25.80

K 6 12.12 28.23 20.07 8.43

K 12 12.12 28.23 20.07 8.43

K 18 11.72 29.08 17.19 7.64

K 24 10.99 28.00 16.89 7.27

K 48 11.02 26.12 16.14 6.73

K 1 6.05 14.36 1.47 1.09

K 6 4.62 15.38 9.81 0.79

K 12 4.91 15.55 10.22 1.20

K 18 5.45 15.64 10.50 1.29

K 24 5.56 15.61 10.42 1.46

K 48 6.21 16.19 10.13 1.83

Ch s li sut bn bun (VN_IR) -Shock 8

T gi hi oi (VN_EX) - Shock 9

Bng 4.12: Phn tch phng sai ca cc bin ni sinh ti Vit Nam

Ch s sn xut cng nghip trongnc (VN_IP)-Shock 5

Ch s gi hng ha tiu dng(VN_CPI)-Shock 6

Ch s cung ti n M1 (VN_M1) -Shock7



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Phn tch phng sai gip ta c ci nh n chi tit hn v phn ng v tc ng gia cc bin.

Theo , bin ng ca ch s sn xut cng nghip c gii thch nhiu nht bi bin CPI

trong nc, trung bnh 48 k mc 18.86%, cao nht l 22.46% k 20; bin ng ca CPI

c gii thch nhiu nht bi bin cung tin M1, trung b nh 48 k mc 16.51%; bin cungtin M1 c gii thch nhiu nht bi bin CPI, trung b nh 48 k l 14.71%; bin li sut

c gii thch nhiu nht bi bin CPI, trung bnh 24.72% cho 48 k; cui cng l t gi hi

oi c gii thch nhiu nht bi bin CPI, trung bnh 48 k l 15.37%.

Nhn chung cc bin v m trong nc gii thch t trong bin ng ca cc bin v m khc,

c th mt phn do cc bin ny ch yu chu tc ng ln bi ch trng chnh sch ca nh

nc v do NHNN trc tip qun l.

V. KT LUN V HN CH NGHIN CU

Qua phn tch hm phn ng y, phn tch phng sai theo phng php SVAR cho ta ci

nhn tng quan v phn ng gia cc bin s ni sinh v bin s ngoi sinh. Mc nh

hng ca cc bin ngoi sinh l dai dng v c xu hng tng theo thi gian. So vi cc

nc th li sut chu tc ng nhiu bi bin ch s gi c hng ha th gii (WCPI) v bin

li sut FED sau Nht Bn, trung bnh ln lt l 12.29% v 5.96%, bin li sut c xu hng

chu nh hng t bi bin ng ca li sut Fed, tng nh nh hng ca bin ch s sn xutcng nghip M, mt phn c th do ngoi M, Vit Nam vn xut khu ln sang rt nhiu

th trng khc nht l Chu u v Trung Quc.

Bn cnh bin ng trong cung tin M1 ca Vit Nam c gii thch nhiu bi bin ch

s gi c hng ha th gii (WCPI) v CPI trong nc ln lt l 25.46% v 14.71% tnh

trung bnh trong 48 k; ngoi ra bin ch s t s gi hi oi ca Vit Nam c gii thch

nhiu bi bin ch s CPI ca M (US_CPI) v ch s CPI trong nc ln lt l 18.79% v

15.37% trung bnh tnh cho 48 k.Tng t nh bin cung tin M1, bin CPI ca Vit Nam

chu nh hng nhiu bi WCPI v bin cung tin M1 ln lt l 12.29% v 16.51% trung

bnh cho 48 k.


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Bi nghin cu gip a ra mt ci nhn tng quan phn ng ca cc c sc ti nn kinh t

Vit Nam so vi cc nc khc nh th no, o lng mc gii thch bin ng ca cc

bin s v m Vit Nam cng nh cc nc so snh.

Tng t nh nghin cu ca Nguyn Phi Ln, bi nghin cu cng cho thy rng li sut vch s sn xut cng nghip ca Vit Nam b nh hng mnh bi bin WCPI. Ngoi ra, bi

nghin cu cho thy thm rng trong cc bin nghin cu ti Vit Nam bin cung tin M1 b

nh hng mnh nht vi bin ch s gi c hng ha th gii (WCPI) v c khuynh hng

gim nh (t mc 27.65% k 2 gim nh v mc 24.48% k 48). Hn na, so vi cc bi

nghin cu trc y, bi nghin cu cho thy bin CPI ca Vit Nam phn ng mnh vi

bin ch s gi tiu dng ca M (US_CPI) trung bnh 8.00% cho 48 k, ln nht trong cc

nc nghin cu.

Bn cnh cc kt qu t c, bi nghin cu cng gp phi khng t cc hn ch thng

gp nh ch s gi sn xut cng nghip, ch s gi hng ha th gii, ch s gi tiu dng cc

nc thng c tnh ring cho tng nc, mi nc c quan im cng nh la chn cc

gi hng ha lm tiu chun khc nhau. Mc d bi nghin cu la chn thng nht mt

ngun d liu tin cy(IMF) nhng hn ch ny kh trnh khi. Hn na, d liu v m Vit

Nam, nht l ch s sn xut cng nghip ang trong giai on hon chnh nn khng trnh

khi nhng thiu st khi tnh ton d liu nghin cu.Hn na, bi nghin cu ch dng li

vic xc nh phn ng cc c sc kinh t v o lng gi tr trongphn tch phng sai m

cha i su vo kim nh cc hin tng puzzle (tm dch l vn rc ri kh gii quyt)

c th xy ra khi nghin cu chnh sch tin tgip o lng su hn phn ng ca cc bin

s.

Hin tng puzzle gm mt s tnh hung sau:


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STT Loi M t1 The output puzzle Sn lng tng khi tht cht chnh sch tin t2 The liquidity puzzle Cu tin c xu hng tng ln khi tht cht chnh sch tin t3 The price puzzle Gi c tng ln khi tht cht tin t

4 The exchange rate puzzle

ng ni t mt gi (t gi tng) ngay lp tc hoc tng gi sutthi gian di khi c c sc tng li sut. Theo ng l thuyt, ngni t tng gi ngay lp tc khi tng li sut v mt gi trong tnglai theo l thuyt kinh doanh chnh lch li sut khng phng nga

Bng 4.13: Cc loi puzzle ph bin trong nghin cu thc nghim

Ngun: Trn Ngc Th (2013) C ch truyn dn chnh sch tin t Vit Nam tip cn

theo m hnh SVAR, Tp tr pht trin & hi nhp

Cui cng, d c gng hon thin bi nghin cu c sc chnh sch tin t Vit Nam ttrong mi quan h so snh vi cc nc, gip loi b nhng nh gi ch quan ri ng cho Vit

Nam, nhng tc gi cng cha th nh gi bao qut ht c cc vn trong chnh sch

tin t. V th tc gi cng xut nghin cu v:

- Nghin cu cc c sc ngoi sinh tc ng n ch s gi vng, ch s gi chng khontrong nc. (Cc c sc ngoi sinh tp trung vo gi du m, gi vng v gi chng

khon ca mt s th trng ln trn th gii)

- Nghin cu c sc t M, Trung Quc v Chu u ti ch s xut nhp khu ca VitNam. (bi l y l ba nc ang c xem l c nh hng ln ti kinh t th gii,

trong c Vit Nam, nht l trc v sau khng hong ti chnh 1997 v 2008).


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Nghin cu cc c sc tc ng n cc bin s kinh t v m Vit Nam


PH LC I

TNG QUAN NN KINH T VIT NAM

Vit Nam l mt nc ang pht trin vi dn s ng, hn 30 nm qua Vit Nam vn ang tri qua

gii on phc hi nn kinh t sau s tn ph nng n ca chin tranh, s mt mt ch da v ti

chnh sau khi Lin bang X vit tan r cng nhs cng nhc ca nn kinh t k hoch ha tp trung

tht li nn kinh t. Sang thp nin 1990, m nt hn l k t khi tng thng M Bill Clinton

thng bo quyt nh bi b lnh cm vn thng mi i vi Vit Nam (3/2/1994),tip l hip

nh thng mi song phng Vit M (25/7/1999), hay Vit Nam gia nhp WTO (2006), kinh

t Vit Nam c nhiu chuyn bin tch cc, hi nhp su rng vi sn chi chung cho tt c cc

nc.

Bi lun vn gii thiu s nt mt s kha cnh kinh t Vit Nam thng qua mt s ch tiu sau:

1.1 V GDP:

GDP ca Vit Nam tng trng u qu

nghien cuu cac cu soc tac dong den cac bien so vi mo cua viet nam_svar

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