9/13/2012

1

Sai Lch T gi Vit NamSai Lch T gi Vit Nam

NhmtcgiVQucHuy

V Phm Hi ngVPhmHingNguynTh ThuHng

NiDung

GiiThiu Nhngxuhngt gigny

Tnhtont githchuhiu(REER) clngt gicnbng Xcnhmc sailcht gi

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9/13/2012

2

Mctiu

Nghincunyxutphttmtcuhith t th h h h hthct thngcccnhhochnhchnhschbnbchinnayVitNamcnnphgingnit khng?

Chngtikhngcnhtr litrctipcuhinynhngs cungcpnhngthngtiny g g p g gcth gipchchoccnhhochnhchnhschVitNamqunlt gitthn.

3

Nhngxuhngt gigny T giVitNamcqunlv c bntheoch neo t gi c iu chnh trong giai onch neot giciuchnhtronggiaion20002012.

Giaion20082011chngkinnhngplcphgimnhm caVNDvit l phgilnn30%tronglnphgimnhnhtl9,3%vothng2/2011.g

ycnglgiaionth trngngoihicnhiubinngc doiukinth trngvdotcngcachnhsch.

4

9/13/2012

3

Nhngxuhngt gigny

21500

22500

ND

/USD

17500

18500

19500

20500VN

5

16500

2/01

/200

923

/02/

2009

8/04

/200

926

/05/

2009

7/07

/200

919

/08/

2009

2/10

/200

913

/11/

2009

25/1

2/20

095/

2/10

18/3

/201

028

/4/2

010

9/6/

1013

/07/

2010

11/0

8/20

1010

/09/

2010

09/1

0/20

109/

11/1

020

/12/

2010

8/02

/201

121

/03/

2011

5/05

/201

115

/06/

2011

26/0

7/20

117/

09/2

011

18/1

0/20

1128

/11/

2011

17/0

1/20

128/

03/2

012

19/0

4/20

121/

06/2

012

Parallel Market Rate Commercial Bank Rate Official Rate

Nhngxuhngt gigny

21000

22000

D/U

SD

15000

16000

17000

18000

19000

20000VND

6

15000

2/1/

0827

/2/0

821

/4/0

812

/6/0

81/

8/08

23/9

/08

4/12

/08

2/2/

0926

/3/0

926

/5/0

916

/7/0

910

/9/0

93/

11/0

924

/12/

0915

/2/2

010

6/4/

2010

27/5

/201

011

/07/

2010

16/0

8/20

1022

/09/

2010

28/1

0/20

1015

/12/

2010

14/0

2/20

115/

04/2

011

31/0

5/20

1120

/07/

2011

12/0

9/20

111/

11/2

011

29/1

2/20

111/

03/2

012

23/0

4/20

12

Official ER Upper boundLower bound Commercial bank ER

9/13/2012

4

Ccnghincuv t gicnbng

T gicnbngc s (FEER):t githcttha mn ng thi cn i bn trong v bnthamnngthicnibntrongvbnngoi.Nhngnghincutheophngphpnybaogm:Williamson(1994),IMFsCGER(2006).

T gicnbnghnhvi(BEER):cxcnhbi mt phng trnh hnh vi nh trongbimtphngtrnhhnhvinh trongClarkvMacDonald(1998),Frait etal.(2004),Jongwanich (2009).

7

Phngphptipcncachngti

TnhREERvs dngnlmt giahphng.

pdngphngphpBEER clngtgicnbng.

Davot gicnbngclngtnh mc sai lch ca t gitnhmc sailchcat gi.

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9/13/2012

5

REER

TnhREER:

jtn

wjtt jt

j=1 t

PREER = (e )

P

n s lng cc nc bn hng lnejt t gi danh ngha VND vi ng tin ca nc j ti thi im tP ch s gi ni aPt ch s gi ni aPjt ch s gi nc jwjt quyn s cho ng tin nc j ti thi im t (t trngthng mi vi nc j trong tng kim ngch thng mi ca VitNam vi cc nc c chn).

9

Lachntnsuts liu REERctnhmts nghincuv VitNam(NguyenThiThuHang,2011,NguyenTranNam (Nguyen Thi Thu Hang, 0 , Nguyen TranPhuc andNguyenDucTho,2009,IMF,2006)nhngch yutheonmv/hocvis liuc.

clngt gicnbng,chngticnREERtheothnghocqu.TnhREERtheothnglkhtnkmvmts ccchuis liukhcdng clngt gicnbng VitNamdng c lng t gi cn bng Vit Namcngkhngctheothng.

Bivy,vinghincucachngti,tnhREERtheothngltiu.

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9/13/2012

6

Mts clngREERc

11

Lachnitcthngmi

S dngcngnhiuitcthngmithREER h h h T hi REERcngchnhxchn.Tuynhin,avoqunhiuitcthngmis lmtngchiphvcngkhthuthps liu.

Chngtitinhnhmtth nghimnhbngcchsosnhktqu caREERthug qct s lngccitc(mu)khcnhau.

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9/13/2012

7

Lachnitcthngmi

13

Lachnitcthngmi

Khngcs khcbitlnv xuhnggia3 t 3mutrn.

REERtnhtheonhm20ncrtgnvitnhtheonhm47ncnhngcs khcbittngivinhm14nc.

Do chng ti s dng nhm 20 nc iDo,chngtis dngnhm20ncitclnnht.

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9/13/2012

8

Ktqu tnhREER:20002010

8.8

8.9

8 5

8.6

8.7

8.4

8.5

00 01 02 03 04 05 06 07 08 09 10

LNREER LNREER_HP15

Ktqu tnhREER:20002012

7500

8000

8500

5000

5500

6000

6500

7000

16

4000

4500

9/13/2012

9

T gicnbng

Mhnhhnhvi

NFA:tisnncngoirng() PROD:chnhlchnngsut() TOT:iukinthngmi(+/) OPEN:m cannkinht (+)

( , , , , , , )=REER f NFA PROD TOT OPEN GEXP FDI RR

GEXP:chitiuchnhph (+/) FDI:ut trctipncngoi() RR:chnhlchlisutthc()

17

T gicnbng

Chngticlngphngtrnhbngphng php phn phi tr t hi quyphngphpphnphitr t hiquy(ARDL)didngiuchnhsais

T gicnbngctnhbngcchaccgitr dihncaccbingiithch(cctheophngphplcHP)vophngtrnhc lngclng.

S liu:theoqu,giaion20002010,t sliucaIFS,GSO,FEDatSt.Luis

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9/13/2012

10

T gicnbng

ARDLdidngiuchnhsais :

Trong:

Yt lREERtithiimt

1 2

0 1 1 1 , ,1 0

( )l l

t t t j t j i j i t j tj j

Y Y X Y X e = =

= + + + +

Xi,t lbinkinht vmc bni tithiimt (NFA,PROD,TOT)

19

Ktqu caARDL

TOT,OPEN,vRRkhngcnghathngkv c loi bvcloib

PRODvFDIthucngdu:PRODtng1%dnnREERtng1,94%FDItng1%dnnREERtng0,16%

Dohnch v s liu,chngtikhngth tchtcngcaGEXPivihngthng

mivphithngmi.GEXPtng1%dnnREERtng0.41%.

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9/13/2012

11

Ktqu caARDL

Thams caNFAngcdusovimongi( ) NFA t 1% d REER i 0 25%(+).NFAtng1%dnnREERgim0,25%

iunycth ldonhngthayitrongNFAkhngphnnhnhngthayitrongthunhpmcth phnnhvicadngha trnhriro.

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T gicnbng

8.8

8.9

8.5

8.6

8.7

8.4

2000

Q1

2000

Q2

2000

Q3

2000

Q4

2001

Q1

2001

Q2

2001

Q3

2001

Q4

2002

Q1

2002

Q2

2002

Q3

2002

Q4

2003

Q1

2003

Q2

2003

Q3

2003

Q4

2004

Q1

2004

Q2

2004

Q3

2004

Q4

2005

Q1

2005

Q2

2005

Q3

2005

Q4

2006

Q1

2006

Q2

2006

Q3

2006

Q4

2007

Q1

2007

Q2

2007

Q3

2007

Q4

2008

Q1

2008

Q2

2008

Q3

2008

Q4

2009

Q1

2009

Q2

2009

Q3

2009

Q4

2010

Q1

2010

Q2

REER REER_HP BEER

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9/13/2012

12

lchcat gi

T githcRER' ' '

T githccnbngdihnRER*

Sailcht gihinti

' ' '1 1 2 2= + + +t t t t tRER Z Z T

* ' 't 1 1t 2 2tRER =b Z +b Z

'

Tngsailch

'= +t t tCM T

' ' '1 1 1 2 2 2( ) ( )= + + + t t t t t t tTM T Z Z Z Z

23

Tngsailch.3

.0

.1

.2

-.2

-.1

00 01 02 03 04 05 06 07 08 09 10

total misalignment

24

9/13/2012

13

Sailchhintai

1

.2

.3

-.4

-.3

-.2

-.1

.0

.1

-.6

-.5

00 01 02 03 04 05 06 07 08 09 10

current misalignment

25

Ccktqu ch yu

REERhinhnhb nhgicaosovigit b t b th k tr cnbngtrongbanmucathpk vlicxuhngnytrongbanmcuicagiaionnghincu.

Sailcht gic binnglnvclclntihn20%.%

Huhts sailcht giudoccyutngnhn.

26

9/13/2012

14

M rng

nhgitcngcasailcht giivit kh h khxutkhuvnhpkhu.

nhgitcngcachnhschqunltgiivin.

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