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Bài viết cung cấp kết quả nghiên cứu thực nghiệm về phá giá nội tệ
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1PH GI NI T: HIU NG TUYN J HAY TUYN S ?Th.S inh Th Thanh Long - Hc vin Ngn hng
inh Th Minh Tm S giao dch 3 - BIDV Vit Nam
1. Vn nghin cuVn ph gi ni t ci thin sc cnh tranh thng mi quc t
ca mt quc gia thng qua khuyn khch xut khu v hn ch nhp khu c nhiu hc gi cp ti trong nhiu nm qua. Phng php tip cn
h s co gin u tin c khi xng bi Bickerdike - Robinson - Metzler(BRM, 1920; 1947; 1948), sau Marshall - Lerner pht trin thnh iukin Marshall - Lerner (Marshall - Lerner condition MLC). Theo MLC, cncn thng mi c ci thin khi v ch khi tng ca h s co gin gi trxut khu v nhp khu ln hn 1. Tt nhin khi t gi danh ngha cao hnt gi cn bng ca th trng th trn th trng tn ti d cung ngoi t vd cu ngoi t khi t gi thp hn mc t gi cn bng. Vi cc nhn t
khc khng i, khi mt quc gia tin hnh ph gi ni t, quc gia kvng ni t gim gi s ci thin sc cnh tranh thng mi quc t ca
quc gia . Do vy, MLC tr thnh gi thit c bn cc quc gia tinhnh ph gi ni t.
Tuy nhin, trong nghin cu ca Krugman v Dornsbusch (1976), chra l ph gi ni t ci thin cn cn thng mi khi hiu ng khi lngvt tri so vi hiu ng gi c, tc l cn khong thi gian sau khi ph gi nn kinh t c phn ng li khi ni t gim gi, cho nn hiu ng tuyn J
c hnh thnh. Nhng nghin cu thc nghim ca mt s quc gia,khng phi quc gia no tin hnh ph gi ni t s tun th ng theo hiung tuyn J m c th theo hiu ng tuyn S. Din gii mt cch n gin
2l: nu sau khi ph gi ni t, cn cn thng mi b thm ht v sau cncn thng mi c ci thin theo ng cong J. Nhng, mt s nc,
sau khi ph gi ni t, cn cn thng mi c th xu i, sau mt khong
thi gian c ci thin, sau li thm ht, v li thng d, tc l xuhng ci thin hoc thm ht cn cn thng mi l khng r rng. Vidin bin cn cn thng mi nh vy, ngi ta gi l hiu ng tuyn S haytuyn M. Vy bi vit ny trng tm xem xt vn : thc t Vit Namtrong nhng nm qua, NHNNVN nhiu ln ch ng ni rng bin giao ng ca t gi duy tr VND nh gi danh ngha thp khuynkhch xut khu v hn ch nhp khu, vy th VND mt gi c tun ththeo tuyn J hay tuyn S t kin ngh i iu lin quan n viciu hnh chnh sch t gi ca Vit Nam.2. Cc vn l thuyt2.1. M hnh 1 - M hnh gp phn tch tc ng ph gi
Cch tip cn co gin i vi cn cn thng mi cung cp cho chngta mt cch phn tch v nhng thay i trong cn cn thng mi khi m
mt nc ph gi ni t. Ban u, m hnh ny a ra mt s gi nh nhmn gin ha vn : m hnh tp trung vo cc iu kin cu v gi nh co gin ca cung i vi cc hng ha ni a xut khu v hng nhp khut nc ngoi l co gin hon ton, do vy thay i ca cu s khng c tcng no n mc gi. Nhng gi nh ny c ngha l hng ha trongnc v hng ha nc ngoi c mc gi c nh, do s thay i trongmc gi tng i ca chng hon ton l do s thay i ca t gi hi oidanh ngha.
a. Cc phng trnh ca m hnhThng ip ch yu ca cch tip cn co gin l tn ti hai tc ng
trc tip ca vic ph gi ng tin ti cn cn thng mi, tc ng th
3nht l lm gim thm ht trong khi tc ng th hai li gp phn lm chomc thm ht tr nn xu hn. Chng ta hy xem hai tc ng ny mt cchchi tit hn:
Cn cn thng mi tnh theo ni t c ghi nh sau:
Qf
Q MPEXPTB ... = (2.1)Trong , P l mc gi trong nc, QX l khi lng hng ha ni a
xut khu, E l t gi danh ngha (s n v ni t tnh trn mt n v ngoi
t), P f l mc gi nc ngoi v QM l khi lng hng nhp khu. Chng
ta t gi tr ca hng ni a xut khu (P QX ) bng X, trong khi gi tr hngnhp khu t nc ngoi tnh theo ngoi t (P f QM ) s l M.
Phng trnh (2.1) khi s tr thnh:MEXTB .= (2.2)
Vit (2.2) di dng vi phn, chng ta c:
MdEEdMdXdTB = (2.3)Chia (2.3) cho mc thay i ca t gi dE, chng ta s thu c:
dEdEM
dEdME
dEdX
dEdTB
= (2.4)
Trc khi phn tch tc ng ca ph gi, chng ta a ra hai nh
ngha v co gin l:
- Co gin gi ca cu i vi hng xut khu X : c tnh bngphn trm thay i ca gi tr hng xut khu chia cho phn trm thay ica t gi.
Cng thc nh sau:EdEXdX
X //
=
Do vyE
XdEdX X.= (2.5)
4- Co gin gi ca cu hng nhp khu M : c tnh bng phn trmthay i ca gi tr hng nhp khu chia cho phn trm thay i ca t gi
EdEMdM
M //
= NnE
MdEdM M.= (2.6)
Vy: MMEX
dEdTB
MX += (2.7)
t M l tha s chung ta c:
+= 1MXEM
XMdE
dTB (2.8)
Gi s rng ban u, cn cn thng mi TB l cn bng X/EM = 1,sp xp li cng thc (2.8) th ta s c:
( )1+= MXMdEdTB (2.9)
Nh vy ci thin cn cn thng mi khi ph gi th iu kin sau
phi c tha mn: ( ) 01 >+ MX (2.10)b. iu kin Marshall - Lerner
Phng trnh (2.10) c bit n vi tn gi l iu kin Marshall -Lerner. iu kin ny pht biu: vi im xut pht l trng thi cn bngcn cn thng mi, vic ph gi s gip ci thin cn cn thng mi, tc ldTB/dE > 0 nu tng co gin ca cu nc ngoi i vi hng xut khuvi co gin ca cu trong nc i vi hng nhp khu ln hn mt, tc
l khi ( )1>+ MX . Nu tng ca hai co gin ny nh hn mt th vicph gi s lm tn hi cn cn thng mi.
2.2. M hnh 2 - M hnh hai th trng phn tch tc ng ca ph gi
5M hnh trn cho ta bit c mt cch khi qut vai tr ca vic phgi ni t n cn cn thng mi, tuy nhin ton b lp lun da vo githit ca Keynes. Trong mc ny ta s xt m hnh chi tit hn, ngha l
chng ta s xt c hai th trng xut khu v nhp khu. Nh ta bit, cunhp khu ca mt nc c th xem l phn d ca cu ni a v cung nia, ngha l ta c:
M = D - S, trong M l cu nhp khu, D l cu hng ha v dchv; S l cung trong nc v hng ha v dch v.
Chng ta mun phn tch nh hng ca vic nc A ph gi ngtin ln cn cn thng mi ca n. Ta hy xt hai th trng (i) th trngxut khu ca A, trong A l nc cung cho xut khu cn nc ngoi cu
cho hng ha cung ca A; (ii) th trng nhp khu ca A, trong ncngoi l nc cung cho hng nhp khu ca A, cn A l nc cu hng nhpkhu. Khi ta ni tnh theo tin trong nc c ngha l tnh theo tin ca ncA (nc ch nh).
a. Th trng xut khuTrong th trng xut khu, gi thit hm cung xut khu c dng:
0,0 = XS XPXX (2.11)Trong : X S l lng cu cung cho xut khu, X 0 l h s (phn
xut khu khng ph thuc vo gi); P l gi tnh theo tin trong nc cahng xut khu; X l co gin ca cung ca xut khu theo gi. Didng loga, phng trnh (2.11) c th vit li nh sau:
LnPLnXLnX XS += 0Trong th trng xut khu, gi thit hm cu xut khu c dng:
0,0
=
XD
X
EPXX
(2.12)
6Trong : l X D lng cu xut khu, X 0 l h s (phn cu xut
khu khng ph thuc vo gi); P/E l gi tnh theo tin nc ngoi cahng xut khu; X l co gin ca cu xut khu theo gi. Di dngloga, phng trnh (2.12) c th vit li nh sau:
LnELnPLnXLnX XXD += 0b. Th trng nhp khuTrong th trng nhp khu ta gi thit hm cung nhp khu c dng:
0,0
= M
f
S
M
EPMM
(2.13)
Trong : SM l lng cung cho nhp khu, OM l h s chn (phn
cung cho nhp khu khng ph thuc vo gi); Pf
l gi tnh theo tin trong
nc ca nc cung hng xut khu; M l co gin ca cung ca hngnhp khu theo gi. Di dng loga, phng trnh (2.13) c th vit li nhsau:
LnELnPLnMLnM Mf
MOS +=Trong th trng nhp khu, ta gi thit hm cu nhp khu c dng:
( ) 0, = MfOD MPMM (2.14)Trong : DM l lng cu nhp khu, OM l h s chn (phn cu
nhp khu khng ph thuc vo gi); M l co gin ca cu nhp khutheo gi. Di dng loga, phng trnh (2.14) c th vit li nh sau:
fMD LnPLnMLnM = 0
c. iu kin cn bng
Trong th trng xut khu:
iu kin cn bng trong th trng xut khu l:
7X
X
EPXXPXX DS
=== 00 (2.15)
Ly loga c hai v ca phng trnh (2.15) ta c:LnELnPLnELnPLnP xxxx +== )(
T ta c:
xx
x
EPLnELnPxx
x
+
=+
=
XX
XX
X EXPXXS
+== 00
Trong th trng nhp khu:
iu kin cn bng trong th trng nhp khu l:
( ) MM fDfS PMMEPMM
==
=00 (2.16)
Ly loga hai v ca phng trnh (2.16) ta c:f
MMf
M LnPLnELnP =
Hay: MMM
EPLnELnP fMM
Mf
+
=+
=
2.3. Tc ng ca ph gi n cn cn thng mia. Biu din cn cn thng mi theo ni t
Qf
Q MPPXTB =
Trong : XQ l lng hng ha xut khu, MQ l lng hng hanhp khu; P l gi trong nc ca hng ha xut khu; fP l gi ca hngha nhp khu tnh theo ng tin trong nc.
8T nhng kt qu trnh by trn ta c th biu din cn cnthng mi tnh theo ni t di dng:
MM
MM
XX
XX
EMEXTB
+
+
+
=
)1(
0
)1(
0 (2.17)Ly o hm ca TB theo t gi E ta s c:
1)1(
0
1)1(
0)1()1( +++
+
+
+=
MM
MM
XX
XX
EMEXdE
dTBMM
MM
XX
XX
(2.18)
Gi s 11)1(1)1(
==
+
+
+
MM
MM
XX
XX
EE
V gi s KMX == 00 , khi ta c:
( )MM
MM
XX
XXKdE
dTB
+
+
+=
)1()1( (2.19)
Hay:
++
++= ))((
)1()1(MMXX
MXMXXMMXKdE
dTB
(2.20)
* iu kin Bickerdicke - Robinson - MetzlerT (2.20) ta d dng thu c iu kin Bickerdicke - Robinson -
Metzler:
0))(()1()1(0
++
++
MMXX
MXMXXMMX
dEdTB
(2.21)
S dng gi thit Keynes rng MX , , khi ta c:
LimLimMX
)1())(()1()1(
MXMMXX
MXMXXMMX
=
++
++ (2.22)
* iu kin Marshall - Lerner
iu kin Marshall - Lerner c th rt ra t cng thc (2.22) nh sau:
10)1(0 + MXMXdEdTB (2.23)
Nh vy ta li thu c kt qu nh trong m hnh 1.
b. Biu din cn cn thng mi theo ngoi t
91)1(
0
1)1(
0
+
+
+
==MM
MM
XX
XX
EMEXE
TBTB F
0)1)1(()1)1((2)1(2)1(
0 +
+
+=
+
+
+
MM
MM
XX
XX
EMEXdE
dTBMM
MMO
XX
XXF
(2.24)
Ph gi thnh cng (gi thit 12)1(2)1(
==
+
+
+
MM
MM
XX
XX
EE
)
0)1)1(()1)1((0 0 +
+
+
MM
MMO
XX
XXF MXdE
dTB
(2.25)
S dng gi thit KMX == 00 v s dng gi thit Keynes rng QX ,
LimLimMX
)1())(()1()1(
MXMMXX
MXMXXMMX
=
++
++ (2.26)
Hay 10)1(0 + MXMXdEdTB (2.27)
2.4. Cc hiu ng xy ra khi mt ng tin b ph gia. Hiu ng gi c
Gi hng ho xut khu tr nn r hn khi tnh theo ngoi t. Gihng ho nhp khu tr nn t hn khi tnh bng ni t. Hiu ng gi r
rng gp phn lm xu thm thng mi ca nc A.b. Hiu ng khi lngVic gi hng xut khu r hn s khuyn khch xut khu nhiu
hng ha hn, v hng nhp khu t hn s lm gim s lng hng nhp
khu i. Hiu ng khi lng r rng gp phn lm ci thin cn cnthng mi.
Hiu ng rng ty thuc vo hiu ng gi c hay hiu ng khi lngtri hn. Vic s lng hng xut khu tng ln v hng nhp khu gim i
khng b p cho s tin thu c t xut khu gim i v s tinnhp khu tr cho pha nc ngoi tng ln. Thng thng, cuc ph gi ni
10
t c coi l thnh cng khi v ch khi tng ca h s co gin gi tr xut
nhp khu ln hn 1: 1+ MX Mt cng thc phc tp hn c th c xy dng v n cho
php co gin cung ca xut khu v nhp khu nh hn v cng. Tcng ca co gin cung hng xut khu nh hn v cng l lm gim nh
yu cu v co gin cu hng nhp khu, n c ngha l cn cn thngmi c th c ci thin ngay c khi tng co gin ca cu nh hn mt.
Nu co gin cung ca xut khu v nhp khu nh hn v cng th victng cu xut khu t nc ngoi s lm tng gi hng xut khu tnh theo
ni t, v iu ny s gip h tr tng doanh thu xut khu. Tng t, gimcu nhp khu hng nc ngoi s c tc ng lm gim gi hng nhp khutnh theo ngoi t v v vy lm gim khon chi cho hng nhp khu. C haihiu ng ny s khng tn ti trong trng hp co gin cung bng vcng nh chng ta va gi nh.
2.5. Hiu ng tuyn JCho ti gi, chng ta gi nh iu kin Marshall - Lerner c
tha mn, tc l ph gi s lm ci thin cn cn thng mi (c th l cncn thng mi). T thc nghim, ngi ta thy rng y l mt gi thit
hp l - nhng ch tn ti trong di hn.Ban u, sau khi ph gi, cn cn thng mi hon ton c th b suy
gim trc khi nhng tc ng m iu kin Marshall - Lener ni trn, trnn mnh ci thin cn cn thng mi .
Nu s dng th trong khng gian hai chiu vi trc tung l s dca cn cn thng mi (thng d hay thm ht) v trc honh l thi gian,chng ta c th biu din din bin ca cn cn thng mi trn trc ta ny. Ngi ta nhn thy hnh dng ca ng biu din, din bin ca cn
11
cn thng mi sau khi ph gi ging hnh ch J nn ngi ta thng gi
y l hiu ng ng cong J.
th 2.1: Hiu ng tuyn J
Hiu ng ng cong J c th c m t da vo cn cn thngmi v phn ng ca n i vi vic ph gi. Gi s ta gi gi nc ngoi cnh nu nn kinh t nc ch nh nh. Vi tp hp gi thit tng qut hnny, chng ta ly o hm theo t gi v c:
QPQEPXPPXE
TB fe
fee +=
Trong :EQQ
EPP
EXX eee
=
=
= ,,
ng ni t mt gi s lm nh hng ti thng mi theo 3 knh:(i) Knh th nht nh hng ngay lp tc;(ii) Knh th hai cn mt khong thi gian;(iii) Knh th ba c th nh hng ng k nhng phi sau mt
khong thi gian tng i di.
Thi gian
Tuyn JTB (+)
TB (-)
06 - 12 thng
13
- Phn ng di hn: Trong di hn, hiu ng khi lng hon ton lnt hiu ng gi c, do , trn th, cn cn thng mi bt u i ln. Tuynhin, trn thc t, gi hng ho trong nc v nc ngoi bt u iuchnh v trit tiu bt mt phn li th cnh tranh t vic ph gi. Vic tnggi thc t ca ni t li gy ra phn ng c tr ca khi lng xut khuv nhp khu; tuy nhin lc ny i theo chiu ngc li v n lm xu i cncn thng mi .
- Theo gi thuyt ngang gi sc mua dng tuyt i, chng ta c quy
lut mt gi trn th trng quc t. Nh vy, chng ta s k vng t gi
thc t cui cng s quay tr li gi tr cn bng ban u ca n. Khi t gi
c nh ti E 1 v mc gi nc ngoi l ngoi sinh, iu ny hm rngphn trm tng gi trong nc cui cng s ng bng phn trm tng t gi
lc u, do vy 212 / PPEE fR = . iu ny c ngha l ph gi danh ngha
khng th nh hng ti cn cn thng mi trong di hn.C mt lot l do a ra gii thch vic phn ng chm chp ca s
lng hng xut khu trong ngn hn v ti sao s phn ng ny li mnhhn rt nhiu trong di hn, do nhng hin tng sau:
Th nht, tr trong phn ng ca nh sn xutMc d vic ph gi s gip ci thin tnh hnh cnh tranh ca hng
xut khu, tuy nhin cng cn c mt khong thi gian cc nh sn xuttrong nc m rng sn xut hng xut khu. Phn ng tc th c th giithch l do tr phn ng ca nh sn xut. Cc n t hng nhp khuthng thng c k kt t trc v do vy nhng hp ng ny s khngc hy b trong thi gian ngn. Do vy, trong ngn hn, chng ta phi chinhiu hn cho nhp khu .
Th hai, cnh tranh khng hon ho
14
Mt vn khc m ta khng a c vo m hnh n gin trn gii thch l vn cnh tranh khng hon ho. chim lnh cho mnh mtth phn trn th trng nc ngoi l cng vic tn kh nhiu thi gian v
tin bc. Nu iu ny ng th cc nh xut khu nc ngoi c th khngmun nh mt th phn ca mnh nc ph gi, nn h c th phn ng
li bng cch gim gi xut khu nhm duy tr sc cnh tranh ca mnh.
Khi h lm iu ny th trong mt chng mc no , nh hng ca ph
gi trong vic lm tng chi ph nhp khu b thoi lui. Tng t nh vy,cc ngnh cng nghip cnh tranh vi hng nhp khu c th phn ng limi e da t hng xut khu tng ln t pha nc ph gi bng cch gimgi th trng ni a v iu ny s hn ch s gia tng hng xut khu
ca nc ph gi. Nhng nh hng ny u vi phm gi thit gi hng hotrong nc v nc ngoi l khng i ca phng php tip cn h s co
gin.
Th ba, phn ng ca ngi tiu dng din ra chm: Ngi tiu dngnc ngoi cn c thi gian tiu dng v nh gi hng ho xut khu t
trong nc. Ngi tiu dng trong nc cng cn c thi gian chuyn
sang tiu dng hng ho sn xut trong nc thay th hng nhp khu.Ngoi nhng hiu ng k trn, ngi ta thy rng gi hng xut khu
tnh theo ng ni t s khng gi nguyn. Nhiu hng nhp khu c s
dng lm u vo cho cc ngnh cng nghip xut khu v gi hng nhpkhu tng c th dn ti vic tng chi ph lng cng nhn bi v ngi
cng nhn c th s i hi khon th lao cao hn b p cho mc gi nhpkhu cao hn; iu ny cng s dn ti vic tng gi hng xut khu v lm
gim li th cnh tranh ca vic ph gi.
15
2.6. Hiu ng tuyn SCho n nay, c rt nhiu nghin cu v hiu ng tuyn J c v l
thuyt v thc nghim, nhng c rt t nghin cu lin quan n hiu ng
tuyn S. Khi nim ny u tin c a ra trong nghin cu ca 3 tc gi
Backus, Kahoe, Kydland nm 1994. Hiu ng tuyn S c xy dng datrn h s tng quan cho gia cn cn thng mi v t gi thc chkhng phi t kt qu hi quy. Ph gi danh ngha lm cho ni t gim gi
thc c coi l c tc ng tch cc ln cn cn thng mi khi v ch khih s tng quan cho gia t gi thc v cn cn thng mi l dng.
Theo Backus et al (1994), nhm tc gi tm ra h s tng quan cho mgia gi tr hin thi ca t gi thc v trng thi cn cn thng mi trong
qu kh, v mi quan h dng gia gi tr hin thi ca t gi thc v trngthi cn cn thng mi trong tng lai. Sau ni tt c cc im biu th
mi quan h gia hai bin s, ta c ng cong ging nh ch S v c gi
l hiu ng tuyn S. Cng trong nm 1994, Backus et al kim chng hiung tuyn S vi 11 quc gia OECD. Nm 1998, Senhadji nghin cu hiung tuyn S vi 30 nc ang pht trin. Nhng im ng ch l, viphng din mt quc gia, cn cn thng mi song phng ca quc gia y
c th thm ht nhng li thng d vi nc khc. Cho nn h s tngquan gia cn cn thng mi vi t gi thc phn nh khng chnh xc.
khc phc nhc im ny, Bahmani - Oskooee v Ratha (2007) pht trinthm v l thuyt i vi hiu ng tuyn S bng cch hi quy cn cnthng mi song phng gia mt quc gia ang nghin cu vi cc nc
i tc thng mi quan trng ca quc gia ch khng s dng cch v
th ca cc h s tng quan k trn. Ta c th biu din th hiu ngtuyn S nh sau:
16
th 2.2: Hiu ng tuyn S
3. Hiu ng tuyn J, tuyn S i vi trng hp Vit Nam3.1. Xy dng m hnh
Hu ht cc m hnh u nghin cu tc ng trc tip ca ph gi ni
t ln trng thi cn cn thng mi v gin tip xem xt tc ng ti thu
nhp trong nc, thu nhp nc ngoi v tnh t gi thc. Do vy, tc gi lachn m hnh Bahmani - Oskooee v Brooks (1998), c biu din bng
phng trnh di y:
titititVNti LogREXLogYLogYLogTB ,,,,, ++++= (3.1)Gii thch cc k hiu:
t: thi im ang nghin cu
Thi gian
Tuyn STB (+)
TB (-)
06 - 24 thng
17
TB: o lng cn cn thng mi song phng gia Vit Nam vi i tc
thng mi th i. Do m hnh phn tch mi quan h tuyn tnh, nn TB
c o bng chnh lch gia kim ngch xut khu ca Vit Nam vi nc i
v kim ngch nhp khu ca Vit Nam t nc i.YVN: thu nhp ca Vit Nam
Yi : thu nhp ca nc i
REXi : t gi thc song phng gia Vit Nam v nc i
i : nhiu ca m hnh : th hin trng thi cn cn thng mi ph thuc vo thu nhp ca VitNam. Nu thu nhp ca Vit Nam tng thm, km theo l nhp khu ca
Vit Nam t nc i tc i tng ln, th nhn gi tr m v ngc li. Tuynhin, c trng hp ngoi l, l khi thu nhp ca Vit Nam tng ln, vgi tr hng ho sn xut trong nc thay th nhp khu cng tng (Bahmani- Oskooee, 1986) th nhp khu ca Vit Nam li gim : L lun tng t, ta thy, nu thu nhp ca nc i tc i tng ln, cngha l ngi dn nc i nhp khu nhiu hn t Vit Nam, ng ngha vi
Vit Nam xut khu nhiu hn sang nc i, th nhn gi tr dng vngc li.
: bin s ny cho bit trng thi cn cn thng mi Vit Nam ph thucvo t gi thc song phng gia Vit Nam v nc i. Nu VND gim giso vi ngoi t i c tc dng ci thin cn cn thng mi song phng gia
Vit Nam v nc i, th chng ta k vng nhn gi tr dng v ngc li.Nu s dng m hnh (3.1), chng ta ch c th kim chng tc ng
ng thi ca cc bin nm bn phi m hnh ti bin ph thuc TB trong
di hn. Song mc tiu nghin cu ca bi vit ny cng xem xt liu VNDgim gi c tc ng ln cn cn thng mi song phng gia Vit Nam v
18
cc nc i tc trong ngn hn. s dng m hnh kinh t lng v ccdy s thi gian, chng ta thay th m hnh (3.1) thnh m hnh (3.2)(Pesaran et al 2001).
titititVN
tikti
n
k
n
kkti
n
kktVNk
n
kktikti
ULogREXLogYLogY
LogTBEXLogRLogY
LogYLogTBLogTB
,1,41,31,2
1,1,0
,
0,
1,,
+++
+++
+++=
==
=
=
(3.2)
Cng thc (3.2) nu khng c bin tr chnh l m hnh VAR (Vectorauto regression). Cng thc (3.2) c mt u im ln, l cho php chng takim nh ng thi tc ng ca cc bin nm bn phi phng trnh (3.2)ln bin ph thuc TB c trong ngn hn v di hn. V d, cc h s kc s dng gii thch tc ng gim gi VND ln cn cn thng mi
song phng ca Vit Nam vi nc i tc i trong ngn hn. Bn cnh ,
ta cng xem xt liu ph gi VND c tun th theo ng hiu ng tuyn J
hay khng tc l nhn gi tr m vi k nh v nhn gi tr dng vi kln. D on gi tr ca h s 4 c chun ho bi 1 cho php gii thchtc ng ca ph gi thc VND ln cn cn thng mi song phng trong
di hn.
3.2. Kt qu ca m hnhV mt l thuyt, khi tng cc h s co gin gi tr xut nhp khu ln
hn 1 th cn cn thng mi c ci thin. Song chng ta nh l, tnhc h s co gin gi tr xut nhp khu l da vo t gi VND/USD. Nhvy, gi s Vit nam ph gi thnh cng, th iu khng ng ngha vicc cn cn thng mi song phng ca Vit nam vi nc i tc i no
19
c ci thin; v ph gi thnh cng cng khng ng ngha vi tt c ccmt hng xut khu u tng doanh s v mt hng nhp khu u gimdoanh s. Cho nn, chng ta cn nghin cu tc ng ca t gi ln cn cnthng mi song phng, nu thy t gi tc ng tch cc ln cn cnthng mi song phng ca nc th nn tip tc iu chnh t gi song
phng duy tr mc thng d, cn nu t gi tc ng tiu cc ln cncn thng mi song phng th cn iu chnh t gi ci thin thm ht
thng mi. ng thi, m hnh (3.2) cng cho ta bit thi im t no cncn thng mi song phng c th chuyn t thm ht sang thng d
chng ta iu chnh t gi cho ph hp.
Cc s liu c ly theo qu t 3/1995 n thng 9/2009 v cho pdng cho 14 quc gia. Ring vi khu vc EU, t thng 3/1995 n12/1999, tc gi ly cc s liu ca c lm i din.
Bng 1: Tc ng ca thu nhp, t gi thc ln cn cnthng mi song phng ca Vit Nam trong di hn
STT TBi 1. Australia -361.8548 -0.002677 2.519796 -0.349840(*)2 EU 1383.325 -0.002561 -1.185317 9.739244
3. US 4304.180 0.033101 -1.116745 15.90643(*)4. UK 105.1453 -0.001655 0.477324(*) -1.1525685 Canada -33.40341 -0.000461 0.033986 0.382444
6 Philipine -424.8048 -0.006097 0.880602 3.468051
7 China -5032.838 -0.047362 1.773327 72.27849(*)8 Thailand -600.2345 0.003220 -0.143880 5.781537
9 Japan -461.6716 0.008875 0.000729(*) -13.9628210 Singapore 2508.367 0.069556 -177.9149 18.83413(*)11 Korea 160.1915 -0.003640 0.005404 0.818137(*)12 Malaysia -482.8411 -0.000598(*) 0.004785(*) 1.570300(*)
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13 Hongkong 1099.648 -0.000780 0.195410(*) -8.01820014 Russia -689.4660 0.006353 -0.175650 3.865434
(H s c du * l khng c ngha thng k).Quan st cc s liu bng (1) cho thy:
Th nht : H s cho bit nhu cu nhp khu t nh ca Vitnam. Vi mc thu nhp bng khng, nn kinh t Vit Nam mong mun nhp
khu hng ha nhiu nht t cc nc c, Canada, Philipin, Thi Lan, Trung
Quc, Nht, Malaysia, Nga; trong nhu cu nhp khu nhiu nht l hngho ca Trung Quc.
Th hai : Tc ng ca bin s thu nhp ca Vit Nam: khi thu nhpca Vit Nam tng ln, ngi dn Vit Nam c xu hng nhp khu nhiu
hn, iu ny c th hin bi cc h s m. Trong 14 quc gia c ttrng thng mi ln i vi Vit nam, ta thy khi thu nhp ngi dn Vit
Nam tng ln, ngi dn Vit Nam nhp khu hng ha nhiu hn. c bit,
h s l ln nht i vi cn cn thng mi song phng gia Vit Namv Trung Quc = -0.047362. C ngha l thu nhp ca ngi dn Vit Namtng ln 1n v (1000 t VND) th Vit Nam s nhp khu hng t TrungQuc nhiu hn -0.047362 n v (triu USD) v lm cho cn cn thngmi song phng gia Vit Nam v Trung Quc xu i nhanh chng. i vicc nc M, Thi Lan, Singapore, Nht bn, Nga, h s khng c nghav nhn gi tr dng. V mt l thuyt, dng c hiu l Vit Nam ckh nng sn xut thay th hng nhp khu nhng iu ny khng h ng vithc t Vit Nam.
Th ba : Tc ng ca bin s thu nhp ca nc ngoi: khi thunhp ca nc i tc i tng ln, nc i c xu hng nhp khu nhiu hngho ca Vit Nam, ng ngha vi Vit Nam xut khu nhiu hn. Trong 14
21
nc i tc, ch c M, EU, Singapore, Thi Lan, Nga, khng nhp khu
hng ho t Vit Nam nu thu nhp ca nc ny tng ln. y l nghch lvi Vit Nam. Khi thu nhp ngi dn Vit Nam tng ln, chng ta nhp khu
nhiu hn hng ho ca cc nc ny. Song thu nhp ca cc nc i tc ktrn tng ln, nn kinh t khng nhp khu hng ho t Vit Nam. ngin l i vi hai th trng M, EU l th trng tng i kh tnh, v hngha xut khu ca Vit Nam sang th trng ny thng thng l hng dtmay, thy sn, l nhng hng ha thng thng, thit yu. i vi nhm hngny, thu nhp tng ln cht t, ngi nc ngoi tiu dng nhiu hn. Songnu thu nhp ngi nc ngoi tng ln nhiu, mc chi tiu ca ngi nc
ngoi cho nhng hng ha ny s khng i. Cn i vi Singapore v Thi
Lan, hng ha ca h tng ng ging hng ha ca Vit nam, th l thngtnh l hai nc ny s khng nhp khu hng ha t Vit nam v hng haca h cht lng tt hn v gi c li r tng i so vi hng ha ca Vitnam.i vi tt c cc nc khc, thu nhp tng ln u c li cho hot ng
xut khu ca Vit Nam v h s dng, c bit l c, Trung Quc, Anh.Th t : Tc ng ca bin s t gi thc song phng: t gi thc
thay i c tc ng tch cc n trng thi cn cn thng mi song phng
ca Vit Nam khi h s dng. Cc nc c h s dng l EU, M,Hn Quc, Canada, Philipin, Trung Quc, Thi Lan, Singagpore, Malaysia,cn li cn cn thng mi song phng ca Vit Nam vi cc nc u bxi mn do nhn gi tr m. Chng ta c th l gii hin tng ny do: mcd t gi danh ngha tng, c ngha l VND mt gi danh ngha, nhng t llm pht VND cao hn mc trung bnh ca th gii v lm pht ca cc ngoit i, do VND ln gi thc dn ti cn cn thng mi b xu i. Nhngcng cn phi lu l, cc h s hi quy ca t gi thc hu nh khng c ngha thng k (cc h s c nh du *). Mt khc, h s ln nn tc ng
22
ca bin t gi thc ln cn cn thng mi ng k. Quan st hai h s v ta thy : du ca chng ngc nhau trong cng mt nc. C ngha l, nunc i thu nhp tng ln, ci thin cn cn thng mi ca Vit nam th h s
nhn gi tr dng th h s t gi thc song phng li m, t gi thckhng gp phn ci thin cn cn thng mi v ngc li. V d, i vinhm nc thng d cn cn thng mi song phng, nh s t 1- 6 bng5 th 4 nc u thu nhp tng ci thin cn cn thng mi th t gi thc lilm xu i cn cn thng mi. Cn li i vi nhm nc Vit Nam c cn
cn thng mi thm ht, hu nh vi cc nc chu , th t gi thc li
dng nh Trung Quc, Thi Lan, Hng Kng, c ngha l thm ht cn cnthng mi l do thu nhp ca ngi dn Vit Nam tng ln, ngi dn VitNam nhp khu nhiu hn t cc nc ny. Hay ni cch khc, theo m hnh
(3.2) tc ng ca bin s thu nhp trong nc v nc ngoi ln cn cnthng mi ln hn tc ng ca bin t gi thc. y chnh l mu cht vn
Vit Nam iu chnh t gi ti mt mc cn thit, t t gi tc
ng tch cc i vi nhm nc m Vit Nam c cn cn thng misong phng thng d v ci thin nhng nc c cn cn thng mi
song phng thm ht.
Bng 2: Tc ng ca thu nhp, t gi thc ln cn cn thng mi
song phng ca Vit Nam trong ngn hn da theo tiu chun AIC
Nc Lags of Log REX Ec(-1)1 2 3 4 5
Australia 0.368770 2.297962 -6.476777 8.840072 -0.442800[-2.24242]
EU 0.291444 -0.417580 0.562842 0.002140
23
[ 0.01874]US 3.50301 -6.98921 -15.6781 -9.75812 13.23658 -0.164276
[-2.59208]UK 0.230559 -1.204398 1.83833(*) -0.905187 1.362041(*) -0.527840
[-1.91433]Canada 0.7720912 -0.6395922 2.383923(*) 1.047717 -0.016954 -2.073741
[-4.71272]
Philipines 1.781805 -3.664402(*) 2.965949 -1.643855 -0.561132[-1.78869]
China 1.947416 -10.18481 -2.942345 0.001615[ 0.04254]
Thailand 6.32850(*) 2.31079 4.33144(*) 5.19943(*) 2.252324 -1.179286[-1.87174]
Japan -5.154076(*) -3.768603(*) 1.730332 -0.599326 0.071954 -0.159988[-4.85088]
Singapore 1.599809 6.684420 5.974883 3.552653 1.404437 -0.105643[-2.83436]
Korea -1.87765 -1.15317(*) 4.365942 0.089254 -5.327819 -0.313938[-0.96518]
Malaysia -0.500835 2.53659 -3.941589 2.70904 -2.282632 -0.011303[-0.04844]
Hongkong 550.5010 -98.50959 352.9361 -451.0632 0.304578[ 1.66958]
Russia -1.056409 1.818182 -1.493457 0.966812 -0.435152 -0.130470[-1.09451]
(H s c du * l c ngha thng k).
S liu bng (2) cho php chng ta kim chng liu VND mt gi c tunth theo ng hiu ng tuyn J hay khng tc l nhn gi tr m vi knh v nhn gi tr dng vi k ln. V c th ca b s liu vi s quanst trong giai on khng di (t qu 1 nm 1995 n qu 1 nm 2009) nnqua kim nh, bi vit ch p dng m hnh vi s bin tr ti u ti a l 5.Ta c gng tm nhng bin tr ti mc ngha 10% (ng vi du *). Theo
:
24
1. Cn cn thng mi song phng ca Vit nam vi cc nc : EU,
Trung Quc, Hn Quc, Malaysia, Nga khng c quan h ngn hn v dihn i vi bin t gi thc song phng.
2. Nhng nc cn li xut hin hin tng cn cn thng mi trongngn hn c th xu i, ci thin hoc li xu i (nh UK : qu 1,3,5 tt,nhng qu 2,4 xu). Hay ni cch khc lm xut hin hiu ng tuyn S chkhng phi hiu ng tuyn J.
3.3. Gii thch hiu ng tuyn S gii thch hiu ng tuyn S, ta s dng hm phn ng (Impulse
response function) trong m hnh VAR xem xt ring phn ng ca t githc song phng REX ln cn cn thng mi TB. V trong hm phn ng
ta ch nghin cu ring tc ng ca t gi thc thay i, vy ta gi s tc
ng ca hai bin cn li trong m hnh (3.1) l thu nhp trong nc v thunhp ca nc ngoi i l khng i. Ta s nghin cu thay i ca cn cn
thng mi t thi k t sang thi k t+1 v l gii ti sao trng thi cn cnthng mi c th chuyn du t dng (+) sang du (-) v ngc li khi tgi thay i theo hai cch : theo ngha m hnh ton v theo ngha kinht. Cch gii thch ny theo quan im ring ca tc gi, nn tc gi mongmun nhn c kin ng gp t bn c.
Nu theo ngn ng ton :Trng thi cn cn thng mi song phng ti thi im t :
titititVNt REXYYTB ,,1,1,11 ++++= (3.3)Trng thi cn cn thng mi ti thi im t+1:
tititititVNt REXREXREXYYTB ,,1,1,1,111 )( ++++++=+(3.4)
25
Thay i trng thi cn cn thng mi t thi im t+1 so vi thi
im t c tnh bng:
REXTB = 1 (3.5)Nhn thy thay i cn cn thng mi t thi im t+1 so vi thi
im t trong cng thc (3.5) ph thuc vo h s: 1 , v bin s REX ;trong , bin s REX lun dng. V vy, cn cn thng mi thay i
dng hay m l do du ca h s 1 quyt nh. Hn na, vi cng thc(3.1) ch cho ta bit khi t gi thc thay i 1% th cn cn thng mi songphng thay i bao nhiu %. Song chng ta cng bit cn cn thng miph thuc vo c thay i t gi thc REX v ln ca chnh t gi thc
REX , c ngha l thay i cn cn thng mi ph thuc vo c s tng i
v s tuyt i ca t gi thc. R rng l nu t gi thc dng s tuyt il 0.97 s c tc ng ln cn cn thng mi khc vi mc t gi thc l1,13. Chnh v th, trong m hnh (3.3) v (3.4) ta cho thm bin 2REX gii thch s bin ng ca TBi. M hnh (3.3) v (3.4) c vit li thnh:
Trng thi cn cn thng mi song phng ti thi im t :
tititititVNt REXREXYYTB ,2
,1,1,1,11 +++++= (3.6)Trng thi cn cn thng mi ti thi im t+1:
titi
tititVNt
REXREX
REXREXYYTB
,
2,1
,1,1,111
)()(
+++
++++=+(3.7)
Thay i cn cn thng mi song phng t thi k t+1 so vi thi
k t:
)2()2(
111
211
REXREXREXREXREXREXREXTB
++=++=
(3.8)
26
T cng thc (3.8), ta c kt lun:
- Nu cc h s hi quy 1 , 1 u dng v c ngha thng k thcn cn thng mi thi k sau s tng ln so vi thi k trc. Ngc li,
nu cc h s hi quy 1 , 1 u m v c ngha thng k th cn cnthng mi thi k sau s gim so vi thi k trc
- Nu h s hi quy 1 m v REX cng ln, th thay i cn cnthng mi s nhn gi tr m.
- Khi hi quy m hnh ta tnh c cc h s hi quy, vy nu Vit
Nam mong mun cn cn thng mi song phng thi k sau tng so vi
thi k trc l bao nhiu, chng ta c th gii bi ton ngc bng cch coiREX l n s ca phng trnh (3.8). V vy ta c th s dng cng thc(3.8) tnh ton t gi thc REX ti thi im t+1.
Cn theo ngha kinh t: chng ta u bit l vic thc thi cc chnhsch, trong c chnh sch t gi i vi nn kinh t lun c tr v
nhiu khi v cn ph thuc vo phn ng hay mc hp th ca nn kinh tkhi chnh sch thay i. V vy, c thi k, t gi thay i lm cho cn cnthng mi c ci thin, nhng c thi k t gi thay i lm xi mn cncn thng mi.
Ngoi ra, c mt phng php khc l gii trng thi cn cn thngmi xu i trong di hn theo phng php tip cn chi tiu:
MXGICY +++= (3.9)Chng ta nh ngha mc hp th trong nc l GICA ++= , phng
trnh (3.9) c th sp xp li nh sau:AYMXTB == (3.10)
Phng trnh (3.10) pht biu rng cn cn thng mi chnh l hius gia mc sn lng trong nc v mc hp th trong nc. Thng d
27
thng mi c ngha l mc sn lng trong nc ln hn mc chi tiutrong nc, trong khi thm ht thng mi c ngha l mc sn lng trongnc thp hn mc chi tiu trong nc. Chuyn phng trnh (3.10) v dngvi phn, chng ta c:
dAdYdTB = (3.11)Qua phng trnh (3.11) c th thy cc tc ng ca vic ph gi ti
cn cn thng mi ph thuc vo mc nh hng tng i ti thu nhp
quc dn so vi mc hp th trong nc. Nu nh vic ph gi lm tng thu
nhp trong nc nhiu hn so vi lm tng chi tiu trong nc th khi
thng mi c ci thin. Tuy nhin, nu vic ph gi lm tng chi tiu
trong nc nhiu hn so vi thu nhp trong nc th thng mi s b tn
hi. Hiu c vic ph gi tc ng nh th no i vi c thu nhp v mchp th s l ni dung trung tm ca cch tip cn hp th trong phn tchcn cn thanh ton.
Mc hp th c th c chia lm hai phn: thu nhp tng ln s lmtng mc hp th v mc hp th li c quyt nh bi xu th hp th
bin a. Cng s tn ti mt hiu ng trc tip ti mc hp th, l tt cnhng tc ng khc ti mc hp th bt ngun t vic ph gi m chng tak hiu l Ad. Do vy, tng thay i ca mc hp th dA c tnh nh sau:
dAdadYdA += (3.12)Thay (3.12) vo phng trnh (3.11), chng ta c:
dAddYadTB = )1( (3.13)Phng trnh (3.13) cho thy tn ti ba nhn t cn phi xem xt khi
nh gi tc ng ca vic ph gi. Vic ph gi c th nh hng ti cn
cn thng mi thng qua vic lm thay i xu th hp th bin (a), hocthng qua vic lm thay i mc thu nhp (dY) v nh hng ti mc hp
28
th trc tip (dAd). iu kin ph gi c th gip ci thin c cn cn
thng mi l:
( ) dAddYa >1 (3.14)Quay tr v vic s dng phng php tip cn chi tiu l gii hiu
ng tuyn S trong di hn: ta thy, trong di hn, tng cung ca nn kinh tAS l n nh, khng i. Nhng trong giai on t, khi cn cn thng mithng d, nn kinh t tng trng, chi tiu thc ca nn kinh t tng ln vnn kinh t vn tip tc k vng giai on sau kinh t tng trng tip nn
cng chi tiu nhiu hin ti, do mc chi tiu nhiu hn sn lng giai
on t+1, v cn cn thng mi thm ht.
im cng cn ch l, nhng mt hng xut khu ca Vit nam chyu l nhng hng ho khng co gin vi gi v t gi. V li, trong m hnhnghin cu, tc gi mi ch cp tc ng ca 4 nhn t gm: bn thn
trng thi cn cn thng mi, thu nhp trong nc, thu nhp nc ngoi, t
gi thc ln cn cn thng mi song phng ch cha cp ti cc nhnt khc. Cho nn, nu cn cn thng mi xu i hay c ci thin chachc l do yu t t gi quyt nh. Do vy, c th c sai s v khuyt ttm thc t mi bc l ra.
4. Kt lunTrong bi vit, tc gi phn tch tc ng c th ca t gi thc ln
cn cn thng mi song phng gia Vit Nam vi mt s nc i tc
trong c ngn hn v di hn thng qua m hnh kinh t lng. Qua , tathy nu ph gi VND c th c nhng nc ci thin c cn cn thng
mi nhng c nhng nc li lm xu i cn cn thng mi. Theo kinca tc gi, Vit Nam nn nghin cu nhng nc i tc v nhng mthng xut khu ca Vit nam c th c ci thin khi VND gim gi thcv trng tm u t vo nhng ngnh hng cng nh th trng . T ,
29
Vit Nam mi dn chuyn dch c c cu kinh t v hot ng xut khus hiu qu hn. Bn cnh , Vit nam cng cn phi ch trng ti cng tc
d bo cn cn thng mi song phng vi tng nc i tc. Chng tacng d bo chnh xc s liu v cc nhn t tc ng, th khi chng ta giibi ton ngc v tnh t gi d tnh ng vi mc cn cn thng mi
song phng d tnh cng chnh xc. C nh vy, t gi mi thc s l yut gp phn h tr cn cn thng mi.
30
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2. Hooi, Chee - Wooi and Chan, Tze - Haw, 10/2008, Examiningexchange rate exposure, J curve and Marshall - Lerner condition forhigh frequency trade series between China and Malaysia.
3. Laursen, S. and Metzler, L.A 1950 The flexible Exchange rate andthe Theory of employment, Review of economic and statistics.
4. Mohsen Bahmani - Oskooee, Artarana Ratha, Bilateral S curvebetween Japan and her trading partners, Science Direct, Japan and theWorld economy, 19 (2007) 483 - 489.
5. Mohsen Bahmani - Oskooee, Artarana Ratha, S curve, dynamic oftrade between US and China, China economic Review, 24 March2009.
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7. Nguyn Khc Minh, 2008, M hnh Ti chnh quc t, NXB Khoahc k thut.
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10.www.sbv.org.vn11.www.imf.org
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