Chnh lch t gi hi oi thc a phng v t gi thc a phng cn bng ca Vit Nam

Chnh lch t gi hi oi thc a phng v t gi thc a phng cn bng ca Vit Nam

TS. H Th Thiu Dao v ThS. Phm Th Bnh Minh

1. t vn

T gi thc cn bng (EREER) l mt trong nhng bin s kinh t v m quan trng trong nn kinh t m v n c inh nghia l thc o dn n s t c ng thi ca cn bng bn trong v bn ngoi. IMF khuyn co cc nn kinh t nn gi cho t gi hi oi thc a phng thc t (REER) gn vi t gi thc cn bng (EREER) t c cn bng i ni v i ngoi ca nn kinh t. T gi hi oi thc b nh gi cao hay thp u khng tt cho cn bng chung ca nn kinh t. T gi hi oi thc b nh gi cao s gim sc cnh tranh ca hng ni a v gim v th i ngoi (v d lm cn cn thng mi mt cn i). Ngc li, t gi hi oi thc b nh gi thp s gy ra lm pht v tng gi hng nhp khu s lm tng ch s gi tiu dng.

nh gi mc chnh lch ca t gi hi oi thc so vi cn bng phi thc hin cc bc: (i) tnh t gi hi oi thc a phng; (ii) c lng phng trnh cn bng di hn ca t gi hi oi thc a phng; (iii) tnh ton t gi hi oi thc a phng cn bng; (iv) xc nh chnh lch t gi hi oi thc a phng cn bng v t gi hi oi thc.

Nghin cu ny cng thc hin cc bc trn nhm: (i) xc nh cc nhn t tc ng n t gi thc a phng ca Vit Nam trong ngn v di hn; (ii) xem xt din bin ca t gi thc a phng cn bng trong di hn; v (iii) xc nh chnh lch ca t gi hi oi thc a phng so vi mc cn bng di hn.

2. C s l thuyt

2.1 Cc bin s kinh t v m tc ng n t gi thc

T gi hi oi thc a phng chu tc ng bi cc bin s kinh t v m c bn i din cho chnh sch ti kho, chnh sch tin t, chnh sch ngoi thng v bao gm cc bin:

(1) m nn kinh t (OPEN) (+/-)

m nn kinh t c s dng lm bin i din cho chnh sch ngoi thng, c tnh bng t l tng kim ngch xut nhp khu so vi GDP. Chnh sch ngoi thng cng theo hng t do ha, th m ca nn kinh t cng ln. Edwards (1994) v Elbadawi (1994) ch ra rng khi ngoi thng c t do ha, tiu dng hng nhp khu s tr nn r hn trong tng lai, lm ngi tiu dng trong nc c xu hng thay th hng phi ngoi thng (non-tradables) sang hng ngoi thng (tradables), theo , lm cn cn thng mi xu i. Kt qu l t do ha ngoi thng tng s lm tng t gi thc (trong bi vit ny, t gi hi oi c yt theo gi ca mt n v ngoi t c quy i thnh ni t). Tuy nhin, mt s nh nghin cu li cho rng m nn kinh t tng s dn n gim t gi thc. Connolly v Devereux (1995) l gii trong trng hp m nn kinh t tng do gim thu xut khu th REER s gim. Fernandez (2006) v Miyajima (2007) cng cho rng trong trng hp m nn kinh t tng ln c gii thch bi tng trng kinh t (economic growth) do tng hot ng ngoi thng v t ph thuc vo c ch bo h cng nh ti khon i ngoi b mo m, th t gi thc s gim. Nh vy, tc ng ca m nn kinh t n t gi thc c th l cng chiu hoc tri chiu.

(2) iu kin thng mi (terms of trade- TOT) (+/-)

iu kin thng mi ca mt nc c nh ngha l t s ca ch s gi xut khu so vi ch s gi nhp khu. Bin s ny c dng i din cho tc ng ca mi trng kinh t quc t n hot ng ngoi thng ca mt quc gia. Theo Edwards (1988), Edwards v Wijnbergen (1987), tc ng ca TOT n REER ph thuc vo tc ng ca hiu ng thay th (substitution effect) v hiu ng thu nhp (income effect). Hiu ng thu nhp: khi thu nhp tng, TOT tng lm tng cu i vi hng ha. V gi hng ngoi thng chu tc ng bi gi th gii, gi hng phi ngoi thng s tng ln tng ng theo mc tng ca thu nhp. Nh , cn cn thng mi ci thin, REER gim. Hiu ng thay th: TOT tng lm gim xut khu do hng xut khu trong nc tr nn t hn. Sn xut trong nc s chuyn sang hng phi ngoi thng, lm gi cc mt hng ny gim xung tng ng. Cn cn thng mi theo xu i, REER tng. Nh vy, ty thuc vo ln tc ng ca hiu ng thu nhp v hiu ng thay th m t gi thc s gim (tc ng ca hiu ng thu nhp ln hn tc ng ca hiu ng thay th) hay tng (tc ng ca hiu ng thu nhp nh hn tc ng ca hiu ng thay th) khi TOT tng.

(3) Chi tiu chnh ph (GOVEX) (+/-)

Chi tiu chnh ph (GOVEX) c tnh bng t l tng chi tiu chnh ph so vi GDP, ch tiu ny i din cho chnh sch ti kha ca chnh ph. Mi quan h gia GOVEX v REER c Frenkel v Razin (1996) phn tch hon chnh. Theo , GOVEX tc ng n tiu dng t nhn v REER thng qua 2 hng: (i) Nu chi chnh ph bao gm phn ln l hng ha phi ngoi thng, GOVEX tng s lm tng p lc cu ni a, gia tng gi tng i ca hng ha phi ngoi thng dn n gim REER. Theo hng ny, tc ng ca GOVEX n tiu dng t nhn v REER ph thuc vo c im ca hm hu dng; (ii) Nu phn ln chi tiu chnh ph l hng ha ngoi thng, GOVEX tng s lm cn cn thng mi xu i, REER tng. V vy, kh d on hng tc ng ca GOVEX ln REER (Ting, 2009).

(4) Chnh lch nng lc sn xut (PROD) (+)

Hiu ng Balassa - Samuelson (Balassa, 1964; Samuelson, 1964) ch ra rng nng lc sn xut trong nc c tp trung vo khu vc sn xut hng ha ngoi thng v khu vc sn xut hng ha phi ngoi thng. Nu nng lc sn xut khu vc sn xut hng ha ngoi thng tng nhanh hn (so vi cc nc i tc ngoi thng), REER s tng (Feyzioglu, 1997).

Nghin cu ca Dibooglu v Kuntan (2001), Choudhi v Khan (2004) b sung cc bng chng thc nghim cho thy chnh lch nng lc sn xut l mt nhn t quan trng xc nh REER. Tuy nhin, cng c nhiu nghin cu kt lun khng tn ti mi quan h ny (chng hn Chinn v Johnston, 1999; Fitzgeral, 2003). S khc bit ny l do cch cc nh nghin cu o lng nng lc sn xut cc quc gia khc nhau (Lee v Tang, 2003). Thng thng, nng lc sn xut ca mt nn kinh t c tnh t nng lc sn xut ca mi khu vc trong nn kinh t hay t l GDP so vi tng lao ng ca mi khu vc. Tuy nhin, do cc loi s liu ny thng kh thu thp, Drine v Rault (2001), Goh v Kim (2006), Yang v cc tc gi (2007) s dng thu nhp bnh qun u ngi thay th.

(5) Tn dng ni a (DC) (-)

Tc ng ca chnh sch tin t n t gi thc c i din bng DC. DC tng khi ngn hng trung ng (NHTW) thc hin chnh sch tin t m rng, dn n cung tin trong nn kinh t tng, gy p lc ln gi trong nc (thng l cc mt hng phi ngoi thng), lm tng gi hng ha phi ngoi thng lm REER gim. Do vy, DC c k vng tc ng ngc chiu vi REER.

(6) Ti sn c ngoi t rng (NFA) (-)

Ti sn c ngoi t rng (NFA) bao gm gi tr tnh bng ng bn t ca (i) d tr quc t chnh thc rng (bn ti sn c bao gm vng, ngoi t, v th d tr quc gia ti IMF, SDRs); bn ti sn n bao gm cc khon n ngn hn ca cc NHTW nc ngoi (tin gi ca cc ngn hng nc ngoi, cc giao dch hon i, cc khon thu chi v mt s khon n nc ngoi trung v di hn, v d vic s dng tn dng IMF ca quc gia); (ii) cc ti sn c v ti sn n ngoi t khc ca NHTW m khng bao gm trong nh ngha v d tr chnh thc.

V nguyn tc, phn thay i trong ti sn c ngoi t rng d ly t cn i tin t hay ly t cc cu phn ca cn cn thanh ton u phi bng nhau. Do vy, trn cn i tin t (NFA = (M2 (DC; trn cn cn thanh ton, (CAB + (KI + (RES = 0; (NFA = -(RES nn (NFA = (CAB + (KI. Tc ng ca ti sn c ngoi t rng ln REER c xem xt t hai gc . Theo quan im cn cn thanh ton, tnh trng thm ht hoc bin ng theo chiu hng gim ca cn cn vng lai cn phi c ti tr t cc nh u t nc ngoi. Trong trng hp chnh lch gia li sut trong nc v li sut trn th trng quc t l khng i, c ti tr, tc NFA gim, t gi phi tng lm gia tng li nhun, thu ht cc nh u t. V vy, s tng ln ca NFA thng tc ng lm gim REER v ngc li.

2.2 Cc m hnh nghin cu v t gi hi oi thc cn bng trn th gii

Trong cc m hnh t gi thc cn bng, m hnh ca Edward (1988) c xem l m hnh in hnh c s dng rng ri c lng t gi thc cn bng ca cc nn kinh t ang pht trin. Theo m hnh ca Edward (1988), t gi thc cn bng c nh ngha l gi tng i ca hng ha ngoi thng v phi ngoi thng, c kh nng cng lc m bo cn bng bn trong v cn bng bn ngoi ca nn kinh t c s lu chuyn vn. Theo , trong di hn, Edward (1988) cho rng t gi thc cn bng chu nh hng ca cc bin s kinh t nn tng nh: iu kin thng mi (terms of trade - TOT), m ca nn kinh t (the openness of the economy - OPEN), chi tiu cng (public expenditure - GOVEX), pht trin cng ngh (technical progress - PROD) v lu chuyn vn (capital flows - CAPINF). M hnh c dng nh sau:

REER= f (TOT, OPEN, GOVEX, PROD, CAPINF)(*)

Khi ng dng m hnh (*) vo c lng t gi hi oi thc cn bng ca mt nn kinh t ang pht trin, cc nh nghin cu thng s dng ng m hnh gc vi 5 bin gii thch, chng hn nh Cottani (1990), Krumm (1993), Elbadawi (1994), Chinn (1998), Hinkle v Montiel (1999), Lin (2002), Goh v Kim (2006). Bn cnh , nhiu nh nghin cu m rng m hnh (*) theo hng thay th bin hoc a thm bin gii thch vo m hnh, in hnh l m hnh ca Elbadawi (1998) v Montiel (1999). Elbadawi (1998) thm cc nhn t quan trng trong cn cn vng lai v cn cn vn ca cc nc ang pht trin vo m hnh (*), bao gm: h tr pht trin chnh thc (ODA), d tr quc t (international reserve - RESV), u t nc ngoi rng (net foreign capital inflows - NKI), thu nhp nc ngoi rng (net foreign income - NFI). Trong khi , Montiel (1999) phn chia cc bin s nn tng c tc ng di hn n bin ng ca t gi hi oi thc thnh 4 nhm, bao gm: (i) chnh sch ti kha (c i din bi chi tiu chnh ph); (ii) chnh sch ngoi thng (c i din bi tr cp xut khu - export subsidies - EXSUB); (iii) nhn t cung ni a (domestic supply side factors) (c i din bi nng lc sn xut) v (iv) mi trng kinh t quc t (c i din bi iu kin thng mi hoc lu chuyn vn). Theo , ty thuc vo tnh hnh c th ca mi nn kinh t m bin i din ca mi nhm c th c la chn. Nh vy, m hnh m rng cho php thy c c th nhng nhn t nh hng n t gi hi oi thc cn bng ca mt nn kinh t ang pht trin (Noor v Mohammed, 2009).

Cc nghin cu thc nghim trong nhng nm gn y v t gi hi oi thc cn bng ng dng kh nhiu quan im m rng m hnh gc ca Edwards (1988). Nghin cu ca Zulfiqar v Adil (2005) a thm bin u t thc (real investment - RIGDP), kiu hi (workers remittances - REMG) o lng t gi hi oi thc cn bng ca Pakistan. L do l v u t v kiu hi l mt trong nhng nguyn nhn quan trng dn n thm ht cn cn vng lai ca Pakistan. M hnh ca Plamen v Elena (2007) nghin cu cho trng hp Gana thay th bin chi tiu chnh ph bng cn cn ti kha (financial balance - FBY), lu chuyn vn bng ti sn c ngoi t rng ca h thng ngn hng ngoi thng (net foreign assets of banking system - NFAB). Nghin cu t gi hi oi thc cn bng ca Trung Quc (Ting, 2009), cng a bin s cung tin rng (M2) vo m hnh i din cho chnh sch tin t v loi b bin lu chuyn vn. M hnh t gi hi oi thc cn bng ca Jamaica (James, 2010) thm bin chnh lch li sut thc i din cho tc ng ca thuyt ngang gi li sut (IRD), v n chnh ph (NGD) i din cho phn b ri ro pht sinh khi iu chnh trng thi ngoi hi.

T cho thy, t gi thc cn bng c phn ln cc nh nghin cu tha nhn l c th gii thch bi cc bin s kinh t v m c bn. Tuy nhin, khng c mt m hnh chun cho tt c mi nn kinh t ang pht trin khi mun c lng t gi thc cn bng. Ty thuc vo tnh hnh c th ca mi nc m cc bin gii thch c th c thay th, c thm vo, b loi b t n mt m hnh ti u c th gii thch nhiu nht cho bin ng ca t gi thc. Cc m hnh nhm tc gi nghin cu c tm tt trong bng 1.

Bng 1. M hnh t gi thc cn bng ca mt s nh nghin cuTc giNmNc p dngM hnh

Edwards1988Cc nc ang pht trinREER = (TOT, OPEN, GOVEX, PROD, CAPINF)

Elbadawi1998Cc nc ang pht trinREER = (TOT, OPEN, GOVEX, PROD, ODA, RESV, NKI, NFI)

Montiel1999Cc nc ang pht trinREER = (TOT, OPEN, GOVEX, PROD, EXSUB)

Zulfiqar v Adil2005PakistanREER = (TOT, OPEN, GOVEX, RIGDP, REMG, CAPINF, PROD)

Plamen v Elena2007GanaREER = (TOT, OPEN, FBY, NFY, PROD)

Ting2009Trung QucREER = (TOT, OPEN, GOVEX, PROD, M2)

James2010JamaicaREER = (TOT, NFA, PROD, NGD, IRD)

Ngun: Tng hp ca nhm tc gi

3. Xy dng m hnh t gi hi oi thc a phng cn bng cho Vit Nam

3.1 M hnh cc nhn t tc ng n t gi hi oi thc a phng 3.1.1 Cc nhn t tc ng trong di hnDa vo m hnh ca Edwards (1988), Elbadawi (1998), Montiel (1999) v phn tch cc bin s kinh t nn tng ca Vit Nam, nhm tc gi xc nh m hnh cc nhn t tc ng n t gi thc a phng ca Vit Nam vi cc bin gii thch (bng 2) nh sau:

LREERt=0+1LOPENt+2TOTt+3GOVEX+4PRODt+5LDCt+6NFAt+t (2)

Ghi ch: L- logarithm t nhin ca cc bin

Bng 2. M t bin gii thch s dng trong m hnhBng 2. M t bin gii thch s dng trong m hnh

Bin sNi dungCch tnh ton/Ch s i dinThi gianTc ng k vng n REERNgun s liu

OPEN m nn kinh t(Xut khu + Nhp khu) /GDP2000(1)-2010(4)+/-Xut khu, nhp khu t GSO, GDP t Bloomberg

TOTiu kin thng miCh s gi xut khu/gi nhp khu2000-2010+/-UNCTAD

GOVEXChi tiu chnh phTng chi tiu chnh ph/GDP2000-2010+/-Tng chi tiu chnh ph t ADB

PRODNng lc sn xutGDP thc/dn s2000(1)-2010(4)+Tnh ton ca nhm tc gi t s liu IFS

DCTn dng ni aTn dng ni a/GDP2000(1)-2010(3)-Tn dng ni a t IFS

NFATi sn C ngoi t rngTi sn C ngoi t rng/GDP2000(1)-2010(3)-Ti sn C ngoi t rng t IFS

Ngun: Nhm tc gi

Trong m hnh (2), bin ph thuc - t gi hi oi thc a phng hiu dng, c tnh theo phng php trung bnh hnh s hc2 vi r tin t ca 17 quc gia v vng lnh th c tng t trng ngoi thng hai chiu chim n 85 - 90% tng kim ngch xut nhp khu hng nm ca Vit Nam.

TOT, GOVEX, PROD l s liu nm. Ch s TOT ca cc nc so vi nm gc 2000 (2000 = 100), c Hi ngh Lin Hip Quc v Thng mi v Pht trin (UNCTAD - United Nation Conference on Trade and Development) cng b hng nm trn website. chuyn s liu nm sang s liu qu, nhm tc gi s dng k thut chuyn theo php ni suy tuyn tnh (linear interpolation) ca Eview. S liu chi tiu chnh ph c ly t ngun Ngn hng Pht trin Chu (ADB).

so snh nng lc sn xut ca Vit Nam vi cc i tc ngoi thng, nghin cu tnh ton chnh lch nng lc sn xut. S liu v chnh lch nng lc sn xut c tnh ton theo cc bc. Bc th nht, tnh GDP thc = GDP danh ngha/ Ch s gim pht GDP. Bc th hai, tnh thu nhp bnh qun u ngi = GDP thc/dn s. Bc th ba, quy i thu nhp bnh qun u ngi ra USD bng cch chia cho t gi danh ngha trung bnh ca nm. Bc th t, tnh chnh lch nng lc sn xut bng cch ly thu nhp thc bnh qun u ngi chia cho trung bnh thu nhp bnh qun u ngi tnh theo nm ca 17 i tc ngoi thng.

Sau khi loi b yu t ma v kim nh tnh dng ca cc chui d liu, vi c im ca cc chui thi gian s dng cho c lng l cc chui dng sai phn bc 1, I(1), chng ti s dng phng php phn tch ng lin kt 2 bc ca Engle-Granger (1987) c lng tc ng di hn v ngn hn ca cc bin s kinh t v m n t gi thc a phng. Kt qu c lng cn bng di hn cui cng (sau khi loi b cc bin khng c ngha) c trnh by trong bng 3. Kim nh phn d t kt qu c lng cng cho thy phn d l chui dng I(0) mc ngha 1% (Tr thng k ADF = -4,7107, gi tr p = 0,0004, tr bc b = -3,5966). Nh vy, gia REER v OPEN, GOVEX, DC, NFA c tn ti mi quan h ng lin kt trong di hn. Ngoi ra, kt qu c lng hi quy m hnh di hn trong bng 3 cng vt qua cc kim nh chn on (diagnostic test) trn phn d, bao gm: kim nh phn phi chun, phng sai thay i, t tng quan v n nh.Bng 3. Kt qu c lng cn bng di hn

H s c lngTr thng k tGi tr p

C6,15415,3860,000

LOPEN0,2934,9000,000

LGOVEX0,9293,5770,001

LDC-0,237-8,4910,000

LNFA-0,107-3,8630,000

Ghi ch: Cc bin ny l chui d liu lun dng, phn phi lch phi, v vy, nhm tc gi gim bt lch bng cch ly logarit; R2=0,84; R2 hiu chnh=0,82; F-stat=50,32, Prob=0,0000, Mean Dependent var = 4,579, SD depedent var=0,0867, AIC =-3,682; SBC=-3,4772, DW=1,4311

Ngun: Nhm tc gi

Kt qu c lng trong bng 3 cho thy, GOVEX c tc ng mnh nht n REER, 1% tng ln ca GOVEX lm REER tng ln 0,92%. Tng t nh GOVEX, OPEN cng c tc ng cng chiu i vi REER, nhng mc nh hn, 1% tng ln ca OPEN lm REER tng ln 0,29%. Trong khi , DC v NFA c tc ng ngc chiu n REER, 1% tng ln ca DC v NFA lm REER gim tng ng l 0,23% v 0,1%.

Th nht, m nn kinh t ca Vit Nam ngy cng tng, nh im t c vo qu 2 nm 2008, t l ny ln n 250% nhng sau gim mnh v n nay khong 170%. m nn kinh t Vit Nam t c ch yu do tng trng kinh t mnh m ko theo s gia tng hot ng xut nhp khu. Tuy nhin, vic gia tng m nn kinh t khng phi do thay i chnh sch ngoi thng theo hng t do ha, gia tng tiu dng hng ngoi thng. Trong c cu nhp khu, vn ch yu l t liu sn xut (bng 4), do vy, t gi hi oi thc tng khi m nn kinh t ca Vit Nam tng. (Xem Hnh 1)Hnh 1. m nn kinh t giai on 2000 - 2010

Ngun: Tnh ton t s liu IFS v BloombergBng 4. T trng t liu sn xut v hng tiu dng trong tng gi tr nhp khu ca Vit Nam qua cc nm (n v tnh: %)

Nm2000200120022003200420052006200720082009S b 2010

T liu sn xut 93,892,192,192,293,389,688,090,588,890,290,0

My mc, thit b, dng c, ph tng30,630,529,831,628,825,324,628,628,029,329,2

Nguyn, nhin, vt liu63,261,662,360,664,564,463,461,960,960,960,8

Hng tiu dng6,27,97,97,86,78,27,87,47,89,38,8

Lng thc0,00,00,00,00,00,00,00,0

Thc phm1,93,02,52,42,43,02,82,52,7

Hng y t2,22,01,81,61,41,41,31,21,11,5

Hng khc2,13,03,63,82,93,73,73,74,0

Vng phi tin t2,24,22,13,40,51,2

Ngun: Tng cc Thng k

Th hai, chi tiu chnh ph tng dn vi tc nhanh, chnh v vy, c tc ng rt ln n t gi hi oi thc. Tc ng ca GOVEX ln REER ph thuc vo t trng hng ngoi thng v hng phi ngoi thng trong c cu chi ca chnh ph. Chi ca ngn sch nh nc bao gm phn ln l hng ngoi thng, GOVEX tng, cn cn thng mi s xu i, REER tng (VND gim gi thc). Trong c cu chi tiu ca Vit Nam (bng 5), nhm tc gi khng th xc nh chi tiu ca chnh ph lch v pha hng ngoi thng hay hng phi ngoi thng. Tuy nhin, t mi quan h thun gia tng chi tiu chnh ph v tng t gi hi oi thc c th suy ra c cu chi tiu ca chnh ph lch v pha hng ngoi thng nn khng th phn tch thm. (Xem Hnh 2)Hnh 2. T l chi chnh ph so vi GDP

Ngun: IFS, Bloomberge v tnh ton ca nhm tc giBng 5. C cu chi ca NSNN 2003 - 2010

Lnh vc200220032004200520062007200820092010*

Chi theo d ton Quc hi ( bao gm chi tr n gc)100,0100,0100,0100,0100,0100,0100,0100,0100,0

Chi u t pht trin36,532,930,930,128,727,426,434,125,9

Chi thng xuyn63,052,850,450,452,553,855,7

Chi tr n, vin tr0,014,016,015,415,615,212,912,113,7

Chi b sung qu d tr ti chnh0,40,10,00,00,00,10,0

H tr ti chnh cho doanh nghip kinh doanh xng du0,00,22,64,13,13,54,9

Chi tinh gin bin ch0,00,00,10,00,00,10,0

*Nm 2010 tnh ton t c cu chi theo chc nng s liu quc t

Ngun: BTC (2010), Cng khai NSNN S liu trong nc v quc t

Th ba, nhng nm qua, tc tng quy m tn dng tng i cao, c bit nm 2007 v 2009 tc tng cao gn gp i so vi nm lin k mt phn do th trng chng khon, th trng bt ng sn thng hoa nm 2007 v gi kch thch kinh t nm 2009 (bng 6). Ngoi ra, tc tng trng tn dng cn ng lo ch tc tng kh ln nhng tc tng trng kinh t cng ch xoay quanh 6% /nm. iu ny t ra vn v hiu qu s dng vn v gia tng ri ro tn dng do vic ni lng tin t. (Xem Hnh 3, bng 6)Hnh 3. Din bin NDC/GDP

Ngun: IFS, Bloomberge v tnh ton ca nhm tc gi

Bng 6. Tc tng trng tn dng ca Vit Nam qua cc nm

2003200420052006200720082009

Tin dng trong nc316,9435,2585,6730,31096,81400,72039,7

Tn dng chnh ph20,114,932,536,529,161,4170,4

Tn dng cho nn kinh t296,7420,3553,1693,81067,71339,31869,3

Tn dng cho doanh nghip nh nc105,4142,9181,3218,5334,2413,8

Tn dng cho khu vc khc191,3277,4371,8475,3733,5925,5-

Tc tng quy m tn dng trong nc (%) 37,3 34,6 24,7 50,2 27,7 45,6

Tc tng quy m tn dng ca nn kinh t (%)41,7 31,6 25,4 53,9 25,4 39,6

Ngun: World Bank (2010)

Nu xt quy m tn dng so vi GDP, ch trong vng 6 nm t l tn dng so vi GDP tng gp hn hai ln, t trn 40% ln trn 110% v tc ny kh cao trong tng quan so snh vi vi cc nc trong khu vc (hnh 4). Kt qu ny cng ph hp vi nghin cu ca Guo v Stepanyan (2011): trc khng hong 1997, cc nc Philippines, Thi Lan, Malaysia v Hn Quc c tc tng trng tn dng tng i; Vit Nam, Indonesia v Trung Quc c tc tng trng tn dng khong 15-33%. Nhng sau khng hong, cc nc Trung Quc, Malaysia, Phillipines, Vit Nam u m rng tn dng, trong Vit Nam duy tr tc ny mc kh cao trn 30%.

Hnh 4. So snh tng trng tn dng ngn hng so vi GDP

Ngun: Trch li t Johanna Chua (2011)

Th t, trong nhng nm gn y, cn cn thanh ton ca Vit Nam bin ng mnh. c bit trong nm 2007 dng vn FPI vo tng t bin; nm 2008, thng d cn cn thanh ton gim mnh; nm 2009, thm ht trn 8 t USD v nm 2010, thm ht trn 3 t USD. S bin ng ca cn cn thanh ton ko theo s bin ng ca ti sn c ngoi t rng (v thay i trong d tr bng thay i trong ti sn c ngoi t rng). (Hnh 5) (Bng 7)Hnh 5. Din bin NFA v NFA/GDP

Ngun: IFS, Bloomberge v tnh ton ca nhm tc gi

Bng 7. C cu tng cung tin M2 (t VND)

20002001200220032004200520062007200820092010*

M280236568994936982082121114158306232020425572273886470317414433

NFA/M2

(%)42,538,5-0,417,012,028,541,728,86,8-24,8-11,8

NDC/M2

(%)57,561,5100,483,088,071,558,371,293,2124,8111,8

*9 thng u nm 2010

Ngun: IFS v tnh ton ca nhm tc gi

Ngoi tr nm 2002 v 2009, NFA gim, cc nm cn li NFA tng trung bnh 25%/nm, ng gp trung bnh 27% trong tng trng cung tin ca nn kinh t hng nm, NFA tng lm t gi hi oi thc gim. Mc gim t gi gy ra do tng NFA v gim t gi do tng tn dng ni a tng i tng ng vi nhau v quy m.

3.1.2 Cc nhn t tc ng trong ngn hnT kt qu c lng v kim nh bc 1, m hnh hiu chnh sai s (ECM) cho php phn tch tc ng ngn hn ca cc bin c lp n bin ph thuc REER. M hnh (2) c vit li nh sau:

Ghi ch: p l bc tr ti u; v EC = LREER 6,15 0,29LOPEN 0,92LGOVEX + 0,23LDC + 0,10LNFA.

Vi bc tr ti u l 2 theo tiu chun la chn ca AIC (Akaike Information Criterion), SC (Schwarz Information Criterion) v HQ (Hannan-Quinn Information Criterion) (bng 8). Chng ti tin hnh c lng m hnh (3) vi p = 2, loi b cc bin khng c ngha, kt qu cui cng c trnh by trong bng 9.

Bng 8. Kt qu la chn bc tr ti u

Bc trAICSCHQ

0-8,6685-8,4574-8,5922

1-19,3947-18,1280-18,9367

2-20,4647*-18,1425*-19,6251*

3-20,3737-16,9959-19,1524

* Bc tr ti u la chn bi cc tiu chun

Ngun: Tnh ton ca nhm tc gi t d liu nghin cu

Bng 9. Kt qu c lng m hnh ECM (3)

H s c lng lch chunThng k tGi tr p

EC-0,75120,1477-5,08460,0000

D(LOPEN)0,35600,07974,46700,0001

D(LOPENt-1)0,02670,01491,79530,0815

D(LOPENt-2)-0,25170,0763-3,29760,0023

D(LGOVEX)0,69130,37481,84430,0739

D(LGOVEXt-1)-0,48530,3567-1,36040,1827

C-0,00590,0054-1,10460,2771

Ghi ch: R2 = 0,62; R2 hiu chnh = 0,55; F_stat = 9,34 (Prob = 0,000); Mean Dependent var = -0,00; SD depedent var = 0,04;AIC = -4,0957; SBC = -3,81; DW = 1.89

Ngun: Tnh ton t d liu nghin cu

Ghi ch: R2 = 0,62; R2 hiu chnh = 0,55; F_stat = 9,34 (Prob = 0,000); Mean Dependent var = -0,00; SD depedent var = 0,04;AIC = -4,0957; SBC = -3,81; DW = 1.89

Ngun: Tnh ton t d liu nghin cu

Theo kt qu c lng, trong ngn hn, DC v NFA khng c ngha thng k. iu ny cho thy trong ngn hn, bin nh hng c ngha n REER khng phi l tn dng ni a v chnh lch ti sn c ngoi t rng. Tuy nhin, OPEN v GOVEX li c tc ng kh mnh. OPEN tc ng mnh, cng chiu ln REER khi p = 0, p = 1, nhng li i chiu tc ng khi p = 2. GOVEX th tc ng rt mnh, cng chiu ln REER khi p = 0 v i chiu tc ng khi p = 1. Bng 9 cng cho thy, sai s hiu chnh EC c gi tr -0,75, h s c lng nh hn 1 cng c thm cho tnh n nh ca m hnh c lng di hn v phn nh s iu chnh hng v mc cn bng ca t gi thc a phng l kh cao. EC trong hm REER ngn hn c du m v c ngha thng k mc 1% cho thy nu tc ng ca cc bin s kinh t nn tng y REER tng (gim) qu ny th REER s iu chnh gim (tng) hng v mc cn bng khong 75% qu sau. y l mc iu chnh kh cao ca t gi thc a phng so vi cc nc ang pht trin khc (Theo Edwards (1989) v Elbadawi (1994), mc iu chnh v cn bng ca t gi thc cc nc ang pht trin trong khong 40-45%) v t gi v cc bin tin t rt nhy cm cc nc c th trng tin t cha hon chnh v nhiu bin ng do nh hng tm l. Ngoi ra, kt qu c lng (trong bng 9) cng vt qua cc kim nh chn on.

3.2 T gi hi oi thc cn bng ca Vit Nam

Da vo kt qu c lng cn bng di hn (Bng 3), chng ti tnh ton t gi thc cn bng EREER ca Vit Nam theo cc bc sau:

Bc 1: S dng b lc Hodrick - Prescott (1984) loi b bin ng ngn hn ca 4 chui OPEN, GOVEX, DC, NFA (di dng logarithm c s t nhin). Thng s lm nhn (smoothing parameter) c la chn l 50 (John, 2003). Chng ti thu c cc ng biu din bin ng ca cc yu t kinh t nn tng trong di hn c m t trong hnh 6.

Hnh 6. Bin s kinh t v m sau khi x l lc bng Hodrick Prescott (1984)

Ghi ch: HPTREND_: x l lc bng Hodrick Prescott

Ngun: Tnh ton v v t d liu nghin cu

Bc 2: S dng cc h s c lng trong m hnh cn bng di hn, bao gm c h s chn (constant) v cc s liu thu thp c ca cc bin s sau khi lc Hodrick - Prescott tnh EREER di dng logarithm c s t nhin.

Bc 3: Chuyn EREER di dng logarithm c s t nhin sang dng s tuyt i bng hm @exp ca excel. Chnh lch REER v EREER c biu din trong hnh 7.Hnh 7. Din bin ca REER so vi EREER

Ngun: Tnh ton t d liu nghin cu

Da vo mc chnh lch ca t gi hi oi thc khi t gi hi oi thc cn bng, nghin cu chia thnh 3 giai on: qu 1/2000 - qu 4/2002, qu 4/2002 - qu 2/2008 v qu 1/2008 - qu 3/2010.

Trong giai on u, REER nh hn EREER, giai on 2 REER ln hn EREER v giai on 3, mc chnh lch bin ng nhanh v i chiu lin tc. Trong hnh 7, lch m th hin gi tr ca REER thp hn EREER v ngc li, hay VND b nh gi cao so vi gi tr cn bng. Nhn chung, gi tr ca REER xoay quanh EREER v theo xu hng EREER gim gi tr dn trong giai on nghin cu. Nm 2010, gi tr ca REER thp hn gi tr EREER khong 2% cho thy REER xoay xung quanh gi tr cn bng v t hay nhiu cng phn nh c cc yu t kinh t v m nn tng.

nh gi cc nhn t ng gp vo thay i ca REER, nhm tc gi phn tch lch (deviation).Bin ng REER mang du dng th hin s xung gi ca VND v bin ng m th hin s ln gi ca VND.Bng 10. ng gp ca cc nhn t nn tng vo REER

2000Q1-2002Q42002Q4-2008Q12008Q1-2010Q3

Tc ng ln REERng gp (%)Tc ng ln REERng gp (%)Tc ng ln REERng gp (%)

REER thay i0,04-0,12-0,08

LOPEN0,621446,200,39-33,95-0,0226,75

LGOVEX-0,08-189,30-0,1085,97-0,0340,17

LNDC-0,19-438,40-0,24208,58-0,0787,72

LNFA-0,23-529,40-0.,9161,990,06-71,72

Khng gii thch c-189,00-26,0017,00

Tng cng100,00100,00100,00

Ghi ch: VND ln gi (-)/ Xung gi (+)

Ngun: Tnh ton ca nhm tc gi

Bng 10 cho thy s xung gi ca VND trong giai on ny ch yu l do m nn kinh t. Tc ng ca bin s ny ln t hon ton tc ng ca chi tiu chnh ph, tn dng ni a v ti sn c ngoi t rng. Ngoi ra, nu nhn t cch tnh ton, REER tng trong giai on ny cn nh vo t l lm pht thp.

Trong giai on 2, thay i trong REER chuyn t dng sang m th hin VND trong tng quan so snh vi cc i tc ngoi thng chnh b nh gi cao so vi giai on trc. m ngoi thng cng tc ng kh ln ln REER, tuy nhin, tc ng tng hp ca cc bin chi tiu chnh ph, tn dng ni a v ti sn c ngoi t rng c nh hng nhiu hn n s thay i ca REER. Gi tr ca VND so vi nm 2000 bt u b ln gi t thi im cui nm 2005 dn n chnh lch ln gia REER v EREER. Xem xt bin ng ca t gi hi oi danh ngha v t l lm pht, nghin cu cho thy trong khong thi gian ny, t gi hi oi danh ngha tng kh nhanh, tuy nhin, khng b p lm pht nn t gi hi oi thc gim.

Dao ng trong chnh lch REER v EREER trong giai on ba bin ng lin tc khng r xu hng m hay dng. Tuy nhin, tnh ton trong bng 10 cho thy REER tng gi 0,08 m nguyn nhn phn ln l do tn dng ni a v chi tiu chnh ph.

Hin ti, REER ang thp hn EREER, theo nghin cu ca ADB (Jongwanich, 2009) s tc ng lm gim xut khu.

Chnh lch gia REER v EREER cn l mt trong nhng du hiu cnh bo nguy c mt nc c th b tn cng tin t dn n khng hong. Nghin cu ca ADB (Jongwanich, 2009) trn cc nn kinh t ng ch ra rng, trc khng hong nm 1997, phn ln REER ca cc nc ng u lch m so vi EREER (ng tin b nh gi cao) v nhng nc c mc lch ln l nhng nc b tn cng tin t mnh nht. Nu nh mc lch ca Indonesia trc nm 1997 l 20% th Thi Lan ch l 15%, Malaysia l 10% v Hn Quc ch khong 7%. Chnh lch ca Vit Nam cng khong 7% v dao ng i chiu kh nhanh. iu ny cng gi ra mt cu hi: Vn ng quan tm y l mc lch bao nhiu l ng cnh bo cho mt cuc tn cng tin t? Cu hi ny i hi phi c mt nghin cu su hn nhng bin ng kh nhanh ca chnh lch gia REER v EREER gy ra s khng n nh v tnh hnh kinh t v m ca Vit Nam.

4. Kt lun v gi chnh sch

Th nht, t gi hi oi thc ca Vit Nam b nh gi cao so vi cc i tc ngoi thng chnh trong tng quan vi thi im gc ca giai on nghin cu, nm 2000; cho thy sc cnh tranh ca hng ha Vit Nam so vi cc i tc ngoi thng chnh ngy cng gim. Din bin ny cng lm cho mc tiu cn bng cn cn thng mi bng cch y mnh xut khu cng kh c thc hin.

V l thuyt, vic ci thin cn cn thng mi bng cch tng t gi hi oi thc, c th c thc hin bng cch iu chnh tng t gi hi oi danh ngha thng qua can thip vo th trng ngoi t lin ngn hng hoc kim sot lm pht mc thp so vi cc i tc ngoi thng. Theo chng ti, hng iu chnh bng cch tng t gi hi oi danh ngha khng nn qu h hi p dng v: (i) Cn cn thng mi ch c ci thin mt thi gian sau khi p dng iu chnh t gi, ch khng gim ngay. iu ny c gii thch thng qua hiu ng tuyn J v tc ng ca hiu ng gi c v hiu ng khi lng ln cn cn thng mi, c th hin trong cc nghin cu thc nghim cc quc gia ng Nam khc v tc ng tr ca thay i t gi n xut khu, nhp khu v mi quan h ny ca Vit Nam cng c chng minh trong cc nghin cu ca tc gi Phan Thanh Hon v Nguyn ng Ho (2007), Phm Th Tuyt Trinh (2011); Nguyn Hu Tun (2011); (ii) chnh sch t gi c vn dng trong trng hp Vit Nam thng tng i nhy cm v mt tm l nn d gy nhng bin ng khng ng c hoc nhng tc ng ngoi d kin hoc tc ng ngc. Do , vic xem xt chnh sch t gi phi c t trong mt tng th chnh sch ca Chnh ph v cch tt hn c l Vit Nam a t gi hi oi thc v gi tr ca n bng cch kim sot tt lm pht. Hng iu chnh bng cch gim lm pht s kh thi hn v trn thc t y l vn cp bch v c tc ng ln i vi i sng kinh t - x hi ca Vit Nam. Hn na, so vi cc i tc ngoi thng chnh lm pht ca Vit Nam hin mc kh cao.

Th hai, kt qu c lng cng cho thy, trong di hn, cc nhn t tc ng n t gi thc bao gm: m nn kinh t, chi tiu ca chnh ph, tn dng ni a v ti sn c ngoi t rng. Xt v mc tc ng v hng tc ng: chi tiu chnh ph v m nn kinh t c tc ng mnh nht v c xu hng lm tng t gi hi oi thc, gim gi tr ni t. Tn dng ni a v ti sn c ngoi t rng ln lt c tc ng gim dn v ngc chiu vi t gi hi oi thc (tng gi tr ni t). Xt v kh nng iu chnh chnh sch thay i: m nn kinh t kh kim sot v xut khu chu nh hng rt ln t mi trng kinh t quc t; ti sn c ngoi t rng kh kim sot v phi iu chnh cc b phn cu thnh cn cn thanh ton nh xut nhp khu, chuyn giao mt chiu, dng vn vo, c bit l dng vn gin tip v ty thuc vo tng tc gia nn kinh t vi phn cn li ca th gii. Ngc li, tn dng ni t c th kim sot thng qua chnh sch tin t, quy m v c cu chi tiu ca chnh ph c th iu chnh thng qua chnh sch ti kha.

Th ba, trong ngn hn cc nhn t gii thch cho t gi thc bao gm m nn kinh t v chi tiu ca chnh ph. Tc iu chnh v cn bng ca t gi thc cng rt nhanh, ph hp vi mt th trng tin t v ngoi hi b tc ng mnh bi yu t tm l thng thy cc nc ang pht trin.

Th t, t gi hi oi thc ca Vit Nam b nh gi cao so vi t gi hi oi thc cn bng. T gi hi oi thc b nh gi cao c nguyn nhn t lm pht cao. Phn tch su hn cc bin s v m tc ng n REER trong giai on 2000 - 2010, nghin cu nhn thy REER b nh gi cao l do tc ng ca tn dng ni a v ti sn c ngoi t rng.Th nm, bin ng lin tc ca t gi thc trong 3 nm cui ca giai on nghin cu l do s bin ng mnh ca tn dng ni a v m nn kinh t.

Th su, Vit Nam c nhng iu chnh gim bt chnh lch gia t gi hi oi thc v t gi hi oi thc cn bng. n qu 4/2010, chnh lch gia REER v EREER gim xung cn trn 2%. Tuy nhin, cha c bng chng cho thy chnh lch ny l bn vng.

1i vi cc quc gia, d tr quc t chnh thc rng ch gm d tr quc t chnh thc rng do NHTW nm gi th NFA bng d tr quc t rng do NHTW nm gi m khng bng NFA ca ton h thng ngn hng. i vi cc quc gia m v th ngoi t rng ca cc ngn hng thng mi chu s kim sot hu hiu ca NHTW th RES bng NFA ca ton h thng ngn hng.

2

Trong RERi l t gi hi oi thc ca ng ni t so vi ngoi t v c tnh theo cng thc , wi i din cho phn trng s gn vi ng tin i, t l khong thi gian

Ti liu tham kho

1. Balassa, B. (1964). The purchasing power parity: A reappraisal. Journal of Political Economy, 72(6), 584-596.

2. Chinn, M. D. (1998). Before the fall: Were East Asian currencies overvalued?. Working Paper Rep. No. 6491, Cambridge, MA: National Bureau of Economic Research, Inc.

3. Chinn, M. D., and Johnston, L. D. (1999). The impact of productivity differentials on real exchange rates: Beyond the Balassa-Samuelson framework. University of California: Santa Cruz, mimeo.

4. Choudhri, E.U. and Khan, M.S. (2004). Real exchange rates in developing countries: Are Balassa-Samuelson effects present?. IMF Working Paper WP/04/188.

5. Connolly, M., and Devereux, J. (1995). The equilibrium real exchange rate : Theory and Evidence for Latin America. In Stein, J. L., Allen, P. R. and Associates (eds). Fundamental determinants of exchange rates (pp. 154 181). NewYork: Oxford University Press.

6. Cottani, J.A., Cavallo, F. and Shahbaz, K. (1990). Real exchange rate behavior and economic performance in LDCs. Economic Development and Cultural Change, 39, 61-76.

7. Dibooglu, S. and Kutan, A.M. (2001). Sources of Real Exchange Rate Fluctuations in Transition Economies: The Case of Poland and Hungary. Journal of Comparative Economics, vol. 29, pp. 257-275.

8. Drine, I. and Rault, C. (2001). Long-Run Determinants of Real Exchange Rate. Unpublished manuscript.

9. Edward, S. (1989). Real exchange rate, Devaluation and Adjustment exchange rate policy in Development countries. Cambridge, Mass: London: MIT press.

10. Edwards, S. (1988). Exchange rate misalignment in Developing countries. World Bank Occasional papers, New Series, Published for the World Bank by the Johns Hopkins University Press.

11. Edwards, S., and Wijnbergen, S. V. (1987). Tariff, the real exchange rate and the terms of trade. Oxford Economics papers 39, 458-564.

12. Elbadawi, I. A. (1998). Real exchange rate policy and non-traditional exports in developing countries. Research for Action 46. The United Nations World Institute for Development Economic Research. Helsinki: UNU/WIDER.

13. Elbadawi, I. A. (1994). Estimating long-run equilibrium real exchange rates. In Williamson, J. (Ed.). Estimating equilibrium exchange rates (pp. 93-133). Washington, DC: Institute for International Economics.

14. Engle, R. F. and Granger, C. W. J. (1987). Cointegration and error correction: representation, estimation and testing. Econometrica, 55, 251-276.

15. Feyzioglu, T. (1997). Estimating the equlibirium real exchange rate: An application to Finland. IMF Working Paper WP/97/109.

16. Fitzgerald, D. (2003). Terms-of-Trade effects, interdependence and cross-country differences in price levels. Harvard University, Mimeo.

17. Frenkel, J.,Razin, A. andYuen, C.(1996).Fiscal policies and growth in

18. Goh, M., and Kim, Y. (2006). Is the Chinese Renminbi undervalued?. Contemporary Economic Policy, 24(1), 116-126.

19. Hinkle, L. E., and Montiel, P. J. (1999). Exchange rate misalignment: Concepts and measurement for developing countries. Oxford, UK: Oxford University Press.

20. James S. J. R. (2010). Determining the Equilibrium Exchange Rate for Jamaica: A fundamentalist approach for deferring time horizons. Research and Economic Programming Division, Bank of Jamaica.

21. Johanna, C. (2011). Vietnam Macro View Trip Takeaways: Short-Term Positive. Unsolved Longer Term Issues, Citi Investment Research & Analysis, Citigroup Global Market Inc.

22. John, C. (2003). The equilibrium real exchange rate of the Malagasy Franc: Estimation and Assessment.IMF Working Papers03/28, International Monetary Fund.

23. Jongwanich, J. (2009). Equilibrium real exchange rate, ,misalignment, and export performance in developing Asia.ADB Economics Working Paper Series151, Asian Development Bank

24. Kai, G. and Vahram, S. (2011). Determinants of Bank Credit in Emerging Market Economies. IMF Working Paper European Department.

25. Krumm, K. (1993). A Medium-Term Framework for Analysing the Real Exchange Rate, with Applications to the Philippines and Tanzania. World Bank Economic Review, Vol. 7 : 219-49.

26. Lee, J. and Tang, M. (2003). Does Productivity Growth Lead to Appreciation of the Real Exchange Rate?. IMF Working Paper, WP/03/154.

27. Lin, B. Q. (2002). Estimating RMB equilibrium real exchange rate and measuring real exchange rate misalignment. Journal of Economic Research, 12, 60-69.

28. Maeso-Fernandez, F., Osbat, C. and Schnatz, B. (2006). Towards the estimation of equilibrium exchange rates for transition economies: Methodological issues and a panel cointegration perspective. Journal of Comparative Economics, 34, 499-517.

29. Miyajima, K. (2007). What do We Know About Namibias Competitiveness?. IMF Working Paper WP/07/191.

30. Montiel, P. J. (1999). Determinants of the long-run equilibrium exchange rate: An analytical model. In Hinkle, L. E. and Montiel, P. J. (Eds.). Exchange rate misalignment: Concepts and measurements for developing countries (pp. 264-293). Oxford, London: Oxford University Press.

31. Nguyn Hu Tun (2011). Phn tch tc ng ca cc bin s v m n cn cn thng mi ca Vit Nam. Tp ch Cng ngh Ngn hng, s 62, thng 05/2011.

32. Noor, Z. S. and Mohammed, Y. B. (2009). An Empirical Analysis of Malaysian Ringgit Equilibrium Exchange Rate and Misalignment. Global Economy and Finance Journal, 2, No. 2: 104-126.

33. Phm Th Tuyt Trinh (2011). The impact of exchange rate fluctuation on trade balance in short- and long-run. unpublished thesis of master in economics, University of economics Hochiminh City.

34. Phan Thanh Hon v Nguyn ng Ho (2007). Mi quan h gia t gi hi oi v cn cn thng mi Vit Nam thi k 1995-2004. Tp ch khoa hc, i hc Hu, S 43, 2007.

35. Plamen, I. and Elena, L. (2007). Estimation of a Behavioral Equilibrium Exchange Rate Model for Ghana. IMF Working Paper, WP/07/155.

36. Samuelson, P. (1964). Theoretical notes on trade problems. Review of Economic and Statistics, 46(2), 145-164.

37. Ting, T. S. (2009). An Empirical Analysis of Chinas Equilibrium Exchange Rate: A Co-integration Approach. Thesis submitted in partial fulfilment of the requirements for the Degree of Masters of Commerce and Management, Lincoln University.

38. World Bank (2011), Selected Indicators 2011, wdr2011.worldbank.org/sites/default/files/WDR2011_Indicators.pdf

39. Zulfiqar, H. and Adil, M. (2005). Equilibrium Real Effective Exchange Rate and Exchange Rate Misalignment in Pakistan. Paper for SBP conference 2005, State Bank of Pakistan.(3)

REER >EREER

REER