B GIO DC V O TO

TRNG I HC KINH T TP.HCM

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

CNG TRNH D THI

GII THNG NGHIN CU KHOA HC SINH VIN

NH KINH T TR NM 2012

TN CNG TRNH:

XEM XT S TRUYN DN LI SUT, QUY LUT

CHNH SCH TIN T V S N NH V M

VIT NAM

THUC NHM NGNH: KHOA HC KINH T

MC LC

TM TT TI

LI M U ........................................................................................................................ 1

I. C S L THUYT: ......................................................................................................... 2

1.1. Nguyn tc Taylor (Taylor principle): .................................................................................... 2

1.2. M hnh gi cng nhc (Sticky price model): ......................................................................... 4

II. TNG QUAN CC NGHIN CU TRC Y: .......................................................... 4

2.1. p dng nguyn l Taylor vo chnh sch tin t: .................................................................. 4

2.2. S iu chnh ca li sut bn l trn thc nghim mt s khu vc in hnh: ................... 6

2.3. S iu chnh li sut bn l trong cc trng hp xy ra khng hong: ................................ 9

2.4. Bi nghin cu Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic

Stability: ..................................................................................................................................... 12

2.5. Hng i ca bi nghin cu i vi chnh sch tin t Vit Nam giai on 2000 2012: . 14

III. XY DNG M HNH NH LNG: ....................................................................... 15

3.1. M hnh l thuyt: ................................................................................................................. 15

3.1.1. Ngn hng ti a ha li nhun:.................................................................................... 15

3.1.2. Hnh vi ca cc h gia nh: ......................................................................................... 16

3.1.3. Hnh vi ca cc doanh nghip: ...................................................................................... 18

3.1.4. Phn ng ca chnh sch tin t: ................................................................................... 20

3.2. Hiu ng truyn dn li sut v tnh xc nh ca trng thi cn bng: ................................ 21

IV. KT QU THC NGHIM M V EURO: ............................................................ 25

4.1. D liu: .................................................................................................................................. 26

4.2. Kim nh nghim n v v ng lin kt: .......................................................................... 28

4.3. Hiu ng truyn dn di hn Kt qu thc nghim M v Euro: .................................... 29

4.3.1. M hnh hi quy: ............................................................................................................ 29

4.3.2. Hiu ng truyn dn M: ............................................................................................ 31

4.3.3. Hiu ng truyn dn khu vc ng Euro: ................................................................... 32

4.3.4. Tm lc kt qu: ........................................................................................................... 33

4.4. Cc tranh lun:....................................................................................................................... 34

V. QU TRNH TRUYN DN LI SUT VIT NAM KT QU THC NGHIM

TRONG GIAI ON 2000 2012: ...................................................................................... 36

5.1. D liu: .................................................................................................................................. 36

5.2. Xy dng cc m hnh nh lng: ....................................................................................... 37

5.3. Kim nh nghim n v v ng lin kt: .......................................................................... 38

5.4. Qu trnh truyn dn t li sut chnh sch n li sut th trng: ...................................... 42

5.5. Qu trnh truyn dn t li sut th trng n li sut bn l: ............................................. 44

5.6. Cc bin lun cho s truyn dn li sut Vit Nam giai on 2000 2012: ...................... 46

5.7. xut cc hng nghin cu m rng v hiu ng pass-through li sut Vit Nam: ..... 48

KT LUN .......................................................................................................................... 49

DANH MC TI LIU THAM KHO

PH LC ................................................................................................................................ i

PH LC A: M t d liu hi quy M v Euro. ....................................................................... i

PH LC B: Kim nh nghim n v v ng lin kt cc chui li sut M v Euro. ......... ii

DANH MC T VIT TT

VN Vit Nam

NHTM Ngn hng Thng mi

NHNN,

NHTW Ngn hng Nh nc, Ngn hng Trung ng

DANH MC BNG BIU

Bng 1: Hiu ng truyn dn ngn v di hn M, thi k 1995 - 2003

Bng 2: Hiu ng truyn dn ngn v di hn khu vc Euro, thi k 1995 - 2003

Bng 3: Thng k d liu li sut Vit Nam t nm 2000 n 2012.

Bng 4: Kim nh nghim n v cc chui li sut Vit Nam. Thi k tng

ng mi loi li sut.

Bng 5: Kim nh ng lin kt gia cc cp li sut chnh sch v li sut th

trng Vit Nam.

Bng 6: Kim nh ng lin kt gia cc cp li sut th trng v li sut bn l

Vit Nam.

Bng 7: S truyn dn li sut chnh sch n li sut th trng Vit Nam.

Bng 8: S truyn dn li sut th trng n li sut bn l Vit Nam.

DANH MC HNH

Hnh : in xc nh v min hng xc nh.

DANH MC PH LC

PH LC A: M t d liu hi quy M v Euro.

PH LC B: Kim nh nghim n v v ng lin kt cc chui li sut M v

Euro.

PH LC C: M hnh kinh t hc Keynes mi v cc phng trnh c bn trong

bi nghin cu.

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

TM TT TI

1. L DO CHN TI

Nguyn tc Taylor ln u tin c cng b vo nm 993 bi nh kinh t hc

ni ting ngi M -John Brian Taylor. ng cng trong vic nghin cu

a ra cch tnh ton li sut danh ngha ph hp trong mi quan h vi tng

trng v lm pht. Nguyn tc Taylor s gip cho mt NHTW xc nh c li

sut danh ngha trong ngn hn hi cc iu kin kinh t thay i, t c hai

mc tiu l n nh kinh t trong ngn hn v kim sot lm pht trong di hn.

Tuy nhin, nhiu bng chng thc nghim cho thy li sut bn l iu chnh mt

cch chm chp vi s thay i trong li sut chnh sch. Ni cch khc, li sut

chnh sch thay i 1% th li sut bn l thay i t hn %. Trong trng hp ny

th cch xc nh li sut danh ngha theo nguyn l Taylor chun s hng m

bo cho trng thi cn bng xc nh c na.

Nhng pht hin thc nghim kh mi m ny thi thc chng ti tin hnh

nghin cu su hn v hiu ng dn truyn li sut (interest rate pass-through) v

nh hng ca n n chnh sch tin t cng nh s cn bng ca nn kinh t.

Trong bi nghin cu ca mnh, chng ti ch yu da trn nghin cu Interest

Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability(3/2006)

ca Claudia Kwapil v Johann Scharler, vi mc tiu chnh l tm hiu r rng, c

th hn v trng hp: s truyn dn hng hon ton i vi li sut bn l trong

di hn s nh hng nh th no n tnh cn bng xc nh v n nh trong nn

kinh t v m; quan st thc nghim M v khu vc Euro, t p dng vo phn

tch thc t hiu ng dn truyn li sut ti Vit Nam.

2. MC TIU NGHIN CU

Bi nghin cu ny c mc tiu chnh l tm hiu r rng, c th hn v trng

hp: s truyn dn hng hon ton i vi li sut bn l trong di hn s nh

hng nh th no n tnh cn bng xc nh v n nh trong nn kinh t v m

cc iu kin th trng khc nhau, t p dng vo phn tch hiu ng dn

truyn li sut ti Vit Nam. C th, nhm nghin cu thit lp cc cu hi nghin

cu sau:

- Trong mt mi trng m s truyn dn t li sut chnh sch n li sut bn

l l khng hon ton, th nguyn l Taylor chun phi c iu chnh nh th

no m bo tnh xc nh ca trng thi cn bng?

- S hnh thnh cc mi quan h v tha thun ngm gia ngn hng vi cc

khch hng thn thit, v chi ph ca cc trung gian ti chnh, nh hng nh

th no n qu trnh truyn dn li sut?

- C s khc bit no trong qu trnh truyn dn li sut gia hai h thng ti

chnh: H thng ti chnh ch yu da vo ngn hng v H thng ti chnh da

vo th trng?

- Hiu ng truyn dn (pass-through) t li sut chnh sch n li sut th trng

v t li sut th trng n li sut bn l ti Vit Nam nh th no?

3. PHNG PHP NGHIN CU

- y dng cc phng trnh xc nh s cn bng vi vng hp l da trn

cc m hnh v cng thc ph bin nh: hnh chu inh doanh chun theo

quan im inh t hc eynes mi, phng trnh uler, ng cong Phillips,

- So snh thc nghim hiu ng truyn dn li sut, gia Khu vc chu u

(Euro) v M, bng m hnh hi quy tng quan tr, cng vi mt s kim nh

nghim n v v ng lin kt.

- M t thc nghim hiu ng dn truyn li sut ti Vit Nam, s dng m hnh

ADL, m hnh ECM, cng vi kim nh nghim n v v ng lin kt.

4. NI DUNG NGHIN CU

Phn I ca bi nghin cu gii thiu v c s l thuyt- y chnh l nhng kin

thc nn tng xy dng m hnh nh lng, bao gm l thuyt v Nguyn tc

Taylor v m hnh gi cng nhc.

Phn II s gii thiu tng quan cc bi nghin cu trc y xoay quanh cc vn

v ng dng nguyn l Taylor, Taylor iu chnh v hiu ng dn truyn li sut.

phn III, bi nghin cu m t m hnh nh lng: Trc tin l gii thiu vic

xy dng m hnh l thuyt, t tin hnh bin lun v Hiu ng truyn dn li

sut v tnh xc nh ca trng thi cn bng nn kinh t.

Phn IV s m t thc nghim qu trnh truyn dn li sut M v Euro da trn

nghin cu Interest Rate Pass-Through, Monetary Policy Rules and

Macroeconomic Stability ca Claudia Kwapil v Johann Scharler (3/2006).

Phn V s tin hnh phn tch hiu ng truyn dn li sut Vit Nam v m t kt

qu thc nghim trong giai on 2000-2012.

Tm lc kt qu nghin cu:

- Nu s truyn dn t li sut chnh sch sang li sut bn l l khng hon ton

trong di hn th Nguyn l Taylor chun s hng m bo tnh xc nh

ca trng thi cn bng ca nn kinh t na. Ni cch khc, h s phn ng ca

chnh sch tin t vi bin lm pht theo Nguyn tc Taylor phi c iu

chnh ln hn ph hp vi trng thi cn bng n nh v duy nht.

- Phn tch thc nghim ch ra rng: S truyn dn li sut khng hon ton c

th c bit ph hp vi h thng ti chnh ly ngn hng lm trung tm (in

hnh l khu vc ng tin chung chu u).

- Kt qu phn tch thc nghim ti Vit Nam

Truyn dn t li sut chnh sch n li sut tri phiu chnh ph k hn 1

nm: h cao trong ngn hn; tuy nhin trong di hn, s truyn dn mc

thp hn .

Truyn dn t li sut chnh sch n li sut lin ngn hng: Trong ngn

hn, s truyn dn trc tip mc kh thp v hng ng nht, trong di

hn, ngc li, s truyn dn mc cao hn tuy nhin vn cha t c s

truyn dn hon ton

Truyn dn t li sut tri phiu chnh ph k hn nm n li sut bn l:

trong ngn hn, s truyn dn trc tip mc kh thp; trong di hn, s

truyn dn mc tng i cao.

Truyn dn t li sut th trng lin ngn hng n li sut bn l: Trong

ngn hn, s truyn dn trc tip mc rt thp cn trong di hn, ngc

li, s truyn dn mc rt cao v tin gn n mc truyn dn hon ton.

5. NG GP CA TI

Vi bi nghin cu ny, nhm chng ti mun gii thiu v hiu ng pass-through

t li sut chnh sch n li sut bn l - y l mt kha cnh quan trng trong c

ch truyn dn ca chnh sch tin t, tuy nhin vn cha c quan tm nghin

cu nhiu ti Vit Nam. T hy vng bi nghin cu ca nhm s ng gp c

mt s kin hu ch v vic xc nh li sut chnh sch, ph hp vi bi cnh s

dn truyn li sut trong di hn l khng hon ton, nhm t c trng thi cn

bng xc nh ca nn kinh t. Bn cnh , nhm cng xut mt s hng

nghin cu m rng v hy vng, bi nghin cu ny s cung cp nhng kin thc

c bn v Hiu ng pass-through li sut to nn tng gip cc nhm nghin cu

tip theo c th tip tc nghin cu su v hon thin ti.

6. HNG PHT TRIN CA TI

i vi Vit Nam, ti vn cn tn ti nhiu hn ch nh sau:

- Mu d liu c tnh ton theo IFS cha thc s chnh xc, do cha phn nh

ng bin ng ca li sut tin gi v cho vay thc t trn th trng.

- ti vn cha a ra t lun chc chn cho nguyn nhn gy nn s truyn

dn khng hon ton t li sut chnh sch n li sut th trng, cng nh t

li sut th trng n li sut bn l.

- ti vn cha tnh ton c gii hn di h s phn ng ca chnh sch tin

t i vi lm pht, do vn cha tm ra c phng php nh lng ph hp

vi iu kin th trng Vit Nam.

- ti vn cn b ng vn v s tc ng ca h thng ti chnh n s

truyn dn li sut cc nn kinh t khc nhau. C th l h thng ti chnh da

trn th trng hoc da trn ngn hng.

- ti vn cha xt n tc ng t quy m ca t chc tn dng, iu kin ti

cp vn v quan h vi cc t chc phi ngn hng hc n s dn truyn li

sut ti Vit Nam.

- S khc bit trong truyn dn li sut trong thi k khng hong cha c xt

n, do c th lm sai lch kt qu thc nghim khi xt chung c giai on

2000 2012.

- ti vn cha xem xt mc hi nhp ti chnh hay ni cch hc l m

ca nn kinh t Vit Nam nh hng n hiu ng truyn dn li sut.

Tt c cc hn ch trn u chnh l hng pht trin m nhm nghin cu a ra

i vi cc bi nghin cu sau ny, v vn pass-through li sut Vit Nam.

y l mt vn kh mi, v l mt nhnh nghin cu y trin vng Vit

Nam.

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

1

LI M U

Nguyn tc Taylor ln u tin c cng b vo nm 993 bi nh kinh t hc

ni ting ngi M -John Brian Taylor. ng cng trong vic nghin cu

a ra cch tnh ton li sut danh ngha ph hp trong mi quan h vi tng

trng v lm pht. Tuy nhin, nhiu bng chng thc nghim cho thy li sut bn

l iu chnh mt cch chm chp vi s thay i trong li sut chnh sch. Ni

cch khc, li sut chnh sch thay i 1% th li sut bn l thay i t hn %.

Trong trng hp ny th cch xc nh li sut danh ngha theo nguyn l Taylor

chun s hng m bo cho trng thi cn bng xc nh ca nn kinh t na.

Trong bi nghin cu ca mnh, chng ti ch yu da trn nghin cu Interest

Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability(3/2006)

ca Claudia Kwapil v Johann Scharler, vi mc tiu chnh l tm hiu r rng, c

th hn v trng hp: s truyn dn hng hon ton i vi li sut bn l trong

di hn s nh hng nh th no n tnh cn bng xc nh v n nh trong nn

kinh t v m; quan st thc nghim M v khu vc Euro, t p dng vo phn

tch thc t hiu ng dn truyn li sut ti Vit Nam

Trong qu trnh nghin cu, nhm s kh trnh khi nhng sai st. Knh mong qu

thy c, cc anh ch, cc bn v nhng ai quan tm n ti ny cng ng gp

kin bi vit c hon thin hn.

Xin chn thnh cm n.

Nhm nghin cu.

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

2

I. C S L THUYT:

1.1. Nguyn tc Taylor (Taylor principle):

Cc lp lun v mt nh tnh:

Cc c tnh n nh nn kinh t da trn cc quy lut iu hnh chnh sch tin

t v ang thu ht rt nhiu s quan tm. T , John Taylor, mt tn tui

lng danh trong gii chuyn gia kinh t, nghin cu v a ra cch tnh ton

li sut danh ngha ph hp trong mi quan h vi tng trng v lm pht -

thng c gi l nguyn tc Taylor. Nguyn tc Taylor gip cho mt ngn

hng trung ng (NHTW) xc nh c cc t l li sut trong ngn hn khi

cc iu kin kinh t thay i t c hai mc tiu l n nh kinh t trong

ngn hn v kim sot lm pht trong di hn.

C th, ch khi no chnh sch tin t phn ng mnh vi lm pht, s cn

bng ca nn kinh t (equilibrium) mi dn c xc nh. Ni cch hc,

trnh trng hp khng xc nh c s cn bng (indeterminacy), li sut

danh ngha cn c iu chnh ln vi mt s gia tng trong lm pht,

nhm lm tng li sut thc. Do , li sut danh ngha phi c iu chnh t

nht l bng vi thay i trong t l lm pht (theo k vng), nhm xc nh

c s cn bng nn kinh t (equilibrium) mt cch n nh v n nht.

Trong trng hp ngc li, s cn bng nn kinh t s bin ng v hng t

c trng thi cn bng xc nh, xut pht t hiu ng t p ng cc thay

i k vng (self-fulfilling revisions in expectations). L gii cho iu ny,

nu li sut danh ngha hng iu chnh ln, th khi k vng v lm pht gia

tng, dn n li sut thc s gim. Li sut thc gim lm gim chi ph vn,

dn n tng chi tiu cho u t v tiu dng,v do lm tng tng cu. Tng

cu tng s lm lm pht thc t tng theo ng nh vng ban u.1

1 Theo bi nghin cu gc, bi nghin cu Self-fulfilling expectations and fluctuations in

aggregate demand ca Woodford ( 990), Forward-looking vesus Backward-looking Taylor

rules ca Charles T.Carlstrom v cng s (2000) v Stable sunspot solutions in models with

Predetermined variables ca Evans v McGough (2002). Cc gi tr k vng v tng lai lun

3

Cc lp lun v mt nh lng: 2

Nguyn tc Taylor c th c m t theo phng trnh sau:

Trong :

: Li sut danh ngha ngn hn mc tiu ca NHTW

: T l lm pht thc t

: T l lm pht mc tiu ca NHTW

: Li sut thc ti im cn bng ca th trng

: Logarit ca tng sn lng GDP thc t

: Logarit ca tng sn lng GDP tim nng

Trong phng trnh trn, v >0 (theo bi nghin cu ca Taylor nm

1993, = =0,5).

Bng cch xc nh , nguyn tc Taylor ni rng nu lm pht tng %

i hi NHTW tng li sut danh ngha ln hn % (c th, bng 1+ ). V li

sut thc bng li sut danh ngha tr t l lm pht, m iu kin c

ngha l hi lm pht tng th li sut thc nn c tng ln lm ngui khi

nn kinh t ang tng trng nng, lm pht cao. lm c iu ny th i

hi li sut danh ngha phi tng ln nhiu hn so vi s tng ln ca lm pht.

Tm li, nguyn tc Taylor khuyn ngh mt mc li sut tng i cao (chnh

sch tin t tht cht) gim p lc lm pht trong trng hp lm pht cao

hn mc lm pht mc tiu hoc sn lng vt trn mc sn lng tim nng.

ph thuc vo cc yu t ngoi sinh (sunspot) trong tm l. Khi cc yu t v m hng tha mn

gi tr k vng tng lai hp l, gi tr k vng tng lai s tip tc b iu chnh do bin ng

ngoi sinh trong tm l (sunspot fluctuations). Sau thng qua tc ng s nhn (multiplier

process) ca tiu dng v u t ln tng cu hin ti, cc yu t v m s bin ng cho n khi

cc thay i k vng ban u (initial revisions of expectations) c p ng.

2 Theo bi nghin cu Interest and prices: Foundations of a theory of monetary policy ca

Woodford, (2003).

4

Trong trng hp ngc li, nguyn tc Taylor khuyn ngh mt mc li sut

tng i thp (chnh sch tin t th lng) thc y tng trng.

1.2. M hnh gi cng nhc (Sticky price model):3

M hnh gi cng nhc: L 1 cch tip cn nhm gii thch ti sao ng tng

cung ngn hn li dc ln. L thuyt gi c cng nhc nhn mnh rng gi c hng

ho v dch v cng chm iu chnh p li cc iu kin kinh t thay i. S

thay i chm chp trong gi c mt phn l do chi ph iu chnh gi c, gi l

chi ph thc n. Nhng chi ph ny, bao gm chi ph in v phn phi cc catal v

thi gian thay i cc nhn gi. V l do ny, gi c c th cng nhc trong ngn

hn.

II. TNG QUAN CC NGHIN CU TRC Y:

2.1. p dng nguyn l Taylor vo chnh sch tin t:

Nhiu bi nghin cu cho rng, s thnh cng rng ri ca chnh sch tin t k t

nhng nm u thp nin 80s, ch yu l do vic thc thi cc chnh sch tha mn

nguyn tc Taylor.

Bi nghin cu Taylors rules and the Fed (Judd, J. F., Rudebush, G. D.,

1998)

- Ni dung v phng php nghin cu: c lng m hnh n gin v

hm phn ng ca cc D tr lin bang M (FED). Xem xt quan h gia s

pht trin kinh t vi v phn ng ca Fed. Tp trung vo s thay i theo

thi gian ca hm phn ng c c lng,c th l xem xt cc chnh

sch tin t ca F D trong 3 giai on,di thi ca Arthur Burns

(1970.Q11978.Q1), Paul Volcker (1979.Q31987.Q2) v Alan Greenspan

(1987-2006) (cc ch tch ca FED).

3 Theo nghin cu Two new eynesian Theories of Stic y Price odel, Roger. .A. Farmer

(2000)

5

- Kt lun: Nguyn l Taylor l cng c hu ch gip nm bt nhng yu t

quan trng ca chnh sch tin t v gip nn kinh t pht trin n nh.

Bi nghin cu Monetary policy rules and macroeconomic stability: Evidence

and some theory (Clarida, R. H., Gal, J., Gertler, M., 2000)

- Ni dung v phng php nghin cu: c lng hm phn ng li ca

chnh sch tin t i vi nn kinh t M sau chin tranh, trc v sau khi

Volc er c b nhim lm ch tch Fed vo nm 979. S dng m hnh

kinh t v m,thc hin so snh cc tc ng theo nguyn tc c lng v

cc c tnh cn bng ca lm pht v sn lng.

- Kt lun: Chnh sch li sut trong giai on Volcker-Greenspan (Greenspan

l ch tch Fed sau Volcker) nhy cm hn vi s thay i trong lm pht k

vng, so vi giai on trc Volc er, iu ny vn ph hp vi nguyn l

Taylor.

Bi nghin cu A Historical Analysis of Monetary Policy Rules (Taylor, J.

B., 1999)

- Ni dung v phng php nghin cu: Bi nghin cu ny xem xt mt s

giai on v thi k trong lch s tin t ca M trn quan im cc bi

nghin cu v quy lut chnh sch tin t, nhm nh gi hiu qu ca

nhng chnh sch tin t.

- Kt lun: Nguyn tc chnh sch tin t m trong li sut l 1 hm ca

lm pht v li sut thc (cng thc ca nguyn tc Taylor chun v m

rng trong 1 s trng hp c th) l mt khun kh hiu qu nghin cu

lch s tin t ca M, lin quan n nhiu h thng tin t khc nhau.

6

2.2. S iu chnh ca li sut bn l trn thc nghim mt s khu vc in

hnh:

Thc nghim cho thy li sut bn l4 (retail interest rate) iu chnh thp hn, so

vi mt s thay i ca li sut chnh sch5 (policy interest rate) (theo De Bondt,

2005; Ehrmann v cng s, 2003). Ngoi ra, li sut bn l cn cho thy tc ng

ng n tng cu. Do , mc d chnh sch tin t c tht cht ln theo

nguyn tc Taylor, li sut bn l khng cho thy s iu chnh ln, nhm duy

tr s n nh ca li sut thc. Vn ny c pht hin kh r rng khu vc

ng Euro, l mt in hnh ca th trng da trn ngn hng (theo Allen v Gale,

2000).

Theo Berger v Udell (1992), s lm mt thanh khon6 (liquidity smoothing) l

vn in hnh trong cc mi trng, m quan h thn thit gia ngn hng

v khch hng pht trin theo thi gian. C th, cc ngn hng c quan h thn thit

vi khch hng, c th yu cu s bo m ngm nh vi li sut dnh cho khch

hng (implicit interest rate insurance), v qua gi mc li sut c nh mt cch

tng i, k c hi c thay i quan im chnh sch tin t (tht cht hoc m

rng).

Retail bank interest rate pass-through: New evidence at the euro area level

(De Bondt, G., 2005)

- Ni dung v phng php nghin cu: Bi nghin cu trnh by m hnh hi

quy hiu chnh sai s (ECM - error correction model) ca qu trnh truyn

4 Li sut bn l (retail interest rate): L li sut huy ng hoc li sut cho vay p dng i vi

ngi tiu dng v doanh nghip. (Theo t in Investopedia).

5 Li sut chnh sch (policy interest rates): L li sut m cc ngn hng trung ng c th

kim sot c trc tip, qua im sot lm pht, cng nh m bo tnh thanh khon ca

cc ngn hng thng mi. (Theo t in Investopedia).

6 Theo bi nghin cu gc, v bi nghin cu Interest rate smoothing and financial stability

ca R.Todd Smith, Henry van Egteren (2005), s lm mt thanh khon (liquidity smoothing)

l trng hp ngn hng tha thun ngm li sut vi hch hng (c bit i vi cc khch

hng quen thuc). Nhm lm gim tnh bin ng ca li sut bn l i vi khch hng, k c

khi li sut chnh sch thay i, t gim ri ro v thanh khon ca ngn hng. Thut ng ny

cn c gi l s lm mt li sut (interest rate smoothing).

7

dn li sut t th trng (i din cho chnh sch) n bn l. Da trn c

ch nh gi chi ph bin, bao gm chi ph chuyn tip thng tin v chi ph

cho s bt cn xng thng tin, qua trnh by cc t qu c lng vi

khu vc ng Euro.

- Kt lun: khu vc ng Euro, t l truyn dn t li sut th trng sang

li sut tin gi v li sut cho vay trong vng mt thng (ngn hn) cao

nht l khong 50%. S truyn dn li sut th cao hn trong di hn, i vi

li sut cho vay th gn bng 100% (truyn dn hon ton).

Some evidence on the empirical significance of credit rationing (Berger v

Udell, 1992):

- Ni dung chnh: a ra s lm mt thanh khon (liquidity smoothing) l

in hnh cho cc mi trng, m trong mi quan h khch hng thn

thit pht trin theo thi gian. Ngha l, cc ngn hng c mi quan h gn

gi vi khch hng c th cung cp bo him li sut ngm v gi cho li

sut tng i n nh mc d c nhng thay i trong chnh sch tin t v

li sut. Qua xem xt tc ng n qu trnh truyn dn li sut trn thc

nghim.

- Kt lun: Chnh iu trn lm cho qu trnh truyn dn t li sut chnh sch

n li sut bn l chm chp hn. V trong trng hp ny, nguyn tc

Taylor hng cn m bo cho s cn bng xc nh ca nn kinh t.

Interest rate pass-through in Polish (Chmielewski, Tomasz,2003)

- Ni dung v phng php nghin cu: Nghin cu tc ng ca s gy

nhiu trong hot ng ca ngn hng Ba Lan, ln hiu qu ca chnh sch

tin t. Bi nghin cu tp trung vo c cu truyn dn t thay i trong li

sut th trng ti li sut bn l trong bi cnh cht lng danh mc u t

tn dng ca ngn hng b gim st, s suy gim v li nhun ngn hng

cng nh t l an ton vn. Bi nghin cu da trn da trn d liu bao

8

gm li sut tin gi ca h gia nh v doanh nghip theo tng k hn hp

ng ca ngn hng, c thu thp bi ngn hng quc gia ca Ba Lan.

- Kt lun: Cc kt qu nghin cu cho thy mt s tr tr v hng ng nht

trong s truyn dn li sut bn l Ba Lan.

Nhng ngn hng c li nhun cao hn c xu hng iu chnh li sut

cho vay v li sut tin gi di hn nhanh hn v mnh hn, so vi cc

ngn hng c li nhun t.

Cc ngn hng c cc khon vay cht lng thp th c xu hng iu

chnh li vay nhanh hn v mnh hn, so vi cc ngn hng c t cc

danh mc u t tn dng ri ro.

The pass-through from market interest rates to bank lending rates in

Germany (Mark A. Weth-2002)

- Ni dung v phng php nghin cu: Cc k khon v iu kin vay vn

ngn hng i vi cc cng ty phi ti chnh v h gia nh ng vai tr quan

trng trong vic truyn ti chnh sch tin t. Bi nghin cu ny phn tch

mi quan h gia li sut cho vay ca ngn hng c vi li sut th trng

tin t v li sut th trng vn.

- Kt lun: Bi nghin cu a ra cc bng chng cho thy s khc bit v c

cu truyn dn li sut gia cc ngn hng c. Tc iu chnh li sut

cho vay theo s thay i ca li sut th trng lin quan n quy m ca t

chc tn dng, iu kin ti cp vn v quan h vi cc t chc phi ngn

hng khc.

Cc ngn hng ln v cc ngn hng c t tin gi tit kim iu chnh li

sut cho vay theo li sut th trng nhanh hn, c th l do phm vi thit

lp li sut ca cc ngn hng ny tng i hp.

9

Trong ngn hn, li sut cho vay cng chm iu chnh hn, nu cc

ngn hng c th b p cc khon vay di hn t cc t chc phi ngn

hng, bng cc khon tin gi tng ng t cc khch hng ny.

Bank interest rate pass-through in the Euro area a cross country

comparison (Christoffer Kok Sorensen v Thomas Werner-2006)

- Ni dung v phng php nghin cu: Bi nghin cu kho st hiu ng

truyn dn t li sut th trng n li sut cc ngn hng ti cc quc gia

chu u. Tc gi s dng b d liu c hiu chnh - cc s liu thng k

ny mt phn l da vo d liu v li sut ngn hng mi do ngn hng

trung ng chu u. Qua s dng phng php hi quy bng trong kinh

t lng (panel econometric method) kim nh tnh hng ng nht

trong qu trnh truyn dn li sut gia cc ngn hng.

- Kt qu: Tc gi cho thy mc khng ng nht tng i ln trong qu

tnh truyn dn t li sut th trng n li sut ngn hng gia cc quc

gia chu u. iu ny cho thy s thiu thng nht v ng b trong h

thng li sut bn l ca chu u.

2.3. S iu chnh li sut bn l trong cc trng hp xy ra khng hong:

Interest rate pass-through during the global financial crisis: The case of

Sweden (Niels-Jakob Harbo Hansen, Peter Welz, 2011)

- Ni dung v phng php nghin cu:

Mi lin kt bn vng gia li sut chnh sch, vi li sut huy ng v

cho vay ca ngn hng (i vi ngi tiu dng v cc doanh nghip) rt

cn thit cho s truyn dn hiu qu ca chnh sch tin t. Bi nghin

cu ny phn tch qu trnh m nhng thay i trong li sut chnh sch

do Ngn hng trung ng Thy in (Ri sban ) a ra c truyn dn

n li sut th trng v li sut bn l trc v trong sut cuc khng

hong ti chnh bt u t ma h nm 2007.

10

Tc gi u tin nghin cu v s truyn dn t li sut ca hp ng

mua li (repo rate) n li sut th trng (li sut lin ngn hng) trong

ngn hn v phn tch s nh hng ca cuc khng hong ti chnh n

qu trnh truyn dn ny. Sau , tc gi tip tc phn tch v s truyn

dn t li sut th trng n li sut bn l trc v trong sut cuc

khng hong ti chnh v tho lun v hnh vi nh gi ca cc t chc

ti chnh Thy in.

- Kt qu:

Li sut th trng

o Trc khng hong, Riksbank kim sot li sut th trng trong

ngn hn kh tt, m bo s truyn dn hiu qu t li sut chnh

sch n li sut th trng. S chnh lch gia li sut th trng v

li sut k vng thp v n nh.

o Trong sut cuc khng hong ti chnh, mi lin kt gia li sut

chnh sch v li sut th trng yu i do mc chnh lch li sut

b p ri ro tn dng (risk premia) ln v d bin ng, v b nh

hng bi khng hong ti chnh ton cu.

Li sut bn l

o Trc khng hong, s truyn dn t li sut th trng n li sut

bn l chm chp nhng vn truyn dn hon ton trong di hn. Li

sut bn l i vi cc cng ty phi ti chnh th c iu chnh

nhanh hn l i vi cc h gia nh.

o Khng khong ti chnh khng nh hng n s truyn dn trong

ngn hn, nhng trong di hn tc truyn dn b suy gim.

Bank interest rate pass-through in the eurozone: Monetary policy transmission

during the boom and since the financial crash (Christophe Blot, Fabien

Labondance, 2011)

11

- Ni dung v phng php nghin cu: Tc gi nghin cu v nh hng ca

khng hong ti chnh i vi qu trnh truyn dn t li sut th trng n

li sut ngn hng khu vc ng tin chung chu u. C th l phn tch

s truyn dn li sut 11 quc gia thuc khu vc ng Euro, liu c b nh

hng bi cuc khng hong bt ngun t s cho vay th chp bt ng sn

di chun. Bi nghin cu p dng m hnh chnh l SUR-ECM.

- Kt qu: Cuc khng hong ti chnh bt u t 8/2007 nh hng mnh

n qu trnh truyn dn li sut khu vc ng Euro. S truyn dn li sut

t sau cuc khng hong c mc hon ton thp hn so vi giai on

trc . Ngoi ra, tnh hng ng nht tng ln gia cc nc thnh vin

trong khu vc ng tin chung chu u

Interest rate pass-through and monetary transmission in Asia (Pih Nee Tai,

Siok Kun Sek-2012)

- Ni dung v phng php nghin cu: Kim tra tnh hiu qu ca c ch

truyn dn li sut th trng ti li sut bn l ca ngn hng mt vi

nc chu . c bit, bi nghin cu iu tra s khc bit trong mc

truyn dn t li sut chnh sch ti li sut tin gi v cho vay qua cc quc

gia trc v sau khng hong ti chnh ti chu 1997. Bi nghin cu s

dng m hnh SUR (Seemingly Unrelated Regression equations).

- Kt qu chnh: Tc gi cho thy vic truyn dn t li sut th trng tin t

ti li sut tin gi v cho vay l chm chp v tr tr. Khng c nhiu s

khc bit gia hiu ng truyn dn n li sut tin gi vi li sut cho vay,

tuy nhin hiu ng truyn dn vo li sut tin gi cao hn mt cht. hu

ht cc quc gia,li sut tin gi v cho vay u iu chnh kh chm chp

k t sau khng hong ti chnh 1997, cho thy hiu qu ca chnh sch tin

t thp, th trng ti chnh thiu hon ho, v mc hi nhp ti chnh

thp hn ti cc nn kinh t ny.

12

2.4. Bi nghin cu Interest Rate Pass-Through, Monetary Policy Rules and

Macroeconomic Stability:

Tc gi nghin cu tnh xc nh ca trng thi cn bng (equilibrium determinacy)

trong m hnh gi cng nhc (stic y price model) m trong , hiu ng truyn dn

t li sut chnh sch n li sut bn l din ra kh chm chp v khng hon ton.

c bit, bi nghin cu cp n chi ph ca cc trung gian ti chnh - mt trong

nhng nguyn nhn lm cho li sut bn l iu chnh chm chp hn. c d tc

gi xem xt s truyn dn li sut trong mt m hnh gin lc ( hng a ra cc

iu kin c bn v vi m mt cch r rng), chi ph ny vn l mt kha cnh quan

trng trong c ch truyn dn chnh sch tin t (monetary transmission

mechanism) m thng b b qua hu ht cc m hnh khc.

Ngoi ra cn nhiu bi nghin cu cho thy, iu kin ca nguyn tc Taylor

xc nh trng thi cn bng cn phi c iu chnh trong mt s trng hp c

th:

- Theo Edge v Rudd (2002), cng Roisland (2003), khi c s tn ti ca thu

danh ngha trn thu nhp vn u t, li sut danh ngha theo nguyn tc Taylor

phi c iu chnh mnh hn.7

- Theo Gal v cng s (2004), s hin din ca nhng ngi tiu dng theo quy

tc ph bin (rule-of-thumb) trong m hnh gi cng nhc, c th lm thay i

ng cc c tnh ca nhng quy lut li sut hin hnh. c bit, s iu

chnh li sut tha mn nguyn tc Taylor hng cn xc nh trng thi

cn bng.8

7 Theo nghin cu Taxation and the Taylor principle ca Edge, R., Rudd, J. B. (2002), khi

thu nhp li sut danh ngha b nh thu, h s phn ng lm pht trong cng thc Taylor phi ln hn ng , cho m hnh kinh t c mt trng thi cn bng k vng hp l xc

nh. V khi thu sut c hiu lc tng ln do lm pht, s n nh ca trng thi cn bng

trong nn kinh t c th b nh hng theo chiu hng bt li.

8 Trong bi nghin cu Rule-of-thumb consumers and the design of interest rate rules. Ca

Gal, J., L`opez-Salido, D. J., Valles, J. (2004), mt phn ln ngi tiu dng hng gia tng

vay mn hoc tit kit ti tr chi tiu, m ngc li, theo quy lut ph bin: Mi thi k,

h ch chi tiu mt phn thu nhp t lao ng.

13

- Theo De Fiore v Liu (2005), i vi mt nn kinh t m c quy m nh, mc

m ca nn kinh t l iu kin c bit nh hng n s n nh kinh t.

Mc d vy, theo kin ca tc gi, nhiu bi nghin cu vn cha xem xt s tc

ng ca h thng ti chnh cng nh hiu ng truyn dn li sut, n tnh xc

nh ca trng thi cn bng nn kinh t. Do , bi nghin cu ny s tp trung

khai thc vn trn.

Trong bi nghin cu ny, tc gi tp trung vo kh nng xy ra bin ng ngoi

sinh (sunspot fluctuations) do hiu ng t p ng cc thay i k vng (self-

fulfilling revisions to expectations). Kt qu chnh yu cho rng, nu c s truyn

dn khng hon ton trong di hn, nguyn tc Taylor chun s hng cn

p ng iu kin xc nh trng thi cn bng v m. Do h s phn ng vi

lm pht phi ln hn m bo s cn bng n nh.

Ngoi ra, tc gi xem xt s quan trng v mt nh lng ca hiu ng truyn dn

li sut khng hon ton. Bi nghin cu m t theo thc nghim v so snh qu

trnh truyn dn li sut gia khu vc Euro (in hnh cho h thng ti chnh ch

yu da vo ngn hng, bank-based financial system) v M (in hnh cho h

thng ti chnh da vo th trng, market-based financial system) 9

. Kt qu cho

thy, s truyn dn khu vc Euro thp hn ( m hon ton) so vi M. Ngoi ra,

da trn cc kt qu thc nghim, cng nh cc lp lun theo hm phn ng chnh

sch tin t, li sut th trng cho thy nh hng nhiu hn n tng cu, do

s truyn dn thp cha hn l nguyn do gy nn tnh bt n M v chu u.

9 Theo nghin cu Ban -Based or Market-Based Financial Systems: Which is Better?, Ross

Levine, NBER Working Paper n 9138 (2002). H thng ti chnh ly ngn hng lm trung

tm (huy ng tit kim, phn b vn, gim st cc hot ng u t v qun l ri ro ) in

hnh l Nht, c, Php, Brazil, n H thng ti chnh ch yu da vo th trng chng

khon (ch yu huy ng vn thng qua pht hnh c phiu, tri phiu, ) in hnh l M,

Anh

14

2.5. Hng i ca bi nghin cu i vi chnh sch tin t Vit Nam giai on

2000 2012:

Nhm nghin cu xem xt hiu ng dn truyn li sut qua 2 giai on Vit Nam.

Da trn c s , nhm nh gi s b v nu mt s quan im l gii v tnh

hiu qu ca cng c iu hnh li sut mt trong nhng cng c quan trng ca

chnh sch lm pht mc tiu ang c quan tm hin nay.

Qua , nhm tham ho 3 bi nghin cu chnh:

- Interest Rate Pass-through, Monetary Policy Rules and Macroeconomic

Stability ca Kwapil v Schaler (2006) (bi nghin cu ti 6A).

- onetary Policy Transparency and Pass-through of Retail Interest Rates

ca Ming-Hua Liu v cng s (2005) (bi nghin cu ti 5B).

- Interest Rate Pass-through during the Global Financial Crisis: The case of

Sweden ca Peter Welz v cng s (2011).

u tin, nhm tin hnh xy dng m hnh nh lng hiu ng dn truyn 2 giai

on nhm xem xt ring bit hiu ng truyn dn t li sut chnh sch (gm li

sut ti cp vn hoc ti chit khu) n li sut th trng (gm li sut lin ngn

hng v tri phiu), v t li sut th trng n li sut bn l (gm li sut tin

gi v cho vay). Vic tch bit ny cho php chng ta im tra liu hiu ng dn

truyn t li sut chnh sch n li sut th trng c phi l hon ton (tt ) nh

theo gi nh ca bi nghin cu gc hay s dn truyn ny b bp mp do cc

hn ch ca chnh sch v th trng.

Bn cnh , hiu ng truyn dn t li sut th trng n li sut bn l (bl) c

th c xem l ch bo cho hnh vi lm mt thanh hon (tha thun ngm vi

hch hng) ca cc ngn hng trong h thng ti chnh da trn ngn hng (ban -

based) Vit Nam hin nay.

Tuy b d liu v cc loi li sut Vit Nam (giai on 2000 - 20 2) vn cn mt

s hn ch nhng t qu c lng c l h ph hp vi thc trng Vit Nam.

Do , cc t qu ny vn c gi tr v mt l lun.

15

III. XY DNG M HNH NH LNG:10

3.1. M hnh l thuyt:

Chng ta tin hnh xy dng cc phng trnh xc nh s cn bng vi vng

hp l da trn cc m hnh v cng thc ph bin. hnh s dng l: M h nh

chu inh oanh chu n theo uan im inh t h c Keynes mi (c lin h

mt thit vi m hnh trong nghin cu ca Woodford (2003)).

3.1.1. Ngn hng ti a ha li nhun:

t ngn gn m hnh v cc gi nh:

- Cc ch th trong nn inh t bao gm: cc doanh nghip, trung gian ti

chnh (ngn hng) v h gia nh.

- Ti sn duy nht trong nn kinh t l tri phiu (Bt) phi ri ro, mnh gi c

nh, thanh ton n gc v li ln hi o hn, vi li sut l Rt .

- Cc h gia nh hng th mua trc tip tri phiu m phi gi tin thng

qua cc trung gian ti chnh. C th, h gi tin (Dt) vo cc trung gian ti

chnh vi li sut RD

t, v cc trung gian s dng cc hon tin gi ny

u t vo tri phiu.

- Cc trung gian ti chnh (ngn hng) hng c ng c d tr tin gi

nn s dng tt c tin gi vo u t tri phiu. C th l Dt = Bt .

- Hn na, cc hot ng ca trung gian ti chnh l tn m v chi ph ny

c biu hin bng mt hm thay i theo li sut. Do , c th d dng

a s lm mt li sut (interest rate smoothing11) vo m hnh theo dng

n gin.

Cc trung gian ti chnh ti a ha li nhun vi hm li nhun:

Li nhun (Profit) =

10

Da theo bi nghin cu Interest Rate Pass-Through, Monetary Policy Rules and

Macroeconomic Stability (3/2006) ca Claudia Kwapil v Johann Scharler.

11 Tng t nh thut ng lm mt thanh khon (liquidity smoothing), c cp phn II.2.

16

Trong , t > i din cho chi ph hot ng trung gian ti ch nh (chi

ph ny thuc v c c nh trung gian). C th, ch ng ta gi nh:

(

( )

)

i . Gi tr c chn sao cho t > 1.

Vi cc gi nh trn, ta c lng gn ng logarit tuyn tnh (log-linear) ca

iu in cn thit ngn hng ti a ha li nhun (li ch bin t tri

phiu chi ph bin ca tin gi), ta c:

Trong , c c bin m phn nh t l phn trm ( ) thay i so v i mc

n nh (steady state).

T ( ), chng ta nhn thy rng:

-

biu th hiu ng truyn n trc ti t li sut tri phiu c gi

nh l li sut mc tiu ca chnh sch tin t.

-

biu th un t nh t nh ) ca li sut tin gi (tc ng t li sut tin

gi thi k trc).

3.1.2. Hnh vi ca cc h gia nh:

Cc h gia nh ti a ha hu dng vng sut i (expected lifetime

utility):

Trong :

(1)

(2)

17

> 0 v > 0. Trong , l h s c nh co d n thay th ca

tng trng ti u d ng i v i tit kim, l h s c nh co d n

ca cung lao ng.

l h s chit khu.

Ct phn nh ti u d ng v i mt r hng ha thi k t.

Lt phn nh cung lao ng thi k t.

Tng tiu dng hng ha Ct c tnh theo hm tng C S co dn ca s

thay th hng i (Constant lasticity of Substitution) ca lng tiu th cc

hng ha hc nhau, Ct(i). C th:

( ( )

)

i i (0,1) v l co d n ca s thay th gi a c c hng ha ca

cc doanh nghip sn xut.12

Cc h gia nh bt u hn gi tin mi ( t) vi s d tin gi ngn hng

cui trc Dt-1 . Cc h gia nh cung ng Lt n v lao ng (thng l

thi gian lao ng) ng vi mc lng danh ngha Wt. Ngoi ra, mt s h gia

nh i din s hu cc doanh nghip v cc trung gian ti chnh; dn n thu

nhp h nhn c cn c c tc t.

Do , cc hon tin gi vo cui c th c tnh bng:

Trong :

Pt phn nh ch s gi tng hp.

t phn nh c tc c chia vo cui k hn.

12

Tham kho bi nghin cu The impact of inflation and uncertainty on the optimum markup set

by firms ca Russell, Evans v Preton (2002).

18

Cui cng, hnh vi ca cc h gia nh c trnh by ngn gn qua phng

trnh tiu dng uler thng thng v phng trnh cung lao ng (s c s

dng phn sau):

i t = log(Pt) log(Pt-1) l t l lm ph t.

3.1.3. Hnh vi ca cc doanh nghip:

Lnh vc sn xut inh doanh ca nn inh t bao gm chui cc doanh nghip

cnh tranh c quyn c tiu chun ha thnh n v i chng (ng nht):

- Doanh nghip i thu lng lao ng Hit .

- Sn lng u ra sn xut bi doanh nghip i c tnh: Yit = Hit1- vi

(0,1).13

Hn na, chng ta gi nh rng: tn ti s thit lp gi lch pha14 (staggered

price) (mc gi cp y l gi bn sn phm) v lm pht ph thuc vo

gi tr lch s. C th:

- Vo mi thi , t l doanh nghip c th iu chnh mc gi sn phm l

(1-). Trong s cc doanh nghip ny, t l doanh nghip c th iu chnh

mc gi hin ti mt cch ti u l (1-); phn cn li tun theo quy lut

13

Theo nghin cu uropean inflation dynamics ca Gal v cng s (2001), hm sn xut tng

qut l Yit = AitHit1- , trong Ai biu th nhn t cng ngh ca doanh nghip i. Trong bi nghin

cu gc, tc gi n gin ha hm sn xut v lc b nhn t cng ngh. T , ( - ) biu th

co gin ca sn lng theo lao ng, v () biu th co gin ca cc nhn t khc. 14

Theo nghin cu Inflation dynamics: A structural economitric analysis ( 999) v uropean

inflation dynamics (200 ) ca Gal v cng s. S thit lp gi lch pha (staggered price setting)

l trng hp cc doanh nghip iu chnh gi chm hn, so vi cc c nhn hoc doanh nghip

hc (v hng gian), hoc so vi thi im iu chnh hp l (v thi gian). iu ny dn n

tnh ca mc gi chung trong nn kinh t.

(3)

(4)

19

neo theo gi qu kh (bac ward loo ing rule) (iu chnh mc gi ch da

trn cc d liu v inh nghim trong qu h).

T cc gi nh v hnh vi thit lp mc gi ca cc doanh nghip, Gal v cng

s (200 ) xut mt dng ng cong Phillips c phng trnh:

Trong :

( )( )( )( )

( ( )) ( ( )).

mct phn nh chi ph bi n thc trung bnh.15

p dng cc iu in cn bng th trng:

- Yt = Ct (cn bng th trng hng ha, t dng nn phng trnh ng

IS).

- Ht = Lt (cn bng th trng lao ng).

- Phng trnh ng cung lao ng (4).

Bin i m hnh logarit tuyn tnh (3) v (5), ta c:

i

.Trong , l h s c nh co d n thay th

ca tng trng ti u d ng i v i tit kim, l h s c nh co d n

ca cung lao ng. 1- l co gin ca sn lng theo lao ng.

15

Theo Gal v cng s (2001), chi ph bin thc l chi ph bin danh ngha iu chnh cho ch

s gi, qua phn nh chi ph thc ca doanh nghip tng ln hi gia tng sn lng. Ch ph ca

doanh nghip y ch yu l lng ca cng nhn.

(5)

(6)

(7)

20

Phng trnh ng nh i16 (intertemporal) IS ( ) v phng trnh

ng cong Phillips (7) to thnh m hnh c s, c s dng rng ri nh

gi chnh sch tin t (theo Clarida v cng s, 1999).

T phng trnh ( ), t

v . Ta c phng trnh bin

ng ca li sut tin gi:

Trong :

1 phn nh hiu ng truyn dn trc tip t l i sut ch nh s ch n

l i sut tin g i, ti thi k t.

2 phn nh mc u n t nh (t nh ) ca l i sut tin g i (t c ng

truyn dn t l i sut tin g i k tr c).

3.1.4. Phn ng ca chnh sch tin t:

Nhm m t mt cch y cc im cn bng ng (equilibrium dynamics)

trong m hnh, tc gi a vo mt quy lut li sut nhm m t chnh sch tin

t. Gi nh rng, chnh sch tin t nhm n iu chnh li sut tri phiu Rt:

Trong :

Rt l l i sut tr i phiu c ng ch nh l l i sut mc ti u ca ch nh

s ch tin t.

phn nh mc u n t nh (t nh ) ca ch nh s ch tin t (nh hng

ca l i sut tr i phiu thi k tr c).

16

Theo nghin cu Two new eynesian Theories of Stic y Price odel, Roger. .A. Farmer

(2000), s nh i (intertemporal) y l s nh i gia tiu dng hin ti v s tit kim

tng lai.

(8)

(9)

21

, Y m t phn ng ca l i sut ch nh s ch ln lt i v i lm

ph t v sn lng.

3.2. Hiu ng truyn d n li sut v t nh xc nh ca trng thi cn bng:

Bi nghin cu h n t ch nh hng ca hiu ng truyn n l i sut n c

t nh c n bng ca m h nh a tr n iu in c nghim ca h h ng tr nh

6) ) vi cc bin ch nh l ]

H phng trnh ( ) (9) c th c vit gn li di dng ma trn:

( )

Trong :

ut = [ ]

A v B l ma trn h s v i c c phn t l hm ca c c tham s cu tr c

(structural parameters) c xc lp trong mi phng trnh t (6) n

(9).

T , tnh xc nh (determinacy) hay s n nh (stability) ca trng thi cn

bng vi vng hp l17 (rational-expections equilibrium) tng ng vi trng

hp: s lng cc gi tr c trng (eigenvalues) ca ma trn A-1B bn ngoi vng

n v (unit circle) bng vi s lng bin xc nh (predetermined variables).18

17

Theo nghin cu Stable sunspot solutions in models with Predetermined variables ca Evans

v McGough (2002), trng thi cn bng hp l (rational-expectations equilibrirum) c ngha l:

Khi cc bin ngu nhin Xt (stochastic) v cha xc nh (non-predeterminated) tha mn hm ph

thuc vo gi tr k vng tng lai hp l Et(Xt+1). Trong trng hp ny, cc yu t ngoi sinh

(sunspot) biu th qua tm l c duy tr n nh, v k vng tng lai vn hng i. Ngc li,

khi cc bin Xt khng tha mn hm ph thuc vo gi tr k vng tng lai hp l Et(Xt+1), gi tr

k vng s b iu chnh do bin ng t yu t ngoi sinh (sunspot), qua tip tc lm bin

ng gi tr Xt n khi k vng hp l c tha mn (self-fulfilling revisions of expectations).

18 Nghin cu The solution of Linear diffirence models under rational expectations ca

Blanchard v ahn ( 980), Predeterminated and Non-Predeterminated variables in rational

expectation models ca Willem H.Buiter ( 982), Self-fulfilling expectations and fluctuations in

aggregate demand ca Woodford (1990) l gii c th hn cho vn ny. Cc bin xc nh

(predetermitaned) l cc bin ph thuc vo cc bin bit trong qu kh hoc hin ti, m

khng ph thuc vo k vng tng lai. Cc bin cha xc nh (non-predetermitaned) ngoi ra

22

Bn cnh , bi nghin cu gi nh mt s iu in ca m hnh phn tch

nh hng ca cc tham s 1 v 2 (phn nh hiu ng truyn dn) n trng thi

n nh (tnh xc nh trng thi cn bng).

C th hn, cc tham s c chn nh sau:

- H s chit hu = 0 .

- H s l h s xc nh co dn thay th ca tng trng tiu dng i vi

tit kim, l h s xc nh co dn ca cung lao ng19

, = = 2.

- = 11 tng ng vi mc chnh lch n nh l 10% (steady state markup).20

- = 0 33 biu th co gin ca sn lng theo lao ng21 l (1- ) 0, 7.

- = 0 3 ngha l c 30% cc doanh nghip tun theo quy lut neo theo gi qu

kh (backward-looking pricing rule).

- = 0 75 vi gi nh, mc gi c c nh mc trung bnh trong qu.

Vic cn chnh hnh vi thit lp gi ca cc doanh nghip rt ph hp vi cc

bng chng thc nghim gn y (nghin cu ca Leith v alley, 2005).

- = 0,8 da trn bng chng thc nghim trong bo co ca Gerdesmeier v

Roffia (200 ) hu vc ng Euro, Clarida cng s (2000) .

cn ph thuc vo k vng tng lai. T ta xc lp c bin sn lng Yt v lm pht t l 2

bin cha xc nh. Li sut chnh sch Rt v bn l RtD l 2 bin xc nh theo sn lng v

lm pht hin ti. Quay li cch gii ma trn, h ma trn trn c th c bin i thnh

( ) . Khi s gi tr c trng (eigenvalues) ca ma trn A

-1B nm ngoi vng

n v bng vi s bin xc nh ( trn l 2), h phng trnh c lc gin thnh h 2 n 2

phng trnh, vi hng ln nht (rank) ca ma trn A-1

B l 2, tha mn iu kin c nghim

ca ma trn.

19 Theo nghin cu Two new eynesian Theories of Stic y Price odel, Roger. .A. Farmer

(2000) v , h s co gin thay th ca tng trng tiu dng vi tit kim l / , h s co gin ca

cung lao ng l /.

20 Theo nghin cu Strategic Complementarities and Optimal monetay policy ca Andrew

T.Levin v cng s (2006), mc n nh (steady state) l khi tt c cc bin v danh ngha tng

cng t l vi nhau, v cc bin s gi nguyn quan h tng i. Mc n nh ca h s chnh

lch (steady state markup) l h s chnh lch (c k vng l hng i) gia mc gi so vi

chi ph bin trung bnh sn xut hng ha ni chung. Cng thc tnh l

, vi = 11 ta

tnh c = 1,1 biu th h s chnh lch n nh mc lch 10%.

21 Tham kho nghin cu uropean inflation dynamics (200 ) ca Gal v cng s.

23

n gin ha, chng ta xem xt trng hp chnh sch tin t hng phn ng

vi l hng sn lng (output gap), ngha l y = 0.

t

, phn nh tc ng di hn ca li sut chnh sch n li sut tin

gi.

T iu in t c trng thi cn bng hp l (ni cch hc, h phng

trnh ( ) (9) c nghim tha mn gi tr k vng hp l), ta c:

- Min xc nh l . > 1

- ng bin gii (gia 2 min) c phng trnh . = 1

Hnh : Min c nh v min kh ng c nh.

Hnh biu th ng bin gii chia mt phng tham s (, ) thnh 2 phn tng

ng vi s cn bng xc nh v cn bng hng xc nh. ng bin gii dc

xung v li v pha gc ta .

- Nhng im nm bn phi ng bin gii tng ng vi b tham s (, )

thch hp to ra s cn bng xc nh.

- Ngc li, nhng im nm bn tri dn n s hng xc nh.

Do , ng bn gii xc nh gii hn di ca .

Min c nh

Min khng c nh

24

> t ng ng vi t nh xc nh ca trng thi cn bng hp l.

D thy rng: Hiu ng truyn dn di hn cng yu, th i hi phn ng cng

mnh ca chnh sch tin t vi lm pht m bo tnh xc nh. C th hn,

vic t iu in ca chng ta trn ch ra rng vi y 0 th tng ng vi

1/.

Ta rt ra t lun: Trong m i trng ny vi cc gi nh trong bi) nguy n

tc Taylor c n c iu chnh thnh . 1 thay v > 1 nguy n tc

Taylor chu n).

Vi cc gi tr ca < , s cn bng l hng xc nh v bin ng do hiu

ng t p ng cc thay i k vng (self-fulfilling revisions in expectations)

xy ra22. iu ny c th nhn thy d dng: Vi nh, thay i trong li sut

chnh sch b hp th phn ln bi lnh vc ngn hng v hng truyn n cc h

gia nh. Do , nu vng lm pht tng, chnh sch tin t phi tht cht mnh

m bo tc ng cn bng (n nh) ln tng cu.

t n hiu ng truyn dn di hn , qun tnh (tnh ) 2 cao s b p cho mc

truyn dn ban u (trc tip) 1 thp. t trn ng bin, vi th , do

cn bng xc nh khi > 1. V vy, vi hiu ng truyn dn hon ton (t nht

l trong di hn), ta t c nguyn tc Taylor chun.

t s tranh lun:

- pha trn, chng ta gii hn phn tch trong trng hp y 0. Vi y > 0,

ng bin gii dch chuyn xung di, do xt n c phn ng ca li sut

danh ngha n l hng sn lng (output gap). Theo ng cong Phillips, t l

lm pht cao hn (lin tc) hm l hng sn lng cao hn (lin tc), dn n

li sut cao hn trong di hn (theo nghin cu ca Woodford, 2003). Tuy

nghin, thc nghim cho thy nh hng ca y n l hng ng .

22

Hiu ng t p ng cc thay i k vng c l gii phn I.1.

25

- Ch phng trnh (9): Li sut danh ngha c iu chnh ng thi theo

lch so vi trng thi n nh ca lm pht v sn lng. Nhng bng chng

thc nghim cho thy chnh sch tin t hot ng vi hng neo theo vng

tng lai (forward-loo ing manner). Trong m hnh vi quy lut li sut neo

theo k vng tng lai (forward-loo ing), nguyn tc Taylor vn l mt iu

in quan trng cho tnh xc nh (n nh) ca s cn bng, mc d nguyn tc

c ni lng. C th hn, hi li sut danh ngha iu chnh do phn ng

vi vng lm pht tng lai, tnh xc nh i hi hng qu ln23 (theo

Woodford, 2003). Tuy nhin, gii hn trn ca l qu rng tha mn cho

nhiu cch tham s ha hp l (parameterizations), v tho mn cc quy lut li

sut theo thc nghim.V vy, vic tp trung phn tch da trn trng phi quy

lut li sut hng neo theo vng tng lai (non-forward-loo ing) hng

b gii hn qu mc (vn cho thy tnh thuyt phc).

IV. KT QU THC NGHIM M V EURO:24

Trong phn ny, bi nghin cu s tin hnh so snh thc nghim hiu ng truyn

dn (pass-through) li sut gia 2 h thng ti chnh:

- Khu vc chu u Euro: H thng ti chnh da vo ngn hng.

- Nc M - U.S.: H thng ti chnh da vo th trng

M hnh thc nghim c s dng da trn phng trnh (8) phng trnh m t

quan h li sut bn l (retail interest rate) v li sut th trng. V m hnh ny

cha tnh n u t mt cch r rng, Ct c hiu theo ngha rng: l thnh phn

23

Ngoi ra, theo nghin cu Forward-looking vesus Backward-loo ing Taylor rules ca Charles

T.Carlstrom v cng .s (2000), khi thm yu t k vng lm pht tng lai vo hm iu chnh

li sut danh ngha, h s phn ng i vi lm pht hin ti hoc qu kh c th c gim bt,

thng qua h s iu chnh k vng . Cng thc tng qut l ( ( ) ) . iu kin xc nh c trng thi cn bng thc l v . Nu k vng v lm pht tng lai c xt n, , h s phn ng li sut danh ngha lm pht hin ti s st gim.

24 Theo bi nghin cu Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic

Stability (3/2006) ca Claudia Kwapil v Johann Scharler.

26

nhy cm vi li sut trong GDP, bao gm c tiu dng v u t. Do , bi

nghin cu s da trn mt lot cc li sut bn l thch hp vi ngi tiu dng

(li tin gi) v doanh nghip (li cho vay).

Qu trnh phn tch thc nghim bao gm cc bc:

- Bc 1: Kim nh nghim n v (unit roots) ca chui d liu v li sut bn

l v li sut chnh sch (li sut th trng k hn 3 thng c ly lm i

din cho li sut chnh sch).

- Bc 2: Kim nh ng lin kt (cointegration) gia li sut bn l v li sut

chnh sch, qua hi qut ha phng trnh (8) thnh m hnh hi quy sai s

hiu chnh (error-correction model).

- Bc 3: c lng hiu ng truyn dn trong ngn v di hn, s dng hm hi

quy tng t phng trnh (8).

4.1. D liu:

Do c s khc bit v h thng thng k d liu, vic tm chui li sut bn l

tng xng cho nc M v khu vc uro l h h hn. c s tng xng,

vi li tin gi ngn hng, bi nghin cu chn cc li sut c k hn tng t

nhau. Vi li cho vay, s bao gm cc li sut cho vay kinh doanh v tiu dng ph

bin t ngn n di hn. C th, bi nghin cu chia b d liu ring bit cho 2

khu vc:

- Nc M:

Li sut tin gi: Bao gm 4 loi li sut khc nhau, k hn t n 12

thng.

Li sut cho vay: Bao gm 3 loi li sut khc nhau: khon vay kinh doanh

ngn hn, tn dng tiu dng ngn hn, khon vay th chp cho kinh doanh

v tiu dng.

- Khu vc Euro:

27

Li sut tin gi: Bao gm 5 loi li sut tin gi hc nhau: tin gi thanh

ton (sight deposits), tin gi tit kim (k hn di v trn 3 thng) v tin

gi c k hn (k hn di v trn 2 nm).

Li sut cho vay: Bao gm 4 loi li sut cho vay hc nhau: hon vay kinh

doanh (k hn di v trn nm), hon vay tiu dng ngn hn v khon

vay tiu dng c th chp.

Cc loi li sut trn u l d liu hng thng, ngoi tr li tn dng tiu dng

M c bo co theo qu. D liu ch yu c ly trong thi t / 995 n

9/2003 do cha th tm c chui d liu no di hn25

. Bng m t d liu c th

c trnh by phn Ph lc A.

Nhiu li sut bn l c xem xt, nhm cho mt ci nhn tng quan v hiu ng

truyn dn (pass-through) qua nhiu loi li sut khc nhau. Tuy nhin, bi nghin

cu cn xy dng li sut bnh qun gia quyn, nhm xem xt tc ng nht qun

thng qua gi tr i din ny. Trng s c la chn da trn t trng ti khon

tin gi hoc cho vay trong danh mc ca ngn hng thng mi:

- Ti M, trng s c tnh t Flow of Fund Accounts of the United States,

c cng b bi Board of Governors of the Federal Reserve System26

. Tuy

nhin, ti khon tin gi27

hng c phn theo k hn, nn khng th xy

dng bnh qun gia quyn cho ring li sut tin gi ti M.

- Ti khu vc Euro, t trng c ly trc tip t bng cn i k ton theo cng

b ca Monetary Financial Institutions (MFI), trong thng k ca CBs

Monthly Bulletin28

.

25

Nm 2003, Ngn hng Chu u CB thay i cch tnh li sut hng thng v ngng cng b

d liu theo trc 9/2003. D liu bt u t cui 2003 khng ph hp vi d liu trc .

26 Nm 2003, hon vay kinh doanh chim 29%, vay tn dng tiu dng chim 15% v vay th

chp chim 51% tng s cho vay ca ngn hng thng mi. Tng cng l 95%.

27 C tin gi c k hn v tin gi tit kim.

28 Nm 2003, hon vay kinh doanh, vay tiu dng ngn hn v vay th chp tiu dng chim ln

lt 52%, 8% v 40% tng cho vay. Ngoi ra, tin gi thanh ton, tit kim v c k hn chim

28

Cc bin li sut c m t c th Ph lc A.

4.2. Kim nh nghim n v v ng lin kt:

Kim nh nghim n v:

- Cc m hnh kim nh:

ADF test (tham kho Dickey v Fuller (1979); Said v Fuller (1984))

PP test (tham kho Phillips (1987); Phillips v Perron (1988))

NgP tests: Ng v Perron (2001) cho rng cc kim nh nghim n v

trn c ngha thng k thp, v quy m b nhiu. Do , bi nghin cu

s dng thm 4 kim nh ca Ng v Perron nhm tng ngha v quy

m kim nh.

- Kt qu kim nh:

Tt c trng hp u cho thy chui d liu l lin kt bc nht I( ), tng

ng vi c ADF test, PP test v NgP tests.

Cn mt trng hp ngoi l, l chui li sut tin gi thanh ton khu vc

Euro, ch c PP test cho kt lun lin kt bc nht I(1), ADF test v NgP

tests li kt lun chui d liu lin t bc hai I(2). Do , t lun theo a

s kim nh l I(2).

Kt qu kim nh chi tit c trnh by Ph lc B1 v B2.

Kim nh ng lin kt

phn ny, chng ta s tin hnh kim nh ng lin kt, do li sut th trng

v li sut bn l l lin kt bc nht I(1) (ngoi tr li sut tin gi thanh ton

khu vc Euro). Chui d liu li sut tin gi thanh ton hu vc uro c

loi b khi kim nh ny.

- Cc m hnh kim nh:

ln lt 38%, 31% v 31% tng tin gi ca t chc phi ti chnh v h gia nh trong hu vc

Euro.

29

Kim nh phn d hi quy OLS (OLS-residual-based tests) c

xut bi Engle v Granger (1987) (ADF test), Phillips v Ouliaris (1990)

(PP test).

PR tests c pht trin bi Perron v Rodriguez (2001), s dng hi

quy GLS vi d liu loi b xu hng (detrended), c thit k

tng t kim nh ca Ng v Perron (2001). C th hn, im nh gm

2 loi PR tests, l dng ci tin t thng k PP test (MZa) v ADF test

(ADF-GLS).

- Kt qu kim nh:

i vi M, kim nh chun (ADF v PP test) kt lun li sut bn l (tin

gi cng nh cho vay) ng lin kt vi li sut th trng (ti mc ngha

ti thiu l 10%). Tuy nhin, PR tests li ph nh kt lun trn.

i vi khu vc Euro, ADF v PP test cho kt lun hng ng b. Li sut

cho vay di hn cho kt qu ng lin kt, cn li cho vay ngn hn v li

tin gi ngn hn c v hng ng lin kt vi li sut th trng. Tuy

nhin, i vi li sut bn l , PR tests ci tin li cho kt lun r rng

hng c ng lin kt mi chui li sut.

Cc kt lun t PR tests cho thy ngha thng k cao t hi quy GLS vi

d liu loi b xu hng (detrended), nn bi nghin cu kt lun rng,

khng c li sut bn l no ng lin kt vi li sut th trng.

Kt qu kim nh chi tit c trnh by Ph lc B3 v B4.

4.3. Hiu ng truyn d n di hn Kt qu thc nghim M v Euro:

4.3.1. M hnh hi quy:

Chng ta c lng hiu ng truyn dn trong ngn v di hn da trn phng

trnh (8).

30

Do chui li sut c kim nh khng c tnh dng, l chui lin kt bc nht

I(1), nn cc bin s li sut u c ly vi phn bc . Bn cnh , do hng

tm thy tnh ng lin kt gia li sut th trng v li sut bn l, sai s hi

quy (theo m hnh C ) c loi tr khi hm hi quy.

Phng trnh (8) c bin i thnh hm hi quy tng qut (10). M hnh hi

quy c s dng c lng l m hnh ADL (Autoregressive Distributed-

Lag) iu chnh tr hi quy. Cc bin tr ca li sut th trng v li sut

bn l c thm vo trong qu trnh hi quy. S lng bin tr c la chn

da trn iu kin Akai e Information vi s lng bin tr ti a l .

Trong :

Cc bin s u dng sai phn bc 1.

Hiu ng truyn dn ngn hn 1 c o lng bi ao , cho bit tc

ng trc tip ca li sut th trng hin hnh Rt n li sut bn

l hin hnh RDt .

Hiu ng truyn dn di hn cho bit t c ng qua nhiu thi k

ca li sut th trng Rt-i ln li sut bn l RD

t-i , ua nh

hng trc tip hoc gin tip n li sut bn l RDt trong hin ti.

c o lng nh sau:

(n v m cho bit s bc tr tng ng ca bin Rt v RD

t )

31

Cc phn sau y s tip tc trnh by cc kt qu hi quy v tin hnh so snh

hiu ng truyn dn li sut M v khu vc Euro.

4.3.2. Hiu ng truyn dn M:

Bng 1: Hiu ng truyn dn ngn v di hn M, thi k 1995 - 2003

Ghi ch: TCD l vit tt ca Time Certificates of Deposit chng ch tin

g i tit kim. Trong ngoc n l sai s chun tng ng h s hi quy. Sai

s chun ca cc h s truyn dn di hn c t nh theo phng ph p

Delta (xem Greene, 2000, trang 330). Chui s liu v li sut cho vay th

chp M c rt ngn thnh 1995-2000, do nm 2000 c s thay i

ng k v s liu. Ngoi ra, hiu ng truyn dn ngn v di hn sau nm

2000 c ng cho thy s st gim mnh. V vy, nhm trnh sai st t li sut

th chp, trng s c iu ch nh theo giai on 1995-2000.

Hiu ng truyn dn di hn i vi li sut tin gi ngn hng gn nh l hon

ton. C th, i vi li sut k hn ngn (1 v 3 thng), gi thit Ho: = 1

c chp nhn. i vi li sut k hn di (6 v 12 thng), hiu ng truyn

dn cng tin gn n mc n v ( thp hn hng ng ).

Ngoi ra, hiu ng truyn dn ngn hn vi li sut tin gi cng gn nh hon

ton. iu ny cho thy nhng thay i trong li sut th trng c truyn

32

dn mt cch nhanh chng. Trong vi trng hp, hiu ng truyn dn ngn

hn thm ch cn ln hn di hn.

Hiu ng truyn dn di hn i vi li sut cho vay hng c ng nht vi

nhau. Mt mt, trong di hn, li sut th chp M b ngn hng hp thu kh

nhiu, nu li sut th trng thay i 00 im c bn29

, li sut th chp ch

thay i 29 im c bn. Mt khc, vi li vay kinh doanh ngn hn, hiu ng

truyn dn di hn gn nh l hon ton (chp nhn gi thit Ho: = 1 vi

ngha thng cao). Tng t, hiu ng truyn dn ngn hn cho thy s khc

bit ln cc loi li sut khc nhau.

Cui cng, i vi bnh qun gia quyn ca li sut cho vay, hiu ng truyn

dn di hn M l 0,57. Ni cch khc, trong di hn, ch c gn 0% thay i

ca li sut th trng k hn 3 thng ( 0 im so vi 00 im c bn) c

truyn dn n ngi i vay, v phn cn li b hp th bi h thng ngn

hng.

4.3.3. Hiu ng truyn dn khu vc ng Euro:

Bng 2: Hiu ng truyn dn ngn v di hn khu vc Euro, thi k 1995 -

2003

29

im c bn (basis point) biu th lng thay i tuyt i ca cc s liu v li sut hoc t

sut sinh li. 00 im c bn tng ng vi im phn trm thay i ca li sut.

33

Ghi ch: TD l vit tt ca Time Deposits chng ch tin g i tit kim.

Trong ngoc n l sai s chun tng ng h s hi quy. Sai s chun ca

cc h s truyn dn di hn c t nh theo phng ph p Delta ( em

Greene, 2000, trang 330).

Hiu ng truyn dn i vi li sut tin gi khu vc Euro thp hn nhiu so

vi M. Trong di hn, hiu ng truyn dn ch nm t 0,27 (li sut tit kim

k hn nh hn 3 thng) n 0,66 (li sut tit kim k hn 2 nm). t qu ny

nh hn so vi bo co ca De Bondt (2005), tng ng vi mi loi li sut.

Tuy nhin, ln tng i gia cc h s mi loi li sut vn gia nguyn

so vi bo co ca De Bondt (2005). Trung bnh, trong di hn, hiu ng truyn

dn khu vc Euro khong 0,32.

Hiu ng truyn dn ngn hn vi li sut tin gi khu vc uro cng hng

ng nht vi nhau. Vi li sut k hn ngn, hiu ng truyn dn ngn hn (1

thng) chim n 1/3 hoc hiu ng truyn dn di hn. Vi li sut k

hn di, truyn dn ngn v di hn tng i ging nhau.

Hiu ng truyn dn di hn vi li sut cho vay khu vc Euro vn thp hn

bo co ca De Bondt (2005). truyn dn ch nm trong khong t 0,43 (li

sut vay tiu dng k hn ngn) n 0,69 (li sut vay kinh doanh k hn 1

nm).

Bnh qun gia quyn li sut cho vay (k c k hn ngn v di) c truyn

dn di hn l 0,48. V vy, khu vc Euro, c gn 50% thay i ca li sut

th trng k hn 3 thng (50 im so vi 00 im c bn) c truyn dn

n ngi i vay, v phn cn li b hp th bi h thng ngn hng.

4.3.4. Tm lc kt qu:

Qua cc kt qu trn, chng ta tm gn kt qu thc nghim so snh truyn

dn nh sau:

- t trung bnh, hiu ng truyn dn di hn vi li sut tin gi M gn

nh l hon ton, cn khu vc Euro ch mc 0,32.

34

- t trung bnh, hiu ng truyn dn di hn vi li sut cho vay M (0,57)

cng ln hn so vi khu vc Euro (0,48). Tuy nhin, s khc bit khng c

ngha thng k cao.

T thc nghim trn cho thy, hiu ng truyn dn di hn M l ln hn so

vi khu vc Euro.

4.4. Cc tranh lun:

Mc tiu ca bi nghin cu ny l phn tch qu trnh truyn dn t li sut chnh

sch n li sut bn l, nh hng n tnh cn bng xc nh v n nh trong nn

kinh t v m. Tuy nhin vic tnh ton nh lng gp h hn, gia li sut bn

l v li sut th trng, li sut no c tc ng ng h n n tng c u.

Ch c mt ph n nh cc h gia nh v c ng ty a vo cc trung gian ti

chnh, ph n cn li tham gia vo th trng ti chnh mt cch trc tip. Nu

s truyn dn li sut bn l b gii hn, do s hnh thnh cc mi quan h v

nhng tha thun ngm, th li sut th trng ni chung s iu chnh rt gn theo

li sut chnh sch. Gi nh rng, t nht s truyn d n t li sut chnh sch

sang li sut th trng trong di hn l g n nh hon ton th hiu ng

truyn d n n li sut mt cch tng th (li sut tc ng n tng c u), s

ln h n n ring li sut bn l.

M, s truyn dn trong di hn, i vi hu ht cc danh mc li sut tin

gi v 0,57 i vi li vay. Do t qu thc nghim cho thy rng (gii

hn di ca ) nm gia 1 v 1,75 M30

. Mc d vy, h thng ngn hng cng

nh li sut bn l ch ng vai tr tng i nh trong vic xc nh tng cu

M31

. Vy nn chng ta c th kt lun rng thc cht c th nm gn vi cn

di hn (gi tr ).

30

Bi nghin cu gi nh = 0. Theo thc nghim, gi tr hp l ca cng gn bng gi tr

ny.

31 Bi nghin cu gc tham ho Comparing Financial Systems (Allen, F., Gale, D., 2000) v

Ban finance versus bond finance: What explains the differences between the US and

urope?(De Fiore, F., Uhlig, H., 2005).

35

khu vc ng Euro, s truyn dn trung bnh trong di hn thp hn so vi M.

Do , gi tr phi ln hn m bo tnh xc nh. Kt qu c lng i vi

s truyn dn trung bnh n li vay th cho ra , cn i vi li sut tin gi

th 3. Tng t nh M, li sut th trng khu vc uro tc ng nhiu

n tng cu v n nh v m, hn l li sut bn l. Do s truyn dn i vi li

sut th trng l cao hn, nn nhng gi tr 2 v 3 ca nn c hiu l gi tr

cn trn. Gi tr s nm gia 1 v 2 (hoc 3). Mc d vy, trong h thng ti

chnh da trn ngn hng nh hu vc ng Euro, khng nn qu nh so vi 2

hoc 3. Nhn chung, s truyn dn cao hn n li sut bn l M cng vi quy

m tng i nh hn ca ngnh ngn hng M cho thy rng, M thp hn

so vi chu u.

So snh vi cc kt qu thc nghim khc, ta c:

- Clarida v cng s (2000) c lng = 2.15 th trng M trong giai

on Volcker-Greenspan.

- Da vo d liu thi gian thc t (real-time-data), Orphanides (2005) cho ra kt

qu 1.8.

- Vi khu vc ng Euro, Gerdesmeier v Roffia (2004) c tnh nm t 1.9

n 2.2.

Nhng c lng trn mt ln na lm vn tr nn phc tp hn. c d vy,

nhng gi tr c lng ca thng ri vo min xc nh c M v khu vc

ng Euro ( > ). Tuy nhin, khu vc ng Euro vi h thng ti chnh da

trn ngn hng, gn vi min hng xc nh hn M.

36

V. QU TRNH TRUYN DN LI SUT VIT NAM

KT QU THC NGHIM TRONG GIAI ON 2000

2012:

5.1. D liu:

Bng 3: Thng k d liu li sut Vit Nam t nm 2000 n 2012.

L i sut Ngun Cch tnh Thi gian

ly m u

L i sut tin gi

(LSGUI) IFS, NHNN

Gi tr cui thng. Tnh

theo %/nm. Tnh bnh

qun gia quyn tt c

hn.

2000:01 -

2010:12

L i sut cho vay

(LSVAY) IFS, NHNN

Gi tr cui thng. Tnh

theo %/nm. Tnh bnh

qun gia quyn tt c

hn.

2000:01 -

2010:12

L i sut ti c vn

(LSTCV) NHNN

Gi tr cui thng. Tnh

theo %/nm. Tnh ng

theo li sut NHNN cng

b trong thi .

2000:04 -

2012:02

L i sut ti chit hu

(LSTCK) NHNN

Gi tr cui thng. Tnh

theo %/nm. Tnh ng

theo li sut NHNN cng

b trong thi .

2000:04 -

2012:02

L i sut th trng

lin ngn hng

(LSNH)

NHNN

Gi tr cui thng. Tnh

theo %/nm. Tnh bnh

qun n gin tt c

hn.

2004:07 -

2012:02

L i sut th trng

tri hiu ch nh h

hn 1 nm LSTP)

Bloomberg

Gi tr cui thng. Tnh

theo %/nm. Tnh theo

thng ca Bloomberg.

2007:03 -

2012:02

37

Ghi ch:Li sut c bn cha c nhm nghin cu xem xt, do vic quy

nh li sut c bn Vit Nam vn cha ph t huy nhiu hiu qu trong

iu hnh chnh sch (theo nhn nh ca TS. Nguyn Ngc Bo - V trng

V Chnh sch tin t - NHNN Vit Nam). Ngoi ra, k t khi p dng li

sut c bn 8/2000, NHNN mt s ln thay i c ch t nh c ng nh c ch

p dng v i ngn hng, do gy n n nhiu bt li khi thng k.

5.2. Xy dng cc m h nh nh lng:

phn m rng ny, nhm nghin cu s xem xt hiu ng truyn dn ring th

trng Vit Nam, qua a ra nh gi s b v hiu qu ca chnh sch tin t

khi s dng cng c iu hnh li sut.

Qua , nhm tham ho 3 bi nghin cu chnh:

- Interest Rate Pass-through, Monetary Policy Rules and Macroeconomic

Stability ca Kwapil v Schaler (2006) (bi nghin cu ti 6A).

- onetary Policy Transparency and Pass-through of Retail Interest Rates

ca Ming-Hua Liu v cng s (2005) (bi nghin cu ti 5B).

- Interest Rate Pass-through during the Global Financial Crisis: The case of

Sweden ca Peter Welz v cng s (2011).

V xy dng m hnh nh lng Vit Nam nh sau:

1. Xem xt ring bit hiu ng truyn dn t li sut chnh sch (gm li sut

ti cp vn hoc ti chit khu) n li sut th trng (gm li sut lin

ngn hng v tri phiu), v t li sut th trng n li sut bn l (gm li

sut tin gi v cho vay).

2. Nu cc chui li sut l dng sai phn bc 1, v khng tn ti ng lin

kt gia cp li sut ang xt, th m hnh hi quy s l m hnh ADL

(Autoregressive Distributed-Lag) c iu chnh tr hi quy. tr ti a

l 8.

38

Trong : S truyn dn ngn hn (trc tip) l h s a0 . S truyn dn

di hn c tnh

.

3. Nu cc chui li sut l dng sai phn bc 1, c tn ti ng lin kt gia

cp li sut ang xt, th vic s dng ring m hnh ADL s khng cn ph

hp na. Quan h di hn (s truyn dn di hn) c biu th qua hm hi

quy OLS:

Trong : S truyn dn di hn l h s 1 .

Quan h ngn hn c biu th qua hm hi quy hiu chnh sai s theo m

hnh ECM (Error Correction Model), v ly bin tr tng qut theo m hnh

ADL (Autoregressive Distributed-Lag). tr ti a l 8.

Trong : S truyn dn ngn hn (trc tip) l h s 1 . Cn t-1 chnh

l sai s hiu ch nh ca m hnh ECM.

5.3. Kim nh nghim n v v ng lin kt:

Kim nh nghim n v:

39

Bng 4: Kim nh nghim n v cc chui li sut Vit Nam. Thi k

tng ng mi loi li sut.

L i sut ADF test PP test

L i sut bn l

LSGUI -1.16 -2.48

DLSGUI -5.28*** -8.10***

LSVAY -1.40 -2.63*

DLSVAY -5.64*** -9.82***

L i sut ch nh sch

LSTCV -0.25 -1.08

DLSTCV -5.24*** -8.41***

LSTCK -1.41 -1.33

DLSTCK -4.58*** -8.79***

L i sut th trng

LSNH -2.23 -2.23

DLSNH -3.67*** -11.55***

LSTP -2.13 -2.43

DLSTP -4.75*** -4.38***

Ghi ch:

i din cho sai phn bc 1 ca chui li sut tng ng.

Gi thit Ho l chui d liu c nghim n v (khng c tnh d ng). K hiu

***, **, * cho bit gi thit Ho b bc b ti mc ngha , 5 hoc

10%. Tt c kim nh u s dng kim nh c hng s.

Theo kt qu kim nh trn, tt c cc chui li sut Vit Nam u l chui

khng dng, v l lin kt bc nht I(1) (dng sai phn bc 1). Ngoi tr chui li

sut cho vay c PP test cho kt qu l chui dng, vi mc ngha 0%, nhng

vn cha c s kt lun l chui dng.

40

Kim nh ng lin kt:

Do cc chui li sut u l lin kt bc nht I(1), nn t ta bt u kim nh s

tn ti ca ng lin kt gia cc cp li sut.

Bng 5: Kim nh ng lin kt gi a cc cp li sut chnh sch v li sut

th trng Vit Nam.

LSTCK LSTCV

H s

ng

li n t

ADF

test PP test

DF GLS

test

H s

ng

li n t

ADF

test PP test

DF GLS

test

LSTP 0.72 -2.96** -2.61* -1.95** 0.78 -2.55 -2.26 -1.82*

LSNH 0.79 -3.02** -5.33*** -3.05*** 0.83 -3.83*** -5.26*** -2.77***

Ghi ch:

Gi thit Ho l khng tn ti ng lin kt (gi a li sut chnh sch v li

sut th trng). K hiu ***, **, * cho bit gi thit Ho b bc b ti mc

ngha , 5 hoc 10%. Kim nh ADF, PP v DF-GLS u da trn hm

bao gm hng s.

T bng kt qu trn, ta rt ra cc kt lun sau (cc kt lun u da trn kt qu

theo a s t 3 kim nh ADF test, PP test v DF-GLS test).

- Gia li sut tri phiuv li sut ti chit khu: C 3 kim nh u kt lun c

th bc b gi thit H0 ti mc ngha 5% hoc 10%. T kt lun gia 2

chui ny c tn ti ng lin kt, cho thy gia chng c quan h di hn vi

nhau. Ta s dng m hnh OLS v ECM-ADL.

- Gia li sut tri phiu v li sut ti cp vn: C 2/3 kim nh cho kt lun

cha th bc b H0 , ch c kim nh DF-GLS bc b H0 ti mc ngha 0%,

nhng hng ng . T t lun gia 2 chui li sut khng tn ti ng

lin kt. Ta s dng m hnh sai phn bc 1 vi ADL.

41

- Gia li sut lin ngn hng v li sut chnh sch: Tt c kim nh u cho kt

lun bc b H0 mc ngha cao %. T t lun gia cc cp ny u tn

ti ng lin kt. Ta s dng m hnh OLS v ECM-ADL.

Bng 6: Kim nh ng lin kt gi a cc cp li sut th trng v li sut

bn l Vit Nam.

LSTP LSNH

H s

ng

li n t

ADF

test PP test

DF

GLS

test

H s

ng

li n t

ADF

test PP test

DF GLS

test

LSGUI 0.80 -1.70 -1.91 -1.59 0.96 -3.39** -4.86*** -2.77***

LSVAY 0.75 -3.79*** -3.12** -1.62* 0.87 -3.43** -5.43*** -2.71***

Ghi ch:

Gi thit Ho l khng tn ti ng lin kt (gi a li sut th trng v li

sut bn l). K hiu ***, **, * cho bit gi thit Ho b bc b ti mc

ngha , 5 hoc 10%. Kim nh ADF, PP v DF-GLS u da trn hm

bao gm hng s.

Tng t nh trn, ta rt ra cc kt lun sau:

- Gia li sut tri phiu v li sut tin gi: C 3 kim nh u cho thy cha

th bc b H0. Kt lun rng gia 2 chui li sut ny khng tn ti ng lin

kt. Ta s dng m hnh sai phn bc 1 ADL.

- Gia li sut tri phiu v li sut cho vay: C 3 kim nh u cho thy c th

bc b H0 ti mc ngha %,5% hoc 10%. Kt lun gia 2 chui li sut ny

tn ti ng lin kt. Ta s dng m hnh OLS v ECM-ADL.

- Gia li sut lin ngn hng v li sut bn l: Tt c kim nh u cho kt

lun bc b H0 mc ngha cao % hoc 5%. T t lun gia cc cp ny

u tn ti ng lin kt. Ta s dng m hnh OLS v ECM-ADL.

42

5.4. Qu trnh truyn d n t li sut ch nh sch n li sut th trng:

Bng 7: S truyn dn li sut chnh sch n li sut th trng Vit

Nam. Giai on 3/2007 2/20 2 i v i li sut tri phiu chnh ph. Giai

on 7/2004 2/20 2 i v i li sut lin ngn hng.

LSTCK LSTCV

Truyn n

trc ti

Truyn n

i hn

Truyn n

trc ti

Truyn n

i hn

LSTP 0.83 0.72 1.08 0.81

LSNH 0.46 0.79 0.75 0.83

Ghi ch: Tt c cc h s u c ngha thng k v i mc ngha t 1%

n 0 . Ri ng t c ng di hn trong m hnh ADL c tnh da trn cc

h s tng hp ca m hnh, nn nhm nghin cu ch c th m bo cc

h s thnh phn u c ngha thng k v i mc ngha n 10%.

4

8

12

16

20

24

2007 2008 2009 2010 2011

LSTP LSTCV LSTCK

LSTP

LSTCK

LSTCV

43

- Truyn dn t li sut chnh sch n li sut tri phiu chnh ph k hn 1

nm:

o Trong ngn hn, s truyn dn trc tip mc kh cao v gn n

mc hon ton (0,83 khi truyn dn t li sut ti chit khu v 1,08

khi t li sut ti cp vn). T th, ta cng thy c li sut tri

phiu kh nhy cm vi thay i li sut chnh sch trong ngn hn.

o Trong di hn, s truyn dn mc thp hn so vi ngn hn, v

cha t c s truyn dn hon ton (0,72 khi truyn dn t li sut

ti chit khu v 0,81 khi t li sut ti cp vn).

- Truyn dn t li sut chnh sch n li sut lin ngn hng:

o Trong ngn hn, s truyn dn trc tip mc kh thp v khng

ng nht (0,46 khi truyn dn t li sut ti chit khu v 0,75 khi t

li sut ti cp vn). iu ny cho thy, li sut th trng lin ngn

hng nhy cm hn i vi li sut ti cp vn theo quy nh ca

NHNN. Mc d vy, li sut lin ngn hng vn cho thy tnh bin

ng ngn hn kh ln so vi mc li sut m NHNN cng b.

o Trong di hn, ngc li, s truyn dn mc cao hn so vi ngn

hn, tuy nhin vn cha t c s truyn dn hon ton (0,79 khi

0

4

8

12

16

20

2005 2006 2007 2008 2009 2010 2011

LSNH LSTCV LSTCK

LSNH

LSTCV

LSTCK

44

truyn dn t li sut ti chit khu v 0,83 khi t li sut ti cp

vn).

- Ngoi ra, vic c lng trn c th tn ti mt s hn ch, khi trong mu

bao gm lun c giai on bin ng mnh ca li sut nm 2008 i ph

vi lm pht cao, cng nh hng hong. Theo nghin cu Interest Rate

Pass-through during the Global Financial Crisis: The case of Sweden ca

Peter Welz v cng s (2011), s truyn dn trong giai on ny c th s b

gim st, v nh hng n c lng cho c mu.

5.5. Qu trnh truyn d n t li sut th trng n li sut bn l:

Bng 8: S truyn dn li sut th trng n li sut bn l Vit Nam.

Giai on 3/2007 2/20 0 i v i li sut tri phiu chnh ph. Giai on

7/2004 2/20 0 i v i li sut lin ngn hng.

LSTP LSNH

Truyn n

trc ti

Truyn n

di hn

Truyn n

trc ti

Truyn n

i hn

LSGUI 0.52 0.70 0.23 0.96

LSVAY 0.37 0.75 0.19 0.87

Ghi ch: Tt c cc h s u c ngha thng k v i mc ngha t 1%

n 0 . Ri ng t c ng di hn trong m hnh ADL c tnh da trn cc

h s tng hp ca m hnh, nn nhm nghin cu ch c th m bo cc

h s thnh phn u c ngha thng k v i mc ngha n 10%.

45

- Truyn dn t li sut tri phiu chnh ph k hn nm n li sut bn l:

o Trong ngn hn, s truyn dn trc tip mc kh thp (0,52 i vi

li sut tin gi v 0,37 i vi li sut cho vay). iu ny cho thy

trong ngn hn, cc li sut bn l iu chnh t hn so vi thay i t

li sut th trng tri phiu.

o Trong di hn, s truyn dn mc tng i cao, tuy nhin vn

cha t c mc truyn dn hon ton (0,70 i vi li sut tin

gi v 0,75 i vi li sut cho vay).

4

8

12

16

20

24

2008 2009 2010

LSTP LSGUI LSVAY

LSTP

LSGUI

LSVAY

4

8

12

16

20

24

2005 2006 2007 2008 2009 2010

LSNH LSGUI LSVAY

LSNH

LSGUI

LSVAY

46

- Truyn dn t li sut th trng lin ngn hng n li sut bn l:

o Trong ngn hn, s truyn dn trc tip mc rt thp (0,23 i vi

li sut tin gi v 0, 9 i vi li sut cho vay). iu ny cho thy,

li sut bn l t b tc ng trong ngn hn khi li sut th trng

lin ngn hng thay i. Mt khc, t th ta c th thy, tnh bin

ng ngn hn ca li sut lin ngn hng kh ln, tuy nhin cc li

sut bn l khng bin ng nhiu trong ngn hn.

o Trong di hn, ngc li, s truyn dn mc rt cao v tin gn n

mc truyn dn hon ton (0,9 i vi li sut tin gi l 0,87 i

vi li sut cho vay). iu ny xut pht t quan h ng lin kt di

hn kh cao gia li sut lin ngn hng v li sut bn l. T cho

thy, trong di hn, cc ngn hng iu chnh li sut bn l mt cch

ph hp theo bin ng li sut lin ngn hng.

- Ngoi ra, vic c lng trn c th tn ti mt s hn ch, khi trong mu

bao gm lun c giai on bin ng mnh ca li sut nm 2008 i ph

vi lm pht cao, cng nh hng hong. S truyn dn trong giai on ny

c th s b gim st, v nh hng n c lng cho c mu.

5.6. Cc bin lun cho s truyn d n li sut Vit Nam giai on 2000

2012:

i vi qu trnh truyn dn t li sut chnh sch n li sut th trng:

- Trong ngn hn, hiu ng truyn dn trc tip t li sut ti cp vn n li

sut th trng ln hn t li sut ti chiu hu. Do li sut ti cp vn

c p dng hi NHTW ng vai tr l ngi cho vay cui cng ca cc

NHTM nn NHTW s tng cng im sot. V vy, hiu ng truyn dn t

li sut ti cp vn s cao hn.

- Cng trong ngn hn, hiu ng tuyn dn trc tip t li sut chnh sch n

li sut tri phiu th trng ln hn n li sut lin ngn hng. C th l do

47

li sut tri phiu bin ng do cc giao dch neo vng h cht vo bin

ng li sut chnh sch, cn li sut lin ngn hng phn no ph thuc vo

nhu cu v cung vn vay gia cc NHT duy tr tnh thanh khon ca h

thng.

- Trong di hn, hiu ng truyn dn t li sut chnh sch n li sut th

trng kh cao v ng u, iu ny biu th rng li sut th trng c

iu chnh dn dn theo xu hng chung ca chnh sch tin t, do th

trng v cc ngn hng thch nghi c thay i trong li sut chnh

sch.

i vi qu trnh truyn dn t li sut th trng n li sut bn l:

- Trong ngn hn, hiu ng truyn dn trc tip t li sut tri phiu ti li

sut bn l ln hn t li sut lin ngn hng.

- Nhn chung trong di hn, hiu ng truyn dn t li sut chnh sch n li

sut th trng v t li sut th trng n li sut bn l l hng ton hon

nhng vn mc cao (t 0.7 n 0.9). Theo quan im ca nhm, c 3

nguyn nhn sau:

H thng ngn hng Vit Nam ch yu l cc ngn hng quc doanh.

Do , chnh ph v NHTW d dng thao tng. Dn n to hiu ng

truyn dn cao.

Thiu minh bch thng tin chnh sch lm mt lng tin ca cc nh u

t. Do , cng c iu hnh li sut hng hiu qu. Dn n tc ng

ngc li: Lm gim hiu ng dn truyn.

Vic im sot hot ng ca cc NHT vn cha thc s hiu qu (tn

ti cc tha thun ngm, hoc nh x ro li sut). iu ny cng dn

n hiu ng dn truyn hng hon ton.

48

5.7. xut cc hng nghin cu m rng v hiu ng pass-through li sut

Vit Nam:

i vi Vit Nam, ti vn cn tn ti nhiu hn ch nh sau:

- Mu d liu c tnh ton theo IFS cha thc s chnh xc, do cha phn nh

ng bin ng ca li sut tin gi v cho vay thc t trn th trng.

- ti vn cha a ra t lun chc chc cho nguyn nhn gy nn s truyn

dn khng hon ton t li sut chnh sch n li sut th trng, cng nh t

li sut th trng n li sut bn l.

- ti vn cha tnh ton c gii hn di h s phn ng ca chnh sch tin

t i vi lm pht, do vn cha tm ra c phng php nh lng ph hp

vi iu kin th trng Vit Nam.

- ti vn cn b ng vn v s tc ng ca h thng ti chnh n s

truyn dn li sut cc nn kinh t khc nhau. C th l h thng ti chnh da

trn th trng hoc da trn ngn hng.

- ti vn cha xt n tc ng t quy m ca t chc tn dng, iu kin ti

cp vn v quan h vi cc t chc phi ngn hng hc n s dn truyn li

sut ti Vit Nam.

- S khc bit trong truyn dn li sut trong thi k khng hong cha c xt

n, do c th lm sai lch kt qu thc nghim khi xt chung c giai on

2000 2012.

- ti vn cha xem xt mc hi nhp ti chnh hay ni cch hc l m

ca nn kinh t Vit Nam nh hng n hiu ng truyn dn li sut.

Tt c cc hn ch trn u chnh l hng pht trin m nhm nghin cu a ra

i vi cc bi nghin cu sau ny, v vn pass-through li sut Vit Nam.

y l mt vn kh mi, v l mt nhnh nghin cu y trin vng Vit

Nam.

49

KT LUN

S nh hng (hiu qu) ca chnh sch tin t ln tng cu v lm pht ph thuc

vo mc m cc thay i trong li sut chnh sch c truyn dn ti li sut

th trng v li sut bn l. Bi nghin cu tp trung vo kh nng xy ra bin

ng ngoi sinh (sunspot fluctuations) do hiu ng t p ng cc thay i k

vng (self-fulfilling revisions to expectations). Nu hiu ng truyn dn t li sut

chnh sch n li sut bn l khng hon ton trong di hn, th nguyn tc Taylor

chun s hng m bo tnh xc nh ca cn bng c na.

i vi vic so snh gia M v khu vc uro, th cc c lng thc nghim ch

ra rng, hiu ng pass-through hng hon ton ny c bit ph hp vi h thng

ti chnh da trn ngn hng, in hnh l khu vc ng Euro.

i vi Vit Nam, kt qu phn tch thc nghim cho thy rng s truyn dn li

sut trong di hn kh cao, v tin gn n mc hon ton. Tuy nhin, s truyn

dn t li sut chnh sch n li sut bn l vn cha t mc hon ton, cho thy

li sut danh ngha ca chnh sch tin t vn cha t c mt hiu qu cao nht.

Tuy nhin, kt qu nh lng ny phi c din gii mt cch cn trng. Bi v

cha r rng, so vi li sut th trng th li sut bn l nh hng n tng cu

mc no. Do , bi nghin cu ny vn cha a ra t lun chc chn v h

s hi quy ca cc li sut v tc ng ca chng n n nh kinh t v m Vit

Nam.

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

a

DANH MC TI LIU THAM KHO

Claudia wapil v Johann Scharler (200 ), Interest Rate Pass-Through, Monetary

Policy Rules and acroeconomic Stability, Oesterreichische Nationalbank,

Economic Analysis Division.

Ming-Hua Liu, Dimitri Margaritis v Alireza Tourani-Rad (2005), onetary

Policy Transparency and Pass-Through of Retail Interest Rates.

ichael Woodford ( 990), Self-fulfilling Expectations and Fluctuations in

Aggregate Demand, National Bureau of conomic Research.

Charles T.Carlstrom v Timothy S.Fuerst (2000), Forward-looking vesus

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