TAC D O N G CUA PHAT TRIEN TAI CHINH VA KINH TE N G A M DEN TANG TRlTdNG
KINH TE d VIET NAM
BiJi Hoang Ngoc
Khoa Sau Dai hge. Truang Dai hoe Ma, TP Ho Chi Minh Email: ngoebh. [email protected]
Ngay nhan: 24/11/2019 Ngay nhan ban siia: 20/02/2020 Ngay duyet dang. 05/5/2020
T o m t a t
Nghien cuu ndy nham muc dich kiim dinh tde dgng ciia phdt trien tdi ehinh vd guy mo khu vuc kinh te ngam den toe do tdng ti-icang kinh te cua Viet Nam giai doan 1991-2015. Nghiin cuu sic dmg phuang phdp tu hdi quy phdn phdi tri (ARDL) cua Pesaran & eong su (2001). Ket qud kiim dinh dudng bao cho thdy giua cdc biin co ton tai Men tugmg dong lien kit trong ddi han.
Nghien cini tim duac bang chieng thdng ke di ket ludn phdt trien tdi ehinh co tde dgng thitc day tic do tdng truang kinh te, edn quy mo khu vuc kinh te ngdm co tde dgng ldn dt din khu vue kinh ti ehinh thicc. Nghien cuu eung cdp bang ehimg thuc nghiem di cdc cff quan qudn ly can nhac khi lua chon chinh sdch tien te va quan Iy khu vuc kinh tg ngdm nhdm thuc day phdt tnin kinh te trong tuang lai
Tir khoa: Tang trudng kinh tg, phat trign tai chinh, kinli te ngam, Viet Nam.
Ma JEL: B26, COI, 016, 023, 042.
The effects offinancial development and shadow economy on economic growth in Vietnam Abstract:
The aim of this study is to investigate the effects offinancial development and the scale of shadow economic sector on economic growth in Vietnam over the period 1991-2015. By using Autoregressive Distributed Lag Model (ARDL) proposed by Pesaran et al. (2001), the results of Bounds test validate the existence of eointegration among the included variables. The study finds evidence to conclude that there is a positive impact offinancial development on economic growth.
The informal economic sector scale has an ovei-whelming impact on the official economic area.
The empirical results open new insights for policy makers to consider when choosing a monetary policy and managing shadow economic areas in the long run.
Keywords: Economic growth, financial development, shadow economy, Vietnam JEL Code- B26, CO!, 016, 023, 042.
\. Gidi thieu rpng dg tang nhanh quy mo cho nen kinh tg. Tuy Moi quan hg giua phat trign tai chinh va tang "^len, phat tngn tai chinh qua nong trong mdt thdi trudng kmh tg tbu hut duac su quan tam dac biet 8'',^ ^'',^^"1 ^^° '^ "himg hk dn vT mo, bigu hien dg ciia cac nba quan Iy va nha ngb.gn cuu. Su hdp din " J f ^^rcbinl U'"^ ^^^I^g'^ni Pbat. Ngugc vdi phat
' tnen tai cninh ia ap che tai chinh th^^ \A V cua viec nhm dang va phan tich chinh xac mo, quan ( , „ 3 j _ g^^^ ^,^^3^ ^^^ ,p ^^^ ^,,. meo McKinnon he nay nam o cho phai xac djnh cho dung toe dp ^g ,^j„g (j; ^ ^ j ^ ^ ^.^ ..^^^^„^ ^.^ ^,^ han^hT
,. ; , . • ° -' — 6 ' ^''" oen nan chp tano ciia phat trien tai chinh tuong ung voi toe dp tang truong. Bae diem nhan biSt eua viec ap chS f h h tmong l£inh tS. Boi vi, ip lire tang tnicmg luon hoi trpng thirc tS la sir Icilm soat chat che ciia ChT h 'h"
thuc Chinh phu phai thirc thi chinli sach tiSn te mo vS lai suSt. Theo Nguyen Trpng Hoai & Dao O *" "
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fMm
liicik^^-^-^,'^- • ' ' - ' •••--'.--J'khdng bien ddng thi cac khoan tich liry cua tu nhan cd xu hudng dau tu nhigu vao cac tai san phi tai chinh nhu vang, b4t dpng san... do suat sinh Idi tir he thdng tai chinh chinh thitc di§p, tliam chi la am. Sir di chuygn von hi kigm soat va ti gia hdi doai bi nang gia qua muc se khong hd tra cho xuat khau, cac td chiic tai chinh thudng kem pliat trien, cac thi trudng giao dich vg vgn ngin ban va vdn dai ban khd hinh thanh va phat trign dugc.
Ve CO sd Iy thuygt, Tobin (1965) ung hd quan digm ap che tai chinh klii cho rang cung tign md rong gay ra tac ddng xau dgn tang trudng kinh tg.
Trong khi ly thuyet img bd cho tu do hda tai chinh ciia McKinnon (1973), Shaw (1973) lai dua raquan diem ngugc Iai, theo dd ho cho rang phat trign tai chinh se dong gdp dang ke vao tang trudng kinh tg.
Ve thuc nghiem, Levine & Zevros (1996) sii' dung dir Ueu cua 41 qudc gia trong giai doan 1973-1996 tim thSy bang chiing thdng kg dg ket luan phat trien tai chinh la ygu td quyet dinh ddi vdi tang trudng kinh te, giup tich liiy tu ban va gia tang bieu qua san xuat ciia qudc gia. Tuy nhign cugc kliimg hoang kinh te tai chinh toan cau nam 2008 cung cap them dgng Iuc cho nbiiTig nghign ciiu thudc trudng phai khong ung ho. Edwards (2001), Okada (2013) cho rang phat tngn tai cbinh "qua ndng" va keo dai se day cac ngn kinh tg mdi ndi rai vao tinh trang suy thoai, Igi ich thu dugc thi it trong khi he luy tigu cue rat kho kigm soat. Cac thj trudng mdi ndi cd chat luong the che tai chinh lac hau han ngn rat dg hi tac dong bdi su bien dong cua thi trudng tai chinh toan cau, dac biet nghigm trgng ddi vdi cac qudc gia cd tai khoan von md.
Theo so lieu cua Quy tien te the gidi tu nam 1991 den nay, khu vuc kinh tg ngam (shadow economy) ra doi, phat trign va ton tai song hanh vdi khu vuc kinh te chinh thiic d tit ca cac nudc tren thg gidi. Ly giai cho su tdn tai cua kinh tg ngam, nhigu nha kinh tg thong nhat rang mdi trudng thg che giir vai trd quan trong. Sir khac biet vg mdi trudng thg chg la nguygn nhan can ban dan den khac biet ve tang trudng kinh te, lau dai hinh thanh nen cac qudc gia phat frien, dang phat trien va kem phat trign (Acemoglu &
Robinson, 2008). So vdi cac nudc phat trign, chat lugng thg che d cac nudc dang phat trien cdn nhieu khiem khuygt va han chg, day la mot trong nhung nguyen nhan dSn den khu vuc kinb tg ngam d cac nirdc dang phat trign ludn tdn tai. Kinh tg ngam phat then, lieu cd kim ham kinh tg chinh thiic? Theo Aim
& Embaye (2013) sir gia tang quy md ciia khu vuc
kinh tg ng§m se bop meo viec pban b6 ngudn lire, Iam thay ddi phan ph6i thu nhap va giam ngudn thu thue cho Chinh phu.
Tac ddng cua khu vuc kinh tg ngam dgn khu vuc kinh tg chinh thiic la chu dg thu hiit dugc nhigu nha nghien ciru trgn thg gidi (Kwok & Tadesse, 2006;
Dreher & Schneider, 2010; Razmi & cdng su, 2013), nliung theo tim higu cua tac gia tbi sd lugng cac nghign ciiu cho kinh tg Viet Nam con r§t it. Nhan dien, do ludng va danh gia dung tac dong cua kbu vuc kinh te ngam dgn khu vuc kinh te chinh thirc mdi CO CO sd khoa hoc dg dg xuk cac chinh sach quan ly va han che khu vuc kinh tg ng§m.
2. Cff sd ly thuyet va tong quan cac nghien cuu tryd'c
2.1. Moi quan he giiia phdt trien tdi chinh vd tdng truvtig kinh ti
Vai trd quan trong cua phat trign tai chinh va he thdng tai cbinh ddi vdi tang hirdng kinh te da dugc khang dinh trong nhigu ly thuygt kinh tg va ket qua nghien ciiu thuc nghiem, nbmig trudc tien phai lam rd khai niem phat trign tai chinh. Dgn nay, phat trien tai chinh van la khai niem cd ngi ham rgng va dugc cac nba nghign ciiu trong va ngoai nudc do ludng theo nhieu chigu canh khac nhau. Theo Dign dan kmh tg thg gidi tbi "Phdt trien tdi chinh Id cdc yeu to, chinh sdch vd the ehe nhdm tgo ra cdc thi trudng vd trung gian tdi chinh hieu qud eiing nhu khd ndng tiip can von vd cdc dich vu tdi chinh sdu rgng". Bay tru cot chinh cua phat trien tai chinh dugc diln dan kinh te the gidi giai thich gom: (1) Mdi trudng the chg; (2) Mdi trudng kinh doanh; (3) Su dn dinh tai chinh; (4) Cac dich vu tai chinli ngan hang; (5) Cac dich vu tai chinh phi ngan hang; (6) Cac thi trudng tai chinh; (7) Tiep can tai chinh.
Schumpeter (1912) da nhan manh rSng nhung dich vu tai chinh ma cac ngan hang thuong mai cung cap se giii vai trd quygt djnh trong viec huy ddng va phan bd vdn vao cac Iinh vuc/nganh nghg trong ngn kinh tg. Ti suat Igi nhuan trgn vdn se "din dudng"
dg vdn chay vao cac nganh sinh Igi cao, tir dd cai thien true tigp nang sudt lao dpng va gian tiep lam thay ddi tde do tang hordng kinh tg 0 chieu ngugc lai, Robinson (1952) cho rSng khi tang tru'dng kinh tg tdt Ien thi nhu cau ve cac dich vu tai chinh nhu tiet kiem, tu vtn d4u tu, cho thue tai chinh... se rat phat trign, digu nay budc cac trung gian tai chinh nhu ngan hang thuang mai, quy dau tu phai ddi mdi dg gianh thi phSn, gian tigp thuc day su hinh thanh va phat trign cac thi trudng tai chinh mdi
Goldsmith (1969), McKinnnon (1973) va Shaw
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kinhlcJ'liatlrii'i
(1973) la nhirng ngudi ung hd cho tu do tai cbinh.
Hg cbo rang ngu Chinh phu ciing nhac trong viec kiem soat qua chat lai suat se gay bat lgi cho nen kinh te bdi lau dai nd se Iam cho suat sinh Idi ciia he thong tai chinb chinh thiic thap xudng, cac dch liiy tai san phi tai chinh nhu vang hay bat ddng san tang Ign, khuyen khich su hinii thanh cac thi trudng tai chinh ngam (black markei). Greenwood
& Jovanovic (1990) giai thich cho tac dpng tich cue thong qua cac co' hgi dau tu tai chinh va mii'c do cung cap thong Un trgn thi tmdng tai chinh nhu sau:
Mdi ca nhan/doanh nghiep trong ngn kinb te deu CO thg lira chgn dau tu vao cac du an kmh doanh CO rui ro thap va suat sinh Idi thap, hoac nii ro cao nhmig gan iign vdi suat sinh ldi ldn. Mgt thi trudng tai chinh phat trien se phai thuc hien tdt dugc chiic nang phan bd nguon vdn nhu Schumpeter (1912) da trinh bay, tiic la nd phai uu tign phan bd ngudn vdn vao ITnh vuc/nganh nghe c6 nang suat Iao dgng cao nhat, digu nay giup thi trudng tu thiet lap dirge mdt danh muc dau m cd thg trung hda dugc cac nii ro va tao ra Igi nhuan cao han. Greenwood & Jovanovic (1990) cho rang chi can cac ca nhan/doanli nghigp dau tu tlieo danh muc nay thi tde dp tang trudng kinh tg se dugc nang Ign.
Tuy nhign su tranb luan vg mpt van dg kinb tg la kbo tranli klioi, khdng phai nha quan Iy va nha nghien cim nao ciing ung bd cbo phat tnen tai chinh.
Robinson (1952), Kuznets (1955), Demetriades &
Hussein (1996), Rousseau & Vuthipadadom (2005) tim thay tac ddng tigu cue ciia phat trign tai cbinh dgn tang trudng kinh tg. Lucas (1990) khi nghign Ciiu ddng dich chuygn tai ehinh giua My va An Do da phat hien ra mgt nghich Iy (sau nay duge ggi tgn la nghich ly Lucas). Tbeo ly thuyet tbi ddng von phai dich chuyen tir nudc thira vdn sang nudc thieu vdn (tlie la phai dich chuygn tir My sang An Do), my nbicn thue tg da dien ra theo cbigu ngugc Iai, tire la ddng vdn lai chay tii' An Dp vao My. Ly giai nghich ly nay, Lucas cho rang vdn khong chay den qude gia ngheo do tai do von nhan Iuc thap, thi trudng khdng hoan hao, tdn tai rui ro xuat phat tir cac qudc gia ngheo khdng man thu cac nghTa vu ciia minh va CO thg cat dirt moi quan he vdi cac nba dau tu. Phat trign tai chinh se dan dgn hdi nhap tai ehinh, theo Lucas dieu nay khdng cd Igi cho nhung qudc gia cd chat lugng thg dig va chinb sacb quan ly tai chinh cdn non ygu.
Nghign ciiu vg sir phat tnen tai chinh cho Viet Nam trong giai doan tir 2000-2013, Chu Minh Hgi (2015) cho rang he thong tai cbinh Viet Nam bien
van dua vao cac ngan hang thucmg mai va pL,».^- chua ddng dgu. Thi uudng chiing khoan cho thay sir bign ddng manh do boat ddng d4u ca. tbi tru'dng trai phigu doanh nghiep cdn rit kem phat trien, chua co sir lien tbdng giira cac thj h-udng tai chinh trong toan bg he thdng tai chinh qude gia. 6 mdt gdc nhin kbac^, Lg Qudc Hdi & Chu Minh Hdi (2015) xay dung he sd dai dien cho miic do phat trign tai chinh theo cap tinh d Viet Nam giai doan 2002-2012, ung dung phuong phap udc lugng momen tdng quat cho ket luan thi trudng tai chinh cua Viet Nam phat trign se Iam gia tang bat binh ddng trong tbu nhap.
2.2. Mdi quan he giUa kinh ti ngdm vd kinh te chinh thii'c
Hoat ddng kinh tg ng^m t6n tai dudi nhieu hmh thue khac nhau, nen tuy thuoc vao dac digm cua mdi qudc gia, dae biet la phu thude vao thg chg \'a chat lugng the che ma ten ggi va each phan Ioai cua cae boat ddng nay Ididng ddng nhat gma cac qudc gia tren thg gidi. Thuat ngd "khu vuc kinh tg ngam" (shadow economy) cdn dugc ggi vdi nhigu ten ggi thay thg khae nhu kinh tg phi chinh thiic (informal economy), kinli te khdng khai bao (undeclared economy), kinh tg bat hcfp phap (irregular economy), kinh tg bdng/
an (hidden economy). Hien tai, mae dii nhieu nha nghign eim va co quan quan Iy da dua ra mdt sd dinh nghTa, my nhign chua cd dinh ngbia nao dugc thdng nhat ap dung cha tat ca cac qudc gia, ngn each do ludng va phan Ioai kinh tg ngam chi mang tinh chat tuong ddi, va chi cd gia tri trong pham vi cua timg qudc gia.
Theo To ehirc Hgp tac va Phat mign Kinh tg (Organization for Economic Cooperation and Development - OECD, 2002), boat ddng kinh tg ngSm bao gom t4t ca cac boat dgng ve nguygn tSc dugc tinh vao tdng san ph4m ndi dia (GDP) nhung thuc te lai khdng dugc tinh do khong duac khai bao hoac ed tinh gi§u gigm. Dg thong nhdt, trong nghign cim nay tac gia su dung dinh ngliTa kinh tg ngdm theo nghia la khu vuc kinh tg khdng quan sat duoc (unobserved economy) do Quy tign tg Thg gidi (IMF) dua ra va khuygn khich sir dung, theo dd "Kinh ti khong quan sdt duac bao gdm tdt cd ede hoat dong kinh te biphdp ludt cua qude gia do coi Id phi phdp- ede hoat dgng kinh ti hop phdp nlnmg khong duffc bao caa hoae dtcae ehe ddu khoi su qudn ly cua cdc caquan qudn ly Nhd nuae nhdm- (i) trdn trdnh cde nghia vu thue. (ii) tron trdnh ede khodn dong gap an sinh xa hgi. tranh ede quy dinh cua phdn ludflao dong nhu luang tdi thieu, gia ldm tSi da tiiu chudn (^'^)'''^>^hedcrdcr6,lii,auan an todn lao dong..
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Theo tim higu cua tac gia thi mdi quan he giira khih t6 ngSm va kinh te chinh thii'c duge thue hien kha nhigu d cac qudc gia phat trign, nhung d cac quoc gia dang phat Q-ign thi sd lugng cdng trinh nghien cim ve hoat ddng kinh tg ngam cdn khiem ton. Kgt qua nghien ciiu djnh lugng vg mdi quan he nay khong ddng nhat va chia thanh hai nhdm:
Nhom kit luan ciing chiiu: Mgt sd nghign cim tmdc kgt luan rSng kinh tg ngam cd mdi quan he ciing chigu vdi kinh tg chinh thirc. Dieu nay cd nghia la quy mo kinh tg ngSm cd khuynli hudng tang len Cling vdi quy md cua khu vuc kinh tg chinh thiic.
Nghien cim cua Adam & Ginsburgh (1985) cho kinb tg Bi, nghign ciru ciia Schneider & Bajada (2003) cho kinh te Canada deu cho ket luan nhu vay. Cac tac gia lap luan rang khi Chinh phu thuc hien ndi long cac digu kien kinb doanh dg tao dieu kien eho kinh tg cua khu vuc chinh thuc phat trien thi ciing la digu kien de kinb tg ngam phat trien theo. Dudi goc do quan Iy nha nudc thi khu vue kinh tg ngam ton tai vi muon tranh eac khoan thug, nhung dudi goc do hoat dpng san xuat vat chat thi khu vuc kinb te ngam ciing phai sir dung cae loai nguygn, nliign vat lieu, dien nang, van chuygn... Do vay, khi quy mo kinh te ngam phat trien ciing ddng gdp gian tiep khuygn khich khu vuc kinh tg chinh thiic phat trien (mac dii dieu nay khdng dugc bach toan trong ngan sach nha nudc).
Nhom kit ludn ngicae ehieu: Ciing nhigu nghien cim tim thay mdi quan be ngugc chigu giiia quy mo kinh te ngam vdi quy md kinh tg chinh thii'e. Tiic la, khi kinh tg chinb thiie cang phat trien thi quy md kinh te ngam cang bi thu hep. Cac nghien cim nay tap trang vao udc lugng quan he mgt chigu. Feige (1989) ket luan su tang tnrdng nhanh hon ciia boat dong kinh te ngam da tac dgng tigu circ den kinb te chinh thiie cua My trong sudt giai doan tir 1970- 1989. Kaufmann & Kaliberda (1996) nghign ciru cho cac quoc gia chuyen ddi tii' eac nudc xa hdi ehu nghTa sang tu ban chu ngliTa cbo kgt luan la hoat
dpng kinh te ngdm Iam giam nhe tang trudng GDP cua khu vuc ehinh thuc. Cu thg la 10% tich luy su suy giam cua khu vue kinh tg chinh thiic, la do co su tang Ign 4% eua khu vuc kinh te bdt hgp phap.
3. Phuong phap nghien cii-u 3.L Md hinh nghien ciiu vd dd- lieu Muc dich cua nghign ciru nay la phan tieh tae ddng cua phat tnen tai cbinh va kmh te ngdm tdi tang hudng kinh tg cho trudng hgp Viet Nam, ngn kg thira eac nghien ciiu trudc cua Thangavelu &
edng su (2004), Ketteni & edng sy (2007), Hajilee
& cdng su (2017), Moyo & cdng su (2018) tae gia dg xuat md hinh nghien ciiu nhu sau.
LnGDP^ - ^0 + P,FD^ + P^ .SD, + w,
(Mohinh I)
Ngudn du heu va each do ludng eae bign duge mmh hga trong Bang 1, dir lieu dugc thu thap theo nam hi 1991-2015.
3.2. Phwong phdp phdn tich vdxirly so lieu Theo Engle & Granger (1987) dii lieu vg tang tmdng kinh tg thudng la du lieu ben, tiic la toe do tang trudng kmh tg cua nam hien tai bi anh hudng bdi tde do tang trudng kinh tg ciia eae nam tmdc dd.
Neu ap dung phuang phap ude lugng binh phuang nho nhat (Ordinaiy least square - OLS) c6 thg cho kgt qua udc lugng hi thien lech. Do vay trong nghien cuu nay, tac gia sir dung img dung phuang phap tu hdi quy phan phoi trg ARDL (Autoregressive distributed lag) dugc gidi thieu bdi Pesaran & cdng SU' (2001). Md hinh I dugc bieu diln dudi dang md hinh ARDL nhu sau:
+ y "n. ainCDP,.^ + J, "j^ a-. • dFDt_ft + S;^iua3t-^50,_^-f
Trong dd: A: la sai phan hang tir
p , p,, Pj la eac he s6 h6i quy bieu hien cho tae dpng dai ban
Bang 1: Ngu6n du- lieu va each do ludng cac bien Ky hieu
bien
Noi dung ciia bien Dffn vj Nguon so lieu
LnGDP Thu nhap binh quan ngudi (tinh theo gia so sanh nam Do la My
2010) ^^^^^
FD Chi sd cung tign rdng M2/GDP ^/"
__SD Quy mo khu vuc kinh tg ngam so vdi GDP ^ IMF IMF
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kiiilit(U'liatt!lPii
a,, a„ li. la cac he sd hoi quy bigu hien cbo tac dgng trong ngan han
G)^ la sai sd ngau nhien
Khi udc lugng md hinh 2, can kigm dinh thgm dong lign ket dg xae dinh co tdn tai mdi quan he trong dai ban giira cac bign hay kbdng. Ngu t6n tai moi quan he ddng ben ket trong dai han, udc lugng mo hinh 2 dugc chuygn thanh udc lugng md binh sai so hieu chinh ECM (Error eorreetion model) dua trgn phuong trinh sau:
ALnGDP^ = aQ+X.ECMt-^ +
TL
a n . J t n C D P , _ j + T^l^''2k-^P^<-k. +i;rio''3t-^SOt_t •(Md hinh) Trong dd m,, m,, m^, do tre tucmg img vdi timg bign dugc md hinh ARDL tu tinb toan dua trgn cac tigu chuan thong rin AIC, SC, HQ va R-square hieu chinh. Xet md hinb 3 ngu tdn tai X ^ 0 va cd y ngbia tbdng ke thi he sd cua X se the hien tde do digu chinh cua GDP binh quan trd vg trang thai can bang sau nhiing cu sdc trong ngan ban tir phat trien tai chmh va quy md khu vuc kinh tg ngam. Ngoai ra de dam bao kgt qua udc lugng la dang rin cay, nghien ciru se kigm dinh mirc dp dn dinb cua md hirdi thdng qua kigm dinh tdng tich luy cua phan du CUSUM (Cumulative sum of recursive residuals), tdng tieh luy hieu chinh cua phdn du CUSUMSQ (Cumulative sum of square recursive residuals) va cae kigm dinh phuang sai thay ddi, kigm dinh tu tuong quan, kigm dinh phan phdi chuan, kigm dmh hien tugng thigu bign...
4. Ket qua nghien cihi va thao luan 4.1. Thong ke mo td
Nam 2016, theo sd lieu ciia Hdi nghi Lign Hiep Qudc ve Thuong mai va Phat trign (UNCTAD) thi thu nhap binh quan dau ngudi ciia Viet Nam dat 1.735,29 USD/nam (tinh dieo gia so sanh nam2010).
Cung vdi dd, Chinh phii ciing thuc thi nhieu chinh sach va cdng cu dg tang tmdng eung tign va md rgng tin dung. Dieu nay dan dgn hau qua la Iam phat biing nd, nam 2008 Iam phat cua Viet Nam d miic 22,8%,
Bien so LnGDP FD SD
Trung binb 6,788 0,658 0,187
Bang 2: Thong ke mo ta cac bign Lffn nhat
7,409 1,377 0,222
Nho nhat 6,087 0,189 0,148
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binh quan ca giai doan 2008-2011 la treu • - . - " "
vay, mac dli CO h6 h-g tang trudng kinh te nliimg P ^^
trita tai chinh nhanh va "qua nong" da tao ra nhirng bat on Vl mo cho cac thai ky sau do. Hinh 1 cho th3y ca thu nhap binh quan va chi so phat trien tai chinh cua Viet Nam dSu co xu huong tang len. Tuy nhien sir bien dgng eo tinh ^^dot bien'' ctia phat tnen tai chiirh dien ra manh vao nam 1998, nam 2008, tnang khap vol cae cugc khung hoang tien te cac nucrc Chau A nam 1998 va Idiung hoang kinh te the gioi nam 2008. Th6ng ke mo ta cac bi6n dugc minh hoa trong Bang 2.
4.2. Ket qud thitc nghiem vd thdo luan Kiem dinh tinh dimg
Hau het cac bien so kinh te deu co xu huang tang theo thai gian, do vay de tranh ket qua hoi quy la gia mao, dau tien tac gia kiem dinh tinh dirng cua tat ca cac bien. Nghien cuu sir dung phucmg phap kiem dinh Dickey & Fuller (1981) mo rgng (ADF) va phuong phap kiem djnh Phillip & Perron (1988) (PP) de kiem dinh tinh dimg. Ket qua dugc minh hoa trong Bang 3.
Ket qua kiem dinh o Bang 3 cho thay bien LnGDP dimg o bac 1, con bien FD va bien SD dimg 6 bac goc. Nhu vay la khong co bign nao dimg 6 bac 2, dieu nay thoa man cac dieu kien de ap dung phucmg phap tu hoi quy phan phoi trS ARDL (Pesaran &
cpng svr, 2001; Nkoro & Uko, 2016).
Kiem dinh ducmg bao (Bound Test)
Theo Engle & Granger (1987) doi vgi dii lieu chuSi thai gian, cac bi6n trong mo hinh kliong ditng cilng bac nhtmg van co thg uoc lugng dugc ngu giiia cliung CO t6n tai cac ddng lien kgt trong dai han. Mo hinh ARDL cua Pesaran & cong sir (2001) sit dung phuong phap kiem djnh ddng hen k6t mdi dugc ggi la phuong phap kiSm dinli ducmg bao. Voi gia thuyet trong H„ dugc pl,at bigu la: Khong ton tai ddng lien ket giira cac bien. NSu gia tri cua F_statistic > Gia tri toi han thi bac bd gia thuygt H„. Theo kSt qua d Bang 4 thi tri thdng kg F = 3,853 > Gia tri tdi han = 3,35 g mue y nghia 10%. Nhu vay 14 bac bd gia thuygt H Chung to cd tdn tai mdi quan he ddng lig„ kgt trong dai han giua hign n-ong md hinh.
^ a [ s 0,406 0,397 0,023
Hinh l: Biln d6ng cua GDP binh quan va ch, d phat triin ,ai chinh
iMMnnilnl
^='^ ^^^ ^?' gdp
M6 hinh sai so hieu chinh vd tde ddng trong ngan han Viec giira cae bien sd ciia md hinh cd tdn tai mdi quan he ddng Iign kgt trong dai han, nen md hinh 2 dugc udc lugng bang md hinli sai sd hieu ehinh ECM dg xac dinh he sd tac dgng trong nggn ban.
Voi mlu dii lieu, md hinh ARDL tu' lua chgn dugc mo hinh toi uu la ARDL (2, 0, 0), die ia trong md hinh 2 thi m, = 2, m^ = mj = 0. Ket qua udc lugng trong Bang 5 cho dily he sd ciia X = -0,09 ed y nghia thong ke d miic ! %. Digu nay ham y GDP binh quan CO kha nang tu hieu ehinh vg trang thai can b5ng d dai han, sau nhung "cii sdc" ngSn han tir tac ddng ciia phat trien tai chinh va quy md kinh tg ng^m.
He s6 p cua bien ALnGDP(-1) mang dau duong va c6 y nghia thong kg d miie y nghia I %, ham y tang trudng kinh tg eiia nam trudc ed tae dgng tieh cue den tang tnrdng kinh te eua nam sau. Kgt qua nay cung ung hg cho viec ap dung ky thuat ude lugng OLS se cho ket qua udc lugng bi thign leeh.
Kiem dinh bd sung
De kgt qua udc lugng thu dugc la tin cay, bai viet kiem djnh thgm mgt sd khuygt tat ma md hinh cd thg g^p phai gom: Kigm dinh phuong sai thay dSi,
kigm dinli tu hrong quan va kigm djnh phan phdi chuan cua phkn du, kigm djnb tinh phu hgp eua md hinli. Kgt qua kigm dinh bd sung dugc the hien trong Bang 6.
Theo kgt qua kigm dinb d Bang 6 thi tk ca cac kigm^ dinh dgu cd Prob > 0,05 nen dgu bac bd gia thuygt Hg, hic la md hinh 2 deu khdng gap phai hien tugng phuang sai sai s6 thay doi, hien Urgng tu tuang quan, hien tugng thigu bien va phin du ciia md hinh co phan phdi chuSn. Tu do ed thg kgt luan kgt qua hdi quy thu dugc la dang tin cay.
Kiim dinh do dn dinh eua mo hinh
Tigp theo nghien eiiu kigm dinh do gn dinh eua md hinh 2 bang kiem dinii tong tich luy phhn du (CUSUM) va t6ng tieh IQy hieu chinh cua ph4n du (CUSUMSQ). Hinh 2 cho thay ca 2 dudng CUSUM va CUSUMSQ (dudng net lign) eua mo hinh 2 dgu nam trong dai tigu chuan tai miic y nghia 5% (dudng net diit). Do dd tae gia kgt luan md hinh 2 co tinh dn dinli, ket qua irdc lugng thu dugc du tin cay de dua vao pban tich hay du bao.
Kit qud udc lugng ldc dong ddi hqn
Bang 3: Ket qua kiem dinh ti'nh dirng Kiem djnh ADF
LnGDP ALnGDP
FD flFD SD ASD
-2,469 -3,815**
-3,115 - 5 , 3 4 3 * * * - 4 , 5 5 5 * "
- 7 , 5 5 1 * * *
-1,174 -2,554*
-3,723"
-5,434***
-4,556*"
-11,072***
l^yhieu ***, ** vd * ldn luat blSu thi cho mwc y nghia 1%: 5% vd 10%. Cd 3 bien deu duac Idem dmh CO ra huang vd co he so chan (Trend ami intercept).
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Bang 4: Ket qua Idem djnh ddng lien kit
Phu-o-ng phap kiem dinh duong bao Gia thuygt Ho: Khone Co ddna Iign kgt gifra cacJJieii—
Test statistic F-statistic
k
Ten bien ECM(-l)*
ALnGDP(-l)
Value Signif 1(0) 3,852 10%, 2,63 3 5% 3,10
2,5% 3,55 1% 4,13 Bang 5: Ket qua yffc luo'ng tac dong ngan han
He so p Sai so Thdng ke t -0,0901 0,021237 -4,240146 0,6171 0,089292 6,911148
1(1) 3,35 3,87 4,38 5,00
Prob 0,0005 0,0000 Tiep theo bai viet rign hanh udc hrgng tac ddng
trong dai han cua phat trien tin chinli va quy mo khu vuc kinli te ngam dgn tang trudng kinh tg cua Viet Nam. Ket qua dugc minh hga trong Bang 7.
Kgt qua trong Bang 7 cho thay bien FD mang dau duong va co y ngbia thong kg d mirc 1%, ehiing td ddi vdi nude dang phat trign nbu Vigt Nam thi phat tnen tai chinh co tac dgng tich cue dgn tde do tang trudng kinh tg. Theo do vdi dieu kien cac ygu td khac khdng thay ddi, khi phat trien tai chinh tang Ign 1% se giiip tde dp tang trudng kinh te tang 0,52%.
Bign SD mang dau am va co y nghTa thdng kg d miic 5%, ham y khi quy md khu vuc kinh te ngam phat
trign se lam giam tde do tang trudng cua khu vue kinli tg chinh thuc.
4.3. Thdo ludn ket qud nghien cu'u Ket luan ciia nghien ciru nay la phat trign tai chinh se thiic day tang tru'dng kinli tg. Ket luan nay mong ddng vdi nghign ciiu cua Ketteni & cdng su (2007), nghign ciiu cua Thangavelu & cdng su (2004), nhung ngugc vdi nghign ciiu cua Moyo & cdng sir (2018). Ket hgp vdi thuc tien boat ddng kinh te eua Viet Nam, tac gia cho rang ket luan eua nghign ciiu la hgp Iy, vi;
Thi tru'dng ehung khoan cua Viet Nam da di Bang 6: Mpt sd kiem dinh bd sung
Loai kiem dinh Gia trj n * Rsquare
Kiem djub sai sd thay ddi (White test)
Kigm dinh mong quan chudi bac 2 (Breusch-Pagan test) Kigm dinh phan phoi chuan ciia phan du (Nomalty test) Kiem dmh tinh phu hgp cua mo hinb (Ramsey reset test)
6,125 (Prob = 0,190) 3,793 (Prob = 0,150) 2,589 (Prob = 0,274) 0,974 (Prob = 0.338) Hinh 2; Ket qua kilm dinh tinh 6n dinh ciia md hinh
1998 2Q00 2002 2004 20O6 2008 2010 2012 2014
— CUSUM 5 1 Significance
2000 2002 2004 200E
— CUSUMof Squares
' 2010 2012 2014
* " Significance
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Bang?: Kgt qua irde luong tac ddng trong dai han
TSn bien He sop
FD 0,522699 SD -6,906223 He s6 chan 7,928262 ECM = LnGDP - (0,5227*FD - 6,9062^^30 + 7,9283 1 vao hoat ddng tu nam 2000. Sir ra ddi va van hanh tot cua thi hirdng chiing khoan giiip ca nhan/doanh nghiep da dang hda dugc rui ro va ngudn vdn dugc phan bo tot ban, tap trung vao nhiing nganh cd nang suat cao, ti suat sinh ldi ldn, tu dd thue dSy san xudt kinh doanh phat trien.
- Chinh phu Viet Nam bing budc tich liiy dugc nang lire, kinh nghiem quan ly va sir dung nhieu cong cu h-ong digu hanh. Dg giai quygt triet dg dugc mau thuan gida tang hudng kinh tg va Iam phat, Chinh phu da su dung ehinh sach tai khda "nghich chigu" hoae dan xen dg trung hda cae "bdt dn" tu thi tmdng tai ehinh. Theo dd, tuy thudc vao muc tigu phat h-ien ciia timg giai doan, ngu lira chgn chinh sach tign te md rgng thi ap dung chinh sach tai khda than h-gng. Ngu ap dung chmh sach tign te md rdng a giai doan dirdc thi ap dung ehinh saeh tien te than trpng d giai doan kg tigp ..
Vg quy md kinh tg ngam cd tac dgng nguge ehieu den toe dp tang trudng kinh tg cua khu vue chinh thiic thi theo Aim & Embaye (2013), Vo Hong Diic
& Ly Hung Thinh (2014) giua boat ddng cua khu virc kinh te ngam va khu vuc kinh tg chinh thiic viia CO tac dgng chong Ian viia ed tac ddng d6i lap. Ca hai khu vuc dgu phai su dung cac ngudn Iuc dki vao nhu tai nguygn, nang lugng, dac biet la lire lugng lao dong, do do theo mdt le tat nhien khi quy md khu vuc nay tang Ign thi quy md khu vue kia cd xu hudng giam di. Mdt diem dang Iim y la ddi vdi nhimg nudc co eh4t lugng thg che chua hoan diien, thi nhiing hanh vi tron thu6 va tranh thug cd digu kien dg phat trign. Day la ph4n thudng va la ddng
_Sar __
0,166664 2,960441 0,657050
Thdng ke t Prob 3,136249
-2,332836 12,06646
0,0057 0,0315 0,0000
luc cbo khu vuc kinh tg rxgkti phat trign.
5. Ket lu3n va ham y chinh sach
Vdi dir lieu dugc thu thap tir 1991-2015 su dung phuang phap tu hdi quy phan phoi tre ARDL do Pesaran & cpng sir (2001) nghign ciiu nay nit ra dugc bai kgt luan chinh nhu sau:
- Phat trien tai ehinh cd tae ddng tich cue den tang trudng kinh te ciia Viet Nam trong dai ban.
^ - Quy mo khu vuc kinh tg ngam cd tac dgng tieu cue dgn tang trudng kinh te eiia Viet Nam trong dai han.
Tir kgt qua diuc nghiem, tac gia ggi y mdt so ham y chinh sach nhu sau:
Thu nhdt, phat ft-ien cac thi trudng tai chinh, cae trung gian tai ehinh theo Id trinli va chu dgng, hudng tdi viec tao ra cac co hgi tiep can tai chinh binli dSng eho cae ddi tugng yeu thg, cac doanh nghiep nho, cac vung kinh tg ma digu kien phat trien kinh tg - xa hgi cdn gap kho khan.
Thir hai, dg phat trign tai chinh trude tien elln han dig tinh trang ddc quyen, ldng doan hoac tgi pham trong ITnh vuc tai chinh - ngan hang. Do dd Chinh phu can xay dimg dugc cac quy tac, quy chu^n phu hap vdi cac thdng le/chuan mue qudc te. Dgng thdi phai cd CO che giam sat va chg tai du manh dg ran de hoac xii ly cac gian lan, lgi ich nhom trong boat ddng thudc ITnh vuc tai chinh - ngan hang.
Thif ba, nang cao ca chat lugng thg chg cbinh thiie va the chg phi chinh thiie, dac biet la cai thien trinh do dan tri, tao cac digu kien kinh doanh thuan lgi cho eae boat dpng khdi nghiep dg giam hoat dpng cua khu vuc kinh tg ngam.
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