TAP CHi CONC T H I W N G
TRUYEN DAN TY GIA HOI DOAI TAI CAC THI TRlTCfNG MCfl NOI
HA THI KIM HOANG
TOM TAT:
Bai bao nghien cttu truyen din ty gia bd'i doai (ERPT) sang gia ca trong nttdc cua cac thi trttdng mdi ndi, vdi muc tieu: (i) Lttpng hda mttc dp ERPT de'n chi sd' lam phat trong ngan han va dai ban; (ii) Danh gia mttc dp truyen din ty gia hd'i doai den chi so lam phat (CPI) thay ddi qua thdi gian; (iu) Xem xet anh httdng cua cac ye'u to kinh te vT md de'n mttc dp truyen din ty gia tdi lam phat. Ke't qua tim tha'y cd bang chttng ERPT thay ddi theo thdi gian. Da sd ERPT d cac qud'c gia ttt nam 2008 2010 cd xu httdng giam nhe dau giai doan va giam dan den cudi giai doan. Tuy nhien, tai rapt so qud'c gia, ERPT cd xu httdng tang, ddng thdi, ERPT phan ttng tich cttc de'n lara phat, bie'n ddng lai sua't, bie'n ddng ty gia hd'i doai va tieu cttc de'n dp rad ctta cua nen kinh te.
Td khoa: Truyen din ty gia bd'i dda, chi so lam phat, kinh te vi md, khung hoang tai chinh the gidi, bie'n ddng lai sua't.
1. Gidi thieu
Truyen din ty gia hd'i doai tdi gia xuat nhap khau, gia tieu dung va cac bie'n vi md khac trong nen kinh te thi trttdng da dttpc nghien cttu rdng rai d nhieu nttdc tren the' gidi. Da sd cac nghien cttu thifc bien kiera dinh deu tim tha'y stt tttdng quan thuan chieu gitta ERPT va lam phat, cung cap nhttng bang chttng thttc nghiera ung hd gia thuye't ndi tie'ng cua Taylor (2000), dd la trong radi trttdng lara phat tha'p thi ERPT cd xu httdng thap va ngttpc lai.
Theo Choudbri va Hakura (2006), khi ERPT tha'p, rapt qud'c gia cd the cd stt hnh boat hdn trong viec theo dudi chinh sach tien te ddc lap; trong dd chien Ittpc dieu chinh ty le lara phat dttpc thttc hien de dang.
Cdn nghien cttu ciia Ito va Sato (2008), ne'u danh gia truyen din ty gia hd'i doai tha'p, ngan hang Trung ttPng it quan tam de'n tac ddng cua lam phat raa tap trung truyen din ty gia hd'i doai vao
cac ye'u td khac. Mttc dp ERPT cao cd the truyen cac cu sd'c ttt nttdc ngoai vao mttc gia trong nifdc (lam phat) cung cap cP sd de ap dung chinh sach ty gia cu the cho tttng qud'c gia (Ghosh, 2013).
Tai Viet Nam, cac nghien cttu ve ERPT trong thdi gian gan day nhtt nghien cttu cua V6 Van Minh (2009), Nguyin Dttc Thanh va Nguyin Thi Thu Hang (2010), Nguyin Thi Ngpc Trang va Luc Van Cttdng (2012) danh gia mttc dp ERPT khi ty gia len xudng lam eac chi sd gia thay ddi va bang cac phttdng phap nhtt VAR, SVAR hoac VECM.
Tuy nhien, dac diem cua cac phttPng phap tren chu ye'u chi danh gia ratte dp ERPT lam cac chi sdgia thay ddi qua mdt giai doan thdi gian. Cac nghien cttu tren tai Viet Nam chtta xem xet den stt thay ddi ERPT qua thdi gian nhtt trong mot sd nghien cttu tren the gidi.
Tren the gidi, cac nghien cttu ve ERPT thifa nhan ddng gdp dang ke cua ERPT vdi cac mttc gia nhttng cd stt khac biet ve dtt heu, phttdng phap ifdc
TAI CHiNH - N G A N HANG - BAO HIEM
lifdng kinh te Ittpng va eac qud'c gia dttpc phan tich.
Da sd cac tac gia tim tha'y svf suy giara cua ERPT trong khoan thdi gian trttdc nara 2007 nhtt Campa va Goldberg (2005), Choudbri & Hakura(2006), Ghosh va Rajan (2009). Cac nghien cttu tren chu yeu nghien cttu ERPT vao 1 trong 2 giai doan:
hoac la ttdc tinh ERPT truyen din theo thdi gian hoac la phan tich cac ye'u to kinh te vT rad quye't dinh mttc dp ERPT. Ben canh dd, mdt sd nghien cu'u ve ERPT truyen dan theo thdi gian phat hien ERPT cd xu httdng tang trd lai nhtt Ghosh (2013), Ozkan va Erden (2015) vdi dd'i tttpng nghien cttu chu yeu la cac qud'c gia thupc khu vttc G7, Chau My Latinb, rapt so nttdc dang phat trien, kera phat trien va cac nttdc tien tie'n.
Dd'i vdi eac nen kinh te mdi ndi thi ERPT bie'n dong nhtt the nao trong thdi gian qua. Trong bai nghien cttu nay, tac gia phan tich: (i) Ittpng hda mttc dp truyen dan ty gia hd'i doai (ERPT) de'n cbi sd lam phat va nghien cttu ERPT d ca hai giai doan; ii) xem xet stt thay ddi ERPT qua thdi gian va (iii) va phan tich cac ye'u to kinh te vT md quye't dinh mttc dp ERPT va dd'i tttpng nghien cttu la cac qudc gia mdi ndi.
2. Khung ly thuyet
Truyen dan ty gia hd'i doai (ERPT) dttpc dinh nghia la phan tram thay ddi trong gia nhap kha'u cua qudc gia nhap khau do thay ddi rapt phan trara ty gia hd'i doai gitta qud'c gia xua't kha'u va nhap khau (Goldberg va Knetter, 1997).
Stt thay ddi cua ty gia hd'i doai cd the anh hifdng tdi gia ca thdng qua 2 kenh: Kenh trttc tiep va kenh gian tiep. Kenh trttc tie'p cho rang stt raat gia cua ddng ndi te lam cho hang hda tieu dung va cac nguyen vat lieu dau vao nhap khau trd nen dat do hPn, dan de'n chi phi san xua't cao ke't qua lam gia ca tieu dung tang. Kenh gian tie'p cho rang stt giam gia cua ddng ndi te lam hang hda ndi te re hdn tren thi trttdng qud'c te, cau ve hang hda xua't kha'u cua qud'c gia nhd dd gia tang, lara tang cau lao ddng, tien IttPng, tdng cau; ke't qua cud'i cung la lam phat ed the xay ra.
Mttc dp ERPT vao gia ca trong nttdc cd the' dttpc do Ittdng bang phan tram thay ddi cua gia ca khi ty gia hd'i doai thay ddi 1%. Cd 3 mttc dp truyen din: Truyen din la hoan toan nghia la khi ddng ndi te pha gia 1 % se lam gia ndi dia tang 1 %, ham y sif tdn tai cua quy luat rapt gia va ly thuye't
ngang bang sttc raua. Mttc dp khdng truyen din hay truyen din ty gia khdng xay ra nghia la ne'u ddng ndi te pha gia nhttng khdng lara thay ddi gia ca tinh bang ndi te. Mttc dp it truyen din nghia la ty gia hd'i doai chi dttdc chuyen rapt phan thanh gia ca hay khi ddng ndi te pha gia 1% lara gia ca ndi dia tang it hdn 1%.
Mttc dp truyen dan ty gia hd'i doai vao gia ca trong nttdc cd the anh httdng ca trong ngan ban va dai ban hay cdn gpi la truyen dan ty gia hdi doai theo thdi gian. Truyen dan trong ngan ban la phan ttng tttc thdi cua lam phat dd'i vdi mdt stt thay ddi trong ty gia hd'i doai. Truyen dan dai ban la thay ddi eua ty gia hd'i doai sau mdt thdi gian tac ddng len gia ca.
Cd nhieu ye'u to ca vi md va vT md anh httdng den ERPT. O cap dp vi md bao gdm mttc dp Ipi nhuan theo quy md trong san xua't va dp co gian cau cua cau dd'i vdi hang nhap khau, kha nang dieu chinh gia cua doanh nghiep... Cac yeu to vi md bao gdra ratte dp va stt bien ddng cua lam phat, mdi trttdng chinh sach tien te. Trong phara vi bai nghien cttu nay tac gia de cap de'n cac chi tieu kinh te Vl anh httdng den ERPT:
Ty le lam phdt: Theo Taylor (2000), trong mdi trttdng lam phat tha'p, ERPT tha'p va ngttpc lai mdt qudc gia cd lam phat cao se phai trai qua ratte dp ERPT cao.
Bien dpng cung tien (M2): Devereux va ctg (2004) va Ghosh (2013) cho rang ERPT cung cd the bi anh httdng bdi tang trttdng cung tien cua mdt qud'c gia. Ne'u cac nha xua't khau an dinh gia bang ddng tien cua nttdc cd chinh sach tien te dn dinh thi ERPT se tha'p vdi stt bie'n ddng cung tien va ty gia hd'i doai tha'p va ngttpc lai.
Bie'n dpng ty gid hdi dodi: Bie'n ddng ty gia hd'i doai cd the tttPng quan thuan chieu hoac ngttpc chieu vdi truye'n dan ty gia hd'i doai. Trong ngan ban, khi ti gia hd'i doai bien ddng, cac cdng ty xua't khau khdng tang gia ban hang hda, hp ddng y giam Ipi nhuan (do ti gia hd'i doai tang) de gitt thi phan.
Trttdng hpp nay bie'n ddng ti gia bd'i doai cd quan he nghich chieu vdi mttc dp ERPT. Trong dai ban, cdng ty xua't khau dieu chinh gia ban hang hda khi ti gia hd'i doai bie'n ddng trong dai ban. Trttdng hpp nay, bie'n ddng ti gia hd'i doai tttPng quan thuan chieu vdi truyen dan ti gia hd'i doai.
Md cda nen kinh te: Theo Taylor (2000), dp md
So 13 Thdng 10/2018 395
TAP CHI CONG THI/tfNG
ctta cua nen kinh te' la ye'u to quan trpng tac ddng de'n ERPT; md'i tttPng quan gitta ERPT va mttc dp rad ctta cua nen kinh te cd the' tich cttc hoac tieu cttc. Ghosh (2013), Ca'Zorzi, Hahn va Marcelo (2007) cho rang cang cd nhieu qud'c gia md ctta nen kinh te', cang cd nhieu chuye'n ddng trong ty gia hd'i doai dttpc chuyen qua gia nhap khau, tac ddng trttc tie'p va tich cttc vao gia ca trong nttdc.
ERPT va dp md ctta nen kinh te' cd md'i quan he tich Cttc. Ngttpc lai, Ghosh va Rajan (2009) eho rang md ctta thttPng raai cung cd the lara tang mttc dp c^nb tranh khi cac nha xua't kha'u nttdc ngoai CO gang duy tri dn dinh gia ndi te de bao toan thi phan.
3. Phttdng phap nghidn cuTu
3.1. Mo hinh phuang trinh dan Udc licang ERPT
Tac gia stt^ dung md binb phttPng trinh ttdc Ittpng ERPT de do mttc do truyen din ERPT trong ngan ban va dai ban de' phan tich ratte dp truyen dan cua ERPT vao chi sd lara phat tai cac qud'c gia mdi ndi.
1 4
4 (3.1)
Trong dd: k, t la quan sat d qud'c gia k tai thdi diem t; A la si^ thay ddi cac gia tri; j la sd lln tri;
E la ty gia bd'i doai danh nghia da phttPng; Y la' td'ng san phara qud'c ndi (GDP) hoac ehi so san xuat cdng nghiep (IPI); p* i^ chi so gia nttdc ngoai, lfdc tinh cho chi sd gia nttdc ngoai theo cdng thttc sau:
. _ log(NEER X PPI) P ' =
REERjji(- (3.2)
Cu the, NEER (Nominal effective exchange rate) la ty gia hd'i doai danh nghia da phttPng PPI (Producer price index) la chi sd san sua't cua qud'c gia va REER^]^ (Real effective exchange rate) la ty gia hdi doai danh nghia thttc dttPc diiu chinh bdi ehl phi lao ddng bien ndi dia (Unit labor costs
Do ludng mdc do ERPT trong ngdn han vd ddi han:
Dd do ERPT truyin din trong ng^n han, tac gii Stt dung he so piO phan anh tac ddng cua stt thay
ddi ty gia hd'i doai len gia ca. Trong khi do lifdng mttc dp ERPT truyen dan trong dai ban difdc xac dinh bdi cdng thttc sau:
ERPTL = 21=0 P.
l - Z f ^ o P
(3.3) 4j
Ne'u ERPT = 1 la truyin din ty gia hdi doai hoan toan, neu ERPT = 0 truyen din ty gia hdi doai khdng hoan toan va 0 < ERPT < 1 nghia la mttc dp truyen din ty gia bd'i doai mpt phan.
3.2. PhiMng trinh Udc lupng hoi quy tuyen tinh trUdt
De nghien cttu mttc dp ERPT cd giam dan qua thdi gian, tac gia stt dung phttPng trinh ttdc lifcJng hdi quy tuye'n tinh trttpt (rolling regression) ddi vdi he sd hdi quy trong phttPng trinh (3.1) hay gia tri ERPT nhara xem xet stt thay ddi cua mttc do truyen dan theo thdi gian. De do stt thay ddi ERPT trong ngan ban, phttPng phap bdi quy tuyen tinh trttpt dttpc ap dung dd'i vdi he sd a 10. De do lirdng stt thay ddi ERPT trong dai ban, cac he sd trong trong ca phttPng trinh (3.1) se trttpt va he sdERPT dai ban dttpc tinh toan theo theo cdng thttc dtta tren phttPng trinh (3.3).
3.3. Phuang trinh vd cdc hien kinh tevimo Sau khi cd ERPT ttdc tinh trong ngan han va dai ban, tac gia tie'p tuc phan tich cac yeu tdvimo anh httdng den ERPT bang each stt dung phifdng trinh Ghosh (2013) de xera xet mttc dp anh hi/clng de'n ERPT nhtt: Bien ddng cung tien, bien dpng lai sua't, lam phat, bie'n ddng ty gia bdi doai va dp md ctta nen kinh te anh httdng tdi mttc dp ERPT trong mlu nghien cttu:
ERPTk,t = PiXt (3.5) Trong dd: He sd i cho tttng bien x, (3; = [%, h P2' Ps' P4];'" gom bie'n ddng cung tien, bien dong lai sua't, lam phat, bie'n ddng ty gia bdi doai, mu'c dp md ctta cua nen kinh te.
Dd'i vdi bie'n ddng eung tien stt dung ty le phan tram thay ddi cua M2 dttpc lay ttt IMF. Bien lam phat dttpc do bang chi sd gia tieu dung CPI. Bien dpng ty gia hd'i doai, bie'n ddng lai sua't, bien dpng cua eung tien dttpc tinh tttPng ttng bang dp lech chuan cua ty gia hd'i doai, dp lech chuan ciia lai sua't tiln gtti va dp leeh chua'n cua cung tien. Dp md ctta cua nIn kinh te' dttpc tinh bang each su"
TAI CHiNH - N G A N H A N G - BAO HIEM
dung dinh nghia la tdng gia tri hang xua't khau va nhap kha'u so vdi GDP. Stt bie'n ddng cua cac bien difdc tinh bang dp leeh chuan theo edng thttc sau:
1 v""
V = [ - > (logZt+i-i
mz—1]=! - 10gZt+i-2)']2 (3.6)
4. K&'t qua va thao luan
4.1. Mdc dp truyen ddn cua ERPT vdo chi so' lam phdt
Udc tinh mttc dp truyin din cua ERPT vao lara phat cua cac qud'c gia radi ndi dttpc trinh bay trong Bang 1. Nhin chung, ratte dp ERPT trong dai ban cao hdn trong ngan ban. Mttc ERPT trung binh gitta cac qud'c gia cho thafy kha tha'p 4% trong ngan ban va 9% ttong dai ban. Tai Hungary, Mexico, Poland CO mttc dp ERPT truyin dan vao lara phat tttPng ddi cao dao ddng ttt 7.6% 12.2% trong ngan ban va 9.5% -16.3% trong dai ban, cac qud'c gia cdn lai mttc dp truyin dan It hPn va tttPng dd'i tha'p.
Stt dung kiem dinh Wald de kiem dinh he sd' truyen din trong ngan ban va trong dai ban cd khac 0 hoac 1 hay khdng. Gia thuye't kie'm dinh xay dttng nhtt sau:
HIQ: PIO= 0: khdng cd stt truyin dan ttt ty gia hdi doai tdi chi so' gia
HiA- Pio ^ 0: cd stt truyin dan ttt ty gia hdi doai tdi chi so' gia
H20: Pjo = 1: sir truyin dan ttt ty gia hd'i doai tdi chi so' gia la hoan toan
H2A' Pio ^ 1: stt truyin dan ttt ty gia hd'i doai tdi chi so gia la khdng hoan toan
Ddng thdi, ne'u chap nhan gia thuye't Hj^ va H20 ddng nghia vdi stt truyin din hoan toan. Ngttpc lai, khdng chap nhan gia thuye't Hj^ va H2 the' hien truyin din khdng hoan toan.
Trong ngan ban, 8 trong tdng sd' 11 qud'c gia (Columbia, Czech, Greece, Hungary, Korea, Malaysia, Philipines, Thailand) cd gia tri p-value ldn hdn 0.1, vay chap nhan gia thuyet Hj^ nghia la ty gia hd'i doai cd tac ddng de'n chi sd' gia. Dong thdi, gia tri p-value trong gia thuye't H20 cung bi bac bd. Do vay, mttc dp truyin din tai cac qud'c gia nay la truyin dan khdng hoan toan. Ba qud'c gia cdn lai la Mexico, Poland va Turkey cd he sd' p-value nhd hPn 0.1, cha'p nhan gia thuye't Hjo nghia la ty gia hd'i doai khdng tac ddng de'n chi so gia hoac cd tac ddng rat it (Turkey).
TttPng ttt trong dai ban, 9 trong tdng so 11 qud'c gia (Columbia, Czech, Greece, Hungary, Korea, Philipines, Poland, Thailand, Turkey) cd gia tri p- value ldn hPn 0.1, chap nhan gia thuye't Hj^ nhtt vay cd stt truyin dan ttt ty gia hd'i doai tdi chi so gia.
Hai qud'c gia cdn lai la Malaysia, Mexico cd he so p-value nhd hPn 0.1, nghia la ty gia hd'i doai khdng cd tac ddng de'n chi so gia. Bay qud'c gia (Czech, Greece, Korea, Philipines, Poland, Thailand, Turkey) cd gia tri p-value trong gia thuye't H20 eung bi bac bd. Do vay, mttc dp truyin Bong 1. MuTc dp ERPT trong ngan hqn vo ddi hqn
Quoc gia Columbia Czech Greece Hungary Korea Malaysia Wexico Philipines Poland rhailand Turkey Irung binh
ERPT ngan han H#so(pio)
0.002 0.018 0.017 0.122 0.003 0.033 0.076 0.017 0.087 -0.007
0.065 0.04
Sal so (0.012) (0.027) (0.041) (0.071)*
(0.010) (0.024) (0.009)"*
(0.042) (0.015)***
(0.022) (0.026)**
p-value(Hio) 0.89 0.51 0.68 0.09 0.78 0.18
- 0.69
0.77 0.02
p-value (H20)
ERPT dai Inan H$so(Pio)
0.367 -0.011 0.132 0.163 -0.005 0.100 0.095 0.040 0.130 -0.044
0.022 0.09
Sal so (0.245) (0,072) (0.210) (0.391) (0.027) (0.083) (0.023)***
(0.065) (0.048)***
(0.055) (0.136)
p-value (H10) 0.13 0,87 0.53 0.68 0.86 0.23
0.53
0,42 0.87
p-value (H20) 0.01
0,03
Ghi chu: * ** *** tuang ang mac y nghia 10%, 5%, /% Ngudn: theo tinh todn ta phdn mem Stata
So 13 Thdng 10/2018 397
TAP CHi CONG THIfdNC
dan tai cac qud'c gia nay la truyin din khdng hoan toan. Dd'i vdi qud'c gia Columbia va Hungarychap nhan gia thuye't H20, nghia la mttc dp truyen din tai hai qud'c gia nay trong dai ban la truyin din gan nhtt hoan toan.
Trong phan ly thuye't ERPT bie'n ddng trong khoang ttt 0 de'n 1. Tuy nhien, ke't qua cho thay hp so hdi qui khdng nam trong bien dp tren. Cu the, trong ngan ban ERPT d Thai Lan nhd hPn 0, trong dai ban cd Czech, Korea, Thai Lan. Mdt sd nghien cttu trttdc cung tim tha'y gia tri ERPT bie'n ddng cua mdt sd qud'c gia trong mlu dtt lieu lech ra bien dp gitta 0 va 1 nhtt Ghosh va Rajan (2009), Ben Cheikh va Rault (2016), Rebeca va Amaha (2016), Carapa va Goldberg (2005). Nguyen nhan cua van dl lech ngoai bien dp mdt phan den ttt giai doan ma mlu dttpc chpn de ttdc Ittpng va se dttpc tie'p tuc lam rd trong phan tie'p theo vl mttc dp truyin din ERPT vao chi so lam phat qua thdi gian.
4.2. Mdc dp truyen ddn cua ERPT vdo lam phdt qua thdi gian
Trong ngan ban ERPT bie^n ddng tttPng dd'i dn dinh va dao ddng gan bang 0. Trong dai han Korea, Mexico, Malaysia va Czech cd cung kieu ERPT va mttc dp ERPT tttPng dd'i dn dinh. Tai Philipinies va Poland, gia tri ERPT giam trong giai doan dau trttdc khi gan nhtt khdng thay ddi trong thdi gian cdn lai. Cac qud'c gia cdn lai ERPT bie'n ddng tang giara manh.
Cd bang chttng cho tha'y ERPT thay ddi theo thdi gian, da sd ERPT d cac qud'c gia ttt 2008 2011 cd xu httdng giam dan de'n cudi giai doan va hien nay cd gia tri thap. Diiu nay ung hp gia thuye't cua Taylor rang mttc dp ERPT giam dan theo thdi gian. Tuy nhien, tai rapt sd qud'c gia ERPT cd xu httdng tang nhe ttt nara 2015 trd di, nhtt: Greece ttt 4.6% nam 2015 de'n 13.2% nam 2017, tttPng ttt Columbia ttt 11.6% de'n 36.7%, Malaysia ttt 7.5% de'n 10%, Korea ttt -0.8% de'n ' 0.5%, Mexico ttt 7.9% de'n 9.5% raau tbuin vdi gia thuye't cua Taylor nhttng phu hpp vdi mdt sd nghien cttu gan day cua Ghosh (2013), Ozkan va Erden (2015).
9
4.3. AnhhUdng cua cdc yeu tdvimo de'n mdc dp truyen ddn ty gid hdi dodi
De kie'm tra cac ye'u td kinh te vi md nao anh httdng den ERPT, sau khi ttdc tinh mttc dp ERPT thay ddi theo thdi gian, tac gia ttdc Ittdng md hinh
hdi qui theo phttdng trinh (3.5). De kiem tra dac diem anh httdng ed dinh (FEM) hay ngau nhien (REM), tae gia stt dung kie'm dinh Hausman the hien trong phan phu luc. Ddng thdi, de khac phuc cac khuyet tat hien tttpng phttPng sai sai sd thay doi va ttt tttdng quan, tac gia stt dung md hinh hoi qui GLS. Bang 2 the hien ke't qua phan tich nhtt sau:
Bong 2. Trinh bdy tdc dong cue cac yeu to vi mo anh hiidng den ERPT
Ten bie'n Constant
Cung tien
Lam phat
Bien dpng lai suat
Bien dpng ty gia hoi doai
Dp m6 nen kinh te
So quan sat R-squared Mo hinh
ERPTSR 0.024 (0.010)**
0.030 (0.023)
0.001 (0.001)*
0.002 (0,005)
0.000 (0.001)
-0.012 (0.008)
81 0.04 REM
ERPTLR 0,071 (0,027)***
-0.046 (0,045) 0.004 (0.002)**
0,030 (0,010)***
0.002 (0.001)**
-0.053 (0.025)**
81 0.367
REM Ghi chii: *, **, *** tuang Ung mvCc y nghia
10%, 5%,}%
ERPTSR vd ERPTLR Id truyen dh ty gid trong ngdn han vd ddi han Nguon: Ke't qud theo tinh todn Stata
Xem xet cac ye'u td vi rad anb httdng ERPT trong ngan ban, cho tha'y khdng cd bang chttng c6 y nghia thd'ng ke trong tdng the nghien cttu ngoai trtt bie'n lara phat ed y nghia va tttdng quan ciing chilu vdi ERPT. Tuy nhien trong dai ban, ngoai trtt bie'n eung tiln khdng cd y nghia thdng ke, cac he sd eua ta't ea eac bie'n cdn lai diu cd y nghia va md hinh giai thich 37% eac bie'n the trong do Ittdng ERPT.
Lam phat cd tac dpng tich cttc den ERPT trong dai ban. Dttng nhtt gia dinh ban dau, yeu tdkhSng the thie'u de dap ttng vdi nhttng thay ddi cua ERFT la lam phat. Chttng minh rang, cac nttdc lam phat
T A I CHiNH - N G A N H A N G - BAO HIEM
thap thttdng cd mttc dp ERPT tha'p va ngttpc lai lam phat cao din de'n ERPT cao, vi gia ca thttdng xuyen dieu chinh trong mdi trttdng lara phat thay ddi. Viec tim ra md'i hen he tich cttc gitta lam phat va ERPT phii hdp vdi bau het cac nghien cttu trttdc.
Bie'n ddng lai sua't tac ddng cung chilu vdi ERPT cho thafy nhttng bie'n ddng lai sua't cd Ipi cho viec giam ERPT.
Bien ddng ty gia hd'i doai va ERPT cd tac ddng tich cttc, bdi khi cac cdng ty xua't khau nhan dinh bien ddng ty gia hd'i doai lien tuc keo dai, hp se dieu chinh gia ban hPn dieu chinh Ipi nhuan ki vpng. Do do, bie'n ddng ty gia bd'i doai tttPng quan thuan chilu vdi ERPT.
Dd^i vdi dp md ctta nIn kinh te', mac du ly thuyet cho rang tac ddng cua dp md ctta cua nIn kinh te' dd'i vdi ERPT la mp hd. Nhttng ke't qua nghien cttu cho tha'y dp md ctta nIn kinh te' va ERPT cd md'i quan he tieu cttc. Dieu nay cd the do cac nttdc mdi ndi ap dung chinh sach thttPng mai cdi md dan den mttc dp canh tranh qud'c te cao, gay sttc ep canh tranh hang hda nhap khau (tao sttc ep giam gia hang hda), lam nan long cac cong ty da qud'c gia thdng qua stt truyin dan ty gia hdi doai vao gia cua hp.
Tdm lai, nghien cttu ERPT trong ngan ban va dai ban diu cho ke't qua lam phat va ERPT cd rad'i tifdng quan thuan chilu. Dd'i vdi cac ye'u to vT rad, trong ngan ban cho tha'y khdng cd bang chttng cd y nghia thd'ng ke trong tdng the nghien cttu ngoai trtt bien lara phat ed y nghia va tttPng quan cung
chilu vdi ERPT. Trong dai ban cac he sd cua ta't ca cac bie'n cdn lai deu cd y nghia, ERPT cd lien quan va y nghia tich cife de'n lam phat, bien ddng lai sua't, bie'n ddng ty gia hd'i doai va tieu cttc den dp md ctta nIn kinh te, bie'n cung tiln khdng cd y nghia thd'ng ke.
5. Ke't luan
Trong nghien cttu v l tai chinh qud'c te, truyin dan ty gia hdi doai da thu but stt quan tam ldn cua cac hpc gia ciing nhtt cac nha hoach dinh chinh sach trong cac thap ky qua. Do dd, hieu dttdc tac ddng cua ERPT len gia la rat quan trpng dd'i vdi cac nha hoach dinh chinh sach trong viec xac dinh chinh sach tien te thich hpp. Dac biet dd'i vdi cac qud'c gia mdi ndi dang ngay cang khang dinh vai trd va vi tri cua minh tren the gidi.
Ke't qua cho tha'y cd stt truyin dan ttt ty gia hd'i doai tdi chi sd' gia va ratte truyin dan da sd' la khdng hoan toan, ERPT trong dai ban cao hPn trong ngan ban. Mttc ERPT trung binh gitta cac qudc gia cho tha'y kha tha'p 4% trong ngan han va 9% trong dai ban. Xem xet cac ye'u to vT rad anh httdng ERPT: trong ngan ban ngoai trtt bie'n lam phat cd y nghia va tttPng quan cung chilu vdi ERPT, cac bie'n cdn lai khdng cd y nghia thd'ng ke.
Trong dai ban, ngoai trtt bie'n cung tiln khdng cd y nghia thd'ng ke, cac he so cua ta't ca cac bie'n cdn lai diu cd y nghia, ERPT cd lien quan va cd md'i tttPng quan tich cttc vdi lam phat, bie'n ddng lai sua't, bie'n ddng ty gia hd'i doai va tieu cttc de'n dp md ctta nIn kinh te •
TAI LIEU THAM KHAO:
Tdi lieu tie'ng Anh:
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Tdi lieu tieng Viet:
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Ngay nhan bai: 20/9/2018
Ngay phan bien danh gia va sufa chu'a: 30/9/2018 Ngay cha'p nhSn dang bai: 1/10/2018
Thdng tin tdc gid:
ThS. HA THI KIM HOANG
Khoa Tai chinh NgSn hang, Trttdng Dai hoc Mof TP. Ho Chi Minh
THE EXCHANGE-RATE PASS-THROUGH AT EMERGING MARKETS
• Master. HA THI KIM HOANG
Faculty of Finance and Banking - Ho Chi Minh City Open University
ABSTRACT:
The study is to examine the impact of exchange rates on domestic prices at emerging markets, aiming at (i) Quantifying the impact of exchange rates on the consumer price index (CPI) in the short and long terms; (ii) Measuring the transmission level of exchange rates to the CPI over time;
r ^ S f ' I i ^ r " ^ ''"P^''^' ""^ macroeconomic factors on the transmission level of exchange rates to I omn y J o S i ^ ' '^""^ *^^ * ^ Exchange-rate pass-through has changed over time. From2008 to /Utu, the h l ^ at emerging markets tended to slightly decrease at the beginning of this period and graduaUy decrease to the end of this period. However, m some countries, the ERPT showed an increased trend and also had positive mipaets on the CPI, the mterest rate fluctuations, exchange rate volahhty but it impacted negatively on the openness level of these economics.
Keywords: Exchange-rate pass-through, inflation rate, macroeconomic, global financial cnsis, interest rate fluchiations.
