TAI C H I N I
-
NEANHANt - BAD
H I E MTAC DONG CUA TIN DUNG NGAN HANG DEN TANG TRUING KINH TE
CAC Nl/OC DONG NAM A
LE HUYEN NGOC
TOM TAT:
Bai bao nghien cffu tae ddng cua sff thay ddi cua khdi Iffdng tin dung ngan hang de'n tang trffdng kinh te cua 5 nffdc trong khu vffc Ddng Nam A, gdm: Thai Lan, Singapore, Indonesia, Malaysia va Viet Nam trong giai doan tff qui 1/2006 de'n qui IV/2016. Tff dd, tac gia dffa ra mdt so'khuye'n nghi dd'i vdi he thdng ngan hang trong viec thifc hien chinh sach tien te tffng thdi ky.
Tff khoa: Tin dung ngan hang, tac ddng, tang trffdng kinh te, Ddng Nam A.
1. Dat van dd
Muc tieu cua bai nghien cffu la nghien cffu thffc nghiem ve tac dpng cua tin dung ngan hang de'n tang trffdng kinh te khu vffc Ddng Nam A. Da cd ra't nhieu tac gia nghien cffu ve tac dpng eua khd'i Iffdng tin dung den tang trffdng kinh te nhffng ke't qua nghien cffu khac nhau d mdi vung, mdi qude gia.
Chu Khanh Lan (2013) nghien cffu thffc nghiem ve truyen din chinh sach tien te qua kenh tin dung ngan hang tai Viet Nam. Nghien cffu sff dung md hinh vec td tif hdi qui (VAR) de danh gia vai trd cua kenh tin dung trong truyen tai ehinh sach tien te tdi nen kinh te thdng qua do Iffdng md'i quan he giffa san Iffdng, lam phat, lai sua't, cung tien va tin dung. Tac gia ket luan khi cd kenh tin dung, ehinh sach tien te anh hffdng tdi tang trffdng kinh te manh hdn.
Abrams et al. (2003) sff dung md hinh Mundell- Flemming, nghien cffu tren 50 tieu bang d My de kiem tra anh hffdng ciia tin dung ngan hang den tang trffdng. Nghien cffu ehi ra rang, nhffng thay ddi trong cung tin dung cd tac dpng nhffng khdng nhieu de'n tang trffdng kinh te.
Rondorf (2012) nghien cffu xem viee thay ddi khd'i Iffdng cung tin dung anh hffdng de'n tang trffdng kinh te trong khu vffc ddng tien chung chau Au. Rondorf dffa vao md hinh nghien cffu ciia DriscoU (2004) va Driseoll (2004) da md rpng md hinh ciia Bernanke va Blinder (1988) thanh md hinh vdi dff lieu bang. Md hinh nay ap dung cho nen kinh te md, ty gia hdi doai ed dinh va cd mot ngan hang trung ffdng ehung la ECB. Ong gia dinh rang, cac edng ty khdng de dang kiem dffdc ngudn tai trd ben ngoai de thay the cho cac khoan vay ngan hang, ddng thdi cac nffdc cd chung 1 ngan hang trung ffdng, do do chi cd 1 td chffc kiem soat thi trffdng tien te thdng qua cac nghiep vu thi trffdng md. Ket qua eua nghien cffu nay la sff thay ddi cung tin dung se lam thay ddi san Iffdng eua nen kinh te, nhffng mffc dp cung khac nhau d eae qud'c gia khac nhau.
Vay d cac nffdc Ddng Nam A vdi cac chinh saeh tien te khac nhau, ty gia khac nhau thi sao?
Trong nghien cffu nay, tac gia sii" dung md hinh cua Rondorf nhffng cd tinh den ty gia hdi doai trong phffdng trinh san Iffdng de xem xet sff thay ddi 1%
So 14-Thang 11/2018 371
TAP CHi CONG THIfONG
khdi Iffdng tin dung ngan hang se lam thay ddi bao nhieu % san Iffdng cua nen kinh te.
2. Mo hinh nghien cffu va phffdng phap nghien cffu
Dffa vao md hinh nghien cffu eua Rondorf, tae gia de xua't md hinh nghien cffu nhff sau:
yit = nii. + ?fi, + <pztt + SMft + ^ea (1)
Vdi ^ = 5x3 = <j+9(t)
Trong dd: y la tdng san Iffdng trong nen kinh te; 1 la Iffdng tin dung, lay tdng dff nd tin dung khu vffc tff nhan lam dai dien; r la lai sua't, lay lai sua't trai phie'u chinh phu ky ban 10 nam lam dai dien;
z la nhieu cua cau tin dung (cu sdc eau tin dung);
p la nhieu ciia tdng san Iffdng trong nen kinh te; 8 la nhieu cua ham eau tien (eu sdc eau tien); w la nhieu eua cung tin dung thffc.
Bie'n cd da'u ~ la dp lech so vdi trung binh eua tdng mlu de kiem soat sff tffdng quan, dffdc tinh bang cdng thffc :
Xit ~ Xj, — ( ~ ) 2 j i = o ''it
Vdi: e la ty gia thffc, i la qud'c gia i, t la thdi diem t.
Do ban che ve dff lieu nen tae gia ehi lifa chpn 5 nffdc trong khu vffc de nghien cffu, bao gdm:
Indonesia, Malaysia, Singapore, Thailand va Viet Nam, cac nffdc cdn lai trong khu vifc Ddng Nam A khdng dffdc lffa chpn do khdng thu thap du sd lieu.
Dff lieu dffdc lay theo qui, tff qui 1/2006 de'n qui IV/2016.
Cac bien dffdc thu thap tff tradingeeonomis.eom va IPS (Thdng ke tai chinh qude te) va dffdc xff ly nhff sau: cac bien la chudi thdi gian da dffdc dieu chinh ye'u td miia vu. Ta't ea cac bie'n deu dffdc trinh bay dffdi dang logarit cd sd tff nhien trff lai sua't. Ta't ca cac bien trong cac phffdng trinh dffdc chuyen ddi thanh dp lech so vdi trung binh ciia tdng mlu de kiem soat sir tffdng quan.
Hai phffdng phap ehu yeu dffdc sff dung trong phan tich la ECM nham xac dinh cu sdc cau tien va hdi qui dff lieu bang vdi tac ddng cd dinh (FEM) hoac tac ddng ngiu nhien (REM).
De ed the tim ke't qua cho md hinh nghien cffu, tac gia sff dung 4 md hinh rieng le cua Rondorf (2012), do la:
Ham cau tien: iriit - p^, = ^^y-^ + pjr;, + E•^ (2) Vdi (mjt - Pit): Tong Iffdng tien thffc d cac nifdc i (d dang logarit)
Tdng san Iffdng trong nen kinh te:
Yit = Yit + ©Pit + «et + ^y*t + ^^ (3) - Cung tin dung thffc:
V= cor;, -h v|/pit -h v(mit - pjj + Wj, (4)
- Cau tin dung: l^^' = xr^, -\- ap^^ + (^y-^^ + Z;, (5) De ffdc Iffdng anh hffdng cua tin dung den san
Iffdng, tac gia ap dung ky thuat ffdc Iffdng 2 bifdc (Driseoll, 2004) bang ky thuat hdi qui dff Ueu bang.
3. Ket qua nghien cffu
Dff lieu sau khi dffdc thu thap se dffdc xff ly va sff dung phan mem Eviews phien ban 6.0 de phan tich sd' lieu va chay cac md hinh nghien cffu.
3.1. Kiem tra tinh ddng vd lUa chon do tri tdiUu
Chudi dff lieu la dffng khi gia tri tuyet ddi cua kiem dinh ADF Idn hdn gia tri tdi ban ciia nd tai eae mffc y nghia. Ket qua nghien cffu eho thay cac bie'n trong kiem dinh deu khdng dffng d ehu6i gdc va dffng d sai phan bac 1. (Bdng 1)
3.2. Kiem dinh dong lien ket
Kiem dinh ddng lien ke't nham kiem dinh xem cac chudi san Iffdng y, lai sua't trai phie'u chinh phu r va eau tien m p cd mdi quan he ddng tich hdp hay khdng. (Bdng 2)
3.3. Hoi qui hai bUdc
De xac dinh xem md hinh tae ddng cd dinh FEM hay tac dpng ngau nhien REM la phu hdp, kiem dinh Hausman se dffdc thifc hien. (Bang 3) Ket qua kiem dinh cho thay, md hinh tac dong cd' dinh la phii hdp hdn so vdi md hinh tac dong ngau nhien.
3.3.1. Hoi qui budc I
De xac dinh xem trong khu vffc cac nifdc nghien cffu cd tdn tai kenh tin dung hay khong, nghien cffu tie'n hanh hdi qui dff lieu bang vdi bien ddc lap la tin dung, bien phu thupc la san Iffdng, lai sua't va cu sdc cau tien. Nghien ciJu thffc hien kiem dinh bd sung them ve nghiem ddn vi va dp tri ciia bie'n cu sdc cau tien bang kiem dinh ADF truyen thd'ng va kiem dinh Im, Pesaran va Shin de tang them tinh chinh xac. Dp tre tdi ifu trong kiem dinh ADF dffdc lffa chpn dffa tren cac tieu chuan Akaike. (Bdng 4)
372 So 14 Thang 11/2018
TAI CHiNH - N G A N HANG - BAO HIEM
Bang 1. Tdm tat ket qua kiem d|nh nghiem ddn v| va 6^ tre'toi au
Bien
y Ay L Al m-p A(nn-p)
r Ar e Ae
ADF
-0.8807 -4.698 -1.0792 -5.3941 -1.9222 -3.0869 -2.6796 -5.1107 -0.8670 -5.0721
Gia tri tdi han 1%
-3.4554 -3.4555 -3.4554 -3.4555 -3.4554 -3.4555 -3.4554 -3.4558 -3.4554 -3.4555
5%
-2.8724 -2.8725 -2.8724 -2.8725 -2.8724 -2.8725 -2.8724 -2.8726 -2.8724 -2.8725
10%
-2.5726 -2.5727 -2.5726 -2.5727 -2.5726 -2.5727 -2.5726 -2.5727 -2.5726 -2.5727
Ket iudn
Khong dClng DL(ng Khong dClng
DClng Khong dClng
DClng Khong dClng
DClng Khong dilng
DClng
Kiem d|nh im, Pesaran va Sliin W-stat
1.1495 -7.9633
1.1145 -9.7246
8.4220 3.9745 2.93997 -8.9394 1.5512 -8.907
P.vai 0.9351
0.000 0.952 0.000 1.000 0.000 0.0016
0.000 0.9396
0.000
DO tre' toiuu
3
2
2 1 1
2
Bang 2. Tom tat ket qua Idem d|nh ddng lien l<et Kiem dmh vet ma tran (Trace test)
Gia thuyet HO Khong*
At most 1*
At most 2
Gia tri rieng cua ma tr$n 0.0429
0.019 0.011
Gia tri trace 81.15 23.95 3.02
Gia tri t6i lian 6 mifc 5%
29.797 15.494 3.854
p.vaiue 0.0000 0.0077 0.0546 Ket luan: Kiem dmh Trace cho thay co 2 moi quan he dong lien ket 6 miic 5%.
Kiem dmh gia tn rieng cue dai cua ma tran (Maximum Eigenvalue) Khong*
At most 1*
At most 2
0.042919 0.019352 0.011131
76.43 17.36 2.02
21.13162 14.26460 3.841466
0.0000 0.0068 0.0546 Ket luan: Kiem dmh Max-Eigen cho thay co 2 moi quan he dong lien ket ci mile 5%
Ghi ehu: Dau "*" the hien bae bo gia thuyet HO
Bang 3. Ket qua kiem djnh Hausman
Tomtit Idem d|nh Period random
Gia trj thong Ice Chi binh phUdng
28.112543
Chi-Sq. d.f.
9
Prob.
0.0009
i Ket qua kiem dinh cho tha'y, cu sd'c cau tien la .; khong dffng d chudi gd'c va dffng d sai phan bac 1 H vdi dp tre td'i ffu theo tieu chuan AIC la 2.
J Sau khi cd ke't luan ve tinh dffng va dp tri td'i ffu :-cua cac bie'n dpc lap trong phffdng trinh, nghien I cu'u tie'n hanh hdi qui dff lieu bang vdi tac ddng cd' jdinh (da dffdc xac dinh bang kiem dinh Hausman) . nham xem la khi cd cu sd'c cau tien thi Iffdng tin 'dung ed thay ddi cd y nghia hay khdng. (Bdng 5)
Ket qua cua phffdng trinh eho tha'y khi san Iffdng tang trffdng 1% se lam eho tin dung thay ddi thay ddi 0.35%. Cac tac ddng cua san Iffdng ciia cac qui trffdc den tin dung thi giam di, nhffng khdng cd y nghia thd'ng ke d mffc 5%. Lai sua't cung cd anh hffdng tich cffc de'n tin dung ngan hang. Khi lai sua't tang 1 diem phan tram se lam cho tin dung tang 0.03%. Lai sua't ciia qui trffdc thi tac ddng khdng ed y nghia thd'ng ke de'n tin dung.
He so' ciia cii sdc cau tien la dffdng va cd y nghia. Sau mdt cii sd'c eau tien tieu cifc 1%, cac ngan hang dieu ehinh giam Iffdng eho vay 0.49%
tffdng ffng vdi viee giam huy dpng ciia hp, dieu nay la phii hdp vdi ly thuye't, tuy nhien, tai dp tri
So 14 Thang 11/2018 373
TAP CHi CONG THirONG
Bang 4. Ket qua kiem djnh nghiem ddn v| va dd tre'toi au dia soc cau tien
Bien
it it
ADF
2.5242 -3.1225
Gia tn tdi han 1%
-3.4554 -3.4555
5%
-2.8724 -2.8725
10%
-2.5726 -2.5727
Ket Iu3n
Khong dClng DQng
Kiem d|nh Im, Pesaran va Shin W-stat
1.2265 -4.0542
P.val 1.000 0.000
DO trTtoi uu
2 "
Bang Bien phu thude: it
C it it-1 it-2 it-3 it it-1
it it-1 it-2 R2 R2 dieu ehinh
5. Ket qua hoi qui H§so -0.031337
0.352876 0.078577 0.058670 0.131825 0.030979 -0.014508
0.492526 -0.174838
0.092965 0.437305 0.404938
b a d c l Rvalue 0.0000 0.0000 0.3184 0.4516 0.0871 0.0014 0.1236 0.0000 0.0871 0.2061
d qui thff 1 va qui thff 2, he so' ciia sd'c cau tien khdng ed y nghia d mffc 5%. Dieu nay ed nghia la tdn tai kenh truyen dan tin dung trong khu vffc Ddng Nam A trong thdi ky nghien cffu.
3.3.2. Hoi qui budc 2
Hdi qui bffdc 2 se ffdc tinh anh hffdng ciia tin dung ngan hang den tang trffdng kinh te bang each thffc hien hdi qui vdi bie'n phu thupc la san Iffdng, bie'n ddc lap la tin dung ngan hang ffdc tinh, lai sua't va ty gia thffc ciia cac nffdc. Nghien cffu kiem dinh nghiem ddn vi bang kiem dinh ADF truyen thd'ng va kiem dinh Im, Pesaran va Shin de tang them tinh ehinh xac. Dp trd td'i ffu trong kiem dinh ADF dffdc lffa chpn dffa tren cac ehi tieu Akaike.
6 chudi gd'c, khi gia tri tuyet dd'i cua kiem dinh ADF nhd hdn gia tri tdi ban ciia nd tai cac mffc y nghia nen chudi gdc la khdng dffng. Ke't qua kiem dinh cho tha'y khd'i Iffdng tin dung ffdc tinh khdng dffng d chudi gd'c va dffng d sai phan bac 1 vdi dp trd tdi ffu theo tieu chuan AIC la 2. (Bdng 6)
Ke't qua hdi qui eho tha'y, khi tin dung tang 1%
se tae ddng tich cifc den san Iffdng nen kinh te 0.1277%. He sdeiia ty gia thffc trong khu vifc mac dii cd y nghia nhffng rat nhd.
4. Kd't luan va khuye'n nghi
Bai nghien cffu nay tim hieu ve tac ddng ciia
Bang 6. Ket qua h6l qui Bien phu thuOc: it
C it-1 it-2 it-3 it it-1
it it-1 it-2 it it-1 it-2 R2 R2 dieu ehinh
H^so 0.027015 0.118316 0.072534 0.008905 0.005310 0.005547 0.127760 -0.045685 -0.003211 -0.0000902
0.0000163 0.0000115 0.320041 0.274508
budc 2 P.vaiue 0.0000 0.0767 0.2733 0.8795 0.3304 0.2926 0.0187 0.4008 0.8152 0.0000 0.2738 0.4206
tin dung de'n tang trffdng kinh te trong khu vifc Ddng Nam A thdng qua md hinh kinh te Iffdng. Ket qua nghien cffu cho tha'y: nhffng thay ddi trong khd'i Iffdng tin dung ngan hang ed tac ddng tich cifc den tang trffdng kinh te trong khu vffc. Khi tin dung tang 1% se lam tang san Iffdng nen kinh te 0.1277%. Dieu nay khang dinh rang cac nifdc trong khu vffc nghien cffu ed ca'u triic tai ehinh phu thupc vao he thd'ng ngan hang. Cac khoan vay ngan hang cd vai trd quan trpng trong nguon tai chinh cua cac cdng ty.
Qua bai nghien cffu cd the tha'y rang neu cac doanh nghiep phu thupc vao tai trp tff cac ngan hang thi se lam giam kha nang phuc hdi ciia nen kinh te sau mdt cudc suy thoai vi hp khd co the kiem dffdc ngudn tai trd cho cac dff an.
Hdn nffa, sff phu thupc tai ehinh vao cac ngan hang se khie'n cac cdng ty bi phu thupc vao nhffng thay ddi trong chinh sach ed the cd tac dpng de'n cho vay ciia cac ngan hang. Viec cung cap danh sach cac nganh nghe khuyen khich va khdng khuye'n khich trong tffng thdi ky hay viec tang cffdng kiem tra cac khoan vay se tac dong
374 So 14-Thang 11/2018
T A I
CHiNH -
NGAN HANG- BAO HIEM
den dff nd cho vay ciia cac ngan hang. Quy dinh nhff vay cd the gay anh hffdng tieu cffc de'n cac ngan hang, do ban che' dd'i tffdng cho vay va ciing khie'n mot sd bd phan cac cdng ty cd nganh nghe khdng dffdc khuye'n khich khd tie'p can difdc ngudn vd'n vay eua cac ngan hang. Tuy nhien, quy dinh nhff vay la can thie't de ngan chan cac cudc khung hoang tai chinh.
Mat khac, ket qua nghien cffu cho tha'y rang, tin dung ed anh hffdng tich cffc den tang trffdng san lifdng ciia nen kinh te, va cu sd'c eau tien ed tac dong tich cffc de'n tin dung ngan hang. Do dd, ngan hang Nha nffdc cd the sff dung cac cu sd'c tien
nham tac ddng den khd'i Iffdng tin dung ciia cac ngan hang, qua do cd the lam gia tang san Iffdng cua nen kinh te. Khi nen kinh te dang trong thdi ky tang trffdng cham, Chinh phu mudn kich thich tang trffdng nen kinh te, ngan hang Nha nffdc cd the sff dung ehinh saeh tien te ndi long nhff giam lai sua't, tang cung tien nham tang dffa vd'n vao nen kinh te thdng qua tin dung ngan hang. Phat trien thi trffdng chffng khoan va chffng khoan nd cung la mot giai phap giup cho cac doanh nghiep han che phu thupc ngudn vdn vao ngan hang, lam tang kha nang hap thu cac eu sdc tien te va giam thieu thiet hai cua cac cudc suy thoai kinh te •
TAI LIEU THAM KHAO:
1. Chu Khdnh Lan, 2013. Nghiin cUu thUc nghiim vi truyin ddn chinh sdch tiin te qua kinh tin dung tgi Viet Nam. Tgp chi Ngdn hdng. So 5 thdng 3/2013, trang 17-23.
2. Abrams, B., Clarke, M., Settle, R., 2003. Do banks matter? A credit view model for small open economies.
University of Delaware Working Papers Series 3 (13).
3. Bernanke, B., Blinder, A., 1988. Is it money or credit or both or neither? Credit, money, and aggregate demand.
American Economic Review 78, 435 - 459.
4. Driseoll, J., 2004. Does bank lending affect output? Evidence from the U.S. states. Journal of Monetary Economics 51, 451 - 471. ECB, April 2007.
5. Nautz, D. and Rondorf, U, 2012. The (in) stability of money demand in the euro area: lessons from a cross-country analysis. Empirica, 38(4), 539 - 553.
Ngay nhan bai: 9/10/2018
Ngay phan bien danh gia va sufa chffa: 19/10/2018 Ngay cha'p nhan dang bai: 29/10/2018
Thong tin tdc gid:
TS.LE HUYEN NGOC
Khoa Tai chinh ngan hang, Trffdng Dai hoc Md TP. Ho Chi Minh
IMPACTS OF CHANGES IN THE VOLUME OF BANK CREDIT ON THE ECONOMIC GROWTH OF SOUTHEAST ASIAN COUNTRIES
• Ph.D LE HUYEN NGOC
Faculty of Finance and Banking, Ho Chi iVIinh City Open University ABSTRACT:
This paper is to examine how changes in the volume of bank credit impact on the economic growth of five Southeast Asian countries, namely Thailand, Singapore, Indonesia, Malaysia and Vietnam from QI, 2006 to Q4,2016. Thereby, the author suggests some recommendations for the banking system of Vietnam on implementing the monetary policy in different periods.
Keywords: Bank credit, impact, economic growth, Southeast Asia.
So 14-Thang 11/2018 375
