PHAT TRIEN KINH TE S6'2S9, Thang Nam nam 2012
THAM HUT NGAN SACH VA LAM PHAT MINH C H L T N G THLTC NGHIEM 6 VIET NAM
SLPOINHTHANH*
Trong vdng 25 ndm qua, thdm hut ngdn sdch vd linn phdt la mgt trong nhu-ng van de kinh te vi nw quan irimg & \ 'N. Muc tieu ciia nghic'n cuu ndy Id kiem tra hipu ung thdm hut ngdn sdch len lgm phdt cua I "N Irong giai dogn 1985-2011. Md hinh nghien cdu duffc phdt trien dg-a tren moi quan he thdm hut ngdn sdch vd lgm pbdt. Ben canh dii, md binh ciing md rpng de xem xet hieu dug ciia biin cung tidn (M2), tdng trutrng kinh te (GBP) vd dp md thuffng mgi len Igm phdt. Tren Cff sir md binh da bien, hdng cdch tiep can mo binh phdn phoi dp tre lu hoi quy (Autoregressive Bislribiited Lag: ARDL) chung toi kiem d{nh nwi quan hp dong lien kit ddi hgn cua thdm hut ngdn .sdch vd lgm phdt theo phirffng phdp Engle - Granger. Ket qud Ihuc nghipm cho thay, tham hut ngdn sdch khong co quan he v&i lgm phdt trong ddi hgn, nhung Igi gdy lac dpng len lgm phdt trong ngdn hgn.
Tir khda: Thdm hut ngdn sdch. lgm phdt. cung tien, nio hinh ARDL.
1. Gidi thieu
Trudc va sau cdi cdch kinh te, VN phdi duang ddu vdi nhieu eii sde lam phdt. Dd Id, cii sde sieu lam phdt vdo nhirng nam cudi ciia thdp ky 80; cii sde thieu phdt sau euge khiing khodng tdi chinh-tien te nam 1998 vd nguy ca lam phdt cao quay trd Iai sau cugc khimg hodng tdi ehinh toan cau nam 2008. Lam phat keo ddi, gdy thiet hai din tang trudng vd dn dinh ddi sdng chinh tri - xa hgi. Ciing trong thdi gian nay, thdm hut ngdn sdeh dai dang trd thdnh can b?nli kinh nien. Sau giai doan 1985-1989, Chinh phii da nd lyc kiem sodt thdm hut ngan sdch bang viec ddi mdi chinh saeh qudn ly tai chinh cdng. Ludt ngdn sach nha nudc ndm 1996 vd bd sung siia ddi nam 2002 da tang cudng cac thiet che kiem soat chi tieu cdng vd thdm hut; ddng thdi, ddi mdi can ban ca che tai trg thdm hut. Chinh phii vd Ngan hdng Nhd nudc (NHNN) khong duge phdt hdnh lien dc cdn ddi ngdn sdch, tdi trg thdm hut ngdn sach dugc thyc hien thdng qua ca ehe vay ng vd dua tren nen tdng van hdnh ciia thi trudng tdi chinh. Tuy vdy, cdc thay ddi nay dudng nhu chua dii de thuyet phuc rdng thdm hut ngdn sdch khong gdy ra lam phat d VN. Thyc te cho thay trong giai doan (2006-2011) thdm hut ngdn
sdch tang cao ciing vdi dd la lam phat da tang vol Ien hai eon sd. Them vdo dd, d thdi gian nay cung tien (M2) da tang gap hai lan so vdi giai doan 2000- 2005.
Cdng trinh ddng gdp vdo kiem dinh mdi quan he giira thdm hut ngan sdch vd lam phat trong ham lam phdt gom cac bien: thdm hut ngan sdch, cung tien, tang trudng va do md thuang mai. Bang cdch tiep can md hinh ARDL vdi cdc dp tie (1,0,0,0,0) ^^^
lya chgn va phuang phdp kiem dinh dong lien ket ddi ban theo phuang phap Engle - Granger, tdc gia phdt hien tham hut ngan sdch khdng c6 quan he vai lam phat trong dai han, nhung Iai gay tdc dgng trong ngan han. Ben canh dd, cdng trinh cung phat hien cung tien tdc ddng duang len lam phat cd y nghia thdng ke trong ddi han ldn ngan han. Trong khi dd, tang trudng vd do md thuong mai lai tdc dong am len lam phdt trong ddi han lan ngan han.
Cdng trinh dugc thi6t k6 thdnh 4 phdn. Trong phdn 2 trinh bdy khung ly thuyet xdy dung mo hinh nghien ciiu. Khdo sat thyc te trong phdn 3 dugc thirc hien de tien hdnh ddnh gid sa bg dien bi£n lam phat vd thdm hut ngdn sach trong vdng 25 nam qua. Phan
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NGHIEN c i r u & TRAO Ddi* PGS. TS.. Tnrcmg D& hoc Kinh ti TP.HCM
P H A T T R I E N KINH T E ^j
UAU:%.iwmnmmmti g
4 phdn tich thuc nghiem vd ket qua nghien ciiu. Cudi ciing Id phan ket ludn vd mgt vdi ggi y chinh sdch.
2. Cti sd ly thuyel va mo hinh nghien cu'u 2.1. Cffs&lylhuySt
Trong nen kinh te md, lam phat bi tde dgng bdi nhieu nhdn td, trong sd do gdm thdm hyt ngan sdch, chinh sdch tien te, ti gia hdi dodi, dg md thuang mai... Mdi quan he giua thdm hyt ngan sach va cac bien vT md chang ban nhu lam phdt Id mgt trong cac chil de tranh Iuan phd bien nhat trong sd cac nhd kinh te vd hoach djnh chinh saeh d cdc nude phdt trien ldn dang phat trien, d miic dp Iy thuyet, cd nhieu nghien ciiu (nhu: Friedman, 1968; Sargent &
Wallace, 1981; vd Miller, 1983) da tap trung vao moi quan he giira tham hut ngdn sdch vd lam phdt
Tac dgng cua tham hut ngdn sdch vd cdch thiic tai trg tham hut len lam phat cd the thdng qua nhieu kenh. Kenh thii nhat la tham hut ngan sdch cao se ddy lai suat gia tang, gay kim ham dau tu tu nhan.
Hieu ling chen lan ddu tu cudi cimg se 1dm gidm sy hinh thdnh vdn mdi ciia xa hdi, keo theo tdng cau xa hoi gidm vd gid cd tang len. Tuy nhien, tac dgng ciia tham hut ngdn sdch len Idi suat vin con nhieu tranh luan. Nhieu cdng trinh nghien ciiu khdng phdt hien tac dong cd y nghTa thdng ke eiia tham hut ngan sdch len Iai suat (Bradley, 1986). Kenh thii hai Id hieu img ciia tdi trg tham hut. Khi tham hut duac tdi trg bang phat hanh trai phieu chinh phii va nhiing ngudi nam giii trai phieu khdng xem trdi phieu nhu la khodn thue tuang lai (khdc vdi quan diem ciia trudng phdi Ricardo) thi cua cdi qudc gia dugc cho Id se tang len. Hieu iing ciia cdi gia tang se keo theo nhu cau hdng hda gia tang va gid ca ciing tang theo.
Kenh thii ba ma trong dd thdm hut ngan sach co the gdy hieu iing len lam phat Id thdng qua tien te hda tham hut. Ndi khdc di, tham hut ngan sdch ve thyc chat khdng gay ra lam phat, md diing han hieu iing cua no len gid cd thdng qua tdc ddng len tong cung tien, sau do lan truyen den gid cd vd tam phat.
A tham hut ngan sach —^ A t6ng cung tien —> Lam phai Moi quan he nhdn qud cung tien va l^m phdt dya vdo dinh d^ ndi tieng cua Friedman "Lam phdt luon luon va bdt ky d ddu la mgt hien tugng tien te" Id
"Su gia tang lien tuc vd keo ddi eua gid cd nhat thiet dugc dl lien theo bdi su gia tang lien tuc cua cung
tien". Dua vdo ly thuyet dinh lugng tien te, nhieu nha kinh te dong thudn quan diem so lugng tien te Id yeu i6 quyel dinh ti le lam phat (Mankiw, 1997).
Tuy nhien, khdng ddng tinh quan diem ndy, Mortaza (2006) cho rang trong cdc nudc dang phat Irien, lam phdt khdng hodn todn thugc ve hien tuang tien te ma CO lien quan mat thiet vdi thdm hyt ngdn sdch.
Montiel (1989) tranh ludn them cdc yeu to lien quan den tham hul ngdn sdch chdng han nhu tdng trudng tien tc cao vd sy mat gid ti gid hoi dodi thdng tri tien trinh lam phdt d cdc nudc dang phdt trien.
2.2. Ddnh gid cdc nghien cuu ve thdm hut ngdn sdch vd lgm phdi
Ben canh cdc tranh ludn ve mat ly thuySt, nhieu nghien ciiu thyc nghiem da tien hanh kiem tra mdi quan he giiia tham hyt ngan sach va lam phat, nhung ket qud phdt hien cdn nhieu trai nguge.
Metin (1998) kiem tra m6i quan he giira tham hut ngdn sdch vd lam phat cua Thd Nhi Ky bang viec su dung md hinh hoi quy dan, trong do lam phat phu thugc vdo tham hyt ngan sdch, GDP thyc va ca sd tien. Vdi dir lieu nghien ciiu hdng nam, d giai doan tir 1950-1987, Metin phat hien tham hut ngan sdch gay hieu iing cd y nghia thong ke len lam phdt d Tho NhT Ky. Bdng mo hinh hieu chinh sai s6 (ECM) vd vdi dir lieu nam ciia Hy Lap trong giai doan 1957- 1993, Darrat (2000) phat hien thdm hut ngan sach tdc ddng cd y nghia thong ke len lam phdt trong ngdn ban vd dai ban. Piontkivsky vd cdng su (2001) nghien ciiu tdc dong ciia tham hut ngdn sdch len lam phat d Ukraine bdng md hinh VAR, vdi dii lieu thdng tir nam 1995 den giiia nam 2000. Hg da di den ket luan rang thdm hut ngan sach vd cdc yeu to tien te dong vai' Iro vai trgng trong viec quyet dinh lam phat. Muzafar va cdng sy (2011) sir dung phuang phap nhdn qud Granger trong md hinh ECM (gdm cac hiin thdm hyt ngdn sdch, cung tien vd lam phdt) de kiem djnh mdi quan he dai han giiia tham hut ngan sach va lam phat d 13 nudc chdu A trong khodng thdi gian 1950-1999. Nghien ciiu cua Muzafar da khang dinh thdm hut ngdn sach gdy ra lam phdt d cdc qudc gia nay.
Trong khi dd, nghien eiiu mdi quan he giiia lam phat va tham hut ngan sdch d nhieu qudc gia khdc nhau, Catao & Terrones (2000) phdt hien rdng cd quan he yeu trong cdc qudc gia phdt trien nhung co
NGHIEM CI>U & TRAD OOl A 1
PHAT TRIEN KINH TE
[•^uMiwrnimmmim
quan he m^inh trong cdc quoc gia dang phat tricii, Vincent vd cdng sy (2012) ti6n hdnh kicm dinh moi quan he giira thdm hut ngan sdch va I^m phdt d Nigeria vdi dii lieu nam Irong khodng thdi gian 1970-2006. bdng phdn tich cau true va ky thuyl dong hen kit Kit qud thuc nghiOiii eho ihay khdng cd sy gan ket mgnh gitra Ihdm hyt ngan sdch vd Igm pluil d Nigeria trong khodng thdi gian nay. Cac nghien ciru ciia Dwycr (1982). Karras (1994) deu cho rdng thdm hut ngan sach khdng dan den lam phdt.
Tom Igi, cac cdng trinh thuc nghiem cd nhiing khac bi?t nhdt dinh vc phuang phdp udc lugng, cac bien tmng md hinh, tir dd ket qua phdi hicn cung khac nhau. Mac dii vay, cac md hinh thyc nghiem deu khang djnh dd Id thdm hut ngdn sdch dugc tai trg thdng qua tien te hda vd cung tien gia tang cd the dan den lam phdt. Ndi khdc di, hieu iing lam phdt ciia tham hut ngdn sdch tiiy thudc vao cdch thiic ldi trg thdm hut vd tac ddng ciia nd den tdng cau.
2.3. Mit hinh ly thuyet
Khdo sat cac cong trinh thuc nghiem cho thdy nhieu nhd kinh te dd nghien curu mdi quan he giiia thdm hul ngdn sdch, cung lien va lam phdt tren ca sd phdn thdnh hai nhdm: Nhdm thii nhat, bien thdm hut ngdn sdch dugc dua vao true tiep vdo md hinh va mdi quan he vdi lam phat duac nghien cim; Nhdm thir hai dugc nghien ciiu gian tiep mdi quan he giira thdm hyt ngdn sdch vd lam phat. Cdng trinh nay lap trung nghien ciiu true tiep mdi quan he giiia thdm hut va lam phat. Ham lam phat dugc xdc djnh nhu sau:
LP = FiBCM2,GDP,TOP) (1) Trong dd, LP Id chi sd gid tieu dimg; BC Id tham
hut ngan sach; M2 Id cung lien; vd TOP Id dg md thuang mai duac do ludng qua chi tieu long kim ngach xuat khau/GDP. Viec lua chgn edc bien dgc lap trong md hinh dua tren cac xem xet sau. Thir nhdt, dua BC va M2 vao mo hinh la de do ludng hieu ling cae yeu td tdi khda vd tien te len mire gia ca, dieu nay phii hgp vdi md hinh quyet dinh miic gid cua Keynes. Thii hai, dua bien GDP vao md hinh de kiem soat miic gid trong mdi tuang quan vdi cung tien, phil hgp vdi thuyet dinh lugng lien te. Thii ba, Cling dua bien so do md thuong mai vao md hinh de xdc dinh hieu iing ciia nd len lam phdt. Nhieu nghien ciiu da minh chirng tdn tai moi quan he dm giija do
md thuong mgi vdi Igm phdt (Mukhtar, 2010; Lin and Chen, 2010).
3. Khao sat thu'c tien it VN
Bang I minh chirng dien bien lam phat, tham hut ngdn Niich vd cung tien (M2) trong vdng 25 ndm tro I^i day (1985-2010). Cd th^ thdy rdng lam phdt a VN trai qua nhieu cii soc nhu sieu lgm phdt vdo cuoi nhiing nam 80; Ihicu phdt vdo cuoi nhiing nam 90 (6 mire dudi 5%) va Igm phat cao vdi hai con so xuat hi?n trd Iai trong nhung nam 2008-2011. Thuc tien cho thdy phai mdt mgt khodng thdi gian khd ddi Chinh phil mdi cdi dugc nan sieu Igm phdt. Song den giai dogn 1996-2000, cugc khung hodng tai chinh nam 1997 dd tdc dgng tieu cye den kinh te. Nen Idnh le roi vao giam phat keo ddi nhieu nam (1999-2003).
Vd d^ phue hoi kinh t^. Chinh phu da thuc thi cac chinh sdch tdi khda vd chinh sdch tien te ndi long thdng qua cdc chuang trinh kich cdu. Tir nam 2008 din nay, trong boi cdnh nen kinh te hdi nhap ngdy cdng sdu, rdng vao kinh te the gidi va dudi tdc dong ciia cudc khiing hodng todn cdu, nan lam phdt cao vao cdc ndm 2008-2011 cimg vdi nhimg bat dn cua cdc can ddi vT md gay anh hudng tieu eye den ddi sdng xd hdi.
Sau giai doan 1985-1989, tham hut ngdn sdch dugc kiem soat d miic thdp, binh qudn 3% tt'ong giai dogn 1990-1995. Sau cudc khimg hodng tdi chinh - lien te nam 1997, chi tieu cdng lien tye tang cao lir 20%GDP ndm 1998 len hem 30% edc nam sau dd. Theo dd, tham hyt ngan saeh dugc nang Ien 3,5% trong giai dogn 2000-2005 vd 5,9% trong giai dogn 2006-2011. Sy ihay doi quy md chi tieu cong, thdm hyt ngan sach lien quan den thyc thi chinh sdch tdi, dgc bi§i gia tdng chi dau tu cdng thdng qua cac chuang irinh kich cau.
Sau giai doan sieu lam phdt, miic cung tien M2 dugc ki6m che d miic lang trudng binh quan 25%/GDP. Dieu nay cho thdy NHNN rdt than trong trong viec thyc thi mgt chinh sach tien te that chat de kiem sodt lam phdt. Song den giai dogn 1996-2000, cung tien cd khuynh hudng bat tang nhanh, dac biet sau cugc khung hoang nam 1997, tii 26% nam 1996 len 50,5% nam 2000. NghTa la miic tdng gdn gap ddi Dieu nay cho thay NHNN da chuyen hudng sang thyc thi chinh sach ti6n te md rgng de ho tra eho chinh sdch kich thich tdi khda nham phuc hoi
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NGHIEN c i r u & TRAO QdlP H A T T R I E N KINH T E So 259. Thana Nam nam 2012
kinh te sau khiing hoang va tai cau tnic kinh te d cdc giai doan sau do. Ket qua Id, mice cung M2 trong giai doan 2006-2011 tang gdp 4 ldn so vdi giai doan 1996-2000.
Bang 1. Diln bien lam phat, tham hut ngan sach va cung tien d VN L^m phat Tham hyt/GDP Cung tien/GDP
(%) (%) (%)
1985-1989 289,53 -8,9 25 1990-1995 31,34 -3,1 25 1996-2000 4 -2,8 33 2001-2005 5 -3,5 69 2006-2011 12,8 -5,9 120 Nguon: http //beta.adb.org/publications/senes/key-
indicators-for-asia-and-the-pacific
4. Phu'dng phap nghien cuTu, mo hinh thu'c nghiem va ket qua kiem djnh
4.1. Phuffng phdp nghien cihi
Nghien cim nay, su dung each tiep can md hinh phan phdi do tre tu hoi quy (Autoregressive Distnbuted Lag: ARDL) de kiem dmh mdi quan he dong lien ket ddi han eua thdm hut vd lgm phat.
Cdch tiep can ndy duge de xudt bdi Pesaran va Shin (1997). Md hinh ddng hen kel ddi hgn cua hai bieny va X cd dang:
Cd thi Vlit dudi dang mo hinh ARDL nhu sau gia su vdi do tre (1,1):
y,=c(o+ M + «i.y,-i + P^^,-\
Trong dd, do co dan ddi han dugc xdc dinh bdi ti le:
Va md hinh hieu chinh sai so theo phuong phdp Engle - Granger nhu sau:
Ay, =fi^t^, -(l-a:,)£'CM,_,
Ky thuat ndy co nhieu iru diem han so vdi phuang phdp dong lien ket cua Johansen. Thd nhdt, trong trudng hgp sd lugng mdu nhd, md hinh ARDL la cdch tiSp can cd y nghia thong ke han de kiem dinh tinh dong lien kk, trong khi dd ky thuat ddng lien kit ciia Johansen yeu cdu sd mau Idn han de dgt
dugc dg tin cdy. Thii hai, cdc ky thuat dong lien ket khdc yeu edu cdc bien hoi quy dugc dua vao hen ket cd dg tre nhu nhau llii trong each tiep can ARDL, edc bien hdi quy cd the dung nap cdc do tre tdi uu khac nhau, 1(1) hogc 1(0). Thii ba, neu nhu chiing ta khdng ddm bdo ve thudc tinh ve nghiem dan vi hay linh dirng eiia he thdng dii lieu Ihi dp dung thii tuc ARDL Id thich hgp nhdt cho nghien ciiu thuc nghiem.
De udc lugng hieu chinh sai so (ECM) dua tren ca sd liep can md hinh ARDL, Pesaran va Shin (1995) de xudt Ihuc hien 3 thu tuc sau: Thii nhdt, dua vao cdc tieu chi Akiake Information Criterion (AIC), vd Schawarz Bayesian Criterion (SBC) de lya chgn do tre cua mo hinh ARDL. Thir hai, chay mo hinh ARDL vdi cdc dp tre da dugc xdc djnh de kiem dinli mdi quan he cdn bang dai han giiia cdc bien trong md hinh. Trong trudng hgp cd su tdn tgi dong lien ket thi sd du cua md hinh se Id chuoi dirng, Thii ba, udc lugng do eo ddn ngdn han cua cac bien vdi sy hien dien cua sai s6 hieu chinh (ECM) trong md hinh ARDL.
4.2. Mo binh thuc nghiem
Tir hdm lam phdt (1), co the viet thdnh phuong trinh hoi quy sau:
LP, =a^ +a,BC, +a^M2, +afiDP,+TOP,+u, (2) Phuang trinh (2) cd the viet dudi dang mo hinh ARDL nhu sau, gid sir cdc do tri cua mo hinh la (1,1,1,1,1):
rJOP.-^r,TOP..,+£.
(3) Mdi lien he dong hen ket ddi hgn c6 the dugc tinh bdng viec loai bd cdc chi sd chi ddn thdi gian va sau dd nit ra cdc phdn:
Ca che hieu ehinh sai s6 (ECM - ARDL) vdi do tre (1,1,1,1,1) dugc thi6t lap bdng viec sap xep lai phuang trinh (3):
M.P,=p„&BC,-i-5,ALM,A-ZaM,GDP, + y,ALT0P-{\-a,)ECM,_j+£, (4)
NGHIEN CLfU & TRAO Odi A 3
PHAT TRIEN KINH TE S6' 259, Thang Nam nam 2012
Trong mo hinh ARDL. chung loi cdn dir;i (hem hai bien gid (dummy) de kicm Ira cac cu sde lac dpng ddi ban den lam phai Bien yi;i thir nhal lien quan den cii soc sieu Igm phdt Iren hai con so sudt thdi gian 1985-1992, Biem gia thir hai lien quan den cugc suy thodi kinh Ic do khung khodng lai chinh - tian te nam 1998 vd keo dai cho den nam 2003.
4.3. Dulieu nghiim ciru
Cac bien Ihdi gian dugc sir dung Irong nghien ciru nay Id du lieu hang nam trong khodng Ihdi gian 1985-2011 Dir tieu ciia cac bidn dugc thu thap lit dn pham "Key Indicators for Asia and the Pacific 2011", gom ti le lam phat (LP"'„).[] I? thdm hyt ngdn saeh (BC). cung tien (M2), tong sdn phdm quoc npi (GDP) vd dp md thuang mai do ludng (TOP) bang long kim ngach xudt - nhap khdii/GDP, Khi ap dyng cdch tiep can ARDL, cac bien chudi thdi gian dugc chuyen sang dang logarit tu nhien de udc lugng Tuy nhien, do cac bien LP vd bien BC cd thdi gian bien ddng am (-) nen ehiing tdi khdng chuyen sang dgng logarit ty nhien vd de nguyen dudi dang ti le %.
Bang 2 md ta dii lieu thdng ke cdc bien trong md hinh
4.4. Ket qud kiem dinh
(i) Lua chon dp tre ciia mo hinh ARDL. Bdng phuang phap de quy, dya vdo cdc tieu chi AIC va SBC chiing tdi chgn do tre thich hgp ciia md hinh
ARDL Id (1,0,0,0,0) (Bdng 3), Sau dd, chiing tdi tien hdnh Ihyc hipn mgt sd ki6m dinh thong ke de chuan dodn linh phii hgp ciia md hinh. Kiem dinh Larange multiplier (LM) de kicm ira tinh ty tuang quan va kiem djnh RESET ciia Ramsey de ki6m Ira sai dang md hinh Kel qud cdc kiem djnh cho thdy mo hinh on dinh, dam bdo de udc lugng cdc he so ddi han va ngdn hgn.
(ii) Vac hr(xng cdc he so ddi hgn ciia mo hinh ARDL: Bang 4 trinh bdy ket qud udc lugng cdc he so ddi han ciia md hinh ARDL vdi dp tre (1,0,0,0).
Sau do, tdc gia kicm tra thupc linh dimg cua phdn du hi kci qud hoi quy ndy. Ket qud kiem djnh cho thdy phan du Id mpt chuoi dimg vdi gia trj ADF - 5,56 vdi ^ nghia thong kc 1%. Nhu vdy, cdc bien trong md hinh la dong lien ket. Cdc he so dugc udc lugng cho thay bien thdm hut ngan sdch khdng cd quan h?
tryc tiep vdi lam phat trong ddi han; cung lien co quan he duang vdi lam lam phat, y nghia thdng ke 1%; tang trudng kinh te va dd md thuang mai co quan he dm vdi Igm phat, y nghTa thdng ke Ian lugl la 5% vd 1%, va cac cu soc Dl vd D2 khdng cd quan he vdi lam phdt.
(tii) Uac luffng cdc be so ngdn hgn cda mo hinh ARDL: Vdi su chap nhan eae he sd dai hgn ciia phucmg trinh lam phat, tdc gid tien hdnh udc lugng cac he so ngdn han tren ca sd trien khai md hmh ECM (phuang trinh 4). Md hinh ECM cd hai phan:
Bang 2. DO' lieu thong ke cac bien trong mo hinh
Mean Median Maximum Minimum Std. Dev, Skewness Kurtosis Jarque-Bera Probability Sum Sum Sq, Dev, Observations
LP(%) 0,650081 0,083700 7,480000 -0,016000 1.566552 3,483985 14,91837 214.4252 0,000000 17,55220 63,80621 27
BC (%) -0,037149 -0,033457 0,013343 -0,136752 0,033326 -1,053103 4,278721 6,830136 0,032874 -1,003030 0,028877 27
LM 11,20071 11.53679 14,98968 3,951244 2,940813 -0,922772 3,267564 3,912326 0,141400 302,4191 224.8579 27
LGDP 12,03221 12,79668 14.71617 4,762174 2,439192 -1,538747 4,857881 14,53803 0.000697 324,8698 154.6911 27
LTOP 4,318231 4,345103 5,135798 2,406945 0.613380 -1,119049 4,651771 8,704605 0,012877 116,5922 9,782118 27
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NGHIEN c i r u & TRAO DdiP H A T T R I E N K I N H T E
Bang 3 . l/dc lu'ong do t r e phan phoi tu* hoi quy (Bien phu thuoc LP)
Bien Dp l^ch chuan Thong ke I
LP(-1) BG
LGDP LTOP
D2
22,12285 -0,108585 -2,531440 2,016217 -2,723264 -2,479290 -0.921856 -0,423282
0,950894 49,79300 0,000000
1,474242 0,093225 3,748051 0,231777 0,280795 0,570956 0,331929 0,224918
15,00625 -1,164765 -0,675402 8,698947 -9,698409 -4,342350 -2,777266 -1,881936
Akaike info criterion Schwa Hannan-
irz critenon
•Quinn enter.
Durbin-Watson stat
0.0000 0,2593 0,5080 0,0000 0,0000 0,0004 0,0124 0,0761
1,336098 1,723205 1,447571 2,144707 R-squared
F-statistic Prob(F-statistic}
Kiem dmh LM doi va\ phan du F(2,16) = 1,37 (0,28) Kiem dmh RESET cua Ramsey F{1,17) = 2,11 [0,16]
Bang 4 . Udc tu'dng cac he so dai han cua mo hinh ARDL vdi cac do t r e ( 1 , 0 , 0 , 0 , 0 ) (Bien phu thuoc LP)
c
BC LM LGDP LTOP Dl D2
R-squared
Bien He so
20,35947 -0,484070 2,636240 -1,659050 -6,914136 -0,744088 -0,218803
0,663816
Dg lech chuan
4,248530 10,84488 0,654142 0,770916 1,252240 0,960468 0,649575
F-statistic Thong k§ t
4,792121 -0,044636 4,030074 -2,152050 -5,521413 -0,774714 -0,336841
Xae suat
0,0001 0,9649 0,0007 0,0445 0,0000 0,4480 0,7399
6,252782
Thii nhat udc luang cae he so ngan hgn; thii hai, phan sai sd hieu chinh (ECT) cung cap thdng tin phdn h6i hay tdc dp dieu chinh ciia cdc he sd ngan han quy tu vi cdn biing dai han trong md hinh. Phdn sai sd hieu chinh (ECT) thu duac tii kit qua udc
lugng cac he sd ddi hgn, Bdng 5 trinh bdy ket qud udc luang cdc he sd ngan han tii md hinh ARDL vdi cdc dp tre dupe lira chon,
Udc lugng cho thdy cac bien thdm hut ngan sdch vd cung tien tac ddng duang len lam phat vdi y
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P H A T T R I E N K I N H T E So 259. Thana Nam nam 2012
Bang 5. Ket qua u'dc lu'ong mo hinh hi^u chinh sai so (Bien phg thuQC LP^
H$s6 Qi) l$ch chuSn Thdng Ice t
ABC ALM A LGDP A LTOP ECM(-I) A D 1 A D 2
0,127296 8,346691 1,503482 -2,177033 -2,965712 -0,473787 -0,135591 -0,097160
0,105532 2,967240 0,599156 0,532102 0.238390 0,065991 0,314984 0,220404
1,206229 2,812947 2,509331 -4,091385 -12,44057 -7,179596 -0.430470 -0,440826
0,2442 0,0120 0,0225 0.0008 0,0000 0,0000 0,6723 0,6649
R-squared Adjusted R-squared F-statistic Prob(F-statistic)
0,958540 0,941468 56,14716 0,000000
Akaike info critenon Schwarz criterion Hannan-Quinn enter,
Durbin-Watson stat
0,693586 1.083627 0,801767 2,253568
nghTa thong ke la 5%; tang trudng kinh te vd do md thuang mai ed quan he dm vdi lgm phdt, y nghta thdng ke deu la 1%. He so eiia phdn sai sd hieu chinh (ECM) bdng -0,47 vdi y nghia thdng ke \%.
Theo udc lugng nay, tdc do digu chinh ehdm. Them vdo dd, md hinh ECM gidi thieh tdi 95% su h\in dpng ciia gia cd hay lam phdt. Cdc cii sde khdng c6 tdc ddng den lam phat trong ngdn han.
5. Ket luan va gtfi y chinh sach 5.1. Kit lugn
Trong nghien ciiu ndy, tii md hinh ARDL, tac gid udc lugng phuang trinh Igm phat vd eho thdy nhiing ket qud quan trpng sau:
- Thdm hut ngan sdeh khong cd quan he vdi lam phdt trong ddi han, nhung tdc dpng ed y nghTa thdng ke len lam phat trong ngdn hgn, Ket qud nay bd sung nghien ciiu ve lgm phdt cua VN duge tian hdnh bdi Nguyen Thu Hang, Nguyen Due Thanh (2010) cho rang tham hut ngdn sdch khdng tdc ddng rd rdng len lam phdt.
- Cung tien tdc ddng duang ien lam phat trong ddi han Ian ngdn han. Song, hieu iing cung ti^n len
lam phat trong ngan ban (1,5) nhd hem hieu iing trong dai han (2,6).
- Hieu ling dp md thuang mai cd quan he dm vdi lgm phdt trong ngan ban vd dai ban.
Tang trudng kinh te cd tac ddng dm den lam phat trong ddi ban vd ngan han.
- Phdn sai sd hieu chinh ndm trong khoang [-1 < - 0,47 < 0]. Dieu nay cho thdy miic dp diSu chinh kha cham. Trong mdi nam phai hieu chinh tdi 47% sir sai lech giiia miic gid ngan ban hi can hdng dai ban.
- He sd udc lugng cdc bien gid cbo thay cac cu sde khdng cd tac dpng den miic gia ca trong ngdn ban Ian ddi ban.
5.2. Cdc hdm y chinh sdch - DOI vai chinh sdch tdi khoa:
Md binh lam pbdt cho thdy thdm but ngdn sach gdy bieu ung duong Ien lam phat trong ngdn han.
Tuy nbien, ket qud thirc nghiem khdng phdt hien mdi quan he ciia thdm hut ngan sach vdi lgm phat trong dai ban, Vi the, thdi gian qua tham hut ngan sach dong vai trd quyet dinh lam phdt d VN trong ngan ban. That vay, trong qua trinh ebuy6n doi kinh
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le, VN da dan kiem sodt bdi ehi ngan sdch tu hai nguon Id vay nudc ngodi vd vay trong nuac nen siic ep tdng cung tien tren thi tnrdng trong ddi ban tir boi chi Id khong ldn, the nbimg siic ep tang chi tieu cdng hang nam lai tang len do cdc nhu cdu ehi thudng xuyen va ddu tu cdng, Vi the, de kiem sodt tham hi,it ngdn saeh vd kiem che lam phat, Cbinh phu edn tap trung manh vdo cdc ngudn thu ngodi ddu khi bdng viec tien hdnb cdi cdch chinh sach thue vd tang cudng cdng tac thi hdnh cac chinh sdch thue; ddng thai dp dung khudn kho qudn ly chi tieu trung ban de thay the ddn phuang thuc qudn ly chi tieu cdng tang dan bdng nam. Han the niia, can xir ly quan be giiia chi thudng xuyen vd chi ddu tu de ehu dpng trong can ddi ngan sach va gidm dp luc tdng chi ngdn sdch hang nam.
- DSi vai chinh sdch tien te:
Theo ket qud thirc nghiem, tdng trudng cung tien cd the giai thieh tien trinh lam phat d VN. Md binh cho thay cung tien gdy bieu ling len lam phdt d VN trong ngan ban lan ddi ban. NghTa Id, cung tien ddng vai trd quyet dinh trong viec quy^t dinb lgm phdt d VN. Nhu vdy, NHNN cdn phai thay ddi chinh sach tien te vd khudn khd boat dpng, cbuyen sang dieu hdnh theo lam phdt muc tieu ban la hd trg cbo chinh sach tai khda Chuyen sang lam pbdt muc tieu trong dieu hdnb cblnh sdeh tien te, ddi hdi NHNN:
- Phdi thiet lap khudn khd su dung eae cdng cu chinh sdch dua tren nen tdng kiem sodt tinb long cua he thong ngan hang;
- Sir dung lai sudt ngan bgn nhu la edng cu ea bdn cua chinh sdch tien te;
- Loai bd cdc cdng cu cd tinh chat phi thj tnrdng, cong cu hanh chinh, bao cap (tdi cap vdn);
- Chap nhdn cac nguyen tac minh bach de pbdt ra cac tin hieu, giup cho tbi trudng nhdn thirc ro quan diem ciia cbinh sach tien te;
- Nang cao hieu sudt truyen ddn cua cbinh sdch tien te vd tinh doc lap ciia NHNN.
That vdy, vi mat ly thuy6t, mudn lgm phdt gidm thi cdn thdt chat cung tiSn te, ddng nghia vdi viec gidm tang trudng tin dung. Tuy nhien, do nhu eau thiic day tang tnrdng kinh te ciing nhu tgo thanh khodn cho tbi trudng tai chinh, cung tin dung vdn la mpt bdi todn nan giai doi vdi cdc nhd hoach dinh
chinh sdeh tien te. Thdi gian qua, tang trudng tin dung tang manh, tdng phuang tien thanh todn tang, the tai sao doanh nghiep van thieu von? Mdt phan ldn tin dung eua eae ngdn hdng thuang mai da hi chdy vdo thi trudng bdt dong sdn hay dau tu trai phieu ehinh phu, Trdi phieu vira lai sudt cao, Igi dugc ngdn bang sir dung lam phucmg tien cam cd de vay von tir NHNN ddn den mot vong Iuan qudn ciia ddng tien. Do vay, cdn tdng cudng hieu qud ciia ca che truyen tdi chinh sdch lien te thdng qua cdc bien pbap lam gia tang su tiep can eiia doanh nghiep vd ngudi ddn trong viec tdi trg vdn cho ddu tu phdt trien sdn xudt kinh doanh vd ddy manh xudt khdu. Ket qud tliuc nghiem da img hd quan diem kinh te cang tang trudng cao vd dp md thuang mai cdng ldn nen kinh te edng cd ca hdi kiem soat lgm phat d miic thap.
Ben canh dd, can cd cae bien phap de cd the nhat the hda lai suat tren thi trudng, tranh xu hudng da lai sudt nhu hien nay va lam cho lai sudt van hanh theo diing ca chi thi tnrdng ban. Thi trudng se tgo ra mpt dudng cong lai sudt thich hgp tbeo ea che lan tda ciia cdc nghiep vu ngdn hang tnmg ucrngB
NGHIEN CO-U & TRAO Ddi
