^ 1 HUNG NGHI6N CUU MOI TRONG KHOfl HOC KINH ti
l/dc lifdng ham cau tien
bang mo hinh tr§ phan phoi tir hoi quy
TS. Ha Quynh Hoa
Dqi hoc Kinh te Qudc ddn
Ciing ydi tie'n thnh cai each nen kinh te, he thdng ngan hang Viet Nam da ed nhieu ddi mdi, dae biet trong viec hoach djnh va thue thi ehinh saeh tien te, nhd vay nganh ngan hang da ed nhang ddng gdp khdng nhd vao s u nghiep phai then kinh te- xa hpi, dn djnh kinh te vT nid, dani bao an sinh xa hpi. trong bdi cinh nen kinli te day manh hpi nhap kinh tequde te keo theo thuong mai va ehu ehuyen von qudc te dien ra nhanh hdn, manh hdn, viec xay dang va dieu tianh ehinh saeh tien te trd nen phitc tap va khd khin hdn, dac biet ta nam 2007 trd lai day Thae te eho thay Viet: dieu hanh ehinh saeh tien te d ndde ta trong thdi gian qua edn han ehe, nhat la d khau djnh IUdng muc tieu trung gian. Ham ciu tien on djnh se giup viee djnh iupng duge tdt han. Bai viet pay xin gidi thieu mpt phuong phap kiem dinh quan he ddng tieh theo mpt each tie'p can khac trong phan tieh eau tien d Viei Nam, each tiep can trd phan phdi tut hdi quy- Autoregressive distributed lag (ARDL).
1
Gidi thieuThue tien eho tha'y viee kiem djnh md'i quan he giu'a eau tien va cae nhan td anh hufdng tdi nhu cau nam giu tien dupe kha nhieu nha nghien cUu thuc hien bang ky tliuat phan tich ddng tich hpp do Johansen nam 1988 va Johansen, Juselius nam 1990 dua ra. Chang han nhu nghien cUu ciia Hafer va Jansen nam 1991, Hoffman va Rasche nam 1991, McNown va Wallace nam 1992 cho nen kinh te My; nghien cCfu cua Adam nam 1991, cua Johansen nam 1992 cho nude Anh; nghien cUu cua Karfakis va Parikh nam 1993 eho nude Ue; nghien euli eua Von Hagen nam 1993, Hansen va Kim nam 1995, Bahmani-Oskooee va Bohl nam 2000 eho nUde DUc; nghien cufu eiia Bahmani-Oskooee va cac edng sU nam 1998 cho Tay Ban Nha; nghien cUu cua Muscatelli va Papi nam 1990 eho nude V; nghien eCfu eua Bahmani-Oskooee va Chomsisengphet nam 2002 eho cac nude cdng nghiep; nghien eCfu eua Miyao, Bahmani-Oskooee va Shabsigh nam 1996 cho Nhat Ban; nghien eCfu eiia Bahmani- Oskooee va Barry nam 2000 cho nude Nga; nghien eCfu eua Hafer va Kutan nam 1994 eho Trung Qudc; nghien cCfu eua Bahmani- Oskooee and Shin nam 2002 eho Han Qude; nghien eCfu eua Frenkel va Taylor nam 1993 ehp Yugoslavia; nghien cCfu cua Bahmani-Oskooee nam 1996 eho Iran. Hau het eac nghien cCfu ke tren deu ed mdt ket luan ehung la khdi lupng eau tien M2 cd quan he ddng tich hpp vdi thu nhap va lai sua't.
Cac nghien eCfu ve^eau tien theo phUPng phap ddng tieh hpp hau nhu dupe thue hien d nhung nude kinh te phat trien ed he thd'ng thdng ke va ngudn eung cap sd |,ieu day du va ehinh xae nhung ed khdng nhieu cac nghien eCfu eho eae nude dang phat trien. O Viet Nam, eho den thdi diem eua bai viet nay thi cung da ed mdt vai nghien cCfu ve cau tien dugc thdc hien bang phUPng phap ddng tich hpp. Chang han nhu lighien eCfu cua tac gia ve eau tien thue hien nam 2008.
Trong nghien cCfu nay, tac gia suf dung ky thuat phan tich ddng tich hop eiia Johansen trong phUPng phap vector tU hdi quy hieu chinh sai sd de tim mdi quan he ddng tieh hop giCfa eau tien vdi thu nhap va lai suat.
Viec sii dung ky thuat phan tich ddng tieh hpp ddi hdi^phai xac dinh dUPc bae tUPng guan cua cac bien. Vide xac djnh bae tUPng quan thudng dugc kiem dinh thdng qua kiem dinh gdc dPn vi.
Cac phUPng phap kiem djnh khac nhau cd the cho ket qua khdng hoan toan gid'ng nhau. De giai quyet van de nay nam 1995 Pesaran va Shin^ Perasan va eac edng sU nam 2001 da dUa ra each kiem djnh ddng tich hpp mdi, each tiep can tre phan phd'i tu hdi quy. Cliung ta se xem xet phUPng phap nay d phan sau.
2. Cach tie'p can ARDL
Xet mdt ham cau tien thpng thudng dupe sii dung trong Ude lUPng eua nen kinh te md cd thi trudng tai chinh phat trien d mUe thap, nhif sau:
40
NHUNG NGHI6N CUU MOI TRONG KHOR HOC KINH'
LnM, =a,+a,\ogY,+a,mV + a,\ogEX,+u, (1)
Tronq dd M la khd'i lUPng tien ed the la M l hoac M2; Y la bien quy md ed the la GDP hoac bien dai dien khae nhu tdng san lUPng edng nghiep; INF la ty je lam phat, bien dai dien eho ehi phi ed hdi eua viee nam giur tien; EXia ty gia hd'i doai^ u la phan du hdi quy. Trong ham nay, he so a^
duoc ky vong la dUPng, a^ la am va ag ed the am hoac dUPng. Neu EX la ty gia hdi doai cua ddng ngoai te thi khi ty gia lang tCfe ddng ndi te mat gia se lam tang gia tn eiia eae tai san nUde ngoai ma ngi/di dan nam giu" khi quy ddi ra ndi te. Do dd khi EX tang, edng ehung trong nude thich nam giu' nhieu tai san nude ngoai hPn thi eau ndi te tang va trong trUdng hPp nay a^ ed gia trj duong. Cdn trong trUdng hdp ngUpe lai khi EX tang, mpi ngUdi ky vpng se cd sU pha gia trong tUPng lai thi edng ehung se nam giuf it tien ndi te hon, khi dd Ug la am.
Thuc tien eho thay nhu'ng ehudi thdi gian kinh te thudng la eae ehudi dCfng 1(0), hoac khdng dUng nhung sai phan bae nha't cua chung se la eac ehudi dC/ng 10). Vdi tien nghiem dd, bai viet sii dung md hinh ARDL vdi eac sai phan bae nha't va cae bien tre bae nha't. Md hinh ARDL cho ham cau tien neu tren ed dang sau:
" /J li J'
A log M, = «o + Z ^i'^ '"8 ^ ' - ' + Z '^2 A log y,-, + Z «.^,^INF,„ + Z a„A log EX,.,
,=| ;=0 /=0 (=0 ^ '
+ 7, log M,_, + /2 log Y,_, + r, log INF,_, + r, log EX,_, + u,
Gia thuyet Hg khdng ed quan he ddng tich hpp la y.^= Y2= Y3= 74= 0 va gia thuyet ddi^HI la it nhat mdt trong cae he sd nay la khae 0. Thd'ng ke F thudng dtfpc suf dung kiem djnh gia thuyet Hg. Tuy nhien, phan phdi tiem can cua thd'ng ke F trong md hinh OLS thdng thudng lai khdng the rut ra ket luan la cae bien cd ddng tich hdp hay khdng. Nam 2001, Pesaran va cae edng su da thiet lap 2 bang gia tri tdi han. Mdt bang gia djnh tat ca eae bien la 1(1) va bang kia gia djnh la 1(0). Hai bang gia tri tdi han'nay cho chung ta mdt mien gia trj ehCfa dung eae kha nang ma cac bien la 1(1) va 1(0) hdae tieh hop tCfng phan. Neu gia trj thd'ng ke F Ude lUpng dupe nam tren gidi han tren thi gia thuyet H^ bi bae bd, tCfc la ed quan he ddng tieh hpp. Neu gia trj thdng ke F Ude lUPng dUPe nam dudi giPi han dudi thi gia thuyet HQ dupe chap nhan, hay khdng ton tai quan he ddng tich hpp. Trong trUdng hPp gia trj thdng ke F ude lupng dupe nam trong mien gidi han thi khdng cd ket luan ehinh xac ve quan he ddng tich hpp.
3. Ke't qua Ude lUdng thuc nghiem
Ngudn sd lieu dupe suf dting trong nghien eufu nay dupe lay tU thd'ng ke tai ehinh qudc te (IFS) cua IMF va Tdng cue thdng'ke (GSO). Cae quan sat cua M^\ M22, ty gia hd'i doai cua ddng ngoai te (EX), ty le lam phat (INF^) ya gia trj san lUpng cdng nghiep (IP") la gia trj dUdc quan sat theo tiiang tu thang 1 nam 1995 den thang 8 nam 2007.
De kiem djnh gia thuyet H^, theo phUPng phap ARDL trUde tien ehung ta sii dung eac gia trj tdi han mdi theo F-test. Theo Bahmani-Oskooee va Brooks jiam 2003 thi F-test rat nhay cam vdi sd bae tre eiia eae bien sai phan bae mdt. Vi^vay, eae bae tre 2^ 4, 6, 8, 10 da dupe dUa^vao eac bien sai phan bac nipt trong phuPng trinh 2 de i<iem djnh tinh ddng tieh hdp. Ket qua kiem djnh trong bang 1 eho tha'y gia trj thd'ng ke F deu Idn hpn gia trj tdi han. TCfe la trong thdi ky nghien eCfu, tdn tai quan he ddng tieh hpp giu'a M l va M2 vdi eae bien thu nhap, lam phat va ty gia.
Bae tre Ml M2
Bang 1: Ke't qua kiem dinh ddng tich hdp (F-test)
2 4 6 8 32.12 30.51 27.66 26.61 24.82 24.46 19.61 20.62
10 24.17
18.83 Ghi chu: d mdc y nghTa thdng ke 10% gia trj tdi han can tren la 3.57.
^Sau khi xae djnh dupe quan he_ddng tieh hdp la tdn tai, tieu ehuan thdng tin Akaike (AIC) duoc sii dung de xac djnh dd dai cua tre ciia eae bidn sai phan bae mdt trong phUPng trinh 2. Ham cau tien theo phUPng trinh 2 dupe Ude lupng lai va ket qua Ude lUPng dUPe cua ham cau tien M1 va M2 trinh bay trong bang 2 va 3 dudi day.
Theo bang 2 thi ham cau tien M l dai han ed dang:
LNM1R =1.2828*LIP - 0.02915riNF - 0.054249*LNEX
(18.62) (-3.79) (-1.32) Ham nay ed da'u eua eae he sd hoan toan phu hpp vdi ly thuyet. Khi san lupng tang thi nhu eau
41
^ 1 'HUNG NGHICN CUU MOI TRONG KHOfl HOC KINH TC
Bang 2: Ket qua Ude lugng M1 theo ARDL dua tren AIC
Bac tre ALNM1R A LIP
Phan A: Ket qua Lf6c luOng Ml ngan han
AINF ALNEX
0.12335 (4.6643) 0.032652
(0.41592)"
-0.032659 (-0.41105) 0.025168 (0.32461)
-0.0028030 (-3.8817)
-0.0052164 (-1.2608)
Phan B: Ket qua u6c lupng Ml dai han
LIP INF 1.2828 -0.029151 (18.62) (-3.79)
LNEX -0.054249
(-1.32)
EC,, -0.09615
(-4.71)
LIvf 6.88
REST 1.35 Ghichu a. So trong ngoac iron la gia tri thong ke t.
b. kiem dinh LM (lagrange multiplier test for serial correlation): /( 4), d mUc y nghTa 5% la 9.48.
c. Kiem djnh RESET (Ramsey's specification test): / (1) vdl mifc y nghTa 5% la 3.84
tien tang. He sd ciia INF la am eho tha'y khi lam phat tang thi nhu eau nam giu" tien giam. anh hudng eua sU bien ddng ty gia dd'i vdi nhu eaii tien ia am va cd he sd ve trj tuyet ddi la Idn hPn bien phan anii chi piii cP iidi dieu nay cho thay tai nen kinh te cd hien tupng dd la hda nhu Viet Nam thi bien anh hudng den nhu eau nam giu'ddng ndi te la sU ien xudng eua ddng dd la ehUelii phi CO hdi khdng anh hudng nhieu.
Bang 2 eung eho ehung ta biet dupe ham cau tien ngan han ed dp tre bae 3 ddi vdi eac bien sai phan bac nha't trong phUPng trinh sd 2.
Theo bang 3 thi ham eau tien M2 dai han ed dang:
Bang 3: Ket qua ude lugng M2 theo ARDL dua tren AIC
Bac t r i Phan A: Ket qua
0 1 2 3 4 5 6 Phan B: Ket qua
C -14.5249
(-4.49)
ALNM2R ude luong M2 ngan han
-0.085956 (-1.0994)"
-0.053553 (-.69026) 0.338550 (4.3885) 0.008689 (.11304) 0.056078 (.72558) -0.284230 (-3.6457) Ucic luOng M2 dai han
LIP 1.1792 (10.84)
Ghi chil a. So trong ngoac tron la gia tri thong INF 0.0283 (-4.21)
ket
A LIP
0.096316 (4.7363)
_,
LNEX 1.6273 (4.12)
AINF
-0.0023192 (-3.9446)
EC,, -0.0816
(-5.41) b. kiem djnh LM (lagrange multiplier test for serial correlation): /(4), a mirc
LM^
4.18
ALNEX
-0.25216 (-1.2536) -0.20974 (-1.0280) -0.51637 (-2.5276) -0.37012 (-1.7981) -0.34460 (-1.6722) -0.29959 (-1.4513)
RES 7^
1.87
y nghia 5% la 9.48.
e. Kiem dinh RESET (Ramsey's specification test): / (1) vai mitc y nghia 5% la 3.84
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kinhte Phattrien
NHUNG NGHICN CUU MOI TRONG KHOR HOC KINH ^
' LNM2R =-14.5249+1.1792*LIP - 0.028395*INF + 1.6273*LNEX
(-4.49) (10.84) (-4.21) (4.12) Ham eau tien M2 Ude IUdng dUdc ed eae he sd ed da'u phu hdp vdi ly thuyet va tat ea deu cd
y nghTa thdng ke. Cae bien LIP, INF, LNEX phan anh sU bien ddng eua M2 td't hPn M l d Viet Nam.
Trong ham nay he sd eCia bien ty gia dUPng eho tha'y khi ddla My len gia mpi ngudi nani giu' nd nhieu hPn, eau tien tang.
Bang 3 eung eho tha'y dp tre trong ham eau tien la 6. Trong bang, dp t r i 3 va 6 dd'i vdi sai phan bae nhat eua bien LNM2R ed y nghTa thd'ng ke eao nhung da'u eua ehung lai nguoe nhau. He so 0,338 eho tha'y ne'u quy trUde iVI2 tang 1 diem % thi quy nay se tang (),338 diem %. NhUng he sd t r i 6 thang (2 c|uy trUde) tang 1 diem % thi quy^nay se giam 0,28 diern %. Nhu vay thi neu kich thich kinh te bang ehi'nh sach tien te thi hieu qua cua nd se ed anh hudng tieh cue trong khoang mdt quy.
Nhu vay ehung ta cd the tha'y bang each tiep can ARDL viec xac djnh quan he ddng tieh hop eung nhuf la ude lupng harn eau tien trd nen dPn gian hPn. Tuy nhien de xae djnli xem ham eau tien Ude lUdng dUPc ed the sii dung trong phan tieh va du bao hay khdng thi chung ta can phai thuc hien kiem djnh CUSUM va CUSUMSQ. d mCfc y nghfa 5% theo hinh 1 , 2 , 3 , 4 eho tha'y ham cau tieii M l va M2 deu tUPng dd'i dn djnh.
mm mm \miii mm WM wmi nxm Hinh 1: KiSm dinh CUSUM cho tinh
6n dinh ciia ham ciu tien h/1
\mb mie, min nm mm •mm mm Hinh 2: Kiem dinh CUSUM- Square cho tlnh
6n dinh cOa ham cau tien Ml
I995MII IS9M2 2(00111 20QM 2IXIM 20l)a« mm Hinh 3: Ki^m dinh CUSUM cho tinh
6n dinh cCia ham ciu tien M2
I99SM1I I99IMI2 20KM 20O2W mm 2mMI 200M
Hinh 4: KiSm dinh CUSUM- Square cho tlnh 6n dinh cOa ham cau tien M2
4. Ket luan
Bai vie't nay gidi thieu va Cfng dung each tiep can ARDL de phan tieh ddng tich hdp nhu Pesaran va Shin nam 1998; Perasan va cae cdng sU narri 2001 gidi thieu. PhUPng phap ARDL khdng ddi hoi phai xac dinh dUde bae tUdng quan eCia eae bien.
Ket qua Ude lUPng thUe nghiem theo each tiep can nay hoan toan phan anh dung ly thuyet eung nhu thue tien. Ca hai ham eau tien M l va M2 qua kiem dinh CUSUM va CUSUMSQ deu tUPng ddi dn djnh P mCfe y nghTa 5%. Vdi ham eau tien nhU vay ehung ta ed the suf dung ehung de phan tieh cung nhu dU bao vT md.
Ghichu:
1. M1= tien mat trong lufu thdng + tien giii khdng ky han 2. M2= M1+ eae tai khoan tien giii tiet kiem
3. INF= ty le lam phat tinh theo ehi sd gia tieu dung (nam gde 1995) 4. IP= chi sd san lUPng cdng nghiep theo gia nam 1995.B
Tai lieu tham khao:
1. Bahmani-Oskooee, M, Barry, M. P. Stability of the demand for money in an unsta-
ble country: Russia. Journal of Post Keynesian Economics 2000; 22' 619-29. (Xem tie'p trang 64)
•Mt trien
43^ 1
' H O N GNGHI6N CUU MOI TRONG KHOR HOC HINH TC
the hien sU quan tam eua O i n g va Nha nude dd'i vdi eae ddi tUdng dUdc ufu dai trong GD-Ot. Tuy hhien, viee thue hien ehi tra nhu liien nay Nha tru'dng rat khd kiern soat dUdc cac ddi tUdng, nhat la ddi tUdng hd ngheo. Chi'nh vi vay, Nha nude can p h i i ed ngudn ngan sach rieng giao eho cac dja phUdng de thuc hien ehi tra eho cac ddi tUdng dudc ufU dai nay. Thufc hien chuyen giao cho cac dja phUdng yiec ehi tra trd cap cho eae ddi tUdng ehinh sach xa hpi vUa giuip cho cong tac q u i n 1^' eae ddi tUdn^
dUde sat hdn va vUa la giai phap de hd trd eho eae trUdng khdi Ndng Lam mpt khoin ngan saeh khdng nhd hang nam.
+ ThU ba, du mUe hpc phf da tang nhung vdi nhi/ng b i l n dpng cuia n i n kinh t l da dien r l trong thdi gian qua va nhung nam tdi thi rnUc hpc phf tren van chua the giup eho nganh GD-OT g i l i quyet dUdc kho khan v l tai ehinh va tra Idi dUdc cau hoi ma xa hdi quan tam la "cd nang cao dudc chat lUdng dao tao". Chinh vi vay,
van de tang hpc phi, nha't la hpc phi trong ITnh vue dao tao van can phai dUdc nghien cufu de de xuat vdi Nha nudc theo mdt Id trinh thieh hdp.
4. Ket luan
odi mdi ed e h i quan ly ndi ehung, cd ehe quan iy tai chi'nh ndi rieng eija nganh GD- OT la mpt chij trUdng duing nham p h i t triln giao due dao tao nude nha ghu hdp vdi xu hudng phat then va hpi nhap qude te hien nay. Doi mdi ed c h i quah \j tai chi'nh, ma trpng tam la giao q u y l n tu ehu, tU chju traeh nhiem va thufc hieii cong khai tai ehinh cae cd sd giao due edng lap khong chi giup eac trudng nang eao chat IUdng,dao tao ma con de xa hdi kiem soat, lufa chpn va chia se nhufng khd khan ma nhieu nam qua eac trudng chua the t r i Idi dUdc bai toan v l hpc phi va,cha't IUdng dao tao. Can khang dmh rang, du hpe phi d? taiig nhung nhCfng so lieu phan tfch tren day cho tha'y van de tai ehfnh ciia cae trudng ehua the sang sua va kha quan nen muc tieu tang
duoc chat lUdng dao tao chac Chan khdng d l dang thUc hien ngay dUdc. Khd khan se cang Idn hdn ddi vdi cac trudng khdi nganh Ndng Lam khi ma n i n kinh te dang cd sU chuyen ddi manh me va su eanh tranh trong dao tao dang d i l n ra soi dpng nhu hien nay. O l vupt qua dUdc nhufng khd khan nay cac trudng dai hpc, cao dang cdng lap ndi chung, khdi nganh Ndng Lam ndi rieng rat can ed su chia xe tU xa hpi va can ed suf quan tarn eua Nha nude va eac bo nganh.•
Tai lieu thai.: khao:
1 Bao cao tai chi'nh cua Tru'dng Dal hoc Nong nghiep Ha Noi.
2. Cong khai tai chi'nh trong giao d u e - bai phong van Bo tri/dng N g u y i n Thien Nhan, Thoi bao Kinh te Viet Nam so 206, ngay 28/8/2009;
3. De afi ddi mdi cd che tai chinh nani ^009-2014 cua Bo Giao di.:c va Oao tao;
4. Nghi dinh so 43-2006/i\ID-CP cua Chi'nh phu ngay 25/4/2006;
(Tiep theo trang 43)
l/6c liTdng ham cau tien...
2. Bahmani-Oskooee, M, Bohl, M. T. German monetary unification and the stability of the German M3 money demand f'jnction. Economic Uetters 2000; 66; 203-208.
3. Bahmani-Oskooee, M, Shabsigh, G. The demand for money in Japan: Evidence from Cointegration Analysis Japan and the World Economy 1996; 8; 1-lO.
4. Frenkel, J. A., Taylor, M. P. Money demand and inflation ir, Yugoslavia, 1980-1 989. Journal of Macroeconom- ics 1993; 1 5 : 4 5 5 ^ 8 1 .
5. Ha Quynh Hoa (2008), Uuan an Tien sy Kinh te, Cau tien va iie qua doi vdl chfnh sach tien te d Viet Nam 6. Hafer, R. W, Jansen, D. W. The demand for money in the United States: evidence from cointegration tests. Jour- nal of Money, Credit, and Banking 1991; 23; 155-168.
7. Hafer, R. W, Kutan, A. M. Economic reforms and the long-run money demand in China: implications for mone- tary policy. Southern Economic Journal 1994; 60; 936-945.
8. Hansen, G. and Kim, J. R. The stability of German money demand: tests of the cointegration relation.
WeltwirtschaftlichesArchiv 1995; 131; 286-301.
9. Hoffman, D. U, Rasche, R. H. Uong-Run income and interest elasticities of money demand in the United States The Review of Economics and Statistics 1991; 73; 665-674.
10. Karfakis, C. 1. Parikh, A. A cointegration approach to monetary targeting in Australia. Australian Economic Papers 1993; 32; 53-70.
11. Pesaran, M. H, Shin, Y, Smith, R. J. Bounds testing approaches to the analysis of level relationshios Journal of Applied Econometrics 2001; 16; 289-326. npb. journal
12. Pesaran, M. H, Shin, Y. An autoregressive distributed lag modelling approach to cointegration analysis In Strom, S., Holly, A., Diamond, P. (Eds.), Centennial Volume of Rangar Frisch, Cambridge University Press Cam- bridge, 1995.
13. Pradhan, B. K, Subramanian, A. On the stability of the demand for money in India. The Indian Economir innr nai 1998; 45; 106-117. HIL jour-
14. Von Hagen, J. Monetary union, money demand and money supply: a reviev\/ of the German monetary union European Economic Revievi/ 1993; 37; 803-36.
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