34 Pham HOu H6ng Thai & H6 Th| Lam. Tap chi Phat trien Kinh 16, 27(9), 34-52
Moi quan he gifra chinh sach tin dung va thi tru'O'ng bat dong san
PHAM HUtI HONG T H A I
Trudng Dai hpc Tai chinh - Marketing - phh.thai(§ufin.edu.vn HO THI LAM
Trudng Dai hpc Tai chinh - Marketing - Iamhothi(@gmail.com
Ngdy nhdn:
07/07/2016 Ngdy nhgn lgi:
28/09/2016 Ngdy duyet ddng:
29/09/2016 Ma so:
0716-G19-V01
Tit- khoa:
Chinh sach tin dung;
Panel VAR; Thj trudng bat dong san; tin dung;
bat dpng san.
Keywords:
Credit policy; Panel VAR; Real estate market.
Real estate credit.
Tdm tat
Trong nhung thap ki qua, nhieu nghien cuu tren the gidi duoc thuc hien nham chiing minh chinh sach TD (CSTD) cd tuang quan chat che vdi thi trudng bit dpng san (TTBDS) d ca cac nln kinh tl phat triln va dang phat trien. De kiem chiing mdi quan he nay tai thi tmdng VN, nghien ciiu su dung md hinh Panel VAR, dac biet tap tmng vao ham phan ung xung true giao (OIRF) vdi du' lieu trong giai doan 2009- 2015. Cac ket qua chinh cua nghien cuu cho thiy tdn tai mdi quan he da chilu giua tin dung ngan hang (TDNH) dai dien cho CSTD, TTBDS va hoat ddng nln kinh tl. Trong do, mdi quan he giua CSTD va TTBDS la mdi quan he cimg cd lln nhau, khi cd mot su biln ddng tren thj trudng nay se din din biln ddng tren thj trudng cdn lai theo hudng tuang tu.
Abstract
A close correlation, revealed by the studies of Hutchison and McDill (1999) and Hilbers et al. (2001), exists between credit policy and real estate market in developed and developing economies during past decades. In terms ofthe Vietnam's market, to examine this relation this study employs panel VAR model for the 2009-2015 dataset with a particular focus on orthogonal impulse response function (OIRF).
The results demonstrate existence of multidimensional relations among bank credit, a proxy for credit policy, real estate market, and economic operations. Additionally, the linkage between credit policy and real estate market is found to be a supportive one, in which an increase in this market can make the other change in the same way.
Pham HOu H6ng Thai & Ha Thi Lam. Tap chi Phat tri6n Kinh 16, 27(9), 34-52 35
1. Giffi thieu
Trong nhirng thap ki gan day, hau het cac nudc cdng nghiep va nudc dang phat trien deu trai qua cac giai doan biing nd va sup dd thi trudng tin dyng (TTTD). Nhirng chu ki tin dung (CKTD) nay thudng triing vdi cac chu ki hoat ddng ciia nen kinh te va gia tai san (thudng la bat ddng san - BDS) (Goodhart & Hofmann, 2004). Sy tai phat cua chu ki biing nd va syp dd trong TTBDS va TTTD, tiep theo la suy yeu trong ITnh vyc tai chinh va ap lyc giam phat gia hang hda dan den sy quan tam ciia ca gidi hgc thuat va cac nha hoach dinh chinh sach trong nghien cii'u mdi lien he giiia gia BDS va tin dung (TD), hay mdi quan he giira TTBDS va CSTD trong nen kinh te.
Tren the gidi da cd nhieu nghien ciru tim hieu, xem xet den mdi quan he giiia TTBDS va CSTD. Nhin chung, phan Idn cac nghien ciiu deu gap phai mgt sd van de: Khdng the phan biet dugc hudng cua quan he nhan qua giira TD va gia BDS (Lotfi, 2014), hoac dudng nhu tap trung hem vao tac ddng cua TTBDS den TD ma it quan tam chieu ngugc lai (Goodhart, 1995; Hofmann, 2004). O VN cflng da cd mdt sd nghien ciiu tuong ty nhung chi tap trung danh gia thyc trang va phan tich chu quan ma chua di sau phan tich bang chiing thyc nghiem ciia mdi lien ket nay (Doan Thanh Ha & Le Thanh Ngoc, 2013).
Ngudn vdn chu yeu cho phat trien TTBDS VN la tii' TDNH, va nhu'ng CSTD gan day (vi du: gdi TD 30.000 ti, hoac giam he sd rui ro ddi vdi kinh doanh BDS xudng 150% di kem vdi tang ti le vdn ngan han cho vay trung dai han tii' 30% den 60% tai Thdng tu 36/2014/TT-NHNN...) la nhiing ddng lyc nhat dinh de TTBDS phuc hdi sau giai doan ddng bang trudc dd, vi vay, hudng tac ddng cd ve theo chieu tii' CSTD den TTBDS hon la ngugc lai. Them vao dd la nhiing lo lang gan day ciia cac nha dau tu' cung nhu gidi nghien ciiu chinh sach ve cac tac ddng cua viec Ngan hang Nha nudc (NHNN) ban hanh Thdng tu 06/2016/TT-NHNN ddi vdi sy phat trien cua thi trudng nay chua dugc nghien ciru mgt each cy the va khoa hgc ma chu yeu dya tren nhiing phan tich chu quan. Trong nghien ciiu nay, tac gia kiem tra mdi quan he nhan qua giua TDNH va gia BDS tai VN bang each sii dung md hinh Panel VAR, dac biet tap trung vao ham phan irng xung tryc giao (OIRF). NhQ'ng bien ddng cd tinh chu ki tren TTBDS va TDNH d nudc ta trong thdi gian vira qua (trai qua thdi ki ddng bang trong giai doan 2009-2013 va giai doan phyc hdi 2014-2015) cung cap mdt trudng hgp nghien ciiu hiru ich cho mdi quan he giiia CSTD, TTBDS va hoat ddng kinh te. Ket qua cua nghien ciru se cung cSp ca sd tin cay cho cac nha hoach dinh chinh sach nham cd nhiing giai phap thich hgp khi dieu tiet
35 Pham Hifu H6ng Th4i & H6 Thj Lam. Tap chi Phat tri6n Kinh 16, 27(9), 34-52
CSTD ddi vdi TTBDS, day cung se la nhung thdng tin hun ich ddi vdi cac nha dau tir tren thi trudng trudc nhiing ddng thai cua NHNN.
2. Cff SO' Ii thuygt va khung phan tich
CSTD dugc dieu hanh thdng qua dieu chinh TDNH trong nln kinh te. Theo li thuylt giam phat ng cua Fisher (1933), mdi quan he gifl'a TDNH va gia BDS dugc thiic diy bdi nhflng vdng xoay 6c trong giam phat tai My va cac nudc khac trong thdi ki dai suy thoai 1929-1932. Fisher (1933) phat trien mdt chuoi cac moi lien he giu'a gia tai san, gia ca hang hda, hoat dgng kinh ti va cac ITnh vyc tai chinh, trong dd cd the khdi ddng mot vdng xoay giam phat khi mgt cu sdc tieu cyc xay ra. Trudc lan sdng lac quan va ty tin, din den dau tu qua mu'c, ng qua mii'c va gia tai san tang cao, bang can ddi ke toan ciia cdng ty, hd gia dinh chiu tac dgng Idn tfl' gia tai san va bien ddng lai suat. Do dd, khi co mdt sy sut giam dot nggt long tin da keo theo mong mudn giam ng, tiep theo la thanh li tai san, dan den giam gia tai san va lai suat thyc tang cao. Ket qua la giam gia tri tai san rdng cua ngudi di vay gay nen mgt lan sdng pha san, thu hep cho vay ngan hang va giam san lugng (GDP). Nhung van de nay lai tiep tyc tao nen mdt lan sdng suy yeu niem tin, thi tru'dng tiep tuc cd nhung phan ung thai qua hon, cang lam giam gia tai san them nu'a, gia tieu dung cflng tiep tuc giam, dan den giam tiSp gia tri tai san rdng cua khach hang vay, do dd giam phat dan theo dudng xoan dc. Qua trinh nay dugc gia tang bdi anh hudng tieu cyc len bang can ddi cua cac td chu'c tai chinh do gia trj tai san giam va ti le ng xau gia tang, cang lam cho to chii'c TD thu hep cho vay (du ty giac hay bi bat huge bdi cac nha dieu hanh), va ca nhan ngudi di vay cflng mong mudn giam ng, thanh li tai san de bat dau lai mdt chu trinh phat trien mdi.
Bit nguon tu li thuySt giam phat ng ciia Fisher (1933), nhu'ng nghien ciiu tiep theo tiep tuc phat trien eac li thuylt mdi nham tim hiiu mdi lien he giu'a gia tai san, he thong tai chinh va nhn kinh t l Trong dd, moi lien he gifla TD va gia BDS (hay CSTD va TTBDS) cd the bat ngudn thdng qua hieu ung tai san nha d va hieu ung tai san th6 chap tren cung va cau TD, va thdng qua anh hud'ng cua bien ddng nguon cung TD den gia BDS.
Tac dgng cua gia BDS den TDNH
Gia BDS CO thg anh hudng den TDNH thdng qua cac hieu iing tai san khac nhau.
Dieu nay ehu yeu lien quan din vat trd cua thdng tin bk can xii'ng trong TTTD lam phat
Pham HOu Hdng Thai & H6 Thi Lam. Tap chi Phat triSn Kinh 16, 27(9), 34-52 37
sinh nii ro dao diic hoac cac van de lya chgn ddi nghich (Bemanke & Gertler, 1989;
Kiyotaki & Moore, 1997; Bemanke & Gertler,1999).
Nhung tac ddng ciia gia BDS den TDNTI dlu tien dugc giai thich qua hieu iing tai san nha d. Gia tai san nha d cd the cd mdt tac ddng tryc tiep den nhu cau TD. Gia tai san anh hudng den nhan thiic tai san sudt ddi ciia ngudi tieu dimg, ldi keo hg thay ddi ke hoach chi tieu va vay mugn de dieu hda tieu dung trong vdng ddi. Do do, mgt sy thay ddi trong gia tai san cd the gay ra mdt sy thay ddi trong nhu cau TD theo cung mdt hudng.
Hieu ling tai san the chap ciia gia nha bat ngudn tir thyc te la tai san nha d thudng dugc su dung nhu tai san the chap cho cac khoan vay, do dd, gia BDS la mdt yeu td qu\ et djnh quan trgng ciia nang lyc \ ay vdn ciia khu vyc tu nhan. Nhu mgt he qua, gia nha cao hem khdng chi khien chu nha chi tieu va vay mucm nhieu hon theo md hinh vdng dcri tieu diing ma cdn lam tang nang lyc vay vdn cua hg (Goodhart & Hofinann, 2008).
Ngoai ra, gia nha tang lam tang gia tri cua nha a lien quan den chi phi xay dyng (ti sd Tobin's Q cho dau tu nha d). Viec xay dyng nha d mdi cd Igi nhuan khi gia nha tang cao hon chi phi xay dyng. Do do, dau tu nha d la mgt ham duong ciia gia nha. Hem niia, gia tri cua tai san va dat dugc the chap cung anh hudng den kha nang vay ng va tai trg cho dau tu kinh doanh cua cac doanh nghiep, dieu nay tao ra mdt lien ket duong giiia gia nha va dau tu kinh doanh (Goodhart & Hofmann, 2008).
Cac hieu ung tai san va tai san the chap cua gia nha den tieu dung va dau tu ham y dieu chinh trong cung va cau TD, do dd cd kha nang dan den mdi quan he nhan qua giua gia nha va TD. Gia nha anh hudng den cau TD thdng qua hieu iing tai san den tieu dung va hieu iing Tobin's Q ve dau tu, trong khi hieu iing tai san the chap cung cd tac dgng den ngudn cung TD. Cac hieu iing cung TD cd the phat sinh thdng qua anh hudng ciia gia nha den bang can ddi tai san ciia cac ngan hang (Keynes, 1931). Gia tai san anh hudng den gia tri vdn cua ngan hang tryc tiep thdng qua sy giau cd tai san BDS ciia ngan hang, va gian tiep thdng qua tac dgng den gia tri ciia cac khoan vay cd bao dam bang BDS. Chen (2001) phat trien mdt md hinh can bang tdng the, trong do gia tri rdng cua ca nguoi vay ng va ngan hang deu anh hudng den ngudn cung TD: Gia tri rdng cua ngudi
\'a\' hoat dgng nhu mdt ca che khuyen khich va tai san the chap cho cac ngan hang; cdn ngudn \'dn ngan hang nhu la mgt ca che khuyen khich va nhu tai san the chap cho cac nha cung cap vdn \a\' cua ngan hang. Vi vay, su san cd cua vdn \'ay tai cac ngan hang phu thugc \'ao gia trj vdn hda cua hg. Vi khoan \'a\' dugc dam bao thucmg bang BDS,
38 Pham Hiru Hong Thai & Hfl Thi Lam. Tap chi Phdt trien Kinh 16, 27(9), 34-52
chii' khdng phai bang von co phan (Borio, 1996), va vi BDS chiem mdt ti le ldn han dang kg so vdi von co phkn trong tai san cua khu vyc tu nhan (OECD, 2000), do do cd the ki vgng rang gia BDS cd anh hudng ldn hon tdi bang can ddi tai san ciia cac hd gia dinh, cac cdng ty va cac ngan hang so vdi gia cd phidu.
Tac dgng cua TDNH dSn TTBDS
Kindleberger (1978) va Minsky (1982) lap luan ring TD cung cd the anh hudng din viec dinh gia tai san, do do ma cung cd lan nhau d chu ki bung nd - sup dd trong TTTD va tai san.
Mdt sy thay ddi ngoai sinh trong ngudn cung TD, vi du dugc thiic day bdi ty do hoa tai chinh, hay tac ddng cua CSTD cua chinh phu, cd the lan lugt anh hudng den gia nha.
Khi do, gia BDS cd the dugc xem nhu la gia tai san, dugc xac dinh bdi viec chigt khau cac ddng tien trong tuong lai cua suat sinh lgi BDS. Tang cung TD lam giam lai suat cho vay va kich thich boat ddng kinh tg dugc ki vgng d hien tai cung nhu trong tuong lai. Kgt qua la, gia BDS cd the tang do suat sinh lgi ki vgng tren BDS cao hon cung nhu ti le chiet khau thap hon. Tuy nhign, gia BDS cd the khdng tuan theo cdng thirc djnh gia tai san nhu phuong phap thdng thudng ma don gian cd the chi la sy gia tang tinh sin co cua TD lam tang nhu cau ve nha d d cac hg gia dinh bi han chg vay mugn. Vdi ngudn cung cap tam thdi cd dinh vi thdi gian can thigt dg xay dyng cac don vi nha d mdi, miic tang trong ciu nha d nay se dugc phan anh trong gia BDS cao hon (Goodhart &
Hofmann, 2008).
Sy trflng hgp cua chu ki phat trien trong TDNH va gia BDS da dugc ghi nhan va thao luan rdng rai trong cac tai lieu dinh hudng chinh sach (BIS, 2001; IMF, 2000). Ben canh dd, cflng cd kha nhieu nghien eun thyc nghiem dugc thyc hien xoay quanh chu dg nay, tuy nhign, hau hgt cac nghign ciiu chi giai thich moi quan he mgt chieu. Collyns va Senhadji (2002) thay rang tang trudng TD cd anh hudng dang ke dong thdi dgn gia nha d tai mdt sd ngn kinh tg chau A. Hofmann (2004) phan tich vai trd cua gia BDS trong viec giai thich ti'nh nang dgng cua TD d cac nudc edng nghiep tu' nam 1980 da chiing minh gia BDS la mdt ygu to quygt dinh quan trgng cua sy phat trien xu hudng dai han trong TD d giai doan nay va tang gia BDS cd tac ddng duong eao dang kg dgn tinh nang dgng ciia TD.
Mdt sd nghign cdn digu tra dac tinh hai chigu trong moi quan he gifl'a TD va TTBDS.
Hofmann (2003); Goodhart va cgng sy (2006); Goodhart va Hofmann (2004) phan tich mdi quan he gifl'a TDNH va gia BDS dya trgn khung phan tich thyc nghiem da bign va
Pham HOu Hdng Thai & H6 Thi Lam. Tap chi Phat trien Kinh te, 27(9), 34-52 39
tim thay tren thyc te mdi quan he nhan qua cd ve di theo ca hai hudng, nhung anh hudng cua gia BDS dgn TD dudng nhu ldn hon anh hudng cua TD den gia BDS. Gerlach va Peng (2005) digu tra moi quan he dai han giua TDNH va gia BDS tai Hdng Kdng va thay rang sy tuong quan manh me giua gia BDS va TDNH dudng nhu la do gia BDS anh hudng dgn TDNH hon la ngugc lai.
Tai VN, mdt sd nghien cuu cung da tap trung tim higu mdi quan he giua CSTD va TTBDS trong nudc, vi du Doan Thanh Ha va Lg Thanh Ngge (2013) cho rang trong dai han viec gia tang TDNH cd thg lam giam gia BDS do tang cung, tuy nhign trong ngan han bang viec tac dgng lgn cau TD, tang trudng TDNH se keo theo tang trudng TTBDS, dgn lugt nd, gia BDS tang thuc day cau TD tang. Tuy nhign, cac nghign ciru chi dimg lai d phan tich va danh gia thyc trang ma chua danh gia do Idn va chigu hudng tac ddng cu thg cua chung.
3. Phirffng phap nghien cmi
3.1. Da lieu
Phan tich dya trgn dii lieu theo quy trong giai doan 2009-2015. De dai dien cho CSTD, tac gia sur dyng bien TD bat ddng san (TD BDS). Du lieu TD BDS dugc thu thap tir bao cao tai chinh va thuygt minh bao cao tai chinh eua cac ngan hang thucmg mai (NHTM) tucmg iing. Tac gia dua vao mau 18 NHTM', trong dd gdm cd: 3 NHTM cd phan nha nudc '^'a 15 NHTM cd phan vira va nhd. Tuy nhign, mgt sd ngan hang chi cdng bd sd lieu hang quy, sd khac cdng bd theo nam hoac dinh ki 6 thang. Dg dam bao tinh thdng nhat vg tan suat du lieu, cflng nhu dam bao sd quan sat cho nghign ciin, theo Hofinann (2004) va Goodhart va cgng sy (2006), tac gia thyc hien ndi suy tuyen tinh dtr lieu nam hoac 6 thang thanh du lieu quy trudc khi dua vao md hinh.
Chi sd gia BDS d VN dai dien cho boat dgng cua TTBDS la chi sd gia nha d dugc tinh toan va thdng ke bdi Tap doan BDS qudc tg Savills. Chi sd nay dugc Savills xay dung dya trgn mdt mau gdm hon 200 dy an nha d trgn thi trudng so cap va thir cap tai TP.HCM va hon 160 dy an trgn thi trudng so cap va thii cap tai Ha Ndi. Trong viec tfnh toan chi sd, Savills sir dyng rd dy an nhat quan va dugc cap nhat. Phuang phap nay cho phep rd dy an cd dinh dugc duy tri nham so sanh gia ca giu'a cac quy; tuy nhien, dy an mdi van dugc cap nhat vao rd dg dam bao phan anh kip thdi cac chuyen ddng cua thi trudng. Ngoai ra. Savills ap dung ti sd thanh khoan de cd thg dieu chinh giu'a gia chao ban thyc tg va gia giao dich udc tinh cua thj trudng. Ti sd thanh khoan kha nhay cam vdi
40 Pham Hitu H6ng Thii & Hd Thj Lam. Tap chi Ph4t tri6n Kinh t6,27(9), 34-52
cac bign ddng cua thi trudng va do dd ty than ti sd nay cd thi dugc sir dung nhu mot cdng cy danh gia thj trudng kha hfln hieu. Tac gia sir dyng chi sd gia nha d trung binh dg dai dien cho TTBDS VN, trong do, dfl' lieu dugc cung eip bdi Savills.
Ngoai ra, dya theo ket qua nghign ciin ciia Goodhart va Hofmann (2008), lacoviello va Minetti (2008), nghien eun su' dung cac bien vi md bao gdm ti le lam phat (dai dien cho cac ygu to danh nghTa trong nln kinh tl), GDP thyc (dai dien cho hoat dgng kinh te tdng hgp thyc) va lai suit cho vay thyc trgn thi trudng tiln te (dai dien cho chi phi tai chinh tdng hgp) dl kilm soat nhim nhan dien chinh xac mdi quan he gifl'a CSTD va TTBDS trong nudc. Cac du lieu vT md dugc thu thap tir IFS (IMF) va Datastream.
Cac biln trong md hinh gdm: TD BDS thyc (hc), GDP thyc (y), gia BDS thuc (hp), lai suit cho vay ngin han thyc (r) va ti le lam phat hang nam theo quy (inf). TD BDS danh nghTa, gia BDS dugc chuyin doi sang chudi thyc bing each chia cho chi sd gia tieu dung (CPI). Lai suit cho vay ngin han thyc dugc do bang lai suat cho vay danh nghTa ngin han trir di ti le lam phat hang quy. Ngoai tru lai suit va ti le lam phat, tat ca cac chudi du lieu dugc hieu chinh mua vy sii' dung thu tuc Census X-12, sau dd, dugc chuyen sang Logarit ty nhign dl cd chuoi du lieu on dinh hon. Bien lai suat va lam phat dugc giu d dan vi %.
Bang 1 Thdng ke md ta
Bien y inf hc hp r
Sd quan sat 504 504 412 504 504
Trung binh 29,391
7,949 10,750 -0,263 3,450
Dp lech chuan 0,173 5,858 1,452 0,223 3,499
Gia tri nhd nhSt 29,110
0,498 4,259 -0,490 -5,991
Gia trj ldn nhat 29,665 22,534 13,513 0,121 7.768 Thdng kg md ta cae bign duge trinh bay d Bang 1. Trong giai doan nghien ciiu, hau het cac bign dgu cd trung binh duong, ngoai tru' chi sd gia nha. Lam phat biln ddng manh nhat, thi hien d do leeh chuin cao nhit (5,858), trong khi gia nha dugc xem la kha on dinh trong cac biln vdi do lech chuan rat nhd (0,223).
Pham Huu Hong Thai & H5 Thi Lam. Tap chi Phat tri6n Kinh te, 27(9), 34-52
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Hinh 1. TD BDS giai doan 2009-2015
Hinh 1 cho thay xu hudng chung tai cac NHTM sau giai doan tang tru'dng dgn trudc nam 2010, cac ngan hang than trgng hon trong viee cho vay BDS cua giai doan 2011- 2013, tuy nhign nhiing nam gan day, hoat ddng cho vay BDS tai cac NHTM Iai tang trudng nhanh trd lai. Bien ddng chi sd gia BDS (Hinh 2) cflng cd chieu hudng tang trudng tucmg ty, the hien d tang nhanh trong giai doan trudc 2011, sau dd suy giam va bat dau tang trudng trd lai tir giua nam 2013.
42 Pham Hiru H6ng Thai & H6 Thi Lam. Tap chi Phat trian Kinh ik, 27(9), 34-52
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Hinh 2. Chi sd gia BDS giai doan 2009-2015
TTBDS bung nd vao giai doan 2007-2010, bong bdng BDS xuat hien khi TD tang chdng mat lgn mu'c 40-50% nham dap u'ng nhu cau vdn cua nen kinh te, trong do phan ldn dd vao ITnh 'vyc dia dc. Didu nay duge cho la mgt trong nhu'ng tac nhan gay ra lam phat cao, bit dn kinh tg.
Tir nam 2011, Chinh phu da cd nhung giai phap quylt liet, trong do cd viec thit chat TD do vao BDS, va sau dd la nhung giai phap thao gd khd khan, phyc hdi thj trucmg thoat khdi trang thai ddng bang hau khung hoang. K I tii' giua nam 2013 din nay, thi trudng dja dc sdi ddng hon, ddng vdn TD chay vao BDS tang cao. Nam 2015, TTBDS phuc hdi nhanh chdng nhd mdt loat eac giai phap, chinh sach ho trg, dac biet la cac CSTD nhu: Trien khai gdi TD 30.000 ti ddng; giam ti le nii ro cac khoan cho vay diu tu, kinh doanh bat ddng san...; tao dilu kien cho cac ngan hang md rdng TD trung, dai h^n. Du ng TD trong ITnh vyc BDS tinh din cudi nam 2015 dat 393.000 ti ddng, tang gan 26% so vdi cudi nam 2014. N I U tinh ca dau tu trai philu doanh nghiep cho ITnh vuc BDS thi tdng du ng la 478.000 ti dong, chilm 10,3% tdng du ng va chilm 22,2% ting du ng trung, dai han.
Pham Hitu H6ng Thai & Ho Thj Lam. Tap chi Phat tri6n Kinh 16, 27(9), 34-52 4 3
3.2. Md hinh nghiin citu
Nghign Cliu ap dyng md hinh Panel VAR di phkn tich mdi quan he ddng thdi giua CSTD va TTBDS. Lin diu tign dugc gidi thieu bdi Holtz-Eakin va cgng sy (1988), md hinh Panel VAR cd ciu tnic tuong ty cae md hinh VAR nhung cd bd sung them ygu td cheo (Cross-Sectional). Viec bd sung thgm cac yeu td cheo vao md hinh hdi quy theo chudi thdi gian cd mdt sd un digm nhat dinh: Thii nhat, eac gia djnh vg tinh du'ng theo thdi gian cd thg dugc ndi ldng, cy thg, sy hien dien cua mdt sd lugng ldn cac ygu td cheo khien cho md hinh cd thg cho phep cac he sd trg thay ddi theo thdi gian; Thir hai, li thuygt phan bd tiem can cho mdt sd lugng ldn cac ygu td cheo khdng ygu cau vector ty hdi quy dg thda man cac digu kien thdng thudng nhu loai trir nghiem don vi (Holtz- Eakin va cdng sy 1988). Chinh vi vay, md hinh Panel VAR da dugc irng dyng trong nhieu ITnh 'vyc nghien eiiu.
Md hinh Panel VAR cd dang nhu sau:
Yu = Al + AiL)Yit + Sit (1) Trong dd:
Yif: Vector cac bien ndi sinh;
E^: Vector sai sd;
Ai: Ma tran hieu iing cd dinh cdng ty;
A(L): Ma tran toan tir tre vdi do tre dugc chgn theo tigu chuan thdng tin Akaike.
Cdng thiic tinh vector cua cac bign ndi sinh la:
Y =\y.inf,hc,hp,r]' (2) LTU diem cua viec sir dyng mgt khung phan tich md hinh dang bang la lam tang dang
kg hieu qua va siic manh cua phan tich. LTdc tinh mdt md hinh VAR nam chigu d cap qudc gia se cd qua it bac ty do, dac biet la vdi thdi gian chua du dai (7 nam).
Theo Goodhart va Hofmann (2004, 2008), tac gia gia djnh rang GDP thyc khdng phan ung ddng thdi vdi nhfl'ng thay ddi ngoai ki vgng cua bat ki bien nao, nhung cd thi tac ddng dgn tat ca cac bign khac trong cflng mdt quy. Tigp theo, tac gia gia dinh lai suit thi trudng tign te kha linh hoat, do dd cd thg phan irng ddng thdi trong cung mdt quy vdi nhung thay ddi ngoai ki vgng trong hoat ddng kinh te, gia BDS va TD. Trat ty bign cflng phan anh gia dinh rang sy thay ddi lai suat truyen dan dgn nen kinh tg vdi mgt do tre nhat dinh.^
44 Pham Him H6ng Thai & H6 Thi Lam. Tap chi Phat triSn Kinh t6, 27(9). 34-52
Tac gia tap trung vao cac ham phan ung xung tryc giao. Bang viec tnrc giao hda phan irng cua cac biln, tac gia cd thi nhan dien tac ddng cua mdt cii sdc tai mgt thdi diem trong khi giu cac cu soc khac khong ddi. D I phan tich cac ham phan img xung, cin uac lugng khoang tin cay cua chiing bdi vi ma tran cua cac ham phan img xung dugc xay dyng tu cac he sd VAR dugc udc lugng, sai sd chuin cua chiing cung can dugc tinh den.
Tac gia tinh toan sai sd chuin cua cac ham phan iing xung va tao ra khoang tin cay vol cac md phdng Monte Carlo 1.000 vdng lap.
Cudi cung, tac gia trinh bay phan ra phuong sai sai sd dy bao cua TDBDS va gia BDS. Phan ra phuang sai chi ra do ldn cua tac dgng tdng hgp. Tac gia bao cao tac dong tdng hgp tich luy trong 10 ki, nhirng khoang thdi gian khac cho kgt qua tuong duang.
4. Ket qua va thao luan
4.1. Kit qua nghiin cieu
Md hinh Panel VAR nhu dugc migu ta d phan trgn dugc udc lugng vdi do tre 1 va dugc lya chgn dya trgn tieu chuan AIC bang GMM. Kgt qua phan tich ham phan iing xung va phan ra phucmg sai sai sd dy bao dugc trinh bay d Hinh 3 va Hinh 4 tuong img'.
Impulse-responses for 1 lag panel MAR
Errors are 5% on each side generated by Monte-Carlo with 1000 reps Hinh 3. Phan irng xung vdi cac cu soc tryc giao
Pham Huu H6ng Thai & H6 Thi Lam. Tap chi Phat triSn Kinh te, 27(9), 34-52 45
Hinh 4. Phan ra phuang sai sai sd du bao 4.2. Thdo lugn kit qud nghien cim
Dd thi cua cac ham phan iing xung va dai rgng sai sd 5% dugc tao ra bdi md phdng Monte Carlo 1.000 vdng lap d Hinh 3 eho thay: Cae tac ddng cua mgt cu soc GDP chu ygu nam bat eu sde tdng cau theo li thuyet Keynes (Keynes, 1936): Lam phat gia tang va lai suat thyc giam''. Ngoai ra, gia nha d va TD BDS cflng phan iing tang len nhanh chdng truac khi di vao dn dinh khoang 2 nam sau khi cu sdc xay ra. Phat hien nay dugc ciing cd bdi Goodhart va cgng sy (2006), Gerlach va Peng (2005), Goodhart (2008), va Hofrnann (2004). GDP tang la dau hieu hoat ddng tdt hon trong ngn kinh tg thyc, thu nhap thyc tang lgn va sy gia tang ddng thdi trong tdng cau.
Trong khi nha dat dugc xem la tai san cd gia tri kha dn dinh, dau tu vao nha dat trd thanh kgnh dau tu kha hap dan. Khdng chi thu hut ddng vdn ndi ma ddng vdn ngoai cflng chay manh vao ITnh 'vye hay. Do do, tac dgng lam gia ea tang lgn va TTBDS hoat dgng sdi dgng hon. Tdng cau tang, TTBDS tang trudng khign cho siic hap thy cua ngn kinh tl tdt hon, tir dd nhu cau vdn cho dau tu cao hon, la co sd de tac dgng tang TDNH ndi chung va TDBDS ndi rieng. Thyc tg cung cho thay, trong giai doan 2011-2013, thdi ki hau khiing hoang, nen kinh te dinh tre, tang trudng GDP luon thap han 6% va ngay cang di xudng, tdng cau va siic mua trong nen kinh te giam sut, TTBDS tram ling va tang trudng TD tri tre. Tir 2014, nhflng chinh sach kinh te mdi dugc ap dung, GDP tang trd lai, nam 2015 d miic 6,68% (An Ngge, 2015), la mire tang cao nhat trong 5 nam trd lai day. San lugng cua ngn kinh te gia tang, thu nhap dugc cai thien la dieu kien dl kich thich nhu cau ddi vdi TTBDS, cung vdi nhieu chinh sach cd lgi, TTBDS nam 2015 tilp tyc phuc hdi tich cyc.
46 Pham Htm H6ng Thai & Hi Thj Lam. Tap chi Phat tri^n Kinh 16.27(9), 34-52
Mdt Cli SOC lam phat dudng nhu chii ylu nim bit cac rdi loan ve phia cung: GDP thyc giam, lai suit thyc tang nhung d miic am, gia nha tang d miic am va TD thyc tang trong vdng 1 quy dau, sau dd, trd vl trang thai on djnh tu' quy thu' 2. Lign quan dgn chiic nang kep cua BDS nhu hang hda tigu dung va phuong tien diu tu, BDS thudng dugc cac ho gia dinh sir dyng nhu hang rao chinh chong lai nguy co lam phat cd thg lam xdi mdn tai san cua hg. Thyc tl la vice mua BDS thudng dugc tai trg bing cac khoan ng danh nghTa lam cho nd hip dan hon trong khia canh nay. Vi vay, lam phat cang cao cang khign BDS hip din han va do do gay dp lyc tang gia. Tuy nhign, xem xet tac ddng ciia lam phat vac chi phi tai trg thi chip, thudng cho ring lam phat cao hon se khien gia nha thyc am.
Lam phat va lai suit danh nghTa cao tac ddng din cac khoan thanh toan vay the chap va tang gia trj thyc cua cac khoan thanh toan nay trong nhung nam dau cua thdi han tra ng, do dd lam giam nhu ciu ve nha d. Do vay, cd the thiy mdt cii sdc lam phat lam gia nha thyc giam (thi hien trong phan ung d mu'c am), tuy nhien nhung tac ddng nay giam dan theo thdi gian bdi nhan thu'c cua hd gia dinh vl vai trd phdng ngii'a rui ro lam phat ciia BDS nha d tang len, keo gia BDS tang trd lai ve vi tri can bang.
Cac phan u:ng vdi mdt cu sdc lai suat thyc phfl hgp vdi ki vgng li thuyet va thyc te, tang lai suat thyc dan den mdt sy suy giam dang ke trong TDNH va gia BDS, phfl hgp vdi nhirng phat hien tfl' cac nghign ciin trudc day nhu: Hancock va Wilcox (1997), Hofmann (2003), Goodhart va Hofmann (2004)... Mdt mdi trudng lai suat giam, giu' cho chi phi cua bat ki khoan vay ng thg chap ldn hon nam trong gidi han ngan sach gia dinh bi rang huge bdi thu nhap hien tai, thudng lam tang nhu cau vl BDS nha d va day gia BDS nha d tang lgn. Tuong ty, lai suit tang cao khiln cho viec tilp can TDNH ciia cac ca nhan va chii dau tu khd khan hon, do tang chi phi tai chinh cho nha d, dilu nay tao ap lyc giam TDBDS. Mdi quan he ngugc chilu giua lai suit va TD cung nhu gia BDS dugc hd trg trong thyc te. Xet rigng trong nam 2015, khi lai suit dugc dieu chinh giam, trung binh khoang 3%/nam, BDS trd thanh kenh dau tu co Igi suit cao, do dd gia BDS tang 5%)-6%o so vdi nam 2014, eung vdi dd la sd lugng giao dich cung tang vgt (Ha Ndi tang 70%, TP.HCM tang 220% lin), TDNH ndi chung va TD BDS ndi rieng cung dugc thuc diy tang manh trong giai doan nay (17,5% ddi vdi TDNH va TD BDS tang manh gin 20% dat hon 374.000 ti dong).
Cudi cung, phan tich moi quan he tryc giao gifla CSTD va TTBDS cho thiy sy gia tang gia BDS dan dgn mdt sy gia tang dang kl trong TDBDS ciia ngan hang va sy gia tang trong ngudn cung TDBDS cua ngan hang lin lugt din din mdt sy gia tang dang kl trong gia BDS. Nhung phat hien nay da chung minh quan he nhan qua hai chilu duang
Pham Huu H6ng Thai & H6 Thj Lam. Tap chi Phat tri6n Kinh 16, 27(9), 34-52 47
dang kl giua gia BDS va TD BDS trong nln kinh tl, hay giua CSTD va TTBDS. Kgt qua nay phu hgp vdi nhiing phat hien dugc tim thay bdi Goodhart va cdng sy (2006), Gerlach va Peng (2005), va Goodhart (2008).
Mdi quan he cung cd lan nhau giua TD va TTBDS cung dugc hd trg trong thyc tg.
Sau bong bdng BDS vao giai doan 2007-2008, do tac ddng cua khung hoang kinh te thg gidi, TT BDS gap khd khan vg thanh khoan, nha dau co rut khdi thi trudng, khign cho ngan hang cung cac doanh nghiep lao dao, diing tren bd 'vye pha san. Trude ap lyc dd, Ngan hang nha nudc da phai ap dung CSTT that chat, NHTM kigm soat chat TD BDS.
Giai doan 2009-2013, hang tdn kho tang cao va mgt lan nua thi trudng lai roi vao trang thai ddng bang. Tu 2013, dg thao go khd khan cho thj trudng ndi chung va TTBDS ndi rieng, Chinh phu va cac co quan chu quan da ban hanh nhidu chinh sach ti'ch cyc nhu Nghi quygt sd 02/NQ-CP ngay 07/01/2013, chinh sach giam thug gia trj gia tang va thug thu nhap doanh nghiep ddi vdi mgt sd dy an nha d xa hdi va thuang mai... Sau khi cac giai phap trgn dugc trien khai, NHTM cflng da ha lai suat huy ddng va cdi md hon trong viec cho vay mua nha d, TD BDS tang len, tinh hinh TTBDS da cd nhflng chuygn bign tich cyc. Co cau ngudn cung hang hda bat dau cd sy digu chinh phii hgp hon vdi nhu cau cua thj trudng; tam li nha dau tu, ngudi mua tren thi trudng budc dau dugc giai tda, nigm tin vao thi trudng dan dugc hdi phyc.
Tigp theo. tac gia xem xet kgt qua phan ra phuong sai sai sd dy bao TDBDS va gia BDS d Hinh 5 dg dy bao nhiing thay ddi cua cac bign nay tir ddng gdp cua cac bign khac trong md hinh. GDP la bign co ddng gdp quan trgng nhat trong bign dgng gia BDS. Bgn canh giai thich bdi bign dgng GDP, phuong sai sai sd dy bao cua gia nha cdn dugc giai thich bdi nhiing bign dgng trong TD BDS. Mac du ti le ddng gdp giai thich tuong doi nhd, tuy nhign, ngay cang tang lgn theo thdi gian. Trong ki dau tien, TD BDS chi giai thich 0,03%o phuong sai sai sd dy bao cua gia nha, nhung sau dd tang len nhanh chdng tdi 19,97%) sau 10 quy. Digu nay la phu hgp vdi thyc tg, do tinh chat dai ban cua khoan dau tu eho nha d, thudng la 3-5 nam va hon nua, chi'nh vi vay, cung cap TD BDS vao nen kinh tg thudng chua cd tac ddng ngay dgn gia nha, song vg dai ban, khi cdng trinh hoan thanh va cd gia tri sii dung, chung ddng gdp dang kg vao bign dgng gia nha. Phat hien nay hd trg ve nhflng tac ddng tich cyc cua CSTD ma Chinh phu dang thyc hien din viec pha va tinh trang ddng bang cua TTBDS va khdi phyc sy phat trien thj trudng nay trong thdi gian vira qua.
48 Pham Httu H6ng Thai & Ha Thi Lam. Tap chi Phat trien Kinh 16, 27(9), 34-52
Phan ra phuang sai sai s6 dy bao cua TD BDS thyc cho thiy, vai trd giai thich dang kl nhit trong tang trudng TD la GDP. Tilp theo dd la lam phat, lai suat va gia BDS.
Nhu vay, nhung dilu kien vT md trong nln kinh tl la nhan td quan trgng dg kich thich thuc diy sy phat triln cua TTBDS, cflng vdi dd la kich thich tang trudng TD doi ydi thi trudng nay. Din lugt nd, TDBDS tac ddng ngu'gc trd lai hoat ddng nln kinh tl. Dilu nay ung hg cho mdi quan he cung cung cd gifla cac bign vT md, TTBDS va CSTD.
5. Ket luan kem theo goi y chinh sach va Icien nghi giai phap 5.7. Kit lugn
Qua nghien ciiu mdi quan he giua CSTD va TTBDS, tac gia da phat hien va chi ra gia BDS la mgt ddng lyc quan trgng ddi vdi TDNH (dac biet la TD BDS) va ngugc lai, TD BDS la nhan td ddng gdp tich cue (tac ddng duong) dgn biln dgng gia ca tren TTBDS. Nghign eun cung cho thiy mii'c do truyen ddng dang kl tir CSTD dgn TTBDS, cu thi la cac CSTD cua Chinh phu trong thdi gian vua qua da tao ra nhfl'ng chuyin bien tich cyc din sy phat triln ciia TTBDS. Ddng thdi, phan iing am cua gia BDS va TDBDS vdi lai suat thyc dugc hd trg trong nghign eun nay.
Gaiy chinh sdch vd kiin nghi gidi phdp
Nhung phat hien nay ham y rang eac chu ki bflng nd - syp dd trong TTBDS cflng co thg lan truyen sang TTTD, cd thg gay ra sy mat can bang tai chinh nang ng va anh hudng nghigm trgng dgn he thdng ngan hang, sy dn djnh kinh tg vT md; cung nhu nhiing chu ki tang tru'dng hay suy thoai tren TTTD cd thg gay ra bong bdng hay ddng bang gia BDS.
Digu nay ddi hdi can cd cac chinh sach tign te phu hgp nham phan irng chu dgng vai nhiing bign dgng trong TTTD va tai san, ca vi lgi ich cua sy dn djnh tai chinh va dn djnh gia ca dai han.
Bgn canh dd, dg chdng da anh hudng cua cac "cii soc" ben trong va bgn ngoai nen kinh te, cu thg nhu cu s6c lai suat thi cac co quan ehiie nang cd thi can nhic sir dung ddn bay tai chinh vl lai suat ngin han dl cd thi dilu hda hoac tham chi ngan ngira su xuat hien cua chu ki tai chinh bang each doi phd chu ddng vdi nhfl'ng biln ddng gia tai san va TD.
Tir kit qua nghien eun, tac gia dua ra mdt sd ggi y chinh sach nhu sau:
Thienhdt, gaiy vi cdu true ngudn von cho TTBDS VN
Pham HQu H6ng Thai & H6 Thi Lam. Tap chi Phat triSn Kinh 16, 27(9), 34-52 49
C) cac nudc phat triln, ciu tnic ngudn vdn cho TTBDS kha da dang, tir cac djnh chg tai chinh, cae quy diu tu, quy tin thac (REITs), quy tilt kiem, quy hun tri cho den cac ddng vdn dau tu trye tiep va gian tiep tir nudc ngoai... Cdn tai VN, ngudn vdn cho BDS hien nay van chu yeu dya vao 2 ngudn chinh, dd la tir ngan hang va huy dgng tir trong dan. Cho dgn nay, ludng tiln tir he thdng NHTM van la ngudn vdn quan trgng nhat ddi vdi TTBDS VN.
Phat hien tu' nghign ciin cho thay sy phu thugc manh me lan nhau giira TDNH va TTBDS, digu nay cd thg cd nhiing tac dgng tigu cyc nhat dinh: Khi TD tang trudng ndng cd the dan dgn sy phat trign qua ndng trgn TTBDS dan dgn "bong bdng gia nha" va nguge lai. Vi vay, da dang cac ddng vdn dau tu vao TTBDS la viec lam can thigt hien nay thay vi ehi tap trung vao ngudn vdn TD tai cac NHTM, vi dy tu Quy tiet kiem nha d, Quy dau tu BDS, co quan tai cho vay thg chap nha d, tao kenh huy dgng vdn dai han cho TTBDS.
Thu hai, gai y vi diiu hdnh CSTD
Sd lieu tir cac dy an dang trien khai cho thay cd trung binh khoang 7.000 can hd/quy tai Ha Ndi, va 5.000 can hd/quy tai TP.HCM se dugc bd sung vao ngudn cung so cap.
Ngu tigp tyc duy tri dugc ti le hap thu cao nhu nira cudi nam 2015 (khoang 40% d Ha Ndi va 20%) tai TP.HCM), TTBDS cd thg tuang ddi can bang vg quan he cung - cau trong nam 2016 (VEPR, 2016).
Tuy nhign, sy bgn 'viing cua TTBDS cd thg bj anh hudng neu CSTD khdng dugc djnh hudng dung. Do nhirng dac thfl ve tai san bao dam va kha nang cho vay theo mdn ldn mgt each thuan lgi, cac NHTM thudng cd xu hudng un tign phat trign TDBDS hon cho vay san xuat kinh doanh thdng thudng. Do dd, tac gia khuyen nghj co quan dieu hanh can cd bien phap kigm soat chat che TDBDS va djnh hudng ddng vdn vao khu vyc tao ra tign bd vg nang suat cao hon cho nen kinh teB
Chu thich
' Tinh iin 31 /12/2015, Viet Nam cd tdng cdng 46 ngan hang trong dd cd 35 NHTM trong nude (theo NHNN). Tuy nhien, mot sd ngan hang khdng cdng bd sd lieu TD BDS hoac cdng bd khdng diy du, cac ngan hang nhu vay bj loai bd ra khdi mau nghien ciiu va cdn lai trong miu 18 ngan hang.
^ Kh qua kiem dinh tinh -viing cho thay, khi thay ddi trat tu cac bien, ket qua hau nhu khdng thay ddi.
' Kit qua udc luong md hinh Panel 'VAR khdng dugc tr'mh bay day du do gidi han khudn khd cua bai bao.
5 0 Pham Huu Hong Thai & HJ Thj Lam. Tap chi Phat triSn Kinh t6, 27(9), 34-52
" Li thuySt Keynes cho thiy phan iing cua lam phat va lai suit danh nghTa la theo ciing mdt hudng.
Cd nghTa lam phat phan ung tang thi lai suit danh nghTa phan m g tang. Song, phan ung ciia lai suit thuc va lam phat la trai ngugc nhau do mdi quan he nghjch giiia chiing: r = ir - irif.
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