Nguyen Thj T h u y
Vien Chien luctc va Chinh sach tai chinh, BpTai chinh
Phan tich dinh IKong ve ben viing no cong i Viet Nam
B
en vOng no cong va tai khoa yeu cau chinh phCi phai flam bao tuan thu rang bupc ngan sach theo thdi gian. Oe danh gia ben vOng no cong, nghien cu'u sir dung hai phuong phap: (i) Kiem dmh tinh diing chuoi no cong; (ii) Kiem dinh mdi quan he dong tich hpp ciia Engle - Granger va Johansen giCfa thu - chi ngan sach nha nudc (NSNN) theo ty le GDP cua Viet Nam trong giai doan 1992 - 2018. Ket qua kiem dinh ch! ra rang cd it bang chilng ve tinh ben vQng no edng vangansachcua Viet Nam trong giai doan nay.Tif khoa: Ben vOng no cong, tinh diing, kiem dinh moi quan he dong tich hpp.
Public debt sustainabillty requires the Government to ensure compliance with the ^ present value budget constraint. The paper examines the issue of fiscal sustainabillty for Vietnam for the period of 1992 - 2018. The paper uses both the stationary of public
debt and cointegratlon test on government revenue and expenditure in terms of their ratio to GDP. The results show that there is only little evidence of public debt sustainabillty in Vietnam during this period.
Keywords: Public debt sustainabillty, stationary, colntegration test
'v , , ^ ^^ _ ^^ ^^__^ _ ^^.^
Hgijiiibdn bdi: 01/01/2020
Hgoynhdnpbin bien, ddniigid vasHa cbHa: 15/01/2020 Ugayduyetmng: 17/01/2020
I. Gi6i thieu theo thdi gian. Theo dd, t i n g gia hi quy v i T - .1.* .,...- • ..:. ..' ' hien tai ciia cac khoan tham hut hoac thang Tren the gim da eo nhieu nghien cuu • • , , , . , . . ..
,1, , . . » ; j i . T . , . .. du ngan sach CO ban trong tucmg lai va gia thuc nghiem ve van de no cong va danh gia . T ., , . - - ^ . , - , - n n - , i . . „ • . . ? , . , tti cua khoan no hien tai phai bang 0. Dieu ben vung no ccng. Theo do co ha. phuong ^ . ^ ^,^^ ^^^^.^^.. ^..^ ^ j . ^. ^ g ^ ^^ ^^^
phap danh^gia ben vimg ng cong va tai ^^.^^^^^^^^^^.^^pl^^; j ^ ^ ^ ^ „ j ^ | , l n g khoa chu yiu; (i) Sir dung md hinh hdi quy gia tri hien tai cua khoan no edng ban diiu.
<lmi bien kiim dinh tinh dimg cua chudi no N5i each khac, n i u ngan sach dang tham cong hoac tham hut ngan sach co ban nhu ^^i y j „„ udng la mpt s i duong thi ngan nghien ciru cua Hamilton va Flavin (1986); g^^h tuong lai budc phai thang du.
(ii) Dua tren md hinh hdi quy cap bien, Hamihon va Flavin (1986) la nhirng kiem dinh m i i quan he can bing trong dai ngudi diu tien phan tich ben vinig np ccng han giua thu ngan sach va chi ngan sach va tai khoa dua teen co sd ly thuyet rang theo nghien ciiu ciia Hakkio va Rush budc ngan sach theo thdi gian thdng qua (1591). Ca hai phuong phap nay d i u dua viec kiim dinh tinh dimg ciia chudi no tren co sd ly thuyit v i rang bupc ngan sach cong va tham hm ngan sach cua Hoa Ky
Kinh te tiii chinh Vitt Nam/S6l-Thang 2/2020 3 7
trong giai doan 1960 - 1984. HIU hit cac nghien ciru thuc nghiem tap trung vao mpt so nuoc phat trign nhu Hoa Ky (Hamilton va Flavin, 1986; Trehan va Walsh, 1988;
Kremers,1988; Wilcox, 1989; Hakkio va Rush, 1991; Trehan va Walsh, 1991;
MacDonald, 1992; Tanner va Liu, 1994;
Ahmed va Rogers, 1995; Quintos, 1995;
Bohn, 1998; Martin, 2000), cac nuoc thanh vien Lien minh chau Au - EU (Bravo va Silvestre, 2002; Hatemi-J, 2002; Greiner, Koeller va Semmler, 2004; Afonso, 2005), Canada (Smith va Zm, 1991), cac nuoc G7 (Owoye, 1995; Payne, 1997; Feve va Henin, 1998), Australia (Elliot va Kearney, 1988; Olekalns, 2000), Nhat Ban (Llorca, 2005). Chi CO mpt so it nghien cuu su dung dii lieu cua cac nuoc dang phat trien va cac nuoc chau A. Lau va Baharumshah (2005) danh gia ben virng tai khoa su dung du lieu bang cua 10 nuoc chau A. Nguyen (2018) cho thay chinh sach tai khoa "yeu" o 8 nuoc khu vuc Dong Nam A giai doan 1989 - 2017. Makrydakis, Tzavalis va Balfoussias (1999) chi ra np cong khong ben viing cua Hy Lap frong giai doan 1958 - 1995; Aarle va Kapple (2011) nghien cuu trong giai doan 1990 - 2010. Neaime (2004) dua ra ket luan ve np cong khong ben vung cua Le-ban-non. Chinh sach tai khoa ben vung dupc chi ra 6 Dai Loan (Wu, 1998), Han Qu6c (Chung, 2002), trong khi np cong khong ben viing dupc chung minh doi voi truong hpp cua Pakistan (Cashin va cac cong sir, 2003) va Ro-ma-ni (Radulascu, 2003).
Tai Viet Nam, c6 mpt so nghien cuu lien quan den np cong nhung cac nghien
cthi nay co pham vi rpng, chu yeu de cap din cac v4n d6 ly luan chung, kinh nghiem khung hoang no cong tren the gic^_i> thirc trang no cong 6 Viet Nam, qua do danh gia rui ro d6i vdi np cong Viet Nam hien nay Hien khong co nhiiu nghien cmi djnh luong dua tt-en rang bupc ngan sach theo thoi gian, nham danh gia tinh ben vung np cong cua Viet Nam. Do do, muc tieu cua nghien cuu nay la dira h-en co sd ly thuyet v'e rang bupc ngan sach de danh gia ben virng np cong va tai khoa cua Viet Nam trong hon hai thap ky qua (1992 - 2018).
2. Cd sd ly thuyet rang bupc ngan sach theo thdi gian
Danh gia bin viing np cong la mpt vdn dk dupe nghien cuu rpng tren phuong dien ly thuyit va kiim dinh thirc nghiem. Ben virng np cong, rpng hon la ben viing tai khoa, la viec dam bao can bang thu va chi ngan sach cua Chinh phu (Mendoza va Ovied, 2003). Bit ddu tu nhiing nam 1920, khi viet ve cac van de tai khoa ma Phap phai doi mat, Keynes (1923)^ da chi ra su can thiet cua viec Chinh phii Phap phai thuc thi cac chinh sach tai khoa ben vimg de thoa man cac rang bupc ngan sach. Neu mpt chinh sach tai khoa cu the khong ben viing, thi phai thay doi de dam bao can doi ngan sach co ban ttong tuong lai phu hpp vdi rang bupc ngan sach^.
Cac nghien cuu bat dau tu quan diem, mpt chinh phii dam bao ben viing tai khoa khi thoa man ca rang bupc ngan sach theo thdi gian va rang bupc ngan sach tinh. D I don gian boa, xem xet mo hinh kinh tl dong (khong bao gom biln no nudc ngoai) va loai bo viec xem xet cac van dl lien
1 Keynes, J. (1923), A Tract on Monetary Reform, in The Collected Writings of John Maynard Keynes vol IV, Macmillan, 1971.
2 Cuddington {1997) va Hesn;, i (1997).
3 8 Kinh te rai chinh Viet Nam / So 1 - T h a n g 2/2020
quan din tiin te, rang budc ngan sach tinh nhu sau':
G,+{l+r,)B,_i=R,+B, (1) Trong do, G la miic chi tieu ngan sach CO ban chua tmh den lai vay, R la thu ngan sach, B la muc du np cong vao cuoi ky va r la lai su4t thuc te doi vdi khoan np cua chinh phii''. Nhu vay, rang bupc ngan sach cho thay de dam bao ben viing np cong, ben trai ciia dang thuc (1) (cho biet cac khoan chi tieu ngan sach ciia chinh phii bao g6m chi tieu co ban va chi tra lai vay) phai bang vdi ve phai (cho biet cac nguon diing dl tai hp cho cac khoan chi nay, gom thui va cac khoan vay np mdi trong nam). (1) dtroc viet lai nhu sau:
B,-B,_, = G,-R,^r,B,_^ (2) Trong do, (Gi - Ri ) la tham hut ngan sach CO ban. Cac bien cua rang bupc ngan sach CO the viet dudi dang ty le phin tram GDP bang each chia hai vl ding thuc (2) cho GDP thuc tl (Y), khi do rang bupc ngan sach dupc viet nhu sau:
k-h,,=i
Trong do.
l + r,
• P: =
Y, r
va r, la ty le tang Utrdng GDP cua ky t so v6iky(t-l).
Vdi gia thiit lai suit la chudi dimg cd gia tri trung binh la r, (2) dupc viit lai nhu sau:
B,~(\ + r)B,_,=G',-R, (4) Trong dd, G'_ la chi ngan sach co ban va chi tra lai suit vdi lai suit dupc tinh bang chenh lech giira lai suit trong ky va gia hi hrung binh. Cu thi nhu sau:
G',=G,+(r,-r)B,_,
Viit lai ding thuc (4) cho nhimg giai doan tiep theo t+1, t+2, t+3... theo nguyen tac quy nap, ta cd rang budc ngan sach theo thdi gian nhu sau:
B, • ^ ii
(l + ry ^ + lim-B„
.(1 + ;-)' (5) Chinh sach tai khoa ben virng phai bao dam rang gia tri hien tai cua cac khoan np cong bang 0 khi thdi gian t tien den v6 ban, gidi han muc tang np cong khong nhanh hon ty le lai suat thuc te. Noi each khac, phai tuan theo rang bupc ngan sach theo thdi gian hoae khong ap dung tro choi Ponzi (vay mdi tra cii) de tai trp tham hut tai kh6a^ Nhu vay vdi dang thuc tren ve rang bupc ngan sach theo thdi gian, nit ra hai kit qua quan h-png ve tinh bin vung ciia np cong. Np cong ben viing neu thoa man:
Cong thiJc rang bupc ngan sach theo thdi gian xuat phat t i i djnh nghia tham hut ngan sach nhU sau:Tham hut ngan sach t - ?;S,_,+G,-./?, .Tham hut ngan sach dUcrc tmh bang khoan chi ngan sach bao gom chi tra lai vay trCf di khoan thu ngan sach.
Theo rang bupc ngan sach, miic thay doi np cong nam t bang v6i miic tham hut ngan sach nam do, hay S, -S,.| - T h a m hut ngan sacht- Neu chinh phii tiep tuc tham hut ngan sach, nocong se tang, ngupc lai, neu chinh phu duy tri thang du' ngan sach, np cong se gi^m.
Trong mot so nghien ciiu, lai suat thiic te dUdc gia thiet la chuoi dCfng, nhu'ng gia thiet nay kho x5y ra hon doi vdi lai suat danh nghTa.
Theo cac nghien ciiu ciia Hamilton va Flavin (1986), Trehan va Walsh (1988.1991), Kremers (1988, 1989), Wilcox (1989), Hakkio va Rush (1991}, Tanner va Liu (1994), Quintos (1995), Haug (1991, 1995), Ahmed va Rogers (1995), Payne (1997), Artis va Marcelino (1998), Bohn (1998), Feve va Henin (2000), Uctum va Wickens (2000) va Bravo va Silvestre (2002).
Kinh te tai chinh Viet Nam / So 1 - Thang 2/2020
39
(i) Gia tri hien tai ciia cac khoan np cong phai tien den 0 khi thdi gian t tien den co;
h m - ^ = 0{6) (ii) Gia tri hien tai ciia khoan np cong phai bang tong thang du ngan sach co ban trong tucmg lai:
B=y ^ , (R^ - G ' i (7) ' ^ ( 1 + r)^ '^' "' 3. Phu'c^ng phap phan tich dinh lu'dng va du* lieu sii' dung
Phan tich dinh lupng danh gia ben vung np cong dua tren co sd ly thuyet ve rang bupc ngan sach theo thdi gian theo hai phuong phap: (i) Ki^m dinh tinh dimg ciia chudi np cong tren GDP; (ii) Kiem dinh moi quan he dong tich hcrp giua thu ngan sach va chi ngan sach.
Tnrdc hk, ki6m dinh nghiem don vi dupc su dung kha pho bien de kiem dinh mpt chuoi thdi gian la dung hay khong dung. Dickey va Fuller (1981) da dua ra ki§m dinh Dickey - Fuller (DF) va kiem dinh Dickey - Fuller md rpng (ADF).
Nghien cuu nay sir dung kiem dinh ADF de thuc hien kiem dinh nghiem don vi, cu the mo hinh co dang:
Ay^ =a + /3y,_^ + ^ ^^ Ay,., + e^
Ay, =a^+St + py,_^ + X'^jA>'r-i + ^r
j=i
Trong do, A^', =y,- >•,_,; y^ la chuoi so lieu thdi gian dang xem xet; k la chieu dai dp tre; £, la nhieu trang.
Mo hinh (2) khac vdi mo hinh (1) la co them bien xu hudng thdi gian t. Gia thuyet kiem dinh Ho: P = 0 (Yi la co nghiem don vi hay chuoi khong dung) va gia thuyet
Hi: p < 0 (Yt la chuoi gia tri tuyet d6i ciia gia tn
6i dir lieu dmig). Niu tinh toan Idn hem giatritdihanrcuaMackinnon(1996)ta gia thuyit Hob, bac bd,tftccl,uoiduli?u cd tinh dimg va ngugc lai chap nhan gia thuyit Ho, cd nghia du heu khong co tinh dimg.
Tiep theo. as ki6m dinh mdi quan he ddng lien kit giira cac bito cd the su dung phuong phip Englc-Granger hoae Johansen. Granger (1983) ghi nhan mot kidm dinh v8 su ddng tich hop cd the duge coi nhu mot tiSn kigm dinh de loai bd tinh hudng hdi quy gia mao. Kiim dinh ddng lien kit theo phuong phap phan tich pMn du hai budc cua Engle - Granger gom:
(i) Thiet lap mdi tuong quan can bang trong dai han cua cac bien; (ii) Kiim diuh tmh lien kit p h k du bJng each dimg kiim dinh ADF. NIU kit qua kiim dinh cho thay phjn du la chuoi dimg thi khang dinh ton tai mSi quan he ddng lien kit giiia cac biln trong md hinh da thuc hien budc mpt.
Ngoai ra, sit dung phuong phap udc luong ML Johansen (1988), xem xet md hinh vecto hieu chinh sai s6 (VECM) nhu sau;
"0 l^t-1 + ^l/^t-l
^2^t-2+-+^k^t-k + f^t Trong do X^ la vecto gom hai bien, to hpp tuyen tinh hai bien nay la dung neu hang tir cua ma tran Ak b&ng 1. De kiem dinh quan he dong tich hpp, co thi sir dung kiem dinh trace hoac kiem dinh bing ty so hpp ly.
Nghien cuu sir dung dir lieu chudi thdi gian theo nam dupc thong ke theo nam trong giai doan 2000 - 2018 d6i vdi ty le np cong tren GDP (pd), 1992-2018 d6i vdi ty le thu NSNN tren GDP (r) va ty le t6ng chi NSNN tren GDP (gg) cua Bp Tai chinh va Tong cue Thong ke.
40
I Kinh te tai chinh Vift Nam / So 1 - Thing 2/20204. Ket qua phan tich djnh lu'cfng va thao luan
4.1. KiSm dinh tinh ttitng ciia chuoi ty l^ n^ cong tren GDP
De kiem dinh chudi thdi gian la dimg hay khdng dimg cd nhieu each nhu phan tich dd thi, sai phan, ham tu tuong quan, kiim dinh Liung-Box. Tuy nhien, kiim dinh tinh dimg cua chudi thdi gian dua tren kiem djnh Dickey-Fuller md rdng (ADF) duge su dung phd bien hien nay. Dp tri
trong kiim dinh ADF duge lua chon dua fren cac chi tieu AlC (Akaike Information Criterion). Cu thi, dp tri duoc chon sao cho AIC nhd nhit.
Bien duge kiim dinh la ng edng tren GDP (pd). Kit qua kiim dinh tinh dimg trinh bay trong Bang 1 cho thiy gia tri r thdng ke deu Idn hon gia hi % tdi han, khdng bac bd gia thiit HQ (chuoi khdng dimg hay cd nghiem don vi). Do do, biln ng edng tren GDP khdng dimg vdi miic y nghia 5%.
Bang 1. Ket qua kiem dinh nghiem don vi
Bien so
Tung dp goc oo va Idiong c6 xu hudng thdi gian t (Ay, = a^ + ^y,_, + ^ ^^ Ay,_, + e,) Tung dp goc Oo va xu hudng thai gian t (Ay, =a^ +5t-\- /3y^_^+^XjAy,_^+£,) Khong CO tung dp goc va khong co xu hudng thdi gian t
{^Y,=^3y,_^+j;^l^^y,_^+e,)
J=l
ADF doi vdi pd pd Gia tri T t(H h^n 5%
1.693128
-2.248953
0.4375
Gia tri thong kS t
0.9729
0.4375
0.7851
Tuy nhien, theo Hamilton va Flavin (1986), tinh dimg ciia chuoi np cong chi la difiu kien cSn, khong phai la diSu kien du lie khang djnh ben vimg tai khoa. Viec khong ap dung tro choi Ponzi vin se dupc thoa man neu chuoi np eong dirng d sai phan bac 1. Do do, budc ti6p theo la kiSm dinh tinh dung doi vdi sai phan bac nhat ciia chuoi np cong. Theo Quintos (1995), rieu sai phan bac nh4t la chuoi dimg, tinh ben vimg duoc dinh nghia la "y6u". Bang 2 (xem hang 42) cho thiy chu6i np cong
tren GDP dimg vdi sai phan bac mpt hay chinh sach tai khoa ben viJng "yeu".
4.2. Kiem dinh moi quan he dong tick hap giira thu ngan sach vd chi ngan sach Trudc hk, ki§m dinh tinh dimg cua hai bien. Tuong tu, kiem dinh ADF dupc sir dung dk kiim dinh tinh dimg cua chuoi thu ngan sach tren GDP (r) va chi ngan sach tren GDP (gg). K^t qua kiem dinh hinh bay trong Bang 3 cho thay hai bien nay khong dimg vdi miic y nghTa 5%.
Kinh te tai chinh Vi?t Nam / So 1 - Thang 2/2020
Bang 2. K i t qua Idem dinh nghiem dcra vi bac nhat cua p d
A D F d6i voi sai phan
d(pd)
Tung dp goc (to va khong co xu hudng thdi gian t (Ay, = «„ + 0y,-i + 2 ^; ^^'-i "*" ^' ^ Tung do goc Oo va xu hudng thdi gian t (Ay, ^a^+St + y9y,_i + J ] ^v^J'f-i + ^i) Khong CO tung do goc va khong co xu hudng thdi gian t
if-
{&Y,=fy,_,+'^^,Ay,_,+£,)
Gia tri T t(H han 5%
-3.652577
-4.071410
GWtri thong ke t
0.0011
0.0266
Bang 3. Ket qua kiim dinh nghiem doTn vi ADF doi vdi r va gg
BilnsS
Tung dp goc Oo va khong co xu hudng thai giant
(Ay, =a^+ ^y,_, + ^ A^ Ay,_, + ^,) Tung do goc Qo va xu hudng thai gian t (Ay, =a^+St + /5y,_| + J ] A^ Ay,,, + £,)
Khong CO tung dp goc va khong co xu hudng thai gian t {AY,=/3y„, + f^X^Ay,_,+e,)
1
Gia tri T tod hjn 5%
0.459546
-2.259413
-2.410964 Gia tri
thdng k e t
0.8068
0.4397
0.1486 g i GlStriT
tfti han 5%
0.1486
-1.979839
-1.398388 Gia trj
thong ket
0.6725
0.5836
0.5667
4 2 Kinh te tai chinh Viet Nam / S6 1 - T h a n g 2/2020
Bang 4. Ket qua kiem dinh nghiim don vi doi vdi dr va dgg 1
Ii-.. Biln s6
f
Tung dp goc Oova khong c6 xu hudng thdi gian t
(Ay, =a^+ I3y,_, + ^ ^Ay-^ + ^: ^
j = i
Tung dp goc do va xu hudng thai gian t
k
(Ay, =a^+5t + py,_^ + X -^j Av,-i + £,) Khong CO tung dp goc va khong co xu
hudng thdi gian t
k
(hY,=Py,^,+"2l^,Ay,_,+s,)
j - i
Ket luan r, gg
d(r) GidtrJT
tdi han 5%
-5.334312
-5.034885
-5.180537 Giitri thong kSt
0.0000
0.0023
0.0003
1(1)
d(gg) Gia tri T
t*!
h^n 5 %
-8.837366
-4.303882
-8.590569 Giitrj
th6ng k§t
0.0000
0.0155
0.0000
1(1) Tuong tu, ap dung kiem dinh ADF, ket
qua ve kiem dinh nghiem don vi ddi vdi sai phan bac 1 cua hai hien ban dau. Vdi muc y nghia 5%, cd thi kit luan rang sai phiin bac 1 ciia hai bien cd tinh dimg, noi each khac, cac bien sir dung trong md hinh deu tich hop bac 1 hay 1(1) (Biing 4). Diiu nay cd nghia la hai chudi sd lieu nay thda man dieu kien cua kiem dinh Engle-Granger va Johansen.
Kiem dinh moi quan hi dong tich hap (Cointegratlon test)
Theo Hakkio va Rush (1991), diiu ki?n can ciia ehinh sach tai khda hen virng la ty le thu ngan sach tren GDP va ty le chi ngan sach h-en GDP cd mdi quan he dong tich hop, vdi vecto ddng tich hgp la [ 1, -b];
sii dung phuong phap Engle-Granger va Johansen de kiim dinh mdi quan he ddng tich hpp. Granger (1983) ghi nhan "mot
kiim dinh vl sir ddng tich hop cd thi duge coi nhu mot tien kiim dinh dl loai bd tinh hudng hdi quy khdng xac thuc (hdi quy gia mao)". Hdi quy ddng lien kit theo phuong phap phan tich phin du (uj) hai budc ciia Engle-Granger:
+ Budc 1: Nghien ciiu thiit lap mdi tuong quan can bSng trong dai han cua cac biln: r^ = a + bggi + K, (8)
Phuong trinh can bSng dai han duge viit lai la: r, = 2,25 + 0,77gg, + Uf
Tit kit qua nay, gia hi phin du duoc udc lugng theo edng thirc: Ut = rf- 2,25 - o.yygst
+ Budc 2: Thuc hien kiem dinh tmh hen kit cua phin du (uj). NIU kit qua kiera dinh cho thiy phan du la chuoi dimg thi khSng dinh tdn tai mdi quan he ddng tich hgp giOa cac biln trong md hinh da thuc i eai chinh Viet Nam / So 1 - Thing 2/2020
43
Bang 5. Kiim dinh phan du ciia mo hinh
Augmented Dickey-Fuller test statistic
Test critical
values: 1% level
5% level 10% level
Th6ng k61
-4,368376
-3,788030 -3,012363 -2,646119
Xac suit
0,0028
hien budc mot. Bang 5 mo ta ket qua kiem dinh phan du.
Tir kit qua tren ta thay, gia trj myet doi cua thdng ke ADF Idn hon gia ft-j tuyet ddi cua gia tri tdi han^ nen ket luan phan du la chuoi dimg. Tir do khang dinh cac bien trong mo hinh (8) la ddng tich hpp, nghia la cac bi§n trong mo hinh nay co ton tai quan he can bang dai ban.
Gidi thich y nghia ciia md hinh (i) Adjusted R^ - 0.656 cho bi8t mo hinh giai thich dupe 65,6% su phu thupc giira eac bien. He so cua gg = 0,77 va co y nghia thong ke d muc y nghia 5%, mang dau duong la phu hpp cho thay moi quan he ty le thuan giira ty le thu ngan sach tren GDP va ty le chi ngan sach tren GDP. Tuy
nhien ty le chi ngan sach tren GDP tang nhanh hon ty le thu ngan sach tren G D P
(ii) Khi tim dupc vecto ddng tich hpp, tigp tuc kiam djnh gia thuyit b - 1 hay khong, su dung thdng ke t (t-statistic). Ket qua cho thky gia thuyet b = 1 bi bac bo, do do vecto dong tich hcfp khong phai la [1, - 1 ] ' Tuy nhien, Quintos (1995) chi ra rang moi quan he dong lien ket va 0 < b <
1 la diSu kien can va du cua ben vimg ngan sach. Dieu nay cd nghia tham hut ngan sach nhimg van c6 the ben vimg, tham chi khi toe dp tang ciia chi ngan sach cao hon thu ngan sach (trudng hpp ciia mot so nudc chau Au). Khi do, neu b = l , chinh sach tai khoa "ben viing manh", neu 0 < b < 1, chinh sach tai khda "ben vimg yeu"*.
Theo Davidson va Mackinnon (1993), vdi mau bat kyX gia trj tdi han dupc tinh nhiTsau; p«> + pi/T + p2AT2. Khi do, gia tri t6i han vPi T-27, ta co : -3,3377 - 5,967/27 - 8,98/272 = -3,57 so vdi cac gia tri tdi han cua Engle-Granger tifong Ong 1 %, 5%, 10% la -3,78; -3,01; -2,65.
tqs = - ^ = QZLLL ^ - 2,3 va gia tri tdi han (t critical) d mLfc y nghia 5% vdi he so t u do seib) 0,1
d f = n - 2 - 2 5 l a 1 , 7 0 8 .
N e u O < b < 1, thanh phan gidi han trong cong there (5) van bang 0 vi l + r(l-fc)<(] + ^-) va vi the tLfsosetang nhanh hdn mau so trong cong thilc (7).Tuy nhien, neu 0 < b < l ,
|™^^«=^l['+''y"-^'r^r+.+|™['+'"(i-M ^'-1='" •Vivay'b = l la dieu kien "chat" cua ben vQng ngan sach,
44
I Kinh te tai chinh Viet Nam / So 1 - Thang 2/2020Afonso (2005) ciing chi ra rang khi co m6i quan he ddng lien ket giira GG va R, vdi b < 1, tham hut ngan sach ben viing^. Do do, niu chap nhan dieu kien "bin vimg ygu", CO the chi ra tinh hinh ngan sach cua Viet Nam trong giai doan nay la bdn vung "yeu".
Ngoai ra, nghien ciru sir dung them phuong phap Johansen de kiem dinh ddng tich hpp. Trudc tien phai lua chon dp tre t6i mi cho mo hinh. Viec lua chpn dp tre toi iru cho mo hinh se dupc thuc hien bang each ung dung mo hinh VAR cho cac chudi dir lieu ban dau cua cac bien vdi dp tr§ tdi da la 4. Md hinh VAR se tu dpng lua chpn dp he tdi uu dua tren cac tieu chuan'".
Dp tre tdi uu dupc xac dinh dira vao ket qua phu hpp vdi nhieu tieu chuan nhat, do do, dp tre tdi uu cua md hinh la 1 (Bang 6), tiic la gia hi ciia cac bien hien tai se chiu tac dpng cua cac bien tre theo nam la 1 nam hirdc do.
Kiem dinh Johansen dua tren nin tang la rao hinh VAR, bao gdm hai kiim dinh gpi la kiem dinh trace (trace test) va kiim dinh gia tri rieng cue dai (Maximum eigen- value test).
Theo kiim dinh frace, gia thiit HQ la sd vecto dong tich hpp frong he thong la r, nho hon hoac bang rQ vdi rQ < p (p la s6 biin trong he thdng); H^: ma tran tac dpng la dong bp. Niu kiim dinh ttace < gia hi tdi ban thi chkp nhan HQ (khdng ddng tich hpp).
Theo kiem dinh gia trj rieng cue dai (Maximum Eigenvalue), xem xet gia thuyet HQ la cd r^ vecto ddng tich hop ddi vdi gia thuyit Hj la co r^ +1 vecto ddng lien kit.
Kit qua kiim dinh (Bang 7) cho thky ca kiem dinh trace va kiem dinh gia fri rieng cue dai deu chap nhan gia thuyit khdng tdn tai vecto ddng tich hpp vdi y nghia 5%.
Bang 6, K§t qua lira chon do tre toi ini cho kiim dinh Johansen l a g
0 1 2 3 4
LogL -92.48003 -77.13261 -74.03956 -72.57639 -72.23064
LR NA 26.69116*
4.841301 2.035719 0.420913
FPE 12.67980 4.740573*
5.186888 6.635628 9.568992
AIC 8.215655 7.228923*
7.307788 7.528381 7.846142
SC 8.314393 7.525139*
7.801481 8.219552 8.734790
HQ 8.240487 7.303420*
7.431950 7.702209 8.069635 Chd thich: * la do tre toi uu lua chon theo tieu chuan
Tuy nhien, theo nghien cdu cua Trehan va Walsh, b ^ 1, tham hut ngan sach la chuoi dirng 1(0), no cong ben VLfng. NgOdc lai 0< b < l , t h a m hut ngan sach dirng dsai phan bac 1 1(1) va chinh sach tai khda khong ben vCSng.
Tieu chuan LR, tieu chuan FPE (Final prediction error), tieu chuan thong tin Akaike (Akaike Information Criterion - AIC), tieu chuan thong tin Schw/arz (Schwarz information criterion - SC) va tieu chuin thong tin Hannan-Quinn (Hannan-Quinn information criterion - HQ).
Kinh te tai chinh Viet Nam / So 1 - Thang 2/2020
45
Bang 7. Ket qua kiim dinh flSng tich liop tlieo phirooig pliap Joliansen Kiim dinli dong tich ligp trace
Gia thuyet khdng c6 d6ng
tich hgrp r = 0 r < l
Gi^ tri circ dai
0.247225 0.076543
Thong kS trace 9.090485 1.990764
Gia tri tM han 0,05 15.49471 3.841466
XAc suit
0.3571 0.1583 Kiem Sink trace chi ra khong co dong tich hop voi mii-c y nghia 5%
Kiim dinh gii tri ri§ng c\rc d^i (Maximum Eigenvalue) Gia thuyet
khong c6 ding tich hgp
r - 0 r < l
Gi^ trj circ dai
0.247225 0.076543
Thing ke Max-Eigen 7.099721 1.990764
Gii tri tfti han 0,05 14.26460 3,841466
Xac suit
0.4774 0.1583 Kiem dinh gia tri rieng cue dai chi ra khong CO dong tich hop v&i mitcy nghia 5%
Tir ket qua kiem dinh ciia Johansen cho thay, khdng tdn tai mdi quan he can bang trong dai ban giira hai biin thu ngan sach tren GDP va chi ngan sach tren GDP.
Nhu vay, dua tren co sd ly thuyit vi rang budc ngan sach, neu thu ngan sach va chi ngan sach (theo phka tram GDP) khong co mdi quan he ddng tich hpp, tham hut tai khoa va np cong klidng bin viing. Kit qua tu phucmg phap kiem djnh Johansen mau thuan vdi phuong phap kiim djnh Engle- Granger. Bdi theo phuong phap kiim djnh Engle-Granger, tdn tai mdi quan he ddng tich hpp giira hai bien noi tren, nhu vay tham hut tai khoa va np cong la ben virng.
Dieu nay dupc giai thich nhu sau:
(i) Viec sir dung phuong phap kiim djnh ddng tich hop Engle-Granger c6 uu diem la don gian va dl kiim djnh nhung CO nhupc diim la phucmg phap kiim djnh
gom 2 budc. Budc thii nhat la hdi quy de udc lirpng phan du. Budc thtr hai la kiem dinh phan du duoc udc luong tu hdi quy md hinh trudc do, do do, nhirng sai sot cua hdi quy budc 1 se dan din su thiiu chinh xac cho viec kiem djnh d budc tiip theo.
Vi vay, phuong phap kiem dinh Johansen (la phuong phap hoi quy he phucmg trinh VAR) da khac phuc nhugc diem de cap d tren, nen co dp tin tudng hon.
(ii) Vdi so lupng mau nhd, cac phuong phap kiim djnh deu thiiu su chuih xac. Cu the, trong trudng hpp mlu nho, theo phuong phap Engle-Granger se dSn tdi cac tham s6 udc lupng bj Chech", hoac phuong phap kiem djnh Johansen, vecto ddng tich hpp co thi khdng cd y nghia. Trong trudng hpp nghien cuu nay, mlu quan sat hrong doi nhd (27 quan sat, theo sd lieu nam 1992 - 2018).
Banerjee va cac cong sU (1986) da chi ra viec khong tinh den dp tre trong phuonq ohaD Engle-Granger doi vdi trifdng hpp mau nhd se cd the dan tdi cac tham so udc lupng bi chech
Kinh te tai chinh Viet Nam / So 1 - Thang 2/2020
Thuc ti tinh hinh no edng va quan ly np cong cho thiy, np cong tang nhanh ca vi quy mo va tdc do. Chi xet rieng giai do^n 2010 - 2018, np cong da tang g4n 3 lan, ty le np cong tren GDP tang tu 51,7%
trong nam 2010 len 58,4% trong nam 2018, dat dmh vao nam 2016 vdi 63,7%.
Ben canh quy md np cong tang cao, toe dp tang cua np edng ciing la mpt van de quan tam. Np cong cua Viet Nam da lien tuc tang manh, cao hon nhieu so vdi tdc dp tang tnxcmg kinh te, cao hon tdc dp tang thu NSNN va tuong duong tdc dp tang chi NSNN. Ngoai ra, xet trong giai doan nghien ciru 1992 - 2018, Viet Nam ludn tham hut ngan sach, mdc tham hut ngan sach binh quan la 4,78%, tdc dp tang ciia chi ngan sach binh quan cao hon tdc dp tang thu ngan sach. Xet rieng giai doan 2001 - 2018, ty le huy ddng vao ngan sach so GDP binh quan cua giai doan nay la 24,7%, trong khi ty le chi NSNN/GDP binh quan dat 29%.
Viec su dung phuong phap djnh lupng de danh gia ben virng np cong dua tren co so ly thuyet ve rang bupc ngan sach theo thdi gian nhin chung co uu diem la kiem dinh dua tren co sd ly thuyet ro rang ve rang bupc ngan sach, hiru ich trong viec phan tich, danh gia cac chinh sach trong qua khu. Tuy nhien, phuong phap kiem dinh nay chua dua ra dupc muc dp ben vung cua np cong va ngan sach. Them vao do, viec su dung phuong phap kiem djnh dong tich hpp giiia thu ngan sach va chi ngan sach de danh gia ben vung np cong Viet Nam trong giai doan 1992 - 2018 con CO han che ve sd lupng quan sat de dam bao tinh chinh xac cua kiem djnh.
5. Ket luan
Dua h-en co sd ly thuyit ve rang bupc ngan sach theo thdi gian, nghien cuu su dung hai phuong phap la kiem djnh tinh dirng chudi np edng trong giai doan 2000 -
2018 va kiem djnh mdi quan he ddng tich hpp giiia thu - chi ngan sach bing phuong phap Engle - Granger va Johansen ddi vdi dir lieu nam trong giai doan 1992 - 2018.
Ket qua kiim dinh tmh diing ciia chudi np cong cho thiy chinh sach tai khoa bin viing "yeu". Tuong tu, kit qua cua Engle- Granger chi ra mdi quan he can bSng trong dai ban cua cac biin. Niu gia thiit co mdi quan he ddng lien ket giiia thu ngan sach va chi ngan sach la diiu kien dii cua bin viing np edng va tai khda, np edng Viet Nam trong thdi gian qua la bin viing.
Vecto ddng tich hpp khong phai la vecto [1, -1], dieu do CO nghia rang, neu chi NSNN tren GDP tang 1, ty le thu NSNN tren GDP chi tang khoang 0,77. Tuy nhien, phucmg phap Engle-Granger c6 mpt sd ban che nhat djnh, dupc khac phuc bdi phuong phap Johansen dua tren hoi quy he phuong trinh VAR. Ket qua kiem dinh ciia Jo- hansen bac bo gia thuyet co mdi quan he ddng lien ket giua thu ngan sach va chi ngan sach. Do do co it bang chung ve ben viing ngan sach va np edng ciia Viet Nam trong thdi gian qua.
Phan tich danh gia diing dan ben viing np cong la cka thiet de dua ra cac bien phap kiim soat chat che, tang cudng ky luat tai khoa, dam bao an ninh, an toan tai chinh qudc gia, dn dinh kinh te vT md. Cu the phai dam bao can ddi thu - chi ngan sach. Doi vdi thu NSNN, he thdng thui ckn dupc cai each bao dam cac tieu chi tao ngudn thu bin virng, hieu qua, edng bing va minh bach. Ddi vdi chi ngan sach, co c4u lai chi NSNN, nang cao hieu qua ciia chi thudng xuyen va hieu qua su dung vdn dau tu. Tir , do giam dkn bpi chi ngan sach bdi bdi chi NSNN d muc cao va keo dai se tiem_ an nhiiu nguyen nhan gay bat on kinh te vT md. Tang cudng kiim tra, giam sat va quan ly rui ro np cong, da dang hoa cac edng cu
quan ly no ® Kinh te tai chinh ViSt Nam / So 1 - Thing 2/2020
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Tai lieu tham khao
Tieng Viet
1. Vien Nghien alu Quan ly kinh te trung uong (2013), Bdu titcong, nacong va mile do ben vCtng ngan sach d Viet Nam.
2. D6ThienAnhTuan(2013), Tifang lai ng cong cua Viet Nam: Xu hi/dng vd thii thach.
3. Hoc vien cliinh sach va phat trien. Bo Ke hoach va Dau tu- (2014), Bdo cdo ket qua nghien ciru dean "Xac dinh pham vi no cong, tran no cong an toan cCia Viet Nam giai doan 2014-2020':
4. Nguyen Thi Thuy (2014), Phan tich ben vOng nacong ciia Viet Nam, Bao cao khoa hoc cap Vien.
5. Pham Thanh Binh (2013), Vdn de ng cong 0 mot so nifOc tren tliegldl va ham y chinh sach doi vdi Viet Nam, Nha xuat ban Khoa hoc xa hpi.
6. Uy ban Kinh te cua Quoc hoi (2013), Ngcong vd tinh ben viing d Viet Nam: Qua kbit, hien tai va tuong lai.
Tieng Anh
7. Afonso, A (2005), Fiscal Sustainabillty: The Unpleasant European Case, l^inanzArchiv.
61 (1), p. 19-44.
8. Afonso, A (2008), Ricardian Fiscal Regimes in the European Union, Empirica. 35 (3), 313-334.
9. Afonso, A (2010), Expansionary Fiscal Consolidations in Europe: New Evidence, Applied Economics Letters, 17(2), 105 -109.
10. Afonso, A, Rault, C (2010), What do We really Know about Fiscal Sustainability in the EU7A Panel Data Diagnostic, Review of World Economics, 145 (4), 731 - 755.
11. Bravo, A. and Silvestre, A (2002), Intertemporal Sustainability of Fiscal Policies: Some Tests for European Countries, European Journal of Political Economy, 18 (3), 517 - 528.
12. Feve, Pand Henin, P(2000),/)sses5/nsEffectiveSu5to//ioW//tyofHsca/Po;/cymtWn the G7, Qxford Bulletin of Economic Research, 62 (2), 175 -195.
13. Lau, E. and Baharumshah, A (2005), Assessing the Mean Reversion Behavior of Fiscal Policy: The Case of Asian Countries.
14. Nguyen.T.T (2018), Fiscal Sustainabillty In some ASEAN Countries: Evidence from a Panel Data.
Kinh te rai chinh Viet Nam / So 1 - Thang 2/2020
