I
Lvta Anh NguyetVien Chien iuac va Chi'nli sacli tai chinli, Bo Tai chinh
Moi quan lie ti^t idem - dau tu tai Viet Nam
Phan tich i thj M g tai chinh va ham y chinh sach
N
ghien ciiu nay se tap trung phan tfch, danh gia nhtJng tac dgng cCia viec phat trien thj trudng tai chinh va hpi nhap tai chinh tdi moi quan h^ tiet kiem - dau tu tai Viet Nam.Tir do cho thay hpi nhap tai chinh sau rdng hdn, dac biet la thuc hien t u do hda ddng von, phat trien tot hdn thj trudng tai chmh va dinh che tai chinh se giup tang t>' le dau tu tren tiet l<iem tai Viet Nam.
TO khoa: Tiet kiem, dau tu, thu nhap, mdc dp hdi nhap tai chinh, chi so phat trien tai chinh cOa cac to chiic tai chfnh, chi so phat trien tai chmh cCia thj trudng tai chmh.
This research evalutated the impacts of financial market development and financial integration on saving - investment gap in Vietnam. The results supposed the positive effects of financial integration, financial market development and financial institution
\ development on ratio of investment per saving.
Key words: Saving, investment, income, financial integration, financial market development index, financial institution development index.
Ngdy nhdt} bai: 12/3
Ngdy nhgn phdn bien, Sanh gid vd sila chUa: 20/4 Ngdy duyet ddng: T1/5
1. Mot so van de ly luan ve tac dong cua phat trien thj tru'dng tai chinh tdi moi quan he tiet kiem - dau tu*
Theo Bach khoa toan thu ngan gpn vi kinh te', trong kinh te hpc, tiet kiem dupe dinh nghia la viec tieu thu it hon d hien tai de tieu thu nhieu han trong tuang lai, cdn dau tu la viec mua hang hda lau bin ciia cac hd gia dinh, doanh nghiep va Chinh
phu. Theo khai niem nay, diu tu dupe dinh nghia la su bo sung them vao vdn, do do, dau tu la khai niem "ddng" dich chuyin.
Khii lugng tu ban la kit qua cua cac ddng von dau tu. Hang nam, tong vdn d4u tu tang len, md rdng bang dka tu rdng. Theo Sachs - Larrain (1993) va Mankiw (2002) khai niem dhu tu trong kinh ti vT md g4n vdi viec tao ra tu ban mdi va quy t5c chung
Hen(derson, D. (2010), The Concise Encyclopedia of Economics, Liberty Fund, Inc.
I Kinh te tai chinh Viet Nam / So 3 • Thang 6/2020
la nhung hanh vi chi tai phan phdi tai san hi?n cd giiia cac cd nhan khong dupe coi la dau tu ddi vdi nin kinh te.
Ly thuyit kinh ti hpc cho thiy he thing tai chmh cd tac dpng nhit dinh tdi mdi quan he tiit kiem - diu tu. Trong kinh ti hien dai, nhung ngudi tiit kiem va ngudi diu tu cd thi khdng ddng nhit. Ddng tiin tiit kiem cd thi di tijc ngudi tiit kiem tdi ngudi diu tu va thanh khoan diu tu thong qua hai con dudng: True tiSp va gian tiep.
Nhung ngudi tiet kiem khdng phai bao gid cung cd the su dung sd tien tiet kiem de true tiip ddu tu nhu lap cdng ty, mua may mdc thiit bi va thue mudn lao ddng de td chiic san xuat do nhung gidi han nhat dinh vi kh4 nang, kinh nghiem va ky nang quan ly. Thay vao do, nhiing ngudi giri tiSt kiem CO the gui tien ciia minh vao cac ngan hang, td chiic tai chinh khac. Cdc ngan hang va td chiic tdi chinh sau khi huy dpng vin se cho vay lai ddi vdi cae doanh nghiep sdn xuat - kinh doanh va cac doanh nghiep nay se sii dung sd tien di vay d& mua sam may mdc thiet bi va xay dung nha xudng.
Do do, viec chuyen hda tu tiet kiem sang
dau tu ddi hdi cin phai cd he thing tai chinh ddng vai trd trung gian tai chinh. Su phdt trien cua cac cdng cu, thi chi va thi trudng tai chmh da tao ra nhiing co hpi va khuyin khich ngudi tich liiy tiit kiem va ngudi dau tu thuc hien viec diu tu. Trung gian tai chinh vd trung gian thanh todn cho phep cdc hoat ddng diu tu dupe thuc hien hieu qua han, thdng qua viec phan bd ngudn luc tren pham vi rdng va sang Ipc, lua chpn du an it rui ro han.
[1] Miic dp hpi nhap tai chinh Theo gia thuyet cua Feldstein va Horioka (1980), miic dp dich chuyen tu do cua ddng vdn ty le nghich vdi mdi tuang quan giiia tiet kiem ndi dia - dau tu ngi dia.
Nghia la, miic dp tu do dich chuyen cua vdn cao, hay khi ddng vdn duac dich chuyin hoan hao, thi tuang quan tiet kiem ndi dia - dau tu thap va ngupc lai.
Nghien ciiu ciia Felstein va Horika (1980) la nghien ciiu dien hinh va khdi xudng cho nhiiu nghien ciiu vi mdi quan he tiit kiem - diu tu trong thai gian gin day, nhu Pavelescu (2009), Kaya (2010), Tehranchian vd Behravesh (2011),
I Thunh§p[^
Sau khi ti^u diing
TQO cdng dn viH Idm
I 1 Tn/c tiep r -^ Tietki^m | — — -^
Ti^t ki^m khong dau
tu-
Trung gian tdi chfnh/Thi tnjtdngtki
chfnh
Ngudn: Tdc gid tdng h<?p
Kinh te tai chinh Viet Nam / So 3 - Thang 6/2020 1 3
Jangili (2011), Gur va cdng su (2011), Alrasheedy va Alaidarous (2018). Cac nghien ciiu thuc nghiem ve mdi quan he tiit kiem - diu tu trong hien dai deu gan ket mdi quan he tiit kiem - diu tu vdi miic dp tu do chuyin dii ciia ddng vdn quoc te va coi day Id mgt trong cdc cdch do ludng miic dp hdi nhap tdi chinh. Neu ddng vdn dich chuyin hoan hdo giiia cdc qudc gia thi nhiing thay ddi trong dau tu ngi dia khdng phu thuoc nhieu vao tiet kiem ndi dia.
Ngupc lai, ddi vdi cac qudc gia cdn nhieu rao can trong viec luu chuyen von, chua quoc te hda tai khoan tai chinh/tdi khoan vdn thi tiet kiem ndi dia la ngudn vdn chinh cho diu tu ngi dja. Tuy nhien, ket qud nghien ciiu thuc nghiem lai cho thdy dieu ngupc lai, cac nude phat trien, nhu Td chiic Hpp tac va Phat triin Kinh ti (OECD), du cd miic dp dich chuyen vdn cao nhung tuong quan tiet kiem - dau tu vdn d miic cao, trong khi cdc qudc gia dang phat trien cd miic tuang quan tiet kiem - dau tu d miic thap han. Nghien ciiu cua Feldstein va Horioka (1980) udc lupng tuong quan tiet kiem - dau tu su dung sd lieu ciia 21 nude OECD giai doan 1960 - 1974 di do ludng miic dp dich chuyen vdn d cac nude OECD, ket qua cho thdy mdi tuong quan d miic cao (gan vdi 1). Rat nhieu nghien ciiu sau dd dua tren tiep can cua Feldstein - Horioka vdi cdc nude phat trien ciing cho kit qua tuong tu (Murphy, 1984; Bayoumi, 1991; Feldstein vd Bacchetta, 1991...).
Trong khi nghien ciiu doi vdi cac nude dang phat trien cho thay tuong quan d miic dp yeu hon (gan vdi 0) (Dooley va cgng su, 1997; Vamvakidis va Wacziarg, 1998).
[2] Miic dp phat trien cua thi trudng tai chinh
Miic dp phdt trien cua thi trudng tai chinh diu co tac ddng tdi hanh vi tiet kiem
va ddu tu. Thdng qua viec thuc hi^n cac chiic nang trung gian thanh toan, trung gian tai chmh vd quan ly riii ro, tdi chinh cd vai trd khuyin khich tiit kiem. Su ra ddi vd phat triin cua he thdng tai cliinh vdi chuc nang tap hop vd luu chuyen ngudn luc tu noi thua sang noi thieu se cho phep cac nha diu tu thda man duoc nhu ciu ngudn ly^c hieu qua hem. Day chinh la diiu kien can trong viec thuc hien cdc hoat dpng dau tu.
Vdi nhiiu ca hdi hon cho cac khoan tich luy va vdi miic dp an toan, tinh thanh khodn cao han, he thdng tai chinh se cd vai trd tich cue trong viec khuySn khich tiet Idem (Nguyin Thi Mui, 2009). Muc dich chinh cua cac cai cdch tai chinh la gia tang dp sau tai chinh, nang cao tinh hieu qua ciia he thing tai chinh vd md rdng cac loai hinh tiet kiem san cd, qua do khuyen khich tiet kiem. Theo Romer (1986), Lucas (1988) va Rebelo (1991), miic dp phat triSn tdi chinh cd khuynh hudng thiic day dau tu. Nhieu nghien ciiu thuc nghiem ciing cho thay tac ddng cua miic dp phat trien cua thi trudng tai chinh tdi mdi quan he tiet kiem - dau tu tai cac qudc gia dang phdt tri§n. Ito vd Chinn (2007) chi ra rang, viec tang quy md cua thi trudng tai chinh 1dm tang khoang cdch giiia tiet kiem va dau tu tai cac qudc gia dang phat trien, trong khi thu hep khoang cdch giiia tiet kiem va ddu tu tai cdc qudc gia cdng nghiep. Ito vd Chinn (2007) da kiem dinh ddi vdi su phat triin cua ca thi trudng ngan hang, thi trudng vin tren cdc khia canh quy md, he thing luat phap va thi chi, vdi hai nhdm qudc gia dang phat trien vd phdt triin. Kit qua la, ddi vdi cac quic gia dang phat triin, thi trudng tai chinh canh tranh han cd xu hudng dan tdi khodng each tiit kiem va dau tu cao han vd su phat triin cua thi
16
Kinh te tai chinh Viet Nam / So 3 - Thang 6/2020trudng tai chinh cd tdc dpng dang ke tdi hanh vi tiit ki|m - dau tu.
2. Tac ddng cua thj tru'dng tai chinh tdi mdii quan he tiet kiem - dau tu* tai Viet Nam
Mo hinh va phteffng phdp ddnh gid tdc ddng
Nghien ciiu nay danh gia tac dpng cua miic dp hoi nhap va phat trien cua thi trudng tai chinh tdi mdi quan hS tiit kiem - diu tu t^i Viet Nam bdng phuang phap phan tich djnh lupng tigp c|to mo hinh phan phii tie tu hdi quy (ARDL) dupe de xuat bdi Pesaran, Shin va Smith (1996). De do ludng miic dp hpi nhap ciia thi trudng tdi chinh, nghien cuu su dung chi sd KAOPEN. De do ludng miic dd phdt tridn ciia thi trudng tai chinh, nghien ciiu str dung chi sd phat trien thi trudng tdi chinh ciia Quy TiSn te Thi gioi (IMF). Ngoai ra, nghiSn ciiu sur dung th8m biin kiim sodt Id thu nhdp do miic dd phd biin cua viec sir dung bi6n thu nhdp trong hau het cac nghien ciiu thuc nghiem ve mdi quan he tiet Idem - ddu tu. Phuang trinh hdi quy sii dung bi8n gid PERIOD cho giai doan 2011 - 2018 do dien bien ngupfc chieu cua ty le ddu tu tren tiet kif m cua giai doan ndy so vdi giai doan trudc do. Cy the cdc bien sii dung nhu sau;
[1] Quan he tiSt ki^m ddu tu (ISRATIO); Duac do bang ty le quy md ddu tu tren quy md tiet ki?m. Quy md dau tu dupe xac dinh bang ty le vdn qudc gia tren GDP. Cach do ludng nay dupe su dung trong nhieu nghien ciiu ve quan he tiet kiem - dau tu trong thdi gian gin day nhu Tehranchian va Behravesh (2011). Quy md tiet kifm dugc do ludng bang ty le tiet ki?m tren GDP. Cdch do ludng nay dupe su dung trong nhieu nghiSn cihi ve quan he
det kipm - diu tu nhu Pavelescu (2008), Tehranchian vd Behravesh (2011). Khi tS/
le quy mo diu tu tren tiit ki?m Idn han 100%, nghia la ty le diu tu teen GDP dang cao hem ty le tiit kiem ndi dia tr^n GDP.
Ngupc lai, khi gia tri biin nay nhd hem 100% nghia la ty le dau tu dang nhd hem tiit kiem noi dia. Ty le quy md diu tu teen quy md tiit ki?m cdng nhd han hoac cdng Idn han 100% phan dnh khoang each ch6nh l^ch cang Idn giiia tiit kiem va diu tu. Ty 1$ quy md ddu tu teSn quy md tiit ki$m cdng gan 100% phan dnh mdi quan he tiit kiem - dau tu can ddi hon. Bien phdp do ludng nay ciing dupe sii dung trong mdt sd nghien ciiu thuc nghiem ve quan h? tiet kiem - dau tu teong nen kinh te md nhu Pavelescu (2008).
[2] Thu nhap (INC): Do bang tang trudng GDP binh quan ddu ngudi.
[3] Mtic dp hpi nhap tai chinh (BCAOPEN): Chinn va Ito (2005) da xdy dung bp chi sd vi tu do tdi chinh d\ra tten bao cao hang nam ve co che ty gia va nhiing h^n chi ngoai hdi (AREAER) do IMF phat hanh vd thudng xuyen cdp nhat.
Chi sd KAOPEN dugc xay dung dua tten 4 bien gid gdm: kl phan dnh su hipn hiiu ciia chi dp da ty gia; k2 phdn anh han chi trong giao dich vang lai; sharek3, trung binh teong 5 nam cua k3 la biin phan anh han chi trong giao dich vdn; k4 phan anh yeu ciu phdi ban lai ngoai te tii ngudn thu xuit khiu. Biin kl, k2, k4 diu anh hudng tdi k3, do dd chi sd KAOPEN dupe tinh todn dua teen ca 4 biin thay vi chi sir dung k3. Chi sd KAOPEN dat gia tri cdng cao till dp md TKV cang cao. KAOPEN dat gid tri 1 biiu thi qudc gia ter do hda TKV hoan todn, KAOPEN dat gia hi 0 biiu thi qudc gia kiim sodt vdn hodn toan. So vdi chi sd QUINN, chi sd KAOPEN phdn anh diy du Kinh te tai chinh Vi?t Nam / So 3 - Thang 6/2020
17
hon cdc chinh sach lien quan tdi giao dich vdn, cd anh hudng tdi giao dich vdn. Do dd, chi sd KAOPEN khdng chi phdn dnh miic dp kiim sodt vdn ma van bao ham ca cac ludng tien vdo va ra khdi lanh thd qudc gia. Chi si ndy ciing thudng xuyen dupe cap nhdt, cd thdng sd cho 182 qudc gia teen the gidi teong giai doan 1970 - 2015.
Nhiing uru diim teen lam cho chi sd KAOPEN dupe sii dung phd bien teong nhieu nghien ciiu gan day cd hen quan tdi hdi nhap tdi chinh.
[5] Chi sd phat triin tai chinh (FDM va FDI): Do ludng bang chi sd phdt trien cua td
chiic tai chinh (FDI) va chi sd phat triin ciia thi trudng tdi chmh (FDM). Nhdm chuyen gia ciia IMF (2015f da xay dung mpt bd chi sd tdng quat cho phat triin tai chinh, bao gdm 9 chi sd khai quat vi 3 khia canh cua cac trung gian tai chinh vd thi trudng tai chinh (dd sau, khd nang tiep can vd hieu qud). Bd chi sd dupe dp dung cho 183 qudc gia trong gian doan 1980 - 2018, cung cip cdng cu phdn tich huu ich cho cdc nha nghien ciiu vd cdc nha lam chinh sach. Theo dd, chi sd tdng quat dupe xay dung dua tten 2 chi sd thdnh phan gdm: Chi so thi trudng tai chinh va chi sd trung gian tai chinh.
Hinh 2. C4u true chi s6 phdt triin tM chinh tSng qn&t
Chi so phat trien tai chmh t o n g quat (FD)
Chi so trung gian tai chinh (FI)
Chi so dp sau trung gian tai
dii'nh (FID)
Chi so khi nang
tiep can trung gian tai
difnh (FIA)
Oil so hieu qui dia trung
gian tai chmh
(FIE)
Chi so thi tnrdrng tai chmh (FM)
Oil so dg sau thj tnrcrng tai dii'nh (FMD)
Chi so kha nang tiep c^n
thi tnrong tai chinh (FMA)
Chi so hieu qui thi tnrofng tai chinh (FME)
[6] Bien gia giai doan (PERIOD):
PERIOD la biln gia cho giai doan 2011- 2018. Trong giai doan nay co su dao chiSu trong quan he tiet kiem - d4u tu tai Viet Nam so voi truac do. Tu nam 2002 - 2010, ty le dau tu luon cao hon ty le tiet kiem, thi hien a ty le dau tu tren GDP cao hon 100%.
Nguon: Tong hpp tirMF (2015) Tuy nhien, tCr nam 2011 toi nay (ngoai trii nam 2015), ty le dju tu luon thjp hem ty le ty kiem. Biln gia dugc them vao dl kilm tra su anh huong cua tinh giai doan toi can dli tiet kiem - diu tu.
So lieu su dung trong nghien ciiu nay la chu6i so lieu theo nam, tCr nam 1996 - 2018
2 IMF (2015), Rethinking Financial Deepening: Stability and Growth In Emerging Markets.
I O I Kinh re tai chinh Viet Nam / So 3 - Thang 6/2020
Hinh 3. Ty If d i u tir tr6n tiet kifm cua Vift Nam
-•TSng tnrdng GDP (growgdp)
•—T^ 1$ d^u tir tr€n tilt ki$m (ratiogcfgds)
Nguon: Tdc gid tong hpp tie die lieu ciia Ngan hdng The gioi (WB) tuong ling vdi 23 quan sat. Ngudn sd U?u ctia
cac biin lien quan tdi tiet kiem, dau tu dupe lay tu cac chi sd ttong He thdng thanh todn quoc gia va dupe cdng bd bdi WB. Cac so liSu vi md khde dupe lay ttr nguon dii lieu ciia WB Id Bd Chi s6 phdt triSn thi gidi vd tir IMF la Bp Chi sd phat trien tai chinh qudc gia.
Nghien ciiu nay s^ dung phuang phdp phan tich dinh lupng tiep c | n md hmh phdn phdi tte tu hoi quy (ARDL) duoc de xuat bdi Pesaran, Shin vd Smith (1996) do nhiing uu diSm ciia md hinh phu hpp vdi dac diem du lieu cua nghien ciiu ndy. Theo Pesaran & Pesaran (1997), trong trudng hop nghien eiiu sii dung sd luang man nhd nhu ttong nghien ciiu nay (25 - 26 quan sat), phuong phap ARDL la each tiep can cd y nghia thdng ke han de kiem dinh tinh ddng lien ket. Trong khi do, ky thudt ddng lien ket ciia Johansen yen cau sd man Idn han de dat dupfc dp tin cay. Ben canh dd, ket qua kiem dinh nghiem dan vi cho thdy, cac bien khong cd cung bdc tich hpp. Trong khi biSn ISRATIO, FDI, FDM, cd bac tich hop bdng 0 tiii bian INC, KAOPEN cd bac tich hpp bang 1. Theo Pesaran va Shin
(1996), Hamuda va edng su (2013), Mehrara va Musai (2011), trong trudng hpfp cdc bien khdng cung miic lien ket 1(1) vd 1(0) nhu thS nay, thi dp dung md hinh ARDL Id thich hop nhdt cho nghien ciiu thyc nghi6m. Mdt sd uu diem khde ciia phuang phap ARDL phu hprp vdi nghien cuu nay nhu: Cdc b i i n giai thich khdng nhdt thiit phai la bien ngoai sinh (Pesaran va Shm, 1997). Phuang phdp hdi quy nay cho phep phan tich mdi quan he ttong ngdn han va dai han cua biin doc lap va biin phu thudc bdng phucmg phdp OLS hoac ARDL vdi dp tte phii hop.
Gid t n t h i n g ke ciia cac biin dupe thi hien nhu sau: (xem bdng 1 trang 20)
Tinh dung ciia chudi sd lieu trong nghien ciiu nay dupe k i i m dinh thdng qua k i i m dinh nghiem dan vi, sii dung kiem djnh Dickey vd Fuller md rdng (ADF) dupe xay dung bdi Dickey va Fuller (1981). Tac gia su dung phdn mem STATA 14 d i thuc hien kiim dinh ADF.
K i t qua thu dupe cho thdy cac bien khdng cd ciing bdc tich hpp. Trong khi cac biin ISRATIO, FDI, FDM, INC cd bdc tich Kinh le tai chinh Viet Nam / So 3 - Thang 6/2020
19
Bang 1. Gia tri thing ke cua cac bien Variable |
rrforinv | inc 1
kaopen |
p e r i o d 1 Obs
29 28 28 29
Mean 1 1 4 . 0 9 7 2 5 . 5 7 6 5 7 9 5.552514 .2375109 .3003733 .1779245 .3103448
S t d . Dev.
2 8 . 7 1 4 7 1 3 . 0 2 6 5 0 2 1.138704 . 1 4 4 8 7 4 6 . 1 0 3 4 5 0 1 . 0 8 4 3 9 9 1 . 4 7 0 8 2 3 6
82
3 . Min . 0 5 0 7 8 0 213332 0 0 0 0
Max 1 8 8 . 3 5 7 8
7 . 7 5 8 7 4 8
.4074054
Ngudn: Tac gid tinh toan vd tdng hpp bang phdn mim STATA verI4
hop bang 0 thi cac bien con lai, gom KAOPEN va PERIOD c6 bac tich hop bang 1. Theo Pesaran va Shin (1996), Hamuda va cong su (2013), Mehrara va
Musai (2011), cac biSn khong cimg miic lien ket 1(1) hoac 1(0) thi ap dyng thu tuc ARDL la thich hgp nhit cho nghien ciiu thuc nghifm.
Bang 2. Kit qua kiim tra tinh dimg cua cliuoi s6 li^u bang phirtmg phap kiem d|nta ADF r"- -
srr
1 2 3 4 5 6
Biln
ISRATIO KAOPEN FDI FDM
mc
PERIOD D$tre
3 I 3 1 2 I
Kilm dinh ADF (GidtriOt^ngiazm ChuSi g6c
C6xu thi -2.817 -2.333
^.11 -2.93 -3.122 -1938
Khdng cdxu the -2.600 -1.417
-3.278 -2.729 -0.599
Khdng c6xu hSng si
0.5100
0.000
Chu3i sal phSn b | c 1
C6xfl thi
-3.764
-3.614 Kh&ng
cdxB thi
p-value
0.0931 0 0185 0.0061 0.0159 0.0692 0 0287
nghia
10 5 1 5 10 5
B | c tich h9p
1(0) 1(1) 1(0) 1(0) 1(0) 1(1) Ngudn: Tdc gia tinh todn vd tdng hpp bdng phdn mim STATA verl4
Phuong trmh h6i quy voi biSn phu thuoc la ty le quy mo diu tu tren quy m6 life kiem:
AISRATIO, = + S p ; 0ji AKAOPENj., + J^^^ 0^^ AFDI,_k + 2[L'; 0,3 AFDM,_, + I B " D 0 » 4 A I N C , _ „ + aiiKAOPEN,,i+ oi^FDI,.!+ 0)3FDM,_i + (o^INC,,! + E / ^ ^
Gia thuyet ki8m dinh: HO: (o^ = ojj = (03 = (O4 = 0 (Khong ton tai m6i quan he d6ng lien kit giua cac bien)
Giathuy&Hl: (Ui * 0; Uj * 0;o)3 * 0 ; M 4 * 0 (T6n tai m6i quan h$ d5ng lien kit giiia cac bien)
2 0 I Kinh te tai chinh Vi$t N a m / S o 3 - T h i n g 6/2020
K8t qua kiem dinh duong bao cho thSy trong mo hinh, gia tri thdng kS F Ion hon gia tri gidi h ^ duong bao tren ting vai miic y nghia 5%. Nhu vay co thi bac bo gia thuyet HO, chip nh^n gia thuyit HI:
Ton tai m6i quan he ddng lien kit giOa biln phu thupc va cac biln giai thich, hay ndi each khac la tdn tai mli quan he dai han giiia bien phu thuoc va cac biln giai thich trong mo hmh nghien ciiu.
Bing 3. Kit qui idim ajnh duimg bag
Biii Plw thn^
ISRATIO B(c tich' hw : Ciia
biin Phjj
1(0) b|c
k^
4 GUtri
th6ng IttF
F-
^Btatistic
3.19
" ^ • • ^ ' " ' ^
Gii tri gi« h ^ ciia cicdiitog bw r theo NaraytD (2005) "
90%
.1(0)
2.75 1(1).
3.99
«%
1(0)
3.35 1(1)
4.77
' 99%
I(!»)
4.77 Kl) .
6.67 Klt,li4ii
ChlpohSn giS thuyit Ho. Si dyng ARDL (shoit-nm model) Nguon: Tdc gid tinh todn vd tdng hpp bdng phin mim STATA ver 14 Ket qua mo hinh
Bang 4 trinh bay kit qua uac lugng cua phuong trinh (1) voi biln phy thupc la ty le quy mo d4u tu tren tilt kiem bSng phuong phap uac luong ARDL. Trong do, cac udc lugfng he s6 dai han cua mo hinh duoc boi dam va in nghieng, cac uac lugng
he so dai han tu mo hinh hieu chinh sai s6 (ECM) dira tren each tiip can ARDL vai cac do tre duoc lua chon {neu ap dung) khong thay d6i dinh dang.
Quan sat cho Ihay, cac yeu to chi s6 hoi nhap tai chinh, chi so phat triln thi truong tai chinh, chi so phat trien to chiic tai chinh va thu nhap bmh quan diu ngucd d6u co tac B&ng 4. Kit qud uo'C luvng
l ^ l i n p h v i h n O c
ISRATIO
Biin giii thich
Ll.ISRATIO KAOPEN LI .KAOPEN INC FDI FDM PERIOD
Coet
0.45 224.89 -209.02 10.20 -124.27 72.66 5.31
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0.18 75.10 73.16 4.43 111.91 63.96 18.45
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2.48 2.99 -2.86 2.30 -1.11 I.I4 0.29
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0.02 0.01 0.01 0.03 0.28 0.27 0.78 Nguon: Tinh todn cda tdc gid bang phin mem STATA ver 14 Kinh te tii chinh Vi^t Nam / So 3 - Thang 6/2020 2 1
dpng dai han toi can doi tiet Idem - dSu tu cua quoc gia. Cu the:
[1] Chi s6 hpi nhap tai chinh co tac dpng cung chieu doi vai ty le quy mo dau tu tren quy mo tilt kiem qu6c gia. Khi tang chi s6 hpi nhap tai chinh them 0,01 va cac yiu t6 khac khong thay doi, se lam cho ty le diu tu tren tilt kiem qu6c gia tang 2,24%
{a muc y nghia thing ke 1%). Mat khac, chi so hoi nhap tai chinh ciing co tac dong ngupc chilu tai ty le dau tu tren tiet kiem voi dp tri la 1 nam. Khi tang chi so hpi nhap tai chinh them 0,01 va cac yeu to khac khong thay doi, se lam cho ty le dau tu tren tilt kiem qu6c gia giam 2,09% vai tac dpng tri 1 ky (6 miic y nghia thong ke 1%).
[2] Chi so phat trien thi tnrong tai chinh tang gay tac dpng tang len ty le dau tu tren tiet kiem. Khi chi so phat trien thi truong tai chinh tang 0,1 diem, ty le dau tu tren tiet kiem tang 7,27% (khong c6 y nghia thing ke a muc 10%).
[3] Tac dpng ciia chi s6 phat triln t6 chuc tai chinh doi vai ty le dSu tu tren tiet ki^m quoc gia, tu nhm va chinh phu la khong dang ke 6 miic Ihong ke 10%. Khi chi so phat trien to chiic tai chinh tang 0,1 diem, ty le dSu tu tren tiet kiem giam 12,43%
(khong CO y nghia thong ke a miic 10%).
[4] Thu nhap binh quan diu nguoi tang lam tang ty le dau tu tren tiet Idem. Khi thu nhap binh quan dau nguoi tang 1% va cac yeu to khac khong thay doi, ty le dSu tu tren tiet kiem tang 10,20% (co y nghia thong ke o miic 5%).
[5] LTOC luong he so cua biln gia PERIOD cho thay trong giai doan 2010 - 2018, ty le dau tu tren tiet Idem da tang so vai giai doan tnrac.
Cac Idem dinh chan doan: Cac Idem dinh dupe thong qua nhu kiem dinh Wald,
kiem dinh dang sai mo hinh thong qua kilm dinh RESET cua Ramsey, kilm dinh Larange multiplier de kiem tra tinh ty tuong quan, kiem dinh phuang sai sai so thay dli. Kit qua kilm dinh cho thiy, mo hinh sii dimg trong nghien ciiu khong co loi phuong sai khong dong nhat, tu tuong quan va phin I6i theo phan phoi chuan.
Ngoai ra, kilm dinh phin du: Tong tich liiy cua phin du (CUSUM) va ting tich luy hieu chmh cua phin du (CUSUMSQ) cung dupe thuc hien. Kit qua cho thiy, CUSUM va CUSMSQ diu n§m trong dai tieu chuin ling voi miic y nghia 5% nen co the ket luan phan du cua mo hinb co tinh on dinh va vi the mo hinb la on dinh.
Kit qua hoi quy cho thay cac yeu to chi so hpi nhap tai chinh, chi so phat trien thi truong tai chinh, chi so phat trien dinh che tai chinh deu co tac dpng toi quan he tiet kiem - dau tu ciia quoc gia trong dai han.
3. Ham y chinh sach tu' tac dong cua thi tru'dng tai chinh tdi moi quan he tiet kiem - dau tu* tai Viet Nam
Ket qua mo hmb cho thay, hpi nhap tai chinh sau rpng hon, dac biet la thuc hien tu do hoa dong von va phat triln tit hon thi truong tai chinh va dinh chi tai chinh, se giiip tang ty le diu tu tren tilt kiem tai Yiet Nam.
Ty le dau tu tren tiet kiem noi dia cua Viet Nam la 94,74% vao nam 2018, thip han 100%, so vai giai doan mot thap ky tnroc. Dien bien dao chilu nay la do trong giai doan 2011 - 2018, tic dp giam cua ty le diu tu tren GDP giam nhanh hon tic do giam ciia ty le tiet kiem tren GDP. Ty le diu tu tren GDP cuoi nam 2018 la 27,47%
giam 8,22 dilm phin tram so voi culi nam 2010, tucmg ling miic giam trung bmh 0,91
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Kinh te tai chfnh Vi?t Nam / So 3 - Thang 6/2020dilm phin tram tren nam trong ca giai d o ^ . Trong khi do, ty le tilt kiem tren GDP cuoi nam 2018 la 28,99%, giam 2,99 dilm phan tram so vdi cu6i nam 2010, tuong ling miic giam trung binh 0,32 dilm phin tram/nam trong ca giai doan. Trong giai doan 2000 - 2009, viec gia nhap T6 chiic Thuong mai Thi gioi (WTO) da danh diu buac nhay vpt trong h0i nhap kinh te tM chinh Viet Nam, dong thoi ghi rihan sir gia tang nhanh c^a dong von vao Viet Nam va tang len ciia ty le dau tu trSn GDP.
Trong giai doan 2000 - 2009, ty 1? diu tu tren GDP tang voi toe dp tang 0,76 diem phan tram/nam du ty le tiet kiem gi^m 1,68 diem phan tram, tii 32,34% vao nam 2000 xuong con 30,66% vao nam 2009, tuong ling miic giam 0,17 diem phSn tram/nam.
Nhu v^y trong giai doan toi, de can d6i tot hon giiia tiet Idem va dau tu noi dia, tai Viet Nam cin tang ty le diu tu tren tilt kiem noi dia. De dat dupe muc tiSu nay, vi?c huy dpng hieu qua han cac nguin luc trong nuac la dieu can thiet. Trong cac giai phap, viec thiic diy thi truong tai chinh phat trien dupe coi la mot trong cac bi^n phap quan trpng. Mot trong sau nhiem vy cu the ciia Chien lupc Tai chinh giai doan 2010 - 2020 (theo Quylt dinh s6 450/C^-TTg ngay 18/4/2012 ciia Thii tuong Chmh phu vl viec phe duyet Chiln lupc Tai chmh din nam 2020) la "tiep tuc xu ly tit mli quan h? giira tich liiy va tieu dung, giiia tilt kiem va dau tu; c6 chmh sach khuyin khich tang tich liiy cho diu tu phat triln, huong din tieu dung; thu hut hpp ly cac nguin luc xa hpi de tip trung dau tu cho ha tang kinh tS - xa hpi, nang cao chat lupng nguon nhan lye, tao tiln dl diy manh co ciu lai nen kinh tl vd dli mai mo hinh tang trudng; ty trpng diu tu toan xa hpi giai
doan 2011 - 2015 khoang 33,5 - 35%
GDP". Doi voi giai doan 2021 ~ 2030, nhiem vu nay nen tilp tyc dupe duy tri trong Chien lupc Tai chmh.
Viec tang cuong h6i nhap tai chinh c6 the giup tang ty le diu hi tren tilt kiem, tuy nhien Viet Nam dang co dp ma kmh tl Ion, trong khi khoang each tilt kiem noi dia va nhu cau dau tu cao, vi$c phy thupc Ion vao nguin lye nuac ngoai se lam cho nin kinh tl dl bi ton thuang hon truac bli canh kinh te toan cau dang dien biln phiic tap. Tinh din hit nam 2019, Viet Nam da tham gia dam phan va ky ket 17 hiep dinh thuong mai tu do (FTA), h-ong d6 co 13 FTA da ky kit va di vao hieu luc, 1 FTA da ky kit va cho phe chuin (Hiep dinh Thuong mai ty do Viet Nam va EU - EVFTA), 3 FTA dang d ^ phan. Cac FTA nay da dua Viet Nam tro thanh nen kinh te co dp mo Ion va c6 quan he thuong mai voi 230 thi trucmg. Nen kinh te Viet Nam phy thupc Ion vao dau tu tryc tiep nuoc ngoai, chi6m toi 25% GDP, 75% gia tri xuat khau. Do do, de tang cuong h6i nhap tai chinh dem lai tac dpng tich cue, dac biet de tu do hoa giao dich von dem lai nhieu ich loi han vao can doi tiet ki^m, dau tu, khuyin khich tang tnrong kinh tl, doi hoi each tilp can phai bao quat va hai hoa hon trong xay dyng, thuc thi chinh sach va tao lap moi trucmg dau tu.
Ddi voi phat trien thi truong tai chinh, kit qua nghien ciiu thyc nghiem goi y ring sy phat triln tit han ciia thi truong tai chinh va cac dinh che tai chinh se giiip can dli mli lien kit giiia tilt kiem va diu hi noi dia tai Viet Nam trong giai doan toi. Do do trong tuong lai, viec thiic diy phat trien thi truong tai chinh la mot h-ong cac bien phap quan trpng dl can dli tilt kiem - dau tu, dac biet la huy dong nguon luc noi tai
Kinh te tai chinh Vi^t Nam / So 3 - Thang 6/2020
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cua quoc gia. Ben canh do, khi tiep tyc day manh ty do hoa giao dich von, cac nha hoach dinh chinh sach nen bao dam rang he thong tai chinh trong nu6c co the hap thu duoc cac dong von nuoc ngoai mot each CO hi?u qua. Cac nghien ciiu vl phat triln thi truong tai chinh chi ra rang nhirng vin dl cin lim y trong thiic diy phat triln thi tnrang tai chinh tai Viet Nam gdm: (i) Chii trpng phat trien dp sau hon la theo chilu rpng; (ii) Phat trien can doi, can bang thi truong vln va thi truong tien te tren thi truong tai chinh; (iii) Thi truong tai chinh Vi?t Nam ciing phai phat triln tuong xiing, tilp tyc huong toi hai hoa hon vl cau tnic;
(iv) Thi truong tai chinh cin dupe v^n hanh theo cac thong le quIc tl, phdt triln an t o ^ lanh manh, tra thanh k^nh huy dpng, din vln hi?u qua cho nen kinh te. C ^ giai phap cy the gom:
[1] cin tilp tyc hoan thien hdnh lang phap ly theo huong tao dieu ki$n cho cac nha diu tu quIc tl tham gia dau tu manh me hon vao liti trudng chiing khoan (TTCK) Vi$t Nam. Tren thyc tl, kha nang thim thiu vln diu tu gian tiep cua khii cac doanh nghiep nha nuoc duoc co phan hoa con rat mong trong khi day lai la khu vyc CO tilm nang nhit. Vi the, muon tang kha nang hap thy nguon von dau tu tu nuoc ngoai nham phyc vy phat trien TTCK ciing nhu nin kinh te, can phai day nhanh tiln trinh co phan hoa cac doanh nghiep Ion.
Song song voi viec day nhanh tien trmh co phin hoa, can phai c6 bien phap thiic diy cac doanh nghiep co phan niem yet tren san giao dich va phat trien hoat dpng giao dich thu cip tren TTCK Viet Nam. Tilp tyc sua dli, hoan thien khung phap ly doi voi hoat dpng kinh doaiih bao hiem, tang hieu qua hoat dpng cac loai hinh bao hiem, triln khai rpng rai bao hiem san xuat nong
nghiep, thuc diy phat triln san pham bao hilm mdi (bao hilm duong lao, bao hiem trpn doi...), kenh phan phii mei, khuyen khich doanh nghi$p diu tu phat tri^n he thing cong nghe hien dai dl tilp can rpng han tdi ngudi dan, tdi cac dia ban va cac thi trudng ngdch. Tilp tyc ra sodt, sura doi vd hodn thi|n khuon khi phap luat ve ca ciu lai cdc t l chiic tm dung, xii !y cac to chiic tm dyng yiu kem vd xii 1^ np xau.
Nghien ciiu dl luat hda viec cho ph6p cac ngan hang nho, np xiu cao va khdng cd dnh hudng Idn din thi hudng tai chinh dupe phd sdn. Khuon khi phap ly cho thi trudng tai chmh cin hudng tdi tang ty do hda cua thi trudng. Ty do hda hogt dpng thi tnrdng theo hudng loai bd bdt cac dieu ki$n tilp can thi trudng, cho phep cac to chiic doanh nghiep de dang tiep can thi trudng hem. Tiep tyc thu hiit von dau tu gidn tilp nude ngodi, trong do cd cdc gidi phap nhu phdn dau cdi cdch he thong tiie chi va giai phap ky thuat de dap ling cac tieu chi xep hang TTCK ciia to chiic MSCI, nhat Id cdc tiSu chi vS miic dp tiep c$n thi trudng ddi vdi nhd dau tu nude ngodi. Ben canh do, tiep tyc hoan thien khung phdp ly cdc quy dinh hudng dan viec triSn khai cdc logi hinh quy dau tu chuyen biet, gdp phdn xa hpi hda nguon lye diu tu xa hpi nhu:
Quy Dau tu co sd ha ting, Quy Diu tu nang lupng, Quy Diu tu bat dpng sdn, Quy Dau tu mao hiem...
[2] Tilp tyc thyc hi?n cac giai phdp vl CO cau thi trudng tai chinh. Ddi vdi TTCK, chii h-png tang cung cho TTCK thong qua cdc giai phap: Tilp tyc diy manh cong tac cd phin hda, thodi vln cua cac doanh nghiep nha nude gan vdi viec niem yit va dang ky giao dich; da dang hda cac sdn pham chiing khoan, cac sdn phim lien kit
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Kinh te tai chinh Vi$t Nam / So 3 - Thang 6/2020diu tu, sdn p h ^ co ciu; phdt triln cdc sdn phim phdi sinh theo 10 trinh tu dcm gidn den phiic tgp, bdo ddm khd nang quan ly giam sat riii ro tren thj tnrdng; phdt triln them cac chi si co sd de 1dm tdi sdn co sd cho phai sinh; trien khai cdc san pham chiing khodn phai sinh khde nhu hpp ddng tuong lai tren mot si chi so mdi vd hpp ding tucmg lai trdi phieu chinh phii. Day nhanh viSc hpp nhat hai sd giao dich chiing khoan Vi$t Nam theo nguyen tac thing nhit vl n ^ tdng cdng ngh$; chuan hda tieu chi niem yet, che dp bdo cdo, cdng bl Mng tin, tieu chuan ve thdnh vien vd giao dich...; phan tach va chuyen biet hda thi tnrdng theo hang hda giao dich, bao gdm mot san giao dich co philu va mpt sdn giao djch Irdi phieu, chiing khoan phai sinh. Ben c?nh do, de tang cudng tinh ty chu va quan ly den tii chinh thi trudng, gidm chi phi qudn ly cua phia dieu hdnh vT md, c ^ cdng nh|n vai tro ty qudn ciia Hi?p hpi Kinh doanh Chiing khoan Vi?t Nam (VASB) dl phu hop vdi thdng Ip qudc tl. Tang cudng minh bach hda hon niia qud trinh va chit lupng cdng bd thdng tin ciia cdc cdng ty niem yet.
Ddi vdi thi trudng bdo hiem, can td chiic ddnh gia, phan loai doanh nghiep bdo hiem (DNBH) vd thyc hi|n cdc gidi phdp tai cau tnic mdt cdch todn di$n vd phu hpp tiing DNBH. Cdc DNBH cin phdt triln theo hudng bdo dam nang lye tai chinh vung manh, nang lye qudn tri dieu hanh dat chuan myc qudc te, hoat ddng hi?u qua, bao dam khd nang canh tranh trong bdi canh hpi nhap. Ding thdi, cdc DNBH cin xdy dung chiln lupc phdt ttiln lau dai, nhdt la tang cudng nang luc qudn tri vd hoat dong cd ve miic dd an todn tai chinh, qudn tri dupe cdc riii ro doanh nghiep, minh
bach hda dupe cdc thdng tin quan ttrpng vl khd nang thanh toan va tinh hinh tai chmh.
[3] Tiep tyc phat triln va diy mfmh cdc quy dinh, lu^t phap tang cudng gidm sdt thi trudng nham dam bao tmh cdng khai, minh b^ch, an todn vd bao ve nhd diu tu trong bdi canh TTCK phdt triln ngdy cdng da dEuig, phiic tap. Kinh nghiem qudc tl cho thdy, kiem sodt rui ro bao gdm nii ro cd thi vd rui ro tdng thi toan thi trudng va toan hf thdng tai chinh c6 vai hd rit quan trpng.
D I 1dm tdt npi dung ndy, Uy ban Chiing khodn Nhd nude (UBCKNN) cin hodn thien h? thing chi tieu gidm sdt, ddng thdi tang cudng phdi ket hpp vdi cac co quan quan ly, gidm sdt khac nhu Ngan hang Nhd nude Vi?t Nam, Uy ban Gidm sdt tai chinh Qudc gia vd cac co quan qudn ly, gidm sdt khde. BSn canh giam sat tuan thii, UBCKNN can day manh npi dung giam sat rui ro, bao gom cd ndi dung giam sdt rui ro vT md (cho cd h^ thdng) va gidm sdt nii ro vi md (cho tiing td chiic tdi chinh). Cdc md hinh phdn tich, dy bao, kiem dinh ciia ca h | thing vd cho tung td chiic tai chinh can dupe lya chpn vd xay dyng phii hpp. Ddi vdi cac ngan hdng, can chu dpng trong tiep can va triln khai Basel II. Cac ngan hdng trong nude cd the chii dpng lya chpn cdc dli tdc qudc te, cdc cdng ty kiem todn, cdng ty cdng nghe, nhi6u kinh nghifm trong ITnh vyc nay dl hd trp ngan hdng trong giai doan chuan bi cho Basel. Ve mat xay dyng co sd ha tang tdi chinh ddnh cho CO quan qudn ly vd cac ngan hang, can tdp trung hda co sd dii lieu thdng tin, tao co sd ha ting tdi chuih cho viec ling dyng cdng nghe, hinh thdnh cdc td chiic xIp hang tin nhiem ddc lap cd dii dieu kien de xIp hang doanh nghifp, khdch hang vay. Ngan hang Nha nude cin phai nang cao hi?u qud cdng tdc thanh tra, kilm sodt, giam sdt hoat ddng
cua cdc ngan hdng ©
Kinh t^ tai chi'nh Viet Nam / So 3 - Thang 6/2020
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Tai lieu tiiam i(iiao_
Tieng Viet
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3. Nguyen Viet Loi (2016), Mdt so van He ve lihuyen lihich tiet Idem tU nhan d cac ni/dc va bai hgc Ifinh nghiem cho Viit Nam, Hoi thao "Tiet l<iem - Oau tU - Tieu dung" Vien Chien lifOc ngan hang, Ha Noi, thang 10/2016.
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Tieng Anh
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Reviving the Life Cycle Hypothesis, Economics Research Unit; University of Pennsylvania: Philadelphia.
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2 6 I Kinh te tai chinh Viet Nam/So 3-Thang 6/2020
Tai ii^u tiiam Idiao
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Kinh te tai chinh Vi$t Nam / So 3 - Thing 6/2020
