Ty gia hoi doai va cac thirdfc do dao dong ty gia hoi doai
va THI HGYgN TRANG"
Torn t a t
Bai vie't tdng hpp cdc nghien cdu td trudc den nay lien quan den dao dong ty gid dedua ra cdc thudc do dao dong ty gid hdi dodi vdphdn tich cdc thudc do do, giup cdc nhd nghien cdu co cdi nhin tong quan.vd co duac siC lUa chon thudc do biin ddng ty gid cho phii hap. Ve thuc nghiim, nghiin ctiu sH dung sd lieu vi tj gid thuc da phUOng cua Viet Nam theo thdng trong giai dogn tic ndm 2000 di'n ndm 2017 vd svC dting md hinh GARCH(1,1) ldm thudc do cho dao dong ty gid.
Tiif khoa: ty gid hdi dodi, thudc do dao dong ty gid, mo hinh GARCH Summary
The paper summarizes previous studies on exchange rate fluctuation to propose measures of exchange rate volatility and analyze those scales with the aim of providing researchers with an overview and selection of a proper measure of the aforementioned instability In empirical aspect, the study uses monthly data on Vietnam's real multilateral exchange rate in the period 2000-2017 and employs GARCH(1,1) model as a scale of exchange rate fluctuation.
Keywords: exchange rate, scale of exchange rale fluctuation, GARCH model GIOI THIEU
Ke tii siT sup do cua he thong Bretton Woods, cac anh hifdng cua ty gia hoi doai tha noi len thifctng mai quo'c te va toan b6 n^n kinh te da trd thanh ITnh viTc quan trgng cua viec nghifin citu. Khong it n^n lfinh te lam vao tmh trang kho khan do ty gia hoi doai gay ra. Ty gia h6'i doai dang thu hut mdt sif chii y dac biet ciaa cac nha kinh te, cac nha chinh tri va no da trd thanh mot chu de thao luan soi noi va keo dai d cac nifdc trfin th6' gidi trong do cd ca Viet Nam.
Trong bo'i canh d Viet Nam chifa cd nghien ciJu nao de cSp de'n van de nay, thi viec t6ng hdp cac mo hinh du'dc siJ dung de do lifdng stfbiS'n dOng cua ty gia va s^ dung so' H6u theo thang ve ty gia hoi doai cua Viet Nam trong giai doan 2000-2017 de ifdc lu'dng dao dong ty gia la rat cln thie't.
CO sd LY THUYET VA PHaCNG PHAP NGHIEN CL/U
Vai tro cua ty gia hd'i doai va dao d6ng ty gia hoi doai vdi nen kinh te
Cac nghien ciiu tru'dc dd da dong quan diem rang, chinh sach ty gia hd'i
doai difdc coi la cdng cu chinh trong vific phUn tich hiSu qua kinh te.
Nhu'ng ngu'di ung hd chfnh sach ty gia linh hoat lap luan rang, si^ bien dong ty gia tao diiu ki§n cho viSc dieu chinh cua nen kinh te thanh nhiing cii sd'c thu'c ba't dd'i xu'ng. Cu the, Edwards va Levy-Yeyati (2005) chi ra rang, dao dpng ty gia cho phep ha'p thu cac cu soc b6n ngoai bdi viec cung cap kha nang thich itng cao hdn, trong khi chd'ng lai qua trinh dieu chinh lau dai va td'n kem ve kinh te.
Con Furceri va Zdzienicka (2011), Cerra va cong Slf (2013) da ket luSn rang, trong cac giai doan cua khung hoang tai chinh, cac qud'c gia vdi chd'dd ty gia hd'i doai linh hoat cd ton that san xua't tha'p hdn cac qud'c gia ap dung che'do ty gia hd'i doai cd'dinh. Bien dpng ty gia hd'i doai cung cd the gian tie'p dnh hifdng dS'n tang trifdng kinh te thdng qua tac ddng cila nd d6'n cac yeu to chinh quye't dmh hoat dpng ciia nen kinh te, nhu': ddng chay thu'dng mai, dau tif va viec lam,
Tong quan nghian cu'u
Nhin lgi cdc phuang phdp do lUdng mdc dQ dao dQng ty gid hot dodi
Cac phu'dng phap do lifdng mu'c do dao ddng ty gia hd'i doai da du'dc phat trien qua thdi gian de phan anh nhu'ng tie'n bd mdi trong ky thuat kinh te'lu'dng. Theo thd'ng ke cua tdc gia, cd 9 phifdng phap difdc sif dung d^ lam thu'dc do cho mu'c do bie'n ddng cda ty gid hd'i doai, gdm:
(1) Phdn tram thay ddi tuyet ddi cua ty gid De lam thtfdc do su* dung cho mu'c dd bid'n ddng ty gia Thursby va Thursby (1985); Bailey, Tavlas va
*ThS., Tradng Dai hgc Thu'dng mai I Email: [email protected] Ngay nhdn b&i: 20/02/2019. Ngdy pimn hien: 10/03/2019: Ngay duyet ddng: 25/03/2019
H Forecast Review
Ulan (1987) da su" dung phan tram thay doi tuyet dd'i cua ty gia, lu'c la:
Trong dd: F la dao ddng ty gia; e^la ty gia giao ngay; con t la thdi ky.
(2) Miic chinh tuyet doi binh qudn giita ty gid ky han ky trudc vdi ty gid giao ngay hiin lgi
De lam thudc do su' dung cho mdc do bie'n ddng ty gia Hooper va Kohlhagen (1978) da su' dung miJc chenh tuySt dd'i binh quan giii'a ty gia ky han ky trifdc vdi ty gia giao ngay hiSn tai lam thu'dc do, nghia la:
1=1
Trong do: e^ la ty gia giao ngay,/J la ty gia ky han, t la thdi ky.
Mac du cac thifdc do rui ro khac cGng da du'dc kiem dinh (phifdng sai cua ty gia ky han hien tai va phu'dng sai cua ty gia danh nghia), nhu'ng Hooper va Kohlhagen cho rang, thifdc do dau tien la chi bao riii ro td't nhS't iJng vdi che dp neo cd the dieu chinh difdc su' dung trong phan Idn thdi ky mdu. Cac tac gia da kiem dinh tac ddng cua s\i bid'n ddng ty gia len ddng thifdng mai va gia ca sif dung dfl lidu ddng thu'dng mai da phu'dng va song phu'dng theo quy dd'i vdi DiJc, Nhat Ban, Canada, Phap, My va Anh trong kinh tegiai doan 1965-1975.
(3) Phucmg sai cua ty gid giao ngay xung quanh xu the Thursby va Thursby (1987) da su' dung phu'dng sai cua ty gia giao ngay xung quanh xu the cua nd IS thu'dc do dao dpng ty gia. Xu the nay du'dc xac dinh bang md hinh:
Ine^ = *o+ ^ / + ^ / + e,
Cac tac gia da xem xet lai bai viet ciia ho nam 1985 de xay du'ng mdt md hinh ddng thu'dng mai song phifdng. Md hmh nay dtfdc kiem dinh cho 17 ntfde trong thdi ky 1974-1982 va siJ dung phtfdng sai ty gia giao ngay xung quanh gia tri xu the dtf bao dtfdc tinh binh quan hang nam (vdi do tre 12 thdng) la thtfdc do bie'n ddng ty gia. Cac ke't qua tfdc Itfdng thtfc nghiem cua Thursby \h Thursby chi ra rang, cd 15 ntfde dtfdc kiem djnh tim tha'y md'i quan he trdi chilu giiia thtfdc do bien ddng ty gid va gia tri thtfdng mai song phtfdng
(4) Trung binh trUat cua do lich chudn cua ty gid Rat nhieu nghidn ciJu, nhtf: Cushman (1988); Akhtar va Spence-Hilton (1984); Gotur (1985); Kenen va Rodrik (1986); Bailey, Tavlas va Ulan (1986); Kroner va Lastrapes (1993) „ da sii'dung trung binh trtfdt ciia dd lech chuan cua ty gid lam thtfdc do dao ddng ciia ty gia.
VI du, Kroner va Lastrapes (1993) da su' dimg md hinh sau:
[(i)-Z'z,„.,- z/
Trong do: Z la loga cua gia tu'dng doi hang ueu dung nudc ngoai vdi Iiang lieu diing cua My va m = 12.
(S) Bo su bdt dinh cua ty gi. dai ha"
Peree va Steinherr (1989) '.iO ff " ^ dinh ciia ty gia dai han bang con; lhl?c sau:
„ _maxX;,-mmX;,- [ ''<',-'^f'|
minXU *[ X' 1 Trong dd: X, la ty gia danh r.gWa * * ky t, maxXlt va' minXU la gia m ciic dai va cUc tieu cua tj gia danh nghTa trong true thdi gian keo dai tiJ k ldi I, va ^^ la ly gia "cSn bang".
{6} Do lech chudn cm phdn trdm thay doi hdng ndm cda ty gid song phU(Jng
De Grauwe va Bellefroid (1986) da sii' dung do lech chuiin ciaa phan tram thay ddi hang nam ctia ty gia song phifdng xung quanh gia tri binh quan trong mdi thdi ky quan sat lam thudc do dao dgng ty gia. Cac tac gia nay da su' dung phudng phap Udc liTdng SURE khi xem sdt van de mo'i quan he dao dong ly gia va ddng thitdng mai.
(7) Phdn du mo hinh ARIMA Asseery va Peel (1991), Mclvoi (1995) da su" dung phdn dU mo hinh ARIMA la thudc do dao ddng ly gia.
Trong dd, Asseery va Peel (1991) da srf dung diT li6u da dUdc dieu chinh theo mua doi vdi Ijc, NhSt Ban, Btic, My va Anh trong thdi ky 1972-1987, cac lac gia da suf dung kiem dmh ADF de kiem tra tinh difng cua dif lieu va hieu chinh lai dif lieu cho phu hdp. Mpt mo hinh chuan dUdc ap dung^trong bai vift nay, nd giai tW^h xua'l khau theo thu nhSp, gia tddng dm, ty gia va bie'n ddng ty gia, Irong dd bien ddng ty gid duoc do bang phan dtf Id mo hinh ARIMA dUdc ap dung cho loga cua ly gia thifc. Asseery va Peel tha'y riSng, khi duoc Udc luong trong khung hieu chinh sai so'Engle-Granger hai giai doan, bien ddng ly gia cd anh hudng lhu?n chieu va cd y nghia len xua't kha'u.
W Cac i^ thuat phi tham sd , , "'^ Belanger va cong su (1995) da Sddung cac kythujl phi tham s o ' d i d o dao dong ly g i l Bay la mot ky thuat rift
(9} Mo hnh ARCH
McKenzie va BrorJ , i -.T, „-, . mo hmh ARCH r - • ^'.^ f*"^
bie'n dong o. , ", - , . „ : ' " " 8 "hf^ns nghien cdu ^ . d v . ^ : : . , / , ' ™ 6 ' ™ n g My va Dtfc trong th„rk, 197° ^g?,';''^"^
Caporale vii Doi ood,a;i 11994) j j •, dang nhi bie'n cua mo hmh M - G A R ™ dnh theo giii trj binh quiui Ai kigm fl ^ xem heu su bat dinh ctia iv 01a ,1, '
c>t inifc CO
anh htfdng ldn gid tri nhSp khau cua My tif Canada trong thdi kJ tha ndi (1974-1992) hay khdng. Cdc tdc gia do bie'n ddng ty gia bdng each sit dung chi dinh phtfdng sai cd dieu kien GARCH(1,1} ddi vdi ty gid thtfc. Cdc kd't qud thu dtfdc cho tha'y, stf ba't dinh cua ty gia cd anh htfdng trdi chieu va cd y nghia dd'i vdi ddng thtfdng mai.
Vieira va cdng stf (2013) khi nghien ctfu tac ddng cua dao ddng ty gid len tang trtfdng kinh te' cua 82 ntfde dang phat trien va mdi ndi trong giai doan 1970-2009 trdn cd sd do bie'n dpng ty gid bdng cdch sit dung cdc md hinh GARCH, IGARCH va EGARCH. Ke't qua cho thay, cd sif anh htfdng tieu ctfe cua dao ddng ty gid len tang trtfdng trong ddi ban.
Nghien ctfu ciaa Vieira va MacDonald (2016) lai do bie'n ddng ty gid bang phan dtf cua md hmh ARCH va GARCH khi tap trung vao anh htfdng ciia dao ddng ty gia thtfc len ddng xua't khiu cua 106 ntfde dang phat trien va mdi ndi gitfa hai nam 2010 va 2011. Cdc tdc gia tim tha'y mdt lien kd't am giii'a hai bie'n.
Nghidn ciJu gan day cua Achouak va cOng stf (2018) nghien ctfu anh htfdng cua dao dOng ty gid len tang trtfdng kinh te ciia 45 ntfde dang phat trien va mdi ndi trong giai doan 1985-2015, dtfdc thtfc hien bang cdch su* dung stf khac bidt va tdng qudt hda he thd'ng cua phtfdng phdp tfdc Itfdng moment. Trong dd, xay dtfng cdc chi sd' dao ddng ty gia hang thang av!
dung md hinh GARCH(1,1) cho ca ty gid danh nghia va ty gid thtfc. Kd't qua cho tha'y, dao ddng ty gid cd anh htfdng am len tang trtfdng kinh te. Ngoai ra, anh htfdng cua dao ddng ty gia con phu thudc vao che' dp ty gia hd'i dodi va do md tai chinh, nghia la bie'n ddng cd hai hdn khi cac qudc gia dp dung chd' do ty gia hd'i doai va cdng khai tai chinh.
Phtfdng phap nghien cu'u Qua thd'ng ke cdc nghien ctfu thtfc nghiem gan day nha't ve chii de ty gia hd'i dodi, tdc gia nhan thay, phtfdng phdp Trung binh trtfdt cua dp lech chuan cua ty gid va md hinh ARCH dtfdc sijf dung nhi^u nha't. Tuy nhien, do bid'n ddng lich su" khdng tinh de'n stf khdng chdc chan cua bid'n ddng ty gia, nen se td't hdn nd'u su' dung khdi niem bid'n ddng cd dieu kien dtfdc do bdng md hinh ARCH va cac dang md rdng ctia nd. Vi thd', tai nghien ctfu nay, tac gia sii' dung md hinh ARCH dang md rdng (ARCH - GARCH) de do bie'n ddng cua ty gia hdi doai. Trong do:
Tinh diing
Mdt dieu kien can thie't khi nghien ctfu chudi dff lieu theo thdi gian la chudi dd phai dtfng. Kiem dinh nghiem ddn vi (Unit Root Test) se cho ke't qua chinh xdc va dang tin cay nhat de kiem tra tinh dtfng. Mot trong nhtfng phtfdng phdp dtfdc si( dung de xdc dinh tinh dtfng la ADF test (Augmented Dickey - Fuller).
Dickey - Fuller da nghidn ctfu qud trinh AR(1):
y, = Pyj _i + w, vdi y^ < co; u^ ~ Iff)
De thay, \&\.p=l thi nd la btfdc ngau nhien va do do nd la mot chudi ddng. Vi vay, de kiem dinh tinh dtfng ta se di kiem dinh cap gia thid't:
\H,:p=l
\H-.p<l ±±
Test thd'ng kd se(p) cd phan phd'i DF Mo hinh ARCH - GARCH
Md hinh ARCH(p) do Engel de xua't nam 1982, cd dang:
' ( ~ PI ~^ ^1
(T/ = ttjj + 0.^11- + o.u-^ > + -•• ••• o u^
Trong do: ju^ dai dien cho trung bmh cua chudi r^, af dai dien cho mtfc dp bie'n ddng cua r^; cdn u^ dai dien cho cac cu sdc cua r d thdi did'm t. Vdi
a„>0;a^>0(i = l,p) e^ ~ IID; Es^ = 0; Vare^ = I
Thdng thtfdng ta hay gia thie't u^ - N(0, af) hoac phan phd'i Student.
BoUerslev va cdng stf (1986) da md rdng md hinh ARCH va dat la ARCH tdng quat GARCH(p,q), vdi dang md hinh:
r^= fi^ + u^
ll = a^^
(yf=ag + a^ul^ + a,ul, + ...+aul + /?,fr', + ^,cf^^ + fi af^
= a^^+y auf_^ +y fiof
• (0.,+fi)' Trong do: "
a„ >0;a>0;fi>0 (i = }.p;j = l.q);
£•, - IID, ££, = t: Vare^ = }
p la bac cua md hinh ARCH; q la bac ciia md hinh GARCH va khi q=0, thi md hinh GARCH trd thanh md hinh ARCH.
Dang ddn gidn nhat la GARCH( 1,1) difdc bieu diln nhtf sau:
a/ = OJ + a^ir^ + p, (r,
Tieu chudn AIC de lUa chon mo hinh Akaike (1974) de xua't tieu chuan AIC la ky thuat dung de ltfa chpn md hinh. AIC dtfa tren nen tang ly thuye't thdng tin va dtfdc ltfa chpn bang each giam thieu khoang Kullback-Leibler giffa md hinh va dp chinh xac. AIC dtfdc xac dinh bang cdng thtfc sau:
AIC(p,q) = -2lnl + 2k
Trong do: / la gid tri tdi da cua ham Likelihood dtfdc tfdc Itfdng tif md hinh; k la bac ttf do ciia md hinh.
Ta ltfa clion md hinh ma cd gia tri AIC nhd nha't.
Dd lieu nghien ctiu
Nghien cdu do dp dao ddng cua ty gia thtfc da
F r n n n m v and Foreca.'il Review
Ulan (1987) da sd dung phan tram thay ddi tuyet dd'i cua ty gia, ttfe la:
\(e - e ,)\
V = - L J LiL
^.,
Trong dd: V^la dao ddng ty gid; e la ty gia giao ngay; cdn rla thdi ky.
(2) Mdc chenh tuyet doi binh qudn gii^a ty gid ky hon ky trudc vdi ty gid giao ngay hiin tai
De lam thtfdc do sijf dung cho mtfc dp bie'n ddng ty gia Hooper va Kohlhagen (1978) da sd dung mtfc chdnh tuydt dd'i binh quan giffa ty gid ky han ky trtfdc vdi ty gid giao ngay hien tai lam thtfdc do, nghia la:
^-Z
i/,.,-",!Trong dd: e^ la ty gia giao ngay,yj la ty gia ky han, t la thdi ky.
Mac du cdc thtfdc do rui ro khac cung da dtfdc kiem dinh (phtfdng sai ctia ty gia ky han hien tai va phtfdng sai ciia ty gid danh nghTa), nhtfng Hooper va Kohlhagen cho rang, thtfdc do d^u tidn la chi bdo riii ro td't nhS't tfng vdi chd' do neo cd the dieu chinh dtfdc sff dting trong phdn ldn thdi ky mau. Cdc tac gia da kidm dinh tdc ddng ciia stf bie'n ddng ty gid ldn ddng thtfdng mai va gid ca sff dung dff lieu ddng thffdng mai da phffdng va song phtfdng theo quy dd'i vdi Dtfc, NhSt Ban, Canada, Phdp, My va Anh trong kinh td'giai doan 1965-1975.
(3) Phucfng sai cua t^ gid giao ngay xung quanh xu the Thursby va Thursby (1987) da sff dung phtfdng sai cua ty gia giao ngay xung quanh xu thd'ciia nd la thtfdc do dao ddng ty gid. Xu the nay dtfdc xac dinh bang md hinh:
Ine^ = 0„+ 0/ + 0/ + £
Cdc tdc gia da xem xet lai bai vie't ctia ho nam 1985 de xay dtfng mdt md hinh ddng thtfdng mai song phtfdng. Md hinh nay dtfdc kie'm dinh cho 17 ntfde trong thdi ky 1974-1982 va sff dung phtfdng sai ty gid giao ngay xung quanh gia tri xu the dtf bdo dtfdc tinh binh quan hang nam (vdi dp trd 12 thang) la thtfdc do bie'n ddng ty gid. Cac ke't qua tfdc Itfdng thtfc nghiem cua Thursby va Thursby chi' ra rang, cd 15 ntfde dtfdc kiem dinh tim tha'y mdi quan he trdi chieu gitfa thtfdc do bid'n ddng ty gia va gid tri thtfdng mai song phtfdng.
(4) Trung binh iruat cua do lech chudn cua ty gid Rat nhieu nghien ctfu, nhtf: Cushman (1988); Akhtar va Spence-Hilton (1984); Gotur (1985); Kenen va Rodrik (1986); Bailey, Tavlas va Ulan (1986); Kroner va Lastrapes (1993)... da sff dung trung binh trtfdt ciia dp Idch chuS'n cua ty gia lam thtfdc do dao ddng cua ty gia.
V] du. Kroner va Lastrapes (1993) da sff dung md hinh sau:
:^)-Z'
( Z „ , j - Z „ , . /Trong do: Z la loga cua gia lUdng do'i hang tieu diing nddc ngoai vdi hang lieu dung cda My va m = 12.
(5) Do su bdt dinh cua ty gi. Jdi ha", Peree va Steinherr (1989) do stf bSt dmh ciia ly gia dai han bang cdU' iliiic sau:
inaxXU-minXU \ L V ^ f
Trong dd: X^ la ty gia danh nghia thdi ky t, maxXU va minXU la gia tri cdc dai va cue tieu cua ly gia danh nghia trong true thdi gian kdo dai tif k tdi I. vii ^f la ly gid "can bang".
(6) Bo lech chudn ciia phdn trdm thay doi hdng ndm cOa ty gid song phuang
De Grauwe va Bellefroid (1986) da su" dung dp lech chuan cua phan tram thay ddi hang nam cua ty gid song phddng xung quanh gia tri binh quan Irong moi thdi ky quan sal liim thudc do dao dong ly gia. Cac tac gia nay da sd dung phudng phap Udc Iifdng SURE khi xem xet van de md'i quan he dao dgng ly gia vii ddng thddng mai.
(7) Phdn du mo hinh ARIMA Asseery va Peel (1991), Mclvoi (1995) dii sd dung phan dd mo hinh ARIMA la thudc do dao ddng ly gia.
Trong dd, Asseery va Peel (1991) da su' dung dtf hdu da dddc dieu chinh theo mua dd'i vdi Uc, Nhdt Ban, Ddc, My va Anh trong flidiky 1972-1987, cac tac gia da sd dung kiera dinh ADF de kiem tra tinh ddng cda dif lieu va hidu chinh lai dif lieu cho phu hdp. Mot mo hinh chuan dddc ap dung trong bai viet nay, nd giai thich xua't khau theo thu nhap, gia tddng dd'i_, ly gia va bie'n dong ly giS, trong dd bien dong ly gia duoc do bang phan dd tCf md hinh ARIMA dddc lip dung cho loga cua ly gia thuc Asseery vii Peel thS'y rang, khi dUdc udc lddng trong khung hiSu chinh sai so' Engle-Granger hai giai doan, bien dong ty gia cd anh hddng Ihuan chieu vii cd y nghTa len xua't khau.
(8) Cdc ky thuat phi tham so Denis Belanger va cong su (1992) da su d^ng Ciic ky thuat phi thara so' de" do dao dong ty gia. Diiy li, mdt ky thuat rS't it dddc su dung trong ciic nghien ctfu
(9} Mo hinh ARCH
mo hmh ARCH Ai dinh Utong nhtf"!
biendong cua iv gij Uieo thang irons nghien cdu ve ihifOnB nai song phuono My va Ddc trong thdi ky ' 973-T993 *
CaporaleyilDorood..„i(1994)siidunE dang nhi bien cua nii. ninh M - G A R C H tinh theo gia ttj binh quan de kilm d' h xem lieu stf bat dinh cua ly gi^ ^^ ,
anh htfdng Idn gid tri nhap khiu cua My tff Canada trong thdi ky tha noi (1974-1992) hay khdng. Cac tdc gia do bie'n ddng ty gid bang each sff dung chi dinh phtfdng sai cd dieu kidn GARCH(1,1) dd'i \6i ly gid thtfc. Cdc ket qua thu dtfdc cho tha'y, stf ba't dinh ctia ty gid cd anh htfdng trai chieu va cd y nghTa dd'i vdi ddng thtfdng mai.
Vieira va cpng stf (2013) khi nghien cffu tdc ddng cua dao ddng ty gid len tdng trtfdng kinh te' cua 82 ntfde dang phat tri^n va mdi ndi trong giai doan 1970-2009 tren cd sd do bid'n ddng ty gia bang cdch sff dung cac md hinh GARCH, IGARCH va EGARCH. Ke't qua cho tha'y, cd sff anh hffdng tidu effc cua dao ddng ty gid len tang trtfdng trong dai han.
Nghidn ctfu cua Vieira va MacDonald (2016) Iai do bid'n ddng ty gia bang phan dtf cua md hinh ARCH va GARCH khi tap trung vao anh htfdng cua dao ddng ty gid thtfc ldn ddng xuat khau cua 106 ntfde dang phdt trien va mdi ndi giffa hai nam 2010 va 2011. Cac tac gia tim tha'y mot lien ke't am gitfa hai bie'n.
Nghien cffu gan day cua Achouak va cdng stf (2018) nghien ctfu anh htfdng ciia dao ddng ty gid len tang trtfdng kinh te' cua 45 ntfde dang phat trien va mdi ndi trong giai doan 1985-2015, dtfdc thtfc hidn hang cdeh sff dung stf khac biet va tdng qudt hda he thdng cua phtfdng phdp tfdc Itfdng moment. Trong dd, xay dtfng cdc chi so'dao dpng ty gia hang thang sit dung md hinh GARCH(1,1) cho ca ty gid danh nghTa va ty gid thtfc. Kd't qua cho tha'y, dao ddng ty gia cd anh htfdng am len tang trtfdng kinh te'. Ngoai ra, anh htfdng ciia dao ddng ty gia cdn phu thudc vao che' do ty gia hd'i dodi va dp md tai chinh, nghTa la bid'n ddng cd hai hdn khi cac qud'c gia dp dung chd' dp ty gid hd'i dodi va cdng khai tai chinh.
Phtfdng phap nghien ctfu Qua thd'ng ke cdc nghien cffu thtfc nghiem gan day nha't vd chu de ty gia hd'i dodi, tdc gia nhan thay, phtfdng phap Trung binh trtfdt cua dd lech chuan cua ty gid va md hinh ARCH dtfdc sff dung nhieu nha't. Tuy nhien, do bie'n ddng lich su: khdng tinh de'n stf khdng chac chan cua bie'n ddng ty gid, nen se tdt hdn nd'u sff dung khai niem bie'n ddng cd didu kien dffdc do bang md hinh ARCH va cac dang md rdng cua nd. Vi the', tai nghien ctfu nay, tdc gia sff diing md hinh ARCH dang md rdng (ARCH - GARCH) de do bie'n ddng cua ty gid hd'i doai. Trong dd:
Tinh ddng
Mpt dieu kidn can thid't khi nghien cffu chudi dff heu theo thdi gian la chudi dd phai dffng. Kiem djnh nghidm ddn vi (Unit Root Test) se cho kd't qua chinh xac va dang tin cay nha't de kiem tra tinh dtfng. Mdt trong nhffng phtfdng phap dtfdc sff dung de xac dinh tinh dtfng la ADF test (Augmented Dickey - Fuller).
Dickey - Fuller da nghien ctfu qud trinh AR(1):
y, ~ pyj-i'^ '^,'^^^yo ^ °°'' ",~^^-c*
Dd thay, vdip=7 thi nd la btfdc ngdu nhien va do do nd la mdt chudi dtfng. Vi vay, de kiem dinh tinh dffng ta se di kiem dmh cap gia thie't:
lH,:p = }
\H,:p<J p-1 Test thd'ng ke se(p) cd phan phd'i DF Mo hinh ARCH - GARCH
Md hinh ARCH(p) do Engel de xud't nam 1982, cd dang:
r^ = fi^ + u^
af= ag + ( X ; M ' , , + o-2^^i2 " • " • • • + '^ " ^ ,
Trong dd: fi^ dai dien cho trung bmh cua chudi r, a^
dai didn cho mffc dp bid'n ddng cua r; cdn u dai didn cho cac cii sd'c cffa r^ d_thdi diem t. Vdi
%> 0; a>0 (i - !,p) E_ ~ IID: 'ES, = 0: Vare^ = I
Thdng thffdng ta hay gia thid't u^ ~ N(0, of) hoac phdn phd'i Student.
BoUerslev va cpng stf (1986) da md rdng md hinh ARCH va ddt la ARCH tdng qudt GARCH(p,q), vdi dang md hinh:
''i~ P/^ " / u^ = a^e^
a- = a, + a,u], + CI,M,^, ^ ... ^ a u] + fi^cr' + /?,(r', ^ B a;
= a^-v\au]^ -VJ fiaf_^
Trong do:
^ii)<i
n,a.x(,,.q)
ag>0;a>0,fi>0 (i = fp: j = Iq); 'Vfa - E, - IID; 'ES^ = b; Vars^ = I ^ p la bac cua md hinh ARCH; q la bac cua md hinh GARCH va khi q=0, thi md hinh GARCH trd thanh md hinh ARCH.
Dang ddn gidn nha't Id GARCH(1,1) dtfdc bieu diln nhtf sau:
a- = (o + a^uf^ + p, of I
Tieu chudn AIC de lUa chon mo hinh Akaike (1974) de xua't tieu chuan AIC la ky thuat dung dd' ltfa chon md hinh. AIC dtfa trdn nen tang ly thuyd't thdng tin va dtfdc ltfa chpn bdng each giam thie'u khoang Kullback-Leibler giffa md hinh va dd chinh xdc. AIC dtfdc xdc dinh bang cdng thtfc sau:
AlC(p,q) = -2lnl -h 2k
Trong dd: / la gid tri td'i da cua ham Likelihood dtfdc tfdc Itfdng tff md hinh; k la bac ttf do cua md hinh.
Ta ltfa clipn md hinh ma cd gid tri AIC nhd nha't.
DS li^u nghien ciiu
Nghien ctfu do do dao ddng ctia ty gid thtfc da
Fconomv and Forecast Review
BANG 1: KET QUA KIEM DIMH ADF Variable
Reer
Level -0.098 IS9(0 9470)
First difference -10.27683(0.0000) Cbii y: Trong ngodc () cho hie'l gid in p_valtie
^ T T 1 2 3 4 5 6 7 8 9 10
eAr^G 2; KET QUA CTdC LCfdNG CAC MO HINH ARIMA Md liinh
ARIMA(1,1,0) ARIMA(i,l,0) (notC) AR!MA(2,1,0) ARIMA(2,1,0) (not C) ARIMA(0,1,1) ARIMA(0.1,1) (not C) ARIMA(L1,1) ARtMA(l,l,l) (not C) AR1MA(2,1,I) ARIMA(2J,I) (not C)
C 0 177365
(0 2289)
0.177959 (0.0960)
0.17797 (0 2109)
0.177977 (0.2092)
0.178237 (0.1833)
AR(1) 0.27168 (0.0003) 0.280244 (6-0002)
-0-011745 (0.94281 0.003748 (0.9811)
AR(2)
-0 075120 (0.1299) -0.062205 (0 1884)
-0.056400 (0,2755) -0.044573 (0.3785)
MA(1)
0.316369 (0.0000) 0.320924 (0 0000) 0,325922 (0 0279) 0.317882 (0.0264) 0 297195 (0.0004) 0 305891 (0.0003
AIC 3 758875 3.756327 3 830037 3 834409 3 741446 3-739724 3.750722 3 749024 3-747984 3.747302 Chii y: Trong ngocic f) ciio biei gid trj p_valiie
BANG 3: KET QUA HQC LtfdriG CAC MO HltiH GARCH PHU HCJP STT
1 2 3 4
M6 hinh GARCH(1,1) GARCH(1,2) GARCH(2,1) GARCH(2,2)
C 0,293808
(0.2527) 0,214265 (0.0001) 0,504938 (0 1525) 0,265171 (0 0006)
resid(-1 )'^2 0.110253 (0-0679) 0 054038 (0.0258) -0.047599 (0.2970) -0.074163 (0-1076)
resid(-2)'^2
0,207146 (0-0045) 0-159879 (0.0026)
garch(-l) 0.768776 (0 0000) 1-618665 (0.0000) 0-618976 (0.0033) 1.5425)5 (0-0000)
garch{-2)
-0 766207 (0-0000)
-0.742276 (0 0000)
AIC 3 69536 3-64733 3-651978 3.624429 C/j» y: Tiang ngoac (j clio Ifiei gid Iri p-value
HiNH: DO THI DAO DOMG TY GIA HOI DOAI CUA VIET MAM TCf NAM 2000 DEM 2017
phuong (REER), phan anh l.'lS """f canh tranh thy-cfng mai cija n •' ki"*^ ^^' REER tang cho thay, VND len gH ""'':' con REER giam, VND giam gi.i ihi*:- Dtf lieu difflc lay theo thang troiT ciai "lo?"
tit thiing 01/2000 de'n het thii i • 12/2017 (Bdi viet sSc dung cdch viet so tlidp P^^^
theo chudn qudc te).
KET QUA NGHIEN CLfU Ki&'ni tra ti'nh dtoig (ADF) ciia dff Ufeu Kiem dinh ADF cho tha'y, REER
!a chuoi khOng dtfng, nhtfng dtfng cl sai phiin bac nliat (Bang 1).
Ltfa chon niQ hinh ARIMA(p,d,q)
•idc Itfifng gia tri trung binh cua chudi sai phan bac nhS't ciia REER (DREER) Dtfa vao bieu do tijf tuong quan (ACF) va tu tUOng quan rieng phan (PACE) ciia chuSi DREER, ta co dUdc p=( 1,2); q=l.
Ttf do, ta UOc luong cac mO hinh co the CO de ltfa chon mo hinh phu hop nha't.
Ttf cac ket qua udc lUOng Bang 2, co thi tha'y, h6 sd'chan va AR(2) d^u khdng CO y nghia thong ke. Loai bo cac mo hinh 1,3,4,5,7,8,9,10; cht con lai m6 hinh 2 va 6. Sau khi so sanh AIC, ta ltfa chon mo hinh 6 lit ARIMA(0,1,1) tUOng ting vOi AIC nho hon.
Kiem dinh hieu u'ng ARCH cua m6 hinh ARI]VIA(0,1,1)
Kiem tra hieu ifng ARCH cua mo hinh CO the tha'y, ARCH(2), ARCH(3), ARCH(4) CO y nghia thong ke. Tuy nhien, viec s4 dung ARCH co nhigu do ttS se co han che, vi anh hudng de'n ke't qua tfdc luong do giSm dang k j so bJc tU do trong mo hinh. Do vay, ta nen dung mo hinh r'^'S^' ™ ° '''"* " * '""^ng '^^'^ 1"° hinh IJAKLH tifBng tUnhutrSn, ta duoc Ban» 3
Bang 3 cho tha'y, mO htnh 2,3,4 deu vi pham gia thiet cac he so' khSng am ciia
nARrHn';'^'r"'^'"W-*'"™6hi„h
P . f ^ ' ^ " ' " ) ' » PM hop. Mo hinh uac luong cho DREER nhu sau •
rfreer =0.(0Ji89E
<'f = 0.293S08 + b:il0253e'
+ 0.768776 o;^ -<
PhSn du cu'a mo hinh nily cho bie't gia tn cua bien dong ty g,a hg, doat cia vfgt Nam trong giai doan 2000-2017 .L-' hien trong do tht (Hinh).
Tong hop cac nghien ctfu truac tt- eo the tha'y vai tro ciia ty gi.i i a dj^j.. ^'
ty gia la vo cung quan trong trong tang mo hinh ARCH va cac mo hinh cai tie'n la stf lifa chon tnrdng kinh te noi chung va trong thtfdng nhieu nhat trong cac nghien cu'u g^ii dSy de do dao mai quo'c te noi rieng. Viec xac dinh dSng ty gia. De minh hoa, tac gia suf dung s6'4ieu vety difdc chinh xac thu"dc do bi6'n dpng cua gia thu'c da phu'Ong cua Viet Nam theo thang trong giai ty gia se quyet dinh den sif tin cay cua doan tit nam 2000 de'n nam 2017 va phan tich de tha'y cac ket qua nghien ciJu. Cac nghien cifu difdc mo hmh GARCH{1,1) la thich hdp nhat de dif bao li6n quan da sit dung rat nhi^u cac thu'dc dao dong ty gia. Tiy do, co th^' lam cd sd cho cac nghien do bien dgng ty gia khac nhau. cu'u xa hdn ve tac dong cua dao dgng ty gia de'n tang Nghien ciJu cho thii'y, phdn dif cua tru'dng kinh te'va dong thiTdng mai giffa cac nu'dc.•
TAILIEU THAM KHAO __
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