MlTC DO BIEN DONG TY GIA VA TRUYEN DAN TY GIA HOI DOAI 6 VIET NAM
Nguyen Thi Nggc Trang
Khoa Tdi chinh. Trudng Dgi hgc Kinh le Thdnh pho Ho Chi Minh Email: [email protected]
Quach Doanh Nghiep
Khoa Tdi chinh, Trudng Dqi hgc Kinh te Thdnh pho Ho Chi Minh Email- [email protected]
Ngay nhan; 05/6/2020 Ngay nhan ban sira: 30/8/2020 Ngay duyet dang. 05/9/2020
Tom tat
Nghien cuu ndy sudmg phuang phdp Hdi quy chuyen tiep tran (Smooth transition regression model ~ STR model) nham tim kiem bdng chiing ve mice do truyen ddn ciia ty gid hdi dodi vdo lam phdt phu thudc vdo mdc dg bien dgng ty gid a Viet Nam. Ket qud tic nghien cicu cho thdy tdn tai su phdn icng bdt doi xieng cua lam phdt trudc bien dgng cua t}' gid. Theo do.
muc do truyen ddn se khdc biet nhau tiiy thudc mirc do bien ddng trong ty gid d dual hoac tren mirc nguong 0,8%/thdng. Trong ddi hgn, muc dg truyen ddn cda ty gid vdo lam phdt se cao hem khi bien ddng cua ty gid vuat muc nguong. Ket qud ndy cho thdy dgng ca duy tri thi phdn cd the Id nguyen nhdn lam Ihay ddi hdnh vi dieu chinh gid cua cdc doanh nghiep tqi
Viet Nam trudc cii sdc trong ty gid.
Tu khoa: Truyen dan ty gia, bien ddng ty gia, chi phi thuc dan; hdi quy chuyen tiep tron (STR).
Ma JEL: C2I, E64, P34, P44, 024
The exchange rate pass-through and the changes of the exchange rate in Vietnam Abstract:
This study investigates evidence of exchange rate pass-through into inflation depending on the level of exchange rate fluctuations in Vietnam by using the smooth transition regression model. As a result, there is evidence about the asymmetry of the exchange rate pass-through to changes in the exchange rate. The level of exchange rate pass-through is different depending on the level of fluctuations in the exchange rate below or above the threshold of 0.8% per month. In the long term, the level of exchange rate pass-through is higher when the exchange rate fluctuations exceed the threshold. This result shows that the motivation to maintain market share may be the cause of changes in the price adjustment behavior of Vietnamese firms due to the exchange rate shock.
Keywords. Exchange rate pass through; exchange rate changes; menu cost, smooth transition regression.
JEL Codes: C21, E64, P34, P44, 024
Sd 279 thdng 9/2020 ^^ kinlilPAljlllll
1. Gidi thieu
Truy6n dan ciia ty gia vao lam phat la mdt van dd quan trgng ddi vdi mdt qudc gia, ddi hdi cac nha quan ly can nam bat dugc each thiic va quy md ma bien dgng trong ty gia bdi doai truydn din vao b-ong lam phat.
Bdi vi dya tren co sd hieu biet nay, cac co quan quan ly nhu cbinb phu hoac ngan hang tmng uong cd thd du bao dugc miic do phan iing cua lam phat mrdc nhirng cii sdc frong ty gia de bi do dua ra cac ddi sach phii hgp nham kiem che lam phat, on dinh ndn kinh td.
Nogueira & Ledn-Ledesma (2011) cho rSng su thay ddi b-ong ty gia chuydn vao trong cac miic gia ca la dieu cue ky quan b-gng ddi vdi nhung ngudi lam chinh sach. Nhiing anh hudng nay khdng chi tac ddng len muc lam phat hien tai ma cdn tac ddng len ky vgng lam phat, viec thidt lap chinh sach tian te va kha nang dieu chinh ty gia de can bang lai tham hut thuang mai.
Theo Goldberg & Knetter (1996) truydn dan ty gia (Exchange rate pass through - ERPT) la ph4n tram thay ddi trong gia nhap khau tinh bSng ddng tien ngi te khi ty gia danh nghTa giSa bai qudc gia xudt khiu va nhap khiu thay ddi mdt phin fram, Theo thdi gian, cac nghien ciiu ve truyen din ty gia da md rdng b§ng each do ludng bidn dgng cua gia san xuit va gia tieu diing frudc cii sdc trong ty gia, Hinh 1 diln ta mdt each tdng quat co che biiyen dan ty gia vao trong cac mirc gia ca ciia nSn kinh tk gia nhap khiu, gia san xuat va gia tieu dung.
Mgt sd nghien ciiu gan day da cho thay miic do tmySn din cua ty gia vao lam phat chiu su anh hudng cua mdi trudng vT md. Dien hinh nhu nghien cuu ciia Taylor (2000) da cho thiy mirc do fruydn dan phu thudc vao mirc lam phat b-ong ndn kinh td, Nghien ciiu ciia Mishkin (2001), Cboudhri & Hakura (2006) lai cho thay mirc do truyen dan cd Hen quan den muc do tin nhiem cua cbinb sach tiSn te. Nghien ciiu cua Nogueira
&Ledn-Ledesma(20ll)cho thay truyen din ty gia cd hen quan den chu ky ciia ndn kinh te.
Ke thua cac nghien ciiu da cd, nghien ciiu nay dugc thirc hien nham danh gia anb hudng ciia bidn ddng ty gia len miic do truyen dan ty gia hdi doai vao lam phat d Viet Nam Qua dd, tac gia di tim cau tra Idi cho cau hdi Heu khi ty gia bien ddng vugt qua mgt miic nguong nao dd thi lam phat se phan iing nhu the nao.
Ket qua tii' nghien ciiu se gdp them thdng tin quan trgng giiip cac nha quan ly xay dung cac chinh sach pbu hgp nham ddi phd vdi lam phat tiiy thudc vao xu hudng bien ddng trong ty gia,
2. Moi Hdn hf giira bi§n ddng ty gia va mirc do truyen dan
Mirc do truyen dan cua ty gia vao lam phat cd the khac biet nhau tiiy tbugc vao: ty gia tang hay giam, mirc dp bien ddng va quy md cua nbiiTig thay ddi trong ty gia. Dieu nay dugc giai thich bdi dpng co duy tri tbi phan, gidi ban nang luc cung iing va chi phi thuc don.
Thu nhdt, ddng ca duy tri thi phdn ciia nhd xudt khdu nude ngodi cd the lam thay doi mice do truyen ddn ty gid vdo lam phdt Khi ddng ndi te giam gia se lam cbo gia bang bda nhap khau quy sang ndi te cao len mdt each tuong ddi. De duy tri Igi nhuan ciia minh, nha xuat khau nude ngoai cd the giir nguyen gia ban bang ddng ngoai te, do dd phan thay ddi trong ty gia se dich chuyen nhieu vao trong gia ca ndi dia lam miic do bnyen din ty gia cao. Tuy nhien, de duy tri thi phan, cac nha xuat khau nude ngoai se giam phan igi nhuan cdng them (mark-up) vao gia de hap thu bdt sir gia tang trong gia do bien ddng ty gia tao nen qua do gdp phan lam giara mii'C do truyen dan. Ngugc lai, khi ddng ndi te tang gia, gia hang hda nhap khau quy theo ndi te se trd nen re tu'ong ddi. Nba xuit khiu cd the giii nguyen gia ban bang ngoai te, nhiing thay ddi b-ong ty gia dugc dich chuy6n nhidu vao gia hang hda quy sang ngi te nbtmg khdng anb hudng nbieu den thi phan ciia nha xuit khiu. Kdt qua tir cac phan tich b-en cbo thay ERPT se khac tiiy thudc vao hudng bien dgng cua ty gia (ddng ngi te tang gia hay giam gia).
Thic hai, giai han nang luc cung icng se Idm thay ddi hdnh vi dinh gid ciia doanh nghiep vd qua do lain thay ddi mice do truyen ddn ty gid. Khi ddng ngi te tang gia se lam cbo gia hang hda nhap khau tinh theo ddng ndi te se giam di mdt each brong ddi. Le ra cac cdng ty nude ngoai se cd nhieu co hdi de gia tang doanh sd trong tinh huong nay nhirng ndu cac cdng ty nude ngoai dang ddi mat vdi gidi han ve ndng luc cung icng do san lugng da dat mirc gidi ban hoac bj anh hudng ttr cac rao can thuong mai thi kha nang biing no doanh so se khd xay ra. Thay vao d6, cac cdng ty nude ngoai cd the tang phan loi nhuan cdng them vao gia ban dd hudng Igi, dieu nay lam cho mirc do truyen dan ty gia giam. Ngugc lai. khi dong tien ciia qudc gia nhap Sd 279 thang 9/2020 85 |vj|||| tcihat | m
Hinh 1: Sff do truyen dan ciia t\ gia vko gia tieu diing
Hang hda nhap khau cho tieu diing cudi Cling ^ TANG GIA
Chi phi sanxual ^
GIA TIEU DUNG TANG Nguon: Lafleche (1997) vd Idp hgp cua tdc gid.
khau giam gia, gia nhap khau khi quy sang ddng ndi te se tang len. Trong tinh hudng nay, nhu cau hang hda nhap khau se giam mdt each tuong ddi, do dd nha xuat khau nude ngoai it cd ddng co de tang gia ban thay vao dd van duy tri gia ban cu va lam cbo nhiing thay ddi trong ty gia dich chuyen nhieu ban vao gia ca ndi dia. Do dd, mirc do truyen dan ty gia cao bon trong tinh hudng ngi te giam gia so vdi trudng hgp tang gia.
Thu ba, neu cdc doanh nghiep nhan thdy viec thay doi gid thuang xuyen Id dat dd (chi phi thuc dan) thi hg se tri hodn dieu ndy, tii- dd Idm thay ddi mice dd trtn en ddn ty gid. Trong dieu kien gia hang hda dugc ghi theo gia ciia nha xuat khau, neu ty gia bien dgng nhd va ngan han thi khdng dang de nha xuat khau dieu cbinb gia ca ghi tren gia hda don, mirc do truyen dan ty gia se cao trong tinh hudng nay vi phan thay ddi trong ty gia se dich chuyen vao trong gia khi quy ddi sang ddng ngi te, Ngugc lai, khi nhirng bien ddng trong ty gia la Idn, vdi chi phi thuc don da biet, dieu nay se dang gia ddi vdi nha xuat khau nude ngoai thay doi gia hda don bang ddng ben ciia hg de hap thu bdt mdt phan bien ddng cua ty gia, qua dd lam giam miic dg truyen dan ty gia.
Knetter (1994) da sir dung dii: Heu br 7 nganh hang xuat khau lien quan den ndn cdng nghiep d td ciia Diic va Nhat Ban trong giai doan 1973 den 1987, ket qua cho thay gia xuit khiu didu chinh bit doi xiing vdi nhiing bien ddng trong ddng tien. Neu cac cdng ty ddi mat vdi gidi ban nang luc cung iing trong chudi phan phoi hoac cac gidi ban ve thuang mai thi viec dinh gia theo tbi trudng (pricing-to-market) cd the Idn hon trong suot thdi ky dong tien ciia nha xuat khau giam gia. Neu cac cdng ty mong muon xay dung thi phin trudc nhirng bat Igi tir gidi ban thucmg mai thi chinh sach dinh gia theo thi trudng cd the Idn hon trong sudt thdi ky ddng tien ciia nba xuat khau tang gia. Ket qua thuc nghiem nay cho thay trudc su bien dgng cua ty gia, hanh vi thidt lap gia ciia doanh nghiep sc bi anb hudng theo cac hudng khac nhau do cac dieu kien ve gidi ban san lugng cung iing. rao can bong thuang mai. tir dd lam cho miic do trung chuyen nhimg thay ddi trong ty gia vao gia ban se thay ddi.
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kjnfald'hal Irion
Pollard & Coughlin (2004) thyc hien nghien cuu bnydn din ciia ty gia vao frong gia nhap khiu ddi vdi 29 nganh cdng nghiep ciia My b-ong giai doan 1978 den 2000 cbo thiy ring qua nua sd cdng ty b'ong mlu da phan iing bat doi xiing frudc viec ty gia tang va giam nhung xu hudng cua sy khdng ddi ximg thi khdng gidng nhau. Ngoai ra, nghien cuu con cho thiy cac doanh nghiep ciing phan iing bit ddi ximg horde nhirng thay ddi Idn hoac nhd ciia ty gia.
Bussiere (2013) cung cbo thiy truydn dan ty gia la phi mydn va bit ddi xiing khi sir dung dir lieu hang quy bi 1980 ddn 2006 d cac qudc gia G7, bac bd gia thuygt truydn dan ty gia vira mydn tinh vira can xiing.
Cheikh (2012) da su dung md hinh STR dd nghien ciiu vd truydn din ty gia d 12 qudc gia EU. Kdt qua bi nghien ciiu cho thay khdng cd bing chiing rd rang ve chidu hudng bit ddi xiing cua ERPT d cac nude frong mau nghien ciiu. Mdt sd nude trong mau khi dong ngi te tang gia tbi ERPT cao hon nhung mdt sd khac lai cho thay ERPT thap hon khi ddng ngi te giam gia. Tuy nhien, nghien ciiu lai eho thiy trong giai doan khimg hoang he thdng tidn te d Chau Au, ERPT lai phan iing phi tuyen vdi do Idn trong bien ddng cua ty gia. Cu the, tac gia cho thiy khi ty gia bien dgng vugt qua mdt miic ngudng thi miic dp truydn din trd nen Idn ban.
3. Phirong phap nghien ciru 3.1. Khung phan tich
Theo Campa & Goldberg (2005), Nogueira & Ledn-Ledesma (2011) gia xuit khau dugc thidt lap bdi cac cdng ty nude ngoai tinh theo ddng ngi te se dugc bidu diln nhu sau:
P," = E.di.C^ (I)
Trong do p/" la gia hang hda dinh danh bang ddng tien ndi dia, £ la ty gia danh nghTa giiia 2 qudc gia cd boat dgng thuong mai, 6^ la phan loi nhuan tang them tinh tren chi phi bien, c[ la chi phi bien dugc tinh bang ddng ngoai te,
Phan Igi nhuan tang them 0^ dugc dinh nghia nhu sau: ^i = . ' , trong dd r|^ la dd co gian ciia cau theo gia ciia hang hda i d qudc gia nhap khau. Cd the thay 9^ phu thuge vao nhu cau cua thi trudng tieu thy, do dd 9| = G(Y) vdi Y dai dien cho lye cau d thi frudng ndi dia.
Campa & Goldberg (2005), Nogueira & Ledn-Ledesma (2011) cho rang ngoai ap lire ciu thi phan Igi nhuan tang them 6 cdn phu thudc vao cac dieu kien khac eiia nen kinh te nhu sau:
Bi = 0(l',£-"'(^>) (2)
Trong dd £'"'C^) the hien cac dieu kien cua nen kinh te cd anh hudng len hanh vi thay ddi phan Igi nhuan tang them ciia doanh nghiep.
Lay logarit hai ve cua phuong trinh (2) se dugc mirc do bien ddng cua gia bang bda thuang mai tinh theo ddng ndi te nhu sau: ,
p^ = a + pec + wiZ)et + ipyt + Sep + £t (3)
Vdi y dai dien cho ydu td cau ndi dia, c^ phan anh chi phi ciia nha xuat khau, e^ la su thay ddi ciia ty gia. He sd fl thd hien miic do truyen din tryc tilp ciia ty gia, cdn w(Z) the hien phan truyen dan gian tiep ciia ty gia tuy thudc vao cac dilu kien ciia mdi trudng kinh te. Gia sir tdn tai mdt miic ngudng M phan chia nen kinh te thanh 2 trang thai: vi du ty gia bien ddng cao va thap.
, „ , (0.khiZ<Z'
Theo phucmg trinh (3) va (4), mirc do truyen dan se khac nhau va tuy thupc vao bien so vi mo nam tren hay duai miic nguong. Ndu qu6c gia nhap khau co bien so vT mo c6 gia tri nho (nho hem Z*) thi ERPT bang /i. Ndu bidn s6 vT mo ctia qu6c gia nhap khau dat miic gia tn cao hon miic nguong thi he so ERPT se la ^ + 0.
U y sai phan phuong trinh (3) dd tinh su thay doi trong chi so gia hang hoa thucmg mai, chiing ta co:
Ap, = /?ACt* + k&yt + [« +w(z)]Ae, (5)
Dd phan tich anh hucmg ciia thay dii trong ty gia vao gia tieu dting. Nogueira & Leon-Ledesma (2011) da sir dung chi so gia tidu dung tong hop nhu sau;
Sd 279 thing 9/2020 8' hinlitiyiiallrien
PcPi = PX'" (6)
Trong dd p^-p, la chi sd gia tieu diing, P^ la chi so gia dai dien cho hang hda phi thuong mai, Pj. la chi so gia hang boa thuong mai va 0 la ty frgng cua moi loai hang hda frong chi sd gia tieu dung tdng hop.
Lay log phuong trinh sd (6) chiing ta se thu dugc cdng thiic tinh miic do lam phat ciia nin kinh tl nhu sau:
TT ^ OTTH -I- (1 - 0)nr (7)
De the hien sir dai ding cua lam phat, tac gia gia dinh do tri I cho ca miic gia hang bda thuang mai va phi thuong mai, khi do chiing ta cd:
7r(H)t = 57r(H)t-i + (p^yt (8)
^iT)t = S^(T-)t-i + P^c't + fcyt -\-[a-\- w(Z)]Aec (9)
Thay the lam phat hang bda khu vuc thuong mai va phi thuang mai vao phuong trinh (9), chiing ta se thu dugc:
lit = '^[Sn(H)t-i + (p^Vt] + (1 - 0){5jr(r)t-i + pAc't + kAy^ + [a + iv(2)]AeJ (10) Sap xep lai phuong frinh (10) chung ta se cd:
Kt = Stit-i + [(1 - 0)k -\- 0(p]Ay[ + i l - 0)l3Ac't + (1 - 0)[a + w(Z)]Aet (11) Phuong trinh (11) dugc ggi la dudng cong Phillips cd xem xet den yeu td qua khii (backward-looking).
3.2. Phmfngphdp nghien cmt
Theo Nogueira & Ledn-Ledesma (2011), tac gia sii dung lop md hinh STR de ude lugng quy md truyen dan tiiy theo cac trang thai khac nhau cua lam phat.
3.2.1. Ham hdi quy chuyen tiep tran
Md hinh quy chuyen tiep iron (STR) dugc dua ra boi Terasvirta (1994), Dijk & cdng sir (2002) de thyc bien nghien cim. Md hinh STR cd the dugc md ta nhu hai md hinh tuyln tinh binh quan trgng sd, vdi frgng sd dugc xac dinh bdi gia tri ciia ham chuyen tiep. Md binh STR tdng quat dugc xac djnh nhu sau.
yt = (p'zt + O'ztist; y, c) + Ut (12)
= [0-H (s^; 7, c)]'z^ + Uj, vdi t = 1, ... , 7 Trong dd;
• z la cac bien giai thich, bao gdm vec ta cac tre ciia bien ndi sinh va vec to cac bien ngoai sinh;
• 0 = (0o''^i' ••• ' ^ J ' ^ ^ ^ " ( ^ o ' ^ i ' •• , ^1,)'la vec-to tham sd vdi (k + l ) x i
• u la sai sd tuan theo quy luat phan phdi chuan;
• G(s ; y, c) la mgt ham ciia bien chuyen bep s^ vabi chan frong khoang (0,1); bamsd nay lien tue mgi vi tri trong khdng gian tham sd ddi vdi bat ky gia tri s^;
• Biln chuyen tiep s^ la mgt thanh td ciia z, do dd cd the dugc gia dinh la bien fri ngi sinh (s^ = y^^) hoac mgt bien ngoai sinh (s^ = x^^)
• )' la tham so do ddc, chi tdc do cua ham chuyen tiep.
, c = (c ,..., €,)' la vec to cac tham sd ngudng, thda man Cj < ••• <c^, tham sd nguong nay cho biet vi tri ma qua frinh chuyen tilp cd the xay ra. Md hinh (1) cd the dugc hilu nhu la mgt md hinh tuyen tinh vdi h?
sd thdng ke biln ddi nglu nhien theo thdi gian: <f) + (s^; y, c) tiiy thudc vao gia tri ctia 5^.
Co hai dgng ham chuyen tiep:
NSU ham chuyen tiep Id ham logistic (LSTR) cd dgng tdng quat:
G{st:y.c) = 0-^exp{-y{St-Ck\y^ -pO
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Md hinh LSTR tdn tai 1 ngudng bilu thi cbo frang ciia banb vi bit ddi xiing, bic la biln phu thudc thay ddi nhu thi nao khi bien chuyen tiep d dudi va d fren gia fri nguong.
Neu ham chuyen tiep Id dgng ham md (ESTR):
Gist.y.c) = l - e x p { - y ( s t - c i ' ) ^ } , } ' > 0
Trong md hinh ESTR nhiing thay ddi ciia he so hoi quy phu thuoc vao biln chuyin tilp la xa hay gin gia fri ngudng, bit kl la chenh lech (s, - c) la duong hay am.
3.2.2. Quy trinh xdy dung md hinh STR
Quy frinh xay dung md hinh LSTR va ESTR gdm 3 budc nhu d l xuit cua Franses & Dijk (2000):
Budc 1: Thiet lap md hinh bdi quy tuyln tinh fren nin tang ly thuylt va cac nghien ciiu thyc nghiem Hen quan. Thyc hien kilm djnh gia thuylt tuyln tinh tren md hinh nin tang ban diu (gia thuylt HO: md hinh myln tinh). Khi gia thuylt phi tuyln dugc chap nhan thi tiln hanh chgn biln chuyin tilp s, phii hop dl hinh thanh ham chuyen tiep G;
Budc 2: Ude lugng cac tiiam sd trong md binh vdi bam chuyin tiep da cd;
Budc 3: Danh gia chat lugng md hinh.
3.3. Md hinh thifc nghiem
Dya theo khung phan tich va md hinh STR tdng quat, tac gia sir dung md hinh thuc nghiem nhu sau:
in/t = ao + S i t i Aj. (nA_i + 1%Pj. en.j + {^U<Pjen,j) • G(er,_f; y. c) -\- Y.%^^jgpit-j f
Trong do:
• inf: lam phat dugc do ludng bang phan tram thay ddi trong chi sd gia tieu dimg CPI. Biln nay dugc tinh theo cdng thiic: In f - ^ ^ V
• er^ phan fram thay ddi ciia ty gia danh nghia USDVND. Bien nay duoc tinh theo cdng thirc:
• gpi^ : phan fram thay ddi ciia chi sd gia bang bda toan cau (Global price index) dai dien cbo mirc do thay ddi gia ca tir nba xuat khau dai dien cbo phia cung;
• iip^_: phan tram thay ciia ddi cbi sd san xuit cdng nghiep (Index of Industrial Production) dai dien cho miic cau ndi dia;
• y: la be sd xac dinh tdc do chuyen tiep giira hai trang thai;
• c: gia fri ngudng;
• er : bien ty gia dugc sir dung lam bien chuyen tiep frong md binh.
He s6 truydn din trong ngJn han: j , ^ ^ ^^.^ ^^^^^^ ^^^^
He sd truyen dan dai ban: iC'-n^,+2^-^.0,
^ • LRERPT^"-^;'"' Y ' ' ( 1 4 )
Mau dii lieu diing frong nghien ciiu nay dugc lay theo thang frong giai doan bj thang 2 nam 2000 den thang 12 nam 2018.
Dii lieu frong nghien ciiu dugc lay tir Thomson Reuters Datastream (datasfream.thomsonreuters.com).
4. Ket qua nghien ciJu
4.1. ThSng ke mo td, tir tieomg quan, kiim dinh tinh ddng cdc bien 4.1.1. Thdng kemdtd
Bang 1 trinh bay thdng ke md ta ciia cac biln sii dung chinh frong md hinh (trong dd bien lam phat (inf)
s6 279 thdng 9/2020 89 lvjn|] iej»|ia( trien
Bang 1: Thdng ke mo ta cac biln Trung binh
Trung vi Gia tri 1cm nhiit Gia tri nho nhat Dp lech chuan Skewness Kurtosis Jarque-Bera Probability Sum Sum Sq. Dev.
So quan sat
inf sa 0,005 0,004 0,038 -0,015 0,007 1,683 8,464 389,741
0,000 1,205 0,010 227
er 0,002 0,000 0,092 -0,005 0,008 7,609 73,193 48793,00
0,000 0,489 0,015 227
0,003 0,008 0,084 -0,201 0,042 -1,073 5,594 107,227
0,000 0,725 0,407 227
up 0,004 0,005 0,286 -0,495 0,090
•0,695 8,756 331,682
0,000 0,981 1,826 227 Ngudn- Thomson Reuters Datastrean.
dugc dieu chinh mua vu theo phuong phap X-12 additional).
Thdng ke cho thiy trong giai doan nghien ciiu binh quan lam phat d Viet Nam khoang 0,5%/thang bic khoang 6%/nam, tuy nhien cung cd thang lam phat len den 3,8%/thang. Miic bien ddng ty gia binh quan khoang 0,2%/thang tuong img vdi miic gan 3%/nam, ca biet ciing cd luc lam phat len den 9,2%/thang.
Trong Hinh 2, tinh frang lam phat ciia Viet Nam trong giai doan 18 nam ciia nghien cim cd nhieu bien ddng nhung nhin chung nam frong mirc binh quan khoang 0,5% hang thang. Trong khoang thdi gian tir 2000 din 2018 tbi thai dilm cudi nam 2007 din niia diu nam 2008 lam phat tang vgt len den gan 3,5%/thang tuang ling vdi giai doan nen kinh te My ndi neng va toan the gidi ndi chung trong do cd Viet Nam budc vao thdi ky kinh te suy thoai. Giai doan thii hai vdi dinh lam phat tang den miic gan 3% vao quy 2 nam 2011, nam dugc xem nbieu van de vTmd xuat bien ndi com va day dac. Trong bdi canh dd, Chinh phii (2011) da ban hanh Nghi quyet sd 11 ngay 24 thang 02 nam 20 U ve cac nhdm giai phap chii yen de thyc hien nhiem
Hinh 2: Mo ta bien laim phat va bien ddng ty gia
2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 rZ.— Lam phat Bien dong ty gia USDVND I
Nguon. Thom.wn Reuters Data.stream.
Sd 279 thdng 9/2020
kJahlfJtiiirifii
Bang 2: H^ so ty tuong quan
"P
1,000 0,140 0,311 -0,046
0,140 1,000 0,082 0,009
0,311 0,082 1,000 0,023
-0,046 0,009 0,023 1,000 Ngudn. tdc gid tu linh todn
vu trgng tam, cap bach hien nay la kiem chi lam phat, dn dinh kinh te vT md, bao dam an sinh xa hgi phan nao phan anh tinh cap bach cua tinh binh va sy nhay ben ciia cbinb phii trong nhin nhan va xu ly van de kinh te vT md ciia Viet Nam. Tinh hinh lam phat sau do din dugc kiem soat va giai doan tiep theo lam phat deu nam d khung khoang 0,2%/tbang.
Ty gia hdi doai U S D A ^ D trong giai doan nghien ciiu nhin chung cd 3 frang thai tuang ddi ro ret. Giai doan tir nam 2002 den cudi nam 2007, ty gia "lang sdng" miic do bien dgng hau nhu khdng dang ke neu khdng mudn ndi la thdi ky ty gia dn dinh cua Viet Nam. Tuy nhien, giai doan tir dau nam 2008 den cudi nam 2011 la giai doan ty gia cua Viet Nam bien dgng manh, 2 dinh ty gia duoc thiet lap vao nam 2008 va nam 2011 ciing gan nhu trimg nhip vdi dien tien ciia lam phat trong nen kinh te lan lugt d miic 5% va 9%. Giai doan sau nam 2011 biln ddng ty gia hang quy xoay quanh khu vuc +/- 3% tuy nhien miic do dao dgng nhieu hon, phan nao phan anh miic do "ndi Idng" trong kiem soEtt ty gia cua Ngan hang nha nude.
4.1.2. Tu tuang quan
Bang 2 trinh bay cac gia tri ty tu'ong quan cua cac bien sir dung trong md hinh dugc tinh ben dudi, cac he sd brong quan giiia cac bien deu be hon 0,5, cac biln frong md hinh khdng tdn tai kba nang ty tuong quan nen phu hgp de dua vao md hinh hdi quy.
4.1.3. Kiem dinh tinh dieng
Kilm dinh nghiem don vi Augmented Dickey-Fuller (ADF) dugc su dung de kiem tra tinh dimg ciia cac biln trudc khi thyc bien bdi quy. Ket qua trong Bang 3 cbo thay tat ca cac bien su dung trong md hinh deu dimg.
4.2. Kit qud hdi quy
4.2.1 Md hinh hdi quy tuyen tinh casd
DIU tien tac gia uoc tinh md binh truyen din ty gia tuyen tinh bang md hmh br hdi quy phan phdi tre (Autoregressive distributed lag - ARDL). Muc dich thir nhat cua viec nay la md hinh ARDL se giiip tim ra do tra phii hgp cho md hinh myln tinh co sd bing each sir dung tieu chi AIC (Akaike info criterion) de lua chgn, theo dd md hinh vdi dd tri la 6 cho biln phu thudc va I cho cac biln ddc lap la pbii hgp nhit. Thii hai.
md hinh se giiip do ludng mirc do truyen din trong mdi quan be tuyen tinh giiia cac biln dl lam co sd so sanh vdi miic do truyin din ty gia theo khung phan tich phi myln.
Bang 3: Kilm dinh dnh dung Bidn
inf_sa er gpi
•ip Ngifon: ldc gia
So 279 thing 9/2020
Gia tri tdi ban 1% 5%
-3,999 -3,429 -3,999 -3,429 -3,999 -3,429 -3,999 -3,430 lir linh todn.
10%
-3,138 -3,138 -3,138 -3,138
91 Gia tri thdng ke
-5,340 -15.156 -9,708 -12,978
p value
0,000 0.000 0.000 0.000
Ket lu^n
Chudi dimg Chuoi dimg Chuoi dimg Chuoi dimg
kJiilili'J'hallrii'ii
Bang 4: Ket qua mo hinh hoi quy tuyen tinh (ARDL) Bien
inf sa{-l) inf sa(-2) inf sa(-3) inf sa(-4) inf sa(-5) inf sa(-6)
er er(-l)
up iip(-l)
gpi gpi(-l)
c R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)
Coefficient 0,576 0,063 0,109 -0,095 0,203 -0,118 0,094 0,078 -0,000 0,006 0,022 0,020 0,000 0,691 0,673 0,004 0,003 925,839 38,718 0,000
Std. Error t-Statistic 0,067
0,075 0,074 0,074 0,074 0,063 0,031 0,032 0,003 0,003 0,007 0,007 0,000 Mean dependent var S.D. dependent var Akaike info criterion Schwaiz criterion Hannan-Quinn criter.
Durbin-Watson Stat 8,690 0,837 1,477 -1,286 2,726 -1,870 3,016 2,514 -0,068 2,003 3,331 2,827 2,453
Prob.*
0,000 0,403 0,141 0,200 0,007 0,063 0,003 0,013 0,946 0,046 0,001 0,005 0,015 0,005 0,006 -8,261 -8,061 -8,180 1,992 Ngudn: tdc gid tu linh todn.
Md hinh ARDL thyc nghiem dugc cho nhu sau:
p q l qZ q3
inf jat = ffo + y -^r '"f -^"t-J + X '^J^^^'^--' "*" X ^i^^^^'-i '^ Z!^>-'^^^~' "*" ^*
!=l ; = 0 ; = 0 J = o
Bang 4 cho thiy kit qua ude tinh be so fruyin dan ty gia theo md hinh ARDL tuyen tinh. Theo do, frong ngln ban, kbi ty gia biln dgng 1% thi lam phat se thay ddi 0,094%, frong dai ban se la 0,665%. Nhu vgy, kit qua cho thiy frong dai ban mirc do frung chuyen ty gia vao lam phat se Idn hon trong ngin ban, dilu nay cd the dugc giai thich ring trong dai ban nhirng thay ddi trong ty gia se dugc tich luy va dich chuyin vao miic gia ca ciia nen kinh te.
4.2.2. Kit qud tie md hinh hoi quy chuyen tiep tran
Khi uoc lugng tir md hinh STR cac gia tri fre ciia cac bien dugc chgn dya theo md hinh ARDL ca sd.
Cac he sd cua md hinh STR dugc ude tinh bing ky thuat binh phuong nhd nhat phi myen (nonlinear least squares) cung d p cac he sd uoc lugng tin cay va tiem can vdi phan phdi chuan.
Ddi vdi mdi md hinh, biln chuyen tiep phii hgp dugc lua chgn dua tren kiem dinh md hinh phi tuyen vdi biln chuyin tilp tilm nang khdng cdn phi tuyen va khdng cd tucmg quan chudi. Biln chuyin tiep dugc cbgn cin dat duae bai dilu kien: bac bd manh nhit gia thuyet md hinh tuyen tinh cua md hinh co sd va ket qua sau khi ude lugng vugt qua dugc kiem dinh md binh khdng cdn phi biyen.
Trong phin nay, tac gia xem xet sy thay ddi trong ty gia hdi doai la yeu td dan dat dua den mdi quan he phi friyln ciia qua frinh fruyin din. Nhu da frinh bay d phan trudc, ddi vdi ty gia cd thi tdn tai hai dang fruyen dan phi ttiyin: lam phat se tiiay ddi bit ddi ximg theo xu hudng ty gia tang hoac ty gia giam hoac lam phat se thay ddi khac biet theo do Idn frong biln ddng cua ty gia. Trong nghien cim nay tac gia su dung md hinh LSTR theo ggi y tit cac nghien cim frudc de do luong he so truyin dan theo xu hudng bien dgng ty gia: tiro la so sanh ERPT kbi ty gia tang hoac giam dudi mdt miic nguong.
92 kiniUpibaliricR so 279 thdng 9/2020
B^ng 5: Kiem dinh lua chon mfl hinh voi bien chuyin tiep la ty gia
H04: bl=b2=b3=b4=0 H03: bl=b2-b3=0 H02 bl-b2=0 HOI: bl=0
er(-]) 0,000 0,000 0,003 0,001
cr(-2) 0,245 0,860 0,988 0,959
er(-3) 0,076 0,041 0,465 0,831
er(-4) 0,184 0,094 0,048 0,032
er(-5) 0,390 0,825 0,767 0.558
er(-6) 0,005 0,060 0,059 0.103
er(-7) 0,002 0,011 0.019 0.014 H3: b3=0
H2: b2=0|b3-0 HI: bl-0|b2=b3-0 Lua chon mo hinh
er(-l) 0,000 0,266 0,001 LSTR
er(-2) 0,294 0,891 0,959 linear
er(-31 0,008 0,192 0.831 LSTR
er(-4) 0,523 0.272 0,032 Linear
er(-5) 0,621 0,738 0,558 Linear
er(-6) 0,238 0,114 0,103 linear
er(-7) 0.101 0.201 0,014 LSTR Ngudn: tdc gid t^c tinh todn.
Bang 6: KSt qua hoi quy v ^ bien chuyen tiep la ty gia BIEN Coefficient Std. Error t-Statistic Prob.
Cac bien ngudng (phan tuyen linh) c
er er(-l)
0,001 0.000 0,097 0.031 -0,055 0,049
3,289 3,146 -1,140
0,001 0,002 0,256 Cac bien ngudng (phan phi tuyen)
cr er(-l)
-0,002 0,001 -0,197 0,291 0,251 0,064
-1,271 -0,678 3,891
0,205 0,498 0,000 Cac bien doc lap khac
inf_sa(-l) inf_sa(-2) inf_sa(-3) inf_sa(-4) inf_sa(-5) inf_sa(-6) iip iip(-l)
gpi gpi(-l)
0,545 0,090 0,122 0.101 0,182 0,118 0,000 0.007 0,022 0.019
0.065 0,074 0,074 0,075 0,073 0.063 0.003 0,003 0,007 0,007
8,347 1,223 1,642 -1,349 2,478 -1,865 -0,056 2,142 3,217 2,674
0,000 0,223 0,102 0,179 0,014 0,064 0,955 0,033 0,002 0,008 He so do doc
T 28870,41 226983.2 0,127 0.899
Gia tri ngaung
c 0,008 0,000 24.005 0,000
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic)
0,713719 0,689626 0,003688 0,002748 929.8064 29,62352 0,000000
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn enter.
Durbin-Watson stat
ERPT ngIn han ERPT dai han
G=0
0,005554 0,006620 -8,289149 -8,011489 -8,177022 2,009678
Ngudn: tdc gid tt/ tinh todn
So 279 thdng 9/2020
Kiiililrihiillrien
Hinh 3: Ham chuyin tiep doi vdi bien ty gia Threshold Weight Function
Logistic (c = 0.00849098)
02-1
^
Nguon: tdc gid tie tinh todn
Tac gia lan lugt kiem tra gia tri tre tir 1 den 7 cua bien chuyen tiep la bien ddng ty gia. Tir Bang 5, dua theo de xuat ciia Luukkonen & cdng sy (1988), Terasvirta (1994) cho thay gia tri tre bang 7 la phii hgp. Md hinh xay dyng vdi bien tre bang 7 ciing vugt qua dugc cac kiem dinh hau nghiem quan trgng nhu: khdng cdn phan phi tuyen trong md hinh, md hinh khdng cd tu tucmg quan chudi. Md binh chuyen tiep dugc lua cbgn phii hop trong tinh hudng nay la md hinh LSTR I nguong.
Ket qua tir Bang 6 cho thay md hinh phi tuyen cung cap cho chiing ta ket qua phii hgp ban so vdi md hinh tuyln tinh dua theo cac khia canh thdng ke: R2, SSR, AIC. Ket qua tir nghien cim cho thay miic bien ddng ciia ty gia 0,8%/tbang chia nen kinh te thanh 2 trang thai: ty gia bien ddng it va ty gia bien dgng manh.
Trong ngIn ban, sy phan img ciia lam phat trudc cii sdc trong ty gia la ngugc chieu nhau, cu the miic truyin din la 0,097% khi ty gia bien dgng dudi ngudng va mirc truyen dan la -0,356% khi bien ddng ty gia vugt miic nguong. Muc do truyen dan ngugc chieu khi bien ddng ly gia vugt nguong cd the la do cac nba nhap khau trong nude da tim cac hang hda thay the den tir cac nha cung ung khac trong giai doan ty gia tang manh. Miic do truyen dan cd the bi bu trir neu nhu cd su dich chuyen cac dan dat hang giira cac qudc gia mgt each nhanh chdng. Kit qua nay tuong br nhu bang chiimg dugc tim thay bdi Faryna (2016) khi nghien ciiu cho Ucraina va Nga.
Trong dai ban, khi bien dgng cua ty gia d dudi nguong thi he sd truyen din la 0,1479% cdn khi miic bien dgng cua ty gia vugt ngudng thi he sd truyen dan tang len 0,339%. Ket qua nay cho thay khi ty gia bien ddng manh thi ve lau dai cac doanh nghiep se chuyen phan thay ddi frong ty gia vao miic gia ca nhieu han.
Kit qua nay cung cap bang chiing ve dgng co duy tri thi phan cua cac doanh nghiep d thi trudng Viet Nam trong dai han. Cac doanh nghiep se chuyen bien ddng cua ty gia vao trong gia nbieu hon khi ty gia biln dgng vugt nguong 0.8%/thang.
Ket qua bi nghien cim nay cbo thay miic do bien dgng cua ty gia gay ra phan iing bat ddi xiing ciia ERPT tuong ddng vdi cac bang chiing dugc tim thay trong nghien ciiu cua Pollard & Coughlin (2004). Ben (2012), Bussiere (2013).
Hinh 3 cho thiy ham chuyen tiep cd do ddc Idn, miic nguong cua ty gia gan bang 0,8'lo thang, qua trinh chuydn tilp cua lam phat gin nhu dot ngdt.
So 279 thdng 9/2020
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Hinh 4: Moi quan he giira ham chuyin tiep va bien chuyin tilp theo thoi gian
2000 2002 2004 2006 2008 2010 2012 2014 2016 2018
^ Bien chuyen tiep ER(-7) - - Threshold
Ham chuyen tiep theo thoi gian
Nguon • ldc gid tu tinh todn.
Hinh 4 the hien mdi quan be giira he sd truyin dan ty gia vao lam phat theo thdi gian va biln chuyin tilp, ta cd the thay klii bien chuyen tiep vugt tren miic ngudng tbi miic truyen dan cua ty gia se gia tang.
5. Thao lu3n kit qua nghien ciiu va ham y chinh sach
Nghien ciiu nay cung cap bang chiing cho thay miic do truyen dan ty gia vao lam phat d Viet Nam la phi tuyen va khac bidt nhau tuy thudc vao trang thai bien ddng ciia ty gia. Ket qua tir nghien ciiu cho thay, trong dai ban, miic do truyen dan se thap khi bien ddng ciia ty gia nam dudi miic ngudng va miic truyen dan fro nen cao ban khi bien ddng ty gia vugt qua miic ngudng.
Ket qua nay cbi ra rang ddng co duy tri thi phan ciia doanh nghiep cd the la nguyen nhan cho sy phan irng bat ddi xiing cua lam phat trudc cii sdc trong ty gia d Viet Nam. Dudi gdc do dieu hanh ciia chinh phii, mdi quan he phi tuyen ciia truyen dan ty gia vao lam phat va mirc do bien dgng frong ty gia can phai dugc tinh den khi xay dyng chinh sach binh dn lam phat.
Tnrdc bdi canh canh tranh trong nen kinh te Viet Nam ngay cang cao, khi miic bien ddng trong ty gia thap thi cac doanh nghiep cd thi hip thu sy thay ddi nay va it truyen dan vao gia ban de duy tri thi phan. Tuy nhien khi mirc biln dgng ciia ty gia Idn, cac doanh nghiep se thay ddi hanh vi cua minh va truyen dan nhieu hon nhimg thay ddi cua ty gia vao gia ban.
Vdi muc tieu 6n dinh mirc gia ca frong nen kinh te. khi ty gia bien dgng vugt ngudng 0,8%/tbang thi cac nha lam chinh sach Viet Nam cin theo ddi va thyc hien cac can thiep can thiet tren thj frudng ngoai hoi. Dilu nay cd thi giiip cac doanh nghiep duy tri igi the canh tranh ciia minh. ban che ddng co truyen dan nhihig thay ddi frong ty gia vao lam phat qua do lam tranh nguy co kich hoat lam phat cao frong nen kinh te.
Sd 279 thdng 9/2020
kinlili'J'tianrirn
Tai U|u tham khao
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si 279 thing 9/2020 % Kinli IrAlJrjPD
