cac yeu to tac dong den lai suat chinh phu

i

TM TT TI

1. L do chn ti

Trong tnh trng chung ca nn kinh t th gii hin nay vi nhiu bin ng bt n,

vic thm ht ngn sch chnh ph do chi ph ti tr cho vic i vay qu cao l nguy c

dn n tnh trng khng hong n cng ca rt nhiu quc gia trn th gii ni chung

v Vit Nam ni ring. Nh vy, nhng yu t no nh hng n li sut tri phiu

chnh ph? Cc ti liu kinh t cho thy rng chi ph i vay ca chnh ph ph thuc

vo cc iu kin c bn trong nn kinh t nh: n chnh ph, tng trng kinh t, lm

pht, cn i ngn sch. Mi quan h di hn gia li sut tri phiu chnh ph v yu

t v m c bn c th b ph v trong ngn hn, c bit l trong giai on ti chnh

cng thng, nht l khi cc cuc khng hong ti chnh xy ra. Do , vic nghin cu

cc yu t tc ng n chi ph ti tr n vay ca chnh ph hay li sut tri phiu

chnh ph a ra cc chnh sch i ph thch hp l thc s cn thit. Bi nghin

cu c a ra nhm lm r cc vn ni trn.

2. Mc tiu nghin cu

Bi nghin cu c a ra vi mc ch tm hiu cc yu t ngn hn v di hn

tc ng ln li sut tri phiu chnh ph ni chung. ng thi ti cng kim

tra nh lng nhm xem xt mc v cc thc cc yu t ny tc ng n li sut

tri phiu chnh ph ti th trng Vit Nam ni ring.

3. Phng php nghin cu

ti s dng phng php tng hp v so snh da trn nhng bi nghin cu trc

y ca cc tc gi trong v ngoi nc, ti tm hiu cc kt qu t c v nhng

hn ch ca cc nghin cu a ra mc tiu, cu hi, phm vi thc hin v ng

gp ca ti. ng thi, da trn s liu thc t thu thp c v cc kt qu o

lng so snh vi cc ch tiu c th a ra. Bn cnh , c bit quan trong l

vic s dng phng php m hnh ha bng cng c kinh t lng. Da trn nghin

ii

cu ca Tigran Poghosyan, ti s dng m hnh hiu chnh sai s ECM (Error

Correction Model) o lng mc tc ng ca cc yu t ngn hn v di hn

n li sut tri phiu chnh ph Vit Nam vi mu d liu hng thng ca li sut tri

phiu chnh ph v cc yu t tc ng ti n giai on t 1/2007 n 8/2009.

4. Ni dung nghin cu

ti tm hiu tc ng ca cc yu t v m n li sut tri phiu chnh ph trong

ngn v di hn. Cc bi nghin cu trc y u a ra bng chng xc minh cho

mi quan h di hn gia li sut tri phiu chnh ph v cc yu t chnh c bn tc

ng: t l n chnh ph/GDP v tc tng trng tim nng. Mt s gia tng trong

t l n chnh ph/GDP s lm tng li sut tri phiu chnh ph. Ti bt k thi im

no, li sut tri phiu chnh ph c th i chch khi v tr cn bng trong di hn do

tc ng ca cc yu t ngn hn, c th l nhng thay i trong t l n/GDP, li sut

th trng tin t (tc ng ca chnh sch tin t), tc tng trng v t l cn i

ngn sch/GDP v lm pht. Ngoi ra cn c mt s nhn t c th tc ng lm lch

li sut tri phiu chnh ph khi mc cn bng di hn nhng rt kh nh lng

c, c bit l tc ng ca khng hong (v d nh s khng chc chn ca chnh

sch).

ti s dng m hnh hiu chnh sai s ECM nhm kim nh v nghin cu cc yu

t tc ng n li sut tri phiu chnh ph ti Vit Nam da theo nghin cu ca tc

gi Tigran Poghosyan (2012). ti nghin cu gm c bn phn c cu trc nh

sau. Phn I gii thiu chung v cc yu t tc ng n li sut tri phiu chnh ph.

Phn II xem xt khung l thuyt v cc ti liu nghin cu thc nghim v cc yu

t tc ng n li sut tri phiu chnh ph, c bit tp trung v n chnh ph, tc

tng trng tim nng v cn i ngn sch chnh ph, l nhng yu t quyt nh ca

li sut tri phiu chnh ph. Phn III a ra m t k thut thc nghim c s dng

trong phn tch v d liu. Phn IV trnh by v tho lun cc kt qu thc nghim t

iii

Vit Nam. Phn cui cng l nhng hn ch ca ti v cc hng nghin cu tip

theo.

5. ng gp ca ti

ti s dng phng php c lng mi l ECM m t nghin cu no v cc yu

t tc ng n li sut tri phiu chnh ph s dng o lng Vit Nam. y l

phng php c nh gi cao v s dng nhiu quc gia tin tin trn th gii. t

ti tin rng cc kt qu thu c s c ngha v mt chnh sch iu hnh cho

chnh ph n nh hn tr trng tri phiu chnh ph Vit Nam.

6. Hng pht trin ca ti

M rng chui d liu li sut cho Vit Nam c v k hn v thi gian ly mu, c th

l cc tri phiu k hn 5 nm, 10 nm hoc hn v giai on kho st khng ch gi

gn trong giai on khng hong m m rng hn c tnh c chnh xc hn.

Ngoi ra, c th nghin cu v tc ng ca vic cng b thng tin kinh t hoc d bo

cc yu t v m tc ng ln li sut tri phiu chnh ph.

iv

TM TT ........................................................................................................................ 1

1. GII THIU .............................................................................................................. 2

2. CC YU T TC NG N LI SUT TRI PHIU CHNH PH ........... 4

2.1. Tc ng ca tc tng trng ln li sut tri phiu chnh ph .................... 4

2.2. Tc ng ca n chnh ph ln li sut tri phiu chnh ph ............................. 8

2.3. Tc ng ca thm ht, thng d ngn sch chnh ph ln li sut tri phiu

chnh ph ..................................................................................................................... 13

2.4. Cc yu t ngn hn tc ng ln li sut tri phiu chnh ph ....................... 19

2.5. Tc ng ca mt s cc nhn t khc ln li sut tri phiu chnh ph ......... 21

3. PHNG PHP NGHIN CU, D LIU NGHIN CU ............................... 24

3.1. Phng php nghin cu .................................................................................. 24

3.2. D liu nghin cu ........................................................................................... 28

4. THO LUN KT QU NGHIN CU ............................................................. 31

4.1. Phn tch nh tnh v kt qu d bo ca m hnh .......................................... 31

4.2. Kt qu chy m hnh cho Vit Nam ............................................................... 33

4.2.1. Kim nh tnh dng ca chui s liu ...................................................... 33

4.2.2. Kim nh ng lin kt Johansen ............................................................. 34

4.2.3. Kt qu ....................................................................................................... 36

4.2.4. Hn ch ca m hnh nh lng ............................................................... 38

5. CC KT QU NGHIN CU CHNH CA TI ....................................... 39

5.1. Kt lun ............................................................................................................. 39

5.2. Hn ch ca ti v cc hng nghin cu tip theo .................................... 40

v

5.2.1. Hn ch ca ti ...................................................................................... 40

5.2.2. Cc hng nghin cu tip theo: ............................................................... 40

vi

DANH MC T VIT TT

- ECM: M hnh hiu chnh sai s

- GDP: Tng sn phm quc ni

- CES: Hm hu dng CES

- EH: L thuyt k vng EH (Expectation Hypothesis)

- OECD: T chc Hp tc v Pht trin Kinh t (Organization for Economic

Cooperation and Development)

- ADF: Kim nh nghim n v

- G7: Nhm 7 nc Php, c, , Nht, Anh, Hoa K v Canada

vii

DANH MC HNH BNG

Hnh 1.1. th li sut tri phiu chnh ph Vit Nam 01/2007 n 07/2009. ............. 3

Hnh 2.1.Mi lin h gia li sut v thm ht ngn sch chnh ph. ........................... 14

Bng 3.1.Ngun v cch x l s liu tnh ton ............................................................ 29

Bng 4.1.Kim nh tnh dng ....................................................................................... 34

Bng 4.2.Kim nh ng lin kt Johansen .................................................................. 35

Bng 4.3.Kt qu tc ng cc yu t n li sut tri phiu chnh ph di hn ........... 36

Bng 4.4.Tc ng cc yu t n li sut tri phiu chnh ph trong ngn hn........... 37

1

TM TT

ti phn tch cc yu t chnh tc ng n li sut tri phiu chnh ph bao gm:

n chnh ph/GDP, tc tng trng tim nng v cn i ngn sch. Bn cnh

cng xem xt mi quan h di hn ny c th b ph v trong ngn hn do cc yu t

nh: s thay i ca li sut th trng tin t, nhng c sc lm pht bt ng, nhng

thay i tm thi trong cn i ngn sch v nhng bin ng ca tc tng trng

xung quanh mc tim nng. Tri phiu chnh ph l mt cng c hu hiu trong vic

huy ng vn cho ngn sch nh nc v cho u t pht trin. Th trng ny ng

vai tr quan trng trong vic iu hnh chnh sch ti kha v chnh sch tin t quc

gia. Xt n nn kinh t Vit Nam,chng ta lun phi i mt vi thch thc v n

nh kinh t v m, pht trin cha bn vng, sc cnh tranh ca nn kinh t cn thp.

Nghin cu cc yu t nh hng n li sut tri phiu chnh ph l rt cn thit cho

vic d bo, iu chnh hng i ca li sut trong ngn hn v di hn, t gp phn

n nh nn kinh t ni chung. ti s dng m hnh ECM nhm kim nh v

nghin cu cc yu t tc ng n li sut tri phiu chnh ph ti Vit Nam. Cc vn

chnh rt ra c nh sau: Trong di hn, 1% tng trong N/Sn lng cng nghip

s lm li sut tri phiu chnh ph tng 3% v ngc li tc tng trng sn lng

tim nng tng 1 n v s lm gim li sut tri phiu chnh ph 2.5 n v; trong

ngn hn, s thay i trong li sut tri phiu chnh ph khi v th cn bng trong di

hn l do phn ng vi s thay i ch yu trong li sut th trng lin ngn hng, t

l N/Sn lng cng nghip, cn i ngn sch c bn v tc tng trng sn

lng. Tc ng ca s thay i trong lm pht l yu hn. Trung bnh th khong 20%

lch t v tr cn bng trong di hn c iu chnh trong mt nm.

T kha: Li sut tri phiu chnh ph, tc tng trng tim nng, t l n chnh

ph/GDP, cn i ngn sch c bn, lm pht, li sut th trng tin t.

2

1. GII THIU

Nhng yu t no nh hng n li sut tri phiu chnh ph trong di hn? Cc ti

liu kinh t cho thy rng chi ph i vay ph thuc vo cc iu kin c bn trong nn

kinh t, v c bit l cc yu t ti kha.V d, khi n chnh ph tng, cc nh u t

nm gi tri phiu chnh ph phi chu mt mc ri ro cao hn do vy li sut tri

phiu s tng (ri ro v n, s gim gi tin t v lm pht).

Mi quan h di hn gia li sut tri phiu chnh ph v cc cc yu t v m c bn

c th b ph v trong ngn hn, c bit l trong giai on khng hong ti chnh.

iu ny cho thy s cn thit phi phn bit gia cc yu t quyt nh li sut vay

di hn v ngn hn. Cc bi nghin cu trc y u a ra bng chng xc minh

cho mi quan h di hn gia li sut tri phiu chnh ph v cc yu t chnh c bn

tc ng: t l n chnh ph/GDP v tc tng trng tim nng. Mt s gia tng

trong t l n chnh ph/GDP s lm tng li sut tri phiu chnh ph. Ti bt k thi

im no, li sut tri phiu chnh ph c th i chch khi gi tr c xc nh bi

cc nguyn tc c bn di hn, nhng khong mt na lch iu chnh trong mt

nm. Trong ngn hn, nhng thay i trong li sut tri phiu chnh ph p ng vi

nhng thay i trong t l n/GDP, li sut th trng tin t (tc ng ca chnh sch

tin t), tc tng trng v t l cn i ngn sch/GDP. Trong khi , tc ng ca

nhng thay i trong lm pht (c sc danh ngha) l yu hn. Tuy nhin, c mt hn

ch l s c mt s nhn t c th tc ng lm lch li sut tri phiu chnh ph khi

mc cn bng di hn nhng rt kh nh lng c, c bit l tc ng ca

khng hong (v d nh s khng chc chn ca chnh sch).

3

Hnh 1.1. th li sut tri phiu chnh ph Vit Nam 01/2007 n 07/2009.

Tri phiu chnh ph l mt cng c hu hiu trong vic huy ng vn cho ngn sch

nh nc v cho u t pht trin. Th trng ny ng vai tr quan trng trong vic

iu hnh chnh sch ti kha v chnh sch tin t quc gia. Xt n nn kinh t Vit

Nam,chng ta lun phi i mt vi thch thc v n nh kinh t v m, pht trin

cha bn vng, sc cnh tranh ca nn kinh t cn thp. Nghin cu cc yu t nh

hng n li sut tri phiu chnh ph l rt cn thit cho vic d bo, iu chnh

hng i ca li sut trong ngn hn v di hn, t gp phn n nh nn kinh t ni

chung. ti s dng m hnh ECM nhm kim nh v nghin cu cc yu t tc

ng n li sut tri phiu chnh ph ti Vit Nam da theo nghin cu ca tc gi

Tigran Poghosyan Nhng yu t ngn hn v di hn tc ng n li sut tri phiu

chnh ph cc nn kinh t tin tin ( thng 11 nm 2012). Cc vn chnh rt ra

c nh sau l: Trong di hn, 1% tng trong N/Sn lng cng nghip s lm li

sut tri phiu chnh ph tng 3% v ngc li tc tng trng sn lng tim nng

tng 1 n v s lm gim li sut tri phiu chnh ph 2.5 n v; trong ngn hn, s

thay i trong li sut tri phiu chnh ph khi v th cn bng trong di hn l do

0

0.05

0.1

0.15

0.2

0.25

01/2007

03/2007

05/2007

07/2007

09/2007

11/2007

01/2008

03/2008

05/2008

07/2008

09/2008

11/2008

01/2009

03/2009

05/2009

07/2009

4

phn ng vi s thay i ch yu trong li sut th trng lin ngn hng (tng quan

dng), t l N/Sn lng cng nghip (tng quan dng), cn i ngn sch c bn

(tng quan dng) v tc tng trng sn lng (tng quan m). Tc ng ca s

thay i trong lm pht (tng quan dng) l yu hn. Trung bnh th khong 20%

lch t v tr cn bng trong di hn c iu chnh trong mt nm.

Phn cn li ca ti c cu trc nh sau. Phn II xem xt khung l thuyt v cc

ti liu nghin cu thc nghim v cc yu t tc ng n li sut tri phiu chnh

ph, c bit tp trung v n chnh ph, tc tng trng tim nng v cn i ngn

sch chnh ph, l nhng yu t quyt nh ca li sut tri phiu chnh ph. Phn III

a ra m t k thut thc nghim c s dng trong phn tch v d liu. Phn IV

trnh by v tho lun cc kt qu thc nghim t Vit Nam. Phn cui cng l nhng

hn ch ca ti v cc hng nghin cu tip theo.

2. CC YU T TC NG N LI SUT TRI PHIU CHNH PH

2.1. Tc ng ca tc tng trng ln li sut tri phiu chnh ph

Mi lin h gia tc tng trng tim nng v li sut tri phiu chnh ph thc c

th c minh ha bng cch s dng phng trnh ca Euler t vn ti a ha hu

dng ca ngi tiu dng. Trong m hnh tng trng kinh t Ramsey, s thch h gia

nh i din bi hm hu dng CES v qu trnh sn xut c m t bi hm Cobb-

Douglas nhm xc nh trng thi n nh ca li sut thc ca tri phiu chnh ph

(Laubach, 2009):

R=g+

Trong :

- g biu th tc tng trng tiu dng thc t

5

- l mc e ngi ri ro hay nghch o ca co gin thay th ( co gin ca t

s hai nhn t u vo ca hm hu dng hoc hm sn xut. N cho thy mt

nhn t u vo ny c thay th bi nhn t khc c d dng hay khng)

- l s a thch theo thi gian ca h gia nh (rate of time preference: l t l

m mt ngi sn lng nh i nim vui hin ti cho nim vui trong tng lai,

phn nh mc thiu kin nhn ca mt c nhn hay tp th).

Theo Ramsey (1928) r ph thuc vo c ba bin va k trn. Cc nh kinh t hc s

dng t l chit khu tnh gi tr hin ti ca mc hu dng tng lai. V vy,

cng ln, gi tr hu dng tng lai cng thp, ngi tiu dng cng thiu kin nhn

v t sn lng tr hon vic tiu dng hn, ng rng t tch ly vn hn v trong di

hn li sut cao hn v tiu dng s tr li thp hn. T l tng trng di hn s

khng b nh hng. cng ln th ngi s la chn tiu dng ngay lp tc. Li

sut di hn tng quan dng vi tc tng trng bi v tc tng trng cng

cao, k vng v thu nhp tng lai cng cao v kh nng tiu dng ln hn. iu ny

s khng khuyn khch tit kim hin ti v tch ly vn s thp hn ng thi u t

vn cng s thp xung trong di hn, lm li sut cao hn.

R rng l cc bin ti kha khng xut hin phng trnh trn. Trong m hnh nn

kinh t ng, s bin ng trong chi tiu chnh ph nh hng ln li sut bt k l

chnh ph t ti tr hay l i vay, cng ging nh h gia nh iu chnh mc tiu

dng ca mnh qua thi gian. V vy, t l tng trng tiu dng v tc tng trng

sn lng c th c coi l tng ng trong trng thi n nh, ng rng li sut

tri phiu thc tng quan dng vi tng trng sn lng trong di hn. Trong khi

mt s tng ln trong mc e ngi ri ro s lm tng t sut sinh li trn vn u t th

c th lm gim li sut gn nh l phi ri ro do vic tng cu i vi ti sn an ton

(ti sn phi ri ro). Do vy khi hi quy s cn c thm bin o lng phn b vn c

phn (equity premium) i din cho s thay i qua thi gian ca mc e ngi ri ro.

6

Trong mt nn kinh t m, c thm yu t phn b ri ro t gi hi oi tuy nhin mi

tng quan dng gia li sut thc ca tri phiu chnh ph v tng trng sn lng

trong di hn vn c duy tr (Thomas Laubach). Tc tng trng sn lng tim

tng c k vng l c tc ng theo chiu thun ln li sut tri phiu thc trong di

hn, trong ngn hn lch ca tng trng sn lng t mc tim nng c th gim

chi ph i vay bi vic tng tm thi trong s thu thu c v gim bt ri ro v n

ca chnh ph.

C rt nhiu bi nghin cu tp trung vo tc ng ca li sut ln tng trng sn

lng tuy nhin s bi kim tra tc ng ngc li mt cch ring bit th vn cha tht

s phong ph. Bn cnh , c mt s nghin cu kim tra tng hp tc ng ca bin

ti kha ln li sut tri phiu, trong c tng trng sn lng. Sau y ti s gii

thiu mt s nghin cu cc yu t tng hp tc ng ln li sut tri phiu chnh ph

v tng trng sn lng l mt trong cc yu t .

S dng d liu hng nm cho mt mu gm 22 nn kinh t tin tin trong giai on

1980-2010, trong bi nghin cu thng 11 nm 2012, tc gi Tigran Poghosyan tm

thy cc bng chng xc minh cho mi quan h di hn gia li sut tri phiu chnh

ph v cc yu t chnh c bn tc ng: n chnh ph/GDP v tc tng trng tim

nng.Trong di hn, li sut tri phiu chnh ph tng khong 45 im c bn p

ng vi mt s gia tng 1 im phn trm tc tng trng tim nng. Ti bt k thi

im no, li sut tri phiu chnh ph c th i chch khi gi tr c xc nh bi

cc nguyn tc c bn di hn, nhng khong mt na lch iu chnh trong mt

nm.

Theo Andrew Lilico v Stefano Ficco (2012) tm ra mi quan h gia li sut phi ri

ro v tc tng trng bn vng ca nn kinh t. Ngoi ra, Joseph W. Gruber v

Steven B. Kamin (2010) cng tm ra khi tc tng trng sn lng thay i 1%

7

s lm cho li sut tri phiu chnh ph thay i khong 23% - 30% i vi cc nc

G7.

Laura Jaramillo v Anke Weber (2012) cho rng mc m cc bin ti kha tc ng

ln li sut tri phiu chnh ph cc nc mi ni ph thuc vo mc trnh n ri ro

ton cu. Trong nhng giai on bnh lng ca th trng th gii, nhng bin ti kha

khng phi l mt nhn t tc ng ln n li sut tri phiu chnh ph cc nc

mi ni. Tuy nhin, khi nhng ngi tham gia th trng ri vo tnh trng kh khn,

h ch nhiu hn n nhng bin ti kha c trng ca quc gia. Chnh nhng bin

ny s cho nh u t ci nhn r hn v ri ro v n. Bi nghin cu ny c mt s

ng gp cho nhng bi nghin cu trc. u tin, tri vi nhng bi nghin cu

trc tp trung vo d liu hng nm v quan st tc ng ca nhng bin gii thch,

bi nghin cu ny pht trin d liu bng cho 26 nc t 2005 n 2011 theo hng

thng. D liu bao gm li sut tri phiu chnh ph, k vng th trng ca bin ti

kha (thm ht ngn sch v N/GDP), lm pht, GDP thc trong tp trung vo gii

thch tc ng ca bin ti kha. Sau , bi nghin cu m rng m hnh c bn s

dng m hnh ngng (panel threshold model) tnh tc ng ca s thay i trong

cm tnh th trng i vi nh u t v ri ro tn dng. Tuy nhin kt qu nghin cu

cho thy k vng tc tng trng cng cao th li sut tri phiu li cng gim cc

nc c nn kinh t mi ni. Khong 1% tng ln trong tc tng trng k vng s

lm li sut tri phiu chnh ph gim khong 22% im khi s e ngi ri ro trong nn

kinh t l thp, v ngc li khi s e ngi ny l cao th 1 im tng ln trong tc

tng trng k vng s lm tng li sut tri phiu chnh ph ln 10%.

Pami Dua v Nishita Raje(2010) xem xt cc yu t quyt nh ca cu trc k hn ca

li sut n bng cch s dng d liu hng tun t thng 4 nm 2001 n thng

Ba nm 2009. Phn tch bao gm li sut tn phiu kho bc vi k hn 15-91 ngy v

chng khon Chnh ph k hn mt nm, nm nm v mi nm tng ng. Tnh ton

8

thc nghim cho thy mt mi quan h di hn gia cc li sut ny v li sut repo

(li sut chnh sch) vi t l tng trng ca tin, lm pht, li sut vay cho vay khu

vc t nhn, li sut nc ngoi v phn b ri ro. Tuy nhin tc tng trng tin

cng t quan trng hn trong vic gii thch s thay i li sut k hn 10-nm.

2.2. Tc ng ca n chnh ph ln li sut tri phiu chnh ph

N chnh ph c th nh hng n li sut thc ca tri phiu chnh ph thng qua hai

knh chnh.

u tin, vic m rng ti chnh bng vay n c th ln t u t c nhn (gi nh cn

bng Ricardo khng c hiu lc) dn n vn c phn thp hn trng thi n nh, t

s dn n mt vn bin t cao hn v kt qu l li sut thc t cao hn (Engen v

Hubbard, 2004). Cn bng Ricardo (hay Ricardian) l l thuyt kinh t cho rng ngi

tiu dng s hiu r gii hn ngn sch ca chnh ph, v nh vy thi im thay i

thu sut s khng nh hng ti thay i trong tiu dng ca h.

Trong bi nghin cu ny, nhm o c cc tc ng ca s thay i trong n chnh

ph ln li sut, m hnh tiu chun c xy dng da trn chc nng sn xut tng

hp ca nn kinh t. Trong , n chnh ph thay th hay ln t vn sn xut vt cht.

Ni mt cch ngn gn, m hnh c li sut (r) c xc nh bi nng sut bin ca

vn (MPK), nng sut bin ny s tng nu vn (K) gim hay n chnh ph (D) ln t

vn. Ta c hm sn xut Cobb-Douglas:

Trong , L biu th s n v lao ng, A l h s nng sut a nhn t, v l h s

vn trong chc nng sn xut. Sau , tng li nhun trn vn trong nn kinh t

(MPK*K) l mt phn ca sn lng (Y), bng:

iu ny ng rng li sut c xc nh bi:

9

Nu n chnh ph vt qu vn hon ton:

Sau , mt s gia tng ngoi sinh trn n chnh ph ( khi cc yu t khc khng i)

s lm cho li sut tng:

(bi v 0

10

Mt vi nghin cu khc nhau trong vng 20 nm qua nh gi mi quan h gia n

chnh ph v li sut. Barth, Iden, Russek v Wohar (1991) kt lun Khng c s

ng thun r rng v vic liu c mi quan h kinh t c ngha thng k gia hai

yu t trn. Bi v cc bng chng tm thy l khc nhau, mt ngi khng th hon

ton t tin l n s lm tng li sut v gim tit kim v ngc li cng khng th ni

rng hon ton khng c tc ng no. Seater (1993) tm thy nhiu h tr cho l

thuyt cn bng Ricardian ng rng n chnh ph khng c tc ng ln li sut.

Trong khi Bernheim (1989) li phn i l thuyt cn bng Ricardian v c mi

tng quan dng gia hai yu t trn. Martin (1990) v Barro (1991) cung cp c

tnh v tc ng bin kinh t, ti kha v chnh sch tin t ln li sut thc k vng

10 nn kinh t pht trin bao gm c M. Tc gi s dng hng tip cn cu trc

trong li sut c xc nh bi cu u t v tit kim mong mun. H kt lun

rng n chnh ph hin ti khng ng vai tr quan trng trong cc yu t tc ng n

li sut cc nc ny. Bi nghin cu ca Ford v Laxton (1995) kho st tc ng

ca chnh sch ti kha ln li sut v nhn thy rng n cng rng ca cc nc

OECD l tng quan dng vi li sut tri phiu cc nc cng nghip.

Laubach (2003) c tnh tc ng ca n chnh ph d on k hn 5 nm ln li sut

tri phiu k hn 10 nm. Mc ch l c gng b qua bt k tc ng no ca iu

kin kinh t hin ti o lng tc ng ca n chnh ph ln li sut tri phiu. Kt

lun l 1% tng ln trong t l N/GDP k vng s lm tng li sut tri phiu khong

5 im c bn. Bn cnh , khi chy mu d liu tng t cho thm ht ngn sch th

kt qu l 1% tng ln trong thm ht ngn sch/GDP k vng s lm tng li sut tri

phiu ln 28 im c bn. Kt qu ny khc nhau l do thm ht ngn sch c khuynh

hng tng quan chui trong d liu qu kh ca M, v do vy nhng thnh phn

tham gia th trng ti chnh c th k vng s tng ln trong thm ht ngn sch l

ko di dai dng, do vy s lm tng li sut nhiu hn. Tuy nhin, n chnh ph cng

11

tng quan chui trong b d liu. iu ny khng c g ngc nhin bi v n chnh

ph ( ) cui thi im t c tnh l:

Nu nhng thnh phn tham gia th trng ti chnh k vng s tng ln trong thm ht

ngn sch l dai dng th h cng s k vng nh vy vi n chnh ph, bi vy gii

thch v s khc nhau trong c tnh tc ng ln li sut l khng r rng khi s dng

thm ht ngn sch thay cho n chnh ph. Tht ra, n hin ti cha thng tin khng

ch v thm ht hin ti m cn tt c thng tin v vic vay mn ca chnh ph trc

v do vy phng php tt hn l nh gi tc ng ca vic vy mn ca chnh

ph l li sut. Nh vy, thay i trong n hay thm ht s dn ti k vng thay i li

sut thc bt k mc no.

Engen, E., v Hubbard, G. (2004) cho rng bng cch s dng cc gi tr d on s

gip g ri tc ng ca chnh sch ti chnh t cc yu t khc chu nh hng bi

chu k kinh doanh. Kt qu ca h cho thy rng mt 1 im phn trm tng ln trong

d kin n chnh ph so vi GDP lm tng li sut tri phiu chnh ph thc di hn

khong 2-5 im c bn.

Rt t cc nghin cu quc gia phn tch mt quc gia no khc ngoi M. V d,

Chinn v Frankel (2005) nghin cu cc trng hp trong nm quc gia chu u

(Php, c, , Ty Ban Nha, v Vng quc Anh) v M bng cch chy hi quy

ring cho mi quc gia. S dng d liu cho giai on 1988-2004, cc tc gi nhn

thy rng tc ng ca s gia tng 1 im phn trm t l n ca chnh ph so vi GDP

trn thc t s to ra thay i nh ca li sut tri phiu chnh ph di hn gia cc

quc gia. Tc ng ny s mnh m hn cc nc chu u, dao ng t 5-8 im c

bn (c) 10-16 im c bn (Php, , Anh v Ty Ban Nha), so vi M, ni tc ng

l 5 im c bn khi s dng mu 1988-2002 (tc ng l khng r rng khi mu c

m rng n nm 2004).Tuy nhin, cc hi quy ring ca tng nc c thc hin

12

trong nghin cu phi thn trng v kch thc mu rt hn ch (17 quan st). Bn cnh

vic nghin cu cho mt nc, nghin cu bng d liu nhiu nc cng l mt

phng php thng c s dng. Trong k thut ny, cc bin ti chnh (ng ch

nht l t l n trn GDP) c a ra cng vi cc bin s kim sot khc (bao gm

c tc tng trng GDP) l yu t di hn quyt nh chi ph i vay ca chnh ph.

Hu ht cc nghin cu ny khng phn bit gia cc tc ng di hn v ngn hn ca

cc yu t quyt nh li sut tri phiu chnh ph v ch tp trung vo cc mi lin h

di hn gia li sut tri phiu v cc yu t c bn. Kinoshita (2006) pht trin mt

m hnh l thuyt tm hiu mi lin kt gia li sut tri phiu chnh ph v n chnh

ph, ng thi kim tra nhng d on ca mnh bng cch s dng mt bng d liu

ca 19 nn kinh t tin tin. Kt qu cho thy vic tng 1 im trong phn trm t l

n/GDP ca chnh ph lm tng li sut tri phiu chnh ph di hn khong 2-5 im

c bn.

Ardagna v cc cng s (2007) s dng mt bng d liu ca 16 nc OECD trong

giai on 1960-2002 iu tra tc ng ca thm ht ngn sch v n i vi li sut

tri phiu chnh ph di hn. H xc nhn tm quan trng ca c hai yu t i vi vic

quyt nh chi ph i vay ca chnh ph. H cng a ra ti liu v tc ng phi tuyn

ca n chnh ph, v tc ng ca n l r rt hn i vi cc nc ang c mc n

trn trung bnh. C th hn, trong miu t tuyn tnh, 1 im phn trm tng ln trong

t l n trn GDP th ch lm tng 0,6 im c bn trong li sut tri phiu chnh ph

di hn. Tri li, trong k thut phi tuyn, nh hng ca vic tng 1 im phn trm

t l n/GDP s lm li sut tri phiu chnh ph di hn gim khong 2,4 im c bn

cho gi tr ti thiu ca n trn GDP v tng khong 3,8 im c bn cho gi tr ti a

t l n trn GDP trong mu. Mt tc ng phi tuyn tnh tng t c tm thy

trong nghin cu ca Conway v Orr (2002). S dng d liu t by nn kinh t

OECD, cc tc gi thy rng 1 im phn trm tng trong t l n/GDP dn n mt s

gia tng t hn 1 im c bn trong sn lng tri phiu chnh ph nu bt u t gi

13

thuyt n trn GDP l 0%, v tng khong 2 im c bn nu bt u t t l n trn

GDP l 100%. Faini (2006) nghin cu trng hp ca 10 nc khu vc ng tin

chung Euro cho giai on 1979-2002. Tc gi thy rng n cng khng c tc ng

ng k n li sut tri phiu chnh ph di hn trong cc hi quy ring ca tng

nc, nhng tc ng ca n tr nn quan trng nu xt chung ton th 10 nc khu

vc ng Euro. Trong bng c tnh, vic tng 1 im trong phn trm t l n trn

GDP s lm tng khong 3 im c bn trong li sut tri phiu chnh ph di hn.

Tng t nh nghin cu ca Ardagna v cc cng s (2007), ng thy rng chi ph i

vay ca chnh ph vi mt mc vay n cao (trn 100% GDP) th nhy cm hn vi

nhng thay i trong t l n trn GDP hn so vi nhng quc gia vi mt mc vay

n thp hn. Cui cng, Baldacci v Kumar (2010) s dng mt mu ca 31 nn kinh

t pht trin v mi ni trc gia on khng hong (1980-2008) v a t l n trn

GDP vo k thut tnh ton trong c hai phng php tuyn tnh v bc hai. c tnh

ca h cho thy rng vic tng 1 im trong phn trm t l n trn GDP ca chnh ph

lm tng li sut thc tri phiu chnh ph di hn khong 0,8 im c bn trong nhm

20 nn kinh t (c tin tin v mi ni) v khong 1,7 im c bn trong nhm 20 nn

kinh t tin tin. H cng tranh lun rng mc chnh xc ca cc tc ng ph thuc

vo v th ti chnh ban u, th ch v cc iu kin khc v cu trc, v hiu ng lan

ta (spillovers) t th trng ti chnh ton cu.Cng trong bi nghin cu thng 11

nm 2012 ca tcTigran Poghosyan, tc gi tm thy trong di hn, li sut tri phiu

chnh ph tng khong 2 im c bn p ng vi s gia tng 1 im phn trm

trong t l n/GDP.

Kt lun li t cc bi nghin cu, hu ht cc tc gi u tm thy mi tng quan

dng trong quan h gia n chnh ph v li sut tri phiu chnh ph trong di hn.

2.3. Tc ng ca thm ht, thng d ngn sch chnh ph ln li sut tri

phiu chnh ph

14

Thm ht ngn sch xy ra khi chi tiu ca chnh ph vt qu ngun thu t thu.

Chnh ph ti tr cho thm ht ngn sch bng cch vay tin trn th trng tri phiu

v s tch t cc khon vay trong qu kh c gi l n chnh ph.

ng no dch chuyn khi thm ht ngn sch tng? R rng tit kim quc dn

cung v vn vay bao gm tit kim t nhn v tit kim chnh ph. S thay i trong

thm ht ngn sch chnh ph biu th s thay i trong tit kim ca chnh ph v do

l cung v vn vay. Bi thm ht ngn sch khng nh hng n lng vn m

cc h gia nh v doanh nghip mun vay ti mi mc li sut nn n khng lm thay

i cu v vn vay.

Vy ng cung dch chuyn theo hng no? Khi chnh ph c thm ht ngn sch,

tit kim chnh ph mang gi tr m v iu ny lm gim tit kim quc dn. Ni cch

khc, khi chnh ph vay tin ti tr cho thm ht ngn sch, n lm gim cung v

vn vay ti tr cho cc d n u t ca h gia nh v doanh nghip. Nh vy thm

ht ngn sch lm dch chuyn ng cung v vn vay sang tri, t sang .

Hnh 2.1.Mi lin h gia li sut v thm ht ngn sch chnh ph.

Li sut Cung

Cung

C

u

Vn

vay

15

V thm ht ngn sch lm dch chuyn ng cung v vn vay sang tri nn lm li

sut cn bng tng ko theo lng vn vay u t cng gim. Nh vy r rng thm

ht ngn sch cng ln th ng cung dch chuyn cng nhiu, li sut cng tng cao.

iu ny ng vi l thuyt v ri ro v n ca chnh ph. Thm ht cng ln kh

nng v n cng cao. V vy nh u t vo tri phiu chnh ph cn mt phn b ri

ro b p ri ro mnh gnh chu nn li sut tri phiu chnh ph s tng cao hn.

Thng d ngn sch chnh ph c tc ng hon ton ngc li so vi trng hp thm

ht ngn sch. Khi thu thu nhiu hn so vi chi tiu, chnh ph tit kim phn chnh

lch bng cch ct gim s n tn ng. Mc thng d ngn sch, hay tit kim chnh

ph lm tng tit kim quc dn, lm tng cung v vn vay v gim li sut khuyn

khch u t.

Gale, W. and Orzsag, P. (2002) kim tra mi quan h gia cc yu t ti kha v thnh

qu kinh t M v c hai kt lun chnh. u tin, nh hu ht tt c cc bi nghin

cu v sch kinh t cp, mt s st gim trong thng d ngn sch (hay tng ln

trong thm ht ngn sch) s lm gim tit kim ca quc gia v do vy lm gim thu

nhp tng lai, iu ny s tc ng ln li sut. Th hai, quan im ca cc nh kinh

t v cc nh lp chnh sch u ch ra rng mt s tng ln trong thm ht k vng s

lm tng li sut di hn. Da vo bi nghin cu ny, c tnh rng thng d ngn

sch/GDP st gim (hay tng ln trong thm ht ngn sch/GDP) 1% s lm tng li

sut di hn khong t 50 n 100 im c bn. Kt qu ny cho thy chi ph khi thm

ht ngn sch tng ln l ln trong di hn v cn c so sch cn thn vi li ch

tim nng ca thu v cc chng trnh chi tiu dn ti thm ht di hn ln hn.

Elmendorf (1993) s dng d bo thm ht ngn sch t DRI v kt lun rng 1%

tng ln trong d bo thm ht ngn sch/GNP s lm tng li sut tri phiu k hn 5

nm khong 43 im c bn. Canzoneri, Cumby v Diba (2002) s dng d bo

thng d ngn sch CBO v tm thy mi quan h c ngha thng k gia d bo ny

16

v li sut. Phn tch ny cho thy 1% tng ln trong thm ht ngn sch d bo/GDP

s lm tng li sut di hn v li sut ngn hn khong 53 n 60 im c bn cc

nc thuc khi lin minh Chu u. Cohen v Garnier (1991) cng lm nghin cu

tng t v kt lun 1% tng ln trong thm ht ngn sch d bo/GNP s lm tng li

sut tri phiu 10 nm ln khong 53 n 56 im c bn i vi cc nc trong khi

G7.

Mt vi nghin cu v mi quan h gia thm ht ngn sch v li sut s dng m

hnh VARs nh Barth v cc cng s (1991) v Plosser (1982, 1987). Nhng nh

nghin cu ny hy vng kim tra mi tng tc gia thm ht ngn sch, li sut v

cung tin v hi quy mi bin ny vi tr nht nh. Bn cnh , Evans (1987) s

dng phng php VAR c lp cc thnh phn bt ng thay i tc ng n li

sut tri phiu ca trong cc bin ti chnh. Tht th v, ngc li vi nghin cu s

dng c im k thut tnh, nghin cu VAR khng tm thy nhng thay i bt ng

trong cc bin ti chnh c tc ng ng k n li sut tri phiu chnh ph.

Elmendorf (1993) v Bernheim (1987) cng tm thy c mt s vn i vi hng

nghin cu ny. VAR da trn gii hn bin, b qua cc bin m thng tin khng c

phn nh v gi nh rng quan h gia cc bin ny l khng i theo thi gian.

Perotti (2002) s dng vector t hi quy nghin cu mi quan h gia chnh sch ti

kha v cc bin kinh t khc nhau bao gm c li sut ngn hn M v kt qu l tc

gi tm thy mt tc ng ngc chiu nh c ngha thng k ln li sut thc ngn

hn do tng chi tiu chnh ph. Tavares v Valkanov (2001) cng s dng m hnh

VAR v kt lun rng tc ng ca chnh sch ti kha ln t sut sinh li th trng l

khng th b qua.

Mt cch tip cn khc lin quan n phn tch s kin lin quan n bo co thng

tin v d lut gim thm ht ngn sch hoc d bo ngn sch. Hng tip cn ny

kim tra s thay i ca li sut vo ngy thng tin v thm ht c pht hnh do d

17

thay i k vng v thm ht ngn sch trong tng lai. Thorbecke (1993) s dng d

bo ca OMB v CBO. Tc gi ny nhn thy rng 100 t $ tng ln trong thm ht

tng ng vi s tng ln ca li sut 10 nm t 14 n 26 im cn bn ngay lp tc.

Quigley v Porter-Hudak (1994) cng s dng d bo ca CBO v OMB kim tra

tc ng ca thng bo v ngn sch. Hai tc gi tm ra 1% tng ln trong thm ht lm

tng li sut ngn hn 0.37 n 0.87 im c bn.

Theo Friedman (2005), theo l thuyt, tc ng ca vic m rng ti kha ln li sut

ni a ph thuc vo phn ng ca tit kim khu vc t nhn trong nc v kch c v

m ca ca nn kinh t. Nu h gia nh l theo nh l cn bng Ricardian. Theo

, cn bng Ricardo cho rng vic chnh ph chi tr cho chi tiu ca mnh thng qua

i vay hay tng thu l khng khc bit, nh hng ca hai bin php ny ln mc cu

s ging ht nhau), th mt s tng ln trong tit kim khu vc t nhn s dn ti li

sut di hn khng i (Barro, 1974). Nu khng tun theo cn bng Ricardian, s tng

ln trong thm ht ngn sch s dn ti s gia tng trong li sut tri phiu di hn.

Brook, A-M. (2003) kim tra mi quan h gia cn i ngn sch v li sut. Tc gi

tm thy mt s kt lun sau. u tin, cc yu t phn b c tnh chu k v danh

mc dng nh l nhn t chnh ng sau s st gim li sut thc di hn giai on

2000-2003. Tuy nhin, mt s nc Chu u, s st gim trong lm pht, t gi hi

oi v ph b ri ro v n chnh ph cho thy cn bng li sut thc c th thp hn

mt cht. Th hai, cc bng chng gn y cho thy mi quan h nhn qu t v th ti

kha v li sut trong di hn, t nht l i vi M. V vy, s suy gim trong v th

ti kha d bo v thc t ca M c th gp phn vo s gia tng ca li sut tri

phiu gn y.

Calomiris, Engen, Hassett v Hubbard (2003) c tnh mc m lch hng thng

ca d bo khu vc t nhn v cn i ngn sch chnh ph trong bo co thc t hng

hng cng vi lch trong d bo cc bin v m khc d on s dch chuyn ca

18

li sut. Tc gi nhn thy bo co c k vng cng ln vo cc nhn t v m (nh

tnh hnh vic lm, sn xut cng nghip, doanh s bn l,) c khuynh hng lm

tng li sut nhng lch thc t t cn i ngn sch hng thng khng c tc ng

mang ngha thng k ln li sut. Th hai, h su tp d liu lch s s dch chuyn

hng ngy ca li sut v cc thng tin kinh t xy ra trong ngy . Kt qu l ngy

m li sut thay i nhiu li tng ng vi ngy xy ra cc s kin kinh t hn l cc

thng tin v cn i ngn sch, v s thay i li sut l ph hp vi l thuyt kinh t.

Cc thng tin cho thy tng trng kinh t l tng ng vi s tng ln trong li

sut.

Hauner v Kumar (2009) tp trung vo tc ng ca cuc khng hong ti chnh ton

cu trong n lc nhm gii quyt "bi ton hc ba" ca li sut tri phiu chnh ph v

s mt cn i ti chnh cao c quan st thy nn kinh t pht trin G7. Kt qu

ca cho thy rng p lc tng li sut tri phiu chnh ph l do suy yu kinh nin ca

v th ngn sch nhiu hn l do vic b p bi cc dng vn nc ngoi c kch

hot bng nhng cn nhc "an ton" (safe-heaven: khon u t c k vng s duy

tr hoc gia tng gi tr trong thi im khng hong ti chnh) .Tuy nhin, tc gi cng

cnh bo v tnh cht tm thi ca nhng hiu ng ny v d on rng mt iu chnh

tng li sut tri phiu l khng th trnh khi trong thi gian di.

Peiris (2010) thc hin nghin cu d liu mng cho 10 nn kinh t mi ni v nhn

thy rng tc ng hng nm ln li sut tri phiu di hn, 1% tng ln trong t l cn

i ngn sch/GDP th li sut tri phiu tng 20 im c bn, trong khi tng tin trong

nc v hot ng thc ca nn kinh t c tc ng khng ng k. Hn na, li sut

di hn phn ng vi s thay i ca li sut chnh sch, k vng lm pht v s tham

gia ca nc ngoi trong th trng tri phiu trong nc.

19

Tm li, tt c cc nghin cu trn y u a n mt kt lun: mt s st gim

trong thng d (hay mt s gia tng trong thm ht) ngn sch chnh ph s dn ti

mt s gia tng trong li sut tri phiu chnh ph di hn.

2.4. Cc yu t ngn hn tc ng ln li sut tri phiu chnh ph

Ngoi cc yu t di hn, trong ngn hn, li sut thc tri phiu chnh ph cng c th

b nh hng bi s thay i ca li sut th trng tin t, nhng c sc lm pht bt

ng, nhng thay i tm thi trong cn i ngn sch v nhng bin ng ca tc

tng trng xung quanh mc tim nng. Nhng yu t ny c th lm lch li sut thc

tri phiu chnh ph ra khi mc cn bng di hn ca n.

Theo Joelle Liebermann (2011), li tc ca tri phiu h nm l li sut tng ng

vi gi tr hin ti ca dng tin pht sinh do vic nm gi ti sn n k hn c gi l

. Ni mt cch khc, gi v li tc ca tri phiu k hn h nm, tr li coupon hng

nm l CF vi gi tr khi n hn l M c biu din theo cng thc sau:

CF v M c c nh trong cng thc nh gi trn, li sut ca tri phiu thay i

ngc hng vi gi ca n, v vy nhng nhn t c bn tc ng ln gi tri phiu

cng chnh l nhng nhn t tc ng n li sut tri phiu. Nhn xa hn v tnh cht

ca li sut v hiu qu ca gi ti sn, ch nhng thng tin khng d on c ca

cc nhn t v m c th gy ra s thay i ca li sut tri phiu. V th, c th phn

tch s thay i li sut tri phiu ngy t k hn h l nh sau:

Trong l k vng v th trng tri phiu hay nh gi cc nguyn tc

c bn, , cho bit nhng thng tin c sn trong ngy t-1, , v l k

vng ca , cho bit nhng thng tin sn c trong ngy t, . Do vy

20

l s hiu chnh nh gi th trng tri phiu do thng tin ban hnh trong

ngy t.

Theo l thuyt kinh t v m, dng tin v li sut tri phiu chnh ph phi ri ro lin

quan ti tnh trng ca nn kinh t v lm pht. u tin, theo hiu ng Fisher, li sut

k hn h l tng ca hai nhn t, li sut thc v k vng lm pht. y bt k thng

tin mi no c ban hnh s dn ti s thay i mt hoc c hai yu t ny v dn ti

lm li sut thay i. Th hai, thng thng li sut tri phiu phn nh k vng li

sut th trng tng lai ngn hn. L thuyt k vng (EH) v cu trc k hn ca li

sut cho thy li sut tri phiu phn nh li sut ngn hn hin ti v c li sut ngn

hn k vng trong tng lai cng vi phn b ri ro trong thi gian nm gi tri phiu.

K vng ny l iu kin Cc d tr lin bang thc hin nhng chnh sch v chin

lc. Do vy n ph thuc vo s minh bch ca tin trnh thc hin chnh sch. Mt

th k qua, Fed tin nhiu bc hn tng tnh minh bch chnh sch. Kt qu l

vic d on li sut chnh sch tr nn d dng hn. Poole v Rasche (2003) tranh

lun rng Fed phi hnh ng theo mt s nguyn tc m th trng ti chnh hiu.

Nhng nghin cu m rng hn cng cho thy hnh vi h thng ca Fed c m t

thng qua phng trnh Taylor. Theo Evan 1998, Fed nn tng (gim) l sut qu lin

bang bt c khi no GDP nm trn (di) mc tim nng ca n v lm pht nm trn

(di) mc lm pht mong mun.

Lin quan ti tc ng ca chnh sch tin t ln li sut tri phiu, bng chng t Lee

v Prasad (1994) v Wright (1995) cho thy mc li sut ngn hn ng mt vai tr

quan trng trong li sut tri phiu thc. Lee v Prasad, trong nghin cu v phn ng

ca li sut di hn i vi s thay i trong li sut ngn hn tm thy s phn ng

ca li sut di hn US i vi s thay i chnh sch tin t m i din l s thay i

trong li sut qu lin bang US tng gc i t cui nhng nm 1980. C th tc gi

21

tm thy giai on 1955-1980, li sut tri phiu 10 nm thay i do tc ng ca li

sut qu lin bang l 33%, nhng t 1980 l 50%.

Pami Dua, Nishita Raje (2010) nh ton thc nghim cho thy mt mi quan h di hn

gia cc li sut tn phiu kho bc v li sut repo (li sut chnh sch) vi t l tng

trng ca tin, lm pht, li sut vay cho vay khu vc t nhn, li sut nc ngoi v

phn b ri ro. Li sut chnh sch rt quan trng hn trong vic gii thch t l bin

ng li sut trong ngn hn v trung hn. T l lm pht t quan trng hn trong vic

gii thch s thay i li sut k hn 10-nm.Cc kt qu cng cho thy mt t l ln

ca s thay i trong li sut ca cc chng khon chnh ph 5 nm v 10 nm, s bin

ng ny l kt qu bt ngun t cc yu t mang tnh chu k rt quan trng tc ng

ln li sut di hn nhng b b qua do nhng c tnh t d liu s dng vi tn s

cao.Tc gi nhn mnh nhng phn ng khc bit ca li sut ngn hn v lu di vi

cc yu t tc ng khc nhau bao gm c chnh sch tin t. Li sut ngn hn nhy

cm hn vi nhng thay i trong chnh sch tin t, c o bng li sut chnh sch

v t l tng trng tin. Li sut di hn b nh hng bi mt tp hp cc yu t nh

hot ng kinh t hin ti v tng lai, sn lng u ra, chnh sch ti chnh v mi

trng ton cu.

2.5. Tc ng ca mt s cc nhn t khc ln li sut tri phiu chnh ph

Kelly R Eckhold (1998) kim tra nhng nhn t tc ng n li sut tri phiu chnh

ph New Zealand giai on 1988-1997. Kt qu ch ra rng trong di hn, li sut tri

phiu ngn hn chu tc ng ca li sut tri phiu thc, k vng v ng tin trong

nc v k vng v khung chnh sch tin t tng lai ca t nc. Kt qu cho thy

li sut tri phiu M v c c tc ng quan trng ln li sut tri phiu ni a. Li

sut M l quan trng hn cho li sut tri phiu ngn hn trong khi li sut c li

hu ch trong vic xc nh khuynh hng di hn ca tri phiu. Chnh sch tin t

ng vai tr quyt nh trong vic xc nh chnh lch li sut gia New Zealand v li

22

sut nc ngoi v tc ng ny mnh hn vi tri phiu c k hn ngn hn. K vng

v s tng/gim gi tin t l ph hp khi xc nh li sut tri phiu ngn hn nhng t

quan trng cho li sut tri phiu di hn. Li sut tri phiu di hn b nh hng ca

lch s lm pht New Zealand nn tn ti mt phn b. Bng chng cho thy phn b

ny s gim qua thi gian nu mc lm pht tng i thp hin ti c duy tr.

Bi nghin cu ca Howe v Pogott (1991) kim tra tc ng ngn v di hn ca

li sut tri phiu ca Nht, c, UK, Php v US giai on nhng nm 1970 v 1980.

S dng d liu hng qu, nhng tc gi ny c tnh bng cch tch ring tc ng

ca xu hng di hn ra khi tc ng ca k hn nh hn. Tc gi nhn thy rng xu

hng li sut tng ln l gn ging nhau cho cc nc trong giai on kho st. S

tng ln ny c lin quan n nhng nhn t di hn nh s tng ln trong tng n

quc gia, gia tng trong t l thu hi vn v s gia tng ri ro th trng. Nhng nhn

t ngn hn nh khung chnh sch tin t, chnh sch ti khc cng ng mt vai tr

quan trng trong xu hng li sut tri phiu. Nhng nhn t ny i din cho mc

li sut ngn hn v thiu ht ngn sch/GDP.

Nhng nghin cu ca OECD do Orr, Edey v Kennedy (1995) xy dng da trn

hng tip cn Howe v Pigott trong n lc gii thch ti sao li sut tri phiu thc li

tng ng k trong nm 1994. Cng vi Howe v Pigott (1991), Orr v cc cng s

(1995) chia nh hng ln tri phiu chnh ph thnh yu t tc ng di hn v

ngn hn. Cng ging nhng nghin cu trc, Orr v cc cng s (1995) s dng li

sut thu hi vn, ri ro th trng v n chnh ph/GDP l nhn t di hn tc ng li

sut tri phiu. Nhm tc gi a ra nhng bin khc c thit k nh gi tc

ng ca u t v tit kim trong nn kinh t nh tng u t v tit kim h gia nh

so vi GDP. Bn cnh , tc gi cng s dng s khng chc chn ca lm pht (o

lng bng t l lm pht trung bnh hng nm thp hn lm pht k vng) i din

cho mc tin cy. Tc gi tranh lun rng cn mt khong thi gian k vng iu

23

chnh lm pht mc thp hn nu quc gia c lch s lm pht cao. Nhng nc

c lm pht cao tip tc tr mt phn b cho n khi lm pht thp c cho l lu di.

Orr v cc cng s cng a thm ht ti khon vng lai/GDP i din cho ri ro tin

t ca quc gia pht hnh tri phiu v thm ht ngn sch/GDP l nhn t di hn tc

ng li sut tri phiu. Nhng yu t ngn hn hn bao gm chnh sch tin t (i

din nh s thay i trong li sut thc) v sai phn bc 1 ca cc nhn t di hn c

m t trn. Orr v cc cng s s dng m hnh chui thi gian v d liu cho cho

17 nc OECD s dng d liu hng qu t 1981-1994. Tc ng ca nhng nhn t

di hn b hn ch v ging nhau cc nc nhng tc ng ca nhng nhn t ngn

hn hn l khc nhau. Tc gi cho rng c ba nhn t chnh lm gim thnh cng ca

k thut phn tch chui thi gian l:

- C s bin ng ln trong nhn t v m ca cc quc gia qua thi gian. Do vy

phng php d liu cho c nhiu thng tin c kh nng cho tc gi hn v

cung cp kt qu ng tin cy hn.

- Nhiu chui thi gian da trn nghin cu s dng giai on mu tng i

ngn so vi di thi gian yu cu cho bin v m thay i c ngha.

- Tc ng nh lng ca bin v m c khuynh hng tng i nh so vi tc

ng ca cc yu t ngn hn. iu ny c th lm gim phn tch chui thi

gian tm kt qu ph hp.

Tarditti (1996) kim tra nhng nhn t tc ng li sut tri phiu di hn c v s

dng khung l thuyt ca Orr v cc cng s (1995). Tc gi tm thy li sut thu hi

vn, cng vi s khng chc chn ca lm pht l hu dng cho vic gii thch cho s

bin ng di hn ca li sut tri phiu 10 nm. Nhng nhn t khc trong nghin cu

ca Orr l hu dng trong d liu cho khng c ngha trong phn tch mt nc

c s dng y.

24

Tc ng ca nhng nhn t ton cu ln chi ph ti chnh nhng nc mi ni c

phn tch trong nhng bi nghin cu vi ch nhng nhn t tc ng n chnh

lch li sut tri phiu chnh ph. McGuire v Schrijvers (2003) tm thy vic n trnh

ri ro ton cu l nhn t dn ti chnh lch ny, trong khi Eichengreen v Mody

(2000) v Bellas v cng s (2010) cho thy s thay i trong cm tnh ca nh u t

trong th trng s tc ng chnh lch. Gonzales-Rozada v Levy-Yeyati (2008) nhn

thy vic n trnh ri ro ton cu, tnh thanh khon ton cu ng mt vai tr quan

trng. Hartelius v cc cng s (2008) v Dailami v cc cng s (2008) cung cp kt

qu tng t khi kho st li sut US. i vi li sut tri phiu trong nc, Baldacci

v Kumar (2010) pht hin trong giai on kit qu ti chnh, s gim st cc yu t ti

kha c tc ng ln ln li sut tri phiu.

3. PHNG PHP NGHIN CU, D LIU NGHIN CU

3.1. Phng php nghin cu

ti s dng nhiu phng php nghin cu nhm lm r cho mc tiu nghin cu

v cc cu hi nghin cu c t ra trn.

Th nht, ti s dng phng php tng hp v so snh: da trn nhng bi nghin

cu trc y ca cc tc gi trong v ngoi nc, ti tm hiu cc kt qu t c

v nhng hn ch ca cc nghin cu a ra mc tiu, cu hi, phm vi thc hin

v ng gp ca ti. ng thi, da trn s liu thc t thu thp c v cc kt qu

o lng so snh vi cc ch tiu c th a ra, cui cng l rt ra nhng kt lun

hoc nhn nh cho th trng Vit Nam.

Th hai, phng php hnh tng ha: phng php ny gp phn minh ha v lm r,

d hiu hn cc phn tch nh tnh. Nhn vo hnh v, ngi c s d dng tip nhn

25

cc kt qu m tc gi thu thp c v a cc quan im ca ring mnh cng nh so

snh v chp nhn nhng lun c m ti a ra.

Phng php th ba v cng l phng php quan trng nht m ti s dng l

phng php m hnh ha bng cng c kinh t lng. Da trn nghin cu ca Tigran

Poghosyan, ti s dng m hnh hiu chnh sai s ECM (Error Correction Model)

o lng mc tc ng ca cc yu t ngn hn v di hn n li sut tri phiu

chnh ph Vit Nam giai on 1/2007 n 8/2009.

V m hnh ECM

M hnh ECM l mt loi ca m hnh chui thi gian c tnh trc tip tc m ti

bin ph thuc Y tr li mc cn bng sau khi c mt s thay i trong bin c lp

X. y l m hnh rt hu ch khng ch trong vic c tnh c tc ng ngn hn ln

di hn ca mt chui thi gian ny ln chui thi gian khc m cn khi d liu c tnh

ng lin kt hay tnh dng.

Lu rng chy c m hnh ECM, d liu phi dng v gia cc bin c tn ti

mi quan h ng lin kt (mi tng quan di hn) vi nhau.iu ny ng ngha vi

vic thc hin ng thi kim nh tnh dng v kim nh ng lin kt trc khi thc

hin m hnh ECM.

Kim nh tnh dng:

D liu ca bt k chui thi gian no u c th coi l c to ra nh qu trnh ngu

nhin v mt tp hp d liu c th c th c coi l mt kt qu hay mu ca qu

trnh ngu nhin . S khc bit gia qu trnh ngu nhin v kt qu ca n ging

nh s khc bit gia tng th v mu trong d liu i chiu. Ging nh chng ta s

dng d liu mu suy ra cc c lng v mt tp hp th trong chui thi gian,

chng ta dng kt qu suy ra cc c lng v qu trnh ngu nhin . Mt dng

ca qu trnh ngu nhin c cc nh phn tch chui thi gian quan tm v xem xt

26

k lng c gi l qu trnh ngu nhin dng. Mt qu trnh ngu nhin c coi l

dng nu nh trung bnh v phng sai ca n khng i theo thi gian v gi trh s

tng quan gia hai giai on ch ph thuc vo khong cch v tr v thi gian

gia hai giai on ny ch khng ph thuc vo thi im thc t m h s tng quan

c tnh. R rng trong cc m hnh d bo chui thi gian v d bo bng phng

php hi quy cc chui thi gian th vic chui thi gian dng hay khng dng c

ngha rt quan trng trong vic chn m hnh d bo thch hp. Phng php kim

nh tnh dng thng c s dng l biu t tng quan v kim nh nghim

n v. Trong ti ny s kim nh tnh dng bng phng php nghim n v, c

th l da vo kim nh ADF (Augmented Dickey Fuller).

Kim nh ng lin kt

Khi nim v ng lin kt c Granger nhc n u tin v sau c cc tc

gi khc nghin cu k hn. Cc chui thi gian trong kinh t gy ra mt vn kh

khn tim tng trong nghin cu kinh t lng thc nghim l vn hi quy gi mo.

Mt cch gii quyt vn l ly sai phn ca chui cho n khi no tnh dng

t c th dng li. Tuy nhin, tng ny khng phi l ti u v chng ta s mt i

tnh di hn, nhng thng tin di hn qu gi ca chui d liu. Mt s kt hp tuyn

tnh ca hai chui d liu khng dng thng thng s c k vng l khng dng.

Tuy nhin, v tnh cht c bit, trong mt s trng hp nht nh, chng ta k vng

rng chng s di chuyn cng nhau v do s kt hp ca hai chui ny l dng.

Trong nhng trng hp nh vy, ta gi hai chui d liu ny l c tnh ng lin kt.

C th trong ti sau khi kim nh tnh dng v ly sai phn s kim nh ng lin

kt Johansen.

27

Sau khi chui d liu dng v c ng lin kt vi nhau, ti s s dng m hnh

ECM o lng tc ng ca cc yu t n li sut tri phiu chnh ph trong di v

ngn hn.

Cu trc m hnh ECM o lng tc ng ca cc yu t n li sut tri

phiu chnh ph trong di v ngn hn

M hnh ti s dng da trn bi nghin cu ca tc gi Tigran Poghosyan (2012)

gm 7 bin trong 2 bin o lng mi quan h trong di hn v 5 bin tc ng

trong ngn hn. L do ti s dng m hnh ca tc gi ny l do hng tip cn n

gin hn v kim tra tc ng t nhiu yu t v m n li sut tri phiu chnh ph.

Vic xy dng m hnh nh lng Vit Nam nh sau:

u tin, mc ch chnh ca ti l xem xt mi quan h trong di hn gia li sut

tri phiu chnh ph v n chnh ph cng nh tc tng trng sn lng tim nng

bng m hnh OLS di hn. Bn cnh , bi cn mun xem xt tc ng ngn hn ca

cc bin thay i trong t s n, lm pht, li sut th trng tin t (li sut lin ngn

hng), thay i trong tc tng trng v thay i trong cn i ngn sch c bn

thng qua m hnh hiu chnh sai s ECM.

Nu cc chui d liu dng v tn ti ng lin kt gia cc bin ang xem xt th

phng trnh biu th quan h di hn c biu th qua hm hi quy OLS:

Trong , l li sut tri phiu chnh ph, l tc tng trng sn lng

tim nng, l t l n/GDP, v ln lt l tc ng di hn ca 2 bin tc

tng trng sn lng tim nng v t s n ln li sut tri phiu chnh ph.

Quan h ngn hn c biu th qua hm hi quy hiu chnh sai s theo m hnh ECM

v ly tr ti a l 8 (Ming-Hua Liu v cng s (2005), Kwapil v Schaler (2006)

28

khi nghin cu v s dn truyn li sut s dng m hnh ECM cng ly tr ti a l

8).

Trong , th hin tin trnh ly sai phn bc 1, l li sut tri phiu chnh ph, t

l thi gian v i biu th cho vic ly tr, bao gm 5 bin: t l n, lm pht, li

sut th trng lin ngn hng, tc tng trng sn lng v t l cn i ngn sch

c bn. LR chnh l 2 bin di hn va c chy d liu OLS trn.

chnh l phn d ca mi quan h di hn trong phng trnh OLS, n th hin

ln s mt cn bng ti thi im (t-1). th hin tc iu chnh (sai s hiu

chnh) khi li sut cch xa mc cn bng. Du ca c k vng l s m do s iu

chnh tr v mc trung bnh t nhin ca li sut tri phiu.

3.2. D liu nghin cu

Mu d liu bao gm d liu hng thng ca li sut tri phiu chnh ph v cc yu t

tc ng ti n giai on t 1/2007 n 8/2009 cho Vit Nam. iu cn lu y l

Vit Nam khng thng k s liu GDP theo thng, v vy ti ly s liu sn lng

cng nghip lm i din cho bin GDP (Thai-Ha Le, YoungHo Chang trong bi

nghin cu Oil price shocks and trade imbalances v Mandal, Indranil, Binod trong

Is the oil price pass-through in India any different? cng ly s liu sn lng

cng nghip thay th cho GDP theo thng khi nghin cu tc ng ca gi du, t gi

v chnh lch sn lng ln cc cn thng mi quc gia).

S liu Ngun Cch tnh Thi gian ly

mu

Li sut th

trng tri phiu

chnh ph k hn

Bloomberg Gi tr cui thng. Tnh theo

%/nm. Tnh theo thng k ca

Bloomberg.

2007:01

2009:08

29

1 nm

Sn lng cng

nghip

Tng cc

thng k

n v: t ng.

Tnh theo s liu ca Tng cc

thng k.

2007:01

2009:08

N Econstats Tng ca n nc ngoi (foreign

liabilities) v pht hnh tri phiu

ca ngn hng trung ng

(Liabilities of central bank:

Securities). Tnh theo triu ng.

2007:01

2009:08

Li sut th

trng lin ngn

hng

Ngn hng

nh nc

Gi tr cui thng. Tnh theo

%/nm. Tnh bnh qun n gin

tt c cc k hn.

2007:01

2009:08

Lm pht VietNam

report

Tnh theo %/nm. Tnh theo s

liu ca trang VietNam Report

ngun t Cc thng k Vit Nam.

2007:01

2009:08

Cn i ngn

sch c bn

Tng cc

thng k

Gi tr vo ngy 15 hng thng.

Tnh theo cng thc ca NHTW

New Zealand. n v: t ng.

Ly tng thu ngn sch nh nc

(Chi thng xuyn + Chi u t

pht trin)

2007:01

2009:08

Bng 3.1.Ngun v cch x l s liu tnh ton

y cn lu l bin s dng chy m hnh trong bi l bin N/GDP v Cn i

ngn sch c bn/GDP. Nhng nh trnh by trn, GDP Vit Nam theo thng

30

khng c thng k nn hai thng s ny s c tnh ton trong ti l N/Sn

lng cng nghip v Cn i ngn sch c bn/Sn lng cng nghip.

ti c th s o lng nh sau. u tin, ti tnh ton sn lng tim nng t s

liu sn lng cng nghip bng phng php Hodrick-Prescott Filter (HPF) c hiu

chnh yu t ma. R rng vic xc nh chnh xc sn lng tim nng l mt iu

khng th khng ch do c qu nhiu yu t tc ng lm sn lng tim nng thay i

lin lc (c cc yu t kinh t v phi kinh t) m cn mi phng php c tnh s ra

mt kt qu khc nhau. Cch n gin nht l ly gi tr trung bnh mt giai on no

. Tuy nhin cch ny c nhc im l ph thuc qu nhiu vo thi gian chn mu

v khng chnh xc nu c d liu t bin (qu cao hoc qu thp) so vi sn lng

tim nng. Ngoi ra, c th s dng m hnh kinh t vi cc yu t tc ng c bn nh

lao ng, vn, lm pht tnh sn lng tim nng. Nhc im ca phng php

ny r rng ph thuc vo m hnh s dng. Mi m hnh vi mi s liu khc nhau s

cho ra mt kt qu khc nhau. V vy, ti s dng phng php HPF, khng qu

phc tp nh cc m hnh kinh t v m nhng cng khng qu n gin v nhiu

nhc im nh phng php tnh trung bnh.

Saukhi tnh tc tng trng sn lng tim nng, qu trnh kim nh bng m hnh

hiu chnh sai s VECM c thc hin theo th t:

- Th nht, ti s kim nh tnh dng ca cc bin trong m hnh bng

phng php ADF (Augmented Dickey Fuller).

- Th hai, o lng tc ng di hn ca sn lng tim nng v n n li sut

tri phiu bng phng trnh OLS.

- Tip theo, kim nh ng lin kt ca cc bin trong m hnh di hn bng

cch kim nh tnh dng ca phn d.

31

- Cui cng, ti s kim nh mi tng quan ca li sut tri phiu v cc yu

t tc ng trong ngn hn ng thi a ra gii thch cho cc ng cng hay

ngc chiu ny.

4. THO LUN KT QU NGHIN CU

4.1. Phn tch nh tnh v kt qu d bo ca m hnh

Trc khi i vo phn tch nh tnh dnh ring cho Vit Nam, theo nh khung l

thuyt c bn phn tch trn th tt c cc bin (ngoi tr tc ng ca cn i

ngn sch c bn v tc tng trng sn lng) u k vng cc tc ng tng

quan dng n li sut tri phiu chnh ph. Tuy nhin y ti d on kt qu

cho th trng Vit Nam s c mt s khc bit so vi l thuyt ra bi mt s

nguyn nhn sau.

Vit Nam, giai on 1/2007 n 8/2009 l giai on chu tc ng ca cuc khng

hong ti chnh M. R rng cuc khng hong ti chnh M nh hng trc tip n

Vit Nam th vn cn gii hn v nc ta vn cha tham gia nhiu vo th trng ti

chnh th gii cng nh khng tham gia mua bn loi chng khon phi sinh ngun

gc gy ra cuc khng hong ny.

Tuy nhin, cuc khng hong ny nh hng n li sut tn dng cho vay gia cc

ngn hng (Libor v Sibor, tc li sut lin ngn hng London v Singapore, thng

c dng lm li sut c s cho cc x nghip v ngn hng Vit Nam vay), c th

l li sut cho vay tng ln hoc nhiu hp ng vay vn khng c k kt hay gii

ngn c. Trong khi , tnh trng cn kit tn dng trn gii lc ny li xy ra ng

vo lc tn dng dnh cho khu vc doanh nghip Vit Nam ang khan him v li

sut cho vay vn c duy tr mc tng i cao. Bn cnh , vic pht hnh chng

khon huy ng vn trn th trng quc t s kh khan v chi ph tng cao.

32

Gin tip th hot ng nhp khu ca nc ta s co li, v vy nh hng n xut

khu ca Vit Nam cng s gim xung. C ba tc ng s xy ra. Th nht, kinh t

ton cu, trong c Vit Nam s ri vo tnh trng suy thoi, tc tng trng gim

st. iu ny dn n h ly l cu i vi cc mt hng xut khu ca Vit Nam s

gim, Trong khi xut khu thng thng chim n 60% GDP v vy GDP trong giai

on ny s suy gim. Th hai, st gim u t do s gim st dng vn t bn ngoi

chy vo. Xem xt li s liu qu kh, dng vn t bn ngoi bao gm: vn u t trc

tip, vn u t gin tip, vay n v kiu hi. Vi tnh hnh suy thoi lc by gi, chi

ph vn tr nn t hn (ng ngha vi vic li sut i vay s cao hn), th trng

xut khu b thu hp nn dng vn u t chy vo Vit Nam c kh nng gim st.

Th ba, tiu dng gim st. Khi sn xut b thu hp, mt s ngi c kh nng mt

vic lm, thu nhp gim cng vi dng kiu hi chy vo gim kp theo tiu dng ca

cc h gia nh gim. T cc yu t va cp trn, c th thy tiu dng, u t,

xut nhp khu cc yu t hnh thnh sn lng u ra gim ko theo GDP Vit

Nam s suy gim trong giai on khng hong 2008-2009 ny. Thc t, tc tng

trng GDP t 8.46% nm 2007 gim xung cn 6.31% nm 2008 v ch cn

5.32% nm 2009.

Trong giai on ny, lm pht Vit Nam cng mc cao. T l lm pht nm 2007

l 8% n nm 2008 mc khong 25%. Bn cnh , vic u c dn n gi nh,

bt ng sn hay chng khon lin tc tng gi, c bit l nm 2007.

Bo co cnh tranh quc gia VN cho thy trong nhiu nm cho thy Vit Nam ch

trng tng trng cao. Vic duy tr tng trng cao a n nhng thnh tu quan

trng v xa i gim ngho. Tuy nhin so vi tit kim ni a cn mc thp, nhng

nm giai on nghin cu t khong trn di 30% GDP th vn cha p ng c

yu cu u t ca nn kinh t. Tng u t khong trn di 43% GDP trong cng

giai on. Chnh lch gia tit kim v u t kh ln t 10-13% GDP dn n nhu

33

cu vn ca nn kinh t lc no cng cao dn n li sut th trng ti chnh kh c

th thp trong ngn hn. Tnh trng tit kim ni a lun mc thp cng l do thm

ht Ngn sch nh nc cao v ko di ca Vit Nam. Ngoi ra, trong giai on khng

hong ny, thu ht ngn sch cng ang l mt nguy c. Theo GS.TS Praipol

Koomsup, vic tng chi tiu ca Chnh ph Vit Nam trong nm 2007 tng cao dn

ti tnh trng thm ht ngn sch tng cao hn cc nm sau.

Nh vy, r rng t nhng phn tch trn, tng hp tnh hnh Vit Nam l li sut tri

phiu, lm pht v thm ht ngn sch tng cao, trong khi tc tng trng GDP

th li gim kh mnh. C kh nng tc ng ca tc tng trng tim nng s

khng gi c ging vi khung c s l thuyt kinh t ban u v ti d on s

c mt mi tng quan dng gia hai yu t ny.

4.2. Kt qu chy m hnh cho Vit Nam

4.2.1. Kim nh tnh dng ca chui s liu

S dng phng php ADF, tc gi nhn thy kt qu kim nh nh sau: cc bin l

chui thi gian dng chui sai phn bc mt.

Bin ADF test Kt qu

Li sut tri phiu

(LSTP)

-2.295 Khng dng

DLSTP -3.361*** Dng

Tc tng trng

sn lng tim nng

(POGDP)

-2.390926 Khng dng

DPOGDP -8.917 Dng

34

N (DEBT) -3.221 Khng dng

DDEBT -5.305 Dng

Li sut th trng

lin ngn hng (IR)

-2.593 Khng dng

DIR -2.518** Dng

Lm pht (IF) -1.283 Khng dng

DIF -2.124** Dng

Cn i ngn sch c

bn (BALANCE)

-4.062*** Khng dng

DBALANCE -7.256 Dng

Bng 4.1.Kim nh tnh dng

D i in cho sai phn bc 1 ca chui d liu tng ng.

y hm bin DEBT l t l N/Sn lng cng nghip v bin BALANCE l Cn

i ngn sch c bn/Sn lng cng nghip.

Gi thit l chui d liu c nghim n v (khng c tnh dng). K hiu ***, **, *

cho bit gi thit b bc b ti mc ngha 1%, 5% hoc 10%. Theo kt qu kim

nh trn, tt c cc chui d liu s dng cho Vit Nam u l chui khng dng v l

lin kt bc nht (dng sai phn bc 1). Ngoi tr chui cn i ngn sch c bn

khng dng mc ngha 10% v sai phn bc 1 ca lm pht dng mc ngha

5%.

4.2.2. Kim nh ng lin kt Johansen

Do cc chui d liu u l lin kt bc nht I(1) nn t ta bt u kim nh s tn

ti ca ng lin kt gia cc cp li sut. iu kin chy m hnh ECM l cc

35

chui d liu phi dng sai phn bc 1 v c mi lin h ng lin kt (mi quan h

di hn) vi nhau.

Gi thuyt l khng tn ti ng lin kt gia cc chui d liu trong m hnh.

Johansen Cointegration Test

Sample (adjusted): 2007M03 2009M08

Included observations: 30 after adjustments

Trend assumption: Linear deterministic trend

Series: LSTP BALANCE DEBT GDP IF IR POGDP

Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized

No. of CE(s)

Eigenvalue Trace Statistic 0.05 Critical

Value

Prob.

None* 0.8564 212.0601 125.6154 0.0000

At most 1 * 0.8548 153.8293 95.7537 0.0000

At most 2 * 0.6773 95.9503 69.8189 0.0001

At most 3 * 0.4988 62.0151 47.8561 0.0014

At most 4 * 0.4886 41.2896 29.7971 0.0016

At most 5 * 0.3356 21.1742 15.4947 0.0062

At most 6* 0.2218 7.5228 3.8415 0.0061

Bng 4.2.Kim nh ng lin kt Johansen

T bng trn, v gi tr p-value < 5% nn s tn ti ng lin kt gia cc bin ca m

hnh hay ni cch khc c mt mi quan h di hn gia cc bin trong m hnh. T

36

kt qu ny, c th p dng m hnh ECM c tnh tc ng ca cc bin v m ln

li sut tri phiu chnh ph trong ngn hn.

4.2.3. Kt qu

M hnh OLS: Tc ng di hn ca tc tng trng sn lng tim nng v n ln

li sut tri phiu chnh ph.

Bin H s p-value

0.21119 0.0000

POGDP -2.51207 0.0003

DEBT 0.03798 0.0076

Bng 4.3.Kt qu tc ng cc yu t n li sut tri phiu chnh ph di hn

Kt qu thng k cho thy: H s di hn ca t l N/Sn lng cng nghip (bin

DEBT) l dng, ngha l tn ti mt tc ng cng chiu t t l n ln li sut tri

phiu chnh ph. C th y l vi 1% tng ln trong t l n, li sut tri phiu s

tng khong 3% (c tnh ny l khong 2 im c bn trong bi nghin cu ca

Tigran Poghosyan). Kt qu ny l ph hp vi l thuyt kinh t c bn. Tc ng ny

cho thy d n ca chnh ph hu ht trong giai on ny c pht hnh vo th

trng tri phiu nhiu hn so vi cng c vay ngn hn t cc ngn hng thng mi

hay ngn hng nh nc.

Tuy nhin, nu l thuyt cho rng tc tng trng tim nng c mt tc ng dng

ln li sut tri phiu chnh ph th kt qu i vi Vit Nam trong giai on 1/2007

n 8/2009 li cho ra mt kt qu hon ton ngc li. c tnh cho thy 1% tng ln

trong tc tng trng sn lng tim nng (POGDP) s lm gim li sut tri phiu

chnh ph xung 251%. Theo Tigran Poghosyan (2012), mi quan h di hn gia li

sut tri phiu chnh ph v cc yu t v m c th b ph v, c bit l trong khng

37

hong ti chnh. Ngoi ra, Laura Jaramillo v Anke Weber cng nhn nh trong

giai on th trng bnh lng, th trng tp trung vo ri ro xut pht t nhy cm

vi cc c sc v m. Tuy nhin, khi mc n trnh ri ro ton cu l cao, hay ni cch

khc khi ri ro th trng ti chnh l ln, nhng nh tn dng quan tm n ri ro v

n v k vng v thm ht ti kha, n chnh ph l nhng nhn t tc ng li sut

tri phiu chnh ph. Chnh nhng yu t ny lm ngc du tc ng ca tc

tng trng ln li sut tri phiu chnh ph. Tc ng ngc chiu ny c d

on v gii thch trn, hay ni cch khc l do mu nh lng ly trong giai on

khng hong ti chnh ti cu nn nh hng ca c sc kinh t s l thay i tng

quan gia cc bin trong m hnh.

M hnh ECM: Tc ng ca cc yu t lm pht, li sut, n, tng trng sn lng,

cn i ngn sch c bn ln li sut tri phiu trong ngn hn.

Bin H s p-value

DIF 0.002225 0.0988

DIR 0.501929 0.0102

DDEBT 0.037218 0.0188

DGDP -0.048465 0.0325

DBALANCE 0.023664 0.0833

RESID -0.217843 0.0233

Bng 4.4.Tc ng cc yu t n li sut tri phiu chnh ph trong ngn hn

Thng qua m hnh ECM, c mt s kt qu c rt ra nh sau:

Th nht, tc iu chnh l m ng k (h s ca bin RESID) h tr cho gi

thuyt ng lin kt v c du m ng vi d on l thuyt ban u. H s trung

38

bnh l -0.2178 cho thy rng khong 20% lch li sut thc ca li sut tri phiu

chnh ph so vi mc cn bng di hn c iu chnh trong thi gian mt nm.

Th hai, cc bin ngn hn lm pht, li sut v t l n l c h s dng v c du

ng nh gii thch trn. Ngoi bin t l n c tc ng khong 4% li sut tri

phiu th h s ca lm pht (DIF) li kh nh, ch khong 0.2225% cho thy tc ng

khng ng k n li sut tri phiu chnh ph. Tc ng ca li sut l kh ln,

khong 1% thay i trong li sut s dn n 50% thay i trong li sut tri phiu

chnh ph. iu ny cho thy tc ng ca chnh sch tin t vo li sut tri phiu l

ln nht v bin li sut lin ngn hng l i din cho tc ng ca chnh sch tin t

(theo Tigran).

Ring i vi bin cn i ngn sch c bn (DBALANCE) li c du ngc vi d

on l thuyt ng ngha vi vic 1% tng ln trong cn i ngn sch c bn s lm

tng 2.37% li sut tri phiu chnh ph. iu ny c th do ngi dn v nhng nh

u t cha quan tm ng mc n cn i ngn sch c bn khi u t vo tri phiu

m ch quan tm n n cng v kh nng tr n ca Vit Nam.

Bn cnh , vic thc hin c ch li sut ch o i vi vic pht hnh tri phiu

chnh ph cng l mt trong nhng nguyn nhn gy nn mc tc ng thp ca cc

bin v m ti Vit Nam. R rng khi li sut tri phiu c xc nh da vo cung

cu thc t ca th trng th vic c tnh cc yu t tc ng ra quyt nh chnh

sch s hp l hn.

4.2.4. Hn ch ca m hnh nh lng

Th nht, do hn ch trong vic ly s liu li sut tri phiu chnh ph v n nn m

hnh ch c lng trong mt khong thi gian ngn, c th t 1/2007 n 8/2009. Bi

v y l giai on khng ch Vit Nam m nhiu nc trn th gii u ri vo tnh

trng suy thoi nn s liu v kt qu chy ra c th khng dung so vi l thuyt nn

tng ban u.

39

Th hai, nh trnh by ban u, Vit Nam khng thng k s liu GDP theo hng

thng nn ti s dng s liu sn lng cng nghip thay th. Tuy nhin, cch

lm ny c th cho ra nhng kt qu khng hon ton chnh xc bi Vit Nam l quc

gia c th mnh v nng nghip.

Th ba, cn i ngn sch c bn khng c cng b trong giai on kho st trn,

v vy ti phi t tng hp trn trang web ca Tng cc thng k v B ti chnh

theo cng thc ca NHTW New Zealand.

5. CC KT QU NGHIN CU CHNH CA TI

5.1. Kt lun

ti nghin cu tc ng ca cc yu t v m, c th l n, tc tng trng tim

nng, lm pht, li sut lin ngn hng, cn i ngn sch c bn ln li sut tri phiu

chnh ph trong ngn hn v di hn giai on 1/2007 n 8/2009 thng qua vic s

dng m hnh hiu chnh sai s (ECM) c cp trong nghin cu gn y ca

Tigran 2012.

Cc vn chnh rt ra c nh sau:

Trong di hn, 1% tng trong N/Sn lng cng nghip s lm li sut tri phiu

chnh ph tng 3% v ngc li tc tng trng sn lng tim nng tng 1 n v

s lm gim li sut tri phiu chnh ph 2.5 n v.

Trong ngn hn, s thay i trong li sut tri phiu chnh ph khi v th cn bng

trong di hn l do phn ng vi s thay i ch yu trong li sut th trng lin ngn

hng (tng quan dng), t l N/Sn lng cng nghip (tng quan dng), cn

i ngn sch c bn (tng quan dng) v tc tng trng sn lng (tng quan

m). Tc ng ca s thay i trong lm pht (tng quan dng) l yu hn. Trung

bnh th khong 20% lch t v tr cn bng trong di hn c iu chnh trong mt

nm.

40

Tuy nhin, khi gii thch nhng kt qu ny nn ch rng hng phn tch trn khng

tnh ti mt s nhn t c kh nng ng gp vo lch tm thi ca li sut tri

phiu chnh ph t v th cn bng di hn. V d nh yu t tnh khng chc chn lin

quan n nhng tc ng phn hi gia ngn hng v chnh ph v n tim tang ca

khu vc cng. Bn cnh , s phn ng thi qu ca th trng khng nn c gii

thch nh l bng chng chng li hiu qu ca cc iu chnh ti kha gim chi ph

i vay.

5.2. Hn ch ca ti v cc hng nghin cu tip theo

5.2.1. Hn ch ca ti

Mc d c gng ht sc nhng ti vn cn mt s hn ch nht nh sau y:

ti phi s dng nhng c s l lun ca bi nghin cu lin quan a ra nhn

nh ca mnh, cha phn tch y , r rng v chi tit mc tc ng ca cc yu

t v m tc ng ti li sut tri phiu chnh ph trong ngn v di hn, i khi cn

mang tnh cht ch quan.

C mt s yu t tc ng mnh n li sut tri phiu nh tnh thanh khon th trng

hay cc thng tin cng b ca chnh ph v kinh t v m c th tc ng n li sut

tri phiu chnh ph nhng cha c kim nh v a vo m hnh.

5.2.2. Cc hng nghin cu tip theo:

M rng chui d liu li sut cho Vit Nam c v k hn v thi gian ly mu, c th

l cc tri phiu k hn 5 nm, 10 nm hoc hn v giai on kho st khng ch gi

gn trong giai on khng hong m m rng hn c tnh c chnh xc hn.

Nghin cu v tc ng ca vic cng b thng tin kinh t hoc d bo cc yu t v

m tc ng ln li sut tri phiu chnh ph.

i

DANH MC TI LIU THAM KHO

Ardagna, S., Caselli, F., and Lane, T. (2007), Fiscal Discipline and the Cost of Public

Debt Service: Some Estimates for OECD Countries, The B.E. Journal

ofMacroeconomics, 7 (1) pp. 1-33.

B. Douglas Bernheim (1987) "Ricardian Equivalence: An Evaluation of Theory and

Evidence," in Stanley Fischer

Baldacci, E., and Kumar, M. (2010), Fiscal Deficits, Public Debt, and Sovereign Bond

Yields, IMF Working Paper 10/184 (Washington: International Monetary Fund).

Brook, A-M. (2003), Recent and Prospective Trends in Real Long-Term Interest

Rates, OECD Economics Department Working Paper No. 367 (Paris: Organization

for Economic Cooperation and Development).

C.Groth (2011), Lecture notes in macroeconomics, Chapter 10: The Ramsey model,

pp. 359

Conway, P. and Orr, A. (2002), The GIRM: A Global Interest Rate Model, Westpac

Institutional Bank Occasional Paper (Wellington: Westpac Institutional Bank).

Chinn, M. and Frankel, J. (2005), The Euro Area and World Interest Rates,

Department of Economics, University of California, Santa Cruz Working Paper No.

1031.

Elmendorf, D. (1993), Actual Budget Deficit Expectations and Interest Rates,

Harvard Institute of Economic Research Working Paper No. 1639.

Elmendorf, D. (1996), The Effects of Deficit Reduction Laws on Real Interest

Rates,Federal Reserve Board, Finance and Economics Discussion Series 199644.

ii

Engen, E., and Hubbard, G. (2004), Federal Government Debt and Interest Rates,

NBER Working Paper No. 1068 (Cambridge, Massachusetts: National Bureau of

Economic Research).

Evans, P. (1987), Interest Rates and Expected Future Budget Deficits in the U.S.,

Journalof Political Economy, 95(1): pp. 34-58.

Gale, W. and Orzsag, P. (2002), The Economic Effects of Long-Term Fiscal

Discipline, Tax Policy Center Discussion Paper.

Hauner, D. and Kumar, M. (2009), Fiscal Policy and Interest Rates: How Sustainable

is the New Economy? IMF Working Paper 06/112 (Washington: International

Monetary Fund).

Joelle Liebermann (2011), The Impact of Macroeconomis News on Bond Yields:

(In)Stabilities over Time and Relative Importance, Central bank of Ireland.

Kelly R Eckhold (1998), Determinants of New Zealand Bond Yields.

Laubach, T. (2009) New Evidence on the Interest Rate Effects of Budget Deficits and

Debt, Journal of European Economic Association, 7: pp. 85885.

Laura Jaramillo and Anke Weber (2012), Bond Yields in Emerging Economies: It

matters What State You Are In, IMF Working Paper.

Matthew B. Canzoneri, Robert E. Cumby, and Behzad T. Diba (2002), Should the

European Central Bank and the Federal Reserve Be Concerned about Fiscal Policy?

Plosser, C. (1987), Fiscal Policy and the Term Structure, Journal of Monetary

Economics, Vol. 20 (2): pp. 343-67.

iii

Tavares, Jose v Valkanov, Rossen I, (2001) The Neglected Effect of Fiscal Policy on

Stock and Bond Returns, Anderson School of Management Working Paper, FEUNL

Working Paper No. 413.

Tigran Poghosyan (November 2012), Long-Run and Short-Run Determinants of

Sovereign Bond Yields in Advanced Economies, IMF Working Paper ,Fiscal Affairs

Department.

Thorbecke, W. (1993), Why Deficit News Affects Interest Rates, Journal of Policy

Modeling, 15 (1): pp. 1-11.

iv

PH LC

Ph lc 1. M t bin v ngun s dng bin ca tc gi Tigran Poghosyan

Bin Tc ng k vng vi li sut

tri phiu chnh ph

Bin ph thuc

Li sut tri phiu

Bin di hn

T l N/GDP (+)

Tc tng trng sn lng tim nng (+)

Bin ngn hn

Thay i trong t l n (+)

Thay i trong lm pht (+)

Thay i trong li sut ngn hn thc (+)

Thay i trong tng trng sn lng (-)

Thay i trong t l cn i ngn sch c

bn (-)

v

Ph lc 2. Sn lng tim nng Vit Nam giai on 8/2006 n 8/2009

th biu din sn lng tim nng tnh theo phng php Hodrick-Prescott Filter

(HPF)

vi

Ph lc 3. Kim nh nghim n v cho cc bin trong m hnh Vit Nam

Bin li sut tri phiu

Augmented Dickey-Fuller Unit Root Test on LSTP

Null Hypothesis: LSTP has a unit root

Exogenous: Constant

Lag Length: 1 (Automatic based on SIC, MAXLAG=7)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.338106 0.0973

Test critical values 1% level -3.670170

5% level -2.963972

10% level -2.621007

Augmented Dickey-Fuller Unit Root Test on D(LSTP)

Null Hypothesis: D(LSTP) has a unit root

Exogenous: Constant, Linear trend


t-Statistic Prob.*



5% level -3.568379

10% level -3.218382

vii

Sn lng tim nng

Augmented Dickey-Fuller Unit Root Test on POGDP

Null Hypothesis: POGDP has a unit root

Exogenous: Constant


t-Statistic Prob.*



5% level -2.963972

10% level -2.621007

Augmented Dickey-Fuller Unit Root Test on D(POGDP)

Null Hypothesis: D(POGDP) has a unit root

Exogenous: Constant, Liear Trend


t-Statistic Prob.*



5% level -3.568379

10% level -3.218382

viii

N/Sn lng cng nghip

Augmented Dickey-Fuller Unit Root Test on DEBT

Null Hypothesis: DEBT has a unit root



t-Statistic Prob.*



5% level -3.562882

10% level -3.215267

Augmented Dickey-Fuller Unit Root Test on D(DEBT)

Null Hypothesis: D(DEBT) has a unit root



t-Statistic Prob.*



5% level -3.568379

10% level -3.218382

ix

Li sut lin ngn hng

Augmented Dickey-Fuller Unit Root Test on IR

Null Hypothesis: IR has a unit root

Exogenous: Constant


t-Statistic Prob.*



5% level -2.971853

10% level -2.625121

Augmented Dickey-Fuller Unit Root Test on D(IR)

Null Hypothesis: D(IR) has a unit root

Exogenous: None


t-Statistic Prob.*



5% level -1.952910

10% level -1.610011

x

Lm pht

Augmented Dickey-Fuller Unit Root Test on IF

Null Hypothesis: IF has a unit root

Exogenous: None


t-Statistic Prob.*



5% level -1.952910

10% level -1.610011

Augmented Dickey-Fuller Unit Root Test on IR

Null Hypothesis: IR has a unit root

Exogenous: Constant


t-Statistic Prob.*



5% level -1.952473

10% level -1.610211

xi

Cn i ngn sch c bn

Augmented Dickey-Fuller Unit Root Test on BALANCE

Null Hypothesis: BALANCE has a unit root

Exogenous: Constant, Linear Trend


t-Statistic Prob.*



5% level -3.562882

10% level -3.215267

Augmented Dickey-Fuller Unit Root Test on D(BALANCE)

Null Hypothesis: D(BALANCE) has a unit root

Exogenous: Constant


t-Statistic Prob.*



5% level -3.568379

10% level -3.218382

cac yeu to tac dong den lai suat chinh phu

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