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7/30/2019 Chnh sch v hiu h a

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Chnh sch v hiu ha, chnh sch tin t v hi nhp ti chnh ton cu

Tm tt (Abstract)

Bi vit ny nghin cu m hnh bin i v tnh hiu qu ca s v hiu ha trong cc th

trng mi ni khi cc nc t do ha th trng v hi nhp vi nn kinh t th gii

Thng qua cc quc gia v cc thi k, chng ti c lng xu hng bin v hiu ha

s tch ly ca ti sn nc ngoi c c t dng thu ca cn cn thanh ton rng. Chng

ti pht hin ra quy m ca s v hiu ha dng thu d tr ngoi hi tng ln trong nhng

nm gn y vi cc mc khc nhau Chu cng nh cc nc Chu M Latinh

ph hp vi s lo lng ngy cng ln v nh hng ca lm pht tim n ti cc dng thu

d tr. Chng ti cng nhn ra rng s v hiu ha ph thuc vo cc thnh phn ca dng

thu t cn cn thanh ton.

1. Gii thiu (Introdution)

1.1. L do hnh thnh ti

Trong nhng nm cui 1980 v u nhng nm 1990, cc th trng mi ni i the

s t do ha v m ca ti chnh. Vi s c gng duy tr s n nh v t gi hi oi v

chnh sch tin t c lp mt mc no , nhng mt s nc vn phi tri qua v

cuc khng hong ti chnh. Sau hu qu ca cc cuc khng hong ny, cc th trng m

ni p dng chnh sch t gi hi oi linh hot hn nhng vn cn chu s qun l, son

song vi vic tip tc hi nhp ti chnh v c lp tin t trong nc mt mc no

S tch ly d tr ngoi hi tr thnh mt thnh phn quan trng trong vic tng cn

tnh n nh ca m hnh mi ny. S quan tm v chi ph ca vic duy tr n nh tin tvi chnh sch hn hp mi ny cho thy s cn thit cn phi tch ly d tr ngoi hi v

vic v hiu ha ngy cng gia tng. Mi e ngi v chi ph c hi ca vic tch ly d tr v

s bp mo chi ph ti chnh cng ca vic v hiu ha lm pht sinh nhiu cu hi v


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kh nng tn ti lu di ca chnh sch hn hp mi ny, c bit l hiu qu ca s v hiu

ha.

1.2. Tng quan v cc vn nghin cu trong bo coTrong bi vit ny, chng ti tp trung quan tm v quy m ca s v hiu ha bng

cch c lng xu hng bin v hiu ha s tch ly ti sn nc ngoi qua cc thi k

thng qua cc quc gia c chn Chu v Chu M Latinh. Kt qu ca chng ti

khng nh rng s tch ly ngy cng nhiu ca d tr ngoi hi trong nhng nm gn y

c lin quan ti s v hiu ha ngy cng mnh m thng qua cc nc ang pht trin

Chu v Chu M Latinh. c bit chng ti ch ra rng c mt s gia tng ng k

ca h s v hiu ha trong nhng nm gn y. V vy cc chnh sch tch ly d tr ngohi v v hiu ha, tc ng ca lm pht tim n b tr cho nhau trong nhng nm gn

y. Thm vo chng ti nhn ra rng s v hiu ha dng vn u t trc tip n

ngoi (FDI) t hn thng d ti khon vng lai v cc dng vn khng phi FDI, t ra

mi nghi ngi s bt n tin t ph thuc vo cc thnh phn trong dng thu ca cn cn

thanh ton.

Chng ti cng tranh lun v li ch v chi ph ca s v hiu ha. i vi nhiu

quc gia, chi ph pht sinh ca vic v hiu ha t hn cc li ch c c t vic n nh

tin t v tch ly d tr.Tuy nhin, chng ti a ra bng chng chng t rng li ch c

lin quan n Trung Quc v cc nc khc gim trong nhng qu gn y. iu n

ng v nhng hn ch ca vic duy tr cu trc chnh sch mi trong thi gian gn.

Cui cng chng ti phc tho mt mu (c trnh by trong phn ph lc) gi

thch kh nng v hiu ha ph thuc vo kh nng thay th khng hon ton ca cc t

sn trn th gii, ni m chi ph thng mi ca cc ti sn ny bin i mt cch h thng

thng qua cc tc nhn (bi v cc nh hng ca s cn bng hp l) v thng qua cc lp

ti sn (bi v tnh cht thanh khon v ri ro khc nhau).

2. Tng quan cc nghin cu trc y (literature review)

2.1. B ba bt kh thi


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Mtbi hclncathp kva qua l ccri ro ca s kt hp gia hi nhp t

chnh quc tvich t gi hi oi c nh. Mi cuc khng hong ti chnh quc t

trng yu gia cc th trng lin quan vi nhaut nm 1994, Mexicovo nm 1994, ThLan, Indonesia, v Hn Qucvo nm 1997, Ngav Brazil vo nm 1998

Argentina v Th Nh Kvo nm 2000,u cs lin quan n ch t gi hi oic

nh. ng thi,cc quc gia khng c ch t gi c nh, trong Israel, Mexico, v

Nam Phi vo nm 1998, trnh c cc cuc khng hongcng loi nh hng

cc th trng mi ni c ch t gi c nh. Kt qu l, nhiu th trng m

ni thng qua chnh sch t gihi oic qun l,trong khi vnc gng du

tr mtmc kim sottin ttrong nc cng vitng cnghi nhp ti chnh

Hthc hiniu nyvimt chnh sch kt hp tch ly d tr ln v v hiu ho.

Vic p dng khun kh l thuyt b ba bt kh thi hu ch trong vic gii thch s

thay i cu trc chnh sch tin t bi cc nc ang pht trin. L thuyt b ba bt kh th

ni rng mtquc giang thic thchnbt k hai,nhng khng phitt c, tron

ba mc tiusau y:c lptin t,n nht gi, v hi nhp ti chnh (xem Obstfeld e

al., 2005, tho lun thm v tham khov l thuyt b ba bt kh thi).

Vith trngvnng ca,mtquc giac thc quyn kim sot chnh sc

tin t v t gi hi oi c nh,nhng khng hi nhpti chnh. y ls la chn chn

sch a thchcahu ht ccnc angpht trinvo gia ncui thp nin 1980, kh

h duy tr mts kt hpgia n nht gi v c lp tin t,vi ccti khonvng

nhng ca.

Trong nhngnm cui 1980 vunhng nm 1990cc ncnh Mexico, H

Quc, v mt snn kinh t khc chu ,i theo con ng pht trint do ha t

chnh v m ca. Tuy nhin, khi hmca ti chnh,h thyrngcc mc tiucah

nhpti chnh ln hn,n nht gi vc lptin t ng thikhng th t c

Cc mc tiu chnh sch khng ph hp dn ncc cuc khng hong ti chnh nghim

trng,ti Mexico trong thi gian 1994-1995 v ng trong thi gian 1997-1998


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Nhngcuc khng hong khng nhs tha hip cn bng vi l thuyt b ba bt kh

thi: mt quc giachn tham giahi nhp ti chnh mc cao phi t bs

nht gi numun bo tnmc c lptin t. T nhng sai lm dn ticc cukhng hongxy ra, sau Mexico, Hn Quc,v cc nc khc chn mt c

trc chnh sch mi di chuyn hng vo bn trong ca hnh tam gic b ba bt kh thi

Cu trc ba nhn t mi dng nhlin quan nhi nhpti chnh su hn vt gi h

oilinh hotc qun l hn,hn l cn bng gia s n nht gi hi oivi vic ch

chuyn vn trong khi duy tr mtmc c lp tin t. Trongnhngnm

1990, Argentina thng quamt cu trc khc ca b babt kh thi lin quan n tnh n

nh cat gi hi oi,c h tr bi mt chun tin t,v hi nhp ti chnh hon ton

Argentina cng tri qua mt cuc khng hongu nhng nm 2000 khi tb chn

sch tin tc lpkhng cn kh thi.

Sau khng hong,nhiuth trng mi nichnmtcu trc chnh sch li

quan nt gi hi oilinh hothn,c lptin ttrong nc, v tng cng h

nhpti chnh. Nhnghvn cn can thipmtmc lntrong vic qun lt gi h

oi. V vy,khi i mt vip lcnh gi cao ng tin,h thc hin tch ly d tr

v v hiu ho. Trung Qucl mt minh chng tiu biu cho chnh sch hn hp ny, ch

php s hi nhp ti chnh su hn trong thc t, v vo gianm 2005p dng t gi linh

hot c qun l, trong khivn tch lu v v hiu hocc dng thu d tr ngoi hi khng

l.

Phn tch kinh tcho thys thay icu trc trong cc m hnh tch lud tr c

cc nc ang pht trin (xem Aizenman v Marion, 2003; Aizenman v Lee, 2008

Cheung v Ito, 2007). Mts thay ixy ra trong nhng nm u 1990,c ph

nh trong s tng t l d tr ngoi hi/GDP, mtxu hngtng vt ngay sau khn

hongng 1997-1998, nhnggim xungvo nm 2000. Mts thay icu trc th

hai dng nhdin ra trong nhng nm u 2000,nh hngch yu do s gia tn

cha tng c trong tch lu d tr ngoi hica Trung Quc.


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Stch lu d tr ngoi hi lnc th l do mt s yu t. u tin,mt s n

ginh d trp ngnhu cuphng nga. D tr cung cp bo him cho chnh qu

gia khi c s dng li t ngt calung vnnc ngoi chuyn vo trong nc, qub pri ro khi hi nhp ti chnh mc su hn. Th hai,d trc thc s dn

gim nhtc ngcacc c sc thng mi trn t gi hi oi thc tv xut kh

ca mtquc gia,iu hocc iu chnhti khon vng lai. Thm vo ,chng nh l

mt khonbo him ngm, cho php cc nc trnhph thuc vo Qu tin t Th gi

(IMF),Ngn hng Th gii (WB) vcc t chcti chnh quc t khc,vv,. Cui cng, tc

lu d tr c thxut hinnhl mtsn phm phcavic qun lt gi hi oi th

yxut khubng cchnh gi thpng ni t.

S v hiu ha v tch tr d tr ngoi hi cng lin quan n chi ph ri ro o

v m v vi m. Ri ro o c v m pht sinh khi tch ly d tr khuyn khch c hi ch

tiu trong ch c trng bi bt n chnh tr v gim st hn ch (xem Aizenman v

Marion (2004), cho thy rng y l cc nc c trng bi bt n chnh tr v phn ha

chnh tr ln la chn gi d tr ngoi hi t hn). Ri ro o c vi m pht sinh khi tch

tr d tr tr cp ri ro. (Levy-Yeyati (2005), ngiyu cud tr bt buc c tnh than

khon trong cc ngn hng cng nhmtiu khon nh ch vic chuyn i trc). Cu

cng, tch ly d tr v v hiu ha c th kch thch cc bin dng lnh vc ti chnh. V

d, vic s dng cc cng c phi th trng nhiu hn (v d nh yu cu d tr bt buc

kim sot tn dng trc tip) c th cn tr s pht trin ca th trng tri phiu doanh

nghip v thay i hnh vi ca cc ngn hng. Ngoi ra, n c th cn tr s pht trin t

chnh bng cch phn chia cc th trng n cng thng qua pht hnh cc khon n ngn

hng trung ng thay v tri phiu kho bc.

T nhng nghin cu trc y, bi nghin cu ca Aizenman v Glick (2008) tp

trung gii quyt nhng vn sau:

- Liu rng s v hiu ha c tng ln qua cc thi k ?

- Liu rng s v hiu ha c ph thuc vo lm pht khng ?


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- Liu rng s v hiu ha c ph thuc vo thnh phn ca dng thu t cn cn thanh ton

hay khng ?

3. Phng php nghin cuGi chng ta chuyn qua c lng tnh ton s thay i trong mc v hiu ho

Chng ti c lng quy m ca s v hiu ho bng mt m hnh hi quy n gin c

cc nh iu hnh tin t v s thay i ti sn rng ni a da trn s thay i ti sn rn

nc ngoi v a vo bng cn bng, ni m s thay i c o lng qua 4 qu v d

trn t l d tr tin vo cui mi 4 qu.Chng ti cng xem xt thm t l tng trn

GDP danh ngha ca 4 qu kim sot nhng bin gii thch khc, nh Z c th l bin

nh hng bi nhu cu v tin:

Chng ti c tnh cc h s v hiu ho () vi m hnh nh lng phng php

bnh phng nh nht OLS s dng mu 40 qu. Trongnhng trng hp ny, mt h s

n nht, tc l = -1, trn bin FR/RM th hin s v hiu ho tin t hon ton khi c

s thay i trong d tr, trong khi = 0 c ngha l khng c v hiu ho. Gi tr ca h s

v hiu ho gia cc cp nm trong khong -1 < < 0, cho thy s v hiu ho tng phn.Trong Aizenman v Glick (2008b), chng ti kim tra nhy cc kt qu khi tha

th chi tit trong k thut hi quy.c bit, chng ti chy cc h s hi quy da trn (i

nhng quan st khng chng cho ca nhng thay i mt qu c tin hnh hng qu, v

(ii) nhng quan st khng chng cho ca nhng thay i ca 4 qu c tin hnh hng

nm.

Trong thuyt minh c bn ca chng ti, Z c nh ngha l t l tng trn

GDP danh ngha. Gi s cu tin n nh l bc s khai ca phng phptin t hn

ti cn cn thanh ton, c ngha l vic m rng DC bi NHTW ti mt t l tng trung

ca GDP s p ng s gia tng ca cu tin m khng cn phi tch lu d tr ngoi hi

Nh vy,vic v hiu ho hon ton ( = -1) ng rng NHTW cho php tn dng ni


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thch nghi vi cu tin ngy cng tng cao do GDP tng trung, nhng ngn chn bt k s

m rng tn dng ni a no do tch lu d tr ngoi hi. Khi gi tr ca v hiu ho nh

hn -1 c th i din cho mt chnh sch tin t tht cht hn, do nhng mi lo lng v lmpht. Trong trng hp ny vic tch lu mt n v d tr ngoi hi s lm gim nhiu h

mt n v ti sn ni a c nm gi bi NHTW, do lm gim lung tin c s

Tng t nh vy, khi gi tr ca vic v hiu ho ln hn 0 c th cho thy mt chnh sch

tin t m rng, do nhng lo ngi v mt cuc khng hong tn dng hoc b nh hung b

mt cuc khng hong c h thng.

Chng ti xt thm mu ca cc nc: Chu , nhng mu ban u ca chn

ti Trung Quc, Hn Quc, Thi lan, Malaysia, Singapore v n , chng ti thmIndonesia, Pakistan, Philipin; Chu M-Latin, ngoi cc mu ban u ca chng ti l

Argentian, Brazil v Mexico, chng ti thm Columbia, Chile v Peru.

4. Ni dung v ktqu nghin cu

4.1. Tch ly d tr v phn ng v hiu ha

Tch lu d tr ko theo nhng h qu v tin t. Khi NHTW mua cc ti sn d tr

ngoi hi, phi quyt nh rng c nn ti tr bng cch gia tng lng tin d tr c s, t

gy ra nguy c lm pht, hay gim i ti sn rng ni a khin v hiu ho cc tc ng

ln d tr tin c s trong nc. Cc NHTW c th b p nh hng ca tch lu d tr

ln lng tin c s theo mt s cch sau, bao gm cc vic bn cc cng c th trng

chng hn nh tri phiu chnh ph hay hi phiu ca cc NHTW hoc bng cc nghip v

hon i hay mua li. Vi nghip v hon i, NHTW ng mua hp ng t gi k hn

trong khi , vi nghip v mua li, NHTW s bn i cc chng t c gi vi tho thun s

mua chng li trong tng lai. Khi th trng yu, mt s nh chc trch tin vo nhng

cng c phi th trng, nh l chuyn tin k qu ca chnh ph v nhng c quan ti chnh

cng t nhng ngn hng thng mi vo NHTW hay bn d tr ngoi hi cho chnh ph

(c th cho php chnh ph gim ti a mc n t bn ngoi).


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Hnh 2 th hin s thay i ca ti sn d tr ngoi hi rng (FR) v ti sn tn dn

ni a rng (DC) trong mi 4 qu NHTW, c v da trn t l d tr tin (RM) v

cui mi thi k 4 qu ca Trung Quc, Hn Quc, v Thi Lan. D tr ngoi hi rngc xc nh bng cch da trn gi tr ng la nh danh ca d tr ngoi hi v iu

chnh theo s thay i ca t gi hi oi, a ra mt thang o gi tr iu chnh c

nhng thay i trong d tr ngoi hi so vi ng tin ni a. Ti sn tn dng ni a rn

bng tin d tr c s tr cho d tr ngoi hi rng. Nhng gi tr dng ca tch lu d

tr ngoi hi rng trong NHTW tng ng vi dng thu d tr ngoi hi. Gi tr m ca tn

dng ni a rng tng ng vi cc mc st gim ti sn ni a c nm gi bi cc nh

iu hnh tin t.

Trong trng hp ca Trung Quc, nhng dng thu tin d tr (tc l FR/RM

dng) gy ra tc ng tin t: quy m v hiu ho ca Trung Quc b gii hn mt cch

tng i cho ti u nhng nm 2000; tc ng ny c tng ln mt cch tng th bn

cc tc nhn kch thch tin t c c t vic tng ln ti sn ni a ca NHTW (c ngh

l DC/RM dng). Tuy nhin, t gia nm 2002, Trung Quc tch lu c kinh

nghim gia tng cc dng thu d tr ngoi hi, nhng dng thu ny t l nghch vi vic

nm gi cc ti sn ni a ca NHTW, trc ht thng qua vic mua bn hi phiu ca

ngn hng Nhn Dn Trung Quc, k c nhng dng thu d tr c v hiu ho. S gi

tng quy m v hiu ho u nhng nm 2000 n cha mt kh nng tng ln vt b

hnh vi v hiu ho ca Trung Quc.

Hn Quc v Thi Lan cng c nhng dng thu d tr ng k sau cuc khn

hong Chu y thit hi. Hn Quc, dng thu d tr tng ln trong nm 1999 v

2000, gim xung mt mc no , v sau tng trng li trong giai on 2002 -200

xung quanh khong thi gian Trung Quc bt u tng t l d tr. Nhng nh iu hnh

tin t Hn Quc phn ng li tc ng tin t ca cc dng thu bng cch v hiu ho. M

m hnh tng t v dng thu v v hiu ho cng xy ra Thi Lan.


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Aizenman v Glick (2008b) cho thy kt qu ca nhng nc c chn khc trong

khu vc Chu (Singapore, Malaysia, v n ) v Chu M Latinh (Argentina, Brazil

v Mexico). Trong trng hp ca Argentina, dng thu d tr khim tn ni ln nm 2003sau cuc khng hong ti chnh ca quc gia ny nm 2001-2002; tuy nhin, nhng dn

thu ny hin nhin khng b v hiu ho cho ti na cui 2004 khi nhng thay i trong c

ti sn ni a do NHTW nm gi ri xung mc m. Brazin, dng thu d tr bt u gi

tng vo na cui nm 2004, ko theo l vic vhiu ho dng tin ny. M hnh tn

t ca dng thu d tr v cn bng mc st gim trong ti sn ni a do NHTW nm gi

cng xy ra Mexico vo nm 1996 sau nhng thit hi ca khng hong ng peso vo

1995 - 1996.

Hnh 3 biu din h sv hiu ha t vic chy hi quy da trn c s c lng

ca cc c im k thut tiu chun ca chng ti. H s quan st tng ng vi 40 qu

ca mi mu.

Trong trng hp ca Trung Quc, quan st thy rng h s v hiu ho bt u

tng (gi tr tuyt i) t khong 0,6 trong nm 2000, c xu hng tng nhanh trong na

cui nm 2002 v tip tc trong nm 2006 v t gn 1,5 cho thy s v trong hnh vi

Biu cng cho thy rng hnh vi v hiu ho ca Trung Quc bt u o ngc

trong qu 4 nm 2006. y l mt bng chng cho thy s suy gim trong mc v hiu

ha ca Trung Quc c th do hai kh nng. Th nht, tch ly d tr ngoi hi ca Trun

Quc trong thi gian gn y c th c phng i n mc cc s liu bo co cha

iu chnh c nhng ti khon chuyn i v chuyn dch ca ti sn d tr ngoi hi t

qu ti sn nh nc (SWF) ca Trung Quc v ti ngn hng nh nc. Th hai, Trung

Quc thc s chm ti gii hn ca n trong kh nng v hiu ho nhng dng thu d

tr khng l.

Mt s v trong hnh vi v hiu ha ca Hn Quc l iu hin nhin sau cu

khng hong ti chnh 1997-1998, vi h s v hiu ha tng t 0,9 n hn 1,0 vo nm

1999. S v hiu ha tng mc d mc thp hn,c th d dng quan st c Th


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Lan v Malaysia, trong khi khng c thay i no l hin nhin trong trng hp c

Singapore. i vi n , mt s gia tng khim tn trong trong vic v hiu ha dng

nh xy ra vo gia nhng nm 1990 sau cuc khng hong ti chnh nm 1991, tiptheo tng thm sau nm 2002.

so snh, chng ti cng chy m hnh hi quy ly kt qu ca ba nc M

Latinh. Nh trc y, mt dy cc mu b gii hn vo khong thi gian sau s n nh

chnh sch tin t nm 1991 ti Argentina v nm 1994 ti Brazil; trong c hai trng hp

mt vi s gia tng trong s v hiu ha c th c quan st d dng qua thi k. Tron

trng hp ca Mexico, s v hiu ha tng mt cch khim tn vo nm 1996 v sau

vo khong nm 2005.

Nhng pht hin chung ca chng ti cho thy rng s v hiu ha tng ln mnh

m mt cch hp l.

Vic chy hm hi quy a ra c s v hiu ha gia tng nhiu nc sau

cuc khng hong Chu hoc vo thi gian m Trung Quc btu v hiu ha mnh m

vo nm 2002. nh gi mc m nhng quc gia ang hng ti nhng khun

mu v hiu ha tng t nhau, chng ti tin hnh lm mt so snh v hnh vi v hiu h

xuyn quc gia qua cc khong thi gian

Hnh 4 bo co h s phng sai ca nhng h s v hiu ha nhng t nc

Chu v Chu M - latin cng nh khi hai khu vc kt hp vi nhau . Quan st thy rn

h s phng sai gim ng k khu vc Chu trong thi k 200-2005, sau n l

bt u tng mt cch ng ngc nhin. khu vc Chu M, h s phng sai bt

gim t nm 2000. Nhng kt qu ny cho thy rng, thi gian ca s gia tng quy m v

hiu ha ca cc quc gia c mt thnh phn chung.

4.2. S v hiu ha v lm pht

Bng 2 lc ra nhng nh hng ca lm pht t s thay i ca GDP thc da trn

c s qun l v vic nm gi ti sn ni a ca ngn hng trung ng. N cng nh l

cch kim tra mc phn ng li vi lm pht theo thi gian v liu rng bt k s thay


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i no trong cc phn ng ny c tc ng n s v hiu ha ca cc dng vn c t

tr t bn ngoi hay khng.

Quan st ct 1 v ct 2 ca bng cho thy rng kt qu khc bit ca lm pht khkhng c v c GDP thc c xem nh l mt bin gii thch. Kt qu cho thy h s v

lm pht v h s tng trngGDP thc l dng v ng k, ph hp vi du dng ca

GDP danh ngha c quan st t trc (ngoi tr l cc h s GDP thc Hn Quc v

Thi lan th mang du m, mc d chng khng ng k). Kt qu cng cho thyrng

ln ca h s ti sn nc ngoi rng tng tc vi nhng bin gi l ngy cng nh h

(gi tr tuyt i) v trong mt s trng hp th n cn nh hn nhng kt qu c a r

bng 1. Ct 3 bao gm bin tng tc lin quan n t l lm pht vi nhng bin gi. mt vi t nc nh : Hn Quc, Thi lan, Malaysia, Singapo, Argentina, Brazil h s

trn nhng bin ny l m, ni ln mt s gia tng trong qun l tin t chng lm pht b

Ngn hng Trung ng trong mt vi nm gn y(mc d h s l khng ng k Hn

Quc v Singapo). Ch rng chng ta c th tm thy mt s gia tng trong s phn ng

li vi chnh sch v hiu ha nhiu t nc, c ch ra bi h s m trn bin tng

quan i vi dng thu d tr ngoi hi (ngoi tr Malaysia, Argentia, Brazil). Do , k

qu cho chng ti thy rng cc nc ang pht trin ang tng mc v hiu ha tron

nhng nm gn y xut hin c th mnh hn trong vic khc phc vi p lc lm ph

bng nhng bin php trc tip.

4.3. S v hiu ha v thnh phn dng thu ca cn cn thanh ton

Bng 3 cho thy s tng ln ca s d ti khon hin ti, dng vn u t trc tip

v cc dng vn khc, cng nh tch ly d tr cho cc nc c th trng ang ni ln nh

mt ton th, mt s nhm khu vc v tng quc gia c la chn. Cc s liu bo co l

s trung bnh hng nm ca cc thi k trc v sau cc cuc khng hong ti chnh ln

gn y, c bit l cuc khng hong Mexico 1994-95 v cc cuc khng hong chu v

Nga 1997-99.


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Quan st mc d tr tch ly chu tng u n theo thi gian, ph hp

vi cc quan st trc y ca chng ti da trn bng s d ngn hng trung ng .Qua

st trong thi gian gn y nht, 2000-2006, cc dng vn ch yu phn nh thng d tkhon hin ti, ch khng phi l dng vn u t ln. y l mt i lpca cc m hn

trong cui thp nin 1980 v thp nin 1990, khi hu ht cc khu vc ca th gii tri qu

thm ht ti khon hin ti v dng vn ln. Quan st cng thy dng vn u t trc ti

nc ngoi trung bnh tng u n trong tt c cc khu vc th trng mi pht trin

trong thi gian

Ngc li danh mc u t trung bnh, v cc dng vn u t khc ngng ho

gim mnh sau cuc khng hong chu v Nga cho hu nh tt c th trng mi phtrin.

Liu rng s v hiu ha phn ng li vi cc dng thu d tr ty theo ngun gc ca c

dng thu hay khng, tc l, mc m cc ngn hng trung ng qun l vic nm gi

ti sn ni a ph thuc vo dng vnd tr c kt hp vi dng tin "lnh" nh FDI

hoc dng tin nng kt hp vi cc thnh phn khc ca cn cn thanh ton?

Bng 4 trnh by kt qu nh gi phn ng ca s v hiu ha ca ngn hng trung

ng ln dng vn d tr n t thng d tikhon vng lai, lung vn u t trc tip

nc ngoi FDI, hoc ngun vn khc khng phi FDI.28 Chng ti tm hiu xem li

nhng phn ng ny c thay i cng mt lc khi nhng ngy bt u trong hnh vi v

hiu ha c xc nh sm hay khng. ph hp vi phn tch hi quy trc ca chn

ti, chng ti o lng s thay i ca cc bin trong gii hn s thay i ca 4 qu

c tnh theo t l ngun d tr tin tr.

Nh trnh by trong ct (2) ca Bng 4, s v hiu ha phn ng vi dng v

u t trc tip nc ngoi FDIthp hn (v ln tuyt i, ngha l

mt s quc gia, bao gm c Trung Quc,Hn Quc, Thi Lan, Malaysia, v Singapore

cng nh Brazil v Mexico (tc ng sau cng ca phn ng trong trng hp ny lin

quan n ti khon vng lai). Nhng s khc bit ny l ng k Trung Quc (lin quan


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n dng thu khng phi FDI), Thi Lan (lin quan n thng d ti khon vng lai)

Malaysia, Singapore (lin quan n ti khon vng lai), v Brazil. Ct (3) ca Bng 4 th

hin mi tng quan gia cc thnh phn ring l ca cn cn thanh ton vi nhng bingi tm ra liu n nhy cm nhiu hay t vi nhng thnh phn ny trong nhng nm gn

y hay khng. Ph hp vi nhng pht hin ca chng ti trong bng 3, chng ti thy

nhy cm ln hn (tc l gi tr h s cng m) trong cc trng hp ca Trung Quc, Th

Lan, Ma-lay-xi-a (mc d Malaysia khng tnh ti cn cn ti khon vng lai), v n

(mc d khng phn ng vi dng vn FDI , ni m cc phn ng ny gimng k).

Tphp t nhng bng chng thc nghim v s v hiu ha: quy m mc v

hiu ha dng thu d tr ngoi hi tng ln trong nhng nm gn y vi mc khcnhau chu cng nh Chu M. iu ny l ph hp vi mi quan tm ln hn v c

tc ng lm pht tim n ca cc dng thu d tr. S v hiu ho ph thuc vo thnh

phn dng thu ca cn cn thanh ton, v d nh mt s nc s tc ng ln dng thu

u t trc tip nc ngoi l t hn tc ng ln thng d ti khon vng lai h ay dng th

khng phi FDI. iu ny ph hp vi quan im l nhng quc gia ny t quan tm tc

ng tin t ca dng u t trc tip.

4.4. Chi ph, li ch v tnh bn vng ca chnh sch v hiu ha

Tng cng hi nhp ti chnh l mt kt qu tt yu ca hi nhp thng mi su

hn cc nc ang pht trin. Mt mt khc ca tng cng hi nhp ti chnh l tin gn

hn vi s bt n ti chnh. Nhng quan ngi v s bt n ti chnh v tin t lm tng

s b sung gia quy m tch ly d tr v v hiu ha: Quy m m mi nc c th tip t

tch ly d tr v v hiu ha, v s n nh ca chnh sch hn hp ny ph thuc vo cc

li ch v chi ph lin quan.

Trong khi cung cp cc dch v hu ch, vic qun l d tr ngoi hi b hn ch

nghim trng. u tin, l chi ph c hi trc tip ca d tr lin quan vi nng su

bin ca vn cng v / hoc chi ph vay bn ngoi. Th hai, s v hiu ha c chi ph t

chnh lin quan n s khc bit gia s chi tr cc khon n ngn hn ca ngn hng trun


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ng pht hnh v hiu ha thanh khon trong nc (hoc chi ph c hi thu c t

li nhn trn ti sn ni a, chng hn nh tri phiu chnh ph, bn cho khu vc t nhn)

v mt khc, li nhun kim c t ti sn d tr ngoi hi.Hnh 5a m t gn ng cc chi ph ti chnh ca s v hiu ha trong trng hp

ca Trung Quc, c a ra bi s khc bit v li sut gia tn phiu ca Ngn hn

Nhn dn Trung Quc v li tn phiu kho bcM(chnh lch l s khc bit theo chiu

dc ca hai ng). Quan st rng s chnh lch li sut l kh quan, nhng thu hp l

trong nm 2003 v 2004, v thc s tr nn tiu cc trong nm 2005, ng Trung Quc

sau kim c tin trn s d t cc hot ng v hiu ha ca n. Vic thu hp kh

bit ny trong qu gn y (n thc s bin ng tch cc mt ln na vo thng 12 nm2007, tuy nhin, iu ny hm l chi ph v hiu ha ca Trung Quc tng ln. Hnh 5b

m t s thay i trong chnh lch li sut ca5 nc chu gia thng 6 nm 2004 v

thng 5 nm 2007, cho thy rngchi ph v hiu ha tng trong tt c cc quc gia ny.

Cuc tho lun ny cho thy mc m mt nc c th tip tc v hiu h

cng ph thuc vo mc m n sn sng chu ng kim ch ti chnh v nhng bi

dng khc i vi nn kinh t ca n. Trong ph lc, chng ti phc tho mt m hnh gi

thch kh nng v hiu ha ph thuc nh th no vo kh nng thay th khng hon ho

ca ti sn trong mt th gii m chi ph cho vic kinh doanh ti sn khc nhau trn ton h

thng i din (do cc hiu ng quy m c th) v thng qua cc loi ti sn (do tnh thanh

khon v tnh cht ri ro khc nhau). Trong khun kh ny, chng ti thy rng cc chnh

sch khuyn khch kim ch ti chnh trong nc cng gim chi ph v hiu ha. iu ny

cho thy rng cc nc c kh nng v sn sng tham gia trong s v hiu ha ti chnh

mc ln hn s c th duy tr cu trc chnh sch tch tr d tr v v hiu ha trong

mt thi gian di.

S n nh ca chnhsch hn hp hin nay l phc tp hn bi mc tnh ton

chi ph - li ch ca mi nc ph thuc vo cc hnh ng ca cc nc khc. Nhng n

theo chin lc tng trng theo nh hng xut khu c th chn tham gia trong s


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tch ly d tr cnhtranh ci thin v duy tr kh nng cnh tranh ca h trong vic xu

khu sang cc nc cng nghip.

Do , v d, min l Trung Quc v cc lng ging ng ang c gng duy trkh nng cnh tranh trong xut khu sang Hoa K, v gii hn v hiu ha. Nhng n

c chi ph v hiu ha thp hn, sn sng bp mo h thng ti chnh ca h, tch tr

ngy cng ln d tr ngoi hi, chin thng trong tr chi tch tr t nht l trong ngn hn

Ngi ta c th cho rng, lp lun ny gii thch s tng d tr ngoi hi cha tng c c

Trung Quc t nm 2002, chim gn 50% GDP v trn cc cp ca cc nc ng

khc (xem Aizenman v Lee, 2008). Tuy nhin, kt qu ny c th dn n v nu n

dn ti vic mt quc gia tch ly tng v th khin chi ph v hiu ha vt qu li chNhng quan st ny ph hp vi Tm nhn Kinh t Th gii (2007), nhn thy rng tr

danh ngha chng li s nh gi cao t gi hi oi danh ngha thng qua s can thip b

v hiu ha c kh nng l khng c hiu qu khi dng vn l lin tc v ln.Thc t, s

tng chi ph v hiu ha ca Trung Quc gn y c th gii thch nguyn nhn t chi v

hiu ha v s gia tngt l lm pht ca nc ny.

5.Kt lun:

Kt qu ca chng ti khng nh rng s tch ly ngy cng nhiu ca d tr

ngoi hi trong nhng nm gn y c lin quan ti s v hiu ha ngy cng mnh m

thng qua cc nc ang pht trin Chu v Chu M Latinh. c bit chng ti ch

ra rng c mt s gia tng ng k ca h s v hiu ha trong nhng nm gn y. V vy

cc chnh sch tch ly d tr ngoi hi v v hiu ha tc ng ca lm pht tim n b

tr cho nhau trong nhng nm gn y.

Quan st thy cc h s trn bin dng thu d tr ngoi hi rng v trn gii h

tng quan lun nghch bin vi nhau tt c cc nc, iu ng rng nhng dng thu

b v hiu ho bi s ct gim ti sn ni a ca NHTW v t v hiu ha gia tng

(ngha l s thay i trong vic nm gi ti sn ni a ngy cng gim nhiu hn) sau ngy

bt u hnh vi v hiu ha.


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Trn danh ngha, vic ngn ngas nh gi cao t gi hi oi danh ngha thn

qua s can thip b v hiu ha c kh nng l khng c hiu qu khi dng vn l lin t

v ln.Pht hinca chng tivnhng thay ing k trong mc v hiu ho c

nhiu th trngmi niph hpvicu trc l thuyt b ba bt kh thi mi, trong th

trng mi ni tham gia tch ly d tr ngoi hi ng thi tm cch duy tr mt mc t

ch v tin t. iu tray hnv s thay i bn cht vmc linh hott gi, h

nhp ti chnh, v quyn t chtin tgia ccth trng mi ni l dnh cho nghin cu

thm.

Ph lc

Bng1: LIU RNG S V HIU HA C TNG LN QUA CC THI K

Bng A: Cc nc Chu c chn


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Bng B: Cc nc Chu c chn


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Bng C: Cc nc Chu M-latin c chn

Lu : Biu bo co h s c tnh t hi quy s thay i mc tn dng ni

trong NHTW trn s thay i trong d tr ngoi hi (c nh ngha nh l nhng thay

i trong 4 qu c lin h ti tin d tr cui 4 qu)(RM). ! ln (GNP) l phn trm tha

i trong 4 qu ca GDP danh ngha, DumBreak l c nh ngha l gi tr ng nh

cho tt c cc thi k bt u t ngy bt u hnh vi v hiu ha (break date) c ch

nh ca mi nc, v DumCrisis l Trong hi quy iu chnh,kim sot ri rc hnh vi v

hiu ho nhng dng ra d tr ngoi hi ng k trong thi k gn y nht ca mt nc

Chng ti bo co c hai sai s chun Huber-White (trong ngoc n) v Newey-Wes

(trong ngoc vung), Cc sai s chun Newey-West iu chnh tng quan ni tip ln n8 qu. F-statistic cho cc kim tra gi thuyt rng. ngha mc 1%, 5%, 10% c ch

nh tng ng bi ***, ** v *Lin tc khng c bo co.

Bng2: LIU S V HIU HA C PH THUC VO LM PHT KHNG


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Lu : Biu bo co h s c tnh t hi quy s thayi mc tn dng ni

trongNHTW trn s thay i trong d tr ngoi hi (c nh ngha nh l nhng thay

i trong 4 qu c lin h ti tin d tr cui 4 qu (RM). ln (INFL) lphn trm thay

trong 4 qu ca CPI, In (RGNP) l s thay i trong 4 qu ca GDP thc. DumBreak

nh ngha l gi tr ng nht cho tt c cc thi k bt u t ngy bt u hnh vi v hi

ha (break date) c ch nh ca mi nc. Lin tc(constant) khng c bo coChng ti bo co c hai sai s chun Huber-White (trong ngoc n) v Newey-Wes

(trong ngoc vung) . Cc sai s chun Newey-West iu chnh tng quan ni tip ln

8 qu, c th gy ra lo ngiv chng ta s dng cc quan st chng cho v s thay i c

4 qu. ngha mc 1%, 5%, 0% c ch nh tng ng bi ***, ** v *


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BNG 3: DNG TIN VO CA CN CN THANH TON I VI TH

TRNG MI NI (TRUNG BNH HNG NM, N V: T USD)

Lu : khng phi Ngun vn rng u t trc tip nc ngoi bao gm danh m

u t v cc dng vn khc trongti khon ti chnh. Nhng nc Chu khc bao gm

Hong Kong, Indonesia, Malaysia, Philippines, Singapore, v Thi Lan. Nhng nc M

Latinh khc bao gm Chile, Colombia, Peru, v Venezuela. Trung u bao gm Cng hSc, Hungary, v Ba Lan. Trung ng bao gm Kuwait, Libya, Oman, Qatar, v -rp X

t .. Cc trng cho thy gi tr t hn $ 500 triu.

Ngun: IMF Cn cn Thanh ton thng k.


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BNG 4:LIU RNG S V HIU HA C PH THUC VO THNH PHN

CA CN CN THANH TON



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Lu : Bng bo co h shi quytn dngquc ni rng ngn hng trung ng qu

4-tch ly thng d ti khon vng lai (CA), dng vn u t trc tip nc ngoi rn

(NFDI), v dng vn u t khng trc tip nc ngoi rng (non- NFDI) c biu th

bng tinta phng,tt c hp li nh kho tin t d tr (RM). ln (GNP) lphn trmthay i 4 qu trong GDP danh ngha, v DumBreak c nh ngha l gi tr ng nh

cho tt c cc thi k bt u t ngy bt u hnh vi v hiu ha (break date) c ch

nh ca mi nc. Chng ti bo co c hai sai s chun Huber-White (trong ngoc n

v Newey-West (trong ngoc vung). F-statistic cho cc kim tra gi thuyt rng, kt qu


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khng c bo co (gi tr tuyt i) h s cadng vn FDIln hnthng d ti kho

vng lai hoc cc dng vn non- FDI, nh c ch rabi ">". Hng skhng c b

co. ngha mc 1%, 5%, 10% c biu thbi ***, ** v *, tng ng.Hnh 1a: M hnh ba nhn t


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Hnh 1b: M hnhba nhn t khng n nh

Lu : Argentina, Hn Quc, v M-hi-c (v cc nc khc) tri nghim

khng hong ti chnh trong nhng nm 1990 v vy htr nn hi nhp hnvi cc

th trngti chnh ton cu v cng qui tu v cc m hnh chnh sch gmt gi hi

oilinh hot hn, tch ly d tr, v v hiu ha tronghu quca cc cuc khng

hongtng ng.


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Hnh 2. D tr ngoi hi rng v s thay i tn dng ni a rng ca NHTW

(nhng thay i trong 4 qu c lin h ti tin d tr cui 4 qu, tnh theo phn

trm)

Bng A. Chncc nc Chu

Trung Quc

Hn Quc


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Thi Lan

Ghi ch: gi tr dngtng ng vi dng thu dtr ngoi hi hoc tng tn

dng ni a.

Bng B: Cc nc chu khc

Malaysia


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Singapore

n

Ghi ch: gi tr dngtng ng vi dng thu dtrngoi hi hoc tng tn

dng ni a.


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Bng C: Chn cc nc M Latinh

Argentina

Brazil


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Mexico

Ghi ch: gi tr dngtng ng vi dng thu dtrngoi hi hoc tng tn

dng ni a.

Hnh 3. H s v hiu ho t chy hi quy 40 qu

Bng A: Chn cc nc chu

Trung Quc

Hn Quc


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Thi Lan


Malaysia

Singapore


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n

Bng C: Chncc nc M Latinh

Argentina


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Brazil

Mexico

Ghi ch:Biu bo co h s c tnh t hi quy s thay i mc tn dng

ni a trong NHTW trn s thay i trong d tr ngoi hi (c nh ngha nh l

nhng thay i trong 4 qu c lin h ti tin d tr cui 4 qu) v tng trng

GDP danh ngha (vi mt trong nhng sai s chun). H s quan st tng ng vi

mu ca qu th 40 trong k quan st.

Hnh 4.Phng sai ca h s v hiu ho


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Ghi ch:Cc tnh ton da trn cc h s c tnh t hi quy ca tn dng

ni a rng trong NHTW trn bin i lng d tr ngoi hi v tng trng GDP

danh ngha i vi cc nc Chu (Trung Quc, Indonesia, Hn Quc,

Malaysia, Pakistan, Philippines, Singapore, Thi Lan) v M Latinh (Argentina,

Brazil, Chile, Colombia, Mexico, Peru). H s quan st ly t mu ca qu th 40

trong k quan st.

Hnh 5a.Nhng t l li sut trong 1 nm ca NHTW Trung Quc v Kho Bc M

(%)

Hnh 5b. Chch lch li sut trong 1 nm ca tri phiu 5 quc gia Chu so

vi tri phiu Kho Bc M (%)


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Ph lc s liu. H sv hiu hathi quythay th

Bng A: Chn cc nc chu

Trung Quc

Hn Quc


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Thi Lan


Malaysia

Singapore


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n

Bng C. Chncc nc M Latinh

Argentina

Brazil


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Mexico

Lu : H s c tnh t hi quy ca s thay i ti sn tn dng ni a

trong NHTW trn sthay itrong d trngoi hi rng (thu nh li bi tin d

tr c tr) v tng trng GDP danh ngha. Tng ng vi s dng hi quy

(khng chng cho) quan st hng qu s thay i ph thuc tr vibin ph

thuc v hng qu nh l cc bingii thch. Du chmtng ng vis dng hi

quy (khng chng cho) quan st hng nmca 4 qu (t qu 2 minm). H s

quan st ly t mu ca qu th 40 hoc nm th 10ca k quan st.

Ph lc m hnh

Ph lc ny phn tch cc chi phca s v hiu habng cch xy dngmt m

hnh cacc yu t quyt nhkh nng thay thgia tri phiu trong nc v nc

ngoi theo c trngbi s gia tngcn bin trong s khc bit gia cc t l li

sut lin quan vigim ttri phiunc ngoi trong danh mc u tt nhn.

Chng ti xem xt mt t nc m cc cng typhiimtvis ngnchn ti

chnh v s khng chc chn vlm pht gi c trong nc, khu hao tint, v t


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lthutrn t khai. Sn lngthcs cho ngi dn trong ncnm gi tri phiu

trong nc v nc ngoi (B, B *) l

i, i *biu thvli sut danh ngha, l t llm pht trong nc, e l t lmt

gi cang ni t, v t * l khon thutr linm gi cc ti snnc ngoi,phn

nh chi phthchinca kim ch ti chnh; , v t* l ttc cc ngu nhin. T l

thu t*phn nh mc de-facto cakim ch ti chnh, trong c th bao gm

cc quy nhhn chhocx pht nginm gi cc ti sn nc ngoi.

Chng ti gi nh cc i l s ri ro, vi cc u i khng ng c ngha l:

Thc s khc bit gianng sutdkin c thc gii quyt nh

Do , s v hiucan thip lm gimphnti sn nc ngoi trong khu vc t nhn

danh mc u t, B* / W, lm tngs khc bit giali sutdkin, E(r) - E(r*) ,

Bi mc lo ngi ri ro lnphng sai cas khc bit giali sut thc

Cc bin, , e, t * l ngu nhin. C th, chng ti k hiu l ak, e cc

lin tc v sc lin quan vi cc bin k, k = , e, t * nh

Chng ti tip tc gi nh (i) d kin lm pht trong nc v t l khu hao l

tng quan, (ii)nhng c sc c khng c ngha lv c thc tng quan v

(iii) c hai loi (i = l, h), vikhc bit gia chi phnm gi cc ti snnc ngoi

mckh nng khc nhau catm l ngi ri ro, vi cc "a thch" i= l c mt t*

thp, ng


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Cn ch rng r- r * = i - i* + t* - e, sau

Do

Chng ti cho rngtng quan giakhu hao v p thu ti chnh l tch cc, tc l

i.e. t* e >0 (xem Giovannini v De Melo, nm 1993).

Biu thc (A6) ng rngmt mi tng quangia t git l khu hao v thu

kim ch ti chnh cao hnlm gim chi phv hiu ha. Hiu ng ny lln hn

mc kim ch ti chnh (tc l, cao hn l c, v ln hn lnhng chia s ca cc

i lphiimtvicao hn c). Trong trng hphn ch khi s tng quan v

phng php tipcn 1, n sau t* k = e, k l mt hng s, v

Do , kh nng v hiu ha ph thuc vokh nng thay thkhng hon hocati sn trongmt th gii mchi ph cho vic mua bn ti snthay ihthng qua

tc nhn (do cc hiu ng quy m c th) v thng qua cc lp ti sn (do thay

ic tnhthanh khon vri ro). Chnh schbi dngln hnp ch ti chnh

trong nccnggim chi phv hiu ha. iu ny cho thyrng cc ncc kh

nng vsn sng tham gia trong s v hiu ha ti chnhln hns c th duy tr

cu hnh chnh sch tch tr d tr v v hiu ha trongmt thi gian di.


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TI LIUTHAM KHO

Aizenman, Joshua and Reuven Glick (2008). "Pegged Exchange Rate Regimes, A Trap?"

Journal of Money, Credit, and Banking 40: 817-835.

Aizenman, Joshua and Jae-woo Lee (2008). Financial versus Monetary MercantilismLong-

run View of Large International Reserves Hoarding, World Economy 3: 593-611.

Aizenman Joshua and Nancy Marion (2004). International Reserves Holdings with Sovereign

Risk and Costly Tax Collection,Economic Journal 114: 569-591.

(2003). The High Demand for International Reserves in the Far East:

What's Going On?Journal of the Japanese and International Economies 17: 370-400.

Cavoli, Tony and Ramkishen Rajan (2005). The Capital Inflows Problem in Selected Asian

Economies in the 1990s Revisited: The Role Of Monetary Sterilization, National

University Of Singapore, Singapore Centre for Applied and Policy Economics,

December, 2005.

Edwards, Sebastian and Eduardo Levy-Yeyati (2005). Flexible Exchange Rates as Shock

Absorbers,European Economic Review 49: 2079-2105.

Eichengreen, Barry (1999). Kicking the Habit: Moving from Pegged Rates to Greater Exchange

Rate Flexibility,Economic Journal 109: 1-14.

Fischer, Stanley (2001). Exchange Rate Regimes: Isthe Bipolar View Correct?The Journal ofEconomic Perspectives 15: 3-24.

Frankel, Jeffrey (1999). No Single Currency Regime is Right for all Countries or at all Times,

NBER Working Paper 7338, September.

Giovannini, Alberto and Martha De-Melo (1993). Government Revenue from Financial

Repression,American Economic Review 83: 953-963.


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Glick, Reuven and Michael M. Hutchison (2000). Foreign Reserve and Money Dynamics

with Asset Portfolio Adjustment: International Evidence,Journal of International

Financial Markets, Institutions and Money 10: 229247.

Levy-Yevati., Eduardo (2000). Liquidity Insurance in a Financially Dollarized

Economy, NBER Working Paper 12345.

Mohanty, M.S. and Philip Turner (2006). Foreign Exchange Reserve Accumulation

in Emerging Markets: What are the Domestic Implications? BIS Quarterly

Review, September.

Obstfeld, Maury and Kenneth Rogoff (1995). The Mirage of Fixed Exchange Rates,

Journal of Economic Perspectives, 9: 73-96.

Obstfeld, Maury, Jay Shambaugh and Alan M. Taylor (2005). The Trilemma in History:

Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility,

Review of Economics and Statistics 3: 423-438.

Ouyang, Alice, Ramkishen Rajan, and Thomas Willett (2007). China as a Reserve Sink:

The Evidence from Offset and Sterilization Coefficients, Hong Kong Institute for

Monetary Research Working Paper 2007-10, October.

World Economic Outlook (2007). Managing Large Capital Inflows, Chapter 3,International

Monetary Fund, October.


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