TI: NG DNG M HNH NG TI: NG DNG M HNH NG CONG PHILLIPS MI KT HP VO VIC XC NH CC NHN T QUYT NH

LM PHT VIT NAM

Tng quan cc nghin cu trc y

Mishkin (2007)

LmLm Lmng

Lmphtphnng

chmvi c

sccung

phtkhngc tnhdaidng

Lmphtphnngnhiuvikvng

ngcongphilipbngphng

L cc nhn t tc ng n lm pht

n Theo nghin cu ca Deepak Mohanty (2010) v n ,

lm pht do iu kin cung cu v m rng tin t nhhng n iu kin lm pht trong di hn; c hai nhnt thuc v cu trc v c tnh c th ng mt vai try ngha trong vic quyt nh lm pht.y ngha trong vic quyt nh lm pht.

Nghin cu ca Panchman Das( 2009) s dng phngphp ng lin kt v t hi qui vector trong thi k hnba thp k th hin mi quan h gia lm pht v ccchnh sch ca NHTW.

Ramachandran v Kamaih ( 1992) cho thy c mi quanh nhn qu mt chiu chy t tin t n gi c.

Brazil Bi nghin cu ca Waldyr Dutra Areosa v Marcelo

Medeiros (2007) trnh by hai c tnh cho nn kinh tBrazil, t nn kinh t ng n nn kinh t m nh.

S tc ng ivi cc thng sca ng congPhilip

Tc ng cacc nhn t lnlm pht

Ai Cp Theo Ali, Heba (2011) nghin cu p dng mt m

hnh vector t hi quy (VAR) cc nhn t tc ng nlm pht ca Ai Cp l hon ton khc vi nhng quan sttrn ton cu.trn ton cu.

Macedonia Bi nghin cu ca Maral Shamloo (2011) a ra ba

phng php d bo lm pht.

M hnh hiuM hnh v

M hnh nhnt nng ng

(DFM)

M hnh hiuchnh sai sVector Error Correction

Model( VECM)

M hnh vng congPhilips mi

(NKPC)

Malaysia Nghin cu ca Roberto Fernandes Guimaraes- Filho v

Daniel Riera Crichton(2007) cho rng cung tin m rngM2, t gi hi oi danh ngha hiu qu, tng trng chi ph lao ng n v, lch t s tng gi v cung tinph lao ng n v, lch t s tng gi v cung tinvt qu mc c nh hng ng k n lm pht

Vit Nam Bi nghin cu ca Nguyn Th Thu Hng, Nguyn c

Thnh (2011) cho rng lm pht ca Vit Nam l s kthp ca cc nhn t t chi ph y v cu ko.

Cc nghin cu thc nghim ccquc gia khcBi nghin cu ca M.Ege Yazgan v Hakan Yilmazkuday(2005) cng xy dng mt m hnh ng cong Phillips mi cng vi c lng GMM xem xt nhng nhn tthc y, quyt nh lm pht ca Th Nh K. thc y, quyt nh lm pht ca Th Nh K. nghin cu ca Suzuki (2006) iu tra s khc bit v nglc lm pht gia M v Nht Bn.

Cc nghin cu thc nghim ccquc gia khc S dng phng php tip cn ca NKPC kt hp bao

gm lm pht trong tng lai d kin , lm pht tr v lhng sn lng, Crichton (2006) phn tch lm pht Malaysia trong thi gian 1991-2006 cho rng lm pht k

Malaysia trong thi gian 1991-2006 cho rng lm pht kvng v thnh phn xu hng v qu kh l cc nhn ttc ng n lm pht.

Nghin cu ca Dua v Gaur(2009) c tnh NPKPC cho8 quc gia chu cho rng l hng sn lng l yu thng u nh hng ti lm pht.

Cu hi cho Vit Nam Liu m hnh ng cong Phillips mi c ph hp vi

Vit Nam? Yu t k vng lm pht c ng vai tr quan trng nh

hng n lm pht Vit Nam ?hng n lm pht Vit Nam ? Xem xt cc yu t khc nh hng nh th no n lm

pht?

Phng php nghin cu C th ni m hnh ng cong Phillips mi, hay ng

cong Phillips kt hp vi nhng u im trong vic thchin, nhng nhn nh mi c tnh ng n v k vnglm pht tr thnh mt m hnh ang c s dng khlm pht tr thnh mt m hnh ang c s dng khrng ri cc quc gia trn th gi.i

D liu

S dng nm bin chnh:L hng sn lngS pht trin lng tin t m rng M2Gi lng thc ton cuGi du ton cuGi vng trong nc

Date: 03/26/12 Time:

02:22

Sample: 2000Q1 2011Q2

INF M2 OIL OUTPUT_GAP GOLD FOOD

Mean 7.296779 290247271 53.97895 1.810562 12982677 121.4397

Median 7.161428 161105716 52.73233 -0.224399 8877342. 110.6716

Bng 1 : M t d liu

Maximum 27.73449 1328097705 114.6021 219.8415 37713305 179.4155

Minimum -2.364773 4766093. 20.08230 -89.65121 4442893. 91.12668

Std. Dev. 6.797005 316045119 27.02310 35.98144 9167609. 27.32684

Skewness 1.131614 1.721290 0.614787 4.730755 1.207373 0.794540

Kurtosis 4.378864 5.460358 2.362267 32.31013 3.509934 2.286646

Jarque-Bera 13.46164 34.31739 3.677235 1778.632 11.67448 5.815262

Probability 0.001194 0.000000 0.159037 0.000000 0.002917 0.054605

Sum 335.6518 13351374478 2483.032 81.47530 597203130 5586.224

Sum Sq. Dev. 2078.967 4.49480 32861.15 56965.21 3.7816795 33604.02

Observations 46 46 46 46 46 46

L hng sn lng Sn lng thc t l GDP thc trong khi sn lng tim

nng c i din bi cc xu hng ca GDP thc m sc bt ngun t Hodrick - Prescott Filter (1997) ( HP ) vi gi tr lamda chun ca 1600. S dng phng phpvi gi tr lamda chun ca 1600. S dng phng phpny ta s c lng c GDP tim nng.

Output gap = Real GDP Potential GDP (1)

Cung tin M2

Source: World Development Indicators

Hnh 2: Ch s gi du danh ngha giai on 2000:1 2010:9

Ngun: MJ Ervin & Associates

Hnh 3: Ch s gi lng thc trong giai on1990 - 2011

Ngun: World Bank Manufatures Unit Value Index

Hnh 4: Gi vng qua cc nm giai on2000 2011( ng)

Gi vng qua cc nm

25000000

30000000

35000000

40000000

0

5000000

10000000

15000000

20000000

25000000

1998 2000 2002 2004 2006 2008 2010 2012

GOLD

Tng quan tnh hnh lm pht Vit Nam

T l lm pht Vit Nam 1996:1-2012:3Ngun: www.tradingeconomics.com

Thit lp gi Hm tn tht

Cng thc thit lp gi

NKPC

Chi ph cn bin v l hng snlng

NKPC kt hp

M hnh NKPC cho Vit Nam pit = bpit-1 + fpit+1 + GAP + 1-logM2 + 2logOIL + 3logFOOD + 4logGOLD + 1D1 + 2D2 + 3D3 + t(13)

t l qu t t l qu t pit l t l lm pht hng qu pit-1 l lm pht qu trc pit+1 lm pht k vng qu ti GAP: l hng sn lng logM2: l log ca cung tin m rng

M hnh NKPC cho Vit Nam logOIL: l log ca gi du ton cu logFOOD: log ca gi lng thc ton cu logGOLD: log ca gi vng trong nc l sai s t l sai s b, f, t, 1-, 2, 3, 4 biu th h s ca lm pht trong qu

kh, k vng lm pht trong nm ti, l hng sn lng, cung tin m rng, gi du th danh ngha, v ch s githc phm danh ngha, gi vng trong nc tng ng

1, 2, 3 biu th cc h s ca ba bin s gi D1, D2, D3 tng ng

M hnh NKPC cho Vit Nam

p dng phng php GeneralizedMethod of Moments ( GMM ) ctnh NKPC kt hptnh NKPC kt hp

Kt qu c lng L hng sn lng: s dng d liu hng nm ca GDP

thc t, sau khi hiu chnh yu t ma v cho GDP, ta sdng b lc HP Filter c tnh GDP tim nng.

Output gap = Actual GDP Potential GDPOutput gap = Actual GDP Potential GDP

L hng sn lngHnh 6: c lng l hng sn lng bng HP Filter

10.0

10.5

11.0

GR_SA_HP

7.0

7.5

8.0

8.5

9.0

9.5

10.0

00 01 02 03 04 05 06 07 08 09 10

Hnh 7 : Output gap qua trong giai on 2000:Q1-2011Q2

200

250

GAP

-100

-50

0

50

100

150

00 01 02 03 04 05 06 07 08 09 10 11

Kim nh tnh dngNull Hypothesis: Unit root (individual unit root process)

Series: QUY, INF, INFDUKIEN, INFTRE, OUTPUT_GAP, LOGM2,

LOGFOOD, LOGOIL, LOGGOLD, D1, D2, D3

Date: 04/09/12 Time: 00:36

Sample: 2000Q1 2011Q2

Exogenous variables: None

User specified maximum lagsUser specified maximum lags

Automatic selection of lags based on AIC: 2 to 4

Total number of observations: 334

Cross-sections included: 8 (4 dropped)

Method Statistic Prob.**

ADF - Fisher Chi-square 12.1168 0.7359

ADF - Choi Z-stat 3.46045 0.9997

Kt qu th nghim ADF vi phnbc 1Null Hypothesis: Unit root (individual unit root process)

Series: QUY, INF, INFDUKIEN, INFTRE, LOGM2,

LOGFOOD, LOGOIL, LOGGOLD, D1, D2, D3

Date: 04/09/12 Time: 00:37

Sample: 2000Q1 2011Q2

Exogenous variables: Individual effects, individual linear trends

User specified maximum lags

Automatic selection of lags based on AIC: 1 to 4Automatic selection of lags based on AIC: 1 to 4

Total number of observations: 332

Cross-sections included: 8 (4 dropped)

Method Statistic Prob.**

ADF - Fisher Chi-square 115.763 0.0000

ADF - Choi Z-stat -7.91214 0.0000

Kt qu th nghim ADF vi phnbc 1

Intermediate ADF test results D(UNTITLED)

Series Prob. Lag Max Lag Obs

D(INF) 0.0024 1 4 43

D(INFDUKIEN) 0.0012 1 4 43

D(INFTRE) 0.0001 1 4 43

D(LOGM2) 0.0000 4 4 40

D(LOGFOOD) 0.0036 3 4 41

D(LOGOIL) 0.0011 3 4 41

D(LOGGOLD) 0.0000 3 4 41

D(D1) Dropped from Test

D(D2) Dropped from Test

D(D3) Dropped from Test

Kim nh tnh dngIntermediate ADF test results UNTITLED

Series Prob. Lag Max Lag Obs

INF 0.6770 2 4 43

INFDUKIEN 0.3892 2 4 43

INFTRE 0.4396 2 4 43

OUTPUT_GAP 0.0213 3 4 41

LOGM2 0.9998 4 4 41

LOGFOOD 0.9694 4 4 41

LOGOIL 0.9783 4 4 41

LOGGOLD 1.0000 4 4 41

D1 Dropped from Test

D2 Dropped from Test

D3 Dropped from Test

Kim nh GMM cho cc nhn tVariable Coefficient Std. Error t-Statistic Prob.

C 0.360563 0.098987 -3.642540 0.0010

INFDUKIEN 0.667135 0.005024 132.7854 0.0000

INFTRE 0.387391 0.005133 75.47137 0.0000

OUTPUT_GAP 0.215671 0.000304 -51.57040 0.0560

D(LOGM2) 0.229097 0.162723 -1.407901 0.0894D(LOGM2) 0.229097 0.162723 -1.407901 0.0894

D(LOGOIL) 0.348907 1.139221 -2.360304 0.0250

D(LOGFOOD) 0.209872 2.465556 -6.529449 0.0710

D(LOGGOLD) 0.025900 1.805587 -1.603855 0.0992

D1 0.484739 0.103831 4.668552 0.0001

D2 0.066168 0.080733 0.819583 0.0189

D3 0.303564 0.129237 2.348890 0.0256

_cons 0.380241 0.307264 1.738924 0.0216

R-squared 0.674521 Mean dependent var 8.386369

Adjusted R-squared 0.666028 S.D. dependent var 6.381237

S.E. of regression 1.176162 Sum squared resid 41.50070

Durbin-Watson stat 1.642924 J-statistic 0.454961

Bng 6: Bin th ca R - bnh phng khi loi bmi bin c lp

Bin loi b R2

CPI tr 56,47%

CPI d kin 48,69%

GAP 65,85%GAPt 65,85%

logM2 64,31%

logOILt 60,12%

logGOLDt 63,15%

logFOODt 62,37%

M rng

u tin cho mc tiu lm pht hn cc mc tiu khc hay khng?

19.920

25

Hnh 8: Lm pht Vit Nam giai on 2005 - 2010Ngun: ADB & GSO

8.8

6.7

12.6

6.9

11.75

0

5

10

15

2005 2006 2007 2008 2009 2010

lm pht

M rng Hnh 9: Tng trng kinh t Vit Nam giai on 1990 - 2010

Ngun: ADB & GSO

Vn ti tr thm ht ti kha

Hnh 10: Bi chi ngn sch giai on 2005 - 2010Ngun: Tnh ton t s liu ca B Ti chnh

v Bo co ca y ban Ti chnh v Ngn sch ca Quc hi

S c lp ca NHTW

24.5

30.4

30.9

35.9

29.9

25

28.67

24.5

20

25

30

35

40

tng trng cung tin M2 (%)17.6

0

5

10

15

2002 2003 2004 2005 2006 2007 2008 2009 2010

tng trng cung tin M2 (%)

Hnh 11: Tng trng cung tin M2 giai on 2001 - 2010Ngun: Tnh ton t d liu World Bank

u t cngLm pht v u t cng

400000

500000

600000

700000

10

15

20

25

u t

0

100000

200000

300000

1998 2000 2002 2004 2006 2008 2010-5

0

5

10 u tcngLm pht

Hnh 12: Tnh hnh u t cng t 2000 2009Ngun: Tng cc Thng k Vit Nam GSO

u t cng

Hnh 13: H s ICOR Vit Nam giai on 1995 2009Ngun: Tnh ton t s liu ca Tng cc Thng k Vit Nam

u t cng

Hnh 14: N cng thi k 2006 2010 (%GDP)Ngun: Ngn hng th gii (Kwakwa, 2010)

Kt lun M hnh s dng : NKPC s dng phng php GMM h

tr. Cc yu t tc ng n lm pht ca Vit Nam: lm pht

tr , lm pht k vng , l hng sn lng, cung tin mtr , lm pht k vng , l hng sn lng, cung tin mrng, gi lng thc ton cu, gi du ton cu v givng