Quy Luat Taylor Va Kha Nang Du Doan Ty Gia Hoi Doai o Cac Nen Kinh Te Moi Noi 95

8/10/2019 Quy Luat Taylor Va Kha Nang Du Doan Ty Gia Hoi Doai o Cac Nen Kinh Te Moi Noi 95

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MC LC

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

1. Gii thiu: .......................................................................................................................... 1

1.1 t vn nghin cu: ................................................................................................ 1

1.2 L do nghin cu: ........................................................................................................ 1

1.3 Mc tiu nghin cu: ................................................................................................... 2

1.3 Cu hi nghin cu: .................................................................................................... 2

1.4 Vn nghin cu: ...................................................................................................... 2

1.5 Bcc ca bi nghin cu: ......................................................................................... 3

2. Bng chng thc nghim: ................................................................................................ 3

2.1 Cc bi nghin cu trc y vkhnng don tgi hi oi:......................... 3

2.2 Cc bi nghin cu trc y vchnh sch tin tcc nn kinh tmi ni: ......... 7

3 C sl thuyt: ............................................................................................................... 11

3.1 Kin thc nn tng: .................................................................................................... 11

3.1.1 Quy lut Taylor: .................................................................................................. 11

3.1.2 L thuyt ngang gi li sut khng phng nga (UIP):..................................... 12

3.2 Khi qut cc phng php hi quy v kim nh : .................................................. 13

3.2.1 Khi qut vdliu bng v li chca n: ..................................................... 13

3.2.2 M hnh ECM ( error correction methodology):................................................ 14

3.2.3 M hnh thnh tsai s(one- error component panel data model): .................. 15

3.2.4 Dbo ngoi mu (out of sample): .................................................................... 15

3.2.5 Kim nh bootstrap: .......................................................................................... 16

3.2.6 Phng php thng k t s U ca Theil (TU):................................................. 17

3.2.7 M hnh bc i ngu nhin (random walk): .................................................... 18

4. Phng php nghin cu : ................................................................................................... 19

4.1 Gii thiu m hnh Taylor vxc nh tgi hi oi: ............................................. 19

4.1.1 M hnh gi trhin ti Taylor: .......................................................................... 20

4.2.2 M hnh skhc bit hn chca Taylor:......................................................... 23

4.2Phng php dbo: .................................................................................................... 24

5. Dliu : ............................................................................................................................... 29

6. Kt qunghin cu: ........................................................................................................... 34


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6.1 Kim nh tnh dng v ng lin kt: ....................................................................... 34

6.2 Dbo tgi hi oi: .............................................................................................. 36

7. Kt lun: ............................................................................................................................. 48

7.1 Kt lun: ..................................................................................................................... 48

7.2 Hn chv hng mrng ca ti: ..................................................................... 49


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DANH MC CH VIT TTNHTW: NGN HNG TRUNG NG

QG: QUC GIA

OECD: TCHC HP TC KINH THP TC V PHT TRIN (Organisation

for Economic Co-operation and Development).

IT: LM PHT MC TIU (inflation target).

BOI:NGN HNG CA ISRAEL (Bank of Israel)

TR: QUY LUT TAYLOR (Taylor rule).

FED: CC DTRLIN BANG M(Federal Reserve System).

CSTT: CHNH SCH TIN T.

ECM: M HNH HIU CHNH SAI S(error correction model).

PVT: M HNH GI TRHIN TI TAYLOR (present-value Taylor model).

PVT-hom: M HNH GI TRHIN TI TAYLOR THUN NHT (homogeneous

present-value Taylor model).

PVT- het: M HNH GI TRHIN TI TAYLOR THUN NHT (heterogeneous

present-value Taylor model).

FDT: M HNH SKHC BIT HU HN (finite-difference Taylor)FDT-hom: M HNH SKHC BIT HU HN THUN NHT (homogeneous

finite-difference Taylor).

FDT-het: M HNH S KHC BIT HU HN KHNG THUN NHT

(heterogeneous finite-difference Taylor).

TU: TLU CA THEIL.

LLC: KIM NH CA LEVIN, LIN & CHU (2002)

IPS: KIM NH CA PESARAN V SHIN (2003)

HAD: KIM NH CA HADRI (2002)


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DANH MC BNG

Bng 1 Trnh by chi tit vmi quc gia ................................................................ 30

Bng 2 Trnh by cc bin v dliu thu thp ........................................................ 31

Bng 3 Kim nh tnh dng bng ........................................................................... 35

Bng 4 Kim nh ng lin kt bng caKao (1999) ......................................... 36

Bng 5-a KIM NH DIEBOLD AND MARIANO (1995) CHO HI QUY D

LIU BNG ................................................................................................................ 39

Bng 5-B: KIM NH DIEBOLD AND MARIANO(1995) CHO HI QUY D

LIU TNG QUC GIA ........................................................................................... 42

Bng 6-A: KIM NH CHSTHEILS U CHO HI QUY TRN DLIU

BNG ........................................................................................................................... 45

Bng 6-B: KIM NH CHSTHEILS U CHO HI QUY DLIU TNG

QUC GIA .................................................................................................................. 46

BNG 7-A: TNH CHSHIT RATE CHO M HNH HI QUY DLIU

BNG ........................................................................................................................... 47

BNG 7-B: TNH CHSHIT RATE CHO M HNH HI QUY DLIU

TNG QUC GIA ..................................................................................................... 48


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TM TTBi nghin cu kim nh mi quan h gia vic xc nh t gi hi oi v

chnh sch tin tni sinh c biu din theo quy lut Taylor bng vic tp trung vo

mt nhm 8 nn kinh tmi ni trong c 7 nc thng qua tgi hi oi th

ni tdo v lm pht mc tiu bt u vo gia nm 1990. Bi v kho ng thi gian b

gii hn - mt trngi phbin trong vic nghin cu cc nn kinh tmi ni, do

tisdng hi quy dliu bng thc hin nhng c tnh hiu quhn. Theo

sau cc bi nghin cu gn y, ti ny sdng mt tp hp chc chn ca cc s

liu thng k ngoi mu, kt hp phn phi bootstrapped cho cc thng k ca

Diebold-Mariano v t lU ca Theil. Bng cch nh gi cc thng skhc nhau

cho m hnh tgi hi oi theo quy tc Taylor da trn tin hnh ngoi mu, kt qu

thu c cho thy rng thng sgi trhin ti hng ti tng ai thhin tt kh

nng don tgi hi oi.

1.Gii thiu:

1.1t vn nghin cu:

Tgi hi oi l mt yu trt quan trng, n khng ch tc ng n xut

nhp khu, cn cn thng mi, nquc gia, thu ht u t trc tip, gin tip, m

cn nh hng n nim tin ca dn chng. Hin nay, tgi hi oi bin ng rt

thng xuyn v tht thng, bi n chu nh hng ca nhiu yu tkhc nhau.

Do , a ra nhng chnh sch can thip votgi hi oi l mt trong nhng

quyt nh kh khn ca NHTW. Trn thc t, cc nh kinh thc a ra nhiu

m hnh cng nh cng ccc nh iu hnh chnh sch tnh ton, dbo tgi

hi oi v a ra nhng quyt sch ph hp vi tnh hnh ca tng quc gia. Tuynhin, liu c tht sc khnng don tgi hi oi hay khng v trong srt

nhiu m hnh nh vy, th m hnh don tgi hi oi no tht sc hiu qu

cc nn kinh tmi ni ?

1.2L do nghin cu:

Tm quan trng ca cc nn kinh tmi ni ang ngy cng tng cho nn kinh

tthgii. Tuy nhin,cc nc ny li khng nhn c squan tm to ln nh

cc nn kinh tcng nghip ha. V bi nghin cu nygp phn vo vic nghin


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cu cc nn kinh tmi ni vcc vn kh cp thit trong c chxc nh t

gi hi oi gip a ra nhng chnh sch iu hnh hp l. y chnh l nguyn

nhn thi thc thc hin ti ny

1.3 Mc tiu nghin cu:Bi nghin cu ny nhm mc ch nghin cu tmkhnng don tgi

hi oi ca 8 nn kinh tmi ni (Vit Nam, Hn Quc, Thi Lan, Philippines,

Indonesia, Brazil, Colombia, Mexico) - cc nc c kh nhiu s tng ng v

chchnh sch tin t. Bi nghin cu kt hp hai phng php tip cn y ha

hn m c Moura v cc cng ssdng nghin cu vn ny. u tin

l sdng hi quy dliu bng phn tch cc chui dliu thi gian hn chv

nng cao hiu qudbo. Sau nghin cu tmcc m hnh tin tni sinh thc

tbng cch kim tra mt tp hp th cc m hnh tgi hi oi trn c sca

quy lut Taylor (1993). Bi nghin cu nycng nhm mc ch tr li cc ch

trch ca Rogoff v Stavrakeva (2008) vkhnng don ca m hnh tgi hi

oi lin quan n vic hiu sai v sdng blch hng ca thng k ngoi mu.

c bit, xy dng khong tin cy thch hp bootstrapped cho cc sliu thng k

ngoi mu tDiebold v Mariano (1995)v Theil, tsU ca Theil.

1.3 Cu hi nghin cu:

- Khnng don tgi hi oi cc nn kinh tmi ni nh thno?

- Cc m hnh v phng php dbo no tht sc hiu qudon tgi

hi oi cc nn kinh tmi ni ?

- Cch thc m chnh sch tin tc iu hnh th nh hng n vic dbongoi mu nh thno ?

- Vic iu hnh chnh sch tin tti cc nn kinh tmi ni nh hng nh th

no n khnng dbo tgi hi oi ?

1.4 Vn nghin cu:

- kim nh mi quan hgia vic xc nh tgi hi oi v chnh sch tin t

ni sinh c biu din theo quy lut Taylor bng vic tp trung vo mt nhm 8

nn kinh tmi ni trong c.

- Thc hin hi quy dliu bng thc hin nhng c tnh hiu quhndo b

gii hn vmu.


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- S dng mt tp hp chc chn ca cc s liu thng k ngoi mu, kt hp

phn phi bootstrapped cho cc thng k ca Diebold-Mariano v t lU ca

Theil dbo.

1.5

Bcc ca bi nghin cu:Bi nghin cu gm c 8 phn chnh. Phn u tin l phn gii thiu vti.

Phn thhai l bng chng thc nghim, gii thiu cc bi nghin cu trc y v

khnng don tgi hi oi v chnh sch tin tcc nn kinh tmi ni. Phn

tip theo l c sl thuyt hiu c nhng ni dung chnh ca ti v khi nim

vcc m hnh c sdng trong bi nghin cu. Phn th4 l phn phng php

lun ca bi nghin cu gm cc phin bn ca m hnh dbo tgi theo quy lut

Taylor v phng php dbo. Phn th5 l phn dliu v m tcch tnh cc bin

c strong m hnh phn trn. T dn ti phn tip theo l phn kt qusau

khi chy m hnh. Phn cui cngl phn kt lun ca cti, t nu ra nhng

hn chv hng mrng ca ti.

2.Bng chng thc nghim:

2.1 Cc bi nghin cu trc yvkhnng don tgi hi oi:

Vo u nhng nm 1970, cc nn kinh tcng nghip ha ln thng qua ch

tgi hi oi thni v tbhthng Bretton Woods, th cc m hnh vtgi hi

oi trnn phbin. Cc nghin cu thc nghim ca Bilson (1978), Hodrick (1978)

v Putnan v Woodburry (1980) tm thy cc bng chng htrcho cc m hnh t

gi hi oi: hsng kvi cc du hiu dkin, m hnh tt trong mu ph hp

v kt qukhquan trong cc kim tra khnng don.

Bt u nhng nm 1980 vi bi nghin cu hi tho ca Meese v Rogoff

(1983), kt quthc nghim c nhng thay i ng k. Tc gi sdng dliu

vtgi hi oi ca Vng quc Anh, Nht Bn v c so vi M, v a ra kt

lun rng: vi mt dbo t1 n 12 thng, m hnh bc i ngu nhin thhin

km nht so vi cc m hnh tgi hi oi thi im ( v dnh: m hnh gi

linh hot, m hnh gi khng theo kp gi thtrng v m hnh hn hp ca Hooper

v Morton (1982)).


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Mt lot cc nghin cu sau vo nhng nm 1990, nh Mark (1995) s

dng kthut sng to Bootstrapping v dliu tgi hi oi t1973 n 1991 cho

Canada, c, Nht Bn v Thy S so vi ng Dollar M tm thy htrcho vic

dbo cc m hnh tin tti khong thi gian tqu 12 n qu 14 i vi mt squc gia v tuyn bo ngc kt qukhng c khnng dbo. Tuy nhin, kt

quny bchtrch tKilian (1999), ng chng minh kt quca Mark khng

c mnh mthay i mu v cho rng chng phthuc qu nhiu vo qu trnh

to ra dliu ginh. Hn na, cc hc gikhc cng chtrch Mark (1995)

ngm ginh rng tgi hi oi v cc nguyn tc c bn tin tl ng lin kt.

Nh trong bi nghin cu ca Berkowitz v Giorgianni (2001) a ra kt lun ch

trch bi nghin cu ca Mark (2005) : bng vic p t sng lin kt gia tgi

giao ngay v cc yu tc bn ca tin t c ngh ra ttrc v thu c cc gi

trthc nghim quan trng di ginh ny, y l mt sgii thch vbng chng

ca mi quan hthng k gia cc yu tc bn v tgi hi oi sai lch v ngha.

V ng cng so snh dbo ngoi mu cho 4 tgi hi oi so vi ng dollar M

c ly thi quy khong thi gian di vi cc gi trthen cht ny v tm c

bng chng yu vkhnng dbo chyu khong thi gian ngn.

n nhng nm 2000, th cc bi nghin cu c nhng kt qukhng thkt

lun. Sarno v Taylor (2002) tuyn brng "Cc kt quthc nghim c xu hng rt

yu trong ngha rng chng kh c thnhn rng trong cc mu hoc cc quc gia

khc nhau. Bi nghin cu ca Cheung et al. (2005) thnghim dboca cc t

gi ca cc ng da trn USD ca M bao gm ng la Canada, Bng Anh,

Deutschemark, ng yn Nht v ng franc Thy S bng cch sdng mt phm vi

rng ln hn ca cc m hnh hn so vi nhng ngi sdng trong nhng nm 1980

v 1990. V a ra kt lun : M hnh/ c im k thut / tin tkt hp vi

nhau lm vic tt trong mt giai on nhng khng nht thit phi lm vic tt trong

giai on khc. V d, m hnh nng sut lm tt cho tlMark c/ Yn Nht theo

xu hng ca s thay i v mc thng nht (mc d khng phi bi cc tiu

chun MSE), nhng cng mt kt lun khng thp dng vi bt k tgi hi oi

khc. C l l ngha m rt ra tnghin cu ny t nn mng cho nghin cutrong tng lai.


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Vo na sau nhng nm 2000, tht ng ngc nhin khi c mt slng ln cc

nghin cu tuyn b cung cp bng chng v khnng don tgi hi oi

ngoi mu. Trong c bi nghin cu ca Engel, Mark v West (2007), nhn mnh

tm quan trng ca cc quy tc chnh sch tin t, sdng cc m hnh tgi hi oic xc nh bi gi trhin ti c kvng ca cc nguyn tc c bn, khong

cch d liu lu hn v d liu bng to hy vng nhiu hn cho s tn ti ca kh

nng dbo tgi hi oi.

Hu ht cc bi nghin cu ny tp trung vo hai phng php tip cn thay th.

Mt snh nghin cu sdng tp hp dliu bng ln hn tmt tp hp cc quc

gia tng t. Sdng kim nh nghim n vv php tch phn trn dliu bng,cc nghin cu tm thy bng chng vkhnng dbo m hnh tin t, c bit l

vi khong thi gian di hn. Tuy nhin, hu ht cc nghin cu sdng cc m

hnh tin tc ca nhng nm 1970 v1980 (v d, Groen, 2005; Mark v Sul, nm

2001; Rapach v Wohar, 2004).

Mt hng nghin cu khc l sdng cc m hnh sng to v thc thn vn

tp trung vo dbo xuyn quc gia nhng ginh rng mt chnh sch tin tni

sinh tn ti trong tgi hi oi m hnh Taylor. Cc nghin cu gn y theo hng

ny bao gm Engel v cc cng s(2008); Engel v West (2005, 2006); Mark (2009);

Molodtsova v Papell (2009) i vi cc nc cng nghip pht trin, cng nh

Moura (2010); Moura v cc cng s(2008), Uz v Ketenci (2008) cho cc nn kinh

tang pht trin. Trong , Molodtsova v Papell (2009) a ra k t lun: Chng

ti n mt kt lun rt khc, bo co bng chng mnh mca khnng don t

gi hi oi ngoi mu thi gian mt thng cho 12 nc OECD so vi Hoa Ktrongthi khu Bretton Woods. Chng ti cng tm thy bng chng rt mnh mca d

on tgi hi oi vi cc nguyn tc c bn theo quy lut Taylor. Sdng cc s

liu thng k CW, chng ta bc bgithuyt H0(khng c gi trdon) mc 5%

cho 11 trong s12 quc gia. V cc kt qumnh nht c tm thy vi mt m hnh

quy tc i xng Taylor vi hskhng ng nht, lm trn, v mt hng s.

Cn i vi bi nghin cu ca Moura, Mendonca v Lima (2008) nghin cu cc nc mi ni ni rng: Nhng kt quny chra rng tgi hi oi Brazil


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c lin kt vi cc nguyn tc c bn kinh thin ti v tng lai v khng tun

theo bc ngu nhin. V do , hiu sut tt nht thu c bng cchsdng cc

m hnh thc thn, ging nh m hnh quy tc Taylor, hoc cc m hnh kt hp s

khc bit vnng sut vi cc m hnh cn bng danh mc u t hiu qu, ging nhm hnh BEER.

Tcc bi nghin cu ny cho ta thy cch tip cn c bn ca m hnh tgi

hi oi ca Taylor l iu ha ngang gi li sut vi vic xc nh sni sinh li

sut, xp xli sut c thit lp trong thc t, bng cch sdng mt hm phn ng

chnh sch quy tc Taylor. Tm li, khng phi tt ccc nghin cu iu tra mu d

on c tgi hi oi, nhng tt ctrong shtm thy bng chng thc nghimng hca m hnh Taylor xc nh tgi hi oi.

Mc d slng ln cc nghin cu tuyn b tm thy bng chng ca kh

nng dbo t gi hi oi, nhng tranh ci v vn ny khng bao gi dng.

Rogoff v Stavrakeva (2008) cho rng hu ht cc don trong cc kt qugn y

l do ssai lch ca mu thnghim mi v tht bi trong kim nh tnh chc chn

bng cch sdng cc ca sthi gian ( time window) khc nhau. Cn gn y, Ince

(2010) trli mt sli chtrch bng cch xy dng mt dliu thi gian thc hng

qu cho chn nn kinh tOECD, thnghim ngang gi sc mua (PPP) v m hnh

Taylor bng cch sdng m hnh xuyn quc gia v m hnh hiu chnh li sai trn

d liu bng. Tc gicng phn bit gia cc phin bn bootstrapped ca thng k

Diebold v Mariano (1995) m kim tra chnh xc ca dbo so vi bc i ngu

nhin, v thng k Clark v West (2006, 2007) c nh gi cao cho khnng d

bo ca m hnh. Cc kt qucho thy rng nhng dbo bng hot ng tt hn vikhong thi gian di hn (v d, 16 qu ti). Tuy nhin, m hnh Taylor thc hin tt

hn vi khong thi gian ngn hn (v d1 qu)

Tcc bi nghin cu trn cng vi vic p dng m hnh tgi Taylor pht

sinh mt scu hi sau:

i. Cch thc m chnh sch tin tc iu hnh th nh hng n vic d

bo ngoi mu nh thno ?


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ii. Nt ring bit ca cc ngn hng trung ng ca cc nn kinh tmi ni

trong mu l g ?

iii. Skhc nhau gia cc ngn hng trung ng nh hng ti vic don

tgi hi oi nh thno ?iv. Vic iu hnh chnh sch tin t ti cc nn kinh tmi ni nh hng

nh thno n khnng dbo tgi hi oi?

tr li cc cu hi trn, hycng nh gi kt qu ca cc bi nghin cu

xem xt hnh vi ca NHTW vcc quyt nh chnh sch tin tcc nn kinh tmi

ni.

2.2 Cc bi nghin cu trc y vchnh sch tin tcc nn kinh tmi ni:

Alizenman and Hutchison (2011) tnh ton m hnh Taylor backward (m t

li) bng cch sdng d liu bng cho 17 nn kinh tmi ni, 12 trong s p

dng IT v 5 trong s p dng chnh sch tin tkhc. Sdng cch tip cn khc,

Moura v Carvalho (2010) dbo nhng c im m tli v dbo ca m hnh

Taylor bng cch sdng hi quy xuyn quc gia ca 7 nc Nam M, 5 trong s

p dng lm pht mc tiu (Brazil, Chile, Colombia, Peru v Mexico) v 2 nc

khng p dng l ( Argentina v Venezuela). Nhng bi nghin cu ny kt lun rng

nhng nc p dng lm pht mc tiu th c chnh sch tin tkht khe hn so vi

nhng nc khng p dng. Skhc nhau ny th trnn n tng nu c sso snh

nhng tc ng tch cc ca chnh sch li sut ti lm pht trong qu khhay lm

pht kvng.

Nhng bi nghin cu khc xem xt nhiu hn n nhng quy lut phn ng

thng thng. V d, Mehrotra v Sanchez Fung (2011) don quy tc Taylor v

McCallum, nhng nghin cu gn y trong s chyu da vo skim sottp

hp tin t, i vi 20 nc mi ni. Chc Brazil v Romania th c trong mu ca

bi nghin cu nhng khng c trong bi nghin cu ca Mehrotra v Sanchez-Fung.

Thm vo ,tc giny tranh ci rng, i vi cc nc p dng lm pht mc tiu,

mt quy tc lai gia Taylor-McCallum t c tt nht hnh vi ca ngn hng trung

ng. Quy tc ny ginh rng nhng thay i trong c stin tphn ng vi gi

trtrong qu khca n, lch lm pht hng nm ttrung bnh trt ca n v lo lng ca lhng sn lng thc t.


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Teles v Zaidan (2010) theo mt phng php khc xc nh liu cc nn

kinh tvi lm pht mc tiuc ththc hin theo cc nguyn tc Taylor hay khng.

Nhng nh nghin cu kim tra mt mu ca 12 nc mi ni thng qua lm pht

mc tiu. Bng cch sdng mt m hnh khng gian trng thi c tnh khi ccngn hng trung ng theo nguyn tc Taylor, tc ginhn thy rng khi cc nc p

dng nguyn tc Taylor (v phn ln trong shlm), lch ca lm pht lin quan

n mc tiu ng yn v lch trnn khng ng yn khi cc nc khng p

dng nguyn tc Taylor.

Bi nghin cu vquy tc Taylor cho cc nc c nn kinh tmi ni a n

vi kt lun quan trng. u tin, i vi nhng nc ny, hu ht cc ngn hngtrung ngu p dng lm pht mc tiunh vic don bi quy tc Taylor, c

bit trong trng hp li sut chnh sch phn ng cng chiu vi lm pht. Thhai,

nhng nc ny p dng quy tc cht chhn i ph vi lm pht so vi cc

nc khng p dng lm pht mc tiu. Th ba, mc d cc th trng mi ni l

khng ng nht vcc quy tc phn ng chnh sch tin tca h, ngn hng trung

ng p ng vi nhng thay i trong tgi hi oi trong hu ht cc trng hp.

Tng tnh nhng pht hin lin quan n cc nn kinh tpht trin, xem xt ca

chng ta vnn kinh tang pht trin cho thy rng, mc d quy tc Taylor l mt

i din tt ca cc hnh vi ca cc ngn hng trung ng, c ch khng ng nht

trong cc cu trli ca cc quc gia khc nhau (xem, v d, Clarida et al.nm 1998;

and Gerdesmeier et al, 2007).

Nhng kt quny ngay ckhi nghin cu mt tp hp cthca nn kinh t

(v d, cc nn kinh tchuyn i). V d, Yilmazkuday (2008) nghin cu Cng haSc, Hungary v Ba Lan bng cch sdng cc d liu hng thng t thng1 nm

1994 n thng 6 nm 2006.Cc tc gitm kim vic ph vcu trc trong nhng

quy nh chnh sch tin tmi nc v thy rng, mc d cc chnh sch ca tt c

cc nn kinh tang hng vpha tp trung vo khu vc ng tin chung chu u,

tuy nhin cc nc tin hnh chnh sch tin ttheo nhng cch khc nhau. Quyt

nh p dng IT trong cui nhng nm 1990 i din cho mt bc ngot trong chnh

sch tin tcho Cng ha Sc v Ba Lan nhng khng cho Hungary, dng nh ch


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trng nhiu hn vi qun l tgi hi oi.Trong khi , Cng ha Sc v Ba Lan

thit lp li sut tng ng vi lm pht, lhng sn lng, tgi hi oi, v trong

mt sthi k, li sut nc ngoi, Hungary dng nh chp ng tgi hi oi

v li sut nc ngoi. Cc tc gi cng kt lun rng cng ha Czech phn ngmnh mn lm pht hn so vi Ba Lan v Hungary.

Theo sau phng php khc nghin cu tmhiu sut hot ng ca ngn

hng trung ng, mt snghin cu nhm m tcc tc ng kinh tv m ca vic

p dng lm pht mc tiu.Mt snghin cu thc nghim lu rng nn kinh t

p dng lm pht mc tiu biu hin kinh tv m tt hn vt llm pht thp

hn v bin ng ca lm pht v tng trng lhng sn lng thp hn (Batini vLaxton, 2007; Gonalves v Salles, 2008; Lin v Ye, 2009). Ngoi ra, ci thin cc

biu hin ca kinh tv m, Mishkin (2008) lp lun rng vic p dng lm pht mc

tiu dn n ci cch quan trng trong cam kt thchn nh gi cv tnh minh

bch v trch nhim gii trnh ca cc ngn hng trung ng.Tuy nhin, kt quth

khng nht tr.Brito v Bystedt (2010) nghin cu mt mu ln cc quc gia mi

ni p dng hoc khng p dng lm pht mc tiu. S dng c tnh bng

ng v kim sotcc tc ng phbin ca thi gian v ng thi, cc tc githy

rng quyt nh p dng lm pht mc tiukhng c tc ng tch cc cc nc ny.

Ngoi ra, cc tc gi tm ra c bng chng cho thy rng mi quan hgia lm

pht v tng trng lhng sn lng dng nh khng c tt hn trong ch

lm pht mc tiu sovi cc chtin tkhc.

Trong hu ht cc thtrng mi ni, vic p dng lm pht mc tiu th khng

c tch ra tscn thit can thip vo thtrng ngoi hi. V d, Brenner vSokoler (2010) nghin cu trng hp ca Israel trong hai giai on khc nhau: t

thng 2 nm 1996 n thng 6 nm 1997, trong Ngn hng ca Israel (BOI) can

thip mnh mbo v gii hn thp hn ca tgi hi oi, v t thng 7 nm

1997 n thng 3 nm 2001, khi BOI dng li can thip vo thtrng ngoi hi. Cc

nh nghin cu pht hin ra rng skt hp ca cc quyt nh p dng lm pht mc

tiu v can thip vo tgi hi oi th khng tng thch vi mt chnh sch tin t

ng tin cy v hiu qu. c bit, trong thi gian can thip u tin, sgia tng trong


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chnh sch tin t, li sut khng c tc ng ng k vo k vng lm pht. Tuy

nhin, sau khi BOI dng can thip vo thtrng ngoi hi, li sut nh hng n k

vng lm pht.Trong ngn hn, kt quthc nghim cho thy rng lmpht mc tiu

cn c tin hnh trong mt chtgi hi oi thni tdo. Cuc xung t nyvn cha c gii quyt cho cc thtrng mi ni, v nhiu quc gia vn theo ui

hai mc tiu mu thun nhau (xem, v d, Yilmazkuday (2008) i vi trng hp ca

Hungary).

Chuyn sang cu hi cui cng ca phn ny: vic iu hnh chnh sch tin t

ti cc nn kinh tmi ni nh hng nh thnon khnng dbo tgi hi

oi? trli cu hi ny, ch n ba hm chnhtcc bi nghin cu. u tin,nu lm pht mc tiu ci thin hiu sut kinh tv to ra mt mi trng kinh tv

m t bin ng, sau sbin ng ca tgi hi oi cn c gim thiu v cn

ph thuc ng kvo cc yu tkinh tc bn. Hot ng kinh t tt hn i vi

cc nn kinh tmi ni p dng lm pht mc tiu cng c thlin quan n cc xu

hng thi gian phbin, nh cng bca Brito v Bystedt (2010).Tuy nhin, mi

quan hny skhng thay i kch bn kinh tv m n nh hn, v ci thin kh

nng dbo tgi hi oi vn st c. Thhai, mc d ngn hng trung ngthit lp cc mc li sut chnh sch bng cch xem xt lm pht v chnh lch GDP,

nh c don bi cc quy tc Taylor, ngn hng trung ng cng xem xt thay

i tgi hi oi.Kt quny cho php chng ta lin kt tgi vmt l thuyt vi

cc m hnh quy tc Taylor, nh chng ta sthy trong phn phng php lun. Th

ba, vic p dng lm pht mc tiu hm cho thy c chtgi hi oi l thni c

qun l (dirty-floating hay managed floating) hoc thni tdo tn ti trong hu ht

khong thi gian trong mu ca chng ti.Tuy nhin, nhcng bca Aizenman v

Hutchison (2011) v Brenner v Sokoler (2010), lm pht mc tiu ti cc nn kinh t

mi ni dng nh tun theo chin lc hn hp.

Tm li, mc d hiu sut thc hin kinh tkhng r rng, iu hnh ca cc

chnh sch tin ttrong thtrng mi ni dng nhkhhp l c biu din theo

cc quy tc Taylor m c kt hp tgi. Cch thc thng qua khng ng u, nh

cc nc biu hin mc tiu hi khc nhau v mc do dai khi i ph vi lm


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pht.Tuy nhin, v li ch ca bi vit ny, im quan trng nht l cc quy tc Taylor

c thc sdng nh l mt i din cho vic iu hnh ca cc chnh sch tin t

v bao gm cc lin kt cn thit n tgi hi oi, khi strnn r rng trong cc

m hnh phn tip theo.

3 C sl thuyt:

3.1Kin thc nn tng:

3.1.1Quy lut Taylor:

Nm 1993, nh nghin cu John B.Taylor, gio s i hc Stanford (M)

tin hnh nghin cu thc nghim i vi chnh sch li sut ca Cc D trLin

bang M(Federal ReserveFED) trong giai on 19801990 v pht hin ra rngbin ng li sut iu hnh ca Fed tun ththeo mt nguyn tc nht nh trong mi

tng quan vi lm pht v tng trng kinh t. T, Taylor mrng nghin cu

v khi qut ha thnh mt nguyn tc iu hnh li sut ca NHTW c gi l

Nguyn tc Taylor.

Nguyn tc Taylor cho rng, li sut iu hnh cn iu chnh ph hp vi thay

i ca chnh lch sn lng v chnh lch lm pht. V c biu thbng hm phn

ng chnh sch nh sau:

it= + + (- ) + ( - )

Trong :

itl li sut iu hnh ca NHTW theo TR;

l tllm pht tnh theo chsGDP deflator;

l tllm pht mc tiu;

l li sut thc cn bng ginh;

, l trng si vi lm pht v tng trng;

l tng trng GDP;

l tng trng GDP tim nng;

Theo Taylor, ktu nhng nm 1980, li sut iu hnh( federal funds rate)

ca FED bin ng cng xu hng v bm st vi li sut khuyn nghca li sut

Taylor. Nguyn tc Taylor c cgii nghin cu v NHTW quan tm v dn tr

thnh mt chbo c quan tm i vi vic phn tch v iu hnh chnh sch tin


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t. Ti FED, cc thnh vin y ban nghip v th trng m lin bang (FOMCs),

trong c cu chtch Greenspan v mt schtch FED a phng cng thng

cp n quy tc Taylor trong cc xut li sut. Theo Mishkin (2004), li sut

Taylor phn nh tng i CSTT ca FED trong khong 4 thp kqua. Di thi chtch Arthur Bums (1970-1979), li sut ca FED lin tc thp hn li sut Taylor

khin lm pht trong thi k ny tng cao. Di thi ch tch Paul Volcker(1979-

1987), FED t trng tm l kim chlm pht, v vy li sut ca FED, nhn chung,

lun cao hn li sut Taylor. n thi ch tch Greenspan(1987-2003), li sut iu

hnh bm st li sut Taylor hn, bin ng ca lm pht v tng trng kinh t

ca Mcng thp hn cc thi ktrc.

u im chnh ca quy tc Taylor l tnh ton n gin, dhiu, dtnh ton, do

, gip tng cng tnh minh bch v khnng gii trnh cho NHTW, quy tc Taylor

cho php iu chnh linh hot trng sca sn lng v lm pht ph hp vi mc

tiu trng tm ca NHTW trong vic quyt nh li sut iu hnh. iu ny c

ngha vi cc NHTW sdng c chiu hnh CSTT theo mc tiu lm pht so vi

mc tiu tng trng trong tng thi k.

Hn chca quy lut Taylor l khng tnh ti v a vo m hnh cc din bin

bt thng v cc iu kin kinh tv m khc ngoi tng trng, lm pht c thtc

ng n li sut; do , tnh chbo trong ngn hn hn ch. Tuy nhin, v thm

cc nh iu hnh chnh sch pht huy kinh nghim, hiu bit vtnh hnh thc t

a ra quyt nh chnh sch da trn c skhoa hc ca quy tc Taylor v thc trng

kinh tv m, mc tiu chnh sch trong tng thi k

3.1.2L thuyt ngang gi li sut khng phng nga (UIP):

Gi l tsut sinh li c hiu lc khi u t ra nc ngoi, l li sut trong

nc, l li sut nc ngoi, l gi trtng ln hay gim xung ca ng ngoi t.

Ta c: ( )( )

Ginh vic u t ra nc ngoi cng c tsut sinh li bng vi u t trong

nc th: ( )( )

Lc : =

-1


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Cth, nu li sut trong nc cao hn li sut nc ngoi , ng ngoi tstng

gi b p cho li sut thp hn. Ngc li, nu li sut trong nc cao hn li

sut nc ngoi th ng ngoi tsgim gi tng ng vi mt mc chnh lch

li sut.

3.2Khi qutcc phng php hi quy v kim nh :

3.2.1Khi qut vdliu bng v li ch ca n:

Dliu bng l dliu c cbnh din khng gian cng nh thi gian.

Dliu bng cn c nhng cch gi khc, nh dliu kt hp (kt hp cc quan

st theo chui thi gian v theo khng gian), kt hp cc dliu theo chui thi gian

v khng gian, dliu vi bng, dliu theo chiu dc (nghin cu theo thi gian ivi mt bin hay mt nhm i tng),phn tch lch sbin c(v d, nghin cu s

bin thin theo thi gian ca cc i tng thng qua cc trng thi hay cc iu kin

ni tip),phn tch nhm (v d, theo di din tin snghip ca 1965 sinh vin tt

nghip ca mt trng kinh doanh). Cho d c nhiu bin thtinh t, tt ccc tn gi

ny v thc cht u tiu biu cho sbin thin theo thi gian ca cc n vcho

theo khng gian.

Cc u im ca dliu bng (c lit k bi Baltagi (2008)):

o

V d liu bng lin quan n cc c nhn, doanh nghip, tiu bang, t nc,

v.v theo thi gian, nn nht nh phi c tnh dbit (khng ng nht) trong

cc n vny. Kthut c lng dliu bng c thchnh thc xem xt n

tnh dbit bng cch xem xt cc bin sc tnh c th theo tng c nhn,

c trnh by ngay sau y. Ta sdng thut ngc nhn theo ngha chung

bao gm cc n vvi m nh cc c nhn, cc doanh nghip, tiu bang, v t

nc.

o Thng qua kt hp cc chui theo thi gian ca cc quan st theo khng gian, d

liu bng cung cp nhng dliu c nhiu thng tin hn, a dng hn, t cng

tuyn hn gia cc bin s, nhiu bc tdo hn v hiu quhn.

o Thng qua nghin cu cc quan st theo khng gian lp li, d liu bng ph

hp hn nghin cu tnh ng ca thay i. Tnh trng tht nghip, lun


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chuyn cng vic, v tnh lu chuyn lao ng sc nghin cu tt hn vi

dliu bng.

o Dliu bng c thpht hin v o lng tt hn nhng nh hng m khng

thquan st trong dliu chui thi gian thun ty hay dliu cho theo khnggian thun ty. V d, nh hng ca lut tin lng ti thiu i vi vic lm v

thu nhp c thc nghin cu tt hn nu chng ta xem xt cc t gia tng

tin lng ti thiu lin tip nhau trong mc lng ti thiu ca lin bang v

(hoc) tiu bang.

o D liu bng gip ta nghin cu nhng m hnh hnh vi phc tp hn. V d,

cc hin tng nh li thkinh ttheo qui m v thay i kthut c thc

xem xt thng qua dliu bng tt hn so vi dliu theo chui thi gian thun

ty hay theo khng gian thun ty.

o Bng cch thu thp nhng sliu c sn cho vi nghn n v, dliu bng c

thti thiu ha sthin lch c thxy ra nu ta tng hp cc c nhn hay cc

doanh nghip thnh sliu tng.

Ni vn tt, dliu bng c thlm phong ph cc phn tch thc nghim theo

nhng cch thc m khng chc c tht c nu ta chsdng cc dliu theo

chui thi gian hay khng gian thun ty.

3.2.2M hnh ECM ( error correction methodology):

M hnh hiu chnh sai sl mt hthng tng vi c im m lch ca

trng thi hin ti tmi quan htrong di hn ca n sc a vo cc ng lc

trong ngn hn ca n.

M hnh hiu chnh li sai khng phi l m hnh sa cha cc li sai ca m

hnh khc. Cc m hnh hiu chnh li sai (ECMS) l mt loi m hnh chui thp

thi gian c tnh trc tip tc m ti mt bin phthuc - Y - trli trng thi

cn bng sau khi mt sthay i trong bin c lp - X. M hnh ECM l cch tip

cn vmt l thuyt c lng ctc ng ngn hn v di hn ca mt chui thi

gian khc. V vy, chng thng lin quan nhiu vi cc l thuyt ca chng ta vtin

trnh chnh trv x hi. M hnh ECM l m hnh hu ch khi gii quyt cc dliu

tch hp, nhng cng c thc sdng vi dliu dng.


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3.2.3M hnh thnh tsai s(one- error component panel data model):

M hnh thnh tli sai 1 bc c thc vit nh sau:

, i = 1,,N v t = 1,,T vi

Hsnhiu th phn tch thnh 2 phn, v iu ny gii thch tn cam hnh. biu th tc ng trn tng c th, gii thch cho cc nhn tkhng th

quan st c tc ng ln y v khng bin i theo thi gian; biu thcc bin

khc tc ng ln y nhng bin i theo thi gian vc th. Chai u c ginh

l phn phi c lp qua cc c th. Mt ginh quan trng khc ngm di m hnh

thnh tsai sl sngoi sinh cht chca bin hi quy c lp, m:

E(| = 0,

E(| = 0,

Hn na, v c hai u c gi inh l khng tng quan theo tng k v

khng ttng quan theo khng gian v theo chui thi gian.

V (| ) = , i

Cov ( | i, t, t

Cov ( | ) = 0, i, t

Ginh khng c stng quan gia cc bin hi quy c lp v cc tc ngc thc cho, sau khng tc ng n k vng c iu kin ca y nhng tc

ng n phng sai ca n. Tht s, ginh trn c cho:

E(| ) = .

3.2.4Dbongoi mu (out of sample):

Ngoi mu c ngha l cc dliu c sdng trong m hnh ph hp thKhc vi d liu s dng trong nh gi dbo. Thng thng, mt d liu

c chia thnh hai bn thi k. Giai on u tin l cho m hnh ph hp v c

gi l mu con c tnh, trong khi giai on thhai bao gm dliu c sdng

nh gi hiu qudbo v c gi l mu con dbo.

Cho d liu khong thi gian T, v c , chia dliu thnh {

v { , trong n l ngun gc dbo ban u. Mt sla chn thch hp

l n = T/2i vi T ln hoc n = 2T/3. C 2 m hnh so snh, v Cho h l

khong thi gian dbo, chng ta quan tm dbo vo 1 bc n h bc.

Vic don ngoi mu thc hin nh sau:

Quy Luat Taylor Va Kha Nang Du Doan Ty Gia Hoi Doai o Cac Nen Kinh Te Moi Noi 95

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Transcript of Quy Luat Taylor Va Kha Nang Du Doan Ty Gia Hoi Doai o Cac Nen Kinh Te Moi Noi 95