32 Phat trien Kinh te - Xa hoi a Nang

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1. Gii thiu

L thuyt ngang gi sc mua (PPP) l mt trong cc l thuyt v t gi thng c s dng d bo s bin ng ca t gi hi oi. Kim nh tnh hiu lc ca PPP l mt trong nhng vn thu ht s quan tm ca cc nh nghin cu. kim nh PPP, c th s dng phng php trc quan nh phng php th, hoc s dng m hnh hi quy xem xt mi quan h gia t gi v chnh lch lm pht gia hai quc gia tng ng. D thy rng khi PPP c hiu lc, t gi thc c tnh dng. Do , s dng cc kim nh nghim n v kim nh tnh dng ca t gi thc cng l mt phng php c s dng rng ri.

Tuy nhin, kt qu nghin cu thc nghim ca cc nh kinh t hc nh Frenkel (1978); Genberg (1978), Roll (1979); Adler v Lehmann (1983); Cumby v Obstfeld (1984) u khng tm thy hiu lc ca ngang gi sc mua. Trong nghin cu ca mnh, Frankel (1986, 1990) lp lun rng l do m mt s nghin cu trc khng th tm thy bng chng v tnh dng ca chui t gi thc l do kch thc mu ngn v nng lc kim nh ca cc kim nh nghim n v km. ng ch ra rng tc hi t ca ngang gi sc mua rt chm do n cn b d liu di m bo tin cy ca cc kim nh. ng cng th nghim trn mt chui d liu di ca t gi USD/DEM trong giai on 1869 - 1984 tng ng vi chu k bn r ca lch t gi thc l 4,6 nm. Mt s nghin cu tng t cng c tin hnh bi Lothian v Taylor (1996) s dng trn t gi USD/GBP v cc nghin cu khc ca Glen (1992); Froot v Rogoff (1994). Tuy vy, quan im ny b phn

i mnh m khi chui d liu di c th hm cha qu nhiu s thay i v cu trc (Structural Breaks) ca chui d liu1 lm kt qu kim nh b chch. Mt quan im khc c xut bi Levin v Lin (1992). Theo , h cho thy c th ci thin nng lc ca kim nh nghim n v s dng chui d liu ngn da trn vic kim nh bng gia cc quc gia. Wu v Chen (1999) s dng hai cng trnh nghin cu bng phng php ny trn d liu hng thng t nm 1980 n nm 1996 cho 9 quc gia khu vc Thi Bnh Dng v cho thy bng chng v hiu lc l thuyt ngang gi sc mua. MacDonald (1996) s dng d liu hng nm cho 40 quc gia thuc OECD trong giai on 1973 - 1992 v cho thy kh nng tn ti ca l thuyt ngang gi sc mua cc quc gia ny. Nh vy, kt qu ca hai trng phi cho thy vn kim nh hiu lc l thuyt ngang gi sc mua khng nm di chui d liu nghin cu.

S sai lch ca PPP c gii thch bi s km n hi ca gi c danh ngha v chi ph giao dch, vn chuyn Tuy nhin, ngi ta cng khng gii

KIM NH NGANG GI SC MUA:

NGHIN CU THC NGHIM TI VIT NAM

? V TH THY aNH* - NGUYN TH aNH TUN**

* PGS,TS., Trng i hc Kinh t - i hc Nng.** ThS., Vin Nghin cu Pht trin Kinh t - X hi Nng.

33Phat trien Kinh te - Xa hoi a Nang

Nghin cu - Trao i

thch c ti sao thng mi quc t khng lm cho gi c gia cc nc cn bng trong di hn khi m nhng chi ph ny c th c trit tiu.

Bec, Salem et Carrasco (2001) xut m hnh ngng kim nh tnh hiu lc ca PPP. M hnh ngng cho php kim nh tnh dng ca t gi thc trong trng hp c cc ro cn thng mi v cc yu t khc nh th hiu tiu dng, nhng nguyn nhn lm chch i PPP. S dng m hnh ny, Thy Anh (2011) tm thy tnh hiu lc trong di hn ca PPP vi 13 cp t gi thc ca cc nc G7.

Hin nay, cc nghin cu v kim nh hiu lc ca l thuyt ngang gi sc mua Vit Nam rt hn ch. Hn na, cc cng trnh nghin cu u mc chung khuyt im l khng tnh n tc ng ca cc yu t nh hng c th khin l thuyt ngang gi sc mua b chch. Trong khun kh ca bi vit, nhm tc gi hng n vic kim nh tnh hiu lc ca l thuyt ngang gi sc mua s dng kt hp nhiu phng php kim nh khc nhau nh phng php th, m hnh hi quy tuyn tnh v m hnh ngng kim nh PPP ti Vit Nam.

2. L thuyt ngang gi sc mua

L thuyt ngang gi sc mua l l thuyt c pht trin bi nh kinh t hc ngi Thy in Gustavav Casell vo nm 1920 khi ng xem xt mi quan h gia gi c ca mt hng ha nht nh c tnh bng ng tin ca cc nc khc nhau. C s xy dng l thuyt ngang gi sc mua l Lut mt gi.

Trong , Lut mt gi l l thuyt khi qut qu trnh t cn bng ca gi c cc hng ha ging nhau nhng a im khc nhau: Nu b qua chi ph vn chuyn, hng ro thng mi v th trng l cnh tranh hon ho th cc hng ha ging ht nhau s c gi l nh nhau mi ni khi quy v cng mt loi ng tin.

Nu quy lut mt gi ng vi tt c mi loi hng ha th t gi hi oi gia hai loi ng tin n gin ch l t s gia mc gi gia hai nc. y chnh l l thuyt ngang gi sc mua tuyt i.

P = S.P*

Hay S = PP*

(1)

Trong :

S: T gi danh ngha song phng gia trong v ngoi nc.

P*: Mc gi c hng ha nc ngoi bng ngoi t.

S.P*: Mc gi c hng ha nc ngoi tnh bng ni t.

P: Mc gi c hng ha trong nc bng ni t.

Cc kim chng thc nghim cho thy l thuyt ngang gi sc mua tuyt i ch c mt s quc gia tng ng v mt kinh t hoc gn nhau v khong cch a l. Nguyn nhn ch yu l do c s bt hon ho th trng gia cc quc gia (chi ph vn chuyn, hn ngch thng mi, hng ro thu quan, khc bit th hiu tiu dng). Kt lun ny dn n l thuyt ngang gi sc mua tng i. Theo , l thuyt ngang gi sc mua tng i cng nhn rng do cc bt hon ho ca th trng, gi c ca nhng sn phm ging nhau cc nc khc nhau s khng nht thit bng nhau. Tuy nhin, s bin ng ca t gi hi oi vn tng ng vi chnh lch v lm pht gia cc quc gia.

Ngang gi sc mua tng i c a ra nh sau:

tf

tdt

t ii

SSs

)1()1(

00 +

+==

(2)

Trong , St l t gi hi oi vo thi k t v S0 l t gi hi oi vo thi k 0. Id v if ln lt l lm pht trong v ngoi nc. Khi t=1, ta c:

fd

f

d iiii

SSs

+

+== 1

1111

0

101

(3)

Cng thc gn ng trn p dng cho trng hp if nh.

Tuy vy, thng qua cc phn bin t l thuyt v kim chng thc nghim cho thy vn c nhiu nguyn nhn khc dn n l thuyt ngang gi sc mua b chch: S phn bit gi theo th trng ca cc cng ty a quc gia; T trng cao ca nhm hng ha khng tham gia thng mi; nh hng ca qu trnh chu chuyn vn quc t...

3. Kim nh l thuyt ngang gi sc mua

Nh cp trn, hin nay c rt nhiu phng php kim nh tnh hiu lc ca l thuyt ngang gi sc mua ty thuc vo c im ca chui d liu v giai on nghin cu. Trong khun kh ca bi bo, nhm tc gi s dng kt hp 03 phng php:

3.1. Phng php th

y l mt phng php trc quan s dng khng

34 Phat trien Kinh te - Xa hoi a Nang

Nghin cu - Trao i

gian th biu din mi quan h gia chch lch lm pht gia cc quc gia v s thay i tng ng ca t gi danh ngha song phng trn mt th trong cng mt thi k quan st.

Mi im trn th s tng ng cho mi quan h xc nh gia chnh lch t l lm pht v phn trm thay i t gi cc quc gia trong mi thi k tng ng. Xem xt qua nhiu giai on thi gian nht nh, nu cc im thi gian lch mt cch ng k khi ng ngang gi sc mua tc l thuyt ngang gi sc mua khng c hiu lc i vi cp ng tin ang xem xt.

u im ca phng php ny l cho kt qu trc quan, d so snh, kim nh tnh hiu lc ca l thuyt ngang gi sc mua gia hng lot cc quc gia c quan h thng mi vi nhau.

u im n gin khin nhc im ca phng php l kh a ra kt qu chnh xc, c bit sai s c th ln khi t gi hi oi trn th trng c bin ng mnh.

3.2. Phng php s dng m hnh hi quy

y l phng php c pht trin bi cc nh kinh t hc trong giai on 1980 - 1990 tin hnh n gin ha kim nh l thuyt ngang gi sc mua bng cch s dng phn tch hi quy t gi hi oi v chnh lch lm pht gia hai quc gia trong qu kh. Theo , phn trm thay i ca t gi hi oi (ef) s l bin ph thuc, v chnh lch lm pht gia hai quc gia s l bin gii thch.

Id, If: Ln lt l t l lm pht trong nc v ngoi nc.

: Sai s ca m hnh hi quy.

Kim nh c s dng l kim nh Student - t test.

Vic kim nh hiu lc ca l thuyt ngang gi sc mua tng ng vi vic kim nh ng thi hai gi thuyt H0: ao = 0 v H0: a1 = 1.

Vic tin hnh hi quy mi quan h gia t gi hi oi v chnh lch lm pht gia hai quc gia s gip m hnh ha c qu trnh kim nh l thuyt ngang gi sc mua, qu trnh kim nh cng n gin, d thc hin vi s lng ln.

(1 + Id) ef = ao + a1 x ( ------------------ - 1) + (1 + If)

Tuy vy phng php cng c nhc im ln khi cha cp n tr thch hp gia chnh lch lm pht v t gi hi oi. Hn na t gi hi oi trn th trng cn chu tc ng ca rt nhiu yu t, trong c c nhng yu t khng th o lng nh cc bin php iu chnh ca chnh ph, thi quen tiu dng...

3.3. M hnh ngng

Mc d cc phng php c nu trn u l cc phng php c th kim nh hiu lc l thuyt ngang gi sc mua tuy nhin vn mc hn ch khi khng tnh n cc chi ph c th lm sai lch l thuyt ngang gi sc mua nh chi ph giao dch, vn chuyn, bo him (chi ph ro cn thng mi).

gii thch s sai lch ca l thuyt ngang gi sc mua do ro cn thng mi gy ra, c th tin hnh mt kim nh m hnh s dng mt ngng i xng qua 0. M hnh c th hin nh sau:

(4)

Trong st l log ca t gi thc c chnh tm. Ngng to ra mt khong (- , ). Trong khong ny, l thuyt ngang gi sc mua khng tn ti do s chnh lch gi ln hn chi ph thng mi rt nhiu. Khi phn ngoi ngng ca m hnh c tnh dng, chui cng c xem l c tnh dng d phn trong ngng c tnh dng hay khng. M hnh ny cho php din t chi ph thng mi vi cc trng hp c bit:

- Nu = 0, 1 = 2 = 3 v p1 = p2 = p3 = p vi -2

35Phat trien Kinh te - Xa hoi a Nang

Nghin cu - Trao i

hnh khng rng buc

c

2 l phng sai ca phn d ca m hnh rng

buc.

T: di chui d liu kim nh.

So vi cc phng php kim nh khc th vic s dng m hnh ngng c u im vt tri khi tnh n cc yu t chi ph vn chuyn, bo him, th hiu tiu dng... trong qu trnh kim nh.

Nhc im ca m hnh kim nh ny l i hi gii quyt thut ton phc tp, kh tin hnh kim nh trong iu kin s liu hn ch.

3.4. D liu nghin cu

Bi vit s dng d liu v t gi hi oi, lm pht Vit Nam v cc quc gia khc theo d liu thng trong thi gian t thng 01.2005 - 5.2013 tin hnh kim nh tnh hiu lc ca l thuyt ngang gi sc mua ti Vit Nam. Cc quc gia c tin hnh kim nh vi Vit Nam c ly theo tiu ch t trng thng mi quc t vi Vit Nam bao gm 06 quc gia c t trng ln nht: Trung Quc (k hiu tin t CNY); Khi EU (EUR); M (USD); Nht Bn (JPY); Hn Quc (KRW); n (INR).

D liu v t gi hi oi c s dng l t gi quyt ton bnh qun thng, cng b ti website ca B Ti chnh Vit Nam (website: www.mof.gov.vn).

S liu lm pht c trch liu t trang thng k ca T chc Hp tc Pht trin Kinh t - OECD (website: http://stats.oecd.org).

Ring s liu v ch s gi tiu dng Vit Nam c ly theo ngun Tng cc Thng k Vit Nam (website: www.gso.gov.vn).

4. Kt qu kim nh v nhn xt

Kt qu kim nh cho thy khng tn ti hiu lc ca l thuyt ngang gi sc mua gia Vit Nam v cc i tc thng mi ln ca mnh:

Kt qu kim nh bng phng php th cho thy l thuyt ngang gi sc mua b chch. S phn b ca cc im lch hn v pha trc tung v c honh (t l % thay i t gi) hu ht l bng 0. iu c ngha l t gi hi oi ca Vit Nam hu nh khng thay i trc cc bin ng bt thng vi sc mua ca cc quc gia khc (c khi chnh lch ln n trn 3%). iu ny cng kh ph hp vi chnh sch iu chnh t gi trong bin hp ca Vit Nam gn nh l neo t gi c nh vi ng USD.

Cc trng hp kim nh bng m hnh hi quy u cho mc ph hp kh thp, cao nht l tng quan gia Vit Nam v Trung Quc (h s R2= 0,0362) v thp nht l tng quan gia Vit Nam v Hn Quc (h s R2= 0,001). Kim nh gi thuyt v ngha ca cc h s hi quy u cho kt qu khng c ngha vi tin cy 95% (prob.>0,05). S ph hp ca m hnh qu thp cho thy m hnh b st mt s bin quan trng, t l % thay i ca t gi hi oi Vit Nam b chi phi bi cc yu t khc ln hn nhiu so vi tc ng t s thay i gi c trong v ngoi nc. Kt qu ny cng hon ton trng khp vi cc kt lun ca Nguyn Ngc V cng cng s (2009) rng phng sai sai s m hnh th hin mi tng quan gia lm pht v t gi ca M v Vit Nam c thay i theo thi gian trong giai on 1990 - 2007.

Kim nh bng m hnh ngng cho kt qu rng l thuyt ngang gi sc mua b chch vi tt

Bng 1: Kt qu kim nh PPP bng m hnh ngng2

VND/USD VND/KRW VND/INR VND/JPY VND/cNY VND/EUR

N1 95% 97% 69% 65% 35% 78%

N2 5% 3% 31% 35% 65% 22%

c

2

0,000138 0,000817 0,000637 0,002413 0,000518 0,002037

nc

2

0,000137 0,000806 0,00061 0,002371 0,000508 0,001983

W1 0,461203 1,335839 4,421713 1,774039 1,862498 2,680743

Ngun: www.mof.gov.vn v tnh ton ca tc gi.

36 Phat trien Kinh te - Xa hoi a Nang

Nghin cu - Trao i

c cc chui t gi xem xt. Tc gi c th xut nhng nghin cu trong tng lai lm sng t nhng vn cn hn ch trong kt qu nghin cu ca mnh.

S thay i ca t gi hi oi Vit Nam trong thi gian qua khng tng ng vi s chnh lch lm pht gia Vit Nam v cc quc gia xem xt. Hay ni cch khc, l thuyt ngang gi sc mua b chch Vit Nam trong giai on va qua. Theo tc gi, nguyn nhn ln nht nm chnh sch t gi hi oi Vit Nam v s bin ng tht thng ca lm pht. Trong giai on khng hong kinh t 2008 - 2012 USD gim mnh trn th trng th gii nhng li tng gi mnh Vit Nam. L do ch yu l chnh ph v Ngn hng nh nc Vit Nam bnh n t gi v khng ch bin dao ng t gi trong thi gian di trong khi lm pht Vit Nam trong giai on ny kh cao lm cho gi c hng ha tnh bng USD tng ln v khi tnh ra VND li tng ln mt ln na.3

Mt khc, vic ly t gi VND/USD lm t gi chnh thc v s dng USD lm ng tin so snh cho vi cc ng tin khc tnh ra t gi gia VND v cc ng tin khc lm cho PPP b chch i so vi cc cp t gi khc. Vic nhp khu i vi cc th trng thanh ton bng cc ng tin khc do b t ln nhiu hn na, tc ng suy gim sc mua ni t cng ln hn.

5. Hm chnh sch v hng nghin cu tng lai

Vic l thuyt ngang gi sc mua khng tn ti Vit Nam trong giai on hin nay, ngay c khi cc chi

ph thng mi v ro cn thng mi c tnh n, cho thy s bt cp trong chnh sch t gi hin hnh. ng Vit Nam ang c nh gi cao so vi ng tin ca cc i tc thng mi khc, trong c c USD. iu s tc ng ln cn cn thng mi quc t, khng khuyn khch cho hot ng xut khu, to iu kin cho hng ha nhp khu t cc nc vo Vit Nam. C ch t cn i ca t gi khng pht huy tc dng, tnh trng hai t gi4, s mt nim tin ca ngi dn vo ng tin trong nc l nhng h ly d thy nht hin nay ca th trng ngoi hi Vit Nam.

Tuy nhin khng ch ring ng USD, kt qu kim nh ca chng ti v tnh hiu lc ca l thuyt ngang gi sc mua gia ng VND v ng tin ca cc i tc thng mi ln khc cng cho kt qu rng l thuyt ngang gi sc mua b chch. iu hm rng vic s dng chnh sch t gi da trn mt t gi song phng lm trung tm l khng ph hp vi Vit Nam trong giai on hin nay.

Nhng g rt ra t kt qu nghin cu dn n mi quan tm nhiu hn n s linh hot hn trong

Bng 2: S thay i gi tr danh ngha ca mt s ng tin so vi ng USD trong giai on gn y

Nm 2005 Nm 2012 Mc thay i

Vit Nam ng (VND) 15803,000 20828,000 31,80%

Won Hn Quc (KRW) 1021,905 1128,962 10,48%

Rupee n (INR) 43,716 54,540 24,76%

Nhn dn t (CNY) 8,280 6,312 -23,77%

Yn Nht (JPY) 108,330 79,496 -26,62%

Euro (EUR) 0,800 0,771 -3,66%

Bng Anh (GBP) 0,550 0,635 15,39%

Franc Thy S (FRF) 1,245 0,932 -25,15%

Ngun: Tnh ton ca tc gi

37Phat trien Kinh te - Xa hoi a Nang

Nghin cu - Trao i

ch t gi hi oi. Hin Vit Nam ang thc hin ch neo t gi theo ng USD vi bin c iu chnh. V nguyn tc, ch t gi th ni c qun l thng ch c s dng trong ngn hn kim sot nhng bin ng bt thng trong t gi. Vic c nh ng tin theo ng USD gy ra s cng nhc cho t gi cng nh s ph thuc ca t gi hi oi Vit Nam vo s bin ng ca USD, khin cho t gi hi oi thc kh hi t v mc cn bng. Do vy, s linh hot hn ca t gi hi oi i hi vic thm vo cc ng tin khc hnh thnh r tin t chun cho neo gi t gi. iu ny rt quan trng i vi hot ng xut nhp khu Vit Nam, hin qu quen dng ng tin thanh ton l USD.

Nghin cu ch mi gii hn ti Vit Nam. Trong thi gian n, chng ti s m rng mu nghin cu ra cc quc gia ang pht trin chu . Mt trong nhng nguyn nhn lm chch i PPP c cho rng l do s khc bit v mc pht trin ca cc quc gia. Do , nu xem xt cc quc gia tng ng ti chu , chng ta c th kim nh c nhn nh ny.

V.T.T.a. - N.T.a.T.

ngng v trong ngng. c

2 , nc

2 ln lt l c lng phng sai phn d ca m hnh ngng rng buc v khng rng buc. Vi tiu chun kim nh l 10; 10,5; 11,7; 13,7; 18 tng ng vi cc mc ngha 20%, 15%, 10%, 5%, 1%.

3Vit Nam chu tc ng mnh ca tnh trng la ha.4T gi chnh thc v t gi t do.

TI LIU THaM KHo

1. Adler, Michael and Bruce Lehmann. 1983. Deviations from Purchasing Power Parity in the Long Run. Journal of Finance. 38[5], pp. 1471-1487.

2. Bec, F., M. Salem et M. Carrasco, Mai 2001. Test for unit - root Threshold specification with an application to the PPP. Manuscript.

3. Cassel, G. 1922. The money and Foreign Exchange after 1914. Macmillan, Newyork.

4. Cumby, Robert E. and Maurice Obstfeld. 1984. International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence, Exchange Rate Theory and Practice. John F. O. Bilson and Richard C. Marston, eds. Chicago: University of Chicago Press, pp. 121151.

5. Frankel, Jeffrey A. 1986. International Capital Mobility and Crowding-out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets? in How Open is the U.S. Economy? R. W. Hafer, ed. Lexington, Mass.: Lexington Books, pp. 3367.

6. Frankel, Jeffrey A. 1990. Zen and the Art of Modern Macroeconomics: A Commentary, in Monetary Policy for a Volatile Global Economy. W. S. Haraf and T. D. Willett, eds. Washington, D.C.: AEI Press, pp. 11723.

7. Frenkel, Jacob A. 1978. Purchasing Power Parity: Doctrinal Perspectives and Evidence from the 1920s, Journal of International Economics, Vol. 8, 169-91.

8. Froot, K, and K. Rogoff. 1994. Perspectives on PPP and Long Run Real ExchangeRates, NBER working paper No. 4952.

9. Genberg, Han. 1978. Puschasing Power Parity Under Fixed and Flexible Exchange rate, Journal of International Economics, pp 247 276.

10. Glen, J. 1992. Real Exchange Rates in the Short, Medium, and Long Run, Journal of International Economics, 33, 147-166.

11. Levin, A, and Chen-Fu Lin. 1992. Unit Root Tests in Panel Data: Asymptotic and Finite-sample Properties, University of California, San Diego, Department of Economics, Discussion paper 92-123.

cH THcH1 Chng hn nh cc khng hong v gi du, thay i

cng ngh, khng hong ti chnh Nhng s kin ny s lm thay i gi tr trung bnh ca cc dy d liu v do kim nh s cho ra kt qu b chch.

2 Trong , N1 v N2 ln lt l t l % quan st ngoi

38 Phat trien Kinh te - Xa hoi a Nang

Nghin cu - Trao i

Ph lc

KT QU KIM NH L THUYT NGaNG GI Sc MUa BNG M HNH TH V HI QUY

12. Lothian, J., and M. Taylor. 1996. Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries, Journal of Political Economy, 104(3), 488-509.

13. MacDonald, R. 1996. Panel Unit Root Tests and Real Exchange Rates, Economics Letters, 50, p. 7-11.

14. Roll, Richard. 1979. Violations of Purchasing Power Parity and their Implications for Efficient International Commodity Markets, International Finance and Trade, Volume 1. M. Sarnat and Alan M. Taylor and Mark P. Taylor 157

G.P. Szego, eds. Cambridge. Mass.: Ballinger, pp. 133-176.

15. V Th Thy Anh. 2011. M hnh ngng v l thuyt ngang gi sc mua, Tp ch Khoa hc v Cng ngh, (46), tr.126-136.

16. website: www.mof.gov.vn; http://stats.oecd.org; www.gso.gov.vn

17. Wu, J., and Chen. 1999. Are Real Exchange Rates Stationary Based on Panel Unit Root Tests? Evidence from Pacific Basin Countries, International Journal of Finance and Economics, (4), p. 243-52.