LOICAMON
Lm dilu tien t6i xin chan thanh cam an quy Thily, C6 Khoa Tai Chinh Doanh N ghi¢p
truOn.g Dl;li H9c Kinh T€ Thanh Ph6 H6 Chi Minh da t~ tinh giang dl;ly va truy~n
dl;lt nhiing ki€n thuc quy bau trong thm gian qua.
Xin gbi lm cam an sau sac d€n c6 H6 Thuy Tien, c6 Nguy~n Th! Lien Hoa, c6 Phan
Th! Bich N guy¢t va thily N guy~n Khac Qu6c Bao da t~ tinh huang dfut t6i trong
su6t qua trlnh tht:fC hi¢n lu~ Van nay.
Cam an cac thanh vien trong gia dinh, ngum than va bl:lfi be da dqng vien va giup dO'
t6i r~t nhi~u trong su6t thm gian hoan thanh chuang trlnh hQc vl.ra qua.
Do kha nang va di~u ki¢n nghien CUu con hl;lll ch€, nen lu~n van con nhi~u thi€u s6t,
kfnh mong quy Thily, C6 va bl;lll dQC th6ng cam. T6i xin chan thanh cam an.
TP. H6 Chi Minh, thang 09 nam 2013
•
Tac gia lu~ van
Triln Phuong Thuy
..
LOICAMDOAN
T6i xin cam doan lu~ van "Chfnh sach Hti kh6a va phat tri~n tai chfnh" Ia c6ng
trinh nghien CUu cua t6i dum sv huang dful cua TS. H6 Thuy Tien. N
Van dU s6 li~u si'r dt;1ng Ia trung thvc va c6 ngu6n g6c ro rang, kh6ng sao chep tit bat ky quy~n lu~ van nao. TP. H6 Chf Minh, thang 09 nam 2013 Tac gia lu~ van • TrAn Phuang Thuy • .
MUCLUC . ~ T, cHUON"G t: Giffi ~u CHUNG ................................................................ 3 1.1 Ly do ch<;>n d~ tai ........................................................................................... 3 1.2 M\lC tieu nghien Clru .................................................................................. 3 hi" ' ' h . 01 tugng va p ~m vt ng en cuu .............................................................. 4 1 3D;..
. 1.4 Cau hoi nghien Clru .................................................................................... 4 1.5 T6ng quan cac n<;>i dung chinh cua lu~ van ................................................ .4 1.6 Cciu tnic cua lu~n van ................................................................................. 5 cHUON"G 2: TONG QUAN cA.c NGHIEN ciru TRu'Oc DAY vt TAC DQNG CUA CHiNH SACH TAl KHOA DEN CHIEU SAU TAl CHiNH .... 6 • 2.1 Michael Kumhof and Evan Tanner (2005) Government Debt: A Key Role In Financial Intermediation .............................................................................. 6 2.2 David Hauner (2006) Fiscial Policy And Financial Development.. .............. 6 2.3 R.A Rathanasiri; T.C Wijesinghe (2012) Government Fiscal Operation And Financial Deepening In Sri Lanka ................................................................. 8 2.4 Ket lu~ chuang 2 ......................................................................................... 8 cHUON"G 3: nu Lrtu, PHUON"G PHAP, MO HiNH NGHIEN ciru ......... 9 3.1 Du li¢u nghien CUu ........................................................................................ 9 3.2 Mo hinh nghien CUu ...................................................................................... 9 3.3 Phuoog phap nghien cliu ............................................................................... 14 3.3 .1 H6i quy dfr li~u bang ............................................................................ 14 3.3.2 Sir dt;~ng ki~m d!nh Hausman test d~ ki~m djnh tinh thich hqp cua mo hinh REM va FEM ........................................................................................ 15 CHUONG 4: N(H DUNG VA KET QUA NGIDEN CUu ..............................• 16 ' hinh ' h, ' . hinh . ;! 16 , h '. kh,
sac tat oa va p at tnen tru c ............................ . ung quan ve c . 4 1 T il 4.1.1 Chinh sach thl kh6a .............................................................................. 16 4.1.2 Ph at tri~n thl chinh ............................................................................... 19 4.2 Nghien cliu thlJc nghi¢m ............................................................................... 24 4.2.1 Hai gia thiet cua m6 hinh .................................................................... 24 4.2.2 Ket qua h6i quy cua 10 nuac Chau A ............................................... 27 • 4.2.2.1 Giru thich ket qua cua 2 bien d
tin d1;1ng cong: PUBY, PUBLIC. ............................................. 29 4.2.2.2 Giru thich ket qua h6i quy cac bien d
con l<;ri trong m6 hinh ............................................................. 33 4.3 Ket lu~ chuoog 4 ......................................................................................... 35 , theo nghi~n cilu David Hauner (2006) "Fiscial Policy And Financial Development". Bang 3.1: Gia thiet 1 trong m6 hlnh cua David Hauner 2006. Bang 3.2: Gia thiet 1 trong m6 hlnh cua David Hauner 2006. Bang 3.3: Ngu6n du li~u cac bien theo m6 hlnh cua David Hauner 2006. Bang 4.1: Hai gia thiet v& ky v<;mg trong ket qua h6i quy theo m6 hinh cua David Hauner 2006. Bang 4.2: Ket qua h6i quy 10 mr6c Chau A cua m6 hlnh gia thiet 1 theo m6 hlnh cua David Hauner 2006. Bang 4.3: Ket qua h6i quy 10 nu6c Chau A m6 hlnh gia thiet 2 theo m6 hlnh cua David Hauner 2006. Bang 4.4: Ket qua phan tich theo chi~u d9c cua nh6m PUBLIC cao: bien d(>c l~p PUBY. Bang 4.5: Ket qua phan tfch theo chi~u d9c cua nh6m PUBLIC thap: bien d(>c l~p PUBY. Bang 4.6: Ket qua phan tfch theo chi~u ngang: bien d(>c l~p PUBY. Bang 4.7: Ket qua phan tich theo chi~u d9c cua nh6m PUBLIC cao: bien d(>c l~p PUBLIC. " I Bang 4.8: Ket qua phan tfch theo chi~u d9c cua nh6m PUBLIC thap: bien d(>c l~p PUBLIC. Bang 4.9: Ket qua phan tfch theo chi~u ngang: bien d(>c l~p PUBLIC. lfmh 4.2: Ty tr<;mg tn1ng thau huy d¢ng tnii phieu Chfnh phu trong quy 112013. Hinh 4.3: LIQUID (phan tram ciia cung ti~n (M2) tren GDP). lfmh 4.4: BANK (phan tram t6ng tfn d1;1ng n¢i d!a tren GDP). Hinh 4.5:PRIVATE(phan tram t6ng tfn d1;1ng n¢i d!a khu Vl;l'c tu nhfm tren GDP). Hinh 4.6:T6ng quat mo hinh. Hinh 5.1: Ty tn;mg lai tnii phieu I t6ng thu nh~p Hii ciia cac ngfm hang thuang m<;ri Vi~tNam . • • . ; • 1 TOM TAT Chinh sach tai kh6a la cac chinh sach cua chfnh phil nhfim tac dQng len djnh huang thong qua nhiing thay d6i trong chi va thu ngful sach cila phat trien cila nen kinh t€ chinh phil. Ba cong Cl,l chinh cila chfnh sach tai kh6a la chi tieu cila chinh phil, h¢ th6ng thu€ va tin dl,lng cong. Ml,IC tieu nghien CUu cila lu~ van la nham xac djnh anh huang cila tin dl,lng cong
n
2011) vm mo hinh REM (Panel EGLS- Cross section random effects) va FEM
(Panel Least Squares -cross section fixed). Tren ca sa d6, lu~ van nghien cilu fmh
huang cila chinh sach tai khoa rna Cl,l the la Sl;f vay ffiUQ'Il cila chinh phil (tin d1,1ng
cong trong nucrc) vm phat trien tai chinh a Vi¢t Nam. Vi¢c nghien CUu nay giup cho
chinh phil c6 chinh sach tai kh6a dung dan trong vi¢c phat trien th! truang tru chinh Vi¢t N am hi¢n nay . • Lu~ van sir dl,lng du li¢u tU nam 1996 d€n 2011 cila 10 nucrc Chau A c6 tinh hinh tai chinh, muc thu nh~p tuang duang nhau dugc chia thanh 2 nh6m: kinh t€, • Nh6m c6 h¢ s6 PUBLIC (tin d1,1ng cong I t6ng tin d1,1ng n
Indonesia, Philipine, Georgia, Kyrgyz. • Nh6m c6 h¢ s6 PUBLIC (tin d1,1ng cong I t6ng tin d1,1ng n
Nam, Lao, Malaysia, Mong C6, Trung Qu6c, Thai Lan. co 2 gia thi€t: • Tin d1,1ng cong trong nuac se h6 trg cho sv phat trien tai chinh bang each t~o thanh khoan trong nucrc (t~o tru san an toan). • Tin d1,1ng cong trong nucrc se kiem ham sv phat trien tru chfnh do tin d1,1ng cong lao at tin dl,lng tu nhful . • 2 t Tac d<)ng cung chi~u ciia tin dt,mg cong trong nuac den phat trien tai chinh a nh6m
PUBLIC thffp nha vao vi¢c tang tai san an toan, t~o thanh khoan cho n~n kinh te. D6i vm cac qu6c gia c6 PUBLIC thap (Vi¢t Nam, Lao, Malaysia, Mong C6, Trung Qu6c, Thai Lan), tin dt,mg cong trong nuac giup phat trien th! truemg tai chinh trong giai do~ khiing hoeing hi¢n nay. Lu~ van chua phat hi¢n ra hi¢n tugng tin dt;1ng cong trong nuac k.i~m ham Sl! phat trien tai chinh d6i vm nh6m PUBLIC thap nhu
Vi¢t Nam. Tuy nhien, khong lo~i trir vi¢c tin dt;1ng cong lffn at tin dt;1ng tu nhan a Vi¢tNam. l Tac d<;>ng nguqc chi~u ciia tin dt;1ng cong trong nuac den phat trien tru chinh do Ian
at tin dt;1ng tu nhan chi xay ra a nh6m c6 PUBLIC (tin dt;1ng cong/t6ng tin dt;1ng n<;>i d!a) cao. Th! truemg trai phieu nam 2012 da c6 buac phat trien ffn tugng, d~c bi¢t 13 th! truemg trai phieu chinh phu. Khong chi gop phful binh 6n th! truemg tru chinh, Sl! rna r<)ng quy mo ciia th! truemg trai phieu chinh phii con giup tang thanh khoan cho th! truemg • nq, h6 trq cho cong tac di~u hanh ngan sach nha nuac. c 3 •• CHUONG 1: GIOI THJ:tU CHUNG " 1.1 Ly do chQn de tai:
Ngan hang Phat Tri~n Chau A (ADB) vira cong bo c~p nh~t bao cao theo doi trai
phi€u Chau A. T~i bao cao nay, Vi~t Nam ti€p h;lc duqc danh gia la quoc gia c6 toe d¢ tang truang ciia th! truang trai phi€u chinh phii cao, so vm cimg ky nam ngmii vm toed¢ tang truang la 64,6%, d~t gia tq 29 ty USD do vi~c da:y m~h phat hanh tin phi€u kho b~c, trai phi€u ngan hang trung uang va trai phi€u ciia cac doanh nghi~p
thu¢c sa hiiu nha nuac. Nguqc 1~, th! truang trai phi€u cong ty t~i Vi~t Nam da
giam 47,2% xuong con 1 tY USD. .. Toe d¢ buy d¢ng ciia trai phi€u chinh phii tang m~ nhu v~y Ia do tang truang tin
dt;1ng ti€p h;lc duy trl a muc thap, dAu ra 1~ th~h ch~t n~n ngu6n von hAu h€t chuy~n
vao trai phi€u. ~n c~h d6, kinh t€ vi mo l~i co tin hi~u tot nhung titm a:n rui ro,
cinh huang khiing hming tir kinh t€ th€ gim con cao n~n nha dAu tu co xu huang tim
nhihlg nai tru a:n an toan . Sau cu¢c khiing hoeing tai chinh 2008, chinh phii nhi~u nuac tr~n th€ gim co chinh sach giam nq nuac ngoai, tang nq cong doi vm cac ngan hang trong nuac. HQ tin rang nq cong trong nuac se it riii ro han doi vm nq nuac ngoai. Trong hoi canh tinh hlnh kinh t€ tai chinh Vi~t Nam hi¢n nay, cac ngan hang thuang
m~ 6 ~t dAu tu vao trai phi€u chinh phii d~ chat luqng bang can doi k€ toan a muc
an toan. Oic ngan hang gAll day d6 m~ ti~n mua trai phi€u chinh phii dang lam day l~n nhihlg lo ng~i v~ cinh huang d€n sv phat tri~n tai chinh trong nuac. Xuat phat tit thvc t€ do, t6i Iva chQn d~ tai "Chinh sach Tai Khoa Va Phat Tri~n Tai Chinh" d~ nghi~n cau vi~c cinh huang ciia tin dt;1ng c6ng trong nuac den phat tri~n tai chinh. 1.2 M~;~c tieu nghien cliu: Ml;IC ti~u nghi~n CUu chinh ciia lu~ van la tim hi~u anh huang ciia tin dl;lng c6ng
trong nuac d€n sv phat tri~n tai chinh cua 1 o quoc gia Chau A dang phat tri~n, co • 4 muc thu nh~p trung binh. Tu d6 lu~n van nit ra k€t qua nghien CUu vi~c anh hubng
cua tfn dt,mg cong trong nuac d€n S\T phat tritSn tai chfnh a Vi~t N am. 1.3 Doi tuqng nghien CUu va ph~m vi nghien cUu: ./ D6i tu<;mg nghien CUu cua lu~ van la tin dt,mg cong trong nuac va Sl,T phat
tritSn tru chfnh cua 10 qu6c gia Chau A: Vi~t N am, Lao, Malaysia, Mong C6,
Trung Qu6c, Thai Lan, Indonesia, Philipine, Georgia, Kyrgyz . ./ Phe;tm vi nghien cilu Ia giai doe;tn tu nam 1996 d€n 2011. 1.4 Cau hoi nghien ctffi: ./ Li~u vi~c gia tang trai phi€u trong ngan hang, ciing nhu phat tritSn tfn dt,mg
cong trong nuac qua Ian c6 anh hubng d€n SlJ phat tritSn tai chinh hay khong? ./ Tfn dt,mg cong trong nuac qua Ian c6 lam Hfu at tfn dl;lng tu nhan hay khong? l.ST6ng quan cac nc)i dung chinh cua lu~n van: Quan ly tfn dl;lng cong Ia m{Jt phful quan tn.mg trong chfnh sach tai kh6a cua m{Jt qu6c gia. Nq cong nhu th€ nao dtS h6 trq SlJ phat tritSn tai chinh. Lu~ van khiing d!nh rang "d6i vm qu6c gia c6 ty 1~ tfn dl;lng cong tren t6ng tin dl;lng n{Ji d!a thap nhu Vi~t Nam, vi~c gia tang tfn dl;lng cong se h6 trq phat tritSn tai chinh bang each cung cap tai san an toan". Khi tin dl;lng cong phat tritSn qua muc, se dAn d€n cac ngan hang luon uu tien cho vay linh VlJC cong. K€t qua thubng Ia h~ th6ng tai chinh b! phan khuc thanb cac nh6m di vay duqc uu dai, thubng la chinh phu, doanh nghi~p nha nuac c6 duqc tfn
dl;lng chfnh thuc vm Hii suat thap; de;ti da s6 bu(Jc phai di vay a tbi trubng tai chinh
phi chinh thuc vm Hii suat rat cao. N6 ll,Tc cung cap v6n re cho cong nghi¢p h6a va
cac dlJ an ca sa he;t tang da te;to ra van de mm, nghiem tr<,mg nhat la lam cho doanh
nghi~p vila va nho khong th~ ti€p c~ tfn dl;lng. Vi v~y tin dl;lng cong qua cao se Ian at tfn dt,mg tU nhan, lam kiem ham S\T phat tritSn tai chinh CUa mqt qu6c gia. 5 1.6 Cau true cua lm~n van Lu~n van duqc chia lam 5 chuang: Chuang 1: Gi& thi¢u chung v~ ly do chQn d~ tai; m1;1c tieu nghien cffii; doi tuqng, ph<;1m vi nghien cffii; cau hoi nghien cffii; t6ng quan cac n
cua lu~ van. Chuang 2: Trinh bay t6ng quat cac nghien cUu th1Jc nghi¢m tru6c day v~ chinh sach tai kh6a va phat trien tai chinh. Chuang 3: Trinh bay du li¢u nghien cUu, m6 hlnh nghien CUu va phuang phap nghien cffii. Chuang 4: Trinh bay n
Chuang 5: K€t lu~ . • • 6 CHlfONG 2: TONG QUAN CAC NGIDEN CUu TRUOC DAY vE TAC
DQNG ciJA cHiNH sA.cH TAl KH6A DEN PHAT TRIEN TAl cHiNH 2.1 Michael Kumhof and Evan Tanner (2005) Government Debt: A Key Role In Financial Intermediation: Ole ngan hang trong nucrc c6 nq chfnh phil thay th€ cho vay tu nhan duqc danh gia
Ia c6 hi¢u qua. Nhat Ut a cac nucrc dang phat tri~n, cho vay tu nhan se rui ro nhi~u
han SO Vffi n , Nban m~ trong bai vi€t nay 1a SlJ hi~U bi€t, nhiing suy nghi cila cac nha ho~ch
djnh chinh sach, d~c bi¢t 1a a cac nucrc dang phat tri~n, bfmg each trlnh bay m<)t s6
dii 1i¢u thich hqp. Do cac ngan hang danh gia cao nq chinh phil va d6ng thm phiii
d6i m~t v& riii ro cao han nhi~u trong cho vay khu VlJC tu nhan do ca sa h~ tang
phap 1y va th~ ch€ y€u kern, giii nq chinh phil nhu m<)t khoan dau tu an toan cho cac ngan hang 1a rat quan trQng d~ h6 trq cac trung gian tru chfnh chua dil m~. N6 " ciing rat quan trQng d~ h6 trq ciii thi¢n cac trung gian tru chfnh, di tit cac ngan hang va huang t& thi truang chilng khoan.
se rat c6 1¢ d~ ti€p h;lc phat tri~n 1y thuy€t v~ chinh sach tai kh6a t6i uu trong b6i canh cila nhiing 1~p 1u~ nay' vi di~u nay se nang cao tinh hiiu dl;}ng cila n6 d~ phan tich chfnh sach tai kh6a duqc ap dl;}ng. 2.2 David Hauner (2006): Fiscial Policy And Financial Development: Hauner (2006) xem xet cac tac d<)ng cila vay cila khu VlJC c6ng tit h¢ th6ng ngan hang trong nucrc d6i v& phat tri~n tru chinh t~ 73 qu6c gia thu nh~p trung binh. Hauner cho rang trong cac nghi~n CUu truac d6 t~p trung vao cac y€u t6 quy€t dinh phat tri~n tru chinh, n6 cho thay rang muc thu nh~p c6 iinh huang cling chi~u, trong khi 1~ phat c6 iinh huang nguqc chi~u d€n phat tri~n tru chinh. Th~m vao d6, thu nh~p, 1~m phat va 1ai suat (chi ra cac chi phi giao dich cila cac trung gian tai chfnh), duqc bao g6m trong m6 hinh ki~m soat cac bi€n. 7 Tin d1;1ng ngan hang cho khu VlJc c6ng tren GDP iinh huemg cung chieu den phat tri~n tru chinh bang each cung dip tai san an toan. Tuy nhien, neu lo:;ri trir kha nang tang thanh khoan CUa n6 sang m¢t ben, tin d1;1ng ngan hang cho khu VlJC c6ng trong t6ng tin d1;1ng ngttn hang iinh huemg ngugc chieu den phat tri~n tai chinh. - Anh huemg cung chieu cua tin dl;lng ngan hang cho khu VlJC c6ng tren GDP
(PUBY) d6i vm phat tri~n tru chinh a nh6m PUBLIC (tin d1;1ng c6ng I t6ng tin
d1;1ng) thap Ian han a nh6m PUBLIC cao. - Anh huemg ngugc chieu cua tin dl;lng ngan hang cho khu VlJC c6ng tren t6ng tin d1;1ng n¢i d!a (PUBLIC) d6i vm t6ng th~ va a nh6m PUBLIC cao. Bang 2.1: iinh huemg cua tin d1;1ng c6ng trong nuac den phat tri~n tru chinh theo nghien ct!u cua David Hauner (2006) "Fiscial Policy And Financial Development": LIQUID BANK PRIVATE T6ng PUBLIC PUBLIC T6ng PUBLIC PUBLIC T6ng PUBLIC PUBLIC th~ th~ th~ cao cao cao tMp thffp tMp PUBY (+) (+) (+) (+) (+) (+) (+) (+) - (-) (-) PUBLIC - - - - - - - Ghi chu: Vi¢t Nam trong nghien ct!u tren thu¢c nh6m nuac c6 PUBLIC thap. ( +) tac d¢ng duang (-) tac d¢ng tim - : chua th~t Sl! tac d¢ng. Hauner (2006) cho thay rang neu lien tl;IC vay Ian cua khu VlJC c6ng tir ngan hang
trong nuac c6 th~ xay ra tac d¢ng ngugc chieu dang k~ cho phat tri~n tru chinh.
Hauner cho rang tin d1;1ng cua khu VlJC c6ng qua Ian c6 th~ tang lgi nhu~ cho cac
ngtin hang nhung hi¢u qua thap han. Ket qua la chat lugng cua phat tri~n tru chinh 8 se giam xu6ng va thi truOn.g tai chfnh se hi t6n h<;ti ve lau dai, VI cac ngan hang mu6n cho vay khu Vlfc cong tuang d6i c6 1¢ nhu(ln nhung khong hi~u qua va cu6i cimg thi truOn.g ngan hang se khong phat tri~n. 2.3 R.A Rathanasiri; T.C Wijesinghe (2012) Government Fiscal Operation And Financial Deepening in Sri Lanka: ~~~~~~~~w~~~~~~~~~
tai chfnh, d~c bi¢t nghien cUll vao cac ngan hang thuang m<;ti a Sri Lanka. Phan tfch cac nghien cUll su d1;1ng phuang phap tie'p c~n nghien cUll suy lu~n; ke't hqp d6ng tfch hqp va phuang phap quan h¢ nhan qua Granger d~ tim m6i lien h¢ giii'a chfnh sach tai kh6a va phat tri~n tai chinh. Nghien CUu rut ra ke't lu~, tin dl;lng ngan hang thuang m<;ti cho khu Vl!C cong va chi tieu chinh phii c6 tac da tiem nang n6i len tir "tin d1;1ng cong Ian at tin d1;1ng tu nhan" inh huang de'n trung gian tai chfnh. Ke't qua nay dugc xac nh~ bbi cac nghien CUu thl!C nghi¢m tru6'c d6 va n6 cung ctlp being chling ve phuang di¢n tin dl;lng cong cung ctlp "tai sin an toan" cho phat tri~n tai chfnh. 2.4 Ket lu*n chuang 2: D\!a VaO m{) h'inh nghien CUu Va cac ke't qua nghien CUll tfUOC day, CaC tac gia deu SU d1;1ng bie'n "tin d1;1ng c6ng trong nu6'c I GDP" d~ danh gia tac d()ng ciia tin d1;1ng c6ng d6i V6'i phat tri~n tru chfnh. Gic nghien CUu trU6'c day deu khfutg diflh "tin d1;1ng c6ng trong nu6'c I GDP" c6 tac d
thuang m<;ti trong nu6'c se g6p phtin thuc d~y Sl! phat tri~n ciia thi tru Rieng David Hauner 2006, ke't qua nghien cUll ciia 6ng th~ hi¢n rAng: "ng c6ng (th~ hi¢n being chi s6 "tin d1;1ng c6ng trong nu6'c I t6ng tin d1;1ng") qua cao se dfin de'n kiem ham phat tri~n tai chfnh th6ng qua vi¢c tin d1;1ng c6ng Ian at tin d1;1ng tu nhan . • 9 CHUONG 3: DU LJ::E:U, PHUONG PIIAP, MO HINH NGHIEN CUu. 3.1 Du li~u nghien ctlu: • Du li~u nghien cliu Ut s6 li~u duqc thu th~p ti.r N gan H~mg Phat Tri~n Cha.u A
(Asian Development Bank) va Ngan Hang Th€ Gi& (World Bank) cua cac
qu6c gia Chau A ti.r nam 1996 d€n nam 2011. • Sau khi thu th~p du li~u, tac gia da bo cac mau quan sat khong du s6 li~u ho~c khong phu hqp. K€t qua cu6i cung cua du li~u bao g6m cac qu6c gia: Indonesia, Philipine, Georgia, Kyrgyz, Vi~t Nam, Lao, Malaysia, Mong C6, Trung Qu6c, Thai Lan tit nam 1996 d€n nam 2011. • Chuang trinh Eviews 6 duqc sir dt..mg d~ ch~y mo hlnh phan tich. Ch~y thu nghi~m va chQn ra mo hinh phu hqp nhfit, sau d6 so sanh, t6ng k€t va nit ra k€t lu~. 3.2 Mo hlnh nghien ctlu: .. D1;Ia vao mo hinh h6i quy cua David Hauner nam 2006 v(ri nghien CUu "Fiscal Policy And Financial Development": tac gia da giru thich ro rang tac d~ng cung chieu cua tin dt;~ng cong trong nuac d€n phat tri~n tru chinh nhu tru san an toan cho thi truemg tru chinh cua m~t qu6c gia. Tac gia sir dl}ng phuang phap OLS v& s6 li~u trung binh ti.rng qu6c gia tit nam 1980 d€n nam 2003 cho 73 qu6c gia dang phat tri~n trong d6 c6 Vi~t Nam. D6i vm lu~ van, do vi~c thu th~p du li~u cua cac qu6c gia con kha h~ ch€, nen
lu~ van sir dl}ng du li~u tit nam 1996 d€n 2011 cua 1 o nuac Chau A co tinh hlnh kinh t€, tru chlnh, muc thu nh~p tuang duang nhau duqc chia thanh 2 nh6m: • Nh6m c6 h¢ s6 PUBLIC (tin dl}ng cong I t6ng tin dl}ng) cao: Indonesia, Philipine, Georgia, Kyrgyz. 10 • Nh6m c6 h¢ s6 PUBLIC (tin dl;lng cong I t6ng tin dl;lng) th~p: Vi¢t Nam, Lao, Malaysia, Mong C6, Trung Qu6c, Thai Lan. Su dl;lng h6i quy dii li¢u bang trong 16 nam ( 1996 - 2011) cua 2 nh6m qu6c gia tren vm mo hinh REM (panel EGLS- Cross section random effects) va FEM (panel least squares- cross section fixed). Trong bai lu~ van, toi su dl;lng chi s6 v~ tai kh6a c6 m6i quan h¢ vm StJ phat tri~n cua thi truemg tai chinh trong nucrc nhu bi€n d(>c l~p: ../ PUBY: Philn tram tin dl;lng cong n(>i d!a tren GDP . ../ PUBLIC: Philn tram tin d1;1ng cong n(>i d!a tren t6ng tin dl;lng. Ba thuoc do d~ do luang phat tri~n tai chinh 13. cac bien phl;l thu(>c: ../ LIQUID: philn tram cua cung ti~n (M2) tren GDP . ../ BANK: philn tram t6ng tin dl;lng n(>i dia tren GDP . ../ PRIVATE: philn tram t6ng tin dl;lng n(>i d!a khu VtJc tu nhful tren GDP. Cllc bi€n nay CO SlJ lien quan ch~t che: ../ BANK (philn tram t6ng tin dl;lng n(>i d!a tren GDP) thuemg lien quan den tai san: duqc chia lam PUBY va PRIVATE . ../ V 6i tY 1¢ PUBY I BANK 13. bien PUBLIC. Lu~ van khong tranh hi~ v~ muc d(> nh~t diflh nao cua phat tri~n tai chinh khi€n cho tin dl;lng cong lful at tin dl;lng tu nhful. Thay vao d6 la cfiu hoi: "n€u chinh phu vay tlr cac ngful hang trong nUOC lien tl;lC Va nhi~u, CO iinh hUCmg th€ nao d€n SlJ phat tri~n cua th.i truemg tai chinh ?". Dfiy gi6ng nhu la xem xet tam quan tr<;mg cua tin dl;lng cong nhu m(>t d~c di~m v~ c~u true v6n cua nganh ngful hang, rna tin dl;lng cong c6 th~ gfiy iinh huemg len phat tri~n tai chinh trong dai hl;Ul. 11 Oic h6i quy da bi€n bao g6m cac bi€n kiem soat duqc xac d!nh trong lu~n van nhu y€u t6 quy€t dinh quan tr~mg CUa phat tri~n tai chfnh (ky VQng dau trong ngo~C d<111): ./ Logarit cua thu nh~p INCOME ( + ), vi Sl,I giau c6 cua m(>t qu6c gia luon luon Ia y€u t6 dl,I bao m~nh nhat cua muc d
./ L~m phat trung binh h~mg nam INFLATION (-), bbi vi 1~ phat la y€u t6 thu hai dl,I bao phat trien tai chfnh . • ./ Uii suat trung binh MARGIN(?) bbi vi n6 d~ di¢n cho cac chi phi giao dich cua cac trung gian tai chinh, trong h¢ th6ng ngan hang t1,I do h6a, MARGIN cao la do c~ tranh thap va dugc dl,I ki€n se gAy h~i cho Sl,I phat trien tai chinh, tuy nhien, n€u m(>t qu6c gia c6 MARGIN thap dum muc c~ tranh, va sau d6 MARGIN cao h<111 se c6 tac d(>ng h6 trg phat trien tai chinh. Hai gia thi€t duqc d~t ra. Bang 3.1 va 3.2 cho thay cac bi€n lien quan va cac k)' v<;mg dau dugc the hi¢n bbi ~- ./ Trong khi PUBY (tin dt,mg cong trong nuac 1 GDP) la bi€n day du h<111 de thu nghi¢m gia thi€t rang "tfn dl.Jng cong trong nuac se h6 trg cho phat trien tai chinh bang each t~o thanh khoan trong nuoc (safe asset)" . ./ PUBLIC (tfn d1;1ng cong trong nuac I t6ng tin d1;1ng n(>i dia) la thich hgp h<111 de thu nghi¢m gia thi€t cho rang "vi¢c cung cap tai san an toan, thanh khoan sang m(>t ben, tfn d1;1ng cong trong nuac se ki~m ham phat trien tai chinh". 12 Bang 3.1: gia thi€t 1 trong mo hinh cua David Hauner 2006: y PUBY B Gia thiet Tin dl;lng cong n(>i d!a se h6 trq cho phat LIQUID PUBY + trien tru chinh bang each t~o thanh khoan BANK PUBY + trong nu&c (t~o ta.i san an toan) PRIVATE PUBY ? Mo hinh nhu sau: Y = a+ PI * PUBY + P2 *INCOME + P3 *INFLATION + P4 * MARGIN + E. Trong d6: bi€n phl;l thu(>c Y Ian luqt the hi~n ca.c thu&c do phat trien tru chinh: LIQUID: phan tram cua cung ti6n (M2) tren GDP . • BANK: phan tram t6ng tin dl;lng n(>i d!a tren GDP. PRIVATE: phan tram t6ng tin dl;lng n(>i d!a khu vvc tu nhful tren GDP. Bang 3.2: gia thi€t 2 trong mo hinh cua David Hauner 2006: y Gia thi€t PUBLIC ~ Tin dl;lng cong trong nu&c se ki6m ham LIQUID PUBLIC - phat trien tai chinh BANK PUBLIC - PRIVATE PUBLIC - Mo hinh nhu sau: Y = a + PI * PUBLIC + P2 * INCOME + P3 * INFLATION + P4 * MARGIN + E. 13 Trong d6: bien phl;l thUQC y Hill luqt the hi~n ca.c thucrc do phat trien tai chfnh: • LIQUID: philn tram cua cung ti~n (M2) tren GDP. BANK: phttn tram t6ng tin dl;lng m)i d!a tren GDP. PRIVATE: phttn tram t6ng tin dl;lng n
.. Nguon du Ii~u cua cac bien trong mo hlnh Bang 3.3 ngu6n du li~u cac bien theo mO hinh cua David Hauner 2006: Ngu6n N
Ten bien phttn tram cua cung ti~n (M2) Asian Development Bank (ADB). LIQUID Key Indicators for Asia and the tren GDP. Pacific 2012. www.adb.orgLstatistics. phttn tram t6ng tin dl;lng n
BANK Key Indicators for Asia and the tren GDP Pacific 2012. www.adb.org/statistics. phttn tram t6ng tin dl;lng n
PRIVATE Key Indicators for Asia and the khu Vl!C tu nhful tren GDP Pacific 2012. www .adb.org/statistics. PUBY Phttn tram tin dl;lng cOng n
Key Indicators for Asia and the d!a tren GDP Pacific 2012. www .adb.orgLstatistics . - ------------------------------------------------------------- 14 Ngu6n Ten bien N
Phfin tram tin dt:mg c6ng n
PUBLIC Key Indicators for Asia and the dja tren t6ng tin dt;1ng Pacific 2012. www .adb.org/statistics. .. LOG (thu nh~p binh quan dfiu World bank. Chi s6: GNI per INCOME ngum (USD)) capita, Atlas method (current US$) httQ:LLdata. worldbank.orgLindicator INFLATION Ty 1~ 1~ phat hang nam (theo World Bank. Chi s6: Inflation, consumer pnces (annual %) gia tieu dung). http://data.worldbank.org/indicator Uii su~t cho vay ngan hl;lll World Bank. Chi s6: Interest rate MARGIN trung binh trir cho lai su~t ti~n spread (lending rate minus deposit rate,%) gm trung binh. http://data.worldbank.org/indicator 3.3 Phuan.g phap nghien ciiu: 3.3.1 H6i quy du li~u bang: ../ Si':r dt;1ng h6i quy dfr li~u bang trong 16 nam ( 1996 -- 2011) cua 2 nh6m qu6c gia tren vm m6 hinh REM (Panel EGLS -- Cross section random effects) va FEM (Panel Least Squares-- cross section fixed) . ../ H6i quy du li~u bang: c~u true du li~u bang duqc ket hgp ti:r 2 thanh philn: thanh phfin dfr li~u cheo (cross -section) va thanh phfin dfr 1i~u theo chu6i thai gian (time series). Vi~c ket hgp 2 locp dfr li~u c6 nhi~u 1¢ the va thu~ lqi trong phful tfch, d~c bi~t khi mu6n quan Sat, phful tfch Sl;f bien d¢ng CUa 15 cac nh6m d6i tU phful tich Slf khac bi~t gifi'a cac nh6m d6i tU li~u bang: cful bang. Dau tien, cac van de trong h6i quy dfi' li~u bang trong phful tfch ca ban thuOn.g c6 cac mo hinh chinh sau: POOL, FEM, REM. Mo hinh POOL thvc chat la mo hinh OLS binh thuOn.g. N~u nhu mo hinh POOL thtfc Sl! phu hqp v& dfi' li~u han 2 mo hinh sau thi vi~c chung ta sir d1:1ng phful
tfch bang mo hinh FEM, REM khong con nhieu y nghla. Dieu d6 dan d~n truOn.g hqp luc nay chung ta chi can xem xet mo hinh OLS cho dfi' li~u c6 duqc va thl;Tc hi~n cac kiem diflh binh thuOn.g (8 gia diflh OLS). 3.3.2 Sir d~;~ng kiem djnh Hausman test de kiem djnh tinh thich h mo hinh REM va FEM: m1:1c dich so sanh tinh thich hqp cua mo hinh REM ho~c FEM. V&giadiflh: o Ho: dung mo hinh REM thich hqp han. o H1: dung mo hinh REM khong thfch hqp => dung mo hinh FEM thfch hqp han. Tac gia dung P-value trong kiem diflh Hausman test n~u: o P-value ~ a (a: muc y ngh'ia th6ng ke. ThuOn.g sir d1:1ng la 1%, 5%, 10% ): chap nh~ Ho: dung mo hinh REM . o P-value < a (a: muc y ngh'ia th6ng ke. ThuOn.g si':r d1:1ng Ia 1%, 5%, 10%): bac bo Ho: dung mo hinh FEM. 16 • CHU'ONG 4: N(>I DUNG VA KET QUA NGHIEN Ciru 4.1 T6ng quan ve chinh sach tili khoa va thuac do phat trien tai chinh: 4.1.1 Chinh sach tai khoa: Chinh sach tru kh6a la cac chinh sach ciia chinh phii nharn tac d<;>ng len dpm huang phat tri~n ciia n6n kinh te th6ng qua nhiing thay d6i trong chi tieu chinh phii va thue kh6a. Ba c6ng Cl;l chinh ciia chinh sach tai kh6a Ia chi tieu ciia chinh phii, h¢ th6ng thue va tin d1;1ng c6ng. Nhiing thay d6i v6 rnuc d<;> va thanh phan ciia thue, chi tieu, tin d1;1ng c6ng ciia chinh phii c6 th~ anh hubng den cac bien s6 sau trong n6n kinh te: T6ng cau va rnuc d(;> ho~t d(;>ng kinh te Ki~u phan b6 ngu6n h:fc Phan ph6i thu nh~p .. Chinh sach tru kh6a lien quan den tac d(;>ng t6ng th~ ciia ngan sach d6i vm ho~t d<;>ng kinh te. C6 cac lo~ chinh sach tru kh6a di~n hinh la can bang, rna r<;>ng, va thu hyp. Chinh sach can bang ngan sach khi d6 G = T (G: chi tieu chinh phii, T: thu nh~p tu thue). Chi tieu ciia chinh phii hoan toan duqc cung dip do ngu6n thu tU thue va nhin chung ket qua c6 anh hubng trung tinh len rnuc d<;> ciia cac ho~t d
Chinh sach rna r n
th6ng qua chi tieu chinh phii tang cuang ho~c giam bat ngu6n thu tu thue
ho~c ket h Chinh sach thu hyp (G < T) Ia chinh sach trong d6 chi tieu ciia chinh phii it di
th6ng qua vi¢c tang thu tU thue ho~c giam chi tieu ho~c ket h 17 cac cong Cl;l cila chinh sach tai kh6a thucrng dU phil va tin dl;lngcong. Trong bru lu~n van, toi chi nghien CUu phfin tin dl;lng cong, Cl;l th~ la tin dl;lng cong trong nuoc. Tin dl;lng cong: Khi chi tieu cila chinh phil Ian han muc thu€ thu duqc, Chinh phil phai vay nq tit trong nuoc va ngoru nuoc d~ trang tnli philn tham hl;lt ngan sach hinh thanb nq chinh phil va gqi la tin dl;lng cong. Tin dl;lng cong duqc thJ!c hi~n bmg nhi~u hinh thuc khac nhau: cong tnii, tin phi€u, trai phi€u tnii phi€u qu6c t€, chinh phil. Luc d~u tin d1;1ng cong chi duqc dung d~ bu d~p b('>i chi ngan sach. Theo da phat tri~n cila kinh t€, Tin d1;1ng cong da tra thanb chinh sach tru kh6a quan trqng di~u ti€t quan h~ cung c~u ti~n t~ va di~u ti€t m6i quan h~ tru chinh vm ti~n t~ -tin d1;1ng. Chinh Sllch tru khoa g~n V chinh phil c6 th~ di~u hanb duqc hai h~ th6ng chinh sach Ian: m('>t m~t, tin dl;lng cong c6 th~ lam nhy bat h~u qua l;;tm phat do b¢i chi ngan sach; vi~c buy d('>ng v6n tu tin dl;lng cong d~ bu d~p b('>i chi ngan sach so vm bu d~p bmg phat hanh ti~n. c6 anh huang nho han t gia tang kha nang linh ho;;tt di~u ti€t vi~c cung 11ng ti~n t~ cila ngan hang trung uang. 18 .. Th! truang tnii phi€u chinh phii a Vi~t Nam phat trien nhanh chong the hi~n qua chi
s6 trai phi€u chinh phii I GDP nhu sau: .. MM
2002 Jun
2003 Jun
2006 Dec
2010 Mar
2012 Dec
2000 5ep
2004 5ep
2009 Mar
2007 Dec
2005 Jun
2013 Dale • Govt • Corp l • H'mh 4.1: Chi s6 trai phi€u chinh phii I GDP •I : Trai phi€u chinh phii: • F Trai phi€u doanh nghi~p (bao g6m d. doanh nghi~p nha nuoc) "Ngu6n: Asian Development Bank- Asian Bonds Online" [7] Tu nam 2000 trai phi€u chinh phii I GDP chi a muc 0,3% sau 10 nam tang len 13,5 % nam 2010, va tang nhanh nh~t la trong nhilng nam gfut day (nam 2012 la 17%; quy 1 2013 la 19,8 %). 19 • Hi¢n t<;ti lu<;mg tnii phie'u chinh phil do cac ngan hang nam giu, chi c6 1 phfin nho Ia do t6 chuc khac. • Ngan hang thuong
~trongnuac • Cong ty chting khoan
Tb chtie tm chinh •Ngan himg nuac
ngoai ffinh 4.2: Ty tr<;mg tning thau huy d(>ng tnii phie'u chinh phil trong quy 1/2013. Dcrn vj tinh: Phan tram • "Ngu6n: http://kinhdoanh.vnexpress.net, thu nam, 11/04/2013" [2] Xu huang nay c6 th~ giai thich la do kinh te' Vi¢t Nam con kh6 khan sau khilng hoang, cac doanh nghi¢p, ca nhan khong c6 nhu cau vay v6n d~ san xuilt. Dan de'n dau ra cila ngan hang giam, lu<;mg ti6n huy d(>ng tang nhung cho vay giam, d~ giam lu<;mg v6n t6n dQng, trai phie'u la kenh dau tu giup ngan hang giam v6n nhan r6i va giam 16 trong thai gian khong cho vay duqc. Nghien CUu v6 thuac do pha.t tri~n thl chinh cila David Hauner (2006). Tac gia xem xet m6i quan h¢ chinh sach tai kh6a va phat tri~n tai chinh vm ba thu6c do phat tri~n thl chinh cho 73 nu6c trong giai dol;lfi 2001 - 2003: 20 LIQUID: ti 1¢ giua nq thanh khoan v6i GDP. Nq thanh khoan (Liquid liabilities) Ia • thuac do khai quat ciia cung tien (M3) bao g6m, tien m~t, tai khoan ngan hang va
tai khoan a cac t6 chuc tai chinh phi ngan hang. Khi s6 1i¢u M3 kh6ng c6 san thi tac
gia sir· d1,mg thuac do M2 hyp hon trong d6 kh6ng tinh den tai khoan tien gbi ngoc;ti
t¢ c6 ky hc;tn, c6 phfin trong cac quy dAu tu va thuong phieu (nq doanh nghi¢p ngan hc;tn). BANK: ty 1¢ t6ng tin dl)ng n¢i d!a tren GDP PRIVATE: ti 1¢ cac khoan tin dl)ng cho khu V1Jc tu nhan trong t6ng tin dl)ng n¢i dia tren GDP, do 1uemg phc;tm vi tin dl)ng duqc chuyen den khu V1Jc tu nhan. cac bang chting duqc kiem nghi¢m cho th~y phat trien thl chinh, duqc do bang cac
chi s6 nhu: ty 1¢ ciia cac khoan nq c6 tinh thanh khoan tren GDP (LIQUID), tY 1¢ tin
dl)ng ngan hang tren GDP (BANK) c6 anh huang cung chieu den phat trien thl chinh. 21 160 120 80 0~~--.--.--.--.--.--.--.-.--.--.-~------~
1996 2000 2006 2008 2004 2010 1998 2002 - - INDONESIA - - PHILIPINE --MALAYSIA
--CHINA --THAILAND --VIETNAM lfinh 4.3: LIQUID (phrut tram cua cung ti~n (M2) tr~n GDP) "Ngu6n: Key Indicators for Asia and the Pacific. (2012), Asian Development Bank (ADB) v&:i Sl! tfnh toan cua h<;>c vi~n thl;Ic hi¢n lu~ van" [8] 22 160 140 120 I • I 100 I 80 I ~ I 60 I 40 I I 0+-~~--~~~--~~~--~~~--~~~~
1996 2004 2006 2002 2010 1998 2000 2008 --INDONESIA - - PHILIPINE --MALAYSIA
--THAILAND
--CHINA VIElNAM IDnh 4.4: BANK (phlin tram t6ng tin dl;lng n
"Ngu6n: Key Indicators for Asia and the Pacific. (2012), Asian Development Bank (ADB) vm Sl;f tinh toan cua hQc vien thl;lc hi¢n lu~n van" [8] 23 160 120 80 40 04-~--~~--~~--~----.--.--.--.--.--.--.-~
1996 1998 2006 2004 2008 2000 2010 2002 - - - INDONESIA - - PHILIPINE ---MALAYSIA
- - CHINA --THAILAND --VIETNAM H'mh 4.5: PRIVATE (philn tram t6ng tin dl;lng n~i dja khu vvc tu nhan tren GDP) "Ngu6n: Key Indicators for Asia and the Pacific. (2012), Asian Development Bank (ADB) vm SlJ tinh toan cua hQC vien thl;TC hi~n lu~ van" [8] Sii dl;lng chi s6 tin dl;lng tu nhan /GDP d~ so sanh v~ phat tri~n tru chinh cua Vi~t Nam, c6 th~ thfiy thj truemg tru chinh cua Vi~t Nam da duqc cai thi~n nhanh chong, tir 8,85% nam 1996; len 35% GDP nam 2000; 90%GDP nam 2008 va 125% nam 2010. Nam 2011 c6 SlJ Sl;lt giam 13,35% so vm nam 2010. D6i vm 2 chi tieu con l<;ri
la M2/GDP va t6ng tin dl;lng n~i dja I GDP cling c6 xu huang tang tuoog duoog vm tin dl;lng tu nhan /GDP. 24 4.2 Nghien cou thl!c nghi~m: Mo hinh theo nghien cou ciia David Hauner (2006) Fiscial Policy And Financial Development Theo David Hauner 2006, lu~ van sl.r dt;~ng 2 bien dQc l~p de chi tfn d~ng cong trong mo hinh Ut: ./ PUBY: Ph~n tram tfn d~ng cong trong nuac tren GDP . ./ PUBLIC: Ph~n tran tin dt.mg cong trong nuoc tren t6ng tfn dt,mg n<)i d!a. H6i quy da bien lm lugt cho tlrn.g mo hlnh vm tlrn.g gia thiet. 4.2.1 Hai gia thiet ciia mo hinh: • Gia thiet 1: Tfn dt,mg cong trong nu&c h6 trq cho phat trien tai chinh bang each t~o
thanh khoan trong nuac (t~o tai san an toan). Su d1,mg bien d<)c l~p do luOn.g tfn dl;lng
cong Ut: PUBY • Y = a + PI * PUBY + P2 * INCOME+ P3 *INFLATION + P4 * MARGIN + E. Gia thiet 2: Tfn dl;lng cong trong mrac se kiem ham phat trien tai chlnh. Su dl;lng
bien d<)c l~p do luOn.g tfn dl;lng cong Ia: PUBLIC Y = a + PI * PUBLIC + P2 * INCOME + P3 * INFLATION + P4 * MARGIN + E. Trong d6 bien phl;l thu<)c Y cua 2 mo hinh !fin lugt the hi¢n: LIQUID: phan tram cua cung tien (M2) tren GDP. - BANK: phm tram t6ng tin dl;lng trong nuac tren GDP. - PRIVATE: ph~n tram t6ng tfn dl;lng n<)i d!a khu Vl!C tu nhan tren GDP. Bien dQc I~p: - PUBY: phan tram tin dl;lng cong trong nuac tren GDP. 25 PUBLIC: phffn tram tin dt,mg c6ng trong nuac tren t6ng tin d1;1ng - INCOME: LOG (thu nh~p binh quan dau ngum (USD)). - IFLATION: t)' I¢ l<;rm phat hang nam (theo gia tieu dung). - MARGIN: Hii sufit cho vay ngiin h<~m trung binh trir cho lai sufit tien gCri. trung binh. , Bien dc?c l~p tM hi~n
chfnh sach tai kh6a:
PUBY
PUBLIC Bien dc?c l~p th~ hi~n cac
chi s6vi m6:
INCOME
INFLATION
MAR(JTN • Dugc do luang Mng:
LIQUID
BANK
PRIVATE • Hinh 4.6: T6ng quat m6 hinh 26 Bang 4.1: Hai gia thiet vm .kY v<;mg trong ket qua h6i quy theo mo hinh ciia David Hauner 2006 nhu sau: y Gia thiet Bien d¢c l~p B (tin dl;lng cong trong nuoc) Tin dl;lng cong trong nuoc se h6 trg LIQUID PUBY + cho phat trien tai chinh bang each t~o BANK PUBY + thanh khoiin trong nuoc ( t~o tai siin ? PRIVA1E PUBY an to~m). Tin dl;lng cong trong nu&c se ki6m LIQUID PUBLIC - ham phat trien tai chinh. BANK PUBLIC - • PRIVA1E PUBLIC - " .. 27 !- 4.2.2 Ket qua hoi quy 10 nuac Chao A Bang 4.2: ket qua h6i 10 nuac Chau A- m6 hinh gia thiet 1 theo m6 hinh David Hauner 2006 LIQUID PRIVATE I I ! i PUBY i
I_::Q:_Q_Q¥2_Q ___ I 1.444495*** 0.126245 I 1.269574** 1 ~ -0.32303** I 1.036548**
, _______________ _
! I
i .. (0.15) r-------rl------------- -3.992535 I (0.30)
! 9.832271 * I 68.05421 ***
,·--------------------·-------·--r (0.13) !------------iQ:.~U-
137.4075*** 111.05086** l 107.0331 ***
1·-·------·-------------·--------·- (6.53) (6.40) f-------+' (0.53) !
I
(30.75) I (4.94) I 0.079199 0.127158 I 0.032615 (5.64) I
I::Q~;.;;..Qi~] 0.091459 (0.11) (0.13) 1 (12.32)
[Q~~86~--~~=
(0.11) , ________________ (Q:.!?.1 I INFLATION
~-------__,;!--------------!Q:_Q~_)_~--
MARGIN -0.4883*** -0.205914 1-1.1765*** I -1.1296*** I - - - - - - · - - - I ~-----------·---------~ I (0.18) (0.13) L_ __________ !Q:I~t (0.44) I (0.09)
I -0.4558*** i -0.8669***
i_ _____________ (Q:_l§1_1
(0.28) • i -124.192*** 51.0296** -351.999*** 19.544952 (22.66) (20.89) (96.45) 1 It o.864872 o.91846o 1-251.115***
(16.80) r·:=~==~;~:~~1:
l__g_:_2QZ?_n _____ _ I o.665125 17.908301
[::~~:~~;:~Q>--r
i __ Q:_~~-~~§~ ____ ! 0.642215
' 0.847981 0.890897 0.642422 0.626488 c
I
1 R-Squared
Adjusted R-
Squared Prob (F-statistic) 0.840906
-------·---------·-
0.000000 0.000000 1
;
i 0.000000 1
!
! 0.000000 . 0.000000 0.509392
r··------·-----·----·-
I
! 0.000000 Muc y nghia *** 1% ; ** 5%; * 10%. ( .... ) la Std. Error BIEN PHl) THU(>C
BANK BIEN D(>C V,.P 28 • Bang 4.3: ket qua h6i quylO nuac Chau A- m<> hinh gia thiet 2 theo m<> hinh David
Hauner 2006 BIEN PHlJ THUQC
BANK PRIVATE - ~ - - i public cao i oublic thfro I public cao I public thfip " I PUBLIC -0.09441 * 0.105589 -0.34176*** 0.019893 LIQUID
'
l-0.1888*** LQ:_Q_~Q:!-2§. __________ (0.06) (0.04) (0.06) I f---------+-~(0=.04~)~1---------------JQ:_Q~_L .. -6.452134 INCOME (0.05
i 73.05278*** 27.80309
41.35423*** 33.86960*** 36.74670***
. . -----·-------------·-------·+-=-.:...:.=..::.=..::.::.__~:..:=.....:.=:__-+-=-==-=-=-::..-+=-.::.:..:...-=-:..::___ I (16.78)_1 (9.87) 01.39) i i f--------+--l.:<4:..:.::...:.93) J------··----·-------Q.:ID...
I INFLATION 0.018029 0.075414 0.132463 (9.8~
I ! QJ..Q02~7_ ______ -0.005117 I 0.136118 f
i
(0.07) ; (0.12) (0.09) (0.12) I
i
(0.13) ;
; 1-------+----"-----'--'-i: ·-----·-----·------·,
I MARGIN -0.37054*** -0.551392 I l
(0.19) 1 (0.43) (0.13) (0.43) (0.09)
-0.27693** !---::Q:~?.-~-~~} ______ 1 -0.4639** I -0.416329
I
(0.32) I I
(0.13) I • 1- -61.87091 * -35.78479 1 i
i !
i !
! (31.93) (35.18) ( 31.70) I (51.81) I 0.895638 0.924371 0.950184 0.892475 0.900246 0.923454 0.884716 0.883790 0.887777 R-Sguared
AdjustedR-
Squared 0.000000 0.000000 0.000000 Prob (F-statistic) 0.000000 0.881223
i 0.000000 1 c-------+-6-0.-404.......,_02---'-+!--=-!.±Q~;~-~-!:::: ___ ... / -38.96541 -~-48.31258
(15.80) ! ___________ (~~:J.~1!
I o.570387
~-~:~-~~~~-;--·------
1~---·-------·-----------... -------·
I o.oooooo Muc y nghia *** 1%; ** 5%; * 10%. ( .... ) Ut Std. Error J 29 4.2.2.1 Giai thich ket qua ciia 2 bien d«)c l~p do luimg tin d~:~ng cong: PUBY~ PUBLIC. Gia thiet 1: Tin d~:~ng cong trong nu(tc se h6 trg cho phat tri~n tid chinh b~ng each t~o thanh khoan trong nuoc (t~o tili san an toim). Bien d«)c l~p PUBY Bang 4.4: K€t qua phan tich theo chi~u dQc cua nh6m PUBLIC cao: bi€n d¢c l~p PUBY BIENDQCL!P BIEN PHl) THUQC
y
BANK
public cao LIQUID
public cao PRNATE
public cao X PUBY -0.323034** i 0.126245 1-0.004420
i (0.13) ·---·----··--·----··-·--··----·------···------·------·L _______ (O.Q.L,__ __ , ____ _,_(O: 15) • Muc y nghia *** 1% ; ** 5%; * 10%. ( .... ) Ia Std. Error • t6 khac kh6ng d6i, PUBY tang 1% thi: PRIVATE Nh6m PUBLIC cao: Khi cac y€u giam 0,323% vm muc y nghia 5%. Trong khi d6,PUBY kh6ng th~t SJ! tac d¢ng d€n LIQUID va BANK. Di~u nay cho th~y tin dl;lng c6ng ki~m ham phat tri~n tai chinh, "l~n at" tin dl;lng tu nhan, do PRIVATE duqc tfnh bang "tfn dl;lng tu nhan I t6ng tin dl;lllg". K€t qua chua chllng minh duqc tin dl;lng c6ng tac d¢ng cung chi~u d€n phat
tri~n tai chinh bang each cung c~p tai siin an toan a nh6m nuac c6 "ty 1¢ tin dl;lng
c6ng cao tr~n t6ng tfnh dl;lng". K€t qua chua phu hqp vm nghi~n CUu cua David Hauner 2006 vm nhiing ly do sau: - Du li¢u cua David Hauner PUBY duqc l~y trung binh tir nam 1980 d€n 2003, trong khi lu~ van l~y s6 tUng nam tit 1996 d€n 2011. - Nh6m c6 h¢ s6 PUBLIC (tin dl;lng c6ng I t6ng tin dl;lng) cao trong nghi~n cllu cua David Hauner 2006 la nhiing nuac c6 PUBLIC tr~n 25,5%; trong • - - - - - - 30 khi 1u~ van c6 nh6m PUBLIC cao Ia tren 31%. D6i v6i nh6m PUBLIC cao cua lu~n van thi tac d(mg nguqc chi~u cua tin dt,mg cong de'n phat trien tai chinh cang ro rang han. Bang 4.5: Ket quii phan tich theo chi~u dqc cua nh6m PUBLIC th~p: bien d
PUBY BIEN PHV THUQC
y BIEN DQC L~
X LIQUID
public th~p BANK
public th~p PRIVATE
public th~p PUBY I 1.269574** i 1.036548** i 1.444495*** f-.-=--=::.=-:=------·····················-···-···················-·········+:--- - - · - - - - - - -+ - - - - - - - - i ____________________ L ____________________ ...(Q:_?_ol__;_l _ __ _ _,(0_._53-'-) _,__i --------'<'--0._41--'-') Muc y nghia *** 1%; ** 5%; * 10% . • ( .... ) 1a Std. Error " Nh6m PUBLIC th~p: Khi cac yeu t6 khac khong d6i, PUBY tang 1% thi: LIQUID
tang 1,44% v6i muc y nghia 1 %; BANK tang 1,26% v6i muc y nghia 5%.
PRIVATE tang 1,03% v6i muc y nghia 5%. Di~u nay cho th~y tac dl)ng cung chi~u cua tin dl;lng cong den phat trien thl chinh thong qua vi¢c cung c~p thl san an toan d6i v6i nh6m c6 PUBLIC th~p. Tuy nhien, theo ket quii tren chung ta th~y rang h¢
s6 tac dl)ng cung chi~u Hm 1uqt cua PUBY den LIQUID, BANK, PRIVATE giiim
dan, nghia 1a tin dl;lng cong tac dl)ng cung chi~u den phat trien thl chinh btmg each t~o thl san an toan, t~o thanh khoan (LIQUID) cao nh~t Ia 1,44%; tac dl)ng cung chi~u cua tin dl;lng cong giiim dan khi tinh den yeu t6 tin dl;lng tu nhan (PRIVATE)
1a 1,03%. ChUng minh duqc hi¢n tuqng tin dl;lng cong "1~n at" tin dl;lllg tu nhan a
nh6m nuac PUBLIC th~p nhu Vi¢t Nam, nhung chua den muc ki~m ham phat trien thl chinh. Di~u nay phil hqp v6i giii thiet cua David Hauner 2006. 31 t Bang 4.6 K€t qua phan tich theo chi~u ngang: bi€n dQc: l~p PUBY BIEN PHV THU(>C
y LIQUID BANK PRIVATE public I public I I cao cao public th~p BIEND(>CL~P
X public th~p public cao
! i i i ' ! PUBY ·············--··--························! (0.41) (0.13) I (0.13) I public th~p
i -0.004420 ! 1.444495*** ! 0.126245 ! 1.269574** I -0.32303** ! 1.036548**
(0.30)_l ____ j0.15) I __ (0.5~) I Muc y ngh'ia *** 1% ; ** 5%; * 10%. ( .... ) Ia Std. Error Nhin chung tfn dl;Jng cong tac d(>ng cung chi~u d€n phat trien Uti chfnh d6i vm thuac
do Ia LIQUID va BANK. Tac d(>ng cung chi~u nay a nh6m PUBLIC thfip. D6i vm PRIV A 1E, tin dl;Jng cong tac d(>ng ngu<;tc chi~u len phat trien tru chinh cua nh6m c6 • PUBLIC cao, va cung chi~u d6i vm nh6m PUBLIC thfip. Tfn dl;Jng h6 tr<;1 cho phat trien tai chfnh bang each t<;~.o ra tru san an toan. Tuy nhien,
n€u tfn dl;lng cong qua cao (dAn ch\lng a nh6m PUBLIC cao), tfn dl;Jng cong se ki~m
ham phat trien tru chfnh" Gia thiet 2: Tin d~;~ng cong trong nuac se kiem ham phat tri~n tili chinh do lan at tin d~;~ng tu nhan. Bien d9c l~p PUBLIC: Bang 4.7: k€t qua phan tich theo chi~u d<,>c cua nh6m PUBLIC cao: bi€n d(>c l~p PUBLIC BIEN PHV THU(>C
y public cao BANK
public cao LIQUID
public cao BIEND(>CL~
X I
1-0.094416* -0.188822*** PUBLIC PRIVATE
I
I -0.341765*** 0.041 0.041 '
'
0.05 i -·--------·----------- 32 Muc y nghia *** 1% ; ** 5%; * 10%. ' ( .... ) Hi Std. Error t6 khac khong d6i, PUBLIC tang 1% thi: LIQUID
Nh6m PUBLIC cao: Khi c'k y€u
giam 0,19% vm muc y nghia 1 %; BANK giam 0.09% vm muc y nghia 10%;
PRIVATE giam 0,34% vm muc y nghia 1%. Dieu nay cho thay tac d<)ng nguqc chieu cua PUBLIC len cac chi tieu do luemg phat tri6n thl chinh, dille bi¢t la tin d1;1ng tu nhan) vm muc giam cao nhat 0,34%. K€t qua PRIVATE (c6 tinh d€n phu hqp vm gia thi€t 2 cua David Hauner "tin d1;1ng cong trong nuac se kiem ham
phat tri6n tai chinh do Ian at tin d1;1ng tu nhan". Bang 4.8: k€t qua phan tich theo chieu d<;>c cua nh6m PUBLIC thap: bi€n d<)c l~p PUBLIC: BIEN PHV THUQC
y
BANK
public thAp LIQUID
public thAp PRIVATE
public thAp BIEN BQC L~P
X j PUBLIC ! 0.105589 I o.o19893 j (0.06) !
(0.05) ! I o.o60496
! -------------------- Muc y nghia *** 1%; ** 5%; * 10%. ( .... ) la Std. Error Nh6m PUBLIC thap: Khi cac y€u t6 khac khong d6i, PUBLIC (tin d1;1ng cong I t6ng tin d1;1ng) chua thvc slJ tac d<)ng d€n phat tri6n thl chinh. Dieu nay cho thay tin d1;1ng cong chua th~t tac d
PUBLIC. K€t qua hoan toan dung vm nghien cilu cua David Hauner 2006. 33 Bang 4.9: k€t qua phful tich theo chi6u ngang: bi€n d()c I~p PUBLIC: BIEN PHV THUQC
y LIQUID BANK PRIVATE I public I thAp public cao I public
th~p BrENDQCL~
X public cao I PUBLIC public cao
! -0.1888*** ---·--------------·-------·-------------·-------·'-· _ 1 public
I
th~p
I o.o60496 I ___ ~Q:Q~-¥.~ ______ 1 o.1 o5589 I -0.3417***
i g_:~g~~2-~---
___,_(0_.0-=--4'-L._) ....._I __ _:,_:(O...:.C:.o-"-'5)'-'! _____________ {Q:_Q_~---'-1 _(=0=.0=6) _ _LI __ ~(0=.04_:,)~1 _______ _(Q:_Q_§)___ Muc y nghia *** 1%; ** 5%; * 10%. ( .... ) la Std. Error Nhin chung, b nh6m PUBLIC cao, tin d1;1ng cong (PUBLIC) tac d()ng ngu<;1c chi6u d€n ca 3 chi tieu do luang phat trien tru chfnh, Ian nhat Ia chi tieu PRIVATE. Di6u nay phu h<;1P vm gia thi€t 2 cua David Hauner 2006. Cho thay hi¢n tu<;1ng tin d1;1ng cong "Ian at" tin d1;1ng tu nhful d6i v& chi tieu PRIV A 1E cang ro r¢t. D6i vm nh6m PUBLIC thap, tin d1;1ng cong (PUBLIC) vfin chua th~t Sl! tac d()ng den phat trien tru chfnh. Tuy nhien ciing khong ngot;ti trir kha nang xay ra hi¢n tu<;1ng tin d1;1ng cong "Ian at" tfn d1;1ng tu nhful. 4.2.2.2 Giid thich ket qua hoi quy cac bien dQ<: h~p con h;~i trong mo hinh: Khi cac yeu t6 khac khong d6i, INCOME nhin chung c6 tac d()ng cung chi6u den phat trien tru chinh b ca 3 chi tieu: LIQUID, BANK, PRIV A 1E vm cac h¢ s6 h6i
quy rat cao va c6 y nghla. Di~u nay dung v& nghien CUu cua David Hauner 2006 "thu nh~p binh quful d~u ngum the hi¢n muc s6ng cong dan trong qu6c gia d6. M()t qu6c gia giau c6, chat lu<;1ng cu()c s6ng cao, luon la nhfin t6 de tien doan phat trien tru chfnh cua qu6c gia d6" Khi cac yeu t6 khac khong d6i, INFLATION trong mo hinh chua thl,IC Sl! tac d()ng den cac chi tieu do luang phat trien tai chinh: LIQUID, BANK, PRIV A 1E. 34 Khi cac yeu t6 khac khong d6i, MARGIN nhin chung c6 tac d(Jng ngugc chi~u den phat tri~n tai chinh. Nguqc 1~ v& ket qua h6i quy cua David Hauner 2006. Tuy nhien, trong giii thiet cua Hauner, ong cho rang "MARGIN dt;ti di¢n cho chi phi giao d!ch cua cac trung gian tai chfnh, khi MARGIN cao sedan den tfnh ct;tnh tranh thap Va tac d(Jng ngugc chi~u den SlJ phat tri~n tru chfnh cua ffiQt qu6c gia; ngU MARGIN qua thap, dum muc ct;tnh tranh thi slJ tang len cua MARGIN se lam gop phftn phat tri~n tru chfnh". Theo dfi' li¢u nghien CUu CUa cac qu6c gia trong IDO hinh c6 MARGIN kha cao so vm cac qu6c gia tren the gim. Vi v~y, MARGIN tang len se ki~m ham phat tri~n tai chfnh. 35 D6i vm Vi¢t Nam: ./ Tin dt,mg cong trong nuac gop phan phat trien th! truang tai chinh bang each t~o tai san an toan, t~o thanh khoan cho n~n kinh t€ . ./ Chua phat hi¢n tin dt,mg cong trong nuac ki~m ham phat tri~n tru chinh. ChUn.g minh rang, PUBLIC a Vi¢t Nam th~p va khi tang tin dt,mg conga Vi¢t Nam chi c6 1¢ cho slJ phat tri~n tai chinh. Tuy nhien, ne'u tang tin dl.mg cong len m(>t muc qua cao, di~U do se "l~n at" tin dl.Jng tU nhfin, gfiy h~i cho SlJ phat tri~n tru chinh. 4.3 Ket lm)n chuang 4: Tu ke't qua cac mo hinh tren, ta th~y tac d(>ng cung chi~u va nguqc chi~u cua tin d1;1ng cong len phat tri~n tru chinh: ./ Tin dl.Jng cong trong nuac t~o ra tai san an toan, giup tang tinh thanh khoan trong th! truOng tru chinh, c6 anh huang cung chi~u de'n phat tri~n tru chinh . ./ Tin dl.Jng cong trong nuac qua cao trong dru h~ se ki~m ham SlJ phat tri~n cua th! truoog tru chinh . ./ Vi¢t Nam Ia m(>t qu6c gia c6 "tY 1¢ tin dl.Jng cong I GDP" va "tin d1;1ng cong I
t6ng tin dl.Jng" kha th~p chua den muc ki~m ham phat tri~n tru chinh. Ben
c~ d6, moi truang phap ly v~ tin d1;1ng tu nhan a Vi¢t N am chua ch~t che,
vi v~y gift nq chinh phu nhu m(>t khoan d~u tu an toan cho cac ngan hang la r~t quan tr9ng d~ h6 trq cac trung gian tru chinh chua du m~ . .. ~ tnil ./ Li¢u vi¢c gia tang trai phieu trong ngan hang, ciing nhu phat tri~n tin d1;1ng cong trong nUOC qua lao CO anh huang den SlJ phat tri~n tai chinh hay khong? ./ Tin dl.Jng cong qua lao c6 lam lful at tin d1;1ng tu nhan hay khong? Vi¢c gia tang trai phie'u chinh phu nhu hi¢n nay c6 tac d(>ng cung chi~u: giup t~o thanh khoan va tru san an toan cho n~n kinh t€ tai chinh trong thm ky anh huang cua 36 khilng hoeing tai chfnh toan cfiu. Trai phie'u con giup cho cac nga.n hang thuang m~i
thoat khoi tinh tr~g u dqng v6n cho vay. Do do, vi¢c gia tang trai phieu chfnh phil
trong thm ky hi~n nay khong nhiing chua iinh huang de'n phat tri~n tai chfnh cila
Vi~t N am, ne'u chinh phil sir dl;lng nq vay d~ kich thfch cac dl! an dfiu tu hi~u qua dieu do COn mang l~i mqt dau hi~U tfch Cl!C . • 37 CHUONG 5: KET LU!N Chung ta da chUn.g minh tren CC1 sa ly thuyet Ian thl:(c nghi¢m: "tin d\}ng cong nQi
dja h6 trg phat tri~n tru chinh bang each tang thanh khoan, cung cftp tai san an toan" cho tai chinh ciia mQt qu6c gia. Ben c~ d6, tin d\}ng cong chua thl:(c sl:( lfin at tin
d\}ng tu nhan, va chua ki~m ham phat tri~n tai chinh ciia cac qu6c gia c6 tY 1¢ phfut tram tin d\}ng cong tren t6ng tin d\}ng nQi dja thfip, d~c bi¢t Ia Vi¢t Nam. Trong thm ky khiing hoang tai chinh nhu hi¢n nay, Vi¢t Nam can phat tri~n tin d\}ng cong trong nucrc, do h~ s6 PUBLIC van con kha thfip so vro cac nucrc tren the giro. M~c khac, tang tin d\}ng cong lam tang tai san an toan trong thm ky khiing hoang. Tang tin d\}ng cong trong thm k)' hi¢n nay se bu dcip dugc phan tin d\}ng tu nhan giam, v6n ciia cac ngan hang khong b! u d(>ng, g6p phfut giam 16 cho cac ngan hang thuang ml;li. Tmh tr'P!g tang truang tin d\}ng bj ch~ ll;li mQt phan xufit phat nr sl:( e ngl;li ciia cac ngan hang khi cho vay' bCri. hQ dang phru ciing c6 ll;li tai san tren bang can d6i ke • toan, khi ng xfiu tang cao. V ~ phia khach hang, hQ cling e ngl;li vi~c vay v6n d~ thl:(c
hi~n dfiu tu mro a thm di~m nay chua chcic da dem ll;li lgi nhu~, bCri. sue cfiu trong
n~n kinh te van suy giam, hang t6n kho cao. Do d6, tin d\}ng cong nhu m(>t kenh dfiu
tu vtra an toan, vtra giam u d(>ng v6n a cac ngan hang thuang ml;li Vi~t Nam. T6c dQ tin d\}ng cong tang m~ nhu hi~n nay la do tang trubng tin d\}ng tiep t\}c
duy trl a muc thfip, dfiu ra ll;li thcit ch~t nen ngu6n v6n hau het chuy~n vao trai phieu.
Ben c~ d6, kinh te vi mo ll;li c6 tin hi~u t6t nhung ti~m an riii ro, anh huang khiing
hoang tu kinh te the giro con cao nen nha dau tu c6 xu huang tim nhiing nai trU an
an toan. Vi~c dfiu tu vao trai phieu chinh phii mang tinh an toan. Vi v~y, khoan dau tu vao
day se giu cho chftt lugng bang can d6i ke toan ciia ngan hang a muc an toan, trong b6i canh n~n kinh te van con kh6 khan va di~n bien kh6 luemg. Di~u d6 ciing c6 nghia Ia ti~n gi':ri ciia ngum dan dugc an toan . 38 Theo bao cao tai chinh cua cac ngan hang trai phi€u dong g6p tu 20%- 30 %, th~m chi cao han trong ca diu thu nh~p ni'ra dau nam 2013 cua cac ngful hang, di~u nay chlffig minh la trai phi€u da CUu van lgi nhu~n cua cac ngan hang thuang m~ Vi~t Nam. H'tnh 5.1 Ty tr<.mg lai trai phi€u I t6ng thu nh~p lai cua cac ngan hang thuang m<;ti Vi~tNam "Ngu6n: http://kinhdoanh.vnexpress.net, thu nam, 22/08/2013" [1] V m nhilng ly do tr~n, khOng can phru h<;tn ch€ vi~c ngful hang d6 ti~n vao k~nh trai phi€u chinh phu. Di~u chinh phu can lam la phat hanb trai phi€u d~ tai tr<;1 cho ngful sach, sir d~ng n(\1 vay d~ kich thich cac dt! an dau tu hi~u qua di~u d6 con mang 1~ m¢t d~u hi~u tich c1,tc. Lu~ van chi nghi~n CUu m6i quan h~ giii'a n(\1 chinh phu d6i vm cac ngful hang thuang m~ trong nuac va phat tri~n tai chinh, chua v~ d~ng mO h'tnh d~ phful tich sau han v~ c~u true, quy mO n<;1 chinh phu trong ngful hang nhu th€ nao Ia t6i uu nh~t. 39 Lu~n van chi nghien cilu nq chfnh phu d6i vm cac ngan h~mg thuong mcp trong
ll 4 •· I I f t I I • TAI LltU THAM KHAo Tai li~u tieng Vi~t: I. DTCK. (2013), "Tnli phi€u cw van 1¢ nhu~ ngftn hang", http://kinhdoanh.vnexpress.net, thu nclm, 22/08/2013. 2. Tucrng Vi. (2013), "50.000 tY d6ng tir ngftn hang d6 vao tnii phi€u Chinh phil", http://kinhdoanh.vnexpress.net, thu nam, 11/04/2013. Tai li~u tieng Anh: 3. David Hauner. (2006), "Fiscial policy and fmancial development", IMF Working Paper, No. WP/06/26, International Monetary Fund. 4. Erzen Sogut. (2008),'The determinants of financial development and private sector credits: evidence from panel data", A thesis for the degree of Master of Science in the department of Economics in Middle East Technical University. 5. Michael Kumhof, Evan Tanner. (2005),'' Government Debt: A Key Role in • Financial Intermediation", IMF Working Paper, No. WP/05/57, International Monetary Fund. 6. R.A Rathanasiri, T.C Wijesinghe. (2012), "Government fiscal operation and financial deepening in Sri Lanka", Vol.2 Issue 2, February 2012, ISSN 2249 8834, EXCEL International Journal of Multidisciplinary Management Studies, Zenith International Research & Academic Foundation (Ziraf) India. 7. Asian Development Bank- Asian Bonds Online. (2012). 8. Key Indicators for Asia and the Pacific. (2012), Asian Development Bank (ADB), www .adb.org/statistics fmancial development database (GFDD) 9. Key product series: Global fmancial development report I data/ global
I GFDD.DI.02, World bank, • http://econ. worldbank.org 10. World bank. (2012), http://data.worldbank.org/indicator • • I I I - I I -------------------------------------------------------------------------- . PHV LVC 1: KET QUA HOI QUY MO HiNH GIA THIET 1 THEO MO HiNH DAVID HAUNER 2006 Gia thi€t 1: Tin d1;1ng cong trong nucrc se h6 trg cho phat trien thl chinh bang each t~o thanh khoan trong nuac (t~o thl san an toan). Sir dl;lng bi€n dQC l~p do luang tin d1;1ng cong la: PUBY Y =a+ ~ 1 * PUBY + ~2 *INCOME+ ~3 *INFLATION+ ~4 *MARGIN+ s. Nh6m co h~ so PUBLIC (tin dt.mg cong I tting tin d~;~ng) cao: Indonesia, Philipine, Georgia, Kyrgyz. LIQUID= a+ ~~ * PUBY + ~2 * INCOME + ~3 * INFLATION+ ~4 * MARGIN+ c. Dependent Variable: LIQUID
Method: Panel Least Squares
Date: 07/23/13 Time: 21:58
Sample: 1996 2011
Periods included: 16
Cross-sections included: 4
Total panel (balanced) observations: 64 t -Statistic Variable Coefficient Std. Error Pro b. -0.004420
9.832271
0.047507
-0.455878
7.908301 0.123431
5.180176
0.087084
0.144710
16.90902 -0.035807
1.898057
0.545533
-3.150295
0.467697 0.9716
0.0628
0.5876
0.0026
0.6418 PUBY
INCOME
INFLATION
MARGIN
c Effects Specification ' I Cross-section fixed (dummy variables) • Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat 31.84313
15.31375
6.573588
6.843448
6.679899
0.491620 R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic) 0.858583
0.840906
6.108132
2089.319
-202.3548
48.57031
0.000000 BANK= a+ p, * PUBY + P2 *INCOME+ P3 *INFLATION+ P4 *MARGIN+ s. Dependent Variable: BANK
Method: Panel Least Squares
Date: 07/23/13 Time: 21:56
Sample: 1996 2011
Periods included: 16
Cross-sections included: 4
Total panel (balanced) observations: 64 Variable Coefficient Std. Error t -Statistic Pro b. 0.126245
-3.992535
0.079199
-0.488378
51.02965 0.152503
6.400289
0.107596
0.178794
20.89169 0.827820
-0.623805
0.736077
-2.731517
2.442581 0.4113
0.5353
0.4648
0.0084
0.0178 PUBY
INCOME
INFLATION
MARGIN
c Effects Specification • Cross-section fixed (dummy variables) Mean dependent var
S.D. dependent var
Akaik:e info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat 35.01563
19.35592
6.996596
7.266456
7.102907
0.676613 0.864872
0.847981
7.546811
3189.444
-215.8911
51.20296
0.000000 R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic) PRIVATE = a+ ~~ * PUBY + ~2 * INCOME + ~3 * INFLATION+ ~4 * MARGIN+ E. Dependent Variable: PRIVATE
Method: Panel EGLS (Period random effects)
Date: 07/23/13 Time: 22:02
Sample: 1996 2011
Periods included: 16
Cross-sections included: 4
Total panel (balanced) observations: 64
Swamy and Arora estimator of component variances t-Statistic Pro b. Coefficient Std. Error Variable -2.565268
2.237959
0.288609
-9.022548
0.568049 0.0129
0.0290
0.7739
0.0000
0.5722 -0.323034
11.05086
0.032615
-1.176567
9.544952 0.125926
4.937920
0.113008
0.130403
16.80304 PUBY
INCOME
INFLATION
MARGIN
c ,. Effects Specification S.D. Rho 0.000000
8.151793 0.0000
1.0000 Period random
Idiosyncratic random • Weighted Statistics 24.38578
16.19344
5532.241
0.877735 0.665125 Mean dependent var
0.642422 S.D. dependent var
9.683326 Sum squared resid
29.29632 Durbin-Watson stat
0.000000 R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic) Unweighted Statistics • 24.38578
0.877735 0.665125 Mean dependent var
5532.241 Durbin-Watson stat R-squared
Sum squared resid LIQUID = a + ~~ * PUBY + ~2 * INCOME + ~3 * INFLATION + ~4 * MARGIN + s. Dependent Variable: LIQUID
Method: Panel EGLS (Cross-section random effects)
Date: 07/23/13 Time: 20:59
Sample: 1996 2011
Periods included: 16
Cross-sections included: 6
Total panel (balanced) observations: 96
Swamy and Arora estimator of component variances t-Statistic Variable Coefficient Std. Error Pro b. • 1.444495
68.05421
0.091459
-0.866983
-124.1922 0.301051
6.534993
0.085942
0.281244
22.66248 4.798166
10.41382
1.064197
-3.082673
-5.480079 0.0000
0.0000
0.2901
0.0027
0.0000 PUBY
INCOME
INFLATION
MARGIN
c Effects Specification S.D. Rho Cross-section random
Idiosyncratic random 17.99391
12.57561 0.6718
0.3282 Weighted Statistics 14.37104
21.19856
15274.20
0.561421 0.642215 Mean dependent var
0.626488 S.D. dependent var
12.95563 Sum squared resid
40.83563 Durbin-Watson stat
0.000000 R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic) " Unweighted Statistics R-squared
Sum squared resid 0.703015 Mean dependent var
66620.45 Durbin-Watson stat 83.49771
0.128718 • BANK= a+ ~~ * PUBY + ~2 * INCOME + ~3 * INFLATION+ ~4 * MARGIN+ s. Dependent Variable: BANK
Method: Panel Least Squares
Date: 07/24/13 Time: 12:07
Sample: 1996 2011
Periods included: 16
Cross-sections included: 6
Total panel (balanced) observations: 96 Variable Coefficient Std. Error t -Statistic Pro b. 1.269574
137.4075
0.127158
-0.205914
-351.9992 0.530812
30.74765
0.131700
0.443164
96.44690 2.391758
4.468878
0.965506
-0.464645
-3.649668 0.0194
0.0000
0.3376
0.6436
0.0005 PUBY
INCOME
INFLATION
MARGIN
c Effects Specification • Cross-section fixed (dummy variables)
Period fixed (dummy variables) " 77.43822
53.44503
8.798886
9.466685
9.068821
0.272918 Mean dependent var
S.D. dependent var
Ak:aike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat 0.918460
0.890897
17.65328
22126.33
-397.3465
33.32239
0.000000 R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic) , .. PRIVATE= a+ P1 * PUBY + P2 *INCOME+ P3 *INFLATION+ P4 *MARGIN+ e. Dependent Variable: PRIVATE
Method: Panel EGLS (Cross-section random effects)
Date: 07/23/13 Time: 20:49
Sample: 1996 2011
Periods included: 16
Cross-sections included: 6
Total panel (balanced) observations: 96
Swamy and Arora estimator of component variances • t-Statistic Pro b . Variable Coefficient Std. Error 1.036548
107.0331
0.086904
-1.129657
-251.1154 0.409937
12.31721
0.129851
0.369089
39.87701 2.528556
8.689719
0.669259
-3.060662
-6.297247 0.0135
0.0000
0.5054
0.0031
0.0000 PUBY
INCOME
INFLATION
MARGIN
c Effects Specification S.D. Rho • 10.05846 0.2449 • 0.7551 17.66299 Cross-section random
Period fixed (dummy variables)
Idiosyncratic random Weighted Statistics 74.73775
27.38682
27966.09
0.287725 0.607513 Mean dependent var
0.509392 S.D. dependent var
19.18267 Sum squared resid
6.191428 Durbin-Watson stat
0.000000 R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic) Unweighted Statistics 74.73775
0.167124 0.814548 Mean dependent var
48147.25 Durbin-Watson stat R-squared
Sum squared resid \ 4.2.2.2 Ket qua h6i guy mo hinh ciia gia thiet 2: GUt thiet 2: Tin dt,mg cong trong nucrc se ki~m ham phat trien tru chinh. Sir dt.mg bien d<)c l~p do luang tin dt,mg cong Ut: PUBLIC Y = a + P1 * PUBLIC + P2 * INCOME + P3 * INFLATION + P4 * MARGIN + s. Nhom co he so PUBLIC (tin dung cong I t6ng tin dung) cao: Indonesia, Philipine, Georgia, Kyrgyz . • LIQUID= a + P1 * PUBLIC + P2 * INCOME + P3 * INFLATION + P4 * MARGIN + e. Dependent Variable: LIQUID
Method: Panel EGLS (Cross-section random effects)
Date: 07/23/13 Time: 21:01
Sample: 1996 2011
Periods included: 16
Cross-sections included: 6
Total panel (balanced) observations: 96
Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Pro b. \ 0.060496
73.05278
0.100267
-0.398857
-140.9581 0.047625
7.308170
0.093036
0.318607
28.14554 1.270252
9.996043
1.077725
-1.251876
-5.008187 0.2072
0.0000
0.2840
0.2138
0.0000 PUBLIC
INCOME
INFLATION
MARGIN
c Effects Specification S.D. Rho Cross-section random
Idiosyncratic random 37.24590
13.59792 0.8824
0.1176 Weighted Statistics 0.570387 Mean dependent var 7.589396
20.18146
16622.86
0.441283 R-squared
Adjusted R-squared 0.551503 S.D. dependent var
13.51550 Sum squared resid
S.E. of regression
30.20467 Durbin-Watson stat
F-statistic
0.000000
Prob(F-statistic) Unweighted Statistics 83.49771
0.071901 0.545208 Mean dependent var
102020.1 Durbin-Watson stat R-squared
Sum squared resid BANK= a+ ~~ * PUBLIC+ ~2 * INCOME + ~3 * INFLATION+ ~4 * MARGIN+ e. Dependent Variable: BANK
Method: Panel EGLS (Period random effects)
Date: 07/23/13 Time: 21:32
Sample: 1996 2011
Periods included: 16
Cross-sections included: 6
Total panel (balanced) observations: 96
Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Pro b. 0.105589
41.35423
0.136118
-0.416329
-48.31258 0.063865
9.836552
0.123806
0.428392
31.82672 PUBLIC
INCOME
INFLATION
MARGIN
c 1.653310
4.204139
1.099440
-0.971843
-1.517988 0.1019
0.0001
0.2746
0.3339
0.1327 Effects Specification S.D. Rho (' Cross-section fixed (dummy variables)
Period random
Idiosyncratic random 0.000000
18.08649 0.0000
1.0000 Weighted Statistics 77.43822
53.44503
28319.25
0.342825 R-squared
Adjusted R-squared
S.E. of regression
F-statistic
Prob(F-statistic) 0.895638 Mean dependent var
0.884716 S.D. dependent var
18.14645 Sum squared resid
82.00582 Durbin-Watson stat
0.000000 Unweighted Statistics l 77.43822
0.342825 R-squared
Sum squared resid 0.895638 Mean dependent var
28319.25 Durbin-Watson stat PRIV A 1E =a+ 13, * PUBLIC+ 132 * INCOME+ l33 * INFLATION+ l34 * MARGIN+ E. • Dependent Variable: PRIV A 1E
Method: Panel Least Squares
Date: 07/23/13 Time: 20:44
Sample: 1996 2011
Periods included: 16
Cross-sections included: 6
Total panel (balanced) observations: 96 t-Statistic Pro b. Variable Coefficient Std. Error 0.312699
3.750206
1.074071
-1.292110
-1.128720 0.019893
36.74670
0.132463
-0.551392
-35.78479 0.063619
9.798583
0.123328
0.426738
31.70387 0.7553
0.0003
0.2858
0.1998
0.2622 PUBLIC
INCOME
INFLATION
MARGIN
c Effects Specification l Cross-section fixed (dummy variables) 74.73775
52.27666
8.718805
8.985925
8.826780
0.300035 Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat 0.892475
0.881223
18.01668
27915.66
-408.5027
79.31283
0.000000 R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic) \ LIQUID= a+ ~~ * PUBLIC+ ~2 * INCOME + ~3 * INFLATION+ ~4 * MARGIN+ e. Dependent Variable: LIQUID
Method: Panel EGLS (Period random effects)
Date: 07/23/13 Time: 22:13
Sample: 1996 2011
Periods included: 16
Cross-sections included: 4
Total panel (balanced) observations: 64
Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Pro b. -0.188822
-6.452134
0.018029
-0.276939
60.40402 0.039226
4.951136
0.072261
0.126992
15.86951 -4.813747
-1.303162
0.249503
-2.180761
3.806294 0.0000
0.1979
0.8039
0.0334
0.0004 PUBLIC
INCOME
INFLATION
MARGIN
c Effects Specification S.D. Rho ~ Cross-section fixed (dummy variables)
Period random
Idiosyncratic random 0.000000
5.154202 0.0000
1.0000 Weighted Statistics 0.900246 Mean dependent var 31.84313
15.31375
1473.780
0.546721 R-squared
Adjusted R -squared 0.887777 S.D. dependent var
S.E. of regression
5.130059 Sum squared resid
72.19746 Durbin-Watson stat
F-statistic
0.000000
Prob(F-statistic) Unweighted Statistics •
, 0.900246 Mean dependent var
1473.780 Durbin-Watson stat 31.84313
0.546721 R-squared
Sum squared resid .. BANK= a+~~* PUBLIC+ ~2 *INCOME+ ~3 *INFLATION+ ~4 *MARGIN+ E. Dependent Variable: BANK
Method: Panel Least Squares
Date: 07/23/13 Time: 22: 10
Sample: 1996 2011
Periods included: 16
Cross-sections included: 4
Total panel (balanced) observations: 64 " Variable t -Statistic Coefficient Std. Error Pro b. -0.094416
27.80309
-0.005117
-0.463980
-38.96541 0.052002
16.78180
0.126320
0.189663
51.80940 -1.815624
1.656741
-0.040510
-2.446341
-0.752091 0.0767
0.1052
0.9679
0.0188
0.4563 PUBLIC
INCOME
INFLATION
MARGIN
c Effects Specification Cross-section fixed (dummy variables)
Period fixed (dummy variables) Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat 35.01563
19.35592
6.884957
7.660806
7.190603
0.890129 R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic) 0.924371
0.883790
6.598357
1785.071
-197.3186
22.77826
0.000000 .. I , PRIVATE= a+ P1 * PUBLIC+ P2 * INCOME+ p3 * INFLATION+ p4 * MARGIN+ s. Dependent Variable: PRIVATE
Method: Panel Least Squares
Date: 07/24/13 Time: 12:01
Sample: 1996 2011
Periods included: 16
Cross-sections included: 4
Total panel (balanced) observations: 64 Variable Coefficient Std. Error t-Statistic Pro b. -0.341765
33.86960
0.075414
-0.370542
-61.87091 0.035309
11.39469
0.085770
0.128779
35.17811 0.0000
0.0049
0.3844
0.0063
0.0861 -9.679345
2.972403
0.879255
-2.877342
-1.758790 PUBLIC
INCOME
INFLATION
MARGIN
c Effects Specification Cross-section fixed (dummy variables)
Period fixed (dummy variables) • 24.38578
16.19344
6.110662
6.886511
6.416308
0.982727 Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat 0.950184
0.923454
4.480225
822.9689
-172.5412
35.54712
0.000000 R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic) ---------------
PHl,J Ll,JC 2: PHl,J Ll,JC SO SANH CHi TIEU VE KINH TE TAl CHINH CAC QUOC GIA NGHIEN CUu TRONG LUAN VAN Log(Thu nh~p
blnh %tang
tru6n GDP Ty l~ thu nh~p
quan ddu ngucri) cua ngucri ngheo/ A
tong
thu nh~p qu6c
gia nam 2008 Qu6c gia trung blnh
tir 1996 d€n
2011 2010 2011 Mucthu
nh~p
blnh quan
ddu ngucri N€n kinh t€ %
cung
ti€n
2011 % tham h1,1t
ngan sach
nam 2011 Trung Qu6c Dang phat trien Trung blnh 3.19 5.7 10.4 9.2 13.6 -1.8 Georgia Dang phat trien Trung blnh 3.09 5.3 6.3 7.0 17.2 -2.9 Indonesia Dang phat trien Trung blnh 3.06 7.6 6.2 6.5 16.4 -1.1 Kyrgyz Dang phat trien Trung binh 2.66 6.8 -0.5 5.7 14.9 -7.6 Dang phat trien Lao Trung blnh 2.67 7.6 7.5 7.8 24.9 -2.0 Malaysia Dang phat trien Trung binh 3.70 4.5 7.2 5.1 14.6 -5.3 MongC6 Dang phat trien Trung blnh 2.93 7.1 6.4 17.3 37.0 -3.6 Philippines Dang phat trien Trung blnh 3.12 6.0 7.6 3.7 6.3 -2.0 Thai Lan Dang phat trien Trung blnh 3.42 0.1 15.2 6.7 7.8 -1.5 Vi~t Nam Trung blnh Dang phat trien 2.76 7.3 6.8 5.9 12.1 -4.0OM TAT .............................................................................................................. !
CHUONG 5: KET LU~N .................................................................................. 37
.
DANH MUC BANG
Bimg 2.1: Anh huang cua nq chfnh phil d6i v& ngan hang den phat tri~n tru chinh
.
DANHMUCHINH
Hinh 4.1: Chi so tnli phieu chinh phu 1 GDP.
10.03
4.1.2 Phat tri~n tid chinh:
..
Nhom co he so PUBLIC (tin dung cong I t6ng tin dung) thap: VietNam, Lao,
Malaysia, Mong C6. Trung Quoc. Thai Lan.
Nhom co he so PUBLIC (tin dung cong I t6ng tin dung) thap: Viet Nam. Lao.
Malaysia. Mong C6. Trung Ouoc. Thai Lan.
,
'
