Nghin Cu & Trao i

Qun l gi vng
nhn t gc kinh t v m
PGS.TS. BI KIM YN
Trng i hc Kinh t TP.HCM
ThS. NGUYN KHNH HONG
Ngn hng thng mi c phn Chu - ACB

S
bin ng kh lng ca gi vng trong thi gian va qua gy ra
nhiu tc ng tiu cc cho nn kinh t, chnh v vy vn c t ra
l phi nghin cu cc gii php gip hn ch n mc thp nht tc
ng tiu cc ca n v gp phn bnh n th trng vng VN. Ni dung nghin
cu ca bi bo ny c t di gc nhn ca nh qun l i vi th trng
vng trong nc. Thng qua vic xc nh cc nhn t tc ng n gi vng
trong nc s gip a ra c cc gii php qun l s bin ng ca gi vng
v a th trng vng i vo hot ng n nh gp phn vo s pht trin n
nh ca th trng ti chnh VN. Bi nghin cu ch yu s dng phng php
nh tnh, nh lng, thng k so snh tng hp lm r vn nghin cu.
ng thi s dng m hnh VAR kim nh tc ng ca cc nhn t n gi
vng. Phn mm c s dng chy m hnh l Eviews 6.
T kha : Ch s gi tiu dng CPI, S Giao dch Vng Quc gia SGDV,
thu gi tr gia tng VAT, m hnh vect t hi quy VAR.

1. Gii thiu h thng ti chnh ni ring v c lm pht c mi quan h cng

Ti VN, t sau giai on nm
1975 th trng vng pht trin
mnh m khng ngng v n nay
sau nhiu bin c thng trm nhng
th trng vng vn c sc ht rt
mnh m i vi cc ngun lc ca
x hi. Theo c lng ca cc t
chc trong v ngoi nc, ch vi
lng vng ang c d tr trong
dn l khong 400 tn quy ra tng
ng vi 20 t USD theo gi tr
hin ti cha tnh n cc ngun
vng khc cho thy quy m th
trng vng VN l khng nh cht
no. iu ny cho thy tim nng
ca th trng ny l rt ln, vic
khi thng ngun vn khng l
ny s gip to pht trin cho c
nn kinh t ni chung. chiu vi nhau, v lm pht c th
2. C s l thuyt v phng c s dng nh l mt ch bo
php nghin cu quan trng d bo gi vng.
T gi hi oi:
2.1. C s l thuyt
Khi gi tr ng ngoi t thay
Cc nhn t tc ng n gi
i s dn n vic gi vng c
vng
nh gi theo ngoi t thay i
Lm pht:
theo. Hin nay do USD l ng
Lm pht xt v khi nim l
tin thanh ton mang tnh ton cu
hin tng cung tin t ko di lm
nn cc hng ha, giao dch trn
cho mc gi c chung ca nn kinh
th gii ch yu c nh gi theo
t tng ln lin tc trong mt thi
ng USD trong bao gm c
gian nht nh. Xut pht t gi tr
vng. Cho nn bt c tc ng no
ni ti, vng c s dng rng
tc ng lm tng gim gi tr ng
ri nh l mt loi tin t t rt lu
USD cng lm bin ng n gi
v do c cho l c hiu qu
vng. Mt khc, vng cng l mt
phng nga lm pht v gim pht.
cng c phng nga ph bin ca
Sherman (1983) v Moore (1990)
cc t chc ln phng nga ri
kt lun rng gia gi vng v

S 19 (29) - Thng 11-12/2014 PHT TRIN & HI NHP 67

 Nghin Cu & Trao i
ro khi ng USD mt gi. Khi ng USD mt gi so : sai s ca m hnh
vi cc loi tin t cn li th vng tng gi v ngc Phn phn tch nh lng s i theo cc bc sau:
li nhng iu ny khng phi lc no cng ng v Bc 1: T s liu thu thp c tin hnh nhp liu
cn phi tnh n nhiu nhn t tc ng n gi vng vo phn mm Eview 6 x l v chy m hnh
khc. Bc 2: Kim tra tnh dng ca cc bin trong m
i vi th trng vng trong nc, gi vng trong hnh bng vic kim nh nghim n v, qua xc
nc c quy i t gi vng th gii theo cng nh tr thch hp ca m hnh
thc: Bc 3: Kim tra t tng quan trong phn d ca
Gi vng quy i (VND/lng) = Gi vng m hnh
th gii (USD/Oz) * 1.20556 * T gi USD/VND Bc 4: Kim nh quan h nhn qu gia cc bin
(Ngun: www.acb.com.vn) Bc 5: Phn tch tc ng phn ng y gia cc
Nh vy t trong cng thc ta thy c gi bin
vng v t gi c mi quan h cht ch nh th no. Bc 6: Phn tch phn r phng sai
c bit do c th VN l nc nhp khu vng l Kt lun rt ra t m hnh
chnh nn t gi USD/VND bin ng th s lm gi Gii hn cc bin nghin cu
vng trong nc bin ng theo.
Cc bin trong
Li sut: m hnh
K hiu Ngun s liu
Gia gi vng v li sut c mi quan h Gi vng trong
GIAVANGTRONGNUOC http://www.acb.com.vn/tygia/
cht ch vi nhau. Vi tn hiu gim li sut nc
ca Ngn hng Trung ng s dn n vic Gi vng th gii GIATG http://www.reuters.com/
tng cng tin cho nn kinh t ko theo h
ly s lm cho lm pht tng qua lm tng T gi bnh qun
lin ngn hng
TGLNH http://www.reuters.com/
nhu cu mua vng bo ton gi tr chng Ch s gi tiu
CPIMY http://elibrary-data.imf.org/
li lm pht nn ko theo vic gi vng cng dng M
s tng theo. Ch s gi tiu
CPIVN http://elibrary-data.imf.org/
dng VN
2.2. Phng php nghin cu
Li sut huy ng
* M hnh kim nh cc nhn t tc bnh qun LSHD http://elibrary-data.imf.org/
ng n gi vng
Bi nghin cu s dng m hnh VAR gm 6 Trong phm vi bi vit ny, do cn gp nhiu kh
bin phn tch kim nh cc nhn t tc ng n khn trong vic thu thp s liu nghin cu (cc bin
gi vng VN giai on 10 nm t thng 8.2003 n v chnh sch) cng nh phng php x l nh lng
07.2013, y l mt h phng trnh gm 6 phng (hnh vi ca nh u t) nn nghin cu ch tp trung
trnh: vo s tc ng gia cc bin kinh t nh gi vng th
k k

GIAVANGTRONGNUOC = a t 1
+b GIAVANGTRONGNUOC t i
+c GIATG t i
1i 1i
i =1 i =1
k k k k
+ d 1iTGLNH t i + e 1iCPIMY t i + f CPIVN t i
+ j LSHD t i
+ w1t
1i 1i
i =1 i =1 i =1 i =1

Trong : gii, li sut, CPI, t gi n gi vng trong nc.

k: gi tr tr
, , , , , , : ma trn h s vung ca h
phng trnh.
GIAVANGTRONGNUOC: Gi vng trong nc
GIATG: Gi vng giao ngay th gii
TGLNH: T gi USD/VN bnh qun lin ngn
hng
CPIMY: Ch s gi tiu dng CPI ca M
CPIVN: Ch s gi tiu dng ca VN
LSHD: Li sut huy ng bnh qun trong nc.
Phm vi d liu nghin cu: t thng 8/2003 n
thng 7/2013 gm 120 k mi k tng ng vi 1
thng.
* Kt qu v nh gi
Kim nh mi tng quan gia gi vng th
gii v gi vng trong nc
Nhn chung VN l nc nhp khu 95% lng vng
nguyn liu t th trng bn ngoi nn gi vng trong
nc ph thuc rt nhiu vo gi vng th gii. T s
liu thu thp c trong giai on nghin cu, ta thu

68 PHT TRIN & HI NHP S 19 (29) - Thng 11-12/2014

 Nghin Cu & Trao i
c kt qu chy thng k nh sau v tnh tng Gi thit Ho: D(CPIMY) khng c tnh dng
quan gia gi vng trong nc v gi vng th gii Ngoi sinh: Hng s
nh sau: Chiu di tr: 1 (T ng tnh da trn gi tr ca SIC,
MAXLAG=12)
Correlation GIATG GIAVANGTRONGNUOC Thng k t Prob.*
GIATG 1 0.990453753 Kim nh Augmented Dickey-Fuller -6.918109 0.0000
GIAVANGTRONGNUOC 0.990453753 1
Gi tr tra bng: Mc 1% -3.487046
C th thy mc tng quan 99.045% l rt Mc 5% -2.886290
cao v l tng quan cng chiu vi nhau. Khi gi Mc 10% -2.580046
th gii tng th gi vng trong nc cng tng theo *Phng php MacKinnon (1996)
v ngc li.
Kim nh tc ng cc nhn t n gi vng
trong nc Gi thit Ho: D(GIATG) khng c tnh dng

M hnh VAR c thc hin nh sau: Ngoi sinh: Hng s

Bc 1: T s liu thu thp c tin hnh nhp Chiu di tr: 0 (T ng tnh da trn gi tr ca SIC,
MAXLAG=12)
liu vo phn mm Eview 6 x l v chy m
hnh ta c m hnh gm 2 nhm bin: Thng k t Xc sut
Bin ni sinh: GIAVANGTRONGNUOC,
Kim nh Augmented Dickey-Fuller -13.17044 0.0000
CPIVN, LSHD, TGLNH
Gi tr tra bng: Mc 1% -3.486551
Bin ngoi sinh: GIATG, CPIMY Mc 5% -2.886074
Bc 2: Kim nh nghim n v: Mc 10% -2.579931
u tin ta phi kim tra xem cc tp s liu
theo cc bin theo chui thi gian c thu thp *Phng php MacKinnon (1996)

trong bi nghin cu c tnh dng hay cha bng

cc s dng kim nh Augmented Dickey-Fuller
Gi thit Ho: D(GIAVANGTRONGNUOC) khng c tnh dng
(ADF). Thc hin kim nh trn vi cc bin ta
Ngoi sinh: Hng s
thy tt c d liu ca cc bin u khng c tnh
Chiu di tr: 0 (T ng tnh da trn gi tr ca SIC,
dng. Nn ta xt tip n sai phn ca cc bin trn, MAXLAG=12)
ta c kt qu sau:
Thng k t Xc sut
Gi thit Ho: D(CPIVN) khng c tnh dng
Ngoi sinh: Hng s Kim nh Augmented Dickey-Fuller -10.66990 0.0000
Gi tr tra bng: Mc 1% -3.486551
Chiu di tr: 0 (T ng tnh da trn gi tr ca SIC,
MAXLAG=12) Mc 5% -2.886074
Mc 10% -2.579931
Thng k t Xc sut
Kim nh Augmented Dickey-Fuller -5.135575 0.0000 *Phng php MacKinnon (1996)

Gi tr tra bng: Mc 1% -3.486551

Mc 5% -2.886074 Gi thit Ho: D(LSHD) khng c tnh dng
Mc 10% -2.579931 Ngoi sinh: Hng s
*Phng php MacKinnon (1996) Chiu di tr: 1 (T ng tnh da trn gi tr ca SIC,
MAXLAG=12)
Ta thy gi tr tuyt i t tnh ton theo m hnh Thng k t Xc sut
l 5.135575 ln hn gi tr tuyt i tra bng l
3.486551; 2.886074; 2.579931 nn ta bc b gi Kim nh Augmented Dickey-Fuller -4.507015 0.0003

thit Ho ngha l sai phn bc 1 ca CPIVN c tnh Gi tr tra bng: Mc 1% -3.487046

dng. Tng t vi cc sai phn ca cc bin cn Mc 5% -2.886290
li ta cng c kt qu tng t. Mc 10% -2.580046
Kt qu sau khi chy m hnh cho thy hu ht *Phng php MacKinnon (1996)
cc bin u l cc chui thi gian khng dng

S 19 (29) - Thng 11-12/2014 PHT TRIN & HI NHP 69

 Nghin Cu & Trao i
Gi thit Ho: D(TGLNH) khng c tnh dng phi ph hp vi d liu. Mc d tiu ch tr
Ngoi sinh: Hng s l 8 tha mn nhiu nht nhng nu chn tr
Chiu di tr: 0 (T ng tnh da trn gi tr ca SIC, l 8 th ta phi iu chnh gim 9*4+2=38 bc t
MAXLAG=12) do trong khi nghin cu ch c 120 quan st nn
Thng k t Xc sut ta chn tr ph hp l 1.
Bc 3
Kim nh Augmented Dickey-Fuller -10.89549 0.0000
Gi tr tra bng: Mc 1% -3.486551 Kim nh t tng quan phn d ca m hnh
Gi thit Ho: khng c t tng quan trong tr
Mc 5% -2.886074
Ngy: 08/23/13 Gi: 15:37
Mc 10% -2.579931 C mu: 2003M08 2013M07
Tng hp bin quan st: 118
*Phng php MacKinnon (1996)
tr Kim nh LM Xc sut
k gc nhng u l cc chui dng sai phn bc 1 1 100.9542 0.0000
vi mc ngha l 1%. 2 20.07863 0.2167
* Xc nh tr ti u cho cc bin ca m 3 15.24902 0.5065
hnh: 4 14.88273 0.5332
5 33.10388 0.0072
Mc ch l nhm la chn c s bin tr a
6 52.65696 0.0000
vo m hnh, trnh b st cc bin gii thch quan 7 13.37506 0.6452
trng tm ra m hnh ti u nht. 8 11.49933 0.7777
Tiu ch la chn tr ti u ca m hnh l cn 9 20.07447 0.2169
10 28.32294 0.0289
c theo cc tiu ch mc nh ca m hnh, tr no
11 24.60184 0.0772
t c nhiu tiu ch th cng tt nhng phi m 12 24.89659 0.0717
bo thm iu kin v s bc t do trong m hnh
Probs from chi-square with 16 df.

Tiu chun la chn tr m hnh

Bin ni sinh: D(GIAVANGTRONGNUOC) D(CPIVN) D(LSHD) D(TGLNH)
Bin ngoi sinh: C GIATG CPIMY
Ngy: 08/23/13 Gi: 15:35
C mu: 2003M08 2013M07
Tng hp bin quan st : 111

Lag LogL LR FPE AIC SC HQ

0 -2757.883 NA 5.56e+16 49.90779 50.20072 50.02662

1 -2719.477 71.96645 3.71e+16 49.50410 50.18758* 49.78137*
2 -2706.840 22.77001 3.95e+16 49.56468 50.63873 50.00039
3 -2701.694 8.901049 4.83e+16 49.76025 51.22486 50.35440
4 -2691.494 16.90770 5.40e+16 49.86476 51.71994 50.61735
5 -2672.829 29.59564 5.20e+16 49.81674 52.06247 50.72777
6 -2639.686 50.16198 3.88e+16 49.50786 52.14416 50.57733
7 -2623.366 23.52438 3.94e+16 49.50209 52.52895 50.73000
8 -2602.241 28.92871* 3.69e+16* 49.40974* 52.82716 50.79609

* Tiu ch la chn tr ca m hnh

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion

70 PHT TRIN & HI NHP S 19 (29) - Thng 11-12/2014

 Nghin Cu & Trao i
M hnh VAR
c lng vect t hi quy Bc 3: Kim tra t tng
Ngy: 08/23/13 Gi: 15:36 quan trong phn d ca m
C mu iu chnh: 2003M10 2013M07 hnh.
Tng hp s bin quan st: 118 sau iu chnh Ho: M hnh khng c hin
Sai s chun l ( ) & gi tr thng k t l [ ] tng t tng quan trong phn
d.
D(GIAVANG
TRONGNUOC)
D(CPIVN) D(LSHD) D(TGLNH) Ta so snh cc gi tr p-value
vi 0.05
D(GIAVANG
-0.041457 1.20E-07 1.19E-07 -7.29E-06 - Nu p-value > 0.05: chp nhn
TRONGNUOC(-1))
Ho; m hnh khng c hin tng
(0.09497) (8.2E-08) (5.7E-08) (1.4E-05)
t tng quan trong phn d.
[-0.43651] [ 1.46778] [ 2.07102] [-0.52938]
- Nu p-value < 0.05: bc b
D(CPIVN(-1)) -40858.23 0.548383 0.198812 24.39374 Ho; m hnh c hin tng t
(104289.) (0.08975) (0.06299) (15.1279) tng quan trong phn d.
[-0.39178] [ 6.11026] [ 3.15634] [ 1.61250] T kt qu thu c, ta thy
nhn chung khng c mt xu th
D(LSHD(-1)) 97722.74 0.082332 0.232364 -46.23157
bin ng gi tr p-value c th r
(160620.) (0.13822) (0.09701) (23.2991)
rng ngha l v tng th m hnh
[ 0.60841] [ 0.59563] [ 2.39523] [-1.98426]
khng c s t tng quan gia
D(TGLNH(-1)) -681.4367 0.000468 -0.000143 -0.000634 cc phn d trong m hnh.
(659.803) (0.00057) (0.00040) (0.09571) Bc 4: Kim nh mi quan
[-1.03279] [ 0.82476] [-0.35799] [-0.00663] h nhn qu gia cc bin.
Nguyn tc l ta so snh ln
C 14344518 4.677452 -0.310809 -419.3957
lt cc gi tr p-value thu c
(4351911) (3.74514) (2.62846) (631.278)
vi 0.05: Nu p-value < 0.05 th
[ 3.29614] [ 1.24894] [-0.11825] [-0.66436]
bin c tc ng n bin
GIATG 2661.932 0.001093 -0.000415 -0.072099 cp, v ngc li nu p-value >
(752.433) (0.00065) (0.00045) (0.10915) 0.05 th bin khng c tc ng
[ 3.53777] [ 1.68839] [-0.91356] [-0.66057] n bin cp.
Trong trng hp bin cp
CPIMY -153045.7 -0.048409 0.003938 4.693683
l bin GIAVANGTRONGNUOC
(46327.2) (0.03987) (0.02798) (6.72012)
do cc gi tr p-value u ln
[-3.30358] [-1.21424] [ 0.14073] [ 0.69845]
hn 0.05 nn cc bin CPIVN,
R-squared 0.114746 0.438530 0.280702 0.047753 LSHD, TGLNH l khng tc
Adj. R-squared 0.066894 0.408181 0.241821 -0.003719 ng (hoc tc ng rt t) n
Sum sq. resids 1.69E+14 125.4056 61.77108 3563057. GIAVANGTRONGNUOC u
S.E. equation 1235120. 1.062911 0.745987 179.1636 ny c th gii thch l do gi vng
F-statistic 2.397956 14.44924 7.219507 0.927741 trong nc hin nay bin ng ch
Log likelihood -1818.975 -171.0260 -129.2470 -776.0460 yu l do hot ng u c cng
Akaike AIC 30.94872 3.017390 2.309272 13.27197 nh chu nh hng ca chnh sch
Schwarz SC 31.11309 3.181752 2.473634 13.43633 iu tit ca Chnh ph nn c th
Mean dependent 260423.7 1.209153 -0.025932 47.38136 tc ng ca thay i CPI, li sut
S.D. dependent 1278627. 1.381664 0.856732 178.8314 huy ng ca nn kinh t cng
nh t gi ln gi vng l khng
Determinant resid covariance (dof adj.) 2.46E+16 r rng. V trong 3 bin ny th tc
Determinant resid covariance 1.93E+16
Log likelihood -2882.064
ng ca bin t gi ln gi vng
Akaike information criterion 49.32312 trong nc c mc cao hn 2
Schwarz criterion 49.98057 bin cn li.

S 19 (29) - Thng 11-12/2014 PHT TRIN & HI NHP 71

 Nghin Cu & Trao i
Bc 4: Tng t tc ng ca 3 bin gi vng trong nc,
li sut v t gi ln ch s CPI cng khng r rng.
VAR: Kim nh Granger /Kim nh Wald Tests b bin ngoi sinh i vi bin li sut huy ng th bin gi vng
Ngy: 08/23/13 Gi: 15:37
trong nc v ch s CPI c tc ng ln li sut huy
C mu: 2003M08 2013M07
ng v khi gi vng v CPI tng ng ngha vi vic
Tng hp s quan st: 118
lm pht s tng, khi buc lng ngn hng phi
tng li sut kim ch lm pht.
Bin ph thuc: D(GIAVANGTRONGNUOC) i vi kim nh nhn t tc ng n t gi,
th trong giai on nghin cu ta thy ch c bin
Bin tc ng Chi-sq df Prob. li sut huy ng l c tc ng n t gi v khi li
D(CPIVN) 0.153492 1 0.6952 sut VND tng so vi USD, ngi dn s c khuynh
D(LSHD) 0.370164 1 0.5429 hng chuyn t s hu USD sang VND lm cho
D(TGLNH) 1.066650 1 0.3017 cu USD gim, cu VND tng hay USD s gim gi
so vi VND tc l t gi USD/VND s gim. Bin
All 1.366908 3 0.7133
GIAVANGTRONGNUOC khng tc ng n
TGLNH.
Bin ph thuc: D(CPIVN) Bc 5: Phn tch tc ng phn ng y gia cc
bin nhm xc nh cc bin trong m hnh tc ng
Bin tc ng Chi-sq df Prob. ln nhau nh th no.
Nhn vo th, ta thy bin CPIVN nhn chung
D(GIAVANGTRONGNUOC) 2.154377 1 0.1422
khng c tc ng i vi bin gi vng trong nc
D(LSHD) 0.354781 1 0.5514
D(TGLNH) 0.680226 1 0.4095

All 3.937614 3 0.2683

Bin ph thuc: D(LSHD)

Bin tc ng Chi-sq df Prob.

D(GIAVANGTRONGNUOC) 4.289121 1 0.0384

D(CPIVN) 9.962453 1 0.0016
D(TGLNH) 0.128160 1 0.7203

All 16.46947 3 0.0009

Bin ph thuc: D(TGLNH)

Bin tc ng Chi-sq df Prob.

D(GIAVANGTRONGNUOC) 0.280240 1 0.5965

D(CPIVN) 2.600170 1 0.1069
D(LSHD) 3.937302 1 0.0472

All 4.525453 3 0.2100

72 PHT TRIN & HI NHP S 19 (29) - Thng 11-12/2014

 Nghin Cu & Trao i
th hin bng ng mu xanh Phn tch phn r i vi D(GIAVANGTRONGNUOC):
nm ngang gc ta . Trong khi D(GIAVANG
K hn S.E. D(CPIVN) D(LSHD) D(TGLNH)
chiu ngc li tc ng t c TRONGNUOC)

shock bin ng gi vng i vi

1 1235120. 100.0000 0.000000 0.000000 0.000000
CPIVN l kh mnh ngay tc th,
2 1244706. 98.88783 0.009374 0.202373 0.900426
t nh chu k th 2 sau trt
3 1245252. 98.81705 0.012372 0.270900 0.899674
gim dn u v kt thc sau 8 chu
k. 4 1245285. 98.81245 0.012571 0.274221 0.900760

i vi bin LSHD th ta thy 5 1245290. 98.81176 0.012796 0.274659 0.900784

nu c c shock xy ra vi li sut 6 1245292. 98.81158 0.012931 0.274706 0.900784

th tc ng vi gi vng trong nc 7 1245292. 98.81151 0.012989 0.274713 0.900783

l tc thi nhng khng mnh v 8 1245292. 98.81149 0.013012 0.274715 0.900783

s kt thc sau 4 chu k. Ngc li 9 1245292. 98.81148 0.013020 0.274715 0.900783

n phin mnh bin ng v gi
vng s c tc ng tc th n li
sut khin li sut tng mnh chu
k th 2 sau gim dn v n
nh khi kt thc chu k th 8.
i vi c shock v t gi th
mi bin ng v t gi cng s
c tc ng tc th i vi gi
vng trong nc nhng tc ng l
ngc chiu v kh yu i vi gi GIAVANGTRONGNUOC mc
vng trong nc nhng sau tng
dn v kt thc sau 3 chu k. iu
ny c th c gii thch l do khi
chnh lch gi vng trong nc
v th gii tng cao th xut hin
tnh trng gom ngoi t nhp lu
vng t nc ngoi dn n t gi mc 0.9% l kh thp.
tng cao. Lng vng nhp lu sau
khi c gia cng s lm tng cung
vng trn th trng dn n gim
gi vng. Sau t gi khi c
iu chnh gim li v mc ban u
nhng vn cn thi gian tiu th
ht s lng vng ny nn gi vng
vn duy tr mc thp nhng thi
gian duy tr thng khng ko di
(theo nh m hnh l 3 thng).
Trong khi bin ng gi vng
trong nc tc ng tc th n t trong nc rt thp th hin tn
gi nhng gim dn v bt u n
nh chu k th 2. Nh vy tc
ng ca c shock gi vng trong
nc i vi t gi c thi gian tc iu ny c th hiu xut pht t
ng kh ngn.
10 1245292. 98.81148 0.013023 0.274715 0.900783
Bc 6: Phn tch phn r th gii do VN l nc nhp khu
phng sai trn 95% vng nguyn liu t th
Xem mt bin gii thch cho cc trng bn ngoi. Hn na vi
bin khc bao nhiu phn trm. c th chnh lch gi vng trong
T kt qu thu c ta thy: nc v th gii thng rt cao
Bin CPIVN gii thch cho bin to mi trng thun li cho hot
ng u c vng pht trin mnh
0.013% l kh thp. nn gi vng khng phn nh ng
Bin LSHD gii thch cho bin bn cht cung cu ca th trng.
GIAVANGTRONGNUOC mc Mt nguyn nhn na l do th
0.27% l kh thp. trng vng chu s kim sot cht
Bin TGLNH gii thch cho ch ca Ngn hng Nh nc nn
bin GIAVANGTRONGNUOC gi vng thng chu nh hng
mnh ca thay i v mt chnh
3. Kt qu v tho lun sch cng nh s iu tit mang
tnh cht hnh chnh ca cp qun
- M hnh VAR trnh by trn l th trng. Ba nguyn nhn k
khng c hin tng t tng quan
trn l nhn t chnh khin gi vng
gia cc phn d, m bo tnh ti VN mang tnh c th khc bit
dng ca d liu cc bin sai
vi cc th trng khc v khng
phn bc 1 vi mc ngha 1% phn nh ng i vi cc thay i
nn c ngha v mt thng k.
ca bin kinh t khc.
- M hnh ph hp vi thc t
4. Kt lun v kin ngh
ti VN l cc bin kinh t nh
ch s CPI, t gi, li sut th hin 4.1. Kt lun
vai tr ca n i vi gi vng T kt qu chy ra ca m hnh
vi phm vi d liu 10 nm (t
sut tc ng, mnh tc ng 08/2003 n 07/2013) ta thy c
cng nh mc gii thch cho rng gi vng khng phn nh y
gi vng trong nc u kh thp. nh hng ca cc bin kinh t
nh li sut, t gi, CPI. Tc ng
thc t l gi vng trong nc ca cc bin ny n gi vng l rt
ch yu ph thuc vo gi vng yu. Cc bin ng xy ra i vi

S 19 (29) - Thng 11-12/2014 PHT TRIN & HI NHP 73

 Nghin Cu & Trao i

cc bin trn tc ng n gi vng v cui cng l lm pht. iu ny ngt v t gi.

tc th nhng thi gian ko di ch
t 2-3 thng, trong khi tc ng
ca bin ng gi vng trong nc
ln cc bin ny li kh mnh v
thng ko di c khi n 8 thng.
Trong khi mt thc t l gi
vng trong nc chu nh hng
nhiu ca chnh sch qun l iu
tit t Chnh ph nn vn t ra ni chung. th trng VN, t kt
l vic qun l th trng vng ca
Chnh ph cn mm do linh hot,
chnh sch ban hnh cn nghin
cu k tc ng n th trng. tc ng ny khng xut hin kt
Cn trnh thay i chnh sch t
ngt lm gi vng bin ng tht
thng s gy tc ng mnh v
ko di nh hng n s n nh
v m ca nn kinh t. Bn cnh
vic cn lm ngay l phi gim
chnh lch gi vng trong v ngoi
nc xung mc cho php c
th hn ch tnh trng u c gy
bin ng gi vng trong thi gian
qua.
4.2. Kin ngh
4.2.1. Nhm gii php nhm
kim sot t gi
Thng qua m hnh nghin cu
i vi 3 bin kinh t k trn trong
mi quan h tc ng vi gi vng
trong nc th bin t gi c tc
ng ln nht, tip theo l li sut
c l gii mt phn l do t gi - Khng ngng ci thin nng
c dng xc nh gi vng quy lc cnh tranh cng nh mi
i trong nc t gi vng th gii trng kinh doanh ca nn kinh t
nn vai tr ca t gi l quan trng nc nh, nng cao cht lng dch
hn c. Vic kim sot t gi c v kiu hi, du lch nhm thu ht
ngha quan trng khng ch i vi nhiu hn na dng vn trc tip
vic n nh gi vng ni ring m v gin tip u t vo VN. y s
cn c ngha cho c nn kinh t l mt knh cung cp ngoi t hiu
qu cho d tr ngoi hi quc gia
qu nghin cu ta thy c s gia khi cn c ngun can thip vo
tng trong t gi c khuynh hng th trng trong giai on t gi
lm gim gi vng trong nc v bin ng bt li cho nn kinh t.
- Ngn hng Nh nc cn can
qu ngay tc th m c chu k l 3 thip th trng mt cch linh hot
thng (d l kh yu). Nhm gii iu chnh tng bc, khng nn
php n nh t gi bao gm: thay i chnh sch qu t ngt
- Tng cng hn na cng nhm hn ch tnh trng u c
tc kim tra, thanh tra, gim st n u chnh sch kim li bt
kp thi x l cc hnh vi u hp php.
c, mua bn ngoi t tri php trn - Xy dng nim tin ca ngi
th trng c bit l cc nh ch dn vo tin ng, vo s pht trin
ti chnh ngn hng cn phi minh n nh ca nn kinh t qua hn
bch hot ng kinh doanh ngoi ch thi quen tch tr ngoi t ca
hi ca n v mnh vi vai tr l ngi dn c nh vy mi gip hn
cu ni gia cung v cu ngoi t ch c tnh trng la ha gip
trong nn kinh t. n nh t gi trn th trng.
- Gim ngay chnh lch gi 4.2.2. Nhm gii php nhm
vng trong v ngoi nc trnh kim sot li sut:
hin tng gii u c tin hnh i vi mi quan h gia li
thu gom ngoi t nhp lu vng sut v gi vng m hnh nghin
kim li lm mt cn bng cung cu cho thy tc ng ca li sut
cu ngoi t gy nn bin ng t n gi vng l kh yu, cng chiu

74 PHT TRIN & HI NHP S 19 (29) - Thng 11-12/2014


v c chu k l 3 thng. Nn cn
theo di bin ng ca gi vng
trong chu k 3 thng ny nh
gi kt qu ca chnh sch v li
sut khi cn. ng thi kim sot
li sut cng c vai tr quan trng
gip n nh gi vng. Nhm gii
php nhm kim sot li sut bao
gm:
- Ngn hng Nh nc cn theo
di st sao tnh hnh li sut huy
ng, cho vay trn th trng
c chnh sch iu tit li sut linh
hot theo din bin ca h thng
ti chnh v ca c nn kinh t.
Gim st quy nh v trn li sut
huy ng VND v USD ca cc t
chc tn dng vi khch hng x
l kp thi cc trng hp vi phm.
Tin ti xy dng trn li sut cho
vay hp l kch thch sn xut
tiu dng n nh sn xut.
- Chnh sch v li sut ban
hnh khng nn t ngt m phi
linh hot tng bc trnh dn
n phn ng mnh ca th trng
v theo kt qu m hnh th bin
ng ca li sut c tc dng tc
th n gi vng.
- Tng cng hn na cht
lng hot ng ca th trng
lin ngn hng, to nim tin trong
giao dch gia cc t chc tn dng
vi nhau. Mt khi li sut trn th
trng lin ngn hng n nh s
gip cho li sut ca c nn kinh t
t bin ng t ngt hn.
4.2.3. Nhm gii php nhm
kim ch lm pht:
Tc ng ca lm pht n gi
vng trong nc t kt qu ca m
hnh nghin cu l rt yu gn nh
l bng 0. Tuy nhin trong iu
kin c nc ang thc hin chnh
sch lm pht mc tiu nh hin
nay vic kim sot lm pht khng
ch c ngha i vi s n nh
ca gi vng v c th trng vng
Nghin Cu & Trao i
m qua cn gp phn gip cho Economics and Business, Grand Valley
s pht trin n nh ca c nn State University, United States.
Erste Group Research, Gold Report 2012,
kinh t, gi vng thnh qu tng
Erste Bank, Vienna, Austria
trng ca t nc. Nhm gii Gary OCallaghan (1993), The Structure
php nhm kim ch lm pht bao And Operation Of The World Gold
gm: Market, Occational Paper, International
- Xy dng c ch li sut linh Monetary Fund, Washington DC, USA
hot theo kp vi din bin ca th Jaffe (1989), Gold and Gold Stocks as
Investments for Institutional Portfolios,
trng tin t, ng thi iu chnh
Financial Analysts Journal, CFA
hot ng tn dng tp trung vo Institute.
cc lnh vc trng im c hiu L ng Yn Ngc (2011), Php lut v
qu cao trong vic kim ch lm qun l hot ng kinh doanh vng
pht. Phi hp hot ng gia cc ming, ti tt nghip i hc, i hc
c quan ban ngnh qun l cng Lut TP.HCM.
nh ton h thng cc nh ch ti Mahdavi & Zhou (1997), Gold And
Commodity Prices As Leading
chnh m bo thanh khon tt
Indicators Of Inflation: Tests Of Long-
cho c nn kinh t. Run Relationship And Predictive
- V chnh sch ti kha: Cn Performance, Journal of Economics
ct gim u t cng mt cch and Business, The University of Texas at
c chn lc i vi nhng cng San Antonio, San Antonio, Texas USA.
trnh cha tht cn thit, gim chi Moore (1990), Gold Prices and a Leading
thng xuyn trong tng chi ngn Index of Inflation, M.E. Sharpe, USA
Nguyn Th Hng Nhung (2011), ng dng
sch ca nh nc mc ch nhm
m hnh Vect t hi quy VAR kim nh
gim cung tin ra nn kinh t, m v d bo thc trng lm pht VN,
bo b sung kp thi cho cc ngun ti nghin cu khoa hc, trng i hc
chi thit yu khc b nh hng bi Kinh t Tp H Ch Minh.
lm pht. Sherman (1983), A Gold Pricing Model,
- y mnh xut khu gim The Journal of Portfolio Management,
USA.
nhp siu, h tr sn xut nng
Srivyal Vuyyuri v Ganesh Mani (2005),
nghip, lng thc, thc phm n Gold pricing in India an Econometric
nh cung cu hng ha cho nn Analysis, Management consultants in
kinh t, n nh gi c tin ti Hyderabad India.
n nh lm pht. Thi Th Hnh Nhi (2011), M hnh d bo
- Theo di cht ch din bin th gi vng VN, Lun vn thc s kinh t,
trng ngn chn kp thi cc hot trng i hc Kinh t TP.HCM
Wei Fan, Sihai Fang v Tao Lu (2012), Gold
ng u c, lng on th trng,
Pricing Model During The Financial
thng tin khng ng s tht nhm Crisis, School of Economics and
to tm l bt n khin gi c bin Management, University of Electronic
ng gy mt n nh cho nn kinh Science and Technology of China.
tl www.bloomberg.com; cmegroup.com;
TI LIU THAM KHO
http://elibrary-data.imf.org/
www.gold.org; www.kitco.com
Baur & Lucey (2010), Is Gold a Hedge or http://www.reuters.com/; www.acb.com.vn/
a Safe Haven?An Analysis of Stocks, www.cafef.vn; www.giavang.net;
Bonds and Gold, The Financial Review, http://sbv.gov.vn/; www.sjc.com.vn
School of Business and Institute for
International Integration Studies, Trinity
College Dublin.
Blose (2010), Gold Prices, Cost Of Carry,
And Expected Inflation, Journal of
S 19 (29) - Thng 11-12/2014 PHT TRIN & HI NHP 75