Sự phá vỡ cấu trúc và tỷ giá hối đoái thực hiệu lực cân bằng tại trung quốc : Phương pháp NATREX



S V C 
HC HIU LNG
TI TRUNG QU
NATREX
2
 
 
T  th  c hiu l
s quan trng trong nn kinh t mi quc gia gn lin vi hoc
tn phi nm bt m n
ng t  i ni ngoi y nn
kinh t n d 
nhiu yu t n ch s u t ng mnh m t
u t c bi n kinh t nhi
ng dn truyn v xy ra s bit ngt dn s  c
cn ph   c

t c hiu lng ti Trung Qua Kei.
 n du t  n REER,
ng cao hay thp.
II. MU:
1. Mu c
u t c hiu lng c trong giai
n hu c-2010 b ru
t kinh t a Trung Qu
C s dng khng mu d
gia Trung Qui ln.
Cut qu  c hiu ln (NATREX)
 c hiu l xem vi cao hay thp trong

Vi nh  u c ng
m th 
Th nh      ng yu t   n t  c hiu lc
REER ca Trung Quc bng vic s dng  rnh

3
Th   Trung Quc vi
nh c cp
n.
2. Mu c
 s d rng ng cho Trung Quc
 n
u t c hiu lc ca Vit Nam k t nh
t sau:
+C v cu .
+Yu t ng REER
+D ng trong  

hay thp so vi NATREX.
IIIN:
 rng
 nh:
You & Sarantis m rc ca Stein theo nh quan
trng sau:
Th nht, hai bing hiu
d ng hiu dt ch n 
bin th hai tr ng hiu dng.
Th hai, s n ngoa Stein. Theo
 n n
nh bi yu t u hn ch n.
Th ba, vic s d p
cho Trung Qu 
 c ti
ng thi lng lot.
Th  dng s liu xp x  
yu t tng hp t n xun s  cu 
h  ng GDP thu
i hiu ch.
4
Th  nh ng ca Trung Qun mu dch th gii vn
ch mng mu di. T l mu dch ca Trung Quc
i sinh.
Th              
i vi Trung Qui ro qu
i danh m gi sai lch ca UIP.
1.2. C
1.2.1 Tiết kiệm
Tit kim bng sc (Y) cng vi thu nhp t 

tr n (gm v
 i gian (ph thun ch n (LIQC), t l ph
thuc ca tr em (DEPY), t l ph thuc c
 C( K, F; LIQC, DEPY, DEPO ) (1)

+ - + + + - -
1.2.2 Tỷ lệ mậu dịch và tỷ giá hối đoái thực
Gi nh rng nn kinh t sn xut mt lot kht lo
u dch n.  c ngot khu dch n.
R
n
biu th i cu dch (p
n
) so vt
khu (p
1
).
R
n
=




(2)
T l mu di ct khu 1 (p
1
) so vp
khu 2 (p'
2

) bng mng tin chung:
T = N x




(3)
 i t ). T i
c ca Trung Qu u chnh b:
R = N x


(4)
 s gi
T  
R = T(R
n
)
a
(5)
1.2.3 Đầu tư:
5
Tu
 c ti
I = DPI + GI + FDI (6)
 a s dng vn (c).
 dng v
c =





= T
-m





(7)

k
u sn xut thc,
khu hao, tng thu sut.
 c i sinh.
 c tip t n quan trng trong tu
a Trung Quc.
Vc s d sn xuu dt khu 1, trong khi
u sn xut bao gu dp khu 2.
I = I
2
+ I
n
= I
2
(DPI(Y(K,TFP),c), GI, FDI(RULC,RRC,F), R
n
, T)
+ I
n

(DPI(Y(K;TFP),c), GI, R
n
, T)
= ( R
n

+/- + + + + - + + - -
1.2.4.Cân bằng thị trường hàng hóa:
T l mu di sinh u king ca th 
u king th u dch:
(I  S) + CA = 0
C
n
(R
n
,K,F;LIQC,DEPO,DEPY,T) + I
n
(R
n

n
(R
n
,K;TFP) (9)
1.2.5. Tài khoản vãng lai:
i cng vi thu nhp t 
 ct khu 1 (Y
1
) tr  p
khu 2, bao gm c  dp khu (C

2

2
)
CA = Y
1
(R
n
, K; TFP)  I
2
(R
n

 C
2

1.2.6. Cân bằng danh mục đầu tư:
 Trung Qui ro quc 
ng danh m

6
+ -
 n i ro quc gia ca
Trung Quc.
1.2.7. Sự tích lũy vốn và tài sản nước ngoài:
S c cho bi:
dK/dt = I  nK, (12)
 l i cc ngot kim tr  
dF/dt =S - I - nF = CA  nF (13)
 l ng cng hiu dng.

ng trung hn:
Trong trung h vn  n s c.
Gi
n
ng th ng phi mu d
R
n
(t) = R
n
(K(t), F(t), Z(t)), (14)

u th yu t kinh t  i c
mu dch.
D ng trong trung hn
nh:
R(t) = T[R
n
(K(t), F(t), Z(t))] = R(K(t), F(t), Z(t)) (16)
Trong trung hi sinh. , bt  s i trong Z(t) s 
ng cu hong cung cu dch hoc c o ra R
n

m ng th 
1.4. S u chnh linh hot
S u ch   n bao gm nhng bi i ca v    c
 Kt hc cho s a vn:
dK/dt = J(K,F;Z), J
K
<0, J
F

>0 (17)
1

Dng danh mc v t kim (1), c
S= S(K,F;Z), S
K
>0, S
F
<0. (18)
T 
dF/dt =L(K,F;Z), L
K
>0, L
F
<0 (19)


1

7
iu kin 
K
L
F
 L
K
J
F
ng ca tng vn
ng c-J

K
>J
F
), tin v J=0 
ng cng ca v
kho-L
F
>L
K
), tin v L=0.
1.5.Trnh:
Trc khi vn v ng
s nh K
*

*
:
J(K*,F*;Z) = 0 (20)
L(K*,F*;Z) = S(K*,F*;Z)  J(K*,F*;Z) = 0 (21)
Gic trnh
K
*
= K(Z) (22)
F* = F(Z) (23)
i K
*
 u king th u dch.
i cu dch s u chn trn
nh R
*

n
 ng th u dch khi v
trnh. ng th u dch  trn
nh:
C
n
(R
n
*
,K
*
,F
*
;LIQC,DEPY,DEPO,T)+I
n
(R
n
*
,K
*
,F
*

n
(R
n
*
,K
*
;TFP) (24)

Gic biu thc ca R
*
n

dR
n
*

R
n
*
=R
n
(K(Z), F(Z);Z) = R
n
*
(Z) (25)
=> dR
n
*
=



dK* +



dF* +




dz
=>




=






+



x


+



(26)
R
*
= T(R

n
*
)
a
= R
*
(Z) (27)
u t kinh t n i ca
u dch R
n
*
s n t c R
*

. Ch  l mu di lng trc ti
ti
n
ng trc tiu trong 
m R
n
trong trung hn.
Cng ti R
n
trong trung h
ng R
n
*
n.
8
n ca t gnh:

R
*
= R
*

+ + + - - + - + +/- -

i mi quan h n cn s kinh
t, s dng ki n mi quan h n.
c khi thc hip, ta cng c
bin(  razicich (2003)) .
Kinh cm king ca tt c n 
cho thy nhng th
 dng kip
  ci sinh GH, c thc hi 

G- r
 cnh :
: 












 



t = 1, ,n (29)
: 











   



t = 1, ,n
: 












 



 





 








C u thc hin ba kinh thng 


ng Z
t
t nh c u qu


th   ti hn chun d
hng.

u  c hiu lc b
: 

















Sng bao gm s kt hp ca c n xui v
n xut, khng cnh tranh cho mi cp qu








 





9
ng mu dng khong
thi gian 3-n c-2010
S i ca khng mu dn qua ty s dng khi
ng mu d s dng khng mu dch c
nh.
i thiu ban u, vii d s
gi



















i

j
t ch s gic i (Trung Quc)
i ca Trung Quc).
 
ng d r
c yu t n REER Vit th
hiu qu n ch thanh khon (LIQC). Thm xy ra s  c
2005. ng thi qua bi  ng thc
ng Vit Nam.
N C 
D t Nam.
nh mi quan h hn giu t ng v
ving Vit Nam.


10

MC LC
Bu thut ng 12
T  12
1. TCU: 1
1.1 GII THIU: 1
1.1.1 Mu: 1
1.1.2 u: 2
1.1.3 Kt cu: 2

1.2 T 3
1.2.1  3
1.2.2  6
1.3 P LUN: 12
1.3.1  rng 12
1.3.2 c nghim : 25
1.3.3 ng t c hiu lc (REER) 27
1.3.4 Thu th  liu: 30
1.4 KT QU U: 33
1.4.1 c thc nghim: 33
1.4.2 Kt qu thc nghim t  33
1.4.3 Git qu thc nghim vi s kin thc t: 37
1.4.4 u t n t kt qu tho
lun v kt qu u: 38
1.5 KT LUN: 44
1.5.1 Kt lu u 44
1.5.2 n ngh  45
11
2 M RI VIT NAM: 47
2.1 Gii thin: 47
2.2 c hin: 47
2.2.1 Thu thp s liu: 48
2.2.2 Th liu thu th 49
2.2.3 Ch 49
2.2.4 Kt qu ch 50
2.2.5  57
U THAM KHO 1

12




T
Terms of trade

ET
Effective terms of trade index

TFP
Total factor productivity


LIQC
Liquidity Constraints

RDEPY
Relative dependency ratio of the
young

RDEPO
Relative dependency ratio of the
old


GI

Government Investor
 
EULC
Effective unit labor cost index


RRC
Relative rate of return to capital


:
NATREX (Natural Real Exchange Rate): t c t 
Equilibrium real effective exchange rate: t c hiu lc ng
Structural breaks: s  c
Chinese Renminbi (RMB)
Misalignments: s sai lch
1

1. 
1.1 GII THIU:
  vi s       tr
ngoi hi khng l,    
 Nhi
cho th b np k t nh Lc
 c trong thi gian qua? 
 trong khong thi gian va
qua.
1.1.1 Mu:
viu t c hiu lng c trong giai
n hu c-2010 b m ru

t kinh t  a Trung Qu  a
trong nhng thp k g Trung Quc i ln v kinh t. Do
 xy ra s  c c ph c
nghi dn kt luu c
dng tp d li dng kinh nghi  
s hai s  ci sinh 
    t  thc hiu lc ca Trung Qu c ly t
IMF, t  dng khng c nh d liu
mu d  n 1999-ng mu dch giai
n 1999-2001 l ph
n trong quan h i ca Trung Quc,
 dng khng mu da
Trung Qui ln.
u, h u t n ca nn kinh t Trung
Quc : t l mu dch, yu t u, hn ch thanh kho,
t yu t tng hp, thuu qung hiu qu,
i hiu chnh theo PPP, t ng GDP thi  
nh xem yu t nh quan tri vi t c hiu lng.
2

Cut qu t c hiu ln (NATREX)
t c hiu lc (REER)  xem vi cao hay thp trong
c thc hin so vi r  tin t 
a Trung Quc.
Vi nh  u c  ng
m th :
Th nh      ng yu t   n t  c hiu lc
REER ca Trung Quc bng vic s d rnh

Th   Trung Quc vi

nh c cp
n.
1.1.2 u hu:
 thc hin mu c tng v
sau:
 Mng dng yu t kinh t n ?
 c nghic s d m s  c
tip cm rng  Trung Quc?
 T c hiu lc c ng   
vi nh
 T kt qu thc nghim,nhng yu tkinh t quynh t c hiu lc 
bng ca Trung Quc ng c?
 ng N   u 
1.1.3 Kt cu:
u cm 2 phn ln: phn th nh tng quan v 
u gc ca Ke Fei is; phn th  rng.
Trong phn I  cn 4 ni dung:
Mc I : gii thiu c Sarantis.
M m qua kt qu ca m
3

Mc III: clun c
gi  d lic s d 
Mc IV :  n gu gc, v 
 ct qu c.
Vi phn th II  phn M rp s li
u vng hp Vit Nam.
1.2 T
1.2.1 n
1.2.1.1 c mua (Purchasing Power Parity)

 c            ng mi
quan h v sc mua cng tit khng ci
 cn phm ging nhau   bng
ng m tin t chung. N c
cu s dch chuy   ng.
Trong kinh t hc, vi gi nh rng mi nn kinh t u m c 
   n chuyn, t 
hng t 
c t, hai gi m bu yu t
c t  
 c mt th  n ging
h rt nhiu thc nghim cho thu kic mua

Theo PPP, nh:
REER =







i


i

i

.

1.2.1.2 Equilibrium Exchange Rate)
4

T n FEER n bi Williamson (1994),

c t c gi
i b ng yu t ngn hu t quynh
n. Vi a mt qu thc hin bng
c t n ti vi mng FEER.
V n nh ng c
  c t   n vi  nh t      ng trong
i gi ng 
mi mn t nhing h
c thc hing cng thc
s ta t  p c
  i ch   th         c  
c liu mt mn, ti hay
c chng minh.
T 
FEER
t
= a + b
1


t
+ b
2



dt
+ b
3


ft
+ u
t
 thun 

, 


d


f
)
1.2.1.3 
  m t 
bng theo    nh  ng t  c  ng ngn hn bng mt
n kinh t . ng du kit
a.
p cng trong rt nhiu g t 
ng s n gim s
t v i gii (ph
hiu ng Balassa-        i gi  t
khu / nhp kh m ca nn kinht (t trng tng kim ngch xut nhp khu trong
GDP), s t v t th 
5


BEER
t
=  
1
INT
t

2
TOT
t

3
TNT
t

4
NFA
t

5
GOVD
t
+ u
t



, ch t 

1.2.1.4 NATREX (Natural real exchange rates):
Mt d  
 
 u kin trong trung h n
ng v i t v   trng c
Nhi dng nn kinh t 
nhau trong nh     ng h    997) s dng
            

            
NATREX c s dng s 
dng NATREX  Trung Qu
Stein (1995) ch ra rp c t
t tp h ng thay th n kinh t
m ca tp ci vi
nn kinh t M t, quy
n kinh t i Mn
kinh t lng v t l mu dt th gii. Nn kinh t c
coi t nn kinh t t nn kinh
t m nh t th gii.
ng s (2002) s dp cn NATREX cho Trung
Quc bt hp bi d
 c kt qu 
ng NATREX b dng mt chui thi
p Johansen gi nh m
6

hp duy nhdng VECM, Duval (2002) thc mi quan h 

Tt c  cp  p cn NATREX

 mt quc gia b chi phi bi phi ca th gi ,
 rp cn NATREX mt qu
c gia,h xem M c gia ln.
1.2.2 
1.2.2.1 
Frankel (2006)     -      
2000. y  t 
D    -   rng     b   p khong
36% so vi  tr 2000.  p  gn gi
  M    p trong khong th   
 i trong khi th            
 nghi ng v  tin cy ca p cn PPP 

Coudert & Couharde (2005) -
. Kt qu cho thy  b p khong 41-c
i b mt s quc gia khi h
Bosworth (2004)     -      
2004. vn b p, khong 40%, cho thy mt s 
s n thi loi b  mong manh" ca

Cheung, Chinn & Fujii (2007) -
. H  li-u rt
ln (132 quc gia).H nhn th  p khong
50%.
Ch s kinh t Big Mac(2007) Ch s  
a mt chic Hamburger  Hoa K bng v qu
7

Cho thy mt s        
  so v 

a mt Big Mac  t mng  c.
1.2.2.2 
Funke & Rahn (2005)
2000.
Hchng minh mt s p RMB bng m PPP  u chnh cho
hiu ng Balassa- chuy 
 mt PEER (BEER vi c lp c thit lp t c nh). H
 a h  liu   cho c, t 1985 - 2002, 
   t s   c     li   1994-2002. H nhn
thy rng  ch b p 3%-6%  11-12% song
 so vng USD.
-
12-14%.
-  ng s (2004)        

ng t  b
ng thi t ng vi tt c i tin t ln trong G-20. Ch
ra s  so vng USD  khong
40%.

- 44%.
Coudert & Couharde (2005) 

 dng m  ng d liu bng cho hiu ng Balassa-Samuelson ti 21 th
ng mi ni   n 1980-2002. Bin ph thuc   s t   
thc so v ng      hi  ca Trung Quc  n tr s u
chnh.

18%.
8

Wang (2004)
u ca Wang (2004) bao gm mt phu t quynh ca t 
thc trong trung hn trong mu c
c b d lin 1980-2003.
n bao g m ca.
ng t  kin ch thng 5% so vi t t lun
rng tt c s .

-  ng s (2006)        

 dng d lin 1980-2004 cho 15 quc gia,
c bing ci. S nh p trong khong 31%
c s dng, trong khi s ng
so vi t n 59%.
-
-59%.
Mac Donald & Dias (2007) 

 d d i t
 p vi ba mu ct qu 
cu hi 
 di (m s ca
), t l mu dt thc

-42%.
Stolper & Fuentes (2007)
Stolper & Fuentes (2007b)
-t USD s tim cn m
bn vng theo t n ti ct k u ch s

to ra s mng ti b
n, khong 7% so vi USD.
9


 
 sung (FEER) thit k  gii quyt mt s v. Kt qu ca h cho thy s cn
thit pht s gic s 
mng.

1.2.2.3 
Jeong & Mazier (2003)
2000
H         c gia Trung Quc, Nht
Bn,  Quc, Hoa K, Euroland, i ca th gii. H  ng
ca  u hc, thu nhp, )  s 
cho  qu   nghi    ng mi ni mt   bit,   
  t  n  n    bng ca mi quc gia ca h.
 Coudert  Couharde, Jeong  Mazier        mt con
s th       bn        t chim
khong 1% n 1,5% ca GDP. T    thc hiu lc thc t i m 
bng 22% (c  l song  so vng USD c  
thng 40% (c


Coudert & Couharde (2005) 

Vi vic s dR, kt qu n mt s 
thp.H i kt qu ca h s i xu th hi
a h  

u cn thi to ra m
t  c hiu lc
 p 23% - - 54% so vi USD
-
-54%.
10

Wren-Lewis (2004)           
2003.
 dng m t   vi ma
kt qu       tr   ng,  thc hin mt phn m
rng c bit     tr c      p vi  u chnh 
b hin  rng Trung Quc  thn 
 bn bng 3,4% GDP     gim bt th  1% s cn mt s 
 song  so v 19%, trong khi loi b  b th s cn mt s 
 %.
-D.
Wang (2004)            .
c  s   n  n ca Trung Quc hi   2,1% GDP  i
 (a) th  mc       GDPh     tit kim
 u   (b) 1,0% GDP th           ng
m      i s    hoc gi   t 
hiu lc ca .
--5%).
Goldstein (2004)
 nh rng
Trung Qum m
Qung cn thit phi
u chnh 4% GDP.
-30%.


  c mt s u chnh m
a M (gim 3% GDP ca M  t
phn ca m  u ch   a Trung
Qu      gim 40% (t     n 2,5%, cho Trung
Quc).


11

Goldstein & Lardy (2006) 

H lp lun rng th
khong t n 7% GDP (trong khi kt qu thc t n 9%, phng
c cht s  t
phn  t 2,5% GDP, con s cup v
 xut trong ph
20-35%.
Anderson (2006)
u   rng s  n  a Trung Quc  
cao    b  u t     a  p nng,  thng
 theo chu k u chnh    5%   n FDI tim 
c c   GDP,  ra mt s u chnh m 6%  dng m
i   xut khu   i nhp khu  rng s
u chnh    u mt   i 18% n 25%  
thp t 15% n 20%).

-20%

Chp nhn d a Trung Qut

mc thng hic
m nhn thi gi
 to ra mo ra mt mt
1,4% GDP. Cline cho r t s  


--39%.
Goldstein & Lardy (2007) 

 Lardy (2007) nh mn thit  loi
b s p t 35 n 60%. Mt ln na ma h p c co
12

 t phm vi cho tham s  n s i t  i 
kho 2% - 3,5% GDP u chnh cho mt s i 10% t  hc.
Kt qu phm vi ng nhiu tham s th 12%  
b gi nh r n th   theo chu k   gim 
khi t 

 RMB tr v m
bng)

1.3 N:
1.3.1  u:  NATREX m rng





REER




PPP
Frankel (2006)
2000

56%
Coudert & Couharde (2005)
2003

41-50%
Wang (2004)
2003
0-5%

-5%

Bosworth (2004)
2004

67%
Cheung, Chinn & Fujii (2007)
2007

100
BIg Mac
2007

138%

BEER
Funke & Rahn (2005)
2000
3-6%
12-14%
-
2001
16%
41-44%
Coudert & Couharde (2005)
2002

18%
Wang (2004)
2003
5%

-
2004
31-45%
30-59%
Mac Donald & Dias (2007)
2007

8-42%
Stolper & Fuentes (2007)

2007b

7%

2007c

15%
FEER
Jeong & Mazier (2003)
2000
29%
67%
Coudert & Couharde (2005)
2002-2003
23-30%
44-54%
Wren-Lewis (2004)
2003

19-22%
Goldstein (2004)
2004
15-30%

Cline (2005)
2005
21%
45%
Goldstein & Lardy (2006)
2006
20-35%

Anderson (2006)
2006

15%-20%
Cline (2007)
2007
11-18%
34-39%
Goldstein & Lardy (2007)
2007
35-60%

13

1.3.1.1   nh:
c gii thiu bi Stein
(1995) s hiu qu  trong vinh t  thng nu t
mang tng  c loi b ti mc t l tht nghip t 
u king trong trung hn quy ng ca 
 ng danh ma vic nm gi n bng ni
t i t yu t kinh t ti 
su n s  ca v 
ng  n v trng
nh, NATREX tr u t kinh t n.
ng  u ng cng  
 nm bt m cc n.  kt hp
mt s ng l  u t kinh t        
NATREX m rc bi m rng  u trong
nh quan tr
Th nht, hai bin chng hiu
d ng hiu dt ch n 
bin th hai tr ng hiu dng.

Th hai, s c xem lbin ngoa
Stein. Theo Modigls i gian c xem n ni sinh
nh bi yu t u hn ch n.
Th ba, vic s dng Tobin q  ng  p
cho Trung Quc (theo lp lun ct
sn vn c  h
 Trung Qucch m th ng i nh
 ng hn ch giao dch do  a, gi nh th ng cnh
o, mt gi nh quan trng c Trung Quc.

c (DPI) (GI) c ti (FDI)ng thi
lng lot. Do  ng ca