Tiểu luận môn Tài chính quốc tế SỰ MINH BẠCH TRONG CHÍNH SÁCH TIỀN TỆ VÀ HIỆU ỨNG TRUYỀN DẪN ĐẾN LÃI SUẤT BÁN LẺ

SỰ MINH BẠCH TRONG CHÍNH SÁCH TIỀN TỆ VÀ HIỆU
ỨNG TRUYỀN DẪN ĐẾN LÃI SUẤT BÁN LẺ
Ming-Hua Liu, Dimitri Margaritis và Alireza Tourani-Rad
TÓM TẮT NGHIÊN CỨU
 !"#
$%&'%()"*+%+, /0122/3456
7"8'%9,+9 597"8:;:
9 <3
=>%%"#?'%@A4BCD&EFG H:IJK GL
:,G L# M) <NOLP3QR,9
 "FIS#R%&+;:9 <TL
M7U"FC +K%L +C@4VK+W
3
456XY<,7"8++:
Z6G77 !3H:M7'%56[%YR%*
'%@4V%W<:7\]"
+%:G)^Z63D_,OZ:M7'%56 X
;8'%9 <_7"8;#_Z`,a
R%W9,79b:'%6LW<
M7'%9 3
I. Giới thiệu:
49 <6LM7UZ:c6;7"F]L?"87 
"#6<G_%3H?R<9 <adC#NKOI
";CEDeK+d +,)9 fWC7K;8

O+_ EDg
-
):9fWC7K]+%3hd#G9]L
%+CGKO"*S+%<GfSG9OT_7"8
:7"F?%,G 3QR<M7'%9 <GL+< h):
fP%&'%;8:# !


#%"
:+%+3
D+Z_iX7"8'%9 <O"
'%9 <: !^"%Z G O9
+:*%?I3E?: ;:'%9 <
7)Yj<%&+;8?"%XGP++
%&% !Ck%Z%lO mnH%%G%QO1222no%
%O1221K3?I,+Z6++
P%[X;+# 7)+ "#3QR
[Z %$% h):9$% 7G()L9O
UY7"8'%9 <:TGIZ5+ZRI
Z %3E;$%O[^RZ %+
GL+ !<,%8%+%G;IY,'%)
"*C4+%O122mnH%Q%O122mK3
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ZEDe=>%%%&;834LPO56GI9 %ph?O
569,'%;8I+ +,
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C%%K+%_:GC+%%KZ`,Z %3456]
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GGX_Uc%6Z <";M%,3kY Z:FG  
+b:'%9 I%+M ^]U<CBlrKOG";G G7
9N%t'%9 <+M Z#Z:M7Z *"%%"#
:XG9 <Z`i";%O+M%<$% !$6L
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9 <<%W9,'%49 <"Z:M7'%<%
'%6L@4VC@uu%4%V%K+W _,+% <Z <+<

8=>%%+#*Z`"#_%Z63
4_9%U+P<;:8=>%%M%i3DO
=>%%M%? GL:,G LN# M)
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@A4BZ 6M%?I_ M%G P[ GL6^3
1
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v%%%K:< +C@4VK3gdS"#%;:
Z %O"9 <':+,6M%OINd%<_
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Z6_M%<&)#XG%c%+d,G "*(::
%+;%ZP+#6LL3BSXO +,+
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L3D +[PX"FG7q%_
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R"I-/.j>zO";";-2-{lBr'%=>%%O;|3|?F"#
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II. Chính sách tiền tệ tại New Zealandp
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:XG'%EDe"*Wd$R)P"*'%)"*3kY 
6M%<@4VOEDe_<M7U4%V%X<;+#<
M7UL"F3
E<@4VZ ;7;PP;+#<M7UY< +

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34;:+,"%pH@4V"F6 +OEDeƒ7+ 
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h4D4%M%Z6_:G#%+;1mP+#@4V3wM%i
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Z6+%a,#G;@4VO^i_P+EDe%,
@4VZ6_Z`'+9L+3
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f7"8:++,Z:'%M%ZP7,G 3DOM ^
?_*%'% 7G(9Z %+*Z`3
III. Sự cứng nhắc trong quá trình điều chỉnh lãi suất
w< !'% ):9+$%&+;8
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< RG +_O_PZ6R< ++3D+
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 :97"8:+a,+ZR,%
Z6+7+6I"* I9 :
+,Ck+O1221K3
~
w^XOINR<"F"%%<]+%_"#
W%7a;3D+_O9a+ !_PGI+, 
7G(93w9L_PM% $RGI+,T+%
]OTZ+7%_:G7&Z+7%_:G)OT
a,,OTRGL+";'%99&)'%Z 
+dT?M%i'%G9P&G3s9LO999&)
'%Z _P%+;# Z+7]:Z<"F5"#,+##
 Z+7]_*,Z6"F5"#,3
E%%kC K%Q%GC 1K$"*?
9Z:9'%]3w#7)#+%+
+*Oi '%:,)"*'%)"*]
9Z:9'%]8g†3EiZ G %_RI'%
]OLPO I]WX;+#<
7] I+Y_,+,)"*'% I
+)"*]34+%H+C /K$"*?;

::+% !3kY6^rIbRqMCoBsKOiZP
)G7'%+%8 "#%G P "#G P"#R%
&'%)"*3EiZ G %Y'%Z %$% 
"#9Z:9'%+%_P)7+IpRq,'%)"*
6LP"Fa,O9b:'%)"*<+7";
:Z#<%XGy,%)"*3
r%C /KEuu%C }KZP)M%<$%)"*
 !8oOD+Zr%C /KZ6Z G %"F;:++:
 Z+7%_:G8E<G8w";Mo^Euu%C }KZ 
G %"F;:++7%# Z+7%_:G7y)Z`
";:,Z6++# Z+7:Z<%8 I
8o8E<G8w";Mo3E+u%g„C122/K-x7
G(]7G(%_PG8 &9 I8oR%<]
L6^G:9^%;:++7%#]
"Z67%# Z+7%_:G3
g+‡+C1222KZP);:a,#+%
]8m"#ZRIJCkOhOr GOEs%DIk%%KO7)Y;
:++7%+,3ˆZ G %Y !G7
 X,G"#%&'%)"*<n,G7X;
a,_RI+3g#
+%^%+;+"*FG)"*W+#"*FG)
"*7O""F,#]3k+C1221KZP)
}
M%<$%F G:9G']+%_SZ`,8
+ZRIJ3ˆG <%Y<++7%#?
: +%O",Z6+++ # ]
+%3
HQ%C122mKZP);:+)"*I !8
ZRIJG <%Y+%G7%;#R%&+
  '%9 <_PR +3

4+%C122mKZP)]8 +,Z %+
%'%I";,'% 698Q%G+G <%Y &
9WX;+#<i73+%O
[Z %$% 7G(9$%I+# 693
DOiZ6G <%;:++$% +,3
IV. Phương pháp nghiên cứu:
D+O567<,a,'%9
 <: +, !Z %["$ a,:
, IY,3
gM%<,$% !('%)"*"FP<M%6
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+"* 
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-2
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G";^";R"F:XGP7 '%<;8C’
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# +9 3
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Z _PZ %Z%++dG;IY
C4+%O122mQ+ZO ~K3hPZP%<Z6";'%
 !,=>%%O56:7•+G";^13•-:G?"
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M IY˜

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++Y ]L6'%EC mK3h#"*FGd<
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V. Dữ liệu và phân tích kết quả
Dữ liệu

45%]L\$< T%q3s:G)_Z`
,T:%W'%I";,#8=>%%q$<;8O
_:GO:G7&O~ O@4VM%
IO7TVk%Z+u=>%%3D*%T |y /:
 -1y122/OZ+7*%"*W3H9"#-1m+?:\3
k7-GZ67+$<3k7o67++M% k7k
67+%Z@4V%*OZPT xy : -1y122/3s:G)
^MI_<S# +,ON_"*+F
G9%3k7k[%Y<('%,=>%%W77
Z@4V%*3D"#IOR: '%%+;-{+G?#\$
<O+_M%I:%+ -3}1{3Q%Z@4V
%*O8&);"#O: '%77+G,
T23~:23}m{3
Bảng A:D+"F+Z+7*% |y /: -1y122/
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@4V m3m/ m3m2 ~3m2 /3m2 23~m }2
sI ~3m/ ~3-m -2322 x3x2 -3}1 -1m
s7& |3~} |3// 3m2 ~3m2 -3m~ -1m

4)-W |32/ }3m2 3m2 m3.2 -3/. -1m
4)1W |31} }3.m 3m2 ~31m -3x2 -1m
4)xW |3/- |31m 3m2 ~3x2 -3-} -1m
4+%;7 -23mm -23x~ -13}m |3x~ -31/ -1m
D8Z`,~  ~3x. ~312 .3-} /3-m -3/m -1m
Bảng BpQ%Z@4V%*v+ xy : -1y122/CQ"FM% @4V
}2K
* Kể từ tháng 3/1999 khi OCR ra đời
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@4V m3/x m3x| ~3m2 /3m2 23~x
sI m3// m3mx ~3m2 /32} 23~/
s7& }3/. }3m| |3}} ~3m2 23~|
-1
4)-W ~3 ~3|m .31m m3.2 23~m
4)1W }31} }3-m |3}2 ~31m 23m.
4)xW }3mm }3m2 |3|2 ~3x2 23~-
4+%;7 .3}2 .3|| 32. |3x~ 23}m
D8ZU,~  m3x- m31m ~3}2 /31} 23~1
Bảng 1: Thống kê mô tả
4dG<";M%$% Z %"F + +8713@4V+
";M%%+#:G7&O]_Z`,_:GO"
9";M%#:G)3@4V[";M%%+#M%I
3
Lãi suất OCR*
Liên ngân

hàng
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thả nổi
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1 năm
Cố định
2 năm
Cố định
3 năm
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sI 3.|/
s7& 23.|- 23.}m
4)-W 23~}} 23 1 23.x|
4)1W 23x|m 23|m~ 23||| 23.|-
4)xW 231x2 23|-/ 23|// 23.m. 23 2
4+%;7 23.x- 23.m1 23.}x 23|~x 23}.~ 23}//
D8Z`,~
 
23.x- 23.}1 23.|/ 23.~2 23 | 23||2 23./-
*Kể từ tháng 3/1999 khi OCR ra đời
Bảng 2: Hệ số tương quan
Kiểm định tính dừng và tính đồng liên kết
D"#ZR<ZP)qZ:O? )<\!_G7\
T3HP%7:Z6CE
2
K'%<;) #7:CE
-
K'%9T]
LG";G GrG0r+CrrK&G";G GBZ0“CoB“K3H:M7'%

ZP)9T$\Z %"F_a87x3h#T\OZ:
M7+Z6P N7:Y7 \_<;)Z6T,U
c%-{O7 %GIX-C,+XK_9T,Uc%-{OT
\%GIX-'%@4V^T8m{#ZP)oB“3
Kiểm định Phillips-Perron
Mức độ Sai phân bậc 1
Chuỗi lãi suất Xác suất Độ rộng Số quan Chuỗi lãi suất Xác Độ rộng Số quan
-x
sát suất sát
@4V xx3m{ m ~. BC@4VK 232{ / ~|
sI 1.3m{ ~ -1/ BCsIK 232{ 1 -1x
s7& x~3x{ ~ -1/ BCs7&K 232{ 1 -1x
4)-W x13x{ x -1/ BC4)-WK 232{ - -1x
4)1W x13-{ 1 -1/ BC4)1WK 232{ x -1x
4)xW x-3~{ - -1/ BC4)xWK 232{ x -1x
4+%;7 1~3/{ ~ -1/ BC4+%;7K 232{ 1 -1x
D8Z`, x}3-{ } -1/ BCD8Z`,K 232{ x -1x
Kiểm định ADF
Mức độ Sai phân bậc 1
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Độ trễ
lớn
nhất
Số
quan
sát
@4V ~3-{ 1 -2 ~} BC@4VK x31{ - -2 ~}
sI 1|31{ - -1 -1x BCsIK 232{ 2 -1 -1x
s7& -/3|{ 1 -1 -11 BCs7&K 232{ - -1 -11
4)-W /|3m{ 2 -1 -1/ BC4)-WK 232{ 2 -1 -1x
4)1W /m3}{ 2 -1 -1/ BC4)1WK 232{ 2 -1 -1x
4)xW x|3~{ 2 -1 -1/ BC4)xWK 232{ 2 -1 -1x
4+%;7 123x{ - -1 -1x BC4+%;7K 232{ 2 -1 -1x
D8Z`, 1-3}{ - -1 -1x BCD8Z`,K 232{ 2 -1 -1x
Bảng 3: Kiểm định nghiệm đơn vị
H:M7'%ZP)qZ:"F + +87/3Q]LZP)¡+%•D%3
H:M7'%ZP)¡+%%7 \ !_9qZ:#I


3
Tính đồng liên kết giữa chuổi lãi
xuất bán lẻ (x) và lãi suất chuẩn
của thị trường (y)
Vector liên kết
Chuỗi lãi suất r=0 r≤1 (1, -α

1
, α
o
)
s7& -m3}. /3|/
C32m-K C3x21K
C-O023 O013}-K
4)-W 3/| m3x.
C32~/K C31/xK
C-O023|1O013~/K
4)1W 1-3~- m3mx
C32/mK C31x2K
C-O023~.O0x3~.K
4)xW 1-3mx m3/| C-O023~-O0/3x.K
-/
C32xxK C31xmK
4+%;7 -/3}| m3-1
C32~/K C321/K
C-O023~-O0~3mxK
D8Z`, 1/3m~ ~3m.
C32-1K C3-m2K
C-O023|/O023|mK
Số trong ngoặc là giá trị P (P-value ) của MacKinnon – Haug- Michelis (1999)
Bảng 4: Kết quả kiểm định hạng liên kết Johansen (y
t
=α
0
+α
1
x

1
+ ε
t
)
Hiệu ứng truyền dẫn dài hạn và sự thay đổi trong cấu trúc truyền dẫn
sM%I"FZ:# !Z %O%:XG
,++3H:M7'%"#"FrG0s+%@sQ"F + +8
7m3H:M7%"#"FrG0s+%Z <++W7+#"#"F
@sQ+"*FG3D+Z:M7@sQOd<0%O"F79Xi3
gdZ O7/m[+"#"FrG0s+%++#$Z:M7
,"FY ]L6^%:CwoVK¡+%3

¢%+O$Z:M7ZZP)£
1
G0%+%S'%
7m+ ,Z6++#+\$<O+,T
:G)-W7&#Uc%m{3E<_P<
'%)"*% !Tm|3|{:.x3/{3^ 
'%_Z`,a^%+;_Z`,3hGSFG#7:
+F53H@4VM%O^5";M%$%_Z`
,a,%+;_Z`,3s_Z`,Z6)7"88
_Z`,a<,t)7"88_Z`,a+";%3
Biến phụ thuộc (y)
0
0
(OLS)
1
1
(OLS)
R

2
DW X
2(
α
1
=1)
Xác
suất
s7&
13/.|

C~32xxK
132./
C 31m|K
23.x/
C-m32m~K
-322/
C1.3m1.K
23.}| -3|1~ -3-1} 231|.
4)-W
13}|2
Cx3}12K
x3~/|
C~3}}mK
23}.x
C}32m-K
23~1-
C~3/21K
23.m/ -3.~/ x3x}/ 232~~
4)1W

x3}/1
C/3.mxK
m3}}1
C.3}-}K
23~|~
C~32-mK
231.}
C13}}~K
23./x -3.}~ }3}-x 2322~
4)xW
/3m
Cm31x~K
~3|m}
C 3x.2K
23m||
C/3mx1K
23-/}
C-3x/.K
23.11 1321~ -232/x 2322-
4+%;7
x3|1m
C13//2K
/32.|
C-m3}2-K
23}~-
C.3m.|K
-32xm
C11321-K
23.|. -3.1. .3-2m 23221
-m

Biến phụ thuộc (y)
0
0
(OLS)
1
1
(OLS)
R
2
DW X
2(
α
1
=1)
Xác
suất
D8Z`,
23.m}
C13~||K
23//m
C-3m2xK
23|1m
C-m3xm2K
23.2}
C-}3 xK
23 -3.|- -23~~. 2322-
Ghi chú: biến RHS là lãi suất liên ngân hang. Mức độ truyền dẫn đo bằng độ nghiêng α
1
* Chỉ mức độ ý nghĩa là 5%
Số trong dấu ngoặc là t-ratio của hệ số ước lượng(giả thiết Ho là :α=0) tấc cả ước lượng và thống kê được tính toán theo

phương pháp Phillips-Loretan trường hợp không nói rỏ. X
2
(α
1
=1) là thống kê kiểm định giả thiết hệ số gốc từ 0 đến 1( tác động
truyền dẫn hoàn toàn). Giá trị DW của hồi quy OLS (không báo cáo ở đây) thì khá thấp cho thấy tương quan của chuỗi lãi suất
tác động không rõ ràng.
Bảng 5: Tác động truyền dẫn dài hạn(Phillips-Loretan Estimates) (y
t
=α
0
+ α
1
x
1
+ε
t
)
w^R%*@4V+ xW ,<+%&+9 <'%=
>%%O56f:GLZP)<_R%&+;:ZZ:#R
%*'%6L9 <#3HP)6^_:7"F]LPZP)
9&)'%Y•
2
<_•
-
'%G";^-3k:7CBK_ )2,<
+%+,T |W /: 1W Cc%"#Z"%%@4VK_
)-+%+,T$% xW : -1W122/Cc%%Z"%%
@4VK3H:M7ZP) +,"F^87~3
Lãi suất

Tung độ gốc Hệ số gốc
Tung độ gốc Biến
giả (D)
Hệ số gốc (D*x)
α
1
t-value α
2
t-value α
3
t-value α
4
t-value
sQ7& m321- |3/}| 23~1. |3}12 013~.2 0x3|x- 23x11 13.//
4)-W /3-/- x3~-x 23~/~ /3~x1 023 23-1| 0232|~ 023x/-
4)1W m32-| x3112 23mx} 13|-| -3/}- 23|mm 023x}- 0-3x/-
4)xW m3-~1 x3/.} 23m1~ 13 -31}1 23}-/ 023x2/ 0-32}2
4+%;7 ~3-1~ ~3~mm 23~}/ ~3212 0-3m|~ 0132m/ 231}| 13/-2
D8Z`, 13.|x m3}./ 23m.x .3x.1 0132mx 0x3221 231-~ -3.m/
Ghi chú: D là biến giả. D=0 đối với những quan sát trước tháng 3 năm 1999 và 1 với những quan sát sau tháng 3 năm 1999.
Cột dưới tiêu đề α
4

đo lường sự thay đổi của tác động truyền dẫn dài hạn sau khi OCR ra đời.
* mức ý nghĩa là 5%, ** mức ý nghĩa 10%.
Bảng 6: Sự thay đổi cấu trúc (Phillips-Loretan Estimates) (y
t
=α
0
+ α

1
x
1
+ α
2
D + α
3
D*x
t
+ ε
t
)
H:M7+Z"%%@4V+W O,'%\
Tm13~{:~}3/{OZ6++3Q+ #%Z@4V%*O
::G7&O+%;7Z`,~ W
-~
O" ::G)-0xW^Z6%& ZPC9
Z6_Uc%ZK3DR:+Uc%Z++
#;77\8Uc%m{#~ 8Uc%
-2{CZP)Gv%7:&<Y-+7~23~mxO23}/~232|}
";#G";^7&O+%;7~ 3
Q%Z@4V%*O9:)"*W9,,%+X
;8W ,: !3s !"Z`i
8&);O"^87-3w#&);O56Z`iG9
 !If7^: fW3E;$%O
Z@4V%*O_R,;+ :XGG&:9 :)"*
9:Z:M7W9,%+6<GI3H
Q%C122mK[%Y<R<9 <,;_PW
,3
D9,+9 <W9&'%7

+__P79+RW'%,#7&
)O",Z6 ::G)34_P+RGL
M%'% I=>%%+ Z+7%F"#+3
Dj<:Z<I'%ZR%^8=>%%O I ):
98=>%%'^Z: qZ :#Od<8)"*
qA++%)"*6%g†34 6L\FG" Z+7%O";
G:A+OZ`G:,CgDK G:3
DU:O: IR<7+P+ '+<# Z+7F
Y+,< <M7^"F# Z+7%F"#+Z6+ 9
 <'%=>%%Z<M7"X3kY + & Z+7%F+,<
%q<)+d7&CLPq6%=>%%KY<GL+ 
&j + <GL+ &+OG9 Z+7%F"#+<M7
f?Y#+"#SZ`,OZZ69: G9%+)M%3
D+"*FGO I"F"%%"#+ 7,+3D+
U:% OR%&+"#fG7 M%G93
:Z6R<7+P'+j + O^ Z+7%"#+f_ 
 ZP<M7'%9 <8+"#+_Rt3
DR:O'+ + a,_P"F7+Pb6M%<GL
+ & + + &+,<O7+P '+<_Z`,"*
G9%+;Z<M7;O79<M7'%9 <+"#3
E;$%O:<GL7+PR<Y]LMiO9:'%<
["+"#_P :G97+PG9R:O
7"8:<M7'%9 <# !3H:M7'%5
-}
6+Y'+ + Z`,_PZ6"F7+P <M78
=>%%3
Mức độ truyền dẫn trong ngắn hạn và tốc độ điều chỉnh:
456]L6^<%5CQA4KP"#"F a,'%
< !I3H:M7'%< !
"F^87}3456^  "#"F#$ <

";M%<%34 "#"F<";M%#$:Z +G";
^ ! Z:M7'%G";^IZ6"F^
"f"F"%%:_?3D7%,+F_Uc%Z3E<
";M% O–
2
O";_Uc%Z3h#:G
)Oq*,Txm3x{#%;7|~31{#
)Z`,W3D7"#"F'%<%O˜OI 
_Uc%ZO%Y )^'% ! "F8,  )
,, IY,'%53hb^[ ";R3
D^)Z`,-WG7? P+<"
:G_Z`,xW^G7/ PR<<";R3
Lãi suất βo t-value δ t-value MAL
sQ7& 23/-m -3|}

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MAL: độ trễ điều chỉnh (theo Hendry 1995)
* mức ý nghĩa 5% và **mức ý nghĩa 10%
Bảng 7: Ước tính tốc độ điều chỉnh và tốc độ trung chuyển trong ngắn hạn (ước tính SEC).
C
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4 +, !a,O9L ")W] 
 O+a,%+;+#$+,
t,34 IX::R,%,f+GIZ5,%
Z<;"#:@4V34 Z+7+%:G8$%tM%i+
+,'% I=>%%3D+WM%O Z+7:;m2{%
L Z+7+%'%I3h#IO Z+7%:}2{
& Z+7+%"#'%i3hPW)G?+)"*+%:G
-|
8O IG7,%Z<#%Od<+)G?+%:G
# 7G(_)Z`,a

34,%+)"*][$
3"7+X"#_Oj<:Z<8=>%%8G+# "#6
<GZ  IG7"F#T &9"#+P
F+,+%'%i3D+Z_+"#9FG;^5&
);9,7#%&3
Tốc độ điều chỉnh bất cân xứng
456"#"F 6^<%5+GG+"* 

Z %"#:, IY34 Z:M7+6^I
"F + ++7|3Q+ $<IO˜
1
˜
x
OZ6_
Z`Y++RI'%  !345
6["#"F T%Z@4V%*#IO[
Z6_RZ <_Uc%Z+34_Y+_RZ <
+#"*FG++%;7""%':5%Z:
X_Uc%3456[*Z7WIWZ #
7+*%%Z@4V"F6"Z6_Y
+',P5%Z:X+"*FG34_Y:#?$%
Z¦)Y IW#%;#+%
;7%Z@4V"F6[";R"Xi,7%
;#:G)-W3H:M7S_PP<+9
,%Z<%b%$% I+$W?IP)G?
+GIZ5d<G3
Lãi suất βo δ
2
δ
3
X
2
(δ
1
= δ
2
)
MAL

+
MAL
-
sQ7&
23/

C-3}~2K
23x1/

Cx3 |K
023x-/

C13x|-K
2322/ 23./ 23.}
4)-W
23|21

C/3 1K
023112

C13m-}K
0231.~

C-3.1|K
23-|1 23.2 23~}
4)1W
23/}.

C132}~K
023-~1

C13-m~K
023-//

C-3~|/K
2321~ -3} -3|-
4)xW
23/|x

C13/~-K
023-/m

C132/-K
023-1~
C-3/21K
2321} x3mm /32.
4+%;7
23x

C.3.11K
023-2|
C-3/1~K
0231-/

C13}}/K
23|1x }3|/ x3.m
D8Z`, 23|1m

0231/|

03231

232/. 23} 23|

Lãi suất βo δ
2
δ
3
X
2
(δ
1
= δ
2
)
MAL
+
MAL
-
C|3xx-K C13.1xK C132m|K
Lưu ý: Giá trị T-value trong dấu ngoặc đơn. * ý nghĩa tại mức 5%; ** ý nghĩa tại mức 10%. D là biến giả. D=0 cho những quan
sát trước tháng 3 năm 1999 và 1 cho những quan sát sau tháng 3 năm 1999. Theo mô hình bất cân xứng ECM, MAL
+
đại diện
cho độ trễ điều chỉnh trung bình khi mà lãi suất bán lẻ đang ở trên giá trị cân bằng của chúng và MAL
-
đại diện cho độ trễ điều
chỉnh trung bình khi lãi suất bán lẻ đang ở dưới giá trị cân bằng của chúng. Β
o
đo lường mức độ của hiệu ứng truyền dẫn trong

ngắn hạn.
Bảng 8: Hiệu ứng truyền dẫn ngắn hạn và tốc độ điều chỉnh bất cân xứng (Sự ước lượng SEC):
opC
∆
‹

‰
∑
β

∆

0
Š
∑
i
¤

∆

0
Š
δ
1
λ
¥
ε
0-
Š
δ

x
C-0
λ
K
¥
ε
0-
Š
η

K
VI. Kết luận
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9 <f7R:'%;8C+u u%G+%K6
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+7OR%&a,+";%89:;OM%
_I%+'%<'%;7# !+%9<M7
'%9 <3
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
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