DỰ BÁO KHẢ NĂNG XẢY RA KHỦNG HOẢNG NỢ Ở VIỆT NAM GIAI ĐOẠN HIỆN TẠI

DỰ BÁO
KHẢ NĂNG XẢY RA KHỦNG HOẢNG NỢ Ở
VIỆT NAM GIAI ĐOẠN HIỆN TẠI
MỤC LỤC
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DỰ BÁO KHẢ NĂNG XẢY RA KHỦNG HOẢNG NỢ Ở
VIỆT NAM GIAI ĐOẠN 2009 - 2020
1. MÔ HÌNH LÝ THUYẾT CẢNH BÁO NỢ: DÙNG CHỈ SỐ NỢ TRÊN XUẤT KHẨU
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1.1 Mô hình Jaime de Pine về cảnh báo nợ
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a b ?>9a%CZ;9<D+[(\\L\.bcb06dNếu
chỉ số nợ trên xuất khẩu và chuyển giao ròng tăng lên vô hạn, thì điều này cho thấy cả nợ và

thâm hụt cán cân thanh toán sẽ không có khả năng chịu đựng được. Trái lại, nếu chỉ số nợ có xu
hướng giảm xuống, thì nợ sẽ có khả năng chịu đựng được và nước vay nợ có khả năng thanh
toán nợ, nghĩa là nước vay nợ có khả năng trả nợ của mình”
3
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1.2 Phát triển mô hình truyền thống
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7C'#*?>;9<?#(#oMbbQ1BQQc+7'
D9GJ?>Z;9<#%#(8E.q0#!Xg9]?
>:(%5Tf!+
 -‡
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
Q
-Q+NqNq#
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-+WN#o
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-Q+cb
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UCD9]8"U!%C#g"a(8E.q0
5;9<!@J?!: !F(CC#r"
KC!UEEZ4h(+
Bảng 1.1 : Chỉ số nợ trên xuất khẩu và chuyển giao của Việt Nam, giai đoạn 2009 – 2020
(hF(<BQQcH
Q
-Q+NqNq#
Q
-+WN#o
Q
-Q+cb0
45aDE.q0
a b c 2009 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
0.8732 0.9598 0.8710 Q+WNnn Q+nBQ Q+nRQR Q+nQnB Q+WBc Q+RRn Q+BqBR Q+Qqq 1Q+QqRn 1Q+BqQB 1Q+RqWn
0.9328 Q+WRRQ Q+nRQq Q+nqWW Q+nWcR Q+WbcQ Q+WQBQ Q+Nqnn Q+BBqR Q+QWbB 1Q+BRQ 1Q+Ncc

0.9945 Q+WWN Q+nnB Q+qNb Q+qcB Q+ncBQ Q+nBQ Q+WRQ Q+NbNQ Q+BWNR Q+Qbcc 1Q+Qnqn
63\(dm<f!<CJ$!?'aCBQ2BQBQ†#RW#Rn+
n
0.9944
0.8710 Q+WqnW Q+qNNc Q+cWNB Q+bRQb +QQBR +QRB +QnNc +QqQc +QnWn +QWQW +QBqN
0.9328 Q+WcNb Q+qWNW Q+cccB Q+bbN +QqBN +BbW +ncQ +bQR +bbN +bnn +cRB
0.9945 Q+WbB Q+qqRQ Q+bBnq +QWBb +WnB +BNbW +NQWR +NWn +NbNW +RbR +RNWR
1.0290
0.8710 Q+nnR Q+cRbR +Qqnn +NQN +WBnB +qWNW +bcRb B+BBBQ B+RnnQ B+qqb B+bqcW
0.9328 Q+nBNc Q+cnbQ +q +NWNW +Wbn +cRQb B+Qcb B+NRq B+Wbbc B+cnR N+NWR
0.9945 Q+nN Q+ccbn +WQ +RNN +ncQ +bWQb B+BBnW B+WQqN B+qbRQ N+Qcnb N+Ncnn
0.8881
0.9598
0.8710 Q+WRBB Q+nNNb Q+nn Q+nNRQ Q+Wnb Q+RWBR Q+NBB Q+Rq 1Q+QNcQ 1Q+BNcb 1Q+RWc
0.9328 Q+WRbW Q+nWNq Q+nbnW Q+ncq Q+nNNN Q+WRBB Q+Rbc Q+BqN Q+Qn 1Q+QcWW 1Q+BcnR
0.9945 Q+WWnc Q+nqRN Q+qNWN Q+qRqb Q+qbQ Q+nWWQ Q+WnN Q+RRBn Q+NQNN Q+Rnc 1Q+QBNW
0.9944
0.8710 Q+WcB Q+qRqN Q+cqn Q+bqNb +QRWn +QbWR +Bnn +RBN +RWQ +Nnb +bq
0.9328 Q+WcbR Q+qnq Q+bW +QBnb +q +cWB +BNRB +Bnnn +BcRn +BbQB +BcW
0.9945 Q+Wbnq Q+qcqq Q+bWQN +Qcqq +BQBc +BbcQ +NqWq +RNqb +RcnN +WBBn +WRcQ
1.0290
0.8710 Q+nBBQ Q+cnNW +Qq +NNbn +WqbW +cBNW B+QqN B+NBbc B+WbRc B+cncb N+WBb
0.9328 Q+nBbN Q+ccNB +NqB +NbBq +nWQ +bNN B+cQq B+RWR B+qNRR N+QBBB N+NcR
0.9945 Q+nNnn Q+bQNb +qnQ +RWNR +qNnq B+QBn B+NBBB B+nBWR B+bNn N+BWRn N+WcN
0.9029
0.9598
0.8710 Q+WRqq Q+nRqQ Q+ncBN Q+nnNQ Q+WbqW Q+RbBc Q+NWWR Q+bQq Q+QQNn 1Q+BQc 1Q+RBb
0.9328 Q+WWW Q+nnnc Q+qc Q+qnb Q+nqQW Q+WcWB Q+Rnnn Q+Nbb Q+RbR 1Q+QRQc 1Q+BRqN
0.9945 Q+WnBR Q+ncqn Q+qWqN Q+qqcn Q+qWqb Q+qQQc Q+nBR Q+Rbq Q+NWbQ Q+BQq Q+QBcB
0.9944

0.8710 Q+Wcqn Q+qnQ Q+cbbW +QQc +QbQb +Wc +bNb +Bbc +BNb +BNBN +BBBq
0.9328 Q+WbWQ Q+qcQc Q+bNWN +QnBQ +nRQ +BRRB +NQWQ +NRcb +Nqqq +NbNN +NbqN
0.9945 Q+nQBN Q+cQn Q+bqRW +BNq +BWR +NWbc +RWQc +WBn +WcqN +nNWc +nqBb
1.0290
0.8710 Q+nBqW Q+cqqq +BqR +NqbB +nNW +cbq B+nnq B+RRW B+qNNW N+QNBn N+NRNR
0.9328 Q+nNRb Q+cbqn +nNN +RNN +qQcB +bcbW B+Bqqb B+WqRB B+cqbN N+bNq N+WcQ
0.9945 Q+nRBB Q+bcR +BQBW +RbRc +qbWn B+QW B+RBNq B+qWW N+Qccb N+RNnB N+qbNn
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C!;9<J?!: !!@f!BQQs+m6?‰af!r
%5J#:6H%:;9<>%J!
Z(EE;9<J?!: !!@;ŠBQQs
%‡U!;?rF(BQWG+7U:‹U!U!?Z
G4h(#%>rC+QBb#>!%E
.Q+ccc0>ZMr:C+_"Cf!9!H
Bảng 1.2 : Chỉ số nợ trên xuất khẩu và chuyển giao của Việt Nam, giai đoạn 2009 – 2020
q
(hF(<BQQcH
Q
-Q+NqNq#
Q
-+WN#o
Q
-Q+cb#%MrC+QBb0
45aDE.q0
a b c 2009 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
0.8881
1.0000
0.8710 Q+WccW Q+qnWb Q+bc +QNN +BcW +BQqB +BqQR +NBQq +NnQB +NbQb +RRR
0.9328 Q+WbWb Q+qcWq Q+bRqN +QcRN +BQQQ +Bbq +NqcQ +RRRb +Rbbc +WRRN +Wqbc
0.9945 Q+nQNB Q+cQnR Q+bcn +RW +BcWq +RQbc +WbW +nnB +qQW +qqnn +cRBq

1.0100
0.8710 Q+nQQ Q+qbbN Q+bqnW +NWW +Bqbb +RBn +WNWb +nWBQ +qnBW +cncc +bqB
0.9328 Q+nQqR Q+cb +Qb +ccn +NWR +WQBR +nRNW +qqnN +bQB B+QBBB B+Nqn
0.9945 Q+nRq Q+cNbc +QWQq +BRbN +RNqQ +nWB +qcWQ +bRqn B+QNc B+BWRW B+RQQW
1.0200
0.8710 Q+nn Q+cNNQ +QRBQ +BRb +RNWn +nBWR +cNB B+QQQn B+cb B+NqbW B+WqBb
0.9328 Q+ncb Q+cWBc +QqqR +BbWQ +WQq +qWB +bBQc B+BRb B+NBcn B+WNBc B+qNcN
0.9945 Q+nBnN Q+cqNR +nN +NWWq +WbBq +cBcQ B+QnBN B+BbnB B+WNQN B+qnWB N+QQN
1.0290
0.8710 Q+nBBQ Q+cnNW +Qq +NNbn +WqbW +cBNW B+QqN B+NBbc B+WbRc B+cncb N+WBb
0.9328 Q+nBbN Q+ccNB +NqB +NbBq +nWQ +bNN B+cQq B+RWR B+qNRR N+QBBB N+NcR
0.9945 Q+nNnn Q+bQNb +qnQ +RWNR +qNnq B+QBn B+NBBB B+nBWR B+bNn N+BWRn N+WcN
,a%JŒ:6#;9<J?!: !!@;
ŠBQQs%•+Q#U!"Y<FG !DI
%6+Q<FG?!: !!@+4"C!6H?‰
\;J!Zƒmyˆ#U!CY(8T#4h(;"!D
Z<F !DDI%6+Q<F?!:
 !!@#U!;"?9(:rF(BQW+
_\(F$#d>MZ;9<J?!: !BqWs†
q
#E4
h(;"!DZ<F !DDI%6+QB
<F?!: !!@#U!;"?9(:rF(BQc+
_"(M#%6'5>9<!<JZUC4h(
a\(8Ea%r(8EZ[(\\L\#"(*$(
6Hl8"F?ZM4h(M=(M+
7_5OElF>!a'()'*Z4h(+
c
PHỤ LỤC 1:
Chứng minh các công thức

1.1 Chứng minh công thức (5)
4

-+
1
/%+
1
2


-%+
1
-%
B
+
1B
-P-%

+

Q
`kf!-#B#N+++2#+_"H
• 

-+

/%+

2
• 

B
-+

/%+
 
2-+.+

/%+
 
20/%
B
+


2-
B


/+%+
 
/%
B
+

2
B
22
• 
N
-+

B
/%+
B
2-+.
B


/+%+

/%
B
+

2
B
220/%
N
+

2
-
N


/
B
+%+

/+%
B

+

/%
N
+

2
N
2
B
22
_C)C

#"H
1.2 Chứng minh công thức (7)
4

-+
1
/%+
1
/+o
1
2
4

-%+
1
-%
B

+
1B
-P-%

+

Q
o

-+o
1
-
B
+o
1B
-P-

+o
Q
`kf!-#B#N+++#2#+_"H
• 

-+
Q
/%+
Q
/+o
Q
2
• 

B
-+

/%+

/+o

2-+.+
Q
/%+
Q
/+o
Q
20/%
B
+

/
B
+o

2
b
-
B


/+%+

/%

B
+

/++o

/
B
+o

2
B
22

• 
N
-+
B
/%+
B
/+o
B
2-+.
B


/+%+

/%
B
+


/++o

/
B
+o

2
B
220/
%
N
+

/


N
+

2
_C)C

#"H
Q
PHỤ LỤC 2:
Kiểm định tính phù hợp của các mô hình hồi qui và ước lượng các hệ số
,(8E`„__M1E(!(<f!K>?!: !
!@# !I%hihh%6\%C?!
C=+8E9'"9S)?SX(8E"a

Df!+7k=#%?SX!p="C?SXK9"
!"5%:=5=)+
_r" #D$<FG?!: !!@#
<FG !I<FG%
hihh%Ef!'F(U!C!<8T($XYŽ-
Ws.€):(>0+
2.1 Hàm HQTT ln(XK+CHUYENGIAO) theo t
l(>mOH
j9!\- t%9•|19f!\ W+qbWB L%% Q+QBcW
j9!\-B t%9•|19f!\ W+Rcb L%% Q+QnRN
8E"aDf!%
8E9'%B9S)M%•aD9H

Al(7>H
2.1.1 Phương sai Var(Ui): (sử dụng kiểm định White)
_<J|
B
-+WncR"?9!:1!\D$Q+RWnW‡Ž-Q+QW#J:
C`

+_$(8E`„__"D98T+
2.1.2 Tự tương quan: (Sử dụng kiểm định BG)
j9!\- t%9•|19f!\ Q+QWWq L%% Q+cNW
j9!\-B t%9•|19f!\ B+qQQQ L%% Q+BWbB
j9!\-N t%9•|19f!\ W+BR L%% Q+nBb
j9!\-R t%9•|19f!\ W+BQBc L%% Q+Bnq
j9!\-W t%9•|19f!\ W+bBbc L%% Q+NN
8E`„__8?aDf!r%C%W+
2.1.3 Bỏ sót biến: (Sử dụng kiểm định RESET của RAMSEY)
ˆ-Q+QBb#L14!\-Q+qQN‡Ws+8E8%•9"%C

B
2.1.4 Phân phối chuẩn của U
i
(Sử dụng kiểm định JB)
_<J[m-+WqB"?9!:1!\-Q+RWWn‡Ws#J:C`

+
_$v

"'<! +
~ H
4Ž-Q+QW#"
Q+QBW
.W0-B+NRW  -Q+QQbN
4<FG?!: !/!@%Ef!'6F(6(
H Q+cNn/B+NRW•Q+QQbN
 .Q+nNc‘Q+BQNR0
2.2 Hàm HQTT ln(NK) theo t
l(>mOH
j9!\- t%9•|19f!\ q+WbB L%% Q+QQWb
N
j9!\-B t%9•|19f!\ Q+BWnR L%% Q+QQWb
8E"aDf!
8E9'%B9S)M%•aD9H
Al(7>H
2.2.1 Phương sai Var(Ui): (sử dụng kiểm định White)
8E`„__"D98T+
2.2.2 Tự tương quan: (Sử dụng kiểm định BG)
j9!\- t%9•|19f!\ B+Nnb L%% Q+Bqb
j9!\-B t%9•|19f!\ B+qnNc L%% Q+BW

j9!\-N t%9•|19f!\ N+RNq L%% Q+NBbq
j9!\-R t%9•|19f!\ R+QqN L%% Q+RQNq
j9!\-W t%9•|19f!\ R+QWRR L%% Q+WRn
8E`„__8?aDf!r%C%W+
2.2.3 Phân phối chuẩn của U
i
(Sử dụng kiểm định JB)
R
v

"'<! +
~ H
4Ž-Q+QW#"
Q+QBW
.W0-B+NRW  -Q+Q
4<FG?!: !/!@%Ef!'6F(6(
H Q+qnN/B+NRW•Q+Q
 .Q+WWQ‘Q+bqn0
2.3 Hàm HQTT ln(BOICHI) theo t
_Ckf!K!#9S)D9(€`2ƒ\
9<H M%•K%C(Z!pK!
!+i!*(DK!#Ckf!K!*?SXH
Al(7>H
W
2.3.1 Phương sai Var(Ui): (sử dụng kiểm định White)
8E`„__"D98T+
2.3.2 Tự tương quan: (Sử dụng kiểm định BG)
j9!\- t%9•|19f!\ +NcWn L%% Q+BNb
j9!\-B t%9•|19f!\ +RWR L%% Q+RcNN
j9!\-N t%9•|19f!\ +bRNN L%% Q+WcRB

j9!\-R t%9•|19f!\ n+NbB L%% Q+ccb
j9!\-W t%9•|19f!\ +cQqb L%% Q+WRn
8E`„__8?aDf!r%C%R+
2.3.3 Bỏ sót biến: (Sử dụng kiểm định RESET của RAMSEY)
8E8%•9"%C
2.3.4 Phân phối chuẩn của U
i
(Sử dụng kiểm định JB)
v

"'<! +
~ H
4Ž-Q+QW#"
Q+QBW
.q0-B+Qbcn  -Q+QB
n
4<FG?!: !/!@%Ef!'6F(6(
H Q+QqNq/B+Qbcn•Q+QB
 .Q+QRcB‘Q+QbbB0
q
PHỤ LỤC 3:
Cơ sở dữ liệu 1990-2008 (đơn vị tính: triệu USD)
Năm XK
Chuyển giao
ròng
Xuất khẩu và
chuyển giao ròng
NK
Nợ nước
ngoài

Bội chi NSNN
được bù đắp
bằng nợ nước
ngoài
bbQ BRQR+Q Nc BWRB BqWB+R BNBqQ cnQ
bb BQcq+ bQ Bqq+ BNNc+ BNNbW NNW
bbB BWcQ+q BN BqQN+q BWRQ+c BRNNB NW
bbN BbcW+B BnR NBRb+B NbBN+b BRnc RQQ
bbR RQWR+N NQB RNWn+N WcBW+c BRqbb nWB
bbW WRRc+b nBq nQqW+b cWW+R BWRBc Wq
bbn qBWW+c BQQ cRWW+c RN+n BnBWW cqQ
bbq bcW+Q ccW QQqQ WbB+N Bqqq bB
bbc bNnQ+N BB QRcB+N Rbb+n BBRWc NBnc
bbb WR+R c BqBB+R qRB+ BNBQ RcNq
BQQQ RRcB+q qNB nBR+q WnNn+W BcBW nBbB
BQQ WQBb+B BWQ nBqb+B nBq+b BWcW RcQb
BQQB nqQn+ bB cnBq+ bqRW+n NNRR WNQn
BQQN BQRb+N BBNb BBNcc+N BWBWW+c Wbb RWqq
BQQR BnRcW+Q NQbN BbWqc Nbnc+c cQRb NBQ
BQQW NBRRq+ NNcQ NWcBq+ Nnqn+ bR BnW
BQQn NbcBn+B RQRb RNcqW+B RRcb+ BQBn WcQR
BQQq RcWn+R nRNQ WRbb+R nBqnR+q BNcnW qRn
BQQc nBncW+ qN nbbbn+ cQqN+c BnWc cNBQ
h!k
 Oit z,m _5Z Oit z,m z,m
c
DANH MỤC TÀI LIỆU THAM KHẢO
DANH MỤC TÀI LIỆU TIẾNG VIỆT
1. 4‹_5_.BQQB0#dlF>!a'()'*Z4h(†#
h3mj2?*.`h0

2. mCM!.BQQc0#dm<f!<CJ$!?'aC
BQ2BQBQ†#h3m`h+
3. h"(J$!_4Fj.7M^C_L+`A0#d8E"F?
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DANH MỤC WEBSITE THAM KHẢO
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