NHN XT CA GIO VIN HNG DN-----0-----

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MC LC-----0-----

MC LC ........................................................................................................ 1 DANH MC CC T VIT TT ................................................................ 4 DANH MC BNG ........................................................................................ 5 DANH MC HNH ......................................................................................... 6 Tm tt ............................................................................................................. 7 1 Gii thiu....................................................................................................... 8 2 Tng quan ................................................................................................... 112.1 N bn vng ..............................................................................................11 2.2 N mc tiu................................................................................................13 2.2.1 N mc tiu trong l thuyt ............................................................13 2.2.2 N mc tiu trong thc tin.............................................................13 2.3 Khng dung np n (Debt Intolerance) ..............................................18 2.3.1 Khng dung np n v chui v n trong bi cnh lch s .........19 2.3.2 Ngng n .......................................................................................21 2.3.3 Cc thnh phn ca khng dung np n ......................................26 2.3.4 Khng dung np n: Nhm v khu vc .......................................29 2.3.5 Nhng yu t lch s ca ri ro quc gia ........................................32 2.3.6 Ngng n c th ca t nc ......................................................33 2.3.7 Xp hng khng dung np n trong nhm B ...............................34 2.4 Mt s vn trong cch tip cn ca Reinhart et al. (2003) ..............36

3 Phng php nghin cu v d liu......................................................... 363.1 Phng php c lng ...........................................................................36 3.2 D liu ........................................................................................................39

4 Khng dung np n: cch tip cn mi ............................................... 394.1 Hiu chnh cch tip cn ca Reinhart et al. (2003) ..............................39 4.2 Mi quan h gia v n.....................................................................39

4.3 Phng trnh khng dung np n .......................................................41 4.3.1 Cc bin trong phng trnh khng dung np n ........................41 4.3.2 Phng trnh khng dung np n ................................................43 4.3.3 Kt qu c lng ...........................................................................45

5 p dng vi Vit Nam ............................................................................... 485.1 Tnh hnh n cng Vit Nam ................................................................48 5.2 T l n mc tiu.......................................................................................49 5.3 o lng mc khng dung np n ................................................54

6 Kt lun ....................................................................................................... 56 PH LC ....................................................................................................... 58Ph lc A. D liu: nh ngha v ngun d liu. .......................................58 Ph lc B. Xp hng mc khng dung np n ca 164 quc gia. .......60 Ph lc C. Cc bng s liu c trong Reinhart et al. (2003). ......................63

TI LIU THAM KHO ............................................................................ 66

DANH MC CC T VIT TT-----0----T vit tt CAB CGDP DIT EMBI FE GDP GMM GNP IIR IMF OEDC OLS RES RRS WEO Din gii Cn cn ti khon vng lai Tng sn phm quc ni bnh qun u ngi Ch s o lng mc khng dung np n Ch s tri phiu th trng mi ni Phng php c lng tc ng c nh Tng sn phm quc ni Phng php c Moments tng qut Tng sn phm quc dn lng Ting Anh (nu c) The Current Account Balance Gross Domestic Product per capita Debt Intolerance Index Emerging Market Bond Index Fixed Effects Methods Gross Domestic Product Generalized Method of Moments Gross National Product

nh gi ri ro tn dng quc gia Institutional Investor Rating ca tp ch Institutional Investor Qu Tin t Quc t International Monetary Fund

T chc Hp tc v pht trin The Organization for Economic kinh t Cooperation and Development Phng php bnh phng nh Ordinary least squares nht T l d tr Reserves

Tn ca ba tc gi nghin cu v Reinhart, Rogoff and Savastano l thuyt khng dung np n Vin cnh kinh t th gii The World Economic Outlook

DANH MC BNG-----0----Bng 2.1 Cc nghin cu thc nghim v ngng n ..............................................17 Bng 2.2 Lm pht, v n nc ngoi v ri ro quc gia : 1824 - 2001 ..................20 Bng 2.3 T l n nc ngoi cc nc thu nhp trung bnh khi xy ra s kin tn dng bt li 1970 - 2008 ...........................................................................................22 Bng 2.4 Phn phi tn sut ca t l n nc ngoi ca cc nc thu nhp trung bnh ti thi im ca s kin tn dng: 1970 - 2008 ...............................................23 Bng 2.5 Phn phi tn sut ca t s n nc ngoi ca cc nn kinh t mi ni 1970 - 2000 ...............................................................................................................25 Bng 2.6 Cc thc o thay th cc ch s ca "khng dung np n"* ...................28 Bng 2.7 Tng quan gia cc thc o thay th cc ch s ca "khng dung np n" .............................................................................................................................29 Bng 2.8 Hi quy bin gii thch IIR vi lch s lm pht, v n v t s n. ........33 Bng 2.9 D bo IIR v khu vc khng dung np n cho Argentina v Malaysia. ...................................................................................................................................34 Bng 2.10 o lng mc khng dung np n ca mt s nc trong nhm B: 1979 2000. ..............................................................................................................35 Bng 4.1 Hi quy phng trnh "khng dung np n". ............................................46 Bng 5.1 IIR v xp hng ca ba t chc xp hng tn dng....................................51 Bng 5.2 Phn loi xp hng tn dng v phm vi IIR tng ng. ...........................53 Bng 5.3 T l n mc tiu ca Vit Nam v mt s nc trong khu vc...............54 Bng 5.4 o lng mc "khng dung np n" ca mt s quc gia. ..................55

DANH MC HNH-----0----Hnh 2.1 Tnh hnh n cng ca Anh giai on 1700 - 2011 ...................................12 Hnh 2.2 Phn phi tn sut ca t l n nc ngoi: 1970 - 2008 ..........................24 Hnh 2.3 Phn phi tch ly t l n nc ngoi ca cc nn kinh t mi ni 1970 2000 ...........................................................................................................................25 Hnh 2.4 T l n nc ngoi v ri ro v n ca mt s nn kinh t mi ni, 1979 2000 ...........................................................................................................................27 Hnh 2.5 nh ngha: Nhm v Khu vc. .................................................................31 Hnh 4.1 Mi quan h gia IIR v t l n. ..............................................................40 Hnh 5.1 T l n v xp hng IIR ca Vit Nam, giai on 2003 - 2007 ...............49 Hnh 5.2 ng i ca IIR cho hai nc: Vit Nam, Thi Lan. ..............................50 Hnh 5.3 IIR v t l n mc tiu: Vit Nam, Thi Lan. ..........................................52

XC NH T L N MC TIU CHO VIT NAM DA TRN KHUN KH L THUYT KHNG DUNG NP N

Tm ttNghin cu ca chng ti trnh by mt phng php tnh ton t l n mc tiu da trn khun kh l thuyt khng dung np n ca Reinhart et al. (2003) v Reinhart and Rogoff (2009). Phng php ny s dng mt b d liu mng ng, hiu chnh vn ni sinh ca cc bin hi quy, v tnh ton t l n mc tiu da trn xp hng tn dng ca cc t chc xp hng ln, mt tiu ch khch quan hn. Ngoi ra, chng ti cng s dng mt b d liu tng n chnh ph cho hn hn 164 quc gia trong sut giai on t 2003 n 2011. Pht hin ca bi nghin cu cho t l n mc tiu hay ngng n cho Vit Nam l 43,17% GDP hoc 74,68% GDP ty thuc vo mc xp hng tn dng mong mun. Chng ti cng a ra mt ch s o lng mc khng dung np n mt ch s c th c dng nh gi mc an ton ca n, ng thi trnh by mt bng xp hng mc khng dung np n cho 164 quc gia.

1 Gii thiuCuc khng hong kinh t ton cu 2008-2010 lm suy gim nhanh chng v ng k cc hot ng kinh t trong mi trng ton cu ha. Cc nn kinh t mi ni trong tnh hnh buc phi ni lng chnh sch ti kha nhm kch thch nn kinh t chng li s nh hng ca cuc khng hong, iu ny lm gia tng t l n ca cc quc gia ny. V Vit Nam khng phi l ngoi l, cuc khng hong kinh t ton cu lm cho tng n chnh ph ca Vit Nam tng nhanh, t 42,9% trong nm 2008 ln n 50,3% trong nm 2011 (tng 12,9%). Vi tnh hnh kinh t hin nay, cng thm vn ti cu trc nn kinh t, cho nn n cng ca Vit Nam trong thi gian ti c d bo s tng cao p ng nhu cu vn cho pht trin kinh t - x hi. S gia tng nhanh chng trong n nn ca cc nn kinh t mi ni, tuy l khng ln so vi cc nc cng nghip ha, nhng vn t ra cu hi v tnh bn vng ca n cng v khng gian ti kha (fiscal space) ca cc nc ny c i u vi cuc khng hong trong tng lai. Mt cu hi quan trng trong bi cnh ny l: Mc n cng hay ngng n cng l bao nhiu cc nc ny c th t c mc tiu an ton ca mnh? Mt s phng php tip cn truyn thng c s dng tr li cu hi ny, bao gm nhng phn tch v n bn vng, cc nghin cu v tc ng ca s gia tng trong t l n ln tng trng GDP thc v cn bng bn ngoi (external balance), cc nghin cu xem xt tnh hiu qu ca chnh sch kch cu di nhng t l n khc nhau. Nghin cu ca chng ti s dng mt cch tip cn mi tnh ton t l n mc tiu hay ngng n cho Vit Nam v mt s nc khc trong khu vc, da trn khun kh l thuyt khng dung np n1 (debt intolerance) ca Reinhart et al. (2003) v Reinhart and Rogoff (2009)2. Bt u t quan st thc nghim cc tc gi ny cho rng mt s quc gia c th ri vo tnh trng v n hoc ti cu trc lp i lp li t l n tng i thp mt hi chng m h gi l khng dung np n. cc nc ny, cc th ch yu (weak institutions) v h thng chnh tr c vn 1

Mt nh ngha tng t trong y hc c Reinhart et al. (2003) nu ra l Lactose Intolerance. Trong gii y hc Vit Nam gi chng bnh ny l khng dung np Lactose, do chng ti quyt nh s dng cm t khng dung np n vit ha thut ng Debt Intolerance, n bao hm ngha: khng c kh nng chu ng c n. 2 Bi ny cc tc gi thc hin m rng mu cho giai on t 1979 2008. Tuy nhin khng thc hin li ht tt c nhng bc trong Reinhart et al. (2003).

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(problematic political system) thc hin mt phng sch tm thi vay mn cng trnh n nhng quyt nh kh khn v chi tiu trong nc v chnh sch thu. ng thi, ti kha cng nhc, hiu qu kinh t thp cng thm nh hng ca cc c sc bn ngoi lm cho cc nn kinh t ny d b tn thng trc cc cuc khng hong t l n trn GDP tng i thp. o lng mc khng dung np n ca mt quc gia cho php b sung mt ch s nh gi mc an ton ca n. Thc o u tin ca khng dung np n c Reinhart et al. (2003) a ra, s dng xp hng ca Institutional Investor , mt s nh gi c tng hp hai ln trong mt nm bi tp ch Institutional Investor da trn nhng kho st ca cc nh u t t chc, cc nh kinh t. H hi quy ca vic tng thm mt n v n ln theo mt vi ch s bao gm t l n nc ngoi trn GNP, lch s ca lm pht v v n, tm ra tc ng bin v do ln khng dung np n. S dng kt qu ca phng trnh c lng trn chng ti gi l phng trnh khng dung np n c th tnh c mt t l n nc ngoi trn GNP ph hp vi mt mc c a ra, da vo lch s lm pht v v n ca quc gia. Mt s nghin cu (v d nh Di Bella (2008), Everaert (2008), Topalova and Nyberg (2009), v Barrot and Bannister (2011)) s dng khun kh l thuyt khng dung np n tnh ton t l n mc tiu cho cc nc khc nhau nh Dominican Republic, Keyna, India, v CAPDR3. Trong bi nghin cu ny, chng ti vn tip tc i theo phng php chung nhng c mt s sa i i vi phng php trc , da trn nghin cu ca Barrot and Bannister (2011). Nghin cu ny s dng mt khun kh d liu mng ng, ch khng phi l mt c lng ct ngang (cross section estimation) tnh c s dng trong Reinhart et al. (2003) v cc nghin cu trc. Chng ti cng s dng mt d liu hng nm thay v s dng d liu trung bnh nhiu nm, nh c thc hin trong nghin cu Reinhart et al. (2003). ng thi nghin cu ca chng ti cng b sung thm mt vi bin s mi nm bt chnh xc hn nhng thay i trong .

3

Central America, Panama, v Dominican Republic.

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S dng c lng Generalized Method of Moments (GMM) trong khun kh d liu mng ng, nhm hiu chnh vn ni sinh ca cc bin c lp, v a vo m hnh tc ng c nh c th mi quc gia (countryspecific fixed effects). Thay v phn chia mu thnh cc nhm v khu vc da trn trung bnh v lch chun ca , phng php ca chng ti c lng mt phng trnh cho tt c cc nc, trnh vn ni sinh tim tng ca cc nhm n v sai s. mc tiu v ngng n tng ng c tnh ton da trn xp hng tn dng ca cc c quan xp hng ln. S dng mt d liu mi v tng n chnh ph (Abbas et al. (2010)), thay v ch l s dng n nc ngoi ging nh Reinhart et al. (2003). Kt qu c lng ca phng trnh khng dung np n c th c p dng linh hot tnh ton t l n mc tiu cho hu ht cc nc trong mu. u tin, s dng kt qu c lng m t mi quan h gia mi nc da trn Tip theo, lp mt bn v t l n trn GDP ca v t l n trn GDP nm 2011 ca quc gia tng ng. vi xp hng tn dng tng ng, t tm ra mc tng ng vi

mc tiu tng ng vi mt mc tiu xp hng tn dng, sau tnh ton t l n mc tiu cho php mt quc gia c th t c mc tiu cc ngng n cng cho Vit Nam vi nhng mc tiu khc nhau. Chng ti cng ngh mt ch s o lng mc khng dung np n ca cc quc gia, ch s ny c th cho thy mc trm trng ca hi chng khng dung np n. Phn cn li ca bi nghin cu c xy dng nh sau: phn tip theo chng ti s cp n n bn vng, nhng nghin cu gn y v t l n mc tiu v ngng n, sau chng ti s tm tt li cch tip cn khng dung np n ca Reinhart et al. (2003) v Reinhart and Rogoff (2009). Phn 3 chng ti trnh by phng php v d liu m chng ti s dng trong bi nghin cu. Phn 4 chng ti trnh by cch tip cn mi ca chng ti, v nhng tnh ton v ngng n cho Vit Nam. Cui cng, phn 6 l kt lun. mc xp hng tn dng mong mun. Theo hng tip cn ny, chng ti tnh ton

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2 Tng quan2.1 N bn vng S gia tng ca n cng v thm ht ngn sch tr thnh mt vn chnh sch quan trng hu ht cc nc pht trin v ang pht trin. Cc cuc tranh lun chnh tr v tin trnh tng lai ca chnh sch ti kha v s cn thit phi gi n chnh ph di s kim sot, v tnh bn vng ca ti chnh cng l mt trong nhng ch tho lun rng nht trong cc nn kinh t. Trong nhng thp k gn y, nhiu nc tch ly s lng ln n cng, iu ny thng xy ra cc nc c khu vc cng ang pht trin v chnh sch ti kha thin cn. Mc d tnh bn vng ca ti chnh cng c tho lun trong hn mt th k qua, n vn l mt khi nim m h. Mt cch trc gic, mt chnh sch bn vng l phi nh vy cui cng ngn chn s ph sn; khng c s thng nht v nh ngha chnh xc ci g to thnh tnh bn vng ca n. Nhiu ti liu xut mt vi phng php nh ngha v nh gi tnh bn vng ca n, khc nhau c v tm nhn (ngn hn, trung hn v di dn) v cc bin c la chn. Trong t nht hai thp k qua, hai cch tip cn chung cho khi nim bn vng ca n cng nh sau. Mt cch cho rng mc li sut m mt chnh ph i vay khng th ln hn t l tng trng ca nn kinh t, v vy t s n trn GDP khng tng, v do n khng bn vng khng din ra (ngha l n lun bn vng). Cc tip cn khc cho rng nu c mt gii hn i vi gi tr hin ti ca cc khon vay mn, th iu ny c th hn ch lng vay mn, do n s l tiu ch chnh t c tnh bn vng. Tnh bn vng ca n nhm tr li mt cu hi tng chng n gin: Khi no n ca mt quc gia tr nn qu ln n ni khng th tr c? Qu tin t Quc t IMF nh ngha mt khon n l bn vng nu n p ng iu kin kh nng thanh ton m khng c mt s iu chnh ln v khng to ra cc chi ph ti chnh trong tng lai (IMF, 2002). Kh nng thanh ton, n lt n cn phi c nh ngha. Kh nng thanh ton n t c khi mc thng d c bn (primary surplus) trong tng lai ln tr n gc v li. Mt cch chnh xc hn, kh nng thanh ton yu cu cc khon n hin ti cng vi gi tr chit khu v hin ti ca tt c cc 11

khon chi tiu khng c vt qu gi tr chit khu v hin ti ca tt c cc khon thu. Kh nng thanh ton c nh ngha r rng v t lu c chnh thc ha, tuy nhin n t ra nhiu kh khn khi thc hin. Vn y l cn cn trong tng lai, khng phi l qu kh v cng khng phi ch l mc n hin ti. Do , nh ngha v tnh bn vng ca IMF cng rt m h. Hnh 2.1 Tnh hnh n cng ca Anh giai on 1700 - 2011

Cc khon n ln c th c tr v cc khon n nh c th l khng bn vng, tt c u ph thuc vo tng lai. Trong thc t, hu ht cc chnh ph mc n mi mi v nhiu khon n nc ngoi vn cn cao sau nhiu thp k. V d, hnh 2.1 cho thy tnh hnh cc khon n cng ca Anh trong giai on 1700 2011, c tnh theo phn trm so vi GDP. Trong sut 300 nm qua, t l n cha bao gi gim xung di mc 21%, t mc cao nht l 260% v trung bnh t l n ca Anh mc 103%. N cng ca Anh nhiu ln c coi l khng bn vng, tuy nhin n vn l bn vng theo ngh rng chnh ph Anh cha bao gi b v n trong khong thi gian . iu ny cho thy, vic xc nh mt t l n m bo tnh bn vng l mt iu kh khn v rt m h. Tuy nhin vi cch tip cn 12

ca Reinhart et al. (2003) v khng dung np n chng ta c th hiu thm v tnh bn vng ca n cng cng nh c thm c mt thc o mc an ton ca n cng. 2.2 N mc tiu 2.2.1 N mc tiu trong l thuyt Cc ti liu l thuyt cung cp rt t cc hng dn thc t thit lp t l n mc tiu. Cc m hnh cn bng tng th (General Equilibrium Models) c pht trin tm hiu s nh i gia chi ph v li ch ca n chnh ph. V d, Aiyagari and McGrattan (1998), Floden (2001) v Shin (2006) lm r s nh i gia li ch ca n cng lm tng kh nng tr n ca h gia nh bng cch cung cp mt phng tin b sung cn bng chi tiu (smooth consumption) v lm gin gii hn vay mn ca h4 v chi ph trong tng lai ng n cc khon thu, n s c nhng tc ng xu n phn phi ca ci v nhng u i, v u t cng chn ln (crowd out) u t t nhn. Saint Paul (2005) nu ra cc li ch b sung ca cc th trng n chnh ph cho cc th trng ti chnh hiu qu, bao gm c nhng i mi ti chnh (financial innovation) v kh nng s dng n cng nh mt ti sn th chp cho khu vc t nhn vay mn. Rt t cc m hnh ny c thc hin thc nghim. Aiyagari and McGrattan (1998), hiu chnh m hnh ca h i vi M v tnh ton t l n ti u mc 66% GDP; Weh-Sol (2010) s dng cng mt m hnh tnh ton mt t l n ti u cho Hn Quc 62% GDP. 2.2.2 N mc tiu trong thc tin Mc d thiu s r rng trong cc d on l thuyt v mc n cng mc tiu, nhng mt mc n cng cao vn l mi quan tm cho c cc nc ang pht trin v pht trin. Mt s quc gia thng qua mc trn n mc tiu trong b lut ca mnh, v cc hip nh ca cc khu vc hi nhp p dng trn n nh l tiu chun tham gia. Gim n thng c thc y bi nhn thc cao v nhu cu chi tiu trong tng lai, mong mun cn bng qua cc th h, gim s chn ln u t

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Aiyagari and McGrattan (1998), tho lun vai tr ca n cng nh mt kh nng tr n c nhn. H gi s rng tri phiu chnh ph c phn b u gia cc h gia nh, ngi s dng tri phiu m mnh ang nm gi lm ti sn th chp. Mt mc n cao hn do c th lm gin gii hn vay mn ca h.

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t nhn, v chung hn l cung cp mt khng gian ln hn trong tng lai chng li nhng c sc ln v hp th cc khon n bt ng m khng e da tnh bn vng ca n. Kim tra bng chng thc nghim v nhng tc ng ca cc mc n khc nhau ln kh nng t c nhng mc tiu ny ca cc quc gia s c th cung cp nhng ch dn v mc n cng thch hp. m bo tnh bn vng ca chnh sch ti kha: Khng c bt k mt quy tc n gin no xc nh n cng l bn vng hay khng. Mt phng php thng c s dng xem xt chnh sch ti kha c bn vng hay khng l xem s n nh ca t l n cng trn GDP (v d, xem Blanchard et al. (1990)). Mt cch tip cn khc, IMF (2003) s dng cch tip cn n bn vng xc nh mc n trn GDP ph hp vi hiu qu ti kha trong qu kh ca mi quc gia. Nu mt quc gia c th to ra thng d c bn (primary surplus) cao trong qu kh th n s c th chu c mt t l n trn GDP cao hn m khng gp phi nhng bt n v lm mt tnh bn vng ca n. Con s ny da trn hiu qu ti kha trong qu kh, c tm lc bi thng d c bn trung bnh. Theo kch bn ny, gi nh mt s khc bit gia li sut thc v tc tng trng thc trong lch s, h xc nh mc n bn vng trung bnh cho cc nn kinh t mi ni l khong 25% ca GDP. Mt phn tch gn y cho cc nc cng nghip ha c a ra b Ostry et al. (2010), h xy dng mt hm phn ng ti kha tm tt nhng hnh vi trong qu kh. V h tm thy gii hn ca n l khong 170% 180% ca GDP, trn mc ny n s mt i tnh bn vng. Chnh sch ti kha phn chu k: Mt s nghin cu ch ra rng mc nh hng ca chnh sch ti kha n tng cu ph thuc vo mc ban u ca n, vi mc n cao hn dn n s gim theo s nhn hoc thm ch mt s nhn m. mc n thp, chnh sch ti kha c tc ng theo l thuyt Keynes truyn thng, tuy nhin cc tc ng b o ngc mc cng thng ti kha cao, khi cc bin php tht cht ti kha c th c m rng thng qua nhng tc ng ca n i vi li sut, phn b ri ro v nim tin. Mc n chnh xc m ti nhng tc ng theo l thuyt Keynes b o ngc l rt kh xc nh t cc ti liu hin nay. Trong mt d liu ca 19 quc gia OEDC, Perotti (1999) tm thy bng chng r 14

rng rng cng thng ti kha, c tnh ton nh l mt hm s ca n cng v nhu cu chi tiu ca chnh ph trong tng lai, l mt yu t quan trng quyt nh hiu qu ca chnh sch ti kha. Tuy nhin, mc n chnh xc m ti xy ra s o ngc khng c cp n. Tng t nh vy, IMF (2008) pht hin ra rng tnh hiu qu ca chnh sch ti kha nh mt cng c phn chu k l nh hn cc quc gia c mc n cng cao c xc nh l trn 75% so vi GDP nhng nc cng nghip v 25% so vi GDP cc nn kinh t mi ni. Gn y nht, IMF (2009) khng nh li pht hin ny bng cc ti liu chng minh rng s hiu qu ca chnh sch ti kha trong vic kch thch tng cu trong giai on suy thoi kinh t l t l nghch vi mc n cng: tc ng ca chi tiu cng ln kh nng hi phc kinh t tr nn tiu cc khi mc n vt qu 60% so vi GDP. Hn ch tc ng t cuc khng hong: khng hong tnh thanh khon v s v n xy ra nhiu mc n cng khc nhau. Nhiu nghin cu c gng kim tra nhng mc n nc ngoi no nh hng tiu cc n tng trng bng cch tng mc ngha xc xut xy ra khng hong. Trong mt mu ca cc nc ang pht trin, Pattillo et al. (2002) pht hin ra rng ti mc n l 35-40% GDP tc ng ca n nc ngoi ln tng trng tr nn tiu cc nguyn nhn chnh l do gim hiu qu u t. Cohen (1997) tm thy im n cao hn: vi mc n khong 50% GDP, kh nng gia hn n tng ln ng k. Ngng n c c tnh tng t trong nghin cu ca Manasse et al. (2003) cc tc gi ny c tnh mt ngng n l 50% so vi GDP. Nhng bi nghin cu ny a ra tng v mc n trung bnh m ti tnh trng d b tn thng tng ln. Ti u ha tc tng trng bng cch gim nguy c chn ln: Mt mc n mc tiu cng c th c thit lp vi gc nhn nhm ti u ha tc tng trng theo gi nh rng cn bng Ricardian l khng tn ti v ti mc n cao hn, u t cng s chn ln u t t nhn. Mc n cao cng c th dn n gnh nng thu k vng trong tng lai cao hn, iu ny s lm gim li nhun sau thu k vng ca nh u t, do lm gim u t v tng trng (Krugman, 1988; Agenor and Montiel, 1996). Ngoi ra, mc n cao c th cn tr kh nng ni lng cc chnh sch khi thch hp, kt qu l tng trng thp. V d, Smyth et al. (1995) c 15

tnh t l n lm ti a ha tc tng trng ca US l khong 40% GDP. Mati (2005) c tnh t l n trn 38% GDP s lm gim tc tng trng ca Indonesia. Reinhart and Rogoff (2010), vi mt mu ca 44 quc gia qua 200 nm, ch ra rng mi quan h gia tng trng v n dng nh l yu ti mc n di 90% GDP, nhng khi n tng ln trn 90% GDP tc tng trng trung bnh gim 1%. Caner et al. (2010) s dng cch tip cn kinh t lng: hi quy tc tng trng bng m hnh hi quy ngng (threshold least squares estimate) (Hansen, 2000) xc nh mt ngng trong mi quan h gia t l n cng trung bnh di hn trn GDP v tc tng trng trung bnh di hn ca giai on (1980-2008). H nhn thy rng vi ngng n l 77,1% vi mi phn trm tng thm trong t l n lm tc tng trng gim 0,0174%. i vi cc nc ang pht trin t l ny l thp hn 64% so vi GDP. Cng vi phng php tng t, S nh Thnh (2012) s dng d liu n cng ca Vit Nam giai on 1990 2010 tm ra ngng n cng cho Vit Nam l 75,8% GDP. Kumar and Woo (2010) bng cch s dng phng trnh tc tng trng vi d liu mng ng iu tra cc mi quan h gia t l n trn GDP v tng trng, v c tnh ngng n c tc ng tiu cc n tng trng l khong 90% GDP. To khng gian cho nhng khon n bt ng ln hn: Thc nghim gn y tha nhn rng cc khon n bt ng hoc tim n c bit l nhng khon n lin quan n ti cp vn ca khu vc ti chnh c th lm n cng tng ng k v e da tnh bn vng ca n. Chi ph ca chnh ph cho vic ng u vi cc cuc khng hong h thng ngn hng trong 3 thp k va qua, trung bnh l 16% GDP5. Kh nng chu ng mc n cng: Khun kh l thuyt khng dung np n u tin c a ra bi Reinhart et al. (2003) nm bt mt thc t rng mt s nc c t kh nng duy tr an ton mt mc n so vi cc nc khc. ng dng khun kh l thuyt ny xc nh t l n mc tiu hoc ngng n ca mi quc gia da vo mc khng dung np n hoc da vo xp hng tn dng mong mun. c nhiu nghin cu v t l n mc tiu da trn khun kh l thuyt ny. Di Bella (2008), Everaert (2008), v Topalova and Nyberg (2009) tnh

5

Xem Laeven and Valencia (2008).

16

ton t l n mc tiu cho cc nc khc nhau nh Dominican Republic (25% GDP), Keyna (41% GDP), India (49% GDP) bng cch s dng cch tip cn ca Reinhart et al. (2003); Barrot and Bannister (2011) hiu chnh phng php ca Reinhart et al. (2003) tnh ton t l n mc tiu cho CAPDR6. Bng 2.1 Cc nghin cu thc nghim v ngng nNgng n(% ca GDP)

Tc gi

Phng php tip cn m bo tnh bn vng ca chnh sch ti kha (lch s thng d c bn) Chnh sch ti kha phn chu k Hn ch tc ng t cuc khng hong Ti u ha t tng trng bng cch gim nguy c ln t Ti u ha t tng trng bng cch gim nguy c ln t Hn ch tc ng t cuc khng hong Chnh sch ti kha phn chu k M hnh hi quy ngng M hnh hi quy ngng M hnh hi quy ngng Biu lin quan n i vi pht trin Biu lin quan n i vi pht trin Phng trnh tc tng trng m bo tnh bn vng ca chnh sch ti kha (hm phn ng ti kha)

Phm vi quc gia Th trng mi ni Th trng mi ni Cc nc ang pht trin Indonesia M Cc nc ang pht trin Cc nc cng nghip Cc nc ang pht trin Vit Nam Cc nc cng nghip Cc nc cng nghip Th trng mi ni Tt c cc nc Cc nc cng nghip

25 25 35 - 40 38 40 50 60-75 64 76 77 90 90 90 170-180

IMF (2003) IMF (2008, 2009) Pattillo (2002) Mati (2005) Smyth (1995) Cohen (1997); Manasse et al. (2003) IMF (2008, 2009) Caner et al. (2010) S nh Thnh (2012) Caner et al. (2010) Reinhart and Rogoff (2010) Reinhart and Rogoff (2010) Kumar and Woo (2010) Ostry et al.(2010)

6

Central America, Panama v Dominican Republic.

17

Cc nghin cu thc nghim cung cp mt lot cc ngng n cng ty thuc vo tnh hnh ca mi quc gia v nhng mc tiu chnh sch c u tin. Tuy nhin, nhng c tnh ny vn cn nhiu nghi vn. D liu lch s v n cng (khng ging nh n nc ngoi) b hn ch, ch yu l s liu ca cc nc cng nghip v trong khong thi gian tng i gn y. Nghin cu v n cng trong nc b gt sang mt bn do quan im cho rng cc th trng mi ni thng s dng n nc ngoi hn l n trong nc. Ch gn y mi c mt b d liu ton din v n cng c bin son bi (IMF, 2003; Reinhart and Rogoff, 2008; Reinhart and Rogoff, 2009), cho php cc nh nghin cu xem xt li n cng nh hng nh th no n kh nng t c cc mc tiu ca h. 2.3 Khng dung np n (Debt Intolerance) Ti sao mt vi nc c kh nng duy tr an ton mt mc n rt cao trong khi cc nc khc gp phi vn vi mt mc n tng i thp? V d, Argentina ri vo khng hong n nc ngoi vo cui nm 2001, mc d t l n nc ngoi trn GDP ca h ch mc 50,9% cui nm 2000 v mc 56,9% vo cui nm 2001; trong khi, t l n nc ngoi trn GDP ca c cui nm 2001 l 115,2% nhng khng ai nghi ng kh nng thanh ton ca h. V khi nim khng dung np n ln u tin c gii thiu bi Reinhart et al. (2003) nm bt mu thun ny tc l mt s nc c t kh nng duy tr an ton mt mc n so vi cc nc khc; hay theo mt cch khc l nhiu nn kinh t gp kh khn trong vic tip cn th trng vn, thm ch mc n nc ngoi thp, trong khi cc nc khc c mc n c nh gi kh cao vn d dng tip cn ngun tn dng. im mu cht ca phn tch c trnh by bi Reihart et al. (2003) l khng dung np n trc ht l kt qu ca cc th ch yu v h thng chnh tr c vn nhiu nn kinh t mi ni. H cho rng cc nc khng dung np n c xu hng c h thng ti chnh v ti kha hot ng km hiu qu hn so vi cc nn kinh t pht trin. Nhng yu km ca h thng th ny lm cho cc nc khng dung np n d ri vo tnh trng v n. Tuy nhin, mt khi v n xy ra, n thng lm trm trng thm cc vn ca h thng ti chnh v ti kha hin c, v do tnh trng 18

v n c nhiu kh nng ti din, c th dn n mt chui v n (serial default). Kt qu l mt mu hnh ca kh nng duy tr n km, mt khi c thit lp, c xu hng tn ti kh lu di. Do , lch s dng nh l mt ch dn tt nhn bit mc khng dung np n v ngng n an ton ca mt quc gia. Mc khng dung np n v ngng n an ton ca mi quc gia ph thuc rt nhiu vo nhng quan st v v n v lm pht ca quc gia . V h cng ngh rng mc khng dung np n ca mt nc c th c o lng (xp x) bi t s ca n nc ngoi trung bnh di hn ca n (t l vi GNP hoc xut khu) trn ch s ri ro v n. Trong phn ny chng ti s tm tt li cch tip cn khng dung np n ca Reinhart et al. (2003) v Reinhart and Rogoff (2009) (t y v sau, RRS). Chng ti ch m t li cng vic ca Reinhart et al. (2003) vi mt vi bng s liu s c chng ti cp nht t Reinhart and Rogoff (2009), cc bng s liu c trong Reinhart et al. (2003) s c chng ti trnh by ph lc C. Chng ti vn tip tc s dng mt vi bng s liu ca Reinhart et al. (2003) minh ha, tuy nhin kt qu rt ra t nhng bng s liu ca Reinhart et al. (2003) l tng t vi kt qu ca Reinhart and Rogoff (2009). 2.3.1 Khng dung np n v chui v n trong bi cnh lch s Bi cnh lch s s gip gii thch cch tip cn ca RRS, da trn lch s n di hn ca mt quc gia. im c bn l nhiu nc b v n trn n nc ngoi ca h v iu ny ti din nhiu ln trong lch s. V d, gn y nhiu nc M Latin ang gp phi nhng vn n nn nghim trng cng nh tri qua vn trong nhng nm 1980, 1930, 1870, 1820, v ni chung l vo nhiu thi im khc nhau. Vn n ca Brazil thu ht nhiu s ch trong thi gian gn y, v n nc ngoi by ln trong vng 175 nm qua. Cng trong khong thi gian , Venezuela v n chn ln v Argentina v n bn ln. Nhng vn khng ch b gii hn cc nc M Latin, m cn nhiu nc khc, v d, Th Nh K, mt tm im ca s ch sau ny, v n su ln trong 175 nm qua. Tuy nhin, mt mt khc, mt vi nc trnh c v n trong nhng thp k qua. n

19

Bng 2.2 Lm pht, v n nc ngoi v ri ro quc gia : 1824 - 2001 Phn trm S quan Phn trm S nm k Xp hng ca giai on st v n cc nm t nm cui ca 12 thng vi hoc ti trong trng cng trong Institutional lm pht bng cu trc thi v n trng thi Investor hoc ln hn 1824 hoc ti v n hoc 9/2002** 40% 1958 1999 cu trc n ti cu trc 2001* 1824 - 1999 n Cc nc mi ni vi t nht mt ln ti cu trc hoc v n nc ngoi t 1824 Argentina Brazil Chile Colombia Egypt Mexico Philippines Turkey Venezuela Trung bnh 47,2 59,0 18,6 0,8 0,0 16,7 2,1 57,8 11,6 23,8 4 7 3 7 2 8 1 6 9 5,2 25,6 25,6 23,3 38,6 12,5 46,9 18,5 16,5 38,6 27,3 0 7 17 57 17 12 10 20 4 16 15,8 39,9 66,1 38,7 45,5 59,0 44,9 33,8 30,6 41,6

Cc nc mi ni vi lch s khng c ti cu trc hoc v n nc ngoi India Korea Malaysia Singapore Thailand Trung bnh 0,0 0,0 0,0 0,0 0,0 0,0 0 0 0 0 0 0 0,0 0,0 0,0 0,0 0,0 0,0 ----------47,3 65,6 57,7 86,1 51,9 61,7

Cc nc cng nghip vi lch s khng c ti cu trc hoc v n nc ngoi Austrailia Canada New Zealand Norway U.K. U.S. Trung bnh 0,0 0,0 0,0 0,0 0,0 0,0 0,0 0 0 0 0 0 0 0 0,0 0,0 0,0 0,0 0,0 0,0 0,0 --------------84,5 89,4 81,2 93,1 94,1 93,1 89,2

* Giai on bt u: 1962:1 i vi Singapore; 1964:1 i vi Brazil; 1966:1 i vi ThaiLand; 1970:1 i vi Turkey; v 1971:1 i vi Korea. ** Theo t l t 0 n 100, y 100 cho bit xc sut thp nht ca v n trn n chnh ph. Ch : --- biu th khng c p dng, Ngun: Reinhart et al. (2003).

20

(India), Hn Quc (Korea), Malaysia, Singapore, v Thi Lan (Thailand) l nhng thnh vin danh d ny. S tng phn gia lch s ca cc nc vi lch s c v n v cc nc vi lch s khng c v n tm tt trong bng 2.2. Trong giai on t nm 1824 n nm 2001, cc khon n ca Brazil v Argentina hoc l v n hoc l tri qua ti cu trc n mt phn t thi gian, Venezuela v Colombia gn 40% thi gian, v Mexico gn nh mt na thi gian k t khi n c lp. Trung bnh, chui nhng ngi v n c lm pht hng nm vt qu 40% chim khong mt phn t thi gian. Ngc li, cc nn kinh t mi ni trong bng vi lch s khng c v n nc ngoi hoc ti cu trc th khng c nm no m lm pht vt qu 40%. Bng 2.2 cng bao gm mt mu cc nc pht trin vi lch s khng v n nc ngoi. Theo cc quan st ca RRS, nn kinh t th trng mi ni hm nay khng to ra chui v n. Chui v n xut hin chu u t nht l t th k mi su. Ty Ban Nha v n mi ba ln t th k mi su n th k mi chn, vi ghi chp v n u tin vo nm 1557 v cui cng vo nm 1882. Ch trong th k mi chn, B o Nha, c, o v n nc ngoi nm ln, v Hy Lp, vi bn ln v n trong sut giai on ny. Php v n tm ln trong giai on t nm 1550 n 1800. 2.3.2 Ngng n Nn kinh t th trng mi ni vi t l n nc ngoi trn GNP trn 150% c cho l c ri ro v n cao. V trong s cc nn kinh t pht trin, t l n nc ngoi trn GNP ca Nht l 170%, cng c coi l cao. Tuy nhin, v n c th xy ra hoc khng xy ra t l n nc ngoi trn GNP khng c xem l qu cao i vi nn kinh t pht trin, v d, nm 1982 Mexico khng hong n xy ra ti t l n trn GNP l 47%, v nm 2001 Argentina ri vo khng hong n ti t l n nc ngoi trn GNP l khong 50%7.

7

Ph thuc vo cch nh ngha t l n.

21

Bng 2.3 T l n nc ngoi cc nc thu nhp trung bnh khi xy ra s kin tn dng bt li 1970 - 2008 Nm bt u s kin tn dng Albania Argentina Bolivia Brazil Bulgaria Chile Costa Rica Domina Republic Ecuador 1990 1982 2001 1980 1983 1990 1972 1983 1981 1982 1984 2000 2008 1984 1982 1981 1992 1990 1978 1989 1982 1983 1983 1978 1984 1983 1981 1982 1991 1998 1985 1989 1978 1983 1982 1983 T s n nc ngoi trn GNP ti nm bt u 16,6 55,1 50,8 92,5 50,1 57,1 31,1 96,4 136,9 31,8 68,2 106,1 20,0 112,0 214,3 61,5 41,8 n.a. 48,5 179,5 46,7 87,0 88,1 80,9 62,0 70,6 n.a. n.a. 12,5 58,5 n.a. 49,4 21,0 63,7 41,4 n.a. 69,3 22 T s n nc ngoi trn xut khu ti nm bt u 98,6 447,3 368,1 246,4 393,6 154,0 n.a. 358,6 267,0 183,4 271,5 181,5 81,0 304,6 337,7 182,8 77,7 n.a. 103,9 234,2 279,3 305,6 162,0 388,5 288,9 278,1 108,1 73,1 n.a. 109,8 n.a. 103,6 374,2 204,0 159,8 n.a. 229,9

Egypt Guyana Honduras Iran Iraq Jamaica Jordan Mexico Morocco Panama Peru Philippines Ba Lan Romania Russian South Africa Trinidad and Tobago Turkey Uruguay Venezuela Yugoslavia Trung bnh

Ch : K hiu n.a. cho thy khng c s liu. Ngun: Reinhart and Rogoff (2009).

iu tra ca RRS v ngng n ca cc nn kinh t th trng mi ni c thu nhp trung bnh trong sut giai on t 1970 n 20088. Bng 2.3 lit k ba mi nc chu t nht mt ln v n hoc ti cu trc trong giai on ny, nm bt u s kin tn dng, v t l n nc ngoi trn GNP v trn xut khu ti cui nm . R rng t bng ta thy v n nc ngoi ca Mexico nm 1982 v v n nm 2001 ca Argentina khng phi l ngoi l, cn nhiu nc khc cng phi chu ng cc s kin tn dng bt li mc n di 60% ca GNP; v cng khng phi l cc s kin v n gn y nht, Ecuador v n nc ngoi nm 2008. Bng 2.4 cho thy rng v n nc ngoi t l n nc ngoi vt qu 100% GNP ch chim 16% ca cc quan st theo iu tra v ngng n ca RRS, hn mt na cc quan st v n xy ra ti t l n nc ngoi trn GNP di 60%, v v n xy ra mc d t l n nc ngoi trn GNP thp hn 40% chim gn 20% cc quan st ny. Bng 2.4 Phn phi tn sut ca t l n nc ngoi ca cc nc thu nhp trung bnh ti thi im ca s kin tn dng: 1970 - 2008 Phm vi n nc ngoi trn GNP trong nm u tin ca s kin tn dng Di 40% 41% - 60% 61% - 80% 81% - 100% Trn 100%Ngun: Reinhart and Rogoff (2009).

Phn trm ca tng s kin tn dng 19,4 32,3 16,1 16,1 16,1

Tip theo RRS so snh cc quan st n nc ngoi ca cc nn kinh t mi ni vi lch s c v n v khng c v n. Hnh 2.2 cho thy phn phi tn sut ca t l n nc ngoi trn GNP cho hai nhm nc vi lch s c v n v lch s khng c v n t nm 1970 n 2008. Hai phn phi rt khc bit v cho thy rng cc nc vi lch s c v n vay nhiu hn so vi cc nc vi lch s khng c v n. S chnh lch t s n nc ngoi gia cc nc vi lch s c v n v cc nc vi lch s khng c v n m rng hn na khi t s n nc ngoi trn xut

8

Cp nht s liu t Reinhart and Rogoff (2009).

23

khu c xem xt (iu ny tng t vi kt qu ca Reinhart et al. (2003) c trnh by ph lc C). Dng nh nhng nc c nguy c v n cao nht khi h vay mn ( l, nhng nc khng dung np n ln nht) cng vay mn nhiu nht. Hnh 2.2 Phn phi tn sut ca t l n nc ngoi: 1970 - 2008

Bng 2.5 v hnh 2.3 trnh by phn phi tch ly ca t s n nc ngoi trn GNP cho cc nc vi lch s c v n v cc nc vi lch s khng c v n. Hn mt na cc nc vi lch s tn dng lnh mnh c t s n nc ngoi trn GNP thp hn 35% (v 47% c t s n nc ngoi thp hn 30%). Ngc li, i vi nhng quc gia c mt lch s tn dng tng i xu, mt ngng t l n nc ngoi trn GNP trn 40% l cn thit nm bt phn ln cc quan st. Nu khng tnh n cc nhn t c th ca bt k quc gia no gii thch khng dng np n, th chng ta c th thy t bng 2.4 v bng 2.5, khi n nc ngoi vt qu 30% n 35% ca GNP mt nc khng dung np n, ri ro ca s kin tn dng bt u tng ln ng k. y ch l mt ngng chung, cc nc khc nhau c mc khng dung np n khc nhau, do RRS s tip tc tnh ton ngng n c th cho mi quc gia khng dung np n phn sau.

24

Hnh 2.3 Phn phi tch ly t l n nc ngoi ca cc nn kinh t mi ni 1970 - 2000

Bng 2.5 Phn phi tn sut ca t s n nc ngoi ca cc nn kinh t mi ni 1970 - 2000 T l n nc ngoi trn GNP (%) 0 5 10 15 20 25 30 35 40 45 50 Thng k Mode Trung v Cc nn kinh t vi lch s khng c v n nc ngoi T trng Phn phi tch (phn trm) ly 0,0 0,0 1,9 1,9 3,2 5,2 18,7 23,9 7,1 31,0 8,4 39,4 7,1 46,5 6,5 52,9 10,3 63,2 7,1 70,3 4,5 74,8 14,0 33,3 25 Cc nn kinh t vi lch s c v n nc ngoi T trng Phn phi tch (phn trm) ly 0,0 0,0 0,0 0,0 0,7 0,7 4,3 5,0 6,5 11,5 7,5 19,0 9,3 28,3 13,3 41,6 7,5 49,1 9,3 58,4 11,5 69,9 28,0 40,9

Ngun: Reinhart et al. (2003).

2.3.3 Cc thnh phn ca khng dung np n o lng khng dung np n, RRS tp trung vo hai ch s: Xp hng n quc gia c bo co bi Institutional Investor, v t l n nc ngoi trn GNP (hoc c th thay th bng t l n nc ngoi trn xut khu). Xp hng ca Institutional Investor c bin son hai ln mt nm, da trn nhng thng tin c cung

cp bi cc nh kinh t v cc nh phn tch ri ro quc gia ti cc ngn hng v cc cng ty chng khon ton cu hng u. im xp hng ca mi nc c phm vi t 0 n 100, vi nh gi 100 im cho mt nc c coi l c ri ro thp nht ca v n trn ngha v n ca chnh ph. Do RRS thc hin mt bin chuyn i nh mt i din cho ri ro v n. Thnh phn chnh th hai o

lng khng dung np n l tng n nc ngoi, c xem xt nh mt t l vi GNP hoc xut khu. Cc biu trong hnh 2.4 da trn mi thnh phn chnh ca khng dung np n cho mi nm trong giai on 1979 2000 cho mi su nn kinh t th trng mi ni. RRS mong i thc o ri ro c xu hng tng vi mc n

nc ngoi, nhng mi quan h ny c th l phi tuyn. Bng 2.6 cho thy trung bnh giai on ca cc thc o ri ro v n v n nc ngoi khc nhau (hai thnh phn chnh ca khng dung np n) cho mt mu i din cc nc. Bi v mt vi nh nghin cu lp lun rng chun ng cho n cc nn kinh t mi ni l mc n cng m cc nc pht trin c th duy tr9, bng 2.6 cng bao gm cc thc o ny cho mt nhm cc nn kinh t pht trin vi lch s khng c v n. Bng 2.6 cho thy r rng rng, mc d mi quan h gia n nc ngoi v ri ro v n c th l n iu cho cc nn kinh t mi ni, nhng n r rng l khng n iu cho n cng ca cc nc pht trin; cc nc ny, mc n chnh ph kh cao cng c th tn ti vi mc ri ro v n thp. Bng 2.6, cng vi bng 2.7, cho thy cc cp tng quan gia hai t s n v ba thc o ri ro cho mt mu ln hn ca cc nc ang pht trin v cng nu bt thc t rng cc thc o ri ro khc nhau trnh by mt hnh nh tng t v mi tng quan gia ri ro v t l n nc ngoi. Nh d on qua hnh 2.4, mi9

V d, xem Reisen (1989).

26

tng quan l dng trong tt c cc nhm khu vc v hu ht l c ngha thng k. Hnh 2.4 T l n nc ngoi v ri ro v n ca mt s nn kinh t mi ni, 1979 - 2000

27

Bng 2.6 Cc thc o thay th cc ch s ca "khng dung np n"* Trung bnh Trung bnh T l n T l n gi th chnh lch nc nc ngoi trng th ch s tri ngoi trn xut cp phiu ca trn GNP khu (Second th trng 1970-2000 1970 - 2000 (%) Market mi ni (%) Prices), (EMBI 1986 - 1992 spread) Cc nn kinh t mi ni vi t nht mt ln v n hoc ti cu trc n nc ngoi t 1824 34,7 34,9 1756 37,1 368,8 Argentina 37,4 42,9 845 30,7 330,7 Brazil 47,5 70,8 186 58,4 220,7 Chile 44,6 71,4 649 33,6 193,5 Colombia 33,7 n.a. 442 70,6 226,7 Egypt 45,8 56,0 593 38,2 200,2 Mexico 34,7 54,4 464 55,2 200,3 Philippines 34,9 n.a. 663 31,5 210,1 Turkey 41,5 59,6 1021 41,3 145,9 Venezuela Trung bnh 39,4 55,7 638 44,1 232,9 nhm Cc nn kinh t mi ni vi lch s khng v n v ti cu trc n nc ngoi 46,5 n.a. n.a. 19,0 227,0 India 63,4 n.a. 236 31,9 85,7 Korea 63,5 n.a. 166 40,1 64,9 Malaysia 79,9 n.a. n.a. 7,7 4,5 Singapore 55,7 n.a. 240 36,3 110,8 Thailand Trung bnh 61,8 n.a. 214 27,0 98,6 nhm Cc nn kinh t cng nghip vi lch s khng v n v ti cu trc n nc ngoi** 77,3 n.a. n.a. 29,8 159,3 Australia 86,0 n.a. n.a. 68,9 234,4 Canada 76,4 n.a. n.a. 81,6 366,0 Italy 70,7 n.a. n.a. 51,9 167,3 New Zealand 85,3 n.a. n.a. 34,4 87,5 Norway 92,8 n.a. n.a. 58,4 671,7 United Trung bnh 81,3 n.a. n.a. 54,2 281,0 nhm Trung bnh xp hng ca Institutional Investor, 1979 - 2002* Tnh trung bnh giai on. ** T s n c tnh da trn tng n c chnh ph pht hnh. Ch : K hiu n.a. cho thy khng c s liu. Ngun: Reinhart et al. (2003).

28

Bng 2.7 Tng quan gia cc thc o thay th cc ch s ca "khng dung np n" 100 - Xp hng ca Institutional Investor, 1979 - 2000 100 - Xp hng ca Institutional Investor, 1979 - 2007 100 - Gi th trng th cp, 1986 1992 Chnh lch ch s tri phiu ca th trng mi ni (EMBI spread)

Tng quan vi t l n nc ngoi trn GNP Tt c nc ang pht 0,40* 0,45* 0,47* trin 0,22 0,33* 0,65* Chu Phi 0,44* 0,54* n.a. Cc nc mi ni Chu 0,18 0,14 n.a. Trung ng 0,38* 0,45* 0,50* Western Hemisphere Tng quan vi t l n nc ngoi trn xut khu Tt c nc ang pht 0,61* 0,63* 0,58* trin 0,60* 0,56* 0,59* Chu Phi 0,74* 0,70* n.a. Cc nc mi ni Chu 0,51* 0,48* n.a. Trung ng 0,43* 0,47* 0,59* Western Hemisphere

0,55* 0,73* n.a. n.a. 0,45*

0,37* 0,67* n.a. n.a. 0,06

* Cho bit mi tng quan l c ngha thng k mc 5%. Ch : K hiu n.a. cho thy khng c s liu. Ngun: Reinhart et al. (2003).

2.3.4 Khng dung np n: Nhm v khu vc RRS tip tc s dng cc thc o hai thnh phn chnh ca khng dung np n xp hng ri ro v t l n nc ngoi trong mt thut ton hai bc, c vch ra trong hnh 2.5, xc nh cc nhm ca cc nc vay n v cc khu vc d b tn thng. RRS bt u bng tnh ton trung bnh (47,6) v lch chun (25,9) ca cho 90 nc trong giai on 1979 2007, v s dng nhng thng k ny nhm cc nc thnh 3 nhm. Nhm A bao gm cc nc c trung bnh giai on 1979 2002 l 73,5 (gi tr trung bnh cng vi mt lch chun) hoc cao hn; thnh vin ca nhm ny v c bn, cc nc pht trin c c s truy cp lin tc n th trng vn. Do lch s tr n v kh nng hp th n ca mnh (bng 2.2 v bng 2.3), nhng nc ny c khng dung np n nh nht. 29

thi cc ngc li, nhm C, l nhng nc c trung bnh

thp hn 21,7 (trung

bnh tr i lch chun). Nhm ny bao gm cc nc c khng dung np n ln nht v th trng khng thng xuyn cho h c hi vay mn, do ngun ti chnh bn ngoi ca h ch yu l cc khon tr cp v cc khon vay chnh thc. Nhm B bao gm cc nc cn li v l trng tm chnh ca nhng phn tch ca RRS. Nhng nc ny c mc khng dung np n khc nhau. Nhm B l nhm ln bao gm c nhng nc gn vi mc tiu chun ca nhm A cng nh cc nc trn b vc ca v n. Thnh vin ca nhm B do cn phi c s phn bit hn na, bi vy thc o kh nng thanh ton n, ,

c a ra khng cn l mt thng k y , v thng tin v mc vay n (thnh phn th hai ca khng dung np n) l cn thit xc nh chnh xc hn mc khng dung np n ca cc nc trong nhm ny. Do , trong bc th hai, thut ton ca RRS tip tc chia nh nhm B nhm khng xc nh thnh bn khu vc, dao ng t khng dung np n nh nht n ln nht. Khu vc c khng dung np n nh nht (khu vc I) bao gm nhng nc c trung bnh ca giai on 1979 2007 l trn trung bnh (47,6) v c t l n nc ngoi trn GNP thp hn 35% (Nh lu trc , cc nc di ngng n gii thch cho hn mt na cc quan st cc nc khng v n sut giai on 1970 2008). Khu vc II bao gm cc nc c trung bnh ca giai on 1979 2007 l trn mc trung bnh nhng c t l n nc ngoi trn GNP trn 35%. Bi v kh nng thanh ton n di hn ca h cao hn, cho php h c th duy tr mt gnh nng n cao hn mc trung bnh, y l nhm c khng dung np n nh th hai trong nhm B. Khng dung np n ln hn khu vc III, kh nng thanh ton n di hn (c o nh trung bnh ca h) l di trung bnh nhng ln hn 21,7 v n nc ngoi l thp hn 35% GNP. Cui cng, cc nc trong nhm B vi khng dung np n cao nht khu vc IV, vi trung bnh thp hn mc trung bnh nhng ln hn 21,7 v n nc ngoi trn 35% GNP. Cc nc trong khu vc IV c th d dng ri vo nhm C tt nghip, o ngc, v mt kh nng tip cn th trng tn dng. V d, u nm 2000 Argentina l 43 v n nc ngoi trn GNP l 51%, do n thuc khu vc IV. 30 ca

Hnh 2.5 nh ngha: Nhm v Khu vc.

[ Cc nc vay mn ]

Nhm A ?????????????????? 73,5 C quyn tip cn lin tc th thng vn

Nhm B 2 ,7 < ?????????????????? < 73,5 C quyn tip cn khng lin tc n th trng vn

Nhm C ?????????????????? 2 ,7 Khng c quyn tip cn th trng vn

Khu vc I47,6 ?????????????????? < 73,5 ?????? ???????????? ???????????????????????? ?????????????????? ?????????????????? < 35

Khu vc II47,6 ?????????????????? < 73,5 ?????? ???????????? ???????????????????????? ?????????????????? ?????????????????? 35

Khu vc III2 ,7 ?????????????????? < 47.6 ?????? ???????????? ???????????????????????? ?????????????????? ?????????????????? < 35

Khu vc IV2 ,7 ?????????????????? < 47,6 ?????? ???????????? ???????????????????????? ?????????????????? ?????????????????? 35

Mc khng dung np n thp nhtIIR l gi tr trung bnh giai on 1979 2007 ca xp hng Institutional Investors. Ngun: Reinhart and Rogoff (2009).

Mc khng dung np n cao nht

31

Tnh n thng 9 nm 2002, IIR ca Argentina gim xung cn 15,8, v do n ri vo nhm C. RRS thy rng cc nc khng chuyn dn tt nghip ln nhm cao hn mt cch d dng; thc vy, n c th mt nhiu thp k thc hin tr n mc n thp c th chuyn t B ln A. 2.3.5 Nhng yu t lch s ca ri ro quc gia Phn ny iu tra v mi quan h gia lch s tn dng nc ngoi, lch s ca lm pht vi ri ro quc gia, RRS s dng d liu 53 nc gm c cc nc pht trin v ang pht trin. Xp hng , thc o c ngh cho kh nng thanh ton n, l mt bin ph thuc trong tt c cc hi quy. o lng lch s tn dng ca mt quc gia, RRS tnh phn trm ca cc nm trong mu khi t nc b v n nc ngoi hoc tri qua mt t ti cu trc n. Hai giai on khc nhau c phn tch: 1824 1999 v 1946 1999. Ch s khc ca lch s tn dng m RRS s dng l s nm t nm cui cng t nc trong trng thi v n hoc ti cu trc n. RRS cng tnh ton cho mi nc phn trm ca cc nm c lm pht trn 40%10 trong sut giai on t 1948 2000. RRS cng s dng mt bin gi cho nhm A trong cc hi quy, cho php cc nc thuc nhm A c mt h s gc khc, ph thuc vo t l n trn GNP. Tuy nhin, s dng t s n nc ngoi trn GNP (hoc t s n nc ngoi trn xut khu) trung bnh giai on 1970 - 2000 nh l mt bin c lp dn n mt vn ni sinh tim tng. Do , RRS bo co cc kt qu ca c hai phng php c lng: OLS v IVs; trong phng php IVs, s dng trung bnh giai on 1970 1978 ca t s n nc ngoi trn GNP nh mt bin cng c. Bi v kim nh White cho thy vn phng sai thay i, nn RRS hiu chnh cho ph hp m bo tnh thng nht ca cc sai s chun. Bng 2.8 trnh by kt qu ca su thng s ca cc hi quy xuyn quc gia (cross country regression). Cc kt qu cho thy mt vi bin s gii thch mt phn ng k (khong 75%) ca nhng thay i trong kh nng thanh ton n c o bi . Nh mong i, mt quan st xu v tr n hoc lm pht lm gim xp hng v tng ri ro. N nc ngoi trn GNP tham gia vi mt h s m (v c 10

Cc tho lun ti sao ngng lm pht cao l 40%, xem Easterly (2001) v Reinhart and Rogoff (2002).

32

ngha thng k) cho tt c cc nc thuc nhm B v C, trong khi h s l dng cho nn kinh t thuc nhm A. Bng 2.8 Hi quy bin gii thch IIR vi lch s lm pht, v n v t s n.c lng bnh phng nh nht Bin c lp 1 2 3 Phn trm s nm c lm 0,16 0,16 0,11 pht ln hn hoc bng ( 2,97) ( 1,87) ( 1,37) 40% Phn trm s nm trong 0,21 trng thi v n hoc ti ( 2,10) cu trc t 1948 Phn trm s nm trong 0,17 trng thi v n v ti ( 1,53) cu trc t 1946 S nm k t nm b v n 0,05 hoc ti cu trc (1,93) N nc ngoi trn GNP x 0,33 0,34 0,29 Bin gi khng thuc ( 5,40) ( 4,49) ( 4,03) nhm A Tng N trn GNP x Bin 0,28 0,29 0,27 gi thuc nhm A (3,63) (3,68) (3,62) Adjusted Ch : t - statistics trong ngoc n. Ngun: Reinhart et al. (2003).

c lng bin cng c (IVs) 4 5 6 0,14 0,13 0,08 ( 1,93) ( 1,26) ( 0,65) 0,12 ( 1,33) 0,12 ( 0,86) 0,05 (1,91) 0,41 0,39 0,33 ( 3,52) ( 2,51) ( 2,02) 0,31 (2,12) 0,74 0,34 (2,30) 0,74 0,33 (2,23) 0,77

0,77

0,76

0,79

2.3.6 Ngng n c th ca t nc Mc d 35% l ngng n nc ngoi trn GNP an ton thi thiu cho nhng t nc khng thuc nhm A, nhng cc nc vi mt lch s tn dng km c th tr nn d b tn thng ngay c mc n nc ngoi trn GNP l thp. minh ha im c bn nhng quan trng ny, RRS s dng cc h s c c lng t hi quy trc, cng vi gi tr thc t ca cc bin c lp, d on gi tr ca cho mi nc vi t s n nc ngoi trn GNP khc nhau. Bng 2.9 minh ha cho tnh ton ny trong trng hp ca Argentina v Malaysia cho cc mc n nc ngoi trn GNP dao ng t 0% n 45%. C hai nc l thnh vin ca nhm B cho n khi Argentina b v n vo thng 12 nm 2001. Tnh ton trn cho thy r rng rng tnh hung khng dung np n ca Argentina l nghim trng hn Malaysia. Argentina vn cn trong khu vc tng i an ton 33

khu vc I, min sao n nc ngoi trn GNP ca n thp hn 15%, trong khi Malaysia vn cn khu vc I khi n nc ngoi trn GNP ti a l 30%, v n s trong khu vc II tng i an ton vi mc n nc ngoi trn GNP l 35%. Argentina i din cho nhiu nc vi mt lch s tn dng v lm pht xu, trong khi Malaysia i din cho cc nc vi mt lch s khng c v n v lm pht cao. Bng 2.9 D bo IIR v khu vc khng dung np n cho Argentina v Malaysia. T l n nc ngoi trn GNP (%) 0 5 10 15 20 25 30 35 40 45 Argentina IIR c d bo 51,4 49,3 47,3 45,2 43,2 41,1 39,1 37,0 34,9 32,9 Khu vc I I I III III III III III IV IV Malaysia IIR c d bo 61,1 59,0 57,0 54,9 52,9 50,8 48,8 46,7 44,7 42,6 Khu vc I I I I I I I II IV IV

Ch : Tc gi tnh ton da trn cc h s t phng trnh hi quy trong bng kt qu c lng phng trnh hi quy Ngun: Reinhart et al. (2003).

2.3.7 Xp hng khng dung np n trong nhm B RRS trnh by bng chng h tr quan im cho rng c mt nhm cc nc c mc khng dung np n l khng xc nh r (nhm B), v cc nc trong nhm ny xp loi t cc nc tng i an ton (khu vc I) cho n cc nc bp bnh hn (khu vc III v IV) ni m cc s kin bt li tr nn c kh nng tng ln. Bng 2.10 cho thy, i vi 14 nn kinh t th trng mi ni trong mu chnh ca RRS, hai thc o ca khng dung np n cho php nh gi mc tng i ca khng dung np n theo mt min lin tc: t s trung bnh giai on 1979 2000 ca n nc ngoi trn GNP chia trung bnh11, v t s trung bnh

11

hay

u l nhng ch s i din cho ri ro v n. Do ly t s n chia cho u c, ch khc nhau cch hiu kt qu nhn c.

hay

34

n nc ngoi trn xut khu chia

trung bnh. Bt k l bin php no m RRS

chn, nhng nc vi lch s tn dng xu th hin mt mc cao ca khng dung np n. V d, vi cch u tin, mc trung bnh khng dung np n ca cc nc vi mt lch s v n l cao gp hai ln so vi mc trung bnh khng dung np n ca cc nc vi lch s trnh c v n. V s khc bit ny ln hn nhiu ln khi RRS s dng cch th hai s dng t l n nc ngoi trn xut khu thay v s dng t l n nc ngoi trn GNP lm t s. Nhng s liu ny c th hu ch so snh mc tng i ca khng dung np n gia cc nc khc nhau. Bng 2.10 o lng mc khng dung np n ca mt s nc trong nhm B: 1979 2000. (N nc ngoi/GNP)/IIR Argentina Brazil Chile Colombia Egypt Mexico Philippines Turkey Venezuela Trung bnh nhm India Korea Malaysia Singapore Thailand Trung bnh nhmNgun: Reinhart et al. (2003).

(N nc ngoi/Xut khu)/IIR

Cc nc vi lch s c v n v ti cu trc 1,1 10,6 0,8 8,8 1,2 4,7 0,8 4,3 2,1 6,7 0,8 4,4 1,6 5,8 0,9 6,0 1,0 3,5 1,1 6,1 Cc nc vi lch s khng c v n v ti cu trc 0,4 4,2 0,5 1,4 0,6 1,0 0,1 0,1 0,7 2,0 0,5 1,7

35

2.4 Mt s vn trong cch tip cn ca Reinhart et al. (2003) C mt s vn vi cch tip cn truyn thng c lng phng trnh khng dung np n. Th nht, c th c vn ni sinh gia bin c lp (n, lm pht v v n) vi bin ph thuc , iu ny c th dn n c lng chch cc h s. RRS nhn ra iu ny v s dng c lng IVs vi kt qu tng qut tng t nh c lng ban u ca h. Tuy nhin, cng c th l vn ni sinh ca cc nhm . Bi v y l nhng nhm da trn cc phn vng ca bin ph thuc (tri vi nhiu bin gi truyn thng da trn phn vng ca cc bin c lp) chng c th cng c mi tng quan vi sai s, do kt qu c lng c th b sai lch. Th hai, c lng ct ngang tnh khng ch n nhng thay i trong bin ng ngn hn, do mi quan h tuyn tnh gia v n

theo thi gian, ngoi ra vic s dng d liu trung bnh giai on lm phng cc v n c th b hn ch. Ngoi ra, vic xc nh cc nhm ph thuc vo mu cc nc c chn cho c lng (c th so snh gia bng trong Reinhart et al. (2003) v Reinhart and Rogoff (2009)), iu ny dn n s sai lch khi xc nh tng ng. Th ba, c lng trc y ch s dng n nc ngoi, trong khi mt nh ngha rng hn bao gm c n trong nc (tc l tng n chnh ph) c th cung cp mt ci nhn y hn v tm quan trng ca n mc tiu trong l thuyt khng dung np n. mc tiu v n mc tiu

3 Phng php nghin cu v d liu3.1 Phng php c lng Chng ti s dng c lng Generalized Method of Moments (GMM) trong khun kh d liu mng ng, nhm hiu chnh vn ni sinh ca cc bin c lp, v a vo tc ng c nh c th mi quc gia. Phng php ny c gii thiu u tin bi Arellano and Bond (1991) cn c gi l First Differenced GMM, phin bn th hai c ngh bi Arellano and Bover (1995) v c pht trin trong Blundell and Bond (1998), System GMM. Cc hiu chnh trong 36

phng php c lng ny c thc hin bi Windmeijer (2005). Chng ti thc hin cc c lng GMM bng phn mm Stata12 da trn hng dn ca Roodman (2009). C hai c lng ni chung c thit k cho nhng tnh hung vi i) d liu c nh, ln, ngha l thi gian ngn v nhiu c th; ii) bin s bn tri phng trnh l ng, ngha l bin s bn tri phng trnh (bin ph thuc) ph thuc vo qu kh ca chnh n; iii) bin c lp khng phi ngoi sinh nghim ngt (not strictly exogenous)13, ngha l chng c tng quan vi sai s trong qu kh v hin ti; iv) tc ng c nh ca mi c th (fixed individual effects) v v) phng sai thay i v t tng quan trong phm vi mi c th. Phng php c lng ny ngy cng tr nn ph bin v c nhiu tc gi s dng, v d, Bond et al. (2001), Bond (2002), Harms and Rauber (2004), Kumar et al. (2011). Tip theo chng ti s trnh by tm lc hai phng php c lng First Differenced GMM v System GMM. Trc ht, xem xt phng trnh sau:, , , ,

y nc,

, ,

i din cho cc bin gii thch trong m hnh, l thnh phn bin i theo thi gian, y,

l tc ng c nh mi,

l sai s chun

ca m hnh. S hin din ca bin tr ph thuc nh l mt bin gii thch khng cho php s dng cc k thut c lng thng thng. Phng php GMM p dng cho d liu mng ng a ra nhng gii php cho vn sai lch ng thi, quan h nhn qu v b st bin. Ngoi ra, n cho php kim sot cc tc ng c nh bt bin theo thi gian. Cc tc ng c nh bt bin theo thi gian c th c loi b bng cch ly sai phn bc nht ca phng trnh:,12 13

,

,

,

2

S dng lnh xtabond2 trong Stata/SE 12.1. Ngoi sinh nghim ngt loi b tt c nhng phn hi t nhng c sc ti thi im thi im .

ln bin c lp ti

37

Trong khi bin i ny gii quyt vn phng sai thay i (v n dn n vn ni sinh v sai s mi tr,, , , ,

,

,

),

l tng quan vi gi tr bin

. Do , c lng phng trnh (2) bng OLS s dn n sai

lch. Vic s dng cc cng c l cn thit khc phc vn ny. Cc bin gii thch ca phng trnh sai phn bc nht ca m hnh c cng c bi cc gi tr bin tr ca chng (trong phng trnh u). c lng GMM c thc hin di hai gi nh: i) cc sai s l khng tng quan v ii) cc bin gii thch ca m hnh c th b nh hng bi cc gi tr tr, nhng khng c tng quan vi gi tr tng lai ca sai s. , ,

.( .(

, ,

, ,

) )

2, 2,

, ,

3, 3,

, ,

3 4

c lng phng trnh sai phn gp vn sau y: cc cng c c sn cho phng trnh sai phn l yu khi cc bin gii thch qun tnh theo thi gian. Nhng cng c l yu nn cc h s c c lng c th b sai lch, c bit l i vi cc mu c kch thc nh v do tnh chnh xc thp. c lng system GMM loi b vn ny bng cch kt hp cc phng trnh sai phn vi phng trnh u. Tc l n c lng phng trnh ng thi vi phng trnh. Blundell and Bond (1998) kim tra phng php ny bng m phng Monte Carlo v thy rng: c lng System GMM l hiu qu hn nhiu so vi c lng First Differenced GMM; c lng First Differenced GMM a ra cc h s b sai lch cho cc mu nh khi cc cng c l yu. i vi phng trnh u, phng php system GMM bao gm thm gi nh sau: ( (, , , ,

). ( ). (

, ,

) )

5 6

Kt hp cc iu kin (3), (4), (5), (6) vi phng php GMM cho php mt c tnh hiu qu cc h s ca m hnh. 38

3.2 D liu Mu ca chng ti bao gm 164 nc, gm c cc nc pht trin v ang pht trin, t nm 2003 n 2011, mt d liu bng khng cn i (unbalanced panel). Cc s liu c s dng trong bi nghin cu ca chng ti u c thu thp ch yu t c s d liu ca IMF, WorldBank. Chng ti s cp chi tit khi nim cng nh ngun d liu ca tng bin trong m hnh ca chng ti ph lc A.

4 Khng dung np n: cch tip cn mi4.1 Hiu chnh cch tip cn ca Reinhart et al. (2003) Phng php mi ca chng ti gii quyt nhng vn trong cch tip cn ca Reinhart et al. (2003) c trnh by phn 2.4 bng cch: S dng khun kh d liu mng ng, c lng thay i trong trc nhng thay i trong n, iu ny to iu kin thun li cho vic p dng i cc quc gia khc nhau vi mc n v khng dung np n khc nhau. Chng ti cng s dng mt d liu hng nm thay v s dng d liu trung bnh nhiu nm, nh c thc hin trong nghin cu Reihart et al. (2003), trong khi d liu trung bnh l c ngh lm phng nhng bin ng ngn hn, n s l vn trong vic thc hin c lng phng trnh khng dung np n: c kh nng rng tnh hnh kinh t ca cc nc vay mn thay i c ghi nhn mt cch nhanh chng bi cc t chc ti chnh cng nh cc ngn hng, v chng ti s mt nhng thng tin quan trng nh gi nu chng ti lm phng cc bin ng hng nm. S dng c lng Generalized Method of Moments (GMM) trong khun kh d liu mng ng, nhm hiu chnh vn ni sinh ca cc bin c lp, v a vo tc ng c nh c th mi quc gia. Thay v phn chia mu thnh cc nhm ngang hng da trn trung bnh v lch chun ca , phng php ca chng ti c lng mt phng trnh cho tt c cc nc, trnh trnh vn ni sinh tim tng ca cc nhm n v sai s. mc tiu v ngng n tng ng c tnh ton da trn xp hng tn dng ca cc c quan xp hng ln. S dng mt d liu mi v tng n chnh ph. 4.2 Mi quan h gia v n

39

Hnh 4.1 Mi quan h gia IIR v t l n.

Trc ht s xem xt li mi quan h gia trnh by mt biu ca

v tng n ca chnh ph. Hnh 4.1

trung bnh v t l n trn GDP cho 164 quc gia v t l n trn GDP, vi mt s khc bit ng trn 60 v cc quc gia vi di 60. i

trong mu ca chng ti trong giai on t 2003 n 2011. Hnh 4.1 cho thy mt mi quan h dng ch C gia ch gia cc quc gia vi mt vi nhng quc gia c i vi cc nc vi

trn 60 dng nh hoc khng c mi tng quan, hoc , nh xu hng tuyn tnh trong th. di 60 mi quan h ny dng nh l m. Biu cho trn 60 l c th chu c b sung thm n

c mt tng quan dng gia n v thy rng nhng nc vi mt

(t nht l trong nhn thc ca cc nh u t t chc) trong khi cc nc vi thp hn kh c nh vy. minh ha iu ny, hy ch hai im trn cng gc phi tng ng vi Nht Bn nm 2010 vi mt GDP l 220%, v 2011 vi mt gia tng trong t l n l khong 13% nhng 40 80.8 v mt t l n trn

83 v t l n trn GDP l 233,1%. Mc d s tng 3 im. T chng ti d

on c mt mi quan h phi tuyn gia

v tng n ca chnh ph, iu ny

cng tng ng vi nhn xt ca Reinhart et al. (2003). Do , nm bt mi quan h phi tuyn ny, chng ti s dng t l n trn GDP bnh phng nh mt bin c lp trong m hnh ca chng ti. 4.3 Phng trnh khng dung np n 4.3.1 Cc bin trong phng trnh khng dung np n Cng ging nh RRS chng ti s dng cc quan st v t s n, lm pht v trng thi ti cu trc hoc v n nh cc bin gii thch, v xp hng tn dng quc gia nh bin ph thuc. Tuy nhin, khng ging nh RRS, chng ti s dng cc quan st v tng n chnh ph trn GDP c cung cp bi World Economic Outlook (WEO) Database ca IMF thay v ch s dng d liu n nc ngoi, chng ti thc hin thay th bin gi lm pht trn 40% thnh t l lm pht hng nm trong c lng ca chng ti, v trng thi ti cu trc hoc v n (bao gm c trong nc v nc ngoi) c xy ra hay khng c chng ti nm bt qua bin gi v n theo tng nm. Tip theo chng ti s m t r mt s bin gii thch, ng thi a thm mt s bin mi vo m hnh ca chng ti: Kh nng thanh ton n quc gia . Nh c ngh bi Reihart, Rogoff v

Savastano (2003), chng ti s dng xp hng tn dng quc gia c pht hnh bi Institutional Investor o lng kh nng thanh ton n quc gia. Vic s dng cho php chng ti xem xt mt mu rng hn ca cc nc so vi vic s dng cc ch s khc nh chnh lch ch s tri phiu th trng mi ni (EMBI Spreads), gi th trng th cp (Secondary Market Prices). Theo nh Gelos et al. (2003), nhiu quc gia c thu nhp thp khng tip cn c vi th trng tri phiu quc t, nhng iu l sai lm kt lun rng kh nng thanh ton n c quan st khng lin quan trong trng hp ny, ngoi ra, y l nhng quc gia m vin tr chim t trng kh ln trong tng thu nhp quc gia. Institutional Investor xp hng cc nc theo thang o t 0 n 100, vi mt nh gi thp phn nh mt kh nng cao hn vic cc nc i vay b v n, v vi nh gi 100 im cho mt nc c coi l c ri ro thp nht ca v n trn ngha v n ca chnh ph. Cc xp hng l da trn thng tin c cung cp bi cc nh 41

kinh t cp cao v cc nh phn tch ri ro ch quyn ti cc ngn hng th gii hng u, cc cng ty chng khon v cng ty qun l qu. Xp hng c pht hnh thng l t 1979, v s cc nc c chm im tng t 96 trong nm 1980 n 178 trong nm 2011. Khi chng ti bt u tng hp d liu ca chng ti, s liu c hay khng l iu kin tin quyt chp nhn mt quc gia

trong mu ca chng ti. c pht hnh mi su thng mt ln (trong cc tp ch Institutional Investor International thng ba v thng chn hng nm), trong khi cc bin hi quy u da trn c s hng nm. V do hn ch trong vic hn ch trong vic tng hp s liu t cc n phm ca Institutional Investor International cho nn chng ti quyt nh ly IIR c pht hnh vo thng chn mi nm. Cui cng, thc t b chn di bi 0 v b chn trn bi 100, iu ny gi

rng phi bin i s liu. Nu khng th chng ti khng th chc chn cc gi tr c d bo s nm trong khong m cc bin ph thuc c nh ngha. Chng ti thc hin bin i theo Haque et al. (1996) cng nh nhiu nh nghin cu khc: . Tuy nhin, bin i ny khng nh hng n kt qu c lng ca chng ti, v kt lun chnh ca chng ti vn c gi tr nu chng ti s dng i. Mc thu nhp bnh qun u ngi . Bin ny c chng ti a vo m khng bin

hnh (di dng logarit14) nm bt mt nhm cc thuc tnh (cht lng ca cc th ch, ngun lc, cu trc nn kinh t, v n nh chnh tr, v mt s khc) cho php cc nc chuyn i hiu qu hn mt n v n b sung thnh thu nhp cao hn, do n c nh hng ng thi ln c kh nng ln thin ch tr n.

14

Chng ti thc hin ly logarit sau khi xem xt mi tng quan ca cc bin c ly logarit vi s dng cc lnh ladder, gladder trong Stata d bo cc dng hm ca cc bin .

, v

42

Ngoi ra, tnh hnh thm ht ti khon vng lai cao c th l mt tn hiu cho nhng kh khn tr n trong tng lai. Do chng ti mong i h s ca cn cn ti khon vng lai (nh mt phn ca GDP) t l d tr trn nhp khu l dng. Chng ti cng bao gm di dng logarit gii thch cho mt thc t l

nhiu s kin v n c kch hot bi cc cuc khng hong cn cn thanh ton (Kaminsky and Reinhart, 1999) v kh nng bo v t gi ca cc nc ph thuc vo lng d tr ngoi hi ca h. Cc bin ny c li mt nm trong c lng ca chng ti, vi mc ch nm bt nhng tc ng ca nhng bin ny trong thi gian ln trong thi gian , ng thi vic lm ny c th lm gim vn

ni suy trong c lng v dng n nh mt cng c cho cc bin ni sinh trong m hnh ca chng ti. Cui cng, chng ti a vo m hnh gi tr tr ca bin ph thuc v bn phi ca phng trnh nm bt qun tnh ca mc xp hng theo thi gian, v mt quc gia c xu hng gi mc xp hng n nh qua thi gian, tr khi c cc tc ng bt li hoc tch cc ng k xy ra. Theo chng ti nh gi mc tn nhim trong qu kh nn c mt nh hng ln n nh gi hin ti. Ngoi ra, cc vn lch s (tc l cc quan st v lm pht v v n trc giai on ca mu) v nhng tc ng s c nm bt trong mc ban u ca mc xp hng tn dng. Tuy nhin, vic a mt bin tr ca bin ph thuc vo phng trnh lm gia tng vn t tng quan trong m hnh, do cc c lng thng thng c th b sai lch. Ngoi ra, nm bt nhng chnh sch hay nhng nhn t kinh t v m hoc cc chnh sch thay i theo thi gian nh hng n tt c cc nc chng ti s dng bin gi thi gian. N c th nm bt nhng thay i trong li sut ca cc nc cng nghip, v nhng thay i chung trong tm l nh u t. 4.3.2 Phng trnh khng dung np n Phng trnh chng ti thc hin c lng l:, , , , ,

2,,

,

, ,

43

Trong phng trnh trn, l tng n ca chnh ph 2 , nm ,, ,

,

l bin tr ca bin ph thuc (LTIIR), ,

,

2 , l bnh phng tng n ca chnh ph,

l thu nhp bnh qun u ngi, v,

l t l lm pht hng v

tng ng l cn cn ti khon vng lai ti thi im ,,

t l d tr trn nhp khu hoc ti cu trc

l bin gi v n

ti thi im t,

l ma trn cc bin gi thi gian

gii thch cho nhng nhn t bin i qua thi gian nh hng n tt c cc nc, l cc nh hng c nh khng c quan st c th tng quan vi nhng bin c lp khc. Cc hiu ng c nh c th nm bt tt c cc c im c th ca tng quc gia nhng khng thay i theo thi gian. Do tnh khng ng nht ng k trong mu ca chng ti i vi th ch chnh tr, nn vn ha, v iu kin a l ca cc nc. Vic bao gm nhng hiu ng c nh lm gim ng k sai lch do cc bin b b st. Chng ti thc hin c lng OLS cho phng trnh hi quy ca chng ti, ng thi thc hin cc kim nh cc gi thit cn thit v a cng tuyn, thiu bin v tha bin, phng sai khng thay i, t tng quan. Chng ti nhn thy c lng ca chng ti vi phm gi thit v phng sai khng thay i15 v t tng quan (vn (i)). Ngoi ra, c lng phng trnh c trnh by trn cn gp mt s kh khn khc: ii) C th c vn ni sinh vi bin tng n chnh ph. Bi v mi quan h nhn qu c th chy trong c hai hng: tng n chnh ph tc ng n xp hng tn dng, v ngc li. V do bin ny c th c tng quan vi sai s; iii) Cc bin t l n chnh ph, lm pht, thu nhp bnh qun u ngi c th l cc bin ngoi sinh khng nghim ngt; iv) Nhng c im bt bin qua thi gian (cc tc ng c nh), chng hn nh a l v nhn khu hc, c th tng quan vi cc bin gii thch. Cc tc ng c nh l c cha trong sai s; v) S hin din ca bin tr bin ph thuc dn n vn t tng quan; vi) D liu mng ca chng ti c khong thi gian ngn ln 64 . v mt lng cc nc

15

iu ny l ph bin i vi d liu mng ng.

44

gii quyt vn th hai (ii) (v vn th t (iv)), thng thng ngi ta s dng c lng bin cng c tc ng c nh (Fixed Effects) ci ny chng ti s c gng th trc tin. Tip theo chng ti s s dng c lng GMM. Phng php GMM c s dng s gii quyt vn th t (iv), bi v bng cch ly sai phn bc nht ca cc bin hi quy trong phng php GMM lm cho tc ng c nh b loi b (do n khng thay i theo thi gian). Nh trnh by trc , phng php GMM cho php cc bin c lp l ngoi sinh khng nghim ngt (vn th ba (iii)); cho php phng sai thay i v t tng quan (vn th nht (i)) . Bin tr ph thuc (vn nm (v)) c sai phn bc nht trong GMM, v c cng c bi bin tr hn. Cui cng, phng php GMM c thit k cho mt d liu vi thi gian l ngn v s quc gia l ln (vn su (vi)). 4.3.3 Kt qu c lng Bng 4.1 trnh by kt qu c lng phng trnh khng dung np n bng phng php OLS, tc ng c nh (fixed effects), Difference GMM v System GMM. Trong c lng ny chng ti s dng mu gm 164 quc gia trong khong thi gian t nm 2003 n 2011. Kt qu c lng cho thy h s ca cc bin gii thch nh mong i v c ngha thng k. H s ca bin tr bin ph thuc l dng 0.89 v c ngha thng k mc 0.01, iu ny cho thy c qun tnh trong nh d on. T l . n trn GDP c mt h s m cho thy tc ng ngc chiu ca n ln ch s

H s ca t l n bnh phng l dng nh mong i v c ngha thng k, cho thy mi quan h phi tuyn gia n v ch s . Thu nhp bnh qun u ngi cng c mt tc ng tch cc n xp hng v c ngha thng k. Nh mong i cc h s ca cn cn thanh ton vng lai v t l d tr u dng v c ngha thng k. Cng ging nh cc phng php c lng khc, kt qu c lng ca GMM c th l khng ph hp bi m hnh c chy vi phm cc gi nh. Tnh hp l ca cc kt qu thu c t c lng GMM ph thuc vo cc kim nh ca n. Do vic kim tra xem m hnh c ph hp hay khng l iu cn thit, sau y l kt qu kim nh thng k v cc kim tra c lin quan n tnh hp l ca c lng System GMM. 45

Bng 4.1 Hi quy phng trnh "khng dung np n".OLS 0,9421*** (0,000) -0,0919*** (0,000) 2 0,0001*** (0,000) 3,0387*** (0,000) ,1554** (0,026) 3,0868*** (0,000) -0,2499** (0,013) -16,8421** (0,001) -9,7315 (0,132) 1080 0,9813 (S c th) . (S cng c) Fixed Effects 0,6824*** (0,000) -0,2093*** (0,001) 0,0002*** (0,004) 31,9087*** (0,000) 0,0961 (0,454) 0,9419 (0,541) -0,2493* (0,066) -20,6623* (0,094) -253,3325*** (0,000) 1080 0,9707 926 147 141 0,589 0,000 0,896 Difference - GMM 0,6502*** (0,000) -0,1653** (0,026) 0,0002* (0,071) 44,1258*** (0,000) 0,1044 (0,57) -1,3291 (0,585) -0,1501 (0,461) -19,0974* ( 0,058 ) System - GMM 0,8936*** (0,000) -0,1496** (0,022) 0,0002** ( 0,038 ) 6,3059*** (0,000) 0,1874** (0,035 ) 2,4207** (0,013) -0,3083** (0,025) -20,2703*** (0,004 ) -35,3060*** (0,004) 926 147 133 0,284 0,000 0,896

2

Ch : Tt c cc hi quy u bao gm cc bin gi nm, tuy nhin khng c trnh by trong bng. trong du ngoc n; *** nu < , ; ** nu < , 5; * nu < , . c lng c thc hin trn phn mm Stata/SE 12.1.

Chng ti cn kim tra t tng quan trong sai s, y cng l mt kim tra cho tnh ph hp ca cc cng c. Cc th tc v 2 kim tra trc tip cho t tng ) nhng quan bc mt v bc hai, tng ng. Theo Arrelano and Bond (1991), cc c lng GMM yu cu rng c tng quan chui bc mt (kim nh 46

khng c tng quan chui bc hai (kim nh ca kim nh v

2 ) trong phn d. Gi thit H0 ca kim nh . . iu ny bng

2 l khng c tng quan chui bc mt v bc hai, 2 c c c tnh thch hp. Nh chng ta c 2 c 6 iu ny cho thy chp

tng ng. iu c ngha l cn phi bc b gi thit nhng khng bc b kim nh c th nhn thy t bng 4.1, vi chng bc b gi thit nhn gi thit ). ,

Kim nh Hansen vi gi thit Bc b gi thit nh Hansen c hnh c cc cng c hp l. nh Hansen khng c bc b

l tnh hp l ca cc cng c trong m hnh. , v trong kt qu c lng ca chng ti kim

ngha l cc gi nh ca m hnh l c vn . Do , kim .2 4, do y l mt du hiu cho thy rng m

Kim nh Hansen cng rt quan trng nh gi tnh hp l ca cc cng c. Cng vi mc ch ny, chng ta c th s dng kim nh Difference in Hansen. Gi thit ca cc kim nh ny l cc bin c ch nh l nhng cng c thch hp, tc l nhng cng c c kim tra l ngoi sinh. Vi (khng c trnh by trong bng) chng ti khng c bng chng bc b gi thit ngoi sinh ca cc cng c c s dng, cng nh tnh hp l ca cc cng c . Kt qu c lng h s ca bin tr ph thuc nm gia gi tr thu c t cc c lng ti. S lng cng c c s dng khng c vt qu s lng quc gia. Trong kt qu c lng ca chng ti s lng cng c c s dng l 33 nh hn s lng quc gia l 47 (ch , s lng quc gia trong mu ban u l 64, tuy nhin mt s quc gia thiu d liu cn cn ti khon vng lai v t l d tr cho nn trong c lng ny gim xung cn 47). . 4 v .6 , iu ny c xc nhn trong m hnh ca chng

47

Xem xt cc th tc kim nh khc nhau c tin hnh, chng ti c th ni rng c bng chng kt lun rng cc kim nh l tha mn p ng cc gi nh ca c lng GMM v m hnh ca chng ti l hp l.

5 p dng vi Vit Nam5.1 Tnh hnh n cng Vit Nam Trong nhng nm u thp nin 90, Vit Nam l mt nc c mc n ln. Tng n nm 1990 tng ng 450% GDP, iu ny cho thy s khng hong v kh nng thanh ton n ca Vit Nam trong giai on ny. Vic gim n v xa n ca mt s nh ti tr c bit l Nga vi nhng khon n li t thi Lin X c, cng thm tng trng kinh t nhanh nn t na sau thp nin 90 tng n gim lin tc. Mc n cng trung bnh giai on 1990 1995 ca Vit Nam l 244% GDP, giai on 1996 2000, mc n cng trung bnh gim xung cn 73% GDP16. Chng ti cng nhn thy rng t l lm pht ca Vit Nam giai on 1989 1995 cng rt cao, trung bnh khong 41%. Vi kt qu trn th Vit Nam c xp vo nhng nc c lch s v n hoc ti cu trc v c lch s lm pht kh xu. Cuc khng hong kinh t ton cu lm cho tng n chnh ph ca Vit Nam tng nhanh, t 42,9% trong nm 2008 ln n 50,3% trong nm 2011 (tng 12,9%). V ca Vit Nam gim gn 6 im t 51,1 nm 2008 xung cn 45,6 trong nm 2011. Vi tnh hnh kinh t hin nay, cng thm vn ti cu trc nn kinh t, cho nn n cng ca Vit Nam trong thi gian ti c d bo s tng cao p ng nhu cu vn cho pht trin kinh t - x hi. Hnh 5.1 trnh by tnh hnh t l n chnh ph trn GDP, v xp hng ca Vit Nam giai on 2003 2011. C th thy rng IIR ca Vit Nam ang c xu hng gim so vi trc cuc khng hong ton cu, v mi tng quan nghch tng i r nt gia IIR v t l n chnh ph trn GDP t 2005 2009. Vi tnh hnh nh vy, chng ti d on rng th trng s nhn nh mc khng dung np n ca Vit Nam l tng i cao.

16

T l n cng trn c xc nh theo Lut qun l n cng nm 2009, S nh Thnh (2012).

48

Hnh 5.1 T l n v xp hng IIR ca Vit Nam, giai on 2003 - 2007

5.2 T l n mc tiu Chng ti thc hin php sai phn i vi phng trnh khng dung np n v v nghin cu ca chng ti tp trung quan st nhng thay i trong n v IIR do chng ti gi nh rng cc yu t khc khng i. iu ny mang li cho chng ti phng trnh sau y iu chnh IIR vi n c lin quan:, , , , ,

2,

,

Sau chng ti tnh ton ng i ca

cho nhng thay i ca n t im nm 2011

chun ca mc n 2011. y, i vi Vit Nam chng ti s dng mc nm 2011 l 45,6 v t l n trn GDP l 50,34%; vi Thi Lan mc l 64,4 v t l n trn GDP l 42,97%. ng cong ca ng i ca cho hai nc: Vit Nam, Thi Lan. c xy dng da

trn thay i gi tr ca n, i t 0% n 150% so vi GDP. Hnh 5.2 th hin

49

Hnh 5.2 ng i ca IIR cho hai nc: Vit Nam, Thi Lan.

Bc tip theo l thit lp ngng cho bnh v lch chun ca ng gia

tnh ton mc n mc tiu tng

ng. Thay v phn chia cc nc trong mu thnh cc nhm da trn gi tr trung , nghin cu ca chng ti thc hin iu tra s tng nm 2011 vi cc xp hng tn dng ca 3 t chc xp hng ln

(Moodys, Fitch v Standard and Poors). Mu c chia thnh ba nhm: i) cc quc gia c xp hng mt cch thng nht hng khuyn ngh u t, ii) nhng nc c xp hng thng nht hng khuyn ngh khng u t, iii) nhng nc c mt xp hng khng chc chn (nm bin gii). Tnh ton v tm mc xp hng ca Moodys, Fitch v Standard and Poors cho cc nc. Xp cc nc theo ca h 2011(t cao n thp), sau di chuyn xung trong danh sch tm t nc vi cao nht m ti c t nht mt t chc xp hng xp n hng khuyn ngh khng u t. Thao tc ny to nn ngng trn. xc nh ngng di c th bt u di danh sch v di chuyn n quc gia u tin m c t nht mt t chc xp hng xp n hng khuyn ngh u t. Cc nc gia hai ngng ny c cc xp hng hn hp, cc nc ny c nh gi khng thng 50

Bng 5.1 IIR v xp hng ca ba t chc xp hng tn dng.Standard & Poor's Norway Canada Singapore United States United Kingdom Japan Malaysia Italy Poland Brazil Spain Russia Cyprus Trinidad & Tobago Barbados India Thailand Botswana Panama Costa Rica Turkey Indonesia Bulgaria Philippines Latvia Portugal Ireland El Salvador Guatemala Egypt Vietnam Gabon Dominican Republic Jordan ArgentinaAAA AAA AAA AA+ AAA AAABBB+ ABBB A BBB BB+ A BBBBBBBBB+ ABBBBB BBBBBBBBB BB BB+ BB BBB+ BBBB B BBBBB+ BB B

Moody'sAAA AAA AAA AAA AAA AA AAABBB A BBB BBB-

FitchAaa Aaa Aaa Aaa Aaa Aa3 A3 A3 A2 Baa2 A3 Baa1 Baa3 Baa1 Baa3 Baa3 Baa1 A2 Baa3 Baa3 Ba2 Baa3 Baa2 Ba2 Baa3 Ba3 Ba1 Ba2 Ba1 B1 B1 B1 Ba2 B3

BBBBBB BBB BB+ BB+ BBBBBBBB+ BBBBB+ BBB+ BB BB B+ BBB B

IIR 2011 95.5 92.4 92.2 90.5 84.8 83 73.6 72.4 72.3 69.5 67.3 66.5 65.8 65.7 64.9 64.7 64.4 62.7 60.7 59.1 56.7 56.4 56 55.1 54.9 49.9 49 48.1 48.1 45.7 45.6 44.4 43.6 42.4 40.7

nht bi cc t chc xp hng. S dng phng php ny c th tm thy mt ngng trn ca l 65,8, trn mc ny bao gm cc nc c xp hng thng l 49, di mc ny l nht hng khuyn ngh u t, v ngng di ca 51

Hng khuyn ngh u t Bin gii Hng khuyn ngh khng u t

nhng quc gia c xp hng thng nht hng khuyn ngh khng u t. Kt qu ca bc ny c trnh by trong bng 5.1 vi i in mt s quc gia trong mu chnh ca chng ti. p dng cc ngng ny vo thng tin hnh 5.2 xc nh t l n cho Vit Nam s phi t n c xp vo nhm bin gii (trong trng hp ny l 43,17). i vi Thi Lan chng ti cng thc hin tng t xc nh t l n m h s phi t c vn ln hng khuyn ngh u t (trong trng hp ny l 40,57) hoc c th xc nh cn bao nhiu khng gian tng n trc khi ri vo nhm hng khng khuyn ngh u t (tng trong t l n n khong gn 75 (chnh xc l 73,87)). Cc kt qu ny c th nhn thy trong hnh 5.3. Hnh 5.3 IIR v t l n mc tiu: Vit Nam, Thi Lan.

Vi cch lm tng t, chng ti thc mt phn loi xp hng chi tit hn. Bng 5.2 trnh by cc mc xp hng khc nhau ca ba t chc xp hng tn dng Moodys, Fitch v Standard and Poors, cng vi mc xp hng. 52 tng ng vi mi mc

Bng 5.2 Phn loi xp hng tn dng v phm vi IIR tng ng. Fitch AAA AA+ AA AAA+ A ABBB+ BBB BBBBB+ BB BBB+ B BCCC+ CCC CCCCC C RD D Moody's Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2 Caa3 Ca C S&P AAA AA+ AA AAA+ A ABBB+ BBB BBBBB+ BB BBB+ B BCCC+ CCC CCCCC C SD D Phn loi An ton cao nht Cht lng cao Phm vi IIR 90.6 - 100 82.7 - 90.5

Hng trung bnh cao

72.5 - 82.6

Trung bnh Hng khng u t Mang tnh u c Mang tnh u c cao

65.9 - 72.4

45.8 - 65.8

33.3 - 45.7

Ri ro cao Mang tnh u c rt cao 0 - 33.2

V n

Da trn xp hng ca Fitch, Moody's, S&P.

Bng 5.3 trnh by kt qu tnh ton tng t cho nm nc: Malaysia, Thi Lan, Indonesia, Philippines v Vit Nam. Malaysia vi mc 2011 l 73,6 tng ng vi hng trung bnh cao (c trnh by bng 5.2) cn phi t c mc 82,7 vn ln nhm cht lng cao, t c iu , Malaysia phi gim n t 55,12 xung cn 29,78. Cc nc Thi Lan, Indonesia, Philippines ang nhm bin gii do mc tiu l vn ln hng khuyn ngh u t vi mc tng ng. Vit Nam vi l 65,9; v t c n cc nc ny phi gim n xung cn 40,57; 5,85 v 24,73; 2011 l 45,6, ang nm nhm khuyn ngh khng t ra l 49, t c mc u t, vn ln nhm bin gii mc mc tiu 53

tiu , Vit Nam phi gim t l n t 50,34 xung cn 43,17. V theo tnh ton ca chng ti, nu t l n chnh ph ca Vit Nam t mc 74,68% GDP th Vit Nam s ri vo nhm c xp hng C bi ba t chc tn dng, cng c th hiu rng khi t l n chnh ph trn GDP n ngng th Vit Nam c nguy c v n rt cao. Ngng n trn 74,68% GDP l tng i thng nht vi ngng n 75,8% GDP c pht hin trong S nh Thnh (2012). Bng 5.3 T l n mc tiu ca Vit Nam v mt s nc trong khu vc.Xp hng 2011 Malaysia Thi Lan Indonesia Philippines Vit Nam Vit Nam Mc tiu 2011 73,6 64,4 56,4 55,1 45,6 IIR Mc tiu 82,7 65,9 65,9 65,9 49 33,3 T l n (% GDP) 2011 55,12 42,97 25,24 44,43 50,34 Mc tiu 29,78 40,57 5,85 24,73 43,17 < 74,6

Hng trung bnh cao Cht lng cao Bin gii Bin gii Bin gii Hng khuyn ngh khng u t Hng khuyn ngh khng u t Hng khuyn ngh u t Hng khuyn ngh u t Hng khuyn ngh u t Bin gii Khng b ri vo xp hng C

45,6

50,34

5.3 o lng mc khng dung np n Cc quc gia khc nhau vi mc n khc nhau c th c cng nhau vi cng mt mc n c th c v cc nc khc

khc nhau. iu ny cho thy rng th

trng nhn thc v mc khng dung np n khc nhau cho cc nc khc nhau. nm bt nhng s khc bit ny RRS xut s dng ch s ca t l n nc ngoi trn GNP trn c hoc t l n trn xut khu trn . Barrot and Bannister (2011) s dng mt ch s khc thay th l mc n cn thit t mc tiu chung, iu ny c th cung cp mt xp hng khch quan v chung cng cao th mc khng dung np n 54 mc khng dung np n ca cc nc. Vi cch tnh ny th nc no c t l n cn thit t c mc

ca nc cng thp. Tuy nhin, khi thc hin tnh ton mc n t c mc tiu IIR chung, s c trng hp tnh ton mc n yu cu l m (xem ph lc B). Do , chng ti a ra mt thc o khc l vi mt mc n chung (60% GDP) chng ti c th tnh ton c o lng bng (tc l , v mc khng dung np n ). Vi php bin i c c

thc hin phn 4.3.1, s m bo cho kt qu tnh ton v do mc khng dung np n . Vi nh gi

nm trong khong

cng s nm trong khong

ca mt quc gia l 100 im cho thy mc

khng dung np n l cao nht. Mt cch gii thch cho cch tnh mc khng dung np n ca chng ti l vi cng mt mc n, th trng s nhn nh mc khng dung np n ca mi nc khc nhau, phn nh vo cao cho thy mc khng dung np n l cng thp v do , vi cng

cng thp.

Bng 5.4 o lng mc "khng dung np n" ca mt s quc gia. Xp hng 1 2 3 5 8 10 26 27 39 48 59 38 76 82 86 94 Thc o o Quc gia Japan Singapore United States Canada France Austria Brazil Malaysia China Thailand Philippines Korea, Rep. Vietnam Indonesia Argentina Lao PDR khc vi hai thc o trc l Debt (IIR=60) 343.1 218.4 210.7 207.0 177.0 171.5 85.3 84.5 73.4 53.1 36.7 75.2 23.0 18.7 10.8 2.1 DIT 1.0 4.1 4.5 4.7 7.3 7.9 28.5 28.8 33.6 43.5 52.3 32.8 59.8 62.1 66.2 70.6

b chn trn bi 100 do thc

c th cho thy mc trm trng ca hi chng khng dung np n

mt cch trc quan v r rng hn. Bng 5.4 trnh by hai thc o khng dung np n khc nhau ca 16 nc trong mu ca chng ti (ph lc B trnh by tt c 55

cc nc trong mu), ct th nht trnh by mc xp hng ca cc quc gia trong tng s 164 quc gia, ct th ba trnh by thc o ca Barrot and Bannister (2011) mc chung l 60, ct th t trnh by thc o ca chng ti. R rng t 59,8 kh cao, v c xp hng th 76 trn tng nh vy cho thy kh nng chu ng n ca Vit

bng 5.4, Vit Nam c mc s 164 quc gia, vi mc

Nam l thp. Theo Reinhart and Rogoff (2009), vic ci thin mc khng dung np n khng phi l mt vic lm d dng, v khng phi l vic lm trong ngn hn hay vi nm m l c thi gian rt di, do Chnh ph cn phi c nhng chnh sch cng nh chin lc lu di ci thin nhng vn ca h thng ti chnh v th ch.

6 Kt lunNghin cu ca chng ti trnh by mt phng php thay th tnh ton mc n mc tiu bng cch s dng khun kh l thuyt khng dung np n trong ti liu nghin cu ca RRS. Phng php ny ci thin cc nghin cu trc y bng cch tip cn vi d liu mng ng, hiu chnh cc vn ni sinh. Ngoi ra, nghin cu ny s dng d liu ca tng n chnh ph (c n nc ngoi v n trong nc), d liu ny c cung cp bi IMF cho 164 quc gia trong sut 9 nm t 2003 n 2011, chng ti cng s dng thm mt vi bin mi c lng mc xp hng tn dng hiu qu hn. Cc kt qu c lng trong nghin cu ca chng ti c dng vch ra ng i ca mc xp hng tn dng theo cc mc n khc nhau, t c th thy c mt cch trc quan ngng trn v ngng di ca n chnh ph. Nghin cu ca chng ti cho php chn mt mc tng ng vi nhng nh gi tn dng mong mun c cung cp bi Moodys, Fitch v Standard and Poors t tnh ton mc n mc tiu tng ng vi mc xp hng mong mun. Hn na, vi mt mc n chung cho tt c cc nc, chng ti tnh ton c mc np n thng qua ch s , t c th tnh ton c mc khng dung . V da vo ch s c th cho thy mc trm

trng ca hi chng khng dung np n mt cch trc quan v r rng hn. Chng ti p dng khun kh khng dung np n i vi Vit Nam v cng thc hin vi mt vi nc khc trong khu vc so snh. Bi nghin cu ca 56

chng ti cho thy rng mc xp hng ca Vit Nam ang nhm khng khuyn ngh u t, do chng ti t ra mc xp hng mc tiu cho Vit Nam l mc xp hng tin ln nhm bin gii, v mc n mc tiu chng ti a ra l 43,17 (phn trm so vi GDP). V nu nh vi mc tiu l khng b ri vo xp hng C ca ba t chc xp hng tn dng th ngng n cho Vit Nam l 74,68 (phn trm so vi GDP). Chng ti cng xem xt mc khng dung np n ca Vit Nam, kt qu cho thy rng Vit Nam c mc khng dung np n kh cao, ng th 76/164 quc gia. iu ny cho thy t l n hin nay ca Vit Nam l khng an ton v chnh ph Vit Nam cn phi xem xt li mc n chnh ph hin nay duy tr tnh bn vng ca n cng.

57

PH LCPh lc A. D liu: nh ngha v ngun d liu. Xp hng tn dng quc gia ca Institutional Investor (Institutional Investor Country Credit Rating): nh gi tn dng quc gia c xut bn nh k su thng mt ln bi Institutional Investor, cung cp mc nh gi cho mi quc gia t 0 100 vi 100 im cho nhng quc gia c t ri ro v n nht. Ngun: Tp ch Institutional Investor International, Business Environment Snapshots. Tng n chnh ph (General government gross debt): Tng n chnh ph cp n tt c cc khon n ngn hn v di hn ca tt c cc t chc trong khu vc chnh ph. Ngun: World Economic Outlook Database (2011). Lm pht (Inflation): Phn trm thay i hng nm trong chi ph trung bnh ngi tiu dng c c mt r hng ha v dch v (c th c nh hoc thay i trong khong thi gian quy nh). Cng thc Laspeyres thng c s dng. Ngun: World Economic Outlook Database (2011), World Development Indicators (2011). Tng thu nhp quc dn bnh qun u ngi (GDP per capital): GDP bnh qun u ngi l tng sn phm quc ni chia cho dn s gia nm. Ngun: World Economic Outlook Database (2011), World Development Indicators (2011) T l d tr (Reserves): D d quc t rng (khng bao gm vng) chia cho nhp khu hng ha v dch v. Ngun: World Development Indicators (2011). Cn cn ti khon vng lai (Current account balance): Cn cn ti khon vng lai l tng ca xut khu rng hng ha, dch v, thu nhp rng, v chuyn nhng rng tnh theo t l phn trm ca GDP. Ngun: World Development Indicators (2011). V n (Default): Khng kp thi tr li hoc n gc khi n hn. V n xy ra khi con n khng th p ng cc ngha v tr n. Bn vay c th v n khi h khng kh nng thanh ton khi c yu cu hoc khng thin thc hin cc cam kt tr n. Ngun: http://www.reinhartandrogoff.com/ 58

Ti cu trc n (Debt Restructing): Ti cu trc n l mt tin trnh cho php mt cng ty t nhn hoc cng ty cng hoc mt thc th c ch quyn ang i mt vi vn dng tin v khng hong ti chnh gim v m phn li cc khon n qu hn ca n nhm ci thin hoc phc hi tnh thanh khon v khi phc li n c th tip tc hot ng. Ngun: http://www.reinhartandrogoff.com/

59

Ph lc B. Xp hng mc khng dung np n ca 164 quc gia.Xp hng 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 Quc gia Japan Singapore United States Germany Canada Norway Switzerland France Netherlands Austria Finland Italy United Kingdom Sweden Belgium Denmark Luxembourg Barbados Australia New Zealand Malta Hong Kong Taiwan Slovenia Israel Brazil Malaysia Iceland Spain Poland Jamaica Czech Republic Greece Slovak Republic Portugal Debt (IIR=60) 343.1 218.4 210.7 207.3 207.0 205.3 193.7 177.0 174.3 171.5 169.0 153.9 153.8 153.1 150.7 143.7 139.8 130.8 114.9 107.4 106.0 99.8 95.7 94.3 94.0 85.3 84.5 84.4 83.4 83.0 81.6 80.6 80.6 79.7 79.0 DIT 1.0 4.1 4.5 4.7 4.7 4.9 5.7 7.3 7.6 7.9 8.2 10.2 10.3 10.4 10.7 11.9 12.7 14.5 18.5 20.7 21.1 23.1 24.6 25.1 25.2 28.5 28.8 28.9 29.3 29.4 30.0 30.4 30.4 30.8 31.1 Xp hng 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 Quc gia Eritrea Bulgaria Serbia Argentina Montenegro Namibia Venezuela, RB Armenia Ukraine Guatemala Nicaragua Lao PDR Cote d'Ivoire Dominican Republic Bolivia Ghana Sao Tome and Principe Senegal Kazakhstan Pakistan Georgia Guyana Kenya Kyrgyz Republic Gabon Seychelles Azerbaijan Angola Bosnia Tanzania Macedonia Bangladesh Guinea Lesotho Algeria Debt (IIR=60) 17.9 11.7 11.6 10.8 9.5 7.3 6.1 5.8 5.4 4.1 3.0 2.1 1.1 0.3 0.1 -0.4 -0.5 -0.6 -1.0 -1.2 -3.3 -3.3 -3.8 -4.2 -4.6 -5.8 -6.7 -6.7 -7.4 -9.7 -10.0 -10.1 -10.6 -10.7 -11.7 DIT 62.5 65.8 65.8 66.2 66.9 68.1 68.6 68.8 69.0 69.6 70.2 70.6 71.1 71.5 71.6 71.8 71.9 71.9 72.1 72.2 73.2 73.2 73.4 73.6 73.8 74.3 74.7 74.7 75.0 76.1 76.2 76.2 76.4 76.5 76.9

60

Xp hng 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72

Quc gia Ireland Lebanon Korea, Rep. China Hungary Cyprus India Bahamas, The Qatar Chile Mexico Trinidad and Tobago Thailand South Africa Uruguay United Arab Emirates Egypt, Arab Rep. Croatia Lithuania Morocco Colombia Mauritius Panama Philippines Saudi Arabia Kuwait Estonia Turkey Jordan Sri Lanka Latvia Costa Rica Grenada Belize El Salvador Peru Bahrain

Debt (IIR=60) 78.1 75.3 75.2 73.4 73.3 73.3 71.9 71.3 67.1 63.9 60.0 59.4 53.1 51.7 48.2 46.5 46.1 45.9 44.1 42.0 41.9 39.9 38.1 36.7 35.7 35.5 35.1 34.3 33.6 33.3 32.6 32.4 31.5 29.2 28.7 28.2 27.4

DIT 31.5 32.7 32.8 33.6 33.6 33.6 34.3 34.6 36.5 38.1 40.0 40.3 43.5 44.3 46.1 47.0 47.2 47.3 48.3 49.4 49.5 50.6 51.6 52.3 52.8 52.9 53.2 53.6 54.0 54.2 54.5 54.7 55.2 56.4 56.7 57.0 57.4

Xp hng 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154

Quc gia Mauritania Gambia, The Mozambique Belarus Nigeria Libya Honduras Uganda Zambia Djibouti Moldova Iraq Sudan Sierra Leone Cambodia Syrian Arab Republic Malawi Paraguay Benin Ethiopia Ecuador Yemen, Rep. Mali Nepal Turkmenistan Rwanda Iran, Islamic Rep. Burkina Faso Tajikistan Niger Cameroon Congo, Rep. Swaziland Comoros Madagascar Uzbekistan Guinea-Bissau

Debt (IIR=60) -11.8 -12.5 -13.6 -14.2 -17.1 -18.9 -21.1 -21.2 -21.7 -23.3 -28.4 -29.2 -29.2 -29.3 -29.3 -30.2 -30.7 -31.0 -31.4 -34.2 -34.5 -34.9 -35.8 -37.9 -38.5 -39.8 -41.2 -41.2 -42.6 -42.6 -42.7 -42.9 -44.1 -44.3 -44.6 -45.2 -45.4

DIT 77.0 77.3 77.7 78.0 79.1 79.9 80.7 80.8 80.9 81.5 83.3 83.6 83.6 83.7 83.7 84.0 84.1 84.2 84.4 85.2 85.3 85.5 85.7 86.4 86.6 86.9 87.3 87.3 87.7 87.7 87.7 87.8 88.1 88.2 88.2 88.4 88.5

61

Xp hng 73 74 75 76 77 78 79 80 81 82

Quc gia Albania Tunisia Russian Federation Vietnam Romania Bhutan Cape Verde Oman Botswana Indonesia

Debt (IIR=60) 25.4 24.9 23.8 23.0 21.3 21.0 21.0 19.5 19.3 18.7

DIT 58.5 58.8 59.3 59.8 60.7 60.8 60.9 61.7 61.8 62.1

Xp hng 155 156 157 158 159 160 161 162 163 164

Quc gia Solomon Islands Burundi Congo, Dem. Rep. Togo Chad Central African Republic Myanmar Haiti Zimbabwe Liberia

Debt (IIR=60) -46.4 -46.6 -48.2 -50.2 -54.4 -62.7 -65.4 -68.4 -70.5 -70.8

DIT 88.7 88.8 89.2 89.7 90.6 92.3 92.8 93.3 93.6 93.7

62

Ph lc C. Cc bng s liu c trong Reinhart et al. (2003). Tng ng vi Bng 2.3: T l n nc ngoi cc nc thu nhp trung bnh khi xy ra s kin tn dng bt li 1970 - 2001Nm bt u s kin tn dng Albania Argentina Bolivia Brazil Bulgaria Chile Costa Rica Dominican Republic Ecuador Egypt Guyana Honduras Iran Jamaica Jordan Mexico Morocco Panama Peru Philippines Poland Romania Russian Federation Trinidad and Tobago Turkey Uruguay Venezuela Trung bnh 1990 1982 2001 1980 1983 1990 1972 1983 1981 1982 1982 1999 1984 1982 1981 1992 1978 1989 1982 1983 1983 1978 1984 1983 1981 1982 1991 1998 1989 1978 1983 1982 1995 T s n nc ngoi trn GNP ti nm bt u 45,8 55,1 53,3 92,5 50,1 57,1 31,1 96,4 136,9 31,8 60,1 89,2 112.0 214,3 61,5 42,5 48,5 179,5 46,7 87.0 88,1 80,9 62.0 70,6 n.a. n.a. 12,5 58,5 48,1 21.0 63,7 48,6 44,1 70,6 T s n nc ngoi trn xut khu ti nm bt u 616,3 447,3 458,1 246,4 393,6 154.0 n.a. 358,6 267.0 183,4 281,8 239,3 282,6 337,7 182,8 77,7 103,9 234,2 279,3 305,6 162.0 388,5 288,9 278,1 108,1 73,1 n.a. 179,9 112,8 374,2 204.0 220,9 147,2 254,3

63

Tng ng vi Bng 2.4: Phn phi tn sut ca t l n nc ngoi ca cc nc thu nhp trung bnh ti thi im ca s kin tn dng: 1970 - 2001 Phm vi n nc ngoi trn GNP trong nm u tin ca s kin tn dng Di 40% 41% - 60% 61% - 80% 81% - 100% Trn 100% Tng ng vi Bng 2.2:nh ngha cc nhm v khu vc [ Cc nc vay mn ]

Phn trm ca tng s kin tn dng 13 40 13 20 13

Nhm A IIR* 67.7 C quyn tip cn lin tc th thng vn "Khng dung np n" nh nht

Nhm B 24.2 < IIR* < 67.7 C quyn tip cn khng lin tc n th trng vn

Nhm C IIR* 24.2 Khng c quyn tip cn gin on n th trng vn "Khng dung np n" ln nht

Khu vc I 45.9 IIR* < 67.7 N nc ngoi/GNP < 35 "Khng dung np n" thp nht

Khu vc II 45.9 IIR* < 67.7 N nc ngoi/GNP 35 "Khng dung np n" thp th hai

Khu vc III 24.2 IIR* < 45.9 N nc ngoi/GNP < 35 "Khng dung np n" ln th hai

Khu vc III 24.2 IIR* < 45.9 N nc ngoi/GNP 35 "Khng dung np n" ln nht

64

Tng ng vi Hnh 2.2:

65

TI LIU THAM KHO Ti liu tham kho ting Vit: S nh Thnh, 2012. Ngng n cng nghin cu thc nghim Vit Nam. Tp ch Pht trin kinh t, s 257. Nguyn Trng Hoi v cs, 2009. D bo v phn tch d liu. H Ni: Nh xut bn Thng k. L Mnh, 2005. Nghin cu xy dng quy trnh v phng php thc hnh hi quy tuyn tnh da trn phn mm Stata. H Ni, nm 2005. Ti liu tham kho ting Anh: Reinhart, Carmen M., Kenneth S. Rogoff, and Miguel A. Savastano, 2003. Debt Intolerance. Brookings Papers on Economic Activity, I:2003. Washington: Brookings Institution. Reinhart, Carmen M., and Kenneth S. Rogoff, 2009. This Time is Different; Eight Centuries of Financial Folly. Princeton University Press. Di Bella, Gabriel, 2008. A Stochastic Framework for Public Debt Sustainability Analysis. IMF Working Paper, 08/58. Washington: International Monetary Fund. Everaert, Greetje, 2008. Kenya: Selected Issues Paper. IMF Country Report, No. 08/337. Washington: International Monetary Fund. Topalova, Petia, and Dan Nyberg, 2009. What Level of Public Debt Could India Target?. IMF Working Paper, 10/7. Washington: International Monetary Fund. Abbas, S. Ali, Nazim Belhocine, Asmaa El Ganainy, and Mark Horton, 2010. A Historical Public Debt Database. IMF Working Paper 10/245. Washington: International Monetary Fund. Aiyagari, S. Rao, and Ellen R. McGrattan, 1998. The Optimum Quantity of Debt. Journal of Monetary Economics, Vol. 42 (3), pp. 447469. Floden, Martin, 2001. The Effectiveness of Government Debt and Transfers as Insurance. Journal of Monetary Economics 48 (2001) pp. 81108. 66

Shin, Yongseok, 2006. Ramsey Meets Bewley: Optimal Government Financing with Incomplete Markets. Department of Economics, University of Wisconsin. Saint-Paul, Gilles, 2005. Fiscal Policy and Economic Growth: the Role of Financial Intermediation. Review of International Economics, 13(3), pp. 612-629. Weh-Sol, Moon, 2010. Koreas Optimal Public Debt Ratio. SERI Quarterly, April 2010, Samsung Economic Research Institute, Seoul. Blanch