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I- Gii thiu Nguyn tc Taylor Vic ra quyt nh trong iu

hnh chnh sch tin t (CSTT) ni chung v li sut ni ring ca ngn hng trung ng (NHTW) lin quan n mt vn c hu l tnh t quyt hay quyt nh c nguyn tc (rules vs. discretion), bm theo cc nguyn tc n mc no, d a n u cho tnh t quyt l ph hp. Vi xu th minh bch ha v gii trnh ngy cng cao i vi cc quyt nh chnh sch, c bit l ti cc NHTW iu hnh CSTT theo c ch lm pht mc tiu (inflation targeting), cc NHTW ni chung u a ra cc nguyn tc c s iu hnh li sut1.

Nm 1993, nh nghin cu John B. Taylor, Gio s i hc Stanford (M) tin hnh nghin cu thc nghim i vi chnh sch li sut ca Cc D tr Lin bang M (Federal Reserve - FED) trong vng mt thp nin trong giai on 1980-1990 v pht hin ra rng bin ng li sut iu hnh ca FED tun th theo mt nguyn tc nht nh trong mi tng quan vi lm pht v tng trng kinh t. T quan st trn, Taylor m rng nghin cu v khi qut ha thnh mt nguyn tc iu hnh li sut ca NHTW gi l Nguyn tc Taylor (the Taylor Rule - TR). Theo TR, li sut iu hnh cn iu chnh ph hp vi thay i ca chnh lch sn lng (output gap - chnh lch gia GDP tim nng2 v GDP thc t trong mt thi k) v chnh lch lm pht (chnh lch gia mc lm pht thc t v mc lm pht mc tiu) trong nn kinh t. TR c biu

Nguyn c Long v L Quang Phong *

NGUYN TC TAYLOR TRONG IU HNH CHNH SCH TIN T

hin bng hm phn ng chnh sch (reaction function) sau:

Trong : l li sut iu hnh ca NHTW theo TR; l t l lm pht tnh theo ch s GDP deflator3; l t l lm pht mc tiu;

li sut thc cn bng gi nh; v ay l cc tham s phn ng chnh sch (reaction parameters)

hay trng s i vi tng trng v lm pht tng trng GDP; tng trng GDP tim nng.

II- Chnh sch tin t ca FED v Nguyn tc TaylorTheo Taylor, k t u nhng nm 1980, li sut iu hnh (federal

funds rate) ca FED bin ng cng xu hng v bm st vi li sut khuyn ngh ca TR4 (li sut Taylor). TR c c gii nghin cu v cc NHTW quan tm v dn tr thnh mt ch bo c quan tm i vi vic phn tch v iu hnh CSTT. Ti FED, cc thnh vin y ban nghip v th trng m lin bang (FOMC5) trong c cu Ch tch Greenspan v mt * V cSTT - nhnn

Quan im ca Ngn hng Trung ng Chu u (ECB) v TR tng i thn trng, mt phn do mc tiu CSTT trng yu l n nh gi c v nh gi CSTT da trn hai tr

ct l phn tch thc trng kinh t v phn tch tin t

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s ch tch FED a phng cng thng cp n TR trong cc xut li sut. Theo Mishkin (2004), li sut Taylor phn nh tng i tt thc tin iu hnh CSTT ca FED trong khong 4 thp k qua. (Biu 1)

Di thi Ch tch Arthur Burns (1970-1979), li sut ca FED lin tc thp hn li sut Taylor khin lm pht trong thi k ny tng cao. Di thi ch tch Paul Volcker (1979-1987), FED t trng tm l kim ch lm pht, v vy, li sut ca FED, nhn chung, lun cao hn li sut Taylor. n thi Ch tch Greenspan (1987-2003), li sut iu hnh bm st li sut Taylor hn, bin ng ca lm pht v tng trng kinh t ca M cng thp hn cc thi k trc.

u im chnh ca TR l tnh n gin, d hiu, d tnh ton, do , gip tng cng tnh minh bch v kh nng gii trnh cho NHTW. TR cho php iu chnh linh hot trng s ca sn lng v lm pht ph hp vi mc tiu trng tm ca NHTW trong vic quyt nh li sut iu hnh. iu ny c ngha vi cc NHTW s dng c ch iu hnh CSTT theo mc tiu lm pht v vn c th d dng iu chnh trng s ca mc tiu lm pht so vi mc tiu tng trng trong tng thi k6. Hn ch ca TR l khng tnh ti v a vo m hnh cc din bin bt thng v cc iu kin kinh t v m khc ngoi tng trng, lm pht c th tc ng n li sut; do , tnh ch bo trong ngn hn hn ch7. Tuy nhin, y chnh l d a cc nh iu hnh chnh sch pht huy kinh nghim, hiu bit v tnh hnh thc t a ra quyt nh chnh sch da trn c s khoa hc ca TR v thc trng kinh t v m, mc tiu chnh sch trong tng thi k.

III- Tho lun v ng dng Nguyn tc Taylor

1. Mt s vn gy tranh lun

Biu 1: Li sut iu hnh ca FED so vi TR qua cc thi k

Ngun: Judd and Rudebusch (1998)

ch yu Bn cnh lo ngi chung v vic

TR khng bao hm cc yu t ngn hn v thc trng kinh t, tin t. Cc gi nh ca m hnh ny cng thng c tranh lun, cn c vn dng linh hot.

Mt l, TR cn phi tun theo nguyn tc nhn li qu kh hay hng ti tng lai8: Nhiu kin ti cc cuc hp ca FOMC u nhng nm 2000 cho rng c th thay th cc bin s hin thi v tng trng v lm pht hin thi trong cng thc TR bng cc d bo v cc bin s m bo CSTT c tnh dn dt th trng. Greenspan cng ng h quan im ny v n phn nh nhng thng s mi nht v v tnh hnh kinh t M ang thi k bt thng, cc quy lut c c th mt tnh hiu qu. Tuy nhin, nguyn tc hng ti tng lai li ph thuc vo kh nng d bo kinh t v m. Thc tin cho thy iu hnh CSTT ca FED dung ha gia hai thi cc ni trn.

Hai l, li sut thc thay i theo thi gian: li sut thc c th b tc ng bi xu th tng ca nng sut trong iu kin lm pht khng hoc t thay i. Do ngi dn v

doanh nghip k vng thu nhp tng, nn nhu cu vay vn cng tng tng u t v tiu dng. Do , bin li sut thc trong TR cn c iu chnh ph hp vi chu k kinh t.

Ngoi ra, cc vn v cch xc nh mc lm pht mc tiu hay chnh lch sn lng cng thng c tranh lun.

2. ng dng TR ti mt s ncThi im TR ra i trng vi thi

k c nhng thay i ln trong xu hng iu hnh CSTT ton cu. M, FED ln lt b dn vic s dng cc mc tiu khi lng tin t M1 (nm 1987) v M2 (nm 1993). Vi xu th tng tnh c lp ca cc NHTW sau khi tri qua mt giai on lm pht cao, n nm 1994, nhiu NHTW chnh thc chuyn sang iu hnh CSTT theo c ch lm pht mc tiu trong i u l New Zealand, Canada, Anh, c, Thy in...

Quan im ca Ngn hng Trung ng Chu u (ECB) v TR tng i thn trng, mt phn do mc tiu CSTT trng yu l n nh gi c v nh gi CSTT da trn hai tr ct l phn tch thc trng kinh t v phn tch tin t. Trong , TR cha p ng c

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yu cu phn tch tin t nn ch c s dng b tr cho m hnh AWM (area wide model - m hnh ton khu vc) c dng nh gi thc trng kinh t, d bo v phn tch chnh sch. Cc vn ch yu i vi TR theo quan im ca ECB l: (i) B qua nhiu bin s kinh t, tin t quan trng; (ii) Cc c sc kinh t khc nhau cng i hi phn ng chnh sch khc nhau; (iii) Khng quan st c li sut thc v sn lng tim nng; (iv) Li sut iu hnh khng th m trong khi li sut Taylor c th m; (v) TR hng n c tng trng v lm pht trong khi mc tiu ch o ca ECB l n nh gi c (tc l lm pht).

NHTW Anh (Bank of England) khng s dng TR mt cch chnh thc trong hot ng iu hnh CSTT. Tuy nhin, ging nh ti nhiu NHTW khc, cc thnh vin y ban CSTT v cc chuyn gia phn tch cng s dng TR phi hp vi nhiu hm s phn ng chnh sch khc phn tch CSTT, nhng do tnh cht n gin ca mi hm s trn nn y ban CSTT khng t nng mt nguyn tc no c. u vo ca TR do cc chuyn gia NHTW Anh s dng gm chnh lch li sut v chnh lch sn lng tr 1 k; lm pht mc tiu 2,5%; li sut thc c tnh t gi tri phiu gn vi ch s (index-linked bonds); t trng i vi lm pht v tng trng dao ng trong khong 0,25 n 0,75.

Cc NHTW khc iu hnh CSTT theo lm pht mc tiu, nhn chung, u s dng TR mc nh NHTW Anh. Ti NHTW c, TR cng mang tnh b tr cho phn tch iu hnh CSTT v c nhn nh l ng c kim nghim nh k (Thng c NHTW c Stevens, 2001). NHTW Thy S a TR vo trong cc m hnh v m c ln v c nh bn cnh cc m hnh VAR9 v M3.

Ti cc nn kinh t mi ni, vic p dng TR phc tp hn do c

th mc tiu ca CSTT thng l t gi. Taylor (2000) cho rng, i vi cc nc mi ni khng c nh t gi lu di, chnh sch ph hp duy nht l da vo b ba tr ct l t gi linh hot, t mc tiu lm pht v CSTT c nguyn tc. Taylor tha nhn cc nguyn tc CSTT cn iu chnh cho ph hp vi cc nc ny, v d NHTW cn: (i) Da vo mc tiu khi lng tin t ch khng phi mc tiu li sut; (ii) t mc tiu t gi trong trng hp m bo tnh nht qun vi lm pht trong di hn; (iii) iu chnh CSTT nhanh v mnh hn do khng c th trng vn pht trin.

IV- So snh li sut ca Vit Nam v Nguyn tc Taylor

T kinh nghim ca cc nc, TR cng c th l mt ch bo tim nng, ng c xem xt, nht l trong trung - di hn. Tuy nhin, p dng TR, vi iu kin kinh t v m v s liu kinh t ca Vit Nam, cn phi b sung mt s gi nh v x l d liu u vo tha mn cng thc TR.

Giai on quan st c la chn l t Qu 1/2001 n Qu 3/2012. Trng s i vi tng trng v lm pht c chn l mc ngang nhau (0,5:0,5 - ging m hnh gc ca Taylor p dng i vi trng hp ca M), th hin quan im trung tnh gia mc tiu lm pht v tng trng trong iu hnh CSTT. La chn ny l ph hp vi thc t Vit Nam v v c bn, nh hng iu hnh kinh t v m ca Chnh ph cn bng gia kim ch lm pht v thc y tng trng nht l trong trung - di hn. Cc chui s liu s dng l CPI hng thng so vi cng k nm trc; tng trng GDP hng qu so vi cng k nm trc. Cc mc mc tiu v lm pht v li sut thc c tnh ton v la chn nh sau:

(i) V lm pht, yu cu d liu ca TR l trung bnh trt 4 qu ca ch s GDP deflator. Ta c th s dng chui ch s gi tiu dng CPI so vi cng k theo thng

tnh mc tng CPI so vi cng k trung bnh cho tng qu; sau , tip tc tnh c trung bnh trt 4 qu ca CPI (trn c s trung bnh qu hin ti v 3 qu lin trc).

(ii) V chnh lch sn lng, ta s dng phng php c lng, t dy s liu GDP ta s dng cng c lc HP filter10 c lng ng xu hng di hn tuyn tnh (linear trend) ca dy s tng trng GDP. Gi tr ti mi thi im trn ng ny (c bn cht phn nh xu hng di hn ca chui s liu GDP ban u) c coi l mc tng trng sn lng tim nng. Hiu s gia tng trng GDP thc t v gi tr xu hng tnh c ti tng thi im l chnh lch sn lng. Cn ni thm rng, sn lng tim nng ca mt nn kinh t l mt bin s l thuyt, khng th quan st trong thc t, do , ch c th c lng bin s ny. Cc nh kinh t pht trin rt nhiu m hnh nhm c lc bin s ny ty theo iu kin thc tin ca tng quc gia. Phng php c lng n gin v c s dng ph bin nht vi hiu qu tng i tt l phng php c lng bng cng c lc HP filter. T phng php lun trn ta tnh c chnh lch sn lng tim nng ca Vit Nam, biu din bng biu 2: (Biu 2)

V gi nh i vi mc tiu v lm pht v li sut thc, n gin ta gi nh trong sut giai an mc tiu lm pht l 7%; mc tiu li sut thc l 3%. T , ta c c chui li sut iu hnh xut theo TR cho Vit Nam giai on 2001-2012 nh sau: (Biu 3)

T biu c th thy li sut Taylor bin ng cng xu hng vi cc loi li sut iu hnh v th trng, trong bm st nht l li sut cho vay bnh qun. Li sut Taylor c bin ng kh ln ch yu do lm pht bin ng ln. K t cui nm 2011, li sut Taylor gim dn, ph hp

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vi xu hng gim ca cc loi li sut v lm pht. Nh vy, kt qu tnh ton ban u ny da trn hai gi nh v mc tiu lm pht v li sut thc nhng cng t nhiu phn nh c xu hng li sut ca Vit Nam trong cc nm qua. i vi nm 2012, thi im Qu 3, li sut ti cp vn, ti chit khu mc 10%/nm v 8%/nm l ph hp vi TR v li sut Taylor ln lt mc 9,6% i vi mc tiu lm pht 7% v mc 8,6% vi mc tiu lm pht 9%11.

V- Mt s nhn xtT nghin cu l thuyt v thc

tin c th thy TR l mt nguyn tc tng i n gin nh gi CSTT thng qua cc phn ng chnh sch c h thng i vi cc

thng tin v thc trng kinh t trong tng lai. N nhn mnh CSTT cn c xem xt, iu chnh thng xuyn lin tc. Ti cc nc, TR c p dng mc khc nhau vi vai tr b tr cho cc m hnh nh gi CSTT tng quan, nht l ti cc nc mi ni vi c trng CSTT t mc tiu t gi. V mt hc thut, TR v ang c s dng tng i hiu qu trong vic kim nghim vic iu hnh CSTT ti nhiu quc gia pht trin, theo khun kh lm pht mc tiu. T thc tin iu hnh ti cc NHTW cng nh quan im ca cc nh nghin cu, c th thy TR l mt cng c tt phn tch CSTT, c kh nng ng gp tch cc vo vic nng cao tnh minh bch, kh

Biu 2: Chnh lch sn lng hng qu ca Vit Nam, 2001-2012 n v: %

Biu 3: Din bin cc loi li sut v li sut Taylor, 2001-2012n v: %/nm.

Ngun: Tng cc Thng k, tnh ton ca tc gi.

Ngun: Ngn hng Nh nc v tnh ton ca tc gi.

nng gii trnh ca NHTW.

1. Theo iu tra ca BIS, 1/3 s NHTW c hi xy dng gi nh li sut da trn mt hm phn ng chnh sch; 2/5 d bo da trn gi nh trung tnh nh li sut khng i; 2/5 da trn k vng li sut ca th trng v mt s xy dng d bo da trn nhiu gi nh khc nhau (Nelson, 2008,7-8).

2. L mc sn lng GDP t c khi nn kinh t c gi nh trng thi cn bng, tan dng lao ng, ngun lc c phn b hon ho, tng trng mc cao nht m khng to p lc lm pht.

3. Ch s gim pht GDP, phn nh mc thay i ca gi c da trn vic so snh gia GDP tnh theo gi c hin hnh v GDP tnh theo gi c ca nm c so snh.

4. Taylor a ra cng thc i vi trng hp li sut ca FED nh sau: it = t + 2 + (t-2) + (yt- ) (tc l lm pht mc tiu 2%; li sut thc 2%/nm; tm quan trng ca tng trng v lm pht l ngang nhau).

5. Federal Open market Committee - y ban trc thuc FED c 12 thnh vin l cc lnh o ca FED v cc ch tch FED khu vc, nm quyn quyt nh v chnh sch tin t ca FED.

6. Cc nc p dng c ch lm pht mc tiu trong iu hnh CSTT t c mc tiu lm pht u t ra c mc tiu tng trng; trng s ca hai yu t ny khc nhau gia cc nc ph thuc vo thin hng ch trng i vi tng trng hay lm pht.

7. Greenspan nhn nh ngoi vic tng hp kinh nghim qu kh,khng phi lc no cng nn dng TR v iu kin kinh t trong tng lai c th thay i.

8. Backward looking vs. forward looking hay description vs, prescription (m t li hay chn on)

9. M hnh t hi quy vector (Vector Au-toregression) c dng ph bin trong phn tch v d bo kinh t v m.

10. Th tc lc chui s liu Hodrick-Prescott (c trong phn mm Eviews). Cng c ny gip lc cc yu t chu k ca mt chui s liu thi gian cho ra mt chui mi th hin xu hng trong trung v di hn.

11. Ngh quyt v K hoch pht trin kinh t - x hi nm 2012 c Quc hi thng qua ngy 9/11/2011 t mc tiu lm pht nm 2012 di 10%.

TI LIU THAM KHO:1. Judd and Rudebusch, 1998, Taylors Rule

and the Fed: 1970-1997, FRBSF Economic Review 1998, number 3

2. Federic S. Mishkin, 2004, The economics of money, banking, and financial markets 7th

edition.

3. Pier Francesco Asso, George A. Kahn, Robert Leeson, 2010, The Taylor Rule and the Practice of Central Banking, Fed Kansas City research working papers.

4. European Central Bank, 2003, Interest rate reaction functions and the Taylor rule in the Euro area, Working paper No. 258