Tác động bất cân xứng của nợ công đến tăng trưởng kinh tế - Bằng chứng thực nghiệm từ Việt Nam của Nguyễn Xuân Dung

MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIETNAM HOCHIMINH UNIVERSITY OF BANKING NGUYEN XUAN DUNG ASYMMETRIC IMPACT OF PUBLIC DEBT ON ECONOMIC GROWTH – EMPIRICAL EVIDENCE FROM VIETNAM DOCTORAL DISSERTATION OF FINANCE AND BANKING HO CHI MINH CITY - 2023 1-- 1 - MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIETNAM HOCHIMINH UNIVERSITY OF BANKING NGUYEN XUAN DUNG ASYMMETRIC IMPACT OF PUBLIC DEBT ON ECONOMIC GROWTH - EMPIRICAL EVIDENCE FROM VIETNAM DOCTORAL DISSERTATION OF FINANCE AND BANKING Major: Finance - Banking CODE: 9.Nguyen Duc Trung HO CHI MINH CITY - 2023 1-- 2 - DECLARATION OF ORIGINALITY I am Nguyen Xuan Dung, PhD student of Course 23, Academic Year 2019 - 2022, hereby declare that the research work is entirely my own original work under the guidance and supervision of Assoc.Nguyen Duc Trung. I affirm that this work has not been previously submitted to any other institution or organization for any academic or professional qualification. I acknowledge and properly cite all the sources used in this work, ensuring that all information, data, and materials are accurate, reliable, and appropriately referenced. I take full responsibility for the authenticity, originality, and integrity of the content presented in this work.

Ho Chi Minh City, day month year Author i ACKNOWLEDGMENT I would like to express my deepest gratitude to the individuals and institutions who have played a crucial role in the completion of this doctoral thesis. First and foremost, my sincere appreciation goes to my esteemed supervisor, Assoc.Nguyen Duc Trung, for his unwavering guidance, exceptional mentorship, and valuable insights throughout this research journey. His expertise and dedication have been invaluable in shaping the trajectory and quality of this study. I am immensely grateful to the members of my doctoral committee for their invaluable feedback, constructive criticism, and rigorous evaluation.

Their scholarly contributions have significantly enhanced the intellectual rigor and academic merit of this thesis. I would like to extend my heartfelt thanks to the faculty and staff of Postgraduate Education of Ho Chi Minh University of Banking for providing a conducive academic environment, access to resources, and opportunities for intellectual growth. Their support has been instrumental in the successful completion of this research. Lastly, I wish to acknowledge the contributions of the countless researchers, scholars, and authors whose works have paved the way for this study.

Their groundbreaking research and seminal publications have provided the foundation upon which this thesis is built. Ho Chi Minh City, day month year Author ii SUMMARY OF THESIS The thesis explores the relationship between fiscal policy, public debt, and economic growth in the context of Vietnam. It delves into the different approaches to fiscal policy adopted by developed and developing nations, highlighting countercyclical policies in developed countries and procyclical policies in developing nations. The primary aim of the study is to assess the impact of public debt on economic growth in Vietnam, analyzing the determinants of fiscal policy and their influence on economic outcomes.

Using quarterly data from 2000 to 2021, the researchers employ regression models to examine the effects of fiscal policy decisions on Vietnam's economic performance. The study's significance lies in its application of theoretical foundations to the specific context of Vietnam, providing empirical evidence to inform policy development related to public debt management. The study yields several noteworthy results. First, it confirms the prevailing pattern of procyclical fiscal policy in Vietnam, with increased government spending during economic upswings and reduced spending during downturns.

This cyclicality can pose challenges to sustainable economic growth, as fiscal policy is not effectively counteracting economic fluctuations. Second, the analysis reveals a non-linear relationship between public debt and economic growth in Vietnam. While a moderate level of debt can be conducive to economic expansion, excessively high levels of debt can hamper growth and stability. Therefore, it is crucial to identify the threshold at which increasing debt levels become detrimental to economic performance.

Third, the study uncovers specific determinants of fiscal policy that significantly influence economic outcomes in Vietnam. These determinants include government revenue, expenditure, and borrowing. The findings suggest that policymakers should focus on optimizing these factors to achieve sustainable economic growth and prudent debt management. Building on these results, the content proposes new avenues for research.

One potential area of investigation is the exploration of alternative fiscal policy frameworks that could better align with Vietnam's economic context. For example, iii the study suggests examining the feasibility and effectiveness of adopting a more countercyclical fiscal policy approach in Vietnam to mitigate the negative impacts of economic fluctuations and promote stability. Furthermore, the content emphasizes the importance of assessing the quality and composition of public expenditure. It suggests investigating the allocation of government spending in sectors such as infrastructure, education, and healthcare, to ensure that public resources are utilized efficiently and effectively.

Such research could shed light on the areas where targeted investments can yield the greatest economic returns and long-term development benefits. In terms of policy recommendations, the study highlights the need for prudent debt management in Vietnam. It emphasizes the importance of implementing fiscal reforms that aim to maintain a sustainable debt- to-GDP ratio. This can be achieved through measures such as enhancing revenue collection, improving expenditure efficiency, and exploring innovative financing mechanisms.

Additionally, the study underscores the significance of strengthening fiscal institutions and governance frameworks. Transparent and accountable public financial management systems can help minimize the risks associated with public debt accumulation, ensure effective utilization of resources, and enhance investor confidence in Vietnam's economy. The study also suggests the establishment of a comprehensive debt monitoring mechanism to regularly assess and manage public debt levels. This mechanism should consider both quantitative and qualitative factors, taking into account the potential risks and implications of debt accumulation on economic stability and growth.

In conclusion, the thesis provides detailed insights into the relationship between fiscal policy, public debt, and economic growth in Vietnam. It highlights the importance of adopting appropriate fiscal policy frameworks, managing public debt prudently, and optimizing government expenditure to achieve sustainable economic development. The study's results, along with the proposed areas for further research and policy recommendations, offer valuable guidance for policymakers in Vietnam as they navigate the complex dynamics of fiscal policy and debt management. iv TABLE OF CONTENT CHAPTER 1: INTRODUCTION OF THE RESEARCH .1 THE RATIONALE OF RESEARCH .3 OBJECTS, SCOPE AND METHODOLOGY OF THE RESEARCH .4 THE SIGNIFICANE AND CONTRIBUTIONS OF THE RESEARCH.

9 CHAPTER 2: THEORIES AND LITERATURE REVIEW .1 THEORIES OF FISCAL POLICY AND BUSINESS CYCLE .1 Concepts relevant to the research problems .2 Theories of Fiscal Policy and Business Cycle .2 THEORETICAL OF PUBLIC DEBT AND ECONOMIC GROWTH .1 Theories of Public debt.2 Classical theories of public debt and economic growth .3 Neoclassical theories of public debt and economic growth .4 Modern monetary policy on the relationship between public debt and economic growth .5 Theories of the linear impact of public debt on economic growth .6 Theories of nonlinear effects of public debt on economic growth .3 RELEVANT EMPIRICAL STUDIES ON THE RELATIONSHIP BETWEEN FISCAL POLICY AND THE BUSINESS CYCLE .1 Literature review of procyclical fiscal policy .2 Literature review of the countercyclical fiscal policy .3 Literature review of representative variables for the economic cycle and fiscal policy .4 LITERATURE REVIEW BETWEEN PUBLIC DEBT AND ECONOMIC GROWTH .1 Literature review of the negative impact of public debt on economic growth.2 Literature review of the positive impact of public debt on economic v growth.3 Literature review of the neutral effect of public debt on economic growth .4 Literature review of nonlinear effects of public debt on economic growth .5 THE BASIS OF DESIGNING EMPIRICAL RESEARCH MODEL. 65 CHAPTER 3: RESEARCH METHODOLOGY .2 VARIABLES DESCRIPTIONS OF THE RESEARCH MODEL .1 The variables of the model of the relationship between fiscal policy and the business cycle .2 The variables of the model of public debt on economic growth .1 Research data of the model of the relationship between fiscal policy and the business cycle .2 Research data of the model of public debt on economic growth. 82 CHAPTER 4: RESEARCH RESULTS AND DISCUSSION .1 EXAMINING THE RELATIONSHIP BETWEEN FISCAL POLICY AND THE BUSINESS CYCLE .1 Tests of the research model .2 Results of testing the relationship between fiscal policy and economic growth.2 EXAMINING THE IMPACT OF PUBLIC DEBT ON ECONOMIC GROWTH .1 Tests of the research model. 98 CHAPTER 5: CONCLUSION AND POLICY IMPLICATIONS .3 LIMITATIONS OF THE RESEARCH.

115 APPENDIX EXAMINING THE RELATIONSHIP BETWEEN FISCAL POLICY AND THE BUSINESS CYCLE. 135 APPENDIX 1: STATIONARY TEST OF DATA SERIES. 135 APPENDIX 2: COINTERGRATION TEST. 143 APPENDIX 3: CAUSALITY TEST.

144 APPENDIX 4: LAG ORDER SELECTION CRITERIA. 145 APPENDIX 5: THE STABILITY TEST OF THE MODEL. 146 APPENDIX 6: THE VECM. 148 APPENDIX 7: IMPULSE RESPONSE FUNCTION.

149 APPENDIX 8:VARIANCE DECOMPOSTION. 150 APPENDIX EXAMINING THE IMPACT OF PUBLIC DEBT ON ECONOMIC GROWTH. 151 APPENDIX 1: UNIT ROOT TEST. 151 APPENDIX 2: DATA DESCRIPTION.

161 APPENDIX 3: THE ECR TEST. 162 APPENDIX 4: THE NARDL MODEL. 163 APPENDIX 5: THE BREUSCH TEST. 164 APPENDIX 6: THE LONG RUN AND BOUNDS TEST.

165 APPENDIX 7: THE RAMSEY TEST. 166 APPENDIX 8: THE WALD TEST. 167 APPENDIX 9: PLOT OF CUMULATIVE SUM OF RESIDUALS CUSUM. 168 APPENDIX 10: PLOT OF THE CUMULATIVE SUM OF SQUARES OF RECURSIVE RESIDUALS (CUSUMSQ).

169 APPENDIX 11: PLOT OF ASYMMETRIC CUMULATIVE DYNAMIC MULTIPLIER. 170 vii LIST OF GRAPHS AND FIGURES FIGURE 2. THE RELATIONSHIP BETWEEN PUBLIC DEBT AND ECONOMIC GROWTH. STABILITY TEST OF THE MODEL.

THE IMPULSE RESPONSE FUNCTION OF EXP, TAX, LIA, GDP. PLOT OF CUMULATIVE SUM (CUSUM) RESIDUALS. PLOT OF ADJUSTED CUMULATIVE SUM (CUSUMSQ) RESIDUALS. ASYMMETRIC CUMULATIVE DYNAMIC MULTIPLIER GRAPH OF PUBLIC DEBT AND ECONOMIC GROWTH.

ASYMMETRIC CUMULATIVE DYNAMIC MULTIPLIER OF USDVND EXCHANGE RATE ON ECONOMIC GROWTH. 103 viii LIST OF TABLES TABLE 2. SUMMARY OF EXPERIMENTAL STUDIES ON THE ASYMMETRIC IMPACT OF PUBLIC DEBT ON ECONOMIC GROWTH. SOURCES OF VARIABLES USED IN THE MODEL.

DESCRIPTION OF THE MODEL VARIABLES. DESCRIPTIVE STATISTICS OF THE VARIABLES. DESCRIPTIVE STATISTICS OF VARIABLES. UNIT ROOT TEST OF DATA SERIES (D=0).

UNIT ROOT TEST OF DATA SERIES (D=2). COINTEGRATION TEST OF DATA SERIES. UNIT ROOT TEST OF DATA SERIES (D=0). UNIT ROOT TEST OF DATA SERIES (D=1).

THE RAMSEY TEST. THE BREUSCH/PAGAN TEST. THE NARDL MODE. NONLINEAR CO-INTEGRATION TEST.

SHORT-RUN AND LONG-RUN ASYMMETRY TESTING. WALD TEST IN THE SHORT RUN AND THE LONG RUN. ASYMMETRICAL IMPACT OF PUBLIC DEBT ON ECONOMIC GROWTH IN THE LONG-RUN. 99 ix LIST OF ACRONYMS ACRONYMS EXPANSION NARDL Non-linear Auto Regressive Distributed Lag GDP Gross Domestic Product GSO VN General Statistics Office of Vietnam IMF International Monetary Fund USD, VND.

International symbols of currencies WB World Bank WTO World Trade Organization x CHAPTER 1: INTRODUCTION OF THE RESEARCH 1.1 THE RATIONALE OF RESEARCH A number of economies continue to experience below-average growth several years after the global financial crisis. Medium-term growth projections have been revised downward since 2011, which indicates the uncertainty surrounding the outlook for medium-term economic growth. Simultaneously, the ratio of public debt to GDP has skyrocketed in numerous developing market economies, reaching historic highs in a number of nations. In this context, the question is how fiscal policy interacts with the economic growth cycle.

Fiscal policy (government spending, taxes, subsidies, etc.) and monetary policy (money supply, interest rates, exchange rates, etc.) are utilized by the government to intervene in the economy during periods of recession or rapid growth. Those policies are separated into pro-cyclical and counter-cyclical stages based on the recession or economic growth cycle. A pro-cyclical fiscal policy is defined as the policy aims to balance the government budget. For instance, if there is a budget deficit, it is necessary to increase tax revenues and decrease government spending.