Oil price shocks and Vietnam’s macroeconomic fundamentals: quantile-on-quantile approach
This study aims to explore the asymmetric relationships between global oil prices and the selected Vietnam macroeconomic indicators using both quantile-on-quantile regression and Granger causality in quantile frameworks. The macroeconomic factors under study, as expected, have a strong relationship...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2022-12-01
|
| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2095767 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | This study aims to explore the asymmetric relationships between global oil prices and the selected Vietnam macroeconomic indicators using both quantile-on-quantile regression and Granger causality in quantile frameworks. The macroeconomic factors under study, as expected, have a strong relationship with oil price changes. The results suggest that oil prices have a positive impact on the exchange rate, inflation, GDP, and stock market prices across major quantiles, while there is a significantly negative relationship between the unemployment rate and oil prices in the middle-upper quantile. The results of this article offer considerable policy implications for governments, investors, and policymakers. |
|---|---|
| ISSN: | 2332-2039 |