| Trường DC | Giá trị | Ngôn ngữ |
|---|---|---|
| dc.contributor.author | Pham, Trinh Thi Tuyet | |
| dc.contributor.other | Le, Nhan Phan Ai | |
| dc.date.accessioned | 2023-11-01T10:23:50Z | - |
| dc.date.available | 2023-11-01T10:23:50Z | - |
| dc.date.issued | 2020 | |
| dc.identifier.isbn | 1973-0020 | |
| dc.identifier.uri | https://dlib.neu.edu.vn/handle/NEU/58647 | - |
| dc.description | management and analysis of economic information | |
| dc.description.abstract | Purpose – This paper aims to analyse the asymmetric impacts of world oil price on macroeconomic variables in Vietnam, including domestic oil price, inflation and output growth. Design/methodology/approach – The mixed data sampling (MIDAS) approach is employed to examine the impact of world oil price changes on macroeconomic variables as the former is high-frequency data (daily), and the latter is low-frequency data, usually monthly or quarterly. Findings – Changes in world oil price cause asymmetric impacts on domestic oil price and inflation, but no significant effects on output growth. In terms of magnitude, a positive change in world oil price causes a stronger effect than a negative change in world oil price. In terms of timing, a positive change in world oil price causes a slow pass-through impact on domestic oil price and inflation. Meanwhile, domestic oil price and inflation decrease quickly following a negative change in world oil price. Originality/value – This study investigates the asymmetric impact of oil price on the Vietnam economy in terms of both magnitude and timing, which is not explored by previous studies. In addition, it exploits daily information of oil price changes to analyse macroeconomic variables in lower frequency by employing MIDAS approach. | |
| dc.description.tableofcontents | 1. Introduction; 2. Literature review; 3. Research methodology; 4. A summary of oil market in Vietnam; 5. Estimation results and discussions; 6. Conclusions and policy recommendations | |
| dc.format.extent | Khổ 21 x 29.7 | |
| dc.language.iso | en | |
| dc.publisher | Kinh Tế Quốc Dân | |
| dc.subject | Asymmetric impact | |
| dc.subject | Inflation | |
| dc.subject | MIDAS | |
| dc.subject | Oil price | |
| dc.subject | Output growth | |
| dc.title | A mixed data sampling approach to the asymmetric impacts of world oil price on macroeconom ic variables in Vietnam | |
| dc.type | Journal of Economics and Development | |
| dc.identifier.barcode | 10-1108_JED-03-2020-0017 | |
| dc.relation.reference | Artami, R.J. and Hara, Y. (2018), “The asymmetric effects of oil price changes on the economic activities in Indonesia”, Jurnal Ilmu Ekonomi, Vol. 7 No. 1, pp. 59-76. Barro, R.J. (1984), Macroeconomics, John Wiley and Sons, New York, NY. Bas¸ kaya, Y.S., Hulag€ u, T. and K€ uç€ uk, H. (2013),€ “Oil price uncertainty in a small open economy”, IMF Economic Review, Vol. 6, pp. 168-198. Bernanke, B.S. (1983), “Irreversibility, uncertainty, and cyclical investment”, Quarterly Journal of Economics, Vol. 98 No. 1, pp. 85-106. Bernanke, B., Gertler, M. and Watson, M. (1997), “Systematic monetary policy and the effect of oil price shocks”, Brookings Papers on Economic Activity, Vol. 1, pp. 91-142. Bresnahan, T.F. and Ramey, V.A. (1993), “Segment shifts and capacity utilization in the U.S. automobile industry”, American Economic Review Papers and Proceedings, Vol. 83 No. 2, pp. 3213-218. Brown, S.P.A. and Yucel, M.K. (1999),€ “Oil prices, and US aggregate economic activity: a question of neutrality”, Economic and Financial Policy Review, Federal Reserve Bank of Dallas, Vol. 2, pp. 16-23. Burbidge, J. and Harrison, A. (1984), “ Testing for the effects of oil-price rises using vector autoregressions” , International Economic Review, Vol. 25 No. 2, pp. 459-484. Cunado, J. and De Gracia, F.P. (2005),~ “Oil prices, economic activity and inflation: evidence for some Asian countries”, Quarterly Review of Economics and Finance, Vol. 45 No. 1, pp. 65-83. Darby, M. (1982), “The price of oil and world inflation and recession”, American Economic Review, Vol. 72, pp. 738-751. Davies, S.J. (1987), “Allocative disturbances and specific capital in real business cycle theories”, American Economic Review, Vol. 77 No. 2, pp. 326-332. Davies, S.J. and Haltiwanger, J. (2001), “Sectoral job creation and destruction responses to oil price changes”, Journal of Monetary Economics, Vol. 48 No. 3, pp. 465-512. Ebrahim, Z., Inderwildi, O.R. and King, D.A. (2014), “Macroeconomic impacts of oil price volatility: mitigation and resilience”, Frontiers in Energy, Vol. 8, pp. 9-24. Federal Reserve Economic Data (2019), “Economic data”, available at: https://www.stlouisfed.org (accessed 5 August 2019). General Statistics Office of Vietnam (2019), “Online database”, available at: http:///www.gso.gov.vn (accessed 5 August 2019). Ghysels, E., Santa-Clara, P. and Valkanov, R. (2006), “Predicting volatility: getting the most out of return data sampled at different frequencies”, Journal of Econometrics, Vol. 131, pp. 59-95. Ghysels, G., Sinko, A. and Valkanov, R. (2007), “MIDAS regressions: further results and new directions”, Econometric Reviews, Vol. 26, pp. 53-90. Gisser, M. and Goodwin, T. (1986), “Crude oil and the macroeconomy: tests of some popular notions”, Journal of Money, Credit and Banking, Vol. 18, pp. 95-103. Hamilton, J.D. (1983), “Oil and the macroeconomy since world war II”, Journal of Political Economy, Vol. 91, pp. 228-248. Hamilton, J.D. (1988), “A neoclassical model of unemployment and the business cycle”, Journal of Political Economy, Vol. 96 No. 3, pp. 593-617. Hamilton, J.D. (1996), “This is what happened to the oil price-macroeconomy relationship”, Journal of Monetary Economics, Vol. 38, pp. 215-220. Hamilton, J.D. (2009), “Understanding crude oil prices”, Energy Journal, Vol. 30, pp. 179-206. International Energy Agency (2019), “Data and statistics”, available at: http://www.iea.org/data-andstatistics (accessed 5 August 2019). International Financial Statistics (2019), “IMF data access to macroeconomics and financial data”, available at: http://www.data.imf.org (accessed 5 August 2019). Kilian, L. (2009), “Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market”, American Economic Review, Vol. 99 No. 3, pp. 1053-1069. K€ose, N. and Baimaganbetov, S. (2015), “The asymmetric impact of oil price shocks on Kazakhstan macroeconomic dynamics: a structural vector autoregression approach”, International Journal of Energy Economics and Policy, Vol. 5 No. 4, pp. 1058-1064. Lee, K., Ni, S. and Ratti, R. (1995), “Oil shocks and the macroeconomy: the role of price variability”, Energy Journal, Vol. 16, pp. 39-56. Long, S. and Liang, J. (2018), “Asymmetric and nonlinear pass-through of global crude oil price to China’s PPI and CPI inflation”, Economic Research-Ekonomska Istra zivanja, Vol. 31 No. 1, pp. 240-251. Luiggi, D. and Neil, A.T. (2016), “The asymmetric effects of oil price shocks on the Canadian economy international”, Journal of Energy Economics and Policy, Vol. 6 No. 2, pp. 167-182. Ministry of Finance (2019), Oil and Gasoline Prices, available at: http://www.mof.gov.vn (accessed 5 August 2019). Mork, K.A. (1989), “ Oil and macroeconomy when prices go up and down: an extension of Hamilton’ s results” , Journal of Political Economy, Vol. 97 No. 3, pp. 740-744. Olomola, P.A. and Adejumo, A.V. (2006), “Oil price shock and macroeconomic activities in Nigeria”, International Research Journal of Finance and Economics, Vol. 3, pp. 29-35. Petrolimex (2018), Oil and Gasoline Prices, available at: http://www.petrolimex.com.vn (accessed 5 August 2019). Pindyck, R.S. (1991), “Irreversibility, uncertainty, and investment”, Journal of Economic Literature, Vol. 29, pp. 1110-1148. Rasche, R.H. and Tatom, J.A. (1981), “Energy price shocks, aggregate supply and monetary policy: the theory and the international evidence”, Carnegie-Rochester Conference Series on Public Policy, Vol. 14, pp. 9-93. Thanh, N.D., Trinh, B. and Thang, D.N. (2009), “The impact of oil price increase: A preliminary quantitative analysis”, Vietnam National University Journal of Science, Vol. 25, pp. 25-38 (in Vietnamese). Trang, N.T.N. and Hong, D.T.T. (2016), “Non-linear impacts of oil price on growth, inflation, unemployment and fiscal deficit”, Journal of Economic Development, Vol. 27 No. 6, pp. 23-44 (in Vietnamese). Trung, L.V. and Vinh, N.T.T. (2011), “The impact of oil prices, real effective exchange rate and inflation on economic activity: novel evidence for Vietnam”, Discussion Paper Series, Kobe University, Kobe. Valcarcel, V.J. and Wohar, M. (2013), “Changes in the oil price-inflation pass-through”, Journal of Economics and Business, Vol. 68, pp. 24-42. | |
Bộ sưu tập | 02. Tạp chí (Tiếng Anh) | |
Tải ứng dụng đọc sách
Qr code NEU Book Reader
(Lưu ý: Sử dụng ứng dụng NEU Book Reader để xem đầy đủ tài liệu.
Bạn đọc có thể tải NEU Book Reader từ App Store hoặc Google play
với từ khóa "NEU Book Reader")
| Trường DC | Giá trị | Ngôn ngữ |
|---|---|---|
| dc.contributor.author | Pham, Trinh Thi Tuyet | |
| dc.contributor.other | Le, Nhan Phan Ai | |
| dc.date.accessioned | 2023-11-01T10:23:50Z | - |
| dc.date.available | 2023-11-01T10:23:50Z | - |
| dc.date.issued | 2020 | |
| dc.identifier.isbn | 1973-0020 | |
| dc.identifier.uri | https://dlib.neu.edu.vn/handle/NEU/58647 | - |
| dc.description | management and analysis of economic information | |
| dc.description.abstract | Purpose – This paper aims to analyse the asymmetric impacts of world oil price on macroeconomic variables in Vietnam, including domestic oil price, inflation and output growth. Design/methodology/approach – The mixed data sampling (MIDAS) approach is employed to examine the impact of world oil price changes on macroeconomic variables as the former is high-frequency data (daily), and the latter is low-frequency data, usually monthly or quarterly. Findings – Changes in world oil price cause asymmetric impacts on domestic oil price and inflation, but no significant effects on output growth. In terms of magnitude, a positive change in world oil price causes a stronger effect than a negative change in world oil price. In terms of timing, a positive change in world oil price causes a slow pass-through impact on domestic oil price and inflation. Meanwhile, domestic oil price and inflation decrease quickly following a negative change in world oil price. Originality/value – This study investigates the asymmetric impact of oil price on the Vietnam economy in terms of both magnitude and timing, which is not explored by previous studies. In addition, it exploits daily information of oil price changes to analyse macroeconomic variables in lower frequency by employing MIDAS approach. | |
| dc.description.tableofcontents | 1. Introduction; 2. Literature review; 3. Research methodology; 4. A summary of oil market in Vietnam; 5. Estimation results and discussions; 6. Conclusions and policy recommendations | |
| dc.format.extent | Khổ 21 x 29.7 | |
| dc.language.iso | en | |
| dc.publisher | Kinh Tế Quốc Dân | |
| dc.subject | Asymmetric impact | |
| dc.subject | Inflation | |
| dc.subject | MIDAS | |
| dc.subject | Oil price | |
| dc.subject | Output growth | |
| dc.title | A mixed data sampling approach to the asymmetric impacts of world oil price on macroeconom ic variables in Vietnam | |
| dc.type | Journal of Economics and Development | |
| dc.identifier.barcode | 10-1108_JED-03-2020-0017 | |
| dc.relation.reference | Artami, R.J. and Hara, Y. (2018), “The asymmetric effects of oil price changes on the economic activities in Indonesia”, Jurnal Ilmu Ekonomi, Vol. 7 No. 1, pp. 59-76. Barro, R.J. (1984), Macroeconomics, John Wiley and Sons, New York, NY. Bas¸ kaya, Y.S., Hulag€ u, T. and K€ uç€ uk, H. (2013),€ “Oil price uncertainty in a small open economy”, IMF Economic Review, Vol. 6, pp. 168-198. Bernanke, B.S. (1983), “Irreversibility, uncertainty, and cyclical investment”, Quarterly Journal of Economics, Vol. 98 No. 1, pp. 85-106. Bernanke, B., Gertler, M. and Watson, M. (1997), “Systematic monetary policy and the effect of oil price shocks”, Brookings Papers on Economic Activity, Vol. 1, pp. 91-142. Bresnahan, T.F. and Ramey, V.A. (1993), “Segment shifts and capacity utilization in the U.S. automobile industry”, American Economic Review Papers and Proceedings, Vol. 83 No. 2, pp. 3213-218. Brown, S.P.A. and Yucel, M.K. (1999),€ “Oil prices, and US aggregate economic activity: a question of neutrality”, Economic and Financial Policy Review, Federal Reserve Bank of Dallas, Vol. 2, pp. 16-23. Burbidge, J. and Harrison, A. (1984), “ Testing for the effects of oil-price rises using vector autoregressions” , International Economic Review, Vol. 25 No. 2, pp. 459-484. Cunado, J. and De Gracia, F.P. (2005),~ “Oil prices, economic activity and inflation: evidence for some Asian countries”, Quarterly Review of Economics and Finance, Vol. 45 No. 1, pp. 65-83. Darby, M. (1982), “The price of oil and world inflation and recession”, American Economic Review, Vol. 72, pp. 738-751. Davies, S.J. (1987), “Allocative disturbances and specific capital in real business cycle theories”, American Economic Review, Vol. 77 No. 2, pp. 326-332. Davies, S.J. and Haltiwanger, J. (2001), “Sectoral job creation and destruction responses to oil price changes”, Journal of Monetary Economics, Vol. 48 No. 3, pp. 465-512. Ebrahim, Z., Inderwildi, O.R. and King, D.A. (2014), “Macroeconomic impacts of oil price volatility: mitigation and resilience”, Frontiers in Energy, Vol. 8, pp. 9-24. Federal Reserve Economic Data (2019), “Economic data”, available at: https://www.stlouisfed.org (accessed 5 August 2019). General Statistics Office of Vietnam (2019), “Online database”, available at: http:///www.gso.gov.vn (accessed 5 August 2019). Ghysels, E., Santa-Clara, P. and Valkanov, R. (2006), “Predicting volatility: getting the most out of return data sampled at different frequencies”, Journal of Econometrics, Vol. 131, pp. 59-95. Ghysels, G., Sinko, A. and Valkanov, R. (2007), “MIDAS regressions: further results and new directions”, Econometric Reviews, Vol. 26, pp. 53-90. Gisser, M. and Goodwin, T. (1986), “Crude oil and the macroeconomy: tests of some popular notions”, Journal of Money, Credit and Banking, Vol. 18, pp. 95-103. Hamilton, J.D. (1983), “Oil and the macroeconomy since world war II”, Journal of Political Economy, Vol. 91, pp. 228-248. Hamilton, J.D. (1988), “A neoclassical model of unemployment and the business cycle”, Journal of Political Economy, Vol. 96 No. 3, pp. 593-617. Hamilton, J.D. (1996), “This is what happened to the oil price-macroeconomy relationship”, Journal of Monetary Economics, Vol. 38, pp. 215-220. Hamilton, J.D. (2009), “Understanding crude oil prices”, Energy Journal, Vol. 30, pp. 179-206. International Energy Agency (2019), “Data and statistics”, available at: http://www.iea.org/data-andstatistics (accessed 5 August 2019). International Financial Statistics (2019), “IMF data access to macroeconomics and financial data”, available at: http://www.data.imf.org (accessed 5 August 2019). Kilian, L. (2009), “Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market”, American Economic Review, Vol. 99 No. 3, pp. 1053-1069. K€ose, N. and Baimaganbetov, S. (2015), “The asymmetric impact of oil price shocks on Kazakhstan macroeconomic dynamics: a structural vector autoregression approach”, International Journal of Energy Economics and Policy, Vol. 5 No. 4, pp. 1058-1064. Lee, K., Ni, S. and Ratti, R. (1995), “Oil shocks and the macroeconomy: the role of price variability”, Energy Journal, Vol. 16, pp. 39-56. Long, S. and Liang, J. (2018), “Asymmetric and nonlinear pass-through of global crude oil price to China’s PPI and CPI inflation”, Economic Research-Ekonomska Istra zivanja, Vol. 31 No. 1, pp. 240-251. Luiggi, D. and Neil, A.T. (2016), “The asymmetric effects of oil price shocks on the Canadian economy international”, Journal of Energy Economics and Policy, Vol. 6 No. 2, pp. 167-182. Ministry of Finance (2019), Oil and Gasoline Prices, available at: http://www.mof.gov.vn (accessed 5 August 2019). Mork, K.A. (1989), “ Oil and macroeconomy when prices go up and down: an extension of Hamilton’ s results” , Journal of Political Economy, Vol. 97 No. 3, pp. 740-744. Olomola, P.A. and Adejumo, A.V. (2006), “Oil price shock and macroeconomic activities in Nigeria”, International Research Journal of Finance and Economics, Vol. 3, pp. 29-35. Petrolimex (2018), Oil and Gasoline Prices, available at: http://www.petrolimex.com.vn (accessed 5 August 2019). Pindyck, R.S. (1991), “Irreversibility, uncertainty, and investment”, Journal of Economic Literature, Vol. 29, pp. 1110-1148. Rasche, R.H. and Tatom, J.A. (1981), “Energy price shocks, aggregate supply and monetary policy: the theory and the international evidence”, Carnegie-Rochester Conference Series on Public Policy, Vol. 14, pp. 9-93. Thanh, N.D., Trinh, B. and Thang, D.N. (2009), “The impact of oil price increase: A preliminary quantitative analysis”, Vietnam National University Journal of Science, Vol. 25, pp. 25-38 (in Vietnamese). Trang, N.T.N. and Hong, D.T.T. (2016), “Non-linear impacts of oil price on growth, inflation, unemployment and fiscal deficit”, Journal of Economic Development, Vol. 27 No. 6, pp. 23-44 (in Vietnamese). Trung, L.V. and Vinh, N.T.T. (2011), “The impact of oil prices, real effective exchange rate and inflation on economic activity: novel evidence for Vietnam”, Discussion Paper Series, Kobe University, Kobe. Valcarcel, V.J. and Wohar, M. (2013), “Changes in the oil price-inflation pass-through”, Journal of Economics and Business, Vol. 68, pp. 24-42. | |
Bộ sưu tập | 02. Tạp chí (Tiếng Anh) | |
