Tài liệu
A mixed data sampling approach to the asymmetric impacts of world oil price on macroeconom ic variables in Vietnam
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Tóm tắt
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.
Mô tả
management and analysis of economic information
Tác giả
Pham, Trinh Thi Tuyet
Le, Nhan Phan Ai
Người hướng dẫn
Nơi xuất bản
Nhà xuất bản
Kinh Tế Quốc Dân
Năm xuất bản
2020
ISBN
1973-0020
ISSN
Từ khóa chủ đề
Asymmetric impact , Inflation , MIDAS , Oil price , Output growth
Trích dẫn
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Tệp tin
10-1108_JED-03-2020-0017.pdf
D:\NEU_DSpace\tapchitienganh
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