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Oil price shocks and Vietnam’s macroeconomic fundamentals: quantile-on-quantile approach

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  • Ho Thuy Tien

Abstract

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.

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  • Ho Thuy Tien, 2022. "Oil price shocks and Vietnam’s macroeconomic fundamentals: quantile-on-quantile approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 10(1), pages 2095767-209, December.
    • Handle: RePEc:taf:oaefxx:v:10:y:2022:i:1:p:2095767
    DOI: 10.1080/23322039.2022.2095767
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    Cited by:

    1. Nurkhodzha Akbulaev & Imangulu Muradzada & Ziyadhan Hasanov, 2023. "Relationship between Oil Prices and Russia Exchange Indices: Analysis of Frequency Causality," International Journal of Energy Economics and Policy, Econjournals, vol. 13(5), pages 607-615, September.

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