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The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model

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  • Van Nguyen, Phuong

Abstract

The primary purpose of this paper is to investigate the sources of the business cycle fluctuations in Vietnam. To this end, we develop a small open economy New Keynesian Dynamic Stochastic General Equilibrium (SOE-NK-DSGE) model. Accordingly, this model includes various features, such as habit consumption, staggered price, price indexation, incomplete exchange-rate pass-through, the failures of the law of one price and the uncovered interest rate parity. It is then estimated by using the Bayesian technique and Vietnamese data 1999Q1 − 2017Q1. Based on the estimated model, this paper analyzes the sources of the business cycle fluctuations in this emerging economy. Indeed, this research paper is the first attempt on developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.

Suggested Citation

  • Van Nguyen, Phuong, 2020. "The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model," Dynare Working Papers 56, CEPREMAP.
    • Handle: RePEc:cpm:dynare:056
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    More about this item

    Keywords

    International macroeconomics; international spillover; Vietnamese economy; New Keynesian DSGE model; Bayesian estimation;
    All these keywords.

    JEL classification:

    • E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies

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