Determinants of inflation in Vietnam: a VECM approach
This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on i...
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Trường Đại học Kinh tế Tp. Hồ Chí Minh
2017
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| Truy cập trực tuyến: | http://digital.lib.ueh.edu.vn/handle/UEH/55208 http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=4f65a0f4-2c61-42dd-9c22-0cd26ef379d1 http://doi.org/10.24311/jed/2015.22.4.02 |
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Đại học Kinh tế Thành phố Hồ Chí Minh |
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Inflation Determinants Cointegration theory VECM Vietnam |
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Inflation Determinants Cointegration theory VECM Vietnam Pham Hoang Cam Huong Determinants of inflation in Vietnam: a VECM approach |
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This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actually has a short-run impact, but its level is fundamentally weak. The cause of the current inflation is mainly due to public's expectations of the inflation in the last period. Although the error correction, from the long-run relationship, has affected inflation in the short run, the coefficient is small and insignificant. In other words, it means that the speed of the adjustment is very low or near zero. This also implies that once the relationship among inflation, domestic credit, interest rate, budget deficit, and crude oil prices deviate from the long-term trend, it will take the economy a lot of time to return to the equilibrium state. |
| author2 |
Tran Thi Bich Ngoc |
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Tran Thi Bich Ngoc Pham Hoang Cam Huong |
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Journal Article |
| author |
Pham Hoang Cam Huong |
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Pham Hoang Cam Huong |
| title |
Determinants of inflation in Vietnam: a VECM approach |
| title_short |
Determinants of inflation in Vietnam: a VECM approach |
| title_full |
Determinants of inflation in Vietnam: a VECM approach |
| title_fullStr |
Determinants of inflation in Vietnam: a VECM approach |
| title_full_unstemmed |
Determinants of inflation in Vietnam: a VECM approach |
| title_sort |
determinants of inflation in vietnam: a vecm approach |
| publisher |
Trường Đại học Kinh tế Tp. Hồ Chí Minh |
| publishDate |
2017 |
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http://digital.lib.ueh.edu.vn/handle/UEH/55208 http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=4f65a0f4-2c61-42dd-9c22-0cd26ef379d1 http://doi.org/10.24311/jed/2015.22.4.02 |
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AT phamhoangcamhuong determinantsofinflationinvietnamavecmapproach |
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1810056006728679424 |
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oai:localhost:UEH-552082019-11-22T06:50:38Z Determinants of inflation in Vietnam: a VECM approach Pham Hoang Cam Huong Tran Thi Bich Ngoc Inflation Determinants Cointegration theory VECM Vietnam This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actually has a short-run impact, but its level is fundamentally weak. The cause of the current inflation is mainly due to public's expectations of the inflation in the last period. Although the error correction, from the long-run relationship, has affected inflation in the short run, the coefficient is small and insignificant. In other words, it means that the speed of the adjustment is very low or near zero. This also implies that once the relationship among inflation, domestic credit, interest rate, budget deficit, and crude oil prices deviate from the long-term trend, it will take the economy a lot of time to return to the equilibrium state. 2017-09-14T11:02:13Z 2017-09-14T11:02:13Z 2015 Journal Article 1859 -1124 http://digital.lib.ueh.edu.vn/handle/UEH/55208 http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=4f65a0f4-2c61-42dd-9c22-0cd26ef379d1 http://doi.org/10.24311/jed/2015.22.4.02 Journal of Economic Development JED, Vol.22(4) Agboluaje, A. A., &Olaleye, I. O. (2013). Errorcorrection model of GDP and inflation based on the long-run equilibrumrelationship in Nigeria economy. TransnationalJournal of Science and Technology, 3(1),54–70. Alexander, C. 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Haryana, India: FK Publications. Khieu,V. H. (2014). Budget deficit, moneygrowth and inflation: Empirical evidence from Vietnam (MPRA Paper 54488). Germany:University Library of Munich. Laidler, D., & Parkin,J. M. (1975). Inflation: A survey. EconomicJournal, 85(340), 741–809. Le, V. H., & Pfau, W. D.(2009). VAR analysis of the monetarytransmission mechanism in Vietnam. Applied Econometrics and International Development, 9(1). Liew, Venus Khim−Sen (2004).Which lag length selection criteria should we Employ? Economics Bulletin, 3(33),1−9. Mishkin, S. (2004). Can inflation targeting work in emergingmarket countries (NBER Working Paper No. 10646)? MA: National Bureau ofEconomic Research. Nguyen, T. T. H., &Nguyen, D. T. (2010). Macroeconomicdeterminants of Vietnam’s inflation 2000-2010: Evidence and analysis (VEPRWorking Paper WP-09). Hanoi, Vietnam: Vietnam Center for Economic and PolicyResearch, University of Economics and Business, Vietnam National University. Orden, D.,& Fisher, L. A. (1993). Financial deregulation andthe dynamics of money, prices, and output in New Zealand andAustralia. Journal of Money, Credit andBanking, 25(2), 273–292. Ramakrishnan, U.,& Vamvakidis, A. (2002).Forecasting inflation in Indonesia(IMF Working Paper No. 02/111). Retrieved from www.imf.org/external/pubs/ft/wp/2002/wp02111.pdf Ran, J., & Voon, J. P.(2012). Does oil price shock affect small open economies? Evidence from HongKong, Singapore, South Korea, and Taiwan. AppliedEconomics Letters, 19(16),1599–1602. Renner, S. (1999). Inflation and the enforcement of contracts.MA: Edward Elgar Publising. Shamloo, M. (2011). Inflation dynamics in FYR Macedonia (IMFWorking Paper No. 11/287). Washington, DC: International Monetary Fund. Than, T. T. T. (2011). Theinfluence of world fuel prices on the ConsumerPrice Index of Vietnam (in Vietnamese). Journal of Development and Integration, 1(11). Vo, T. T., Dinh, H. M., Do,X. T., Hoang, V. T., & Pham, C. Q. (2001). Exchange rate arrangement in Vietnam: Information content and policyoptions. Retrieved 6 May, 2013 from http://www.eadn.org/eadnwp18.pdf Vuong, T. T. B. (2008). Analyzing the dynamics of Vietnam’s pricesand inflation during the renovation: A mathematical economics approach(in Vietnamese). Hanoi, Vietnam: National Economics University. Wachter,S. M. (1979). Structuralism vs. monetarism: Inflation in Chile. In J. R.Behrman & J. Hanson (eds.), Short-Termmacroeconomic policy in Latin America (pp. 227–256). Cambridge, MA:National Bureau of Economic Research. none Portable Document Format (PDF) 26 50 Trường Đại học Kinh tế Tp. Hồ Chí Minh |