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

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.

Keywords:

• macroeconomic factors
• oil prices
• quantile regression
• causality
• Vietnam

JEL classifications:

• G12
• I32
• O55

PUBLIC INTEREST STATEMENT

The purpose of this article is to investigate the impact of oil price shocks on macroeconomic indicators in Vietnam. This study aims to highlight the importance of global oil prices in creating conditions for economic development. This article has significant implications for the government, investors, and policymakers.

Acknowledgements

The authors are grateful to the anonymous referees of the journal for their extremely useful suggestions to improve the quality of the article. Usual disclaimers apply. This research is funded by University of Finance-Marketing, Ho Chi Minh City, Vietnam.

Ethics approval and consent to participate: Not applicable.Consent for publication: Not applicable

Disclosure statement

No potential conflict of interest was reported by the author(s).

Data availability statement

Please contact author for data and program codes requests. R and Matlab are used to organize data.

Additional information

Funding

The author received no direct funding for this research.