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

Figures & data

Table 1. Descriptive statistics

Variables	OIL	CPI	EX	UR	VNI	GDP
Mean	1.481592	−1.011930	7.326929	−1.914031	6.145254	0.939224
Median	1.578003	−1.010217	7.298945	−1.808727	6.188248	0.903770
Min	−0.206738	−4.927265	7.056498	−2.512054	2.424411	0.788359
Max	2.145167	0.710168	7.567891	−1.452043	7.421192	1.202985
Std. Dev	0.490173	0.965100	0.174786	0.295310	0.670498	0.135431
Skewness	−0.542632	−0.899416	−0.013020	−0.744535	−1.217195	0.343647
Kurtosis	2.689776	4.535091	1.393289	2.310901	6.936102	1.558429
Jarque-Bera	14.01441***	61.51531***	28.40418***	29.61403***	235.6107***	28.05552***

*** Statistical significance at 10% level

Figure 1. Pearson correlation matrix for OIL, EX, CPI, UR, GDP and VNI in Vietnam.

Notes: the color bar represents the magnitude of the intensity for correlation between indicators.

Table 2. Quantile autoregression unit root analysis

$\tau$	OIL		EX		UR		VNI		CPI		GDP
	$\hat{\alpha }$	t-statistic	$\hat{\alpha }$	t-statistic	$\hat{\alpha }$	t-statistic	$\hat{\alpha }$	t-statistic	$\hat{\alpha }$	t-statistic	$\hat{\alpha }$	t-statistic
0.05	−3.4100	0.0709	−2.5202	−0.4393	−3.4100	0.2671	−2.6945	−1.1565	−2.3696	1.1282	−3.4100	−1.5410
0.10	−3.4100	1.2033	−2.9558	0.1727	−3.4100	2.1945	−2.9853	−2.3517	−3.1683	3.7190	−3.4100	−1.9527
0.15	−3.4100	1.8482	−3.1903	0.3522	−3.4100	2.7404	−3.2767	−8.5017	−3.4100	3.6613	−3.4100	−2.4161
0.20	−3.4100	2.8211	−3.1903	0.8493	−3.4100	1.7040	−3.3379	−3.8526	−3.4100	3.1293	−3.4100	−3.8706
0.25	−3.4100	3.2874	−3.3167	1.7597	−3.4100	1.1418	−3.4100	−3.1750	−3.4100	2.4587	−3.4100	−4.7021
0.30	−3.4100	3.4051	−3.4100	2.4596	−3.4100	0.7974	−3.4100	−2.9985	−3.4100	2.0803	−3.4100	−5.3348
0.35	−3.4100	3.1539	−3.4100	2.3945	−3.4100	0.7909	−3.4100	−3.3584	−3.4100	1.5337	−3.4100	−7.0888
0.40	−3.4100	2.8376	−3.4100	2.0959	−3.4100	0.7396	−3.4100	−3.4797	−3.4100	−0.1723	−3.4100	−6.5820
0.45	−3.4100	2.0247	−3.4100	1.8098	−3.4100	0.2678	−3.4100	−3.6931	−3.4100	−0.9195	−3.4100	−6.5113
0.50	−3.4100	1.0334	−3.4100	1.6352	−3.4100	−0.0842	−3.4100	−3.1485	−3.4100	−1.5204	−3.4100	−6.0440
0.55	−3.4100	0.2630	−3.4100	1.2755	−3.4100	−0.3113	−3.4100	−2.3966	−3.4100	−2.4232	−3.4100	−5.6007
0.60	−3.4100	−1.3093	−3.4100	1.0139	−3.4100	−0.9822	−3.4100	−1.5694	−3.4100	−3.9564	−3.4100	−5.3655
0.65	−3.4100	−2.0120	−3.4100	0.3803	−3.4100	−0.9923	−3.4100	−1.1262	−3.4100	−3.9691	−3.4100	−4.6445
0.70	−3.4100	−2.4930	−3.4100	0.0198	−3.4100	−1.3304	−3.4100	−0.6885	−3.4100	−3.3305	−3.4100	−3.9119
0.75	−3.4100	−2.7509	−3.4100	−0.0355	−3.4100	−0.9204	−3.4100	−0.4657	−3.4100	−3.0833	−3.4100	−1.9927
0.80	−3.4100	−3.2021	−3.4100	−0.1995	−3.4100	−0.7606	−3.4100	−0.9442	−3.4100	−2.8073	−3.4100	−0.8238
0.85	−3.4100	−3.7073	−3.4100	−0.3165	−3.4100	−0.2798	−3.4100	−1.3476	−3.4100	−1.7079	−3.4100	−0.2477
0.90	−3.4002	−3.0262	−3.4100	0.1208	−3.4100	−0.4549	−3.4100	−1.9006	−3.1539	−2.1302	−3.3607	1.3958
0.95	−2.8924	−1.1039	−3.4100	0.3195	−3.1943	−0.3341	−3.4100	−1.3358	−2.7772	−2.0775	2.9086	0.3134

The table shows point estimates and t-statistics values for the 5% significance level.

Table 3. Quantile cointegration test

Model	Coefficient	Sup	CV1	CV5	CV10
OIL-CPI	$\beta$	109.50481	61.085251	39.305779	31.133141
	$\gamma$	29.6523	16.105545	8.8943672	6.1648655
OIL-EX	$\beta$	24119.34	11956.82	8568.8662	6714.1152
	$\gamma$	1648.856	771.91174	554.33105	416.93774
OIL-UR	$\beta$	1205.0291	1723.4025	1033.1216	814.29321
	$\gamma$	315.86658	499.56421	250.64412	194.38565
OIL-VNI	$\beta$	1362.4938	846.95746	572.29028	467.6087
	$\gamma$	113.15295	56.155567	35.482346	27.31617
OIL-GDP	$\beta$	5398.2422	6761.0444	4957.6895	3897.5234
	$\gamma$	2702.7244	3467.6196	2448.7769	1882.4039

This table presents the results of the quantile cointegration test of Xiao (2009) for the logarithm of the selected variables and oil prices. We test the stability of the coefficients β and γ in the quantile cointegration model, and CV1, CV5, and CV10 are the critical values of statistical significance at 1%, 5%, and 10%, respectively.

Figure 2. (a) The impact of oil prices on inflation. (b) The impact of oil prices on exchange rate. (c) The impact of oil prices on economic growth. (d) The impact of oil prices on unemployment rate. (e) The impact of oil prices on stock market prices.

Table 4. Granger causality in quantile test results

Quantile	$\mathit{O}IL\to CPI$	$\mathit{C}PI\to OIL$	$\mathit{O}IL\to EX$	$\mathit{E}X\to OIL$	$\mathit{O}IL\to UR$	$\mathit{U}R\to OIL$	$\mathit{O}IL\to VNI$	$\mathit{V}NI\to OIL$	$\mathit{O}IL\to GDP$	$\mathit{G}DP\to OIL$
0.05	0.449074074	0.449074074	0.00462963***	0.060185185**	0.00462963***	0.060185185**	0.00462963***	0.060185185**	0.00462963***	0.060185185**
0.10	0.449074074	0.449074074	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.15	0.449074074	0.449074074	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.20	0.449074074	0.449074074	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.25	0.449074074	0.449074074	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.30	0.449074074	0.449074074	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.35	0.449074074	0.449074074	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.40	0.449074074	0.449074074	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.45	0.449074074	0.449074074	0.523148148	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.50	0.449074074	0.449074074	0.009259259***	0.208333333	0.268518519	0.208333333	0.828703704	0.208333333	0.268518519	0.208333333
0.55	0.384259259	0.449074074	0.00462963***	0.398148148	0.00462963***	0.398148148	0.00462963***	0.398148148	0.013888889**	0.398148148
0.60	0.384259259	0.416666667	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.041666667**	0.00462963***
0.65	0.384259259	0.384259259	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.70	0.384259259	0.384259259	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.75	0.016480121**	0.384259259	0.00462963***	0.00462963***	0.00462963***	0.00462963	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.80	0.328703704	0.337962963	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.85	0.324074074	0.273148148	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.90	0.324074074	0.273148148	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***
0.95	0.324074074	0.273148148	0.032407407***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***	0.00462963***

**, *** presents the significant level of null hypothesis rejected at 5% and 1%.

Table 5. QRA estimates of oil prices and other indicators

Quantile	OIL-CPI	OIL-EX	OIL-UR	OIL-VNI	OIL-GDP
0.05	0.114921 (0.129636)	1.309078*** (0.104586)	−1.507884*** (0.068930)	0.351,531*** (0.020852)	1.649909* (0.737150)
0.10	0.324657** (0.150512)	1.399539*** (0.099018)	−1.535561*** (0.080150)	0.372471*** (0.019179)	0.671668 (0.867175)
0.15	0.338276** (0.128432)	1.364490*** (0.111310)	−1.374743*** (0.061351)	0.367908*** (0.022153)	0.092676 (0.898222)
0.20	0.402968*** (0.108860)	1.395663*** (0.117570)	−1.329509*** (0.044447)	0.378000*** (0.024694)	−0.145049 (0.767953)
0.25	0.435321*** (0.035408)	1.400357*** (0.121000)	−1.289485 (0.044536)	0.387752*** (0.025492)	−0.616403 (0.457390)
0.30	0.433588*** (0.029267)	1.433889*** (0.123499)	−1.278546*** (0.048257)	0.403230*** (0.025227)	−0.255966 (0.513434)
0.35	0.407255*** (0.028750)	1.376399*** (0.134565)	−1.259077*** (0.051293)	0.455815*** (0.027821)	0.220664 (0.437609)
0.40	0.393189*** (0.029046)	1.392874*** (0.158213)	−1.249391*** (0.053954)	0.472659*** (0.031046)	0.719946*** (0.234834)
0.45		1.541674*** (0.194388)	−1.204441*** (0.058432)	0.483471*** (0.033538)	0.595110*** (0.227004)
0.50	0.350627*** (0.030792)	1.322423*** (0.261258)	−1.081638*** (0.076598)	0.430178*** (0.035303)	0.568814*** (0.220648)
0.55	0.335368*** (0.030545)	0.687244* (0.354553)	−1.028181*** (0.086270)	0.421263*** (0.047994)	0.484124* (0.220417)
0.60	0.310421*** (0.027395)	1.686223*** (0.449547)	−0.997131*** (0.087803)	0.465397*** (0.049609)	0.325368 (0.233097)
0.65	0.283881*** (0.025026)	1.692838*** (0.396944)	−0.945890*** (0.088371)	0.478815*** (0.060696)	0.193235 (0.250294)
0.70	0.255315*** (0.022865)	1.554770*** (0.369619)	−0.978393*** (0.108600)	0.529092*** (0.095421)	0.207717 (0.248478)
0.75	0.241804*** (0.020423)	1.403403*** (0.343635)	−0.977739*** (0.125122)	0.568355*** (0.098107)	−0.652575*** (0.211673)
0.80	0.224448 (0.019296)	1.402305*** (0.315792)	−0.881767*** (0.127367)	0.516049 (0.763034)	−0.519495** (0.194463)
0.85	0.207293*** (0.021220)	1.307812*** (0.288568)	−0.824719*** (0.145677)	0.223949 (0.974350)	−0.501641** (0.177299)
0.90	0.247042*** (0.027366)	0.913400 (0.297032)	−0.808873*** (0.157971)	0.109297 (0.892007)	−0.164875 (0.188012)
0.95	0.242276*** (0.032845)	−0.054877 (0.447889)	−0.163188 (0.142145)	0.044452 (0.747621)	0.089297 (0.188797)
OLS	0.293946*** (0.025589)	1.359315*** (0.151545)	−1.231663*** (0.068744)	0.404608*** (0.037617)	0.155713* (0.223397)

***p < 0.01; *p < 0.05; *p < 0.01. Standard errors are in the parenthesis

Xiao, Z. (2009). Quantile cointegrating regression. Journal of Econometrics, 150(2),248–260. Statistical Association, 99(467), 775-787. https://doi.org/10.1016/j.jeconom.2008.12.005

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Data availability statement

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