2,040
Views
2
CrossRef citations to date
0
Altmetric
FINANCIAL ECONOMICS

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

Article: 2095767 | Received 22 Mar 2022, Accepted 26 Jun 2022, Published online: 05 Jul 2022

References

  • Agu, O. C., & Nyatanga, P. (2020). Oil price fluctuation, macroeconomic indicators and poverty in Nigeria. African Journal of Development Studies, 10(1), 49.
  • Ahmed, K., Bhutto, N. A., & Kalhoro, M. R. (2019). Decomposing the links between oil price shocks and macroeconomic indicators: Evidence from SAARC region. Resources Policy, 61, 423–19. https://doi.org/10.1016/j.resourpol.2018.03.001
  • Akadiri, S. S., Adebayo, T. S., Nakorji, M., Mwakapwa, W., Inusa, E. M., Izuchukwu, O. O., Grünberger, O., Lissalde, S., Mazella, N., Samouëlian, A., & Simon, S. (2022). Impacts of globalization and energy consumption on environmental degradation: What is the way forward to achieving environmental sustainability targets in Nigeria? Environmental Science and Pollution Research, 1–14. https://doi.org/10.1007/s11356-021-17416-3
  • Alamgir, F., & Amin, S. B. (2021). The nexus between oil price and stock market: Evidence from South Asia. Energy Reports, 7, 693–703. https://doi.org/10.1016/j.egyr.2021.01.027
  • Alvarado, R., Ponce, P., Criollo, A., Córdova, K., & Khan, M. K. (2018). Environmental degradation and real per capita output: New evidence at the global level grouping countries by income levels. Journal of Cleaner Production, 189, 13–20. https://doi.org/10.1016/j.jclepro.2018.04.064
  • Amiri, H., Sayadi, M., & Mamipour, S. (2021). Oil price shocks and macroeconomic outcomes; Fresh evidences from a scenario-based NK-DSGE analysis for oil-exporting countries. Resources Policy, 74, 102262. https://doi.org/10.1016/j.resourpol.2021.102262
  • Baek, J. (2021). Crude oil prices and macroeconomic activities: A structural VAR approach to Indonesia. Applied Economics, 53(22), 2527–2538. https://doi.org/10.1080/00036846.2020.1862750
  • Bjørnland, H. C., Larsen, V. H., & Maih, J. (2018). Oil and macroeconomic (in) stability. American Economic Journal: Macroeconomics, 10(4), 128–151. https://doi.org/10.1257/mac.20150171
  • Cao, H., Khan, M. K., Rehman, A., Dagar, V., Oryani, B., & Tanveer, A. (2021). Impact of globalization, institutional quality, economic growth, electricity and renewable energy consumption on Carbon Dioxide Emission in OECD countries. Environmental Science and Pollution Research, 28(1), 1–12. https://doi.org/10.1007/s11356-020-11060-z
  • Chishti, M. Z., Iqbal, J., Mahmood, F., & Azeem, H. S. M. (2020). The implication of the oscillations in exchange rate for the commodity-wise trade flows between Pakistan and China: An evidence from ARDL approach. Review of Pacific Basin Financial Markets and Policies, 23(4), 2050030. https://doi.org/10.1142/S0219091520500307
  • Choi, S., Furceri, D., Loungani, P., Mishra, S., & Poplawski-Ribeiro, M. (2018). Oil prices and inflation dynamics: Evidence from advanced and developing economies. Journal of International Money and Finance, 82, 71–96. https://doi.org/10.1016/j.jimonfin.2017.12.004
  • Çıtak, F., Şişman, M. Y., & Bağcı, B. (2021). Nexus between disaggregated electricity consumption and CO2 emissions in Turkey: New evidence from quantile-on-quantile approach. Environmental and Ecological Statistics, 28(4), 843–860. https://doi.org/10.1007/s10651-021-00504-5
  • Dagar, V., Khan, M. K., Alvarado, R., Usman, M., Zakari, A., Rehman, A., Tillaguango, B., & Tillaguango, B. (2021). Variations in technical efficiency of farmers with distinct land size across agro-climatic zones: Evidence from India. Journal of Cleaner Production, 315, 128109. https://doi.org/10.1016/j.jclepro.2021.128109
  • Doğrul, H. G., & Soytas, U. (2010). Relationship between oil prices, interest rate, and unemployment: Evidence from an emerging market. Energy Economics, 32(6), 1523–1528. https://doi.org/10.1016/j.eneco.2010.09.005
  • Dramani, J. B., & Frimpong, P. B. (2020). The effect of crude oil price shocks on macroeconomic stability in Ghana. OPEC Energy Review, 44(3), 249–277. https://doi.org/10.1111/opec.12182
  • Ewing, B. T., & Thompson, M. A. (2007). Dynamic cyclical comovements of oil prices with industrial production, consumer prices, unemployment, and stock prices. Energy Policy, 35(11), 5535–5540. https://doi.org/10.1016/j.enpol.2007.05.018
  • Geiger, M., & Scharler, J. (2019). How do consumers assess the macroeconomic effects of oil price fluctuations? Evidence from US survey data. Journal of Macroeconomics, 62, 103134. https://doi.org/10.1016/j.jmacro.2019.103134
  • Godil, D. I., Sarwat, S., Khan, M. K., Ashraf, M. S., Sharif, A., & Ozturk, I. (2022). How the price dynamics of energy resources and precious metals interact with conventional and Islamic stocks: Fresh insight from dynamic ARDL approach. Resources Policy, 75, 102470. https://doi.org/10.1016/j.resourpol.2021.102470
  • Gupta, K., & Krishnamurti, C. (2018). Do macroeconomic conditions and oil prices influence corporate risk-taking? Journal of Corporate Finance, 53, 65–86. https://doi.org/10.1016/j.jcorpfin.2018.10.003
  • Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. Journal of Political Economy, 91(2), 228–248. https://doi.org/10.1086/261140
  • Hamilton, J. D. (2003). What is an oil shock? Journal of Econometrics, 113(2), 363–398. https://doi.org/10.1016/S0304-4076(02)00207-5
  • Hamilton, J. D. (2005). Oil and the Macroeconomy. The New Palgrave Dictionary ofEconomics, 91(2), 1–17. https://doi.org/10.1086/261140
  • Hashmi, S. H., Fan, H., Fareed, Z., & Shahzad, F. (2021). Asymmetric nexus between urban agglomerations and environmental pollution in top ten urban agglomerated countries using quantile methods. Environmental Science and Pollution Research, 28(11), 13404–13424. https://doi.org/10.1007/s11356-020-10669-4
  • Hashmi, S. M., Chang, B. H., & Bhutto, N. A. (2021). Asymmetric effect of oil prices on stock market prices: New evidence from oil-exporting and oil-importing countries. Resources Policy, 70, 101946. https://doi.org/10.1016/j.resourpol.2020.101946
  • Ho, T. T., & Ho, T. H. (2018). Operating the impossible trinity before and after the global financial crisis 2007-2008: Evidence in Vietnam. International Journal of Trade and Global Markets, 11(1–2), 40–49. https://doi.org/10.1504/IJTGM.2018.092491
  • Ho, T. L., & Ho, T. T. (2021). Economic growth, energy consumption and environmental quality: Evidence from Vietnam. International Energy Journal, 21(2).
  • Hung, N. T. (2020). Analysis of the time-frequency connectedness between gold prices, oil prices and Hungarian financial markets. International Journal of Energy Economics and Policy, 10(4), 51. https://doi.org/10.32479/ijeep.9230
  • Hung, N. T. (2021a). Quantile dependence between green bonds, stocks, bitcoin, commodities and clean energy. Economic Computation and Economic Cybernetics Studies and Research, 55(3), 71–86. https://doi.org/10.24818/18423264/55.3.21.05
  • Hung, N. T. (2021b). Effect of economic indicators, biomass energy on human development in China. Energy & Environment, 0958305X211022040. https://doi.org/10.1177/0958305X211022040
  • Hung, N. T. (2022). Asymmetric connectedness among S&P 500, crude oil, gold and Bitcoin. Managerial Finance, 48(4), 587–610. https://doi.org/10.1108/MF-08-2021-0355
  • Hung, N. T., Trang, N. T., Thang, N. T., Douzals, J.-P., Guibal, R., Grimbuhler, S., Grünberger, O., Lissalde, S., Mazella, N., Samouëlian, A., & Simon, S. (2022). Quantile relationship between globalization, financial development, economic growth, and carbon emissions: Evidence from Vietnam. Environmental Science and Pollution Research, 1–19. https://doi.org/10.1007/s11356-022-20126-z
  • Islam, M., Khan, M. K., Tareque, M., Jehan, N., & Dagar, V. (2021). Impact of globalization, foreign direct investment, and energy consumption on CO2 emissions in Bangladesh: Does institutional quality matter? Environmental Science and Pollution Research, 28(35), 48851–48871. https://doi.org/10.1007/s11356-021-13441-4
  • Jiang, W., & Liu, Y. (2021). The asymmetric effect of crude oil prices on stock prices in major international financial markets. The North American Journal of Economics and Finance, 56, 101357. https://doi.org/10.1016/j.najef.2020.101357
  • Känzig, D. R. (2021). The macroeconomic effects of oil supply news: Evidence from OPEC announcements. American Economic Review, 111(4), 1092–1125. https://doi.org/10.1257/aer.20190964
  • Khalfaoui, R., Padhan, H., Tiwari, A. K., & Hammoudeh, S. (2020). Understanding the time-frequency dynamics of money demand, oil prices and macroeconomic variables: The case of India. Resources Policy, 68, 101743. https://doi.org/10.1016/j.resourpol.2020.101743
  • Khan, M. K., Teng, J. Z., & Khan, M. I. (2019). Effect of energy consumption and economic growth on carbon dioxide emissions in Pakistan with dynamic ARDL simulations approach. Environmental Science and Pollution Research, 26(23), 23480–23490. https://doi.org/10.1007/s11356-019-05640-x
  • Khan, M. K., Abbas, F., Godil, D. I., Sharif, A., Ahmed, Z., & Anser, M. K. (2021). Moving towards sustainability: How do natural resources, financial development, and economic growth interact with the ecological footprint in Malaysia? A dynamic ARDL approach. Environmental Science and Pollution Research, 28(39), 55579–55591. https://doi.org/10.1007/s11356-021-14686-9
  • Khan, M. K., Trinh, H. H., Khan, I. U., & Ullah, S. (2021). Sustainable economic activities, climate change, and carbon risk: An international evidence. Environment, Development and Sustainability, 24, 1–23. https://doi.org/10.1007/s10668-021-01842-x
  • Khan, S., Khan, M. K., & Muhammad, B. (2021). Impact of financial development and energy consumption on environmental degradation in 184 countries using a dynamic panel model. Environmental Science and Pollution Research, 28(8), 9542–9557. https://doi.org/10.1007/s11356-020-11239-4
  • Khraief, N., Shahbaz, M., Mahalik, M. K., & Bhattacharya, M. (2021). Movements of oil prices and exchange rates in China and India: New evidence from wavelet-based, non-linear, autoregressive distributed lag estimations. Physica A: Statistical Mechanics and Its Applications, 563, 125423. https://doi.org/10.1016/j.physa.2020.125423
  • Kocaarslan, B., Soytas, M. A., & Soytas, U. (2020). The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US. Energy Economics, 86, 104625. https://doi.org/10.1016/j.eneco.2019.104625
  • Koenker, R., & Bassett, G., Jr. (1978). Regression quantiles. Econometrica: Journal of the Econometric Society, 46(1), 33–50. https://doi.org/10.2307/1913643
  • Koenker, R., & Xiao, Z. (2004). Unit root quantile autoregression inference. Journal of the American Statistical Association, 99(467), 775–787. https://doi.org/10.1198/016214504000001114
  • Muhammad, B., & Khan, M. K. (2021). Foreign direct investment inflow, economic growth, energy consumption, globalization, and carbon dioxide emission around the world. Environmental Science and Pollution Research, 28(39), 55643–55654. https://doi.org/10.1007/s11356-021-14857-8
  • Nguyen, V. B. (2021). The difference in the fdi-co₂ emissions relationship between developed and developing countries. Hitotsubashi Journal of Economics, 62(2), 124–140. https://www.jstor.org/stable/27084655
  • Nonejad, N. (2020). A detailed look at crude oil price volatility prediction using macroeconomic variables. Journal of Forecasting, 39(7), 1119–1141. https://doi.org/10.1002/for.2679
  • Omolade, A., Ngalawa, H., & Kutu, A. (2019). Crude oil price shocks and macroeconomic performance in Africa’s oil-producing countries. Cogent Economics & Finance.
  • Ordóñez, J., Monfort, M., & Cuestas, J. C. (2019). Oil prices, unemployment and the financial crisis in oil-importing countries: The case of Spain. Energy, 181, 625–634. https://doi.org/10.1016/j.energy.2019.05.209
  • Pham, B. T., & Sala, H. (2020). The macroeconomic effects of oil price shocks on Vietnam: Evidence from an over-identifying SVAR analysis. The Journal of International Trade & Economic Development, 29(8), 907–933. https://doi.org/10.1080/09638199.2020.1762710
  • Punzi, M. T. (2019). The impact of energy price uncertainty on macroeconomic variables. Energy Policy, 129, 1306–1319. https://doi.org/10.1016/j.enpol.2019.03.015
  • Shahbaz, M., Zakaria, M., Shahzad, S. J. H., & Mahalik, M. K. (2018). The energy consumption and economic growth nexus in top ten energy-consuming countries: Fresh evidence from using the quantile-on-quantile approach. Energy Economics, 71, 282–301. https://doi.org/10.1016/j.eneco.2018.02.023
  • Shahzad, S. J. H., Mensi, W., Hammoudeh, S., Sohail, A., & Al-Yahyaee, K. H. (2019). Does gold act as a hedge against different nuances of inflation? Evidence from Quantile-on-Quantile and causality-in-quantiles approaches. Resources Policy, 62, 602–615. https://doi.org/10.1016/j.resourpol.2018.11.008
  • Sharma, P., & Shrivastava, A. K. (2021). Economic activities and oil price shocks in Indian outlook: Direction of causality and testing cointegration. Global Business Review. 0972150921990491.
  • Sheng, X., Gupta, R., & Ji, Q. (2020). The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries. Energy Economics, 91, 104940. https://doi.org/10.1016/j.eneco.2020.104940
  • Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and Finance, 55, 1–8. https://doi.org/10.1016/j.jbankfin.2015.01.013
  • Suu, N. D., Tien, H. T., & Wong, W. K. (2021). The impact of capital structure and ownership on the performance of state enterprises after equitization: Evidence from Vietnam. Annals of Financial Economics, 16(2), 2150007. https://doi.org/10.1142/S201049522150007X
  • Teng, J.-Z., Khan, M. K., Khan, M. I., Chishti, M. Z., & Khan, M. O. (2021). Effect of foreign direct investment on CO2 emission with the role of globalization, institutional quality with pooled mean group panel ARDL. Environmental Science and Pollution Research, 28(5), 5271–5282. https://doi.org/10.1007/s11356-020-10823-y
  • Tien, H. T., & Hung, N. T. (2022). Volatility spillover effects between oil and GCC stock markets: A wavelet-based asymmetric dynamic conditional correlation approach. International Journal of Islamic and Middle Eastern Finance and Management. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/IMEFM-07-2020-0370
  • Tiwari, A. K., Umar, Z., & Alqahtani, F. (2021). Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach. Research in International Business and Finance, 57, 101403. https://doi.org/10.1016/j.ribaf.2021.101403
  • Tiwari, A. K., Raheem, I. D., Bozoklu, S., & Hammoudeh, S. (2022). The oil price‐macroeconomic fundamentals nexus for emerging market economies: Evidence from a wavelet analysis. International Journal of Finance & Economics, 27(1), 1569–1590. https://doi.org/10.1002/ijfe.2231
  • Troster, V., Shahbaz, M., & Uddin, G. S. (2018). Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis. Energy Economics, 70, 440–452. https://doi.org/10.1016/j.eneco.2018.01.029
  • Umar, Z., Riaz, Y., & Zaremba, A. (2021a). Patterns of spillover in energy, agricultural, and metal markets: A connectedness analysis for years 1780-2020. Finance Research Letters, 43, 101999. https://doi.org/10.1016/j.frl.2021.101999
  • Umar, Z., Jareño, F., & Escribano, A. (2021b). Oil price shocks and the return and volatility spillover between industrial and precious metals. Energy Economics, 99, 105291. https://doi.org/10.1016/j.eneco.2021.105291
  • Umar, Z., Jareño, F., & Escribano, A. (2021c). Static and dynamic connectedness between oil price shocks and Spanish equities: A sector analysis. The European Journal of Finance, 27(9), 880–896. https://doi.org/10.1080/1351847X.2020.1854809
  • Umar, Z., Aharon, D. Y., Esparcia, C., & AlWahedi, W. (2022). Spillovers between sovereign yield curve components and oil price shocks. Energy Economics, 109, 105963. https://doi.org/10.1016/j.eneco.2022.105963
  • Wei, Y., Qin, S., Li, X., Zhu, S., & Wei, G. (2019). Oil price fluctuation, stock market and macroeconomic fundamentals: Evidence from China before and after the financial crisis. Finance Research Letters, 30, 23–29. https://doi.org/10.1016/j.frl.2019.03.028
  • Wu, M. H., & Ni, Y. S. (2011). The effects of oil prices on inflation, interest rates and money. Energy, 36(7), 4158–4164. https://doi.org/10.1016/j.energy.2011.04.028
  • 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
  • Yildirim, Z., & Arifli, A. (2021). Oil price shocks, exchange rate and macroeconomic fluctuations in a small oil-exporting economy. Energy, 219, 119527. https://doi.org/10.1016/j.energy.2020.119527
  • Yıldız, B. F., Hesami, S., Rjoub, H., & Wong, W. K. (2021). Interpretation of oil price shocks on macroeconomic Aggregates of South Africa: Evidence from SVAR. Journal of Contemporary Issues in Business and Government Vol, 27(1).
  • Zakari, A., Toplak, J., Ibtissem, M., Dagar, V., & Khan, M. K. (2021). Impact of Nigeria’s industrial sector on level of inefficiency for energy consumption: Fisher Ideal index decomposition analysis. Heliyon, 7(5), e06952. https://doi.org/10.1016/j.heliyon.2021.e06952
  • Zakaria, M., Khiam, S., & Mahmood, H. (2021). Influence of oil prices on inflation in South Asia: Some new evidence. Resources Policy, 71, 102014. https://doi.org/10.1016/j.resourpol.2021.102014
  • Zhang, L., Godil, D. I., Bibi, M., Khan, M. K., Sarwat, S., & Anser, M. K. (2021). Caring for the environment: How human capital, natural resources, and economic growth interact with environmental degradation in Pakistan? A dynamic ARDL approach. Science of the Total Environment, 774, 145553. https://doi.org/10.1016/j.scitotenv.2021.145553
  • Zia, S., Noor, M. H., Khan, M. K., Godil, D. I., Godil, D. I., Quddoos, M. U., Anser, M. K., & Anser, M. K. (2021). Striving towards environmental sustainability: How natural resources, human capital, financial development, and economic growth interact with ecological footprint in China. Environmental Science and Pollution Research, 28(37), 52499–52513. https://doi.org/10.1007/s11356-021-14342-2
  • Zulfigarov, F., & Neuenkirch, M. (2020). The impact of oil price changes on selected macroeconomic indicators in Azerbaijan. Economic Systems, 44(4), 100814. https://doi.org/10.1016/j.ecosys.2020.100814