Asymmetric impacts of oil prices, exchange rate, and economic growth on inflation in Vietnam

Abstract

This study provides new insight into the asymmetric relationship between oil price (OIL), the
exchange rate (REX), economic growth (GDP), and inflation (INF) in the Vietnamese economy, using
quantile-on-quantile regression developed by Sim and Zhou (2015) for the period 2000-2021. Our results
demonstrate that there exists a strong and positive interaction between GDP, OIL, and INF over the sample
period. Similarly, REX has both positive and negative impacts on INF in the middle and high quantiles of
INF’s distribution. These findings suggest that changes in oil price volatility, GDP, and exchange rate are
sensitive to the inflation rate in Vietnam in different market conditions, which are significant policies for the
Vietnamese government, policymakers, and market participants to reduce inflation in Vietnam