Macroeconomic Dynamics in Vietnam: Evidence from a Vector Autoregression Analysis of Money Supply, Inflation, Exchange Rate, Unemployment, and Oil Prices

Tóm tắt

Though there is a substantial literature dealing with the dynamic relationship of the Southeast Asian economies, there is a lack of empirical evidence on the simultaneous interactions between monetary factors, labour market factors and external energy shocks in Vietnam. To fill this gap, this study conducts a VAR model analysis of Vietnam's money supply (M2), inflation, exchange rate, unemployment, and global oil prices from 1996 to 2024. Before making the estimates, Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests are conducted to verify the variables are of mixed integration order, with the money supply integrated of order zero and the other variables integrated of order one. The Johansen cointegration tests are used to guide the choice of model and the VAR framework is justified because of the mixed integration properties of the system. The Akaike Information Criterion is used to select the optimum lag length of 2. The VAR estimation indicates that the dynamics of the exchange rates are very persistent and that the oil price shocks have predictive power for domestic monetary aggregates. The results of Granger causality tests suggest that the Granger-causality money supply is bidirectional from exchange rate changes and oil price changes, while unemployment dynamics are Granger-caused by inflation changes, exchange rate movements and oil price shocks. The systemic resilience is reflected in the impulse response analysis which suggests that macroeconomic shocks are absorbed within 4-6 periods. The role of external sector variables in explaining fluctuations in the economy over the medium term becomes more significant as shown by variance decomposition. The results have direct implications for coordinated monetary and exchange rate policy to dampen the effects of external shocks in Vietnam and add to the scanty empirical literature on multivariate macroeconomic dynamics in Vietnam.