Fiscal Policy, Monetary Policy and Price Volatility: Evidence from an Emerging Economy

IF 0.9 Q3 ECONOMICS

Organizations and Markets in Emerging Economies Pub Date : 2021-05-20 DOI:10.15388/OMEE.2021.12.47

L. Tung

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引用次数: 1

Abstract

Vietnam is an Asian emerging country, which now is ranked in the group of the fastest-gro- wing economies worldwide. However, this economy has faced galloping inflation in recent years. So the Vietnamese experience is a valuable reference for the policymakers in the developing world in order to successfully control price volatility. Our study applies the Vector autoregressive method, the Johansen cointegration test, and the Granger causality test to examine the impact of fiscal and monetary policy on price volatility in Vietnam with a quarterly data sample collected over the period from 2004 to 2018. The study results confirm the existence of a long-term cointegration relationship between these policies and price volatility in Vietnam. Besides, the variance decomposition and impulse response function also show that the impact of these policies on inflation is clear, however, the fiscal policy more strongly affects inflation than the monetary policy. Finally, the Granger causality test also indicates one-way causality relationships from the government expenditure as well as the exchange rate to price volatility in the study period.

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财政政策、货币政策与价格波动:来自一个新兴经济体的证据

越南是一个亚洲新兴国家，目前被列为全球增长最快的经济体之一。然而，近年来，这个经济体面临着急剧的通货膨胀。因此，越南的经验对发展中国家的决策者成功控制价格波动具有重要参考价值。我们的研究应用向量自回归方法、Johansen协整检验和Granger因果检验，以2004年至2018年期间收集的季度数据样本检验财政和货币政策对越南价格波动的影响。研究结果证实了这些政策与越南物价波动之间存在长期协整关系。此外，方差分解和脉冲响应函数也表明，这些政策对通货膨胀的影响是明显的，但财政政策比货币政策更强烈地影响通货膨胀。最后，格兰杰因果检验还表明，在研究期间，政府支出以及汇率与价格波动之间存在单向因果关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Organizations and Markets in Emerging Economies ECONOMICS-

CiteScore

1.60

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： The journal aims to contribute to the development and dissemination of multidisciplinary knowledge on organizations and markets in emerging economies, to increase dialogue among scholars focused on a specific emerging economy or region and to encourage and give an outlet to high quality scholarship, both local and international, to this subject. Organizations and Markets in Emerging Economies welcomes analysis of emerging economies from the perspectives of organizational sciences, marketing, economics, finance and related disciplines. The journal appreciates studies that highlight specificities and patterns that occur in emerging economies and develop new empirical and theoretical knowledge on the subject.