越南国家银行的货币政策、家庭和收入分配:DSGE 模型的证据

IF 1.3 Q3 ECONOMICS
Trung Duc Nguyen, Lanh Kim Trieu, Anh Hoang Le
{"title":"越南国家银行的货币政策、家庭和收入分配:DSGE 模型的证据","authors":"Trung Duc Nguyen, Lanh Kim Trieu, Anh Hoang Le","doi":"10.1108/jfep-01-2023-0022","DOIUrl":null,"url":null,"abstract":"\nPurpose\nThis paper aims to propose a dynamic stochastic general equilibrium (DSGE) model for the State Bank of Vietnam (SBV) to assess the response from the household sector to monetary policy shocks through the consumption function. Moreover, the transmission from monetary policy to household consumption and income distribution is experimented with through the vector autoregression (VAR) model.\n\n\nDesign/methodology/approach\nIn this study, the authors used the maximum likelihood estimation to estimate the DSGE and VAR models with the sample from 1996Q1 to the end of 2021Q4 (104 observations).\n\n\nFindings\nThe DSGE model’s results show that the response of the household sector is as expected in the theory: a monetary policy shock occurs that increases the policy interest rate by 0.29%, leading to a decrease in consumer spending of about 0.041%, the shock fades after one year. Estimates from the VAR model give similar results: a monetary policy shock narrows income inequality after about 2–3 quarters and this process tends to slow down in the long run.\n\n\nResearch limitations/implications\nBased on the research results, the authors propose policy implications for the SBV to achieve the goal of price stability, and stabilizing the macro-economic environment in Vietnam.\n\n\nOriginality/value\nThe findings of the study have theoretical contributions and empirical scientific evidence showing the effectiveness of the implementation of the SBV’s monetary policy in the context of macro-instability, namely: flexibility, caution and coordination of different measures promptly.\n","PeriodicalId":45556,"journal":{"name":"Journal of Financial Economic Policy","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The monetary policy of the State Bank of Vietnam, households and income distribution: the evidence from DSGE model\",\"authors\":\"Trung Duc Nguyen, Lanh Kim Trieu, Anh Hoang Le\",\"doi\":\"10.1108/jfep-01-2023-0022\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"\\nPurpose\\nThis paper aims to propose a dynamic stochastic general equilibrium (DSGE) model for the State Bank of Vietnam (SBV) to assess the response from the household sector to monetary policy shocks through the consumption function. Moreover, the transmission from monetary policy to household consumption and income distribution is experimented with through the vector autoregression (VAR) model.\\n\\n\\nDesign/methodology/approach\\nIn this study, the authors used the maximum likelihood estimation to estimate the DSGE and VAR models with the sample from 1996Q1 to the end of 2021Q4 (104 observations).\\n\\n\\nFindings\\nThe DSGE model’s results show that the response of the household sector is as expected in the theory: a monetary policy shock occurs that increases the policy interest rate by 0.29%, leading to a decrease in consumer spending of about 0.041%, the shock fades after one year. Estimates from the VAR model give similar results: a monetary policy shock narrows income inequality after about 2–3 quarters and this process tends to slow down in the long run.\\n\\n\\nResearch limitations/implications\\nBased on the research results, the authors propose policy implications for the SBV to achieve the goal of price stability, and stabilizing the macro-economic environment in Vietnam.\\n\\n\\nOriginality/value\\nThe findings of the study have theoretical contributions and empirical scientific evidence showing the effectiveness of the implementation of the SBV’s monetary policy in the context of macro-instability, namely: flexibility, caution and coordination of different measures promptly.\\n\",\"PeriodicalId\":45556,\"journal\":{\"name\":\"Journal of Financial Economic Policy\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.3000,\"publicationDate\":\"2024-05-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Economic Policy\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1108/jfep-01-2023-0022\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Economic Policy","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/jfep-01-2023-0022","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0

摘要

本文旨在为越南国家银行(SBV)提出一个动态随机一般均衡(DSGE)模型,通过消费函数评估家庭部门对货币政策冲击的反应。此外,还通过向量自回归(VAR)模型对货币政策向家庭消费和收入分配的传导进行了实验。在本研究中,作者使用最大似然估计法对 DSGE 和 VAR 模型进行了估计,样本从 1996Q1 到 2021Q4 末(104 个观测值)。研究结果 DSGE 模型的结果显示,家庭部门的反应与理论预期一致:货币政策冲击发生时,政策利率上升 0.29%,导致消费支出下降约 0.041%,冲击在一年后消失。VAR 模型的估计结果与此类似:货币政策冲击会在大约 2-3 个季度后缩小收入不平等,从长期来看,这一过程趋于放缓。研究局限性/意义基于研究结果,作者为越南国家银行实现物价稳定目标和稳定越南宏观经济环境提出了政策建议。独创性/价值研究结果具有理论贡献和实证科学证据,显示了越南中央银行在宏观不稳定背景下实施货币政策的有效性,即:灵活、谨慎和及时协调不同措施。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The monetary policy of the State Bank of Vietnam, households and income distribution: the evidence from DSGE model
Purpose This paper aims to propose a dynamic stochastic general equilibrium (DSGE) model for the State Bank of Vietnam (SBV) to assess the response from the household sector to monetary policy shocks through the consumption function. Moreover, the transmission from monetary policy to household consumption and income distribution is experimented with through the vector autoregression (VAR) model. Design/methodology/approach In this study, the authors used the maximum likelihood estimation to estimate the DSGE and VAR models with the sample from 1996Q1 to the end of 2021Q4 (104 observations). Findings The DSGE model’s results show that the response of the household sector is as expected in the theory: a monetary policy shock occurs that increases the policy interest rate by 0.29%, leading to a decrease in consumer spending of about 0.041%, the shock fades after one year. Estimates from the VAR model give similar results: a monetary policy shock narrows income inequality after about 2–3 quarters and this process tends to slow down in the long run. Research limitations/implications Based on the research results, the authors propose policy implications for the SBV to achieve the goal of price stability, and stabilizing the macro-economic environment in Vietnam. Originality/value The findings of the study have theoretical contributions and empirical scientific evidence showing the effectiveness of the implementation of the SBV’s monetary policy in the context of macro-instability, namely: flexibility, caution and coordination of different measures promptly.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
2.80
自引率
8.30%
发文量
13
期刊介绍: The Journal of Financial Economic Policy publishes high quality peer reviewed research on financial economic policy issues. The journal is devoted to the advancement of the understanding of the entire spectrum of financial policy and control issues and their interactions to economic phenomena. Economic and financial phenomena involve complex trade-offs and linkages between various types of risk factors and variables of interest to policy makers and market participants alike. Market participants such as economic policy makers, regulators, banking and competition supervisors, corporations and financial institutions, require timely and robust answers to the contemporary and emerging policy questions. In turn, such answers require thorough input by the academics, policy makers and practitioners alike. The Journal of Financial Economic Policy provides the forum to satisfy this need. The journal publishes and invites concise papers to enable a prompt response to current and emerging policy affairs.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信