A mixed data sampling approach to the asymmetric impacts of world oil price on macroeconomic variables in Vietnam
Purpose – This paper aims to analyse the asymmetric impacts of world oil price on macroeconomic variables in Vietnam, including domestic oil price, inflation and output growth. Design/methodology/approach – The mixed data sampling (MIDAS) approach is employed to examine the impact of world oil price...
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| Format: | Article |
| Language: | English |
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Emerald Publishing
2020-07-01
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| Series: | Journal of Economics and Development |
| Subjects: | |
| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/JED-03-2020-0017/full/pdf?title=a-mixed-data-sampling-approach-to-the-asymmetric-impacts-of-world-oil-price-on-macroeconomic-variables-in-vietnam |
| _version_ | 1818055161151488000 |
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| author | Trinh Thi Tuyet Pham Nhan Phan Ai Le |
| author_facet | Trinh Thi Tuyet Pham Nhan Phan Ai Le |
| author_sort | Trinh Thi Tuyet Pham |
| collection | DOAJ |
| description | Purpose – This paper aims to analyse the asymmetric impacts of world oil price on macroeconomic variables in Vietnam, including domestic oil price, inflation and output growth. Design/methodology/approach – The mixed data sampling (MIDAS) approach is employed to examine the impact of world oil price changes on macroeconomic variables as the former is high-frequency data (daily), and the latter is low-frequency data, usually monthly or quarterly. Findings – Changes in world oil price cause asymmetric impacts on domestic oil price and inflation, but no significant effects on output growth. In terms of magnitude, a positive change in world oil price causes a stronger effect than a negative change in world oil price. In terms of timing, a positive change in world oil price causes a slow pass-through impact on domestic oil price and inflation. Meanwhile, domestic oil price and inflation decrease quickly following a negative change in world oil price. Originality/value – This study investigates the asymmetric impact of oil price on the Vietnam economy in terms of both magnitude and timing, which is not explored by previous studies. In addition, it exploits daily information of oil price changes to analyse macroeconomic variables in lower frequency by employing MIDAS approach. |
| first_indexed | 2024-12-10T12:08:32Z |
| format | Article |
| id | doaj.art-c60a378027944a85abec0a0480f934a9 |
| institution | Directory Open Access Journal |
| issn | 1859-0020 2632-5330 |
| language | English |
| last_indexed | 2024-12-10T12:08:32Z |
| publishDate | 2020-07-01 |
| publisher | Emerald Publishing |
| record_format | Article |
| series | Journal of Economics and Development |
| spelling | doaj.art-c60a378027944a85abec0a0480f934a92022-12-22T01:49:24ZengEmerald PublishingJournal of Economics and Development1859-00202632-53302020-07-0122231132410.1108/JED-03-2020-0017649214A mixed data sampling approach to the asymmetric impacts of world oil price on macroeconomic variables in VietnamTrinh Thi Tuyet Pham0Nhan Phan Ai Le1International Economics Faculty, Banking University of Ho Chi Minh City, Ho Chi Minh, VietnamInternational Economics Faculty, Banking University of Ho Chi Minh City, Ho Chi Minh, VietnamPurpose – This paper aims to analyse the asymmetric impacts of world oil price on macroeconomic variables in Vietnam, including domestic oil price, inflation and output growth. Design/methodology/approach – The mixed data sampling (MIDAS) approach is employed to examine the impact of world oil price changes on macroeconomic variables as the former is high-frequency data (daily), and the latter is low-frequency data, usually monthly or quarterly. Findings – Changes in world oil price cause asymmetric impacts on domestic oil price and inflation, but no significant effects on output growth. In terms of magnitude, a positive change in world oil price causes a stronger effect than a negative change in world oil price. In terms of timing, a positive change in world oil price causes a slow pass-through impact on domestic oil price and inflation. Meanwhile, domestic oil price and inflation decrease quickly following a negative change in world oil price. Originality/value – This study investigates the asymmetric impact of oil price on the Vietnam economy in terms of both magnitude and timing, which is not explored by previous studies. In addition, it exploits daily information of oil price changes to analyse macroeconomic variables in lower frequency by employing MIDAS approach.https://www.emerald.com/insight/content/doi/10.1108/JED-03-2020-0017/full/pdf?title=a-mixed-data-sampling-approach-to-the-asymmetric-impacts-of-world-oil-price-on-macroeconomic-variables-in-vietnamasymmetric impactinflationmidasoil priceoutput growthc32f41q43 |
| spellingShingle | Trinh Thi Tuyet Pham Nhan Phan Ai Le A mixed data sampling approach to the asymmetric impacts of world oil price on macroeconomic variables in Vietnam Journal of Economics and Development asymmetric impact inflation midas oil price output growth c32 f41 q43 |
| title | A mixed data sampling approach to the asymmetric impacts of world oil price on macroeconomic variables in Vietnam |
| title_full | A mixed data sampling approach to the asymmetric impacts of world oil price on macroeconomic variables in Vietnam |
| title_fullStr | A mixed data sampling approach to the asymmetric impacts of world oil price on macroeconomic variables in Vietnam |
| title_full_unstemmed | A mixed data sampling approach to the asymmetric impacts of world oil price on macroeconomic variables in Vietnam |
| title_short | A mixed data sampling approach to the asymmetric impacts of world oil price on macroeconomic variables in Vietnam |
| title_sort | mixed data sampling approach to the asymmetric impacts of world oil price on macroeconomic variables in vietnam |
| topic | asymmetric impact inflation midas oil price output growth c32 f41 q43 |
| url | https://www.emerald.com/insight/content/doi/10.1108/JED-03-2020-0017/full/pdf?title=a-mixed-data-sampling-approach-to-the-asymmetric-impacts-of-world-oil-price-on-macroeconomic-variables-in-vietnam |
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