The Role of Monetary Policy in the New Keynesian Model: Evidence from Vietnam

Khieu, Hoang

doi:10.2139/ssrn.2425814

Cited by 2 publications

(3 citation statements)

References 18 publications

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“…The SVAR model is a reduced form of a Dynamic stochastic general equilibrium (DSGE) model. See Khieu (2015Khieu ( , 2018 for an analysis of monetary and fiscal policies in a DSGE framework.…”

Section: Discussionmentioning

confidence: 99%

Budget deficits, money growth and inflation: empirical evidence from Vietnam

Van

2021

FREP

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PurposeThis paper aims to uncover the nexus between budget deficits, money growth and inflation in Vietnam in the period 1995–2012.Design/methodology/approachThe paper uses a structural vector auto-regressive model of five endogenous variables including inflation, real GDP growth, budget deficit growth, money growth and the interest rate.FindingsIt is found that inflation rose in response to positive shocks to money growth and that budget deficits had no significant impact on money growth and therefore inflation. This empirical evidence supports the hypothesis that fiscal and monetary policies were relatively independent. Money growth significantly decreased in response to a positive shock to inflation; interest rates had no significant effect on inflation but considerably increased in response to positive inflation shocks. This implies that the monetary base was more effective than interest rates in fighting inflation.Originality/valueThis paper sheds light into understanding the link between budget deficits, money growth and inflation in Vietnam during the high-inflation period 1995–2012. The finding supports the hypothesis that fiscal and monetary policies were relatively independent over the period.

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Section: Discussionmentioning

confidence: 99%

Budget deficits, money growth and inflation: empirical evidence from Vietnam

Van

2021

FREP

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“…Huynh et al (2017) used a calibrated DSGE model with the banking sector to investigate how policies stabilize the Vietnamese economy. However, both Khieu (2014) and Huynh et al (2017) were limited to the aspect of a closed-economy. Hence, these two studies could not reveal the essential effects of the international spillovers on the Vietnamese economy.…”

Section: The Literature On Vietnam and Contributionsmentioning

confidence: 99%

“…Hence, the role of monetary policy and other nominal frictions, such as price rigidity and incomplete exchange-rate pass-through, were not included in these two research papers. Khieu (2014) evaluated the role of the Vietnamese monetary policy in an estimated threeequation closed economy NK-DSGE model. Indeed, this author used a model, which was developed by Ireland (2004).…”

Section: The Literature On Vietnam and Contributionsmentioning

confidence: 99%

The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model

Nguyen

2020

JES

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PurposeThe primary purpose of this paper is to investigate the sources of the business cycle fluctuations in Vietnam. To this end, the author develops a small open economy New Keynesian dynamic stochastic general equilibrium (SOE-NK-DSGE) model. Accordingly, this model includes various features, such as habit consumption, staggered price, price indexation, incomplete exchange-rate pass-through (ERPT), the failures of the law of one price (LOOP) and the uncovered interest rate parity. It is then estimated by using the Bayesian technique and Vietnamese data 1999Q1–2017Q1. Based on the estimated model, this paper analyzes the sources of the business cycle fluctuations in this emerging economy. Indeed, this research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.Design/methodology/approachA SOE-NK-DSGE model—Bayesian estimation.FindingsThis paper analyzes the sources of the business cycle fluctuations in Vietnam.Originality/valueThis research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.

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The Role of Monetary Policy in the New Keynesian Model: Evidence from Vietnam

Cited by 2 publications

References 18 publications

Budget deficits, money growth and inflation: empirical evidence from Vietnam

Budget deficits, money growth and inflation: empirical evidence from Vietnam

The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model

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