Phản ứng tiền tệ của châu Á và Việt Nam với tác động tràn từ chính sách tiền tệ Trung Quốc: Sự khác biệt từ đặc điểm kinh tế
DOI:
https://doi.org/10.24311/jabes/2019.30.6.2Keywords:
Spillover effect, Monetary policy, BVAR, China, Asia, VietnamAbstract
The paper investigates monetary responses of Asian countries and Vietnam to monetary policy shock from China by employing Bayesian vector autoregression (BVAR) methodology. Country characteristics including trade and financial openness, exchange rate regime, as well as raw material goods and commodity dependence are taken into account to analyze differences in responses. Using quarterly data of 10 Asian countries and Vietnam from 2002Q1 to 2018Q3, the study finds monetary policy of Asian countries do not respond to China’s monetary policy shock while monetary policy of Vietnam does. Neither high and low financial openness countries nor floating and pegged exchange rate regime countries show significant monetary response to China’s monetary policy shock. In addition, monetary policy of high trade openness countries and net commodity exporters respond to China’s monetary policy shock while monetary policy of low trade openness countries and net commodity importers do not respond.
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