Impacts of inflation on gold price and exchange rate in Vietnam: time-varying vs fixed coefficient cointegrations
Purpose - The paper aims to shed light on the effects of inflation on gold price and exchange rate in Vietnam by using time-varying cointegration. Design/methodology/approach – Using cointegration techniques with fixed coefficient and time-varying coefficient, the study exams the impacts of inflatio...
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| Veröffentlicht in: | Asian Journal of Economics and Banking 2022-03, Vol.6 (1), p.88-96 |
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| container_title | Asian Journal of Economics and Banking |
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| creator | Long, Pham Dinh Hien, Bui Quang Ngoc, Pham Thi Bich |
| description | Purpose - The paper aims to shed light on the effects of inflation on gold price and exchange rate in Vietnam by using time-varying cointegration. Design/methodology/approach – Using cointegration techniques with fixed coefficient and time-varying coefficient, the study exams the impacts of inflation in models and compares the results through coefficient estimates. Findings - A significant inflation impacts are found with the time-varying cointegration but not with the fixed coefficient cointegration models. Moreover, monetary policy affects exchange rate not only directly via its instruments as money supply and interest rate but indirectly via inflation. Also, interest rate is one of the determinants of gold price. Originality/value - To the best of our knowledge, this paper is the first to use time-varying cointegration to analyze the impact of inflation on the gold price and exchange rate in Vietnam. Gold price and exchange rate fluctuations are always the essential and striking issues, which have been emphasized by economists and policymakers. In macroeconometric researches, cointegration models are often used to analyze the long-term relations between variables. Attentionally, applied models show a limitation when estimating coefficients are fixed. This characteristic might not really match with the data properties and the variation of the economy. Currently, time-varying cointegration models are emerging method to solve the above issue. |
| doi_str_mv | 10.1108/AJEB-07-2021-0083 |
| format | Article |
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Design/methodology/approach – Using cointegration techniques with fixed coefficient and time-varying coefficient, the study exams the impacts of inflation in models and compares the results through coefficient estimates. Findings - A significant inflation impacts are found with the time-varying cointegration but not with the fixed coefficient cointegration models. Moreover, monetary policy affects exchange rate not only directly via its instruments as money supply and interest rate but indirectly via inflation. Also, interest rate is one of the determinants of gold price. Originality/value - To the best of our knowledge, this paper is the first to use time-varying cointegration to analyze the impact of inflation on the gold price and exchange rate in Vietnam. Gold price and exchange rate fluctuations are always the essential and striking issues, which have been emphasized by economists and policymakers. In macroeconometric researches, cointegration models are often used to analyze the long-term relations between variables. Attentionally, applied models show a limitation when estimating coefficients are fixed. This characteristic might not really match with the data properties and the variation of the economy. Currently, time-varying cointegration models are emerging method to solve the above issue.</description><identifier>ISSN: 2615-9821</identifier><identifier>EISSN: 2633-7991</identifier><identifier>DOI: 10.1108/AJEB-07-2021-0083</identifier><language>eng</language><publisher>London: Emerald Group Publishing Limited</publisher><subject>Developing countries ; Economic crisis ; Economic reform ; Foreign exchange rates ; Inflation ; Inflation rates ; LDCs ; Macroeconomics ; Monetary policy ; Time series ; Variables</subject><ispartof>Asian Journal of Economics and Banking, 2022-03, Vol.6 (1), p.88-96</ispartof><rights>Pham Dinh Long, Bui Quang Hien and Pham Thi Bich Ngoc. 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In macroeconometric researches, cointegration models are often used to analyze the long-term relations between variables. Attentionally, applied models show a limitation when estimating coefficients are fixed. This characteristic might not really match with the data properties and the variation of the economy. Currently, time-varying cointegration models are emerging method to solve the above issue.</description><subject>Developing countries</subject><subject>Economic crisis</subject><subject>Economic reform</subject><subject>Foreign exchange rates</subject><subject>Inflation</subject><subject>Inflation rates</subject><subject>LDCs</subject><subject>Macroeconomics</subject><subject>Monetary policy</subject><subject>Time series</subject><subject>Variables</subject><issn>2615-9821</issn><issn>2633-7991</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2022</creationdate><recordtype>article</recordtype><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>AZQEC</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNpFkEFLAzEQhYMoWGp_gLeA52gm2WySk9RStVLwol5DNpvULW1Sky3ov3eXCsLAm8N7M7wPoWugtwBU3c1flg-ESsIoA0Kp4mdowmrOidQazscdBNGKwSWalbKllDIFwIWcoPvV_mBdX3AKuIthZ_suRTzMJu1afMid89jGFvtv92njxuNsez848Ufn-2j3V-gi2F3xsz-dovfH5dvimaxfn1aL-Zo44IqT2msPqmmctpV0rapb761XqgHNnKgrCFpIHZgLlquKqoo3ooW6aSSAFGD5FN2c7h5y-jr60pttOuY4vDRDUwFKcqgHF5xcLqdSsg9maLC3-ccANSMqM6IyVJoRlRlRDRl8yniXYlf-E1ILLkFpyX8BGfJklg</recordid><startdate>20220304</startdate><enddate>20220304</enddate><creator>Long, Pham Dinh</creator><creator>Hien, Bui Quang</creator><creator>Ngoc, Pham Thi Bich</creator><general>Emerald Group Publishing Limited</general><scope>OQ6</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>7RO</scope><scope>7X1</scope><scope>7XB</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ANIOZ</scope><scope>AXJJW</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>K6~</scope><scope>PIMPY</scope><scope>PQBIZ</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>20220304</creationdate><title>Impacts of inflation on gold price and exchange rate in Vietnam</title><author>Long, Pham Dinh ; Hien, Bui Quang ; Ngoc, Pham Thi Bich</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c1383-6e9e18bbc9a47cd86deeae88b192c5641f9579f2cfa3840843b5d16bb711751a3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2022</creationdate><topic>Developing countries</topic><topic>Economic crisis</topic><topic>Economic reform</topic><topic>Foreign exchange rates</topic><topic>Inflation</topic><topic>Inflation rates</topic><topic>LDCs</topic><topic>Macroeconomics</topic><topic>Monetary policy</topic><topic>Time series</topic><topic>Variables</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Long, Pham Dinh</creatorcontrib><creatorcontrib>Hien, Bui Quang</creatorcontrib><creatorcontrib>Ngoc, Pham Thi Bich</creatorcontrib><collection>ECONIS</collection><collection>CrossRef</collection><collection>Asian Business Database</collection><collection>Accounting & Tax Database</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>Accounting, Tax & Banking Collection</collection><collection>Asian & European Business Collection</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>ProQuest Business Collection</collection><collection>Publicly Available Content Database</collection><collection>ProQuest One Business</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central Basic</collection><jtitle>Asian Journal of Economics and Banking</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Long, Pham Dinh</au><au>Hien, Bui Quang</au><au>Ngoc, Pham Thi Bich</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Impacts of inflation on gold price and exchange rate in Vietnam: time-varying vs fixed coefficient cointegrations</atitle><jtitle>Asian Journal of Economics and Banking</jtitle><date>2022-03-04</date><risdate>2022</risdate><volume>6</volume><issue>1</issue><spage>88</spage><epage>96</epage><pages>88-96</pages><issn>2615-9821</issn><eissn>2633-7991</eissn><abstract>Purpose - The paper aims to shed light on the effects of inflation on gold price and exchange rate in Vietnam by using time-varying cointegration. Design/methodology/approach – Using cointegration techniques with fixed coefficient and time-varying coefficient, the study exams the impacts of inflation in models and compares the results through coefficient estimates. Findings - A significant inflation impacts are found with the time-varying cointegration but not with the fixed coefficient cointegration models. Moreover, monetary policy affects exchange rate not only directly via its instruments as money supply and interest rate but indirectly via inflation. Also, interest rate is one of the determinants of gold price. Originality/value - To the best of our knowledge, this paper is the first to use time-varying cointegration to analyze the impact of inflation on the gold price and exchange rate in Vietnam. Gold price and exchange rate fluctuations are always the essential and striking issues, which have been emphasized by economists and policymakers. In macroeconometric researches, cointegration models are often used to analyze the long-term relations between variables. Attentionally, applied models show a limitation when estimating coefficients are fixed. This characteristic might not really match with the data properties and the variation of the economy. Currently, time-varying cointegration models are emerging method to solve the above issue.</abstract><cop>London</cop><pub>Emerald Group Publishing Limited</pub><doi>10.1108/AJEB-07-2021-0083</doi><tpages>9</tpages><oa>free_for_read</oa></addata></record> |
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| source | DOAJ Directory of Open Access Journals; Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals; Emerald Open Access |
| subjects | Developing countries Economic crisis Economic reform Foreign exchange rates Inflation Inflation rates LDCs Macroeconomics Monetary policy Time series Variables |
| title | Impacts of inflation on gold price and exchange rate in Vietnam: time-varying vs fixed coefficient cointegrations |
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