Oil price shocks and Vietnam’s macroeconomic fundamentals: quantile-on-quantile approach

Abstract

This study aims to explore the asymmetric relationships between global oil prices and the selected Vietnam macroeconomic indicators using both quantile-on-quantile regression and Granger causality in quantile frameworks. The macroeconomic factors under study, as expected, have a strong relationship with oil price changes. The results suggest that oil prices have a positive impact on the exchange rate, inflation, GDP, and stock market prices across major quantiles, while there is a significantly negative relationship between the unemployment rate and oil prices in the middle-upper quantile. The results of this article offer considerable policy implications for governments, investors, and policymakers.

Keywords

• macroeconomic factors
• oil prices
• quantile regression
• causality
• Vietnam
• G12