| 摘要: | This study explores the influences of demand management policies namely, the exchange rate policy, the interest rate policy, and the monetary policy on economic growth and inflation for Vietnam. The three policies are further assessed in terms of their relative exogeneity under the block exogeneity Wald test. The quarterly data are collected from the International Monatery Fund (IMF) in the period from 1996.Q1 to 2012.Q4. Each of the quarters involves eight variables: real gross domestic product (GDP), consumer price index (CPI), exchange rate between USD and VND (EXR), money supply (M2), money market rate (IR_L), export (EXPORT), import (IMPORT), and the world crude oil price (OIL).
The Augmented Dickey Fuller (ADF), Phillips and Perron (PP) and Kwiatkows-ki Phillips Schmidt Shin (KPSS) are performed for the unit root test and the stationarity test. It is found that all the eight variables are non-stationarity with one unit root. The variables are further found cointegrated by using the Johansen method. The vector error correction (VEC) model is thus specified and estimated. Granger causality and block exogeneity Wald tests are finally conducted in the context of the VEC model.
Evidence shows that real GDP growth was unidirectionally caused by exchange rate depreciation, oil price growth and bidirectionally caused by money supply growth, export growth. Inflation does not seem to be caused by any of the three demand man-agement policies though one way causality is found from import growth to inflation and two way causality between real GDP growth and inflation. Evidence also indicates that exchange rate depreciation and oil price growth were most exogenous. It is suggests that the exchange policy measure could be, in some extent, controlled by the Vietnamese government in the sample period. |
