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Monetary Policy Transmission in Vietnam: Evidence from a VAR Approach
Author(s) -
Vo Xuan Vinh,
Nguyen Phuc Canh
Publication year - 2017
Publication title -
australian economic papers
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.351
H-Index - 15
eISSN - 1467-8454
pISSN - 0004-900X
DOI - 10.1111/1467-8454.12074
Subject(s) - channel (broadcasting) , interest rate channel , exchange rate , economics , monetary policy , vector autoregression , monetary economics , autoregressive model , transmission (telecommunications) , asset (computer security) , credit channel , econometrics , inflation targeting , computer science , telecommunications , computer security
A thorough understanding of the transmission mechanism is a key requirement for central banks for successful implementation of monetary policy. This paper investigates the existence of the interest rate channel, exchange rate channel and asset price channel in Vietnam by employing a vector autoregressive model analysis using monthly data ranging from 2003M1 to 2012M12. The results from the analysis present evidence for a cost channel. However, we find no evidence for the existence of an exchange rate channel or asset price channel of monetary transmission in Vietnam.