The impacts of monetary policy on output growth and inflation in vietnam a var approach

UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAM INSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDS VIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS THE IMPACTS OF MONETARY POLICY ON OUTPUT GROWTH AND INFLATION IN VIETNAM: A VAR APPROACH A thesis submitted in partial fulfilment of the requirements for the degree of MASTER OF ARTS IN DEVELOPMENT ECONOMICS By VO PHUOC THUAN Academic Supervisor: Assoc Prof Dr NGUYEN TRONG HOAI and Dr PHAM KHANH NAM HO CHI MINH CITY, JANUARY 2013 ACMNO WLEDGEMENT First of all, I would like to convey sincere thanks to my supervisors Assoc Prof Dr Nguyen Trong Hoai for his guidance, support and patience ensuring a successful completion of the thesis I wish to thank my co-supervisor Dr Pham Khanh Nam for his encouragement and willingly supports during the thesis writing process with the valuable comments and suggestions I wish to thank all staffs and my fellow classmates at the Vietnam-Netherlands Programme for M.A in Development Economics for the devoted support and positive interaction throughout the years I also wish to show my thankfulness to Mr Hoang Quang Hung for his devoted help and support in the process of the thesis I also wish to show my thankfulness to the Vietnam-Netherlands Programme for M.A in Development Economics along with all professors at there which have provided me the knowledge and opportunity to access the best conditions for my study What I have learned from their lectures not only help me get knowledge for doing the thesis but also provide me more profound understanding on economics particularly and life generally To my family, no word can express all my love to them They have always been my biggest encouragement I could not have finished this course without them Thank you, mom and my wife, who always encourage and try their best to give me the best condition so that I can complete the thesis CERTIFICATION I declare that the Thesis, which I hereby submit for the degree of Master of Arts in Development Economics at the Vietnam — Netherlands Programme For M.A In Development Economics - University of Economics Ho Chi Minh City - Vietnam, is the result of my own work with the guidance of the supervisors, except where otherwise stated Other sources are acknowledged by explicit references I certify that the material contained in this thesis has not been submitted in support of an application for another degree or qualification in this or any university VO PHUOC THUAN Date: January 21, 2013 ABSTRACT Understanding of monetary policy and the way it is transmitted to the economy through different channels and the time it needs to take effect are both important, which are “visible hand” that could help the country to get over the challenges to achieve the target This thesis examines the impact of monetary policy on real output growth and inflation of the urban area, rural area and all over of Vietnam by using the vector auto-regression (VAR) focusing on the reduced-form relationships between money supply, real output growth, price level (of the urban area, rural area and all over of Vietnam), interest rate (lending rate), credit and exchange rate The result suggests that money supply have impact on real output growth and inflation in the urban area, the rural area and all over of Vietnam but the impacts are at low percentage The fact that the thesis cannot find out any channel having the impact on the real output growth, this suggest that monetary policy may take impact on real output growth through other channels which are not mentioned in this thesis Among the three mentioned channels there is only credit channel has the impact on the inflation An increase in domestic credit has the positive effects on inflation This suggests the need of a system of policies that manage the credit channel in the right way to control inflation rates efficiently Interest rate channel has been found to be a very important channel of monetary transmission mechanism in other countries but it is not significant in Vietnam This means that interest rate policy has not been implemented in an effective way There is also destitute evidence of the response of real output growth and inflations to changes in exchange rate This means that exchange rate does not seem to be an important channel of monetary policy as well TABLE OF CONTENT CHAPTER I: INTRODUCTION 1.1 Problem Statement 1.2 Significant of the study 1.3 Research objectives 1.4 Research questions 1.5 Thesis Structure .4 CHAPTER II: LITERATURE REVIEW 2.1 Theoretical literature review 2.1.1.Mechanism of the impact of aggregate demand to output and price level 2.1.2 Traditional Keynesian IS/LM model 2.1.3 The Mundell-Fleming model 2.1.4 Tobin q’s theory 2.1.5 Monetary transmission mechanism + The interest rate channel + The credit channel + The exchange rate channel 13 1.6 Conceptual framework for the study 15 2.2 Previous empirical studies related 2.3 Chapter remarks CHAPTER III: ECONOMY PERFORMANCE, FINANCIAL SYSTEM AND MONETARY POLICY TOOLS IN VIETNAM 24 3.1 Economy performance 24 3.1.1 Economic growth .2 3.1.2 Inflation and output growth .25 3.2 Finacial system and the role of Central Bank in Vietnam ³- - ×'³'² '°w i"" '•i' 29 3.3.1.Legal framework 3.3.2.Monetary policy tools 3.4 Chapter remarks 33 CHAPTER IV: RESEARCH METHODOLOGY 34 4.1 Model specification 34 4.2 Data availability and description 35 4.2.1 Data availability 35 4.2.2 Data description 4.2.3 Descriptive analysis of data 4.3 Test for stationary property .40 4.4 Model estimation and regression result 41 4.4.1 Model estimation 4.4.2 Regression result a) Basic model b) Extended model with lending rate .47 c) Extended model with domestic credit d) Extended model wlth exchange rate 4.4.3 Chapter remarks CHAPTER V: CONCLUSION, POLICY IMPLICATION, LIMITATION, AND SUGGESTION FOR FURTHER RESEARCHES 53 5.1 Conclusion .53 5.2 Policy implication 5.3 Limitation of the study 56 5.4 Suggestion for further researches References LIST OF ACRONYMS AND ABBREVIATIONS DF test: Dicky Fuller test E or ER: Exchange rate ECB: European Central Bank ve: Variance Decomposition FED: The Federal Reserve System is the central bank of the United States GDP: Gross Domestic Product GSO: General Statistic Office i: Interest rate I: Investment ICOR: Incremental Capital-Output Ratio DOT: Direction of Trade Statistics IFS: International Finance Statistics IMF: International Monetary Fund OECD.Stat: Organisation for Economic Co-operation and Development StatExtracts AD-AS Aggregate Demand-Aggregate Supply model model: IS/LM Investment-Saving / Liquidity preference-Money supply model: Sy M r MS: model Money supply M2: Nominal Effective Exchange Rate NEER: Real Effective Exchange Rate REER: Net export NX: Orthogonalized Impulse Response Function OIRF or IRF: Consumer Price Index P or CPI: Expected Price Level Broad money or high-powered money Equity price Expected inflation State Bank of Vietnam The United States of America Vector Auto-Regression Output likelihood ratio test Final prediction error Akaike information criterion Schwarz information criterion Hannan-Quinn information criterion LIST OF FIGURE Figure 2.1: Keynesian AS-AD model Figure 2.2: A tight monetary policy of traditional Keynesian IS/LM model Figure 3.1: Economic growth - Source: IMF (2012) Figure 3.2: Inflation and real GDP growth rate - Source: IMF (2012) Figure 3.3: Figure 4.1: Figure 4.2: Figure 4.3: Figure 4.4: Interest rate in Vietnam - Source: State Bank of Vietnam and World Bank website (2012, accessed on November 10, 2012) Response of real output growth to money supply Response of inflation of the urban area, the rural area and all over of Vietnam to money supply Response of real output growth to money supply, and price level to money supply Response of domestic credit to money supply, price level to money supply, and price level to domestic credit LIST OF TABLE Table 4.1: Summary of data Table 4.2: Stationary tests for variables in level Table 4.3: Stationary tests for variables in percentage change Table 4.4: Granger causality Wald tests for the basic model with Real output growth, Price level of all over Vietnam, Money supply variables Table 4.5: Granger causality Wald tests for the basic model with variables of Real output growth, Price level of the urban area of Vietnam, Money supply Table 4.6: Granger causality Wald tests for the basic model with variables of Real output growth, Price level of the rural area of Vietnam, Money supply Table 4.7: Variance Decomposition for the basic model with variables of Real output growth, Price level of all over Vietnam, Money supply Table 4.8: Variance Decomposition for the basic model with variables of Real output growth, Price level of the urban area of Vietnam, Money supply Table 4.9: Variance Decomposition for the basic model with variables of Real output growth, Price level of the rural area of Vietnam, Money supply Table 4.10: Granger-causality tests for the extended model with variables of Real output growth, Price level of all over Vietnam, Money supply, and Lending rate Table 4.11: Variance Decomposition for the extended model with variables of Real output growth, Price level of all over Vietnam, Money supply, and Lending rate Table 4.12: Granger-causality tests for the extended model with variables of Real output growth, Price level of all over Vietnam, Money supply, and Domestic credit - 82 - EXTENDED MODEL WITH GROWTH, DL_CPI, DL_M2, DL_CREDIT Response to Cholesky One S.D Innovations z S.E EXTENDED MODEL WITH GROWTH, DL_CPI, DL_M2, DL_E Response to Cholesky One S.D Innovations ± S.E BASIC MODEL WITH GROWTH, DL_CPI_UB, DL_M2 Response to Chomsky One S.D txovatioa s S.E response or cnowr+i to rL_cPi_ue Resjonse of DL_M2 to GRDWTH Rôãponse or oL_uz to cx_cPi_ue response or r›L_u2 to c›L_u2 BASIC MODEL WITH GROWTH, DL_CPI_RR, DL_M2 Response of DL.CPI_RR to GROWTH Response to Cholcsky One S.D tvovatio›s + S.E Response of GROWTH to Dt_CP|_RR Response of DL_M2 to GROWTH response of oL_cPi_na to oL_uz Response of DL_M2 to DL_CPI_RR - 84 - APPENDIX VARIANCE DECOMPOSITION BASIC MODEL WITH GROWTH, DL_CPI, DL_M2 Variance Decomposition of GROWTH: Period S.E GROWTH DL_CPI 14.80781 10 11 12 13 14 15 16 17 18 16.49705 17.34768 17.42004 17.48387 17.49369 17.51381 17.53658 17.55959 17.56840 17.57597 17.57815 17.57959 17.58119 17.58195 17.58246 17.58287 15.92644 100.0000 0.000000 0.000000 95.43651 87.50678 86.82395 86.26661 86.24779 86.24290 86.19924 86.21742 86.20569 86.18063 86.15958 86.14610 86.14307 86.14125 86.14051 86.13895 0.657495 1.132227 1.227306 1.807005 1.814753 1.844716 1.918904 1.918208 1.932050 1.940806 1.940458 1.948675 1.950391 1.952316 1.953604 1.953589 3.905998 11.36099 11.94874 11.92638 11.93746 11.91238 11.88185 11.86437 11.86226 11.87857 11.89996 11.90522 11.90654 11.90644 11.90589 11.90746 98.99643 0.342084 Period Decomposition S.E GROWTH Variance of DL_CPI: DL_CPI 0.535031 0.636329 0.780196 0.858246 0.879847 10 11 12 13 14 15 16 17 18 0.898610 0.908863 0.912549 0.919210 0.928288 0.935122 0.938672 0.940563 0.941044 0.941360 0.941755 0.942450 0.943168 0.661483 DL_M2 10.77054 7.858633 11.43353 10.15444 89.22946 91.49685 82.75562 84.86734 0.000000 0.644519 5.810850 4.978221 10.62232 84.60693 4.770758 10.33529 11.70083 11.91336 11.92416 12.19362 12.03071 11.97076 11.92408 11.92318 11.95307 11.96457 11.97210 11.96700 Variance Decomposition of DL_M2: Period DL_M2 83.16882 81.32677 81.12968 81.10254 80.83366 80.97379 81.03628 80.95099 80.92117 80.87866 80.87000 80.87263 80.88080 6.495890 6.972400 6.956954 6.973304 6.972728 6.995502 6.992954 7.124928 7.155646 7.168267 7.165427 7.155262 7.152205 DL_CPI DL_M2 S.E GROWTH 1.797466 5.806328 0.359728 93.83394 1.850790 10.63076 0.789845 88.57939 1.939063 1.964791 1.987070 2.009803 2.022263 11.70221 12.07074 11.80361 11.57800 11.98541 6.919169 8.306688 10.27810 12.24656 12.77158 81.37862 79.62257 77.91829 76.17544 75.24300 10 11 12 13 14 15 16 17 18 2.027724 2.032486 2.033356 2.034428 2.036043 2.037181 2.037904 2.038320 2.038467 2.038519 2.038553 11.92896 12.23432 12.28638 12.32032 13.15970 13.16997 13.15878 13.17983 74.91134 74.59570 74.55484 74.49986 12.38518 12.39071 12.38627 12.38475 12.38602 12.38599 13.28780 13.33087 13.34850 13.35598 13.35541 13.35720 74.32701 74.27842 74.26523 74.25927 74.25857 74.25681 12.39039 13.21131 74.39830 Cholesky Ordering: GROWTH DL_CPI DL_M2 EXTENDED MODEL WITH GROWTH, DL_CPI, DL_M2, DL_LR Variance Decomposition of GROWTH: Period S.E GROWTH DL_CPI DL_M2 DL_LR 14.98681 16.35683 100.0000 96.15236 0.000000 0.370845 0.000000 0.934229 0.000000 2.542566 17.59193 17.69413 17.89219 17.95233 18.00202 18.02696 18.06162 18.07873 18.09200 18.09471 18.09875 18.10086 18.10334 18.10487 18.10596 86.62719 85.67113 83.93380 83.40064 83.12568 83.04881 83.02063 82.95138 82.91389 82.89127 82.85494 82.84635 82.82967 82.82572 82.82114 2.310783 2.765762 3.784038 3.760177 3.844546 3.911047 3.896955 3.956496 3.977251 3.987493 4.009172 4.008237 4.014193 4.015549 4.015074 8.381826 8.456084 8.299441 8.271421 8.228136 8.215537 8.228087 8.235630 8.259226 8.270506 8.274340 8.277840 8.275783 8.274400 8.276935 2.680203 3.107020 3.982717 4.567765 4.801633 4.824604 4.854324 4.856493 4.849630 4.850727 4.861549 4.867577 4.880356 4.884332 4.886850 10 11 12 13 14 15 16 17 18 16.85280 93.16345 0.911446 Variance Decomposition of DL_CPI: Period S.E GROWTH DL_CPI 0.536987 10 11 12 13 14 15 16 17 18 0.782173 0.876476 0.899822 0.917888 0.928687 0.934472 0.941777 0.950679 0.959874 0.963903 0.966096 0.966572 0.967119 0.967778 0.969082 0.970267 0.650112 3.103097 2.822009 DL_M2 DL_LR 12.51513 87.48487 0.000000 0.000000 11.79134 10.11329 10.73597 10.43653 11.65625 11.76024 11.67010 11.90456 11.68866 11.62420 11.57154 11.56411 11.56482 11.55660 11.53769 11.51322 81.16850 81.86242 81.58658 80.24364 78.43406 77.81877 77.81536 77.54203 77.31080 77.27972 77.12303 77.07265 77.02876 77.03441 77.04448 77.05674 6.276667 5.507057 5.265738 7.000421 7.620797 7.530835 7.438824 7.432799 7.468210 7.549850 7.732710 7.790785 7.828114 7.821933 7.802369 7.795126 0.763488 2.517231 2.411718 2.319407 2.288895 2.890162 3.075717 3.120603 3.532328 3.546227 3.572722 3.572461 3.578308 3.587060 3.615455 3.634913 8.720221 88.30467 1.926513 - 86 - 1.048595 Variance Decomposition of DL_M2: Period S.E GROWTH 10 11 12 13 14 15 16 17 18 1.631784 1.728950 1.972896 2.004071 2.032408 2.064452 2.082150 2.085929 2.091002 2.091737 2.095375 2.098649 2.102571 2.104540 2.106053 2.106476 2.106692 2.106784 8.398612 17.02197 15.93702 16.62885 16.16842 15.68901 15.97002 15.94137 16.11376 16.10623 16.07359 16.05629 15.99738 15.97295 15.95692 15.95126 15.95813 15.95970 DL_CPI DL_M2 2.225928 89.37546 2.057495 7.356050 8.592640 10.17906 11.39118 11.69036 11.93877 11.89492 11.92729 12.17161 12.37549 12.65265 12.79914 12.85969 12.88378 12.88131 12.88431 Variance of DL_LR: Period Decomposition S.E GROWTH DL_LR 0.000000 80.54691 64.38112 62.54965 60.90650 59.12951 58.40468 58.23225 58.08257 58.05911 57.87710 57.72690 57.51769 57.42125 57.37769 57.36468 57.36225 57.35763 0.373626 12.32581 12.22886 12.74602 13.79031 13.93495 13.88762 13.90875 13.90737 13.87770 13.84132 13.83228 13.80665 13.80570 13.80027 13.79831 13.79836 DL_CPI DL_M2 DL_LR 6.110893 0.997060 5.972097 0.001842 93.02900 6.315207 1.358479 10.51398 0.028106 88.09943 10 11 12 13 14 15 16 17 18 6.817444 7.023820 7.246553 7.281706 7.317356 7.371191 7.447174 7.529235 7.590753 7.619558 7.635232 7.638697 7.642386 7.647655 7.656095 7.662977 1.238547 1.173610 1.400540 1.421889 1.578004 1.575847 1.602615 1.568026 1.566718 1.555341 1.601422 1.630140 1.671142 1.697177 1.712536 1.716445 17.68984 19.23627 18.54093 18.44935 18.98773 19.93519 21.41706 22.72562 23.72367 24.17202 24.28210 24.27538 24.27857 24.33869 24.45844 24.55751 0.879197 1.838649 5.329612 5.720887 5.704344 5.826904 5.742367 5.749242 5.744032 5.810076 5.889221 5.929097 5.944837 5.936680 5.925944 5.928325 80.19242 77.75147 74.72892 74.40787 73.72993 72.66206 71.23796 69.95711 68.96558 68.46257 68.22726 68.16538 68.10545 68.02745 67.90308 67.79772 Cholesky Ordering: GROWTH DL_CPI DL_M2 DL_LR EXTENDED MODEL WITH GROWTH, DL_CPI, DL_M2, DL_CREDIT Variance Decomposition of GROWTH: Period S.E GROWTH DL_CPI DL_M2 DL_CREDIT 14.73710 16.18840 16.78885 17.67211 17.75228 17.85011 100.0000 95.22005 92.85037 85.81829 85.21621 84.30040 0.000000 0.272530 0.266936 0.298566 0.349369 0.979656 0.000000 0.716729 3.346525 10.34388 10.72012 10.89741 0.000000 3.790686 3.536172 3.539261 3.714304 3.822532 17.88608 84.19384 0.980446 10.85794 3.967780 17.89820 17.92948 84.16705 84.16867 1.007375 1.055726 10.84338 10.80717 3.982196 3.968433 -87- 10 17.96620 84.18342 1.082049 10.76372 11 17.98076 84.16820 1.090110 10.77619 10.79226 3.963055 10.81012 10.82785 10.82515 10.82339 10.82524 10.82844 3.961979 3.960681 3.967116 3.966354 3.968227 3.969776 DL_M2 DL_CREDIT 12 17.99031 84.14258 1.102111 13 14 15 16 17 18 17.99321 17.99620 17.99933 18.00120 18.00196 18.00290 84.11579 84.09437 84.08557 84.08415 84.08006 84.07540 1.112110 1.117099 1.122160 1.126111 1.126474 1.126387 Variance Decomposition of DL_CPI: Period S.E GROWTH DL_CPI 3.970810 3.965504 0.466331 0.598004 0.768894 0.827327 0.854435 0.897836 0.917047 0.926118 0.938297 5.582007 4.864111 10.49211 11.39101 11.39366 10.50352 11.19880 11.05650 10.83176 94.41799 79.51291 67.64192 68.19777 65.22070 60.10149 57.69551 57.84470 57.60229 0.000000 0.860201 5.097258 4.576611 4.291121 9.890443 11.51850 11.43915 12.40684 0.000000 14.76278 16.76871 15.83462 19.09452 19.50455 19.58719 19.65965 19.15910 10 0.949493 10.87000 58.01379 12.21563 18.90058 11 12 13 14 15 16 17 18 0.957818 0.963418 0.967707 0.969842 0.971357 0.972337 0.973127 0.973786 10.69693 10.57754 10.54853 10.60344 10.66458 10.69039 10.71745 10.71498 58.52856 58.49601 58.34612 58.17912 58.00012 57.90124 57.88867 57.91749 12.05735 12.00079 11.96541 11.94410 11.93272 11.99260 12.00175 12.00151 18.71716 18.92567 19.13994 19.27334 19.40259 19.41578 19.39213 19.36602 Variance Decomposition of DL_M2: Period S.E GROWTH 1.834885 4.845453 1.903714 9.627082 10 11 12 13 14 15 16 17 18 1.977939 2.004183 2.039059 2.055707 2.069238 2.081491 2.088580 2.090670 2.094395 2.096733 2.098877 2.100492 2.101663 2.102331 2.102791 2.103039 10.31227 10.40044 10.04778 9.887412 10.15959 10.07242 10.20181 10.18302 10.15194 10.15572 10.13740 10.12232 10.11956 10.12187 10.13167 10.13450 DL_CPI DL_M2 DL_CREDIT 0.139393 95.01515 0.000000 0.775462 88.34992 1.247534 5.722228 6.235392 7.697481 8.711909 8.788234 8.851438 8.793291 8.848875 8.908200 9.038656 9.198289 9.270620 9.322782 9.344985 9.342376 9.340262 Period Decomposition S.E GROWTH DL_CPI Variance of DL_CREDIT: 1.815525 1.892713 1.989666 2.081869 2.190139 2.234093 2.266031 5.106390 10.20858 9.461964 9.760563 8.988915 8.638797 9.400182 0.510783 0.734069 5.758411 7.676087 8.595887 11.73550 12.80746 82.42816 80.67349 78.11997 76.96271 75.95974 75.62549 75.38654 75.25935 75.22926 75.09983 74.96721 74.88359 74.80125 74.75432 74.72194 74.71121 1.537338 2.690679 4.134768 4.437971 5.092437 5.450653 5.618361 5.708754 5.710596 5.705804 5.697095 5.723467 5.756410 5.778818 5.804015 5.814027 DL_M2 DL_CREDIT 46.16881 44.03796 42.47964 43.92611 47.50278 46.02639 44.82488 - 88 - 48.21402 45.01939 42.29998 38.63724 34.91242 33.59931 32.96748 2.288125 9.249754 13.49793 43.96347 2.300837 9.351361 13.75543 43.49473 10 11 12 13 14 15 16 17 18 2.308552 2.312898 2.316931 2.318811 2.320279 2.321192 2.321950 2.322423 2.322700 9.537612 9.598655 9.744445 9.756987 9.751411 9.744169 9.738103 9.740910 9.743702 13.69309 13.64177 13.61018 13.68184 13.74234 13.79416 13.84086 13.84935 13.85145 43.26912 43.18315 43.14183 43.08679 43.07322 43.04454 43.01691 43.00327 42.99321 33.28885 33.39848 33.50018 33.57643 33.50355 33.47438 33.43302 33.41713 33.40412 33.40647 33.41163 Cholesky Ordering: GROWTH DL_CPI DL_M2 DL_CREDIT EXTENDED MODEL WITH GROWTH, DL_CPI, DL_M2, DL_E Variance Decomposition of GROWTH: Period S.E GROWTH DL_CPI DL_M2 DL_E 15.12705 16.27134 16.89634 17.92684 18.03116 100.0000 98.44833 94.72889 85.52028 84.55595 0.000000 0.278505 0.619375 1.204557 1.301647 0.000000 0.668144 3.711629 12.20463 12.86399 0.000000 0.605019 0.940101 1.070541 1.278415 18.07515 84.15580 1.705943 10 11 12 13 14 15 16 17 18 18.08392 18.09904 18.11517 18.13285 18.13974 18.14371 18.14693 18.14787 18.14922 18.14984 18.15015 18.15032 84.11094 84.10826 84.03991 84.04589 84.03255 84.00797 83.98444 83.97727 83.97430 83.97079 83.96938 83.96819 1.743747 1.746258 1.839311 1.838855 1.846226 1.851753 1.854060 1.858854 1.863856 1.865177 1.866978 1.867001 Variance Decomposition of DL_CPI: Period S.E GROWTH DL_CPI 10 11 12 13 14 15 16 17 18 0.537802 0.641792 0.794502 0.877570 0.901878 0.923831 0.934207 0.939243 0.947411 0.957578 0.964159 0.968095 0.969734 0.970063 0.970620 0.971471 0.972499 0.973454 11.78081 8.498283 11.18222 9.752339 10.03607 9.800947 10.94053 11.19945 11.36966 11.74032 11.61460 11.58361 11.54498 11.54396 11.56248 11.57542 11.57579 11.57101 88.21919 90.09203 82.83377 85.17983 84.97948 83.51464 81.68801 81.24092 80.99692 80.68372 80.79379 80.80433 80.70065 80.65924 80.60882 80.59375 80.60126 80.60867 12.81535 12.81929 12.80755 12.78522 12.77289 12.76881 12.78239 12.80411 12.80630 12.80447 12.80649 12.80609 12.80696 1.322916 1.326026 1.337933 1.335560 1.342366 1.352420 1.357878 1.357397 1.357576 1.357380 1.357543 1.357559 1.357847 DL_M2 DL_E 0.000000 0.000000 0.578686 4.328220 3.559402 3.372196 5.144249 5.657522 5.803345 5.760901 5.713132 5.754129 5.788809 5.923520 5.945665 5.950068 5.940811 5.929625 5.929058 - 89 - 0.830998 1.655791 1.508425 1.612251 1.540163 1.713935 1.756286 1.872520 1.862825 1.837483 1.823247 1.830852 1.851140 1.878627 1.890013 1.893332 1.891260 Variance Decomposition of DL_M2: Period S.E 1.785515 GROWTH DL_CPI DL M2 DL_E 5.468549 0.098791 94.43266 0.000000 1.864935 9.795130 0.256585 1.986687 2.020635 2.055797 2.079216 11.27253 11.64146 11.24700 10.99674 5.940443 7.023636 9.250227 11.16131 11.60632 11.82997 11.79437 70.97201 70.71625 70.51662 6.384290 6.363567 6.369551 86.56971 77.01279 75.08646 72.97074 71.42350 3.378579 5.774241 6.248454 6.532030 6.418442 2.086016 2.090300 2.093512 11.03737 11.09022 11.31946 10 2.094836 11.34821 11.84522 70.44187 6.364701 11 12 13 14 15 16 17 18 2.098055 2.101647 2.104143 2.105590 2.106138 2.106270 2.106475 2.106750 11.36817 11.40257 11.38005 11.37544 11.36989 11.36988 11.37416 11.37652 12.02137 12.22141 12.40293 12.50084 12.52423 12.52608 12.52954 12.54510 70.25161 70.03750 69.89338 69.80874 69.79147 69.78696 69.77619 69.75801 6.358860 6.338519 6.323642 6.314978 6.314414 6.317082 6.320113 6.320368 DL_M2 DL_E Variance Decomposition of DL_E: Period S.E GROWTH DL_CPI 1.564857 1.480161 0.558066 3.571252 1.675291 1.853263 2.213346 1.114055 92.54011 10 11 12 13 14 15 16 17 18 1.685018 1.697239 1.764020 1.797734 1.818691 1.828461 1.835951 1.837213 1.839416 1.841684 1.843137 1.844271 1.844704 1.845069 1.845204 1.845236 4.313652 4.253357 7.877394 7.608889 7.514830 7.642097 7.961349 8.007440 7.990294 8.081676 8.086073 8.116244 8.112707 8.109808 8.108707 8.109685 5.655393 6.037955 6.673506 9.451198 9.861155 10.37329 10.41101 10.45183 10.42888 10.46964 10.52504 10.58706 10.62010 10.64275 10.64333 10.64364 2.381212 3.316196 4.190378 4.503077 5.401071 5.580851 5.603151 5.613657 5.827658 5.874443 5.925962 5.926237 5.927969 5.937793 5.948731 5.948609 87.64974 86.39249 81.25872 78.43684 77.22294 76.40376 76.02449 75.92708 75.75317 75.57424 75.46293 75.37046 75.33923 75.30965 75.29923 75.29806 Cholesky Ordering: GROWTH DL_CPI DL_M2 DL_E BASIC MODEL WITH GROWTH, DL_CPI_UB, DL_M2 Variance Decomposition of GROWTH: Period S.E GROWTH DL_CPI_UB 14.84195 15.95194 16.55048 17.38286 17.46052 17.53415 17.54384 17.55881 17.57714 100.0000 99.20954 95.40008 87.76923 87.06247 86.39780 86.38827 86.35703 86.28713 0.000000 0.242600 0.813466 1.201785 1.303618 2.025616 2.035028 2.061049 2.146324 DL_M2 0.000000 0.547863 3.786457 11.02899 11.63391 11.57659 11.57670 11.58192 11.56654 - 90 - 96.47462 10 11 12 13 17.60319 17.61189 17.61787 17.61875 86.27036 86.25785 86.23182 86.22355 2.141456 2.164907 2.168601 2.169256 11.58818 11.57724 11.59957 11.60719 15 16 17 18 17.62044 17.62112 17.62148 17.62180 86.21537 86.21561 86.21463 86.21344 2.171616 2.171918 2.172793 2.172746 11.61302 11.61247 11.61258 11.61381 14 17.61983 86.21484 2.171578 11.61358 Variance Decomposition of DL_CPI_UB: Period 10 11 12 13 14 15 16 17 18 S.E 0.625179 0.729581 0.854062 0.919367 0.952985 0.981845 0.995337 0.995968 0.998929 1.000176 1.001713 1.002502 1.003220 1.003535 1.003683 1.003740 1.003764 1.003775 GROWTH 7.330892 5.487470 8.366155 7.280776 9.424229 8.941669 9.644354 9.645153 9.588184 9.641831 9.664939 9.652083 9.657618 9.656832 9.664626 9.664662 9.665454 9.665928 DL_CPI_UB DL_M2 92.66911 0.000000 93.73884 84.92527 86.80981 83.91341 81.17195 79.13218 79.05066 78.74891 78.72144 78.73397 78.76509 78.71789 78.71783 78.69917 78.69277 78.68899 78.68814 0.773685 6.708579 5.909413 6.662362 9.886378 11.22346 11.30418 11.66290 11.63673 11.60109 11.58283 11.62449 11.62533 11.63621 11.64257 11.64556 11.64593 Variance Decomposition of DL_M2: Period S.E GROWTH DL_CPI_UB DL_M2 1.779204 6.475023 1.310585 92.21439 10 11 12 13 14 15 16 17 18 1.949027 1.974732 1.988232 2.009838 2.026999 2.034800 2.039231 2.039710 2.040839 2.041111 2.041227 2.041331 2.041387 2.041444 2.041473 2.041487 12.27371 12.75210 12.57967 12.46599 13.22676 13.16239 13.28247 13.29273 13.27995 13.29637 13.29665 13.29561 13.29558 13.29484 13.29600 13.29583 9.859450 11.21161 12.41254 14.10191 14.47426 14.78267 14.82513 14.84831 14.83224 14.82837 14.83527 14.84071 14.84286 14.84762 14.84794 14.84863 77.86684 76.03629 75.00779 73.43210 72.29897 72.05494 71.89240 71.85896 71.88780 71.87526 71.86808 71.86368 71.86155 71.85754 71.85606 71.85554 1.836222 11.55236 1.816992 86.63065 Cholesky Ordering: GROWTH DL_CPI_UB DL_M2 BASIC MODEL WITH GROWTH, DL_CPI_RR, DL_M2 Variance Decomposition of GROWTH: Period S.E GROWTH DL_CPI_RR DL_M2 - 91 - 100.0000 14.77800 , 15.88186 98.60264 16.45851 17.36782 17.46600 17.51517 17.51895 17.53615 17.56173 10 17.58443 11 17.59258 12 17.59669 13 17.59754 14 17.59841 15 17.59893 16 17.59947 17 17.59991 18 17.60016 0.000000 95.12795 86.87740 86.00833 85.54174 85.51480 85.49177 85.43882 85.44609 85.43971 85.41569 85.40759 85.40252 85.40232 85.40123 85.39910 85.39819 0.000000 0.845506 1.220421 1.503145 0.551853 3.651628 11.61946 1.668212 2.186679 2.214316 2.212029 12.32346 12.27158 12.27089 12.29620 2.287932 2.285957 2.299178 2.302024 2.301940 2.304643 2.305546 2.305803 2.307708 2.307645 12.27325 12.26796 12.26111 12.28228 12.29047 12.29284 12.29213 12.29296 12.29319 12.29417 Variance Decomposition of DL_CPI_RR: Period S.E 0.563588 0.709076 0.857863 GROWTH DL_CPI_RR DL M2 2.670969 1.737263 5.490113 97.32903 97.65885 89.46873 0.000000 0.603892 5.041158 0.937981 5.015774 90.75511 4.229118 10 11 12 13 14 15 16 17 18 0.975350 1.007758 1.018219 1.019539 1.023227 1.025606 1.028824 1.031492 1.033302 1.034401 1.034861 1.035033 1.035099 1.035146 5.232904 5.038997 5.172551 5.159580 5.133524 5.116880 5.099871 5.078771 5.073555 5.065281 5.069510 5.069039 5.069054 5.069326 89.72576 87.25559 85.98817 85.76707 85.40067 85.43127 85.50680 85.57643 85.57124 85.57302 85.55005 85.53300 85.52212 85.51928 5.041339 7.705418 8.839282 9.073348 9.465805 9.451851 9.393325 9.344803 9.355204 9.361703 9.380437 9.397965 9.408826 9.411395 Variance Decomposition of DL_M2: Period S.E GROWTH DL_CPI_RR DL_M2 10 11 12 13 14 15 16 17 18 1.774125 5.452605 0.021096 94.52630 1.944544 1.986760 2.004191 2.024122 2.038181 2.043373 2.045572 2.045732 2.046411 2.046788 2.047340 2.047828 2.048126 2.048323 2.048406 2.048432 11.09091 11.54772 11.35274 11.17882 11.54642 11.48783 11.51497 11.52640 11.51959 11.51738 11.51119 11.50574 11.50344 11.50123 11.50116 11.50091 9.733502 12.26731 13.74544 15.36113 15.94963 16.18604 16.20792 16.20614 16.21856 16.24401 16.28837 16.32816 16.34759 16.36032 16.36343 16.36383 79.17559 76.18497 74.90182 73.46006 72.50396 72.32613 72.27711 72.26746 72.26185 72.23861 72.20045 72.16609 72.14897 72.13844 72.13541 72.13526 1.841272 10.70099 1.520036 87.77897 Cholesky Ordering: GROWTH DL_CPI_RR DL_M2 - 92 - ... real output growth of Vietnam and inflation rate of the urban area, the rural area and all over of Vietnam changes when there are changes in monetary policy from the State Bank of Vietnam and. .. clarify the difference of impact of monetary policy on inflation of the urban and the rural area of Vietnam separately » to clarify the impact of each channel in the three main monetary channels... economy has not been studied quantitatively such as impact of monetary policy on inflation of the urban area, the rural area and all over of Vietnam instead of in inflation in general This creates