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THE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAMTHE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL: ECONOMY EVIDENCE IN VIETNAM
MINISTRY OF EDUCATION AND STATE BANK OF VIET TRAINING NAM HO CHI MINH UNIVERSITY OF BANKING NGO SY NAM THE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL ECONOMY: EVIDENCE IN VIETNAM PH.D THESIS MAJOR: FINANCE AND BANKING HO CHI MINH CITY, MARCH – 2024 MINISTRY OF EDUCATION AND STATE BANK OF VIET TRAINING HO CHI MINH UNIVERSITY OF NAM BANKING NGO SY NAM THE EFFECTS OF THE UNITED STATES’ UNCONVENTIONAL MONETARY POLICY ON FINANCIAL MARKET AND REAL ECONOMY: EVIDENCE IN VIETNAM PH.D THESIS MAJOR : FINANCE AND BANKING CODE9340201 ACADEMIC ADVISORS : Assoc Prof Dr DOAN THANH HA HO CHI MINH CITY, MARCH – 2024 i DECLARATION I am Ngo Sy Nam, Ph.D Student, Course 25, majoring in Finance and Banking at Ho Chi Minh University of Banking This thesis has never been submitted for a doctoral degree at any institution This thesis is the author’s independent research work The research results are honest, and there is no content published previously or implemented by others except for the quotations fully cited in the thesis I am responsible for the content of this study Ph.D Student Ngo Sy Nam ii ACKNOWLEDGEMENTS I want to express my appreciation to the Ho Chi Minh University of Banking I have attended to provide me with a nurturing academic environment and opportunities for personal growth Their commitment to excellence in education has been instrumental in shaping my intellect and preparing me for future endeavors I am deeply grateful to Associate Professor Dr Doan Thanh Ha, my supervisor, for his invaluable guidance, mentorship, and encouragement throughout my research and academic pursuits Their expertise and constructive feedback have played a crucial role in shaping the direction of my studies and enhancing the quality of my work I sincerely thank my family, especially my wife, for her unwavering support, love, and understanding Their constant encouragement and belief in my abilities have been a source of strength and motivation, enabling me to overcome challenges and strive for excellence To everyone who has been part of my journey, directly or indirectly, your support and belief in my potential have been instrumental in my academic and personal growth I am deeply grateful for your presence in my life Ph.D Student Ngo Sy Nam iii Words ABBREVIATIONS AAR ADF Meanings AEs Average abnormal return AIC Augmented Dickey-Fuller AR Advanced economies BOE Akaike information criterion BOJ Abnormal return BRICS Bank of England CAAR Bank of Japan CAR Brazil, Russia, India, China, and South Africa CBB Cumulative Average Abnormal Return CBOE Cumulative abnormal return CF Central bank balance sheet CMP Chicago Board Options Exchange CPI Capital inflow DCF Conventional monetary policy, ECB Consumer Price Index EMEs Discounted cash flow EMH European central bank ESM Emerging economy markets Efficient Market Hypothesis Fed Event Study Methodology FG Federal Reserve FOMC FOREX Forward guidance GDP Federal Open Market Committee GFC Exchange rate HOSE Gross Domestic Product IMF Global financial crisis IRF Ho Chi Minh City Stock Exchange IRR International monetary fund IS - LM Impulse response function LSAP Interest rate MBS Investment – Savings - Liquidity preference – Money Supply MF Large-scale asset purchase OECD Mortgage-backed securities QE Mundell-Fleming SP Organization for Economic Co-operation and Development Quantitative easing Stock price SSR iv SVAR TAF Shadow short rate UMP Structural vector autoregression US Term Auction Facility VAR Unconventional monetary policy VIX United States Vector autoregression CBOE volatility index v TABLE OF CONTENTS DECLARATION i ACKNOWLEDGEMENTS ii ABBREVIATIONS iii TABLE OF CONTENTS .v LIST OF TABLES .ix LIST OF FIGURES .x ABSTRACT xii 1 CHAPTER 1: INTRODUCTION 1 1.1 MOTIVATION OF RESEARCH 1 1.2 RESEARCH OBJECTIVES 9 1.3 RESEARCH QUESTIONS 10 1.4 THE SCOPE OF THIS STUDY 10 1.5 RESEARCH METHODOLOGIES AND DATA 12 1.5.1 Research methodology .12 1.5.1.1 Event study method 12 1.5.1.2 Structural vector autoregression model 13 1.5.2 Research data 13 1.6 RESEARCH CONTRIBUTIONS 14 1.7 THE STRUCTURE OF THE STUDY 15 2 CHAPTER 2: LITERATURE REVIEW 18 2.1 CONCEPTUAL FRAMEWORK 18 2.1.1 Conventional monetary policy 18 2.1.1.1 Definition 18 2.1.1.2 Conventional monetary policy tools 18 2.1.1.3 Transmission mechanism of conventional monetary policy .21 2.1.2 Unconventional monetary policy 24 2.1.2.1 Definition 24 2.1.2.2 Unconventional monetary policy tools 25 2.1.2.3 Transmission mechanism of unconventional monetary policy 28 2.1.2.4 International transmission of unconventional monetary policy 32 2.1.2.5 The differences between UMP and CMP 35 2.1.3 Financial market and real economy 37 vi 2.1.3.1 Financial market 37 2.1.3.2 Real economy .41 2.2 THEORETICAL FOUNDATIONS OF THE STUDY .41 2.2.1 The Efficient Market Hypothesis .42 2.2.2 Taylor rule 43 2.2.3 Asset pricing by discounted cash flow .44 2.2.4 Milton Friedman's money demand theory 45 2.2.5 Tobin’s q theory 46 2.2.6 The Mundell-Fleming-Dornbusch model 47 2.3 LITERATURE REVIEW .48 2.3.1 The effects of unconventional monetary policy 48 2.3.2 The methodologies review .56 2.3.2.1 Event study methodology 56 2.3.2.2 Vector autoregressive model approach 60 2.3.3 Research gap identification 64 3 CHAPTER 3: RESEARCH METHODOLOGY AND DATA 68 3.1 RESEARCH METHODOLOGY 68 3.1.1 Event study method 68 3.1.1.1 Introduction to event study methodology 68 3.1.1.2 The steps of event study methodology 69 3.1.2 Structural vector autoregressive model .75 3.1.2.1 introduction to structural vector autoregressive model .75 3.1.2.2 Research procedures 76 3.1.2.3 Proposed research model 78 3.1.2.4 Research variables .80 3.2 RESEARCH DATA .83 3.2.1 Data for ESM 83 3.2.2 Data for SVAR model .86 3.3 RESEARCH HYPOTHESES .87 4 CHAPTER 4: RESEARCH RESULTS 92 4.1 OVERVIEW OF THE FINANCIAL MARKET AND ECONOMY IN VIETNAM FROM 2000 TO 2022 92 4.1.1 Overview of the financial market in Vietnam from 2000 to 2022 92 4.1.1.1 Market size during the period from 2000 to 2022 92 4.1.1.2 Fluctuations in the stock market during the period from 2000 to 202294 vii 4.1.2 Overview of Vietnamese economy from 2000 to 2022 96 4.1.2.1 Economic growth of Vietnam from 2000 to 2022 .96 4.1.2.2 Inflation in Vietnam during the period from 2000 to 2022 98 4.2 RESEARCH RESULTS FROM ESM 99 4.2.1 The reaction of the market to the US’s UMP announcement 99 4.2.1.1 Abnormal average return of the market .99 4.2.1.2 Cumulative average abnormal return of the market 102 4.2.2 The reaction of different sectors to the US’s UMP announcement 104 4.2.2.1 Abnormal average return of different sectors 104 4.2.2.2 Cumulative average abnormal return of different sectors .106 4.2.3 Robustness test .110 4.2.4 Discussing research results .113 4.2.4.1 Similarities between the two periods 113 4.2.4.2 Differences between the two periods 114 4.3 RESEARCH RESULTS FROM SVAR .115 4.3.1 Correlation between variables 115 4.3.2 Data statistical description 121 4.3.3 Unit root test results .122 4.3.4 The optimal lag-length selection results 122 4.3.5 SVAR model results .123 4.3.5.1 Impulse response results 123 4.3.5.2 Variance decomposition results .127 4.3.6 SVAR results for the GFC and during pandemic crisis 129 4.3.7 Robustness test .131 5 CHAPTER 5: CONCLUSIONS AND POLICY IMPLICATIONS .135 5.1 CONCLUSION 135 5.1.1 Research question 1: Does the Vietnamese financial market react to the US’s UMP announcements in the global financial crisis and the COVID-19 pandemic period? 136 5.1.2 Research question 1: Does the real economy of Vietnam respond to the US’s UMP shocks in the global financial crisis and the COVID-19 pandemic period? 137 5.1.3 Research Question 3: Do differences exist between the effects of the US’s UMP on the Vietnamese financial market and real economy between the global financial crisis and the pandemic crisis? 138 5.1.3.1 The differences in the financial market 138 viii 5.1.3.2 The differences in real economy 139 5.2 RESEARCH CONTRIBUTIONS 140 5.3 POLICY IMPLICATIONS 142 5.3.1 Constructing and implementing unconventional monetary policies suitable for the context of Vietnam 142 5.3.2 Developing the financial market to increase the attraction of foreign investment flows 144 5.3.3 Monitoring the US’s monetary policy and adjusting its policy to respond to global economic developments 145 5.3.4 Focus on managing the potential risks of foreign capital flows and market volatility 146 5.3.5 Building resilience and promoting economic self-sufficiency in the face of external shocks 147 5.3.6 Investors consider selecting investment opportunities in the context of monetary policy fluctuations 149 5.4 LIMITATIONS AND SUGGESTIONS FOR FURTHER RESEARCH .150 6 LIST OF REFERENCCE i 7 APPENDIX xii