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 vietnam
MINISTRY OFEDUCATIONAND TRAINING STATEBANK OF VIET NAM HO CHI MINH UNIVERSITY OFBANKING NGO SY NAM THE EFFECTS OF THE UNITEDSTATES’UNCONVENTIONALMONET ARYPOLICYON FINANCIALMARKETANDREALECONOMY:EVI DENCE INVIETNAM PH.D THESIS MAJOR: FINANCE AND BANKING HO CHI MINH CITY, MARCH – 2024 MINISTRY OFEDUCATIONAND TRAINING STATEBANK OF VIET NAM HO CHI MINH UNIVERSITY OFBANKING NGO SY NAM THE EFFECTS OF THE UNITEDSTATES’UNCONVENTIONALMONET ARYPOLICYON FINANCIALMARKETANDREALECONOMY:EVI DENCE INVIETNAM PH.D THESIS MAJOR : FINANCE ANDBANKING CODE 9340201 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 Bankingat Ho Chi Minh University ofBanking This thesis has never been submitted for a doctoral degree at any institution This thesisistheauthor’sindependentresearchwork.Theresearchresultsarehonest,andthere is no content published previously or implemented by others except for the quotations fully cited in thethesis I am responsible for the content of this study Ph.D.Student Ngo SyNam ii ACKNOWLEDGEMENTS I want to express my appreciation to the Ho Chi Minh University of Banking.Ihaveattendedtoprovidemewithanurturingacademicenvironmentandopportunitiesfor personal growth Their commitment to excellence in education has been instrumental in shaping my intellect and preparing me for futureendeavors IamdeeplygratefultoAssociateProfessorDr.DoanThanhHa,mysupervisor,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 mywork Isincerelythankmyfamily,especiallymywife,forherunwaveringsupport,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 amdeeplygratefulforyourpresenceinmylife 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 TABLEOFCONTENTS v LISTOFTABLES ix LISTOFFIGURES x ABSTRACT xii 1 CHAPTER1:INTRODUCTION 1 1.1 MOTIVATIONOFRESEARCH 1 1.2 RESEARCHOBJECTIVES 9 1.3 RESEARCHQUESTIONS 10 1.4 THE SCOPE OFTHISSTUDY .10 1.5 RESEARCH METHODOLOGIESANDDATA 12 1.5.1 Researchmethodology .12 1.5.1.1 Eventstudymethod 12 1.5.1.2 Structural vectorautoregressionmodel .13 1.5.2 Researchdata 13 1.6 RESEARCHCONTRIBUTIONS 14 1.7 THE STRUCTURE OFTHESTUDY 15 2 CHAPTER 2:LITERATUREREVIEW .18 2.1 CONCEPTUALFRAMEWORK 18 2.1.1 Conventionalmonetarypolicy 18 2.1.1.1 Definition 18 2.1.1.2 Conventional monetary policytools 18 2.1.1.3 Transmission mechanism of conventionalmonetarypolicy 21 2.1.2 Unconventionalmonetary policy .24 2.1.2.1 Definition 24 2.1.2.2 Unconventional monetarypolicytools 25 2.1.2.3 Transmission mechanism of unconventionalmonetarypolicy 28 2.1.2.4 International transmission of unconventionalmonetarypolicy 32 2.1.2.5 The differences between UMPandCMP .35 2.1.3 Financial market andrealeconomy 37 v 2.1.3.1 Financialmarket 37 2.1.3.2 Realeconomy 41 2.2 THEORETICAL FOUNDATIONS OFTHESTUDY 41 2.2.1 The EfficientMarketHypothesis 42 2.2.2 Taylorrule 43 2.2.3 Asset pricing by discountedcashflow 44 2.2.4 Milton Friedman's moneydemandtheory 45 2.2.5 Tobin’sqtheory 46 2.2.6 TheMundell-Fleming-Dornbuschmodel .47 2.3 LITERATUREREVIEW 48 2.3.1 The effects of unconventionalmonetarypolicy 48 2.3.2 Themethodologies review 56 2.3.2.1 Eventstudymethodology 56 2.3.2.2 Vectorautoregressivemodelapproach 60 2.3.3 Researchgapidentification 64 3 CHAPTER 3: RESEARCH METHODOLOGYANDDATA .68 3.1 RESEARCHMETHODOLOGY 68 3.1.1 Eventstudymethod 68 3.1.1.1 Introduction to eventstudymethodology 68 3.1.1.2 The steps of eventstudymethodology 69 3.1.2 Structural vectorautoregressivemodel 75 3.1.2.1 introduction to structural vectorautoregressivemodel 75 3.1.2.2 Researchprocedures 76 3.1.2.3 Proposedresearchmodel .78 3.1.2.4 Researchvariables 80 3.2 RESEARCHDATA 83 3.2.1 DataforESM .83 3.2.2 Data forSVARmodel 86 3.3 RESEARCHHYPOTHESES 87 4 CHAPTER 4:RESEARCHRESULTS 92 4.1 OVERVIEW OF THE FINANCIAL MARKET AND ECONOMY INVIETNAM FROM 2000TO2022 92 4.1.1 Overview of the financial market inVietnamfrom 2000to2022 92 4.1.1.1 Market size during the periodfrom2000to2022 92 4.1.1.2 Fluctuations in the stock market during the periodfrom2000 to202294 v 4.1.2 Overview of Vietnamese economy from 2000to2022 .96 4.1.2.1 Economic growth ofVietnamfrom 2000to2022 96 4.1.2.2 Inflation inVietnamduring the periodfrom2000to 2022 98 4.2 RESEARCHRESULTSFROMESM 99 4.2.1 The reaction of the market to theUS’sUMPannouncement 99 4.2.1.1 Abnormal average return ofthemarket .99 4.2.1.2 Cumulative average abnormal return ofthemarket 102 4.2.2 The reaction of different sectors to theUS’sUMPannouncement 104 4.2.2.1 Abnormal average return ofdifferentsectors .104 4.2.2.2 Cumulative average abnormal return ofdifferentsectors .106 4.2.3 Robustnesstest 110 4.2.4 Discussingresearch results .113 4.2.4.1 Similarities between thetwoperiods .113 4.2.4.2 Differences between thetwoperiods .114 4.3 RESEARCHRESULTSFROMSVAR 115 4.3.1 Correlation between variables 115 4.3.2 Datastatisticaldescription 121 4.3.3 Unit roottestresults 122 4.3.4 The optimal lag-lengthselectionresults 122 4.3.5 SVARmodelresults 123 4.3.5.1 Impulseresponseresults .123 4.3.5.2 Variancedecompositionresults 127 4.3.6 SVARresults for the GFC and duringpandemiccrisis 129 4.3.7 Robustnesstest 131 5 CHAPTER 5: CONCLUSIONS ANDPOLICYIMPLICATIONS 135 5.1 CONCLUSION 135 5.1.1 Researchquestion1:DoestheVietnamesefinancialmarketreacttotheUS’sUMP announcements in the global financial crisis and the COVID-19 pandemicperiod? 136 5.1.2 Research question 1: Does the real economy ofVietnamrespond to theUS’sUMPshocksintheglobalfinancialcrisisand theCOVID-19pandemicperiod?.137 5.1.3 Research Question 3: Do differences exist between the effects of theUS’sUMP on the Vietnamese financial market and real economy between the globalfinancial crisis and thepandemiccrisis? 138 5.1.3.1 The differences in thefinancialmarket 138 5.1.3.2 The differences inrealeconomy 139 5.2 RESEARCHCONTRIBUTIONS 140 v 5.3 POLICYIMPLICATIONS 142 5.3.1 Constructing and implementing unconventional monetary policies suitablefor the contextofVietnam 142 5.3.2 Developing the financial market to increase the attraction of foreigninvestmentflows 144 5.3.3 Monitoring theUS’smonetary policy and adjusting its policy to respond toglobaleconomicdevelopments 145 5.3.4 Focus on managing the potential risks of foreign capital flows and marketvolatility 146 5.3.5 Building resilience and promoting economic self-sufficiency in the face ofexternalshocks 147 5.3.6 Investors consider selecting investment opportunities in the context ofmonetarypolicyfluctuations .149 5.4 LIMITATIONSAND SUGGESTIONS FORFURTHERRESEARCH 150 6 LISTOFREFERENCCE i 7 APPENDIX xii