Điều hành chính sách tiền tệ Việt Nam trong bối cảnh xung đột Nga và Ukraine: Nhìn từ giá dầu thế giới thông qua mô hình DSGE và mô hình thực nghiệm VAR

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Tác giả: Hoàng Anh Lê, Đức Trung Nguyễn, Kim Lanh Triệu

Ngôn ngữ: vie

Ký hiệu phân loại:

Thông tin xuất bản: Tạp chí Kinh tế và Ngân hàng châu Á, 2023

Mô tả vật lý: tr.45799

Bộ sưu tập: Metadata

ID: 340400

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Ảnh hưởng của các cuộc xung đột chính trị trong quá khứ đến thị trường tài chính phụ thuộc vào hai yếu tố là mức độ tăng giá của năng lượng và mức độ phản ứng của các quốc gia. Bài viết phân tích cú sốc chính sách tiền tệ (CSTT) đến các yếu tố vĩ mô tiếp cận từ mô hình cân bằng động ngẫu nhiên tổng quát (Dynamic Stochastic General Equilibrium - DSGE) và thực nghiệm từ mô hình tự hồi quy véc tơ (VAR) nhằm phân tích cú sốc giá dầu lên điều hành CSTT của Ngân hàng Nhà nước (NHNN) Việt Nam. Các phân tích từ mô hình lý thuyết DSGE và mô hình VAR cho thấy, có sự tác động từ các cú sốc lên phản ứng của CSTT. Theo đó, dựa trên mô hình VAR, cú sốc giá dầu có ảnh hưởng lên sự thay đổi của lạm phát và lãi suất khá chậm trong khoảng hai quý đầu và có thể kéo dài trong dài hạn. Từ mô hình DSGE có thể thấy cú sốc CSTT ảnh hưởng rõ rệt lên các biến số vĩ mô, các tác động này xảy ra trong sự cân bằng tổng thể của nền kinh tế, cụ thể: một cú sốc (độ lệch chuẩn) tăng 1% đến biến trạng thái u sẽ làm lãi suất gia tăng khoảng 0,3% từ quý 1 và kéo theo độ lệch sản lượng giảm khoảng 0,71%, làm lạm phát giảm khoảng gần 1,22%
tác động của cú sốc biến trạng thái u giảm dần và triệt tiêu sau bốn quý.In the history of the global economy, the impacts of political conflicts on financial markets depend on two factors, including the level of energy price increases and the response of countries. Using the dynamic stochastic general equilibrium (DSGE) model and the vector autoregressive (VAR) model, the article analyzes the monetary policy shock to macro factors to determine the oil price shock to the implementation of monetary policy of the State Bank of Vietnam. The analysis from the DSGE theoretical model and the VAR model shows that there exists a significant impact of shocks on the response of monetary policy. Accordingly, from the VAR model, the results show that the oil price shock has a rather slow effect on changes in inflation and interest rates in the first 2 quarters and the long-term maintenance of its influence. From the DSGE model, the findings demonstrate that the monetary policy shocks have clear effects on the macro variables. These effects have occurred in the overall balance of the economy, specifically: a shock (a standard deviation) of 1% increase to the state variable will increase interest rates by about 0.3% from Q1 and lead to a decrease in output deviation by about 0.71%, which will reduce inflation by nearly 1.22%. The impact of the state variable shock will gradually decrease and disappear after 4 quarters.

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