Determinants of Inflation in Vietnam: A VECM Approach

This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actually has a short-run impact, but its level is fundamentally weak. The cause of the current inflation is mainly due to public's expectations of the inflation in the last period. Although the error correction, from the long-run relationship, has affected inflation in the short run, the coefficient is small and insignificant. In other words, it means that the speed of the adjustment is very low or near zero. This also implies that once the relationship among inflation, domestic credit, interest rate, budget deficit, and crude oil prices deviate from the long-term trend, it will take the economy a lot of time to return to the equilibrium state.

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THE EFFECT OF TRANSFERING ISRAEL CAPITAL CITY TO JERUSALEM TOWARD INDONESIA MACRO ECONOMY

EKUITAS (Jurnal Ekonomi dan Keuangan) ◽

10.24034/j25485024.y2019.v3.i2.4111 ◽

2020 ◽

Vol 3 (2) ◽

pp. 260-282

Author(s):

Liliek Nur Sulistiyowati

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Crude Oil ◽

Interest Rates ◽

Oil Prices ◽

Donald Trump ◽

State Budget ◽

Crude Oil Prices ◽

Macroeconomic Indicators ◽

The Impact

United States President Donald Trump has just issued a controversial policy by giving Jerusalem recognition as the capital of Israel. This controversial policy triggered a strong reaction from a number of countries, especially Islamic countries including Indonesia. Indonesia through President Jokowidodo strongly condemned the policy of moving the Israeli capital to Jerusalem because it would disrupt political and security stability in the Middle East region. In the midst of the political impact caused by President Donald Trump's policies also affected the global economy. The world stock exchanges reacted immediately with the existence of these policies, one of which was the fall of the stock market index in Japan and South Korea due to investor concerns. The impact of the policies implemented by President Donald Trump also affected the Indonesian economy. This policy will affect the financial markets and capital markets in Indonesia. Trump's policy triggered an increase in the US $ exchange rate against the currencies of other countries including the Indonesian currency. Some of the negative effects on the Indonesian economy were the increase in world crude oil prices. Indonesia is currently no longer an oil exporting country, so that with the increase in world crude oil prices it will provide a fiscal burden in the State Budget (APBN). Fuel subsidies in the state budget will increase along with the increase in world crude oil prices that occur. In addition to the impact on the rupiah exchange rate against the US $, Donald Trump's policy also affects the inflation rate and the SBI interest rate. Through 2018, Bank Indonesia has raised the SBI interest rate by 150 basis points (bps) or 1.5%. The BI Governor explained that one reason for changing the benchmark interest rate was US monetary policy. The determination of high SBI interest rates also had an effect on reducing inflationary pressures. This study aims to look at the influence of President Donald Trump's policies regarding the transfer of the Israeli capital to Jerusalem against Indonesia's macroeconomic indicators. Indonesia's macroeconomic indicators are seen from 3 variables, such as the inflation rate, SBI interest rates and the rupiah exchange rate against US $ Key words : Donald Trump, inflation, SBI interest rates, exchange rates / exchange rates

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Analyzing the Impact of Oil Price Fluctuations on Vietnam Stock Market

Globalization and Trade Integration in Developing Countries - Advances in Logistics, Operations, and Management Science ◽

10.4018/978-1-5225-4032-8.ch010 ◽

2018 ◽

pp. 229-245

Author(s):

Huynh Viet Khai ◽

Le Minh Sang ◽

Phan Thi Anh Nguyet

Keyword(s):

Stock Market ◽

Crude Oil ◽

Economic Crisis ◽

Oil Prices ◽

Stock Market Index ◽

Market Index ◽

Crude Oil Prices ◽

Long Run ◽

Short Run ◽

The Impact

This chapter covers a study that was conducted to find out the impact of crude oil prices on the Vietnam stock market in the period from March 2006 to June 2015 by using the autoregressive-distributed lag (ARDL) model with dummy variables of the economic crisis. The results revealed that the crude oil prices had positive impacts on VN-Index and HNX-Index in short-run, but negatively in long-run. In addition, the study also found that the economic crisis has affected the relationship between the crude oil prices and the stock market index in the short-run. During the crisis period, the crude oil prices related to the VN-Index and HNX-index more closely than the other stages. However, in the long-run the relationship between oil prices and stock market index was not affected by the economic crisis.

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Oil price Fluctuation, Gold Returns and Inflationary Pressure: An Empirical Analysis Using Cointegration Approach

Applied Economics and Finance ◽

10.11114/aef.v6i2.4054 ◽

2019 ◽

Vol 6 (2) ◽

pp. 71 ◽

Cited By ~ 1

Author(s):

Hanan Naser

Keyword(s):

Crude Oil ◽

Oil Prices ◽

Oil Price ◽

Price Fluctuation ◽

Inflationary Pressure ◽

Crude Oil Prices ◽

Long Run ◽

Short Run ◽

The Impact ◽

Oil Price Fluctuation

Given that oil and gold prices are the major representative for commodity market, they both play a crucial role in determining the level of consumption, industrial production and investment due to the direct effect by the changes in their prices. In addition, both oil and gold prices have inflationary pressure which has a direct impact on countries economic growth. Therefore, it is of crucial practical significance to analyze their cointrgration relationships to understand the co-movement of both prices. To do so, this paper aims to examine the impact of oil price fluctuation on gold prices taking into account the inflationary pressure in the United States (US). Using monthly data from April, 1986 to September, 2018, Johansen multivariate cointegration test procedure and vector error correction model (VECM) have been employed to examine the long-run relationship between the variables in the US. The key findings suggest that there is a significant positive long run relationship between crude oil prices, gold prices and inflation. In the short run, the impact of any changes in crude oil prices will have a delayed effect on the prices of gold, while the impact of inflation in not different from zero. In addition, both gold prices and inflation are found to have no impact on gold prices in the short run. The findings of this research are important for investors, portfolio managers, corporate houses, crude oil traders, the government and policy makers.

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Volatility integration of gold and crude oil prices with the interest rates in India

South Asian Journal of Business Studies ◽

10.1108/sajbs-02-2021-0074 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Shailesh Rastogi ◽

Adesh Doifode ◽

Jagjeevan Kanoujiya ◽

Satyendra Pratap Singh

Keyword(s):

Interest Rate ◽

Crude Oil ◽

Interest Rates ◽

Global Economy ◽

Spillover Effect ◽

Price Volatility ◽

Volatility Spillover ◽

Content Type ◽

Crude Oil Prices ◽

The Impact

PurposeCrude oil, gold and interest rates are some of the key indicators of the health of domestic as well as global economy. The purpose of the study is to find the shock volatility and price volatility effects of gold and crude oil market on interest rates in India.Design/methodology/approachThis study finds the mutual and directional association of the volatility of gold, crude oil and interest rates in India. The bi-variate GARCH models (Diagonal VEC GARCH and BEKK GARCH) are applied on the sample data of gold price, crude oil price and yield (interest rate) gathered from November 30, 2015 to November 16, 2020 (weekly basis) to investigate the volatility association including the volatility spillover effect in the three markets.FindingsThe main findings of the study focus on having a long-term conditional correlation between gold and interest rates, but there is no evidence of volatility spillover from gold and crude oil on the interest rates. The findings of the study are of great importance especially to the policymakers, as they state that the fluctuations in prices of gold and crude oil do not adversely impact the interest rates in India. Therefore, the fluctuations in prices of gold and crude may generally impact the economy, but it has nothing to do with interest rate in particular. This implies that domestic and foreign investments in the country will not be affected by gold and crude oil that are largely driven by interest rates in the country.Practical implicationsGold and crude oil are two very important commodities that have their importance not only for domestic affairs but also for international business. They veritably influence the economy including forex exchange for any nation. In addition to this, the researchers believe the findings will provide insights to policymakers, stakeholders and investors.Originality/valueGold and crude oil undoubtedly influence the exchange rates but their impact on the interest rates in an economy is not definite and remains ambiguous owing to the mixed findings of the studies. The lack of studies related to the impact of gold and crude oil on the interest rates, despite them being essentials for the health of any economy is the main motivation of this study. This study is novel as it investigates the volatility impact of crude oil and gold on interest rates and contributes to the existing literature with its findings.

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The Long-Term Dynamics in Crude Oil Prices

Applied Mechanics and Materials ◽

10.4028/www.scientific.net/amm.260-261.846 ◽

2012 ◽

Vol 260-261 ◽

pp. 846-851

Author(s):

Bao Ming Qiao ◽

Si Zhang ◽

Hao Jin

Keyword(s):

Crude Oil ◽

Oil Prices ◽

Crude Oil Prices ◽

Oil Markets ◽

Increasing Trend ◽

Empirical Performance ◽

High Volatility ◽

Historical Data Analysis ◽

Jump Diffusion Model

This paper reviews a long-term crude oil markets and trend of dynamic prices during 1986-2011. Based on the hypothesis that crude oil prices dynamics reflect the activity of a competitive market, a jump diffusion model is investigated to examine the empirical performance in a time series. Historical data analysis shows that crude oil prices were characterized by high volatility, high intensity jumps, and strong upward drift, and were concomitant with underlying fundamentals of crude oil markets and world economy. Furthermore, the model forecast that crude oil prices will still have an increasing trend, stay in jump for the next couple of years.

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GLOBAL CRUDE OIL PRICE AND DOMESTIC FOOD COMMODITY PRICES: EVIDENCE FROM INDONESIA

Buletin Ilmiah Litbang Perdagangan ◽

10.30908/bilp.v14i1.406 ◽

2020 ◽

Vol 14 (1) ◽

pp. 95-120

Author(s):

Tiara Kencana Ayu

Keyword(s):

Panel Data ◽

Crude Oil ◽

Local Food ◽

Price Change ◽

Commodity Prices ◽

Oil Prices ◽

Jel Classification ◽

Crude Oil Prices ◽

The Impact ◽

Food Commodity

Abstrak Penelitian untuk menganalisis hubungan antara harga minyak dunia dan harga komoditi pangan di pasar domestik masih jarang ditemukan. Dengan membuat Model Panel Data dari 34 provinsi di Indonesia pada tahun 2010-2017, penelitian ini bertujuan untuk menginvestigasi pengaruh perubahan harga minyak dunia terhadap beberapa harga komoditi pangan lokal (kedelai,import, kedelai lokal, beras lokal, dan jagung lokal). Hasil penelitian ini mengindikasikan bahwa harga minyak dunia dapat memengaruhi harga pangan lokal di Indonesia melalui tingginya biaya pengiriman pada aktivitas impor. Selain itu, harga komoditi pangan dunia juga terbukti dapat memengaruhi harga seluruh komoditi pangan lokal yang diteliti, yang mengimplikasikan bahwa harga komoditi pangan di Indonesia dipengaruhi oleh kondisi pasar internasional. Hasil penelitian ini memberikan masukan bagi pembuat kebijakan di Indonesia untuk mempertimbangkan perubahan harga minyak dunia dan harga komoditi global dalam menstabilkan harga komoditi lokal di Indonesia, terutama komoditi yang diimpor. Abstract Globally, studies examining the nexus between global crude oil prices and food commodity prices in domestic markets are scant. Employing a panel data model of 34 provinces in Indonesia from 2010 - 2017, this study investigates the impact of global crude oil’s price change on some local food commodity prices (imported soybean, local soybean, local rice, and local maize). Previous studies found that local food commodity prices in some countries were not affected by global crude oil prices; however, this study, by controlling other factors which could affect local commodity prices, finds different results. This study’s findings indicate that global crude oil prices could affect Indonesia’s local commodity prices due to higher shipping costs in import activity. In addition, global commodity prices are also proved to affect all commodities examined in this study, which implies that local food commodity prices in Indonesia are influenced by the international market. This study provides input to policymakers in Indonesia to consider the movement of global crude oil prices and global commodity prices in stabilizing local food commodity prices in Indonesia, especially the imported commodities. JEL Classification: F15, O13, Q11

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An Empirical Analysis of Financial Sector Development and Savings Mobilization in Nigeria: ECM Analysis

Journal of Economics Management and Trade ◽

10.9734/jemt/2019/v24i230162 ◽

2019 ◽

pp. 1-11

Author(s):

Ikubor Ofili Jude

Keyword(s):

Stock Market ◽

Crude Oil ◽

Oil Prices ◽

Financial Sector ◽

The Other ◽

Domestic Saving ◽

Financial Sector Development ◽

Crude Oil Prices ◽

Domestic Savings ◽

Short Run

This study employs Error Correction Model (ECM) and Co-integration analysis to study the relationship between financial sector development and savings mobilization in Nigeria 1986 to 2017. As expected from a developing country like Nigeria, a short-run positive relationship is observed between the Nigerian stock market and crude oil prices and the direction is from crude oil prices to the Nigerian stock market but not the other way round. The short run, interest rate earning has a positive and significant impact on domestic savings while the other variables have no significant impact domestic savings in Nigeria. Government should therefore consolidate on past financial sector reforms to improve domestic saving mobilization to reduce the dependence of Nigeria on foreign savings to finance domestic investment.

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Relationship between International Crude Oil Price and Indian Stock Market (NSE)

Interscience Management Review ◽

10.47893/imr.2011.1081 ◽

2011 ◽

pp. 63-73

Author(s):

Rajendra Mahunta

Keyword(s):

Crude Oil ◽

Global Economy ◽

Stock Exchange ◽

Oil Prices ◽

Oil Price ◽

Raw Material ◽

Crude Oil Price ◽

New Era ◽

Crude Oil Prices

In this new era of economic growth, the exceptional increase in the crude oil prices is one of the significant developments that affect the global economy. Crude oil is an important raw material used for manufacturing sectors, so that increase in the price of oil is bound to warn the economy with inflationary inclination. The study examine the long-term relationships between CNX NIFTY FIFTY index of National Stock Exchange and crude price by using various econometric test. The surge in crude oil prices during recent years has generated a lot of interest in the relationship between oil price and equity markets. The study covers the period between 01.01.2010 and 31.12.2014 and was performed with data consisting of 1245 days. The empirical results show there was a cointegrated long-term relationship between CNX index and crude price. Granger causality results reveal that there is unidirectional causality exists and crude oil price causes NSE (CNX) but NSE (CNX) does not cause oil price.

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Oil Prices, Exchange Rates, And Inflation Expectations In South Africa

International Business & Economics Research Journal (IBER) ◽

10.19030/iber.v14i4.9351 ◽

2015 ◽

Vol 14 (4) ◽

pp. 587

Author(s):

Kin Sibanda ◽

Progress Hove ◽

Genius Murwirapachena

Keyword(s):

South Africa ◽

Exchange Rates ◽

Crude Oil ◽

Positive Impact ◽

Oil Prices ◽

Policy Framework ◽

Series Data ◽

Inflation Expectations ◽

Crude Oil Prices ◽

The Impact

Informed inflation expectations facilitate the extemporisation of a proper monetary policy framework that allows for the achievement of economic objectives, among them price stability. This study used the vector autoregression model to assess the impact of crude oil prices and exchange rates on inflation expectations in South Africa. Monthly time-series data for the period July 2002 to March 2013, obtained from the electronic database of the South African Reserve Bank were used. The study obtained statistically significant results suggesting that both crude oil prices and the exchange rates have a positive impact on inflation expectations in South Africa.

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