Pub Date : 2024-05-21DOI: 10.1108/jfep-01-2023-0022
Trung Duc Nguyen, Lanh Kim Trieu, Anh Hoang Le
Purpose This paper aims to propose a dynamic stochastic general equilibrium (DSGE) model for the State Bank of Vietnam (SBV) to assess the response from the household sector to monetary policy shocks through the consumption function. Moreover, the transmission from monetary policy to household consumption and income distribution is experimented with through the vector autoregression (VAR) model. Design/methodology/approach In this study, the authors used the maximum likelihood estimation to estimate the DSGE and VAR models with the sample from 1996Q1 to the end of 2021Q4 (104 observations). Findings The DSGE model’s results show that the response of the household sector is as expected in the theory: a monetary policy shock occurs that increases the policy interest rate by 0.29%, leading to a decrease in consumer spending of about 0.041%, the shock fades after one year. Estimates from the VAR model give similar results: a monetary policy shock narrows income inequality after about 2–3 quarters and this process tends to slow down in the long run. Research limitations/implications Based on the research results, the authors propose policy implications for the SBV to achieve the goal of price stability, and stabilizing the macro-economic environment in Vietnam. Originality/value The findings of the study have theoretical contributions and empirical scientific evidence showing the effectiveness of the implementation of the SBV’s monetary policy in the context of macro-instability, namely: flexibility, caution and coordination of different measures promptly.
{"title":"The monetary policy of the State Bank of Vietnam, households and income distribution: the evidence from DSGE model","authors":"Trung Duc Nguyen, Lanh Kim Trieu, Anh Hoang Le","doi":"10.1108/jfep-01-2023-0022","DOIUrl":"https://doi.org/10.1108/jfep-01-2023-0022","url":null,"abstract":"\u0000Purpose\u0000This paper aims to propose a dynamic stochastic general equilibrium (DSGE) model for the State Bank of Vietnam (SBV) to assess the response from the household sector to monetary policy shocks through the consumption function. Moreover, the transmission from monetary policy to household consumption and income distribution is experimented with through the vector autoregression (VAR) model.\u0000\u0000\u0000Design/methodology/approach\u0000In this study, the authors used the maximum likelihood estimation to estimate the DSGE and VAR models with the sample from 1996Q1 to the end of 2021Q4 (104 observations).\u0000\u0000\u0000Findings\u0000The DSGE model’s results show that the response of the household sector is as expected in the theory: a monetary policy shock occurs that increases the policy interest rate by 0.29%, leading to a decrease in consumer spending of about 0.041%, the shock fades after one year. Estimates from the VAR model give similar results: a monetary policy shock narrows income inequality after about 2–3 quarters and this process tends to slow down in the long run.\u0000\u0000\u0000Research limitations/implications\u0000Based on the research results, the authors propose policy implications for the SBV to achieve the goal of price stability, and stabilizing the macro-economic environment in Vietnam.\u0000\u0000\u0000Originality/value\u0000The findings of the study have theoretical contributions and empirical scientific evidence showing the effectiveness of the implementation of the SBV’s monetary policy in the context of macro-instability, namely: flexibility, caution and coordination of different measures promptly.\u0000","PeriodicalId":45556,"journal":{"name":"Journal of Financial Economic Policy","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141115839","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-05-21DOI: 10.1108/jfep-08-2023-0222
Manel Mahjoubi, J. Henchiri
Purpose This paper aims to investigate the effect of the economic policy uncertainty (EPU), geopolitical risk (GPR) and climate policy uncertainty (CPU) of USA on Bitcoin volatility from August 2010 to August 2022. Design/methodology/approach In this paper, the authors have adopted the empirical strategy of Yen and Cheng (2021), who modified volatility model of Wang and Yen (2019), and the authors use an OLS regression with Newey-West error term. Findings The results using OLS regression with Newey–West error term suggest that the cryptocurrency market could have hedge or safe-haven properties against EPU and geopolitical uncertainty. While the authors find that the CPU has a negative impact on the volatility of the bitcoin market. Hence, the authors expect climate and environmental changes, as well as indiscriminate energy consumption, to play a more important role in increasing Bitcoin price volatility, in the future. Originality/value This study has two implications. First, to the best of the authors’ knowledge, the study is the first to extend the discussion on the effect of dimensions of uncertainty on the volatility of Bitcoin. Second, in contrast to previous studies, this study can be considered as the first to examine the role of climate change in predicting the volatility of bitcoin. This paper contributes to the literature on volatility forecasting of cryptocurrency in two ways. First, the authors discuss volatility forecasting of Bitcoin using the effects of three dimensions of uncertainty of USA (EPU, GPR and CPU). Second, based on the empirical results, the authors show that cryptocurrency can be a good hedging tool against EPU and GPR risk. But the cryptocurrency cannot be a hedging tool against CPU risk, especially with the high risks and climatic changes that threaten the environment.
目的本文旨在研究2010年8月至2022年8月美国的经济政策不确定性(EPU)、地缘政治风险(GPR)和气候政策不确定性(CPU)对比特币波动率的影响。本文采用了 Yen 和 Cheng(2021 年)的实证策略,他们修改了 Wang 和 Yen(2019 年)的波动率模型,作者使用了带 Newey-West 误差项的 OLS 回归。作者发现,CPU 对比特币市场的波动性有负面影响。因此,作者预计未来气候和环境变化以及无节制的能源消耗将在增加比特币价格波动性方面发挥更重要的作用。首先,据作者所知,本研究首次扩展了不确定性维度对比特币波动性影响的讨论。其次,与之前的研究相比,本研究可被视为首次研究气候变化在预测比特币波动性中的作用。本文从两个方面对加密货币波动性预测的文献做出了贡献。首先,作者利用美国三个不确定性维度(EPU、GPR 和 CPU)的影响讨论了比特币的波动性预测。其次,基于实证结果,作者表明加密货币可以成为抵御 EPU 和 GPR 风险的良好对冲工具。但是,加密货币不能成为 CPU 风险的对冲工具,尤其是在高风险和气候变化威胁环境的情况下。
{"title":"The effect of policy uncertainty on the volatility of bitcoin","authors":"Manel Mahjoubi, J. Henchiri","doi":"10.1108/jfep-08-2023-0222","DOIUrl":"https://doi.org/10.1108/jfep-08-2023-0222","url":null,"abstract":"Purpose\u0000This paper aims to investigate the effect of the economic policy uncertainty (EPU), geopolitical risk (GPR) and climate policy uncertainty (CPU) of USA on Bitcoin volatility from August 2010 to August 2022.\u0000\u0000Design/methodology/approach\u0000In this paper, the authors have adopted the empirical strategy of Yen and Cheng (2021), who modified volatility model of Wang and Yen (2019), and the authors use an OLS regression with Newey-West error term.\u0000\u0000Findings\u0000The results using OLS regression with Newey–West error term suggest that the cryptocurrency market could have hedge or safe-haven properties against EPU and geopolitical uncertainty. While the authors find that the CPU has a negative impact on the volatility of the bitcoin market. Hence, the authors expect climate and environmental changes, as well as indiscriminate energy consumption, to play a more important role in increasing Bitcoin price volatility, in the future.\u0000\u0000Originality/value\u0000This study has two implications. First, to the best of the authors’ knowledge, the study is the first to extend the discussion on the effect of dimensions of uncertainty on the volatility of Bitcoin. Second, in contrast to previous studies, this study can be considered as the first to examine the role of climate change in predicting the volatility of bitcoin. This paper contributes to the literature on volatility forecasting of cryptocurrency in two ways. First, the authors discuss volatility forecasting of Bitcoin using the effects of three dimensions of uncertainty of USA (EPU, GPR and CPU). Second, based on the empirical results, the authors show that cryptocurrency can be a good hedging tool against EPU and GPR risk. But the cryptocurrency cannot be a hedging tool against CPU risk, especially with the high risks and climatic changes that threaten the environment.\u0000","PeriodicalId":45556,"journal":{"name":"Journal of Financial Economic Policy","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141115929","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}