The 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

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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

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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

ix

LIST OF TABLES

Table2.1: Unconventional monetary policy tools used by majorcentralbanks.................25
Table2.2: The differences between CMPandUMP..........................................................36
Table2.3: Studies using the ESM relate to theUS’sUMP policy
announcementsimpactingfinancial markets......................................................................59

Table2.4: Studies using theVARapproach relate to theUS’sUMP policyannouncements
impacting financial markets and therealeconomy................................................................63
Table3.1: Expected correlationsbetweenvariables...........................................................82
Table3.2: Event dates during the global financialcrisisperiod.........................................84
Table3.3: Event dates during the COVID-19pandemicperiod.........................................85
Table3.4: Description of variables and sourceofdata......................................................87
Table4.1: The AAR of the market around theUS’sUMPeventdates.................................99
Table4.2: The CAAR of the market around theUS’sUMPeventdates............................102
Table4.3: AAR of different sectors duringtheGFC........................................................104
Table4.4: AAR of different sectors during theCOVID-19pandemic................................105
Table4.5: CAAR of sectors during the globalfinancialcrisis..........................................106
Table4.6: CAAR of sectors during theCOVID-19pandemic..........................................107
Table4.7: Datastatisticaldescription...............................................................................121
Table4.8: Unit RootTestResult(ADFtest)......................................................................122
Table4.9: Lag order for each model according toselectedcriteria...................................122
Table 4.10: Contribution of CBB shocks to the forecast variance decomposition of GDP
....................................................................................................................................... 130

10

LIST OF FIGURES

Figure 1.1: Zero lower bound asWuand Xia (2016) measure and policy rate of the US
2Figure 1.2:VietnamKOFGlobalizationIndex........................................................................7
Figure 2.1: Monetary policytransmissionmechanism.......................................................21
Figure 2.2: Transmission channel ofQuantitativeEasing....................................................31
Figure 2.3: International transmission mechanism of unconventional monetary policy
33Figure 2.4: Some frontier markets intheworld.................................................................40
Figure 2.5: Three level ofefficient market..........................................................................42
Figure 2.6: Summarize therelatedresearch.......................................................................54

Figure 3.1:Timelengths for window frames used in the eventstudymethod.....................69
Figure 4.1: The number of listed companies on the HOSE during the period from
2007to2022..................................................................................................................... 92
Figure 4.2: The market capitalization during the period from 2000to2022.....................93
Figure 4.3: VNINDEX and the total trading volume during the period from 2000 to2022
....................................................................................................................................... 94
Figure 4.4: VNINDEX and trading volume during the global financialcrisisperiod........95
Figure 4.5: VNINDEX and trading volume during theCOVID-19pandemic....................96
Figure 4.6: GDP growth ofVietnamfrom 2000to2022.....................................................97
Figure 4.7: Inflation inVietnamfrom 2000to 2022...........................................................98
Figure 4.8: The AAR of the market around theUS’sUMPeventdates................................101
Figure 4.9: CAAR of the market during the GFC period andCOVID-19period.............103
Figure 4.10: CAAR of sectors during the GFC andCOVID-19periods..........................109
Figure 4.11: CAAR of the market during the GFC period and COVID-19 period by
themarket-adjustedmodel................................................................................................. 111
Figure 4.12: CAAR of sectors during the GFC and COVID-19 periods by the market-
adjustedmodel................................................................................................................. 111
Figure 4.13: Correlation between total assets of FED and real GDP growth in Vietnam
.......................................................................................................................................116
Figure 4.14: Correlation between total assets of FED and inflationinVietnam.................117
Figure 4.15: Correlation between shadow short rate of the US and real GDP growth
inVietnam..................................................................................................................... 117

Figure 4.16: Correlation between the shadow short rate of the US and inflation
inVietnam..................................................................................................................... 118
Figure 4.17: Correlation between the VIX index and real GDP growthinVietnam...........119
Figure 4.18: Correlation between VIX index and inflationinVietnam...............................119
Figure 4.19: Correlation between capital flow and real GDP growthinVietnam...........120
Figure 4.20: Correlation between capital flow and inflationinVietnam.........................121
Figure 4.21: Responses of GDP and CPI to theUS’sUMPshock....................................123

Figure 4.22: Responses of GDP and CPI to theVIXshocks...........................................124
Figure 4.23: Responses of GDP and CPI to theCFshock..............................................124
Figure 4.24: Responses of equity returns to theCFshocks.............................................125
Figure 4.25: Responses of GDP and CPI to theSPshocks..............................................125
Figure 4.26: Responses of GDP and CPI to the FOREX andIRRshocks.......................126
Figure 4.27: Responses of IRR to theUS’sUMPshocks.................................................126
Figure 4.28: Contribution of theUS’sUMP shocks to the forecast
variancedecompositionofGDP....................................................................................... 128
Figure 4.29: Contribution of theUS’sUMP shocks to the forecast
variancedecompositionof CPI........................................................................................129
Figure 4.30: The response of GDP to theUS’sUMP shock in the period of GFC
andduring thepandemiccrisis.........................................................................................129
Figure 4.31: The response of CPI to theUS’sUMP shock in the period of GFC andduring
thepandemiccrisis......................................................................................................... 130
Figure 4.32: Responses of GDP to the SSR, VIX andCFshocks...................................132
Figure 4.33: Responses of CPI to the SSR, VIX andCFshocks.......................................132

ABSTRACT

During the global financial crisis of 2007 – 2008 and the COVID-19 pandemic,
conventional monetary policies were ineffective as the policy rates of central banks
approached zero bounds. In this context, central banks of developed countries have
resorted to unconventional monetary policies (UMP) with tools such as quantitative
easing, forward guidance, etc. This study examines the impact of the US’s UMP on the
financial market and the real economy of Vietnam from 2007 to 2022. As a small, open
country that is part of the frontier market group and is increasingly integrating with the
world, Vietnam is somewhat affected by the monetary policies of developed countries,
especially the US.

The event study method examines the stock market's immediate reactions to the

FED's official UMP announcements. In addition, with theSVARmodel, the study

examines the impact of theUS’sUMP,represented by theFED’scentral bank balance

sheet(CBB)indicator,ontherealeconomyofVietnam,measuredbytwovariables:GDP growth and

inflation. The research results show that the Vietnamese stock market positively reacts to the

information about theUS’sUMP,as represented by two positive indicators, AAR and

CAAR, which are positive with different time windows in different crisis periods.

However, the results also show that during the GFC period, the market reacted

immediately when the information was announced, while during the COVID-19

pandemicperiod,themarketreactedearlier.Besides,theincreaseinthemarketduringthe COVID-

19periodwasmoresignificantthanthatoftheGFCperiod.Thisdifferencemay be due to UMP's

context, scale, and implementation time in the two periods. The results

ofindividualsectorsalsopositivelyreacttotheinformationoftheUS’sUMP.Theresults of

theSVARmodel with lag eight also show that an expansionary monetary policy by

unconventionalmeasuresleadstoanincreaseinVietnam’soutput,andpriceindexeshave

increasedsignificantly.Incontrast,onlytheGDPresponsehasincreasedsignificantlyfor the nine

months. However, the response of GDP to a change in CBB is more robust than

thatoftheCPI.Furthermore,riskaversionhasaninfluenceonGDPandCPIinVietnam. A surge in

the VIX index signals increased risk aversion, leading to a quick drop in GDP following the

shock, reaching its peak after five months. The results indicated that the impact of the shock

caused by the Fed's balance sheet expansion on the Vietnamese real

economyinGFCwasgenerallytwotimeshigherthanduringtheCOVID-19crisis.The

xiii

research results have been robustness tested with a different model for measuring AAR
and CAAR and replacing CBB with Wu and Xia’s shadow short rate variable.

Withthe results obtained, the study proposes policies such as (i) researching the
implementation of UMP policy suitable for Vietnam, (ii) enhancing the development of
thefinancialmarkettoattractforeigncapitalflows,(iii)monitoringthemonetarypolicies
ofdevelopedcountries,especiallytheUS,toadjustdomesticmonetarypolicyproactively,
(iv) building resilience and promoting economic self-sufficiency in the face of external
shocks.Finally,the study also proposes recommendations for investors about investment
opportunities in the Vietnamese stock market before the announcements related to
theUS’smonetarypolicy.

Keywords:Unconventional monetary policy, Event study method,
SVAR,Financial market, Real economy.

14

TÓM TẮT

Trong giai đoạn khủng hoảng tài chính tồn cầu 2007 – 2008 và đại dịchCOVID-

19, chính sách tiền tệ truyền (CSTT) thống không thể phát huy hiệu quả khi lãi suất điều hành của các Ngân

hàng Trung ương (NHTW) về cận khơng. Trong bối cảnh đó, các NHTW của các quốc gia phát triển đã sử

dụng đến CSTT phi truyền thống với các cơng

cụnhưnớilỏngđịnhlượng,địnhhướngchínhsách,lãisuấtâmv.v.Nghiêncứunàynhằm mục tiêu xem

xét ảnh hưởng của CSTT phi truyền thống của Mỹ tác động đến thị trường tài chính và nền kinh

tế thực củaViệtNam trong giai đoạn từ 2007 đến 2022. Với vị thế là một quốc gia nhỏ,

mở của nằm trong nhóm thị trường cận biên và ngày càng gia tăng

sựhộinhậpvớithếgiới,ViệtNamphầnnàochịuảnhhưởngtrướccácchínhsáchcủacác quốc gia trên

thế giới, đặc biệt làMỹ.

Phươngphápnghiêncứusựkiệnđượcsửdụngđểxemxétnhữngphảnứngtứcthì của thị

trường chứng khốn trước những thơng báo chính thức của Cục dự trữ liên bang

Mỹ(Fed)vềCSTTphi truyềnthống(UMP).Ngồira,vớimơhìnhvéctơtựhồiquycấu

trúc(SVAR),nghiên cứu xem xét ảnh hưởng của CSTT phi truyền thống của Mỹ, vớiđại

diệnlàchỉtiêubảngcânđốikếtoáncủaFed(CBB),tớinềnkinhtếthựcViệtNam,được

đolườngbởi2biếnlàtăngtrưởngtổngsảnphẩmquốcnội(GDP)vàchỉsốgiátiêudùng (CPI). Kết

quả nghiên cứu cho thấy thị trường chứng khốnViệtNam có phản ứng tích cực trước các

thông tin về CSTT phi truyền thống của Mỹ, thể hiện qua hai chỉ tiêu lợi nhuận bất

thường trung bình (AAR) và lợi nhuận trung bình tích luỹ (CAAR) dương với các khung

cửa sổ thời gian khác nhau trong các giai đoạn khủng hoảng.Tuynhiên, kết

quảcũngchothấytronggiaiđoạnkhủnghoảngtàichínhtồncầu,thịtrườngchứngkhốn phản ứng ngay khi

thơng tin công bố, trong giai đoạn đại dịch COVID-19, thị trường có

phảnứngsớmhơn.Ngồira,phảnứngcủathịtrườngtronggiaiđoạnCOVID-19lớnhơn so với giai

đoạn khủng hoảng tài chính tồn cầu. Sự khác biệt này do bối cảnh, quy mô và thời gian thực

hiện CSTT phi truyền thống của Mỹ trong hai giai đoạn. Kết quả của

cácngànhriênglẻcũngcósựphảnứngtíchcựctrướccácthơngtincủaCSTTphitruyền

thốngcủaMỹ.KếtquảcủamơhìnhSVARcũngchothấyCSTTmởrộngthơngquacơng cụ phi

truyền thống dẫn đến GDP và CPI ởViệtNam đã tăng đáng kể, tuy nhiên chỉ có

phảnứngcủaGDPđãtăngđángkểtrong9thánglàcóýnghĩathốngkêvàphảnứngcủa GDP đối với

sự thay đổi trong CBB mạnh hơn so với CPI. Hơn nữa, chỉ số đo lương rủi

roVIXcóảnhhưởngđếnGDPvàCPIởViệtNam.MộtsựtănglêntrongchỉsốVIXcho

thấy sự tăng lên của rủi ro, dẫn đến việc giảm nhanh chóng của GDP sau cú sốc, đạtmức
cao nhất sau năm tháng. Kết quả cho thấy tác động của cú sốc do sự mở rộng của bảng
cânđốikếtốncủaFedlênnềnkinhtếthựccủaViệtNamtronggiaiđoạnkhủnghoảntài
chínhtồncầulàgấpđơisovớitrongcuộckhủnghoảngCOVID-19.Kếtquảnghiêncứu được kiểm
tra tính vững với cách đo lường lợi nhuận bất thường và lợi nhuận bất thường tích lũy bằng
cách sử sụng một mơ hình khác và thay thế CBB với biến lãi suất ngắn hạn tính lại
theo(Wuvà Xia,2016).

Với kết quả tìm được, nghiên cứu đưa ra đề xuất một số hàm ý chính sách như:(i)
nghiêncứuthựcthiCSTTphitruyềnthốngphùhợpvớibốicảnhViệtNam, (ii) tăng cường phát triển thị trường
tài chính để thu hút dịng vốn nước ngồi, (iii) theo dõi chính CSTT của các nước phát
triển, đặc biệt là Mỹ để điều chỉnh CSTT trong nước một cách chủ động, (iv) xây dựng
khả năng phòng vệ và khả năng tự chủ của nền kinh tế trướccác
cúsốctừbênngoài.Cuốicùng,nghiêncứucũngđềxuấtnhữngkhuyếnnghịchonhàđầu tư về cơ hội
đầu tư trên thị trường chứng khốnViệtNam trước những thơng tin công bố liên quan đến
CSTT củaMỹ.

Từ khóa:Chính sách tiền tệ phi truyền thống, nghiên cứu sự kiện, Véc tơ tự
hồiquy cấu trúc, thị trường tài chính, nền kinh tế thực.

1

1 CHAPTER 1:INTRODUCTION

1.1 MOTIVATIONOFRESEARCH

Mishkin (2022) stated that central banks worldwide predominantly employ a very

short-terminterestrateastheirprimarypolicytool.IntheUnitedStates,theFederalReserve (Fed)

conducts monetary policy by adjusting the Federal funds rate. According to Federal Reserve

(2021), Fed implements monetary policy by employing a number of measures to control financial

circumstances that promote progress toward its dual mission goals1. Monetary policy has a

direct impact on short-term interest rates, which in turn affects other financial conditions

such as stock prices, the dollar's exchange value, and asset prices. Through these channels,

monetary policy affects the actions of people and companies, impacting total spending,

investment, production, employment, and inflation in the United States. Under normal

economic circumstances, monetary policy changes short-term interest rates and various

actions that central banks take to influence the economy and financial

markets.However,theeffectivenessofconventionalmonetarypolicy(CMP)instrumentshas not yielded the

desired outcomes about financial stability, deficit reduction, and debt reduction, particularly considering recent

financial and debt crises and the more recent pandemic and its devastating effects on the globaleconomy.

In2008,duringtheglobalfinancialcrisis(GFC),andagainin2020,theFederalfunds rate reached

zero due to economic collapse caused by epidemics, requiring additional stimulus measures. How

can the Fed and other central banks support the economy when short-term interest rates still are near

zero?Toaddress the limitations imposed by the zero lower bound on short-term interest

rates, the United States (US) and other advanced economies (AEs) have also introduced

new measures known as non-standard monetary

policyorunconventionalmonetarypolicy(UMP).AccordingtoBernanke(2022),thecentral bank lowered

its short-term interest rate target to zero and committed to keeping it at that level for as long as necessary.

When short-term interest rates approach the zero-bound (as shown inFigure 1.1), economists refer

to this as the "zero lower bound," signifying thatthecentralbank'sCMPtoolhasreacheditslimitandcannot

be further employed to provide stimulus. Consequently, not only is it difficult for central banks to reduce interest rates

further,butitalsobecomeschallengingtoachievetheirinflationgoals.Thisglobalcrisishas

1Federal Reserve’s actions, as a central bank, to achieve the “dual mandate” goals specified by Congress: maximum
employment and stable prices in the United States

led to significant disruptions in the financial markets and a severe economic downturn in
advanced economies and other countries worldwide.

In response to this situation, UMP appeared and played a pivotal role in managing

central banks' monetary policies, particularly during prolonged economic crises. UMPseeksto

impact macroeconomic variables by adjusting medium and long-term interest rates by altering the central bank's balance sheet, providing forward

guidance, and implementing negative interest rates. One of the most significant tools within UMP is Quantitative Easing (QE). In 2008, the Fed

introduced a new tool: Large-Scale Purchases of longer-term securities, specifically government-guaranteed mortgage-backed securities (MBS). In

various forms, this tool would play a central role in the monetary strategies of many central banks in the subsequent years (Bernanke, 2022).

Implementing Large-Scale Asset Purchase

(LSAP)operationshassignificantlyexpandedtheFed'sbalancesheetandaffectedlong-term bond yields.

During the 2007–2009 financial crisis and the recent pandemic, Fed and numerous other central banks

relied extensively on these tools (Bernanke, 2022). Another essential tool is forward guidance, designed

to influence financial conditions by shaping market expectations of future monetarypolicy.

Figure1.1:ZerolowerboundasWuandXia(2016)measureandpolicyrateoftheUS

Percent

6.00
5.00

4.00

3.00

2.00
1.00

0.00
-1.00

-2.00
-3.00

-4.00

Jun2007 Jan2007 US policy rate Zero lower bound

Source: IFS – IMF data and Wu and Xia (2016) shadowrate

The widespread adoption of numerous UMPs during the GFC brought about
significant transformations in both financial markets and the real economy, affecting both
advancede c o n o m i e s a n d t h e r e s t o f t h e w o r l d , p a r t i c u l a r l y e m e r g i n g e c o n
omymarkets

(EMEs)anddevelopingcountries.ThedeploymentofUMPtoolsinAEsreducedbondyields and increased
real GDP, stock prices, and the Consumer Price Index (CPI). Additionally, it spurred portfolio flows into
other countries, resulting in heightened real output growth and positive responses from the
financialmarkets.

The instability in global finance has persisted since the GFC. The outbreak of the
COVID-19 pandemic in late 2019 delivered a severe shock to economies worldwide. Most
nations resorted to lockdowns and isolation measures to have the pandemic's spread,

resulting in economic stagnation. Consequently, global GDP experienced a significant
decline in 2019, approximately 3%, and is expected to continue falling sharply in the
subsequentyears.Incontrast,duringthe2009financialcrisis,theglobalGDPlosswasonly 0.1%
(Gopinath, 2020). Economies faced a pronounced and enduring increase in unemployment and
public debt, and many businesses closed or went bankrupt. To mitigate the adverse economic
impacts of COVID-19, central banks swiftly implemented a range of robust policies. These
measures included interest rate cuts, liquidity support for commercial banks, and various forms
of support for private sectors. In this context, UMP once again played a pivotal role in the policy
management of central banks when the pandemic hurt stock markets by reducing stock returns,
and CMP did not reverse the adverse impact of the pandemic (Iyke & Maheepala,2022).

In the United States, as a response to the COVID-19 pandemic, Fed took measuresto
support the economy in the face of new challenges. In March 2020, there were two special sessions of the Federal Open Market
Committee (FOMC) intending to bolster economic activity. On March 3, 2020, Fed lowered the Federal funds rate, initially from a range
of 1.5%to1.75%toarangeof1%to1.25%.Later,onMarch16,therangewasfurtherreduced to 0%-0.25%
(Tepper & Adams, 2024). In August 2020, the Fed announced significant changes to its monetary
policy-making framework process initiated before the pandemic. These changes were designed to
enhance the potency of monetary policy in an environment
whereinterestrateswerealreadylow.Insubsequentmonths,theFedprovidedfurtherclarity by explicitly
stating its commitment to keeping interest rates low for as long as necessary. Concurrently, concerns
about the virus triggered the worst week in US financial markets sincethe2007–
2009financialcrisis,servingasawarningsignalfortheeconomy(Bernanke, 2022). This is only the
second time this interest rate has reached the zero lower bound. In
thisc o n t e x t , i t i s e s s e n t i a l t o e x a m i n e h o w t h i s U M P a f f e c t s b o t h t h e r e a l e c o n o
myand