Truyền dẫn chính sách tiền tệ tại việt nam astract english

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INTRODUCTION
THE SIGNIFICANCE OF RESEARCH
Theoretical and experimental transmission of monetary policy
Monetary policy is one of the most important economic policy of the national economy. Actions of monetary policy (Practiacal
study and application) seeks to three goals that is growth, inflation and employment. Monetary policy is the central bank of the
country in the world to reg`ulate the operating cash flow.
Bernanke and Gertler (1995) suggests that the effects of monetary policy through interest rate policy to influence market interest
rates through lending and deposit operations, however, the different through stages of economy. Interest rate and exchange rate
channel is more policy makers choose to run monetary policy to affect the real sector of the economy (Kuttner and Mosser (2002)
and Clinton and Engert (2000), Ibrahim, M (2005) ...
Besides the traditional channels, mechanism of monetary policy is transmitted through various channels such as the credit
channel, asset price channel. According to Christina D. Romer and David H. Romer (1993) the act of monetary policy through
the credit channel in two ways. Firstly, the tightening of monetary policy through interest rate tool will make all kinds of interest
rate increases. Secondly, the actions of monetary policy can directly affect the availability of financing types lenders.
Vietnam's economic situation
Before the global financial crisis of 2008, the domestic economic situation complicated, especially in the period from 2000 to
2005. Although economic growth in this period quite stable at 6.79% in 2000 to 8.44% in 2005 while inflation rose from 2% in
2000 to 8% in 2005. The average credit growth of 21%/ year in the period 2000 and 2001 to 41.5% increased in 2004. Under the
influence credit growth together with the development of the stock market have made the economy the highest growth in this
period is 8.44% in 2005.
After the financial crisis of 2008, the economic situation is unstable fluctuations, inflation complicated fluctuations, to 28.32%
highest in 8/2008. Growth is maintain low, 6.31% in 2008, 5.12% in 2012 and 5.89% in 2014.
Mechanism of monetary policy operating in Vietnam
Interest rate policy
State Bank operated through interest rate refinancing, refinancing interest rate from 2001 to 2008 ranged from 4.8% to 7.5%. The
period 2008 to 2009, interest rates are constantly changing, the highest is 15% and the lowest was 7%. The period 2010 to 2013,
interest rates continued volatile changes, in 2010 the interest rate is 7% but to 2012 refinancing interest rate increases to 15% then
fell to 6.5% in 2014.
Exchange rate regime

Abolish the official exchange rate instead of floating exchange rates associated amplitude. State Bank to change the amplitude of
each specific phase. USD / VND increase from 2001 to the present: the exchange rate in 12/2001 is 15,069, monthly 7/2006
is16,008 and monthly 5/2014 is that 21,195
Credit policy
Depending on the stage of economic development in particular, the State Bank of Vietnam issued credit policy different each.
Credit tightening policy making credit growth dropped to 21.4% in 2006, while growth remained at around 8%. In 2007, the year
in which the stock market has grown excessively as investment demand for the stock to rise. High profitability of stock market
growth has increased to 53.89% credit, the highest level in the decade.
Other policies
NHNN (the State Bank of Vietnam)dated 26/07/2013 Vietnam launches debt trading company (VAMC) in order to clear the
credit to commercial banks in Vietnam. Also previously dated 06/01/2013 Vietnam State Bank loan package offering support
social housing together with other policies.
Experimental researches in Vietnam
Last time(Previously), many studies on policy and the monetary policy transmission in Vietnam, the study has made certain
achievements and approaches of the different researhes. Le Viet Hung and Wade Pfau (2008), Nguyen Phi Lan (2010), Tran
Ngoc Tho and Nguyen Huu Tuan (2013), Nguyen Khac Quoc Bao (2013), Bach Thi Phuong Thao (2011), Nguyen Thi Ngoc
Trang and Luc Van Cuong (2012), Pham Thi Tuyet Trinh (2013), Dinh Thi Thu Hong and Phan Dinh Manh (2013. These


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researches have studied separation between the channels through different stages, not aggregate the in the transmission channel.
These reasons on choosing the topic "Transmission mechanism of monetary policy in Viet Nam" is extremely urgent. The
research project aims to overcome the limited points of the previous research contract time finding new points relating to the
transmission mechanism of monetary policy in Vietnam.
THE GAPS OF RESEARCH
- There are many studies of monetary policy transmission in the word, but very few studies of transmission of monetary policy
for developing countries and countries with emerging economies such as Vietnam.
- In Vietnam there have been some studies of monetary policy transmission, but only stopped in the study probably every single
transmission channel, no combination of transmission channels in determining the extent effectiveness of each channel.
- There aren’t study to determine the relationship between policy rates and lending rates, between policy rates and credit.

- There aren’t study to discuss the Vietnam State Bank interest rate policy implemented in the relationship between changes in
inflation and economic growth.
RESEARCH SUBJECTS
Based on research gaps, thesis research subjects related to policy transmission mechanism in Vietnam through the transmission
channel as the interest rate channel, exchange rate channel and the credit channel. In addition, since the impact of the channel to
the final goal (growth and inflation) through intermediate variables should research the details of objects in the transmission
mechanism such as money supply, stock price index securities, interest rates, import and export growth.
OBJECTIVES OF THE STUDY
The objective of the thesis is to clarify the transmission mechanism of monetary policy in Vietnam through channels such as the
interest rate channel, exchange rate channel and the credit channel to the ultimate goal is growth and inflation, from the that result
may suggest that monetary policy more effective:
- Simulation of the transmission channels of monetary policy in Vietnam include: interest rate channel, exchange rate channel
and the credit channel, thereby determining the effective level of this channel.
- Analysis of transmission mechanisms in policy rates to lending rates of commercial banks in Vietnam and the scale of private
credit. The results of this analysis to help evaluate the effectiveness of interest rate transmission channel in Vietnam.
- Analysis of the factors affecting the decision to adjust policy interest rates in Vietnam, which determine the policy interest rate
changes based on the target with the inflation or growth or not?
- Proposal on measures aimed at increasing the effectiveness of monetary policy operating in Vietnam in the near future based on
the research results achieved.
RESEARCH QUESTION
To achieve the research objectives, research should (aim to) answer the following questions:
- There exists the validity of such channels: the interest rate channel, exchange rate channel, the credit channel in the transmission
mechanism of monetary policy in Vietnam or not?
- The level of transmission from the tool to the intermediate target variable and final goals like?
- Executive refinancing interest rate has to rely on changes in growth and inflation in Vietnam or not?
- Transmission from policy rates to market rates has absolutely no?
- The instrument variables, intermediate variables and target variables targets exist long term relationship or not?
- There exists a causal relationship of the variables in the transmission mechanism of monetary policy in Vietnam or not?
RESEARCH SCOPE
Researching the monetary policy transmission in Vietnam through channels phase from 2001 to 2014.

RESEARCH METHODS
To achieve above goals, Author uses research methods: qualitative analysis and quantitative analysis methods.
Qualitative analysis method: Author used this method to analyze the situation of monetary policy operating through channels
such as the interest rate channel, exchange rate channel and the credit channel. Results situational analysis as a basis for building
models of quantitative analysis.


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Quantitative analysis method: - Using regression model by means of self-regression vector correlation VAR (vector auto
regression) and structural VAR model (SVAR- Structural VAR). Using VAR method allows us to determine the interest rate
shocks on economic variables Bernanke (1986), Sims (1986) and Blanchard and Watson (1986).
- The analysis is based on the method of least squares (ordinary least squares: OLS) single equation dissertation help solve the
second goal and third.
- Subject methods are combined with an examination on the link to review the long-term relationship of the channel to the other
economic variables. Also the author also uses testing methods to examine Granger causality relationship between the variables in
the transmission channel and other economic variables.
MEANING OF SCIENCE AND PRACTICE OF THESIS
- Formalized brief, complete theory of monetary policy transmission of famous economists in the world.
- Modeling the monetary policy transmission in Vietnam through channels such as the interest rate channel, exchange rate
channel and the credit channel.
- Identify the relationship between interest rate policy run-interest loans, private credit growth, which also recognizes the right to
decide to change the policy rates to market rates and increased credit growth.
- Determine the correlation between interest rate policy to inflation and economic growth in the real economy in Vietnam
recently.
- Topic determine the changes of target variables (growth, inflation) in the transmission mechanism of monetary policy shocks
from the variable component tools (refinancing interest rate, exchange rate, credit), before the shock of the intermediate variables
(money supply, interest rate, stock price index, export and import) and vice versa.
- Define a long-term relationship between the variables representing the transmission channel (refinancing interest rate, exchange
rate and credit) to the intermediate variables (money supply, interest rates, exports and imports) and target variables (growth,
inflation) through analysis linked contracts. Also new search was the subject of causality between the instrumental variables,

intermediate variables and the target variable transmission mechanism of monetary policy in Vietnam.
NEW POINTS OF THESIS
- Research aggregate channels in the transmission mechanism of monetary policy in Vietnam, which shows the validity of each
channel in the operating mechanism monetary policy of the Central Bank in Vietnam.
- Through the transmission channel, thesis tested the impact of the tool variable to the intermediate target variables, thus helping
to identify intermediate objectives in the transmission mechanism of the channel to the final goal hard.
- Thesis verify how the central bank to adjust interest rate policy in the relationship between inflation and economic growth,
which in turn can help to identify the correct target the central bank in managing monetary policy through interest rate channel
productivity.
- Thesis also determines the extent of the impact of policy rates to lending rates, private credit growth, which makes the central
bank clearly oriented transmission mechanism from policy interest rates to lending interest rates, an important contribution to
regulate credit growth, contributed to curbing inflation and boosting economic growth.
STRUCTURE OF THESIS
The structure of thesis is divided into 5 chapters as follows:
Introduction
Chapter 1: Theoretical foundations and research overview of transmission of monetary policy.
Chapter 2: The situation of monetary policy operating Vietnam between 2001 and 2014
Chapter 3: Methodology of Research
Chapter 4: Findings and discussion
Chapter 5: Conclusions and suggested solutions


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CHAPTER 1
THEORETICAL FOUNDATIONS AND RESEARCH OVERVIEW OF TRANSMISSION OF MONETARY POLICY
1.1 OBJECTIVES OF MONETARY POLICY
In each period certain economic, with the combination of methods impact on the volume of money in circulation, monetary
policy to set specific targets. In the monetary policy is usually 3 types of goals: Operational objectives, intermediate objectives
and ultimate goals.
1.1.1 The ultimate goals

According to Mishkin (2010), monetary policy to be achieved 6 ultimate objectives is creating jobs, economic growth, stable
prices, stable interest rates, stable financial markets and stabilize the foreign exchange market .
1.1.2 Intermediate goals
Intermediate goals of monetary policy including criteria are central banks select in order to achieve the ultimate goals of
monetary policy. The intermediate goals is usually the central bank of country in the world used is market interest rates, money
supply or credit, hence the need to achieve the ultimate goals concerning GDP.
1.1.3 Operational objectives
Operational objectives have organic relationships with intermediate goals, intermediate goals are the result of operational
objectives. So the selection of the operational objectives are important, operational objectives are central banks that use shortterm interest rates, reserve requirements and open market.
1.2 THEORY TRANSMISSION OF MONETARY POLICY
1.2.1 Transmission of monetary policy
1.2.1.1 The process of development of the theory of monetary policy transmission
The 1930s, Smith and Ricardo, Fisher, Marshal and Pigou, John Keyness has studied the transmission of monetary policy through
rate of cash flow. Hicks (1937), for the first time outlined the relationship between interest rates and money by using the IS-LM
model, Melzter (1995) sum up the above theory.
Friedman (1965) confirmed the increase in fiscal spending and money supply contributed to increased inflation. Brunner and
Meltzer (1972) fiscal policy may also affect the transmission of monetary policy. Lucas (1972) stated that monetary policy is
ineffective if the market reaches equilibrium. Sargent and Wallace Lucas (1976) applicated theory’ Lucas and said that the
expected money supply shock has no effect on real economic activity.
Kydland and Prescott (1982) explain the change in the economy from the expectations of the shock from the real sector as
technology shocks, oil prices and bad weather. But Friedman (1986) argues this idea by arguing that a reasonable expectation
ignores several important variables such as capital and wealth in the analysis of transmission mechanisms. Mankiw (1989)
analysis of prices and wages from a grassroots perspective on competitive micro information completely and perfectly. Stiglitz
and Weiss (1981) argued that the risk of unwanted and unidentified in the elasticity of interest rates led to changes in the
economy. In addition, a number of articles using micro base to demonstrate the interaction of financial markets affect the real
parts of the economy (Bernanke, 1983; Eckstein and Sinai, 1986; Hamilton, 1987) .
Summary, the transmission mechanism of monetary policy can be divided into two perspectives: Firstly, is the view of
currencies, including interest rates, exchange rates and asset prices; Secondly, is the view of credit, including bank credit and
asset balance channel.
1.2.1.2 The concept of transmission mechanism of monetary policy

Transmission mechanism of monetary policy is defined as the process of implementing the monetary policy decision making
changes in the money supply or interest rates affect macroeconomic variables of the economy. Especially the change of monetary
policy through the channels of influencing the ultimate goal is growth and inflation (John B. Taylor. 1995), Minskin, F. S., 1996).
Meltzer (1995) said that the key in the transmission mechanism of monetary policy is to reconcile long-term factors and shortterm factors of macroeconomic variables.
1.2.2 The transmission channels of monetary policy
1.2.2.1 Interest rate channel


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Interest rates are one of the tools of monetary policy, is the most important tool the central bank uses to execute the monetary
policy in order to influence the money supply in the economy, thereby affecting the variables other macro. In the economic
model of the famous economist John Keyness, interest rate transmission channel to economic growth through the following
process:
Money Suply decrease  Interest Rate increase  Investment descrease  Yields descrease
Interest rates affect investment: interest rate is the cost of inputs of capital flows should significantly impact business results of
investment entities in the economy. A change in interest rates greatly influence investment decisions.
Interest rate decrease  Investment increase Yields increase
Interest rates affect consumers: Once interest rates fall, the majority of household financial savings feel your low interest
generated individual that does not want to send more consumers switched from there increase demand in the short term
Policy interest rate decreaseMarket interest rate decreaseConsume increaseCPI increase
Interest rates affect the exchange rate: The interest rate parity theory of Fisher a change in interest rates has an impact on the
exchange rate.
Interest rates affect the stock price index
Transmission mechanism related to the stock price impact: (i) investment; (Ii) the balance of the assets of the enterprise) and (iii)
the wealth of households.
Interest rates affecting real estate prices
Property prices affect aggregate demand through the channels: (i) a direct impact on housing expenses; (Ii) household wealth;
(Iii) bank balance sheets.
1.2.2.2 Exchange rate channel
Exchange rate is one of the important tools in conducting monetary policy, also is an important transmission channel for the

transmission of related policies including price through exchange rate changes to elements prices in the economy, such as import
prices, producer prices, consumer prices, real estate prices, stock price index ....
Impact on net exports
When exchange rate changes affecting import and export situation in the country, the exchange rate increase mean domestic
currency devaluation, this made domestic commodity prices cheaper than international.
According to Mishkin (1995), the impact of monetary policy through the exchange rate channel is shown in the following order:
Money supply descrease Interest rate increase Exchange rate decreaseNet expor decrease  Yield decrease
Impact on balance sheet assets
The exchange rate impact on balance sheet assets, particularly affecting the multi-national company, the investment company
directly into the water. Exchange rate increases make calculated value of foreign currency assets decreased, reducing borrowing
needs.
Exchange rate increaseNet asset value decreaseLoans descreaseInvestment decreaseYields decrease
Taylor (1995) emphasized the importance of the international environment, based on flexible exchange rate policy, a change in
exchange rates may affect the parts of the economy. In order to maintain a fixed exchange rate regime, the Government must
intervene in the market by selling more local currency, thus the effects of monetary policy tightening is weak (Obstfeld and
Rogoff, 1995).
Impact on credit operations
Exchange rate impact channel borrowing through interest rates, domestic interest rates tend to increase, rising interest rates make
the amount of foreign currency into the country more.
Impact on investment activity
The exchange rate impact on investment activity through financial flows between countries.
Impact on the consumer price index


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The developed countries have a stable monetary policy, the correlation between the exchange rate and consumer price index is
usually lower (Miskin, 2008). This observation is consistent with a study by (Rebelo, 2007, Gagnon, 2004; Goldfanajn and
Werlang, 2000). Gagnon and Ihrig (2004) suggest that the correlation between the exchange rate and inflation. McCarthy (2004),
found that a reduction in the exchange rate impact on inflation for the major industrial countries.
The exchange rate impact on the producer price index (PPI)

The exchange rate impact on the producer price index by the import price, the exchange rate impact on import prices in the
country from which the impact on prices of inputs in the production of such material, labor and science and technology factors.
Money Supply decreaseExchange rate increaseImport price increaseProducer price increaseYields decrease
McCarthy (2000) studied the effect exchange rate policy and import prices on producer price index and consumer price index for
the nine industrialized countries have concluded that exchange rate changes have a strong impact on the index domestic prices as
CPI and PPI.
Impact on Stock Price Index
Phylaktis and Ravazzolo (2000) and Woo (2000) provide evidence on the relationship between exchange rates and stock markets.
Joseph (2002), Vygodina (2006), studying the relationship between the exchange rate and the stock price index. Tulin Anlas
(2012) studied the relationship between the exchange rate between the US dollar and Canadian dollar with the stock price index
ISE 100.
1.2.2.3 Credit channel
Monetary policy transmission is performed according to the diagram on Bayyoumi and Melader (2008) are similar to Bernanke's
research and Gertler (1995). Through lending channel, the impact of monetary policy transmission are as follows:
Money supply increase Bank deposits increase Bank loans increase Investment increase Yeilds increase
Or through the interest rate
Money supply decrease Interest rate increase Bank loans decrease Investment decrease Yeilds decrease
Credit affects consumers and consumer price index
Credit and impact on consumer price index through the following diagram:
Reserve requirement decrease M2 increase Market interest rate decrease  Loans increase  Consumers increase
Prices increase CPI increase (Miskin, 1995)
Or
Rediscount interest rate decrease  Market interest rate decrease  Loans increase  Consumer increase Price increase
CPI increase
Credit and investment impact on economic growth
Money supply increase Interest rate decrease Bank loans increase Investment increase Yields increase
Credit impact on the stock price index
Money supply increase Interest rate decrease Credit increase Investment increase Stock price index increase
Credit impact on the stock price index through investment decisions on the stock market. Credit easing policy to stimulate
investment through the stock channel, credit easing policy through attractive interest rates has made investors more because this

is an opportunity for investors to be able to mobilize low cost capital sources.
Credit affects real estate prices
Credit and property prices have bidirectional relationship, one side contributing credit real estate market, changes in credit policy
easing will lead to the real estate market increased, so that real estate prices rising (Chun Tsai, 2010).
1.2.2.4 Asset price channel.
Property prices are seen as factors assessed the wealth of enterprises and households. So monetary policy changes that could
significantly impact the increase or decrease of the assets through price or a manifestation of the price. In 1933 after the world
economic crisis, economists Fisher gave finding that the decrease in the stock price could be the cause of the economic crisis.


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Later (de Leeuw and Gram-lich, 1969) research indicates that the channel properties are viewed as a transmission channel for
monetary policy.
1.3 OVERVIEW OF PREVIOUS STUDIES RELATED TO MONETARY POLICY MANUAL TRANSMISSION
1.3.1 Overview of the research in the world
Tobin (1963), Tobin (1970), Lucas (1972), Eugene Fama (1980), Blinder và Stiglit (1983), King, R. G., & Plosser, C. I. (1984),
Bernanke (1986), Bernanke and Blinder (1992), Morsink và Bayoumi (2001), Al-Mashat (2003), Disyatat and Vongsinsirikul
(2003), Ramlogan (2004), Elbourne, Haanb (2006), Al-Mashat và Billmeier (2007), Mala Raghavan và Param Silvapulle (2007),
Amarasekara (2008), Bayangos (2010), Kabundi and Nonhlanhla (2011), Ncube and Ndou (2011), Mohanty và Turner (2008),
Mukherjee and Bhattacharya (2011), Acosta-Ormaechea and Coble (2011) Mishra and el (2010), Bhattacharya and el (2011),
Łyziak T., Przystupa J., and Wróbel E (2008), Benkovskis (2008), Jimborean (2009), Egert and Macdonald (2006), Atif Ali Jaffri
(2010), Abdul Aleem (2010), Rokon Bhuiyan, Deepak Mohanty (2012), Vasile COCRIŞ & Anca Elena NUCU (2013).
1.3.2 Overview of domestic research
In Vietnam, the study of monetary policy have long, however quantitative research on the transmission of monetary policy is
only implemented in recent years. The researchers studied the transmission of monetary policy through channels such as interest
rates, exchange rates, asset price channel. The results of the study have solved a certain number of objectives related to the
transmission mechanism of monetary policy in Vietnam: Le Viet Hung Wade D. Pfau &. (2008), Nguyen Phi Lan (2010),
Nguyen Thi Ngoc Trang and Luc Van Cuong (2012), Tran Ngoc Tho et al (2013), Nguyen Khac Quoc Bao (2013), Pham Thi
Tuyet Trinh (2013), Zhou Khanh Lan (2013), Nguyen Phuc Landscape (2014).
Conclusion Chapter 1

The process of development of the theory of monetary policy transmission to the impact on the economy through various
transmission channels. Monetary policy through interest rate policy, exchange rate policy impacts directly and indirectly through
intermediate target to the ultimate goal. Many studies indicate that transmission through multiple channels, achieve monetary
policy objectives depend on the operation of the tool fit each period of economic development. The study also pointed out that
the interest rate channel is the most important channel, followed by the exchange rate channel, the credit channel and asset price
channel. The transmission channel relationship interrelated and impact on growth and inflation.


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CHAPTER 2
STATE OF MONETARY POLICY OF VIETNAM
2.1 MONETARY POLICY THROUGH THE INTEREST RATE
2.1.1 Operations Phase interest rate policy before 2005
Fixed interest rate policy
This interest rate policy in the State Bank of Vietnam (SBV) implementation period January 1989 until 5/1992. Under this
mechanism, the central bank intervence direct and a high level of interest in giving through the base rate and fixed directly on
deposit rates and lending rates applicable to sender money and borrowers. Implementing this mechanism makes the negative real
interest rates, and this is the stage heavily subsidized properties as lending rates for State Enterprises (SOE) is lower than for nonstate enterprises, interest rates sometimes lower nominal rate of inflation, short-term lending rates higher than long-term lending
rates.
Policy interest rates under the frame
This policy is implemented 6/1992 month period to 1995. The content of this policy is the interest rate the central bank operating
under the frame rate, which is clearly stipulated interest rate floor and ceiling lending rates for actors in the economy.
Commercial banks (CBs) and credit institutions (CIs) based on the framework of the central bank interest rates to take out the
appropriate interest rate.
Policy ceiling interest rate
This policy was implemented in 1996 the central bank to March 7/2000. This policy has changed a step the central bank that is to
remove the floor instead applies only ceiling interest rate. This mechanism was initially liberalize deposit rates and lending rates
controlled by taking the cap lending rates. SBV sets a ceiling lending interest rate for the term of the debt at the same time control
the spread between deposit rates and lending rates not exceeding 0.35% of the / month, or 4.2% / year. Period before interest
applied by commercial banks should fire upon this mechanism has overcome most of the banks have a high profit margin, while

businesses have difficulty in finance
Basic interest rate policy band together
Operating mechanism base rate is implemented in the period January to March 5/2002 8/2000. This mechanism is applicable
statutory interest rate the central bank to replace the mechanism of ceiling interest rate. Starting May 8/2000, the central bank
launched a new mechanism in which the interest rate lending rates in local currency adjusted follow base rate by the central bank
offering. However, commercial banks are not calculated lending rate exceeds 0.3% / month for short-term loans and 0.5% /
month for medium and long term loans.
Agreed interest rate policy
This interest rate mechanism is the state bank launched to apply in the period from 6/2002 to 05/2005. The decision was issued
on 06/01/2002, this is a big change enables banks and credit institutions more active in deciding interest rate input and interest
rate output.
2.1.2 Operating phase of interest rate policy in 2005 so far
Interest rate management under Article 476 of the Civil Code 2005
After many years, from 2002 to 2007 Vietnam's growth was higher than 7% / year, reaching 8.46% in 2007. However, inflation
remains high on the double-digit 12.6% in 2007 due to easing monetary policy, fiscal policy and inefficient public investment.
Budget deficit from 2001 to 2007 on average 4.95% / GDP. Entering 2008 the Vietnamese economy is not only facing
unpredictable world economy, but also faces many internal difficulties such as inflation increased (from 9.3% 10/2007 to 8/2008
28.32%), trade deficit reached a record of more than 14% of GDP, the stock markets were difficult to witness the VN-index fell
sharply and continuously for several months (from 1,065 points 10/2007 to 8/2008 539 points).
Chart 2.1: Basic interest rate period 2000-2008

LSCB
015%
010%
005%
000%

LSCB

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In 2009 according to Decision No. 172 / QD-NHNN dated 23/01/2009 continue to implement loose monetary policies adopted by
the applicable cuts interest rate on the day 02.01.2009, Special Interest basic rate decreased from 8.5% further to 7% / year,
reduced the refinancing rate to 7% / year, the discount rate reduced to 6% / year, interest rates open market operation to 7% /year.
Along with the change of the basic interest rate, the goal is to develop the money market according to the market mechanism.
SBV has in turn made the circulars (03/2010-TT-NHNN, 07/2010-TT-NHNN, 12/2010-TT-NHNN) allows banks and credit
institutions to borrowers at an interest rate agreement .
Table 2.1: The average interest rate banks in 2010
Date

1month

3months

6months

9months

12months

24months

36months

31/12/2009

10,29%

10,35%

10,37%

10,36%

10,37%

10,39%

10,38%

30/06/2010

11,19%

11,38%

11,47%

11,47%

11,51%

11,32%

11,32%

21/12/2010

13,68%

13,65%

13,34%

13,05%

13,38%

12,34%

12,35%

Interest rate management agreements to market rates towards the management of the SBV
In 2011 continues to be difficult for the domestic economy under pressure from the world economy. Inflation continues to rise
(from 12.7% to 20.85 6/2011 1/2011 month) while the stock market and real estate market plummeted.
Chart 2.2: The base interest rate, refinancing interest rate in 2010-2014
16%
14%
12%
10%
8%
6%
4%
2%
0%

LSCV
LSCB

Interest refinancing state banks to adjust from 10% in 11/2012 dropped to 8% in 3/2013, on 18/03/2014 reduced to 6.5%, since

then remained at this level .
2.2 MONETARY POLICY THROUGH EXCHANGE RATE
2.2.1 Movements in the exchange rate and monetary policy management through the exchange rate channel phases before
and after the world economic crisis of 2008
2.2.1.1 The period after the Asian financial crisis and before the world economic crisis in 2008
- On 26/02/1999: SBV decided to terminate the official exchange rate and the exchange rate fell to 0.1%
- From 26/2/1999-30/6/2002: application of a 0.1% trading band.
- From the year 2002-2006: 0.25% margin is fixed,
- Early 2007: exchange rate band widened: On 02/01/2007, the central bank widened the exchange rate of + 0.25% higher over
the interbank rate.


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Chart 2.3: Exchange rate fluctuations period 1999-2008
18000

TG NHTM:USD/VNĐ

17000
16000
15000

13000

T9/1999
T7/2000
T7/2001
T8/2002
T9/2003
T11/2…

T3/2005
T6/2005
T9/2005
T12/2…
T3/2006
T6/2006
T9/2006
T12/2…
T3/2007
T6/2007
T9/2007
T12/2…
T3/2008
T6/2008
T9/2008
T12/2…

14000

Right from the beginning of 2007, the central bank decided to expand the fluctuation range, but the VND / USD was down, even
the first months of the year, the share price falls 12:33%. But the trade balance and current account balance deficits and inflation
was 27.9% relatively large.
Chart 2.4: Exchange rates, exports and imports
100%

25000.0

080%
20000.0

060%
040%

15000.0

020%

MIG
10000.0

-040%

2005M1
2005M9
2006M5
2007M1
2007M9
2008M5
2009M1
2009M9
2010M5
2011M1
2011M9
2012M5
2013M1
2013M9
2014M5

000%
-020%

MXG

-060%

EXU

5000.0
-

From 10/2007 to 04/04/2008, especially after the central bank to loosen exchange rate fluctuation range from 0.75% to 1%, the
nominal exchange rate of USD / VND decreased by 1.2% (VND rose), on 04/04/2008 exchange rate are $ 1 = 15,960 VND.
Chart 2.5: Refinancing interest rate and exchange rate USD / VND
016%
014%
012%
010%
008%
006%
004%
002%
000%

25000.0
20000.0
15000.0
10000.0

IRD

5000.0

EXU

2005M1
2005M9
2006M5
2007M1
2007M9
2008M5
2009M1
2009M9
2010M5
2011M1
2011M9
2012M5
2013M1
2013M9
2014M5

-

2.2.2 The period after the world economic crisis so far
First, the exchange rate and the average interbank exchange rate by listed banks always shown very little difference in the
exchange rate band is too tight. Second, the rate quoted by commercial banks are slithering announced upward trend (constant
currency devaluation) adjacent to the average rate on the interbank. Third, on the free market exchange rate of USD/VND always
higher than the official rate, banks are using the amplitude allowed in the dollar price listed.


11

Table 2.2: The amplitude correction rate
Effective date

Amplitude adjustment

10/03/2008
27/06/2008

+/- 1%
+/-2%

07/11/2008
24/03/2009

+/-3%
+/-5%

25/11/2009

+/-3%

11/02/2011
28/06/2013

+/-1%
+/-1%

12/08/2015

+/-2%

19/08/2015

+/-3%

2.3 MONETARY POLICY EXECUTIVE THROUGH CREDIT CHANNEL
Vietnam, a developing economy, the role of credit is very important in promoting the production and circulation of goods.
Because of this importance that during the period from 2001 to the present, the economic policy making in support of positive
credit channel.
Chart 2.6: Credit growth, economic growth and inflation
060%
050%
040%
030%

GDP

020%

DC

010%

CPI

000%

Looking at the chart shows that credit growth in 2007 reached a record 51.39%, this year is considered the hottest years of
development of the credit market. The impact of the stock market and real estate market increases demand for investment capital.
Conclusion Chapter 2

The results of analysis of the state of monetary policy in Vietnam through the transmission channel of monetary policy period
from 2001 to the present shows that monetary policy is implemented fairly flexible. SBV use more flexible policies, particularly
the policy interest rate, exchange rate to be used regularly alongside other policies, such as the credit policy ...
Monetary policy is still to rely on administrative impact, it is not possible to change the free market partly showed the economy is
not operating properly objectives and tools but toward freedom. By analyzing the current situation highlights the need to better
define the importance of the transmission channels, determine the level of impact. Especially need to define the objectives of the
selected channel as well as tools to influence the final goal through the transmission channel. The empirical analysis through
quantitative models will help solve this problem.


12
CHAPTER 3
RESEARCH METHODS
3.1 RESEARCH MODELS
In the framework of the analysis of the transmission of monetary policy to the macroeconomic factors of the economy, there are
many methods of measuring the level of transmission. Firstly, using a linear regression model. Secondly, approach VAR and
SVAR models. Thirdly approach methods testing cointegration and models ECM.
3.1.1 The SVAR models and applications
In the 1990s, economic researchers around the world have used the model of vector autoregression (VAR abbreviated) to analyze
the transmission mechanism of monetary policy and the monetary policy framework of economies. Sim (1980) suggested that if a
relationship exists between a variable and then these variables must be considered for the same role, that is, taking into account
all the variables are endogenous variables. SVAR model was Bernanke and Blinder(1992) using for research applications related
to monetary policy.
Chart 3.1: The main steps in the analysis SVAR
Identify SVAR model used:
stationary testing, selecting
appropriate lag
Dismissed model
Determine the
suitability model

Accept model

Forecast

Causality analysis

White noise error terms

Impusle Response Analysis

Variance decomposition
Source: Theo Lutkepohl (2006)

Research will perform the following steps:
Stationary testing (Unit root test)
The purpose determine the stationary of the variable because if non stationary can lead to the phenomenon of regression fake
(spurious regression) in the time series data and thus have forged relationships between variables.
Determine the optimal lag
Based on information standards to determine the suitability of the model (model error as small as possible) or otherwise having
multiple variables in the model forecasts lead to inefficiencies.
Cointegration testing Johansen
Johansen test is a method of testing the possibility of co-linked (cointegration) of a time series of attributes I (1).
Granger causality testing
To view the lag of the X variable to explain to Y (X Granger causal effect on Y) and Y variables may explain the lag of the X (Y
Granger causal impact on X) or not
The forecast in the model selected VAR
Determine the correlation coefficient between the factors in the system of equations and statistical significance of the variables in
the model.
Impulse response analysis

13
Impulse response analysis to help analyze how long it took to the impact of shocks to other variables.
Decomposing variance
Variance decomposition to determine what percentage of the total variance variation is explained by each component, thereby
determining the most influential variables on the dependent variable.
3.1.1.1 SVAR model synthesis frame format in monetary policy transmission mechanism in Vietnam.
Based on the analysis of the monetary policy state in Vietnam and SVAR model theory, in this part model design themes as a
framework of monetary policy transmission mechanism in Vietnam beginning with the instrument variable and the end is the
objectives of the policy variables.
Starting model structured as follows:
Yt= f(IPGt, CPIt, EXUt, IRDt)’

(17a)

Adding exogenous variables, the average lending rate and private credit
Yt= f(OILt, IRUt, IPGt, CPIt, IRLt, EXUt, CPSt, IRDt)’

(17b)

Also to clarify whether the change of transmission channel through the intermediary is the money supply or not, given the subject
more models in the presence of M2t
Yt= f( IPGt, CPIt, M2t, IRLt, EXUt, CPSt, IRDt)’

(18)

3.1.1.2 SVAR models verifiable transmission mechanism of monetary policy Vietnam
The model consists of three groups of endogenous variables: The first, the group's policy target variables included IPGt, CPIt;
The second, intermediate group includes: M2t, VNIt, MIGt, MXGt, IRLt; The third, group representative variable transmission
channels include: IRDt, EXUt, CPSt.

Yt= f( IPGt, CPIt, M2t,VNIt, IRLt, EXUt, CPSt IRDt)’

(19)

Model added two variable export growth and import growth, these variables are also intermediate.
Yt= f( IPGt, CPIt, M2t, MIGt, MXGt, IRLt, EXUt, IRDt)’

(20)

The use of these two variables to assess the monetary policy transmission through the exchange rate channel impact on how to
export and import growth, contributing an impact on the ultimate goal of monetary policy.
Chart 3.2: Design model SVAR measure of monetary policy transmission in Vietnam
The transmission channels
of monetary policy

SVAR model theory

Exogenous variable
Xt= f(OILt, IRUt)

SVAR Model
Yt= f(IPGt, CPIt, M2t,
IRDt)

Transmission of monetary
policy, including the
instrument and the goal
variable
Add variable
lending rates

SVAR Model
Y1= f(IPGt, CPIt, M2t, IRLt, IRDt)
Y2= f(IPGt, CPIt, VNIt, M2t, IRLt, IRDt)

Transmission
through the interest
rate channel
Add
variable
rate

SVAR Model
Y1= f(IPGt, CPIt, M2t, IRLt, EXUt, IRDt)
Y2= f(IPGt, CPIt, M2t, IRLt, MIGt, MXGt, EXUt, IRDt)

Transmission through
the exchange rate
channel
Add variable
credit
growth

SVAR Model
Yt= f(IPGt, CPIt, M2t, IRLt, EXUt, CPSt, IRDt)
Yt= (IPGt, CPIt, VNIt,M2t, IRLt, EXUt, CPSt, IRDt)

Transmission through
the credit channel

14
3.1.1.3 Format structural shocks
The thesis determines the structure of the shock based on model have intermediate variables. Similar to previous studies, the
policy shocks in the SVAR model is determined the expected standard deviation to be outside from the system behavior of
monetary policy. Meanwhile errors in models of each equation SVAR was the shock of the corresponding endogenous variables.
Matrix A0 in SVAR model of equation (18) is determined as follows::

etIPG

1

0

0

0

0

0

0

εtIPG

etCPI

a21

1

0

0

0

0

0

εtCPI

etM2

a31

a32

1

0

a35

0

0

εtM2

a41

a42

a43

1

0

0

0

etIRL

=

εtIRL
εtCPS

etCPS
a51

a52

a53

a54

1

0

0
εtEXU

etEXU
etIRD

a61

a62

0

0

a65

1

0

a71

a72

a73

a74

a75

a76

1

εtIRD

Matrix Bi SVAR model is defined as follows:
b11
0

0

0

0

0

0

0

b22

0

0

0

0

IPGt

etIPG

0

CPIt

etCPI

M2t

etM2

0

0

b33

0

0

0

0

0

0

0

b44

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

b55
0
0

b66
0

IRLt

0

=

etIRL

CPSt

etCPS

EXUt

etEXU

IRDt

etIRD

b77

The format of the matrix structure in which the author has references from previous studies, especially studies in countries with
open economies, such as Vietnam. Author reference implementation of research projects in the small open economy in recent
years as Mala and Param Silvapulle Raghavan (2007), Mala Raghavan et al (2009) studied the Malaysian monetary policy, Abdul
Aleem (2010) studied the transmission of monetary policy in India, Shahawaz Karim et al (2011) monetary policy on the
economy of New Zealand, Tran Ngoc Tho and Nguyen Huu Tuan (2013), Pham Thi Tuyet Trinh (2013) while studying in
Vietnam.
3.1.2 The relationship between interest rate policy to inflation and growth.
To examine whether the central bank operating policies based on changes in inflation and economic growth or not, more research
topics measurement model the impact of changes in inflation and economic growth to the rate productivity.


15
Model study authors recommended under Bayangos and Jansen (2009), Bayoumi and Melander (2008), Richard Clarida, Jordi

Gali, and Mark Gertler (1999), Rudebusch and Svensson (1999), Bernanke and Gertler (1995) . The model proposed is as
follows:
IRDt-IRDt-1 = α1 + α2 (CPIt-CPIt-1) + α3 (IPGt-IPGt-1) + εt

(21)

Where: IRDt is refinancing interest rate that the central bank refinancing apply to commercial banks. IRD t – IRDt-1 is the periodic
interest rate difference with the previous period, the variable measuring changes in policy rates that central bank change over the
period. CPIt is inflation at time t, CPIt-1 is inflation at time t-1, IPGt the growth index of industrial output value represents the
variable of economic growth at time t, IPGt-1 the growth index of industrial output value at time t-1.
3.1.3 The level of transmission from policy rates to lending rates, private credit growth
To test the level of direct transmission from policy rates to market rates, topic research the model reflect the direct relationship
from the goal and instrument variables. Model study authors recommended under Bayangos and Jansen (2009), Bayoumi and
Melander (2008), Rudebusch and Svensson (1999), Bernanke and Gertler (1995). In this model, the dependent variable IRLt,
IRDt as independent variables reflecting % change from policy rates to impact how the market rates.
IRLt = β1+β2IRDt + εt

(22)

CPSt = ʎ1+ʎ2IRDt + εt

(23)

Where: IRLt is the average lending rate of commercial banks, lending rates affected directly from the discount rate, when the
central bank changed the discount rate, the lending rate will be changed. Whether actual or not the theory that financial markets
of each country each other. Besides it also depends by many other factors such as interest rate differences deposits and lending
rates ....
3.1.4 Model test factors affecting private credit.
Economic growth, money supply and real interest rates have a great effect on credit (Bernanke and Gertler (1995). The model
study authors Bernanke and Gertler proposed under (1995), Bayangos and Jansen (2009) , Bayoumi and Melander (2008).

CPSt = π1 + π2IPGt – π3(IRLt-CPIt)+ π4M2t+ εt

(24)

Where: CPSt is private credit growth represents credit in the economy, as growth IPGt industrial output value represents
economic growth, the lending rate IRLt, inflation previous period CPIt-1, M2t is money supply, IRLt – CPIt is real lending rates. In
this model shows changes in private credit depends on the real output.
3.2 VARIABLES AND DATA SOURCE
Table 3.1: Summarize variables
No

Variable

Interpret

Sources

CPIt

Growth in industrial product
value.
Consumer price inflation

Quỹ tiền tệ thế giới
IMF
International
Monetary Fund (IMF)

3

IRDt

Refinancing interest rate

4

IRLt

5

M2t

The average lending interest
rate
Money supply growth

6

EXUt

Exchange rate USD/VND

State
Bank
of
VietNam
International
Monetary Fund (IMF)
International
Monetary Fund (IMF),

ADB Bank
State
Bank
of
VietNam

7

CPSt

Claim Private Sector Growth.

ADB Bank

8

VNIt

VN Stock Price Index

HCM Stock Exchange

9

MIGt

Mechanisn Import Growth

10

MXGt

Export Growth

11

IRUt

Federal interrest rate FED.

12

OILt

World oil prices.

International
Monetary Fund (IMF)
International
Monetary Fund (IMF)
International
Monetary Fund (IMF)
Website:
www.eia.gov.

1

IPGt

2

Used in previous studies
Cushman và Zha (1997), Fung (2002), ..
Mishkin, F. S. (2003), Raghavan và Param Silvapulle
(2007) Atif Ali Jaffri (2010), Tran Ngoc Tho and Nguyen
Huu Tuan (2013)…
Bernanke và Gertler (1999), Elbourne và de Haan (2006)..
Piti Disyatat, Pinnarat Vongsinsirikul (2003), Abdul Aleem
(2010), Tran Ngoc Tho and Nguyen Huu Tuan (2013)…
Blanchard, O., Quah, D (1989), Mishkin, F. (1995),…

Fama, E., (1984), Soyoung Kim (2000), Kasajima, S., &
Lewis, S. (2001), Pham Thi Tuyet Trinh (2013), ..
Bernanke, B.S. và Gertler, M. (1995), Bayoumi và Ola
Melander (2008), Veronica B. Bayangos (2010)
Sellin, P., (2001), Ben S. Bernanke and Kenneth T Kuttner
(2005),..
Carlos Cortinhas (2007), Türsoy, Günsel, Rjoub (2008),
Tulin Anlas (2012), Phạm Thị Tuyết Trinh (2013)
Carlos Cortinhas (2007), Türsoy, Günsel, Rjoub (2008),
Tulin Anlas (2012), Phạm Thị Tuyết Trinh (2013)
Cushman and Zha (1997), Dungey and Pagan (2000), Fung
(2002), and Tang (2006),..
Carlos Cortinhas (2007), Aslanoğlu (2008), Nguyễn Khắc
Quốc Bảo (2013)


16
3.3 RESEARCH DESIGN
To perform empirical studies, subjects given the study design as follows:

Chart 3.3: Study design of monetary policy transmission
Mechanism Transmission
of monetary policy

Transmission channels
of monetary policy

The objective of
monetary policy

Situation monetary policy
operating in Vietnam

Modeling the monetary policy
transmission in Vietnam

Models multivariate
variable linear regression
(OLS)

Testing multi-line
inspection, corrective
variance changes

Estimating and
analyzing results

SVAR Model
(Interest rate channel, Exchange
rate channel, Credit channel)

Cointegration testing,
Granger causality test

Check the fit of the
model

Impulse response
analysis

Testing stationary,
determining lag

Variance decomposition
Analysis

Analysis

Conclusions and recommendations
solutions monetary policy operating in
Vietnam
Source: Author's design
Conclusion Chapter 3
To analyze the transmission mechanism of monetary policy, the author used SVAR model to analyze the transmission
mechanism from the instrusment variables to the intermediate goals and ultimate goals through estimation methods, response
analysis shock response and variance decomposition analysis. Using linear regression models to test the relationship between the
target variable and the tool. Also subject also uses test methods to test the copper link long-term relationship between the
variables and methods to test Granger causality relationship between the tool and the target variable.

17
CHAPTER 4
RESULTS OF RESEARCH
4.1 INSPECTION OF STATISTICS
4.1.1 Analysis of data description
The data used for quantitative research, the authors used data by month, monthly data should promptly macroeconomic
fluctuations of the economy, especially the variables in the monetary policy transmission Vietnam . Also, using SVAR model is
very sensitive to seasonal changes, while monthly data are often influenced by seasonality, so data included in the model type
affects authors of seasonal factors by Census X12 service tool.
Table 4.1: Results Descriptive statistics
Variable

Mean

Median

Maximum

Minimum

Std. Dev.

Probability

Obs

IPG_SA

0.126

0.114

0.685

(0.128)

0.099

0.000

150

CPI_SA

0.092

0.074

0.299

0.006

0.063

0.000

150

M2_SA

0.264

0.263

0.515

0.102

0.086

0.035

150

CPS_SA

0.275

0.269

0.652

0.022

0.131

0.044

150

IRB_SA

0.084

0.081

0.137

0.068

0.012

0.000

150

IRD_SA

0.078

0.067

0.152

0.047

0.029

0.000

150

IRL_SA

0.120

0.113

0.188

0.085

0.027

0.000

150

IRU_SA

0.020

0.010

0.067

0.005

0.019

0.000

150

OIL_SA

65.202

62.118

119.016

15.985

27.865

0.006

150

VNI_SA

429.243

422.511

1119.41

137.36

220.688

0.000

150

MIG_SA

0.199

0.205

0.838

(0.400)

0.185

0.000

150

MXG_SA

0.196

0.207

0.408

(0.214)

0.130

0.000

150

4.1.2 Testing stationary
In SVAR models, the stationary of data series is very important, the data series must be stationary or cointegration. This section
authors used unit root tests to check the stationary of the data series. If the original data series does not stationary, the data series
must stationary at the first different.
Variable
IPGt
CPIt
IRDt
IRLt
M2t
CPSt
MIGt
MXGt
VNIt
IRUt
OILt
EXUt

Table 4.2: Results unit root tests
Variable name
T- Statitic
Prob

Result
Growth industrial product
3.735
0.005 Stationary at D(0)*
Consumer price index
4.022
0.0017 Stationary at D(0)*
Refinancing interest rate
8.574
0.000 Stationary at D(1)*
Interest rates
2.889
0.049 Stationary at D(0)**
Money supply growth
3.28
0.017 Stationary at D(0)**
Claim Private Sector Growth.
2.730
0.071 Stationary at D(0)***
Mechanisn Import Growth
5.637
0.000 Stationary at D(0)*
Mechanisn export Growth
2.607
0.091 Stationary at D(0)***
VN Stock Price Index
8.64
0.000 Stationary at D(1)*
Lãi suất của Mỹ (fed)
5.02

0.000 Stationary at D(1)*
World oil prices.
7.58
0.000 Stationary at D(1)*
Exchange rate USD/VND
10.89
0.000 Stationary at D(1)*
Note: D: Difference, D(0) Original chain, D(1) Difference 1
*(**), (***) significance 1%, 5% and 10%


18
4.1.3 Determining optimal lag
Optimal lag is determined for SVAR model are summarized as follows:
Table 4.3: Results optimal lag test
Lag

LogL

LR

FPE

AIC

SC

HQ

0

1.198.526

NA

1.26e-15

-1.728.298

-1.715.571

-1.723.126

1

2.270.522

2.035.239

3.79e-22

-3.229.741

-31.40651*

-3.193.537

2

2.331.583

1.106.176

2.64e-22*

-32.66062*

-3.100.608

-31.98825*

3

2.362.523

53.36039*

2.87e-22

-3.258.728

-3.016.912

-3.160.460

4

2.383.020

3.356.762

3.64e-22

-3.236.260

-2.918.081

-3.106.960

5

2.403.351

3.152.880

4.67e-22

-3.213.553

-2.819.010

-3.053.220

6

2.431.965

4.188.328

5.37e-22

-3.202.847

-2.731.941

-3.011.483

7

2.457.882

3.568.353

6.53e-22

-3.188.235

-2.640.966

-2.965.838

8

2.490.059

4.150.311

7.36e-22

-3.182.694

-2.559.061

-2.929.265

9

2.530.973

4.921.627

7.48e-22

-3.189.817

-2.489.821

-2.905.356

10

2.568.155

4.149.225

8.22e-22

-3.191.529

-2.415.170

-2.876.036

11

2.603.993

3.687.745

9.51e-22

-3.191.295

-2.338.573

-2.844.770

12

2.649.131

4.252.105

9.99e-22

-3.204.538

-2.275.453

-2.826.981

4.2 RESULT OF REASEARCH
4.2.1 The result of SVAR model frame format
4.2.1.1 The result estimates
According to the table 4.3 model test option optimal latency is 2, the results of testing are summarized as follows:

Independent variable

Table 4.4 : Results SVAR model estimation frame format (Equation 17)
Dependent variable
CPI_SA
M2_SA

IPG_SA
0,162**
0,222
0,246***
-1,225***
0,163
24%

IPG_SA
CPI_SA
M2_SA
IRD_SA
C
R2

-0,599*
0,13*

-0,059***
-0,01
98%

IRD_SA

-0,2**
0,055***
0,005
94%

-0,14**
0,0014
96%

* (**), (***) statistically significant level 1%, 5% và 10%
Based on estimated results Table 4.4 we see industrial output value is affected by itself, affect the same way with the money
supply and the impact inversely to interest rates of refinancing. This result is similar to findings by Oyaromade (2006), Philip
Ifeakachukwu (2012) when studying the transmission of monetary policy in developing countries, Nigeria.
4.2.1.2 Analysis impulse response pattern frame format
Response of growth in industrial output value (IPGt) and inflation (CPIT) before the shock of oil prices (OILt)
Chart 4.1: Response of IPGt, CPIt to Cholesky One S.D OILt
Response of IPG_SA to Cholesky
One S.D. OIL_SA Innovation

Response of CPI_SA to Cholesky
One S.D. OIL_SA Innovation

.016

.016

.012
.012
.008
.004

.008

.000
.004
-.004
-.008

.000

-.012
-.004
-.016
-.020

-.008
2

4

6

8

10

12

14

16

18

20

22

24

2

4

6

8

10

12

14

16

18

20

22

24


19
- Shock of OILt immediate strong impact on the growth of industrial output value, slow impact on inflation, similar to the results
of Jeevan Kumar Khundrakpam research and Rajeev Jain (2012)
Response of growth in industrial output value (IPGt) and inflation (CPIt) before the shock of the Fed's interest rate policy
(IRUt )
Chart 4.2: Response of IPGt and CPIt to Cholesky One S.D IRDt
Response of CPI_SA to Cholesky
One S.D. IRU_SA Innovation

Response of IPG_SA to Cholesky
One S.D. IRU_SA Innovation
.025

.008

.020

.006

.015

.004

.010

.002

.005

.000

.000

-.002

-.005

-.004

-.010

-.006
-.008

-.015
2

4

6

8

10

12

14

16

18

20

22

2

24

4

6

8

10

12

14

16

18

20

22

24

20

22

24

- When the Fed increases interest rates, growth in output value in Vietnam increased and prolonged.
- Slow response of the CPI before Fed interest rate shocks.
Response of growth and inflation before the shock of the policy interest rate
Hình 4.3: Response of IPGt và CPIt to Cholesky One S.D IRDt
Response of IPG_SA to Cholesky
One S.D. IRD_SA Innovation

Response of CPI_SA to Cholesky
One S.D. IRD_SA Innovation

.020

.008

.016

.006

.012

.004

.008
.002

.004
.000

.000
-.002

-.004

-.004

-.008
-.012

-.006

2

4

6

8

10

12

14

16

18

20

22

24

2

4

6

8

10

12

14

16

18

- Growth of industrial output value of hard and fast response before the shock of refinancing interest rates.
- The response of slow and weak CPI before the shock of the refinancing interest rate
Response of the money supply before the shock of interest rate policy
Chart 4.4: Response of M2t to Cholesky One S.D IRDt
Response of M2_SA to Cholesky
One S.D. IRD_SA Innovation
.012

.008

.004

.000

-.004

-.008
2

4

6

8

10

12

14

16

18

20

22

24

- The response of slower money supply almost three months before the shock of interest rate policy, and then increase
slowly.


20
Response of growth and inflation CPIT IPGt before the shock of the money supply
Chart 4.5: Response of IPGt and CPIt to Cholesky One S.D M2t

Response of CPI_SA to Cholesky
One S.D. M2_SA Innovation

Response of IPG_SA to Cholesky
One S.D. M2_SA Innovation
.025

.012
.008

.020

.004

.015
.000
-.004

.010

-.008

.005

-.012

.000
-.016

-.005

-.020

-.010

-.024
2

4

6

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4.2.1.3 Analysis of variance decomposition model frame format
- In short IPGt affected by external factors such as price, interest rates.
- In the short term, inflation sharp change of representative before changing external prices is the price of oil (OILt), then to the
money supply, interest rates and ultimately Fed lending rates.
- In the short-term money supply is affected strongly by the growth of industrial output value and prices outside.
4.2.2 Transmission channel of monetary policy interest rates in Vietnam

4.2.2.1 Model structure and format
Interest rate channel is one of the transmission channels that the central bank seeks to when operating monetary policy,
particularly the impact transmission corridor from policy rates to market rates (interest rates, deposit interest rates, the average
interest rate interbank ...).
Model 1: Model no stock price index VNIt
Yt= f(IPGt, CPIt, M2t,IRLt, IRDt)’
Model 2: Model of the stock price index VNIt
Yt= f(IPGt, CPIt,VNIt, M2t,IRLt, IRDt)’
4.2.2.2 Impulse Response Analysis
Response of growth (IPGt) and inflation (CPIt) before the shock of lending rates (IRLt)
Chart 4.6: Response of IPGt and CPIt to Cholesky One S.D IRLt
Response of IPG_SA to Cholesky
One S.D. IRL_SA Innovation

Response of CPI_SA to Cholesky
One S.D. IRL_SA Innovation

.020

.015

.015
.010
.010
.005

.005
.000

.000

-.005
-.005
-.010
-.015

-.010
2

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- When lending rate increased by 1 unit standard deviation instantly industrial production value increase and the strongest.
- Inflation also accelerated response before changes in lending rates, then subside
Response of the money supply (M2t) before changes in lending rates (IRLt)
Chart 4.7: Response of M2t to Cholesky One S.D IRLt
Response of M2_SA to Cholesky

One S.D. IRL_SA Innovation
.010

.005

.000

-.005

-.010

-.015

-.020
2

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22

24


21
- Response of the money supply very quickly and reverse previous interest rate shocks.
Response of interest rates and (IRLt) changes in interest rates before refinancing (IRDt)
Chart 4.8: Response of IRLt to Cholesky One S.D IRDt
Response of IRL_SA to Cholesky
One S.D. IRD_SA Innovation
.004

.003

.002

.001

.000

-.001

-.002
2

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- The response of lending rates quite quickly before 1 unit standard deviation of policy rates, but the level is not high.
Response of growth (IPGt) and inflation before the shock of the stock price index (VNIt)
Chart 4.9: Response IPGt and CPIt to Cholesky One S.D VNIt
Response of IPG_SA to Cholesky
One S.D. LNVNI_SA Innovation

Response of CPI_SA to Cholesky
One S.D. LNVNI_SA Innovation

.020

.012

.015
.008

.010
.004

.005
.000

.000

-.005
-.004

-.010
-.015

-.008

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- The value of industrial output respond quickly to the shock of the stock price index in a short time, then fell rapidly at the end of
the shock.
- Inflation on the other hand, failure to respond to the shock of the stock price index, changes are put in the first time.
Response of the stock price index (VNIt) before the shock of the money supply (M2t) and lending rates (IRLt), interest
rate refinancing (IRDt)
Chart 4.10: Response of VNIt to Cholesky One S.D M2t, IRDt
Response of LNVNI_SA to Cholesky
One S.D. M2_SA Innovation

Response of LNVNI_SA to Cholesky
One S.D. IRL_SA Innovation

.12

Response of LNVNI_SA to Cholesky
One S.D. IRD_SA Innovation

.08

.08

.06

.08

.06

.04
.02

.04

.04

.00

.00

.02

-.02
-.04

-.04

.00

-.06

-.08

-.08

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-.02

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- The response of the price index before the shock of the money supply is slow, but lasting, then subside.
- Shock of lending rates make the stock price index rose immediately, but in a short time, then declined slowly stretched.
- The response of the stock price index before the shock of the refinancing interest rates quickly and dramatically in a relatively
long time, then declined slowly and steady approach.
4.2.2.3 Analysis of variance decomposition rate channel
- Interest rate changes make growth in industrial output value rapidly changing gradually, very weak in the short and medium
term
- Interest rates change makes change very weak inflation.


22

- The impact of the interest rate on the stock price index was very weak in the short term, but in the long run, the more powerful
- Impact on the money supply makes change very weak money supply in the short term, in the long term is still weak
- Impact on lending rates in the short term and long term with increasing levels.
4.2.3 Channel transmission rates in monetary policy in Vietnam
4.2.3.1 Model and structure format
Model 1: No variable import-export
Yt= f(IPGt, CPIt, M2t, IRLt,EXUt, IRDt)’
Model 2: Add the variable export
Yt= f(IPGt, CPIt, M2t, IRLt,MIGt, MXGt, EXUt, IRDt)’
4.2.3.2 Impulse Response Analysis
Response of growth (IPGt), inflation (CPIt) before the shock of the exchange rate (EXUt)
Chart 4.12: Response of IPG, CPI to Cholesky One S.D EXUt
Response of IPG_SA to Cholesky
One S.D. LNEXU_SA Innovation

Response of CPI_SA to Cholesky
One S.D. LNEXU_SA Innovation

.012

.006

.008

.004

.004

.002

.000

.000

-.004

-.002

-.008

-.004

-.012

-.006

-.016

-.008

-.020

-.010

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- Growth in industrial output value respond quickly to changes in the exchange rate, but in a short time, then slowly and change
direction towards stability.
- Inflation slowed reaction before the shock of the exchange rate in a short time, then declined slowly stretched.
Impulse response between money supply (M2t) and exchange rate (EXUt)
Chart 4.13: Impulse Response between money supply and exchange rate
Response of M2_SA to Cholesky
One S.D. LNEXU_SA Innovation

Response of LNEXU_SA to Cholesky
One S.D. M2_SA Innovation

.004

.010
.008

.000
.006

-.004

.004
.002

-.008

.000
-.012
-.002
-.016

-.004
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- The reaction of reducing money supply before the shock of the exchange rate is very fast and powerful.
- Rates of reaction do not see the money supply shock
Impulse response between (IRDt) and (EXUt)
Chart 4.14: Impulse response between (IRDt) and (EXUt)
Response of IRD_SA to Cholesky
One S.D. LNEXU_SA Innovation

Response of LNEXU_SA to Cholesky
One S.D. IRD_SA Innovation

.003

.004

.002

.002

.001
.000

.000
-.002

-.001
-.004

-.002

-.003

-.006

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- The response of refinancing interest rates is very slow before exchange rate shocks.
- Exchange rate very slowly react before the shock of refinancing interest rate in a very short time, then declined slowly and
progress to long-term stability
Response of growth (IPGt) and inflation (CPIt) before the shock of import growth (MIGt)
Chart 4.16: Response of IPGt, CPIt to Cholesky One S.D MIGt
Response of IPG_SA to Cholesky

One S.D. MIG_SA Innovation

Response of CPI_SA to Cholesky
One S.D. MIG_SA Innovation

.012

.012

.008

.008

.004

.004

.000
.000
-.004
-.004
-.008
-.008

-.012

-.012

-.016
-.020

-.016
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- The response of IPGt before the shock of imported relatively quickly, but in a very short time.
- The response of inflation is very slow and low level before the shock of imports, which rose slowly stretching sua.
Response of growth (IPGt) and inflation (CPIt) before the shock of export growth (MXGt)
Chart 4.17: Response of IPGt, CPIt to Cholesky One S.D MXGt.
Response of IPG_SA to Cholesky
One S.D. MXG_SA Innovation

Response of CPI_SA to Cholesky
One S.D. MXG_SA Innovation

.016

.012

.012

.010
.008

.008
.006

.004

.004

.000

.002
.000

-.004
-.002

-.008

-.004

-.012

-.006

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- The response of IPGt slow growth trend in the early stages before the export shock, then relief and toward long-term stability.
- The shock of inflation makes exports decreased very slightly in the short term, in the long term, slow growth.
Response of export growth (MXGt) and imports (MIGt) before the shock of the exchange rate (EXUt)
Chart 4.18: Response of MIGt and MXGt to Cholseky One S.D EXUt
Response of MIG_SA to Cholesky
One S.D. LNEXU_SA Innovation

Response of MXG_SA to Cholesky
One S.D. LNEXU_SA Innovation

.015

.010

.010
.005

.005
.000

.000

-.005
-.005

-.010
-.015

-.010

-.020
-.025

-.015

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- The shock of the exchange rate makes imports changed unstable in the short term, then declined slowly stretched.
- Exports respond quickly to the shock of the exchange rate in the short term, then reverse the prolonged, the more stable long
term
4.2.3.3 Analysis of variance decomposition
- Rates of other variables affecting very weak in the short term and long term.


24
- Exchange rate impact to very low to interest rates, the impact on weak import, export impact was relatively low, the impact on
the refinancing interest rate faster than the other variables in the short term
4.2.4 Channel Transmission credit in monetary policy in Vietnam
4.2.4.1 Model and structure format
Model 1: Model of the credit channel has not the stock price index
Yt= f(IPGt, CPIt, M2t, IRLt, EXUt, CPSt, IRDt)
Model 2: Model of the credit channel further stock price index VNIt
Yt= f(IPGt, CPIt, VNIt, M2t, IRLt, EXUt, CPSt, IRDt)’
4.2.4.2 Impulse Response Analysis

Response of growth (IPGt), inflation (CPIt), money supply (M2t) before the shock of credit growth (CPSt)
Chart 4.20: Response of IPGt, CPIt to Cholesky One S.D CPSt
Response of CPI_SA to Cholesky
One S.D. CPS_SA Innovation

Response of IPG_SA to Cholesky
One S.D. CPS_SA Innovation
.015

.015
.010

.010

.005

.005
.000

.000

-.005
-.010

-.005

-.015

-.010
-.020

-.015

-.025
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- Shock of little use rapid impact on growth, but in a very short time, and then change back.
- Quick response of inflation to low levels and lasted before the shock of the credit in the short term, in the long term downward
trend again.
Response of the money supply (M2t) before the shock of private credit (CPSt)
Chart 4.21: Response of M2t to Cholesky One S.D CPSt
Response of M2_SA to Cholesky
One S.D. CPS_SA Innovation
.010

.005
.000
-.005
-.010
-.015
-.020
-.025
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The money supply respond slow to shock of the credit for the first time, then fell slowly extended in the short term, in the long
term, the opposite reaction.
Response of credit growth (CPSt) before the shock of lending rates (IRLt)
Chart 4.22: Response of CPSt to Cholesky One S.D IRLt
Response of CPS_SA to Cholesky
One S.D. IRL_SA Innovation
.02

.01

.00

-.01

-.02

-.03
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- The response of the private credit rose faster before the shock of lending rates, but only in the short term, then declined slowly
stretched.
Response between credit growth (CPSt) and interest rate refinancing (IRDt)
Chart 4.23: Response of IRDt and CPSt
Response of CPS_SA to Cholesky
One S.D. IRD_SA Innovation

Response of IRD_SA to Cholesky
One S.D. CPS_SA Innovation

.015

.008

.010

.006

.005

.004

.000

.002

-.005

.000

-.010

-.002

-.015

-.004
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- The shock of refinancing interest rate impact on private credit immediately, but very weak.
- The response increase of the refinancing interest rate before shock of the credit, which lasted in the short term, then the reverse
reaction in the long term.
Response of the stock price index (VNIT) before the credit shock (CPST)
Chart 4.24: Response of VNIt to Cholseky One S.D CPSt
Response of LNVNI_SA to Cholesky
One S.D. CPS_SA Innovation
.04
.02
.00
-.02
-.04
-.06
-.08
-.10
-.12
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- Reduction reaction of the stock price index before the shock of credit, extending the low-level, long-term change direction
slightly.
4.2.4.3 Analysis of variance decomposition
- The private credit market affect the stock, the impact of the contribution of private credit makes the stock price index increase.
- The impact of private credit to make changes in money supply in the short term and long term.
- Impact of exchange rate changes make slow in the short term, but long-term changes quickly.
- Impact of interest rate policy making slow changes in the short term, but in the fast-changing medium.
4.2.5 The model tested the transmission of monetary policy before and after WTO
4.2.5.1 Unit root test and Cointegration testing
Unit root tests show that the sequence data but the original did not stop at the stop level 1 difference.
4.2.5.2 Determining the optimal lag

According to the test results by the criteria AIC, SC and HQ, optimal lag data series for model before WTO is 2 and after WTO is
4.