SỐ 208 | Tháng 7/2023
Giá vàng - Mối quan hệ lạm phát trong trường hợp Việt Nam: nghiên cứu thực nghiệm trong bối cảnh có sự phá vỡ cấu trúc
Dương Thúy Hằng
Tóm tắt:
Mục đích - Bài viết nghiên cứu mối quan hệ giữa giá vàng trong nước và lạm phát ở Việt Nam dựa trên chuỗi chỉ số giá vàng và chỉ số giá tiêu dùng hàng tháng trong khoảng thời gian từ tháng 12 năm 2001 đến tháng 7 năm 2020.
Thiết kế/phương pháp nghiên cứu /phương pháp tiếp cận - Sự kết hợp giữa giá vàng trong nước và lạm phát được kiểm tra trong khuôn khổ sửa lỗi độ trễ phân tán tự hồi quy (thử nghiệm giới hạn ARDL). Bài báo này cũng áp dụng mô hình sửa lỗi vectơ (VECM) và phân tích hàm đáp ứng xung để khám phá mối quan hệ nhân quả giữa hai biến này. Hơn nữa, vì cả chuỗi vàng và chuỗi lạm phát đều có thể có những thay đổi về cấu trúc theo thời gian, nên bài viết này sử dụng phép thử nghiệm đơn vị kiểm soát những sự phá vỡ đáng kể.
Kết quả - Kết quả từ mô hình kiểm tra giới hạn ARDL cho thấy sự hiện diện của sự đồng liên kết giữa các biến cơ bản. VECM chỉ ra rằng những cú sốc về lạm phát dẫn đến phản ứng tiêu cực đối với giá vàng trong thời gian dài. Trong ngắn hạn, chỉ có sự biến động của giá vàng mới tác động đến lạm phát và mối quan hệ nhân quả này là một chiều.
Hạn chế/ý nghĩa nghiên cứu - Vàng được coi là tài sản tài chính quan trọng để bảo toàn tài sản khỏi áp lực lạm phát trong trường hợp của Việt Nam. Những phát hiện này đưa ra những hàm ý cho cả nhà đầu tư và các nhà hoạch định chính sách.
Tính mới/giá trị - Kết quả thực nghiệm cho thấy lạm phát có tác động lâu dài đến giá vàng trên thị trường Việt Nam. Trong trường hợp có một cú sốc lạm phát kéo dài, giá vàng trong nước phản ứng tiêu cực với cú sốc này; do đó, vàng có thể hoạt động như một hàng rào chống lạm phát hiệu quả ở Việt Nam.
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The Gold Price – Inflation Relation in the Case of Vietnam: Empirical Investigation in the Presence of Structural Breaks
Abstract:
Purpose - This paper investigates the relationship between domestic gold prices and inflation in Vietnam based on the monthly series of the gold price index and consumer price index over the period of December 2001–July 2020.
Design/methodology/approach - The co-integration between the domestic gold price and inflation is examined within the autoregressive distributed lag-error correction (ARDL bounds testing) framework. This paper also applies the vector error correction model (VECM) and impulse response function analysis to explore the causal relationship between these two variables. Moreover, since both gold and inflation series are likely to have structural changes over time, a unit root test controlling for significant breaks is employed in this paper.
Findings - Findings from the ARDL bounds testing model suggest the presence of a co-integration between the underlying variables. The VECM indicates that shocks in inflation lead to a negative response to gold prices in the long run. In the short term, only fluctuations in gold prices impact inflation, and this causality is unidirectional.
Research limitations/implications - Gold is regarded as a critical financial asset to preserve wealth from inflation pressure in the case of Vietnam. These findings propose implications for both investors and policymakers.
Originality/value - Empirical results suggest that inflation has a long-term impact on gold prices in the Vietnamese market. In the existence of a permanent inflationary shock, domestic prices of gold respond negatively to this shock; hence, gold can act as a good hedge against inflation in Vietnam.