Abstract
This study provides new insight into the asymmetric relationship between oil price (OIL), the exchange rate (REX), economic growth (GDP), and inflation (INF) in the Vietnamese economy, using quantile-on-quantile regression developed by Sim and Zhou (2015) for the period 2000-2021. Our results demonstrate that there exists a strong and positive interaction between GDP, OIL, and INF over the sample period. Similarly, REX has both positive and negative impacts on INF in the middle and high quantiles ofINF’s distribution. These findings suggest that changes in oil price volatility, GDP, and exchange rate are sensitive to the inflation rate in Vietnam in different market conditions, which are significant policies for the Vietnamese government, policymakers, and market participants to reduce inflation in Vietnam.
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