Asian Journal of Applied Financial Econometrics (AJAFE)

Volume 1_Number 2 , Tháng 8/2026, Trang 64-79

Does monetary policy still affect consumption? Time-varying transmission of credit and interest rates in Vietnam

Chiu Meng-Hsiang, Vũ Tuấn Anh

DOI: 10.63065/ajafe.2026.2.005

Ngày nhận bài: 05/10/2026

Ngày nhận bài sửa: 12/08/2026

Ngày duyệt đăng: 18/08/2026

Email: anhvt@hub.edu.vn

Đơn vị công tác:

Lượt xem: 5

Downloads: 0

Các định dạng trích dẫn

Tóm tắt

Purpose – This study assesses whether monetary policy still affects household consumption in Vietnam; it also assesses the relative contribution of credit and interest-rate shocks (in reduced form) and quantifies how the volatility of consumption’s own shocks evolves over time.

Design/methodology/approach – The study estimates a Bayesian time-varying parameter vector autoregression with stochastic volatility (TVP-VAR-SV) using monthly data from 2013M4 to 2025M12 with four endogenous variables. Dynamic effects are analysed through impulse response functions (IRF), forecast error variance decomposition (FEVD), and the stochastic volatility (SV) of the consumption shock, together with robustness checks. The dataset comprises 153 monthly observations (2013M4–2025M12); retail sales and credit are drawn from FiinPro-X, the refinancing rate from the State Bank of Vietnam, and the CPI from the IMF's IFS.

Findings – The transmission of monetary policy to consumption is weak: consumption responses to both credit and interest-rate shocks are largely statistically insignificant, and neither channel dominates persistently. The most robust finding is that the magnitude of consumption shocks varies markedly over time, with a high-volatility cluster persisting throughout 2020–2023, peaking in September 2022 at roughly eight to eleven times the normal-period level. These findings are consistent across alternative specifications.

Originality/value – This study is the first to assess the time-varying response of Vietnamese household consumption to monetary shocks using monthly retail-sales data. It traces how the relative importance of the credit and interest-rate channels shifts across different states of the economy; through the stochastic-volatility component, it separately quantifies the volatility of consumption’s own shocks, distinct from changes in the transmission mechanism; and it extends the TVP-VAR-SV framework – so far applied in Vietnam mainly to financial variables – to the transmission of monetary policy to consumption.

Từ khóa

Monetary policy transmission, Household consumption, TVP-VAR-SV, Stochastic volatility, Credit channel, Vietnam.

Download

Tài liệu tham khảo

Aastveit, K. A., Fastbø, T. M., Granziera, E., Paulsen, K. S., & Torstensen, K. N. (2024). Nowcasting Norwegian household consumption with debit card transaction data. Journal of Applied Econometrics, 39(7), 1220-1244. https://doi.org/10.1002/jae.3076.

Anwar, S., & Nguyen, L. P. (2018). Channels of monetary policy transmission in Vietnam. Journal of Policy Modeling, 40(4), 709-729. https://doi.org/10.1016/j.jpolmod.2018.02.004.

ASEAN+3 Macroeconomic Research Office. (2024). Vietnam 2023 annual consultation report – Selected issue on the monetary policy framework. AMRO.

Baffigi, A., Golinelli, R., & Parigi, G. (2004). Bridge models to forecast the euro area GDP. International Journal of Forecasting, 20(3), 447-460. https://doi.org/10.1016/S0169-2070(03)00067-0.

Bernanke, B. S., & Blinder, A. S. (1988). Credit, money, and aggregate demand. The American Economic Review, 78(2), 435-439.

Bernanke, B. S., & Gertler, M. (1995). Inside the black box: The credit channel of monetary policy transmission. Journal of Economic Perspectives, 9(4), 27-48. https://doi.org/10.1257/jep.9.4.27.

Bhattacharya, R. (2014). Inflation dynamics and monetary policy transmission in Vietnam and emerging Asia. Journal of Asian Economics, 34, 16-26. https://doi.org/10.1016/j.asieco.2014.05.001.

Bui, V. H., & Tran, T. M. T. (2015). The transmission mechanism of monetary policy in Vietnam: A VAR approach (IHEID Working Paper No. 15-2015). Graduate Institute of International and Development Studies.

Cao, P. T.-H., & Vo, D. H. (2025). Market responses to geopolitical risk and economic policy uncertainty: Evidence from Vietnam. Heliyon, 11(4), e42703. https://doi.org/10.1016/j.heliyon.2025.e42703

Dang, V. D., & Dang, V. C. (2021). Bank diversification and the effectiveness of monetary policy transmission: Evidence from the bank lending channel in Vietnam. Cogent Economics & Finance, 9(1), Article 1885204. https://doi.org/10.1080/23322039.2021.1885204.

Del Negro, M., & Primiceri, G. E. (2015). Time varying structural vector autoregressions and monetary policy: A corrigendum. The Review of Economic Studies, 82(4), 1342-1345. https://doi.org/10.1093/restud/rdv024.

Dinh, T. T. H., Nguyen, T. P., & Tran, N. T. (2024). Impacts of financial development on Vietnamese commercial banks’ lending mechanisms of monetary policy pass-through: Bayesian analysis. In N. Ngoc Thach, V. Kreinovich, D. T. Ha, & N. D. Trung (Eds.), Optimal transport statistics for economics and related topics (Studies in Systems, Decision and Control, Vol. 483). Springer. https://doi.org/10.1007/978-3-031-35763-3_42.

Fischer, M. M., Hauzenberger, N., Huber, F., & Pfarrhofer, M. (2023). General Bayesian time-varying parameter VARs for predicting government bond yields. Journal of Applied Econometrics, 38(1), 69-87. https://doi.org/10.1002/jae.2936.

General Statistics Office. (2019). National statistical indicator system: Gross domestic product (GDP). Retrieved from https://www.nso.gov.vn/du-lieu-dac-ta/2019/12/htcttkqg-tong-san-pham-trong-nuoc-gdp/.

General Statistics Office. (2024). Statistical yearbook 2024. Statistical Publishing House.

Hauzenberger, N., Marcellino, M., Pfarrhofer, M., & Stelzer, A. (2024). Nowcasting with mixed frequency data using Gaussian processes [Preprint]. arXiv. https://doi.org/10.48550/arXiv.2402.10574.

International Monetary Fund. (2024). Vietnam: Selected issues (IMF Staff Country Report No. 2024/307). International Monetary Fund. https://doi.org/10.5089/9798400290503.002.

International Monetary Fund. (2024). Rethinking transmission of monetary policy in Vietnam (IMF Working Paper No. 2024/307). https://www.elibrary.imf.org/view/journals/002/2024/307/article-A001-en.xml.

Kamolthip, S. (2021). Macroeconomic forecasting with LSTM and mixed frequency time series data [Preprint]. arXiv. https://doi.org/10.48550/arXiv.2109.13777.

Kuzin, V., Marcellino, M., & Schumacher, C. (2009). MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area (CEPR Discussion Paper No. 7445). Centre for Economic Policy Research.

Le, T. H. (2025). Measuring the contemporal and lead connectedness level between investor sentiment and exchange rate dynamics in Vietnam: Novel findings from TVP-VAR-SV technique. International Economics, 181, 100578. https://doi.org/10.1016/j.inteco.2025.100578.

Le Viet, H., & Pfau, W. D. (2009). VAR analysis of the monetary transmission mechanism in Vietnam. Applied Econometrics and International Development, 9(1).

Lettau, M., Ludvigson, S. C., & Steindel, C. (2002). Monetary policy transmission through the consumption-wealth channel. Economic Policy Review, 8(1), 117-133. Federal Reserve Bank of New York.

Loi, M. T., & Dang, V. D. (2023). The bank lending channel of monetary policy transmission in Vietnam: Impacts of the COVID-19 pandemic and the financial crisis. Cogent Business & Management, 10(1), Article 2199485. https://doi.org/10.1080/23311975.2023.2199485.

Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer. https://doi.org/10.1007/978-3-540-27752-1.

Mishkin, F. S. (1995). Symposium on the monetary transmission mechanism. Journal of Economic Perspectives, 9(4), 3-10. https://doi.org/10.1257/jep.9.4.3.

Mishra, P., & Montiel, P. (2013). How effective is monetary transmission in low-income countries? A survey of the empirical evidence. Economic Systems, 37(2), 187–216. https://doi.org/10.1016/j.ecosys.2012.12.001.

Nakajima, J. (2011). Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications. Monetary and Economic Studies, 29, 107-142. Institute for Monetary and Economic Studies, Bank of Japan.

Nguyen, H. C. (2022). The nexus between monetary policy and economic growth: Evidence from Vietnam. The Journal of Asian Finance, Economics and Business, 9(1), 153-166. https://doi.org/10.13106/jafeb.2022.vol9.no1.0153.

Nguyen, D. Q., & Dang, V. D. (2024). Monetary policy and risk of commercial banks in Vietnam. Journal of Eastern European and Central Asian Research, 11(3), 465-477. https://doi.org/10.15549/jeecar.v11i3.1544.

Nguyen, T. P., & Dinh, T. T. H. (2022). The role of bank capital on the bank lending channel of monetary policy transmission: An application of marginal analysis approach. Cogent Economics & Finance, 10(1), Article 2035044. https://doi.org/10.1080/23322039.2022.2035044.

OECD. (2025). OECD economic surveys: Viet Nam 2025. OECD Publishing. https://doi.org/10.1787/fb37254b-en.

OECD. (2025). Towards more timely measures of labour productivity growth (OECD Statistics Working Papers No. 2025/01). OECD Publishing. https://doi.org/10.1787/436ecbb5-en.

Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. The Review of Economic Studies, 72(3), 821-852. https://doi.org/10.1111/j.1467-937X.2005.00353.x.

Renzetti, A. (2023). Theory coherent shrinkage of time-varying parameters in VARs [Working paper]. arXiv. https://doi.org/10.48550/arXiv.2311.11858.

Rodríguez, G., Castillo B., P., Calero, R., Salcedo Cisneros, R., & Arellano, M. A. (2024). Evolution of the exchange rate pass-through into prices in Peru: An empirical application using TVP-VAR-SV models. Journal of International Money and Finance, 142, Article 103023. https://doi.org/10.1016/j.jimonfin.2024.103023.

Simionescu, M., Schneider, N., & Gavurova, B. (2024). A Bayesian vector-autoregressive application with time-varying parameters on the monetary shocks–production network nexus. Journal of Applied Economics, 27(1), Article 2395114. https://doi.org/10.1080/15140326.2024.2395114.

Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1-48. https://doi.org/10.2307/1912017.

Taylor, J. B. (1995). The monetary transmission mechanism: An empirical framework. Journal of Economic Perspectives, 9(4), 11–26. https://doi.org/10.1257/jep.9.4.11.

Vo, X. V., & Nguyen, P. C. (2014). Monetary policy and bank credit risk in Vietnam pre and post global financial crisis. Contemporary Studies in Economic and Financial Analysis, 96, 277-290. https://doi.org/10.1108/S1569-375920140000096011.

Vo, X. V., & Nguyen, P. C. (2017). Monetary policy transmission in Vietnam: Evidence from a VAR approach. Australian Economic Papers, 56(1), 27-38. https://doi.org/10.1111/1467-8454.12074.