Transmission Channels of Spillover Effects of US Unconventional Monetary Policy on Vietnam

Abstract

This paper analyses the transmission channels of the spillover effects of unconventional monetary policy on Vietnam, focusing on quantitative easing tool of Federal Reserve System from Q1/2000 to Q3/2020. The results indicate that shock to US central bank balance sheet has a strongly impact on Vietnamese market through mainly two channels including portfolio rebalancing channel and asset price channel. In particular, an easing monetary policy by large-scale asset purchases program of Fed lead to expanding its balance sheet which will increase foreign capital flows to Vietnam, also result in rising on asset price. However, this research found no similar evidence for exchange rate channel and liquidity channels in Vietnam during the research period.