THE IMPACT OF POST-COVID-19 POLICY RESPONSES, FINANCIAL POLICY, AND MACROECONOMIC FUNDAMENTALS ON MARKET RISKS ACROSS SECTORS IN VIETNAM

• Published in: International journal of economics and finance (Izmir, Turkey) Vol. 15; no. 3; p. 421
• Main Author: Le, Huong Thi Mai
• Format: Journal Article
• Language: English
• Published: Cankaya-Izmir The Social Sciences Research Society 01.01.2023
• Subjects: COVID-19; Foreign exchange rates; Healthy food; Macroeconomics; Prices; Value; Vietnam
• ISSN: 1309-8055
• DOI: 10.34109/ijefs.202315320

The purpose of this study is to assess the impact of COVID-19, policy responses, financial policy, and macroeconomic fundamentals on market risks across various sectors in Vietnam. In order to fulfil the objective, a comprehensive dataset encompassing daily data from 10 sectors in Vietnam has been gathered spanning the time frame of 2017 to 2023. The market risks during the analysed period are assessed through the utilisation of conventional Value at Risk (VAR) and Conditional Value at Risk (CVAR) methodologies. The study reveals that market risk has been observed across all sectors. However, the COVID-19 period has witnessed a higher level of risk, particularly in the food and building sectors. These sectors are projected to face the highest level of risk from 2020 to 2023. The study employs panel Fixed Effects estimation to analyse the direct impact of COVID-19, policy responses, financial policy, and macroeconomic fundamentals on market risks. Based on the findings, it has been determined that there is a positive correlation between the number of COVID-19 cases and market risks. The study reveals that within the realm of macroeconomic fundamentals, gold prices exhibit an upward trend, while the exchange rate has a mitigating effect on market risk. However, the study reveals that market risks are not influenced by financial policy, as measured by the economic support index. The COVID-19 policy responses, specifically the Health and Containment Index and Government Response Index, have a negative impact on the market risks in Vietnam. The relevant policies are provided based on the findings.