# How to Hedge against Inflation Risk in Vietnam

## Abstract

**:**

## 1. Introduction

## 2. Methodology

## 3. Empirical Results

#### 3.1. Data and Tests

#### 3.2. Empirical Findings

## 4. Conclusions

## Funding

## Informed Consent Statement

## Data Availability Statement

## Conflicts of Interest

## References

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**Figure 2.**The autocorrelations with approximate 2 standard error bounds of dynamic MSI-VAR(1) models for inflation hedge of USD and GLD.

**Figure 3.**The impulse response between $\u2206\mathrm{C}\mathrm{P}\mathrm{I}$ and $\u2206\mathrm{U}\mathrm{S}\mathrm{D}$, illustrating the mechanisms through which shocks spread over time.

**Figure 4.**The impulse response between $\u2206\mathrm{C}\mathrm{P}\mathrm{I}$ and $\u2206\mathrm{G}\mathrm{L}\mathrm{D}$, illustrating the mechanisms through which shocks spread over time.

CPI | USD | GLD | |
---|---|---|---|

Mean | 97.14 | 18,044.07 | 17,824,329 |

Standard deviation | 45.20 | 3507.33 | 12,296,869 |

Skewness | 0.24 | 0.04 | 0.25 |

Kurtosis | 1.40 | 1.61 | 1.61 |

J-B | 33.32 *** | 23.20 *** | 26.25 *** |

LB(6) | 1672.1 *** | 1626.9 *** | 1608.2 *** |

LB^{2}(6) | 1600.3 *** | 1423.2 *** | 1126.4 *** |

Variable | ADF | PP | ||
---|---|---|---|---|

Statistic Value | Lags | Statistic Value | Bandwidth | |

Level | ||||

Ln_CPI | −1.442 | [13] | −1.134 | [11] |

Ln_USD | −2.798 | [0] | −2.792 | [6] |

Ln_GOLD | −1.200 | [0] | −1.317 | [6] |

First difference | ||||

ΔLn_CPI | −3.461 ** | [12] | −9.834 *** | [9] |

ΔLn_USD | −17.188 *** | [0] | −17.186 *** | [8] |

ΔLn_GOLD | −14.852 *** | [0] | −14.783 *** | [3] |

Variables | ${\mathit{\beta}}_{0}$ | ${\mathit{\beta}}_{1}$ | ADF Statistic Value |
---|---|---|---|

Ln_USD | 0.004 (7.808) *** | 0.289 (3.217) *** | −3.474 *** [12] |

Ln_GOLD | 0.003 (5.939) *** | 0.213 (7.144) *** | −3.572 ** [12] |

SC | HQ | Lag | H_{0}:ρ_{i} = 0 | H_{0}:ρ_{1} = ρ_{2} = 0 | τ | H_{0}:ρ_{1} = ρ_{2} | |
---|---|---|---|---|---|---|---|

t-Max | Φ | F | |||||

Ln_CPI vs. Ln_USD | −4.14 ** | −4.19 ** | 1 | −3.938 *** | 28.405 *** | 0.0002 | 0.749 |

Ln_CPI vs. Ln_GOLD | −0.92 ** | −0.97 ** | 1 | −3.8428 *** | 29.986 *** | −0.0176 | 4.121 *** |

Variable | Model 1—Inflation Hedge of USD | Model 2—Inflation Hedge of Gold | ||
---|---|---|---|---|

$\u2206{\mathit{U}\mathit{S}\mathit{D}}_{\mathit{t}}$ | $\u2206{\mathit{C}\mathit{P}\mathit{I}}_{\mathit{t}}$ | $\u2206{\mathit{G}\mathit{L}\mathit{D}}_{\mathit{t}}$ | $\u2206{\mathit{C}\mathit{P}\mathit{I}}_{\mathit{t}}$ | |

Regime 1 (high momentum period) | ||||

$\delta $ | 0.005 | 0.060 | ||

[0.156] | [1.322] | |||

$\u2206{CPI}_{t-1}$ | 0.001 *** | 0.002 *** | ||

[3.876] | [4.153] | |||

$\u2206{USD}_{t-1}$ | −0.004 | 0.558 *** | ||

[−0.108] | [11.255] | |||

Regime 2 (low momentum period) | ||||

$\beta $ | −1.136 *** | −0.443 *** | ||

[−12.667] | [−3.278] | |||

$\u2206{CPI}_{t-1}$ | 0.050 *** | 0.008 *** | ||

[25.292] | [2.635] | |||

$\u2206{USD}_{t-1}$ | 0.524 *** | 0.419 * | ||

[3.294] | [1.758] | |||

Regime 1 (high momentum period) | ||||

$\alpha $ | 0.334 *** | 0.021 * | ||

[3.459] | [1.883] | |||

$\u2206{CPI}_{t-1}$ | 0.008 ** | 0.002 *** | ||

[2.406] | [4.225] | |||

$\u2206{GLD}_{t-1}$ | 0.200 | 0.849 *** | ||

[0.591] | [15.627] | |||

Regime 2 (low momentum period) | ||||

$\gamma $ | −0.278 * | −0.007 | ||

[−1.901] | [−0.374] | |||

$\u2206{CPI}_{t-1}$ | 0.004 | 0.003 *** | ||

[0.467] | [2.670] | |||

$\u2206{GLD}_{t-1}$ | −0.285 | −0.166 | ||

[−0.487] | [−1.639] | |||

${p}_{11}$ | 3.519 *** | 0.969 *** | ||

${p}_{22}$ | 1.836 * | 1.285 | ||

Log L | 2144.155 | 1615.871 |

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**MDPI and ACS Style**

Thi Thanh Binh, N.
How to Hedge against Inflation Risk in Vietnam. *Economies* **2023**, *11*, 94.
https://doi.org/10.3390/economies11030094

**AMA Style**

Thi Thanh Binh N.
How to Hedge against Inflation Risk in Vietnam. *Economies*. 2023; 11(3):94.
https://doi.org/10.3390/economies11030094

**Chicago/Turabian Style**

Thi Thanh Binh, Nguyen.
2023. "How to Hedge against Inflation Risk in Vietnam" *Economies* 11, no. 3: 94.
https://doi.org/10.3390/economies11030094