Risk analysis of energy in Vietnam



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Vo, Duc Hong and Tran, Ngoc Phu and Duong, Tam Nguyen-Thanh and McAleer, Michael (2019) Risk analysis of energy in Vietnam. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 14, 2019, ISSN: 2341-2356 ]

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The purpose of the paper is to estimate market risk for the ten major industries in Vietnam. The focus is on the Energy sector, which has been designated as one of the four key industries, together with Services, Food, and Telecommunications, targeted for economic development by the Vietnam Government through to 2020. Oil and Gas is a separate energy-related major industry. The data set is from 2009 to 2017, which is decomposed into two distinct sub-periods after the Global Financial Crisis (GFC), namely the immediate post-GFC (2009-2011) period and the normal (2012-2017) period, in order to identify the behaviour of market risk for Vietnam major industries. Two widely-used approaches to measure and analyze risk are used in the empirical analysis, namely Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). The empirical findings indicate that Energy and Pharmaceuticals are the least risky industries, whereas Oil and Gas and Securities have the greatest risk. In general, there is strong empirical evidence that the four key industries display relatively low risk. For public policy, the Vietnam Government’s pro-active emphasis on the targeted industries, including Energy, to achieve sustainable economic growth and national economic development, seems to be working effectively.

Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Market risk, Energy, Industries, Value-at-Risk, Conditional Value-at-Risk, Sustainable growth, Economic development, Vietnam.
Subjects:Social sciences > Economics > Econometrics
Social sciences > Economics > Stock exchanges
JEL:C10, G10, E32
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
ID Code:54806
Deposited On:29 Mar 2019 08:54
Last Modified:29 Mar 2019 08:54

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