Understanding exchange rate pass-through in Vietnam
Price stability is the ultimate objective of the State Bank of Vietnam (SBV). In addition, in a small export-led economy, such as Vietnam, the study of exchange rate volatility is crucial for the country’s economy due to its impact on inflation via exchange rate pass-through (ERPT). This study inves...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2022-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2139916 |
| _version_ | 1798015273741058048 |
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| author | Nga Nguyen Hong Loan Vo Thi Kim An Pham Hoang Cuong Tran Quoc Khanh |
| author_facet | Nga Nguyen Hong Loan Vo Thi Kim An Pham Hoang Cuong Tran Quoc Khanh |
| author_sort | Nga Nguyen Hong |
| collection | DOAJ |
| description | Price stability is the ultimate objective of the State Bank of Vietnam (SBV). In addition, in a small export-led economy, such as Vietnam, the study of exchange rate volatility is crucial for the country’s economy due to its impact on inflation via exchange rate pass-through (ERPT). This study investigated ERPT in Vietnam by employing both autoregressive distributed lag (ARDL) and nonlinear-ARDL (NARDL) approaches with data spanning from January 2009 to May 2020. Our main findings suggest that the exchange rate and money supply are the two most important factors influencing the consumer price index (CPI) and explain the change in the CPI structure using the threshold model. In addition, the transition to a central-rate mechanism successfully lowered the inflation rate in Vietnam. Furthermore, the NARDL model displays short- and long-run exchange rate asymmetries. Based on this evidence, several policy implications are provided to support price-level stability. |
| first_indexed | 2024-04-11T15:31:50Z |
| format | Article |
| id | doaj.art-e0dfafb773eb472eb1244b4dfcfff1b0 |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-04-11T15:31:50Z |
| publishDate | 2022-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-e0dfafb773eb472eb1244b4dfcfff1b02022-12-22T04:16:07ZengTaylor & Francis GroupCogent Economics & Finance2332-20392022-12-0110110.1080/23322039.2022.2139916Understanding exchange rate pass-through in VietnamNga Nguyen Hong0Loan Vo Thi Kim1An Pham Hoang2Cuong Tran Quoc Khanh3Faculty of Economics, University of Economics and Law, National University Ho Chi Minh City, Vietnam National University, Ho Chi Minh City, VietnamFaculty of Fundamental Sciences, Van Lang University, Ho Chi Minh City, VietnamFaculty of Accounting and Finance, Van Hien University, Ho Chi Minh City, VietnamBusiness Administration Faculty, Van Lang University, Ho Chi Minh City, VietnamPrice stability is the ultimate objective of the State Bank of Vietnam (SBV). In addition, in a small export-led economy, such as Vietnam, the study of exchange rate volatility is crucial for the country’s economy due to its impact on inflation via exchange rate pass-through (ERPT). This study investigated ERPT in Vietnam by employing both autoregressive distributed lag (ARDL) and nonlinear-ARDL (NARDL) approaches with data spanning from January 2009 to May 2020. Our main findings suggest that the exchange rate and money supply are the two most important factors influencing the consumer price index (CPI) and explain the change in the CPI structure using the threshold model. In addition, the transition to a central-rate mechanism successfully lowered the inflation rate in Vietnam. Furthermore, the NARDL model displays short- and long-run exchange rate asymmetries. Based on this evidence, several policy implications are provided to support price-level stability.https://www.tandfonline.com/doi/10.1080/23322039.2022.2139916ERPTexchange rate regimeinflationasymmetricthreshold modelVietnam |
| spellingShingle | Nga Nguyen Hong Loan Vo Thi Kim An Pham Hoang Cuong Tran Quoc Khanh Understanding exchange rate pass-through in Vietnam Cogent Economics & Finance ERPT exchange rate regime inflation asymmetric threshold model Vietnam |
| title | Understanding exchange rate pass-through in Vietnam |
| title_full | Understanding exchange rate pass-through in Vietnam |
| title_fullStr | Understanding exchange rate pass-through in Vietnam |
| title_full_unstemmed | Understanding exchange rate pass-through in Vietnam |
| title_short | Understanding exchange rate pass-through in Vietnam |
| title_sort | understanding exchange rate pass through in vietnam |
| topic | ERPT exchange rate regime inflation asymmetric threshold model Vietnam |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2022.2139916 |
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