Asymmetric exchange rate pass-through in Vietnam

Sy-Hoa Ho, Idir Hafrad and Viet-Dung Tran
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Idir Hafrad: Université Sorbonne Paris Nord
Viet-Dung Tran: Banking Academy of Vietnam

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Abstract: In this paper, we study the measure of exchange rate pass-through on consumer price for Vietnam using the Nonlinear Autoregressive Dynamic Lag from 2000Q4 to 2018Q2. Our findings can be summarized as follows: (i) we demonstrate the existence of the asymmetric effect of the exchange rate to domestic price in both short run and long run; (ii) the exchange rate pass-through is high; (iii) the impact of exchange rate depreciation on domestic price is stronger than appreciation; (iv) the exchange rate pass-through is higher in the long run than in the short run; and (v) foreign competitor price plays an important role in domestic price movement.

Keywords: Exchange rate pass-through; Asymmetric Exchange Rate; ARDL models; NARDL models; Vietnam (search for similar items in EconPapers)
Date: 2022-09-30
New Economics Papers: this item is included in nep-int, nep-mon, nep-opm, nep-sea and nep-tra
Note: View the original document on HAL open archive server: https://hal.science/hal-04313127v2
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Published in Economics Bulletin, In press, 42 (3), pp.1657-1672

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Journal Article: Asymmetric exchange rates pass-through in Vietnam (2022)
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