Asymmetric exchange rates pass-through: New evidence from Vietnam

Sy-Hoa Ho and Idir Hafrad

MPRA Paper from University Library of Munich, Germany

Abstract: Exchange rate pass-through always deserves interest of policy makers and economists. In this paper, we study the measure of exchange rate pass-through on consumer price for Vietnam by using Nonlinear Autoregressive Dynamic Lag in the period from 2000Q4 to 2018Q2. Our findings can be summarized as follow: (i) we demonstrates the existence of asymmetric effect of exchange rate to domestic price in both short run and long run; (ii) the exchange rate pass-through is high; (iii) 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; (v) foreign competitor price plays an important role for domestic price movement.

Keywords: Exchange rate pass-through; Asymmetric exchange rate; ARDL models; NARDL models (search for similar items in EconPapers)
JEL-codes: C22 E52 (search for similar items in EconPapers)
Date: 2020-02-15
New Economics Papers: this item is included in nep-mac, nep-opm, nep-sea and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:98651

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