Exchange Rate Risk Premium in Vietnam

Ly Hung

Working Papers from HAL

Abstract: We characterize the exchange rate risk premium on the context of a small open economy with controlled floating exchange rate regime. The risk premium is varying over time, and is increasing on inflation, decreasing on output growth, increasing on foreign direct investment capital inflows, and decreasing on the credit growth. The model can account for nearly 94% of risk premium on case study of USD forward selling contract in 11/2018. The evidence is based on a Time-Varying-Coefficients VAR model on a data set covering 85 observations over 02/2012-02/2019 in Vietnam.

Keywords: Exchange Rate Premium; Foreign Exchange Intervention; Forward Contract (search for similar items in EconPapers)
Date: 2019-01
Note: View the original document on HAL open archive server: https://hal.science/hal-03126494
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Journal Article: Exchange Rate Risk Premium in Vietnam (2022)
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