Sources of Exchange Rate Fluctuation in Vietnam: An Application of the SVAR Model

Nguyen Van Phuong

Asian Economic and Financial Review, 2015, vol. 5, issue 4, 671-679

Abstract: Vietnam has been implementing the export-oriented economy, in which the central bank of Vietnam, well-known as the State Bank of Vietnam (SBV), has adopted the managed float exchange rate regime since 1990. Therefore, the exchange rate movement plays an important role in stimulating the Vietnamese export activities. By using the long-run SVAR model, pioneered by Blanchard and Quah (1989), this study examines how the real and nominal shocks impact the nominal and real exchange rate (USD/VND) in Vietnam. We use monthly data on the USD/VND exchange rate, the price levels in Vietnam and the United States from May 1995 to December 2013. Our empirical results reveal that the real shock primarily leads the real and nominal exchange rate (USD/VND) to fluctuate over time. Meanwhile, the nominal shock has a temporary effect on the movement of the real exchange rate in Vietnam. Our research also finds that the long-run Purchasing Power Parity (PPP) does not hold in Vietnam.

Keywords: The state bank of Vietnam; USD/VND; Real exchange rate; Nominal exchange rate; Stationary; Unit root test; SVAR; Impulse response function. (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://archive.aessweb.com/index.php/5002/article/view/1368/1975 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:asi:aeafrj:v:5:y:2015:i:4:p:671-679:id:1368

Access Statistics for this article

More articles in Asian Economic and Financial Review from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().