Asymmetric exchange rates pass-through in Vietnam

Sy-Hoa Ho, Idir Hafrad () and Viet Dung Tran ()
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Idir Hafrad: Universite Sorbonne Paris Nord
Viet Dung Tran: State Bank of Vietnam – Banking Academy of Vietnam

Economics Bulletin, 2022, vol. 42, issue 3, 1657 - 1672

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. 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. 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. 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. 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 (search for similar items in EconPapers)
JEL-codes: E4 F3 (search for similar items in EconPapers)
Date: 2022-09-30
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Working Paper: Asymmetric exchange rate pass-through in Vietnam (2022)
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