Understanding exchange rate pass-through in Vietnam

Nga Nguyen Hong, Loan Vo Thi Kim, An Pham Hoang and Cuong Tran Quoc Khanh

Cogent Economics & Finance, 2022, vol. 10, issue 1, 2139916

Abstract: Price stability is the ultimate objective of the State Bank of Vietnam (SBV). In addition, in a small export-led economy, such as Vietnam, the study of exchange rate volatility is crucial for the country’s economy due to its impact on inflation via exchange rate pass-through (ERPT). This study investigated ERPT in Vietnam by employing both autoregressive distributed lag (ARDL) and nonlinear-ARDL (NARDL) approaches with data spanning from January 2009 to May 2020. Our main findings suggest that the exchange rate and money supply are the two most important factors influencing the consumer price index (CPI) and explain the change in the CPI structure using the threshold model. In addition, the transition to a central-rate mechanism successfully lowered the inflation rate in Vietnam. Furthermore, the NARDL model displays short- and long-run exchange rate asymmetries. Based on this evidence, several policy implications are provided to support price-level stability.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/23322039.2022.2139916 (text/html)
Access to full text is restricted to subscribers.

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:taf:oaefxx:v:10:y:2022:i:1:p:2139916

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/OAEF20

DOI: 10.1080/23322039.2022.2139916

Access Statistics for this article

Cogent Economics & Finance is currently edited by Steve Cook, Caroline Elliott, David McMillan, Duncan Watson and Xibin Zhang

More articles in Cogent Economics & Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().