Symmetric and asymmetric effects of exchange rates on money demand: empirical evidence from Vietnam

Sy-Hoa Ho and Jamel Saadaoui ()
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Jamel Saadaoui: BETA - Bureau d'Économie Théorique et Appliquée - AgroParisTech - UNISTRA - Université de Strasbourg - Université de Haute-Alsace (UHA) - Université de Haute-Alsace (UHA) Mulhouse - Colmar - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

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Abstract: This empirical investigation aims at exploring the determinants of money demand in Vietnam by using both linear and nonlinear autoregressive distributed lag models over the period spanning from the third quarter of 2000 to the first quarter of 2018. Our findings can be summarized as follows: firstly, when the shock is symmetric (i.e. a permanent nominal appreciation of 1%), the money demand increases by 3.7% in the long term. Secondly, when the shock is asymmetric, for a permanent nominal appreciation of 1%, we observe an increase of 15.6% in the money demand. Whereas for a permanent nominal depreciation of 1%, we observe a decrease of 7.4% in the money demand. These results are consistent with symmetry tests and lead us to think that asymmetries occur mainly in the short run and are transmitted to the long run.

Keywords: Money Demand; Exchange Rate; ARDL models; NARDL models; Dollarization (search for similar items in EconPapers)
Date: 2021-02-28
Note: View the original document on HAL open archive server: https://hal.science/hal-03196678v2
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Citations: View citations in EconPapers (1)

Published in Applied Economics, 2021, 53 (34), pp.1-14. ⟨10.1080/00036846.2021.1888864⟩

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Related works:
Journal Article: Symmetric and asymmetric effects of exchange rates on money demand: empirical evidence from Vietnam (2021)
Working Paper: Symmetric and asymmetric effects of exchange rates on money demand: Empirical evidence from Vietnam? (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03196678

DOI: 10.1080/00036846.2021.1888864

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