Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium

Quan Hoang Vuong

No ahrjd, OSF Preprints from Center for Open Science

Abstract: In this paper, we examine exchange rates in Vietnam’s transitional economy. Evidence of long-run equilibrium is established in most cases through a single co-integrating vector among endogenous variables that determine the real exchange rates. This supports relative PPP in which ECT of the system can be combined linearly into a stationary process, reducing deviation from PPP in the long run. Restricted coefficient vectors β’ = (1, 1, -1) for real exchange rates of currencies in question are not rejected. This empirics of relative PPP adds to found evidence by many researchers, including Flore et al. (1999), Lee (1999), Johnson (1990), Culver and Papell (1999), Cuddington and Liang (2001). Instead of testing for different time series on a common base currency, we use different base currencies (USD, GBP, JPY, and EUR). By doing so we want to know whether the theory may posit significant differences against one currency? We have found consensus, given inevitable technical differences, even with a smaller data sample for EUR. Speeds of convergence to PPP and adjustment are faster compared to results from other researches for developed economies, using both observed and bootstrapped HL measures. Perhaps, a better explanation is the adjustment from the hyperinflation period, after which the theory indicates that adjusting process actually accelerates. We observe that deviation appears to have been large in the early stages of the reform, mostly overvaluation. Over time, its correction took place leading significant deviations to gradually disappear.

Date: 2003-09-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://osf.io/download/62147b9548328a040d44d2c4/

Related works:
Working Paper: Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium (2003)
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:osf:osfxxx:ahrjd

DOI: 10.31219/osf.io/ahrjd

Access Statistics for this paper

More papers in OSF Preprints from Center for Open Science
Bibliographic data for series maintained by OSF ().