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

Author

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  • Sy Hoa Ho

    (DTU - Duy Tan University)

  • 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)

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.

Suggested Citation

  • Sy Hoa Ho & Jamel Saadaoui, 2021. "Symmetric and asymmetric effects of exchange rates on money demand : empirical evidence from Vietnam," Post-Print hal-03196678, HAL.
    • Handle: RePEc:hal:journl:hal-03196678
    DOI: 10.1080/00036846.2021.1888864
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    More about this item

    Keywords

    Money Demand; Exchange Rate; ARDL models; NARDL models; Dollarization;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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