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Asymmetric exchange rate pass-through in Vietnam

Author

Listed:
  • Ho Sy-Hoa

    (VNU - Vietnam National University [Hanoï])

  • Idir Hafrad

    (Université Sorbonne Paris Nord)

  • Viet-Dung Tran

    (Banking Academy of Vietnam)

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.

Suggested Citation

  • Ho Sy-Hoa & Idir Hafrad & Viet-Dung Tran, 2022. "Asymmetric exchange rate pass-through in Vietnam," Post-Print hal-04313127, HAL.
    • Handle: RePEc:hal:journl:hal-04313127
    Note: View the original document on HAL open archive server: https://hal.science/hal-04313127v2
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    References listed on IDEAS

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    More about this item

    Keywords

    Exchange rate pass-through; Asymmetric Exchange Rate; ARDL models; NARDL models; Vietnam;
    All these keywords.

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • F3 - International Economics - - International Finance

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