Exchange Rate Pass-Through in Vietnam under the Impact of Inflationary Environment
This article addresses the exchange rate pass-through to domestic prices under the impact of inflation. Using TVAR based approach and the variables of inflation, nominal effective exchange rate (NEER), output gap, and interbank rate in addition to monthly data applied to the period of 2000M1–2014M12...
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University of Economics Ho Chi Minh City
2023
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oai:scholar.dlu.edu.vn:DLU123456789-1155082023-03-08T03:56:36Z Exchange Rate Pass-Through in Vietnam under the Impact of Inflationary Environment Tran, Ngoc Tho Nguyen, Thi Ngoc Trang This article addresses the exchange rate pass-through to domestic prices under the impact of inflation. Using TVAR based approach and the variables of inflation, nominal effective exchange rate (NEER), output gap, and interbank rate in addition to monthly data applied to the period of 2000M1–2014M12, we find a non-linear relation in the pass-through to inflation along with the two thresholds of its. Being above or below the thresholds results in different levels of the exchange rate pass-through, which is consistent with previous findings, with unclear/clear evidence found below/above the threshold of 0.3395%/month respectively. In the case of positive shocks of the exchange rate, the inflation is suggested to enormously rise and then return to equilibrium. We also attempt to clarify several distinct features of Vietnam affecting the pass-through and draw a few implications. 2023-03-08T03:56:36Z 2023-03-08T03:56:36Z 2016 Article 2615-9112 http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=ab6f86c8-2035-49e5-ae4f-cacdec5b77f0 http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115508 10.24311/jabes/2016.23.3.08 en Journal of Asian Business and Economic Studies, Volume 23, Issue 03; p. 89-109 application/pdf University of Economics Ho Chi Minh City |
| institution |
Thư viện Trường Đại học Đà Lạt |
| collection |
Thư viện số |
| language |
English |
| description |
This article addresses the exchange rate pass-through to domestic prices under the impact of inflation. Using TVAR based approach and the variables of inflation, nominal effective exchange rate (NEER), output gap, and interbank rate in addition to monthly data applied to the period of 2000M1–2014M12, we find a non-linear relation in the pass-through to inflation along with the two thresholds of its. Being above or below the thresholds results in different levels of the exchange rate pass-through, which is consistent with previous findings, with unclear/clear evidence found below/above the threshold of 0.3395%/month respectively. In the case of positive shocks of the exchange rate, the inflation is suggested to enormously rise and then return to equilibrium. We also attempt to clarify several distinct features of Vietnam affecting the pass-through and draw a few implications. |
| format |
Article |
| author |
Tran, Ngoc Tho Nguyen, Thi Ngoc Trang |
| spellingShingle |
Tran, Ngoc Tho Nguyen, Thi Ngoc Trang Exchange Rate Pass-Through in Vietnam under the Impact of Inflationary Environment |
| author_facet |
Tran, Ngoc Tho Nguyen, Thi Ngoc Trang |
| author_sort |
Tran, Ngoc Tho |
| title |
Exchange Rate Pass-Through in Vietnam under the Impact of Inflationary Environment |
| title_short |
Exchange Rate Pass-Through in Vietnam under the Impact of Inflationary Environment |
| title_full |
Exchange Rate Pass-Through in Vietnam under the Impact of Inflationary Environment |
| title_fullStr |
Exchange Rate Pass-Through in Vietnam under the Impact of Inflationary Environment |
| title_full_unstemmed |
Exchange Rate Pass-Through in Vietnam under the Impact of Inflationary Environment |
| title_sort |
exchange rate pass-through in vietnam under the impact of inflationary environment |
| publisher |
University of Economics Ho Chi Minh City |
| publishDate |
2023 |
| url |
http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=ab6f86c8-2035-49e5-ae4f-cacdec5b77f0 http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115508 |
| _version_ |
1765278525866115072 |