Exchange rate pass-through into inflation in Vietnam: evidence from VAR model

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Tác giả: VAN ANH PHAM

Ngôn ngữ: vie

Ký hiệu phân loại:

Thông tin xuất bản: Journal of Economics and Development, 2019

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 391313

PurposeThe purpose of this paper is to examine and analyze the exchange rate pass-through into inflation (ERPT) in Vietnam.Design/methodology/approachThe paper examines and analyzes the ERPT in Vietnam by applying vector autoregression model over the period 2008‒2018.FindingsThe key finding of the research is that from the impulse response results, the transmission of exchange rate shocks to inflation is significant in Vietnam, and this is incomplete exchange rate pass-through. Moreover, the evidence from variance decompositions argues that exchange rate is an important factor to explain the fluctuation of inflation.Originality/valueIn overall, the depreciation or appreciation of exchange rate in Vietnam will considerably impact inflation.
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