IDEAS home Printed from https://ideas.repec.org/a/asi/aeafrj/v9y2019i2p257-266id1800.html
   My bibliography  Save this article

Exchange Rate Pass-Through (ERPT) and its Implications for Vietnam: Vector Autoregressive Approach from Vietnam-Korea Trade Data

Author

Listed:
  • DO Thi My Huong
  • CAO Hong Minh

Abstract

This article investigates the exchange rate pass-through (ERPT) into Vietnam’s import price and consumer price index employing the trade data between Vietnam and Korea for the period from Jan 2008 – March 2017 on a monthly basis. From the empirical outcome of the Vector Autoregressive (VAR) model, the ERPT coefficients for import price are quite low and statistically insignificant, which implies that the price of importing goods from Korea might depend mainly on other factors rather than KRW/VND exchange rate. On the contrary, the transmission from exchange rate to Vietnam’s consumer price index is so complete that a 1% shock in exchange rate can cause a change by 0.994% in consumer price index at lag order 2. This result is further confirmed by variance decomposition and Granger causality tests which reveal that the exchange rate shock builds the strongest influence on the fluctuation of Vietnam’s inflation rate.

Suggested Citation

  • DO Thi My Huong & CAO Hong Minh, 2019. "Exchange Rate Pass-Through (ERPT) and its Implications for Vietnam: Vector Autoregressive Approach from Vietnam-Korea Trade Data," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 9(2), pages 257-266.
    • Handle: RePEc:asi:aeafrj:v:9:y:2019:i:2:p:257-266:id:1800
    as

    Download full text from publisher

    File URL: https://archive.aessweb.com/index.php/5002/article/view/1800/2718
    Download Restriction: no
    File URL: https://archive.aessweb.com/index.php/5002/article/view/1800/3971
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:asi:aeafrj:v:9:y:2019:i:2:p:257-266:id:1800. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Robert Allen (email available below). General contact details of provider: https://archive.aessweb.com/index.php/5002/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.