2,813
Views
1
CrossRef citations to date
0
Altmetric
GENERAL & APPLIED ECONOMICS

Understanding exchange rate pass-through in Vietnam

, , &
Article: 2139916 | Received 15 Jun 2022, Accepted 21 Oct 2022, Published online: 14 Nov 2022

References

  • Abdulqadir, I. A., & Chua, S. Y. (2020). Asymmetric impact of exchange rate pass-through into employees’ wages in sub-Saharan Africa: Panel non-linear threshold estimation. Journal of Economic Studies, 47(7), 1629–17. https://doi.org/10.1108/JES-03-2019-0128
  • Anh, V. T., Quan, L. T. T., Phuc, N. V., Chi, H. M., & Duc, V. H. (2018). Exchange rate pass-through in ASEAN countries: An application of the SVAR model. Emerging Markets Finance and Trade, 57(1), 21–34. https://doi.org/10.1080/1540496X.2018.1474737
  • Arize, C. A., Malindretos, J., & Igwe, U. E. (2017). Do exchange rate changes improve the trade balance: An asymmetric nonlinear cointegration approach. International Review of Economics and Finance, 49, 313–326. https://doi.org/10.1016/j.iref.2017.02.007
  • Beirne, J., & Bijsterbosch, M. (2011). Exchange rate pass-through in central and Eastern European EU Member States. Journal of Policy Modeling, 33(2), 241–254. https://doi.org/10.1016/j.jpolmod.2010.11.001
  • Burstein, A., Eichenbaum, M., & Rebelo, S. (2007). Modeling exchange rate pass-through after large devaluations. Journal of Monetary Economics, 54(2), 346–368. https://doi.org/10.1016/j.jmoneco.2005.08.013
  • Calvo, G., & Mishkin, F. (2003). The mirage of exchange rate regimes for emerging market countries. Journal of Economic Perspectives, 17(4), 98–120. https://doi.org/10.1257/089533003772034916
  • Campa, M. J., & Goldberg, S. L., 2002. Exchange rate pass-through into import prices: A macro or micro phenomenon? (NBER Working Paper No. 8934). https://www.nber.org/papers/w8934.
  • Campa, M. J., & Goldberg, S. L. (2005). Exchange rate pass-through into import prices. The Review of Economics and Statistics, 87(4), 679–690. https://doi.org/10.1162/003465305775098189
  • Carriere-Swallow, Y., Bertrand, G., Magud, E., & Valencia, F., 2016. Monetary policy credibility and exchange rate pass-through. (IMF Working Papers 16/240). IMF Working Paper. https://www.imf.org/external/pubs/ft/wp/2016/wp16240.pdf
  • Caselli, F. G., & Roitman, A. (2019). Nonlinear exchange-rate pass-through in emerging markets. International Finance, 2019, 1–28. https://doi.org/10.1111/infi.12344
  • Cheikh, B. N., & Louhichi, W. (2016). Revisiting the role of inflation environment in exchange rate pass-through: A panel threshold approach. Economic Modelling, 52, 233–238. https://doi.org/10.1016/j.econmod.2014.11.004
  • Cheikh, B. N., & Rault, C. (2017). Investigating first-stage exchange rate pass-through: Sectoral and macro evidence from euro area countries. The World Economy, 40(12), 2611–2638. https://doi.org/10.1111/twec.12499
  • Choudhri, E. U., & Hakura, D. S. (2006). Exchange rate pass-through to domestic prices: Does the inflationary environment matter? Journal of International Money and Finance, 25(4), 614–639. https://doi.org/10.1016/j.jimonfin.2005.11.009
  • Civcir, I., & Akcaglayan, A. (2010). Inflation targeting and the exchange rate: Does it matter in Turkey? Journal of Policy Modeling, 32(3), 339–354. https://doi.org/10.1016/j.jpolmod.2010.03.002
  • Comunale, C., & Simola, H. (2018). The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors. Research in International Business and Finance, 44(2018), 186–217. https://doi.org/10.1016/j.ribaf.2017.07.076
  • Corsetti, G., Dedola, L., & Leduc, S. (2008). High exchange rate volatility and low pass-through. Journal of Monetary Economics, 55(6), 1113–1128. http://dx.doi.org/10.1016/j.jmoneco.2008.05.013
  • Dash, A. K., & Narasimhan, V. (2011). Exchange rate pass-through: How much do exchange rate changes affect the prices of Indian exports and imports. South Asia Economic Journal, 12(1), 1–23. https://doi.org/10.1177/139156141001200101
  • Dornbusch, R. (1987). Exchange rates and prices. American Economic Review, 77(1), 93–106. http://www.nber.org/papers/w1769.pdf
  • Du, Z., Li, J., & Pei, P. (2021). The impacts of China’s exchange rate regime reform in 2005: A counterfactual analysis. Rev Dev Econ. 25(1), 430– 448. https://doi.org/10.1111/rode.12718
  • Elgammal, M. M., & Eissa, A. M. (2016). Key determinants of inflation and monetary policy in the emerging markets: Evidence from Vietnam . Afro-Asian Journal of Finance and Accounting, 6(3), 210–223. https://doi.org/10.1504/AAJFA.2016.079256
  • Frankel, J., Parsley, D., & Wei, J. (2012). Slow pass-through around the World: A new import for developing countries? Open Economies Review, 23(2), 213–251. https://doi.org/10.1007/s11079-011-9210-8
  • Goldberg, P. K., & Knetter, M. M. (1997). Goods prices and exchange rates: What have we learned? Journal of Economic Literature, 35, 1243–1272. http://www.nber.org/papers/w5862.pdf
  • Hansen, B. (1999). Threshold effects in non-dynamic panels: Estimation, testing, and inference. Journal of Econometrics, 93(2), 345–368. https://doi.org/10.1016/S0304-4076(99)00025-1
  • Ho, S. H., & Idir, A., 2020. Asymmetric exchange rates pass-through: New evidence from Vietnam. MPRA Paper 98651, University Library of Munich, Germany.
  • Jiménez-Rodríguez, R., & Morales-Zumaquero, A. (2016). A new look at exchange rate pass-through in the G-7 countries. Journal of Policy Modeling, 38(5), 985–1000. https://doi.org/10.1016/j.jpolmod.2016.06.007
  • Kabundi, A., & Mlachila, M. (2019). The role of monetary policy credibility in explaining the decline in exchange rate pass-through in South Africa. Economic Modelling, 79, 173–185. https://doi.org/10.1016/j.econmod.2018.10.010
  • Kassi, F. D., Sun, G., Ding, N., Rathnayake, N. D., & Assamoi, R. G. (2019). Asymmetry in exchange rate pass-through to consumer prices: Evidence from emerging and developing Asian countries. Economic Analysis and Policy, 62, 357–372. https://doi.org/10.1016/j.eap.2018.09.013
  • Khachatryan, G. A., & Grigoryan, A. (2020). Export growth dynamics and real exchange rate: Evidence from Armenia. International Economic Journal, 34(3), 493–509. https://doi.org/10.1080/10168737.2020.1750045
  • Kurtović, S., Siljković, B., Denić, N., Petković, D., Mladenović, S. S., Mladenović, I., & Milovancevic, M. (2018). Exchange rate pass-through and Southeast European economies. Physica A: Statistical Mechanics and Its Applications, 503, 400–409. https://doi.org/10.1016/j.physa.2018.03.005
  • Lado, E. P. Z. (2015). Test of the relationship between exchange rate and inflation in South Sudan: Granger-causality approach. Economics, 4(2), 34–40. https://doi.org/10.11648/j.eco.20150402.13
  • Lan, T. M. N., Papyrakis, E., & Bergeijk, A. G. P. (2019). Assessing the price and output effects of monetary policy in Vietnam: Evidence from a VAR analysis. Applied Economics, 51(44), 4800–4819. https://doi.org/10.1080/00036846.2019.1602708
  • Levy-Yeyati, E., & Sturzenegger, F. (2003). To float or to fix: Evidence on the impact of exchange rate regimes on growth. American Economic Review, 93(4), 1173–1193. https://doi.org/10.1257/000282803769206250
  • Liu, Y. H., Chen, L. X., & Elliott, C. (2017). The imported price, inflation and exchange rate pass-through in China. Cogent Economics & Finance, 5(1), 1–13. https://doi.org/10.1080/23322039.2017.1279814
  • McCarthy, J. (2007). Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies. Eastern Economic Journal, 33(4), 511–537. http://dx.doi.org/10.1057/eej.2007.38
  • Mendonça, H. F., & Tiberto, B. P. (2017). Effect of credibility and exchange rate pass-through on inflation: An assessment for developing countries. International Review of Economics & Finance, 50, 196–244. https://doi.org/10.1016/j.iref.2017.03.027
  • Minh, V. V., 2009. Exchange rate pass-through and its implications for inflation in Vietnam, (VDF Working Paper No. 0902). VDF Working Paper. http://www.vdf.org.vn/workingpapers/vdfwp0902
  • Nasir, M. A. (2021). Zero lower bound and negative interest rates: Choices for monetary policy in the UK. Journal of Policy Modeling, 43(1), 200–229. https://doi.org/10.1016/j.jpolmod.2020.03.014
  • Nasir, M. A., Huynh, T. L. D., & Vo, X. V. (2020). Exchange rate pass-through & management of inflation expectations in a small open inflation targeting economy. International Review of Economics & Finance, 69, 178–188. https://doi.org/10.1016/j.iref.2020.04.010
  • Nasir, M. A., & Vo, X. V. (2020). A quarter century of inflation targeting & structural change in exchange rate pass-through: Evidence from the first three movers. Structural Change and Economic Dynamics, 54, 42–61. https://doi.org/10.1016/j.strueco.2020.03.010
  • Olowofeso, O. E., Adeboye, A. A., Adejo, V. T., Bassey, K. J., & Abraham, O. (2017). Agricultural sector credit and output relationship in Nigeria: Evidence from nonlinear ARDL. CBN Journal of Applied Statistics, 8(1), 101–122.
  • Ozkan, I., & Erden, L. (2015). Time-varying nature and macroeconomic determinants of exchange rate pass-through. International Review of Economics & Finance, 38, 56–66. https://doi.org/10.1016/j.iref.2015.01.007
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616
  • Pham, V. A. (2019). Exchange rate pass-through into inflation in Vietnam: Evidence from VAR model. Journal of Economics and Development, 21(2), 144–155. https://doi.org/10.1108/JED-07-2019-0013
  • Pham, T. A. T., Nguyen, T. T., Nasir, M. A., & Huynh, T. L. D. (2020). Exchange rate pass-through: A comparative analysis of inflation targeting & non-targeting ASEAN-5 countries. The Quarterly Review of Economics and Finance. https://doi.org/10.1016/j.qref.2020.07.010
  • Phuc, V. N., & Duc, H. V. (2019). Macroeconomics determinants of exchange rate pass-through: New evidence from the Asia-Pacific Region. Emerging Markets Finance and Trade, 1–16. https://doi.org/10.1080/1540496X.2018.1534682
  • Prasertnukul, W., Kim, D., & Kakinaka, M. (2010). Exchange rates, price levels, and inflation targeting: Evidence from Asian countries. Japan and the World Economy, 22(3), 173–182. https://doi.org/10.1016/j.japwor.2010.03.002.
  • Przystupa, J., & Wróbel, E. (2011). Asymmetry of the exchange rate pass-through. Eastern European Economics, 49(1), 30–51. https://doi.org/10.2753/EEE0012-8775490103
  • Razafimahefa, F. I., 2012. Exchange rate pass-through in Sub-Saharan African economies and its determinants? (IMF Working Paper No. WP/12/141). IMF Working Paper. https://www.imf.org/external/pubs/ft/wp/2012/wp12141.pdf.
  • Rodrik, D. (2008). The real exchange rate and economic growth. Brookings Papers on Economic Activity, 2, 365–412.
  • Samuel Elias Kayamo. (2021). Asymmetric impact of real exchange rate on inflation in Ethiopia: A non-linear ARDL approach. Cogent Economics & Finance, 9(1). https://doi.org/10.1080/23322039.2021.1986931
  • Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In Robin C. Sickles, & William C. Horrace (Eds.), Festschrift in honor of Peter Schmidt (pp. 281–314). Springer.
  • Soon, V. S., Baharumshah, Z. A., & Wohar, E. M. (2018). Exchange rate pass-through in the Asian countries: Does inflation volatility matter? Applied Economics Letters, 25(5), 309–312. https://doi.org/10.1080/13504851.2017.1319553
  • Taylor, J. B. (2000). Low inflation, pass-through, and the pricing power of firms. European Economic Review, 44(7), 1389–1408. https://doi.org/10.1016/S0014-2921(00)00037-4
  • Tho, N. T., & Trang, N. T. N. (2016). Exchange rate pass-through in Vietnam under the impact of inflationary environment. Journal of Economic Development, 23(3), 89–109. https://doi.org/10.24311/jed/2016.23.3.08
  • Vogelsang, T. J. (1993). Essays on testing for nonstationarities and structural change in time series models. Princeton University. Ph.D. Dissertation.
  • Vo, A. T., Ho, C. M., & Vo, D. H. (2019). Understanding the exchange rate pass through to consumer prices in Vietnam: The SVAR approach. International Journal of Emerging Markets, 15(5), 971–989. https://doi.org/10.1108/IJOEM-10-2018-0551
  • Yanamandra, V. (2015). Exchange rate changes and inflation in India: What is the extent of exchange rate pass-through to imports? Economic Analysis and Policy, 47, 57–68. https://doi.org/10.1016/j.iref.2020.07.009
  • Yi, S., & Xiao-li, A. (2018). Application of threshold regression analysis to study the impact of regional technological innovation level on sustainable development. Renewable and Sustainable Energy Reviews, 89, 27–32. https://doi.org/10.1016/j.rser.2018.03.005