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SOURCES OF EXCHANGE RATE FLUCTUATION IN VIETNAM: AN APPLICATION OF THE SVAR MODEL

dc.contributor.authorVan Phuong, Nguyen
dc.date.accessioned2016-08-30T19:49:05Z
dc.date.available2016-08-30T19:49:05Z
dc.date.issued2015-04-01
dc.identifier.otherRePEc:wdi:papers:2015-1090
dc.identifier.urihttps://hdl.handle.net/2027.42/132991
dc.description.abstractVietnam has been implementing the export-oriented economy, in which the central bank of Vietnam, well-known as the State Bank of Vietnam (SBV), adopted the managed float exchange rate regime in 1990. Therefore, the exchange rate movement plays an important role in stimulating the Vietnamese export activities. By applying the long-run SVAR model, pioneered by Blanchard and Quah (1989), this research examines how the real and nominal shocks impact the nominal and real exchange rate (USD/VND) in Vietnam. Based on monthly data concerning USD/VND exchange rate and, the price levels in Vietnam and the United States from May 1995 to December 2013, our empirical results reveal that: the real shock primarily leads the real and nominal exchange rate (USD/VND) to fluctuate over time. Meanwhile, the nominal shock has a temporary effect on the movement in the real exchange rate in Vietnam. Our research also finds that the long-run Purchasing Power Parity (PPP) does not hold in Vietnam.
dc.relation.ispartofserieswp1090
dc.subjectThe State Bank of Vietnam
dc.subjectthe exchange rate
dc.subjectunit root test
dc.subjectSVAR
dc.subject.otherE600
dc.subject.otherE690
dc.titleSOURCES OF EXCHANGE RATE FLUCTUATION IN VIETNAM: AN APPLICATION OF THE SVAR MODEL
dc.typeWorking Paper
dc.subject.hlbsecondlevelEconomics
dc.subject.hlbtoplevelBusiness
dc.contributor.affiliationumWilliam Davidson Institute
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/132991/1/wp1090.pdf
dc.contributor.authoremailphuongnv@iuj.ac.jp
dc.owningcollnameWilliam Davidson Institute (WDI) - Working Papers


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