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| Sy-Hoa Ho, Idir Hafrad and Viet Dung Tran |
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| ''Asymmetric exchange rates pass-through in Vietnam'' |
| ( 2022, Vol. 42 No.3 ) |
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| In this paper, we study the measure of exchange rate pass-through on consumer price for Vietnam using the Nonlinear Autoregressive Dynamic Lag from 2000Q4 to 2018Q2. Our findings can be summarized as follows: (i) we demonstrate the existence of the asymmetric effect of the exchange rate to domestic price in both short run and long run; (ii) the exchange rate pass-through is high; (iii) the impact of exchange rate depreciation on domestic price is stronger than
appreciation; (iv) the exchange rate pass-through is higher in the long run than in the short run; and (v) foreign competitor price plays an important role in domestic price movement.
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| Keywords: Exchange rate pass-through, Asymmetric exchange rate, ARDL models, NARDL models
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JEL: E4 - Money and Interest Rates: General
F3 - International Finance: General |
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| Manuscript Received : Aug 17 2021 | | Manuscript Accepted : Sep 30 2022 |
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