Exchange rate risk and economic growth in Vietnam
Main Article Content
Abstract
This paper examines the impact of exchange rate risk on economic performances of Vietnam in period 1991-2009 by using Autoregressive Distributed Lag (ARDL) approach. The empirical results show that there is existence of long run relationships between REER volatility and output. Impact of exchange rate risk is statistically significant on economic performances in Vietnam. An increase in exchange rate risk would hurt economic growth. The level relationships also show that growth may be improved when REER depreciates...
Article Details
Keywords
Exchange rate risk, ARDL approach, Output, Vietnam
References
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Available at: http://www.meeaweb.org/meeapapers/EconomicGrowth.pdf
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11. Eichengreen, B. and R. Hausmann (1999), “Exchange Rates Financial Fragility,” NBER WorkingPaper No. 7418.
12. Engle, R. (2001), “GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics,” Journal of Economic Perspective 15(4), pp. 157-168.
13. Engle, R. and C.W.J Granger (1987), “Cointegration and Error Correction: representation, estimatin and testing”, Econometrica 55, pp. 251 - 276
14. Ghorbani, M. and M. Motallebi (2009), “Application Pesaran and Shin Method for Estimating Irans` Import Demand Function,” Journal of Applied Science 9, pp. 1175-1179.
15. Ghosh, A., A. M. Gulde and Wolf H. (2003), Exchange Rate Regimes: Choices and Consequences. Cambridge, Massachusetts: MIT Press.
16. Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control 12, pp. 231-254.
17. Johansen, S. and K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration-With Applications to the Demand For Money”, Oxford Bulletin of Economics and Statistics, Vol. 52, No. 2, pp.169-210
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19. Kent, C. and R. Naja (1998), “Effective Real Exchange Rates and Irrelevant Nominal Exchange Rate Regimes,” Research Discussion Paper No. 9811.
20. McKinnon, Ronald (1963), “Optimum Currency Areas,” American Economic Review 53, pp. 717–725.
21. McKinnon, Ronald (1973), Money and Capital in Economic Development. Brookings Institution.
22. Obstfeld, M. and K. Rogoff (1995), “The Mirage of Fixed Exchange Rates,” The Journal of Economic Perspectives 9 (4), pp. 73–96.
23. Pesaran, M.H., Y. Shin and R.J. Smith (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics 16, pp. 289–326.
24. Qian, Y., Varangis, P. (1994), “Does Exchange Rate Volatility Hinder Export Growth?,” Empirical Economics 19, pp. 371–396.
25. Schnabl, G. (2008), “Exchange Rate Volatility and Growth in Small Open Economies at the EMU Periphery,” Economic Systems 32 (1), pp. 70-91
26. Seabra, F. (1995), “Short-run Exchange Rate Uncertainty in Latin America,” Applied Economics 27 (5), pp. 441-50.
27. Son, N. H. (2009), Banking system of Vietnam: Reform Strategies and Transition Assessment http://www.trf.or.th/TRFGallery/Upload/Gallery/Documents/Files/1000000015.pdf
2. Amuedo- Dorantes, C. and S. Pozo (2001b). “Foreign Exchange Rates and Foreign Direct Investment in the United Stated,” The International Trade Journal 15 (3), 323-343.
3. Azid T., M. Jamil and A. Kousar (2005), “Impact of Exchange Rate Volatility on Growth and Economic Performance: A Case Study of Pakistan, 1973–2003,” The Pakistan Development Review 44 (4), Part II (Winter 2005), pp. 749–775.
4. Bagella M., L. Becchetti, I. Hasan (2006), “Real Effective Exchange rate Volatility and Growth: A Framework to Measure Advantages of Flexibility vs. Costs of Volatility “, Journal of Banking & Finance 30, pp. 1149–1169.
5. Bahmani-Oskooee M. and S. W. Hegerty (2007), “Exchange Rate Volatility and Trade Flows: a Review Article,” Journal of Economic Studies 34 (3), pp. 211-255.
6. Bassam AbuAl-Foul (2010), “The Causal Relation between Savings and Economic Growth: Some Evidence from MENA Countries,” The 30th MEEA Meeting, Atlanta (Jan.2010).
Available at: http://www.meeaweb.org/meeapapers/EconomicGrowth.pdf
7. Caporale, G. M. and N. Pittis (1995), “Nominal Exchange Rate Regimes and the Stochastic Behavior of Real Variables,” Journal of International Money and Finance 14, pp. 395-245.
8. De Grauwe, P. and G. Schnabl (2004), “Exchange Rate Regimes and Macroeconomic Stability in Central and Eastern Europe,” Cesifo Working Paper No. 1182.
9. Edwards, Sebastian, Levy-Yeyati, Eduardo (2005), “Flexible Exchange Rates as Shock Absorbers,” European Economic Review 49(8), pp. 2079-2105.
10. Eichengreen, B. and D. Leblang (2003), “Exchange Rates and Cohesion: Historical Perspectives and Political-Economy Considerations,” Journal of Common Market Studies 41, pp. 797–822.
11. Eichengreen, B. and R. Hausmann (1999), “Exchange Rates Financial Fragility,” NBER WorkingPaper No. 7418.
12. Engle, R. (2001), “GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics,” Journal of Economic Perspective 15(4), pp. 157-168.
13. Engle, R. and C.W.J Granger (1987), “Cointegration and Error Correction: representation, estimatin and testing”, Econometrica 55, pp. 251 - 276
14. Ghorbani, M. and M. Motallebi (2009), “Application Pesaran and Shin Method for Estimating Irans` Import Demand Function,” Journal of Applied Science 9, pp. 1175-1179.
15. Ghosh, A., A. M. Gulde and Wolf H. (2003), Exchange Rate Regimes: Choices and Consequences. Cambridge, Massachusetts: MIT Press.
16. Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control 12, pp. 231-254.
17. Johansen, S. and K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration-With Applications to the Demand For Money”, Oxford Bulletin of Economics and Statistics, Vol. 52, No. 2, pp.169-210
18. Hasan, S. and M. Wallace (1996), “Real Exchange Rate Volatility and the Exchange Rate Regimes: Evidence from Long term Data,” Economic Letters 52, pp. 67-73.
19. Kent, C. and R. Naja (1998), “Effective Real Exchange Rates and Irrelevant Nominal Exchange Rate Regimes,” Research Discussion Paper No. 9811.
20. McKinnon, Ronald (1963), “Optimum Currency Areas,” American Economic Review 53, pp. 717–725.
21. McKinnon, Ronald (1973), Money and Capital in Economic Development. Brookings Institution.
22. Obstfeld, M. and K. Rogoff (1995), “The Mirage of Fixed Exchange Rates,” The Journal of Economic Perspectives 9 (4), pp. 73–96.
23. Pesaran, M.H., Y. Shin and R.J. Smith (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics 16, pp. 289–326.
24. Qian, Y., Varangis, P. (1994), “Does Exchange Rate Volatility Hinder Export Growth?,” Empirical Economics 19, pp. 371–396.
25. Schnabl, G. (2008), “Exchange Rate Volatility and Growth in Small Open Economies at the EMU Periphery,” Economic Systems 32 (1), pp. 70-91
26. Seabra, F. (1995), “Short-run Exchange Rate Uncertainty in Latin America,” Applied Economics 27 (5), pp. 441-50.
27. Son, N. H. (2009), Banking system of Vietnam: Reform Strategies and Transition Assessment http://www.trf.or.th/TRFGallery/Upload/Gallery/Documents/Files/1000000015.pdf