Abstract
Purpose: The purpose of this paper is to evaluate and analyze impacts of the monetary policy (MP) – money aggregate and interest rate – on the exchange rate in Vietnam.
Design/methodology/approach: The study uses data over the period of 2008–2018 and applies the vector autoregression model, namely recursive restriction and sign restriction approaches.
Findings: The main empirical findings are as follows: a contraction of the money aggregate significantly leads to the real effective exchange rate (REER) depreciating and then appreciating; a tightening of the interest rate immediately causes the REER appreciating and then depreciating; and both the money aggregate and the interest rate strongly determine fluctuations of the REER.
Originality/value: The quantitative results imply that the MP affects the REER considerably.
| Original language | English |
|---|---|
| Pages (from-to) | 220-237 |
| Number of pages | 18 |
| Journal | Journal of Asian Business and Economic Studies |
| Volume | 26 |
| Issue number | 2 |
| Early online date | 25 Jul 2019 |
| DOIs | |
| Publication status | Published - 22 Oct 2019 |