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https://epub.vgu.edu.vn/handle/dlibvgu/1185| Title: | Quantitative study on return and volatility spill-over effect of foreign exchange rate on Vietnamese exchange rate | Authors: | Lu Phuong Quynh | Keywords: | State bank of Vietnam;Monetary policy;Diebold-yilmaz method | Issue Date: | 2020 | Publisher: | Vietnamese-German University | Abstract: | In recent years, Vietnam has become one of the most striking markets which have attracted several international investments due to its stable economic situation and potential development. However, an emerging market such as Vietnam is also vulnerable to pressure from distinct countries, especially in controlling the exchange rate. This is also a tremendous challenge for the State Bank of Vietnam (SBV) to cope with in the last two decades because they want the currency to be stable yet competitive with other rivals. This paper estimates the impact of foreign currencies on Vietnam dong, which is called spillover effect. To gain a profound understanding, I have identified relations among Vietnam's exchange rate and other selected exchange rates, using structural vector autoregressions (SVAR) and Diebold-Yilmaz spillover method. The result shows that U.S and China rates are the most significant sources of Vietnam rate spillovers. Another noticeable finding is that return spillovers display a slightly increasing trend while volatility ones display clear explosion during period of market distress |
URI(1): | http://epub.vgu.edu.vn/handle/dlibvgu/1185 | Rights: | Attribution-NonCommercial 4.0 International |
| Appears in Collections: | Finance & Accounting (FA) |
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| Quantitative study on return and volatility spill-over effect of foreign exchange rate on Vietnamese exchange rate.pdf | 1.04 MB | Adobe PDF |
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