Exchange Rate Risk Premium in Vietnam

IF 0.5 Q4 ECONOMICS

Malaysian Journal of Economic Studies Pub Date : 2022-12-26 DOI:10.22452/mjes.vol59no2.7

L. Hung

引用次数: 0

Abstract

This study characterises the exchange rate risk premium in the context of a small open economy with a controlled floating exchange rate regime. The empirical analysis applies the time-varying coefficients Bayesian structural vector autoregressive (TVC-BSVAR) model on data from the Vietnamese economy over a sample period from February 2012 to February 2019. The evidence shows that the risk premium varies over time, and increases with inflation and foreign direct investment capital inflows, but decreases with output growth and credit growth. The TVC-BSVAR model displayed highly accurate forecasting performance, accounting for nearly 94% of risk premium in a case study using the US dollar forward selling contract.

查看原文本刊更多论文

越南的汇率风险溢价

本研究描述了在具有受控浮动汇率制度的小型开放经济体背景下的汇率风险溢价。实证分析将时变系数贝叶斯结构向量自回归（TVC-BSVAR）模型应用于2012年2月至2019年2月的越南经济数据。证据表明，风险溢价随时间变化，随着通货膨胀和外国直接投资资本流入而增加，但随着产出增长和信贷增长而降低。TVC-BSVAR模型显示出高度准确的预测性能，在使用美元远期销售合同的案例研究中占风险溢价的近94%。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Malaysian Journal of Economic Studies ECONOMICS-

CiteScore

1.30

自引率

25.00%

发文量

期刊介绍： The primary purpose of the journal is to promote publications of original research related to the Malaysian economy. It is also designed to serve as an outlet for studies on the South-east Asian countries and the Asian region. The journal also considers high-quality works related to other regions that provide relevant policy lessons to Malaysia. The journal is receptive to papers in all areas of economics. We encourage specifically contributions on all range of economic topics of an applied or policy nature. At the same time, submissions of methodological or theoretical studies with results that are of practical use are welcome. Works that are interdisciplinary will be considered provided that they contain substantial economic contents.