Abstract
In this study, the author assessed the effects and impacts of the anchor exchange rate mechanism in USD for the macroeconomic factors of Vietnam by using the VAR autoregressive vector model and analytics of impulse reaction function, covariance decomposition. The study focused on three specific variables in the country: real output, price level of goods and services; and money supply. The results show that the change in the USD/VND exchange rate may have a significant impact on the macroeconomic variables of Vietnam. More specifically, the devaluation of the VND against the USD led to a decline in gross domestic product (GDP) and as a result tightening monetary policy. These results are quite robustly analyzed through the verification of econometric models for time series.
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Appendices
Appendix 1: Latency Test of Time Series
1.1 Stationarity Test of the LNRUSDVND00 Series
Augmented Dickey-Fuller Unit Root Test on LNRUSDVND
Augmented Dickey-Fuller Unit Root Test on D(LNRUSDVND00)
1.2 Stationarity Test of the GDP Series
Augmented Dickey-Fuller Unit Root Test on GDP___
Augmented Dickey-Fuller Unit Root Test on D(GDP___)
1.3 Stationarity Test of the LNCPI00 Series
Augmented Dickey-Fuller Unit Root Test on LN_CPI_VN00
Augmented Dickey-Fuller Unit Root Test on D(LN_CPI_VN00)
1.4 Stationarity Test of the LNM2 Series
Augmented Dickey-Fuller Unit Root Test on LNM2
Augmented Dickey-Fuller Unit Root Test on D(LNM2)
Augmented Dickey-Fuller Unit Root Test on D(LNM2,2)
Appendix 2: Optimal Lag Test of the Model
Appendix 3: Granger Causality Test
Appendix 4: White Noise Error Test of Residuals
Appendix 5: Stability Test of the Model
VAR Stability Condition Check
Appendix 6: Impulse Response of the Model
Appendix 7: Variance Decomposition of the Model
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Thao, L.P.T.D., Hang, L.T.T., Dung, N.X. (2019). The Impact of Anchor Exchange Rate Mechanism in USD for Vietnam Macroeconomic Factors. In: Kreinovich, V., Thach, N., Trung, N., Van Thanh, D. (eds) Beyond Traditional Probabilistic Methods in Economics. ECONVN 2019. Studies in Computational Intelligence, vol 809. Springer, Cham. https://doi.org/10.1007/978-3-030-04200-4_25
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DOI: https://doi.org/10.1007/978-3-030-04200-4_25
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