Exchange Rate Risk Premium in Vietnam
Overview & Synopsis
We characterize the exchange rate risk premium on the context of a small open economy with controlled floating exchange rate regime. The risk premium is varying over time, and is increasing on inflation, decreasing on output growth, increasing on foreign direct investment capital inflows, and decreasing on the credit growth. The model can account for nearly 94% of risk premium on case study of USD forward selling contract in 11/2018. The evidence is based on a Time-Varying-Coefficients VAR model on a data set covering 85 observations over 02/2012-02/2019 in Vietnam.
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hal.science)
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Document Information
| Document Title | Exchange Rate Risk Premium in Vietnam |
|---|---|
| Author / Organization | Ly Dai Hung |
| Subject & Discipline | Multidisciplinary Academic Open Research |
| Categories | Science & Mathematics |
| Publication Year | 2019 |
| License / Rights | Open Access / Creative Commons |
| Resource Verification | Listed PDF (Verification Pending) |
| Original Host Website |
HAL Open Science
(hal.science)
|
| File Format | application/pdf (Portable Document Format) |
| Language | EN |
| Catalog ID | DOC-37552 |
| Original Source Link | Visit Source Page on hal.science » |