Symmetric and asymmetric effects of exchange rates on money demand: Empirical evidence from Vietnam - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2019

Symmetric and asymmetric effects of exchange rates on money demand: Empirical evidence from Vietnam

Sy Hoa Ho
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Résumé

This empirical investigation aims at exploring the determinants of money demand in Vietnam by using both linear and nonlinear autoregressive distributed lags models over the period spanning from the third quarter of 2000 to the first quarter of 2018. Our findings can be summarized as follows: firstly, when the shock is symmetric (i.e. a permanent nominal appreciation of one percent), the money demand increases by 3.7 percent in the long term. Secondly, when the shock is asymmetric, for a permanent nominal appreciation of one percent, we observe an increase of 15.6 percent in the money demand. Whereas, for a permanent nominal depreciation of one percent, we observe a decrease of 7.4 percent in the money demand. These results are consistent with symmetry tests and lead us to think that asymmetries occur mainly in the short run and are transmitted to the long run.
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Dates et versions

hal-03196678 , version 1 (28-12-2019)
hal-03196678 , version 2 (11-04-2023)

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Sy Hoa Ho, Jamel Saadaoui. Symmetric and asymmetric effects of exchange rates on money demand: Empirical evidence from Vietnam. 2019. ⟨hal-03196678v1⟩
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