How to Hedge against Inflation Risk in Vietnam

被引：0
|
作者：
Thi Thanh Binh, Nguyen [1 ]
机构：
[1] Chaoyang Univ Technol, Dept Accounting, Taichung 41349, Taiwan
来源：
ECONOMIES | 2023年 / 11卷 / 03期
关键词：
asymmetric cointegration; gold price; inflation hedge; MSI-VAR(1) model; the US dollar; Vietnam; EXCHANGE-RATE; US INFLATION; TIME-SERIES; GOLD; COINTEGRATION; PRICES; RATES;
D O I：
10.3390/economies11030094
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Vietnam has experienced galloping inflation and faced serious dollarization since its reform. To effectively control inflation for promoting price stability, it is necessary to find efficacious leading indicators and a hedging mechanism. Using monthly data over the period from January 1997 to June 2020, this study finds the predictive power and hedge effectiveness of both gold and the US dollar on inflation in the long-run and short-run within the asymmetric framework. Especially, the response of inflation to the shocks of gold price and the US dollar is quick and decisive, disclosing the sensitivity of inflation to these two variables.
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页数：12
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