{"title":"越南的汇率风险溢价","authors":"L. Hung","doi":"10.22452/mjes.vol59no2.7","DOIUrl":null,"url":null,"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.","PeriodicalId":42743,"journal":{"name":"Malaysian Journal of Economic Studies","volume":null,"pages":null},"PeriodicalIF":0.5000,"publicationDate":"2022-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Exchange Rate Risk Premium in Vietnam\",\"authors\":\"L. Hung\",\"doi\":\"10.22452/mjes.vol59no2.7\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":42743,\"journal\":{\"name\":\"Malaysian Journal of Economic Studies\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.5000,\"publicationDate\":\"2022-12-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Malaysian Journal of Economic Studies\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.22452/mjes.vol59no2.7\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Malaysian Journal of Economic Studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.22452/mjes.vol59no2.7","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ECONOMICS","Score":null,"Total":0}
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.
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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.
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