Are global shocks leading indicators of a currency crisis in Viet Nam?

Arbeitspapier

This paper aims to identify leading indicators of a currency crisis in Viet Nam based on an early warning system for the period 1996-February 2016. This paper found that global financial shocks (e.g., regional and global financial crisis, unexpected changes in monetary policy of largest economies such as the United States and the People's Republic of China), and domestic credit growth rate are leading indicators of a currency crisis in Viet Nam in all three models. Deficits in trade balance, international reserves, and overvaluation of the dong are also good indicators. In addition, a model in which a currency crisis or turbulence in the foreign exchange market is defined based on the exchange market pressure and parallel market premium, with window length of 2 months, outperformed for predicting a currency crisis in Viet Nam. Empirical results suggested that probability of predicting a true currency crisis was 77.5%.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ADBI Working Paper ; No. 686

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Foreign Exchange ; Monetary Policy ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Thema: Economics ; Finance sector development ; Viet Nam

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Anh, Pham Thi Hoang
• Ereignis: Veröffentlichung
• (wer): Asian Development Bank Institute (ADBI)
• (wo): Tokyo
• (wann): 2017

Weitere Informationen

• Handle: http://hdl.handle.net/10419/163183
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ