Inflation environment and exchange rate pass-through: Evidence in Vietnam

Abstract

This research investigates the dependent on exchange rate pass-through to the inflation environment in Vietnam by using the smooth transition regression model. The findings show a significant inflation threshold of 1.5%/month that divides the economy into two regimes: low and high inflations. The study also helps confirm the nonlinear relationship between the exchange rate pass-through coefficients and the inflation environment. As a result, the exchange rate pass-through is higher when the inflation above specify threshold in the short run and long run. Additionally, the study reveals a positive correlation between the exchange rate pass-through level and the volatility of inflation.

Keywords

• độ bất ổn trong lạm phát
• hồi quy chuyển tiếp trơn
• môi trường lạm phát
• truyền dẫn tỷ giá