World economy and international economic relations

The effects of world crude oil price on the real effective exchange rate: empirical evidences from Vietnam

Economic Annals-XXI

Economic Annals-ХХI: Volume 177, Issue 5-6, Pages: 53-69

Citation information:
Anh, T. Ch., Thu, Th. N., Thi, Th. T., Thanh, N. Ch., & Hanh, H. Th. (2019). The effects of world crude oil price on the real effective exchange rate: empirical evidences from Vietnam. Economic Annals-XXI, 177(5-6), 53-69. doi: https://doi.org/10.21003/ea.V177-05

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Tu Chuc Anh
PhD (Economics),
Associate Professor,
Public Finance Faculty,
Academy of Finance
No 58 Le Van Hien Road, Duc Thang Ward, Bac Tu Liem District, Hanoi, 100000, Vietnam
chucanhtu@hvtc.edu.vn
ORCID ID: https://orcid.org/0000-0003-2878-3230

Thuy Nguyen Thu
PhD (Economics),
Fundamental Faculty,
Academy of Finance
No 58 Le Van Hien Road, Duc Thang Ward, Bac Tu Liem District, Hanoi, 100000, Vietnam
nguyenthuthuy@hvtc.edu.vn
ORCID ID: https://orcid.org/0000-0002-7981-4394

Thuy Truong Thi
PhD (Economics),
Associate Professor,
Accounting Faculty,
Academy of Finance
No 58 Le Van Hien Road, Duc Thang Ward, Bac Tu Liem District, Hanoi, 100000, Vietnam
truongthithuy@hvtc.edu.vn
ORCID ID: https://orcid.org/0000-0001-8740-9498

Ngo Chi Thanh
PhD (Economics),
Technology and Science Department,
Hong Duc University
No 565 Quang Trung Road, Dong Ve Ward, Thanh Hoa City, 440000-450000, Vietnam
ngochithanh@hdu.edu.vn
ORCID ID: https://orcid.org/0000-0003-3353-583X

Hoang Thanh Hanh
PhD (Economics),
Accounting Faculty,
Academy of Finance
No 58 Le Van Hien Road, Duc Thang Ward, Bac Tu Liem District, Hanoi, 100000, Vietnam
hoangthanhhanh@hvtc.edu.vn
ORCID ID: https://orcid.org/0000-0002-4220-6125

The effects of world crude oil price on the real effective exchange rate: empirical evidences from Vietnam

Abstract. The paper examines impact the world crude oil price (WCOP) on the real effective exchange rates (REER) based on empirical evidences from Vietnam in the period from 1986 to 2019. It includes five parts. Section 1 introduces research issues. Section 2 presents an overview of the research on the relationship between the WCOP and the REER. Section 3 describes the data and research methods. In Section 4, we use the autoregressive distributed lag model (ARDLM) to study the impact of the WCOP on the REER of Vietnam. Section 5 presents the key findings and explains the results in the light of actual practices. Monthly data are divided into four periods: Dec 1986 – Dec 1990, Jan 1991 – Jan 1999, Feb 1999 – Dec 2015, and 2016 – 2Q 2019, corresponding to the principles of the monetary policy in Vietnam. The obtained results basing on the ARDLM show that there was no impact of the WCOP on the REER in the period between Dec 1986 and Dec 1990. In the remaining two periods, the impact of the WCOP on the REER was observed in the short-term. The last period between 2016 and 2Q 2019 shows that the WCOP has a strong impact on the actual average exchange rate in Vietnam. In some way, this is also a positive expression of the close relationship between the foreign exchange market and the WCOP. In all the periods, there exists a co-integration relationship between the WCOP and the REER.

Keywords: Crude Oil; Crude Oil Price; Oil Price; World Crude Oil Price (WCOP); Exchange Rate; Real Effective Exchange Rate (REER); Autoregressive Distributed Lag Model (MRDLM)

JEL Classification: C32; F31; O53; Q43

Acknowledgements and Funding: The authors received no direct funding for this research.

Contribution: The authors contributed equally to this work.

DOI: https://doi.org/10.21003/ea.V177-05

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Received 14.07.2019
Received in revised form 31.07.2019
Accepted 5.08.2019
Available online 18.09.2019

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