Are Global Shocks Leading Indicators of a Currency Crisis in Viet Nam?
Anh, Pham Thi Hoang | March 2017
Abstract
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%.
Citation
Anh, Pham Thi Hoang. 2017. Are Global Shocks Leading Indicators of a Currency Crisis in Viet Nam?. © Asian Development Bank Institute. http://hdl.handle.net/11540/7619.Keywords
Crisis
Unemployment
Economic cooperation
Gross domestic product
Employment
Economic forecast
Economic indicators
Growth models
Gross domestic product
Macroeconomics
Economic forecast
Economic Crisis
Economic Efficiency
Economic Policies
Regional Economic Development
Job Evaluation
Evaluation
Macroeconomic
Macroeconomic Analysis
Performance Evaluation
Impact Evaluation
Economic Welfare
Economic Incentives
Financial crisis
Labor economics
Regional economics
Turnover
Economic survey
Job analysis
Labor turnover
International relief
Exports
Economic development projects
Economic policy
Economic forecasting
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