Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/163183
Authors: 
Anh, Pham Thi Hoang
Year of Publication: 
2017
Series/Report no.: 
ADBI Working Paper Series 686
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%.
Subjects: 
Economics
Finance sector development
Viet Nam
JEL: 
F31
E52
C32
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/3.0/igo/
Document Type: 
Working Paper

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