Risk spillovers between the Vietnamese dong and key Asian currencies before and during the Covid-19 pandemic
Vol. 133 No. 5A (2024), Original Article
Vol. 133 No. 5A (2024)

Risk spillovers between the Vietnamese dong and key Asian currencies before and during the Covid-19 pandemic

Original Article
https://doi.org/10.26459/hueunijed.v133i5A.7325
Published 2024-03-29
Le To Minh Tan
University of Economics, Hue University, 99 Ho Dac Di St., Hue, Vietnam
Nguyen Manh Tuan
Agribank Vinh Linh, 19 Hung Vuong St., Vinh Linh, Quang Tri, Vietnam
Phan Thanh Hoan
University of Economics, Hue University, 99 Ho Dac Di St., Hue, Vietnam
PDF (Vietnamese)

Keywords

risk spillovers
exchange rate
Covid-19 pandemic
VND lây lan rủi ro
tỷ giá
dịch Covid-19
VND

Abstract

This research utilizes the framework of forecast error variance decomposition to examine the extent of risk spillovers between the Vietnamese dong (VND) and vital Asian currencies before and during the Covid-19 pandemic. The findings show that, in general, the risk contagion between the VND and other crucial Asian currencies in the study is modest. Second, the intensity of risk spillovers is not constant but varies over time, spiking significantly when Covid-19 became a pandemic. Third, the VND is a net-risk receiver currency, especially from stronger currencies such as KRW, SGD, or JPY, and becomes more vulnerable during the disease occurrence.

https://doi.org/10.26459/hueunijed.v133i5A.7325
PDF (Vietnamese)

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