SỰ LÂY LAN RỦI RO GIỮA TỶ GIÁ ĐỒNG VIỆT NAM VỚI CÁC ĐỒNG TIỀN CHỦ CHỐT CHÂU Á TRƯỚC VÀ TRONG ĐẠI DỊCH COVID-19
Tập 133 Số 5A (2024), Nghiên cứu
Tập 133 Số 5A (2024)

SỰ LÂY LAN RỦI RO GIỮA TỶ GIÁ ĐỒNG VIỆT NAM VỚI CÁC ĐỒNG TIỀN CHỦ CHỐT CHÂU Á TRƯỚC VÀ TRONG ĐẠI DỊCH COVID-19

Nghiên cứu
https://doi.org/10.26459/hueunijed.v133i5A.7325
Đã xuất bản 2024-03-29
Lê Tô Minh Tân
Trường Đại học Kinh tế, Đại học Huế, 99 Hồ Đắc Di, Huế, Việt Nam
Nguyễn Mạnh Tuấn
Ngân hàng NN&PTNT Vĩnh Linh, 19 Hùng Vương, Vĩnh Linh - Quảng Trị, Việt Nam
Phan Thanh Hoàn
Trường Đại học Kinh tế, Đại học Huế, 99 Hồ Đắc Di, Huế, Việt Nam
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Từ khóa

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

Tóm tắt

Nghiên cứu áp dụng khung phân tích phân rã phương sai sai số dự báo để khảo sát mức độ lây lan rủi ro tỷ giá giữa đồng tiền Việt Nam (VND) với các đồng tiền chủ chốt trong khu vực châu Á trước và trong đại dịch Covid-19. Kết quả nghiên cứu cho thấy: Một là, nhìn chung mức lây lan rủi ro giữa VND với các đồng tiền châu Á chủ chốt trong nghiên cứu ở mức khiêm tốn. Hai là, cường độ lây lan rủi ro không cố định mà có sự thay đổi theo thời gian, tăng đột biến khi Covid-19 trở thành đại dịch. Ba là, đồng VND là đồng tiền nhận ròng rủi ro, đặc biệt từ các đồng tiền mạnh như KRW, SGD hay JPY và trở nên dễ bị tổn thương hơn khi dịch bệnh xảy ra.

https://doi.org/10.26459/hueunijed.v133i5A.7325
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