در پاسخ به بحران مالی جهانی: سیاست نرخ ارز ویتنام، 2008-2009

The paper presents an analysis of exchange rate policy in Vietnam during 2008–2009. In early 2008, the country faced a sudden reversal of capital flows as signs of developing domestic vulnerabilities became evident. The downward pressure on the dong then intensified with the onset of the global financial crisis in the fall. In these environments, the Vietnamese authorities responded with various exchange rate policy measures. The paper documents a shift in Vietnam's de facto exchange rate regime, from a basket peg to a simple US dollar peg, when the domestic vulnerabilities became compounded by the evolving global crisis. The authorities utilized additional measures to relieve pressure on the parallel exchange rate. An event study methodology finds little evidence of systematic effectiveness for these policy actions; any effectiveness was short-lived. A close examination of individual actions suggests that the impact of foreign exchange market intervention appeared more consistent than any other type of measure and most effective when combined with other measures.

The paper presents an analysis of exchange rate policy in Vietnam during 2008–2009, when the country faced a series of domestic and global shocks. Although Vietnam had earlier experienced appreciation pressure amid buoyant capital inflows, in early 2008, the country faced a sudden reversal as signs of developing domestic vulnerabilities became evident. The downward pressure on the exchange rate then intensified with the onset of the global financial crisis in the fall. In these environments, the Vietnamese authorities responded with various exchange rate policy measures to relieve downward pressure on the dong. A novel feature of our analysis is the application of a Kalman filter to the celebrated Frankel–Wei regression, in order to identify the timing of a shift in the de facto exchange rate regime. An event study (or news analysis) methodology is then used to assess the effectiveness of various exchange rate measures in stabilizing the parallel exchange rate relative to the official rate and reducing the parallel market premium. The paper contributes to the literature on the use of exchange rate policy as a crisis management tool. Although various exchange rate policy measures have been used in the past to respond to a currency crisis, there is a general lack of consensus in the literature on their effectiveness. For example, should a country under a managed float increase or reduce exchange rate flexibility when faced with downward pressure on the currency? Does raising interest rates help arrest a depreciating currency when there is a speculative attack? An especially large literature has emerged on the relationship between interest rates and exchange rates (e.g., Caporale et al., 2005, Evans and Lyons, 2005, Fatum and Scholnick, 2008, Kim, 2003 and Kim, 2005). The case of Vietnam is unique in this context as it is a semi-financially open economy. Though it controls capital flows tightly, it condones the existence of a parallel foreign exchange market (see Phylaktis, 1996 for a survey of conceptual issues related to a parallel foreign exchange market). The very use of monetary policy instruments by the Vietnamese authorities to address pressure in the foreign exchange market is an indication of their recognition that they do not have full control over a substantial part of foreign exchange transactions. The experience of Vietnam should therefore yield important implications for other developing countries that are at a similar stage of capital account openness. There are three major findings. First, the paper verifies that the country's de facto regime switched from a managed float (in the form of a basket peg) to a simple dollar peg. The application of a Kalman filter algorithm to the conventional Frankel–Wei methodology further indicates that the shift took place in June 2008 when the State Bank of Vietnam carried out a number of exchange rate policy actions to stabilize the parallel exchange rate. Second, the paper utilizes an event study (or news analysis) methodology to find little evidence of systematic effectiveness for the exchange rate policy measures in stabilizing the parallel exchange rate and reducing the parallel market premium. Any impact, moreover, was short-lived because statistical significance (the number of successful events) generally declined as the length of an event window was increased. Third, a close examination of individual events suggests that the impact of intervention appeared more consistent than any other type of measure taken alone and most effective when combined with other measures. The remainder of this paper is organized as follows. Section 2 reviews the major exchange rate policy related actions taken by the Vietnamese authorities during 2008–2009, against the movements of the official and parallel exchange rates of the Vietnamese dong against the US dollar. Section 3 examines how the authorities may have shifted the country's de facto regime in response to the evolving crisis. Section 4 assesses the impact of exchange rate policy actions, including a devaluation of the official exchange rate, a widening of the trading band, an announcement to sell foreign exchange, and an interest rate hike, in stabilizing the parallel market exchange rate relative to the official rate and reducing the parallel market premium. Section 5 presents a summary and a conclusion. Finally, Appendix explains the sources of the data and provides summary statistics on the variables used in the empirical study.

The paper has reviewed how the Vietnamese authorities used exchange rate policy to respond to domestic and global shocks affecting the country during 2008–2009, and assessed the effectiveness of the policy actions in relieving downward pressure on the parallel exchange rate relative to the official rate. An application of a Kalman filter algorithm to the conventional Frankel–Wei regression identified a shift in Vietnam's de facto exchange rate regime, from managed float (in the form of a basket peg) to a simple US dollar peg, further identifying that the shift took place in June 2008 when the State Bank of Vietnam introduced a number of additional stabilization measures. An event study methodology was then used to assess the effectiveness of devaluation, widening of the trading band, an announcement of readiness to sell foreign exchange, and a base interest rate hike, in helping to stabilize the parallel exchange rate. For the most part, there was little evidence of systematic effectiveness; any impact was short-lived in the sense that statistical significance (the number of successful events) declined as the event window was lengthened. A close examination of individual events suggested that the impact of an announcement of readiness to sell foreign exchange appeared more consistent than any other type of measure and most effective when combined with other policy measures. An important aspect of the Vietnamese experience concerns the June 2008 package, in which the authorities implemented two seemingly contradictory measures: they shifted to a de facto US dollar peg, while widening the trading band. Taken in isolation, this combination seemed to work in calming the market, possibly because the authorities thereby succeeded in demonstrating a greater commitment to defending the dong while eliminating the possibility of a one-way bet. The result was smaller exchange rate volatility in the parallel market, despite the fact that the authorities allowed greater exchange rate flexibility in the inter-bank market. This experience of Vietnam seems to yield an important insight into how market participants respond to exchange rate policy actions, and provide a potential lesson for other developing countries that may face a similar speculative attack on their currency.