The purpose of this paper is to examine the degree of the exchange rate pass-through (ERPT) to the consumer price index (CPI) at both aggregated and disaggregated levels in Vietnam. Updated data of the nominal effective exchange rate (NEER) and bilateral exchange rate (BiER) have been utilized in this study for the comparison purposes.,Advanced time-series approaches such as a structural vector autoregressive framework, structural impulse response functions (SIRFs), and structural forecast-error variance decomposition (SFEVD) are utilized in this paper.,Empirical findings from this paper present an incomplete degree of the ERPT to the aggregated CPI. The ERPT based on the BiER is observed to have substantially larger magnitude than the NEER-based pass-through. For the disaggregated level, the degree of the ERPT varies considerably across sub-components of the CPI, with a higher magnitude of the ERPT elasticity being found from the BiER estimations. The index of housing and construction materials has the largest ERPT based on the BiER, followed by the food and foodstuffs (1.00 and 0.56, respectively). The macroeconomic and financial environments as well as an economic integration into the global market may be the main causes of a higher ERPT in Vietnam in comparison with other ASEAN countries.,The significant and incomplete pass-through of the exchange rate in Vietnam can affect firms’ and households’ budget planning, savings and profits. This finding generally implies that the cost of devaluation of the domestic currency affects the society as the whole in terms of welfare. The State Bank of Vietnam should carefully consider the overall effect of welfares when formulating and implementing strategies of currency devaluation. In addition, the Vietnamese economy becomes more sensitive to external vulnerabilities via changes of the exchange rate during an increasingly economic integration into the global market. In order to maintain inflation stability, it is vitally important to reduce the impact of exchange rate movements on the domestic prices, both aggregated and disaggregated levels, by pursuing either monetary policy credibility or inflation targeting.,Previous studies on the ERPT literature in the Asia region or for emerging countries focus mainly on the aggregated data of the CPI. Previous studies were conducted before the global financial crisis in 2008/2009. The current paper is the first of its kind to examine the pass-through from exchange rates to consumer prices in Vietnam using both aggregated and disaggregated data.

中文翻译：

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了解汇率对越南消费者价格的传递：SVAR 方法

本文的目的是检查汇率 (ERPT) 在越南汇总和分解水平对消费者价格指数 (CPI) 的传递程度。本研究利用名义有效汇率 (NEER) 和双边汇率 (BiER) 的更新数据进行比较。, 高级时间序列方法，如结构向量自回归框架、结构脉冲响应函数 (SIRF) , 和结构预测误差方差分解 (SFEVD) 在本文中被使用。本文的实证结果显示了 ERPT 对聚合 CPI 的不完整程度。观察到基于 BiER 的 ERPT 比基于 NEER 的传递具有更大的幅度。对于分解层次，EPT 的程度在 CPI 的各个子组成部分之间差异很大，从 BiER 估计中发现了更高的 ERPT 弹性。根据 BiER，住房和建筑材料指数的 ERPT 最大，其次是食品和食品（分别为 1.00 和 0.56）。与其他东盟国家相比，宏观经济和金融环境以及经济融入全球市场可能是越南 ERPT 较高的主要原因。,越南汇率的重大和不完全传导会影响企业'和家庭的预算规划、储蓄和利润。这一发现通常意味着本币贬值的成本会影响整个社会的福利。越南国家银行在制定和实施货币贬值策略时，应认真考虑福利的整体影响。此外，在经济日益融入全球市场的过程中，越南经济通过汇率变化对外部脆弱性变得更加敏感。为了保持通胀稳定，通过追求货币政策可信度或通胀目标来减少汇率变动对国内价格的影响，无论是总体还是分解水平，都是至关重要的。,先前对亚洲ERPT文献的研究地区或新兴国家主要关注CPI的汇总数据。之前的研究是在 2008/2009 年全球金融危机之前进行的。