Symmetric and asymmetric effects of exchange rates on money demand: empirical evidence from Vietnam

This empirical investigation aims at exploring the determinants of money demand in Vietnam by using both linear and nonlinear autoregressive distributed lag models over period spanning from third quarter 2000 to first 2018. Our findings can be summarized as follows: firstly, when shock is symmetric (i.e. a permanent nominal appreciation 1%), increases 3.7% long term. Secondly, asymmetric, for 1%, we observe an increase 15.6% demand. Whereas depreciation decrease 7.4% These results are consistent with symmetry tests lead us think that asymmetries occur mainly short run transmitted run.