Global Business and Finance Review | 2026
Authors: Tran T.-T.-H.
DOI: 10.17549/gbfr.2026.31.4.43
Journal: Global Business and Finance Review
Year: 2026
Publisher: People and Global Business Association
Document Type: Article
Open Access: All Open Access; Gold Open Access
Cited by: 0
Purpose: This research investigates the nonlinear and asymmetric effects of exchange rate fluctuations on Vietnam’s key macroeconomic indicators to determine critical volatility thresholds essential to economic resilience in a highly open economy. Design/methodology/approach: Using quarterly data from 2001 to 2024, the research employs Threshold Vector Autoregression (TVAR) and Smooth Transition Vector Autoregression (STVAR) models. The methodology integrates inflation into an endogenous system within a nonlinear framework to capture interactive feedback loops and structural shifts surpassing traditional linear models. Findings: The study identifies a dual-threshold mechanism: a 0.43% sensitivity corridor marking the onset of asymmetric market reactions, and a 1.16% extreme danger threshold where traditional economic transmissions destabilize. STVAR analysis revealed a smooth transition process (θ = 1.05), indicating gradual adaptation by economic agents. Beyond the 0.43% sensitivity threshold, the contribution of exchange rate shocks to GDP volatility more than doubles, reaching 12.21%. Crucially, the impact of inflation shocks on export volatility triples (from 8.33% to 24.40%), providing strong evidence for the cost-push channel of the Export Reversal Paradox. These dynamics culminate in an "Export Reversal Paradox", where devaluation contracts exports and GDP due to high import dependence and balance sheet effects. Research limitations/implications: The study proposes a 0.43% early warning corridor and a 1.16% critical danger threshold for policy monitoring. The findings suggest that authorities prioritize exchange rate stability to anchor inflation expectations and protect domestic growth. Future research should integrate sustainability factors, and microstructural determinants to deepen insights into economic resilience. Originality/value: This research contributes to the literature by providing a systemic, nonlinear framework that captures interactive feedback loops between growth, inflation, and trade. It advances the existing discourse by empirically validating the Export Reversal Paradox within a GVC-integrated context and offers a strategic roadmap for navigating exchange rate thresholds to ensure financial sustainability and economic resilience. © The Author(s).
Economic Resilience; Exchange Rate Pass-through; Export Reversal Paradox; Smooth Transition VAR; Threshold VAR