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This paper examines the impact of exchange rate risk on economic performances of Vietnam in period 1991-2009 by using Autoregressive Distributed Lag (ARDL) approach. The empirical results show that there is existence of long run relationships between REER volatility and output. Impact of exchange rate risk is statistically significant on economic performances in Vietnam. An increase in exchange rate risk would hurt economic growth. The level relationships also show that growth may be improved when REER depreciates...