Exchange rate volatility and exports: new empirical evidence from the emerging East Asian economies

Chit, Myint Moe and Rizov, Marian and Willenbockel, Dirk (2010) Exchange rate volatility and exports: new empirical evidence from the emerging East Asian economies. World Economy, 33 (2). pp. 239-263. ISSN 0378-5920

Documents
18739 495c41698d4c28a840f503231d0529ed4477088b8590fe46e8e0bac74e3242e1.pdf

Request a copy
[img] PDF
18739 495c41698d4c28a840f503231d0529ed4477088b8590fe46e8e0bac74e3242e1.pdf - Whole Document
Restricted to Repository staff only

143kB
Item Type:Article
Item Status:Live Archive

Abstract

This paper examines the impact of bilateral real exchange rate volatility on real exports of five emerging East Asian countries among themselves as well as to 13 industrialised countries. We recognise the specificity of the exports between the emerging East Asian and industrialised countries and employ a generalised gravity model. In the empirical analysis we use a panel comprising 25 years of quarterly data and perform unit-root and cointegration tests to verify the long-run relationship among the variables. The results provide strong evidence that exchange rate volatility has a negative impact on the exports of emerging East Asian countries. In addition, the results suggest that the pattern of bilateral exports is influenced by third-country variables. An increase in the price competitiveness of other emerging East Asian countries has a negative impact on a country?s exports to a destination market, but the magnitude of the impact is relatively small. These results are robust across different estimation techniques and do not depend on the variable chosen to proxy exchange rate uncertainty. The results of the GMM-IV estimation also confirm the negative impact of exchange rate volatility on exports and suggest that this negative relationship is not driven by simultaneous causality bias.

Keywords:Economics
Subjects:L Social studies > L100 Economics
Divisions:Lincoln International Business School
Related URLs:
ID Code:18739
Deposited On:18 Sep 2015 08:53

Repository Staff Only: item control page