UPM Institutional Repository

Impact of exchange rate volatility on trade: empirical evidence for the East Asian economies


Chee, Wooi Hooy and Baharumshah, Ahmad Zubaidi (2015) Impact of exchange rate volatility on trade: empirical evidence for the East Asian economies. Malaysian Journal of Economic Studies, 52 (1). pp. 75-95. ISSN 1511-4554


We investigated the impact of real exchange rate (REX) volatility on the trade performance of six East Asian economies. Several break dates were detected in the REX series over the sample period of January 1990 to December 2008. Exchange rate volatility was determined to be inherently asymmetric in all of the currency markets. We found short-run exports to be adversely affected by REX volatility in four countries, although this response was small. For imports, REX volatility was found to have a negative effect in only two of the six countries (Singapore and Indonesia). In short, there was less evidence to support the hypothesis that currency volatility has a strong negative effect on trade flows in East Asian economies. We also addressed the possibility of endogeneity in regressors and allowed for heterogeneity across countries in the model parameters.

Download File

[img] Text (Abstract)

Download (5kB)
Official URL or Download Paper: https://mjes.um.edu.my/article/view/2813

Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
Publisher: University of Malaya
Keywords: ARDL; EGARCH; Exchange rate volatility; Export; Import JEL classification: F31; C22; CS
Depositing User: Ms. Nuraida Ibrahim
Date Deposited: 22 Apr 2021 04:52
Last Modified: 22 Apr 2021 07:19
URI: http://psasir.upm.edu.my/id/eprint/45054
Statistic Details: View Download Statistic

Actions (login required)

View Item View Item