Exchange Rate Volatility and Exports: New Empirical Evidence from the Emerging East Asian Economies

25 Pages Posted: 3 Feb 2010

See all articles by Myint Moe Chit

Myint Moe Chit

Middlesex University

Marian Rizov

University of Lincoln (UK) - Lincoln International Business School; Lincoln Economics and Finance (LEAF) Research Group

Dirk Willenbockel

University of Sussex - Institute of Development Studies

Multiple version iconThere are 2 versions of this paper

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.

Suggested Citation

Chit, Myint Moe and Rizov, Marian and Willenbockel, Dirk, Exchange Rate Volatility and Exports: New Empirical Evidence from the Emerging East Asian Economies. World Economy, Vol. 33, Issue 2, pp. 239-263, February 2010, Available at SSRN: https://ssrn.com/abstract=1546713 or http://dx.doi.org/10.1111/j.1467-9701.2009.01230.x

Myint Moe Chit (Contact Author)

Middlesex University ( email )

The Burroughs
London, NW4 4BT
United Kingdom

Marian Rizov

University of Lincoln (UK) - Lincoln International Business School ( email )

Brayford Pool
Lincoln, LN6 7TS
United Kingdom

Lincoln Economics and Finance (LEAF) Research Group ( email )

United Kingdom

Dirk Willenbockel

University of Sussex - Institute of Development Studies ( email )

Brighton
Falmer, Brighton, East Sussex BN1 9RE
United Kingdom

HOME PAGE: http://www.ids.ac.uk

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
3
Abstract Views
426
PlumX Metrics