The Effects of Real Exchange Rate Volatility on Thailand's Exports to the United States and Japan under the Recent Float

Komain Jiranyakul

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates whether the real exchange rate uncertainty depresses Thailand’s exports to the United States and Japan and thus causes the trade balances to deteriorate under the floating exchange rate regime. Monthly data from July 1997 to December 2007 are utilized. Industrial production indexes are used as proxies of real income of the two major trading partners. The results from bounds testing for cointegration show that the variables in the export demand are cointegrated, and the Marshall-Lerner condition still holds in the case of United States. Real exchange rate volatility generated by the ARCH(1) process as a measure of uncertainty has a negative effect on exports to Japan, but has no effect on exports to the United States. However, total exports can be harmed by real exchange rate uncertainty for exports to Japan.

Keywords: Real exchange rate uncertainty; exports; bounds testing for cointegration (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in NIDA Development Journal 2.50(2010): pp. 1-18

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/45030/1/MPRA_paper_45030.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:45030

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().