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An investigation of the effects of exchange rate volatility on exports in East Asia

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  • Gabriel Pino
  • Dilara Tas
  • Subhash C. Sharma
Abstract
This study investigates the effects of the exchange rate volatility on the export flows of Indonesia, Malaysia, Republic of Korea, Singapore, Thailand, and the Philippines during 1974--2011. Towards this goal a trade weighted real effective (rather than the bilateral) exchange rate and three different measures of volatility, i.e. obtained from an ARCH model, a GARCH model and a moving-average standard deviation measure are used in this study. Specifically, the export flows between six Asian countries and the rest of the world are investigated rather than focusing on trade with only one country. Our findings reveal that the exchange rate volatility has a significant impact on export flows in the short run as well as in the long run for all the countries in the sample. The impact in the long run is predominantly negative with the exception of Singapore, but in the short run the impact varies across countries. Moreover, our results are robust to the alternative measures of volatility used and most of the findings in the long run and short run are also robust to the crisis period.

Suggested Citation

  • Gabriel Pino & Dilara Tas & Subhash C. Sharma, 2016. "An investigation of the effects of exchange rate volatility on exports in East Asia," Applied Economics, Taylor & Francis Journals, vol. 48(26), pages 2397-2411, June.
    • Handle: RePEc:taf:applec:v:48:y:2016:i:26:p:2397-2411
    DOI: 10.1080/00036846.2015.1122730
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