The paper investigates empirically the impact of bilateral exchange rate volatility on the export flow of five regional ASEAN countries, namely Malaysia, Singapore, the Philippines, Indonesia and Thailand, to the United States, over the period January, 1990 to December, 2010. Estimates of the cointegration relations are obtained using methods proposed by
Johansen and Juselius (1990). Furthermore, the short-run and long-run dynamic relationships between the variables are obtained for each country utilizing error correction modelling. In general, the real bilateral exchange rate volatility has a significant impact on exports at least for all the countries considered in our sample, and the impact overall is negative except for Indonesia.
The paper investigates empirically the impact of bilateral exchange rate volatility on the export flow of five regional ASEAN countries, namely Malaysia, Singapore, the Philippines, Indonesia and Thailand, to the United States, over the period January, 1990 to December, 2010. Estimates of the cointegration relations are obtained using methods proposed byJohansen and Juselius (1990). Furthermore, the short-run and long-run dynamic relationships between the variables are obtained for each country utilizing error correction modelling. In general, the real bilateral exchange rate volatility has a significant impact on exports at least for all the countries considered in our sample, and the impact overall is negative except for Indonesia.
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