Thesis Public Defense | VNP25 Kiều Công Bằng

The effect of exchange rate volatility on the exports of Southeast Asian countries to North America countries for period 2000-2018

Student: Kiều Công Bằng, VNP 25

Supervisor: Prof. Dr. Nguyễn Trọng Hoài

Abstract:

This study estimates the impact of real exchange rate volatility on the exports of ten Southeast Asian Countries to three North American countries for the period 2000-2018. With the trend of regional integration and expanding trade cooperation, these ASEAN countries have an export volume which having been creased continuously to the Northern American countries such as the US, Canada, Mexico which belong to NAFTA in recent years. This research uses three measures in static and dynamic panel model for estimating the relationship between real exchange rate volatility and export of ten ASEAN countries to three Northern  American countries over period 2000:M1 to 2018:M12 which is fixed effect, random effect, System generalized method of moments (S-GMM). Further,  determining real exchange rate volatility in this paper focus on three methods, which are Absolute of real exchange rate, Moving average standard deviation (MASD), Generalized autoregressive conditional heteroskedasticity GARCH(1,1). It is illustrated that this study finds out that the exchange rate volatility has a significant negative impact to export in ten Southeast Asian Countries to 3 North American countries when it is determined by absolute, MASD methods, and has opposite results when it is calculated by GARCH(1,1) methods. Besides, the Term of trade has an inverse effect on ten ASEAN’s export.

JEL Classification: G28, I25

Keywords: Exchange rate volatility, Exports,  ASEAN countries, Northern American countries, Panel data set