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Dynamic Linkages between Export and Growth: Does Exchange Rate Volatility Matter?

This study aims to analyze the dynamics relationship between exchange rates and economic growth in four ASEAN countries; Malaysia, Indonesia, Singapore and Thailand. The study focuses on the effect of exchange rate volatility on growth through trade channels by investigating the effect of interacti...

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Main Authors: Zainal, Zalina, Sarmidi, Tamat, Mohd Nor, Abu Hassan Shaari
Format: Conference or Workshop Item
Published: 2016
Subjects:
HB Economic Theory
Online Access:http://repo.uum.edu.my/25042/
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spelling my.uum.repo.250422018-12-11T02:36:21Z http://repo.uum.edu.my/25042/ Dynamic Linkages between Export and Growth: Does Exchange Rate Volatility Matter? Zainal, Zalina Sarmidi, Tamat Mohd Nor, Abu Hassan Shaari HB Economic Theory This study aims to analyze the dynamics relationship between exchange rates and economic growth in four ASEAN countries; Malaysia, Indonesia, Singapore and Thailand. The study focuses on the effect of exchange rate volatility on growth through trade channels by investigating the effect of interaction between exchange rate volatility and export. Quarterly data from 1984 to 2013 together with two exchange rate volatility series i.e. conditional and non-conditional is generated from exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model and moving average of standard deviation are used. The relationship is estimated using dynamic ordinary least squares method (DOLS) of Stock and Watson (1993). The results suggest that the exchange rate volatility does affect economic growth in all ASEAN countries through international trade. Interestingly, the study found that the positive effect of export is capable in changing the direction of the relationship especially for countries that are able to reduce the negative impact of exchange rates volatility through diversification of trade policy. 2016 Conference or Workshop Item PeerReviewed Zainal, Zalina and Sarmidi, Tamat and Mohd Nor, Abu Hassan Shaari (2016) Dynamic Linkages between Export and Growth: Does Exchange Rate Volatility Matter? In: 3rd Annual ECoFI Symposium 2016, 18-19 Dicember 2016, Universiti Utara Malaysia,Kedah.
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
topic HB Economic Theory
spellingShingle HB Economic Theory
Zainal, Zalina
Sarmidi, Tamat
Mohd Nor, Abu Hassan Shaari
Dynamic Linkages between Export and Growth: Does Exchange Rate Volatility Matter?
description This study aims to analyze the dynamics relationship between exchange rates and economic growth in four ASEAN countries; Malaysia, Indonesia, Singapore and Thailand. The study focuses on the effect of exchange rate volatility on growth through trade channels by investigating the effect of interaction between exchange rate volatility and export. Quarterly data from 1984 to 2013 together with two exchange rate volatility series i.e. conditional and non-conditional is generated from exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model and moving average of standard deviation are used. The relationship is estimated using dynamic ordinary least squares method (DOLS) of Stock and Watson (1993). The results suggest that the exchange rate volatility does affect economic growth in all ASEAN countries through international trade. Interestingly, the study found that the positive effect of export is capable in changing the direction of the relationship especially for countries that are able to reduce the negative impact of exchange rates volatility through diversification of trade policy.
format Conference or Workshop Item
author Zainal, Zalina
Sarmidi, Tamat
Mohd Nor, Abu Hassan Shaari
author_facet Zainal, Zalina
Sarmidi, Tamat
Mohd Nor, Abu Hassan Shaari
author_sort Zainal, Zalina
title Dynamic Linkages between Export and Growth: Does Exchange Rate Volatility Matter?
title_short Dynamic Linkages between Export and Growth: Does Exchange Rate Volatility Matter?
title_full Dynamic Linkages between Export and Growth: Does Exchange Rate Volatility Matter?
title_fullStr Dynamic Linkages between Export and Growth: Does Exchange Rate Volatility Matter?
title_full_unstemmed Dynamic Linkages between Export and Growth: Does Exchange Rate Volatility Matter?
title_sort dynamic linkages between export and growth: does exchange rate volatility matter?
publishDate 2016
url http://repo.uum.edu.my/25042/
_version_ 1644284209710235648
score 13.211869

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