The Effects of Real Exchange Rate Volatility on Thailand's Exports to the United States and Japan under the Recent Float
AbstractThis 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 45030.
Date of creation: 2010
Date of revision:
Publication status: Published in NIDA Development Journal 2.50(2010): pp. 1-18
Real exchange rate uncertainty; exports; bounds testing for cointegration;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
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