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Effects of exchange rate volatility on bilateral import performance of Vietnam: A dynamic Generalised method of Moments panel approach

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  • Linh T.D. Huynh
  • Hien Thanh Hoang

Abstract

The paper examines to what extent exchange rate volatility affects Vietnam’s bilateral import value. The two-step system generalized method of moments (GMM) was employed on panel data over a 10-year period. Exchange rate volatility was generated by two measures, including generalised autoregressive conditional heteroskedastic (GARCH) and moving standard deviation (MOVSD). A variety of diagnostic tests which ensure the consistency of GMM estimates were discussed. The main findings confirm that all explanatory variables demonstrated the expected signs, and exchange rate volatility has positive impacts on Vietnam's import flows. However, there is a large overall difference between the results produced with those two volatility measures.

Suggested Citation

  • Linh T.D. Huynh & Hien Thanh Hoang, 2019. "Effects of exchange rate volatility on bilateral import performance of Vietnam: A dynamic Generalised method of Moments panel approach," International Economic Journal, Taylor & Francis Journals, vol. 33(1), pages 88-110, January.
    • Handle: RePEc:taf:intecj:v:33:y:2019:i:1:p:88-110
    DOI: 10.1080/10168737.2019.1571525
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    Cited by:

    1. Huynh, Linh & Hoang, Hien & Tran, Hung, 2020. "Does FDI enhance provincial productivity? A panel data analysis in Vietnam," MPRA Paper 117620, University Library of Munich, Germany, revised Aug 2021.

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