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Exchange Rate Volatility and Exports from East Asian Countries to Japan and the U. S

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    The purpose of this paper is to investigate the impact of exchange rate volatility on exports in four East Asian countries (Hong Kong, South Korea, Singapore, and Thailand). Specifically, this paper aims to determine whether the bilateral real exchange rate volatility between an East Asian country and its trading partner negatively affects the exports of the East Asian country. Considering the dominant roles of the U.S. and Japan as trading partners of those East Asian countries, this paper focuses on the monthly export volumes of East Asian countries to the U.S. and Japan for the period from 1990 to 2001. Except for the case of Hong Kong's exports to Japan, cointegration tests and estimations of error correction models indicate exchange rate volatility has negative impacts on exports either in the short run or in the long-run, or both. On the other hand, manufacturing production indices of importing countries and depreciation of real bilateral exchange rates turn out, in general, to have positive effects on the exports of the East Asian countries examined.

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    Paper provided by Research Institute, International University of Japan in its series Working Papers with number EMS_2003_01.

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    Length: 21 pages
    Date of creation: Jun 2003
    Date of revision:
    Handle: RePEc:iuj:wpaper:ems_2003_01
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    1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
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    9. Arize, Augustine C & Osang, Thomas & Slottje, Daniel J, 2000. "Exchange-Rate Volatility and Foreign Trade: Evidence from Thirteen LDC's," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 10-17, January.
    10. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    11. M. Kabir Hassan & David R. Tufte, 1998. "Exchange rate volatility and aggregate export growth in Bangladesh," Applied Economics, Taylor & Francis Journals, vol. 30(2), pages 189-201, February.
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