Exchange Rate Volatility and International Trade: A Panel Data Analysis for Asian Countries
(2020) NEKP01 20201Department of Economics
- Abstract
- The purpose of this thesis is to investigate the impact of exchange rate volatility on aggregate foreign trade. We use annual data from 15 Asian countries over 30 years. The exchange rate volatility is derived primarily based on GARCH models and MASD. This thesis applies both the static fixed-effect panel data model and dynamic GMM model, then compares the obtained results and uses the OLS method as a robustness check. Through investigation, we found that two methods yield consistent results. The finding is that exchange rate volatility has significant positive effects on real exports, but it insignificantly affects real imports. It can be concluded that the connection between exchange rate volatility and trade is inverse for exports and... (More)
- The purpose of this thesis is to investigate the impact of exchange rate volatility on aggregate foreign trade. We use annual data from 15 Asian countries over 30 years. The exchange rate volatility is derived primarily based on GARCH models and MASD. This thesis applies both the static fixed-effect panel data model and dynamic GMM model, then compares the obtained results and uses the OLS method as a robustness check. Through investigation, we found that two methods yield consistent results. The finding is that exchange rate volatility has significant positive effects on real exports, but it insignificantly affects real imports. It can be concluded that the connection between exchange rate volatility and trade is inverse for exports and imports. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9013790
- author
- Lang, Kangni LU and Zhang, Shufei
- supervisor
- organization
- course
- NEKP01 20201
- year
- 2020
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- real effective exchange rate, exchange rate volatility, international trade, panel data, GMM, GARCH models
- language
- English
- id
- 9013790
- date added to LUP
- 2020-08-29 10:40:21
- date last changed
- 2020-08-29 10:40:21
@misc{9013790, abstract = {{The purpose of this thesis is to investigate the impact of exchange rate volatility on aggregate foreign trade. We use annual data from 15 Asian countries over 30 years. The exchange rate volatility is derived primarily based on GARCH models and MASD. This thesis applies both the static fixed-effect panel data model and dynamic GMM model, then compares the obtained results and uses the OLS method as a robustness check. Through investigation, we found that two methods yield consistent results. The finding is that exchange rate volatility has significant positive effects on real exports, but it insignificantly affects real imports. It can be concluded that the connection between exchange rate volatility and trade is inverse for exports and imports.}}, author = {{Lang, Kangni and Zhang, Shufei}}, language = {{eng}}, note = {{Student Paper}}, title = {{Exchange Rate Volatility and International Trade: A Panel Data Analysis for Asian Countries}}, year = {{2020}}, }