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The effect of exchange rate volatility on the exports of Southeast Asian Countries to North America countries for period 2000 - 2018

By Kieu Cong Bang (VNP 25)

Supervisor: Dr. Nguyen Trong Hoai

Abstract:

This study estimates the impact of real exchange rate volatility on the exports of ten Southeast Asian Countries to three North American countries for the period 2000-2018. With the trend of regional integration and expanding trade cooperation, these ASEAN countries have an export volume which having been creased continuously to the Norther American countries such as the US, Canada, Mexico which belong to NAFTA in recent years. This research uses three measuress to determine real exchange rate volatility and estimators in the static and dynamic panel data model that are fixed effect, random effect, and System generalized method of moments (S-GMM) in static and dynamic panel model for for estimatingestimating the relationship effect of between rreal exchange rate volatility and on exports of ten ASEAN countries to three Northern American countries over period 2000:M1 to 2018:M12 which is fixed effect, random effect, System generalized method of moments (S-GMM). Three methods of specification Further, determining real exchange rate volatility in this paper focus on three methods which are Absolute of real exchange rate, MMoving average standard deviation (MASD), Generalized autoregressive conditional heteroskedasticity GARCHGARCH (1,1). This study finds out that real exchange rate volatility has a statistically significant negative effect on the export of ASEAN countries to North American countries. Moreover, this paper also shows that the Term of trade (TOTTOT) between ASEAN countries and North American countries also has a positive effect on ASEAN countries’’ exports and and the global financial crisis in 2008 has an effect significantly on ASEAN countries‘ export. Besides, the study recommends that the policymakers should offer the criteria to maintain the stability and competitiveness of the exchange rate, aims to boost overall trade and economic growth in the ASEAN countries.

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