The Impact of Exchange Rate Volatility on Real Total Export and Sub-Categories of Real Total Export of Malaysia
Authors: Wong Hock Tsen
This study aims to investigate the impact of exchange rate volatility on real export in Malaysia. The moving standard deviation with order three (MSD(3)) is used for the measurement of exchange rate volatility. The conventional and partially asymmetric autoregressive distributed lag (ARDL) models are used in the estimations. This study finds exchange rate volatility to have significant impact on real total export and some sub-categories of real total export. Moreover, this study finds that the positive or negative exchange rate volatility tends to have positive or negative impact on real export. Exchange rate volatility can be harmful to export of Malaysia.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1128179Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 869
 J. Baek, “Does the exchange rate matter to bilateral trade between Korea and Japan? Evidence from commodity trade data,” Economic Modelling, vol. 30, no. C, 2013, pp. 856-862.
 M. Bahmani-Oskooee, and H. Harvey, “Exchange-rate volatility and industry trade between the U.S. and Malaysia,” Research in International Business and Finance, vol. 25, no. 2, 2011, pp. 127-155.
 M. Bahmani-Oskooee and S.W. Hegerty, “Exchange rate volatility and trade flows: A review article,” Journal of Economic Studies, vol. 34, no. 3, 2007, pp. 211-255.
 M. Bahmani-Oskooee, H. Harvey and S.W. Hegerty, “The effects of exchange-rate volatility on commodity trade between the U.S. and Brazil,” The North American Journal of Economics and Finance, vol. 25, 2013, pp. 70-93.
 M. Bahmani-Oskooee, H. Harvey and S.W. Hegerty, “Exchange rate volatility and Spanish-American commodity trade flows,” Economic Systems, vol. 38, no. 2, 2014, pp. 243-260.
 O.D. Bandt and T. Razafindrabe, “Exchange rate pass-through to import prices in the Euro-area: A multi-currency investigation,” International Economics, vol. 138, no. 2, 2014, pp. 63-77.
 M. Bernini and C. Tomasi, “Exchange rate pass-through and product heterogeneity: Does quality matter on the import side?,” European Economic Review, vol. 77, no. C, 2015, pp. 117-138.
 E.U. Choudhri and D.S. Hakura, “The exchange rate pass-through to import and export prices: The role of nominal rigidities and currency choice,” Journal of International Money and Finance, vol. 51, 2015, pp. 1-25.
 T. Choudhry and S.S. Hassan, “Exchange rate volatility and UK imports from developing countries: The effect of the global financial crisis,” Journal of International Financial Markets, Institutions and Money, vol. 39, 2015, pp. 89-101.
 B. Ćorić and G. Pugh, “The effects of exchange rate variability on international trade: A meta-regression analysis,” Applied Economics, vol. 42, no. 20, 2010, pp. 2631-2644.
 P. De Grauwe, “Exchange rate variability and the slowdown in the growth of international trade,” International Monetary Fund Staff Papers, vol. 35, no. 1, 1988, pp. 63-84.
 G. De Vita and A. Abbott, “Real Exchange rate volatility and US exports: An ARDL bounds testing approach,” Economic Issues, vol. 9, no. 1, 2004, pp. 69-78.
 Department of Statistics Malaysia, Malaysia External Trade Statistics, http://trade.stats.gov.my/tradeV2/
 M.B. Devereux and C. Engel, “Exchange rate pass-through, exchange rate volatility, and exchange rate disconnect,” Journal of Monetary Economics, vol. 49, no. 5, 2002, pp. 913-940.
 W.S. Fang, Y. Lai and S.M. Miller, “Does exchange rate risk affect exports asymmetrically? Asian evidence,” Journal of International Money and Finance, vol. 28, no. 2, 2009, pp. 215-239.
 G. Gopinath, O. Itskhoki and R. Rigobon, “Currency choice and exchange rate pass-through,” American Economic Review, vol. 100, no. 1, 2010, pp. 304-336.
 Ministry of Finance Malaysia. 2015. Economic Report 2014/2015, Percetakan Nasional Malaysia Berhad, Kuala Lumpur, Malaysia.
 Y. Nishimura and K. Hirayama, “Does exchange rate volatility deter Japan-China trade? Evidence from pre- and post-exchange rate reform in China,” Japan and the World Economy, vol. 25-26, 2013, pp. 90-101.
 Y. Schorderet, “Revisiting Okun’s Law: An hysteretic perspective,” Department of Economics, University of California, San Diego. https://escholarship.org/uc/item/2fb7n2wd, 2001.
 Y. Shin, B. Yu and M. Greenwood-Nimmo, “Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework, “ In Sickles, R. C. and Horrace, W.C. (eds.) Festschrift in Honor of Peter Schmidt, New York: Springer, 2014, pp. 281-314.
 W. Thorbecke and A. Kato, “The effect of exchange rate changes on Japanese consumption exports,” Japan and the World Economy, vol. 24, no. 1, 2013, pp. 64-71.
 F. Verheyen, “Bilateral exports from euro zone countries to the US - Does exchange rate variability play a role?,” International Review of Economics & Finance, vol. 24, 2012, pp. 97-108.
 H.T. Wong, “Exchange rate volatility and international trade,” Journal of Stock & Forex Trading, vol. 3, no. 2, 2014, pp. 1-3.
 K.N. Wong and T.C. Tang, “The effects of exchange rate variability on Malaysia’s disaggregated electrical exports,” Journal of Economic Studies, vol. 35, no. 2, 2008, pp. 154-169.
 K.N. Wong and T.C. Tang, “Exchange rate variability and the export demand for Malaysia’s semiconductors: An empirical study,” Applied Economics, vol. 43, no. 6, 2011, pp. 695-706.
 Department of Economic and Social Affairs, Statistics Division, United Nations. 2006. Standard International Trade Classification: Revision 4. ST/ESA/STAT/SER.M/34/Rev.4, United Nations Publication.