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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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    1. Mr. Krishna Srinivasan & Erich Spitäller & Mr. M. Braulke & Mr. Christian B. Mulder & Mr. Hisanobu Shishido & Mr. Kenneth M. Miranda & Mr. John R Dodsworth & Keon Lee, 1996. "Vietnam: Transition to a Market Economy," IMF Occasional Papers 1996/001, International Monetary Fund.
    2. A. C. Arize, 1998. "The Effects of Exchange Rate Volatility on U.S. Imports: An Empirical Investigation," International Economic Journal, Taylor & Francis Journals, vol. 12(3), pages 31-40.
    3. Josef C. Brada & José A. Méndez, 1988. "Exchange Rate Risk, Exchange Rate Regime and the Volume of International Trade," Kyklos, Wiley Blackwell, vol. 41(2), pages 263-280, May.
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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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