Exchange rate volatility and exports for selected East Asian countries: evidence from error correction model. From: ASEAN Economic Bulletin | Date: August 1, 2005| Author: Poon, Wai-Ching; Choong, Chee-Keong; Habibullah, Muzafar Shah | COPYRIGHT 2005 Institute of Southeast Asian Studies (ISEAS). This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan.  All inquiries regarding rights should be directed to the Gale Group.Copyright information

This paper examines the relationship between exchange rate volatility and exports of the five selected East Asian economies. A measure of the quantitative proxy of the exchange rate risk is constructed, focusing on the role of moving-average in smoothing the persistence of the risk measure. Vector autoregressive (VAR) model error correction modelling (ECM), and variance decomposition (VD) are applied to characterize the joint dynamics of variables in both the short and long run. The Johanse...

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