چکیده:
This study investigates the short-run and long-run impact of real exchange rate misalignment and volatility on Indonesian export to the US by exploiting the disaggregated data of export volume. The proxy of real exchange rate misalignment was obtained by estimating the fundamental equilibrium exchange rate (FEER) model, and the exchange rate volatility measured by employing the GARCH (1,1) model. We employed the ARDL bound test approach to check the existence of long-run equilibrium between export volume and the variable under consideration. Both the short-run estimation using the error correction model and the long-run model indicates that half of the commodities are significantly and positively affected by real exchange rate misalignment. However, only a small number of commodities is significantly affected by the exchange rate volatility.
خلاصه ماشینی:
At the same time, export of industrial product which the performance closely related to the exchange rate level had become a very effective and significant leverage of the economic growth in the developing country since two decade ago (Lee and Huang, 2002).
(2003) found an interesting result from their estimation which indicated that exchange rate volatility showed a negative and significant effect to export performance of nine developing countries.
Following is the export demand model resulted from integrating all variable of interest ln Xt = 0 + 1 ln FIt+ 2 ln PEXt + 3 ln MISt + 4 ln VOLt + 5D1t + Ɛ t (6) ln Xt = natural logarithm of real exports of goods and services ln FI = natural logarithm of real foreign income ln PEX = natural logarithm of price of export ln MIS = natural logarithm of exchange rate misalignment ln VOL = natural logarithm exchange rate volatility D1 = Financial crisis dummy Ɛ t = disturbance term Based on the standard demand theory, export quantity to the partner country is expected to increase as the real income of the export destination goes up, on the contrary, export demand is expected to decrease as the real income fall down.
Before employing the long-run cointegration test between the export volume and the real exchange rate variability and misalignment, we check the optimal lag length of the model by the method of Ordinary Least Square.