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Effects of exchange rate volatility on bilateral import performance of Vietnam: A dynamic Generalised method of Moments panel approach

Linh T.D. Huynh and Hien Hoang ()

International Economic Journal, 2019, vol. 33, issue 1, 88-110

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.

Date: 2019
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DOI: 10.1080/10168737.2019.1571525

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