The Impact of China Exchange Rate Volatility on Trade Volume: The Case of ASEAN-5

• Main Authors: Tzu-Jui Tseng, 曾子睿
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/66017342019787421574

碩士 === 逢甲大學 === 國際貿易所 === 97 === This study discusses China adopting the flexible exchange rate system in July 2005 and the influence on the increasing exchange rate volatility. Under the circumstance of the increasing risk, it is unknown whether to there is the influence on the import and export trade of ASEAN-5. We also consider macroeconomic variables, including income, real exchange rate, and relative consumer price index, to see how these variables influence import and export trade. This study used GARCH(1,1) to estimate the foreign exchange rate volatility and used the unit root test, Granger causality test, Cointegration test, and the VECM model to examine China’s export and import model to the ASEAN-5. In empirical results, exchange rate volatility in the export equation has negative influence on China to the Singapore export volume, but the positive influence on China to the Thailand export volume and three other countries are not significant. In the import models, exchange rate volatility on China to the Indonesian import volume has a positive influence. In the export models, industrial production index is a significant effect on China to ASEAN-5, except the Philippines. The real exchange rate has an obvious influence on China to the Singapore export volume and the relative consumer price index has influence on China to Indonesian and the Filipino export volume. In the import models, China industrial production index is obviously related to China import volume to Malaysia, but the influence on other countries is not significant. The real exchange rate to China, Indonesian, Malaysian and the Thailand import volume has a great influence. The relative consumer price index has a significant influence to China and ASEAN import volumes.