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

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.

KEYWORDS:

• Exchange rate volatility
• imports
• generalized method of moments
• dynamic panel data
• Vietnam

JEL CLASSIFICATIONS:

• C2
• C5
• F1
• F3
• F4

Acknowledgement

The authors are grateful to editor, associate editor, anonymous reviewers, conference participants at the International Conference for Young Researchers in Economics and Business 2017 (ICYREB 2017) for their helpful comments and suggestions. Linh T. D. Huynh acknowledges financial support from the Funds for Science and Technology Development of the University of Danang, Vietnam (Grant number: B2018-ĐN04-13) for this project. All errors remain the authors’ own.

Disclosure statement

No potential conflict of interest was reported by the authors.

ORCID

Linh T. D. Huynh http://orcid.org/0000-0001-9714-522X

Hien Thanh Hoang http://orcid.org/0000-0002-1182-078X

Additional information

Notes on contributors

Linh T.D. Huynh

Linh T. D. Huynh is a researcher-lecturer and Chair of International Business Division at University of Economics, The University of Danang, Vietnam. She received her Master of Business (Advanced) degree at the University of Queensland, Australia and her PhD in Economics at the University of New England, Australia. Her research interests include international trade and investment, exchange rate volatility, gender studies, public private partnership, new economic geography, applied econometrics, and Vietnamese economy. She has received and participated many research grant projects from different organizations. Her papers have been presented in many international conferences as well as published in various journals.

Hien Thanh Hoang

Hien Thanh Hoang holds a PhD in Economics by the University of New England, Australia and is researcher-lecturer for the Institute of Socio-Economic Research, Duy Tan University, Vietnam. His main areas of interest include agglomeration economies, international trade, foreign direct investment, new economic geography, applied econometrics, gender studies, and Vietnamese economy. His PhD on foreign direct investment determinants and its effects on local economy was the first in Vietnam based on the new economic geography theoretical framework. He has presented papers at conferences both home and abroad, published articles and papers in various journals.