Spillover Effects Between Exchange Rate and Trade in Myanmar
Spillover effects refer the interaction between two series so that uncertain exchange rate spillover effects affect
from one market to another. This study attempts to examine the spillover effects affect the foreign trade (export and import)
and the exchange rate of ASEAN six countries such as (China, Thailand, India, Japan, Korea and Singapore). The analysis
has been conducted univariate ARMA model and multivariate GARCH extension, namely VARMA-GARCH model of Ling
and McAleer (2003); whilst data took the form of monthly foreign exchange price, foreign trade markets of the selected
countries. Results indicate significant volatility short run and long effects trade on all countries’ currencies. Spillover effects
of uncertain exchange rate affect among some exported countries are China, Thailand, India and Korea country has only
found volatility spillover effects its currencies variance. Moreover, Import two countries, India and Japan have found
spillover effects situation of its currencies. Interestingly, this paper also sheds light on the facts that while foreign trade is
depreciation but some export and import countries have been affected from being a volatility exchange rate in Myanmar.
Keywords - Volatility Spillover Effects, Multivariate GARCH, ASEAN 6 countries, foreign trade, Exchange Rate.