Paper Title :Spillover Effects Between Exchange Rate and Trade in Myanmar

Author :Phyuzinaung, Jirakomsirisrisakulchai, Jianxuliu

Article Citation :Phyuzinaung ,Jirakomsirisrisakulchai ,Jianxuliu , (2017 ) " Spillover Effects Between Exchange Rate and Trade in Myanmar " , International Journal of Management and Applied Science (IJMAS) , pp. 35-41, Volume-3,Issue-11

Abstract : 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.

Type : Research paper

Published : Volume-3,Issue-11

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