The relationship between exchange rate volatility and volume of export in Vietnam
Abstract
This research was studied to investigate the relationship between exchange
rate volatility and the volume of export in Vietnam to two major trading partners
United States and Japan. In this study, we applied the GARCH(1,1) model to identify
the exchange rate volatility. Using the Augment Dickey Fuller test to take the unit root
test, Johansen test to test the co-integration and Vector Error Correction Model to
modify the relation among variables. The results concluded that the exchange rate
volatility has no significant relationship with the volume of export between Vietnam
and United States and a negative relationship with volume of export between Vietnam
and Japan.
Keywords: Exchange rate volatility, volume of export, Vietnam, GARCH