THE IMPACT OF EXCHANGE RATE VARIABILITY ON MALAYSIA’S MAJOR EXPORT CATEGORIES

The primary purpose of this paper is to investigate the impact of exchange rate variability on the value of the bilateral exports of Malaysia’s major export categories using disaggregated data. Five major export categories included in the study are electrical and electronic products, palm oil, timber, apparel and rubber. As for the markets for these products, the focus is on: the United States, Japan, Singapore, the United Kingdom and the Republic of Korea. We use fixed effect panel data estimation to study the relationship between exchange rate volatility and those markets over two time periods: floating and fixed exchange rate system. We employ the moving average standard deviation (MASD) and GARCH model measurements of volatility index. The results showed that exchange rate variability is statistically significant in all major export categories (except rubber) in the floating exchange rate periods and significant in all categories (except electrical and electronic products and apparel) in the fixed exchange rate periods. JEL classification: F10, F14, F30, F31, F40, F49

کلیدواژه ها:

bilateral exchange rate ، exchange rate volatility ، international trade ، disaggregate data ، fixed effect panel data and GARCH model