Exchange rate pass-through, exchange rate volatility, and their impacts on export: Evidence from Indonesian data.

摘要

This study is focus on the relationship between the exchange rate and export performance and Indonesian export data were used in this study. Although a lot of studies have been done in this topic, only a few studies have been done for developing countries. Studies in exchange rate pass-through, especially for small open economics, shows that incomplete pass-through is the most common result of the relationship between export price and the exchange rate. The results of the studies of exchange rate volatility and the export volume are ambiguous. Although most of the result of this study shows that there is a negative relationship between exchange rate volatility and export volume, some other result shows that there is a positive relationship between exchange rate volatility and export volume.; We used cointegration test by Johansen in order to find out the long run relationship between the variables we tested. Should, we could not do the Johansen cointegration test since we have one variable which is stationary, ARDL approach for cointegration test as suggested by Pesaran and Shin will be used here. Finally a VAR approach were used here in order to find out the dynamic interrelationship among the variables export price, export volume, exchange rate and the exchange rate volatility.; The study of exchange rate pass-through shows that most of Indonesian export commodities tested is price taker commodities. The study in exchange rate volatility indicates that export sector performance is not determined by the volatility of the exchange rate, but may be by some other variables.; According to our VAR result, variance decomposition of the export price shows that a shock in the level of the exchange rate explains more of the variance in forecasting the level of the export price than a shock in the exchange rate volatility.; Variance decomposition of the export volume shows that a shock in exchange rate and in the exchange rate volatility explains about the same affect for some export volume of the group commodities.; From a policy standpoint, these findings are important because it indicate that exchange rate and exchange rate volatility are not the significant variables which determine the Indonesian export performance.