Impact of exchange rate volatility on Sri Lanka's exports

Gardi Hewawasam Pussawalage, Priyanka Shyamalie (2013). Impact of exchange rate volatility on Sri Lanka's exports Master's Thesis, School of Economics, The University of Queensland.

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Author Gardi Hewawasam Pussawalage, Priyanka Shyamalie
Thesis Title Impact of exchange rate volatility on Sri Lanka's exports
School, Centre or Institute School of Economics
Institution The University of Queensland
Publication date 2013
Thesis type Master's Thesis
Supervisor Dr. Bryan Morgan
Total pages 66
Language eng
Subjects 14 Economics
Formatted abstract

This study empirically investigates the impact of exchange rate volatility on Sri Lanka’s exports. In addition to total exports, exports of textiles & garments, and tea are also analysed in this study to identify whether the effect of exchange rate volatility differs depending on the types of the goods traded. A GARCH (1,1) model is used to measure the exchange rate volatility and then tested in a model for Sri Lankan exports demand. Cointegration and Error Correction techniques are used to establish the empirical relationship between exchange rate volatility and exports, using quarterly data from 1997Q1 to 2012Q4. The results confirm that real exports are cointegrated with the real exchange rate (RER), gross domestic products (GDP) of trading partner and exchange rate volatility (VOL). Findings indicate that exchange rate volatility has a significant negative impact on real exports in long-run for all the exports considered. The results of the error correction model reveal that the speed of adjustment from the short-run to the long-run equilibrium is faster for total exports and textiles & garments exports while such adjustment takes a longer time in tea exports in Sri Lanka.

Keyword Exchange rate volatility
Sri Lankan exports
GARCH model
Additional Notes * ECON7930 ECONOMIC THESIS

Document type: Thesis
Collection: UQ Theses (non-RHD) - UQ staff and students only
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Created: Wed, 02 Oct 2013, 10:28:47 EST by Mr Yun Xiao on behalf of Scholarly Communication and Digitisation Service