Volatility of International Trade and Exchange Rates in Some South Asian Countries Using the Ardl-Ecm Approach

Abstract

This research investigates the relationship between dollar exchange rate volatility and international trade variables, namely exports and imports, in Indonesia and several countries in South Asia using the Autoregressive Distributed Lag (ARDL) approach with the Error Correction Model (ECM). The countries analyzed are India, Pakistan, Bangladesh and India which are key players in regional trade dynamics. And to see the causal relationship between variables, the Granger-Causality method is used. The data used is monthly data for the period January 2018 to December 2022. And to find out which dependent model takes the longest to respond to shocks and which countries are the fastest in Asia.