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US trade and exchange rate volatility: A real sectoral bilateral analysis

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Author Info
Byrne, Joseph P.
Darby, Julia
MacDonald, Ronald

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Abstract

In this paper we consider the impact of exchange rate volatility on the volume of bilateral US trade (both exports and imports) using sectoral data. Amongst the novelties in our approach are the use of sectoral industrial price indices, rather than an aggregate price index, and the construction of the sectoral groupings, which is based on economic and econometric criteria. We find that separating trade into differentiated goods and homogeneous goods results in the most appropriate sectoral division, and we also report evidence to suggest that exchange rate volatility has a robust and significantly negative effect across sectors, although it is strongest for exports of differentiated goods.

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Publisher Info
Article provided by Elsevier in its journal Journal of Macroeconomics.

Volume (Year): 30 (2008)
Issue (Month): 1 (March)
Pages: 238-259
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Handle: RePEc:eee:jmacro:v:30:y:2008:i:1:p:238-259

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Web page: http://www.elsevier.com/locate/inca/622617

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  21. Hooper, Peter & Kohlhagen, Steven W., 1978. "The effect of exchange rate uncertainty on the prices and volume of international trade," Journal of International Economics, Elsevier, vol. 8(4), pages 483-511, November. [Downloadable!] (restricted)
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