The effect of exchange-rate risk on exports: Some additional empirical evidence
AbstractThis paper provides some additional empirical evidence on the effect of exchange-rate volatility on exports. The novelties of the study include: a regime-switching model in conditional volatility is employed to better capture the exchange-rate uncertainty; a 2SLS method as suggested by Hsiao is used to estimate a system of the dynamic export equations; and an attempt has been made to reconcile the empirical findings with existing theories. We find that the regime-switching model captures the exchange-rate risks better and the empirical evidence by and large is consistent with Viaene and Vries, who argued that the existence of the forward markets and current account positions of the country would determine the impact of the exchange uncertainty on trade.
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Bibliographic InfoArticle provided by Emerald Group Publishing in its journal Journal of Economic Studies.
Volume (Year): 28 (2001)
Issue (Month): 2 (January)
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Web page: http://www.emeraldinsight.com
Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
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- Petreski, Marjan, 2009. "Analysis of exchange-rate regime effect on growth: theoretical channels and empirical evidence with panel data," Economics Discussion Papers 2009-49, Kiel Institute for the World Economy.
- Mehmood, Sultan, 2013. "Terrorism and the macroeconomy: Evidence from Pakistan," MPRA Paper 44546, University Library of Munich, Germany.
- Cortes, Maria, 2007. "Examining Patterns of Bilateral Trade between Australia and Colombia by Using Cointegration Analysis and Error-Correction Models," Economics Working Papers wp07-20, School of Economics, University of Wollongong, NSW, Australia.
- Petreski, Marjan, 2009. "Exchange-rate regime and economic growth: a review of the theoretical and empirical literature," Economics Discussion Papers 2009-31, Kiel Institute for the World Economy.
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