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Effects of Exchange Rate Volatility on Trade: Some Further Evidence (Effets de l'instabilité des taux de change sur le commerce mondial: nouvelles constatations) (Efectos de la inestabilidad de los tipos de cambio en el comercio internacional: Alguna evidencia adicional)

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  • Padma Gotur

    (International Monetary Fund)

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    Abstract

    A recent survey of the empirical studies examining the effects of exchange rate volatility on international trade concluded that "the large majority of empirical studies... are unable to establish a systematically significant link between measured exchange rate variability and the volume of international trade, whether on an aggregated or on a bilateral basis" (International Monetary Fund, Exchange Rate Volatility and World Trade, Washington, July 1984, p. 36). A recent paper by M.A. Akhtar and R.S. Hilton ("Exchange Rate Uncertainty and International Trade," Federal Reserve Bank of New York, May 1984), in contrast, suggests that exchange rate volatility, as measured by the standard deviation of indices of nominal effective exchange rates, has had significant adverse effects on the trade in manufactures of the United States and the Federal Republic of Germany. The purpose of the present study is to test the robustness of Akhtar and Hilton's empirical results, with their basic theoretical framework taken as given. The study extends their analysis to include France, Japan, and the United Kingdom; it then examines the robustness of the results with respect to changes in the choice of sample period, volatility measure, and estimation techniques. The main conclusion of the analysis is that the methodology of Akhtar and Hilton fails to establish a systematically significant link between exchange rate volatility and the volume of international trade. This is not to say that significant adverse effects cannot be detected in individual cases, but rather that, viewed in the large, the results tend to be insignificant or unstable. Specifically, the results suggest that straightforward application of Akhtar and Hilton's methodology to three additional countries (France, Japan, and the United Kingdom) yields mixed results; that their methodology seems to be flawed in several respects, and that correction for such flaws has the effect of weakening their conclusions; that the estimates are quite sensitive to fairly minor variations in methodology; and that "revised" estimates for the five countries do not, for the most part, support the hypothesis that exchange rate volatility has had a systematically adverse effect on trade. /// Un récent aperçu des études empiriques consacrées aux effets de l'instabilité des taux de change sur le commerce international conclut que "dans leur grande majorité, les études empiriques... ne réussissent pas à établir un lien significatif et systématique entre la variabilité mesurée des taux de change et le volume du commerce international, que celui-ci soit exprimé sous forme globale ou bilatérale" (Fonds monétaire international, Exchange Rate Volatility and World Trade, Washington, juillet 1984, page 36). Par contre, un article publié récemment par M.A. Akhtar et R.S. Hilton ("Exchange Rate Uncertainty and International Trade", Federal Reserve Bank of New York, mai 1984) soutient que l'instabilité des taux de change, mesurée par l'écart type des indices des taux de change effectifs nominaux, a eu un effet défavorable significatif sur le commerce de produits manufacturés des Etats-Unis et de la République fédérale d'Allemagne. La présente étude a pour objet d'évaluer la solidité des résultats empiriques présentés par Akhtar et Hilton, en prenant comme donné leur cadre théorique de base. L'auteur étend l'analyse au cas de la France, du Japon et du Royaume-Uni; elle cherche ensuite dans quelle mesure ces résultats restent valables si l'on modifie la période de référence, la mesure de l'instabilité et les techniques d'estimation. La principale conclusion de cette étude est que la méthode utilisée par Akhtar et Hilton n'établit pas de lien significatif et systématique entre l'instabilité des taux de change et le volume du commerce international. Ceci ne veut pas dire que l'on ne puisse pas constater dans certains cas particuliers des effets défavorables significatifs, mais plutôt que, pris dans leur ensemble, les résultats sont peu significatifs ou peu stables. Plus précisément, cette étude laisse entendre qu'une application systématique de la méthode d'Akhtar et Hilton à trois pays supplémentaires (France, Japon et Royaume-Uni) donne des résultats mitigés; que leur méthode semble présenter plusieurs défauts et que la correction de ces défauts a pour effet d'affaiblir la portée de leurs conclusions; que leurs estimations sont très sensibles à des variations relativement mineures de la méthode utilisée et que la plupart des estimations "révisées" pour les cinq pays ne confirment pas l'hypothèse selon laquelle l'instabilité des taux de change aurait eu un effet systématiquement négatif sur le commerce international. /// En un examen reciente de los estudios empíricos sobre los efectos de la inestabilidad de los tipos de cambio en el comercio internacional se llega a la conclusión de que "la gran mayoría de estos análisis empíricos no consiguen demostrar sistemáticamente un vínculo significativo entre los diferentes grados de variabilidad cambiaria y el volumen del comercio internacional, tanto sea en términos agregados como bilaterales". (Fondo Monetario Internacional, Exchange Rate Volatility and World Trade, Washington, julio de 1984, pág. 36). Un estudio reciente de M.A. Akhtar y R.S. Hilton ("Exchange Rate Uncertainty and International Trade," Banco de la Reserva Federal de Nueva York, mayo de 1984) indica, por el contrario, que la inestabilidad de los tipos de cambio, expresada según la desviación estándar de los índices de los tipos de cambio efectivos nominales, ha tenido efectos negativos considerables en el comercio de productos manufacturados de Estados Unidos y de la República Federal de Alemania. El presente estudio tiene por objeto comprobar la solidez de los resultados empíricos de Akhtar y Hilton, tomando como base de partida su marco teórico básico. El estudio amplía su análisis incluyendo a Francia, Japón y el Reino Unido, pasando luego a examinar la solidez de los resultados con respecto a variaciones en la selección del período de la muestra, medida de la inestabilidad y técnicas de estimación. La conclusión principal del análisis es que la metodología de Akhtar y Hilton no logra establecer un vínculo significativo sistemático entre la inestabilidad de los tipos de cambio y el volumen del comercio internacional. Esto no quiere decir que no puedan obsevarse en casos específicos efectos negativos importantes, sino más bien que, en términos generales, los resultados no suelen ser ni considerables ni estables. En concreto, de los resultados se desprende que la aplicación directa de la metodología de Akhtar y Hilton a tres nuevos países (Francia, Japón y el Reino Unido) arroja resultados dispares; que esta metodología parece ser defectuosa en varios aspectos y que la corrección de tales deficiencias tiene como efecto el debilitamiento de sus conclusiones; que las estimaciones son muy sensibles a modificaciones poco importantes de la metodología, y que las estimaciones "revisadas" para los cinco países no confirman, en su mayor parte, la hipotésis de que la inestabilidad de los tipos de cambio ha ejercido un efecto negativo sistemático en el comercio exterior.

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    Article provided by Palgrave Macmillan in its journal Staff Papers - International Monetary Fund.

    Volume (Year): 32 (1985)
    Issue (Month): 3 (September)
    Pages: 475-512

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    Handle: RePEc:pal:imfstp:v:32:y:1985:i:3:p:475-512

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