Impacts of Exchange Rate Volatility on the U.S. Cotton Exports
AbstractA structural time series approach utilizing the state space model is used to analyze the impact of exchange rate volatility on the bilateral U.S. cotton exports to major export destinations. An EGARCH (Exponential Generalized Autoregressive Conditional Heteroskedasticity) model with normal and non-normal errors is used to estimate the volatility of exchange rate. Monthly data from 1995 to 2006 is utilized for the analysis. The results indicate a negative relationship between exchange rate volatility and U.S. cotton exports for most countries. The stochastic process governing the U.S. cotton exports to different countries is found to be permanent as well as transitory. The results support the view that the impact of exchange rate volatility can be better understood by analyzing markets separately.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Southern Agricultural Economics Association in its series 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas with number 6849.
Date of creation: 2008
Date of revision:
International Relations/Trade; Research Methods/ Statistical Methods;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-12-14 (All new papers)
- NEP-CBA-2008-12-14 (Central Banking)
- NEP-INT-2008-12-14 (International Trade)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Harvey, A C, et al, 1986. "Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations," Economic Journal, Royal Economic Society, vol. 96(384), pages 975-85, December.
- McKenzie, Michael D, 1999. " The Impact of Exchange Rate Volatility on International Trade Flows," Journal of Economic Surveys, Wiley Blackwell, vol. 13(1), pages 71-106, February.
- Chowdhury, Abdur R, 1993. "Does Exchange Rate Volatility Depress Trade Flows? Evidence from Error-Correction Models," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 700-706, November.
- Yeboah, Osei-Agyeman & Shaik, Saleem & Batson, Seon, 2009. "The Trade Effects of MERCOSUR and The Andean Community on U.S. Cotton Exports to CBI countries," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46028, Southern Agricultural Economics Association.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If references are entirely missing, you can add them using this form.