This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Elasticity of risk aversion and international trade

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Udo Broll () (Dresden University of Technology, Germany)
Jack E. Wahl (University of Dortmund, Germany)
Wing-Keung Wong (National University of Singapore)

Additional information is available for the following registered author(s):

Abstract

This note analyzes export production in the presence of exchange rate uncertainty under mean-variance preferences. We present the elasticity of risk aversion, since this elasticity concept permits a distinct investigation of risk and expectation effects on exports. Counterintutitive results are possible, e.g. though the home currency is revaluating (devaluating) exports of the firm increase (decrease). This fact may contribute to the explanation of disturbing empirical results.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: http://www.fas.nus.edu.sg/ecs/pub/wp/wp0510.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by National University of Singapore, Department of Economics in its series Departmental Working Papers with number wp0510.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Nov 2005
Date of revision:
Handle: RePEc:nus:nusewp:wp0510

Contact details of provider:
Web page: http://www.fas.nus.edu.sg/ecs/index.html
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: ().

Related research
Keywords: Exchange rate risk; trade; elasticity of risk aversion; meanvariance model; devaluation;

Other versions of this item:

Find related papers by JEL classification:
F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
F31 - International Economics - - International Finance - - - Foreign Exchange

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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.:
  1. Kawai, Masahiro & Zilcha, Itzhak, 1986. "International trade with forward-futures markets under exchange rate and price uncertainty," Journal of International Economics, Elsevier, vol. 20(1-2), pages 83-98, February. [Downloadable!] (restricted)
  2. McKenzie, Michael D, 1999. " The Impact of Exchange Rate Volatility on International Trade Flows," Journal of Economic Surveys, Blackwell Publishing, vol. 13(1), pages 71-106, February. [Downloadable!] (restricted)
  3. Bini-Smaghi, Lorenzo, 1991. "Exchange Rate Variability and Trade: Why Is It So Difficult to Find Any Empirical Relationship?," Applied Economics, Taylor and Francis Journals, vol. 23(5), pages 927-35, May.
  4. Lajeri, Fatma & Nielsen, Lars Tyge, 1997. "Parametric Characterizations of Risk Aversion and Prudence," CEPR Discussion Papers 1650, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  5. Holthausen, Duncan M, 1979. "Hedging and the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 69(5), pages 989-95, December. [Downloadable!] (restricted)
  6. Broll, Udo & Wahl, Jack E. & Zilcha, Itzhak, 1995. "Indirect hedging of exchange rate risk," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 667-678, October. [Downloadable!] (restricted)
  7. Ormiston, Michael B & Schlee, Edward E, 2001. "Mean-Variance Preferences and Investor Behaviour," Economic Journal, Royal Economic Society, vol. 111(474), pages 849-61, October. [Downloadable!] (restricted)
  8. Joseph E. Gagnon, 1989. "Exchange rate variability and the level of international trade," International Finance Discussion Papers 369, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  9. Meyer, Jack, 1987. "Two-moment Decision Models and Expected Utility Maximization," American Economic Review, American Economic Association, vol. 77(3), pages 421-30, June. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, 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.)

  1. Wing-Keung Wong & Chenghu Ma, 2008. "Preferences over location-scale family," Economic Theory, Springer, vol. 37(1), pages 119-146, October. [Downloadable!] (restricted)
  2. W. Wong & R. Chan, 2008. "Prospect and Markowitz stochastic dominance," Annals of Finance, Springer, vol. 4(1), pages 105-129, January. [Downloadable!] (restricted)
    Other versions:
  3. Wong, Wing-Keung & Du, Jun & Chong, Terence Tai-Leung, 2005. "Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan," Review of Applied Economics, Review of Applied Economics, vol. 1(2). [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? IDEAS was sponsored from 1997 to 2002 by the Université du Québec à Montréal.

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.