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Volatility and Irish Exports

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  • Cotter, John
  • Bredin, Don

Abstract

We analyse the impact of volatility per se on real exports for a small open economy concentrating on Irish trade with the UK and the US. An important element is that we take account of the time lag between the trade decision and the actual trade or payments taking place by using a flexible lag approach. Rather than adopt a single measure of risk we also adopt a spectrum of risk measures and detail varied size characteristics and statistical properties. We find that the ambiguous results found to date may be due to not taking account of the timing effect which varies substantially depending on which volatility measure is used.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 3522.

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Date of creation: 2005
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Handle: RePEc:pra:mprapa:3522

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  1. Rodney Thom & Brendan Walsh, 2001. "The Effect of a Common Currency on Trade - Ireland before and after the Sterling Link," Working Papers, School Of Economics, University College Dublin 200110, School Of Economics, University College Dublin.
  2. Lothian, James R & McCarthy, Cornelia H, 2002. "Real Exchange Rate Behaviour Under Fixed and Floating Exchange Rate Regimes," Manchester School, University of Manchester, vol. 70(2), pages 229-45, March.
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  4. Lastrapes, William D. & Koray, Faik, 1990. "Exchange rate volatility and U.S. multilateral trade flows," Journal of Macroeconomics, Elsevier, Elsevier, vol. 12(3), pages 341-362.
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  6. Franc Klaassen, 2000. "Why is it so Difficult to Find an Effect of Exchange Rate Risk on Trade?," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0133, Econometric Society.
  7. Andrew K. Rose, 1999. "One Money, One Market: Estimating the Effect of Common Currencies on Trade," NBER Working Papers 7432, National Bureau of Economic Research, Inc.
  8. Lothian, James R. & Taylor, Mark P., 1997. "Real exchange rate behavior," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(6), pages 945-954, December.
  9. McKenzie, Michael D, 1999. " The Impact of Exchange Rate Volatility on International Trade Flows," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 13(1), pages 71-106, February.
  10. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2002. "Range-Based Estimation of Stochastic Volatility Models," Journal of Finance, American Finance Association, American Finance Association, vol. 57(3), pages 1047-1091, 06.
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  12. Demers, Michel, 1991. "Investment under Uncertainty, Irreversibility and the Arrival of Information over Time," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 58(2), pages 333-50, April.
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  14. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, Elsevier, vol. 1(1), pages 83-106, June.
  15. Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2004. "Nonlinear effects of exchange rate volatility on the volume of bilateral exports," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 19(1), pages 1-23.
  16. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 185-215, July.
  17. Kroner, Kenneth F. & Lastrapes, William D., 1993. "The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model," Journal of International Money and Finance, Elsevier, Elsevier, vol. 12(3), pages 298-318, June.
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  20. Thursby, Jerry G & Thursby, Marie C, 1987. "Bilateral Trade Flows, the Linder Hypothesis, and Exchange Risk," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 488-95, August.
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Cited by:
  1. Grier, Kevin B. & Smallwood, Aaron D., 2013. "Exchange rate shocks and trade: A multivariate GARCH-M approach," Journal of International Money and Finance, Elsevier, Elsevier, vol. 37(C), pages 282-305.

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