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Why you should use high frequency data to test the impact of exchange rate on trade

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  • Shaar, Karam
  • Khaled, Mohammed

Abstract

This study suggests that testing the impact of exchange rate on trade should be done using high frequency data. Using different data frequencies for identical periods and specifications between the US and Canada, we show that low frequency data might suppress and distort the evidence of the impact of exchange rate on trade in the short-run and the long-run.

Suggested Citation

  • Shaar, Karam & Khaled, Mohammed, 2017. "Why you should use high frequency data to test the impact of exchange rate on trade," Working Paper Series 20137, Victoria University of Wellington, School of Economics and Finance.
    • Handle: RePEc:vuw:vuwecf:20137
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    File URL: https://ir.wgtn.ac.nz/handle/123456789/20137
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    References listed on IDEAS

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    6. Su Zhou, 2001. "The Power of Cointegration Tests Versus Data Frequency and Time Spans," Southern Economic Journal, John Wiley & Sons, vol. 67(4), pages 906-921, April.
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