Volatility And Irish Exports
"We analyze the impact of volatility per se on real exports for a small open economy concentrating on Irish trade with the United Kingdom and the United States. 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 adopting a single measure of risk, we 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". ("JEL "C32, C51, F14, F31) Copyright (c) 2007 Western Economic Association International.
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 46 (2008)
Issue (Month): 4 (October)
|Contact details of provider:|| Postal: 18830 Brookhurst Street, Suite 304, Fountain Valley, CA 92708 USA|
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0095-2583
More information through EDIRC
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0095-2583|
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.:
- Robert C. Merton, 1980.
"On Estimating the Expected Return on the Market: An Exploratory Investigation,"
NBER Working Papers
0444, National Bureau of Economic Research, Inc.
- Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
- Lothian, James R. & Taylor, Mark P., 1997. "Real exchange rate behavior," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 945-954, December.
- James R. Lothian & Cornelia McCarthy, 2001.
"Real Exchange-Rate Behaviour under Fixed and Floating Exchange Rate Regimes,"
- 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.
- Rose, Andrew, 1999.
"One Money, One Market: Estimating the Effect of Common Currencies on Trade,"
678, Stockholm University, Institute for International Economic Studies.
- 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.
- Rose, Andrew K, 1999. "One Money, One Market: Estimating the Effect of Common Currencies on Trade," CEPR Discussion Papers 2329, C.E.P.R. Discussion Papers.
- Lastrapes, William D. & Koray, Faik, 1990. "Exchange rate volatility and U.S. multilateral trade flows," Journal of Macroeconomics, Elsevier, vol. 12(3), pages 341-362.
- 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.
- Huntley Schaller & Fanny Demers & Michel Demers, 1993. "Investments Under Uncertainty and Irreversibility," Carleton Economic Papers 93-10, Carleton University, Department of Economics, revised Sep 1990.
- repec:adr:anecst:y:1995:i:40 is not listed on IDEAS
- Franke, Gunter, 1991. "Exchange rate volatility and international trading strategy," Journal of International Money and Finance, Elsevier, vol. 10(2), pages 292-307, June.
- Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2002. "Range-Based Estimation of Stochastic Volatility Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1047-1091, 06.
- Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2000.
"Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports,"
Boston College Working Papers in Economics
488, Boston College Department of Economics, revised 30 Jul 2002.
- 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., vol. 19(1), pages 1-23.
- Viaene, Jean-Marie & de Vries, Casper G., 1992.
"International trade and exchange rate volatility,"
European Economic Review,
Elsevier, vol. 36(6), pages 1311-1321, August.
- Rodney Thom & Brendan M. Walsh, 2001. "The effect of a common currency on trade : Ireland before and after the Sterling link," Working Papers 200110, School of Economics, University College Dublin.
- Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
- Michel Demers, 1991. "Investment under Uncertainty, Irreversibility and the Arrival of Information Over Time," Review of Economic Studies, Oxford University Press, vol. 58(2), pages 333-350.
- Klaassen, Franc, 2004.
"Why is it so difficult to find an effect of exchange rate risk on trade?,"
Journal of International Money and Finance,
Elsevier, vol. 23(5), pages 817-839, September.
- 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 0133, Econometric Society.
- Klaassen, F.J.G.M., 1999. "Why is it so Difficult to Find An Effect of Exchange Rate Risk on Trade?," Discussion Paper 1999-73, Tilburg University, Center for Economic Research.
- C. W. J. Granger & Zhuanxin Ding, 1995. "Some Properties of Absolute Return: An Alternative Measure of Risk," Annals of Economics and Statistics, GENES, issue 40, pages 67-91.
- 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.
- Kevin B. Grier & Aaron D. Smallwood, 2007. "Uncertainty and Export Performance: Evidence from 18 Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(4), pages 965-979, 06.
- repec:adr:anecst:y:1995:i:40:p:04 is not listed on IDEAS
- 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, vol. 12(3), pages 298-318, June.
- 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, vol. 1(1), pages 83-106, June.
- Goffe, William L. & Ferrier, Gary D. & Rogers, John, 1994. "Global optimization of statistical functions with simulated annealing," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 65-99.
When requesting a correction, please mention this item's handle: RePEc:bla:ecinqu:v:46:y:2008:i:4:p:540-560. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.