The effect of exchange-rate risk on exports: Some additional empirical evidence
This paper provides some additional empirical evidence on the effect of exchange-rate volatility on exports. The novelties of the study include: a regime-switching model in conditional volatility is employed to better capture the exchange-rate uncertainty; a 2SLS method as suggested by Hsiao is used to estimate a system of the dynamic export equations; and an attempt has been made to reconcile the empirical findings with existing theories. We find that the regime-switching model captures the exchange-rate risks better and the empirical evidence by and large is consistent with Viaene and Vries, who argued that the existence of the forward markets and current account positions of the country would determine the impact of the exchange uncertainty on trade.
Volume (Year): 28 (2001)
Issue (Month): 2 (January)
|Contact details of provider:|| Web page: http://www.emeraldinsight.com|
|Order Information:|| Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK|
Web: http://www.emeraldinsight.com/jes.htm Email:
When requesting a correction, please mention this item's handle: RePEc:eme:jespps:v:28:y:2001:i:2:p:106-121. 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: (Virginia Chapman)
If references are entirely missing, you can add them using this form.