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Exchange-rate volatility and commodity trade between the U.S. and Germany: asymmetry analysis

Author

Listed:
  • Mohsen Bahmani-Oskooee

    (The University of Wisconsin-Milwaukee)

  • Ridha Nouira

    (Monastir University)

  • Sami Saafi

    (Monastir University)

Abstract

Recent introduction of asymmetric cointegration and error-correction modeling has revealed that failure to find a significant link between two variables could be due to ignoring the nonlinear adjustment of the exogenous variable. We assess the short-run and long-run effects of dollar-euro volatility on the trade flows of 67 2-digit industries that trade between the U.S. and Germany. When a linear model was estimated, we found short-run effects of volatility on 18 U.S. exporting and 19 U.S. importing industries. Short-run effects lasted into the long run in 10 and 22 industries, respectively. The numbers were much higher when a nonlinear model was estimated for each industry. Short-run asymmetric effects were discovered in 59 industries which lasted into long-run asymmetric effects in 19 U.S. exporting and 32 U.S. importing industries. Both small as well as large industries were affected.

Suggested Citation

  • Mohsen Bahmani-Oskooee & Ridha Nouira & Sami Saafi, 2020. "Exchange-rate volatility and commodity trade between the U.S. and Germany: asymmetry analysis," International Economics and Economic Policy, Springer, vol. 17(1), pages 67-124, February.
    • Handle: RePEc:kap:iecepo:v:17:y:2020:i:1:d:10.1007_s10368-019-00455-0
    DOI: 10.1007/s10368-019-00455-0
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    2. Sabrine Ferjani & Sami Saafi & Ridha Nouira & Christophe Rault, 2022. "The Impacts of the Dollar-Renminbi Exchange Rate Misalignment on the China-United States Commodity Trade: An Asymmetric Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(3), pages 507-554, September.

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    More about this item

    Keywords

    U.S.-German trade; 67 industries; Dollar-euro volatility; Asymmetry;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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