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Some Further Evidence on Exchange-Rate Volatility and Exports

  • George Hondroyiannis
  • P.A.V.B. Swamy
  • George Tavlas

    ()

  • Michael Ulan

The relationship between exchange-rate volatility and aggregate export volumes for 12 industrial economies is examined using a model that includes real export earnings of oil-producing economies as a determinant of industrial-country export volumes. A supposition underlying the model is that, given their levels of economic development, oil-exporters’ income elasticities of demand for industrial-country exports might differ from those of industrial countries. Five estimation techniques, including a generalized method of moments (GMM) and random coefficient (RC) estimation, are employed on panel data covering the estimation period 1977:1-2003:4 using three measures of volatility. In contrast to recent studies employing panel data, we do not find a single instance in which volatility has a negative and significant impact on trade.

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File URL: http://hdl.handle.net/10.1007/s10290-008-0141-4
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Article provided by Springer in its journal Review of World Economics.

Volume (Year): 144 (2008)
Issue (Month): 1 (April)
Pages: 151-180

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Handle: RePEc:spr:weltar:v:144:y:2008:i:1:p:151-180
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  1. Giovanni Dell'Ariccia, 1998. "Exchange Rate Fluctuations and Trade Flows; Evidence From the European Union," IMF Working Papers 98/107, International Monetary Fund.
  2. James E. Anderson & Eric van Wincoop, 2001. "Gravity with Gravitas: A Solution to the Border Puzzle," NBER Working Papers 8079, National Bureau of Economic Research, Inc.
  3. Swamy, P. A. V. B. & Tavlas, George S., 1994. "Connections between GARCH and stochastic coefficients (SC) models," Economics Letters, Elsevier, vol. 46(1), pages 7-10, September.
  4. Swamy, P.A.V.B. & Tavlas, George S., 2006. "A Note On Muth'S Rational Expectations Hypothesis: A Time-Varying Coefficient Interpretation," Macroeconomic Dynamics, Cambridge University Press, vol. 10(03), pages 415-425, June.
  5. P. Swamy & I-Lok Chang & Jatinder Mehta & George Tavlas, 2003. "Correcting for Omitted-Variable and Measurement-Error Bias in Autoregressive Model Estimation with Panel Data," Computational Economics, Society for Computational Economics, vol. 22(2), pages 225-253, October.
  6. 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.
  7. P. Swamy & George Tavlas, 2005. "Theoretical conditions under which monetary policies are effective and practical obstacles to their verification," Economic Theory, Springer, vol. 25(4), pages 999-1005, 06.
  8. I-Lok Chang & P.A.V.B. Swamy & Charles Hallahan & George S. Tavlas, 2000. "A Computational Approach to Finding Causal Economic Laws," Computational Economics, Society for Computational Economics, vol. 16(1/2), pages 105-136, October.
  9. P.A.V.B. Swamy & P.A. Tinsley, 1976. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Special Studies Papers 78, Board of Governors of the Federal Reserve System (U.S.).
  10. George S. Tavlas & P.A.V.B. Swamy, 2006. "The New Keynesian Phillips Curve and Inflation Expectations: Re-Specification and Interpretation," Working Papers 34, Bank of Greece.
  11. Peter B. Clark & Shang-Jin Wei & Natalia T. Tamirisa & Azim M. Sadikov & Li Zeng, 2004. "A New Look at Exchange Rate Volatility and Trade Flows," IMF Occasional Papers 235, International Monetary Fund.
  12. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  13. Sophocles N. Brissimis & George Hondroyiannis & P. A. V. B. Swamy & George S. Tavlas, 2003. "Empirical Modelling of Money Demand in Periods of Structural Change: The Case of Greece," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 605-628, December.
  14. 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.
  15. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, March.
  16. Bailey, Martin J. & Tavlas, George S. & Ulan, Michael, 1987. "The impact of exchange-rate volatility on export growth: Some theoretical considerations and empirical results," Journal of Policy Modeling, Elsevier, vol. 9(1), pages 225-243.
  17. Siregar, Reza & Rajan, Ramkishen S., 2004. "Impact of exchange rate volatility on Indonesia's trade performance in the 1990s," Journal of the Japanese and International Economies, Elsevier, vol. 18(2), pages 218-240, June.
  18. Swamy, P.A.V.B. & Tavlas, George S. & Chang, I-Lok, 2005. "How stable are monetary policy rules: estimating the time-varying coefficients in monetary policy reaction function for the US," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 575-590, April.
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