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Some Further Evidence on Exchange-Rate Volatility and Exports

Author

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

    ()

  • Michael Ulan

Abstract

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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Suggested Citation

  • George Hondroyiannis & P.A.V.B. Swamy & George Tavlas & Michael Ulan, 2008. "Some Further Evidence on Exchange-Rate Volatility and Exports," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 144(1), pages 151-180, April.
  • Handle: RePEc:spr:weltar:v:144:y:2008:i:1:p:151-180 DOI: 10.1007/s10290-008-0141-4
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Gabriel Pino & Dilara Tas & Subhash C. Sharma, 2016. "An investigation of the effects of exchange rate volatility on exports in East Asia," Applied Economics, Taylor & Francis Journals, vol. 48(26), pages 2397-2411, June.
    2. John Williamson, 2006. "A worldwide system of reference rates," International Economics and Economic Policy, Springer, pages 341-352.
    3. Otmar Issing, 2006. "Europe's Hard Fix: The Euro Area," Working Papers 39, Bank of Greece.
    4. 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.
    5. Hans Genberg, 2006. "Exchange-rate arrangements and financial integration in East Asia: on a collision course?," International Economics and Economic Policy, Springer, pages 359-377.
    6. P. Swamy & George Tavlas, 2007. "The New Keynesian Phillips Curve and Inflation Expectations: Re-Specification and Interpretation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(2), pages 293-306, May.
    7. Auboin, Marc & Ruta, Michele, 2013. "The relationship between exchange rates and international trade: a literature review," World Trade Review, Cambridge University Press, vol. 12(03), pages 577-605, July.
    8. Myint Moe Chit & Marian Rizov & Dirk Willenbockel, 2010. "Exchange Rate Volatility and Exports: New Empirical Evidence from the Emerging East Asian Economies," The World Economy, Wiley Blackwell, vol. 33(2), pages 239-263, February.
    9. Alexandros E. Milionis, 2006. "An Alternative Definition of Market Efficiency and some Comments on its Empirical Testing," Working Papers 50, Bank of Greece.
    10. Freund, Caroline; Rocha, Nadia, 2010. "What Constrains Africas Exports?," CAGE Online Working Paper Series 16, Competitive Advantage in the Global Economy (CAGE).
    11. Stephen Hall & George Hondroyiannis, 2006. "Measuring the correlation of shocks between the EU15 and the new member countries," Economic Change and Restructuring, Springer, pages 19-34.
    12. Mansour Zarra-Nezhad & Amin Mansouri, 2014. "Impact of spatial effect on volatility of trade," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 4(7), pages 358-368, July.
    13. nnamdi, Kelechi & ifionu, Ebele, 2013. "Exchange rate volatility and exchange rate uncertainty in Nigeria: a financial econometric analysis (1970- 2012)," MPRA Paper 48316, University Library of Munich, Germany, revised 2013.

    More about this item

    Keywords

    Exchange-rate volatility; trade; random-coefficient estimation; generalized method of moments; panel data;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • F3 - International Economics - - International Finance
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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