Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports
We present an empirical investigation of a recently suggested but untested proposition that exchange rate volatility can have an impact on both the volume and variability of trade flows, considering a broad set of countries' bilateral real trade flows over the period 1980-1998. We generate proxies for the volatility of real trade flows and real exchange rates after carefully scrutinizing these variables' time series properties. Similar to the findings of earlier theoretical and empirical research, our first set of results show that the impact of exchange rate uncertainty on trade flows is indeterminate. Our second set of results provide new and novel findings that exchange rate volatility has a consistent positive and significant effect on the volatility of bilateral trade flows.
|Date of creation:||02 Feb 2007|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.essex.ac.uk/afm/mmf/index.html|
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.:
- Gagnon, Joseph E., 1993.
"Exchange rate variability and the level of international trade,"
Journal of International Economics,
Elsevier, vol. 34(3-4), pages 269-287, May.
- Joseph E. Gagnon, 1989. "Exchange rate variability and the level of international trade," International Finance Discussion Papers 369, Board of Governors of the Federal Reserve System (U.S.).
- Christopher F. Baum & Vince Wiggins, 2001. "Tests for long memory in a time series," Stata Technical Bulletin, StataCorp LP, vol. 10(57).
- Franke, Gunter, 1991. "Exchange rate volatility and international trading strategy," Journal of International Money and Finance, Elsevier, vol. 10(2), pages 292-307, June.
- Ethier, Wilfred, 1973. "International Trade and the Forward Exchange Market," American Economic Review, American Economic Association, vol. 63(3), pages 494-503, June.
- Baron, David P, 1976. "Fluctuating Exchange Rates and the Pricing of Exports," Economic Inquiry, Western Economic Association International, vol. 14(3), pages 425-38, September.
- John Barkoulas & Christopher F. Baum & Mustafa Caglayan, 1998.
"Exchange Rate Effects on the Volume and Variability of Trade Flows,"
Boston College Working Papers in Economics
405., Boston College Department of Economics, revised 12 Sep 2001.
- Barkoulas, John T. & Baum, Christopher F. & Caglayan, Mustafa, 2002. "Exchange rate effects on the volume and variability of trade flows," Journal of International Money and Finance, Elsevier, vol. 21(4), pages 481-496, August.
- Caglayan, M. & Baum, C.F. & Barkoulas, J.T., 1998. "Exchange Rate Effects on the Volume and Variability of Trade Flows," Papers 1998/05, Koc University.
- Sauer, Christine & Bohara, Alok K, 2001. "Exchange Rate Volatility and Exports: Regional Differences between Developing and Industrialized Countries," Review of International Economics, Wiley Blackwell, vol. 9(1), pages 133-52, February.
- Christopher F Baum, 2000. "FRACDIFF: Stata module to generate fractionally-differenced timeseries," Statistical Software Components S413901, Boston College Department of Economics, revised 24 Mar 2006.
- 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.
- 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.
- Eric van Wincoop & Philippe Bacchetta, 2000.
"Does Exchange-Rate Stability Increase Trade and Welfare?,"
American Economic Review,
American Economic Association, vol. 90(5), pages 1093-1109, December.
- Philippe BACCHETTA & Eric VAN WINCOOP, 1999. "Does Exchange Rate Stability Increase Trade and Welfare ?," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 9917, Université de Lausanne, Faculté des HEC, DEEP.
- Arize, Augustine C & Osang, Thomas & Slottje, Daniel J, 2000. "Exchange-Rate Volatility and Foreign Trade: Evidence from Thirteen LDC's," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 10-17, January.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
When requesting a correction, please mention this item's handle: RePEc:mmf:mmfc06:64. 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 references are entirely missing, you can add them using this form.