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Volatility and Irish Exports

Author

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  • Cotter, John
  • Bredin, Don

Abstract

We analyse the impact of volatility per se on real exports for a small open economy concentrating on Irish trade with the UK and the US. An important element is that we take account of the time lag between the trade decision and the actual trade or payments taking place by using a flexible lag approach. Rather than adopt a single measure of risk we also adopt a spectrum of risk measures and detail varied size characteristics and statistical properties. We find that the ambiguous results found to date may be due to not taking account of the timing effect which varies substantially depending on which volatility measure is used.

Suggested Citation

  • Cotter, John & Bredin, Don, 2005. "Volatility and Irish Exports," MPRA Paper 3522, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:3522
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    References listed on IDEAS

    as
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    Cited by:

    1. Grier, Kevin B. & Smallwood, Aaron D., 2013. "Exchange rate shocks and trade: A multivariate GARCH-M approach," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 282-305.

    More about this item

    JEL classification:

    • F17 - International Economics - - Trade - - - Trade Forecasting and Simulation
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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